As filed with the Securities and Exchange Commission on August 24, 2018

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

Investment Company Act file number 811-22378

DoubleLine Funds Trust

(Exact name of registrant as specified in charter)

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Address of principal executive offices) (Zip code)

Ronald R. Redell

DoubleLine Funds Trust

333 South Grand Avenue, Suite 1800

Los Angeles, CA 90071

(Name and address of agent for service)

(213) 633-8200

Registrant’s telephone number, including area code

Date of fiscal year end: March 31, 2019

Date of reporting period: June 30, 2018

Item 1. Schedule of Investments.

DoubleLine Total Return Bond Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

        $/Shares        

   

Security Description

    Rate     

Maturity

    Value $  

Asset Backed Obligations - 4.0%

 

      
21,125,778    Aqua Finance Trust, Series 2017-A-A      3.72%  ^     11/15/2035      20,758,931  
5,797,572    Arcadia Receivables Credit Trust, Series 2017-1-A      3.25%  ^     06/15/2023      5,818,348  
2,425,915    AVANT Loans Funding Trust, Series 2017-B-A      2.29%  ^     06/15/2020      2,423,736  
19,285,000    CAL Funding Ltd., Series 2018-1A-A      3.96%  ^     02/25/2043      19,231,644  
25,429,865    Castlelake Aircraft Securitization Trust, Series 2015-1A-A      4.70%  ^§     12/15/2040      25,747,891  
39,642,999    Castlelake Aircraft Securitization Trust, Series 2016-1-A      4.45%       08/15/2041      39,687,439  
52,272,553    Castlelake Aircraft Securitization Trust, Series 2017-1-A      3.97%       07/15/2042      51,853,223  
19,000,000    Castlelake Aircraft Securitization Trust, Series 2018-1-A      4.13%  ^     06/15/2043      19,131,157  
4,304,420    Citi Held For Asset Issuance, Series 2015-PM1-C      5.01%  ^     12/15/2021      4,322,334  
21,073,755    Citi Held For Asset Issuance, Series 2015-PM2-C      5.96%  ^     03/15/2022      21,146,428  
66,687    Citi Held For Asset Issuance, Series 2016-MF1-A      4.48%  ^     08/15/2022      66,730  
36,844,537    CLI Funding LLC, Series 2018-1A-A      4.03%  ^     04/18/2043      37,009,026  
66,825,000    Coinstar Funding LLC, Series 2017-1A-A2      5.22%  ^     04/25/2047      67,879,679  
26,892,872    Colony American Finance Ltd., Series 2016-1-A      2.54%  ^     06/15/2048      26,434,789  
8,161,356    Commonbond Student Loan Trust, Series 2015-A-A      3.20%  ^     06/25/2032      8,124,365  
14,676,513    Commonbond Student Loan Trust, Series 2016-A-A1      3.32%  ^     05/25/2040      14,671,784  
6,763,336    Consumer Installment Loan Trust, Series 2016-LD1-A      3.96%  ^     07/15/2022      6,764,230  
23,497,319    Consumer Installment Loan Trust, Series 2018-6-PT      8.43%  ^     06/17/2041      23,591,637  
21,000,000    Credit Acceptance Auto Loan Trust, Series 2017-3A-A      2.65%  ^     06/15/2026      20,755,818  
41,000,000    Credit Acceptance Auto Loan Trust, Series 2018-1A-A      3.01%  ^     02/16/2027      40,628,249  
16,447,500    DB Master Finance LLC, Series 2015-1A-A2II      3.98%  ^     02/20/2045      16,510,172  
11,345,222    Drive Auto Receivables Trust, Series 2018-2-A1      2.45%       05/15/2019      11,346,388  
3,375,008    Eaglewood Consumer Loan Trust, Series 2014-1-A      3.50%  ^¥Þ     10/15/2019      3,375,841  
12,356,002    Earnest Student Loan Program LLC, Series 2016-B-A2      3.02%  ^     05/25/2034      12,285,039  
15,626,252    Earnest Student Loan Program LLC, Series 2016-D-A2      2.72%  ^     01/25/2041      15,400,017  
63,793,329    ECAF Ltd., Series 2015-1A-A2      4.95%  ^     06/15/2040      64,628,957  
6,918,702    Element Rail Leasing LLC, Series 2016-1A-A1      3.97%  ^     03/19/2046      6,982,607  
9,111,000    Falcon Aerospace Ltd., Series 2017-1-A      4.58%  ^     02/15/2042      9,194,694  
8,000,000    Ford Credit Auto Lease Trust, Series 2017-A-A3      1.88%       04/15/2020      7,959,876  
8,822,959    Foundation Finance Trust, Series 2016-1A-A      3.96%  ^     06/15/2035      8,837,578  
28,363,500    Global SC Finance Ltd., Series 2018-1A-A      4.29%  ^     05/17/2038      28,633,730  
47,000,000    GM Financial Automobile Leasing Trust, Series 2018-1-A2A      2.39%       04/20/2020      46,866,172  
42,011,578    Harbour Aircraft Investments Ltd., Series 2017-1-A      4.00%       11/15/2037      41,742,451  
9,605,254    HERO Funding Trust, Series 2016-3A-A2      3.91%  ^     09/20/2042      9,716,603  
23,149,163    HERO Funding Trust, Series 2016-4A-A2      4.29%  ^     09/20/2047      23,835,828  
63,321,500    Jimmy Johns Funding LLC, Series 2017-1A-A2II      4.85%  ^     07/30/2047      63,587,697  
91,145,833    Labrador Aviation Finance Ltd., Series 2016-1A-A1      4.30%  ^     01/15/2042      92,483,945  
186,843    LendingClub Issuance Trust, Series 2016-NP2-A      3.00%  ^     01/17/2023      186,728  
11,000,000    Lendmark Funding Trust, Series 2017-2A-A      2.80%  ^     05/20/2026      10,861,635  
23,000,000    Mariner Finance Issuance Trust, Series 2017-AA-A      3.62%  ^     02/20/2029      23,101,761  
2,982,279    MarketPlace Loan Trust, Series 2015-CB1-A      4.00%  ^     07/15/2021      2,981,269  
5,168,461    MarketPlace Loan Trust, Series 2015-LD1-A      4.00%  ^     12/15/2021      5,166,125  
3,731,475    MarketPlace Loan Trust, Series 2016-LD1-A      5.25%  ^     03/15/2022      3,747,308  
9,754,903    Marlette Funding Trust, Series 2017-2A-A      2.39%  ^     07/15/2024      9,734,740  
5,559,214    Marlette Funding Trust, Series 2017-3A-A      2.36%  ^     12/15/2024      5,537,793  
16,322,698    Marlette Funding Trust, Series 2018-1A-A      2.61%  ^     03/15/2028      16,278,951  
22,384,410    Mosaic Solar Loan Trust, Series 2018-1A-A      4.01%  ^     06/22/2043      22,473,562  
28,500,000    Mosaic Solar Loan Trust, Series 2018-2-GS      4.20%  ^     02/20/2044      28,643,640  
37,852,199    Mosaic Solar Loans LLC, Series 2017-2A-A      3.82%  ^     09/20/2042      37,636,824  
23,000,000    Navient Private Education Loan Trust, Series 2017-A-B      3.91%  ^     12/16/2058      22,280,661  
30,000,000    Navient Private Education Loan Trust, Series 2018-BA-B      4.13%  ^     12/15/2059      30,403,623  
216,817    OneMain Direct Auto Receivables Trust, Series 2016-1A-A      2.04%  ^     01/15/2021      216,771  
1,993,530    OneMain Financial Issuance Trust, Series 2015-2A-A      2.57%  ^     07/18/2025      1,995,535  
61,156,666    OneMain Financial Issuance Trust, Series 2016-2A-A      4.10%  ^     03/20/2028      61,599,954  
75,000,000    OneMain Financial Issuance Trust, Series 2017-1A-A1      2.37%  ^     09/14/2032      73,571,198  
17,000,000    Oportun Funding LLC, Series 2016-B-A      3.69%  ^     07/08/2021      16,996,960  
25,000,000    Oxford Finance Funding LLC, Series 2016-1A-A      3.97%  ^     06/17/2024      24,897,063  
4,000,000    Progress Residential Trust, Series 2016-SFR2-D, (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.59%  ^     01/17/2034      4,025,062  
5,127,086    Prosper Marketplace Issuance Trust Series, Series 2018-1A-A      3.11%  ^     06/17/2024      5,128,940  
21,408,427    Renew, Series 2017-2A-A      3.22%  ^     09/22/2053      20,827,809  
22,000,000    Santander Drive Auto Receivables Trust, Series 2018-3-A1      2.45%       06/17/2019      22,001,104  
25,764,588    SCF Equipment Leasing LLC, Series 2017-2A-A      3.41%  ^     12/20/2023      25,513,290  
39,732,717    Shenton Aircraft Investment Ltd., Series 2015-1A-A      4.75%  ^     10/15/2042      40,516,684  
2,946,778    SoFi Consumer Loan Program LLC, Series 2016-1-A      3.26%  ^     08/25/2025      2,941,683  
19,454,690    SoFi Consumer Loan Program LLC, Series 2017-6-A1      2.20%  ^     11/25/2026      19,370,317  
18,750,000    SoFi Consumer Loan Program LLC, Series 2017-6-A2      2.82%  ^     11/25/2026      18,607,564  
8,017,075    SoFi Consumer Loan Program Trust, Series 2016-2-A      3.09%  ^     10/27/2025      8,012,794  
27,432,483    SoFi Consumer Loan Program Trust, Series 2017-2-A      3.28%  ^     02/25/2026      27,418,698  
13,901,952    SoFi Consumer Loan Program Trust, Series 2017-5-A1      2.14%  ^     09/25/2026      13,828,558  
10,000,000    SoFi Consumer Loan Program Trust, Series 2017-5-A2      2.78%  ^     09/25/2026      9,850,140  
9,029,031    SoFi Consumer Loan Program Trust, Series 2018-1-A1      2.55%  ^     02/25/2027      8,989,720  
8,768,719    SoFi Consumer Loan Program Trust, Series 2018-2-A1      2.93%  ^     04/26/2027      8,766,564  
14,075,371    SoFi Professional Loan Program, Series 2016-A-A2      2.76%  ^     12/26/2036      13,917,924  
20,000,000    SoFi Professional Loan Program, Series 2017-E-B      3.49%  ^     11/26/2040      19,574,298  
13,000,000    SoFi Professional Loan Program, Series 2017-E-C      4.16%  ^     11/26/2040      12,743,301  
22,800,000    SoFi Professional Loan Program, Series 2018-A-B      3.61%  ^     02/25/2042      22,477,204  
18,000,000    SoFi Professional Loan Program, Series 2018-B-BFX      3.83%  ^     08/25/2047      17,999,348  
67,519,335    SpringCastle America Funding LLC, Series 2016-AA-A      3.05%  ^     04/25/2029      67,356,823  
14,000,000    Springleaf Funding Trust, Series 2016-AA-A      2.90%  ^     11/15/2029      13,931,646  
71,750,000    Springleaf Funding Trust, Series 2017-AA-A      2.68%  ^     07/15/2030      70,615,188  
40,584,766    Sprite Ltd., Series 2017-1-A      4.25%  ^     12/15/2037      41,005,427  
3,561,294    Spruce Asset Backed Securities Trust, Series 2016-E1-A      4.32%  ^     06/15/2028      3,590,579  
37,000,000    STARR, Series 2018-1-A      4.09%  ^     05/15/2043      36,941,614  
4,517,500    TAL Advantage LLC, Series 2013-2A-A      3.55%  ^     11/20/2038      4,485,392  
4,895,611    Textainer Marine Containers Ltd., Series 2017-1A-A      3.72%  ^     05/20/2042      4,868,943  
25,350,000    Triton Container Finance LLC, Series 2018-1A-A      3.95%  ^     03/20/2043      25,280,564  
45,000,000    Triton Container Finance LLC, Series 2018-2A-A      4.19%  ^     06/22/2043      45,252,315  
3,553,263    Upstart Securitization Trust, Series 2017-2-A      2.51%  ^     03/20/2025      3,546,732  
18,039,667    Vantage Data Centers Issuer LLC, Series 2018-1A-A2      4.07%  ^     02/16/2043      18,061,664  
20,250,000    Vivint Colar Financing LLC, Series 2018-1A-A      4.73%  ^     04/30/2048      20,422,024  
           

 

 

  

Total Asset Backed Obligations (Cost $1,993,354,232)

 

         1,995,617,047  
           

 

 

  

Collateralized Loan Obligations - 5.2%

         
16,146,538    Acacia Ltd., Series 5A-A, (3 Month LIBOR USD + 0.38%)      1.56%  ^     11/08/2039      15,847,827  
10,000,000    Adams Mill Ltd., Series 2014-1A-C1R, (3 Month LIBOR USD + 2.35%)      4.70%  ^     07/15/2026      10,014,926  
14,980,000    AIMCO, Series 2014-AA-AR, (3 Month LIBOR USD + 1.10%)      3.46%  ^     07/20/2026      14,999,658  
68,250,000    AIMCO, Series 2015-AA-AR, (3 Month LIBOR USD + 0.85%, 0.85% Floor)      3.20%  ^     01/15/2028      68,222,262  
25,000,000    ALM LLC, Series 2016-19A-A1, (3 Month LIBOR USD + 1.55%)      3.90%  ^     07/15/2028      25,102,845  
18,760,000    Anchorage Capital Ltd., Series 2014-5RA-A, (3 Month LIBOR USD + 0.99%)      3.34%  ^     01/15/2030      18,750,818  
32,686,020    Apidos Ltd., Series 2013-16A-A1R, (3 Month LIBOR USD + 0.98%)      3.34%  ^     01/19/2025      32,702,041  
23,000,000    Apidos Ltd., Series 2015-20A-A1R, (3 Month LIBOR USD + 1.33%)      3.68%  ^     01/16/2027      23,002,017  
75,000,000    Arrowpoint Ltd., Series 2013-1A-A1R, (3 Month LIBOR USD + 1.52%, 1.52% Floor)      3.86%  ^     11/15/2028      75,808,609  
3,750,000    Babson Ltd., Series 2014-IIA-D, (3 Month LIBOR USD + 3.60%)      5.95%  ^     10/17/2026      3,759,311  
75,000,000    BlueMountain Ltd., Series 2012-2A-AR, (3 Month LIBOR USD + 1.42%, 1.42% Floor)      3.75%  ^     11/20/2028      75,209,102  
33,150,000    BlueMountain Ltd., Series 2013-1A-A1R, (3 Month LIBOR USD + 1.40%)      3.76%  ^     01/20/2029      33,271,043  
22,500,000    BlueMountain Ltd., Series 2016-2A-A2, (3 Month LIBOR USD + 2.00%)      4.33%  ^     08/20/2028      23,012,591  
20,000,000    Carlyle Global Market Strategies Ltd., Series 2015-5A-A1A, (3 Month LIBOR USD + 1.55%)      3.91%  ^     01/20/2028      20,077,794  
8,000,000    Carlyle Global Market Strategies Ltd., Series 2015-5A-A2A, (3 Month LIBOR USD + 2.25%)      4.61%  ^     01/20/2028      8,052,402  
4,000,000    Carlyle Global Market Strategies Ltd., Series 2015-5A-B2, (3 Month LIBOR USD + 3.25%)      5.61%  ^     01/20/2028      4,044,926  
43,000,000    Cathedral Lake Ltd., Series 2016-4A-A, (3 Month LIBOR USD + 1.65%)      4.01%  ^     10/20/2028      43,982,423  
50,000,000    CBAM Ltd., Series 2018-6A-A, (3 Month LIBOR USD + 0.94%)      0.00%  ^     07/15/2031      49,995,469  
11,000,000    Cent Ltd., Series 2014-21A-A1AR, (3 Month LIBOR USD + 1.21%)      3.58%  ^     07/27/2026      11,003,840  
7,250,000    Cent Ltd., Series 2014-22A-C, (3 Month LIBOR USD + 3.75%)      6.11%  ^     11/07/2026      7,272,869  
98,000,000    CVP Ltd., Series 2017-1A-A, (3 Month LIBOR USD + 1.34%)      3.70%  ^     07/20/2030      98,753,688  
61,250,000    CVP Ltd., Series 2017-2A-A, (3 Month LIBOR USD + 1.19%, 1.19% Floor)      3.12%  ^     01/20/2031      61,394,827  
35,250,000    Elevation Ltd., Series 2014-2A-A1R, (3 Month LIBOR USD + 1.23%)      3.58%  ^     10/15/2029      35,336,837  
50,000,000    Galaxy Ltd., Series 2016-22A-A1, (3 Month LIBOR USD + 1.58%)      3.93%  ^     07/16/2028      50,035,188  
19,330,990    GLG Ore Hill Ltd., Series 2013-1A-A, (3 Month LIBOR USD + 1.12%)      3.47%  ^     07/15/2025      19,351,136  
46,000,000    Greywolf Ltd., Series 2018-1A-A1, (3 Month LIBOR USD + 1.03%)      3.54%  ^     04/26/2031      45,997,602  
6,500,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-C, (3 Month LIBOR USD + 3.50%)      5.86%  ^     04/28/2025      6,516,809  
1,750,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D, (3 Month LIBOR USD + 5.00%)      7.36%  ^     04/28/2025      1,695,356  
5,000,000    Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D, (3 Month LIBOR USD + 3.65%)      6.01%  ^     10/22/2025      5,006,969  
14,350,000    Halcyon Loan Advisors Funding Ltd., Series 2015-2A-A, (3 Month LIBOR USD + 1.39%)      3.75%  ^     07/25/2027      14,407,756  
85,500,000    Halcyon Loan Advisors Funding Ltd., Series 2015-3A-A1R, (3 Month LIBOR USD + 0.90%)      3.26%  ^     10/18/2027      85,283,582  
31,000,000    Harbourview Ltd., Series 7RA-A1, (3 Month LIBOR USD + 1.13%, 1.13% Floor)      3.27%  ^     07/18/2031      30,894,116  
39,000,000    Hildene Ltd., Series 2014-3A-AR, (3 Month LIBOR USD + 1.20%)      3.56%  ^     10/20/2026      39,022,620  
5,000,000    Hildene Ltd., Series 2015-4A-A1A, (3 Month LIBOR USD + 1.50%)      3.86%  ^     07/23/2027      5,013,891  
7,867,770    ICE Global Credit Ltd., Series 2013-1A-A1, (3 Month LIBOR USD + 1.75%, 1.75% Floor)      4.11%  ^Þ     04/20/2024      7,882,399  
30,702,923    Jamestown Ltd., Series 2013-3A-A1AR, (3 Month LIBOR USD + 1.14%)      3.49%  ^     01/15/2026      30,735,158  
37,266,284    Jamestown Ltd., Series 2014-4A-A1AR, (3 Month LIBOR USD + 0.69%)      3.04%  ^     07/15/2026      37,132,244  
20,000,000    Jamestown Ltd., Series 2016-9A-A1A, (3 Month LIBOR USD + 1.57%)      3.93%  ^     10/20/2028      20,036,681  
56,695,000    Jamestown Ltd., Series 2018-6RA-A1, (3 Month LIBOR USD + 1.15%, 1.15% Floor)      3.60%  ^     04/25/2030      56,678,195  
20,000,000    KVK Ltd., Series 2013-1A-AR, (3 Month LIBOR USD + 0.90%)      3.25%  ^     01/15/2028      20,003,170  
22,200,000    LCM LP, Series 16A-AR, (3 Month LIBOR USD + 1.03%)      3.38%  ^     07/15/2026      22,214,547  
2,750,000    LCM LP, Series 16A-DR, (3 Month LIBOR USD + 3.00%)      5.35%  ^     07/15/2026      2,756,824  
20,000,000    Madison Park Funding Ltd., Series 2013-11A-AR, (3 Month LIBOR USD + 1.16%)      3.52%  ^     07/23/2029      20,008,014  
5,500,000    Madison Park Funding Ltd., Series 2014-15A-CR, (3 Month LIBOR USD + 3.45%)      5.82%  ^     01/27/2026      5,509,346  
5,000,000    Madison Park Funding Ltd., Series 2014-15A-DR, (3 Month LIBOR USD + 5.44%)      7.81%  ^     01/27/2026      5,012,453  
24,000,000    Magnetite Ltd., Series 2015-12A-AR, (3 Month LIBOR USD + 1.33%)      3.68%  ^     04/15/2027      24,014,742  
64,500,000    Marathon Ltd., Series 2013-5A-A1R, (3 Month LIBOR USD + 0.87%)      3.20%  ^     11/21/2027      64,380,798  
41,000,000    Marathon Ltd., Series 2014-7A-A1R, (3 Month LIBOR USD + 1.32%)      3.68%  ^     10/28/2025      41,030,771  
75,000,000    Midocean Credit, Series 2017-7A-A1, (3 Month LIBOR USD + 1.32%)      3.67%  ^     07/15/2029      75,164,077  
60,500,000    MP Ltd., Series 2013-1A-AR, (3 Month LIBOR USD + 1.25%)      3.61%  ^     10/20/2030      60,704,407  
52,000,000    MP Ltd., Series 2013-2A-ARR, (3 Month LIBOR USD + 1.28%)      3.64%  ^     07/25/2029      52,114,416  
40,000,000    MP Ltd., Series 2015-2A-AR, (3 Month LIBOR USD + 0.91%)      3.27%  ^     10/28/2027      39,943,800  
30,000,000    Nassau Ltd., Series 2018-IA-A, (3 Month LIBOR USD + 1.15%)      3.69%  ^     07/15/2031      30,007,434  
2,250,000    Neuberger Berman Ltd., Series 2017-16SA-A, (3 Month LIBOR USD + 0.85%)      3.20%  ^     01/15/2028      2,247,002  
9,307,487    NewMark Capital Funding Ltd., Series 2013-1A-A2, (3 Month LIBOR USD + 1.12%)      3.44%  ^     06/02/2025      9,318,375  
19,500,000    Northwoods Capital Ltd., Series 2017-16A-A, (3 Month LIBOR USD + 1.27%)      3.61%  ^     11/15/2030      19,495,190  
39,250,000    Northwoods Capital Ltd., Series 2018-11BA-A1, (3 Month LIBOR USD + 1.10%, 1.10% Floor)      3.46%  ^     04/19/2031      39,189,383  
50,000,000    Ocean Trails, Series 2014-5A-A2R, (3 Month LIBOR USD + 1.22%)      3.56%  ^     10/13/2026      50,066,122  
36,000,000    OCP Ltd., Series 2015-9A-A1R, (3 Month LIBOR USD + 0.80%)      3.15%  ^     07/15/2027      35,977,593  
60,650,000    OCP Ltd., Series 2016-12A-A1, (3 Month LIBOR USD + 1.57%)      3.93%  ^     10/18/2028      60,796,871  
5,500,000    Octagon Investment Partners Ltd., Series 2014-1A-C, (3 Month LIBOR USD + 3.65%)      6.01%  ^     11/14/2026      5,519,822  
5,550,000    Octagon Investment Partners Ltd., Series 2015-1A-A1R, (3 Month LIBOR USD + 0.90%)      3.23%  ^     05/21/2027      5,548,622  
20,000,000    Octagon Loan Funding Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.14%)      3.47%  ^     11/18/2026      20,007,760  
25,000,000    OFSI Fund Ltd., Series 2018-1A-A, (3 Month LIBOR USD + 1.15%, 1.15% Floor)      0.00%  ^     07/15/2031      25,000,000  
36,297,715    Palmer Square Loan Funding Ltd., Series 2017-1A-A1, (3 Month LIBOR USD + 0.74%)      3.09%  ^     10/15/2025      36,276,424  
35,000,000    Regatta Funding Ltd., Series 2016-1A-A1, (3 Month LIBOR USD + 1.52%)      3.84%  ^     12/20/2028      35,105,651  
25,500,000    Rockford Tower Ltd., Series 2017-3A-A, (3 Month LIBOR USD + 1.19%)      3.15%  ^     10/20/2030      25,530,376  
39,000,000    Rockford Tower Ltd., Series 2018-1A-A, (3 Month LIBOR USD + 1.10%)      3.36%  ^     05/20/2031      38,997,941  
24,590,000    Sound Harbor Loan Fund Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.20%)      3.56%  ^     10/30/2026      24,618,330  
50,000,000    Sounds Point Ltd., Series 2018-4R-A, (3 Month LIBOR USD + 1.15%, 1.15% Floor)      3.65%  ^     04/18/2031      50,060,220  
30,000,000    Steele Creek Ltd., Series 2014-1RA-A, (3 Month LIBOR USD + 1.07%, 1.07% Floor)      3.41%  ^     04/21/2031      29,805,649  
20,000,000    Steele Creek Ltd., Series 2015-1A-AR, (3 Month LIBOR USD + 1.26%)      3.59%  ^     05/21/2029      20,114,610  
34,000,000    Steele Creek Ltd., Series 2016-1A-AR, (3 Month LIBOR USD + 1.12%, 1.12% Floor)      3.46%  ^     06/15/2031      33,999,486  
17,000,000    TCI-Cent Ltd., Series 2016-1A-A1, (3 Month LIBOR USD + 1.52%)      3.89%  ^     12/21/2029      17,276,430  
10,000,000    TCI-Cent Ltd., Series 2016-1A-A2, (3 Month LIBOR USD + 2.20%)      4.57%  ^     12/21/2029      10,086,876  
30,000,000    TCI-Flatiron Ltd., Series 2016-1A-A, (3 Month LIBOR USD + 1.55%)      3.90%  ^     07/17/2028      30,119,480  
1,500,000    TCI-Flatiron Ltd., Series 2016-1A-B, (3 Month LIBOR USD + 2.20%)      4.55%  ^     07/17/2028      1,509,565  
62,945,000    Venture Ltd., Series 2015-20A-AR, (3 Month LIBOR USD + 0.82%)      3.17%  ^     04/15/2027      62,647,003  
13,000,000    Venture Ltd., Series 2016-23A-A, (3 Month LIBOR USD + 1.65%)      4.01%  ^     07/19/2028      12,999,912  
30,500,000    Vibrant Ltd., Series 2016-5A-A, (3 Month LIBOR USD + 1.55%)      3.91%  ^     01/20/2029      30,703,311  
35,000,000    Voya Ltd., Series 2014-4A-A1R, (3 Month LIBOR USD + 0.95%)      3.30%  ^     10/14/2026      34,999,834  
25,000,000    Wellfleet Ltd., Series 2017-2A-A1, (3 Month LIBOR USD + 1.25%)      3.61%  ^     10/20/2029      25,045,794  
10,000,000    WhiteHorse Ltd., Series 2014-1A-AR, (3 Month LIBOR USD + 0.90%)      3.26%  ^     05/01/2026      9,991,016  
17,000,000    WhiteHorse Ltd., Series 2015-10A-A1R, (3 Month LIBOR USD + 0.93%, 0.93% Floor)      3.01%  ^     04/17/2027      17,009,686  
40,000,000    Wind River Ltd., Series 2014-2A-AR, (3 Month LIBOR USD + 1.14%, 1.14% Floor)      3.49%  ^     01/15/2031      40,060,131  
45,000,000    Wind River Ltd., Series 2016-2A-A, (3 Month LIBOR USD + 1.50%)      3.86%  ^     11/01/2028      45,152,784  
10,000,000    York Ltd., Series 2016-2A-A, (3 Month LIBOR USD + 1.63%)      3.99%  ^     01/20/2030      10,081,496  
30,000,000    Zais Ltd., Series 2014-2A-A1AR, (3 Month LIBOR USD + 1.20%)      3.56%  ^     07/25/2026      30,041,203  
2,500,000    Zais Ltd., Series 2016-2A-A1, (3 Month LIBOR USD + 1.53%)      3.88%  ^     10/15/2028      2,504,846  
           

 

 

  

Total Collateralized Loan Obligations (Cost $2,619,127,706)

 

         2,626,077,420  
           

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 7.0%

         
10,139,000    20 Times Square Trust, Series 2018-20TS-F      3.20%  #^     05/15/2035      9,478,064  
7,727,000    20 Times Square Trust, Series 2018-20TS-G      3.20%  #^     05/15/2035      7,069,177  
3,500,000    Arbor Realty Ltd., Series 2017-FL2-AS, (1 Month LIBOR USD + 1.25%)      3.32%  ^     08/15/2027      3,528,959  
5,500,000    Arbor Realty Ltd., Series 2017-FL2-B, (1 Month LIBOR USD + 1.55%)      3.62%  ^     08/15/2027      5,513,777  
18,093,000    Arbor Realty Ltd., Series 2018-FL1-B, (1 Month LIBOR USD + 1.15%)      3.06%  ^     06/15/2028      18,153,593  
2,602,000    AREIT Trust, Series 2018-CRE1-AS, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.32%  ^     02/15/2035      2,605,903  
1,706,000    AREIT Trust, Series 2018-CRE1-B, (1 Month LIBOR USD + 1.65%, 1.65% Floor)      3.72%  ^     02/15/2035      1,713,460  
3,483,290    Ashford Hospitality Trust, Series 2018-ASHF-A, (1 Month LIBOR USD + 0.90%, 0.90% Floor)      2.97%  ^     04/15/2035      3,485,869  
11,007,000    Atrium Hotel Portfolio Trust, Series 2017-ATRM-E, (1 Month LIBOR USD + 3.05%)      5.12%  ^     12/15/2036      11,003,237  
29,257,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      2.93%  ^     06/15/2035      29,297,354  
28,877,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-D, (1 Month LIBOR USD + 2.30%, 2.30% Floor)      4.26%  ^     06/15/2035      28,949,117  
13,685,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-E, (1 Month LIBOR USD + 3.40%, 3.40% Floor)      5.36%  ^     06/15/2035      13,752,265  
43,903,842    Banc of America Commercial Mortgage Trust, Series 2007-5-XW      0.00%  #^I/O     02/10/2051      439  
4,000,000    Banc of America Commercial Mortgage Trust, Series 2015-UBS7-B      4.51%  #     09/15/2048      4,103,797  
58,268,898    Banc of America Commercial Mortgage Trust, Series 2015-UBS7-XA      1.01%  #I/O     09/15/2048      2,817,400  
66,641,698    Banc of America Commercial Mortgage Trust, Series 2016-UB10-XA      2.15%  #I/O     07/15/2049      6,698,317  
40,052,457    BANK, Series 2017-BNK4-XA      1.61%  #I/O     05/15/2050      3,619,228  
191,666,810    BANK, Series 2017-BNK5-XA      1.24%  #I/O     06/15/2060      13,037,675  
1,750,000    BANK, Series 2018-BN10-AS      3.90%       02/15/2061      1,742,733  
152,892,047    BANK, Series 2018-BN10-XA      0.90%  #I/O     02/15/2061      8,740,273  
27,365,000    Barclays Commercial Mortgage Securities LLC, Series 2015-STP-D      4.43%  #^     09/10/2028      27,195,602  
12,089,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C, (1 Month LIBOR USD + 1.20%)      3.27%  ^     08/15/2036      12,101,724  
13,777,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D, (1 Month LIBOR USD + 1.70%)      3.77%  ^     08/15/2036      13,792,119  
29,711,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E, (1 Month LIBOR USD + 2.50%)      4.57%  ^     08/15/2036      29,852,044  
30,209,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F, (1 Month LIBOR USD + 3.50%)      5.57%  ^     08/15/2036      30,411,980  
14,259,000    BBCMS Mortgage Trust, Series 2017-GLKS-E, (1 Month LIBOR USD + 2.85%, 2.75% Floor)      4.92%  ^     11/15/2034      14,278,426  
4,500,000    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.57%  #     01/12/2045      4,133,102  
33,680,000    Bremar Hotels and Resorts Trust, Series 2018-PRME-A, (1 Month LIBOR USD + 0.82%, 0.82% Floor)      2.89%  ^     06/15/2035      33,711,652  
8,643,000    Bsprt Issuer Ltd., Series 2017-FL2-A, (1 Month LIBOR USD + 0.82%, 0.82% Floor)      2.89%  ^     10/15/2034      8,655,277  
3,025,000    Bsprt Issuer Ltd., Series 2017-FL2-AS, (1 Month LIBOR USD + 1.10%, 1.10% Floor)      3.17%  ^     10/15/2034      3,032,673  
3,025,000    Bsprt Issuer Ltd., Series 2017-FL2-B, (1 Month LIBOR USD + 1.40%, 1.40% Floor)      3.47%  ^     10/15/2034      3,033,192  
6,663,000    BX Commercial Mortgage Trust, Series 2018-BIOA-D, (1 Month LIBOR USD + 1.32%, 1.35% Floor)      3.39%  ^     03/15/2037      6,642,351  
18,462,782    BX Trust, Series 2017-APPL-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.12%  ^     07/15/2034      18,557,455  
31,755,261    BX Trust, Series 2017-APPL-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%  ^     07/15/2034      32,009,481  
7,369,000    BX Trust, Series 2017-IMC-D, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.32%  ^     10/15/2032      7,391,903  
12,055,000    BX Trust, Series 2017-IMC-E, (1 Month LIBOR USD + 3.25%, 3.25% Floor)      5.32%  ^     10/15/2032      12,117,351  
41,842,000    BX Trust, Series 2017-SLCT-D, (1 Month LIBOR USD + 2.05%)      4.12%  ^     07/15/2034      41,933,651  
75,275,000    BX Trust, Series 2017-SLCT-E, (1 Month LIBOR USD + 3.15%)      5.22%  ^     07/15/2034      75,675,538  
20,102,000    BX Trust, Series 2018-BILT-A, (1 Month LIBOR USD + 0.80%, 0.80% Floor)      2.70%  ^     05/15/2030      20,097,827  
35,415,000    BX Trust, Series 2018-BIOA-E, (1 Month LIBOR USD + 1.95%, 1.98% Floor)      4.02%  ^     03/15/2037      35,313,883  
8,634,000    BX Trust, Series 2018-GW, (1 Month LIBOR USD + 2.42%, 2.42% Floor)      4.32%  ^     05/15/2035      8,665,124  
4,437,000    BX Trust, Series 2018-GW, (1 Month LIBOR USD + 1.97%, 1.97% Floor)      3.87%  ^     05/15/2035      4,447,589  
53,522,000    BX Trust, Series 2018-GW-A, (1 Month LIBOR USD + 0.80%, 0.80% Floor)      2.70%  ^     05/15/2035      53,648,761  
2,447,000    BX Trust, Series 2018-GW-D, (1 Month LIBOR USD + 1.77%, 1.77% Floor)      3.67%  ^     05/15/2035      2,450,376  
16,882,000    BX Trust, Series 2018-MCSF, (1 Month LIBOR USD + 2.65%, 2.65% Floor)      4.72%  ^     04/15/2035      16,771,754  
50,128,070    CD Mortgage Trust, Series 2017-CD6-XA      1.12%  #I/O     11/13/2050      3,138,869  
7,155,000    CFCRE Commercial Mortgage Trust, Series 2016-C4-C      5.04%  #     05/10/2058      7,252,466  
100,450,520    CFCRE Commercial Mortgage Trust, Series 2016-C4-XA      1.90%  #I/O     05/10/2058      10,147,542  
45,319,744    CFCRE Commercial Mortgage Trust, Series 2017-C8-XA      1.83%  #I/O     06/15/2050      4,692,266  
3,128,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-B      4.69%  ^     02/15/2033      3,184,092  
3,128,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-C      5.29%  ^     02/15/2033      3,191,355  
1,877,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-D      6.10%  ^     02/15/2033      1,931,899  
5,436,000    CGDBB Commercial Mortgage Trust, Series 2017-BIOC-D, (1 Month LIBOR USD + 1.60%, 1.60% Floor)      3.67%  ^     07/15/2032      5,448,411  
7,611,000    CGDBB Commercial Mortgage Trust, Series 2017-BIOC-E, (1 Month LIBOR USD + 2.15%, 2.25% Floor)      4.22%  ^     07/15/2032      7,606,909  
43,737,000    CHT Mortgage Trust, Series 2017-CSMO-E, (1 Month LIBOR USD + 3.00%, 3.00% Floor)      5.07%  ^     11/15/2036      44,076,793  
24,582,000    CHT Mortgage Trust, Series 2017-CSMO-F, (1 Month LIBOR USD + 3.74%, 3.80% Floor)      5.81%  ^     11/15/2036      24,824,846  
4,861,747    Citigroup Commercial Mortgage Trust, Series 2008-C7-AM      6.34%  #     12/10/2049      4,854,991  
211,608,433    Citigroup Commercial Mortgage Trust, Series 2012-GC8-XA      1.97%  #^I/O     09/10/2045      12,257,778  
189,631,888    Citigroup Commercial Mortgage Trust, Series 2014-GC19-XA      1.35%  #I/O     03/10/2047      8,613,042  
98,778,745    Citigroup Commercial Mortgage Trust, Series 2014-GC21-XA      1.38%  #I/O     05/10/2047      5,233,565  
9,011,000    Citigroup Commercial Mortgage Trust, Series 2014-GC25-A4      3.64%       10/10/2047      9,062,527  
192,431,206    Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA      1.18%  #I/O     10/10/2047      10,003,883  
6,265,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-B      3.77%       02/10/2048      6,164,819  
8,216,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.58%  #^     02/10/2048      7,123,416  
216,171,562    Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA      1.54%  #I/O     02/10/2048      15,154,556  
14,310,000    Citigroup Commercial Mortgage Trust, Series 2015-GC33-C      4.72%  #     09/10/2058      14,002,899  
177,699,631    Citigroup Commercial Mortgage Trust, Series 2015-GC33-XA      1.10%  #I/O     09/10/2058      8,953,591  
20,725,000    Citigroup Commercial Mortgage Trust, Series 2015-GC35-C      4.65%  #     11/10/2048      20,182,674  
151,483,007    Citigroup Commercial Mortgage Trust, Series 2016-C1-XA      2.09%  #I/O     05/10/2049      17,171,129  
217,408,801    Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA      1.48%  #I/O     02/10/2049      16,479,152  
114,156,159    Citigroup Commercial Mortgage Trust, Series 2016-P3-XA      1.87%  #I/O     04/15/2049      10,943,534  
78,724,500    Citigroup Commercial Mortgage Trust, Series 2016-P4-XA      2.16%  #I/O     07/10/2049      9,129,295  
38,090,395    Citigroup Commercial Mortgage Trust, Series 2016-P5-XA      1.69%  #I/O     10/10/2049      3,350,054  
119,512,078    Citigroup Commercial Mortgage Trust, Series 2017-P7-XA      1.29%  #I/O     04/14/2050      8,986,794  
86,283,000    Citigroup Mortgage Loan Trust, Inc., Series 2016-GC37-XA      1.96%  #I/O     04/10/2049      9,115,066  
13,806,000    CLNS Trust, Series 2017-IKPR-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.10%  ^     06/11/2032      13,839,239  
88,477,000    CLNS Trust, Series 2017-IKPR-E, (1 Month LIBOR USD + 3.50%, 3.50% Floor)      5.55%  ^     06/11/2032      88,962,075  
28,027,000    CLNS Trust, Series 2017-IKPR-F, (1 Month LIBOR USD + 4.50%, 4.50% Floor)      6.55%  ^     06/11/2032      28,277,472  
6,533,061    COBALT Commercial Mortgage Trust, Series 2007-C2-AJFX      5.57%  #     04/15/2047      6,562,204  
34,234,000    Cold Storage Trust, Series 2017-ICE3-A, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.07%  ^     04/15/2036      34,415,012  
41,768,000    Cold Storage Trust, Series 2017-ICE3-C, (1 Month LIBOR USD + 1.35%, 1.35% Floor)      3.42%  ^     04/15/2036      41,964,594  
32,954,571    Commercial Mortgage Pass-Through Certificates, Series 2012-CR2-XA      1.82%  #I/O     08/15/2045      1,820,898  
145,356,189    Commercial Mortgage Pass-Through Certificates, Series 2012-CR3-XA      2.04%  #I/O     10/15/2045      9,509,100  
121,806,777    Commercial Mortgage Pass-Through Certificates, Series 2012-LC4-XA      2.38%  #^I/O     12/10/2044      6,918,089  
162,651,040    Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA      0.95%  #I/O     08/10/2046      4,681,064  
224,106,752    Commercial Mortgage Pass-Through Certificates, Series 2013-CR12-XA      1.43%  #I/O     10/10/2046      9,943,572  
843,000    Commercial Mortgage Pass-Through Certificates, Series 2013-CR13-C      4.90%  #     11/10/2046      857,055  
9,850,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR19-C      4.87%  #     08/10/2047      9,785,719  
5,211,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-A4      3.59%       11/10/2047      5,225,018  
30,400,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C      4.65%  #     11/10/2047      30,126,102  
71,378,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR21-A3      3.53%       12/10/2047      71,322,982  
15,011,000    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3-A4      3.82%       06/10/2047      15,237,723  
118,477,850    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3-XA      1.45%  #I/O     06/10/2047      5,595,804  
8,215,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CALW-D      3.98%  #^     02/10/2034      8,207,185  
20,970,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-D      4.26%  #^     03/10/2048      17,557,669  
219,609,321    Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-XA      1.12%  #I/O     03/10/2048      9,471,135  
9,230,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR23-D      4.39%  #     05/10/2048      7,607,171  
9,110,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-B      4.64%  #     10/10/2048      9,330,935  
90,064,728    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XA      1.18%  #I/O     10/10/2048      4,966,691  
8,715,000    Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-C      4.50%  #     02/10/2048      8,453,269  
13,275,000    Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-D      4.50%  #^     02/10/2048      11,328,102  
398,791,013    Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA      1.28%  #I/O     02/10/2048      19,747,613  
29,922,000    Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C      4.80%  #     02/10/2049      30,360,710  
20,355,000    Commercial Mortgage Pass-Through Certificates, Series 2016-GCT-E      3.58%  #^     08/10/2029      19,576,370  
1,617,000    Commercial Mortgage Pass-Through Certificates, Series 2017-PANW-D      4.34%  #^     10/10/2029      1,570,134  
5,524,000    Commercial Mortgage Pass-Through Certificates, Series 2017-PANW-E      4.13%  #^     10/10/2029      5,161,887  
150,822,000    Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1      0.70%  #^I/O     09/15/2037      4,820,950  
4,606,000    CSAIL Commercial Mortgage Trust, Series 2015-C1-C      4.44%  #     04/15/2050      4,557,453  
13,360,000    CSAIL Commercial Mortgage Trust, Series 2015-C2-AS      3.85%  #     06/15/2057      13,361,221  
22,320,000    CSAIL Commercial Mortgage Trust, Series 2015-C3-C      4.50%  #     08/15/2048      21,806,999  
9,759,000    CSAIL Commercial Mortgage Trust, Series 2015-C4-C      4.74%  #     11/15/2048      9,738,071  
315,309,084    CSAIL Commercial Mortgage Trust, Series 2015-C4-XA      1.07%  #I/O     11/15/2048      15,574,913  
2,085,000    CSAIL Commercial Mortgage Trust, Series 2016-C7-C      4.54%  #     11/15/2049      1,970,384  
188,216,505    CSAIL Commercial Mortgage Trust, Series 2017-C8-XA      1.40%  #I/O     06/15/2050      13,928,266  
5,511,000    CSAIL Commercial Mortgage Trust, Series 2017-CX10-C      4.25%  #     11/15/2050      5,369,391  
91,915,387    CSAIL Commercial Mortgage Trust, Series 2017-CX10-XA      0.87%  #I/O     11/15/2050      4,823,186  
7,185,000    CSMC Mortgage Securities Trust, Series 2017-HD-B, (1 Month LIBOR USD + 1.35%, 1.35% Floor)      3.42%  ^     02/15/2031      7,187,982  
3,450,000    CSMC Mortgage Securities Trust, Series 2017-HD-C, (1 Month LIBOR USD + 1.70%, 1.70% Floor)      3.77%  ^     02/15/2031      3,450,705  
7,444,000    CSMC Mortgage Securities Trust, Series 2017-HD-D, (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.57%  ^     02/15/2031      7,462,229  
7,050,000    CSMC Trust, Series 2017-CALI-E      3.90%  #^     11/10/2032      6,572,877  
6,050,000    CSMC Trust, Series 2017-CALI-F      3.90%  #^     11/10/2032      5,496,529  
12,164,000    CSMC Trust, Series 2017-CHOP-D, (1 Month LIBOR USD + 1.90%, 1.90% Floor)      3.97%  ^     07/15/2032      12,190,325  
21,321,000    CSMC Trust, Series 2017-CHOP-E, (1 Month LIBOR USD + 3.30%, 3.30% Floor)      5.37%  ^     07/15/2032      21,433,357  
74,654,000    DBGS Mortgage Trust, Series 2018-BIOD-A, (1 Month LIBOR USD + 0.80%, 0.80% Floor)      2.70%  ^     05/15/2035      74,653,477  
105,496,849    DBUBS Mortgage Trust, Series 2011-LC2A-XA      1.26%  #^I/O     07/10/2044      2,643,941  
2,996,000    DBUBS Mortgage Trust, Series 2011-LC3A-PM2      5.27%  #^     05/10/2044      3,079,217  
124,050,732    Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA      1.64%  #I/O     05/10/2049      10,767,914  
4,709,890    GE Commercial Mortgage Corporation Trust, Series 2007-C1-AM      5.61%  #     12/10/2049      4,674,342  
47,634,000    GPMT Ltd., Series 2018-FL1-A, (1 Month LIBOR USD + 0.90%, 0.90% Floor)      2.98%  ^     11/21/2035      47,616,185  
15,417,000    Great Wolf Trust, Series 2017-WOLF-D, (1 Month LIBOR USD + 2.10%, 1.00% Floor)      4.32%  ^     09/15/2034      15,475,352  
31,606,000    Great Wolf Trust, Series 2017-WOLF-E, (1 Month LIBOR USD + 3.10%, 1.00% Floor)      5.32%  ^     09/15/2034      31,800,219  
16,823,000    Great Wolf Trust, Series 2017-WOLF-F, (1 Month LIBOR USD + 4.07%, 1.00% Floor)      6.29%  ^     09/15/2034      16,944,183  
4,210,008    Greenwich Capital Commercial Funding Corporation, Series 2006-GG7-AM      5.95%  #     07/10/2038      4,261,196  
18,597,333    GS Mortgage Securities Corporation, Series 2011-GC3-X      0.82%  #^I/O     03/10/2044      272,656  
25,519,052    GS Mortgage Securities Corporation, Series 2013-GC10-XA      1.69%  #I/O     02/10/2046      1,410,469  
32,062,242    GS Mortgage Securities Corporation, Series 2014-GC20-XA      1.17%  #I/O     04/10/2047      1,388,949  
60,850,000    GS Mortgage Securities Corporation, Series 2014-GC26-A5      3.63%       11/10/2047      61,148,920  
283,924,714    GS Mortgage Securities Corporation, Series 2015-GC28-XA      1.27%  #I/O     02/10/2048      13,347,301  
247,188,651    GS Mortgage Securities Corporation, Series 2015-GC32-XA      0.99%  #I/O     07/10/2048      10,512,538  
173,052,250    GS Mortgage Securities Corporation, Series 2015-GC34-XA      1.50%  #I/O     10/10/2048      12,247,271  
207,541,707    GS Mortgage Securities Corporation, Series 2018-GS9-XA      0.60%  #I/O     03/10/2051      7,466,105  
95,959,276    GS Mortgage Securities Trust, Series 2012-GC6-XA      2.14%  #^I/O     01/10/2045      5,320,261  
3,500,000    GS Mortgage Securities Trust, Series 2015-GC28-C      4.47%  #     02/10/2048      3,383,808  
68,551,589    GS Mortgage Securities Trust, Series 2015-GS1-XA      0.96%  #I/O     11/10/2048      3,288,954  
55,558,898    GS Mortgage Securities Trust, Series 2016-GS2-XA      1.81%  #I/O     05/10/2049      5,129,259  
357,889,593    GS Mortgage Securities Trust, Series 2016-GS3-XA      1.40%  #I/O     10/10/2049      27,691,314  
69,860,230    GS Mortgage Securities Trust, Series 2016-GS4-XA      0.71%  #I/O     11/10/2049      2,388,319  
191,029,190    GS Mortgage Securities Trust, Series 2017-GS7-XA      1.29%  #I/O     08/10/2050      15,001,064  
98,700,000    GS Mortgage Securities Trust, Series 2017-GS7-XB      0.50%  #I/O     08/10/2050      2,824,429  
1,885,718    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2004-CBX-X1      0.99%  #^I/O     01/12/2037      21,117  
3,206,930    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2005-CB12-AJ      4.99%  #     09/12/2037      3,248,063  
2,089,672    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2005-LDP4-X1      0.04%  #^I/O     10/15/2042      4  
2,839,095    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP8-X      0.29%  #I/O     05/15/2045      4,439  
16,315,160    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP9-AM      5.37%       05/15/2047      16,329,343  
5,218,273    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-C1-AM      6.11%  #     02/15/2051      5,208,170  
7,053,742    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-AM      5.47%  #     06/12/2047      7,058,016  
6,881,588    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-AMFX      5.40%       06/12/2047      6,866,462  
31,936,088    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-X      0.46%  #I/O     06/12/2047      28,254  
71,683,936    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB20-X1      0.00%  #^I/O     02/12/2051      717  
154,883,155    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C6-XA      1.75%  #I/O     05/15/2045      7,813,282  
332,294,137    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C8-XA      1.95%  #I/O     10/15/2045      19,827,692  
119,300,882    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA      1.65%  #I/O     06/15/2045      4,953,886  
5,425,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-DSTY-A      3.43%  ^     06/10/2027      5,418,419  
79,404,972    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA      1.29%  #I/O     01/15/2049      3,947,515  
7,271,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-B, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.07%  ^     06/15/2032      7,277,279  
5,488,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.32%  ^     06/15/2032      5,509,090  
17,779,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-D, (1 Month LIBOR USD + 1.90%, 1.90% Floor)      3.97%  ^     06/15/2032      17,736,135  
325,375,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-XCP      0.71%  #^I/O     04/15/2019      633,082  
1,361,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.30%  ^     07/15/2034      1,363,676  
1,285,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-D, (1 Month LIBOR USD + 1.95%, 1.95% Floor)      4.00%  ^     07/15/2034      1,290,026  
3,198,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-E, (1 Month LIBOR USD + 2.95%, 2.95% Floor)      5.00%  ^     07/15/2034      3,216,847  
4,506,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-F, (1 Month LIBOR USD + 3.75%, 3.75% Floor)      5.80%  ^     07/15/2034      4,538,174  
74,265,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-A, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.00%  ^     06/15/2032      74,370,531  
6,546,928    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11-AM      6.16%  #     06/15/2049      6,612,003  
1,361,442    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM      5.46%  #     01/15/2049      1,362,778  
18,205,537    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-B, (1 Month LIBOR USD + 2.15%, 2.15% Floor)      4.22%  ^     10/15/2034      18,232,103  
10,277,478    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-C, (1 Month LIBOR USD + 2.75%, 2.75% Floor)      4.82%  ^     10/15/2034      10,302,763  
4,857,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E      4.14%  #^     10/05/2031      4,733,747  
6,678,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-A, (1 Month LIBOR USD + 0.80%, 0.84% Floor)      2.87%  ^     02/15/2035      6,670,141  
6,954,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-B, (1 Month LIBOR USD + 1.10%, 1.14% Floor)      3.17%  ^     02/15/2035      6,948,096  
905,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-C, (1 Month LIBOR USD + 1.30%, 1.34% Floor)      3.37%  ^     02/15/2035      904,528  
1,462,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-D, (1 Month LIBOR USD + 2.05%, 1.84% Floor)      4.12%  ^     02/15/2035      1,462,276  
95,387,390    JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA      1.10%  #I/O     02/15/2047      3,634,708  
3,396,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-C      4.81%  #     08/15/2047      3,364,044  
56,244,838    JPMBB Commercial Mortgage Securities Trust, Series 2014-C22-XA      1.05%  #I/O     09/15/2047      2,371,350  
216,714,026    JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA      1.10%  #I/O     11/15/2047      9,075,333  
32,031,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-A4      3.49%       01/15/2048      31,946,371  
6,499,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C      4.57%  #     01/15/2048      6,393,973  
248,292,083    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA      1.26%  #I/O     01/15/2048      10,805,498  
12,055,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-C      4.48%  #     02/15/2048      11,756,417  
10,425,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D      3.98%  #^     02/15/2048      9,201,967  
15,238,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-C      4.38%  #     10/15/2048      14,600,136  
43,398,973    JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-XA      1.29%  #I/O     10/15/2048      2,033,511  
60,712,385    JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA      0.97%  #I/O     05/15/2048      1,960,172  
166,764,095    JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA      0.77%  #I/O     07/15/2048      4,887,055  
27,395,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C      4.82%  #     11/15/2048      27,176,281  
97,296,927    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA      1.61%  #I/O     11/15/2048      5,260,135  
17,630,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C      4.77%  #     12/15/2048      17,701,192  
32,345,000    JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-C      4.90%  #     03/15/2049      32,723,488  
148,127,351    JPMBB Commercial Mortgage Securities Trust, Series 2016-C2-XA      1.85%  #I/O     06/15/2049      12,442,446  
170,051,232    JPMBB Commercial Mortgage Securities Trust, Series 2017-C5-XA      1.17%  #I/O     03/15/2050      11,038,553  
9,900,989    LB-UBS Commercial Mortgage Trust, Series 2006-C7-XCL      0.90%  #^I/O     11/15/2038      4,771  
31,939,000    LoanCore Issuer Ltd., Series 2018-CRE1-AS, (1 Month LIBOR USD + 1.50%, 1.50% Floor)      3.57%  ^     05/15/2028      32,049,650  
22,591,612    LSTAR Commercial Mortgage Trust, Series 2017-5-X      1.39%  #^I/O     03/10/2050      1,086,239  
61,018,931    Merrill Lynch Mortgage Investors Trust, Series 1998-C1-IO      0.60%  #I/O     11/15/2026      490,275  
864,144    Merrill Lynch Mortgage Trust, Series 2006-C1-AJ      5.78%  #     05/12/2039      869,077  
6,000,611    Merrill Lynch Mortgage Trust, Series 2007-C1-AM      5.99%  #     06/12/2050      6,007,221  
11,401,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV-CK      4.30%  ^     10/15/2030      9,335,311  
189,676,981    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12-XA      0.99%  #I/O     10/15/2046      4,555,605  
34,143,220    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7-XA      1.52%  #I/O     02/15/2046      1,754,910  
11,700,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C      4.49%  #     10/15/2047      11,318,990  
45,025,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-A4      3.53%       12/15/2047      44,840,564  
37,950,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C      4.00%       12/15/2047      36,050,921  
20,087,700    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-B      4.16%       02/15/2048      20,094,765  
5,457,500    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C      4.61%  #     02/15/2048      5,368,139  
240,219,663    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-XA      1.52%  #I/O     02/15/2048      14,991,797  
10,616,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23-C      4.27%  #     07/15/2050      10,233,628  
8,460,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25-C      4.68%  #     10/15/2048      8,483,189  
19,422,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C      4.68%  #     12/15/2047      18,735,976  
1,517,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D      3.24%  #^     12/15/2047      1,210,670  
174,454,347    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28-XA      1.43%  #I/O     01/15/2049      12,182,862  
2,314,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31-C      4.46%  #     11/15/2049      2,250,744  
52,639,557    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33-XA      1.60%  #I/O     05/15/2050      4,377,548  
12,140,000    Morgan Stanley Capital Trust, Series 2017-ASHF-D, (1 Month LIBOR USD + 2.20%, 2.20% Floor)      4.27%  ^     11/15/2034      12,200,882  
17,935,000    Morgan Stanley Capital Trust, Series 2017-ASHF-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%  ^     11/15/2034      17,939,466  
13,586,000    Morgan Stanley Capital Trust, Series 2017-ASHF-F, (1 Month LIBOR USD + 4.35%, 4.35% Floor)      6.42%  ^     11/15/2034      13,679,526  
35,481,303    Morgan Stanley Capital, Inc., Series 2006-HQ10-X1      0.69%  #^I/O     11/12/2041      958  
2,575,000    Morgan Stanley Capital, Inc., Series 2014-CPT-E      3.56%  #^     07/13/2029      2,524,463  
2,325,000    Morgan Stanley Capital, Inc., Series 2014-CPT-F      3.56%  #^     07/13/2029      2,269,767  
12,400,000    Morgan Stanley Capital, Inc., Series 2014-MP-D      3.82%  #^     08/11/2033      12,222,645  
11,000,000    Morgan Stanley Capital, Inc., Series 2014-MP-E      3.82%  #^     08/11/2033      10,743,563  
27,323,429    Morgan Stanley Capital, Inc., Series 2015-UBS8-XA      1.08%  #I/O     12/15/2048      1,493,835  
148,954,634    Morgan Stanley Capital, Inc., Series 2017-H1-XA      1.61%  #I/O     06/15/2050      13,164,625  
4,434,748    Motel 6 Trust, Series 2017-MTL6-A, (1 Month LIBOR USD + 0.92%, 0.92% Floor)      2.99%  ^     08/15/2034      4,440,742  
15,588,500    Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      2.87%  ^     06/15/2035      15,627,471  
1,490,672    PFP Ltd., Series 2017-3-A, (1 Month LIBOR USD + 1.05%)      3.12%  ^     01/14/2035      1,493,785  
2,270,000    PFP Ltd., Series 2017-3-AS, (1 Month LIBOR USD + 1.30%)      3.37%  ^     01/14/2035      2,276,454  
1,306,000    PFP Ltd., Series 2017-3-B, (1 Month LIBOR USD + 1.75%)      3.82%  ^     01/14/2035      1,312,057  
1,360,000    PFP Ltd., Series 2017-3-C, (1 Month LIBOR USD + 2.50%)      4.57%  ^     01/14/2035      1,369,738  
4,215,737    RAIT Trust, Series 2017-FL7-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      3.02%  ^     06/15/2037      4,218,461  
1,243,000    RAIT Trust, Series 2017-FL7-AS, (1 Month LIBOR USD + 1.30%, 1.30% Floor)      3.37%  ^     06/15/2037      1,243,468  
12,447,000    Rosslyn Portfolio Trust, Series 2017-ROSS-A, (1 Month LIBOR USD + 0.95%, 1.94% Floor)      3.02%  ^     06/15/2033      12,466,258  
15,724,000    Rosslyn Portfolio Trust, Series 2017-ROSS-B, (1 Month LIBOR USD + 1.25%, 2.24% Floor)      3.32%  ^     06/15/2033      15,748,910  
8,667,773    Tharaldson Hotel Portfolio Trust, Series 2018-THL-E, (1 Month LIBOR USD + 3.18%, 3.10% Floor)      5.23%  ^     11/11/2034      8,698,927  
1,513,767    TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4-AJ      5.48%  #     08/15/2039      1,519,036  
95,157,061    UBS Commercial Mortgage Trust, Series 2017-C1-XA      1.77%  #I/O     06/15/2050      9,922,750  
12,866,716    UBS Commercial Mortgage Trust, Series 2017-C3-XA      1.28%  #I/O     08/15/2050      949,857  
2,886,000    UBS Commercial Mortgage Trust, Series 2017-C6-C      4.60%  #     12/15/2050      2,797,759  
8,530,000    UBS Commercial Mortgage Trust, Series 2018-C8-C      4.86%  #     02/15/2051      8,382,690  
44,017,693    UBS Commercial Mortgage Trust, Series 2018-C9-XA      1.07%  #I/O     03/15/2051      3,080,367  
83,130,640    UBS-Barclays Commercial Mortgage Trust, Series 2012-C3-XA      2.05%  #^I/O     08/10/2049      5,376,566  
1,255,121    VSD LLC, Series 2017-PLT1-A1      3.60%  ^     12/25/2043      1,254,271  
28,884,284    Wachovia Bank Commercial Mortgage Trust, Series 2007-C30-AJ      5.41%  #     12/15/2043      29,131,382  
6,480,329    Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AM      6.21%  #     02/15/2051      6,599,205  
81,345,561    Waterfall Commercial Mortgage Trust, Series 2015-SBC5-A      4.10%  #^     09/14/2022      79,388,769  
38,265,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-A5      3.41%       12/15/2047      37,903,331  
4,346,710    Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-B      3.96%       12/15/2047      4,332,883  
11,460,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C26-C      4.07%  #     02/15/2048      11,011,010  
435,199,505    Wells Fargo Commercial Mortgage Trust, Series 2015-C26-XA      1.42%  #I/O     02/15/2048      27,051,740  
5,450,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C27-C      3.89%       02/15/2048      5,084,559  
251,436,532    Wells Fargo Commercial Mortgage Trust, Series 2015-C27-XA      1.05%  #I/O     02/15/2048      11,793,756  
9,701,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C      4.76%  #     11/15/2048      9,670,851  
142,252,680    Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA      1.24%  #I/O     11/15/2048      8,571,577  
273,484,372    Wells Fargo Commercial Mortgage Trust, Series 2015-LC20-XA      1.52%  #I/O     04/15/2050      16,953,159  
12,000,000    Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-C      4.69%  #     09/15/2058      11,831,593  
1,794,000    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-C      4.75%  #     12/15/2048      1,795,242  
5,405,000    Wells Fargo Commercial Mortgage Trust, Series 2015-P2-A4      3.81%       12/15/2048      5,474,405  
129,823,032    Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA      1.15%  #I/O     12/15/2048      6,814,346  
11,469,000    Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C      4.88%  #     01/15/2059      11,278,867  
8,676,000    Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C      5.20%  #     06/15/2049      8,854,127  
159,384,387    Wells Fargo Commercial Mortgage Trust, Series 2017-C39-XA      1.29%  #I/O     09/15/2050      12,353,756  
50,857,885    Wells Fargo Commercial Mortgage Trust, Series 2017-C42-XA      1.05%  #I/O     12/15/2050      3,459,801  
12,048,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-C, (1 Month LIBOR USD + 1.20%, 1.20% Floor)      3.40%  ^     12/15/2034      12,058,070  
7,229,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-D, (1 Month LIBOR USD + 1.65%, 1.65% Floor)      3.85%  ^     12/15/2034      7,240,092  
22,851,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-E, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.45%  ^     12/15/2034      22,888,476  
169,014,204    Wells Fargo Commercial Mortgage Trust, Series 2018-C43-XA      0.87%  #I/O     03/15/2051      9,112,959  
59,004,847    WF-RBS Commercial Mortgage Trust, Series 2011-C4-XA      0.51%  #^I/O     06/15/2044      575,999  
83,671,681    WF-RBS Commercial Mortgage Trust, Series 2012-C6-XA      2.27%  #^I/O     04/15/2045      4,916,891  
98,244,251    WF-RBS Commercial Mortgage Trust, Series 2012-C8-XA      2.01%  #^I/O     08/15/2045      5,949,741  
41,453,831    WF-RBS Commercial Mortgage Trust, Series 2012-C9-XA      2.05%  #^I/O     11/15/2045      2,750,938  
158,402,189    WF-RBS Commercial Mortgage Trust, Series 2013-C18-XA      0.98%  #I/O     12/15/2046      4,364,234  
174,583,029    WF-RBS Commercial Mortgage Trust, Series 2014-C19-XA      1.27%  #I/O     03/15/2047      7,638,339  
55,000,000    WF-RBS Commercial Mortgage Trust, Series 2014-C25-A5      3.63%       11/15/2047      55,220,187  
8,000,000    WF-RBS Commercial Mortgage Trust, Series 2014-C25-C      4.47%  #     11/15/2047      7,798,827  
200,124,765    WF-RBS Commercial Mortgage Trust, Series 2014-C25-XA      1.05%  #I/O     11/15/2047      8,345,643  
138,536,176    WF-RBS Commercial Mortgage Trust, Series 2016-NXS6-XA      1.79%  #I/O     11/15/2049      12,579,514  
           

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $3,683,605,178)

 

         3,464,142,461  
           

 

 

  

