DoubleLine Total Return Bond Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Asset Backed Obligations - 4.3% 36,513,741 AASET Ltd., Series 2019-2-A 3.38% ^ 10/16/2039 34,441,769 24,722,453 AASET Trust, Series 2020-1A-A 3.35% ^ 01/16/2040 23,027,779 45,000,000 Affirm Asset Securitization Trust, Series 2020-A-A 2.10% ^ 02/18/2025 45,279,040 11,066,107 Affirm Asset Securitization Trust, Series 2020-Z1-A 3.46% ^ 10/15/2024 11,244,641 15,205,094 Affirm Asset Securitization Trust, Series 2020-Z2-A 1.90% ^ 01/15/2025 15,309,219 8,609,623 Aqua Finance Trust, Series 2017-A-A 3.72% ^ 11/15/2035 8,869,798 21,500,000 Bojangles LLC, Series 2020-1A-A2 3.83% ^ 10/20/2050 22,086,447 48,539,508 Business Jet Securities LLC, Series 2020-1A-A 2.98% ^ 11/15/2035 49,347,497 48,937,500 CAL Funding IV Ltd., Series 2020-1A-A 2.22% ^ 09/25/2045 49,713,913 16,400,086 Castlelake Aircraft Securitization Trust, Series 2016-1-A 4.45% 08/15/2041 15,723,763 33,959,398 Castlelake Aircraft Securitization Trust, Series 2017-1-A 3.97% 07/15/2042 32,491,672 8,039,393 Castlelake Aircraft Securitization Trust, Series 2018-1-A 4.13% ^ 06/15/2043 7,756,994 27,783,284 CLI Funding LLC, Series 2019-1A-A 3.71% ^ 05/18/2044 28,413,508 19,782,500 CLI Funding LLC, Series 2020-1A-A 2.08% ^ 09/18/2045 20,052,337 5,427,689 CLUB Credit Trust, Series 2017-P2-C 4.91% ^ 01/15/2024 5,469,670 12,347,175 Coinstar Funding LLC, Series 2017-1A-A2 5.22% ^ 04/25/2047 12,068,509 1,802,249 Commonbond Student Loan Trust, Series 2015-A-A 3.20% ^ 06/25/2032 1,807,260 5,735,568 Commonbond Student Loan Trust, Series 2016-A-A1 3.32% ^ 05/25/2040 5,902,803 1,656,024 Consumer Installment Loan Trust, Series 2018-6-PT 9.88% #^ 06/17/2041 1,609,906 2,465,589 Credit Acceptance Auto Loan Trust, Series 2018-1A-A 3.01% ^ 02/16/2027 2,467,686 17,479,858 Credit Suisse ABS Trust, Series 2020-AT1-A 2.61% ^ 10/15/2026 17,559,881 7,900,000 DB Master Finance LLC, Series 2019-1A-A2I 3.79% ^ 05/20/2049 8,141,838 27,468,979 Dividend SLR, Series 2019-1-A 3.67% ^ 08/22/2039 28,386,992 46,777,500 Domino’s Pizza Master Issuer LLC, Series 2019-1A-A2 3.67% ^ 10/25/2049 49,850,220 2,934,480 Earnest Student Loan Program LLC, Series 2016-B-A2 3.02% ^ 05/25/2034 2,949,745 4,052,585 Earnest Student Loan Program LLC, Series 2016-D-A2 2.72% ^ 01/25/2041 4,089,520 34,526,312 ECAF Ltd., Series 2015-1A-A2 4.95% ^ 06/15/2040 30,684,017 4,363,876 Falcon Aerospace Ltd., Series 2017-1-A 4.58% ^ 02/15/2042 4,263,834 1,508,153 Foundation Finance Trust, Series 2016-1A-A 3.96% ^ 06/15/2035 1,523,471 7,101,631 Foundation Finance Trust, Series 2019-1A-A 3.86% ^ 11/15/2034 7,351,749 25,448,427 GAIA Aviation Ltd., Series 2019-1-A 3.97% ^§ 12/15/2044 23,759,516 32,479,364 Global SC Finance SRL, Series 2020-1A-A 2.17% ^ 10/17/2040 32,884,323 23,084,540 Harbour Aircraft Investments Ltd., Series 2017-1-A 4.00% 11/15/2037 22,028,145 4,543,037 HERO Funding Trust, Series 2016-3A-A2 3.91% ^ 09/20/2042 4,759,154 11,592,866 HERO Funding Trust, Series 2016-4A-A2 4.29% ^ 09/20/2047 12,322,551 3,150,000 Hertz Vehicle Financing II LP, Series 2019-2A-B 3.67% ^ 05/25/2025 3,166,919 12,426,880 Horizon Aircraft Finance Ltd., Series 2018-1-A 4.46% ^ 12/15/2038 12,028,996 26,737,256 Horizon Aircraft Finance Ltd., Series 2019-1-A 3.72% ^ 07/15/2039 25,617,152 47,640,000 JACK, Series 2019-1A-A23 4.97% ^ 08/25/2049 51,452,391 10,550,000 Jersey Mike’s Funding, Series 2019-1A-A2 4.43% ^ 02/15/2050 11,336,939 56,260,125 Jimmy Johns Funding LLC, Series 2017-1A-A2II 4.85% ^ 07/30/2047 58,154,280 21,498,700 JOL Air Ltd., Series 2019-1-A 3.97% ^ 04/15/2044 20,786,813 7,236,509 Kestrel Aircraft Funding Ltd., Series 2018-1A-A 4.25% ^ 12/15/2038 6,834,072 71,712,716 Labrador Aviation Finance Ltd., Series 2016-1A-A1 4.30% ^ 01/15/2042 67,700,103 14,769,061 LendingClub Receivables Trust, Series 2020-3-A 3.50% ^ 01/16/2046 15,040,206 20,257,644 LendingClub Receivables Trust, Series 2020-5A-A 3.50% ^ 03/15/2046 20,399,213 1,950,000 Loanpal Solar Loan Ltd., Series 2021-1GS-B 2.84% ^ 01/20/2048 1,954,210 15,639,672 Lunar Aircraft Ltd., Series 2020-1A-A 3.38% ^ 02/15/2045 14,773,235 1,248,466 Marlette Funding Trust, Series 2018-4A-A 3.71% ^ 12/15/2028 1,253,531 23,120,519 Mosaic Solar Loan Trust, Series 2017-2A-A 3.82% ^ 06/22/2043 24,949,669 13,397,091 Mosaic Solar Loan Trust, Series 2018-1A-A 4.01% ^ 06/22/2043 14,501,923 16,920,561 Mosaic Solar Loan Trust, Series 2018-2GS-A 4.20% ^ 02/22/2044 18,274,067 2,902,059 Mosaic Solar Loan Trust, Series 2019-1A-A 4.37% ^ 12/21/2043 3,128,616 23,000,000 Navient Private Education Loan Trust, Series 2017-A-B 3.91% ^ 12/16/2058 23,587,153 30,000,000 Navient Private Education Loan Trust, Series 2018-BA-B 4.13% ^ 12/15/2059 30,824,529 6,615,328 Newtek Small Business Loan Trust, Series 2018-1-A (1 Month LIBOR USD + 1.70%) 1.85% ^ 02/25/2044 6,445,350 20,059,216 NP SPE LLC, Series 2019-2A-A1 2.86% ^ 11/19/2049 20,329,281 12,209,999 OneMain Financial Issuance Trust, Series 2017-1A-A1 2.37% ^ 09/14/2032 12,227,809 12,500,000 Oxford Finance Funding LLC, Series 2019-1A-A2 4.46% ^ 02/15/2027 12,943,205 48,544,098 Pioneer Aircraft Finance Ltd., Series 2019-1-A 3.97% ^ 06/15/2044 46,200,389 17,389,350 Primose Funding LLC, Series 2019-1A-A2 4.48% ^ 07/30/2049 18,066,841 21,823,569 Prosper Trust, Series 2019-ST1-A 4.50% ^ 07/15/2025 22,184,574 19,391,556 Raptor Aircraft Finance LLC, Series 2019-1-A 4.21% ^ 08/23/2044 16,805,421 12,527,141 Renew, Series 2017-2A-A 3.22% ^ 09/22/2053 12,919,692 46,896,566 Sapphire Aviation Finance Ltd., Series 2020-1A-A 3.23% ^ 03/15/2040 45,531,595 16,832,409 Sapphire Aviation Finance Ltd., Series 2020-1A-B 4.34% ^ 03/15/2040 13,532,281 39,200,000 SBA Tower Trust 1.88% ^ 01/15/2026 40,467,250 4,484,640 SCF Equipment Leasing LLC, Series 2017-2A-A 3.41% ^ 12/20/2023 4,503,473 9,330,000 ServiceMaster Funding LLC, Series 2020-1-A2II 3.34% ^ 01/30/2051 9,547,546 27,306,149 Shenton Aircraft Investment Ltd., Series 2015-1A-A 4.75% ^ 10/15/2042 25,801,225 9,000,975 Sierra Timeshare Receivables Funding LLC, Series 2020-2A-B 2.32% ^ 07/20/2037 9,123,125 5,022,112 Sierra Timeshare Receivables Funding LLC, Series 2020-2A-C 3.51% ^ 07/20/2037 5,187,993 7,934,214 SLM Private Credit Student Loan Trust, Series 2006-A-A5 (3 Month LIBOR USD + 0.29%) 0.51% 06/15/2039 7,632,759 6,114,724 SLM Private Credit Student Loan Trust, Series 2006-B-A5 (3 Month LIBOR USD + 0.27%) 0.49% 12/15/2039 5,862,422 34,186,062 SLVRR, Series 2019-1-A 3.97% ^ 07/15/2044 32,897,452 625,460 SoFi Consumer Loan Program LLC, Series 2016-1-A 3.26% ^ 08/25/2025 626,609 2,471,997 SoFi Consumer Loan Program Trust, Series 2017-5-A2 2.78% ^ 09/25/2026 2,491,184 680,299 SoFi Consumer Loan Program Trust, Series 2018-4-A 3.54% ^ 11/26/2027 683,692 4,800,522 SoFi Professional Loan Program, Series 2016-A-A2 2.76% ^ 12/26/2036 4,878,734 20,000,000 SoFi Professional Loan Program, Series 2017-E-B 3.49% ^ 11/26/2040 20,904,972 13,000,000 SoFi Professional Loan Program, Series 2017-E-C 4.16% ^ 11/26/2040 13,711,633 22,800,000 SoFi Professional Loan Program, Series 2018-A-B 3.61% ^ 02/25/2042 23,758,813 18,000,000 SoFi Professional Loan Program, Series 2018-B-BFX 3.83% ^ 08/25/2047 19,060,618 532,379 SoFi Professional Loan Program, Series 2019-A-A1FX 3.18% ^ 06/15/2048 533,251 40,685,450 Springleaf Funding Trust, Series 2017-AA-A 2.68% ^ 07/15/2030 40,776,691 23,958,754 Sprite Ltd., Series 2017-1-A 4.25% ^ 12/15/2037 22,606,522 460,513 Spruce Asset Backed Securities Trust, Series 2016-E1-A 4.32% ^ 06/15/2028 469,148 19,790,000 Stack Infrastructure Issuer LLC, Series 2020-1A-A2 1.89% ^ 08/25/2045 20,057,335 23,094,463 Start Ltd., Series 2018-1-A 4.09% ^ 05/15/2043 22,558,071 49,514,501 Sunbird Engine Finance LLC, Series 2020-1A-A 3.67% ^ 02/15/2045 44,970,406 13,955,911 Sunnova Helios Issuer LLC, Series 2018-1A-A 4.87% ^ 07/20/2048 15,005,838 16,120,253 Sunnova Helios Issuer LLC, Series 2019-AA-A 3.75% ^ 06/20/2046 17,038,466 31,350,000 Sunnova Sol LLC, Series 2020-2A-A 2.73% ^ 11/01/2055 31,606,035 47,728,280 Sunnova Sol LLC, Series 2020-1A-A 3.35% ^ 02/01/2055 50,699,661 32,594,800 Taco Bell Funding LLC, Series 2018-1A-A2I 4.32% ^ 11/25/2048 33,223,136 19,475,000 TAL Advantage VII LLC, Series 2020-1A-A 2.05% ^ 09/20/2045 19,706,227 4,138,438 TAL Advantage VII LLC, Series 2020-1A-B 3.82% ^ 09/20/2045 4,190,593 12,546,095 Textainer Marine Containers Ltd., Series 2020-1A-A 2.73% ^ 08/21/2045 12,937,606 10,499,767 Textainer Marine Containers Ltd., Series 2020-2A-A 2.10% ^ 09/20/2045 10,677,306 3,418,529 Textainer Marine Containers Ltd., Series 2020-2A-B 3.34% ^ 09/20/2045 3,468,204 7,241,075 Upgrade Master Pass-Thru Trust, Series 2019-ST2-A 3.90% ^ 09/15/2025 7,323,029 16,267,000 Upgrade Receivables Trust, Series 2019-1A-C 5.15% ^ 03/15/2025 16,395,724 24,507,703 Upstart Pass-Through Trust, Series 2020-ST5-A 3.00% ^ 12/20/2026 24,626,859 18,650,000 Upstart Pass-Through Trust, Series 2021-ST1-A 2.75% ^ 02/20/2027 18,676,147 8,224,754 Upstart Securitization Trust, Series 2019-2-A 2.90% ^ 09/20/2029 8,279,682 16,096,692 Upstart Securitization Trust, Series 2020-2-A 2.31% ^ 11/20/2030 16,186,215 18,500,000 Vantage Data Centers Issuer LLC, Series 2019-1A-A2 3.19% ^ 07/15/2044 19,405,993 32,425,000 Vantage Data Centers Issuer LLC, Series 2020-2A-A2 1.99% ^ 09/15/2045 32,772,560 17,997,890 Vivint Colar Financing LLC, Series 2018-1A-A 4.73% ^ 04/30/2048 19,799,896 23,394,473 VR Funding LLC, Series 2020-1A-A 2.79% ^ 11/15/2050 22,558,502 37,599,213 Waterfall Commercial Mortgage Trust, Series 2015-SBC5-A 4.10% #^ 09/14/2022 38,122,609 6,784,252 Wave LLC, Series 2019-1-A 3.60% ^ 09/15/2044 6,633,648 20,265,000 Wendy’s Funding LLC, Series 2019-1A-A2II 4.08% ^ 06/15/2049 21,981,608 2,746,426 Westlake Automobile Receivables Trust, Series 2019-2A-A2A 2.57% ^ 02/15/2023 2,758,626 50,414,097 Willis Engine Structured Trust, Series 2020-A-A 3.23% ^ 03/15/2045 44,466,292 10,500,000 Wingstop Funding LLC, Series 2020-1A-A2 2.84% ^ 12/05/2050 10,782,112 15,058,978 Zephyrus Capital Aviation Partners Ltd., Series 2018-1-A 4.61% ^ 10/15/2038 14,204,893

Total Asset Backed Obligations (Cost $2,199,997,120) 2,199,228,013

Bank Loans - 0.1% 11,146,667 Aligned Energy LLC 3.41% ±& 09/02/2023 11,146,667 26,853,333 Aligned Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 09/02/2023 26,853,333

Total Bank Loans (Cost $38,000,000) 38,000,000

Collateralized Loan Obligations - 3.0% 10,000,000 AGL Ltd., Series 2020-5A-B (3 Month LIBOR USD + 2.78%, 2.78% Floor) 3.08% ^ 07/20/2030 10,058,015 2,000,000 Anchorage Capital Ltd., Series 2014-3RA-B (3 Month LIBOR USD + 1.50%) 1.72% ^ 01/28/2031 1,981,755 36,000,000 Anchorage Capital Ltd., Series 2018-10A-A1A (3 Month LIBOR USD + 1.20%, 1.20% Floor) 1.44% ^ 10/15/2031 36,017,949 3,000,000 Apidos, Series 2013-12A-CR (3 Month LIBOR USD + 1.80%) 2.04% ^ 04/15/2031 2,928,306 35,000,000 Assurant Ltd., Series 2018-2A-A (3 Month LIBOR USD + 1.23%, 1.23% Floor) 1.45% ^ 10/20/2031 34,972,554 10,450,000 Bain Capital Credit Ltd., Series 2019-3A-B2 (3 Month LIBOR USD + 1.87%, 1.87% Floor) 2.08% ^ 10/21/2032 10,454,231 5,000,000 BlueMountain Ltd., Series 2018-2A-B (3 Month LIBOR USD + 1.70%, 1.70% Floor) 1.92% ^ 08/15/2031 4,982,154 5,000,000 Broad River BSL Funding , Series 2020-1A-B (3 Month LIBOR USD + 2.38%, 2.38% Floor) 2.60% ^ 04/20/2029 5,007,048 5,065,000 CFIP Ltd., Series 2017-1A-C (3 Month LIBOR USD + 2.10%) 2.32% ^ 01/18/2030 4,961,094 83,000,000 CVP Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.34%) 1.56% ^ 07/20/2030 83,057,597 61,250,000 CVP Ltd., Series 2017-2A-A (3 Month LIBOR USD + 1.19%, 1.19% Floor) 1.41% ^ 01/20/2031 61,218,185 3,500,000 Dryden Ltd., Series 2017-53A-B (3 Month LIBOR USD + 1.40%) 1.64% ^ 01/15/2031 3,454,532 35,250,000 Elevation Ltd., Series 2014-2A-A1R (3 Month LIBOR USD + 1.23%) 1.47% ^ 10/15/2029 35,291,263 25,500,000 Elevation Ltd., Series 2018-9A-A1 (3 Month LIBOR USD + 1.12%, 1.12% Floor) 1.36% ^ 07/15/2031 25,387,308 5,500,000 Elmwood Ltd., Series 2019-2A-B (3 Month LIBOR USD + 2.10%, 2.10% Floor) 2.32% ^ 04/20/2031 5,510,042 20,250,000 Fort Washington, Series 2019-1A-A (3 Month LIBOR USD + 1.42%, 1.42% Floor) 1.64% ^ 10/20/2032 20,278,478 76,100,000 Greywolf Ltd., Series 2018-1A-A1 (3 Month LIBOR USD + 1.03%) 1.24% ^ 04/26/2031 75,802,438 1,830,773 Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%) 5.22% ^Þ 04/28/2025 367,810 5,000,000 Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D (3 Month LIBOR USD + 3.65%) 3.87% ^ 10/22/2025 4,174,376 33,698,779 Halcyon Loan Advisors Funding Ltd., Series 2015-3A-A1R (3 Month LIBOR USD + 0.90%) 1.12% ^ 10/18/2027 33,634,464 13,000,000 Halsey Point Ltd., Series 2019-1A-B1 (3 Month LIBOR USD + 2.20%, 2.20% Floor) 2.42% ^ 01/20/2033 12,994,834 30,506,905 Harbourview Ltd., Series 7RA-A1 (3 Month LIBOR USD + 1.13%, 1.13% Floor) 1.35% ^ 07/18/2031 30,362,232 10,000,000 Highbridge Loan Management Ltd., Series 7A-2015-BR (3 Month LIBOR USD + 1.18%) 1.40% ^ 03/15/2027 9,876,318 6,000,000 Jamestown Ltd., Series 2018-11A-A2 (3 Month LIBOR USD + 1.70%) 1.93% ^ 07/14/2031 5,941,255 56,695,000 Jamestown Ltd., Series 2018-6RA-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.36% ^ 04/25/2030 56,397,267 5,000,000 Jamestown Ltd., Series 2018-6RA-A2A (3 Month LIBOR USD + 1.78%, 1.78% Floor) 1.99% ^ 04/25/2030 4,992,197 9,500,000 Jamestown Ltd., Series 2019-14A-A2 (3 Month LIBOR USD + 2.20%, 2.20% Floor) 2.42% ^ 10/20/2032 9,489,974 4,500,000 Jamestown Ltd., Series 2019-1A-A2 (3 Month LIBOR USD + 2.15%, 2.15% Floor) 2.37% ^ 04/20/2032 4,579,668 12,950,000 Kayne Ltd., Series 2019-5A-B1 (3 Month LIBOR USD + 2.00%, 2.00% Floor) 2.21% ^ 07/24/2032 13,001,468 30,000,000 LCM LP, Series 17A-A2RR (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.39% ^ 10/15/2031 29,840,337 2,181,000 Madison Park Funding Ltd., Series 2014-15A-A2R (3 Month LIBOR USD + 1.50%) 1.72% ^ 01/27/2026 2,179,499 5,500,000 Madison Park Funding Ltd., Series 2014-15A-CR (3 Month LIBOR USD + 3.45%) 3.67% ^ 01/27/2026 5,498,709 5,000,000 Madison Park Funding Ltd., Series 2014-15A-DR (3 Month LIBOR USD + 5.44%) 5.66% ^ 01/27/2026 4,942,266 6,000,000 Madison Park Funding Ltd., Series 2015-17A-B1R (3 Month LIBOR USD + 1.75%) 1.96% ^ 07/21/2030 6,001,612 12,500,000 Marble Point Ltd., Series 2020-1A-A (3 Month LIBOR USD + 1.90%, 1.90% Floor) 2.07% ^ 10/15/2031 12,563,362 54,500,000 Midocean Credit Partners, Series 2018-9A-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.37% ^ 07/20/2031 54,364,249 65,000,000 MP Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 1.25%) 1.47% ^ 10/20/2030 64,919,689 55,000,000 MP Ltd., Series 2013-2A-ARR (3 Month LIBOR USD + 1.28%) 1.49% ^ 07/25/2029 55,054,865 30,000,000 Nassau Ltd., Series 2018-IA-A (3 Month LIBOR USD + 1.15%) 1.39% ^ 07/15/2031 29,652,070 19,280,834 Northwoods Capital Ltd., Series 2017-16A-A (3 Month LIBOR USD + 1.27%) 1.49% ^ 11/15/2030 19,118,801 38,668,291 Northwoods Capital Ltd., Series 2018-11BA-A1 (3 Month LIBOR USD + 1.10%, 1.10% Floor) 1.32% ^ 04/19/2031 38,438,007 2,000,000 OCP Ltd., Series 2020-18A-B1 (3 Month LIBOR USD + 2.40%) 2.62% ^ 04/20/2030 2,005,262 3,038,855 Octagon Investment Partners Ltd., Series 2017-1A-C (3 Month LIBOR USD + 2.40%) 2.62% ^ 07/20/2030 3,061,691 10,000,000 Octagon Investment Partners Ltd., Series 2020-1A-B (3 Month LIBOR USD + 2.60%, 2.60% Floor) 2.82% ^ 04/20/2031 10,057,151 75,000,000 OFSI Fund Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.39% ^ 07/15/2031 74,499,871 28,000,000 Prudential PLC, Series 2018-1A-A (3 Month LIBOR USD + 1.15%) 1.39% ^ 07/15/2031 27,874,927 2,500,000 Regatta Funding Ltd., Series 2018-1A-B (3 Month LIBOR USD + 1.65%) 1.87% ^ 07/17/2031 2,477,656 20,000,000 Regatta Funding Ltd., Series 2018-3A-A (3 Month LIBOR USD + 1.19%) 1.40% ^ 10/25/2031 19,960,969 39,000,000 Rockford Tower Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.10%) 1.32% ^ 05/20/2031 38,806,382 50,000,000 Sound Point Ltd., Series 2013-3RA-A (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.37% ^ 04/18/2031 49,715,826 36,500,000 Sound Point Ltd., Series 2015-2A-ARR (3 Month LIBOR USD + 1.39%, 1.39% Floor) 1.61% ^ 07/20/2032 36,422,183 18,000,000 Sound Point Ltd., Series 2018-2A-C (3 Month LIBOR USD + 1.95%) 2.16% ^ 07/26/2031 17,393,100 28,000,000 Sound Point Ltd., Series 2018-3A-A1A (3 Month LIBOR USD + 1.18%, 1.18% Floor) 1.39% ^ 10/26/2031 27,945,222 30,000,000 Steele Creek Ltd., Series 2014-1RA-A (3 Month LIBOR USD + 1.07%, 1.07% Floor) 1.28% ^ 04/21/2031 29,754,806 20,000,000 Steele Creek Ltd., Series 2015-1A-AR (3 Month LIBOR USD + 1.26%) 1.47% ^ 05/21/2029 19,938,624 34,000,000 Steele Creek Ltd., Series 2016-1A-AR (3 Month LIBOR USD + 1.12%, 1.12% Floor) 1.34% ^ 06/15/2031 33,683,704 10,000,000 Steele Creek Ltd., Series 2019-1A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor) 2.44% ^ 04/15/2032 10,008,847 75,000,000 Vibrant Ltd., Series 2018-10A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) 1.42% ^ 10/20/2031 74,498,750 25,000,000 Wellfleet Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.10%, 1.10% Floor) 1.32% ^ 07/17/2031 24,849,340 46,000,000 Wellfleet Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) 1.42% ^ 10/20/2031 45,839,106 4,000,000 Wind River Ltd., Series 2013-2A-CR (3 Month LIBOR USD + 2.00%) 2.22% ^ 10/18/2030 3,798,256 6,971,311 Wind River Ltd., Series 2014-1A-ARR (3 Month LIBOR USD + 1.05%, 1.05% Floor) 1.27% ^ 07/18/2031 6,897,060 40,000,000 Wind River Ltd., Series 2014-2A-AR (3 Month LIBOR USD + 1.14%, 1.14% Floor) 1.38% ^ 01/15/2031 39,921,873 2,440,961 Zais Ltd., Series 2016-2A-A1 (3 Month LIBOR USD + 1.53%) 1.77% ^ 10/15/2028 2,441,952

Total Collateralized Loan Obligations (Cost $1,531,139,281) 1,531,600,836

Non-Agency Commercial Mortgage Backed Obligations - 8.8% 850,000 1211 Avenue of the Americas Trust, Series 2015-1211-C 4.14% #^ 08/10/2035 905,083 7,949,000 20 Times Square Trust, Series 2018-20TS-F 3.10% #^ 05/15/2035 7,605,315 5,856,000 20 Times Square Trust, Series 2018-20TS-G 3.10% #^ 05/15/2035 5,313,351 260,213,740 Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1-XA 0.97% #^I/O 05/15/2053 19,071,325 3,725,000 Arbor Realty Ltd., Series 2019-FL1-B (1 Month LIBOR USD + 1.70%) 1.86% ^ 05/15/2037 3,660,092 2,531,000 Arbor Realty Ltd., Series 2020-FL1 Ltd. (1 Month LIBOR USD + 1.40%, 1.40% Floor) 1.56% ^ 02/15/2035 2,500,122 6,725,000 Arbor Realty Ltd., Series 2020-FL1-B (1 Month LIBOR USD + 1.80%, 1.80% Floor) 1.96% ^ 02/15/2035 6,614,502 2,837,533 Ashford Hospitality Trust, Series 2018-ASHF-A (1 Month LIBOR USD + 0.90%, 0.90% Floor) 1.06% ^ 04/15/2035 2,806,532 11,007,000 Atrium Hotel Portfolio Trust, Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 12/15/2036 8,122,348 29,257,000 Atrium Hotel Portfolio Trust, Series 2018-ATRM-A (1 Month LIBOR USD + 0.95%, 0.95% Floor) 1.11% ^ 06/15/2035 28,724,982 28,877,000 Atrium Hotel Portfolio Trust, Series 2018-ATRM-D (1 Month LIBOR USD + 2.30%, 2.30% Floor) 2.46% ^ 06/15/2035 26,377,303 13,685,000 Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor) 3.56% ^ 06/15/2035 12,057,398 7,469,000 BAMLL Commercial Mortgage Securities Trust, Series 2015-200P-F 3.60% #^ 04/14/2033 7,725,085 35,435,000 BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC-D 3.18% #^ 01/15/2032 34,777,266 7,505,000 BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC-E 3.18% #^ 01/15/2032 6,992,824 12,270,404 Banc of America Commercial Mortgage Trust, Series 2007-5-XW 0.00% #^I/O 02/10/2051 123 4,000,000 Banc of America Commercial Mortgage Trust, Series 2015-UBS7-B 4.36% # 09/15/2048 4,118,022 55,569,905 Banc of America Commercial Mortgage Trust, Series 2015-UBS7-XA 0.80% #I/O 09/15/2048 1,740,994 5,018,000 Bancorp Commercial Mortgage Trust, Series 2018-CRE4-D (1 Month LIBOR USD + 2.10%, 0.25% Floor) 2.26% ^ 09/15/2035 4,738,181 6,530,000 Bancorp Commercial Mortgage Trust, Series 2019-CRE5-B (1 Month LIBOR USD + 1.50%, 1.50% Floor) 1.66% ^ 03/15/2036 6,459,517 1,057,000 Bancorp Commercial Mortgage Trust, Series 2019-CRE5-D (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.51% ^ 03/15/2036 1,007,456 3,909,833 Bancorp Commercial Mortgage Trust, Series 2019-CRE6-A (1 Month LIBOR USD + 1.05%, 1.05% Floor) 1.21% ^ 09/15/2036 3,907,642 1,614,000 BANK, Series 2017-BNK4-C 4.37% # 05/15/2050 1,747,820 38,886,942 BANK, Series 2017-BNK4-XA 1.40% #I/O 05/15/2050 2,467,855 4,916,000 BANK, Series 2017-BNK5-B 3.90% # 06/15/2060 5,515,515 1,960,000 BANK, Series 2017-BNK5-C 4.25% # 06/15/2060 2,107,794 87,712,632 BANK, Series 2017-BNK5-XA 1.07% #I/O 06/15/2060 4,063,384 1,750,000 BANK, Series 2018-BN10-AS 3.90% # 02/15/2061 2,016,713 150,503,240 BANK, Series 2018-BN10-XA 0.73% #I/O 02/15/2061 6,564,048 94,430,679 BANK, Series 2019-BN16-XA 0.96% #I/O 02/15/2052 6,004,941 43,097,000 BANK, Series 2019-BN19-AS 3.45% 08/15/2061 48,445,562 1,099,000 BANK, Series 2019-BN20-AS 3.24% # 09/15/2062 1,230,128 1,704,000 BANK, Series 2019-BN20-C 3.65% # 09/15/2062 1,776,496 5,000,000 BANK, Series 2019-BN21-C 3.52% # 10/17/2052 5,070,527 10,035,000 BANK, Series 2020-BN26-AS 2.69% 03/15/2063 10,784,247 11,924,000 BANK, Series 2020-BN26-ASB 2.31% 03/15/2063 12,915,836 55,799,813 BANK, Series 2020-BN27-XA 1.16% #I/O 04/15/2063 5,079,457 62,007,000 BANK, Series 2020-BN30-XB 0.72% #I/O 12/10/2053 3,954,707 12,089,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.36% ^ 08/15/2036 11,834,190 13,777,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D (1 Month LIBOR USD + 1.70%, 1.70% Floor) 1.86% ^ 08/15/2036 13,223,980 28,585,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E (1 Month LIBOR USD + 2.50%, 2.50% Floor) 2.66% ^ 08/15/2036 27,179,113 30,209,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F (1 Month LIBOR USD + 3.50%, 3.50% Floor) 3.66% ^ 08/15/2036 27,681,331 186,445,570 Barclays Commercial Mortgage Trust, Series 2019-C4-XA 1.60% #I/O 08/15/2052 19,801,359 74,803,354 Barclays Commercial Mortgage Trust, Series 2019-C5-XA 0.89% #I/O 11/15/2052 4,291,753 12,406,000 BBCMS Mortgage Trust, Series 2017-DELC-A (1 Month LIBOR USD + 0.85%, 0.85% Floor) 1.01% ^ 08/15/2036 12,295,205 13,279,071 BBCMS Mortgage Trust, Series 2018-BXH-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.16% ^ 10/15/2037 12,716,752 67,548,000 BBCMS Mortgage Trust, Series 2018-CBM-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.16% ^ 07/15/2037 65,419,407 21,385,000 BBCMS Mortgage Trust, Series 2018-CBM-E (1 Month LIBOR USD + 3.55%, 3.55% Floor) 3.71% ^ 07/15/2037 19,388,452 9,135,000 BBCMS Mortgage Trust, Series 2018-TALL-A (1 Month LIBOR USD + 0.72%, 0.72% Floor) 0.88% ^ 03/15/2037 8,998,784 5,775,000 BBCMS Mortgage Trust, Series 2018-TALL-F (1 Month LIBOR USD + 3.24%, 3.24% Floor) 3.39% ^ 03/15/2037 5,149,930 11,799,000 BBCMS Mortgage Trust, Series 2020-C6-F5TB 3.69% #^ 02/15/2053 12,033,769 12,497,250 BBCMS Mortgage Trust, Series 2020-C6-F5TC 3.69% #^ 02/15/2053 12,125,174 189,402,790 BBCMS Mortgage Trust, Series 2020-C6-XA 1.06% #I/O 02/15/2053 14,514,315 4,125,000 BDS Ltd., Series 2019-FL4-B (1 Month LIBOR USD + 1.75%, 1.75% Floor) 1.90% ^ 08/15/2036 4,047,380 12,332,000 Benchmark Mortgage Trust, Series 2018-B5-C 4.61% # 07/15/2051 13,280,358 37,524,893 Benchmark Mortgage Trust, Series 2018-B7-XA 0.44% #I/O 05/15/2053 994,256 133,784,940 Benchmark Mortgage Trust, Series 2019-B15-XA 0.83% #I/O 12/15/2072 7,687,095 80,644,665 Benchmark Mortgage Trust, Series 2019-B9-XA 1.04%#I/O 03/15/2052 5,806,134 4,585,000 Benchmark Mortgage Trust, Series 2020-B16-B 3.18% # 02/15/2053 4,960,479 75,353,999 Benchmark Mortgage Trust, Series 2020-B16-XA 0.93% #I/O 02/15/2053 5,329,623 75,524,266 Benchmark Mortgage Trust, Series 2020-B17-XA 1.42% #I/O 03/15/2053 6,965,792 13,462,000 Benchmark Mortgage Trust, Series 2020-B18-AGND 3.74% ^ 07/15/2053 14,137,686 2,432,000 Benchmark Mortgage Trust, Series 2020-B18-AGNE 3.76% ^ 07/15/2053 2,490,811 91,509,988 Benchmark Mortgage Trust, Series 2020-B18-XA 1.79% #I/O 07/15/2053 11,031,026 239,678,250 Benchmark Mortgage Trust, Series 2020-B19-XA 1.78% #I/O 09/15/2053 28,165,095 71,175,000 Benchmark Mortgage Trust, Series 2020-B22-XA 1.52% #I/O 01/15/2054 9,001,780 276,099,000 Benchmark Mortgage Trust, Series 2020-IG1-XA 0.51% #I/O 09/15/2043 10,536,766 672,000 BFLD, Series 2019-DPLO-B (1 Month LIBOR USD + 1.34%, 1.34% Floor) 1.50% ^ 10/15/2034 661,243 6,223,000 BFLD, Series 2019-DPLO-E (1 Month LIBOR USD + 2.24%, 2.24% Floor) 2.40% ^ 10/15/2034 5,870,409 75,399,000 BHMS Trust, Series 2018-ATLS-A (1 Month LIBOR USD + 1.25%, 1.25% Floor) 1.41% ^ 07/15/2035 73,580,399 13,367,000 BHMS Trust, Series 2018-ATLS-C (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 07/15/2035 12,630,656 27,680,000 Bremar Hotels and Resorts Trust, Series 2018-PRME-A (1 Month LIBOR USD + 0.82%, 0.82% Floor) 0.98% ^ 06/15/2035 27,048,348 2,598,953 Bsprt Issuer Ltd., Series 2018-FL4-A (1 Month LIBOR USD + 1.05%, 1.05% Floor) 1.21% ^ 09/15/2035 2,588,440 3,333,000 Bsprt Issuer Ltd., Series 2019-FL5-A (1 Month LIBOR USD + 1.15%, 1.15% Floor) 1.31% ^ 05/15/2029 3,303,356 6,663,000 BX Commercial Mortgage Trust, Series 2018-BIOA-D (1 Month LIBOR USD + 1.32%, 1.35% Floor) 1.48% ^ 03/15/2037 6,679,905 35,415,000 BX Commercial Mortgage Trust, Series 2018-BIOA-E (1 Month LIBOR USD + 1.95%, 1.98% Floor) 2.11% ^ 03/15/2037 35,555,860 19,593,226 BX Trust, Series 2017-APPL-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 07/15/2034 19,478,247 23,862,843 BX Trust, Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%, 2.05% Floor) 2.21% ^ 07/15/2034 23,698,473 63,983,750 BX Trust, Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 07/15/2034 63,451,923 41,318,786 BX Trust, Series 2018-EXCL-A (1 Month LIBOR USD + 1.09%, 1.09% Floor) 1.25% ^ 09/15/2037 38,335,066 2,447,000 BX Trust, Series 2018-GW-D (1 Month LIBOR USD + 1.77%, 1.77% Floor) 1.93% ^ 05/15/2035 2,380,345 4,437,000 BX Trust, Series 2018-GW-E (1 Month LIBOR USD + 1.97%, 1.97% Floor) 2.13% ^ 05/15/2035 4,230,372 7,481,000 BX Trust, Series 2018-GW-F (1 Month LIBOR USD + 2.42%, 2.42% Floor) 2.58% ^ 05/15/2035 7,062,959 2,014,000 BX Trust, Series 2019-ATL-E (1 Month LIBOR USD + 2.24%, 2.24% Floor) 2.40% ^ 10/15/2036 1,796,701 8,600,959 BX Trust, Series 2019-MMP-D (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.76% ^ 08/15/2036 8,512,683 180,761,000 BX Trust, Series 2019-OC11-E 4.08% #^ 12/09/2041 180,195,760 326,679,000 BX Trust, Series 2019-OC11-XB 0.18% #^I/O 12/09/2041 5,982,473 47,625,553 CD Mortgage Trust, Series 2017-CD6-XA 0.92% #I/O 11/13/2050 1,974,670 5,175,000 CD Mortgage Trust, Series 2017-CD6-C 4.27% # 11/13/2050 5,162,808 5,394,250 CF Trust, Series 2019-MF1-A (1 Month LIBOR USD + 1.05%, 2.05% Floor) 2.05% ^ 08/21/2032 5,402,077 4,517,000 CFCRE Commercial Mortgage Trust, Series 2016-C4-AM 3.69% 05/10/2058 4,973,668 7,155,000 CFCRE Commercial Mortgage Trust, Series 2016-C4-C 4.87% # 05/10/2058 7,565,268 88,083,429 CFCRE Commercial Mortgage Trust, Series 2016-C4-XA 1.67% #I/O 05/10/2058 6,044,003 43,391,472 CFCRE Commercial Mortgage Trust, Series 2017-C8-XA 1.60% #I/O 06/15/2050 3,059,875 6,952,979 CGDBB Commercial Mortgage Trust, Series 2017-BIOC-E (1 Month LIBOR USD + 2.15%, 2.25% Floor) 2.31% ^ 07/15/2032 6,945,392 32,223,000 CHT Mortgage Trust, Series 2017-CSMO-E (1 Month LIBOR USD + 3.00%, 3.00% Floor) 3.16% ^ 11/15/2036 31,014,744 11,209,000 CHT Mortgage Trust, Series 2017-CSMO-F (1 Month LIBOR USD + 3.74%, 3.74% Floor) 3.90% ^ 11/15/2036 10,826,112 175,633,660 Citigroup Commercial Mortgage Trust, Series 2012-GC8-XA 1.75% #^I/O 09/10/2045 3,876,762 143,876,467 Citigroup Commercial Mortgage Trust, Series 2014-GC19-XA 1.14% #I/O 03/10/2047 4,314,337 77,978,927 Citigroup Commercial Mortgage Trust, Series 2014-GC21-XA 1.17% #I/O 05/10/2047 2,536,725 182,854,494 Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA 0.99% #I/O 10/10/2047 5,648,906 6,265,000 Citigroup Commercial Mortgage Trust, Series 2015-GC27-B 3.77% 02/10/2048 6,770,803 7,278,000 Citigroup Commercial Mortgage Trust, Series 2015-GC27-C 4.42% # 02/10/2048 7,623,807 3,685,000 Citigroup Commercial Mortgage Trust, Series 2015-GC27-D 4.42% #^ 02/10/2048 3,298,807 196,523,675 Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA 1.34% #I/O 02/10/2048 8,843,310 4,404,000 Citigroup Commercial Mortgage Trust, Series 2015-GC29-C 4.15% # 04/10/2048 4,524,214 14,310,000 Citigroup Commercial Mortgage Trust, Series 2015-GC33-C 4.57% # 09/10/2058 13,994,363 167,394,424 Citigroup Commercial Mortgage Trust, Series 2015-GC33-XA 0.89% #I/O 09/10/2058 5,887,396 103,743,948 Citigroup Commercial Mortgage Trust, Series 2016-C1-XA 1.85% #I/O 05/10/2049 8,250,684 208,525,018 Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA 1.25% #I/O 02/10/2049 10,431,777 40,138,268 Citigroup Commercial Mortgage Trust, Series 2016-GC37-XA 1.70% #I/O 04/10/2049 2,863,247 103,238,036 Citigroup Commercial Mortgage Trust, Series 2016-P3-XA 1.70% #I/O 04/15/2049 6,724,967 59,093,175 Citigroup Commercial Mortgage Trust, Series 2016-P4-XA 1.96% #I/O 07/10/2049 4,539,473 36,961,164 Citigroup Commercial Mortgage Trust, Series 2016-P5-XA 1.50% #I/O 10/10/2049 2,170,703 46,292,148 Citigroup Commercial Mortgage Trust, Series 2017-P7-XA 1.11% #I/O 04/14/2050 2,448,656 3,625,000 Citigroup Commercial Mortgage Trust, Series 2020-420K-D 3.31% #^ 11/10/2042 3,617,840 7,800,000 Citigroup Commercial Mortgage Trust, Series 2020-420K-E 3.31% #^ 11/10/2042 7,366,956 23,804,000 Citigroup Commercial Mortgage Trust, Series 2020-555-E 3.62% #^ 12/10/2041 21,682,683 4,175,000 Citigroup Commercial Mortgage Trust, Series 2020-555-F 3.62% #^ 12/10/2041 3,598,470 17,251,000 Citigroup Commercial Mortgage Trust, Series 2020-GC46-B 3.15% # 02/15/2053 18,485,202 63,849,000 CLNC Ltd., Series 2019-FL1-A (1 Month LIBOR USD + 1.25%, 1.25% Floor) 1.40% ^ 08/20/2035 63,612,823 32,731,000 CLNC Ltd., Series 2019-FL1-AS (1 Month LIBOR USD + 1.55%, 1.55% Floor) 1.70% ^ 08/20/2035 32,296,201 29,797,989 CLNC Ltd., Series 2019-FL1-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.05% ^ 08/20/2035 29,342,586 3,675,000 COMM Mortgage Trust, Series 2014-CR16-C 4.93% # 04/10/2047 3,891,633 3,387,000 COMM Mortgage Trust, Series 2014-LC17-B 4.49% # 10/10/2047 3,724,418 905,000 COMM Mortgage Trust, Series 2015-CR22-C 4.11% # 03/10/2048 959,504 5,360,000 COMM Mortgage Trust, Series 2015-CR23-C 4.29% # 05/10/2048 5,692,936 1,375,279 Commercial Mortgage Pass Through Certificates, Series 2014-CR14-A2 3.15% 02/10/2047 1,388,176 30,592,504 Commercial Mortgage Pass-Through Certificates, Series 2012-CR2-XA 1.62% #I/O 08/15/2045 549,359 136,280,467 Commercial Mortgage Pass-Through Certificates, Series 2012-CR3-XA 1.85% #I/O 10/15/2045 3,205,194 103,440,315 Commercial Mortgage Pass-Through Certificates, Series 2012-LC4-XA 2.10% #^I/O 12/10/2044 1,293,076 141,329,383 Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA 0.66% #I/O 08/10/2046 2,118,089 185,454,066 Commercial Mortgage Pass-Through Certificates, Series 2013-CR12-XA 1.12% #I/O 10/10/2046 4,932,244 843,000 Commercial Mortgage Pass-Through Certificates, Series 2013-CR13-C 4.89% # 11/10/2046 913,660 7,635,000 Commercial Mortgage Pass-Through Certificates, Series 2014-CR19-C 4.71% # 08/10/2047 8,116,120 30,400,000 Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C 4.51% # 11/10/2047 32,250,831 94,144,148 Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3-XA 1.07% #I/O 06/10/2047 2,891,873 184,094,733 Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-XA 0.89% #I/O 03/10/2048 5,052,204 9,110,000 Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-B 4.48%# 10/10/2048 10,067,415 82,250,522 Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XA 0.93% #I/O 10/10/2048 2,995,852 17,822,000 Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-C 4.31% # 02/10/2048 17,371,127 334,100,473 Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA 1.02% #I/O 02/10/2048 10,299,282 26,930,000 Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C 4.64% # 02/10/2049 28,184,065 29,783,000 Commercial Mortgage Pass-Through Certificates, Series 2016-GCT-E 3.46% #^ 08/10/2029 29,819,853 1,617,000 Commercial Mortgage Pass-Through Certificates, Series 2017-PANW-D 3.93% #^ 10/10/2029 1,676,644 5,524,000 Commercial Mortgage Pass-Through Certificates, Series 2017-PANW-E 3.81% #^ 10/10/2029 5,544,366 18,570,000 Commercial Mortgage Pass-Through Certificates, Series 2018-HCLV-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.16% ^ 09/15/2033 17,761,618 833,000 Commercial Mortgage Trust, Series 2015-3BP-F 3.24% #^ 02/10/2035 797,610 850,000 Commercial Mortgage Trust, Series 2016-GCT-D 3.46% #^ 08/10/2029 852,532 5,248,500 Commercial Mortgage Trust, Series 2018-COR3-C 4.56% # 05/10/2051 5,520,076 1,782,000 Core Mortgage Trust, Series 2019-CORE-E (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 12/15/2031 1,743,113 147,561,481 Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1 0.54% #^I/O 09/15/2037 2,926,602 21,821,000 Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-A (1 Month LIBOR USD + 0.98%, 0.98% Floor) 1.14% ^ 05/15/2036 21,893,978 21,723,000 Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-E (1 Month LIBOR USD + 2.15%, 2.15% Floor) 2.31% ^ 05/15/2036 21,658,713 4,165,000 Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-F (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.81% ^ 05/15/2036 4,128,141 4,606,000 CSAIL Commercial Mortgage Trust, Series 2015-C1-C 4.26% # 04/15/2050 4,246,281 13,360,000 CSAIL Commercial Mortgage Trust, Series 2015-C2-AS 3.85% # 06/15/2057 14,085,837 9,205,000 CSAIL Commercial Mortgage Trust, Series 2015-C3-B 4.13% # 08/15/2048 8,666,245 9,759,000 CSAIL Commercial Mortgage Trust, Series 2015-C4-C 4.56% # 11/15/2048 10,071,265 290,772,649 CSAIL Commercial Mortgage Trust, Series 2015-C4-XA 0.82% #I/O 11/15/2048 9,719,018 2,085,000 CSAIL Commercial Mortgage Trust, Series 2016-C7-C 4.39% # 11/15/2049 1,963,900 185,361,645 CSAIL Commercial Mortgage Trust, Series 2017-C8-XA 1.23% #I/O 06/15/2050 8,956,916 4,399,000 CSAIL Commercial Mortgage Trust, Series 2017-CX10-B 3.89% # 11/15/2050 4,763,410 5,511,000 CSAIL Commercial Mortgage Trust, Series 2017-CX10-C 4.11% # 11/15/2050 5,517,678 91,029,376 CSAIL Commercial Mortgage Trust, Series 2017-CX10-XA 0.72% #I/O 11/15/2050 3,462,084 1,677,000 CSAIL Commercial Mortgage Trust, Series 2018-C14-C 4.89% # 11/15/2051 1,865,507 4,393,000 CSAIL Commercial Mortgage Trust, Series 2019-C16-AS 3.61% 06/15/2052 4,923,705 15,894,000 CSAIL Commercial Mortgage Trust, Series 2019-C16-B 3.88% 06/15/2052 17,187,460 26,531,102 CSAIL Commercial Mortgage Trust, Series 2019-C17-XA 1.37% #I/O 09/15/2052 2,436,680 7,924,000 CSAIL Commercial Mortgage Trust, Series 2019-C18-B 3.59% 12/15/2052 8,614,645 254,700,086 CSAIL Commercial Mortgage Trust, Series 2019-C18-XA 1.08% #I/O 12/15/2052 17,806,847 3,652,000 CSAIL Commercial Mortgage Trust, Series 2020-C19-C 3.61% # 03/15/2053 3,878,187 269,116,282 CSAIL Commercial Mortgage Trust, Series 2020-C19-XA 1.12% #I/O 03/15/2053 22,186,081 81,465,000 CSAIL Commercial Mortgage Trust, Series 2020-C19-XB 0.08% #I/O 03/15/2053 689,797 7,050,000 CSMC Trust, Series 2017-CALI-E 3.78% #^ 11/10/2032 7,055,995 6,050,000 CSMC Trust, Series 2017-CALI-F 3.78% #^ 11/10/2032 5,871,831 12,164,000 CSMC Trust, Series 2017-CHOP-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 07/15/2032 10,863,307 18,903,000 CSMC Trust, Series 2017-CHOP-E (1 Month LIBOR USD + 3.30%, 3.30% Floor) 3.46% ^ 07/15/2032 15,392,182 3,818,000 CSMC Trust, Series 2017-MOON-D 3.20% #^ 07/10/2034 3,806,555 4,673,000 CSMC Trust, Series 2017-MOON-E 3.20% #^ 07/10/2034 4,502,725 50,000,000 CSMC Trust, Series 2020-LOTS-A (1 Month LIBOR USD + 3.97%, 4.73% Floor) 4.72% ^ 07/15/2022 50,279,510 33,136,000 CSMC Trust, Series 2020-NET-A 2.26% ^ 08/15/2037 34,417,157 12,769,000 CSMC Trust, Series 2020-NET-B 2.82% ^ 08/15/2037 13,266,605 144,920,000 CSMC Trust, Series 2020-NET-X 1.26% #^I/O 08/15/2037 7,709,527 70,500,000 CSMC Trust, Series 2020-WHHQ-A (1 Month LIBOR USD + 3.42%, 4.42% Floor) 4.42% ^ 02/10/2023 70,816,108 26,621,678 CSWF Trust, Series 2018-TOP-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.16% ^ 08/15/2035 26,566,774 59,980,634 DBJPM Mortgage Trust, Series 2020-C9-XA 1.71% #I/O 09/15/2053 6,576,930 75,991,748 DBUBS Mortgage Trust, Series 2011-LC2A-XA 0.96% #^I/O 07/10/2044 19,439 2,996,000 DBUBS Mortgage Trust, Series 2011-LC3A-PM2 5.10% #^ 05/10/2044 2,712,180 9,390,000 DBUBS Mortgage Trust, Series 2017-BRBK-E 3.53% #^ 10/10/2034 9,614,453 17,163,305 DBWF Mortgage Trust, Series 2018-GLKS-A (1 Month LIBOR USD + 1.03%, 1.03% Floor) 1.18% ^ 12/19/2030 17,006,106 119,813,588 Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA 1.44% #I/O 05/10/2049 6,729,019 28,058,408 Exantas Capital Corporation Ltd., Series 2019-RSO7-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.15% ^ 04/15/2036 27,743,424 6,625,000 Exantas Capital Corporation Ltd., Series 2020-RSO8-B (1 Month LIBOR USD + 1.75%, 1.75% Floor) 1.90% ^ 03/15/2035 6,580,758 28,473,000 Fontainebleau Miami Beach Trust, Series 2019-FBLU-E 3.96% #^ 12/10/2036 29,066,599 7,180,000 Fontainebleau Miami Beach Trust, Series 2019-FBLU-F 3.96% #^ 12/10/2036 7,175,525 8,302,000 Fontainebleau Miami Beach Trust, Series 2019-FBLU-G 3.96% #^ 12/10/2036 7,872,007 1,852,086 FREMF Mortgage Trust, Series 2017-KF34-B (1 Month LIBOR USD + 2.70%, 2.55% Floor) 2.85% ^ 08/25/2024 1,846,118 3,097,611 FREMF Mortgage Trust, Series 2017-KF36-B (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.80% ^ 08/25/2024 3,057,973 18,328,350 FREMF Mortgage Trust, Series 2018-KC02-C 0.00% ^ P/O 08/25/2025 12,908,037 24,196,261 FREMF Mortgage Trust, Series 2019-K99-D 0.00% ^ P/O 10/25/2052 11,390,472 3,015,000 FS Rialto, Series 2019-FL1-A (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.35% ^ 12/16/2036 2,986,002 6,053,000 GB Trust, Series 2020-FLIX-D (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.51% ^ 08/15/2037 6,118,224 3,000,000 GPMT Ltd., Series 2019-FL2-A (1 Month LIBOR USD + 1.30%, 1.30% Floor) 1.45% ^ 02/22/2036 2,995,869 20,365,000 Grace Trust, Series 2020-GRCE-D 2.68% #^ 12/10/2040 20,427,292 68,881,000 Great Wolf Trust, Series 2019-WOLF-E (1 Month LIBOR USD + 2.73%, 2.73% Floor) 2.89% ^ 12/15/2036 62,473,063 75,048,000 Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor) 3.29% ^ 12/15/2036 66,745,095 25,725,000 Greystone Commercial Real Estate Notes, Series 2019-FL2-B (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.76% ^ 09/15/2037 25,526,866 5,997,000 Greystone Commercial Real Estate Notes, Series 2019-FL2-C (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 09/15/2037 5,906,583 9,980,847 GS Mortgage Securities Corporation Trust, Series 2012-ALOH-A 3.55% ^ 04/10/2034 10,088,704 7,968,000 GS Mortgage Securities Corporation Trust, Series 2019-BOCA-A (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.36% ^ 06/15/2038 7,938,385 7,561,000 GS Mortgage Securities Corporation Trust, Series 2020-UPTN-D 3.25% #^ 02/10/2037 7,435,230 8,967,000 GS Mortgage Securities Corporation Trust, Series 2020-UPTN-E 3.25% #^ 02/10/2037 8,485,880 6,760,500 GS Mortgage Securities Corporation Trust, Series 2020-UPTN-F 3.25% #^ 02/10/2037 6,176,522 5,626,157 GS Mortgage Securities Corporation, Series 2011-GC3-X 0.36% #^I/O 03/10/2044 56 21,354,055 GS Mortgage Securities Corporation, Series 2013-GC10-XA 1.49% #I/O 02/10/2046 585,462 215,471,155 GS Mortgage Securities Corporation, Series 2015-GC28-XA 1.00% #I/O 02/10/2048 7,226,256 221,428,537 GS Mortgage Securities Corporation, Series 2015-GC32-XA 0.74% #I/O 07/10/2048 6,324,575 158,461,726 GS Mortgage Securities Corporation, Series 2015-GC34-XA 1.22% #I/O 10/10/2048 7,569,004 205,751,580 GS Mortgage Securities Corporation, Series 2018-GS9-XA 0.44% #I/O 03/10/2051 5,556,918 16,399,000 GS Mortgage Securities Corporation, Series 2018-LUAU-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.16% ^ 11/15/2032 16,166,136 34,121,000 GS Mortgage Securities Corporation, Series 2018-TWR-A (1 Month LIBOR USD + 0.90%, 0.85% Floor) 1.06% ^ 07/15/2031 33,891,727 3,897,000 GS Mortgage Securities Corporation, Series 2018-TWR-D (1 Month LIBOR USD + 1.60%, 1.50% Floor) 1.76% ^ 07/15/2031 3,704,611 11,950,000 GS Mortgage Securities Corporation, Series 2018-TWR-E (1 Month LIBOR USD + 2.10%, 2.10% Floor) 2.26% ^ 07/15/2031 11,245,013 11,242,000 GS Mortgage Securities Corporation, Series 2018-TWR-F (1 Month LIBOR USD + 2.80%, 2.80% Floor) 2.96% ^ 07/15/2031 10,394,108 4,648,000 GS Mortgage Securities Corporation, Series 2018-TWR-G (1 Month LIBOR USD + 3.92%, 3.98% Floor) 4.08% ^ 07/15/2031 3,972,555 23,022,000 GS Mortgage Securities Corporation, Series 2019-SOHO-E (1 Month LIBOR USD + 1.87%, 1.88% Floor) 2.03% ^ 06/15/2036 21,685,635 89,306,500 GS Mortgage Securities Trust, Series 2012-GC6-XA 1.92% #^I/O 01/10/2045 790,336 3,500,000 GS Mortgage Securities Trust, Series 2015-GC28-C 4.33% # 02/10/2048 3,682,209 66,496,388 GS Mortgage Securities Trust, Series 2015-GS1-XA 0.76% #I/O 11/10/2048 2,155,746 42,063,895 GS Mortgage Securities Trust, Series 2016-GS2-XA 1.75% #I/O 05/10/2049 3,209,235 275,032,076 GS Mortgage Securities Trust, Series 2016-GS3-XA 1.22% #I/O 10/10/2049 15,429,437 59,546,177 GS Mortgage Securities Trust, Series 2016-GS4-XA 0.50% #I/O 11/10/2049 1,491,519 189,118,273 GS Mortgage Securities Trust, Series 2017-GS7-XA 1.12% #I/O 08/10/2050 10,580,959 98,700,000 GS Mortgage Securities Trust, Series 2017-GS7-XB 0.35% #I/O 08/10/2050 2,047,018 3,443,000 GS Mortgage Securities Trust, Series 2018-GS10-WLSA 4.90% #^ 03/10/2033 3,459,783 6,834,000 GS Mortgage Securities Trust, Series 2018-GS10-WLSB 4.90% #^ 03/10/2033 6,772,486 9,287,000 GS Mortgage Securities Trust, Series 2018-GS10-WLSC 4.90% #^ 03/10/2033 8,914,907 8,990,000 GS Mortgage Securities Trust, Series 2018-GS10-WLSD 4.90% #^ 03/10/2033 8,302,391 11,236,750 GS Mortgage Securities Trust, Series 2018-GS10-WLSE 4.90% #^ 03/10/2033 10,036,628 6,455,000 GS Mortgage Securities Trust, Series 2018-GS9-C 4.36% # 03/10/2051 6,805,608 60,891,308 GS Mortgage Securities Trust, Series 2019-GC38-XA 0.96% #I/O 02/10/2052 3,945,404 17,161,618 GS Mortgage Securities Trust, Series 2019-GC39-XA 1.14% #I/O 05/10/2052 1,210,424 182,107,746 GS Mortgage Securities Trust, Series 2020-GC45-XA 0.67% #I/O 02/13/2053 9,071,005 56,460,000 GS Mortgage Securities Trust, Series 2020-GSA2-XA 1.74% #I/O 12/12/2053 7,639,349 4,628,000 GS Mortgage Securities Trust, Series 2015-GC32-C 4.42% # 07/10/2048 4,906,761 2,496,000 Hilton Orlando Trust, Series 2018-ORL-E (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.81% ^ 12/15/2034 2,337,736 5,692,000 Hilton USA Trust, Series 2016-SFP-A 2.83% ^ 11/05/2035 5,709,587 33,600,610 HPLY Trust, Series 2019-HIT-F (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2036 30,494,436 8,420,221 IMT Trust, Series 2017-APTS-BFL (1 Month LIBOR USD + 0.95%, 0.95% Floor) 1.11% ^ 06/15/2034 8,400,923 2,636,233 IMT Trust, Series 2017-APTS-CFL (1 Month LIBOR USD + 1.10%, 1.10% Floor) 1.26% ^ 06/15/2034 2,632,196 2,365,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-D (1 Month LIBOR USD + 1.66%, 1.66% Floor) 1.82% ^ 07/15/2036 2,278,306 422,076 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2004-CBX-X1 0.95% #^I/O 01/12/2037 1,979 1,070,400 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP8-X 0.29% #I/O 05/15/2045 11 6,117,734 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB18-X 0.85% #I/O 06/12/2047 61 47,114,295 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2007-CB20-X1 0.00% #^I/O 02/12/2051 471 121,213,219 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C6-XA 1.55% #I/O 05/15/2045 1,819,459 248,600,506 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C8-XA 1.75% #I/O 10/15/2045 5,921,217 103,581,608 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA 1.48% #I/O 06/15/2045 775,205 14,535,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-C20-B 4.40% # 07/15/2047 15,551,972 59,848,776 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA 0.94% #I/O 01/15/2049 2,221,581 1,130,205 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 06/15/2032 1,126,804 4,416,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-AON-E 4.61% #^ 07/05/2031 4,494,805 45,283,656 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.16% ^ 06/15/2032 44,738,128 9,343,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-MINN-E (1 Month LIBOR USD + 2.50%, 3.50% Floor) 3.50% ^ 11/15/2035 7,501,074 1,307,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C4-C 5.43% #^ 07/15/2046 1,315,587 4,857,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E 4.01% #^ 10/05/2031 4,440,590 428,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-C5-AS 3.86% # 03/15/2050 477,588 6,954,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-B (1 Month LIBOR USD + 1.10%, 1.14% Floor) 1.26% ^ 02/15/2035 6,500,749 905,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-C (1 Month LIBOR USD + 1.30%, 1.34% Floor) 1.46% ^ 02/15/2035 831,719 1,145,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON-E 3.76% #^ 01/05/2031 1,118,386 5,831,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFX 5.54% ^ 07/05/2033 5,730,421 6,097,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-FFX 5.54% #^ 07/05/2033 5,873,905 13,604,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-COR6-AS 3.41% # 11/13/2052 15,312,260 7,366,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-ACE-C 3.69% #^ 01/10/2037 6,845,334 40,424,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN-EFX 3.97% ^ 01/16/2037 39,098,230 79,363,050 JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA 0.81% #I/O 02/15/2047 1,594,427 3,396,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-C 4.66% # 08/15/2047 3,359,839 175,684,116 JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA 0.85% #I/O 11/15/2047 4,799,620 6,499,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C 4.38% # 01/15/2048 6,820,506 185,184,209 JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA 0.96% #I/O 01/15/2048 5,823,136 13,992,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-C 4.31% # 02/15/2048 14,257,223 10,425,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D 3.81% #^ 02/15/2048 8,523,653 305,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-B 3.99% 10/15/2048 325,685 20,569,088 JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-C 4.15% # 10/15/2048 19,680,069 33,455,678 JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-XA 0.97% #I/O 10/15/2048 1,079,672 40,688,491 JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA 0.65% #I/O 05/15/2048 996,364 145,487,143 JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA 0.51% #I/O 07/15/2048 2,904,680 23,865,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C 4.65% # 11/15/2048 19,634,213 70,341,810 JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA 1.22% #I/O 11/15/2048 2,354,495 17,630,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C 4.61% # 12/15/2048 18,926,161 32,345,000 JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-C 4.74% # 03/15/2049 36,195,126 23,112,417 JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-XA 1.31% #I/O 03/15/2049 1,046,641 127,145,479 JPMBB Commercial Mortgage Securities Trust, Series 2016-C2-XA 1.57% #I/O 06/15/2049 7,486,656 159,394,905 JPMBB Commercial Mortgage Securities Trust, Series 2017-C5-XA 0.93% #I/O 03/15/2050 7,294,772 92,809,458 JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5-XA 1.50% #I/O 06/13/2052 8,873,512 1,844,000 JPMDB Commercial Mortgage Securities Trust, Series 2018-C8-C 4.74% # 06/15/2051 2,004,536 1,435,000 JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-B 3.29% # 05/13/2053 1,579,133 281,987,194 JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-XA 1.66% #I/O 05/13/2053 32,100,294 11,956,151 KKR Industrial Portfolio Trust, Series 2020-AIP-C (1 Month LIBOR USD + 1.63%, 1.63% Floor) 1.79% ^ 03/15/2037 11,970,972 20,788,276 KKR Industrial Portfolio Trust, Series 2020-AIP-F (1 Month LIBOR USD + 3.43%, 3.43% Floor) 3.59% ^ 03/15/2037 20,685,241 3,500,000 KREF Ltd., Series 2018-FL1-AS (1 Month LIBOR USD + 1.35%, 1.35% Floor) 1.50% ^ 06/15/2036 3,502,482 7,641,086 LB-UBS Commercial Mortgage Trust, Series 2006-C7-XCL 0.70% #^I/O 11/15/2038 1,825 23,953,000 LMREC, Inc., Series 2019-CRE3-A (1 Month LIBOR USD + 1.40%, 1.40% Floor) 1.55% ^ 12/22/2035 23,601,370 1,826,418 LoanCore Issuer Ltd., Series 2018-CRE1-A (1 Month LIBOR USD + 1.13%, 1.13% Floor) 1.29% ^ 05/15/2028 1,820,208 24,463,000 LoanCore Issuer Ltd., Series 2019-CRE2-A (1 Month LIBOR USD + 1.13%, 1.13% Floor) 1.29% ^ 05/15/2036 24,319,500 45,101,000 LoanCore Issuer Ltd., Series 2019-CRE2-AS (1 Month LIBOR USD + 1.50%, 1.50% Floor) 1.66% ^ 05/15/2036 44,777,806 12,625,000 LoanCore Issuer Ltd., Series 2019-CRE2-B (1 Month LIBOR USD + 1.70%, 1.70% Floor) 1.86% ^ 05/15/2036 12,341,645 20,482,552 LSTAR Commercial Mortgage Trust, Series 2017-5-X 0.99% #^I/O 03/10/2050 640,348 5,731,000 Manhattan West Mortgage Trust, Series 2020-1MW-C 2.33% #^ 09/10/2039 5,954,134 3,510,000 Manhattan West Mortgage Trust, Series 2020-1MW-D 2.33% #^ 09/10/2039 3,538,152 7,592,456 Marathon CRE, Series 2018-FL1-A (1 Month LIBOR USD + 1.15%, 1.15% Floor) 1.30% ^ 06/15/2028 7,575,981 3,559,000 MBRT, Series 2019-MBR-A (1 Month LIBOR USD + 0.85%, 0.85% Floor) 1.01% ^ 11/15/2036 3,519,153 10,350,000 Merit Commercial mortgage Pass-Through Certificates, Series 2020-HILL-E (1 Month LIBOR USD + 3.10%, 3.10% Floor) 3.26% ^ 08/15/2037 10,432,485 5,950,000 Merit Commercial Mortgage Pass-Through Certificates, Series 2020-HILL-F (1 Month LIBOR USD + 4.10%, 4.10% Floor) 4.26% ^ 08/15/2037 6,011,444 170,880,000 Merit Commercial mortgage Pass-Through Certificates, Series 2020-HILL-XCP 0.74% #^I/O 08/15/2037 1,419,056 3,947,015 Merrill Lynch Mortgage Investors Trust, Series 1998-C1-IO 1.77% #I/O 11/15/2026 39 11,498,000 MF1 Ltd., Series 2020-FL3-A (1 Month LIBOR USD + 2.05%) 2.21% ^ 07/15/2035 11,624,179 12,625,000 MFT Trust, Series 2020-ABC-A 3.36% ^ 02/10/2042 13,331,197 5,326,000 MFT Trust, Series 2020-ABC-B 3.48% #^ 02/10/2042 5,549,872 1,000,000 MKT Mortgage Trust, Series 2020-525M-F 2.94% #^ 02/12/2040 923,037 11,401,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV-CK 4.16% #^ 10/15/2030 9,144,793 138,622,141 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12-XA 0.59% #I/O 10/15/2046 1,847,667 30,062,112 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7-XA 1.33% #I/O 02/15/2046 659,848 13,450,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C 4.52% # 10/15/2047 13,912,414 37,950,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C 4.00% 12/15/2047 39,836,624 20,087,700 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-B 4.16% 02/15/2048 21,924,330 5,457,500 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C 4.46% # 02/15/2048 5,736,456 209,549,034 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-XA 1.28% #I/O 02/15/2048 8,388,939 10,616,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23-C 4.14% # 07/15/2050 11,164,926 8,460,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25-C 4.52% # 10/15/2048 9,222,727 10,056,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-B 4.52% # 12/15/2047 10,953,033 19,422,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C 4.52% # 12/15/2047 20,174,082 1,517,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D 3.24% #^ 12/15/2047 1,285,182 149,831,099 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28-XA 1.20% #I/O 01/15/2049 6,747,419 2,314,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31-C 4.31% # 11/15/2049 2,160,801 50,870,991 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33-XA 1.40% #I/O 05/15/2050 2,859,830 19,647,515 Morgan Stanley Capital Trust, Series 2006-HQ10-X1 0.51% #^I/O 11/12/2041 251 7,137,000 Morgan Stanley Capital Trust, Series 2015-UBS8-B 4.32% # 12/15/2048 6,970,443 26,316,982 Morgan Stanley Capital Trust, Series 2015-UBS8-XA 0.87% #I/O 12/15/2048 961,249 12,140,000 Morgan Stanley Capital Trust, Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%, 2.20% Floor) 2.36% ^ 11/15/2034 10,866,198 17,935,000 Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2034 15,761,708 9,187,000 Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%, 4.35% Floor) 4.51% ^ 11/15/2034 7,641,627 158,666,913 Morgan Stanley Capital Trust, Series 2017-H1-XA 1.42% #I/O 06/15/2050 9,611,534 8,000,000 Morgan Stanley Capital Trust, Series 2018-MP-E 4.28% #^ 07/11/2040 6,548,894 11,392,000 Morgan Stanley Capital Trust, Series 2018-SUN-D (1 Month LIBOR USD + 1.65%, 1.65% Floor) 1.81% ^ 07/15/2035 11,002,699 20,425,000 Morgan Stanley Capital Trust, Series 2018-SUN-F (1 Month LIBOR USD + 2.55%, 2.55% Floor) 2.71% ^ 07/15/2035 19,351,854 10,748,000 Morgan Stanley Capital Trust, Series 2018-SUN-G (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 07/15/2035 10,023,527 5,305,000 Morgan Stanley Capital Trust, Series 2019-H7-AS 3.52% 07/15/2052 5,943,583 79,048,841 Morgan Stanley Capital Trust, Series 2019-L2-XA 1.03% #I/O 03/15/2052 5,563,157 3,845,000 Morgan Stanley Capital Trust, Series 2019-L3-AS 3.49% 11/15/2052 4,304,316 157,370,804 Morgan Stanley Capital Trust, Series 2019-L3-XA 0.64% #I/O 11/15/2052 7,744,076 1,315,000 Morgan Stanley Capital Trust, Series 2019-PLND-B (1 Month LIBOR USD + 1.30%, 1.30% Floor) 1.46% ^ 05/15/2036 1,228,960 6,002,000 Morgan Stanley Capital Trust, Series 2019-PLND-E (1 Month LIBOR USD + 2.15%, 2.15% Floor) 2.31% ^ 05/15/2036 5,176,111 2,200,000 Morgan Stanley Capital Trust, Series 2020-HR8-B 2.70% 07/15/2053 2,294,861 5,650,000 Morgan Stanley Capital Trust, Series 2020-HR8-C 3.71% # 07/15/2053 6,145,128 24,004,000 Morgan Stanley Capital Trust, Series 2020-L4-B 3.08% 02/15/2053 25,487,956 288,258,274 Morgan Stanley Capital Trust, Series 2020-L4-XA 1.08% #I/O 02/15/2053 23,812,526 4,400,000 Morgan Stanley Capital Trust, Series 2017-HR2-C 4.22% # 12/15/2050 4,765,058 7,794,000 MRCD Mortgage Trust, Series 2019-PARK-F 2.72% ^ 12/15/2036 7,510,613 46,459,000 MRCD Mortgage Trust, Series 2019-PARK-G 2.72% ^ 12/15/2036 43,339,608 2,116,000 MSCG Trust, Series 2018-SELF-F (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 10/15/2037 2,075,852 14,496,298 Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-A (1 Month LIBOR USD + 0.95%, 0.95% Floor) 1.09% ^ 06/15/2035 14,294,469 13,188,800 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-D 3.75% ^ 12/15/2038 13,305,447 14,792,000 NLY Commercial Mortgage Trust, Series 2019-FL2-AS (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.76% ^ 02/15/2036 14,660,514 3,725,000 NLY Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 02/15/2036 3,682,621 6,901,000 One Market Plaza Trust, Series 2017-1MKT-C 4.02% ^ 02/10/2032 7,114,384 3,453,000 One Market Plaza Trust, Series 2017-1MKT-E 4.14% ^ 02/10/2032 3,518,932 12,079,946 Rosslyn Portfolio Trust, Series 2017-ROSS-A (1 Month LIBOR USD + 0.95%, 1.94% Floor) 1.94% ^ 06/15/2033 12,127,978 13,415,147 Rosslyn Portfolio Trust, Series 2017-ROSS-B (1 Month LIBOR USD + 1.25%, 2.24% Floor) 2.24% ^ 06/15/2033 13,463,847 7,562,909 Tharaldson Hotel Portfolio Trust, Series 2018-THL-E (1 Month LIBOR USD + 3.18%, 3.10% Floor) 3.33% ^ 11/11/2034 7,018,517 3,150,000 TRTX Issuer Ltd., Series 2019-FL3-A (1 Month LIBOR USD + 1.15%, 1.15% Floor) 1.30% ^ 10/15/2034 3,114,868 31,066,000 TRTX Issuer Ltd., Series 2019-FL3-AS (1 Month LIBOR USD + 1.45%, 1.45% Floor) 1.60% ^ 10/15/2034 31,000,761 8,000,000 UBS Commercial Mortgage Trust, Series 2017-C1-C 4.44% 06/15/2050 7,853,038 100,402,642 UBS Commercial Mortgage Trust, Series 2017-C1-XA 1.54% #I/O 06/15/2050 7,498,300 1,154,000 UBS Commercial Mortgage Trust, Series 2017-C2-C 4.30% # 08/15/2050 1,158,412 12,544,787 UBS Commercial Mortgage Trust, Series 2017-C3-XA 1.10% #I/O 08/15/2050 671,141 3,561,000 UBS Commercial Mortgage Trust, Series 2017-C4-B 4.24% # 10/15/2050 3,865,628 4,100,000 UBS Commercial Mortgage Trust, Series 2017-C5-C 4.31% # 11/15/2050 4,372,452 2,886,000 UBS Commercial Mortgage Trust, Series 2017-C6-C 4.45% # 12/15/2050 3,123,308 2,137,000 UBS Commercial Mortgage Trust, Series 2018-C12-B 4.79% # 08/15/2051 2,413,660 8,530,000 UBS Commercial Mortgage Trust, Series 2018-C8-C 4.70% # 02/15/2051 8,613,396 1,500,000 UBS Commercial Mortgage Trust, Series 2018-C9-C 4.88% # 03/15/2051 1,584,250 43,435,519 UBS Commercial Mortgage Trust, Series 2018-C9-XA 0.88% #I/O 03/15/2051 2,361,598 5,213,000 UBS Commercial Mortgage Trust, Series 2019-C16-AS 3.89% 04/15/2052 5,931,072 6,114,000 UBS Commercial Mortgage Trust, Series 2019-C16-B 4.32% # 04/15/2052 6,961,261 8,350,000 UBS Commercial Mortgage Trust, Series 2019-C17-AS 3.20% 10/15/2052 9,219,212 14,858,000 UBS Commercial Mortgage Trust, Series 2019-C18-AS 3.38% # 12/15/2052 16,441,029 9,705,000 UBS Commercial Mortgage Trust, Series 2019-C18-B 3.68% # 12/15/2052 10,540,183 68,938,637 UBS-Barclays Commercial Mortgage Trust, Series 2012-C3-XA 2.82% #^I/O 08/10/2049 1,623,091 4,346,710 Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-B 3.96% 12/15/2047 4,682,542 11,460,000 Wells Fargo Commercial Mortgage Trust, Series 2015-C26-C 4.07% # 02/15/2048 11,602,479 377,477,321 Wells Fargo Commercial Mortgage Trust, Series 2015-C26-XA 1.21% #I/O 02/15/2048 15,629,033 3,187,500 Wells Fargo Commercial Mortgage Trust, Series 2015-C27-C 3.89% 02/15/2048 2,965,021 221,173,916 Wells Fargo Commercial Mortgage Trust, Series 2015-C27-XA 0.89% #I/O 02/15/2048 6,500,257 9,701,000 Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C 4.60% # 11/15/2048 9,779,949 130,288,342 Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA 0.98% #I/O 11/15/2048 5,293,967 242,118,743 Wells Fargo Commercial Mortgage Trust, Series 2015-LC20-XA 1.31% #I/O 04/15/2050 9,153,904 12,000,000 Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-C 4.54% # 09/15/2058 12,472,790 1,794,000 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-C 4.70% # 12/15/2048 1,941,226 105,297,056 Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA 0.92% #I/O 12/15/2048 4,085,726 14,269,000 Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C 4.73% # 01/15/2059 15,259,711 5,888,000 Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C 5.02% # 06/15/2049 5,297,524 2,390,000 Wells Fargo Commercial Mortgage Trust, Series 2016-C35-B 3.44% 07/15/2048 2,515,704 1,640,000 Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-C 4.46% # 10/15/2049 1,633,596 2,155,000 Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6-C 4.31% # 11/15/2049 2,145,421 134,460,217 Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6-XA 1.61% #I/O 11/15/2049 7,789,912 209,040,502 Wells Fargo Commercial Mortgage Trust, Series 2017-C39-XA 1.12% #I/O 09/15/2050 11,716,783 1,904,000 Wells Fargo Commercial Mortgage Trust, Series 2017-C42-C 4.30% # 12/15/2050 2,085,649 50,227,287 Wells Fargo Commercial Mortgage Trust, Series 2017-C42-XA 0.88% #I/O 12/15/2050 2,565,665 163,376,785 Wells Fargo Commercial Mortgage Trust, Series 2018-C43-XA 0.67% #I/O 03/15/2051 6,626,089 3,331,000 Wells Fargo Commercial Mortgage Trust, Series 2019-C49-C 4.87% # 03/15/2052 3,661,350 137,034,922 Wells Fargo Commercial Mortgage Trust, Series 2019-C50-XA 1.42% #I/O 05/15/2052 12,343,708 3,193,000 Wells Fargo Commercial Mortgage Trust, Series 2019-C51-B 3.84% # 06/15/2052 3,517,273 50,405,844 Wells Fargo Commercial Mortgage Trust, Series 2019-C51-XA 1.37% #I/O 06/15/2052 4,449,087 24,972,000 Wells Fargo Commercial Mortgage Trust, Series 2019-C52-AS 3.14% 08/15/2052 27,942,959 82,003,616 Wells Fargo Commercial Mortgage Trust, Series 2019-C52-XA 1.62% #I/O 08/15/2052 8,800,923 5,000,000 Wells Fargo Commercial Mortgage Trust, Series 2019-C53-C 3.58% # 10/15/2052 5,203,845 143,595,043 Wells Fargo Commercial Mortgage Trust, Series 2019-C54-XA 0.84% #I/O 12/15/2052 8,840,084 28,088,000 Wells Fargo Commercial Mortgage Trust, Series 2020-C55-AS 2.94% 02/15/2053 30,501,680 52,886,315 Wells Fargo Commercial Mortgage Trust, Series 2020-C55-XB 0.82% #I/O 02/15/2053 3,479,533 7,034,000 Wells Fargo Commercial Mortgage Trust, Series 2020-C56-B 3.75% # 06/15/2053 7,988,825 4,872,000 Wells Fargo Commercial Mortgage Trust, Series 2020-C56-C 3.75% # 06/15/2053 5,316,930 164,223,924 Wells Fargo Commercial Mortgage Trust, Series 2020-C56-XA 1.43% #I/O 06/15/2053 16,374,275 119,810,852 Wells Fargo Commercial Mortgage Trust, Series 2020-C57-XA 2.10% #I/O 08/15/2053 18,416,174 97,837,322 Wells Fargo Commercial Mortgage Trust, Series 2020-C58-XA 1.89% #I/O 07/15/2053 14,021,849 52,231,847 Wells Fargo Commercial Mortgage Trust, Series 2011-C4-XA 0.29% #^I/O 06/15/2044 16,176 74,779,422 Wells Fargo Commercial Mortgage Trust, Series 2012-C6-XA 2.05% #^I/O 04/15/2045 766,040 86,857,599 Wells Fargo Commercial Mortgage Trust, Series 2012-C8-XA 1.79% #^I/O 08/15/2045 1,606,388 34,562,053 Wells Fargo Commercial Mortgage Trust, Series 2012-C9-XA 1.88% #^I/O 11/15/2045 873,414 100,350,780 Wells Fargo Commercial Mortgage Trust, Series 2013-C18-XA 0.80% #I/O 12/15/2046 2,045,269 151,594,551 Wells Fargo Commercial Mortgage Trust, Series 2014-C19-XA 1.02% #I/O 03/15/2047 3,517,266 10,000,000 Wells Fargo Commercial Mortgage Trust, Series 2014-C21-B 4.21% # 08/15/2047 10,686,642 3,253,000 Wells Fargo Commercial Mortgage Trust, Series 2014-C23-B 4.38% # 10/15/2057 3,551,677 8,000,000 Wells Fargo Commercial Mortgage Trust, Series 2014-C25-C 4.31% # 11/15/2047 7,844,124 179,295,010 Wells Fargo Commercial Mortgage Trust, Series 2014-C25-XA 0.81% #I/O 11/15/2047 4,599,545

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $4,890,812,380) 4,501,551,832

Non-Agency Residential Collateralized Mortgage Obligations - 26.7% 113,356,094 ABFC Trust, Series 2007-WMC1-A1A (1 Month LIBOR USD + 1.25%, 1.25% Floor) 1.40% 06/25/2037 99,255,945 1,877,966 ACE Securities Corporation Home Equity Loan Trust, Series 2007-ASAP1-A2C (1 Month LIBOR USD + 0.26%, 0.26% Floor) 0.41% 03/25/2037 1,178,231 13,083,686 ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2B (1 Month LIBOR USD + 0.12%, 0.12% Floor) 0.27% 01/25/2037 9,708,727 1,711,332 ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2C (1 Month LIBOR USD + 0.17%, 0.17% Floor) 0.32% 01/25/2037 1,281,159 1,604,374 ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2D (1 Month LIBOR USD + 0.25%, 0.25% Floor) 0.40% 01/25/2037 1,217,989 81,716,077 ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM1-A1A (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 11/25/2036 38,074,250 4,500,982 ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM1-A2A (1 Month LIBOR USD + 0.07%, 0.07% Floor) 0.22% 11/25/2036 2,437,804 4,865,911 ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM1-A2D (1 Month LIBOR USD + 0.22%, 0.22% Floor) 0.37% 11/25/2036 2,740,469 3,266,330 ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM2-A2C (1 Month LIBOR USD + 0.28%, 0.28% Floor) 0.43% 02/25/2037 1,905,163 2,863,463 ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM2-A2D (1 Month LIBOR USD + 0.37%, 0.37% Floor) 0.52% 02/25/2037 1,696,567 1,828,890 Adjustable Rate Mortgage Trust, Series 2005-10-3A31 2.75% # 01/25/2036 1,775,243 26,711,636 Adjustable Rate Mortgage Trust, Series 2005-11-4A1 2.88% # 02/25/2036 20,157,797 2,858,768 Adjustable Rate Mortgage Trust, Series 2005-4-2A1 3.61% # 08/25/2035 2,784,487 470,861 Adjustable Rate Mortgage Trust, Series 2005-7-3A1 3.31% # 10/25/2035 405,265 6,355,970 Adjustable Rate Mortgage Trust, Series 2005-8-3A21 3.04% # 11/25/2035 5,496,761 14,074,003 Adjustable Rate Mortgage Trust, Series 2006-1-2A1 3.64% # 03/25/2036 10,079,555 9,308,027 Adjustable Rate Mortgage Trust, Series 2006-2-3A1 3.41% # 05/25/2036 8,849,561 12,395,472 Adjustable Rate Mortgage Trust, Series 2006-2-5A1 4.01% # 05/25/2036 5,544,179 8,776,818 Adjustable Rate Mortgage Trust, Series 2007-1-3A1 3.41% # 03/25/2037 8,137,418 1,410,315 Adjustable Rate Mortgage Trust, Series 2007-3-1A1 4.40% #^ 11/25/2037 1,524,488 463,613 Aegis Asset Backed Securities Trust, Series 2003-2-M2 (1 Month LIBOR USD + 2.55%, 2.55% Floor) 2.70% 11/25/2033 461,871 1,463,886 Aegis Asset Backed Securities Trust, Series 2004-1-M2 (1 Month LIBOR USD + 2.03%, 2.03% Floor) 2.18% 04/25/2034 1,328,562 617,792 Aegis Asset Backed Securities Trust, Series 2004-2-M2 (1 Month LIBOR USD + 1.95%, 1.95% Floor) 2.10% 06/25/2034 631,266 8,745,610 Aegis Asset Backed Securities Trust, Series 2004-6-M2 (1 Month LIBOR USD + 1.00%, 1.00% Floor, 15.00% Cap) 1.15% 03/25/2035 8,551,570 54,298,722 Ajax Master Trust, Series 2016-1-PC 3.22% #^ 01/01/2057 50,289,874 60,229,193 Ajax Master Trust, Series 2016-2-PC 2.72% #^ 10/25/2056 56,202,588 69,543,446 Ajax Master Trust, Series 2017-1-PC 3.49% #^ 06/25/2057 66,021,564 85,003,226 Ajax Mortgage Loan Trust, Series 2018-C-A 4.36% #^ 09/25/2065 86,373,325 6,996,032 Ajax Mortgage Loan Trust, Series 2018-E-A 4.38% #^ 06/25/2058 7,082,928 11,467,823 Ajax Mortgage Loan Trust, Series 2019-C-A 3.95% #^ 10/25/2058 11,516,236 41,664,833 Alternative Loan Trust, Series 2005-55CB-1A1 5.50% 11/25/2035 37,786,800 3,865,505 Alternative Loan Trust, Series 2006-12CB-A8 6.00% 05/25/2036 3,022,229 12,329,671 Alternative Loan Trust, Series 2006-13T1-A1 6.00% 05/25/2036 8,604,605 3,486,915 Alternative Loan Trust, Series 2006-16CB-A7 6.00% 06/25/2036 2,761,589 2,428,825 Alternative Loan Trust, Series 2006-2CB-A9 6.00% 03/25/2036 1,701,347 8,988,896 Alternative Loan Trust, Series 2006-41CB-1A15 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) 5.25% I/F I/O 01/25/2037 1,890,216 8,988,896 Alternative Loan Trust, Series 2006-41CB-1A2 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) 0.75% 01/25/2037 4,199,289 4,434,883 Alternative Loan Trust, Series 2006-42-1A1 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) 0.75% 01/25/2047 1,882,439 4,434,883 Alternative Loan Trust, Series 2006-42-1A2 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) 5.25% I/F I/O 01/25/2047 1,274,565 6,990,443 Alternative Loan Trust, Series 2007-15CB-A2 5.75% 07/25/2037 5,804,364 8,386,000 Alternative Loan Trust, Series 2007-15CB-A5 5.75% 07/25/2037 6,969,528 18,460,190 Alternative Loan Trust, Series 2007-5CB-1A31 5.50% 04/25/2037 13,823,094 6,869,986 Alternative Loan Trust, Series 2007-5CB-2A1 6.00% 04/25/2037 4,573,333 5,891,763 Alternative Loan Trust, Series 2007-6-A1 5.75% 04/25/2047 4,698,160 45,085,865 Alternative Loan Trust, Series 2007-HY4-4A1 3.45% # 06/25/2037 40,963,727 4,517,971 American Home Mortgage Investment Trust, Series 2006-2-2A1 (1 Month LIBOR USD + 0.38%, 0.38% Floor) 0.53% 09/25/2046 4,449,233 4,807,623 American Home Mortgage Investment Trust, Series 2005-4-3A1 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 11.00% Cap) 0.75% 11/25/2045 4,115,915 18,117,195 American Home Mortgage Investment Trust, Series 2005-4-5A (6 Month LIBOR USD + 1.75%, 1.75% Floor, 11.00% Cap) 2.01% 11/25/2045 11,505,723 2,203,765 American Home Mortgage Investment Trust, Series 2006-2-3A4 7.10% 06/25/2036 615,186 7,714,866 American Home Mortgage Investment Trust, Series 2007-A-13A1 6.60% ^ 01/25/2037 2,866,205 132,245,099 Ameriquest Mortgage Securities Trust, Series 2006-M3-A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.32% 10/25/2036 92,256,667 6,862,903 Ameriquest Mortgage Securities, Inc., Series 2004-FR1-M1 4.22% 05/25/2034 7,166,665 6,860,759 Amortizing Residential Collateral Trust, Series 2002-BC7-M1 (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.35% 10/25/2032 5,902,331 41,588,000 AMSR Trust, Series 2019-SFR1-E 3.47% ^ 01/19/2039 42,656,300 30,156,000 AMSR Trust, Series 2020-SFR4-G1 4.00% ^ 11/17/2037 30,554,849 10,000,000 AMSR Trust, Series 2020-SFR5-F 2.69% ^ 11/17/2037 9,995,316 10,500,000 Angel Oak Mortgage Trust LLC, Series 2019-2-M1 4.07% #^ 03/25/2049 10,927,363 531,782 Asset Backed Securities Corporation Home Equity Loan Trust, Series 2004-HE3-M2 (1 Month LIBOR USD + 1.68%, 1.68% Floor) 1.83% 06/25/2034 535,039 27,909,685 Asset Backed Securities Corporation Home Equity Loan Trust, Series 2006-HE7-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.28% 11/25/2036 25,570,920 1,275,483 Banc of America Alternative Loan Trust, Series 2005-10-4A1 5.75% 11/25/2035 1,257,303 4,228,559 Banc of America Alternative Loan Trust, Series 2005-11-2CB1 6.00% 12/25/2035 4,238,262 1,564,767 Banc of America Alternative Loan Trust, Series 2005-5-2CB1 6.00% 06/25/2035 1,566,463 1,036,984 Banc of America Alternative Loan Trust, Series 2005-8-2CB1 6.00% 09/25/2035 1,041,203 4,659,802 Banc of America Alternative Loan Trust, Series 2006-1-3CB1 6.50% 02/25/2036 4,771,680 2,485,128 Banc of America Alternative Loan Trust, Series 2006-2-1CB1 6.00% 03/25/2036 2,415,966 3,586,283 Banc of America Alternative Loan Trust, Series 2006-2-3CB1 6.50% 03/25/2036 3,367,817 2,316,953 Banc of America Alternative Loan Trust, Series 2006-3-4CB1 6.50% 04/25/2036 2,271,453 816,592 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 797,577 1,748,109 Banc of America Alternative Loan Trust, Series 2006-6-CB3 6.00% 07/25/2046 1,700,320 9,741,706 Banc of America Alternative Loan Trust, Series 2006-7-A4 6.00% 10/25/2036 4,237,870 2,535,809 Banc of America Alternative Loan Trust, Series 2006-8-1A1 (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) 6.35% I/F I/O 11/25/2036 516,744 903,748 Banc of America Alternative Loan Trust, Series 2006-8-1A2 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) 0.60% 11/25/2036 744,599 4,331,974 Banc of America Alternative Loan Trust, Series 2006-9-1CB1 6.00% 01/25/2037 4,179,287 722,381 Banc of America Alternative Loan Trust, Series 2007-2-2A1 6.00% 06/25/2037 715,195 3,986,187 Banc of America Funding Corporation, Series 2006-2-3A1 6.00% 03/25/2036 4,018,538 118,713 Banc of America Funding Corporation, Series 2006-2-4A1 (-3 x 1 Month LIBOR USD + 22.80%, 22.80% Cap) 22.36% I/F 03/25/2036 175,857 403,835 Banc of America Funding Corporation, Series 2006-2-6A2 5.50% 03/25/2036 405,140 763,632 Banc of America Funding Corporation, Series 2006-3-1A1 6.00% 03/25/2036 736,030 587,986 Banc of America Funding Corporation, Series 2006-3-6A1 6.21% # 03/25/2036 613,047 2,176,491 Banc of America Funding Corporation, Series 2006-6-1A7 6.25% 08/25/2036 2,144,784 901,264 Banc of America Funding Corporation, Series 2006-7-T2A5 6.04% 10/25/2036 886,608 4,247,935 Banc of America Funding Corporation, Series 2006-7-T2A8 5.91% 10/25/2036 4,179,251 1,020,623 Banc of America Funding Corporation, Series 2006-8T2-A8 6.10% 10/25/2036 1,005,099 418,273 Banc of America Funding Corporation, Series 2006-B-7A1 3.52% # 03/20/2036 381,621 6,093,992 Banc of America Funding Corporation, Series 2006-D-6A1 3.31% # 05/20/2036 6,018,160 129,583 Banc of America Funding Corporation, Series 2006-G-2A1 (1 Month LIBOR USD + 0.44%, 0.22% Floor, 10.50% Cap) 0.59% 07/20/2036 130,713 202,153 Banc of America Funding Corporation, Series 2006-H-3A1 3.08% # 09/20/2046 184,560 35,347,011 Banc of America Funding Corporation, Series 2006-H-5A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor, 10.50% Cap) 0.33% 10/20/2036 18,067,144 736,702 Banc of America Funding Corporation, Series 2007-1-TA10 5.84% ß 01/25/2037 741,228 1,006,758 Banc of America Funding Corporation, Series 2007-3-TA1B 5.83% # 04/25/2037 1,020,091 1,967,968 Banc of America Funding Corporation, Series 2007-5-1A1 5.50% 07/25/2037 1,917,655 1,478,128 Banc of America Funding Corporation, Series 2009-R14A-3A (- 2 x 1 Month LIBOR USD + 16.57%, 5.50% Floor, 16.57% Cap) 15.75% ^I/F 06/26/2035 1,933,279 2,447,249 Banc of America Funding Corporation, Series 2009-R15A-4A2 5.75% #^ 12/26/2036 2,273,920 947,967 Banc of America Funding Corporation, Series 2010-R1-3A (-2 x 1 Month LIBOR USD + 14.28%, 6.00% Floor, 14.28% Cap) 14.05% ^I/F 07/26/2036 1,213,819 2,014,550 Banc of America Mortgage Securities Trust, Series 2006-1-A9 6.00% 05/25/2036 2,011,294 205,624 Banc of America Mortgage Securities Trust, Series 2007-1-2A5 5.75% 01/25/2037 203,105 5,297,709 Banc of America Mortgage Trust, Series 2007-3-2A8 7.00% 09/25/2037 5,290,475 11,580,457 BankUnited Trust, Series 2005-1-2A1 3.49% # 09/25/2045 11,231,538 1,252,573 Bayview Commercial Asset Trust, Series 2007-3-A2 (1 Month LIBOR USD + 0.29%) 0.44% ^ 07/25/2037 1,139,342 17,244,012 Bayview Opportunity Master Fund Trust, Series 2019-SBR1-A1 3.47% ^§ 06/28/2034 17,325,626 45,930,400 BCAP LLC Trust, Series 2007-AA2-11A (1 Month LIBOR USD + 0.19%, 0.19% Floor) 0.34% ^ 05/25/2047 45,698,915 2,536,499 BCAP LLC Trust, Series 2007-AA2-2A7 6.00% 04/25/2037 1,861,031 2,746,072 BCAP LLC Trust, Series 2007-AA2-2A8 5.75% 04/25/2037 1,961,261 10,706,040 BCAP LLC Trust, Series 2008-RR3-A1B 6.67% #^ 10/25/2036 5,559,849 2,262,808 BCAP LLC Trust, Series 2009-RR13-18A2 5.75% #^ 07/26/2037 1,817,989 3,436,724 BCAP LLC Trust, Series 2009-RR4-4A2 5.75% ^ 02/26/2036 2,468,881 1,133,683 BCAP LLC Trust, Series 2010-RR10-5A1 7.00% #^ 04/27/2037 1,180,029 2,143,291 Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12-13A1 3.59% # 02/25/2036 2,066,196 3,791,851 Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4-4A1 3.21% # 10/25/2046 3,451,185 3,931,949 Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-2A1 3.78% # 02/25/2047 3,793,434 1,880,766 Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-3A1 3.70% # 02/25/2047 1,803,699 19,320,286 Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-2-2A1 (12 Month LIBOR USD + 1.88%, 1.88% Floor, 11.15% Cap) 2.23% 12/25/2046 16,981,553 1,503,018 Bear Stearns Alt-A Trust, Series 2004-11-2A3 2.79% # 11/25/2034 1,461,241 7,278,571 Bear Stearns Alt-A Trust, Series 2006-1-11A1 (1 Month LIBOR USD + 0.48%, 0.24% Floor, 11.50% Cap) 0.63% 02/25/2036 7,177,010 17,730,577 Bear Stearns Alt-A Trust, Series 2006-3-21A1 3.10% # 05/25/2036 15,035,786 6,249,090 Bear Stearns Alt-A Trust, Series 2006-5-1A1 (1 Month LIBOR USD + 0.34%, 0.17% Floor, 11.50% Cap) 0.49% 08/25/2036 5,679,767 8,262,625 Bear Stearns Alt-A Trust, Series 2006-6-2A1 3.49% # 11/25/2036 5,782,239 4,159,866 Bear Stearns Alt-A Trust, Series 2006-8-2A1 2.88% # 08/25/2046 3,317,568 7,504,158 Bear Stearns Alt-A Trust, Series 2007-1-1A1 (1 Month LIBOR USD + 0.32%, 0.16% Floor, 11.50% Cap) 0.47% 01/25/2047 6,716,978 4,145,676 Bear Stearns Asset Backed Securities Trust, Series 2004-AC4-A2 6.00% 08/25/2034 4,358,163 10,017,785 Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-1A 5.75% 04/25/2035 9,695,133 2,847,463 Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-2A1 5.75% 04/25/2035 2,957,061 40,168,885 Bear Stearns Asset Backed Securities Trust, Series 2005-AC6-22A 5.30% # 09/25/2035 37,739,358 6,194,277 Bear Stearns Asset Backed Securities Trust, Series 2005-AC7-A4 6.00% 10/25/2035 5,352,108 10,539,839 Bear Stearns Asset Backed Securities Trust, Series 2006-AC1-1A1 6.25% 02/25/2036 7,196,269 3,944,272 Bear Stearns Asset Backed Securities Trust, Series 2006-AC5-A1 6.25% ß 12/25/2036 3,885,750 17,314,303 Bear Stearns Asset Backed Securities Trust, Series 2007-HE2-2A3 (1 Month LIBOR USD + 0.16%, 0.16% Floor) 0.31% 02/25/2037 17,933,651 38,655,921 Bear Stearns Asset Backed Securities Trust, Series 2007-HE4-2A (1 Month LIBOR USD + 0.22%, 0.22% Floor) 0.37% 05/25/2037 36,013,325 17,453,271 Bear Stearns Asset Backed Securities Trust, Series 2007-HE6-2A (1 Month LIBOR USD + 1.05%, 1.05% Floor) 1.20% 08/25/2037 15,978,271 15,000,000 Bear Stearns Asset Backed Securities Trust, Series 2007-HE7-1A2 (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.75% 10/25/2037 14,493,813 1,381,850 Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A2A 6.00% 10/25/2036 967,690 1,315,453 Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A3A 6.50% 10/25/2036 955,675 2,138,209 Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-23A1 3.54% # 10/25/2036 1,857,554 10,949,693 Bear Stearns Mortgage Funding Trust, Series 2006-AR3-2A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 10.50% Cap) 0.35% 11/25/2036 9,571,374 4,767,752 Bear Stearns Mortgage Funding Trust, Series 2006-AR4-A2 (1 Month LIBOR USD + 0.18%, 0.18% Floor, 10.50% Cap) 0.33% 12/25/2037 4,396,316 10,566,206 Bear Stearns Mortgage Funding Trust, Series 2007-AR3-22A1 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 10.50% Cap) 0.31% 04/25/2037 9,522,854 13,777,342 Bellemeade Ltd., Series 2019-2A-M1B (1 Month LIBOR USD + 1.45%, 1.45% Floor) 1.60% ^ 04/25/2029 13,787,509 16,083,275 BNC Mortgage Loan Trust, Series 2006-2-A4 (1 Month LIBOR USD + 0.32%, 0.32% Floor) 0.47% 11/25/2036 15,528,909 11,523,506 BNC Mortgage Loan Trust, Series 2007-1-A4 (1 Month LIBOR USD + 0.16%, 0.16% Floor) 0.31% 03/25/2037 11,161,939 32,713,234 BNPP Mortgage Securities LLC Trust, Series 2009-1-B1 6.00% ^ 08/27/2037 24,397,095 5,577,722 Carrington Mortgage Loan Trust, Series 2006-FRE2-A2 (1 Month LIBOR USD + 0.12%, 0.12% Floor, 12.50% Cap) 0.27% 10/25/2036 4,801,362 26,895,081 Carrington Mortgage Loan Trust, Series 2006-FRE2-A3 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 12.50% Cap) 0.31% 10/25/2036 23,267,841 8,278,102 Carrington Mortgage Loan Trust, Series 2006-FRE2-A4 (1 Month LIBOR USD + 0.25%, 0.25% Floor, 12.50% Cap) 0.40% 10/25/2036 7,242,155 8,029,838 Carrington Mortgage Loan Trust, Series 2006-NC3-A3 (1 Month LIBOR USD + 0.15%, 0.15% Floor, 12.50% Cap) 0.30% 08/25/2036 7,644,218 84,644,498 Carrington Mortgage Loan Trust, Series 2006-NC4-A3 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 12.50% Cap) 0.31% 10/25/2036 81,371,642 19,106,535 Carrington Mortgage Loan Trust, Series 2006-NC5-A3 (1 Month LIBOR USD + 0.15%, 0.15% Floor, 14.50% Cap) 0.30% 01/25/2037 16,735,638 26,396,992 Carrington Mortgage Loan Trust, Series 2007-RFC1-A3 (1 Month LIBOR USD + 0.14%, 0.14% Floor, 14.50% Cap) 0.29% 12/25/2036 25,169,635 23,620,902 Cascade MH Asset Trust, Series 2019-MH1-A 4.00% #^ 11/25/2044 25,016,770 2,750,000 Centex Home Equity, Series 2004-A-AF5 5.43% 01/25/2034 2,805,619 559,178 Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-4-2M1 (1 Month LIBOR USD + 0.90%, 0.90% Floor) 1.05% 03/25/2033 550,093 4,116,330 Chase Mortgage Finance Trust, Series 2005-A1-2A4 3.07% # 12/25/2035 4,038,498 8,450,686 Chase Mortgage Finance Trust, Series 2006-S1-A5 6.50% 05/25/2036 6,212,684 9,084,703 Chase Mortgage Finance Trust, Series 2006-S2-1A9 6.25% 10/25/2036 6,607,351 5,474,045 Chase Mortgage Finance Trust, Series 2006-S3-1A2 6.00% 11/25/2036 3,690,587 15,276,354 Chase Mortgage Finance Trust, Series 2006-S4-A8 6.00% 12/25/2036 10,585,022 4,534,136 Chase Mortgage Finance Trust, Series 2007-A2-6A4 3.42% # 07/25/2037 4,314,790 4,608,313 Chase Mortgage Finance Trust, Series 2007-S1-A7 6.00% 02/25/2037 2,806,956 2,763,806 Chase Mortgage Finance Trust, Series 2007-S3-1A5 6.00% 05/25/2037 1,944,823 1,280,839 Chase Mortgage Finance Trust, Series 2007-S3-2A1 5.50% 05/25/2037 280,806 2,700,270 Chase Mortgage Finance Trust, Series 2007-S5-1A18 6.00% 07/25/2037 1,947,659 3,141,742 ChaseFlex Trust, Series 2005-1-3A1 6.00% 02/25/2035 3,074,359 334,486 ChaseFlex Trust, Series 2006-1-A5 6.16% # 06/25/2036 315,812 3,745,514 ChaseFlex Trust, Series 2006-2-A2B (1 Month LIBOR USD + 0.20%, 0.20% Floor, 11.50% Cap) 0.35% 09/25/2036 3,056,893 3,624,088 ChaseFlex Trust, Series 2007-1-1A1 6.50% 02/25/2037 1,976,924 7,322,129 ChaseFlex Trust, Series 2007-M1-2F4 4.13% ß 08/25/2037 7,104,148 7,615,665 ChaseFlex Trust, Series 2007-M1-2F5 4.13% ß 08/25/2037 7,388,379 3,376,205 CHL Mortgage Pass-Through Trust, Series 2005-26-1A12 5.50% 11/25/2035 2,891,172 19,923,579 CHL Mortgage Pass-Through Trust, Series 2005-17-2A1 5.50% 09/25/2035 15,932,813 3,201,414 CHL Mortgage Pass-Through Trust, Series 2005-18-A1 5.50% 10/25/2035 2,575,635 6,475,521 CHL Mortgage Pass-Through Trust, Series 2006-14-A5 6.25% 09/25/2036 4,994,370 26,517,894 CHL Mortgage Pass-Through Trust, Series 2006-8-1A3 6.00% 05/25/2036 22,910,940 1,942,341 CHL Mortgage Pass-Through Trust, Series 2007-15-1A2 6.25% 09/25/2037 1,648,102 41,951,102 CHL Mortgage Pass-Through Trust, Series 2007-21-1A1 6.25% 02/25/2038 32,980,471 1,968,295 CHL Mortgage Pass-Through Trust, Series 2007-2-A2 6.00% 03/25/2037 1,489,548 2,473,685 CHL Mortgage Pass-Through Trust, Series 2007-7-A11 5.50% 06/25/2037 1,876,529 4,660,132 CHL Mortgage Pass-Through Trust, Series 2007-8-1A8 6.00% 01/25/2038 3,347,723 13,361,599 CHL Mortgage Pass-Through Trust, Series 2007-HYB1-2A1 3.03% # 03/25/2037 12,380,092 65,927,528 CIM Trust, Series 2016-1RR-B2 6.00% #^Þ 07/26/2055 61,192,204 75,440,246 CIM Trust, Series 2016-2RR-B2 5.99% #^Þ 02/25/2056 69,851,648 73,074,681 CIM Trust, Series 2016-3RR-B2 5.98% #^Þ 02/27/2056 67,754,662 54,248,672 CIM Trust, Series 2017-3RR-B2 10.69% #^Þ 01/27/2057 51,778,399 38,511,859 CIM Trust, Series 2017-6-A1 3.02% #^ 06/25/2057 38,618,094 4,053,876 CitiCorporationMortgage Securities, Inc., Series 2005-1-1A4 5.50% 02/25/2035 4,185,038 862,699 CitiCorporationMortgage Securities, Inc., Series 2006-7-1A1 6.00% 12/25/2036 849,666 3,139,436 CitiCorporationResidential Mortgage Securities, Inc., Series 2006-2-A5 5.19% 09/25/2036 3,219,935 1,688,243 Citigroup Mortgage Loan Trust, Inc., Series 2005-5-2A2 5.75% 08/25/2035 1,332,853 779,336 Citigroup Mortgage Loan Trust, Inc., Series 2005-9-21A1 5.50% 11/25/2035 762,142 2,074,736 Citigroup Mortgage Loan Trust, Inc., Series 2006-4-2A1A 6.00% 12/25/2035 2,095,137 28,108,615 Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1-A1 (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.29% ^ 09/25/2036 27,057,145 6,743,381 Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3-1A1A 3.91% # 06/25/2036 6,617,726 2,990,663 Citigroup Mortgage Loan Trust, Inc., Series 2006-FX1-A6 5.85% ß 10/25/2036 2,514,319 1,593,925 Citigroup Mortgage Loan Trust, Inc., Series 2006-WF1-A2D 4.82% ß 03/25/2036 1,034,908 10,876,393 Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2-A2D 6.16% ß 05/25/2036 5,760,011 3,595,024 Citigroup Mortgage Loan Trust, Inc., Series 2007-10-1A1A 5.53% # 04/25/2037 3,758,832 657,326 Citigroup Mortgage Loan Trust, Inc., Series 2007-12-2A1 6.50% ^ 10/25/2036 508,845 80,886 Citigroup Mortgage Loan Trust, Inc., Series 2007-2-2A 6.00% 11/25/2036 81,660 18,358,294 Citigroup Mortgage Loan Trust, Inc., Series 2007-9-1A1 5.75% ^ 04/25/2047 14,999,112 943,738 Citigroup Mortgage Loan Trust, Inc., Series 2007-9-2A2 6.50% #^Þ 05/25/2037 957,655 65,051,331 Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC2-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% ^ 01/25/2037 60,308,516 1,418,021 Citigroup Mortgage Loan Trust, Inc., Series 2007-AR5-1A3A 2.90% # 04/25/2037 1,354,773 3,328,354 Citigroup Mortgage Loan Trust, Inc., Series 2007-AR8-1A1A 3.35% # 08/25/2047 3,097,945 4,402,071 Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A3A 5.97% ß 01/25/2037 2,775,238 9,703,749 Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A5A 5.76% ß 01/25/2037 6,119,306 5,111,156 Citigroup Mortgage Loan Trust, Inc., Series 2010-7-9A4 6.00% #^ 10/25/2037 4,866,033 31,462,749 Citigroup Mortgage Loan Trust, Inc., Series 2010-8-7A4 6.00% #^Þ 06/25/2037 31,851,540 161,564,439 Citigroup Mortgage Loan Trust, Inc., Series 2017-RP2-A1A 3.93% #^ 07/25/2067 168,302,064 14,808,289 Citigroup Mortgage Loan Trust, Inc., Series 2018-A-A1 4.00% #^ 01/25/2068 14,893,946 20,908,823 Citigroup Mortgage Loan Trust, Inc., Series 2018-C-A1 4.13% ^§ 03/25/2059 20,941,887 4,472,160 Citigroup Mortgage Loan Trust, Series 2007-OPX1-A2 (1 Month LIBOR USD + 0.20%, 0.20% Floor) 0.35% 01/25/2037 2,490,357 159,636,251 Citigroup Mortgage Loan Trust, Series 2019-A-PT1 3.92% ^ 10/25/2058 160,114,840 32,132,126 Citigroup Mortgage Loan Trust, Series 2019-B-A1 3.26% #^ 04/25/2066 32,867,444 81,785,048 Citigroup Mortgage Loan Trust, Series 2019-C-A1 3.23% ^§ 09/25/2059 82,548,725 239,409,483 Citigroup Mortgage Loan Trust, Series 2019-D-PT1 3.25% ^ 04/25/2064 242,383,739 358,431,748 Citigroup Mortgage Loan Trust, Series 2020-RP1-A1 1.50% #^ 08/25/2064 363,535,458 26,293,400 Citigroup Mortgage Loan Trust, Series 2020-RP1-M1 2.00% #^ 08/25/2064 25,551,966 22,116,950 Citigroup Mortgage Loan Trust, Series 2020-RP1-M2 2.50% #^ 08/25/2064 21,687,846 18,676,200 Citigroup Mortgage Loan Trust, Series 2020-RP1-M3 2.75% #^ 08/25/2064 17,496,919 49,342,858 Citigroup Mortgage Loan Trust, Series 2020-RP1-PT5 19.91% ^ 08/25/2064 47,844,893 2,787,323 CitiMortgage Alternative Loan Trust, Series 2006-A1-1A5 5.50% 04/25/2036 2,786,381 2,956,787 CitiMortgage Alternative Loan Trust, Series 2006-A2-A2 6.00% 05/25/2036 2,968,286 2,771,633 CitiMortgage Alternative Loan Trust, Series 2006-A3-1A13 6.00% 07/25/2036 2,771,993 2,045,204 CitiMortgage Alternative Loan Trust, Series 2006-A4-1A8 6.00% 09/25/2036 2,003,452 515,445 CitiMortgage Alternative Loan Trust, Series 2006-A5-2A1 5.50% 10/25/2021 538,670 1,913,072 CitiMortgage Alternative Loan Trust, Series 2006-A5-3A3 6.00% 10/25/2036 1,815,898 6,473,022 CitiMortgage Alternative Loan Trust, Series 2006-A6-1A2 (1 Month LIBOR USD + 0.50%, 6.00% Floor, 6.00% Cap) 6.00% 11/25/2036 6,512,459 3,296,068 CitiMortgage Alternative Loan Trust, Series 2007-A1-1A5 6.00% 01/25/2037 3,324,198 1,607,051 CitiMortgage Alternative Loan Trust, Series 2007-A1-1A7 6.00% 01/25/2037 1,620,767 4,357,565 CitiMortgage Alternative Loan Trust, Series 2007-A1-1A8 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) 0.75% 01/25/2037 3,525,177 4,111,847 CitiMortgage Alternative Loan Trust, Series 2007-A1-1A9 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) 5.25% I/F I/O 01/25/2037 732,986 3,598,927 CitiMortgage Alternative Loan Trust, Series 2007-A3-1A1 6.00% ± 03/25/2037 3,601,702 8,282,284 CitiMortgage Alternative Loan Trust, Series 2007-A3-1A3 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) 5.25% I/F I/O 03/25/2037 1,588,157 3,245,649 CitiMortgage Alternative Loan Trust, Series 2007-A3-1A4 5.75% 03/25/2037 3,268,843 5,841,740 CitiMortgage Alternative Loan Trust, Series 2007-A4-1A3 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap) 0.48% 04/25/2037 4,639,283 5,841,740 CitiMortgage Alternative Loan Trust, Series 2007-A4-1A4 (-1 x 1 Month LIBOR USD + 6.67%, 6.67% Cap) 6.52% I/F I/O 04/25/2037 1,214,684 6,186,704 CitiMortgage Alternative Loan Trust, Series 2007-A4-1A5 5.75% 04/25/2037 6,179,237 804,320 CitiMortgage Alternative Loan Trust, Series 2007-A5-1A11 6.00% 05/25/2037 804,913 10,604,370 CitiMortgage Alternative Loan Trust, Series 2007-A5-1A8 6.00% 05/25/2037 10,612,193 360,737 CitiMortgage Alternative Loan Trust, Series 2007-A8-A1 6.00% 10/25/2037 355,923 80,000,000 Connecticut Avenue Securities Trust, Series 2020-R02-2M2 (1 Month LIBOR USD + 2.00%) 2.15% ^ 01/25/2040 79,869,280 9,000,000 CoreVest American Finance Trust, Series 2020-3-D 2.95% #^ 08/15/2053 9,122,377 36,553,437 Countrywide Alternative Loan Trust, Series 2004-36CB-1A1 6.00% 02/25/2035 34,922,170 4,017,187 Countrywide Alternative Loan Trust, Series 2005-13CB-A3 5.50% 05/25/2035 4,125,045 3,075,876 Countrywide Alternative Loan Trust, Series 2005-20CB-2A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap) 0.65% 07/25/2035 2,098,985 6,279,913 Countrywide Alternative Loan Trust, Series 2005-20CB-2A2 (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) 4.85% I/F I/O 07/25/2035 913,246 3,466 Countrywide Alternative Loan Trust, Series 2005-20CB-4A1 5.25% 07/25/2020 3,463 2,203,914 Countrywide Alternative Loan Trust, Series 2005-26CB-A11 (-2 x 1 Month LIBOR USD + 13.05%, 13.05% Cap) 12.78% I/F 07/25/2035 2,346,692 3,152,163 Countrywide Alternative Loan Trust, Series 2005-28CB-1A2 (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap) 0.90% 08/25/2035 2,536,071 1,291,146 Countrywide Alternative Loan Trust, Series 2005-28CB-3A6 6.00% 08/25/2035 855,805 1,555,008 Countrywide Alternative Loan Trust, Series 2005-46CB-A20 5.50% 10/25/2035 1,463,355 5,090,854 Countrywide Alternative Loan Trust, Series 2005-48T1-A2 5.50% 11/25/2035 4,141,190 1,826,719 Countrywide Alternative Loan Trust, Series 2005-54CB-3A4 5.50% 11/25/2035 1,456,760 16,915,437 Countrywide Alternative Loan Trust, Series 2005-57CB-1A1 5.50% 12/25/2035 15,816,712 421,146 Countrywide Alternative Loan Trust, Series 2005-60T1-A7 (-7 x 1 Month LIBOR USD + 35.93%, 35.93% Cap) 34.85% I/F 12/25/2035 696,461 550,811 Countrywide Alternative Loan Trust, Series 2005-64CB-1A14 5.50% 12/25/2035 545,532 7,994,339 Countrywide Alternative Loan Trust, Series 2005-64CB-1A4 5.50% 12/25/2035 7,917,722 1,464,667 Countrywide Alternative Loan Trust, Series 2005-73CB-1A5 (1 Month LIBOR USD + 0.80%, 0.80% Floor, 5.50% Cap) 0.95% 01/25/2036 1,222,669 3,684,798 Countrywide Alternative Loan Trust, Series 2005-73CB-1A6 (-1 x 1 Month LIBOR USD + 4.70%, 4.70% Cap) 4.55% I/F I/O 01/25/2036 604,311 36,927,279 Countrywide Alternative Loan Trust, Series 2005-77T1-1A1 6.00% 02/25/2036 25,676,800 657,777 Countrywide Alternative Loan Trust, Series 2005-79CB-A5 5.50% 01/25/2036 543,255 23,973,247 Countrywide Alternative Loan Trust, Series 2005-85CB-1A1 6.00% 02/25/2036 15,818,989 1,841,260 Countrywide Alternative Loan Trust, Series 2005-85CB-2A6 (-4 x 1 Month LIBOR USD + 21.63%, 21.63% Cap) 21.09% I/F 02/25/2036 2,560,515 1,163,139 Countrywide Alternative Loan Trust, Series 2005-86CB-A5 5.50% 02/25/2036 963,721 1,897,636 Countrywide Alternative Loan Trust, Series 2005-J10-1A11 5.50% 10/25/2035 1,760,932 431,858 Countrywide Alternative Loan Trust, Series 2005-J10-1A13 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap) 0.85% 10/25/2035 312,151 202,301 Countrywide Alternative Loan Trust, Series 2005-J10-1A15 5.50% 10/25/2035 187,727 508,234 Countrywide Alternative Loan Trust, Series 2005-J11-1A3 5.50% 11/25/2035 415,608 772,684 Countrywide Alternative Loan Trust, Series 2005-J11-6A1 6.50% 09/25/2032 769,399 609,443 Countrywide Alternative Loan Trust, Series 2005-J13-2A5 (1 Month LIBOR USD + 0.48%, 0.48% Floor, 5.50% Cap) 0.63% 11/25/2035 392,843 1,218,886 Countrywide Alternative Loan Trust, Series 2005-J13-2A6 (-1 x 1 Month LIBOR USD + 5.02%, 5.02% Cap) 4.87% I/F I/O 11/25/2035 227,514 3,891,000 Countrywide Alternative Loan Trust, Series 2005-J1-5A3 5.50% 02/25/2035 3,995,738 19,000 Countrywide Alternative Loan Trust, Series 2005-J1-7A1 5.50% 01/25/2020 18,407 684,701 Countrywide Alternative Loan Trust, Series 2005-J2-1A5 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap) 0.65% 04/25/2035 560,539 2,106,772 Countrywide Alternative Loan Trust, Series 2005-J2-1A6 (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) 4.85% I/F I/O 04/25/2035 217,611 5,609,520 Countrywide Alternative Loan Trust, Series 2005-J3-2A8 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.50% Cap) 0.45% 05/25/2035 4,688,023 5,609,520 Countrywide Alternative Loan Trust, Series 2005-J3-2A9 (-1 x 1 Month LIBOR USD + 5.20%, 5.20% Cap) 5.05% I/F I/O 05/25/2035 692,626 3,136,377 Countrywide Alternative Loan Trust, Series 2006-12CB-A3 (1 Month LIBOR USD + 5.75%, 5.75% Floor) 5.75% 05/25/2036 2,390,122 33,541,443 Countrywide Alternative Loan Trust, Series 2006-15CB-A1 6.50% 06/25/2036 25,495,190 952,043 Countrywide Alternative Loan Trust, Series 2006-18CB-A12 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) 0.75% 07/25/2036 454,268 952,043 Countrywide Alternative Loan Trust, Series 2006-18CB-A13 (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap) 5.35% I/F I/O 07/25/2036 204,353 4,625,231 Countrywide Alternative Loan Trust, Series 2006-19CB-A12 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.00% Cap) 0.55% 08/25/2036 2,401,474 6,272,091 Countrywide Alternative Loan Trust, Series 2006-19CB-A13 (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) 5.45% I/F I/O 08/25/2036 1,107,959 965,530 Countrywide Alternative Loan Trust, Series 2006-19CB-A15 6.00% 08/25/2036 797,544 1,690,644 Countrywide Alternative Loan Trust, Series 2006-24CB-A11 5.75% 08/25/2036 1,360,905 4,948,306 Countrywide Alternative Loan Trust, Series 2006-24CB-A14 (-1 x 1 Month LIBOR USD + 7.15%, 7.15% Cap) 7.00% I/F I/O 08/25/2036 1,411,966 3,967,897 Countrywide Alternative Loan Trust, Series 2006-24CB-A22 6.00% 08/25/2036 3,263,831 4,258,746 Countrywide Alternative Loan Trust, Series 2006-24CB-A5 (1 Month LIBOR USD + 0.60%, 0.06% Floor, 6.00% Cap) 0.75% 08/25/2036 2,036,401 1,604,670 Countrywide Alternative Loan Trust, Series 2006-26CB-A17 6.25% 09/25/2036 1,163,160 2,059,731 Countrywide Alternative Loan Trust, Series 2006-26CB-A9 6.50% 09/25/2036 1,532,357 3,614,466 Countrywide Alternative Loan Trust, Series 2006-29T1-1A2 6.25% 10/25/2036 2,818,326 508,387 Countrywide Alternative Loan Trust, Series 2006-29T1-2A12 (-7 x 1 Month LIBOR USD + 46.15%, 46.15% Cap) 45.19% I/F 10/25/2036 1,227,788 311,398 Countrywide Alternative Loan Trust, Series 2006-29T1-2A23 (-4 x 1 Month LIBOR USD + 33.37%, 33.37% Cap) 32.73% I/F 10/25/2036 577,622 3,604,568 Countrywide Alternative Loan Trust, Series 2006-30T1-1A2 6.25% 11/25/2036 3,240,047 2,567,614 Countrywide Alternative Loan Trust, Series 2006-32CB-A1 (1 Month LIBOR USD + 0.67%, 0.67% Floor, 6.00% Cap) 0.82% 11/25/2036 1,346,963 4,282,781 Countrywide Alternative Loan Trust, Series 2006-32CB-A2 (-1 x 1 Month LIBOR USD + 5.33%, 5.33% Cap) 5.18% I/F I/O 11/25/2036 993,698 4,691,586 Countrywide Alternative Loan Trust, Series 2006-36T2-2A1 6.25% 12/25/2036 3,056,876 1,181,500 Countrywide Alternative Loan Trust, Series 2006-39CB-1A10 6.00% 01/25/2037 1,205,497 14,256,433 Countrywide Alternative Loan Trust, Series 2006-39CB-2A2 (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) 6.40% I/F I/O 01/25/2037 3,700,585 4,854,988 Countrywide Alternative Loan Trust, Series 2006-39CB-2A4 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) 0.60% 01/25/2037 295,150 1,746,211 Countrywide Alternative Loan Trust, Series 2006-40T1-1A11 6.00% 01/25/2037 1,536,673 2,972,060 Countrywide Alternative Loan Trust, Series 2006-40T1-1A4 (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap) 5.30% I/F I/O 01/25/2037 493,617 3,675,422 Countrywide Alternative Loan Trust, Series 2006-41CB-1A10 6.00% 01/25/2037 2,956,029 3,870,299 Countrywide Alternative Loan Trust, Series 2006-41CB-1A9 6.00% 01/25/2037 3,112,762 3,776,804 Countrywide Alternative Loan Trust, Series 2006-45T1-1A4 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) 0.75% 02/25/2037 824,495 3,776,804 Countrywide Alternative Loan Trust, Series 2006-45T1-1A5 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) 5.25% I/F I/O 02/25/2037 778,144 941,719 Countrywide Alternative Loan Trust, Series 2006-6CB-1A4 5.50% 05/25/2036 929,956 2,766,557 Countrywide Alternative Loan Trust, Series 2006-J1-1A10 5.50% 02/25/2036 2,563,992 5,613,237 Countrywide Alternative Loan Trust, Series 2006-J1-1A3 5.50% 02/25/2036 5,202,241 1,146,649 Countrywide Alternative Loan Trust, Series 2006-J4-2A2 6.00% 07/25/2036 938,135 740,527 Countrywide Alternative Loan Trust, Series 2007-11T1-A24 (-6 x 1 Month LIBOR USD + 39.90%, 39.90% Cap) 39.01% I/F 05/25/2037 1,588,658 11,727,228 Countrywide Alternative Loan Trust, Series 2007-15CB-A1 6.00% 07/25/2037 9,930,526 8,936,290 Countrywide Alternative Loan Trust, Series 2007-16CB-2A1 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) 0.60% 08/25/2037 3,096,314 2,587,726 Countrywide Alternative Loan Trust, Series 2007-16CB-2A2 (-8 x 1 Month LIBOR USD + 54.58%, 54.58% Cap) 53.35% I/F 08/25/2037 6,696,516 3,815,758 Countrywide Alternative Loan Trust, Series 2007-16CB-4A7 6.00% 08/25/2037 3,633,822 6,367,657 Countrywide Alternative Loan Trust, Series 2007-17CB-1A10 (-5 x 1 Month LIBOR USD + 29.90%, 29.90% Cap) 29.22% I/F 08/25/2037 10,325,893 983,563 Countrywide Alternative Loan Trust, Series 2007-18CB-2A25 6.00% 08/25/2037 846,210 721,736 Countrywide Alternative Loan Trust, Series 2007-19-1A10 (-6 x 1 Month LIBOR USD + 39.00%, 39.00% Cap) 38.11% I/F 08/25/2037 1,686,082 10,607,970 Countrywide Alternative Loan Trust, Series 2007-19-1A4 6.00% 08/25/2037 7,834,523 29,846,368 Countrywide Alternative Loan Trust, Series 2007-19-2A1 6.50% 08/25/2037 18,970,178 3,352,515 Countrywide Alternative Loan Trust, Series 2007-21CB-2A2 (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap) 27.81% I/F 09/25/2037 4,148,547 20,261,240 Countrywide Alternative Loan Trust, Series 2007-22-2A16 6.50% 09/25/2037 12,574,608 8,485,453 Countrywide Alternative Loan Trust, Series 2007-23CB-A3 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap) 0.65% 09/25/2037 3,734,625 12,042,617 Countrywide Alternative Loan Trust, Series 2007-23CB-A4 (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) 6.35% I/F I/O 09/25/2037 3,884,223 15,386,415 Countrywide Alternative Loan Trust, Series 2007-4CB-2A1 7.00% 03/25/2037 2,905,083 4,634,769 Countrywide Alternative Loan Trust, Series 2007-5CB-1A18 (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap) 5.50% I/F I/O 04/25/2037 1,212,627 4,634,769 Countrywide Alternative Loan Trust, Series 2007-5CB-1A23 (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.00% Cap) 0.70% 04/25/2037 2,302,006 3,888,182 Countrywide Alternative Loan Trust, Series 2007-6-A4 5.75% 04/25/2047 3,100,482 318,381 Countrywide Alternative Loan Trust, Series 2007-8CB-A12 (-6 x 1 Month LIBOR USD + 40.20%, 40.20% Cap) 39.31% I/F 05/25/2037 736,599 339,866 Countrywide Alternative Loan Trust, Series 2007-8CB-A8 (-6 x 1 Month LIBOR USD + 40.08%, 40.08% Cap) 39.19% I/F 05/25/2037 783,960 490,213 Countrywide Alternative Loan Trust, Series 2007-9T1-1A4 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap) 0.65% 05/25/2037 152,187 490,213 Countrywide Alternative Loan Trust, Series 2007-9T1-1A5 (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap) 5.35% I/F I/O 05/25/2037 116,970 1,555,758 Countrywide Alternative Loan Trust, Series 2007-9T1-2A1 6.00% 05/25/2037 957,749 31,284,789 Countrywide Alternative Loan Trust, Series 2007-HY2-1A 3.44% # 03/25/2047 30,548,114 2,102,015 Countrywide Asset Backed Certificates, Series 2003-BC6-M1 (1 Month LIBOR USD + 0.83%, 0.83% Floor) 0.97% 11/25/2033 2,064,838 10,284,410 Countrywide Asset Backed Certificates, Series 2005-4-AF5B 5.65% 10/25/2035 10,562,953 29,946,772 Countrywide Asset Backed Certificates, Series 2006-25-1A (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 06/25/2047 27,539,671 8,213,544 Countrywide Asset Backed Certificates, Series 2006-26-1A (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 06/25/2037 7,653,307 16,774,500 Countrywide Asset Backed Certificates, Series 2007-BC1-1A (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 05/25/2037 15,387,645 213,255 Countrywide Asset-Backed Certificates, Series 2005-13-AF3 5.43% # 02/25/2033 204,168 22,130,718 Countrywide Asset-Backed Certificates, Series 2007-4-A5 4.67% ß 04/25/2047 20,114,276 819,858 Countrywide Home Loans, Series 2003-60-4A1 3.64% # 02/25/2034 858,546 1,551,420 Countrywide Home Loans, Series 2004-R2-1AF1 (1 Month LIBOR USD + 0.42%, 0.42% Floor, 9.50% Cap) 0.57% ^ 11/25/2034 1,403,755 1,509,528 Countrywide Home Loans, Series 2004-R2-1AS 5.99% #^I/O 11/25/2034 122,217 3,567,598 Countrywide Home Loans, Series 2005-20-A5 5.50% 10/25/2035 3,140,827 2,639,793 Countrywide Home Loans, Series 2005-20-A8 5.25% 10/25/2035 2,357,121 8,745,270 Countrywide Home Loans, Series 2005-23-A1 5.50% 11/25/2035 6,937,488 2,002,047 Countrywide Home Loans, Series 2005-24-A8 5.50% 11/25/2035 1,605,805 667,711 Countrywide Home Loans, Series 2005-27-2A1 5.50% 12/25/2035 486,362 1,317,199 Countrywide Home Loans, Series 2005-28-A7 5.25% 01/25/2019 1,073,302 11,295,095 Countrywide Home Loans, Series 2005-HYB1-4A1 3.33% # 03/25/2035 11,822,769 831,358 Countrywide Home Loans, Series 2005-HYB8-1A1 2.87% # 12/20/2035 757,637 1,705,793 Countrywide Home Loans, Series 2005-J3-2A4 4.50% 09/25/2035 1,689,068 974,894 Countrywide Home Loans, Series 2005-J4-A5 5.50% 11/25/2035 945,113 487,505 Countrywide Home Loans, Series 2005-R1-1AF1 (1 Month LIBOR USD + 0.36%, 0.36% Floor, 9.50% Cap) 0.51% ^ 03/25/2035 452,840 483,078 Countrywide Home Loans, Series 2005-R1-1AS 5.96% #^I/O 03/25/2035 80,308 4,183,747 Countrywide Home Loans, Series 2006-16-2A1 6.50% 11/25/2036 2,639,750 4,214,581 Countrywide Home Loans, Series 2006-1-A2 6.00% 03/25/2036 3,255,700 1,714,308 Countrywide Home Loans, Series 2006-20-1A21 6.00% 02/25/2037 1,322,791 826,329 Countrywide Home Loans, Series 2006-J3-A4 5.50% 05/25/2036 863,895 5,241,020 Countrywide Home Loans, Series 2007-10-A7 6.00% 07/25/2037 3,951,049 15,430,249 Countrywide Home Loans, Series 2007-11-A1 6.00% 08/25/2037 11,199,927 9,415,282 Countrywide Home Loans, Series 2007-12-A9 5.75% 08/25/2037 7,632,746 3,899,959 Countrywide Home Loans, Series 2007-13-A1 6.00% 08/25/2037 3,003,658 6,390,297 Countrywide Home Loans, Series 2007-13-A10 6.00% 08/25/2037 4,921,660 4,828,438 Countrywide Home Loans, Series 2007-15-1A1 6.25% 09/25/2037 4,105,916 674,423 Countrywide Home Loans, Series 2007-15-1A16 6.25% 09/25/2037 573,503 2,372,628 Countrywide Home Loans, Series 2007-15-1A29 6.25% 09/25/2037 2,017,344 4,944,935 Countrywide Home Loans, Series 2007-17-1A2 6.00% 10/25/2037 4,444,485 696,601 Countrywide Home Loans, Series 2007-18-1A1 6.00% 11/25/2037 555,865 4,890,169 Countrywide Home Loans, Series 2007-3-A1 6.00% 04/25/2037 3,665,922 1,883,377 Countrywide Home Loans, Series 2007-3-A12 6.00% 04/25/2037 1,411,876 3,949,716 Countrywide Home Loans, Series 2007-4-1A39 6.00% 05/25/2037 2,772,886 1,612,208 Countrywide Home Loans, Series 2007-5-A2 5.75% 05/25/2037 1,250,779 5,504,252 Countrywide Home Loans, Series 2007-7-A1 6.00% 06/25/2037 4,363,578 1,649,987 Countrywide Home Loans, Series 2007-7-A2 5.75% 06/25/2037 1,279,863 5,478,761 Countrywide Home Loans, Series 2007-8-1A4 6.00% 01/25/2038 3,935,805 2,875,234 Countrywide Home Loans, Series 2007-8-1A5 5.44% 01/25/2038 1,949,376 6,675,688 Countrywide Home Loans, Series 2007-8-1A9 (1 Month LIBOR USD + 6.00%, 4.00% Floor, 6.00% Cap) 6.00% 01/25/2038 4,696,200 1,050,292 Countrywide Home Loans, Series 2007-9-A11 5.75% 07/25/2037 799,093 6,056,911 Countrywide Home Loans, Series 2007-HY1-1A1 3.67% # 04/25/2037 5,835,358 17,957,613 Countrywide Home Loans, Series 2007-J1-2A1 6.00% 02/25/2037 10,669,977 463,176 Countrywide Home Loans, Series 2007-J3-A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap) 0.65% 07/25/2037 164,496 2,315,880 Countrywide Home Loans, Series 2007-J3-A2 (-1 x 1 Month LIBOR USD + 5.50%, 5.50% Cap) 5.35% I/F I/O 07/25/2037 673,824 4,337,371 Credit Suisse First Boston Mortgage Backed Trust, Series 2006-3-A4B 6.61% 11/25/2036 1,240,221 2,599,644 Credit Suisse First Boston Mortgage Backed Trust, Series 2006-4-A6A 6.18% 12/25/2036 921,022 9,451,471 Credit Suisse First Boston Mortgage Backed Trust, Series 2007-1-1A1A 5.90% # 05/25/2037 3,589,527 12,841 Credit Suisse First Boston Mortgage Securities Corporation, Series 2004-AR8-2A1 2.97% # 09/25/2034 12,856 2,860,395 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A4 5.50% 11/25/2035 2,590,490 602,142 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A5 5.50% 11/25/2035 545,324 8,143,376 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-5A1 5.25% 01/25/2036 8,057,452 9,643,438 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-7A1 7.00% 01/25/2036 2,241,274 3,797,629 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-3A10 5.50% 09/25/2035 3,796,241 3,895,524 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-7A1 7.00% 09/25/2035 2,685,091 1,302,754 Credit Suisse Mortgage Capital Certificates, Series 2005-1R-2A5 5.75% ^ 12/26/2035 1,167,090 13,034,646 Credit Suisse Mortgage Capital Certificates, Series 2006-1-2A1 6.00% 02/25/2036 7,261,280 2,280,804 Credit Suisse Mortgage Capital Certificates, Series 2006-2-3A1 6.50% 03/25/2036 955,019 2,733,012 Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 6.00% Cap) 0.85% 03/25/2036 875,349 15,276,280 Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A2 (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap) 5.15% I/F I/O 03/25/2036 3,668,424 3,182,028 Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A3 6.25% 03/25/2036 2,145,735 8,611,840 Credit Suisse Mortgage Capital Certificates, Series 2006-2-5A4 6.00% 03/25/2036 5,644,865 1,973,428 Credit Suisse Mortgage Capital Certificates, Series 2006-3-4A3 5.50% 04/25/2036 1,710,337 1,192,988 Credit Suisse Mortgage Capital Certificates, Series 2006-3-4A4 5.50% 04/25/2036 1,035,789 3,084,393 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 2,460,749 20,283,176 Credit Suisse Mortgage Capital Certificates, Series 2006-4-4A1 7.00% 05/25/2036 7,615,120 8,369,557 Credit Suisse Mortgage Capital Certificates, Series 2006-6-1A4 6.00% 07/25/2036 6,621,463 10,176,971 Credit Suisse Mortgage Capital Certificates, Series 2006-6-3A1 7.00% 07/25/2036 2,082,552 152,193 Credit Suisse Mortgage Capital Certificates, Series 2006-7-3A11 6.00% 08/25/2036 99,100 2,291,520 Credit Suisse Mortgage Capital Certificates, Series 2006-7-7A5 6.00% 08/25/2036 2,156,916 4,424,116 Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1 5.50% 11/25/2036 4,219,752 16,735,363 Credit Suisse Mortgage Capital Certificates, Series 2006-9-3A1 6.00% 11/25/2036 15,728,703 4,813,138 Credit Suisse Mortgage Capital Certificates, Series 2006-9-4A1 6.00% 11/25/2036 3,991,741 2,425,425 Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A14 6.00% 11/25/2036 2,368,662 394,077 Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A15 (-6 x 1 Month LIBOR USD + 39.90%, 39.90% Cap) 39.00% I/F 11/25/2036 850,985 9,746,589 Credit Suisse Mortgage Capital Certificates, Series 2007-1-1A4 6.13% # 02/25/2037 4,122,893 4,220,768 Credit Suisse Mortgage Capital Certificates, Series 2007-1-5A14 6.00% 02/25/2037 3,780,530 6,474,582 Credit Suisse Mortgage Capital Certificates, Series 2007-3-2A10 6.00% 04/25/2037 4,086,338 4,345,256 Credit Suisse Mortgage Capital Certificates, Series 2007-5-2A5 5.00% 08/25/2037 4,102,371 36,996,577 Credit Suisse Mortgage Capital Certificates, Series 2007-5-3A19 6.00% 08/25/2037 32,134,753 16,385,637 Credit Suisse Mortgage Capital Certificates, Series 2007-5-3A9 6.00% 08/25/2037 14,226,899 5,024,934 Credit Suisse Mortgage Capital Certificates, Series 2008-2R-1A1 6.00% ^ 07/25/2037 4,272,619 536,378 Credit Suisse Mortgage Capital Certificates, Series 2009-1R-4A2 3.08% #^ 07/20/2035 500,164 2,708,288 Credit Suisse Mortgage Capital Certificates, Series 2010-13R-1A2 5.50% #^ 12/26/2035 2,696,712 46,427,388 Credit Suisse Mortgage Capital Certificates, Series 2010-17R-6A1 3.17% #^ 06/26/2037 46,861,368 6,913,391 Credit Suisse Mortgage Capital Certificates, Series 2010-4R-8A17 6.00% #^ 06/26/2037 7,117,589 9,603,541 Credit Suisse Mortgage Capital Certificates, Series 2012-10R-4A2 2.88% #^ 08/26/2046 8,293,987 24,808,960 Credit Suisse Mortgage Capital Certificates, Series 2013-9R-A1 3.00% #^ 05/27/2043 24,284,640 12,140,712 Credit Suisse Mortgage Capital Certificates, Series 2020-BPL1-A2 4.52% ^§ 02/25/2024 12,248,011 11,043,991 Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB4-AV3 (1 Month LIBOR USD + 0.30%, 0.30% Floor) 0.45% 05/25/2036 9,002,345 2,345,750 Credit-Based Asset Servicing and Securitization LLC, Series 2007-MX1-A3 5.83% ^ß 12/25/2036 2,354,876 8,292,120 CSMC Mortgage-Backed Trust, Series 2006-4-6A1 6.00% 05/25/2036 4,904,254 5,453,663 CSMC Mortgage-Backed Trust, Series 2007-1-3A1 6.00% 02/25/2022 1,617,036 44,977 CSMC Mortgage-Backed Trust, Series 2007-2-2A1 5.00% 03/25/2037 43,674 11,342,561 CSMC Mortgage-Backed Trust, Series 2019-RPL6-CERT 4.10% ^ 11/25/2058 10,416,355 263,696,583 CSMC Mortgage-Backed Trust, Series 2019-RPL6-PT1 3.80% #^ 11/25/2058 273,435,742 22,873,899 CSMC Mortgage-Backed Trust, Series 2019-RPL8-A1 3.32% #^ 10/25/2058 23,094,838 8,230,589 CSMC Trust, Series 2009-12R-5A1 6.00% ^Þ 06/27/2036 7,570,816 14,002,529 CSMC Trust, Series 2010-4R-3A17 6.00% #^ 06/26/2037 14,144,274 65,917,382 CSMC Trust, Series 2018-RPL8-A1 4.13% #^ 07/25/2058 66,199,970 95,585,620 CSMC Trust, Series 2019-JR1-A1 4.10% #^ 09/27/2066 97,104,131 62,106,266 CSMC Trust, Series 2019-RPL2-A1 3.86% #^ 11/25/2058 63,920,911 4,227,000 CSMC Trust, Series 2020-AFC1-B1 3.45% #^ 02/25/2050 4,218,385 13,040,427 CSMC Trust, Series 2020-RPL1-CERT 3.23% ^ 01/25/2046 11,617,481 249,444,311 CSMC Trust, Series 2020-RPL1-PT1 3.44% ^ 10/25/2069 251,431,884 95,113,997 CSMC Trust, Series 2017-RPL2-CERT 0.01% ^ 02/25/2056 79,596,462 17,192,375 CSMC Trust, Series 2018-RPL8-A1 4.06% ^I/O 07/25/2058 17,722,256 2,855,155 Deephaven Residential Mortgage Trust, Series 2018-3A-A2 3.89% #^ 08/25/2058 2,833,219 2,779,324 Deephaven Residential Mortgage Trust, Series 2018-3A-A3 3.96% #^ 08/25/2058 2,758,556 23,208,604 Deutsche ALT-A Securities Mortgage Loan Trust, Series 2007-OA3-A2 (1 Month LIBOR USD + 0.25%, 0.25% Floor) 0.40% 07/25/2047 20,664,256 11,254,890 Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-4-A5 5.50% # 09/25/2035 11,214,597 573,257 Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-1A6 (-7 x 1 Month LIBOR USD + 35.93%, 35.93% Cap) 34.85% I/F 11/25/2035 1,005,109 714,477 Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 5.50% Cap) 0.35% 11/25/2035 287,155 2,156,369 Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A2 (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap) 5.15% I/F I/O 11/25/2035 249,959 19,114,679 Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-2-2A1 (1 Month LIBOR USD + 0.30%, 0.30% Floor) 0.45% 09/25/2047 17,118,638 12,679,837 Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA5-A1B (1 Month LIBOR USD + 0.22%, 0.22% Floor) 0.37% 08/25/2047 11,957,348 4,597,102 Deutsche ALT-B Securities Mortgage Loan Trust, Series 2006-AB1-A1C 5.67% # 02/25/2036 4,589,346 664,130 Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2-A2 5.02% # 06/25/2036 646,520 15,533,950 Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A2 5.65% # 10/25/2036 15,006,919 1,106,607 Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3 5.90% # 10/25/2036 1,068,870 1,621,632 Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3A1 5.90% # 10/25/2036 1,564,731 3,216,609 Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A6A1 6.37% 10/25/2036 3,101,114 5,602,799 Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap) 11.90% ^I/F 04/15/2036 5,139,022 3,484,665 Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI1 (-1 x 1 Month LIBOR USD + 12.11%, 12.11% Cap) 11.89% ^I/F 04/15/2036 3,482,018 5,672,398 Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI2 (-2 x 1 Month LIBOR USD + 14.60%, 14.61% Cap) 14.30% ^I/F 04/15/2036 5,929,062 450,443 Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI1 (-3 x 1 Month LIBOR USD + 19.35%, 19.35% Cap) 18.87% ^I/F 04/15/2036 551,006 3,942,794 Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI3 (-1 x 1 Month LIBOR USD + 12.57%, 12.57% Cap) 12.35% ^I/F 04/15/2036 3,960,083 65,302,620 Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap) 11.90% ^I/F 04/15/2036 65,169,880 7,331,713 Deutsche Securities, Inc., Series 2005-6-2A1 5.50% 12/25/2035 7,243,585 1,112,415 Deutsche Securities, Inc., Series 2006-AB4-A1A 6.01% # 10/25/2036 1,074,398 24,664,155 Eagle Ltd., Series 2019-1-M1B (1 Month LIBOR USD + 1.80%) 1.95% ^ 04/25/2029 24,560,506 15,199,237 Equifirst Loan Securitization Trust, Series 2007-1-A2B (1 Month LIBOR USD + 0.19%, 0.19% Floor) 0.34% 04/25/2037 14,499,290 56,136,292 Figure Line of Credit Trust, Series 2020-1-A 4.04% #^ 09/25/2049 56,327,290 23,460,280 First Franklin Mortgage Loan Trust, Series 2007-FF2-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 03/25/2037 16,549,721 26,171,925 First Franklin Mortgage Loan Trust, Series 2007-FF2-A2C (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.30% 03/25/2037 16,400,582 4,734,220 First Horizon Alternative Mortgage Securities Trust, Series 2005-AA4-1A1 2.44% # 05/25/2035 3,554,693 5,259,139 First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8-1A4 5.50% 11/25/2035 3,986,462 276,811 First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8-2A1 5.00% 11/25/2020 276,020 2,194,813 First Horizon Alternative Mortgage Securities Trust, Series 2006-AA3-A1 2.55% # 06/25/2036 2,004,041 2,345,407 First Horizon Alternative Mortgage Securities Trust, Series 2006-FA1-1A12 6.00% 04/25/2036 1,671,326 7,870,302 First Horizon Alternative Mortgage Securities Trust, Series 2006-FA1-1A3 5.75% 04/25/2036 5,466,335 1,705,627 First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2-1A5 6.00% 05/25/2036 1,204,097 2,401,483 First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8-1A5 6.00% 02/25/2037 1,601,645 4,553,777 First Horizon Alternative Mortgage Securities Trust, Series 2006-RE1-A1 5.50% 05/25/2035 3,972,276 13,318,497 First Horizon Alternative Mortgage Securities Trust, Series 2007-FA3-A3 6.00% 06/25/2037 8,421,048 685,305 First Horizon Alternative Mortgage Securities Trust, Series 2007-FA3-A4 6.00% 06/25/2037 433,306 792,228 First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A13 6.25% 08/25/2037 538,597 2,445,668 First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A4 6.25% 08/25/2037 1,662,690 1,149,113 First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A5 6.25% 08/25/2037 781,226 1,177,787 First Horizon Mortgage Pass-Through Trust, Series 2006-1-1A2 6.00% 05/25/2036 843,744 3,102,857 First Horizon Mortgage Pass-Through Trust, Series 2007-1-A3 6.00% 03/25/2037 2,145,173 2,315,011 First Horizon Mortgage Pass-Through Trust, Series 2007-4-1A1 6.00% 08/25/2037 1,660,796 9,000,000 FirstKey Homes Trust, Series 2020-SFR1-E 2.79% ^ 08/17/2037 9,210,467 18,000,000 FirstKey Homes Trust, Series 2020-SFR2-D 1.97% ^ 10/19/2037 17,808,723 26,225,000 FirstKey Homes Trust, Series 2020-SFR2-E 2.67% ^ 10/19/2037 26,260,351 72,500,000 FMC GMSR Issuer Trust, Series 2019-GT1-A 5.07% #^ 05/25/2024 73,493,554 75,700,000 FMC GMSR Issuer Trust, Series 2019-GT2-A 4.23% #^ 09/25/2024 74,468,437 61,200,000 FMC GMSR Issuer Trust, Series 2020-GT1-A 4.45% #^ 01/25/2026 61,626,686 144,580,289 Fremont Home Loan Trust, Series 2006-D-1A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 11/25/2036 99,605,843 2,751,000 GCAT LLC, Series 2019-NQM3-M1 3.45% #^ 11/25/2059 2,721,440 23,705,637 GCAT LLC, Series 2020-2-A1 3.72% ^§ 06/25/2025 23,801,275 46,273,000 GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2-A2D (1 Month LIBOR USD + 0.64%, 0.64% Floor) 0.79% 12/25/2035 44,503,442 38,557,822 GE-WMC Mortgage Securities Trust, Series 2006-1-A2B (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.30% 08/25/2036 24,407,961 3,034,644 GMACM Mortgage Loan Trust, Series 2005-AR5-3A1 3.57% # 09/19/2035 2,830,579 26,546,416 GreenPoint Mortgage Funding Trust, Series 2005-AR3-2A1 (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap) 0.67% 08/25/2045 15,051,818 26,477,414 GreenPoint Mortgage Funding Trust, Series 2007-AR2-1A3 (1 Month LIBOR USD + 0.24%, 0.24% Floor) 0.39% 04/25/2047 24,409,976 998,680 GS Mortgage Securities Corporation, Series 2008-2R-1A1 7.49% #^Þ 09/25/2036 568,833 189,346,482 GS Mortgage-Backed Securities Trust, Series 2020-RPL2-A1 1.75% #^ 05/25/2060 194,620,728 12,540,000 GS Mortgage-Backed Securities Trust, Series 2020-RPL2-M1 2.25% #^ 05/25/2060 12,671,043 10,237,000 GS Mortgage-Backed Securities Trust, Series 2020-RPL2-M2 2.75% #^ 05/25/2060 10,331,815 9,341,000 GS Mortgage-Backed Securities Trust, Series 2020-RPL2-M3 3.00% #^ 05/25/2060 9,246,506 32,080,150 GS Mortgage-Backed Securities Trust, Series 2020-RPL2-PT4 8.42% ^± 05/25/2060 35,093,887 157,083 GSAA Home Equity Trust, Series 2005-12-AF3 5.07% # 09/25/2035 135,106 9,015,961 GSAA Home Equity Trust, Series 2006-10-AF3 5.98% # 06/25/2036 3,691,087 6,452,878 GSAA Home Equity Trust, Series 2006-10-AF4 6.30% ß 06/25/2036 2,640,094 12,113,712 GSAA Home Equity Trust, Series 2006-15-AF4 5.96% ß 09/25/2036 5,136,158 1,974,280 GSAA Home Equity Trust, Series 2006-18-AF3A 5.77% # 11/25/2036 842,481 4,462,612 GSAA Home Equity Trust, Series 2006-18-AF6 5.68% ß 11/25/2036 1,737,120 8,488,427 GSAA Home Equity Trust, Series 2006-19-A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.33% 12/25/2036 3,442,648 4,760,363 GSAA Home Equity Trust, Series 2007-10-A1A 6.00% 11/25/2037 4,052,608 2,642,819 GSAA Home Equity Trust, Series 2007-10-A2A 6.50% 11/25/2037 1,782,244 21,666,818 GSAMP Trust, Series 2006-HE6-A3 (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.30% 08/25/2036 18,746,344 8,467,675 GSAMP Trust, Series 2007-H1-A2B (1 Month LIBOR USD + 0.20%, 0.20% Floor) 0.35% 01/25/2047 5,792,987 9,348,093 GSMPS Mortgage Loan Trust, Series 2005-RP2-1AF (1 Month LIBOR USD + 0.35%, 0.35% Floor) 0.50% ^ 03/25/2035 8,524,989 9,348,093 GSMPS Mortgage Loan Trust, Series 2005-RP2-1AS 4.42% #^I/O 03/25/2035 1,308,243 5,655,391 GSMPS Mortgage Loan Trust, Series 2005-RP3-1AF (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap) 0.50% ^ 09/25/2035 4,711,860 5,655,391 GSMPS Mortgage Loan Trust, Series 2005-RP3-1AS 4.24% #^I/O 09/25/2035 788,402 21,563,791 GSMPS Mortgage Loan Trust, Series 2006-RP1-1AF1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.15% Cap) 0.50% ^ 01/25/2036 17,622,161 21,563,791 GSMPS Mortgage Loan Trust, Series 2006-RP1-1AS 4.16% #^I/O 01/25/2036 2,561,558 22,823,226 GSMSC Resecuritization Trust, Series 2014-3R-2B (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.33% ^ 09/26/2036 15,664,203 1,215,318 GSR Mortgage Loan Trust, Series 2005-1F-1A2 5.50% 02/25/2035 1,252,993 2,507,914 GSR Mortgage Loan Trust, Series 2005-1F-3A3 6.00% 01/25/2035 2,582,163 371,716 GSR Mortgage Loan Trust, Series 2005-6F-3A5 6.00% 07/25/2035 401,970 3,795,773 GSR Mortgage Loan Trust, Series 2005-6F-3A9 (-1 x 1 Month LIBOR USD + 6.90%, 6.90% Cap) 6.75% I/F I/O 07/25/2035 420,153 345,773 GSR Mortgage Loan Trust, Series 2005-6F-4A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap) 0.65% 07/25/2035 317,372 183,143 GSR Mortgage Loan Trust, Series 2005-7F-3A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap) 0.65% 09/25/2035 174,131 8,262,933 GSR Mortgage Loan Trust, Series 2005-8F-3A5 6.00% 11/25/2035 5,332,301 2,166,167 GSR Mortgage Loan Trust, Series 2005-8F-4A1 6.00% 11/25/2035 1,493,383 514,908 GSR Mortgage Loan Trust, Series 2006-1F-1A2 5.50% 02/25/2036 652,073 518,143 GSR Mortgage Loan Trust, Series 2006-2F-2A3 5.75% 02/25/2036 513,660 2,124,938 GSR Mortgage Loan Trust, Series 2006-2F-3A3 6.00% 02/25/2036 1,510,683 2,552,036 GSR Mortgage Loan Trust, Series 2006-2F-3A6 6.00% 02/25/2036 1,814,086 21,133,266 GSR Mortgage Loan Trust, Series 2006-5F-3A1 6.50% 06/25/2036 14,749,703 6,230,232 GSR Mortgage Loan Trust, Series 2006-6F-2A3 6.00% 07/25/2036 4,872,603 4,188,805 GSR Mortgage Loan Trust, Series 2006-7F-3A4 6.25% 08/25/2036 2,243,988 13,025,905 GSR Mortgage Loan Trust, Series 2006-9F-4A1 6.50% 10/25/2036 9,340,386 591,451 GSR Mortgage Loan Trust, Series 2007-1F-2A2 5.50% 01/25/2037 810,634 1,311,268 GSR Mortgage Loan Trust, Series 2007-4F-1A1 5.00% 07/25/2037 1,609,315 15,819,397 GSR Mortgage Loan Trust, Series 2007-4F-3A11 6.00% 07/25/2037 14,065,287 768,579 HarborView Mortgage Loan Trust, Series 2005-14-3A1A 2.99% # 12/19/2035 736,916 26,118,471 HarborView Mortgage Loan Trust, Series 2005-8-1A1A (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.00% Cap) 0.77% 09/19/2035 17,213,114 49,621,921 HarborView Mortgage Loan Trust, Series 2005-8-2A1A (12 Month US Treasury Average + 1.55%, 1.55% Floor) 2.16% 09/19/2035 32,876,398 5,155,632 HarborView Mortgage Loan Trust, Series 2006-10-2A1A (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.33% 11/19/2036 5,097,326 9,298,918 HarborView Mortgage Loan Trust, Series 2006-11-A1A (1 Month LIBOR USD + 0.34%, 0.34% Floor) 0.49% 12/19/2036 8,514,618 46,573,797 HarborView Mortgage Loan Trust, Series 2006-14-1A1A (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.33% 01/25/2047 45,176,122 80,041,956 HarborView Mortgage Loan Trust, Series 2006-8-1A1 (1 Month LIBOR USD + 0.40%) 0.55% 07/21/2036 50,810,706 13,767,913 HarborView Mortgage Loan Trust, Series 2006-BU1-1A1A (1 Month LIBOR USD + 0.21%, 0.21% Floor, 10.50% Cap) 0.57% 02/19/2046 12,648,952 20,118,007 HarborView Mortgage Loan Trust, Series 2007-7-1A1 (1 Month LIBOR USD + 1.00%, 10.50% Cap) 1.15% 10/25/2037 18,503,066 6,620,894 HMIR, Series 2019-1-M1 (1 Month LIBOR USD + 1.65%) 1.80% ^ 05/25/2029 6,571,627 756,334 Home Equity Asset Trust, Series 2003-3-M1 (1 Month LIBOR USD + 1.29%, 1.29% Floor) 1.44% 08/25/2033 754,455 860,125 Home Equity Asset Trust, Series 2004-7-M2 (1 Month LIBOR USD + 0.99%, 0.99% Floor) 1.14% 01/25/2035 860,223 12,182,000 Home Equity Mortgage Loan Asset Backed Trust, Series 2006-B-2A4 (1 Month LIBOR USD + 0.56%, 0.56% Floor) 0.71% 06/25/2036 10,939,406 9,061,230 Home Equity Mortgage Loan Asset Backed Trust, Series 2006-D-2A4 (1 Month LIBOR USD + 0.24%, 0.24% Floor) 0.39% 11/25/2036 7,406,912 9,316,162 Home Equity Mortgage Loan Asset Backed Trust, Series 2007-B-1A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor) 0.34% 07/25/2037 5,211,765 9,316,162 Home Equity Mortgage Loan Asset Backed Trust, Series 2007-B-1A2 (1 Month LIBOR USD + 0.19%, 0.19% Floor) 0.34% 07/25/2037 5,211,765 3,907,592 Home Partners of America Trust, Series 2019-2-C 3.02% ^ 10/19/2039 4,081,821 4,157,013 Home Partners of America Trust, Series 2019-2-D 3.12% ^ 10/19/2039 4,337,040 7,824,965 Home Partners of America Trust, Series 2019-2-E 3.32% ^ 10/19/2039 8,092,735 697,841 HomeBanc Mortgage Trust, Series 2005-1-M2 (1 Month LIBOR USD + 0.49%, 0.49% Floor, 11.50% Cap) 0.88% 03/25/2035 624,856 65,500,000 Homeward Opportunities Fund Trust, Series 2020-BPL1-A1 3.23% ^§ 08/25/2025 65,608,704 21,486,503 HSI Asset Loan Obligation Trust, Series 2007-2-3A6 6.00% 09/25/2037 11,431,851 1,082,836 HSI Asset Loan Obligation Trust, Series 2007-AR1-3A1 2.59% # 01/25/2037 1,048,915 15,878,150 HSI Asset Loan Obligation Trust, Series 2007-WF1-A3 4.84% ß 12/25/2036 7,766,435 32,132,118 HSI Asset Securitization Corporation, Series 2006-HE1-1A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 10/25/2036 14,525,077 7,290,766 Impac Secured Assets Trust, Series 2007-1-A2 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 11.50% Cap) 0.31% 03/25/2037 7,151,684 422,385 Impac Trust, Series 2002-9F-A1 5.22% 12/25/2032 438,393 4,276,073 IndyMac IMSC Mortgage Loan Trust, Series 2007-HOA1-A11 (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.33% 07/25/2047 3,358,516 8,016,892 IndyMac Mortgage Loan Trust , Series 2005-AR15-A1 3.17% # 09/25/2035 7,715,636 7,580,090 IndyMac Mortgage Loan Trust , Series 2007-AR21-8A1 3.04% # 09/25/2037 7,635,200 1,341,631 IndyMac Mortgage Loan Trust, Series 2006-AR2-1A1 3.12% # 09/25/2036 1,080,149 1,570,471 IndyMac Mortgage Loan Trust, Series 2006-AR2-4A1 3.13% # 09/25/2036 1,438,998 13,030,655 IndyMac Mortgage Loan Trust, Series 2006-AR3-1A1 3.03% # 12/25/2036 12,291,658 4,185,209 IndyMac Mortgage Loan Trust, Series 2006-AR7-3A1 3.31% # 05/25/2036 3,758,111 3,475,527 IndyMac Mortgage Loan Trust, Series 2007-A1-A1 6.00% 08/25/2037 2,095,817 2,544,357 IndyMac Mortgage Loan Trust, Series 2007-A1-A7 6.00% 08/25/2037 1,534,302 9,943,566 IndyMac Mortgage Loan Trust, Series 2007-A2-1A1 6.00% 10/25/2037 7,930,895 12,740,699 IndyMac Mortgage Loan Trust, Series 2007-A2-2A3 6.50% 10/25/2037 10,004,634 19,605,950 IndyMac Mortgage Loan Trust, Series 2007-A2-3A1 7.00% 10/25/2037 9,292,201 17,997,982 IndyMac Mortgage Loan Trust, Series 2007-A3-A1 6.25% 11/25/2037 11,669,337 5,042,370 IndyMac Mortgage Loan Trust, Series 2007-AR13-2A1 3.24% # 07/25/2037 4,033,028 4,331,843 IndyMac Mortgage Loan Trust, Series 2007-AR1-3A1 3.03% # 03/25/2037 4,175,043 3,175,731 IndyMac Mortgage Loan Trust, Series 2007-AR3-3A1 2.88% # 07/25/2037 3,089,545 31,555,705 IndyMac Mortgage Loan Trust, Series 2007-F1-2A1 6.50% 06/25/2037 14,425,303 361,422 IndyMac Mortgage Loan Trust, Series 2007-F2-1A2 6.00% 07/25/2037 351,885 25,134,874 IndyMac Mortgage Loan Trust, Series 2007-F2-2A1 6.50% 07/25/2037 13,406,904 7,788,538 JP Morgan Alternative Loan Trust, Series 2005-S1-2A11 6.00% 12/25/2035 7,051,459 2,496,839 JP Morgan Alternative Loan Trust, Series 2005-S1-2A9 6.00% 12/25/2035 2,260,547 4,709,814 JP Morgan Alternative Loan Trust, Series 2006-A2-1A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor, 11.50% Cap) 0.51% 05/25/2036 4,407,907 2,900,319 JP Morgan Alternative Loan Trust, Series 2006-S1-1A8 5.75% 03/25/2036 2,244,801 10,689,425 JP Morgan Alternative Loan Trust, Series 2006-S2-A4 6.69% 05/25/2036 10,342,805 17,075,225 JP Morgan Alternative Loan Trust, Series 2006-S4-A4 5.96% ß 12/25/2036 16,894,137 2,179,200 JP Morgan Mortgage Acquisition Corporation, Series 2005-WMC1-M4 (1 Month LIBOR USD + 0.90%, 0.90% Floor) 1.05% 09/25/2035 1,881,381 8,100,168 JP Morgan Mortgage Acquisition Trust, Series 2006-CH2-AF3 5.46% ß 09/25/2029 6,497,300 14,411,449 JP Morgan Mortgage Acquisition Trust, Series 2006-HE3-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 11/25/2036 13,349,337 27,079,045 JP Morgan Mortgage Acquisition Trust, Series 2006-RM1-A3 (1 Month LIBOR USD + 0.12%, 0.12% Floor) 0.27% 08/25/2036 15,078,208 25,027,661 JP Morgan Mortgage Acquisition Trust, Series 2006-RM1-A4 (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.33% 08/25/2036 14,140,025 3,477,965 JP Morgan Mortgage Acquisition Trust, Series 2006-WF1-A5 6.91% 07/25/2036 1,647,902 5,420,123 JP Morgan Mortgage Acquisition Trust, Series 2006-WMC4-A1A (1 Month LIBOR USD + 0.13%, 0.13% Floor) 0.28% 12/25/2036 4,216,992 23,000,000 JP Morgan Mortgage Acquisition Trust, Series 2007-CH1-AF5 4.83% ß 11/25/2036 24,955,361 9,690,000 JP Morgan Mortgage Acquisition Trust, Series 2007-CH3-M2 (1 Month LIBOR USD + 0.32%, 0.32% Floor) 0.47% 03/25/2037 8,919,768 648,220 JP Morgan Mortgage Trust, Series 2005-A6-5A1 3.00% # 08/25/2035 629,988 5,808,408 JP Morgan Mortgage Trust, Series 2005-S1-1A2 6.50% 01/25/2035 6,685,660 544,485 JP Morgan Mortgage Trust, Series 2005-S2-2A13 5.50% 09/25/2035 532,097 1,218,302 JP Morgan Mortgage Trust, Series 2006-S2-3A3 6.00% 07/25/2036 744,206 3,788,426 JP Morgan Mortgage Trust, Series 2006-S2-3A5 6.25% 07/25/2036 2,469,004 2,416,316 JP Morgan Mortgage Trust, Series 2006-S3-1A2 6.00% 08/25/2036 1,683,309 7,879,502 JP Morgan Mortgage Trust, Series 2006-S3-1A21 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.50% Cap) 0.53% 08/25/2036 1,456,001 7,879,502 JP Morgan Mortgage Trust, Series 2006-S3-1A22 (-1 x 1 Month LIBOR USD + 7.12%, 7.12% Cap) 6.97% I/F I/O 08/25/2036 2,737,376 1,125,941 JP Morgan Mortgage Trust, Series 2006-S3-1A9 6.00% 08/25/2036 784,379 6,987,994 JP Morgan Mortgage Trust, Series 2006-S4-A3 6.00% 01/25/2037 4,583,403 2,909,706 JP Morgan Mortgage Trust, Series 2006-S4-A5 6.00% 01/25/2037 1,945,534 6,473,236 JP Morgan Mortgage Trust, Series 2006-S4-A8 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.00% Cap) 0.53% 01/25/2037 1,985,098 6,473,236 JP Morgan Mortgage Trust, Series 2006-S4-A9 (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap) 6.47% I/F I/O 01/25/2037 2,125,340 1,158,099 JP Morgan Mortgage Trust, Series 2007-A2-2A1 3.55% # 04/25/2037 1,055,936 7,696,232 JP Morgan Mortgage Trust, Series 2007-S1-2A6 6.00% 03/25/2037 5,073,445 2,241,452 JP Morgan Mortgage Trust, Series 2007-S3-1A1 5.50% 08/25/2037 1,602,710 5,057,085 JP Morgan Mortgage Trust, Series 2007-S3-1A35 6.00% 08/25/2037 3,665,131 1,931,236 JP Morgan Mortgage Trust, Series 2007-S3-1A64 7.50% 08/25/2037 1,138,629 851,999 JP Morgan Mortgage Trust, Series 2007-S3-1A9 6.00% 08/25/2037 614,786 4,662,876 JP Morgan Mortgage Trust, Series 2007-S3-1A96 6.00% 08/25/2037 3,372,763 5,314,545 JP Morgan Mortgage Trust, Series 2007-S3-1A97 6.00% 08/25/2037 3,845,899 180,291 JP Morgan Mortgage Trust, Series 2007-S3-2A2 5.50% 08/25/2022 186,454 6,303,265 JP Morgan Resecuritization Trust, Series 2009-4-3A2 6.00% ^ 02/26/2037 4,658,316 16,566,666 JP Morgan Resecuritization Trust, Series 2009-7-7A1 7.00% #^Þ 09/27/2037 11,399,473 11,543,143 JP Morgan Resecuritization Trust, Series 2010-1-1A4 6.00% ^ 02/26/2037 8,887,329 5,955,377 JP Morgan Resecuritization Trust, Series 2010-1-2A11 7.00% ^ 01/26/2037 4,157,885 13,515,000 Legacy Mortgage Asset Trust 2019-GS4, Series 2018-GS3-A2 4.25% ^§ 06/25/2058 13,543,422 48,378,663 Legacy Mortgage Asset Trust, Series 2018-GS3-A1 4.00% ^§ 06/25/2058 48,772,025 37,458,847 Legacy Mortgage Asset Trust, Series 2019-GS1-A1 4.00% ^§ 01/25/2059 38,415,719 37,116,381 Legacy Mortgage Asset Trust, Series 2019-GS2-A1 3.75% ^§ 01/25/2059 37,270,006 25,126,041 Legacy Mortgage Asset Trust, Series 2019-GS5-A1 3.20% ^§ 05/25/2059 25,405,634 29,406,000 Legacy Mortgage Asset Trust, Series 2019-GS5-A2 4.25% ^§ 05/25/2059 29,430,207 178,157,880 Legacy Mortgage Asset Trust, Series 2019-RPL3-PT1 0.00% ^ 06/25/2058 177,727,629 36,600,306 Legacy Mortgage Asset Trust, Series 2019-SL1-A 4.00% #^ 12/28/2054 36,992,940 95,236,344 Legacy Mortgage Asset Trust, Series 2019-SL3-A 3.47% ^§ 11/25/2061 95,856,980 26,545,000 Legacy Mortgage Asset Trust, Series 2020-GS1-A2 4.00% ^§ 10/25/2059 26,641,066 39,649,915 Legacy Mortgage Asset Trust, Series 2020-GS2-A1 2.75% ^§ 03/25/2060 39,883,817 26,264,000 Legacy Mortgage Asset Trust, Series 2020-GS2-A2 4.00% ^§ 03/25/2060 26,359,049 2,046,024 Lehman Mortgage Trust, Series 2005-2-3A5 5.50% 12/25/2035 1,550,205 1,688,355 Lehman Mortgage Trust, Series 2005-2-5A5 5.75% 12/25/2035 1,537,347 2,522,569 Lehman Mortgage Trust, Series 2005-3-2A1 6.00% 01/25/2036 2,692,749 214,806 Lehman Mortgage Trust, Series 2005-3-2A3 5.50% 01/25/2036 225,450 1,153,711 Lehman Mortgage Trust, Series 2005-3-2A7 6.00% 01/25/2036 1,230,653 1,206,885 Lehman Mortgage Trust, Series 2006-1-1A1 (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap) 0.90% 02/25/2036 619,597 3,620,654 Lehman Mortgage Trust, Series 2006-1-1A2 (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap) 4.60% I/F I/O 02/25/2036 768,149 3,793,974 Lehman Mortgage Trust, Series 2006-1-3A1 (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap) 0.90% 02/25/2036 3,165,533 3,793,974 Lehman Mortgage Trust, Series 2006-1-3A2 (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap) 4.60% I/F I/O 02/25/2036 494,971 2,444,425 Lehman Mortgage Trust, Series 2006-1-3A4 5.50% 02/25/2036 2,383,520 2,673,244 Lehman Mortgage Trust, Series 2006-4-1A3 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) 5.25% I/F I/O 08/25/2036 503,147 1,699,056 Lehman Mortgage Trust, Series 2006-4-1A4 6.00% 08/25/2036 1,695,710 6,107,806 Lehman Mortgage Trust, Series 2006-5-2A1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap) 0.50% 09/25/2036 556,127 12,722,494 Lehman Mortgage Trust, Series 2006-5-2A2 (-1 x 1 Month LIBOR USD + 7.15%, 7.15% Cap) 7.00% I/F I/O 09/25/2036 3,550,850 7,426,877 Lehman Mortgage Trust, Series 2006-6-3A9 5.50% 10/25/2036 6,559,068 1,419,786 Lehman Mortgage Trust, Series 2006-6-4A5 6.00% 12/25/2036 1,390,047 3,276,701 Lehman Mortgage Trust, Series 2006-7-2A2 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) 0.60% 11/25/2036 646,416 11,814,542 Lehman Mortgage Trust, Series 2006-7-2A5 (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) 6.40% I/F I/O 11/25/2036 3,742,054 2,252,720 Lehman Mortgage Trust, Series 2006-9-1A19 (-5 x 1 Month LIBOR USD + 30.68%, 30.68% Cap) 30.00% I/F 01/25/2037 3,876,773 2,463,343 Lehman Mortgage Trust, Series 2006-9-1A5 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 5.75% Cap) 0.75% 01/25/2037 1,513,308 7,350,763 Lehman Mortgage Trust, Series 2006-9-1A6 (-1 x 1 Month LIBOR USD + 5.15%, 5.15% Cap) 5.00% I/F I/O 01/25/2037 1,341,816 3,844,006 Lehman Mortgage Trust, Series 2006-9-2A1 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.00% Cap) 0.53% 01/25/2037 604,369 7,128,551 Lehman Mortgage Trust, Series 2006-9-2A2 (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap) 6.47% I/F I/O 01/25/2037 2,085,779 7,062,832 Lehman Mortgage Trust, Series 2007-10-2A1 6.50% 01/25/2038 3,895,145 24,415,400 Lehman Mortgage Trust, Series 2007-1-1A1 (1 Month LIBOR USD + 0.21%, 0.21% Floor) 0.36% ^ 06/25/2037 20,093,762 1,965,954 Lehman Mortgage Trust, Series 2007-2-1A1 5.75% 02/25/2037 1,679,966 2,544,384 Lehman Mortgage Trust, Series 2007-4-2A11 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap) 0.48% 05/25/2037 593,191 12,073,557 Lehman Mortgage Trust, Series 2007-4-2A8 (-1 x 1 Month LIBOR USD + 6.67%, 6.67% Cap) 6.52% I/F I/O 05/25/2037 3,771,275 878,196 Lehman Mortgage Trust, Series 2007-4-2A9 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap) 0.48% 05/25/2037 234,208 9,709,042 Lehman Mortgage Trust, Series 2007-5-11A1 5.06% # 06/25/2037 7,638,918 246,924 Lehman Mortgage Trust, Series 2007-5-3A4 5.00% 12/25/2035 232,263 969,158 Lehman Mortgage Trust, Series 2007-5-4A3 (-6 x 1 Month LIBOR USD + 40.08%, 40.08% Cap) 39.19% I/F 08/25/2036 1,544,774 764,614 Lehman Mortgage Trust, Series 2007-5-7A3 7.50% 10/25/2036 513,317 169,276 Lehman Mortgage Trust, Series 2007-6-1A8 6.00% 07/25/2037 168,465 6,849,937 Lehman Mortgage Trust, Series 2007-9-2A2 6.50% 10/25/2037 3,653,910 4,002,720 Lehman Mortgage Trust, Series 2008-2-1A6 6.00% 03/25/2038 2,320,998 4,353,509 Lehman Trust, Series 2005-4-2A3A 5.00% ß 10/25/2035 4,807,613 10,401,061 Lehman Trust, Series 2005-9N-2A1 (12 Month US Treasury Average + 1.06%, 1.06% Floor) 1.67% 02/25/2036 9,690,270 1,893,779 Lehman Trust, Series 2006-17-1A2 (1 Month LIBOR USD + 0.34%, 0.34% Floor) 0.49% 08/25/2046 2,337,665 9,723,120 Lehman Trust, Series 2006-5-1A1A (1 Month LIBOR USD + 0.42%, 0.42% Floor) 0.57% 04/25/2036 9,357,754 155,753 Lehman Trust, Series 2006-5-2A4A 6.39% 04/25/2036 157,554 11,318,544 Lehman Trust, Series 2006-GP3-1A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor) 0.35% 06/25/2046 10,928,407 9,418,255 Lehman Trust, Series 2007-1-2A1 7.00% # 02/25/2037 10,286,599 16,396,796 Lehman Trust, Series 2007-12N-1A3A (1 Month LIBOR USD + 0.20%, 0.20% Floor) 0.35% 07/25/2047 15,815,872 7,154,662 Lehman Trust, Series 2005-2-2A3B 5.44% 08/25/2035 7,232,020 10,445,559 Lehman Trust, Series 2006-3-A3 (1 Month LIBOR USD + 0.60%, 0.60% Floor) 0.75% 03/25/2036 9,963,384 19,200,000 LHOME Mortgage Trust, Series 2019-RTL3-A1 3.87% ^ 07/25/2024 19,449,151 86,200,000 LHOME Mortgage Trust, Series 2019-RTL2-A1 3.84% ^ 03/25/2024 87,023,727 19,200,000 LHOME Mortgage Trust, Series 2020-RTL1-A1 3.23% ^ 10/25/2024 19,366,047 33,424,628 Long Beach Mortgage Loan Trust, Series 2006-3-2A3 (1 Month LIBOR USD + 0.36%, 0.36% Floor) 0.51% 05/25/2046 15,398,689 5,443,743 Long Beach Mortgage Loan Trust, Series 2006-3-2A4 (1 Month LIBOR USD + 0.54%, 0.54% Floor) 0.69% 05/25/2046 2,577,601 34,424,253 Long Beach Mortgage Loan Trust, Series 2006-6-1A (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.29% 07/25/2036 28,121,940 4,629,052 Luminent Mortgage Trust, Series 2005-1-A1 (1 Month LIBOR USD + 0.26%, 0.26% Floor, 11.50% Cap) 0.67% 11/25/2035 4,485,529 3,548,611 MASTR Adjustable Rate Mortgages Trust, Series 2005-2-2A1 3.02% # 03/25/2035 2,863,056 1,242,546 MASTR Adjustable Rate Mortgages Trust, Series 2005-6-5A1 2.93% # 07/25/2035 1,194,844 8,516,203 MASTR Adjustable Rate Mortgages Trust, Series 2007-1-2A1 2.88% # 11/25/2036 9,737,865 1,336,913 MASTR Alternative Loans Trust, Series 2005-2-3A1 6.00% 03/25/2035 1,363,355 212,978 MASTR Alternative Loans Trust, Series 2005-5-2A3 5.50% 07/25/2025 213,145 8,243,055 MASTR Alternative Loans Trust, Series 2005-5-3A1 5.75% 08/25/2035 6,072,228 2,329,263 MASTR Alternative Loans Trust, Series 2005-6-1A5 5.50% 12/25/2035 2,147,494 1,602,119 MASTR Alternative Loans Trust, Series 2006-3-1A2 6.25% 07/25/2036 1,336,797 2,159,725 MASTR Alternative Loans Trust, Series 2007-1-1A5 5.75% 10/25/2036 2,112,490 4,545,543 MASTR Alternative Loans Trust, Series 2007-1-2A7 6.00% 10/25/2036 2,348,116 3,669,123 MASTR Asset Backed Securities Trust, Series 2003-OPT1-M3 (1 Month LIBOR USD + 4.13%, 4.13% Floor) 4.27% 12/25/2032 3,709,573 9,101,688 MASTR Asset Backed Securities Trust, Series 2006-AM2-A3 (1 Month LIBOR USD + 0.34%, 0.34% Floor) 0.49% 06/25/2036 8,687,965 19,006,427 MASTR Asset Backed Securities Trust, Series 2007-HE1-A3 (1 Month LIBOR USD + 0.21%, 0.21% Floor) 0.36% 05/25/2037 18,311,197 14,881,772 MASTR Asset Backed Securities Trust, Series 2007-WMC1-A1 (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.29% 01/25/2037 5,942,321 2,503,351 MASTR Asset Securitization Trust, Series 2006-1-1A4 5.75% 05/25/2036 2,199,439 1,803,468 MASTR Asset Securitization Trust, Series 2006-2-1A11 (1 Month LIBOR USD + 6.00%, 6.00% Floor) 6.00% 06/25/2036 1,579,292 3,166,158 MASTR Asset Securitization Trust, Series 2007-1-1A3 6.25% 11/25/2037 2,219,574 19,096,570 MASTR Resecuritization Trust, Series 2008-1-A1 6.00% #^Þ 09/27/2037 17,857,995 10,891,705 MASTR Resecuritization Trust, Series 2008-4-A1 6.00% #^ 06/27/2036 10,179,145 2,147,640 MASTR Seasoned Securitization Trust, Series 2005-2-1A4 6.00% 10/25/2032 2,271,078 731,519 MASTR Seasoned Securitization Trust, Series 2005-2-2A1 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap) 0.55% 10/25/2032 666,875 15,836,386 Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A4 (1 Month LIBOR USD + 0.32%, 0.32% Floor, 7.00% Cap) 0.47% 03/25/2037 4,129,029 15,836,386 Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A5 (-1 x 1 Month LIBOR USD + 6.68%, 6.68% Cap) 6.53% I/F I/O 03/25/2037 4,927,118 1,155,053 Merrill Lynch Mortgage Investors Trust, Series 2006-3-1A 2.47% # 10/25/2036 1,136,734 1,059,185 Merrill Lynch Mortgage Investors Trust, Series 2006-F1-1A2 6.00% 04/25/2036 773,589 29,087,332 Merrill Lynch Mortgage Investors Trust, Series 2006-FM1-A1 (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.45% 04/25/2037 21,966,744 103,245,709 Merrill Lynch Mortgage Investors Trust, Series 2007-HE2-A1 (1 Month LIBOR USD + 0.25%, 0.25% Floor) 0.40% 02/25/2037 62,294,032 3,478,575 Merrill Lynch Mortgage Investors Trust, Series 2007-HE3-A3 (1 Month LIBOR USD + 0.19%, 0.19% Floor) 0.34% 04/25/2047 2,134,102 1,946,975 Merrill Lynch Mortgage Investors Trust, Series 2007-HE3-A4 (1 Month LIBOR USD + 0.27%, 0.27% Floor) 0.42% 04/25/2047 1,206,576 47,189,769 MFA LLC, Series 2018-NPL1-A1 3.88% ^§ 05/25/2048 47,365,187 47,362,677 MFA LLC, Series 2018-NPL2-A1 4.16% ^§ 07/25/2048 47,612,898 13,083,512 Morgan Stanley Capital Trust, Series 2006-NC2-M1 (1 Month LIBOR USD + 0.54%, 0.54% Floor) 0.69% 02/25/2036 12,499,359 30,791,642 Morgan Stanley Home Equity Loan Trust, Series 2007-1-A4 (1 Month LIBOR USD + 0.22%, 0.22% Floor) 0.37% 12/25/2036 18,654,821 5,858,757 Morgan Stanley Real Estate Capital Trust, Series 2006-2-AFPT (1 Month LIBOR USD + 0.07%, 0.07% Floor) 0.22% 11/25/2036 2,712,765 936,598 Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.75% Cap) 0.85% 12/25/2035 695,762 2,346,610 Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A6 5.75% 12/25/2035 2,033,366 3,745,530 Morgan Stanley Mortgage Loan Trust, Series 2005-10-2A1 5.47% # 12/25/2035 3,755,696 5,069,619 Morgan Stanley Mortgage Loan Trust, Series 2006-11-1A6 6.73% 08/25/2036 1,606,094 8,103,765 Morgan Stanley Mortgage Loan Trust, Series 2006-11-2A1 6.00% 08/25/2036 5,567,151 7,538,155 Morgan Stanley Mortgage Loan Trust, Series 2006-16AX-2A2 (1 Month LIBOR USD + 0.17%, 0.17% Floor) 0.32% 11/25/2036 3,028,127 6,017,578 Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A3A 5.65% ß 10/25/2046 2,618,322 2,008,255 Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A6 5.58% ß 10/25/2046 731,491 3,549,619 Morgan Stanley Mortgage Loan Trust, Series 2006-2-2A3 5.75% 02/25/2036 3,517,160 19,421,098 Morgan Stanley Mortgage Loan Trust, Series 2006-7-3A 4.99% # 06/25/2036 15,864,805 2,104,163 Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A4 6.00% 06/25/2036 1,646,216 2,130,101 Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A7 6.00% 06/25/2036 1,666,509 3,206,531 Morgan Stanley Mortgage Loan Trust, Series 2007-13-6A1 6.00% 10/25/2037 2,495,035 6,355,956 Morgan Stanley Mortgage Loan Trust, Series 2007-14AR-2A3 2.56% # 10/25/2037 5,220,402 3,326,443 Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A3 5.92% ß 09/25/2046 1,357,118 2,293,888 Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A4A 6.08% ß 09/25/2046 1,090,818 666,633 Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-1A2A 5.62% ß 01/25/2047 646,242 6,268,438 Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A3S 5.86% ß 01/25/2047 3,484,081 3,666,445 Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A4S 5.96% ß 01/25/2047 2,037,537 6,725,951 Morgan Stanley Re-Remic Trust, Series 2010-R5-4B 1.57% ^ 06/26/2036 6,218,305 11,016,288 Morgan Stanley Re-Remic Trust, Series 2010-R5-5B 1.00% ^ 01/26/2037 10,191,728 14,390,170 Morgan Stanley Re-Remic Trust, Series 2010-R9-3C 6.00% #^ 11/26/2036 14,657,400 2,128,128 Morgan Stanley Re-Remic Trust, Series 2011-R1-1A 5.94% #^Þ 02/26/2037 2,247,738 11,604,021 Morgan Stanley Re-Remic Trust, Series 2013-R2-1B 2.71% #^ 10/26/2036 10,412,722 5,090,944 Morgan Stanley Resecuritization Trust, Series 2014-R7-B1 3.80% #^ 01/26/2051 5,263,195 41,990,353 Morgan Stanley Residential Mortgage Loan Trust, Series 2020-RPL1-A1 2.69% #^ 10/25/2060 42,319,725 11,732,738 New Century Alternative Mortgage Loan Trust, Series 2006-ALT1-AF3 6.17% # 07/25/2036 4,754,265 14,195,139 New Century Alternative Mortgage Loan Trust, Series 2006-ALT2-AF5 5.00% 10/25/2036 5,428,597 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) 0.43% 05/25/2036 10,079,966 51,274,453 New Residential Mortgage Loan Trust, Series 2018-FNT1-A 3.61% ^ 05/25/2023 51,441,710 17,297,182 New Residential Mortgage Loan Trust, Series 2018-FNT2-A 3.79% ^ 07/25/2054 17,348,382 108,984,709 New Residential Mortgage Loan Trust, Series 2020-NPL1-A1 4.34% ^§ 07/25/2060 110,489,994 62,504,400 New Residential Mortgage Loan Trust, Series 2020-RPL1-M1 3.25% #^ 11/25/2059 66,118,323 16,345,550 New Residential Mortgage Loan Trust, Series 2020-RPL1-M2 3.50% #^ 11/25/2059 16,858,620 382,829 New York Mortgage Trust, Series 2005-2-A (1 Month LIBOR USD + 0.66%, 0.33% Floor, 10.50% Cap) 0.81% 08/25/2035 371,751 100,437,436 New York Mortgage Trust, Series 2020-SP1-A1 3.96% ^ 06/25/2025 101,193,570 111,608 Nomura Asset Acceptance Corporation, Series 2005-AP1-2A5 4.86% 02/25/2035 114,426 14,228,577 Nomura Asset Acceptance Corporation, Series 2006-AF1-1A2 6.16% # 05/25/2036 4,696,117 2,891,501 Nomura Asset Acceptance Corporation, Series 2006-AF1-1A3 6.41% # 05/25/2036 955,278 16,064,263 Nomura Asset Acceptance Corporation, Series 2006-AP1-A2 5.52% # 01/25/2036 6,994,348 2,715,199 Nomura Asset Acceptance Corporation, Series 2006-AP1-A3 5.65% # 01/25/2036 1,181,876 1,358,423 Nomura Asset Acceptance Corporation, Series 2006-WF1-A2 5.76% # 06/25/2036 565,069 16,463,296 Nomura Home Equity Loan, Inc., Series 2006-AF1-A2 5.80% ß 10/25/2036 6,610,777 2,870,015 Nomura Home Equity Loan, Inc., Series 2007-1-1A1 6.06% ß 02/25/2037 1,160,594 14,304,819 Nomura Home Equity Loan, Inc., Series 2007-1-1A3 5.99% ß 02/25/2037 5,785,458 5,731,180 Nomura Resecuritization Trust, Series 2014-2R-4A9 4.33% ^ 07/26/2036 5,618,051 46,827,452 Nomura Resecuritization Trust, Series 2015-4R-1A14 (1 Month LIBOR USD + 0.19%, 0.19% Floor) 0.32% ^ 03/26/2047 37,762,866 9,078,147 NovaStar Mortgage Funding Trust Series, Series 2006-3-A2C (1 Month LIBOR USD + 0.32%, 0.32% Floor) 0.47% 10/25/2036 7,058,303 18,993,758 NRPL Trust, Series 2018-2A-A1 4.25% ^§ 07/25/2067 19,194,678 110,000,000 NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1-A 3.84% ^ 12/25/2025 110,315,700 744,248 Option One Mortgage Loan Trust, Series 2004-3-M3 (1 Month LIBOR USD + 0.98%, 0.98% Floor) 1.12% 11/25/2034 739,833 7,276,907 Option One Mortgage Loan Trust, Series 2007-1-2A3 (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 01/25/2037 5,122,416 76,344,829 Option One Mortgage Loan Trust, Series 2007-6-1A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor) 0.34% 07/25/2037 69,848,013 97,087,601 OSAT Trust, Series 2020-RPL1-A1 3.07% ^§ 12/26/2059 99,345,820 4,779,297 PHH Alternative Mortgage Trust, Series 2007-1-1A1 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 10.10% Cap) 0.31% 02/25/2037 3,766,283 12,664,923 PHH Alternative Mortgage Trust, Series 2007-2-2A1 6.00% 05/25/2037 12,392,067 5,909,659 PHH Alternative Mortgage Trust, Series 2007-2-2A2 6.00% 05/25/2037 5,782,340 426,445 PHH Alternative Mortgage Trust, Series 2007-2-3A1 6.00% 05/25/2037 422,934 91,262,388 PMT Credit Risk Transfer Trust 2019-2R, Series 2019-2R-A (1 Month LIBOR USD + 2.75%, 2.75% Floor) 2.90% ^ 05/27/2023 88,206,257 9,000,601 PMT Credit Risk Transfer Trust, Series 2019-1R-A (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.15% ^ 03/27/2024 8,299,013 33,052,827 PMT Credit Risk Transfer Trust, Series 2019-3R-A (1 Month LIBOR USD + 2.70%, 2.70% Floor) 2.85% ^ 10/27/2022 32,748,926 88,089,104 PMT Credit Risk Transfer Trust, Series 2020-1R-A (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.50% ^ 02/27/2023 86,524,897 174,478,107 PR Mortgage Loan Trust, Series 2014-1-APT 5.91% #^ 10/25/2049 172,635,897 69,085,039 Pretium Mortgage Credit Partners LLC, Series 2019-CFL1-A1 3.72% ^§ 01/25/2059 69,744,297 69,232,552 Pretium Mortgage Credit Partners LLC, Series 2020-CFL1-A1 3.10% ^§ 02/27/2060 69,497,159 61,528,332 Pretium Mortgage Credit Partners LLC, Series 2020-NPL1-A1 2.86% ^§ 05/27/2059 61,863,212 90,818,980 Pretium Mortgage Credit Partners LLC, Series 2020-NPL3-A1 3.10% ^§ 06/27/2060 91,154,057 5,797,167 Pretium Mortgage Credit Partners LLC, Series 2020-RPL1-A1 3.82% ^§ 05/27/2060 5,848,264 7,933,208 Prime Mortgage Trust, Series 2006-DR1-2A1 5.50% ^ 05/25/2035 6,688,932 3,932,985 Prime Mortgage Trust, Series 2006-DR1-2A2 6.00% ^ 05/25/2035 3,276,159 51,504,298 PRPM LLC, Series 2019-3A-A1 3.35% ^§ 07/25/2024 51,689,502 103,820,005 PRPM LLC, Series 2019-4A-A1 3.35% ^§ 11/25/2024 104,356,962 97,683,566 PRPM LLC, Series 2019-GS1-A1 3.50% #^ 10/25/2024 99,028,767 101,873,684 PRPM LLC, Series 2020-1A-A1 2.98% ^§ 02/25/2025 102,254,244 25,363,538 PRPM LLC, Series 2020-2-A1 3.67% ^§ 08/25/2025 25,643,442 151,482,501 PRPM LLC, Series 2020-3-A1 2.86% ^§ 09/25/2025 152,944,337 88,775,799 PRPM LLC, Series 2020-5-A1 3.10% ^§ 11/25/2025 89,387,553 33,279,537 RALI Trust, Series 2007-QA5-1A1 5.27% # 09/25/2037 28,901,843 16,573,073 RALI Trust, Series 2007-QH7-2A1 (1 Month LIBOR USD + 0.30%, 0.30% Floor) 0.45% 08/25/2037 15,255,473 35,905,669 RALI Trust, Series 2007-QS10-A1 6.50% 09/25/2037 35,128,444 18,976,607 RAMP Series Trust, Series 2006-RS3-A4 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 14.00% Cap) 0.75% 05/25/2036 18,121,071 19,245,380 RBSGC Structured Trust, Series 2008-B-A1 6.00% ^ 06/25/2037 19,348,156 24,930,564 RBSSP Resecuritization Trust , Series 2009-12-20A2 2.49% #^ 12/25/2035 22,820,481 4,762,373 RBSSP Resecuritization Trust, Series 2009-12-17A2 2.37% #^ 10/25/2035 4,119,371 3,984,008 RBSSP Resecuritization Trust, Series 2010-4-7A2 6.00% ^ 07/26/2037 2,988,810 78,133,453 Redwood Funding Trust, Series 2019-1-PT 4.21% ^§ 09/27/2024 78,946,666 3,327,884 Renaissance Home Equity Loan Trust, Series 2006-1-AF6 5.75% ß 05/25/2036 2,256,972 2,122,074 Renaissance Home Equity Loan Trust, Series 2006-2-AF5 6.25% ß 08/25/2036 1,319,416 6,965,590 Renaissance Home Equity Loan Trust, Series 2006-3-AF3 5.59% ß 11/25/2036 3,753,924 18,514,589 Renaissance Home Equity Loan Trust, Series 2006-3-AF4 5.81% ß 11/25/2036 10,362,675 10,340,045 Renaissance Home Equity Loan Trust, Series 2006-4-AF4 5.47% ß 01/25/2037 5,331,253 20,361,654 Renaissance Home Equity Loan Trust, Series 2006-4-AF5 5.69% ß 01/25/2037 10,900,538 8,192,822 Renaissance Home Equity Loan Trust, Series 2007-1-AF1 5.74% ß 04/25/2037 3,493,017 5,779,950 Renaissance Home Equity Loan Trust, Series 2007-1-AF1Z 5.35% ß 04/25/2037 2,313,354 3,486,895 Renaissance Home Equity Loan Trust, Series 2007-1-AF2 5.51% ß 04/25/2037 1,426,525 5,072,268 Renaissance Home Equity Loan Trust, Series 2007-1-AF3 5.61% ß 04/25/2037 2,113,093 8,232,817 Renaissance Home Equity Loan Trust, Series 2007-1-AF5 5.91% ß 04/25/2037 3,613,518 17,696,892 Renaissance Home Equity Loan Trust, Series 2007-2-AF2 5.68% ß 06/25/2037 6,919,883 9,571,061 Renaissance Home Equity Loan Trust, Series 2007-2-AF5 6.20% ß 06/25/2037 4,134,303 20,903,511 Residential Accredit Loans, Inc., Series 2005-QA11-4A1 3.78% # 10/25/2035 17,074,488 10,864,096 Residential Accredit Loans, Inc., Series 2005-QA13-2A1 4.10% # 12/25/2035 9,866,347 9,159,704 Residential Accredit Loans, Inc., Series 2005-QA3-CB1 3.50% # 03/25/2035 4,841,644 332,204 Residential Accredit Loans, Inc., Series 2005-QS12-A11 (-11 x 1 Month LIBOR USD + 51.15%, 51.15% Cap) 49.52% I/F 08/25/2035 790,823 1,187,797 Residential Accredit Loans, Inc., Series 2005-QS13-1A6 5.50% 09/25/2035 1,134,691 2,546,698 Residential Accredit Loans, Inc., Series 2005-QS13-2A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.75% Cap) 0.85% 09/25/2035 2,115,700 10,441,463 Residential Accredit Loans, Inc., Series 2005-QS13-2A2 (-1 x 1 Month LIBOR USD + 5.05%, 5.05% Cap) 4.90% I/F I/O 09/25/2035 1,484,019 6,218,787 Residential Accredit Loans, Inc., Series 2005-QS14-2A1 6.00% 09/25/2035 3,505,445 1,925,867 Residential Accredit Loans, Inc., Series 2005-QS15-2A 6.00% 10/25/2035 1,746,378 2,394,312 Residential Accredit Loans, Inc., Series 2005-QS15-3A 6.00% 10/25/2035 2,372,710 2,487,596 Residential Accredit Loans, Inc., Series 2005-QS16-A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap) 0.85% 11/25/2035 1,989,617 2,487,166 Residential Accredit Loans, Inc., Series 2005-QS16-A2 (-1 x 1 Month LIBOR USD + 4.80%, 4.80% Cap) 4.65% I/F I/O 11/25/2035 344,886 1,294,783 Residential Accredit Loans, Inc., Series 2005-QS17-A1 6.00% 12/25/2035 1,288,745 897,218 Residential Accredit Loans, Inc., Series 2005-QS17-A10 6.00% 12/25/2035 893,034 3,752,554 Residential Accredit Loans, Inc., Series 2005-QS17-A11 6.00% 12/25/2035 3,735,055 2,667,197 Residential Accredit Loans, Inc., Series 2005-QS17-A2 (1 Month LIBOR USD + 0.85%, 0.85% Floor, 6.00% Cap) 1.00% 12/25/2035 2,110,662 2,667,197 Residential Accredit Loans, Inc., Series 2005-QS17-A4 (-1 x 1 Month LIBOR USD + 5.15%, 5.15% Cap) 5.00% I/F I/O 12/25/2035 400,483 2,146,109 Residential Accredit Loans, Inc., Series 2005-QS17-A6 6.00% 12/25/2035 2,136,102 1,051,216 Residential Accredit Loans, Inc., Series 2005-QS5-A3 5.70% 04/25/2035 1,074,687 1,021,768 Residential Accredit Loans, Inc., Series 2006-QS10-A4 5.75% 08/25/2036 1,009,599 6,664,561 Residential Accredit Loans, Inc., Series 2006-QS11-1A1 6.50% 08/25/2036 6,543,263 1,541,621 Residential Accredit Loans, Inc., Series 2006-QS12-1A1 6.50% 09/25/2036 1,096,229 2,822,062 Residential Accredit Loans, Inc., Series 2006-QS12-2A18 5.75% 09/25/2036 2,768,572 4,138,869 Residential Accredit Loans, Inc., Series 2006-QS14-A18 6.25% 11/25/2036 4,043,788 2,005,950 Residential Accredit Loans, Inc., Series 2006-QS15-A1 6.50% 10/25/2036 1,996,509 874,327 Residential Accredit Loans, Inc., Series 2006-QS16-A10 6.00% 11/25/2036 843,739 3,108,967 Residential Accredit Loans, Inc., Series 2006-QS16-A11 6.00% 11/25/2036 3,000,816 907,542 Residential Accredit Loans, Inc., Series 2006-QS16-A7 6.00% 11/25/2036 875,793 980,707 Residential Accredit Loans, Inc., Series 2006-QS16-A8 6.00% 11/25/2036 946,397 388,084 Residential Accredit Loans, Inc., Series 2006-QS16-A9 6.00% 11/25/2036 374,507 1,755,582 Residential Accredit Loans, Inc., Series 2006-QS17-A4 6.00% 12/25/2036 1,716,687 9,753,253 Residential Accredit Loans, Inc., Series 2006-QS17-A5 6.00% 12/25/2036 9,537,170 1,099,235 Residential Accredit Loans, Inc., Series 2006-QS1-A6 (-8 x 1 Month LIBOR USD + 42.86%, 42.86% Cap) 41.72% I/F 01/25/2036 2,325,601 7,023,703 Residential Accredit Loans, Inc., Series 2006-QS3-1A11 6.00% 03/25/2036 7,098,475 1,601,899 Residential Accredit Loans, Inc., Series 2006-QS4-A8 (-790 x 1 Month LIBOR USD + 5143.00%, 1.10% Floor, 8.00% Cap) 8.00% I/F 04/25/2036 1,569,785 4,321,168 Residential Accredit Loans, Inc., Series 2006-QS5-A3 6.00% 05/25/2036 4,157,948 12,878,706 Residential Accredit Loans, Inc., Series 2006-QS5-A4 6.00% 05/25/2036 12,392,248 2,018,501 Residential Accredit Loans, Inc., Series 2006-QS6-1A16 6.00% 06/25/2036 1,969,906 2,928,407 Residential Accredit Loans, Inc., Series 2006-QS6-1A2 6.00% 06/25/2036 2,857,905 5,753,112 Residential Accredit Loans, Inc., Series 2006-QS8-A1 6.00% 08/25/2036 5,655,737 9,976,736 Residential Accredit Loans, Inc., Series 2006-QS8-A5 (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap) 5.40% I/F I/O 08/25/2036 1,591,566 3,653,252 Residential Accredit Loans, Inc., Series 2006-QS9-1A6 (-1 x 1 Month LIBOR USD + 5.30%, 5.30% Cap) 5.15% I/F I/O 07/25/2036 647,717 28,085,641 Residential Accredit Loans, Inc., Series 2007-QH5-AII (1 Month LIBOR USD + 0.23%, 0.23% Floor) 0.38% 06/25/2037 13,156,505 3,438,610 Residential Accredit Loans, Inc., Series 2007-QS11-A1 7.00% 10/25/2037 3,226,995 11,691,416 Residential Accredit Loans, Inc., Series 2007-QS1-1A2 (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap) 5.30% I/F I/O 01/25/2037 2,214,870 1,176,865 Residential Accredit Loans, Inc., Series 2007-QS1-1A4 6.00% 01/25/2037 1,153,670 2,949,057 Residential Accredit Loans, Inc., Series 2007-QS1-2A10 6.00% 01/25/2037 2,849,581 4,440,433 Residential Accredit Loans, Inc., Series 2007-QS2-A6 6.25% 01/25/2037 4,288,901 20,359,039 Residential Accredit Loans, Inc., Series 2007-QS3-A1 6.50% 02/25/2037 19,985,047 3,246,376 Residential Accredit Loans, Inc., Series 2007-QS3-A4 6.25% 02/25/2037 3,146,643 5,376,647 Residential Accredit Loans, Inc., Series 2007-QS4-3A3 6.00% 03/25/2037 5,200,078 2,242,072 Residential Accredit Loans, Inc., Series 2007-QS5-A1 5.50% 03/25/2037 2,135,227 924,946 Residential Accredit Loans, Inc., Series 2007-QS5-A5 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.00% Cap) 0.45% 03/25/2037 678,721 3,071,958 Residential Accredit Loans, Inc., Series 2007-QS5-A8 (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap) 6.55% I/F I/O 03/25/2037 626,837 2,395,420 Residential Accredit Loans, Inc., Series 2007-QS6-A102 5.75% 04/25/2037 2,306,535 770,197 Residential Accredit Loans, Inc., Series 2007-QS6-A13 (-8 x 1 Month LIBOR USD + 55.00%, 55.00% Cap) 53.77% I/F 04/25/2037 1,466,310 3,430,053 Residential Accredit Loans, Inc., Series 2007-QS6-A45 5.75% 04/25/2037 3,302,773 5,466,445 Residential Accredit Loans, Inc., Series 2007-QS6-A6 6.25% 04/25/2037 5,392,513 377,550 Residential Accredit Loans, Inc., Series 2007-QS6-A77 (-8 x 1 Month LIBOR USD + 55.83%, 55.83% Cap) 54.60% I/F 04/25/2037 728,452 6,522,138 Residential Accredit Loans, Inc., Series 2007-QS7-2A1 6.75% 06/25/2037 4,084,423 20,406,868 Residential Accredit Loans, Inc., Series 2007-QS9-A33 6.50% 07/25/2037 19,193,345 2,279,812 Residential Asset Mortgage Products, Inc., Series 2004-RS7-A3 3.31% # 07/25/2034 2,181,165 1,528,121 Residential Asset Mortgage Products, Inc., Series 2005-RS1-AI5 5.91% 01/25/2035 1,561,618 17,330,344 Residential Asset Mortgage Products, Inc., Series 2006-RS2-A3A (1 Month LIBOR USD + 0.30%, 0.30% Floor, 14.00% Cap) 0.75% 03/25/2036 17,026,290 21,714,617 Residential Asset Securities Corporation, Series 2007-EMX1-A13 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 14.00% Cap) 0.35% 01/25/2037 19,987,523 5,244,664 Residential Asset Securitization Trust, Series 2005-A11-2A4 6.00% 10/25/2035 3,906,573 2,004,520 Residential Asset Securitization Trust, Series 2005-A12-A7 (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) 4.85% I/F I/O 11/25/2035 468,599 2,000,795 Residential Asset Securitization Trust, Series 2005-A12-A8 (1 Month LIBOR USD + 0.55%, 0.55% Floor, 5.50% Cap) 0.70% 11/25/2035 1,072,861 16,944,539 Residential Asset Securitization Trust, Series 2005-A13-2A1 5.50% 10/25/2035 10,349,135 2,778,003 Residential Asset Securitization Trust, Series 2005-A15-1A7 6.00% 02/25/2036 2,891,951 8,327,660 Residential Asset Securitization Trust, Series 2005-A15-5A3 5.75% 02/25/2036 5,582,502 8,898,578 Residential Asset Securitization Trust, Series 2005-A16-A1 5.00% 02/25/2036 5,284,455 1,558,310 Residential Asset Securitization Trust, Series 2005-A7-A3 5.50% 06/25/2035 1,245,964 3,839,349 Residential Asset Securitization Trust, Series 2005-A8CB-A11 6.00% 07/25/2035 3,551,203 3,866,902 Residential Asset Securitization Trust, Series 2005-A8CB-A2 (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) 4.85% I/F I/O 07/25/2035 638,251 4,995,102 Residential Asset Securitization Trust, Series 2006-A10-A5 6.50% 09/25/2036 2,970,902 745,122 Residential Asset Securitization Trust, Series 2006-A1-1A3 6.00% 04/25/2036 533,873 7,455,977 Residential Asset Securitization Trust, Series 2006-A12-A1 6.25% 11/25/2036 4,381,180 7,482,241 Residential Asset Securitization Trust, Series 2006-A13-A1 6.25% 12/25/2036 4,272,207 12,146,626 Residential Asset Securitization Trust, Series 2006-A1-3A2 6.00% 04/25/2036 8,708,164 14,296,775 Residential Asset Securitization Trust, Series 2006-A14C-2A6 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) 0.60% 12/25/2036 1,405,559 31,550,839 Residential Asset Securitization Trust, Series 2006-A14C-2A7 (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) 6.40% I/F I/O 12/25/2036 9,142,326 6,177,473 Residential Asset Securitization Trust, Series 2006-A2-A11 6.00% 01/25/2046 3,969,809 4,277,545 Residential Asset Securitization Trust, Series 2006-A2-A4 6.00% 01/25/2046 2,694,619 398,031 Residential Asset Securitization Trust, Series 2006-A4-2A5 6.00% 05/25/2036 392,113 3,031,145 Residential Asset Securitization Trust, Series 2006-A4-2A9 6.00% 05/25/2036 2,977,562 2,998,509 Residential Asset Securitization Trust, Series 2006-A8-1A1 6.00% 08/25/2036 2,522,375 5,233,477 Residential Asset Securitization Trust, Series 2006-R1-A1 (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap) 27.81% I/FÞ 01/25/2046 7,503,046 24,746,894 Residential Asset Securitization Trust, Series 2007-A2-1A2 6.00% 04/25/2037 19,684,922 843,331 Residential Asset Securitization Trust, Series 2007-A3-1A2 (-8 x 1 Month LIBOR USD + 46.38%, 46.38% Cap) 45.25% I/F 04/25/2037 2,201,244 22,834,172 Residential Asset Securitization Trust, Series 2007-A5-1A4 (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) 5.95% I/F I/O 05/25/2037 4,897,884 5,877,739 Residential Asset Securitization Trust, Series 2007-A5-1A6 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap) 0.55% 05/25/2037 437,431 5,118,745 Residential Asset Securitization Trust, Series 2007-A5-2A3 6.00% 05/25/2037 4,174,943 2,243,285 Residential Asset Securitization Trust, Series 2007-A5-2A5 6.00% 05/25/2037 1,829,664 9,375,155 Residential Asset Securitization Trust, Series 2007-A6-1A2 6.00% 06/25/2037 7,878,340 8,157,749 Residential Asset Securitization Trust, Series 2007-A7-A1 6.00% 07/25/2037 4,653,307 35,883,020 Residential Asset Securitization Trust, Series 2007-A7-A2 6.00% 07/25/2037 20,528,726 15,899,009 Residential Asset Securitization Trust, Series 2007-A7-A6 6.00% 07/25/2037 9,095,845 6,477,185 Residential Funding Mortgage Securities Trust, Series 2006-S10-1A1 6.00% 10/25/2036 6,284,086 10,827,652 Residential Funding Mortgage Securities Trust, Series 2006-S11-A1 6.00% 11/25/2036 10,632,641 2,125,891 Residential Funding Mortgage Securities Trust, Series 2006-S5-A12 6.00% 06/25/2036 2,103,317 145,547 Residential Funding Mortgage Securities Trust, Series 2006-S5-A15 6.00% 06/25/2036 144,002 3,560,797 Residential Funding Mortgage Securities Trust, Series 2006-S9-A1 6.25% 09/25/2036 3,511,842 4,619,574 Residential Funding Mortgage Securities Trust, Series 2007-S1-A7 6.00% 01/25/2037 4,544,622 2,383,280 Residential Funding Mortgage Securities Trust, Series 2007-S2-A1 6.00% 02/25/2037 2,287,038 2,685,028 Residential Funding Mortgage Securities Trust, Series 2007-S2-A4 6.00% 02/25/2037 2,576,601 5,012,640 Residential Funding Mortgage Securities Trust, Series 2007-S2-A5 6.00% 02/25/2037 4,810,219 783,309 Residential Funding Mortgage Securities Trust, Series 2007-S2-A9 6.00% 02/25/2037 751,677 2,161,201 Residential Funding Mortgage Securities Trust, Series 2007-S3-1A4 6.00% 03/25/2037 1,952,585 2,388,249 Residential Funding Mortgage Securities Trust, Series 2007-S4-A1 6.00% 04/25/2037 2,287,062 1,337,490 Residential Funding Mortgage Securities Trust, Series 2007-S4-A2 6.00% 04/25/2037 1,287,033 15,921,280 Residential Funding Mortgage Securities Trust, Series 2007-S5-A1 6.00% 05/25/2037 16,289,956 4,614,050 Residential Funding Mortgage Securities Trust, Series 2007-S5-A8 6.00% 05/25/2037 4,736,695 2,362,424 Residential Funding Mortgage Securities Trust, Series 2007-S6-2A4 6.00% 06/25/2037 2,330,060 12,910,362 Residential Funding Mortgage Securities Trust, Series 2007-S7-A20 6.00% 07/25/2037 12,249,225 6,554,851 Residential Funding Mortgage Securities Trust, Series 2007-S8-1A1 6.00% 09/25/2037 6,093,979 392,287 Residential Funding Mortgage Securities Trust, Series 2007-SA1-4A 5.21% # 02/25/2037 301,997 4,767,970 Residential Funding Mortgage Securities Trust, Series 2007-SA2-2A1 4.11% # 04/25/2037 4,338,574 8,677,028 RMAT LLC, Series 2015-PR2-A1 9.85% ^ 11/25/2035 8,671,971 38,546,739 RSFR, Series 2020-1-PT 4.21% ^§ 02/17/2025 37,822,986 257,546,456 Securitized Mortgage Asset Loan Trust, Series 2015-1-PC 0.73% #^ 02/25/2054 216,803,946 47,838,026 Securitized Mortgage Asset Loan Trust, Series 2015-2-PC 2.28% #^ 12/26/2059 44,829,693 56,702,361 Securitized Mortgage Asset Loan Trust, Series 2015-3-PC 3.15% #^ 10/25/2044 54,322,449 119,249 Sequoia Mortgage Trust, Series 2003-4-2A1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap) 0.85% 07/20/2033 116,411 10,387,110 SG Mortgage Securities Trust, Series 2006-FRE1-A1A (1 Month LIBOR USD + 0.34%, 0.34% Floor) 0.49% 02/25/2036 10,071,911 2,874,312 SG Mortgage Securities Trust, Series 2006-FRE1-A2C (1 Month LIBOR USD + 0.54%, 0.54% Floor) 0.69% 02/25/2036 2,106,247 4,405,674 Soundview Home Loan Trust, Series 2007-OPT1-2A2 (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.30% 06/25/2037 3,532,497 8,000,572 Soundview Home Loan Trust, Series 2007-OPT3-1A1 (1 Month LIBOR USD + 0.17%, 0.17% Floor) 0.32% 08/25/2037 7,337,166 24,453,768 Soundview Home Loan Trust, Series 2007-OPT4-1A1 (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.15% 09/25/2037 19,670,592 45,913,146 Soundview Home Loan Trust, Series 2007-WM1W-2A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.36% 02/25/2037 36,555,730 9,826,000 Spruce Hill Mortgage Loan Trust, Series 2020-SH1-M1 3.22% #^ 01/28/2050 9,844,267 94,522,429 Stanwich Mortgage Loan Company, Series 2019-NPB1-A1 3.38% ^§ 08/15/2024 94,259,420 59,743,745 Stanwich Mortgage Loan Company, Series 2019-RPL1-A 3.72% ^§ 02/15/2049 60,954,799 5,123,439 STARM Mortgage Loan Trust, Series 2007-2-1A1 3.66% # 04/25/2037 3,081,881 2,267,264 STARM Mortgage Loan Trust, Series 2007-3-1A1 3.80% # 06/25/2037 1,913,852 1,284,171 Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12-8A 3.07% # 09/25/2034 1,280,048 2,802,332 Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1 3.23% # 12/25/2035 2,685,025 3,354,195 Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12-2A1 3.58% # 01/25/2037 3,041,121 1,742,480 Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-8A1 3.22% # 02/25/2036 1,272,912 5,864,888 Structured Adjustable Rate Mortgage Loan Trust, Series 2006-8-4A4 3.53% # 09/25/2036 5,540,910 11,186,083 Structured Adjustable Rate Mortgage Loan Trust, Series 2007-7-1A1 (1 Month LIBOR USD + 0.30%, 0.30% Floor) 0.45% 08/25/2037 10,887,422 94,589,394 Structured Asset Investment Loan Trust, Series 2006-3-A1 (1 Month LIBOR USD + 0.16%, 0.16% Floor) 0.31% 06/25/2036 72,830,977 10,821,581 Structured Asset Investment Loan Trust, Series 2006-4-A1 (1 Month LIBOR USD + 0.17%, 0.17% Floor) 0.32% 07/25/2036 7,894,722 11,701,580 Structured Asset Mortgage Investments Trust, Series 2006-AR3-12A2 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 10.50% Cap) 0.55% 05/25/2036 11,042,310 90,835,702 Structured Asset Securities Corporation, Series 2006-BC4-A1 (1 Month LIBOR USD + 0.16%, 0.16% Floor) 0.31% 12/25/2036 67,025,539 1,603,208 Structured Asset Securities Corporation, Series 2003-24A-1A3 2.74% # 07/25/2033 1,605,963 10,705,569 Structured Asset Securities Corporation, Series 2005-5-3A1 6.00% 04/25/2035 8,542,443 27,933,146 Structured Asset Securities Corporation, Series 2006-BC4-A4 (1 Month LIBOR USD + 0.17%, 0.17% Floor) 0.32% 12/25/2036 27,490,797 72,621,367 Structured Asset Securities Corporation, Series 2007-4-1A3 (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% ^I/F I/OÞ 03/28/2045 7,642,531 20,206,758 Structured Asset Securities Corporation, Series 2007-RF1-1A (1 Month LIBOR USD + 0.19%, 0.19% Floor) 0.34% ^ 03/25/2037 16,104,434 412,593 Suntrust Alternative Loan Trust, Series 2005-1F-2A3 5.75% 12/25/2035 412,234 697,966 Suntrust Alternative Loan Trust, Series 2006-1F-1A3 6.00% 04/25/2036 540,969 13,165,700 Terwin Mortgage Trust, Series 2006-7-2A3 (1 Month LIBOR USD + 0.27%, 0.27% Floor) 0.42% ^ 08/25/2037 7,776,874 242,375 Thornburg Mortgage Securities Trust, Series 2003-6-A2 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.50% Cap) 1.15% 12/25/2033 242,204 3,763,107 Thornburg Mortgage Securities Trust, Series 2004-4-5A 2.55% # 12/25/2044 3,699,844 10,318,453 Thornburg Mortgage Securities Trust, Series 2007-1-A1 (12 Month LIBOR USD + 1.30%, 0.11% Floor, 10.75% Cap) 1.64% 03/25/2037 10,002,003 2,337,777 Thornburg Mortgage Securities Trust, Series 2007-1-A2A (12 Month LIBOR USD + 1.30%, 0.11% Floor, 10.75% Cap) 1.64% 03/25/2037 2,148,264 65,000,000 Toorak Mortgage Corporation Ltd., Series 2019-1-A1 4.46% ^§ 03/25/2022 66,142,791 70,000,000 Toorak Mortgage Corporation Ltd., Series 2019-2-A1 3.72% ^§ 09/25/2022 71,178,926 5,000,000 Tricon American Homes Trust, Series 2019-SFR1-E 3.40% ^ 03/17/2038 5,174,439 8,900,000 Tricon American Homes Trust, Series 2020-SFR1-D 2.55% ^ 07/17/2038 9,004,575 1,600,000 Tricon American Homes Trust, Series 2020-SFR1-E 3.54% ^ 07/17/2038 1,677,916 20,800,000 TVC Mortgage Trust, Series 2020-RTL1-A1 3.47% ^ 09/25/2024 21,037,940 23,440,768 VCAT LLC, Series 2019-NPL2-A1 3.57% #^§ 11/25/2049 23,518,596 7,924,594 VCAT LLC, Series 2020-NPL1-A1 3.67% ^§ 08/25/2050 8,029,655 21,212,593 Velocity Commercial Capital Loan Trust, Series 2017-2-AFX 3.07% #^ 11/25/2047 21,964,542 24,154,494 Velocity Commercial Capital Loan Trust, Series 2018-2-A 4.05% #^ 10/26/2048 25,419,062 59,934,577 Velocity Commercial Capital Loan Trust, Series 2019-1-A 3.76% #^ 03/25/2049 62,419,896 4,961,588 Velocity Commercial Capital Loan Trust, Series 2019-1-M4 4.61% #^ 03/25/2049 4,989,358 20,038,712 Velocity Commercial Capital Loan Trust, Series 2019-2-A 3.13% #^ 07/25/2049 20,652,822 8,817,915 Velocity Commercial Capital Loan Trust, Series 2019-2-M1 3.26% #^ 07/25/2049 9,020,360 3,231,611 Velocity Commercial Capital Loan Trust, Series 2020-1-M4 3.54% #^ 02/25/2050 3,138,150 3,434,369 Vericrest Opportunity Loan Trust, Series 2019-NPL2-A1 3.97% ^§ 02/25/2049 3,447,251 33,478,699 Vericrest Opportunity Loan Trust, Series 2019-NPL5-A1A 3.35% ^§ 09/25/2049 33,571,790 29,386,991 Vericrest Opportunity Loan Trust, Series 2019-NPL8-A1A 3.28% ^§ 11/25/2049 29,444,337 67,748,013 Vericrest Opportunity Loan Trust, Series 2020-NPL2-A1A 2.98% ^§ 02/25/2050 67,956,569 22,338,212 Vericrest Opportunity Loan Trust, Series 2020-NPL5-A1A 2.98% ^§ 03/25/2050 22,392,532 13,725,706 VOLT LLC, Series 2019-NP10-A1A 3.43% ^§ 12/27/2049 13,780,312 129,696,845 VOLT LLC, Series 2019-NPL6-A1A 3.23% ^§ 10/25/2049 130,074,263 73,311,116 VOLT LLC, Series 2019-NPL9-A1A 3.33% ^§ 11/26/2049 73,631,038 34,854,749 VOLT LLC, Series 2020-NPL1-A1A 3.23% ^§ 01/25/2050 35,004,827 62,768,046 VOLT LLC, Series 2020-NPL3-A1A 2.98% ^§ 02/25/2050 62,947,111 9,613,340 WaMu Asset-Backed Certificates Trust, Series 2007-HE1-2A2 (1 Month LIBOR USD + 0.11%, 0.11% Floor) 0.26% 01/25/2037 6,084,190 15,230,703 WaMu Asset-Backed Certificates Trust, Series 2007-HE4-1A (1 Month LIBOR USD + 0.17%, 0.17% Floor) 0.32% 07/25/2047 12,762,585 5,413,853 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1-2A 6.00% 03/25/2035 5,415,188 1,543,719 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-4-5A1 5.50% 06/25/2035 1,446,984 619,454 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5-CB12 (-11 x 1 Month LIBOR USD + 50.60%, 50.60% Cap) 48.97% I/F 07/25/2035 1,419,683 2,005,945 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-5-CB6 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.50% Cap) 0.75% 07/25/2035 1,734,847 506,283 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-6-2A7 5.50% 08/25/2035 502,108 7,115,091 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-2CB6 (1 Month LIBOR USD + 1.45%, 1.45% Floor, 6.00% Cap) 1.60% 08/25/2035 6,478,669 646,827 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-2CB7 (-11 x 1 Month LIBOR USD + 50.05%, 50.05% Cap) 48.42% I/F 08/25/2035 1,340,185 3,022,373 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-7-3CB 6.50% 08/25/2035 2,861,765 7,978,720 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-8-1A2 5.50% 10/25/2035 8,079,763 6,397,694 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-9-2A2 5.50% 11/25/2035 6,553,167 1,769,834 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-9-CX 5.50% I/O 11/25/2035 330,139 2,393,714 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A1 5.75% 02/25/2036 2,264,235 1,211,934 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A2 5.75% 02/25/2036 1,135,938 1,029,420 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A7 5.75% 02/25/2036 973,755 3,024,288 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-3-3CB4 6.00% 04/25/2036 2,990,105 1,772,728 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-1A8 5.75% 07/25/2036 1,626,353 3,352,845 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-2CB1 6.00% 07/25/2036 2,931,522 6,090,178 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-2CB6 6.00% 07/25/2036 5,324,878 14,926,585 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-3A3 6.22% ß 07/25/2036 5,559,011 6,220,271 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-3A5 6.45% ß 07/25/2036 2,315,388 9,184,820 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A4 4.25% ß 10/25/2036 4,847,876 3,258,847 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-9-A7 4.53% 10/25/2036 1,400,458 5,895,224 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10-1A1 3.01% # 09/25/2036 5,656,630 5,473,728 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10-A1 (1 Month LIBOR USD + 0.10%, 0.10% Floor) 0.25% 12/25/2036 3,700,291 9,588,249 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR15-1A (12 Month US Treasury Average + 0.84%, 0.84% Floor) 1.45% 11/25/2046 8,817,327 7,028,947 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR4-2A (12 Month US Treasury Average + 0.95%, 0.95% Floor) 1.56% 06/25/2046 5,741,980 6,308,712 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR5-4A (12 Month US Treasury Average + 0.99%, 0.99% Floor) 1.60% 06/25/2046 5,412,498 714,839 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6-2A3 3.15% # 08/25/2036 672,294 9,834,472 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A6 6.00% 04/25/2037 8,864,931 3,964,162 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A2 6.00% 04/25/2037 3,946,492 5,416,204 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A3 6.00% 04/25/2037 5,392,127 3,931,453 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-4-1A1 5.50% 06/25/2037 4,089,283 268,449 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A11 (-6 x 1 Month LIBOR USD + 39.48%, 39.48% Cap) 38.59% I/F 06/25/2037 576,449 6,711,229 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A6 6.00% 06/25/2037 6,943,284 8,579,678 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY3-4A1 3.41% # 03/25/2037 8,588,714 10,853,664 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY5-1A1 3.26% # 05/25/2037 10,425,536 7,860,415 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OC1-A2 (1 Month LIBOR USD + 0.12%, 0.12% Floor) 0.27% 01/25/2047 7,702,040 981,166 Wells Fargo Alternative Loan Trust, Series 2007-PA1-A10 6.00% 03/25/2037 982,290 4,308,085 Wells Fargo Alternative Loan Trust, Series 2007-PA1-A3 6.00% 03/25/2037 4,313,017 3,714,511 Wells Fargo Alternative Loan Trust, Series 2007-PA1-A5 6.00% 03/25/2037 3,718,764 6,087,898 Wells Fargo Alternative Loan Trust, Series 2007-PA1-A6 6.00% 03/25/2037 6,094,867 23,726,064 Wells Fargo Alternative Loan Trust, Series 2007-PA2-1A1 6.00% 06/25/2037 24,031,891 3,560,701 Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.00% Cap) 0.50% 06/25/2037 3,022,829 5,245,464 Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A2 (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) 6.50% I/F I/O 06/25/2037 872,841 379,214 Wells Fargo Alternative Loan Trust, Series 2007-PA3-1A4 5.75% 07/25/2037 377,898 6,831,274 Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A1 6.00% 07/25/2037 6,746,883 2,714,109 Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A4 6.00% 07/25/2037 2,680,580 6,309,390 Wells Fargo Alternative Loan Trust, Series 2007-PA3-3A1 6.25% 07/25/2037 6,291,601 39,912,209 Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1 6.25% 11/25/2037 39,625,292 8,153,053 Wells Fargo Alternative Loan Trust, Series 2007-PA6-A1 3.15% # 12/28/2037 7,931,857 3,077,335 Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12-1A1 2.95% # 09/25/2036 2,911,294 1,426,217 Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR13-A2 3.08% # 09/25/2036 1,380,993 1,638,700 Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4-2A1 4.02% # 04/25/2036 1,575,740 2,500,187 Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1 6.00% 06/25/2037 2,530,162 173,883 Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A32 5.75% 06/25/2037 174,453 5,630,238 Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A34 6.00% 06/25/2037 5,697,738 1,524,943 Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A36 6.00% 06/25/2037 1,543,225 518,609 Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A43 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap) 0.65% 06/25/2037 439,239 1,416,829 Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A49 6.00% 06/25/2037 1,433,815 599,810 Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A8 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap) 0.65% 06/25/2037 508,013 270,585 Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A9 (-6 x 1 Month LIBOR USD + 39.00%, 39.00% Cap) 38.11% I/F 06/25/2037 427,482 24,569,806 Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR9-A1 2.90% # 12/28/2037 23,087,623