Non-Agency Residential Collateralized Mortgage Obligations - 25.7%

         
10,000,000    Accredited Mortgage Loan Trust, Series 2005-4-M1, (1 Month LIBOR USD + 0.40%, 0.40% Floor)      2.49%       12/25/2035      9,711,940  
90,317,573    Accredited Mortgage Loan Trust, Series 2006-2-A4, (1 Month LIBOR USD + 0.26%, 0.26% Floor)      2.35%       09/25/2036      88,226,269  
14,323,060    ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2B, (1 Month LIBOR USD + 0.12%, 0.12% Floor)      2.21%       01/25/2037      10,584,890  
3,843,934    Adjustable Rate Mortgage Trust, Series 2005-10-3A31      3.37%  #     01/25/2036      3,676,200  
39,187,800    Adjustable Rate Mortgage Trust, Series 2005-11-4A1      3.44%  #     02/25/2036      33,143,952  
5,466,565    Adjustable Rate Mortgage Trust, Series 2005-2-6M2, (1 Month LIBOR USD + 0.98%, 0.48% Floor, 11.00% Cap)      3.07%       06/25/2035      5,339,532  
1,700,256    Adjustable Rate Mortgage Trust, Series 2005-7-3A1      4.20%  #     10/25/2035      1,514,785  
20,910,342    Adjustable Rate Mortgage Trust, Series 2006-1-2A1      4.10%  #     03/25/2036      17,413,959  
14,648,883    Adjustable Rate Mortgage Trust, Series 2006-2-3A1      3.89%  #     05/25/2036      13,700,967  
17,410,719    Adjustable Rate Mortgage Trust, Series 2006-2-5A1      5.27%  #     05/25/2036      11,902,337  
17,383,134    Adjustable Rate Mortgage Trust, Series 2007-1-3A1      3.97%  #     03/25/2037      15,886,214  
3,049,969    Adjustable Rate Mortgage Trust, Series 2007-3-1A1      4.77%  #^     11/25/2037      3,157,923  
268,609    Aegis Asset Backed Securities Trust, Series 2003-2-M2, (1 Month LIBOR USD + 2.55%, 1.70% Floor)      4.64%       11/25/2033      267,280  
1,513,060    Aegis Asset Backed Securities Trust, Series 2004-1-M2, (1 Month LIBOR USD + 2.03%, 1.35% Floor)      4.12%       04/25/2034      1,464,312  
617,792    Aegis Asset Backed Securities Trust, Series 2004-2-M2, (1 Month LIBOR USD + 1.95%, 1.30% Floor)      4.04%       06/25/2034      599,752  
13,726,711    Aegis Asset Backed Securities Trust, Series 2004-6-M2, (1 Month LIBOR USD + 1.00%, 1.00% Floor, 15.00% Cap)      3.09%       03/25/2035      12,842,218  
76,142,501    Ajax Master Trust, Series 2016-1-PC      0.00%  #^¥     01/01/2057      68,590,338  
82,413,174    Ajax Master Trust, Series 2016-2-PC      0.00%  #^¥     10/25/2056      65,633,539  
96,609,684    Ajax Master Trust, Series 2017-1-PC      0.00%  #^     06/25/2057      85,451,304  
46,735,584    Ajax Mortgage Loan Trust, Series 2016-A-A      4.25%  ^§     08/25/2064      47,351,242  
9,628,829    Ajax Mortgage Loan Trust, Series 2016-C-A      4.00%  ^§     10/25/2057      9,675,419  
66,904,368    Ajax Mortgage Loan Trust, Series 2017-C-A      3.75%  ^§     07/25/2060      65,917,535  
11,301,754    Alternative Loan, Series 2007-15CB-A5      5.75%       07/25/2037      10,091,747  
64,363,512    Alternative Loan Trust, Series 2005-55CB-1A1      5.50%       11/25/2035      62,677,593  
16,872,937    Alternative Loan Trust, Series 2006-13T1-A1      6.00%       05/25/2036      13,465,386  
12,369,117    Alternative Loan Trust, Series 2006-41CB-1A15, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     01/25/2037      1,886,579  
12,369,117    Alternative Loan Trust, Series 2006-41CB-1A2, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)      2.69%       01/25/2037      8,638,291  
7,964,789    Alternative Loan Trust, Series 2007-15CB-A2      5.75%       07/25/2037      7,112,050  
25,116,092    Alternative Loan Trust, Series 2007-5CB-1A31      5.50%       04/25/2037      20,624,486  
8,286,436    Alternative Loan Trust, Series 2007-5CB-2A1      6.00%       04/25/2037      6,520,848  
8,047,370    Alternative Loan Trust, Series 2007-6-A1      5.75%       04/25/2047      7,049,219  
74,127,271    Alternative Loan Trust, Series 2007-HY4-4A1      3.75%  #     06/25/2047      69,283,210  
103,765,335    Alternative Loan Trust, Series 2007-HY9-A2, (1 Month LIBOR USD + 0.27%, 0.27% Floor)      2.36%       08/25/2047      90,470,827  
989,974    American Home Mortgage Investment Trust, Series 2005-1-7A2, (6 Month LIBOR USD + 2.00%, 2.00% Floor, 11.00% Cap)      4.50%       06/25/2045      998,060  
6,981,851    American Home Mortgage Investment Trust, Series 2005-4-3A1, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 11.00% Cap)      2.39%       11/25/2045      6,316,458  
26,697,988    American Home Mortgage Investment Trust, Series 2005-4-5A, (6 Month LIBOR USD + 1.75%, 1.75% Floor, 11.00% Cap)      4.22%       11/25/2045      20,706,412  
2,271,087    American Home Mortgage Investment Trust, Series 2006-2-3A4      6.60%  #     06/25/2036      905,192  
7,953,279    American Home Mortgage Investment Trust, Series 2007-A-13A1      6.60%  #^     01/25/2037      3,700,975  
6,862,903    Ameriquest Mortgage Securities, Inc., Series 2004-FR1-M1      4.50%  ß     05/25/2034      6,953,644  
16,500,000    Ameriquest Mortgage Securities, Inc., Series 2004-R8-M2, (1 Month LIBOR USD + 1.02%, 0.68% Floor)      3.11%       09/25/2034      16,445,888  
10,318,972    Amortizing Residential Collateral Trust, Series 2002-BC7-M1, (1 Month LIBOR USD + 1.20%, 0.80% Floor)      3.29%       10/25/2032      8,906,593  
33,158,437    Angel Oak Mortgage Trust, Series 2018-1-A      3.26%  #^     04/27/2048      33,233,786  
136,839    Argent Securities, Inc., Series 2004-W6-M1, (1 Month LIBOR USD + 0.83%, 0.55% Floor)      2.92%       05/25/2034      136,817  
2,512,402    Asset Backed Securities Corporation Home Equity Loan Trust, Series 2003-HE6-M1, (1 Month LIBOR USD + 0.98%, 0.65% Floor)      3.07%       11/25/2033      2,489,257  
665,453    Asset Backed Securities Corporation Home Equity Loan Trust, Series 2004-HE3-M2, (1 Month LIBOR USD + 1.68%, 1.12% Floor)      3.77%       06/25/2034      662,958  
33,954,730    Asset Backed Securities Corporation Home Equity Loan Trust, Series 2006-HE7-A1, (1 Month LIBOR USD + 0.14%, 0.14% Floor)      2.23%       11/25/2036      31,437,740  
13,357,702    Banc of America Alternative Loan Trust, Series 2005-10-2CB1      6.00%       11/25/2035      13,550,902  
2,004,358    Banc of America Alternative Loan Trust, Series 2005-10-4A1      5.75%       11/25/2035      1,921,704  
7,264,674    Banc of America Alternative Loan Trust, Series 2005-11-2CB1      6.00%       12/25/2035      7,272,892  
2,599,222    Banc of America Alternative Loan Trust, Series 2005-5-2CB1      6.00%       06/25/2035      2,557,234  
3,956,847    Banc of America Alternative Loan Trust, Series 2005-6-2CB2      6.00%       07/25/2035      3,956,246  
2,547,782    Banc of America Alternative Loan Trust, Series 2005-6-4CB1      6.50%       07/25/2035      2,462,328  
1,613,429    Banc of America Alternative Loan Trust, Series 2005-8-2CB1      6.00%       09/25/2035      1,621,257  
7,794,816    Banc of America Alternative Loan Trust, Series 2006-1-3CB1      6.50%       02/25/2036      7,809,864  
4,045,932    Banc of America Alternative Loan Trust, Series 2006-2-1CB1      6.00%       03/25/2036      4,000,966  
4,895,506    Banc of America Alternative Loan Trust, Series 2006-2-3CB1      6.50%       03/25/2036      4,391,543  
4,010,688    Banc of America Alternative Loan Trust, Series 2006-3-4CB1      6.50%       04/25/2036      3,710,478  
1,233,019    Banc of America Alternative Loan Trust, Series 2006-5-CB14, (1 Month LIBOR USD + 1.10%, 6.00% Floor, 6.00% Cap)      6.00%       06/25/2046      1,142,674  
2,780,141    Banc of America Alternative Loan Trust, Series 2006-6-CB3      6.00%       07/25/2046      2,501,698  
12,463,325    Banc of America Alternative Loan Trust, Series 2006-7-A4      6.00%  ß     10/25/2036      7,414,158  
3,895,345    Banc of America Alternative Loan Trust, Series 2006-8-1A1, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.41%  I/FI/O     11/25/2036      499,434  
1,388,278    Banc of America Alternative Loan Trust, Series 2006-8-1A2, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       11/25/2036      1,162,310  
6,626,762    Banc of America Alternative Loan Trust, Series 2006-9-1CB1      6.00%       01/25/2037      5,986,706  
919,658    Banc of America Alternative Loan Trust, Series 2007-2-2A1      6.00%       06/25/2037      854,292  
7,097,540    Banc of America Funding Corporation, Series 2006-2-3A1      6.00%       03/25/2036      7,141,128  
215,752    Banc of America Funding Corporation, Series 2006-2-4A1, (-3 x 1 Month LIBOR USD + 22.80%)      16.53%  I/F     03/25/2036      269,824  
749,836    Banc of America Funding Corporation, Series 2006-2-6A2      5.50%       03/25/2036      737,043  
4,453,743    Banc of America Funding Corporation, Series 2006-3-1A1      6.00%       03/25/2036      4,298,021  
699,676    Banc of America Funding Corporation, Series 2006-3-6A1      6.21%  #     03/25/2036      707,417  
5,375,002    Banc of America Funding Corporation, Series 2006-6-1A7      6.25%       08/25/2036      5,220,996  
1,567,748    Banc of America Funding Corporation, Series 2006-7-T2A5      6.04%  ß     10/25/2036      1,453,748  
7,389,270    Banc of America Funding Corporation, Series 2006-7-T2A8      5.91%  ß     10/25/2036      6,845,711  
1,559,892    Banc of America Funding Corporation, Series 2006-8T2-A8      6.10%  ß     10/25/2036      1,435,247  
698,787    Banc of America Funding Corporation, Series 2006-B-7A1      3.77%  #     03/20/2036      659,458  
9,736,811    Banc of America Funding Corporation, Series 2006-D-6A1      3.69%  #     05/20/2036      9,046,166  
540,979    Banc of America Funding Corporation, Series 2006-G-2A1, (1 Month LIBOR USD + 0.22%, 0.22% Floor, 10.50% Cap)      2.30%       07/20/2036      539,522  
349,498    Banc of America Funding Corporation, Series 2006-H-3A1      3.56%  #     09/20/2046      326,372  
1,063,506    Banc of America Funding Corporation, Series 2007-1-TA10      5.84%  ß     01/25/2037      984,143  
1,522,801    Banc of America Funding Corporation, Series 2007-3-TA1B      5.83%  #     04/25/2037      1,362,398  
2,539,508    Banc of America Funding Corporation, Series 2007-5-1A1      5.50%       07/25/2037      2,252,788  
2,613,983    Banc of America Funding Corporation, Series 2009-R14A-3A, (-2 x 1 Month LIBOR USD + 16.57%, 5.50% Floor, 16.57% Cap)      11.72%  ^I/F     06/26/2035      2,831,966  
4,140,405    Banc of America Funding Corporation, Series 2009-R15A-4A2      5.75%  #^     12/26/2036      4,072,689  
1,507,619    Banc of America Funding Corporation, Series 2010-R1-3A, (-2 x 1 Month LIBOR USD + 14.28%, 6.00% Floor, 14.28% Cap)      11.25%  ^I/F     07/26/2036      1,602,432  
381,126    Banc of America Mortgage Securities, Inc., Series 2004-K-4A1      3.30%  #     12/25/2034      380,378  
3,218,064    Banc of America Mortgage Securities, Inc., Series 2006-1-A9      6.00%       05/25/2036      3,209,007  
360,731    Banc of America Mortgage Securities, Inc., Series 2007-1-2A5      5.75%       01/25/2037      336,707  
18,878,121    BankUnited Trust, Series 2005-1-2A1      3.79%  #     09/25/2045      18,336,201  
73,114,666    Bayview Opportunity Master Fund Trust, Series 2018-RN2-A1      3.60%  ^§     02/25/2033      73,028,866  
58,152,944    Bayview Opportunity Master Fund Trust, Series 2018-RN4-A1      3.62%  ^§     03/28/2033      58,166,389  
41,345,868    Bayview Opportunity Master Fund Trust, Series 2018-SBR1-A1      3.72%  ^§     02/28/2033      41,303,807  
23,111,914    Bayview Opportunity Master Fund Trust, Series 2018-SBR3-A1      4.09%  ^§     05/28/2033      23,164,427  
3,230,952    BCAP LLC Trust, Series 2007-AA2-2A7      6.00%       04/25/2037      2,750,086  
3,497,913    BCAP LLC Trust, Series 2007-AA2-2A8      5.75%       04/25/2037      2,939,353  
11,370,262    BCAP LLC Trust, Series 2008-RR3-A1B      6.66%  #^     10/25/2036      7,098,680  
3,531,925    BCAP LLC Trust, Series 2009-RR13-18A2      5.75%  #^     07/26/2037      3,185,344  
8,513,095    BCAP LLC Trust, Series 2009-RR1-3A3      6.00%  #^Þ     08/26/2037      8,502,499  
4,823,540    BCAP LLC Trust, Series 2009-RR4-4A2      5.75%  #^     02/26/2036      3,935,055  
3,368,212    BCAP LLC Trust, Series 2010-RR10-5A1      7.00%  #^     04/27/2037      3,580,181  
3,293,355    BCAP LLC Trust, Series 2010-RR12-3A15      6.00%  #^     08/26/2037      3,333,846  
724,355    BCAP LLC Trust, Series 2010-RR5-2A3      6.10%  #^     04/26/2037      729,815  
5,974,227    Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12-13A1      4.00%  #     02/25/2036      5,631,095  
6,314,781    Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4-4A1      3.73%  #     10/25/2046      5,868,543  
7,767,743    Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-2A1      3.87%  #     02/25/2047      7,734,663  
3,599,905    Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-3A1      3.68%  #     02/25/2047      3,199,559  
2,752,610    Bear Stearns Alt-A Trust, Series 2004-11-2A3      3.75%  #     11/25/2034      2,726,601  
11,931,922    Bear Stearns Alt-A Trust, Series 2006-1-11A1, (1 Month LIBOR USD + 0.48%, 0.24% Floor, 11.50% Cap)      2.57%       02/25/2036      11,425,136  
24,385,442    Bear Stearns Alt-A Trust, Series 2006-3-21A1      3.54%  #     05/25/2036      19,972,382  
9,660,002    Bear Stearns Alt-A Trust, Series 2006-5-1A1, (1 Month LIBOR USD + 0.34%, 0.17% Floor, 11.50% Cap)      2.43%      08/25/2036      7,525,381  
11,356,857    Bear Stearns Alt-A Trust, Series 2006-6-2A1      3.58%  #     11/25/2036      10,307,104  
6,403,996    Bear Stearns Alt-A Trust, Series 2006-8-2A1      3.55%  #     08/25/2046      6,072,310  
36,180,758    Bear Stearns Alt-A Trust, Series 2007-2-2A1, (12 Month LIBOR USD + 1.88%, 1.88% Floor, 11.15% Cap)      3.66%       12/25/2046      33,431,324  
6,493,109    Bear Stearns Asset Backed Securities Trust, Series 2004-AC4-A2      6.00%  #     08/25/2034      6,657,205  
17,790,681    Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-1A      5.75%  #     04/25/2035      17,291,514  
4,982,147    Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-2A1      5.75%  #     04/25/2035      5,085,523  
64,201,630    Bear Stearns Asset Backed Securities Trust, Series 2005-AC6-22A      5.51%  #     09/25/2035      61,845,854  
10,087,608    Bear Stearns Asset Backed Securities Trust, Series 2005-AC7-A4      6.00%  #     10/25/2035      9,715,891  
13,049,478    Bear Stearns Asset Backed Securities Trust, Series 2006-AC1-1A1      6.25%  #     02/25/2036      10,310,596  
6,523,246    Bear Stearns Asset Backed Securities Trust, Series 2006-AC5-A1      6.25%  ß     12/25/2036      5,612,766  
19,578,499    Bear Stearns Asset Backed Securities Trust, Series 2007-HE2-2A3, (1 Month LIBOR USD + 0.16%, 0.16% Floor)      2.25%       02/25/2037      19,067,402  
21,660,503    Bear Stearns Asset Backed Securities Trust, Series 2007-HE6-2A, (1 Month LIBOR USD + 1.05%, 1.05% Floor)      3.14%       08/25/2037      19,773,334  
1,719,833    Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A2A      6.00%       10/25/2036      1,368,586  
1,400,777    Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A3A      6.50%       10/25/2036      1,091,854  
3,047,696    Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-23A1      3.78%  #     10/25/2036      2,893,779  
18,168,428    Bear Stearns Mortgage Funding Trust, Series 2006-AR3-2A1, (1 Month LIBOR USD + 0.20%, 0.20% Floor, 10.50% Cap)      2.29%       11/25/2036      18,411,704  
16,593,040    Bear Stearns Mortgage Funding Trust, Series 2007-AR3-22A1, (1 Month LIBOR USD + 0.16%, 0.16% Floor, 10.50% Cap)      2.25%       04/25/2037      17,933,741  
29,679,740    BNC Mortgage Loan Trust, Series 2006-2-A4, (1 Month LIBOR USD + 0.16%, 0.16% Floor)      2.25%       11/25/2036      28,616,971  
18,500,000    BNC Mortgage Loan Trust, Series 2007-1-A4, (1 Month LIBOR USD + 0.16%, 0.16% Floor)      2.25%       03/25/2037      17,719,676  
30,594,417    Carrington Mortgage Loan Trust, Series 2007-RFC1-A3, (1 Month LIBOR USD + 0.14%, 0.14% Floor, 14.50% Cap)      2.23%       12/25/2036      28,107,929  
2,750,000    Centex Home Equity, Series 2004-A-AF5      5.43%  #     01/25/2034      2,814,815  
1,364,874    Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-4-2M1, (1 Month LIBOR USD + 0.90%, 0.60% Floor)      2.99%       03/25/2033      1,327,327  
7,376,897    Chase Mortgage Finance Trust, Series 2005-A1-2A4      3.52%  #     12/25/2035      7,164,301  
12,211,191    Chase Mortgage Finance Trust, Series 2006-S2-1A9      6.25%       10/25/2036      9,701,176  
7,250,439    Chase Mortgage Finance Trust, Series 2006-S3-1A2      6.00%       11/25/2036      5,571,871  
19,022,599    Chase Mortgage Finance Trust, Series 2006-S4-A8      6.00%       12/25/2036      15,848,998  
6,805,919    Chase Mortgage Finance Trust, Series 2007-A2-6A4      3.74%  #     07/25/2037      6,584,798  
3,551,415    Chase Mortgage Finance Trust, Series 2007-S3-1A5      6.00%       05/25/2037      2,867,489  
1,821,823    Chase Mortgage Finance Trust, Series 2007-S3-2A1      5.50%       05/25/2037      1,469,067  
3,643,575    Chase Mortgage Finance Trust, Series 2007-S5-1A18      6.00%       07/25/2037      3,123,437  
5,513,501    ChaseFlex Trust, Series 2005-1-3A1      6.00%       02/25/2035      5,563,177  
947,210    ChaseFlex Trust, Series 2006-1-A5      6.16%  #     06/25/2036      905,550  
5,098,612    ChaseFlex Trust, Series 2006-2-A2B, (1 Month LIBOR USD + 0.20%, 0.20% Floor, 11.50% Cap)      2.29%       09/25/2036      4,661,845  
4,592,232    ChaseFlex Trust, Series 2007-1-1A1      6.50%       02/25/2037      3,079,689  
11,178,238    ChaseFlex Trust, Series 2007-M1-2F4      4.37%  ß     08/25/2037      10,798,939  
11,626,361    ChaseFlex Trust, Series 2007-M1-2F5      4.37%  ß     08/25/2037      11,231,065  
27,370,065    CHL Mortgage Pass-Through Trust, Series 2005-17-2A1      5.50%       09/25/2035      24,531,789  
57,078,825    CHL Mortgage Pass-Through Trust, Series 2007-21-1A1      6.25%       02/25/2038      48,078,585  
18,195,841    CHL Mortgage Pass-Through Trust, Series 2007-HYB1-2A1      3.26%  #     03/25/2037      16,988,769  
65,959,595    CIM Trust, Series 2016-1RR-B2      8.18%  #^Þ     07/26/2055      63,741,690  
75,440,246    CIM Trust, Series 2016-2RR-B2      8.02%  #^Þ     02/25/2056      73,703,016  
22,428,582    CIM Trust, Series 2016-3RR-B2, (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.48%  ^     02/25/2056      23,214,972  
73,074,681    CIM Trust, Series 2016-3RR-B2      7.94%  #^Þ     02/27/2056      70,999,806  
50,188,672    CIM Trust, Series 2017-3RR-B2      12.31%  #^Þ     01/27/2057      52,785,318  
190,877,111    CIM Trust, Series 2017-6-A1      3.02%  #^     06/25/2057      187,724,680  
161,977,447    CIM Trust, Series 2017-8-A1      3.00%  #^     12/25/2065      161,846,618  
6,660,906    Citicorp Mortgage Securities, Inc., Series 2005-1-1A4      5.50%       02/25/2035      6,792,932  
1,451,113    Citicorp Mortgage Securities, Inc., Series 2006-7-1A1      6.00%       12/25/2036      1,302,731  
6,594,000    Citicorp Residential Mortgage Securities, Inc., Series 2006-2-A5      5.49%  ß     09/25/2036      6,813,878  
18,354,862    Citicorp Residential Mortgage Securities, Inc., Series 2007-1-A4      5.45%  ß     03/25/2037      18,923,312  
2,216,279    Citigroup Mortgage Loan Trust, Inc., Series 2005-5-2A2      5.75%       08/25/2035      1,801,803  
1,198,984    Citigroup Mortgage Loan Trust, Inc., Series 2005-9-21A1      5.50%       11/25/2035      1,149,184  
3,320,409    Citigroup Mortgage Loan Trust, Inc., Series 2006-4-2A1A      6.00%       12/25/2035      3,335,357  
41,829,273    Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1-A1, (1 Month LIBOR USD + 0.15%, 0.15% Floor)      2.24%  ^     09/25/2036      40,466,015  
12,423,866    Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3-1A1A      4.17%  #     06/25/2036      12,432,406  
3,690,790    Citigroup Mortgage Loan Trust, Inc., Series 2006-FX1-A6      5.85%  ß     10/25/2036      2,969,750  
2,039,571    Citigroup Mortgage Loan Trust, Inc., Series 2006-WF1-A2D      4.99%  ß     03/25/2036      1,478,026  
12,588,896    Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2-A2D      6.16%  ß     05/25/2036      7,499,265  
7,580,000    Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH3-M1, (1 Month LIBOR USD + 0.29%, 0.29% Floor)      2.38%       10/25/2036      7,572,650  
5,280,436    Citigroup Mortgage Loan Trust, Inc., Series 2007-10-1A1A      5.63%  #     04/25/2037      5,351,648  
856,969    Citigroup Mortgage Loan Trust, Inc., Series 2007-12-2A1      6.50%  ^     10/25/2036      677,530  
248,429    Citigroup Mortgage Loan Trust, Inc., Series 2007-2-2A      6.00%       11/25/2036      253,966  
25,277,508    Citigroup Mortgage Loan Trust, Inc., Series 2007-9-1A1      5.75%  ^     04/25/2047      21,126,378  
1,324,843    Citigroup Mortgage Loan Trust, Inc., Series 2007-9-2A2      6.50%  #^     05/25/2037      1,292,881  
87,053,240    Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC2-A1, (1 Month LIBOR USD + 0.14%, 0.14% Floor)      2.23%  ^     01/25/2037      79,537,516  
3,918,723    Citigroup Mortgage Loan Trust, Inc., Series 2007-AR5-1A3A      3.77%  #     04/25/2037      3,732,454  
5,218,370    Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A3A      5.97%  ß     01/25/2037      3,635,653  
11,503,165    Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A5A      5.76%  ß     01/25/2037      8,016,148  
2,415,029    Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH3-A2, (1 Month LIBOR USD + 0.16%, 0.16% Floor)      2.25%       06/25/2037      2,420,378  
10,603,326    Citigroup Mortgage Loan Trust, Inc., Series 2008-AR4-1A1B      3.78%  #^     11/25/2038      10,579,730  
7,854,707    Citigroup Mortgage Loan Trust, Inc., Series 2010-7-9A4      6.00%  #^     10/25/2037      7,395,574  
114,180,566    Citigroup Mortgage Loan Trust, Inc., Series 2010-8-5A4      6.00%  #^     11/25/2036      113,593,472  
92,033,730    Citigroup Mortgage Loan Trust, Inc., Series 2010-8-6A4      6.00%  #^     12/25/2036      90,728,913  
65,571,983    Citigroup Mortgage Loan Trust, Inc., Series 2010-8-7A4      6.00%  #^     06/25/2037      66,405,337  
29,339,977    Citigroup Mortgage Loan Trust, Inc., Series 2014-J2-A1      3.50%  #^     11/25/2044      29,023,657  
237,272,947    Citigroup Mortgage Loan Trust, Inc., Series 2017-RP2-A1A      0.00%  #^     07/25/2067      236,367,988  
4,321,393    CitiMortgage Alternative Loan Trust, Series 2006-A2-A2      6.00%       05/25/2036      4,152,926  
4,356,058    CitiMortgage Alternative Loan Trust, Series 2006-A3-1A13      6.00%       07/25/2036      4,220,464  
2,999,726    CitiMortgage Alternative Loan Trust, Series 2006-A4-1A8      6.00%       09/25/2036      2,941,559  
969,261    CitiMortgage Alternative Loan Trust, Series 2006-A5-2A1      5.50%       10/25/2021      996,958  
3,233,877    CitiMortgage Alternative Loan Trust, Series 2006-A5-3A3      6.00%       10/25/2036      3,040,911  
6,724,184    CitiMortgage Alternative Loan Trust, Series 2007-A1, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)      2.69%       01/25/2037      5,751,133  
5,086,182    CitiMortgage Alternative Loan Trust, Series 2007-A1-1A5      6.00%       01/25/2037      4,787,891  
2,479,850    CitiMortgage Alternative Loan Trust, Series 2007-A1-1A7      6.00%       01/25/2037      2,334,414  
6,345,015    CitiMortgage Alternative Loan Trust, Series 2007-A1-1A9, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     01/25/2037      579,633  
5,217,962    CitiMortgage Alternative Loan Trust, Series 2007-A3-1A1      6.00%  ±     03/25/2037      5,102,197  
12,008,201    CitiMortgage Alternative Loan Trust, Series 2007-A3-1A3, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     03/25/2037      1,087,644  
4,705,756    CitiMortgage Alternative Loan Trust, Series 2007-A3-1A4      5.75%       03/25/2037      4,563,426  
8,656,240    CitiMortgage Alternative Loan Trust, Series 2007-A4-1A3, (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)      2.42%       04/25/2037      7,045,798  
8,656,240    CitiMortgage Alternative Loan Trust, Series 2007-A4-1A4, (-1 x 1 Month LIBOR USD + 6.67%, 6.67% Cap)      4.58%  I/FI/O     04/25/2037      1,206,644  
1,255,269    CitiMortgage Alternative Loan Trust, Series 2007-A5-1A11      6.00%       05/25/2037      1,219,106  
16,549,809    CitiMortgage Alternative Loan Trust, Series 2007-A5-1A8      6.00%       05/25/2037      16,073,027  
554,372    CitiMortgage Alternative Loan Trust, Series 2007-A8-A1      6.00%       10/25/2037      525,071  
1,202,678    COLT Funding LLC, Series 2015-1-A1F      4.00%  #^     12/26/2045      1,205,683  
51,333,865    Countrywide Alternative Loan Trust, Series 2004-36CB-1A1      6.00%       02/25/2035      49,064,795  
6,203,966    Countrywide Alternative Loan Trust, Series 2005-13CB-A3      5.50%       05/25/2035      6,191,160  
4,601,073    Countrywide Alternative Loan Trust, Series 2005-20CB-2A1, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap)      2.59%       07/25/2035      3,608,465  
9,393,858    Countrywide Alternative Loan Trust, Series 2005-20CB-2A2, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     07/25/2035      814,261  
434,232    Countrywide Alternative Loan Trust, Series 2005-20CB-4A1      5.25%       07/25/2020      430,521  
3,446,879    Countrywide Alternative Loan Trust, Series 2005-26CB-A11, (-2 x 1 Month LIBOR USD + 13.05%, 13.05% Cap)      9.26%  I/F     07/25/2035      3,411,691  
4,852,831    Countrywide Alternative Loan Trust, Series 2005-28CB-1A2, (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap)      2.84%       08/25/2035      4,146,018  
1,798,372    Countrywide Alternative Loan Trust, Series 2005-28CB-3A6      6.00%       08/25/2035      1,394,014  
2,425,002    Countrywide Alternative Loan Trust, Series 2005-46CB-A20      5.50%       10/25/2035      2,351,153  
8,164,572    Countrywide Alternative Loan Trust, Series 2005-48T1-A2      5.50%       11/25/2035      7,474,835  
2,807,701    Countrywide Alternative Loan Trust, Series 2005-54CB-3A4      5.50%       11/25/2035      2,485,730  
27,137,710    Countrywide Alternative Loan Trust, Series 2005-57CB-1A1      5.50%       12/25/2035      24,997,931  
617,929    Countrywide Alternative Loan Trust, Series 2005-60T1-A7, (-7 x 1 Month LIBOR USD + 35.93%, 35.93% Cap)      20.60%  I/F     12/25/2035      782,471  
914,654    Countrywide Alternative Loan Trust, Series 2005-64CB-1A14      5.50%       12/25/2035      902,957  
13,275,066    Countrywide Alternative Loan Trust, Series 2005-64CB-1A4      5.50%       12/25/2035      13,105,288  
2,190,187    Countrywide Alternative Loan Trust, Series 2005-73CB-1A5, (1 Month LIBOR USD + 0.80%, 0.80% Floor, 5.50% Cap)      2.89%       01/25/2036      1,914,741  
5,510,057    Countrywide Alternative Loan Trust, Series 2005-73CB-1A6, (-1 x 1 Month LIBOR USD + 4.70%, 4.70% Cap)      2.61%  I/FI/O     01/25/2036      336,311  
47,737,442    Countrywide Alternative Loan Trust, Series 2005-77T1-1A1      6.00%       02/25/2036      37,258,959  
1,094,666    Countrywide Alternative Loan Trust, Series 2005-79CB-A5      5.50%       01/25/2036      975,336  
34,484,548    Countrywide Alternative Loan Trust, Series 2005-85CB-1A1      6.00%       02/25/2036      27,290,764  
2,812,369    Countrywide Alternative Loan Trust, Series 2005-85CB-2A6, (-4 x 1 Month LIBOR USD + 21.63%, 21.63% Cap)      13.97%  I/F     02/25/2036      3,192,175  
1,675,304    Countrywide Alternative Loan Trust, Series 2005-86CB-A5      5.50%       02/25/2036      1,490,221  
3,141,164    Countrywide Alternative Loan Trust, Series 2005-J10-1A11      5.50%       10/25/2035      2,866,150  
714,855    Countrywide Alternative Loan Trust, Series 2005-J10-1A13, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap)      2.79%       10/25/2035      612,669  
334,870    Countrywide Alternative Loan Trust, Series 2005-J10-1A15      5.50%       10/25/2035      305,551  
814,941    Countrywide Alternative Loan Trust, Series 2005-J11-1A3      5.50%       11/25/2035      712,585  
1,172,681    Countrywide Alternative Loan Trust, Series 2005-J11-6A1      6.50%       09/25/2032      1,148,990  
981,522    Countrywide Alternative Loan Trust, Series 2005-J13-2A5, (1 Month LIBOR USD + 0.48%, 0.48% Floor, 5.50% Cap)      2.57%       11/25/2035      793,175  
1,963,045    Countrywide Alternative Loan Trust, Series 2005-J13-2A6, (-1 x 1 Month LIBOR USD + 5.02%, 5.02% Cap)      2.93%  I/FI/O     11/25/2035      153,173  
3,891,000    Countrywide Alternative Loan Trust, Series 2005-J1-5A3      5.50%       02/25/2035      3,839,543  
730,378    Countrywide Alternative Loan Trust, Series 2005-J1-7A1      5.50%       01/25/2020      727,363  
984,197    Countrywide Alternative Loan Trust, Series 2005-J2-1A5, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap)      2.59%       04/25/2035      874,653  
3,028,300    Countrywide Alternative Loan Trust, Series 2005-J2-1A6, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     04/25/2035      196,824  
9,595,318    Countrywide Alternative Loan Trust, Series 2005-J3-2A8, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.50% Cap)      2.39%       05/25/2035      8,769,425  
9,595,318    Countrywide Alternative Loan Trust, Series 2005-J3-2A9, (-1 x 1 Month LIBOR USD + 5.20%, 5.20% Cap)      3.11%  I/FI/O     05/25/2035      810,614  
4,176,003    Countrywide Alternative Loan Trust, Series 2006-12CB-A3, (1 Month LIBOR USD + 5.75%, 5.75% Floor)      5.75%       05/25/2036      3,382,043  
43,536,583    Countrywide Alternative Loan Trust, Series 2006-15CB-A1      6.50%       06/25/2036      33,996,838  
1,320,888    Countrywide Alternative Loan Trust, Series 2006-18CB-A12, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)      2.69%       07/25/2036      928,997  
1,320,888    Countrywide Alternative Loan Trust, Series 2006-18CB-A13, (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap)      3.41%  I/FI/O     07/25/2036      172,245  
6,610,425    Countrywide Alternative Loan Trust, Series 2006-19CB-A12, (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.00% Cap)      2.49%       08/25/2036      4,830,656  
8,964,133    Countrywide Alternative Loan Trust, Series 2006-19CB-A13, (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)      3.51%  I/FI/O     08/25/2036      1,238,462  
1,379,974    Countrywide Alternative Loan Trust, Series 2006-19CB-A15      6.00%       08/25/2036      1,240,182  
2,287,689    Countrywide Alternative Loan Trust, Series 2006-24CB-A11      5.75%       06/25/2036      1,960,881  
6,695,784    Countrywide Alternative Loan Trust, Series 2006-24CB-A14, (-1 x 1 Month LIBOR USD + 7.15%, 7.15% Cap)      5.06%  I/FI/O     06/25/2036      1,449,241  
5,369,147    Countrywide Alternative Loan Trust, Series 2006-24CB-A22      6.00%       06/25/2036      4,690,452  
5,762,708    Countrywide Alternative Loan Trust, Series 2006-24CB-A5, (1 Month LIBOR USD + 0.60%, 0.06% Floor, 6.00% Cap)      2.69%       06/25/2036      3,842,292  
2,139,869    Countrywide Alternative Loan Trust, Series 2006-26CB-A17      6.25%       09/25/2036      1,719,948  
2,746,704    Countrywide Alternative Loan Trust, Series 2006-26CB-A9      6.50%       09/25/2036      2,253,939  
5,189,466    Countrywide Alternative Loan Trust, Series 2006-29T1-1A2      6.25%       10/25/2036      4,430,469  
739,889    Countrywide Alternative Loan Trust, Series 2006-29T1-2A12, (-7 x 1 Month LIBOR USD + 46.15%, 46.15% Cap)      32.56%  I/F     10/25/2036      1,338,146  
453,198    Countrywide Alternative Loan Trust, Series 2006-29T1-2A23, (-4 x 1 Month LIBOR USD + 33.37%, 33.37% Cap)      24.31%  I/F     10/25/2036      670,205  
5,262,600    Countrywide Alternative Loan Trust, Series 2006-30T1-1A2      6.25%       11/25/2036      4,490,742  
3,545,383    Countrywide Alternative Loan Trust, Series 2006-32CB-A1, (1 Month LIBOR USD + 0.67%, 0.67% Floor, 6.00% Cap)      2.76%       11/25/2036      2,535,667  
5,913,699    Countrywide Alternative Loan Trust, Series 2006-32CB-A2, (-1 x 1 Month LIBOR USD + 5.33%, 5.33% Cap)      3.24%  I/FI/O     11/25/2036      843,910  
6,223,924    Countrywide Alternative Loan Trust, Series 2006-36T2-2A1      6.25%       12/25/2036      4,499,971  
1,789,408    Countrywide Alternative Loan Trust, Series 2006-39CB-1A10      6.00%       01/25/2037      1,723,851  
16,678,187    Countrywide Alternative Loan Trust, Series 2006-39CB-2A2, (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.46%  I/FI/O     01/25/2037      3,650,675  
5,679,710    Countrywide Alternative Loan Trust, Series 2006-39CB-2A4, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       01/25/2037      1,312,859  
2,646,271    Countrywide Alternative Loan Trust, Series 2006-40T1-1A11      6.00%       01/25/2037      2,435,752  
4,503,861    Countrywide Alternative Loan Trust, Series 2006-40T1-1A4, (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)      3.36%  I/FI/O     01/25/2037      502,647  
5,057,541    Countrywide Alternative Loan Trust, Series 2006-41CB-1A10      6.00%       01/25/2037      4,372,219  
5,325,699    Countrywide Alternative Loan Trust, Series 2006-41CB-1A9      6.00%       01/25/2037      4,604,041  
4,584,348    Countrywide Alternative Loan Trust, Series 2006-45T1-1A4, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)      2.69%       02/25/2037      2,292,579  
4,584,348    Countrywide Alternative Loan Trust, Series 2006-45T1-1A5, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     02/25/2037      548,032  
1,460,560    Countrywide Alternative Loan Trust, Series 2006-6CB-1A4      5.50%       05/25/2036      1,363,687  
4,338,708    Countrywide Alternative Loan Trust, Series 2006-J1-1A10      5.50%       02/25/2036      3,969,881  
8,803,072    Countrywide Alternative Loan Trust, Series 2006-J1-1A3      5.50%       02/25/2036      8,054,736  
1,665,893    Countrywide Alternative Loan Trust, Series 2006-J4-2A2      6.00%       07/25/2036      1,429,063  
997,600    Countrywide Alternative Loan Trust, Series 2007-11T1-A24, (-6 x 1 Month LIBOR USD + 39.90%, 39.90% Cap)      27.35%  I/F     05/25/2037      1,591,432  
15,806,946    Countrywide Alternative Loan Trust, Series 2007-15CB-A1      6.00%       07/25/2037      14,715,383  
11,174,690    Countrywide Alternative Loan Trust, Series 2007-16CB-2A1, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       08/25/2037      6,102,651  
3,235,911    Countrywide Alternative Loan Trust, Series 2007-16CB-2A2, (-8 x 1 Month LIBOR USD + 54.58%, 54.58% Cap)      37.16%  I/F     08/25/2037      5,965,514  
5,944,311    Countrywide Alternative Loan Trust, Series 2007-16CB-4A7      6.00%       08/25/2037      5,920,037  
9,027,768    Countrywide Alternative Loan Trust, Series 2007-17CB-1A10, (-5 x 1 Month LIBOR USD + 29.90%, 29.90% Cap)      20.28%  I/F     08/25/2037      12,973,010  
1,421,389    Countrywide Alternative Loan Trust, Series 2007-18CB-2A25      6.00%       08/25/2037      1,313,447  
970,323    Countrywide Alternative Loan Trust, Series 2007-19-1A10, (-6 x 1 Month LIBOR USD + 39.00%, 39.00% Cap)      26.45%  I/F     08/25/2037      1,672,331  
14,261,675    Countrywide Alternative Loan Trust, Series 2007-19-1A4      6.00%       08/25/2037      11,639,588  
34,870,967    Countrywide Alternative Loan Trust, Series 2007-19-2A1      6.50%       08/25/2037      25,902,325  
4,580,171    Countrywide Alternative Loan Trust, Series 2007-21CB-2A2, (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap)      20.04%  I/F     09/25/2037      5,816,229  
23,353,653    Countrywide Alternative Loan Trust, Series 2007-22-2A16      6.50%       09/25/2037      16,570,166  
11,716,683    Countrywide Alternative Loan Trust, Series 2007-23CB-A3, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)      2.59%       09/25/2037      8,071,709  
16,628,402    Countrywide Alternative Loan Trust, Series 2007-23CB-A4, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.41%  I/FI/O     09/25/2037      3,035,899  
16,261,694    Countrywide Alternative Loan Trust, Series 2007-4CB-2A1      7.00%       03/25/2037      4,949,030  
6,305,855    Countrywide Alternative Loan Trust, Series 2007-5CB-1A18, (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)      3.56%  I/FI/O     04/25/2037      824,515  
6,305,856    Countrywide Alternative Loan Trust, Series 2007-5CB-1A23, (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.00% Cap)      2.64%       04/25/2037      4,284,802  
5,310,744    Countrywide Alternative Loan Trust, Series 2007-6-A4      5.75%       04/25/2047      4,652,028  
422,106    Countrywide Alternative Loan Trust, Series 2007-8CB-A12, (-6 x 1 Month LIBOR USD + 40.20%, 40.20% Cap)      27.65%  I/F     05/25/2037      740,494  
450,592    Countrywide Alternative Loan Trust, Series 2007-8CB-A8, (-6 x 1 Month LIBOR USD + 40.08%, 40.08% Cap)      27.53%  I/F     05/25/2037      787,208  
697,859    Countrywide Alternative Loan Trust, Series 2007-9T1-1A4, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)      2.59%       05/25/2037      357,643  
697,859    Countrywide Alternative Loan Trust, Series 2007-9T1-1A5, (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap)      3.41%  I/FI/O     05/25/2037      105,274  
19,115,319    Countrywide Alternative Loan Trust, Series 2007-9T1-1A6      6.00%       05/25/2037      14,211,800  
2,005,245    Countrywide Alternative Loan Trust, Series 2007-9T1-2A1      6.00%       05/25/2037      1,473,502  
232,938    Countrywide Alternative Loan Trust, Series 2007-9T1-3A1      5.50%       05/25/2022      177,304  
48,991,760    Countrywide Alternative Loan Trust, Series 2007-HY2-1A      3.51%  #     03/25/2047      45,455,226  
2,357,449    Countrywide Alternative Loan Trust, Series 2007-HY5R-2A1B      3.30%  #     03/25/2047      2,385,838  
38,848,761    Countrywide Asset Backed Certificates, Series 2006-25-1A, (1 Month LIBOR USD + 0.14%, 0.14% Floor)      2.23%       06/25/2047      36,562,290  
3,322,349    Countrywide Asset-Backed Certificates, Series 2003-BC6-M1, (1 Month LIBOR USD + 0.83%, 0.55% Floor)      2.92%       11/25/2033      3,230,770  
624,217    Countrywide Asset-Backed Certificates, Series 2005-13-AF3      4.63%  #     04/25/2036      608,563  
19,395,292    Countrywide Asset-Backed Certificates, Series 2005-4-AF5B      4.54%  #     10/25/2035      19,782,825  
2,090,314    Countrywide Home Loans, Series 2003-60-4A1      3.66%  #     02/25/2034      2,132,379  
2,637,232    Countrywide Home Loans, Series 2004-R2-1AF1, (1 Month LIBOR USD + 0.42%, 0.42% Floor, 9.50% Cap)      2.38%  ^     11/25/2034      2,389,507  
2,566,021    Countrywide Home Loans, Series 2004-R2-1AS      4.18%  #^I/O     11/25/2034      191,120  
5,557,953    Countrywide Home Loans, Series 2005-20-A5      5.50%       10/25/2035      5,372,434  
4,038,661    Countrywide Home Loans, Series 2005-20-A8      5.25%       10/25/2035      3,953,884  
12,887,767    Countrywide Home Loans, Series 2005-23-A1      5.50%       11/25/2035      11,232,824  
3,383,408    Countrywide Home Loans, Series 2005-24-A8      5.50%       11/25/2035      3,054,612  
925,385    Countrywide Home Loans, Series 2005-27-2A1      5.50%       12/25/2035      783,611  
1,666,294    Countrywide Home Loans, Series 2005-28-A7      5.25%       01/25/2019      1,479,689  
20,514,906    Countrywide Home Loans, Series 2005-HYB1-4A1      3.53%  #     03/25/2035      19,903,285  
2,835,756    Countrywide Home Loans, Series 2005-HYB8-1A1      3.86%  #     12/20/2035      2,506,976  
3,698,589    Countrywide Home Loans, Series 2005-J3-2A4      4.50%       09/25/2035      3,579,186  
2,274,425    Countrywide Home Loans, Series 2005-J4-A5      5.50%       11/25/2035      2,230,866  
797,567    Countrywide Home Loans, Series 2005-R1-1AF1, (1 Month LIBOR USD + 0.36%, 0.36% Floor, 9.50% Cap)      2.45%  ^     03/25/2035      747,810  
781,858    Countrywide Home Loans, Series 2005-R1-1AS      4.24%  #^I/O     03/25/2035      51,793  
6,512,835    Countrywide Home Loans, Series 2006-16-2A1      6.50%       11/25/2036      5,308,788  
6,382,925    Countrywide Home Loans, Series 2006-1-A2      6.00%       03/25/2036      5,392,692  
2,573,808    Countrywide Home Loans, Series 2006-20-1A21      6.00%       02/25/2037      2,199,793  
1,591,558    Countrywide Home Loans, Series 2006-J3-A4      5.50%       05/25/2036      1,609,583  
7,046,227    Countrywide Home Loans, Series 2007-10-A7      6.00%       07/25/2037      5,980,543  
22,402,570    Countrywide Home Loans, Series 2007-11-A1      6.00%       08/25/2037      18,886,137  
13,897,287    Countrywide Home Loans, Series 2007-12-A9      5.75%       08/25/2037      12,670,561  
6,066,010    Countrywide Home Loans, Series 2007-13-A1      6.00%       08/25/2037      5,348,315  
7,105,192    Countrywide Home Loans, Series 2007-13-A10      6.00%       08/25/2037      6,264,548  
6,950,344    Countrywide Home Loans, Series 2007-15-1A1      6.25%       09/25/2037      6,414,287  
766,425    Countrywide Home Loans, Series 2007-15-1A16      6.25%       09/25/2037      707,313  
3,415,288    Countrywide Home Loans, Series 2007-15-1A29      6.25%       09/25/2037      3,146,483  
7,562,448    Countrywide Home Loans, Series 2007-17-1A2      6.00%       10/25/2037      7,199,511  
973,458    Countrywide Home Loans, Series 2007-18-1A1      6.00%       11/25/2037      846,361  
7,364,058    Countrywide Home Loans, Series 2007-3-A1      6.00%       04/25/2037      6,211,116  
2,836,159    Countrywide Home Loans, Series 2007-3-A12      6.00%       04/25/2037      2,392,120  
5,618,550    Countrywide Home Loans, Series 2007-4-1A39      6.00%       05/25/2037      4,565,138  
2,503,374    Countrywide Home Loans, Series 2007-5-A2      5.75%       05/25/2037      2,172,331  
8,567,512    Countrywide Home Loans, Series 2007-7-A1      6.00%       06/25/2037      7,489,054  
2,568,247    Countrywide Home Loans, Series 2007-7-A2      5.75%       06/25/2037      2,217,664  
7,964,812    Countrywide Home Loans, Series 2007-8-1A4      6.00%       01/25/2038      6,608,939  
4,179,904    Countrywide Home Loans, Series 2007-8-1A5      5.44%       01/25/2038      3,331,960  
9,704,858    Countrywide Home Loans, Series 2007-8-1A9, (1 Month LIBOR USD + 6.00%, 4.00% Floor, 6.00% Cap)      6.00%       01/25/2038      8,052,772  
1,639,358    Countrywide Home Loans, Series 2007-9-A11      5.75%       07/25/2037      1,484,805  
10,328,956    Countrywide Home Loans, Series 2007-HY1-1A1      3.75%  #     04/25/2037      10,227,590  
25,056,126    Countrywide Home Loans, Series 2007-J1-2A1      6.00%       02/25/2037      19,304,876  
635,829    Countrywide Home Loans, Series 2007-J3-A1, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)      2.59%       07/25/2037      391,386  
3,179,147    Countrywide Home Loans, Series 2007-J3-A2, (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap)      3.41%  I/FI/O     07/25/2037      323,565  
4,842,820    Credit Suisse First Boston Mortgage Backed Trust, Series 2006-3-A4B      6.11%  ß     11/25/2036      1,756,140  
3,070,272    Credit Suisse First Boston Mortgage Backed Trust, Series 2006-4-A6A      5.68%  ß     12/25/2036      1,378,218  
10,686,498    Credit Suisse First Boston Mortgage Backed Trust, Series 2007-1-1A1A      5.90%  #     05/25/2037      5,082,508  
86,462    Credit Suisse First Boston Mortgage Securities Corporation, Series 2004-AR8-2A1      3.57%  #     09/25/2034      86,983  
3,914,822    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A4      5.50%       11/25/2035      3,820,018  
824,117    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A5      5.50%       11/25/2035      804,160  
11,741,519    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-5A1      5.25%       01/25/2036      11,342,517  
10,170,322    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-7A1      7.00%       01/25/2036      3,857,458  
5,573,505    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-3A10      5.50%       09/25/2035      5,456,273  
4,754,237    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-7A1      7.00%       09/25/2035      3,926,436  
2,172,688    Credit Suisse Mortgage Capital Certificates, Series 2005-1R-2A5      5.75%  ^     12/26/2035      2,033,625  
17,440,619    Credit Suisse Mortgage Capital Certificates, Series 2006-1-2A1      6.00%       02/25/2036      12,958,389  
2,815,011    Credit Suisse Mortgage Capital Certificates, Series 2006-2-3A1      6.50%       03/25/2036      1,665,030  
3,243,406    Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A1, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 6.00% Cap)      2.79%       03/25/2036      1,823,227  
18,129,147    Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A2, (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap)      3.21%  I/FI/O     03/25/2036      2,585,245  
3,776,276    Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A3      6.25%       03/25/2036      2,845,644  
10,220,113    Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A4      6.00%       03/25/2036      7,499,704  
3,830,655    Credit Suisse Mortgage Capital Certificates, Series 2006-3-4A3      5.50%       04/25/2036      3,560,947  
2,315,729    Credit Suisse Mortgage Capital Certificates, Series 2006-3-4A4      5.50%       04/25/2036      2,156,820  
3,881,069    Credit Suisse Mortgage Capital Certificates, Series 2006-4-1A8, (1 Month LIBOR USD + 1.00%, 6.00% Floor, 6.00% Cap)      6.00%       05/25/2036      3,393,135  
20,845,676    Credit Suisse Mortgage Capital Certificates, Series 2006-4-4A1      7.00%       05/25/2036      9,486,321  
11,064,942    Credit Suisse Mortgage Capital Certificates, Series 2006-6-1A4      6.00%       07/25/2036      9,265,512  
10,695,053    Credit Suisse Mortgage Capital Certificates, Series 2006-6-3A1      7.00%       07/25/2036      3,098,720  
214,903    Credit Suisse Mortgage Capital Certificates, Series 2006-7-3A11      6.00%       08/25/2036      174,936  
3,407,890    Credit Suisse Mortgage Capital Certificates, Series 2006-7-7A5      6.00%       08/25/2036      3,460,878  
7,270,629    Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1      5.50%       11/25/2036      6,620,146  
24,037,535    Credit Suisse Mortgage Capital Certificates, Series 2006-9-3A1      6.00%       11/25/2036      22,358,052  
6,642,014    Credit Suisse Mortgage Capital Certificates, Series 2006-9-4A1      6.00%       11/25/2036      5,189,079  
5,111,789    Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A14      6.00%       11/25/2036      4,973,306  
830,573    Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A15, (-6 x 1 Month LIBOR USD + 39.90%, 39.90% Cap)      28.14%  I/F     11/25/2036      1,372,411  
11,064,002    Credit Suisse Mortgage Capital Certificates, Series 2007-1-1A4      6.13%  #     02/25/2037      5,416,078  
5,430,924    Credit Suisse Mortgage Capital Certificates, Series 2007-1-5A14      6.00%       02/25/2037      4,816,683  
8,128,304    Credit Suisse Mortgage Capital Certificates, Series 2007-3-2A10      6.00%       04/25/2037      6,056,162  
6,088,058    Credit Suisse Mortgage Capital Certificates, Series 2007-5-2A5      5.00%       08/25/2037      5,001,063  
48,681,783    Credit Suisse Mortgage Capital Certificates, Series 2007-5-3A19      6.00%       08/25/2037      38,762,398  
21,940,142    Credit Suisse Mortgage Capital Certificates, Series 2007-5-3A9      6.00%       08/25/2037      16,697,314  
8,763,637    Credit Suisse Mortgage Capital Certificates, Series 2008-2R-1A1      6.00%  ^     07/25/2037      8,242,108  
1,941,320    Credit Suisse Mortgage Capital Certificates, Series 2009-1R-4A2      4.18%  #^     07/20/2035      1,905,530  
4,133,694    Credit Suisse Mortgage Capital Certificates, Series 2010-13R-1A2      5.50%  #^     12/26/2035      4,179,276  
83,857,616    Credit Suisse Mortgage Capital Certificates, Series 2010-17R-6A1      3.46%  #^     06/26/2037      82,900,600  
13,466,108    Credit Suisse Mortgage Capital Certificates, Series 2010-2R-4A17      6.00%  #^     03/26/2037      12,954,381  
14,709,200    Credit Suisse Mortgage Capital Certificates, Series 2010-4R-8A17      6.00%  #^     06/26/2037      14,894,134  
11,585,943    Credit Suisse Mortgage Capital Certificates, Series 2010-7R-4A17      6.00%  #^     04/26/2037      11,611,851  
19,053,814    Credit Suisse Mortgage Capital Certificates, Series 2010-9R-2A5      4.00%  #^     02/27/2038      19,049,969  
14,153,892    Credit Suisse Mortgage Capital Certificates, Series 2012-10R-4A2      3.55%  #^     08/26/2046      13,053,104  
46,359,531    Credit Suisse Mortgage Capital Certificates, Series 2013-6-1A1      2.50%  #^     07/25/2028      45,097,551  
45,050,097    Credit Suisse Mortgage Capital Certificates, Series 2013-9R-A1      3.00%  #^     05/27/2043      41,085,873  
21,503,416    Credit Suisse Mortgage Capital Certificates, Series 2013-IVR4-A2      3.00%  #^     07/25/2043      20,701,249  
5,246,277    Credit Suisse Mortgage Capital Certificates, Series 2014-WIN1-2A4      3.00%  #^     09/25/2044      5,073,008  
76,586,708    Credit Suisse Mortgage Capital Certificates, Series 2015-1-A1      2.50%  #^     01/25/2045      72,948,915  
58,056,256    Credit Suisse Mortgage Trust, Series 2017-1A-A      4.50%  ^     03/25/2021      58,584,138  
69,050,204    Credit Suisse Mortgage Trust, Series 2018-RPL2-A1      4.03%  ^§     08/25/2062      69,218,051  
73,103    Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB6-A4      3.76%  #     06/25/2035      73,074  
13,257,207    Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB4-AV3, (1 Month LIBOR USD + 0.15%, 0.15% Floor)      2.24%       05/25/2036      11,036,437  
9,750,000    Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1-A3      5.83%  ^ß     12/25/2036      10,141,775  
11,692,642    CSMC Trust, Series 2006-4-6A1      6.00%       05/25/2036      8,884,136  
7,395,393    CSMC Trust, Series 2007-1-3A1      6.00%       02/25/2022      4,006,387  
81,144    CSMC Trust, Series 2007-2-2A1      5.00%       03/25/2037      80,078  
11,721,796    CSMC Trust, Series 2009-12R-5A1      6.00%  ^     06/27/2036      11,427,682  
29,791,773    CSMC Trust, Series 2010-4R-3A17      6.00%  #^     06/26/2037      30,166,336  
453,791    CSMC Trust, Series 2010-9R-70A3      3.75%  #^     12/27/2036      455,028  
1,904,000    CSMC Trust, Series 2010-9R-70A4      3.75%  #^     12/27/2036      1,901,939  
6,047,000    CSMC Trust, Series 2010-9R-70A5      4.00%  #^     12/27/2036      5,914,907  
30,397,500    CSMC Trust, Series 2013-IVR4-A11      3.48%  #^     07/27/2043      30,169,518  
132,039,503    CSMC Trust, Series 2015-PR2-A1      4.25%  ^§     07/26/2055      130,804,881  
27,996,002    CSMC Trust, Series 2016-PR1-A1      5.50%  ^§     07/25/2056      27,571,840  
59,986,727    CSMC Trust, Series 2017-12R-A1 (1 Month LIBOR USD + 1.45%, 1.00% Floor)      0.00%  #^     10/25/2046      60,719,285  
115,776,000    CSMC Trust, Series 2018-5R-1A1, (1 Month LIBOR USD + 1.30%, 1.30% Floor)      3.28%  ^     10/30/2046      115,844,655  
11,942,428    CSMLT Trust, Series 2015-3-1A2      3.50%  #^     11/25/2045      12,031,095  
16,142,540    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-4-A5      5.50%  #     09/25/2035      15,915,740  
1,017,150    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-1A6, (-7 x 1 Month LIBOR USD + 35.93%, 35.93% Cap)      20.60%  I/F     11/25/2035      1,319,933  
1,053,528    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A1, (1 Month LIBOR USD + 0.20%, 0.20% Floor, 5.50% Cap)      2.29%       11/25/2035      713,239  
3,179,661    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A2, (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap)      3.21%  I/FI/O     11/25/2035      339,814  
28,483,041    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-2-2A1, (1 Month LIBOR USD + 0.30%, 0.30% Floor)      2.39%       09/25/2047      25,573,559  
16,151,727    Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA5-A1B, (1 Month LIBOR USD + 0.22%, 0.22% Floor)      2.31%       08/25/2047      15,262,187  
917,646    Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2-A2      5.42%  #     06/25/2036      886,065  
24,373,602    Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A2      5.65%  #     10/25/2036      23,206,560  
1,736,326    Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3      5.90%  #     10/25/2036      1,653,356  
2,549,863    Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3A1      5.90%  #     10/25/2036      2,428,020  
5,066,935    Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A6A1      5.87%  ß     10/25/2036      4,824,935  
11,310,387    Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1, (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)      9.22%  ^I/F     04/15/2036      11,091,855  
5,775,921    Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI1, (-1 x 1 Month LIBOR USD + 12.11%, 12.11% Cap)      9.21%  ^I/F     04/15/2036      5,550,821  
9,403,036    Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI2, (-2 x 1 Month LIBOR USD + 14.60%, 14.61% Cap)      10.65%  ^I/F     04/15/2036      9,151,828  
577,804    Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI1, (-3 x 1 Month LIBOR USD + 19.35%, 19.35% Cap)      13.13%  ^I/F     04/15/2036      581,521  
5,052,644    Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI3, (-1 x 1 Month LIBOR USD + 12.57%, 12.57% Cap)      9.67%  ^I/F     04/15/2036      4,592,258  
83,680,851    Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4, (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)      9.22%  ^I/F     04/15/2036      75,397,744  
10,677,552    Deutsche Securities, Inc., Series 2005-6-2A1      5.50%       12/25/2035      9,695,285  
1,745,439    Deutsche Securities, Inc., Series 2006-AB4-A1A      6.01%  #     10/25/2036      1,661,894  
20,428,307    Equifirst Loan Securitization Trust, Series 2007-1-A2B, (1 Month LIBOR USD + 0.19%, 0.19% Floor)      2.28%       04/25/2037      19,643,766  
8,165,068    First Franklin Mortgage Loan Trust, Series 2006-FF3-A2B, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.29%       02/25/2036      8,140,279  
8,591,019    First Horizon Alternative Mortgage Securities, Series 2005-AA4-1A1      3.76%  #     05/25/2035      7,177,730  
4,714,594    First Horizon Alternative Mortgage Securities, Series 2005-FA5-1A4      5.50%       08/25/2035      4,429,082  
7,599,200    First Horizon Alternative Mortgage Securities, Series 2005-FA8-1A4      5.50%       11/25/2035      6,454,243  
497,376    First Horizon Alternative Mortgage Securities, Series 2005-FA8-2A1      5.00%       11/25/2020      500,049  
5,536,436    First Horizon Alternative Mortgage Securities, Series 2005-FA9-A4A      5.50%       12/25/2035      4,821,057  
3,881,914    First Horizon Alternative Mortgage Securities, Series 2006-AA3-A1      4.01%  #     06/25/2036      3,595,901  
3,158,741    First Horizon Alternative Mortgage Securities, Series 2006-FA1-1A12      6.00%       04/25/2036      2,501,002  
53,707    First Horizon Alternative Mortgage Securities, Series 2006-FA1-1A6, (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.75% Cap)      2.84%       04/25/2036      53,825  
2,285,442    First Horizon Alternative Mortgage Securities, Series 2006-FA2-1A5      6.00%       05/25/2036      1,794,104  
607,160    First Horizon Alternative Mortgage Securities, Series 2006-FA7-A8      6.25%       12/25/2036      515,691  
3,215,301    First Horizon Alternative Mortgage Securities, Series 2006-FA8-1A5      6.00%       02/25/2037      2,565,923  
6,665,932    First Horizon Alternative Mortgage Securities, Series 2006-RE1-A1      5.50%       05/25/2035      6,057,542  
18,614,507    First Horizon Alternative Mortgage Securities, Series 2007-FA3-A3      6.00%       06/25/2037      14,607,176  
957,812    First Horizon Alternative Mortgage Securities, Series 2007-FA3-A4      6.00%       06/25/2037      751,614  
1,091,855    First Horizon Alternative Mortgage Securities, Series 2007-FA4-1A13      6.25%       08/25/2037      863,428  
3,370,639    First Horizon Alternative Mortgage Securities, Series 2007-FA4-1A4      6.25%       08/25/2037      2,665,468  
1,583,716    First Horizon Alternative Mortgage Securities, Series 2007-FA4-1A5      6.25%       08/25/2037      1,252,387  
1,952,784    First Horizon Asset Securities, Inc., Series 2006-1-1A2      6.00%       05/25/2036      1,767,764  
5,181,379    First Horizon Asset Securities, Inc., Series 2007-1-A3      6.00%       03/25/2037      4,500,862  
3,442,573    First Horizon Asset Securities, Inc., Series 2007-4-1A1      6.00%       08/25/2037      2,894,784  
4,210,888    First Horizon Mortgage Pass-Through Trust, Series 2005-8-1A11      5.75%       02/25/2036      3,721,142  
167,954,846    Fremont Home Loan Trust, Series 2006-D-1A1, (1 Month LIBOR USD + 0.14%, 0.14% Floor)      2.23%       11/25/2036      112,152,991  
126,250,000    GCAT LLC, Series 2018-2-A1      4.09%  ^§     06/26/2023      126,563,353  
46,273,000    GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2-A2D, (1 Month LIBOR USD + 0.32%, 0.32% Floor)      2.41%       12/25/2035      44,272,313  
5,208,110    GMACM Mortgage Loan Trust, Series 2005-AR5-3A1      3.95%  #     09/19/2035      4,980,720  
7,533,824    GMACM Mortgage Loan Trust, Series 2005-J1-A14      5.50%       12/25/2035      7,318,556  
36,895,223    GreenPoint Mortgage Funding Trust, Series 2005-AR3-2A1, (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap)      2.35%       08/25/2045      26,324,074  
27,305,934    GreenPoint Mortgage Funding Trust, Series 2006-AR7-2A1, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.29%       12/25/2046      26,634,350  
38,681,225    GreenPoint Mortgage Funding Trust, Series 2007-AR2-1A3, (1 Month LIBOR USD + 0.24%, 0.24% Floor)      2.33%       04/25/2047      35,954,914  
1,387,705    GS Mortgage Securities Corporation, Series 2008-2R-1A1      7.50%  #^     09/25/2036      987,713  
3,955,262    GS Mortgage Securities Corporation, Series 2009-3R-1A2      6.00%  #^     04/25/2037      3,964,593  
214,425    GSAA Home Equity Trust, Series 2005-12-AF3      5.07%  #     09/25/2035      194,251  
11,017,831    GSAA Home Equity Trust, Series 2005-7-AF3      4.75%  #     05/25/2035      11,086,279  
10,517,056    GSAA Home Equity Trust, Series 2006-10-AF3      5.98%  #     06/25/2036      5,228,267  
7,527,237    GSAA Home Equity Trust, Series 2006-10-AF4      6.30%  ß     06/25/2036      3,740,128  
14,176,512    GSAA Home Equity Trust, Series 2006-15-AF4      5.96%  ß     09/25/2036      7,408,081  
2,407,769    GSAA Home Equity Trust, Series 2006-18-AF3A      5.77%  #     11/25/2036      1,342,480  
5,262,399    GSAA Home Equity Trust, Series 2006-18-AF6      5.68%  ß     11/25/2036      2,707,316  
5,539,737    GSAA Home Equity Trust, Series 2007-10-A1A      6.00%       11/25/2037      4,780,879  
3,417,428    GSAA Home Equity Trust, Series 2007-10-A2A      6.50%       11/25/2037      2,471,493  
26,571,214    GSAMP Trust, Series 2006-HE6-A3, (1 Month LIBOR USD + 0.15%, 0.15% Floor)      2.24%       08/25/2036      22,756,143  
12,638,279    GSMPS Mortgage Loan Trust, Series 2005-RP2-1AF, (1 Month LIBOR USD + 0.35%, 0.35% Floor)      2.44%  ^     03/25/2035      11,910,796  
12,638,280    GSMPS Mortgage Loan Trust, Series 2005-RP2-1AS      2.76%  #^I/O     03/25/2035      657,259  
7,268,652    GSMPS Mortgage Loan Trust, Series 2005-RP3-1AF, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap)      2.44%  ^     09/25/2035      6,584,997  
7,268,652    GSMPS Mortgage Loan Trust, Series 2005-RP3-1AS      2.60%  #^I/O     09/25/2035      523,946  
28,106,255    GSMPS Mortgage Loan Trust, Series 2006-RP1-1AF1, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.15% Cap)      2.44%  ^     01/25/2036      25,223,337  
28,106,255    GSMPS Mortgage Loan Trust, Series 2006-RP1-1AS      2.50%  #^I/O     01/25/2036      1,708,700  
7,073,265    GSMSC Pass-Through Trust, Series 2009-3R-3A2      5.75%  #^     04/25/2037      7,075,613  
1,949,968    GSR Mortgage Loan Trust, Series 2005-1F-1A2      5.50%       02/25/2035      1,976,311  
4,233,785    GSR Mortgage Loan Trust, Series 2005-1F-3A3      6.00%       01/25/2035      4,263,850  
630,182    GSR Mortgage Loan Trust, Series 2005-6F-3A5      6.00%       07/25/2035      668,382  
6,239,863    GSR Mortgage Loan Trust, Series 2005-6F-3A9, (-1 x 1 Month LIBOR USD + 6.90%, 6.90% Cap)      4.81%  I/FI/O     07/25/2035      593,956  
450,127    GSR Mortgage Loan Trust, Series 2005-6F-4A1, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)      2.59%       07/25/2035      423,697  
321,688    GSR Mortgage Loan Trust, Series 2005-7F-3A1, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap)      2.59%       09/25/2035      311,389  
10,453,448    GSR Mortgage Loan Trust, Series 2005-8F-3A5      6.00%       11/25/2035      8,397,140  
3,690,775    GSR Mortgage Loan Trust, Series 2005-8F-4A1      6.00%       11/25/2035      3,259,737  
1,026,229    GSR Mortgage Loan Trust, Series 2006-1F-1A2      5.50%       02/25/2036      1,138,822  
818,656    GSR Mortgage Loan Trust, Series 2006-2F-2A3      5.75%       02/25/2036      792,738  
3,118,871    GSR Mortgage Loan Trust, Series 2006-2F-3A3      6.00%       02/25/2036      2,588,547  
3,745,609    GSR Mortgage Loan Trust, Series 2006-2F-3A6      6.00%       02/25/2036      3,220,812  
11,734,519    GSR Mortgage Loan Trust, Series 2006-6F-2A3      6.00%       07/25/2036      10,041,856  
5,824,204    GSR Mortgage Loan Trust, Series 2006-7F-3A4      6.25%       08/25/2036      3,822,209  
4,347,720    GSR Mortgage Loan Trust, Series 2006-9F-2A1      6.00%       10/25/2036      4,214,035  
19,433,682    GSR Mortgage Loan Trust, Series 2006-9F-4A1      6.50%       10/25/2036      16,574,519  
67,774    GSR Mortgage Loan Trust, Series 2006-9F-8A1      5.50%       08/25/2021      65,295  
1,296,744    GSR Mortgage Loan Trust, Series 2007-1F-2A2      5.50%       01/25/2037      1,541,829  
1,935,679    GSR Mortgage Loan Trust, Series 2007-4F-1A1      5.00%       07/25/2037      2,242,491  
26,579,298    GSR Mortgage Loan Trust, Series 2007-4F-3A11      6.00%       07/25/2037      24,387,165  
1,477,385    HarborView Mortgage Loan Trust, Series 2005-14-3A1A      4.03%  #     12/19/2035      1,468,067  
7,707,600    HarborView Mortgage Loan Trust, Series 2006-10-2A1A, (1 Month LIBOR USD + 0.18%, 0.18% Floor)      2.26%       11/19/2036      7,522,390  
15,768,177    HarborView Mortgage Loan Trust, Series 2006-11-A1A, (1 Month LIBOR USD + 0.17%, 0.17% Floor)      2.25%       12/19/2036      14,449,818  
67,010,545    HarborView Mortgage Loan Trust, Series 2006-14-1A1A, (1 Month LIBOR USD + 0.18%, 0.18% Floor)      2.26%       01/25/2047      61,232,420  
98,858,297    HarborView Mortgage Loan Trust, Series 2006-8-1A1, (1 Month LIBOR USD + 0.20%)      2.29%       07/21/2036      75,590,574  
23,524,507    HarborView Mortgage Loan Trust, Series 2006-BU1-1A1A, (1 Month LIBOR USD + 0.21%, 0.21% Floor, 10.50% Cap)      2.29%       02/19/2046      21,188,601  
61,876,814    HarborView Mortgage Loan Trust, Series 2007-3-1A1A, (1 Month LIBOR USD + 0.20%)      2.28%       05/19/2047      58,409,968  
19,222,185    HarborView Mortgage Loan Trust, Series 2007-4-1A1, (1 Month LIBOR USD + 0.22%, 10.00% Cap)      2.30%       07/19/2047      18,503,625  
31,124,784    HarborView Mortgage Loan Trust, Series 2007-7-1A1, (1 Month LIBOR USD + 1.00%, 10.50% Cap)      3.09%       10/25/2037      28,868,109  
1,188,187    Home Equity Asset Trust, Series 2003-3-M1, (1 Month LIBOR USD + 1.29%, 0.86% Floor)      3.38%       08/25/2033      1,197,096  
1,285,547    Home Equity Asset Trust, Series 2004-7-M2, (1 Month LIBOR USD + 0.99%, 0.66% Floor)      3.08%       01/25/2035      1,281,913  
12,182,000    Home Equity Loan Trust, Series 2006-B-2A4, (1 Month LIBOR USD + 0.28%, 0.28% Floor)      2.37%       06/25/2036      11,186,497  
11,548,002    Home Equity Loan Trust, Series 2007-FRE1-2AV2, (1 Month LIBOR USD + 0.16%, 0.16% Floor)      2.25%       04/25/2037      11,464,607  
1,308,772    HomeBanc Mortgage Trust, Series 2005-1-M2, (1 Month LIBOR USD + 0.49%, 0.49% Floor, 11.50% Cap)      2.58%       03/25/2035      1,129,389  
15,259,909    HomeBanc Mortgage Trust, Series 2005-3-A1, (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.50% Cap)      2.33%       07/25/2035      15,191,947  
394,180    HomeBanc Mortgage Trust, Series 2006-1-3A1      3.62%  #     04/25/2037      407,981  
28,620,206    HSI Asset Loan Obligation Trust, Series 2007-2-3A6      6.00%       09/25/2037      20,116,793  
2,697,386    HSI Asset Loan Obligation Trust, Series 2007-AR1-3A1      3.64%  #     01/25/2037      2,496,553  
19,304,171    Impac Secured Assets Trust, Series 2007-1-A2, (1 Month LIBOR USD + 0.16%, 0.16% Floor, 11.50% Cap)      2.25%       03/25/2037      17,752,483  
705,992    Impac Trust, Series 2002-9F-A1      5.22%  #     12/25/2032      710,507  
32,687,222    IndyMac IMSC Mortgage Loan Trust, Series 2007-F1-2A1      6.50%       06/25/2037      17,644,775  
7,632,447    IndyMac INDX Mortgage Loan Trust, Series 2007-AR13-2A1      3.88%  #     07/25/2037      6,332,598  
1,823,463    IndyMac Mortgage Loan Trust, Series 2006-AR2-1A1      3.63%  #     09/25/2036      1,668,425  
4,994,172    IndyMac Mortgage Loan Trust, Series 2006-AR2-4A1      3.70%  #     09/25/2036      4,849,240  
20,661,660    IndyMac Mortgage Loan Trust, Series 2006-AR3-1A1      3.75%  #     12/25/2036      19,875,002  
6,925,368    IndyMac Mortgage Loan Trust, Series 2006-AR7-3A1      3.71%  #     05/25/2036      6,181,106  
4,682,775    IndyMac Mortgage Loan Trust, Series 2007-A1-A1      6.00%       08/25/2037      3,729,836  
3,428,157    IndyMac Mortgage Loan Trust, Series 2007-A1-A7      6.00%       08/25/2037      2,730,531  
21,911,254    IndyMac Mortgage Loan Trust, Series 2007-A3-A1      6.25%       11/25/2037      17,540,381  
7,065,147    IndyMac Mortgage Loan Trust, Series 2007-AR1-3A1      3.35%  #     03/25/2037      6,682,714  
5,487,899    IndyMac Mortgage Loan Trust, Series 2007-AR3-3A1      3.75%  #     07/25/2037      5,148,630  
487,957    IndyMac Mortgage Loan Trust, Series 2007-F2-1A2      6.00%       07/25/2037      451,376  
25,644,852    IndyMac Mortgage Loan Trust, Series 2007-F2-2A1      6.50%       07/25/2037      16,589,270  
5,842,164    Jefferies & Company, Inc., Series 2010-R4-1A4      6.00%  #^Þ     10/26/2036      5,858,826  
11,390,624    JP Morgan Alternative Loan Trust, Series 2005-S1-2A11      6.00%       12/25/2035      11,103,483  
3,651,591    JP Morgan Alternative Loan Trust, Series 2005-S1-2A9      6.00%       12/25/2035      3,559,540  
3,827,493    JP Morgan Alternative Loan Trust, Series 2006-S1-1A8      5.75%       03/25/2036      3,387,104  
14,635,653    JP Morgan Alternative Loan Trust, Series 2006-S2-A4      6.19%  ß     05/25/2036      13,743,873  
1,274,557    JP Morgan Alternative Loan Trust, Series 2006-S4-A3A      5.78%  ß     12/25/2036      1,269,990  
25,781,829    JP Morgan Alternative Loan Trust, Series 2006-S4-A4      5.96%  ß     12/25/2036      24,086,364  
10,619,441    JP Morgan Mortgage Acquisition Trust, Series 2006-CH2-AF3      5.46%  ß     09/25/2029      8,772,891  
4,109,066    JP Morgan Mortgage Acquisition Trust, Series 2006-WF1-A5      6.41%  ß     07/25/2036      2,092,170  
23,000,000    JP Morgan Mortgage Acquisition Trust, Series 2007-CH1-AF5      4.94%  ß     11/25/2036      22,647,311  
9,690,000    JP Morgan Mortgage Acquisition Trust, Series 2007-CH3-M2, (1 Month LIBOR USD + 0.32%, 0.32% Floor)      2.41%       03/25/2037      8,341,620  
1,277,284    JP Morgan Mortgage Trust, Series 2005-A6-5A1      3.48%  #     08/25/2035      1,277,272  
7,916,154    JP Morgan Mortgage Trust, Series 2005-S1-1A2      6.50%       01/25/2035      8,653,475  
896,784    JP Morgan Mortgage Trust, Series 2005-S2-2A13      5.50%       09/25/2035      894,722  
1,511,536    JP Morgan Mortgage Trust, Series 2006-S2-3A3      6.00%       07/25/2036      1,212,366  
4,875,004    JP Morgan Mortgage Trust, Series 2006-S2-3A5      6.25%       07/25/2036      3,866,228  
3,632,667    JP Morgan Mortgage Trust, Series 2006-S3-1A2      6.00%       08/25/2036      2,937,111  
9,524,310    JP Morgan Mortgage Trust, Series 2006-S3-1A21, (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.50% Cap)      2.47%       08/25/2036      3,973,436  
9,524,310    JP Morgan Mortgage Trust, Series 2006-S3-1A22, (-1 x 1 Month LIBOR USD + 7.12%, 7.12% Cap)      5.03%  I/FI/O     08/25/2036      2,654,126  
1,692,718    JP Morgan Mortgage Trust, Series 2006-S3-1A9      6.00%       08/25/2036      1,368,609  
8,314,497    JP Morgan Mortgage Trust, Series 2006-S4-A8, (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.00% Cap)      2.47%       01/25/2037      4,771,441  
8,314,497    JP Morgan Mortgage Trust, Series 2006-S4-A9, (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap)      4.53%  I/FI/O     01/25/2037      1,717,519  
2,128,845    JP Morgan Mortgage Trust, Series 2007-A2-2A1      3.75%  #     04/25/2037      2,055,127  
9,971,077    JP Morgan Mortgage Trust, Series 2007-S1-2A6      6.00%       03/25/2037      7,972,686  
3,683,689    JP Morgan Mortgage Trust, Series 2007-S3-1A1      5.50%       08/25/2037      3,025,285  
7,049,035    JP Morgan Mortgage Trust, Series 2007-S3-1A35      6.00%       08/25/2037      5,791,007  
1,188,424    JP Morgan Mortgage Trust, Series 2007-S3-1A9      6.00%       08/25/2037      976,235  
6,499,552    JP Morgan Mortgage Trust, Series 2007-S3-1A96      6.00%       08/25/2037      5,339,076  
7,407,245    JP Morgan Mortgage Trust, Series 2007-S3-1A97      6.00%       08/25/2037      6,084,704  
735,059    JP Morgan Mortgage Trust, Series 2007-S3-2A2      5.50%       08/25/2022      680,969  
54,200,000    JP Morgan Mortgage Trust, Series 2018-7FRB-A2, (1 Month LIBOR USD + 0.75%)      2.84%  ^     04/25/2046      54,334,958  
9,463,524    JP Morgan Resecuritization Trust, Series 2009-4-3A2      6.00%  ^     02/26/2037      7,950,915  
16,899,671    JP Morgan Resecuritization Trust, Series 2009-7-7A1      7.00%  #^     09/27/2037      12,811,348  
17,907,350    JP Morgan Resecuritization Trust, Series 2010-1-1A4      6.00%  ^     02/26/2037      15,843,741  
14,015,170    JP Morgan Resecuritization Trust, Series 2010-2-3A9      6.00%  ^     07/26/2036      14,316,242  
3,139,557    Lehman Mortgage Trust, Series 2005-2-3A5      5.50%       12/25/2035      2,859,091  
2,815,778    Lehman Mortgage Trust, Series 2005-2-5A5      5.75%       12/25/2035      2,783,158  
4,224,057    Lehman Mortgage Trust, Series 2005-3-2A1      6.00%       01/25/2036      4,153,351  
359,695    Lehman Mortgage Trust, Series 2005-3-2A3      5.50%       01/25/2036      345,541  
1,931,899    Lehman Mortgage Trust, Series 2005-3-2A7      6.00%       01/25/2036      1,898,726  
1,725,904    Lehman Mortgage Trust, Series 2006-1-1A1, (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap)      2.84%       02/25/2036      1,296,829  
5,177,713    Lehman Mortgage Trust, Series 2006-1-1A2, (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap)      2.66%  I/FI/O     02/25/2036      646,972  
6,663,770    Lehman Mortgage Trust, Series 2006-1-3A1, (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap)      2.84%       02/25/2036      6,156,096  
6,663,770    Lehman Mortgage Trust, Series 2006-1-3A2, (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap)      2.66%  I/FI/O     02/25/2036      393,656  
4,293,410    Lehman Mortgage Trust, Series 2006-1-3A4      5.50%       02/25/2036      4,306,122  
3,738,974    Lehman Mortgage Trust, Series 2006-4-1A3, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     08/25/2036      463,669  
2,376,411    Lehman Mortgage Trust, Series 2006-4-1A4      6.00%       08/25/2036      2,316,866  
6,928,150    Lehman Mortgage Trust, Series 2006-5-2A1, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap)      2.44%       09/25/2036      3,035,242  
14,431,261    Lehman Mortgage Trust, Series 2006-5-2A2, (-1 x 1 Month LIBOR USD + 7.15%, 7.15% Cap)      5.06%  I/FI/O     09/25/2036      3,334,868  
10,628,865    Lehman Mortgage Trust, Series 2006-6-3A9      5.50%       10/25/2036      9,549,933  
3,233,425    Lehman Mortgage Trust, Series 2006-6-4A5      6.00%       12/25/2036      3,063,982  
3,676,918    Lehman Mortgage Trust, Series 2006-7-2A2, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       11/25/2036      1,758,511  
12,776,040    Lehman Mortgage Trust, Series 2006-7-2A5, (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.46%  I/FI/O     11/25/2036      2,823,861  
2,939,101    Lehman Mortgage Trust, Series 2006-9-1A19, (-5 x 1 Month LIBOR USD + 30.68%, 30.68% Cap)      21.06%  I/F     01/25/2037      3,840,101  
3,239,045    Lehman Mortgage Trust, Series 2006-9-1A5, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 5.75% Cap)      2.69%       01/25/2037      2,449,722  
9,643,588    Lehman Mortgage Trust, Series 2006-9-1A6, (-1 x 1 Month LIBOR USD + 5.15%, 5.15% Cap)      3.06%  I/FI/O     01/25/2037      1,026,165  
4,481,020    Lehman Mortgage Trust, Series 2006-9-2A1, (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.00% Cap)      2.47%       01/25/2037      2,096,255  
8,472,059    Lehman Mortgage Trust, Series 2006-9-2A2, (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap)      4.53%  I/FI/O     01/25/2037      1,955,061  
8,713,474    Lehman Mortgage Trust, Series 2007-10-2A1      6.50%       01/25/2038      6,508,663  
2,736,084    Lehman Mortgage Trust, Series 2007-2-1A1      5.75%       02/25/2037      2,464,934  
2,977,186    Lehman Mortgage Trust, Series 2007-4-2A11, (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)      2.42%       05/25/2037      1,492,397  
13,182,692    Lehman Mortgage Trust, Series 2007-4-2A8, (-1 x 1 Month LIBOR USD + 6.67%, 6.67% Cap)      4.58%  I/FI/O     05/25/2037      3,203,206  
1,195,193    Lehman Mortgage Trust, Series 2007-4-2A9, (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)      2.42%       05/25/2037      619,131  
12,207,827    Lehman Mortgage Trust, Series 2007-5-11A1      5.16%  #     06/25/2037      10,422,928  
1,981,981    Lehman Mortgage Trust, Series 2007-5-3A4      5.00%       12/25/2035      1,820,139  
1,474,300    Lehman Mortgage Trust, Series 2007-5-4A3, (-6 x 1 Month LIBOR USD + 40.08%, 40.08% Cap)      27.53%  I/F     08/25/2036      2,452,560  
917,932    Lehman Mortgage Trust, Series 2007-5-7A3      7.50%       10/25/2036      761,840  
383,272    Lehman Mortgage Trust, Series 2007-6-1A8      6.00%       07/25/2037      370,464  
5,276,318    Lehman Mortgage Trust, Series 2008-2-1A6      6.00%       03/25/2038      4,021,291  
616,388    Lehman XS Trust, Series 2005-10-2A3B      5.34%  ß     01/25/2036      673,814  
9,560,116    Lehman XS Trust, Series 2005-4-2A3A      5.00%  ß     10/25/2035      9,707,437  
14,717,480    Lehman XS Trust, Series 2005-9N-2A1, (12 Month US Treasury Average + 1.06%, 1.06% Floor)      2.62%       02/25/2036      13,670,892  
15,035,186    Lehman XS Trust, Series 2006-5-1A1A, (1 Month LIBOR USD + 0.21%, 0.21% Floor)      2.30%       04/25/2036      15,401,630  
599,784    Lehman XS Trust, Series 2006-5-2A4A      5.89%  ß     04/25/2036      720,493  
15,837,658    Lehman XS Trust, Series 2006-GP3-1A1, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.29%       06/25/2046      15,318,290  
15,552,020    Lehman XS Trust, Series 2007-1-2A1      4.85%  #     02/25/2037      15,823,294  
24,227,659    Lehman XS Trust, Series 2007-12N-1A3A, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.16%       07/25/2047      22,466,395  
2,074,802    Long Beach Mortgage Loan Trust, Series 2006-WL1-2A3, (1 Month LIBOR USD + 0.48%, 0.24% Floor)      2.57%       01/25/2046      2,080,843  
7,893,296    Luminent Mortgage Trust, Series 2005-1-A1, (1 Month LIBOR USD + 0.26%, 0.26% Floor, 11.50% Cap)      2.35%       11/25/2035      7,729,015  
3,996,171    MASTR Adjustable Rate Mortgages Trust, Series 2005-2-2A1      3.54%  #     03/25/2035      3,163,254  
2,490,068    MASTR Adjustable Rate Mortgages Trust, Series 2005-6-5A1      3.38%  #     07/25/2035      2,230,053  
14,251,673    MASTR Adjustable Rate Mortgages Trust, Series 2007-1-2A1      3.79%  #     11/25/2036      13,078,399  
1,685,859    MASTR Alternative Loans Trust, Series 2005-2-3A1      6.00%       03/25/2035      1,631,088  
381,456    MASTR Alternative Loans Trust, Series 2005-5-2A3      5.50%       07/25/2025      385,885  
3,579,338    MASTR Alternative Loans Trust, Series 2005-6-1A5      5.50%       12/25/2035      3,446,401  
2,146,667    MASTR Alternative Loans Trust, Series 2006-3-1A2      6.25%       07/25/2036      1,887,909  
3,793,175    MASTR Alternative Loans Trust, Series 2007-1-1A5      5.75%       10/25/2036      3,650,486  
5,195,406    MASTR Alternative Loans Trust, Series 2007-1-2A7      6.00%       10/25/2036      3,466,291  
4,636,591    MASTR Asset Backed Securities Trust, Series 2003-OPT1-M3, (1 Month LIBOR USD + 4.13%, 2.75% Floor)      6.22%       12/25/2032      4,858,856  
13,009,237    MASTR Asset Backed Securities Trust, Series 2006-AM2-A3, (1 Month LIBOR USD + 0.17%, 0.17% Floor)      2.26%       06/25/2036      11,394,109  
28,613,427    MASTR Asset Backed Securities Trust, Series 2007-HE1-A3, (1 Month LIBOR USD + 0.21%, 0.21% Floor)      2.30%       05/25/2037      27,292,219  
4,649,431    MASTR Asset Securitization Trust, Series 2006-1-1A4      5.75%       05/25/2036      4,360,853  
3,045,002    MASTR Asset Securitization Trust, Series 2006-2-1A11, (1 Month LIBOR USD + 6.00%, 6.00% Floor)      6.00%       06/25/2036      2,974,993  
3,539,170    MASTR Asset Securitization Trust, Series 2007-1-1A3      6.25%       11/25/2037      2,832,469  
16,452,166    MASTR Resecuritization Trust, Series 2008-4-A1      6.00%  #^     06/27/2036      14,587,502  
2,132,231    MASTR Seasoned Securitization Trust, Series 2005-2-1A4      6.00%       10/25/2032      2,198,880  
1,110,023    MASTR Seasoned Securitization Trust, Series 2005-2-2A1, (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap)      2.49%       10/25/2032      1,047,987  
20,077,625    Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A4, (1 Month LIBOR USD + 0.32%, 0.32% Floor, 7.00% Cap)      2.41%       03/25/2037      10,800,190  
20,077,625    Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A5, (-1 x 1 Month LIBOR USD + 6.68%, 6.68% Cap)      4.59%  I/FI/O     03/25/2037      4,750,986  
3,906,846    Merrill Lynch Mortgage Investors Trust, Series 2006-3-1A      3.80%  #     10/25/2036      3,838,835  
1,913,173    Merrill Lynch Mortgage Investors Trust, Series 2006-F1-1A2      6.00%       04/25/2036      1,676,326  
63,378,051    MFA LLC, Series 2018-NPL1-A1      3.88%  ^§     05/25/2048      63,405,937  
37,118,485    MFA Trust, Series 2017-NPL1-A1      3.35%  ^§     11/25/2047      36,916,550  
35,833,697    Morgan Stanley Home Equity Loan Trust, Series 2007-1-A4, (1 Month LIBOR USD + 0.22%, 0.22% Floor)      2.31%       12/25/2036      22,343,030  
1,517,719    Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A1, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.75% Cap)      2.79%       12/25/2035      1,240,391  
3,802,584    Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A6      5.75%       12/25/2035      3,587,584  
5,283,293    Morgan Stanley Mortgage Loan Trust, Series 2005-10-2A1      5.50%  #     12/25/2035      5,271,065  
215,880    Morgan Stanley Mortgage Loan Trust, Series 2005-6AR-1A1, (1 Month LIBOR USD + 0.28%, 0.28% Floor)      2.37%       11/25/2035      217,213  
5,713,453    Morgan Stanley Mortgage Loan Trust, Series 2006-11-1A6      6.23%  ß     08/25/2036      2,479,739  
10,934,017    Morgan Stanley Mortgage Loan Trust, Series 2006-11-2A1      6.00%       08/25/2036      9,015,886  
7,115,434    Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A3A      5.65%  ß     10/25/2046      3,850,162  
2,301,494    Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A6      5.58%  ß     10/25/2046      1,093,268  
4,920,189    Morgan Stanley Mortgage Loan Trust, Series 2006-2-2A3      5.75%       02/25/2036      4,937,750  
29,583,160    Morgan Stanley Mortgage Loan Trust, Series 2006-7-3A      5.04%  #     06/25/2036      25,975,694  
2,818,833    Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A4      6.00%       06/25/2036      2,474,656  
2,853,581    Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A7      6.00%       06/25/2036      2,505,162  
3,820,511    Morgan Stanley Mortgage Loan Trust, Series 2007-13-6A1      6.00%       10/25/2037      3,390,651  
11,291,558    Morgan Stanley Mortgage Loan Trust, Series 2007-14AR-2A3      3.56%  #     10/25/2037      10,212,233  
3,778,231    Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A3      5.92%  ß     09/25/2046      1,773,049  
2,680,080    Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A4A      6.08%  ß     09/25/2046      1,443,412  
1,060,430    Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-1A2A      5.62%  ß     01/25/2047      968,483  
7,472,560    Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A3S      5.86%  ß     01/25/2047      4,449,683  
4,370,742    Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A4S      5.96%  ß     01/25/2047      2,602,287  
4,617,505    Morgan Stanley Re-Remic Trust, Series 2010-R9-1B      6.00%  #^     08/26/2036      3,685,338  
27,000,155    Morgan Stanley Re-Remic Trust, Series 2010-R9-3C      6.00%  #^     11/26/2036      27,131,910  
4,044,935    Morgan Stanley Re-Remic Trust, Series 2011-R1-1A      5.94%  #^     02/26/2037      4,253,193  
14,476,450    New Century Alternative Mortgage Loan Trust, Series 2006-ALT1-AF3      6.17%  #     07/25/2036      8,169,708  
33,589,250    New Century Home Equity Loan Trust, Series 2005-2-M3, (1 Month LIBOR USD + 0.74%, 0.49% Floor)      2.83%       06/25/2035      33,697,730  
12,500,000    New Century Home Equity Loan Trust, Series 2006-1-A2C, (1 Month LIBOR USD + 0.28%, 0.28% Floor, 12.50% Cap)      2.37%       05/25/2036      10,466,504  
12,557,011    New Residential Mortgage Loan Trust, Series 2014-2A-A3      3.75%  #^     05/25/2054      12,638,564  
40,050,735    New Residential Mortgage Loan Trust, Series 2015-2A-A1      3.75%  #^     08/25/2055      40,229,513  
93,838,880    New Residential Mortgage Loan Trust, Series 2018-FNT1-A      3.61%  ^     05/25/2023      94,019,802  
673,261    New York Mortgage Trust, Series 2005-2-A, (1 Month LIBOR USD + 0.66%, 0.33% Floor, 10.50% Cap)      2.75%      08/25/2035      649,395  
240,059    Nomura Asset Acceptance Corporation, Series 2005-AP1-2A5      4.86%  ß     02/25/2035      241,152  
16,043,621    Nomura Asset Acceptance Corporation, Series 2006-AF1-1A2      6.16%  #     05/25/2036      6,610,687  
3,260,350    Nomura Asset Acceptance Corporation, Series 2006-AF1-1A3      6.41%  #     05/25/2036      1,342,774  
19,262,891    Nomura Asset Acceptance Corporation, Series 2006-AP1-A2      5.52%  #     01/25/2036      10,398,964  
3,255,834    Nomura Asset Acceptance Corporation, Series 2006-AP1-A3      5.65%  #     01/25/2036      1,760,425  
1,587,915    Nomura Asset Acceptance Corporation, Series 2006-WF1-A2      5.76%  #     06/25/2036      858,856  
18,016,058    Nomura Home Equity Loan, Inc., Series 2006-AF1-A2      5.80%  ß     10/25/2036      7,636,650  
3,275,641    Nomura Home Equity Loan, Inc., Series 2007-1-1A1      6.06%  ß     02/25/2037      1,650,153  
16,326,548    Nomura Home Equity Loan, Inc., Series 2007-1-1A3      5.99%  ß     02/25/2037      8,225,586  
59,011,536    NRZ Excess Spread-Collateralized Notes, Series 2018-PLS2-A      3.27%  ^     02/25/2023      58,790,827  
57,005,124    Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2-A1      3.00%  ^§     07/25/2057      56,582,311  
82,072,851    OBX Trust, Series 2018-1-A2, (1 Month LIBOR USD + 0.65%)      2.74%  ^     06/25/2057      82,375,848  
1,016,497    Option One Mortgage Loan Trust, Series 2004-3-M3, (1 Month LIBOR USD + 0.98%, 0.65% Floor)      3.07%       11/25/2034      1,027,491  
96,481,892    Option One Mortgage Loan Trust, Series 2007-6-1A1, (1 Month LIBOR USD + 0.19%, 0.19% Floor)      2.28%       07/25/2037      83,576,513  
13,000,000    Park Place Securities, Inc., Series 2005-WHQ4-M2, (1 Month LIBOR USD + 0.49%, 0.49% Floor)      2.58%       09/25/2035      13,007,075  
7,750,757    PHH Alternative Mortgage Trust, Series 2007-1-1A1, (1 Month LIBOR USD + 0.16%, 0.16% Floor, 10.10% Cap)      2.25%       02/25/2037      6,708,194  
20,637,175    PHH Alternative Mortgage Trust, Series 2007-2-2A1      6.00%       05/25/2037      19,052,023  
809,760    PHH Alternative Mortgage Trust, Series 2007-2-3A1      6.00%       05/25/2037      735,151  
230,490,199    PR Mortgage Loan Trust, Series 2014-1-APT      5.91%  #^     10/25/2049      204,995,701  
37,827,342    Preston Ridge Partners Mortgage Trust, Series 2017-2A-A1      3.47%  ^§     09/25/2022      37,697,923  
60,785,319    Pretium Mortgage Credit Partners LLC, Series 2017-NPL2-A1      3.25%  ^§     03/28/2057      60,707,915  
24,092,008    Pretium Mortgage Credit Partners LLC, Series 2017-NPL3-A1      3.25%  ^§     06/29/2032      24,003,227  
13,283,469    Pretium Mortgage Credit Partners LLC, Series 2017-NPL5-A1      3.33%  #^     12/30/2032      13,258,623  
85,451,549    Pretium Mortgage Credit Partners LLC, Series 2018-NPL1-A1      3.38%  ^§     01/27/2033      84,946,830  
71,844,224    Pretium Mortgage Credit Partners LLC, Series 2018-NPL2-A1      3.70%  ^§     03/27/2033      71,707,404  
10,840,857    Prime Mortgage Trust, Series 2006-DR1-2A1      5.50%  ^     05/25/2035      7,851,812  
5,117,264    Prime Mortgage Trust, Series 2006-DR1-2A2      6.00%  ^     05/25/2035      3,777,494  
54,464,856    PRPM LLC, Series 2017-3A-A1      3.47%  #^     11/25/2022      54,369,531  
28,598,672    RBSGC Structured Trust, Series 2008-B-A1      6.00%  ^     06/25/2037      27,183,753  
5,356,252    RBSSP Resecuritization Trust, Series 2010-4-7A2      6.00%  ^     07/26/2037      4,559,949  
28,639,696    RCO Trust, Series 2016-SFR1-A      3.75%  #^     11/25/2051      28,712,298  
8,741,157    RCO Trust, Series 2016-SFR1-M1      4.50%  #^     11/25/2051      8,681,333  
1,200,021    Renaissance Home Equity Loan Trust, Series 2006-1-AF6      5.75%  ß     05/25/2036      869,781  
10,422,516    Renaissance Home Equity Loan Trust, Series 2006-4-AF4      5.47%  ß     01/25/2037      5,896,443  
20,524,055    Renaissance Home Equity Loan Trust, Series 2006-4-AF5      5.69%  ß     01/25/2037      12,046,764  
8,237,170    Renaissance Home Equity Loan Trust, Series 2007-1-AF1      5.74%  ß     04/25/2037      4,152,467  
5,811,237    Renaissance Home Equity Loan Trust, Series 2007-1-AF1Z      5.35%  ß     04/25/2037      2,752,762  
3,505,769    Renaissance Home Equity Loan Trust, Series 2007-1-AF2      5.51%  ß     04/25/2037      1,698,189  
5,099,725    Renaissance Home Equity Loan Trust, Series 2007-1-AF3      5.61%  ß     04/25/2037      2,513,987  
8,277,382    Renaissance Home Equity Loan Trust, Series 2007-1-AF5      5.91%  ß     04/25/2037      4,290,788  
17,696,892    Renaissance Home Equity Loan Trust, Series 2007-2-AF2      5.68%  ß     06/25/2037      8,200,843  
9,571,061    Renaissance Home Equity Loan Trust, Series 2007-2-AF5      6.20%  ß     06/25/2037      4,888,287  
33,092,210    Residential Accredit Loans, Inc., Series 2005-QA11-4A1      4.25%  #     10/25/2035      28,392,544  
18,241,900    Residential Accredit Loans, Inc., Series 2005-QA13-2A1      4.52%  #     12/25/2035      16,667,190  
13,321,624    Residential Accredit Loans, Inc., Series 2005-QA3-CB1      4.17%  #     03/25/2035      8,811,741  
496,277    Residential Accredit Loans, Inc., Series 2005-QS12-A11, (-11 x 1 Month LIBOR USD + 51.15%, 51.15% Cap)      28.15%  I/F     08/25/2035      727,747  
1,978,421    Residential Accredit Loans, Inc., Series 2005-QS13-1A6      5.50%       09/25/2035      1,859,633  
3,848,785    Residential Accredit Loans, Inc., Series 2005-QS13-2A1, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.75% Cap)      2.79%       09/25/2035      3,333,227  
15,780,020    Residential Accredit Loans, Inc., Series 2005-QS13-2A2, (-1 x 1 Month LIBOR USD + 5.05%, 5.05% Cap)      2.96%  I/FI/O     09/25/2035      1,337,486  
7,841,434    Residential Accredit Loans, Inc., Series 2005-QS14-2A1      6.00%       09/25/2035      5,502,307  
3,025,435    Residential Accredit Loans, Inc., Series 2005-QS15-2A      6.00%       10/25/2035      2,735,596  
3,771,378    Residential Accredit Loans, Inc., Series 2005-QS15-3A      6.00%       10/25/2035      3,654,277  
3,943,238    Residential Accredit Loans, Inc., Series 2005-QS16-A1, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap)      2.79%       11/25/2035      3,289,815  
3,942,556    Residential Accredit Loans, Inc., Series 2005-QS16-A2, (-1 x 1 Month LIBOR USD + 4.80%, 4.80% Cap)      2.71%  I/FI/O     11/25/2035      313,534  
1,921,412    Residential Accredit Loans, Inc., Series 2005-QS17-A1      6.00%       12/25/2035      1,860,259  
1,331,440    Residential Accredit Loans, Inc., Series 2005-QS17-A10      6.00%       12/25/2035      1,289,064  
5,568,659    Residential Accredit Loans, Inc., Series 2005-QS17-A11      6.00%       12/25/2035      5,391,424  
3,958,027    Residential Accredit Loans, Inc., Series 2005-QS17-A2, (1 Month LIBOR USD + 0.85%, 0.85% Floor, 6.00% Cap)      2.94%       12/25/2035      3,253,363  
3,958,027    Residential Accredit Loans, Inc., Series 2005-QS17-A4, (-1 x 1 Month LIBOR USD + 5.15%, 5.15% Cap)      3.06%  I/FI/O     12/25/2035      376,151  
3,184,751    Residential Accredit Loans, Inc., Series 2005-QS17-A6      6.00%       12/25/2035      3,083,389  
34,642    Residential Accredit Loans, Inc., Series 2005-QS1-A5      5.50%       01/25/2035      34,651  
1,585,593    Residential Accredit Loans, Inc., Series 2005-QS5-A3      5.70%       04/25/2035      1,589,988  
1,295,918    Residential Accredit Loans, Inc., Series 2005-QS9-A1, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap)      2.59%       06/25/2035      1,127,339  
3,147,102    Residential Accredit Loans, Inc., Series 2005-QS9-A4, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     06/25/2035      255,667  
1,589,199    Residential Accredit Loans, Inc., Series 2006-QS10-A4      5.75%       08/25/2036      1,429,493  
10,288,667    Residential Accredit Loans, Inc., Series 2006-QS11-1A1      6.50%       08/25/2036      9,439,967  
1,901,674    Residential Accredit Loans, Inc., Series 2006-QS12-1A1      6.50%       09/25/2036      1,438,600  
4,251,140    Residential Accredit Loans, Inc., Series 2006-QS12-2A18      5.75%       09/25/2036      4,008,638  
6,408,893    Residential Accredit Loans, Inc., Series 2006-QS14-A18      6.25%       11/25/2036      5,752,522  
3,039,859    Residential Accredit Loans, Inc., Series 2006-QS15-A1      6.50%       10/25/2036      2,867,264  
1,358,541    Residential Accredit Loans, Inc., Series 2006-QS16-A10      6.00%       11/25/2036      1,219,140  
4,830,755    Residential Accredit Loans, Inc., Series 2006-QS16-A11      6.00%       11/25/2036      4,335,068  
1,410,151    Residential Accredit Loans, Inc., Series 2006-QS16-A7      6.00%       11/25/2036      1,265,455  
1,523,835    Residential Accredit Loans, Inc., Series 2006-QS16-A8      6.00%       11/25/2036      1,367,473  
603,010    Residential Accredit Loans, Inc., Series 2006-QS16-A9      6.00%       11/25/2036      541,135  
2,856,232    Residential Accredit Loans, Inc., Series 2006-QS17-A4      6.00%       12/25/2036      2,640,115  
15,867,992    Residential Accredit Loans, Inc., Series 2006-QS17-A5      6.00%       12/25/2036      14,667,338  
1,671,673    Residential Accredit Loans, Inc., Series 2006-QS1-A6, (-8 x 1 Month LIBOR USD + 42.86%, 42.86% Cap)      26.82%  I/F     01/25/2036      2,481,809  
10,762,842    Residential Accredit Loans, Inc., Series 2006-QS3-1A11      6.00%       03/25/2036      10,255,372  
2,530,662    Residential Accredit Loans, Inc., Series 2006-QS4-A8, (-790 x 1 Month LIBOR USD + 5,143.00%, 0.10% Floor, 8.00% Cap)      8.00%  I/F     04/25/2036      2,447,578  
6,963,600    Residential Accredit Loans, Inc., Series 2006-QS5-A3      6.00%       05/25/2036      6,524,871  
20,754,147    Residential Accredit Loans, Inc., Series 2006-QS5-A4      6.00%       05/25/2036      19,446,569  
2,689,352    Residential Accredit Loans, Inc., Series 2006-QS6-1A16      6.00%       06/25/2036      2,473,801  
4,423,424    Residential Accredit Loans, Inc., Series 2006-QS6-1A2      6.00%       06/25/2036      4,068,888  
9,164,088    Residential Accredit Loans, Inc., Series 2006-QS8-A1      6.00%       08/25/2036      8,424,396  
15,891,866    Residential Accredit Loans, Inc., Series 2006-QS8-A5, (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap)      3.46%  I/FI/O     08/25/2036      1,754,961  
5,566,234    Residential Accredit Loans, Inc., Series 2006-QS9-1A6, (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap)      3.21%  I/FI/O     07/25/2036      630,024  
32,558,770    Residential Accredit Loans, Inc., Series 2007-QH5-AII, (1 Month LIBOR USD + 0.23%, 0.23% Floor)      2.32%       06/25/2037      18,239,276  
5,301,277    Residential Accredit Loans, Inc., Series 2007-QS11-A1      7.00%       10/25/2037      4,667,961  
17,639,495    Residential Accredit Loans, Inc., Series 2007-QS1-1A2, (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)      3.36%  I/FI/O     01/25/2037      1,872,094  
1,775,602    Residential Accredit Loans, Inc., Series 2007-QS1-1A4      6.00%       01/25/2037      1,667,659  
4,346,397    Residential Accredit Loans, Inc., Series 2007-QS1-2A10      6.00%       01/25/2037      3,921,312  
770,838    Residential Accredit Loans, Inc., Series 2007-QS2-A6      6.25%       01/25/2037      719,427  
29,682,046    Residential Accredit Loans, Inc., Series 2007-QS3-A1      6.50%       02/25/2037      26,957,012  
4,732,987    Residential Accredit Loans, Inc., Series 2007-QS3-A4      6.25%       02/25/2037      4,242,314  
7,651,534    Residential Accredit Loans, Inc., Series 2007-QS4-3A3      6.00%       03/25/2037      7,117,870  
3,455,495    Residential Accredit Loans, Inc., Series 2007-QS5-A1      5.50%       03/25/2037      3,128,189  
1,425,533    Residential Accredit Loans, Inc., Series 2007-QS5-A5, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.00% Cap)      2.39%       03/25/2037      1,098,876  
4,734,520    Residential Accredit Loans, Inc., Series 2007-QS5-A8, (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap)      4.61%  I/FI/O     03/25/2037      732,184  
3,775,566    Residential Accredit Loans, Inc., Series 2007-QS6-A102      5.75%       04/25/2037      3,443,687  
1,213,954    Residential Accredit Loans, Inc., Series 2007-QS6-A13, (-8 x 1 Month LIBOR USD + 55.00%, 55.00% Cap)      37.57%  I/F     04/25/2037      2,089,645  
5,406,315    Residential Accredit Loans, Inc., Series 2007-QS6-A45      5.75%       04/25/2037      4,931,089  
8,615,996    Residential Accredit Loans, Inc., Series 2007-QS6-A6      6.25%       04/25/2037      8,071,686  
595,080    Residential Accredit Loans, Inc., Series 2007-QS6-A77, (-8 x 1 Month LIBOR USD + 55.83%, 55.83% Cap)      38.41%  I/F     04/25/2037      1,041,953  
7,784,096    Residential Accredit Loans, Inc., Series 2007-QS7-2A1      6.75%       06/25/2037      5,047,284  
30,271,397    Residential Accredit Loans, Inc., Series 2007-QS9-A33      6.50%       07/25/2037      28,198,173  
3,746,496    Residential Asset Mortgage Products, Inc., Series 2004-RS7-A3      4.18%  #     07/25/2034      3,546,047  
4,002,919    Residential Asset Mortgage Products, Inc., Series 2005-RS1-AI5      5.41%  ß     01/25/2035      4,026,271  
38,590,757    Residential Asset Mortgage Products, Inc., Series 2005-RS9-AI4, (1 Month LIBOR USD + 0.32%, 0.32% Floor)      2.41%       11/25/2035      35,982,118  
27,883,974    Residential Asset Mortgage Products, Inc., Series 2006-RS2-A3A, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 14.00% Cap)      2.39%       03/25/2036      27,325,536  
7,375,683    Residential Asset Mortgage Products, Inc., Series 2006-RZ3-A3, (1 Month LIBOR USD + 0.29%, 0.29% Floor, 14.00% Cap)      2.38%       08/25/2036      7,377,456  
12,018,874    Residential Asset Mortgage Products, Inc., Series 2006-RZ5-A3, (1 Month LIBOR USD + 0.25%, 0.25% Floor, 14.00% Cap)      2.34%       08/25/2046      11,980,600  
27,100,365    Residential Asset Securities Corporation, Series 2005-KS11-M2, (1 Month LIBOR USD + 0.42%, 0.42% Floor, 14.00% Cap)      2.51%       12/25/2035      27,057,977  
6,296,413    Residential Asset Securities Corporation, Series 2006-EMX5-A3, (1 Month LIBOR USD + 0.16%, 0.16% Floor, 14.00% Cap)      2.25%       07/25/2036      5,990,164  
35,045,851    Residential Asset Securities Corporation, Series 2007-EMX1-A13, (1 Month LIBOR USD + 0.20%, 0.20% Floor, 14.00% Cap)      2.29%       01/25/2037      30,945,773  
21,427,408    Residential Asset Securities Corporation, Series 2007-KS3-AI3, (1 Month LIBOR USD + 0.25%, 0.25% Floor, 14.00% Cap)      2.34%       04/25/2037      21,136,539  
5,981,942    Residential Asset Securitization Trust, Series 2005-A11-2A4      6.00%       10/25/2035      4,761,739  
2,832,915    Residential Asset Securitization Trust, Series 2005-A12-A7, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     11/25/2035      334,511  
2,564,249    Residential Asset Securitization Trust, Series 2005-A12-A8, (1 Month LIBOR USD + 0.55%, 0.55% Floor, 5.50% Cap)      2.64%       11/25/2035      1,930,160  
10,378,056    Residential Asset Securitization Trust, Series 2005-A13-2A1      5.50%       10/25/2035      7,412,308  
10,324,636    Residential Asset Securitization Trust, Series 2005-A15-5A3      5.75%       02/25/2036      7,936,134  
1,940,215    Residential Asset Securitization Trust, Series 2005-A7-A3      5.50%       06/25/2035      1,690,223  
4,885,921    Residential Asset Securitization Trust, Series 2005-A8CB-A11      6.00%       07/25/2035      4,520,798  
4,887,312    Residential Asset Securitization Trust, Series 2005-A8CB-A2, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     07/25/2035      584,722  
6,021,706    Residential Asset Securitization Trust, Series 2006-A10-A5      6.50%       09/25/2036      4,189,512  
881,774    Residential Asset Securitization Trust, Series 2006-A1-1A3      6.00%       04/25/2036      687,707  
7,948,007    Residential Asset Securitization Trust, Series 2006-A12-A1      6.25%       11/25/2036      5,361,369  
8,278,721    Residential Asset Securitization Trust, Series 2006-A13-A1      6.25%       12/25/2036      5,464,353  
15,052,205    Residential Asset Securitization Trust, Series 2006-A1-3A2      6.00%       04/25/2036      12,753,720  
15,131,169    Residential Asset Securitization Trust, Series 2006-A14C-2A6, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       12/25/2036      5,122,560  
33,392,220    Residential Asset Securitization Trust, Series 2006-A14C-2A7, (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.46%  I/FI/O     12/25/2036      7,920,922  
7,301,013    Residential Asset Securitization Trust, Series 2006-A2-A11      6.00%       01/25/2046      5,474,580  
5,055,337    Residential Asset Securitization Trust, Series 2006-A2-A4      6.00%       01/25/2046      3,790,279  
658,295    Residential Asset Securitization Trust, Series 2006-A4-2A5      6.00%       05/25/2036      644,179  
5,013,155    Residential Asset Securitization Trust, Series 2006-A4-2A9      6.00%       05/25/2036      4,905,656  
4,207,879    Residential Asset Securitization Trust, Series 2006-A8-1A1      6.00%       08/25/2036      3,746,046  
6,040,000    Residential Asset Securitization Trust, Series 2006-R1-A1, (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap)      20.04%  I/F     01/25/2046      9,187,782  
32,057,363    Residential Asset Securitization Trust, Series 2007-A2-1A2      6.00%       04/25/2037      28,403,404  
973,337    Residential Asset Securitization Trust, Series 2007-A3-1A2, (-8 x 1 Month LIBOR USD + 46.38%, 46.38% Cap)      30.35%  I/F     04/25/2037      1,756,776  
23,422,945    Residential Asset Securitization Trust, Series 2007-A5-1A4, (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.01%  I/FI/O     05/25/2037      3,979,764  
6,030,278    Residential Asset Securitization Trust, Series 2007-A5-1A6, (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap)      2.49%       05/25/2037      1,052,867  
6,663,746    Residential Asset Securitization Trust, Series 2007-A5-2A3      6.00%       05/25/2037      5,857,716  
2,920,379    Residential Asset Securitization Trust, Series 2007-A5-2A5      6.00%       05/25/2037      2,567,138  
12,031,120    Residential Asset Securitization Trust, Series 2007-A6-1A2      6.00%       06/25/2037      10,827,078  
9,025,268    Residential Asset Securitization Trust, Series 2007-A7-A1      6.00%       07/25/2037      6,112,274  
39,698,925    Residential Asset Securitization Trust, Series 2007-A7-A2      6.00%       07/25/2037      26,885,708  
17,589,756    Residential Asset Securitization Trust, Series 2007-A7-A6      6.00%       07/25/2037      11,912,490  
92,216    Residential Funding Mortgage Securities Trust, Series 2003-S16-A1      4.75%       09/25/2018      92,257  
3,223,701    Residential Funding Mortgage Securities Trust, Series 2005-S9-A10      6.25%       12/25/2035      3,140,302  
8,597,515    Residential Funding Mortgage Securities Trust, Series 2005-S9-A6      5.75%       12/25/2035      8,375,920  
642,171    Residential Funding Mortgage Securities Trust, Series 2005-S9-A8      5.50%       12/25/2035      617,243  
10,321,772    Residential Funding Mortgage Securities Trust, Series 2006-S10-1A1      6.00%       10/25/2036      9,679,628  
17,923,258    Residential Funding Mortgage Securities Trust, Series 2006-S11-A1      6.00%       11/25/2036      16,913,410  
3,279,385    Residential Funding Mortgage Securities Trust, Series 2006-S5-A12      6.00%       06/25/2036      3,217,018  
224,521    Residential Funding Mortgage Securities Trust, Series 2006-S5-A15      6.00%       06/25/2036      220,251  
5,325,941    Residential Funding Mortgage Securities Trust, Series 2006-S9-A1      6.25%       09/25/2036      5,185,377  
7,721,886    Residential Funding Mortgage Securities Trust, Series 2007-S1-A7      6.00%       01/25/2037      7,425,534  
3,798,564    Residential Funding Mortgage Securities Trust, Series 2007-S2-A1      6.00%       02/25/2037      3,597,523  
4,279,501    Residential Funding Mortgage Securities Trust, Series 2007-S2-A4      6.00%       02/25/2037      4,053,006  
7,989,339    Residential Funding Mortgage Securities Trust, Series 2007-S2-A5      6.00%       02/25/2037      7,566,499  
1,248,467    Residential Funding Mortgage Securities Trust, Series 2007-S2-A9      6.00%       02/25/2037      1,182,392  
3,680,175    Residential Funding Mortgage Securities Trust, Series 2007-S3-1A4      6.00%       03/25/2037      3,507,880  
1,148,963    Residential Funding Mortgage Securities Trust, Series 2007-S4-A1      6.00%       04/25/2037      1,087,267  
3,067,127    Residential Funding Mortgage Securities Trust, Series 2007-S4-A2      6.00%       04/25/2037      2,902,431  
26,846,299    Residential Funding Mortgage Securities Trust, Series 2007-S5-A1      6.00%       05/25/2037      25,735,216  
7,780,163    Residential Funding Mortgage Securities Trust, Series 2007-S5-A8      6.00%       05/25/2037      7,458,167  
4,306,263    Residential Funding Mortgage Securities Trust, Series 2007-S6-2A4      6.00%       06/25/2037      4,093,946  
20,295,038    Residential Funding Mortgage Securities Trust, Series 2007-S7-A20      6.00%       07/25/2037      19,353,505  
9,975,814    Residential Funding Mortgage Securities Trust, Series 2007-S8-1A1      6.00%       09/25/2037      9,195,771  
2,562,236    Residential Funding Mortgage Securities Trust, Series 2007-SA1-4A      4.98%  #     02/25/2037      2,173,391  
8,363,504    Residential Funding Mortgage Securities Trust, Series 2007-SA2-2A1      4.22%  #     04/25/2037      7,485,547  
26,522,835    RMAT LLC, Series 2015-PR2-A1      8.85%  ^§     11/25/2035      25,550,041  
40,517,011    Saxon Asset Securities Trust, Series 2006-3-A3, (1 Month LIBOR USD + 0.17%, 0.17% Floor, 12.25% Cap)      2.26%       10/25/2046      39,742,504  
329,015,893    Securitized Mortgage Asset Loan Trust, Series 2015-1-PC      2.73%  #^¥     02/25/2054      276,098,786  
64,717,753    Securitized Mortgage Asset Loan Trust, Series 2015-2-PC      0.00%  #^¥     12/26/2059      60,475,918  
97,205,103    Securitized Mortgage Asset Loan Trust, Series 2015-3-PC      0.00%  #^¥     10/25/2044      92,845,561  
172,429    Sequoia Mortgage Trust, Series 2003-4-2A1, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap)      2.43%       07/20/2033      167,012  
9,299,261    Sequoia Mortgage Trust, Series 2013-2-A      1.87%  #     02/25/2043      8,383,418  
11,233,269    Sequoia Mortgage Trust, Series 2013-6-A2      3.00%  #     05/25/2043      10,912,561  
69,030,362    Sequoia Mortgage Trust, Series 2015-4-A1      3.00%  #^     11/25/2030      68,425,781  
204,015,841    Sequoia Mortgage Trust, Series 2016-2-A1      3.50%  #^     08/25/2046      201,486,044  
15,164,281    SG Mortgage Securities Trust, Series 2006-FRE1-A1A, (1 Month LIBOR USD + 0.17%, 0.17% Floor)      2.26%       02/25/2036      14,217,136  
24,133,731    SG Mortgage Securities Trust, Series 2017-1-A1      3.71%  #^     04/25/2047      23,861,020  
48,939,127    Sofi Mortgage Trust, Series 2016-1A-1A4      3.00%  #^     11/25/2046      46,746,429  
29,018,906    Soundview Home Equity Loan Trust, Series 2007-NS1-A3, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.29%       01/25/2037      28,544,287  
5,327,090    Soundview Home Loan Trust, Series 2007-OPT1-2A2, (1 Month LIBOR USD + 0.15%, 0.15% Floor)      2.24%       06/25/2037      3,875,234  
29,485,102    Soundview Home Loan Trust, Series 2007-OPT4-1A1, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.09%       09/25/2037      23,727,841  
32,359,521    Stanwich Mortgage Loan Trust Series, Series 2018-NPB1-A1      4.02%  ^§     05/16/2023      32,447,985  
11,157,098    STARM Mortgage Loan Trust, Series 2007-2-1A1      3.78%  #     04/25/2037      8,922,933  
4,621,394    STARM Mortgage Loan Trust, Series 2007-3-1A1      4.24%  #     06/25/2037      4,361,796  
4,228,721    Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12-8A      3.81%  #     09/25/2034      4,206,591  
7,555,191    Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1      3.75%  #     12/25/2035      7,270,411  
5,302,395    Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12-2A1      3.79%  #     01/25/2037      4,883,860  
2,384,332    Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-8A1      3.82%  #     02/25/2036      2,053,814  
3,471,217    Structured Adjustable Rate Mortgage Loan Trust, Series 2006-6-3A1      3.66%  #     07/25/2036      3,021,391  
13,947    Structured Asset Securities Corporation, Series 2003-18XS-A6      4.54%  #     06/25/2033      14,226  
2,486,908    Structured Asset Securities Corporation, Series 2003-24A-1A3      3.62%  #     07/25/2033      2,509,464  
5,271,033    Structured Asset Securities Corporation, Series 2003-35-1A1      5.17%  #     12/25/2033      5,445,323  
1,222,838    Structured Asset Securities Corporation, Series 2004-11XS-2A2      5.00%  #     06/25/2034      1,862,812  
17,094,875    Structured Asset Securities Corporation, Series 2005-10-1A1      5.75%       06/25/2035      16,569,607  
546,670    Structured Asset Securities Corporation, Series 2005-10-6A1      5.00%       06/25/2020      554,548  
1,241,918    Structured Asset Securities Corporation, Series 2005-14-1A1, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.25% Cap)      2.39%       07/25/2035      1,004,030  
491,127    Structured Asset Securities Corporation, Series 2005-14-1A4, (-4 x 1 Month LIBOR USD + 24.53%, 24.53% Cap)      15.20%  I/F     07/25/2035      532,611  
21,714,106    Structured Asset Securities Corporation, Series 2005-14-4A1      5.75%       07/25/2035      21,826,763  
1,674,327    Structured Asset Securities Corporation, Series 2005-15-1A1      5.50%       08/25/2035      1,759,682  
4,155,505    Structured Asset Securities Corporation, Series 2005-15-2A7      5.50%       08/25/2035      4,163,658  
6,006,204    Structured Asset Securities Corporation, Series 2005-15-3A1      4.74%  #     08/25/2035      5,884,599  
4,977,413    Structured Asset Securities Corporation, Series 2005-16-1A2      5.50%       09/25/2035      4,992,696  
4,493,201    Structured Asset Securities Corporation, Series 2005-16-3A1      6.00%       09/25/2035      3,576,672  
5,813,261    Structured Asset Securities Corporation, Series 2005-3-1A6      5.75%       03/25/2035      5,573,573  
47,274,657    Structured Asset Securities Corporation, Series 2006-BC4-A4, (1 Month LIBOR USD + 0.17%, 0.17% Floor)      2.26%       12/25/2036      45,904,912  
103,322,544    Structured Asset Securities Corporation, Series 2007-4-1A3, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.43%  ^I/FI/OÞ     03/28/2045      12,045,404  
25,476,324    Structured Asset Securities Corporation, Series 2007-RF1-1A, (1 Month LIBOR USD + 0.19%, 0.19% Floor)      2.28%  ^     03/25/2037      22,897,557  
685,374    Suntrust Alternative Loan Trust, Series 2005-1F-2A3      5.75%       12/25/2035      681,015  
1,115,087    Suntrust Alternative Loan Trust, Series 2006-1F-1A3      6.00%       04/25/2036      1,028,186  
573,812    Thornburg Mortgage Securities Trust, Series 2003-6-A2, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.50% Cap)      2.59%       12/25/2033      530,089  
5,540,005    Thornburg Mortgage Securities Trust, Series 2004-4-5A      3.08%  #     12/25/2044      5,475,554  
16,879,109    Thornburg Mortgage Securities Trust, Series 2007-1-A1, (12 Month LIBOR USD + 1.30%, 0.11% Floor, 10.75% Cap)      4.07%       03/25/2037      16,184,471  
3,532,072    Thornburg Mortgage Securities Trust, Series 2007-1-A2A, (12 Month LIBOR USD + 1.30%, 0.11% Floor, 10.75% Cap)      4.07%       03/25/2037      3,077,679  
9,580,668    Towd Point Mortgage Trust, Series 2015-1-AE      3.00%  ^     10/25/2053      9,525,593  
7,402,271    Towd Point Mortgage Trust, Series 2015-1-AES      3.00%  #^     10/25/2053      7,379,463  
5,997,103    Towd Point Mortgage Trust, Series 2015-2-1A12      2.75%  #^     11/25/2060      5,917,231  
15,978,958    Towd Point Mortgage Trust, Series 2015-2-1A13      2.50%  #^     11/25/2060      15,686,117  
46,736,675    Towd Point Mortgage Trust, Series 2015-5-A1B      2.75%  #^     05/25/2055      46,210,368  
59,670,253    Towd Point Mortgage Trust, Series 2015-6-A1B      2.75%  #^     04/25/2055      58,899,009  
16,006,493    US Residential Opportunity Fund Trust, Series 2017-1II-A      3.35%  ^§     11/27/2037      15,903,449  
124,057,053    US Residential Opportunity Fund Trust, Series 2017-1III-A      3.35%  ^§     11/27/2037      123,802,401  
38,487,646    US Residential Opportunity Fund Trust, Series 2017-1IV-A      3.35%  ^§     11/27/2037      38,188,062  
44,588,691    Velocity Commercial Capital Loan Trust, Series 2017-2-AFX      3.07%  #^     11/25/2047      44,052,066  
18,392,070    Velocity Commercial Capital Loan Trust, Series 2016-1-AFX      3.53%  #^     04/25/2046      18,318,222  
37,515,771    Verus Securitization Trust, Series 2018-INV1-A1      3.63%  #^     03/25/2058      37,646,997  
22,827,827    VOLT LLC, Series 2017-NP10-A1      3.00%  ^§     10/25/2047      22,648,035  
2,982,929    VOLT LLC, Series 2017-NPL1-A1      3.50%  ^§     02/25/2047      2,990,068  
62,503,749    VOLT LLC, Series 2017-NPL2-A1      3.50%  ^§     03/25/2047      62,446,533  
147,320,100    VOLT LLC, Series 2017-NPL3-A1      3.50%  ^§     03/25/2047      147,344,570  
75,972,391    VOLT LLC, Series 2017-NPL4-A1      3.38%  ^§     04/25/2047      75,941,296  
81,860,295    VOLT LLC, Series 2017-NPL5-A1      3.38%  ^§     05/28/2047      81,928,247  
45,879,810    VOLT LLC, Series 2017-NPL6-A1      3.25%  ^§     05/25/2047      45,657,320  
103,320,191    VOLT LLC, Series 2017-NPL7-A1      3.25%  ^§     06/25/2047      103,002,068  
61,147,644    VOLT LLC, Series 2017-NPL8-A1      3.13%  ^§     06/25/2047      60,874,021  
64,298,327    VOLT LLC, Series 2017-NPL9-A1      3.13%  ^§     09/25/2047      63,930,477  
130,646,783    VOLT LLC, Series 2018-NPL1      3.75%  ^§     04/25/2048      130,859,959  
6,904,917    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1-2A      6.00%       03/25/2035      6,524,409  
2,549,700    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-4-5A1      5.50%       06/25/2035      2,494,561  
1,023,741    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5-CB12, (-11 x 1 Month LIBOR USD + 50.60%, 50.60% Cap)      27.60%  I/F     07/25/2035      1,509,084  
3,315,125    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5-CB6, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.50% Cap)      2.69%       07/25/2035      2,945,748  
960,644    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-6-2A7      5.50%       08/25/2035      936,051  
12,771,328    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-2CB6, (1 Month LIBOR USD + 1.45%, 1.45% Floor, 6.00% Cap)      3.54%       08/25/2035      12,187,492  
1,161,030    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-2CB7, (-11 x 1 Month LIBOR USD + 50.05%, 50.05% Cap)      27.05%  I/F     08/25/2035      1,550,564  
1,415,903    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-3CB      6.50%       08/25/2035      1,238,201  
12,719,805    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-8-1A2      5.50%       10/25/2035      12,243,687  
10,375,599    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-9-2A2      5.50%       11/25/2035      9,701,683  
2,775,310    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-9-CX      5.50%  I/O     11/25/2035      573,987  
3,702,899    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A1      5.75%       02/25/2036      3,533,070  
1,874,994    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A2      5.75%       02/25/2036      1,788,999  
1,592,562    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A7      5.75%       02/25/2036      1,519,521  
4,216,171    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-3-3CB4      6.00%       04/25/2036      3,892,623  
2,523,696    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-1A8      5.75%       07/25/2036      2,274,152  
4,731,730    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-2CB1      6.00%       07/25/2036      3,915,693  
8,594,813    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-2CB6      6.00%       07/25/2036      7,112,547  
7,050,614    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-3A5      6.45%  ß     07/25/2036      3,094,613  
3,847,670    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-9-A7      4.76%  ß     10/25/2036      2,041,188  
9,506,129    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10-1A1      3.32%  #     09/25/2036      9,258,878  
15,841,857    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR15-1A, (12 Month US Treasury Average + 0.84%, 0.84% Floor)      2.40%       11/25/2046      13,761,023  
1,232,980    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6-2A3      3.41%  #     08/25/2036      1,203,293  
13,590,791    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A2      6.00%       04/25/2037      11,926,157  
13,904,926    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A6      6.00%       04/25/2037      12,201,816  
6,561,604    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A2      6.00%       04/25/2037      6,373,903  
8,894,596    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A3      6.00%       04/25/2037      8,640,158  
7,774,458    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-4-1A1      5.50%       06/25/2037      7,756,407  
382,331    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A11, (-6 x 1 Month LIBOR USD + 39.48%, 39.48% Cap)      26.93%  I/F     06/25/2037      629,258  
9,558,284    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A6      6.00%       06/25/2037      9,595,455  
16,133,819    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY3-4A1      3.68%  #     03/25/2037      16,048,766  
18,254,851    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY5-1A1      3.37%  #     05/25/2037      16,825,164  
14,584,312    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY6-2A3      3.54%  #     06/25/2037      14,004,464  
11,403,208    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OC1-A2, (1 Month LIBOR USD + 0.12%, 0.12% Floor)      2.21%       01/25/2047      10,373,786  
1,653,949    Wells Fargo Alternative Loan Trust, Series 2007-PA1-A10      6.00%       03/25/2037      1,571,853  
7,262,126    Wells Fargo Alternative Loan Trust, Series 2007-PA1-A3      6.00%       03/25/2037      6,901,660  
6,261,541    Wells Fargo Alternative Loan Trust, Series 2007-PA1-A5      6.00%       03/25/2037      5,950,741  
10,262,352    Wells Fargo Alternative Loan Trust, Series 2007-PA1-A6      6.00%       03/25/2037      9,752,966  
42,969,442    Wells Fargo Alternative Loan Trust, Series 2007-PA2-1A1      6.00%       06/25/2037      43,511,253  
5,747,452    Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A1, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.00% Cap)      2.44%       06/25/2037      4,230,996  
8,466,886    Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A2, (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.56%  I/FI/O     06/25/2037      1,219,779  
559,239    Wells Fargo Alternative Loan Trust, Series 2007-PA3-1A4      5.75%       07/25/2037      525,146  
13,712,234    Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A1      6.00%       07/25/2037      13,524,107  
5,447,958    Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A4      6.00%       07/25/2037      5,373,215  
11,003,768    Wells Fargo Alternative Loan Trust, Series 2007-PA3-3A1      6.25%       07/25/2037      10,433,976  
75,429,578    Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1      6.25%       11/25/2037      74,625,092  
6,862,228    Wells Fargo Alternative Loan Trust, Series 2007-PA6-A1      3.72%  #     12/28/2037      6,776,255  
11,122,353    Wells Fargo Mortgage Backed Securities Trust, Series 2004-Y-3A3      3.74%  #     11/25/2034      11,478,269  
17,754,591    Wells Fargo Mortgage Backed Securities Trust, Series 2005-17-1A1      5.50%       01/25/2036      17,558,785  
26,790    Wells Fargo Mortgage Backed Securities Trust, Series 2005-4-A7, (-4 x 1 Month LIBOR USD + 23.89%, 23.89% Cap)      15.56%  I/F     04/25/2035      27,557  
1,748,956    Wells Fargo Mortgage Backed Securities Trust, Series 2005-8-A1      5.50%       10/25/2035      1,805,515  
1,193,831    Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16-6A4      4.10%  #     10/25/2035      1,205,906  
3,319,412    Wells Fargo Mortgage Backed Securities Trust, Series 2006-12-A3      6.00%       10/25/2036      3,342,180  
4,129,176    Wells Fargo Mortgage Backed Securities Trust, Series 2006-14-A1      6.00%       10/25/2036      4,110,019  
5,135,922    Wells Fargo Mortgage Backed Securities Trust, Series 2006-15-A1      6.00%       11/25/2036      5,141,705  
62,263    Wells Fargo Mortgage Backed Securities Trust, Series 2006-2-1A4, (-3 x 1 Month LIBOR USD + 19.39%, 19.39% Cap)      13.64%  I/F     03/25/2036      69,509  
2,356,748    Wells Fargo Mortgage Backed Securities Trust, Series 2006-2-3A1      5.75%       03/25/2036      2,309,857  
15,160,215    Wells Fargo Mortgage Backed Securities Trust, Series 2006-3-A11      5.50%       03/25/2036      15,545,813  
3,429,664    Wells Fargo Mortgage Backed Securities Trust, Series 2006-3-A6      5.50%       03/25/2036      3,384,318  
182,202    Wells Fargo Mortgage Backed Securities Trust, Series 2006-4-2A2      5.50%       04/25/2036      178,938  
1,930,066    Wells Fargo Mortgage Backed Securities Trust, Series 2006-6-2A1, (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap)      2.49%       05/25/2036      1,743,180  
1,930,066    Wells Fargo Mortgage Backed Securities Trust, Series 2006-6-2A2, (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap)      5.01%  I/FI/O     05/25/2036      257,414  
1,862,931    Wells Fargo Mortgage Backed Securities Trust, Series 2006-9-2A1      0.00%  P/O     08/25/2036      1,258,372  
1,862,931    Wells Fargo Mortgage Backed Securities Trust, Series 2006-9-2A2      6.00%  I/O     08/25/2036      397,282  
7,226,158    Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12-1A1      3.86%  #     09/25/2036      7,252,444  
3,631,036    Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR13-A2      3.68%  #     09/25/2036      3,625,682  
4,145,576    Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4-2A1      4.19%  #     04/25/2036      3,879,607  
1,208,537    Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-1A18      6.00%       07/25/2037      1,207,922  
2,175,569    Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-2A11      6.00%       07/25/2037      2,130,320  
1,230,898    Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A14      6.00%       08/25/2037      1,226,124  
2,456,744    Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A36      6.00%       08/25/2037      2,447,216  
1,745,931    Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A96      6.00%       08/25/2037      1,739,160  
22,233,285    Wells Fargo Mortgage Backed Securities Trust, Series 2007-14-1A1      6.00%       10/25/2037      22,041,403  
13,282,190    Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-1A1      6.00%       03/25/2037      13,217,577  
768,681    Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-1A18      5.75%       03/25/2037      760,108  
1,731,274    Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-1A9      6.00%       03/25/2037      1,722,852  
379,592    Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-3A2      5.25%       03/25/2037      389,098  
1,471,272    Wells Fargo Mortgage Backed Securities Trust, Series 2007-3-1A3      6.00%       04/25/2037      1,466,196  
1,306,812    Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A11      6.50%       04/25/2037      1,338,439  
5,019,911    Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A15      6.00%       04/25/2037      5,069,595  
2,960,971    Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A3      6.00%       04/25/2037      2,990,277  
3,122,741    Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A8      6.00%       04/25/2037      3,153,648  
3,334,405    Wells Fargo Mortgage Backed Securities Trust, Series 2007-6-A4      6.00%       05/25/2037      3,346,234  
1,593,341    Wells Fargo Mortgage Backed Securities Trust, Series 2007-6-A6      6.00%       05/25/2037      1,598,994  
5,210,678    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1      6.00%       06/25/2037      5,203,217  
362,392    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A32      5.75%       06/25/2037      359,735  
11,734,062    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A34      6.00%       06/25/2037      11,717,262  
3,178,156    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A36      6.00%       06/25/2037      3,173,605  
1,080,841    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A43, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)      2.59%       06/25/2037      927,764  
2,952,833    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A49      6.00%       06/25/2037      2,948,605  
1,250,073    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A8, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)      2.59%       06/25/2037      1,073,029  
563,930    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A9, (-6 x 1 Month LIBOR USD + 39.00%, 39.00% Cap)      26.45%  I/F     06/25/2037      830,844  
904,589    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A13, (1 Month LIBOR USD + 0.37%, 0.37% Floor, 7.00% Cap)      2.46%       07/25/2037      836,574  
904,589    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A14, (-6 x 1 Month LIBOR USD + 39.78%, 39.78% Cap)      27.23%  I/F     07/25/2037      1,197,706  
14,699,574    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A16      6.00%       07/25/2037      14,686,579  
9,808,799    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A2      6.00%       07/25/2037      9,800,128  
1,386,679    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A20      6.00%       07/25/2037      1,385,454  
12,389,069    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A22      6.00%       07/25/2037      12,378,128  
4,311,868    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A3      6.00%       07/25/2037      4,308,058  
5,711,968    Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-2A9      6.00%       07/25/2037      6,186,442  
38,574,930    Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR9-A1      3.71%  #     12/28/2037      36,673,228  
16,433,760    WinWater Mortgage Loan Trust, Series 2015-4-A5      3.50%  #^     06/20/2045      16,491,814  
           

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $12,853,424,854)

 

         12,828,085,392  
           

 

 

  