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $14,045,899,501) 13,696,397,936

US Government and Agency Mortgage Backed Obligations - 51.7% 4,138,868 Federal Home Loan Mortgage Corporation, Pool C03490 4.50% 08/01/2040 4,639,466 28,992,570 Federal Home Loan Mortgage Corporation, Pool C91388 3.50% 02/01/2032 30,906,705 15,118,100 Federal Home Loan Mortgage Corporation, Pool C91403 3.50% 03/01/2032 16,122,453 15,236,700 Federal Home Loan Mortgage Corporation, Pool C91413 3.50% 12/01/2031 16,252,815 7,703,093 Federal Home Loan Mortgage Corporation, Pool C91417 3.50% 01/01/2032 8,214,790 31,615,187 Federal Home Loan Mortgage Corporation, Pool C91447 3.50% 05/01/2032 34,193,669 37,324,158 Federal Home Loan Mortgage Corporation, Pool C91594 3.00% 01/01/2033 39,589,891 11,044,138 Federal Home Loan Mortgage Corporation, Pool C91596 3.00% 02/01/2033 11,714,659 5,687,080 Federal Home Loan Mortgage Corporation, Pool D98901 3.50% 01/01/2032 6,066,455 14,702,959 Federal Home Loan Mortgage Corporation, Pool D98923 3.50% 01/01/2032 15,680,773 15,040,288 Federal Home Loan Mortgage Corporation, Pool D99724 3.00% 11/01/2032 15,955,130 12,131,503 Federal Home Loan Mortgage Corporation, Pool G01840 5.00% 07/01/2035 14,110,268 2,452,515 Federal Home Loan Mortgage Corporation, Pool G04817 5.00% 09/01/2038 2,852,599 10,850,307 Federal Home Loan Mortgage Corporation, Pool G07801 4.00% 10/01/2044 11,909,751 23,376,798 Federal Home Loan Mortgage Corporation, Pool G07862 4.00% 01/01/2044 25,760,100 24,862,035 Federal Home Loan Mortgage Corporation, Pool G07905 4.00% 01/01/2042 27,193,748 46,808,710 Federal Home Loan Mortgage Corporation, Pool G08534 3.00% 06/01/2043 49,798,663 15,115,572 Federal Home Loan Mortgage Corporation, Pool G08537 3.00% 07/01/2043 16,079,174 30,005,763 Federal Home Loan Mortgage Corporation, Pool G08614 3.00% 11/01/2044 31,699,964 35,520,922 Federal Home Loan Mortgage Corporation, Pool G08619 3.00% 12/01/2044 37,499,194 48,589,823 Federal Home Loan Mortgage Corporation, Pool G08622 3.00% 01/01/2045 51,283,206 89,878,503 Federal Home Loan Mortgage Corporation, Pool G08626 3.00% 02/01/2045 94,861,044 47,626,044 Federal Home Loan Mortgage Corporation, Pool G08631 3.00% 03/01/2045 50,231,532 129,980,837 Federal Home Loan Mortgage Corporation, Pool G08635 3.00% 04/01/2045 137,058,394 38,751,204 Federal Home Loan Mortgage Corporation, Pool G08640 3.00% 05/01/2045 40,852,199 206,569,316 Federal Home Loan Mortgage Corporation, Pool G08648 3.00% 06/01/2045 217,701,035 39,933,210 Federal Home Loan Mortgage Corporation, Pool G08653 3.00% 07/01/2045 42,118,806 22,544,763 Federal Home Loan Mortgage Corporation, Pool G08658 3.00% 08/01/2045 23,754,942 25,459,893 Federal Home Loan Mortgage Corporation, Pool G08670 3.00% 10/01/2045 26,818,200 307,187,340 Federal Home Loan Mortgage Corporation, Pool G08675 3.00% 11/01/2045 323,566,649 128,495,737 Federal Home Loan Mortgage Corporation, Pool G08680 3.00% 12/01/2045 135,317,135 53,605,865 Federal Home Loan Mortgage Corporation, Pool G08686 3.00% 01/01/2046 56,420,537 119,919,163 Federal Home Loan Mortgage Corporation, Pool G08692 3.00% 02/01/2046 126,261,221 39,072,201 Federal Home Loan Mortgage Corporation, Pool G08705 3.00% 05/01/2046 41,122,229 44,619,571 Federal Home Loan Mortgage Corporation, Pool G08715 3.00% 08/01/2046 46,938,282 4,337,858 Federal Home Loan Mortgage Corporation, Pool G08741 3.00% 01/01/2047 4,578,804 2,946,033 Federal Home Loan Mortgage Corporation, Pool G08800 3.50% 02/01/2048 3,125,817 22,618,143 Federal Home Loan Mortgage Corporation, Pool G16072 3.00% 02/01/2032 24,461,372 45,269,609 Federal Home Loan Mortgage Corporation, Pool G60251 3.50% 10/01/2045 49,737,426 125,112,375 Federal Home Loan Mortgage Corporation, Pool G60393 3.50% 01/01/2046 135,907,849 20,272,248 Federal Home Loan Mortgage Corporation, Pool J22834 2.50% 03/01/2028 21,203,230 39,851,807 Federal Home Loan Mortgage Corporation, Pool Q13637 3.00% 11/01/2042 42,298,702 41,632,876 Federal Home Loan Mortgage Corporation, Pool Q13638 3.00% 11/01/2042 44,369,904 67,765,742 Federal Home Loan Mortgage Corporation, Pool Q16672 3.00% 03/01/2043 72,230,680 4,152,565 Federal Home Loan Mortgage Corporation, Pool Q23595 4.00% 12/01/2043 4,617,745 5,744,645 Federal Home Loan Mortgage Corporation, Pool Q24052 4.00% 01/01/2044 6,388,239 4,251,912 Federal Home Loan Mortgage Corporation, Pool Q24172 4.00% 01/01/2044 4,708,285 3,771,179 Federal Home Loan Mortgage Corporation, Pool Q24979 4.00% 02/01/2044 4,192,417 22,156,562 Federal Home Loan Mortgage Corporation, Pool Q31596 3.50% 02/01/2045 23,745,583 9,078,378 Federal Home Loan Mortgage Corporation, Pool Q32861 3.50% 04/01/2045 9,825,888 24,967,250 Federal Home Loan Mortgage Corporation, Pool Q32921 3.50% 04/01/2045 26,803,656 18,789,764 Federal Home Loan Mortgage Corporation, Pool Q39502 3.50% 03/01/2046 20,439,724 56,135,390 Federal Home Loan Mortgage Corporation, Pool Q44073 3.00% 09/01/2046 59,028,393 13,431,324 Federal Home Loan Mortgage Corporation, Pool RA2854 2.50% 06/01/2050 14,437,053 83,199,911 Federal Home Loan Mortgage Corporation, Pool RA3280 2.50% 08/01/2050 87,794,343 145,483,825 Federal Home Loan Mortgage Corporation, Pool RB5076 2.00% 08/01/2040 151,419,553 99,542,578 Federal Home Loan Mortgage Corporation, Pool RB5089 1.50% 12/01/2040 101,108,246 160,100,000 Federal Home Loan Mortgage Corporation, Pool RB5094 1.50% 01/01/2041 163,553,421 51,452,145 Federal Home Loan Mortgage Corporation, Pool RE6066 2.00% 10/01/2050 52,877,869 11,878,364 Federal Home Loan Mortgage Corporation, Pool SB0039 2.50% 04/01/2033 12,536,026 35,685,640 Federal Home Loan Mortgage Corporation, Pool SD0035 3.00% 04/01/2047 37,694,113 146,415,162 Federal Home Loan Mortgage Corporation, Pool SD8090 2.00% 09/01/2050 152,130,970 64,062,561 Federal Home Loan Mortgage Corporation, Pool SD8098 2.00% 10/01/2050 66,563,458 123,385,355 Federal Home Loan Mortgage Corporation, Pool SD8099 2.50% 10/01/2050 130,198,890 584,207,978 Federal Home Loan Mortgage Corporation, Pool SD8104 1.50% 11/01/2050 590,311,823 76,342,368 Federal Home Loan Mortgage Corporation, Pool SD8107 2.50% 11/01/2050 80,558,115 3,276,682 Federal Home Loan Mortgage Corporation, Pool T60392 4.00% 10/01/2041 3,492,863 3,888,284 Federal Home Loan Mortgage Corporation, Pool T60681 4.00% 05/01/2042 4,161,937 12,977,815 Federal Home Loan Mortgage Corporation, Pool T60782 3.50% 07/01/2042 13,586,668 16,393,040 Federal Home Loan Mortgage Corporation, Pool T60853 3.50% 09/01/2042 17,136,451 16,420,595 Federal Home Loan Mortgage Corporation, Pool T60854 3.50% 09/01/2042 17,189,591 1,378,182 Federal Home Loan Mortgage Corporation, Pool T65110 3.50% 10/01/2042 1,440,738 22,181,434 Federal Home Loan Mortgage Corporation, Pool T65492 3.00% 06/01/2048 22,893,806 2,074,962 Federal Home Loan Mortgage Corporation, Pool T69016 5.00% 06/01/2041 2,294,598 17,247,143 Federal Home Loan Mortgage Corporation, Pool T69050 3.50% 05/01/2046 18,375,710 319,583 Federal Home Loan Mortgage Corporation, Pool U60299 4.00% 11/01/2040 346,201 2,504,043 Federal Home Loan Mortgage Corporation, Pool U99125 3.00% 01/01/2043 2,716,369 43,885,758 Federal Home Loan Mortgage Corporation, Pool U99193 3.50% 03/01/2044 47,963,738 93,507,368 Federal Home Loan Mortgage Corporation, Pool V81821 3.00% 08/01/2045 101,082,073 26,154,160 Federal Home Loan Mortgage Corporation, Pool V82117 3.00% 12/01/2045 28,273,014 26,390,247 Federal Home Loan Mortgage Corporation, Pool V82209 3.50% 02/01/2046 28,667,035 11,311,955 Federal Home Loan Mortgage Corporation, Pool V82248 3.50% 03/01/2046 12,428,883 145,721,206 Federal Home Loan Mortgage Corporation, Pool Z40117 3.00% 04/01/2045 154,351,323 15,949,247 Federal Home Loan Mortgage Corporation, Pool ZS4750 3.00% 01/01/2048 16,711,881 30,879,169 Federal Home Loan Mortgage Corporation, Pool ZT1827 3.00% 07/01/2047 32,457,838 26,034,744 Federal Home Loan Mortgage Corporation, Series 2015-SC02-1A 3.00% 09/25/2045 26,489,493 14,363,797 Federal Home Loan Mortgage Corporation, Series 2016-SC01-1A 3.00% 07/25/2046 14,654,454 65,800,000 Federal Home Loan Mortgage Corporation, Series 2020-DNA2-M2 (1 Month LIBOR USD + 1.85%, 1.85% Floor) 2.00% ^ 02/25/2050 65,754,532 784,562 Federal Home Loan Mortgage Corporation, Series 2519-ZD 5.50% 11/15/2032 896,019 416,561 Federal Home Loan Mortgage Corporation, Series 2596-ZL 5.00% 04/15/2033 471,919 26,173,236 Federal Home Loan Mortgage Corporation, Series 267-30 3.00% 08/15/2042 27,606,301 287,683 Federal Home Loan Mortgage Corporation, Series 2684-ZN 4.00% 10/15/2033 318,068 51,157,457 Federal Home Loan Mortgage Corporation, Series 269-30 3.00% 08/15/2042 53,797,130 19,678,938 Federal Home Loan Mortgage Corporation, Series 274-30 3.00% 08/15/2042 20,756,160 1,918,163 Federal Home Loan Mortgage Corporation, Series 2750-ZT 5.00% 02/15/2034 2,175,447 66,233,976 Federal Home Loan Mortgage Corporation, Series 280-30 3.00% 09/15/2042 69,845,888 4,936,587 Federal Home Loan Mortgage Corporation, Series 2825-PZ 5.50% 07/15/2034 5,755,283 14,367,176 Federal Home Loan Mortgage Corporation, Series 284-300 3.00% 10/15/2042 15,348,764 3,002,974 Federal Home Loan Mortgage Corporation, Series 2898-JZ 5.00% 12/15/2034 3,414,407 7,003,803 Federal Home Loan Mortgage Corporation, Series 2899-AZ 5.00% 12/15/2034 7,979,640 4,515,359 Federal Home Loan Mortgage Corporation, Series 2909-Z 5.00% 12/15/2034 5,156,414 8,095,141 Federal Home Loan Mortgage Corporation, Series 2932-Z 5.00% 02/15/2035 9,272,698 424,109 Federal Home Loan Mortgage Corporation, Series 2990-JL (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) 6.49% I/F I/O 03/15/2035 29,382 3,150,477 Federal Home Loan Mortgage Corporation, Series 3002-SN (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) 6.34% I/F I/O 07/15/2035 627,913 2,257,874 Federal Home Loan Mortgage Corporation, Series 3030-SL (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) 5.94% I/F I/O 09/15/2035 333,266 669,058 Federal Home Loan Mortgage Corporation, Series 3045-DI (-1 x 1 Month LIBOR USD + 6.73%, 6.73% Cap) 6.57% I/F I/O 10/15/2035 118,144 4,870,361 Federal Home Loan Mortgage Corporation, Series 3116-Z 5.50% 02/15/2036 5,596,893 909,211 Federal Home Loan Mortgage Corporation, Series 3117-ZN 4.50% 02/15/2036 977,610 2,482,640 Federal Home Loan Mortgage Corporation, Series 3174-PZ 5.00% 01/15/2036 2,852,787 630,450 Federal Home Loan Mortgage Corporation, Series 3187-JZ 5.00% 07/15/2036 719,404 1,666,397 Federal Home Loan Mortgage Corporation, Series 3188-ZK 5.00% 07/15/2036 1,907,344 2,875,336 Federal Home Loan Mortgage Corporation, Series 3203-SE (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) 6.34% I/F I/O 08/15/2036 572,102 3,823,109 Federal Home Loan Mortgage Corporation, Series 3203-Z 5.00% 07/15/2036 4,388,900 6,057,743 Federal Home Loan Mortgage Corporation, Series 3203-ZC 5.00% 07/15/2036 6,954,243 3,435,388 Federal Home Loan Mortgage Corporation, Series 3261-SA (-1 x 1 Month LIBOR USD + 6.43%, 6.43% Cap) 6.27% I/F I/O 01/15/2037 783,348 11,789,165 Federal Home Loan Mortgage Corporation, Series 326-300 3.00% 03/15/2044 12,650,571 4,118,029 Federal Home Loan Mortgage Corporation, Series 3275-SC (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap) 5.92% I/F I/O 02/15/2037 629,785 967,252 Federal Home Loan Mortgage Corporation, Series 3315-HZ 6.00% 05/15/2037 1,117,110 2,700,393 Federal Home Loan Mortgage Corporation, Series 3326-GS (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) 6.49% I/F I/O 06/15/2037 478,664 595,586 Federal Home Loan Mortgage Corporation, Series 3351-ZC 5.50% 07/15/2037 696,719 7,356,806 Federal Home Loan Mortgage Corporation, Series 3355-BI (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.89% I/F I/O 08/15/2037 1,364,955 300,870 Federal Home Loan Mortgage Corporation, Series 3369-Z 6.00% 09/15/2037 348,738 779,357 Federal Home Loan Mortgage Corporation, Series 3405-ZG 5.50% 01/15/2038 881,322 1,236,472 Federal Home Loan Mortgage Corporation, Series 3417-SI (-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap) 6.02% I/F I/O 02/15/2038 166,645 1,929,008 Federal Home Loan Mortgage Corporation, Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap) 5.49% I/F I/O 03/15/2038 241,670 316,763 Federal Home Loan Mortgage Corporation, Series 3423-SG (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap) 5.49% I/F I/O 03/15/2038 39,577 255,286 Federal Home Loan Mortgage Corporation, Series 3451-S (-1 x 1 Month LIBOR USD + 6.03%, 6.03% Cap) 5.87% I/F I/O 02/15/2037 41,637 425,319 Federal Home Loan Mortgage Corporation, Series 3455-SC (-1 x 1 Month LIBOR USD + 6.06%, 6.06% Cap) 5.90% I/F I/O 06/15/2038 63,536 177,367 Federal Home Loan Mortgage Corporation, Series 3473-SM (-1 x 1 Month LIBOR USD + 6.07%, 6.07% Cap) 5.91% I/F I/O 07/15/2038 25,327 3,004,981 Federal Home Loan Mortgage Corporation, Series 3484-SE (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap) 5.69% I/F I/O 08/15/2038 525,819 3,802,928 Federal Home Loan Mortgage Corporation, Series 3519-SD (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap) 5.39% I/F I/O 02/15/2038 683,341 1,236,456 Federal Home Loan Mortgage Corporation, Series 3524-LB 3.51% I/O P/O 06/15/2038 1,332,176 78,020 Federal Home Loan Mortgage Corporation, Series 3530-GZ 4.50% > 05/15/2039 80,500 4,539,288 Federal Home Loan Mortgage Corporation, Series 3541-EI (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) 6.59% I/F I/O 06/15/2039 971,034 449,355 Federal Home Loan Mortgage Corporation, Series 3545-SA (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) 5.99% I/F I/O 06/15/2039 79,400 186,931 Federal Home Loan Mortgage Corporation, Series 3549-SA (-1 x 1 Month LIBOR USD + 5.80%, 5.80% Cap) 5.64% I/F I/O 07/15/2039 24,621 4,696,132 Federal Home Loan Mortgage Corporation, Series 3577-LS (-1 x 1 Month LIBOR USD + 7.20%, 7.20% Cap) 7.04% I/F I/O 08/15/2035 958,673 1,156,266 Federal Home Loan Mortgage Corporation, Series 3582-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.84% I/F I/O 10/15/2049 197,290 27,553,396 Federal Home Loan Mortgage Corporation, Series 358-300 3.00% 10/15/2047 28,848,791 1,496,415 Federal Home Loan Mortgage Corporation, Series 3583-GB 4.50% 10/15/2039 1,635,848 3,003,477 Federal Home Loan Mortgage Corporation, Series 3616-SG (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap) 6.19% I/F I/O 03/15/2032 489,732 4,180,522 Federal Home Loan Mortgage Corporation, Series 3626-AZ 5.50% 08/15/2036 4,855,678 5,846,990 Federal Home Loan Mortgage Corporation, Series 3641-Z 5.50% 02/15/2036 6,793,567 5,631,486 Federal Home Loan Mortgage Corporation, Series 3654-ZB 5.50% 11/15/2037 6,435,000 13,362,124 Federal Home Loan Mortgage Corporation, Series 3666-VZ 5.50% 08/15/2036 15,407,749 738,048 Federal Home Loan Mortgage Corporation, Series 3667-SB (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap) 6.29% I/F I/O 05/15/2040 115,698 5,336,322 Federal Home Loan Mortgage Corporation, Series 3702-SG (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.89% I/F I/O 08/15/2032 812,617 1,487,014 Federal Home Loan Mortgage Corporation, Series 3704-EI 5.00% I/O 12/15/2036 356,780 2,409,471 Federal Home Loan Mortgage Corporation, Series 3712-SG (-5 x 1 Month LIBOR USD + 25.00%, 25.00% Cap) 24.23% I/F 08/15/2040 3,588,209 3,285,628 Federal Home Loan Mortgage Corporation, Series 3724-CM 5.50% 06/15/2037 3,748,888 11,119,740 Federal Home Loan Mortgage Corporation, Series 3726-SA (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.89% I/F I/O 09/15/2040 2,198,277 1,691,619 Federal Home Loan Mortgage Corporation, Series 3741-SC (-2 x 1 Month LIBOR USD + 10.00%, 10.00% Cap) 9.68% I/F 10/15/2040 1,984,505 11,161,430 Federal Home Loan Mortgage Corporation, Series 3752-BS (-2 x 1 Month LIBOR USD + 10.00%, 10.00% Cap) 9.69% I/F 11/15/2040 13,244,312 19,764,114 Federal Home Loan Mortgage Corporation, Series 3768-ZX 5.00% > 12/15/2040 23,140,680 3,609,412 Federal Home Loan Mortgage Corporation, Series 3771-AL 4.00% 12/15/2030 3,882,408 10,473,792 Federal Home Loan Mortgage Corporation, Series 3779-BY 3.50% 12/15/2030 11,339,601 23,027,844 Federal Home Loan Mortgage Corporation, Series 3779-DZ 4.50% 12/15/2040 25,284,255 11,382,196 Federal Home Loan Mortgage Corporation, Series 3779-LB 4.00% 12/15/2030 12,514,665 2,833,741 Federal Home Loan Mortgage Corporation, Series 3779-YA 3.50% 12/15/2030 3,074,636 9,733,913 Federal Home Loan Mortgage Corporation, Series 3783-AC 4.00% 01/15/2031 10,756,305 7,058,328 Federal Home Loan Mortgage Corporation, Series 3786-SG (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap) 9.18% I/F 01/15/2041 7,849,200 8,377,958 Federal Home Loan Mortgage Corporation, Series 3788-AY 3.50% 01/15/2031 9,079,210 1,574,321 Federal Home Loan Mortgage Corporation, Series 3790-Z 4.00% 01/15/2041 1,722,876 8,451,643 Federal Home Loan Mortgage Corporation, Series 3795-VZ 4.00% 01/15/2041 9,156,983 9,870,432 Federal Home Loan Mortgage Corporation, Series 3798-FG (1 Month LIBOR USD + 0.51%, 0.51% Floor, 7.00% Cap) 0.67% 01/15/2041 9,985,686 161,217 Federal Home Loan Mortgage Corporation, Series 3798-SD (-2 x 1 Month LIBOR USD + 9.60%, 9.60% Cap) 9.28% I/F 12/15/2040 165,180 24,157,015 Federal Home Loan Mortgage Corporation, Series 3800-VZ 4.50% > 02/15/2041 27,406,394 2,515,875 Federal Home Loan Mortgage Corporation, Series 3803-ZM 4.00% 02/15/2041 2,743,195 28,612,818 Federal Home Loan Mortgage Corporation, Series 3806-CZ 5.50% 07/15/2034 33,190,738 11,771,099 Federal Home Loan Mortgage Corporation, Series 3808-DB 3.50% 02/15/2031 12,691,613 9,843,433 Federal Home Loan Mortgage Corporation, Series 3812-EY 3.50% 02/15/2031 10,659,094 4,232,367 Federal Home Loan Mortgage Corporation, Series 3818-CZ 4.50% 03/15/2041 4,807,947 4,353,300 Federal Home Loan Mortgage Corporation, Series 3819-MS (-1 x 1 Month LIBOR USD + 6.47%, 6.47% Cap) 6.31% I/F I/O 06/15/2040 362,758 6,357,795 Federal Home Loan Mortgage Corporation, Series 3819-ZU 5.50% 07/15/2034 7,386,630 22,980,119 Federal Home Loan Mortgage Corporation, Series 3824-EY 3.50% 03/15/2031 24,927,767 3,350,433 Federal Home Loan Mortgage Corporation, Series 3828-SW (-3 x 1 Month LIBOR USD + 13.20%, 13.20% Cap) 12.72% I/F 02/15/2041 5,268,869 8,467,288 Federal Home Loan Mortgage Corporation, Series 3829-VZ 4.00% 03/15/2041 9,507,282 8,099,215 Federal Home Loan Mortgage Corporation, Series 3843-PZ 5.00% > 04/15/2041 9,772,938 18,544,023 Federal Home Loan Mortgage Corporation, Series 3863-ZA 5.50% 08/15/2034 21,210,168 6,871,823 Federal Home Loan Mortgage Corporation, Series 3870-PB 4.50% 06/15/2041 7,625,341 30,623,575 Federal Home Loan Mortgage Corporation, Series 3871-LZ 5.50% 06/15/2041 35,694,679 9,427,296 Federal Home Loan Mortgage Corporation, Series 3872-BA 4.00% 06/15/2041 10,222,856 6,537,926 Federal Home Loan Mortgage Corporation, Series 3877-EY 4.50% 06/15/2041 7,007,702 2,505,329 Federal Home Loan Mortgage Corporation, Series 3877-GY 4.50% 06/15/2041 2,658,096 14,047,759 Federal Home Loan Mortgage Corporation, Series 3877-ZU 4.50% 06/15/2041 14,905,153 24,423,509 Federal Home Loan Mortgage Corporation, Series 3888-ZU 4.50% > 06/15/2041 27,954,309 3,988,271 Federal Home Loan Mortgage Corporation, Series 3900-SB (-1 x 1 Month LIBOR USD + 5.97%, 5.97% Cap) 5.81% I/F I/O 07/15/2041 717,935 19,581,470 Federal Home Loan Mortgage Corporation, Series 3901-VZ 4.00% 07/15/2041 21,845,971 25,754,751 Federal Home Loan Mortgage Corporation, Series 3910-GZ 5.00% 08/15/2041 30,209,278 4,130,567 Federal Home Loan Mortgage Corporation, Series 3910-ZE 5.00% 10/15/2034 4,724,371 5,559,672 Federal Home Loan Mortgage Corporation, Series 3919-KL 4.50% 09/15/2041 5,942,344 23,097,058 Federal Home Loan Mortgage Corporation, Series 3919-ZJ 4.00% 09/15/2041 25,826,842 1,640,983 Federal Home Loan Mortgage Corporation, Series 3942-JZ 4.00% 10/15/2041 1,741,584 7,036,744 Federal Home Loan Mortgage Corporation, Series 3944-AZ 4.00% 10/15/2041 7,703,521 2,973,918 Federal Home Loan Mortgage Corporation, Series 3946-SM (-3 x 1 Month LIBOR USD + 14.70%, 14.70% Cap) 14.22% I/F 10/15/2041 4,614,759 18,949,453 Federal Home Loan Mortgage Corporation, Series 3969-AB 4.00% 10/15/2033 20,670,132 6,559,353 Federal Home Loan Mortgage Corporation, Series 3982-AZ 3.50% 01/15/2042 7,174,154 68,615,622 Federal Home Loan Mortgage Corporation, Series 3990-ZA 3.50% > 01/15/2042 75,553,347 7,704,418 Federal Home Loan Mortgage Corporation, Series 3999-EZ 4.00% 02/15/2042 8,380,618 44,874,128 Federal Home Loan Mortgage Corporation, Series 3999-ZB 4.00% 02/15/2042 49,106,154 33,886,489 Federal Home Loan Mortgage Corporation, Series 4016-KZ 4.00% > 03/15/2042 38,490,050 5,629,901 Federal Home Loan Mortgage Corporation, Series 4050-BC 2.00% 05/15/2041 5,670,006 3,280,004 Federal Home Loan Mortgage Corporation, Series 4050-ND 2.50% 09/15/2041 3,369,450 84,249,206 Federal Home Loan Mortgage Corporation, Series 4057-ZA 4.00% > 06/15/2042 95,210,264 83,941,319 Federal Home Loan Mortgage Corporation, Series 4084-TZ 4.00% > 07/15/2042 94,718,721 1,964,933 Federal Home Loan Mortgage Corporation, Series 4097-TG 2.00% 05/15/2039 1,974,224 46,091,297 Federal Home Loan Mortgage Corporation, Series 4097-ZA 3.50% > 08/15/2042 50,000,286 80,191,274 Federal Home Loan Mortgage Corporation, Series 4109-GE 4.50% 10/15/2041 89,488,659 26,050,234 Federal Home Loan Mortgage Corporation, Series 4116-AP 1.35% 08/15/2042 26,173,572 4,336,616 Federal Home Loan Mortgage Corporation, Series 4121-AV 3.00% 12/15/2035 4,654,593 27,580,073 Federal Home Loan Mortgage Corporation, Series 4160-HP 2.50% 01/15/2033 29,097,388 29,045,267 Federal Home Loan Mortgage Corporation, Series 4162-ZJ 3.00% 02/15/2033 31,145,966 4,866,633 Federal Home Loan Mortgage Corporation, Series 4165-ZT 3.00% 02/15/2043 4,904,215 47,271,891 Federal Home Loan Mortgage Corporation, Series 4174-Z 3.50% > 03/15/2043 53,045,307 120,330,393 Federal Home Loan Mortgage Corporation, Series 4179-AZ 4.00% > 01/15/2041 134,232,789 31,315,738 Federal Home Loan Mortgage Corporation, Series 4183-ZB 3.00% 03/15/2043 31,098,016 11,513,425 Federal Home Loan Mortgage Corporation, Series 4186-ZJ 3.00% 03/15/2033 12,069,765 13,000,000 Federal Home Loan Mortgage Corporation, Series 4189-ML 3.00% 04/15/2038 14,004,281 98,028,524 Federal Home Loan Mortgage Corporation, Series 4212-US (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) 5.21% I/F 06/15/2043 106,319,227 44,437,960 Federal Home Loan Mortgage Corporation, Series 4223-US (-1 x 1 Month LIBOR USD + 5.43%, 5.43% Cap) 5.24% I/F 07/15/2043 48,835,847 26,894,064 Federal Home Loan Mortgage Corporation, Series 4223-ZV 4.00% > 07/15/2043 30,410,839 15,709,324 Federal Home Loan Mortgage Corporation, Series 4229-TZ 3.00% 06/15/2043 16,370,558 33,617,580 Federal Home Loan Mortgage Corporation, Series 4229-ZA 4.00% > 07/15/2043 37,927,724 14,982,083 Federal Home Loan Mortgage Corporation, Series 4249-CS (-1 x 1 Month LIBOR USD + 4.65%, 4.65% Cap) 4.53% I/F 09/15/2043 15,619,332 23,718,793 Federal Home Loan Mortgage Corporation, Series 4250-BZ 3.00% > 09/15/2033 25,946,960 20,734,981 Federal Home Loan Mortgage Corporation, Series 4267-BZ 4.00% 10/15/2040 22,731,142 23,433,741 Federal Home Loan Mortgage Corporation, Series 4283-ZL 3.00% > 08/15/2033 25,828,716 11,749,144 Federal Home Loan Mortgage Corporation, Series 4323-GA 3.00% 06/15/2040 11,847,000 20,741,911 Federal Home Loan Mortgage Corporation, Series 4355-ZX 4.00% > 05/15/2044 23,677,292 10,075,165 Federal Home Loan Mortgage Corporation, Series 4360-KA 3.00% 05/15/2040 10,213,962 13,437,971 Federal Home Loan Mortgage Corporation, Series 4375-CG 3.00% 04/15/2039 13,560,262 16,320,999 Federal Home Loan Mortgage Corporation, Series 4376-GZ 3.00% > 08/15/2044 18,100,755 51,888,403 Federal Home Loan Mortgage Corporation, Series 4377-LZ 3.00% > 08/15/2044 57,317,123 36,031,407 Federal Home Loan Mortgage Corporation, Series 4377-UZ 3.00% 08/15/2044 36,917,589 3,067,960 Federal Home Loan Mortgage Corporation, Series 4379-KA 3.00% 08/15/2044 3,296,665 9,651,821 Federal Home Loan Mortgage Corporation, Series 4384-A 3.00% 12/15/2040 9,808,861 28,363,062 Federal Home Loan Mortgage Corporation, Series 4384-ZY 3.00% > 09/15/2044 30,859,358 75,115,439 Federal Home Loan Mortgage Corporation, Series 4390-NY 3.00% 06/15/2040 76,229,078 143,749,006 Federal Home Loan Mortgage Corporation, Series 4390-NZ 3.00% > 09/15/2044 156,955,889 18,729,493 Federal Home Loan Mortgage Corporation, Series 4391-MA 3.00% 07/15/2040 19,001,917 31,473,504 Federal Home Loan Mortgage Corporation, Series 4408-PB 3.00% 04/15/2044 32,556,319 43,257,905 Federal Home Loan Mortgage Corporation, Series 4427-CE 3.00% 02/15/2034 45,493,695 31,362,901 Federal Home Loan Mortgage Corporation, Series 4427-MA 3.00% 02/15/2034 33,172,647 17,756,384 Federal Home Loan Mortgage Corporation, Series 4427-PS (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) 5.44% I/F I/O 07/15/2044 2,044,245 52,217,126 Federal Home Loan Mortgage Corporation (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 08/25/2048 10,103,685 21,377,495 Federal Home Loan Mortgage Corporation, Series 4429-HA 3.00% 04/15/2034 22,046,886 27,392,680 Federal Home Loan Mortgage Corporation, Series 4434-LZ 3.00% > 02/15/2045 30,332,961 4,783,448 Federal Home Loan Mortgage Corporation, Series 4438-B 3.00% 10/15/2043 4,929,494 10,242,480 Federal Home Loan Mortgage Corporation, Series 4441-VZ 3.00% > 02/15/2045 11,328,687 22,325,083 Federal Home Loan Mortgage Corporation, Series 4444-CH 3.00% 01/15/2041 22,687,799 29,774,652 Federal Home Loan Mortgage Corporation, Series 4444-CZ 3.00% > 02/15/2045 32,499,167 19,870,486 Federal Home Loan Mortgage Corporation, Series 4447-A 3.00% 06/15/2041 20,190,689 28,936,730 Federal Home Loan Mortgage Corporation, Series 4447-YZ 4.00% > 08/15/2043 32,541,981 8,910,120 Federal Home Loan Mortgage Corporation, Series 4450-JZ 3.00% > 03/15/2045 9,320,472 7,748,549 Federal Home Loan Mortgage Corporation, Series 4461-LZ 3.00% > 03/15/2045 8,189,753 9,139,132 Federal Home Loan Mortgage Corporation, Series 4462-ZA 3.00% > 04/15/2045 9,685,522 53,327,404 Federal Home Loan Mortgage Corporation, Series 4463-ZC 3.00% > 04/15/2045 57,256,012 29,626,336 Federal Home Loan Mortgage Corporation, Series 4467-ZA 3.00% > 04/15/2045 31,583,845 67,132,110 Federal Home Loan Mortgage Corporation, Series 4471-BA 3.00% 12/15/2041 69,243,939 58,375,093 Federal Home Loan Mortgage Corporation, Series 4471-BC 3.00% 12/15/2041 60,270,141 77,868,124 Federal Home Loan Mortgage Corporation, Series 4471-GA 3.00% 02/15/2044 81,697,320 25,517,226 Federal Home Loan Mortgage Corporation, Series 4481-B 3.00% 12/15/2042 26,167,318 122,228,897 Federal Home Loan Mortgage Corporation, Series 4483-CA 3.00% 06/15/2044 128,248,462 58,451,647 Federal Home Loan Mortgage Corporation, Series 4483-PA 2.50% 06/15/2045 60,956,264 17,687,255 Federal Home Loan Mortgage Corporation, Series 4484-ZL 3.00% > 06/15/2045 18,479,822 9,667,299 Federal Home Loan Mortgage Corporation, Series 4492-GZ 3.50% > 07/15/2045 10,309,129 13,079,283 Federal Home Loan Mortgage Corporation, Series 4498-PD 2.50% 08/15/2042 13,319,570 13,926,580 Federal Home Loan Mortgage Corporation, Series 4499-AB 3.00% 06/15/2042 14,234,505 27,422,998 Federal Home Loan Mortgage Corporation, Series 4504-CA 3.00% 04/15/2044 28,725,034 1,169,734 Federal Home Loan Mortgage Corporation, Series 4511-QA 3.00% 01/15/2041 1,169,983 3,147,076 Federal Home Loan Mortgage Corporation, Series 4511-QC 3.00% 12/15/2040 3,155,277 82,816,908 Federal Home Loan Mortgage Corporation, Series 4527-CA 3.00% 02/15/2044 86,222,820 37,322,641 Federal Home Loan Mortgage Corporation, Series 4527-GA 3.00% 02/15/2044 39,330,905 81,651,074 Federal Home Loan Mortgage Corporation, Series 4533-AB 3.00% 06/15/2044 84,587,541 76,478,442 Federal Home Loan Mortgage Corporation, Series 4543-HG 2.70% 04/15/2044 80,046,903 116,087,150 Federal Home Loan Mortgage Corporation, Series 4573-CA 3.00% 11/15/2044 123,633,419 31,326,361 Federal Home Loan Mortgage Corporation, Series 4573-DA 3.00% 03/15/2045 33,342,438 81,239,360 Federal Home Loan Mortgage Corporation, Series 4582-HA 3.00% 09/15/2045 85,739,371 35,137,721 Federal Home Loan Mortgage Corporation, Series 4588-DA 3.00% 02/15/2044 36,217,137 34,460,975 Federal Home Loan Mortgage Corporation, Series 4629-KA 3.00% 03/15/2045 35,367,478 11,129,051 Federal Home Loan Mortgage Corporation, Series 4738-LA 3.00% 11/15/2043 11,210,291 21,733,747 Federal Home Loan Mortgage Corporation, Series 4744-KA 3.00% 08/15/2046 22,614,068 28,703,213 Federal Home Loan Mortgage Corporation, Series 4750-PA 3.00% 07/15/2046 29,554,780 44,076,992 Federal Home Loan Mortgage Corporation, Series 4752-PL 3.00% 09/15/2046 45,915,593 14,153,222 Federal Home Loan Mortgage Corporation, Series 4763-QA 3.00% 06/15/2043 14,250,345 23,285,262 Federal Home Loan Mortgage Corporation, Series 4766-JA 3.00% 07/15/2044 23,681,261 9,708,038 Federal Home Loan Mortgage Corporation, Series 4778-NA 4.50% 06/15/2044 9,820,498 14,507,111 Federal Home Loan Mortgage Corporation, Series 4791-IO 3.00% I/O 05/15/2048 820,734 104,549,401 Federal Home Loan Mortgage Corporation, Series 4791-JT 3.00% 05/15/2048 108,838,916 13,112,584 Federal Home Loan Mortgage Corporation, Series 4791-LI 3.00% I/O 05/15/2048 648,749 13,112,584 Federal Home Loan Mortgage Corporation, Series 4791-LO 0.00% P/O 05/15/2048 12,236,245 46,797,132 Federal Home Loan Mortgage Corporation, Series 4791-PO 0.00% P/O 05/15/2048 43,305,790 39,464,330 Federal Home Loan Mortgage Corporation, Series 4792-A 3.00% 05/15/2048 41,055,137 21,206,193 Federal Home Loan Mortgage Corporation, Series 4793-C 3.00% 06/15/2048 22,240,766 21,630,860 Federal Home Loan Mortgage Corporation, Series 4795-AO 0.00% P/O 05/15/2048 21,067,836 28,438,138 Federal Home Loan Mortgage Corporation, Series 4800-MZ 4.00% > 06/15/2048 30,997,059 19,895,725 Federal Home Loan Mortgage Corporation, Series 4801-OG 0.00% P/O 06/15/2048 18,514,983 6,863,384 Federal Home Loan Mortgage Corporation, Series 4827-KA 4.00% 06/15/2044 6,879,358 4,122,240 Federal Home Loan Mortgage Corporation, Series 4868-Z 4.00% > 03/15/2049 4,441,692 22,023,486 Federal Home Loan Mortgage Corporation, Series 4901-BD 3.00% 07/25/2049 23,517,062 41,810,411 Federal Home Loan Mortgage Corporation, Series R003-ZA 5.50% 10/15/2035 48,682,805 95,000,000 Federal Home Loan Mortgage Corporation, Series-1517-A2 1.72% 07/25/2035 97,009,934 800,000,000 Federal National Mortgage Association 2.00% 01/15/2051 830,967,720 500,000,000 Federal National Mortgage Association 1.50% 01/15/2051 505,136,075 750,000,000 Federal National Mortgage Association 2.50% 02/15/2051 789,168,945 6,152,032 Federal National Mortgage Association Pass-Thru, Pool 555743 5.00% 09/01/2033 7,092,481 4,587,197 Federal National Mortgage Association Pass-Thru, Pool 735382 5.00% 04/01/2035 5,331,257 7,429,971 Federal National Mortgage Association Pass-Thru, Pool 735402 5.00% 04/01/2035 8,628,503 5,129,823 Federal National Mortgage Association Pass-Thru, Pool 735484 5.00% 05/01/2035 5,957,794 2,058,784 Federal National Mortgage Association Pass-Thru, Pool 735667 5.00% 07/01/2035 2,383,798 1,707,793 Federal National Mortgage Association Pass-Thru, Pool 735893 5.00% 10/01/2035 1,984,858 4,169,060 Federal National Mortgage Association Pass-Thru, Pool 745275 5.00% 02/01/2036 4,846,851 171,075 Federal National Mortgage Association Pass-Thru, Pool 888695 5.00% 08/01/2037 198,826 1,033,504 Federal National Mortgage Association Pass-Thru, Pool 888968 5.00% 08/01/2035 1,201,770 8,253,688 Federal National Mortgage Association Pass-Thru, Pool 890549 4.00% 11/01/2043 9,149,487 10,013,604 Federal National Mortgage Association Pass-Thru, Pool 890565 3.00% 11/01/2043 10,648,350 578,450 Federal National Mortgage Association Pass-Thru, Pool 931104 5.00% 05/01/2039 644,723 132,457 Federal National Mortgage Association Pass-Thru, Pool 975116 5.00% 05/01/2038 154,072 1,208,453 Federal National Mortgage Association Pass-Thru, Pool 986864 6.50% 08/01/2038 1,439,874 822,907 Federal National Mortgage Association Pass-Thru, Pool 987316 6.50% 09/01/2038 995,339 8,160,704 Federal National Mortgage Association Pass-Thru, Pool 995203 5.00% 07/01/2035 9,460,004 13,530,907 Federal National Mortgage Association Pass-Thru, Pool 995849 5.00% 08/01/2036 15,709,295 11,925,510 Federal National Mortgage Association Pass-Thru, Pool AB2123 4.00% 01/01/2031 12,850,800 184,547 Federal National Mortgage Association Pass-Thru, Pool AB2370 4.50% 09/01/2035 196,946 892,216 Federal National Mortgage Association Pass-Thru, Pool AB3713 4.00% 10/01/2031 957,089 5,706,654 Federal National Mortgage Association Pass-Thru, Pool AB3796 3.50% 11/01/2031 6,149,160 1,341,666 Federal National Mortgage Association Pass-Thru, Pool AB3850 4.00% 11/01/2041 1,410,526 3,912,641 Federal National Mortgage Association Pass-Thru, Pool AB3923 4.00% 11/01/2041 4,124,790 21,733,700 Federal National Mortgage Association Pass-Thru, Pool AB4167 3.50% 01/01/2032 23,450,248 19,331,622 Federal National Mortgage Association Pass-Thru, Pool AB4261 3.50% 01/01/2032 20,612,517 3,461,847 Federal National Mortgage Association Pass-Thru, Pool AB5084 3.50% 05/01/2032 3,743,488 7,099,132 Federal National Mortgage Association Pass-Thru, Pool AB5156 3.50% 05/01/2032 7,570,626 11,943,014 Federal National Mortgage Association Pass-Thru, Pool AB5212 3.50% 05/01/2032 12,834,163 5,546,897 Federal National Mortgage Association Pass-Thru, Pool AB5243 4.00% 05/01/2042 5,835,000 18,752,152 Federal National Mortgage Association Pass-Thru, Pool AB5911 3.00% 08/01/2032 19,886,973 6,080,760 Federal National Mortgage Association Pass-Thru, Pool AB6280 3.00% 09/01/2042 6,601,213 7,957,537 Federal National Mortgage Association Pass-Thru, Pool AB6349 3.00% 10/01/2032 8,434,958 23,513,801 Federal National Mortgage Association Pass-Thru, Pool AB6750 3.00% 10/01/2032 24,931,643 11,198,360 Federal National Mortgage Association Pass-Thru, Pool AB6751 3.00% 10/01/2032 11,829,686 68,238,418 Federal National Mortgage Association Pass-Thru, Pool AB6854 3.00% 11/01/2042 72,411,675 49,278,881 Federal National Mortgage Association Pass-Thru, Pool AB7077 3.00% 11/01/2042 52,272,933 39,232,343 Federal National Mortgage Association Pass-Thru, Pool AB7344 3.00% 12/01/2032 41,607,166 21,796,156 Federal National Mortgage Association Pass-Thru, Pool AB7776 3.00% 02/01/2043 23,646,009 24,617,567 Federal National Mortgage Association Pass-Thru, Pool AB7877 3.00% 02/01/2043 26,714,770 10,398,177 Federal National Mortgage Association Pass-Thru, Pool AB8418 3.00% 02/01/2033 11,027,770 14,433,004 Federal National Mortgage Association Pass-Thru, Pool AB8520 3.00% 02/01/2033 15,306,975 19,232,385 Federal National Mortgage Association Pass-Thru, Pool AB8703 3.00% 03/01/2038 20,340,233 8,157,110 Federal National Mortgage Association Pass-Thru, Pool AB8858 3.00% 04/01/2033 8,642,210 15,118,378 Federal National Mortgage Association Pass-Thru, Pool AB9020 3.00% 04/01/2038 15,930,629 13,300,265 Federal National Mortgage Association Pass-Thru, Pool AB9197 3.00% 05/01/2033 14,105,750 40,187,418 Federal National Mortgage Association Pass-Thru, Pool AB9406 3.00% 05/01/2033 42,576,116 7,373,409 Federal National Mortgage Association Pass-Thru, Pool AB9409 3.00% 05/01/2033 7,815,217 637,702 Federal National Mortgage Association Pass-Thru, Pool AD2177 4.50% 06/01/2030 696,256 632,996 Federal National Mortgage Association Pass-Thru, Pool AD6438 5.00% 06/01/2040 730,350 462,392 Federal National Mortgage Association Pass-Thru, Pool AD7859 5.00% 06/01/2040 534,469 5,156,521 Federal National Mortgage Association Pass-Thru, Pool AH0607 4.00% 12/01/2040 5,626,174 561,012 Federal National Mortgage Association Pass-Thru, Pool AH1140 4.50% 12/01/2040 603,683 4,367,668 Federal National Mortgage Association Pass-Thru, Pool AH4437 4.00% 01/01/2041 4,591,689 1,365,026 Federal National Mortgage Association Pass-Thru, Pool AH7309 4.00% 02/01/2031 1,470,934 3,788,909 Federal National Mortgage Association Pass-Thru, Pool AH9323 4.00% 04/01/2026 4,029,665 1,039,092 Federal National Mortgage Association Pass-Thru, Pool AI9831 4.00% 09/01/2041 1,092,177 865,675 Federal National Mortgage Association Pass-Thru, Pool AJ1265 4.00% 09/01/2041 935,755 828,103 Federal National Mortgage Association Pass-Thru, Pool AJ1399 4.00% 09/01/2041 870,603 2,283,680 Federal National Mortgage Association Pass-Thru, Pool AJ1467 4.00% 10/01/2041 2,404,382 2,269,199 Federal National Mortgage Association Pass-Thru, Pool AJ3392 4.00% 10/01/2041 2,385,215 1,188,923 Federal National Mortgage Association Pass-Thru, Pool AJ3854 4.00% 10/01/2041 1,249,852 11,223,718 Federal National Mortgage Association Pass-Thru, Pool AJ4118 4.00% 11/01/2041 11,806,090 3,072,897 Federal National Mortgage Association Pass-Thru, Pool AJ4131 4.00% 10/01/2041 3,232,194 1,142,200 Federal National Mortgage Association Pass-Thru, Pool AJ5172 4.00% 11/01/2041 1,203,987 16,547,935 Federal National Mortgage Association Pass-Thru, Pool AJ5322 4.00% 11/01/2041 18,041,975 8,203,917 Federal National Mortgage Association Pass-Thru, Pool AJ7677 3.50% 12/01/2041 8,575,350 1,669,907 Federal National Mortgage Association Pass-Thru, Pool AJ8334 4.00% 12/01/2041 1,760,648 19,644,496 Federal National Mortgage Association Pass-Thru, Pool AK0713 3.50% 01/01/2032 20,940,093 3,925,607 Federal National Mortgage Association Pass-Thru, Pool AK4039 4.00% 02/01/2042 4,129,482 4,201,745 Federal National Mortgage Association Pass-Thru, Pool AK4763 4.00% 02/01/2042 4,423,151 3,237,316 Federal National Mortgage Association Pass-Thru, Pool AK9438 4.00% 03/01/2042 3,403,395 4,563,639 Federal National Mortgage Association Pass-Thru, Pool AK9439 4.00% 03/01/2042 4,804,827 578,375 Federal National Mortgage Association Pass-Thru, Pool AK9446 4.50% 03/01/2042 634,428 86,365,286 Federal National Mortgage Association Pass-Thru, Pool AL3699 3.00% 06/01/2043 93,749,866 42,927,081 Federal National Mortgage Association Pass-Thru, Pool AL3883 3.00% 07/01/2043 46,598,519 1,685,213 Federal National Mortgage Association Pass-Thru, Pool AL4292 4.50% 04/01/2026 1,790,524 7,157,314 Federal National Mortgage Association Pass-Thru, Pool AL4312 4.00% 10/01/2043 7,957,058 16,868,899 Federal National Mortgage Association Pass-Thru, Pool AL6075 3.50% 09/01/2053 17,584,025 25,302,449 Federal National Mortgage Association Pass-Thru, Pool AL6076 3.00% 06/01/2053 26,116,175 49,627,985 Federal National Mortgage Association Pass-Thru, Pool AL6141 4.00% 04/01/2042 54,439,515 40,841,520 Federal National Mortgage Association Pass-Thru, Pool AL6325 3.00% 10/01/2044 43,498,247 14,519,429 Federal National Mortgage Association Pass-Thru, Pool AL6486 4.50% 02/01/2045 16,106,076 43,275,035 Federal National Mortgage Association Pass-Thru, Pool AL6538 4.50% 06/01/2044 48,527,113 40,395,774 Federal National Mortgage Association Pass-Thru, Pool AL8304 3.50% 03/01/2046 44,372,545 17,022,315 Federal National Mortgage Association Pass-Thru, Pool AO2980 4.00% 05/01/2042 17,948,274 30,306,932 Federal National Mortgage Association Pass-Thru, Pool AP4787 3.50% 09/01/2042 31,678,295 33,554,991 Federal National Mortgage Association Pass-Thru, Pool AP4789 3.50% 09/01/2042 35,094,020 10,302,787 Federal National Mortgage Association Pass-Thru, Pool AQ5541 3.00% 12/01/2042 10,937,981 12,468,809 Federal National Mortgage Association Pass-Thru, Pool AR9856 3.00% 04/01/2043 13,265,299 14,883,548 Federal National Mortgage Association Pass-Thru, Pool AS1927 4.50% 03/01/2044 16,518,628 13,547,976 Federal National Mortgage Association Pass-Thru, Pool AS2038 4.50% 03/01/2044 15,037,195 10,179,648 Federal National Mortgage Association Pass-Thru, Pool AS2517 4.50% 05/01/2044 11,226,805 4,467,038 Federal National Mortgage Association Pass-Thru, Pool AS2551 4.50% 06/01/2044 4,936,783 4,662,082 Federal National Mortgage Association Pass-Thru, Pool AS2765 4.50% 07/01/2044 5,178,937 20,230,224 Federal National Mortgage Association Pass-Thru, Pool AS3201 3.00% 08/01/2034 21,436,446 9,985,742 Federal National Mortgage Association Pass-Thru, Pool AS3456 3.00% 10/01/2034 10,587,491 16,201,010 Federal National Mortgage Association Pass-Thru, Pool AS3666 3.00% 10/01/2034 17,074,036 69,963,856 Federal National Mortgage Association Pass-Thru, Pool AS3961 3.00% 12/01/2044 73,765,198 23,238,371 Federal National Mortgage Association Pass-Thru, Pool AS4154 3.00% 12/01/2044 24,517,033 16,400,580 Federal National Mortgage Association Pass-Thru, Pool AS4212 3.00% 01/01/2035 17,378,423 21,978,610 Federal National Mortgage Association Pass-Thru, Pool AS4281 3.00% 01/01/2035 23,163,064 18,643,094 Federal National Mortgage Association Pass-Thru, Pool AS4345 3.50% 01/01/2045 20,478,178 20,475,883 Federal National Mortgage Association Pass-Thru, Pool AS4360 3.00% 01/01/2035 21,660,342 144,889,204 Federal National Mortgage Association Pass-Thru, Pool AS4625 3.00% 03/01/2045 152,614,248 62,213,405 Federal National Mortgage Association Pass-Thru, Pool AS4645 3.00% 03/01/2045 65,517,837 24,561,754 Federal National Mortgage Association Pass-Thru, Pool AS4779 3.00% 04/01/2035 25,969,865 20,314,026 Federal National Mortgage Association Pass-Thru, Pool AS4780 3.00% 04/01/2035 21,478,579 25,685,310 Federal National Mortgage Association Pass-Thru, Pool AS4840 3.00% 04/01/2035 27,038,528 14,729,862 Federal National Mortgage Association Pass-Thru, Pool AS4881 3.00% 05/01/2035 15,574,279 16,973,824 Federal National Mortgage Association Pass-Thru, Pool AS4882 3.00% 05/01/2035 17,946,914 29,264,952 Federal National Mortgage Association Pass-Thru, Pool AX9696 3.00% 07/01/2045 30,314,561 38,246,139 Federal National Mortgage Association Pass-Thru, Pool AY3974 3.00% 03/01/2045 40,340,535 9,461,646 Federal National Mortgage Association Pass-Thru, Pool AY4295 3.00% 02/01/2045 9,800,978 3,825,628 Federal National Mortgage Association Pass-Thru, Pool AY4296 3.00% 01/01/2045 3,962,556 9,443,407 Federal National Mortgage Association Pass-Thru, Pool AY5471 3.00% 03/01/2045 9,811,123 14,840,153 Federal National Mortgage Association Pass-Thru, Pool BC0785 3.50% 04/01/2046 16,301,851 32,299,498 Federal National Mortgage Association Pass-Thru, Pool BC9003 3.00% 11/01/2046 33,988,439 1,420,537 Federal National Mortgage Association Pass-Thru, Pool MA0264 4.50% 12/01/2029 1,552,921 5,439,769 Federal National Mortgage Association Pass-Thru, Pool MA0353 4.50% 03/01/2030 5,946,766 1,168,963 Federal National Mortgage Association Pass-Thru, Pool MA0406 4.50% 05/01/2030 1,277,913 84,403 Federal National Mortgage Association Pass-Thru, Pool MA0445 5.00% 06/01/2040 91,818 148,389 Federal National Mortgage Association Pass-Thru, Pool MA0468 5.00% 07/01/2040 161,420 1,720,306 Federal National Mortgage Association Pass-Thru, Pool MA0534 4.00% 10/01/2030 1,853,728 375,851 Federal National Mortgage Association Pass-Thru, Pool MA0587 4.00% 12/01/2030 405,005 9,511,602 Federal National Mortgage Association Pass-Thru, Pool MA0616 4.00% 01/01/2031 10,249,439 3,038,141 Federal National Mortgage Association Pass-Thru, Pool MA0896 4.00% 11/01/2041 3,195,926 72,244,367 Federal National Mortgage Association Pass-Thru, Pool MA0919 3.50% 12/01/2031 77,040,769 30,142,497 Federal National Mortgage Association Pass-Thru, Pool MA0949 3.50% 01/01/2032 32,133,407 36,498,092 Federal National Mortgage Association Pass-Thru, Pool MA0976 3.50% 02/01/2032 38,903,782 18,064,131 Federal National Mortgage Association Pass-Thru, Pool MA1010 3.50% 03/01/2032 19,387,633 4,646,206 Federal National Mortgage Association Pass-Thru, Pool MA1039 3.50% 04/01/2042 4,850,585 24,955,671 Federal National Mortgage Association Pass-Thru, Pool MA1059 3.50% 05/01/2032 26,613,231 3,044,190 Federal National Mortgage Association Pass-Thru, Pool MA1068 3.50% 05/01/2042 3,178,911 53,070,795 Federal National Mortgage Association Pass-Thru, Pool MA1084 3.50% 06/01/2032 57,571,336 6,901,668 Federal National Mortgage Association Pass-Thru, Pool MA1093 3.50% 06/01/2042 7,215,295 4,779,742 Federal National Mortgage Association Pass-Thru, Pool MA1094 4.00% 06/01/2042 5,027,849 32,745,292 Federal National Mortgage Association Pass-Thru, Pool MA1107 3.50% 07/01/2032 35,409,409 70,749,785 Federal National Mortgage Association Pass-Thru, Pool MA1117 3.50% 07/01/2042 73,974,412 78,070,235 Federal National Mortgage Association Pass-Thru, Pool MA1136 3.50% 08/01/2042 81,539,493 21,861,275 Federal National Mortgage Association Pass-Thru, Pool MA1138 3.50% 08/01/2032 23,634,494 19,524,147 Federal National Mortgage Association Pass-Thru, Pool MA1179 3.50% 09/01/2042 20,393,669 4,216,602 Federal National Mortgage Association Pass-Thru, Pool MA1201 3.50% 10/01/2032 4,559,758 40,890,154 Federal National Mortgage Association Pass-Thru, Pool MA1209 3.50% 10/01/2042 42,691,863 28,380,754 Federal National Mortgage Association Pass-Thru, Pool MA1237 3.00% 11/01/2032 29,890,839 3,043,804 Federal National Mortgage Association Pass-Thru, Pool MA1242 3.50% 11/01/2042 3,182,929 15,829,123 Federal National Mortgage Association Pass-Thru, Pool MA1338 3.00% 02/01/2033 16,787,528 62,737,464 Federal National Mortgage Association Pass-Thru, Pool MA1366 3.00% 03/01/2033 66,038,704 38,254,918 Federal National Mortgage Association Pass-Thru, Pool MA1401 3.00% 04/01/2033 40,440,707 66,406,605 Federal National Mortgage Association Pass-Thru, Pool MA1459 3.00% 06/01/2033 70,183,841 8,502,888 Federal National Mortgage Association Pass-Thru, Pool MA1490 3.00% 07/01/2033 9,017,893 43,121,055 Federal National Mortgage Association Pass-Thru, Pool MA2018 3.50% 09/01/2034 46,619,985 13,256,263 Federal National Mortgage Association Pass-Thru, Pool MA2114 3.50% 12/01/2044 13,853,930 10,455,761 Federal National Mortgage Association Pass-Thru, Pool MA2151 3.50% 01/01/2045 10,927,170 25,902,499 Federal National Mortgage Association Pass-Thru, Pool MA2164 3.50% 02/01/2035 27,831,357 36,442,810 Federal National Mortgage Association Pass-Thru, Pool MA2166 3.50% 02/01/2045 38,084,037 34,610,372 Federal National Mortgage Association Pass-Thru, Pool MA2248 3.00% 04/01/2045 35,847,990 41,618,714 Federal National Mortgage Association Pass-Thru, Pool MA2270 3.00% 05/01/2045 43,107,214 52,930,465 Federal National Mortgage Association Pass-Thru, Pool MA2650 3.50% 06/01/2046 55,253,204 27,484,200 Federal National Mortgage Association Pass-Thru, Pool MA2833 3.00% 12/01/2046 28,899,949 4,817,004 Federal National Mortgage Association Pass-Thru, Pool MA3894 4.00% 09/01/2031 5,261,538 16,500,000 Federal National Mortgage Association, Pool 387898 3.71% 08/01/2030 19,432,106 20,395,387 Federal National Mortgage Association, Pool AL9220 3.00% 06/01/2045 21,689,287 35,484,045 Federal National Mortgage Association, Pool AL9445 3.00% 07/01/2031 38,094,948 26,613,023 Federal National Mortgage Association, Pool AM8510 3.15% 05/01/2035 29,506,004 30,645,034 Federal National Mortgage Association, Pool AM8950 3.14% 06/01/2040 33,897,767 7,868,121 Federal National Mortgage Association, Pool AN0091 3.46% 10/01/2030 8,806,237 14,435,880 Federal National Mortgage Association, Pool AN1210 2.85% 05/01/2031 16,083,295 14,000,000 Federal National Mortgage Association, Pool AN4764 3.40% 02/01/2029 15,928,861 5,085,053 Federal National Mortgage Association, Pool AN5480 3.43% 06/01/2037 5,836,008 217,500,000 Federal National Mortgage Association, Pool AN6680 3.37% 11/01/2047 247,765,677 5,500,000 Federal National Mortgage Association, Pool AN7330 3.26% 12/01/2037 6,469,788 10,026,000 Federal National Mortgage Association, Pool AN7452 3.12% 11/01/2032 11,535,090 13,500,000 Federal National Mortgage Association, Pool AN8121 3.16% 01/01/2035 15,573,487 37,846,314 Federal National Mortgage Association, Pool AS7473 3.00% 07/01/2046 39,086,478 68,763,948 Federal National Mortgage Association, Pool AS7661 3.00% 08/01/2046 71,301,683 40,364,137 Federal National Mortgage Association, Pool AS8056 3.00% 10/01/2046 42,449,990 52,670,000 Federal National Mortgage Association, Pool AS8111 3.00% 10/01/2041 55,180,047 34,982,433 Federal National Mortgage Association, Pool AS8269 3.00% 11/01/2046 36,692,342 31,134,109 Federal National Mortgage Association, Pool AS8306 3.00% 11/01/2041 32,617,598 43,373,430 Federal National Mortgage Association, Pool AS8356 3.00% 11/01/2046 44,792,103 13,485,556 Federal National Mortgage Association, Pool AZ0576 3.50% 04/01/2042 14,391,462 12,328,808 Federal National Mortgage Association, Pool BC9081 3.00% 12/01/2046 13,389,124 111,372,688 Federal National Mortgage Association, Pool BF0314 3.00% 01/01/2053 120,324,872 96,764,887 Federal National Mortgage Association, Pool BF0353 3.00% 05/01/2053 104,543,519 54,316,433 Federal National Mortgage Association, Pool BF0391 3.00% 09/01/2053 58,682,536 24,410,996 Federal National Mortgage Association, Pool BK8257 1.50% 12/01/2050 24,639,868 23,509,043 Federal National Mortgage Association, Pool BK8267 2.50% 12/01/2050 25,220,301 63,578,000 Federal National Mortgage Association, Pool BL1276 3.79% 01/01/2029 72,494,570 33,500,000 Federal National Mortgage Association, Pool BL1300 4.20% 01/01/2029 39,229,333 20,000,000 Federal National Mortgage Association, Pool BL1752 3.68% 03/01/2029 22,776,892 5,000,000 Federal National Mortgage Association, Pool BL2303 3.36% 05/01/2031 5,764,139 28,950,500 Federal National Mortgage Association, Pool BL2643 3.39% 07/01/2034 34,308,825 8,250,000 Federal National Mortgage Association, Pool BL2998 2.97% 07/01/2029 9,221,867 41,755,800 Federal National Mortgage Association, Pool BL3480 2.75% 08/01/2029 46,742,475 30,667,139 Federal National Mortgage Association, Pool BL3647 2.69% 08/01/2030 34,233,253 50,173,000 Federal National Mortgage Association, Pool BL4008 2.37% 10/01/2031 54,105,433 8,860,000 Federal National Mortgage Association, Pool BL4038 2.98% 09/01/2034 10,141,458 27,690,000 Federal National Mortgage Association, Pool BL4098 2.27% 09/01/2029 30,184,806 13,075,000 Federal National Mortgage Association, Pool BL4198 2.31% 10/01/2031 14,153,095 25,800,000 Federal National Mortgage Association, Pool BL4214 2.37% 10/01/2031 27,822,145 3,206,000 Federal National Mortgage Association, Pool BL4339 2.29% 10/01/2031 3,462,425 6,496,000 Federal National Mortgage Association, Pool BL4354 2.37% 10/01/2031 7,067,856 107,000,000 Federal National Mortgage Association, Pool BL4468 2.41% 10/01/2029 117,448,376 24,380,000 Federal National Mortgage Association, Pool BL4656 2.29% 10/01/2029 26,502,878 63,966,000 Federal National Mortgage Association, Pool BL4808 2.80% 11/01/2039 72,222,914 75,725,000 Federal National Mortgage Association, Pool BL4881 2.31% 12/01/2029 82,469,497 73,850,000 Federal National Mortgage Association, Pool BL4937 2.32% 12/01/2029 80,494,549 34,160,000 Federal National Mortgage Association, Pool BL4938 2.32% 12/01/2029 37,233,497 14,220,000 Federal National Mortgage Association, Pool BL4939 2.32% 12/01/2029 15,512,013 65,121,000 Federal National Mortgage Association, Pool BL4969 2.35% 11/01/2029 71,165,692 21,686,000 Federal National Mortgage Association, Pool BL5111 2.41% 01/01/2030 23,803,652 17,125,000 Federal National Mortgage Association, Pool BL5256 2.28% 02/01/2032 18,313,307 30,200,000 Federal National Mortgage Association, Pool BL5315 2.44% 01/01/2032 32,782,306 8,500,000 Federal National Mortgage Association, Pool BL5322 2.43% 01/01/2030 9,212,418 46,800,000 Federal National Mortgage Association, Pool BL5400 2.54% 02/01/2030 51,801,488 103,889,000 Federal National Mortgage Association, Pool BL5401 2.54% 02/01/2030 114,991,556 24,557,000 Federal National Mortgage Association, Pool BL5833 2.60% 03/01/2030 27,363,971 8,190,000 Federal National Mortgage Association, Pool BL5840 2.73% 02/01/2035 9,084,021 22,828,000 Federal National Mortgage Association, Pool BL5870 2.30% 02/01/2032 24,690,517 60,000,000 Federal National Mortgage Association, Pool BL5953 2.15% 03/01/2030 64,839,020 20,570,000 Federal National Mortgage Association, Pool BL6297 2.08% 05/01/2030 21,918,067 6,840,932 Federal National Mortgage Association, Pool BL6639 2.66% 05/01/2050 7,542,160 28,785,015 Federal National Mortgage Association, Pool BL6913 1.96% 05/01/2035 30,134,020 36,488,000 Federal National Mortgage Association, Pool BL7110 1.76% 07/01/2035 37,294,828 3,568,101 Federal National Mortgage Association, Pool BL7331 2.23% 07/01/2040 3,738,526 20,400,000 Federal National Mortgage Association, Pool BL7424 1.65% 08/01/2035 20,531,447 40,000,000 Federal National Mortgage Association, Pool BL8165 1.35% 09/01/2032 39,820,351 49,000,000 Federal National Mortgage Association, Pool BL8177 1.10% 09/01/2030 48,460,576 122,500,000 Federal National Mortgage Association, Pool BL8237 1.17% 10/01/2030 121,660,946 32,000,000 Federal National Mortgage Association, Pool BL8269 1.51% 09/01/2035 31,762,146 146,000,000 Federal National Mortgage Association, Pool BL8708 1.40% 11/01/2032 145,670,679 97,000,000 Federal National Mortgage Association, Pool BL8977 1.20% 11/01/2030 96,549,526 48,643,000 Federal National Mortgage Association, Pool BL9056 1.78% 11/01/2035 48,678,237 13,313,000 Federal National Mortgage Association, Pool BL9362 1.54% 11/01/2030 13,523,855 34,735,000 Federal National Mortgage Association, Pool BL9367 1.41% 12/01/2030 34,965,001 53,000,000 Federal National Mortgage Association, Pool BL9576 2.24% 12/01/2050 53,733,861 74,483,356 Federal National Mortgage Association, Pool BM5112 3.00% 11/01/2033 79,858,931 37,152,014 Federal National Mortgage Association, Pool BM5299 3.00% 12/01/2046 38,998,953 56,384,042 Federal National Mortgage Association, Pool BM5633 3.00% 07/01/2047 59,179,999 12,575,988 Federal National Mortgage Association, Pool BM5834 3.00% 04/01/2048 12,972,966 21,332,190 Federal National Mortgage Association, Pool CA0862 3.50% 09/01/2047 22,635,059 11,230,139 Federal National Mortgage Association, Pool CA3898 3.00% 07/01/2034 12,076,353 8,134,822 Federal National Mortgage Association, Pool CA4413 3.00% 10/01/2049 8,565,560 56,168,482 Federal National Mortgage Association, Pool CA7235 2.50% 10/01/2050 59,693,616 16,531,548 Federal National Mortgage Association, Pool CA7671 2.50% 11/01/2040 17,768,449 109,938,998 Federal National Mortgage Association, Pool CA7743 2.50% 11/01/2050 118,342,538 29,155,467 Federal National Mortgage Association, Pool CA7789 2.50% 11/01/2040 31,159,857 98,742,469 Federal National Mortgage Association, Pool FM1000 3.00% 04/01/2047 103,594,632 235,507,960 Federal National Mortgage Association, Pool FM4623 2.50% 11/01/2050 250,288,394 110,805,338 Federal National Mortgage Association, Pool FM4637 2.50% 11/01/2050 117,486,949 58,654,316 Federal National Mortgage Association, Pool FM4684 2.50% 10/01/2050 62,465,645 60,368,072 Federal National Mortgage Association, Pool FM4752 2.50% 11/01/2050 64,685,224 73,498,599 Federal National Mortgage Association, Pool FM4792 2.50% 11/01/2050 78,111,377 38,413,167 Federal National Mortgage Association, Pool FM4913 2.50% 11/01/2050 40,534,403 68,373,734 Federal National Mortgage Association, Pool MA2259 3.00% 05/01/2035 71,879,198 47,165,592 Federal National Mortgage Association, Pool MA2621 3.50% 05/01/2046 49,237,243 42,242,475 Federal National Mortgage Association, Pool MA2649 3.00% 06/01/2046 43,621,037 15,841,928 Federal National Mortgage Association, Pool MA2673 3.00% 07/01/2046 16,358,578 52,140,015 Federal National Mortgage Association, Pool MA2711 3.00% 08/01/2046 53,839,772 4,736,235 Federal National Mortgage Association, Pool MA2743 3.00% 09/01/2046 4,890,675 87,756,565 Federal National Mortgage Association, Pool MA2806 3.00% 11/01/2046 92,689,575 33,086,190 Federal National Mortgage Association, Pool MA2895 3.00% 02/01/2047 34,802,854 63,438,305 Federal National Mortgage Association, Pool MA4074 2.00% 07/01/2035 66,327,112 83,533,250 Federal National Mortgage Association, Pool MA4077 2.00% 07/01/2050 86,794,251 95,313,230 Federal National Mortgage Association, Pool MA4094 2.50% 08/01/2040 100,591,988 33,816,329 Federal National Mortgage Association, Pool MA4097 3.00% 08/01/2050 35,463,547 177,623,932 Federal National Mortgage Association, Pool MA4100 2.00% 08/01/2050 184,558,079 49,063,041 Federal National Mortgage Association, Pool MA4119 2.00% 09/01/2050 50,978,382 156,896,451 Federal National Mortgage Association, Pool MA4123 2.00% 09/01/2035 164,050,731 19,722,409 Federal National Mortgage Association, Pool MA4152 2.00% 10/01/2040 20,534,795 98,654,663 Federal National Mortgage Association, Pool MA4157 1.50% 10/01/2050 99,724,324 98,834,216 Federal National Mortgage Association, Pool MA4158 2.00% 10/01/2050 102,692,542 147,609,485 Federal National Mortgage Association, Pool MA4159 2.50% 10/01/2050 155,760,715 39,260,980 Federal National Mortgage Association, Pool MA4160 3.00% 10/01/2050 41,287,262 167,608,453 Federal National Mortgage Association, Pool MA4165 2.00% 10/01/2050 172,257,461 198,383,122 Federal National Mortgage Association, Pool MA4176 2.00% 11/01/2040 206,127,674 145,967,511 Federal National Mortgage Association, Pool MA4178 1.50% 11/01/2035 150,217,129 468,660,208 Federal National Mortgage Association, Pool MA4181 1.50% 11/01/2050 473,741,708 99,330,289 Federal National Mortgage Association, Pool MA4191 2.00% 11/01/2050 102,089,206 396,310,043 Federal National Mortgage Association, Pool MA4209 1.50% 12/01/2050 400,399,943 25,000,000 Federal National Mortgage Association, Pool MA4236 1.50% 01/01/2051 25,258,001 229,718,634 Federal National Mortgage Association, Pool RB5071 2.00% 09/01/2040 239,181,031 54,971,777 Federal National Mortgage Association, Pool SD8079 2.00% 07/01/2050 57,224,446 48,036,060 Federal National Mortgage Association, Pool SD8097 2.00% 08/01/2050 49,911,309 540,289 Federal National Mortgage Association, Series 2002-70-QZ 5.50% 11/25/2032 625,375 749,033 Federal National Mortgage Association, Series 2002-75-ZG 5.50% 11/25/2032 844,127 11,152,421 Federal National Mortgage Association, Series 2003-129-ZT 5.50% 01/25/2034 12,834,354 2,106,646 Federal National Mortgage Association, Series 2003-29-ZL 5.00% 04/25/2033 2,397,179 1,072,880 Federal National Mortgage Association, Series 2003-64-ZG 5.50% 07/25/2033 1,222,420 7,958,838 Federal National Mortgage Association, Series 2003-84-PZ 5.00% 09/25/2033 9,146,652 7,899,718 Federal National Mortgage Association, Series 2003-W17-1A7 5.75% 08/25/2033 9,075,027 1,983,005 Federal National Mortgage Association, Series 2004-46-PJ (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 03/25/2034 205,112 2,108,000 Federal National Mortgage Association, Series 2004-51-XP (-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap) 7.55% I/F I/O 07/25/2034 429,350 3,126,829 Federal National Mortgage Association, Series 2004-W10-A6 5.75% 08/25/2034 3,441,052 131,100 Federal National Mortgage Association, Series 2005-107-EG 4.50% 01/25/2026 138,612 487,989 Federal National Mortgage Association, Series 2005-37-ZK 4.50% 05/25/2035 537,125 3,770,885 Federal National Mortgage Association, Series 2005-87-SG (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap) 6.55% I/F I/O 10/25/2035 733,714 3,278,186 Federal National Mortgage Association, Series 2006-101-SA (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap) 6.43% I/F I/O 10/25/2036 720,966 1,329,741 Federal National Mortgage Association, Series 2006-123-LI (-1 x 1 Month LIBOR USD + 6.32%, 6.32% Cap) 6.17% I/F I/O 01/25/2037 274,400 674,747 Federal National Mortgage Association, Series 2006-16-HZ 5.50% 03/25/2036 781,003 5,479,551 Federal National Mortgage Association, Series 2006-56-SM (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) 6.60% I/F I/O 07/25/2036 1,148,929 814,518 Federal National Mortgage Association, Series 2006-93-SN (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap) 6.45% I/F I/O 10/25/2036 105,701 7,622,661 Federal National Mortgage Association, Series 2007-109-VZ 5.00% 10/25/2035 8,691,935 787,198 Federal National Mortgage Association, Series 2007-116-BI (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 05/25/2037 119,590 5,068,876 Federal National Mortgage Association, Series 2007-14-PS (-1 x 1 Month LIBOR USD + 6.81%, 6.81% Cap) 6.66% I/F I/O 03/25/2037 982,262 2,479,754 Federal National Mortgage Association, Series 2007-30-OI (-1 x 1 Month LIBOR USD + 6.44%, 6.44% Cap) 6.29% I/F I/O 04/25/2037 545,523 354,334 Federal National Mortgage Association, Series 2007-30-SI (-1 x 1 Month LIBOR USD + 6.11%, 6.11% Cap) 5.96% I/F I/O 04/25/2037 55,794 2,529,851 Federal National Mortgage Association, Series 2007-32-SG (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) 5.95% I/F I/O 04/25/2037 443,163 2,117,938 Federal National Mortgage Association, Series 2007-57-SX (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap) 6.47% I/F I/O 10/25/2036 416,420 3,235,885 Federal National Mortgage Association, Series 2007-60-VZ 6.00% 07/25/2037 3,770,784 1,768,011 Federal National Mortgage Association, Series 2007-71-GZ 6.00% 07/25/2047 1,933,581 2,646,096 Federal National Mortgage Association, Series 2007-75-ID (-1 x 1 Month LIBOR USD + 5.87%, 5.87% Cap) 5.72% I/F I/O 08/25/2037 531,526 783,407 Federal National Mortgage Association, Series 2007-9-SD (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) 6.50% I/F I/O 03/25/2037 140,068 479,884 Federal National Mortgage Association, Series 2008-27-B 5.50% 04/25/2038 551,275 3,030,086 Federal National Mortgage Association, Series 2008-29-ZA 4.50% 04/25/2038 3,334,802 5,824,319 Federal National Mortgage Association, Series 2008-48-BE 5.00% 06/25/2034 6,718,529 536,816 Federal National Mortgage Association, Series 2008-48-SD (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 06/25/2037 80,504 893,422 Federal National Mortgage Association, Series 2008-53-LI (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) 6.00% I/F I/O 07/25/2038 144,574 587,965 Federal National Mortgage Association, Series 2008-57-SE (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 02/25/2037 89,845 1,031,689 Federal National Mortgage Association, Series 2008-5-MS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 02/25/2038 191,000 651,017 Federal National Mortgage Association, Series 2008-61-SC (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 07/25/2038 91,544 547,451 Federal National Mortgage Association, Series 2008-62-SC (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 07/25/2038 72,352 1,374,461 Federal National Mortgage Association, Series 2008-65-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 08/25/2038 285,987 437,960 Federal National Mortgage Association, Series 2008-81-LP 5.50% 09/25/2038 497,845 3,672,478 Federal National Mortgage Association, Series 2009-106-EZ 4.50% 01/25/2040 3,994,798 595,698 Federal National Mortgage Association, Series 2009-111-SE (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 01/25/2040 104,629 419,979 Federal National Mortgage Association, Series 2009-16-MZ 5.00% 03/25/2029 466,175 1,470,070 Federal National Mortgage Association, Series 2009-42-SI (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 06/25/2039 233,846 878,959 Federal National Mortgage Association, Series 2009-42-SX (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 06/25/2039 116,903 568,454 Federal National Mortgage Association, Series 2009-47-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) 5.95% I/F I/O 07/25/2039 88,108 374,889 Federal National Mortgage Association, Series 2009-48-WS (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap) 5.80% I/F I/O 07/25/2039 66,223 3,953,531 Federal National Mortgage Association, Series 2009-49-S (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) 6.60% I/F I/O 07/25/2039 703,852 491,389 Federal National Mortgage Association, Series 2009-51-BZ 4.50% 07/25/2039 544,413 1,147,387 Federal National Mortgage Association, Series 2009-54-EZ 5.00% 07/25/2039 1,282,075 585,938 Federal National Mortgage Association, Series 2009-70-SA (-1 x 1 Month LIBOR USD + 5.80%, 5.80% Cap) 5.65% I/F I/O 09/25/2039 84,035 2,482,380 Federal National Mortgage Association, Series 2009-80-PM 4.50% 10/25/2039 2,637,693 2,335,042 Federal National Mortgage Association, Series 2009-83-Z 4.50% 10/25/2039 2,553,576 8,977,439 Federal National Mortgage Association, Series 2009-85-ES (-1 x 1 Month LIBOR USD + 7.23%, 7.23% Cap) 7.08% I/F I/O 01/25/2036 1,921,319 12,230,613 Federal National Mortgage Association, Series 2009-85-JS (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) 6.60% I/F I/O 10/25/2039 2,993,657 870,123 Federal National Mortgage Association, Series 2009-90-IB (-1 x 1 Month LIBOR USD + 5.72%, 5.72% Cap) 5.57% I/F I/O 04/25/2037 135,619 900,519 Federal National Mortgage Association, Series 2009-94-BC 5.00% 11/25/2039 975,369 11,294,986 Federal National Mortgage Association, Series 2010-101-SA (-1 x 1 Month LIBOR USD + 4.48%, 4.48% Cap) 4.33% I/F I/O 09/25/2040 1,651,481 4,645,297 Federal National Mortgage Association, Series 2010-101-ZC 4.50% 09/25/2040 5,266,731 11,846,875 Federal National Mortgage Association, Series 2010-101-ZH 4.50% 07/25/2040 12,583,959 3,364,578 Federal National Mortgage Association, Series 2010-10-SA (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap) 6.20% I/F I/O 02/25/2040 652,719 1,177,024 Federal National Mortgage Association, Series 2010-10-ZA 4.50% 02/25/2040 1,275,925 915,006 Federal National Mortgage Association, Series 2010-111-S (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap) 5.80% I/F I/O 10/25/2050 111,828 2,103,104 Federal National Mortgage Association, Series 2010-116-Z 4.00% 10/25/2040 2,333,628 709,660 Federal National Mortgage Association, Series 2010-117-SA (-1 x 1 Month LIBOR USD + 4.50%, 4.50% Cap) 4.35% I/F I/O 10/25/2040 58,581 1,664,190 Federal National Mortgage Association, Series 2010-120-KD 4.00% 10/25/2040 1,773,106 16,858,516 Federal National Mortgage Association, Series 2010-121-SD (-1 x 1 Month LIBOR USD + 4.50%, 4.50% Cap) 4.35% I/F I/O 10/25/2040 2,216,074 242,685 Federal National Mortgage Association, Series 2010-126-SU (-11 x 1 Month LIBOR USD + 55.00%, 55.00% Cap) 53.30% I/F 11/25/2040 975,626 178,693 Federal National Mortgage Association, Series 2010-126-SX (-3 x 1 Month LIBOR USD + 15.00%, 15.00% Cap) 14.54% I/F 11/25/2040 303,318 3,046,115 Federal National Mortgage Association, Series 2010-128-HZ 4.00% 11/25/2040 3,344,248 2,095,365 Federal National Mortgage Association, Series 2010-132-Z 4.50% 11/25/2040 2,235,416 88,008 Federal National Mortgage Association, Series 2010-137-VS (-3 x 1 Month LIBOR USD + 15.00%, 15.00% Cap) 14.54% I/F 12/25/2040 132,326 7,125,820 Federal National Mortgage Association, Series 2010-142-AZ 4.00% 12/25/2040 7,804,233 5,939,578 Federal National Mortgage Association, Series 2010-148-SA (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) 6.50% I/F I/O 01/25/2026 555,629 8,395,204 Federal National Mortgage Association, Series 2010-150-FD (1 Month LIBOR USD + 0.51%, 0.51% Floor, 7.00% Cap) 0.66% 01/25/2041 8,474,459 16,623,083 Federal National Mortgage Association, Series 2010-150-ZA 4.00% 01/25/2041 18,401,647 6,477,405 Federal National Mortgage Association, Series 2010-16-SA (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap) 5.30% I/F I/O 03/25/2040 1,076,146 2,186,277 Federal National Mortgage Association, Series 2010-21-DZ 5.00% 03/25/2040 2,520,021 1,027,158 Federal National Mortgage Association, Series 2010-21-KS (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap) 4.80% I/F I/O 03/25/2040 101,105 298,245 Federal National Mortgage Association, Series 2010-2-GS (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap) 6.30% I/F I/O 12/25/2049 21,026 1,543,435 Federal National Mortgage Association, Series 2010-2-MS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 02/25/2050 321,818 1,226,871 Federal National Mortgage Association, Series 2010-31-SA (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) 4.85% I/F I/O 04/25/2040 129,977 3,480,479 Federal National Mortgage Association, Series 2010-31-VZ 4.00% 04/25/2040 3,665,463 1,954,345 Federal National Mortgage Association, Series 2010-34-PS (-1 x 1 Month LIBOR USD + 4.93%, 4.93% Cap) 4.78% I/F I/O 04/25/2040 229,545 408,106 Federal National Mortgage Association, Series 2010-35-ES (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap) 6.30% I/F I/O 04/25/2040 15,540 429,305 Federal National Mortgage Association, Series 2010-35-SV (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap) 6.30% I/F I/O 04/25/2040 66,223 816,828 Federal National Mortgage Association, Series 2010-46-MS (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap) 4.80% I/F I/O 05/25/2040 103,136 5,507,633 Federal National Mortgage Association, Series 2010-49-ZW 4.50% 05/25/2040 5,845,713 1,680,583 Federal National Mortgage Association, Series 2010-4-SK (-1 x 1 Month LIBOR USD + 6.23%, 6.23% Cap) 6.08% I/F I/O 02/25/2040 296,295 657,634 Federal National Mortgage Association, Series 2010-58-ES (-3 x 1 Month LIBOR USD + 12.47%, 12.47% Cap) 12.09% I/F 06/25/2040 828,437 4,724,435 Federal National Mortgage Association, Series 2010-59-MS (-1 x 1 Month LIBOR USD + 5.77%, 5.77% Cap) 5.62% I/F I/O 06/25/2040 1,088,608 5,210,152 Federal National Mortgage Association, Series 2010-59-SC (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) 4.85% I/F I/O 01/25/2040 840,436 505,436 Federal National Mortgage Association, Series 2010-60-VZ 5.00% 10/25/2039 577,180 403,129 Federal National Mortgage Association, Series 2010-61-EL 4.50% 06/25/2040 431,257 5,347,457 Federal National Mortgage Association, Series 2010-64-EZ 5.00% 06/25/2040 6,140,395 12,170,819 Federal National Mortgage Association, Series 2010-64-FC (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap) 0.65% 06/25/2040 12,298,382 16,309,063 Federal National Mortgage Association, Series 2010-76-ZK 4.50% 07/25/2040 18,271,873 3,758,868 Federal National Mortgage Association, Series 2010-79-CZ 4.00% 07/25/2040 4,013,289 14,891,837 Federal National Mortgage Association, Series 2010-79-VZ 4.50% 07/25/2040 16,759,298 1,821,222 Federal National Mortgage Association, Series 2010-84-ZC 4.50% 08/25/2040 1,980,664 3,642,436 Federal National Mortgage Association, Series 2010-84-ZD 4.50% 08/25/2040 3,961,319 5,551,808 Federal National Mortgage Association, Series 2010-84-ZG 4.50% 08/25/2040 5,882,087 447,971 Federal National Mortgage Association, Series 2010-90-SA (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap) 5.70% I/F I/O 08/25/2040 62,182 1,399,468 Federal National Mortgage Association, Series 2010-94-Z 4.50% 08/25/2040 1,517,407 7,224,999 Federal National Mortgage Association, Series 2010-99-SG (-5 x 1 Month LIBOR USD + 25.00%, 25.00% Cap) 24.23% I/F 09/25/2040 12,558,631 1,072,619 Federal National Mortgage Association, Series 2010-9-DS (-1 x 1 Month LIBOR USD + 5.30%, 0.50% Floor, 5.30% Cap) 5.15% I/F I/O 02/25/2040 151,747 28,629,625 Federal National Mortgage Association, Series 2011-106-LZ 3.50% 10/25/2041 31,348,265 520,021 Federal National Mortgage Association, Series 2011-110-LS (-2 x 1 Month LIBOR USD + 10.10%, 10.10% Cap) 9.79% I/F 11/25/2041 719,951 4,975,146 Federal National Mortgage Association, Series 2011-111-CZ 4.00% 11/25/2041 5,479,171 7,816,055 Federal National Mortgage Association, Series 2011-111-EZ 5.00% 11/25/2041 9,012,325 2,685,435 Federal National Mortgage Association, Series 2011-111-VZ 4.00% 11/25/2041 2,994,904 30,000,000 Federal National Mortgage Association, Series 2011-131-PB 4.50% 12/25/2041 35,370,894 18,527,044 Federal National Mortgage Association, Series 2011-16-AL 3.50% 03/25/2031 20,069,915 35,536,552 Federal National Mortgage Association, Series 2011-17-NY 3.50% 03/25/2031 38,300,756 664,077 Federal National Mortgage Association, Series 2011-17-SA (-1 x 1 Month LIBOR USD + 6.47%, 6.47% Cap) 6.32% I/F I/O 03/25/2041 109,382 5,099,326 Federal National Mortgage Association, Series 2011-25-KY 3.00% 04/25/2026 5,312,353 3,657,050 Federal National Mortgage Association, Series 2011-27-BS (-2 x 1 Month LIBOR USD + 9.00%, 9.00% Cap) 8.69% I/F 04/25/2041 4,175,327 37,631,184 Federal National Mortgage Association, Series 2011-29-AL 3.50% 04/25/2031 40,438,929 7,123,748 Federal National Mortgage Association, Series 2011-2-GZ 4.00% 02/25/2041 7,874,731 15,786,435 Federal National Mortgage Association, Series 2011-32-ZG 4.00% 04/25/2041 16,853,405 3,055,120 Federal National Mortgage Association, Series 2011-36-VZ 4.50% 05/25/2041 3,227,533 6,824,414 Federal National Mortgage Association, Series 2011-37-Z 4.50% 05/25/2041 7,765,846 7,246,204 Federal National Mortgage Association, Series 2011-38-BZ 4.00% 05/25/2041 7,937,828 4,442,111 Federal National Mortgage Association, Series 2011-39-CB 3.00% 05/25/2026 4,627,003 8,046,368 Federal National Mortgage Association, Series 2011-39-ZD 4.00% 02/25/2041 8,894,582 2,626,932 Federal National Mortgage Association, Series 2011-40-LZ 4.50% 05/25/2041 2,849,222 5,381,522 Federal National Mortgage Association, Series 2011-42-MZ 4.50% 05/25/2041 5,833,100 21,524,668 Federal National Mortgage Association, Series 2011-45-ZA 4.00% 05/25/2031 23,400,232 6,338,335 Federal National Mortgage Association, Series 2011-45-ZB 4.50% 05/25/2041 6,715,073 16,281,906 Federal National Mortgage Association, Series 2011-51-FJ (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) 0.60% 06/25/2041 16,400,251 1,105,761 Federal National Mortgage Association, Series 2011-59-MA 4.50% 07/25/2041 1,232,845 8,049,440 Federal National Mortgage Association, Series 2011-60-EL 3.00% 07/25/2026 8,388,241 11,683,231 Federal National Mortgage Association, Series 2011-64-DB 4.00% 07/25/2041 13,032,982 15,189,972 Federal National Mortgage Association, Series 2011-77-Z 3.50% 08/25/2041 16,624,425 30,301,698 Federal National Mortgage Association, Series 2011-99-CZ 4.50% > 10/25/2041 36,251,388 60,691,924 Federal National Mortgage Association, Series 2011-99-DZ 5.00% 10/25/2041 69,505,113 13,784,151 Federal National Mortgage Association, Series 2012-104-Z 3.50% > 09/25/2042 15,319,538 4,554,817 Federal National Mortgage Association, Series 2012-111-LB 3.50% 05/25/2041 4,950,125 23,104,466 Federal National Mortgage Association, Series 2012-111-MJ 4.00% 04/25/2042 26,300,706 1,700,579 Federal National Mortgage Association, Series 2012-114-DC 2.00% 08/25/2039 1,702,846 25,742,834 Federal National Mortgage Association, Series 2012-122-AD 2.00% 02/25/2040 25,956,386 34,983,698 Federal National Mortgage Association, Series 2012-122-DB 3.00% 11/25/2042 37,671,244 41,670,771 Federal National Mortgage Association, Series 2012-125-LA 3.00% 11/25/2042 44,874,524 23,905,735 Federal National Mortgage Association, Series 2012-132-KH 1.75% 12/25/2032 24,799,186 23,868,401 Federal National Mortgage Association, Series 2012-144-PT 4.20% # 11/25/2049 26,504,136 10,097,665 Federal National Mortgage Association, Series 2012-14-BZ 4.00% 03/25/2042 11,185,023 27,642,356 Federal National Mortgage Association, Series 2012-15-PZ 4.00% > 03/25/2042 32,111,204 20,425,148 Federal National Mortgage Association, Series 2012-20-ZT 3.50% > 03/25/2042 22,287,613 63,820,882 Federal National Mortgage Association, Series 2012-30-DZ 4.00% > 04/25/2042 70,795,739 42,783,433 Federal National Mortgage Association, Series 2012-31-Z 4.00% 04/25/2042 47,513,056 1,418,239 Federal National Mortgage Association, Series 2012-63-EB 2.00% 08/25/2040 1,420,563 15,863,432 Federal National Mortgage Association, Series 2012-70-FY (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) 0.60% 07/25/2042 15,980,269 37,700,791 Federal National Mortgage Association, Series 2012-74-Z 4.00% > 07/25/2042 42,488,769 3,114,248 Federal National Mortgage Association, Series 2012-80-EA 2.00% 04/25/2042 3,159,040 27,118,960 Federal National Mortgage Association, Series 2012-86-ZC 3.50% > 08/25/2042 30,576,411 37,783,817 Federal National Mortgage Association, Series 2012-96-VZ 3.50% > 09/25/2042 41,720,751 16,439,941 Federal National Mortgage Association, Series 2012-98-BG 4.50% 08/25/2040 18,537,049 30,245,094 Federal National Mortgage Association, Series 2012-99-QE 3.00% 09/25/2042 32,879,015 16,942,677 Federal National Mortgage Association, Series 2013-100-PJ 3.00% 03/25/2043 18,134,992 27,678,948 Federal National Mortgage Association, Series 2013-130-ZE 3.00% > 01/25/2044 29,552,154 24,869,366 Federal National Mortgage Association, Series 2013-133-ZT 3.00% > 01/25/2039 26,763,109 13,244,536 Federal National Mortgage Association, Series 2013-36-Z 3.00% > 04/25/2043 14,500,381 14,165,245 Federal National Mortgage Association, Series 2013-41-ZH 3.00% 05/25/2033 14,997,405 15,200,048 Federal National Mortgage Association, Series 2013-51-HS (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) 5.22% I/F 04/25/2043 15,343,264 2,550,921 Federal National Mortgage Association, Series 2013-53-AB 1.50% 03/25/2028 2,606,880 3,755,837 Federal National Mortgage Association, Series 2013-58-SC (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.78% I/F 06/25/2043 3,889,747 58,265,376 Federal National Mortgage Association, Series 2013-81-ZQ 3.00% 08/25/2043 60,672,511 14,493,879 Federal National Mortgage Association, Series 2013-82-SH (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.90% I/F I/O 12/25/2042 2,025,117 8,743,551 Federal National Mortgage Association, Series 2013-8-Z 3.00% 02/25/2043 8,875,638 25,394,963 Federal National Mortgage Association, Series 2014-12-GZ 3.50% > 03/25/2044 28,301,848 26,931,315 Federal National Mortgage Association, Series 2014-21-GZ 3.00% > 04/25/2044 28,612,826 31,390,570 Federal National Mortgage Association, Series 2014-37-ZY 2.50% > 07/25/2044 32,956,629 51,030,642 Federal National Mortgage Association, Series 2014-39-ZA 3.00% > 07/25/2044 53,069,045 3,114,471 Federal National Mortgage Association, Series 2014-46-NZ 3.00% 06/25/2043 3,133,219 15,049,218 Federal National Mortgage Association, Series 2014-55-MA 3.00% 10/25/2039 15,187,961 61,162,066 Federal National Mortgage Association, Series 2014-60-EZ 3.00% > 10/25/2044 67,698,394 43,173,443 Federal National Mortgage Association, Series 2014-61-ZV 3.00% > 10/25/2044 47,501,036 36,408,174 Federal National Mortgage Association, Series 2014-64-NZ 3.00% > 10/25/2044 38,416,711 37,163,383 Federal National Mortgage Association, Series 2014-65-CD 3.00% 06/25/2040 37,633,637 12,819,984 Federal National Mortgage Association, Series 2014-67-DZ 3.00% > 10/25/2044 13,999,834 37,739,619 Federal National Mortgage Association, Series 2014-68-MA 3.00% 11/25/2040 38,272,691 40,983,439 Federal National Mortgage Association, Series 2014-68-MZ 3.00% > 11/25/2044 43,553,297 28,525,278 Federal National Mortgage Association, Series 2014-6-Z 2.50% > 02/25/2044 30,132,962 15,924,525 Federal National Mortgage Association, Series 2014-73-CQ 3.00% 06/25/2040 16,131,754 23,135,581 Federal National Mortgage Association, Series 2014-77-VZ 3.00% > 11/25/2044 25,204,742 10,887,874 Federal National Mortgage Association, Series 2014-82-YA 3.00% 04/25/2041 11,078,015 29,712,160 Federal National Mortgage Association, Series 2014-84-KZ 3.00% > 12/25/2044 32,887,201 44,309,461 Federal National Mortgage Association, Series 2014-95-NA 3.00% 04/25/2041 44,970,035 125,181,455 Federal National Mortgage Association, Series 2014-M11-1A 3.12% # 08/25/2024 134,725,840 16,907,810 Federal National Mortgage Association, Series 2015-11-A 3.00% 05/25/2034 17,693,089 45,407,366 Federal National Mortgage Association, Series 2015-21-G 3.00% 02/25/2042 46,341,523 11,306,570 Federal National Mortgage Association, Series 2015-42-CA 3.00% 03/25/2044 11,725,667 38,396,721 Federal National Mortgage Association, Series 2015-49-A 3.00% 03/25/2044 40,006,085 884,936 Federal National Mortgage Association, Series 2015-63-KD 3.00% 07/25/2041 886,732 22,805,492 Federal National Mortgage Association, Series 2015-88-AC 3.00% 04/25/2043 23,254,051 93,163,239 Federal National Mortgage Association, Series 2015-88-BA 3.00% 04/25/2044 96,399,543 27,402,150 Federal National Mortgage Association, Series 2015-8-AP 2.00% 03/25/2045 28,160,734 9,644,385 Federal National Mortgage Association, Series 2015-94-MA 3.00% 01/25/2046 10,228,651 42,330,203 Federal National Mortgage Association, Series 2015-9-HA 3.00% 01/25/2045 45,454,853 26,283,803 Federal National Mortgage Association, Series 2016-2-JA 2.50% 02/25/2046 27,610,181 61,872,494 Federal National Mortgage Association, Series 2016-32-LA 3.00% 10/25/2044 65,843,990 52,956,980 Federal National Mortgage Association, Series 2016-72-PA 3.00% 07/25/2046 54,468,965 34,747,774 Federal National Mortgage Association, Series 2016-74-PA 3.00% 12/25/2044 35,136,077 17,393,378 Federal National Mortgage Association, Series 2016-79-EP 3.00% 01/25/2044 17,881,390 45,833,087 Federal National Mortgage Association, Series 2016-81-PA 3.00% 02/25/2044 47,252,400 24,511,651 Federal National Mortgage Association, Series 2016-94-PA 3.00% 03/25/2044 24,923,642 17,405,581 Federal National Mortgage Association, Series 2017-13-ML 3.00% 08/25/2041 17,536,863 4,579,143 Federal National Mortgage Association, Series 2017-2-HA 3.00% 09/25/2041 4,595,476 2,383,598 Federal National Mortgage Association, Series 2017-4-CH 3.00% 06/25/2042 2,394,917 7,353,018 Federal National Mortgage Association, Series 2017-51-EA 3.00% 11/25/2042 7,471,674 8,242,709 Federal National Mortgage Association, Series 2017-61-TA 3.00% 02/25/2043 8,313,262 28,043,857 Federal National Mortgage Association, Series 2018-21-IO 3.00% I/O 04/25/2048 2,194,911 46,319,033 Federal National Mortgage Association, Series 2018-21-PO 0.00% P/O 04/25/2048 42,757,475 1,121,797 Federal National Mortgage Association, Series 2018-23-CG 2.75% 12/25/2043 1,125,252 83,705,920 Federal National Mortgage Association, Series 2018-27-AO 0.00% P/O 05/25/2048 79,779,770 27,574,149 Federal National Mortgage Association, Series 2018-27-JA 3.00% 12/25/2047 28,931,406 33,722,424 Federal National Mortgage Association, Series 2018-33-A 3.00% 05/25/2048 35,771,418 13,150,903 Federal National Mortgage Association, Series 2018-33-C 3.00% 05/25/2048 13,800,745 103,259,945 Federal National Mortgage Association, Series 2018-36-A 3.00% 06/25/2048 108,689,229 37,245,998 Federal National Mortgage Association, Series 2018-38-JB 3.00% 06/25/2048 39,503,940 116,495,466 Federal National Mortgage Association, Series 2018-39-AB 3.00% 06/25/2048 122,913,876 20,573,901 Federal National Mortgage Association, Series 2018-64-A 3.00% 09/25/2048 21,606,167 55,048,880 Federal National Mortgage Association, Series 2018-85-PO 0.00% P/O 12/25/2048 50,643,049 45,998,891 Federal National Mortgage Association, Series 2019-12-BA 3.00% 04/25/2049 48,766,074 8,381,612 Federal National Mortgage Association, Series 2019-48-AZ 3.50% > 09/25/2049 8,989,306 15,216,213 Federal National Mortgage Association, Series 2019-64-D 2.50% 11/25/2049 15,904,844 231,849,952 Federal National Mortgage Association, Series 2019-M16-X 1.19% #I/O 07/25/2031 21,540,414 255,710,227 Federal National Mortgage Association, Series 2019-M24-2XA 1.15% #I/O 03/25/2031 25,237,193 219,707,375 Federal National Mortgage Association, Series 2019-M24-XA 1.28% #I/O 03/25/2029 19,371,995 16,000,000 Federal National Mortgage Association, Series 2020-13-HB 3.00% 03/25/2050 17,199,187 10,000,000 Federal National Mortgage Association, Series 2020-2-MB 2.00% 11/25/2059 9,812,919 25,206,464 Federal National Mortgage Association, Series 2020-2-MT 2.00% 11/25/2059 25,991,706 40,000,000 Federal National Mortgage Association, Series 2020-47-GL 2.00% 05/25/2046 41,362,840 48,500,000 Federal National Mortgage Association, Series 2020-47-KM 2.00% 12/25/2045 50,144,742 506,381,275 Federal National Mortgage Association, Series 2020-M10-X2 1.70% #I/O 12/25/2030 68,624,385 266,560,450 Federal National Mortgage Association, Series 2020-M10-X8 0.72% #I/O 12/25/2027 10,778,718 102,459,509 Federal National Mortgage Association, Series 2020-M13-X2 1.30% #I/O 09/25/2030 9,501,511 31,406,355 Federal National Mortgage Association, Series 2020-M17-X1 1.45% #I/O 01/25/2028 2,375,916 5,659,555 Federal National Mortgage Association, Series 400-S4 (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap) 5.30% I/F I/O 11/25/2039 1,065,680 61,911,754 Federal National Mortgage Association, Series 412-A3 3.00% 08/25/2042 65,233,942 1,665,724 Government National Mortgage Association, Pool MA2511 3.50% 01/20/2045 1,741,000 8,538,530 Government National Mortgage Association, Series 2003-67-SP (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap) 6.95% I/F I/O 08/20/2033 1,540,110 3,531,898 Government National Mortgage Association, Series 2003-86-ZK 5.00% 10/20/2033 3,926,440 1,935,100 Government National Mortgage Association, Series 2004-49-Z 6.00% 06/20/2034 2,214,822 3,838,424 Government National Mortgage Association, Series 2004-83-CS (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap) 5.93% I/F I/O 10/20/2034 675,454 929,157 Government National Mortgage Association, Series 2005-21-Z 5.00% 03/20/2035 1,056,952 10,332,090 Government National Mortgage Association, Series 2005-39-ZB 5.00% 07/20/2034 11,673,278 732,179 Government National Mortgage Association, Series 2006-24-CX (-7 x 1 Month LIBOR USD + 39.97%, 39.97% Cap) 38.85% I/F 05/20/2036 1,374,147 4,306,154 Government National Mortgage Association, Series 2007-26-SJ (-1 x 1 Month LIBOR USD + 4.69%, 4.69% Cap) 4.54% I/F I/O 04/20/2037 457,891 3,312,312 Government National Mortgage Association, Series 2008-2-SM (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) 6.35% I/F I/O 01/16/2038 698,393 5,847,774 Government National Mortgage Association, Series 2008-42-AI (-1 x 1 Month LIBOR USD + 7.69%, 7.69% Cap) 7.54% I/F I/O 05/16/2038 1,537,390 2,324,578 Government National Mortgage Association, Series 2008-43-SH (-1 x 1 Month LIBOR USD + 6.34%, 6.34% Cap) 6.18% I/F I/O 05/20/2038 304,710 2,618,252 Government National Mortgage Association, Series 2008-51-SC (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 06/20/2038 560,974 1,876,226 Government National Mortgage Association, Series 2008-51-SE (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 06/16/2038 372,010 834,870 Government National Mortgage Association, Series 2008-82-SM (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.90% I/F I/O 09/20/2038 109,152 1,802,584 Government National Mortgage Association, Series 2008-83-SD (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap) 6.41% I/F I/O 11/16/2036 287,040 6,274,513 Government National Mortgage Association, Series 2009-106-VZ 4.50% 11/20/2039 6,976,290 4,336,064 Government National Mortgage Association, Series 2009-10-NS (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) 6.50% I/F I/O 02/16/2039 951,039 1,244,152 Government National Mortgage Association, Series 2009-24-SN (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) 5.95% I/F I/O 09/20/2038 170,465 3,527,731 Government National Mortgage Association, Series 2009-32-ZE 4.50% 05/16/2039 3,889,056 20,437,691 Government National Mortgage Association, Series 2009-35-DZ 4.50% 05/20/2039 22,235,435 8,209 Government National Mortgage Association, Series 2009-41-ZQ 4.50% > 06/16/2039 10,057 2,288,613 Government National Mortgage Association, Series 2009-48-Z 5.00% 06/16/2039 2,533,437 395,292 Government National Mortgage Association, Series 2009-50-KP 4.50% 06/20/2039 424,395 1,820,686 Government National Mortgage Association, Series 2009-69-TS (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap) 6.05% I/F I/O 04/16/2039 240,147 2,908,914 Government National Mortgage Association, Series 2009-75-GZ 4.50% 09/20/2039 3,162,390 2,040,814 Government National Mortgage Association, Series 2009-87-IG (-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap) 6.59% I/F I/O 03/20/2037 184,428 15,544,473 Government National Mortgage Association, Series 2010-106-PS (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.90% I/F I/O 03/20/2040 2,023,309 4,910,808 Government National Mortgage Association, Series 2010-1-SA (-1 x 1 Month LIBOR USD + 5.75%, 5.75% Cap) 5.60% I/F I/O 01/16/2040 940,463 4,173,908 Government National Mortgage Association, Series 2010-25-ZB 4.50% > 02/16/2040 4,664,245 40,638,170 Government National Mortgage Association, Series 2010-26-QS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 02/20/2040 8,183,186 3,513,867 Government National Mortgage Association, Series 2010-42-AY 5.00% 11/20/2039 4,020,530 3,414,031 Government National Mortgage Association, Series 2010-42-ES (-1 x 1 Month LIBOR USD + 5.68%, 5.68% Cap) 5.53% I/F I/O 04/20/2040 633,914 1,072,666 Government National Mortgage Association, Series 2010-61-AS (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) 6.40% I/F I/O 09/20/2039 188,632 10,501,121 Government National Mortgage Association, Series 2010-62-SB (-1 x 1 Month LIBOR USD + 5.75%, 5.75% Cap) 5.60% I/F I/O 05/20/2040 1,845,666 9,082,285 Government National Mortgage Association, Series 2010-62-ZG 5.50% 05/16/2040 10,514,362 5,368,908 Government National Mortgage Association, Series 2011-18-SN (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap) 9.20% I/F 12/20/2040 6,027,474 5,374,534 Government National Mortgage Association, Series 2011-18-YS (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap) 9.20% I/F 12/20/2040 5,995,145 2,142,900 Government National Mortgage Association, Series 2011-51-UZ 4.50% 04/20/2041 2,396,858 1,548,488 Government National Mortgage Association, Series 2011-69-OC 0.00% P/O 05/20/2041 1,494,345 14,863,858 Government National Mortgage Association, Series 2011-69-SB (-1 x 1 Month LIBOR USD + 5.35%, 5.35% Cap) 5.20% I/F I/O 05/20/2041 2,538,769 14,498,965 Government National Mortgage Association, Series 2011-71-ZA 4.50% 02/20/2041 16,229,311 5,563,378 Government National Mortgage Association, Series 2011-72-AS (-1 x 1 Month LIBOR USD + 5.38%, 5.38% Cap) 5.23% I/F I/O 05/20/2041 984,860 4,340,334 Government National Mortgage Association, Series 2011-72-SK (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) 6.00% I/F I/O 05/20/2041 974,241 467,683 Government National Mortgage Association, Series 2012-105-SE (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap) 6.05% I/F I/O 01/20/2041 6,325 1,790,658 Government National Mortgage Association, Series 2012-52-PN 2.00% 12/20/2039 1,799,219 14,623,271 Government National Mortgage Association, Series 2013-116-LS (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) 6.00% I/F I/O 08/20/2043 3,018,816 18,507,369 Government National Mortgage Association, Series 2013-136-CS (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap) 6.05% I/F I/O 09/16/2043 3,488,123 20,247,500 Government National Mortgage Association, Series 2013-182-WZ 2.50% > 12/20/2043 20,974,725 62,413,969 Government National Mortgage Association, Series 2013-182-ZW 2.50% > 12/20/2043 64,655,679 10,161,981 Government National Mortgage Association, Series 2013-186-SG (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 02/16/2043 1,547,102 10,045,051 Government National Mortgage Association, Series 2013-26-MS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 02/20/2043 2,040,711 18,563,095 Government National Mortgage Association, Series 2013-34-PL 3.00% 03/20/2042 19,288,166 18,867,987 Government National Mortgage Association, Series 2014-163-PS (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) 5.45% I/F I/O 11/20/2044 3,102,469 19,482,329 Government National Mortgage Association, Series 2014-167-SA (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) 5.45% I/F I/O 11/20/2044 3,564,801 31,306,112 Government National Mortgage Association, Series 2014-21-SE (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap) 5.40% I/F I/O 02/20/2044 5,900,454 18,156,154 Government National Mortgage Association, Series 2014-39-SK (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap) 6.05% I/F I/O 03/20/2044 3,787,722 17,777,568 Government National Mortgage Association, Series 2014-59-DS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 04/16/2044 3,772,983 9,070,053 Government National Mortgage Association, Series 2016-99-TL 2.00% 04/16/2044 9,036,641 217,698,804 Government National Mortgage Association, Series 2020-140-ES (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) 6.15% I/F I/O 09/20/2050 56,436,260 56,041,068 Government National Mortgage Association, Series 2020-162-QS (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) 6.15% I/F I/O 10/20/2050 14,560,086