US Government and Agency Mortgage Backed Obligations - 47.8%

   
8,898,970    Federal Home Loan Mortgage Association, Series 4050      2.50%       09/15/2041      8,473,983  
53,874,533    Federal Home Loan Mortgage Association, Series 4510      2.00%       03/15/2040      51,587,548  
71,839,970    Federal Home Loan Mortgage Association, Series 4763      3.00%       06/15/2043      70,801,343  
75,190,435    Federal Home Loan Mortgage Association, Series 4766      3.00%       07/15/2044      73,673,987  
99,364,552    Federal Home Loan Mortgage Association, Series 4791      0.00%  P/O     05/15/2048      77,560,432  
550,257,852    Federal Home Loan Mortgage Association, Series 4791      3.00%       05/15/2048      531,715,538  
32,262,720    Federal Home Loan Mortgage Association, Series 4791      0.00%  P/O     05/15/2048      25,036,068  
119,778,010    Federal Home Loan Mortgage Association, Series 4792      3.00%       05/15/2048      116,114,503  
49,762,265    Federal Home Loan Mortgage Association, Series 4795      0.00%  P/O     05/15/2048      38,468,296  
74,375,000    Federal Home Loan Mortgage Corporation      1.00%       10/11/2018      74,162,734  
8,059,640    Federal Home Loan Mortgage Corporation, Pool C0-3490      4.50%       08/01/2040      8,480,725  
49,451,850    Federal Home Loan Mortgage Corporation, Pool C9-1388      3.50%       02/01/2032      50,163,599  
26,386,917    Federal Home Loan Mortgage Corporation, Pool C9-1403      3.50%       03/01/2032      26,767,776  
25,440,735    Federal Home Loan Mortgage Corporation, Pool C9-1413      3.50%       12/01/2031      25,806,716  
12,929,261    Federal Home Loan Mortgage Corporation, Pool C9-1417      3.50%       01/01/2032      13,115,843  
53,531,798    Federal Home Loan Mortgage Corporation, Pool C9-1447      3.50%       05/01/2032      54,303,666  
60,544,599    Federal Home Loan Mortgage Corporation, Pool C9-1594      3.00%       01/01/2033      60,313,321  
18,053,379    Federal Home Loan Mortgage Corporation, Pool C9-1596      3.00%       02/01/2033      17,984,453  
9,235,638    Federal Home Loan Mortgage Corporation, Pool D9-8901      3.50%       01/01/2032      9,368,925  
24,598,112    Federal Home Loan Mortgage Corporation, Pool D9-8923      3.50%       01/01/2032      24,953,089  
22,858,091    Federal Home Loan Mortgage Corporation, Pool D9-9724      3.00%       11/01/2032      22,770,983  
20,035,978    Federal Home Loan Mortgage Corporation, Pool G0-1840      5.00%       07/01/2035      21,393,886  
4,122,495    Federal Home Loan Mortgage Corporation, Pool G0-4817      5.00%       09/01/2038      4,402,855  
20,378,652    Federal Home Loan Mortgage Corporation, Pool G0-7801      4.00%       10/01/2044      20,914,240  
39,368,194    Federal Home Loan Mortgage Corporation, Pool G0-7862      4.00%       01/01/2044      40,400,988  
44,666,595    Federal Home Loan Mortgage Corporation, Pool G0-7905      4.00%       01/01/2042      45,925,716  
75,010,445    Federal Home Loan Mortgage Corporation, Pool G0-8534      3.00%       06/01/2043      73,205,223  
24,330,175    Federal Home Loan Mortgage Corporation, Pool G0-8537      3.00%       07/01/2043      23,744,770  
57,821,937    Federal Home Loan Mortgage Corporation, Pool G0-8614      3.00%       11/01/2044      56,341,327  
67,742,077    Federal Home Loan Mortgage Corporation, Pool G0-8619      3.00%       12/01/2044      65,947,023  
91,100,738    Federal Home Loan Mortgage Corporation, Pool G0-8622      3.00%       01/01/2045      88,659,623  
174,952,610    Federal Home Loan Mortgage Corporation, Pool G0-8626      3.00%       02/01/2045      170,212,640  
95,480,717    Federal Home Loan Mortgage Corporation, Pool G0-8631      3.00%       03/01/2045      92,865,548  
244,134,625    Federal Home Loan Mortgage Corporation, Pool G0-8635      3.00%       04/01/2045      237,315,354  
72,141,442    Federal Home Loan Mortgage Corporation, Pool G0-8640      3.00%       05/01/2045      70,106,763  
373,838,157    Federal Home Loan Mortgage Corporation, Pool G0-8648      3.00%       06/01/2045      363,192,951  
72,550,004    Federal Home Loan Mortgage Corporation, Pool G0-8653      3.00%       07/01/2045      70,464,388  
40,379,883    Federal Home Loan Mortgage Corporation, Pool G0-8658      3.00%       08/01/2045      39,208,090  
48,138,455    Federal Home Loan Mortgage Corporation, Pool G0-8670      3.00%       10/01/2045      46,715,357  
568,032,285    Federal Home Loan Mortgage Corporation, Pool G0-8675      3.00%       11/01/2045      550,931,400  
239,005,566    Federal Home Loan Mortgage Corporation, Pool G0-8680      3.00%       12/01/2045      231,745,318  
96,662,886    Federal Home Loan Mortgage Corporation, Pool G0-8686      3.00%       01/01/2046      93,726,739  
224,484,066    Federal Home Loan Mortgage Corporation, Pool G0-8692      3.00%       02/01/2046      217,604,181  
75,108,359    Federal Home Loan Mortgage Corporation, Pool G0-8705      3.00%       05/01/2046      72,806,450  
7,482,489    Federal Home Loan Mortgage Corporation, Pool G0-8741      3.00%       01/01/2047      7,245,901  
65,947,271    Federal Home Loan Mortgage Corporation, Pool G6-0251      3.50%       10/01/2045      65,791,102  
219,210,068    Federal Home Loan Mortgage Corporation, Pool G6-0393      3.50%       01/01/2046      218,987,620  
36,772,593    Federal Home Loan Mortgage Corporation, Pool J2-2834      2.50%       03/01/2028      35,969,598  
64,919,923    Federal Home Loan Mortgage Corporation, Pool Q1-3637      3.00%       11/01/2042      63,406,920  
65,794,949    Federal Home Loan Mortgage Corporation, Pool Q1-3638      3.00%       11/01/2042      64,264,192  
108,187,379    Federal Home Loan Mortgage Corporation, Pool Q1-6672      3.00%       03/01/2043      105,601,853  
6,766,848    Federal Home Loan Mortgage Corporation, Pool Q2-3595      4.00%       12/01/2043      6,963,752  
8,499,236    Federal Home Loan Mortgage Corporation, Pool Q2-4052      4.00%       01/01/2044      8,746,555  
7,253,059    Federal Home Loan Mortgage Corporation, Pool Q2-4172      4.00%       01/01/2044      7,464,086  
6,269,149    Federal Home Loan Mortgage Corporation, Pool Q2-4979      4.00%       02/01/2044      6,451,569  
50,422,743    Federal Home Loan Mortgage Corporation, Pool Q3-1596      3.50%       02/01/2045      50,371,575  
17,975,421    Federal Home Loan Mortgage Corporation, Pool Q3-2861      3.50%       04/01/2045      17,957,180  
49,358,624    Federal Home Loan Mortgage Corporation, Pool Q3-2921      3.50%       04/01/2045      49,308,536  
31,304,096    Federal Home Loan Mortgage Corporation, Pool Q3-9502      3.50%       03/01/2046      31,272,330  
95,097,221    Federal Home Loan Mortgage Corporation, Pool Q4-4073      3.00%       09/01/2046      92,182,516  
6,986,575    Federal Home Loan Mortgage Corporation, Pool T6-0392      4.00%       10/01/2041      7,071,254  
6,477,521    Federal Home Loan Mortgage Corporation, Pool T6-0681      4.00%       05/01/2042      6,557,208  
21,498,875    Federal Home Loan Mortgage Corporation, Pool T6-0782      3.50%       07/01/2042      21,253,587  
35,868,636    Federal Home Loan Mortgage Corporation, Pool T6-0853      3.50%       09/01/2042      35,461,560  
29,005,574    Federal Home Loan Mortgage Corporation, Pool T6-0854      3.50%       09/01/2042      28,676,305  
3,076,117    Federal Home Loan Mortgage Corporation, Pool T6-5110      3.50%       10/01/2042      3,041,019  
4,684,071    Federal Home Loan Mortgage Corporation, Pool T6-9016      5.00%       06/01/2041      4,859,444  
27,424,928    Federal Home Loan Mortgage Corporation, Pool T6-9050      3.50%       05/01/2046      27,112,290  
609,363    Federal Home Loan Mortgage Corporation, Pool U6-0299      4.00%       11/01/2040      627,286  
149,495,801    Federal Home Loan Mortgage Corporation, Pool V8-1821      3.00%       08/01/2045      145,238,868  
40,893,456    Federal Home Loan Mortgage Corporation, Pool V8-2117      3.00%       12/01/2045      39,690,867  
46,099,604    Federal Home Loan Mortgage Corporation, Pool V8-2209      3.50%       02/01/2046      46,043,301  
15,311,736    Federal Home Loan Mortgage Corporation, Pool V8-2248      3.50%       03/01/2046      15,286,710  
64,600,338    Federal Home Loan Mortgage Corporation, Series 2015-SC02-1A      3.00%       09/25/2045      62,235,384  
43,484,440    Federal Home Loan Mortgage Corporation, Series 2016-SC01-1A      3.00%       07/25/2046      41,828,435  
1,363,201    Federal Home Loan Mortgage Corporation, Series 2519-ZD      5.50%       11/15/2032      1,447,537  
864,415    Federal Home Loan Mortgage Corporation, Series 2596-ZL      5.00%       04/15/2033      915,786  
45,348,015    Federal Home Loan Mortgage Corporation, Series 267-30      3.00%       08/15/2042      44,104,238  
441,449    Federal Home Loan Mortgage Corporation, Series 2684-ZN      4.00%       10/15/2033      449,304  
85,687,943    Federal Home Loan Mortgage Corporation, Series 269-30      3.00%       08/15/2042      83,630,901  
36,805,767    Federal Home Loan Mortgage Corporation, Series 274-30      3.00%       08/15/2042      35,914,049  
3,140,095    Federal Home Loan Mortgage Corporation, Series 2750-ZT      5.00%       02/15/2034      3,338,245  
110,046,781    Federal Home Loan Mortgage Corporation, Series 280-30      3.00%       09/15/2042      107,029,646  
11,451,340    Federal Home Loan Mortgage Corporation, Series 2819-MS, (-1 x 1 Month LIBOR USD + 6.47%, 6.47% Cap)      4.40%  I/FI/O     06/15/2040      1,143,133  
7,927,852    Federal Home Loan Mortgage Corporation, Series 2825-PZ      5.50%       07/15/2034      8,575,380  
25,935,115    Federal Home Loan Mortgage Corporation, Series 284-300      3.00%       10/15/2042      25,396,935  
4,926,295    Federal Home Loan Mortgage Corporation, Series 2898-JZ      5.00%       12/15/2034      5,258,488  
11,315,434    Federal Home Loan Mortgage Corporation, Series 2899-AZ      5.00%       12/15/2034      12,044,199  
8,235,202    Federal Home Loan Mortgage Corporation, Series 2909-Z      5.00%       12/15/2034      8,762,513  
13,818,909    Federal Home Loan Mortgage Corporation, Series 2932-Z      5.00%       02/15/2035      14,717,276  
1,461,440    Federal Home Loan Mortgage Corporation, Series 2990-JL, (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.58%  I/FI/O     03/15/2035      126,681  
4,998,481    Federal Home Loan Mortgage Corporation, Series 3002-SN, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.43%  I/FI/O     07/15/2035      752,012  
3,339,618    Federal Home Loan Mortgage Corporation, Series 3030-SL, (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.03%  I/FI/O     09/15/2035      369,072  
1,000,698    Federal Home Loan Mortgage Corporation, Series 3045-DI, (-1 x 1 Month LIBOR USD + 6.73%, 6.73% Cap)      4.66%  I/FI/O     10/15/2035      130,410  
8,074,381    Federal Home Loan Mortgage Corporation, Series 3116-Z      5.50%       02/15/2036      8,800,980  
1,422,193    Federal Home Loan Mortgage Corporation, Series 3117-ZN      4.50%       02/15/2036      1,461,696  
4,095,885    Federal Home Loan Mortgage Corporation, Series 3174-PZ      5.00%       01/15/2036      4,338,271  
951,940    Federal Home Loan Mortgage Corporation, Series 3187-JZ      5.00%       07/15/2036      1,019,406  
2,613,193    Federal Home Loan Mortgage Corporation, Series 3188-ZK      5.00%       07/15/2036      2,781,258  
4,305,156    Federal Home Loan Mortgage Corporation, Series 3203-SE, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.43%  I/FI/O     08/15/2036      643,339  
5,925,219    Federal Home Loan Mortgage Corporation, Series 3203-Z      5.00%       07/15/2036      6,294,753  
9,388,552    Federal Home Loan Mortgage Corporation, Series 3203-ZC      5.00%       07/15/2036      9,974,080  
5,149,031    Federal Home Loan Mortgage Corporation, Series 3261-SA, (-1 x 1 Month LIBOR USD + 6.43%, 6.43% Cap)      4.36%  I/FI/O     01/15/2037      788,811  
20,442,916    Federal Home Loan Mortgage Corporation, Series 326-300      3.00%       03/15/2044      20,059,828  
6,234,857    Federal Home Loan Mortgage Corporation, Series 3275-SC, (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap)      4.01%  I/FI/O     02/15/2037      834,143  
1,896,255    Federal Home Loan Mortgage Corporation, Series 3315-HZ      6.00%       05/15/2037      1,914,223  
4,704,906    Federal Home Loan Mortgage Corporation, Series 3326-GS, (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.58%  I/FI/O     06/15/2037      463,001  
995,809    Federal Home Loan Mortgage Corporation, Series 3351-ZC      5.50%       07/15/2037      1,084,852  
11,251,672    Federal Home Loan Mortgage Corporation, Series 3355-BI, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.98%  I/FI/O     08/15/2037      1,527,591  
705,579    Federal Home Loan Mortgage Corporation, Series 3369-Z      6.00%       09/15/2037      741,576  
1,537,307    Federal Home Loan Mortgage Corporation, Series 3405-ZG      5.50%       01/15/2038      1,643,247  
2,938,198    Federal Home Loan Mortgage Corporation, Series 3417-SI, (-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap)      4.11%  I/FI/O     02/15/2038      309,916  
3,270,874    Federal Home Loan Mortgage Corporation, Series 3423-GS, (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)      3.58%  I/FI/O     03/15/2038      285,862  
537,112    Federal Home Loan Mortgage Corporation, Series 3423-SG, (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)      3.58%  I/FI/O     03/15/2038      41,875  
689,399    Federal Home Loan Mortgage Corporation, Series 3451-S, (-1 x 1 Month LIBOR USD + 6.03%, 6.03% Cap)      3.96%  I/FI/O     02/15/2037      61,413  
823,258    Federal Home Loan Mortgage Corporation, Series 3455-SC, (-1 x 1 Month LIBOR USD + 6.06%, 6.06% Cap)      3.99%  I/FI/O     06/15/2038      82,119  
694,089    Federal Home Loan Mortgage Corporation, Series 3473-SM, (-1 x 1 Month LIBOR USD + 6.07%, 6.07% Cap)      4.00%  I/FI/O     07/15/2038      55,331  
5,682,495    Federal Home Loan Mortgage Corporation, Series 3484-SE, (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap)      3.78%  I/FI/O     08/15/2038      625,445  
5,566,132    Federal Home Loan Mortgage Corporation, Series 3519-SD, (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap)      3.48%  I/FI/O     02/15/2038      642,282  
1,904,595    Federal Home Loan Mortgage Corporation, Series 3524-LB      3.79%  #I/OP/O     06/15/2038      1,898,533  
118,935    Federal Home Loan Mortgage Corporation, Series 3530-GZ      4.50%       05/15/2039      121,213  
6,997,637    Federal Home Loan Mortgage Corporation, Series 3541-EI, (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)      4.68%  I/FI/O     06/15/2039      981,120  
1,050,423    Federal Home Loan Mortgage Corporation, Series 3545-SA, (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)      4.08%  I/FI/O     06/15/2039      112,006  
436,973    Federal Home Loan Mortgage Corporation, Series 3549-SA, (-1 x 1 Month LIBOR USD + 5.80%, 5.80% Cap)      3.73%  I/FI/O     07/15/2039      36,817  
7,938,709    Federal Home Loan Mortgage Corporation, Series 3577-LS, (-1 x 1 Month LIBOR USD + 7.20%, 7.20% Cap)      5.13%  I/FI/O     08/15/2035      1,351,855  
1,575,102    Federal Home Loan Mortgage Corporation, Series 3582-SA, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.93%  I/FI/O     10/15/2049      206,012  
42,608,108    Federal Home Loan Mortgage Corporation, Series 358-300      3.00%       10/15/2047      41,373,866  
2,475,701    Federal Home Loan Mortgage Corporation, Series 3583-GB      4.50%       10/15/2039      2,578,054  
18,107,005    Federal Home Loan Mortgage Corporation, Series 3606-CS, (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)      4.28%  I/FI/O     12/15/2039      3,021,826  
4,882,092    Federal Home Loan Mortgage Corporation, Series 3616-SG, (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)      4.28%  I/FI/O     03/15/2032      536,975  
6,717,661    Federal Home Loan Mortgage Corporation, Series 3626-AZ      5.50%       08/15/2036      7,080,304  
9,522,587    Federal Home Loan Mortgage Corporation, Series 3641-Z      5.50%       02/15/2036      10,208,451  
9,334,724    Federal Home Loan Mortgage Corporation, Series 3654-ZB      5.50%       11/15/2037      9,785,283  
21,349,435    Federal Home Loan Mortgage Corporation, Series 3666-VZ      5.50%       08/15/2036      22,646,533  
1,842,303    Federal Home Loan Mortgage Corporation, Series 3667-SB, (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)      4.38%  I/FI/O     05/15/2040      211,013  
8,680,622    Federal Home Loan Mortgage Corporation, Series 3702-SG, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.98%  I/FI/O     08/15/2032      1,021,969  
1,826,962    Federal Home Loan Mortgage Corporation, Series 3704-EI      5.00%  I/O     12/15/2036      562,898  
3,741,293    Federal Home Loan Mortgage Corporation, Series 3712-SG, (-5 x 1 Month LIBOR USD + 25.00%, 25.00% Cap)      15.09%  I/F     08/15/2040      4,351,073  
5,515,362    Federal Home Loan Mortgage Corporation, Series 3724-CM      5.50%       06/15/2037      5,964,867  
58,665,895    Federal Home Loan Mortgage Corporation, Series 3725-CS, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.93%  I/FI/O     05/15/2040      6,043,397  
17,844,070    Federal Home Loan Mortgage Corporation, Series 3726-SA, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.98%  I/FI/O     09/15/2040      2,105,204  
48,409,584    Federal Home Loan Mortgage Corporation, Series 3738-BP      4.00%       12/15/2038      49,323,151  
2,464,710    Federal Home Loan Mortgage Corporation, Series 3741-SC, (-2 x 1 Month LIBOR USD + 10.00%, 10.00% Cap)      5.85%  I/F     10/15/2040      2,478,009  
17,137,642    Federal Home Loan Mortgage Corporation, Series 3752-BS, (-2 x 1 Month LIBOR USD + 10.00%, 10.00% Cap)      6.04%  I/F     11/15/2040      15,078,105  
17,446,300    Federal Home Loan Mortgage Corporation, Series 3768-ZX      5.00%       12/15/2040      18,718,435  
6,676,488    Federal Home Loan Mortgage Corporation, Series 3771-AL      4.00%       12/15/2030      6,912,987  
18,183,518    Federal Home Loan Mortgage Corporation, Series 3779-BY      3.50%       12/15/2030      18,590,224  
28,134,270    Federal Home Loan Mortgage Corporation, Series 3779-DZ      4.50%       12/15/2040      30,057,371  
19,734,135    Federal Home Loan Mortgage Corporation, Series 3779-LB      4.00%       12/15/2030      20,424,494  
3,500,000    Federal Home Loan Mortgage Corporation, Series 3779-YA      3.50%       12/15/2030      3,538,979  
15,000,000    Federal Home Loan Mortgage Corporation, Series 3783-AC      4.00%       01/15/2031      15,554,705  
8,689,698    Federal Home Loan Mortgage Corporation, Series 3786-SG, (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap)      5.35%  I/F     01/15/2041      8,360,657  
11,731,674    Federal Home Loan Mortgage Corporation, Series 3788-AY      3.50%       01/15/2031      11,760,093  
5,018,890    Federal Home Loan Mortgage Corporation, Series 3790-Z      4.00%       01/15/2041      5,150,566  
13,447,032    Federal Home Loan Mortgage Corporation, Series 3795-VZ      4.00%       01/15/2041      13,837,464  
419,735    Federal Home Loan Mortgage Corporation, Series 3798-SD, (-2 x 1 Month LIBOR USD + 9.60%, 9.60% Cap)      5.45%  I/F     12/15/2040      368,548  
21,591,187    Federal Home Loan Mortgage Corporation, Series 3800-VZ      4.50%       02/15/2041      22,888,312  
8,466,709    Federal Home Loan Mortgage Corporation, Series 3803-ZM      4.00%       02/15/2041      8,390,702  
46,076,919    Federal Home Loan Mortgage Corporation, Series 3806-CZ      5.50%       07/15/2034      49,497,734  
18,000,000    Federal Home Loan Mortgage Corporation, Series 3808-DB      3.50%       02/15/2031      17,943,152  
15,277,557    Federal Home Loan Mortgage Corporation, Series 3812-EY      3.50%       02/15/2031      15,323,402  
6,548,979    Federal Home Loan Mortgage Corporation, Series 3818-CZ      4.50%       03/15/2041      6,913,869  
10,528,359    Federal Home Loan Mortgage Corporation, Series 3819-ZU      5.50%       07/15/2034      11,184,140  
35,500,000    Federal Home Loan Mortgage Corporation, Series 3824-EY      3.50%       03/15/2031      36,186,371  
3,350,433    Federal Home Loan Mortgage Corporation, Series 3828-SW, (-3 x 1 Month LIBOR USD + 13.20%, 13.20% Cap)      6.98%  I/F     02/15/2041      3,575,956  
14,680,038    Federal Home Loan Mortgage Corporation, Series 3829-VZ      4.00%       03/15/2041      15,241,297  
7,149,388    Federal Home Loan Mortgage Corporation, Series 3843-PZ      5.00%       04/15/2041      8,104,689  
32,919,459    Federal Home Loan Mortgage Corporation, Series 3863-ZA      5.50%       08/15/2034      34,757,748  
10,229,000    Federal Home Loan Mortgage Corporation, Series 3870-PB      4.50%       06/15/2041      10,534,164  
49,088,422    Federal Home Loan Mortgage Corporation, Series 3871-LZ      5.50%       06/15/2041      54,228,677  
15,232,788    Federal Home Loan Mortgage Corporation, Series 3872-BA      4.00%       06/15/2041      15,161,686  
11,419,187    Federal Home Loan Mortgage Corporation, Series 3877-EY      4.50%       06/15/2041      11,952,579  
6,828,859    Federal Home Loan Mortgage Corporation, Series 3877-GY      4.50%       06/15/2041      7,087,675  
30,075,325    Federal Home Loan Mortgage Corporation, Series 3877-ZU      4.50%       06/15/2041      30,223,332  
27,591,784    Federal Home Loan Mortgage Corporation, Series 3888-ZG      4.00%       07/15/2041      28,480,457  
21,829,376    Federal Home Loan Mortgage Corporation, Series 3888-ZU      4.50%       06/15/2041      23,545,051  
6,524,043    Federal Home Loan Mortgage Corporation, Series 3900-SB, (-1 x 1 Month LIBOR USD + 5.97%, 5.97% Cap)      3.90%  I/FI/O     07/15/2041      679,859  
35,118,864    Federal Home Loan Mortgage Corporation, Series 3901-VZ      4.00%       07/15/2041      36,435,828  
25,313,266    Federal Home Loan Mortgage Corporation, Series 3910-GZ      5.00%       08/15/2041      27,766,600  
6,737,080    Federal Home Loan Mortgage Corporation, Series 3910-ZE      5.00%       10/15/2034      7,134,045  
11,436,631    Federal Home Loan Mortgage Corporation, Series 3919-KL      4.50%       09/15/2041      11,809,733  
31,575,802    Federal Home Loan Mortgage Corporation, Series 3919-ZJ      4.00%       09/15/2041      32,241,893  
3,298,470    Federal Home Loan Mortgage Corporation, Series 3942-JZ      4.00%       10/15/2041      3,351,757  
10,951,274    Federal Home Loan Mortgage Corporation, Series 3944-AZ      4.00%       10/15/2041      10,823,918  
2,973,918    Federal Home Loan Mortgage Corporation, Series 3946-SM, (-3 x 1 Month LIBOR USD + 14.70%, 14.70% Cap)      8.48%  I/F     10/15/2041      3,420,887  
6,528,894    Federal Home Loan Mortgage Corporation, Series 3957-DZ      3.50%       11/15/2041      6,433,845  
10,000,000    Federal Home Loan Mortgage Corporation, Series 3964-VM      4.00%       11/15/2034      10,298,750  
31,365,380    Federal Home Loan Mortgage Corporation, Series 3969-AB      4.00%       10/15/2033      31,441,522  
12,513,919    Federal Home Loan Mortgage Corporation, Series 3982-AZ      3.50%       01/15/2042      12,675,970  
62,874,936    Federal Home Loan Mortgage Corporation, Series 3990-ZA      3.50%       01/15/2042      61,884,788  
16,098,894    Federal Home Loan Mortgage Corporation, Series 3999-EZ      4.00%       02/15/2042      16,284,750  
54,086,342    Federal Home Loan Mortgage Corporation, Series 3999-ZB      4.00%       02/15/2042      55,725,266  
30,666,863    Federal Home Loan Mortgage Corporation, Series 4016-KZ      4.00%       03/15/2042      31,737,407  
14,409,153    Federal Home Loan Mortgage Corporation, Series 4050-BC      2.00%       05/15/2041      13,813,989  
76,244,515    Federal Home Loan Mortgage Corporation, Series 4057-ZA      4.00%       06/15/2042      79,003,781  
75,965,880    Federal Home Loan Mortgage Corporation, Series 4084-TZ      4.00%       07/15/2042      78,400,921  
6,820,342    Federal Home Loan Mortgage Corporation, Series 4097-TG      2.00%       05/15/2039      6,571,296  
42,235,095    Federal Home Loan Mortgage Corporation, Series 4097-ZA      3.50%       08/15/2042      41,020,617  
97,063,000    Federal Home Loan Mortgage Corporation, Series 4109-GE      4.50%       10/15/2041      98,617,600  
4,049,477    Federal Home Loan Mortgage Corporation, Series 4109-KD      3.00%       05/15/2032      4,033,389  
4,889,679    Federal Home Loan Mortgage Corporation, Series 4121-AV      3.00%       12/15/2035      4,656,203  
47,506,536    Federal Home Loan Mortgage Corporation, Series 4160-HP      2.50%       01/15/2033      46,469,578  
29,849,733    Federal Home Loan Mortgage Corporation, Series 4162-ZJ      3.00%       02/15/2033      28,167,130  
6,285,812    Federal Home Loan Mortgage Corporation, Series 4165-ZT      3.00%       02/15/2043      5,796,559  
43,316,915    Federal Home Loan Mortgage Corporation, Series 4174-Z      3.50%       03/15/2043      42,930,897  
108,897,551    Federal Home Loan Mortgage Corporation, Series 4179-AZ      4.00%       01/15/2041      111,478,009  
31,582,126    Federal Home Loan Mortgage Corporation, Series 4183-ZB      3.00%       03/15/2043      28,817,408  
17,348,119    Federal Home Loan Mortgage Corporation, Series 4186-ZJ      3.00%       03/15/2033      15,893,019  
13,000,000    Federal Home Loan Mortgage Corporation, Series 4189-ML      3.00%       04/15/2038      12,223,675  
163,262,097    Federal Home Loan Mortgage Corporation, Series 4212-US, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.02%  I/F     06/15/2043      137,264,861  
8,663,115    Federal Home Loan Mortgage Corporation, Series 4215-KC      2.25%       03/15/2038      8,504,549  
72,441,482    Federal Home Loan Mortgage Corporation, Series 4223-US, (-1 x 1 Month LIBOR USD + 5.43%, 5.43% Cap)      3.04%  I/F     07/15/2043      60,320,950  
24,338,803    Federal Home Loan Mortgage Corporation, Series 4223-ZV      4.00%       07/15/2043      25,129,434  
29,599,963    Federal Home Loan Mortgage Corporation, Series 4229-TZ      3.00%       06/15/2043      27,777,908  
30,423,503    Federal Home Loan Mortgage Corporation, Series 4229-ZA      4.00%       07/15/2043      31,467,918  
21,482,377    Federal Home Loan Mortgage Corporation, Series 4249-CS, (-1 x 1 Month LIBOR USD + 4.65%, 4.65% Cap)      3.16%  I/F     09/15/2043      18,742,771  
22,007,015    Federal Home Loan Mortgage Corporation, Series 4250-BZ      3.00%       09/15/2033      20,413,809  
22,496,492    Federal Home Loan Mortgage Corporation, Series 4267-BZ      4.00%       10/15/2040      22,965,263  
60,849,607    Federal Home Loan Mortgage Corporation, Series 4323-GA      3.00%       06/15/2040      60,648,918  
18,771,178    Federal Home Loan Mortgage Corporation, Series 4355-ZX      4.00%       05/15/2044      19,494,843  
26,986,930    Federal Home Loan Mortgage Corporation, Series 4360-KA      3.00%       05/15/2040      26,702,261  
43,352,651    Federal Home Loan Mortgage Corporation, Series 4375-CG      3.00%       04/15/2039      43,043,689  
15,143,118    Federal Home Loan Mortgage Corporation, Series 4376-GZ      3.00%       08/15/2044      13,723,240  
48,143,633    Federal Home Loan Mortgage Corporation, Series 4377-LZ      3.00%       08/15/2044      43,621,208  
58,543,478    Federal Home Loan Mortgage Corporation, Series 4377-UZ      3.00%       08/15/2044      52,336,950  
5,299,730    Federal Home Loan Mortgage Corporation, Series 4379-KA      3.00%       08/15/2044      5,249,370  
21,368,092    Federal Home Loan Mortgage Corporation, Series 4384-A      3.00%       12/15/2040      20,977,677  
26,316,109    Federal Home Loan Mortgage Corporation, Series 4384-ZY      3.00%       09/15/2044      23,907,345  
1,544,244    Federal Home Loan Mortgage Corporation, Series 4386-US, (-2 x 1 Month LIBOR USD + 8.14%, 8.14% Cap)      4.67%  I/F     09/15/2044      1,355,038  
184,426,401    Federal Home Loan Mortgage Corporation, Series 4390-NY      3.00%       06/15/2040      183,118,689  
133,374,686    Federal Home Loan Mortgage Corporation, Series 4390-NZ      3.00%       09/15/2044      120,775,873  
47,973,939    Federal Home Loan Mortgage Corporation, Series 4391-MA      3.00%       07/15/2040      47,403,327  
62,235,194    Federal Home Loan Mortgage Corporation, Series 4408-PB      3.00%       04/15/2044      60,140,699  
1,389,166    Federal Home Loan Mortgage Corporation, Series 4419-TB      3.00%       02/15/2040      1,388,014  
84,613,652    Federal Home Loan Mortgage Corporation, Series 4427-CE      3.00%       02/15/2034      84,536,400  
54,816,989    Federal Home Loan Mortgage Corporation, Series 4427-MA      3.00%       02/15/2034      54,574,128  
33,380,029    Federal Home Loan Mortgage Corporation, Series 4427-PS, (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)      3.53%  I/FI/O     07/15/2044      4,563,437  
45,520,824    Federal Home Loan Mortgage Corporation, Series 4429-HA      3.00%       04/15/2034      45,134,971  
25,415,759    Federal Home Loan Mortgage Corporation, Series 4434-LZ      3.00%       02/15/2045      22,881,714  
11,039,021    Federal Home Loan Mortgage Corporation, Series 4438-B      3.00%       10/15/2043      10,869,761  
9,503,284    Federal Home Loan Mortgage Corporation, Series 4441-VZ      3.00%       02/15/2045      8,542,865  
50,648,906    Federal Home Loan Mortgage Corporation, Series 4444-CH      3.00%       01/15/2041      50,273,081  
27,625,825    Federal Home Loan Mortgage Corporation, Series 4444-CZ      3.00%       02/15/2045      24,636,990  
48,685,422    Federal Home Loan Mortgage Corporation, Series 4447-A      3.00%       06/15/2041      48,040,282  
26,187,391    Federal Home Loan Mortgage Corporation, Series 4447-YZ      4.00%       08/15/2043      27,083,230  
8,267,080    Federal Home Loan Mortgage Corporation, Series 4450-JZ      3.00%       03/15/2045      7,478,195  
7,189,339    Federal Home Loan Mortgage Corporation, Series 4461-LZ      3.00%       03/15/2045      6,467,491  
8,479,564    Federal Home Loan Mortgage Corporation, Series 4462-ZA      3.00%       04/15/2045      7,684,847  
49,478,782    Federal Home Loan Mortgage Corporation, Series 4463-ZC      3.00%       04/15/2045      45,137,553  
27,488,212    Federal Home Loan Mortgage Corporation, Series 4467-ZA      3.00%       04/15/2045      24,884,842  
153,359,745    Federal Home Loan Mortgage Corporation, Series 4471-BA      3.00%       12/15/2041      149,076,730  
133,354,805    Federal Home Loan Mortgage Corporation, Series 4471-BC      3.00%       12/15/2041      131,061,516  
120,753,742    Federal Home Loan Mortgage Corporation, Series 4471-GA      3.00%       02/15/2044      117,588,532  
54,512,653    Federal Home Loan Mortgage Corporation, Series 4481-B      3.00%       12/15/2042      53,232,440  
212,297,640    Federal Home Loan Mortgage Corporation, Series 4483-CA      3.00%       06/15/2044      206,621,692  
103,914,046    Federal Home Loan Mortgage Corporation, Series 4483-PA      2.50%       06/15/2045      100,199,316  
16,410,771    Federal Home Loan Mortgage Corporation, Series 4484-ZL      3.00%       06/15/2045      15,119,389  
8,858,490    Federal Home Loan Mortgage Corporation, Series 4492-GZ      3.50%       07/15/2045      8,516,535  
36,637,006    Federal Home Loan Mortgage Corporation, Series 4498-PD      2.50%       08/15/2042      34,722,569  
31,056,456    Federal Home Loan Mortgage Corporation, Series 4499-AB      3.00%       06/15/2042      30,473,448  
52,801,330    Federal Home Loan Mortgage Corporation, Series 4504-CA      3.00%       04/15/2044      51,624,831  
30,895,815    Federal Home Loan Mortgage Corporation, Series 4511-QA      3.00%       01/15/2041      30,583,897  
24,936,885    Federal Home Loan Mortgage Corporation, Series 4511-QC      3.00%       12/15/2040      24,572,762  
146,147,828    Federal Home Loan Mortgage Corporation, Series 4527-CA      3.00%       02/15/2044      143,381,951  
64,513,175    Federal Home Loan Mortgage Corporation, Series 4527-GA      3.00%       02/15/2044      62,609,050  
138,417,559    Federal Home Loan Mortgage Corporation, Series 4533-AB      3.00%       06/15/2044      133,887,042  
127,654,058    Federal Home Loan Mortgage Corporation, Series 4543-HG      2.70%       04/15/2044      122,569,380  
200,919,633    Federal Home Loan Mortgage Corporation, Series 4573-CA      3.00%       11/15/2044      195,850,069  
64,915,221    Federal Home Loan Mortgage Corporation, Series 4573-DA      3.00%       03/15/2045      61,808,885  
141,738,800    Federal Home Loan Mortgage Corporation, Series 4582-HA      3.00%       09/15/2045      138,815,962  
75,837,718    Federal Home Loan Mortgage Corporation, Series 4588-DA      3.00%       02/15/2044      73,967,628  
74,743,824    Federal Home Loan Mortgage Corporation, Series 4629-KA      3.00%       03/15/2045      72,949,650  
62,326,055    Federal Home Loan Mortgage Corporation, Series 4738-LA      3.00%       11/15/2043      61,251,672  
48,814,578    Federal Home Loan Mortgage Corporation, Series 4744-KA      3.00%       08/15/2046      48,062,267  
65,170,385    Federal Home Loan Mortgage Corporation, Series 4750-PA      3.00%       07/15/2046      63,466,055  
98,651,910    Federal Home Loan Mortgage Corporation, Series 4752-PL      3.00%       09/15/2046      97,125,715  
68,403,921    Federal Home Loan Mortgage Corporation, Series R003-ZA      5.50%       10/15/2035      73,853,915  
232,481,070    Federal Home Loan Mortgage Corporation Pass-Thru, Pool Z4-0117      3.00%       04/01/2045      226,659,718  
6,583,000    Federal Home Loan Mortgage Corporation Pass-Thru, Series K054-A2      2.75%       01/25/2026      6,367,363  
33,580,574    Federal National Mortgage Association, Pool AL9220      3.00%       06/01/2045      32,805,511  
77,451,694    Federal National Mortgage Association, Pool AS7473      3.00%       07/01/2046      74,518,560  
10,740,266    Federal National Mortgage Association, Pool AS7610      2.50%       07/01/2046      10,007,924  
170,043,516    Federal National Mortgage Association, Pool AS7661      3.00%       08/01/2046      163,605,754  
97,630,696    Federal National Mortgage Association, Pool AS8111      3.00%       10/01/2041      95,504,619  
66,172,724    Federal National Mortgage Association, Pool AS8306      3.00%       11/01/2041      64,729,108  
91,239,017    Federal National Mortgage Association, Pool AS8356      3.00%       11/01/2046      88,020,786  
42,026,690    Federal National Mortgage Association, Pool AS8522      3.00%       12/01/2046      40,775,459  
20,300,127    Federal National Mortgage Association, Pool AZ0576      3.50%       04/01/2042      20,281,383  
25,353,825    Federal National Mortgage Association, Pool BC9081      3.00%       12/01/2046      24,598,977  
130,654,792    Federal National Mortgage Association, Pool MA2621      3.50%       05/01/2046      129,244,482  
113,613,560    Federal National Mortgage Association, Pool MA2649      3.00%       06/01/2046      109,318,335  
40,481,375    Federal National Mortgage Association, Pool MA2673      3.00%       07/01/2046      38,950,330  
121,262,094    Federal National Mortgage Association, Pool MA2711      3.00%       08/01/2046      116,670,370  
11,292,457    Federal National Mortgage Association, Pool MA2743      3.00%       09/01/2046      10,865,198  
867,560    Federal National Mortgage Association, Series 2002-70-QZ      5.50%       11/25/2032      922,739  
1,328,210    Federal National Mortgage Association, Series 2002-75-ZG      5.50%       11/25/2032      1,438,660  
18,018,513    Federal National Mortgage Association, Series 2003-129-ZT      5.50%       01/25/2034      19,877,166  
3,450,949    Federal National Mortgage Association, Series 2003-29-ZL      5.00%       04/25/2033      3,677,922  
1,584,533    Federal National Mortgage Association, Series 2003-64-ZG      5.50%       07/25/2033      1,679,655  
14,055,682    Federal National Mortgage Association, Series 2003-84-PZ      5.00%       09/25/2033      14,803,995  
12,840,151    Federal National Mortgage Association, Series 2003-W17-1A7      5.75%       08/25/2033      13,941,833  
3,618,636    Federal National Mortgage Association, Series 2004-46-PJ, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.91%  I/FI/O     03/25/2034      292,376  
3,235,314    Federal National Mortgage Association, Series 2004-51-XP, (-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap)      5.61%  I/FI/O     07/25/2034      554,700  
5,000,000    Federal National Mortgage Association, Series 2004-W10-A6      5.75%       08/25/2034      5,442,124  
725,474    Federal National Mortgage Association, Series 2004-W4-A5      5.50%       06/25/2034      737,190  
255,884    Federal National Mortgage Association, Series 2005-107-EG      4.50%       01/25/2026      264,415  
756,167    Federal National Mortgage Association, Series 2005-37-ZK      4.50%       05/25/2035      775,381  
7,687,677    Federal National Mortgage Association, Series 2005-87-SE, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.96%  I/FI/O     10/25/2035      1,002,766  
6,252,027    Federal National Mortgage Association, Series 2005-87-SG, (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap)      4.61%  I/FI/O     10/25/2035      921,321  
5,169,368    Federal National Mortgage Association, Series 2006-101-SA, (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap)      4.49%  I/FI/O     10/25/2036      819,826  
2,147,651    Federal National Mortgage Association, Series 2006-123-LI, (-1 x 1 Month LIBOR USD + 6.32%, 6.32% Cap)      4.23%  I/FI/O     01/25/2037      320,856  
1,302,974    Federal National Mortgage Association, Series 2006-16-HZ      5.50%       03/25/2036      1,391,473  
8,669,819    Federal National Mortgage Association, Series 2006-56-SM, (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)      4.66%  I/FI/O     07/25/2036      1,080,789  
1,115,295    Federal National Mortgage Association, Series 2006-93-SN, (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap)      4.51%  I/FI/O     10/25/2036      119,150  
12,999,567    Federal National Mortgage Association, Series 2007-109-VZ      5.00%       10/25/2035      13,925,248  
1,290,475    Federal National Mortgage Association, Series 2007-116-BI, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.16%  I/FI/O     05/25/2037      149,394  
7,623,954    Federal National Mortgage Association, Series 2007-14-PS, (-1 x 1 Month LIBOR USD + 6.81%, 6.81% Cap)      4.72%  I/FI/O     03/25/2037      1,070,639  
3,922,918    Federal National Mortgage Association, Series 2007-30-OI, (-1 x 1 Month LIBOR USD + 6.44%, 6.44% Cap)      4.35%  I/FI/O     04/25/2037      612,058  
665,449    Federal National Mortgage Association, Series 2007-30-SI, (-1 x 1 Month LIBOR USD + 6.11%, 6.11% Cap)      4.02%  I/FI/O     04/25/2037      72,744  
4,255,021    Federal National Mortgage Association, Series 2007-32-SG, (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.01%  I/FI/O     04/25/2037      529,051  
3,399,086    Federal National Mortgage Association, Series 2007-57-SX, (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap)      4.53%  I/FI/O     10/25/2036      455,108  
4,562,745    Federal National Mortgage Association, Series 2007-60-VZ      6.00%       07/25/2037      4,967,215  
2,343,273    Federal National Mortgage Association, Series 2007-71-GZ      6.00%       07/25/2047      2,485,831  
4,229,396    Federal National Mortgage Association, Series 2007-75-ID, (-1 x 1 Month LIBOR USD + 5.87%, 5.87% Cap)      3.78%  I/FI/O     08/25/2037      567,426  
1,103,798    Federal National Mortgage Association, Series 2007-9-SD, (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.56%  I/FI/O     03/25/2037      127,467  
686,876    Federal National Mortgage Association, Series 2008-27-B      5.50%       04/25/2038      733,403  
4,949,795    Federal National Mortgage Association, Series 2008-29-ZA      4.50%       04/25/2038      5,168,694  
9,486,402    Federal National Mortgage Association, Series 2008-48-BE      5.00%       06/25/2034      9,990,999  
1,111,203    Federal National Mortgage Association, Series 2008-48-SD, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.91%  I/FI/O     06/25/2037      100,330  
1,159,000    Federal National Mortgage Association, Series 2008-53-LI, (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)      4.06%  I/FI/O     07/25/2038      118,719  
1,279,246    Federal National Mortgage Association, Series 2008-57-SE, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.91%  I/FI/O     02/25/2037      144,874  
1,387,384    Federal National Mortgage Association, Series 2008-5-MS, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.16%  I/FI/O     02/25/2038      181,574  
1,303,847    Federal National Mortgage Association, Series 2008-61-SC, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.91%  I/FI/O     07/25/2038      123,956  
928,649    Federal National Mortgage Association, Series 2008-62-SC, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.91%  I/FI/O     07/25/2038      63,053  
2,314,964    Federal National Mortgage Association, Series 2008-65-SA, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.91%  I/FI/O     08/25/2038      252,672  
2,149,276    Federal National Mortgage Association, Series 2008-81-LP      5.50%       09/25/2038      2,256,968  
8,059,973    Federal National Mortgage Association, Series 2009-106-EZ      4.50%       01/25/2040      8,462,768  
1,372,589    Federal National Mortgage Association, Series 2009-111-SE, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.16%  I/FI/O     01/25/2040      140,023  
686,913    Federal National Mortgage Association, Series 2009-16-MZ      5.00%       03/25/2029      729,899  
3,076,048    Federal National Mortgage Association, Series 2009-42-SI, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.91%  I/FI/O     06/25/2039      371,573  
1,687,919    Federal National Mortgage Association, Series 2009-42-SX, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.91%  I/FI/O     06/25/2039      156,138  
1,151,394    Federal National Mortgage Association, Series 2009-47-SA, (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.01%  I/FI/O     07/25/2039      106,870  
730,346    Federal National Mortgage Association, Series 2009-48-WS, (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap)      3.86%  I/FI/O     07/25/2039      68,365  
6,480,638    Federal National Mortgage Association, Series 2009-49-S, (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)      4.66%  I/FI/O     07/25/2039      858,957  
770,667    Federal National Mortgage Association, Series 2009-51-BZ      4.50%       07/25/2039      793,046  
2,076,905    Federal National Mortgage Association, Series 2009-54-EZ      5.00%       07/25/2039      2,165,959  
1,294,024    Federal National Mortgage Association, Series 2009-70-SA, (-1 x 1 Month LIBOR USD + 5.80%, 5.80% Cap)      3.71%  I/FI/O     09/25/2039      117,313  
5,569,290    Federal National Mortgage Association, Series 2009-80-PM      4.50%       10/25/2039      5,802,472  
3,206,846    Federal National Mortgage Association, Series 2009-83-Z      4.50%       10/25/2039      3,291,500  
14,274,777    Federal National Mortgage Association, Series 2009-85-ES, (-1 x 1 Month LIBOR USD + 7.23%, 7.23% Cap)      5.14%  I/FI/O     01/25/2036      2,290,828  
18,842,019    Federal National Mortgage Association, Series 2009-85-JS, (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)      4.66%  I/FI/O     10/25/2039      3,383,802  
1,941,282    Federal National Mortgage Association, Series 2009-90-IB, (-1 x 1 Month LIBOR USD + 5.72%, 5.72% Cap)      3.63%  I/FI/O     04/25/2037      175,103  
1,412,895    Federal National Mortgage Association, Series 2009-94-BC      5.00%       11/25/2039      1,453,183  
17,837,660    Federal National Mortgage Association, Series 2010-101-SA, (-1 x 1 Month LIBOR USD + 4.48%, 4.48% Cap)      2.39%  I/FI/O     09/25/2040      1,674,050  
8,882,896    Federal National Mortgage Association, Series 2010-101-ZC      4.50%       09/25/2040      9,214,118  
23,995,832    Federal National Mortgage Association, Series 2010-101-ZH      4.50%       07/25/2040      24,762,492  
5,529,897    Federal National Mortgage Association, Series 2010-10-SA, (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)      4.26%  I/FI/O     02/25/2040      787,782  
2,421,182    Federal National Mortgage Association, Series 2010-10-ZA      4.50%       02/25/2040      2,448,345  
1,359,803    Federal National Mortgage Association, Series 2010-111-S, (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap)      3.86%  I/FI/O     10/25/2050      168,676  
4,751,693    Federal National Mortgage Association, Series 2010-116-Z      4.00%       10/25/2040      4,910,279  
1,264,827    Federal National Mortgage Association, Series 2010-117-SA, (-1 x 1 Month LIBOR USD + 4.50%, 4.50% Cap)      2.41%  I/FI/O     10/25/2040      78,091  
3,972,149    Federal National Mortgage Association, Series 2010-120-KD      4.00%       10/25/2040      4,125,806  
29,444,158    Federal National Mortgage Association, Series 2010-121-SD, (-1 x 1 Month LIBOR USD + 4.50%, 4.50% Cap)      2.41%  I/FI/O     10/25/2040      2,025,997  
242,685    Federal National Mortgage Association, Series 2010-126-SU, (-11 x 1 Month LIBOR USD + 55.00%, 55.00% Cap)      33.19%  I/F     11/25/2040      749,779  
178,693    Federal National Mortgage Association, Series 2010-126-SX, (-3 x 1 Month LIBOR USD + 15.00%, 15.00% Cap)      9.05%  I/F     11/25/2040      235,781  
7,340,111    Federal National Mortgage Association, Series 2010-128-HZ      4.00%       11/25/2040      7,372,355  
4,627,013    Federal National Mortgage Association, Series 2010-132-Z      4.50%       11/25/2040      4,755,596  
88,008    Federal National Mortgage Association, Series 2010-137-VS, (-3 x 1 Month LIBOR USD + 15.00%, 15.00% Cap)      9.05%  I/F     12/25/2040      104,020  
14,095,778    Federal National Mortgage Association, Series 2010-142-AZ      4.00%       12/25/2040      14,037,883  
13,831,510    Federal National Mortgage Association, Series 2010-148-SA, (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.56%  I/FI/O     01/25/2026      1,280,932  
30,878,878    Federal National Mortgage Association, Series 2010-150-ZA      4.00%       01/25/2041      31,005,679  
11,227,011    Federal National Mortgage Association, Series 2010-16-SA, (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)      3.36%  I/FI/O     03/25/2040      1,403,087  
3,683,684    Federal National Mortgage Association, Series 2010-21-DZ      5.00%       03/25/2040      3,924,834  
1,664,184    Federal National Mortgage Association, Series 2010-21-KS, (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap)      2.86%  I/FI/O     03/25/2040      103,898  
679,201    Federal National Mortgage Association, Series 2010-2-GS, (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)      4.36%  I/FI/O     12/25/2049      52,315  
2,415,732    Federal National Mortgage Association, Series 2010-2-MS, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.16%  I/FI/O     02/25/2050      259,228  
2,097,926    Federal National Mortgage Association, Series 2010-31-SA, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     04/25/2040      126,672  
6,339,833    Federal National Mortgage Association, Series 2010-31-VZ      4.00%       04/25/2040      6,369,198  
5,194,715    Federal National Mortgage Association, Series 2010-34-PS, (-1 x 1 Month LIBOR USD + 4.93%, 4.93% Cap)      2.84%  I/FI/O     04/25/2040      407,173  
785,994    Federal National Mortgage Association, Series 2010-35-ES, (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)      4.36%  I/FI/O     04/25/2040      58,607  
1,156,951    Federal National Mortgage Association, Series 2010-35-SV, (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)      4.36%  I/FI/O     04/25/2040      95,860  
1,522,756    Federal National Mortgage Association, Series 2010-46-MS, (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap)      2.86%  I/FI/O     05/25/2040      118,341  
12,322,451    Federal National Mortgage Association, Series 2010-49-ZW      4.50%       05/25/2040      12,569,315  
2,954,969    Federal National Mortgage Association, Series 2010-4-SK, (-1 x 1 Month LIBOR USD + 6.23%, 6.23% Cap)      4.14%  I/FI/O     02/25/2040      381,525  
1,049,900    Federal National Mortgage Association, Series 2010-58-ES, (-3 x 1 Month LIBOR USD + 12.47%, 12.47% Cap)      7.09%  I/F     06/25/2040      1,075,714  
8,066,794    Federal National Mortgage Association, Series 2010-59-MS, (-1 x 1 Month LIBOR USD + 5.77%, 5.77% Cap)      3.68%  I/FI/O     06/25/2040      1,032,175  
7,648,274    Federal National Mortgage Association, Series 2010-59-PS, (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)      4.36%  I/FI/O     03/25/2039      434,694  
8,105,240    Federal National Mortgage Association, Series 2010-59-SC, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     01/25/2040      646,703  
1,052,302    Federal National Mortgage Association, Series 2010-60-VZ      5.00%       10/25/2039      1,061,251  
719,662    Federal National Mortgage Association, Series 2010-61-EL      4.50%       06/25/2040      752,843  
8,898,858    Federal National Mortgage Association, Series 2010-64-EZ      5.00%       06/25/2040      9,457,209  
31,255,917    Federal National Mortgage Association, Series 2010-76-ZK      4.50%       07/25/2040      32,295,629  
7,351,259    Federal National Mortgage Association, Series 2010-79-CZ      4.00%       07/25/2040      7,365,533  
25,921,422    Federal National Mortgage Association, Series 2010-79-VZ      4.50%       07/25/2040      27,105,590  
4,068,288    Federal National Mortgage Association, Series 2010-84-ZC      4.50%       08/25/2040      4,224,497  
8,136,558    Federal National Mortgage Association, Series 2010-84-ZD      4.50%       08/25/2040      8,448,975  
10,149,218    Federal National Mortgage Association, Series 2010-84-ZG      4.50%       08/25/2040      10,440,434  
824,526    Federal National Mortgage Association, Series 2010-90-SA, (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap)      3.76%  I/FI/O     08/25/2040      86,824  
2,106,392    Federal National Mortgage Association, Series 2010-94-Z      4.50%       08/25/2040      2,164,635  
8,668,587    Federal National Mortgage Association, Series 2010-99-SG, (-5 x 1 Month LIBOR USD + 25.00%, 25.00% Cap)      15.09%  I/F     09/25/2040      11,987,932  
1,989,211    Federal National Mortgage Association, Series 2010-9-DS, (-1 x 1 Month LIBOR USD + 5.30%, 0.50% Floor, 5.30% Cap)      3.21%  I/FI/O     02/25/2040      172,127  
36,194,880    Federal National Mortgage Association, Series 2011-106-LZ      3.50%       10/25/2041      35,790,359  
520,021    Federal National Mortgage Association, Series 2011-110-LS, (-2 x 1 Month LIBOR USD + 10.10%, 10.10% Cap)      6.14%  I/F     11/25/2041      561,719  
8,176,004    Federal National Mortgage Association, Series 2011-111-CZ      4.00%       11/25/2041      8,201,385  
9,275,254    Federal National Mortgage Association, Series 2011-111-EZ      5.00%       11/25/2041      10,016,149  
5,957,348    Federal National Mortgage Association, Series 2011-111-VZ      4.00%       11/25/2041      5,889,333  
30,000,000    Federal National Mortgage Association, Series 2011-131-PB      4.50%       12/25/2041      32,247,666  
29,500,000    Federal National Mortgage Association, Series 2011-16-AL      3.50%       03/25/2031      29,789,135  
38,800,000    Federal National Mortgage Association, Series 2011-17-NY      3.50%       03/25/2031      38,771,148  
1,343,476    Federal National Mortgage Association, Series 2011-17-SA, (-1 x 1 Month LIBOR USD + 6.47%, 6.47% Cap)      4.38%  I/FI/O     03/25/2041      135,395  
11,000,000    Federal National Mortgage Association, Series 2011-25-KY      3.00%       04/25/2026      11,016,872  
4,744,126    Federal National Mortgage Association, Series 2011-27-BS, (-2 x 1 Month LIBOR USD + 9.00%, 9.00% Cap)      5.04%  I/F     04/25/2041      4,568,878  
56,000,000    Federal National Mortgage Association, Series 2011-29-AL      3.50%       04/25/2031      55,403,953  
14,050,145    Federal National Mortgage Association, Series 2011-2-GZ      4.00%       02/25/2041      14,446,658  
37,635,379    Federal National Mortgage Association, Series 2011-32-ZG      4.00%       04/25/2041      38,197,132  
6,678,832    Federal National Mortgage Association, Series 2011-36-VZ      4.50%       05/25/2041      6,908,205  
15,318,731    Federal National Mortgage Association, Series 2011-37-Z      4.50%       05/25/2041      15,990,941  
8,864,518    Federal National Mortgage Association, Series 2011-38-BZ      4.00%       05/25/2041      9,061,615  
8,748,233    Federal National Mortgage Association, Series 2011-39-CB      3.00%       05/25/2026      8,734,909  
18,976,737    Federal National Mortgage Association, Series 2011-39-ZD      4.00%       02/25/2041      19,778,366  
4,368,135    Federal National Mortgage Association, Series 2011-40-LZ      4.50%       05/25/2041      4,518,876  
9,312,145    Federal National Mortgage Association, Series 2011-42-MZ      4.50%       05/25/2041      9,720,963  
19,935,565    Federal National Mortgage Association, Series 2011-45-ZA      4.00%       05/25/2031      20,022,809  
14,255,717    Federal National Mortgage Association, Series 2011-45-ZB      4.50%       05/25/2041      15,194,002  
2,846,497    Federal National Mortgage Association, Series 2011-48-SC, (-2 x 1 Month LIBOR USD + 9.20%, 9.20% Cap)      5.02%  I/F     06/25/2041      2,790,167  
12,680,387    Federal National Mortgage Association, Series 2011-58-SA, (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.46%  I/FI/O     07/25/2041      2,030,834  
1,811,804    Federal National Mortgage Association, Series 2011-59-MA      4.50%       07/25/2041      1,881,284  
13,969,748    Federal National Mortgage Association, Series 2011-60-EL      3.00%       07/25/2026      14,045,942  
19,328,221    Federal National Mortgage Association, Series 2011-64-DB      4.00%       07/25/2041      19,719,198  
8,972,428    Federal National Mortgage Association, Series 2011-74-KL      5.00%       06/25/2040      9,322,306  
26,589,078    Federal National Mortgage Association, Series 2011-77-Z      3.50%       08/25/2041      28,075,718  
1,967,327    Federal National Mortgage Association, Series 2011-8-AV      4.00%       01/25/2030      1,963,872  
27,083,215    Federal National Mortgage Association, Series 2011-99-CZ      4.50%       10/25/2041      29,174,947  
101,412,551    Federal National Mortgage Association, Series 2011-99-DZ      5.00%       10/25/2041      109,033,907  
12,630,907    Federal National Mortgage Association, Series 2012-104-Z      3.50%       09/25/2042      12,362,700  
10,273,047    Federal National Mortgage Association, Series 2012-111-LB      3.50%       05/25/2041      10,150,980  
38,900,381    Federal National Mortgage Association, Series 2012-111-MJ      4.00%       04/25/2042      39,349,330  
15,168,774    Federal National Mortgage Association, Series 2012-114-DC      2.00%       08/25/2039      14,839,623  
77,876,290    Federal National Mortgage Association, Series 2012-122-AD      2.00%       02/25/2040      75,117,748  
66,241,884    Federal National Mortgage Association, Series 2012-122-DB      3.00%       11/25/2042      63,829,845  
72,157,203    Federal National Mortgage Association, Series 2012-125-LA      3.00%       11/25/2042      68,856,011  
39,289,848    Federal National Mortgage Association, Series 2012-144-PT      4.31%  #     11/25/2049      41,354,813  
10,946,045    Federal National Mortgage Association, Series 2012-14-BZ      4.00%       03/25/2042      11,313,374  
25,015,997    Federal National Mortgage Association, Series 2012-15-PZ      4.00%       03/25/2042      26,101,532  
18,716,289    Federal National Mortgage Association, Series 2012-20-ZT      3.50%       03/25/2042      18,426,977  
57,757,127    Federal National Mortgage Association, Series 2012-30-DZ      4.00%       04/25/2042      59,307,484  
47,489,193    Federal National Mortgage Association, Series 2012-31-Z      4.00%       04/25/2042      48,996,514  
9,059,462    Federal National Mortgage Association, Series 2012-63-EB      2.00%       08/25/2040      8,765,143  
34,118,760    Federal National Mortgage Association, Series 2012-74-Z      4.00%       07/25/2042      34,855,364  
8,625,025    Federal National Mortgage Association, Series 2012-80-EA      2.00%       04/25/2042      7,938,237  
24,850,068    Federal National Mortgage Association, Series 2012-86-ZC      3.50%       08/25/2042      24,149,522  
34,622,655    Federal National Mortgage Association, Series 2012-96-VZ      3.50%       09/25/2042      34,238,008  
31,364,238    Federal National Mortgage Association, Series 2012-98-BG      4.50%       08/25/2040      32,647,039  
57,086,001    Federal National Mortgage Association, Series 2012-99-QE      3.00%       09/25/2042      55,158,241  
25,681,368    Federal National Mortgage Association, Series 2013-130-ZE      3.00%       01/25/2044      23,707,724  
23,074,552    Federal National Mortgage Association, Series 2013-133-ZT      3.00%       01/25/2039      20,902,821  
12,288,682    Federal National Mortgage Association, Series 2013-36-Z      3.00%       04/25/2043      11,327,158  
20,571,830    Federal National Mortgage Association, Series 2013-41-ZH      3.00%       05/25/2033      18,991,869  
19,292,416    Federal National Mortgage Association, Series 2013-51-HS, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      2.89%  I/F     04/25/2043      16,067,629  
5,052,105    Federal National Mortgage Association, Series 2013-53-AB      1.50%       03/25/2028      4,805,088  
7,059,931    Federal National Mortgage Association, Series 2013-58-SC, (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      2.86%  I/F     06/25/2043      5,789,943  
115,820,540    Federal National Mortgage Association, Series 2013-81-ZQ      3.00%       08/25/2043      107,498,464  
26,749,929    Federal National Mortgage Association, Series 2013-82-SH, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.96%  I/FI/O     12/25/2042      3,889,156  
26,420,165    Federal National Mortgage Association, Series 2013-8-Z      3.00%       02/25/2043      24,625,026  
23,270,307    Federal National Mortgage Association, Series 2014-12-GZ      3.50%       03/25/2044      22,988,630  
24,987,691    Federal National Mortgage Association, Series 2014-21-GZ      3.00%       04/25/2044      22,715,001  
29,490,628    Federal National Mortgage Association, Series 2014-37-ZY      2.50%       07/25/2044      25,074,864  
47,347,777    Federal National Mortgage Association, Series 2014-39-ZA      3.00%       07/25/2044      43,978,594  
12,858,812    Federal National Mortgage Association, Series 2014-46-NZ      3.00%       06/25/2043      11,922,884  
49,270,811    Federal National Mortgage Association, Series 2014-55-MA      3.00%       10/25/2039      48,961,563  
3,066,043    Federal National Mortgage Association, Series 2014-56-AD      3.00%       01/25/2040      3,015,505  
56,748,019    Federal National Mortgage Association, Series 2014-60-EZ      3.00%       10/25/2044      52,178,027  
40,057,629    Federal National Mortgage Association, Series 2014-61-ZV      3.00%       10/25/2044      36,444,479  
33,780,608    Federal National Mortgage Association, Series 2014-64-NZ      3.00%       10/25/2044      30,547,412  
102,195,676    Federal National Mortgage Association, Series 2014-65-CD      3.00%       06/25/2040      101,056,225  
11,894,770    Federal National Mortgage Association, Series 2014-67-DZ      3.00%       10/25/2044      10,777,552  
96,790,592    Federal National Mortgage Association, Series 2014-68-MA      3.00%       11/25/2040      95,290,483  
38,025,677    Federal National Mortgage Association, Series 2014-68-MZ      3.00%       11/25/2044      34,382,490  
26,798,760    Federal National Mortgage Association, Series 2014-6-Z      2.50%       02/25/2044      22,642,077  
41,700,242    Federal National Mortgage Association, Series 2014-73-CQ      3.00%       06/25/2040      41,222,353  
21,465,894    Federal National Mortgage Association, Series 2014-77-VZ      3.00%       11/25/2044      19,429,899  
23,977,170    Federal National Mortgage Association, Series 2014-82-YA      3.00%       04/25/2041      23,588,220  
27,567,843    Federal National Mortgage Association, Series 2014-84-KZ      3.00%       12/25/2044      25,018,432  
111,254,156    Federal National Mortgage Association, Series 2014-95-NA      3.00%       04/25/2041      109,432,770  
194,302,044    Federal National Mortgage Association, Series 2014-M11-1A      3.22%  #     08/25/2024      195,543,634  
36,877,170    Federal National Mortgage Association, Series 2015-11-A      3.00%       05/25/2034      36,952,203  
97,562,437    Federal National Mortgage Association, Series 2015-21-G      3.00%       02/25/2042      96,927,842  
19,429,719    Federal National Mortgage Association, Series 2015-42-CA      3.00%       03/25/2044      19,029,891  
62,060,928    Federal National Mortgage Association, Series 2015-49-A      3.00%       03/25/2044      60,870,140  
14,014,421    Federal National Mortgage Association, Series 2015-63-KD      3.00%       07/25/2041      13,879,164  
59,095,896    Federal National Mortgage Association, Series 2015-88-AC      3.00%       04/25/2043      57,747,582  
166,203,337    Federal National Mortgage Association, Series 2015-88-BA      3.00%       04/25/2044      170,085,249  
20,684,302    Federal National Mortgage Association, Series 2015-94-MA      3.00%       01/25/2046      20,314,847  
71,430,347    Federal National Mortgage Association, Series 2015-9-HA      3.00%       01/25/2045      70,885,183  
48,152,851    Federal National Mortgage Association, Series 2016-2-JA      2.50%       02/25/2046      46,547,141  
108,781,556    Federal National Mortgage Association, Series 2016-32-LA      3.00%       10/25/2044      106,591,664  
23,243,219    Federal National Mortgage Association, Series 2016-71-ZQ      3.00%       10/25/2046      20,245,309  
114,387,964    Federal National Mortgage Association, Series 2016-72-PA      3.00%       07/25/2046      111,520,807  
89,415,019    Federal National Mortgage Association, Series 2016-74-PA      3.00%       12/25/2044      87,457,519  
43,713,608    Federal National Mortgage Association, Series 2016-79-EP      3.00%       01/25/2044      43,325,750  
113,341,110    Federal National Mortgage Association, Series 2016-81-PA      3.00%       02/25/2044      111,309,017  
60,086,999    Federal National Mortgage Association, Series 2016-94-PA      3.00%       03/25/2044      58,754,582  
58,843,402    Federal National Mortgage Association, Series 2017-13-ML      3.00%       08/25/2041      58,101,469  
20,658,984    Federal National Mortgage Association, Series 2017-26-DA      3.00%       06/25/2043      20,288,482  
30,234,925    Federal National Mortgage Association, Series 2017-2-HA      3.00%       09/25/2041      29,790,620  
19,618,027    Federal National Mortgage Association, Series 2017-4-CH      3.00%       06/25/2042      19,452,455  
20,728,113    Federal National Mortgage Association, Series 2017-51-EA      3.00%       11/25/2042      20,323,915  
30,260,834    Federal National Mortgage Association, Series 2017-61-TA      3.00%       02/25/2043      29,551,082  
103,183,685    Federal National Mortgage Association, Series 2018-21      0.00%  P/O     04/25/2048      81,990,034  
14,466,646    Federal National Mortgage Association, Series 2018-23      2.75%       12/25/2043      14,055,332  
261,816,326    Federal National Mortgage Association, Series 2018-27      3.00%       12/25/2047      252,313,886  
127,391,524    Federal National Mortgage Association, Series 2018-27      0.00%  P/O     05/25/2048      98,402,513  
77,441,213    Federal National Mortgage Association, Series 2018-33      3.00%       05/25/2048      75,122,654  
33,307,483    Federal National Mortgage Association, Series 2018-33      3.00%       05/25/2048      32,112,806  
229,876,758    Federal National Mortgage Association, Series 2018-36      3.00%       06/25/2048      222,972,754  
83,592,732    Federal National Mortgage Association, Series 2018-38      3.00%       06/25/2048      81,018,226  
261,455,586    Federal National Mortgage Association, Series 2018-39      3.00%       06/25/2048      253,548,986  
9,809,466    Federal National Mortgage Association, Series 400-S4, (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)      3.36%  I/FI/O     11/25/2039      1,166,100  
103,690,874    Federal National Mortgage Association, Series 412-A3      3.00%       08/25/2042      99,088,191  
9,967,498    Federal National Mortgage Association Pass-Thru, Pool 555743      5.00%       09/01/2033      10,680,760  
7,584,678    Federal National Mortgage Association Pass-Thru, Pool 735382      5.00%       04/01/2035      8,125,318  
12,361,568    Federal National Mortgage Association Pass-Thru, Pool 735402      5.00%       04/01/2035      13,242,399  
8,700,686    Federal National Mortgage Association Pass-Thru, Pool 735484      5.00%       05/01/2035      9,320,983  
3,386,335    Federal National Mortgage Association Pass-Thru, Pool 735667      5.00%       07/01/2035      3,628,129  
2,811,204    Federal National Mortgage Association Pass-Thru, Pool 735893      5.00%       10/01/2035      3,012,658  
6,901,684    Federal National Mortgage Association Pass-Thru, Pool 745275      5.00%       02/01/2036      7,395,462  
23,446    Federal National Mortgage Association Pass-Thru, Pool 745571      4.00%       01/01/2019      24,073  
290,991    Federal National Mortgage Association Pass-Thru, Pool 888695      5.00%       08/01/2037      310,174  
1,548,937    Federal National Mortgage Association Pass-Thru, Pool 888968      5.00%       08/01/2035      1,659,554  
13,739,038    Federal National Mortgage Association Pass-Thru, Pool 890549      4.00%       11/01/2043      14,143,820  
16,034,115    Federal National Mortgage Association Pass-Thru, Pool 890565      3.00%       11/01/2043      15,674,987  
806,718    Federal National Mortgage Association Pass-Thru, Pool 931104      5.00%       05/01/2039      851,846  
218,240    Federal National Mortgage Association Pass-Thru, Pool 975116      5.00%       05/01/2038      232,253  
1,703,675    Federal National Mortgage Association Pass-Thru, Pool 986864      6.50%       08/01/2038      1,893,346  
1,556,200    Federal National Mortgage Association Pass-Thru, Pool 987316      6.50%       09/01/2038      1,716,940  
13,457,490    Federal National Mortgage Association Pass-Thru, Pool 995203      5.00%       07/01/2035      14,418,730  
22,817,529    Federal National Mortgage Association Pass-Thru, Pool 995849      5.00%       08/01/2036      24,438,181  
19,883,053    Federal National Mortgage Association Pass-Thru, Pool AB2123      4.00%       01/01/2031      20,432,705  
233,512    Federal National Mortgage Association Pass-Thru, Pool AB2370      4.50%       09/01/2035      239,730  
2,013,375    Federal National Mortgage Association Pass-Thru, Pool AB3713      4.00%       10/01/2031      2,069,009  
10,707,469    Federal National Mortgage Association Pass-Thru, Pool AB3796      3.50%       11/01/2031      10,867,956  
4,477,155    Federal National Mortgage Association Pass-Thru, Pool AB3850      4.00%       11/01/2041      4,551,068  
6,614,603    Federal National Mortgage Association Pass-Thru, Pool AB3923      4.00%       11/01/2041      6,723,760  
35,660,286    Federal National Mortgage Association Pass-Thru, Pool AB4167      3.50%       01/01/2032      36,194,622  
33,318,100    Federal National Mortgage Association Pass-Thru, Pool AB4261      3.50%       01/01/2032      33,817,570  
6,092,572    Federal National Mortgage Association Pass-Thru, Pool AB5084      3.50%       05/01/2032      6,183,895  
12,517,594    Federal National Mortgage Association Pass-Thru, Pool AB5156      3.50%       05/01/2032      12,705,200  
21,038,332    Federal National Mortgage Association Pass-Thru, Pool AB5212      3.50%       05/01/2032      21,353,658  
8,613,173    Federal National Mortgage Association Pass-Thru, Pool AB5243      4.00%       05/01/2042      8,755,367  
31,624,708    Federal National Mortgage Association Pass-Thru, Pool AB5911      3.00%       08/01/2032      31,458,102  
8,890,925    Federal National Mortgage Association Pass-Thru, Pool AB6280      3.00%       09/01/2042      8,681,681  
13,553,290    Federal National Mortgage Association Pass-Thru, Pool AB6349      3.00%       10/01/2032      13,481,883  
39,994,670    Federal National Mortgage Association Pass-Thru, Pool AB6750      3.00%       10/01/2032      39,783,963  
19,829,156    Federal National Mortgage Association Pass-Thru, Pool AB6751      3.00%       10/01/2032      19,724,688  
117,698,244    Federal National Mortgage Association Pass-Thru, Pool AB6854      3.00%       11/01/2042      115,075,169  
83,718,307    Federal National Mortgage Association Pass-Thru, Pool AB7077      3.00%       11/01/2042      81,826,156  
65,664,671    Federal National Mortgage Association Pass-Thru, Pool AB7344      3.00%       12/01/2032      65,319,142  
30,956,427    Federal National Mortgage Association Pass-Thru, Pool AB7776      3.00%       02/01/2043      30,229,424  
38,528,597    Federal National Mortgage Association Pass-Thru, Pool AB7877      3.00%       02/01/2043      37,624,792  
16,640,055    Federal National Mortgage Association Pass-Thru, Pool AB8418      3.00%       02/01/2033      16,552,379  
23,918,537    Federal National Mortgage Association Pass-Thru, Pool AB8520      3.00%       02/01/2033      23,792,513  
28,946,433    Federal National Mortgage Association Pass-Thru, Pool AB8703      3.00%       03/01/2038      28,632,234  
14,131,412    Federal National Mortgage Association Pass-Thru, Pool AB8858      3.00%       04/01/2033      14,057,059  
24,930,443    Federal National Mortgage Association Pass-Thru, Pool AB9020      3.00%       04/01/2038      24,369,737  
23,156,816    Federal National Mortgage Association Pass-Thru, Pool AB9197      3.00%       05/01/2033      23,034,859  
67,647,003    Federal National Mortgage Association Pass-Thru, Pool AB9406      3.00%       05/01/2033      67,290,527  
13,430,541    Federal National Mortgage Association Pass-Thru, Pool AB9409      3.00%       05/01/2033      13,359,771  
907,264    Federal National Mortgage Association Pass-Thru, Pool AD2177      4.50%       06/01/2030      948,637  
1,108,637    Federal National Mortgage Association Pass-Thru, Pool AD6438      5.00%       06/01/2040      1,189,489  
852,008    Federal National Mortgage Association Pass-Thru, Pool AD7859      5.00%       06/01/2040      913,937  
9,440,001    Federal National Mortgage Association Pass-Thru, Pool AH0607      4.00%       12/01/2040      9,698,711  
1,041,727    Federal National Mortgage Association Pass-Thru, Pool AH1140      4.50%       12/01/2040      1,069,890  
8,985,586    Federal National Mortgage Association Pass-Thru, Pool AH4437      4.00%       01/01/2041      9,133,613  
2,028,962    Federal National Mortgage Association Pass-Thru, Pool AH7309      4.00%       02/01/2031      2,085,132  
8,466,381    Federal National Mortgage Association Pass-Thru, Pool AH9323      4.00%       04/01/2026      8,696,682  
507,811    Federal National Mortgage Association Pass-Thru, Pool AI8889      4.00%       08/01/2041      516,189  
4,883,779    Federal National Mortgage Association Pass-Thru, Pool AI9831      4.00%       09/01/2041      4,964,388  
1,404,800    Federal National Mortgage Association Pass-Thru, Pool AJ1265      4.00%       09/01/2041      1,427,985  
2,352,401    Federal National Mortgage Association Pass-Thru, Pool AJ1399      4.00%       09/01/2041      2,391,170  
5,487,842    Federal National Mortgage Association Pass-Thru, Pool AJ1467      4.00%       10/01/2041      5,577,148  
4,710,084    Federal National Mortgage Association Pass-Thru, Pool AJ3392      4.00%       10/01/2041      4,787,844  
1,884,451    Federal National Mortgage Association Pass-Thru, Pool AJ3854      4.00%       10/01/2041      1,915,573  
24,835,844    Federal National Mortgage Association Pass-Thru, Pool AJ4118      4.00%       11/01/2041      25,244,608  
6,316,552    Federal National Mortgage Association Pass-Thru, Pool AJ4131      4.00%       10/01/2041      6,420,803  
1,222,233    Federal National Mortgage Association Pass-Thru, Pool AJ5172      4.00%       11/01/2041      1,242,427  
32,288,627    Federal National Mortgage Association Pass-Thru, Pool AJ5322      4.00%       11/01/2041      33,175,546  
17,291,275    Federal National Mortgage Association Pass-Thru, Pool AJ7677      3.50%       12/01/2041      17,103,655  
2,946,157    Federal National Mortgage Association Pass-Thru, Pool AJ8334      4.00%       12/01/2041      2,994,803  
35,540,565    Federal National Mortgage Association Pass-Thru, Pool AK0713      3.50%       01/01/2032      36,071,119  
8,173,964    Federal National Mortgage Association Pass-Thru, Pool AK4039      4.00%       02/01/2042      8,306,984  
6,571,212    Federal National Mortgage Association Pass-Thru, Pool AK4763      4.00%       02/01/2042      6,679,715  
6,520,920    Federal National Mortgage Association Pass-Thru, Pool AK9438      4.00%       03/01/2042      6,627,031  
8,014,677    Federal National Mortgage Association Pass-Thru, Pool AK9439      4.00%       03/01/2042      8,145,845  
1,104,751    Federal National Mortgage Association Pass-Thru, Pool AK9446      4.50%       03/01/2042      1,134,697  
125,508,180    Federal National Mortgage Association Pass-Thru, Pool AL3699      3.00%       06/01/2043      122,560,537  
64,773,510    Federal National Mortgage Association Pass-Thru, Pool AL3883      3.00%       07/01/2043      63,252,828  
3,976,720    Federal National Mortgage Association Pass-Thru, Pool AL4292      4.50%       04/01/2026      4,110,452  
10,901,278    Federal National Mortgage Association Pass-Thru, Pool AL4312      4.00%       10/01/2043      11,217,264  
24,279,459    Federal National Mortgage Association Pass-Thru, Pool AL6075      3.50%       09/01/2053      23,816,876  
31,466,580    Federal National Mortgage Association Pass-Thru, Pool AL6076      3.00%       06/01/2053      30,002,206  
86,945,699    Federal National Mortgage Association Pass-Thru, Pool AL6141      4.00%       04/01/2042      89,378,720  
63,713,918    Federal National Mortgage Association Pass-Thru, Pool AL6325      3.00%       10/01/2044      62,249,695  
31,691,153    Federal National Mortgage Association Pass-Thru, Pool AL6486      4.50%       02/01/2045      33,193,566  
75,577,365    Federal National Mortgage Association Pass-Thru, Pool AL6538      4.50%       06/01/2044      79,541,869  
59,628,220    Federal National Mortgage Association Pass-Thru, Pool AL8304      3.50%       03/01/2046      59,527,001  
29,439,636    Federal National Mortgage Association Pass-Thru, Pool AO2980      4.00%       05/01/2042      29,926,056  
69,633,938    Federal National Mortgage Association Pass-Thru, Pool AP4787      3.50%       09/01/2042      68,880,537  
64,053,188    Federal National Mortgage Association Pass-Thru, Pool AP4789      3.50%       09/01/2042      63,358,168  
17,304,920    Federal National Mortgage Association Pass-Thru, Pool AQ5541      3.00%       12/01/2042      16,917,237  
20,238,541    Federal National Mortgage Association Pass-Thru, Pool AR9856      3.00%       04/01/2043      19,776,538  
26,985,828    Federal National Mortgage Association Pass-Thru, Pool AS1927      4.50%       03/01/2044      28,231,537  
29,814,691    Federal National Mortgage Association Pass-Thru, Pool AS2038      4.50%       03/01/2044      31,233,703  
24,264,357    Federal National Mortgage Association Pass-Thru, Pool AS2517      4.50%       05/01/2044      25,415,185  
12,181,557    Federal National Mortgage Association Pass-Thru, Pool AS2551      4.50%       06/01/2044      12,802,418  
11,061,542    Federal National Mortgage Association Pass-Thru, Pool AS2765      4.50%       07/01/2044      11,625,077  
37,004,410    Federal National Mortgage Association Pass-Thru, Pool AS3201      3.00%       08/01/2034      36,809,345  
17,377,023    Federal National Mortgage Association Pass-Thru, Pool AS3456      3.00%       10/01/2034      17,285,420  
36,881,756    Federal National Mortgage Association Pass-Thru, Pool AS3666      3.00%       10/01/2034      36,687,331  
156,475,737    Federal National Mortgage Association Pass-Thru, Pool AS3961      3.00%       12/01/2044      152,583,538  
47,839,993    Federal National Mortgage Association Pass-Thru, Pool AS4154      3.00%       12/01/2044      46,578,940  
29,030,418    Federal National Mortgage Association Pass-Thru, Pool AS4212      3.00%       01/01/2035      28,877,379  
45,607,438    Federal National Mortgage Association Pass-Thru, Pool AS4281      3.00%       01/01/2035      45,367,008  
30,290,083    Federal National Mortgage Association Pass-Thru, Pool AS4345      3.50%       01/01/2045      30,246,486  
34,724,070    Federal National Mortgage Association Pass-Thru, Pool AS4360      3.00%       01/01/2035      34,541,009  
296,783,092    Federal National Mortgage Association Pass-Thru, Pool AS4625      3.00%       03/01/2045      288,875,897  
123,356,724    Federal National Mortgage Association Pass-Thru, Pool AS4645      3.00%       03/01/2045      120,070,140  
44,138,827    Federal National Mortgage Association Pass-Thru, Pool AS4779      3.00%       04/01/2035      43,906,128  
41,498,325    Federal National Mortgage Association Pass-Thru, Pool AS4780      3.00%       04/01/2035      41,279,550  
55,067,194    Federal National Mortgage Association Pass-Thru, Pool AS4840      3.00%       04/01/2035      54,776,880  
27,886,368    Federal National Mortgage Association Pass-Thru, Pool AS4881      3.00%       05/01/2035      27,739,356  
28,946,415    Federal National Mortgage Association Pass-Thru, Pool AS4882      3.00%       05/01/2035      28,793,811  
57,731,446    Federal National Mortgage Association Pass-Thru, Pool AX9696      3.00%       07/01/2045      55,546,135  
75,634,583    Federal National Mortgage Association Pass-Thru, Pool AY3974      3.00%       03/01/2045      73,597,840  
25,569,255    Federal National Mortgage Association Pass-Thru, Pool AY4295      3.00%       02/01/2045      24,674,996  
12,457,544    Federal National Mortgage Association Pass-Thru, Pool AY4296      3.00%       01/01/2045      12,020,653  
12,524,036    Federal National Mortgage Association Pass-Thru, Pool AY5471      3.00%       03/01/2045      12,084,949  
21,299,447    Federal National Mortgage Association Pass-Thru, Pool BC0785      3.50%       04/01/2046      21,263,290  
2,649,795    Federal National Mortgage Association Pass-Thru, Pool MA0264      4.50%       12/01/2029      2,769,429  
8,344    Federal National Mortgage Association Pass-Thru, Pool MA0315      4.50%       01/01/2025      8,248  
9,639,443    Federal National Mortgage Association Pass-Thru, Pool MA0353      4.50%       03/01/2030      10,078,564  
2,055,874    Federal National Mortgage Association Pass-Thru, Pool MA0406      4.50%       05/01/2030      2,149,548  
143,728    Federal National Mortgage Association Pass-Thru, Pool MA0445      5.00%       06/01/2040      149,032  
277,203    Federal National Mortgage Association Pass-Thru, Pool MA0459      4.00%       07/01/2020      284,608  
372,982    Federal National Mortgage Association Pass-Thru, Pool MA0468      5.00%       07/01/2040      385,741  
905,892    Federal National Mortgage Association Pass-Thru, Pool MA0502      4.00%       08/01/2020      930,094  
447,309    Federal National Mortgage Association Pass-Thru, Pool MA0517      4.00%       09/01/2020      459,259  
3,000,369    Federal National Mortgage Association Pass-Thru, Pool MA0534      4.00%       10/01/2030      3,083,394  
2,831,533    Federal National Mortgage Association Pass-Thru, Pool MA0536      4.00%       10/01/2020      2,907,180  
3,538,815    Federal National Mortgage Association Pass-Thru, Pool MA0580      4.00%       11/01/2020      3,633,358  
654,592    Federal National Mortgage Association Pass-Thru, Pool MA0587      4.00%       12/01/2030      672,678  
16,150,986    Federal National Mortgage Association Pass-Thru, Pool MA0616      4.00%       01/01/2031      16,597,058  
6,139,814    Federal National Mortgage Association Pass-Thru, Pool MA0896      4.00%       11/01/2041      6,240,518  
123,464,005    Federal National Mortgage Association Pass-Thru, Pool MA0919      3.50%       12/01/2031      125,307,969  
52,226,958    Federal National Mortgage Association Pass-Thru, Pool MA0949      3.50%       01/01/2032      53,006,963  
63,690,085    Federal National Mortgage Association Pass-Thru, Pool MA0976      3.50%       02/01/2032      64,643,523  
31,199,437    Federal National Mortgage Association Pass-Thru, Pool MA1010      3.50%       03/01/2032      31,666,484  
9,495,571    Federal National Mortgage Association Pass-Thru, Pool MA1039      3.50%       04/01/2042      9,392,540  
42,952,805    Federal National Mortgage Association Pass-Thru, Pool MA1059      3.50%       05/01/2032      43,596,585  
6,051,341    Federal National Mortgage Association Pass-Thru, Pool MA1068      3.50%       05/01/2042      5,986,075  
90,897,486    Federal National Mortgage Association Pass-Thru, Pool MA1084      3.50%       06/01/2032      92,259,117  
13,902,551    Federal National Mortgage Association Pass-Thru, Pool MA1093      3.50%       06/01/2042      13,752,090  
11,494,523    Federal National Mortgage Association Pass-Thru, Pool MA1094      4.00%       06/01/2042      11,684,031  
54,796,860    Federal National Mortgage Association Pass-Thru, Pool MA1107      3.50%       07/01/2032      55,617,530  
129,416,986    Federal National Mortgage Association Pass-Thru, Pool MA1117      3.50%       07/01/2042      128,014,279  
152,069,941    Federal National Mortgage Association Pass-Thru, Pool MA1136      3.50%       08/01/2042      150,422,507  
36,809,698    Federal National Mortgage Association Pass-Thru, Pool MA1138      3.50%       08/01/2032      37,359,904  
40,731,027    Federal National Mortgage Association Pass-Thru, Pool MA1179      3.50%       09/01/2042      40,290,605  
7,249,796    Federal National Mortgage Association Pass-Thru, Pool MA1201      3.50%       10/01/2032      7,357,891  
87,294,397    Federal National Mortgage Association Pass-Thru, Pool MA1209      3.50%       10/01/2042      86,352,584  
46,405,318    Federal National Mortgage Association Pass-Thru, Pool MA1237      3.00%       11/01/2032      46,160,970  
5,696,131    Federal National Mortgage Association Pass-Thru, Pool MA1242      3.50%       11/01/2042      5,634,678  
25,395,615    Federal National Mortgage Association Pass-Thru, Pool MA1338      3.00%       02/01/2033      25,261,840  
99,957,253    Federal National Mortgage Association Pass-Thru, Pool MA1366      3.00%       03/01/2033      99,430,589  
61,330,972    Federal National Mortgage Association Pass-Thru, Pool MA1401      3.00%       04/01/2033      61,007,871  
106,271,672    Federal National Mortgage Association Pass-Thru, Pool MA1459      3.00%       06/01/2033      105,711,743  
13,533,116    Federal National Mortgage Association Pass-Thru, Pool MA1490      3.00%       07/01/2033      13,461,873  
77,774,698    Federal National Mortgage Association Pass-Thru, Pool MA2018      3.50%       09/01/2034      78,700,580  
29,987,628    Federal National Mortgage Association Pass-Thru, Pool MA2114      3.50%       12/01/2044      29,663,592  
24,307,101    Federal National Mortgage Association Pass-Thru, Pool MA2151      3.50%       01/01/2045      24,044,377  
46,023,392    Federal National Mortgage Association Pass-Thru, Pool MA2164      3.50%       02/01/2035      46,571,567  
97,727,098    Federal National Mortgage Association Pass-Thru, Pool MA2166      3.50%       02/01/2045      96,667,794  
99,628,452    Federal National Mortgage Association Pass-Thru, Pool MA2248      3.00%       04/01/2045      96,137,915  
100,406,879    Federal National Mortgage Association Pass-Thru, Pool MA2270      3.00%       05/01/2045      96,891,377  
131,960,735    Federal National Mortgage Association Pass-Thru, Pool MA2650      3.50%       06/01/2046      130,536,324  
8,640,039    Federal National Mortgage Association Pass-Thru, Pool MA3894      4.00%       09/01/2031      8,943,055  
53,539,251    Freddie Mac REMICS, Series 4793      3.00%       06/15/2048      51,585,834  
49,902,673    Freddie Mac REMICS, Series 4801      0.00%  P/O     06/15/2048      37,455,244  
4,793,100    Government National Mortgage Association, Pool MA2511M      3.50%       01/20/2045      4,776,245  
14,123,438    Government National Mortgage Association, Series 2003-67-SP, (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap)      5.02%  I/FI/O     08/20/2033      2,194,315  
5,896,772    Government National Mortgage Association, Series 2003-86-ZK      5.00%       10/20/2033      6,368,913  
2,988,526    Government National Mortgage Association, Series 2004-49-Z      6.00%       06/20/2034      3,237,243  
790,278    Government National Mortgage Association, Series 2004-80-PH      5.00%       07/20/2034      802,401  
6,159,670    Government National Mortgage Association, Series 2004-83-CS, (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap)      4.00%  I/FI/O     10/20/2034      700,278  
1,595,901    Government National Mortgage Association, Series 2005-21-Z      5.00%       03/20/2035      1,731,022  
17,145,917    Government National Mortgage Association, Series 2005-39-ZB      5.00%       07/20/2034      18,132,756  
906,572    Government National Mortgage Association, Series 2006-24-CX, (-7 x 1 Month LIBOR USD + 39.97%, 39.97% Cap)      24.69%  I/F     05/20/2036      1,526,770  
7,833,146    Government National Mortgage Association, Series 2007-26-SJ, (-1 x 1 Month LIBOR USD + 4.69%, 4.69% Cap)      2.61%  I/FI/O     04/20/2037      432,036  
5,155,014    Government National Mortgage Association, Series 2008-2-SM, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.41%  I/FI/O     01/16/2038      842,029  
8,816,307    Government National Mortgage Association, Series 2008-42-AI, (-1 x 1 Month LIBOR USD + 7.69%, 7.69% Cap)      5.60%  I/FI/O     05/16/2038      1,933,776  
3,715,326    Government National Mortgage Association, Series 2008-43-SH, (-1 x 1 Month LIBOR USD + 6.34%, 6.34% Cap)      4.25%  I/FI/O     05/20/2038      436,979  
4,198,534    Government National Mortgage Association, Series 2008-51-SC, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.17%  I/FI/O     06/20/2038      471,852  
2,849,390    Government National Mortgage Association, Series 2008-51-SE, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.16%  I/FI/O     06/16/2038      374,427  
1,456,394    Government National Mortgage Association, Series 2008-82-SM, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.97%  I/FI/O     09/20/2038      167,597  
3,127,227    Government National Mortgage Association, Series 2008-83-SD, (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap)      4.47%  I/FI/O     11/16/2036      482,318  
11,553,162    Government National Mortgage Association, Series 2009-106-VZ      4.50%       11/20/2039      12,101,620  
6,163,706    Government National Mortgage Association, Series 2009-10-NS, (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.56%  I/FI/O     02/16/2039      972,983  
2,261,782    Government National Mortgage Association, Series 2009-24-SN, (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.02%  I/FI/O     09/20/2038      191,137  
6,423,966    Government National Mortgage Association, Series 2009-32-ZE      4.50%       05/16/2039      6,762,773  
35,576,934    Government National Mortgage Association, Series 2009-35-DZ      4.50%       05/20/2039      37,329,838  
7,337    Government National Mortgage Association, Series 2009-41-ZQ      4.50%       06/16/2039      7,714  
4,060,525    Government National Mortgage Association, Series 2009-48-Z      5.00%       06/16/2039      4,253,197  
881,653    Government National Mortgage Association, Series 2009-50-KP      4.50%       06/20/2039      905,999  
3,202,164    Government National Mortgage Association, Series 2009-69-TS, (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)      4.11%  I/FI/O     04/16/2039      356,155  
5,443,948    Government National Mortgage Association, Series 2009-75-GZ      4.50%       09/20/2039      5,613,091  
4,317,360    Government National Mortgage Association, Series 2009-87-IG, (-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap)      4.66%  I/FI/O     03/20/2037      443,421  
31,105,086    Government National Mortgage Association, Series 2010-106-PS, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.97%  I/FI/O     03/20/2040      3,082,887  
7,902,177    Government National Mortgage Association, Series 2010-1-SA, (-1 x 1 Month LIBOR USD + 5.75%, 5.75% Cap)      3.66%  I/FI/O     01/16/2040      737,805  
3,730,578    Government National Mortgage Association, Series 2010-25-ZB      4.50%       02/16/2040      3,901,174  
74,146,127    Government National Mortgage Association, Series 2010-26-QS, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.17%  I/FI/O     02/20/2040      11,130,668  
6,263,357    Government National Mortgage Association, Series 2010-42-AY      5.00%       11/20/2039      6,715,880  
6,354,502    Government National Mortgage Association, Series 2010-42-ES, (-1 x 1 Month LIBOR USD + 5.68%, 5.68% Cap)      3.60%  I/FI/O     04/20/2040      807,331  
1,933,841    Government National Mortgage Association, Series 2010-61-AS, (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.47%  I/FI/O     09/20/2039      217,684  
19,336,144    Government National Mortgage Association, Series 2010-62-SB, (-1 x 1 Month LIBOR USD + 5.75%, 5.75% Cap)      3.67%  I/FI/O     05/20/2040      2,214,294  
10,330,301    Government National Mortgage Association, Series 2010-62-ZG      5.50%       05/16/2040      11,435,343  
7,833,334    Government National Mortgage Association, Series 2011-18-SN, (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap)      5.33%  I/F     12/20/2040      7,962,725  
8,333,334    Government National Mortgage Association, Series 2011-18-YS, (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap)      5.33%  I/F     12/20/2040      8,063,788  
4,764,775    Government National Mortgage Association, Series 2011-51-UZ      4.50%       04/20/2041      4,931,534  
2,991,013    Government National Mortgage Association, Series 2011-69-OC      0.00%  P/O     05/20/2041      2,516,741  
27,566,104    Government National Mortgage Association, Series 2011-69-SB, (-1 x 1 Month LIBOR USD + 5.35%, 5.35% Cap)      3.27%  I/FI/O     05/20/2041      2,942,191  
25,890,459    Government National Mortgage Association, Series 2011-71-ZA      4.50%       02/20/2041      26,792,177  
10,093,514    Government National Mortgage Association, Series 2011-72-AS, (-1 x 1 Month LIBOR USD + 5.38%, 5.38% Cap)      3.30%  I/FI/O     05/20/2041      1,118,264  
7,637,830    Government National Mortgage Association, Series 2011-72-SK, (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)      4.07%  I/FI/O     05/20/2041      926,690  
4,576,638    Government National Mortgage Association, Series 2012-105-SE, (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)      4.12%  I/FI/O     01/20/2041      302,738  
10,422,484    Government National Mortgage Association, Series 2012-52-PN      2.00%       12/20/2039      10,265,921  
27,041,170    Government National Mortgage Association, Series 2013-116-LS, (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)      4.07%  I/FI/O     08/20/2043      4,023,342  
27,748,389    Government National Mortgage Association, Series 2013-136-CS, (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)      4.11%  I/FI/O     09/16/2043      3,887,516  
19,022,002    Government National Mortgage Association, Series 2013-182-WZ      2.50%       12/20/2043      16,790,115  
58,636,310    Government National Mortgage Association, Series 2013-182-ZW      2.50%       12/20/2043      51,756,400  
18,906,044    Government National Mortgage Association, Series 2013-186-SG, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.16%  I/FI/O     02/16/2043      2,499,691  
18,290,440    Government National Mortgage Association, Series 2013-26-MS, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.17%  I/FI/O     02/20/2043      2,811,623  
39,009,004    Government National Mortgage Association, Series 2013-34-PL      3.00%       03/20/2042      38,225,411  
35,589,271    Government National Mortgage Association, Series 2014-163-PS, (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)      3.52%  I/FI/O     11/20/2044      4,180,067  
36,708,434    Government National Mortgage Association, Series 2014-167-SA, (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)      3.52%  I/FI/O     11/20/2044      4,274,132  
55,504,137    Government National Mortgage Association, Series 2014-21-SE, (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap)      3.47%  I/FI/O     02/20/2044      7,098,713  
30,967,504    Government National Mortgage Association, Series 2014-39-SK, (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)      4.12%  I/FI/O     03/20/2044      3,919,898  
27,276,373    Government National Mortgage Association, Series 2014-59-DS, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.16%  I/FI/O     04/16/2044      3,727,559  
9,070,053    Government National Mortgage Association, Series 2016-99-TL      2.00%       04/16/2044      7,442,312  
           

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $24,266,080,343)

 

         23,798,236,414  
           

 

 

  

US Government and Agency Obligations - 4.7%

   
59,900,000    Tennessee Valley Authority      4.25%       09/15/2065      68,027,017  
515,110,000    United States Treasury Inflation Indexed Bonds      0.13%       04/15/2022      504,670,971  
250,000,000    United States Treasury Notes      1.38%       09/30/2019      246,796,875  
250,000,000    United States Treasury Notes      1.50%       10/31/2019      246,928,710  
600,000,000    United States Treasury Notes      1.63%       11/15/2022      573,152,346  
700,000,000    United States Treasury Notes      2.00%       02/15/2023      678,138,671  
           

 

 

  

Total US Government and Agency Obligations (Cost $2,363,406,893)

 

         2,317,714,590  
           

 

 

  

Short Term Investments - 6.6%

   
434,851,068    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          434,851,068  
434,851,068    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          434,851,068  
434,851,068    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          434,851,068  
250,000,000    United States Treasury Bills      0.00%       07/26/2018      249,712,918  
250,000,000    United States Treasury Bills      0.00%       08/16/2018      249,432,422  
250,000,000    United States Treasury Bills      0.00%       08/30/2018      249,240,000  
250,000,000    United States Treasury Bills      0.00%       09/13/2018      249,053,280  
250,000,000    United States Treasury Bills      0.00%       09/27/2018      248,862,655  
250,000,000    United States Treasury Bills      0.00%       10/18/2018      248,548,750  
250,000,000    United States Treasury Bills      0.00%       11/15/2018      248,115,833  
250,000,000    United States Treasury Bills      0.00%       11/29/2018      247,890,625  
           

 

 

  

Total Short Term Investments (Cost $3,295,352,382)

 

         3,295,409,687  
           

 

 

  

Total Investments - 101.0% (Cost $51,074,351,588)

 

         50,325,283,011  
Liabilities in Excess of Other Assets - (1.0)%

 

         (499,584,534 ) 
           

 

 

  

NET ASSETS - 100.0%

 

         $     49,825,698,477  
           

 

 

  

  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $12,708,819,975 or 25.5% of net assets.  

 

  # 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 June 30, 2018.  

 

  ± Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate desclosed is as of June 30, 2018.  

 

  I/O Interest only security  

 

  I/F 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.  

 

  P/O Principal only security  

 

  ß The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  § The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  Þ Value determined using significant unobservable inputs.  

 

  ¥ Illiquid security  

 

  ◆  Seven-day yield as of June 30, 2018  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

US Government and Agency Mortgage Backed Obligations

      47.8%  

Non-Agency Residential Collateralized Mortgage Obligation

      25.7%  

Non-Agency Commercial Mortgage Backed Obligation

      7.0%  

Short Term Investment

      6.6%  

Collateralized Loan Obligation

      5.2%  

US Government and Agency Obligations

      4.7%  

Asset Backed Obligations

      4.0%  

Other Assets and Liabilities

      (1.0)%  
  

 

 

  
                 100.0%  
  

 

 

  

  

 

DoubleLine Core Fixed Income Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

$/Shares

   

Security Description

    Rate     

Maturity

    Value $  

Asset Backed Obligations - 2.4%

         
4,833,333    CAL Funding Ltd., Series 2018-1A-A      3.96%  ^     02/25/2043      4,819,961  
4,159,090    Castlelake Aircraft Securitization Trust, Series 2015-1A-A      4.70%  ^§     12/15/2040      4,211,104  
10,862,182    Castlelake Aircraft Securitization Trust, Series 2016-1-A      4.45%       08/15/2041      10,874,358  
5,502,374    Castlelake Aircraft Securitization Trust, Series 2017-1-A      3.97%       07/15/2042      5,458,234  
5,000,000    Castlelake Aircraft Securitization Trust, Series 2018-1-A      4.13%  ^     06/15/2043      5,034,515  
5,276,117    CLI Funding LLC, Series 2017-1A-A      3.62%  ^     05/18/2042      5,194,603  
12,772,773    CLI Funding LLC, Series 2018-1A-A      4.03%  ^     04/18/2043      12,829,796  
14,701,500    Coinstar Funding LLC, Series 2017-1A-A2      5.22%  ^     04/25/2047      14,933,529  
11,500,000    College Ave Student Loans LLC, Series 2018-A-A1, (1 Month LIBOR USD + 1.20%)      0.00%  ^     12/26/2047      11,493,537  
2,902,500    DB Master Finance LLC, Series 2015-1A-A2II      3.98%  ^     02/20/2045      2,913,560  
17,820,000    Global SC Finance Ltd., Series 2018-1A-A      4.29%  ^     05/17/2038      17,989,778  
5,400,000    GLS Auto Receivables Trust, Series 2018-2A-B      3.71%  ^     03/15/2023      5,406,234  
14,003,859    Harbour Aircraft Investments Ltd., Series 2017-1-A      4.00%       11/15/2037      13,914,150  
9,507,925    Helios Issuer LLC, Series 2017-1A-A      4.94%  ^     09/20/2049      9,663,612  
5,974,282    HERO Funding Trust, Series 2016-1A-A      4.05%  ^     09/20/2041      6,119,259  
4,962,500    Jimmy Johns Funding LLC, Series 2017-1A-A2II      4.85%  ^     07/30/2047      4,983,362  
467,104    MarketPlace Loan Trust, Series 2015-CB1-A      4.00%  ^     07/15/2021      466,946  
2,857,584    Mosaic Solar Loan Trust, Series 2018-1A-A      4.01%  ^     06/22/2043      2,868,965  
7,500,000    Navient Private Education Loan Trust, Series 2018-A-B      3.68%  ^     02/18/2042      7,448,965  
11,974,406    NP SPE II LLC, Series 2016-1A-A1      4.16%  ^     04/20/2046      12,033,952  
7,850,840    OneMain Financial Issuance Trust, Series 2015-1A-A      3.19%  ^     03/18/2026      7,877,555  
6,000,000    SBA Tower Trust      3.17%  ^     04/11/2022      5,898,472  
7,350,424    Shenton Aircraft Investment Ltd., Series 2015-1A-A      4.75%  ^     10/15/2042      7,495,455  
1,457,650    SoFi Consumer Loan Program Trust, Series 2016-2-A      3.09%  ^     10/27/2025      1,456,872  
1,477,726    SoFi Consumer Loan Program Trust, Series 2017-1-A      3.28%  ^     01/26/2026      1,477,034  
500,000    SoFi Consumer Loan Program Trust, Series 2017-1-B      4.73%  #^     01/26/2026      512,688  
520,047    SoFi Consumer Loan Program Trust, Series 2017-2-A      3.28%  ^     02/25/2026      519,786  
5,000,000    SoFi Consumer Loan Program Trust, Series 2017-5-A2      2.78%  ^     09/25/2026      4,925,070  
5,026,918    SoFi Professional Loan Program, Series 2016-A-A2      2.76%  ^     12/26/2036      4,970,687  
5,000,000    SoFi Professional Loan Program, Series 2017-B-BFX      3.70%  #^     05/25/2040      4,999,296  
2,000,000    SoFi Professional Loan Program, Series 2017-C-C      4.21%  #^     07/25/2040      1,966,458  
9,626,039    Springleaf Funding Trust, Series 2015-AA-A      3.16%  ^     11/15/2024      9,623,578  
1,187,098    Spruce Asset Backed Securities Trust, Series 2016-E1-A      4.32%  ^     06/15/2028      1,196,860  
5,000,000    STARR, Series 2018-1-A      4.09%  ^     05/15/2043      4,992,110  
2,684,979    Textainer Marine Containers Ltd., Series 2017-1A-A      3.72%  ^     05/20/2042      2,670,352  
4,428,594    USQ Rail LLC, Series 2018-1-A1      3.78%  ^     04/25/2048      4,467,770  
12,956,667    Vantage Data Centers Issuer LLC, Series 2018-1A-A2      4.07%  ^     02/16/2043      12,972,466  
5,000,000    VB-S1 Issuer LLC, Series 2018-1A-C      3.41%  ^     02/15/2048      4,970,429  
13,600,038    Wildcat LLC, Series 2017-1A-A      4.12%  ¥Þ     06/30/2027      13,461,318  
           

 

 

  

Total Asset Backed Obligations (Cost $254,252,774)

            255,112,676  
        

 

 

  

Bank Loans - 5.3%

         
1,675,420    Acadia Healthcare Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       02/16/2023      1,682,600  
270,885    Access CIG LLC, Senior Secured 1st Lien Delayed-Draw Term Loan      6.07%  ±&     02/27/2025      271,698  
2,174,115    Access CIG LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.84%       02/27/2025      2,180,637  
805,000    Acrisure LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.07%       11/22/2023      799,969  
3,865,832    Acrisure LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       11/22/2023      3,863,436  
2,590,770    Air Medical Group Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.28%       04/28/2022      2,522,762  
2,587,523    ASP AMC Merger Sub, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       04/22/2024      2,488,072  
550,000    Albertsons Cos, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%)      5.36%       05/03/2023      550,003  
2,040,000    Aleris International, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%)      6.86%       02/08/2023      2,025,332  
896,808    AlixPartners LLP, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       04/04/2024      897,256  
2,639,622    Almonde, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.81%       06/13/2024      2,596,913  
2,625,000    Almonde, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.56%       06/16/2025      2,535,579  
2,035,690    American Renal Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       06/21/2024      2,030,601  
1,458,303    American Tire Distributors, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       09/01/2021      956,100  
4,408,981    Amneal Pharmaceuticals LLC, Secured Term Loan (2 Month LIBOR USD + 3.50%)      5.63%       05/05/2025      4,407,614  
5,225,450    Applied Systems, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.33%       09/19/2024      5,238,906  
950,755    Chill Merger Sub, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       03/20/2024      956,402  
1,583,283    Ascend Learning LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       07/12/2024      1,581,304  
4,495,275    AssuredPartners, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       10/22/2024      4,481,250  
1,170,000    Asurion LLC, Senior Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.50%)      8.48%       08/04/2025      1,167,075  
5,176,798    Asurion LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/03/2023      5,175,866  
4,138,844    Avantor, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.98%       11/21/2024      4,164,712  
3,655,000    Avatar Purchaser Inc., Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.75%, 1.00% Floor)      6.25%       10/18/2018      3,609,312  
3,673,500    Avaya, Inc., Senior Secured 1st Lien Term Loan      7.06%  #     12/15/2024      3,683,547  
2,600,000    Blackstone Group, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.86%       10/31/2024      2,598,778  
4,368,685    BJ’s Wholesale Club, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.53%       02/02/2024      4,373,054  
1,965,000    Blackhawk Network Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.07%       06/16/2025      1,962,131  
743,138    Blount International, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.23%       04/12/2023      748,715  
5,225,000    BMC Software Finance, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.55%       09/30/2025      5,198,875  
   Brand Energy & Infrastructure Services, Inc., Senior Secured 1st Lien Term Loan         
705,712    (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.58%       06/21/2024      707,875  
3,704,988    (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       06/21/2024      3,716,344  
4,040,000    Bison Midstream Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%)      6.09%       05/21/2025      4,050,100  
   Bright Bidco BV, Senior Secured 1st Lien Term Loan         
2,153,127    (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       06/28/2024      2,139,670  
1,013,236    (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       06/28/2024      1,006,903  
4,144,098    BWAY Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.59%       04/03/2024      4,127,273  
4,011,027    Canyon Valor Companies, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       06/16/2023      4,011,027  
204,022    Capital Automotive LP, Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.10%       03/24/2025      205,807  
3,411,450    Capri Acquisitions Bidco Ltd, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.61%       11/01/2024      3,388,013  
1,407,925    CBS Radio, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/18/2024      1,391,734  
2,921,353    Cengage Learning, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       06/07/2023      2,689,836  
4,499,625    CenturyLink, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       01/31/2025      4,414,312  
819,019    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Synthetic Letter Of Credit (3 Month LIBOR USD + 0.00%, 1.00% Floor)      2.21%       03/19/2021      818,798  
156,427    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      156,384  
308,506    Ceva Intercompany BV, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      308,423  
1,325,698    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      1,325,340  
2,596,460    CH Hold Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       02/01/2024      2,598,901  
5,215,100    Change Healthcare Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       03/01/2024      5,203,679  
5,022,325    CHG Healthcare Services, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       06/07/2023      5,035,659  
2,630,000    CHG PPC Parent LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       03/31/2025      2,623,425  
1,970,000    Cincinnati Bell, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       10/02/2024      1,973,073  
3,104,804    Constellation Merger Sub, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%)      5.08%       09/18/2024      3,073,756  
3,531,150    Compass Power Generation LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       12/20/2024      3,556,309  
3,419,619    Compuware Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       12/15/2021      3,431,587  
1,295,000    Concentra, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.74%       06/01/2022      1,296,619  
4,125,510    Constellis Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)      7.33%       04/19/2024      4,147,850  
1,229,643    Coronado Australian Holdings Ltd., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.50%, 1.00% Floor)      8.83%       03/31/2025      1,243,476  
335,357    Coronado Australian Holdings Pty Ltd., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.50%, 1.00% Floor)      8.83%       03/31/2025      339,130  
1,945,000    Covia Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.05%       06/01/2025      1,947,742  
1,563,938    CP VI Bella Topco LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       12/27/2024      1,561,498  
1,154,486    CPI Holdco LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       03/21/2024      1,161,944  
4,261,878    CSM Bakery Supplies LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.31%       07/03/2020      4,147,361  
4,165,000    Cvent, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       11/29/2024      4,167,603  
1,347,000    CVS Holdings LP, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.10%       02/06/2025      1,336,898  
3,920,000    Colorado Buyer, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       05/01/2024      3,922,450  
540,000    Colorado Buyer, Inc., Guaranteed Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.61%       05/01/2025      540,000  
3,595,000    Deerfield Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       02/13/2025      3,585,258  
893,258    Delta 2 Lux Sarl, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)      4.59%       02/01/2024      883,070  
529,000    Dentalcorp Perfect Smile ULC, Senior Secured 1st Lien Delayed-Draw Term Loan      6.07%  ±&     06/06/2025      530,986  
2,116,000    Dentalcorp Perfect Smile ULC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.76%       06/06/2025      2,123,946  
135,000    DexKo Global Inc., Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%  &     07/24/2024      135,422  
379,050    Dexko Global, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       07/24/2024      380,591  
3,140,440    Digicel International Finance Ltd., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.61%       05/27/2024      3,014,822  
255,000    Edelman Financial Center LLC., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 6.75%)      9.05%       06/26/2026      257,510  
1,685,000    Edelman Financial Center LLC., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.55%       06/26/2025      1,685,008  
3,550,000    EG America LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.33%       02/06/2025      3,524,706  
640,000    EG Finco Ltd., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.34%       02/07/2025      635,440  
1,010,000    Energy Acquisition LP, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.59%       06/26/2025      1,004,950  
948,270    Envision Healthcare Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.10%       12/01/2023      948,669  
4,012,679    Equian Buyer Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.33%       05/20/2024      4,005,978  
3,484,165    Equinox Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       03/08/2024      3,485,036  
952,399    Evergreen Skills, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.84%       04/28/2021      903,289  
3,324,221    Excelitas Technologies Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       12/02/2024      3,334,626  
1,280,796    Exgen Renewables LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.31%       11/29/2024      1,287,200  
4,387,480    Goldcup Merger Sub, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.08%       05/02/2023      4,387,480  
   Federal-Mogul Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
2,322,310    (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.82%       04/15/2021      2,329,776  
774,103    (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       04/15/2021      776,592  
2,120,000    Filtration Group Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.30%       03/31/2025      2,122,915  
4,161,355    Flexera Software LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       02/26/2025      4,159,420  
4,005,184    Foresight Energy LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)      8.11%       03/28/2022      3,988,302  
2,829,962    Forterra Finance LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       10/25/2023      2,650,429  
4,220,000    Frontera Generation Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.23%       05/02/2025      4,222,638  
2,184,257    FTS International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.84%       04/16/2021      2,196,085  
4,116,242    Garda World Security Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.80%       05/24/2024      4,125,236  
2,688,824    Gates Global LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)      5.08%       04/01/2024      2,690,867  
535,000    Gavilan Resources LLC, Senior Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.09%       03/01/2024      527,981  
4,148,565    Greeneden US Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.83%       12/01/2023      4,153,751  
1,065,000    Gentiva Health Services, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.00%)      9.30%       06/22/2026      1,080,975  
1,728,846    Gentiva Health Services, Inc., Senior Secured 1st Lien Delayed-Draw Term Loan      6.07%  ±&     06/23/2025      1,720,202  
2,766,154    Gentiva Health Services, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%)      6.05%       06/23/2025      2,752,323  
1,495,000    Gopher Resource LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       03/06/2025      1,498,738  
5,315,000    GrafTech Finance, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.50%       02/12/2025      5,295,095  
2,006,699    Greektown Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       04/25/2024      2,003,358  
4,935,000    GTT Communications, Inc., Guaranteed Senior Secured 1st Lien Term Loan (2 Month LIBOR USD + 2.75%)      4.88%       06/02/2025      4,871,783  
1,145,000    Gulf Finance LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor)      7.59%       08/25/2023      993,287  
2,802,320    Harbor Freight Tools USA, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)      4.59%       08/18/2023      2,792,988  
1,244,453    Hargray Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       05/16/2024      1,242,898  
2,043,222    Harsco Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor)      4.25%       12/06/2024      2,048,330  
4,159,625    Hayward Acquisition Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%)      5.59%       08/05/2024      4,173,289  
825,000    H-Food Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       05/23/2025      818,503  
1,703,149    Hyland Software, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor)      5.34%       07/01/2022      1,709,893  
2,582,658    Informatica LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       08/05/2022      2,590,044  
4,115,000    Intelsat Jackson Holdings S.A., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.72%       11/30/2023      4,111,461  
3,615,938    Impala Private Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.99%  ¥     11/14/2024      3,617,077  
4,372,750    Hawk Merger Sub, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      4.98%       07/31/2024      4,375,505  
   HVSC Merger Sub Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
1,737,788    (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       10/28/2024      1,751,542  
855,925    (2 Month LIBOR USD + 4.00%, 1.00% Floor)      6.17%       10/28/2024      862,700  
4,230,000    ION Trading Finance Ltd., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.30%       11/21/2024      4,203,563  
   IRB Holding Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
2,135,769    (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.25%       02/05/2025      2,141,995  
1,747,448    (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.28%       02/05/2025      1,752,542  
5,242,512    Jaguar Holding Company II, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)      4.59%       08/18/2022      5,223,194  
2,601,602    Jo-Ann Stores LLC, Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 5.00%, 1.00% Floor)      7.51%       10/20/2023      2,587,514  
2,335,000    KBR Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.84%       04/25/2025      2,342,297  
2,475,399    Kenan Advantage Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       08/01/2022      2,475,399  
1,785,000    Kindred Healthcare, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.00%)      7.30%       06/23/2025      1,771,613  
3,229,199    Kloeckner Pentaplast, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       06/30/2022      3,100,531  
3,021,905    KIK Custom Products, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       05/15/2023      3,009,062  
5,191,403    Kronos Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       11/01/2023      5,188,158  
24,706    A-L Parent LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       12/01/2023      24,799  
1,460,231    Learfield Communications, Senior Secured 1st Lien Term Loan      4.73%  #&     12/01/2023      1,463,882  
3,571,157    Life Time Fitness, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)      5.06%       06/10/2022      3,567,408  
915,000    Lions Gate Capital Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%)      4.34%       03/24/2025      913,477  
2,615,000    Lucid Energy Group II Borrower LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       02/18/2025      2,605,194  
409,853    EOC Group, Inc., Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)      5.20%  &     03/20/2025      407,292  
2,560,147    EOC Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.20%       03/20/2025      2,544,146  
4,450,000    McDermott International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor)      7.09%       05/12/2025      4,478,057  
1,350,000    Meredith Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       01/31/2025      1,351,370  
4,047,915    Micron Technology, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       09/28/2023      4,027,675  
449,585    Mission Broadcasting, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.48%       01/17/2024      450,030  
271,642    Mitchell International, Inc., Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       11/29/2024      270,509  
3,368,358    Mitchell International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       11/29/2024      3,354,312  
575,000    Mitchell International, Inc., Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.25%)      9.34%       12/01/2025      576,619  
1,913,454    Mohegan Tribal Gaming Authority, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.98%       10/13/2023      1,812,041  
5,186,124    MPH Acquisition Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)      5.08%       06/07/2023      5,164,653  
405,000    MX Holdings US, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 0.75% Floor)      5.32%       06/18/2025      405,761  
3,070,617    National Vision, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/20/2024      3,069,972  
3,461,823    Nexstar Broadcasting, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.48%       01/17/2024      3,465,251  
1,602,380    Optiv Security, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.31%       02/01/2024      1,562,320  
3,255,000    Oryx Southern Delaware Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       02/28/2025      3,222,450  
3,892,885    West Street Merger Sub, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       09/27/2024      3,876,671  
4,171,225    Peak 10 Holding Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.83%       08/01/2024      4,135,394  
1,305,000    Phoenix Services Merger Sub LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.75%       03/03/2025      1,310,709  
5,026,813    Pike Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.60%       03/21/2025      5,049,333  
2,850,000    Ply Gem Holdings, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%)      6.09%       04/12/2025      2,847,335  
2,470,000    Plantronics, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.50%)      4.80%       06/02/2025      2,468,851  
4,147,791    Playa Resorts Holding BV, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       04/29/2024      4,108,905  
4,997,250    PODS LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.78%       12/06/2024      4,986,006  
1,110,896    Polycom, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor)      7.34%       09/27/2023      1,113,328  
4,940,000    PowerTeam Services LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       03/06/2025      4,889,069  
946,779    Precyse Acquisition Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.59%       10/20/2022      942,343  
4,112,161    Prime Security Services Borrower LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       05/02/2022      4,097,439  
2,605,000    Pro Mach Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.02%       03/07/2025      2,576,019  
3,057,970    Project Alpha Intermediate Holding, Inc., Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)      5.99%       04/26/2024      3,046,502  
2,665,000    Quest Software US Holdings, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.58%       05/16/2025      2,658,897  
1,787,310    RCN Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       02/01/2024      1,763,709  
4,855,000    Radiology Partners Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.55%       07/04/2025      4,824,656  
1,175,000    Renaissance Holding Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       06/02/2025      1,170,782  
2,887,058    RentPath LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.85%  ¥     12/17/2021      2,648,876  
3,366,089    Reynolds Group, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       02/06/2023      3,363,278  
2,591,017    Robertshaw US Holding Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.63%       02/28/2025      2,591,017  
   Scientific Games International, Inc., Guaranteed Senior Secured 1st Lien Term Loan         
4,222,682    (2 Month LIBOR USD + 2.75%)      4.92%       08/14/2024      4,200,259  
990,506    (1 Month LIBOR USD + 2.75%)      4.94%       08/14/2024      985,246  
2,945,683    SCS Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       10/31/2022      2,958,570  
620,000    Securus Technologies Holdings LLC, Senior Secured 1st Lien Delayed-Draw Term Loan      6.82%  ±&     11/01/2024      623,875  
4,278,489    Securus Technologies Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.59%       11/01/2024      4,305,230  
3,878,250    Select Medical Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.80%       03/01/2021      3,877,048  
1,050,000    Severin Aquisition LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.61%       07/31/2025      1,044,094  
2,850,000    Sinclair Television Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.50%)      3.98%       12/12/2024      2,844,671  
3,175,000    SIWF Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%)      6.32%       06/13/2025      3,194,844  
1,035,000    LUX HOLDCO III, Senior Secured 1st Lien Term Loan (2 Month LIBOR USD + 3.00%)      5.10%       03/28/2025      1,035,864  
1,805,000    SMG US Midco 2, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       01/23/2025      1,805,000  
2,059,338    SolarWinds Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       02/05/2024      2,061,047  
2,755,000    Solenis International LP, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.30%       12/18/2023      2,752,755  
570,000    Solenis International LP, Guaranteed Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 8.50%)      10.68%       06/18/2024      563,588  
5,183,956    Solera LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       03/03/2023      5,167,756  
5,096,159    Sophia LP, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       09/30/2022      5,083,418  
945,000    Sound Inpatient Physicians, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%)      5.30%       06/19/2025      947,367  
3,013,697    Southern Graphics Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       12/30/2022      3,011,347  
585,000    SRS Distribution, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       05/23/2025      577,202  
1,547,059    StandardAero Aviation Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       07/07/2022      1,551,414  
1,384,047    Staples, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.36%       09/12/2024      1,367,833  
985,000    Stars Group Holdings B.V., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.80%       07/31/2025      980,075  
1,427,812    Syncreon Group BV, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       10/28/2020      1,351,067  
3,061,836    Team Health Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       02/06/2024      2,950,845  
3,339,222    Telesat Canada, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.50%, 0.75% Floor)      4.84%       11/17/2023      3,320,439  
3,236,847    Tempo Acquisition LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       05/01/2024      3,228,075  
3,370,000    Tenneco, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.73%       06/18/2025      3,342,636  
4,670,000    Titan Acquisition Ltd., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       03/28/2025      4,606,978  
4,222,063    TKC Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.85%       02/01/2023      4,219,425  
4,989,438    Transdigm, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       06/09/2023      4,966,361  
2,025,255    Transdigm, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       05/30/2025      2,012,445  
2,055,141    Travel Leaders Group LLC, Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 4.50%)      7.00%       01/25/2024      2,070,554  
1,466,584    TravelClick Holdings Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       05/06/2021      1,482,628  
2,595,000    Traverse Midstream Partners LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.34%       09/27/2024      2,598,010  
2,243,594    Tribune Media Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       01/26/2024      2,244,996  
119,685    Tribune Media Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       12/24/2020      119,984  
3,368,547    US Renal Care, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.58%       12/30/2022      3,325,025  
4,065,000    U.S. Silica Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.13%       05/01/2025      4,070,081  
3,521,901    UFC Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       08/18/2023      3,528,945  
1,685,888    Ultra Resources, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       04/12/2024      1,557,347  
3,453,537    USAGM HoldCo LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       07/28/2022      3,408,572  
435,000    USIC Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       12/08/2023      434,817  
590,000    Valeant Pharmaceuticals International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      4.98%       06/02/2025      588,773  
3,615,395    VF Holdings Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       06/30/2023      3,597,318  
3,205,000    VF Holdings Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.57%       06/04/2025      3,188,655  
375,000    West Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.48%       10/10/2024      372,617  
3,027,413    West Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       10/10/2024      3,020,979  
3,546,113    Wink Holdco, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       12/02/2024      3,528,932  
2,640,000    WP CPP Holdings LLC, Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.75%)      6.28%       04/30/2025      2,656,170  
3,305,000    Yak Access LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.00%)      7.32%       07/31/2025      3,205,850  
3,720,593    York Risk Services Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       10/01/2021      3,620,267  
1,300,000    Zodiac Pool Solutions LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.25%)      4.26%       03/07/2025      1,298,375  
2,972,770    Zodiac Pool Solutions LLC, Guaranteed Senior Secured 1st Lien Term Loan (Prime Rate + 3.00%, 1.00% Floor)      8.00%       12/20/2023      2,972,770  
           

 

 

  

Total Bank Loans (Cost $562,628,743)

            559,713,912  
        

 

 

  

Collateralized Loan Obligations - 2.7%

         
875,000    Adams Mill Ltd., Series 2014-1A-D1, (3 Month LIBOR USD + 3.50%)      5.85%  ^     07/15/2026      876,490  
1,000,000    AIMCO, Series 2018-AA-D, (3 Month LIBOR USD + 2.55%)      4.39%  ^     04/17/2031      997,775  
3,000,000    ALM LLC, Series 2013-7RA-CR, (3 Month LIBOR USD + 4.04%)      6.39%  ^     10/15/2028      3,049,973  
3,800,000    ALM LLC, Series 2013-8A-CR, (3 Month LIBOR USD + 3.95%, 3.95% Floor)      6.30%  ^     10/15/2028      3,819,703  
2,700,000    ALM LLC, Series 2016-19A-B, (3 Month LIBOR USD + 3.00%)      5.35%  ^     07/15/2028      2,725,781  
2,000,000    ALM LLC, Series 2016-19A-C, (3 Month LIBOR USD + 4.35%)      6.70%  ^     07/15/2028      2,018,092  
1,000,000    Apidos Ltd., Series 2013-12A-DR, (3 Month LIBOR USD + 2.60%)      4.64%  ^     04/15/2031      985,769  
1,489,113    Apidos Ltd., Series 2013-16A-A1R, (3 Month LIBOR USD + 0.98%)      3.34%  ^     01/19/2025      1,489,842  
2,950,000    Apidos Ltd., Series 2013-16A-BR, (3 Month LIBOR USD + 1.95%)      4.31%  ^     01/19/2025      2,954,404  
1,000,000    Apidos Ltd., Series 2014-18A-D, (3 Month LIBOR USD + 5.20%)      7.56%  ^     07/22/2026      1,003,428  
1,500,000    Apidos Ltd., Series 2015-20A-C, (3 Month LIBOR USD + 3.70%)      6.05%  ^     01/16/2027      1,499,965  
2,250,000    Apidos Ltd., Series 2015-21A-C, (3 Month LIBOR USD + 3.55%, 3.55% Floor)      5.91%  ^     07/18/2027      2,250,000  
5,000,000    Atrium Corporation, Series 9A-DR, (3 Month LIBOR USD + 3.60%)      5.92%  ^     05/28/2030      5,043,175  
5,000,000    Babson Ltd., Series 2015-2A-DR, (3 Month LIBOR USD + 2.95%)      5.31%  ^     10/20/2030      4,993,502  
3,400,000    Babson Ltd., Series 2015-IA-DR, (3 Month LIBOR USD + 2.60%, 2.60% Floor)      4.96%  ^     01/20/2031      3,371,922  
3,250,000    Babson Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 3.60%)      5.96%  ^     07/18/2029      3,263,004  
2,250,000    Barings Ltd., Series 2016-3A-C, (3 Month LIBOR USD + 3.95%, 3.95% Floor)      6.30%  ^     01/15/2028      2,270,387  
2,000,000    Barings Ltd., Series 2018-1A-C, (3 Month LIBOR USD + 2.60%)      4.92%  ^     04/15/2031      2,000,365  
5,100,000    Barings Ltd., Series 2018-3A-D, (3 Month LIBOR USD + 2.90%)      4.97%  ^     07/20/2029      5,099,910  
1,000,000    Birchwood Park Ltd., Series 2014-1A-E2, (3 Month LIBOR USD + 6.40%)      8.75%  ^     07/15/2026      1,001,470  
10,100,000    BlueMountain Ltd., Series 2012-2A-DR, (3 Month LIBOR USD + 4.15%)      6.48%  ^     11/20/2028      10,207,088  
3,000,000    BlueMountain Ltd., Series 2013-1A-CR, (3 Month LIBOR USD + 4.15%)      6.51%  ^     01/20/2029      3,031,077  
5,000,000    BlueMountain Ltd., Series 2015-2A-D, (3 Month LIBOR USD + 3.55%, 3.55% Floor)      5.91%  ^     07/18/2027      5,016,778  
4,000,000    BlueMountain Ltd., Series 2015-3A-CR, (3 Month LIBOR USD + 2.60%)      4.94%  ^     04/20/2031      4,007,425  
2,000,000    BlueMountain Ltd., Series 2016-3A-D, (3 Month LIBOR USD + 3.85%)      6.19%  ^     11/15/2027      2,010,309  
2,000,000    Bristol Park Ltd., Series 2016-1A-D, (3 Month LIBOR USD + 4.10%)      6.45%  ^     04/15/2029      2,033,203  
5,000,000    California Street LP, Series 2012-9A-DR, (3 Month LIBOR USD + 3.96%)      6.31%  ^     10/16/2028      5,020,544  
2,750,000    Canyon Capital Ltd., Series 2014-1A-CR, (3 Month LIBOR USD + 2.75%, 2.75% Floor)      5.11%  ^     01/30/2031      2,725,619  
1,500,000    Canyon Capital Ltd., Series 2014-2A-DR, (3 Month LIBOR USD + 3.65%)      6.00%  ^     04/15/2029      1,510,218  
3,000,000    Canyon Capital Ltd., Series 2016-1A-DR, (3 Month LIBOR USD + 2.80%)      0.00%  ^     07/15/2031      3,003,749  
1,500,000    Canyon Capital Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 3.60%)      5.95%  ^     07/15/2030      1,506,587  
4,000,000    Canyon Capital Ltd., Series 2018-1A-D, (3 Month LIBOR USD + 2.90%, 2.90% Floor)      4.94%  ^     07/15/2031      3,999,563  
2,000,000    Carlyle Ltd., Series 2016-4A-C, (3 Month LIBOR USD + 3.90%)      6.26%  ^     10/20/2027      2,012,209  
5,000,000    Cent Ltd., Series 2014-21A-D, (3 Month LIBOR USD + 5.00%)      7.37%  ^     07/27/2026      4,998,093  
1,000,000    Cent Ltd., Series 2014-22A-C, (3 Month LIBOR USD + 3.75%)      6.11%  ^     11/07/2026      1,003,154  
3,250,000    Cook Park Ltd., Series 2018-1A-D, (3 Month LIBOR USD + 2.60%)      4.95%  ^     04/17/2030      3,248,383  
10,000,000    CVP Ltd., Series 2017-1A-A, (3 Month LIBOR USD + 1.34%)      3.70%  ^     07/20/2030      10,076,907  
10,000,000    Dryden Senior Loan Fund, Series 2014-33A-DR, (3 Month LIBOR USD + 4.35%)      6.70%  ^     10/15/2028      10,089,574  
2,000,000    Dryden Senior Loan Fund, Series 2018-57A-D, (3 Month LIBOR USD + 2.55%, 2.55% Floor)      4.44%  ^     05/15/2031      1,999,151  
2,250,000    Fillmore Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%)      0.00%  ^     07/15/2030      2,250,000  
2,000,000    Gilbert Park Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 2.95%)      5.30%  ^     10/15/2030      2,001,224  
4,000,000    Gilbert Park Ltd., Series 2017-1A-E, (3 Month LIBOR USD + 6.40%)      8.75%  ^     10/15/2030      4,071,201  
2,000,000    GoldenTree Loan Management Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 3.35%)      5.71%  ^     04/20/2029      2,007,331  
5,000,000    GoldenTree Loan Management Ltd., Series 2018-3A-D, (3 Month LIBOR USD + 2.85%)      5.29%  ^     04/20/2030      4,999,687  
5,250,000    GoldenTree Loan Opportunities Ltd., Series 2015-10A-D, (3 Month LIBOR USD + 3.35%, 3.35% Floor)      5.71%  ^     07/20/2027      5,256,082  
3,500,000    GoldenTree Loan Opportunities Ltd., Series 2015-11A-DR2, (3 Month LIBOR USD + 2.40%)      4.76%  ^     01/18/2031      3,494,705  
740,000    Halcyon Loan Advisors Funding Ltd., Series 2013-2A-C, (3 Month LIBOR USD + 2.70%)      5.06%  ^     08/01/2025      741,092  
1,500,000    Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D, (3 Month LIBOR USD + 3.65%)      6.01%  ^     10/22/2025      1,502,091  
2,500,000    Highbridge Loan Management Ltd., Series 2016-8A-DR, (3 Month LIBOR USD + 2.90%, 2.90% Floor)      0.00%  ^     07/20/2030      2,500,000  
3,500,000    Jay Park Ltd., Series 2016-1A-C, (3 Month LIBOR USD + 3.85%)      6.21%  ^     10/20/2027      3,513,878  
4,000,000    LCM LP, Series 14A-DR, (3 Month LIBOR USD + 2.75%)      5.15%  ^     07/20/2031      4,000,243  
1,000,000    LCM LP, Series 16A-DR, (3 Month LIBOR USD + 3.00%)      5.35%  ^     07/15/2026      1,002,482  
2,000,000    LCM LP, Series 19A-D, (3 Month LIBOR USD + 3.45%, 3.45% Floor)      5.80%  ^     07/15/2027      2,005,348  
750,000    Madison Park Funding Ltd., Series 2014-14A-E, (3 Month LIBOR USD + 4.75%)      7.11%  ^     07/20/2026      752,659  
2,000,000    Madison Park Funding Ltd., Series 2014-15A-CR, (3 Month LIBOR USD + 3.45%)      5.82%  ^     01/27/2026      2,003,399  
1,250,000    Madison Park Funding Ltd., Series 2014-15A-DR, (3 Month LIBOR USD + 5.44%)      7.81%  ^     01/27/2026      1,253,113  
1,000,000    Madison Park Funding Ltd., Series 2015-16A-D, (3 Month LIBOR USD + 5.50%)      7.86%  ^     04/20/2026      1,003,699  
5,000,000    Madison Park Funding Ltd., Series 2015-18A-DR, (3 Month LIBOR USD + 2.95%)      5.31%  ^     10/21/2030      5,018,750  
5,600,000    Octagon Investment Partners Ltd., Series 2012-1A-CR, (3 Month LIBOR USD + 4.00%)      6.35%  ^     07/15/2029      5,666,161  
2,000,000    Octagon Investment Partners Ltd., Series 2013-1A-D, (3 Month LIBOR USD + 3.35%)      5.70%  ^     07/17/2025      2,002,657  
2,000,000    Octagon Investment Partners Ltd., Series 2013-1A-DR, (3 Month LIBOR USD + 3.00%, 3.00% Floor)      0.00%  ^     07/17/2030      2,000,000  
6,900,000    Octagon Investment Partners Ltd., Series 2013-1A-DR, (3 Month LIBOR USD + 3.70%)      6.06%  ^     07/19/2030      6,962,790  
2,000,000    Octagon Investment Partners Ltd., Series 2013-1A-E, (3 Month LIBOR USD + 4.50%)      6.85%  ^     07/17/2025      1,967,590  
2,500,000    Octagon Investment Partners Ltd., Series 2014-1A-ERR, (3 Month LIBOR USD + 5.45%, 5.45% Floor)      7.81%  ^     01/22/2030      2,478,075  
3,500,000    Octagon Investment Partners Ltd., Series 2016-1A-C, (3 Month LIBOR USD + 3.00%)      5.35%  ^     07/15/2027      3,503,840  
10,000,000    Octagon Investment Partners Ltd., Series 2016-1A-D, (3 Month LIBOR USD + 4.75%)      7.10%  ^     07/15/2027      10,012,644  
4,000,000    Octagon Investment Partners Ltd., Series 2017-1A-C, (3 Month LIBOR USD + 3.50%)      5.86%  ^     03/17/2030      4,027,615  
1,760,000    Octagon Investment Partners Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 6.20%)      8.56%  ^     03/17/2030      1,769,292  
2,500,000    Octagon Investment Partners Ltd., Series 2018-2A-C, (3 Month LIBOR USD + 2.85%)      0.00%  ^     07/25/2030      2,500,000  
10,000,000    Stewart Park Ltd., Series 2015-1A-DR, (3 Month LIBOR USD + 2.60%, 2.60% Floor)      4.95%  ^     01/15/2030      9,889,936  
2,500,000    Symphony Ltd., Series 2016-17A-DR, (3 Month LIBOR USD + 2.65%)      5.00%  ^     04/15/2028      2,500,144  
4,000,000    TCI-Cent Ltd., Series 2016-1A-C, (3 Month LIBOR USD + 4.00%)      6.37%  ^     12/21/2029      4,037,398  
2,000,000    TCI-Cent Ltd., Series 2017-1A-C, (3 Month LIBOR USD + 3.65%)      6.01%  ^     07/25/2030      2,018,620  
5,000,000    TCI-Flatiron Ltd., Series 2016-1A-C, (3 Month LIBOR USD + 3.05%)      5.40%  ^     07/17/2028      5,029,096  
5,000,000    TCI-Symphony Ltd., Series 2016-1A-D, (3 Month LIBOR USD + 3.80%, 3.80% Floor)      6.14%  ^     10/13/2029      5,021,657  
2,000,000    Thacher Park Ltd., Series 2014-1A-D1R, (3 Month LIBOR USD + 3.40%)      5.76%  ^     10/20/2026      2,005,293  
3,000,000    Voya Ltd., Series 2014-1A-CR2, (3 Month LIBOR USD + 2.80%)      5.16%  ^     04/18/2031      3,006,023  
4,000,000    Voya Ltd., Series 2018-2A-D, (3 Month LIBOR USD + 2.75%, 2.75% Floor)      5.12%  ^     07/15/2031      3,999,285  
2,000,000    Wind River Ltd., Series 2012-1A-DR, (3 Month LIBOR USD + 4.10%)      6.45%  ^     01/15/2026      2,017,287  
2,810,000    Wind River Ltd., Series 2013-1A-CR, (3 Month LIBOR USD + 3.65%)      6.01%  ^     07/20/2030      2,842,979  
2,250,000    Wind River Ltd., Series 2014-1A-DRR, (3 Month LIBOR USD + 3.00%, 3.00% Floor)      0.00%  ^     07/18/2031      2,249,746  
1,000,000    Wind River Ltd., Series 2014-2A-ER, (3 Month LIBOR USD + 5.75%, 5.75% Floor)      8.10%  ^     01/15/2031      990,481  
4,100,000    Wind River Ltd., Series 2016-1A-C, (3 Month LIBOR USD + 3.20%)      5.55%  ^     07/15/2028      4,099,917  
2,000,000    Wind River Ltd., Series 2016-1A-D, (3 Month LIBOR USD + 4.65%)      7.00%  ^     07/15/2028      1,999,931  
3,000,000    Wind River Ltd., Series 2017-3A-D, (3 Month LIBOR USD + 3.15%)      5.50%  ^     10/15/2030      3,005,590  
4,000,000    Wind River Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%)      0.00%  ^     07/15/2030      4,000,000  
           

 

 

  

Total Collateralized Loan Obligations (Cost $276,995,633)

            279,195,619  
        

 

 

  

Foreign Corporate Bonds - 9.4%

         
1,000,000    Adani Ports & Special Economic Zone Ltd.      3.50%       07/29/2020      988,960  
3,700,000    Adani Ports & Special Economic Zone Ltd.      3.95%       01/19/2022      3,633,285  
14,235,000    AerCap Global Aviation Trust      3.50%       01/15/2025      13,370,448  
6,200,000    AES Andres B.V.      7.95%  ^     05/11/2026      6,417,000  
1,700,000    Ajecorp B.V.      6.50%       05/14/2022      1,355,750  
950,000    Alcoa Nederland Holding B.V.      6.13%  ^     05/15/2028      958,312  
2,000,000    Alibaba Group Holding Ltd.      3.13%       11/28/2021      1,981,608  
500,000    Alibaba Group Holding Ltd.      2.80%       06/06/2023      481,584  
2,000,000    America Movil S.A.B. de C.V.      5.00%       03/30/2020      2,056,879  
2,000,000    America Movil S.A.B. de C.V.      3.13%       07/16/2022      1,968,759  
13,020,000    Anglo American Capital PLC      4.50%  ^     03/15/2028      12,585,969  
620,000    Ardagh Packaging Finance, Inc.      7.25%  ^     05/15/2024      647,125  
3,150,000    Ardagh Packaging Finance, Inc.      6.00%  ^     02/15/2025      3,075,187  
13,375,000    AstraZeneca Plc      2.38%       06/12/2022      12,877,381  
4,005,000    Avation Capital S.A.      6.50%  ^     05/15/2021      4,035,037  
11,430,000    Axiata SPV2 BHD      3.47%       11/19/2020      11,380,851  
1,000,000    Banco BTG Pactual S.A.      5.50%       01/31/2023      932,500  
200,000    Banco BTG Pactual S.A., (5 Year CMT Rate + 6.98%)      8.75%  †     09/18/2019      202,604  
2,000,000    Banco de Costa Rica      5.25%  ^     08/12/2018      2,002,400  
200,000    Banco de Costa Rica      5.25%       08/12/2018      200,240  
12,620,000    Banco de Credito del Peru      2.25%       10/25/2019      12,446,475  
3,300,000    Banco de Credito del Peru      5.38%       09/16/2020      3,435,300  
6,200,000    Banco de Credito e Inversiones      4.00%       02/11/2023      6,178,019  
4,100,000    Banco de Reservas de la Republica Dominicana      7.00%       02/01/2023      4,141,000  
1,000,000    Banco de Reservas de la Republica Dominicana      7.00%  ^     02/01/2023      1,010,000  
4,000,000    Banco del Estado de Chile      4.13%       10/07/2020      4,046,802  
4,000,000    Banco del Estado de Chile      2.67%  ^     01/08/2021      3,899,354  
3,250,000    Banco del Estado de Chile      3.88%       02/08/2022      3,247,315  
14,800,000    Banco do Brasil S.A., (10 Year CMT Rate + 4.40%)      6.25%  †     04/15/2024      11,636,500  
12,450,000    Banco International del Peru S.A.A.      5.75%       10/07/2020      13,010,250  
1,000,000    Banco International del Peru S.A.A., (3 Month LIBOR USD + 6.74%)      8.50%       04/23/2070      1,050,000  
1,500,000    Banco Latinoamericano do Comercio Exterior S.A.      3.25%       05/07/2020      1,485,000  
2,000,000    Banco Macro S.A., (5 Year Swap Rate USD + 5.46%)      6.75%       11/04/2026      1,880,000  
200,000    Banco Mercantil del Norte S.A., (5 Year CMT Rate + 5.04%)      6.88%  †     07/06/2022      198,468  
800,000    Banco Nacional de Costa Rica      4.88%       11/01/2018      802,000  
5,300,000    Banco Nacional de Costa Rica      5.88%  ^     04/25/2021      5,391,690  
300,000    Banco Santander      3.88%       09/20/2022      299,028  
13,000,000    Banco Santander, (3 Month LIBOR USD + 1.09%)      3.42%       02/23/2023      13,042,645  
10,305,000    Banco Santander, (5 Year CMT Rate + 4.58%)      5.95%       01/30/2024      10,395,169  
2,640,000    Bancolombia S.A.      6.13%       07/26/2020      2,755,500  
200,000    Bancolombia S.A., (5 Year CMT Rate + 2.93%)      4.88%       10/18/2027      190,252  
2,500,000    Banistmo S.A.      3.65%  ^     09/19/2022      2,365,625  
10,205,000    Bank of Montreal, (5 Year Swap Rate USD + 1.43%)      3.80%       12/15/2032      9,465,750  
1,250,000    Bantrab Senior Trust      9.00%       11/14/2020      1,279,687  
9,890,000    Barclays PLC, (3 Month LIBOR USD + 1.38%)      3.71%       05/16/2024      9,816,134  
1,800,000    BBVA Banco Continental S.A.      5.00%       08/26/2022      1,851,750  
600,000    BBVA Bancomer S.A., (5 Year CMT Rate + 3.00%)      5.35%       11/12/2029      559,500  
1,900,000    BBVA Bancomer S.A., (5 Year CMT Rate + 2.65%)      5.13%       01/18/2033      1,693,375  
2,450,000    BDO Unibank, Inc.      2.63%       10/24/2021      2,361,156  
16,900,000    BDO Unibank, Inc.      2.95%       03/06/2023      16,011,280  
2,100,000    Bharat Petroleum Corporation Ltd.      4.63%       10/25/2022      2,133,579  
11,900,000    Bharti Airtel Ltd.      5.13%       03/11/2023      11,782,987  
7,300,000    Bharti Airtel Ltd.      4.38%       06/10/2025      6,739,268  
13,195,000    BNP Paribas S.A.      3.38%  ^     01/09/2025      12,480,799  
12,300,000    BPRL International Singapore Pte Ltd.      4.38%       01/18/2027      11,704,422  
1,500,000    C&W Senior Financing DAC      6.88%       09/15/2027      1,441,875  
1,250,000    Camposol S.A.      10.50%  ^     07/15/2021      1,318,750  
1,200,000    Canacol Energy Ltd.      7.25%  ^     05/03/2025      1,162,500  
1,800,000    Canacol Energy Ltd.      7.25%       05/03/2025      1,743,750  
6,787,000    Canadian Natural Resources Ltd.      2.95%       01/15/2023      6,552,877  
2,587,000    Celulosa Arauco y Constitucion S.A.      4.75%       01/11/2022      2,651,054  
2,954,000    CK Hutchison International Ltd.      2.88%       04/05/2022      2,880,872  
5,000,000    CK Hutchison International Ltd.      3.50%  ^     04/05/2027      4,801,793  
1,200,000    CNOOC Finance Ltd.      4.25%       01/26/2021      1,224,044  
13,155,000    CNOOC Finance Ltd.      3.75%       05/02/2023      13,139,806  
5,900,000    CNOOC Finance Ltd.      3.50%       05/05/2025      5,695,825  
2,000,000    CNPC General Capital Ltd.      3.95%       04/19/2022      2,019,658  
11,000,000    CNPC Overseas Capital Ltd.      4.50%       04/28/2021      11,303,460  
650,000    Coca-Cola Femsa S.A.B. de C.V.      3.88%       11/26/2023      651,747  
100,000    Colombia Telecomunicaciones S.A., (5 Year Swap Rate USD + 6.96%)      8.50%  †     03/30/2020      104,750  
700,000    Comcel Trust      6.88%       02/06/2024      720,002  
16,755,000    Corpbanca S.A.      3.88%       09/22/2019      16,835,227  
6,610,000    Cosan Overseas Ltd.      8.25%  †     08/05/2018      6,618,263  
13,315,000    Credit Agricole S.A.      3.75%  ^     04/24/2023      13,055,166  
13,175,000    Credit Suisse Group AG, (3 Month LIBOR USD + 1.24%)      3.57%  ^     06/12/2024      13,173,749  
200,000    DBS Group Holdings Ltd., (3 Month LIBOR USD + 0.62%)      2.98%  ^     07/25/2022      200,585  
9,050,000    DBS Group Holdings Ltd., (5 Year Swap Rate USD + 2.39%)      3.60%  †     09/07/2021      8,661,275  
400,000    Delek & Avner Tamar Bond Ltd.      5.08%  ^     12/30/2023      401,120  
1,760,000    Delek & Avner Tamar Bond Ltd.      5.41%  ^     12/30/2025      1,771,880  
3,900,000    Digicel Ltd.      7.13%  ^     04/01/2022      2,583,750  
7,100,000    Digicel Ltd.      7.13%       04/01/2022      4,703,750  
3,300,000    ECL S.A.      5.63%       01/15/2021      3,421,597  
11,000,000    Ecopetrol S.A.      7.63%       07/23/2019      11,509,300  
2,500,000    Ecopetrol S.A.      5.88%       09/18/2023      2,656,250  
11,034,000    Embotelladora Andina S.A.      5.00%       10/01/2023      11,454,465  
1,275,971    Empresa Electrica Angamos S.A.      4.88%       05/25/2029      1,249,152  
6,509,978    ENA Norte Trust      4.95%       04/25/2023      6,558,803  
9,000,000    ESAL GMBH      6.25%       02/05/2023      8,426,250  
200,000    Export-Import Bank of India      2.75%       04/01/2020      196,626  
2,000,000    Export-Import Bank of India      3.13%       07/20/2021      1,953,200  
4,800,000    Export-Import Bank of India      4.00%       01/14/2023      4,763,078  
2,415,000    FMG Resources Ltd.      4.75%  ^     05/15/2022      2,339,531  
700,000    Fomento Economico Mexicano S.A.B. de C.V.      2.88%       05/10/2023      669,430  
2,000,000    Fondo Mivivienda S.A.      3.50%  ^     01/31/2023      1,933,020  
2,000,000    Fondo Mivivienda S.A.      3.50%       01/31/2023      1,933,020  
14,200,000    Fortis, Inc.      2.10%       10/04/2021      13,559,541  
1,500,000    Fresnillo PLC      5.50%       11/13/2023      1,552,500  
3,100,000    Geopark Ltd.      6.50%       09/21/2024      2,989,361  
12,200,000    Global Bank Corporation      5.13%       10/30/2019      12,319,560  
1,500,000    Global Bank Corporation      4.50%  ^     10/20/2021      1,464,000  
10,500,000    Gohl Capital Ltd.      4.25%       01/24/2027      9,957,559  
3,999,000    Gran Tierra Energy International Holdings Ltd.      6.25%       02/15/2025      3,764,059  
2,890,000    Grupo Idesa S.A. de C.V.      7.88%  ^     12/18/2020      2,254,200  
5,000,000    Grupo Idesa S.A. de C.V.      7.88%       12/18/2020      3,900,000  
6,886,935    Guanay Finance Ltd.      6.00%       12/15/2020      6,938,587  
1,200,000    Guatemala Energuate Trust      5.88%  ^     05/03/2027      1,155,000  
3,696,000    GW Honos Security Corporation      8.75%  ^     05/15/2025      3,788,400  
19,800,000    HSBC Holdings PLC, (3 Month LIBOR USD + 0.99%)      3.95%       05/18/2024      19,757,980  
2,090,000    Hulk Finance Corporation      7.00%  ^     06/01/2026      2,006,400  
4,200,000    Hutchison Whampoa International Ltd.      3.25%       11/08/2022      4,137,102  
3,908,000    Indian Oil Corporation Ltd.      5.63%       08/02/2021      4,084,368  
12,867,000    Indian Oil Corporation Ltd.      5.75%       08/01/2023      13,591,875  
5,084,000    Industrial Senior Trust      5.50%       11/01/2022      5,026,805  
400,000    Inkia Energy Ltd.      5.88%       11/09/2027      374,500  
2,350,000    Intelsat Jackson Holdings S.A.      5.50%       08/01/2023      2,114,295  
4,662,976    Interoceanica Finance Ltd.      0.00%       11/30/2025      3,986,845  
1,200,000    Inversiones CMPC S.A.      6.13%       11/05/2019      1,245,000  
5,000,000    Inversiones CMPC S.A.      4.50%       04/25/2022      5,054,969  
1,200,000    Israel Electric Corporation Ltd.      5.00%  ^     11/12/2024      1,234,800  
2,800,000    Itau Unibanco Holding S.A., (5 Year CMT Rate + 3.98%)      6.13%  †     12/12/2022      2,621,500  
6,000,000    Itau Unibanco Holding S.A., (5 Year CMT Rate + 3.86%)      6.50%  †     03/19/2023      5,700,000  
3,955,000    Kronos Acquisition Holdings, Inc.      9.00%  ^     08/15/2023      3,569,387  
3,049,000    Latam Finance Ltd.      6.88%       04/11/2024      2,995,643  
5,000,000    Lima Metro Finance Ltd.      5.88%       07/05/2034      5,113,000  
13,685,000    Lloyds Banking Group PLC, (3 Month LIBOR USD + 1.21%)      3.57%       11/07/2028      12,645,842  
7,150,000    Macquarie Group Ltd., (3 Month LIBOR USD + 1.02%)      3.19%  ^     11/28/2023      6,833,648  
6,305,000    Macquarie Group Ltd., (3 Month LIBOR USD + 1.33%)      4.15%  ^     03/27/2024      6,279,799  
1,152,000    Magnesita Finance Ltd.      8.63%  †     07/30/2018      1,150,560  
16,139,000    Malayan Banking BHD, (5 Year Swap Rate USD + 2.54%)      3.91%       10/29/2026      15,916,362  
2,000,000    MARB BondCo PLC      7.00%  ^     03/15/2024      1,930,000  
5,750,000    MARB BondCo PLC      6.88%       01/19/2025      5,480,469  
1,000,000    Marfrig Holdings Europe B.V.      8.00%  ^     06/08/2023      1,016,250  
2,205,000    MEG Energy Corporation      7.00%  ^     03/31/2024      2,069,944  
5,400,000    Minerva Luxembourg S.A.      6.50%       09/20/2026      4,968,000  
3,500,000    Minerva Luxembourg S.A.      5.88%       01/19/2028      3,068,625  
13,170,000    Mitsubishi UFJ Financial Group, Inc., (3 Month LIBOR USD + 0.74%)      3.06%       03/02/2023      13,205,891  
3,940,000    New Red Finance, Inc.      5.00%  ^     10/15/2025      3,747,728  
5,300,000    OAS Financial Ltd., (5 Year CMT Rate + 8.19%)      8.88%  ^†W     07/30/2018      477,000  
1,500,000    OAS Financial Ltd., (5 Year CMT Rate + 8.19%)      8.88%  †W     07/30/2018      135,000  
1,700,000    Odebrecht Finance Ltd.      7.13%       06/26/2042      603,500  
16,500,000    ONGC Videsh Ltd.      3.75%       07/27/2026      15,434,149  
10,189,000    Orange S.A.      2.75%       02/06/2019      10,183,650  
695,000    Orange S.A.      5.38%       07/08/2019      712,075  
827,000    Orange S.A.      1.63%       11/03/2019      811,892  
11,000,000    Oversea-Chinese Banking Corporation, (5 Year Swap Rate USD + 2.20%)      4.00%       10/15/2024      11,044,027  
12,750,000    Pampa Energia S.A.      7.50%       01/24/2027      11,538,750  
8,000,000    Panama Metro Line SP      0.00%  ^     12/05/2022      7,186,000  
11,243,000    Panama Metro Line SP      0.00%       12/05/2022      10,099,025  
1,000,000    Pesquera Exalmar S.A.A.      7.38%       01/31/2020      995,000  
1,800,000    Pesquera Exalmar S.A.A.      7.38%  ^     01/31/2020      1,791,000  
14,700,000    Petrobras Global Finance B.V.      5.75%       02/01/2029      12,945,261  
6,245,000    Petroleos Mexicanos      6.75%       09/21/2047      5,951,485  
6,535,000    Petroleos Mexicanos      6.35%  ^     02/12/2048      5,946,850  
8,000,000    Petronas Capital Ltd.      3.50%       03/18/2025      7,745,688  
1,400,000    Petronas Global Sukuk Ltd.      2.71%       03/18/2020      1,386,361  
3,600,000    PSA International Ltd.      3.88%       02/11/2021      3,658,691  
13,000,000    Reliance Holdings, Inc.      5.40%       02/14/2022      13,504,462  
6,565,000    Royal Bank of Scotland Group PLC, (3 Month LIBOR USD + 1.48%)      3.50%       05/15/2023      6,363,498  
2,300,000    SACI Falabella      3.75%       04/30/2023      2,252,828  
11,662,000    Shire Acquisitions Investments Ireland DAC      2.88%       09/23/2023      10,979,088  
1,000,000    Singtel Group Treasury      4.50%       09/08/2021      1,032,849  
1,372,000    Sinopec Group Overseas Development Ltd.      2.75%       05/03/2021      1,346,032  
10,000,000    Sinopec Group Overseas Development Ltd.      2.75%       09/29/2026      8,996,670  
1,350,000    Stars Group Holdings B.V.      7.00%  ^     07/15/2026      1,366,875  
19,655,000    Sumitomo Mitsui Financial Group, Inc., (3 Month LIBOR USD + 0.74%)      3.09%       01/17/2023      19,688,012  
2,805,000    Superior Plus LP      7.00%  ^     07/15/2026      2,836,556  
350,000    Sydney Airport Finance Company Pty Ltd.      3.63%  ^     04/28/2026      338,242  
4,675,000    Telefonica Chile S.A.      3.88%       10/12/2022      4,635,656  
2,475,000    Telesat LLC      8.88%  ^     11/15/2024      2,654,437  
19,000,000    Temasek Financial Ltd.      2.38%       01/23/2023      18,271,326  
700,000    Tencent Holdings Ltd.      2.88%       02/11/2020      697,006  
3,650,000    Tervita Escrow Corporation      7.63%  ^     12/01/2021      3,741,250  
1,980,000    Teva Pharmaceutical Finance B.V.      6.75%       03/01/2028      2,020,863  
18,260,000    Teva Pharmaceutical Finance Netherlands B.V.      2.80%       07/21/2023      15,784,583  
900,000    Transelec S.A.      4.63%       07/26/2023      923,427  
400,000    Transelec S.A.      3.88%       01/12/2029      367,204  
7,300,000    Transportadora de Gas del Peru S.A.      4.25%       04/30/2028      7,058,005  
2,900,000    Transportadora de Gas Internacional S.A.      5.70%       03/20/2022      2,950,750  
1,000,000    Unifin Financiera S.A.B. de C.V., (5 Year CMT Rate + 6.31%)      8.88%  †     01/29/2025      898,010  
1,418,000    Union Bank of the Philippines      3.37%       11/29/2022      1,349,661  
9,000,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.00%)      3.75%       09/19/2024      9,001,827  
9,895,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.24%)      3.50%       09/16/2026      9,720,818  
9,700,000    UPL Corporation      3.25%       10/13/2021      9,403,723  
3,000,000    Vedanta Resources PLC      6.13%       08/09/2024      2,644,266  
1,000,000    VTR Finance B.V.      6.88%       01/15/2024      1,008,450  
19,775,000    Westpac Banking Corporation, (3 Month LIBOR USD + 0.72%)      3.06%       05/15/2023      19,805,898  
8,750,000    YPF S.A.      8.50%       07/28/2025      8,364,563  
4,200,000    YPF S.A.      6.95%       07/21/2027      3,617,250  
           

 

 

  

Total Foreign Corporate Bonds (Cost $1,020,745,029)

            983,259,051  
        

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.6%

 

      
11,200,000    Argentine Republic Government International Bond      6.88%       01/26/2027      9,898,000  
4,500,000    Argentine Republic Government International Bond      5.88%       01/11/2028      3,670,313  
3,000,000    Argentine Republic Government International Bond      6.63%       07/06/2028      2,538,750  
12,300,000    Chile Government International Bond      3.13%       03/27/2025      11,900,250  
10,700,000    Chile Government International Bond      3.13%       01/21/2026      10,266,650  
8,140,000    Costa Rica Government International Bond      10.00%       08/01/2020      8,892,950  
10,000,000    Indonesia Government International Bond      4.88%       05/05/2021      10,302,480  
7,700,000    Israel Government International Bond      4.00%       06/30/2022      7,918,734  
1,000,000    Israel Government International Bond      3.15%       06/30/2023      990,636  
9,400,000    Israel Government International Bond      2.88%       03/16/2026      8,945,867  
11,000,000    Malaysia Sovereign Sukuk BHD      3.04%       04/22/2025      10,503,020  
3,239,000    Malaysia Sukuk Global BHD      3.18%       04/27/2026      3,074,299  
4,000,000    Mexico Government International Bond      4.00%       10/02/2023      4,019,500  
11,621,000    Mexico Government International Bond      4.15%       03/28/2027      11,469,927  
14,260,000    Mexico Government International Bond      3.75%       01/11/2028      13,500,655  
8,000,000    Panama Government International Bond      4.00%       09/22/2024      8,080,000  
4,000,000    Panama Government International Bond      3.88%       03/17/2028      3,940,000  
3,000,000    Perusahaan Penerbit      4.15%       03/29/2027      2,895,000  
10,000,000    Perusahaan Penerbit      4.15%  ^     03/29/2027      9,650,000  
3,900,000    Philippine Government International Bond      4.00%       01/15/2021      3,953,535  
17,600,000    Philippine Government International Bond      4.20%       01/21/2024      17,995,243  
8,950,000    Provincia de Buenos Aires      7.88%       06/15/2027      7,876,000  
500,000    Wakala Global Sukuk BHD      4.65%       07/06/2021      518,110  
           

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $181,337,541)

      172,799,919  
        

 

 

  

Municipal Bonds - 0.1%

         
3,290,000    Missouri Highway & Transportation Commission      5.06%       05/01/2024      3,581,560  
4,430,000    State of California      7.55%       04/01/2039      6,548,736  
           

 

 

  

Total Municipal Bonds (Cost $10,131,759)

            10,130,296  
        

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 7.3%

 

      
11,235,000    Atrium Hotel Portfolio Trust, Series 2017-ATRM-E, (1 Month LIBOR USD + 3.05%)      5.12%  ^     12/15/2036      11,231,159  
12,071,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-D, (1 Month LIBOR USD + 2.30%, 2.30% Floor)      4.26%  ^     06/15/2035      12,101,146  
118,650,000    BAMLL Commercial Mortgage Securities Trust, Series 2015-200P-XA      0.50%  #^I/O     04/14/2033      2,834,608  
7,609,437    BANK, Series 2017-BNK8-XA      0.89%  #I/O     11/15/2050      429,183  
191,413,710    BANK, Series 2018-BN10-XA      0.90%  #I/O     02/15/2061      10,942,414  
76,739,415    Barclays Commercial Mortgage Securities LLC, Series 2017-C1-XA      1.69%  #I/O     02/15/2050      7,506,849  
1,508,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C, (1 Month LIBOR USD + 1.20%)      3.27%  ^     08/15/2036      1,509,587  
1,719,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D, (1 Month LIBOR USD + 1.70%)      3.77%  ^     08/15/2036      1,720,886  
3,600,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E, (1 Month LIBOR USD + 2.50%)      4.57%  ^     08/15/2036      3,617,090  
3,451,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F, (1 Month LIBOR USD + 3.50%)      5.57%  ^     08/15/2036      3,474,188  
11,646,000    BBCMS Mortgage Trust, Series 2018-TALL-A, (1 Month LIBOR USD + 0.72%)      2.80%  ^     03/15/2037      11,650,132  
3,775,000    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.57%  #     01/12/2045      3,467,214  
3,283,000    BX Commercial Mortgage Trust, Series 2018-BIOA-D, (1 Month LIBOR USD + 1.32%, 1.35% Floor)      3.39%  ^     03/15/2037      3,272,826  
4,128,000    BX Trust, Series 2017-IMC-D, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.32%  ^     10/15/2032      4,140,830  
6,657,000    BX Trust, Series 2017-IMC-E, (1 Month LIBOR USD + 3.25%, 3.25% Floor)      5.32%  ^     10/15/2032      6,691,431  
3,836,000    BX Trust, Series 2017-SLCT-D, (1 Month LIBOR USD + 2.05%)      4.12%  ^     07/15/2034      3,844,402  
6,308,000    BX Trust, Series 2017-SLCT-E, (1 Month LIBOR USD + 3.15%)      5.22%  ^     07/15/2034      6,341,565  
11,802,000    BX Trust, Series 2018-BILT-A, (1 Month LIBOR USD + 0.80%, 0.80% Floor)      2.70%  ^     05/15/2030      11,799,550  
8,207,000    BX Trust, Series 2018-BIOA-E, (1 Month LIBOR USD + 1.95%, 1.98% Floor)      4.02%  ^     03/15/2037      8,183,567  
11,731,000    BX Trust, Series 2018-MCSF, (1 Month LIBOR USD + 2.65%, 2.65% Floor)      4.72%  ^     04/15/2035      11,654,392  
1,564,000    Caesars Palace Las Vegas Trust, Series 2017-VICI-D      4.50%  #^     10/15/2034      1,574,964  
4,617,000    Caesars Palace Las Vegas Trust, Series 2017-VICI-E      4.50%  #^     10/15/2034      4,537,209  
73,985,390    CFCRE Commercial Mortgage Trust, Series 2016-C3-XA      1.22%  #I/O     01/10/2048      4,699,152  
3,214,000    CGCMT Commercial Mortgage Trust, Series 2016-SMPL-D      3.52%  ^     09/10/2031      3,160,191  
11,498,000    CGGS Commercial Mortgage Trust, Series 2018-WSS-D, (1 Month LIBOR USD + 2.30%, 2.30% Floor)      4.37%  ^     02/15/2037      11,549,541  
7,196,000    CHT Mortgage Trust, Series 2017-CSMO-E, (1 Month LIBOR USD + 3.00%, 3.00% Floor)      5.07%  ^     11/15/2036      7,251,906  
3,838,000    CHT Mortgage Trust, Series 2017-CSMO-F, (1 Month LIBOR USD + 3.74%, 3.80% Floor)      5.81%  ^     11/15/2036      3,875,916  
8,245,858    Citigroup Commercial Mortgage Trust, Series 2012-GC8-XA      1.97%  #^I/O     09/10/2045      477,655  
4,234,500    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.58%  #^     02/10/2048      3,671,386  
4,125,797    Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA      1.54%  #I/O     02/10/2048      289,236  
5,572,000    Citigroup Commercial Mortgage Trust, Series 2015-GC35-C      4.65%  #     11/10/2048      5,426,194  
73,103,564    Citigroup Commercial Mortgage Trust, Series 2015-GC35-XA      1.03%  #I/O     11/10/2048      3,225,746  
2,605,000    Citigroup Commercial Mortgage Trust, Series 2016-GC36-D      2.85%  ^     02/10/2049      2,007,690  
45,827,542    Citigroup Commercial Mortgage Trust, Series 2016-P3-XA      1.87%  #I/O     04/15/2049      4,393,239  
8,530,000    Citigroup Commercial Mortgage Trust, Series 2016-P4-A4      2.90%       07/10/2049      8,106,874  
58,221,250    Citigroup Commercial Mortgage Trust, Series 2016-P4-XA      2.16%  #I/O     07/10/2049      6,751,633  
83,624,704    Citigroup Commercial Mortgage Trust, Series 2016-P5-XA      1.69%  #I/O    10/10/2049      7,354,801  
6,303,000    Citigroup Commercial Mortgage Trust, Series 2016-P6-A5      3.72%  #     12/10/2049      6,327,625  
1,977,000    Citigroup Commercial Mortgage Trust, Series 2018-C5-C      4.72%  #     06/10/2051      2,016,820  
3,224,000    CLNS Trust, Series 2017-IKPR-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.10%  ^     06/11/2032      3,231,762  
3,224,000    CLNS Trust, Series 2017-IKPR-E, (1 Month LIBOR USD + 3.50%, 3.50% Floor)      5.55%  ^     06/11/2032      3,241,676  
3,224,000    CLNS Trust, Series 2017-IKPR-F, (1 Month LIBOR USD + 4.50%, 4.50% Floor)      6.55%  ^     06/11/2032      3,252,812  
977,211    COBALT Commercial Mortgage Trust, Series 2007-C2-AJFX      5.57%  #     04/15/2047      981,570  
22,783,459    Commercial Mortgage Pass-Through Certificates, Series 2012-CR3-XA      2.04%  #I/O     10/15/2045      1,490,478  
8,626,000    Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-D      4.73%  #^     10/15/2045      4,444,866  
3,739,524    Commercial Mortgage Pass-Through Certificates, Series 2012-LC4-XA      2.38%  #^I/O     12/10/2044      212,389  
7,910,000    Commercial Mortgage Pass-Through Certificates, Series 2013-CR11-D      5.33%  #^     08/10/2050      7,496,543  
3,500,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C      4.65%  #     11/10/2047      3,468,466  
5,000,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR23-D      4.39%  #     05/10/2048      4,120,894  
1,400,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR25-C      4.70%  #     08/10/2048      1,388,916  
60,543,436    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XA      1.18%  #I/O     10/10/2048      3,338,716  
4,310,000    Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-C      4.45%  #     07/10/2048      4,230,658  
5,579,000    Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-C      4.80%  #     10/10/2048      5,546,795  
6,664,000    Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C      4.80%  #     02/10/2049      6,761,706  
3,786,000    Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-C      4.80%  #     02/10/2049      3,683,251  
58,949,543    Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-XA      1.21%  #I/O     02/10/2049      3,529,515  
9,247,000    Commercial Mortgage Pass-Through Certificates, Series 2016-GCT-E      3.58%  #^     08/10/2029      8,893,279  
5,597,000    CSAIL Commercial Mortgage Trust, Series 2015-C4-C      4.74%  #     11/15/2048      5,584,997  
58,545,405    CSAIL Commercial Mortgage Trust, Series 2016-C6-XA      1.96%  #I/O     01/15/2049      5,658,601  
116,462,315    CSAIL Commercial Mortgage Trust, Series 2017-C8-XA      1.40%  #I/O     06/15/2050      8,618,363  
4,944,000    CSMC Trust, Series 2017-CHOP-D, (1 Month LIBOR USD + 1.90%, 1.90% Floor)      3.97%  ^     07/15/2032      4,954,700  
4,944,000    CSMC Trust, Series 2017-CHOP-E, (1 Month LIBOR USD + 3.30%, 3.30% Floor)      5.37%  ^     07/15/2032      4,970,054  
4,503,000    DBGS Mortgage Trust, Series 2018-5BP-D, (1 Month LIBOR USD + 1.35%, 1.35% Floor)      3.25%  ^     06/15/2033      4,484,704  
186,000    DBGS Mortgage Trust, Series 2018-5BP-F, (1 Month LIBOR USD + 2.45%, 2.45% Floor)      4.35%  ^     06/15/2033      185,269  
13,206,000    DBGS Mortgage Trust, Series 2018-BIOD-B, (1 Month LIBOR USD + 0.89%, 0.89% Floor)      2.79%  ^     05/15/2035      13,170,806  
3,055,537    DBUBS Mortgage Trust, Series 2011-LC2A-XA      1.26%  #^I/O    07/10/2044      76,577  
61,436,585    Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA      1.64%  #I/O     05/10/2049      5,332,849  
4,475,000    Deutsche Bank Mortgage Trust, Series 2016-C1-C      3.50%  #     05/10/2049      4,155,718  
3,424,588    FREMF Mortgage Trust, Series 2016-KF22-B, (1 Month LIBOR USD + 5.05%, 5.05% Floor)      7.05%  ^     07/25/2023      3,455,499  
1,651,939    GE Commercial Mortgage Corporation Trust, Series 2007-C1-AM      5.61%  #     12/10/2049      1,639,471  
5,296,000    Great Wolf Trust, Series 2017-WOLF-D, (1 Month LIBOR USD + 2.10%, 1.00% Floor)      4.32%  ^     09/15/2034      5,316,045  
8,210,000    Great Wolf Trust, Series 2017-WOLF-E, (1 Month LIBOR USD + 3.10%, 1.00% Floor)      5.32%  ^     09/15/2034      8,260,450  
4,370,000    Great Wolf Trust, Series 2017-WOLF-F, (1 Month LIBOR USD + 4.07%, 1.00% Floor)      6.29%  ^     09/15/2034      4,401,479  
2,885,716    GS Mortgage Securities Trust, Series 2011-GC5-XA      1.52%  #^I/O     08/10/2044      96,262  
4,850,100    GS Mortgage Securities Trust, Series 2012-GC6-XA      2.14%  #^I/O     01/10/2045      268,904  
3,741,000    GS Mortgage Securities Trust, Series 2014-GC26-C      4.66%  #     11/10/2047      3,668,015  
10,957,000    GS Mortgage Securities Trust, Series 2014-GC26-D      4.66%  #^     11/10/2047      9,419,375  
98,158,007    GS Mortgage Securities Trust, Series 2015-GS1-XA      0.96%  #I/O     11/10/2048      4,709,405  
61,574,608    GS Mortgage Securities Trust, Series 2016-GS2-XA      1.81%  #I/O     05/10/2049      5,684,636  
118,756,315    GS Mortgage Securities Trust, Series 2017-GS7-XA      1.29%  #I/O     08/10/2050      9,325,648  
10,897,000    GS Mortgage Securities Trust, Series 2017-GS8-C      4.48%  #     11/10/2050      10,762,196  
47,101,437    GS Mortgage Securities Trust, Series 2017-GS8-XA      1.13%  #I/O     11/10/2050      3,320,317  
780,103    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP8-X      0.29%  #I/O     05/15/2045      1,220  
822,077    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP9-AM      5.37%       05/15/2047      822,791  
286,733    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-AMFX      5.40%       06/12/2047      286,103  
12,050,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2009-IWST-XB      0.54%  #^I/O     12/05/2027      64,934  
3,102,591    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2011-C4-XA      1.40%  #^I/O     07/15/2046      74,690  
23,415,224    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C8-XA      1.95%  #I/O     10/15/2045      1,397,165  
5,289,460    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA      1.65%  #I/O     06/15/2045      219,641  
78,506,892    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA      1.29%  #I/O     01/15/2049      3,902,868  
2,577,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.30%  ^     07/15/2034      2,582,067  
2,418,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-D, (1 Month LIBOR USD + 1.95%, 1.95% Floor)      4.00%  ^     07/15/2034      2,427,458  
2,141,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-E, (1 Month LIBOR USD + 2.95%, 2.95% Floor)      5.00%  ^     07/15/2034      2,153,618  
3,013,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-F, (1 Month LIBOR USD + 3.75%, 3.75% Floor)      5.80%  ^     07/15/2034      3,034,513  
11,310,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-C, (1 Month LIBOR USD + 1.60%, 1.60% Floor)      3.60%  ^     06/15/2032      11,339,564  
3,721,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-D, (1 Month LIBOR USD + 2.10%, 2.30% Floor)      4.10%  ^     06/15/2032      3,730,474  
1,022,009    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11-AM      6.16%  #     06/15/2049      1,032,168  
1,584,426    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM      5.46%  #     01/15/2049      1,585,981  
2,704,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2-B      3.46%       08/15/2049      2,590,414  
2,080,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2-C      3.94%  #     08/15/2049      1,994,182  
59,869,509    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2-XA      2.00%  #I/O     08/15/2049      6,862,207  
9,281,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E      4.14%  #^     10/05/2031      9,045,482  
52,148,004    JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA      1.10%  #I/O     02/15/2047      1,987,084  
3,000,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-C      4.81%  #     08/15/2047      2,971,770  
2,766,125    JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C      4.60%  #     09/15/2047      2,779,930  
3,766,500    JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-C      4.59%  #     11/15/2047      3,719,137  
57,106,911    JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA      1.10%  #I/O     11/15/2047      2,391,466  
49,029,020    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA      1.26%  #I/O     01/15/2048      2,133,709  
12,131,110    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D      3.98%  #^     02/15/2048      10,707,921  
50,633,650    JPMBB Commercial Mortgage Securities Trust, Series 2015-C31-XA      1.12%  #I/O     08/15/2048      2,467,601  
4,750,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C      4.82%  #     11/15/2048      4,712,076  
6,470,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C      4.77%  #     12/15/2048      6,496,126  
6,122,000    JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-C      4.90%  #     03/15/2049      6,193,637  
63,048,343    JPMBB Commercial Mortgage Securities Trust, Series 2016-C2-XA      1.85%  #I/O     06/15/2049      5,295,954  
93,447,000    JPMDB Commercial Mortgage Securities Trust, Series 2018-C8-XA      0.66%  #I/O     06/15/2051      4,353,004  
593,343    LB-UBS Commercial Mortgage Trust, Series 2006-C7-XCL      0.90%  #^I/O     11/15/2038      286  
478,523    LB-UBS Commercial Mortgage Trust, Series 2006-C7-XW      0.90%  #^I/O     11/15/2038      231  
5,425,000    LSTAR Commercial Mortgage Trust, Series 2016-4-C      4.70%  #^     03/10/2049      4,908,791  
270,128    Merrill Lynch Mortgage Trust, Series 2006-C1-AJ      5.78%  #     05/12/2039      271,670  
2,070,575    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5-XA      1.63%  #^I/O     08/15/2045      96,908  
3,000,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C      4.49%  #     10/15/2047      2,902,305  
4,000,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C      4.00%       12/15/2047      3,799,834  
38,030,161    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-XA      1.52%  #I/O     02/15/2048      2,373,413  
4,600,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25-C      4.68%  #     10/15/2048      4,612,609  
7,500,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26-D      3.06%  ^     10/15/2048      6,041,167  
4,674,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C      4.68%  #     12/15/2047      4,508,905  
6,710,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D      3.24%  #^     12/15/2047      5,355,042  
74,525,976    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30-XA      1.59%  #I/O     09/15/2049      6,597,762  
6,907,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32-A4      3.72 %      12/15/2049      6,910,726  
3,022,000    Morgan Stanley Capital Trust, Series 2017-ASHF-D, (1 Month LIBOR USD + 2.20%, 2.20% Floor)      4.27%  ^     11/15/2034      3,037,155  
4,533,000    Morgan Stanley Capital Trust, Series 2017-ASHF-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%  ^     11/15/2034      4,534,129  
3,434,000    Morgan Stanley Capital Trust, Series 2017-ASHF-F, (1 Month LIBOR USD + 4.35%, 4.35% Floor)      6.42%  ^     11/15/2034      3,457,640  
10,226,567    Morgan Stanley Capital, Inc., Series 2011-C1-XA      0.57%  #^I/O     09/15/2047      78,359  
4,000,000    Morgan Stanley Capital, Inc., Series 2014-CPT-G      3.56%  #^     07/13/2029      3,855,916  
4,000,000    Morgan Stanley Capital, Inc., Series 2014-MP-D      3.82%  #^     08/11/2033      3,942,789  
90,435,005    Morgan Stanley Capital, Inc., Series 2015-UBS8-XA      1.08%  #I/O     12/15/2048      4,944,290  
31,421,616    Morgan Stanley Capital, Inc., Series 2016-UB11-XA      1.79%  #I/O     08/15/2049      2,855,062  
8,209,473    MSCG Trust, Series 2016-SNR-C      5.21%  ^     11/15/2034      8,187,350  
8,000,000    Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      2.87%  ^     06/15/2035      8,020,000  
2,108,000    Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-C, (1 Month LIBOR USD + 2.20%, 2.20% Floor)      4.12%  ^     06/15/2035      2,108,173  
2,242,564    PFP Ltd., Series 2017-3-A, (1 Month LIBOR USD + 1.05%)      3.12%  ^     01/14/2035      2,247,246  
2,851,000    PFP Ltd., Series 2017-3-AS, (1 Month LIBOR USD + 1.30%)      3.37%  ^     01/14/2035      2,859,105  
1,639,000    PFP Ltd., Series 2017-3-B, (1 Month LIBOR USD + 1.75%)      3.82%  ^     01/14/2035      1,646,602  
1,710,000    PFP Ltd., Series 2017-3-C, (1 Month LIBOR USD + 2.50%)      4.57%  ^     01/14/2035      1,722,244  
7,620,451    RAIT Trust, Series 2017-FL7-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      3.02%  ^     06/15/2037      7,625,375  
2,152,000    RAIT Trust, Series 2017-FL7-AS, (1 Month LIBOR USD + 1.30%, 1.30% Floor)      3.37%  ^     06/15/2037      2,152,811  
54,314,044    SG Commercial Mortgage Securities Trust, Series 2016-C5-XA      2.17%  #I/O     10/10/2048      5,916,163  
90,396    TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4-AJ      5.48%  #     08/15/2039      90,710  
126,690,037    UBS Commercial Mortgage Trust, Series 2017-C3-XA      1.28%  #I/O     08/15/2050      9,352,613  
11,033,000    UBS Commercial Mortgage Trust, Series 2017-C6-C      4.60%  #     12/15/2050      10,695,660  
7,293,000    UBS Commercial Mortgage Trust, Series 2018-C11-C      5.06%  #     06/15/2051      7,317,147  
5,698,000    UBS Commercial Mortgage Trust, Series 2018-C8-C      4.86%  #     02/15/2051      5,599,598  
163,720,326    UBS Commercial Mortgage Trust, Series 2018-C9-XA      1.07%  #I/O     03/15/2051      11,457,181  
11,335,996    UBS-Barclays Commercial Mortgage Trust, Series 2012-C3-XA      2.05%  #^I/O     08/10/2049      733,168  
780,399    Wachovia Bank Commercial Mortgage Trust, Series 2006-C29-IO      0.38%  #I/O    11/15/2048      8  
98,753    Wachovia Bank Commercial Mortgage Trust, Series 2007-C30-AJ      5.41%  #     12/15/2043      99,598  
2,738,361    Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AM      6.21%  #     02/15/2051      2,788,594  
6,750,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-D      3.94%  ^     08/15/2050      5,573,892  
2,200,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C28-C      4.27%  #     05/15/2048      2,102,725  
5,403,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C      4.76%  #     11/15/2048      5,386,209  
77,206,814    Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA      1.24%  #I/O     11/15/2048      4,652,174  
4,610,000    Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-C      4.69%  #     09/15/2058      4,545,304  
54,886,267    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1-XA      1.30%  #I/O     05/15/2048      2,858,938  
4,000,000    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3-C      4.64%  #     09/15/2057      3,872,483  
5,672,000    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-C      4.75%  #     12/15/2048      5,675,926  
5,613,000    Wells Fargo Commercial Mortgage Trust, Series 2015-P2-A4      3.81%       12/15/2048      5,685,075  
78,083,311    Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA      1.15%  #I/O     12/15/2048      4,098,554  
4,650,000    Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C      4.88%  #     01/15/2059      4,572,912  
4,483,000    Wells Fargo Commercial Mortgage Trust, Series 2016-C33-C      3.90%       03/15/2059      4,274,237  
17,426,866    Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-XA      1.87%  #I/O     10/15/2049      1,777,380  
117,845,677    Wells Fargo Commercial Mortgage Trust, Series 2017-C39-XA      1.29%  #I/O     09/15/2050      9,134,124  
2,638,000    Wells Fargo Commercial Mortgage Trust, Series 2018-C45-C      4.73%       06/15/2051      2,640,372  
14,937,241    WF-RBS Commercial Mortgage Trust, Series 2012-C9-XA      2.05%  #^I/O     11/15/2045      991,258  
83,737,127    WF-RBS Commercial Mortgage Trust, Series 2014-C21-XA      1.23%  #I/O     08/15/2047      3,934,933  
53,737,512    WF-RBS Commercial Mortgage Trust, Series 2014-C22-XA      1.04%  #I/O     09/15/2057      2,128,554  
81,304,306    WF-RBS Commercial Mortgage Trust, Series 2016-NXS6-XA      1.79%  #I/O     11/15/2049      7,382,683  
           

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $794,059,156)

            768,294,452  
        

 

 

  

Non-Agency Residential Collateralized Mortgage Obligations - 8.8%

         
10,340,968    Adjustable Rate Mortgage Trust, Series 2007-1-4A1      4.84%  #     03/25/2037      9,217,520  
68,580    Adjustable Rate Mortgage Trust, Series 2007-3-1A1      4.77%  #^     11/25/2037      71,008  
18,300,017    Alternative Loan Trust, Series 2005-49CB-A2      5.50%       11/25/2035      17,264,053  
12,295,754    Alternative Loan Trust, Series 2007-OA8-2A1, (1 Month LIBOR USD + 0.18%, 0.18% Floor)      2.27%       06/25/2047      9,669,065  
955,797    Banc of America Funding Corporation, Series 2005-G-A3      3.31%  #     10/20/2035      956,427  
490,730    Banc of America Funding Corporation, Series 2006-2-6A2      5.50%       03/25/2036      482,358  
351,499    Banc of America Funding Corporation, Series 2006-6-1A2      6.25%       08/25/2036      341,427  
2,322,874    Bayview Opportunity Master Fund Trust, Series 2017-RN5-A1      3.10%  ^§     08/28/2032      2,316,526  
11,281,955    Bayview Opportunity Master Fund Trust, Series 2017-RN6-A1      3.10%  ^§     08/28/2032      11,249,272  
2,786,359    Bayview Opportunity Master Fund Trust, Series 2017-RPL1-A1      3.10%  ^§     07/28/2032      2,779,099  
5,838,984    Bayview Opportunity Master Fund Trust, Series 2018-SBR3-A1      4.09%  ^§     05/28/2033      5,852,251  
271,118    Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A3A      6.50%       10/25/2036      211,327  
3,031,081    Chase Mortgage Finance Trust, Series 2007-A2-6A4      3.74%  #     07/25/2037      2,932,602  
1,348,037    Chase Mortgage Finance Trust, Series 2007-S3-2A1      5.50%       05/25/2037      1,087,019  
20,000,000    CIM Trust, Series 2016-2RR-B2      8.02%  #^Þ     02/25/2056      19,539,442  
20,000,000    CIM Trust, Series 2016-3RR-B2      7.94%  #^Þ     02/27/2056      19,432,122  
34,863,399    CIM Trust, Series 2017-6-A1      3.02%  #^     06/25/2057      34,287,613  
80,473    Citicorp Mortgage Securities, Inc., Series 2005-1-1A4      5.50%       02/25/2035      82,068  
1,800,000    Citicorp Residential Mortgage Securities, Inc., Series 2006-2-A5      5.49%  ß     09/25/2036      1,860,021  
270,835    Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2-A2C      5.85%  ß     05/25/2036      161,403  
3,803,053    Citigroup Mortgage Loan Trust, Inc., Series 2008-AR4-2A1B      3.96%  #^     11/25/2038      3,838,998  
1,670,935    Citigroup Mortgage Loan Trust, Inc., Series 2010-8-5A4      6.00%  #^     11/25/2036      1,662,343  
8,611,343    Citigroup Mortgage Loan Trust, Inc., Series 2010-8-6A4      6.00%  #^     12/25/2036      8,489,255  
141,526    CitiMortgage Alternative Loan Trust, Series 2006-A2-A2      6.00%       05/25/2036      136,008  
73,409    CitiMortgage Alternative Loan Trust, Series 2006-A5-3A3      6.00%       10/25/2036      69,029  
151,828    CitiMortgage Alternative Loan Trust, Series 2007-A1-1A7      6.00%       01/25/2037      142,923  
8,621,551    CitiMortgage Alternative Loan Trust, Series 2007-A5-1A10      5.75%       05/25/2037      8,265,556  
25,357,399    Civic Mortgage LLC, Series 2018-1-A1      3.89%  ^§     06/25/2022      25,363,586  
1,564,877    Countrywide Alternative Loan Trust, Series 2004-22CB-1A1      6.00%       10/25/2034      1,617,559  
182,176    Countrywide Alternative Loan Trust, Series 2005-20CB-1A1      5.50%       07/25/2035      174,437  
236,357    Countrywide Alternative Loan Trust, Series 2005-28CB-3A6      6.00%       08/25/2035      183,213  
1,055,349    Countrywide Alternative Loan Trust, Series 2005-46CB-A22      5.25%       10/25/2035      1,011,495  
178,714    Countrywide Alternative Loan Trust, Series 2005-J10-1A13, (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap)      2.79%       10/25/2035      153,167  
375,932    Countrywide Alternative Loan Trust, Series 2006-26CB-A9      6.50%       09/25/2036      308,489  
9,623,796    Countrywide Alternative Loan Trust, Series 2006-42-1A8      6.00%       01/25/2047      8,113,115  
1,523,758    Countrywide Alternative Loan Trust, Series 2007-12T1-A1      6.00%       06/25/2037      1,215,121  
1,559,259    Countrywide Alternative Loan Trust, Series 2007-16CB-2A1, (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap)      2.54%       08/25/2037      851,533  
451,522    Countrywide Alternative Loan Trust, Series 2007-16CB-2A2, (-8 x 1 Month LIBOR USD + 54.58%, 54.58% Cap)      37.16%  I/F     08/25/2037      832,397  
102,588    Countrywide Alternative Loan Trust, Series 2007-17CB-1A10, (-5 x 1 Month LIBOR USD + 29.90%, 29.90% Cap)      20.28%  I/F     08/25/2037      147,421  
495,763    Countrywide Alternative Loan Trust, Series 2007-18CB-2A17      6.00%       08/25/2037      458,114  
2,294,052    Countrywide Alternative Loan Trust, Series 2007-23CB-A3, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap)      2.59%       09/25/2037      1,580,389  
2,253,516    Countrywide Alternative Loan Trust, Series 2007-23CB-A4, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.41%  I/FI/O     09/25/2037      411,431  
761,422    Countrywide Alternative Loan Trust, Series 2007-4CB-2A1      7.00%       03/25/2037      231,729  
39,844    Countrywide Asset-Backed Certificates, Series 2005-13-AF3      4.63%  #     04/25/2036      38,844  
362,238    Countrywide Home Loans, Series 2005-28-A7      5.25%       01/25/2019      321,672  
746,523    Countrywide Home Loans, Series 2007-10-A5      6.00%       07/25/2037      633,617  
318,066    Countrywide Home Loans, Series 2007-15-1A16      6.25%       09/25/2037      293,535  
886,034    Countrywide Home Loans, Series 2007-3-A17      6.00%       04/25/2037      747,313  
111,902    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A5      5.50%       11/25/2035      109,192  
1,356,482    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-1A3      5.25%       09/25/2035      1,252,672  
3,897,547    CSMC Trust, Series 2006-4-6A1      6.00%       05/25/2036      2,961,379  
71,615    CSMC Trust, Series 2006-4-7A1      5.50%       05/25/2021      67,284  
83,753    CSMC Trust, Series 2007-1-3A1      6.00%       02/25/2022      45,372  
31,939    CSMC Trust, Series 2007-2-2A1      5.00%       03/25/2037      31,520  
3,058,704    CSMC Trust, Series 2010-4R-3A17      6.00%  #^     06/26/2037      3,097,160  
8,186,268    CSMC Trust, Series 2013-IVR1-A1      2.50%  #^     03/25/2043      7,600,442  
16,887,500    CSMC Trust, Series 2013-IVR4-A11      3.48%  #^     07/27/2043      16,760,844  
16,504,938    CSMC Trust, Series 2015-PR2-A1      4.25%  ^§     07/26/2055      16,350,610  
10,957,625    CSMC Trust, Series 2016-PR1-A1      5.50%  ^§     07/25/2056      10,791,608  
1,044,981    Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1, (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)      9.22%  ^I/F     04/15/2036      1,024,791  
163,734    Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI2, (-2 x 1 Month LIBOR USD + 14.60%, 14.61% Cap)      10.65%  ^I/F     04/15/2036      159,360  
1,363,832    Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4, (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)      9.22%  ^I/F     04/15/2036      1,228,834  
10,042,608    Deutsche Securities, Inc., Series 2005-6-2A1      5.50%       12/25/2035      9,118,752  
372,527    First Horizon Alternative Mortgage Securities, Series 2006-FA2-1A5      6.00%       05/25/2036      292,439  
3,448,357    First Horizon Alternative Mortgage Securities, Series 2006-FA8-1A1      6.25%       02/25/2037      2,810,809  
85,410    First Horizon Alternative Mortgage Securities, Series 2006-RE1-A1      5.50%       05/25/2035      77,614  
12,790,824    GCAT LLC, Series 2017-2-A1      3.50%  ^§     04/25/2047      12,718,509  
3,962,036    GMACM Mortgage Loan Trust, Series 2006-J1-A6      5.75%       04/25/2036      3,932,957  
120,967    GSAA Home Equity Trust, Series 2005-7-AF5      4.61%  ß     05/25/2035      122,675  
1,324,528    GSAA Home Equity Trust, Series 2007-10-A1A      6.00%       11/25/2037      1,143,088  
1,283,541    GSAA Home Equity Trust, Series 2007-10-A2A      6.50%       11/25/2037      928,260  
4,580,864    GSR Mortgage Loan Trust, Series 2006-3F-4A1      6.00%       03/25/2036      4,606,592  
538,149    GSR Mortgage Loan Trust, Series 2007-1F-2A2      5.50%       01/25/2037      639,859  
36,183,851    Impac Secured Assets Trust, Series 2006-5-1A1C, (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap)      2.36%       02/25/2037      31,457,473  
375,273    JP Morgan Alternative Loan Trust, Series 2006-S2-A4      6.19%  ß     05/25/2036      352,407  
8,908,957    JP Morgan Alternative Loan Trust, Series 2006-S3-A4      6.31%  ß     08/25/2036      7,983,514  
418,327    JP Morgan Alternative Loan Trust, Series 2006-S3-A6      6.12%  ß     08/25/2036      397,837  
395,365    JP Morgan Alternative Loan Trust, Series 2006-S4-A6      5.71%  ß     12/25/2036      381,203  
289,761    JP Morgan Mortgage Trust, Series 2007-S3-1A7      6.00%       08/25/2037      238,025  
40,000,000    JP Morgan Mortgage Trust, Series 2018-7FRB-A2, (1 Month LIBOR USD + 0.75%)      2.84%  ^     04/25/2046      40,099,600  
40,000,000    Legacy Mortgage Asset Trust, Series 2018-GS2-A1      4.00%  ^§    04/25/2058      40,014,040  
1,540,661    Lehman Mortgage Trust, Series 2005-1-2A4      5.50%       11/25/2035      1,501,528  
646,566    Lehman Mortgage Trust, Series 2006-3-1A5      6.00%       07/25/2036      512,010  
44,448    Lehman Mortgage Trust, Series 2006-9-1A19, (-5 x 1 Month LIBOR USD + 30.68%, 30.68% Cap)      21.06%  I/F     01/25/2037      58,073  
757,693    Lehman Mortgage Trust, Series 2007-10-2A1      6.50%       01/25/2038      565,971  
172,124    Lehman Mortgage Trust, Series 2007-2-1A1      5.75%       02/25/2037      155,066  
111,865    MASTR Alternative Loans Trust, Series 2005-2-3A1      6.00%       03/25/2035      108,231  
45,383    MASTR Alternative Loans Trust, Series 2007-1-2A7      6.00%       10/25/2036      30,279  
2,136,844    MASTR Asset Securitization Trust, Series 2006-2-1A11, (1 Month LIBOR USD + 6.00%, 6.00% Floor)      6.00%       06/25/2036      2,087,714  
20,644,316    MFA LLC, Series 2018-NPL1-A1      3.88%  ^§     05/25/2048      20,653,400  
20,239    Morgan Stanley Mortgage Loan Trust, Series 2004-1-1A1      5.00%       11/25/2018      22,107  
972,203    Morgan Stanley Mortgage Loan Trust, Series 2005-7-7A4      5.50%       11/25/2035      1,009,757  
3,155,537    Morgan Stanley Mortgage Loan Trust, Series 2006-7-3A      5.04%  #     06/25/2036      2,770,741  
1,531,503    Morgan Stanley Re-Remic Trust, Series 2010-R6-5C      5.75%  #^     05/26/2037      1,476,863  
221,933    Nomura Asset Acceptance Corporation, Series 2006-AP1-A2      5.52%  #     01/25/2036      119,809  
608,622    Nomura Home Equity Loan, Inc., Series 2006-AF1-A2      5.80%  ß     10/25/2036      257,983  
1,091,880    Nomura Home Equity Loan, Inc., Series 2007-1-1A1      6.06%  ß     02/25/2037      550,051  
19,754,011    Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1-A1      3.00%  ^§     06/25/2057      19,619,670  
37,076,503    Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2-A1      3.00%  ^§     07/25/2057      36,801,503  
60,432    Option One Mortgage Loan Trust, Series 2004-3-M3, (1 Month LIBOR USD + 0.98%, 0.65% Floor)      3.07%       11/25/2034      61,086  
31,688,819    Option One Mortgage Loan Trust, Series 2007-6-1A1, (1 Month LIBOR USD + 0.19%, 0.19% Floor)      2.28%       07/25/2037      27,450,136  
10,902    PHH Alternative Mortgage Trust, Series 2007-2-4A1      6.00%       05/25/2022      10,909  
10,465,825    PR Mortgage Loan Trust, Series 2014-1-APT      5.91%  #^     10/25/2049      9,308,201  
33,306,779    Preston Ridge Partners Mortgage Trust, Series 2017-2A-A1      3.47%  ^§     09/25/2022      33,192,827  
15,113,207    Pretium Mortgage Credit Partners LLC, Series 2017-NPL2-A1      3.25%  ^§     03/28/2057      15,093,962  
347,275    Residential Accredit Loans, Inc., Series 2005-QS14-3A3      6.00%       09/25/2035      334,070  
1,989    Residential Accredit Loans, Inc., Series 2005-QS1-A5      5.50%       01/25/2035      1,990  
420,053    Residential Accredit Loans, Inc., Series 2006-QS10-A4      5.75%       08/25/2036      377,840  
4,583,607    Residential Accredit Loans, Inc., Series 2006-QS10-A9      6.50%       08/25/2036      4,300,772  
4,460,349    Residential Accredit Loans, Inc., Series 2006-QS4-A10      6.00%       04/25/2036      4,108,705  
860,165    Residential Accredit Loans, Inc., Series 2006-QS6-1A15      6.00%       06/25/2036      791,223  
138,413    Residential Accredit Loans, Inc., Series 2006-QS6-2A1      6.00%       06/25/2021      136,675  
1,408,627    Residential Accredit Loans, Inc., Series 2007-QS3-A4      6.25%       02/25/2037      1,262,593  
5,087,630    Residential Accredit Loans, Inc., Series 2007-QS9-A33      6.50%       07/25/2037      4,739,189  
291,603    Residential Asset Mortgage Products, Inc., Series 2005-RS1-AI5      5.41%  ß     01/25/2035      293,305  
197,685    Residential Asset Securitization Trust, Series 2005-A10-A3      5.50%       09/25/2035      168,437  
299,097    Residential Asset Securitization Trust, Series 2005-A11-2A4      6.00%       10/25/2035      238,087  
60,007    Residential Asset Securitization Trust, Series 2005-A7-A3      5.50%       06/25/2035      52,275  
1,814,474    Residential Asset Securitization Trust, Series 2006-A6-1A1      6.50%       07/25/2036      1,034,169  
148,525    Residential Asset Securitization Trust, Series 2006-R1-A1, (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap)      20.04%  I/F     01/25/2046      225,929  
110,035    Residential Funding Mortgage Securities Trust, Series 2006-S10-1A2      6.00%       10/25/2036      103,189  
558,251    Residential Funding Mortgage Securities Trust, Series 2006-S11-A3      6.00%       11/25/2036      520,488  
1,069,875    Residential Funding Mortgage Securities Trust, Series 2007-S2-A4      6.00%       02/25/2037      1,013,251  
736,035    Residential Funding Mortgage Securities Trust, Series 2007-S3-1A4      6.00%       03/25/2037      701,576  
9,246,077    Seasoned Credit Risk Transfer Trust, Series 2018-2-HV      3.00%       11/25/2057      8,718,866  
41,262,444    Securitized Mortgage Asset Loan Trust, Series 2015-1-PC      2.73%  #^¥     02/25/2054      34,626,020  
7,598,821    Securitized Mortgage Asset Loan Trust, Series 2015-2-PC      0.00%  #^¥     12/26/2059      7,100,767  
10,729,720    Securitized Mortgage Asset Loan Trust, Series 2015-3-PC      0.00%  #^¥     10/25/2044      10,248,504  
3,745,198    SGR Residential Mortgage Trust, Series 2016-1-A1      3.75%  #^     11/25/2046      3,794,341  
25,122,719    Shellpoint Co-Originator Trust, Series 2016-1-1A10      3.50%  #^     11/25/2046      24,954,322  
734,750    Structured Asset Securities Corporation, Series 2003-35-1A1      5.17%  #     12/25/2033      759,045  
1,142,564    Structured Asset Securities Corporation, Series 2005-14-1A1, (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.25% Cap)      2.39%       07/25/2035      923,708  
1,082,901    Structured Asset Securities Corporation, Series 2005-16-1A3      5.50%       09/25/2035      1,086,226  
1,389,451    Structured Asset Securities Corporation, Series 2005-RF1-A, (1 Month LIBOR USD + 0.35%, 0.35% Floor)      2.31%  ^     03/25/2035      1,299,883  
1,389,451    Structured Asset Securities Corporation, Series 2005-RF1-AIO      1.37%  #^I/O     03/25/2035      142,780  
36,907,755    Velocity Commercial Capital Loan Trust, Series 2018-1-A      3.59%  ^     04/25/2048      36,778,467  
5,099,093    Velocity Commercial Capital Loan Trust, Series 2018-1-M1      3.91%  ^     04/25/2048      5,083,763  
1,699,698    Velocity Commercial Capital Loan Trust, Series 2018-1-M2      4.26%  ^     04/25/2048      1,693,016  
1,214,070    Velocity Commercial Capital Loan Trust, Series 2018-1-M3      4.41%  ^     04/25/2048      1,209,311  
20,024,410    VOLT LLC, Series 2017-NP10-A1      3.00%  ^§     10/25/2047      19,866,698  
19,972,227    VOLT LLC, Series 2017-NPL2-A1      3.50%  ^§     03/25/2047      19,953,944  
18,537,546    VOLT LLC, Series 2017-NPL3-A1      3.50%  ^§     03/25/2047      18,540,625  
15,927,126    VOLT LLC, Series 2017-NPL4-A1      3.38%  ^§     04/25/2047      15,920,607  
10,486,814    VOLT LLC, Series 2017-NPL6-A1      3.25%  ^§     05/25/2047      10,435,959  
5,104,137    VOLT LLC, Series 2017-NPL8-A1      3.13%  ^§     06/25/2047      5,081,297  
31,752,260    VOLT LLC, Series 2017-NPL9-A1      3.13%  ^§     09/25/2047      31,570,606  
12,964,948    VOLT LLC, Series 2018-NPL1      3.75%  ^§     04/25/2048      12,986,103  
137,092    Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1-2A      6.00%       03/25/2035      129,537  
952,257    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A1      5.75%       02/25/2036      908,583  
2,520,661    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-2-4CB      6.00%       03/25/2036      2,452,873  
4,493,984    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A6      4.59%  ß     10/25/2036      2,839,446  
3,207,527    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR19-2A, (11th District Cost of Funds Index + 1.25%, 1.25% Floor)      2.15%       01/25/2047      3,128,843  
1,914,813    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A6      6.00%       04/25/2037      1,860,038  
123,047    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A11, (-6 x 1 Month LIBOR USD + 39.48%, 39.48% Cap)      26.93%  I/F     06/25/2037      202,516  
9,974,283    Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A3      7.00%       06/25/2037      7,112,996  
1,116,132    Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1      6.25%       11/25/2037      1,104,228  
872,816    Wells Fargo Mortgage Backed Securities Trust, Series 2005-17-1A1      5.50%       01/25/2036      863,190  
50,170    Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR14-A6      3.66%  #     08/25/2035      48,525  
66,324    Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16-6A4      4.10%  #     10/25/2035      66,995  
271,587    Wells Fargo Mortgage Backed Securities Trust, Series 2006-2-3A1      5.75%       03/25/2036      266,184  
952,322    Wells Fargo Mortgage Backed Securities Trust, Series 2006-7-2A1      6.00%       06/25/2036      929,018  
770,831    Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-1A5      6.00%       07/25/2037      770,439  
899,516    Wells Fargo Mortgage Backed Securities Trust, Series 2007-10-2A11      6.00%       07/25/2037      880,807  
1,300,162    Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A96      6.00%       08/25/2037      1,295,119  
1,568,440    Wells Fargo Mortgage Backed Securities Trust, Series 2007-14-1A1      6.00%       10/25/2037      1,554,904  
370,152    Wells Fargo Mortgage Backed Securities Trust, Series 2007-4-A16      5.50%       04/25/2037      369,002  
85,244    Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1      6.00%       06/25/2037      85,122  
           

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $914,371,410)

            919,346,496  
        

 

 

  

US Corporate Bonds - 12.7%

         
13,301,000    AbbVie, Inc.      4.70%       05/14/2045      13,234,684  
12,868,000    Air Lease Corporation      3.75%       02/01/2022      12,890,102  
4,040,000    AK Steel Corporation      6.38%       10/15/2025      3,777,400  
1,125,000    Albertsons Cos, Inc., (3 Month LIBOR USD + 3.75%)      6.09%  ^     01/15/2024      1,130,625  
2,522,000    Albertson’s Holdings LLC      5.75%       03/15/2025      2,244,580  
9,790,000    Alexandria Real Estate Equities, Inc.      4.00%       01/15/2024      9,852,196  
3,605,000    Alliant Holdings Intermediate LLC      8.25%  ^     08/01/2023      3,730,724  
9,017,000    Ally Financial, Inc.      4.13%       03/30/2020      9,050,814  
2,420,000    Ally Financial, Inc.      4.25%       04/15/2021      2,426,050  
3,785,000    Altice US Finance Corporation      5.38%  ^     07/15/2023      3,775,537  
3,370,000    AMC Merger, Inc.      8.00%  ^     05/15/2025      2,813,950  
2,363,000    American Axle & Manufacturing, Inc.      6.63%       10/15/2022      2,427,982  
2,175,000    American Axle & Manufacturing, Inc.      6.25%       03/15/2026      2,126,062  
27,000,000    American Express Credit Corporation      2.50%       08/01/2022      25,908,812  
13,032,000    American Tower Corporation      3.60%       01/15/2028      12,094,113  
12,519,000    Andeavor      5.13%       12/15/2026      13,113,131  
6,100,000    Anheuser-Busch InBev Finance, Inc.      4.90%       02/01/2046      6,295,452  
6,540,000    Anheuser-Busch InBev Worldwide, Inc.      4.60%       04/15/2048      6,438,262  
1,505,000    Anthem, Inc.      2.95%       12/01/2022      1,462,691  
3,170,000    Argos Merger Sub, Inc.      7.13%  ^     03/15/2023      2,143,871  
6,690,000    Arrow Electronics, Inc.      3.88%       01/12/2028      6,278,978  
3,460,000    Ascend Learning LLC      6.88%  ^     08/01/2025      3,498,925  
3,735,000    AssuredPartners, Inc.      7.00%  ^     08/15/2025      3,604,275  
20,665,000    AT&T, Inc.      5.25%       03/01/2037      20,418,614  
13,216,000    Athene Global Funding      3.00%  ^     07/01/2022      12,802,883  
1,815,000    Avantor, Inc.      9.00%  ^     10/01/2025      1,833,513  
13,500,000    AXA Equitable Holdings, Inc.      3.90%  ^     04/20/2023      13,403,701  
3,940,000    B&G Foods, Inc.      5.25%       04/01/2025      3,723,300  
14,025,000    Baker Hughes, a GE company, LLC      4.08%       12/15/2047      12,553,650  
2,205,000    BAT Capital Corporation, (3 Month LIBOR USD + 0.88%)      3.22%  ^     08/15/2022      2,221,903  
4,005,000    Beacon Escrow Corporation      4.88%  ^     11/01/2025      3,724,650  
20,635,000    Becton Dickinson and Company      2.89%       06/06/2022      19,971,532  
3,530,000    BlueLine Rental Finance Corporation      9.25%  ^     03/15/2024      3,764,392  
12,404,000    Boston Properties LP      4.13%       05/15/2021      12,637,361  
750,000    Boston Properties LP      3.20%       01/15/2025      714,752  
6,470,000    Boston Scientific Corporation      4.00%       03/01/2028      6,319,905  
790,000    Boyd Gaming Corporation      6.00%  ^     08/15/2026      783,087  
3,785,000    Boyne USA, Inc.      7.25%  ^     05/01/2025      3,964,787  
15,160,000    Brighthouse Financial, Inc.      3.70%       06/22/2027      13,516,700  
3,760,000    Builders FirstSource, Inc.      5.63%  ^     09/01/2024      3,680,100  
11,594,000    Burlington Northern Santa Fe LLC      4.55%       09/01/2044      12,069,353  
1,815,000    Calfrac Holdings LP      8.50%  ^     06/15/2026      1,826,344  
765,000    Calpine Corporation      5.75%       01/15/2025      701,409  
3,265,000    Capital One Financial Corporation, (3 Month LIBOR USD + 0.72%)      3.08%       01/30/2023      3,248,127  
1,995,000    CB Escrow Corporation      8.00%  ^     10/15/2025      1,870,312  
1,881,000    CCO Holdings LLC      5.75%  ^     02/15/2026      1,852,785  
2,030,000    CCO Holdings LLC      5.00%  ^     02/01/2028      1,867,600  
905,000    CDK Global, Inc.      5.88%       06/15/2026      926,494  
14,005,000    Celgene Corporation      4.35%       11/15/2047      12,413,273  
2,825,000    Cengage Learning, Inc.      9.50%  ^     06/15/2024      2,401,250  
3,470,000    Centene Corporation      4.75%       01/15/2025      3,461,325  
395,000    Centene Corporation      5.38%  ^     06/01/2026      401,174  
12,706,000    Charter Communications Operating LLC      4.91%       07/23/2025      12,846,306  
3,920,000    Cheniere Energy Partners LP      5.25%  ^     10/01/2025      3,833,564  
2,190,000    Cincinnati Bell, Inc.      7.00%  ^     07/15/2024      2,009,325  
19,260,000    Citigroup, Inc., (3 Month LIBOR USD + 1.10%)      3.42%       05/17/2024      19,369,299  
3,870,000    CNX Midstream Partners LP      6.50%  ^     03/15/2026      3,773,250  
3,710,000    CommScope Technologies Finance LLC      6.00%  ^     06/15/2025      3,807,387  
1,970,000    Constellation Merger Sub, Inc.      8.50%  ^     09/15/2025      1,883,812  
15,555,000    Corning, Inc.      4.38%       11/15/2057      13,607,306  
1,940,000    Coty, Inc.      6.50%  ^     04/15/2026      1,866,037  
3,865,000    CRC Issuer LLC      5.25%  ^     10/15/2025      3,666,919  
12,600,000    Crown Castle International Corporation      3.65%       09/01/2027      11,737,876  
815,000    Crown Castle International Corporation      3.80%       02/15/2028      763,772  
1,988,000    CSC Holdings LLC      5.25%       06/01/2024      1,883,630  
1,895,000    CSI Compressco LP      7.50%  ^     04/01/2025      1,911,581  
14,520,000    CSX Corporation      3.80%       11/01/2046      12,907,954  
12,780,000    CVS Health Corporation      5.05%       03/25/2048      12,957,163  
26,330,000    Daimler Finance North America LLC, (3 Month LIBOR USD + 0.84%)      3.20%  ^     05/04/2023      26,426,179  
1,765,000    Dana Financing Ltd.      5.75%  ^     04/15/2025      1,742,937  
6,185,000    Delta Air Lines, Inc.      3.63%       03/15/2022      6,118,831  
6,565,000    Delta Air Lines, Inc.      3.80%       04/19/2023      6,492,405  
16,370,000    Discover Financial Services      4.10%       02/09/2027      15,724,228  
1,880,000    DJO Finance, LLC      8.13%  ^     06/15/2021      1,912,336  
12,825,000    Dollar Tree, Inc.      4.00%       05/15/2025      12,550,190  
3,615,000    Duke Energy Corporation      3.75%       09/01/2046      3,213,274  
4,915,000    Duke Energy Corporation      3.95%       08/15/2047      4,500,963  
8,955,000    Duke Energy Progress, Inc.      4.15%       12/01/2044      8,851,372  
13,290,000    Edison International      4.13%       03/15/2028      13,106,089  
1,585,000    EES Finance Corporation      8.13%       05/01/2025      1,676,137  
3,305,000    Eldorado Resorts, Inc.      6.00%       04/01/2025      3,325,656  
1,961,000    Embarq Corporation      8.00%       06/01/2036      1,860,499  
11,575,000    Enable Midstream Partners LP      4.40%       03/15/2027      10,965,976  
1,710,000    Enable Midstream Partners LP      4.95%       05/15/2028      1,666,779  
12,005,000    Energy Transfer Partners LP      4.75%       01/15/2026      11,909,842  
1,250,000    Energy Transfer Partners LP      4.20%       04/15/2027      1,179,149  
3,560,000    Ensemble S Merger Sub, Inc.      9.00%  ^     09/30/2023      3,755,355  
2,355,000    EP Energy LLC      9.38%  ^     05/01/2024      1,942,875  
760,000    EP Energy LLC      7.75%  ^     05/15/2026      779,000  
13,570,000    EQT Corporation      3.90%       10/01/2027      12,687,081  
16,730,000    EQT Midstream Partners LP      4.75%       07/15/2023      16,715,862  
3,836,000    ESH Hospitality, Inc.      5.25%  ^     05/01/2025      3,711,330  
14,245,000    Expedia Group, Inc.      3.80%       02/15/2028      13,065,361  
2,005,000    Extraction Oil & Gas, Inc.      5.63%  ^     02/01/2026      1,922,414  
12,323,000    FedEx Corporation      4.75%       11/15/2045      12,309,119  
9,960,000    Fidelity National Information Services, Inc.      3.63%       10/15/2020      10,029,652  
1,670,000    First Data Corporation      7.00%  ^     12/01/2023      1,743,614  
1,855,000    First Data Corporation      5.75%  ^     01/15/2024      1,860,750  
3,805,000    Flex Acquisition Company, Inc.      6.88%  ^     01/15/2025      3,681,337  
630,000    Flex Acquisition Company, Inc.      7.88%  ^     07/15/2026      629,118  
10,945,000    Ford Motor Company      7.45%       07/16/2031      12,888,809  
2,220,000    Foresight Energy LLC      11.50%  ^     04/01/2023      1,975,800  
915,000    Frontier Communications Corporation      8.50%       04/15/2020      937,317  
1,060,000    Frontier Communications Corporation      8.50%  ^     04/01/2026      1,026,875  
3,743,000    FTS International, Inc.      6.25%       05/01/2022      3,794,279  
4,265,000    General Motors Financial Company, (3 Month LIBOR USD + 0.80%)      3.16%       08/07/2020      4,280,514  
11,555,000    General Motors Financial Company, (3 Month LIBOR USD + 0.99%)      3.31%       01/05/2023      11,600,015  
6,205,000    General Motors Financial Company      3.95%       04/13/2024      6,077,623  
3,440,000    Genesys Telecommunications Laboratories, Inc.      10.00%  ^     11/30/2024      3,848,070  
12,887,000    Georgia-Pacific LLC      3.60%  ^     03/01/2025      12,836,334  
330,000    GLP Capital LP      5.38%       04/15/2026      327,525  
9,200,000    GLP Capital LP      5.75%       06/01/2028      9,315,000  
2,785,000    Golden Nugget, Inc.      6.75%  ^     10/15/2024      2,792,464  
8,250,000    Goldman Sachs Group, Inc., (3 Month LIBOR USD + 0.78%)      3.14%       10/31/2022      8,255,583  
8,315,000    Goldman Sachs Group, Inc., (3 Month LIBOR USD + 1.17%)      3.49%       05/15/2026      8,222,098  
3,705,000    GTT Communications, Inc.      7.88%  ^     12/31/2024      3,686,475  
3,955,000    Gulfport Energy Corporation      6.38%       05/15/2025      3,861,069  
11,977,000    Hasbro, Inc.      3.50%       09/15/2027      11,096,526  
3,765,000    Hess Infrastructure Partners LP      5.63%  ^     02/15/2026      3,774,412  
945,000    Hexion Finance Corporation      6.63%       04/15/2020      887,260  
2,895,000    Hexion, Inc.      10.38%  ^     02/01/2022      2,851,575  
1,990,000    Hilton Domestic Operating Company, Inc.      4.25%       09/01/2024      1,897,962  
3,670,000    Icahn Enterprises Finance Corporation      6.25%       02/01/2022      3,752,575  
2,695,000    Icahn Enterprises Finance Corporation      6.38%       12/15/2025      2,705,106  
2,125,000    Indigo Natural Resources LLC      6.88%  ^     02/15/2026      2,066,562  
3,685,000    Informatica LLC      7.13%  ^     07/15/2023      3,741,086  
3,894,000    IRB Holding Corporation      6.75%  ^     02/15/2026      3,728,505  
1,760,000    Iridium Communications, Inc.      10.25%  ^     04/15/2023      1,900,800  
1,450,000    JBS USA Finance, Inc.      6.75%  ^     02/15/2028      1,371,627  
2,005,000    Jeld-Wen, Inc.      4.63%  ^     12/15/2025      1,914,775  
1,900,000    KAR Auction Services, Inc.      5.13%  ^     06/01/2025      1,819,250  
16,414,000    Kinder Morgan Energy Partners LP      6.95%       01/15/2038      18,749,049  
5,703,000    Kraft Heinz Foods Company      2.00%       07/02/2018      5,703,000  
7,540,000    Kraft Heinz Foods Company      2.80%       07/02/2020      7,483,281  
2,005,000    Kratos Defense & Security Solutions, Inc.      6.50%  ^     11/30/2025      2,082,694  
12,860,000    Kroger Company      3.40%       04/15/2022      12,779,214  
1,382,000    Level 3 Communications, Inc.      5.75%       12/01/2022      1,385,455  
3,385,000    Level 3 Financing, Inc.      5.38%       01/15/2024      3,325,762  
15,309,000    Liberty Mutual Group, Inc.      6.50%  ^     05/01/2042      18,751,380  
1,095,000    Live Nation Entertainment, Inc.      5.63%  ^     03/15/2026      1,089,525  
11,527,000    Lockheed Martin Corporation      4.70%       05/15/2046      12,248,686  
3,290,000    LTF Merger Sub, Inc.      8.50%  ^     06/15/2023      3,438,050  
12,985,000    Marvell Technology Group Ltd.      4.20%       06/22/2023      12,981,942  
4,045,000    Match Group, Inc.      5.00%  ^     12/15/2027      3,771,963  
895,000    Matterhorn Merger Sub LLC      8.50%  ^     06/01/2026      865,913  
5,220,000    McDonald’s Corporation      4.45%       03/01/2047      5,200,128  
50,000    Metropolitan Edison Company      4.00%  ^     04/15/2025      49,966  
4,120,000    MGM Growth Properties LP      4.50%       01/15/2028      3,759,500  
13,355,000    Microchip Technology, Inc.      4.33%  ^     06/01/2023      13,387,871  
13,545,000    Morgan Stanley, (3 Month LIBOR USD + 1.34%)      3.59%       07/22/2028      12,883,583  
14,215,000    Mosaic Company      4.05%       11/15/2027      13,605,262  
1,880,000    Moss Creek Resources Holdings, Inc.      7.50%  ^     01/15/2026      1,844,111  
4,585,000    MPH Acquisition Holdings LLC      7.13%  ^     06/01/2024      4,711,088  
255,000    MPT Operating Partnership LP      5.25%       08/01/2026      251,175  
3,720,000    MPT Operating Partnership LP      5.00%       10/15/2027      3,561,900  
2,195,000    Nabors Industries, Inc.      5.75%  ^     02/01/2025      2,079,763  
3,630,000    Navient Corporation      6.50%       06/15/2022      3,720,750  
12,705,000    Newell Brands, Inc.      5.50%       04/01/2046      12,400,500  
6,015,000    NextEra Energy Capital Holdings, Inc.      3.55%       05/01/2027      5,790,415  
4,040,000    NextEra Energy Operating Partners LP      4.50%  ^     09/15/2027      3,792,550  
3,777,000    NFP Corporation      6.88%  ^     07/15/2025      3,720,345  
1,810,000    NGL Energy Finance Corporation      7.50%       11/01/2023      1,834,888  
875,000    Noble Holding International Ltd.      7.88%  ^     02/01/2026      902,344  
3,805,000    NVA Holdings, Inc.      6.88%  ^     04/01/2026      3,800,244  
13,167,000    Omnicom Group, Inc.      3.60%       04/15/2026      12,616,306  
148,000    Oncor Electric Delivery Company LLC      2.95%       04/01/2025      142,078  
875,000    OPE KAG Finance Sub, Inc.      7.88%  ^     07/31/2023      896,875  
6,715,000    Oracle Corporation      4.13%       05/15/2045      6,485,556  
7,005,000    Owens Corning      4.40%       01/30/2048      5,866,332  
6,355,000    Packaging Corporation of America      3.40%       12/15/2027      6,003,300  
1,790,000    Par Petroleum Finance Corporation      7.75%  ^     12/15/2025      1,825,800  
3,675,000    Peabody Securities Finance Corporation      6.00%  ^     03/31/2022      3,734,719  
6,620,000    Penske Truck Leasing Company      4.20%  ^     04/01/2027      6,533,557  
475,000    PetSmart, Inc.      5.88%  ^     06/01/2025      366,938  
5,387,000    Phillips 66      5.88%       05/01/2042      6,269,689  
320,000    Phillips 66      4.88%       11/15/2044      331,530  
3,885,000    Pilgrim’s Pride Corporation      5.75%  ^     03/15/2025      3,739,313  
1,670,000    Polaris Intermediate Corporation (PIK 9.25%)      8.50%  #^     12/01/2022      1,728,450  
3,215,000    Post Holdings, Inc.      5.50%  ^     03/01/2025      3,146,681  
2,689,000    Prime Security Services Borrower LLC      9.25%  ^     05/15/2023      2,877,230  
9,975,000    PSEG Power LLC      3.85%       06/01/2023      9,936,892  
1,800,000    QEP Resources, Inc.      5.25%       05/01/2023      1,768,500  
1,975,000    QEP Resources, Inc.      5.63%       03/01/2026      1,893,531  
380,000    Radiate Finance, Inc.      6.88%  ^     02/15/2023      366,700  
1,695,000    Radiate Finance, Inc.      6.63%  ^     02/15/2025      1,555,163  
5,110,000    Republic Services, Inc.      3.38%       11/15/2027      4,850,766  
13,525,000    Reynolds, Inc.      4.00%       06/12/2022      13,621,246  
2,988,000    Riverbed Technology, Inc.      8.88%  ^     03/01/2023      2,843,829  
6,480,000    Royal Caribbean Cruises Ltd.      3.70%       03/15/2028      5,994,251  
16,060,000    Sabine Pass Liquefaction LLC      5.00%       03/15/2027      16,325,401  
1,830,000    Sanchez Energy Corporation      6.13%       01/15/2023      1,248,975  
3,265,000    Select Medical Corporation      6.38%       06/01/2021      3,321,729  
2,335,000    Sirius XM Radio, Inc.      5.38%  ^     07/15/2026      2,253,275  
1,950,000    Six Flags Entertainment Corporation      4.88%  ^     07/31/2024      1,899,690  
13,206,000    Smithfield Foods, Inc.      4.25%  ^     02/01/2027      12,725,403  
2,220,000    Solera Finance, Inc.      10.50%  ^     03/01/2024      2,476,699  
6,785,000    Southern California Edison Company      4.13%       03/01/2048      6,430,001  
14,121,000    Southern Company      2.45%       09/01/2018      14,112,251  
5,413,000    Southern Company      1.85%       07/01/2019      5,360,520  
1,905,000    Springleaf Finance Corporation      6.88%       03/15/2025      1,895,475  
1,200,000    Springleaf Finance Corporation      7.13%       03/15/2026      1,197,000  
1,775,000    Sprint Capital Corporation      6.88%       11/15/2028      1,708,438  
2,610,000    Sprint Corporation      7.13%       06/15/2024      2,641,555  
6,595,000    Sprint Spectrum Company LLC      4.74%  ^     03/20/2025      6,560,706  
335,000    Staples, Inc.      8.50%  ^     09/15/2025      313,225  
3,703,000    SunCoke Energy Partners Finance Corporation      7.50%  ^     06/15/2025      3,786,318  
1,995,000    Sunoco LP      5.50%  ^     02/15/2026      1,895,250  
10,459,000    Synchrony Financial      3.00%       08/15/2019      10,441,210  
2,975,000    Synchrony Financial      3.95%       12/01/2027      2,748,679  
13,500,000    Sysco Corporation      3.25%       07/15/2027      12,663,614  
2,205,000    Tapstone Energy Finance Corporation      9.75%  ^     06/01/2022      1,934,888  
2,035,000    Targa Resources Partners Finance Corporation      5.88%  ^     04/15/2026      2,052,806  
4,230,000    Team Health Holdings, Inc.      6.38%  ^     02/01/2025      3,658,950  
3,935,000    Tempo Acquisition Finance Corporation      6.75%  ^     06/01/2025      3,787,438  
3,880,000    Tempur Sealy International, Inc.      5.50%       06/15/2026      3,763,600  
1,940,000    TerraForm Power Operating LLC      4.25%  ^     01/31/2023      1,876,950  
3,750,000    THC Escrow Corporation      7.00%  ^     08/01/2025      3,735,938  
1,885,000    The ServiceMaster Company LLC      5.13%  ^     11/15/2024      1,833,163  
2,005,000    T-Mobile USA, Inc.      4.50%       02/01/2026      1,874,675  
1,135,000    TransDigm PLC      6.88%  ^     05/15/2026      1,153,444  
3,335,000    TransDigm, Inc.      6.38%       06/15/2026      3,318,325  
980,000    Transocean Guardian Ltd.      5.88%  ^     01/15/2024      975,100  
2,482,000    Transocean Proteus Ltd.      6.25%  ^     12/01/2024      2,516,128  
1,700,000    Trident Merger Sub, Inc.      6.63%  ^     11/01/2025      1,661,750  
3,805,000    Triumph Group, Inc.      7.75%       08/15/2025      3,776,463  
2,703,000    Universal Hospital Services, Inc.      7.63%       08/15/2020      2,706,379  
2,940,000    USA Compression Partners LP      6.88%  ^     04/01/2026      3,053,925  
1,090,000    Valeant Pharmaceuticals International, Inc.      7.00%  ^     03/15/2024      1,144,162  
1,825,000    Valeant Pharmaceuticals International, Inc.      9.25%  ^     04/01/2026      1,900,281  
640,000    Valeant Pharmaceuticals International, Inc.      8.50%  ^     01/31/2027      651,200  
14,757,000    Verizon Communications, Inc.      4.40%       11/01/2034      13,793,857  
4,020,000    Viking Cruises Ltd.      5.88%  ^     09/15/2027      3,808,950  
1,500,000    Vine Oil & Gas Finance Corporation      8.75%  ^     04/15/2023      1,391,250  
3,415,000    Vizient, Inc.      10.38%  ^     03/01/2024      3,782,113  
1,675,000    Wand Merger Corporation      8.13%  ^     07/15/2023      1,702,219  
2,215,000    Waste Pro, Inc.      5.50%  ^     02/15/2026      2,134,706  
1,900,000    Weatherford International Ltd.      9.88%       02/15/2024      1,927,892  
2,415,000    WellCare Health Plans, Inc.      5.25%       04/01/2025      2,408,963  
8,254,000    WellPoint, Inc.      2.30%       07/15/2018      8,253,024  
13,740,000    WestRock Company      3.75%  ^     03/15/2025      13,498,550  
3,570,000    Whiting Petroleum Corporation      6.63%  ^     01/15/2026      3,686,025  
1,770,000    Xerium Technologies, Inc.      9.50%       08/15/2021      1,869,563  
13,056,000    Zimmer Holdings, Inc.      2.70%       04/01/2020      12,934,433  
           

 

 

  

Total US Corporate Bonds (Cost $1,371,642,889)

            1,333,428,307  
        

 

 

  

US Government and Agency Mortgage Backed Obligations - 16.4%

         
750,115    Federal Home Loan Mortgage Corporation, Pool G0-1840      5.00%       07/01/2035      800,953  
408,374    Federal Home Loan Mortgage Corporation, Pool G0-4817      5.00%       09/01/2038      436,146  
16,006,694    Federal Home Loan Mortgage Corporation, Pool G0-8537      3.00%       07/01/2043      15,621,559  
11,937,338    Federal Home Loan Mortgage Corporation, Pool G0-8622      3.00%       01/01/2045      11,617,468  
11,002,280    Federal Home Loan Mortgage Corporation, Pool G0-8686      3.00%       01/01/2046      10,668,084  
48,260,394    Federal Home Loan Mortgage Corporation, Pool G0-8701      3.00%       04/01/2046      46,781,325  
2,734,903    Federal Home Loan Mortgage Corporation, Pool N7-0081      5.50%       07/01/2038      2,996,430  
9,541,724    Federal Home Loan Mortgage Corporation, Pool Q3-3789      3.50%       06/01/2045      9,532,042  
48,195,300    Federal Home Loan Mortgage Corporation, Pool Q5-1461      3.50%       10/01/2047      47,974,584  
3,620,265    Federal Home Loan Mortgage Corporation, Pool T6-0854      3.50%       09/01/2042      3,579,168  
626,911    Federal Home Loan Mortgage Corporation, Pool U6-0299      4.00%       11/01/2040      645,350  
19,717,645    Federal Home Loan Mortgage Corporation, Pool V8-3144      4.00%       04/01/2047      20,150,162  
69,665    Federal Home Loan Mortgage Corporation, Series 2692-SC, (-2 x 1 Month LIBOR USD + 13.29%, 13.29% Cap)      9.14%  I/F     07/15/2033      78,285  
2,245,780    Federal Home Loan Mortgage Corporation, Series 2722-PS, (-1 x 1 Month LIBOR USD + 9.89%, 9.89% Cap)      7.59%  I/F     12/15/2033      2,409,948  
108,279    Federal Home Loan Mortgage Corporation, Series 2750-ZT      5.00%       02/15/2034      115,112  
227,204    Federal Home Loan Mortgage Corporation, Series 3002-SN, (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.43%  I/FI/O     07/15/2035      34,182  
98,319    Federal Home Loan Mortgage Corporation, Series 3045-DI, (-1 x 1 Month LIBOR USD + 6.73%, 6.73% Cap)      4.66%  I/FI/O     10/15/2035      12,813  
363,347    Federal Home Loan Mortgage Corporation, Series 3116-Z      5.50%       02/15/2036      396,044  
30,598    Federal Home Loan Mortgage Corporation, Series 3117-ZN      4.50%       02/15/2036      31,448  
417,269    Federal Home Loan Mortgage Corporation, Series 3203-ZC      5.00%       07/15/2036      443,292  
127,242    Federal Home Loan Mortgage Corporation, Series 3275-SC, (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap)      4.01%  I/FI/O     02/15/2037      17,023  
472,672    Federal Home Loan Mortgage Corporation, Series 3382-SB, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.93%  I/FI/O     11/15/2037      41,196  
432,653    Federal Home Loan Mortgage Corporation, Series 3384-S, (-1 x 1 Month LIBOR USD + 6.39%, 6.39% Cap)      4.32%  I/FI/O     11/15/2037      40,357  
631,713    Federal Home Loan Mortgage Corporation, Series 3417-SX, (-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap)      4.11%  I/FI/O     02/15/2038      51,879  
55,088    Federal Home Loan Mortgage Corporation, Series 3423-GS, (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)      3.58%  I/FI/O     03/15/2038      4,815  
55,088    Federal Home Loan Mortgage Corporation, Series 3423-SG, (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)      3.58%  I/FI/O     03/15/2038      4,295  
156,968    Federal Home Loan Mortgage Corporation, Series 3524-LB      3.79%  #I/OP/O     06/15/2038      156,468  
168,222    Federal Home Loan Mortgage Corporation, Series 3562-WS, (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap)      2.88%  I/FI/O     08/15/2039      9,424  
205,448    Federal Home Loan Mortgage Corporation, Series 3582-SA, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.93%  I/FI/O     10/15/2049      26,871  
21,139,292    Federal Home Loan Mortgage Corporation, Series 355-300      3.00%       08/15/2047      20,523,925  
68,722,754    Federal Home Loan Mortgage Corporation, Series 358-300      3.00%       10/15/2047      66,732,042  
517,343    Federal Home Loan Mortgage Corporation, Series 3606-CS, (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)      4.28%  I/FI/O     12/15/2039      86,338  
298,143    Federal Home Loan Mortgage Corporation, Series 3616-SG, (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)      4.28%  I/FI/O     03/15/2032      32,792  
1,209,179    Federal Home Loan Mortgage Corporation, Series 3626-AZ      5.50%       08/15/2036      1,274,455  
418,086    Federal Home Loan Mortgage Corporation, Series 3666-SC, (-1 x 1 Month LIBOR USD + 5.77%, 5.77% Cap)      3.70%  I/FI/O     05/15/2040      47,888  
307,865    Federal Home Loan Mortgage Corporation, Series 3666-VZ      5.50%       08/15/2036      326,569  
2,528,814    Federal Home Loan Mortgage Corporation, Series 3779-DZ      4.50%       12/15/2040      2,701,669  
1,400,000    Federal Home Loan Mortgage Corporation, Series 3779-YA      3.50%       12/15/2030      1,415,592  
473,984    Federal Home Loan Mortgage Corporation, Series 3786-SG, (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap)      5.35%  I/F     01/15/2041      456,036  
4,906,417    Federal Home Loan Mortgage Corporation, Series 3792-SE, (-2 x 1 Month LIBOR USD + 9.86%, 9.86% Cap)      5.71%  I/F     01/15/2041      4,904,099  
2,689,406    Federal Home Loan Mortgage Corporation, Series 3795-VZ      4.00%       01/15/2041      2,767,493  
52,467    Federal Home Loan Mortgage Corporation, Series 3798-SD, (-2 x 1 Month LIBOR USD + 9.60%, 9.60% Cap)      5.45%  I/F     12/15/2040      46,069  
1,212,551    Federal Home Loan Mortgage Corporation, Series 3806-CZ      5.50%       07/15/2034      1,302,572  
1,156,635    Federal Home Loan Mortgage Corporation, Series 3808-DB      3.50%       02/15/2031      1,152,982  
2,381,447    Federal Home Loan Mortgage Corporation, Series 3818-CZ      4.50%       03/15/2041      2,514,134  
1,306,151    Federal Home Loan Mortgage Corporation, Series 3819-ZU      5.50%       07/15/2034      1,387,507  
3,736,782    Federal Home Loan Mortgage Corporation, Series 3824-EY      3.50%       03/15/2031      3,809,030  
251,282    Federal Home Loan Mortgage Corporation, Series 3828-SW, (-3 x 1 Month LIBOR USD + 13.20%, 13.20% Cap)      6.98%  I/F     02/15/2041      268,197  
2,123,836    Federal Home Loan Mortgage Corporation, Series 3863-ZA      5.50%       08/15/2034      2,242,435  
3,123,598    Federal Home Loan Mortgage Corporation, Series 3888-ZG      4.00%       07/15/2041      3,224,203  
12,970,765    Federal Home Loan Mortgage Corporation, Series 3889-VZ      4.00%       07/15/2041      13,379,554  
3,056,687    Federal Home Loan Mortgage Corporation, Series 3910-GZ      5.00%       08/15/2041      3,352,937  
22,201,260    Federal Home Loan Mortgage Corporation, Series 3967-ZP      4.00%       09/15/2041      23,186,867  
4,604,496    Federal Home Loan Mortgage Corporation, Series 3972-AZ      3.50%       12/15/2041      4,499,163  
25,414,838    Federal Home Loan Mortgage Corporation, Series 4057-ZA      4.00%       06/15/2042      26,334,594  
9,160,810    Federal Home Loan Mortgage Corporation, Series 4096-DZ      3.50%       08/15/2042      8,886,751  
28,705,209    Federal Home Loan Mortgage Corporation, Series 4165-ZT      3.00%       02/15/2043      26,470,953  
6,404,187    Federal Home Loan Mortgage Corporation, Series 4291-MS, (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap)      3.83%  I/FI/O     01/15/2054      922,216  
18,613,328    Federal Home Loan Mortgage Corporation, Series 4341-AZ      3.00%       05/15/2044      17,079,640  
14,537,255    Federal Home Loan Mortgage Corporation, Series 4377-A      3.00%       06/15/2039      14,395,063  
11,161,272    Federal Home Loan Mortgage Corporation, Series 4391-MA      3.00%       07/15/2040      11,028,518  
13,600,965    Federal Home Loan Mortgage Corporation, Series 4413-AZ      3.50%       11/15/2044      13,179,590  
555,666    Federal Home Loan Mortgage Corporation, Series 4419-TB      3.00%       02/15/2040      555,206  
11,301,176    Federal Home Loan Mortgage Corporation, Series 4423-Z      3.50%       12/15/2044      10,931,655  
15,348,757    Federal Home Loan Mortgage Corporation, Series 4427-MA      3.00%       02/15/2034      15,280,756  
23,926,719    Federal Home Loan Mortgage Corporation, Series 4471-BA      3.00%       12/15/2041      23,258,496  
34,501,069    Federal Home Loan Mortgage Corporation, Series 4471-GA      3.00%       02/15/2044      33,596,724  
20,966,405    Federal Home Loan Mortgage Corporation, Series 4481-B      3.00%       12/15/2042      20,474,015  
12,358,326    Federal Home Loan Mortgage Corporation, Series 4511-QA      3.00%       01/15/2041      12,233,559  
56,594,820    Federal Home Loan Mortgage Corporation, Series 4542-AC      2.70%       01/15/2045      54,322,295  
97,840,235    Federal Home Loan Mortgage Corporation, Series 4750-PA      3.00%       07/15/2046      95,281,527  
73,228,817    Federal Home Loan Mortgage Corporation, Series 4752-PL      3.00%       09/15/2046      72,095,931  
36,397,880    Federal Home Loan Mortgage Corporation, Series 4768-CA      3.50%       03/15/2044      36,509,006  
4,781,000    Federal Home Loan Mortgage Corporation, Series K050-A2      3.33%  #     08/25/2025      4,819,466  
6,528,000    Federal Home Loan Mortgage Corporation, Series K053-A2      3.00%       12/25/2025      6,430,914  
472,077    Federal Home Loan Mortgage Corporation, Series R003-ZA      5.50%       10/15/2035      509,689  
6,720,000    Federal Home Loan Mortgage Corporation Pass-Thru, Series K054-A2      2.75%       01/25/2026      6,499,875  
105,192,637    Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1      1.44%  #I/O     03/25/2023      5,231,588  
16,479,630    Federal National Mortgage Association, Pool AL9238      3.00%       10/01/2041      16,113,102  
46,680,168    Federal National Mortgage Association, Pool AS7661      3.00%       08/01/2046      44,912,880  
9,663,460    Federal National Mortgage Association, Pool AS7724      2.50%       08/01/2046      9,058,071  
38,290,984    Federal National Mortgage Association, Pool AS8522      3.00%       12/01/2046      37,150,973  
22,771,491    Federal National Mortgage Association, Pool BC9081      3.00%       12/01/2046      22,093,526  
21,764,647    Federal National Mortgage Association, Pool BD8013      2.50%       09/01/2046      20,401,175  
16,327,821    Federal National Mortgage Association, Pool MA2621      3.50%       05/01/2046      16,151,575  
27,620,734    Federal National Mortgage Association, Pool MA2649      3.00%       06/01/2046      26,576,516  
329,235    Federal National Mortgage Association, Series 2003-W17-1A7      5.75%       08/25/2033      357,483  
2,401,913    Federal National Mortgage Association, Series 2005-20-QH      5.00%       03/25/2035      2,534,277  
431,065    Federal National Mortgage Association, Series 2006-101-SA, (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap)      4.49%  I/FI/O     10/25/2036      68,364  
185,121    Federal National Mortgage Association, Series 2006-56-SM, (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)      4.66%  I/FI/O     07/25/2036      23,077  
138,968    Federal National Mortgage Association, Series 2007-116-BI, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.16%  I/FI/O     05/25/2037      16,088  
1,729,535    Federal National Mortgage Association, Series 2007-30-FS, (-5 x 1 Month LIBOR USD + 29.83%, 29.83% Cap)      20.14%  I/F     04/25/2037      2,297,681  
672,500    Federal National Mortgage Association, Series 2007-30-OI, (-1 x 1 Month LIBOR USD + 6.44%, 6.44% Cap)      4.35%  I/FI/O     04/25/2037      104,924  
120,308    Federal National Mortgage Association, Series 2008-29-ZA      4.50%       04/25/2038      125,628  
61,910    Federal National Mortgage Association, Series 2008-62-SC, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.91%  I/FI/O     07/25/2038      4,204  
657,349    Federal National Mortgage Association, Series 2009-111-EZ      5.00%       01/25/2040      670,029  
24,222    Federal National Mortgage Association, Series 2009-111-SE, (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.16%  I/FI/O     01/25/2040      2,471  
79,024    Federal National Mortgage Association, Series 2009-16-MZ      5.00%       03/25/2029      83,969  
85,923    Federal National Mortgage Association, Series 2009-48-WS, (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap)      3.86%  I/FI/O     07/25/2039      8,043  
316,340    Federal National Mortgage Association, Series 2009-62-PS, (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.01%  I/FI/O     08/25/2039      22,143  
1,265,458    Federal National Mortgage Association, Series 2009-77-ZA      4.50%       10/25/2039      1,320,997  
285,053    Federal National Mortgage Association, Series 2009-83-Z      4.50%       10/25/2039      292,578  
130,159    Federal National Mortgage Association, Series 2010-101-ZH      4.50%       07/25/2040      134,317  
55,491    Federal National Mortgage Association, Series 2010-109-BS, (-11 x 1 Month LIBOR USD + 55.00%, 55.00% Cap)      33.19%  I/F     10/25/2040      159,548  
499,326    Federal National Mortgage Association, Series 2010-112-ZA      4.00%       10/25/2040      500,416  
296,076    Federal National Mortgage Association, Series 2010-121-SD, (-1 x 1 Month LIBOR USD + 4.50%, 4.50% Cap)      2.41%  I/FI/O     10/25/2040      20,372  
29,336    Federal National Mortgage Association, Series 2010-137-VS, (-3 x 1 Month LIBOR USD + 15.00%, 15.00% Cap)      9.05%  I/F     12/25/2040      34,673  
2,287,324    Federal National Mortgage Association, Series 2010-150-ZA      4.00%       01/25/2041      2,296,717  
61,704    Federal National Mortgage Association, Series 2010-31-SA, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     04/25/2040      3,726  
100,543    Federal National Mortgage Association, Series 2010-34-PS, (-1 x 1 Month LIBOR USD + 4.93%, 4.93% Cap)      2.84%  I/FI/O     04/25/2040      7,881  
202,796    Federal National Mortgage Association, Series 2010-35-SP, (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)      4.26%  I/FI/O     04/25/2050      28,208  
53,291    Federal National Mortgage Association, Series 2010-35-SV, (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)      4.36%  I/FI/O     04/25/2040      4,415  
2,231,033    Federal National Mortgage Association, Series 2010-37-MY      4.50%       04/25/2040      2,302,101  
118,635    Federal National Mortgage Association, Series 2010-59-PS, (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)      4.36%  I/FI/O     03/25/2039      6,743  
271,988    Federal National Mortgage Association, Series 2010-59-SC, (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      2.91%  I/FI/O     01/25/2040      21,701  
940,756    Federal National Mortgage Association, Series 2010-60-VZ      5.00%       10/25/2039      948,755  
245,225    Federal National Mortgage Association, Series 2010-64-EZ      5.00%       06/25/2040      260,612  
521,427    Federal National Mortgage Association, Series 2010-7-PE      5.00%       02/25/2040      557,332  
157,606    Federal National Mortgage Association, Series 2010-90-GS, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.91%  I/FI/O     08/25/2040      17,533  
57,791    Federal National Mortgage Association, Series 2010-99-SG, (-5 x 1 Month LIBOR USD + 25.00%, 25.00% Cap)      15.09%  I/F     09/25/2040      79,920  
6,551,785    Federal National Mortgage Association, Series 2011-141-PZ      4.00%       01/25/2042      6,664,630  
15,671,673    Federal National Mortgage Association, Series 2011-18-UZ      4.00%       03/25/2041      16,379,631  
1,533,918    Federal National Mortgage Association, Series 2011-25-KY      3.00%       04/25/2026      1,536,271  
1,000,000    Federal National Mortgage Association, Series 2011-29-AL      3.50%       04/25/2031      989,356  
1,256,604    Federal National Mortgage Association, Series 2011-59-MA      4.50%       07/25/2041      1,304,792  
25,040,789    Federal National Mortgage Association, Series 2013-45-LZ      3.00%       05/25/2043      23,245,527  
32,153,961    Federal National Mortgage Association, Series 2013-6-ZB      3.00%       02/25/2043      28,872,929  
10,372,802    Federal National Mortgage Association, Series 2014-55-MA      3.00%       10/25/2039      10,307,698  
25,763,510    Federal National Mortgage Association, Series 2014-70-VZ      3.00%       11/25/2044      23,563,098  
8,624,000    Federal National Mortgage Association, Series 2014-73-CZ      3.00%       11/25/2044      7,842,772  
24,928,712    Federal National Mortgage Association, Series 2015-9-HA      3.00%       01/25/2045      24,738,453  
6,348,000    Federal National Mortgage Association, Series 2016-M3-A2      2.70%       02/25/2026      6,097,999  
3,777,323    Federal National Mortgage Association, Series 2017-86-MA      3.00%       04/25/2046      3,718,010  
98,290,109    Federal National Mortgage Association, Series 2018-21      0.00%  P/O     04/25/2048      78,101,586  
69,177,543    Federal National Mortgage Association, Series 2018-27      3.00%       12/25/2047      66,666,793  
174,679,547    Federal National Mortgage Association, Series 2018-35      0.00%  P/O     05/25/2048      134,813,814  
66,873,239    Federal National Mortgage Association, Series 2018-36      3.00%       06/25/2048      64,864,801  
43,271,532    Federal National Mortgage Association, Series 2018-39      3.00%       06/25/2048      41,962,970  
334,414    Federal National Mortgage Association, Series 400-S4, (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)      3.36%  I/FI/O     11/25/2039      39,753  
146,151    Federal National Mortgage Association Pass-Thru, Pool 555743      5.00%       09/01/2033      156,609  
126,411    Federal National Mortgage Association Pass-Thru, Pool 735382      5.00%       04/01/2035      135,422  
1,003,688    Federal National Mortgage Association Pass-Thru, Pool 735383      5.00%       04/01/2035      1,075,266  
515,065    Federal National Mortgage Association Pass-Thru, Pool 735402      5.00%       04/01/2035      551,767  
740,422    Federal National Mortgage Association Pass-Thru, Pool 735484      5.00%       05/01/2035      793,208  
134,453    Federal National Mortgage Association Pass-Thru, Pool 931104      5.00%       05/01/2039      141,974  
863,648    Federal National Mortgage Association Pass-Thru, Pool 995203      5.00%       07/01/2035      925,337  
821,521    Federal National Mortgage Association Pass-Thru, Pool AB2123      4.00%       01/01/2031      844,232  
45,082    Federal National Mortgage Association Pass-Thru, Pool AB2370      4.50%       09/01/2035      46,283  
25,624    Federal National Mortgage Association Pass-Thru, Pool AD2177      4.50%       06/01/2030      26,793  
1,217,377    Federal National Mortgage Association Pass-Thru, Pool AH7309      4.00%       02/01/2031      1,251,079  
28,896,932    Federal National Mortgage Association Pass-Thru, Pool AS4645      3.00%       03/01/2045      28,127,033  
12,458,042    Federal National Mortgage Association Pass-Thru, Pool BC0785      3.50%       04/01/2046      12,436,894  
635,951    Federal National Mortgage Association Pass-Thru, Pool MA0264      4.50%       12/01/2029      664,663  
28,771    Federal National Mortgage Association Pass-Thru, Pool MA0282      5.00%       12/01/2039      30,575  
437,900    Federal National Mortgage Association Pass-Thru, Pool MA0353      4.50%       03/01/2030      457,848  
23,872    Federal National Mortgage Association Pass-Thru, Pool MA0468      5.00%       07/01/2040      24,688  
13,902,051    Federal National Mortgage Association Pass-Thru, Pool MA2151      3.50%       01/01/2045      13,751,790  
9,962,845    Federal National Mortgage Association Pass-Thru, Pool MA2248      3.00%       04/01/2045      9,613,792  
181,161    Government National Mortgage Association, Pool 752494C      5.50%       09/20/2039      191,733  
261,212    Government National Mortgage Association, Series 2003-67-SP, (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap)      5.02%  I/FI/O     08/20/2033      40,584  
145,639    Government National Mortgage Association, Series 2008-82-SM, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.97%  I/FI/O     09/20/2038      16,760  
2,043,989    Government National Mortgage Association, Series 2009-32-ZE      4.50%       05/16/2039      2,151,792  
2,263,987    Government National Mortgage Association, Series 2009-35-DZ      4.50%       05/20/2039      2,375,535  
2,381,727    Government National Mortgage Association, Series 2009-75-GZ      4.50%       09/20/2039      2,455,727  
2,865,438    Government National Mortgage Association, Series 2009-75-HZ      5.00%       09/20/2039      3,006,674  
7,387,508    Government National Mortgage Association, Series 2010-113-SM, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.97%  I/FI/O     09/20/2040      980,239  
128,962    Government National Mortgage Association, Series 2010-25-ZB      4.50%       02/16/2040      134,859  
4,615,082    Government National Mortgage Association, Series 2011-45-GZ      4.50%       03/20/2041      4,735,700  
6,984,167    Government National Mortgage Association, Series 2011-70-WS, (-2 x 1 Month LIBOR USD + 9.70%, 9.70% Cap)      5.53%  I/F     12/20/2040      6,986,143  
12,407,372    Government National Mortgage Association, Series 2011-71-ZA      4.50%       02/20/2041      12,839,498  
13,992,789    Government National Mortgage Association, Series 2013-117-MS, (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)      4.07%  I/FI/O     02/20/2043      1,528,965  
6,702,918    Government National Mortgage Association, Series 2013-122-SB, (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.01%  I/FI/O     08/16/2043      965,439  
30,232,694    Government National Mortgage Association, Series 2013-169-SE, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.96%  I/FI/O     11/16/2043      3,608,559  
10,423,711    Government National Mortgage Association, Series 2014-102-TS, (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)      3.52%  I/FI/O     07/20/2044      1,245,391  
8,236,989    Government National Mortgage Association, Series 2014-118-PS, (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)      4.12%  I/FI/O     08/20/2044      1,216,675  
7,207,365    Government National Mortgage Association, Series 2014-118-SA, (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)      4.12%  I/FI/O     08/20/2044      938,826  
           

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $1,744,059,182)

            1,718,599,277  
        

 

 

  

US Government and Agency Obligations - 19.6%

         
91,470,000    United States Treasury Bonds      2.75%       11/15/2042      87,877,302  
43,600,000    United States Treasury Bonds      3.38%       05/15/2044      46,667,328  
77,600,000    United States Treasury Bonds      2.88%       08/15/2045      75,993,438  
79,800,000    United States Treasury Bonds      2.88%       11/15/2046      78,076,195  
52,100,000    United States Treasury Bonds      2.75%       11/15/2047      49,671,041  
137,122,282    United States Treasury Inflation Indexed Bonds      0.13%       04/15/2022      134,343,413  
46,090,350    United States Treasury Inflation Indexed Bonds      0.38%       07/15/2027      44,850,909  
9,980,000    United States Treasury Notes      1.13%       01/31/2019      9,918,600  
136,400,000    United States Treasury Notes      1.50%       10/31/2019      134,724,304  
137,800,000    United States Treasury Notes      1.75%       11/30/2019      136,432,765  
102,100,000    United States Treasury Notes      2.13%       08/31/2020      101,182,695  
110,700,000    United States Treasury Notes      2.00%       09/30/2020      109,329,223  
100,000,000    United States Treasury Notes      1.75%       10/31/2020      98,140,625  
113,370,000    United States Treasury Notes      1.63%       11/30/2020      110,825,817  
109,800,000    United States Treasury Notes      2.00%       05/31/2021      107,902,089  
114,200,000    United States Treasury Notes      1.13%       06/30/2021      109,277,355  
17,430,000    United States Treasury Notes      1.88%       01/31/2022      16,954,420  
113,100,000    United States Treasury Notes      1.88%       08/31/2024      107,277,117  
113,300,000    United States Treasury Notes      2.13%       09/30/2024      108,916,263  
133,220,000    United States Treasury Notes      2.25%       10/31/2024      128,950,195  
123,770,000    United States Treasury Notes      2.25%       08/15/2027      117,784,559  
6,300,000    United States Treasury Notes      2.25%       11/15/2027      5,987,461  
67,900,000    United States Treasury Notes      3.63%       08/15/2043      75,599,754  
63,200,000    United States Treasury Notes      3.00%       02/15/2047      63,380,219  
           

 

 

  

Total US Government and Agency Obligations (Cost $2,069,329,567)

            2,060,063,087  
        

 

 

  

Affiliated Mutual Funds - 10.7%

         
60,546,122    DoubleLine Global Bond Fund (Class I)            619,386,825  
45,674,545    DoubleLine Infrastructure Income Fund (Class I)            452,634,739  
5,000,000    DoubleLine Long Duration Total Return Bond Fund (Class I)            48,050,000  
           

 

 

  

Total Affiliated Mutual Funds (Cost $1,127,900,000)

            1,120,071,564  
        

 

 

  

Exchange Traded Funds and Common Stocks - 0.0%

         
135,693    Frontera Energy Corporation *            1,970,943  
7,893    SandRidge Energy, Inc. *            140,022  
           

 

 

  

Total Exchange Traded Funds and Common Stocks (Cost $12,119,535)

            2,110,965  
        

 

 

  

Short Term Investments - 3.1%

         
37,859,254    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%   ◆          37,859,254  
37,859,254    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%   ◆          37,859,254  
37,859,254    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%   ◆          37,859,254  
44,300,000    United States Treasury Bills      0.00%       09/06/2018      44,147,719  
167,100,000    United States Treasury Bills      0.00%       12/06/2018      165,625,209  
           

 

 

  

Total Short Term Investments (Cost $323,310,602)

            323,350,690  
        

 

 

  

Total Investments - 100.1% (Cost $10,662,883,820)

            10,505,476,311  

Liabilities in Excess of Other Assets - (0.1)%

            (11,085,543 ) 
        

 

 

  

NET ASSETS - 100.0%

            $         10,494,390,768  
        

 

 

  

  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $2,087,096,403 or 19.9% of net assets.  

 

  # 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 June 30, 2018.  

 

  ± Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate desclosed is as of June 30, 2018.  

 

  † Perpetual Maturity  

 

  I/O Interest only security  

 

  I/F 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.  

 

  P/O Principal only security  

 

  PIK A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings.  

 

  * Non-income producing security  

 

  ◆ Seven-day yield as of June 30, 2018  

 

  ¥ Illiquid security  

 

  & Unfunded or partially unfunded loan commitment. At June 30, 2018, the value of these securities amounted to $5,153,357 or 0.0% of net assets.  

 

  ß The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  § The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  Þ Value determined using significant unobservable inputs.  

 

  W Security is in default or has failed to make a scheduled payment. Income is not being accrued.  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

US Government and Agency Obligations

      19.6%  

US Government and Agency Mortgage Backed Obligations

      16.4%  

US Corporate Bonds

      12.7%  

Affiliated Mutual Funds

      10.7%  

Foreign Corporate Bonds

      9.4%  

Non-Agency Residential Collateralized Mortgage Obligations

      8.8%  

Non-Agency Commercial Mortgage Backed Obligations

      7.3%  

Bank Loans

      5.3%  

Short Term Investments

      3.1%  

Collateralized Loan Obligations

      2.7%  

Asset Backed Obligations

      2.4%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      1.6%  

Municipal Bonds

      0.1%  

Exchange Traded Funds and Common Stocks

      0.0%  ~ 

Other Assets and Liabilities

      (0.1)%  
  

 

 

  
                 100.0%  
  

 

 

  

 

  ~

Represents less than 0.05% of net assets

 

INVESTMENT BREAKDOWN as a % of Net Assets:

 

US Government and Agency Obligations

      19.6%  

US Government and Agency Mortgage Backed Obligations

      16.4%  

Affiliated Mutual Funds

      10.7%  

Non-Agency Residential Collateralized Mortgage Obligations

      8.8%  

Non-Agency Commercial Mortgage Backed Obligations

      7.3%  

Banking

      5.0%  

Energy

      3.8%  

Short Term Investments

      3.1%  

Collateralized Loan Obligations

      2.7%  

Asset Backed Obligations

      2.4%  

Telecommunications

      1.8%  

Healthcare

      1.7%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      1.6%  

Utilities

      1.2%  

Transportation

      1.1%  

Technology

      0.9%  

Automotive

      0.8%  

Insurance

      0.8%  

Pharmaceuticals

      0.8%  

Business Equipment and Services

      0.7%  

Food Products

      0.7%  

Consumer Products

      0.7%  

Electronics/Electric

      0.7%  

Finance

      0.7%  

Media

      0.7%  

Aerospace & Defense

      0.5%  

Hotels/Motels/Inns and Casinos

      0.5%  

Leisure

      0.4%  

Pulp & Paper

      0.4%  

Industrial Equipment

      0.4%  

Containers and Glass Products

      0.3%  

Chemicals/Plastics

      0.3%  

Mining

      0.3%  

Real Estate

      0.3%  

Retailers (other than Food/Drug)

      0.3%  

Food Service

      0.2%  

Building and Development (including Steel/Metals)

      0.2%  

Beverage and Tobacco

      0.2%  

Food/Drug Retailers

      0.2%  

Chemical Products

      0.2%  

Commercial Services

      0.2%  

Construction

      0.2%  

Conglomerates

      0.1%  

Environmental Control

      0.1%  

Municipal Bonds

      0.1%  

Cosmetics/Toiletries

      0.0%  ~ 

Other Assets and Liabilities

      (0.1)%  
  

 

 

  
                 100.0%  
  

 

 

  

 

  ~

Represents less than 0.05% of net assets

 

A summary of the DoubleLine Core Fixed Income Fund’s investments in affiliated mutual funds for the period ended June 30, 2018 is as follows:

 

Fund    Value at
March 31, 2018		      Gross Purchases      Gross Sales      Shares Held at
June 30, 2018		      Value at
June 30, 2018		     

Change in Unrealized

for the

Period Ended

June 30, 2018

    

Dividend Income

Earned in the

Period Ended

June 30, 2018

     

Net Realized Gain

(Loss) in the

Period Ended

June 30, 2018

  
DoubleLine Global Bond Fund (Class I)    $ 517,745,649      $ 125,500,000      $ -        60,546,122      $ 619,386,825      $ (23,858,824 )    $ 3,069,185      $ -  
DoubleLine Infrastructure Income Fund (Class I)      456,745,448        -        -        45,674,545        452,634,739        (4,110,709 )      3,456,449        -  
DoubleLine Long Duration Total Return Bond Fund (Class I)      48,650,000       
 -
  
      -        5,000,000        48,050,000        (600,000 )      383,505        -  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  
     $1,023,141,097      $ 125,500,000      $ -        111,220,667      $ 1,120,071,564      $ (28,569,533 )    $ 6,909,139      $ -  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

 

DoubleLine Emerging Markets Fixed Income Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

$/Shares

   

Security Description

    Rate     

Maturity

    Value $  

Foreign Corporate Bonds - 77.7%

 

      

Argentina - 3.2%

 

      
2,800,000    Banco Macro S.A., (5 Year Swap Rate USD + 5.46%)      6.75%       11/04/2026      2,632,000  
15,845,000    Pampa Energia S.A.      7.50%       01/24/2027      14,339,725  
10,850,000    YPF S.A.      8.50%       07/28/2025      10,372,058  
5,200,000    YPF S.A.      6.95%       07/21/2027      4,478,500  
           

 

 

  
              31,822,283  
           

 

 

  

Brazil - 8.4%

         
1,500,000    Banco BTG Pactual S.A.      5.50%       01/31/2023      1,398,750  
200,000    Banco BTG Pactual S.A., (5 Year CMT Rate + 6.98%)      8.75%  †     09/18/2019      202,604  
18,200,000    Banco do Brasil S.A., (10 Year CMT Rate + 4.40%)      6.25%  †     04/15/2024      14,309,750  
7,631,000    Cosan Overseas Ltd.      8.25%  †     08/05/2018      7,640,539  
11,000,000    ESAL GMBH      6.25%      02/05/2023      10,298,750  
3,300,000    Itau Unibanco Holding S.A., (5 Year CMT Rate + 3.98%)      6.13%  †     12/12/2022      3,089,625  
7,000,000    Itau Unibanco Holding S.A., (5 Year CMT Rate + 3.86%)      6.50%  †     03/19/2023      6,650,000  
2,880,000    Magnesita Finance Ltd.      8.63%  †     07/30/2018      2,876,400  
3,500,000    MARB BondCo PLC      7.00%  ^     03/15/2024      3,377,500  
4,300,000    MARB BondCo PLC      6.88%      01/19/2025      4,098,437  
3,000,000    Marfrig Holdings Europe B.V.      8.00%  ^     06/08/2023      3,048,750  
6,700,000    Minerva Luxembourg S.A.      6.50%       09/20/2026      6,164,000  
4,417,000    Minerva Luxembourg S.A.      5.88%       01/19/2028      3,872,605  
11,000,000    OAS Financial Ltd., (5 Year CMT Rate + 8.19%)      8.88%  ^†W     07/30/2018      990,000  
3,000,000    Odebrecht Finance Ltd.      7.13%       06/26/2042      1,065,000  
14,300,000    Petrobras Global Finance B.V.      5.75%       02/01/2029      12,593,009  
3,450,000    Petrobras Global Finance B.V.      7.25%       03/17/2044      3,204,187  
           

 

 

  
              84,879,906  
           

 

 

  

Chile - 10.0%

            
7,706,000    Banco de Credito e Inversiones      4.00%       02/11/2023      7,678,680  
5,000,000    Banco del Estado de Chile      4.13%       10/07/2020      5,058,503  
5,573,000    Banco del Estado de Chile      3.88%       02/08/2022      5,568,396  
1,385,000    Banco Santander      3.88%       09/20/2022      1,380,513  
4,718,000    Celulosa Arauco y Constitucion S.A.      4.75%       01/11/2022      4,834,818  
10,010,000    Corpbanca S.A.      3.88%       09/22/2019      10,057,930  
7,704,000    ECL S.A.      5.63%       01/15/2021      7,987,873  
17,293,000    Embotelladora Andina S.A.      5.00%       10/01/2023      17,951,973  
1,817,350    Empresa Electrica Angamos S.A.      4.88%       05/25/2029      1,779,152  
3,647,000    Geopark Ltd.      6.50%       09/21/2024      3,516,838  
9,846,168    Guanay Finance Ltd.      6.00%       12/15/2020      9,920,014  
7,040,000    Inversiones CMPC S.A.      4.50%       04/25/2022      7,117,396  
3,475,000    Latam Finance Ltd.      6.88%       04/11/2024      3,414,187  
5,026,000    SACI Falabella      3.75%       04/30/2023      4,922,918  
7,200,000    Telefonica Chile S.A.      3.88%       10/12/2022      7,139,405  
900,000    Transelec S.A.      4.63%       07/26/2023      923,427  
1,400,000    VTR Finance B.V.      6.88%       01/15/2024      1,411,830  
           

 

 

  
              100,663,853  
           

 

 

  

China - 3.0%

            
700,000    Alibaba Group Holding Ltd.      2.80%       06/06/2023      674,218  
2,000,000    CNOOC Finance Ltd.      4.25%       01/26/2021      2,040,074  
500,000    CNOOC Finance Ltd.      3.88%       05/02/2022      503,544  
800,000    CNOOC Finance Ltd.      3.50%       05/05/2025      772,315  
1,200,000    CNPC General Capital Ltd.      3.95%       04/19/2022      1,211,795  
12,500,000    CNPC Overseas Capital Ltd.      4.50%       04/28/2021      12,844,840  
4,000,000    Sinopec Group Overseas Development Ltd.      2.75%       05/03/2021      3,924,292  
9,000,000    Sinopec Group Overseas Development Ltd.      2.75%       09/29/2026      8,097,003  
           

 

 

  
              30,068,081  
           

 

 

  

Colombia - 3.1%

         
1,050,000    Bancolombia S.A.      6.13%       07/26/2020      1,095,937  
1,700,000    Bancolombia S.A., (5 Year CMT Rate + 2.93%)      4.88%       10/18/2027      1,617,142  
1,545,000    Canacol Energy Ltd.      7.25%  ^     05/03/2025      1,496,719  
2,100,000    Canacol Energy Ltd.      7.25%       05/03/2025      2,034,375  
11,000,000    Ecopetrol S.A.      7.63%       07/23/2019      11,509,300  
4,100,000    Ecopetrol S.A.      5.88%       09/18/2023      4,356,250  
4,800,000    Gran Tierra Energy International Holdings Ltd.      6.25%       02/15/2025      4,518,000  
4,230,000    Transportadora de Gas Internacional S.A.      5.70%       03/20/2022      4,304,025  
           

 

 

  
              30,931,748  
           

 

 

  

Costa Rica - 0.9%

 

      
2,850,000    Banco de Costa Rica      5.25%       08/12/2018      2,853,420  
970,000    Banco Nacional de Costa Rica      4.88%       11/01/2018      972,425  
4,000,000    Banco Nacional de Costa Rica      5.88%  ^     04/25/2021      4,069,200  
1,400,000    Banco Nacional de Costa Rica      5.88%       04/25/2021      1,424,220  
           

 

 

  
              9,319,265  
           

 

 

  

Dominican Republic - 1.4%

 

      
7,500,000    AES Andres B.V.      7.95%  ^     05/11/2026      7,762,500  
1,800,000    Banco de Reservas de la Republica Dominicana      7.00%  ^     02/01/2023      1,818,000  
4,000,000    Banco de Reservas de la Republica Dominicana      7.00%       02/01/2023      4,040,000  
           

 

 

  
              13,620,500  
           

 

 

  

Guatemala - 0.5%

 

      
2,500,000    Bantrab Senior Trust      9.00%       11/14/2020      2,559,375  
1,000,000    Comcel Trust      6.88%       02/06/2024      1,028,575  
1,000,000    Industrial Senior Trust      5.50%       11/01/2022      988,750  
           

 

 

  
              4,576,700  
           

 

 

  

Hong Kong - 1.6%

 

      
300,000    CK Hutchison International Ltd.      2.88%  ^     04/05/2022      292,573  
3,799,000    CK Hutchison International Ltd.      2.88%       04/05/2022      3,704,953  
4,000,000    CK Hutchison International Ltd.      2.75%  ^     03/29/2023      3,826,390  
7,600,000    CK Hutchison International Ltd.      3.50%  ^     04/05/2027      7,298,726  
1,300,000    Hutchison Whampoa International Ltd.      3.25%       11/08/2022      1,280,532  
           

 

 

  
              16,403,174  
           

 

 

  

India - 14.8%

 

      
4,853,000    Adani Ports & Special Economic Zone Ltd.      3.95%       01/19/2022      4,765,496  
2,253,000    Bharat Petroleum Corporation Ltd.      4.63%       10/25/2022      2,289,025  
17,964,000    Bharti Airtel Ltd.      5.13%       03/11/2023      17,787,360  
10,000,000    Bharti Airtel Ltd.      4.38%       06/10/2025      9,231,874  
19,195,000    BPRL International Singapore Pte Ltd.      4.38%       01/18/2027      18,265,559  
6,400,000    Export-Import Bank of India      4.00%       01/14/2023      6,350,771  
5,342,000    Indian Oil Corporation Ltd.      5.63%       08/02/2021      5,583,084  
21,825,000    Indian Oil Corporation Ltd.      5.75%       08/01/2023      23,054,533  
25,000,000    ONGC Videsh Ltd.      3.75%       07/27/2026      23,385,075  
21,000,000    Reliance Holdings, Inc.      5.40%       02/14/2022      21,814,900  
500,000    Reliance Industries Ltd.      8.25%       01/15/2027      625,798  
13,427,000    UPL Corporation      3.25%       10/13/2021      13,016,886  
3,500,000    Vedanta Resources PLC      6.13%       08/09/2024      3,084,977  
           

 

 

  
              149,255,338  
           

 

 

  

Israel - 0.5%

 

      
1,100,000    Delek & Avner Tamar Bond Ltd.      5.08%  ^     12/30/2023      1,103,080  
2,320,000    Delek & Avner Tamar Bond Ltd.      5.41%  ^     12/30/2025      2,335,660  
1,400,000    Israel Electric Corporation Ltd.      5.00%  ^     11/12/2024      1,440,600  
           

 

 

  
              4,879,340  
           

 

 

  

Jamaica - 1.3%

 

      
7,500,000    Digicel Ltd.      7.13%  ^     04/01/2022      4,968,750  
12,000,000    Digicel Ltd.      7.13%       04/01/2022      7,950,000  
           

 

 

  
              12,918,750  
           

 

 

  

Malaysia - 5.9%

 

      
18,750,000    Axiata SPV2 BHD      3.47%       11/19/2020      18,669,375  
17,000,000    Gohl Capital Ltd.      4.25%       01/24/2027      16,121,763  
9,100,000    Malayan Banking BHD, (5 Year Swap Rate USD + 2.54%)      3.91%       10/29/2026      8,974,465  
12,500,000    Petronas Capital Ltd.      3.50%       03/18/2025      12,102,638  
3,000,000    Petronas Global Sukuk Ltd.      2.71%       03/18/2020      2,970,774  
           

 

 

  
              58,839,015  
           

 

 

  

Mexico - 2.9%

 

      
1,000,000    America Movil S.A.B. de C.V.      3.13%       07/16/2022      984,379  
200,000    Banco Mercantil del Norte S.A., (5 Year CMT Rate + 4.45%)      5.75%       10/04/2031      183,750  
200,000    Banco Mercantil del Norte S.A., (5 Year CMT Rate + 5.04%)      6.88%  †     07/06/2022      198,468  
9,050,000    Banco Santander, (5 Year CMT Rate + 4.58%)      5.95%       01/30/2024      9,129,188  
800,000    BBVA Bancomer S.A., (5 Year CMT Rate + 3.00%)      5.35%       11/12/2029      746,000  
2,300,000    BBVA Bancomer S.A., (5 Year CMT Rate + 2.65%)      5.13%       01/18/2033      2,049,875  
743,000    Coca-Cola Femsa S.A.B. de C.V.      3.88%       11/26/2023      744,997  
400,000    Fomento Economico Mexicano S.A.B. de C.V.      2.88%       05/10/2023      382,531  
2,000,000    Fresnillo PLC      5.50%       11/13/2023      2,070,000  
8,500,000    Grupo Idesa S.A. de C.V.      7.88%  ^     12/18/2020      6,630,000  
7,104,000    Grupo Idesa S.A. de C.V.      7.88%       12/18/2020      5,541,120  
1,083,000    Unifin Financiera S.A.B. de C.V., (5 Year CMT Rate + 6.31%)      8.88%  †     01/29/2025      972,545  
           

 

 

  
              29,632,853  
           

 

 

  

Panama - 5.6%

 

      
800,000    Banco Latinoamericano do Comercio Exterior S.A.      3.25%       05/07/2020      792,000  
4,000,000    Banistmo S.A.      3.65%  ^     09/19/2022      3,785,000  
1,686,000    C&W Senior Financing DAC      6.88%       09/15/2027      1,620,668  
9,291,821    ENA Norte Trust      4.95%       04/25/2023      9,361,510  
15,300,000    Global Bank Corporation      5.13%       10/30/2019      15,449,940  
1,500,000    Global Bank Corporation      4.50%  ^     10/20/2021      1,464,000  
13,000,000    Panama Metro Line SP      0.00%  ^     12/05/2022      11,677,250  
13,000,000    Panama Metro Line SP      0.00%       12/05/2022      11,677,250  
           

 

 

  
              55,827,618  
           

 

 

  

Paraguay - 0.0%

 

      
400,000    Telefonica Celular del Paraguay S.A.      6.75%  ^     12/13/2022      410,000  
           

 

 

  
              410,000  
           

 

 

  

Peru - 5.4%

 

      
3,900,000    Ajecorp B.V.      6.50%       05/14/2022      3,110,250  
300,000    Banco de Credito del Peru      2.25%       10/25/2019      295,875  
5,290,000    Banco de Credito del Peru      5.38%       09/16/2020      5,506,890  
18,639,000    Banco International del Peru S.A.A.      5.75%       10/07/2020      19,477,755  
2,100,000    Banco International del Peru S.A.A., (3 Month LIBOR USD + 6.74%)      8.50%       04/23/2070      2,205,000  
2,800,000    BBVA Banco Continental S.A.      5.00%       08/26/2022      2,880,500  
2,200,000    Camposol S.A.      10.50%  ^     07/15/2021      2,321,000  
5,000,000    Fondo Mivivienda S.A.      3.50%       01/31/2023      4,832,550  
400,000    Inkia Energy Ltd.      5.88%       11/09/2027      374,500  
2,100,000    Pesquera Exalmar S.A.A.      7.38%  ^     01/31/2020      2,089,500  
2,730,000    Pesquera Exalmar S.A.A.      7.38%       01/31/2020      2,716,350  
9,000,000    Transportadora de Gas del Peru S.A.      4.25%       04/30/2028      8,701,650  
           

 

 

  
              54,511,820  
           

 

 

  

Philippines - 2.2%

         
6,820,000    BDO Unibank, Inc.      2.63%       10/24/2021      6,572,686  
16,171,000    BDO Unibank, Inc.      2.95%       03/06/2023      15,320,616  
500,000    Union Bank of the Philippines      3.37%       11/29/2022      475,903  
           

 

 

  
              22,369,205  
           

 

 

  

Singapore - 7.0%

         
10,400,000    DBS Group Holdings Ltd., (5 Year Swap Rate USD + 2.39%)      3.60%  †     09/07/2021      9,953,289  
5,000,000    Oversea-Chinese Banking Corporation, (5 Year Swap Rate USD + 2.20%)      4.00%       10/15/2024      5,020,012  
1,950,000    PSA International Ltd.      3.88%       02/11/2021      1,981,791  
1,000,000    Singtel Group Treasury      4.50%       09/08/2021      1,032,849  
28,000,000    Temasek Financial Ltd.      2.38%       01/23/2023      26,926,165  
8,500,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.00%)      3.75%       09/19/2024      8,501,725  
17,000,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.24%)      3.50%       09/16/2026      16,700,749  
           

 

 

  
              70,116,580  
           

 

 

  

Total Foreign Corporate Bonds (Cost $825,449,970)

 

         781,046,029  
           

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 19.3%

 

      

Argentina - 2.9%

         
13,400,000    Argentine Republic Government International Bond      6.88%       01/26/2027      11,842,250  
5,200,000    Argentine Republic Government International Bond      5.88%       01/11/2028      4,241,250  
4,200,000    Argentine Republic Government International Bond      6.63%       07/06/2028      3,554,250  
10,900,000    Provincia de Buenos Aires      7.88%       06/15/2027      9,592,000  
           

 

 

  
              29,229,750  
           

 

 

  

Chile - 3.0%

         
500,000    Chile Government International Bond      2.25%       10/30/2022      477,250  
15,400,000    Chile Government International Bond      3.13%       03/27/2025      14,899,500  
14,800,000    Chile Government International Bond      3.13%       01/21/2026      14,200,600  
           

 

 

  
              29,577,350  
           

 

 

  

Costa Rica - 1.7%

         
15,808,000    Costa Rica Government International Bond      10.00%       08/01/2020      17,270,240  
           

 

 

  
              17,270,240  
           

 

 

  

Indonesia - 3.0%

         
9,000,000    Indonesia Government International Bond      4.88%       05/05/2021      9,272,232  
13,500,000    Perusahaan Penerbit      4.15%  ^     03/29/2027      13,027,500  
7,900,000    Perusahaan Penerbit      4.15%       03/29/2027      7,623,500  
           

 

 

  
              29,923,232  
           

 

 

  

Israel - 2.2%

         
10,900,000    Israel Government International Bond      4.00%       06/30/2022      11,209,637  
500,000    Israel Government International Bond      3.15%       06/30/2023      495,318  
11,000,000    Israel Government International Bond      2.88%       03/16/2026      10,468,568  
           

 

 

  
              22,173,523  
           

 

 

  

Malaysia - 1.3%

         
9,500,000    Malaysia Sovereign Sukuk BHD      3.04%      04/22/2025      9,070,790  
3,930,000    Malaysia Sukuk Global BHD      3.18%      04/27/2026      3,730,162  
500,000    Wakala Global Sukuk BHD      4.65%      07/06/2021      518,110  
           

 

 

  
              13,319,062  
           

 

 

  

Mexico - 1.0%

         
7,000,000    Mexico Government International Bond      4.00%       10/02/2023      7,034,125  
2,892,000    Mexico Government International Bond      3.75%       01/11/2028      2,738,001  
           

 

 

  
              9,772,126  
           

 

 

  

Panama - 1.4%

         
14,000,000    Panama Government International Bond      4.00%       09/22/2024      14,140,000  
           

 

 

  
              14,140,000  
           

 

 

  

Philippines - 2.8%

         
1,000,000    Philippine Government International Bond      4.00%       01/15/2021      1,013,727  
26,400,000    Philippine Government International Bond      4.20%       01/21/2024      26,992,865  
           

 

 

  
              28,006,592  
           

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

(Cost $203,748,719)

            193,411,875  
           

 

 

  

Exchange Traded Funds and Common Stocks - 0.3%

         
228,497    Frontera Energy Corporation *            3,318,926  
           

 

 

  

Total Exchange Traded Funds and Common Stocks (Cost $20,010,064)

            3,318,926  
           

 

 

  

Short Term Investments - 0.6%

         
2,129,896    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          2,129,896  
2,129,897    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          2,129,897  
2,129,897    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          2,129,897  
           

 

 

  

Total Short Term Investments (Cost $6,389,690)

            6,389,690  
           

 

 

  

Total Investments - 97.9% (Cost $1,055,598,443)

            984,166,520  
Other Assets in Excess of Liabilities - 2.1%            21,243,568  
           

 

 

  

NET ASSETS - 100.0%

 

         $         1,005,410,088  
           

 

 

  

  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $85,232,698 or 8.5% of net assets.  

 

  † Perpetual Maturity  

 

  ◆ Seven-day yield as of June 30, 2018  

 

  W Security is in default or has failed to make a scheduled payment. Income is not being accrued.  

 

  * Non-income producing security  

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Banking

      22.5%  

Energy

      21.7%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      19.3%  

Telecommunications

      7.2%  

Transportation

      6.6%  

Consumer Products

      4.5%  

Finance

      2.8%  

Containers and Glass Products

      2.2%  

Utilities

      2.0%  

Conglomerates

      1.6%  

Hotels/Motels/Inns and Casinos

      1.6%  

Chemicals/Plastics

      1.3%  

Chemical Products

      1.2%  

Pulp & Paper

      1.2%  

Short Term Investments

      0.6%  

Mining

      0.5%  

Retailers (other than Food/Drug)

      0.5%  

Building and Development (including Steel/Metals)

      0.3%  

Construction

      0.2%  

Technology

      0.1%  

Other Assets and Liabilities

      2.1%  
  

 

 

  
                 100.0%  
  

 

 

  

COUNTRY BREAKDOWN as a % of Net Assets:

 

India

      14.8%  

Chile

      13.0%  

Brazil

      8.4%  

Malaysia

      7.2%  

Singapore

      7.0%  

Panama

      7.0%  

Argentina

      6.1%  

Peru

      5.4%  

Philippines

      5.0%  

Mexico

      3.9%  

Colombia

      3.4%  

China

      3.0%  

Indonesia

      3.0%  

Israel

      2.7%  

Costa Rica

      2.6%  

Hong Kong

      1.6%  

Dominican Republic

      1.4%  

Jamaica

      1.3%  

United States

      0.6%  

Guatemala

      0.5%  

Paraguay

      0.0%  ~ 

Other Assets and Liabilities

      2.1%  
     

 

 

  
                 100.0%  
     

 

 

  

 

  ~ Represents less than 0.05% of net assets.  