Total US Government and Agency Mortgage Backed Obligations (Cost $25,388,048,176) 26,559,193,023

US Government and Agency Obligations - 3.9% 54,900,000 Tennessee Valley Authority 4.25% 09/15/2065 82,523,621 320,000,000 United States Treasury Notes 0.63% 08/15/2030 311,850,000 390,000,000 United States Treasury Notes 1.13% 08/15/2040 368,732,813 300,000,000 United States Treasury Notes 1.25% 05/15/2050 271,617,186 400,000,000 United States Treasury Notes 1.38% 08/15/2050 373,875,000 590,000,000 United States Treasury Notes 1.63% 11/15/2050 586,635,159

Total US Government and Agency Obligations (Cost $1,989,562,082) 1,995,233,779

Repurchase Agreements - 0.5% 270,000,000 CSFM 001 (1 Month LIBOR USD + 3.00%) [Collateralized by $270,000,000 Residential Mortgage Backed Obligation, (Market Value $1,295,388,536)] 3.50% 05/05/2021 272,025,000

Total Repurchase Agreements (Cost $270,032,203) 272,025,000

Affiliated Mutual Funds - 0.0% 769,657 Doubleline Income Fund (Class I) 6,949,998

Total Affiliated Mutual Funds (Cost $7,627,296) 6,949,998

Short Term Investments - 4.3% 738,812,246 First American Government Obligations Fund - Class U 0.04% 738,812,246 738,812,246 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% 738,812,246 738,972,831 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% 738,972,831

Total Short Term Investments (Cost $2,216,597,323) 2,216,597,323

Total Investments - 103.3% (Cost $52,577,715,362) 53,016,777,740 Liabilities in Excess of Other Assets - (3.3)% (1,672,571,042)

NET ASSETS - 100.0% $51,344,206,698

^ 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.

# 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 December 31, 2020.

§ The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2020.

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.

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 December 31, 2020.

& Unfunded or partially unfunded loan commitment. At December 31, 2020, the value of these

securities amounted to $11,146,667 or 0.0% 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 disclosed is as of December 31, 2020.

> This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of December 31, 2020.

Seven-day yield as of December 31, 2020 SECURITY TYPE BREAKDOWN as a % of Net Assets:

US Government and Agency Mortgage Backed Obligations 51.7% Non-Agency Residential Collateralized Mortgage Obligations 26.7% Non-Agency Commercial Mortgage Backed Obligations 8.8% Short Term Investments 4.3% Asset Backed Obligations 4.3% US Government and Agency Obligations 3.9% Collateralized Loan Obligations 3.0% Repurchase Agreements 0.5% Bank Loans 0.1% Affiliated Mutual Funds 0.0%~ Other Assets and Liabilities (3.3)%

100.0%

~ Represents less than 0.05% of net assets A summary of the DoubleLine Total Return Bond Fund’s investments in affiliated mutual funds for the period ended December 31, 2020 is as follows:

Change in Dividend Net Realized Unrealized Income Gain (Loss) for the Earned in the in the Shares Held at Value at Period Ended Period Ended Period Ended Value at December 31, December 31, December 31, December 31, December 31, Fund March 31, 2020 Gross Purchases Gross Sales 2020 2020 2020 2020 2020 DoubleLine Income Fund (Class I) $ 56,624,814 $ - $(53,450,000) 769,657 $ 6,949,998 $ 12,757,530 $ 692,343 $ (8,982,346)

$ 56,624,814 $ - $(53,450,000) 769,657 $ 6,949,998 $ 12,757,530 $ 692,343 $ (8,982,346)

DoubleLine Core Fixed Income Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Asset Backed Obligations - 2.6% 5,933,483 AASET Ltd., Series 2019-2-A 3.38% ^ 10/16/2039 5,596,787 14,998,708 Business Jet Securities LLC, Series 2020-1A-A 2.98% ^ 11/15/2035 15,248,377 4,493,624 Castlelake Aircraft Securitization Trust, Series 2016-1-A 4.45% 08/15/2041 4,308,311 3,574,673 Castlelake Aircraft Securitization Trust, Series 2017-1-A 3.97% 07/15/2042 3,420,176 3,654,270 Castlelake Aircraft Securitization Trust, Series 2018-1-A 4.13% ^ 06/15/2043 3,525,906 6,559,031 Castlelake Aircraft Securitization Trust, Series 2019-1A-A 3.97% ^ 04/15/2039 6,282,712 7,156,300 CLI Funding LLC, Series 2019-1A-A 3.71% ^ 05/18/2044 7,318,631 6,272,500 CLI Funding LLC, Series 2020-1A-A 2.08% ^ 09/18/2045 6,358,058 906,128 CLUB Credit Trust, Series 2018-P3-A 3.82% ^ 01/15/2026 910,746 7,872,542 College Ave Student Loans LLC, Series 2018-A-A1 (1 Month LIBOR USD + 1.20%) 1.35% ^ 12/26/2047 7,898,175 1,481,250 DB Master Finance LLC, Series 2019-1A-A2I 3.79% ^ 05/20/2049 1,526,595 3,609,706 GAIA Aviation Ltd., Series 2019-1-A 3.97% ^§ 12/15/2044 3,370,144 4,869,470 Global SC Finance SRL, Series 2020-1A-A 2.17% ^ 10/17/2040 4,930,183 2,909,477 GLS Auto Receivables Trust, Series 2018-2A-B 3.71% ^ 03/15/2023 2,936,891 7,694,847 Harbour Aircraft Investments Ltd., Series 2017-1-A 4.00% 11/15/2037 7,342,715 8,449,451 Helios Issuer LLC, Series 2017-1A-A 4.94% ^ 09/20/2049 8,851,628 2,849,705 HERO Funding Trust, Series 2016-1A-A 4.05% ^ 09/20/2041 2,985,169 13,665,673 Horizon Aircraft Finance Ltd., Series 2019-2-A 3.43% ^ 11/15/2039 13,241,081 4,837,500 Jimmy Johns Funding LLC, Series 2017-1A-A2II 4.85% ^ 07/30/2047 5,000,368 2,632,494 JOL Air Ltd., Series 2019-1-A 3.97% ^ 04/15/2044 2,545,324 15,345,598 MACH 1 Cayman Ltd., Series 2019-1-A 3.47% ^ 10/15/2039 14,576,891 1,710,267 Mosaic Solar Loan Trust, Series 2018-1A-A 4.01% ^ 06/22/2043 1,851,309 2,828,345 Mosaic Solar Loan Trust, Series 2019-2A-B 3.28% ^ 09/20/2040 2,934,381 7,500,000 Navient Private Education Loan Trust, Series 2018-A-B 3.68% ^ 02/18/2042 7,660,879 8,170,880 NP SPE LLC, Series 2016-1A-A1 4.16% ^ 04/20/2046 8,610,620 5,000,000 NP SPE LLC, Series 2019-1A-A2 3.24% ^ 09/20/2049 5,078,428 4,623,247 Pioneer Aircraft Finance Ltd., Series 2019-1-A 3.97% ^ 06/15/2044 4,400,037 19,800,000 Primose Funding LLC, Series 2019-1A-A2 4.48% ^ 07/30/2049 20,571,410 4,509,285 Sapphire Aviation Finance Ltd., Series 2020-1A-A 3.23% ^ 03/15/2040 4,378,038 6,000,000 SBA Tower Trust 3.17% ^ 04/11/2022 6,053,550 2,475,000 SERVPRO Master Issuer LLC, Series 2019-1A-A2 3.88% ^ 10/25/2049 2,653,236 5,051,549 Shenton Aircraft Investment Ltd., Series 2015-1A-A 4.75% ^ 10/15/2042 4,773,143 400,619 SoFi Consumer Loan Program Trust, Series 2017-1-B 4.73% #^ 01/26/2026 405,572 1,235,999 SoFi Consumer Loan Program Trust, Series 2017-5-A2 2.78% ^ 09/25/2026 1,245,592 1,714,472 SoFi Professional Loan Program, Series 2016-A-A2 2.76% ^ 12/26/2036 1,742,405 5,000,000 SoFi Professional Loan Program, Series 2017-B-BFX 3.70% #^ 05/25/2040 5,222,831 2,000,000 SoFi Professional Loan Program, Series 2017-C-C 4.21% #^ 07/25/2040 2,050,431 153,504 Spruce Asset Backed Securities Trust, Series 2016-E1-A 4.32% ^ 06/15/2028 156,383 3,000,000 Stack Infrastructure Issuer LLC, Series 2019-2A-A2 3.08% ^ 10/25/2044 3,122,720 2,515,053 START Ireland, Series 2019-1-A 4.09% ^ 03/15/2044 2,434,113 3,608,510 Start Ltd., Series 2018-1-A 4.09% ^ 05/15/2043 3,524,699 584,126 Start Ltd., Series 2019-2-A 3.54% ^ 11/15/2044 552,842 4,651,970 Sunnova Helios Issuer LLC, Series 2018-1A-A 4.87% ^ 07/20/2048 5,001,946 5,412,485 Sunnova Sol LLC, Series 2020-1A-A 3.35% ^ 02/01/2055 5,749,446 4,877,886 Sunrun Atlas Issuer LLC, Series 2019-2-A 3.61% ^ 02/01/2055 5,230,901 14,700,000 Taco Bell Funding LLC, Series 2018-1A-A2I 4.32% ^ 11/25/2048 14,983,375 6,816,250 TAL Advantage VII LLC, Series 2020-1A-A 2.05% ^ 09/20/2045 6,897,179 216,667 Textainer Marine Containers Ltd., Series 2019-1A-A 3.96% ^ 04/20/2044 219,904 2,989,386 Upstart Securitization Trust, Series 2020-2-A 2.31% ^ 11/20/2030 3,006,011 2,981,199 USQ Rail LLC, Series 2018-1-A1 3.78% ^ 04/27/2048 3,074,586 8,000,000 Vantage Data Centers Issuer LLC, Series 2020-2A-A2 1.99% ^ 09/15/2045 8,085,751 5,000,000 VB-S1 Issuer LLC, Series 2018-1A-C 3.41% ^ 02/15/2048 5,144,863 2,500,000 VB-S1 Issuer LLC, Series 2020-1A-C2 3.03% ^ 06/15/2050 2,626,897 17,050,000 Vivint Colar Financing LLC, Series 2020-1A-A 2.21% ^ 07/31/2051 17,606,989 12,632,745 Wave LLC, Series 2019-1-A 3.60% ^ 09/15/2044 12,352,311

Total Asset Backed Obligations (Cost $305,678,159) 307,577,646

Bank Loans - 3.6% 1,268,593 1011778 B.C. Unlimited Liability Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 11/19/2026 1,253,135 2,116,063 Access CIG LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) 3.98% 02/27/2025 2,098,870 1,923,679 Acrisure LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/16/2027 1,892,823 2,710,438 Agiliti Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.94% 01/05/2026 2,690,110 1,557,256 Air Methods Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 04/22/2024 1,508,203 1,622,352 Aldevron LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 10/13/2026 1,630,464 2,490,906 Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.50% Floor) 4.50% 08/01/2025 2,472,224 1,760,000 Aligned Energy LLC 3.41% ±& 09/02/2023 1,760,000 4,240,000 Aligned Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 09/02/2023 4,240,000 2,490,066 AlixPartners, LLP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 04/04/2024 2,468,092 505,000 Alliance Laundry Systems LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 10/08/2027 505,677 1,754,769 Alliant Holdings Intermediate LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.39% 05/09/2025 1,729,000 2,692,800 Allied Universal Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 07/10/2026 2,685,381 1,304,803 Almonde, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 06/13/2024 1,281,428 450,000 Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) 8.25% 06/16/2025 453,053 2,146,438 Alterra Mountain Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 07/31/2024 2,123,181 328,350 Amentum Government Services Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/01/2027 328,350 335,000 American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/29/2027 289,775 433,293 American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.16% 12/15/2023 391,738 460,000 American Residential Services LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 10/15/2027 460,575 801,107 American Tire Distributors, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) 8.50% 09/02/2024 768,261 99,013 (3 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) 8.50% 09/02/2024 94,954 2,707,530 Applied Systems, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 09/19/2024 2,710,454 1,645,000 Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/11/2025 1,628,756 724,525 Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/15/2027 717,396 2,020,000 Arches Buyer Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.50% Floor) 4.50% 12/06/2027 2,026,565 653,175 Arctic Glacier U.S.A., Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 03/20/2024 586,022 2,514,945 Ascend Learning LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 07/12/2024 2,508,029 1,211,963 Asplundh Tree Expert, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 09/07/2027 1,217,647 2,533,173 AssuredPartners, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/12/2027 2,500,115 720,000 Astoria Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/10/2027 716,850 1,963,014 Asurion LLC, Senior Secured First Lien Term Loan 3.40% ± 12/23/2026 1,945,838 2,131,209 Asurion LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 11/03/2023 2,112,998 1,479,634 Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%) 6.65% 08/04/2025 1,494,061 1,284,773 Athenahealth, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 02/11/2026 1,286,379 280,000 Austin BidCo Inc., Senior Secured First Lien Term Loan 5.00% ± 12/09/2027 278,950 589,630 Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor) 3.25% 11/21/2024 591,228 860,000 Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 11/08/2027 862,692 1,047,606 Avaya Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.39% 12/15/2027 1,049,785 843,321 Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.41% 12/16/2024 849,414 1,281,881 Azalea TopCo, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.71% 07/24/2026 1,269,332 405,000 B&G Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 10/10/2026 405,360 1,734,434 Bass Pro Group, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) 5.75% 09/25/2024 1,742,802 1,256,250 Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 11/27/2025 1,246,602 960,389 Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 06/02/2025 958,142 822,516 BellRing Brands LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 10/21/2024 827,862 2,299,975 Berry Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 07/01/2026 2,292,512 2,493,332 Bioscrip, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 08/06/2026 2,492,821 1,869,360 Blackhawk Network Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 06/16/2025 1,824,673 1,633,566 Blackstone CQP Holdco LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.74% 09/30/2024 1,631,524 1,843,355 Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 10/02/2025 1,839,456 1,744,290 Brand Energy & Infrastructure Services, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/21/2024 1,704,720 1,644,796 Brazos Delaware LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 05/21/2025 1,440,956 1,463,601 Bright Bidco B.V., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 06/28/2024 849,042 1,165,649 Brookfield WEC Holdings Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor) 3.75% 08/01/2025 1,164,402 1,826,200 Buckeye Partners LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 11/02/2026 1,826,775 830,000 Cablevision Lightpath LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.50% Floor) 3.75% 11/30/2027 829,614 2,571,858 Caesars Resort Collection LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 12/23/2024 2,529,435 1,017,450 Caesars Resort, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 07/21/2025 1,020,787 217,250 Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 08/12/2026 214,707 3,197,538 Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 04/06/2026 3,170,886 907,684 Cambium Learning Group Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%) 4.72% 12/18/2025 904,508 2,501,006 Camelot US Acquisition Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.15% 10/30/2026 2,493,453 616,900 Carnival Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.50%, 1.00% Floor) 8.50% 06/30/2025 638,010 2,569,632 Castle US Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) 4.00% 01/29/2027 2,528,672 953,390 Catalent Pharma Solutions Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor) 3.25% 05/18/2026 955,774 1,752,252 Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/07/2023 1,685,544 2,559,832 CenturyLink, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 03/15/2027 2,536,794 2,445,780 Change Healthcare Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 03/01/2024 2,438,601 75,643 (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 03/01/2024 75,421 1,260,000 Charter NEX US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 0.75% Floor) 5.00% 12/01/2027 1,268,033 2,512,508 CHG Healthcare Services, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 06/07/2023 2,502,697 2,283,498 CHG PPC Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 03/31/2025 2,259,247 796,659 Cincinnati Bell, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 10/02/2024 797,778 1,291,000 Clear Channel Outdoor Holdings Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.71% 08/21/2026 1,246,157 1,003,631 ClubCorporationHoldings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 3.00% 09/18/2024 941,671 915,000 CNT Holdings I Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 11/08/2027 917,361 575,000 CommerceHub Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 12/29/2027 575,719 2,056,112 Compass Power Generation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/20/2024 2,006,251 664,975 Connect U.S. Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 12/11/2026 668,835 1,022,438 Conservice Midco LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%) 4.50% 05/13/2027 1,024,994 389,025 Consolidated Communications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 10/04/2027 391,523 1,611,148 Cornerstone OnDemand, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.39% 04/22/2027 1,620,927 1,530,000 CP Atlas Buyer, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/23/2027 1,535,164 510,000 CP Atlas Buyer, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/23/2027 511,721 1,167,011 CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.41% 07/17/2025 1,152,424 520,725 CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.41% 01/15/2026 514,216 1,425,627 CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.66% 04/15/2027 1,416,717 1,351,971 CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.25%, 1.00% Floor) 7.25% 01/04/2022 1,336,964 2,544,399 Cvent, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 11/29/2024 2,455,345 483,646 Cyanco Intermediate Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 03/17/2025 481,731 1,325,593 Cyxtera DC Holdings, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 05/01/2024 1,244,904 1,245,588 DCert Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 10/16/2026 1,246,366 193,050 Dealer Tire LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/12/2025 192,245 2,010,311 Deerfield Holdings Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 04/09/2027 2,021,941 2,998,873 Dell International LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%, 0.75% Floor) 2.75% 09/19/2025 3,004,496 1,130,000 Delta Topco, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 12/01/2027 1,131,650 2,269,035 DentalCorporationPerfect Smile ULC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 06/06/2025 2,235,715 2,154,986 Diamond (BC) B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.21% 09/06/2024 2,128,954 568,387 Diamond Sports Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 08/24/2026 505,864 336,907 Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 04/06/2026 321,933 626,648 Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 04/06/2026 598,796 469,377 Dynatrace LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 08/22/2025 466,077 2,721,212 E.W. Scripps Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 05/01/2026 2,698,245 2,148,934 EAB Global, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 11/15/2024 2,137,523 820,411 EG America LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.25% 02/06/2025 813,134 1,090,000 Energizer Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.50% Floor) 2.75% 12/16/2027 1,092,049 1,516,660 Envision Healthcare Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 10/10/2025 1,271,917 842,353 ESH Hospitality, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 09/18/2026 836,035 1,860,461 Excelitas Technologies Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/02/2024 1,850,377 880,000 Exgen Renewables IV LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 12/11/2027 881,320 2,078,414 Filtration Group Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 03/31/2025 2,062,951 2,038,900 Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 10/01/2025 2,038,482 1,113,797 Flex Acquisition Company Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%) 3.23% 06/30/2025 1,102,660 726,096 Flex Acquisition Company Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/29/2023 723,826 54,652 (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/29/2023 54,482 1,972,987 Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.75% 08/01/2024 1,773,903 909,849 Flexera Software LLC 4.50% ± 01/31/2028 910,986 1,300,003 Flexera Software LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 02/26/2025 1,301,394 604,538 Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.50% Floor) 9.50% Þ 06/30/2027 604,538 2,378,258 Formula One Management Ltd., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 02/01/2024 2,361,693 504,630 Forterra Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/25/2023 505,997 2,634,188 Froneri US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 01/29/2027 2,613,115 652,465 Frontdoor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.69% 08/18/2025 650,834 797,535 Frontera Generation Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% W 05/02/2025 211,347 590,000 Frontier Communications Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 10/08/2021 594,428 2,195,000 Garda World Security Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) 4.99% 10/30/2026 2,201,036 550,838 Gardner Denver, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/01/2027 544,296 402,312 Gates Global LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 04/01/2024 401,809 1,420,000 Gemini HDPE LLC, Senior Secured First Lien Term Loan 3.50% ± 12/28/2027 1,414,675 2,720,067 Genesys Telecommunications Laboratories, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 12/01/2027 2,729,846 2,518,889 Gentiva Health Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.44% 07/02/2025 2,512,604 1,378,741 Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.69% 02/19/2026 1,361,941 1,435,000 Global Medical Response Inc., Senior Secured First Lien Term Loan 5.75% ± 10/02/2025 1,428,722 1,777,091 Go Daddy Operating Company, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 02/15/2024 1,777,650 1,442,750 Go Daddy Operating Corporation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 08/10/2027 1,452,763 2,760,397 GOBP Holdings Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 2.90% 10/22/2025 2,765,572 1,376,091 Golden Nugget, Inc., Senior Secured First Lien Term Loan (2 Month LIBOR USD + 2.50%, 0.75% Floor) 3.25% 10/04/2023 1,333,034 1,172,226 (1 Month LIBOR USD + 2.50%, 0.75% Floor) 3.25% 10/04/2023 1,135,547 2,494,695 GoodRX, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 10/10/2025 2,482,845 789,598 GrafTech Finance, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 02/12/2025 790,917 1,332,339 Graham Packaging Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 08/04/2027 1,338,754 1,258,539 Granite US Holdings Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.25%) 5.51% 09/30/2026 1,261,685 257,773 (3 Month LIBOR USD + 5.25%) 5.51% 09/30/2026 258,418 2,420,332 Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 01/02/2026 2,408,231 985,125 GTT Communications, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 2.97% 06/02/2025 777,924 934,922 Gulf Finance, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor) 6.25% 08/25/2023 713,546 1,690,000 Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 10/19/2027 1,693,076 1,452,050 Hayward Industries, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 08/05/2024 1,439,345 768,300 Hexion, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.73% 07/01/2026 765,419 2,108,701 H-Food Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.69%) 3.83% 05/23/2025 2,076,902 2,133,995 Hilton Worldwide Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 06/22/2026 2,113,551 824,430 Houston Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 07/21/2025 811,033 2,082,604 Hyland Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 07/01/2024 2,090,414 429,663 Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor) 7.75% 07/07/2025 434,317 440,213 IAA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 06/29/2026 438,194 1,115,740 IHeartCommunications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 05/01/2026 1,099,936 1,496,250 Illuminate Buyer LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 06/30/2027 1,499,055 1,781,538 Informatica LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/25/2027 1,770,269 308,946 Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor) 6.50% 07/13/2022 316,052 102,982 (6 Month LIBOR USD + 5.50%, 1.00% Floor) 6.50% 07/13/2022 105,351 2,739,533 Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan (Prime Rate + 4.75%, 1.00% Floor) 8.00% 11/27/2023 2,785,516 1,747,304 ION Trading Technologies SARL, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 11/21/2024 1,746,683 1,807,633 IQVIA Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/17/2025 1,801,080 1,155,000 IRB Holding Corporation, Senior Secured First Lien Term Loan 4.25% ± 12/15/2027 1,158,430 2,631,143 IRB Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 02/05/2025 2,613,949 2,492,626 IRI Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/01/2025 2,470,815 2,552,195 Iron Mountain Information Management LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/02/2026 2,536,244 1,100,000 Ivanti Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 12/01/2027 1,099,313 1,825,473 Jaguar Holding Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 08/18/2022 1,826,961 2,441,513 JBS USA Lux S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 05/01/2026 2,426,448 325,084 Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 10/20/2023 314,655 577,430 KAR Auction Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 09/21/2026 569,490 965,135 KBR, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/05/2027 966,342 1,415,700 Kestrel Bidco Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/11/2026 1,363,503 1,237,556 Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) 5.19% 07/02/2025 1,239,103 819,575 Klockner-Pentaplast of America, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/30/2022 819,062 1,110,000 Kronos Acquisition Holdings Inc., Senior Secured First Lien Term Loan 5.25% ± 12/17/2026 1,113,907 861,818 LBM Acquisition LLC, Senior Secured First Lien Term Loan 4.50% ± 12/09/2027 862,895 191,515 LBM Borrower LLC, Senior Secured First Lien Term Loan 3.89% ± 12/18/2027 191,755 91,088 Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%) 1.15% 06/30/2025 61,256 499,245 Level 3 Financing, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/01/2027 492,069 1,333,218 Life Time Fitness, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 06/10/2022 1,303,221 440,690 Lions Gate Capital Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 03/24/2025 436,008 865,000 LogMeIn, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 08/31/2027 863,923 1,556,530 Lower Cadence Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 05/22/2026 1,523,944 1,615,935 Lucid Energy Group II Borrower LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 02/18/2025 1,541,028 366,667 Maravai Intermediate Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 10/19/2027 370,792 987,488 Marriott Ownership Resorts, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 08/29/2025 971,752 1,844,058 Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.50% 03/20/2025 1,815,937 1,070,000 Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 03/20/2025 1,078,694 1,091,501 MED ParentCo LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 1,078,054 273,714 MED ParentCo LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 270,342 639,618 Messer Industries LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%) 2.75% 03/02/2026 635,863 2,070,000 Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 10/01/2027 2,074,740 1,085,000 Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor) 6.25% 06/21/2027 1,132,268 2,271,316 Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) 5.15% 03/27/2026 2,234,407 284,277 Mirion Technologies, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%) 4.27% 03/06/2026 284,410 2,165,173 Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/14/2026 2,117,809 1,472,378 Mitchell International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 11/29/2024 1,450,639 335,000 Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) 7.40% 12/01/2025 325,159 807,838 MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 11/28/2025 736,332 58,077 Motion Finco, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.50% 11/12/2026 56,181 441,892 Motion Finco, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.47% 11/12/2026 427,462 1,185,911 MPH Acquisition Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 06/07/2023 1,182,673 733,746 Nascar Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 10/19/2026 731,853 533,250 NCR Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 08/28/2026 526,808 2,374,281 Nexstar Broadcasting, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 09/18/2026 2,363,608 2,496,736 Numericable U.S. LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.24% 08/14/2026 2,492,316 222,363 OneDigital Borrower LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% & 11/16/2027 223,197 OneDigital Borrower LLC, Senior Secured First Lien Term Loan 2,094,952 (1 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/16/2027 2,102,808 157,685 (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/16/2027 158,276 1,030,000 Ortho-Clinical Diagnostics Inc., Senior Secured First Lien Term Loan 3.48% ± 06/30/2025 1,016,739 392,000 Outcomes Group Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.47% 10/24/2025 386,120 1,308,425 Pacific Gas and Electric Company, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 06/23/2025 1,326,089 635,000 Packaging Coordinators Midco Inc, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 11/30/2027 636,588 600,000 PAI HoldCo, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 10/26/2027 601,500 2,502,658 Panther BF Aggregator LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 04/30/2026 2,499,005 2,619,628 Parexel International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 09/27/2024 2,580,333 157,448 Pathway Vet Alliance LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 03/31/2027 157,625 1,927,590 Pathway Vet Alliance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 03/31/2027 1,929,759 500,613 PCI Gaming Authority, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 05/29/2026 496,291 1,146,592 Penn National Gaming, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.75% Floor) 3.00% 10/15/2025 1,134,846 2,263,744 PetSmart, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 03/11/2022 2,269,222 489,962 Phoenix Services International LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 03/03/2025 485,523 802,193 Pisces Midco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 04/12/2025 802,445 803,846 Playtika Holding Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 6.00%, 1.00% Floor) 7.00% 12/10/2024 810,289 1,701,949 PODS, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 12/06/2024 1,708,859 PointClickCare Technologies Inc., Senior Secured First Lien Term Loan 3.75% ± 12/29/2027 590,000 959,380 PowerTeam Services LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 03/06/2025 952,184 661,586 Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 03/11/2026 647,888 1,608,750 Pregis Topco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 07/31/2026 1,604,728 283,575 Presidio Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 01/22/2027 283,708 Prime Security Services Borrower LLC, Senior Secured First Lien Term Loan 625,854 (1 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 630,645 402,335 (6 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 405,415 402,335 (9 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 405,415 804,669 (12 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 810,829 964,063 Pro Mach Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 03/07/2025 949,602 2,485,165 Project Alpha Intermediate Holding, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 04/26/2024 2,468,589 1,293,022 Pug LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/12/2027 1,236,996 2,199,870 Radiate Holdco, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 09/25/2026 2,206,392 Radiology Partners, Inc., Senior Secured First Lien Term Loan 1,181,515 (3 Month LIBOR USD + 4.25%) 5.29% 07/09/2025 1,164,779 1,386,996 (1 Month LIBOR USD + 4.25%) 5.29% 07/09/2025 1,367,350 940,000 Redstone Buyer, LLC, Senior Secured First Lien Term Loan (2 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 09/01/2027 945,287 1,876,491 RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 11/14/2025 1,875,206 2,063,650 Renaissance Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/30/2025 2,033,335 282,896 RentPath, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.00%, 1.00% Floor) 8.00% 02/26/2021 264,508 1,629,122 RentPath, Inc., Senior Secured First Lien Term Loan (Prime Rate + 3.75%, 1.00% Floor) 7.00% W 12/17/2021 733,105 750,000 Reynolds Group Holdings Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/05/2026 745,688 797,799 Reynolds Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/06/2023 795,805 1,129,325 RP Crown Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 02/02/2026 1,130,387 433,913 Ryan Specialty Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 09/01/2027 433,912 330,000 Sabre Global Inc., Senior Secured First Lien Term Loan 4.75% ± 12/17/2027 331,238 865,538 Sabre Global Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 02/22/2024 847,072 1,617,000 Science Applications International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.88%) 2.02% 10/31/2025 1,612,957 453,333 Science Applications International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 03/12/2027 453,900 1,881,577 Scientific Games International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 08/14/2024 1,842,770 1,465,607 Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 11/01/2024 1,379,510 1,750,017 Sedgwick Claims Management Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 12/31/2025 1,725,595 2,540,000 Select Medical Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.25%) 2.53% 03/06/2025 2,525,712 2,552,200 Severin Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 08/01/2025 2,527,635 2,537,875 Sinclair Television Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 09/30/2026 2,517,255 1,731,563 SIWF Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 06/13/2025 1,723,633 937,044 Six Flags Theme Parks, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 04/17/2026 918,448 905,000 SkyMiles IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 10/20/2027 940,634 SMG US Midco 2, Inc., Senior Secured First Lien Term Loan 414,403 (1 Month LIBOR USD + 2.50%) 2.65% 01/23/2025 391,957 1,014,573 (3 Month LIBOR USD + 2.50%) 2.65% 01/23/2025 959,619 2,717,654 SolarWinds Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/05/2024 2,604,695 1,472,674 Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.23% 06/26/2025 1,473,042 80,000 Solenis International LP, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%) 8.73% 06/26/2026 79,933 2,541,433 Solera LLC, Senior Secured First Lien Term Loan (2 Month LIBOR USD + 2.75%) 2.90% 03/03/2023 2,526,273 2,470,000 Sophia, L.P., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 10/07/2027 2,481,905 2,087,444 Sotera Health Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 12/11/2026 2,098,319 2,742,014 Sound Inpatient Physicians, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 06/27/2025 2,728,304 744,720 Southern Graphics, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 12/30/2022 552,955 189,697 Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan 5.00% ± 10/02/2027 189,223 1,375,303 Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 10/01/2027 1,371,865 1,621,480 SS&C Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 04/16/2025 1,606,586 887,406 Staples, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) 5.21% 04/16/2026 861,991 776,259 Starfruit US Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 10/01/2025 769,952 923,188 Stars Group Holdings B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.75% 07/10/2025 927,550 1,241,032 STG-Fairway Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 01/29/2027 1,224,359 455,400 Sunshine Luxembourg VII SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) 4.25% 10/01/2026 458,212 2,293,475 Surf Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.73% 03/05/2027 2,276,847 258,390 Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 10/01/2024 256,452 1,131,888 TAMKO Building Products LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/29/2026 1,130,473 18,726 Tapstone Energy Holdings LLC, Unsecured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% Þ 04/17/2024 18,636 805,478 Team Health Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 02/06/2024 721,337 1,830,413 Tech Data Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 06/30/2025 1,844,708 783,038 Tech Data Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.50%) 5.65% 06/30/2025 784,995 1,460,468 Telesat LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 12/07/2026 1,449,923 2,402,917 Tempo Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.50% Floor) 3.75% 11/02/2026 2,391,659 1,588,950 Terrier Media Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/17/2026 1,594,170 3,050,427 The Dun & Bradstreet Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 02/06/2026 3,057,626 2,575,630 The Edelman Financial Center LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 07/21/2025 2,541,825 2,488,763 Thyssenkrupp Elevator, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%) 4.57% 07/14/2027 2,510,975 2,551,552 TIBCO Software Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 06/30/2026 2,510,880 155,000 TIBCO Software Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) 7.40% 03/03/2028 157,066 2,083,705 Titan Acquisition Limited, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%) 3.27% 03/28/2025 2,037,655 1,901,279 TKC Holdings, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 02/01/2023 1,870,383 1,895 TransDigm, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 05/30/2025 1,862 2,520,181 TransDigm, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 12/09/2025 2,475,952 775,063 Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 01/25/2024 687,869 753,285 Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.50%, 1.00% Floor) 2.50% 02/28/2025 745,044 431,847 Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) 5.25% 05/29/2026 296,176 2,081,835 Trident TPI Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/17/2024 2,059,872 63,997 Uber Technologies Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 07/13/2023 63,989 2,076,213 Uber Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 04/04/2025 2,091,224 2,526,544 UFC Holdings, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 04/29/2026 2,522,792 787,617 UGI Energy Services LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 08/13/2026 790,571 1,179,792 Ultimate Software Group, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 05/04/2026 1,180,837 1,880,288 Ultimate Software Group, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 05/04/2026 1,892,998 210,000 Ultimate Software Group, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.75% Floor) 7.50% 05/03/2027 216,562 440,316 United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 10/22/2025 438,480 331,650 Univar Solutions USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 07/01/2026 329,370 453,666 Univision Communications, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 03/13/2026 455,523 674,900 Upstream Newco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 11/20/2026 674,478 2,537,875 US Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 09/14/2026 2,502,979 1,139,661 USIC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/08/2023 1,144,886 897,917 Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 10/28/2024 856,576 2,709,103 Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 08/27/2025 2,713,167 547,277 Victory Capital Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%) 2.73% 07/01/2026 546,138 500,000 Virgin Media Bristol LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.66% 01/31/2028 496,160 2,476,773 VS Buyer LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/26/2027 2,472,129 1,707,485 Wand NewCo 3, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 02/05/2026 1,686,568 821,356 Web.Com Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 10/10/2025 811,430 1,233,390 Whatabrands LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 07/31/2026 1,224,522 2,307,145 Zayo Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 03/09/2027 2,298,285 1,226,381 Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 09/30/2026 1,231,238 230,000 Ziggo Financing Partnership, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.66% 04/28/2028 228,994

Total Bank Loans (Cost $431,639,914) 430,746,386

Collateralized Loan Obligations - 2.9% 875,000 Adams Mill Ltd., Series 2014-1A-D1 (3 Month LIBOR USD + 3.50%) 3.74% ^ 07/15/2026 869,880 1,000,000 AIMCO, Series 2018-AA-D (3 Month LIBOR USD + 2.55%) 2.77% ^ 04/17/2031 950,185 7,500,000 Anchorage Capital Ltd, Series 2019-13A-B (3 Month LIBOR USD + 2.00%, 2.00% Floor) 2.24% ^ 04/15/2032 7,502,797 1,000,000 Apidos Ltd., Series 2013-12A-DR (3 Month LIBOR USD + 2.60%) 2.84% ^ 04/15/2031 951,592 1,500,000 Apidos Ltd., Series 2015-20A-CR (3 Month LIBOR USD + 2.95%) 3.18% ^ 07/16/2031 1,457,547 2,500,000 Apidos Ltd., Series 2020-33A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor) 2.47% ^ 07/24/2031 2,503,493 5,000,000 Atrium Corporation, Series 9A-DR (3 Month LIBOR USD + 3.60%) 3.82% ^ 05/28/2030 5,006,138 4,500,000 Avery Point Ltd., Series 2015-7A-DR (3 Month LIBOR USD + 3.60%) 3.84% ^ 01/15/2028 4,488,750 5,000,000 Babson Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.95%) 3.17% ^ 10/20/2030 4,920,317 3,400,000 Babson Ltd., Series 2015-IA-DR (3 Month LIBOR USD + 2.60%, 2.60% Floor) 2.82% ^ 01/20/2031 3,205,243 3,250,000 Babson Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.60%) 3.82% ^ 07/18/2029 3,253,406 2,000,000 Bain Capital Credit Ltd., Series 2016-2A-DR (3 Month LIBOR USD + 4.10%, 4.10% Floor) 4.34% ^ 01/15/2029 1,976,053 2,000,000 Barings Ltd., Series 2018-1A-C (3 Month LIBOR USD + 2.60%) 2.84% ^ 04/15/2031 1,908,804 5,100,000 Barings Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.90%) 3.12% ^ 07/20/2029 4,907,249 2,000,000 Barings Ltd., Series 2018-4A-D (3 Month LIBOR USD + 2.90%, 2.90% Floor) 3.14% ^ 10/15/2030 1,949,674 3,000,000 Barings Ltd., Series 2019-1A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor) 4.09% ^ 04/15/2031 2,999,994 2,250,000 Barings Ltd., Series 2019-2A-C (3 Month LIBOR USD + 3.85%, 3.85% Floor) 4.09% ^ 04/15/2031 2,249,610 3,000,000 BlueMountain Ltd., Series 2013-1A-CR (3 Month LIBOR USD + 4.15%, 4.15% Floor) 4.37% ^ 01/20/2029 2,997,409 4,000,000 BlueMountain Ltd., Series 2015-3A-CR (3 Month LIBOR USD + 2.60%) 2.82% ^ 04/20/2031 3,640,848 2,000,000 BlueMountain Ltd., Series 2016-3A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor) 3.32% ^ 11/15/2030 1,873,295 4,500,000 Canyon Capital Ltd., Series 2012-1RA-D (3 Month LIBOR USD + 3.00%) 3.24% ^ 07/15/2030 4,377,550 2,750,000 Canyon Capital Ltd., Series 2014-1A-CR (3 Month LIBOR USD + 2.75%, 2.75% Floor) 2.96% ^ 01/30/2031 2,604,092 1,500,000 Canyon Capital Ltd., Series 2014-2A-DR (3 Month LIBOR USD + 3.65%) 3.89% ^ 04/15/2029 1,496,282 3,000,000 Canyon Capital Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 2.80%) 3.04% ^ 07/15/2031 2,869,405 1,500,000 Canyon Capital Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.60%) 3.84% ^ 07/15/2030 1,500,382 4,000,000 Canyon Capital Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%, 2.90% Floor) 3.14% ^ 07/15/2031 3,833,041 2,500,000 Carlyle US Ltd., Series 2016-4A-CR (3 Month LIBOR USD + 2.80%, 2.80% Floor) 3.02% ^ 10/20/2027 2,350,443 1,000,000 Catamaran Ltd., Series 2018-1A-C (3 Month LIBOR USD + 2.50%, 2.50% Floor) 2.71% ^ 10/25/2031 989,919 5,000,000 CIFC Funding Ltd., Series 2015-4A-CR (3 Month LIBOR USD + 4.00%, 4.00% Floor) 4.22% ^ 10/20/2027 5,001,195 1,000,000 CIFC Funding Ltd., Series 2020-1A-B (3 Month LIBOR USD + 2.30%, 2.30% Floor) 2.54% ^ 07/15/2032 1,003,873 1,000,000 CIFC Funding Ltd., Series 2020-2A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor) 2.48% ^ 08/24/2032 1,005,212 4,500,000 Columbia Cent Ltd., Series 2020-29A-B1 (3 Month LIBOR USD + 2.46%, 2.46% Floor) 2.68% ^ 07/20/2031 4,510,610 3,250,000 Cook Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.60%) 2.82% ^ 04/17/2030 3,092,860 2,150,000 CRMN Mortgage Trust, Series 2016-1A-C (3 Month LIBOR USD + 3.85%) 4.07% ^ 01/18/2029 2,131,967 1,000,000 Crown Point Ltd., Series 2020-9A-C (3 Month LIBOR USD + 3.60%, 3.60% Floor) 3.83% ^ 07/14/2032 1,002,780 10,000,000 Dryden Senior Loan Fund, Series 2014-33A-DR3 (3 Month LIBOR USD + 3.65%, 3.65% Floor) 3.89% ^ 04/15/2029 10,005,683 3,000,000 Dryden Senior Loan Fund, Series 2015-40A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor) 3.32% ^ 08/15/2031 2,939,244 2,200,000 Dryden Senior Loan Fund, Series 2016-43A-DRR (3 Month LIBOR USD + 3.55%, 3.55% Floor) 3.77% ^ 07/20/2029 2,204,754 2,000,000 Dryden Senior Loan Fund, Series 2018-57A-D (3 Month LIBOR USD + 2.55%, 2.55% Floor) 2.77% ^ 05/15/2031 1,892,451 5,000,000 Elmwood Ltd., Series 2019-2A-B (3 Month LIBOR USD + 2.10%, 2.10% Floor) 2.32% ^ 04/20/2031 5,009,129 2,250,000 Fillmore Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%) 3.14% ^ 07/15/2030 2,204,603 2,000,000 Gilbert Park Ltd., Series 2017-1A-D (3 Month LIBOR USD + 2.95%) 3.19% ^ 10/15/2030 1,987,996 4,000,000 Gilbert Park Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.40%) 6.64% ^ 10/15/2030 3,940,510 5,000,000 GoldenTree Loan Management Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.85%) 3.07% ^ 04/20/2030 4,836,981 3,500,000 GoldenTree Loan Opportunities Ltd., Series 2015-11A-DR2 (3 Month LIBOR USD + 2.40%) 2.62% ^ 01/18/2031 3,399,883 2,000,000 Grippen Park Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.30%) 3.52% ^ 01/20/2030 1,992,281 740,000 Halcyon Loan Advisors Funding Ltd., Series 2013-2A-C (3 Month LIBOR USD + 2.70%) 2.91% ^ 08/01/2025 739,215 1,500,000 Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D (3 Month LIBOR USD + 3.65%) 3.87% ^ 10/22/2025 1,252,313 5,000,000 Hayfin Kingsland Ltd., Series 2018-9A-BR (3 Month LIBOR USD + 1.80%) 2.02% ^ 04/28/2031 4,977,161 1,000,000 Hayfin Kingsland Ltd., Series 2019-1A-B1 (3 Month LIBOR USD + 2.25%, 2.25% Floor) 2.47% ^ 04/28/2031 1,002,836 1,481,500 Highbridge Loan Management Ltd., Series 4A-2014-A2R (3 Month LIBOR USD + 1.50%) 1.72% ^ 01/28/2030 1,462,571 2,500,000 Highbridge Loan Management Ltd., Series 8A-2016-DR (3 Month LIBOR USD + 2.90%, 2.90% Floor) 3.12% ^ 07/20/2030 2,385,750 1,500,000 HPS Loan Management Ltd., Series 13A-18-D (3 Month LIBOR USD + 3.00%, 3.00% Floor) 3.24% ^ 10/15/2030 1,454,317 4,000,000 LCM LP, Series 14A-DR (3 Month LIBOR USD + 2.75%) 2.97% ^ 07/20/2031 3,708,398 2,000,000 LCM LP, Series 19A-D (3 Month LIBOR USD + 3.45%, 3.45% Floor) 3.69% ^ 07/15/2027 1,980,290 2,000,000 LCM LP, Series 20A-DR (3 Month LIBOR USD + 2.80%) 3.02% ^ 10/20/2027 1,900,902 2,000,000 LCM Ltd., Series 25A-D (3 Month LIBOR USD + 3.45%) 3.67% ^ 07/20/2030 1,925,483 3,250,000 LCM Ltd., Series 28A-D (3 Month LIBOR USD + 2.95%, 2.95% Floor) 3.17% ^ 10/20/2030 3,148,770 4,000,000 LCM Ltd., Series 30A-D (3 Month LIBOR USD + 3.75%, 3.75% Floor) 3.97% ^ 04/20/2031 4,006,679 2,455,896 Longfellow Place Ltd., Series 2013-1A-ARR (3 Month LIBOR USD + 1.34%) 1.58% ^ 04/15/2029 2,453,092 4,000,000 Madison Park Funding Ltd., Series 2014-14A-DRR (3 Month LIBOR USD + 2.95%, 2.95% Floor) 3.17% ^ 10/22/2030 3,891,716 2,000,000 Madison Park Funding Ltd., Series 2014-15A-CR (3 Month LIBOR USD + 3.45%) 3.67% ^ 01/27/2026 1,999,531 1,250,000 Madison Park Funding Ltd., Series 2014-15A-DR (3 Month LIBOR USD + 5.44%) 5.66% ^ 01/27/2026 1,235,567 1,000,000 Madison Park Funding Ltd., Series 2015-16A-D (3 Month LIBOR USD + 5.50%) 5.72% ^ 04/20/2026 978,663 5,000,000 Madison Park Funding Ltd., Series 2015-18A-DR (3 Month LIBOR USD + 2.95%) 3.16% ^ 10/21/2030 4,894,097 3,750,000 Madison Park Funding Ltd., Series 2019-34A-D (3 Month LIBOR USD + 3.70%, 3.70% Floor) 3.91% ^ 04/25/2031 3,753,742 4,000,000 Magnetite Ltd., Series 2015-14RA-D (3 Month LIBOR USD + 2.85%) 3.07% ^ 10/18/2031 3,903,776 1,500,000 Magnetite Ltd., Series 2016-18A-DR (3 Month LIBOR USD + 2.70%) 2.92% ^ 11/15/2028 1,482,188 3,900,000 Marble Point Ltd., Series 2020-1A-B1 (3 Month LIBOR USD + 2.60%, 2.60% Floor) 2.77% ^ 10/15/2031 3,930,049 2,500,000 Marble Point Ltd., Series 2017-1A-B (3 Month LIBOR USD + 1.80%) 2.04% ^ 10/15/2030 2,506,243 2,000,000 MDPK, Series 2018-32A-D (3 Month LIBOR USD + 4.10%, 4.10% Floor) 4.32% ^ 01/22/2031 2,001,309 1,000,000 Myers Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.05%, 3.05% Floor) 3.27% ^ 10/20/2030 978,284 3,500,000 Neuberger Berman Loan Advisers Ltd., Series 2016-23A-DR (3 Month LIBOR USD + 2.90%, 2.90% Floor) 3.12% ^ 10/17/2027 3,448,087 2,500,000 Neuberger Berman Loan Advisers Ltd., Series 2018-29A-D (3 Month LIBOR USD + 3.10%, 3.10% Floor) 3.32% ^ 10/19/2031 2,466,979 2,000,000 Neuberger Berman Loan Advisers Ltd., Series 2019-32A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor) 4.07% ^ 01/19/2032 2,007,265 2,000,000 Newark BSL Ltd., Series 2017-1A-C (3 Month LIBOR USD + 3.65%) 3.86% ^ 07/25/2030 2,002,523 6,000,000 Oak Hill Credit Partners Ltd., Series 2014-10RA-D (3 Month LIBOR USD + 3.15%, 3.15% Floor) 3.37% ^ 12/12/2030 5,894,208 1,000,000 Ocean Trails, Series 2019-7A-B (3 Month LIBOR USD + 2.00%, 2.00% Floor) 2.22% ^ 04/17/2030 1,000,626 3,500,000 Ocean Trails, Series 2020-8A-B (3 Month LIBOR USD + 2.50%, 2.50% Floor) 2.77% ^ 07/15/2029 3,514,454 5,600,000 Octagon Investment Partners Ltd., Series 2012-1A-CR (3 Month LIBOR USD + 4.00%) 4.24% ^ 07/15/2029 5,596,314 2,000,000 Octagon Investment Partners Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 3.00%, 3.00% Floor) 3.22% ^ 07/17/2030 1,946,613 6,900,000 Octagon Investment Partners Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 3.70%) 3.92% ^ 07/19/2030 6,778,443 2,250,000 Octagon Investment Partners Ltd., Series 2014-1A-CRR (3 Month LIBOR USD + 3.95%, 3.95% Floor) 4.17% ^ 02/14/2031 2,250,006 2,500,000 Octagon Investment Partners Ltd., Series 2014-1A-ERR (3 Month LIBOR USD + 5.45%, 5.45% Floor) 5.67% ^ 01/22/2030 2,250,436 10,000,000 Octagon Investment Partners Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 2.95%) 3.19% ^ 07/15/2030 9,574,528 4,000,000 Octagon Investment Partners Ltd., Series 2017-1A-C (3 Month LIBOR USD + 3.50%) 3.72% ^ 03/17/2030 4,005,035 1,760,000 Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%) 6.42% ^ 03/17/2030 1,692,513 2,500,000 Octagon Investment Partners Ltd., Series 2018-2A-C (3 Month LIBOR USD + 2.85%) 3.06% ^ 07/25/2030 2,408,214 1,000,000 Octagon Investment Partners Ltd., Series 2020-5A-D (3 Month LIBOR USD + 3.40%, 3.40% Floor) 0.00% ^ 01/15/2033 1,000,000 2,000,000 OHA Credit Funding Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.05%, 3.05% Floor) 3.27% ^ 10/20/2030 1,957,042 4,000,000 Sound Point Ltd., Series 2020-1A-C (3 Month LIBOR USD + 3.30%, 3.30% Floor) 3.62% ^ 07/20/2030 4,025,993 1,000,000 Sound Point Ltd., Series 2020-1A-D (3 Month LIBOR USD + 4.70%, 4.70% Floor) 5.02% ^ 07/20/2030 1,007,550 10,000,000 Stewart Park Ltd., Series 2015-1A-DR (3 Month LIBOR USD + 2.60%, 2.60% Floor) 2.84% ^ 01/15/2030 9,565,818 3,000,000 Symphony Ltd., Series 2015-16A-DR (3 Month LIBOR USD + 3.05%, 3.05% Floor) 3.29% ^ 10/15/2031 2,906,953 2,500,000 Symphony Ltd., Series 2016-17A-DR (3 Month LIBOR USD + 2.65%) 2.89% ^ 04/15/2028 2,452,412 2,000,000 Thacher Park Ltd., Series 2014-1A-D1R (3 Month LIBOR USD + 3.40%) 3.62% ^ 10/20/2026 2,005,144 2,000,000 Venture Ltd., Series 2013-14A-BRR (3 Month LIBOR USD + 1.55%, 1.55% Floor) 1.77% ^ 08/28/2029 1,987,467 2,000,000 Venture Ltd., Series 2014-18A-BR (3 Month LIBOR USD + 1.65%) 1.89% ^ 10/15/2029 1,994,658 3,000,000 Venture Ltd., Series 2018-33A-B (3 Month LIBOR USD + 1.85%, 1.85% Floor) 2.09% ^ 07/15/2031 3,007,492 1,000,000 VERDE, Series 2019-1A-D (3 Month LIBOR USD + 3.80%, 3.80% Floor) 4.04% ^ 04/15/2032 1,002,077 3,000,000 Voya Ltd., Series 2014-1A-CR2 (3 Month LIBOR USD + 2.80%) 3.02% ^ 04/18/2031 2,885,695 2,000,000 Voya Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.95%) 3.16% ^ 07/23/2027 1,931,686 3,000,000 Voya Ltd., Series 2017-3A-C (3 Month LIBOR USD + 3.55%) 3.77% ^ 07/20/2030 2,953,786 4,000,000 Voya Ltd., Series 2018-2A-D (3 Month LIBOR USD + 2.75%, 2.75% Floor) 2.99% ^ 07/15/2031 3,849,932 2,250,000 Wind River Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 3.00%, 3.00% Floor) 3.22% ^ 07/18/2031 2,066,103 1,000,000 Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) 5.99% ^ 01/15/2031 834,605 3,000,000 Wind River Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 2.85%) 3.09% ^ 07/15/2028 2,868,681 6,500,000 Wind River Ltd., Series 2017-1A-C (3 Month LIBOR USD + 2.30%) 2.52% ^ 04/18/2029 6,463,014 3,000,000 Wind River Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.75%) 3.97% ^ 04/18/2029 2,965,787 3,000,000 Wind River Ltd., Series 2017-3A-D (3 Month LIBOR USD + 3.15%) 3.39% ^ 10/15/2030 2,942,907 4,000,000 Wind River Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%) 3.14% ^ 07/15/2030 3,792,719 2,500,000 Wind River Ltd., Series 2018-2A-D (3 Month LIBOR USD + 3.00%) 3.24% ^ 07/15/2030 2,411,612 3,000,000 Wind River Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.95%, 2.95% Floor) 3.17% ^ 01/20/2031 2,902,156 10,000,000 Wind River Ltd., Series 2019-3A-B (3 Month LIBOR USD + 2.10%) 2.34% ^ 04/15/2031 10,004,605