 

DoubleLine Multi-Asset Growth Fund (Consolidated)

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount
        $/Shares        

   

Security Description

    Rate     

Maturity

    Value $  

Asset Backed Obligations - 4.5%

 

      
193,252    Arcadia Receivables Credit Trust, Series 2017-1-A      3.25%  ^     06/15/2023      193,945  
334,609    AVANT Loans Funding Trust, Series 2017-B-A      2.29%  ^     06/15/2020      334,308  
718,636    CarMax Auto Owner Trust, Series 2018-2-A1      2.30%       05/15/2019      718,665  
204,972    Citi Held For Asset Issuance, Series 2015-PM1-C      5.01%  ^     12/15/2021      205,825  
312,663    CNH Equipment Trust, Series 2017-C-A1      1.54%       12/14/2018      312,667  
1,261,690    Daimler Trucks Retail Trust, Series 2018-1-A1      2.20%  ^     04/15/2019      1,261,416  
756,348    Drive Auto Receivables Trust, Series 2018-2-A1      2.45%       05/15/2019      756,426  
818,907    Hyundai Auto Lease Securitization Trust, Series 2018-A-A1      1.95%  ^     03/15/2019      818,924  
46,711    LendingClub Issuance Trust, Series 2016-NP2-A      3.00%  ^     01/17/2023      46,682  
35,931    MarketPlace Loan Trust, Series 2015-CB1-A      4.00%  ^     07/15/2021      35,919  
375,189    Marlette Funding Trust, Series 2017-2A-A      2.39%  ^     07/15/2024      374,413  
121,010    Nissan Auto Receivables Trust, Series 2017-C-A1      1.50%       12/17/2018      121,011  
1,000,000    Santander Drive Auto Receivables Trust, Series 2018-3-A1      2.45%       06/17/2019      1,000,050  
585,103    SoFi Consumer Loan Program LLC, Series 2017-6-A1      2.20%  ^     11/25/2026      582,566  
520,047    SoFi Consumer Loan Program Trust, Series 2017-2-A      3.28%  ^     02/25/2026      519,786  
591,506    SoFi Consumer Loan Program Trust, Series 2017-3-A      2.77%  ^     05/25/2026      586,995  
1,516,577    SoFi Consumer Loan Program Trust, Series 2017-5-A1      2.14%  ^     09/25/2026      1,508,570  
667,038    Westlake Automobile Receivables Trust, Series 2018-2A-A1      2.50%  ^     05/15/2019      667,069  
           

 

 

  

Total Asset Backed Obligations (Cost $10,058,989)

 

         10,045,237  
           

 

 

  

Collateralized Loan Obligations - 3.6%

 

      
1,000,000    AIMCO, Series 2014-AA-AR, (3 Month LIBOR USD + 1.10%)      3.46%  ^     07/20/2026      1,001,312  
852,007    Atrium Corporation, Series 10A-AR, (3 Month LIBOR USD + 0.95%)      3.30%  ^     07/16/2025      852,647  
1,000,000    Brookside Mill Ltd., Series 2013-1A-SUB      6.81%  #^@     01/17/2028      370,194  
1,000,000    Carlyle Global Market Strategies Ltd., Series 2017-1A-A1A, (3 Month LIBOR USD + 1.30%)      3.66%  ^     04/20/2031      1,003,305  
1,000,000    Cent Ltd., Series 2013-18A-SUB      7.58%  #^@     07/23/2025      416,335  
367,720    Crown Point Ltd., Series 2013-2A-A1LR, (3 Month LIBOR USD + 0.59%)      2.94%  ^     12/31/2023      368,172  
1,000,000    MP Ltd., Series 2015-2A-AR, (3 Month LIBOR USD + 0.91%)      3.27%  ^     10/28/2027      998,595  
1,000,000    Shackleton Ltd., Series 2016-9A-A, (3 Month LIBOR USD + 1.50%)      3.86%  ^     10/20/2028      1,007,164  
1,000,000    Wind River Ltd., Series 2013-2A-E1R, (3 Month LIBOR USD + 6.75%)      9.11%  ^     10/18/2030      1,012,394  
1,000,000    Wind River Ltd., Series 2016-2A-A, (3 Month LIBOR USD + 1.50%)      3.86%  ^     11/01/2028      1,003,395  
           

 

 

  

Total Collateralized Loan Obligations (Cost $8,692,820)

 

         8,033,513  
           

 

 

  

Non-Agency Residential Collateralized Mortgage Obligations - 5.6%

 

      
189,814    Adjustable Rate Mortgage Trust, Series 2006-1-2A1      4.10%  #     03/25/2036      158,076  
436,120    Alternative Loan Trust, Series 2005-55CB-1A1      5.50%       11/25/2035      424,696  
342,234    Alternative Loan Trust, Series 2005-J8-1A5      5.50%       07/25/2035      327,989  
530,158    Alternative Loan Trust, Series 2006-OA7-1A2, (12 Month US Treasury Average + 0.94%, 0.94% Floor)      2.50%       06/25/2046      478,528  
424,372    Alternative Loan Trust, Series 2007-HY4-4A1      3.75%  #     06/25/2047      396,641  
385,464    Banc of America Alternative Loan Trust, Series 2006-7-A4      6.00%  ß     10/25/2036      229,304  
33,869    BCAP LLC Trust, Series 2007-AA2-2A5      6.00%       04/25/2037      28,896  
2,606,905    BCAP LLC Trust, Series 2009-RR4-1A2      6.50%  #^     06/26/2037      1,355,483  
213,629    ChaseFlex Trust, Series 2007-M1-2F4      4.37%  ß     08/25/2037      206,380  
910,000    CIM Trust, Series 2017-3RR-B2      12.31%  #^Þ     01/27/2057      957,081  
1,390    Citicorp Mortgage Securities, Inc., Series 2007-2-3A1      5.50%       02/25/2037      1,391  
109,829    Citigroup Mortgage Loan Trust, Inc., Series 2009-7-2A2      5.50%  ^     10/25/2021      106,035  
202,183    CitiMortgage Alternative Loan Trust, Series 2007-A6-1A11      6.00%       06/25/2037      197,215  
607,974    Countrywide Alternative Loan Trust, Series 2006-15CB-A1      6.50%       06/25/2036      474,754  
83,162    Countrywide Alternative Loan Trust, Series 2006-32CB-A16      5.50%       11/25/2036      70,226  
719,743    Countrywide Alternative Loan Trust, Series 2006-J1-2A1      7.00%       02/25/2036      291,421  
16,414    Countrywide Alternative Loan Trust, Series 2007-17CB-1A10, (-5 x 1 Month LIBOR USD + 29.90%, 29.90% Cap)      20.28%  I/F     08/25/2037      23,587  
11,450    Countrywide Alternative Loan Trust, Series 2007-21CB-2A2, (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap)      20.04%  I/F     09/25/2037      14,541  
178,017    Countrywide Home Loans, Series 2007-10-A5      6.00%       07/25/2037      151,093  
9,928    Countrywide Home Loans, Series 2007-4-1A5      6.50%       05/25/2037      8,351  
108,519    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-1A3      5.25%       09/25/2035      100,214  
37,739    Credit Suisse Mortgage Capital Certificates, Series 2006-9-4A1      6.00%       11/25/2036      29,483  
165,513    Credit Suisse Mortgage Capital Certificates, Series 2010-7R-4A17      6.00%  #^     04/26/2037      165,884  
92,974    Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1, (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)      9.22%  ^I/F     04/15/2036      91,178  
272,766    Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4, (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap)      9.22%  ^I/F     04/15/2036      245,767  
42,072    First Horizon Alternative Mortgage Securities, Series 2007-FA2-1A3      6.00%       04/25/2037      31,211  
1,252,771    GreenPoint Mortgage Funding Trust, Series 2005-AR3-2A1, (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap)      2.35%       08/25/2045      893,829  
1,000,000    GSAA Home Equity Trust, Series 2006-15-AF3B      5.93%  #     09/25/2036      143,205  
87,239    GSR Mortgage Loan Trust, Series 2006-2F-2A20, (-1 x 1 Month LIBOR USD + 11.10%, 5.00% Floor, 11.10% Cap)      9.12%  I/F     02/25/2036      86,423  
504,889    HarborView Mortgage Loan Trust, Series 2006-14-1A1A, (1 Month LIBOR USD + 0.18%, 0.18% Floor)      2.26%       01/25/2047      461,354  
551,733    HarborView Mortgage Loan Trust, Series 2007-3-1A1A, (1 Month LIBOR USD + 0.20%)      2.28%       05/19/2047      520,820  
26,286    JP Morgan Alternative Loan Trust, Series 2005-S1-2A11      6.00%       12/25/2035      25,623  
388,836    JP Morgan Alternative Loan Trust, Series 2006-S1-1A3      5.50%       03/25/2036      333,740  
132,743    JP Morgan Mortgage Acquisition Trust, Series 2006-CH2-AF3      5.46%  ß     09/25/2029      109,661  
70,547    Lehman Mortgage Trust, Series 2006-4-1A3, (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/FI/O     08/25/2036      8,749  
4,409    Lehman Mortgage Trust, Series 2006-4-1A4      6.00%      08/25/2036      4,299  
40,693    Lehman Mortgage Trust, Series 2007-5-11A1      5.16%  #     06/25/2037      34,743  
157,990    Lehman XS Trust, Series 2005-1-3A3A      5.11%       07/25/2035      157,872  
243,692    MASTR Resecuritization Trust, Series 2008-4-A1      6.00%  #^     06/27/2036      216,072  
1,555,657    Morgan Stanley Mortgage Loan Trust, Series 2006-8AR-1A4, (1 Month LIBOR USD + 0.25%, 0.25% Floor)      2.34%       06/25/2036      814,772  
249,385    Morgan Stanley Mortgage Loan Trust, Series 2007-13-6A1      6.00%       10/25/2037      221,325  
181,170    Residential Accredit Loans, Inc., Series 2006-QS10-A9      6.50%       08/25/2036      169,991  
3,090    Residential Accredit Loans, Inc., Series 2006-QS13-1A8      6.00%       09/25/2036      2,766  
181,362    Residential Accredit Loans, Inc., Series 2006-QS2-1A4      5.50%       02/25/2036      160,974  
36,441    Residential Accredit Loans, Inc., Series 2006-QS7-A4, (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.00% Cap)      2.49%       06/25/2036      28,484  
109,324    Residential Accredit Loans, Inc., Series 2006-QS7-A5, (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)      3.51%  I/FI/O     06/25/2036      12,862  
65,512    Residential Accredit Loans, Inc., Series 2006-QS8-A4, (1 Month LIBOR USD + 0.45%, 0.45% Floor)      2.54%       08/25/2036      49,753  
196,536    Residential Accredit Loans, Inc., Series 2006-QS8-A5, (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap)      3.46%  I/FI/O     08/25/2036      21,704  
231,186    Residential Asset Mortgage Products, Inc., Series 2004-RS2-MII1, (1 Month LIBOR USD + 0.87%, 0.58% Floor, 14.00% Cap)      2.96%       02/25/2034      227,916  
18,872    Residential Asset Securitization Trust, Series 2005-A12-A12      5.50%       11/25/2035      17,486  
452,880    Residential Asset Securitization Trust, Series 2006-A16-1A3      6.00%       02/25/2037      346,649  
646,853    Residential Asset Securitization Trust, Series 2006-A9CB-A6      6.00%       09/25/2036      417,502  
394,230    Residential Asset Securitization Trust, Series 2007-A1-A8      6.00%       03/25/2037      265,354  
302,562    Residential Asset Securitization Trust, Series 2007-A5-2A5      6.00%       05/25/2037      265,965  
264,352    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A6      4.59%  ß     10/25/2036      167,026  
           

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $13,062,077)

 

         12,752,344  
           

 

 

  

US Government and Agency Mortgage Backed Obligations - 2.7%

 

      
51,490    Federal Home Loan Mortgage Corporation, Series 3261-SA, (-1 x 1 Month LIBOR USD + 6.43%, 6.43% Cap)      4.36%  I/FI/O     01/15/2037      7,888  
17,727    Federal Home Loan Mortgage Corporation, Series 3317-DS, (-3 x 1 Month LIBOR USD + 15.00%, 15.00% Cap)      9.82%  I/F     05/15/2037      19,483  
105,156    Federal Home Loan Mortgage Corporation, Series 3355-BI, (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      3.98%  I/FI/O     08/15/2037      14,277  
40,561    Federal Home Loan Mortgage Corporation, Series 3384-S, (-1 x 1 Month LIBOR USD + 6.39%, 6.39% Cap)      4.32%  I/FI/O     11/15/2037      3,783  
127,511    Federal Home Loan Mortgage Corporation, Series 3384-SG, (-1 x 1 Month LIBOR USD + 6.31%, 6.31% Cap)      4.24%  I/FI/O     08/15/2036      14,540  
58,764    Federal Home Loan Mortgage Corporation, Series 3417-SX, (-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap)      4.11%  I/FI/O     02/15/2038      4,826  
68,861    Federal Home Loan Mortgage Corporation, Series 3423-GS, (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)      3.58%  I/FI/O     03/15/2038      6,018  
648,710    Federal Home Loan Mortgage Corporation, Series 3423-TG, (-1 x 1 Month LIBOR USD + 6.00%, 0.35% Cap)      0.35%  I/FI/O     03/15/2038      6,106  
68,151    Federal Home Loan Mortgage Corporation, Series 3500-SA, (-1 x 1 Month LIBOR USD + 5.52%, 5.52% Cap)      3.45%  I/FI/O     01/15/2039      5,794  
205,613    Federal Home Loan Mortgage Corporation, Series 3523-SM, (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.93%  I/FI/O     04/15/2039      22,597  
16,822    Federal Home Loan Mortgage Corporation, Series 3562-WS, (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap)      2.88%  I/FI/O     08/15/2039      942  
184,586    Federal Home Loan Mortgage Corporation, Series 3728-SV, (-1 x 1 Month LIBOR USD + 4.45%, 4.45% Cap)      2.38%  I/FI/O     09/15/2040      10,331  
159,662    Federal Home Loan Mortgage Corporation, Series 3758-S, (-1 x 1 Month LIBOR USD + 6.03%, 6.03% Cap)      3.96%  I/FI/O     11/15/2040      20,773  
79,329    Federal Home Loan Mortgage Corporation, Series 3779-DZ      4.50%       12/15/2040      84,751  
192,258    Federal Home Loan Mortgage Corporation, Series 3815-ST, (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap)      3.78%  I/FI/O     02/15/2041      20,928  
69,405    Federal Home Loan Mortgage Corporation, Series 3900-SB, (-1 x 1 Month LIBOR USD + 5.97%, 5.97% Cap)      3.90%  I/FI/O     07/15/2041      7,233  
460,750    Federal Home Loan Mortgage Corporation, Series 3923-CZ      5.00%       09/15/2041      504,757  
585,175    Federal Home Loan Mortgage Corporation, Series 4183-Z      3.00%       03/15/2043      551,487  
89,805    Federal National Mortgage Association, Series 2006-101-SA, (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap)      4.49%  I/FI/O     10/25/2036      14,243  
47,248    Federal National Mortgage Association, Series 2006-123-LI, (-1 x 1 Month LIBOR USD + 6.32%, 6.32% Cap)      4.23%  I/FI/O     01/25/2037      7,059  
322,368    Federal National Mortgage Association, Series 2007-39-AI, (-1 x 1 Month LIBOR USD + 6.12%, 6.12% Cap)      4.03%  I/FI/O     05/25/2037      41,438  
144,642    Federal National Mortgage Association, Series 2007-57-SX, (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap)      4.53%  I/FI/O     10/25/2036      19,366  
9,978    Federal National Mortgage Association, Series 2009-49-S, (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)      4.66%  I/FI/O     07/25/2039      1,323  
158,091    Federal National Mortgage Association, Series 2009-86-CI, (-1 x 1 Month LIBOR USD + 5.80%, 5.80% Cap)      3.71%  I/FI/O     09/25/2036      15,404  
57,389    Federal National Mortgage Association, Series 2009-90-IA, (-1 x 1 Month LIBOR USD + 5.75%, 5.75% Cap)      3.66%  I/FI/O     03/25/2037      5,515  
58,238    Federal National Mortgage Association, Series 2009-90-IB, (-1 x 1 Month LIBOR USD + 5.72%, 5.72% Cap)      3.63%  I/FI/O     04/25/2037      5,253  
241,630    Federal National Mortgage Association, Series 2010-39-SL, (-1 x 1 Month LIBOR USD + 5.67%, 5.67% Cap)      3.58%  I/FI/O     05/25/2040      26,065  
108,139    Federal National Mortgage Association, Series 2011-5-PS, (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap)      4.31%  I/FI/O     11/25/2040      12,474  
383,764    Federal National Mortgage Association, Series 2012-30-DZ      4.00%       04/25/2042      394,065  
1,164,521    Federal National Mortgage Association, Series 2013-53-ZC      3.00%       06/25/2043      1,078,606  
687,773    Federal National Mortgage Association, Series 2013-55-KS, (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      2.86%  I/F     06/25/2043      531,824  
1,087,526    Federal National Mortgage Association, Series 2013-55-VZ      3.00%       06/25/2043      1,013,531  
560,856    Federal National Mortgage Association, Series 2014-58      3.00%       09/25/2044      507,358  
561,777    Federal National Mortgage Association, Series 2015-9-ZA      3.50%       03/25/2045      549,433  
23,636    Government National Mortgage Association, Series 2009-6-SM, (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap)      3.87%  I/FI/O     02/20/2038      2,938  
384,590    Government National Mortgage Association, Series 2011-45-GZ      4.50%       03/20/2041      394,642  
221,388    Government National Mortgage Association, Series 2011-7-LS, (-2 x 1 Month LIBOR USD + 9.88%, 9.88% Cap)      5.71%  I/F     12/20/2040      225,405  
           

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $6,292,393)

 

         6,152,456  
           

 

 

  

US Government and Agency Obligations - 0.9%

 

      
2,138,500    United States Treasury Notes      0.13%       04/15/2019      2,126,248  
           

 

 

  

Total US Government and Agency Obligations (Cost $2,128,383)

 

         2,126,248  
           

 

 

  

Real Estate Investment Trusts - 4.2%

 

      
655,000    Annaly Capital Management, Inc.            6,739,950  
148,747    Chimera Investment Corporation            2,719,095  
           

 

 

  

Total Real Estate Investment Trusts (Cost $9,191,552)

 

         9,459,045  
           

 

 

  

Exchange Traded Funds and Common Stocks - 35.9%

 

      
91,000    American Capital Senior Floating Ltd.            1,119,300  
34,062    BlackRock Build America Bond Fund            752,770  
89,000    Energy Select Sector SPDR Fund            6,758,660  
63,761    Invesco Municipal Opportunity Trust            748,554  
423,000    Invesco Senior Loan ETF            9,686,700  
53,499    Invesco Value Municipal Income Trust            755,941  
68,500    iShares Asia 50 ETF            4,297,005  
129,000    iShares Core MSCI Emerging Markets ETF            6,773,790  
109,000    iShares MSCI Australia Index ETF            2,464,490  
51,500    iShares MSCI Brazil ETF            1,650,575  
36,000    iShares MSCI Hong Kong Index ETF            871,560  
32,000    iShares MSCI Italy ETF            924,480  
34,000    iShares MSCI Singapore Capped ETF            815,660  
44,000    iShares MSCI Spain Capped ETF            1,335,400  
37,000    iShares MSCI Sweden Capped ETF            1,128,870  
51,331    Nuveen AMT-Free Municipal Credit Income Fund            748,919  
58,000    Nuveen AMT-Free Quality Municipal Income Fund            754,580  
51,385    Nuveen Municipal Credit Income Fund            736,347  
78,674    Nuveen Municipal Value Fund, Inc.            752,124  
57,000    Nuveen Quality Municipal Income Fund            758,100  
220,000    SPDR Blackstone ETF            10,333,400  
228,000    SPDR EURO STOXX 50 ETF            8,739,240  
62,000    SPDR S&P Metals & Mining ETF            2,199,140  
92,500    SPDR S&P Oil & Gas Exploration & Production ETF            3,983,050  
100,000    Transocean Ltd. *            1,344,000  
43,000    Utilities Select Sector SPDR Fund            2,234,280  
265,000    VanEck Vectors J.P. Morgan EM Local Currency Bond ETF            4,510,300  
95,500    VanEck Vectors Russia ETF            2,028,420  
35,000    Vanguard Global ex-U.S. Real Estate ETF            2,032,800  
           

 

 

  

Total Exchange Traded Funds and Common Stocks (Cost $83,354,643)

 

         81,238,455  
           

 

 

  

Affiliated Mutual Funds - 28.0%

 

      
882,076    DoubleLine Core Fixed Income Fund (Class I)            9,438,216  
1,011,049    DoubleLine Flexible Income Fund (Class I)            9,827,398  
965,918    DoubleLine Low Duration Bond Fund (Class I)            9,601,225  
3,300,984    DoubleLine Total Return Bond Fund (Class I)            34,396,258  
           

 

 

  

Total Affiliated Mutual Funds (Cost $66,150,315)

 

         63,263,097  
           

 

 

  

Short Term Investments - 13.9%

 

      
8,306,647    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          8,306,647  
1,603,227    Dreyfus Government Cash Management - Institutional Shares      1.80%  ◆          1,603,227  
6,703,420    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          6,703,420  
8,306,647    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          8,306,647  
6,500,000    United States Treasury Bills      0.00%  ‡     07/12/2018      6,496,976  
           

 

 

  

Total Short Term Investments (Cost $31,416,831)

 

         31,416,917  
           

 

 

  

Total Investments - 99.3% (Cost $230,348,003)

 

         224,487,312  
Other Assets in Excess of Liabilities - 0.7%           1,547,442  
           

 

 

  

NET ASSETS - 100.0%

 

         $         226,034,754  
           

 

 

  

  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $18,307,431 or 8.1% of net assets.  

 

  # 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 June 30, 2018.  

 

  ß The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  I/F 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/O Interest only security  

 

  @ Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of June 30, 2018.  

 

  Þ Value determined using significant unobservable inputs.  

 

  * Non-income producing security  

 

  ◆ Seven-day yield as of June 30, 2018  

 

  ‡ All or a portion of security has been pledged as collateral in connection with swaps.  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Exchange Traded Funds and Common Stocks

      35.9%  

Affiliated Mutual Funds

      28.0%  

Short Term Investments

      13.9%  

Non-Agency Residential Collateralized Mortgage Obligations

      5.6%  

Asset Backed Obligations

      4.5%  

Real Estate Investment Trusts

      4.2%  

Collateralized Loan Obligations

      3.6%  

US Government and Agency Mortgage Backed Obligations

      2.7%  

US Government and Agency Obligations

      0.9%  

Other Assets and Liabilities

      0.7%  
  

 

 

  
                 100.0%  
  

 

 

  

FUTURES CONTRACTS

 

Description

    Long/Short      Contract
Quantity		      Expiration
Date		      Notional
Amount •		      Value/
Unrealized
Appreciation
(Depreciation)		  

CME Ultra Long Term US Treasury Bond Future

      Long        15        09/19/2018            2,393,438        $     18,249  

Ultra 10-Year US Treasury Note Future

      Long        49        09/19/2018            6,283,484        16,740  

FTSE 100 Index Future

      Long        63        09/21/2018            6,320,204        (26,284)  

MSCI Developed Markets Index Future

      Long        9        09/21/2018            879,930        (29,857)  

E-mini Russell 2000 Future

      Long        32        09/21/2018            2,636,000        (53,502)  

Nikkei-225 Future

      Long        90        09/13/2018            10,019,250        (133,076)  

E-mini S&P 500 Future

      Long        75        09/21/2018            10,206,000        (236,965)  

MSCI Emerging Markets Index Future

      Long        212        09/21/2018            11,270,980        (716,011)  
              

 

 

  
                 $         (1,160,706)  
              

 

 

  

 

• Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.

SWAP AGREEMENTS

CREDIT DEFAULT SWAPS

 

Reference Entity

  

Counterparty

   Buy/Sell
Protection		     Financing
Rate Paid
or Received		     Financing
Rate		     Payment
Frequency		     Termination
Date		     Notional
Amount		     Upfront
Payments/
(Receipts)		     Value     Unrealized
Appreciation
(Depreciation)		  

Markit CDX North America Investment Grade Index

  

Goldman Sachs

     Buy       Paid       1.00 %      Quarterly       06/20/2023       50,000,000       $     (803,122)       $     (762,010)       $         41,112  
               

 

 

    

 

 

    

 

 

  
                  $     (803,122)       $     (762,010)       $         41,112  
               

 

 

    

 

 

    

 

 

  

TOTAL RETURN SWAPS

 

Reference Entity

   

Counterparty

    Long/Short      Financing
Rate		     Payment
Frequency		      Termination
Date		      Notional
Amount		      Value/
Unrealized
Appreciation
(Depreciation)		  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        06/28/2019        44,000,000        $     84,929  

Long Commodity Basket Swap Ж

   

Morgan Stanley

      Long        0.20 %      Termination        07/05/2018        4,200,000        22,479  

Short Commodity Basket Swap ɷ

   

Morgan Stanley

      Short        (0.23 )%      Termination        07/05/2018        (4,200,000)        (74,033)  
                   

 

 

  
                      $         33,375  
                   

 

 

  

Total Swap Agreements

                       $         74,487  
                   

 

 

  

 

¤ Shiller Barclays CAPE® US Sector ER II USD Index aims to provide notional long exposure to the top four United States equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each U.S. equity sector is represented by an index of equity securities of companies in the relevant sector. Information on the sector constituents as of June 30, 2018, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIICS2E.

 

Ж Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At June 30, 2018, all constituents and their weightings were as follows:

 

Sub-Index

    Ticker    Contract Value δ      Value of Index      Weightings  

S&P GSCI Unleaded Gasoline Official Close Index

    SPGCHUP      0.09        $ 105        17.0 % 

S&P GSCI Brent Crude Official Close Index

    SPGCBRP      0.23        104        16.9 % 

S&P GSCI Crude Oil Official Close Index

    SPGCCLP      0.47        103        16.7 % 

S&P GSCI Copper Official Close Index

    SPGCICP      0.18        102        16.6 % 

S&P GSCI Natural Gas Official Close Index

    SPGCNGP      9.87        101        16.5 % 

S&P GSCI Zinc Official Close Index

    SPGCIZP      1.50        100        16.3 % 
        

 

 

     

 

 

  
           $     615        100.0 % 
        

 

 

     

 

 

  

ɷ  Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At June 30, 2018, all constituents and their weightings were as follows:

   

Sub-Index

    Ticker    Contract Value δ      Value of Index      Weightings  

S&P GSCI Wheat Official Close Index

    SPGCWHP      11.33        $ 80        17.0 % 

S&P GSCI Kansas Wheat Official Close Index

    SPGCKWP      4.78        80        17.0 % 

S&P GSCI Cocoa Official Close Index

    SPGCCCP      8.92        79        16.8 % 

S&P GSCI Corn Official Close Index

    SPGCCNP      11.82        78        16.6 % 

S&P GSCI Sugar Official Close Index

    SPGCSBP      8.00        78        16.4 % 

S&P GSCI Coffee Official Close Index

    SPGCKCP      8.50        77        16.2 % 
        

 

 

     

 

 

  
           $     472        100.0 % 
        

 

 

     

 

 

  

 

δ Contract value represents the number of units of the underlying constituent’s index in one unit of the custom basket index at creation. The contract value is calculated by multiplying each constituent’s weight by the starting price of the custom basket index and dividing by the starting price of the constituent’s index. The contract value will differ depending on the date the swap is initiated.

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Settlement Date

   

Counterparty

    Currency to be Sold      Value      Currency to be
Purchased		      Value      Unrealized
Appreciation
(Depreciation)		  

07/25/2018

    Goldman Sachs    5,900,000      EUR        $ 6,903,397      $7,249,613      USD        $         7,249,613        $ 346,216  

09/20/2018

    Bank of America Merrill Lynch    9,887,000,000      KRW        8,899,314      8,968,614      USD        8,968,614        69,300  

09/20/2018

    Bank of America Merrill Lynch    8,833,989      USD        8,833,989      9,887,000,000      KRW        8,899,314        65,325  

09/20/2018

    RBC    55,000,000      CNH        8,263,869      8,284,843      USD        8,284,843        20,974  

09/20/2018

    Goldman Sachs    1,978,110      USD        1,978,110      217,000,000      JPY        1,971,645        (6,465)  

09/20/2018

    Goldman Sachs    6,249,844      USD        6,249,844      4,700,000      GBP        6,226,198        (23,646)  

09/20/2018

    RBC    7,748,539      USD        7,748,539      850,000,000      JPY        7,723,033        (25,506)  

07/25/2018

    Goldman Sachs    6,936,046      USD        6,936,046      5,900,000      EUR        6,903,397        (32,649)  

09/12/2018

    RBC    6,281,406      USD        6,281,406      5,300,000      EUR        6,225,187        (56,219)  

09/20/2018

    RBC    8,475,229      USD        8,475,229      55,000,000      CNH        8,263,869        (211,360)  
           

 

 

           

 

 

     

 

 

  
              $         70,569,743              $         70,715,713        $         145,970  
           

 

 

           

 

 

     

 

 

  

 

  CNH Offshore Chinese Renminbi  

 

  EUR Euro  

 

  GBP British Pound  

 

  JPY Japanese Yen  

 

  KRW Korean Won  

 

  USD US Dollar  

A summary of the DoubleLine Multi-Asset Growth Fund’s (Consolidated) investments in affiliated mutual funds for the period ended June 30, 2018 is as follows:

 

Fund   Value at
March 31, 2018		     Gross Purchases     Gross Sales     Shares Held at
June 30, 2018		     Value at
June 30, 2018		    

Change in Unrealized

for the

Period Ended

June 30, 2018

    

Dividend Income

Earned in the
Period Ended

June 30, 2018

     

Net Realized Gain

(Loss) in the
Period Ended

June 30, 2018

  
DoubleLine Total Return Bond Fund (Class I)   $ 34,594,317     $ -     $ -       3,300,984     $ 34,396,258     $ (198,059 )    $ 317,954      $ -  
DoubleLine Core Fixed Income Fund (Class I)     9,535,245       -       -       882,076       9,438,216       (97,029 )      78,957        -  
DoubleLine Flexible Income Fund (Class I)     9,918,392       -       -       1,011,049       9,827,398       (90,994 )      104,122        -  
DoubleLine Low Duration Bond Fund (Class I)     9,630,202       -       -       965,918       9,601,225       (28,977 )      70,278        -  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  
  $ 63,678,156     $ -     $ -       6,160,027     $ 63,263,097     $ (415,059 )    $ 571,311      $ -  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

     

 

 

  

 

DoubleLine Low Duration Bond Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

        $/Shares         

   

Security Description

    Rate     

Maturity

    Value $  

Asset Backed Obligations - 9.1%

 

      
8,825,968    Access Group, Inc., Series 2007-A-B, (3 Month LIBOR USD + 0.55%, 0.55% Floor)      2.88%       02/25/2037      8,477,379  
4,831,310    Arcadia Receivables Credit Trust, Series 2017-1-A      3.25%  ^     06/15/2023      4,848,624  
144,393    AVANT Loans Funding Trust, Series 2017-A-A      2.41%  ^     03/15/2021      144,375  
1,924,002    AVANT Loans Funding Trust, Series 2017-B-A      2.29%  ^     06/15/2020      1,922,274  
19,422,232    CLUBC, Series 2018-2-PT      9.80%  ^     02/15/2041      19,528,612  
245,940    Consumer Installment Loan Trust, Series 2016-LD1-A      3.96%  ^     07/15/2022      245,972  
4,612,196    Consumer Loan Credit Trust, Series 2017-NP2-A      2.55%  ^     01/16/2024      4,607,249  
12,000,000    Consumer Loan Underlying Bond Credit Trust, Series 2018-P1-A      3.39%  ^     07/15/2025      12,008,064  
14,000,000    Credit Acceptance Auto Loan Trust, Series 2017-2A-A      2.55%  ^     02/17/2026      13,854,126  
536,007    Eagle Ltd., Series 2014-1A-A1      2.57%  ^     12/15/2039      535,471  
148,027    Eaglewood Consumer Loan Trust, Series 2014-1-A      3.50%  ^¥Þ     10/15/2019      148,063  
6,885,146    Earnest Student Loan Program, Series 2016-A-A2      2.50%  ^     04/25/2033      6,734,831  
13,208,124    Earnest Student Loan Program, Series 2017-A-A2      2.65%  ^     01/25/2041      12,892,125  
6,000,000    Flagship Credit Auto Trust, Series 2016-3-B      2.43%  ^     06/15/2021      5,964,544  
12,750,000    Flagship Credit Auto Trust, Series 2016-4-B      2.41%  ^     10/15/2021      12,658,668  
15,000,000    Flagship Credit Auto Trust, Series 2017-1-B      2.83%  ^     03/15/2023      14,948,106  
12,624,424    Invitation Homes Trust, Series 2015-SFR3-A, (1 Month LIBOR USD + 1.30%, 1.30% Floor)      3.37%  ^     08/17/2032      12,649,896  
31,067,416    Invitation Homes Trust, Series 2017-SFR2-A, (1 Month LIBOR USD + 0.85%, 0.85% Floor)      2.94%  ^     12/17/2036      31,123,754  
19,904,306    Invitation Homes Trust, Series 2018-SFR1-A, (1 Month LIBOR USD + 0.70%)      2.79%  ^     03/17/2037      19,887,913  
1,634,874    LendingClub Issuance Trust, Series 2016-NP2-A      3.00%  ^     01/17/2023      1,633,871  
17,750,000    Lendmark Funding Trust, Series 2016-2A-A      3.26%  ^     04/21/2025      17,776,451  
10,000,000    Mariner Finance Issuance Trust, Series 2017-AA-A      3.62%  ^     02/20/2029      10,044,244  
9,567,309    Marlette Funding Trust, Series 2017-2A-A      2.39%  ^     07/15/2024      9,547,533  
5,607,743    OneMain Financial Issuance Trust, Series 2015-1A-A      3.19%  ^     03/18/2026      5,626,825  
31,250,000    OneMain Financial Issuance Trust, Series 2017-1A-A1      2.37%  ^     09/14/2032      30,654,666  
10,000,000    Oportun Funding LLC, Series 2016-C-A      3.28%  ^     11/08/2021      10,047,500  
7,658,451    Progress Residential Trust, Series 2016-SFR1-A, (1 Month LIBOR USD + 1.50%, 1.50% Floor)      3.59%  ^     09/17/2033      7,676,406  
12,750,000    Santander Drive Auto Receivables Trust, Series 2014-1-E      3.92%      05/17/2021      12,755,296  
3,467,730    SCF Equipment Leasing LLC, Series 2017-1A-A      3.77%  ^     01/20/2023      3,449,934  
7,748,748    SCF Equipment Leasing LLC, Series 2017-2A-A      3.41%  ^     12/20/2023      7,673,170  
7,155,804    Sierra Timeshare Receivables Funding LLC, Series 2016-2A-A      2.33%  ^     07/20/2033      7,065,842  
680,026    SoFi Consumer Loan Program LLC, Series 2016-1-A      3.26%  ^     08/25/2025      678,850  
3,419,054    SoFi Consumer Loan Program LLC, Series 2016-3-A      3.05%  ^     12/26/2025      3,409,509  
5,851,035    SoFi Consumer Loan Program LLC, Series 2017-6-A1      2.20%  ^     11/25/2026      5,825,659  
5,000,000    SoFi Consumer Loan Program LLC, Series 2017-6-A2      2.82%  ^     11/25/2026      4,962,017  
3,644,125    SoFi Consumer Loan Program Trust, Series 2016-2-A      3.09%  ^     10/27/2025      3,642,179  
7,388,629    SoFi Consumer Loan Program Trust, Series 2017-1-A      3.28%  ^     01/26/2026      7,385,169  
5,200,471    SoFi Consumer Loan Program Trust, Series 2017-2-A      3.28%  ^     02/25/2026      5,197,857  
5,915,059    SoFi Consumer Loan Program Trust, Series 2017-3-A      2.77%  ^     05/25/2026      5,869,953  
12,638,138    SoFi Consumer Loan Program Trust, Series 2017-5-A1      2.14%  ^     09/25/2026      12,571,417  
4,500,000    SoFi Consumer Loan Program Trust, Series 2017-5-A2      2.78%  ^     09/25/2026      4,432,563  
15,048,385    SoFi Consumer Loan Program Trust, Series 2018-1-A1      2.55%  ^     02/25/2027      14,982,867  
1,519,789    SoFi Professional Loan Program, Series 2013-A-A      3.75%  ^     12/25/2029      1,529,596  
523,096    SoFi Professional Loan Program, Series 2014-A-A2      3.02%  ^     10/25/2027      523,464  
2,549,279    SoFi Professional Loan Program, Series 2015-C-A2      2.51%  ^     08/25/2033      2,505,322  
5,026,918    SoFi Professional Loan Program, Series 2016-A-A2      2.76%  ^     12/26/2036      4,970,687  
5,000,000    SoFi Professional Loan Program, Series 2017-A-A2B      2.40%  ^     03/26/2040      4,832,393  
11,785,185    SoFi Professional Loan Program, Series 2017-B-A1FX      1.83%  ^     05/25/2040      11,725,420  
6,174,447    SoFi Professional Loan Program, Series 2017-C-A2A      1.75%  ^     07/25/2040      6,122,174  
18,143,715    SpringCastle America Funding LLC, Series 2016-AA-A      3.05%  ^     04/25/2029      18,100,045  
6,289,884    Springleaf Funding Trust, Series 2015-AA-A      3.16%  ^     11/15/2024      6,288,276  
15,810,000    Springleaf Funding Trust, Series 2016-AA-A      2.90%  ^     11/15/2029      15,732,809  
25,000,000    Springleaf Funding Trust, Series 2017-AA-A      2.68%  ^     07/15/2030      24,604,595  
474,839    Spruce Asset Backed Securities Trust, Series 2016-E1-A      4.32%  ^     06/15/2028      478,744  
1,814,583    TAL Advantage LLC, Series 2013-2A-A      3.55%  ^     11/20/2038      1,801,686  
1,069,999    Wachovia Student Loan Trust, Series 2006-1-A5, (3 Month LIBOR USD + 0.12%, 0.12% Floor)      2.48%  ^     07/26/2027      1,069,419  
3,808,670    Westlake Automobile Receivables Trust, Series 2016-2A-B      2.30%  ^     11/15/2019      3,807,728  
10,000,000    Westlake Automobile Receivables Trust, Series 2016-3A-C      2.46%  ^     01/18/2022      9,959,883  
20,000,000    Westlake Automobile Receivables Trust, Series 2017-2A-C      2.59%  ^     12/15/2022      19,794,724  
12,000,000    Westlake Automobile Receivables Trust, Series 2018-2A-B      3.20%  ^     01/16/2024      12,006,308  
           

 

 

  

Total Asset Backed Obligations (Cost $524,652,241)

 

               521,943,097  
           

 

 

  

Bank Loans - 7.2%

         
14,897,948    Burger King Restaurant Brands, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor)      4.34%       02/16/2024      14,853,701  
6,260,000    AECOM Technology Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.84%       03/13/2025      6,257,058  
11,614,051    Allison Transmission, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%, 1.00% Floor)      3.85%       09/23/2022      11,672,121  
5,865,750    American Airlines, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.07%       12/14/2023      5,811,375  
4,949,495    American Airlines, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.09%       04/28/2023      4,905,568  
5,642,500    Aramark Services, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 1.75%)      4.08%       03/28/2024      5,648,679  
5,152,088    Aramark Services, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 1.75%)      4.08%       03/11/2025      5,153,710  
1,000,000    Ashland LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.84%       05/17/2024      998,750  
14,730,000    Axalta Coating Systems US Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 1.75%)      4.08%       05/31/2024      14,675,941  
   Berry Global, Inc., Guaranteed Senior Secured 1st Lien Term Loan         
5,821,721    (1 Month LIBOR USD + 2.00%)      4.05%       10/01/2022      5,822,246  
9,105,770    (1 Month LIBOR USD + 2.00%)      4.09%       10/01/2022      9,106,589  
10,683,225    Charter Communications Operating LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.10%       04/30/2025      10,680,714  
11,431,114    CommScope, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.09%       12/29/2022      11,481,125  
2,765,000    CROWN Americas LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.00%)      4.31%       04/03/2025      2,770,751  
11,909,712    CSC Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%)      4.32%       07/17/2025      11,848,913  
10,911,982    Dell International LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%, 0.75% Floor)      4.10%       09/07/2023      10,872,808  
13,505,349    ESH Hospitality, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.09%       08/30/2023      13,444,575  
11,207,997    1st Data Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.09%       04/26/2024      11,156,944  
762,862    Gartner, Inc., Guaranteed Senior Secured 1st Lien Term Loan      4.33%  ±     04/05/2024      764,292  
3,000,000    Generac Power Systems, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%, 0.75% Floor)      4.06%       05/31/2023      2,974,995  
3,017,505    Global Payments, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.84%       04/21/2023      3,019,391  
11,838,192    Grifols Worldwide Operations USA, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Week LIBOR USD + 2.25%)      4.24%       01/31/2025      11,855,476  
1,030,000    HCA, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.09%       03/13/2025      1,034,444  
13,966,041    HCA, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.84%       03/17/2023      13,997,046  
13,004,488    Hilton Worldwide Finance LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.84%       10/25/2023      13,018,013  
5,480,000    IQVIA, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 1.75%)      4.08%       06/09/2025      5,438,900  
10,000,000    Iron Mountain, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.84%       01/02/2026      9,829,150  
8,374,178    Jacobs Douwe Egberts International B.V., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.25%)      4.63%       07/05/2022      8,372,462  
6,532,410    KAR Auction Services, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.63%       03/09/2023      6,514,054  
1,500,000    Yum! Brands, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.84%       04/03/2025      1,487,348  
1,975,000    Lamar Media Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.88%       03/14/2025      1,977,054  
8,248,303    Lockheed Martin Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.88%       08/16/2023      8,289,544  
15,000,000    Level 3 Financing, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%)      4.33%       02/22/2024      14,973,075  
11,874,739    MGM Growth Properties LP, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.09%       04/25/2023      11,833,890  
8,580,000    Microchip Technology, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.10%       05/29/2025      8,581,802  
2,992,386    NRG Energy Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 1.75%)      4.08%       06/30/2023      2,977,992  
2,000,000    Open Text Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.84%       05/30/2025      2,006,040  
8,073,014    Pinnacle Foods Finance LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.75%       02/02/2024      8,084,115  
5,970,000    Quintiles, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.00%)      4.33%       01/17/2025      5,964,388  
11,733,029    RPI Finance Trust, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.00%)      4.33%       03/27/2023      11,744,762  
11,917,302    Servicemaster Company LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       11/08/2023      11,912,296  
7,000,000    Six Flags Entertainment Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.85%       06/30/2022      7,015,330  
11,913,496    Sprint Communications, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)      4.63%       02/02/2024      11,876,267  
12,975,164    Syneos Health, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.09%       08/01/2024      12,928,518  
5,620,000    Trans Union LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.00%)      4.36%       06/12/2025      5,609,463  
8,000,000    Vantiv LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.79%       08/09/2024      7,980,000  
6,519,545    VICI Properties LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.08%       12/20/2024      6,484,927  
4,970,000    Virgin Media LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.57%       01/15/2026      4,940,503  
   Vistra Operations Company LLC, Guaranteed Senior Secured 1st Lien Term Loan         
2,613,600    (1 Month LIBOR USD + 2.00%)      4.09%       12/31/2025      2,600,349  
7,066,400    (1 Month LIBOR USD + 2.00%)      4.06%       12/31/2025      7,030,573  
10,601,053    WR Grace & Co-Conn, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 1.75%)      4.08%       04/03/2025      10,585,575  
6,183,947    WR Grace & Co-Conn, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 1.75%)      4.08%       04/03/2025      6,174,919  
4,500,000    Wyndham Hotels & Resorts, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 1.75%)      3.73%       05/30/2025      4,498,605  
           

 

 

  

Total Bank Loans (Cost $413,778,824)

 

               411,537,126  
           

 

 

  

Collateralized Loan Obligations - 15.9%

         
10,500,000    AIMCO, Series 2014-AA-AR, (3 Month LIBOR USD + 1.10%)      3.46%  ^     07/20/2026      10,513,779  
25,000,000    AIMCO, Series 2015-AA-AR, (3 Month LIBOR USD + 0.85%, 0.85% Floor)      3.20%  ^     01/15/2028      24,989,840  
9,000,000    ALM LLC, Series 2016-17A-A1L, (3 Month LIBOR USD + 1.56%)      3.90%  ^     01/15/2028      9,010,805  
7,500,000    ALM LLC, Series 2016-19A-A1, (3 Month LIBOR USD + 1.55%)      3.90%  ^     07/15/2028      7,530,853  
2,500,000    ALM LLC, Series 2016-19A-A2, (3 Month LIBOR USD + 2.20%)      4.55%  ^     07/15/2028      2,514,501  
7,426,949    Apidos Ltd., Series 2013-16A-A1R, (3 Month LIBOR USD + 0.98%)      3.34%  ^     01/19/2025      7,430,589  
15,000,000    Arbor Realty Ltd., Series 2017-FL2-A, (1 Month LIBOR USD + 0.99%)      3.06%  ^     08/15/2027      15,045,015  
12,618,000    Arbor Realty Ltd., Series 2018-FL1-B, (1 Month LIBOR USD + 1.15%)      3.06%  ^     06/15/2028      12,660,257  
30,672,242    Atrium Corporation, Series 10A-AR, (3 Month LIBOR USD + 0.95%)      3.30%  ^     07/16/2025      30,695,303  
6,700,000    BlueMountain Ltd., Series 2012-2A-AR, (3 Month LIBOR USD + 1.42%, 1.42% Floor)      3.75%  ^     11/20/2028      6,718,680  
22,850,520    BlueMountain Ltd., Series 2013-3A-AR, (3 Month LIBOR USD + 0.89%)      3.25%  ^     10/29/2025      22,863,353  
15,000,000    BlueMountain Ltd., Series 2015-2A-A1, (3 Month LIBOR USD + 1.43%, 1.43% Floor)      3.79%  ^     07/18/2027      15,021,397  
9,000,000    Carlyle Global Market Strategies Ltd., Series 2015-1A-AR, (3 Month LIBOR USD + 1.00%)      3.36%  ^     04/20/2027      9,010,267  
2,000,000    Cent Ltd., Series 2014-22A-A1R, (3 Month LIBOR USD + 1.41%)      3.77%  ^     11/07/2026      2,002,312  
25,000,000    CFIP Ltd., Series 2014-1A-AR, (3 Month LIBOR USD + 1.32%)      3.66%  ^     07/13/2029      25,105,596  
2,941,760    Crown Point Ltd., Series 2013-2A-A1LR, (3 Month LIBOR USD + 0.59%)      2.94%  ^     12/31/2023      2,945,379  
9,500,000    Galaxy Ltd., Series 2014-18A-AR, (3 Month LIBOR USD + 1.17%)      3.52%  ^     10/15/2026      9,504,741  
9,000,000    Halcyon Loan Advisors Funding Ltd., Series 2012-1X-A2, (3 Month LIBOR USD + 2.50%)      4.84%       08/15/2023      9,016,223  
1,550,838    Halcyon Loan Advisors Funding Ltd., Series 2013-1A-A1, (3 Month LIBOR USD + 1.15%)      3.50%  ^     04/15/2025      1,549,377  
1,000,000    Halcyon Loan Advisors Funding Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.13%)      3.49%  ^     04/18/2026      1,000,558  
2,250,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-C, (3 Month LIBOR USD + 3.50%)      5.86%  ^     04/28/2025      2,255,819  
49,275,000    Halcyon Loan Advisors Funding Ltd., Series 2015-2A-A, (3 Month LIBOR USD + 1.39%)      3.75%  ^     07/25/2027      49,473,323  
25,000,000    Halcyon Loan Advisors Funding Ltd., Series 2015-3A-A1R, (3 Month LIBOR USD + 0.90%)      3.26%  ^     10/18/2027      24,936,720  
9,000,000    Harbourview Ltd., Series 7RA-A1, (3 Month LIBOR USD + 1.13%, 1.13% Floor)      3.27%  ^     07/18/2031      8,969,260  
25,000,000    HLA Ltd., Series 2014-3A-AR, (3 Month LIBOR USD + 1.10%)      3.46%  ^     10/22/2025      25,004,328  
7,250,000    Hunt Ltd., Series 2017-FL1-B, (1 Month LIBOR USD + 1.65%)      3.72%  ^     08/15/2034      7,289,650  
7,605,364    Jamestown Ltd., Series 2014-4A-A1AR, (3 Month LIBOR USD + 0.69%)      3.04%  ^     07/15/2026      7,578,009  
22,200,000    Jamestown Ltd., Series 2015-8A-A1AR, (3 Month LIBOR USD + 0.87%, 0.87% Floor)      3.22%  ^     01/15/2028      22,119,431  
31,000,000    Jamestown Ltd., Series 2016-9A-A1B, (3 Month LIBOR USD + 1.50%)      3.86%  ^     10/20/2028      31,066,302  
10,500,000    Jamestown Ltd., Series 2018-6RA-A1, (3 Month LIBOR USD + 1.15%, 1.15% Floor)      3.60%  ^     04/25/2030      10,496,888  
43,500,000    LCM LP, Series 16A-AR, (3 Month LIBOR USD + 1.03%)      3.38%  ^     07/15/2026      43,528,504  
26,000,000    Madison Park Funding Ltd., Series 2013-11A-AR, (3 Month LIBOR USD + 1.16%)      3.52%  ^     07/23/2029      26,010,419  
5,235,000    Magnetite Ltd., Series 2014-9A-A1R, (3 Month LIBOR USD + 1.00%)      3.36%  ^     07/25/2026      5,237,729  
3,000,000    Marathon Ltd., Series 2017-9A-A2, (3 Month LIBOR USD + 1.75%)      4.10%  ^     04/15/2029      3,010,755  
41,500,000    Midocean Credit, Series 2017-7A-A1, (3 Month LIBOR USD + 1.32%)      3.67%  ^     07/15/2029      41,590,789  
30,000,000    MP Ltd., Series 2013-2A-ARR, (3 Month LIBOR USD + 1.28%)      3.64%  ^     07/25/2029      30,066,009  
25,000,000    MP Ltd., Series 2015-2A-AR, (3 Month LIBOR USD + 0.91%)      3.27%  ^     10/28/2027      24,964,875  
4,230,676    NewMark Capital Funding Ltd., Series 2013-1A-A1, (3 Month LIBOR USD + 0.94%)      3.26%  ^     06/02/2025      4,232,823  
8,461,352    NewMark Capital Funding Ltd., Series 2013-1A-A2, (3 Month LIBOR USD + 1.12%)      3.44%  ^     06/02/2025      8,471,250  
20,000,000    OCP Ltd., Series 2012-2A-A1R, (3 Month LIBOR USD + 1.40%)      3.73%  ^     11/22/2025      20,037,002  
16,500,000    OCP Ltd., Series 2014-5A-A1R, (3 Month LIBOR USD + 1.08%, 1.08% Floor)      3.44%  ^     04/26/2031      16,525,340  
14,000,000    Octagon Investment Partners Ltd., Series 2015-1A-A1R, (3 Month LIBOR USD + 0.90%)      3.23%  ^     05/21/2027      13,996,523  
8,750,000    Octagon Investment Partners Ltd., Series 2016-1A-B, (3 Month LIBOR USD + 2.15%)      4.50%  ^     07/15/2027      8,758,697  
15,000,000    Octagon Loan Funding Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.14%)      3.47%  ^     11/18/2026      15,005,820  
11,999,245    Palmer Square Loan Funding Ltd., Series 2017-1A-A1, (3 Month LIBOR USD + 0.74%)      3.09%  ^     10/15/2025      11,992,206  
25,000,000    Race Point Ltd., Series 2015-9A-A1AR, (3 Month LIBOR USD + 1.21%)      3.56%  ^     10/15/2030      25,094,476  
22,000,000    Romark Ltd., Series 2018-1A-A1, (3 Month LIBOR USD + 1.03%)      2.78%  ^     04/20/2031      22,001,683  
32,100,000    Shackleton Ltd., Series 2016-9A-A, (3 Month LIBOR USD + 1.50%)      3.86%  ^     10/20/2028      32,329,967  
3,000,000    Sound Harbor Loan Fund Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.20%)      3.56%  ^     10/30/2026      3,003,456  
959,092    Symphony Ltd., Series 2012-8A-AR, (3 Month LIBOR USD + 1.10%)      3.43%  ^     01/09/2023      960,083  
20,000,000    TCI-Flatiron Ltd., Series 2016-1A-A, (3 Month LIBOR USD + 1.55%)      3.90%  ^     07/17/2028      20,079,653  
10,000,000    Venture Ltd., Series 2016-23A-A, (3 Month LIBOR USD + 1.65%)      4.01%  ^     07/19/2028      9,999,932  
30,000,000    Vibrant Ltd., Series 2015-3A-A1R, (3 Month LIBOR USD + 1.48%)      3.84%  ^     04/20/2026      30,021,761  
5,000,000    Vibrant Ltd., Series 2016-5A-A, (3 Month LIBOR USD + 1.55%)      3.91%  ^     01/20/2029      5,033,330  
23,000,000    Wellfleet Ltd., Series 2016-1A-AR, (3 Month LIBOR USD + 0.91%)      3.27%  ^     04/20/2028      22,972,808  
20,000,000    Wellfleet Ltd., Series 2017-2A-A1, (3 Month LIBOR USD + 1.25%)      3.61%  ^     10/20/2029      20,036,635  
2,500,000    WhiteHorse Ltd., Series 2012-1A-B1L, (3 Month LIBOR USD + 4.25%)      6.61%  ^     02/03/2025      2,503,061  
1,994,699    WhiteHorse Ltd., Series 2013-1A-A1L, (3 Month LIBOR USD + 1.40%)      3.73%  ^     11/24/2025      1,997,645  
3,250,000    WhiteHorse Ltd., Series 2014-1A-AR, (3 Month LIBOR USD + 0.90%)      3.26%  ^     05/01/2026      3,247,080  
4,000,000    Wind River Ltd., Series 2016-2A-A, (3 Month LIBOR USD + 1.50%)      3.86%  ^     11/01/2028      4,013,581  
5,000,000    Zais Ltd., Series 2014-2A-A1AR, (3 Month LIBOR USD + 1.20%)      3.56%  ^     07/25/2026      5,006,867  
13,000,000    Zais Ltd., Series 2016-2A-A1, (3 Month LIBOR USD + 1.53%)      3.88%  ^     10/15/2028      13,025,201  
           

 

 

  

Total Collateralized Loan Obligations (Cost $908,013,213)

 

               909,074,515  
           

 

 

  

Foreign Corporate Bonds - 15.3%

         
8,000,000    Adani Ports & Special Economic Zone Ltd.      3.50%       07/29/2020      7,911,680  
9,501,000    AerCap Global Aviation Trust      4.63%       10/30/2020      9,689,964  
1,450,000    Agromercantil Senior Trust      6.25%  ^     04/10/2019      1,468,502  
3,550,000    Agromercantil Senior Trust      6.25%       04/10/2019      3,595,298  
8,175,000    Alibaba Group Holding Ltd.      2.50%       11/28/2019      8,121,874  
5,732,000    Alibaba Group Holding Ltd.      3.13%       11/28/2021      5,679,288  
3,898,000    America Movil S.A.B. de C.V.      5.00%       03/30/2020      4,008,858  
9,000,000    America Movil S.A.B. de C.V.      3.13%       07/16/2022      8,859,415  
11,315,000    AstraZeneca PLC      2.38%       11/16/2020      11,106,914  
12,900,000    Axiata SPV2 BHD      3.47%       11/19/2020      12,844,530  
9,000,000    Banco de Costa Rica      5.25%       08/12/2018      9,010,800  
700,000    Banco de Credito del Peru      2.25%  ^     10/25/2019      690,375  
200,000    Banco de Credito del Peru      2.25%       10/25/2019      197,250  
7,300,000    Banco de Credito del Peru      5.38%       09/16/2020      7,599,300  
1,500,000    Banco del Estado de Chile      2.67%  ^     01/08/2021      1,462,258  
19,800,000    Banco del Estado de Chile      3.88%       02/08/2022      19,783,642  
5,000,000    Banco Internacional del Peru S.A.A.      3.38%       01/18/2023      4,748,500  
16,842,000    Banco International del Peru S.A.A.      5.75%       10/07/2020      17,599,890  
11,431,000    Banco Latinoamericano do Comercio Exterior S.A.      3.25%       05/07/2020      11,316,690  
9,000,000    Banco Nacional de Costa Rica      4.88%       11/01/2018      9,022,500  
1,000,000    Banco Regional SAECA      8.13%       01/24/2019      1,024,900  
2,950,000    Banco Santander      2.50%  ^     12/15/2020      2,876,338  
6,598,000    Banco Santander      3.88%       09/20/2022      6,576,622  
8,000,000    Banco Santander      4.13%       11/09/2022      7,892,000  
15,732,000    Banco Santander, (5 Year CMT Rate + 4.58%)      5.95%       01/30/2024      15,869,655  
2,400,000    Banistmo S.A.      3.65%  ^     09/19/2022      2,271,000  
10,935,000    Barclays Bank PLC      2.65%       01/11/2021              10,702,896  
5,100,000    BBVA Banco Continental S.A.      5.00%       08/26/2022      5,246,625  
200,000    BBVA Bancomer S.A.      7.25%       04/22/2020      209,750  
12,938,000    BDO Unibank, Inc.      2.63%       10/24/2021      12,468,829  
11,350,000    BDO Unibank, Inc.      2.95%       03/06/2023      10,753,138  
17,400,000    Bharat Petroleum Corporation Ltd.      4.63%       10/25/2022      17,678,226  
11,200,000    Bharti Airtel Ltd.      5.13%       03/11/2023      11,089,870  
5,518,000    BNP Paribas S.A.      5.00%       01/15/2021      5,731,987  
6,885,000    BP Capital Markets PLC      1.68%       05/03/2019      6,826,740  
745,000    BP Capital Markets PLC      1.77%       09/19/2019      735,837  
2,351,000    BP Capital Markets PLC      2.32%       02/13/2020      2,328,909  
9,993,000    Celulosa Arauco y Constitucion S.A.      4.75%       01/11/2022      10,240,427  
21,000,000    CK Hutchison International Ltd.      2.88%  ^     04/05/2022      20,480,132  
3,000,000    CK Hutchison International Ltd.      2.88%       04/05/2022      2,925,733  
8,000,000    CNOOC Finance Ltd.      2.63%       05/05/2020      7,903,824  
13,000,000    CNOOC Finance Ltd.      3.88%       05/02/2022      13,092,131  
15,391,000    CNPC General Capital Ltd.      3.95%       04/19/2022      15,542,282  
6,100,000    CNPC Overseas Capital Ltd.      4.50%       04/28/2021      6,268,282  
500,000    Coca-Cola Femsa S.A.B. de C.V.      4.63%       02/15/2020      511,318  
7,000,000    Comision Federal de Electricidad      4.88%       05/26/2021      7,113,750  
7,946,000    Commonwealth Bank of Australia      2.25%  ^     03/10/2020      7,834,028  
2,835,000    Commonwealth Bank of Australia      2.05%  ^     09/18/2020      2,761,156  
2,900,000    Corpbanca S.A.      3.88%       09/22/2019      2,913,886  
4,000,000    Corporacion Financiera de Desarrollo S.A.      3.25%  ^     07/15/2019      3,996,000  
5,580,000    Credit Suisse Group AG, (3 Month LIBOR USD + 1.24%)      3.57%  ^     06/12/2024      5,579,470  
4,300,000    DBS Group Holdings Ltd., (3 Month LIBOR USD + 0.62%)      2.98%       07/25/2022      4,312,575  
5,200,000    DBS Group Holdings Ltd., (3 Month LIBOR USD + 0.62%)      2.98%  ^     07/25/2022      5,215,206  
14,000,000    DBS Group Holdings Ltd., (5 Year Swap Rate USD + 2.39%)      3.60%  †     09/07/2021      13,398,658  
5,600,000    Delek & Avner Tamar Bond Ltd.      3.84%  ^     12/30/2018      5,605,852  
6,320,000    Delek & Avner Tamar Bond Ltd.      4.44%  ^     12/30/2020      6,319,305  
2,500,000    Digicel Ltd.      8.25%       09/30/2020      1,896,875  
10,150,000    Ecopetrol S.A.      7.63%       07/23/2019      10,619,945  
5,000,000    Empresas Publicas de Medellin E.S.P.      7.63%       07/29/2019      5,125,000  
10,054,346    ENA Norte Trust      4.95%       04/25/2023      10,129,754  
3,695,000    Export-Import Bank of India      2.75%       04/01/2020      3,632,673  
13,350,000    Export-Import Bank of India      3.13%       07/20/2021      13,037,610  
3,305,000    Export-Import Bank of India, (3 Month LIBOR USD + 1.00%)      3.33%       08/21/2022      3,314,171  
10,800,000    Fondo Mivivienda S.A.      3.38%       04/02/2019      10,800,000  
3,000,000    Fondo Mivivienda S.A.      3.38%  ^     04/02/2019      3,000,000  
500,000    Fondo Mivivienda S.A.      3.50%  ^     01/31/2023      483,255  
500,000    Fondo Mivivienda S.A.      3.50%       01/31/2023      483,255  
1,200,000    Fresnillo PLC      5.50%       11/13/2023      1,242,000  
10,999,000    GlaxoSmithKline Capital PLC      3.13%       05/14/2021      11,027,458  
4,000,000    Global Bank Corporation      5.13%  ^     10/30/2019      4,039,200  
4,982,000    Global Bank Corporation      5.13%       10/30/2019      5,030,824  
1,900,000    Global Bank Corporation      4.50%  ^     10/20/2021      1,854,400  
4,000,000    Global Bank Corporation      4.50%       10/20/2021      3,904,000  
500,000    Grupo Bimbo S.A.B. de C.V.      4.88%       06/30/2020      514,068  
500,000    Grupo Idesa S.A. de C.V.      7.88%       12/18/2020      390,000  
5,619,847    Guanay Finance Ltd.      6.00%       12/15/2020      5,661,995  
5,675,000    HSBC Holdings PLC, (3 Month LIBOR USD + 1.00%)      3.33%       05/18/2024      5,662,489  
7,635,000    Indian Oil Corporation Ltd.      5.63%       08/02/2021      7,979,568  
590,502    Interoceanica Finance Ltd.      0.00%       11/30/2018      582,751  
10,725,000    Inversiones CMPC S.A.      4.50%       04/25/2022      10,842,908  
1,500,000    IOI Investment BHD      4.38%       06/27/2022      1,505,656  
700,000    Itau Unibanco Holding S.A.      6.20%       12/21/2021      723,100  
5,000,000    JBS Investments GMBH      7.75%       10/28/2020      5,106,250  
9,996,000    Malayan Banking BHD, (5 Year Swap Rate USD + 2.54%)      3.91%       10/29/2026      9,858,105  
10,985,000    Mizuho Financial Group, Inc., (3 Month LIBOR USD + 0.79%)      3.11%       03/05/2023      10,990,985  
300,000    Multibank, Inc.      4.38%       11/09/2022      294,000  
4,800,000    Oleoducto Central S.A.      4.00%       05/07/2021      4,776,480  
8,770,000    ONGC Videsh Ltd.      3.25%       07/15/2019      8,753,776  
10,000,000    ONGC Videsh Ltd.      2.88%       01/27/2022      9,586,370  
4,300,000    ONGC Videsh Ltd.      3.75%       05/07/2023      4,197,858  
7,612,000    Orange S.A.      2.75%       02/06/2019      7,608,003  
1,355,000    Orange S.A.      1.63%       11/03/2019      1,330,247  
19,000,000    Oversea-Chinese Banking Corporation, (5 Year Swap Rate USD + 2.20%)      4.00%       10/15/2024      19,076,046  
6,100,000    Panama Metro Line SP      0.00%  ^     12/05/2022      5,479,325  
11,739,000    Panama Metro Line SP      0.00%       12/05/2022      10,544,557  
7,000,000    Petronas Capital Ltd.      3.13%       03/18/2022      6,916,448  
12,600,000    Petronas Global Sukuk Ltd.      2.71%       03/18/2020      12,477,251  
6,577,000    PSA International Ltd.      4.63%       09/11/2019      6,704,791  
598,000    PSA International Ltd.      3.88%       02/11/2021      607,749  
3,500,000    Reliance Holdings, Inc.      4.50%       10/19/2020      3,558,828  
17,560,000    Reliance Holdings, Inc.      5.40%       02/14/2022      18,241,412  
5,680,000    Royal Bank of Scotland Group PLC, (3 Month LIBOR USD + 1.55%)      3.89%       06/25/2024      5,672,877  
2,400,000    SACI Falabella      3.75%       04/30/2023      2,350,777  
11,145,000    Santander UK PLC      2.50%       01/05/2021      10,891,362  
9,575,000    Shire Acquisitions Investments Ireland DAC      1.90%       09/23/2019      9,431,417  
5,200,000    Sinopec Group Overseas Development Ltd.      2.50%       04/28/2020      5,125,423  
1,800,000    Sinopec Group Overseas Development Ltd.      2.50%  ^     04/28/2020      1,774,185  
4,200,000    Sinopec Group Overseas Development Ltd.      2.75%       05/03/2021      4,120,507  
990,000    Sinopec Group Overseas Development Ltd.      2.00%       09/29/2021      945,680  
3,000,000    Sinopec Group Overseas Development Ltd.      2.00%  ^     09/29/2021      2,865,696  
4,000,000    Sinopec Group Overseas Development Ltd.      3.00%       04/12/2022      3,902,912  
3,710,000    Sinopec Group Overseas Development Ltd.      3.00%  ^     04/12/2022      3,619,951  
11,500,000    SP PowerAssets Ltd.      2.70%       09/14/2022      11,207,656  
11,465,000    Sumitomo Mitsui Financial Group, Inc.      2.06%       07/14/2021      10,998,754  
200,000    Telefonica Celular del Paraguay S.A.      6.75%       12/13/2022      205,000  
17,000,000    Telefonica Chile S.A.      3.88%       10/12/2022      16,856,930  
2,250,000    Temasek Financial Ltd.      2.38%       01/23/2023      2,163,710  
7,241,000    Tencent Holdings Ltd.      3.38%       05/02/2019      7,271,097  
3,170,000    Tencent Holdings Ltd.      2.88%       02/11/2020      3,156,441  
1,400,000    Tencent Holdings Ltd.      2.88%  ^     02/11/2020      1,394,012  
1,000,000    Tencent Holdings Ltd., (3 Month LIBOR USD + 0.61%)      2.96%  ^     01/19/2023      999,080  
11,425,000    Toronto-Dominion Bank      3.25%       06/11/2021      11,425,478  
575,000    Transportadora de Gas Internacional S.A.      5.70%  ^     03/20/2022      585,062  
18,331,000    Transportadora de Gas Internacional S.A.      5.70%       03/20/2022      18,651,793  
10,760,000    UBS AG      2.45%  ^     12/01/2020      10,531,533  
8,100,000    Union Bank of the Philippines      3.37%       11/29/2022      7,709,629  
17,902,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.00%)      3.75%       09/19/2024      17,905,634  
1,550,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.24%)      3.50%       09/16/2026      1,522,715  
5,852,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 1.65%)      2.88%       03/08/2027      5,605,397  
6,805,000    UPL Corporation      3.25%       10/13/2021      6,597,148  
2,930,000    Westpac Banking Corporation      1.95%       11/23/2018      2,923,263  
8,015,000    Westpac Banking Corporation      1.60%       08/19/2019      7,903,052  
           

 

 

  

Total Foreign Corporate Bonds (Cost $898,296,730)

 

               882,920,472  
           

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 3.2%

 

      
10,700,000    Chile Government International Bond      2.25%       10/30/2022      10,213,150  
21,800,000    Chile International Government Bond      3.25%       09/14/2021      21,797,275  
1,210,000    Costa Rica Government International Bond      10.00%       08/01/2020      1,321,925  
14,600,000    Dominican Republic International Bond      7.50%       05/06/2021      15,340,950  
5,000,000    Indonesia Government International Bond      6.13%       03/15/2019      5,116,250  
20,060,000    Indonesia Government International Bond      4.88%       05/05/2021      20,666,775  
6,740,000    Indonesia Government International Bond      3.70%  ^     01/08/2022      6,677,837  
20,600,000    Israel Government International Bond      4.00%       06/30/2022      21,185,184  
11,000,000    Mexico Government International Bond      3.63%       03/15/2022      11,033,990  
12,000,000    Panama Government International Bond      5.20%       01/30/2020      12,435,000  
33,200,000    Philippine Government International Bond      4.00%       01/15/2021      33,655,737  
6,000,000    Republic of Poland Government International Bond      5.13%       04/21/2021      6,308,160  
15,160,000    Wakala Global Sukuk BHD      4.65%       07/06/2021      15,709,095  
           

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $186,147,426)

      181,461,328  
           

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 13.7%

         
1,107,725    A10 LLC, Series 2016-1-A1      2.42%  ^     03/15/2035      1,107,600  
9,313,000    AREIT Trust, Series 2018-CRE1-A, (1 Month LIBOR USD + 0.85%, 0.85% Floor)      2.92%  ^     02/15/2035      9,303,761  
11,568,171    Ashford Hospitality Trust, Series 2018-ASHF-A, (1 Month LIBOR USD + 0.90%, 0.90% Floor)      2.97%  ^     04/15/2035      11,576,736  
3,482,469    Asset Securitization Corporation, Series 1997-D4-PS1      2.03%  #I/O     04/14/2029      1,993  
12,019,000    Atrium Hotel Portfolio Trust, Series 2017-ATRM-E, (1 Month LIBOR USD + 3.05%)      5.12%  ^     12/15/2036      12,014,891  
12,570,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      2.93%  ^     06/15/2035      12,587,338  
191,761,146    BANK, Series 2017-BNK5-XA      1.24%  #I/O     06/15/2060      13,044,092  
104,540,824    BANK, Series 2017-BNK6-XA      1.01%  #I/O     07/15/2060      5,979,536  
47,627,867    BANK, Series 2017-BNK9-XA      0.96%  #I/O     11/15/2054      2,861,725  
9,971,000    Barclays Commercial Mortgage Securities LLC, Series 2014-BXO-E, (1 Month LIBOR USD + 3.75%, 2.56% Floor)      5.82%  ^     08/15/2027      10,014,924  
95,596,320    Barclays Commercial Mortgage Securities LLC, Series 2017-C1-XA      1.69%  #I/O     02/15/2050      9,351,481  
2,261,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C, (1 Month LIBOR USD + 1.20%)      3.27%  ^     08/15/2036      2,263,380  
2,577,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D, (1 Month LIBOR USD + 1.70%)      3.77%  ^     08/15/2036      2,579,828  
5,399,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E, (1 Month LIBOR USD + 2.50%)      4.57%  ^     08/15/2036      5,424,630  
5,175,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F, (1 Month LIBOR USD + 3.50%)      5.57%  ^     08/15/2036      5,209,772  
11,694,000    BBCMS Mortgage Trust, Series 2017-GLKS-E, (1 Month LIBOR USD + 2.85%, 2.75% Floor)      4.92%  ^     11/15/2034      11,709,932  
11,000,000    BBCMS Mortgage Trust, Series 2018-TALL-A, (1 Month LIBOR USD + 0.72%)      2.80%  ^     03/15/2037      11,003,903  
1,488,124    Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10-AJ      5.78%  #     12/11/2040      1,549,931  
5,209,139    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.57%  #     01/12/2045      4,784,423  
129,173,163    Benchmark Mortgage Trust, Series 2018-B1-XA      0.67%  #I/O     01/15/2051      5,135,344  
10,734,000    Bsprt Issuer Ltd., Series 2017-FL1-A, (1 Month LIBOR USD + 1.35%)      3.42%  ^     06/15/2027      10,757,753  
6,888,000    Bsprt Issuer Ltd., Series 2017-FL2-A, (1 Month LIBOR USD + 0.82%, 0.82% Floor)      2.89%  ^     10/15/2034      6,897,784  
2,411,000    Bsprt Issuer Ltd., Series 2017-FL2-AS, (1 Month LIBOR USD + 1.10%, 1.10% Floor)      3.17%  ^     10/15/2034      2,417,115  
2,411,000    Bsprt Issuer Ltd., Series 2017-FL2-B, (1 Month LIBOR USD + 1.40%, 1.40% Floor)      3.47%  ^     10/15/2034      2,417,529  
3,590,000    BX Commercial Mortgage Trust, Series 2018-BIOA-D, (1 Month LIBOR USD + 1.32%, 1.35% Floor)      3.39%  ^     03/15/2037      3,578,874  
4,001,852    BX Trust, Series 2017-APPL-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.12%  ^     07/15/2034      4,022,373  
6,192,244    BX Trust, Series 2017-APPL-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%  ^     07/15/2034      6,241,817  
6,117,000    BX Trust, Series 2017-FL1-C, (1 Month LIBOR USD + 1.95%, 1.95% Floor)      4.02%  ^     06/15/2035      6,147,603  
4,460,000    BX Trust, Series 2017-IMC-D, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.32%  ^     10/15/2032      4,473,862  
7,194,000    BX Trust, Series 2017-IMC-E, (1 Month LIBOR USD + 3.25%, 3.25% Floor)      5.32%  ^     10/15/2032      7,231,209  
7,099,000    BX Trust, Series 2017-SLCT-D, (1 Month LIBOR USD + 2.05%)      4.12%  ^     07/15/2034      7,114,550  
11,674,000    BX Trust, Series 2017-SLCT-E, (1 Month LIBOR USD + 3.15%)      5.22%  ^     07/15/2034      11,736,117  
8,976,000    BX Trust, Series 2018-BIOA-E, (1 Month LIBOR USD + 1.95%, 1.98% Floor)      4.02%  ^     03/15/2037      8,950,372  
11,441,000    BX Trust, Series 2018-GW-A, (1 Month LIBOR USD + 0.80%, 0.80% Floor)      2.70%  ^     05/15/2035      11,468,097  
1,001,000    BX Trust, Series 2018-GW-D, (1 Month LIBOR USD + 1.77%, 1.77% Floor)      3.67%  ^     05/15/2035      1,002,381  
124,000    BX Trust, Series 2018-MCSF, (1 Month LIBOR USD + 2.65%, 2.65% Floor)      4.72%  ^     04/15/2035      123,190  
26,337,236    CD Commercial Mortgage Trust, Series 2017-CD4-XA      1.48%  #I/O     05/10/2050      2,209,652  
117,149,173    CFCRE Commercial Mortgage Trust, Series 2017-C8-XA      1.83%  #I/O     06/15/2050      12,129,262  
42,452,000    CFCRE Commercial Mortgage Trust, Series 2017-C8-XB      1.12%  #I/O     06/15/2050      3,101,921  
4,752,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-B      4.69%  ^     02/15/2033      4,837,213  
4,752,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-C      5.29%  ^     02/15/2033      4,848,248  
2,851,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-D      6.10%  ^     02/15/2033      2,934,386  
2,435,830    CG-CCRE Commercial Mortgage Trust, Series 2014-FL2-A, (1 Month LIBOR USD + 1.85%, 1.85% Floor)      3.93%  ^     11/15/2031      2,437,182  
4,697,000    CGDBB Commercial Mortgage Trust, Series 2017-BIOC-D, (1 Month LIBOR USD + 1.60%, 1.60% Floor)      3.67%  ^     07/15/2032      4,707,724  
6,576,000    CGDBB Commercial Mortgage Trust, Series 2017-BIOC-E, (1 Month LIBOR USD + 2.15%, 2.25% Floor)      4.22%  ^     07/15/2032      6,572,465  
12,600,000    CGGS Commercial Mortgage Trust, Series 2018-WSS-D, (1 Month LIBOR USD + 2.30%, 2.30% Floor)      4.37%  ^     02/15/2037      12,656,481  
7,731,000    CHT Mortgage Trust, Series 2017-CSMO-E, (1 Month LIBOR USD + 3.00%, 3.00% Floor)      5.07%  ^     11/15/2036      7,791,062  
4,123,000    CHT Mortgage Trust, Series 2017-CSMO-F, (1 Month LIBOR USD + 3.74%, 3.80% Floor)      5.81%  ^     11/15/2036      4,163,731  
2,721,497    Citigroup Commercial Mortgage Trust, Series 2008-C7-AM      6.34%  #     12/10/2049      2,717,715  
34,355,360    Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA      1.48%  #I/O     02/10/2049      2,604,068  
65,349,862    Citigroup Commercial Mortgage Trust, Series 2016-P3-XA      1.87%  #I/O     04/15/2049      6,264,738  
179,000    Citigroup Commercial Mortgage Trust, Series 2018-TBR-D, (1 Month LIBOR USD + 1.80%, 1.80% Floor)      3.87%  ^     12/15/2036      180,058  
6,919,000    CLNS Trust, Series 2017-IKPR-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.10%  ^     06/11/2032      6,935,658  
6,919,000    CLNS Trust, Series 2017-IKPR-E, (1 Month LIBOR USD + 3.50%, 3.50% Floor)      5.55%  ^     06/11/2032      6,956,933  
4,505,559    COBALT Commercial Mortgage Trust, Series 2007-C2-AJFX      5.57%  #     04/15/2047      4,525,658  
5,642,000    Cold Storage Trust, Series 2017-ICE3-A, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.07%  ^     04/15/2036      5,671,832  
6,884,000    Cold Storage Trust, Series 2017-ICE3-C, (1 Month LIBOR USD + 1.35%, 1.35% Floor)      3.42%  ^     04/15/2036      6,916,402  
8,037,700    Commercial Mortgage Pass-Through Certificates, Series 2012-CR2-XA      1.82%  #I/O     08/15/2045      444,122  
126,917,942    Commercial Mortgage Pass-Through Certificates, Series 2013-CR12-XA      1.43%  #I/O     10/10/2046      5,631,324  
30,479,654    Commercial Mortgage Pass-Through Certificates, Series 2013-LC6-XA      1.55%  #I/O     01/10/2046      1,582,552  
3,890,000    Commercial Mortgage Pass-Through Certificates, Series 2014-TWC-C, (1 Month LIBOR USD + 1.85%, 1.85% Floor)      3.90%  ^     02/13/2032      3,902,781  
67,534,779    Commercial Mortgage Pass-Through Certificates, Series 2017-COR2-XA      1.33%  #I/O     09/10/2050      5,796,598  
173,948,619    Commercial Pass-Through Certificates, Series 2015-CR25-XA      1.08%  #I/O     08/10/2048      8,530,301  
1,313,913    Credit Suisse Mortgage Capital Certificates, Series 2008-C1-AM      6.17%  #^     02/15/2041      1,312,259  
5,464,000    Credit Suisse Mortgage Trust, Series 2017-LSTK-C      3.23%  ^     04/05/2033      5,393,543  
6,501,000    Credit Suisse Mortgage Trust, Series 2017-LSTK-D      3.44%  #^     04/05/2033      6,376,694  
127,221,505    CSAIL Commercial Mortgage Trust, Series 2017-C8-XA      1.40%  #I/O     06/15/2050      9,414,557  
20,120,096    CSAIL Commercial Mortgage Trust, Series 2017-CX9-XA      1.04%  #I/O     09/15/2050      957,415  
3,435,000    CSMC Mortgage Securities Trust, Series 2017-HD-B, (1 Month LIBOR USD + 1.35%, 1.35% Floor)      3.42%  ^     02/15/2031      3,436,426  
1,649,000    CSMC Mortgage Securities Trust, Series 2017-HD-C, (1 Month LIBOR USD + 1.70%, 1.70% Floor)      3.77%  ^     02/15/2031      1,649,337  
3,559,000    CSMC Mortgage Securities Trust, Series 2017-HD-D, (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.57%  ^     02/15/2031      3,567,715  
811,000    CSMC Mortgage Securities Trust, Series 2017-LSTK-E      3.44%  #^     04/05/2033      790,793  
10,862,000    CSMC Trust, Series 2017-CHOP-D, (1 Month LIBOR USD + 1.90%, 1.90% Floor)      3.97%  ^     07/15/2032      10,885,508  
12,925,000    DBCG Mortgage Trust, Series 2017-BBG-B, (1 Month LIBOR USD + 0.85%, 0.95% Floor)      2.92%  ^     06/15/2034      12,945,760  
12,654,000    DBGS Mortgage Trust, Series 2018-BIOD-A, (1 Month LIBOR USD + 0.80%, 0.80% Floor)      2.70%  ^     05/15/2035      12,653,911  
4,252,621    GE Commercial Mortgage Corporation Trust, Series 2007-C1-AM      5.61%  #     12/10/2049      4,220,524  
12,463,000    GPMT Ltd., Series 2018-FL1-A, (1 Month LIBOR USD + 0.90%, 0.90% Floor)      2.98%  ^     11/21/2035      12,458,339  
3,487,000    Great Wolf Trust, Series 2017-WOLF-D, (1 Month LIBOR USD + 2.10%, 1.00% Floor)      4.32%  ^     09/15/2034      3,500,198  
5,404,000    Great Wolf Trust, Series 2017-WOLF-E, (1 Month LIBOR USD + 3.10%, 1.00% Floor)      5.32%  ^     09/15/2034      5,437,208  
2,876,000    Great Wolf Trust, Series 2017-WOLF-F, (1 Month LIBOR USD + 4.07%, 1.00% Floor)      6.29%  ^     09/15/2034      2,896,717  
1,354,022    GS Mortgage Securities Trust, Series 2013-GC14-A2      3.00%       08/10/2046      1,353,152  
6,788,000    GS Mortgage Securities Trust, Series 2017-500K-E, (1 Month LIBOR USD + 1.50%, 1.75% Floor)      3.57%  ^     07/15/2032      6,792,788  
9,116,000    GS Mortgage Securities Trust, Series 2017-500K-F, (1 Month LIBOR USD + 1.80%, 2.15% Floor)      3.87%  ^     07/15/2032      9,125,730  
2,970,000    GS Mortgage Securities Trust, Series 2017-500K-G, (1 Month LIBOR USD + 2.50%, 2.85% Floor)      4.57%  ^     07/15/2032      2,975,826  
145,806,442    GS Mortgage Securities Trust, Series 2017-GS6-XA      1.20%  #I/O     05/10/2050      11,087,778  
133,665,458    GS Mortgage Securities Trust, Series 2017-GS7-XA      1.29%  #I/O     08/10/2050      10,496,428  
154,335,622    GS Mortgage Securities Trust, Series 2017-GS8-XA      1.13%  #I/O     11/10/2050      10,879,566  
9,236,000    Hilton Orlando Trust, Series 2018-ORL-B, (1 Month LIBOR USD + 1.05%)      3.12%  ^     12/15/2034      9,243,963  
2,854,250    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP9-AM      5.37%       05/15/2047      2,856,732  
1,697,194    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-C1-AM      6.11%  #     02/15/2051      1,693,908  
3,295,994    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-AM      5.47%  #     06/12/2047      3,297,991  
4,708,178    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-A1      1.95%       01/15/2049      4,656,744  
2,684,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-B, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.07%  ^     06/15/2032      2,686,318  
2,027,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.32%  ^     06/15/2032      2,034,790  
6,562,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-D, (1 Month LIBOR USD + 1.90%, 1.90% Floor)      3.97%  ^     06/15/2032      6,546,179  
2,836,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.30%  ^     07/15/2034      2,841,577  
2,661,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-D, (1 Month LIBOR USD + 1.95%, 1.95% Floor)      4.00%  ^     07/15/2034      2,671,409  
2,356,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-E, (1 Month LIBOR USD + 2.95%, 2.95% Floor)      5.00%  ^     07/15/2034      2,369,885  
3,316,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-F, (1 Month LIBOR USD + 3.75%, 3.75% Floor)      5.80%  ^     07/15/2034      3,339,677  
12,853,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-A, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.00%  ^     06/15/2032              12,871,264  
1,793,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9-AMS      5.34%       05/15/2047      1,788,292  
2,496,438    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11-AM      6.16%  #     06/15/2049      2,521,252  
1,051,902    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM      5.46%  #     01/15/2049      1,052,934  
21,025,309    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20-XA      1.24%  #I/O     07/15/2047      712,659  
9,412,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-FRR1-A707      4.35%  ^     01/27/2047      9,351,306  
1,387,382    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-FL7-C, (1 Month LIBOR USD + 2.85%, 2.85% Floor)      4.92%  ^     05/15/2028      1,389,125  
6,173,368    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-B, (1 Month LIBOR USD + 2.15%, 2.15% Floor)      4.22%  ^     10/15/2034      6,182,376  
3,484,807    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-C, (1 Month LIBOR USD + 2.75%, 2.75% Floor)      4.82%  ^     10/15/2034      3,493,380  
71,885,866    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4-XA      0.94%  #I/O     12/15/2049      3,010,062  
91,532,472    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA      1.61%  #I/O     11/15/2048      4,948,493  
3,792,000    LCCM, Series 2014-PKMD-MRC      2.95%  #^     11/14/2027      3,755,391  
7,663,000    LMREC, Inc., Series 2015-CRE1-AR, (1 Month LIBOR USD + 0.98%)      3.06%  ^     02/22/2032      7,682,142  
11,004,000    LoanCore Issuer Ltd., Series 2018-CRE1-A, (1 Month LIBOR USD + 1.13%, 1.13% Floor)      3.20%  ^     05/15/2028      11,034,365  
71,039,615    LSTAR Commercial Mortgage Trust, Series 2017-5-X      1.39%  #^I/O     03/10/2050      3,415,691  
12,970,000    Marathon CRE, Series 2018-FL1-A, (1 Month LIBOR USD + 1.15%, 1.15% Floor)      0.00%  ^     06/15/2028      12,989,131  
997,279    Merrill Lynch Mortgage Trust, Series 2007-C1-AM      5.99%  #     06/12/2050      998,378  
2,760,767    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5-XA      1.63%  #^I/O     08/15/2045      129,210  
15,260,424    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-LNCX      0.60%  ^I/O     12/15/2046      514,501  
19,282,708    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32-XA      0.90%  #I/O     12/15/2049      932,487  
3,216,000    Morgan Stanley Capital Trust, Series 2017-ASHF-D, (1 Month LIBOR USD + 2.20%, 2.20% Floor)      4.27%  ^     11/15/2034      3,232,128  
4,824,000    Morgan Stanley Capital Trust, Series 2017-ASHF-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%  ^     11/15/2034      4,825,201  
3,655,000    Morgan Stanley Capital Trust, Series 2017-ASHF-F, (1 Month LIBOR USD + 4.35%, 4.35% Floor)      6.42%  ^     11/15/2034      3,680,161  
2,534,379    Morgan Stanley Capital, Inc., Series 2006-HQ10-X1      0.69%  #^I/O     11/12/2041      68  
69,482,372    Morgan Stanley Capital, Inc., Series 2017-H1-XA      1.61%  #I/O     06/15/2050      6,140,859  
101,369    Morgan Stanley Re-Remic Trust, Series 2012-IO-AXA      1.00%  ^     03/27/2051      100,525  
11,397,771    Motel 6 Trust, Series 2017-MTL6-D, (1 Month LIBOR USD + 2.15%, 2.15% Floor)      4.22%  ^     08/15/2034      11,442,425  
12,859,000    Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      2.87%  ^     06/15/2035      12,891,147  
8,366,037    RAIT Trust, Series 2017-FL7-A, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      3.02%  ^     06/15/2037      8,371,443  
2,363,000    RAIT Trust, Series 2017-FL7-AS, (1 Month LIBOR USD + 1.30%, 1.30% Floor)      3.37%  ^     06/15/2037      2,363,890  
5,437,000    Rosslyn Portfolio Trust, Series 2017-ROSS-A, (1 Month LIBOR USD + 0.95%, 1.94% Floor)      3.02%  ^     06/15/2033      5,445,412  
5,437,000    Rosslyn Portfolio Trust, Series 2017-ROSS-B, (1 Month LIBOR USD + 1.25%, 2.24% Floor)      3.32%  ^     06/15/2033      5,445,613  
2,263,000    TPG Real Estate Finance Ltd., Series 2018-FL1-A, (1 Month LIBOR USD + 0.75%, 0.75% Floor)      2.82%  ^     02/15/2035      2,260,755  
4,299,000    TPG Real Estate Finance Ltd., Series 2018-FL1-AS, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      3.02%  ^     02/15/2035      4,294,722  
1,811,000    TPG Real Estate Finance Ltd., Series 2018-FL1-B, (1 Month LIBOR USD + 1.30%, 1.30% Floor)      3.37%  ^     02/15/2035      1,812,139  
28,726,659    UBS Commercial Mortgage Trust, Series 2012-C1-XA      2.26%  #^I/O     05/10/2045      1,826,846  
87,130,586    UBS Commercial Mortgage Trust, Series 2017-C1-XA      1.77%  #I/O     06/15/2050      9,085,768  
106,883,020    UBS Commercial Mortgage Trust, Series 2017-C3-XA      1.28%  #I/O     08/15/2050      7,890,404  
118,833,270    UBS Commercial Mortgage Trust, Series 2018-C8-XA      1.05%  #I/O     02/15/2051      7,859,906  
4,442,676    VSD LLC, Series 2017-PLT1-A1      3.60%  ^     12/25/2043      4,439,667  
5,028,893    Wachovia Bank Commercial Mortgage Trust, Series 2006-C25-F      5.36%  #     05/15/2043      5,016,013  
1,457,676    Wachovia Bank Commercial Mortgage Trust, Series 2006-C26-AM      6.20%  #     06/15/2045      1,472,312  
4,844,332    Wachovia Bank Commercial Mortgage Trust, Series 2007-C30-AJ      5.41%  #     12/15/2043      4,885,774  
5,021,397    Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AM      6.21%  #     02/15/2051      5,113,510  
31,978,354    Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-XA      1.03%  #I/O     09/15/2058      1,509,004  
52,134,740    Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1-XA      1.93%  #I/O     08/15/2049      5,845,842  
51,557,004    Wells Fargo Commercial Mortgage Trust, Series 2017-RB1-XA      1.44%  #I/O     03/15/2050      4,486,052  
13,213,626    WF-RBS Commercial Mortgage Trust, Series 2012-C8-XA      2.01%  #^I/O     08/15/2045      800,226  
           

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $798,489,228)

 

         785,293,509  
           

 

 

  

Non-Agency Residential Collateralized Mortgage Obligations - 13.6%

 

      
21,948,152    Ajax Mortgage Loan Trust, Series 2017-C-A      3.75%  ^§     07/25/2060      21,624,419  
7,424,420    Angel Oak Mortgage Trust LLC, Series 2017-1-A1      2.81%  #^     01/25/2047      7,401,662  
3,620,344    Angel Oak Mortgage Trust LLC, Series 2017-1-A2      3.09%  #^     01/25/2047      3,614,126  
25,869,000    Angel Oak Mortgage Trust LLC, Series 2018-2-A1      3.67%  ^     07/27/2048      25,933,434  
240,504    Banc of America Funding Corporation, Series 2005-E-6A1      3.94%  #     05/20/2035      243,032  
1,753,415    Banc of America Mortgage Securities, Inc., Series 2005-E-2A1      4.40%  #     06/25/2035      1,670,579  
4,284,287    Bayview Opportunity Master Fund Trust, Series 2017-RN6-A1      3.10%  ^§     08/28/2032      4,271,876  
17,577,142    Bayview Opportunity Master Fund Trust, Series 2018-RN1-A1      3.28%  ^§     01/28/2033      17,493,510  
16,430,262    Bayview Opportunity Master Fund Trust, Series 2018-RN2-A1      3.60%  ^§     02/25/2033      16,410,981  
10,607,818    Bayview Opportunity Master Fund Trust, Series 2018-RN3-A1      3.67%  ^§     03/28/2033      10,616,012  
1,829,884    BCAP LLC Trust, Series 2011-RR1-8A3      6.00%  #^Þ     08/28/2021      1,922,234  
2,866,319    Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-9-4A1      3.82%       02/25/2034      2,897,347  
361,402    Bear Stearns Asset Backed Securities Trust, Series 2004-AC2-2A      5.00%       05/25/2034      361,645  
16,500,000    CAM Mortgage Trust, Series 2018-1-A1      3.96%  ^§     12/01/2065      16,539,385  
10,931,833    Carrington Mortgage Loan Trust, Series 2007-FRE1-A2, (1 Month LIBOR USD + 0.20%, 0.20% Floor, 14.50% Cap)      2.29%      02/25/2037      10,885,036  
8,715,850    CIM Trust, Series 2017-6-A1      3.02%  #^     06/25/2057      8,571,903  
26,323,529    CIM Trust, Series 2017-8-A1      3.00%  #^     12/25/2065      26,302,267  
1,689,702    Citicorp Residential Mortgage Securities, Inc., Series 2007-1-A4      5.45%  ß     03/25/2037      1,742,033  
8,524,052    Citicorp Residential Mortgage Securities, Inc., Series 2007-2-A4      5.19%  ß     06/25/2037      8,631,406  
1,834,850    Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1-2A1, (1 Year CMT Rate + 2.40%, 2.40% Floor, 9.87% Cap)      3.71%       03/25/2036      1,763,631  
9,121,366    Civic Mortgage LLC, Series 2018-1-A1      3.89%  ^§     06/25/2022      9,123,592  
3,880,133    COLT Mortgage Loan Trust, Series 2017-1-A2      2.82%  #^     05/27/2047      3,864,211  
4,426,927    COLT Mortgage Loan Trust, Series 2018-1-A2      2.98%  ^     02/25/2048      4,416,795  
5,522,391    COLT Mortgage Loan Trust, Series 2018-1-A3      3.08%  ^     02/25/2048      5,514,052  
28,270    Countrywide Asset-Backed Certificates, Series 2005-15-1AF6      3.94%  #     04/25/2036      28,578  
4,470,789    Countrywide Home Loans, Series 2004-HYB9-1A1      3.59%  #     02/20/2035      4,527,874  
47,764    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-5A1      5.25%       12/25/2020      47,273  
9,678,560    Credit Suisse Mortgage Capital Certificates, Series 2011-5R-6A9      3.65%  #^     11/27/2037      9,774,831  
2,031,812    Credit Suisse Mortgage Capital Certificates, Series 2013-3R-1A1      3.09%  #^     04/27/2035      2,006,860  
11,234,611    Credit Suisse Mortgage Trust, Series 2017-1A-A      4.50%  ^     03/25/2021      11,336,763  
24,232,688    CSMC Trust, Series 2017-12R-A1 (1 Month LIBOR USD + 1.45%, 1.00% Floor)      3.36%  ^     10/29/2046      24,528,618  
30,000,000    CSMC Trust, Series 2018-5R-1A1, (1 Month LIBOR USD + 1.30%, 1.30% Floor)      3.28%  ^     10/30/2046      30,017,790  
4,052,521    Deephaven Residential Mortgage Trust, Series 2017-2A-A1      2.45%  #^     06/25/2047      4,006,430  
1,968,367    Deephaven Residential Mortgage Trust, Series 2017-2A-A2      2.61%  #^     06/25/2047      1,942,923  
2,894,658    Deephaven Residential Mortgage Trust, Series 2017-2A-A3      2.71%  #^     06/25/2047      2,855,217  
6,755,654    First Horizon Asset Securities, Inc., Series 2007-AR2-1A1      3.99%  #     08/25/2037      5,745,346  
3,456,980    GCAT LLC, Series 2017-2-A1      3.50%  ^§     04/25/2047      3,437,435  
3,282,727    GSR Mortgage Loan Trust, Series 2005-AR7-3A1      3.85%  #     11/25/2035      3,168,035  
51,821    GSR Mortgage Loan Trust, Series 2006-4F-2A7      5.50%       05/25/2036      313,004  
263,577    JP Morgan Alternative Loan Trust, Series 2006-S4-A6      5.71%  ß     12/25/2036      254,135  
47,033    JP Morgan Mortgage Trust, Series 2007-S1-1A1      5.00%       03/25/2022      45,655  
43,754    JP Morgan Mortgage Trust, Series 2007-S3-2A2      5.50%       08/25/2022      40,534  
30,000,000    JP Morgan Mortgage Trust, Series 2018-7FRB-A2, (1 Month LIBOR USD + 0.75%)      2.84%  ^     04/25/2046      30,074,700  
19,987,222    Legacy Mortgage Asset Trust, Series 2017-GS1-A1      3.50%  ^§     01/25/2057      19,694,703  
24,198,926    Legacy Mortgage Asset Trust, Series 2018-GS1-A1      4.00%  ^§     03/25/2058      24,332,253  
5,291,538    MASTR Adjustable Rate Mortgages Trust, Series 2006-2-2A1      3.77%       04/25/2036      4,872,488  
3,574,647    Merrill Lynch Mortgage Investors Trust, Series 2005-3-2A      3.89%  #     11/25/2035      3,553,253  
16,712,066    MFA LLC, Series 2018-NPL1-A1      3.88%  ^§     05/25/2048      16,719,419  
15,588,182    MFA Trust, Series 2017-NPL1-A1      3.35%  ^§     11/25/2047      15,503,377  
14,256,684    Mill City Mortgage Loan Trust, Series 2017-1-A1      2.75%  #^     11/25/2058      14,085,178  
23,263,267    Mill City Mortgage Loan Trust, Series 2017-3-A1      2.75%  ^     01/25/2061      22,881,647  
7,360    Morgan Stanley Mortgage Loan Trust, Series 2004-1-1A1      5.00%       11/25/2018      8,039  
2,073,809    Morgan Stanley Re-Remic Trust, Series 2012-R3-2A, (1 Month LIBOR USD + 0.23%, 0.23% Floor)      2.19%  ^     02/26/2037      2,047,373  
19,150,792    New Residential Mortgage Loan Trust, Series 2018-FNT1-A      3.61%  ^     05/25/2023      19,187,715  
15,867,332    NRZ Excess Spread-Collateralized Notes, Series 2018-PLS1-A      3.19%  ^     01/25/2023      15,767,852  
13,618,047    NRZ Excess Spread-Collateralized Notes, Series 2018-PLS2-A      3.27%  ^     02/25/2023      13,567,114  
13,468,644    Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1-A1      3.00%  ^§     06/25/2057      13,377,048  
9,221,669    OBX Trust, Series 2018-1-A2, (1 Month LIBOR USD + 0.65%)      2.74%  ^     06/25/2057      9,255,713  
83,129    Opteum Mortgage Acceptance Corporation, Series 2005-5-2AN      5.68%  #     12/25/2035      84,373  
9,067,924    Pretium Mortgage Credit Partners LLC, Series 2017-NPL2-A1      3.25%  ^§     03/28/2057      9,056,377  
8,160,196    Pretium Mortgage Credit Partners LLC, Series 2017-NPL3-A1      3.25%  ^§     06/29/2032      8,130,125  
3,000,000    Pretium Mortgage Credit Partners LLC, Series 2018-NPL3-A1      4.13%  ^§     08/27/2033      3,007,500  
5,627,485    Pretium Mortgage Credit Partners LLC, Series 2018-NPL2-A1      3.70%  ^§     03/27/2033      5,616,768  
7,821,288    PRPM LLC, Series 2017-1A-A1      4.25%  ^§     01/25/2022      7,837,793  
20,147,057    PRPM LLC, Series 2018-1A-A1      3.75%  #^     04/25/2023      20,133,083  
3,924    Residential Funding Mortgage Securities Trust, Series 2003-S16-A1      4.75%       09/25/2018      3,926  
9,233,181    SG Mortgage Securities Trust, Series 2017-1-A1      3.71%  #^     04/25/2047      9,128,846  
293,905    Structured Asset Securities Corporation, Series 2003-24A-1A3      3.62%  #     07/25/2033      296,571  
75,815    Structured Asset Securities Corporation, Series 2005-10-6A1      5.00%       06/25/2020      76,907  
1,059,226    Structured Asset Securities Corporation, Series 2006-OW1-A4, (1 Month LIBOR USD + 0.40%, 0.20% Floor)      2.49%  ^     12/25/2035      1,061,874  
14,980,273    Towd Point Mortgage Trust, Series 2015-2-1A13      2.50%  #^     11/25/2060      14,705,734  
3,636,000    Velocity Commercial Capital Loan Trust, Series 2015-1-AFL, (1 Month LIBOR USD + 2.43%, 2.43% Floor)      4.52%  ^     06/25/2045      3,669,974  
4,598,018    Velocity Commercial Capital Loan Trust, Series 2016-1-AFX      3.53%  #^     04/25/2046      4,579,556  
6,984,020    Velocity Commercial Capital Loan Trust, Series 2016-2-AFX      3.00%  #     10/25/2046      6,948,496  
17,896,933    Velocity Commercial Capital Loan Trust, Series 2017-1-AFX      3.00%  #^     05/25/2047      17,714,107  
14,328,319    Verus Securitization Trust, Series 2017-1A-A1      2.85%  #^     01/25/2047      14,320,267  
2,122,714    Verus Securitization Trust, Series 2017-1A-A2      3.16%  #^     01/25/2047      2,119,516  
21,749,596    Verus Securitization Trust, Series 2018-1-A1      2.93%  #^     02/25/2048      21,622,581  
4,474,394    VOLT LLC, Series 2017-NPL1-A1      3.50%  ^§     02/25/2047      4,485,102  
7,415,018    VOLT LLC, Series 2017-NPL3-A1      3.50%  ^§     03/25/2047      7,416,250  
10,486,814    VOLT LLC, Series 2017-NPL6-A1      3.25%  ^§     05/25/2047      10,435,959  
13,528,168    VOLT LLC, Series 2017-NPL7-A1      3.25%  ^§     06/25/2047      13,486,514  
13,270,340    VOLT LLC, Series 2017-NPL8-A1      3.13%  ^§     06/25/2047      13,210,958  
20,956,492    VOLT LLC, Series 2017-NPL9-A1      3.13%  ^§     09/25/2047      20,836,600  
12,466,296    VOLT LLC, Series 2018-NPL1      3.75%  ^§     04/25/2048      12,486,637  
783,228    Washington Mutual Mortgage Pass-Through Certificates, Series 2002-AR16-A      3.45%  #     12/25/2032      771,932  
1,926,935    Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR6-5A1      3.82%  #     03/25/2036      1,937,955  
           

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $777,488,153)

 

         776,002,622  
           

 

 

  

US Corporate Bonds - 6.9%

         
8,032,000    Amazon.com, Inc.      2.60%       12/05/2019      8,040,071  
9,650,000    American Express Company, (3 Month LIBOR USD + 0.65%)      2.97%       02/27/2023      9,636,995  
11,325,000    Amgen, Inc.      2.20%       05/11/2020      11,150,549  
5,615,000    Analog Devices, Inc.      2.95%       01/12/2021      5,570,181  
8,405,000    Anthem, Inc.      2.50%       11/21/2020      8,266,681  
11,242,000    AT&T, Inc.      2.80%       02/17/2021      11,069,163  
5,795,000    Bank of America Corporation, (3 Month LIBOR USD + 0.79%)      3.11%       03/05/2024      5,779,364  
5,995,000    BAT Capital Corporation      2.30%  ^     08/14/2020      5,868,454  
6,150,000    Boston Properties LP      5.88%       10/15/2019      6,335,597  
11,050,000    Capital One Financial Corporation      2.40%       10/30/2020      10,783,536  
10,910,000    Cardinal Health, Inc.      1.95%       06/14/2019      10,821,902  
11,046,000    Celgene Corporation      2.88%       08/15/2020      10,975,619  
11,351,000    Cintas Corporation      2.90%       04/01/2022      11,107,076  
5,510,000    Citigroup, Inc., (3 Month LIBOR USD + 1.02%)      3.35%       06/01/2024      5,519,401  
10,829,000    Consolidated Edison, Inc.      2.00%       03/15/2020      10,633,895  
11,000,000    CVS Health Corporation      2.80%       07/20/2020      10,912,112  
4,665,000    Daimler Finance North America LLC      2.25%  ^     03/02/2020      4,589,327  
6,425,000    Daimler Finance North America LLC      2.30%  ^     02/12/2021      6,242,928  
5,680,000    Delta Air Lines, Inc.      3.40%       04/19/2021      5,657,747  
10,495,000    EQT Corporation      2.50%       10/01/2020      10,259,514  
8,660,000    Ford Motor Credit Company, (3 Month LIBOR USD + 1.24%)      3.59%       02/15/2023      8,718,869  
5,565,000    General Dynamics Corporation      3.00%       05/11/2021      5,548,966  
8,440,000    General Mills, Inc.      2.20%       10/21/2019      8,343,586  
2,700,000    General Mills, Inc.      3.20%       04/16/2021      2,687,576  
8,415,000    General Motors Financial Company      2.65%       04/13/2020      8,317,467  
2,533,000    General Motors Financial Company      3.20%       07/06/2021      2,501,621  
8,310,000    Goldman Sachs Group, Inc.      2.30%       12/13/2019      8,230,711  
4,335,000    Goldman Sachs Group, Inc.      3.20%       06/05/2020      4,351,988  
10,266,000    Kinder Morgan, Inc.      3.05%       12/01/2019      10,237,473  
9,878,000    Kroger Company      6.15%       01/15/2020      10,322,137  
5,515,000    Microchip Technology, Inc.      3.92%  ^     06/01/2021      5,527,511  
6,767,000    Molson Coors Brewing Company      1.45%       07/15/2019      6,661,755  
5,615,000    Mondelez International, Inc.      3.00%       05/07/2020      5,605,282  
11,045,000    Morgan Stanley, (3 Month LIBOR USD + 0.93%)      3.29%       07/22/2022      11,138,808  
11,160,000    MUFG Americas Holdings Corporation      2.25%       02/10/2020      10,996,286  
1,153,000    Newell Brands, Inc.      2.60%       03/29/2019      1,149,160  
10,127,000    Newell Brands, Inc.      3.15%       04/01/2021      10,038,837  
11,110,000    Northrop Grumman Corporation      2.08%       10/15/2020      10,863,969  
4,855,000    PNC Bank NA      2.45%       11/05/2020      4,773,138  
755,000    PNC Financial Services Group, Inc.      5.13%       02/08/2020      779,273  
5,428,000    PNC Financial Services Group, Inc.      4.38%       08/11/2020      5,559,092  
8,650,000    Prudential Financial, Inc.      7.38%       06/15/2019      9,011,348  
5,335,000    Reynolds American, Inc.      3.25%       06/12/2020      5,326,762  
11,039,000    Sherwin-Williams Company      2.25%       05/15/2020      10,860,114  
2,917,000    Simon Property Group LP      2.20%       02/01/2019      2,906,869  
4,840,000    Southern Company      2.45%       09/01/2018      4,837,001  
6,480,000    Southern Company      1.85%       07/01/2019      6,417,175  
11,086,000    Thermo Fisher Scientific, Inc.      3.60%       08/15/2021      11,153,206  
5,662,000    TIAA Asset Management Finance Company LLC      2.95%  ^     11/01/2019      5,641,582  
5,490,000    Union Pacific Corporation      3.20%       06/08/2021      5,510,391  
5,565,000    Verizon Communications, Inc., (3 Month LIBOR USD + 1.10%)      3.44%       05/15/2025      5,563,766  
2,567,000    WellPoint, Inc.      2.30%       07/15/2018      2,566,697  
1,995,000    Wells Fargo & Company      2.15%       01/30/2020      1,965,670  
8,940,000    Wells Fargo & Company      2.60%       01/15/2021      8,801,534  
           

 

 

  

Total US Corporate Bonds (Cost $396,796,440)

 

         392,135,732  
           

 

 

  

US Government and Agency Mortgage Backed Obligations - 1.0%

         
328,188    Federal Home Loan Mortgage Corporation, Pool N7-0081      5.50%       07/01/2038      359,572  
84,701    Federal Home Loan Mortgage Corporation, Series 3818-JA      4.50%       01/15/2040      85,330  
35,527    Federal Home Loan Mortgage Corporation, Series 3872-BA      4.00%       06/15/2041      35,361  
2,822,225    Federal Home Loan Mortgage Corporation, Series 4050-BC      2.00%       05/15/2041      2,705,654  
3,315,950    Federal Home Loan Mortgage Corporation, Series 4381-FK, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)      2.42%       06/15/2044      3,318,508  
19,533,850    Federal Home Loan Mortgage Corporation, Series 4484-CD      1.75%       07/15/2030      18,865,798  
133,602,457    Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1      1.44%  #I/O     03/25/2023      6,644,505  
5,028,328    Federal National Mortgage Association, Pool AL9932      3.05%       01/01/2024      5,006,800  
130,928    Federal National Mortgage Association, Series 2011-64-DB      4.00%       07/25/2041      133,576  
14,733,738    Federal National Mortgage Association, Series 2016-89-FH, (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap)      2.59%       12/25/2046      14,871,614  
115,246    Federal National Mortgage Association Pass-Thru, Pool AB3850      4.00%       11/01/2041      117,148  
3,712,783    Federal National Mortgage Association Pass-Thru, Pool AL4292      4.50%       04/01/2026      3,837,639  
           

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $53,936,015)

 

         55,981,505  
           

 

 

  

US Government and Agency Obligations - 5.3%

         
56,242,550    United States Treasury Notes      0.13%       04/15/2019      55,920,327  
68,600,000    United States Treasury Notes      1.50%       08/15/2020      67,119,473  
79,600,000    United States Treasury Notes      2.00%       08/31/2021      78,049,976  
79,500,000    United States Treasury Notes      2.13%       09/30/2021      78,211,230  
22,900,000    United States Treasury Notes      1.88%       01/31/2022      22,275,170  
           

 

 

  

Total US Government and Agency Obligations (Cost $306,348,278)

 

         301,576,176  
           

 

 

  

Affiliated Mutual Funds - 0.8%

         
5,000,000    DoubleLine Low Duration Emerging Markets Fixed Income Fund (Class I)            48,100,000  
           

 

 

  

Total Affiliated Mutual Funds (Cost $50,000,000)

 

         48,100,000  
           

 

 

  

Exchange Traded Funds and Common Stocks - 0.0%

         
89,329    Frontera Energy Corporation *            1,297,501  
           

 

 

  

Total Exchange Traded Funds and Common Stocks (Cost $8,231,569)

 

         1,297,501  
           

 

 

  

Short Term Investments - 8.8%

         
85,663,706    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          85,663,706  
85,663,685    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          85,663,685  
85,663,686    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          85,663,686  
61,800,000    United States Treasury Bills      0.00%       07/19/2018      61,749,841  
73,100,000    United States Treasury Bills      0.00%       08/16/2018      72,934,040  
56,300,000    United States Treasury Bills      0.00%       09/20/2018      56,065,730  
56,400,000    United States Treasury Bills      0.00%       10/18/2018      56,072,598  
           

 

 

  

Total Short Term Investments (Cost $503,791,279)

 

         503,813,286  
           

 

 

  

Total Investments - 100.8% (Cost $5,825,969,396)

 

         5,771,136,869  

Liabilities in Excess of Other Assets - (0.8)%

 

         (47,019,231 ) 
           

 

 

  

NET ASSETS - 100.0%

 

         $         5,724,117,638  
           

 

 

  

 

  ^  Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $2,804,447,490 or 49.0% of net assets.  

  #  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 June 30, 2018.  

 

  ±  Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate desclosed is as of June 30, 2018.  

 

  I/O  Interest only security  

 

  *  Non-income producing security  

 

  ◆  Seven-day yield as of June 30, 2018  

 

  ß  The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  §  The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  Þ  Value determined using significant unobservable inputs.  

 

  ¥  Illiquid security  

 

  †  Perpetual Maturity  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Collateralized Loan Obligations

      15.9%  

Foreign Corporate Bonds

      15.3%  

Non-Agency Commercial Mortgage Backed Obligations

      13.7%  

Non-Agency Residential Collateralized Mortgage Obligations

      13.6%  

Asset Backed Obligations

      9.1%  

Short Term Investments

      8.8%  

Bank Loans

      7.2%  

US Corporate Bonds

      6.9%  

US Government and Agency Obligations

      5.3%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      3.2%  

US Government and Agency Mortgage Backed Obligations

      1.0%  

Affiliated Mutual Funds

      0.8%  

Exchange Traded Funds and Common Stocks

      0.0%  ~ 

Other Assets and Liabilities

      (0.8)%  
  

 

 

  
                 100.0%  
  

 

 

  

 

  ~ Represents less than 0.05% of net assets.  

INVESTMENT BREAKDOWN as a % of Net Assets:   

Collateralized Loan Obligations

      15.9%  

Non-Agency Commercial Mortgage Backed Obligations

      13.7%  

Non-Agency Residential Collateralized Mortgage Obligations

      13.6%  

Asset Backed Obligations

      9.1%  

Short Term Investments

      8.8%  

Banking

      8.6%  

US Government and Agency Obligations

      5.3%  

Energy

      3.6%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      3.2%  

Telecommunications

      1.9%  

Healthcare

      1.7%  

Transportation

      1.3%  

Chemicals/Plastics

      1.2%  

Utilities

      1.0%  

US Government and Agency Mortgage Backed Obligations

      1.0%  

Pharmaceuticals

      0.9%  

Business Equipment and Services

      0.9%  

Hotels/Motels/Inns and Casinos

      0.9%  

Affiliated Mutual Funds

      0.8%  

Aerospace & Defense

      0.7%  

Automotive

      0.7%  

Food Products

      0.7%  

Technology

      0.7%  

Electronics/Electric

      0.6%  

Media

      0.5%  

Food Service

      0.5%  

Conglomerates

      0.4%  

Pulp & Paper

      0.4%  

Consumer Products

      0.3%  

Financial Intermediaries

      0.3%  

Insurance

      0.3%  

Industrial Equipment

      0.3%  

Finance

      0.2%  

Beverage and Tobacco

      0.2%  

Food/Drug Retailers

      0.2%  

Real Estate

      0.2%  

Commercial Services

      0.1%  

Leisure

      0.1%  

Containers and Glass Products

      0.0%  ~ 

Retailers (other than Food/Drug)

      0.0%  ~ 

Mining

      0.0%  ~ 

Chemical Products

      0.0%  ~ 

Other Assets and Liabilities

                  (0.8)%  
  

 

 

  
     100.0%  
  

 

 

  

 

  ~ Represents less than 0.05% of net assets.  

A summary of the DoubleLine Low Duration Bond Fund’s investments in affiliated mutual funds for the period ended June 30, 2018 is as follows:

 

Fund   Value at
March 31, 2018		     Gross Purchases     Gross Sales     Shares Held at
June 30, 2018		     Value at
June 30, 2018		     Change in Unrealized
for the Period Ended
June 30, 2018		     Dividend Income
Earned in the
Period Ended
June 30, 2018		     Net Realized
Gain (Loss)
in the
Period Ended
June 30, 2018		  
DoubleLine Low Duration Emerging Markets Fixed Income Fund (Class I)   $ 48,500,000     $ -     $ -       5,000,000     $ 48,100,000     $ (400,000 )    $ 296,916     $ -  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 48,500,000     $ -     $ -       5,000,000     $ 48,100,000     $ (400,000 )    $ 296,916     $ -  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

 

DoubleLine Floating Rate Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

        $/Shares         

   

Security Description

    Rate     

Maturity

    Value $  

Bank Loans - 95.0%

 

      

Aerospace & Defense - 2.1%

 

      
4,578,126    Constellis Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)      7.33%       04/19/2024      4,602,916  
1,720,716    StandardAero Aviation Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       07/07/2022      1,725,560  
2,340,217    Syncreon Group BV, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       10/28/2020      2,214,430  
2,311,938    Transdigm, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       06/09/2023      2,301,245  
3,161,000    WP CPP Holdings LLC, Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.75%)      6.28%       04/30/2025      3,180,361  
           

 

 

  
              14,024,512  
           

 

 

  

Automotive - 3.6%

         
2,039,385    American Tire Distributors, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       09/01/2021      1,337,072  
   Bright Bidco BV, Senior Secured 1st Lien Term Loan         
2,583,286    (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       06/28/2024      2,567,141  
1,215,664    (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       06/28/2024      1,208,066  
360,596    Capital Automotive LP, Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.10%       03/24/2025      363,751  
2,878,898    CH Hold Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       02/01/2024      2,881,604  
   Federal-Mogul Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
2,475,823    (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.82%       04/15/2021      2,483,783  
825,274    (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       04/15/2021      827,928  
612,020    EOC Group, Inc., Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)      5.20%  &     03/20/2025      608,194  
3,822,980    EOC Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.20%       03/20/2025      3,799,087  
3,010,000    Ply Gem Holdings, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%)      6.09%       04/12/2025      3,007,186  
680,000    SRS Distribution, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       05/23/2025      670,936  
3,970,000    Tenneco, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.73%       06/18/2025      3,937,764  
           

 

 

  
              23,692,511  
           

 

 

  

Beverage and Tobacco - 0.3%

         
1,782,670    Chill Merger Sub, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%      03/20/2024      1,793,259  
           

 

 

  

Building and Development (including Steel/Metals) - 3.5%

         
2,385,000    Aleris International, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%)      6.86%      02/08/2023      2,367,852  
1,414,286    Coronado Australian Holdings Ltd., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.50%, 1.00% Floor)      8.83%      03/31/2025      1,430,196  
385,714    Coronado Australian Holdings Pty Ltd., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.50%, 1.00% Floor)      8.83%      03/31/2025      390,054  
4,464,406    Foresight Energy LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)      8.11%      03/28/2022      4,445,588  
3,212,857    Forterra Finance LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%      10/25/2023      3,009,033  
2,215,000    Gopher Resource LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%      03/06/2025      2,220,538  
6,360,000    GrafTech Finance, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.50%      02/12/2025      6,336,182  
790,000    Phoenix Services Merger Sub LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.75%      03/03/2025      793,456  
1,945,000    U.S. Silica Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.13%       05/01/2025      1,947,431  
           

 

 

  
              22,940,330  
           

 

 

  

Business Equipment and Services - 13.6%

         
1,206,095    AlixPartners LLP, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       04/04/2024      1,206,698  
   Brand Energy & Infrastructure Services, Inc., Senior Secured 1st Lien Term Loan         
4,432,670    (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       06/21/2024      4,446,255  
44,774    (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.58%       06/21/2024      44,912  
4,638,375    Capri Acquisitions Bidco Ltd, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.61%       11/01/2024      4,606,509  
4,133,250    Change Healthcare Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       03/01/2024      4,124,198  
4,940,000    Cvent, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       11/29/2024      4,943,087  
4,740,000    Deerfield Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       02/13/2025      4,727,155  
4,045,000    Avatar Purchaser Inc., Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.75%, 1.00% Floor)      6.25%       11/15/2024      3,994,438  
4,569,917    Garda World Security Corporation, Senior Secured 1st Lien Term Loan (Prime Rate + 2.50%, 1.00% Floor)      7.50%       05/24/2024      4,579,903  
4,776,068    Greeneden US Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.83%       12/01/2023      4,782,038  
4,865,000    ION Trading Finance Ltd., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.30%       11/21/2024      4,834,594  
4,424,185    Kronos Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       11/01/2023      4,421,420  
301,866    Mitchell International, Inc., Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       11/29/2024      300,607  
975,000    Mitchell International, Inc., Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.25%)      9.34%       12/01/2025      977,745  
3,743,134    Mitchell International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       11/29/2024      3,727,525  
465,000    MX Holdings US, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 0.75% Floor)      5.32%       06/18/2025      465,874  
4,718,750    Peak 10 Holding Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.83%       08/01/2024      4,678,216  
1,654,424    Polycom, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor)      7.34%       09/27/2023      1,658,047  
4,411,663    Prime Security Services Borrower LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       05/02/2022      4,395,869  
3,590,000    SIWF Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%)      6.32%       06/13/2025      3,612,438  
2,700,000    SMG US Midco 2, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       01/23/2025      2,700,000  
4,424,410    Solera LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       03/03/2023      4,410,583  
4,713,128    Tempo Acquisition LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       05/01/2024      4,700,356  
2,183,620    TravelClick Holdings Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       05/06/2021      2,207,508  
3,896,532    USAGM HoldCo LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       07/28/2022      3,845,799  
1,050,000    West Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.48%       10/10/2024      1,043,327  
3,810,450    West Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       10/10/2024      3,802,353  
           

 

 

  
              89,237,454  
           

 

 

  

Chemicals/Plastics - 0.9%

         
1,150,000    LUX HOLDCO III, Senior Secured 1st Lien Term Loan (2 Month LIBOR USD + 3.00%)      5.10%       03/28/2025      1,150,960  
3,230,000    Solenis International LP, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.30%       12/18/2023      3,227,368  
675,000    Solenis International LP, Guaranteed Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 8.50%)      10.68%       06/18/2024      667,406  
   HVSC Merger Sub Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
514,610    (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       10/28/2024      518,683  
253,465    (2 Month LIBOR USD + 4.00%, 1.00% Floor)      6.17%       10/28/2024      255,471  
           

 

 

  
              5,819,888  
           

 

 

  

Containers and Glass Products - 1.4%

         
4,524,207    BWAY Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.59%       04/03/2024      4,505,838  
4,597,922    Kloeckner Pentaplast, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       06/30/2022      4,414,718  
           

 

 

  
              8,920,556  
           

 

 

  

Cosmetics/Toiletries - 0.6%

         
3,696,033    KIK Custom Products, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       05/15/2023      3,680,325  
           

 

 

  

Electronics/Electric - 12.7%

         
414,144    Access CIG LLC, Senior Secured 1st Lien Delayed-Draw Term Loan      6.07%  ±     02/27/2025      415,386  
2,512,014    Access CIG LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.84%       02/27/2025      2,519,550  
2,713,191    Almonde, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.81%       06/13/2024      2,669,291  
2,905,000    Almonde, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.56%       06/16/2025      2,806,041  
4,592,675    Applied Systems, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.33%       09/19/2024      4,604,501  
4,935,000    Blackhawk Network Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.07%       06/16/2025      4,927,795  
6,140,000    BMC Software Finance, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.55%       09/30/2025      6,109,300  
4,453,314    Canyon Valor Companies, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       06/16/2023      4,453,314  
3,960,751    Compuware Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       12/15/2021      3,974,614  
1,190,000    Energy Acquisition LP, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.59%       06/26/2025      1,184,050  
1,364,281    Evergreen Skills, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.84%       04/28/2021      1,293,932  
3,472,562    Excelitas Technologies Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       12/02/2024      3,483,431  
4,716,217    Flexera Software LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%        02/26/2025      4,714,024  
2,672,085    Hyland Software, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor)      5.34%       07/01/2022      2,682,666  
2,938,336    Informatica LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       08/05/2022      2,946,739  
4,977,525    Impala Private Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.99%  ¥     11/14/2024      4,979,093  
1,799,513    Optiv Security, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.31%       02/01/2024      1,754,526  
4,128,800    Project Alpha Intermediate Holding, Inc., Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)      5.99%       04/26/2024      4,113,317  
1,075,000    Quest Software US Holdings, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.58%       05/16/2025      1,072,538  
1,345,000    Renaissance Holding Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       06/02/2025      1,340,172  
4,896,694    SCS Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       10/31/2022      4,918,117  
1,235,000    Severin Aquisition LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.61%       07/31/2025      1,228,053  
3,076,550    SolarWinds Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       02/05/2024      3,079,104  
4,616,059    Sophia LP, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       09/30/2022      4,604,519  
4,003,412    VF Holdings Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       06/30/2023      3,983,395  
3,840,000    VF Holdings Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.57%       06/04/2025      3,820,416  
           

 

 

  
              83,677,884  
           

 

 

  

Energy - 5.0%

 

      
2,880,000    Blackstone Group, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.86%       10/31/2024      2,878,646  
4,130,000    Bison Midstream Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%)      6.09%       05/21/2025      4,140,325  
4,355,000    Covia Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.05%       06/01/2025      4,361,140  
2,671,948    FTS International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.84%       04/16/2021      2,686,417  
620,000    Gavilan Resources LLC, Senior Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.09%       03/01/2024      611,866  
1,378,196    Gulf Finance LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor)      7.59%       08/25/2023      1,195,585  
2,905,000    Lucid Energy Group II Borrower LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       02/18/2025      2,894,106  
4,265,000    McDermott International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor)      7.09%       05/12/2025      4,291,891  
4,870,000    Oryx Southern Delaware Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       02/28/2025      4,821,300  
2,880,000    Traverse Midstream Partners LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.34%       09/27/2024      2,883,341  
1,972,173    Ultra Resources, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       04/12/2024      1,821,805  
           

 

 

  
              32,586,422  
           

 

 

  

Finance - 0.3%

 

      
290,000    Edelman Financial Center LLC., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 6.75%)      9.05%       06/26/2026      292,855  
1,980,000    Edelman Financial Center LLC., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.55%       06/26/2025      1,980,010  
           

 

 

  
              2,272,865  
           

 

 

  

Food Products - 1.3%

 

      
2,900,000    CHG PPC Parent LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       03/31/2025      2,892,750  
4,832,662    CSM Bakery Supplies LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.31%       07/03/2020      4,702,808  
935,000    H-Food Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       05/23/2025      927,637  
           

 

 

  
              8,523,195  
           

 

 

  

Food Service - 1.3%

 

      
   IRB Holding Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
2,415,353    (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.25%       02/05/2025      2,422,394  
1,976,198    (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.28%       02/05/2025      1,981,958  
4,234,400    TKC Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.85%       02/01/2023      4,231,753  
           

 

 

  
              8,636,105  
           

 

 

  

Food/Drug Retailers - 1.0%

 

      
615,000    Albertsons Cos, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%)      5.36%       05/03/2023      615,003  
6,200,000    Houston Foods, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%)      6.05%       06/27/2025      6,176,750  
           

 

 

  
              6,791,753  
           

 

 

  

Healthcare - 12.7% 

 

      
2,761,345    Air Medical Group Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.28%       04/28/2022      2,688,860  
2,876,606    ASP AMC Merger Sub, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       04/22/2024      2,766,044  
3,907,229    American Renal Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       06/21/2024      3,897,461  
4,680,088    Avantor, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.98%       11/21/2024      4,709,338  
5,585,941    CHG Healthcare Services, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       06/07/2023      5,600,772  
1,450,000    Concentra, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.74%       06/01/2022      1,451,813  
2,154,082    CPI Holdco LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       03/21/2024      2,167,998  
633,413    CP VI Bella Topco LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       12/27/2024      632,424  
1,953,000    CVS Holdings LP, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.10%       02/06/2025      1,938,352  
636,000    Dentalcorp Perfect Smile ULC, Senior Secured 1st Lien Delayed-Draw Term Loan      6.07%  ±&     06/06/2025      638,388  
2,544,000    Dentalcorp Perfect Smile ULC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.76%       06/06/2025      2,553,553  
1,730,694    Envision Healthcare Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.10%       12/01/2023      1,731,421  
4,864,581    Equian Buyer Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.33%       05/20/2024      4,856,457  
5,040,651    Goldcup Merger Sub, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.08%       05/02/2023      5,040,651  
1,265,000    Gentiva Health Services, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.00%)      9.30%       06/22/2026      1,283,975  
2,030,769    Gentiva Health Services, Inc., Senior Secured 1st Lien Delayed-Draw Term Loan      6.07%  ±&     06/23/2025      2,020,615  
3,249,231    Gentiva Health Services, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%)      6.05%       06/23/2025      3,232,985  
2,085,000    Kindred Healthcare, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.00%)      7.30%       06/23/2025      2,069,363  
1,400,000    MedPlast Holdings, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%)      6.05%       06/26/2025      1,402,191  
4,129,846    MPH Acquisition Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)      5.08%       06/07/2023      4,112,748  
3,930,200    West Street Merger Sub, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       09/27/2024      3,913,831  
1,194,137    Precyse Acquisition Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.59%       10/20/2022      1,188,543  
5,700,000    Radiology Partners Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.55%       07/04/2025      5,664,375  
4,293,500    Select Medical Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.80%       03/01/2021      4,292,169  
300,000    Sound Inpatient Physicians, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 6.75%)      9.05%       06/19/2026      301,500  
1,115,000    Sound Inpatient Physicians, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%)      5.30%       06/19/2025      1,117,793  
3,955,050    Team Health Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       02/06/2024      3,811,679  
3,662,649    US Renal Care, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.58%       12/30/2022      3,615,328  
4,533,638    Wink Holdco, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       12/02/2024      4,511,672  
           

 

 

  
              83,212,299  
           

 

 

  

Hotels/Motels/Inns and Casinos - 2.3%

 

      
3,343,168    Greektown Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       04/25/2024      3,337,602  
1,560,882    Mohegan Tribal Gaming Authority, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.98%       10/13/2023      1,478,155  
4,608,808    Playa Resorts Holding BV, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       04/29/2024      4,565,600  
   Scientific Games International, Inc., Guaranteed Senior Secured 1st Lien Term Loan         
3,668,814    (2 Month LIBOR USD + 2.75%)      4.92%       08/14/2024      3,649,333  
860,586    (1 Month LIBOR USD + 2.75%)      4.84%       08/14/2024      856,016  
1,170,000    Stars Group Holdings B.V., Senior Secured 1st Lien Term Loan      5.80%  ±     07/31/2025      1,164,150  
           

 

 

  
              15,050,856  
           

 

 

  

Industrial Equipment - 5.6%

 

      
1,157,100    Blount International, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.23%       04/12/2023      1,165,784  
195,000    DexKo Global Inc., Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%  &     07/24/2024      195,609  
588,525    Dexko Global, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       07/24/2024      590,917  
2,360,000    Filtration Group Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.30%       03/31/2025      2,363,245  
2,286,943    Harsco Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor)      4.25%       12/06/2024      2,292,661  
4,618,925    Hayward Acquisition Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%)      5.59%       08/05/2024      4,634,098  
2,595,000    KBR Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.84%       04/25/2025      2,603,109  
4,493,422    Micron Technology, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       09/28/2023      4,470,955  
2,895,000    Pro Mach Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.02%       03/07/2025      2,862,793  
2,867,533    Robertshaw US Holding Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.63%       02/28/2025      2,867,533  
4,930,000    Titan Acquisition Ltd., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       03/28/2025      4,863,470  
3,880,000    Yak Access LLC, Senior Secured 1st Lien Term Loan      7.32%  ±     07/31/2025      3,763,600  
4,429,730    Zodiac Pool Solutions LLC, Guaranteed Senior Secured 1st Lien Term Loan (Prime Rate + 3.00%, 1.00% Floor)      8.00%       12/20/2023      4,429,730  
           

 

 

  
              37,103,504  
           

 

 

  

Insurance - 3.3%

   
930,000    Acrisure LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.07%       11/22/2023      924,188  
4,479,440    Acrisure LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       11/22/2023      4,476,663  
5,082,925    AssuredPartners, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       10/22/2024      5,067,066  
1,680,000    Asurion LLC, Senior Secured 1st Lien Term Loan      5.30%  ±     11/30/2024      1,671,600  
1,375,000    Asurion LLC, Senior Secured 2nd Lien Term Loan      8.48%  ±     08/04/2025      1,371,563  
4,377,471    Asurion LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/03/2023      4,376,683  
4,135,680    York Risk Services Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       10/01/2021      4,024,161  
           

 

 

  
              21,911,924  
           

 

 

  

Leisure - 3.9%

   
3,439,408    Constellation Merger Sub, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%)      5.08%       09/18/2024      3,405,014  
1,384,449    Delta 2 Lux Sarl, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)      4.59%       02/01/2024      1,368,660  
4,019,502    Equinox Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       03/08/2024      4,020,506  
4,923,563    Hawk Merger Sub, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      4.98%       07/31/2024      4,926,664  
5,329,102    Life Time Fitness, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)      5.06%       06/10/2022      5,323,507  
2,283,065    Travel Leaders Group LLC, Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 4.50%)      7.00%       01/25/2024      2,300,188  
4,081,393    UFC Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       08/18/2023      4,089,556  
           

 

 

  
              25,434,095  
           

 

 

  

Media - 4.5%

   
2,280,296    Ascend Learning LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       07/12/2024      2,277,445  
2,383,025    CBS Radio, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/18/2024      2,355,620  
4,641,063    Cengage Learning, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       06/07/2023      4,273,259  
34,347    A-L Parent LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       12/01/2023      34,476  
250,566    Learfield Communications, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      4.73%       12/01/2023      251,192  
1,920,000    Meredith Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       01/31/2025      1,921,949  
2,879,716    RCN Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       02/01/2024      2,841,690  
3,972,666    RentPath LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.85%  ¥     12/17/2021      3,644,921  
3,175,000    Sinclair Television Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.50%)      3.98%       12/12/2024      3,169,063  
4,675,223    Southern Graphics Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       12/30/2022      4,671,576  
207,977    Tribune Media Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       12/24/2020      208,497  
3,637,223    Tribune Media Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       01/26/2024      3,639,496  
           

 

 

  
              29,289,184  
           

 

 

  

Pharmaceuticals - 0.7%

   
4,204,028    Amneal Pharmaceuticals LLC, Secured Term Loan (2 Month LIBOR USD + 3.50%)      5.63%       05/05/2025      4,202,725  
660,000    Valeant Pharmaceuticals International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      4.98%       06/02/2025      658,627  
           

 

 

  
              4,861,352  
           

 

 

  

Retailers (other than Food/Drug) - 3.0%

   
4,933,754    BJ’s Wholesale Club, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.53%       02/02/2024      4,938,688  
3,715,000    EG America LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.33%       02/06/2025      3,688,531  
950,000    EG Finco Ltd., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.34%       02/07/2025      943,231  
1,677,432    Harbor Freight Tools USA, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)      4.59%       08/18/2023      1,671,846  
2,879,056    Jo-Ann Stores LLC, Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 5.00%, 1.00% Floor)      7.51%       10/20/2023      2,863,466  
4,196,429    National Vision, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/20/2024      4,195,548  
1,537,275    Staples, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.36%       09/12/2024      1,519,266  
           

 

 

  
              19,820,576  
           

 

 

  

Telecommunications - 6.1%

   
4,403,963    Avaya, Inc., Senior Secured 1st Lien Term Loan      7.06%  ±     12/15/2024      4,416,007  
3,406,463    CenturyLink, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       01/31/2025      3,341,876  
3,100,000    Cincinnati Bell, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       10/02/2024      3,104,836  
4,552,391    Colorado Buyer, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       05/01/2024      4,555,237  
625,000    Colorado Buyer, Inc., Guaranteed Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.61%       05/01/2025      625,000  
3,483,935    Digicel International Finance Ltd., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.61%       05/27/2024      3,344,577  
5,240,000    GTT Communications, Inc., Guaranteed Senior Secured 1st Lien Term Loan (2 Month LIBOR USD + 2.75%)      4.88%       06/02/2025      5,172,876  
179,658    Hargray Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       05/16/2024      179,434  
4,940,000    Intelsat Jackson Holdings S.A., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.72%       11/30/2023      4,935,752  
2,775,000    Plantronics, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.50%)      4.80%       06/02/2025      2,773,710  
700,000    Securus Technologies Holdings LLC, Senior Secured 1st Lien Delayed-Draw Term Loan      6.82%  ±&     11/01/2024      704,375  
4,831,801    Securus Technologies Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.59%       11/01/2024      4,862,000  
1,796,372    Telesat Canada, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.50%, 0.75% Floor)      4.84%       11/17/2023      1,786,267  
           

 

 

  
              39,801,947  
           

 

 

  

Transportation - 2.1%

   
1,236,899    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Synthetic Letter Of Credit (3 Month LIBOR USD + 0.00%, 1.00% Floor)      2.21%       03/19/2021      1,236,565  
221,277    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      221,217  
437,384    Ceva Intercompany BV, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      437,266  
1,959,058    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      1,958,529  
4,427,443    Kenan Advantage Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       08/01/2022      4,427,442  
5,552,500    PODS LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.78%       12/06/2024      5,540,007  
           

 

 

  
              13,821,026  
           

 

 

  

Utilities - 3.2%

   
4,488,750    Compass Power Generation LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       12/20/2024      4,520,732  
1,505,373    Exgen Renewables LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.31%       11/29/2024      1,512,900  
4,885,000    Frontera Generation Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.23%       05/02/2025      4,888,053  
4,359,428    Pike Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.60%       03/21/2025      4,378,958  
5,315,000    PowerTeam Services LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       03/06/2025      5,260,203  
495,000    USIC Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       12/08/2023      494,792  
           

 

 

  
              21,055,638  
           

 

 

  

Total Bank Loans (Cost $626,814,008)

 

         623,959,460  
           

 

 

  

Collateralized Loan Obligations - 1.0%

   
1,000,000    Canyon Capital Ltd., Series 2017-1A-E, (3 Month LIBOR USD + 6.25%)      8.60%  ^     07/15/2030      1,007,428  
500,000    Highbridge Loan Management Ltd., Series 2013-2A-CR, (3 Month LIBOR USD + 2.90%)      5.26%  ^     10/20/2029      503,979  
1,000,000    Madison Park Funding Ltd., Series 2014-15A-DR, (3 Month LIBOR USD + 5.44%)      7.81%  ^     01/27/2026      1,002,491  
1,000,000    Octagon Investment Partners Ltd., Series 2012-1A-CR, (3 Month LIBOR USD + 4.00%)      6.35%  ^     07/15/2029      1,011,815  
1,000,000    Octagon Investment Partners Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 6.20%)      8.56%  ^     03/17/2030      1,005,280  
1,000,000    Venture Ltd., Series 2016-24A-E, (3 Month LIBOR USD + 6.72%)      9.08%  ^     10/20/2028      1,009,863  
1,000,000    Wind River Ltd., Series 2015-2A-ER, (3 Month LIBOR USD + 5.55%)      7.90%  ^     10/15/2027      1,003,782  
           

 

 

  

Total Collateralized Loan Obligations (Cost $6,449,220)

 

         6,544,638  
           

 

 

  

US Corporate Bonds - 1.8%

   

Commercial Services - 0.1%

   
480,000    NVA Holdings, Inc.      6.88%  ^     04/01/2026      479,400  
           

 

 

  

Energy - 0.1%

   
1,000,000    FTS International, Inc.      6.25%       05/01/2022      1,013,700  
           

 

 

  

Healthcare - 0.3%

   
1,065,000    Centene Corporation      4.75%       01/15/2025      1,062,337  
1,000,000    Universal Hospital Services, Inc.      7.63%       08/15/2020      1,001,250  
           

 

 

  
              2,063,587  
           

 

 

  

Insurance - 0.2%

   
1,135,000    AssuredPartners, Inc.      7.00%  ^     08/15/2025      1,095,275  
           

 

 

  

Technology - 0.5%

 

      
3,000,000    CommScope, Inc.      5.00%  ^     06/15/2021      3,011,250  
           

 

 

  

Telecommunications - 0.6%

 

      
1,000,000    Cincinnati Bell, Inc.      7.00%  ^     07/15/2024      917,500  
3,000,000    Level 3 Financing, Inc.      5.38%       08/15/2022      3,007,500  
           

 

 

  
              3,925,000  
           

 

 

  

Total US Corporate Bonds (Cost $11,803,558)

 

         11,588,212  
           

 

 

  

Foreign Corporate Bonds - 0.1%

 

      

Commercial Services - 0.1%

 

      
930,000    GW Honos Security Corporation      8.75%  ^     05/15/2025      953,250  
           

 

 

  

Total Foreign Corporate Bonds (Cost $976,465)

 

         953,250  
           

 

 

  

Short Term Investments - 6.4%

 

      
14,054,964    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          14,054,964  
14,054,965    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          14,054,965  
14,054,965    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          14,054,965  
           

 

 

  

Total Short Term Investments (Cost $42,164,894)

 

         42,164,894  
           

 

 

  

Total Investments - 104.3% (Cost $688,208,145)

 

         685,210,454  
Liabilities in Excess of Other Assets - (4.3)%           (28,323,628)  
           

 

 

  

NET ASSETS - 100.0%

 

         $         656,886,826  
           

 

 

  

 

  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $13,001,313 or 2.0% of net assets.  

 

  ± Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate desclosed is as of June 30, 2018.  

 

  & Unfunded or partially unfunded loan commitment. At June 30, 2018, the value of these securities amounted to $3,558,987 or 0.5% of net assets.  

 

  ¥ Illiquid security  

 

  ◆ Seven-day yield as of June 30, 2018  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

   

Bank Loans

      95.0%  

Short Term Investments

      6.4%  

US Corporate Bonds

      1.8%  

Collateralized Loan Obligations

      1.0%  

Foreign Corporate Bonds

      0.1%  

Other Assets and Liabilities

      (4.3)%  
  

 

 

  
                 100.0%  
  

 

 

  

  

 

DoubleLine Shiller Enhanced CAPE®

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount
$/Shares

   

Security Description

    Rate     

Maturity

    Value $  

Asset Backed Obligations - 7.0%

 

      
1,932,524    Arcadia Receivables Credit Trust, Series 2017-1-A      3.25%  ^     06/15/2023      1,939,449  
32,488    AVANT Loans Funding Trust, Series 2017-A-A      2.41%  ^     03/15/2021      32,484  
8,000,000    Castlelake Aircraft Securitization Trust, Series 2018-1-A      4.13%  ^     06/15/2043      8,055,224  
4,499,730    CLUB Credit Trust, Series 2018-NP1-A      2.99%  ^     05/15/2024      4,498,986  
2,250,000    College Ave Student Loans LLC, Series 2017-A-B      4.50%  ^     11/26/2046      2,237,704  
726,834    Colony American Finance Ltd., Series 2016-1-A      2.54%  ^     06/17/2048      714,454  
6,200,000    Colony Starwood Homes Trust, Series 2016-2A-D, (1 Month LIBOR USD + 2.35%, 2.35% Floor)      4.42%  ^     12/19/2033      6,258,888  
61,485    Consumer Installment Loan Trust, Series 2016-LD1-A      3.96%  ^     07/15/2022      61,493  
2,975,417    DRB Prime Student Loan Trust, Series 2017-A-B      3.10%  #^     05/27/2042      2,895,465  
6,951,644    Earnest Student Loan Program, Series 2017-A-A2      2.65%  ^     01/25/2041      6,785,329  
2,500,000    Flagship Credit Auto Trust, Series 2016-3-B      2.43%  ^     06/15/2021      2,485,227  
8,120,000    Flagship Credit Auto Trust, Series 2016-4-C      2.71%  ^     11/15/2022      8,039,976  
6,850,000    Flagship Credit Auto Trust, Series 2017-1-C      3.22%  ^     05/15/2023      6,823,866  
6,650,000    Flagship Credit Auto Trust, Series 2017-4-B      2.66%  ^     10/17/2022      6,555,966  
4,950,000    Global SC Finance Ltd., Series 2018-1A-A      4.29%  ^     05/17/2038      4,997,161  
10,000,000    Hardee’s Funding LLC, Series 2018-1A-AI      4.25%  ^     06/20/2048      10,038,900  
12,122,604    Helios Issuer LLC, Series 2017-1A-A      4.94%  ^     09/20/2049      12,321,106  
3,584,569    HERO Funding Trust, Series 2016-1A-A      4.05%  ^     09/20/2041      3,671,555  
19,850,000    Jimmy Johns Funding LLC, Series 2017-1A-A2II      4.85%  ^     07/30/2047      19,933,447  
19,231,000    Kabbage Asset Securitization LLC, Series 2017-1-A      4.57%  ^     03/15/2022      19,425,141  
990,573    Laurel Road Prime Student Loan Trust, Series 2017-B-CFX      3.61%  ^     08/25/2042      960,686  
467,107    LendingClub Issuance Trust, Series 2016-NP2-A      3.00%  ^     01/17/2023      466,820  
10,000,000    Lendmark Funding Trust, Series 2017-1A-A      2.83%  ^     12/22/2025      9,904,250  
5,000,000    Mariner Finance Issuance Trust, Series 2017-AA-A      3.62%  ^     02/20/2029      5,022,122  
2,293,694    Mosaic Solar Loan Trust, Series 2017-1A-A      4.45%  ^     06/20/2042      2,343,300  
10,000,000    Mosaic Solar Loan Trust, Series 2018-2-GS      4.20%  ^     02/22/2044      10,050,400  
4,500,000    Navient Private Education Loan Trust, Series 2018-A-B      3.68%  ^     02/18/2042      4,469,379  
4,000,000    OneMain Direct Auto Receivables Trust, Series 2016-1A-B      2.76%  ^     05/17/2021      4,000,550  
15,000,000    OneMain Financial Issuance Trust, Series 2017-1A-A1      2.37%  ^     09/14/2032      14,714,239  
3,000,000    Oportun Funding LLC, Series 2016-B-A      3.69%  ^     07/08/2021      2,999,464  
3,000,000    Oportun Funding LLC, Series 2016-C-A      3.28%  ^     11/08/2021      3,014,250  
2,650,000    Progress Residential Trust, Series 2016-SFR1-C, (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.59%  ^     09/19/2033      2,658,974  
3,000,000    Progress Residential Trust, Series 2016-SFR2-D, (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.59%  ^     01/20/2034      3,018,796  
4,272,572    Prosper Marketplace Issuance Trust Series, Series 2018-1A-A      3.11%  ^     06/17/2024      4,274,117  
20,000,000    SBA Tower Trust      3.17%  ^     04/15/2047      19,661,572  
3,467,730    SCF Equipment Leasing LLC, Series 2017-1A-A      3.77%  ^     01/20/2023      3,449,934  
3,841,595    Sierra Timeshare Receivables Funding LLC, Series 2016-3A-A      2.43%  ^     10/20/2033      3,790,877  
8,398,223    SLM Private Credit Student Loan Trust, Series 2006-A-A5, (3 Month LIBOR USD + 0.29%, 0.29% Floor)      2.63%       06/15/2039      8,238,644  
1,360,051    SoFi Consumer Loan Program LLC, Series 2016-1-A      3.26%  ^     08/25/2025      1,357,700  
1,282,145    SoFi Consumer Loan Program LLC, Series 2016-3-A      3.05%  ^     12/26/2025      1,278,566  
728,825    SoFi Consumer Loan Program Trust, Series 2016-2-A      3.09%  ^     10/27/2025      728,436  
4,925,753    SoFi Consumer Loan Program Trust, Series 2017-1-A      3.28%  ^     01/26/2026      4,923,446  
2,600,235    SoFi Consumer Loan Program Trust, Series 2017-2-A      3.28%  ^     02/25/2026      2,598,929  
1,183,012    SoFi Consumer Loan Program Trust, Series 2017-3-A      2.77%  ^     05/26/2026      1,173,991  
1,011,051    SoFi Consumer Loan Program Trust, Series 2017-5-A1      2.14%  ^     09/25/2026      1,005,713  
500,000    SoFi Consumer Loan Program Trust, Series 2017-5-A2      2.78%  ^     09/25/2026      492,507  
6,395,563    SoFi Consumer Loan Program Trust, Series 2018-1-A1      2.55%  ^     02/25/2027      6,367,718  
3,069,052    SoFi Consumer Loan Program Trust, Series 2018-2-A1      2.93%  ^     04/26/2027      3,068,298  
5,000,000    SoFi Professional Loan Program, Series 2017-A-A2B      2.40%  ^     03/26/2040      4,832,392  
2,808,625    SpringCastle America Funding LLC, Series 2016-AA-A      3.05%  ^     11/25/2023      2,801,864  
9,000,000    Springleaf Funding Trust, Series 2016-AA-A      2.90%  ^     11/15/2029      8,956,058  
20,000,000    Springleaf Funding Trust, Series 2017-AA-A      2.68%  ^     07/15/2030      19,683,676  
1,424,518    Spruce Asset Backed Securities Trust, Series 2016-E1-A      4.32%  ^     06/15/2028      1,436,231  
5,000,000    STARR, Series 2018-1-A      4.09%  ^     05/15/2043      4,992,110  
21,586,310    TAL Advantage LLC, Series 2017-1A-A      4.50%       04/20/2042      22,027,163  
8,127,714    Triton Container Finance LLC, Series 2017-1A-A      3.52%  ^     06/20/2042      8,011,857  
4,904,340    Upstart Securitization Trust, Series 2018-1-A      3.02%  ^     08/20/2025      4,898,308  
10,000,000    Vivint Colar Financing LLC, Series 2018-1A-A      4.73%  ^     04/30/2048      10,084,950  
544,096    Westlake Automobile Receivables Trust, Series 2016-2A-B      2.30%  ^     11/15/2019      543,961  
14,000,000    Westlake Automobile Receivables Trust, Series 2017-1A-C      2.70%  ^     10/17/2022      13,944,139  
15,100,000    Westlake Automobile Receivables Trust, Series 2017-2A-C      2.59%  ^     12/15/2022      14,945,017  
           

 

 

  

Total Asset Backed Obligations (Cost $371,391,358)

            370,963,225  
           

 

 

  

Bank Loans - 8.4%

         
1,495,377    Acadia Healthcare Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       02/16/2023      1,501,785  
219,921    Access CIG LLC, Senior Secured 1st Lien Delayed-Draw Term Loan      6.07%  ±&     02/27/2025      220,581  
1,765,079    Access CIG LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.84%       02/27/2025      1,770,374  
765,000    Acrisure LLC, Guaranteed Senior Secured 1st Lien Term Loan      6.07%  ±     11/22/2023      760,219  
3,680,008    Acrisure LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       11/22/2023      3,677,726  
1,512,050    Air Medical Group Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.28%       04/28/2022      1,472,358  
2,015,918    ASP AMC Merger Sub, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       04/22/2024      1,938,436  
430,000    Albertsons Cos, Inc., Senior Secured 1st Lien Term Loan      5.36%  ±     05/03/2023      430,002  
1,625,000    Aleris International, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%)      6.86%       02/08/2023      1,613,316  
787,950    AlixPartners LLP, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       04/04/2024      788,344  
2,057,193    Almonde, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.81%       06/13/2024      2,023,908  
2,000,000    Almonde, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.56%       06/16/2025      1,931,870  
2,005,672    American Renal Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       06/21/2024      2,000,658  
1,575,060    American Tire Distributors, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       09/01/2021      1,032,649  
3,099,284    Amneal Pharmaceuticals LLC, Secured Term Loan (2 Month LIBOR USD + 3.50%)      5.63%       05/05/2025      3,098,323  
3,601,900    Applied Systems, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.33%       09/19/2024      3,611,175  
569,448    Chill Merger Sub, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       03/20/2024      572,830  
1,573,447    Ascend Learning LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       07/12/2024      1,571,480  
3,851,575    AssuredPartners, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       10/22/2024      3,839,558  
635,000    Asurion LLC, Senior Secured 1st Lien Term Loan      5.30%  ±     11/30/2024      631,825  
935,000    Asurion LLC, Senior Secured 2nd Lien Term Loan      8.48%  ±     08/04/2025      932,663  
3,543,005    Asurion LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/03/2023      3,542,367  
3,263,448    Avantor, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.98%       11/21/2024      3,283,844  
3,221,925    Avaya, Inc., Senior Secured 1st Lien Term Loan      7.06%  ±     12/16/2024      3,230,737  
1,830,000    Blackstone Group, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.86%       10/31/2024      1,829,140  
3,434,745    BJ’s Wholesale Club, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.53%       02/02/2024      3,438,180  
1,540,000    Blackhawk Network Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.07%       06/16/2025      1,537,752  
927,675    Blount International, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.23%       04/12/2023      934,637  
4,170,000    BMC Software Finance, Inc., Senior Secured 1st Lien Term Loan      6.55%  ±     09/30/2025      4,149,150  
   Brand Energy & Infrastructure Services, Inc., Senior Secured 1st Lien Term Loan         
4,116,989    (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       06/21/2024      4,129,607  
41,586    (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.58%       06/21/2024      41,713  
3,155,000    Bison Midstream Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%)      6.09%       05/21/2025      3,162,888  
   Bright Bidco BV, Senior Secured 1st Lien Term Loan         
1,630,751    (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       06/28/2024      1,620,558  
767,412    (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       06/28/2024      762,616  
4,355,757    BWAY Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.59%       04/03/2024      4,338,072  
2,592,829    Canyon Valor Companies, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       06/16/2023      2,592,829  
189,787    Capital Automotive LP, Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.10%       03/24/2025      191,448  
3,551,100    Capri Acquisitions Bidco Ltd, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.61%       11/01/2024      3,526,704  
1,746,225    CBS Radio, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/18/2024      1,726,143  
3,664,738    Cengage Learning, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       06/07/2023      3,374,308  
3,581,025    CenturyLink, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       01/31/2025      3,513,129  
906,146    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Synthetic Letter Of Credit (3 Month LIBOR USD + 0.00%, 1.00% Floor)      2.21%       03/19/2021      905,901  
171,915    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      171,869  
339,129    Ceva Intercompany BV, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      339,037  
1,463,411    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      1,463,016  
1,484,646    CH Hold Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       02/01/2024      1,486,041  
3,497,851    Change Healthcare Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       03/01/2024      3,490,191  
4,244,242    CHG Healthcare Services, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       06/07/2023      4,255,510  
375,000    CHG PPC Parent LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       03/31/2025      374,063  
2,130,000    Cincinnati Bell, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       10/02/2024      2,133,323  
2,644,024    Constellation Merger Sub, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%)      5.08%       09/18/2024      2,617,584  
1,426,425    Compass Power Generation LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       12/20/2024      1,436,588  
1,906,159    Compuware Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       12/15/2021      1,912,830  
460,000    Concentra, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.74%       06/01/2022      460,575  
4,034,513    Constellis Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)      7.33%       04/19/2024      4,056,359  
264,643    Coronado Australian Holdings Pty Ltd., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.50%, 1.00% Floor)      8.83%       03/31/2025      267,620  
970,357    Coronado Australian Holdings Ltd., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.50%, 1.00% Floor)      8.83%       03/31/2025      981,274  
1,535,000    Covia Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.05%       06/01/2025      1,537,164  
458,850    CP VI Bella Topco LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       12/27/2024      458,134  
920,703    CPI Holdco LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       03/21/2024      926,650  
3,360,531    CSM Bakery Supplies LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.31%       07/03/2020      3,270,234  
3,870,000    Cvent, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       11/29/2024      3,872,419  
1,469,000    CVS Holdings LP, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.10%       02/06/2025      1,457,983  
3,095,000    Colorado Buyer, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       05/01/2024      3,096,934  
425,000    Colorado Buyer, Inc., Guaranteed Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.61%       05/01/2025      425,000  
2,495,000    Deerfield Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       02/13/2025      2,488,239  
966,201    Delta 2 Lux Sarl, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)      4.59%       02/01/2024      955,181  
427,000    Dentalcorp Perfect Smile ULC, Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.75%)      6.07%  &     06/06/2025      428,603  
1,708,000    Dentalcorp Perfect Smile ULC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.76%       06/06/2025      1,714,414  
145,000    DexKo Global Inc., Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%  &     07/24/2024      145,453  
384,038    Dexko Global, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       07/24/2024      385,599  
1,810,745    Digicel International Finance Ltd., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.61%       05/27/2024      1,738,315  
3,120,000    Avatar Purchaser Inc., Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.75%, 1.00% Floor)      6.25%       11/15/2024      3,081,000  
205,000    Edelman Financial Center LLC., Senior Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.75%)      9.05%       06/26/2026      207,018  
1,345,000    Edelman Financial Center LLC., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.55%       06/26/2025      1,345,007  
2,230,000    EG America LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.33%       02/06/2025      2,214,111  
690,000    EG Finco Ltd., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.34%       02/07/2025      685,084  
810,000    Energy Acquisition LP, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.59%       06/26/2025      805,950  
1,574,435    Envision Healthcare Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.10%       12/01/2023      1,575,096  
3,625,659    Equian Buyer Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.33%       05/20/2024      3,619,604  
3,930,399    Equinox Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       03/08/2024      3,931,382  
1,041,659    Evergreen Skills, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.84%       04/28/2021      987,946  
2,553,413    Excelitas Technologies Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       12/02/2024      2,561,405  
1,098,383    Exgen Renewables LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.31%       11/29/2024      1,103,875  
3,596,098    Goldcup Merger Sub, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.08%       05/02/2023      3,596,098  
   Federal-Mogul Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
1,230,166    (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.82%       04/15/2021      1,234,121  
410,055    (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       04/15/2021      411,374  
795,000    Filtration Group Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.30%       03/31/2025      796,093  
3,280,883    Flexera Software LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       02/26/2025      3,279,357  
2,775,268    Foresight Energy LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)      8.11%       03/28/2022      2,763,570  
2,233,612    Forterra Finance LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       10/25/2023      2,091,912  
1,655,000    Frontera Generation Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.23%       05/02/2025      1,656,034  
2,379,554    FTS International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.84%       04/16/2021      2,392,439  
3,695,732    Garda World Security Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.80%       05/24/2024      3,703,807  
480,000    Gavilan Resources LLC, Senior Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.09%       03/01/2024      473,702  
3,494,574    Greeneden US Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.83%       12/01/2023      3,498,942  
850,000    Gentiva Health Services, Inc., Senior Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.00%)      9.30%       06/22/2026      862,750  
1,378,846    Gentiva Health Services, Inc., Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.75%)      6.07%  &     06/23/2025      1,371,952  
2,206,154    Gentiva Health Services, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%)      6.05%       06/23/2025      2,195,123  
1,610,000    Gopher Resource LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       03/06/2025      1,614,025  
4,285,000    GrafTech Finance, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.50%       02/12/2025      4,268,953  
1,811,215    Greektown Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       04/25/2024      1,808,200  
3,835,000    GTT Communications, Inc., Guaranteed Senior Secured 1st Lien Term Loan (2 Month LIBOR USD + 2.75%)      4.88%       06/02/2025      3,785,874  
935,000    Gulf Finance LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor)      7.59%       08/25/2023      811,113  
2,247,077    Harbor Freight Tools USA, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)      4.59%       08/18/2023      2,239,594  
1,321,443    Hargray Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       05/16/2024      1,319,791  
1,143,472    Harsco Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor)      4.25%       12/06/2024      1,146,330  
2,910,375    Hayward Acquisition Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%)      5.59%       08/05/2024      2,919,936  
650,000    H-Food Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       05/23/2025      644,881  
   HVSC Merger Sub Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
374,262    (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       10/28/2024      377,224  
184,338    (2 Month LIBOR USD + 4.00%, 1.00% Floor)      6.17%       10/28/2024      185,797  
2,233,102    Hyland Software, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor)      5.34%       07/01/2022      2,241,945  
2,118,261    Informatica LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       08/05/2022      2,124,319  
3,615,000    Intelsat Jackson Holdings S.A., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.72%       11/30/2023      3,611,891  
3,920,175    Impala Private Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.99%  #¥     11/14/2024      3,921,410  
3,730,963    Hawk Merger Sub, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      4.98%       07/31/2024      3,733,313  
3,280,000    ION Trading Finance Ltd., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.30%       11/21/2024      3,259,500  
   IRB Holding Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
1,682,382    (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.25%       02/05/2025      1,687,286  
1,376,494    (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.28%       02/05/2025      1,380,507  
4,267,120    Jaguar Holding Company II, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)      4.59%       08/18/2022      4,251,395  
1,943,182    Jo-Ann Stores LLC, Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 5.00%, 1.00% Floor)      7.51%       10/20/2023      1,932,659  
1,755,000    KBR Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.84%       04/25/2025      1,760,484  
3,473,714    Kenan Advantage Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       08/01/2022      3,473,714  
1,425,000    Kindred Healthcare, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.00%)      7.30%       06/23/2025      1,414,313  
2,731,275    Kloeckner Pentaplast, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       06/30/2022      2,622,447  
2,919,272    KIK Custom Products, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       05/15/2023      2,906,865  
3,487,493    Kronos Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       11/01/2023      3,485,313  
26,514    A-L Parent LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       12/01/2023      26,613  
1,537,932    Learfield Communications, Senior Secured 1st Lien Term Loan      4.73%  ±&     12/01/2023      1,541,777  
3,933,469    Life Time Fitness, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)      5.06%       06/10/2022      3,929,339  
985,000    Lions Gate Capital Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%)      4.34%       03/24/2025      983,360  
1,490,000    Lucid Energy Group II Borrower LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       02/18/2025      1,484,413  
451,252    EOC Group, Inc., Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)      5.20%  &     03/20/2025      448,432  
2,818,748    EOC Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.20%       03/20/2025      2,801,130  
3,115,000    McDermott International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor)      7.09%       05/12/2025      3,134,640  
1,450,000    Meredith Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       01/31/2025      1,451,472  
550,154    MGM Growth Properties LP, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.00%)      4.09%       04/25/2023      548,261  
2,518,301    Micron Technology, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       09/28/2023      2,505,709  
48,429    Mission Broadcasting, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.48%       01/17/2024      48,477  
233,955    Mitchell International, Inc., Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       11/29/2024      232,980  
2,901,045    Mitchell International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       11/29/2024      2,888,947  
710,000    Mitchell International, Inc., Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.25%)      9.34%       12/01/2025      711,999  
1,243,357    Mohegan Tribal Gaming Authority, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.98%       10/13/2023      1,177,459  
3,235,054    MPH Acquisition Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)      5.08%       06/07/2023      3,221,661  
325,000    MX Holdings US, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 0.75% Floor)      5.32%       06/18/2025      325,611  
3,079,131    National Vision, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/20/2024      3,078,485  
372,908    Nexstar Broadcasting, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.48%       01/17/2024      373,277  
1,261,925    Optiv Security, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.31%       02/01/2024      1,230,377  
3,595,000    Oryx Southern Delaware Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       02/28/2025      3,559,050  
3,492,837    West Street Merger Sub, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       09/27/2024      3,478,289  
3,295,125    Peak 10 Holding Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.83%       08/01/2024      3,266,820  
575,000    Phoenix Services Merger Sub LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.75%       03/03/2025      577,516  
1,183,749    Pike Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.60%       03/21/2025      1,189,052  
2,220,000    Ply Gem Holdings, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%)      6.09%       04/12/2025      2,217,924  
1,945,000    Plantronics, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.80%       06/02/2025      1,944,096  
3,283,467    Playa Resorts Holding BV, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       04/29/2024      3,252,685  
1,080,500    PODS LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.78%       12/06/2024      1,078,069  
1,196,716    Polycom, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor)      7.34%       09/27/2023      1,199,337  
3,755,000    PowerTeam Services LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       03/06/2025      3,716,286  
978,374    Precyse Acquisition Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.59%       10/20/2022      973,791  
3,602,775    Prime Security Services Borrower LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       05/02/2022      3,589,877  
2,025,000    Pro Mach Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.02%       03/07/2025      2,002,472  
4,113,913    Project Alpha Intermediate Holding, Inc., Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)      5.99%       04/26/2024      4,098,485  
2,070,000    Quest Software US Holdings, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.58%       05/16/2025      2,065,260  
2,241,757    RCN Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       02/01/2024      2,212,155  
3,880,000    Radiology Partners Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%)      6.55%       07/04/2025      3,855,750  
910,000    Renaissance Holding Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       06/02/2025      906,733  
3,083,869    RentPath LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.85%  #¥     12/17/2021      2,829,450  
1,370,392    Reynolds Group, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       02/06/2023      1,369,248  
1,953,879    Robertshaw US Holding Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.63%       02/28/2025      1,953,879  
   Scientific Games International, Inc., Guaranteed Senior Secured 1st Lien Term Loan         
2,590,087    (2 Month LIBOR USD + 2.75%)      4.92%       08/14/2024      2,576,333  
607,551    (1 Month LIBOR USD + 2.75%)      4.84%       08/14/2024      604,325  
3,029,934    SCS Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       10/31/2022      3,043,190  
548,000    Securus Technologies Holdings LLC, Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.82%  &     11/01/2024      551,425  
3,786,196    Securus Technologies Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.59%       11/01/2024      3,809,860  
2,673,000    Select Medical Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.80%       03/01/2021      2,672,171  
835,000    Severin Aquisition LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.61%       07/31/2025      830,303  
2,320,000    Sinclair Television Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      3.98%       12/12/2024      2,315,662  
2,505,000    SIWF Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%)      6.32%       06/13/2025      2,520,656  
460,000    LUX HOLDCO III, Senior Secured 1st Lien Term Loan (2 Month LIBOR USD + 3.00%)      5.10%       03/28/2025      460,384  
1,995,000    SMG US Midco 2, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       01/23/2025      1,995,000  
2,273,750    SolarWinds Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       02/05/2024      2,275,637  
2,200,000    Solenis International LP, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%)      6.30%       12/18/2023      2,198,207  
455,000    Solenis International LP, Guaranteed Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 8.50%)      10.68%       06/18/2024      449,881  
3,472,992    Solera LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       03/03/2023      3,462,139  
3,878,816    Sophia LP, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       09/30/2022      3,869,119  
755,000    Sound Inpatient Physicians, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.30%       06/19/2025      756,891  
3,752,153    Southern Graphics Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       12/30/2022      3,749,226  
455,000    SRS Distribution, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       05/23/2025      448,935  
1,231,841    StandardAero Aviation Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       07/07/2022      1,235,309  
1,298,475    Staples, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.36%       09/12/2024      1,283,263  
785,000    Stars Group Holdings B.V., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%)      5.80%       07/31/2025      781,075  
1,562,290    Syncreon Group BV, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       10/28/2020      1,478,317  
3,503,322    Team Health Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       02/06/2024      3,376,327  
1,620,116    Telesat Canada, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.50%, 0.75% Floor)      4.84%       11/17/2023      1,611,002  
3,476,244    Tempo Acquisition LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       05/01/2024      3,466,823  
2,690,000    Tenneco, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.73%       06/18/2025      2,668,157  
3,655,000    Titan Acquisition Ltd., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       03/28/2025      3,605,676  
4,281,750    TKC Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.85%       02/01/2023      4,279,074  
2,639,106    Transdigm, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       06/09/2023      2,626,900  
1,071,235    Transdigm, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       05/30/2025      1,064,459  
461,016    Travel Leaders Group LLC, Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 4.50%)      7.00%       01/25/2024      464,474  
612,110    TravelClick Holdings Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       05/06/2021      618,806  
1,825,000    Traverse Midstream Partners LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.34%       09/27/2024      1,827,117  
428,263    Tribune Media Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       01/26/2024      428,531  
34,361    Tribune Media Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       12/24/2020      34,447  
2,968,382    US Renal Care, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.58%       12/30/2022      2,930,031  
3,160,000    U.S. Silica Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.13%       05/01/2025      3,163,950  
3,954,549    UFC Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       08/18/2023      3,962,458  
967,240    Ultra Resources, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       04/12/2024      893,493  
2,712,909    USAGM HoldCo LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       07/28/2022      2,677,586  
345,000    USIC Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       12/08/2023      344,855  
465,000    Valeant Pharmaceuticals International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      4.98%       06/02/2025      464,033  
3,477,935    VF Holdings Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       06/30/2023      3,460,545  
2,580,000    VF Holdings Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.57%       06/04/2025      2,566,842  
1,345,000    West Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.48%       10/10/2024      1,336,453  
1,925,175    West Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       10/10/2024      1,921,084  
3,730,650    Wink Holdco, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       12/02/2024      3,712,575  
2,130,000    WP CPP Holdings LLC, Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.75%)      6.28%       04/30/2025      2,143,046  
2,635,000    Yak Access LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 5.00%)      7.32%       07/31/2025      2,555,950  
3,006,761    York Risk Services Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       10/01/2021      2,925,683  
2,993,512    Zodiac Pool Solutions LLC, Guaranteed Senior Secured 1st Lien Term Loan (Prime Rate + 3.00%, 1.00% Floor)      8.00%       12/20/2023      2,993,512  
           

 

 

  

Total Bank Loans (Cost $446,215,192)

 

         443,943,676  
           

 

 

  

Collateralized Loan Obligations - 12.3%

         
250,000    Adams Mill Ltd., Series 2014-1A-D1, (3 Month LIBOR USD + 3.50%)      5.85%  ^     07/15/2026      250,426  
10,000,000    AIMCO, Series 2014-AA-AR, (3 Month LIBOR USD + 1.10%)      3.46%  ^     07/20/2026      10,013,123  
12,250,000    Allegro Ltd., Series 2018-1A-A, (3 Month LIBOR USD + 1.10%, 1.10% Floor)      0.00%  ^     06/13/2031      12,249,496  
5,000,000    ALM LLC, Series 2016-19A-A1, (3 Month LIBOR USD + 1.55%)      3.90%  ^     07/15/2028      5,020,569  
2,500,000    ALM LLC, Series 2016-19A-A2, (3 Month LIBOR USD + 2.20%)      4.55%  ^     07/15/2028      2,514,501  
6,165,000    Anchorage Capital Ltd., Series 2015-6A-AR, (3 Month LIBOR USD + 1.27%)      3.62%  ^     07/15/2030      6,179,997  
1,489,113    Apidos Ltd., Series 2013-16A-A1R, (3 Month LIBOR USD + 0.98%)      3.34%  ^     01/19/2025      1,489,842  
1,000,000    Apidos Ltd., Series 2015-20A-A1R, (3 Month LIBOR USD + 1.33%)      3.68%  ^     01/19/2027      1,000,088  
5,000,000    Apidos Ltd., Series 2016-24A-A2, (3 Month LIBOR USD + 2.00%, 2.00% Floor)      4.36%  ^     07/20/2027      5,014,619  
404,000    Arbor Realty Ltd., Series 2016-FL1A-B, (1 Month LIBOR USD + 2.95%)      5.02%  ^     09/15/2026      407,968  
10,000,000    Arbor Realty Ltd., Series 2017-FL2-A, (1 Month LIBOR USD + 0.99%)      3.06%  ^     08/16/2027      10,030,010  
4,500,000    Arrowpoint Ltd., Series 2013-1A-A1R, (3 Month LIBOR USD + 1.52%, 1.52% Floor)      3.86%  ^     11/15/2028      4,548,517  
2,850,000    Atlas Senior Loan Fund Ltd., Series 2018-10A-A, (3 Month LIBOR USD + 1.09%)      3.44%  ^     01/15/2031      2,833,650  
2,500,000    Babson Ltd., Series 2015-2A-DR, (3 Month LIBOR USD + 2.95%)      5.31%  ^     10/20/2030      2,496,751  
6,750,000    Benefit Street Partners Ltd., Series 2013-IIIA-A1R, (3 Month LIBOR USD + 1.25%)      3.61%  ^     07/20/2029      6,776,169  
2,500,000    BlueMountain Ltd., Series 2013-1A-A1R, (3 Month LIBOR USD + 1.40%)      3.76%  ^     01/22/2029      2,509,128  
5,800,000    Canyon Capital Ltd., Series 2016-2A-B, (3 Month LIBOR USD + 2.00%)      4.35%  ^     10/15/2028      5,816,327  
2,610,000    Carlyle Global Market Strategies Ltd., Series 2012-4A-AR, (3 Month LIBOR USD + 1.45%)      3.81%  ^     01/22/2029      2,620,835  
2,000,000    Carlyle Global Market Strategies Ltd., Series 2015-1A-AR, (3 Month LIBOR USD + 1.00%)      3.36%  ^     04/20/2027      2,002,282  
6,000,000    Carlyle Global Market Strategies Ltd., Series 2017-1A-A1A, (3 Month LIBOR USD + 1.30%)      3.66%  ^     04/21/2031      6,019,831  
18,000,000    Cavalry Ltd., Series 2014-4A-AR, (3 Month LIBOR USD + 0.85%)      3.20%  ^     10/15/2026      17,992,080  
936,938    Cent Ltd., Series 2013-19A-A1A, (3 Month LIBOR USD + 1.33%)      3.69%  ^     10/29/2025      938,279  
1,000,000    Cent Ltd., Series 2014-21A-A1AR, (3 Month LIBOR USD + 1.21%)      3.58%  ^     07/27/2026      1,000,349  
250,000    Cent Ltd., Series 2014-22A-C, (3 Month LIBOR USD + 3.75%)      6.11%  ^     11/09/2026      250,789  
22,000,000    CFIP Ltd., Series 2014-1A-AR, (3 Month LIBOR USD + 1.32%)      3.66%  ^     07/13/2029      22,092,924  
25,000,000    CVP Ltd., Series 2017-1A-A, (3 Month LIBOR USD + 1.34%)      3.70%  ^     07/20/2030      25,192,267  
6,500,000    CVP Ltd., Series 2017-2A-A, (3 Month LIBOR USD + 1.19%, 1.19% Floor)      3.12%  ^     01/20/2031      6,515,369  
500,000    Galaxy Ltd., Series 2014-18A-D1, (3 Month LIBOR USD + 3.70%)      6.05%  ^     10/15/2026      501,366  
5,250,000    Galaxy Ltd., Series 2016-22A-B1, (3 Month LIBOR USD + 2.10%)      4.45%  ^     07/16/2028      5,257,940  
8,500,000    Gilbert Park Ltd., Series 2017-1A-A, (3 Month LIBOR USD + 1.19%)      3.54%  ^     10/15/2030      8,518,144  
500,000    Halcyon Loan Advisors Funding Ltd., Series 2012-1X-A2, (3 Month LIBOR USD + 2.50%)      4.84%       08/15/2023      500,901  
500,000    Halcyon Loan Advisors Funding Ltd., Series 2013-2A-C, (3 Month LIBOR USD + 2.70%)      5.06%  ^     08/01/2025      500,738  
250,000    Halcyon Loan Advisors Funding Ltd., Series 2013-2A-D, (3 Month LIBOR USD + 3.80%)      6.16%  ^     08/01/2025      250,107  
2,100,000    Halcyon Loan Advisors Funding Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.13%)      3.49%  ^     04/18/2026      2,101,172  
500,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-C, (3 Month LIBOR USD + 3.50%)      5.86%  ^     04/28/2025      501,293  
14,500,000    Halcyon Loan Advisors Funding Ltd., Series 2015-2A-A, (3 Month LIBOR USD + 1.39%)      3.75%  ^     07/26/2027      14,558,360  
25,000,000    Halcyon Loan Advisors Funding Ltd., Series 2015-3A-A1R, (3 Month LIBOR USD + 0.90%)      3.26%  ^     10/18/2027      24,936,720  
3,000,000    Hildene Ltd., Series 2015-4A-A1A, (3 Month LIBOR USD + 1.50%)      3.86%  ^     07/23/2027      3,008,335  
3,070,292    Jamestown Ltd., Series 2013-3A-A1AR, (3 Month LIBOR USD + 1.14%)      3.49%  ^     01/15/2026      3,073,516  
2,281,609    Jamestown Ltd., Series 2014-4A-A1AR, (3 Month LIBOR USD + 0.69%)      3.04%  ^     07/15/2026      2,273,403  
1,755,000    Jamestown Ltd., Series 2018-6RA-A1, (3 Month LIBOR USD + 1.15%, 1.15% Floor)      3.60%  ^     04/25/2030      1,754,480  
250,000    LCM LP, Series 16A-DR, (3 Month LIBOR USD + 3.00%)      5.35%  ^     07/15/2026      250,620  
10,595,000    Madison Park Funding Ltd., Series 2013-11A-AR, (3 Month LIBOR USD + 1.16%)      3.52%  ^     07/23/2029      10,599,246  
1,000,000    Madison Park Funding Ltd., Series 2014-15A-CR, (3 Month LIBOR USD + 3.45%)      5.82%  ^     01/27/2026      1,001,699  
18,000,000    Magnetite Ltd., Series 2014-9A-A1R, (3 Month LIBOR USD + 1.00%)      3.36%  ^     07/25/2026      18,009,382  
25,000,000    Marathon Ltd., Series 2013-5A-A1R, (3 Month LIBOR USD + 0.87%)      3.20%  ^     11/21/2027      24,953,798  
15,000,000    Marathon Ltd., Series 2014-7A-A1R, (3 Month LIBOR USD + 1.32%)      3.68%  ^     10/28/2025      15,011,258  
8,625,000    Marathon Ltd., Series 2017-9A-A2, (3 Month LIBOR USD + 1.75%)      4.10%  ^     04/16/2029      8,655,922  
25,000,000    Midocean Credit, Series 2017-7A-A1, (3 Month LIBOR USD + 1.32%)      3.67%  ^     07/15/2029      25,054,692  
2,000,000    Milos Ltd., Series 2017-1A-A, (3 Month LIBOR USD + 1.25%)      3.61%  ^     10/20/2030      2,003,282  
25,000,000    MP Ltd., Series 2013-2A-ARR, (3 Month LIBOR USD + 1.28%)      3.64%  ^     07/25/2029      25,055,008  
10,000,000    MP Ltd., Series 2015-2A-AR, (3 Month LIBOR USD + 0.91%)      3.27%  ^     10/28/2027      9,985,950  
20,000,000    Nassau Ltd., Series 2018-IA-A, (3 Month LIBOR USD + 1.15%)      3.69%  ^     07/15/2031      20,004,956  
9,000,000    Northwoods Capital Ltd., Series 2017-16A-A, (3 Month LIBOR USD + 1.27%)      3.61%  ^     11/15/2030      8,997,780  
1,771,140    Octagon Investment Partners Ltd., Series 2013-1A-A, (3 Month LIBOR USD + 1.12%)      3.47%  ^     07/17/2025      1,773,779  
750,000    Octagon Investment Partners Ltd., Series 2014-1A-C, (3 Month LIBOR USD + 3.65%)      6.01%  ^     11/14/2026      752,703  
31,000,000    Octagon Investment Partners Ltd., Series 2015-1A-A1R, (3 Month LIBOR USD + 0.90%)      3.23%  ^     05/21/2027      30,992,301  
20,000,000    Octagon Loan Funding Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.14%)      3.47%  ^     11/18/2026      20,007,760  
15,000,000    OFSI Fund Ltd., Series 2018-1A-A, (3 Month LIBOR USD + 1.15%, 1.15% Floor)      0.01%  ^     07/15/2031      15,000,000  
10,000,000    Race Point Ltd., Series 2015-9A-A1AR, (3 Month LIBOR USD + 1.21%)      3.56%  ^     10/15/2030      10,037,791  
10,350,000    Regatta Funding Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.02%)      3.38%  ^     07/27/2026      10,361,056  
8,500,000    Rockford Tower Ltd., Series 2017-2A-A, (3 Month LIBOR USD + 1.27%)      3.62%  ^     10/15/2029      8,516,956  
8,841,504    Shackleton Ltd., Series 2016-9A-A, (3 Month LIBOR USD + 1.50%)      3.86%  ^     10/20/2028      8,904,845  
12,400,000    Sound Harbor Loan Fund Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.20%)      3.56%  ^     10/30/2026      12,414,286  
3,000,000    Sounds Point Ltd., Series 2018-4R-A, (3 Month LIBOR USD + 1.15%, 1.15% Floor)      3.65%  ^     04/18/2031      3,003,613  
10,000,000    Steele Creek Ltd., Series 2014-1RA-A, (3 Month LIBOR USD + 1.07%, 1.07% Floor)      3.41%  ^     04/21/2031      9,935,216  
9,500,000    Steele Creek Ltd., Series 2015-1A-AR, (3 Month LIBOR USD + 1.26%)      3.59%  ^     05/21/2029      9,554,440  
8,000,000    Steele Creek Ltd., Series 2016-1A-AR, (3 Month LIBOR USD + 1.12%, 1.12% Floor)      3.46%  ^     06/15/2031      7,999,879  
440,962    Symphony Ltd., Series 2012-8A-AR, (3 Month LIBOR USD + 1.10%)      3.43%  ^     01/09/2023      441,417  
3,500,000    TCI-Cent Ltd., Series 2016-1A-A1, (3 Month LIBOR USD + 1.52%)      3.89%  ^     12/21/2029      3,556,912  
6,250,000    TCI-Cent Ltd., Series 2016-1A-A2, (3 Month LIBOR USD + 2.20%)      4.57%  ^     12/21/2029      6,304,297  
2,000,000    TCI-Flatiron Ltd., Series 2016-1A-B, (3 Month LIBOR USD + 2.20%)      4.55%  ^     07/17/2028      2,012,753  
20,000,000    Venture Ltd., Series 2015-20A-AR, (3 Month LIBOR USD + 0.82%)      3.17%  ^     04/15/2027      19,905,315  
8,500,000    Venture Ltd., Series 2017-29A-A, (3 Month LIBOR USD + 1.28%)      3.62%  ^     09/15/2030      8,519,710  
5,000,000    Vibrant Ltd., Series 2015-3A-A1R, (3 Month LIBOR USD + 1.48%)      3.84%  ^     04/20/2026      5,003,627  
3,500,000    Vibrant Ltd., Series 2016-5A-B, (3 Month LIBOR USD + 2.10%)      4.46%  ^     01/20/2029      3,534,196  
3,100,000    Voya Ltd., Series 2014-4A-A1R, (3 Month LIBOR USD + 0.95%)      3.30%  ^     10/14/2026      3,099,985  
6,250,000    WhiteHorse Ltd., Series 2014-1A-AR, (3 Month LIBOR USD + 0.90%)      3.26%  ^     05/01/2026      6,244,385  
21,500,000    WhiteHorse Ltd., Series 2015-10A-A1R, (3 Month LIBOR USD + 0.93%, 0.93% Floor)      3.01%  ^     04/17/2027      21,512,250  
5,000,000    Wind River Ltd., Series 2016-1A-B, (3 Month LIBOR USD + 2.35%)      4.70%  ^     07/15/2028      4,999,933  
15,000,000    Zais Ltd., Series 2014-2A-A1AR, (3 Month LIBOR USD + 1.20%)      3.56%  ^     07/25/2026      15,020,602  
           

 

 

  

Total Collateralized Loan Obligations (Cost $649,627,750)

 

         650,506,261  
           

 

 

  

Foreign Corporate Bonds - 8.7%

         
2,500,000    Adani Ports & Special Economic Zone Ltd.      3.50%       07/29/2020      2,472,400  
6,515,000    AerCap Global Aviation Trust      4.63%       10/30/2020      6,644,576  
200,000    Agromercantil Senior Trust      6.25%  ^     04/10/2019      202,552  
1,000,000    Agromercantil Senior Trust      6.25%       04/10/2019      1,012,760  
2,000,000    Alibaba Group Holding Ltd.      2.50%       11/28/2019      1,987,003  
3,240,000    Alibaba Group Holding Ltd.      3.13%       11/28/2021      3,210,205  
1,500,000    America Movil S.A.B. de C.V.      5.00%       03/30/2020      1,542,660  
5,200,000    America Movil S.A.B. de C.V.      3.13%       07/16/2022      5,118,773  
8,630,000    AstraZeneca PLC      2.38%       11/16/2020      8,471,292  
6,600,000    Axiata SPV2 BHD      3.47%       11/19/2020      6,571,620  
2,600,000    Banco de Costa Rica      5.25%       08/12/2018      2,603,120  
200,000    Banco de Credito del Peru      2.25%  ^     10/25/2019      197,250  
1,500,000    Banco de Credito del Peru      5.38%       09/16/2020      1,561,500  
5,300,000    Banco de Credito del Peru      4.25%       04/01/2023      5,297,350  
500,000    Banco del Estado de Chile      2.67%  ^     01/08/2021      487,419  
8,000,000    Banco del Estado de Chile      3.88%       02/08/2022      7,993,391  
3,500,000    Banco Internacional del Peru S.A.A.      3.38%       01/18/2023      3,323,950  
6,500,000    Banco International del Peru S.A.A.      5.75%       10/07/2020      6,792,500  
4,825,000    Banco Latinoamericano do Comercio Exterior S.A.      3.25%       05/07/2020      4,776,750  
1,500,000    Banco Nacional de Costa Rica      4.88%       11/01/2018      1,503,750  
600,000    Banco Regional SAECA      8.13%       01/24/2019      614,940  
2,500,000    Banco Santander      2.50%  ^     12/15/2020      2,437,575  
4,720,000    Banco Santander      3.88%       09/20/2022      4,704,707  
1,000,000    Banco Santander      4.13%       11/09/2022      986,500  
9,203,000    Banco Santander, (5 Year CMT Rate + 4.58%)      5.95%       01/30/2024      9,283,526  
800,000    Banistmo S.A.      3.65%  ^     09/19/2022      757,000  
7,840,000    Barclays Bank PLC      2.65%       01/11/2021      7,673,590  
7,000,000    BBVA Banco Continental S.A.      5.00%       08/26/2022      7,201,250  
166,000    BBVA Bancomer S.A.      7.25%       04/22/2020      174,093  
3,200,000    BDO Unibank, Inc.      2.63%       10/24/2021      3,083,958  
6,350,000    BDO Unibank, Inc.      2.95%       03/06/2023      6,016,073  
8,000,000    Bharat Petroleum Corporation Ltd.      4.63%       10/25/2022      8,127,920  
4,000,000    Bharti Airtel Ltd.      5.13%       03/11/2023      3,960,668  
3,970,000    BNP Paribas S.A.      5.00%       01/15/2021      4,123,956  
5,560,000    BP Capital Markets PLC      1.68%       05/03/2019      5,512,952  
830,000    BP Capital Markets PLC      1.77%       09/19/2019      819,791  
136,000    BP Capital Markets PLC      2.32%       02/13/2020      134,722  
2,500,000    Celulosa Arauco y Constitucion S.A.      4.75%       01/11/2022      2,561,900  
7,700,000    CK Hutchison International Ltd.      2.88%  ^     04/05/2022      7,509,382  
1,446,000    CK Hutchison International Ltd.      2.88%       04/05/2022      1,410,203  
3,500,000    CNOOC Finance Ltd.      2.63%       05/05/2020      3,457,923  
4,500,000    CNOOC Finance Ltd.      3.88%       05/02/2022      4,531,891  
1,000,000    CNPC General Capital Ltd.      2.75%       05/14/2019      996,401  
5,500,000    CNPC General Capital Ltd.      3.95%       04/19/2022      5,554,061  
1,700,000    CNPC Overseas Capital Ltd.      4.50%       04/28/2021      1,746,898  
500,000    Coca-Cola Femsa S.A.B. de C.V.      4.63%       02/15/2020      511,318  
4,500,000    Comision Federal de Electricidad      4.88%       05/26/2021      4,573,125  
5,980,000    Commonwealth Bank of Australia      2.25%  ^     03/10/2020      5,895,732  
1,295,000    Commonwealth Bank of Australia      2.05%  ^     09/18/2020      1,261,269  
2,800,000    Corpbanca S.A.      3.88%       09/22/2019      2,813,407  
300,000    Corporacion Financiera de Desarrollo S.A.      3.25%       07/15/2019      299,700  
500,000    Corporacion Financiera de Desarrollo S.A.      3.25%  ^     07/15/2019      499,500  
4,265,000    Credit Suisse Group AG, (3 Month LIBOR USD + 1.24%)      3.57%  ^     06/12/2024      4,264,595  
200,000    DBS Group Holdings Ltd., (3 Month LIBOR USD + 0.49%)      2.81%       06/08/2020      200,288  
1,500,000    DBS Group Holdings Ltd., (3 Month LIBOR USD + 0.62%)      2.98%  ^     07/25/2022      1,504,386  
1,500,000    DBS Group Holdings Ltd., (3 Month LIBOR USD + 0.62%)      2.98%       07/25/2022      1,504,386  
5,500,000    DBS Group Holdings Ltd., (5 Year Swap Rate USD + 2.39%)      3.60%  †     09/07/2021      5,263,758  
160,000    Delek & Avner Tamar Bond Ltd.      3.84%  ^     12/30/2018      160,167  
3,840,000    Delek & Avner Tamar Bond Ltd.      4.44%  ^     12/30/2020      3,839,578  
900,000    Digicel Ltd.      8.25%       09/30/2020      682,875  
800,000    Digicel Ltd.      7.13%       04/01/2022      530,000  
2,800,000    ECL S.A.      5.63%       01/15/2021      2,903,173  
4,800,000    Ecopetrol S.A.      7.63%       07/23/2019      5,022,240  
800,000    Empresas Publicas de Medellin E.S.P.      7.63%       07/29/2019      820,000  
1,901,032    ENA Norte Trust      4.95%       04/25/2023      1,915,290  
1,500,000    Export-Import Bank of India      2.75%       04/01/2020      1,474,698  
5,500,000    Export-Import Bank of India      3.13%       07/20/2021      5,371,300  
1,300,000    Export-Import Bank of India, (3 Month LIBOR USD + 1.00%)      3.33%       08/21/2022      1,303,607  
3,500,000    Fondo Mivivienda S.A.      3.38%       04/02/2019      3,500,000  
2,500,000    Fondo Mivivienda S.A.      3.50%  ^     01/31/2023      2,416,275  
3,100,000    Fondo Mivivienda S.A.      3.50%       01/31/2023      2,996,181  
500,000    Fresnillo PLC      5.50%       11/13/2023      517,500  
8,190,000    GlaxoSmithKline Capital PLC      3.13%       05/14/2021      8,211,191  
200,000    Global Bank Corporation      5.13%  ^     10/30/2019      201,960  
5,100,000    Global Bank Corporation      5.13%       10/30/2019      5,149,980  
4,000,000    Global Bank Corporation      4.50%       10/20/2021      3,904,000  
300,000    Global Bank Corporation      4.50%  ^     10/20/2021      292,800  
4,400,000    Grupo Bimbo S.A.B. de C.V.      4.88%       06/30/2020      4,523,800  
1,300,000    Grupo Idesa S.A. de C.V.      7.88%       12/18/2020      1,014,000  
403,531    Guanay Finance Ltd.      6.00%  ^     12/15/2020      406,558  
941,573    Guanay Finance Ltd.      6.00%       12/15/2020      948,635  
4,235,000    HSBC Holdings PLC, (3 Month LIBOR USD + 1.00%)      3.33%       05/18/2024      4,225,663  
3,400,000    Indian Oil Corporation Ltd.      5.63%       08/02/2021      3,553,442  
135,955    Interoceanica Finance Ltd.      0.00%       11/30/2018      134,170  
6,650,000    Inversiones CMPC S.A.      4.50%       04/25/2022      6,723,108  
1,700,000    IOI Investment BHD      4.38%       06/27/2022      1,706,411  
600,000    Itau Unibanco Holding S.A.      6.20%       12/21/2021      619,800  
2,000,000    JBS Investments GMBH      7.75%       10/28/2020      2,042,500  
8,700,000    Malayan Banking BHD, (5 Year Swap Rate USD + 2.54%)      3.91%       10/29/2026      8,579,983  
7,895,000    Mizuho Financial Group, Inc., (3 Month LIBOR USD + 0.79%)      3.11%       03/05/2023      7,899,302  
6,000,000    Multibank, Inc.      4.38%       11/09/2022      5,880,000  
200,000    OAS Investments GMBH      8.25%  W     10/19/2019      18,000  
2,600,000    Oleoducto Central S.A.      4.00%       05/07/2021      2,587,260  
3,300,000    ONGC Videsh Ltd.      3.25%       07/15/2019      3,293,895  
5,400,000    ONGC Videsh Ltd.      2.88%       01/27/2022      5,176,640  
1,000,000    ONGC Videsh Ltd.      3.75%       05/07/2023      976,246  
4,775,000    Orange S.A.      2.75%       02/06/2019      4,772,493  
450,000    Orange S.A.      5.38%       07/08/2019      461,056  
8,000,000    Oversea-Chinese Banking Corporation, (5 Year Swap Rate USD + 2.20%)      4.00%       10/15/2024      8,032,019  
3,200,000    Panama Metro Line SP      0.00%  ^     12/05/2022      2,874,400  
4,100,000    Panama Metro Line SP      0.00%       12/05/2022      3,682,825  
500,000    Peru Enhanced Pass-Through Finance Ltd.      0.00%       06/02/2025      435,000  
5,600,000    Petronas Capital Ltd.      3.13%       03/18/2022      5,533,158  
3,900,000    Petronas Global Sukuk Ltd.      2.71%       03/18/2020      3,862,006  
2,800,000    PSA International Ltd.      4.63%       09/11/2019      2,854,404  
500,000    PSA International Ltd.      3.88%       02/11/2021      508,151  
250,000    Reliance Holdings, Inc.      4.50%       10/19/2020      254,202  
8,500,000    Reliance Holdings, Inc.      5.40%       02/14/2022      8,829,841  
4,530,000    Royal Bank of Canada      1.50%       07/29/2019      4,466,186  
4,320,000    Royal Bank of Scotland Group PLC, (3 Month LIBOR USD + 1.55%)      3.89%       06/25/2024      4,314,582  
2,000,000    SACI Falabella      3.75%       04/30/2023      1,958,981  
7,705,000    Santander UK PLC      2.50%       01/05/2021      7,529,650  
6,544,000    Shire Acquisitions Investments Ireland DAC      1.90%       09/23/2019      6,445,868  
500,000    Sinopec Group Overseas Development Ltd.      2.50%  ^     04/28/2020      492,829  
500,000    Sinopec Group Overseas Development Ltd.      2.50%       04/28/2020      492,829  
2,000,000    Sinopec Group Overseas Development Ltd.      2.75%       05/03/2021      1,962,146  
500,000    Sinopec Group Overseas Development Ltd.      2.00%  ^     09/29/2021      477,616  
400,000    Sinopec Group Overseas Development Ltd.      2.00%       09/29/2021      382,093  
1,500,000    Sinopec Group Overseas Development Ltd.      3.00%       04/12/2022      1,463,592  
700,000    Sinopec Group Overseas Development Ltd.      3.00%  ^     04/12/2022      683,010  
2,500,000    Sinopec Group Overseas Development Ltd.      3.90%       05/17/2022      2,517,993  
7,700,000    SP PowerAssets Ltd.      2.70%       09/14/2022      7,504,257  
8,510,000    Sumitomo Mitsui Financial Group, Inc.      2.06%       07/14/2021      8,163,925  
1,400,000    Telefonica Celular del Paraguay S.A.      6.75%       12/13/2022      1,435,000  
6,000,000    Telefonica Chile S.A.      3.88%       10/12/2022      5,949,505  
1,000,000    Temasek Financial Ltd.      2.38%       01/23/2023      961,649  
1,500,000    Tencent Holdings Ltd.      3.38%       05/02/2019      1,506,235  
2,500,000    Tencent Holdings Ltd.      2.88%       02/11/2020      2,489,307  
300,000    Tencent Holdings Ltd.      2.88%  ^     02/11/2020      298,717  
1,200,000    Tencent Holdings Ltd., (3 Month LIBOR USD + 0.61%)      2.96%  ^     01/19/2023      1,198,896  
8,745,000    Toronto-Dominion Bank      3.25%       06/11/2021      8,745,366  
8,300,000    Transportadora de Gas Internacional S.A.      5.70%       03/20/2022      8,445,250  
7,625,000    UBS AG      2.45%  ^     12/01/2020      7,463,098  
4,000,000    Union Bank of the Philippines      3.37%       11/29/2022      3,807,224  
3,000,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.00%)      3.75%       09/19/2024      3,000,609  
5,200,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.24%)      3.50%       09/16/2026      5,108,464  
2,800,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 1.65%)      2.88%       03/08/2027      2,682,008  
1,800,000    UPL Corporation      3.25%       10/13/2021      1,745,021  
775,000    Westpac Banking Corporation      1.95%       11/23/2018      773,218  
7,590,000    Westpac Banking Corporation      1.60%       08/19/2019      7,483,988  
           

 

 

  

Total Foreign Corporate Bonds (Cost $468,138,120)

 

         459,315,060  
           

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.5%

         
6,700,000    Chile Government International Bond      2.25%       10/30/2022      6,395,150  
8,000,000    Chile International Government Bond      3.25%       09/14/2021      7,999,000  
965,000    Costa Rica Government International Bond      10.00%       08/01/2020      1,054,263  
6,000,000    Dominican Republic International Bond      7.50%       05/06/2021      6,304,500  
1,800,000    Indonesia Government International Bond      6.13%       03/15/2019      1,841,850  
9,300,000    Indonesia Government International Bond      4.88%       05/05/2021      9,581,307  
900,000    Indonesia Government International Bond      3.70%  ^     01/08/2022      891,699  
1,100,000    Indonesia Government International Bond      3.70%       01/08/2022      1,089,855  
8,600,000    Israel Government International Bond      4.00%       06/30/2022      8,844,300  
4,500,000    Mexico Government International Bond      3.63%       03/15/2022      4,513,905  
5,600,000    Panama Government International Bond      5.20%       01/30/2020      5,803,000  
13,600,000    Philippine Government International Bond      4.00%       01/15/2021      13,786,687  
2,500,000    Republic of Poland Government International Bond      5.13%       04/21/2021      2,628,400  
8,010,000    Wakala Global Sukuk BHD      4.65%       07/06/2021      8,300,122  
           

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $81,098,284)

      79,034,038  
           

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 11.6%

         
4,721,000    20 Times Square Trust, Series 2018-20TS-F      3.20%  #^     05/17/2035      4,413,250  
4,721,000    20 Times Square Trust, Series 2018-20TS-G      3.20%  #^     05/17/2035      4,319,087  
268,763    A10 LLC, Series 2016-1-A1      2.42%  ^     03/15/2035      268,733  
1,080,000    Americold LLC, Series 2010-ARTA-C      6.81%  ^     01/14/2029      1,144,849  
13,674,000    AREIT Trust, Series 2018-CRE1-AS, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.32%  ^     02/16/2035      13,694,511  
8,998,000    AREIT Trust, Series 2018-CRE1-B, (1 Month LIBOR USD + 1.65%, 1.65% Floor)      3.72%  ^     02/16/2035      9,037,348  
9,763,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-E, (1 Month LIBOR USD + 3.40%, 3.40% Floor)      5.36%  ^     06/15/2035      9,810,987  
30,000,000    BAMLL Commercial Mortgage Securities Trust, Series 2015-200P-XA      0.50%  #^I/O     04/15/2033      716,715  
502,263    Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2004-4-H      6.23%  #^     07/10/2042      501,771  
57,615,820    BANK, Series 2017-BNK4-XA      1.61%  #I/O     05/17/2050      5,206,292  
85,904,880    BANK, Series 2018-BNK11-XA      0.65%  #I/O     03/17/2061      3,384,936  
6,786,000    Barclays Commercial Mortgage Securities LLC, Series 2014-BXO-E, (1 Month LIBOR USD + 3.75%, 2.56% Floor)      5.82%  ^     08/16/2027      6,815,894  
57,488,872    Barclays Commercial Mortgage Securities LLC, Series 2017-C1-XA      1.69%  #I/O     02/17/2050      5,623,711  
1,174,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C, (1 Month LIBOR USD + 1.20%)      3.27%  ^     08/15/2036      1,175,236  
1,338,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D, (1 Month LIBOR USD + 1.70%)      3.77%  ^     08/15/2036      1,339,468  
2,803,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E, (1 Month LIBOR USD + 2.50%)      4.57%  ^     08/15/2036      2,816,306  
2,686,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F, (1 Month LIBOR USD + 3.50%)      5.57%  ^     08/15/2036      2,704,048  
8,471,000    BBCMS Mortgage Trust, Series 2017-GLKS-E, (1 Month LIBOR USD + 2.85%, 2.75% Floor)      4.92%  ^     11/15/2034      8,482,541  
7,538,000    BB-UBS Trust, Series 2012-TFT-TE      3.68%  #^     06/07/2030      6,901,953  
500,000    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.57%  #     01/12/2045      459,234  
7,455,000    Braemar Hotels & Resorts Trust, Series 2018-PRME-E, (1 Month LIBOR USD + 2.40%, 2.40% Floor)      4.36%  ^     06/15/2035      7,464,639  
1,000,000    Bsprt Issuer Ltd., Series 2017-FL1-A, (1 Month LIBOR USD + 1.35%)      3.42%  ^     06/15/2027      1,002,213  
3,250,000    Bsprt Issuer Ltd., Series 2017-FL1-B, (1 Month LIBOR USD + 2.40%)      4.47%  ^     06/15/2027      3,266,638  
2,608,000    BX Commercial Mortgage Trust, Series 2018-BIOA-D, (1 Month LIBOR USD + 1.32%, 1.35% Floor)      3.39%  ^     03/16/2037      2,599,918  
2,791,801    BX Trust, Series 2017-APPL-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.12%  ^     07/17/2034      2,806,116  
4,320,192    BX Trust, Series 2017-APPL-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%  ^     07/17/2034      4,354,777  
3,215,000    BX Trust, Series 2017-IMC-D, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.32%  ^     10/15/2032      3,224,992  
5,186,000    BX Trust, Series 2017-IMC-E, (1 Month LIBOR USD + 3.25%, 3.25% Floor)      5.32%  ^     10/15/2032      5,212,823  
2,947,000    BX Trust, Series 2017-SLCT-D, (1 Month LIBOR USD + 2.05%)      4.12%  ^     07/17/2034      2,953,455  
4,846,000    BX Trust, Series 2017-SLCT-E, (1 Month LIBOR USD + 3.15%)      5.22%  ^     07/17/2034      4,871,786  
7,534,000    BX Trust, Series 2018-BIOA-E, (1 Month LIBOR USD + 1.95%, 1.98% Floor)      4.02%  ^     03/16/2037      7,512,489  
3,962,000    BX Trust, Series 2018-GW, (1 Month LIBOR USD + 2.42%, 2.42% Floor)      4.32%  ^     05/15/2037      3,976,282  
3,159,000    BX Trust, Series 2018-GW, (1 Month LIBOR USD + 1.97%, 1.97% Floor)      3.87%  ^     05/15/2037      3,166,539  
2,357,000    BX Trust, Series 2018-GW-G, (1 Month LIBOR USD + 2.92%, 2.92% Floor)      4.82%  ^     05/15/2037      2,367,765  
9,267,000    BX Trust, Series 2018-MCSF, (1 Month LIBOR USD + 2.65%, 2.65% Floor)      4.72%  ^     04/16/2035      9,206,483  
68,097,254    CD Commercial Mortgage Trust, Series 2017-CD3-XA      1.19%  #I/O     02/11/2050      4,680,052  
67,653,142    CD Commercial Mortgage Trust, Series 2017-CD4-XA      1.48%  #I/O     05/12/2050      5,675,990  
21,811,961    CFCRE Commercial Mortgage Trust, Series 2016-C3-XA      1.22%   #I/O     01/10/2048      1,385,378  
38,263,952    CFCRE Commercial Mortgage Trust, Series 2016-C4-XA      1.90%  #I/O     05/10/2058      3,865,436  
58,907,433    CFCRE Commercial Mortgage Trust, Series 2017-C8-XA      1.83%  #I/O     06/17/2050      6,099,093  
16,201,000    CFCRE Commercial Mortgage Trust, Series 2017-C8-XB      1.12%  #I/O     06/17/2050      1,183,789  
39,410,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-X      1.85%  #^I/O     02/17/2033      2,686,643  
3,277,000    CGDBB Commercial Mortgage Trust, Series 2017-BIOC-D, (1 Month LIBOR USD + 1.60%, 1.60% Floor)      3.67%  ^    07/15/2032      3,284,482  
4,587,000    CGDBB Commercial Mortgage Trust, Series 2017-BIOC-E, (1 Month LIBOR USD + 2.15%, 2.25% Floor)      4.22%  ^     07/15/2032      4,584,534  
9,155,000    CGGS Commercial Mortgage Trust, Series 2018-WSS-D, (1 Month LIBOR USD + 2.30%, 2.30% Floor)      4.37%  ^     02/17/2037      9,196,038  
736,000    CHT Mortgage Trust, Series 2017-CSMO-E, (1 Month LIBOR USD + 3.00%, 3.00% Floor)      5.07%  ^     11/17/2036      741,718  
1,039,000    CHT Mortgage Trust, Series 2017-CSMO-F, (1 Month LIBOR USD + 3.74%, 3.80% Floor)      5.81%  ^     11/15/2036      1,049,264  
448,758    Citigroup Commercial Mortgage Trust, Series 2008-C7-AM      6.34%  #     12/10/2049      448,135  
7,986,102    Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA      1.18%  #I/O     10/11/2047      415,172  
1,430,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.58%  #^     02/12/2048      1,239,835  
5,777,079    Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA      1.54%  #I/O     02/12/2048      404,998  
1,750,000    Citigroup Commercial Mortgage Trust, Series 2015-GC31-C      4.20%  #     06/12/2048      1,657,388  
19,767,026    Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA      1.48%  #I/O     02/12/2049      1,498,301  
14,404,105    Citigroup Commercial Mortgage Trust, Series 2016-P3-XA      1.87%  #I/O     04/16/2049      1,380,844  
17,825,049    Citigroup Commercial Mortgage Trust, Series 2016-P4-XA      2.16%  #I/O     07/10/2049      2,067,084  
34,905,681    Citigroup Commercial Mortgage Trust, Series 2017-P7-XA      1.29%  #I/O     04/15/2050      2,624,757  
3,479,000    CLNS Trust, Series 2017-IKPR-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.10%  ^     06/11/2032      3,487,376  
3,479,000    CLNS Trust, Series 2017-IKPR-E, (1 Month LIBOR USD + 3.50%, 3.50% Floor)      5.55%  ^     06/11/2032      3,498,074  
3,479,000    CLNS Trust, Series 2017-IKPR-F, (1 Month LIBOR USD + 4.50%, 4.50% Floor)      6.55%  ^     06/11/2032      3,510,091  
2,260,289    COBALT Commercial Mortgage Trust, Series 2007-C2-AJFX      5.57%  #     04/17/2047      2,270,372  
2,305,000    Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-C      4.44%  #^     10/17/2045      2,085,605  
5,636,000    Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-D      4.73%  #^     10/17/2045      2,904,158  
9,218,120    Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA      0.95%  #I/O     08/10/2046      265,296  
8,870,000    Commercial Mortgage Pass-Through Certificates, Series 2013-CR11-D      5.33%  #^     08/12/2050      8,406,364  
29,413,359    Commercial Mortgage Pass-Through Certificates, Series 2013-CR12-XA      1.43%  #I/O     10/15/2046      1,305,065  
7,526,000    Commercial Mortgage Pass-Through Certificates, Series 2013-LC13-D      5.29%  #^     08/10/2046      7,271,845  
3,055,684    Commercial Mortgage Pass-Through Certificates, Series 2014-CR17-XA      1.24%  #I/O     05/10/2047      127,868  
300,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR19-C      4.87%  #     08/10/2047      298,042  
500,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C      4.65%  #     11/10/2047      495,495  
110,000    Commercial Mortgage Pass-Through Certificates, Series 2014-TWC-C, (1 Month LIBOR USD + 1.85%, 1.85% Floor)      3.90%  ^     02/13/2032      110,361  
1,500,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-D      4.26%  #^     03/12/2048      1,255,913  
21,790,963    Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-XA      1.12%  #I/O     03/12/2048      939,783  
1,500,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR23-D      4.39%  #     05/10/2048      1,236,268  
1,386,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR25-C      4.70%  #     08/10/2048      1,375,027  
42,650,751    Commercial Mortgage Pass-Through Certificates, Series 2015-CR27-XA      1.29%  #I/O     10/13/2048      2,382,612  
1,000,000    Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-D      4.50%  #^     02/12/2048      853,341  
12,098,625    Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA      1.28%  #I/O     02/12/2048      599,108  
1,470,000    Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-C      4.80%  #     10/13/2048      1,461,514  
1,966,000    Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C      4.80%  #     02/12/2049      1,994,825  
17,558,938    Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-XA      1.21%  #I/O     02/12/2049      1,051,315  
38,011,063    Commercial Pass-Through Certificates, Series 2015-CR25-XA      1.08%  #I/O     08/12/2048      1,864,032  
59,514,078    Commercial Pass-Through Certificates, Series 2015-LC21-XA      0.98%  # I/O     07/10/2048      2,180,566  
1,394,738    Credit Suisse Commercial Mortgage Trust, Series 2007-C1-AM      5.42%       02/17/2040      1,415,239  
379,880    Credit Suisse Mortgage Capital Certificates, Series 2008-C1-AM      6.17%  #^     02/15/2041      379,401  
10,092,000    Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1      0.70%  #^I/O     09/17/2037      322,586  
30,199,957    CSAIL Commercial Mortgage Trust, Series 2015-C1-XA      1.07%  #I/O     04/15/2050      1,348,881  
4,750,351    CSAIL Commercial Mortgage Trust, Series 2016-C6-XA      1.96%  #I/O     01/15/2049      459,137  
6,650,000    CSMC Mortgage Securities Trust, Series 2017-LSTK-E      3.44%  #^     04/07/2033      6,484,307  
7,370,000    CSMC Trust, Series 2017-CHOP-E, (1 Month LIBOR USD + 3.30%, 3.30% Floor)      5.37%  ^     07/15/2032      7,408,838  
3,750,000    DBCG Mortgage Trust, Series 2017-BBG-C, (1 Month LIBOR USD + 1.00%, 1.10% Floor)      3.07%  ^     06/16/2034      3,755,973  
9,876,000    DBGS Mortgage Trust, Series 2018-5BP-F, (1 Month LIBOR USD + 2.45%, 2.45% Floor)      4.35%  ^     06/15/2033      9,837,168  
5,324,000    DBGS Mortgage Trust, Series 2018-BIOD-C, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      2.85%  ^     05/15/2035      5,276,356  
19,425,340    Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA      1.64%  #I/O     05/10/2049      1,686,168  
2,067,109    FORT LLC, Series 2016-1A-B, (1 Month LIBOR USD + 2.75%, 2.75% Floor)      4.84%  ^     05/21/2036      2,076,692  
2,163,133    FREMF Mortgage Trust, Series 2016-KF22-B, (1 Month LIBOR USD + 5.05%, 5.05% Floor)      7.05%  ^     07/25/2023      2,182,657  
606,985    GE Commercial Mortgage Corporation Trust, Series 2007-C1-AM      5.61%  #     12/10/2049      602,404  
2,488,000    GMAC Commercial Mortgage Securities Trust, Series 2004-C3-D      5.04%  #     12/10/2041      2,489,427  
2,806,000    GMAC Commercial Mortgage Securities Trust, Series 2004-C3-E      5.14%  #^     12/10/2041      2,749,583  
350,000    Grace Mortgage Trust, Series 2014-GRCE-A      3.37%  ^     06/12/2028      351,791  
2,465,000    Great Wolf Trust, Series 2017-WOLF-D, (1 Month LIBOR USD + 2.10%, 1.00% Floor)      4.32%  ^     09/15/2034      2,474,330  
3,821,000    Great Wolf Trust, Series 2017-WOLF-E, (1 Month LIBOR USD + 3.10%, 1.00% Floor)      5.32%  ^     09/15/2034      3,844,480  
2,034,000    Great Wolf Trust, Series 2017-WOLF-F, (1 Month LIBOR USD + 4.07%, 1.00% Floor)      6.29%  ^     09/15/2034      2,048,652  
300,000    GS Mortgage Securities Corporation, Series 2013-KING-C      3.55%  #^     12/10/2027      298,648  
9,907,371    GS Mortgage Securities Corporation, Series 2014-GC20-XA      1.17%  #I/O     04/10/2047      429,191  
4,362,887    GS Mortgage Securities Corporation, Series 2014-GC24-XA      0.95%  #I/O     09/12/2047      155,273  
36,552,993    GS Mortgage Securities Corporation, Series 2015-GC32-XA      0.99%  #I/O     07/10/2048      1,554,540  
9,810,899    GS Mortgage Securities Corporation, Series 2015-GC34-XA      1.50%  #I/O     10/10/2048      694,338  
1,503,000    GS Mortgage Securities Trust, Series 2013-GC13-D      4.22%  #^     07/12/2046      1,380,453  
1,963,000    GS Mortgage Securities Trust, Series 2014-GC26-D      4.66%  #^     11/13/2047      1,687,527  
9,079,616    GS Mortgage Securities Trust, Series 2015-GS1-XA      0.96%  #I/O     11/10/2048      435,620  
19,694,100    GS Mortgage Securities Trust, Series 2016-GS2-XA      1.81%  #I/O     05/12/2049      1,818,181  
34,209,853    GS Mortgage Securities Trust, Series 2016-GS3-XA      1.40%  #I/O     10/13/2049      2,646,950  
81,340,509    GS Mortgage Securities Trust, Series 2017-GS6-XA      1.20%  #I/O     05/12/2050      6,185,498  
5,382,000    GSCCRE Commercial Mortgage Trust, Series 2015-HULA-D, (1 Month LIBOR USD + 3.75%)      5.82%  ^     08/16/2032      5,410,424  
8,000,000    Hunt Ltd., Series 2017-FL1-C, (1 Month LIBOR USD + 2.40%)      4.47%  ^     08/17/2034      8,064,016  
8,197,000    Hyatt Hotel Portfolio Trust, Series 2017-HYT2-E, (1 Month LIBOR USD + 2.35%, 2.35% Floor)      4.43%  ^     08/16/2032      8,225,233  
2,355,000    IMT Trust, Series 2017-APTS-EFL, (1 Month LIBOR USD + 2.15%)      4.22%  ^     06/15/2034      2,355,424  
305,000    IMT Trust, Series 2017-APTS-FFL, (1 Month LIBOR USD + 2.85%)      4.92%  ^     06/15/2034      305,873  
493,246    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP9-AM      5.37%       05/15/2047      493,675  
2,157,348    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-C1-AM      6.11%  #     02/15/2051      2,153,172  
350,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-DSTY-A      3.43%  ^     06/10/2027      349,575  
22,650,258    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA      1.29%  #I/O     01/15/2049      1,126,028  
1,872,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-B, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.07%  ^     06/15/2032      1,873,617  
1,414,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.32%  ^     06/15/2032      1,419,434  
4,578,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-D, (1 Month LIBOR USD + 1.90%, 1.90% Floor)      3.97%  ^     06/15/2032      4,566,962  
1,969,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.30%  ^     07/17/2034      1,972,872  
1,847,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-D, (1 Month LIBOR USD + 1.95%, 1.95% Floor)      4.00%  ^     07/17/2034      1,854,225  
1,635,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-E, (1 Month LIBOR USD + 2.95%, 2.95% Floor)      5.00%  ^     07/17/2034      1,644,636  
2,302,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-F, (1 Month LIBOR USD + 3.75%, 3.75% Floor)      5.80%  ^     07/17/2034      2,318,437  
6,165,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-C, (1 Month LIBOR USD + 1.60%, 1.60% Floor)      3.60%  ^     06/15/2032      6,181,115  
863,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-D, (1 Month LIBOR USD + 2.10%, 2.30% Floor)      4.10%  ^     06/15/2032      865,197  
2,283,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-E, (1 Month LIBOR USD + 3.00%, 3.35% Floor)      5.00%  ^     06/15/2032      2,288,634  
5,625,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2004-CBX-D      5.10%  #     01/12/2037      5,705,373  
6,613,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9-AMS      5.34%       05/15/2047      6,595,636  
1,118,394    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11-AM      6.16%  #     06/15/2049      1,129,510  
553,798    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM      5.46%  #     01/15/2049      554,342  
3,232,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-FRR1-A707      4.35%  ^     01/29/2047      3,211,158  
4,645,251    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-FL7-C, (1 Month LIBOR USD + 2.85%, 2.85% Floor)      4.92%  ^     05/15/2028      4,651,090  
2,369,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-MAR7-D      5.23%  ^     06/07/2032      2,347,188  
2,362,198    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-B, (1 Month LIBOR USD + 2.15%, 2.15% Floor)      4.22%  ^     10/16/2034      2,365,645  
1,333,959    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-C, (1 Month LIBOR USD + 2.75%, 2.75% Floor)      4.82%  ^     10/16/2034      1,337,240  
39,758,066    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4-XA      0.94%  #I/O     12/17/2049      1,664,782  
3,776,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E      4.14%  #^     10/05/2031      3,680,179  
6,518,500    JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA      1.10%  #I/O     02/15/2047      248,386  
17,382,982    JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XA      1.19%  #I/O     08/16/2047      840,271  
500,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C      4.60%  #     09/15/2047      502,495  
22,726,180    JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA      1.10%  #I/O     11/18/2047      951,704  
1,303,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C      4.57%  #     01/17/2048      1,281,943  
7,402,742    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA      1.26%  #I/O     01/17/2048      322,162  
1,000,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D      3.98%  #^     02/18/2048      882,683  
27,858,237    JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA      0.97%  #I/O     05/15/2048      899,437  
29,688,492    JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA      0.77%  #I/O     07/15/2048      870,027  
12,764,786    JPMBB Commercial Mortgage Securities Trust, Series 2015-C31-XA      1.12%  #I/O     08/17/2048      622,084  
25,106,866    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA      1.61%  #I/O     11/15/2048      1,357,345  
580,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C      4.77%  #     12/17/2048      582,342  
52,955,098    JPMDB Commercial Mortgage Securities Trust, Series 2016-C4-XA      0.96%  #I/O     12/17/2049      2,899,360  
10,000,000    LCCM, Series 2017-LC26-C      4.71%  ^     07/12/2050      9,685,585  
11,014,491    LSTAR Commercial Mortgage Trust, Series 2016-4-XA      2.10%  #^I/O     03/12/2049      780,361  
88,983,577    LSTAR Commercial Mortgage Trust, Series 2017-5-X      1.39%  #^I/O     03/11/2050      4,278,464  
300,000    Madison Avenue Trust, Series 2013-650M-D      4.17%  #^     10/12/2032      300,086  
2,366,000    Marathon CRE, Series 2018-FL1-AS, (1 Month LIBOR USD + 1.55%, 1.55% Floor)      0.01%  ^     06/15/2028      2,369,490  
2,512,000    Marathon CRE, Series 2018-FL1-C, (1 Month LIBOR USD + 2.60%, 2.60% Floor)      0.01%  ^     06/15/2028      2,520,729  
22,142    Merrill Lynch Mortgage Trust, Series 2006-C1-AJ      5.78%  #     05/12/2039      22,268  
552,229    Merrill Lynch Mortgage Trust, Series 2007-C1-AM      5.99%  #     06/12/2050      552,838  
10,600,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV-CK      4.30%  ^     10/18/2030      8,679,440  
4,741,925    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12-XA      0.99%  #I/O     10/15/2046      113,890  
16,793,583    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7-XA      1.52%  #I/O     02/16/2046      863,165  
9,241,641    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14-XA      1.31%  #I/O     02/15/2047      296,079  
500,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C      4.49%  #     10/15/2047      483,718  
620,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C      4.00%       12/17/2047      588,974  
120,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C      4.61%  #     02/15/2048      118,035  
5,965,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-D      3.07%  ^     02/15/2048      4,803,055  
2,000,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26-D      3.06%  ^     10/19/2048      1,610,978  
21,607,261    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28-XA      1.43%  #I/O     01/15/2049      1,508,924  
4,721,000    Morgan Stanley Capital Trust, Series 2007-IQ15-B      6.28%  #^     06/11/2049      4,760,478  
2,330,000    Morgan Stanley Capital Trust, Series 2017-ASHF-D, (1 Month LIBOR USD + 2.20%, 2.20% Floor)      4.27%  ^     11/15/2034      2,341,685  
3,494,000    Morgan Stanley Capital Trust, Series 2017-ASHF-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%  ^     11/15/2034      3,494,870  
2,647,000    Morgan Stanley Capital Trust, Series 2017-ASHF-F, (1 Month LIBOR USD + 4.35%, 4.35% Floor)      6.42%  ^     11/15/2034      2,665,222  
2,680,000    Morgan Stanley Capital Trust, Series 2017-CLS-E, (1 Month LIBOR USD + 1.95%, 1.95% Floor)      4.02%  ^     11/15/2034      2,681,901  
2,977,000    Morgan Stanley Capital Trust, Series 2017-CLS-F, (1 Month LIBOR USD + 2.60%, 2.60% Floor)      4.67%  ^     11/15/2034      2,979,838  
821,000    Morgan Stanley Capital, Inc., Series 2014-CPT-E      3.56%  #^     07/13/2029      804,887  
1,386,000    Morgan Stanley Capital, Inc., Series 2014-CPT-F      3.56%  #^     07/13/2029      1,353,074  
1,466,000    Morgan Stanley Capital, Inc., Series 2014-CPT-G      3.56%  #^     07/13/2029      1,413,193  
500,000    Morgan Stanley Capital, Inc., Series 2014-MP-D      3.82%  #^     08/11/2029      492,849  
86,829,951    Morgan Stanley Capital, Inc., Series 2016-UB12-XA      0.95%  #I/O     12/17/2049      4,097,749  
6,295,269    Motel 6 Trust, Series 2017-MTL6-D, (1 Month LIBOR USD + 2.15%, 2.15% Floor)      4.22%  ^     08/15/2034      6,319,932  
3,165,722    Motel 6 Trust, Series 2017-MTL6-F, (1 Month LIBOR USD + 4.25%, 4.25% Floor)      6.32%  ^     08/15/2034      3,202,358  
1,250,178    MSCG Trust, Series 2016-SNR-C      5.21%  ^     11/16/2034      1,246,809  
9,940,000    Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-C, (1 Month LIBOR USD + 2.20%, 2.20% Floor)      4.12%  ^     06/15/2035      9,940,815  
5,328,792    PFP Ltd., Series 2017-4-C, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.32%  ^     09/16/2033      5,342,109  
6,614,000    RAIT Trust, Series 2017-FL7-B, (1 Month LIBOR USD + 1.60%, 1.60% Floor)      3.67%  ^     06/15/2037      6,616,832  
4,991,948    Resource Capital Ltd., Series 2017-CRE5-B, (1 Month LIBOR USD + 2.00%)      4.07%  ^     07/15/2034      4,992,152  
4,677,059    RRX Trust, Series 2014-1A-A      0.00%  ^P/O     08/26/2044      4,691,983  
9,657,474    Tharaldson Hotel Portfolio Trust, Series 2018-THL-E, (1 Month LIBOR USD + 3.18%, 3.10% Floor)      5.23%  ^     11/13/2034      9,692,185  
2,034,000    UBS Commercial Mortgage Trust, Series 2017-C1-XB      1.06%  #I/O     06/17/2050      145,261  
6,009,000    UBS Commercial Mortgage Trust, Series 2018-C8-C      4.86%  #     02/17/2051      5,905,227  
87,705,128    UBS Commercial Mortgage Trust, Series 2018-C8-XA      1.05%  #I/O     02/17/2051      5,801,019  
5,929,000    UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1-D      6.25%  #^     01/12/2045      6,219,500  
2,776,975    Wachovia Bank Commercial Mortgage Trust, Series 2006-C25-F      5.36%  #     05/15/2043      2,769,862  
467,092    Wachovia Bank Commercial Mortgage Trust, Series 2006-C26-AM      6.20%  #     06/15/2045      471,782  
4,915,589    Wachovia Bank Commercial Mortgage Trust, Series 2006-C28-C      5.69%  #     10/15/2048      4,938,936  
2,275,847    Wachovia Bank Commercial Mortgage Trust, Series 2007-C31-AJ      5.66%  #     04/15/2047      2,285,861  
748,345    Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AM      6.21%  #     02/15/2051      762,073  
1,900,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-D      3.94%  ^     08/17/2050      1,568,947  
540,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-B      3.96%       12/17/2047      538,282  
13,100,753    Wells Fargo Commercial Mortgage Trust, Series 2015-C27-XA      1.05%  #I/O     02/18/2048      614,497  
55,525,784    Wells Fargo Commercial Mortgage Trust, Series 2015-C30-XA      1.09%  #I/O     09/17/2058      2,931,101  
2,000,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C      4.76%  #     11/15/2048      1,993,784  
21,744,957    Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA      1.24%  #I/O     11/15/2048      1,310,264  
32,217,329    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-XA      0.90%  #I/O     07/17/2058      1,134,098  
1,340,000    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3-C      4.64%  #     09/15/2057      1,297,282  
1,150,000    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-E      3.75%  #^     12/17/2048      856,436  
1,443,000    Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C      4.88%  #     01/17/2059      1,419,078  
15,004,763    Wells Fargo Commercial Mortgage Trust, Series 2016-C33-XA      1.96%  #I/O     03/15/2059      1,425,185  
25,663,774    Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-XA      1.87%  #I/O     10/18/2049      2,617,469  
77,500,380    Wells Fargo Commercial Mortgage Trust, Series 2017-C38-XA      1.23%  #I/O     07/15/2050      5,556,235  
16,244,986    Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-XA      1.72%  #I/O     01/16/2060      1,540,364  
4,517,000    Wells Fargo Commercial Mortgage Trust, Series 2018-BXI-E, (1 Month LIBOR USD + 2.16%)      4.23%  ^     12/15/2036      4,507,865  
167,000    WF-RBS Commercial Mortgage Trust, Series 2013-C17-D      5.29%  #^     12/17/2046      158,995  
3,640,844    WF-RBS Commercial Mortgage Trust, Series 2014-C19-XA      1.27%  #I/O     03/15/2047      159,294  
9,351,088    WF-RBS Commercial Mortgage Trust, Series 2014-C21-XA      1.23%  #I/O     08/16/2047      439,422  
29,202,569    WF-RBS Commercial Mortgage Trust, Series 2016-NXS6-XA      1.79%  #I/O     11/18/2049      2,651,684  
           

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $631,812,805)

 

                 616,381,055  
           

 

 

  

Non-Agency Residential Collateralized Mortgage Obligations - 11.3%

 

      
24,098,218    Ajax Mortgage Loan Trust, Series 2016-B-A      4.00%  ^§     09/25/2065      24,206,535  
10,426,778    Alternative Loan Trust, Series 2005-49CB-A6      5.50%       11/25/2035      9,836,518  
12,374,621    Alternative Loan Trust, Series 2005-62-1A1, (1 Month LIBOR USD + 0.30%, 0.30% Floor)      2.39%       12/25/2035      11,068,172  
10,644,006    Alternative Loan Trust, Series 2007-HY9-A2, (1 Month LIBOR USD + 0.27%, 0.27% Floor)      2.36%       08/25/2047      9,280,286  
1,750,000    Banc of America Funding Corporation, Series 2005-B-3M1, (1 Month LIBOR USD + 0.68%, 0.45% Floor, 11.00% Cap)      2.76%       04/20/2035      1,668,951  
3,253,531    Banc of America Funding Corporation, Series 2006-7-T2A1      5.88%  #     10/25/2036      2,988,491  
8,802,374    Banc of America Mortgage Securities Trust, Series 2007-3-1A1      6.00%       09/25/2037      8,552,982  
4,284,287    Bayview Opportunity Master Fund Trust, Series 2017-RN6-A1      3.10%  ^§     08/30/2032      4,271,876  
30,611,529    Bayview Opportunity Master Fund Trust, Series 2018-SBR2-A1      3.84%  ^§     04/28/2033      30,687,819  
2,701,002    BCAP LLC Trust, Series 2012-RR1-3A4      5.50%  #^     10/26/2035      2,530,713  
11,586,511    CIM Trust, Series 2016-3RR-B2, (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.48%  ^     02/25/2056      11,992,757  
938,724    Citicorp Residential Mortgage Securities, Inc., Series 2007-1-A4      5.45%  ß     03/25/2037      967,796  
1,567,555    CitiMortgage Alternative Loan Trust, Series 2007-A5-1A10      5.75%       05/25/2037      1,502,828  
26,682,298    COLT Mortgage Loan Trust, Series 2018-1-A1      2.93%  #^     02/25/2048      26,625,996  
85,998    Countrywide Alternative Loan Trust, Series 2004-33-1A1      3.89%  #     12/25/2034      88,142  
731,537    Countrywide Alternative Loan Trust, Series 2005-23CB-A15      5.50%       07/25/2035      692,678  
2,578,832    Countrywide Alternative Loan Trust, Series 2005-28CB-1A6      5.50%       08/25/2035      2,501,193  
2,628,870    Countrywide Alternative Loan Trust, Series 2006-J6-A5      6.00%       09/25/2036      2,281,828  
536,647    Countrywide Alternative Loan Trust, Series 2007-15CB-A7      6.00%       07/25/2037      486,481  
1,760,562    Countrywide Home Loans, Series 2005-10-A2      5.50%       05/25/2035      1,650,952  
975,020    Countrywide Home Loans, Series 2007-14-A15      6.50%       09/25/2037      886,968  
5,731    Credit Suisse First Boston Mortgage Securities Corporation, Series 2004-8-6A1      4.50%       12/25/2019      5,791  
2,839,901    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-2A1      6.00%       12/25/2035      2,700,439  
111,377    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-8A5      6.00%       12/25/2035      109,629  
1,120,519    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-9-5A9      5.50%       10/25/2035      1,007,484  
1,000,000    Credit Suisse Mortgage Capital Certificates, Series 2011-12R-3A5      3.33%  #^     07/27/2036      1,007,012  
806,547    Credit Suisse Mortgage Capital Certificates, Series 2011-5R-6A9      3.65%  #^     11/30/2037      814,569  
8,127,876    Credit Suisse Mortgage Trust, Series 2017-1A-A      4.50%  ^     03/25/2021      8,201,779  
15,000,000    CSMC Trust, Series 2018-5R-1A1, (1 Month LIBOR USD + 1.30%, 1.30% Floor)      3.28%  ^     11/02/2046      15,008,895  
4,036,002    Deephaven Residential Mortgage Trust, Series 2017-1A-A1      2.73%  #^     12/26/2046      4,029,064  
730,137    Deutsche Mortgage & Asset Receiving Corporation, Series 2014-RS1-1A2      6.83%  #^Þ     07/28/2037      654,437  
972,388    Deutsche Securities, Inc., Series 2006-AB4-A1A      6.01%  #     10/25/2036      925,845  
3,462,242    Ellington Financial Mortgage Trust, Series 2017-1-A1      2.69%  #^     10/25/2047      3,430,268  
3,552,189    Ellington Financial Mortgage Trust, Series 2017-1-A2      2.74%  #^     10/25/2047      3,511,612  
2,470,684    Ellington Financial Mortgage Trust, Series 2017-1-A3      2.84%  #^     10/25/2047      2,439,345  
13,827,918    GCAT LLC, Series 2017-2-A1      3.50%  ^§     04/25/2047      13,749,739  
1,977,912    GCAT LLC, Series 2017-3-A1      3.35%  ^§     04/25/2047      1,971,505  
5,077,797    GCAT LLC, Series 2017-5-A1      3.23%  ^§     06/25/2047      5,062,111  
16,430,019    GCAT LLC, Series 2018-1-A1      3.84%  ^§     06/25/2048      16,460,210  
116,828    GMACM Mortgage Loan Trust, Series 2005-J1-A6      6.00%       12/25/2035      113,225  
5,412,302    GSAA Home Equity Trust, Series 2005-11-2A1 (1 Month LIBOR USD + 2.80%, 0.28% Floor)      2.37%  #     10/25/2035      5,396,243  
1,214    GSR Mortgage Loan Trust, Series 2004-2F-14A1      5.50%       09/25/2019      1,221  
664,431    GSR Mortgage Loan Trust, Series 2006-2F-3A4      6.00%       02/25/2036      551,453  
24,822    Home Equity Mortgage Trust, Series 2003-6-M2, (1 Month LIBOR USD + 2.20%, 1.70% Floor)      4.29%       03/25/2034      24,852  
257,507    HSI Asset Loan Obligation Trust, Series 2006-2-1A1      6.00%       12/25/2036      168,005  
1,113,349    Impac Secured Assets Trust, Series 2006-5-1A1C, (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap)      2.36%       02/25/2037      967,922  
2,071,467    IndyMac Mortgage Loan Trust, Series 2006-AR5-2A1      3.65%  #     05/25/2036      1,881,348  
11,139,310    JP Morgan Alternative Loan Trust 2007-S1, Series 2007-S1-A2, (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.50% Cap)      2.43%       06/25/2037      10,858,252  
18,526,338    Legacy Mortgage Asset Trust, Series 2017-GS1-A1      3.50%  ^§     01/25/2057      18,255,199  
22,500,000    Legacy Mortgage Asset Trust, Series 2018-GS2-A1      4.00%  ^§     04/25/2058      22,507,897  
347,526    Lehman Mortgage Trust, Series 2006-1-1A3      5.50%       02/25/2036      301,449  
5,585    Lehman XS Trust, Series 2005-6-3A2B      5.42%  ß     11/25/2035      5,585  
207,511    MASTR Adjustable Rate Mortgages Trust, Series 2006-2-2A1      3.77%  #     04/25/2036      191,078  
521,202    Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A6      6.00%       03/25/2037      412,386  
1,957,322    Merrill Lynch Mortgage Investors Trust, Series 2006-AF1-AF2C      6.25%       08/25/2036      1,582,325  
28,996,820    Morgan Stanley Capital Trust, Series 2006-HE3-A2D, (1 Month LIBOR USD + 0.25%, 0.25% Floor)      2.34%       04/25/2036      27,259,841  
402,016    Morgan Stanley Mortgage Loan Trust, Series 2006-2-7A1      5.57%  #     02/25/2036      360,772  
17,000,000    Nationstar HECM Loan Trust, Series 2017-2A-M1      2.82%  #^     09/25/2027      16,905,701  
3,500,000    Nationstar HECM Loan Trust, Series 2018-1A-M2      3.47%  #^     02/25/2028      3,504,361  
5,500,000    Nationstar HECM Loan Trust, Series 2018-1A-M3      3.79%  #^     02/25/2028      5,506,859  
13,468,644    Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1-A1      3.00%  ^§     06/25/2057      13,377,048  
13,903,689    Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2-A1      3.00%  ^§     07/25/2057      13,800,564  
12,490,042    Preston Ridge Partners Mortgage Trust, Series 2017-2A-A1      3.47%  ^§     09/25/2022      12,447,310  
15,543,231    Pretium Mortgage Credit Partners LLC, Series 2017-NPL3-A1      3.25%  ^§     06/29/2032      15,485,953  
27,750,000    Pretium Mortgage Credit Partners LLC, Series 2018-NPL3-A1      4.13%  ^§     08/29/2033      27,819,375  
5,568,830    RCO Trust, Series 2016-SFR1-A      3.75%  #^     11/27/2051      5,582,947  
6,103,915    RCO Trust, Series 2017-INV1-A      3.20%  #^     11/25/2052      6,167,491  
3,452,330    RCO Trust, Series 2017-INV1-M1      3.90%  #^     11/25/2052      3,483,328  
1,228,817    Residential Accredit Loans, Inc., Series 2006-QS12-2A3      6.00%       09/25/2036      1,174,795  
1,677,137    Residential Accredit Loans, Inc., Series 2007-QS9-A33      6.50%       07/25/2037      1,562,274  
920,451    Residential Asset Securitization Trust, Series 2006-A2-A11      6.00%       01/25/2046      690,189  
5,506,799    SG Mortgage Securities Trust, Series 2017-1-A1      3.71%  #^     04/25/2047      5,444,572  
3,865,034    Shellpoint Co-Originator Trust, Series 2016-1-1A10      3.50%  #^     11/25/2046      3,839,126  
5,107,396    Soundview Home Loan Trust, Series 2007-OPT3-2A3, (1 Month LIBOR USD + 0.18%, 0.18% Floor)      2.27%       08/25/2037      4,990,907  
7,199,809    Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1      3.75%  #     12/25/2035      6,928,424  
1,597,895    Structured Asset Securities Corporation, Series 2005-16-1A2      5.50%       09/25/2035      1,602,801  
2,496,712    Towd Point Mortgage Trust, Series 2015-2-1A13      2.50%  #^     11/25/2060      2,450,956  
4,831,823    US Residential Opportunity Fund Trust, Series 2017-1III-A      3.35%  ^§     11/27/2037      4,821,905  
9,874,317    Verus Securitization Trust, Series 2018-1-A1      2.93%  #^     01/25/2058      9,816,652  
692,572    Velocity Commercial Capital Loan Trust, Series 2015-1-AFL, (1 Month LIBOR USD + 2.43%, 2.43% Floor)      4.52%  ^     06/25/2045      699,043  
2,528,910    Velocity Commercial Capital Loan Trust, Series 2016-1-AFX      3.53%  #^     04/25/2046      2,518,756  
8,009,764    VOLT LLC, Series 2017-NP10-A1      3.00%  ^§     10/25/2047      7,946,679  
2,982,929    VOLT LLC, Series 2017-NPL1-A1      3.50%  ^§     02/25/2047      2,990,068  
11,122,527    VOLT LLC, Series 2017-NPL3-A1      3.50%  ^§     03/25/2047      11,124,375  
9,954,454    VOLT LLC, Series 2017-NPL4-A1      3.38%  ^§     04/25/2047      9,950,379  
4,190,800    VOLT LLC, Series 2017-NPL5-A1      3.38%  ^§     05/28/2047      4,194,279  
7,340,770    VOLT LLC, Series 2017-NPL6-A1      3.25%  ^§     05/28/2047      7,305,171  
11,065,081    VOLT LLC, Series 2017-NPL7-A1      3.25%  ^§     06/25/2047      11,031,011  
10,408,110    VOLT LLC, Series 2017-NPL8-A1      3.13%  ^§     06/25/2047      10,361,535  
17,146,221    VOLT LLC, Series 2017-NPL9-A1      3.13%  ^§     09/25/2047      17,048,127  
7,431,925    WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10-2A1      3.46%  #     09/25/2036      7,382,496  
163,092    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-1A5      6.00%       07/25/2036      149,797  
1,692,330    Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1      6.25%       11/25/2037      1,674,281  
4,832,903    Wells Fargo Mortgage Backed Securities Trust, Series 2007-11-A85      6.00%       08/25/2037      4,680,163  
6,646,778    Wells Fargo Mortgage Backed Securities Trust, Series 2007-13-A7      6.00%       09/25/2037      6,673,226  
           

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $599,939,692)

 

         599,831,673  
           

 

 

  

US Corporate Bonds - 5.7%

 

      
5,459,000    Amazon.com, Inc.      2.60%       12/05/2019      5,464,485  
6,945,000    American Express Company, (3 Month LIBOR USD + 0.65%)      2.97%       02/27/2023      6,935,640  
2,740,000    American Honda Finance Corporation      1.95%       07/20/2020      2,683,843  
9,010,000    Amgen, Inc.      2.20%       05/11/2020      8,871,209  
4,270,000    Analog Devices, Inc.      2.95%       01/12/2021      4,235,917  
5,390,000    Anthem, Inc.      2.50%       11/21/2020      5,301,298  
8,490,000    AT&T, Inc.      2.80%       02/17/2021      8,359,473  
4,165,000    Bank of America Corporation, (3 Month LIBOR USD + 0.79%)      3.11%       03/05/2024      4,153,762  
5,385,000    BAT Capital Corporation      2.30%  ^     08/14/2020      5,271,331  
6,105,000    Berkshire Hathaway Finance Corporation      1.30%       08/15/2019      6,013,988  
4,078,000    Boston Properties LP      5.88%       10/15/2019      4,201,067  
7,860,000    Capital One Financial Corporation      2.40%       10/30/2020      7,670,461  
7,390,000    Cardinal Health, Inc.      1.95%       06/14/2019      7,330,326  
8,255,000    Celgene Corporation      2.88%       08/15/2020      8,202,402  
9,105,000    Cintas Corporation      2.90%       04/01/2022      8,909,340  
4,100,000    Citigroup, Inc., (3 Month LIBOR USD + 1.02%)      3.35%       06/01/2024      4,106,995  
7,575,000    Consolidated Edison, Inc.      2.00%       03/15/2020      7,438,522  
1,245,000    Consolidated Edison, Inc.      2.00%       05/15/2021      1,202,102  
7,825,000    CVS Health Corporation      2.80%       07/20/2020      7,762,480  
3,295,000    Daimler Finance North America LLC      2.25%  ^     03/02/2020      3,241,550  
5,000,000    Daimler Finance North America LLC      2.30%  ^     02/12/2021      4,858,310  
4,135,000    Delta Air Lines, Inc.      3.40%       04/19/2021      4,118,800  
7,445,000    EQT Corporation      2.50%       10/01/2020      7,277,950  
6,500,000    Ford Motor Credit Company, (3 Month LIBOR USD + 1.24%)      3.59%       02/15/2023      6,544,186  
4,150,000    General Dynamics Corporation      3.00%       05/11/2021      4,138,043  
6,735,000    General Mills, Inc.      2.20%       10/21/2019      6,658,063  
2,305,000    General Mills, Inc.      3.20%       04/16/2021      2,294,394  
5,715,000    General Motors Financial Company      2.65%       04/13/2020      5,648,761  
2,610,000    General Motors Financial Company      3.20%       07/06/2021      2,577,667  
7,150,000    Goldman Sachs Group, Inc.      2.30%       12/13/2019      7,081,779  
3,325,000    Goldman Sachs Group, Inc.      3.20%       06/05/2020      3,338,030  
7,265,000    Kinder Morgan, Inc.      3.05%       12/01/2019      7,244,812  
7,085,000    Kroger Company      6.15%       01/15/2020      7,403,558  
4,175,000    Microchip Technology, Inc.      3.92%  ^     06/01/2021      4,184,471  
3,354,000    Molson Coors Brewing Company      1.45%       07/15/2019      3,301,837  
4,205,000    Mondelez International, Inc.      3.00%       05/07/2020      4,197,722  
8,030,000    Morgan Stanley, (3 Month LIBOR USD + 0.93%)      3.29%       07/22/2022      8,098,201  
8,035,000    MUFG Americas Holdings Corporation      2.25%       02/10/2020      7,917,129  
563,000    Newell Brands, Inc.      2.60%       03/29/2019      561,125  
7,736,000    Newell Brands, Inc.      3.15%       04/01/2021      7,668,653  
8,454,000    Northrop Grumman Corporation      2.08%       10/15/2020      8,266,786  
3,495,000    PNC Bank NA      2.45%       11/05/2020      3,436,069  
1,450,000    PNC Financial Services Group, Inc.      5.13%       02/08/2020      1,496,618  
3,500,000    PNC Financial Services Group, Inc.      4.38%       08/11/2020      3,584,529  
6,085,000    Prudential Financial, Inc.      7.38%       06/15/2019      6,339,197  
3,235,000    Reynolds American, Inc.      3.25%       06/12/2020      3,230,005  
8,295,000    Sherwin-Williams Company      2.25%       05/15/2020      8,160,580  
5,476,000    Simon Property Group LP      2.20%       02/01/2019      5,456,981  
1,510,000    Southern Company      2.45%       09/01/2018      1,509,064  
6,661,000    Southern Company      1.85%       07/01/2019      6,596,420  
8,525,000    Thermo Fisher Scientific, Inc.      3.60%       08/15/2021      8,576,680  
3,784,000    TIAA Asset Management Finance Company LLC      2.95%  ^     11/01/2019      3,770,354  
4,205,000    Union Pacific Corporation      3.20%       06/08/2021      4,220,619  
4,150,000    Verizon Communications, Inc., (3 Month LIBOR USD + 1.10%)      3.44%       05/15/2025      4,149,080  
2,875,000    WellPoint, Inc.      2.30%       07/15/2018      2,874,660  
2,275,000    Wells Fargo & Company      2.15%       01/30/2020      2,241,554  
5,485,000    Wells Fargo & Company      2.60%       01/15/2021      5,400,046  
           

 

 

  

Total US Corporate Bonds (Cost $305,229,715)

 

         301,778,924  
           

 

 

  

US Government and Agency Mortgage Backed Obligations - 2.9%

 

      
1,968,059    Federal Home Loan Mortgage Corporation, Pool G0-8626      3.00%       02/01/2045      1,914,739  
2,090,819    Federal Home Loan Mortgage Corporation, Pool G0-8631      3.00%       03/01/2045      2,033,552  
17,896,003    Federal Home Loan Mortgage Corporation, Pool G1-8660      3.50%       09/01/2032      18,121,368  
1,020,135    Federal Home Loan Mortgage Corporation, Pool U7-9016      2.50%       05/01/2028      991,547  
670,088    Federal Home Loan Mortgage Corporation, Series 3417-SM, (-1 x 1 Month LIBOR USD + 6.28%, 6.28% Cap)      4.21%  I/FI/O     02/15/2038      98,906  
13,044,837    Federal Home Loan Mortgage Corporation, Series 4060-QA      1.50%       09/15/2026      12,584,534  
10,043,202    Federal Home Loan Mortgage Corporation, Series 4125-FA, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)      2.42%       11/15/2042      10,074,039  
1,922,638    Federal Home Loan Mortgage Corporation, Series 4471-GA      3.00%       02/15/2044      1,872,242  
19,043,440    Federal Home Loan Mortgage Corporation, Series 4734-A      3.00%       07/15/2042      18,847,009  
22,017,572    Federal Home Loan Mortgage Corporation, Series 4738-LA      3.00%       11/15/2043      21,638,031  
33,202,445    Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1      1.44%  #I/O     03/25/2023      1,651,271  
1,142,573    Federal National Mortgage Association, Series 2012-134-FT, (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap)      2.44%       12/25/2042      1,145,103  
4,056,370    Federal National Mortgage Association, Series 2012-32-DA      2.00%       11/25/2026      3,940,264  
4,797,769    Federal National Mortgage Association, Series 2014-66-QE      2.00%       01/25/2040      4,711,445  
5,764,550    Federal National Mortgage Association, Series 2015-59-A      3.00%       06/25/2041      5,678,455  
3,355,788    Federal National Mortgage Association, Series 2015-9-HA      3.00%       01/25/2045      3,330,176  
8,747,154    Federal National Mortgage Association, Series 2016-72-PA      3.00%       07/25/2046      8,527,905  
8,989,435    Federal National Mortgage Association, Series 2017-13-ML      3.00%       08/25/2041      8,876,091  
8,534,430    Federal National Mortgage Association, Series 2017-2-HA      3.00%       09/25/2041      8,409,016  
8,007,358    Federal National Mortgage Association, Series 2017-4-CH      3.00%       06/25/2042      7,939,778  
1,008,535    Federal National Mortgage Association Pass-Thru, Pool AL3797      2.50%       06/01/2028      981,019  
2,889,693    Federal National Mortgage Association Pass-Thru, Pool AS4645      3.00%       03/01/2045      2,812,703  
572,478    Federal National Mortgage Association Pass-Thru, Pool MA1200      3.00%       10/01/2032      569,462  
5,122,811    Federal National Mortgage Association Pass-Thru, Pool MA2270      3.00%       05/01/2045      4,943,448  
4,701,682    Government National Mortgage Association, Series 2017-116-FB, (1 Month LIBOR USD + 0.25%, 0.25% Floor, 6.50% Cap)      2.33%       05/20/2044      4,704,940  
           

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $158,847,406)

 

         156,397,043  
           

 

 

  

US Government and Agency Obligations- 9.7%

 

      
95,377,100    United States Treasury Notes      0.13%       04/15/2019      94,830,668  
117,000,000    United States Treasury Notes      1.50%       08/15/2020      114,474,902  
136,200,000    United States Treasury Notes      2.00%       08/31/2021      133,547,824  
136,000,000    United States Treasury Notes      2.13%  ‡     09/30/2021      133,795,312  
39,200,000    United States Treasury Notes      1.88%       01/31/2022      38,130,422  
           

 

 

  

Total US Government and Agency Obligations (Cost $521,539,021)

 

         514,779,128  
           

 

 

  

Affiliated Mutual Funds - 4.7%

 

      
24,930,209    DoubleLine Ultra Short Bond Fund (Class I)            250,050,000  
           

 

 

  

Total Affiliated Mutual Funds (Cost $250,000,000)

 

         250,050,000  
           

 

 

  

Exchange Traded Funds and Common Stocks - 0.0%

 

      
9,490    Frontera Energy Corporation *            137,842  
           

 

 

  

Total Exchange Traded Funds and Common Stocks (Cost $852,503)

 

         137,842  
           

 

 

  

Short Term Investments - 15.4%

 

      
131,745,593    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          131,745,593  
131,745,593    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          131,745,593  
131,745,591    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          131,745,591  
107,100,000    United States Treasury Bills      0.00%       07/19/2018      107,013,075  
124,900,000    United States Treasury Bills      0.00%       08/16/2018      124,616,438  
96,300,000    United States Treasury Bills      0.00%       09/20/2018      95,899,285  
96,400,000    United States Treasury Bills      0.00%       10/18/2018      95,840,398  
           

 

 

  

Total Short Term Investments (Cost $818,567,465)

 

         818,605,973  
           

 

 

  

Total Investments - 99.2% (Cost $5,303,259,311)

 

         5,261,723,898  
Other Assets in Excess of Liabilities - 0.8%           43,058,223  
           

 

 

  

NET ASSETS - 100.0%

 

         $         5,304,782,121  
           

 

 

  

  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $1,950,184,622 or 36.8% of net assets.  