Total Collateralized Loan Obligations (Cost $346,244,108) 340,370,490

Foreign Corporate Bonds - 8.4% 1,500,000 Adani International Container Terminal Pvt Ltd. 3.00% ^ 02/16/2031 1,507,451 2,800,000 Adani Ports & Special Economic Zone Ltd. 3.95% 01/19/2022 2,865,701 16,915,000 AerCap Global Aviation Trust 3.50% 01/15/2025 17,966,495 6,200,000 AES Andres B.V. 7.95% ^ 05/11/2026 6,424,750 5,850,000 AES Dominicana 7.95% 05/11/2026 6,062,063 1,700,000 AES Gener S.A. 5.00% 07/14/2025 1,802,000 2,600,000 AES Gener S.A. (5 Year CMT Rate + 4.92%) 6.35% ^ 10/07/2079 2,863,250 3,700,000 AES Gener S.A. (5 Year CMT Rate + 4.92%) 6.35% 10/07/2079 4,074,625 9,300,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% ^ 03/26/2079 10,346,250 1,903,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% 03/26/2079 2,117,088 4,100,000 AES Panama Generation Holdings SRL 4.38% ^ 05/31/2030 4,440,915 800,000 Altice Financing S.A. 5.00% ^ 01/15/2028 820,760 2,275,000 Altice France S.A. 7.38% ^ 05/01/2026 2,397,281 1,305,000 Altice France S.A. 6.00% ^ 02/15/2028 1,324,033 12,070,000 Anglo American Capital PLC 4.50% ^ 03/15/2028 14,184,467 4,060,000 Anheuser-Busch InBev Worldwide, Inc. 4.90% 02/01/2046 5,300,396 8,205,000 Anheuser-Busch InBev Worldwide, Inc. 4.60% 04/15/2048 10,383,070 540,000 ARD Finance S.A. (PIK 7.25%) 6.50% ^ 06/30/2027 577,125 1,775,000 Avation Capital S.A. 6.50% ^ 05/15/2021 1,302,184 12,170,000 Avolon Holdings Funding Ltd. 3.25% ^ 02/15/2027 12,446,081 2,300,000 Baidu, Inc. 1.72% 04/09/2026 2,336,533 200,000 Baidu, Inc. 3.43% 04/07/2030 221,716 6,490,000 Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%) 7.75% ^ 02/15/2029 7,075,787 2,750,000 Banco Continental SAECA 2.75% ^ 12/10/2025 2,743,125 1,677,000 Banco de Bogota S.A. 5.38% 02/19/2023 1,794,390 1,800,000 Banco de Credito del Peru (3 Month LIBOR USD + 7.04%) 6.13% 04/24/2027 1,910,268 1,500,000 Banco de Credito del Peru (5 Year CMT Rate + 3.00%) 3.13% ^ 07/01/2030 1,537,515 3,450,000 Banco de Credito del Peru (5 Year CMT Rate + 3.00%) 3.13% 07/01/2030 3,536,285 4,100,000 Banco de Reservas de la Republica Dominicana 7.00% 02/01/2023 4,294,750 1,000,000 Banco de Reservas de la Republica Dominicana 7.00% ^ 02/01/2023 1,047,500 2,660,000 Banco Internacional del Peru S.A.A. (3 Month LIBOR USD + 5.76%) 6.63% 03/19/2029 2,968,720 3,050,000 Banco Internacional del Peru SAA Interbank (1 Year CMT Rate + 3.71%) 4.00% 07/08/2030 3,164,375 500,000 Banco Latinoamericano de Comercio Exterior S.A. 2.38% ^ 09/14/2025 512,505 2,247,000 Banco Macro S.A. (5 Year Swap Rate USD + 5.46%) 6.75% ^ 11/04/2026 1,949,295 7,603,000 Banco Macro S.A. (5 Year Swap Rate USD + 5.46%) 6.75% 11/04/2026 6,595,679 10,323,000 Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.35%) 7.63% † 01/10/2028 11,729,612 2,521,000 Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.47%) 7.50% ^† 06/27/2029 2,851,881 1,000,000 Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.47%) 7.50% † 06/27/2029 1,131,250 643,000 Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%) 6.88% † 07/06/2022 680,776 13,400,000 Banco Santander (3 Month LIBOR USD + 1.09%) 1.30% 02/23/2023 13,548,300 1,600,000 Bancolombia S.A. 3.00% 01/29/2025 1,665,520 3,500,000 Bancolombia S.A. (5 Year CMT Rate + 2.94%) 4.63% 12/18/2029 3,683,785 600,000 Bangkok Bank PCL (5 Year CMT Rate + 4.73%) 5.00% † 09/23/2025 628,830 1,500,000 Banistmo S.A. 3.65% 09/19/2022 1,542,390 2,500,000 Banistmo S.A. 3.65% ^ 09/19/2022 2,570,650 4,350,000 Bank of Montreal (5 Year Swap Rate USD + 1.43%) 3.80% 12/15/2032 4,932,209 13,220,000 Bank of New Zealand 3.50% ^ 02/20/2024 14,376,035 580,000 Bank of Nova Scotia 1.63% 05/01/2023 596,857 9,675,000 Bank of Nova Scotia 3.40% 02/11/2024 10,533,137 14,360,000 Barclays PLC (3 Month LIBOR USD + 1.38%) 1.60% 05/16/2024 14,556,951 20,150,000 BAT Capital Corporation 3.46% 09/06/2029 22,008,949 1,100,000 BBVA Banco Continental S.A. 5.00% 08/26/2022 1,174,410 350,000 BBVA Banco Continental S.A. (5 Year CMT Rate + 2.75%) 5.25% 09/22/2029 385,371 9,208,000 BBVA Bancomer S.A. (5 Year CMT Rate + 2.65%) 5.13% 01/18/2033 9,935,432 300,000 BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%) 5.35% 11/12/2029 320,250 500,000 BBVA Bancomer S.A. (5 Year CMT Rate + 4.31%) 5.88% ^ 09/13/2034 570,845 1,000,000 BBVA Colombia S.A. 4.88% 04/21/2025 1,085,260 800,000 BDO Unibank, Inc. 2.63% 10/24/2021 812,477 16,900,000 BDO Unibank, Inc. 2.95% 03/06/2023 17,584,562 13,455,000 BNP Paribas S.A. (Secured Overnight Financing Rate + 15.07%) 3.05% ^ 01/13/2031 14,692,197 13,405,000 BOC Aviation Ltd. (3 Month LIBOR USD + 1.13%) 1.38% ^ 09/26/2023 13,314,577 1,010,000 Bombardier, Inc. 6.00% ^ 10/15/2022 993,992 1,120,000 Bombardier, Inc. 7.88% ^ 04/15/2027 1,031,486 7,200,000 Braskem Finance Company (5 Year CMT Rate + 8.22%) 8.50% ^ 01/23/2081 8,024,472 6,000,000 Braskem Idesa S.A.P.I. 7.45% ^ 11/15/2029 5,640,000 1,000,000 C&W Senior Financing DAC 6.88% 09/15/2027 1,081,370 8,100,000 Canacol Energy Ltd. 7.25% 05/03/2025 8,692,394 700,000 Canacol Energy Ltd. 7.25% ^ 05/03/2025 751,195 5,840,000 CCL Industries, Inc. 3.05% ^ 06/01/2030 6,378,163 1,110,000 Cenovus Energy, Inc. 5.38% 07/15/2025 1,252,203 200,000 CIMB Bank BHD 3.26% 03/15/2022 205,392 1,185,000 CIMB Bank BHD (3 Month LIBOR USD + 0.78%) 1.01% 10/09/2024 1,183,559 3,500,000 CK Hutchison International Ltd. 2.50% ^ 05/08/2030 3,696,483 1,200,000 CNPC General Capital Ltd. 1.35% 06/23/2025 1,199,719 3,550,000 CNPC Global Capital Ltd. 1.13% 06/23/2023 3,555,985 937,000 Cometa Energia S.A. de C.V. 6.38% 04/24/2035 1,098,281 11,855,000 Commonwealth Bank of Australia 4.32% ^ 01/10/2048 15,139,006 6,610,000 Cosan Overseas Ltd. 8.25% 11/29/2049 6,816,629 13,395,000 Credit Agricole S.A. 3.75% ^ 04/24/2023 14,388,001 15,120,000 Credit Suisse Group AG (3 Month LIBOR USD + 1.24%) 1.46% ^ 06/12/2024 15,340,358 7,900,000 Credito Real S.A.B. de C.V. 9.50% ^ 02/07/2026 8,591,329 6,550,000 Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%) 9.13% † 11/29/2022 6,337,191 6,793,000 CSN Islands Corporation 7.00% † 03/23/2021 6,748,336 500,000 CSN Resources S.A. 7.63% 04/17/2026 538,125 5,300,000 CSN Resources S.A. 7.63% ^ 04/17/2026 5,704,125 3,000,000 DBS Group Holdings Ltd. (3 Month LIBOR USD + 0.62%) 0.83% 07/25/2022 3,017,154 2,000,000 DBS Group Holdings Ltd. (5 Year Mid Swap Rate USD + 1.59%) 4.52% 12/11/2028 2,190,408 11,950,000 DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%) 3.60% † 09/07/2021 12,087,007 785,000 Delek & Avner Tamar Bond Ltd. 5.08% ^ 12/30/2023 816,894 1,760,000 Delek & Avner Tamar Bond Ltd. 5.41% ^ 12/30/2025 1,851,126 1,716,891 Digicel Group Ltd. (PIK 7.00%) 7.00% ^† 01/19/2021 480,729 1,151,452 Digicel Group Ltd. (PIK 8.00%) 8.00% ^ 04/01/2025 604,512 5,400,000 Docuformas SAPI de C.V. 10.25% ^ 07/24/2024 4,934,304 2,060,000 eG Global Finance PLC 8.50% ^ 10/30/2025 2,186,690 1,844,000 Embotelladora Andina S.A. 5.00% 10/01/2023 2,044,832 947,940 Empresa Electrica Cochrane SpA 5.50% 05/14/2027 1,001,854 8,500,000 Empresa Electrica Guacolda S.A. 4.56% 04/30/2025 7,671,674 4,995,604 ENA Norte Trust 4.95% 04/25/2023 5,145,472 1,682,000 Export Import Bank of Thailand (3 Month LIBOR USD + 0.90%) 1.12% 11/20/2023 1,687,458 2,100,000 Fideicomiso P.A. Pacifico Tres 8.25% 01/15/2035 2,547,300 1,000,000 Freeport-McMoRan, Inc. 4.63% 08/01/2030 1,099,275 1,761,000 Garda World Security Corporation 8.75% ^ 05/15/2025 1,836,926 2,050,000 Garda World Security Corporation 4.63% ^ 02/15/2027 2,075,625 12,375,000 Geopark Ltd. 6.50% 09/21/2024 12,870,000 860,000 GFL Environmental, Inc. 3.75% ^ 08/01/2025 878,813 1,830,000 GFL Environmental, Inc. 4.00% ^ 08/01/2028 1,847,156 1,275,000 GFL Environmental, Inc. 3.50% ^ 09/01/2028 1,302,362 4,250,000 Gilex Holding Sarl 8.50% 05/02/2023 4,438,636 1,600,000 Gilex Holding Sarl 8.50% ^ 05/02/2023 1,671,016 800,000 Global Bank Corporation 4.50% ^ 10/20/2021 818,200 2,600,000 Global Bank Corporation 4.50% 10/20/2021 2,659,150 3,715,000 Global Bank Corporation (3 Month LIBOR USD + 3.30%) 5.25% ^ 04/16/2029 4,065,603 3,800,000 Globo Comunicacao e Participacoes S.A. 4.88% ^ 01/22/2030 4,066,038 3,600,000 Gohl Capital Ltd. 4.25% 01/24/2027 3,831,711 300,000 Gran Tierra Energy International Holdings Ltd. 6.25% ^ 02/15/2025 204,753 10,498,000 Gran Tierra Energy International Holdings Ltd. 6.25% 02/15/2025 7,164,990 3,500,000 Gran Tierra Energy, Inc. 7.75% ^ 05/23/2027 2,415,035 2,700,000 Grupo Aval Ltd. 4.75% 09/26/2022 2,831,922 1,400,000 Grupo Aval Ltd. 4.38% ^ 02/04/2030 1,493,100 6,394,052 Grupo Idesa S.A. de C.V. (PIK 10.38%) 10.13% ^ 05/22/2026 3,165,056 600,000 Guatemala Energuate Trust 5.88% ^ 05/03/2027 636,150 17,430,000 HSBC Holdings PLC (3 Month LIBOR USD + 1.38%) 1.60% 09/12/2026 17,725,722 3,250,000 Hunt Oil Company of Peru LLC Sucursal Del Peru 6.38% 06/01/2028 3,609,125 1,000,000 Hutchison Whampoa International Ltd. 3.25% 11/08/2022 1,044,397 6,600,000 Imperial Brands Finance PLC 3.50% ^ 07/26/2026 7,314,396 3,108,000 Indian Oil Corporation Ltd. 5.63% 08/02/2021 3,192,452 3,157,000 Indian Oil Corporation Ltd. 5.75% 08/01/2023 3,485,199 3,500,000 Industrial Senior Trust 5.50% 11/01/2022 3,709,038 710,000 Intelligent Packaging Ltd. 6.00% ^ 09/15/2028 730,856 1,585,000 Intelsat Jackson Holdings S.A. 5.50% W 08/01/2023 1,077,800 1,260,000 Intelsat Jackson Holdings S.A. 8.50% ^W 10/15/2024 903,924 2,914,736 Interoceanica Finance Ltd. 0.00% 11/30/2025 2,789,038 1,192,690 Invepar Holdings 0.00% WÞ 12/30/2028 51,002 2,000,000 Inversiones CMPC S.A. 4.50% 04/25/2022 2,087,030 1,200,000 Israel Electric Corporation Ltd. 5.00% ^ 11/12/2024 1,358,646 1,800,000 Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.22%) 4.63% ^† 02/27/2025 1,768,518 500,000 JD.com, Inc. 3.13% 04/29/2021 503,469 6,700,000 JD.com, Inc. 3.38% 01/14/2030 7,290,758 1,400,000 Korea East-West Power Company Ltd. 1.75% ^ 05/06/2025 1,463,797 3,000,000 Korea Electric Power Corporation 1.13% ^ 06/15/2025 3,052,251 1,640,000 Kronos Acquisition Holdings, Inc. 9.00% ^ 08/15/2023 1,680,590 460,000 Kronos Acquisition Holdings, Inc. 5.00% ^ 12/31/2026 480,700 365,000 Kronos Acquisition Holdings, Inc. 7.00% ^ 12/31/2027 382,847 3,049,000 Latam Finance Ltd. 6.88% W 04/11/2024 1,562,613 8,000,000 Latam Finance Ltd. 7.00% ^W 03/01/2026 4,054,000 2,104,085 Lima Metro Finance Ltd. 5.88% 07/05/2034 2,545,543 12,925,000 Lloyds Banking Group PLC (3 Month LIBOR USD + 1.21%) 3.57% 11/07/2028 14,598,443 6,760,800 LLPL Capital Pte Ltd. 6.88% ^ 02/04/2039 8,000,021 5,475,000 Macquarie Group Ltd. (3 Month LIBOR USD + 1.02%) 3.19% ^ 11/28/2023 5,729,184 7,884,000 Macquarie Group Ltd. (3 Month LIBOR USD + 1.33%) 4.15% ^ 03/27/2024 8,476,889 13,300,000 Malayan Banking BHD (5 Year Swap Rate USD + 2.54%) 3.91% 10/29/2026 13,577,372 1,340,000 Mattamy Group Corporation 4.63% ^ 03/01/2030 1,422,705 2,400,000 Medco Bell Pte Ltd. 6.38% ^ 01/30/2027 2,461,200 1,450,000 MEG Energy Corporation 7.13% ^ 02/01/2027 1,500,750 7,200,000 MEGlobal Canada ULC 5.00% ^ 05/18/2025 8,119,224 6,100,000 Minejesa Capital B.V. 4.63% 08/10/2030 6,588,366 5,400,000 Minejesa Capital B.V. 5.63% 08/10/2037 5,949,693 14,475,000 Mitsubishi UFJ Financial Group, Inc. 1.41% 07/17/2025 14,883,855 2,210,000 Multibank, Inc. 4.38% 11/09/2022 2,286,300 2,000,000 Network i2i Ltd. (5 Year CMT Rate + 4.28%) 5.65% ^† 01/15/2025 2,131,000 900,000 NongHyup Bank 1.25% ^ 07/20/2025 917,703 10,969,000 Nutrien Ltd. 4.20% 04/01/2029 13,118,902 6,365,000 NXP Funding LLC 3.88% ^ 06/18/2026 7,297,229 818,000 ONGC Videsh Ltd. 2.88% 01/27/2022 829,614 200,000 ONGC Videsh Ltd. 3.75% 05/07/2023 209,565 200,000 ONGC Videsh Ltd. 4.63% 07/15/2024 219,136 8,700,000 ONGC Videsh Ltd. 3.75% 07/27/2026 9,444,174 7,100,000 Ooredoo International Finance Ltd. 3.25% 02/21/2023 7,437,250 500,000 Ooredoo International Finance Ltd. 3.75% 06/22/2026 560,235 4,800,000 Operadora de Servicios Mega S.A. de C.V. 8.25% ^ 02/11/2025 5,013,000 500,000 Oversea-Chinese Banking Corporation Ltd. 4.25% 06/19/2024 548,399 5,100,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% ^ 09/10/2030 5,184,841 7,900,000 Pampa Energia S.A. 7.50% 01/24/2027 7,026,063 150,000 Pampa Energia S.A. 9.13% 04/15/2029 132,750 3,778,369 Panama Metro Line SP 0.00% 12/05/2022 3,688,633 2,688,513 Panama Metro Line SP 0.00% ^ 12/05/2022 2,624,661 1,845,000 Parkland Fuel Corporation 5.88% ^ 07/15/2027 1,998,587 1,500,000 Pertamina Persero PT 4.30% 05/20/2023 1,614,750 7,600,000 Peru LNG S.R.L. 5.38% 03/22/2030 6,790,600 2,100,000 POSCO 2.38% 11/12/2022 2,161,071 5,800,000 POSCO 2.38% 01/17/2023 5,983,282 1,900,000 POSCO 2.75% 07/15/2024 2,011,227 4,100,000 PSA Treasury Pte Ltd. 2.13% 09/05/2029 4,317,902 800,000 PTTEP Treasury Center Company Ltd. 2.59% ^ 06/10/2027 836,893 12,500,000 Reliance Industries Ltd. 5.40% 02/14/2022 13,094,401 600,000 Rolls-Royce PLC 5.75% ^ 10/15/2027 665,250 4,000,000 SACI Falabella 3.75% 04/30/2023 4,222,250 600,000 Saudi Arabian Oil Company 1.63% ^ 11/24/2025 615,124 3,000,000 Sinopec Group Overseas Development Ltd. 2.70% ^ 05/13/2030 3,117,746 181,400 Star Energy Geothermal Wayang Windu Ltd. 6.75% ^ 04/24/2033 205,696 6,076,900 Star Energy Geothermal Wayang Windu Ltd. 6.75% 04/24/2033 6,890,809 530,000 Starfruit Finco B.V. 8.00% ^ 10/01/2026 564,119 2,165,000 Stars Group Holdings B.V. 7.00% ^ 07/15/2026 2,282,722 1,200,000 State Grid Overseas Investment Ltd. 1.00% 08/05/2025 1,191,786 1,024,000 State Grid Overseas Investment Ltd. 3.75% 05/02/2023 1,092,456 2,000,000 State Grid Overseas Investment Ltd. 3.13% 05/22/2023 2,104,101 9,829,971 Stoneway Capital Corporation 10.00% W 03/01/2027 4,030,288 22,810,000 Sumitomo Mitsui Financial Group, Inc. (3 Month LIBOR USD + 0.74%) 0.96% 01/17/2023 22,973,420 2,805,000 Superior Plus LP 7.00% ^ 07/15/2026 3,004,856 350,000 Sydney Airport Finance Company Pty Ltd. 3.63% ^ 04/28/2026 384,606 550,000 Syngenta Finance N.V. 4.38% 03/28/2042 549,597 500,000 Syngenta Finance N.V. 5.68% ^ 04/24/2048 520,692 7,000,000 Syngenta Finance N.V. 5.68% 04/24/2048 7,289,689 1,200,000 Tecnoglass, Inc. 8.20% 01/31/2022 1,255,230 4,000,000 Telefonica Chile S.A. 3.88% 10/12/2022 4,197,540 1,230,000 Telesat LLC 4.88% ^ 06/01/2027 1,276,894 934,000 Telesat LLC 6.50% ^ 10/15/2027 977,338 8,800,000 Temasek Financial Ltd. 1.00% ^ 10/06/2030 8,608,427 9,200,000 Tencent Holdings Ltd. 2.39% ^ 06/03/2030 9,443,340 1,230,000 Tervita Corporation 11.00% ^ 12/01/2025 1,327,551 500,000 Titan Acquisition Ltd. 7.75% ^ 04/15/2026 518,750 5,000,000 TransCanada PipeLines Ltd. 4.25% 05/15/2028 5,906,972 2,000,000 Transelec S.A. 4.63% 07/26/2023 2,168,770 500,000 Transelec S.A. 3.88% 01/12/2029 565,535 5,500,000 UEP Penonome II SA 6.50% ^ 10/01/2038 5,743,485 4,500,000 Unifin Financiera S.A.B. de C.V. 7.38% 02/12/2026 4,320,000 13,900,000 Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) 8.88% † 01/29/2025 10,668,389 1,418,000 Union Bank of the Philippines 3.37% 11/29/2022 1,482,449 8,883,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.79%) 3.88% † 10/19/2023 9,249,424 8,000,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 2.24%) 3.50% 09/16/2026 8,137,160 5,600,000 Vedanta Resources Finance PLC 9.25% ^ 04/23/2026 4,256,000 2,500,000 Vedanta Resources Ltd. 7.13% 05/31/2023 2,057,500 15,000,000 Vedanta Resources Ltd. 6.13% 08/09/2024 10,837,500 2,300,000 Vertical Newco, Inc. 5.25% ^ 07/15/2027 2,442,313 685,000 Virgin Media Finance PLC 5.00% ^ 07/15/2030 711,544 7,430,000 Volkswagen Group of America Finance LLC 4.25% ^ 11/13/2023 8,178,855 1,600,000 Woori Bank (5 Year CMT Rate + 2.66%) 4.25% † 10/04/2024 1,674,630

Total Foreign Corporate Bonds (Cost $965,735,703) 992,194,050

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.1% 1,700,000 Abu Dhabi Government International Bond 0.75% ^ 09/02/2023 1,705,355 2,200,000 Abu Dhabi Government International Bond 2.50% ^ 04/16/2025 2,354,198 3,100,000 Abu Dhabi Government International Bond 3.13% ^ 04/16/2030 3,506,875 11,200,000 Brazilian Government International Bond 2.88% 06/06/2025 11,676,112 4,100,000 Dominican Republic International Bond 4.88% ^ 09/23/2032 4,545,875 2,000,000 Indonesia Government International Bond 3.38% 04/15/2023 2,125,016 7,500,000 Malaysia Sovereign Sukuk BHD 3.04% 04/22/2025 8,255,863 500,000 Malaysia Sukuk Global BHD 3.18% 04/27/2026 559,474 7,121,000 Mexico Government International Bond 4.15% 03/28/2027 8,229,206 14,415,000 Mexico Government International Bond 3.75% 01/11/2028 16,227,614 200,000 Perusahaan Penerbit 3.40% 03/29/2022 207,131 720,000 Perusahaan Penerbit 3.75% 03/01/2023 768,496 2,600,000 Perusahaan Penerbit 4.15% 03/29/2027 2,985,242 3,050,000 Peruvian Government International Bond 2.39% 01/23/2026 3,258,955 10,250,000 Peruvian Government International Bond 2.78% 01/23/2031 11,272,540 3,800,000 Philippine Government International Bond 2.46% 05/05/2030 4,108,903 4,950,000 Philippine Government International Bond 1.65% 06/10/2031 5,024,260 3,100,000 Philippine Government International Bond 2.95% 05/05/2045 3,280,138 3,700,000 Qatar Government International Bond 3.88% 04/23/2023 3,981,015 8,100,000 Qatar Government International Bond 3.38% 03/14/2024 8,784,450 8,500,000 Saudi Government International Bond 2.38% 10/26/2021 8,636,697 4,700,000 Saudi Government International Bond 2.88% 03/04/2023 4,927,292 8,100,000 Saudi Government International Bond 2.90% ^ 10/22/2025 8,741,722

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $117,076,966) 125,162,429

Municipal Bonds - 0.1% 3,290,000 Missouri Highway & Transportation Commission 5.06% 05/01/2024 3,746,652 4,430,000 State of California 7.55% 04/01/2039 7,787,630

Total Municipal Bonds (Cost $9,854,297) 11,534,282

Non-Agency Commercial Mortgage Backed Obligations - 7.9% 2,000,000 Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1-C 3.60% #^ 05/15/2053 2,170,688 12,071,000 Atrium Hotel Portfolio Trust, Series 2018-ATRM-D (1 Month LIBOR USD + 2.30%, 2.30% Floor) 2.46% ^ 06/15/2035 11,026,091 2,638,666 BAMLL Commercial Mortgage Securities Trust, Series 2016-ISQ-C 3.61% #^ 08/14/2034 2,739,661 1,790,000 Banc of America Commercial Mortgage Trust, Series 2015-UBS7-B 4.36% # 09/15/2048 1,842,815 1,045,000 Bancorp Commercial Mortgage Trust, Series 2019-CRE5-B (1 Month LIBOR USD + 1.50%, 1.50% Floor) 1.66% ^ 03/15/2036 1,033,720 4,259,000 Bancorp Commercial Mortgage Trust, Series 2019-CRE5-D (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.51% ^ 03/15/2036 4,059,372 4,968,584 BANK, Series 2017-BNK8-XA 0.74% #I/O 11/15/2050 208,979 1,821,000 BANK, Series 2018-BN10-B 4.08% # 02/15/2061 2,075,717 1,857,000 BANK, Series 2018-BN10-C 4.16% # 02/15/2061 1,938,193 405,000 BANK, Series 2018-BN13-B 4.56% # 08/15/2061 475,742 1,005,000 BANK, Series 2020-BN28-AS 2.14% 03/15/2063 1,025,789 5,927,000 BANK, Series 2020-BN28-B 2.34% 03/15/2063 6,042,032 2,906,000 BANK, Series 2020-BN28-C 3.15% # 03/15/2063 3,022,803 1,508,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.36% ^ 08/15/2036 1,476,215 1,719,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D (1 Month LIBOR USD + 1.70%, 1.70% Floor) 1.86% ^ 08/15/2036 1,649,998 1,355,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-E (1 Month LIBOR USD + 2.50%, 2.50% Floor) 2.66% ^ 08/15/2036 1,288,357 3,451,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F (1 Month LIBOR USD + 3.50%, 3.50% Floor) 3.66% ^ 08/15/2036 3,162,246 13,951,000 Barclays Commercial Mortgage Trust, Series 2019-C3-B 4.10% 05/15/2052 15,945,676 63,043,733 BBCMS Mortgage Trust, Series 2020-C7-XA 1.63% #I/O 04/15/2053 6,965,702 5,670,000 BBCMS Mortgage Trust, Series 2020-C8-C 3.36% # 10/15/2053 5,876,081 3,318,000 Benchmark Mortgage Trust, Series 2019-B10-C 3.75% 03/15/2062 3,433,704 3,983,000 Benchmark Mortgage Trust, Series 2020-B18-AGNF 4.14% ^ 07/15/2053 4,028,399 11,563,000 Benchmark Mortgage Trust, Series 2020-B18-C 3.65% # 07/15/2053 12,249,892 4,549,000 Benchmark Mortgage Trust, Series 2020-B19-AS 2.15% 09/15/2053 4,719,456 3,193,000 Benchmark Mortgage Trust, Series 2020-B19-B 2.35% 09/15/2053 3,284,710 1,091,000 Benchmark Mortgage Trust, Series 2020-B19-C 3.21% 09/15/2053 1,137,345 14,713,000 BFLD, Series 2019-DPLO-E (1 Month LIBOR USD + 2.24%, 2.24% Floor) 2.40% ^ 10/15/2034 13,879,370 10,076,000 BHMS Trust, Series 2018-ATLS-C (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 07/15/2035 9,520,946 3,283,000 BX Commercial Mortgage Trust, Series 2018-BIOA-D (1 Month LIBOR USD + 1.32%, 1.35% Floor) 1.48% ^ 03/15/2037 3,291,330 8,207,000 BX Commercial Mortgage Trust, Series 2018-BIOA-E (1 Month LIBOR USD + 1.95%, 1.98% Floor) 2.11% ^ 03/15/2037 8,239,643 2,187,893 BX Trust, Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%, 2.05% Floor) 2.21% ^ 07/15/2034 2,172,822 5,361,800 BX Trust, Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 07/15/2034 5,317,233 12,349,000 BX Trust, Series 2019-OC11-E 4.08% #^ 12/09/2041 12,310,385 3,275,000 CD Mortgage Trust, Series 2017-CD4-C 4.35% # 05/10/2050 3,547,474 71,506,530 CFCRE Commercial Mortgage Trust, Series 2016-C3-XA 1.00% #I/O 01/10/2048 3,091,692 3,267,000 CFCRE Commercial Mortgage Trust, Series 2017-C8-B 4.20% # 06/15/2050 3,628,200 3,053,000 CHT Mortgage Trust, Series 2017-CSMO-B (1 Month LIBOR USD + 1.40%, 1.40% Floor) 1.56% ^ 11/15/2036 3,008,321 5,198,000 CHT Mortgage Trust, Series 2017-CSMO-E (1 Month LIBOR USD + 3.00%, 3.00% Floor) 3.16% ^ 11/15/2036 5,003,092 1,628,000 CHT Mortgage Trust, Series 2017-CSMO-F (1 Month LIBOR USD + 3.74%, 3.74% Floor) 3.90% ^ 11/15/2036 1,572,389 6,844,010 Citigroup Commercial Mortgage Trust, Series 2012-GC8-XA 1.75% #^I/O 09/10/2045 151,068 3,000,000 Citigroup Commercial Mortgage Trust, Series 2014-GC25-C 4.52% # 10/10/2047 3,234,553 1,898,500 Citigroup Commercial Mortgage Trust, Series 2015-GC27-D 4.42% #^ 02/10/2048 1,699,535 3,750,803 Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA 1.34% #I/O 02/10/2048 168,781 4,470,000 Citigroup Commercial Mortgage Trust, Series 2016-GC36-D 2.85% ^ 02/10/2049 3,216,405 41,444,504 Citigroup Commercial Mortgage Trust, Series 2016-P3-XA 1.70% #I/O 04/15/2049 2,699,712 43,704,347 Citigroup Commercial Mortgage Trust, Series 2016-P4-XA 1.96% #I/O 07/10/2049 3,357,320 81,145,560 Citigroup Commercial Mortgage Trust, Series 2016-P5-XA 1.50% #I/O 10/10/2049 4,765,622 11,770,000 Citigroup Commercial Mortgage Trust, Series 2017-C4-B 4.10% # 10/12/2050 12,961,776 321,000 Citigroup Commercial Mortgage Trust, Series 2018-B2-B 4.28% # 03/10/2051 364,223 1,977,000 Citigroup Commercial Mortgage Trust, Series 2018-C5-C 4.72% # 06/10/2051 2,195,844 9,344,000 Citigroup Commercial Mortgage Trust, Series 2019-GC41-B 3.20% 08/10/2056 10,087,482 8,478,000 Citigroup Commercial Mortgage Trust, Series 2020-555-F 3.62% #^ 12/10/2041 7,307,264 7,003,000 Citigroup Commercial Mortgage Trust, Series 2020-555-G 3.62% #^ 12/10/2041 5,316,201 1,815,000 COMM Mortgage Trust, Series 2014-CR16-B 4.58% 04/10/2047 1,971,268 3,325,000 COMM Mortgage Trust, Series 2015-CR25-B 4.54% # 08/10/2048 3,717,528 21,360,910 Commercial Mortgage Pass-Through Certificates, Series 2012-CR3-XA 1.85% #I/O 10/15/2045 502,389 3,175,665 Commercial Mortgage Pass-Through Certificates, Series 2012-LC4-XA 2.10% #^I/O 12/10/2044 39,698 7,335,783 Commercial Mortgage Pass-Through Certificates, Series 2014-CR20-C 4.51% # 11/10/2047 7,782,405 55,290,559 Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XA 0.93% #I/O 10/10/2048 2,013,876 4,310,000 Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-C 4.33% # 07/10/2048 4,320,819 5,579,000 Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-C 4.62% # 10/10/2048 5,743,449 5,997,000 Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C 4.64% # 02/10/2049 6,276,266 56,749,286 Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-XA 0.98% #I/O 02/10/2049 2,248,651 9,383,000 Commercial Mortgage Pass-Through Certificates, Series 2016-GCT-E 3.46% #^ 08/10/2029 9,394,611 2,808,000 Commercial Mortgage Pass-Through Certificates, Series 2016-GCT-F 3.46% #^ 08/10/2029 2,790,626 12,424,000 Commercial Mortgage Pass-Through Certificates, Series 2018-HCLV-C (1 Month LIBOR USD + 1.70%, 1.70% Floor) 1.86% ^ 09/15/2033 11,380,082 8,464,000 Core Mortgage Trust, Series 2019-CORE-E (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 12/15/2031 8,279,297 2,064,000 Core Mortgage Trust, Series 2019-CORE-F (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.51% ^ 12/15/2031 2,006,683 5,597,000 CSAIL Commercial Mortgage Trust, Series 2015-C4-C 4.56% # 11/15/2048 5,776,091 3,461,000 CSAIL Commercial Mortgage Trust, Series 2016-C6-D 4.95% #^ 01/15/2049 3,277,086 41,300,890 CSAIL Commercial Mortgage Trust, Series 2016-C6-XA 1.92% #I/O 01/15/2049 3,096,642 11,488,000 CSAIL Commercial Mortgage Trust, Series 2018-C14-C 4.89% # 11/15/2051 12,779,336 400,000 CSAIL Commercial Mortgage Trust, Series 2018-CX12-B 4.61% # 08/15/2051 451,521 3,800,000 CSAIL Commercial Mortgage Trust, Series 2018-CX12-C 4.76% # 08/15/2051 3,891,056 9,269,000 CSAIL Commercial Mortgage Trust, Series 2019-C16-AS 3.61% 06/15/2052 10,388,760 9,269,000 CSAIL Commercial Mortgage Trust, Series 2019-C16-B 3.88% 06/15/2052 10,023,315 6,238,000 CSAIL Commercial Mortgage Trust, Series 2020-C19-C 3.61% # 03/15/2053 6,624,352 127,088,283 CSAIL Commercial Mortgage Trust, Series 2020-C19-XA 1.12% #I/O 03/15/2053 10,477,222 798,000 CSMC Trust, Series 2017-CALI-D 3.78% #^ 11/10/2032 828,886 4,944,000 CSMC Trust, Series 2017-CHOP-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 07/15/2032 4,415,340 4,359,000 CSMC Trust, Series 2017-CHOP-E (1 Month LIBOR USD + 3.30%, 3.30% Floor) 3.46% ^ 07/15/2032 3,549,411 6,269,000 CSMC Trust, Series 2020-NET-C 3.53% ^ 08/15/2037 6,570,403 4,503,000 DBGS Mortgage Trust, Series 2018-5BP-D (1 Month LIBOR USD + 1.35%, 1.35% Floor) 1.51% ^ 06/15/2033 4,419,602 186,000 DBGS Mortgage Trust, Series 2018-5BP-F (1 Month LIBOR USD + 2.45%, 2.45% Floor) 2.61% ^ 06/15/2033 171,409 2,200,972 DBUBS Mortgage Trust, Series 2011-LC2A-XA 0.96% #^I/O 07/10/2044 563 4,475,000 Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-C 3.35% # 05/10/2049 4,219,448 59,338,123 Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA 1.44% #I/O 05/10/2049 3,332,571 1,500,000 Exantas Capital Corporation, Series 2020-RSO8-D (1 Month LIBOR USD + 2.50%, 2.50% Floor) 2.65% ^ 03/15/2035 1,459,666 8,242,000 Fontainebleau Miami Beach Trust, Series 2019-FBLU-E 3.96% #^ 12/10/2036 8,413,828 6,410,000 Fontainebleau Miami Beach Trust, Series 2019-FBLU-F 3.96% #^ 12/10/2036 6,406,005 7,412,000 Fontainebleau Miami Beach Trust, Series 2019-FBLU-G 3.96% #^ 12/10/2036 7,028,104 1,014,301 FREMF Mortgage Trust, Series 2016-KF22-B (1 Month LIBOR USD + 5.05%, 5.05% Floor) 5.20% ^ 07/25/2023 1,031,492 9,365,000 FREMF Mortgage Trust, Series 2018-KC02-C 0.00% ^P/O 08/25/2025 6,595,453 14,819,000 FREMF Mortgage Trust, Series 2019-K99-D 0.00% ^P/O 10/25/2052 6,976,095 12,000,000 Grace Trust, Series 2020-GRCE-D 2.68% #^ 12/10/2040 12,036,706 4,000,000 Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor) 3.29% ^ 12/15/2036 3,557,462 4,424,000 GS Mortgage Securities Corporation, Series 2018-RIVR-C (1 Month LIBOR USD + 1.25%, 1.25% Floor) 1.41% ^ 07/15/2035 4,131,729 7,055,000 GS Mortgage Securities Corporation, Series 2015-GC32-B 4.41% # 07/10/2048 7,899,315 4,256,000 GS Mortgage Securities Corporation, Series 2019-SOHO-E (1 Month LIBOR USD + 1.87%, 1.88% Floor) 2.03% ^ 06/15/2036 4,008,951 2,606,860 GS Mortgage Securities Trust, Series 2011-GC5-XA 1.32% #^I/O 08/10/2044 5,971 4,513,847 GS Mortgage Securities Trust, Series 2012-GC6-XA 1.92% #^I/O 01/10/2045 39,946 9,506,000 GS Mortgage Securities Trust, Series 2014-GC26-D 4.51% #^ 11/10/2047 7,146,015 95,215,195 GS Mortgage Securities Trust, Series 2015-GS1-XA 0.76% #I/O 11/10/2048 3,086,781 1,825,000 GS Mortgage Securities Trust, Series 2016-GS2-C 4.71% # 05/10/2049 1,963,842 46,618,417 GS Mortgage Securities Trust, Series 2016-GS2-XA 1.75% #I/O 05/10/2049 3,556,719 5,801,000 GS Mortgage Securities Trust, Series 2017-GS6-B 3.87% 05/10/2050 6,460,006 10,779,000 GS Mortgage Securities Trust, Series 2019-GC39-B 3.97% 05/10/2052 11,933,448 4,854,000 GS Mortgage Securities Trust, Series 2016-GS2-B 3.76% # 05/10/2049 5,316,792 9,879,000 GSCG Trust, Series 2019-600C-D 3.76% ^ 09/06/2034 9,770,372 791,000 GSCG Trust, Series 2019-600C-E 3.99% #^ 09/06/2034 775,789 11,087,664 HPLY Trust, Series 2019-HIT-F (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2036 10,062,676 294,116 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2006-LDP8-X 0.29% #I/O 05/15/2045 3 739,248 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2011-C4-XA 1.20% #^I/O 07/15/2046 327 17,517,722 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-C8-XA 1.75% #I/O 10/15/2045 417,241 4,592,512 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA 1.48% #I/O 06/15/2045 34,370 59,171,879 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA 0.94% #I/O 01/15/2049 2,196,454 2,976,800 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-D (1 Month LIBOR USD + 2.10%, 2.30% Floor) 2.30% ^ 06/15/2032 2,885,927 2,837,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2-B 3.46% 08/15/2049 3,004,101 1,000,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-COR4-C 4.94% # 03/10/2052 1,093,215 7,958,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-LOOP-E 3.86% #^ 12/05/2038 7,280,290 43,387,545 JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA 0.81% #I/O 02/15/2047 871,669 3,000,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-C 4.66% # 08/15/2047 2,968,055 2,766,125 JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C 4.47% # 09/15/2047 2,825,863 3,766,500 JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-C 4.45% # 11/15/2047 3,731,021 46,295,006 JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA 0.85% #I/O 11/15/2047 1,264,761 12,131,110 JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D 3.81% #^ 02/15/2048 9,918,597 1,846,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-B 3.99% 10/15/2048 1,971,197 4,987,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-C 4.20% # 05/15/2048 4,913,769 56,212,521 JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA 0.51% #I/O 07/15/2048 1,122,294 44,650,175 JPMBB Commercial Mortgage Securities Trust, Series 2015-C31-XA 0.83% #I/O 08/15/2048 1,466,664 4,138,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C 4.65% # 11/15/2048 3,404,415 6,470,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C 4.61% # 12/15/2048 6,945,676 1,447,000 JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-C 4.74% # 03/15/2049 1,619,241 54,117,701 JPMBB Commercial Mortgage Securities Trust, Series 2016-C2-XA 1.57% #I/O 06/15/2049 3,186,591 1,638,000 JPMCC Commercial Mortgage Securities Trust, Series 2019-COR4-B 4.44% 03/10/2052 1,888,957 7,675,000 JPMDB Commercial Mortgage Securities Trust, Series 2016-C2-AS 3.48% 06/15/2049 8,245,102 9,960,000 JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-C 3.73% # 05/13/2053 10,797,357 457,913 LB-UBS Commercial Mortgage Trust, Series 2006-C7-XCL 0.70% #^I/O 11/15/2038 109 369,300 LB-UBS Commercial Mortgage Trust, Series 2006-C7-XW 0.70% #^I/O 11/15/2038 88 5,425,000 LSTAR Commercial Mortgage Trust, Series 2016-4-C 4.59% #^ 03/10/2049 4,956,579 13,184,000 MBRT, Series 2019-MBR-F (1 Month LIBOR USD + 2.55%, 2.55% Floor) 2.71% ^ 11/15/2036 12,328,002 4,500,000 MKT Mortgage Trust, Series 2020-525M-F 2.94% #^ 02/12/2040 4,153,668 1,844,649 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5-XA 1.41% #^I/O 08/15/2045 28,791 2,500,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17-C 4.48% # 08/15/2047 2,602,025 3,000,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C 4.52% # 10/15/2047 3,103,141 1,508,500 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C 4.00% 12/15/2047 1,583,493 1,406,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-B 4.16% 02/15/2048 1,534,551 3,620,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C 4.46% # 02/15/2048 3,805,033 33,174,568 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-XA 1.28% #I/O 02/15/2048 1,328,087 75,089,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23-XB 0.14% #^I/O 07/15/2050 615,152 2,957,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25-C 4.52% # 10/15/2048 3,223,594 4,674,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C 4.52% # 12/15/2047 4,854,992 6,710,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D 3.24% #^ 12/15/2047 5,684,620 47,638,053 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30-XA 1.40% #I/O 09/15/2049 2,920,113 6,364,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33-B 4.11% 05/15/2050 7,027,761 3,194,000 Morgan Stanley Capital Trust , Series 2018-H3-C 4.85% # 07/15/2051 3,565,744 28,591,470 Morgan Stanley Capital Trust, Series 2016-UB11-XA 1.51% #I/O 08/15/2049 1,737,398 3,022,000 Morgan Stanley Capital Trust, Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%, 2.20% Floor) 2.36% ^ 11/15/2034 2,704,914 4,533,000 Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2034 3,983,709 2,183,000 Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%, 4.35% Floor) 4.51% ^ 11/15/2034 1,815,791 11,179,000 MSCG Trust, Series 2018-SELF-F (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 10/15/2037 10,966,893 2,108,000 Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-C (1 Month LIBOR USD + 2.20%, 2.20% Floor) 2.34% ^ 06/15/2035 1,886,240 52,628,532 SG Commercial Mortgage Securities Trust, Series 2016-C5-XA 1.96% #I/O 10/10/2048 3,679,303 1,374,000 UBS Commercial Mortgage Trust, Series 2013-C5-D 4.10% #^ 03/10/2046 866,048 8,911,000 UBS Commercial Mortgage Trust, Series 2017-C1-B 4.04% 06/15/2050 9,751,708 11,933,000 UBS Commercial Mortgage Trust, Series 2017-C2-B 3.99% # 08/15/2050 12,914,253 2,491,000 UBS Commercial Mortgage Trust, Series 2017-C6-B 4.15% # 12/15/2050 2,740,145 6,958,000 UBS Commercial Mortgage Trust, Series 2017-C7-C 4.58% # 12/15/2050 7,573,598 559,000 UBS Commercial Mortgage Trust, Series 2018-C10-C 5.09% # 05/15/2051 625,530 7,293,000 UBS Commercial Mortgage Trust, Series 2018-C11-C 4.89% # 06/15/2051 7,161,998 2,896,000 UBS Commercial Mortgage Trust, Series 2018-C12-C 4.96% # 08/15/2051 2,894,554 5,698,000 UBS Commercial Mortgage Trust, Series 2018-C8-C 4.70% # 02/15/2051 5,753,708 9,400,723 UBS Commercial Mortgage Trust, Series 2012-C3-XA 2.82% #^I/O 08/10/2049 221,331 3,513,520 UBS Commercial Mortgage Trust, Series 2013-C5-B 3.65% #^ 03/10/2046 3,530,770 401,275 Wachovia Bank Commercial Mortgage Trust, Series 2006-C29-IO 0.27% #I/O 11/15/2048 4 2,031,000 Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-D 3.94% ^ 08/15/2050 1,057,639 8,809,000 Wells Fargo Commercial Mortgage Trust, Series 2015-C28-C 4.09% # 05/15/2048 8,992,264 4,891,000 Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C 4.60% # 11/15/2048 4,930,804 42,048,114 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1-XA 1.10% #I/O 05/15/2048 1,553,695 4,207,000 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3-C 4.50% # 09/15/2057 4,519,689 7,353,000 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-C 4.70% # 12/15/2048 7,956,428 63,331,927 Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA 0.92% #I/O 12/15/2048 2,457,399 4,650,000 Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C 4.73% # 01/15/2059 4,972,854 4,483,000 Wells Fargo Commercial Mortgage Trust, Series 2016-C33-C 3.90% 03/15/2059 4,606,249 7,687,000 Wells Fargo Commercial Mortgage Trust, Series 2016-C35-B 3.44% 07/15/2048 8,091,305 2,518,000 Wells Fargo Commercial Mortgage Trust, Series 2016-C37-C 4.49% # 12/15/2049 2,701,951 2,574,000 Wells Fargo Commercial Mortgage Trust, Series 2016-LC25-B 4.42% # 12/15/2059 2,898,733 7,224,000 Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6-B 3.81% 11/15/2049 7,746,180 78,912,202 Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6-XA 1.61% #I/O 11/15/2049 4,571,755 2,638,000 Wells Fargo Commercial Mortgage Trust, Series 2018-C45-C 4.73% 06/15/2051 2,878,657 7,228,000 Wells Fargo Commercial Mortgage Trust, Series 2018-C46-C 4.98% # 08/15/2051 8,198,440 12,408,000 Wells Fargo Commercial Mortgage Trust, Series 2018-C47-C 4.94% # 09/15/2061 12,708,420 6,546,000 Wells Fargo Commercial Mortgage Trust, Series 2018-C48-C 5.12% # 01/15/2052 7,319,793 2,558,000 Wells Fargo Commercial Mortgage Trust, Series 2019-C49-B 4.55% 03/15/2052 2,935,135 8,421,000 Wells Fargo Commercial Mortgage Trust, Series 2019-C49-C 4.87% # 03/15/2052 9,256,148 21,162,518 Wells Fargo Commercial Mortgage Trust, Series 2019-C49-XA 1.27% #I/O 03/15/2052 1,726,842 10,776,000 Wells Fargo Commercial Mortgage Trust, Series 2019-C50-B 4.19% 05/15/2052 12,056,610 10,776,000 Wells Fargo Commercial Mortgage Trust, Series 2019-C50-C 4.35% 05/15/2052 11,070,284 9,344,000 Wells Fargo Commercial Mortgage Trust, Series 2019-C51-B 3.84% # 06/15/2052 10,292,952 11,727,000 Wells Fargo Commercial Mortgage Trust, Series 2020-C55-B 3.14% 02/15/2053 12,506,009 5,510,000 Wells Fargo Commercial Mortgage Trust, Series 2020-C58-B 2.70% 07/15/2053 5,697,329 3,800,000 Wells Fargo Commercial Mortgage Trust, Series 2020-C58-C 3.16% 07/15/2053 3,822,944 12,453,896 Wells Fargo Commercial Mortgage Trust, Series 2012-C9-XA 1.88% #^I/O 11/15/2045 314,721 68,698,870 Wells Fargo Commercial Mortgage Trust, Series 2014-C21-XA 1.03% #I/O 08/15/2047 1,991,731 48,471,209 Wells Fargo Commercial Mortgage Trust, Series 2014-C22-XA 0.80% #I/O 09/15/2057 1,133,058

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $958,946,278) 926,554,504

Non-Agency Residential Collateralized Mortgage Obligations - 10.2% 8,101,618 Adjustable Rate Mortgage Trust, Series 2007-1-4A1 4.45% # 03/25/2037 6,724,467 31,712 Adjustable Rate Mortgage Trust, Series 2007-3-1A1 4.40% #^ 11/25/2037 34,279 10,870,520 Alternative Loan Trust, Series 2005-49CB-A2 5.50% 11/25/2035 9,864,768 7,818,717 Alternative Loan Trust, Series 2007-8CB-A1 5.50% 05/25/2037 6,348,736 8,342,566 Alternative Loan Trust, Series 2007-OA8-2A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.33% 06/25/2047 6,459,213 3,100,000 AMSR Trust, Series 2019-SFR1-E 3.47% ^ 01/19/2039 3,179,632 3,024,995 Angel Oak Mortgage Trust LLC, Series 2018-3-A1 3.65% #^ 09/25/2048 3,090,755 4,127,884 Angel Oak Mortgage Trust LLC, Series 2018-3-A2 3.75% #^ 09/25/2048 4,153,834 3,927,810 Angel Oak Mortgage Trust LLC, Series 2018-3-A3 3.85% #^ 09/25/2048 3,947,416 355,319 Banc of America Funding Corporation, Series 2005-G-A3 3.01% # 10/20/2035 351,730 264,290 Banc of America Funding Corporation, Series 2006-2-6A2 5.50% 03/25/2036 265,144 142,332 Banc of America Funding Corporation, Series 2006-6-1A2 6.25% 08/25/2036 140,258 1,478,058 Bayview Opportunity Master Fund Trust, Series 2019-SBR1-A1 3.47% ^§ 06/28/2034 1,485,054 254,604 Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A3A 6.50% 10/25/2036 184,969 2,019,320 Chase Mortgage Finance Trust, Series 2007-A2-6A4 3.42% # 07/25/2037 1,921,633 947,742 Chase Mortgage Finance Trust, Series 2007-S3-2A1 5.50% 05/25/2037 207,779 20,000,000 CIM Trust, Series 2016-2RR-B2 5.99% #^Þ 02/25/2056 18,518,404 20,000,000 CIM Trust, Series 2016-3RR-B2 5.98% # ^Þ 02/27/2056 18,543,950 21,621,658 CIM Trust, Series 2017-6-A1 3.02% #^ 06/25/2057 21,681,301 6,953,000 CIM Trust, Series 2020-R2-M2 3.00% #^ 10/25/2059 7,077,163 48,976 CitiCorporationMortgage Securities, Inc., Series 2005-1-1A4 5.50% 02/25/2035 50,561 856,989 CitiCorporationResidential Mortgage Securities, Inc., Series 2006-2-A5 5.19% 09/25/2036 878,963 233,993 Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2-A2C 5.85% ß 05/25/2036 123,981 803,416 Citigroup Mortgage Loan Trust, Inc., Series 2008-AR4-2A1B 3.73% #^ 11/25/2038 812,866 5,050,183 Citigroup Mortgage Loan Trust, Series 2007-OPX1-A1A (1 Month LIBOR USD + 0.07%, 0.07% Floor) 0.22% 01/25/2037 2,873,170 10,501,495 Citigroup Mortgage Loan Trust, Series 2009-3-5A3 6.00% #^ 02/25/2037 9,862,698 3,794,500 Citigroup Mortgage Loan Trust, Series 2018-RP1-M3 3.00% #^ 09/25/2064 3,882,189 37,813,415 Citigroup Mortgage Loan Trust, Series 2019-A-PT1 3.92% ^ 10/25/2058 37,926,780 4,382,907 Citigroup Mortgage Loan Trust, Series 2019-C-A1 3.23% ^§ 09/25/2059 4,423,833 96,835 CitiMortgage Alternative Loan Trust, Series 2006-A2-A2 6.00% 05/25/2036 97,211 43,427 CitiMortgage Alternative Loan Trust, Series 2006-A5-3A3 6.00% 10/25/2036 41,221 360,767 CitiMortgage Alternative Loan Trust, Series 2007-A1-1A7 6.00% 01/25/2037 363,846 5,524,300 CitiMortgage Alternative Loan Trust, Series 2007-A5-1A10 5.75% 05/25/2037 5,483,107 1,000,000 Corevest American Finance Trust, Series 2020-4-E 3.38% ^ 12/15/2052 1,015,405 1,002,611 Countrywide Alternative Loan Trust, Series 2004-22CB-1A1 6.00% 10/25/2034 1,043,809 112,216 Countrywide Alternative Loan Trust, Series 2005-20CB-1A1 5.50% 07/25/2035 108,198 169,693 Countrywide Alternative Loan Trust, Series 2005-28CB-3A6 6.00% 08/25/2035 112,477 676,360 Countrywide Alternative Loan Trust, Series 2005-46CB-A22 5.25% 10/25/2035 622,168 107,964 Countrywide Alternative Loan Trust, Series 2005-J10-1A13 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap) 0.85% 10/25/2035 78,038 281,908 Countrywide Alternative Loan Trust, Series 2006-26CB-A9 6.50% 09/25/2036 209,729 7,503,717 Countrywide Alternative Loan Trust, Series 2006-42-1A8 6.00% 01/25/2047 6,033,900 1,169,359 Countrywide Alternative Loan Trust, Series 2007-12T1-A1 6.00% 06/25/2037 849,359 1,246,924 Countrywide Alternative Loan Trust, Series 2007-16CB-2A1 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) 0.60% 08/25/2037 432,044 361,078 Countrywide Alternative Loan Trust, Series 2007-16CB-2A2 (-8 x 1 Month LIBOR USD + 54.58%, 54.58% Cap) 53.35% I/F 08/25/2037 934,398 72,360 Countrywide Alternative Loan Trust, Series 2007-17CB-1A10 (-5 x 1 Month LIBOR USD + 29.90%, 29.90% Cap) 29.22% I/F 08/25/2037 117,340 343,055 Countrywide Alternative Loan Trust, Series 2007-18CB-2A17 6.00% 08/25/2037 295,148 1,661,398 Countrywide Alternative Loan Trust, Series 2007-23CB-A3 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap) 0.65% 09/25/2037 731,216 1,632,041 Countrywide Alternative Loan Trust, Series 2007-23CB-A4 (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) 6.35% I/F I/O 09/25/2037 526,398 720,439 Countrywide Alternative Loan Trust, Series 2007-4CB-2A1 7.00% 03/25/2037 136,025 13,612 Countrywide Asset-Backed Certificates, Series 2005-13-AF3 5.43% # 02/25/2033 13,032 249,130 Countrywide Home Loans, Series 2005-28-A7 5.25% 01/25/2019 203,000 555,268 Countrywide Home Loans, Series 2007-10-A5 6.00% 07/25/2037 418,600 220,962 Countrywide Home Loans, Series 2007-15-1A16 6.25% 09/25/2037 187,898 588,379 Countrywide Home Loans, Series 2007-3-A17 6.00% 04/25/2037 441,079 81,761 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A5 5.50% 11/25/2035 74,046 922,450 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-1A3 5.25% 09/25/2035 908,958 3,853,165 Credit Suisse Mortgage Capital Certificates, Series 2009-3R-19A2 6.00% ^ 01/27/2038 2,726,643 8,661,294 Credit-Based Asset Servicing & Securitization LLC, Series 2007-RP1-A (1 Month LIBOR USD + 0.31%, 0.31% Floor) 8.00% ^ 05/25/2046 7,953,478 2,764,040 CSMC Mortgage-Backed Trust, Series 2006-4-6A1 6.00% 05/25/2036 1,634,751 33,657 CSMC Mortgage-Backed Trust, Series 2006-4-7A1 5.50% 05/25/2021 29,322 61,763 CSMC Mortgage-Backed Trust, Series 2007-1-3A1 6.00% 02/25/2022 18,313 17,703 CSMC Mortgage-Backed Trust, Series 2007-2-2A1 5.00% 03/25/2037 17,191 10,891,865 CSMC Mortgage-Backed Trust, Series 2019-RPL8-A1 3.32% #^ 10/25/2058 10,997,070 1,437,631 CSMC Trust, Series 2010-4R-3A17 6.00% #^ 06/26/2037 1,452,184 35,062,437 CSMC Trust, Series 2018-RPL8-A1 4.13% #^ 07/25/2058 35,212,750 19,552,874 CSMC Trust, Series 2019-JR1-A1 4.10% #^ 09/27/2066 19,863,498 43,084,714 CSMC Trust, Series 2020-RPL1-PT1 3.44% ^ 10/25/2069 43,428,013 9,035,400 CSMC Trust, Series 2020-RPL4-M1 2.50% ^ 01/25/2060 9,161,285 517,650 Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap) 11.90% ^I/F 04/15/2036 474,801 98,773 Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI2 (-2 x 1 Month LIBOR USD + 14.60%, 14.61% Cap) 14.30% ^I/F 04/15/2036 103,242 1,064,303 Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap) 11.90% ^I/F 04/15/2036 1,062,140 6,895,731 Deutsche Mortgage Securities, Inc., Series 2005-6-2A1 5.50% 12/25/2035 6,812,843 14,052,063 First Franklin Mortgage Loan Trust, Series 2007-FF2-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 03/25/2037 9,912,828 278,017 First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2-1A5 6.00% 05/25/2036 196,268 3,285,305 First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8-1A1 6.25% 02/25/2037 2,246,532 58,347 First Horizon Alternative Mortgage Securities Trust, Series 2006-RE1-A1 5.50% 05/25/2035 50,896 19,200,000 FMC GMSR Issuer Trust, Series 2019-GT2-A 4.23% #^ 09/25/2024 18,887,635 12,435,183 GCAT LLC, Series 2020-2-A1 3.72% ^§ 06/25/2025 12,485,351 2,251,736 GMACM Mortgage Loan Trust, Series 2006-J1-A6 5.75% 04/25/2036 2,253,381 7,546,000 GS Mortgage-Backed Securities Trust, Series 2020-NQM1-M1 3.29% #^ 09/27/2060 7,646,460 30,443 GSAA Home Equity Trust, Series 2005-7-AF5 4.61% 05/25/2035 30,949 1,138,183 GSAA Home Equity Trust, Series 2007-10-A1A 6.00% 11/25/2037 968,962 992,608 GSAA Home Equity Trust, Series 2007-10-A2A 6.50% 11/25/2037 669,387 2,276,802 GSR Mortgage Loan Trust, Series 2006-3F-4A1 6.00% 03/25/2036 2,300,975 25,403,346 GSR Mortgage Loan Trust, Series 2006-OA1-1A1 (1 Month LIBOR USD + 0.44%, 0.44% Floor) 0.59% 08/25/2046 8,850,340 245,452 GSR Mortgage Loan Trust, Series 2007-1F-2A2 5.50% 01/25/2037 336,413 19,200,000 Headlands Residential LLC, Series 2019-RPL1-NOTE 3.97% ^§ 06/25/2024 19,324,781 5,250,000 Homeward Opportunities Fund Trust, Series 2020-2-M1 3.90% #^ 05/25/2065 5,440,570 9,000,000 Homeward Opportunities Fund Trust, Series 2020-BPL1-A1 3.23% ^§ 08/25/2025 9,014,936 25,705,694 HSI Asset Securitization Corporation, Series 2006-HE1-1A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 10/25/2036 11,620,061 34,302,111 Impac Secured Assets Trust, Series 2006-5-1A1C (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap) 0.42% 02/25/2037 31,291,874 274,088 JP Morgan Alternative Loan Trust, Series 2006-S2-A4 6.69% 05/25/2036 265,200 5,920,248 JP Morgan Alternative Loan Trust, Series 2006-S3-A4 6.31% ß 08/25/2036 5,736,084 135,442 JP Morgan Alternative Loan Trust, Series 2006-S3-A6 6.12% ß 08/25/2036 133,364 136,434 JP Morgan Alternative Loan Trust, Series 2006-S4-A6 5.71% ß 12/25/2036 136,658 16,740,204 JP Morgan Mortgage Acquisition Trust, Series 2006-WMC2-A5 (1 Month LIBOR USD + 0.25%, 0.25% Floor) 0.40% 07/25/2036 10,280,452 21,452,430 JP Morgan Mortgage Acquisition Trust, Series 2006-WMC3-A4 (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.30% 08/25/2036 17,380,611 3,626,534 JP Morgan Mortgage Trust, Series 2006-S1-2A9 6.50% 04/25/2036 4,034,501 207,734 JP Morgan Mortgage Trust, Series 2007-S3-1A7 6.00% 08/25/2037 149,897 31,510,315 Legacy Mortgage Asset Trust, Series 2018-GS2-A1 4.00% ^§ 04/25/2058 31,761,900 1,311,931 Legacy Mortgage Asset Trust, Series 2019-GS5-A1 3.20% ^§ 05/25/2059 1,326,530 33,851,294 Legacy Mortgage Asset Trust, Series 2019-RPL3-PT1 0.00% ^ 06/25/2058 33,769,543 4,495,781 Legacy Mortgage Asset Trust, Series 2019-SL3-A 3.47% ^§ 11/25/2061 4,525,079 36,210,404 Legacy Mortgage Asset Trust, Series 2020-GS2-A1 2.75% ^§ 03/25/2060 36,424,016 466,295 Lehman Mortgage Trust, Series 2006-3-1A5 6.00% 07/25/2036 337,118 34,068 Lehman Mortgage Trust, Series 2006-9-1A19 (-5 x 1 Month LIBOR USD + 30.68%, 30.68% Cap) 30.00% I/F 01/25/2037 58,628 614,159 Lehman Mortgage Trust, Series 2007-10-2A1 6.50% 01/25/2038 338,708 123,676 Lehman Mortgage Trust, Series 2007-2-1A1 5.75% 02/25/2037 105,685 4,795,018 Lehman Trust, Series 2005-9N-1A1 (1 Month LIBOR USD + 0.27%, 0.27% Floor) 0.42% 02/25/2036 4,573,239 6,780,171 Lehman Trust, Series 2007-1-1A2 (1 Month LIBOR USD + 0.32%, 0.32% Floor) 0.47% 02/25/2037 6,674,977 38,649,230 Long Beach Mortgage Loan Trust, Series 2006-2-2A3 (1 Month LIBOR USD + 0.38%, 0.38% Floor) 0.53% 03/25/2046 18,303,089 14,983,070 Long Beach Mortgage Loan Trust, Series 2006-3-2A3 (1 Month LIBOR USD + 0.36%, 0.36% Floor) 0.51% 05/25/2046 6,902,684 17,984,505 Long Beach Mortgage Loan Trust, Series 2006-6-2A3 (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.30% 07/25/2036 9,427,125 88,711 MASTR Alternative Loans Trust, Series 2005-2-3A1 6.00% 03/25/2035 90,466 5,761,280 MASTR Alternative Loans Trust, Series 2006-1-A5 6.00% 02/25/2036 4,062,150 39,706 MASTR Alternative Loans Trust, Series 2007-1-2A7 6.00% 10/25/2036 20,511 1,265,592 MASTR Asset Securitization Trust, Series 2006-2-1A11 (1 Month LIBOR USD + 6.00%, 6.00% Floor) 6.00% 06/25/2036 1,108,275 13,096,526 Merrill Lynch Alternative Asset Trust, Series 2007-OAR4-A1 (1 Month LIBOR USD + 0.25%, 0.25% Floor) 0.40% 08/25/2037 12,500,479 2,009,077 Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A8 6.00% 03/25/2037 1,232,972 13,865,750 MFA LLC, Series 2018-NPL1-A1 3.88% ^§ 05/25/2048 13,917,293 19,820 Morgan Stanley Mortgage Loan Trust, Series 2004-1-1A1 5.00% 11/25/2018 20,015 697,638 Morgan Stanley Mortgage Loan Trust, Series 2005-7-7A4 5.50% 11/25/2035 695,411 2,071,584 Morgan Stanley Mortgage Loan Trust, Series 2006-7-3A 4.99% # 06/25/2036 1,692,246 579,095 Morgan Stanley Re-Remic Trust, Series 2010-R6-5C 5.75% #^ 05/26/2037 574,248 4,333,931 Morgan Stanley Residential Mortgage Loan Trust, Series 2020-RPL1-A1 2.69% #^ 10/25/2060 4,367,927 1,912,012 New Residential Mortgage Loan Trust, Series 2020-NPL1-A1 4.34% ^§ 07/25/2060 1,938,421 36,126,350 New Residential Mortgage Loan Trust, Series 2020-NPL2-A1 3.23% ^§ 08/25/2060 36,443,290 185,081 Nomura Asset Acceptance Corporation, Series 2006-AP1-A2 5.52% # 01/25/2036 80,584 556,166 Nomura Home Equity Loan, Inc., Series 2006-AF1-A2 5.80% ß 10/25/2036 223,326 956,672 Nomura Home Equity Loan, Inc., Series 2007-1-1A1 6.06% ß 02/25/2037 386,865 10,699,481 NRPL Trust, Series 2019-3A-A1 3.00% ^§ 07/25/2059 10,779,200 8,700,000 NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1-A 3.84% ^ 12/25/2025 8,724,969 44,246 Option One Mortgage Loan Trust, Series 2004-3-M3 (1 Month LIBOR USD + 0.98%, 0.98% Floor) 1.12% 11/25/2034 43,984 25,074,938 Option One Mortgage Loan Trust, Series 2007-6-1A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor) 0.34% 07/25/2037 22,941,104 13,636,084 PMT Credit Risk Transfer Trust, Series 2020-1R-A (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.50% ^ 02/27/2023 13,393,947 7,922,494 PR Mortgage Loan Trust, Series 2014-1-APT 5.91% #^ 10/25/2049 7,838,845 3,261,450 Pretium Mortgage Credit Partners LLC, Series 2019-CFL1-A1 3.72% ^§ 01/25/2059 3,292,573 3,396,484 Pretium Mortgage Credit Partners LLC, Series 2020-NPL3-A1 3.10% ^§ 06/27/2060 3,409,015 28,533,285 PRPM LLC, Series 2019-3A-A1 3.35% ^§ 07/25/2024 28,635,887 13,597,101 PRPM LLC, Series 2019-GS1-A1 3.50% #^ 10/25/2024 13,784,347 11,874,464 PRPM LLC, Series 2020-3-A1 2.86% ^§ 09/25/2025 11,989,055 8,018,166 RBSGC Mortgage Loan Trust, Series 2005-A-3A 6.00% 04/25/2035 5,385,963 28,767,134 Redwood Funding Trust, Series 2019-1-PT 4.21% ^§ 09/27/2024 29,066,542 217,224 Residential Accredit Loans, Inc., Series 2005-QS14-3A3 6.00% 09/25/2035 214,011 270,071 Residential Accredit Loans, Inc., Series 2006-QS10-A4 5.75% 08/25/2036 266,854 2,947,008 Residential Accredit Loans, Inc., Series 2006-QS10-A9 6.50% 08/25/2036 2,997,925 2,823,383 Residential Accredit Loans, Inc., Series 2006-QS4-A10 6.00% 04/25/2036 2,746,263 569,449 Residential Accredit Loans, Inc., Series 2006-QS6-1A15 6.00% 06/25/2036 555,739 22,105 Residential Accredit Loans, Inc., Series 2006-QS6-2A1 6.00% 06/25/2021 21,338 966,183 Residential Accredit Loans, Inc., Series 2007-QS3-A4 6.25% 02/25/2037 936,501 3,429,726 Residential Accredit Loans, Inc., Series 2007-QS9-A33 6.50% 07/25/2037 3,225,772 111,320 Residential Asset Mortgage Products, Inc., Series 2005-RS1-AI5 5.91% 01/25/2035 113,760 196,602 Residential Asset Securitization Trust, Series 2005-A10-A3 5.50% 09/25/2035 146,864 262,233 Residential Asset Securitization Trust, Series 2005-A11-2A4 6.00% 10/25/2035 195,329 48,195 Residential Asset Securitization Trust, Series 2005-A7-A3 5.50% 06/25/2035 38,535 1,610,419 Residential Asset Securitization Trust, Series 2006-A6-1A1 6.50% 07/25/2036 768,548 128,692 Residential Asset Securitization Trust, Series 2006-R1-A1 (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap) 27.81% I/FÞ 01/25/2046 184,501 69,050 Residential Funding Mortgage Securities Trust, Series 2006-S10-1A2 6.00% 10/25/2036 66,991 337,246 Residential Funding Mortgage Securities Trust, Series 2006-S11-A3 6.00% 11/25/2036 331,172 671,257 Residential Funding Mortgage Securities Trust, Series 2007-S2-A4 6.00% 02/25/2037 644,150 432,240 Residential Funding Mortgage Securities Trust, Series 2007-S3-1A4 6.00% 03/25/2037 390,517 5,154,000 Residential Mortgage Loan Trust, Series 2020-1-M1 3.24% #^ 02/25/2024 5,030,984 8,523,282 Seasoned Credit Risk Transfer Trust, Series 2018-2-HV 3.00% # 11/25/2057 9,347,268 22,502,530 Seasoned Credit Risk Transfer Trust, Series 2019-4-M55D 4.00% 02/25/2059 24,932,258 21,775,795 Securitized Asset Backed Receivables LLC Trust, Series 2007-HE1-A2C (1 Month LIBOR USD + 0.16%, 0.16% Floor) 0.31% 12/25/2036 7,313,078 32,299,340 Securitized Mortgage Asset Loan Trust, Series 2015-1-PC 0.73% #^ 02/25/2054 27,189,753 5,616,891 Securitized Mortgage Asset Loan Trust, Series 2015-2-PC 2.28% #^ 12/26/2059 5,263,669 6,258,935 Securitized Mortgage Asset Loan Trust, Series 2015-3-PC 3.15% #^ 10/25/2044 5,996,235 6,050,406 Sequoia Mortgage Trust, Series 2007-3-2AA1 3.22% # 07/20/2037 5,531,296 8,647,163 Soundview Home Loan Trust, Series 2007-OPT4-1A1 (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.15% 09/25/2037 6,955,771 5,910,000 Starwood Mortgage Residential Trust, Series 2020-1-B1 3.73% #^ 02/25/2050 5,994,009 4,037,814 Structured Asset Investment Loan Trust, Series 2006-BNC3-A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.33% 09/25/2036 3,072,250 1,049,158 Structured Asset Securities Corporation, Series 2005-RF1-A (1 Month LIBOR USD + 0.35%, 0.35% Floor) 0.50% ^ 03/25/2035 939,450 1,049,158 Structured Asset Securities Corporation, Series 2005-RF1-AIO 4.67% #^I/O 03/25/2035 175,417 14,000,000 Toorak Mortgage Corporation Ltd., Series 2019-2-A1 3.72% ^§ 09/25/2022 14,235,785 19,642,182 Velocity Commercial Capital Loan Trust, Series 2018-1-A 3.59% ^ 04/25/2048 20,607,069 2,962,289 Velocity Commercial Capital Loan Trust, Series 2018-1-M1 3.91% ^ 04/25/2048 3,134,350 1,492,240 Velocity Commercial Capital Loan Trust, Series 2018-1-M2 4.26% ^ 04/25/2048 1,542,852 937,668 Velocity Commercial Capital Loan Trust, Series 2018-1-M3 4.41% ^ 04/25/2048 966,655 11,744,011 Velocity Commercial Capital Loan Trust, Series 2018-2-A 4.05% #^ 10/26/2048 12,358,849 4,736,575 Velocity Commercial Capital Loan Trust, Series 2019-1-M1 3.94% #^ 03/25/2049 4,907,622 1,309,464 Velocity Commercial Capital Loan Trust, Series 2019-1-M2 4.01% #^ 03/25/2049 1,338,282 1,478,948 Velocity Commercial Capital Loan Trust, Series 2019-1-M3 4.12% #^ 03/25/2049 1,499,006 1,853,120 Vericrest Opportunity Loan Trust, Series 2019-NPL5-A1A 3.35% ^§ 09/25/2049 1,858,272 1,597,413 Vericrest Opportunity Loan Trust, Series 2019-NPL7-A1A 3.18% ^§ 10/25/2049 1,601,424 6,854,537 Vericrest Opportunity Loan Trust, Series 2020-NPL5-A1A 2.98% ^§ 03/25/2050 6,871,205 7,151,000 Verus Securitization Trust, Series 2020-3-M1 3.97% #^ 04/25/2060 7,180,791 7,471,000 Verus Securitization Trust, Series 2020-5-M1 2.60% #^ 05/25/2065 7,509,650 12,733,340 Verus Securitization Trust, Series 2020-NPL1-A1 3.60% ^ 08/25/2050 12,846,989 1,363,772 VOLT LLC, Series 2019-NP10-A1A 3.43% ^§ 12/27/2049 1,369,198 11,556,859 VOLT LLC, Series 2019-NPL6-A1A 3.23% ^§ 10/25/2049 11,590,489 17,157,232 VOLT LLC, Series 2020-NPL1-A1A 3.23% ^§ 01/25/2050 17,231,108 9,673,233 VOLT LLC, Series 2020-NPL3-A1A 2.98% ^§ 02/25/2050 9,700,829 6,890,552 Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY7-2A1 3.10% # 07/25/2037 6,675,764 8,523,096 Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-8-A5 4.25% ß 10/25/2036 4,500,099 107,488 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1-2A 6.00% 03/25/2035 107,515 615,580 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1-3A1 5.75% 02/25/2036 582,283 1,786,143 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-2-4CB 6.00% 03/25/2036 1,848,859 3,787,740 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A6 4.25% ß 10/25/2036 1,998,894 2,242,300 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR19-2A (11th District Cost of Funds Index + 1.25%, 1.25% Floor) 1.75% 01/25/2047 2,165,873 6,740,672 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-2-1A3 6.00% 04/25/2037 6,115,655 1,160,814 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-3-A6 6.00% 04/25/2037 1,157,495 86,396 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A11 (-6 x 1 Month LIBOR USD + 39.48%, 39.48% Cap) 38.59% I/F 06/25/2037 185,520 8,029,775 Washington Mutual Mortgage Pass-Through Certificates, Series 2007-5-A3 7.00% 06/25/2037 5,582,373 590,581 Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1 6.25% 11/25/2037 586,336 17,852 Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR14-A6 3.01% # 08/25/2035 17,969 549,930 Wells Fargo Mortgage Backed Securities Trust, Series 2006-7-2A1 6.00% 06/25/2036 552,440 40,902 Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1 6.00% 06/25/2037 41,392