 

  # 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 June 30, 2018.  

 

  ± Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate desclosed is as of June 30, 2018.  

 

  Þ Value determined using significant unobservable inputs.  

 

  I/O Interest only security  

 

  P/O Principal only security  

 

  I/F 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.  

 

  * Non-income producing security  

 

  ◆ Seven-day yield as of June 30, 2018  

 

  ß The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  § The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  † Perpetual Maturity  

 

  W Security is in default or has failed to make a scheduled payment. Income is not being accrued.  

 

  ¥ Illiquid security  

 

  & Unfunded or partially unfunded loan commitment. At June 30, 2018, the value of these securities amounted to $4,708,223 or 0.1% of net assets.  

 

  ‡ All or a portion of security has been pledged as collateral in connection with swaps.  

SECURITY TYPE BREAKDOWN as a % of Net Assets:   

Short Term Investments

      15.4%  

Collateralized Loan Obligations

      12.3%  

Non-Agency Commercial Mortgage Backed Obligations

      11.6%  

Non-Agency Residential Collateralized Mortgage Obligations

      11.3%  

US Government and Agency Obligations

      9.7%  

Foreign Corporate Bonds

      8.7%  

Bank Loans

      8.4%  

Asset Backed Obligations

      7.0%  

US Corporate Bonds

      5.7%  

Affiliated Mutual Funds

      4.7%  

US Government and Agency Mortgage Backed Obligations

      2.9%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      1.5%  

Exchange Traded Funds and Common Stocks

      0.0%  ~ 

Other Assets and Liabilities

      0.8%  
  

 

 

  
                 100.0%  
  

 

 

  

 

  ~ Represents less than 0.05% of net assets.  

INVESTMENT BREAKDOWN as a % of Net Assets:   

Short Term Investments

      15.4%  

Collateralized Loan Obligations

      12.3%  

Non-Agency Commercial Mortgage Backed Obligations

      11.6%  

Non-Agency Residential Collateralized Mortgage Obligations

      11.3%  

US Government and Agency Obligations

      9.7%  

Asset Backed Obligations

      7.0%  

Banking

      5.6%  

Affiliated Mutual Funds

      4.7%  

US Government and Agency Mortgage Backed Obligations

      2.9%  

Energy

      2.2%  

Telecommunications

      1.4%  

Healthcare

      1.7%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      1.5%  

Business Equipment and Services

      1.3%  

Electronics/Electric

      1.1%  

Pharmaceuticals

      0.9%  

Automotive

      0.8%  

Utilities

      0.8%  

Transportation

      0.7%  

Insurance

      0.6%  

Industrial Equipment

      0.6%  

Aerospace & Defense

      0.5%  

Leisure

      0.4%  

Food Products

      0.4%  

Technology

      0.4%  

Media

      0.4%  

Building and Development (including Steel/Metals)

      0.3%  

Retailers (other than Food/Drug)

      0.3%  

Consumer Products

      0.3%  

Chemicals/Plastics

      0.3%  

Real Estate

      0.2%  

Hotels/Motels/Inns and Casinos

      0.2%  

Pulp & Paper

      0.2%  

Finance

      0.2%  

Beverage and Tobacco

      0.2%  

Conglomerates

      0.2%  

Containers and Glass Products

      0.2%  

Food/Drug Retailers

      0.1%  

Food Service

      0.1%  

Commercial Services

      0.1%  

Cosmetics/Toiletries

      0.1%  

Chemical Products

      0.0%  ~ 

Mining

      0.0%  ~ 

Construction

      0.0%  ~ 

Other Assets and Liabilities

      0.8%  
  

 

 

  
                 100.0%  
  

 

 

  

 

  ~ Represents less than 0.05% of net assets.  

TOTAL RETURN SWAPS

                    

Reference Entity

    Counterparty    Long/Short      Financing Rate     Payment
Frequency		      Termination
Date		      Notional
Amount		      Unrealized
Appreciation
(Depreciation) /
Value		  

Shiller Barclays CAPE® US Sector ER USD Index «

   

Barclays Capital, Inc.

      Long        0.47 %      Termination        07/12/2018        20,000,000        $ (572,589)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        07/12/2018        80,000,000        8,379,484  

Shiller Barclays CAPE® US Sector ER USD Index «

   

Barclays Capital, Inc.

      Long        0.47 %      Termination        07/24/2018        99,300,000        (2,681,521)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Bank of America Merrill Lynch

      Long        0.43 %      Termination        07/24/2018        50,000,000        4,561,548  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        07/25/2018        100,000,000        9,784,839  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        07/26/2018        100,000,000        9,699,400  

Shiller Barclays CAPE® US Sector ER USD Index «

   

Barclays Capital, Inc.

      Long        0.47 %      Termination        08/14/2018        30,500,000        (75,953)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        08/16/2018        100,000,000        7,853,363  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        08/29/2018        100,000,000        7,962,443  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        08/30/2018        100,000,000        8,382,006  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        09/13/2018        100,000,000        7,918,949  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        09/26/2018        50,000,000        4,373,953  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        09/27/2018        100,000,000        7,319,887  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Canadian Imperial Bank of Commerce

      Long        0.40 %      Termination        10/30/2018        100,000,000        8,397,650  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        10/31/2018        60,000,000        5,067,089  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Canadian Imperial Bank of Commerce

      Long        0.40 %      Termination        11/13/2018        100,000,000        6,788,787  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        11/15/2018        70,000,000        4,702,123  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        11/28/2018        100,000,000        6,652,157  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        12/12/2018        100,000,000        3,802,450  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        12/13/2018        40,000,000        1,138,032  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Bank of America Merrill Lynch

      Long        0.43 %      Termination        01/08/2019        50,000,000        812,861  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        01/09/2019        100,000,000        1,820,672  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        01/10/2019        100,000,000        1,819,466  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Canadian Imperial Bank of Commerce

      Long        0.40 %      Termination        01/15/2019        100,000,000        29,374  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        01/24/2019        50,000,000        (792,285)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Bank of America Merrill Lynch

      Long        0.43 %      Termination        01/29/2019        100,000,000        (4,020,815)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        01/30/2019        100,000,000        (3,973,255)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Canadian Imperial Bank of Commerce

      Long        0.40 %      Termination        02/12/2019        100,000,000        (4,077,564)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        02/14/2019        100,000,000        (4,130,675)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Bank of America Merrill Lynch

      Long        0.43 %      Termination        02/26/2019        100,000,000        (402,941)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        02/27/2019        100,000,000        (87,105)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        02/28/2019        100,000,000        (243,472)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Canadian Imperial Bank of Commerce

      Long        0.40 %      Termination        03/12/2019        100,000,000        (1,588,099)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Bank of America Merrill Lynch

      Long        0.43 %      Termination        03/26/2019        50,000,000        (1,035,171)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        03/27/2019        100,000,000        (1,596,979)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        03/28/2019        50,000,000        (1,030,692)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Canadian Imperial Bank of Commerce

      Long        0.40 %      Termination        04/09/2019        100,000,000        (1,824,176)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        04/11/2019        100,000,000        (1,386,703)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        04/24/2019        100,000,000        4,016,794  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        04/25/2019        100,000,000        2,826,176  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Bank of America Merrill Lynch

      Long        0.43 %      Termination        04/30/2019        100,000,000        3,985,661  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        05/01/2019        100,000,000        3,107,388  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Canadian Imperial Bank of Commerce

      Long        0.40 %      Termination        05/14/2019        100,000,000        3,687,523  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        05/15/2019        100,000,000        3,206,183  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        05/16/2019        100,000,000        2,248,027  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Bank of America Merrill Lynch

      Long        0.43 %      Termination        05/21/2019        100,000,000        2,552,799  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        05/23/2019        100,000,000        2,028,286  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        06/13/2019        100,000,000        132,511  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Bank of America Merrill Lynch

      Long        0.43 %      Termination        06/25/2019        100,000,000        3,372,644  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        06/26/2019        100,000,000        26,147  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        06/27/2019        100,000,000        193,021  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Bank of America Merrill Lynch

      Long        0.43 %      Termination        07/09/2019        100,000,000        (3,196,107)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        07/10/2019        100,000,000        (565,334)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Barclays Capital, Inc.

      Long        0.40 %      Termination        07/11/2019        100,000,000        (3,322,898)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Canadian Imperial Bank of Commerce

      Long        0.40 %      Termination        07/23/2019        100,000,000        (2,293,864)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        07/24/2019        100,000,000        (2,897,075)  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

Bank of America Merrill Lynch

      Long        0.43 %      Termination        07/30/2019        100,000,000        570,731  

Shiller Barclays CAPE® US Sector ER II USD Index ¤

   

BNP Paribas

      Long        0.43 %      Termination        08/14/2019        100,000,000        675,082  
                   

 

 

  
                      $         108,100,233  
                   

 

 

  

 

« Shiller Barclays CAPE® US Sector ER USD Index aims to provide notional long exposure to the top four United States equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each U.S. equity sector is represented by an exchange-traded fund of equity securities of companies in the relevant sector. Information on the sector constituents as of June 30, 2018, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIICSEU.

 

¤ Shiller Barclays CAPE® US Sector ER II USD Index aims to provide notional long exposure to the top four United States equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each U.S. equity sector is represented by an index of equity securities of companies in the relevant sector. Information on the sector constituents as of June 30, 2018, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIICS2E.

A summary of the DoubleLine Shiller Enhanced CAPE®’s investments in affiliated mutual funds for the period ended June 30, 2018 is as follows:

 

Fund

    Value at
March 31, 2018		      Gross Purchases      Gross Sales      Shares Held at
June 30, 2018		      Value at
June 30, 2018		      Change in Unrealized
for the
Period Ended
June 30, 2018		      Dividend Income
Earned in the
Period Ended
June 30, 2018		      Net Realized Gain
(Loss) in the
Period Ended
June 30, 2018		  
DoubleLine Ultra Short Bond Fund (Class I)    $ 150,050,000      $ 100,000,000      $ -        24,930,209      $ 250,050,000      $ -      $ 1,146,342      $ -  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 150,050,000      $ 100,000,000      $ -        24,930,209      $ 250,050,000      $ -      $ 1,146,342      $ -  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

 

DoubleLine Flexible Income Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

$/Shares

   

Security Description

    Rate     

Maturity

    Value $  

Asset Backed Obligations - 5.8%

         
193,252    Arcadia Receivables Credit Trust, Series 2017-1-A      3.25%  ^     06/15/2023      193,945  
3,500,000    Castlelake Aircraft Securitization Trust, Series 2018-1-B      5.30%  ^     06/15/2043      3,532,840  
409,945    Citi Held For Asset Issuance, Series 2015-PM1-C      5.01%  ^     12/15/2021      411,651  
1,000,000    Colony Starwood Homes Trust, Series 2016-2A-D, (1 Month LIBOR USD + 2.35%, 2.35% Floor)      4.42%  ^     12/17/2033      1,009,498  
61,485    Consumer Installment Loan Trust, Series 2016-LD1-A      3.96%  ^     07/15/2022      61,493  
461,220    Consumer Loan Credit Trust, Series 2017-NP2-A      2.55%  ^     01/16/2024      460,725  
29,605    Eaglewood Consumer Loan Trust, Series 2014-1-A      3.50%  ^¥Þ     10/15/2019      29,613  
1,275,867    ECAF Ltd., Series 2015-1A-A2      4.95%  ^     06/15/2040      1,292,579  
4,987,500    Harley Marine Financing LLC, Series 2018-1A-A2      5.68%  ^     05/15/2043      5,064,158  
5,324,438    Helios Issuer LLC, Series 2017-1A-A      4.94%  ^     09/20/2049      5,411,623  
1,985,000    Jimmy Johns Funding LLC, Series 2017-1A-A2II      4.85%  ^     07/30/2047      1,993,345  
10,000,000    Kabbage Asset Securitization LLC, Series 2017-1-A      4.57%  ^     03/15/2022      10,100,952  
186,843    LendingClub Issuance Trust, Series 2016-NP2-A      3.00%  ^     01/17/2023      186,728  
143,724    MarketPlace Loan Trust, Series 2015-CB1-A      4.00%  ^     07/15/2021      143,676  
2,331,814    Marlette Funding Trust, Series 2018-1A-A      2.61%  ^     03/15/2028      2,325,564  
17,600,000    PNMAC GMSR Trust, Series 2018-FT1-A, (1 Month LIBOR USD + 2.35%)      4.44%  ^     04/25/2023      17,697,574  
182,206    SoFi Consumer Loan Program Trust, Series 2016-2-A      3.09%  ^     10/27/2025      182,109  
985,151    SoFi Consumer Loan Program Trust, Series 2017-1-A      3.28%  ^     01/26/2026      984,689  
500,000    SoFi Consumer Loan Program Trust, Series 2017-1-B      4.73%  #^     01/26/2026      512,688  
1,040,094    SoFi Consumer Loan Program Trust, Series 2017-2-A      3.28%  ^     02/25/2026      1,039,571  
1,516,577    SoFi Consumer Loan Program Trust, Series 2017-5-A1      2.14%  ^     09/25/2026      1,508,570  
1,000,000    SoFi Consumer Loan Program Trust, Series 2017-5-A2      2.78%  ^     09/25/2026      985,014  
1,128,629    SoFi Consumer Loan Program Trust, Series 2018-1-A1      2.55%  ^     02/25/2027      1,123,715  
876,872    SoFi Consumer Loan Program Trust, Series 2018-2-A1      2.93%  ^     04/26/2027      876,656  
1,000,000    Springleaf Funding Trust, Series 2016-AA-A      2.90%  ^     11/15/2029      995,118  
2,000,000    Springleaf Funding Trust, Series 2017-AA-A      2.68%  ^     07/15/2030      1,968,368  
2,955,000    Taco Bell Funding LLC, Series 2016-1A-A2II      4.38%  ^     05/25/2046      3,001,491  
6,449,022    TAL Advantage LLC, Series 2017-1A-A      4.50%      04/20/2042      6,580,729  
5,000,000    Vivint Colar Financing LLC, Series 2018-1A-A      4.73%  ^     04/30/2048      5,042,475  
           

 

 

  

Total Asset Backed Obligations (Cost $74,166,970)

            74,717,157  
        

 

 

  

Bank Loans - 10.1%

         
498,012    Acadia Healthcare Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       02/16/2023      500,146  
62,597    Access CIG LLC, Senior Secured 1st Lien Delayed-Draw Term Loan      6.07%  ±&     02/27/2025      62,785  
502,403    Access CIG LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.84%       02/27/2025      503,910  
220,000    Acrisure LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.07%       11/22/2023      218,625  
1,047,834    Acrisure LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       11/22/2023      1,047,185  
495,746    Air Medical Group Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.28%       04/28/2022      482,733  
567,414    ASP AMC Merger Sub, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       04/22/2024      545,606  
130,000    Albertsons Cos, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%)      5.36%       05/03/2023      130,001  
485,000    Aleris International, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%)      6.86%       02/08/2023      481,513  
233,436    AlixPartners LLP, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       04/04/2024      233,553  
594,902    Almonde, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.81%       06/13/2024      585,276  
575,000    Almonde, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.56%       06/16/2025      555,413  
722,589    American Renal Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       06/21/2024      720,783  
433,216    American Tire Distributors, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       09/01/2021      284,027  
889,794    Amneal Pharmaceuticals LLC, Secured Term Loan (2 Month LIBOR USD + 3.50%)      5.63%       05/05/2025      889,518  
955,200    Applied Systems, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.33%       09/19/2024      957,660  
311,968    Chill Merger Sub, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       03/20/2024      313,821  
209,474    Ascend Learning LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       07/12/2024      209,212  
1,065,225    AssuredPartners, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       10/22/2024      1,061,901  
305,000    Asurion LLC, Senior Secured 1st Lien Term Loan      5.30%  ±     11/30/2024      303,475  
280,000    Asurion LLC, Senior Secured 2nd Lien Term Loan      8.48%  ±     08/04/2025      279,300  
920,125    Asurion LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/03/2023      919,960  
972,697    Avantor, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.98%       11/21/2024      978,776  
827,925    Avaya, Inc., Senior Secured 1st Lien Term Loan      7.06%  ±     12/15/2024      830,189  
470,000    Blackstone Group, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.86%       10/31/2024      469,779  
1,015,033    BJ’s Wholesale Club, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.53%       02/02/2024      1,016,048  
1,025,000    Blackhawk Network Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.07%       06/16/2025      1,023,503  
244,388    Blount International, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.23%       04/12/2023      246,222  
1,240,000    BMC Software Finance, Inc., Senior Secured 1st Lien Term Loan      6.55%  ±     09/30/2025      1,233,800  
   Brand Energy & Infrastructure Services, Inc., Senior Secured 1st Lien Term Loan         
199,294    (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.58%       06/21/2024      199,905  
1,046,294    (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       06/21/2024      1,049,500  
940,000    Bison Midstream Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%)      6.09%       05/21/2025      942,350  
   Bright Bidco BV, Senior Secured 1st Lien Term Loan         
489,201    (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       06/28/2024      486,143  
230,212    (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       06/28/2024      228,773  
1,285,288    BWAY Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.59%       04/03/2024      1,280,069  
754,593    Canyon Valor Companies, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       06/16/2023      754,593  
71,170    Capital Automotive LP, Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.10%       03/24/2025      71,793  
997,500    Capri Acquisitions Bidco Ltd, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.61%       11/01/2024      990,647  
452,725    CBS Radio, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/18/2024      447,519  
915,555    Cengage Learning, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       06/07/2023      842,997  
618,450    CenturyLink, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       01/31/2025      606,724  
262,014    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Synthetic Letter Of Credit (3 Month LIBOR USD + 0.00%, 1.00% Floor)      2.21%       03/19/2021      261,943  
49,783    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      49,769  
98,199    Ceva Intercompany BV, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      98,173  
423,359    Ceva Group PLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor)      7.86%       03/19/2021      423,244  
509,627    CH Hold Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       02/01/2024      510,106  
742,500    Change Healthcare Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       03/01/2024      740,874  
1,161,410    CHG Healthcare Services, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       06/07/2023      1,164,493  
105,000    CHG PPC Parent LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       03/31/2025      104,738  
645,000    Cincinnati Bell, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       10/02/2024      646,006  
528,805    Constellation Merger Sub, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%)      5.08%       09/18/2024      523,517  
1,057,350    Compass Power Generation LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       12/20/2024      1,064,884  
691,002    Compuware Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       12/15/2021      693,420  
125,000    Concentra, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.74%       06/01/2022      125,156  
1,195,963    Constellis Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)      7.33%       04/19/2024      1,202,439  
78,214    Coronado Australian Holdings Pty Ltd., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.50%, 1.00% Floor)      8.83%       03/31/2025      79,094  
286,786    Coronado Australian Holdings Ltd., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.50%, 1.00% Floor)      8.83%       03/31/2025      290,012  
455,000    Covia Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.05%       06/01/2025      455,642  
124,688    CP VI Bella Topco LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       12/27/2024      124,493  
384,535    CPI Holdco LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       03/21/2024      387,020  
1,002,859    CSM Bakery Supplies LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.31%       07/03/2020      975,912  
1,070,000    Cvent, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       11/29/2024      1,070,669  
411,000    CVS Holdings LP, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.10%       02/06/2025      407,917  
925,000    Colorado Buyer, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       05/01/2024      925,578  
125,000    Colorado Buyer, Inc., Guaranteed Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.61%       05/01/2025      125,000  
1,090,000    Deerfield Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       02/13/2025      1,087,046  
293,428    Delta 2 Lux Sarl, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)      4.59%       02/01/2024      290,081  
127,000    Dentalcorp Perfect Smile ULC, Senior Secured 1st Lien Delayed-Draw Term Loan      6.07%  ±&     06/06/2025      127,477  
508,000    Dentalcorp Perfect Smile ULC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.76%       06/06/2025      509,908  
40,000    DexKo Global Inc., Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%  &     07/24/2024      40,125  
114,713    Dexko Global, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       07/24/2024      115,179  
472,965    Digicel International Finance Ltd., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.61%       05/27/2024      454,047  
840,000    Avatar Purchaser Inc., Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.75%, 1.00% Floor)      6.25%       11/15/2024      829,500  
60,000    Edelman Financial Center LLC., Senior Secured 2nd Lien Term Loan      9.05%  ±     06/26/2026      60,591  
400,000    Edelman Financial Center LLC., Senior Secured 1st Lien Term Loan      5.55%  ±     06/26/2025      400,002  
615,000    EG America LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.33%       02/06/2025      610,618  
190,000    EG Finco Ltd., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.34%       02/07/2025      188,646  
240,000    Energy Acquisition LP, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.59%       06/26/2025      238,800  
321,105    Envision Healthcare Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.10%       12/01/2023      321,239  
1,040,160    Equian Buyer Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.33%       05/20/2024      1,038,423  
1,163,279    Equinox Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       03/08/2024      1,163,570  
292,373    Evergreen Skills, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.84%       04/28/2021      277,297  
729,335    Excelitas Technologies Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor)      5.83%       12/02/2024      731,618  
284,403    Exgen Renewables LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.31%       11/29/2024      285,825  
1,021,016    Goldcup Merger Sub, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      6.08%       05/02/2023      1,021,016  
   Federal-Mogul Holdings Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
447,616    (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.82%       04/15/2021      449,054  
149,205    (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       04/15/2021      149,685  
230,000    Filtration Group Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.30%       03/31/2025      230,316  
972,104    Flexera Software LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       02/26/2025      971,651  
823,779    Foresight Energy LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)      8.11%       03/28/2022      820,307  
661,410    Forterra Finance LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       10/25/2023      619,450  
980,000    Frontera Generation Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.23%       05/02/2025      980,613  
669,844    FTS International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.84%       04/16/2021      673,471  
1,029,140    Garda World Security Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.80%       05/24/2024      1,031,388  
856,658    Gates Global LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)      5.08%       04/01/2024      857,309  
175,000    Gavilan Resources LLC, Senior Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      8.09%       03/01/2024      172,704  
926,385    Greeneden US Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.83%       12/01/2023      927,543  
255,000    Gentiva Health Services, Inc., Senior Secured 2nd Lien Term Loan      9.30%  ±     06/22/2026      258,825  
411,122    Gentiva Health Services, Inc., Senior Secured 1st Lien Delayed-Draw Term Loan      6.07%  ±     06/23/2025      409,067  
653,878    Gentiva Health Services, Inc., Senior Secured 1st Lien Term Loan      6.05%  ±     06/23/2025      650,608  
445,000    Gopher Resource LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       03/06/2025      446,112  
1,275,000    GrafTech Finance, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.50%       02/12/2025      1,270,225  
602,409    Greektown Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       04/25/2024      601,406  
1,135,000    GTT Communications, Inc., Guaranteed Senior Secured 1st Lien Term Loan (2 Month LIBOR USD + 2.75%)      4.88%       06/02/2025      1,120,461  
275,000    Gulf Finance LLC, Senior Secured 1st Lien Term Loan      7.59%  ±     08/25/2023      238,562  
597,759    Harbor Freight Tools USA, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 0.75% Floor)      4.59%       08/18/2023      595,769  
559,683    Hargray Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       05/16/2024      558,983  
420,758    Harsco Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor)      4.25%       12/06/2024      421,810  
895,500    Hayward Acquisition Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%)      5.59%       08/05/2024      898,442  
195,000    H-Food Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       05/23/2025      193,464  
673,168    Hyland Software, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor)      5.34%       07/01/2022      675,834  
608,181    Informatica LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       08/05/2022      609,921  
930,000    Intelsat Jackson Holdings S.A., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.72%       11/30/2023      929,200  
1,082,288    Impala Private Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.99%  ¥     11/14/2024      1,082,628  
888,000    Hawk Merger Sub, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      4.98%       07/31/2024      888,559  
   HVSC Merger Sub Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
103,591    (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       10/28/2024      104,410  
51,022    (2 Month LIBOR USD + 4.00%, 1.00% Floor)      6.17%       10/28/2024      51,426  
980,000    ION Trading Finance Ltd., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.30%       11/21/2024      973,875  
   IRB Holding Corporation, Guaranteed Senior Secured 1st Lien Term Loan         
498,560    (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.25%       02/05/2025      500,013  
407,913    (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.28%       02/05/2025      409,102  
1,281,819    Jaguar Holding Company II, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor)      4.59%       08/18/2022      1,277,096  
450,375    Jo-Ann Stores LLC, Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 5.00%, 1.00% Floor)      7.51%       10/20/2023      447,936  
505,000    KBR Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.84%       04/25/2025      506,578  
944,390    Kenan Advantage Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       08/01/2022      944,390  
425,000    Kindred Healthcare, Inc., Senior Secured 1st Lien Term Loan      7.30%  ±     06/23/2025      421,813  
810,925    Kloeckner Pentaplast, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       06/30/2022      778,614  
789,419    KIK Custom Products, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       05/15/2023      786,064  
936,661    Kronos Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor)      5.36%       11/01/2023      936,075  
6,628    A-L Parent LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       12/01/2023      6,653  
423,355    Learfield Communications, Senior Secured 1st Lien Term Loan      4.73%  ±     12/01/2023      424,413  
1,108,764    Life Time Fitness, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)      5.06%       06/10/2022      1,107,600  
280,000    Lions Gate Capital Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.25%)      4.34%       03/24/2025      279,534  
410,000    Lucid Energy Group II Borrower LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       02/18/2025      408,462  
129,718    EOC Group, Inc., Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)      5.20%  &     03/20/2025      128,907  
810,282    EOC Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.20%       03/20/2025      805,218  
920,000    McDermott International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor)      7.09%       05/12/2025      925,801  
400,000    Meredith Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       01/31/2025      400,406  
745,334    Micron Technology, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       09/28/2023      741,607  
64,552    Mitchell International, Inc., Guaranteed Senior Secured 1st Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       11/29/2024      64,283  
800,448    Mitchell International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       11/29/2024      797,110  
180,000    Mitchell International, Inc., Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.25%)      9.34%       12/01/2025      180,507  
333,618    Mohegan Tribal Gaming Authority, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      5.98%       10/13/2023      315,936  
875,990    MPH Acquisition Holdings LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor)      5.08%       06/07/2023      872,363  
95,000    MX Holdings US, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.00%, 0.75% Floor)      5.32%       06/18/2025      95,179  
854,876    National Vision, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       11/20/2024      854,696  
373,093    Optiv Security, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.31%       02/01/2024      363,765  
1,030,000    Oryx Southern Delaware Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       02/28/2025      1,019,700  
966,522    West Street Merger Sub, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       09/27/2024      962,496  
975,450    Peak 10 Holding Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.83%       08/01/2024      967,071  
160,000    Phoenix Services Merger Sub LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.75%       03/03/2025      160,700  
337,535    Pike Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.60%       03/21/2025      339,047  
640,000    Ply Gem Holdings, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.75%)      6.09%       04/12/2025      639,402  
575,000    Plantronics, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.50%)      4.80%       06/02/2025      574,733  
885,541    Playa Resorts Holding BV, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       04/29/2024      877,239  
1,274,675    PODS LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.78%       12/06/2024      1,271,807  
328,978    Polycom, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor)      7.34%       09/27/2023      329,698  
1,060,000    PowerTeam Services LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       03/06/2025      1,049,071  
784,828    PQ Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       02/08/2025      782,768  
293,975    Precyse Acquisition Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.59%       10/20/2022      292,598  
952,800    Prime Security Services Borrower LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       05/02/2022      949,389  
590,000    Pro Mach Group, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.02%       03/07/2025      583,436  
749,338    Project Alpha Intermediate Holding, Inc., Guaranteed Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor)      5.99%       04/26/2024      746,527  
620,000    Quest Software US Holdings, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%)      6.58%       05/16/2025      618,580  
608,240    RCN Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       02/01/2024      600,208  
1,150,000    Radiology Partners Holdings LLC, Senior Secured 1st Lien Term Loan      6.55%  ±     07/04/2025      1,142,813  
270,000    Renaissance Holding Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       06/02/2025      269,031  
854,001    RentPath LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)      6.85%  ¥     12/17/2021      783,546  
480,600    Reynolds Group, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.84%       02/06/2023      480,198  
556,573    Robertshaw US Holding Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.63%       02/28/2025      556,573  
   Scientific Games International, Inc., Guaranteed Senior Secured 1st Lien Term Loan         
767,657    (2 Month LIBOR USD + 2.75%)      4.92%       08/14/2024      763,581  
180,068    (1 Month LIBOR USD + 2.75%)      4.84%       08/14/2024      179,112  
1,016,778    SCS Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor)      6.34%       10/31/2022      1,021,227  
148,000    Securus Technologies Holdings LLC, Senior Secured 1st Lien Delayed-Draw Term Loan      6.82%  ± &     11/01/2024      148,925  
1,024,186    Securus Technologies Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.59%       11/01/2024      1,030,588  
792,000    Select Medical Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.80%       03/01/2021      791,754  
250,000    Severin Aquisition LLC, Senior Secured 1st Lien Term Loan      5.61%  ±     07/31/2025      248,594  
595,000    Sinclair Television Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.50%)      3.98%       12/12/2024      593,887  
740,000    SIWF Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%)      6.32%       06/13/2025      744,625  
130,000    LUX HOLDCO III, Senior Secured 1st Lien Term Loan (2 Month LIBOR USD + 3.00%)      5.10%       03/28/2025      130,109  
570,000    SMG US Midco 2, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       01/23/2025      570,000  
643,238    SolarWinds Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       02/05/2024      643,771  
655,000    Solenis International LP, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.30%       12/18/2023      654,466  
135,000    Solenis International LP, Guaranteed Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 8.50%)      10.68%       06/18/2024      133,481  
733,741    Solera LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       03/03/2023      731,448  
1,073,470    Sophia LP, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor)      5.58%       09/30/2022      1,070,787  
225,000    Sound Inpatient Physicians, Inc., Senior Secured 1st Lien Term Loan      5.30%  ±     06/19/2025      225,564  
967,976    Southern Graphics Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.34%       12/30/2022      967,221  
135,000    SRS Distribution, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.58%       05/23/2025      133,200  
349,105    StandardAero Aviation Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       07/07/2022      350,088  
323,375    Staples, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.36%       09/12/2024      319,587  
235,000    Stars Group Holdings B.V., Senior Secured 1st Lien Term Loan      5.80%  ±     07/31/2025      233,825  
443,012    Syncreon Group BV, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.61%       10/28/2020      419,200  
737,550    Team Health Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor)      4.84%       02/06/2024      710,814  
337,056    Telesat Canada, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 2.50%, 0.75% Floor)      4.84%       11/17/2023      335,160  
982,525    Tempo Acquisition LLC, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       05/01/2024      979,862  
800,000    Tenneco, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.73%       06/18/2025      793,504  
1,065,000    Titan Acquisition Ltd., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      5.09%       03/28/2025      1,050,628  
1,287,000    TKC Holdings, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.85%       02/01/2023      1,286,196  
750,688    Transdigm, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       06/09/2023      747,216  
304,710    Transdigm, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 2.50%)      4.59%       05/30/2025      302,783  
444,894    TravelClick Holdings Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.59%       05/06/2021      449,761  
470,000    Traverse Midstream Partners LLC, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.34%       09/27/2024      470,545  
671,484    Tribune Media Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor)      5.09%       01/26/2024      671,903  
786,053    US Renal Care, Inc., Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.58%       12/30/2022      775,897  
935,000    U.S. Silica Company, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.13%       05/01/2025      936,169  
1,170,098    UFC Holdings LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.35%       08/18/2023      1,172,439  
393,023    Ultra Resources, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       04/12/2024      363,057  
807,980    USAGM HoldCo LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       07/28/2022      797,460  
100,000    USIC Holdings, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       12/08/2023      99,958  
140,000    Valeant Pharmaceuticals International, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%)      4.98%       06/02/2025      139,709  
720,877    VF Holdings Corporation, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor)      5.34%       06/30/2023      717,273  
770,000    VF Holdings Corporation, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 3.25%)      5.57%       06/04/2025      766,073  
400,000    West Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)      5.48%       10/10/2024      397,458  
533,663    West Corporation, Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor)      6.09%       10/10/2024      532,528  
1,057,350    Wink Holdco, Inc., Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      5.09%       12/02/2024      1,052,227  
630,000    WP CPP Holdings LLC, Senior Secured 1st Lien Term Loan (6 Month LIBOR USD + 3.75%)      6.28%       04/30/2025      633,859  
785,000    Yak Access LLC, Senior Secured 1st Lien Term Loan      7.32%  ±     07/31/2025      761,450  
821,937    York Risk Services Group, Inc., Guaranteed Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.84%       10/01/2021      799,774  
889,477    Zodiac Pool Solutions LLC, Guaranteed Senior Secured 1st Lien Term Loan (Prime Rate + 3.00%, 1.00% Floor)      8.00%       12/20/2023      889,477  
           

 

 

  

Total Bank Loans (Cost $131,295,112)

            130,604,890  
        

 

 

  

Collateralized Loan Obligations - 16.3%

         
250,000    Adams Mill Ltd., Series 2014-1A-D1, (3 Month LIBOR USD + 3.50%)      5.85%  ^     07/15/2026      250,426  
2,500,000    AIMCO, Series 2015-AA-DR, (3 Month LIBOR USD + 2.45%, 2.45% Floor)      4.80%  ^     01/15/2028      2,495,562  
2,000,000    ALM LLC, Series 2013-8A-DR, (3 Month LIBOR USD + 7.10%, 7.10% Floor)      9.45%  ^     10/15/2028      2,018,735  
2,250,000    ALM LLC, Series 2015-12A-C1R2, (3 Month LIBOR USD + 2.65%, 2.65% Floor)      4.74%  ^     04/16/2027      2,253,593  
500,000    ALM LLC, Series 2016-19A-A2, (3 Month LIBOR USD + 2.20%)      4.55%  ^     07/15/2028      502,900  
500,000    ALM LLC, Series 2016-19A-B, (3 Month LIBOR USD + 3.00%)      5.35%  ^     07/15/2028      504,774  
2,000,000    Apidos Ltd., Series 2013-12A-DR, (3 Month LIBOR USD + 2.60%)      4.64%  ^     04/15/2031      1,971,538  
2,500,000    Apidos Ltd., Series 2015-21A-C, (3 Month LIBOR USD + 3.55%, 3.55% Floor)      5.91%  ^     07/18/2027      2,500,000  
1,500,000    Apidos Ltd., Series 2015-21A-CR, (3 Month LIBOR USD + 2.45%, 2.45% Floor)      0.00%  ^     07/18/2027      1,500,000  
250,000    Apidos Ltd., Series 2015-21A-D, (3 Month LIBOR USD + 5.55%, 5.55% Floor)      7.91%  ^     07/18/2027      250,000  
1,250,000    Apidos Ltd., Series 2016-24A-C, (3 Month LIBOR USD + 3.95%, 3.95% Floor)      6.31%  ^     07/20/2027      1,255,754  
2,500,000    Apidos Ltd., Series 2018-29A-C, (3 Month LIBOR USD + 2.75%)      5.14%  ^     07/25/2030      2,499,459  
2,500,000    Atrium Corporation, Series 13A-D, (3 Month LIBOR USD + 2.70%)      5.06%  ^     11/21/2030      2,489,337  
3,000,000    Atrium Corporation, Series 9A-DR, (3 Month LIBOR USD + 3.60%)      5.92%  ^     05/28/2030      3,025,905  
1,500,000    Babson Ltd., Series 2015-2A-DR, (3 Month LIBOR USD + 2.95%)      5.31%  ^     10/20/2030      1,498,050  
1,737,500    Babson Ltd., Series 2015-2A-ER, (3 Month LIBOR USD + 6.45%)      8.81%  ^     10/20/2030      1,766,830  
2,000,000    Barings Ltd., Series 2016-3A-C, (3 Month LIBOR USD + 3.95%, 3.95% Floor)      6.30%  ^     01/15/2028      2,018,121  
4,000,000    Barings Ltd., Series 2018-3A-D, (3 Month LIBOR USD + 2.90%)      4.97%  ^     07/20/2029      3,999,930  
3,770,000    BlueMountain Ltd., Series 2013-2A-DR, (3 Month LIBOR USD + 2.90%)      5.26%  ^     10/22/2030      3,752,273  
2,250,000    BlueMountain Ltd., Series 2013-3A-DR, (3 Month LIBOR USD + 2.90%)      5.26%  ^     10/29/2025      2,255,584  
750,000    BlueMountain Ltd., Series 2015-2A-C, (3 Month LIBOR USD + 2.70%, 2.70% Floor)      5.06%  ^     07/18/2027      751,661  
1,000,000    BlueMountain Ltd., Series 2015-2A-D, (3 Month LIBOR USD + 3.55%, 3.55% Floor)      5.91%  ^     07/18/2027      1,003,356  
500,000    BlueMountain Ltd., Series 2015-3A-CR, (3 Month LIBOR USD + 2.60%)      4.94%  ^     04/20/2031      500,928  
750,000    BlueMountain Ltd., Series 2016-2A-C, (3 Month LIBOR USD + 4.10%)      6.43%  ^     08/20/2028      752,926  
1,000,000    BlueMountain Ltd., Series 2016-3A-D, (3 Month LIBOR USD + 3.85%)      6.19%  ^     11/15/2027      1,005,154  
1,000,000    BlueMountain Ltd., Series 2017-2A-C, (3 Month LIBOR USD + 3.00%)      5.36%  ^     10/20/2030      1,006,310  
1,750,000    BlueMountain Ltd., Series 2018-2A-DR, (3 Month LIBOR USD + 2.75%, 2.75% Floor)      0.00%  ^     07/18/2027      1,750,000  
5,500,000    California Street LP, Series 2012-9A-AR, (3 Month LIBOR USD + 1.45%)      3.80%  ^     10/16/2028      5,512,331  
2,000,000    California Street LP, Series 2012-9A-DR, (3 Month LIBOR USD + 3.96%)      6.31%  ^     10/16/2028      2,008,218  
2,000,000    California Street LP, Series 2012-9A-ER, (3 Month LIBOR USD + 7.18%)      9.53%  ^     10/16/2028      2,033,563  
1,000,000    Canyon Capital Ltd., Series 2012-1A-DR, (3 Month LIBOR USD + 4.10%)      6.45%  ^     01/15/2026      1,002,838  
2,000,000    Canyon Capital Ltd., Series 2014-1A-CR, (3 Month LIBOR USD + 2.75%, 2.75% Floor)      5.11%  ^     01/30/2031      1,982,268  
2,000,000    Canyon Capital Ltd., Series 2014-2A-DR, (3 Month LIBOR USD + 3.65%)      6.00%  ^     04/15/2029      2,013,624  
2,500,000    Canyon Capital Ltd., Series 2018-1A-D, (3 Month LIBOR USD + 2.90%, 2.90% Floor)      4.94%  ^     07/15/2031      2,499,727  
1,250,000    Carlyle Global Market Strategies Ltd., Series 2013-2A-DR, (3 Month LIBOR USD + 2.40%)      4.76%  ^     01/18/2029      1,233,856  
2,000,000    Carlyle Global Market Strategies Ltd., Series 2016-2A-D2, (3 Month LIBOR USD + 6.45%, 6.45% Floor)      8.80%  ^     07/15/2027      2,012,959  
2,000,000    Cent Ltd., Series 2014-22A-C, (3 Month LIBOR USD + 3.75%)      6.11%  ^     11/07/2026      2,006,309  
1,595,000    Cent Ltd., Series 2014-22A-D, (3 Month LIBOR USD + 5.30%)      7.66%  ^     11/07/2026      1,598,188  
3,000,000    CVP Ltd., Series 2017-1A-A, (3 Month LIBOR USD + 1.34%)      3.70%  ^     07/20/2030      3,023,072  
2,500,000    Dryden Senior Loan Fund, Series 2013-28A-B1LR, (3 Month LIBOR USD + 3.15%)      5.49%  ^     08/15/2030      2,512,007  
3,900,000    Dryden Senior Loan Fund, Series 2014-33A-DR, (3 Month LIBOR USD + 4.35%)      6.70%  ^     10/15/2028      3,934,934  
3,000,000    Dryden Senior Loan Fund, Series 2015-37A-DR, (3 Month LIBOR USD + 2.50%, 2.50% Floor)      4.22%  ^     01/15/2031      2,996,565  
1,000,000    Dryden Senior Loan Fund, Series 2016-45A-D, (3 Month LIBOR USD + 3.85%)      6.20%  ^     07/15/2027      1,003,794  
1,000,000    Dryden Senior Loan Fund, Series 2017-50A-D, (3 Month LIBOR USD + 3.25%)      5.60%  ^     07/15/2030      1,003,996  
250,000    Galaxy Ltd., Series 2014-18A-D1, (3 Month LIBOR USD + 3.70%)      6.05%  ^     10/15/2026      250,683  
4,000,000    GoldenTree Loan Management Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 3.35%)      5.71%  ^     04/20/2029      4,014,662  
5,500,000    GoldenTree Loan Management Ltd., Series 2017-2A-D, (3 Month LIBOR USD + 2.65%)      5.01%  ^     11/28/2030      5,479,809  
1,000,000    GoldenTree Loan Opportunities Ltd., Series 2015-10A-D, (3 Month LIBOR USD + 3.35%, 3.35% Floor)      5.71%  ^     07/20/2027      1,001,158  
2,500,000    GoldenTree Loan Opportunities Ltd., Series 2016-12A-DR (3 Month LIBOR USD + 2.90%)      0.00%  ^     07/21/2030      2,500,000  
1,500,000    Greenwood Park Ltd., Series 2018-1A-D, (3 Month LIBOR USD + 2.50%)      4.53%  ^     04/15/2031      1,472,148  
250,000    Halcyon Loan Advisors Funding Ltd., Series 2013-2A-C, (3 Month LIBOR USD + 2.70%)      5.06%  ^     08/01/2025      250,369  
250,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-C, (3 Month LIBOR USD + 3.50%)      5.86%  ^     04/28/2025      250,647  
250,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D, (3 Month LIBOR USD + 5.00%)      7.36%  ^     04/28/2025      242,194  
2,000,000    Highbridge Loan Management Ltd., Series 2013-2A-CR, (3 Month LIBOR USD + 2.90%)      5.26%  ^     10/20/2029      2,015,918  
2,000,000    Jay Park Ltd., Series 2016-1A-C, (3 Month LIBOR USD + 3.85%)      6.21%  ^     10/20/2027      2,007,930  
3,175,000    LCM LP, Series 14A-DR, (3 Month LIBOR USD + 2.75%)      5.15%  ^     07/20/2031      3,175,193  
250,000    LCM LP, Series 16A-DR, (3 Month LIBOR USD + 3.00%)      5.35%  ^     07/15/2026      250,620  
1,250,000    LCM LP, Series 19A-E2, (3 Month LIBOR USD + 5.70%, 5.70% Floor)      8.05%  ^     07/15/2027      1,253,903  
5,000,000    LCM LP, Series 26A-D, (3 Month LIBOR USD + 2.50%, 2.50% Floor)      4.43%  ^     01/20/2031      4,951,031  
1,000,000    Madison Park Funding Ltd., Series 2014-15A-CR, (3 Month LIBOR USD + 3.45%)      5.82%  ^     01/27/2026      1,001,699  
2,500,000    Madison Park Funding Ltd., Series 2014-15A-DR, (3 Month LIBOR USD + 5.44%)      7.81%  ^     01/27/2026      2,506,226  
1,000,000    Madison Park Funding Ltd., Series 2015-16A-D, (3 Month LIBOR USD + 5.50%)      7.86%  ^     04/20/2026      1,003,699  
500,000    Madison Park Funding Ltd., Series 2015-18A-DR, (3 Month LIBOR USD + 2.95%)      5.31%  ^     10/21/2030      501,875  
3,000,000    Madison Park Funding Ltd., Series 2017-25A-C, (3 Month LIBOR USD + 3.60%)      5.96%  ^     04/25/2029      3,023,346  
250,000    Magnetite Ltd., Series 2014-9A-BR, (3 Month LIBOR USD + 2.00%)      4.36%  ^     07/25/2026      250,177  
3,500,000    Magnetite Ltd., Series 2018-20A-D, (3 Month LIBOR USD + 2.50%)      4.86%  ^     04/20/2031      3,473,183  
1,000,000    Marathon Ltd., Series 2017-9A-A2, (3 Month LIBOR USD + 1.75%)      4.10%  ^     04/15/2029      1,003,585  
1,000,000    Milos Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 3.40%)      5.76%  ^     10/20/2030      1,005,641  
1,000,000    Neuberger Berman Loan Advisers Ltd., Series 2016-21A-DR, (3 Month LIBOR USD + 2.40%, 2.40% Floor)      4.76%  ^     04/20/2027      994,669  
4,000,000    Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-D, (3 Month LIBOR USD + 2.50%)      4.85%  ^     01/15/2028      3,988,002  
1,500,000    Neuberger Berman Loan Advisers Ltd., Series 2017-25A-D, (3 Month LIBOR USD + 3.25%)      5.61%  ^     10/18/2029      1,507,495  
1,000,000    Neuberger Berman Loan Advisers Ltd., Series 2017-26A-D, (3 Month LIBOR USD + 2.65%, 2.65% Floor)      5.01%  ^     10/18/2030      992,517  
1,500,000    Neuberger Berman Loan Advisers Ltd., Series 2018-28A-D, (3 Month LIBOR USD + 2.85%)      4.90%  ^     04/20/2030      1,499,988  
4,500,000    Octagon Investment Partners Ltd., Series 2012-1A-CR, (3 Month LIBOR USD + 4.00%)      6.35%  ^     07/15/2029      4,553,165  
500,000    Octagon Investment Partners Ltd., Series 2014-1A-C, (3 Month LIBOR USD + 3.65%)      6.01%  ^     11/14/2026      501,802  
2,000,000    Octagon Investment Partners Ltd., Series 2014-1A-D, (3 Month LIBOR USD + 6.60%)      8.96%  ^     11/14/2026      2,015,292  
2,500,000    Octagon Investment Partners Ltd., Series 2017-1A-C, (3 Month LIBOR USD + 3.50%)      5.86%  ^     03/17/2030      2,517,260  
1,250,000    Octagon Investment Partners Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 6.20%)      8.56%  ^     03/17/2030      1,256,600  
2,000,000    Octagon Investment Partners Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 3.70%)      6.06%  ^     07/20/2030      2,027,614  
4,000,000    Octagon Investment Partners Ltd., Series 2018-1A-C, (3 Month LIBOR USD + 2.60%, 2.60% Floor)      4.35%  ^     01/20/2031      3,940,551  
3,000,000    Octagon Investment Partners Ltd., Series 2018-2A-C, (3 Month LIBOR USD + 2.85%)      0.00%  ^     07/25/2030      3,000,000  
1,000,000    Octagon Loan Funding Ltd., Series 2014-1A-DR, (3 Month LIBOR USD + 3.40%)      5.73%  ^     11/18/2026      1,003,466  
3,000,000    RR 4 Ltd., Series 2018-4A-C, (3 Month LIBOR USD + 2.95%)      5.02%  ^     04/15/2030      2,999,927  
1,000,000    Sound Harbor Loan Fund Ltd., Series 2014-1A-A1R, (3 Month LIBOR USD + 1.20%)      3.56%  ^     10/30/2026      1,001,152  
3,500,000    Stewart Park Ltd., Series 2015-1A-DR, (3 Month LIBOR USD + 2.60%, 2.60% Floor)      4.95%  ^     01/15/2030      3,461,477  
500,000    Symphony Ltd., Series 2014-14A-D2, (3 Month LIBOR USD + 3.60%)      5.95%  ^     07/14/2026      500,116  
1,000,000    Symphony Ltd., Series 2016-17A-DR, (3 Month LIBOR USD + 2.65%)      5.00%  ^     04/15/2028      1,000,058  
2,000,000    TCI-Cent Ltd., Series 2016-1A-C, (3 Month LIBOR USD + 4.00%)      6.37%  ^     12/21/2029      2,018,699  
1,000,000    TCI-Symphony Ltd., Series 2016-1A-D, (3 Month LIBOR USD + 3.80%, 3.80% Floor)      6.14%  ^     10/13/2029      1,004,331  
3,000,000    Thacher Park Ltd., Series 2014-1A-D1R, (3 Month LIBOR USD + 3.40%)      5.76%  ^     10/20/2026      3,007,939  
1,000,000    Venture Ltd., Series 2016-23A-B, (3 Month LIBOR USD + 2.30%)      4.66%  ^     07/19/2028      999,988  
2,000,000    Venture Ltd., Series 2016-24A-E, (3 Month LIBOR USD + 6.72%)      9.08%  ^     10/20/2028      2,019,727  
3,900,000    Voya Ltd., Series 2013-1A-CR, (3 Month LIBOR USD + 2.95%)      5.30%  ^     10/15/2030      3,875,530  
1,500,000    Voya Ltd., Series 2017-3A-C, (3 Month LIBOR USD + 3.55%)      5.91%  ^     07/20/2030      1,509,886  
1,000,000    Westcott Park Ltd., Series 2016-1A-D, (3 Month LIBOR USD + 4.35%)      6.71%  ^     07/20/2028      1,014,613  
3,750,000    Wind River Ltd., Series 2012-1A-DR, (3 Month LIBOR USD + 4.10%)      6.45%  ^     01/15/2026      3,782,414  
2,000,000    Wind River Ltd., Series 2013-2A-E1R, (3 Month LIBOR USD + 6.75%)      9.11%  ^     10/18/2030      2,024,787  
2,000,000    Wind River Ltd., Series 2014-1A-DRR, (3 Month LIBOR USD + 3.00%, 3.00% Floor)      0.00%  ^     07/18/2031      1,999,774  
4,000,000    Wind River Ltd., Series 2014-2A-DR, (3 Month LIBOR USD + 2.90%, 2.90% Floor)      5.25%  ^     01/15/2031      3,984,892  
2,000,000    Wind River Ltd., Series 2014-2A-ER, (3 Month LIBOR USD + 5.75%, 5.75% Floor)      8.10%  ^     01/15/2031      1,980,963  
7,975,000    Wind River Ltd., Series 2015-2A-ER, (3 Month LIBOR USD + 5.55%)      7.90%  ^     10/15/2027      8,005,165  
500,000    Wind River Ltd., Series 2016-1A-B, (3 Month LIBOR USD + 2.35%)      4.70%  ^     07/15/2028      499,993  
500,000    Wind River Ltd., Series 2016-1A-C, (3 Month LIBOR USD + 3.20%)      5.55%  ^     07/15/2028      499,990  
2,000,000    Wind River Ltd., Series 2017-1A-D, (3 Month LIBOR USD + 3.75%)      6.11%  ^     04/18/2029      2,014,518  
1,750,000    Wind River Ltd., Series 2017-1A-E, (3 Month LIBOR USD + 6.42%)      8.78%  ^     04/18/2029      1,761,948  
1,500,000    Wind River Ltd., Series 2017-4A-D, (3 Month LIBOR USD + 2.65%)      4.98%  ^     11/20/2030      1,478,324  
1,500,000    Wind River Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%)      0.00%  ^     07/15/2030      1,500,000  
           

 

 

  

Total Collateralized Loan Obligations (Cost $210,134,092)

 

         210,587,683  
     

 

 

  

Foreign Corporate Bonds - 12.9%

 

      
300,000    Adani Ports & Special Economic Zone Ltd.      3.50%       07/29/2020      296,688  
1,200,000    Adani Ports & Special Economic Zone Ltd.      3.95%       01/19/2022      1,178,363  
500,000    AES Andres B.V.      7.95%  ^     05/11/2026      517,500  
2,000,000    Alibaba Group Holding Ltd.      3.13%       11/28/2021      1,981,608  
200,000    Alibaba Group Holding Ltd.      2.80%       06/06/2023      192,634  
400,000    America Movil S.A.B. de C.V.      5.00%       03/30/2020      411,376  
200,000    America Movil S.A.B. de C.V.      3.13%       07/16/2022      196,876  
700,000    Avation Capital S.A.      6.50%  ^     05/15/2021      705,250  
255,000    Ardagh Packaging Finance, Inc.      7.25%  ^     05/15/2024      266,156  
500,000    Ardagh Packaging Finance, Inc.      6.00%  ^     02/15/2025      488,125  
3,200,000    Axiata SPV2 BHD      3.47%       11/19/2020      3,186,240  
500,000    Banco BTG Pactual S.A.      5.50%       01/31/2023      466,250  
300,000    Banco BTG Pactual S.A., (5 Year CMT Rate + 6.98%)      8.75%  †     09/18/2019      303,906  
200,000    Banco de Bogota S.A.      6.25%       05/12/2026      204,626  
600,000    Banco de Costa Rica      5.25%       08/12/2018      600,720  
800,000    Banco de Credito del Peru      2.25%       10/25/2019      789,000  
1,300,000    Banco de Credito del Peru      5.38%       09/16/2020      1,353,300  
2,206,000    Banco de Credito e Inversiones      4.00%       02/11/2023      2,198,179  
200,000    Banco de Reservas de la Republica Dominicana      7.00%       02/01/2023      202,000  
200,000    Banco de Reservas de la Republica Dominicana      7.00%  ^     02/01/2023      202,000  
900,000    Banco del Estado de Chile      4.13%       10/07/2020      910,530  
800,000    Banco del Estado de Chile      2.67%  ^     01/08/2021      779,871  
800,000    Banco del Estado de Chile      3.88%       02/08/2022      799,339  
3,700,000    Banco do Brasil S.A., (10 Year CMT Rate + 4.40%)      6.25%  †     04/15/2024      2,909,125  
3,000,000    Banco International del Peru S.A.A.      5.75%       10/07/2020      3,135,000  
500,000    Banco Latinoamericano do Comercio Exterior S.A.      3.25%       05/07/2020      495,000  
650,000    Banco Macro S.A., (5 Year Swap Rate USD + 5.46%)      6.75%       11/04/2026      611,000  
200,000    Banco Mercantil del Norte S.A., (5 Year CMT Rate + 4.45%)      5.75%       10/04/2031      183,750  
200,000    Banco Mercantil del Norte S.A., (5 Year CMT Rate + 5.04%)      6.88%  †     07/06/2022      198,468  
451,000    Banco Nacional de Costa Rica      4.88%       11/01/2018      452,128  
300,000    Banco Santander      3.88%       09/20/2022      299,028  
1,890,000    Banco Santander, (5 Year CMT Rate + 4.58%)      5.95%       01/30/2024      1,906,538  
1,300,000    Bancolombia S.A.      6.13%       07/26/2020      1,356,875  
200,000    Banistmo S.A.      3.65%  ^     09/19/2022      189,250  
500,000    BBVA Banco Continental S.A.      5.00%       08/26/2022      514,375  
200,000    BBVA Bancomer S.A., (5 Year CMT Rate + 3.00%)      5.35%       11/12/2029      186,500  
700,000    BBVA Bancomer S.A., (5 Year CMT Rate + 2.65%)      5.13%       01/18/2033      623,875  
800,000    BDO Unibank, Inc.      2.63%       10/24/2021      770,990  
3,150,000    BDO Unibank, Inc.      2.95%       03/06/2023      2,984,351  
500,000    Bharat Petroleum Corporation Ltd.      4.63%       10/25/2022      507,995  
2,200,000    Bharti Airtel Ltd.      5.13%       03/11/2023      2,178,367  
1,500,000    Bharti Airtel Ltd.      4.38%       06/10/2025      1,384,781  
2,400,000    BPRL International Singapore Pte Ltd.      4.38%       01/18/2027      2,283,790  
600,000    C&W Senior Financing DAC      6.88%       09/15/2027      576,750  
50,000    Camposol S.A.      10.50%  ^     07/15/2021      52,750  
300,000    Canacol Energy Ltd.      7.25%  ^     05/03/2025      290,625  
700,000    Canacol Energy Ltd.      7.25%       05/03/2025      678,125  
348,000    Celulosa Arauco y Constitucion S.A.      7.25%       07/29/2019      362,355  
605,000    Celulosa Arauco y Constitucion S.A.      5.00%       01/21/2021      621,190  
500,000    Celulosa Arauco y Constitucion S.A.      4.75%       01/11/2022      512,380  
200,000    CK Hutchison International Ltd.      2.25%  ^     09/29/2020      195,669  
500,000    CK Hutchison International Ltd.      2.88%       04/05/2022      487,622  
200,000    CK Hutchison International Ltd.      2.88%  ^     04/05/2022      195,049  
300,000    CK Hutchison International Ltd.      2.75%  ^     03/29/2023      286,979  
400,000    CK Hutchison International Ltd.      2.75%       03/29/2023      382,639  
800,000    CK Hutchison International Ltd.      3.50%  ^     04/05/2027      768,287  
600,000    CNOOC Finance Ltd.      4.25%       01/26/2021      612,022  
500,000    CNOOC Finance Ltd.      3.88%       05/02/2022      503,544  
2,000,000    CNOOC Finance Ltd.      3.50%       05/05/2025      1,930,788  
600,000    CNPC General Capital Ltd.      3.95%       04/19/2022      605,898  
600,000    CNPC General Capital Ltd.      3.40%       04/16/2023      592,126  
1,400,000    CNPC Overseas Capital Ltd.      4.50%       04/28/2021      1,438,622  
150,000    Coca-Cola Femsa S.A.B. de C.V.      3.88%       11/26/2023      150,403  
100,000    Colombia Telecomunicaciones S.A., (5 Year Swap Rate USD + 6.96%)      8.50%  †     03/30/2020      104,750  
400,000    Comcel Trust      6.88%       02/06/2024      411,430  
3,100,000    Corpbanca S.A.      3.88%       09/22/2019      3,114,843  
200,000    Cosan Overseas Ltd.      7.00%       01/20/2027      194,500  
400,000    Cosan Overseas Ltd.      8.25%  †     08/05/2018      400,500  
800,000    DBS Group Holdings Ltd., (3 Month LIBOR USD + 0.62%)      2.98%       07/25/2022      802,339  
1,000,000    DBS Group Holdings Ltd., (3 Month LIBOR USD + 0.62%)      2.98%  ^     07/25/2022      1,002,924  
2,300,000    DBS Group Holdings Ltd., (5 Year Swap Rate USD + 2.39%)      3.60%  †     09/07/2021      2,201,208  
100,000    Delek & Avner Tamar Bond Ltd.      5.08%  ^     12/30/2023      100,280  
520,000    Delek & Avner Tamar Bond Ltd.      5.41%  ^     12/30/2025      523,510  
200,000    Digicel Ltd.      8.25%       09/30/2020      151,750  
2,000,000    Digicel Ltd.      7.13%       04/01/2022      1,325,000  
1,100,000    ECL S.A.      5.63%       01/15/2021      1,140,532  
3,800,000    Ecopetrol S.A.      7.63%       07/23/2019      3,975,940  
300,000    Ecopetrol S.A.      5.88%       09/18/2023      318,750  
2,607,000    Embotelladora Andina S.A.      5.00%       10/01/2023      2,706,343  
382,600    Empresa Electrica Angamos S.A.      4.88%       05/25/2029      374,558  
1,267,355    ENA Norte Trust      4.95%       04/25/2023      1,276,860  
2,200,000    ESAL GMBH      6.25%       02/05/2023      2,059,750  
1,800,000    Export-Import Bank of India      4.00%       01/14/2023      1,786,154  
485,000    FMG Resources Ltd.      4.75%  ^     05/15/2022      469,844  
500,000    Fomento Economico Mexicano S.A.B. de C.V.      2.88%       05/10/2023      478,164  
2,000,000    Fondo Mivivienda S.A.      3.38%       04/02/2019      2,000,000  
400,000    Fondo Mivivienda S.A.      3.50%  ^     01/31/2023      386,604  
1,300,000    Fondo Mivivienda S.A.      3.50%       01/31/2023      1,256,463  
300,000    Fresnillo PLC      5.50%       11/13/2023      310,500  
800,000    Geopark Ltd.      6.50%       09/21/2024      771,448  
1,700,000    Global Bank Corporation      5.13%       10/30/2019      1,716,660  
1,000,000    Global Bank Corporation      4.50%  ^     10/20/2021      976,000  
1,500,000    Global Bank Corporation      4.50%       10/20/2021      1,464,000  
2,600,000    Gohl Capital Ltd.      4.25%       01/24/2027      2,465,681  
1,300,000    Gran Tierra Energy International Holdings Ltd.      6.25%       02/15/2025      1,223,625  
400,000    Grupo Idesa S.A. de C.V.      7.88%       12/18/2020      312,000  
403,531    Guanay Finance Ltd.      6.00%       12/15/2020      406,558  
715,000    GW Honos Security Corporation      8.75%  ^     05/15/2025      732,875  
410,000    Hulk Finance Corporation      7.00%  ^     06/01/2026      393,600  
800,000    Hutchison Whampoa International Ltd.      3.25%       11/08/2022      788,019  
300,000    Indian Oil Corporation Ltd.      5.63%       08/02/2021      313,539  
3,300,000    Indian Oil Corporation Ltd.      5.75%       08/01/2023      3,485,909  
900,000    Industrial Senior Trust      5.50%       11/01/2022      889,875  
200,000    Inkia Energy Ltd.      5.88%       11/09/2027      187,250  
420,000    Intelsat Jackson Holdings S.A.      5.50%       08/01/2023      377,874  
300,000    Inversiones CMPC S.A.      6.13%       11/05/2019      311,250  
1,560,000    Inversiones CMPC S.A.      4.50%       04/25/2022      1,577,150  
400,000    Israel Electric Corporation Ltd.      5.00%  ^     11/12/2024      411,600  
1,500,000    Itau Unibanco Holding S.A., (5 Year CMT Rate + 3.86%)      6.50%  †     03/19/2023      1,425,000  
600,000    Itau Unibanco Holding S.A., (5 Year CMT Rate + 3.98%)      6.13%  †     12/12/2022      561,750  
765,000    Kronos Acquisition Holdings, Inc.      9.00%  ^     08/15/2023      690,412  
1,000,000    Latam Finance Ltd.      6.88%       04/11/2024      982,500  
144,000    Magnesita Finance Ltd.      8.63%  †     07/30/2018      143,820  
3,787,000    Malayan Banking BHD, (5 Year Swap Rate USD + 2.54%)      3.91%       10/29/2026      3,734,758  
1,000,000    MARB BondCo PLC      7.00%  ^     03/15/2024      965,000  
700,000    MARB BondCo PLC      6.88%       01/19/2025      667,188  
400,000    Marfrig Holdings Europe B.V.      8.00%  ^     06/08/2023      406,500  
435,000    MEG Energy Corporation      7.00%  ^     03/31/2024      408,356  
1,300,000    Minerva Luxembourg S.A.      6.50%       09/20/2026      1,196,000  
1,000,000    Minerva Luxembourg S.A.      5.88%       01/19/2028      876,750  
770,000    New Red Finance, Inc.      5.00%  ^     10/15/2025      732,424  
200,000    OAS Financial Ltd., (5 Year CMT Rate + 8.19%)      8.88%  †W     07/30/2018      18,000  
800,000    ONGC Videsh Ltd.      2.88%       01/27/2022      766,910  
3,000,000    ONGC Videsh Ltd.      3.75%       07/27/2026      2,806,209  
3,000,000    Oversea-Chinese Banking Corporation, (5 Year Swap Rate USD + 2.20%)      4.00%       10/15/2024      3,012,007  
3,150,000    Pampa Energia S.A.      7.50%       01/24/2027      2,850,750  
2,105,000    Panama Metro Line SP      0.00%  ^     12/05/2022      1,890,816  
2,100,000    Panama Metro Line SP      0.00%       12/05/2022      1,886,325  
3,300,000    Petrobras Global Finance B.V.      5.75%       02/01/2029      2,906,079  
500,000    Petrobras Global Finance B.V.      7.25%       03/17/2044      464,375  
2,000,000    Petronas Capital Ltd.      3.50%       03/18/2025      1,936,422  
300,000    Petronas Global Sukuk Ltd.      2.71%       03/18/2020      297,077  
1,500,000    PSA International Ltd.      3.88%       02/11/2021      1,524,455  
3,300,000    Reliance Holdings, Inc.      5.40%       02/14/2022      3,428,056  
900,000    SACI Falabella      3.75%       04/30/2023      881,541  
1,000,000    Singtel Group Treasury      4.50%       09/08/2021      1,032,849  
2,300,000    Sinopec Group Overseas Development Ltd.      2.75%       09/29/2026      2,069,234  
275,000    Stars Group Holdings B.V.      7.00%  ^     07/15/2026      278,437  
575,000    Superior Plus LP      7.00%  ^     07/15/2026      581,469  
1,500,000    Telefonica Chile S.A.      3.88%       10/12/2022      1,487,376  
485,000    Telesat LLC      8.88%  ^     11/15/2024      520,163  
4,200,000    Temasek Financial Ltd.      2.38%       01/23/2023      4,038,925  
800,000    Tencent Holdings Ltd.      3.38%       05/02/2019      803,325  
300,000    Tencent Holdings Ltd.      2.88%       02/11/2020      298,717  
1,500,000    Tencent Holdings Ltd., (3 Month LIBOR USD + 0.61%)      2.96%  ^     01/19/2023      1,498,621  
710,000    Tervita Escrow Corporation      7.63%  ^     12/01/2021      727,750  
375,000    Teva Pharmaceutical Finance B.V.      6.75%       03/01/2028      382,739  
400,000    Transelec S.A.      4.63%       07/26/2023      410,412  
1,400,000    Transportadora de Gas del Peru S.A.      4.25%       04/30/2028      1,353,590  
1,500,000    Transportadora de Gas Internacional S.A.      5.70%       03/20/2022      1,526,250  
400,000    Unifin Financiera S.A.B. de C.V., (5 Year CMT Rate + 6.31%)      8.88%  †     01/29/2025      359,204  
500,000    Union Bank of the Philippines      3.37%       11/29/2022      475,903  
1,500,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.00%)      3.75%       09/19/2024      1,500,305  
2,400,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.24%)      3.50%       09/16/2026      2,357,753  
3,000,000    UPL Corporation      3.25%       10/13/2021      2,908,368  
1,100,000    Vedanta Resources PLC      6.13%       08/09/2024      969,564  
300,000    VTR Finance B.V.      6.88%       01/15/2024      302,535  
2,200,000    YPF S.A.      8.50%       07/28/2025      2,103,090  
1,000,000    YPF S.A.      6.95%       07/21/2027      861,250  
           

 

 

  

Total Foreign Corporate Bonds (Cost $171,782,744)

            166,631,264  
        

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 2.9%

         
2,800,000    Argentine Republic Government International Bond      6.88%       01/26/2027      2,474,500  
700,000    Argentine Republic Government International Bond      5.88%       01/11/2028      570,937  
1,100,000    Argentine Republic Government International Bond      6.63%       07/06/2028      930,875  
2,500,000    Chile Government International Bond      3.13%       03/27/2025      2,418,750  
2,200,000    Chile Government International Bond      3.13%       01/21/2026      2,110,900  
800,000    Costa Rica Government International Bond      10.00%       08/01/2020      874,000  
2,700,000    Indonesia Government International Bond      4.88%       05/05/2021      2,781,670  
1,400,000    Israel Government International Bond      4.00%       06/30/2022      1,439,770  
1,500,000    Israel Government International Bond      3.15%       06/30/2023      1,485,954  
1,200,000    Israel Government International Bond      2.88%       03/16/2026      1,142,025  
3,000,000    Malaysia Sovereign Sukuk BHD      3.04%       04/22/2025      2,864,460  
250,000    Malaysia Sukuk Global BHD      3.18%       04/27/2026      237,288  
700,000    Mexico Government International Bond      4.00%       10/02/2023      703,412  
800,000    Mexico Government International Bond      4.15%       03/28/2027      789,600  
700,000    Mexico Government International Bond      3.75%       01/11/2028      662,725  
2,000,000    Panama Government International Bond      5.20%       01/30/2020      2,072,500  
1,900,000    Panama Government International Bond      4.00%       09/22/2024      1,919,000  
600,000    Panama Government International Bond      3.88%       03/17/2028      591,000  
1,000,000    Perusahaan Penerbit      4.15%       03/29/2027      965,000  
1,700,000    Perusahaan Penerbit      4.15%  ^     03/29/2027      1,640,500  
1,700,000    Philippine Government International Bond      4.00%       01/15/2021      1,723,336  
3,800,000    Philippine Government International Bond      4.20%       01/21/2024      3,885,337  
2,200,000    Provincia de Buenos Aires      7.88%       06/15/2027      1,936,000  
1,300,000    Wakala Global Sukuk BHD      4.65%       07/06/2021      1,347,086  
           

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $39,338,433)

      37,566,625  
        

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 9.1%

         
916,000    20 Times Square Trust, Series 2018-20TS-F      3.20%  ^     05/15/2035      856,288  
916,000    20 Times Square Trust, Series 2018-20TS-G      3.20%  ^     05/15/2035      838,018  
159,000    Americold LLC, Series 2010-ARTA-C      6.81%  ^     01/14/2029      168,547  
2,326,000    AREIT Trust, Series 2018-CRE1-AS, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.32%  ^     02/15/2035      2,329,489  
1,524,000    AREIT Trust, Series 2018-CRE1-B, (1 Month LIBOR USD + 1.65%, 1.65% Floor)      3.72%  ^     02/15/2035      1,530,664  
1,532,000    Atrium Hotel Portfolio Trust, Series 2017-ATRM-E, (1 Month LIBOR USD + 3.05%)      5.12%  ^     12/15/2036      1,531,476  
1,898,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-E, (1 Month LIBOR USD + 3.40%, 3.40% Floor)      5.36%  ^     06/15/2035      1,907,329  
25,568,153    BANK, Series 2017-BNK5-XA      1.24%  #I/O     06/15/2060      1,739,212  
45,187,757    BANK, Series 2018-BNK11-XA      0.65%  #I/O     03/15/2061      1,780,547  
1,259,000    Barclays Commercial Mortgage Securities LLC, Series 2014-BXO-E, (1 Month LIBOR USD + 3.75%, 2.56% Floor)      5.82%  ^     08/15/2027      1,264,546  
11,300,460    Barclays Commercial Mortgage Securities LLC, Series 2017-C1-XA      1.69%  #I/O     02/15/2050      1,105,440  
203,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C, (1 Month LIBOR USD + 1.20%)      3.27%  ^     08/15/2036      203,214  
231,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D, (1 Month LIBOR USD + 1.70%)      3.77%  ^     08/15/2036      231,253  
485,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E, (1 Month LIBOR USD + 2.50%)      4.57%  ^     08/15/2036      487,302  
465,000    Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F, (1 Month LIBOR USD + 3.50%)      5.57%  ^     08/15/2036      468,124  
1,430,000    BBCMS Mortgage Trust, Series 2017-GLKS-E, (1 Month LIBOR USD + 2.85%, 2.75% Floor)      4.92%  ^     11/15/2034      1,431,948  
956,000    BBCMS Mortgage Trust, Series 2018-TALL-E, (1 Month LIBOR USD + 2.44%)      4.51%  ^     03/15/2037      962,801  
1,430,000    BB-UBS Trust, Series 2012-TFT-TE      3.68%  #^     06/05/2030      1,309,338  
250,000    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.57%  #     01/12/2045      229,617  
794,000    Bsprt Issuer Ltd., Series 2017-FL1-B, (1 Month LIBOR USD + 2.40%)      4.47%  ^     06/15/2027      798,065  
487,000    BX Commercial Mortgage Trust, Series 2018-BIOA-D, (1 Month LIBOR USD + 1.32%, 1.35% Floor)      3.39%  ^     03/15/2037      485,491  
479,318    BX Trust, Series 2017-APPL-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.12%  ^     07/15/2034      481,776  
742,491    BX Trust, Series 2017-APPL-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%  ^     07/15/2034      748,435  
508,000    BX Trust, Series 2017-SLCT-D, (1 Month LIBOR USD + 2.05%)      4.12%  ^     07/15/2034      509,113  
836,000    BX Trust, Series 2017-SLCT-E, (1 Month LIBOR USD + 3.15%)      5.22%  ^     07/15/2034      840,448  
1,914,000    BX Trust, Series 2018-BIOA-E, (1 Month LIBOR USD + 1.95%, 1.98% Floor)      4.02%  ^     03/15/2037      1,908,535  
611,000    BX Trust, Series 2018-GW, (1 Month LIBOR USD + 1.97%, 1.97% Floor)      3.87%  ^     05/15/2035      612,458  
611,000    BX Trust, Series 2018-GW, (1 Month LIBOR USD + 2.42%, 2.42% Floor)      4.32%  ^     05/15/2035      613,203  
611,000    BX Trust, Series 2018-GW-G, (1 Month LIBOR USD + 2.92%, 2.92% Floor)      4.82%  ^     05/15/2035      613,791  
1,788,000    BX Trust, Series 2018-MCSF, (1 Month LIBOR USD + 2.65%, 2.65% Floor)      4.72%  ^     04/15/2035      1,776,324  
13,206,523    CD Commercial Mortgage Trust, Series 2017-CD3-XA      1.19%  # I/O     02/10/2050      907,632  
7,503,625    CFCRE Commercial Mortgage Trust, Series 2016-C4-XA      1.90%  # I/O     05/10/2058      758,018  
9,631,227    CFCRE Commercial Mortgage Trust, Series 2017-C8-XA      1.83%  # I/O     06/15/2050      997,187  
22,058,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-X      1.85%  # ^I/O     02/15/2033      1,503,729  
563,000    CGDBB Commercial Mortgage Trust, Series 2017-BIOC-D, (1 Month LIBOR USD + 1.60%, 1.60% Floor)      3.67%  ^     07/15/2032      564,285  
788,000    CGDBB Commercial Mortgage Trust, Series 2017-BIOC-E, (1 Month LIBOR USD + 2.15%, 2.25% Floor)      4.22%  ^     07/15/2032      787,576  
1,711,000    CGGS Commercial Mortgage Trust, Series 2018-WSS-D, (1 Month LIBOR USD + 2.30%, 2.30% Floor)      4.37%  ^     02/15/2037      1,718,670  
44,178,000    CGGS Commercial Mortgage Trust, Series 2018-WSS-XCP      1.04%  # ^I/O     02/15/2037      496,724  
940,000    CHT Mortgage Trust, Series 2017-CSMO-E, (1 Month LIBOR USD + 3.00%, 3.00% Floor)      5.07%  ^     11/15/2036      947,303  
501,000    CHT Mortgage Trust, Series 2017-CSMO-F, (1 Month LIBOR USD + 3.74%, 3.80% Floor)      5.81%  ^     11/15/2036      505,949  
81,728    Citigroup Commercial Mortgage Trust, Series 2008-C7-AM      6.34%  #     12/10/2049      81,614  
100,000    Citigroup Commercial Mortgage Trust, Series 2014-GC21-D      5.00%  # ^     05/10/2047      87,338  
1,815,307    Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA      1.18%  # I/O     10/10/2047      94,372  
200,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.58%  # ^     02/10/2048      173,403  
3,296,400    Citigroup Commercial Mortgage Trust, Series 2016-P4-XA      2.16%  # I/O     07/10/2049      382,267  
530,000    Citigroup Commercial Mortgage Trust, Series 2018-TBR-E, (1 Month LIBOR USD + 2.80%, 2.90% Floor)      4.87%  ^     12/15/2036      534,428  
1,040,000    Citigroup Commercial Mortgage Trust, Series 2018-TBR-F, (1 Month LIBOR USD + 3.65%, 3.75% Floor)      5.72%  ^     12/15/2036      1,049,762  
571,000    CLNS Trust, Series 2017-IKPR-D, (1 Month LIBOR USD + 2.05%, 2.05% Floor)      4.10%  ^     06/11/2032      572,375  
571,000    CLNS Trust, Series 2017-IKPR-E, (1 Month LIBOR USD + 3.50%, 3.50% Floor)      5.55%  ^     06/11/2032      574,131  
571,000    CLNS Trust, Series 2017-IKPR-F, (1 Month LIBOR USD + 4.50%, 4.50% Floor)      6.55%  ^     06/11/2032      576,103  
484,348    COBALT Commercial Mortgage Trust, Series 2007-C2-AJFX      5.57%  #     04/15/2047      486,508  
440,000    Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-C      4.44%  # ^     10/15/2045      398,120  
1,187,000    Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-D      4.73%  # ^     10/15/2045      611,646  
2,836,345    Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA      0.95%  # I/O     08/10/2046      81,629  
2,000,000    Commercial Mortgage Pass-Through Certificates, Series 2013-CR11-D      5.33%  # ^     08/10/2050      1,895,460  
1,565,000    Commercial Mortgage Pass-Through Certificates, Series 2013-LC13-D      5.29%  # ^     08/10/2046      1,512,149  
1,269,284    Commercial Mortgage Pass-Through Certificates, Series 2014-CR17-XA      1.24%  # I/O     05/10/2047      53,114  
100,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR19-C      4.87%  #     08/10/2047      99,347  
125,000    Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C      4.65%  #     11/10/2047      123,874  
375,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-D      4.26%  # ^     03/10/2048      313,978  
300,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR23-D      4.39%  #     05/10/2048      247,254  
8,137,205    Commercial Mortgage Pass-Through Certificates, Series 2015-CR27-XA      1.29%  # I/O     10/10/2048      454,571  
2,419,725    Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA      1.28%  # I/O     02/10/2048      119,822  
815,000    Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-C      4.45%  #     07/10/2048      799,997  
406,000    Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-C      4.80%  #     10/10/2048      403,656  
3,572,937    Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-XA      1.21%  # I/O     02/10/2049      213,924  
13,262,962    Commercial Pass-Through Certificates, Series 2015-CR25-XA      1.08%  # I/O     08/10/2048      650,405  
13,335,451    Commercial Pass-Through Certificates, Series 2015-LC21-XA      0.98%  # I/O     07/10/2048      488,604  
303,106    Credit Suisse Commercial Mortgage Trust, Series 2007-C1-AM      5.42%       02/15/2040      307,561  
2,018,458    Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1      0.70%  # ^I/O     09/15/2037      64,519  
2,675,490    CSAIL Commercial Mortgage Trust, Series 2015-C1-XA      1.07%  # I/O     04/15/2050      119,501  
1,229,000    CSMC Trust, Series 2017-CHOP-E, (1 Month LIBOR USD + 3.30%, 3.30% Floor)      5.37%  ^     07/15/2032      1,235,477  
1,898,000    DBGS Mortgage Trust, Series 2018-5BP-F, (1 Month LIBOR USD + 2.45%, 2.45% Floor)      4.35%  ^     06/15/2033      1,890,537  
1,885,000    DBGS Mortgage Trust, Series 2018-BIOD-C, (1 Month LIBOR USD + 0.95%, 0.95% Floor)      2.85%  ^     05/15/2035      1,868,131  
454,459    FORT LLC, Series 2016-1A-B, (1 Month LIBOR USD + 2.75%, 2.75% Floor)      4.84%  ^     05/21/2036      456,566  
363,600    FREMF Mortgage Trust, Series 2016-KF22-B, (1 Month LIBOR USD + 5.05%, 5.05% Floor)      7.05%  ^     07/25/2023      366,882  
161,659    GE Commercial Mortgage Corporation Trust, Series 2007-C1-AM      5.61%  #     12/10/2049      160,439  
406,000    GMAC Commercial Mortgage Securities Trust, Series 2004-C3-D      5.04%  #     12/10/2041      406,233  
564,000    GMAC Commercial Mortgage Securities Trust, Series 2004-C3-E      5.14%  # ^     12/10/2041      552,660  
100,000    Grace Mortgage Trust, Series 2014-GRCE-A      3.37%  ^     06/10/2028      100,512  
424,000    Great Wolf Trust, Series 2017-WOLF-D, (1 Month LIBOR USD + 2.10%, 1.00% Floor)      4.32%  ^     09/15/2034      425,605  
657,000    Great Wolf Trust, Series 2017-WOLF-E, (1 Month LIBOR USD + 3.10%, 1.00% Floor)      5.32%  ^     09/15/2034      661,037  
350,000    Great Wolf Trust, Series 2017-WOLF-F, (1 Month LIBOR USD + 4.07%, 1.00% Floor)      6.29%  ^     09/15/2034      352,521  
2,937,083    GS Mortgage Securities Corporation, Series 2013-GC10-XA      1.69%  # I/O     02/10/2046      162,336  
3,088,204    GS Mortgage Securities Corporation, Series 2014-GC20-XA      1.17%  # I/O     04/10/2047      133,782  
8,977,331    GS Mortgage Securities Corporation, Series 2014-GC24-XA      0.95%  # I/O     09/10/2047      319,499  
257,000    GS Mortgage Securities Trust, Series 2013-GC13-D      4.22%  # ^     07/10/2046      236,046  
7,361,851    GS Mortgage Securities Trust, Series 2015-GS1-XA      0.96%  # I/O     11/10/2048      353,205  
7,374,609    GS Mortgage Securities Trust, Series 2016-GS2-XA      1.81%  # I/O     05/10/2049      680,832  
1,056,000    GSCCRE Commercial Mortgage Trust, Series 2015-HULA-D, (1 Month LIBOR USD + 3.75%)      5.82%  ^     08/15/2032      1,061,577  
1,263,000    Hunt Ltd., Series 2017-FL1-C, (1 Month LIBOR USD + 2.40%)      4.47%  ^     08/15/2034      1,273,107  
556,000    IMT Trust, Series 2017-APTS-EFL, (1 Month LIBOR USD + 2.15%)      4.22%  ^     06/15/2034      556,100  
556,000    IMT Trust, Series 2017-APTS-FFL, (1 Month LIBOR USD + 2.85%)      4.92%  ^     06/15/2034      557,592  
114,608    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP9-AM      5.37%       05/15/2047      114,708  
415,932    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-C1-AM      6.11%  #     02/15/2051      415,127  
157,703    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-AM      5.47%  #     06/12/2047      157,799  
100,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-DSTY-A      3.43%  ^     06/10/2027      99,879  
322,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-B, (1 Month LIBOR USD + 1.00%, 1.00% Floor)      3.07%  ^     06/15/2032      322,278  
243,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.32%  ^     06/15/2032      243,934  
786,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-D, (1 Month LIBOR USD + 1.90%, 1.90% Floor)      3.97%  ^     06/15/2032      784,105  
340,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-C, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.30%  ^     07/15/2034      340,669  
320,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-D, (1 Month LIBOR USD + 1.95%, 1.95% Floor)      4.00%  ^     07/15/2034      321,252  
283,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-E, (1 Month LIBOR USD + 2.95%, 2.95% Floor)      5.00%  ^     07/15/2034      284,668  
398,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-MAUI-F, (1 Month LIBOR USD + 3.75%, 3.75% Floor)      5.80%  ^     07/15/2034      400,842  
630,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-C, (1 Month LIBOR USD + 1.60%, 1.60% Floor)      3.60%  ^     06/15/2032      631,647  
250,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-D, (1 Month LIBOR USD + 2.10%, 2.30% Floor)      4.10%  ^     06/15/2032      250,636  
80,000    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-E, (1 Month LIBOR USD + 3.00%, 3.35% Floor)      5.00%  ^     06/15/2032      80,197  
412,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2004-CBX-D      5.10%  #     01/12/2037      417,887  
1,266,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9-AMS      5.34%       05/15/2047      1,262,676  
266,021    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11-AM      6.16%  #     06/15/2049      268,665  
109,225    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM      5.46%  #     01/15/2049      109,332  
543,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-FRR1-A707      4.35%  ^     01/27/2047      539,498  
929,050    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-FL7-C, (1 Month LIBOR USD + 2.85%, 2.85% Floor)      4.92%  ^     05/15/2028      930,218  
1,476,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1-F      4.90%  # ^ Þ     01/15/2049      1,038,255  
883,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-MAR7-D      5.23%  ^     06/05/2032      874,870  
399,106    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-B, (1 Month LIBOR USD + 2.15%, 2.15% Floor)      4.22%  ^     10/15/2034      399,689  
225,112    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-ASH-C, (1 Month LIBOR USD + 2.75%, 2.75% Floor)      4.82%  ^     10/15/2034      225,665  
6,388,383    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4-XA      0.94%  # I/O     12/15/2049      267,499  
1,431,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E      4.14%  # ^     10/05/2031      1,394,686  
1,955,550    JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA      1.10%  # I/O     02/15/2047      74,516  
1,190,224    JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XA      1.19%  # I/O     08/15/2047      57,534  
100,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C      4.60%  #     09/15/2047      100,499  
150,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-C      4.59%  #     11/15/2047      148,114  
425,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C      4.57%  #     01/15/2048      418,132  
6,500,255    JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA      0.97%  # I/O     05/15/2048      209,869  
5,602,323    JPMBB Commercial Mortgage Securities Trust, Series 2015-C31-XA      1.12%  # I/O     08/15/2048      273,026  
470,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C      4.77%  #     12/15/2048      471,898  
9,198,796    JPMDB Commercial Mortgage Securities Trust, Series 2016-C4-XA      0.96%  #I/O     12/15/2049      503,646  
2,532,000    LCCM, Series 2017-LC26-C      4.71%  ^     07/12/2050      2,452,390  
4,281,146    LSTAR Commercial Mortgage Trust, Series 2016-4-XA      2.10%  #^I/O     03/10/2049      303,313  
16,783,478    LSTAR Commercial Mortgage Trust, Series 2017-5-X      1.39%  #^I/O     03/10/2050      806,975  
57,824    Merrill Lynch Mortgage Trust, Series 2007-C1-AM      5.99%  #     06/12/2050      57,888  
100,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C      4.49%  #     10/15/2047      96,744  
500,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C      4.00%       12/15/2047      474,979  
500,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C      4.61%  #     02/15/2048      491,813  
1,664,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-D      3.07%  ^     02/15/2048      1,339,863  
180,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21-C      4.30%  #     03/15/2048      172,156  
360,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23-C      4.27%  #     07/15/2050      347,033  
550,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26-D      3.06%  ^     10/15/2048      443,019  
274,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C      4.68%  #     12/15/2047      264,322  
2,000,000    Morgan Stanley Capital Trust, Series 2007-IQ15-B      6.28%  #^     06/11/2049      2,016,725  
393,000    Morgan Stanley Capital Trust, Series 2017-ASHF-D, (1 Month LIBOR USD + 2.20%, 2.20% Floor)      4.27%  ^     11/15/2034      394,971  
590,000    Morgan Stanley Capital Trust, Series 2017-ASHF-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%  ^     11/15/2034      590,147  
447,000    Morgan Stanley Capital Trust, Series 2017-ASHF-F, (1 Month LIBOR USD + 4.35%, 4.35% Floor)      6.42%  ^     11/15/2034      450,077  
679,000    Morgan Stanley Capital Trust, Series 2017-CLS-E, (1 Month LIBOR USD + 1.95%, 1.95% Floor)      4.02%  ^     11/15/2034      679,482  
755,000    Morgan Stanley Capital Trust, Series 2017-CLS-F, (1 Month LIBOR USD + 2.60%, 2.60% Floor)      4.67%  ^     11/15/2034      755,720  
150,000    Morgan Stanley Capital, Inc., Series 2014-MP-D      3.82%  #^     08/11/2033      147,855  
11,406,745    Morgan Stanley Capital, Inc., Series 2016-UB12-XA      0.95%  #I/O     12/15/2049      538,316  
1,139,973    Motel 6 Trust, Series 2017-MTL6-D, (1 Month LIBOR USD + 2.15%, 2.15% Floor)      4.22%  ^     08/15/2034      1,144,439  
577,417    MSCG Trust, Series 2016-SNR-C      5.21%  ^     11/15/2034      575,861  
1,919,000    Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-C, (1 Month LIBOR USD + 2.20%, 2.20% Floor)      4.12%  ^     06/15/2035      1,919,157  
116,519,494    Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-XCP      0.00%  #^I/O     06/15/2021      1,736,840  
907,578    PFP Ltd., Series 2017-4-C, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.32%  ^     07/14/2035      909,846  
1,194,000    RAIT Trust, Series 2017-FL7-B, (1 Month LIBOR USD + 1.60%, 1.60% Floor)      3.67%  ^     06/15/2037      1,194,511  
931,249    Resource Capital Ltd., Series 2017-CRE5-B, (1 Month LIBOR USD + 2.00%)      4.07%  ^     07/15/2034      931,287  
1,290,223    RRX Trust, Series 2014-1A-A      0.00%  ^P/O     08/26/2044      1,294,340  
1,470,625    Tharaldson Hotel Portfolio Trust, Series 2018-THL-E, (1 Month LIBOR USD + 3.18%, 3.10% Floor)      5.23%  ^     11/11/2034      1,475,910  
1,097,000    UBS Commercial Mortgage Trust, Series 2018-C8-C      4.86%  #     02/15/2051      1,078,055  
16,011,404    UBS Commercial Mortgage Trust, Series 2018-C8-XA      1.05%  #I/O     02/15/2051      1,059,031  
931,000    UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1-D      6.25%  #^     01/10/2045      976,616  
536,027    Wachovia Bank Commercial Mortgage Trust, Series 2006-C25-F      5.36%  #     05/15/2043      534,654  
155,532    Wachovia Bank Commercial Mortgage Trust, Series 2006-C26-AM      6.20%  #     06/15/2045      157,093  
843,923    Wachovia Bank Commercial Mortgage Trust, Series 2007-C31-AJ      5.66%  #     04/15/2047      847,637  
203,051    Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AM      6.21%  #     02/15/2051      206,776  
500,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-D      3.94%  ^     08/15/2050      412,881  
200,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C27-C      3.89%       02/15/2048      186,589  
400,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C28-C      4.27%  #     05/15/2048      382,314  
10,660,464    Wells Fargo Commercial Mortgage Trust, Series 2015-C30-XA      1.09%  #I/O     09/15/2058      562,746  
540,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C      4.76%  #     11/15/2048      538,322  
5,863,809    Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA      1.24%  #I/O     11/15/2048      353,330  
2,670,584    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1-XA      1.30%  #I/O     05/15/2048      139,106  
8,786,544    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-XA      0.90%  #I/O     07/15/2058      309,300  
411,000    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-C      4.75%  #     12/15/2048      411,284  
2,721,482    Wells Fargo Commercial Mortgage Trust, Series 2016-C33-XA      1.96%  #I/O     03/15/2059      258,492  
15,643,545    Wells Fargo Commercial Mortgage Trust, Series 2017-C38-XA      1.23%  #I/O     07/15/2050      1,121,533  
3,120,232    Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-XA      1.72%  #I/O     01/15/2060      295,863  
569,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-C, (1 Month LIBOR USD + 1.20%, 1.20% Floor)      3.40%  ^     12/15/2034      569,476  
342,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-D, (1 Month LIBOR USD + 1.65%, 1.65% Floor)      3.85%  ^     12/15/2034      342,525  
1,063,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-E, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.45%  ^     12/15/2034      1,064,743  
1,052,000    Wells Fargo Commercial Mortgage Trust, Series 2018-BXI-E, (1 Month LIBOR USD + 2.16%)      4.23%  ^     12/15/2036      1,049,873  
3,974,213    WF-RBS Commercial Mortgage Trust, Series 2014-C21-XA      1.23%  #I/O     08/15/2047      186,754  
4,996,057    WF-RBS Commercial Mortgage Trust, Series 2016-NXS6-XA      1.79%  #I/O     11/15/2049      453,657  
           

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $120,995,650)

            118,270,517  
        

 

 

  

Non-Agency Residential Collateralized Mortgage Obligations - 19.8%

         
4,931,892    ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2A, (1 Month LIBOR USD + 0.09%, 0.09% Floor)      2.18%       01/25/2037      3,636,407  
3,404,762    Ajax Mortgage Loan Trust, Series 2016-1-A      4.25%  §^     07/25/2047      3,422,755  
3,062,848    Ajax Mortgage Loan Trust, Series 2016-C-A      4.00%  §^     10/25/2057      3,077,668  
6,401,544    Ajax Mortgage Loan Trust, Series 2017-C-A      3.75%  §^     07/25/2060      6,307,122  
7,892,735    APS Resecuritization Trust, Series 2015-3-1MZ, (12 Month US Treasury Average + 0.96%, 0.96% Floor)      2.31%  ^Þ     10/27/2046      6,669,588  
750,000    Banc of America Funding Corporation, Series 2005-B-3M1, (1 Month LIBOR USD + 0.68%, 0.45% Floor, 11.00% Cap)      2.76%       04/20/2035      715,265  
15,000,000    Bayview Opportunity Master Fund Trust, Series 2018-SBR4 A1      4.38%  §^     06/28/2033      15,036,900  
1,539,301    Bear Stearns Alt-A Trust, Series 2006-4-22A1      4.02%  #     08/25/2036      1,395,356  
3,101,587    Bear Stearns ARM Trust, Series 2006-2-2A1      3.99%  #     07/25/2036      2,816,206  
3,087,284    Chase Mortgage Finance Trust, Series 2007-S4-A4, (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap)      2.69%       06/25/2037      1,692,147  
8,728,578    CHL Mortgage Pass-Through Trust, Series 2007-14-A19      6.00%       09/25/2037      7,697,233  
8,106,074    CHL Mortgage Pass-Through Trust, Series 2007-9-A1      5.75%       07/25/2037      7,364,805  
7,210,873    CHL Mortgage Pass-Through Trust, Series 2007-9-A13      5.75%       07/25/2037      6,664,451  
4,800,000    CHL Mortgage Pass-Through Trust, Series 2018-GT1-A, (1 Month LIBOR USD + 2.75%)      4.71%  ^     05/25/2023      4,817,915  
13,420,000    CIM Trust, Series 2017-3RR-B2      12.31%  #^Þ     01/27/2057      14,114,320  
3,792,343    Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1-A1, (1 Month LIBOR USD + 0.15%, 0.15% Floor)      2.24%  ^     09/25/2036      3,668,747  
6,931,734    Citigroup Mortgage Loan Trust, Inc., Series 2006-AR6-2A3, (1 Month LIBOR USD + 0.25%, 0.25% Floor)      2.34%       09/25/2036      6,702,825  
10,727,528    CitiMortgage Alternative Loan Trust, Series 2007-A5-1A1      6.00%       05/25/2037      10,418,480  
1,567,555    CitiMortgage Alternative Loan Trust, Series 2007-A5-1A10      5.75%       05/25/2037      1,502,828  
580,426    Countrywide Alternative Loan Trust, Series 2005-75CB-A3      5.50%       01/25/2036      548,053  
752,588    Countrywide Alternative Loan Trust, Series 2006-23CB-2A2      6.50%       08/25/2036      505,745  
536,647    Countrywide Alternative Loan Trust, Series 2007-15CB-A7      6.00%       07/25/2037      486,481  
774,182    Countrywide Alternative Loan Trust, Series 2008-1R-2A3      6.00%       08/25/2037      650,234  
580,638    Countrywide Home Loans, Series 2005-HYB9-3A2A, (12 Month LIBOR USD + 1.75%, 1.75% Floor, 11.00% Cap)      3.46%       02/20/2036      515,340  
445,724    Countrywide Home Loans, Series 2007-14-A15      6.50%       09/25/2037      405,471  
1,058,325    Countrywide Home Loans, Series 2007-HY1-1A1      3.75%  #     04/25/2037      1,047,939  
417,200    Credit Suisse First Boston Mortgage Backed Trust, Series 2006-2-A5A      6.08%  ß     09/25/2036      252,298  
789,453    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-6A9      5.50%       11/25/2035      666,428  
402,586    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-9-5A9      5.50%       10/25/2035      361,974  
1,500,000    Credit Suisse Mortgage Capital Certificates, Series 2011-12R-3A5      3.33%  #^     07/27/2036      1,510,519  
324,232    Credit Suisse Mortgage Capital Certificates, Series 2011-5R-6A9      3.65%  #^     11/27/2037      327,457  
3,947,825    Credit Suisse Mortgage Trust, Series 2017-1A-A      4.50%  ^     03/25/2021      3,983,721  
6,462,050    CSMC Trust, Series 2017-12R-A1 (1 Month LIBOR USD + 1.45%, 1.00% Floor)      3.36%  ^     10/25/2046      6,540,965  
223,511    Deutsche Mortgage & Asset Receiving Corporation, Series 2014-RS1-1A2      6.83%  #^Þ     07/27/2037      200,338  
451,601    Deutsche Securities, Inc., Series 2006-AB4-A1A      6.01%  #     10/25/2036      429,986  
14,497,075    GCAT LLC, Series 2018-1-A1      3.84%  §^     06/25/2048      14,523,715  
1,113,349    Impac Secured Assets Trust, Series 2006-5-1A1C, (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap)      2.36%       02/25/2037      967,922  
2,669,419    IndyMac Mortgage Loan Trust, Series 2004-AR4-3A      3.98%  #     08/25/2034      2,643,046  
2,469,838    IndyMac Mortgage Loan Trust, Series 2006-AR19-2A1      3.59%  #     08/25/2036      2,244,444  
15,257,800    IndyMac Mortgage Loan Trust, Series 2007-FLX6-1A1, (1 Month LIBOR USD + 0.25%, 0.25% Floor)      2.34%       09/25/2037      14,668,037  
671,970    JP Morgan Mortgage Trust, Series 2005-S3-1A2      5.75%       01/25/2036      545,994  
997,084    JP Morgan Mortgage Trust, Series 2007-A2-4A1M      3.67%  #     04/25/2037      941,746  
198,586    Lehman Mortgage Trust, Series 2006-1-1A3      5.50%       02/25/2036      172,256  
10,488,153    Lehman XS Trust, Series 2006-GP3-1A1, (1 Month LIBOR USD + 0.20%, 0.20% Floor)      2.29%       06/25/2046      10,144,213  
207,511    MASTR Adjustable Rate Mortgages Trust, Series 2006-2-2A1      3.77%       04/25/2036      191,078  
406,428    Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A7      6.00%       03/25/2037      321,575  
900,608    Merrill Lynch Mortgage Investors Trust, Series 2006-AF1-AF2C      6.25%       08/25/2036      728,064  
191,255    Morgan Stanley Mortgage Loan Trust, Series 2005-7-4A1      5.50%       11/25/2035      182,075  
135,360    Morgan Stanley Mortgage Loan Trust, Series 2006-2-2A4      5.75%       02/25/2036      135,843  
502,520    Morgan Stanley Mortgage Loan Trust, Series 2006-2-7A1      5.57%  #     02/25/2036      450,965  
690,180    Morgan Stanley Mortgage Loan Trust, Series 2007-8XS-A1      5.75%  #     04/25/2037      483,174  
10,595,685    Morgan Stanley Resecuritization Trust, Series 2013-R7-8B, (12 Month US Treasury Average + 0.96%, 0.96% Floor)      2.42%  ^Þ     12/26/2046      9,285,137  
5,034,502    New Century Home Equity Loan Trust, Series 2006-1-A2B, (1 Month LIBOR USD + 0.18%, 0.18% Floor, 12.50% Cap)      2.27%       05/25/2036      4,733,095  
4,836,226    Pretium Mortgage Credit Partners LLC, Series 2017-NPL2-A1      3.25%  §^     03/28/2057      4,830,068  
2,444,153    PRPM LLC, Series 2017-1A-A1      4.25%  §^     01/25/2022      2,449,310  
8,067,733    PRPM LLC, Series 2018-1A-A1      3.75%  #^     04/25/2023      8,062,137  
307,989    Residential Accredit Loans, Inc., Series 2006-QS10-A9      6.50%       08/25/2036      288,985  
659,365    Residential Accredit Loans, Inc., Series 2006-QS12-2A3      6.00%       09/25/2036      630,378  
2,219,000    Residential Asset Securitization Trust, Series 2005-A15-5A2      5.75%       02/25/2036      1,705,656  
460,225    Residential Asset Securitization Trust, Series 2006-A2-A11      6.00%       01/25/2046      345,095  
7,428,467    RFMSI Trust, Series 2006-S8-A10      6.00%       09/25/2036      7,034,787  
7,254,650    Soundview Home Loan Trust, Series 2007-OPT1-2A2, (1 Month LIBOR USD + 0.15%, 0.15% Floor)      2.24%       06/25/2037      5,277,453  
3,551,906    Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1      3.75%       12/25/2035      3,418,023  
8,882,339    Structured Asset Securities Corporation, Series 2007-RF1-1A, (1 Month LIBOR USD + 0.19%, 0.19% Floor)      2.28%  ^     03/25/2037      7,983,250  
13,902,420    TBW Mortgage Backed Pass Through, Series 2006-3-4A1, (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap)      2.49%       07/25/2036      2,188,911  
13,902,510    TBW Mortgage Backed Pass Through, Series 2006-3-4A3, (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap)      5.01%  I/FI/O     07/25/2036      2,866,336  
1,997,370    Towd Point Mortgage Trust, Series 2015-2-1A13      2.50%  #^     11/25/2060      1,960,765  
2,653,392    Verus Securitization, Series 2017-1A-A3      3.72%  #^     01/25/2047      2,672,671  
745,732    VOLT LLC, Series 2017-NPL1-A1      3.50%  §^     02/25/2047      747,517  
4,426,032    VOLT LLC, Series 2017-NPL7-A1      3.25%  §^     06/25/2047      4,412,404  
7,806,082    VOLT LLC, Series 2017-NPL8-A1      3.13%  §^     06/25/2047      7,771,152  
1,145,755    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-2-4CB      6.00%       03/25/2036      1,114,942  
805,872    Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1      6.25%       11/25/2037      797,277  
164,086    Wells Fargo Mortgage Backed Securities Trust, Series 2007-2-1A15      5.75%       03/25/2037      162,256  
94,313    Wells Fargo Mortgage Backed Securities Trust, Series 2007-3-1A4      6.00%       04/25/2037      93,987  
           

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $258,154,624)

            256,329,706  
        

 

 

  

US Corporate Bonds - 5.5%

         
810,000    AK Steel Corporation      6.38%       10/15/2025      757,350  
225,000    Albertsons Cos, Inc., (3 Month LIBOR USD + 3.75%)      6.09%  ^     01/15/2024      226,125  
550,000    Albertson’s Holdings LLC      5.75%       03/15/2025      489,500  
705,000    Alliant Holdings Intermediate LLC      8.25%  ^     08/01/2023      729,587  
750,000    Altice US Finance Corporation      5.38%  ^     07/15/2023      748,125  
615,000    AMC Merger, Inc.      8.00%  ^     05/15/2025      513,525  
615,000    American Axle & Manufacturing, Inc.      6.63%       10/15/2022      631,912  
410,000    American Axle & Manufacturing, Inc.      6.25%       03/15/2026      400,775  
585,000    Argos Merger Sub, Inc.      7.13%  ^     03/15/2023      395,635  
650,000    Ascend Learning LLC      6.88%  ^     08/01/2025      657,312  
960,000    AssuredPartners, Inc.      7.00%  ^     08/15/2025      926,400  
365,000    Avantor, Inc.      9.00%  ^     10/01/2025      368,723  
780,000    B&G Foods, Inc.      5.25%       04/01/2025      737,100  
780,000    Beacon Escrow Corporation      4.88%  ^     11/01/2025      725,400  
685,000    BlueLine Rental Finance Corporation      9.25%  ^     03/15/2024      730,484  
165,000    Boyd Gaming Corporation      6.00%  ^     08/15/2026      163,556  
725,000    Boyne USA, Inc.      7.25%  ^     05/01/2025      759,437  
740,000    Builders FirstSource, Inc.      5.63%  ^     09/01/2024      724,275  
350,000    Calfrac Holdings LP      8.50%  ^     06/15/2026      352,187  
265,000    Calpine Corporation      5.75%       01/15/2025      242,972  
315,000    CB Escrow Corporation      8.00%  ^     10/15/2025      295,312  
370,000    CCO Holdings LLC      5.75%  ^     02/15/2026      364,450  
395,000    CCO Holdings LLC      5.00%  ^     02/01/2028      363,400  
180,000    CDK Global, Inc.      5.88%       06/15/2026      184,275  
565,000    Cengage Learning, Inc.      9.50%  ^     06/15/2024      480,250  
615,000    Centene Corporation      4.75%       01/15/2025      613,462  
75,000    Centene Corporation      5.38%  ^     06/01/2026      76,172  
760,000    Cheniere Energy Partners LP      5.25%  ^     10/01/2025      743,242  
510,000    Cincinnati Bell, Inc.      7.00%  ^     07/15/2024      467,925  
765,000    CNX Midstream Partners LP      6.50%  ^     03/15/2026      745,875  
715,000    CommScope Technologies Finance LLC      6.00%  ^     06/15/2025      733,769  
405,000    CommScope, Inc.      5.00%  ^     06/15/2021      406,519  
385,000    Constellation Merger Sub, Inc.      8.50%  ^     09/15/2025      368,156  
385,000    Coty, Inc.      6.50%  ^     04/15/2026      370,322  
765,000    CRC Issuer LLC      5.25%  ^     10/15/2025      725,794  
390,000    CSC Holdings LLC      5.25%       06/01/2024      369,525  
370,000    CSI Compressco LP      7.50%  ^     04/01/2025      373,237  
380,000    Dana Financing Ltd.      5.75%  ^     04/15/2025      375,250  
365,000    DJO Finance, LLC      8.13%  ^     06/15/2021      371,278  
295,000    EES Finance Corporation      8.13%       05/01/2025      311,962  
630,000    Eldorado Resorts, Inc.      6.00%       04/01/2025      633,937  
390,000    Embarq Corporation      8.00%       06/01/2036      370,012  
795,000    Ensemble S Merger Sub, Inc.      9.00%  ^     09/30/2023      838,626  
475,000    EP Energy LLC      9.38%  ^     05/01/2024      391,875  
145,000    EP Energy LLC      7.75%  ^     05/15/2026      148,625  
756,000    ESH Hospitality, Inc.      5.25%  ^     05/01/2025      731,430  
400,000    Extraction Oil & Gas, Inc.      5.63%  ^     02/01/2026      383,524  
410,000    First Data Corporation      7.00%  ^     12/01/2023      428,073  
415,000    First Data Corporation      5.75%  ^     01/15/2024      416,286  
745,000    Flex Acquisition Company, Inc.      6.88%  ^     01/15/2025      720,787  
125,000    Flex Acquisition Company, Inc.      7.88%  ^     07/15/2026      124,825  
430,000    Foresight Energy LLC      11.50%  ^     04/01/2023      382,700  
160,000    Frontier Communications Corporation      8.50%       04/15/2020      163,902  
200,000    Frontier Communications Corporation      8.50%  ^     04/01/2026      193,750  
737,000    FTS International, Inc.      6.25%       05/01/2022      747,097  
680,000    Genesys Telecommunications Laboratories, Inc.      10.00%  ^     11/30/2024      760,665  
280,000    GLP Capital LP      5.38%       04/15/2026      277,900  
330,000    GLP Capital LP      5.75%       06/01/2028      334,125  
540,000    Golden Nugget, Inc.      6.75%  ^     10/15/2024      541,447  
725,000    GTT Communications, Inc.      7.88%  ^     12/31/2024      721,375  
750,000    Gulfport Energy Corporation      6.38%       05/15/2025      732,187  
745,000    Hess Infrastructure Partners LP      5.63%  ^     02/15/2026      746,862  
185,000    Hexion Finance Corporation      6.63%       04/15/2020      173,696  
575,000    Hexion, Inc.      10.38%  ^     02/01/2022      566,375  
380,000    Hilton Domestic Operating Company, Inc.      4.25%       09/01/2024      362,425  
710,000    Icahn Enterprises Finance Corporation      6.25%       02/01/2022      725,975  
445,000    Icahn Enterprises Finance Corporation      6.38%       12/15/2025      446,669  
425,000    Indigo Natural Resources LLC      6.88%  ^     02/15/2026      413,312  
720,000    Informatica LLC      7.13%  ^     07/15/2023      730,958  
775,000    IRB Holding Corporation      6.75%  ^     02/15/2026      742,062  
335,000    Iridium Communications, Inc.      10.25%  ^     04/15/2023      361,800  
650,000    JBS USA Finance, Inc.      7.25%  ^     06/01/2021      659,750  
15,000    JBS USA Finance, Inc.      7.25%  ^     06/01/2021      15,225  
260,000    JBS USA Finance, Inc.      6.75%  ^     02/15/2028      245,947  
400,000    Jeld-Wen, Inc.      4.63%  ^     12/15/2025      382,000  
395,000    KAR Auction Services, Inc.      5.13%  ^     06/01/2025      378,212  
180,000    Kratos Defense & Security Solutions, Inc.      6.50%  ^     11/30/2025      186,975  
300,000    Level 3 Communications, Inc.      5.75%       12/01/2022      300,750  
595,000    Level 3 Financing, Inc.      5.38%       01/15/2024      584,588  
205,000    Live Nation Entertainment, Inc.      5.63%  ^     03/15/2026      203,975  
640,000    LTF Merger Sub, Inc.      8.50%  ^     06/15/2023      668,800  
815,000    Match Group, Inc.      5.00%  ^     12/15/2027      759,988  
175,000    Matterhorn Merger Sub LLC      8.50%  ^     06/01/2026      169,313  
575,000    Matthews International Corporation      5.25%  ^     12/01/2025      552,000  
830,000    MGM Growth Properties LP      4.50%       01/15/2028      757,375  
365,000    Moss Creek Resources Holdings, Inc.      7.50%  ^     01/15/2026      358,032  
780,000    MPH Acquisition Holdings LLC      7.13%  ^     06/01/2024      801,450  
85,000    MPT Operating Partnership LP      5.25%       08/01/2026      83,725  
695,000    MPT Operating Partnership LP      5.00%       10/15/2027      665,463  
395,000    Nabors Industries, Inc.      5.75%  ^     02/01/2025      374,263  
730,000    Navient Corporation      6.50%       06/15/2022      748,250  
800,000    NextEra Energy Operating Partners LP      4.50%  ^     09/15/2027      751,000  
725,000    NFP Corporation      6.88%  ^     07/15/2025      714,125  
315,000    NGL Energy Finance Corporation      7.50%       11/01/2023      319,331  
180,000    Noble Holding International Ltd.      7.88%  ^     02/01/2026      185,625  
765,000    NVA Holdings, Inc.      6.88%  ^     04/01/2026      764,044  
205,000    OPE KAG Finance Sub, Inc.      7.88%  ^     07/31/2023      210,125  
340,000    Par Petroleum Finance Corporation      7.75%  ^     12/15/2025      346,800  
740,000    Peabody Securities Finance Corporation      6.00%  ^     03/31/2022      752,025  
125,000    PetSmart, Inc.      5.88%  ^     06/01/2025      96,563  
755,000    Pilgrim’s Pride Corporation      5.75%  ^     03/15/2025      726,688  
285,000    Polaris Intermediate Corporation (PIK 9.25%)      8.50%  #^     12/01/2022      294,975  
545,000    Post Holdings, Inc.      5.50%  ^     03/01/2025      533,419  
535,000    Prime Security Services Borrower LLC      9.25%  ^     05/15/2023      572,450  
330,000    QEP Resources, Inc.      5.25%       05/01/2023      324,225  
410,000    QEP Resources, Inc.      5.63%       03/01/2026      393,088  
120,000    Radiate Finance, Inc.      6.88%  ^     02/15/2023      115,800  
290,000    Radiate Finance, Inc.      6.63%  ^     02/15/2025      266,075  
585,000    Riverbed Technology, Inc.      8.88%  ^     03/01/2023      556,774  
340,000    Sanchez Energy Corporation      6.13%       01/15/2023      232,050  
540,000    Select Medical Corporation      6.38%       06/01/2021      549,383  
394,000    Sirius XM Radio, Inc.      5.38%  ^     07/15/2026      380,210  
750,000    Six Flags Entertainment Corporation      4.88%  ^     07/31/2024      730,650  
370,000    Solera Finance, Inc.      10.50%  ^     03/01/2024      412,783  
360,000    Springleaf Finance Corporation      6.88%       03/15/2025      358,200  
235,000    Springleaf Finance Corporation      7.13%       03/15/2026      234,413  
320,000    Sprint Capital Corporation      6.88%       11/15/2028      308,000  
465,000    Sprint Corporation      7.13%       06/15/2024      470,622  
720,000    SunCoke Energy Partners Finance Corporation      7.50%  ^     06/15/2025      736,200  
400,000    Sunoco LP      5.50%  ^     02/15/2026      380,000  
430,000    Tapstone Energy Finance Corporation      9.75%  ^     06/01/2022      377,325  
395,000    Targa Resources Partners Finance Corporation      5.88%  ^     04/15/2026      398,456  
830,000    Team Health Holdings, Inc.      6.38%  ^     02/01/2025      717,950  
795,000    Tempo Acquisition Finance Corporation      6.75%  ^     06/01/2025      765,188  
765,000    Tempur Sealy International, Inc.      5.50%       06/15/2026      742,050  
390,000    TerraForm Power Operating LLC      4.25%  ^     01/31/2023      377,325  
745,000    THC Escrow Corporation      7.00%  ^     08/01/2025      742,206  
375,000    The ServiceMaster Company LLC      5.13%  ^     11/15/2024      364,688  
405,000    T-Mobile USA, Inc.      4.50%       02/01/2026      378,675  
325,000    TransDigm PLC      6.88%  ^     05/15/2026      330,281  
555,000    TransDigm, Inc.      6.38%       06/15/2026      552,225  
195,000    Transocean Guardian Ltd.      5.88%  ^     01/15/2024      194,025  
476,000    Transocean Proteus Ltd.      6.25%  ^     12/01/2024      482,545  
285,000    Trident Merger Sub, Inc.      6.63%  ^     11/01/2025      278,588  
780,000    Triumph Group, Inc.      7.75%       08/15/2025      774,150  
490,000    Universal Hospital Services, Inc.      7.63%       08/15/2020      490,613  
590,000    USA Compression Partners LP      6.88%  ^     04/01/2026      612,863  
210,000    Valeant Pharmaceuticals International, Inc.      7.00%  ^     03/15/2024      220,435  
345,000    Valeant Pharmaceuticals International, Inc.      9.25%  ^     04/01/2026      359,231  
125,000    Valeant Pharmaceuticals International, Inc.      8.50%  ^     01/31/2027      127,188  
765,000    Viking Cruises Ltd.      5.88%  ^     09/15/2027      724,838  
250,000    Vine Oil & Gas Finance Corporation      8.75%  ^     04/15/2023      231,875  
660,000    Vizient, Inc.      10.38%  ^     03/01/2024      730,950  
340,000    Wand Merger Corporation      8.13%  ^     07/15/2023      345,525  
410,000    Waste Pro, Inc.      5.50%  ^     02/15/2026      395,138  
380,000    Weatherford International Ltd.      9.88%       02/15/2024      385,578  
475,000    WellCare Health Plans, Inc.      5.25%       04/01/2025      473,813  
745,000    Whiting Petroleum Corporation      6.63%  ^     01/15/2026      769,213  
335,000    Xerium Technologies, Inc.      9.50%       08/15/2021      353,844  
           

 

 

  

Total US Corporate Bonds (Cost $72,147,891)

                    70,642,342  
        

 

 

  

US Government and Agency Mortgage Backed Obligations - 0.5%

         
3,117,995    Federal Home Loan Mortgage Corporation, Series 3926-HS, (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)      4.38%  I/FI/O     09/15/2041      408,032  
570,980    Federal Home Loan Mortgage Corporation, Series 4390-NY      3.00%       06/15/2040      566,931  
690,021    Federal Home Loan Mortgage Corporation, Series 4471-GA      3.00%       02/15/2044      671,934  
6,411,582    Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1      1.44%  #I/O     03/25/2023      318,870  
1,152,910    Federal National Mortgage Association, Series 2015-59-A      3.00%       06/25/2041      1,135,691  
131,560,619    Government National Mortgage Association, Series 2013-155      0.23%  #I/O     09/16/2053      3,082,097  
           

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $6,436,188)

            6,183,555  
        

 

 

  

US Government and Agency Obligations - 4.3%

         
56,418,494    United States Treasury Inflation Indexed Bonds      0.13%       04/15/2021      55,565,055  
           

 

 

  

Total US Government and Agency Obligations (Cost $56,555,532)

            55,565,055  
        

 

 

  

Affiliated Mutual Funds - 4.9%

         
6,162,337    DoubleLine Global Bond Fund (Class I)            63,040,705  
           

 

 

  

Total Affiliated Mutual Funds (Cost $63,150,000)

            63,040,705  
        

 

 

  

Exchange Traded Funds and Common Stocks - 0.0%

         
5,568    Frontera Energy Corporation *            80,881  
756    SandRidge Energy, Inc. *            13,411  
           

 

 

  

Total Exchange Traded Funds and Common Stocks (Cost $498,091)

            94,292  
        

 

 

  

Short Term Investments - 10.4%

         
44,992,130    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          44,992,130  
44,992,130    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          44,992,130  
44,992,130    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          44,992,130  
           

 

 

  

Total Short Term Investments (Cost $134,976,390)

            134,976,390  
        

 

 

  

Total Investments - 102.5% (Cost $1,339,631,717)

            1,325,210,181  
Liabilities in Excess of Other Assets - (2.5)%            (31,819,928 ) 
        

 

 

  

NET ASSETS - 100.0%

            $         1,293,390,253  
        

 

 

  

  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $570,362,425 or 44.1% of net assets.  