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $1,203,112,014) 1,204,309,397 US Corporate Bonds - 14.2% 11,981,000 AbbVie, Inc. 4.70% 05/14/2045 15,673,395 1,195,000 Academy Ltd. 6.00% ^ 11/15/2027 1,254,750 7,975,000 Activision Blizzard, Inc. 1.35% 09/15/2030 7,843,671 1,235,000 Advanced Drainage Systems, Inc. 5.00% ^ 09/30/2027 1,301,616 12,868,000 Air Lease Corporation 3.75% 02/01/2022 13,213,233 1,620,000 Air Lease Corporation 2.30% 02/01/2025 1,678,283 1,285,000 Albertsons LLC 4.63% ^ 01/15/2027 1,368,274 1,215,000 Albertsons LLC 3.50% ^ 03/15/2029 1,228,972 10,410,000 Alexandria Real Estate Equities, Inc. 4.00% 01/15/2024 11,466,432 1,285,000 Alliant Holdings Intermediate LLC 6.75% ^ 10/15/2027 1,377,122 1,120,000 Allied Universal Holding Company 6.63% ^ 07/15/2026 1,195,656 2,155,000 Allied Universal Holding Company 9.75% ^ 07/15/2027 2,352,700 1,120,000 Allison Transmission, Inc. 3.75% ^ 01/30/2031 1,148,000 13,360,000 Altria Group, Inc. 4.80% 02/14/2029 16,030,912 1,126,000 AMC Merger, Inc. 8.00% ^ 05/15/2025 955,574 1,085,000 American Axle & Manufacturing, Inc. 6.25% 03/15/2026 1,124,331 4,433,000 American Tower Corporation 3.38% 10/15/2026 4,983,448 14,172,000 American Tower Corporation 3.60% 01/15/2028 16,113,721 989,000 Antero Midstream Partners LP 5.75% ^ 03/01/2027 973,547 4,135,000 Anthem, Inc. 2.38% 01/15/2025 4,424,240 650,000 Apache Corporation 4.63% 11/15/2025 683,312 1,165,000 Apache Corporation 4.38% 10/15/2028 1,214,489 11,345,000 Apple, Inc. 4.65% 02/23/2046 16,127,109 1,540,000 Aramark Services, Inc. 6.38% ^ 05/01/2025 1,647,800 405,000 Arches Buyer, Inc. 4.25% ^ 06/01/2028 410,903 590,000 Arconic Corporation 6.00% ^ 05/15/2025 630,931 2,000,000 Arconic Corporation 6.13% ^ 02/15/2028 2,160,000 398,000 Ardagh Packaging Finance, Inc. 6.00% ^ 02/15/2025 412,825 300,000 Ardagh Packaging Finance, Inc. 5.25% ^ 04/30/2025 316,903 975,000 Ardagh Packaging Finance, Inc. 5.25% ^ 08/15/2027 1,024,540 1,185,000 Argos Merger Sub, Inc. 7.13% ^ 03/15/2023 1,186,066 4,590,000 Arizona Public Service Company 3.35% 05/15/2050 5,353,288 6,320,000 Arrow Electronics, Inc. 3.88% 01/12/2028 7,128,103 340,000 Asbury Automotive Group, Inc. 4.50% 03/01/2028 356,150 340,000 Asbury Automotive Group, Inc. 4.75% 03/01/2030 365,075 690,000 Ascend Learning LLC 6.88% ^ 08/01/2025 712,353 2,655,000 Ascend Learning LLC 6.88% ^ 08/01/2025 2,737,690 1,000,000 ASGN, Inc. 4.63% ^ 05/15/2028 1,041,690 2,980,000 AssuredPartners, Inc. 7.00% ^ 08/15/2025 3,097,904 190,000 AssuredPartners, Inc. 5.63% ^ 01/15/2029 198,550 23,410,000 AT&T, Inc. 3.50% ^ 09/15/2053 23,411,285 13,989,000 Athene Global Funding 3.00% ^ 07/01/2022 14,469,653 375,000 Austin BidCo, Inc. 7.13% ^ 12/15/2028 392,109 885,000 Avantor, Inc. 4.63% ^ 07/15/2028 936,994 1,285,000 Avaya, Inc. 6.13% ^ 09/15/2028 1,375,123 13,368,000 AXA Equitable Holdings, Inc. 3.90% 04/20/2023 14,386,211 685,000 Axalta Coating Systems LLC 4.75% ^ 06/15/2027 729,525 990,000 B&G Foods, Inc. 5.25% 04/01/2025 1,023,165 785,000 B&G Foods, Inc. 5.25% 09/15/2027 835,350 535,000 Banff Merger Sub, Inc. 9.75% ^ 09/01/2026 578,453 12,495,000 Bank of America Corporation (3 Month LIBOR USD + 1.21%) 3.97% 02/07/2030 14,720,483 1,090,000 Bausch Health Companies, Inc. 7.00% ^ 03/15/2024 1,122,428 2,355,000 Bausch Health Companies, Inc. 7.00% ^ 01/15/2028 2,592,596 1,040,000 Bausch Health Companies, Inc. 6.25% ^ 02/15/2029 1,131,198 1,315,000 Bausch Health Companies, Inc. 5.25% ^ 01/30/2030 1,378,935 2,045,000 Beacon Roofing Supply, Inc. 4.88% ^ 11/01/2025 2,097,280 18,052,000 Becton Dickinson and Company 2.89% 06/06/2022 18,662,396 4,725,000 Berkshire Hathaway Finance Corporation 2.85% 10/15/2050 5,071,931 85,000 Blue Racer Midstream LLC 7.63% ^ 12/15/2025 90,737 8,169,000 Boeing Company 2.95% 02/01/2030 8,456,812 13,015,000 Boston Properties LP 3.40% 06/21/2029 14,542,170 125,000 Boxer Parent Company, Inc. 7.13% ^ 10/02/2025 135,861 2,065,000 Boyd Gaming Corporation 4.75% 12/01/2027 2,149,273 3,465,000 Boyne USA, Inc. 7.25% ^ 05/01/2025 3,644,747 12,260,000 Bristol-Myers Squibb Company 4.35% 11/15/2047 16,482,109 11,507,000 Broadcom, Inc. 3.15% 11/15/2025 12,569,477 11,625,000 Brooklyn Union Gas Company 4.49% ^ 03/04/2049 15,410,669 599,000 Builders FirstSource, Inc. 6.75% ^ 06/01/2027 650,490 1,300,000 Builders FirstSource, Inc. 5.00% ^ 03/01/2030 1,399,125 2,960,000 Burlington Northern Santa Fe LLC 3.05% 02/15/2051 3,361,472 680,000 BWX Technologies, Inc. 4.13% ^ 06/30/2028 710,175 680,000 BY Crown Parent LLC 4.25% ^ 01/31/2026 697,850 900,000 Cablevision Lightpath LLC 3.88% ^ 09/15/2027 906,750 500,000 Cablevision Lightpath LLC 5.63% ^ 09/15/2028 524,062 890,000 Calpine Corporation 4.50% ^ 02/15/2028 926,935 555,000 Calpine Corporation 5.13% ^ 03/15/2028 584,629 600,000 Calpine Corporation 4.63% ^ 02/01/2029 617,868 4,070,000 Campbell Soup Company 2.38% 04/24/2030 4,303,870 4,050,000 Capital One Financial Corporation (3 Month LIBOR USD + 0.72%) 0.93% 01/30/2023 4,070,638 595,000 Carnival Corporation 11.50% ^ 04/01/2023 688,876 8,420,000 Carrier Global Corporation 3.38% 04/05/2040 9,206,032 525,000 Carvana Corporation 5.63% ^ 10/01/2025 539,437 580,000 Castle US Holding Corporation 9.50% ^ 02/15/2028 581,360 2,165,000 Catalent Pharma Solutions, Inc. 5.00% ^ 07/15/2027 2,290,202 1,255,000 CCO Holdings LLC 5.00% ^ 02/01/2028 1,328,417 2,520,000 CCO Holdings LLC 4.75% ^ 03/01/2030 2,722,230 1,275,000 CCO Holdings LLC 4.50% ^ 08/15/2030 1,354,694 1,830,000 Cedar Fair LP 5.25% 07/15/2029 1,887,169 1,165,000 Cengage Learning, Inc. 9.50% ^ 06/15/2024 1,091,459 1,580,000 Centene Corporation 4.25% 12/15/2027 1,678,458 660,000 Centene Corporation 3.00% 10/15/2030 700,359 1,165,000 Century Communities, Inc. 6.75% 06/01/2027 1,247,255 1,305,000 CenturyLink, Inc. 5.13% ^ 12/15/2026 1,379,927 1,170,000 CenturyLink, Inc. 4.00% ^ 02/15/2027 1,209,628 1,645,000 CFX Escrow Corporation 6.38% ^ 02/15/2026 1,758,612 12,990,000 Charles Schwab Corporation 3.55% 02/01/2024 14,215,055 12,776,000 Charter Communications Operating LLC 4.91% 07/23/2025 14,852,587 2,670,000 Cheniere Energy Partners LP 5.25% 10/01/2025 2,742,757 390,000 Cheniere Energy Partners LP 5.63% 10/01/2026 407,238 660,000 Community Health Systems, Inc. 6.00% ^ 01/15/2029 713,797 8,755,000 Cigna Corporation 4.90% 12/15/2048 12,039,851 7,655,000 Cigna Corporation (3 Month LIBOR USD + 0.89%) 1.13% 07/15/2023 7,745,446 1,765,000 Cincinnati Bell, Inc. 7.00% ^ 07/15/2024 1,841,098 21,555,000 Citigroup, Inc. (3 Month LIBOR USD + 1.10%) 1.32% 05/17/2024 21,855,431 2,140,000 Clean Harbors, Inc. 4.88% ^ 07/15/2027 2,236,300 460,000 Clean Harbors, Inc. 5.13% ^ 07/15/2029 503,900 784,000 Clear Channel Worldwide Holdings, Inc. 9.25% 02/15/2024 795,842 1,265,000 Clearway Energy Operating LLC 4.75% ^ 03/15/2028 1,357,902 1,710,000 CNX Midstream Partners LP 6.50% ^ 03/15/2026 1,744,200 5,155,000 Comcast Corporation 3.95% 10/15/2025 5,925,054 7,085,000 Comcast Corporation 3.40% 04/01/2030 8,173,168 10,690,000 Comcast Corporation 1.50% 02/15/2031 10,625,002 725,000 CommScope Technologies LLC 5.00% ^ 03/15/2027 719,109 6,495,000 Constellation Brands, Inc. 3.15% 08/01/2029 7,242,963 815,000 Constellation Brands, Inc. 2.88% 05/01/2030 894,378 1,380,000 Constellation Merger Sub, Inc. 8.50% ^ 09/15/2025 1,288,430 1,388,000 Cornerstone Building Brands, Inc. 6.13% ^ 01/15/2029 1,477,352 6,377,000 Corning, Inc. 4.38% 11/15/2057 7,975,146 2,595,000 Costco Wholesale Corporation 1.75% 04/20/2032 2,699,310 1,810,000 CRC Issuer LLC 5.25% ^ 10/15/2025 1,831,548 1,945,000 Credit Acceptance Corporation 6.63% 03/15/2026 2,078,719 12,965,000 Crown Castle International Corporation 3.65% 09/01/2027 14,652,801 815,000 Crown Castle International Corporation 3.80% 02/15/2028 940,077 2,940,000 CSC Holdings LLC 5.75% ^ 01/15/2030 3,226,665 1,200,000 CSC Holdings LLC 4.63% ^ 12/01/2030 1,254,162 2,325,000 CSI Compressco LP 7.50% ^ 04/01/2025 2,205,600 13,890,000 CSX Corporation 3.80% 11/01/2046 16,686,345 5,420,000 CVS Health Corporation 5.05% 03/25/2048 7,346,247 2,200,000 Dana Financing Ltd. 5.75% ^ 04/15/2025 2,289,375 410,000 Dana, Inc. 5.38% 11/15/2027 435,369 965,000 Dana, Inc. 5.63% 06/15/2028 1,040,622 785,000 DaVita, Inc. 4.63% ^ 06/01/2030 832,591 920,000 Dealer Tire LLC 8.00%^ 02/01/2028 971,589 460,000 Delta Air Lines, Inc. 7.00% ^ 05/01/2025 531,400 695,000 Delta Air Lines, Inc. 4.75% ^ 10/20/2028 759,165 1,215,000 Diamond Sports Group LLC 5.38% ^ 08/15/2026 989,466 3,690,000 Diamondback Energy, Inc. 2.88% 12/01/2024 3,881,583 3,500,000 Digital Realty Trust 3.70% 08/15/2027 4,023,596 3,000,000 Digital Realty Trust 3.60% 07/01/2029 3,440,303 15,975,000 Discover Financial Services 4.10% 02/09/2027 18,412,580 1,330,000 DISH DBS Corporation 5.88% 11/15/2024 1,396,500 5,040,000 Dollar Tree, Inc. 4.00% 05/15/2025 5,692,370 4,400,000 DTE Energy Company 2.95% 03/01/2030 4,819,526 2,095,000 Duke Energy Corporation 3.75% 09/01/2046 2,441,807 7,615,000 Duke Energy Corporation 3.95% 08/15/2047 9,269,233 9,090,000 Duke Energy Progress, Inc. 4.15% 12/01/2044 11,553,706 564,000 Dun & Bradstreet Corporation 6.88% ^ 08/15/2026 607,357 852,000 Dun & Bradstreet Corporation 10.25% ^ 02/15/2027 962,602 5,315,000 DuPont de Nemours, Inc. 5.42% 11/15/2048 7,723,851 8,228,000 East Ohio Gas Company 3.00% ^ 06/15/2050 8,972,402 1,180,000 EES Finance Corporation 8.13% 05/01/2025 989,601 1,425,000 Eldorado Resorts, Inc. 6.25% ^ 07/01/2025 1,519,413 17,075,000 Eli Lilly and Company 2.25% 05/15/2050 16,802,189 1,256,000 Embarq Corporation 8.00% 06/01/2036 1,551,568 535,000 Emergent BioSolutions, Inc. 3.88% ^ 08/15/2028 554,996 5,525,000 Enable Midstream Partners LP 4.40% 03/15/2027 5,580,665 620,000 Encompass Health Corporation 4.50% 02/01/2028 648,948 215,000 Encompass Health Corporation 4.75% 02/01/2030 230,682 1,430,000 Encompass Health Corporation 4.63% 04/01/2031 1,531,887 790,000 Endeavor Energy Resources LP 6.63% ^ 07/15/2025 846,532 500,000 Endo Finance LLC 6.00% ^ 07/15/2023 426,557 13,325,000 Energy Transfer Operating LP 4.75% 01/15/2026 15,083,283 1,250,000 Energy Transfer Operating LP 4.20% 04/15/2027 1,378,708 3,785,000 Entergy Corporation 2.80% 06/15/2030 4,092,167 705,000 Envision Healthcare Corporation 8.75% ^ 10/15/2026 444,897 425,000 EQM Midstream Partners LP 6.50% ^ 07/01/2027 479,166 1,095,000 EQT Corporation 7.88% 02/01/2025 1,248,459 5,010,000 Equinix, Inc. 1.80% 07/15/2027 5,162,848 1,651,000 ESH Hospitality, Inc. 5.25% ^ 05/01/2025 1,694,710 7,850,000 Essential Utilities, Inc. 2.70% 04/15/2030 8,516,480 8,130,000 Eversource Energy 1.65% 08/15/2030 8,110,223 3,954,000 Exelon Corporation 3.40% 04/15/2026 4,455,708 6,720,000 Expedia Group, Inc. 3.80% 02/15/2028 7,223,626 755,000 Extraction Oil & Gas, Inc. 5.63% ^W 02/01/2026 138,588 5,840,000 Exxon Mobil Corporation 2.61% 10/15/2030 6,380,741 6,320,000 Exxon Mobil Corporation 4.23% 03/19/2040 7,871,627 6,367,000 FedEx Corporation 4.75% 11/15/2045 8,286,498 2,125,000 Flex Acquisition Company, Inc. 6.88% ^ 01/15/2025 2,162,187 605,000 Ford Motor Company 9.00% 04/22/2025 744,232 1,535,000 Ford Motor Company 7.45% 07/16/2031 1,971,516 2,175,000 Ford Motor Credit Company LLC 3.38% 11/13/2025 2,230,049 2,900,000 Ford Motor Credit Company LLC 4.39% 01/08/2026 3,048,161 1,535,000 Front Range BidCo, Inc. 4.00% ^ 03/01/2027 1,540,841 720,000 Front Range BidCo, Inc. 6.13% ^ 03/01/2028 762,638 2,535,000 Frontdoor, Inc. 6.75% ^ 08/15/2026 2,709,281 525,000 Frontier Communications Corporation 8.50% W 04/15/2020 259,875 945,000 Frontier Communications Corporation 7.13% W 01/15/2023 460,097 390,000 Frontier Communications Corporation 5.88% ^ 10/15/2027 422,419 800,000 Frontier Communications Corporation 5.00% ^ 05/01/2028 835,500 450,000 Frontier Communications Corporation 6.75% ^ 05/01/2029 482,344 1,455,000 Gates Global LLC 6.25% ^ 01/15/2026 1,530,180 1,140,000 GCI LLC 4.75% ^ 10/15/2028 1,218,004 6,335,000 General Electric Company 5.88% 01/14/2038 8,591,237 4,830,000 General Electric Company 6.88% 01/10/2039 7,121,375 6,205,000 General Motors Financial Company 3.95% 04/13/2024 6,760,586 13,645,000 General Motors Financial Company (3 Month LIBOR USD + 0.99%) 1.22% 01/05/2023 13,636,613 13,980,000 Georgia Power Company 2.20% 09/15/2024 14,733,291 1,782,350 Global Aircraft Leasing Company (PIK 7.25%) 6.50% ^ 09/15/2024 1,595,203 1,660,000 Gogo Intermeidate Holdings LLC 9.88% ^ 05/01/2024 1,780,541 1,035,000 Golden Entertainment, Inc. 7.63% ^ 04/15/2026 1,114,400 2,445,000 Golden Nugget, Inc. 6.75% ^ 10/15/2024 2,430,501 500,000 Golden Nugget, Inc. 8.75% ^ 10/01/2025 518,125 18,188,000 Goldman Sachs Group, Inc. (3 Month LIBOR USD + 1.17%) 1.39% 05/15/2026 18,551,857 615,000 GrafTech Finance, Inc. 4.63% ^ 12/15/2028 624,250 1,510,000 Gray Television, Inc. 7.00% ^ 05/15/2027 1,655,337 1,295,000 Griffon Corporation 5.75% 03/01/2028 1,371,651 420,000 Group 1 Automotive, Inc. 4.00% ^ 08/15/2028 433,453 1,090,000 GTT Communications, Inc. 7.88% ^ 12/31/2024 440,087 1,695,000 Gulfport Energy Corporation 6.38% W 05/15/2025 1,122,937 4,305,000 Halliburton Company 2.92% 03/01/2030 4,542,001 3,225,000 HCA, Inc. 5.38% 09/01/2026 3,712,862 5,240,000 HCA, Inc. 4.13% 06/15/2029 6,082,413 1,805,000 Health Care Service Corporation and Mutual Legal Reserve Company 3.20% ^ 06/01/2050 1,954,427 1,540,000 Hess Midstream Operations LP 5.63% ^ 02/15/2026 1,604,487 1,075,000 Hess Midstream Operations LP 5.13% ^ 06/15/2028 1,124,719 985,000 Hexion, Inc. 7.88% ^ 07/15/2027 1,055,797 1,797,000 HilCorporationEnergy LP 6.25% ^ 11/01/2028 1,843,650 930,000 Hillman Group, Inc. 6.38% ^ 07/15/2022 926,294 975,000 Hill-Rom Holdings, Inc. 4.38% ^ 09/15/2027 1,032,471 80,000 Hilton Domestic Operating Company, Inc. 5.38% ^ 05/01/2025 85,080 90,000 Hilton Domestic Operating Company, Inc. 5.75% ^ 05/01/2028 98,044 5,830,000 Home Depot, Inc. 3.90% 06/15/2047 7,445,809 2,410,000 Horizon Pharma USA, Inc. 5.50% ^ 08/01/2027 2,591,979 14,325,000 Hyundai Capital America 2.65% ^ 02/10/2025 15,202,689 660,000 Hyundai Capital America 1.80% ^ 10/15/2025 677,287 1,890,000 IAA, Inc. 5.50% ^ 06/15/2027 2,006,944 2,405,000 Icahn Enterprises LP 6.25% 05/15/2026 2,552,282 1,300,000 Icahn Enterprises LP 5.25% 05/15/2027 1,396,850 230,000 iHeartCommunications, Inc. 8.38% 05/01/2027 245,910 960,000 iHeartCommunications, Inc. 5.25% ^ 08/15/2027 1,007,222 1,115,000 Illuminate Buyer LLC 9.00% ^ 07/01/2028 1,227,894 875,000 Indigo Natural Resources LLC 6.88% ^ 02/15/2026 896,875 1,435,000 Installed Building Products, Inc. 5.75% ^ 02/01/2028 1,533,384 864,000 IRB Holding Corporation 7.00% ^ 06/15/2025 945,454 2,054,000 IRB Holding Corporation 6.75% ^ 02/15/2026 2,122,501 1,380,000 Iron Mountain, Inc. 4.88% ^ 09/15/2029 1,457,280 850,000 Iron Mountain, Inc. 4.50% ^ 02/15/2031 891,437 1,000,000 iStar, Inc. 4.75% 10/01/2024 1,014,275 625,000 Jaguar Holding Company 5.00% ^ 06/15/2028 667,969 275,000 JBS Finance, Inc. 5.75% ^ 06/15/2025 284,625 600,000 JBS Finance, Inc. 5.50% ^ 01/15/2030 690,156 2,160,000 JELD-WEN, Inc. 4.63% ^ 12/15/2025 2,212,175 9,885,000 JP Morgan Chase & Company (Secured Overnight Financing Rate + 2.04%) 2.52% 04/22/2031 10,632,391 2,465,000 KAR Auction Services, Inc. 5.13% ^ 06/01/2025 2,539,640 4,727,000 Keurig Dr Pepper, Inc. 3.80% 05/01/2050 5,672,349 10,619,000 Kinder Morgan Energy Partners LP 6.95% 01/15/2038 14,546,579 1,445,000 Kraft Heinz Foods Company 5.00% 07/15/2035 1,752,305 4,000,000 Kraft Heinz Foods Company 5.20% 07/15/2045 4,756,399 1,525,000 Kraton Polymers LLC 7.00% ^ 04/15/2025 1,606,587 1,780,000 Kraton Polymers LLC 4.25% ^ 12/15/2025 1,818,003 1,475,000 Kratos Defense & Security Solutions, Inc. 6.50% ^ 11/30/2025 1,539,376 6,515,000 Kroger Company 3.40% 04/15/2022 6,720,622 6,585,000 Lam Research Corporation 2.88% 06/15/2050 7,102,954 610,000 LBM Acquisition LLC 6.25% ^ 01/15/2029 635,745 730,000 LD Holdings Group LLC 6.50% ^ 11/01/2025 770,150 1,320,000 LifePoint Health, Inc. 4.38% ^ 02/15/2027 1,343,100 895,000 LifePoint Health, Inc. 5.38% ^ 01/15/2029 895,492 1,480,000 Lions Gate Capital Holdings LLC 6.38% ^ 02/01/2024 1,521,610 2,990,000 Live Nation Entertainment, Inc. 5.63% ^ 03/15/2026 3,069,235 650,000 Live Nation Entertainment, Inc. 6.50% ^ 05/15/2027 727,870 10,312,000 Lockheed Martin Corporation 4.70% 05/15/2046 14,535,693 560,000 Logan Merger Sub, Inc. 5.50% ^ 09/01/2027 587,300 1,760,000 LTF Merger Sub, Inc. 8.50% ^ 06/15/2023 1,702,800 1,235,000 M/I Homes, Inc. 4.95% 02/01/2028 1,311,169 12,569,000 Marathon Petroleum Corporation 5.13% 12/15/2026 14,989,654 1,925,000 Marriott Ownership Resorts, Inc. 6.50% 09/15/2026 2,014,936 13,510,000 Marvell Technology Group Ltd. 4.20% 06/22/2023 14,625,752 2,250,000 Masonite International Corporation 5.75% ^ 09/15/2026 2,359,260 1,085,000 Match Group, Inc. 5.00% ^ 12/15/2027 1,157,044 590,000 Match Group, Inc. 4.63% ^ 06/01/2028 619,500 1,520,000 Matterhorn Merger Sub LLC 8.50% ^ 06/01/2026 1,594,518 6,880,000 McDonald’s Corporation 3.60% 07/01/2030 8,072,298 5,880,000 McDonald’s Corporation 4.45% 03/01/2047 7,640,444 13,650,000 Merck & Company, Inc. 3.40% 03/07/2029 15,883,782 50,000 Metropolitan Edison Company 4.00% ^ 04/15/2025 54,607 1,710,000 MGM Growth Properties Operating Partnership LP 5.75% 02/01/2027 1,921,074 1,495,000 MGM Resorts International 6.75% 05/01/2025 1,620,543 755,000 MGM Resorts International 5.75% 06/15/2025 836,181 6,665,000 Micron Technology, Inc. 2.50% 04/24/2023 6,950,465 1,385,000 Mileage Plus Holdings LLC 6.50% ^ 06/20/2027 1,491,472 4,610,000 Mondelez International, Inc. 1.50% 05/04/2025 4,771,852 7,850,000 Mondelez International, Inc. 1.88% 10/15/2032 7,987,148 6,255,000 Monongahela Power Company 5.40% ^ 12/15/2043 8,482,797 12,769,000 Morgan Stanley (3 Month LIBOR USD + 1.34%) 3.59% 07/22/2028 14,585,489 1,272,000 Moss Creek Resources Holdings, Inc. 7.50% ^ 01/15/2026 969,900 2,050,000 MPH Acquisition Holdings LLC 5.75% ^ 11/01/2028 2,006,437 1,250,000 MPLX LP 4.00% 03/15/2028 1,438,477 3,720,000 MPT Operating Partnership LP 5.00% 10/15/2027 3,963,753 940,000 Murphy Oil USA, Inc. 4.75% 09/15/2029 1,002,101 1,020,000 Nabors Industries Ltd. 7.25% ^ 01/15/2026 717,106 1,160,000 National FINL Partners Corporation 6.88% ^ 08/15/2028 1,239,959 3,675,000 National Retail Properties, Inc. 2.50% 04/15/2030 3,790,256 235,000 Nationstar Mortgage Holdings, Inc. 6.00% ^ 01/15/2027 249,798 1,325,000 Nationstar Mortgage Holdings, Inc. 5.50% ^ 08/15/2028 1,397,047 2,795,000 Navient Corporation 6.50% 06/15/2022 2,964,768 955,000 Navient Corporation 5.00% 03/15/2027 964,674 1,935,000 NCL Corporation 3.63% ^ 12/15/2024 1,841,878 485,000 NCL Corporation Ltd. 5.88% ^ 03/15/2026 511,978 7,668,000 NetApp, Inc. 1.88% 06/22/2025 8,014,528 860,000 Netflix, Inc. 5.88% 02/15/2025 991,042 765,000 Netflix, Inc. 5.38% ^ 11/15/2029 902,700 550,000 Netflix, Inc. 4.88% ^ 06/15/2030 633,531 985,000 Newfield Exploration Company 5.63% 07/01/2024 1,057,981 1,025,000 Nexstar Broadcasting, Inc. 5.63% ^ 07/15/2027 1,099,635 7,092,000 NextEra Energy Capital Holdings, Inc. 3.55% 05/01/2027 8,083,136 3,500,000 NextEra Energy Capital Holdings, Inc. 2.25% 06/01/2030 3,671,991 175,000 NFP Corporation 7.00% ^ 05/15/2025 188,891 840,000 NGL Energy Partners LP 7.50% 04/15/2026 522,375 3,865,000 NiSource, Inc. 3.60% 05/01/2030 4,477,170 8,815,000 Northrop Grumman Corporation 5.15% 05/01/2040 12,208,622 775,000 Novelis Corporation 4.75% ^ 01/30/2030 836,411 5,000,000 NRG Energy, Inc. 2.00% ^ 12/02/2025 5,184,690 1,715,000 NRG Energy, Inc. 3.63% ^ 02/15/2031 1,767,608 1,650,000 NuStar Logistics LP 6.00% 06/01/2026 1,787,321 820,000 Occidental Petroleum Corporation 8.00% 07/15/2025 935,517 2,480,000 Occidental Petroleum Corporation 3.50% 08/15/2029 2,273,590 1,920,000 Occidental Petroleum Corporation 6.63% 09/01/2030 2,087,520 1,675,000 Occidental Petroleum Corporation 6.13% 01/01/2031 1,796,773 148,000 Oncor Electric Delivery Company LLC 2.95% 04/01/2025 162,102 13,103,000 Oncor Electric Delivery Company LLC 3.10% 09/15/2049 15,076,356 4,060,000 ONEOK, Inc. 3.40% 09/01/2029 4,354,104 265,000 OPE KAG Finance Sub, Inc. 7.88% ^ 07/31/2023 265,966 8,065,000 Oracle Corporation 3.85% 04/01/2060 9,918,215 230,000 Ortho Clinical Diagnostics, Inc. 7.38% ^ 06/01/2025 245,381 1,830,000 Ortho-Clinical Diagnostics Inc. 7.25% ^ 02/01/2028 1,934,081 6,315,000 Owens Corning 4.40% 01/30/2048 7,618,011 7,853,000 Pacific Gas and Electric Company 2.50% 02/01/2031 7,872,840 6,235,000 Packaging Corporation of America 3.40% 12/15/2027 7,030,597 1,445,000 Panther BF Aggregator LP 6.25% ^ 05/15/2026 1,551,569 745,000 Panther BF Aggregator LP 8.50% ^ 05/15/2027 810,604 2,235,000 Par Petroleum Finance Corporation 7.75% ^ 12/15/2025 2,153,747 1,985,000 Parsley Energy LLC 5.63% ^ 10/15/2027 2,175,560 775,000 PBF Holding Company LLC 6.00% 02/15/2028 444,172 1,260,000 Peabody Securities Finance Corporation 6.00% ^ 03/31/2022 922,163 2,085,000 Penn National Gaming, Inc. 5.63% ^ 01/15/2027 2,179,034 1,645,000 PennyMac Financial Services, Inc. 5.38% ^ 10/15/2025 1,741,644 6,620,000 Penske Truck Leasing Company 4.20% ^ 04/01/2027 7,624,065 1,915,000 Performance Food Group, Inc. 5.50% ^ 10/15/2027 2,023,829 1,018,000 PetSmart, Inc. 5.88% ^ 06/01/2025 1,047,904 650,000 PG&E Corporation 5.00% 07/01/2028 693,111 1,200,000 Pike Corporation 5.50% ^ 09/01/2028 1,270,500 1,435,000 Pilgrim’s Pride Corporation 5.88% ^ 09/30/2027 1,558,209 10,462,000 Pioneer Natural Resources Corporation 1.90% 08/15/2030 10,371,094 430,000 Post Holdings, Inc. 5.50% ^ 12/15/2029 469,786 1,785,000 Post Holdings, Inc. 4.63% ^ 04/15/2030 1,879,980 715,000 Prime Security Services Borrower LLC 3.38% ^ 08/31/2027 710,531 1,095,000 Prime Security Services Borrower LLC 6.25% ^ 01/15/2028 1,177,125 810,000 Providence Service Corporation 5.88% ^ 11/15/2025 858,094 5,905,000 Prudential Financial, Inc. 3.91% 12/07/2047 7,107,299 10,235,000 PSEG Power LLC 3.85% 06/01/2023 11,018,576 1,280,000 QEP Resources, Inc. 5.25% 05/01/2023 1,349,120 1,175,000 QEP Resources, Inc. 5.63% 03/01/2026 1,290,649 105,000 Rackspace Technology Global, Inc. 5.38% ^ 12/01/2028 110,205 950,000 Radiate Finance, Inc. 4.50% ^ 09/15/2026 982,063 355,000 Radiate Finance, Inc. 6.50% ^ 09/15/2028 373,416 1,520,000 Radiology Partners, Inc. 9.25% ^ 02/01/2028 1,714,256 940,000 Rattler Midstream LP 5.63% ^ 07/15/2025 994,638 895,000 Realogy Group LLC 7.63% ^ 06/15/2025 973,075 1,905,000 Resideo Funding, Inc. 6.13% ^ 11/01/2026 2,009,775 663,000 Riverbed Technology, Inc. 8.88% ^ 03/01/2023 457,470 16,420,000 Roper Technologies, Inc. 1.75% 02/15/2031 16,361,860 8,145,000 Royalty Pharma PLC 3.30% ^ 09/02/2040 8,576,696 1,410,000 RP Escrow Issuer LLC 5.25% ^ 12/15/2025 1,476,510 6,428,000 Sabine Pass Liquefaction LLC 5.00% 03/15/2027 7,582,225 655,000 Sabre Global, Inc. 9.25% ^ 04/15/2025 780,269 3,520,000 Schlumberger Investment S.A. 2.65% 06/26/2030 3,770,718 1,580,000 Schweitzer-Mauduit International, Inc. 6.88% ^ 10/01/2026 1,680,425 590,000 Science Applications International Corporation 4.88% ^ 04/01/2028 626,415 1,820,000 Scientific Games International, Inc. 5.00% ^ 10/15/2025 1,880,315 735,000 Scientific Games International, Inc. 8.25% ^ 03/15/2026 793,289 1,450,000 Scotts Miracle-Gro Company 4.50% 10/15/2029 1,566,950 440,000 Scripps Escrow, Inc. 3.88% ^ 01/15/2029 459,523 1,145,000 Scripps Escrow, Inc. 5.88% ^ 07/15/2027 1,197,613 600,000 Seagate HDD Cayman 3.38% ^ 07/15/2031 604,371 1,900,000 SEG Holding LLC 5.63% ^ 10/15/2028 2,009,250 2,895,000 Select Medical Corporation 6.25% ^ 08/15/2026 3,122,142 13,839,000 Shire Acquisitions Investments Ireland DAC 2.88% 09/23/2023 14,681,572 2,022,000 Silgan Holdings, Inc. 4.13% 02/01/2028 2,105,408 1,722,000 Simon Property Group LP 2.45% 09/13/2029 1,810,674 1,395,000 Sirius XM Radio, Inc. 5.38% ^ 07/15/2026 1,457,775 1,100,000 Sirius XM Radio, Inc. 5.50% ^ 07/01/2029 1,212,406 690,000 Sirius XM Radio, Inc. 4.13% ^ 07/01/2030 735,281 2,520,000 Six Flags Entertainment Corporation 4.88% ^ 07/31/2024 2,531,390 840,000 Six Flags Theme Parks, Inc. 7.00% ^ 07/01/2025 908,775 12,656,000 Smithfield Foods, Inc. 4.25% ^ 02/01/2027 14,079,954 7,820,000 Southwest Airlines Company 4.75% 05/04/2023 8,501,770 1,230,000 Spectrum Brands, Inc. 5.00% ^ 10/01/2029 1,323,972 850,000 Springleaf Finance Corporation 6.88% 03/15/2025 988,656 280,000 Springleaf Finance Corporation 7.13% 03/15/2026 331,451 390,000 Springleaf Finance Corporation 6.63% 01/15/2028 463,784 825,000 Springleaf Finance Corporation 5.38% 11/15/2029 930,188 3,965,000 Sprint Capital Corporation 6.88% 11/15/2028 5,235,208 1,175,000 Staples, Inc. 7.50% ^ 04/15/2026 1,228,980 500,000 Staples, Inc. 10.75% ^ 04/15/2027 498,125 1,745,000 Stevens Holding Company, Inc. 6.13% ^ 10/01/2026 1,890,812 2,608,000 SunCoke Energy Partners Finance Corporation 7.50% ^ 06/15/2025 2,593,852 1,910,000 Sunoco LP 5.50% 02/15/2026 1,964,550 1,010,000 Sunoco LP 6.00% 04/15/2027 1,074,913 475,000 Sunoco LP 4.50% ^ 05/15/2029 494,891 700,000 Switch Ltd. 3.75% ^ 09/15/2028 711,813 12,810,000 Synchrony Financial 3.95% 12/01/2027 14,370,938 11,135,000 Sysco Corporation 3.30% 02/15/2050 11,676,819 800,000 Targa Resources Partners Finance Corporation 6.50% 07/15/2027 870,000 2,090,000 Targa Resources Partners Finance Corporation 4.88% ^ 02/01/2031 2,270,785 14,277,000 Target Corporation 3.38% 04/15/2029 16,740,488 3,600,000 Tempo Acquisition LLC 6.75% ^ 06/01/2025 3,725,280 3,115,000 Tempur Sealy International, Inc. 5.50% 06/15/2026 3,245,674 1,800,000 Tenet Healthcare Corporation 4.88% ^ 01/01/2026 1,885,230 1,930,000 Tenet Healthcare Corporation 6.25% ^ 02/01/2027 2,048,492 750,000 Tenet Healthcare Corporation 5.13% ^ 11/01/2027 795,938 2,200,000 Tenet Healthcare Corporation 6.13% ^ 10/01/2028 2,300,166 520,000 Terrier Media Buyer, Inc. 8.88% ^ 12/15/2027 574,275 3,715,000 Texas Instruments, Inc. 1.75% 05/04/2030 3,857,065 9,425,000 The Interpublic Group of Companies, Inc. 5.40% 10/01/2048 12,924,802 7,375,000 T-Mobile USA, Inc. 3.50% ^ 04/15/2025 8,156,603 110,000 Townsquare Media, Inc. 6.88% ^ 02/01/2026 115,530 340,000 TransDigm, Inc. 8.00% ^ 12/15/2025 376,581 2,205,000 TransDigm, Inc. 6.25% ^ 03/15/2026 2,351,092 1,365,000 TransDigm, Inc. 6.38% 06/15/2026 1,415,334 1,190,000 TransDigm, Inc. 5.50% 11/15/2027 1,252,832 2,120,000 Transocean Poseidon Ltd. 6.88% ^ 02/01/2027 1,934,500 1,284,000 Transocean Proteus Ltd. 6.25% ^ 12/01/2024 1,211,775 475,000 Transocean, Inc. 11.50% ^ 01/30/2027 340,516 1,320,000 Trident TPI Holdings, Inc. 6.63% ^ 11/01/2025 1,344,611 495,000 Triumph Group, Inc. 6.25% ^ 09/15/2024 491,906 992,000 Triumph Group, Inc. 7.75% 08/15/2025 910,160 2,355,000 Twin River Worldwide Holdings, Inc. 6.75% ^ 06/01/2027 2,530,153 1,265,000 Uber Technologies, Inc. 8.00% ^ 11/01/2026 1,379,641 700,000 Uber Technologies, Inc. 7.50% ^ 09/15/2027 770,875 1,165,000 United Natural Foods, Inc. 6.75% ^ 10/15/2028 1,220,314 1,270,000 United Rentals North America, Inc. 4.00% 07/15/2030 1,338,263 215,000 United Rentals North America, Inc. 3.88% 02/15/2031 225,949 1,185,000 Univision Communications, Inc. 6.63% ^ 06/01/2027 1,274,793 4,490,000 Upjohn, Inc. 1.65% ^ 06/22/2025 4,644,834 130,000 US Foods, Inc. 6.25% ^ 04/15/2025 139,111 3,040,000 USA Compression Partners LP 6.88% 09/01/2027 3,250,581 1,000,000 Verizon Communications, Inc. 3.15% 03/22/2030 1,121,743 12,882,000 Verizon Communications, Inc. 4.40% 11/01/2034 16,081,474 2,365,000 Verscend Escrow Corporation 9.75% ^ 08/15/2026 2,567,503 1,400,000 ViaSat, Inc. 6.50% ^ 07/15/2028 1,517,257 220,000 VICI Properties LP 3.75% ^ 02/15/2027 225,328 1,110,000 VICI Properties LP 4.13% ^ 08/15/2030 1,173,137 440,000 Viking Cruises Ltd. 13.00% ^ 05/15/2025 526,625 3,150,000 Viking Cruises Ltd. 5.88% ^ 09/15/2027 3,086,539 570,000 Vine Oil & Gas Finance Corporation 8.75% ^ 04/15/2023 456,000 1,215,000 Viper Energy Partners LP 5.38% ^ 11/01/2027 1,271,728 1,320,000 Vizient, Inc. 6.25% ^ 05/15/2027 1,423,699 1,255,000 Waste Pro, Inc. 5.50% ^ 02/15/2026 1,286,883 68,000 Weatherford International Ltd. 11.00% ^ 12/01/2024 53,210 6,905,000 Wells Fargo & Company (3 Month LIBOR USD + 1.17%) 3.20% 06/17/2027 7,659,334 5,900,000 Wells Fargo & Company (3 Month LIBOR USD + 1.17%) 2.88% 10/30/2030 6,438,530 2,120,000 West Street Merger Sub, Inc. 6.38% ^ 09/01/2025 2,176,975 1,340,000 Western Midstream Operating LP 4.10% 02/01/2025 1,383,094 1,400,000 Western Midstream Operating LP 5.05% 02/01/2030 1,559,369 725,000 WeWork Cos, Inc. 7.88% ^ 05/01/2025 490,742 1,600,000 William Carter Company 5.63% ^ 03/15/2027 1,687,000 11,740,000 Willis North America, Inc. 4.50% 09/15/2028 14,162,526 1,050,000 Wolverine Escrow LLC 9.00% ^ 11/15/2026 995,846 1,430,000 WPX Energy, Inc. 5.25% 10/15/2027 1,517,673 1,045,000 WPX Energy, Inc. 5.88% 06/15/2028 1,140,409 805,000 WPX Energy, Inc. 4.50% 01/15/2030 854,508 13,095,000 WRKCo, Inc. 3.75% 03/15/2025 14,603,302 1,215,000 Wyndham Hotels & Resorts 4.38% ^ 08/15/2028 1,264,724 845,000 XHR LP 6.38% ^ 08/15/2025 893,059 610,000 Yum! Brands, Inc. 7.75% ^ 04/01/2025 676,338 1,245,000 Yum! Brands, Inc. 4.75% ^ 01/15/2030 1,367,010 1,125,000 Yum! Brands, Inc. 3.63% 03/15/2031 1,138,590

Total US Corporate Bonds (Cost $1,530,157,968) 1,670,464,854

US Government and Agency Mortgage Backed Obligations - 19.5% 454,184 Federal Home Loan Mortgage Corporation, Pool G01840 5.00% 07/01/2035 528,266 242,946 Federal Home Loan Mortgage Corporation, Pool G04817 5.00% 09/01/2038 282,578 9,944,456 Federal Home Loan Mortgage Corporation, Pool G08537 3.00% 07/01/2043 10,578,404 6,366,942 Federal Home Loan Mortgage Corporation, Pool G08622 3.00% 01/01/2045 6,719,868 6,101,481 Federal Home Loan Mortgage Corporation, Pool G08686 3.00% 01/01/2046 6,421,850 23,983,061 Federal Home Loan Mortgage Corporation, Pool G08701 3.00% 04/01/2046 25,245,395 1,465,435 Federal Home Loan Mortgage Corporation, Pool G08737 3.00% 12/01/2046 1,544,587 23,095,717 Federal Home Loan Mortgage Corporation, Pool G61645 4.00% 10/01/2048 24,662,504 1,606,335 Federal Home Loan Mortgage Corporation, Pool N70081 5.50% 07/01/2038 1,828,331 7,433,676 Federal Home Loan Mortgage Corporation, Pool Q33789 3.50% 06/01/2045 8,167,263 30,000,000 Federal Home Loan Mortgage Corporation, Pool RB5094 1.50% 01/01/2041 30,647,112 7,860,590 Federal Home Loan Mortgage Corporation, Pool RC1060 2.50% 09/01/2034 8,422,245 21,178,750 Federal Home Loan Mortgage Corporation, Pool RE6066 2.00% 10/01/2050 21,765,607 11,854,609 Federal Home Loan Mortgage Corporation, Pool SB0048 3.00% 08/01/2034 12,601,874 33,446,124 Federal Home Loan Mortgage Corporation, Pool SD0035 3.00% 04/01/2047 35,328,551 55,220,297 Federal Home Loan Mortgage Corporation, Pool SD8107 2.50% 11/01/2050 58,269,650 2,049,500 Federal Home Loan Mortgage Corporation, Pool T60854 3.50% 09/01/2042 2,145,480 328,786 Federal Home Loan Mortgage Corporation, Pool U60299 4.00% 11/01/2040 356,171 8,812,697 Federal Home Loan Mortgage Corporation, Pool V83144 4.00% 04/01/2047 9,469,233 23,159,376 Federal Home Loan Mortgage Corporation, Pool ZT1827 3.00% 07/01/2047 24,343,378 49,600 Federal Home Loan Mortgage Corporation, Series 2692-SC (-2 x 1 Month LIBOR USD + 13.29%, 13.29% Cap) 12.97% I/F 07/15/2033 67,492 1,356,639 Federal Home Loan Mortgage Corporation, Series 2722-PS (-1 x 1 Month LIBOR USD + 9.89%, 9.89% Cap) 9.71% I/F 12/15/2033 1,730,422 66,144 Federal Home Loan Mortgage Corporation, Series 2750-ZT 5.00% 02/15/2034 75,015 143,204 Federal Home Loan Mortgage Corporation, Series 3002-SN (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) 6.34% I/F I/O 07/15/2035 28,542 65,735 Federal Home Loan Mortgage Corporation, Series 3045-DI (-1 x 1 Month LIBOR USD + 6.73%, 6.73% Cap) 6.57% I/F I/O 10/15/2035 11,608 219,166 Federal Home Loan Mortgage Corporation, Series 3116-Z 5.50% 02/15/2036 251,860 19,561 Federal Home Loan Mortgage Corporation, Series 3117-ZN 4.50% 02/15/2036 21,033 269,233 Federal Home Loan Mortgage Corporation, Series 3203-ZC 5.00% 07/15/2036 309,077 84,041 Federal Home Loan Mortgage Corporation, Series 3275-SC (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap) 5.92% I/F I/O 02/15/2037 12,853 199,063 Federal Home Loan Mortgage Corporation, Series 3382-SB (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.84% I/F I/O 11/15/2037 27,697 174,078 Federal Home Loan Mortgage Corporation, Series 3384-S (-1 x 1 Month LIBOR USD + 6.39%, 6.39% Cap) 6.23% I/F I/O 11/15/2037 24,221 265,841 Federal Home Loan Mortgage Corporation, Series 3417-SX (-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap) 6.02% I/F I/O 02/15/2038 35,156 32,489 Federal Home Loan Mortgage Corporation, Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap) 5.49% I/F I/O 03/15/2038 4,070 32,489 Federal Home Loan Mortgage Corporation, Series 3423-SG (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap) 5.49% I/F I/O 03/15/2038 4,059 101,903 Federal Home Loan Mortgage Corporation, Series 3524-LB 3.51% I/OP/O 06/15/2038 109,792 13,771,949 Federal Home Loan Mortgage Corporation, Series 355-300 3.00% 08/15/2047 14,762,298 94,106 Federal Home Loan Mortgage Corporation, Series 3562-WS (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap) 4.79% I/F I/O 08/15/2039 12,341 150,817 Federal Home Loan Mortgage Corporation, Series 3582-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.84% I/F I/O 10/15/2049 25,734 44,440,961 Federal Home Loan Mortgage Corporation, Series 358-300 3.00% 10/15/2047 46,530,308 183,418 Federal Home Loan Mortgage Corporation, Series 3616-SG (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap) 6.19% I/F I/O 03/15/2032 29,907 752,494 Federal Home Loan Mortgage Corporation, Series 3626-AZ 5.50% 08/15/2036 874,022 249,161 Federal Home Loan Mortgage Corporation, Series 3666-SC (-1 x 1 Month LIBOR USD + 5.77%, 5.77% Cap) 5.61% I/F I/O 05/15/2040 50,252 192,685 Federal Home Loan Mortgage Corporation, Series 3666-VZ 5.50% 08/15/2036 222,184 2,069,829 Federal Home Loan Mortgage Corporation, Series 3779-DZ 4.50% 12/15/2040 2,272,644 1,133,496 Federal Home Loan Mortgage Corporation, Series 3779-YA 3.50% 12/15/2030 1,229,854 385,000 Federal Home Loan Mortgage Corporation, Series 3786-SG (-2 x 1 Month LIBOR USD + 9.50%, 9.50% Cap) 9.18% I/F 01/15/2041 428,138 4,849,490 Federal Home Loan Mortgage Corporation, Series 3792-SE (-2 x 1 Month LIBOR USD + 9.86%, 9.86% Cap) 9.54% I/F 01/15/2041 5,289,846 1,690,329 Federal Home Loan Mortgage Corporation, Series 3795-VZ 4.00% 01/15/2041 1,831,397 20,152 Federal Home Loan Mortgage Corporation, Series 3798-SD (-2 x 1 Month LIBOR USD + 9.60%, 9.60% Cap) 9.28% I/F 12/15/2040 20,648 752,969 Federal Home Loan Mortgage Corporation, Series 3806-CZ 5.50% 07/15/2034 873,440 756,381 Federal Home Loan Mortgage Corporation, Series 3808-DB 3.50% 02/15/2031 815,531 1,539,043 Federal Home Loan Mortgage Corporation, Series 3818-CZ 4.50% 03/15/2041 1,748,344 788,750 Federal Home Loan Mortgage Corporation, Series 3819-ZU 5.50% 07/15/2034 916,387 2,418,921 Federal Home Loan Mortgage Corporation, Series 3824-EY 3.50% 03/15/2031 2,623,933 251,282 Federal Home Loan Mortgage Corporation, Series 3828-SW (-3 x 1 Month LIBOR USD + 13.20%, 13.20% Cap) 12.72% I/F 02/15/2041 395,165 1,196,389 Federal Home Loan Mortgage Corporation, Series 3863-ZA 5.50% 08/15/2034 1,368,398 6,158,983 Federal Home Loan Mortgage Corporation, Series 3889-VZ 4.00% 07/15/2041 6,730,249 3,109,998 Federal Home Loan Mortgage Corporation, Series 3910-GZ 5.00% 08/15/2041 3,647,901 24,532,106 Federal Home Loan Mortgage Corporation, Series 3967-ZP 4.00% > 09/15/2041 28,211,142 2,474,751 Federal Home Loan Mortgage Corporation, Series 3972-AZ 3.50% 12/15/2041 2,705,594 9,997,222 Federal Home Loan Mortgage Corporation, Series 4096-DZ 3.50% > 08/15/2042 10,753,215 22,224,289 Federal Home Loan Mortgage Corporation, Series 4165-ZT 3.00% 02/15/2043 22,395,916 4,094,186 Federal Home Loan Mortgage Corporation, Series 4291-MS (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap) 5.74% I/F I/O 01/15/2054 727,404 20,061,134 Federal Home Loan Mortgage Corporation, Series 4341-AZ 3.00% > 05/15/2044 21,096,517 4,194,694 Federal Home Loan Mortgage Corporation, Series 4377-A 3.00% 06/15/2039 4,229,886 4,357,469 Federal Home Loan Mortgage Corporation, Series 4391-MA 3.00% 07/15/2040 4,420,850 14,641,055 Federal Home Loan Mortgage Corporation, Series 4413-AZ 3.50% 11/15/2044 15,481,494 12,333,010 Federal Home Loan Mortgage Corporation, Series 4423-Z 3.50% > 12/15/2044 13,050,730 8,781,612 Federal Home Loan Mortgage Corporation, Series 4427-MA 3.00% 02/15/2034 9,288,341 10,473,747 Federal Home Loan Mortgage Corporation, Series 4471-BA 3.00% 12/15/2041 10,803,228 22,248,036 Federal Home Loan Mortgage Corporation, Series 4471-GA 3.00% 02/15/2044 23,342,092 9,814,318 Federal Home Loan Mortgage Corporation, Series 4481-B 3.00% 12/15/2042 10,064,353 467,894 Federal Home Loan Mortgage Corporation, Series 4511-QA 3.00% 01/15/2041 467,993 32,600,879 Federal Home Loan Mortgage Corporation, Series 4542-AC 2.70% 01/15/2045 34,322,596 43,092,106 Federal Home Loan Mortgage Corporation, Series 4750-PA 3.00% 07/15/2046 44,370,563 32,718,130 Federal Home Loan Mortgage Corporation, Series 4752-PL 3.00% 09/15/2046 34,082,914 2,180,000 Federal Home Loan Mortgage Corporation, Series 4951-EA 2.50% 09/15/2044 2,297,034 288,547 Federal Home Loan Mortgage Corporation, Series R003-ZA 5.50% 10/15/2035 335,975 200,000,000 Federal National Mortgage Association 1.50% 01/15/2051 202,054,430 200,000,000 Federal National Mortgage Association 2.00% 01/15/2051 207,741,930 90,206 Federal National Mortgage Association Pass-Thru, Pool 555743 5.00% 09/01/2033 103,995 76,453 Federal National Mortgage Association Pass-Thru, Pool 735382 5.00% 04/01/2035 88,854 619,738 Federal National Mortgage Association Pass-Thru, Pool 735383 5.00% 04/01/2035 719,731 309,582 Federal National Mortgage Association Pass-Thru, Pool 735402 5.00% 04/01/2035 359,521 436,544 Federal National Mortgage Association Pass-Thru, Pool 735484 5.00% 05/01/2035 507,004 96,408 Federal National Mortgage Association Pass-Thru, Pool 931104 5.00% 05/01/2039 107,454 523,722 Federal National Mortgage Association Pass-Thru, Pool 995203 5.00% 07/01/2035 607,106 492,734 Federal National Mortgage Association Pass-Thru, Pool AB2123 4.00% 01/01/2031 530,965 35,629 Federal National Mortgage Association Pass-Thru, Pool AB2370 4.50% 09/01/2035 38,023 18,011 Federal National Mortgage Association Pass-Thru, Pool AD2177 4.50% 06/01/2030 19,665 819,016 Federal National Mortgage Association Pass-Thru, Pool AH7309 4.00% 02/01/2031 882,561 14,573,802 Federal National Mortgage Association Pass-Thru, Pool AS4645 3.00% 03/01/2045 15,347,882 8,680,002 Federal National Mortgage Association Pass-Thru, Pool BC0785 3.50% 04/01/2046 9,534,949 340,929 Federal National Mortgage Association Pass-Thru, Pool MA0264 4.50% 12/01/2029 372,701 247,117 Federal National Mortgage Association Pass-Thru, Pool MA0353 4.50% 03/01/2030 270,149 9,497 Federal National Mortgage Association Pass-Thru, Pool MA0468 5.00% 07/01/2040 10,331 5,980,002 Federal National Mortgage Association Pass-Thru, Pool MA2151 3.50% 01/01/2045 6,249,617 3,461,037 Federal National Mortgage Association Pass-Thru, Pool MA2248 3.00% 04/01/2045 3,584,799 8,784,227 Federal National Mortgage Association, Pool AL9238 3.00% 10/01/2041 9,273,972 2,134,059 Federal National Mortgage Association, Pool AL9445 3.00% 07/01/2031 2,291,082 18,877,007 Federal National Mortgage Association, Pool AS7661 3.00% 08/01/2046 19,573,663 6,001,464 Federal National Mortgage Association, Pool AS7724 2.50% 08/01/2046 6,399,642 17,586,682 Federal National Mortgage Association, Pool BC9081 3.00% 12/01/2046 19,099,191 14,879,020 Federal National Mortgage Association, Pool BD8013 2.50% 09/01/2046 15,904,024 4,800,000 Federal National Mortgage Association, Pool BL3973 2.32% 10/01/2031 5,196,854 3,050,635 Federal National Mortgage Association, Pool BL4357 2.31% 10/01/2029 3,315,575 12,425,000 Federal National Mortgage Association, Pool BL4409 2.39% 10/01/2031 13,538,737 15,640,000 Federal National Mortgage Association, Pool BL4419 2.14% 10/01/2029 16,915,060 39,950,000 Federal National Mortgage Association, Pool BL4421 2.14% 10/01/2029 43,105,659 25,972,000 Federal National Mortgage Association, Pool BL4424 2.14% 10/01/2029 28,023,534 28,707,000 Federal National Mortgage Association, Pool BL4425 2.14% 10/01/2029 30,974,572 32,930,000 Federal National Mortgage Association, Pool BL4592 2.28% 11/01/2029 35,791,392 49,345,000 Federal National Mortgage Association, Pool BL5156 2.37% 12/01/2029 54,016,573 18,090,000 Federal National Mortgage Association, Pool BL5484 2.26% 01/01/2030 19,717,286 4,900,000 Federal National Mortgage Association, Pool BL9284 2.23% 12/01/2050 4,955,924 4,273,504 Federal National Mortgage Association, Pool BM4094 3.00% 03/01/2043 4,523,331 23,579,108 Federal National Mortgage Association, Pool BM6089 3.50% 12/01/2044 25,766,894 12,415,591 Federal National Mortgage Association, Pool BN7712 2.50% 08/01/2034 13,228,214 17,221,884 Federal National Mortgage Association, Pool CA3903 3.00% 07/01/2034 18,301,322 12,085,832 Federal National Mortgage Association, Pool CA4508 2.50% 11/01/2034 12,917,029 109,286,195 Federal National Mortgage Association, Pool CA7743 2.50% 11/01/2050 117,639,836 22,357,980 Federal National Mortgage Association, Pool FM1000 3.00% 04/01/2047 23,456,642 5,894,245 Federal National Mortgage Association, Pool MA2621 3.50% 05/01/2046 6,153,137 10,269,620 Federal National Mortgage Association, Pool MA2649 3.00% 06/01/2046 10,604,764 4,533,485 Federal National Mortgage Association, Pool MA2711 3.00% 08/01/2046 4,681,276 21,991,075 Federal National Mortgage Association, Pool MA2806 3.00% 11/01/2046 23,227,247 13,014,452 Federal National Mortgage Association, Pool MA4123 2.00% 09/01/2035 13,607,895 9,368,144 Federal National Mortgage Association, Pool MA4152 2.00% 10/01/2040 9,754,028 12,281,172 Federal National Mortgage Association, Pool MA4154 1.50% 10/01/2035 12,638,681 13,342,619 Federal National Mortgage Association, Pool MA4158 2.00% 10/01/2050 13,863,493 101,513,758 Federal National Mortgage Association, Pool MA4165 2.00% 10/01/2050 104,329,477 38,428,848 Federal National Mortgage Association, Pool SD8097 2.00% 08/01/2050 39,929,047 202,557 Federal National Mortgage Association, Series 2003-W17-1A7 5.75% 08/25/2033 232,693 1,503,624 Federal National Mortgage Association, Series 2005-20-QH 5.00% 03/25/2035 1,719,481 273,363 Federal National Mortgage Association, Series 2006-101-SA (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap) 6.43% I/F I/O 10/25/2036 60,120 117,001 Federal National Mortgage Association, Series 2006-56-SM (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) 6.60% I/F I/O 07/25/2036 24,532 84,772 Federal National Mortgage Association, Series 2007-116-BI (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 05/25/2037 12,878 1,093,273 Federal National Mortgage Association, Series 2007-30-FS (-5 x 1 Month LIBOR USD + 29.83%, 29.83% Cap) 29.14% I/F 04/25/2037 1,871,124 425,101 Federal National Mortgage Association, Series 2007-30-OI (-1 x 1 Month LIBOR USD + 6.44%, 6.44% Cap) 6.29% I/F I/O 04/25/2037 93,518 73,648 Federal National Mortgage Association, Series 2008-29-ZA 4.50% 04/25/2038 81,054 36,497 Federal National Mortgage Association, Series 2008-62-SC (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 07/25/2038 4,823 355,347 Federal National Mortgage Association, Series 2009-111-EZ 5.00% 01/25/2040 407,999 10,512 Federal National Mortgage Association, Series 2009-111-SE (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 01/25/2040 1,846 48,315 Federal National Mortgage Association, Series 2009-16-MZ 5.00% 03/25/2029 53,630 44,105 Federal National Mortgage Association, Series 2009-48-WS (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap) 5.80% I/F I/O 07/25/2039 7,791 142,539 Federal National Mortgage Association, Series 2009-62-PS (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) 5.95% I/F I/O 08/25/2039 18,442 779,465 Federal National Mortgage Association, Series 2009-77-ZA 4.50% 10/25/2039 855,602 207,559 Federal National Mortgage Association, Series 2009-83-Z 4.50% 10/25/2039 226,985 64,260 Federal National Mortgage Association, Series 2010-101-ZH 4.50% 07/25/2040 68,258 247,894 Federal National Mortgage Association, Series 2010-112-ZA 4.00% 10/25/2040 258,143 169,521 Federal National Mortgage Association, Series 2010-121-SD (-1 x 1 Month LIBOR USD + 4.50%, 4.50% Cap) 4.35% I/F I/O 10/25/2040 22,284 29,336 Federal National Mortgage Association, Series 2010-137-VS (-3 x 1 Month LIBOR USD + 15.00%, 15.00% Cap) 14.54% I/F 12/25/2040 44,109 36,084 Federal National Mortgage Association, Series 2010-31-SA (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) 4.85% I/F I/O 04/25/2040 3,823 37,826 Federal National Mortgage Association, Series 2010-34-PS (-1 x 1 Month LIBOR USD + 4.93%, 4.93% Cap) 4.78% I/F I/O 04/25/2040 4,443 137,465 Federal National Mortgage Association, Series 2010-35-SP (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap) 6.20% I/F I/O 04/25/2050 23,298 19,775 Federal National Mortgage Association, Series 2010-35-SV (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap) 6.30% I/F I/O 04/25/2040 3,050 1,316,629 Federal National Mortgage Association, Series 2010-37-MY 4.50% 04/25/2040 1,407,534 174,837 Federal National Mortgage Association, Series 2010-59-SC (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) 4.85% I/F I/O 01/25/2040 28,203 451,858 Federal National Mortgage Association, Series 2010-60-VZ 5.00% 10/25/2039 515,997 147,360 Federal National Mortgage Association, Series 2010-64-EZ 5.00% 06/25/2040 169,211 216,892 Federal National Mortgage Association, Series 2010-7-PE 5.00% 02/25/2040 248,647 85,629 Federal National Mortgage Association, Series 2010-90-GS (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.85% I/F I/O 08/25/2040 11,377 48,167 Federal National Mortgage Association, Series 2010-99-SG (-5 x 1 Month LIBOR USD + 25.00%, 25.00% Cap) 24.23% I/F 09/25/2040 83,724 3,055,228 Federal National Mortgage Association, Series 2011-141-PZ 4.00% 01/25/2042 3,322,728 711,086 Federal National Mortgage Association, Series 2011-25-KY 3.00% 04/25/2026 740,792 671,985 Federal National Mortgage Association, Series 2011-29-AL 3.50% 04/25/2031 722,124 766,917 Federal National Mortgage Association, Series 2011-59-MA 4.50% 07/25/2041 855,058 26,988,543 Federal National Mortgage Association, Series 2013-45-LZ 3.00% > 05/25/2043 29,481,011 34,655,002 Federal National Mortgage Association, Series 2013-6-ZB 3.00% > 02/25/2043 35,137,347 3,168,256 Federal National Mortgage Association, Series 2014-55-MA 3.00% 10/25/2039 3,197,466 27,767,480 Federal National Mortgage Association, Series 2014-70-VZ 3.00% > 11/25/2044 30,019,273 9,294,803 Federal National Mortgage Association, Series 2014-73-CZ 3.00% > 11/25/2044 10,111,953 14,772,957 Federal National Mortgage Association, Series 2015-9-HA 3.00% 01/25/2045 15,863,439 6,505,350 Federal National Mortgage Association, Series 2016-55-EA 1.75% 07/25/2043 6,648,488 5,317,977 Federal National Mortgage Association, Series 2017-46-ZL 3.50% > 06/25/2057 6,107,701 2,437,141 Federal National Mortgage Association, Series 2017-86-MA 3.00% 04/25/2046 2,536,999 28,043,857 Federal National Mortgage Association, Series 2018-21-IO 3.00% I/O 04/25/2048 2,194,911 44,122,313 Federal National Mortgage Association, Series 2018-21-PO 0.00% P/O 04/25/2048 40,729,665 29,092,127 Federal National Mortgage Association, Series 2018-27-JA 3.00% 12/25/2047 30,524,102 20,322,815 Federal National Mortgage Association, Series 2018-35-IO 3.00% I/O 05/25/2048 1,163,630 77,963,513 Federal National Mortgage Association, Series 2018-35-PO 0.00% P/O 05/25/2048 73,914,112 30,039,257 Federal National Mortgage Association, Series 2018-36-A 3.00% 06/25/2048 31,618,685 19,280,281 Federal National Mortgage Association, Series 2018-39-AB 3.00% 06/25/2048 20,342,544 6,431,781 Federal National Mortgage Association, Series 2019-67-GA 3.00% 02/25/2045 6,682,492 192,939 Federal National Mortgage Association, Series 400-S4 (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap) 5.30% I/F I/O 11/25/2039 36,330 158,120 Government National Mortgage Association, Pool 752494 5.50% 09/20/2039 175,133 157,919 Government National Mortgage Association, Series 2003-67-SP (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap) 6.95% I/F I/O 08/20/2033 28,484 83,487 Government National Mortgage Association, Series 2008-82-SM (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.90% I/F I/O 09/20/2038 10,915 1,122,460 Government National Mortgage Association, Series 2009-32-ZE 4.50% 05/16/2039 1,237,427 1,300,580 Government National Mortgage Association, Series 2009-35-DZ 4.50% 05/20/2039 1,414,982 1,272,650 Government National Mortgage Association, Series 2009-75-GZ 4.50% 09/20/2039 1,383,546 1,577,108 Government National Mortgage Association, Series 2009-75-HZ 5.00% 09/20/2039 1,800,266 4,027,159 Government National Mortgage Association, Series 2010-113-SM (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.90% I/F I/O 09/20/2040 793,666 144,287 Government National Mortgage Association, Series 2010-25-ZB 4.50% > 02/16/2040 161,238 2,715,391 Government National Mortgage Association, Series 2011-45-GZ 4.50% 03/20/2041 2,917,181 6,948,276 Government National Mortgage Association, Series 2011-71-ZA 4.50% 02/20/2041 7,777,502 6,439,542 Government National Mortgage Association, Series 2013-117-MS (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) 6.00% I/F I/O 02/20/2043 718,559 3,793,360 Government National Mortgage Association, Series 2013-122-SB (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) 5.95% I/F I/O 08/16/2043 667,372 15,718,158 Government National Mortgage Association, Series 2013-169-SE (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.90% I/F I/O 11/16/2043 3,135,018 5,650,865 Government National Mortgage Association, Series 2014-102-TS (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) 5.45% I/F I/O 07/20/2044 1,013,760 4,741,824 Government National Mortgage Association, Series 2014-118-PS (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap) 6.05% I/F I/O 08/20/2044 853,770 4,149,096 Government National Mortgage Association, Series 2014-118-SA (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap) 6.05% I/F I/O 08/20/2044 747,048

Total US Government and Agency Mortgage Backed Obligations (Cost $2,193,280,733) 2,294,386,058

US Government and Agency Obligations - 17.8% 14,300,000 United States Treasury Notes 0.25% 11/15/2023 14,340,219 109,900,000 United States Treasury Notes 2.13% 09/30/2024 117,648,808 109,000,000 United States Treasury Notes 2.25% 10/31/2024 117,358,086 67,100,000 United States Treasury Notes 2.75% 02/28/2025 73,962,023 107,550,000 United States Treasury Notes 3.00% 09/30/2025 121,027,359 230,850,000 United States Treasury Notes 0.38% 11/30/2025 231,138,563 18,300,000 United States Treasury Notes 2.63% 01/31/2026 20,381,625 90,300,000 United States Treasury Notes 2.25% 03/31/2026 99,033,703 107,500,000 United States Treasury Notes 1.63% 10/31/2026 114,638,672 129,000,000 United States Treasury Notes 0.50% 06/30/2027 128,440,664 17,550,000 United States Treasury Notes 0.50% 10/31/2027 17,407,406 109,900,000 United States Treasury Notes 2.25% 11/15/2027 121,995,439 320,300,000 United States Treasury Notes 0.63% 11/30/2027 320,149,859 15,000,000 United States Treasury Notes 0.63% 05/15/2030 14,657,813 152,200,000 United States Treasury Notes 0.88% 11/15/2030 151,629,250 67,700,000 United States Treasury Notes 4.75% 02/15/2037 103,118,207 125,400,000 United States Treasury Notes 1.13% 08/15/2040 118,561,781 8,600,000 United States Treasury Notes 2.75% 11/15/2042 10,640,149 73,600,000 United States Treasury Notes 2.75% 11/15/2047 92,204,125 104,700,000 United States Treasury Notes 1.63% 11/15/2050 104,102,883

Total US Government and Agency Obligations (Cost $2,027,354,782) 2,092,436,634

Affiliated Mutual Funds - 10.1% 60,545,035 DoubleLine Global Bond Fund (Class I) 653,280,932 45,674,545 DoubleLine Infrastructure Income Fund (Class I) 485,063,666 5,000,000 DoubleLine Long Duration Total Return Bond Fund (Class I) 53,000,000

Total Affiliated Mutual Funds (Cost $1,122,958,174) 1,191,344,598

Common Stocks - 0.0% 72,582 Foresight Equity * Þ 1,270,904 135,690 Frontera Energy Corporation 350,080 39,969 McDermott International Ltd. * 32,375 23,644 Oasis Petroleum, Inc.* 876,247 24,339 Tapstone Energy Holdings III LLC * Þ 83,483 9,463 Weatherford International PLC * 56,778 37,825 Whiting Petroleum Corporation * 945,625

Total Common Stocks (Cost $14,999,447) 3,615,492

Warrants - 0.0% 995,158 OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00* Þ 0

Total Warrants (Cost $–) 0

Short Term Investments - 4.7% 175,421,290 First American Government Obligations Fund - Class U 0.04% 175,421,290 175,431,097 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% 175,431,097 175,431,097 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% 175,431,097 20,000,000 United States Treasury Bills 0.00% 03/25/2021 19,997,111 9,750,000 United States Treasury Bills 0.00% 05/06/2021 9,747,605

Total Short Term Investments (Cost $556,026,875) 556,028,200

Total Investments - 103.1% (Cost $11,783,065,418) 12,146,725,020 Liabilities in Excess of Other Assets - (3.1)% (364,838,490)

NET ASSETS - 100.0% $11,781,886,530

^ 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.

§ The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2020.

# 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 December 31, 2020.

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.

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.

† Perpetual Maturity

I/O Interest only security

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 December 31, 2020.

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.

> This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of December 31, 2020.

* Non-income producing security

± 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 disclosed is as of December 31, 2020.

& Unfunded or partially unfunded loan commitment. At December 31, 2020, the value of

these securities amounted to $223,197 or 0.0% of net assets.

BRL Brazilian Real

Seven-day yield as of December 31, 2020 SECURITY TYPE BREAKDOWN as a % of Net Assets:

US Government and Agency Mortgage Backed Obligations 19.5% US Government and Agency Obligations 17.8% US Corporate Bonds 14.2% Non-Agency Residential Collateralized Mortgage Obligations 10.2% Affiliated Mutual Funds 10.1% Foreign Corporate Bonds 8.4% Non-Agency Commercial Mortgage Backed Obligations 7.9% Short Term Investments 4.7% Bank Loans 3.6% Collateralized Loan Obligations 2.9% Asset Backed Obligations 2.6% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.1% Municipal Bonds 0.1% Common Stocks 0.0% ~ Warrants 0.0% ~ Other Assets and Liabilities (3.1)%

100.0%

~ Represents less than 0.05% of net assets INVESTMENT BREAKDOWN as a % of Net Assets:

US Government and Agency Mortgage Backed Obligations 19.5% US Government and Agency Obligations 17.8% Non-Agency Residential Collateralized Mortgage Obligations 10.2% Affiliated Mutual Funds 10.1% Non-Agency Commercial Mortgage Backed Obligations 7.9% Short Term Investments 4.7% Banking 4.3% Collateralized Loan Obligations 2.9% Asset Backed Obligations 2.6% Energy 2.6% Utilities 2.2% Healthcare 1.3% Technology 1.2% Telecommunications 1.2% Finance 1.2% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.2% Media 1.1% Pharmaceuticals 0.9% Food Products 0.9% Electronics/Electric 0.8% Insurance 0.7% Transportation 0.6% Automotive 0.6% Retailers (other than Food/Drug) 0.6% Aerospace & Defense 0.6% Diversified Manufacturing 0.5% Real Estate 0.4% Beverage and Tobacco 0.4% Business Equipment and Services 0.4% Chemicals/Plastics 0.4% Mining 0.4% Hotels/Motels/Inns and Casinos 0.4% Food Service 0.3% Building and Development (including Steel/Metals) 0.3% Chemical Products 0.3% Leisure 0.3% Pulp & Paper 0.2% Commercial Services 0.2% Containers and Glass Products 0.2% Construction 0.2% Food/Drug Retailers 0.1% Industrial Equipment 0.1% Consumer Products 0.1% Municipal Bonds 0.1% Environmental Control 0.1% Financial Intermediaries 0.0% ~ Conglomerates 0.0% ~ Cosmetics/Toiletries 0.0% ~ Other Assets and Liabilities (3.1)%

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 December 31, 2020 is as follows:

Change in Dividend Net Realized Unrealized Income Gain (Loss) for the Earned in in the Period the Period Period Value at Ended Ended Ended March 31, Gross Gross Shares Held at Value at December 31, December 31, December 31, Fund 2020 Purchases Sales December 31, 2020 December 31, 2020 2020 2020 2020 DoubleLine Global Bond Fund (Class I) $ 935,717,064 $ - $(330,400,000) 60,545,035 $ 653,280,932 $ 45,005,694 $ 10,325,956 $ 2,958,174 DoubleLine Infrastructure Income Fund (Class I) 436,648,648 - - 45,674,545 485,063,666 48,415,018 10,924,596 - DoubleLine Long Duration Total Return Bond Fund (Class I) 58,750,000 - - 5,000,000 53,000,000 (5,750,000) 4,867,977 -

$1,431,115,712 $ - $(330,400,000) 111,219,580 $ 1,191,344,598 $ 87,670,712 $ 26,118,529 $ 2,958,174

DoubleLine Emerging Markets Fixed Income Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Foreign Corporate Bonds - 78.8% Argentina - 2.3% 7,200,000 Banco Macro S.A. (5 Year Swap Rate USD + 5.46%) 6.75% 11/04/2026 6,246,072 8,345,000 Pampa Energia S.A. 7.50% 01/24/2027 7,421,834 1,000,000 Pampa Energia S.A. 9.13% ^ 04/15/2029 885,000 150,000 Pampa Energia S.A. 9.13% 04/15/2029 132,750 9,785,692 Stoneway Capital Corporation 10.00% W 03/01/2027 4,012,134

18,697,790

Brazil - 5.5% 7,000,000 Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%) 7.75% ^ 02/15/2029 7,631,820 4,800,000 Banco do Brasil S.A. (10 Year CMT Rate + 4.40%) 6.25% † 04/15/2024 4,927,200 8,200,000 Braskem Finance Company (5 Year CMT Rate + 8.22%) 8.50% ^ 01/23/2081 9,138,982 7,631,000 Cosan Overseas Ltd. 8.25% 11/29/2049 7,869,545 7,200,000 CSN Islands Corporation 7.00% † 03/23/2021 7,152,660 2,200,000 CSN Resources S.A. 7.63% ^ 04/17/2026 2,367,750 600,000 CSN Resources S.A. 7.63% 04/17/2026 645,750 1,500,000 Globo Comunicacao e Participacoes S.A. 4.88% ^ 01/22/2030 1,605,015 1,929,352 Invepar Holdings 0.00% WÞ 12/30/2028 82,503 3,600,000 Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.22%) 4.63% ^† 02/27/2025 3,537,036

44,958,261

Chile - 6.3% 3,200,000 AES Gener S.A. 5.00% 07/14/2025 3,392,000 4,300,000 AES Gener S.A. (5 Year CMT Rate + 4.92%) 6.35% 10/07/2079 4,735,375 4,800,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% ^ 03/26/2079 5,340,000 5,400,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% 03/26/2079 6,007,500 4,064,500 Empresa Electrica Angamos S.A. 4.88% 05/25/2029 4,078,970 1,119,472 Empresa Electrica Cochrane SpA 5.50% 05/14/2027 1,183,142 8,240,000 Empresa Electrica Guacolda S.A. 4.56% 04/30/2025 7,437,011 9,500,000 Geopark Ltd. 6.50% 09/21/2024 9,880,000 3,200,000 Geopark Ltd. 5.50% ^ 01/17/2027 3,208,032 5,075,000 Latam Finance Ltd. 6.88% W 04/11/2024 2,600,937 7,200,000 Latam Finance Ltd. 7.00% ^W 03/01/2026 3,648,600

51,511,567

China - 5.9% 2,500,000 Baidu, Inc. 1.72% 04/09/2026 2,539,710 200,000 Baidu, Inc. 3.43% 04/07/2030 221,716 1,400,000 CNPC General Capital Ltd. 1.35% 06/23/2025 1,399,672 4,000,000 CNPC Global Capital Ltd. 1.13% 06/23/2023 4,006,743 200,000 ENN Energy Holdings Ltd. 3.25% 07/24/2022 205,674 9,000,000 JD.com, Inc. 3.38% 01/14/2030 9,793,555 4,700,000 Sinopec Group Overseas Development Ltd. 2.70% ^ 05/13/2030 4,884,468 700,000 State Grid Overseas Investment Ltd. 1.00% 08/05/2025 695,209 700,000 State Grid Overseas Investment Ltd. 3.75% 05/02/2023 746,796 4,720,000 State Grid Overseas Investment Ltd. 3.13% 05/22/2023 4,965,679 250,000 Syngenta Finance N.V. 4.38% 03/28/2042 249,817 700,000 Syngenta Finance N.V. 5.68% ^ 04/24/2048 728,969 8,490,000 Syngenta Finance N.V. 5.68% 04/24/2048 8,841,351 9,300,000 Tencent Holdings Ltd. 2.39% ^ 06/03/2030 9,545,985

48,825,344

Colombia - 6.4% 1,923,000 Banco de Bogota S.A. 5.38% 02/19/2023 2,057,610 9,000,000 Bancolombia S.A. (5 Year CMT Rate + 2.94%) 4.63% 12/18/2029 9,472,590 8,100,000 BBVA Colombia S.A. 4.88% 04/21/2025 8,790,606 9,400,000 Canacol Energy Ltd. 7.25% 05/03/2025 10,087,469 2,000,000 Fideicomiso P.A. Pacifico Tres 8.25% 01/15/2035 2,426,000 1,500,000 Gilex Holding Sarl 8.50% ^ 05/02/2023 1,566,577 4,568,000 Gilex Holding Sarl 8.50% 05/02/2023 4,770,751 400,000 Gran Tierra Energy International Holdings Ltd. 6.25% ^ 02/15/2025 273,004 11,300,000 Gran Tierra Energy International Holdings Ltd. 6.25% 02/15/2025 7,712,363 2,100,000 Gran Tierra Energy International Holdings Ltd. 7.75% ^ 05/23/2027 1,449,021 2,900,000 Grupo Aval Ltd. 4.75% 09/26/2022 3,041,694 1,100,000 Tecnoglass, Inc. 8.20% 01/31/2022 1,150,628

52,798,313

Dominican Republic - 2.2% 7,500,000 AES Andres B.V. 7.95% ^ 05/11/2026 7,771,875 4,000,000 AES Dominicana 7.95% 05/11/2026 4,145,000 1,800,000 Banco de Reservas de la Republica Dominicana 7.00% ^ 02/01/2023 1,885,500 4,000,000 Banco de Reservas de la Republica Dominicana 7.00% 02/01/2023 4,190,000

17,992,375

Guatemala - 0.1% 923,000 Energuate Trust 5.88% 05/03/2027 978,611

Hong Kong - 0.6% 4,500,000 CK Hutchison International Ltd. 2.50% ^ 05/08/2030 4,752,621

India - 8.7% 3,200,000 Adani International Container Terminal Pvt Ltd. 3.00% ^ 02/16/2031 3,215,896 4,432,000 Adani Ports & Special Economic Zone Ltd. 3.95% 01/19/2022 4,535,995 1,100,000 Adani Ports & Special Economic Zone Ltd. 3.38% 07/24/2024 1,145,742 13,225,000 Indian Oil Corporation Ltd. 5.75% 08/01/2023 14,599,859 1,000,000 Network i2i Ltd. (5 Year CMT Rate + 4.28%) 5.65% ^† 01/15/2025 1,065,500 200,000 ONGC Videsh Ltd. 2.88% 01/27/2022 202,840 16,200,000 ONGC Videsh Ltd. 3.75% 07/27/2026 17,585,702 12,290,000 Reliance Industries Ltd. 5.40% 02/14/2022 12,874,415 500,000 Reliance Industries Ltd. 8.25% 01/15/2027 666,282 4,800,000 Vedanta Resources Finance PLC 9.25% ^ 04/23/2026 3,648,000 3,000,000 Vedanta Resources Ltd. 7.13% 05/31/2023 2,469,000 13,100,000 Vedanta Resources Ltd. 6.13% 08/09/2024 9,464,750

71,473,981

Indonesia - 4.3% 400,000 Freeport-McMoRan, Inc. 5.45% 03/15/2043 498,744 7,981,500 LLPL Capital Pte Ltd. 6.88% ^ 02/04/2039 9,444,469 2,400,000 Medco Bell Pte Ltd. 6.38% ^ 01/30/2027 2,461,200 7,900,000 Minejesa Capital B.V. 4.63% 08/10/2030 8,532,474 5,200,000 Minejesa Capital B.V. 5.63% 08/10/2037 5,729,334 7,256,000 Star Energy Geothermal Wayang Windu Ltd. 6.75% 04/24/2033 8,227,832

34,894,053

Israel - 0.6% 1,300,000 Delek & Avner Tamar Bond Ltd. 5.08% ^ 12/30/2023 1,352,818 2,320,000 Delek & Avner Tamar Bond Ltd. 5.41% ^ 12/30/2025 2,440,121 1,000,000 Israel Electric Corporation Ltd. 5.00% ^ 11/12/2024 1,132,205

4,925,144

Jamaica - 0.2% 3,043,580 Digicel Group Ltd. (PIK 7.00%) 7.00% ^† 01/19/2021 852,203 2,041,210 Digicel Group Ltd. (PIK 8.00%) 8.00% ^ 04/01/2025 1,071,635

1,923,838

Korea - 3.0% 1,400,000 Korea East-West Power Company Ltd. 1.75% ^ 05/06/2025 1,463,797 3,400,000 Korea Electric Power Corporation 1.13% ^ 06/15/2025 3,459,218 4,500,000 NongHyup Bank 1.25% ^ 07/20/2025 4,588,516 2,200,000 POSCO 2.38% 11/12/2022 2,263,980 4,200,000 POSCO 2.38% 01/17/2023 4,332,722 5,800,000 POSCO 2.75% 07/15/2024 6,139,535 1,900,000 Woori Bank (5 Year CMT Rate + 2.66%) 4.25% † 10/04/2024 1,988,623

24,236,391

Kuwait - 1.3% 7,200,000 MEGlobal Canada ULC 5.00% ^ 05/18/2025 8,119,224 2,300,000 MEGlobal Canada ULC 5.88% ^ 05/18/2030 2,875,000

10,994,224

Malaysia - 2.3% 500,000 CIMB Bank BHD 3.26% 03/15/2022 513,480 7,400,000 Gohl Capital Ltd. 4.25% 01/24/2027 7,876,295 8,000,000 Malayan Banking BHD (5 Year Swap Rate USD + 2.54%) 3.91% 10/29/2026 8,166,840 1,800,000 Petronas Capital Ltd. 3.50% ^ 04/21/2030 2,072,618 200,000 TNB Global Ventures Capital BHD 3.24% 10/19/2026 217,041

18,846,274

Mexico - 9.4% 10,600,000 Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.35%) 7.63% † 01/10/2028 12,044,356 8,100,000 Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.47%) 7.50% ^† 06/27/2029 9,163,125 2,000,000 Banco Nacional de Comercio Exterior S.N.C. (5 Year CMT Rate + 3.00%) 3.80% 08/11/2026 2,012,140 1,000,000 Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santand 5.38% ^ 04/17/2025 1,150,115 3,400,000 BBVA Bancomer S.A. (5 Year CMT Rate + 2.65%) 5.13% 01/18/2033 3,668,600 3,061,000 BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%) 5.35% 11/12/2029 3,267,618 6,900,000 Braskem Idesa S.A.P.I. 7.45% ^ 11/15/2029 6,486,000 5,000,000 Credito Real S.A.B. de C.V. 9.50% ^ 02/07/2026 5,437,550 5,983,000 Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%) 9.13% † 11/29/2022 5,788,612 5,500,000 Docuformas SAPI de C.V. 10.25% ^ 07/24/2024 5,025,680 6,828,722 Grupo Idesa S.A. de C.V. (PIK 10.38%) 10.13% ^ 05/22/2026 3,380,217 5,400,000 Operadora de Servicios Mega S.A. de C.V. 8.25% ^ 02/11/2025 5,639,625 1,000,000 Unifin Financiera S.A.B. de C.V. 7.38% 02/12/2026 960,000 17,533,000 Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) 8.88% † 01/29/2025 13,456,753

77,480,391

Panama - 5.1% 4,550,000 AES Panama Generation Holdings SRL 4.38% ^ 05/31/2030 4,928,332 1,500,000 Banco Latinoamericano de Comercio Exterior S.A. 2.38% ^ 09/14/2025 1,537,515 1,000,000 Banco Nacional de Panama 2.50% ^ 08/11/2030 1,002,500 4,000,000 Banistmo S.A. 3.65% ^ 09/19/2022 4,113,040 6,701,011 ENA Norte Trust 4.95% 04/25/2023 6,902,042 300,000 Global Bank Corporation 4.50% ^ 10/20/2021 306,825 4,800,000 Global Bank Corporation (3 Month LIBOR USD + 3.30%) 5.25% ^ 04/16/2029 5,253,000 2,600,000 Multibank, Inc. 4.38% 11/09/2022 2,689,765 4,368,834 Panama Metro Line SP 0.00% ^ 12/05/2022 4,265,074 4,368,834 Panama Metro Line SP 0.00% 12/05/2022 4,265,074 6,350,000 UEP Penonome II SA 6.50% ^ 10/01/2038 6,631,114

41,894,281

Paraguay - 0.4% 3,150,000 Banco Continental SAECA 2.75% ^ 12/10/2025 3,142,125

Peru - 3.6% 2,150,000 Banco de Credito del Peru (3 Month LIBOR USD + 7.04%) 6.13% 04/24/2027 2,281,709 1,500,000 Banco de Credito del Peru (5 Year CMT Rate + 3.00%) 3.13% ^ 07/01/2030 1,537,515 4,168,000 Banco de Credito del Peru (5 Year CMT Rate + 3.00%) 3.13% 07/01/2030 4,272,242 3,000,000 Banco Internacional del Peru S.A.A. (3 Month LIBOR USD + 5.76%) 6.63% 03/19/2029 3,348,180 3,585,000 Banco Internacional del Peru SAA Interbank (1 Year CMT Rate + 3.71%) 4.00% 07/08/2030 3,719,437 1,698,000 BBVA Banco Continental S.A. (5 Year CMT Rate + 2.75%) 5.25% 09/22/2029 1,869,600 1,100,000 Credicorp Ltd. 2.75% ^ 06/17/2025 1,145,650 3,500,000 Hunt Oil Company of Peru LLC Sucursal Del Peru 6.38% 06/01/2028 3,886,750 8,300,000 Peru LNG S.R.L. 5.38% 03/22/2030 7,416,050

29,477,133

Philippines - 1.7% 13,500,000 BDO Unibank, Inc. 2.95% 03/06/2023 14,046,840

Qatar - 1.1% 7,534,000 Ooredoo International Finance Ltd. 3.25% 02/21/2023 7,891,865 936,000 Ooredoo International Finance Ltd. 3.75% 06/22/2026 1,048,760

8,940,625

Saudi Arabia - 0.1% 700,000 Saudi Arabian Oil Company 1.63% ^ 11/24/2025 717,645

Singapore - 7.3% 200,000 DBS Group Holdings Ltd. (3 Month LIBOR USD + 0.62%) 0.83% 07/25/2022 201,144 1,300,000 DBS Group Holdings Ltd. (5 Year CMT Rate + 1.92%) 3.30% † 02/27/2025 1,328,145 18,100,000 DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%) 3.60% † 09/07/2021 18,307,516 1,500,000 Oversea-Chinese Banking Corporation Ltd. (3 Month LIBOR USD + 0.45%) 0.67% 05/17/2021 1,501,256 5,200,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% ^ 09/10/2030 5,286,505 500,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% 09/10/2030 508,318 4,700,000 PSA Treasury Pte Ltd. 2.13% 09/05/2029 4,949,790 6,800,000 Temasek Financial Ltd. 1.00%^ 10/06/2030 6,651,967 1,000,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.65%) 2.88% 03/08/2027 1,020,245 6,500,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.79%) 3.88% † 10/19/2023 6,768,125 13,000,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 2.24%) 3.50% 09/16/2026 13,222,885

59,745,896

Thailand - 0.4% 700,000 Bangkok Bank PCL (5 Year CMT Rate + 4.73%) 5.00% † 09/23/2025 733,635 1,700,000 Export Import Bank of Thailand (3 Month LIBOR USD + 0.90%) 1.12% 11/20/2023 1,705,517 900,000 PTTEP Treasury Center Company Ltd. 2.59% ^ 06/10/2027 941,504

3,380,656

Total Foreign Corporate Bonds (Cost $651,196,663) 646,634,379

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 16.7% Brazil - 1.6% 12,900,000 Brazilian Government International Bond 2.88% 06/06/2025 13,448,379

Chile - 0.3% 2,000,000 Chile Government International Bond 2.45% 01/31/2031 2,145,000

Dominican Republic - 2.5% 16,400,000 Dominican Republic International Bond 4.88% ^ 09/23/2032 18,183,500 1,750,000 Dominican Republic International Bond 6.40% ^ 06/05/2049 2,060,625

20,244,125

Indonesia - 3.1% 21,400,000 Indonesia Government International Bond 3.85% 10/15/2030 24,922,128 200,000 Perusahaan Penerbit 3.40% 03/29/2022 207,131

25,129,259

Panama - 1.2% 2,600,000 Panama Government International Bond 4.00% 09/22/2024 2,882,750 6,100,000 Panama Government International Bond 3.75% 03/16/2025 6,770,360

9,653,110

Peru - 0.9% 7,340,000 Peruvian Government International Bond 2.39% 01/23/2026 7,842,863

Philippines - 1.7% 3,400,000 Philippine Government International Bond 2.46% 05/05/2030 3,676,387 7,000,000 Philippine Government International Bond 1.65% 06/10/2031 7,105,014 3,200,000 Philippine Government International Bond 2.95% 05/05/2045 3,385,949

14,167,350

Qatar - 1.6% 3,800,000 Qatar Government International Bond 3.88% 04/23/2023 4,088,610 8,100,000 Qatar Government International Bond 3.38% 03/14/2024 8,784,450

12,873,060

Saudi Arabia - 2.8% 8,700,000 Saudi Government International Bond 2.38% 10/26/2021 8,839,913 4,900,000 Saudi Government International Bond 2.88% 03/04/2023 5,136,964 8,300,000 Saudi Government International Bond 2.90%^ 10/22/2025 8,957,568

22,934,445

United Arab Emirates - 1.0% 2,600,000 Abu Dhabi Government International Bond 0.75%^ 09/02/2023 2,608,190 2,200,000 Abu Dhabi Government International Bond 2.50%^ 04/16/2025 2,354,198 3,100,000 Abu Dhabi Government International Bond 3.13% ^ 04/16/2030 3,506,875

8,469,263

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $129,092,077) 136,906,854

Common Stocks - 0.1% 228,497 Frontera Energy Corporation 589,524

Total Common Stocks (Cost $20,010,064) 589,524

Warrants - 0.0% 1,609,815 OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00* Þ -

Total Warrants (Cost $–) -

Short Term Investments - 3.3% 9,129,398 First American Government Obligations Fund - Class U 0.04% 9,129,398 9,129,398 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% 9,129,398 9,129,398 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% 9,129,398

Total Short Term Investments (Cost $27,388,194) 27,388,194

Total Investments - 98.9% (Cost $827,686,998) 811,518,951 Other Assets in Excess of Liabilities - 1.1% 8,970,570

NET ASSETS - 100.0% $820,489,521

^ 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.

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

accrued.

† Perpetual Maturity

Þ Value determined using significant unobservable inputs.

* Non-income producing security

Seven-day yield as of December 31, 2020

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.

BRL Brazilian Real INVESTMENT BREAKDOWN as a % of Net Assets:

Banking 23.8% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 16.7% Utilities 13.8% Energy 13.5% Finance 6.5% Transportation 4.7% Chemical Products 3.7% Short Term Investments 3.3% Building and Development (including Steel/Metals) 2.9% Mining 2.0% Technology 1.5% Telecommunications 1.5% Chemicals/Plastics 1.2% Retailers (other than Food/Drug) 1.2% Hotels/Motels/Inns and Casinos 0.9% Consumer Products 0.9% Conglomerates 0.6% Media 0.2% Construction 0.0% ~ Other Assets and Liabilities 1.1%

100.0%

~ Represents less than 0.05% of net assets COUNTRY BREAKDOWN as a % of Net Assets:

Mexico 9.4% India 8.7% Indonesia 7.4% Singapore 7.3% Brazil 7.1% Chile 6.6% Colombia 6.5% Panama 6.3% China 5.9% Dominican Republic 4.7% Peru 4.5% Philippines 3.4% United States 3.3% Korea 3.0% Saudi Arabia 2.9% Qatar 2.7% Malaysia 2.3% Argentina 2.3% Kuwait 1.3% United Arab Emirates 1.0% Israel 0.6% Hong Kong 0.6% Thailand 0.4% Paraguay 0.4% Jamaica 0.2% Guatemala 0.1% Other Assets and Liabilities 1.1%

100.0%

DoubleLine Multi-Asset Growth Fund (Consolidated) Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Collateralized Loan Obligations - 0.4% 1,000,000 Brookside Mill Ltd., Series 2013-1A-SUB 0.00% # ^ @ Þ 01/17/2028 103,881

Total Collateralized Loan Obligations (Cost $429,182) 103,881

Non-Agency Residential Collateralized Mortgage Obligations - 19.0% 127,757 Adjustable Rate Mortgage Trust, Series 2006-1-2A1 3.64% # 03/25/2036 91,498 219,372 Alternative Loan Trust, Series 2005-J8-1A5 5.50% 07/25/2035 196,835 301,290 Banc of America Alternative Loan Trust, Series 2006-7-A4 6.00% 10/25/2036 131,068 26,589 BCAP LLC Trust, Series 2007-AA2-2A5 6.00% 04/25/2037 19,508 183,220 Chase Mortgage Finance Trust Series 2006-S2-1A13, Series 2006-S2-1A13 6.25% 10/25/2036 120,956 139,934 ChaseFlex Trust, Series 2007-M1-2F4 4.13% ß 08/25/2037 135,768 910,000 CIM Trust, Series 2017-3RR-B2 10.69% # ^ Þ 01/27/2057 868,562 23,926 Citigroup Mortgage Loan Trust, Inc., Series 2009-7-2A2 5.50% ^ 10/25/2021 22,467 136,058 CitiMortgage Alternative Loan Trust, Series 2007-A6-1A11 6.00% 06/25/2037 135,695 208,315 Countrywide Alternative Loan Trust, Series 2005-48T1-A2 5.50% 11/25/2035 169,455 60,227 Countrywide Alternative Loan Trust, Series 2006-32CB-A16 5.50% 11/25/2036 48,125 697,193 Countrywide Alternative Loan Trust, Series 2006-J1-2A1 7.00% 02/25/2036 158,705 11,578 Countrywide Alternative Loan Trust, Series 2007-17CB-1A10 (-5 x 1 Month LIBOR USD + 29.90%, 29.90% Cap) 29.22% I/F 08/25/2037 18,774 8,381 Countrywide Alternative Loan Trust, Series 2007-21CB-2A2 (-4 x 1 Month LIBOR USD + 28.40%, 28.40% Cap) 27.81% I/F 09/25/2037 10,371 132,410 Countrywide Home Loans, Series 2007-10-A5 6.00% 07/25/2037 99,820 6,979 Countrywide Home Loans, Series 2007-4-1A5 6.50% 05/25/2037 5,222 73,796 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-1A3 5.25% 09/25/2035 72,717 27,347 Credit Suisse Mortgage Capital Certificates, Series 2006-9-4A1 6.00% 11/25/2036 22,680 46,056 Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap) 11.90% ^I/F 04/15/2036 42,244 212,861 Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap) 11.90% ^I/F 04/15/2036 212,428 30,901 First Horizon Alternative Mortgage Securities Trust, Series 2007-FA2-1A3 6.00% 04/25/2037 18,646 1,000,000 GSAA Home Equity Trust, Series 2006-15-AF3B 5.93% # 09/25/2036 93,382 55,232 GSR Mortgage Loan Trust, Series 2006-2F-2A20 (-1 x 1 Month LIBOR USD + 11.10%, 5.00% Floor, 11.10% Cap) 10.95% I/F 02/25/2036 56,208 500,000 Homeward Opportunities Fund Trust, Series 2020-BPL1-A2 5.44% ^§ 08/25/2025 503,885 17,974 JP Morgan Alternative Loan Trust, Series 2005-S1-2A11 6.00% 12/25/2035 16,273 295,843 JP Morgan Alternative Loan Trust, Series 2006-S1-1A3 5.50% 03/25/2036 218,297 101,252 JP Morgan Mortgage Acquisition Trust, Series 2006-CH2-AF3 5.46% ß 09/25/2029 81,216 50,439 Lehman Mortgage Trust, Series 2006-4-1A3 (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) 5.25% I/F I/O 08/25/2036 9,493 3,152 Lehman Mortgage Trust, Series 2006-4-1A4 6.00% 08/25/2036 3,146 690,929 Lehman Mortgage Trust, Series 2007-10-2A1 6.50% 01/25/2038 381,047 32,363 Lehman Mortgage Trust, Series 2007-5-11A1 5.06% # 06/25/2037 25,463 104,840 Lehman XS Trust, Series 2005-1-3A3A 5.61% 07/25/2035 105,134 161,330 MASTR Resecuritization Trust, Series 2008-4-A1 6.00% # ^ 06/27/2036 150,775 209,307 Morgan Stanley Mortgage Loan Trust, Series 2007-13-6A1 6.00% 10/25/2037 162,864 116,483 Residential Accredit Loans, Inc., Series 2006-QS10-A9 6.50% 08/25/2036 118,495 2,087 Residential Accredit Loans, Inc., Series 2006-QS13-1A8 6.00% 09/25/2036 1,947 113,956 Residential Accredit Loans, Inc., Series 2006-QS2-1A4 5.50% 02/25/2036 111,757 22,776 Residential Accredit Loans, Inc., Series 2006-QS7-A4 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.00% Cap) 0.55% 06/25/2036 15,905 68,328 Residential Accredit Loans, Inc., Series 2006-QS7-A5 (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) 5.45% I/F I/O 06/25/2036 10,288 41,128 Residential Accredit Loans, Inc., Series 2006-QS8-A4 (1 Month LIBOR USD + 0.45%, 0.45% Floor) 0.60% 08/25/2036 28,941 123,383 Residential Accredit Loans, Inc., Series 2006-QS8-A5 (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap) 5.40% I/F I/O 08/25/2036 19,683 145,763 Residential Asset Mortgage Products, Inc., Series 2004-RS2-MII1 (1 Month LIBOR USD + 0.87%, 0.87% Floor, 14.00% Cap) 1.02% 02/25/2034 144,114 176,930 Residential Asset Securitization Trust, Series 2005-A11-1A4 5.50% 10/25/2035 163,201 15,071 Residential Asset Securitization Trust, Series 2005-A12-A12 5.50% 11/25/2035 12,638 325,164 Residential Asset Securitization Trust, Series 2007-A1-A8 6.00% 03/25/2037 192,386 232,412 Residential Asset Securitization Trust, Series 2007-A5-2A5 6.00% 05/25/2037 189,560 222,808 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A6 4.25% ß 10/25/2036 117,582

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $6,484,932) 5,535,224

US Government and Agency Mortgage Backed Obligations - 20.2% 34,354 Federal Home Loan Mortgage Corporation, Series 3261-SA (-1 x 1 Month LIBOR USD + 6.43%, 6.43% Cap) 6.27% I/F I/O 01/15/2037 7,833 68,755 Federal Home Loan Mortgage Corporation, Series 3355-BI (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.89% I/F I/O 08/15/2037 12,757 16,320 Federal Home Loan Mortgage Corporation, Series 3384-S (-1 x 1 Month LIBOR USD + 6.39%, 6.39% Cap) 6.23% I/F I/O 11/15/2037 2,271 77,000 Federal Home Loan Mortgage Corporation, Series 3384-SG (-1 x 1 Month LIBOR USD + 6.31%, 6.31% Cap) 6.15% I/F I/O 08/15/2036 16,541 24,729 Federal Home Loan Mortgage Corporation, Series 3417-SX (-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap) 6.02% I/F I/O 02/15/2038 3,270 40,611 Federal Home Loan Mortgage Corporation, Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap) 5.49% I/F I/O 03/15/2038 5,088 358,821 Federal Home Loan Mortgage Corporation, Series 3423-TG (-1 x 1 Month LIBOR USD + 6.00%, 0.35% Cap) 0.35% I/F I/O 03/15/2038 2,979 43,185 Federal Home Loan Mortgage Corporation, Series 3500-SA (-1 x 1 Month LIBOR USD + 5.52%, 5.52% Cap) 5.36% I/F I/O 01/15/2039 5,846 132,827 Federal Home Loan Mortgage Corporation, Series 3523-SM (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) 5.84% I/F I/O 04/15/2039 23,450 9,411 Federal Home Loan Mortgage Corporation, Series 3562-WS (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap) 4.79% I/F I/O 08/15/2039 1,234 80,097 Federal Home Loan Mortgage Corporation, Series 3728-SV (-1 x 1 Month LIBOR USD + 4.45%, 4.45% Cap) 4.29% I/F I/O 09/15/2040 10,565 92,836 Federal Home Loan Mortgage Corporation, Series 3758-S (-1 x 1 Month LIBOR USD + 6.03%, 6.03% Cap) 5.87% I/F I/O 11/15/2040 18,238 64,931 Federal Home Loan Mortgage Corporation, Series 3779-DZ 4.50% 12/15/2040 71,293 125,907 Federal Home Loan Mortgage Corporation, Series 3815-ST (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap) 5.69% I/F I/O 02/15/2041 25,027 42,428 Federal Home Loan Mortgage Corporation, Series 3900-SB (-1 x 1 Month LIBOR USD + 5.97%, 5.97% Cap) 5.81% I/F I/O 07/15/2041 7,638 630,692 Federal Home Loan Mortgage Corporation, Series 4183-Z 3.00% > 03/15/2043 695,249 56,951 Federal National Mortgage Association, Series 2006-101-SA (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap) 6.43% I/F I/O 10/25/2036 12,525 29,254 Federal National Mortgage Association, Series 2006-123-LI (-1 x 1 Month LIBOR USD + 6.32%, 6.32% Cap) 6.17% I/F I/O 01/25/2037 6,037 215,900 Federal National Mortgage Association, Series 2007-39-AI (-1 x 1 Month LIBOR USD + 6.12%, 6.12% Cap) 5.97% I/F I/O 05/25/2037 46,234 90,125 Federal National Mortgage Association, Series 2007-57-SX (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap) 6.47% I/F I/O 10/25/2036 17,720 6,087 Federal National Mortgage Association, Series 2009-49-S (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) 6.60% I/F I/O 07/25/2039 1,084 106,707 Federal National Mortgage Association, Series 2009-86-CI (-1 x 1 Month LIBOR USD + 5.80%, 5.80% Cap) 5.65% I/F I/O 09/25/2036 10,021 28,035 Federal National Mortgage Association, Series 2009-90-IA (-1 x 1 Month LIBOR USD + 5.75%, 5.75% Cap) 5.60% I/F I/O 03/25/2037 3,985 26,104 Federal National Mortgage Association, Series 2009-90-IB (-1 x 1 Month LIBOR USD + 5.72%, 5.72% Cap) 5.57% I/F I/O 04/25/2037 4,069 148,817 Federal National Mortgage Association, Series 2010-39-SL (-1 x 1 Month LIBOR USD + 5.67%, 5.67% Cap) 5.52% I/F I/O 05/25/2040 22,649 35,688 Federal National Mortgage Association, Series 2011-5-PS (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap) 6.25% I/F I/O 11/25/2040 2,211 424,054 Federal National Mortgage Association, Series 2012-30-DZ 4.00% > 04/25/2042 470,398 1,255,101 Federal National Mortgage Association, Series 2013-53-ZC 3.00% > 06/25/2043 1,371,051 1,172,118 Federal National Mortgage Association, Series 2013-55-VZ 3.00% > 06/25/2043 1,277,195 604,481 Federal National Mortgage Association, Series 2014-58-VZ 3.00% > 09/25/2044 662,888 613,069 Federal National Mortgage Association, Series 2015-9-ZA 3.50% > 03/25/2045 696,636 14,524 Government National Mortgage Association, Series 2009-6-SM (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap) 5.80% I/F I/O 02/20/2038 1,795 226,283 Government National Mortgage Association, Series 2011-45-GZ 4.50% 03/20/2041 243,098 121,069 Government National Mortgage Association, Series 2011-7-LS (-2 x 1 Month LIBOR USD + 9.88%, 9.88% Cap) 9.58% I/F 12/20/2040 147,330

Total US Government and Agency Mortgage Backed Obligations (Cost $5,158,282) 5,906,205

Affiliated Mutual Funds - 25.3% 167,107 DoubleLine Core Fixed Income Fund (Class I) 1,891,656 188,730 DoubleLine Flexible Income Fund (Class I) 1,809,916 184,405 DoubleLine Low Duration Bond Fund (Class I) 1,840,363 172,740 DoubleLine Total Return Bond Fund (Class I) 1,848,319

Total Affiliated Mutual Funds (Cost $7,365,690) 7,390,254

Exchange Traded Funds and Common Stocks - 1.9% 18,800 iShares MSCI Chile ETF 567,948

Total Exchange Traded Funds and Common Stocks (Cost $542,923) 567,948

Short Term Investments - 27.8% 1,645,171 First American Government Obligations Fund - Class U 0.04% ¨ 1,645,171 1,645,171 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ 1,645,171 1,645,171 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 1,645,171 2,200,000 United States Treasury Bills 0.00% ‡ 04/22/2021 2,199,537 1,000,000 United States Treasury Bills 0.00% 12/02/2021 999,179

Total Short Term Investments (Cost $8,133,578) 8,134,229

Total Investments - 94.6% (Cost $28,114,587) 27,637,741 Other Assets in Excess of Liabilities - 5.4% 1,577,276

NET ASSETS - 100.0% $ 29,215,017

¨ Seven-day yield as of December 31, 2020

Þ Value determined using significant unobservable inputs.

# 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 December 31, 2020.

^ 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.

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 December 31, 2020.

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.

§ The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2020.

I/O Interest only security

> This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of December 31, 2020.

‡ All or a portion of this security has been pledged as collateral.

@ 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 December 31, 2020. SECURITY TYPE BREAKDOWN as a % of Net Assets:

Short Term Investments 27.8% Affiliated Mutual Funds 25.3% US Government and Agency Mortgage Backed Obligations 20.2% Non-Agency Residential Collateralized Mortgage Obligations 19.0% Exchange Traded Funds and Common Stocks 1.9% Collateralized Loan Obligations 0.4% Other Assets and Liabilities 5.4%

100.0%

A summary of the DoubleLine Multi-Asset Growth Fund’s (Consolidated) investments in affiliated mutual funds for the period ended December 31, 2020 is as follows:

Change in Dividend Net Realized Unrealized Income Gain (Loss) for the Earned in the in the Shares Held at Value at Period Ended Period Ended Period Ended Value at December 31, December 31, December 31, December 31, December 31, Fund March 31, 2020 Gross Purchases Gross Sales 2020 2020 2020 2020 2020 DoubleLine Total Return Bond Fund (Class I) $ 2,219,628 $ - $ (425,000) 172,740 $ 1,848,319 $ 48,956 $ 51,684 $ 4,735 DoubleLine Core Fixed Income Fund (Class I) 2,174,460 - (425,000) 167,107 1,891,656 125,256 49,418 16,940 DoubleLine Low Duration Bond Fund (Class I) 2,161,127 - (425,000) 184,405 1,840,363 110,234 33,890 (5,998) DoubleLine Flexible Income Fund (Class I) 1,970,026 - (425,000) 188,730 1,809,916 291,453 58,959 (26,563)

$ 8,525,241 $ - $ (1,700,000) 712,982 $ 7,390,254 $ 575,899 $ 193,951 $ (10,886)

FUTURES CONTRACTS

Value/ Unrealized Contract Expiration Notional Appreciation Description Long/Short Quantity Date Amount • (Depreciation) ICE US MSCI Emerging Markets EM Index Future Long 35 03/19/2021 2,254,350 $ 69,216 MSCI EAFE Index Futures Long 32 03/19/2021 3,409,280 49,703 E-mini Russell 2000 Futures Long 13 03/19/2021 1,283,620 26,576 CME E-Mini Standard & Poor’s 500 Index Future Long 5 03/19/2021 937,200 21,037 CBOT 5 Year US Treasury Note Future Long 42 03/31/2021 5,298,891 10,083 CME Ultra Long Term US Treasury Bond Future Long 3 03/22/2021 640,688 (8,913)

$ 167,702

• 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

EXCESS RETURN SWAPS Value/ Unrealized Financing Payment Termination Notional Appreciation Reference Entity Counterparty Long/Short Rate Frequency Date Amount (Depreciation) Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 08/31/2021 5,900,000 $ 1,112,840 Long Commodity Basket Swap Ж Morgan Stanley Long 0.19% Termination 01/07/2021 1,600,000 23,252 Short Commodity Basket Swap ɷ Morgan Stanley Short (0.22)% Termination 01/07/2021 (1,600,000) (2,853)

$ 1,133,239

¤ 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 December 31, 2020, 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 Morgan Stanley index. At December 31, 2020, all constituents and their weightings were as follows:

Contract Value of Sub-Index Ticker Value δ Index Weightings Morgan Stanley Natural Gas Roll MSCYNG0 0.90 $ 69 17.2% Morgan Stanley Corn Roll MSCYCN0 0.22 67 16.8% Morgan Stanley Sugar Roll MSCYSB0 0.19 67 16.7% Morgan Stanley Soybeans Roll MSCYSY0 0.13 66 16.6% Morgan Stanley Cocoa Roll MSCYCC0 0.16 66 16.4% Morgan Stanley Heating Oil Roll MSCYHO0 0.24 66 16.3%

$ 401 100.0%

ɷ Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the Morgan Stanley index. At December 31, 2020, all constituents and their weightings were as follows:

Contract Value of Sub-Index Ticker Value δ Index Weightings Morgan Stanley Coffee (Arabica) Roll MSCYKC0 0.45 $ 90 17.0% Morgan Stanley Crude Oil Roll MSCYCL0 0.69 89 16.7% Morgan Stanley RBOB Roll MSCYXB0 0.25 89 16.7% Morgan Stanley Cotton Roll MSCYCT0 0.15 89 16.7% Morgan Stanley Gasoil Roll MSCYQS0 0.32 87 16.5% Morgan Stanley Zinc Roll MSCYLX0 0.14 87 16.4%

$ 531 100.0%

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.

DoubleLine Low Duration Bond Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Asset Backed Obligations - 8.3% 10,041,279 AASET Ltd., Series 2019-2-A 3.38% ^ 10/16/2039 9,471,486 2,820,541 AccessLex Institute, Series 2004-2-A3 (3 Month LIBOR USD + 0.19%) 0.40% 10/25/2024 2,778,461 16,714,831 AccessLex Institute, Series 2007-A-A3 (3 Month LIBOR USD + 0.30%) 0.51% 05/25/2036 16,306,666 5,008,782 AccessLex Institute, Series 2007-A-B (3 Month LIBOR USD + 0.55%) 0.76% 02/25/2037 4,717,206 15,000,000 Affirm Asset Securitization Trust, Series 2020-A-A 2.10% ^ 02/18/2025 15,093,014 7,008,534 Affirm Asset Securitization Trust, Series 2020-Z1-A 3.46% ^ 10/15/2024 7,121,606 23,038,021 Affirm Asset Securitization Trust, Series 2020-Z2-A 1.90% ^ 01/15/2025 23,195,786 3,250,000 American Credit Acceptance Receivables Trust, Series 2019-2-C 3.17% ^ 06/12/2025 3,307,548 10,419,334 Aqua Finance Trust, Series 2020-AA-A 1.90% ^ 07/17/2046 10,478,087 4,277,037 Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1-A 2.99% ^ 07/15/2024 4,332,197 4,303,166 Avant Loans Funding Trust, Series 2019-B-A 2.72% ^ 10/15/2026 4,319,381 10,521,563 CAL Funding IV Ltd., Series 2020-1A-A 2.22% ^ 09/25/2045 10,688,491 704,317 CLUB Credit Trust, Series 2018-2-PT 9.90% #^ 02/15/2041 687,144 2,413,321 Commonbond Student Loan Trust, Series 2017-BGS-A1 2.68% ^ 09/25/2042 2,476,511 2,535,921 Commonbond Student Loan Trust, Series 2020-AGS-A 1.98% ^ 08/25/2050 2,599,597 164,339 Consumer Loan Underlying Bond Credit Trust, Series 2018-P2-A 3.47% ^ 10/15/2025 164,446 612,786 Consumer Loan Underlying Bond Credit Trust, Series 2019-P2-A 2.47% ^ 10/15/2026 616,526 2,150,000 CPS Auto Receivables Trust, Series 2020-C-C 1.71% ^ 08/17/2026 2,181,652 6,316,640 Domino’s Pizza Master Issuer LLC, Series 2017-1A-A2I (3 Month LIBOR USD + 1.25%) 1.46% ^ 07/25/2047 6,352,196 5,561,784 DRB Prime Student Loan Trust, Series 2015-D-A2 3.20% ^ 01/25/2040 5,609,824 1,146,275 DRB Prime Student Loan Trust, Series 2016-R-A1 (1 Month LIBOR USD + 1.90%) 2.05% ^ 10/25/2044 1,152,978 1,764,983 DRB Prime Student Loan Trust, Series 2016-R-A2 3.07% ^ 10/25/2044 1,789,226 7,000,000 Drive Auto Receivables Trust, Series 2020-2-B 1.42% 03/17/2025 7,096,053 7,736,435 DT Auto Owner Trust, Series 2020-2A-A 1.14% ^ 01/16/2024 7,772,108 3,160,011 Earnest Student Loan Program, Series 2017-A-A2 2.65% ^ 01/25/2041 3,205,059 5,423,064 Foundation Finance Trust, Series 2019-1A-A 3.86% ^ 11/15/2034 5,614,063 6,174,008 Freed Trust, Series 2020-3FP-A 2.40% ^ 09/20/2027 6,197,565 7,146,076 Freed Trust, Series 2020-FP1-A 2.52% ^ 03/18/2027 7,197,478 4,825,372 Genesis Private Label Amortizing Trust, Series 2020-1-A 2.08% ^ 07/20/2030 4,833,891 7,200,000 Genesis Sales Finance Master Trust, Series 2020-AA-A 1.65% ^ 09/22/2025 7,226,899 3,350,000 Genesis Sales Finance Master Trust, Series 2020-AA-B 2.24% ^ 09/22/2025 3,380,716 4,869,470 Global SC Finance SRL, Series 2020-1A-A 2.17% ^ 10/17/2040 4,930,183 843,438 GLS Auto Receivables Issuer Trust, Series 2019-1A-A 3.37% ^ 01/17/2023 846,432 3,159,030 GLS Auto Receivables Issuer Trust, Series 2019-2A-A 3.06% ^ 04/17/2023 3,180,077 15,063,402 GLS Auto Receivables Issuer Trust, Series 2020-2A-A 1.58% ^ 08/15/2024 15,202,241 2,321,189 Hilton Grand Vacations Trust, Series 2018-AA-A 3.54% ^ 02/25/2032 2,466,084 1,044,806 Hilton Grand Vacations Trust, Series 2020-AA-A 2.74% ^ 02/25/2039 1,095,590 3,019,383 Laurel Road Prime Student Loan Trust, Series 2019-A-A1FX 2.34% ^ 10/25/2048 3,073,037 11,806,046 LendingClub Receivables Trust, Series 2020-3-A 3.50% ^ 01/16/2046 12,022,793 9,771,196 LendingClub Receivables Trust, Series 2020-5A-A 3.50% ^ 03/15/2046 9,839,481 1,395,288 Lendingpoint Asset Securitization Trust, Series 2019-2-A 3.07% ^ 11/10/2025 1,396,537 2,960,195 Lendingpoint Asset Securitization Trust, Series 2020-1-A 2.51% ^ 02/10/2026 2,962,985 12,529,982 Loanpal Solar Loan Ltd., Series 2020-3GS-A 2.47% ^ 12/20/2047 12,644,045 1,684,086 Marlette Funding Trust, Series 2019-1A-A 3.44% ^ 04/16/2029 1,697,851 3,342,681 Marlette Funding Trust, Series 2019-2A-A 3.13% ^ 07/16/2029 3,372,373 4,112,577 Marlette Funding Trust, Series 2019-3A-A 2.69% ^ 09/17/2029 4,145,445 2,455,535 Marlette Funding Trust, Series 2019-4A-A 2.39% ^ 12/17/2029 2,475,680 9,017,910 Navient Private Education Loan Trust, Series 2020-FA-A 1.22% ^ 07/15/2069 9,114,728 5,198,816 Navient Private Education Loan Trust, Series 2020-GA-A 1.17% ^ 09/16/2069 5,240,531 715,003 Navient Private Education Refinance Loan Trust, Series 2019-CA-A1 2.82% ^ 02/15/2068 717,579 17,293,404 NP SPE LLC, Series 2019-2A-A1 2.86% ^ 11/19/2049 17,526,232 6,039,571 NP SPE LLC, Series 2019-1A-A1 2.57% ^ 09/20/2049 6,051,771 3,991,730 OneMain Financial Issuance Trust, Series 2017-1A-A1 2.37% ^ 09/14/2032 3,997,553 10,500,000 Oxford Finance Funding LLC, Series 2019-1A-A2 4.46% ^ 02/15/2027 10,872,292 18,000,000 Oxford Finance Funding LLC, Series 2020-1A-A2 3.10% ^ 02/15/2028 18,450,014 8,121,859 Pagaya AI Debt Selection Trust, Series 2019-3-A 3.82% ^ 11/16/2026 8,247,756 16,500,000 Pagaya AI Debt Selection Trust, Series 2020-3-A 2.10% ^ 05/17/2027 16,680,048 6,144,447 Prosper Marketplace Issuance Trust, Series 2019-4A-A 2.48% ^ 02/17/2026 6,165,933 10,000,000 Santander Drive Auto Receivables Trust, Series 2020-4-D 1.48% 01/15/2027 10,109,940 1,348,764 SCF Equipment Leasing LLC, Series 2017-2A-A 3.41% ^ 12/20/2023 1,354,428 2,375,870 Sierra Timeshare Receivables Funding LLC, Series 2016-2A-A 2.33% ^ 07/20/2033 2,381,183 8,763,859 SLM Private Credit Student Loan Trust, Series 2006-A-A5 (3 Month LIBOR USD + 0.29%) 0.51% 06/15/2039 8,430,882 5,264,506 SLM Private Credit Student Loan Trust, Series 2006-B-A5 (3 Month LIBOR USD + 0.27%) 0.49% 12/15/2039 5,047,285 16,364,313 Small Business Lending Trust, Series 2020-A-A 2.62% ^ 12/15/2026 16,283,108 144,337 SoFi Consumer Loan Program Trust, Series 2016-1-A 3.26% ^ 08/25/2025 144,602 327,805 SoFi Consumer Loan Program Trust, Series 2017-3-A 2.77% ^ 05/25/2026 328,773 1,112,399 SoFi Consumer Loan Program Trust, Series 2017-5-A2 2.78% ^ 09/25/2026 1,121,033 1,502,232 SoFi Consumer Loan Program Trust, Series 2019-1-A 3.24% ^ 02/25/2028 1,512,959 951,009 SoFi Consumer Loan Program Trust, Series 2019-2-A 3.01% ^ 04/25/2028 961,770 7,278,081 SoFi Consumer Loan Program Trust, Series 2019-F-PT1 3.93% #^ 02/15/2045 7,494,521 12,030,223 SoFi Professional Loan Program, Series 2020-C-AFX 1.95% ^ 02/15/2046 12,298,083 2,905,090 SoFi Professional Loan Program, Series 2015-C-A2 2.51% ^ 08/25/2033 2,917,509 1,714,472 SoFi Professional Loan Program, Series 2016-A-A2 2.76% ^ 12/26/2036 1,742,405 2,186,983 SoFi Professional Loan Program, Series 2017-A-A2B 2.40% ^ 03/26/2040 2,215,134 292,808 SoFi Professional Loan Program, Series 2019-A-A1FX 3.18% ^ 06/15/2048 293,288 7,791,268 SoFi Professional Loan Program, Series 2019-C-A1FX 2.13% ^ 11/16/2048 7,842,075 15,237,996 Springleaf Funding Trust, Series 2017-AA-A 2.68% ^ 07/15/2030 15,272,169 61,402 Spruce Asset Backed Securities Trust, Series 2016-E1-A 4.32% ^ 06/15/2028 62,553 7,117,083 Stack Infrastructure Issuer LLC, Series 2019-1A-A2 4.54% ^ 02/25/2044 7,639,988 4,868,750 TAL Advantage VII LLC, Series 2020-1A-A 2.05% ^ 09/20/2045 4,926,557 5,000,000 Tesla Auto Lease Trust, Series 2019-A-C 2.68% ^ 01/20/2023 5,145,962 3,250,000 Tesla Auto Lease Trust, Series 2020-A-A4 0.78% ^ 12/20/2023 3,274,000 5,040,699 Theorem Funding Trust, Series 2020-1A-A 2.48% ^ 10/15/2026 5,081,452 2,254,431 Upgrade Master Pass-Thru Trust, Series 2019-ST1-A 4.00% ^ 07/15/2025 2,275,333 6,087,713 Upstart Pass-Through Trust, Series 2020-ST5-A 3.00% ^ 12/20/2026 6,117,312 1,277,340 Upstart Securitization Trust, Series 2019-1-B 4.19% ^ 04/20/2026 1,284,173 6,092,410 Upstart Securitization Trust, Series 2019-2-A 2.90% ^ 09/20/2029 6,133,098 9,327,951 Upstart Securitization Trust, Series 2020-1-A 2.32% ^ 04/22/2030 9,403,674 22,873,476 Upstart Securitization Trust, Series 2020-3-A 1.70% ^ 11/20/2030 22,998,381 1,373,213 Westlake Automobile Receivables Trust, Series 2019-2A-A2A 2.57% ^ 02/15/2023 1,379,313

Total Asset Backed Obligations (Cost $541,465,055) 545,852,075

Bank Loans - 2.5% 5,097,517 1011778 B.C. Unlimited Liability Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 11/19/2026 5,035,404 1,521,188 Asplundh Tree Expert, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 09/07/2027 1,528,322 2,705,000 Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 11/08/2027 2,713,467 4,978,497 Axalta Coating Systems Dutch Holding B.B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%) 2.00% 05/31/2024 4,949,871 5,663,704 Berry Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 07/01/2026 5,645,325 3,240,000 Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 12/16/2027 3,222,990 5,604,002 Charter Communications Operating LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 02/01/2027 5,581,250 5,655,287 CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.41% 07/17/2025 5,584,595 5,450,385 Dell International LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%, 0.75% Floor) 2.75% 09/19/2025 5,460,604 5,182,256 Elanco Animal Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 07/30/2027 5,143,933 2,225,000 Energizer Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.50% Floor) 2.75% 12/16/2027 2,229,183 1,027,238 Gardner Denver, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/01/2027 1,015,039 249,255 Generac Power Systems, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 12/11/2026 249,722 5,947,275 Go Daddy Operating Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 02/15/2024 5,949,148 3,247,352 Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 01/02/2026 3,231,115 5,192,643 Grifols Worldwide Operations USA Inc., Senior Secured First Lien Term Loan (1 Week LIBOR USD + 2.00%) 2.10% 11/15/2027 5,156,139 6,046,113 HCA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/18/2026 6,054,759 3,526,587 IAA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 06/29/2026 3,510,417 5,628,221 IQVIA Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%) 2.00% 06/11/2025 5,601,262 3,834,348 Iron Mountain Information Management LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/02/2026 3,810,383 5,693,297 Jacobs Douwe Egberts International B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.19% 11/03/2025 5,681,426 5,853,275 JBS USA Lux S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 05/01/2026 5,817,161 2,422,216 KAR Auction Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 09/21/2026 2,388,910 5,614,690 KFC Holding Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.91% 04/03/2025 5,591,642 1,940,438 Lamar Media Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.50%) 1.64% 01/29/2027 1,911,331 3,856,010 Level 3 Financing, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/01/2027 3,800,580 3,670,983 Nexstar Broadcasting, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 09/18/2026 3,654,482 4,305,558 Open Text Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 05/30/2025 4,305,558 1,075,796 Reynolds Consumer Products LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 02/04/2027 1,070,789 1,248,483 RPI Intermediate Finance Trust, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 02/11/2027 1,250,200 5,581,100 Science Applications International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.88%) 2.02% 10/31/2025 5,567,147 5,471,295 ServiceMaster Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.94% 11/05/2026 5,465,031 5,422,750 Syneos Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 08/01/2024 5,394,958 5,986,464 Trans Union LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 11/13/2026 5,972,755 4,475,719 Universal Health Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 10/31/2025 4,481,314 6,063,250 US Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 09/14/2026 5,979,880 3,799,969 Virgin Media Bristol LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.66% 01/31/2028 3,770,785 5,555,002 Vistra Operations Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 12/31/2025 5,543,420 3,577,006 W.R. Grace & Company, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%) 2.00% 04/03/2025 3,536,317 2,086,586 W.R. Grace & Company, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%) 2.00% 04/03/2025 2,062,851

Total Bank Loans (Cost $165,471,694) 164,919,465

Collateralized Loan Obligations - 15.0% 10,000,000 AGL Ltd., Series 2020-5A-A1 (3 Month LIBOR USD + 2.05%, 2.05% Floor) 2.35% ^ 07/20/2030 10,045,732 15,381,145 AIMCO, Series 2015-AA-AR (3 Month LIBOR USD + 0.85%, 0.85% Floor) 1.09% ^ 01/15/2028 15,347,349 15,000,000 Anchorage Capital Ltd., Series 2018-1RA-A1 (3 Month LIBOR USD + 0.99%, 0.99% Floor) 1.21% ^ 04/13/2031 14,897,744 20,000,000 Assurant Ltd., Series 2019-1A-A (3 Month LIBOR USD + 1.35%, 1.35% Floor) 1.57% ^ 04/20/2030 20,040,123 13,243,766 Atlas Senior Loan Fund Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 0.83%) 1.05% ^ 11/17/2027 13,175,195 19,217,592 Avery Point Ltd., Series 2015-6A-AR (3 Month LIBOR USD + 1.05%) 1.27% ^ 08/05/2027 19,208,208 29,500,000 Avery Point Ltd., Series 2015-7A-AR (3 Month LIBOR USD + 1.14%) 1.38% ^ 01/15/2028 29,525,595 5,987,000 Babson Ltd., Series 2015-2A-AR (3 Month LIBOR USD + 1.19%) 1.41%^ 10/20/2030 5,979,774 40,142,812 Battalion Ltd., Series 2014-7A-A1RR (3 Month LIBOR USD + 1.04%, 1.04% Floor) 1.26%^ 07/17/2028 40,103,239 9,918,327 Carlyle Global Market Strategies Ltd., Series 2014-3RA-A1A (3 Month LIBOR USD + 1.05%) 1.27%^ 07/27/2031 9,893,531 42,000,000 CarVal Ltd., Series 2019-1A-AN (3 Month LIBOR USD + 1.48%, 1.48% Floor) 1.70%^ 04/20/2032 42,034,996 3,000,000 Catamaran Ltd., Series 2018-1A-A1 (3 Month LIBOR USD + 1.25%, 1.25% Floor) 1.46%^ 10/25/2031 3,000,101 35,000,000 Cathedral Lake Ltd., Series 2018-5A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) 1.42%^ 10/21/2030 34,997,496 26,500,000 CFIP Ltd., Series 2014-1A-AR (3 Month LIBOR USD + 1.32%) 1.54%^ 07/13/2029 26,492,402 19,478,682 Crown Point Ltd., Series 2018-6A-A1 (3 Month LIBOR USD + 1.17%, 1.17% Floor) 1.39%^ 10/20/2028 19,424,144 7,500,000 Crown Point Ltd., Series 2020-9A-A (3 Month LIBOR USD + 2.05%, 2.05% Floor) 2.28%^ 07/14/2032 7,549,023 21,000,000 Dryden Ltd., Series 2019-75A-AR (3 Month LIBOR USD + 1.20%, 1.20% Floor) 1.44%^ 07/15/2030 20,993,855 5,585,000 Greywolf Ltd., Series 2015-1A-A1R (3 Month LIBOR USD + 1.16%, 1.16% Floor) 1.37%^ 01/27/2031 5,574,018 9,100,000 Greywolf Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.18%, 1.18% Floor) 1.40% ^ 10/20/2031 9,097,008 2,725,256 Halcyon Loan Advisors Funding Ltd., Series 2014-3A-AR (3 Month LIBOR USD + 1.10%) 1.32% ^ 10/22/2025 2,725,768 13,925,115 Halcyon Loan Advisors Funding Ltd., Series 2015-3A-A1R (3 Month LIBOR USD + 0.90%) 1.12% ^ 10/18/2027 13,898,539 8,856,843 Harbourview Ltd., Series 7RA-A1 (3 Month LIBOR USD + 1.13%, 1.13% Floor) 1.35% ^ 07/18/2031 8,814,842 464,607 Jamestown Ltd., Series 2014-4A-A1AR (3 Month LIBOR USD + 0.69%) 0.93% ^ 07/15/2026 465,696 10,500,000 Jamestown Ltd., Series 2018-6RA-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.36% ^ 04/25/2030 10,444,859 9,968,710 Jefferson Mill Ltd., Series 2015-1A-AR (3 Month LIBOR USD + 1.18%) 1.39% ^ 10/20/2031 9,930,308 22,000,000 Kingsland Ltd., Series 2018-8A-A (3 Month LIBOR USD + 1.12%, 1.12% Floor) 1.34% ^ 04/20/2031 21,874,597 33,071,625 LCM LP, Series 19A-AR (3 Month LIBOR USD + 1.24%, 1.24% Floor) 1.48% ^ 07/15/2027 33,112,919 8,750,000 Madison Park Funding Ltd., Series 2012-10A-AR2 (3 Month LIBOR USD + 1.22%) 1.44% ^ 01/20/2029 8,761,177 26,000,000 Madison Park Funding Ltd., Series 2013-11A-AR (3 Month LIBOR USD + 1.16%) 1.37% ^ 07/23/2029 25,997,639 15,373,750 Marathon Ltd., Series 2013-5A-A1R (3 Month LIBOR USD + 0.87%) 1.08% ^ 11/21/2027 15,266,186 3,000,000 Marathon Ltd., Series 2017-9A-A2 (3 Month LIBOR USD + 1.75%) 1.99% ^ 04/15/2029 2,952,063 24,008,401 Marathon Ltd., Series 2018-12A-A1 (3 Month LIBOR USD + 1.18%) 1.40% ^ 04/18/2031 23,982,603 13,500,000 Marble Point Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.33%, 1.33% Floor) 1.55% ^ 01/20/2032 13,486,537 20,000,000 Midocean Credit Partners, Series 2018-8A-A1 (3 Month LIBOR USD + 1.15%) 1.37% ^ 02/20/2031 19,946,237 35,000,000 MP Ltd., Series 2013-2A-ARR (3 Month LIBOR USD + 1.28%) 1.49% ^ 07/25/2029 35,034,914 13,000,000 MP Ltd., Series 2015-1A-ARR (3 Month LIBOR USD + 1.08%) 1.30% ^ 10/18/2028 12,921,286 21,901,006 MP Ltd., Series 2015-2A-AR (3 Month LIBOR USD + 0.91%) 1.13% ^ 10/28/2027 21,846,676 24,572,889 Ocean Trails, Series 2014-5A-ARR (3 Month LIBOR USD + 1.28%, 1.28% Floor) 1.50% ^ 10/13/2031 24,563,832 16,500,000 OCP Ltd., Series 2014-5A-A1R (3 Month LIBOR USD + 1.08%, 1.08% Floor) 1.29% ^ 04/26/2031 16,471,764 3,000,000 Octagon Investment Partners Ltd., Series 2020-1A-A1 (3 Month LIBOR USD + 1.85%, 1.85% Floor) 2.07% ^ 04/20/2031 3,010,804 10,470,445 Palmer Square Loan Funding Ltd., Series 2018-5A-A1 (3 Month LIBOR USD + 0.85%, 0.85% Floor) 1.07% ^ 01/20/2027 10,437,268 34,000,000 Park Avenue Institutional Advisers Ltd., Series 2018-1A-A1A (3 Month LIBOR USD + 1.28%, 1.28% Floor) 1.50% ^ 10/20/2031 34,025,567 24,868,164 Race Point Ltd., Series 2015-9A-A1AR (3 Month LIBOR USD + 1.21%) 1.45% ^ 10/15/2030 24,819,528 12,500,000 Regatta Funding Ltd., Series 2018-3A-A (3 Month LIBOR USD + 1.19%) 1.40% ^ 10/25/2031 12,475,605 10,000,000 Riserva Ltd., Series 2016-3A-AR (3 Month LIBOR USD + 1.14%) 1.36% ^ 10/18/2028 10,012,500 21,771,593 Romark Ltd., Series 2018-1A-A1 (3 Month LIBOR USD + 1.03%) 1.25% ^ 04/20/2031 21,654,337 16,000,000 Sound Point Ltd., Series 2014-2RA-A (3 Month LIBOR USD + 1.25%, 1.25% Floor) 1.47% ^ 10/20/2031 15,986,893 25,000,000 Sound Point Ltd., Series 2015-1RA-A (3 Month LIBOR USD + 1.36%, 1.36% Floor) 1.60% ^ 04/15/2030 25,023,676 2,365,000 Steele Creek Ltd., Series 2014-1RA-A (3 Month LIBOR USD + 1.07%, 1.07% Floor) 1.28% ^ 04/21/2031 2,345,671 18,000,000 Steele Creek Ltd., Series 2019-2A-A1 (3 Month LIBOR USD + 1.36%, 1.36% Floor) 1.60% ^ 07/15/2032 18,010,791 20,000,000 TCI-Flatiron Ltd., Series 2016-1A-AR (3 Month LIBOR USD + 1.22%, 1.22% Floor) 1.44% ^ 07/17/2028 20,010,804 44,000,000 Tralee Ltd., Series 2019-6A-A1 (3 Month LIBOR USD + 1.45%) 1.66% ^ 10/25/2032 44,063,341 10,000,000 Trimaran CAVU LLC, Series 2019-1A-A1 (3 Month LIBOR USD + 1.46%, 1.46% Floor) 1.68% ^ 07/20/2032 10,044,001 2,000,000 Venture Ltd., Series 2016-24A-AR (3 Month LIBOR USD + 1.18%, 1.18% Floor) 1.40% ^ 10/20/2028 1,999,184 21,715,001 Vibrant Ltd., Series 2015-3A-A1RR (3 Month LIBOR USD + 1.25%) 1.47% ^ 10/20/2031 21,703,171 22,118,289 Wellfleet Ltd., Series 2016-1A-AR (3 Month LIBOR USD + 0.91%) 1.13% ^ 04/20/2028 22,033,343 197,948 WhiteHorse Ltd., Series 2014-1A-AR (3 Month LIBOR USD + 0.90%) 1.11% ^ 05/01/2026 198,103 194,169 Zais Ltd., Series 2014-2A-A1AR (3 Month LIBOR USD + 1.20%) 1.41% ^ 07/25/2026 194,312 12,692,998 Zais Ltd., Series 2016-2A-A1 (3 Month LIBOR USD + 1.53%) 1.77% ^ 10/15/2028 12,698,151

Total Collateralized Loan Obligations (Cost $979,894,452) 980,625,025

Foreign Corporate Bonds - 13.6% 9,100,000 Adani Ports & Special Economic Zone Ltd. 3.95% 01/19/2022 9,313,528 2,000,000 Adani Ports & Special Economic Zone Ltd. 3.38% 07/24/2024 2,083,168 1,370,000 AES Dominicana 7.95% 05/11/2026 1,419,663 884,000 AES Gener S.A. 5.00% 07/14/2025 937,040 3,000,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% 03/26/2079 3,337,500 2,800,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% ^ 03/26/2079 3,115,000 10,100,000 Alibaba Group Holding Ltd. 2.80% 06/06/2023 10,631,730 5,570,000 ANZ New Zealand International Ltd. 1.90% ^ 02/13/2023 5,740,433 600,000 AstraZeneca PLC 2.38% 06/12/2022 616,836 9,450,000 AstraZeneca PLC 3.50% 08/17/2023 10,188,782 5,165,000 Avolon Holdings Funding Ltd. 3.63% ^ 05/01/2022 5,278,280 2,910,000 Baidu, Inc. 3.50% 11/28/2022 3,058,191 8,000,000 Baidu, Inc. 3.88% 09/29/2023 8,634,900 300,000 Baidu, Inc. 3.08% 04/07/2025 320,917 14,200,000 Banco Bradesco S.A. 5.90% 01/16/2021 14,210,792 2,300,000 Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%) 7.75% ^ 02/15/2029 2,507,598 3,350,000 Banco Continental SAECA 2.75% ^ 12/10/2025 3,341,625 2,200,000 Banco de Credito del Peru (3 Month LIBOR USD + 7.04%) 6.13% 04/24/2027 2,334,772 3,600,000 Banco de Reservas de la Republica Dominicana 7.00% 02/01/2023 3,771,000 3,000,000 Banco del Estado de Chile 3.88% 02/08/2022 3,112,316 2,500,000 Banco Latinoamericano de Comercio Exterior S.A. 2.38% ^ 09/14/2025 2,562,525 14,400,000 Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%) 6.88% † 07/06/2022 15,246,000 22,450,000 Banco Nacional de Comercio Exterior S.N.C. (5 Year CMT Rate + 3.00%) 3.80% 08/11/2026 22,586,272 5,683,000 Bangkok Bank PCL 3.88% 09/27/2022 5,979,475 2,400,000 Banistmo S.A. 3.65% ^ 09/19/2022 2,467,824 17,500,000 Banistmo S.A. 3.65% 09/19/2022 17,994,550 7,840,000 Bank of Nova Scotia 0.55% 09/15/2023 7,873,045 1,000,000 Bank of the Philippine Islands 2.50% 09/10/2024 1,039,375 5,210,000 Barclays PLC (1 Year CMT Rate + 0.80%) 1.01% 12/10/2024 5,247,870 5,360,000 BAT International Finance PLC 1.67% 03/25/2026 5,489,346 3,000,000 BBVA Banco Continental S.A. 5.00% 08/26/2022 3,202,935 2,000,000 BBVA Bancomer S.A. 6.50% 03/10/2021 2,024,000 4,071,000 BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%) 5.35% 11/12/2029 4,345,793 8,500,000 BDO Unibank, Inc. 2.63% 10/24/2021 8,632,570 1,000,000 BDO Unibank, Inc. 2.95% 03/06/2023 1,040,507 4,440,000 BPCE S.A. 2.38% ^ 01/14/2025 4,694,271 3,820,000 Broadcom, Inc. 2.25% 11/15/2023 3,992,027 4,200,000 C&W Senior Financing DAC 7.50% 10/15/2026 4,480,455 3,600,000 Cemex S.A.B. de C.V. 7.75% 04/16/2026 3,800,700 495,000 CIMB Bank BHD 3.26% 03/15/2022 508,345 3,231,000 Citigroup, Inc. 2.75% 04/25/2022 3,328,088 2,020,000 Citigroup, Inc. (Secured Overnight Financing Rate + 0.87%) 2.31% 11/04/2022 2,052,695 5,729,000 CNPC Overseas Capital Ltd. 4.50% 04/28/2021 5,787,207 11,000,000 Colombia Government International Bond 4.38% 07/12/2021 11,218,185 5,205,000 Commonwealth Bank of Australia 2.75% ^ 03/10/2022 5,362,769 4,719,000 Conagra Brands, Inc. 4.30% 05/01/2024 5,282,879 2,200,000 Credicorp Ltd. 2.75% ^ 06/17/2025 2,291,300 8,110,000 Credit Suisse Group AG (3 Month LIBOR USD + 1.24%) 1.46% ^ 06/12/2024 8,228,195 4,760,000 Daimler Finance North America LLC 2.30% ^ 02/12/2021 4,769,674 200,000 Daimler Finance North America LLC 3.40% ^ 02/22/2022 206,622 1,500,000 DBS Group Holdings Ltd. (3 Month LIBOR USD + 0.62%) 0.83% 07/25/2022 1,508,577 16,500,000 DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%) 3.60% † 09/07/2021 16,689,173 183,634 Digicel Group Ltd. (PIK 7.00%) 7.00% ^† 01/19/2021 51,417 1,111,694 Digicel Group Ltd. (PIK 8.00%) 8.00% ^ 04/01/2025 583,640 3,177,700 Empresa Electrica Angamos S.A. 4.88% 05/25/2029 3,189,013 5,074,000 Empresa Electrica Guacolda S.A. 4.56% 04/30/2025 4,579,538 13,279,170 ENA Norte Trust 4.95% 04/25/2023 13,677,545 10,200,000 Enel Generacion Chile S.A. 4.25% 04/15/2024 11,105,760 200,000 ENN Energy Holdings Ltd. 3.25% 07/24/2022 205,674 5,325,000 Equinix, Inc. 1.25% 07/15/2025 5,436,950 3,200,000 Export Import Bank of Thailand (3 Month LIBOR USD + 0.90%) 1.12% 11/20/2023 3,210,385 5,000,000 Export-Import Bank of India 3.13% 07/20/2021 5,062,247 179,412 Fenix Power Peru S.A. 4.32% 09/20/2027 189,247 5,352,000 General Mills, Inc. 3.15% 12/15/2021 5,457,250 2,000,000 Geopark Ltd. 6.50% 09/21/2024 2,080,000 10,555,000 GlaxoSmithKline Capital PLC 0.53% 10/01/2023 10,597,250 8,100,000 Global Bank Corporation 4.50% 10/20/2021 8,284,275 1,900,000 Global Bank Corporation 4.50% ^ 10/20/2021 1,943,225 1,400,000 Grupo Aval Ltd. 4.75% 09/26/2022 1,468,404 9,936,000 GrupoSura Finance S.A. 5.70% 05/18/2021 10,170,738 16,005,000 HPHT Finance Ltd. 2.88% 11/05/2024 16,743,311 5,235,000 Indian Oil Corporation Ltd. 5.63% 08/02/2021 5,377,248 3,000,000 Indian Oil Corporation Ltd. 5.75% 08/01/2023 3,311,877 6,500,000 Indonesia Government International Bond 4.88% 05/05/2021 6,597,242 3,500,000 Indonesia Government International Bond 3.75% 04/25/2022 3,648,890 800,000 Indonesia Government International Bond 2.95% 01/11/2023 835,975 2,652,410 Interoceanica Finance Ltd. 0.00% 11/30/2025 2,538,025 4,500,000 Inversiones CMPC S.A. 4.50% 04/25/2022 4,695,818 7,525,000 Itau Unibanco Holding S.A. 5.75% 01/22/2021 7,537,303 8,868,000 JD.com, Inc. 3.13% 04/29/2021 8,929,517 5,390,000 Kinder Morgan Energy Partners LP 3.95% 09/01/2022 5,658,640 2,700,000 Korea Development Bank 1.25% 06/03/2025 2,762,180 12,400,000 Korea Development Bank 0.80% 04/27/2026 12,459,159 5,300,000 Korea East-West Power Company Ltd. 1.75% 05/06/2025 5,541,516 8,500,000 Korea East-West Power Company Ltd. 1.75% ^ 05/06/2025 8,887,337 14,700,000 Korea Electric Power Corporation 1.13% 06/15/2025 14,956,031 1,900,000 Korea Electric Power Corporation 1.13% ^ 06/15/2025 1,933,092 11,300,000 KT Corporation 1.00% 09/01/2025 11,371,359 10,000,000 Latam Finance Ltd. 6.88% W 04/11/2024 5,125,000 11,600,000 LG Chem Ltd. 3.25% 10/15/2024 12,561,618 5,235,000 Macquarie Bank Ltd. 2.10% ^ 10/17/2022 5,401,419 2,000,000 Malayan Banking BHD (3 Month LIBOR USD + 0.80%) 1.02% 08/16/2024 1,994,471 11,428,000 Malayan Banking BHD (5 Year Swap Rate USD + 2.54%) 3.91% 10/29/2026 11,666,331 13,090,000 MEGlobal Canada ULC 5.00% ^ 05/18/2025 14,761,200 10,345,000 Mitsubishi UFJ Financial Group, Inc. (3 Month LIBOR USD + 0.86%) 1.07% 07/26/2023 10,462,655 10,815,000 Mizuho Financial Group, Inc. (3 Month LIBOR USD + 0.79%) 1.02% 03/05/2023 10,900,443 7,400,000 Multibank, Inc. 4.38% 11/09/2022 7,655,485 2,700,000 National Securities Clearing Corporation 1.20% ^ 04/23/2023 2,754,652 7,800,000 NongHyup Bank 1.25% ^ 07/20/2025 7,953,428 2,300,000 NongHyup Bank 1.25% 07/20/2025 2,345,242 16,195,000 ONGC Videsh Ltd. 2.88% 01/27/2022 16,424,944 4,000,000 ONGC Videsh Ltd. 3.75% 05/07/2023 4,191,300 4,000,000 Oversea-Chinese Banking Corporation Ltd. 4.25% 06/19/2024 4,387,196 5,600,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% 09/10/2030 5,693,159 11,300,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% ^ 09/10/2030 11,487,982 2,049,991 Panama Metro Line SP 0.00% ^ 12/05/2022 2,001,304 7,407,190 Panama Metro Line SP 0.00% 12/05/2022 7,231,269 5,520,000 PepsiCo, Inc. 0.75% 05/01/2023 5,600,308 3,334,000 Perusahaan Listrik Negara PT 5.50% 11/22/2021 3,486,114 3,800,000 Petronas Capital Ltd. 3.13% 03/18/2022 3,921,221 4,160,000 Philip Morris International, Inc. 0.88% 05/01/2026 4,179,457 332,000 Phillips 66 3.85% 04/09/2025 374,300 2,265,000 Phillips 66 1.30% 02/15/2026 2,305,251 1,955,000 PNC Bank (3 Month LIBOR USD + 0.42%) 2.03% 12/09/2022 1,985,639 1,170,000 PNC Bank 3.25% 06/01/2025 1,300,244 1,905,000 PNC Funding Corporation 3.30% 03/08/2022 1,968,391 8,000,000 POSCO 2.38% 11/12/2022 8,232,653 6,550,000 POSCO 2.38% 01/17/2023 6,756,983 2,300,000 POSCO 2.75% 07/15/2024 2,434,643 1,100,000 PSA Treasury Pte Ltd. 2.50% 04/12/2026 1,180,612 2,900,000 Qatar Government International Bond 4.50% 01/20/2022 3,026,411 19,310,000 Reliance Industries Ltd. 5.40% 02/14/2022 20,228,230 6,380,000 Royal Bank of Scotland Group PLC (3 Month LIBOR USD + 1.55%) 1.80% 06/25/2024 6,498,341 600,000 SACI Falabella 3.75% 04/30/2023 633,337 7,990,000 Santander UK PLC 2.50% 01/05/2021 7,990,000 4,455,000 Santander UK PLC 2.10% 01/13/2023 4,604,407 8,000,000 Saudi Arabian Oil Company 2.75% 04/16/2022 8,221,707 200,000 Saudi Arabian Oil Company 1.25% ^ 11/24/2023 202,642 2,000,000 Scotiabank Peru S.A. (3 Month LIBOR USD + 3.86%) 4.50% 12/13/2027 2,105,750 2,640,000 SingTel Group Treasury Pte Ltd. 3.25% 06/30/2025 2,921,373 4,251,000 SingTel Group Treasury Pte Ltd. 2.38% 10/03/2026 4,593,509 2,090,000 Sinopec Group Overseas Development Ltd. 2.00% 09/29/2021 2,104,686 3,000,000 Sinopec Group Overseas Development Ltd. 2.00% ^ 09/29/2021 3,021,080 3,500,000 State Grid Overseas Investment Ltd. 1.00% 08/05/2025 3,476,042 3,500,000 State Grid Overseas Investment Ltd. 3.13% 05/22/2023 3,682,177 5,405,000 Sumitomo Mitsui Financial Group, Inc. 2.06% 07/14/2021 5,454,579 5,440,000 Sumitomo Mitsui Trust Bank Ltd. 0.80% ^ 09/12/2023 5,492,383 4,625,000 Synchrony Financial 3.75% 08/15/2021 4,692,011 1,535,000 Synchrony Financial 2.85% 07/25/2022 1,585,528 5,252,000 Takeda Pharmaceutical Ltd. 4.00% 11/26/2021 5,404,427 6,511,000 Tecnoglass, Inc. 8.20% 01/31/2022 6,810,669 13,200,000 Telefonica Chile S.A. 3.88% 10/12/2022 13,851,882 2,900,000 Temasek Financial Ltd. 2.38% 01/23/2023 3,020,491 12,000,000 Tencent Holdings Ltd. 1.81% ^ 01/26/2026 12,282,216 6,205,000 Toronto-Dominion Bank 3.25% 06/11/2021 6,287,229 5,417,000 Toronto-Dominion Bank (Secured Overnight Financing Rate + 0.48%) 0.57% 01/27/2023 5,438,981 7,920,000 UBS Group Funding Switzerland AG (1 Year CMT Rate + 0.83%) 1.01% ^ 07/30/2024 8,001,109 9,720,000 Unifin Financiera S.A.B. de C.V. 7.25% 09/27/2023 9,440,647 3,850,000 Unifin Financiera S.A.B. de C.V. 7.00% 01/15/2025 3,674,382 1,000,000 Union Bank of the Philippines 3.37% 11/29/2022 1,045,451 850,000 United Overseas Bank Ltd. (3 Month LIBOR USD + 0.48%) 0.69% 04/23/2021 850,864 775,000 United Overseas Bank Ltd. (3 Month LIBOR USD + 0.48%) 0.69% ^ 04/23/2021 775,788 6,015,000 United Overseas Bank Ltd. (5 Year CMT Rate + 1.50%) 3.75% 04/15/2029 6,459,145 3,600,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.65%) 2.88% 03/08/2027 3,672,882 8,332,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 2.24%) 3.50% 09/16/2026 8,474,852 1,640,000 Upjohn, Inc. 1.13% ^ 06/22/2022 1,656,052 2,915,000 Vedanta Resources Ltd. 7.13% 05/31/2023 2,399,045 1,000,000 Vedanta Resources Ltd. 6.13% 08/09/2024 722,500 5,255,000 Volkswagen Group of America Finance LLC 0.88% ^ 11/22/2023 5,287,208 5,390,000 Wells Fargo & Company 2.60% 01/15/2021 5,393,527 2,205,000 Williams Companies, Inc. 4.30% 03/04/2024 2,434,467

Total Foreign Corporate Bonds (Cost $872,604,229) 887,607,319

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.9% 5,200,000 Abu Dhabi Government International Bond 0.75% ^ 09/02/2023 5,216,380 5,800,000 Abu Dhabi Government International Bond 2.50% ^ 04/16/2025 6,206,522 20,800,000 Brazilian Government International Bond 2.88% 06/06/2025 21,684,208 590,000 Indonesia Government International Bond 3.38% 04/15/2023 626,880 13,150,000 Panama Government International Bond 4.00% 09/22/2024 14,580,062 5,900,000 Panama Government International Bond 3.75% 03/16/2025 6,548,380 9,725,000 Perusahaan Penerbit 3.40% 03/29/2022 10,071,745 1,200,000 Perusahaan Penerbit 3.75% 03/01/2023 1,280,826 18,650,000 Peruvian Government International Bond 2.39% 01/23/2026 19,927,712 8,900,000 Qatar Government International Bond 2.38% 06/02/2021 8,975,294 13,000,000 Saudi Government International Bond 2.38% 10/26/2021 13,209,066 9,000,000 Saudi Government International Bond 2.88% 03/04/2023 9,435,240 3,711,000 Wakala Global Sukuk BHD 4.65% 07/06/2021 3,788,573

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $119,463,119) 121,550,888

Non-Agency Commercial Mortgage Backed Obligations - 15.7% 10,812,000 Arbor Realty Ltd., Series 2018-FL1-A (1 Month LIBOR USD + 1.15%) 1.31% ^ 06/15/2028 10,786,776 16,415,000 Arbor Realty Ltd., Series 2020-FL1 Ltd. (1 Month LIBOR USD + 1.40%, 1.40% Floor) 1.56% ^ 02/15/2035 16,214,737 6,452,658 Ashford Hospitality Trust, Series 2018-ASHF-A (1 Month LIBOR USD + 0.90%, 0.90% Floor) 1.06% ^ 04/15/2035 6,382,161 12,019,000 Atrium Hotel Portfolio Trust, Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 12/15/2036 8,869,129 7,570,000 Atrium Hotel Portfolio Trust, Series 2018-ATRM-A (1 Month LIBOR USD + 0.95%, 0.95% Floor) 1.11% ^ 06/15/2035 7,432,345 225,000 Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor) 3.56% ^ 06/15/2035 198,240 263,813 Bancorp Commercial Mortgage Trust, Series 2018-CRE4-A (1 Month LIBOR USD + 0.90%, 0.95% Floor) 1.06% ^ 09/15/2035 262,994 87,757,297 BANK, Series 2017-BNK5-XA 1.07% #I/O 06/15/2060 4,065,453 101,121,027 BANK, Series 2017-BNK6-XA 0.82% #I/O 07/15/2060 4,036,428 195,155,409 BANK, Series 2020-BN26-XA 1.24% #I/O 03/15/2063 17,528,215 91,654,685 Barclays Commercial Mortgage Securities LLC, Series 2017-C1-XA 1.49% #I/O 02/15/2050 6,417,890 2,261,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.36 %^ 08/15/2036 2,213,343 2,577,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D (1 Month LIBOR USD + 1.70%, 1.70% Floor) 1.86% ^ 08/15/2036 2,473,557 5,175,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F (1 Month LIBOR USD + 3.50%, 3.50% Floor) 3.66% ^ 08/15/2036 4,741,994 13,011,000 BBCMS Mortgage Trust, Series 2017-DELC-B (1 Month LIBOR USD + 1.03%, 1.03% Floor) 1.19% ^ 08/15/2036 12,768,023 13,430,131 BBCMS Mortgage Trust, Series 2018-BXH-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.16% ^ 10/15/2037 12,861,415 168,500 BBCMS Mortgage Trust, Series 2018-CBM-D (1 Month LIBOR USD + 2.39%, 2.39% Floor) 2.55% ^ 07/15/2037 153,415 17,989,000 BBCMS Mortgage Trust, Series 2018-TALL-A (1 Month LIBOR USD + 0.72%, 0.72% Floor) 0.88% ^ 03/15/2037 17,720,759 10,696,000 BBCMS Mortgage Trust, Series 2018-TALL-B (1 Month LIBOR USD + 0.97%, 0.97% Floor) 1.13% ^ 03/15/2037 10,485,708 240,193,413 BBCMS Mortgage Trust, Series 2020-C6-XA 1.06% #I/O 02/15/2053 18,406,502 59,000,000 BBCMS Mortgage Trust, Series 2020-C6-XB 0.68% #I/O 02/15/2053 3,409,427 3,316,000 BDS Ltd., Series 2019-FL4-A (1 Month LIBOR USD + 1.10%, 1.10% Floor) 1.25% ^ 08/15/2036 3,323,461 1,454,131 Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13-D 5.75% #^ 09/11/2041 1,431,159 127,957,325 Benchmark Mortgage Trust, Series 2018-B1-XA 0.52% #I/O 01/15/2051 3,747,397 175,551,842 Benchmark Mortgage Trust, Series 2020-B16-XA 0.93% #I/O 02/15/2053 12,416,396 35,720,000 Benchmark Mortgage Trust, Series 2020-IG1-XB 0.13% #I/O 09/15/2043 480,184 20,049,000 BFLD, Series 2019-DPLO-E (1 Month LIBOR USD + 2.24%, 2.24% Floor) 2.40% ^ 10/15/2034 18,913,036 7,792,000 BHMS Trust, Series 2018-ATLS-A (1 Month LIBOR USD + 1.25%, 1.25% Floor) 1.41% ^ 07/15/2035 7,604,059 1,878,000 BHMS Trust, Series 2018-ATLS-C (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 07/15/2035 1,774,547 5,632,325 BHP Trust, Series 2019-BXHP-A (1 Month LIBOR USD + 0.98%, 0.98% Floor) 1.13% ^ 08/15/2036 5,576,125 4,057,900 BHP Trust, Series 2019-BXHP-C (1 Month LIBOR USD + 1.52%, 1.52% Floor) 1.68% ^ 08/15/2036 3,939,295 18,407,000 Bsprt Issuer Ltd., Series 2019-FL5-A (1 Month LIBOR USD + 1.15%, 1.15% Floor) 1.31% ^ 05/15/2029 18,243,288 615,000 BX Commercial Mortgage Trust, Series 2018-BIOA-C (1 Month LIBOR USD + 1.12%, 1.10% Floor) 1.28% ^ 03/15/2037 616,471 3,590,000 BX Commercial Mortgage Trust, Series 2018-BIOA-D (1 Month LIBOR USD + 1.32%, 1.35% Floor) 1.48% ^ 03/15/2037 3,599,109 1,950,883 BX Commercial Mortgage Trust, Series 2018-EXCL-C (1 Month LIBOR USD + 1.98%, 1.98% Floor) 2.13% ^ 09/15/2037 1,609,159 3,820,660 BX Trust, Series 2017-APPL-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 07/15/2034 3,798,239 6,117,000 BX Trust, Series 2017-FL1-C (1 Month LIBOR USD + 1.95%, 1.95% Floor) 2.10% ^ 06/15/2035 6,103,769 4,048,953 BX Trust, Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%, 2.05% Floor) 2.21% ^ 07/15/2034 4,021,064 9,922,900 BX Trust, Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 07/15/2034 9,840,422 14,601,676 BX Trust, Series 2018-EXCL-A (1 Month LIBOR USD + 1.09%, 1.09% Floor) 1.25% ^ 09/15/2037 13,547,257 3,532,459 BX Trust, Series 2018-EXCL-B (1 Month LIBOR USD + 1.33%, 1.33% Floor) 1.48% ^ 09/15/2037 3,184,337 6,441,000 BX Trust, Series 2018-GW-A (1 Month LIBOR USD + 0.80%, 0.80% Floor) 0.96% ^ 05/15/2035 6,350,215 1,001,000 BX Trust, Series 2018-GW-D (1 Month LIBOR USD + 1.77%, 1.77% Floor) 1.93% ^ 05/15/2035 973,733 10,567,120 BX Trust, Series 2019-MMP-B (1 Month LIBOR USD + 1.30%, 1.30% Floor) 1.46% ^ 08/15/2036 10,572,613 1,895,514 BX Trust, Series 2019-MMP-C (1 Month LIBOR USD + 1.45%, 1.45% Floor) 1.61% ^ 08/15/2036 1,892,075 656,714 BX Trust, Series 2019-MMP-E (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 08/15/2036 638,943 8,181,000 BXMT Ltd., Series 2020-FL2-C (1 Month LIBOR USD + 1.65%, 1.65% Floor) 1.80% ^ 02/16/2037 8,087,352 25,790,270 CD Commercial Mortgage Trust, Series 2017-CD4-XA 1.29% #I/O 05/10/2050 1,511,367 6,444,000 CF Trust, Series 2019-MF1-A (1 Month LIBOR USD + 1.05%, 2.05% Floor) 2.05% ^ 08/21/2032 6,453,350 112,164,689 CFCRE Commercial Mortgage Trust, Series 2017-C8-XA 1.60% #I/O 06/15/2050 7,909,618 42,452,000 CFCRE Commercial Mortgage Trust, Series 2017-C8-XB 0.95% #I/O 06/15/2050 2,243,448 55,675,000 CFK Trust, Series 2020-MF2-X 0.77% #^I/O 03/15/2039 2,463,619 1,364,901 CG-CCRE Commercial Mortgage Trust, Series 2014-FL2-A (1 Month LIBOR USD + 1.85%, 1.85% Floor) 2.01% ^ 11/15/2031 1,309,450 3,804,908 CGDBB Commercial Mortgage Trust, Series 2017-BIOC-B (1 Month LIBOR USD + 0.97%, 0.95% Floor) 1.13% ^ 07/15/2032 3,807,266 183,000 CHT Mortgage Trust, Series 2017-CSMO-A (1 Month LIBOR USD + 0.93%, 0.93% Floor) 1.09% ^ 11/15/2036 181,399 5,584,000 CHT Mortgage Trust, Series 2017-CSMO-E (1 Month LIBOR USD + 3.00%, 3.00% Floor) 3.16% ^ 11/15/2036 5,374,618 1,748,000 CHT Mortgage Trust, Series 2017-CSMO-F (1 Month LIBOR USD + 3.74%, 3.74% Floor) 3.90% ^ 11/15/2036 1,688,290 32,951,527 Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA 1.25% #I/O 02/10/2049 1,648,450 59,099,670 Citigroup Commercial Mortgage Trust, Series 2016-P3-XA 1.70% #I/O 04/15/2049 3,849,776 9,000,000 Citigroup Commercial Mortgage Trust, Series 2018-TBR-A (1 Month LIBOR USD + 0.83%, 0.83% Floor) 0.99% ^ 12/15/2036 8,855,060 179,000 Citigroup Commercial Mortgage Trust, Series 2018-TBR-D (1 Month LIBOR USD + 1.80%, 1.80% Floor) 1.96% ^ 12/15/2036 165,043 242,000 Citigroup Commercial Mortgage Trust, Series 2019-PRM-D 4.35% ^ 05/10/2036 252,551 20,344,000 CLNC Ltd., Series 2019-FL1-A (1 Month LIBOR USD + 1.25%, 1.25% Floor) 1.40% ^ 08/20/2035 20,268,748 16,415,000 CLNC Ltd., Series 2019-FL1-AS (1 Month LIBOR USD + 1.55%, 1.55% Floor) 1.70% ^ 08/20/2035 16,196,943 7,461,586 Commercial Mortgage Pass-Through Certificates, Series 2012-CR2-XA 1.62% #I/O 08/15/2045 133,990 105,027,841 Commercial Mortgage Pass-Through Certificates, Series 2013-CR12-XA 1.12% #I/O 10/10/2046 2,793,268 19,919,355 Commercial Mortgage Pass-Through Certificates, Series 2013-LC6-XA 1.32% #I/O 01/10/2046 398,626 2,950,000 Commercial Mortgage Pass-Through Certificates, Series 2014-FL5-C (1 Month LIBOR USD + 2.15%, 2.15% Floor) 1.53% ^ 10/15/2031 2,728,168 6,657,000 Commercial Mortgage Pass-Through Certificates, Series 2014-FL5-D (1 Month LIBOR USD + 4.00%, 4.00% Floor) 1.53% ^ 10/15/2031 5,976,799 154,794,279 Commercial Mortgage Pass-Through Certificates, Series 2015-CR25-XA 0.83% #I/O 08/10/2048 4,997,208 21,308,000 Commercial Mortgage Pass-Through Certificates, Series 2018-HCLV-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.16% ^ 09/15/2033 20,380,429 10,603,000 Credit Suisse Commercial Mortgage Securities Corporation, Series 2019-SKLZ-A (1 Month LIBOR USD + 1.25%, 1.25% Floor) 1.41% ^ 01/15/2034 10,525,334 5,464,000 Credit Suisse Mortgage Trust, Series 2017-LSTK-C 3.23% ^ 04/05/2033 5,412,801 6,501,000 Credit Suisse Mortgage Trust, Series 2017-LSTK-D 3.33% #^ 04/05/2033 6,383,364 125,291,815 CSAIL Commercial Mortgage Trust, Series 2017-C8-XA 1.23% #I/O 06/15/2050 6,054,263 19,803,498 CSAIL Commercial Mortgage Trust, Series 2017-CX9-XA 0.87% #I/O 09/15/2050 549,175 10,862,000 CSMC Trust, Series 2017-CHOP-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 07/15/2032 9,700,530 811,000 CSMC Trust, Series 2017-LSTK-E 3.33% #^ 04/05/2033 788,738 583,000 CSMC Trust, Series 2017-MOON-D 3.20% #^ 07/10/2034 581,252 12,303,779 CSWF Trust, Series 2018-TOP-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.16% ^ 08/15/2035 12,278,404 12,925,000 DBCG Mortgage Trust, Series 2017-BBG-B (1 Month LIBOR USD + 0.85%, 0.95% Floor) 1.01% ^ 06/15/2034 12,927,432 9,501,400 Exantas Capital Corporation, Series 2019-RSO7-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.15% ^ 04/15/2036 9,394,737 8,398,700 Exantas Capital Corporation, Series 2020-RSO8-A (1 Month LIBOR USD + 1.15%, 1.15% Floor) 1.30% ^ 03/15/2035 8,358,369 15,000,000 Exantas Capital Corporation, Series 2020-RSO8-AS (1 Month LIBOR USD + 1.45%, 1.45% Floor) 1.60% ^ 03/15/2035 14,896,920 29,135,000 FS Rialto, Series 2019-FL1-A (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.35% ^ 12/16/2036 28,854,780 1,637,745 GPMT Ltd., Series 2018-FL1-A (1 Month LIBOR USD + 0.90%, 0.90% Floor) 1.05% ^ 11/21/2035 1,630,115 12,432,000 GPMT Ltd., Series 2018-FL1-D (1 Month LIBOR USD + 2.95%, 2.95% Floor) 3.10% ^ 11/21/2035 11,875,593 17,691,000 GPMT Ltd., Series 2019-FL2-A (1 Month LIBOR USD + 1.30%, 1.30% Floor) 1.45% ^ 02/22/2036 17,666,639 20,623,000 Great Wolf Trust, Series 2019-WOLF-E (1 Month LIBOR USD + 2.73%, 2.73% Floor) 2.89% ^ 12/15/2036 18,704,461 1,512,000 GS Mortgage Securities Corporation, Series 2017-500K-D (1 Month LIBOR USD + 1.30%, 1.30% Floor) 1.46% ^ 07/15/2032 1,506,991 6,000,000 GS Mortgage Securities Corporation, Series 2018-TWR-A (1 Month LIBOR USD + 0.90%, 0.85% Floor) 1.06% ^ 07/15/2031 5,959,684 6,000,000 GS Mortgage Securities Corporation, Series 2018-TWR-D (1 Month LIBOR USD + 1.60%, 1.50% Floor) 1.76% ^ 07/15/2031 5,703,790 110,076,056 GS Mortgage Securities Trust, Series 2017-GS6-XA 1.03% #I/O 05/10/2050 6,152,041 132,328,366 GS Mortgage Securities Trust, Series 2017-GS7-XA 1.12% #I/O 08/10/2050 7,403,626 153,159,521 GS Mortgage Securities Trust, Series 2017-GS8-XA 0.97% #I/O 11/10/2050 7,580,462 4,330,000 Hilton Orlando Trust, Series 2018-ORL-B (1 Month LIBOR USD + 1.05%, 1.05% Floor) 1.21% ^ 12/15/2034 4,212,877 7,250,000 Hunt Ltd., Series 2017-FL1-B (1 Month LIBOR USD + 1.65%) 1.81% ^ 08/15/2034 7,049,574 20,301,000 Hunt Ltd., Series 2018-FL2-A (1 Month LIBOR USD + 1.08%, 1.08% Floor) 1.24% ^ 08/15/2028 20,272,761 3,605,955 IMT Trust, Series 2017-APTS-DFL (1 Month LIBOR USD + 1.55%, 1.55% Floor) 1.71% ^ 06/15/2034 3,600,400 417,144 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL10-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 06/15/2032 415,889 7,837,216 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-LAQ-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) 1.16% ^ 06/15/2032 7,742,802 4,546,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C4-E 5.56% #^ 07/15/2046 4,467,922 14,575,238 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20-XA 0.94% #I/O 07/15/2047 239,143 64,931,571 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4-XA 0.68% #I/O 12/15/2049 1,710,927 12,491,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFL (1 Month LIBOR USD + 2.60%, 2.60% Floor) 2.75% ^ 07/05/2033 11,761,241 59,178,200 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-ACE-XA 0.34% #^I/O 01/10/2037 688,775 117,285,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-MKST-XCP 2.63% #^I/O 12/15/2036 2,767,926 2,550,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-B 4.35% # 11/15/2047 2,719,887 66,174,338 JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA 1.22% #I/O 11/15/2048 2,215,001 26,080,112 JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5-XA 1.50% #I/O 06/13/2052 2,493,519 15,902,000 JPMCC Commercial Mortgage Securities Trust, Series 2019-MFP-A (1 Month LIBOR USD + 0.96%, 0.96% Floor) 1.12% ^ 07/15/2036 15,797,826 10,877,205 KKR Industrial Portfolio Trust, Series 2020-AIP-F (1 Month LIBOR USD + 3.43%, 3.43% Floor) 3.59% ^ 03/15/2037 10,823,293 500,000 LCCM Mortgage Trust, Series 2014-909-D 3.90% #^ 05/15/2031 498,423 5,697,635 LoanCore Issuer Ltd., Series 2018-CRE1-A (1 Month LIBOR USD + 1.13%, 1.13% Floor) 1.29% ^ 05/15/2028 5,678,263 18,273,000 LoanCore Issuer Ltd., Series 2019-CRE2-AS (1 Month LIBOR USD + 1.50%, 1.50% Floor) 1.66% ^ 05/15/2036 18,142,056 11,562,945 LoanCore Issuer Ltd., Series 2019-CRE3-A (1 Month LIBOR USD + 1.05%, 1.05% Floor) 1.21% ^ 04/15/2034 11,451,004 13,395,601 LoanCore Issuer Ltd., Series 2019-CRE3-AS (1 Month LIBOR USD + 1.37%, 1.37% Floor) 1.53% ^ 04/15/2034 13,176,020 64,407,648 LSTAR Commercial Mortgage Trust, Series 2017-5-X 0.99% #^I/O 03/10/2050 2,013,583 8,226,937 Marathon CRE, Series 2018-FL1-A (1 Month LIBOR USD + 1.15%, 1.15% Floor) 1.30% ^ 06/15/2028 8,209,084 16,723,000 MF1 2019-FL2 Ltd., Series 2019-FL2-A (1 Month LIBOR USD + 1.13%, 1.13% Floor) 1.28% ^ 12/25/2034 16,608,347 2,459,532 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5-XA 1.41% #^I/O 08/15/2045 38,388 14,636,056 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-LNCX 0.60% ^I/O 12/15/2046 308,143 3,384,000 Morgan Stanley Capital Barclays Bank Trust, Series 2016-MART-B 2.48% ^ 09/13/2031 3,357,607 1,403,394 Morgan Stanley Capital Trust, Series 2006-HQ10-X1 0.51% #^I/O 11/12/2041 18 288,471 Morgan Stanley Capital Trust, Series 2006-IQ11-B 5.99% # 10/15/2042 286,993 3,216,000 Morgan Stanley Capital Trust, Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%, 2.20% Floor) 2.36% ^ 11/15/2034 2,878,558 4,824,000 Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2034 4,239,447 2,324,000 Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%, 4.35% Floor) 4.51% ^ 11/15/2034 1,933,073 67,901,675 Morgan Stanley Capital Trust, Series 2017-H1-XA 1.42% #I/O 06/15/2050 4,113,266 12,901,000 Morgan Stanley Capital Trust, Series 2018-SUN-A (1 Month LIBOR USD + 0.90%, 0.90% Floor) 1.06% ^ 07/15/2035 12,750,445 7,895,000 Morgan Stanley Capital Trust, Series 2019-PLND-D (1 Month LIBOR USD + 1.75%, 1.75% Floor) 1.91% ^ 05/15/2036 7,092,117 10,191,088 Motel 6 Trust, Series 2017-MTL6-D (1 Month LIBOR USD + 2.15%, 2.15% Floor) 2.31% ^ 08/15/2034 10,110,411 5,185,000 Natixis Commercial Mortgage Securities Trust, Series 2018-850T-C (1 Month LIBOR USD + 1.15%, 1.15% Floor) 1.31% ^ 07/15/2033 4,970,966 11,958,039 Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-A (1 Month LIBOR USD + 0.95%, 0.95% Floor) 1.09% ^ 06/15/2035 11,791,550 19,570,000 NLY Commercial Mortgage Trust, Series 2019-FL2-AS (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.76% ^ 02/15/2036 19,396,042 7,971,669 PFP Ltd., Series 2019-5-A (1 Month LIBOR USD + 0.97%, 0.97% Floor) 1.12% ^ 04/14/2036 7,860,839 5,621,000 PFP Ltd., Series 2019-6-A (1 Month LIBOR USD + 1.05%, 1.05% Floor) 1.20% ^ 04/14/2037 5,545,510 4,638,651 Rosslyn Portfolio Trust, Series 2017-ROSS-A (1 Month LIBOR USD + 0.95%, 1.94% Floor) 1.94% ^ 06/15/2033 4,657,096 5,277,671 Rosslyn Portfolio Trust, Series 2017-ROSS-B (1 Month LIBOR USD + 1.25%, 2.24% Floor) 2.24% ^ 06/15/2033 5,296,830 14,386,675 Shelter Growth Issuer Ltd., Series 2019-FL2-B (1 Month LIBOR USD + 2.30%, 1.80% Floor) 2.46% ^ 05/15/2036 14,150,273 14,157,992 SLIDE, Series 2018-FUN-A (1 Month LIBOR USD + 0.90%, 0.90% Floor) 1.06% ^ 06/15/2031 13,899,289 12,887,000 STWD Ltd., Series 2019-FL1-AS (1 Month LIBOR USD + 1.40%, 1.40% Floor) 1.56% ^ 07/15/2038 12,834,112 16,923,000 TRTX Issuer Ltd., Series 2019-FL3-AS (1 Month LIBOR USD + 1.45%, 1.45% Floor) 1.60% ^ 10/15/2034 16,887,462 25,258,080 UBS Commercial Mortgage Trust, Series 2012-C1-XA 2.06% #^I/O 05/10/2045 400,323 63,787,418 UBS Commercial Mortgage Trust, Series 2017-C1-XA 1.54% #I/O 06/15/2050 4,763,791 104,208,772 UBS Commercial Mortgage Trust, Series 2017-C3-XA 1.10% #I/O 08/15/2050 5,575,128 117,094,483 UBS Commercial Mortgage Trust, Series 2018-C8-XA 0.87% #I/O 02/15/2051 5,866,832 552,000 UBS Commercial Mortgage Trust, Series 2018-NYCH-D (1 Month LIBOR USD + 2.10%, 2.10% Floor) 2.26% ^ 02/15/2032 512,085 5,245,062 VMC Finance LLC, Series 2018-FL2-A (1 Month LIBOR USD + 0.92%, 0.92% Floor) 1.07% ^ 10/15/2035 5,238,673 28,605,627 Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-XA 0.77% #I/O 09/15/2058 849,250 182,962,504 Wells Fargo Commercial Mortgage Trust, Series 2019-C51-XA 1.37% #I/O 06/15/2052 16,149,240 11,682,148 WF-RBS Commercial Mortgage Trust, Series 2012-C8-XA 1.79% #^I/O 08/15/2045 216,055

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $1,100,377,804) 1,030,915,556

Non-Agency Residential Collateralized Mortgage Obligations - 17.2% 8,261,512 Ajax Mortgage Loan Trust, Series 2018-E-A 4.38% #^ 06/25/2058 8,364,127 29,631,288 Ajax Mortgage Loan Trust, Series 2018-F-A 4.38% #^ 11/25/2058 30,947,687 3,009,287 Ajax Mortgage Loan Trust, Series 2019-C-A 3.95% #^ 10/25/2058 3,021,991 17,052,081 Arroyo Mortgage Trust, Series 2019-3-A2 3.21% #^ 10/25/2048 17,489,197 9,215,784 Arroyo Mortgage Trust, Series 2019-3-A3 3.42% #^ 10/25/2048 9,450,567 142,902 Banc of America Funding Corporation, Series 2005-E-6A1 2.85% # 05/20/2035 144,388 660,401 Banc of America Mortgage Securities Trust, Series 2005-E-2A1 3.23% # 06/25/2035 610,285 6,060,038 Bayview Opportunity Master Fund Trust, Series 2019-SBR1-A1 3.47% ^§ 06/28/2034 6,088,720 11,653,806 Bayview Opportunity Master Fund Trust, Series 2019-SBR2-A1 3.43% ^§ 06/28/2034 11,880,986 666,693 BCAP LLC Trust, Series 2011-RR1-8A3 6.00% #^ 08/28/2021 680,109 2,091,587 Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-9-4A1 3.09% # 02/25/2034 2,069,502 233,883 Bear Stearns Asset Backed Securities Trust, Series 2004-AC2-2A 5.00% 05/25/2034 231,597 10,690,522 BRAVO Residential Funding Trust, Series 2020-RPL1-A1 2.50% #^ 05/26/2059 11,063,934 711,366 Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1-2A1 (1 Year CMT Rate + 2.40%, 2.40% Floor, 9.87% Cap) 2.52% 03/25/2036 708,517 33,971,957 Citigroup Mortgage Loan Trust, Inc., Series 2018-A-A1 4.00% #^ 01/25/2068 34,168,465 15,550,191 Citigroup Mortgage Loan Trust, Inc., Series 2018-C-A1 4.13% ^§ 03/25/2059 15,574,780 9,031,733 Citigroup Mortgage Loan Trust, Series 2019-B-A1 3.26% #^ 04/25/2066 9,238,417 6,165,173 Citigroup Mortgage Loan Trust, Series 2019-C-A1 3.23% ^§ 09/25/2059 6,222,740 32,156,305 Citigroup Mortgage Loan Trust, Series 2019-E-A1 3.23% ^§ 11/25/2070 32,360,304 15,908,160 Citigroup Mortgage Loan Trust, Series 2020-EXP1-A1A 1.80% #^ 05/25/2060 16,032,292 23,591,834 COLT Mortgage Loan Trust, Series 2020-2-A1 1.85% #^ 03/25/2065 23,923,979 9 Countrywide Asset-Backed Certificates, Series 2005-15-1AF6 3.68% # 04/25/2036 9 1,399,616 Countrywide Home Loans, Series 2004-HYB9-1A1 2.81% # 02/20/2035 1,410,491 26,475 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-5A1 5.25% 12/25/2020 15,536 2,512,349 Credit Suisse Mortgage Capital Certificates, Series 2011-5R-6A9 3.22% #^ 11/27/2037 2,533,273 6,884,096 Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4-A1 3.49% ^ 08/26/2058 6,913,845 23,997,206 Credit Suisse Mortgage Capital Certificates, Series 2020-BPL1-A1 3.39% ^§ 02/25/2024 24,027,750 37,192,130 CSMC Trust, Series 2018-RPL8-A1 4.13% #^ 07/25/2058 37,351,573 44,541,816 CSMC Trust, Series 2019-RP10-A1 3.09% #^ 12/26/2059 44,773,897 17,146,883 CSMC Trust, Series 2019-RPL2-A1 3.86% #^ 11/25/2058 17,647,887 18,984,338 CSMC Trust, Series 2020-BPL2-A1 3.45% ^ 03/25/2026 19,003,812 18,105,861 CSMC Trust, Series 2020-RPL3-A1 2.69% #^ 03/25/2060 18,152,107 797,865 Deephaven Residential Mortgage Trust, Series 2017-2A-A1 2.45% #^ 06/25/2047 799,332 387,535 Deephaven Residential Mortgage Trust, Series 2017-2A-A2 2.61% #^ 06/25/2047 388,222 569,904 Deephaven Residential Mortgage Trust, Series 2017-2A-A3 2.71% #^ 06/25/2047 570,343 1,854,569 Deephaven Residential Mortgage Trust, Series 2019-1A-A1 3.74% #^ 01/25/2059 1,876,124 9,428,783 Ellington Financial Mortgage Trust, Series 2020-1-A1 2.01% #^ 05/25/2065 9,587,094 3,077,507 First Horizon Mortgage Pass-Through Trust, Series 2007-AR2-1A1 3.45% # 08/25/2037 2,013,339 3,699,724 GCAT LLC, Series 2020-2-A1 3.72% ^§ 06/25/2025 3,714,650 9,705,698 GCAT LLC, Series 2020-3-A1 2.98% ^§ 09/25/2025 9,821,746 19,806,796 GS Mortgage-Backed Securities Trust, Series 2019-SL1-A1 2.63% #^ 01/25/2059 20,146,748 1,074,792 GSR Mortgage Loan Trust, Series 2005-AR7-3A1 2.91% # 11/25/2035 1,006,346 3,024,029 Homeward Opportunities Fund Trust, Series 2018-1-A1 3.77% #^ 06/25/2048 3,047,517 4,833,340 Homeward Opportunities Fund Trust, Series 2018-1-A2 3.90% #^ 06/25/2048 4,848,520 5,616,205 Homeward Opportunities Fund Trust, Series 2018-1-A3 4.00% #^ 06/25/2048 5,620,544 28,075,308 Invitation Homes Trust, Series 2017-SFR2-A (1 Month LIBOR USD + 0.85%, 0.85% Floor) 1.00% ^ 12/17/2036 28,093,097 11,870,399 Invitation Homes Trust, Series 2018-SFR1-A (1 Month LIBOR USD + 0.70%) 0.85% ^ 03/17/2037 11,801,328 90,956 JP Morgan Alternative Loan Trust, Series 2006-S4-A6 5.71% ß 12/25/2036 91,105 4,960 JP Morgan Mortgage Trust, Series 2007-S1-1A1 5.00% 03/25/2022 4,917 10,732 JP Morgan Mortgage Trust, Series 2007-S3-2A2 5.50% 08/25/2022 11,098 12,809,594 Legacy Mortgage Asset Trust 2019-GS4, Series 2019-GS4-A1 3.44% ^§ 05/25/2059 12,888,949 23,271,205 Legacy Mortgage Asset Trust 2019-GS7, Series 2019-GS7-A1 3.25% ^§ 11/25/2059 23,344,637 19,999,660 Legacy Mortgage Asset Trust, Series 2018-GS1-A1 4.00% ^§ 03/25/2058 20,097,815 16,705,111 Legacy Mortgage Asset Trust, Series 2018-GS3-A1 4.00% ^§ 06/25/2058 16,840,939 26,320,466 Legacy Mortgage Asset Trust, Series 2019-GS1-A1 4.00% ^§ 01/25/2059 26,992,811 27,258,943 Legacy Mortgage Asset Trust, Series 2019-GS3-A1 3.75% ^§ 04/25/2059 27,555,744 468,547 Legacy Mortgage Asset Trust, Series 2019-GS5-A1 3.20% ^§ 05/25/2059 473,761 27,492,027 Legacy Mortgage Asset Trust, Series 2019-GS6-A1 3.00% ^§ 06/25/2059 27,657,766 44,339,678 Legacy Mortgage Asset Trust, Series 2020-GS5-A1 3.25% ^ 06/25/2060 44,721,602 9,104,260 Legacy Mortgage Asset Trust, Series 2020-SL1-A 2.73% ^§ 01/25/2060 9,128,445 2,715,534 MASTR Adjustable Rate Mortgages Trust, Series 2006-2-2A1 2.71% # 04/25/2036 2,128,615 1,733,589 Merrill Lynch Mortgage Investors Trust, Series 2005-3-2A 2.41% # 11/25/2035 1,701,693 11,224,655 MFA LLC, Series 2018-NPL1-A1 3.88% ^§ 05/25/2048 11,266,380 11,875,316 Mill City Mortgage Loan Trust, Series 2017-3-A1 2.75% #^ 01/25/2061 12,193,506 7,207 Morgan Stanley Mortgage Loan Trust, Series 2004-1-1A1 5.00% 11/25/2018 7,278 10,464,174 New Residential Mortgage Loan Trust, Series 2018-FNT1-A 3.61% ^ 05/25/2023 10,498,308 6,837,663 New Residential Mortgage Loan Trust, Series 2019-NQM1-A2 3.88% #^ 01/25/2049 6,900,116 7,648,050 New Residential Mortgage Loan Trust, Series 2020-NPL1-A1 4.34% ^§ 07/25/2060 7,753,684 19,785,502 New Residential Mortgage Loan Trust, Series 2020-RPL2-A1 3.58% #^ 08/25/2025 19,861,601 473,840 Oaktown Ltd., Series 2019-1A-M1A (1 Month LIBOR USD + 1.40%, 1.40% Floor) 1.55% ^ 07/25/2029 474,496 3,088,520 OBX Trust, Series 2018-1-A2 (1 Month LIBOR USD + 0.65%) 0.80% ^ 06/25/2057 3,085,243 10,431 Opteum Mortgage Acceptance Corporation, Series 2005-5-2AN 5.68% # 12/25/2035 10,469 39,888,191 Pretium Mortgage Credit Partners LLC, Series 2020-NPL1-A1 2.86% ^§ 05/27/2059 40,105,290 7,118,151 PRPM LLC, Series 2019-3A-A1 3.35% ^§ 07/25/2024 7,143,747 13,228,678 PRPM LLC, Series 2019-4A-A1 3.35% ^§ 11/25/2024 13,297,097 29,801,989 PRPM LLC, Series 2020-1A-A1 2.98% ^§ 02/25/2025 29,913,318 42,162,895 PRPM LLC, Series 2020-3-A1 2.86% ^§ 09/25/2025 42,569,775 2,653,210 Radnor Ltd., Series 2019-2-M1A (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.35% ^ 06/25/2029 2,652,137 3,014,441 Starwood Mortgage Residential Trust, Series 2020-3-A1 1.49% #^ 04/25/2065 3,038,846 189,469 Structured Asset Securities Corporation, Series 2003-24A-1A3 2.74% # 07/25/2033 189,794 45,000,000 Toorak Mortgage Corporation Ltd., Series 2020-1-A1 2.73% ^§ 03/25/2023 45,621,099 11,526,682 VCAT LLC, Series 2020-NPL1-A1 3.67% ^§ 08/25/2050 11,679,498 5,302,340 Velocity Commercial Capital Loan Trust, Series 2019-2-A 3.13% #^ 07/25/2049 5,464,836 2,597,332 Vericrest Opportunity Loan Trust, Series 2019-NPL7-A1A 3.18% ^§ 10/25/2049 2,603,855 11,367,091 Vericrest Opportunity Loan Trust, Series 2019-NPL8-A1A 3.28% ^§ 11/25/2049 11,389,272 10,031,854 Vericrest Opportunity Loan Trust, Series 2020-NPL2-A1A 2.98% ^§ 02/25/2050 10,062,736 7,856,697 Vericrest Opportunity Loan Trust, Series 2020-NPL5-A1A 2.98% ^§ 03/25/2050 7,875,802 3,173,520 Verus Securitization Trust, Series 2017-1A-A1 2.85% #^ 01/25/2047 3,189,933 470,151 Verus Securitization Trust, Series 2017-1A-A2 3.16% #^ 01/25/2047 472,795 15,186,602 Verus Securitization Trust, Series 2020-2-A1 2.23% #^ 05/25/2060 15,521,312 9,411,415 Verus Securitization Trust, Series 2020-INV1-A1 1.98% #^ 03/25/2060 9,559,463 2,463,588 VOLT LLC, Series 2019-NP10-A1A 3.43% ^§ 12/27/2049 2,473,389 9,447,732 VOLT LLC, Series 2019-NPL6-A1A 3.23% ^§ 10/25/2049 9,475,225 9,243,324 VOLT LLC, Series 2019-NPL9-A1A 3.33% ^§ 11/26/2049 9,283,661 8,410,408 VOLT LLC, Series 2020-NPL1-A1A 3.23% ^§ 01/25/2050 8,446,622 5,958,066 VOLT LLC, Series 2020-NPL3-A1A 2.98% ^§ 02/25/2050 5,975,063 28,305,323 VOLT LLC, Series 2020-NPL4-A1 2.98% ^§ 03/25/2050 28,379,625 180,425 Washington Mutual Mortgage Pass-Through Certificates, Series 2002-AR16-A 2.33% # 12/25/2032 179,755

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $1,118,703,314) 1,127,692,637

US Corporate Bonds - 4.4% 7,725,000 AbbVie, Inc. 2.30% 11/21/2022 8,011,572 5,368,000 American Express Company (3 Month LIBOR USD + 0.65%) 0.88% 02/27/2023 5,415,724 4,736,000 American Tower Corporation 2.40% 03/15/2025 5,037,933 331,000 Amgen, Inc. 2.70% 05/01/2022 340,620 4,637,000 Amgen, Inc. 2.65% 05/11/2022 4,780,820 3,075,000 Amgen, Inc. 3.63% 05/15/2022 3,186,663 3,300,000 Amgen, Inc. 1.90% 02/21/2025 3,474,755 2,610,000 Anthem, Inc. 3.30% 01/15/2023 2,762,447 4,744,000 Anthem, Inc. 3.50% 08/15/2024 5,206,956 4,754,000 AT&T, Inc. 4.45% 04/01/2024 5,310,708 10,419,000 Bank of America Corporation (3 Month LIBOR USD + 0.79%) 1.02% 03/05/2024 10,500,174 4,595,000 BB&T Corporation 2.20% 03/16/2023 4,770,589 5,085,000 Bristol-Myers Squibb Company 2.60% 05/16/2022 5,247,775 1,550,000 Capital One Financial Corporation 3.20% 01/30/2023 1,633,948 3,265,000 Capital One Financial Corporation 3.90% 01/29/2024 3,577,949 10,185,000 Cardinal Health, Inc. 2.62% 06/15/2022 10,487,983 5,135,000 Carrier Global Corporation 1.92% 02/15/2023 5,292,281 4,970,000 Cigna Corporation 3.40% 09/17/2021 5,077,515 5,071,000 Cintas Corporation 2.90% 04/01/2022 5,220,829 5,360,000 Citigroup, Inc. (3 Month LIBOR USD + 1.02%) 1.25% 06/01/2024 5,422,352 1,645,000 Crown Castle International Corporation 1.35% 07/15/2025 1,680,644 1,318,000 CVS Health Corporation 3.70% 03/09/2023 1,411,313 3,195,000 Dollar Tree, Inc. 4.00% 05/15/2025 3,608,556 1,605,000 Dollar Tree, Inc. 3.70% 05/15/2023 1,718,547 620,000 DTE Energy Company 2.25% 11/01/2022 641,859 2,410,000 DTE Energy Company 2.53% 10/01/2024 2,570,168 2,005,000 DTE Energy Company 1.05% 06/01/2025 2,028,810 4,500,000 DuPont de Nemours, Inc. 4.49% 11/15/2025 5,255,377 5,015,000 eBay, Inc. 2.75% 01/30/2023 5,253,984 5,350,000 Entergy Corporation 0.90% 09/15/2025 5,353,137 5,345,000 Exxon Mobil Corporation 1.57% 04/15/2023 5,498,930 9,477,000 Goldman Sachs Group, Inc. 3.50% 04/01/2025 10,546,856 2,605,000 Honeywell International, Inc. 0.48% 08/19/2022 2,609,297 5,035,000 Hyundai Capital America 2.85% ^ 11/01/2022 5,220,556 6,515,000 JPMorgan Chase & Company (3 Month LIBOR USD + 0.70%) 3.21% 04/01/2023 6,757,100 5,290,000 McDonald’s Corporation 2.63% 01/15/2022 5,418,319 5,065,000 Microchip Technology, Inc. 0.97% ^ 02/15/2024 5,080,533 4,745,000 Micron Technology, Inc. 2.50% 04/24/2023 4,948,231 4,990,000 Mondelez International, Inc. 0.63% 07/01/2022 5,013,376 5,295,000 Mondelez International, Inc. 2.13% 04/13/2023 5,502,278 10,455,000 Morgan Stanley (3 Month LIBOR USD + 0.93%) 1.15% 07/22/2022 10,500,429 9,634,000 Northrop Grumman Corporation 2.93% 01/15/2025 10,482,400 2,436,000 Omnicom Capital, Inc. 3.63% 05/01/2022 2,541,457 3,720,000 Oracle Corporation 2.50% 04/01/2025 3,997,325 3,498,000 Pacific Gas and Electric Company 1.75% 06/16/2022 3,508,152 4,930,000 PayPal Holdings, Inc. 2.20% 09/26/2022 5,095,008 460,000 PayPal Holdings, Inc. 1.35% 06/01/2023 471,250 4,915,000 Penske Truck Leasing Company 2.70% ^ 11/01/2024 5,267,560 10,010,000 Prudential Financial, Inc. 3.50% 05/15/2024 11,021,521 4,821,000 PSEG Power LLC 3.85% 06/01/2023 5,190,089 4,915,000 Republic Services, Inc. 2.50% 08/15/2024 5,250,431 4,920,000 Royalty Pharma PLC 0.75% ^ 09/02/2023 4,946,422 4,815,000 Schlumberger Holdings Corporation 3.75% ^ 05/01/2024 5,253,051 5,080,000 Simon Property Group LP 2.00% 09/13/2024 5,310,669 2,055,000 Target Corporation 2.90% 01/15/2022 2,112,076 5,180,000 Union Pacific Corporation 3.20% 06/08/2021 5,244,415 2,655,000 Valero Energy Corporation 1.20% 03/15/2024 2,681,224 5,285,000 Verizon Communications, Inc. (3 Month LIBOR USD + 1.10%) 1.32% 05/15/2025 5,430,227 5,015,000 Welltower, Inc. 3.63% 03/15/2024 5,467,458

Total US Corporate Bonds (Cost $280,312,596) 286,648,628

US Government and Agency Mortgage Backed Obligations - 8.9% 18,478,757 Federal Home Loan Mortgage Corporation 3.50% 04/15/2049 19,367,560 124,269,491 Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1 1.31% #I/O 03/25/2023 2,657,093 1,163,582 Federal Home Loan Mortgage Corporation, Pool 840632 (12 Month LIBOR USD + 1.62%, 1.62% Floor, 7.67% Cap) 3.10% 05/01/2045 1,209,945 192,760 Federal Home Loan Mortgage Corporation, Pool N70081 5.50% 07/01/2038 219,400 19,134,799 Federal Home Loan Mortgage Corporation, Pool RB5085 2.00% 11/01/2040 19,922,998 48,557,302 Federal Home Loan Mortgage Corporation, Pool SB8061 2.00% 09/01/2035 50,766,151 44,049,129 Federal Home Loan Mortgage Corporation, Pool SB8067 1.50% 09/01/2035 45,342,400 48,282,222 Federal Home Loan Mortgage Corporation, Pool SB8068 1.50% 10/01/2035 49,703,207 1,397,006 Federal Home Loan Mortgage Corporation, Series 3025-FW (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap) 0.41% 08/15/2035 1,396,756 21,987 Federal Home Loan Mortgage Corporation, Series 3872-BA 4.00% 06/15/2041 23,842 1,102,691 Federal Home Loan Mortgage Corporation, Series 4050-BC 2.00% 05/15/2041 1,110,546 532,677 Federal Home Loan Mortgage Corporation, Series 4074-KF (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.00% Cap) 0.46% 02/15/2041 532,804 2,633,691 Federal Home Loan Mortgage Corporation, Series 4203-NB 2.00% 10/15/2040 2,683,454 10,615,318 Federal Home Loan Mortgage Corporation, Series 4211-AP 1.60% 03/15/2043 10,880,472 644,346 Federal Home Loan Mortgage Corporation, Series 4238-FD (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.00% Cap) 0.46% 02/15/2042 644,356 7,581,281 Federal Home Loan Mortgage Corporation, Series 4484-CD 1.75% 07/15/2030 7,770,433 1,708,040 Federal Home Loan Mortgage Corporation, Series 4773-EA 4.00% 10/15/2042 1,718,584 3,679,108 Federal Home Loan Mortgage Corporation, Series 4778-NA 4.50% 06/15/2044 3,721,728 34,536 Federal National Mortgage Association Pass-Thru, Pool AB3850 4.00% 11/01/2041 36,308 2,474,899 Federal National Mortgage Association Pass-Thru, Pool AL2987 (12 Month LIBOR USD + 1.63%, 1.63% Floor, 7.33% Cap) 2.24% 11/01/2042 2,572,813 1,573,364 Federal National Mortgage Association Pass-Thru, Pool AL4292 4.50% 04/01/2026 1,671,686 2,815,502 Federal National Mortgage Association, Pool AL9932 3.04% # 01/01/2024 3,001,307 2,301,458 Federal National Mortgage Association, Pool BC0057 (12 Month LIBOR USD + 1.60%, 1.60% Floor, 7.41% Cap) 2.16% 12/01/2045 2,378,007 9,166,000 Federal National Mortgage Association, Pool BL0606 3.85% 11/01/2028 10,460,962 1,900,287 Federal National Mortgage Association, Pool BM3520 (12 Month LIBOR USD + 1.56%, 1.56% Floor, 7.00% Cap) 2.68% 05/01/2045 1,968,472 47,099,516 Federal National Mortgage Association, Pool BP6496 2.00% 07/01/2035 49,242,125 44,504,723 Federal National Mortgage Association, Pool FM4211 1.50% 10/01/2035 45,804,440 24,285,337 Federal National Mortgage Association, Pool FM4239 1.50% 09/01/2035 24,997,256 14,951,614 Federal National Mortgage Association, Pool MA4095 2.00% 08/01/2035 15,632,624 46,816,884 Federal National Mortgage Association, Pool MA4122 1.50% 09/01/2035 48,192,346 20,135,887 Federal National Mortgage Association, Pool MA4176 2.00% 11/01/2040 20,921,959 851,706 Federal National Mortgage Association, Series 2010-113-FA (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap) 0.55% 10/25/2040 857,411 664,389 Federal National Mortgage Association, Series 2011-128-FK (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.00% Cap) 0.50% 07/25/2041 665,405 79,141 Federal National Mortgage Association, Series 2011-64-DB 4.00% 07/25/2041 88,284 1,726,238 Federal National Mortgage Association, Series 2012-110-MF (1 Month LIBOR USD + 0.46%, 0.46% Floor, 6.50% Cap) 0.61% 10/25/2042 1,739,111 464,190 Federal National Mortgage Association, Series 2012-111-JF (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap) 0.55% 07/25/2040 465,154 5,949,769 Federal National Mortgage Association, Series 2012-56-FA (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap) 0.70% 06/25/2042 6,013,792 1,488,504 Federal National Mortgage Association, Series 2013-81-EF (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap) 0.50% 12/25/2042 1,491,881 32,110,788 Federal National Mortgage Association, Series 2018-77-BA 3.00% 04/25/2044 32,428,287 10,211,764 Federal National Mortgage Association, Series 2019-M21-3A1 2.10% 06/25/2034 10,974,580 14,481,399 Federal National Mortgage Association, Series 2020-59-MK 3.00% 08/25/2040 15,308,947 12,791,020 Federal National Mortgage Association, Series 2020-M49-1A1 1.26% # 11/25/2030 13,167,953 19,730,000 Federal National Mortgage Association, Series 2020-M55-A1 1.70% # 12/25/2032 20,826,317 1,452,214 Federal National Mortgage Association, Series 4710-KA 3.50% 10/15/2042 1,460,854 22,230,429 Federal National Mortgage Association, Series 4911-MB 3.00% 09/25/2049 23,025,844 3,961,265 Government National Mortgage Association, Series 2006-14-FA (1 Month LIBOR USD + 0.20%, 0.20% Floor, 6.50% Cap) 0.35% 03/20/2036 3,954,502 5,022,638 Government National Mortgage Association, Series 2010-115-AF (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap) 0.60% 09/20/2040 5,051,943

Total US Government and Agency Mortgage Backed Obligations (Cost $577,748,939) 584,072,299

US Government and Agency Obligations - 7.8% 102,600,000 United States Treasury Notes 2.63% 05/15/2021 103,541,587 128,000,000 United States Treasury Notes 1.50% 09/30/2021 129,329,507 51,000,000 United States Treasury Notes 1.38% 01/31/2022 51,695,273 72,800,000 United States Treasury Notes 0.13% 05/15/2023 72,782,937 121,000,000 United States Treasury Notes 2.25% 12/31/2023 128,553,048 26,300,000 United States Treasury Notes 0.38% 07/31/2027 25,947,621

Total US Government and Agency Obligations (Cost $506,049,250) 511,849,973

Affiliated Mutual Funds - 0.8% 5,000,000 DoubleLine Low Duration Emerging Markets Fixed Income Fund (Class I) 49,850,000

Total Affiliated Mutual Funds (Cost $50,000,000) 49,850,000

Common Stocks - 0.0% 89,329 Frontera Energy Corporation 230,468

Total Common Stocks (Cost $8,231,569) 230,468

Short Term Investments - 3.6% 78,282,300 First American Government Obligations Fund - Class U 0.04% 78,282,300 78,282,300 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% 78,282,300 78,297,430 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% 78,297,430

Total Short Term Investments (Cost $234,862,030) 234,862,030

Total Investments - 99.7% (Cost $6,555,184,051) 6,526,676,363 Other Assets in Excess of Liabilities - 0.3% 17,740,901

NET ASSETS - 100.0% $6,544,417,264

^ 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.

# 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 December 31, 2020.

† Perpetual Maturity

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.

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

accrued.

I/O Interest only security

§ The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2020.

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 December 31, 2020.