 

  # 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 June 30, 2018.  

 

  ± Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate desclosed is as of June 30, 2018.  

 

  † Perpetual Maturity  

 

  I/O Interest only security  

 

  P/O Principal only security  

 

  I/F 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.  

 

  & Unfunded or partially unfunded loan commitment. At June 30, 2018, the value of these securities amounted to $508,219 or 0.0% of net assets.  

 

  PIK A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings.  

 

  ß The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  § The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  W Security is in default or has failed to make a scheduled payment. Income is not being accrued.  

 

  ¥ Illiquid security  

 

  Þ Value determined using significant unobservable inputs.  

 

  * Non-income producing security  

 

  ◆ Seven-day yield as of June 30, 2018  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Non-Agency Residential Collateralized Mortgage Obligations

      19.8%  

Collateralized Loan Obligations

      16.3%  

Foreign Corporate Bonds

      12.9%  

Short Term Investments

      10.4%  

Bank Loans

      10.1%  

Non-Agency Commercial Mortgage Backed Obligations

      9.1%  

Asset Backed Obligations

      5.8%  

US Corporate Bonds

      5.5%  

Affiliated Mutual Funds

      4.9%  

US Government and Agency Obligations

      4.3%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      2.9%  

US Government and Agency Mortgage Backed Obligations

      0.5%  

Exchange Traded Funds and Common Stocks

      0.0%  ~ 

Other Assets and Liabilities

      (2.5)%  
  

 

 

  
                 100.0%  
  

 

 

  

 

  ~ Represents less than 0.05% of net assets.  

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Non-Agency Residential Collateralized Mortgage Obligations

      19.8%  

Collateralized Loan Obligations

      16.3%  

Short Term Investments

      10.4%  

Non-Agency Commercial Mortgage Backed Obligations

      9.1%  

Asset Backed Obligations

      5.8%  

Affiliated Mutual Funds

      4.9%  

Energy

      4.7%  

Banking

      4.4%  

US Government and Agency Obligations

      4.3%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      2.9%  

Telecommunications

      2.0%  

Healthcare

      1.9%  

Business Equipment and Services

      1.4%  

Electronics/Electric

      1.4%  

Transportation

      1.2%  

Media

      0.9%  

Technology

      0.8%  

Leisure

      0.7%  

Consumer Products

      0.7%  

Industrial Equipment

      0.7%  

Finance

      0.7%  

Hotels/Motels/Inns and Casinos

      0.7%  

Utilities

      0.6%  

Containers and Glass Products

      0.6%  

Insurance

      0.5%  

Automotive

      0.5%  

US Government and Agency Mortgage Backed Obligations

      0.5%  

Chemicals/Plastics

      0.4%  

Aerospace & Defense

      0.4%  

Retailers (other than Food/Drug)

      0.4%  

Building and Development (including Steel/Metals)

      0.4%  

Mining

      0.3%  

Food Products

      0.3%  

Food Service

      0.3%  

Pulp & Paper

      0.3%  

Pharmaceuticals

      0.3%  

Construction

      0.2%  

Conglomerates

      0.2%  

Commercial Services

      0.2%  

Environmental Control

      0.1%  

Real Estate

      0.1%  

Food/Drug Retailers

      0.1%  

Cosmetics/Toiletries

      0.1%  

Beverage and Tobacco

      0.0%  ~ 

Chemical Products

      0.0%  ~ 

Other Assets and Liabilities

      (2.5)%  
  

 

 

  
                 100.0%  
  

 

 

  

 

  ~ Represents less than 0.05% of net assets.  

A summary of the DoubleLine Flexible Income Fund’s investments in affiliated mutual funds for the period ended June 30, 2018 is as follows:

 

Fund   Value at
March 31, 2018		     Gross Purchases     Gross Sales     Shares Held at
June 30, 2018		     Value at
June 30, 2018		    

Change in Unrealized

for the Period Ended

June 30, 2018

    

Dividend Income

Earned in the
Period Ended

June 30, 2018

    

Net Realized Gain

(Loss) in the
Period Ended

June 30, 2018

  
DoubleLine Global Bond Fund (Class I)   $ 44,125,249     $ 21,100,000     $ -       6,162,337     $ 63,040,705     $ (2,184,544 )    $ 284,982     $ -  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 44,125,249     $ 21,100,000     $ -       6,162,337     $ 63,040,705     $ (2,184,544 )    $ 284,982     $ -  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

  

 

DoubleLine Low Duration Emerging Markets Fixed Income Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

        $/Shares        

   

Security Description

    Rate     

Maturity

    Value $  

Foreign Corporate Bonds - 75.7%

         

Brazil - 0.5%

         
200,000    Itau Unibanco Holding S.A.      6.20%       12/21/2021      206,600  
800,000    JBS Investments GMBH      7.75%       10/28/2020      817,000  
600,000    OAS Investments GMBH      8.25%  W     10/19/2019      54,000  
           

 

 

  
              1,077,600  
           

 

 

  

Chile - 8.3%

         
4,800,000    Banco del Estado de Chile      3.88%       02/08/2022      4,796,035  
200,000    Banco Santander      2.50%  ^     12/15/2020      195,006  
600,000    Banco Santander      3.88%       09/20/2022      598,056  
600,000    Celulosa Arauco y Constitucion S.A.      4.75%       01/11/2022      614,856  
1,400,000    Corpbanca S.A.      3.88%       09/22/2019      1,406,703  
2,245,000    ECL S.A.      5.63%       01/15/2021      2,327,723  
1,501,133    Guanay Finance Ltd.      6.00%       12/15/2020      1,512,391  
2,620,000    Inversiones CMPC S.A.      4.50%       04/25/2022      2,648,804  
400,000    SACI Falabella      3.75%       04/30/2023      391,796  
2,120,000    Telefonica Chile S.A.      3.88%       10/12/2022      2,102,158  
           

 

 

  
              16,593,528  
           

 

 

  

China - 10.2%

         
1,500,000    Alibaba Group Holding Ltd.      2.50%       11/28/2019      1,490,252  
300,000    Alibaba Group Holding Ltd.      3.13%       11/28/2021      297,241  
3,500,000    CNOOC Finance Ltd.      2.63%       05/05/2020      3,457,923  
1,080,000    CNOOC Finance Ltd.      3.88%       05/02/2022      1,087,654  
3,000,000    CNPC General Capital Ltd.      2.75%       05/14/2019      2,989,203  
2,200,000    CNPC General Capital Ltd.      3.95%       04/19/2022      2,221,624  
1,020,000    Sinopec Group Overseas Development Ltd.      2.13%       05/03/2019      1,011,418  
2,426,000    Sinopec Group Overseas Development Ltd.      2.50%       04/28/2020      2,391,207  
900,000    Sinopec Group Overseas Development Ltd.      2.00%  ^     09/29/2021      859,709  
200,000    Sinopec Group Overseas Development Ltd.      2.00%       09/29/2021      191,046  
200,000    Sinopec Group Overseas Development Ltd.      3.00%  ^     04/12/2022      195,146  
500,000    Tencent Holdings Ltd.      3.38%       05/02/2019      502,078  
3,600,000    Tencent Holdings Ltd.      2.88%       02/11/2020      3,584,601  
           

 

 

  
              20,279,102  
           

 

 

  

Colombia - 4.0%

         
2,400,000    Empresas Publicas de Medellin E.S.P.      7.63%       07/29/2019      2,460,000  
1,200,000    Oleoducto Central S.A.      4.00%       05/07/2021      1,194,120  
4,200,000    Transportadora de Gas Internacional S.A.      5.70%       03/20/2022      4,273,500  
           

 

 

  
              7,927,620  
           

 

 

  

Costa Rica - 1.0%

         
1,200,000    Banco de Costa Rica      5.25%       08/12/2018      1,201,440  
720,000    Banco Nacional de Costa Rica      4.88%       11/01/2018      721,800  
           

 

 

  
              1,923,240  
           

 

 

  

Guatemala - 0.8%

         
1,500,000    Agromercantil Senior Trust      6.25%       04/10/2019      1,519,140  
           

 

 

  
              1,519,140  
           

 

 

  

Hong Kong - 2.4%

         
2,600,000    CK Hutchison International Ltd.      2.88%  ^     04/05/2022      2,535,636  
2,300,000    CK Hutchison International Ltd.      2.88%       04/05/2022      2,243,062  
           

 

 

  
              4,778,698  
           

 

 

  

India - 13.8%

         
4,200,000    Adani Ports & Special Economic Zone Ltd.      3.50%       07/29/2020      4,153,632  
3,270,000    Bharat Petroleum Corporation Ltd.      4.63%       10/25/2022      3,322,287  
1,800,000    Bharti Airtel Ltd.      5.13%       03/11/2023      1,782,301  
200,000    Export-Import Bank of India      2.75%       04/01/2020      196,626  
1,500,000    Export-Import Bank of India      3.13%       07/20/2021      1,464,900  
3,360,000    Indian Oil Corporation Ltd.      5.63%       08/02/2021      3,511,637  
2,760,000    Oil India Ltd.      3.88%       04/17/2019      2,767,502  
3,000,000    ONGC Videsh Ltd.      3.25%       07/15/2019      2,994,450  
2,020,000    ONGC Videsh Ltd.      2.88%       01/27/2022      1,936,447  
3,600,000    Reliance Holdings, Inc.      4.50%       10/19/2020      3,660,508  
1,250,000    Reliance Holdings, Inc.      5.40%       02/14/2022      1,298,506  
400,000    UPL Corporation      3.25%       10/13/2021      387,782  
           

 

 

  
              27,476,578  
           

 

 

  

Israel - 1.5%

         
2,976,000    Delek & Avner Tamar Bond Ltd.      4.44%  ^     12/30/2020      2,975,673  
           

 

 

  
              2,975,673  
           

 

 

  

Jamaica - 0.3%

         
900,000    Digicel Ltd.      8.25%       09/30/2020      682,875  
           

 

 

  
              682,875  
           

 

 

  

Malaysia - 6.2%

         
4,300,000    Axiata SPV2 BHD      3.47%       11/19/2020      4,281,510  
900,000    IOI Investment BHD      4.38%       06/27/2022      903,394  
2,500,000    Malayan Banking BHD, (5 Year Swap Rate USD + 2.54%)      3.91%       10/29/2026      2,465,512  
4,720,000    Petronas Global Sukuk Ltd.      2.71%       03/18/2020      4,674,018  
           

 

 

  
              12,324,434  
           

 

 

  

Mexico - 7.1%

         
500,000    America Movil S.A.B. de C.V.      5.00%       03/30/2020      514,220  
3,900,000    America Movil S.A.B. de C.V.      3.13%       07/16/2022      3,839,080  
400,000    Banco Santander      4.13%       11/09/2022      394,600  
4,600,000    Banco Santander, (5 Year CMT Rate + 4.58%)      5.95%       01/30/2024      4,640,250  
100,000    BBVA Bancomer S.A.      0.00%       04/22/2020      104,875  
500,000    Coca-Cola Femsa S.A.B. de C.V.      4.63%       02/15/2020      511,318  
1,000,000    Comision Federal de Electricidad      4.88%       05/26/2021      1,016,250  
200,000    Fresnillo PLC      5.50%       11/13/2023      207,000  
2,500,000    Grupo Bimbo S.A.B. de C.V.      4.88%       06/30/2020      2,570,341  
500,000    Grupo Idesa S.A. de C.V.      7.88%       12/18/2020      390,000  
           

 

 

  
              14,187,934  
           

 

 

  

Panama - 4.6%

         
2,000,000    Banco Latinoamericano do Comercio Exterior S.A.      3.25%       05/07/2020      1,980,000  
3,210,632    ENA Norte Trust      4.95%       04/25/2023      3,234,711  
600,000    Global Bank Corporation      5.13%       10/30/2019      605,880  
2,200,000    Panama Metro Line SP      0.00%  ^     12/05/2022      1,976,150  
1,600,000    Panama Metro Line SP      0.00%       12/05/2022      1,437,200  
           

 

 

  
              9,233,941  
           

 

 

  

Peru - 4.0%

         
3,000,000    Banco de Credito del Peru      5.38%       09/16/2020      3,123,000  
3,600,000    Banco International del Peru S.A.A.      5.75%       10/07/2020      3,762,000  
1,000,000    BBVA Banco Continental S.A.      5.00%       08/26/2022      1,028,750  
110,463    Interoceanica Finance Ltd.      0.00%       11/30/2018      109,013  
           

 

 

  
              8,022,763  
           

 

 

  

Philippines - 1.9%

         
1,875,000    BDO Unibank, Inc.      2.63%       10/24/2021      1,807,007  
1,050,000    BDO Unibank, Inc.      2.95%       03/06/2023      994,784  
1,000,000    Union Bank of the Philippines      3.37%       11/29/2022      951,806  
           

 

 

  
              3,753,597  
           

 

 

  

Singapore - 9.1%

         
4,000,000    DBS Group Holdings Ltd., (5 Year Swap Rate USD + 2.39%)      3.60%  †     09/07/2021      3,828,188  
4,500,000    Oversea-Chinese Banking Corporation, (5 Year Swap Rate USD + 2.20%)      4.00%       10/15/2024      4,518,011  
2,300,000    PSA International Ltd.      4.63%       09/11/2019      2,344,689  
100,000    PSA International Ltd.      3.88%       02/11/2021      101,630  
1,500,000    SP PowerAssets Ltd.      2.70%       09/14/2022      1,461,868  
1,000,000    Temasek Financial Ltd.      2.38%       01/23/2023      961,649  
2,400,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.00%)      3.75%       09/19/2024      2,400,487  
2,400,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.24%)      3.50%       09/16/2026      2,357,753  
200,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 1.65%)      2.88%       03/08/2027      191,572  
           

 

 

  
              18,165,847  
           

 

 

  

Total Foreign Corporate Bonds (Cost $154,617,997)

            150,922,570  
        

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 21.6%

         

Chile - 3.9%

         
6,800,000    Chile Government International Bond      2.25%       10/30/2022      6,490,600  
1,240,000    Chile International Government Bond      3.25%       09/14/2021      1,239,845  
           

 

 

  
              7,730,445  
           

 

 

  

Costa Rica - 0.7%

         
1,380,000    Costa Rica Government International Bond      10.00%       08/01/2020      1,507,650  
           

 

 

  
              1,507,650  
           

 

 

  

Dominican Republic - 1.4%

         
2,600,000    Dominican Republic International Bond      7.50%       05/06/2021      2,731,950  
           

 

 

  
              2,731,950  
           

 

 

  

Indonesia - 3.5%

         
660,000    Indonesia Government International Bond      6.13%       03/15/2019      675,345  
3,000,000    Indonesia Government International Bond      4.88%       05/05/2021      3,090,744  
3,360,000    Indonesia Government International Bond      3.70%       01/08/2022      3,329,011  
           

 

 

  
              7,095,100  
           

 

 

  

Israel - 1.8%

         
3,500,000    Israel Government International Bond      4.00%       06/30/2022      3,599,424  
           

 

 

  
              3,599,424  
           

 

 

  

Malaysia - 1.4%

         
2,625,000    Wakala Global Sukuk BHD      4.65%       07/06/2021      2,720,078  
           

 

 

  
              2,720,078  
           

 

 

  

Mexico - 1.0%

         
2,000,000    Mexico Government International Bond      3.63%       03/15/2022      2,006,180  
           

 

 

  
              2,006,180  
           

 

 

  

Panama - 2.1%

         
4,000,000    Panama Government International Bond      5.20%       01/30/2020      4,145,000  
           

 

 

  
              4,145,000  
           

 

 

  

Philippines - 3.6%

         
7,000,000    Philippine Government International Bond      4.00%       01/15/2021      7,096,089  
           

 

 

  
              7,096,089  
           

 

 

  

Poland - 2.2%

         
4,200,000    Republic of Poland Government International Bond      5.13%       04/21/2021      4,415,712  
           

 

 

  
              4,415,712  
           

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

(Cost $44,158,755)

 

 

         43,047,628  
        

 

 

  

Short Term Investments - 1.7%

         
1,100,117    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          1,100,117  
1,100,117    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          1,100,117  
1,100,117    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          1,100,117  
           

 

 

  

Total Short Term Investments (Cost $3,300,351)

            3,300,351  
        

 

 

  

Exchange Traded Funds and Common Stocks - 0.2%

         
25,468    Frontera Energy Corporation *            369,927  
           

 

 

  

Total Exchange Traded Funds and Common Stocks (Cost $2,337,448)

            369,927  
        

 

 

  

Total Investments - 99.2% (Cost $204,414,551)

            197,640,476  
Other Assets in Excess of Liabilities - 0.8%            1,617,766  
        

 

 

  

NET ASSETS - 100.0%

            $         199,258,242  
        

 

 

  

 

  ^  Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $8,737,320 or 4.4% of net assets.  

 

  W  Security is in default or has failed to make a scheduled payment. Income is not being accrued.  

 

  † Perpetual Maturity  

 

  ◆ Seven-day yield as of June 30, 2018  

 

  * Non-income producing security  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Foreign Corporate Bonds

      75.7%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      21.6%  

Short Term Investments

      1.7%  

Exchange Traded Funds and Common Stocks

      0.2%  

Other Assets and Liabilities

      0.8%  
  

 

 

  
                 100.0%  
  

 

 

  

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Banking

      23.8%   

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      21.6%   

Energy

      20.9%   

Transportation

      10.2%   

Telecommunications

      6.6%   

Utilities

      3.6%   

Technology

      3.1%   

Conglomerates

      2.4%   

Consumer Products

      2.2%   

Short Term Investments

      1.7%   

Pulp & Paper

      1.6%   

Finance

      0.5%   

Containers and Glass Products

      0.3%   

Retailers (other than Food/Drug)

      0.2%   

Chemical Products

      0.2%   

Chemicals/Plastics

      0.2%   

Mining

      0.1%   

Construction

      0.0%  ~ 

Other Assets and Liabilities

      0.8%   
  

 

 

  
                 100.0%   
  

 

 

  

 

  ~  Represents less than 0.05% of net assets  

COUNTRY BREAKDOWN as a % of Net Assets:

 

India

      13.8%  

Chile

      12.2%  

China

      10.2%  

Singapore

      9.1%  

Mexico

      8.1%  

Malaysia

      7.6%  

Panama

      6.7%  

Philippines

      5.5%  

Colombia

      4.2%  

Peru

      4.0%  

Indonesia

      3.5%  

Israel

      3.3%  

Hong Kong

      2.4%  

Poland

      2.2%  

Costa Rica

      1.7%  

United States

      1.7%  

Dominican Republic

      1.4%  

Guatemala

      0.8%  

Brazil

      0.5%  

Jamaica

      0.3%  

Other Assets and Liabilities

      0.8%  
  

 

 

  
                 100.0%  
  

 

 

  

 

DoubleLine Long Duration Total Return Bond Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

        $/Shares         

   

Security Description

    Rate     

Maturity

    Value $  

US Government and Agency Mortgage Backed Obligations - 73.3%

 

      
1,726,622    Federal Home Loan Mortgage Corporation, Series 4057-ZB      3.50%       06/15/2042      1,682,698  
1,726,622    Federal Home Loan Mortgage Corporation, Series 4057-ZC      3.50%       06/15/2042      1,682,317  
1,167,432    Federal Home Loan Mortgage Corporation, Series 4194-ZL      3.00%       04/15/2043      1,075,582  
2,609,846    Federal Home Loan Mortgage Corporation, Series 4204-QZ      3.00%       05/15/2043      2,379,020  
1,791,625    Federal Home Loan Mortgage Corporation, Series 4206-LZ      3.50%       05/15/2043      1,746,477  
657,998    Federal Home Loan Mortgage Corporation, Series 4210-Z      3.00%       05/15/2043      602,700  
347,616    Federal Home Loan Mortgage Corporation, Series 4226-GZ      3.00%       07/15/2043      320,722  
2,506,370    Federal Home Loan Mortgage Corporation, Series 4390-NZ      3.00%       09/15/2044      2,269,614  
2,221,130    Federal Home Loan Mortgage Corporation, Series 4417-PZ      3.00%       12/15/2044      2,024,255  
2,964,887    Federal Home Loan Mortgage Corporation, Series 4420-CZ      3.00%       12/15/2044      2,685,724  
2,173,620    Federal Home Loan Mortgage Corporation, Series 4440-ZD      2.50%       02/15/2045      1,856,494  
1,061,513    Federal Home Loan Mortgage Corporation, Series 4460-KB      3.50%       03/15/2045      1,056,385  
2,199,057    Federal Home Loan Mortgage Corporation, Series 4461-LZ      3.00%       03/15/2045      1,978,260  
2,100,000    Federal National Mortgage Association, Series 2012-128-UC      2.50%       11/25/2042      1,764,387  
1,726,621    Federal National Mortgage Association, Series 2012-68-ZA      3.50%       07/25/2042      1,685,024  
2,459,429    Federal National Mortgage Association, Series 2012-92-AZ      3.50%       08/25/2042      2,423,777  
3,200,549    Federal National Mortgage Association, Series 2013-127-MZ      3.00%       12/25/2043      2,937,390  
539,712    Federal National Mortgage Association, Series 2013-66-ZK      3.00%       07/25/2043      468,151  
1,786,414    Federal National Mortgage Association, Series 2013-74-ZH      3.50%       07/25/2043      1,737,169  
1,303,040    Federal National Mortgage Association, Series 2014-42-BZ      3.00%       07/25/2044      1,192,253  
1,500,000    Federal National Mortgage Association, Series 2014-67-HD      3.00%       10/25/2044      1,399,957  
904,000    Federal National Mortgage Association, Series 2014-68-TD      3.00%       11/25/2044      844,605  
2,596,558    Federal National Mortgage Association, Series 2014-80-DZ      3.00%       12/25/2044      2,345,336  
918,953    Federal National Mortgage Association, Series 2014-80-KL      2.00%       05/25/2043      705,170  
3,253,651    Federal National Mortgage Association, Series 2015-16-ZY      2.50%       04/25/2045      2,719,619  
2,881,367    Federal National Mortgage Association, Series 2015-52-GZ      3.00%       07/25/2045      2,594,670  
1,474,352    Federal National Mortgage Association, Series 2018-21      0.00%  P/O     04/25/2048      1,171,524  
524,518    Government National Mortgage Association, Series 2013-180-LO      0.00%  P/O     11/16/2043      424,158  
3,399,975    Government National Mortgage Association, Series 2015-53-EZ      2.00%       04/16/2045      2,479,687  
3,017,968    Government National Mortgage Association, Series 2015-79-VZ      2.50%       05/20/2045      2,548,231  
290,524    Government National Mortgage Association, Series 2016-12-MZ      3.00%       01/20/2046      251,168  
           

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $52,885,997)

                    51,052,524  
           

 

 

  

US Government and Agency Obligations - 15.9%

 

      
1,900,000    Tennessee Valley Authority      5.38%       04/01/2056      2,566,048  
1,700,000    Tennessee Valley Authority      4.63%       09/15/2060      2,053,111  
951,660    United States Treasury Inflation Indexed Bonds      1.00%       02/15/2046      981,146  
1,000,000    United States Treasury Strip Principal      0.00%       05/15/2040      529,337  
10,900,000    United States Treasury Strip Principal      0.00%       11/15/2046      4,698,443  
500,000    United States Treasury Strip Principal      0.00%       02/15/2048      208,126  
           

 

 

  

Total US Government and Agency Obligations (Cost $11,068,707)

            11,036,211  
           

 

 

  

Short Term Investments - 9.9%

         
313,439    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          313,439  
313,439    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          313,439  
313,439    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          313,439  
6,000,000    United States Treasury Bills      0.00%       11/29/2018      5,949,374  
           

 

 

  

Total Short Term Investments (Cost $6,889,486)

            6,889,691  
           

 

 

  

Total Investments - 99.1% (Cost $70,844,190)

            68,978,426  
Other Assets in Excess of Liabilities - 0.9%            633,600  
           

 

 

  

NET ASSETS - 100.0%

            $         69,612,026  
           

 

 

  

 

  P/O

Principal only security

 

 

  ◆

Seven-day yield as of June 30, 2018

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

US Government and Agency Mortgage Backed Obligations

      73.3%  

US Government and Agency Obligations

      15.9%  

Short Term Investments

      9.9%  

Other Assets and Liabilities

      0.9%  
  

 

 

  
                 100.0%  
  

 

 

  

FUTURES CONTRACTS

 

Description    Long/Short      Contract
Quantity		      Expiration
Date		      Notional
Amount•		     

Value/

Unrealized
Appreciation
(Depreciation)

  

CME Ultra Long Term US Treasury Bond Future

      Long        15        09/19/2018        2,393,438        $ 15,228  
              

 

 

  
                 $         15,228  
              

 

 

  

 

• Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.

 

DoubleLine Strategic Commodity Fund (Consolidated)

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

        $/Shares         

   

Security Description

    Rate     

Maturity

    Value $  

Short Term Investments - 102.2%

         

19,283,898

    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  tᴥ          19,283,898  

19,283,898

    Dreyfus Government Cash Management - Institutional Shares      1.80%  tᴥ          19,283,898  

22,000,000

    United States Treasury Bills      0.00%  ᴥ‡     07/12/2018      21,989,764  

70,000,000

    United States Treasury Bills      0.00%  ᴥ‡     08/09/2018      69,865,430  

24,000,000

    United States Treasury Bills      0.00%  ᴥ‡     08/16/2018      23,945,512  

87,370,000

    United States Treasury Bills      0.00%  ᴥ‡     09/20/2018      87,006,444  

77,000,000

    United States Treasury Bills      0.00%  ᴥ     10/18/2018      76,553,015  

10,000,000

    United States Treasury Bills      0.00%  ᴥ     10/25/2018      9,938,107  

45,000,000

    United States Treasury Bills      0.00%  ᴥ‡     02/28/2019      44,357,208  

37,000,000

    United States Treasury Bills      0.00%  ᴥ     03/28/2019      36,396,254  

50,000,000

    United States Treasury Bills      0.00%  ᴥ‡     04/25/2019      49,090,953  

50,000,000

    United States Treasury Bills      0.00%       06/20/2019      48,899,326  
           

 

 

  

Total Short Term Investments (Cost $506,589,384)

            506,609,809  
        

 

 

  

Total Investments - 102.2% (Cost $506,589,384)

            506,609,809  
Liabilities in Excess of Other Assets - (2.2)%            (10,708,693)  
        

 

 

  

NET ASSETS - 100.0%

            $         495,901,116  
        

 

 

  

 

  t  Seven-day yield as of June 30, 2018  

 

  ᴥ  All or a portion of this security is owned by DoubleLine Strategic Commodity Ltd., which is a wholly-owned subsidiary of the DoubleLine Strategic Commodity Fund.  

 

  ‡  All or a portion of this security has been pledged as collateral in connection with swaps.  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Short Term Investments

      102.2%  

Other Assets and Liabilities

      (2.2)%  
  

 

 

  
                 100.0%  
  

 

 

  

EXCESS RETURN SWAPS

                 

Reference Entity

    Counterparty    Long/Short      Financing Rate     Payment
Frequency		      Termination Date      Notional
Amount		      Unrealized
Appreciation
(Depreciation) /
Value		  

Long Commodity Basket Swap fᴥ

   

Bank of America Merrill Lynch

      Long        0.20 %      Termination        07/02/2018        25,700,000        $ 366,513  

Commodity Beta Basket Swap gᴥ

   

Canadian Imperial Bank of Commerce

      Long        0.21 %      Termination        07/02/2018        110,000,000        (4,245,840)  

Commodity Beta Basket Swap gᴥ

   

Barclays Capital, Inc.

      Long        0.20 %      Termination        07/02/2018        179,600,000        (5,918,246)  

Commodity Beta Basket Swap gᴥ

   

Bank of America Merrill Lynch

      Long        0.23 %      Termination        07/02/2018        170,000,000        (6,564,454)  

Short Commodity Basket Swap yᴥ

   

Bank of America Merrill Lynch

      Short        0.00 %      Termination        07/02/2018        (25,700,000)        2,069,761  
                   

 

 

  
                      $     (14,292,266)  
                   

 

 

  

 

ᴥ All or a portion of this security is owned by DoubleLine Strategic Commodity Ltd., which is a wholly-owned subsidiary of the DoubleLine Strategic Commodity Fund.

 

f Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At June 30, 2018, all constituents and their weightings were as follows:

 

Sub-Index

    Ticker    Contract Value d      Value of Index      Weightings  

S&P GSCI 2 Month Forward Crude Oil Index ER

    SG2MCLP      0.07        $ 30        21.5 % 

S&P GSCI 2 Month Forward Brent Crude Index ER

    SG2MBRP      0.03        28        20.4 % 

S&P GSCI 2 Month Forward Gas Oil Index ER

    SG2MGOP      0.33        28        20.1 % 

S&P GSCI 2 Month Forward Unleaded Gas Index ER

    SG2MHUP      0.03        27        19.9 % 

S&P GSCI 2 Month Forward Zinc Index ER

    SG2MIZP      0.17        25        18.1 % 
        

 

 

  
           $         138        100.0 % 
        

 

 

  

 

g Commodity Beta Basket Swap represents a swap on a basket of commodity indices designed to approximate the broad commodity market. At June 30, 2018, all constituents and their weightings were as follows:

 

Index

    Ticker    Contract Value d      Value of Index      Weightings  

Electrolytic Copper Future

    LP1                  0.18        $ 86        18.6 % 

Soybean Future

    S1      0.31        79        17.1 % 

Nickel Future

    LN1      0.21        65        14.0 % 

Brent Crude Future

    CO1      0.10        55        11.8 % 

Crude Oil Future

    CL1      0.10        53        11.3 % 

Low Sulphur Gas Oil Future

    QS1      0.11        26        5.5 % 

Gasoline RBOB Future

    XB1      0.07        24        5.1 % 

Live Cattle Future

    LC1      0.12        22        4.7 % 

Cotton No. 2 Future

    CT1      0.34        21        4.4 % 

Sugar No. 11 Future

    SB1      0.16        20        4.3 % 

NY Harbor ULSD Heating Oil Future

    HO1      0.09        14        3.2 % 
        

 

 

  
           $         465        100.0 % 
        

 

 

  

 

y Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At June 30, 2018, all constituents and their weightings were as follows:

 

Sub-Index

    Ticker    Contract Value d      Value of Index      Weightings  

S&P GSCI 2 Month Forward Sugar Index ER

    SG2MSBP      0.27      $  18        20.9 % 

S&P GSCI 2 Month Forward Coffee Index ER

    SG2MKCP      1.48      17      20.1 % 

S&P GSCI 2 Month Forward Wheat Index ER

    SG2MWHP      1.45      17      20.1 % 

S&P GSCI 2 Month Forward Corn Index ER

    SG2MCNP      0.70      17      19.7 % 

S&P GSCI 2 Month Forward Kansas Wheat Index ER

    SG2MKWP      0.51      16      19.2 % 
        

 

 

  
           $           85        100.0 % 
        

 

 

  

 

d Contract value represents the number of units of the underlying constituent’s index in one unit of the custom basket index at creation. The contract value is calculated by multiplying each constituent’s weight by the starting price of the custom basket index and dividing by the starting price of the constituent’s index. The contract value will differ depending on the date the swap is initiated.

  

 

DoubleLine Global Bond Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

$/Shares

        

Security Description

    Rate    

Maturity

    Value $  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 60.8%

 

     

Australia - 3.4% 

        
18,400,000    AUD    Australia Government Bond      1.75%      11/21/2020      13,529,337  
18,500,000    AUD    Australia Government Bond      3.25%      04/21/2025      14,355,962  
             

 

 

  
                27,885,299  
             

 

 

  

Belgium - 3.3% 

        
8,650,000    EUR    Kingdom of Belgium Government Bond      0.80%  ^    06/22/2025      10,500,955  
13,100,000    EUR    Kingdom of Belgium Government Bond      1.00%  ^    06/22/2026      16,035,724  
             

 

 

  
                26,536,679  
             

 

 

  

Canada - 2.5% 

        
9,300,000    CAD    Canadian Government Bond      2.75%      06/01/2022      7,264,903  
14,000,000    CAD    Canadian Government Bond      1.50%      06/01/2023      10,363,043  
3,240,000    CAD    Canadian Government Bond      2.25%      06/01/2025      2,482,628  
             

 

 

  
                20,110,574  
             

 

 

  

Czech Republic - 3.8% 

        
473,000,000    CZK    Czech Republic Government Bond      0.45%      10/25/2023      20,077,163  
200,000,000    CZK    Czech Republic Government Bond      5.70%      05/25/2024      11,124,280  
             

 

 

  
                31,201,443  
             

 

 

  

France - 3.7% 

        
19,890,000    EUR    French Republic Government Bond      0.25%      11/25/2026      22,958,524  
5,615,000    EUR    French Republic Government Bond      1.00%      05/25/2027      6,860,653  
             

 

 

  
                29,819,177  
             

 

 

  

Germany - 1.9% 

        
6,500,000    EUR    Bundesrepublik Deutschland      0.50%      02/15/2026      7,846,357  
4,950,000    EUR    Bundesrepublik Deutschland      0.00%      08/15/2026      5,721,290  
1,900,000    EUR    Bundesrepublik Deutschland      0.25%      02/15/2027      2,231,350  
             

 

 

  
                15,798,997  
             

 

 

  

Hungary - 1.7% 

        
3,100,000,000    HUF    Hungary Government Bond      3.50%      06/24/2020      11,463,322  
780,000,000    HUF    Hungary Government Bond      1.75%      10/26/2022      2,709,055  
             

 

 

  
                14,172,377  
             

 

 

  

Ireland - 4.5% 

        
10,725,000    EUR    Ireland Government Bond      5.40%      03/13/2025      16,747,512  
16,600,000    EUR    Ireland Government Bond      1.00%      05/15/2026      20,125,661  
             

 

 

  
                36,873,173  
             

 

 

  

Israel - 3.5% 

        
38,450,000    ILS    Israel Government Bond      4.25%      03/31/2023      12,111,763  
58,425,000    ILS    Israel Government Bond      1.75%      08/31/2025      16,227,082  
             

 

 

  
                28,338,845  
             

 

 

  

Japan - 17.0% 

        
1,210,000,000    JPY    Japan Government Ten Year Bond      0.40%      06/20/2025      11,283,771  
1,287,500,000    JPY    Japan Government Ten Year Bond      0.40%      09/20/2025      12,015,713  
332,000,000    JPY    Japan Government Ten Year Bond      0.30%      12/20/2025      3,077,220  
1,650,000,000    JPY    Japan Government Ten Year Bond      0.10%      12/20/2026      15,050,909  
1,305,000,000    JPY    Japan Government Ten Year Bond      0.10%      12/20/2027      11,882,790  
500,000,000    JPY    Japan Government Ten Year Bond      0.10%      03/20/2028      4,548,106  
1,385,000,000    JPY    Japan Government Twenty Year Bond      2.20%      09/20/2027      15,036,660  
1,495,000,000    JPY    Japan Government Twenty Year Bond      2.10%      12/20/2027      16,164,634  
910,000,000    JPY    Japan Government Twenty Year Bond      1.90%      12/20/2028      9,797,523  
1,305,000,000    JPY    Japan Government Twenty Year Bond      1.50%      06/20/2034      13,968,126  
1,300,000,000    JPY    Japan Government Twenty Year Bond      1.30%      06/20/2035      13,552,901  
1,240,000,000    JPY    Japan Government Twenty Year Bond      1.20%      09/20/2035      12,732,212  
             

 

 

  
                139,110,565  
             

 

 

  

Mexico - 2.9% 

        
493,300,000    MXN    Mexican Bonos      6.50%      06/09/2022      23,850,482  
             

 

 

  
                23,850,482  
             

 

 

  

New Zealand - 1.8% 

        
20,650,000    NZD    New Zealand Government Bond      2.75%      04/15/2025      14,246,759  
             

 

 

  
                14,246,759  
             

 

 

  

Poland - 2.9% 

        
81,100,000    PLN    Republic of Poland Government Bond      1.50%      04/25/2020      21,640,957  
8,750,000    PLN    Republic of Poland Government Bond      2.50%      01/25/2023      2,348,424  
             

 

 

  
                23,989,381  
             

 

 

  

Portugal - 3.1% 

        
14,200,000    EUR    Portugal Obrigacoes do Tesouro OT      2.20%  ^    10/17/2022      17,884,843  
5,900,000    EUR    Portugal Obrigacoes do Tesouro OT      2.88%  ^    10/15/2025      7,672,783  
             

 

 

  
                25,557,626  
             

 

 

  

South Africa - 1.0% 

        
59,525,000    ZAR    Republic of South Africa Government Bond      7.75%      02/28/2023      4,260,910  
60,900,000    ZAR    Republic of South Africa Government Bond      8.00%      01/31/2030      4,056,315  
             

 

 

  
                8,317,225  
             

 

 

  

Spain - 3.8% 

        
7,550,000    EUR    Spain Government Bond      5.85%  ^    01/31/2022      10,652,315  
4,875,000    EUR    Spain Government Bond      0.40%      04/30/2022      5,760,044  
10,900,000    EUR    Spain Government Bond      2.75%  ^    10/31/2024      14,378,718  
350,000    EUR    Spain Government Bond      1.60%  ^    04/30/2025      431,481  
             

 

 

  
                31,222,558  
             

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $486,281,165)

      497,031,160  
       

 

 

  

US Government and Agency Obligations - 20.1%

        

United States - 20.1%

        
8,500,000    USD    United States Treasury Notes      1.38%      04/30/2020      8,327,178  
8,100,000    USD    United States Treasury Notes      1.63%      06/30/2020      7,957,459  
7,000,000    USD    United States Treasury Notes      1.38%      08/31/2020      6,827,188  
7,000,000    USD    United States Treasury Notes      2.00%      12/31/2021      6,844,277  
10,000,000    USD    United States Treasury Notes      1.50%      01/31/2022      9,599,023  
7,500,000    USD    United States Treasury Notes      1.75%      04/30/2022      7,243,652  
12,500,000    USD    United States Treasury Notes      1.88%      08/31/2022      12,091,309  
12,300,000    USD    United States Treasury Notes      2.00%      11/30/2022      11,937,246  
7,500,000    USD    United States Treasury Notes      2.25%      01/31/2024      7,296,973  
10,100,000    USD    United States Treasury Notes      2.50%      05/15/2024      9,941,596  
10,700,000    USD    United States Treasury Notes      2.38%      08/15/2024      10,445,457  
13,000,000    USD    United States Treasury Notes      2.00%      02/15/2025      12,363,203  
10,000,000    USD    United States Treasury Notes      2.00%      08/15/2025      9,472,266  
13,500,000    USD    United States Treasury Notes      1.63%      02/15/2026      12,385,459  
11,500,000    USD    United States Treasury Notes      2.00%      11/15/2026      10,775,410  
12,000,000    USD    United States Treasury Notes      2.25%      08/15/2027      11,419,687  
9,100,000    USD    United States Treasury Notes      2.88%      05/15/2043      8,931,330  
800,000    USD    United States Treasury Notes      3.75%      11/15/2043      908,500  
             

 

 

  
                164,767,213  
             

 

 

  

Total US Government and Agency Obligations (Cost $169,998,332)

           164,767,213  
       

 

 

  

Short Term Investments - 3.1%

        
8,587,059    USD    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆         8,587,059  
8,587,060    USD    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆         8,587,060  
8,587,060    USD    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆         8,587,060  
             

 

 

  

Total Short Term Investments (Cost $25,761,179)

           25,761,179  
       

 

 

  

Total Investments - 84.0% (Cost $682,040,676)

           687,559,552  
Other Assets in Excess of Liabilities - 16.0%           130,478,541  
       

 

 

  

NET ASSETS - 100.0%

           $         818,038,093  
       

 

 

  

 

  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $77,556,819 or 9.5% of net assets.  

 

  ◆ Seven-day yield as of June 30, 2018  

 

AUD      Australian Dollar

EUR      Euro

CAD      Canadian Dollar

CZK      Czech Republic Koruna

HUF      Hungarian Forint

ILS       Israeli Shekel

JPY       Japanese Yen

MXN     Mexican Peso

NZD      New Zealand Dollar

PLN      Polish Zloty

ZAR      South African Rand

USD      US Dollar

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      60.8%  

US Government and Agency Obligations

      20.1%  

Short Term Investments

      3.1%  

Other Assets and Liabilities

      16.0%  
  

 

 

  
                 100.0%  
  

 

 

  

COUNTRY BREAKDOWN as a % of Net Assets:

 

United States

      23.2%  

Japan

      17.0%  

Ireland

      4.5%  

Spain

      3.8%  

Czech Republic

      3.8%  

France

      3.7%  

Israel

      3.5%  

Australia

      3.4%  

Belgium

      3.3%  

Portugal

      3.1%  

Poland

      2.9%  

Mexico

      2.9%  

Canada

      2.5%  

Germany

      1.9%  

New Zealand

      1.8%  

Hungary

      1.7%  

South Africa

      1.0%  

Other Assets and Liabilities

      16.0%  
  

 

 

  
                 100.0%  
  

 

 

  

 

DoubleLine Infrastructure Income Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

$/Shares

   

Security Description

    Rate     

Maturity

    Value $  

Asset Backed Obligations - 45.6%

         
1,922,190    AASET Ltd., Series 2018-1A-A      3.84%  ^     01/16/2038      1,927,236  
5,924,479    Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A-B      5.68%  ^§     12/16/2041      6,078,877  
1,843,000    CAL Funding Ltd., Series 2013-1A-A      3.35%  ^     03/27/2028      1,828,338  
4,833,333    CAL Funding Ltd., Series 2018-1A-A      3.96%  ^     02/25/2028      4,819,961  
1,734,935    Castlelake Aircraft Securitization Trust, Series 2015-1A-A      4.70%  ^§     12/15/2040      1,756,632  
8,562,888    Castlelake Aircraft Securitization Trust, Series 2016-1-A      4.45%       08/15/2041      8,572,487  
7,336,499    Castlelake Aircraft Securitization Trust, Series 2017-1-A      3.97%       07/15/2042      7,277,645  
219,490    CLI Funding LLC, Series 2013-1A-NOTE      2.83%  ^     03/20/2028      215,396  
1,627,267    CLI Funding LLC, Series 2013-2A-NOTE      3.22%  ^     06/18/2028      1,605,634  
802,610    CLI Funding LLC, Series 2014-1A-A      3.29%  ^     06/18/2029      790,437  
4,179,081    CLI Funding LLC, Series 2014-2A-A      3.38%  ^     10/18/2029      4,110,835  
4,396,764    CLI Funding LLC, Series 2017-1A-A      3.62%  ^     05/18/2042      4,328,836  
3,930,084    CLI Funding LLC, Series 2018-1A-A      4.03%  ^     04/18/2043      3,947,629  
479,112    Eagle Ltd., Series 2014-1A-A1      2.57%  ^     12/15/2039      478,633  
2,126,921    ECAF Ltd., Series 2015-1A-A1      3.47%  ^     06/15/2040      2,113,881  
13,666,500    Falcon Aerospace Ltd., Series 2017-1-A      4.58%  ^     02/15/2042      13,792,040  
4,950,000    Global SC Finance Ltd., Series 2018-1A-A      4.29%  ^     05/17/2038      4,997,161  
2,658,333    Global SC Finance SRL, Series 2013-1A-A      2.98%  ^     04/17/2028      2,610,987  
3,324,542    Global SC Finance SRL, Series 2014-1A-A1      3.19%  ^     07/17/2029      3,269,165  
16,804,631    Harbour Aircraft Investments Ltd., Series 2017-1-A      4.00%       11/15/2037      16,696,980  
14,261,887    Helios Issuer LLC, Series 2017-1A-A      4.94%  ^     09/20/2049      14,495,418  
57,792    HERO Funding Trust, Series 2015-2A-A      3.99%  ^     09/20/2040      58,851  
1,720,027    HERO Funding Trust, Series 2016-3A-A2      3.91%  ^     09/22/2042      1,739,966  
3,858,194    HERO Funding Trust, Series 2016-4A-A2      4.29%  ^     09/20/2047      3,972,638  
2,250,000    InSite Issuer LLC, Series 2016-1A-B      4.56%  ^     11/15/2046      2,193,480  
10,194,196    Mosaic Solar Loan Trust, Series 2017-1A-A      4.45%  ^     06/20/2042      10,414,666  
4,762,640    Mosaic Solar Loan Trust, Series 2018-1A-A      4.01%  ^     06/22/2043      4,781,609  
202,956    NP SPE II LLC, Series 2016-1A-A1      4.16%  ^     04/20/2046      203,965  
3,122,364    NP SPE II LLC, Series 2017-1A-A1      3.37%  ^     10/20/2047      3,057,048  
2,500,000    SBA Tower Trust      2.88%  ^     07/15/2046      2,431,542  
8,050,000    SBA Tower Trust      3.17%  ^     04/15/2047      7,913,783  
235,214    Shenton Aircraft Investment Ltd., Series 2015-1A-A      4.75%  ^     10/15/2042      239,855  
5,763,517    Sprite Ltd., Series 2017-1-A      4.25%  ^     12/15/2037      5,823,256  
2,000,000    STARR, Series 2018-1-A      4.09%  ^     05/15/2043      1,996,844  
189,583    TAL Advantage LLC, Series 2013-2A-A      3.55%  ^     11/20/2038      188,236  
624,467    TAL Advantage LLC, Series 2014-1A-A      3.51%  ^     02/20/2039      620,175  
934,999    TAL Advantage LLC, Series 2014-1A-B      4.10%  ^     02/20/2039      895,748  
19,839,700    TAL Advantage LLC, Series 2017-1A-A      4.50%       04/20/2042      20,244,882  
6,264,950    Textainer Marine Containers Ltd., Series 2017-1A-A      3.72%  ^     05/20/2042      6,230,822  
8,303,571    Thunderbolt Aircraft Lease Ltd., Series 2017-A-A      4.21%  ^§     05/17/2032      8,413,967  
4,128,086    Trinity Rail Leasing LLC, Series 2010-1A-A      5.19%  ^     10/16/2040      4,338,473  
3,099,040    Trip Rail Master Funding LLC, Series 2017-1A-A1      2.71%  ^     08/15/2047      3,059,117  
4,515,397    Triton Container Finance LLC, Series 2017-1A-A      3.52%  ^     06/20/2042      4,451,032  
1,850,315    Triton Container Finance LLC, Series 2017-2A-A      3.62%  ^     08/20/2042      1,819,823  
9,750,000    Triton Container Finance LLC, Series 2018-1A-A      3.95%  ^     03/20/2043      9,723,294  
4,920,661    USQ Rail LLC, Series 2018-1-A1      3.78%  ^     04/25/2048      4,964,189  
11,710,833    Vantage Data Centers Issuer LLC, Series 2018-1A-A2      4.07%  ^     02/16/2043      11,725,114  
6,000,000    VB-S1 Issuer LLC, Series 2018-1A-C      3.41%  ^     02/15/2048      5,964,514  
5,000,000    Vivint Colar Financing LLC, Series 2018-1A-A      4.73%  ^     04/30/2048      5,042,475  
7,044,321    Wildcat LLC, Series 2017-1A-A      4.12%  ¥Þ     06/30/2027      6,972,469  
           

 

 

  

Total Asset Backed Obligations (Cost $244,322,513)

                  245,196,041  
           

 

 

  

Foreign Corporate Bonds - 23.4% 

         
2,130,865    Abengoa Transmision Sur S.A.      6.88%       04/30/2043      2,319,979  
3,650,000    Adani Ports & Special Economic Zone Ltd.      4.00%  ^     07/30/2027      3,327,668  
7,474,923    Aeropuerto Internacional de Tocumen S.A.      5.75%       10/09/2023      7,745,889  
10,500,000    APT Pipelines Ltd.      4.25%  ^     07/15/2027      10,307,367  
10,500,000    Celeo Redes Operacion Chile S.A.      5.20%  ^     06/22/2047      10,329,375  
2,520,000    Delek & Avner Tamar Bond Ltd.      5.41%  ^     12/30/2025      2,537,010  
2,000,000    Emirates Semb Corp Water & Power Company PJSC      4.45%  ^     08/01/2035      1,891,400  
7,507,000    Empresa de Transporte de Pasajeros Metro S.A.      5.00%  ^     01/25/2047      7,431,930  
10,104,356    Energia Eolica S.A.      6.00%  ¥Þ     08/30/2034      10,205,400  
3,084,722    Fermaca Enterprises S. de R.L. de C.V.      6.38%  ^     03/30/2038      3,169,552  
5,341,970    Fermaca Enterprises S. de R.L. de C.V.      6.38%       03/30/2038      5,488,874  
5,223,500    GNL Quintero S.A.      4.63%       07/31/2029      5,132,089  
3,330,697    Interoceanica Finance Ltd.      0.00%  ^     11/30/2025      2,847,746  
7,660,612    Interoceanica Finance Ltd.      0.00%       11/30/2025      6,549,823  
3,640,000    Israel Electric Corporation Ltd.      5.00%  ^     11/12/2024      3,745,560  
8,600,000    Korea Expressway Corporation, (3 Month LIBOR USD + 0.70%)      3.06%  ^     04/20/2020      8,612,563  
6,500,000    Lima Metro Finance Ltd.      5.88%  ^     07/05/2034      6,646,900  
1,950,000    Lima Metro Finance Ltd.      5.88%       07/05/2034      1,994,070  
8,300,000    Mexico City Airport Trust      4.25%  ^     10/31/2026      7,853,875  
4,850,000    Panama Metro Line SP      0.00%  ^     12/05/2022      4,356,512  
4,216,000    Sydney Airport Finance Company Pty Ltd.      3.38%  ^     04/30/2025      4,037,764  
2,440,000    Sydney Airport Finance Company Pty Ltd.      3.63%  ^     04/28/2026      2,358,030  
840,000    Transelec S.A.      4.63%  ^     07/26/2023      861,865  
500,000    Transelec S.A.      4.25%  ^     01/14/2025      488,255  
6,000,000    Transelec S.A.      3.88%  ^     01/12/2029      5,508,060  
           

 

 

  

Total Foreign Corporate Bonds (Cost $129,351,860)

            125,747,556  
           

 

 

  

US Corporate Bonds- 24.5%

         
3,865,000    Ameren Corporation      3.65%       02/15/2026      3,749,272  
6,860,000    American Electric Power Company, Inc.      2.95%       12/15/2022      6,682,582  
11,250,000    American Tower Corporation      4.40%       02/15/2026      11,183,732  
700,000    American Tower Corporation      3.38%       10/15/2026      648,826  
474,000    American Transmission Systems, Inc.      5.25%  ^     01/15/2022      498,641  
7,515,000    American Water Capital Corporation      3.40%       03/01/2025      7,417,093  
2,500,000    Commonwealth Edison Company      4.35%       11/15/2045      2,560,311  
2,500,000    Connecticut Light & Power Company      3.20%       03/15/2027      2,399,654  
3,557,000    Crown Castle International Corporation      3.70%       06/15/2026      3,358,505  
5,250,000    Crown Castle International Corporation      3.65%       09/01/2027      4,890,782  
9,000,000    Digital Realty Trust      3.70%       08/15/2027      8,565,964  
4,175,000    DTE Energy Company      2.85%       10/01/2026      3,808,637  
5,000,000    DTE Energy Company      3.80%       03/15/2027      4,895,184  
700,000    Duke Energy Corporation      3.15%       08/15/2027      650,755  
8,655,000    Duquesne Light Holdings, Inc.      3.62%  ^     08/01/2027      8,215,347  
8,635,000    Eversource Energy      2.80%       05/01/2023      8,329,453  
7,266,000    Exelon Corporation      3.40%       04/15/2026      6,910,330  
10,000,000    ITC Holdings Corporation      3.25%       06/30/2026      9,407,086  
3,730,000    Metropolitan Edison Company      4.00%  ^     04/15/2025      3,727,499  
7,069,000    NextEra Energy Capital Holdings, Inc.      3.63%       06/15/2023      7,059,495  
100,000    Oglethorpe Power Corporation      4.25%       04/01/2046      96,477  
7,220,000    Oncor Electric Delivery Company LLC      2.95%       04/01/2025      6,931,119  
7,350,000    Sierra Pacific Power Company      2.60%       05/01/2026      6,794,650  
7,250,000    Sunoco Logistics Partners Operations LP      3.90%       07/15/2026      6,791,745  
6,417,000    Xcel Energy, Inc.      3.30%       06/01/2025      6,215,601  
           

 

 

  

Total US Corporate Bonds (Cost $138,286,490)

            131,788,740  
           

 

 

  

Short Term Investments- 7.0%

         
12,474,876    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          12,474,876  
12,474,877    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          12,474,877  
12,474,877    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          12,474,877  
           

 

 

  

Total Short Term Investments (Cost $37,424,630)

            37,424,630  
           

 

 

  

Total Investments - 100.5% (Cost $549,385,493)

            540,156,967  
Liabilities in Excess of Other Assets - (0.5)%            (2,563,610)  
           

 

 

  

NET ASSETS - 100.0%

            $         537,593,357  
           

 

 

  

  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $284,184,497 or 52.9% of net assets.  

 

  § The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect as of June 30, 2018.  

 

  ¥ Illiquid security  

 

  Þ Value determined using significant unobservable inputs.  

 

  ◆ Seven-day yield as of June 30, 2018  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Asset Backed Obligations

      45.6%  

US Corporate Bonds

      24.5%  

Foreign Corporate Bonds

      23.4%  

Short Term Investments

      7.0%  

Other Assets and Liabilities

      (0.5)%  
  

 

 

  
                 100.0%  
  

 

 

  

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Asset Backed Obligations

      45.6%  

Utilities

      24.4%  

Transportation

      14.4%  

Telecommunications

      5.4%  

Short Term Investments

      7.0%  

Energy

      3.7%  

Other Assets and Liabilities

      (0.5)%  
  

 

 

  
                 100.0%  
  

 

 

  

 

DoubleLine Ultra Short Bond Fund

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

        $/Shares         

   

Security Description

    Rate     

Maturity

    Value $  

Foreign Corporate Bonds - 15.2%

         
4,000,000    Australia and New Zealand Banking Group Ltd., (3 Month LIBOR USD + 0.46%)      2.78%  ^     05/17/2021      3,995,010  
3,000,000    Bank of Montreal, (3 Month LIBOR USD + 0.46%)      2.80%       04/13/2021      3,006,781  
3,500,000    Bank of Nova Scotia, (3 Month LIBOR USD + 0.20%)      2.57%       11/09/2018      3,501,392  
1,500,000    Bank of Nova Scotia, (3 Month LIBOR USD + 0.44%)      2.80%       04/20/2021      1,500,528  
3,000,000    Canadian Imperial Bank of Commerce, (3 Month LIBOR USD + 0.41%)      2.73%       09/20/2019      3,006,992  
500,000    Canadian Imperial Bank of Commerce, (3 Month LIBOR USD + 0.31%)      2.63%       10/05/2020      500,623  
2,000,000    Diageo Capital Plc, (3 Month LIBOR USD + 0.24%)      2.57%       05/18/2020      2,001,408  
5,500,000    Lloyds Bank PLC, (3 Month LIBOR USD + 0.49%)      2.85%       05/07/2021      5,510,027  
1,700,000    Mitsubishi UFJ Financial Group, Inc., (3 Month LIBOR USD + 1.06%)      3.39%       09/13/2021      1,725,073  
1,000,000    National Australia Bank Ltd., (3 Month LIBOR USD + 0.51%)      2.84%  ^     05/22/2020      1,002,715  
3,000,000    Santander UK PLC, (3 Month LIBOR USD + 0.30%)      2.65%       11/03/2020      2,990,645  
2,000,000    Santander UK PLC, (3 Month LIBOR USD + 0.62%)      2.92%       06/01/2021      1,999,700  
250,000    Sumitomo Mitsui Banking Corporation, (3 Month LIBOR USD + 0.54%)      2.88%       01/11/2019      250,554  
3,000,000    Sumitomo Mitsui Banking Corporation, (3 Month LIBOR USD + 0.35%)      2.70%       01/17/2020      3,000,614  
500,000    Sumitomo Mitsui Financial Group, Inc., (3 Month LIBOR USD + 1.68%)      4.01%       03/09/2021      515,700  
3,000,000    UBS AG, (3 Month LIBOR USD + 0.58%)      2.90%  ^     06/08/2020      3,009,780  
1,355,000    UBS AG, (3 Month LIBOR USD + 0.48%)      2.78%  ^     12/01/2020      1,355,767  
2,000,000    Westpac Banking Corporation, (3 Month LIBOR USD + 1.00%)      3.36%       05/13/2021      2,035,340  
250,000    Westpac Banking Corporation, (3 Month LIBOR USD + 0.56%)      2.89%       08/19/2019      251,139  
           

 

 

  

Total Foreign Corporate Bonds (Cost $41,149,022)

                    41,159,788  
           

 

 

  

US Corporate Bonds - 24.3%

         
1,000,000    Allstate Corporation, (3 Month LIBOR USD + 0.43%)      2.76%       03/29/2021      1,000,872  
1,500,000    Altria Group, Inc.      9.70%       11/10/2018      1,536,851  
250,000    American Express Credit Corporation, (3 Month LIBOR USD + 0.61%)      2.97%       07/31/2018      250,086  
1,700,000    American Express Credit Corporation, (3 Month LIBOR USD + 0.55%)      2.88%       03/18/2019      1,705,607  
1,000,000    American Express Credit Corporation, (3 Month LIBOR USD + 0.33%)      2.68%       05/03/2019      1,001,878  
2,000,000    American Express Credit Corporation, (3 Month LIBOR USD + 0.43%)      2.75%       03/03/2020      2,005,083  
1,000,000    American Honda Finance Corporation      2.13%       10/10/2018      999,165  
2,000,000    American Honda Finance Corporation, (3 Month LIBOR USD + 0.15%)      2.51%       11/13/2019      2,000,937  
1,950,000    BB&T Corporation, (3 Month LIBOR USD + 0.57%)      2.91%       06/15/2020      1,960,453  
475,000    BMW Capital LLC, (3 Month LIBOR USD + 0.41%)      2.75%  ^     09/13/2019      476,744  
2,500,000    BMW Capital LLC, (3 Month LIBOR USD + 0.41%)      2.75%  ^     04/12/2021      2,509,455  
1,095,000    Boeing Company      6.00%       03/15/2019      1,119,884  
2,000,000    Caterpillar Financial Services Corporation, (3 Month LIBOR USD + 0.18%)      2.49%       12/06/2018      2,001,479  
1,665,000    Caterpillar Financial Services Corporation, (3 Month LIBOR USD + 0.29%)      2.61%       09/04/2020      1,669,623  
1,000,000    Citibank N.A., (3 Month LIBOR USD + 0.26%)      2.59%       09/18/2019      1,000,308  
2,400,000    Citibank N.A., (3 Month LIBOR USD + 0.50%)      2.83%       06/12/2020      2,407,684  
1,600,000    Citibank N.A., (3 Month LIBOR USD + 0.35%)      2.71%       02/12/2021      1,601,702  
1,000,000    Daimler Finance North America LLC, (3 Month LIBOR USD + 0.45%)      2.78%  ^     02/22/2021      1,001,029  
3,750,000    Daimler Finance North America LLC, (3 Month LIBOR USD + 0.55%)      2.91%  ^     05/04/2021      3,760,959  
4,000,000    Jackson National Life Global Funding, (3 Month LIBOR USD + 0.48%)      2.81%  ^     06/11/2021      4,006,789  
1,500,000    JP Morgan Chase & Company, (3 Month LIBOR USD + 0.63%)      2.99%       01/28/2019      1,504,666  
2,000,000    JPMorgan Chase & Co., (3 Month LIBOR USD + 0.68%)      2.98%       06/01/2021      2,010,317  
1,593,000    Lowe’s Companies, Inc., (3 Month LIBOR USD + 0.42%)      2.75%       09/10/2019      1,599,360  
3,000,000    Metropolitan Life Global Funding, (3 Month LIBOR USD + 0.23%)      2.56%  ^     01/08/2021      2,998,227  
1,000,000    Morgan Stanley, (3 Month LIBOR USD + 0.98%)      3.31%       06/16/2020      1,012,509  
4,000,000    Morgan Stanley, (3 Month LIBOR USD + 0.55%)      2.90%       02/10/2021      4,008,776  
1,500,000    New York Life Global Funding, (3 Month LIBOR USD + 0.27%)      2.60%  ^     04/09/2020      1,504,137  
250,000    Nissan Motor Acceptance Corporation, (3 Month LIBOR USD + 1.01%)      3.33%  ^     03/08/2019      251,537  
1,800,000    Nissan Motor Acceptance Corporation, (3 Month LIBOR USD + 0.58%)      2.92%  ^     01/13/2020      1,808,778  
3,000,000    Nissan Motor Acceptance Corporation, (3 Month LIBOR USD + 0.52%)      2.86%  ^     03/15/2021      3,006,101  
1,000,000    Pacific Gas & Electric Company, (3 Month LIBOR USD + 0.23%)      2.55%       11/28/2018      996,138  
4,000,000    PNC Bank N.A., (3 Month LIBOR USD + 0.25%)      2.61%       01/22/2021      3,998,284  
250,000    Toyota Motor Credit Corporation, (3 Month LIBOR USD + 0.26%)      2.61%       04/17/2020      250,766  
1,770,000    Toyota Motor Credit Corporation, (3 Month LIBOR USD + 0.28%)      2.62%       04/13/2021      1,770,199  
5,100,000    Wells Fargo & Company, (3 Month LIBOR USD + 1.01%)      3.33%       12/07/2020      5,180,501  
           

 

 

  

Total US Corporate Bonds (Cost $65,896,041)

            65,916,884  
           

 

 

  

Short Term Investments - 61.3%

         

Commercial Paper - 57.8%

         
1,000,000    3M Company      0.00%  ^     07/17/2018      999,034  
4,500,000    3M Company      0.00%  ^     07/31/2018      4,492,124  
2,000,000    American Honda Finance Corporation      0.00%       07/25/2018      1,997,124  
3,000,000    Apple, Inc.      0.00%  ^     07/09/2018      2,998,406  
2,000,000    Apple, Inc.      0.00%  ^     07/23/2018      1,997,401  
2,000,000    Arkansas Electric Corporation      0.00%  ^     07/11/2018      1,998,708  
3,000,000    Arkansas Electric Corporation      0.00%  ^     08/28/2018      2,989,525  
4,500,000    BASF SE      0.00%  ^     08/01/2018      4,491,787  
1,000,000    BASF SE      0.00%  ^     08/06/2018      997,888  
2,500,000    BNP Paribas SA      0.00%       08/15/2018      2,493,302  
5,000,000    BPCE Discount      0.00%  ^     07/11/2018      4,996,795  
1,000,000    Canadian National Railway Company      0.00%  ^     07/18/2018      998,965  
2,000,000    Canadian National Railway Company      0.00%  ^     07/24/2018      1,997,243  
2,000,000    Canadian National Railway Company      0.00%  ^     08/13/2018      1,994,875  
3,000,000    Chevron Corporation      0.00%  ^     07/12/2018      2,997,912  
2,000,000    Chevron Corporation      0.00%  ^     07/31/2018      1,996,482  
3,000,000    Coca Cola Company      0.00%  ^     09/10/2018      2,987,347  
1,000,000    Coca Cola Company      0.00%  ^     09/20/2018      995,145  
1,000,000    Coca Cola Company      0.00%  ^     03/19/2019      981,539  
1,000,000    Credit Agricole Corporate and Investment Bank      0.00%       07/23/2018      998,741  
3,500,000    Credit Suisse First Boston LLC      0.00%       11/09/2018      3,469,044  
5,000,000    Emerson Electric Company      0.00%  ^     07/23/2018      4,993,437  
2,500,000    Exxon Mobil Corporation      0.00%       07/09/2018      2,498,671  
2,500,000    Exxon Mobil Corporation      0.00%       07/23/2018      2,496,745  
3,000,000    General Dynamics Corporation      0.00%  ^     08/14/2018      2,992,142  
2,000,000    General Dynamics Corporation      0.00%  ^     09/04/2018      1,992,273  
4,500,000    General Electric Company      0.00%       08/01/2018      4,491,812  
5,500,000    GlaxoSmithKline LLC      0.00%  ^     07/05/2018      5,498,237  
5,000,000    Hershey Company      0.00%  ^     07/09/2018      4,997,315  
1,150,000    JP Morgan Securities, Inc.      0.00%  ^     11/29/2018      1,138,138  
2,200,000    Macquarie Bank Ltd.      0.00%  ^     07/12/2018      2,198,389  
1,875,000    Macquarie Bank Ltd.      0.00%  ^     07/19/2018      1,872,863  
5,000,000    Merck & Company      0.00%  ^     07/05/2018      4,998,414  
1,000,000    Mitsubishi UFJ Financial Group, Inc.      0.00%  ^     08/01/2018      998,110  
1,500,000    Mitsubishi UFJ Financial Group, Inc.      0.00%  ^     09/06/2018      1,493,727  
2,000,000    Nestle Capital Corporation      0.00%  ^     07/23/2018      1,997,375  
3,000,000    Nestle Capital Corporation      0.00%       07/31/2018      2,994,704  
3,500,000    Paccar Financial Corporation      0.00%       07/05/2018      3,498,878  
5,500,000    PepsiCo, Inc.      0.00%  ^     07/30/2018      5,490,585  
1,500,000    Pfizer, Inc.      0.00%  ^     07/13/2018      1,498,878  
3,500,000    Pfizer, Inc.      0.00%  ^     09/06/2018      3,486,013  
5,000,000    Province of British Columbia      0.00%       07/06/2018      4,998,148  
1,000,000    Qualcomm, Inc.      0.00%  ^     07/19/2018      998,881  
2,207,000    Qualcomm, Inc.      0.00%  ^     08/28/2018      2,198,926  
2,000,000    Qualcomm, Inc.      0.00%  ^     09/05/2018      1,991,526  
2,000,000    Roche Holdings, Inc.      0.00%  ^     07/05/2018      1,999,366  
3,000,000    Roche Holdings, Inc.      0.00%  ^     07/16/2018      2,997,266  
2,000,000    Sanofi SA      0.00%  ^     09/06/2018      1,991,739  
3,000,000    Sanofi SA      0.00%  ^     09/10/2018      2,986,811  
1,000,000    Sanofi SA      0.00%  ^     09/17/2018      995,129  
3,000,000    Simon Property Group LP      0.00%  ^     07/16/2018      2,997,233  
1,000,000    Sumitomo Mitsui Banking Corporation      0.00%  ^     07/25/2018      998,561  
2,000,000    Toronto–Dominion Bank      0.00%  ^     11/14/2018      1,982,190  
1,000,000    Toronto–Dominion Bank      0.00%  ^     11/30/2018      989,973  
4,000,000    Total Capital Canada Ltd.      0.00%  ^     07/06/2018      3,998,487  
1,000,000    Total Capital Canada Ltd.      0.00%  ^     07/10/2018      999,398  
1,000,000    Toyota Motor Credit Corporation      0.00%       07/19/2018      998,923  
3,000,000    Walmart, Inc.      0.00%  ^     07/09/2018      2,998,350  
3,000,000    Walt Disney Company      0.00%  ^     08/15/2018      2,992,092  
2,000,000    Walt Disney Company      0.00%  ^     08/24/2018      1,993,663  
3,000,000    Westpac Banking Corporation      0.00%  ^     11/21/2018      2,971,520  
           

 

 

  
           156,574,275  
           

 

 

  

Money Market Funds - 1.0%

         
889,736    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          889,736  
889,736    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          889,736  
889,736    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          889,736  
           

 

 

  
              2,669,208  
           

 

 

  

US Treasury Bills - 2.5%

         
2,000,000    United States Treasury Bills      0.00%       07/19/2018      1,998,377  
2,750,000    United States Treasury Bills      0.00%       09/20/2018      2,738,557  
2,000,000    United States Treasury Bills      0.00%       09/27/2018      1,990,901  
           

 

 

  
              6,727,835  
           

 

 

  

Total Short Term Investments (Cost $165,999,359)

            165,971,318  
           

 

 

  

Total Investments - 100.8% (Cost $273,044,422)

            273,047,990  
Liabilities in Excess of Other Assets - (0.8)%            (2,114,697)  
           

 

 

  

NET ASSETS - 100.0%

            $         270,933,293  
           

 

 

  

  ^  Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $156,325,211 or 57.7% of net assets.  

 

  ◆  Seven-day yield as of June 30, 2018  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Short Term Investments

      61.3%   

US Corporate Bonds

      24.3%   

Foreign Corporate Bonds

      15.2%   

Other Assets and Liabilities

      (0.8)%   
  

 

 

  
                 100.0%   
  

 

 

  

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Banking

      34.3%   

Pharmaceuticals

      9.8%   

Automotive

      9.0%   

Food Products

      8.3%   

Diversified Manufacturing

      5.5%   

Energy

      5.5%   

Technology

      3.8%   

Insurance

      3.5%   

US Treasury Bills

      2.5%   

Aerospace & Defense

      2.3%   

Utilities

      2.2%   

Chemicals/Plastics

      2.0%   

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      1.8%   

Transportation

      1.8%   

Media

      1.8%   

Retailers (other than Food/Drug)

      1.7%   

Construction

      1.4%   

Real Estate

      1.1%   

Money Market Funds

      1.0%   

Finance

      0.9%   

Beverage and Tobacco

      0.6%   

Other Assets and Liabilities

      (0.8)%   
  

 

 

  
                 100.0%   
  

 

 

  

 

DoubleLine Shiller Enhanced International CAPE®

Schedule of Investments

June 30, 2018 (Unaudited)

 

 

Principal Amount

$/Shares

   

Security Description

    Rate     

Maturity

    Value $  

Asset Backed Obligations - 14.7%

         
96,626    Arcadia Receivables Credit Trust, Series 2017-1-A      3.25%  ^     06/15/2023      96,973  
7,220    AVANT Loans Funding Trust, Series 2017-A-A      2.41%  ^     03/15/2021      7,219  
167,305    AVANT Loans Funding Trust, Series 2017-B-A      2.29%  ^     06/15/2020      167,154  
3,150,000    CAL Funding Ltd., Series 2017-1A-A      3.62%  ^     06/25/2042      3,100,350  
305,232    CLUB Credit Trust, Series 2017-NP1-B      3.17%  ^     04/17/2023      305,200  
66,869    DRB Prime Student Loan Trust, Series 2015-B-A3      2.54%  ^     04/27/2026      66,690  
282,875    Global SC Finance SRL, Series 2014-1A-A1      3.19%  ^     07/17/2029      278,163  
500,000    Kabbage Asset Securitization LLC, Series 2017-1-A      4.57%  ^     03/15/2022      505,048  
2,000,000    Lendmark Funding Trust, Series 2017-1A-A      2.83%  ^     12/22/2025      1,980,850  
500,000    Navient Private Education Loan Trust, Series 2018-A-B      3.68%  ^     02/18/2042      496,598  
62,411    OneMain Financial Issuance Trust, Series 2015-2A-A      2.57%  ^     07/18/2025      62,474  
250,000    SBA Tower Trust      3.17%  ^     04/11/2022      245,770  
130,012    SoFi Consumer Loan Program Trust, Series 2017-2-A      3.28%  ^     02/25/2026      129,946  
591,506    SoFi Consumer Loan Program Trust, Series 2017-3-A      2.77%  ^     05/26/2026      586,995  
505,526    SoFi Consumer Loan Program Trust, Series 2017-5-A1      2.14%  ^     09/25/2026      502,857  
376,210    SoFi Consumer Loan Program Trust, Series 2018-1-A1      2.55%  ^     02/25/2027      374,572  
280,862    SpringCastle America Funding LLC, Series 2016-AA-A      3.05%  ^     11/25/2023      280,186  
1,000,000    Springleaf Funding Trust, Series 2017-AA-A      2.68%  ^     07/15/2030      984,184  
268,709    TAL Advantage LLC, Series 2017-1A-A      4.50%       04/20/2042      274,197  
500,000    Westlake Automobile Receivables Trust, Series 2017-1A-C      2.70%  ^     10/17/2022      498,005  
1,500,000    Westlake Automobile Receivables Trust, Series 2017-2A-C      2.59%  ^     12/15/2022      1,484,604  
           

 

 

  

Total Asset Backed Obligations (Cost $12,535,115)

            12,428,035  
        

 

 

  

Collateralized Loan Obligations - 16.7%

         
500,000    AIMCO, Series 2014-AA-AR, (3 Month LIBOR USD + 1.10%)      3.46%  ^     07/20/2026      500,656  
500,000    Anchorage Capital Ltd., Series 2015-6A-AR, (3 Month LIBOR USD + 1.27%)      3.62%  ^     07/15/2030      501,216  
250,000    Benefit Street Partners Ltd., Series 2013-IIIA-A1R, (3 Month LIBOR USD + 1.25%)      3.61%  ^     07/20/2029      250,969  
2,000,000    Cathedral Lake Ltd., Series 2016-4A-A, (3 Month LIBOR USD + 1.65%)      4.01%  ^     10/20/2028      2,045,694  
500,000    CFIP Ltd., Series 2014-1A-AR, (3 Month LIBOR USD + 1.32%)      3.66%  ^     07/13/2029      502,112  
500,000    CVP Ltd., Series 2017-1A-A, (3 Month LIBOR USD + 1.34%)      3.70%  ^     07/20/2030      503,845  
1,000,000    Galaxy Ltd., Series 2016-22A-B1, (3 Month LIBOR USD + 2.10%)      4.45%  ^     07/16/2028      1,001,513  
500,000    Gilbert Park Ltd., Series 2017-1A-A, (3 Month LIBOR USD + 1.19%)      3.54%  ^     10/15/2030      501,067  
500,000    Highbridge Loan Management, Series 2014-3A-CR, (3 Month LIBOR USD + 3.60%)      5.96%  ^     07/18/2029      502,197  
1,000,000    Marathon Ltd., Series 2014-7A-A1R, (3 Month LIBOR USD + 1.32%)      3.68%  ^     10/28/2025      1,000,751  
500,000    Midocean Credit, Series 2017-7A-A1, (3 Month LIBOR USD + 1.32%)      3.67%  ^     07/15/2029      501,094  
1,000,000    Milos Ltd., Series 2017-1A-A, (3 Month LIBOR USD + 1.25%)      3.61%  ^     10/20/2030      1,001,641  
799,950    Palmer Square Loan Funding Ltd., Series 2017-1A-A1, (3 Month LIBOR USD + 0.74%)      3.09%  ^     10/15/2025      799,480  
500,000    Steele Creek Ltd., Series 2015-1A-AR, (3 Month LIBOR USD + 1.26%)      3.59%  ^     05/21/2029      502,865  
1,000,000    TCI-Cent Ltd., Series 2016-1A-A2, (3 Month LIBOR USD + 2.20%)      4.57%  ^     12/21/2029      1,008,688  
451,672    Venture Ltd., Series 2006-7A-A2, (3 Month LIBOR USD + 0.24%)      2.60%  ^     01/20/2022      452,038  
500,000    Venture Ltd., Series 2017-29A-A, (3 Month LIBOR USD + 1.28%)      3.62%  ^     09/15/2030      501,159  
1,000,000    Wind River Ltd., Series 2014-2A-AR, (3 Month LIBOR USD + 1.14%, 1.14% Floor)      3.49%  ^     01/15/2031      1,001,503  
1,000,000    Zais Ltd., Series 2014-2A-A1AR, (3 Month LIBOR USD + 1.20%)      3.56%  ^     07/25/2026      1,001,374  
           

 

 

  

Total Collateralized Loan Obligations (Cost $14,056,231)

                    14,079,862  
        

 

 

  

Foreign Corporate Bonds - 9.5%

         
200,000    Agromercantil Senior Trust      6.25%       04/10/2019      202,552  
360,000    AstraZeneca PLC      2.38%       11/16/2020      353,380  
200,000    Axiata SPV2 BHD      3.47%       11/19/2020      199,140  
150,000    Banco de Credito del Peru      5.38%       09/16/2020      156,150  
200,000    Banco del Estado de Chile      2.67%  ^     01/08/2021      194,968  
150,000    Banco del Estado de Chile      3.88%       02/08/2022      149,876  
200,000    Banco International del Peru S.A.A.      5.75%       10/07/2020      209,000  
150,000    Banco Latinoamericano do Comercio Exterior S.A.      3.25%       05/07/2020      148,500  
150,000    Banco Santander      3.88%       09/20/2022      149,514  
200,000    Banco Santander, (5 Year CMT Rate + 4.58%)      5.95%       01/30/2024      201,750  
200,000    Banistmo S.A.      3.65%  ^     09/19/2022      189,250  
250,000    BDO Unibank, Inc.      2.63%       10/24/2021      240,934  
200,000    Bharat Petroleum Corporation Ltd.      4.63%       10/25/2022      203,198  
200,000    Bharti Airtel Ltd.      5.13%       03/11/2023      198,033  
140,000    BNP Paribas S.A.      5.00%       01/15/2021      145,429  
200,000    CK Hutchison International Ltd.      2.88%  ^     04/05/2022      195,049  
200,000    CNOOC Finance Ltd.      2.63%       05/05/2020      197,596  
200,000    CNPC General Capital Ltd.      3.95%       04/19/2022      201,966  
200,000    Comision Federal de Electricidad      4.88%       05/26/2021      203,250  
200,000    ECL S.A.      5.63%       01/15/2021      207,370  
176,021    ENA Norte Trust      4.95%       04/25/2023      177,342  
200,000    Grupo Bimbo S.A.B. de C.V.      4.88%       06/30/2020      205,627  
200,000    Indian Oil Corporation Ltd.      5.63%       08/02/2021      209,026  
150,000    Inversiones CMPC S.A.      4.50%       04/25/2022      151,649  
200,000    JBS Investments GMBH      7.75%       10/28/2020      204,250  
200,000    Malayan Banking BHD, (5 Year Swap Rate USD + 2.54%)      3.91%        10/29/2026      197,241  
200,000    ONGC Videsh Ltd.      2.88%       01/27/2022      191,727  
200,000    Oversea-Chinese Banking Corporation, (5 Year Swap Rate USD + 2.20%)      4.00%       10/15/2024      200,800  
200,000    Panama Metro Line SP      0.00%       12/05/2022      179,650  
200,000    PSA International Ltd.      4.63%       09/11/2019      203,886  
250,000    Reliance Holdings, Inc.      4.50%       10/19/2020      254,202  
180,000    Royal Bank of Canada      3.20%       04/30/2021      179,981  
200,000    SP PowerAssets Ltd.      2.70%       09/14/2022      194,916  
285,000    Sumitomo Mitsui Financial Group, Inc.      2.06%       07/14/2021      273,410  
270,000    Toronto-Dominion Bank      3.25%       06/11/2021      270,011  
300,000    Transportadora de Gas Internacional S.A.      5.70%       03/20/2022      305,250  
200,000    United Overseas Bank Ltd., (5 Year Swap Rate USD + 2.00%)      3.75%       09/19/2024      200,041  
200,000    UPL Corporation      3.25%       10/13/2021      193,891  
300,000    Westpac Banking Corporation      1.60%       08/19/2019      295,810  
           

 

 

  

Total Foreign Corporate Bonds (Cost $8,232,292)

            8,035,615  
        

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.9%

         
150,000    Chile Government International Bond      2.25%       10/30/2022      143,175  
200,000    Chile International Government Bond      3.25%       09/14/2021      199,975  
100,000    Dominican Republic International Bond      7.50%       05/06/2021      105,075  
200,000    Indonesia Government International Bond      4.88%       05/05/2021      206,049  
400,000    Israel Government International Bond      4.00%       06/30/2022      411,363  
300,000    Philippine Government International Bond      4.00%       01/15/2021      304,118  
250,000    Wakala Global Sukuk BHD      4.65%       07/06/2021      259,055  
           

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $1,681,436)

            1,628,810  
        

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 8.1%

         
207,000    AREIT Trust, Series 2018-CRE1-AS, (1 Month LIBOR USD + 1.25%, 1.25% Floor)      3.32%  ^     02/16/2035      207,311  
136,000    AREIT Trust, Series 2018-CRE1-B, (1 Month LIBOR USD + 1.65%, 1.65% Floor)      3.72%  ^     02/16/2035      136,595  
251,000    Atrium Hotel Portfolio Trust, Series 2017-ATRM-E, (1 Month LIBOR USD + 3.05%)      5.12%  ^     12/15/2036      250,914  
115,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-E, (1 Month LIBOR USD + 3.40%, 3.40% Floor)      5.36%  ^     06/15/2035      115,565  
319,000    BBCMS Mortgage Trust, Series 2017-GLKS-E, (1 Month LIBOR USD + 2.85%, 2.75% Floor)      4.92%  ^     11/15/2034      319,435  
6,982,000    BB-UBS Trust, Series 2012-SHOW-XA      0.73%  #^I/O     11/07/2036      248,991  
3,844,000    BB-UBS Trust, Series 2012-SHOW-XB      0.28%  #^I/O     11/07/2036      42,904  
267,000    Bsprt Issuer Ltd., Series 2017-FL2-A, (1 Month LIBOR USD + 0.82%, 0.82% Floor)      2.89%  ^     10/16/2034      267,379  
93,000    Bsprt Issuer Ltd., Series 2017-FL2-AS, (1 Month LIBOR USD + 1.10%, 1.10% Floor)      3.17%  ^     10/16/2034      93,236  
93,000    Bsprt Issuer Ltd., Series 2017-FL2-B, (1 Month LIBOR USD + 1.40%, 1.40% Floor)      3.47%  ^     10/16/2034      93,252  
321,000    BX Trust, Series 2017-FL1-C, (1 Month LIBOR USD + 1.95%, 1.95% Floor)      4.02%  ^     06/15/2035      322,606  
234,000    Caesars Palace Las Vegas Trust, Series 2017-VICI-D      4.50%  #^     10/17/2034      235,640  
234,000    Caesars Palace Las Vegas Trust, Series 2017-VICI-E      4.50%  #^     10/17/2034      229,956  
3,545,000    CFCRE Commercial Mortgage Trust, Series 2018-TAN-X      1.85%  #^I/O     02/17/2033      241,668  
3,760,564    Citigroup Commercial Mortgage Trust, Series 2014-GC19-XA      1.35%  #I/O     03/12/2047      170,804  
137,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.58%  #^     02/12/2048      118,781  
319,000    Citigroup Commercial Mortgage Trust, Series 2016-GC36-D      2.85%  ^     02/10/2049      245,855  
268,000    Citigroup Commercial Mortgage Trust, Series 2018-TBR-E, (1 Month LIBOR USD + 2.80%, 2.90% Floor)      4.87%  ^     12/15/2036      270,239  
255,000    Citigroup Commercial Mortgage Trust, Series 2018-TBR-F, (1 Month LIBOR USD + 3.65%, 3.75% Floor)      5.72%  ^     12/15/2036      257,394  
6,185,500    GS Mortgage Securities Trust, Series 2016-GS4-XA      0.71%  #I/O     11/15/2049      211,464  
2,519,826    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33-XA      1.60%  #I/O     05/17/2050      209,551  
88,000    Morgan Stanley Capital Trust, Series 2017-ASHF-D, (1 Month LIBOR USD + 2.20%, 2.20% Floor)      4.27%  ^     11/15/2034      88,441  
188,000    Morgan Stanley Capital Trust, Series 2017-ASHF-E, (1 Month LIBOR USD + 3.15%, 3.15% Floor)      5.22%  ^     11/15/2034      188,047  
142,000    Morgan Stanley Capital Trust, Series 2017-ASHF-F, (1 Month LIBOR USD + 4.35%, 4.35% Floor)      6.42%  ^     11/15/2034      142,978  
15,277,000    Morgan Stanley Capital Trust, Series 2017-ASHF-XCP      1.54%  #^I/O     05/15/2019      196,584  
240,000    Morgan Stanley Capital Trust, Series 2017-CLS-F, (1 Month LIBOR USD + 2.60%, 2.60% Floor)      4.67%  ^     11/15/2034      240,229  
244,176    Tharaldson Hotel Portfolio Trust, Series 2018-THL-E, (1 Month LIBOR USD + 3.18%, 3.10% Floor)      5.23%  ^     11/13/2034      245,053  
323,000    Wells Fargo Commercial Mortgage Trust, Series 2012-LC5-C      4.69%  #     10/17/2045      330,197  
8,133,411    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-XA      0.90%  #I/O     07/17/2058      286,308  
5,528,476    Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA      1.15%  #I/O     12/17/2048      290,187  
69,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-C, (1 Month LIBOR USD + 1.20%, 1.20% Floor)      3.40%  ^     12/15/2034      69,058  
41,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-D, (1 Month LIBOR USD + 1.65%, 1.65% Floor)      3.85%  ^     12/15/2034      41,063  
128,000    Wells Fargo Commercial Mortgage Trust, Series 2017-SMP-E, (1 Month LIBOR USD + 2.25%, 2.25% Floor)      4.45%  ^     12/15/2034      128,210  
264,000    Wells Fargo Commercial Mortgage Trust, Series 2018-BXI-E, (1 Month LIBOR USD + 2.16%)      4.23%  ^     12/15/2036      263,466  
           

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $6,791,093)

            6,799,361  
        

 

 

  

Non-Agency Residential Collateralized Mortgage Obligations - 15.0%

         
760,572    Alternative Loan Trust, Series 2005-64CB-1A10      5.75%       12/25/2035      758,786  
285,619    Bayview Opportunity Master Fund Trust, Series 2017-RN6-A1      3.10%  ^§     08/30/2032      284,792  
185,757    Bayview Opportunity Master Fund Trust, Series 2017-RPL1-A1      3.10%  ^§     07/28/2032      185,273  
1,052,941    CIM Trust, Series 2017-8-A1      3.00%  #^     12/25/2065      1,052,091  
480,512    COLT Mortgage Loan Trust, Series 2017-1-A2      2.82%  #^     05/27/2047      478,540  
480,512    COLT Mortgage Loan Trust, Series 2017-1-A3      3.07%  #^     05/27/2047      479,955  
1,207,344    COLT Mortgage Loan Trust, Series 2018-1-A1      2.93%  #^     02/25/2048      1,204,796  
336,334    Deephaven Residential Mortgage Trust, Series 2017-1A-A1      2.73%  #^     12/26/2046      335,755  
336,334    Deephaven Residential Mortgage Trust, Series 2017-1A-A2      2.93%  #^     12/26/2046      336,008  
553,117    GCAT LLC, Series 2017-2-A1      3.50%  ^§     04/25/2047      549,990  
1,321,077    Mastr Asset Backed Securities Trust, Series 2006-NC3-A5, (1 Month LIBOR USD + 0.21%, 0.21% Floor)      2.30%       10/25/2036      879,393  
1,390,369    Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2-A1      3.00%  ^§     07/25/2057      1,380,056  
530,678    Verus Securitization Trust, Series 2017-1A-A2      3.16%  #^     01/25/2047      529,879  
1,041,269    VOLT LLC, Series 2017-NP10-A1      3.00%  ^§     10/25/2047      1,033,068  
398,178    VOLT LLC, Series 2017-NPL4-A1      3.38%  ^§     04/25/2047      398,015  
698,467    VOLT LLC, Series 2017-NPL5-A1      3.38%  ^§     05/28/2047      699,047  
262,170    VOLT LLC, Series 2017-NPL6-A1      3.25%  ^§     05/28/2047      260,899  
1,040,811    VOLT LLC, Series 2017-NPL8-A1      3.13%  ^§     06/25/2047      1,036,154  
793,807    VOLT LLC, Series 2017-NPL9-A1      3.13%  ^§     09/25/2047      789,265  
           

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $12,752,541)

                    12,671,762  
        

 

 

  

US Corporate Bonds - 9.1%

         
295,000    Air Lease Corporation      2.50%       03/01/2021      287,377  
190,000    Analog Devices, Inc.      2.95%       01/12/2021      188,483  
85,000    Anthem, Inc.      2.50%       11/21/2020      83,601  
355,000    AT&T, Inc.      2.80%       02/17/2021      349,542  
145,000    Bank of America Corporation, (3 Month LIBOR USD + 0.79%)      3.11%       03/05/2024      144,609  
295,000    BAT Capital Corporation      2.30%  ^     08/14/2020      288,773  
280,000    Capital One Financial Corporation      2.40%       10/30/2020      273,248  
185,000    Cardinal Health, Inc.      1.95%       06/14/2019      183,506  
315,000    Celgene Corporation      2.88%       08/15/2020      312,993  
310,000    Cintas Corporation      2.90%       04/01/2022      303,338  
270,000    Citigroup, Inc., (3 Month LIBOR USD + 1.02%)      3.35%       06/01/2024      270,461  
365,000    Consolidated Edison, Inc.      2.00%       03/15/2020      358,424  
185,000    CVS Health Corporation      2.80%       07/20/2020      183,522  
250,000    Daimler Finance North America LLC      2.25%  ^     03/02/2020      245,945  
185,000    Daimler Finance North America LLC      2.30%  ^     02/12/2021      179,757  
80,000    Delta Air Lines, Inc.      3.40%       04/19/2021      79,687  
185,000    General Dynamics Corporation      3.00%       05/11/2021      184,467  
145,000    General Mills, Inc.      2.20%       10/21/2019      143,344  
65,000    General Mills, Inc.      3.20%       04/16/2021      64,701  
50,000    General Motors Financial Company      2.65%       04/13/2020      49,421  
225,000    General Motors Financial Company      3.20%       07/06/2021      222,213  
295,000    Goldman Sachs Group, Inc.      2.30%       12/13/2019      292,185  
125,000    Kroger Company      6.15%       01/15/2020      130,620  
180,000    Microchip Technology, Inc.      3.92%  ^     06/01/2021      180,408  
90,000    Mondelez International, Inc.      3.00%       05/07/2020      89,844  
270,000    Morgan Stanley (3 Month LIBOR USD + 0.93%)      3.29%       07/22/2022      272,293  
290,000    Newell Brands, Inc.      3.15%       04/01/2021      287,475  
185,000    Northrop Grumman Corporation      2.08%       10/15/2020      180,903  
325,000    Packaging Corporation of America      2.45%       12/15/2020      318,159  
285,000    PNC Financial Services Group, Inc.      4.38%       08/11/2020      291,883  
235,000    Prudential Financial, Inc.      7.38%       06/15/2019      244,817  
180,000    Sherwin-Williams Company      2.25%       05/15/2020      177,083  
195,000    Simon Property Group LP      2.20%       02/01/2019      194,323  
65,000    Thermo Fisher Scientific, Inc.      3.60%       08/15/2021      65,394  
175,000    Union Pacific Corporation      3.20%       06/08/2021      175,650  
185,000    Verizon Communications, Inc., (3 Month LIBOR USD + 1.10%)      3.44%       05/15/2025      184,959  
125,000    WellPoint, Inc.      2.30%       07/15/2018      124,985  
           

 

 

  

Total US Corporate Bonds (Cost $7,709,967)

            7,608,393  
        

 

 

  

US Government and Agency Mortgage Backed Obligations - 3.6%

         
856,845    Federal Home Loan Mortgage Corporation, Pool G0-8762      4.00%       05/01/2047      875,651  
792,189    Federal Home Loan Mortgage Corporation, Series 4120-KA      1.75%       10/15/2032      759,650  
390,677    Federal Home Loan Mortgage Corporation, Series 4484-CD      1.75%       07/15/2030      377,316  
478,643    Federal Home Loan Mortgage Corporation, Series 4738-LA      3.00%       11/15/2043      470,392  
504,353    Federal National Mortgage Association, Series 2011-146-MJ      3.00%       08/25/2041      496,165  
62,935    Federal National Mortgage Association, Series 2014-66-QE      2.00%       01/25/2040      61,802  
           

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $3,112,907)

            3,040,976  
        

 

 

  

US Government and Agency Obligations - 7.5%

         
2,031,575    United States Treasury Notes      0.13%       04/15/2019      2,019,936  
3,010,000    United States Treasury Notes      2.00%  ‡     08/31/2021      2,951,387  
1,390,000    United States Treasury Notes      2.13%  ‡     09/30/2021      1,367,467  
           

 

 

  

Total US Government and Agency Obligations (Cost $6,465,789)

            6,338,790  
        

 

 

  

Affiliated Mutual Funds - 9.7%

         
826,358    DoubleLine Floating Rate Fund (Class I)            8,139,624  
           

 

 

  

Total Affiliated Mutual Funds (Cost $8,191,129)

            8,139,624  
        

 

 

  

Short Term Investments - 4.5%

         
1,276,721    BlackRock Liquidity Funds FedFund - Institutional Shares      1.78%  ◆          1,276,721  
1,276,722    Fidelity Institutional Money Market Government Portfolio - Class I      1.76%  ◆          1,276,722  
1,276,722    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.80%  ◆          1,276,722  
           

 

 

  

Total Short Term Investments (Cost $3,830,165)

            3,830,165  
        

 

 

  

Total Investments - 100.3% (Cost $85,358,665)

            84,601,393  
Liabilities in Excess of Other Assets - (0.3)%            (242,030)  
        

 

 

  

NET ASSETS - 100.0%

            $     84,359,363  
        

 

 

  

 

  ^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At June 30, 2018, the value of these securities amounted to $44,042,283 or 52.2% of net assets.  

 

  # 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 June 30, 2018.  

 

  I/O Interest only security  

 

  ◆ Seven-day yield as of June 30, 2018  

 

  § The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect as of June 30, 2018  

 

  ‡ All or a portion of this security has been pledged as collateral in connection with swaps.  

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Collateralized Loan Obligation

      16.7%  

Non-Agency Residential Collateralized Mortgage Obligations

      15.0%  

Asset Backed Obligations

      14.7%  

Affiliated Mutual Funds

      9.7%  

Foreign Corporate Bonds

      9.5%  

US Corporate Bonds

      9.1%  

Non-Agency Commercial Mortgage Backed Obligation

      8.1%  

US Government and Agency Obligations

      7.5%  

Short Term Investments

      4.5%  

US Government and Agency Mortgage Backed Obligations

      3.6%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      1.9%  

Other Assets and Liabilities

      (0.3)%  
  

 

 

  
                 100.0%  
  

 

 

  

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Collateralized Loan Obligation

      16.7%  

Non-Agency Residential Collateralized Mortgage Obligations

      15.0%  

Asset Backed Obligations

      14.7%  

Affiliated Mutual Funds

      9.7%  

Non-Agency Commercial Mortgage Backed Obligations

      8.1%  

US Government and Agency Obligations

      7.5%  

Banking

      6.2%  

Short Term Investments

      4.5%  

US Government and Agency Mortgage Backed Obligations

      3.6%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      1.9%  

Energy

      1.5%  

Telecommunications

      1.2%  

Transportation

      1.2%  

Utilities

      1.1%  

Consumer Products

      0.8%  

Automotive

      0.8%  

Pharmaceuticals

      0.8%  

Healthcare

      0.8%  

Pulp & Paper

      0.6%  

Aerospace & Defense

      0.5%  

Chemicals/Plastics

      0.4%  

Technology

      0.4%  

Industrial Equipment

      0.4%  

Food Products

      0.4%  

Beverage and Tobacco

      0.3%  

Finance

      0.3%  

Insurance

      0.3%  

Conglomerates

      0.2%  

Real Estate

      0.2%  

Food/Drug Retailers

      0.2%  

Other Assets and Liabilities

      (0.3)%  
  

 

 

  
                 100.0%  
  

 

 

  

TOTAL RETURN SWAPS

                       

Reference Entity

   

Counterparty

    Long/Short      Financing
Rate		     Payment
Frequency		      Termination
Date		      Notional
Amount		      Unrealized
Appreciation
(Depreciation) /
Value		  

Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ

   

Barclays Capital, Inc.

      Long        0.20 %      Termination        07/31/2018        5,000,000        EUR        $ (55,766)  

Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ

   

BNP Paribas

      Long        0.20 %      Termination        07/31/2018        10,000,000        EUR        (253,120)  

Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ

   

Barclays Capital, Inc.

      Long        0.20 %      Termination        09/03/2018        5,000,000        EUR        (65,202)  

Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ

   

Barclays Capital, Inc.

      Long        0.20 %      Termination        09/30/2018        4,000,000        EUR        (54,111)  

Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ

   

BNP Paribas

      Long        0.20 %      Termination        12/02/2018        10,000,000        EUR        (524,720)  

Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ

   

BNP Paribas

      Long        0.20 %      Termination        01/31/2019        5,000,000        EUR        (87,017)  

Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ

   

BNP Paribas

      Long        0.20 %      Termination        04/30/2019        5,000,000        EUR        185,053  

Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ

   

Barclays Capital, Inc.

      Long        0.20 %      Termination        06/02/2019        18,000,000        EUR        (41,785)  

Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ

   

Barclays Capital, Inc.

      Long        0.20 %      Termination        06/27/2019        8,300,000        EUR        41,523  
                      

 

 

  
                         $         (855,145)  
                      

 

 

  

 

Ħ

Shiller Barclays CAPE® Europe Sector Net ER NoC Index aims to provide notional long exposure to the top four European equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each European sector is represented by an index of equity securities of companies in the relevant sector. Information on the sector constituents as of June 30, 2018, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIIESAE.

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Settlement Date

    Counterparty    Currency to be Delivered      Value      Currency to be Received      Value      Unrealized
Appreciation
(Depreciation)		  

09/28/2018

    Goldman Sachs      69,587,732       EUR        $ 69,587,732        59,570,000        USD      $         70,055,347        $ 467,615  

09/28/2018

    Barclays Capital, Inc.      11,366,417       EUR        11,366,417        9,730,000        USD        11,442,648        76,231  

09/28/2018

    JP Morgan Securities LLC      4,672,536       EUR        4,672,536        4,000,000        USD        4,704,069        31,533  
          

 

 

           

 

 

  
             $         85,626,685            $ 86,202,064        $         575,379  
          

 

 

           

 

 

  

 

  EUR

Euro

 

 

  USD

US Dollar

 

A summary of the DoubleLine Shiller Enhanced International CAPE®’s investments in affiliated mutual funds for the period ended June 30, 2018 is as follows:

 

Fund

   Value at
March 31, 2018		     Gross Purchases     Gross Sales     Shares Held at
June 30, 2018		     Value at
June 30, 2018		     Change in Unrealized
for the
Period Ended
June 30, 2018		     Dividend Income
Earned in the
Period Ended
June 30, 2018		     Net Realized
Gain (Loss)
in the
Period Ended
June 30, 2018		  
DoubleLine Floating Rate Fund (Class I)   $ 10,415,621     $ -     $ (2,200,000 )      826,358     $ 8,139,624     $ (69,942 )    $ 103,117     $ (6,054 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 10,415,621     $ -     $ (2,200,000 )      826,358     $ 8,139,624     $ (69,942 )    $ 103,117     $ (6,054 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

Notes to Schedule of Investments

June 30, 2018 (Unaudited)

 

Organization

DoubleLine Funds Trust, a Delaware statutory trust (the “Trust”), is an open-end investment management company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust consists of 16 funds, DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth Fund, DoubleLine Low Duration Bond Fund, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE®, DoubleLine Flexible lncome Fund, DoubleLine Low Duration Emerging Markets Fixed Income Fund, DoubleLine Selective Credit Fund, Doubleline Long Duration Total Return Bond Fund, DoubleLine Strategic Commodity Fund, DoubleLine Global Bond Fund, DoubleLine Infrastructure Income Fund, DoubleLine Ultra Short Bond Fund and DoubleLine Shiller Enhanced International CAPE® (each, a “Fund” and, collectively, the “Funds”). For financial information related to the DoubleLine Selective Credit Fund, please refer to the DoubleLine Selective Credit Fund’s separate Form N-Q filing.

The Funds’ investment objectives and commencement of operations of each share class are as follows:

 

          Commencement of Operations  

Fund Name

   

Investment Objective

    I Shares      N Shares      A Shares  

DoubleLine Total Return Bond Fund

    Maximize total return      4/6/2010        4/6/2010        —  

DoubleLine Core Fixed Income Fund

    Maximize current income and total return      6/1/2010        6/1/2010        —  

DoubleLine Emerging Markets Fixed Income Fund

    Seek high total return from current income and capital appreciation      4/6/2010        4/6/2010        —  

DoubleLine Multi-Asset Growth Fund (Consolidated)

    Seek long-term capital appreciation      12/20/2010        —        12/20/2010  

DoubleLine Low Duration Bond Fund

    Seek current income      9/30/2011        9/30/2011        —  

DoubleLine Floating Rate Fund

    Seek high level of current income      2/1/2013        2/1/2013        —  

DoubleLine Shiller Enhanced CAPE®

    Seek total return which exceeds the total return of its benchmark index      10/31/2013        10/31/2013        —  

DoubleLine Flexible Income Fund

    Seek long-term total return while striving to generate current income      4/7/2014        4/7/2014        —  

DoubleLine Low Duration Emerging Markets Fixed Income Fund

    Seek long-term total return      4/7/2014        4/7/2014        —  

DoubleLine Long Duration Total Return Bond Fund

    Seek long-term total return      12/15/2014        12/15/2014        —  

DoubleLine Strategic Commodity Fund (Consolidated)

    Seek long-term total return      5/18/2015        5/18/2015        —  

DoubleLine Global Bond Fund

    Seek long-term total return      12/17/2015        12/17/2015        —  

DoubleLine Infrastructure Income Fund

    Seek long-term total return while striving to generate current income      4/1/2016        4/1/2016        —  

DoubleLine Ultra Short Bond Fund

    Seek to provide a level of current income consistent with limited price volatility      6/30/2016        6/30/2016        —  

DoubleLine Shiller Enhanced International CAPE®

    Seek total return which exceeds the total return of its benchmark index over a full market cycle      12/23/2016        12/23/2016        —  

Significant Accounting Policies

Each Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, “Financial Services-Investment Companies”, by the Financial Accounting Standards Board (“FASB”). The following is a summary of the significant accounting policies of the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“US GAAP”).

Security Valuation. The Funds have adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:

Level 1—Unadjusted quoted market prices in active markets for identical securities

Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data

Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions)

Assets and liabilities may be transferred between levels. The Funds use end of period timing recognition to account for any transfers.

Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Funds are authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3.

 

Fixed-income class         Examples of Inputs

All

     Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)

Corporate bonds and notes; convertible securities

     Standard inputs and underlying equity of the issuer

US bonds and notes of government and government agencies

     Standard inputs

Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations)

     Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports

Bank loans

     Standard inputs

Investments in registered open-end management investment companies will be valued based upon the net asset value (“NAV”) of such investments and are categorized as Level 1 of the fair value hierarchy.

Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as forward currency exchange contracts, options contracts, futures, or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of evaluations provided by independent pricing services or broker dealer quotations. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.

Securities may be fair valued in accordance with the fair valuation procedures approved by the Board of Trustees (the “Board”). The valuation committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The valuation committee and the pricing group are authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market or fair value.

Foreign Currency Translation. The Funds’ books and records are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.

The following is a summary of the fair valuations according to the inputs used to value the Funds’ investments as of June 30, 2018:

 

Category

   DoubleLine
Total
Return
Bond
Fund		     DoubleLine
Core
Fixed
Income
Fund		     DoubleLine
Emerging
Markets
Fixed
Income
Fund		     DoubleLine
Multi-Asset
Growth
Fund
(Consolidated)		     DoubleLine
Low Duration
Bond
Fund		     DoubleLine
Floating
Rate
Fund		  

Investments in Securities

            

Level 1

            

Money Market Funds

   $ 1,304,553,204     $ 113,577,762     $ 6,389,690     $ 24,919,941     $ 256,991,077     $ 42,164,894  

Affiliated Mutual Funds

     -       1,120,071,564       -       63,263,097       48,100,000       -  

Exchange Traded Funds and Common Stocks

     -       2,110,965       3,318,926       81,238,455       1,297,501       -  

Real Estate Investment Trusts

     -       -       -       9,459,045       -       -  

 

  

 

 

  

Total Level 1

     1,304,553,204       1,235,760,291       9,708,616       178,880,538       306,388,578       42,164,894  

Level 2

            

US Government and Agency Mortgage Backed Obligations

     23,798,236,414       1,718,599,277       -       6,152,456       55,981,505       -  

Non-Agency Residential Collateralized Mortgage Obligations

     12,522,130,611       835,610,375       -       11,795,263       741,168,255       -  

Non-Agency Commercial Mortgage Backed Obligations

     3,450,411,033       813,059,009       -       -       818,205,642       -  

Collateralized Loan Obligations

     2,618,195,021       279,195,619       -       8,033,513       909,074,515       6,544,638  

US Government and Agency Obligations

     2,317,714,590       2,060,063,087       -       2,126,248       301,576,176       -  

Asset Backed Obligations

     2,024,290,856       235,752,886       -       10,045,237       521,795,034       -  

Other Short Term Investments

     1,990,856,483       209,772,928       -       6,496,976       246,822,209       -  

US Corporate Bonds

     -       1,339,326,779       -       -       392,135,732       11,588,212  

Foreign Corporate Bonds

     -       983,259,051       781,046,029       -       882,920,472       953,250  

Bank Loans

     -       559,713,912       -       -       411,537,126       623,959,460  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     -       172,799,919       193,411,875       -       181,461,328       -  

Municipal Bonds

     -       10,130,296       -         -       -  

 

  

 

 

  

Total Level 2

     48,721,835,008       9,217,283,138       974,457,904       44,649,693       5,462,677,994       643,045,560  

Level 3

           .      

Non-Agency Residential Collateralized Mortgage Obligations

     287,636,559       38,971,564       -       957,081       1,922,234       -  

Collateralized Loan Obligations

     7,882,399       -       -       -       -       -  

Asset Backed Obligations

     3,375,841       13,461,318       -       -       148,063       -  

 

  

 

 

  

Total Level 3

     298,894,799       52,432,882       -       957,081       2,070,297       -  

 

  

 

 

  

Total

   $ 50,325,283,011     $ 10,505,476,311     $ 984,166,520     $ 224,487,312     $ 5,771,136,869     $ 685,210,454  

 

  

 

 

  

Other Financial Instruments

            

Level 1

            

Futures Contracts

   $ -     $ -     $ -     $ (1,160,706 )    $ -     $ -  

 

  

 

 

  

Total Level 1

     -       -       -       (1,160,706 )      -       -  

Level 2

            

Forward Currency Exchange Contracts

     -       -       -       145,970       -       -  

Credit Default Swaps

     -       -       -       41,112       -       -  

Total Return Swaps

     -       -       -       33,375       -       -  

 

  

 

 

  

Total Level 2

     -       -       -       220,457       -       -  

Level 3

     -       -       -       -       -       -  

 

  

 

 

  

Total

   $ -     $ -     $ -     $ (940,249 )    $ -     $ -  

 

  

 

 

  

Category

   DoubleLine
Shiller
Enhanced
CAPE®		     DoubleLine
Flexible
Income
Fund		     DoubleLine
Low Duration
Emerging
Markets Fixed
Income Fund		     DoubleLine
Long Duration
Total Return
Bond Fund		     DoubleLine
Strategic
Commodity
Fund
(Consolidated)		     DoubleLine
Global
Bond
Fund		  

Investments in Securities

            

Level 1

            

Money Market Funds

   $ 395,236,777     $ 134,976,390     $ 3,300,351     $ 940,317     $ 38,567,796     $ 25,761,179  

Affiliated Mutual Funds

     250,050,000       63,040,705       -       -       -       -  

Exchange Traded Funds and Common Stock

     137,842       94,292       369,927       -       -       -  

 

  

 

 

  

Total Level 1

     645,424,619       198,111,387       3,670,278       940,317       38,567,796       25,761,179  

Level 2

            

Collateralized Loan Obligations

     650,506,261       210,587,683       -       -       -       -  

Non-Agency Commercial Mortgage Backed Obligations

     619,598,854       117,232,262       -       -       -       -  

Non-Agency Residential Collateralized Mortgage Obligations

     595,959,437       226,060,323       -       -       -       -  

Foreign Corporate Bonds

     459,315,060       166,631,264       150,922,570       -       -       -  

Bank Loans

     443,943,676       130,604,890       -       -       -       -  

US Government and Agency Obligations

     514,779,128       55,565,055       -       11,036,211       -       164,767,213  

Other Short Term Investments

     423,369,196       -       -       5,949,374       468,042,013       -  

US Corporate Bonds

     321,440,496       70,642,342       -       -       -       -  

Asset Backed Obligations

     351,301,653       74,687,544       -       -       -       -  

US Government and Agency Mortgage Backed Obligations

     156,397,043       6,183,555       -       51,052,524       -       -  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     79,034,038       37,566,625       43,047,628       -       -       497,031,160  

 

  

 

 

  

Total Level 2

     4,615,644,842       1,095,761,543       193,970,198       68,038,109       468,042,013       661,798,373  

Level 3

            

Non-Agency Residential Collateralized Mortgage Obligations

     654,437       30,269,383       -       -       -       -  

Non-Agency Commercial Mortgage Backed Obligations

     -       1,038,255       -       -       -       -  

Asset Backed Obligations

     -       29,613       -       -       -       -  

 

  

 

 

  

Total Level 3

     654,437       31,337,251       -       -       -       -  

 

  

 

 

  

Total

   $ 5,261,723,898     $ 1,325,210,181     $ 197,640,476     $ 68,978,426     $ 506,609,809     $ 687,559,552  

 

  

 

 

  

Other Financial Instruments

            

Level 1

            

Futures Contracts

   $ -     $ -     $ -     $ 15,228     $ -     $ -  

 

  

 

 

  

Total Level 1

     -       -       -       15,228       -       -  

Level 2

            

Total Return Swaps

     108,100,233       -       -       -       -       -  

Excess Return Swaps

     -       -       -       -       (14,292,266 )      -  

Forward Currency Exchange Contracts

     -       -       -       -       -       -  

 

  

 

 

  

Total Level 2

     108,100,233       -       -       -       (14,292,266 )      -  

Level 3

     -       -       -       -       -       -  

 

  

 

 

  

Total

   $ 108,100,233     $ -     $ -     $ 15,228     $ (14,292,266 )    $ -  

 

  

 

 

  

Category

   DoubleLine
Infrastructure
Income
Fund		     DoubleLine
Ultra
Short Bond
Fund		     DoubleLine
Shiller
Enhanced
International
CAPE®		  

Investments in Securities

      

Level 1

      

Money Market Funds

   $ 37,424,630     $ 2,669,208     $ 3,830,165  

Affiliated Mutual Funds

     -       -       8,139,624  

Exchange Traded Funds and Common Stock

     -       -       -  

 

  

 

 

  

Total Level 1

     37,424,630       2,669,208       11,969,789  

Level 2

      

Asset Backed Obligations

     227,878,247       -       12,182,265  

US Corporate Bonds

     142,134,065       65,916,884       7,854,163  

Foreign Corporate Bonds

     115,542,156       41,159,788       8,035,615  

Commercial Paper

     -       156,574,275       -  

Other Short Term Investments

     -       6,727,835       -  

Collateralized Loan Obligations

     -       -       14,079,862  

Non-Agency Residential Collateralized Mortgage Obligations

     -       -       12,671,762  

Non-Agency Commercial Mortgage Backed Obligations

     -       -       6,799,361  

US Government and Agency Obligations

     -       -       6,338,790  

US Government and Agency Mortgage Backed Obligations

     -       -       3,040,976  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     -       -       1,628,810  

 

  

 

 

  

Total Level 2

     485,554,468       270,378,782       72,631,604  

Level 3

      

Foreign Corporate Bonds

     10,205,400       -       -  

Asset Backed Obligations

     6,972,469       -       -  

 

  

 

 

  

Total Level 3

     17,177,869       -       -  

 

  

 

 

  

Total

   $ 540,156,967     $ 273,047,990     $ 84,601,393  

 

  

 

 

  

Other Financial Instruments

      

Level 1

   $ -     $ -     $ -  

 

  

 

 

  

Total Level 1

     -       -       -  

Level 2

      

Forward Currency Exchange Contracts

     -       -       575,379  

Total Return Swaps

     -       -       (855,145 ) 

 

  

 

 

  

Total Level 2

     -       -       (279,766 ) 

Level 3

     -       -       -  

 

  

 

 

  

Total

   $ -     $ -     $ (279,766 ) 

 

  

 

 

  

See the Schedules of Investments for further disaggregation of investment categories.

The following amounts were transferred between Level 2 to Level 1 as of June 30, 2018. Transfers between Level 1 and Level 2 were due to adjustments made to quoted market prices, such as foreign currency translation, to measure the fair value of those instruments.

 

    Transfers Out of Level 2     Transfers Into Level 1  

DoubleLine Core Fixed Income Fund

   $ (1,970,943 )    $ 1,970,943  

DoubleLine Emerging Markets Fixed Income Fund

   $ 3,318,926     $ 3,318,926  

DoubleLine Low Duration Bond Fund

   $ (1,297,501 )    $ 1,297,501  

DoubleLine Shiller Enhanced CAPE®

   $ (137,842 )    $ 137,842  

DoubleLine Flexible Income Fund

   $ (80,881 )    $ 80,881  

DoubleLine Low Duration Emerging Markets Fixed Income Fund

   $ (369,927 )    $ 369,927  

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

DoubleLine Flexible Income Fund   Fair Value
as of
3/31/2018		     Net
Realized
Gain
(Loss)		     Net Change in
Unrealized
Appreciation
(Depreciation)3		     Net Accretion
(Amortization)		     Purchases 1     Sales 2     Transfers
Into
Level 34		     Transfers
Out of
Level 34		     Fair Value
as of
6/30/2018		     Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
6/30/2018 3		  

Investments in Securities

                    

Non-Agency Residential Collateralized Mortgage Obligations

   $ 32,295,476     $ 144,754     $ (124,554 )    $ 91,478     $ 44,971     $ (672,223 )    $ -     $ (1,510,519 )    $ 30,269,383     $ (127,463 ) 

Non-Agency Commercial Mortgage Backed Obligations

     1,039,796       -       (9,709 )      8,168       -       -       -       -       1,038,255       (9,709 ) 

Asset Backed Obligations

     104,160       -       43       -       -       (74,590 )      -       -       29,613       43  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 33,439,432     $ 144,754     $ (134,220 )    $ 99,646     $ 44,971     $ (746,813 )    $ -     $ (1,510,519 )    $ 31,337,251     $ (137,129 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
                   
DoubleLine Infrastructure Income Fund   Fair Value
as of
3/31/2018		     Net
Realized
Gain
(Loss)		     Net Change in
Unrealized
Appreciation
(Depreciation)3		     Net Accretion
(Amortization)		     Purchases 1     Sales 2     Transfers
Into
Level 34		     Transfers
Out of
Level 34		     Fair Value
as of
6/30/2018		     Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
6/30/2018 3		  

Investments in Securities

                    

Foreign Corporate Bonds

   $ 10,382,226     $ -     $ (176,170 )    $ (656 )    $ -     $ -     $ -     $ -     $ 10,205,400     $ (176,170 ) 

Asset Backed Obligations

     7,985,600       4,778       (62,231 )      -       -       (955,679 )      -       -       6,972,469       (62,231 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 18,367,826     $ 4,778     $ (238,401 )    $ (656 )    $ -     $ (955,679 )    $ -     $ -     $ 17,177,869     $ (238,401 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Purchases include all purchases of securities and payups.

2 Sales include all sales of securities, maturities, and paydowns.

3 Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on securities held at June 30, 2018 may be due to a security that was not held or categorized as Level 3 at either period end.

4 Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments.

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

 

DoubleLine Flexible Income Fund    Fair Value
as of
6/30/2018 *		      Valuation
Techniques		      Unobservable
Input		      Input Values      Impact to valuation from
an increase to input

Non-Agency Residential Collateralized Mortgage Obligations

    $ 30,269,383        Market Comparables        Market Quotes        $84.50 - $105.17      Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security

Non-Agency Commercial Mortgage Backed Obligations

      1,038,255        Market Comparables        Yields        10.75%      Increase in yields would result in the decrease in the fair value of the security

Asset Backed Obligations

      29,613        Market Comparables        Market Quotes        $100.02      Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security
              
DoubleLine Infrastructure Income Fund    Fair Value
as of
6/30/2018 *		      Valuation
Techniques		      Unobservable
Input		      Input Values      Impact to valuation from
an increase to input

Foreign Corporate Bonds

    $ 10,205,400        Market Comparables        Market Quotes        $101.00      Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security

Asset Backed Obligations

      6,972,469        Market Comparables        Market Quotes        $98.98      Significant changes in the market quotes would result in direct and proportional changes in the fair value of the security

* Level 3 securities are typically valued by pricing vendors. The appropriateness of fair values for these securities is monitored on an ongoing basis by the Adviser, which may include back testing, results of vendor due diligence, unchanged price review and consideration of market and/or sector events.

Item 2. Controls and Procedures.

 

(a)

The Registrant’s principal executive and principal financial officers have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of this Form N-Q, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

 

(b)

There were no changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3. Exhibits.

Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)  DoubleLine Funds Trust

By (Signature and Title)          /s/ Ronald R. Redell                                      

Ronald R. Redell, President

Date                       8/24/2018                                                  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)          /s/ Ronald R. Redell                          

Ronald R. Redell, President

Date                       8/24/2018                                                          

By (Signature and Title)            /s/ Susan Nichols                                                   

Susan Nichols, Treasurer and Principal Financial and Accounting Officer

Date                       8/24/2018