Seven-day yield as of December 31, 2020 SECURITY TYPE BREAKDOWN as a % of Net Assets:

Non-Agency Residential Collateralized Mortgage Obligations 17.2% Non-Agency Commercial Mortgage Backed Obligations 15.7% Collateralized Loan Obligations 15.0% Foreign Corporate Bonds 13.6% US Government and Agency Mortgage Backed Obligations 8.9% Asset Backed Obligations 8.3% US Government and Agency Obligations 7.8% US Corporate Bonds 4.4% Short Term Investments 3.6% Bank Loans 2.5% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.9% Affiliated Mutual Funds 0.8% Common Stocks 0.0% ~ Other Assets and Liabilities 0.3%

100.0%

~ Represents less than 0.05% of net assets INVESTMENT BREAKDOWN as a % of Net Assets:

Non-Agency Residential Collateralized Mortgage Obligations 17.2% Non-Agency Commercial Mortgage Backed Obligations 15.7% Collateralized Loan Obligations 15.0% US Government and Agency Mortgage Backed Obligations 8.9% Asset Backed Obligations 8.3% US Government and Agency Obligations 7.8% Banking 6.8% Short Term Investments 3.6% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 2.2% Energy 1.5% Utilities 1.5% Pharmaceuticals 1.1% Transportation 1.1% Technology 1.0% Telecommunications 0.9% Affiliated Mutual Funds 0.8% Healthcare 0.8% Food Products 0.6% Finance 0.6% Chemicals/Plastics 0.4% Building and Development (including Steel/Metals) 0.4% Electronics/Electric 0.4% Media 0.4% Food Service 0.3% Business Equipment and Services 0.3% Automotive 0.3% Retailers (other than Food/Drug) 0.3% Chemical Products 0.2% Insurance 0.2% Real Estate 0.2% Aerospace & Defense 0.2% Beverage and Tobacco 0.1% Diversified Manufacturing 0.1% Containers and Glass Products 0.1% Industrial Equipment 0.1% Commercial Services 0.1% Environmental Control 0.1% Pulp & Paper 0.1% Mining 0.0% ~ Financial Intermediaries 0.0% ~ Other Assets and Liabilities 0.3%

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 December 31, 2020 is as follows:

Dividend Change in Income Unrealized Earned Net Realized for the in the Gain (Loss) in Period Period the Period Value at Shares Held at Value at Ended Ended Ended March 31, Gross Gross December 31, December 31, December 31, December 31, December 31, Fund 2020 Purchases Sales 2020 2020 2020 2020 2020 DoubleLine Low Duration Emerging Markets Fixed Income Fund (Class I) $46,800,000 $ - $ - 5,000,000 $ 49,850,000 $ 3,050,000 $ 971,467 $ -

$46,800,000 $ - $ - 5,000,000 $ 49,850,000 $ 3,050,000 $ 971,467 $ -

DoubleLine Floating Rate Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Bank Loans - 85.8% Aerospace & Defense - 1.8% 250,052 American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/29/2027 216,295 591,293 Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 04/06/2026 565,013 317,900 Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 04/06/2026 303,771 948,899 Kestrel Bidco Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/11/2026 913,913 450,000 Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor) 6.25% 06/21/2027 469,604 370,000 SkyMiles IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 10/20/2027 384,569 423,507 Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 10/01/2024 420,331

3,273,496

Automotive - 2.3% American Tire Distributors, Inc., Senior Secured First Lien Term Loan 650,904 (1 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) 8.50% 09/02/2024 624,216 76,600 (3 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) 8.50% 09/02/2024 73,460 605,000 Bright Bidco B.V., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 06/28/2024 350,964 143,550 Dealer Tire LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/12/2025 142,951 382,163 IAA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 06/29/2026 380,410 989,849 Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.50% 03/20/2025 974,754 240,000 PAI HoldCo, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 10/26/2027 240,600 494,518 Panther BF Aggregator LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 04/30/2026 493,796 942,322 Wand NewCo 3, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 02/05/2026 930,779

4,211,930

Beverage and Tobacco - 0.3% 585,285 Arctic Glacier U.S.A., Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 03/20/2024 525,112

Building and Development (including Steel/Metals) - 1.9% 185,000 American Residential Services LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 10/15/2027 185,231 630,000 CP Atlas Buyer, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/23/2027 632,126 210,000 CP Atlas Buyer, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/23/2027 210,709 484,103 Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.50% Floor) 9.50% Þ 06/30/2027 484,103 235,756 Forterra Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/25/2023 236,395 461,151 GrafTech Finance, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 02/12/2025 461,921 79,400 KBR, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/05/2027 79,499 351,818 LBM Acquisition LLC, Senior Secured First Lien Term Loan 4.50% ± 12/09/2027 352,258 78,182 LBM Borrower LLC, Senior Secured First Lien Term Loan 3.89% ± 12/18/2027 78,280 345,980 Phoenix Services International LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 03/03/2025 342,845 513,418 Pisces Midco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 04/12/2025 513,580

3,576,947

Business Equipment and Services - 9.7% 851,726 AlixPartners, LLP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 04/04/2024 844,210 413,857 Allied Universal Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 07/10/2026 412,716 238,800 Amentum Government Services Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/01/2027 238,800 478,800 Asplundh Tree Expert, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 09/07/2027 481,046 603,744 Brand Energy & Infrastructure Services, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/21/2024 590,048 1,001,663 Camelot US Acquisition Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.15% 10/30/2026 998,638 536,688 Clear Channel Outdoor Holdings Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.71% 08/21/2026 518,046 1,074,824 Deerfield Holdings Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 04/09/2027 1,081,042 EAB Global, Inc., Senior Secured First Lien Term Loan 2,239 (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 11/15/2024 2,227 868,765 (6 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 11/15/2024 864,152 815,515 Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.75% 08/01/2024 733,225 815,000 Garda World Security Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) 4.99% 10/30/2026 817,241 1,002,221 Genesys Telecommunications Laboratories, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 12/01/2027 1,005,824 618,450 Illuminate Buyer LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 06/30/2027 619,610 785,509 ION Trading Technologies SARL, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 11/21/2024 785,230 1,010,004 IRI Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/01/2025 1,001,167 496,538 KAR Auction Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 09/21/2026 489,710 836,751 Mitchell International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 11/29/2024 824,397 250,000 Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) 7.40% 12/01/2025 242,656 255,000 Packaging Coordinators Midco Inc, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 11/30/2027 255,638 208,950 Presidio Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 01/22/2027 209,048 Prime Security Services Borrower LLC, Senior Secured First Lien Term Loan 257,963 (1 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 259,939 165,595 (6 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 166,862 165,595 (9 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 166,862 331,190 (12 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 333,725 135,000 Sabre Global Inc., Senior Secured First Lien Term Loan 4.75% ± 12/17/2027 135,506 343,231 Sabre Global Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 02/22/2024 335,908 687,789 SIWF Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 06/13/2025 684,639 SMG US Midco 2, Inc., Senior Secured First Lien Term Loan 48,882 (1 Month LIBOR USD + 2.50%) 2.65% 01/23/2025 46,234 117,739 (3 Month LIBOR USD + 2.50%) 2.65% 01/23/2025 111,362 814,202 Southern Graphics, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 12/30/2022 604,545 666,268 Tempo Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.50% Floor) 3.75% 11/02/2026 663,146 1,121,612 The Dun & Bradstreet Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 02/06/2026 1,124,259 Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan 186 (2 Week LIBOR USD + 0.00%, 1.00% Floor) 2.50% 02/28/2025 184 421 (2 Week LIBOR USD + 1.50%, 1.00% Floor) 2.50% 02/28/2025 416 302,206 (3 Month LIBOR USD + 1.50%, 1.00% Floor) 2.50% 02/28/2025 298,901 193,049 Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) 5.25% 05/29/2026 132,400

18,079,559

Chemicals/Plastics - 3.6% 505,000 Charter NEX US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 0.75% Floor) 5.00% 12/01/2027 508,219 394,813 Cyanco Intermediate Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 03/17/2025 393,250 1,126,025 Diamond (BC) B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.21% 09/06/2024 1,112,423 590,000 Gemini HDPE LLC, Senior Secured First Lien Term Loan 3.50% ± 12/28/2027 587,788 584,489 Messer Industries LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%) 2.75% 03/02/2026 581,058 900,900 Pregis Topco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 07/31/2026 898,648 1,064,742 Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.23% 06/26/2025 1,065,008 55,000 Solenis International LP, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%) 8.73% 06/26/2026 54,954 850,606 Starfruit US Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 10/01/2025 843,695 277,200 Univar Solutions USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 07/01/2026 275,294 364,155 Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 10/28/2024 347,389

6,667,726

Containers and Glass Products - 1.8% 424,272 Flex Acquisition Company Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%) 3.23% 06/30/2025 420,029 Flex Acquisition Company Inc., Senior Secured First Lien Term Loan 38,856 (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/29/2023 38,735 556,226 (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/29/2023 554,487 538,814 Graham Packaging Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 08/04/2027 541,408 368,425 Klockner-Pentaplast of America, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/30/2022 368,195 305,000 Reynolds Group Holdings Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/05/2026 303,246 321,298 Reynolds Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/06/2023 320,495 845,797 Trident TPI Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/17/2024 836,874

3,383,469

Cosmetics/Toiletries - 0.2% 460,000 Kronos Acquisition Holdings Inc., Senior Secured First Lien Term Loan 5.25% ± 12/17/2026 461,619

Electronics/Electric - 16.1% 1,142,943 Access CIG LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) 3.98% 02/27/2025 1,133,656 514,549 Almonde, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 06/13/2024 505,331 175,000 Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) 8.25% 06/16/2025 176,187 492,456 Applied Systems, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 09/19/2024 492,988 120,000 Austin BidCo Inc., Senior Secured First Lien Term Loan 5.00% ± 12/09/2027 119,550 890,942 Blackhawk Network Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 06/16/2025 869,644 498,728 Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 10/02/2025 497,673 369,059 Cambium Learning Group Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%) 4.72% 12/18/2025 367,767 1,022,654 Castle US Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) 4.00% 01/29/2027 1,006,353 240,000 CommerceHub Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 12/29/2027 240,300 463,838 Conservice Midco LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%) 4.50% 05/13/2027 464,997 658,675 Cornerstone OnDemand, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.39% 04/22/2027 662,673 1,108,846 Cvent, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 11/29/2024 1,070,037 516,100 DCert Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 10/16/2026 516,423 460,000 Delta Topco, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 12/01/2027 460,672 445,000 Energizer Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.50% Floor) 2.75% 12/16/2027 445,837 651,603 Excelitas Technologies Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/02/2024 648,071 924,695 Flexera Software LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 02/26/2025 925,684 572,125 Go Daddy Operating Corporation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 08/10/2027 576,096 1,132,419 GoodRX, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 10/10/2025 1,127,040 592,074 Hyland Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 07/01/2024 594,294 371,566 Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor) 7.75% 07/07/2025 375,590 441,663 Informatica LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/25/2027 438,869 445,000 Ivanti Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 12/01/2027 444,722 355,000 LogMeIn, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 08/31/2027 354,558 820,000 Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 10/01/2027 821,878 114,708 Mirion Technologies, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%) 4.27% 03/06/2026 114,762 577,688 NCR Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 08/28/2026 570,709 1,010,295 Project Alpha Intermediate Holding, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 04/26/2024 1,003,556 390,000 Redstone Buyer LLC, Senior Secured First Lien Term Loan (2 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 09/01/2027 392,194 1,016,177 Renaissance Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/30/2025 1,001,249 452,725 RP Crown Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 02/02/2026 453,151 242,533 Science Applications International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 03/12/2027 242,837 1,003,583 Severin Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 08/01/2025 993,923 482,513 SolarWinds Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/05/2024 462,457 1,023,344 Solera LLC, Senior Secured First Lien Term Loan (2 Month LIBOR USD + 2.75%) 2.90% 03/03/2023 1,017,240 1,000,000 Sophia, L.P., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 10/07/2027 1,004,820 513,073 STG-Fairway Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 01/29/2027 506,180 1,238,775 Surf Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.73% 03/05/2027 1,229,794 753,113 Tech Data Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 06/30/2025 758,994 319,200 Tech Data Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.50%) 5.65% 06/30/2025 319,998 985,050 TIBCO Software Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 06/30/2026 969,348 110,000 TIBCO Software Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) 7.40% 03/03/2028 111,466 585,496 Uber Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 04/04/2025 589,729 458,837 Ultimate Software Group, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 05/04/2026 459,243 773,063 Ultimate Software Group, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 05/04/2026 778,288 85,000 Ultimate Software Group, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.75% Floor) 7.50% 05/03/2027 87,656 988,557 VS Buyer LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/26/2027 986,704 585,000 Web.Com Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 10/10/2025 577,930

29,969,118

Energy - 3.3% 1,169,601 Blackstone CQP Holdco LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.74% 09/30/2024 1,168,139 1,242,205 Brazos Delaware LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 05/21/2025 1,088,258 982,575 Buckeye Partners LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 11/02/2026 982,885 368,366 Gulf Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor) 6.25% 08/25/2023 281,142 73,516 Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%) 1.15% 06/30/2025 49,439 696,086 Lower Cadence Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 05/22/2026 681,513 742,200 Lucid Energy Group II Borrower LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 02/18/2025 707,796 474,597 Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 03/11/2026 464,771 654,099 UGI Energy Services LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 08/13/2026 656,552

6,080,495

Environmental Control - 0.3% 258,473 GFL Environmental, Inc. 3.50% ± 05/30/2025 259,172 326,700 US Ecology, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 11/02/2026 327,109

586,281

Financial Intermediaries - 1.4% 1,056,578 Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) 5.15% 03/27/2026 1,039,409 1,165,692 The Edelman Financial Center LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 07/21/2025 1,150,392 456,064 Victory Capital Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%) 2.73% 07/01/2026 455,115

2,644,916

Food Products - 2.1% 412,750 B&G Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 10/10/2026 413,118 1,005,803 CHG PPC Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 03/31/2025 995,121 594,664 CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.25%, 1.00% Floor) 7.25% 01/04/2022 588,063 696,500 Froneri US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 01/29/2027 690,928 844,666 H-Food Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.69%) 3.83% 05/23/2025 831,928 355,094 United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 10/22/2025 353,613

3,872,771

Food Service - 2.6% 422,864 1011778 B.C. Unlimited Liability Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 11/19/2026 417,712 580,613 Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/15/2027 574,899 979,157 Houston Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 07/21/2025 963,246 465,000 IRB Holding Corporation, Senior Secured First Lien Term Loan 4.25% ± 12/15/2027 466,381 565,029 IRB Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 02/05/2025 561,337 TKC Holdings, Inc., Senior Secured First Lien Term Loan 2,311 (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 02/01/2023 2,274 877,072 (6 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 02/01/2023 862,819 980,998 Whatabrands LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 07/31/2026 973,944

4,822,612

Healthcare - 12.0% 689,581 Agiliti Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.94% 01/05/2026 684,410 834,601 Air Methods Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 04/22/2024 808,311 649,267 Aldevron LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 10/13/2026 652,513 Athenahealth, Inc., Senior Secured First Lien Term Loan 1,492 (1 Month LIBOR USD + 4.50%) 4.65% 02/11/2026 1,494 588,132 (1 Month LIBOR USD + 4.50%) 4.65% 02/11/2026 588,867 470,912 Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor) 3.25% 11/21/2024 472,188 260,000 Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 11/08/2027 260,814 579,431 Azalea TopCo, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.71% 07/24/2026 573,759 1,008,865 Bioscrip, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 08/06/2026 1,008,658 642,969 CHG Healthcare Services, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 06/07/2023 640,458 938,411 DentalCorporationPerfect Smile ULC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 06/06/2025 924,630 1,093,998 Envision Healthcare Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 10/10/2025 917,460 590,000 Global Medical Response Inc., Senior Secured First Lien Term Loan 5.75% ± 10/02/2025 587,419 851,291 Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) 5.19% 07/02/2025 852,355 151,250 Maravai Intermediate Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 10/19/2027 152,952 644,002 MED ParentCo LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 636,068 MED ParentCo LP, Senior Secured First Lien Term Loan 48,622 (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 48,023 112,874 (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 111,483 963,921 MPH Acquisition Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 06/07/2023 961,290 425,000 Ortho-Clinical Diagnostics Inc., Senior Secured First Lien Term Loan 3.48% ± 06/30/2025 419,528 971,572 Outcomes Group Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.47% 10/24/2025 956,999 1,126,330 Parexel International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 09/27/2024 1,109,435 63,354 Pathway Vet Alliance LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 03/31/2027 63,425 775,626 Pathway Vet Alliance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 03/31/2027 776,498 245,000 PointClickCare Technologies Inc., Senior Secured First Lien Term Loan 3.75% ± 12/29/2027 245,000 Radiology Partners, Inc., Senior Secured First Lien Term Loan 611,698 (1 Month LIBOR USD + 4.25%) 5.29% 07/09/2025 603,033 524,469 (3 Month LIBOR USD + 4.25%) 5.29% 07/09/2025 517,040 503,695 RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 11/14/2025 503,350 595,000 Select Medical Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.25%) 2.53% 03/06/2025 591,653 835,254 Sotera Health Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 12/11/2026 839,605 1,038,297 Sound Inpatient Physicians, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 06/27/2025 1,033,105 300,000 Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) 6.90% 06/26/2026 298,500 76,970 Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan 5.00% ± 10/02/2027 76,777 558,030 Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 10/01/2027 556,635 504,900 Sunshine Luxembourg VII SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) 4.25% 10/01/2026 508,018 592,917 Team Health Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 02/06/2024 530,981 555,800 Upstream Newco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 11/20/2026 555,453 845,211 Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 08/27/2025 846,479 500,547 Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 09/30/2026 502,529

22,417,195

Hotels/Motels/Inns and Casinos - 1.8% 436,624 Caesars Resort Collection LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 12/23/2024 429,422 423,938 Caesars Resort Collection LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 07/21/2025 425,328 Golden Nugget, Inc., Senior Secured First Lien Term Loan 504,513 (1 Month LIBOR USD + 2.50%, 0.75% Floor) 3.25% 10/04/2023 488,727 595,213 (2 Month LIBOR USD + 2.50%, 0.75% Floor) 3.25% 10/04/2023 576,588 439,135 PCI Gaming Authority, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 05/29/2026 435,343 356,529 Penn National Gaming, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.75% Floor) 3.00% 10/15/2025 352,876 695,290 Scientific Games International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 08/14/2024 680,950

3,389,234

Industrial Equipment - 3.0% 205,000 Alliance Laundry Systems LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 10/08/2027 205,275 407,820 Filtration Group Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 03/31/2025 404,786 387,075 Gardner Denver, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/01/2027 382,478 284,463 Gates Global LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 04/01/2024 284,108 Granite US Holdings Corporation, Senior Secured First Lien Term Loan 101,911 (3 Month LIBOR USD + 5.25%) 5.51% 09/30/2026 102,166 509,556 (6 Month LIBOR USD + 5.25%) 5.51% 09/30/2026 510,830 585,000 Hayward Industries, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 08/05/2024 579,881 656,561 Pro Mach Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 03/07/2025 646,712 567,813 TAMKO Building Products LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/29/2026 567,103 1,002,488 Thyssenkrupp Elevator, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%) 4.57% 07/14/2027 1,011,435 918,196 Titan Acquisition Limited, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%) 3.27% 03/28/2025 897,903

5,592,677

Insurance - 4.2% 422,870 Acrisure LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/16/2027 416,087 1,201,549 Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.50% Floor) 4.50% 08/01/2025 1,192,537 1,014,550 Alliant Holdings Intermediate LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.39% 05/09/2025 999,651 869,164 AssuredPartners, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/12/2027 857,821 825,000 Asurion LLC, Senior Secured First Lien Term Loan 3.40% ± 12/23/2026 817,781 335,517 Asurion LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 11/03/2023 332,650 803,032 Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%) 6.65% 08/04/2025 810,862 484,012 Frontdoor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.69% 08/18/2025 482,802 90,293 OneDigital Borrower LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% & 11/16/2027 90,632 OneDigital Borrower LLC, Senior Secured First Lien Term Loan 847,969 (1 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/16/2027 851,148 66,738 (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/16/2027 66,989 174,563 Ryan Specialty Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 09/01/2027 174,563 785,831 Sedgwick Claims Management Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 12/31/2025 774,865

7,868,388

Leisure - 4.1% 995,839 Alterra Mountain Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 07/31/2024 985,049 835,000 Arches Buyer Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.50% Floor) 4.50% 12/06/2027 837,714 243,775 Carnival Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.50%, 1.00% Floor) 8.50% 06/30/2025 252,117 691,588 ClubCorp Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 3.00% 09/18/2024 648,893 510,000 Formula One Management Ltd., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 02/01/2024 506,448 538,475 Life Time Fitness, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 06/10/2022 526,360 364,609 Lions Gate Capital Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 03/24/2025 360,735 47,152 Motion Finco LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.50% 11/12/2026 45,612 358,764 Motion Finco LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.47% 11/12/2026 347,048 796,767 Nascar Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 10/19/2026 794,711 326,410 Playtika Holding Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 6.00%, 1.00% Floor) 7.00% 12/10/2024 329,026 531,034 Pug LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/12/2027 508,024 491,663 Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 01/25/2024 436,351 1,017,515 UFC Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 04/29/2026 1,016,004

7,594,092

Media - 5.5% 1,007,832 Ascend Learning LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 07/12/2024 1,005,060 704,038 Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/07/2023 677,235 638,625 CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.41% 01/15/2026 630,642 140,158 CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.66% 04/15/2027 139,282 108,625 Diamond Sports Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 08/24/2026 96,676 1,041,214 E.W. Scripps Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 05/01/2026 1,032,426 829,926 Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.69% 02/19/2026 819,813 623,113 Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 01/02/2026 619,997 444,564 Nexstar Broadcasting, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 09/18/2026 442,566 1,207,281 Numericable U.S. LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.24% 08/14/2026 1,205,145 890,000 Radiate Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 09/25/2026 892,639 222,556 RentPath, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.00%, 1.00% Floor) 8.00% 02/26/2021 208,090 901,637 RentPath, Inc., Senior Secured First Lien Term Loan (Prime Rate + 3.75%, 1.00% Floor) 7.00% W 12/17/2021 405,737 666,563 Sinclair Television Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 09/30/2026 661,147 856,350 Terrier Media Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/17/2026 859,163 350,000 Virgin Media Bristol LLC, Senior Secured First Lien Term Loan 3.40% ± 01/31/2029 350,483 170,000 Ziggo Financing Partnership, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.66% 04/28/2028 169,256

10,215,357

Pharmaceuticals - 1.0% 779,730 Catalent Pharma Solutions Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor) 3.25% 05/18/2026 781,679 540,630 Elanco Animal Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 07/30/2027 536,632 619,765 Grifols Worldwide Operations USA Inc., Senior Secured First Lien Term Loan (1 Week LIBOR USD + 2.00%) 2.10% 11/15/2027 615,408

1,933,719

Retailers (other than Food/Drug) - 1.7% 714,462 Bass Pro Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) 5.75% 09/25/2024 717,909 370,000 CNT Holdings I Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 11/08/2027 370,954 680,000 Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 10/19/2027 681,237 263,531 Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 10/20/2023 255,077 892,293 Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/14/2026 872,774 358,354 Staples, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) 5.21% 04/16/2026 348,091

3,246,042

Telecommunications - 3.0% 561,229 Avaya Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.39% 12/15/2027 562,396 335,000 Cablevision Lightpath LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.50% Floor) 3.75% 11/30/2027 334,844 297,750 Connect U.S. Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 12/11/2026 299,478 154,613 Consolidated Communications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 10/04/2027 155,605 240,000 Frontier Communications Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 10/08/2021 241,801 612,152 GTT Communications, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 2.97% 06/02/2025 483,398 Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan 164,728 (3 Month LIBOR USD + 5.50%, 1.00% Floor) 6.50% 07/13/2022 168,517 54,909 (6 Month LIBOR USD + 5.50%, 1.00% Floor) 6.50% 07/13/2022 56,172 1,460,699 Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan (Prime Rate + 4.75%, 1.00% Floor) 8.00% 11/27/2023 1,485,217 552,947 MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 11/28/2025 504,003 690,715 Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 11/01/2024 650,139 583,467 Zayo Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 03/09/2027 581,227

5,522,797

Transportation - 0.4% 758,342 PODS, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 12/06/2024 761,421

Utilities - 1.7% 290,000 Astoria Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/10/2027 288,731 138,250 Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 08/12/2026 136,632 417,879 Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 04/06/2026 414,396 841,625 Compass Power Generation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/20/2024 821,215 365,000 Exgen Renewables IV LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 12/11/2027 365,547 537,300 Pacific Gas and Electric Company, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 06/23/2025 544,554 515,621 USIC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/08/2023 517,985

3,089,060

Total Bank Loans (Cost $159,787,557) 159,786,033

US Corporate Bonds - 8.2% Aerospace & Defense - 0.9% 460,000 Mileage Plus Holdings LLC 6.50% ^ 06/20/2027 495,363 1,000,000 TransDigm, Inc. 8.00% ^ 12/15/2025 1,107,590

1,602,953

Automotive - 0.4% 700,000 Panther BF Aggregator LP 6.25% ^ 05/15/2026 751,625

Commercial Services - 0.4% 725,000 Allied Universal Holding Company 6.63% ^ 07/15/2026 773,974

Food Products - 0.6% 1,080,000 US Foods, Inc. 6.25% ^ 04/15/2025 1,155,692

Healthcare - 0.7% 350,000 Ortho-Clinical Diagnostics Inc. 7.25% ^ 02/01/2028 369,906 820,000 RP Escrow Issuer LLC 5.25% ^ 12/15/2025 858,680

1,228,586

Hotels/Motels/Inns and Casinos - 0.3% 400,000 Eldorado Resorts, Inc. 6.25% ^ 07/01/2025 426,502 75,000 Hilton Domestic Operating Company, Inc. 5.38% ^ 05/01/2025 79,762

506,264

Industrial Equipment - 0.4% 750,000 PowerTeam Services LLC 9.03% ^ 12/04/2025 836,333

Insurance - 0.4% 700,000 AssuredPartners, Inc. 7.00% ^ 08/15/2025 727,695

Leisure - 0.5% 140,000 Carnival Corporation 11.50% ^ 04/01/2023 162,088 195,000 Live Nation Entertainment, Inc. 6.50% ^ 05/15/2027 218,361 500,000 Six Flags Theme Parks, Inc. 7.00% ^ 07/01/2025 540,938

921,387

Media - 0.8% 660,000 iHeartCommunications, Inc. 4.75% ^ 01/15/2028 680,916 750,000 Univision Communications, Inc. 6.63% ^ 06/01/2027 806,831

1,487,747

Mining - 0.4% 540,000 Arconic Corporation 6.00% ^ 05/15/2025 577,462 190,000 Arconic Corporation 6.13% ^ 02/15/2028 205,200

782,662

Technology - 1.7% 670,000 Avaya, Inc. 6.13% ^ 09/15/2028 716,990 360,000 BY Crown Parent LLC 4.25% ^ 01/31/2026 369,450 1,500,000 Financial & Risk US Holdings, Inc. 6.25% ^ 05/15/2026 1,604,063 470,000 Tempo Acquisition LLC 6.75% ^ 06/01/2025 486,356

3,176,859

Telecommunications - 0.7% 750,000 Cincinnati Bell, Inc. 7.00% ^ 07/15/2024 782,336 430,000 Front Range BidCo, Inc. 4.00% ^ 03/01/2027 431,636

1,213,972

Total US Corporate Bonds (Cost $14,375,122) 15,165,749

Foreign Corporate Bonds - 0.4% Retailers (other than Food/Drug) - 0.4% 700,000 eG Global Finance PLC 6.75% ^ 02/07/2025 722,050

Total Foreign Corporate Bonds (Cost $700,000) 722,050

Common Stocks - 0.6% 57,721 Foresight Equity * Þ 1,010,703 32,259 McDermott International Ltd. * 26,130

Total Common Stocks (Cost $948,562) 1,036,833

Short Term Investments - 5.8% 3,617,446 First American Government Obligations Fund - Class U 0.04% 3,617,446 3,617,447 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% 3,617,447 3,617,447 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% 3,617,447

Total Short Term Investments (Cost $10,852,340) 10,852,340

Total Investments - 100.8% (Cost $186,663,581) 187,563,005 Liabilities in Excess of Other Assets - (0.8)% (1,413,173)

NET ASSETS - 100.0% $186,149,832

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 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.

Seven-day yield as of December 31, 2020

* Non-income producing 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.

± 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 disclosed is as of December 31, 2020.

& Unfunded or partially unfunded loan commitment. At December 31, 2020, the value of these

securities amounted to $90,632 or 0.0% of net assets. SECURITY TYPE BREAKDOWN as a % of Net Assets:

Bank Loans 85.8% US Corporate Bonds 8.2% Short Term Investments 5.8% Common Stocks 0.6% Foreign Corporate Bonds 0.4% Other Assets and Liabilities (0.8)%

100.0%

DoubleLine Shiller Enhanced CAPE ® Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/ Shares Security Description Rate Maturity Value $ Asset Backed Obligations - 5.8% 2,954,057 AASET Ltd., Series 2018-1A-A 3.84% ^ 01/16/2038 2,800,688 10,041,279 AASET Ltd., Series 2019-2-A 3.38% ^ 10/16/2039 9,471,486 12,500,000 Affirm Asset Securitization Trust, Series 2020-A-A 2.10% ^ 02/18/2025 12,577,511 23,038,021 Affirm Asset Securitization Trust, Series 2020-Z2-A 1.90% ^ 01/15/2025 23,195,786 2,781,845 Avant Loans Funding Trust, Series 2019-B-A 2.72% ^ 10/15/2026 2,792,327 11,867,344 CAL Funding IV Ltd., Series 2020-1A-A 2.22% ^ 09/25/2045 12,055,624 4,099,394 Castlelake Aircraft Securitization Trust, Series 2019-1A-A 3.97% ^ 04/15/2039 3,926,695 5,051,506 CLI Funding LLC, Series 2019-1A-A 3.71% ^ 05/18/2044 5,166,093 2,250,000 College Ave Student Loans LLC, Series 2017-A-B 4.50% ^ 11/26/2046 2,379,580 9,566,092 Credit Suisse ABS Trust, Series 2020-AT1-A 2.61% ^ 10/15/2026 9,609,885 1,494,236 DRB Prime Student Loan Trust, Series 2017-A-B 3.10% #^ 05/27/2042 1,550,237 221,431 DT Auto Owner Trust, Series 2019-2A-A 2.85% ^ 09/15/2022 221,648 1,805,720 Earnest Student Loan Program, Series 2017-A-A2 2.65% ^ 01/25/2041 1,831,462 2,490,000 ExteNet Issuer LLC, Series 2019-1A-A2 3.20% ^ 07/26/2049 2,587,623 1,307,063 Flagship Credit Auto Trust, Series 2016-4-C 2.71% ^ 11/15/2022 1,309,823 1,404,749 Flagship Credit Auto Trust, Series 2017-1-C 3.22% ^ 05/15/2023 1,407,826 1,843,254 Flagship Credit Auto Trust, Series 2017-4-B 2.66% ^ 10/17/2022 1,846,757 5,164,823 Foundation Finance Trust, Series 2019-1A-A 3.86% ^ 11/15/2034 5,346,727 7,219,412 GAIA Aviation Ltd., Series 2019-1-A 3.97% ^§ 12/15/2044 6,740,288 4,869,470 Global SC Finance SRL, Series 2020-1A-A 2.17% ^ 10/17/2040 4,930,183 2,106,020 GLS Auto Receivables Issuer Trust, Series 2019-2A-A 3.06% ^ 04/17/2023 2,120,051 7,173,049 GLS Auto Receivables Issuer Trust, Series 2020-2A-A 1.58% ^ 08/15/2024 7,239,163 4,858,434 Helios Issuer LLC, Series 2017-1A-A 4.94% ^ 09/20/2049 5,089,686 1,709,823 HERO Funding Trust, Series 2016-1A-A 4.05% ^ 09/20/2041 1,791,101 4,438,172 Horizon Aircraft Finance Ltd., Series 2018-1-A 4.46% ^ 12/15/2038 4,296,070 20,281,211 Horizon Aircraft Finance Ltd., Series 2019-2-A 3.43% ^ 11/15/2039 19,651,074 18,430,875 Jimmy Johns Funding LLC, Series 2017-1A-A2II 4.85% ^ 07/30/2047 19,051,402 515,396 Laurel Road Prime Student Loan Trust, Series 2017-B-CFX 3.61% ^ 08/25/2042 527,911 11,806,046 LendingClub Receivables Trust, Series 2020-3-A 3.50% ^ 01/16/2046 12,022,793 9,771,196 LendingClub Receivables Trust, Series 2020-5A-A 3.50% ^ 03/15/2046 9,839,481 10,238,507 Loanpal Solar Loan Ltd., Series 2020-3GS-A 2.47% ^ 12/20/2047 10,331,710 6,759,000 Loanpal Solar Loan Ltd., Series 2021-1GS-A 2.29% ^ 01/20/2048 6,815,472 5,127,761 Lunar Aircraft Ltd., Series 2020-1A-A 3.38% ^ 02/15/2045 4,843,684 749,079 Marlette Funding Trust, Series 2018-4A-A 3.71% ^ 12/15/2028 752,119 1,919,203 Marlette Funding Trust, Series 2019-3A-A 2.69% ^ 09/17/2029 1,934,541 1,334,911 Mosaic Solar Loan Trust, Series 2017-1A-A 4.45% ^ 06/20/2042 1,439,078 9,922,699 Mosaic Solar Loan Trust, Series 2020-2A-B 2.21% ^ 08/20/2046 9,875,224 4,500,000 Navient Private Education Loan Trust, Series 2018-A-B 3.68% ^ 02/18/2042 4,596,527 420,590 Navient Private Education Refinance Loan Trust, Series 2019-CA-A1 2.82% ^ 02/15/2068 422,105 14,631,428 NP SPE II LLC, Series 2019-2A-A1 2.86% ^ 11/19/2049 14,828,417 16,000,000 Oxford Finance Funding LLC, Series 2020-1A-A2 3.10% ^ 02/15/2028 16,400,013 4,703,851 Pagaya AI Debt Selection Trust, Series 2019-2-A1 3.93% ^ 09/15/2026 4,722,149 8,121,859 Pagaya AI Debt Selection Trust, Series 2019-3-A 3.82% ^ 11/16/2026 8,247,756 13,609,000 Pagaya AI Debt Selection Trust, Series 2020-3-A 2.10% ^ 05/17/2027 13,757,501 7,000,000 Santander Drive Auto Receivables Trust, Series 2020-4-D 1.48% 01/15/2027 7,076,958 20,291,783 Sapphire Aviation Finance Ltd., Series 2020-1A-A 3.23% ^ 03/15/2040 19,701,171 20,000,000 SBA Tower Trust 3.17% ^ 04/11/2022 20,178,500 1,372,362 Sierra Timeshare Receivables Funding LLC, Series 2016-3A-A 2.43% ^ 10/20/2033 1,384,865 5,258,315 SLM Private Credit Student Loan Trust, Series 2006-A-A5 (3 Month LIBOR USD + 0.29%) 0.51% 06/15/2039 5,058,530 288,674 SoFi Consumer Loan Program LLC, Series 2016-1-A 3.26% ^ 08/25/2025 289,204 65,561 SoFi Consumer Loan Program Trust, Series 2017-3-A 2.77% ^ 05/25/2026 65,755 123,600 SoFi Consumer Loan Program Trust, Series 2017-5-A2 2.78% ^ 09/25/2026 124,559 1,201,786 SoFi Consumer Loan Program Trust, Series 2019-1-A 3.24% ^ 02/25/2028 1,210,367 7,278,081 SoFi Consumer Loan Program Trust, Series 2019-F-PT1 3.93% #^ 02/15/2045 7,494,521 2,186,983 SoFi Professional Loan Program, Series 2017-A-A2B 2.40% ^ 03/26/2040 2,215,134 12,190,397 Springleaf Funding Trust, Series 2017-AA-A 2.68% ^ 07/15/2030 12,217,735 184,205 Spruce Asset Backed Securities Trust, Series 2016-E1-A 4.32% ^ 06/15/2028 187,659 1,729,099 START Ireland, Series 2019-1-A 4.09% ^ 03/15/2044 1,673,453 3,608,510 Start Ltd., Series 2018-1-A 4.09% ^ 05/15/2043 3,524,699 7,840,000 Taco Bell Funding LLC, Series 2018-1A-A2I 4.32% ^ 11/25/2048 7,991,133 6,280,688 TAL Advantage VII LLC, Series 2020-1A-A 2.05% ^ 09/20/2045 6,355,258 3,200,000 Tesla Auto Lease Trust, Series 2019-A-D 3.37% ^ 01/20/2023 3,319,622 12,622,649 Thunderbolt Aircraft Lease Ltd., Series 2018-A-A 4.15% ^§ 09/15/2038 12,117,200 1,339,286 Thunderbolt Aircraft Lease Ltd., Series 2018-A-B 5.07% ^§ 09/15/2038 1,114,105 4,670,000 Upgrade Receivables Trust, Series 2019-1A-C 5.15% ^ 03/15/2025 4,706,955 10,924,934 Upstart Pass-Through Trust, Series, Series 2020-ST2-A 3.50% ^ 03/20/2028 11,109,109 7,842,465 Upstart Pass-Through Trust, Series 2020-ST5-A 3.00% ^ 12/20/2026 7,880,595 13,711,000 Upstart Pass-Through Trust, Series 2020-ST6-A 3.00% ^ 01/20/2027 13,733,219 1,094,081 Upstart Securitization Trust, Series 2019-1-B 4.19% ^ 04/20/2026 1,099,934 3,046,205 Upstart Securitization Trust, Series 2019-2-A 2.90% ^ 09/20/2029 3,066,549 8,084,224 Upstart Securitization Trust, Series 2020-1-A 2.32% ^ 04/22/2030 8,149,850 5,250,000 Upstart Securitization Trust, Series 2020-1-B 3.09% ^ 04/22/2030 5,335,223 2,750,000 Upstart Securitization Trust, Series 2020-3-B 3.01% ^ 11/20/2030 2,802,819 7,893,333 Vantage Data Centers Issuer LLC, Series 2019-1A-A2 3.19% ^ 07/15/2044 8,279,890 16,843,660 Wave LLC, Series 2019-1-A 3.60% ^ 09/15/2044 16,469,748 7,100,577 Willis Engine Structured Trust, Series 2020-A-A 3.23% ^ 03/15/2045 6,262,858

Total Asset Backed Obligations (Cost $494,168,197) 494,540,454

Bank Loans - 3.6% 3,022,721 1011778 B.C. Unlimited Liability Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 11/19/2026 2,985,889 1,507,176 Access CIG LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) 3.98% 02/27/2025 1,494,930 988,786 Agiliti Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.94% 01/05/2026 981,370 1,139,217 Air Methods Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 04/22/2024 1,103,332 1,829,306 Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.50% Floor) 4.50% 08/01/2025 1,815,587 1,664,182 AlixPartners, LLP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 04/04/2024 1,649,496 375,000 Alliance Laundry Systems LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 10/08/2027 375,502 1,794,132 Alliant Holdings Intermediate LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.39% 05/09/2025 1,767,785 1,351,350 Allied Universal Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 07/10/2026 1,347,627 926,125 Almonde, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 06/13/2024 909,534 315,000 Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) 8.25% 06/16/2025 317,137 1,686,178 Alterra Mountain Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 07/31/2024 1,667,908 343,275 Amentum Government Services Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/01/2027 343,275 350,000 American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/29/2027 302,750 244,948 American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 04/28/2023 222,029 320,943 American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.16% 12/15/2023 290,163 335,000 American Residential Services LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 10/15/2027 335,419 American Tire Distributors, Inc., Senior Secured First Lien Term Loan 773,061 (1 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) 8.50% 09/02/2024 741,365 90,976 (3 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) 8.50% 09/02/2024 87,246 1,667,081 Applied Systems, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 09/19/2024 1,668,881 1,725,000 Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/11/2025 1,707,966 739,413 Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/15/2027 732,137 1,530,000 Arches Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.50% Floor) 4.50% 12/06/2027 1,534,972 539,033 Arctic Glacier U.S.A., Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 03/20/2024 483,615 1,770,848 Ascend Learning LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 07/12/2024 1,765,978 857,850 Asplundh Tree Expert LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 09/07/2027 861,873 1,697,143 AssuredPartners, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/12/2027 1,674,995 530,000 Astoria Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/10/2027 527,681 895,000 Asurion LLC, Senior Secured First Lien Term Loan 3.40% ± 12/23/2026 887,169 532,066 Asurion LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 11/03/2023 527,519 386,464 Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%) 6.65% 08/04/2025 390,232 794,565 Athenahealth, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 02/11/2026 795,558 220,000 Austin BidCo, Inc., Senior Secured First Lien Term Loan 5.00% ± 12/09/2027 219,175 601,799 Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor) 3.25% 11/21/2024 603,430 630,000 Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 11/08/2027 631,972 665,690 Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.39% 12/15/2027 667,075 535,880 Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.41% 12/16/2024 539,752 789,979 Azalea TopCo, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.71% 07/24/2026 782,245 310,000 B&G Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 10/10/2026 310,276 1,164,608 Bass Pro Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) 5.75% 09/25/2024 1,170,228 1,136,250 Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 11/27/2025 1,127,524 335,928 Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 06/02/2025 335,142 1,866,150 Bioscrip, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 08/06/2026 1,865,767 1,445,136 Blackhawk Network Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 06/16/2025 1,410,590 1,737,114 Blackstone CQP Holdco LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.74% 09/30/2024 1,734,943 1,198,883 Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 10/02/2025 1,196,348 1,178,584 Brand Energy & Infrastructure Services, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/21/2024 1,151,847 1,460,724 Brazos Delaware LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 05/21/2025 1,279,696 1,104,934 Bright Bidco B.V., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 06/28/2024 640,977 1,061,975 Buckeye Partners LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 11/02/2026 1,062,309 590,000 Cablevision Lightpath LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.50% Floor) 3.75% 11/30/2027 589,726 688,275 Caesars Resort, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 07/21/2025 690,533 158,000 Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 08/12/2026 156,151 736,263 Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 04/06/2026 730,126 663,308 Cambium Learning Group, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%) 4.72% 12/18/2025 660,986 165,000 Camelot US Acquisition 1 Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/30/2026 165,257 1,664,766 Camelot US Acquisition Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.15% 10/30/2026 1,659,739 437,800 Carnival Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.50%, 1.00% Floor) 8.50% 06/30/2025 452,782 1,852,234 Castle US Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) 4.00% 01/29/2027 1,822,709 983,799 Catalent Pharma Solutions, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor) 3.25% 05/18/2026 986,258 1,156,490 Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/07/2023 1,112,462 1,694,513 CenturyLink, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 03/15/2027 1,679,262 930,000 Charter NEX US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 0.75% Floor) 5.00% 12/01/2027 935,929 825,199 CHG Healthcare Services, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 06/07/2023 821,977 1,690,494 CHG PPC Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 03/31/2025 1,672,541 730,740 Cincinnati Bell, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 10/02/2024 731,767 996,000 Clear Channel Outdoor Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.71% 08/21/2026 961,404 887,820 ClubCorporationHoldings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 3.00% 09/18/2024 833,010 665,000 CNT Holdings I Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 11/08/2027 666,716 445,000 CommerceHub, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 12/29/2027 445,556 1,372,947 Compass Power Generation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/20/2024 1,339,653 441,663 Connect US. Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 12/11/2026 444,226 688,275 Conservice Midco LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%) 4.50% 05/13/2027 689,996 274,313 Consolidated Communications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 10/04/2027 276,074 1,431,078 Cornerstone OnDemand, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.39% 04/22/2027 1,439,765 1,162,500 CP Atlas Buyer, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/23/2027 1,166,423 387,500 CP Atlas Buyer, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/23/2027 388,808 1,166,646 CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.41% 07/17/2025 1,152,063 456,863 CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.41% 01/15/2026 451,152 1,075,040 CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.25%, 1.00% Floor) 7.25% 01/04/2022 1,063,107 1,793,874 Cvent, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 11/29/2024 1,731,089 508,322 Cyanco Intermediate Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 03/17/2025 506,309 1,186,809 Cyxtera DC Holdings, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 05/01/2024 1,114,568 853,550 DCert Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 10/16/2026 854,083 207,900 Dealer Tire LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/12/2025 207,033 1,542,562 Deerfield Holdings Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 04/09/2027 1,551,485 830,000 Delta Topco, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 12/01/2027 831,212 1,663,422 DentalCorporationPerfect Smile ULC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 06/06/2025 1,638,995 1,532,938 Diamond (BC) B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.21% 09/06/2024 1,514,420 414,718 Diamond Sports Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 08/24/2026 369,099 274,709 Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 04/06/2026 262,500 510,959 Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 04/06/2026 488,250 400,451 Dynatrace LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 08/22/2025 397,635 1,355,000 E.W. Scripps Company, Senior Secured First Lien Term Loan 3.75% ± 12/15/2027 1,358,598 EAB Global, Inc., Senior Secured First Lien Term Loan 3,652 (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 11/15/2024 3,632 1,416,915 (6 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 11/15/2024 1,409,392 835,859 EG America LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.25% 02/06/2025 828,445 845,000 Energizer Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.50% Floor) 2.75% 12/16/2027 846,589 1,599,343 Envision Healthcare Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 10/10/2025 1,341,257 1,736,981 ESH Hospitality, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 09/18/2026 1,723,953 1,633,042 Excelitas Technologies Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/02/2024 1,624,191 675,000 Exgen Renewables IV LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 12/11/2027 676,012 1,531,811 Filtration Group Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 03/31/2025 1,520,414 2,724,121 Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 10/01/2025 2,723,562 784,153 Flex Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%) 3.23% 06/30/2025 776,312 Flex Acquisition Company, Inc., Senior Secured First Lien Term Loan 57,507 (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/29/2023 57,327 823,214 (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/29/2023 820,642 1,323,422 Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.75% 08/01/2024 1,189,883 700,000 Flexera Software LLC 4.50% ± 01/31/2028 700,875 1,386,510 Flexera Software LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 02/26/2025 1,387,994 493,066 Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.50% Floor) 9.50% Þ 06/30/2027 493,066 397,568 Forterra Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/25/2023 398,645 1,756,175 Froneri US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 01/29/2027 1,742,126 679,436 Frontdoor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.69% 08/18/2025 677,738 435,000 Frontier Communications Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 10/08/2021 438,265 1,510,000 Garda World Security Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) 4.99% 10/30/2026 1,514,152 585,575 Gardner Denver, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/01/2027 578,621 430,759 Gates Global LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 04/01/2024 430,220 1,095,000 Gemini HDPE LLC, Senior Secured First Lien Term Loan 3.50% ± 12/28/2027 1,090,894 2,086,838 Genesys Telecommunications Laboratories, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 12/01/2027 2,094,340 1,585,180 Gentiva Health Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.44% 07/02/2025 1,581,225 1,176,074 Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.69% 02/19/2026 1,161,743 957,308 GFL Environmental, Inc. 3.50% ± 05/30/2025 959,897 1,105,000 Global Medical Response, Inc., Senior Secured First Lien Term Loan 5.75% ± 10/02/2025 1,100,166 1,014,900 Go Daddy Operating Corporation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 08/10/2027 1,021,943 2,131,552 GOBP Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 2.90% 10/22/2025 2,135,549 Golden Nugget, Inc., Senior Secured First Lien Term Loan 830,071 (1 Month LIBOR USD + 2.50%, 0.75% Floor) 3.25% 10/04/2023 804,098 979,298 (2 Month LIBOR USD + 2.50%, 0.75% Floor) 3.25% 10/04/2023 948,656 1,777,463 GoodRX, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 10/10/2025 1,769,020 764,701 GrafTech Finance, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 02/12/2025 765,978 950,271 Graham Packaging Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 08/04/2027 954,847 Granite US Holdings Corporation, Senior Secured First Lien Term Loan 186,492 (3 Month LIBOR USD + 5.25%) 5.51% 09/30/2026 186,958 932,459 (6 Month LIBOR USD + 5.25%) 5.51% 09/30/2026 934,790 2,378,074 Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 01/02/2026 2,366,183 951,336 GTT Communications, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 2.97% 06/02/2025 751,242 660,893 Gulf Finance, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor) 6.25% 08/25/2023 504,403 1,230,000 Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 10/19/2027 1,232,239 543,820 Harsco Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor) 3.25% 12/06/2024 542,235 1,073,927 Hayward Industries, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 08/05/2024 1,064,530 669,800 Hexion, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.73% 07/01/2026 667,288 1,423,792 H-Food Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.69%) 3.83% 05/23/2025 1,402,322 1,420,886 Hilton Worldwide Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 06/22/2026 1,407,274 844,177 Houston Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 07/21/2025 830,459 1,523,364 Hyland Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 07/01/2024 1,529,076 451,053 Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor) 7.75% 07/07/2025 455,937 454,725 IAA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 06/29/2026 452,640 740,947 iHeartCommunications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 05/01/2026 730,451 1,012,463 Illuminate Buyer LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 06/30/2027 1,014,361 660,013 Informatica LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/25/2027 655,838 Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan 119,601 (3 Month LIBOR USD + 5.50%, 1.00% Floor) 6.50% 07/13/2022 122,352 39,867 (6 Month LIBOR USD + 5.50%, 1.00% Floor) 6.50% 07/13/2022 40,784 1,060,545 Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan (Prime Rate + 4.75%, 1.00% Floor) 8.00% 11/27/2023 1,078,346 1,219,684 ION Trading Technologies SARL, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 11/21/2024 1,219,251 1,778,240 IQVIA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/17/2025 1,771,794 850,000 IRB Holding Corporation, Senior Secured First Lien Term Loan 4.25% ± 12/15/2027 852,524 1,819,554 IRB Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 02/05/2025 1,807,663 1,802,112 IRI Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/01/2025 1,786,344 2,591,688 Iron Mountain Information Management LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/02/2026 2,575,490 810,000 Ivanti Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 12/01/2027 809,494 2,375,904 Jaguar Holding Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 08/18/2022 2,377,841 2,598,713 JBS USA Lux S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 05/01/2026 2,582,678 308,897 Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 10/20/2023 298,987 548,855 KAR Auction Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 09/21/2026 541,309 896,310 KBR, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/05/2027 897,431 1,282,050 Kestrel Bidco, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/11/2026 1,234,781 1,191,933 Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) 5.19% 07/02/2025 1,193,422 544,091 Klockner-Pentaplast of America, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/30/2022 543,751 855,000 Kronos Acquisition Holdings, Inc., Senior Secured First Lien Term Loan 5.25% ± 12/17/2026 858,010 654,545 LBM Acquisition LLC, Senior Secured First Lien Term Loan 4.50% ± 12/09/2027 655,364 145,455 LBM Borrower LLC, Senior Secured First Lien Term Loan 3.89% ± 12/18/2027 145,636 89,976 Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%) 1.15% 06/30/2025 60,509 2,639,245 Level 3 Financing, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/01/2027 2,601,306 975,310 Life Time Fitness, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 06/10/2022 953,365 441,146 Lions Gate Capital Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 03/24/2025 436,459 630,000 LogMeIn, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 08/31/2027 629,216 1,404,234 Lower Cadence Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 05/22/2026 1,374,836 1,460,723 Lucid Energy Group II Borrower LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 02/18/2025 1,393,011 270,417 Maravai Intermediate Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 10/19/2027 273,459 840,102 Marriott Ownership Resorts, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 08/29/2025 826,715 1,212,625 Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.50% 03/20/2025 1,194,132 785,000 Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 03/20/2025 791,378 MED ParentCo LP, Senior Secured First Lien Term Loan 62,986 (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 62,210 146,217 (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 144,416 834,248 MED ParentCo LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 823,970 1,037,598 Messer Industries LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%) 2.75% 03/02/2026 1,031,507 1,515,000 Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 10/01/2027 1,518,469 735,000 Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor) 6.25% 06/21/2027 767,020 1,753,438 Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) 5.15% 03/27/2026 1,724,945 214,454 Mirion Technologies, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%) 4.27% 03/06/2026 214,555 1,607,806 Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/14/2026 1,572,635 360,000 Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) 7.40% 12/01/2025 349,425 714,569 MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 11/28/2025 651,319 56,927 Motion Finco, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.50% 11/12/2026 55,068 433,141 Motion Finco, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.47% 11/12/2026 418,997 1,204,367 MPH Acquisition Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 06/07/2023 1,201,079 661,722 Nascar Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 10/19/2026 660,014 478,938 NCR Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 08/28/2026 473,152 187,448 Nexstar Broadcasting, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.25%) 2.40% 01/17/2024 186,145 1,799,978 Numericable US LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.24% 08/14/2026 1,796,792 166,660 OneDigital Borrower LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% & 11/16/2027 167,285 OneDigital Borrower LLC, Senior Secured First Lien Term Loan 1,565,156 (1 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/16/2027 1,571,025 123,184 (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/16/2027 123,646 785,000 Ortho-Clinical Diagnostics, Inc., Senior Secured First Lien Term Loan 3.48% ± 06/30/2025 774,893 347,900 Outcomes Group Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.47% 10/24/2025 342,681 880,575 Pacific Gas and Electric Company, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 06/23/2025 892,463 465,000 Packaging Coordinators Midco, Inc, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 11/30/2027 466,162 440,000 PAI HoldCo, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 10/26/2027 441,100 1,870,480 Panther BF Aggregator LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 04/30/2026 1,867,749 1,828,129 Parexel International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 09/27/2024 1,800,707 105,340 Pathway Vet Alliance LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 03/31/2027 105,458 1,289,650 Pathway Vet Alliance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 03/31/2027 1,291,100 522,570 PCI Gaming Authority, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 05/29/2026 518,058 1,028,091 Penn National Gaming, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.75% Floor) 3.00% 10/15/2025 1,017,558 1,366,406 PetSmart, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 03/11/2022 1,369,713 524,606 Phoenix Services International LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 03/03/2025 519,853 733,130 Pisces Midco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 04/12/2025 733,361 594,359 Playtika Holding Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 6.00%, 1.00% Floor) 7.00% 12/10/2024 599,123 1,136,532 PODS, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 12/06/2024 1,141,147 455,000 PointClickCare Technologies, Inc., Senior Secured First Lien Term Loan 3.75% ± 12/29/2027 455,000 915,869 PowerTeam Services LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 03/06/2025 909,000 696,782 Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 03/11/2026 682,355 1,242,450 Pregis Topco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 07/31/2026 1,239,344 293,525 Presidio Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 01/22/2027 293,663 Prime Security Services Borrower LLC, Senior Secured First Lien Term Loan 463,015 (1 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 466,558 297,223 (6 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 299,499 297,223 (9 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 299,499 594,447 (12 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 598,997 871,238 Pro Mach Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 03/07/2025 858,170 1,810,619 Project Alpha Intermediate Holding, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 04/26/2024 1,798,542 993,591 Pug LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/12/2027 950,539 1,565,000 Radiate Holdco, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 09/25/2026 1,569,640 Radiology Partners, Inc., Senior Secured First Lien Term Loan 985,052 (1 Month LIBOR USD + 4.25%) 5.29% 07/09/2025 971,099 844,584 (3 Month LIBOR USD + 4.25%) 5.29% 07/09/2025 832,620 635,000 Redstone Buyer, LLC, Senior Secured First Lien Term Loan (2 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 09/01/2027 638,572 1,232,121 RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 11/14/2025 1,231,277 1,691,282 Renaissance Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/30/2025 1,666,437 301,756 RentPath, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.00%, 1.00% Floor) 8.00% 02/26/2021 282,142 1,662,730 RentPath, Inc., Senior Secured First Lien Term Loan (Prime Rate + 3.75%, 1.00% Floor) 7.00% W 12/17/2021 748,229 530,000 Reynolds Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/05/2026 526,952 642,011 Reynolds Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/06/2023 640,406 800,975 RP Crown Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 02/02/2026 801,728 314,213 Ryan Specialty Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 09/01/2027 314,212 255,000 Sabre Global, Inc., Senior Secured First Lien Term Loan 4.75% ± 12/17/2027 255,956 626,769 Sabre Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 02/22/2024 613,397 1,425,900 Science Applications International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.88%) 2.02% 10/31/2025 1,422,335 349,067 Science Applications International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 03/12/2027 349,503 1,238,632 Scientific Games International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 08/14/2024 1,213,085 1,248,325 Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 11/01/2024 1,174,992 1,071,759 Sedgwick Claims Management Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 12/31/2025 1,056,803 1,824,034 Select Medical Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.25%) 2.53% 03/06/2025 1,813,774 1,706,640 Severin Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 08/01/2025 1,690,213 2,597,125 Sinclair Television Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 09/30/2026 2,576,023 1,234,039 SIWF Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 06/13/2025 1,228,387 928,063 Six Flags Theme Parks, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 04/17/2026 909,645 645,000 SkyMiles IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 10/20/2027 670,397 SMG US Midco 2, Inc., Senior Secured First Lien Term Loan 416,884 (1 Month LIBOR USD + 2.50%) 2.65% 01/23/2025 394,303 1,004,125 (3 Month LIBOR USD + 2.50%) 2.65% 01/23/2025 949,737 1,541,502 Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.23% 06/26/2025 1,541,888 85,000 Solenis International LP, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%) 8.73% 06/26/2026 84,929 1,542,852 Solera LLC, Senior Secured First Lien Term Loan (2 Month LIBOR USD + 2.75%) 2.90% 03/03/2023 1,533,648 1,800,000 Sophia LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 10/07/2027 1,808,676 1,388,857 Sotera Health Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 12/11/2026 1,396,093 1,921,985 Sound Inpatient Physicians, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 06/27/2025 1,912,375 673,462 Southern Graphics, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 12/30/2022 500,045 138,788 Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan 5.00% ± 10/02/2027 138,441 1,006,212 Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 10/01/2027 1,003,697 1,597,615 SS&C Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 04/16/2025 1,582,941 636,587 Staples, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) 5.21% 04/16/2026 618,356 812,504 Starfruit US Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 10/01/2025 805,903 632,225 Stars Group Holdings B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.75% 07/10/2025 635,212 946,721 STG-Fairway Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 01/29/2027 934,002 400,950 Sunshine Luxembourg VII SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) 4.25% 10/01/2026 403,426 1,731,300 Surf Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.73% 03/05/2027 1,718,748 282,727 Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 10/01/2024 280,606 869,495 TAMKO Building Products LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/29/2026 868,408 835,131 Team Health Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 02/06/2024 747,893 1,231,913 Tech Data Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 06/30/2025 1,241,534 528,675 Tech Data Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.50%) 5.65% 06/30/2025 529,997 720,064 Telesat LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 12/07/2026 714,865 564,300 Terrier Media Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/17/2026 566,154 1,949,280 The Dun & Bradstreet Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 02/06/2026 1,953,880 1,631,713 The Edelman Financial Center LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 07/21/2025 1,610,296 1,760,588 Thyssenkrupp Elevator, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%) 4.57% 07/14/2027 1,776,301 1,342,527 TIBCO Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 06/30/2026 1,321,127 165,000 TIBCO Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) 7.40% 03/03/2028 167,199 1,389,382 Titan Acquisition Limited, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%) 3.27% 03/28/2025 1,358,677 TKC Holdings, Inc., Senior Secured First Lien Term Loan 3,835 (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 02/01/2023 3,773 1,455,353 (6 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 02/01/2023 1,431,703 2,222,608 TransDigm, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 05/30/2025 2,183,601 814,800 Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 01/25/2024 723,135 Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan 340 (2 Weeks LIBOR USD + 0.00%, 1.00% Floor) 2.50% 02/28/2025 337 769 (2 Weeks LIBOR USD + 1.50%, 1.00% Floor) 2.50% 02/28/2025 760 551,970 (3 Month LIBOR USD + 1.50%, 1.00% Floor) 2.50% 02/28/2025 545,931 294,338 Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) 5.25% 05/29/2026 201,867 1,567,360 Trident TPI Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/17/2024 1,550,824 1,496,164 Uber Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 04/04/2025 1,506,981 1,795,313 UFC Holdings, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 04/29/2026 1,792,646 773,028 UGI Energy Services LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 08/13/2026 775,926 924,762 Ultimate Software Group, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 05/04/2026 925,581 1,261,838 Ultimate Software Group, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 05/04/2026 1,270,368 140,000 Ultimate Software Group, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.75% Floor) 7.50% 05/03/2027 144,375 454,520 United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 10/22/2025 452,625 341,550 Univar Solutions USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 07/01/2026 339,202 462,831 Univision Communications, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 03/13/2026 464,726 660,013 Upstream Newco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 11/20/2026 659,600 2,592,188 US Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 09/14/2026 2,556,545 772,661 USIC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/08/2023 776,204 658,472 Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 10/28/2024 628,156 1,833,684 Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 08/27/2025 1,836,434 2,625,000 VICI Properties LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.89% 12/20/2024 2,587,922 562,479 Victory Capital Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%) 2.73% 07/01/2026 561,309 2,694,290 Virgin Media Bristol LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.66% 01/31/2028 2,673,597 451,903 Vistra Operations Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 12/31/2025 450,961 1,774,262 VS Buyer LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/26/2027 1,770,935 1,207,752 Wand NewCo 3, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 02/05/2026 1,192,957 876,776 Web.Com Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 10/10/2025 866,181 1,252,439 Whatabrands LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 07/31/2026 1,243,434 1,500,980 Zayo Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 03/09/2027 1,495,216 902,989 Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 09/30/2026 906,565 235,000 Ziggo Financing Partnership, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.66% 04/28/2028 233,972

Total Bank Loans (Cost $310,056,366) 308,282,679

Collateralized Loan Obligations - 11.1% 6,500,000 522 Funding Ltd., Series 2019-1A-A1 (3 Month LIBOR USD + 1.39%, 1.39% Floor) 1.63% ^ 01/15/2033 6,512,835 250,000 Adams Mill Ltd., Series 2014-1A-D1 (3 Month LIBOR USD + 3.50%) 3.74% ^ 07/15/2026 248,537 14,000,000 AGL Ltd., Series 2020-3A-A (3 Month LIBOR USD + 1.30%, 1.30% Floor) 1.54% ^ 01/15/2033 13,991,217 12,250,000 Allegro Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.10%, 1.10% Floor) 1.34% ^ 06/13/2031 12,237,524 2,250,000 Anchorage Capital Ltd., Series 2014-3RA-A (3 Month LIBOR USD + 1.05%) 1.27% ^ 01/28/2031 2,243,352 7,165,000 Anchorage Capital Ltd., Series 2015-6A-AR (3 Month LIBOR USD + 1.27%) 1.51% ^ 07/15/2030 7,169,382 25,000,000 Anchorage Capital Ltd., Series 2016-9A-AR (3 Month LIBOR USD + 1.37%) 1.61% ^ 07/15/2032 25,024,193 7,500,000 Anchorage Capital Ltd., Series 2018-1RA-A1 (3 Month LIBOR USD + 0.99%, 0.99% Floor) 1.21% ^ 04/13/2031 7,448,872 8,800,000 Anchorage Capital Ltd., Series 2020-16A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor) 2.40% ^ 10/20/2031 8,810,807 12,500,000 Assurant Ltd., Series 2018-2A-A (3 Month LIBOR USD + 1.23%, 1.23% Floor) 1.45% ^ 10/20/2031 12,490,198 13,633,288 Atlas Senior Loan Fund Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 0.83%) 1.05% ^ 11/17/2027 13,562,701 2,799,276 Atlas Senior Loan Fund Ltd., Series 2018-10A-A (3 Month LIBOR USD + 1.09%) 1.33% ^ 01/15/2031 2,788,014 2,000,000 Atlas Senior Loan Fund XI Ltd., Series 2018-11A-B (3 Month LIBOR USD + 1.65%) 1.86% ^ 07/26/2031 1,959,679 6,245,717 Avery Point Ltd., Series 2015-6A-AR (3 Month LIBOR USD + 1.05%) 1.27% ^ 08/05/2027 6,242,668 2,500,000 Babson Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.95%) 3.17% ^ 10/20/2030 2,460,159 15,000,000 Ballyrock Ltd., Series 2019-2A-A2 (3 Month LIBOR USD + 2.00%, 2.00% Floor) 2.22% ^ 11/20/2030 15,005,624 5,000,000 Battalion Ltd., Series 2019-16A-B (3 Month LIBOR USD + 2.00%, 2.00% Floor) 2.22% ^ 12/19/2032 5,001,436 18,000,000 Battalion Ltd., Series 2020-15A-A1 (3 Month LIBOR USD + 1.35%, 1.35% Floor) 1.57% ^ 01/17/2033 18,013,825 6,993,698 Benefit Street Partners Ltd., Series 2013-IIIA-A1R (3 Month LIBOR USD + 1.25%) 1.47% ^ 07/20/2029 7,002,427 10,000,000 Birch Grove Ltd., Series 19A-A (3 Month LIBOR USD + 1.49%) 1.71% ^ 06/15/2031 10,008,442 10,000,000 Carbone Ltd., Series 2017-1A-A1 (3 Month LIBOR USD + 1.14%) 1.36% ^ 01/20/2031 10,006,122 5,965,555 Carlyle Global Market Strategies Ltd., Series 2017-1A-A1A (3 Month LIBOR USD + 1.30%) 1.52% ^ 04/20/2031 5,960,332 30,000,000 CarVal Ltd., Series 2019-2A-A (3 Month LIBOR USD + 1.35%, 1.35% Floor) 1.57% ^ 07/20/2032 30,012,323 8,350,000 Cathedral Lake Ltd., Series 2015-2A-A1R (3 Month LIBOR USD + 1.31%) 1.55% ^ 07/16/2029 8,350,228 8,350,000 Cathedral Lake Ltd., Series 2015-3A-AR (3 Month LIBOR USD + 1.32%, 1.32% Floor) 1.56% ^ 07/16/2029 8,335,448 2,500,000 CBAM Ltd., Series 2019-10A-B (3 Month LIBOR USD + 2.05%, 2.05% Floor) 2.27% ^ 04/20/2032 2,501,339 236,438 Cent Ltd., Series 2013-19A-A1A (3 Month LIBOR USD + 1.33%) 1.54% ^ 10/29/2025 236,508 22,000,000 CFIP Ltd., Series 2014-1A-AR (3 Month LIBOR USD + 1.32%) 1.54% ^ 07/13/2029 21,993,692 10,350,000 CFIP Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.22%) 1.44% ^ 01/18/2030 10,325,328 2,000,000 CFIP Ltd., Series 2017-1A-B (3 Month LIBOR USD + 1.65%) 1.87% ^ 01/18/2030 1,994,786 1,800,000 CIFC Funding Ltd., Series 2014-5A-BR2 (3 Month LIBOR USD + 1.80%, 1.80% Floor) 2.02% ^ 10/17/2031 1,803,439 14,609,011 Crown Point Ltd., Series 2018-6A-A1 (3 Month LIBOR USD + 1.17%, 1.17% Floor) 1.39% ^ 10/20/2028 14,568,108 10,000,000 Crown Point Ltd., Series 2020-9A-A (3 Month LIBOR USD + 2.05%, 2.05% Floor) 2.28% ^ 07/14/2032 10,065,364 5,000,000 Crown Point Ltd., Series 2020-9A-B (3 Month LIBOR USD + 2.69%, 2.69% Floor) 2.92% ^ 07/14/2032 5,027,414 25,000,000 CVP Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.34%) 1.56% ^ 07/20/2030 25,017,348 6,500,000 CVP Ltd., Series 2017-2A-A (3 Month LIBOR USD + 1.19%, 1.19% Floor) 1.41% ^ 01/20/2031 6,496,624 5,000,000 Dryden Senior Loan Fund, Series 2013-28A-A1LR (3 Month LIBOR USD + 1.20%, 1.20% Floor) 1.42% ^ 08/15/2030 4,998,651 20,000,000 Elevation Ltd., Series 2018-9A-A1 (3 Month LIBOR USD + 1.12%, 1.12% Floor) 1.36% ^ 07/15/2031 19,911,614 9,000,000 Elmwood Ltd., Series 2019-2A-B (3 Month LIBOR USD + 2.10%, 2.10% Floor) 2.32% ^ 04/20/2031 9,016,433 6,000,000 Elmwood Ltd., Series 2020-1A-A (3 Month LIBOR USD + 1.24%, 1.24% Floor) 1.48% ^ 04/15/2033 6,010,482 7,735,158 Galaxy Ltd., Series 2016-22A-A2R (3 Month LIBOR USD + 0.85%, 0.85% Floor) 1.08% ^ 07/16/2028 7,719,288 10,000,000 Greywolf Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.18%, 1.18% Floor) 1.40% ^ 10/20/2031 9,996,712 5,000,000 Gulf Stream Meridian Ltd., Series 2020-IIA-A2A (3 Month LIBOR USD + 2.75%, 2.75% Floor) 2.99% ^ 10/15/2029 5,028,460 500,000 Halcyon Loan Advisors Funding Ltd., Series 2013-2A-C (3 Month LIBOR USD + 2.70%) 2.91% ^ 08/01/2025 499,470 250,000 Halcyon Loan Advisors Funding Ltd., Series 2013-2A-D (3 Month LIBOR USD + 3.80%) 4.01% ^ 08/01/2025 218,400 13,925,115 Halcyon Loan Advisors Funding Ltd., Series 2015-3A-A1R (3 Month LIBOR USD + 0.90%) 1.12% ^ 10/18/2027 13,898,539 6,500,000 Hayfin Kingsland Ltd., Series 2018-8A-B (3 Month LIBOR USD + 1.48%, 1.48% Floor) 1.70% ^ 04/20/2031 6,395,277 209,073 Jamestown Ltd., Series 2014-4A-A1AR (3 Month LIBOR USD + 0.69%) 0.93% ^ 07/15/2026 209,563 1,755,000 Jamestown Ltd., Series 2018-6RA-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.36% ^ 04/25/2030 1,745,784 10,000,000 Kayne Ltd., Series 2020-7A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) 1.42% ^ 04/17/2033 9,975,467 9,500,000 Kingsland Ltd., Series 2018-8A-A (3 Month LIBOR USD + 1.12%, 1.12% Floor) 1.34% ^ 04/20/2031 9,445,849 3,012,100 KVK Ltd., Series 2018-1A-A (3 Month LIBOR USD + 0.93%) 1.15% ^ 05/20/2029 3,007,749 20,000,000 LCM LP, Series 17A-A2RR (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.39% ^ 10/15/2031 19,893,558 10,595,000 Madison Park Funding Ltd., Series 2013-11A-AR (3 Month LIBOR USD + 1.16%) 1.37% ^ 07/23/2029 10,594,038 1,000,000 Madison Park Funding Ltd., Series 2014-15A-CR (3 Month LIBOR USD + 3.45%) 3.67% ^ 01/27/2026 999,765 3,000,000 Madison Park Funding Ltd., Series 2017-26A-BR (3 Month LIBOR USD + 1.60%) 1.81% ^ 07/29/2030 2,966,029 18,580,795 Marathon Ltd., Series 2013-5A-A1R (3 Month LIBOR USD + 0.87%) 1.08% ^ 11/21/2027 18,450,793 3,524,629 Marathon Ltd., Series 2014-7A-A1R (3 Month LIBOR USD + 1.32%) 1.54% ^ 10/28/2025 3,522,324 8,625,000 Marathon Ltd., Series 2017-9A-A2 (3 Month LIBOR USD + 1.75%) 1.99% ^ 04/15/2029 8,487,180 4,500,000 Marble Point Ltd., Series 2017-2A-A (3 Month LIBOR USD + 1.18%, 1.18% Floor) 1.45% ^ 12/18/2030 4,477,819 29,500,000 Marble Point Ltd., Series 2020-1A-A (3 Month LIBOR USD + 1.30%, 1.30% Floor) 1.52% ^ 04/20/2033 29,483,063 2,000,000 MP Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 1.25%) 1.47% ^ 10/20/2030 1,997,529 25,000,000 MP Ltd., Series 2013-2A-ARR (3 Month LIBOR USD + 1.28%) 1.49% ^ 07/25/2029 25,024,939 8,760,402 MP Ltd., Series 2015-2A-AR (3 Month LIBOR USD + 0.91%) 1.13% ^ 10/28/2027 8,738,670 20,000,000 Nassau Ltd., Series 2018-IA-A (3 Month LIBOR USD + 1.15%) 1.39% ^ 07/15/2031 19,768,047 8,898,846 Northwoods Capital Ltd., Series 2017-16A-A (3 Month LIBOR USD + 1.27%) 1.49% ^ 11/15/2030 8,824,062 4,914,578 Ocean Trails, Series 2014-5A-ARR (3 Month LIBOR USD + 1.28%, 1.28% Floor) 1.50% ^ 10/13/2031 4,912,766 10,000,000 Ocean Trails, Series 2020-10A-B1 (3 Month LIBOR USD + 2.10%, 2.10% Floor) 2.29% ^ 10/15/2031 9,997,084 15,000,000 OFSI Fund Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.39% ^ 07/15/2031 14,899,974 15,000,000 Park Avenue Institutional Advisers Ltd., Series 2016-1A-A1R (3 Month LIBOR USD + 1.20%) 1.41% ^ 08/23/2031 15,000,062 9,947,266 Race Point Ltd., Series 2015-9A-A1AR (3 Month LIBOR USD + 1.21%) 1.45% ^ 10/15/2030 9,927,811 3,000,000 Sound Point Ltd., Series 2013-3RA-A (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.37% ^ 04/18/2031 2,982,950 4,000,000 Sound Point Ltd., Series 2015-1RA-A (3 Month LIBOR USD + 1.36%, 1.36% Floor) 1.60% ^ 04/15/2030 4,003,788 10,100,000 Sound Point Ltd., Series 2018-3A-A1A (3 Month LIBOR USD + 1.18%, 1.18% Floor) 1.39% ^ 10/26/2031 10,080,241 10,500,000 Sound Point Ltd., Series 2019-1A-A (3 Month LIBOR USD + 1.37%, 1.37% Floor) 1.59% ^ 01/20/2032 10,563,464 29,000,000 Sound Point Ltd., Series 2020-3A-A1 (3 Month LIBOR USD + 1.28%, 1.28% Floor) 0.00% ^ 01/25/2032 29,000,041 10,000,000 Steele Creek Ltd., Series 2014-1RA-A (3 Month LIBOR USD + 1.07%, 1.07% Floor) 1.28% ^ 04/21/2031 9,918,269 10,000,000 Steele Creek Ltd., Series 2015-1A-AR (3 Month LIBOR USD + 1.26%) 1.47% ^ 05/21/2029 9,969,312 8,000,000 Steele Creek Ltd., Series 2016-1A-AR (3 Month LIBOR USD + 1.12%, 1.12% Floor) 1.34% ^ 06/15/2031 7,925,577 10,000,000 Steele Creek Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.25%) 1.49% ^ 10/15/2030 9,983,917 6,000,000 Steele Creek Ltd., Series 2018-2A-A (3 Month LIBOR USD + 1.20%, 1.20% Floor) 1.42% ^ 08/18/2031 5,961,414 10,000,000 Steele Creek Ltd., Series 2019-1A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor) 2.44% ^ 04/15/2032 10,008,847 18,000,000 Steele Creek Ltd., Series 2019-2A-A1 (3 Month LIBOR USD + 1.36%, 1.36% Floor) 1.60% ^ 07/15/2032 18,010,791 9,000,000 Steele Creek Ltd., Series 2019-2A-B (3 Month LIBOR USD + 2.25%, 2.25% Floor) 2.49% ^ 07/15/2032 9,002,777 10,000,000 Symphony Ltd., Series 2014-15A-AR2 (3 Month LIBOR USD + 1.26%, 1.26% Floor) 1.48% ^ 01/17/2032 10,002,203 10,000,000 Venture Ltd., Series 2014-19A-ARR (3 Month LIBOR USD + 1.26%, 1.26% Floor) 1.50% ^ 01/15/2032 10,000,118 11,649,550 Venture Ltd., Series 2015-20A-AR (3 Month LIBOR USD + 0.82%) 1.06% ^ 04/15/2027 11,621,079 8,500,000 Venture Ltd., Series 2017-29A-A (3 Month LIBOR USD + 1.28%) 1.50% ^ 09/07/2030 8,499,930 10,000,000 Venture Ltd., Series 2018-34A-A (3 Month LIBOR USD + 1.23%, 1.23% Floor) 1.47% ^ 10/15/2031 9,962,621 3,948,182 Vibrant Ltd., Series 2015-3A-A1RR (3 Month LIBOR USD + 1.25%) 1.47% ^ 10/20/2031 3,946,031 3,500,000 Vibrant Ltd., Series 2016-5A-B (3 Month LIBOR USD + 2.10%) 2.32% ^ 01/20/2029 3,513,255 10,000,000 Vibrant Ltd., Series 2018-10A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) 1.42% ^ 10/20/2031 9,933,167 15,000,000 Wellfleet Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) 1.42% ^ 10/20/2031 14,947,535 10,000,000 Wellfleet Ltd., Series 2018-3A-A1A (3 Month LIBOR USD + 1.25%, 1.25% Floor) 1.47% ^ 01/20/2032 10,012,481 17,500,000 Wellfleet Ltd., Series 2020-1A-A1A (3 Month LIBOR USD + 1.31%, 1.31% Floor) 1.55% ^ 04/15/2033 17,524,098 3,000,000 Whitebox CLO II, Ltd., Series 2020-A-B (3 Month LIBOR USD + 2.25%, 2.25% Floor) 2.49% ^ 10/24/2031 2,965,417 149,961 WhiteHorse Ltd., Series 2014-1A-AR (3 Month LIBOR USD + 0.90%) 1.11% ^ 05/01/2026 150,078 6,000,000 WhiteHorse Ltd., Series 2018-12A-A (3 Month LIBOR USD + 1.25%, 1.25% Floor) 1.49% ^ 10/15/2031 5,968,519 14,500,000 Wind River Ltd., Series 2014-2A-AR (3 Month LIBOR USD + 1.14%, 1.14% Floor) 1.38% ^ 01/15/2031 14,471,679 4,000,000 Wind River Ltd., Series 2019-3A-B (3 Month LIBOR USD + 2.10%) 2.34% ^ 04/15/2031 4,001,842 582,508 Zais Ltd., Series 2014-2A-A1AR (3 Month LIBOR USD + 1.20%) 1.41% ^ 07/25/2026 582,936

Total Collateralized Loan Obligations (Cost $942,833,811) 942,473,923

Foreign Corporate Bonds - 7.2% 4,700,000 Adani Ports & Special Economic Zone Ltd. 3.95% 01/19/2022 4,810,284 1,400,000 Adani Ports & Special Economic Zone Ltd. 3.38% 07/24/2024 1,458,218 1,700,000 AES Dominicana 7.95% 05/11/2026 1,761,625 400,000 AES Gener S.A. 5.00% 07/14/2025 424,000 1,400,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% 03/26/2079 1,557,500 1,200,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% ^ 03/26/2079 1,335,000 5,300,000 Alibaba Group Holding Ltd. 2.80% 06/06/2023 5,579,027 5,455,000 ANZ New Zealand International Ltd. 1.90% ^ 02/13/2023 5,621,915 1,325,000 AstraZeneca PLC 2.38% 06/12/2022 1,362,179 9,050,000 AstraZeneca PLC 3.50% 08/17/2023 9,757,511 5,926,000 Avolon Holdings Funding Ltd. 3.63% ^ 05/01/2022 6,055,970 1,600,000 Baidu, Inc. 3.50% 11/28/2022 1,681,480 4,300,000 Baidu, Inc. 3.88% 09/29/2023 4,641,259 6,500,000 Banco Bradesco S.A. 5.90% 01/16/2021 6,504,940 1,500,000 Banco Bradesco S.A. 2.85% ^ 01/27/2023 1,536,390 1,600,000 Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%) 7.75% ^ 02/15/2029 1,744,416 1,850,000 Banco Continental SAECA 2.75% ^ 12/10/2025 1,845,375 1,400,000 Banco de Credito del Peru (3 Month LIBOR USD + 7.04%) 6.13% 04/24/2027 1,485,764 1,500,000 Banco de Reservas de la Republica Dominicana 7.00% 02/01/2023 1,571,250 500,000 Banco Latinoamericano de Comercio Exterior S.A. 2.38% ^ 09/14/2025 512,505 6,300,000 Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%) 6.88% † 07/06/2022 6,670,125 11,000,000 Banco Nacional de Comercio Exterior S.N.C. (5 Year CMT Rate + 3.00%) 3.80% 08/11/2026 11,066,770 1,250,000 Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santand 5.38% ^ 04/17/2025 1,437,644 2,900,000 Bangkok Bank PCL 3.88% 09/27/2022 3,051,289 10,200,000 Banistmo S.A. 3.65% 09/19/2022 10,488,252 800,000 Banistmo S.A. 3.65% ^ 09/19/2022 822,608 7,865,000 Bank of Nova Scotia 0.55% 09/15/2023 7,898,150 2,870,000 Bank of the Philippine Islands 2.50% 09/10/2024 2,983,006 5,330,000 Barclays PLC (1 Year CMT Rate + 0.80%) 1.01% 12/10/2024 5,368,742 5,150,000 BAT International Finance PLC 1.67% 03/25/2026 5,274,278 4,600,000 BBVA Banco Continental S.A. 5.00% 08/26/2022 4,911,167 2,330,000 BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%) 5.35% 11/12/2029 2,487,275 2,000,000 BDO Unibank, Inc. 2.63% 10/24/2021 2,031,193 4,000,000 BDO Unibank, Inc. 2.95% 03/06/2023 4,162,027 4,320,000 BPCE S.A. 2.38% ^ 01/14/2025 4,567,399 3,660,000 Broadcom, Inc. 2.25% 11/15/2023 3,824,821 2,100,000 C&W Senior Financing DAC 7.50% 10/15/2026 2,240,227 6,800,000 Cemex S.A.B. de C.V. 7.75% 04/16/2026 7,179,100 2,600,000 CIMB Bank BHD (3 Month LIBOR USD + 0.78%) 1.01% 10/09/2024 2,596,839 3,965,000 Citigroup, Inc. 2.75% 04/25/2022 4,084,144 1,845,000 Citigroup, Inc. (Secured Overnight Financing Rate + 0.87%) 2.31% 11/04/2022 1,874,863 2,500,000 CNPC General Capital Ltd. 3.95% 04/19/2022 2,594,272 2,100,000 CNPC Overseas Capital Ltd. 4.50% 04/28/2021 2,121,336 5,285,000 Commonwealth Bank of Australia 2.75% ^ 03/10/2022 5,445,193 4,635,000 Conagra Brands, Inc. 4.30% 05/01/2024 5,188,842 1,100,000 Credicorp Ltd. 2.75% ^ 06/17/2025 1,145,650 7,940,000 Credit Suisse Group AG (3 Month LIBOR USD + 1.24%) 1.46% ^ 06/12/2024 8,055,717 3,400,000 Daimler Finance North America LLC 2.30% ^ 02/12/2021 3,406,910 850,000 Daimler Finance North America LLC 3.40% ^ 02/22/2022 878,142 750,000 DBS Group Holdings Ltd. 2.85% 04/16/2022 772,795 700,000 DBS Group Holdings Ltd. (3 Month LIBOR USD + 0.62%) 0.83% 07/25/2022 704,003 900,000 DBS Group Holdings Ltd. (5 Year Mid Swap Rate USD + 1.59%) 4.52% 12/11/2028 985,684 7,900,000 DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%) 3.60% † 09/07/2021 7,990,573 189,677 Digicel Group Ltd. (PIK 7.00%) 7.00% ^† 01/19/2021 53,109 476,105 Digicel Group Ltd. (PIK 8.00%) 8.00% ^ 04/01/2025 249,955 1,632,451 Empresa Electrica Angamos S.A. 4.88% 05/25/2029 1,638,263 2,552,000 Empresa Electrica Guacolda S.A. 4.56% 04/30/2025 2,303,307 3,908,923 ENA Norte Trust 4.95% 04/25/2023 4,026,191 10,854,000 Enel Generacion Chile S.A. 4.25% 04/15/2024 11,817,835 200,000 ENN Energy Holdings Ltd. 3.25% 07/24/2022 205,674 5,075,000 Equinix, Inc. 1.25% 07/15/2025 5,181,694 500,000 Export Import Bank of Thailand (3 Month LIBOR USD + 0.85%) 1.06% 05/23/2024 499,612 3,100,000 Export Import Bank of Thailand (3 Month LIBOR USD + 0.90%) 1.12% 11/20/2023 3,110,060 3,444,706 Fenix Power Peru SA 4.32% 09/20/2027 3,633,545 4,195,000 General Mills, Inc. 3.15% 12/15/2021 4,277,497 1,000,000 Geopark Ltd. 6.50% 09/21/2024 1,040,000 10,850,000 GlaxoSmithKline Capital PLC 0.53% 10/01/2023 10,893,431 300,000 Global Bank Corporation 4.50% ^ 10/20/2021 306,825 7,700,000 Global Bank Corporation 4.50% 10/20/2021 7,875,175 2,000,000 Grupo Aval Ltd. 4.75% 09/26/2022 2,097,720 3,700,000 Grupo Bimbo S.A.B. de C.V. 4.50% 01/25/2022 3,849,348 7,510,000 GrupoSura Finance S.A. 5.70% 05/18/2021 7,687,424 8,100,000 HPHT Finance Ltd. 2.88% 11/05/2024 8,473,653 350,000 Indian Oil Corporation Ltd. 5.63% 08/02/2021 359,510 2,200,000 Indian Oil Corporation Ltd. 5.75% 08/01/2023 2,428,710 1,249,173 Interoceanica Finance Ltd. 0.00% 11/30/2025 1,195,302 35,034 Invepar Holdings 0.00% W Þ 12/30/2028 1,498 6,650,000 Inversiones CMPC S.A. 4.50% 04/25/2022 6,939,375 700,000 Israel Electric Corporation Ltd. 6.88% 06/21/2023 796,187 4,250,000 JD.com, Inc. 3.13% 04/29/2021 4,279,482 4,790,000 Kinder Morgan Energy Partners LP 3.95% 09/01/2022 5,028,735 3,600,000 Korea Development Bank 1.25% 06/03/2025 3,682,907 4,500,000 Korea Development Bank 0.80% 04/27/2026 4,521,469 3,400,000 Korea East-West Power Company Ltd. 1.75% 05/06/2025 3,554,935 4,000,000 Korea East-West Power Company Ltd. 1.75% ^ 05/06/2025 4,182,276 6,200,000 Korea Electric Power Corporation 1.13% 06/15/2025 6,307,986 3,550,000 Korea Electric Power Corporation 1.13% ^ 06/15/2025 3,611,831 7,890,000 KT Corporation 1.00% 09/01/2025 7,939,825 4,150,000 Latam Finance Ltd. 6.88% W 04/11/2024 2,126,875 5,800,000 LG Chem Ltd. 3.25% 10/15/2024 6,280,809 4,920,000 Macquarie Bank Ltd. 2.10% ^ 10/17/2022 5,076,406 3,000,000 Malayan Banking BHD (3 Month LIBOR USD + 0.80%) 1.02% 08/16/2024 2,991,707 8,700,000 Malayan Banking BHD (5 Year Swap Rate USD + 2.54%) 3.91% 10/29/2026 8,881,438 6,400,000 MEGlobal Canada ULC 5.00% ^ 05/18/2025 7,217,088 10,851,000 Mitsubishi UFJ Financial Group, Inc. (3 Month LIBOR USD + 0.86%) 1.07% 07/26/2023 10,974,410 11,113,000 Mizuho Financial Group, Inc. (3 Month LIBOR USD + 0.79%) 1.02% 03/05/2023 11,200,797 5,200,000 Multibank, Inc. 4.38% 11/09/2022 5,379,530 2,460,000 National Securities Clearing Corporation 1.20% ^ 04/23/2023 2,509,794 5,000,000 NongHyup Bank 1.25% 07/20/2025 5,098,352 4,000,000 NongHyup Bank 1.25% ^ 07/20/2025 4,078,681 8,961,000 ONGC Videsh Ltd. 2.88% 01/27/2022 9,088,232 1,000,000 ONGC Videsh Ltd. 3.75% 05/07/2023 1,047,825 1,000,000 Oversea-Chinese Banking Corporation Ltd. 4.25% 06/19/2024 1,096,799 1,900,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% ^ 09/10/2030 1,931,608 8,300,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% 09/10/2030 8,438,075 4,090,237 Panama Metro Line SP 0.00% 12/05/2022 3,993,093 1,075,405 Panama Metro Line SP 0.00% ^ 12/05/2022 1,049,864 5,255,000 PepsiCo, Inc. 0.75% 05/01/2023 5,331,452 1,966,257 Peru Enhanced Pass-Through Finance Ltd. 0.00% 06/02/2025 1,912,185 1,766,000 Perusahaan Listrik Negara PT 5.50% 11/22/2021 1,846,574 2,700,000 Petronas Capital Ltd. 3.13% 03/18/2022 2,786,131 4,040,000 Philip Morris International, Inc. 0.88% 05/01/2026 4,058,896 315,000 Phillips 66 3.85% 04/09/2025 355,134 2,270,000 Phillips 66 1.30% 02/15/2026 2,310,340 1,775,000 PNC Bank (3 Month LIBOR USD + 0.42%) 2.03% 12/09/2022 1,802,818 690,000 PNC Bank NA 3.25% 06/01/2025 766,810 2,500,000 PNC Funding Corporation 3.30% 03/08/2022 2,583,191 4,105,000 POSCO 2.38% 11/12/2022 4,224,380 3,300,000 POSCO 2.38% 01/17/2023 3,404,281 1,000,000 POSCO 2.75% 07/15/2024 1,058,540 550,000 PSA Treasury Pte Ltd. 2.50% 04/12/2026 590,306 10,250,000 Reliance Industries Ltd. 5.40% 02/14/2022 10,737,409 5,520,000 Royal Bank of Scotland Group PLC (3 Month LIBOR USD + 1.55%) 1.80% 06/25/2024 5,622,389 4,153,000 SACI Falabella 3.75% 04/30/2023 4,383,751 6,555,000 Santander UK PLC 2.50% 01/05/2021 6,555,000 4,015,000 Santander UK PLC 2.10% 01/13/2023 4,149,651 4,000,000 Saudi Arabian Oil Company 2.75% 04/16/2022 4,110,854 200,000 Saudi Arabian Oil Company 1.25% ^ 11/24/2023 202,642 8,000,000 Scotiabank Peru S.A. (3 Month LIBOR USD + 3.86%) 4.50% 12/13/2027 8,423,000 1,400,000 SingTel Group Treasury Pte Ltd. 3.25% 06/30/2025 1,549,213 2,355,000 SingTel Group Treasury Pte Ltd. 2.38% 10/03/2026 2,544,746 900,000 Sinopec Group Overseas Development Ltd. 2.15% 05/13/2025 927,998 2,500,000 Sinopec Group Overseas Development Ltd. 2.00% 09/29/2021 2,517,567 1,200,000 Sinopec Group Overseas Development Ltd. 2.15% ^ 05/13/2025 1,237,331 1,867,000 State Grid Overseas Investment Ltd. 1.00% 08/05/2025 1,854,220 1,950,000 State Grid Overseas Investment Ltd. 3.13% 05/22/2023 2,051,499 5,045,000 Sumitomo Mitsui Financial Group, Inc. 2.06% 07/14/2021 5,091,276 5,080,000 Sumitomo Mitsui Trust Bank Ltd. 0.80% ^ 09/12/2023 5,128,917 5,000,000 Synchrony Financial 3.75% 08/15/2021 5,072,444 755,000 Synchrony Financial 2.85% 07/25/2022 779,853 4,945,000 Takeda Pharmaceutical Ltd. 4.00% 11/26/2021 5,088,517 2,400,000 Tecnoglass, Inc. 8.20% 01/31/2022 2,510,460 7,250,000 Telefonica Chile S.A. 3.88% 10/12/2022 7,608,041 2,000,000 Temasek Financial Ltd. 2.38% 01/23/2023 2,083,097 5,000,000 Tencent Holdings Ltd. 1.81% ^ 01/26/2026 5,117,590 4,942,000 Toronto-Dominion Bank 3.25% 06/11/2021 5,007,492 5,350,000 Toronto-Dominion Bank (Secured Overnight Financing Rate + 0.48%) 0.57% 01/27/2023 5,371,710 7,735,000 UBS Group Funding Switzerland AG (1 Year CMT Rate + 0.83%) 1.01% ^ 07/30/2024 7,814,215 4,150,000 Unifin Financiera S.A.B. de C.V. 7.25% 09/27/2023 4,030,729 2,750,000 Unifin Financiera S.A.B. de C.V. 7.00% 01/15/2025 2,624,559 1,900,000 Union Bank of the Philippines 3.37% 11/29/2022 1,986,357 200,000 United Overseas Bank Ltd. (3 Month LIBOR USD + 0.48%) 0.69% 04/23/2021 200,203 2,750,000 United Overseas Bank Ltd. (5 Year CMT Rate + 1.50%) 3.75% 04/15/2029 2,953,059 2,493,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.65%) 2.88% 03/08/2027 2,543,471 5,700,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 2.24%) 3.50% 09/16/2026 5,797,726 1,560,000 Upjohn, Inc. 1.13% ^ 06/22/2022 1,575,269 1,500,000 Vedanta Resources Ltd. 7.13% 05/31/2023 1,234,500 200,000 Vedanta Resources Ltd. 6.13% 08/09/2024 144,500 5,300,000 Volkswagen Group of America Finance LLC 0.88% ^ 11/22/2023 5,332,483 5,019,000 Wells Fargo & Company 2.60% 01/15/2021 5,022,284 2,215,000 Williams Companies, Inc. 4.30% 03/04/2024 2,445,508

Total Foreign Corporate Bonds (Cost $600,041,024) 610,529,941

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.9% 2,600,000 Abu Dhabi Government International Bond 0.75% ^ 09/02/2023 2,608,190 3,000,000 Abu Dhabi Government International Bond 2.50% ^ 04/16/2025 3,210,270 11,600,000 Brazilian Government International Bond 2.88% 06/06/2025 12,093,116 3,500,000 Colombia Government International Bond 2.63% 03/15/2023 3,626,508 2,130,000 Indonesia Government International Bond 3.38% 04/15/2023 2,263,142 1,759,000 Indonesia Government International Bond 3.75% 04/25/2022 1,833,828 500,000 Indonesia Government International Bond 2.95% 01/11/2023 522,485 300,000 Malaysia Sovereign Sukuk BHD 3.04% 04/22/2025 330,235 300,000 Mexico Government International Bond 3.90% 04/27/2025 337,086 7,350,000 Panama Government International Bond 4.00% 09/22/2024 8,149,312 3,300,000 Panama Government International Bond 3.75% 03/16/2025 3,662,653 2,000,000 Perusahaan Penerbit International Bond 3.75% 03/01/2023 2,134,710 800,000 Perusahaan Penerbit International Bond 3.30% 11/21/2022 841,748 11,800,000 Peruvian Government International Bond 2.39% 01/23/2026 12,608,418 4,300,000 Qatar Government International Bond 2.38% 06/02/2021 4,336,378 1,600,000 Qatar Government International Bond 4.50% 01/20/2022 1,669,744 6,000,000 Saudi Government International Bond 2.38% 10/26/2021 6,096,492 4,500,000 Saudi Government International Bond 2.88% 03/04/2023 4,717,620 1,700,000 Wakala Global Sukuk BHD 4.65% 07/06/2021 1,735,536

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $71,530,163) 72,777,471

Non-Agency Commercial Mortgage Backed Obligations - 10.7% 3,553,000 20 Times Square Trust, Series 2018-20TS-F 3.10% #^ 05/15/2035 3,399,382 3,392,000 20 Times Square Trust, Series 2018-20TS-G 3.10% #^ 05/15/2035 3,077,679 2,000,000 Arbor Realty Ltd., Series 2019-FL1-B (1 Month LIBOR USD + 1.70%) 1.86% ^ 05/15/2037 1,965,150 2,000,000 Arbor Realty Ltd., Series 2020-FL1-B (1 Month LIBOR USD + 1.80%, 1.80% Floor) 1.96% ^ 02/15/2035 1,967,138 12,000,000 AREIT Trust, Series 2019-CRE3-C (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.05% ^ 09/14/2036 11,693,304 1,251,000 AREIT Trust, Series 2019-CRE3-D (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.80% ^ 09/14/2036 1,198,064 9,763,000 Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor) 3.56% ^ 06/15/2035 8,601,854 7,231,000 BAMLL Commercial Mortgage Securities Trust, Series 2019-AHT-D (1 Month LIBOR USD + 2.50%, 2.50% Floor) 2.66% ^ 03/15/2034 6,848,332 4,952,000 Bancorp Commercial Mortgage Trust, Series 2018-CRE4-D (1 Month LIBOR USD + 2.10%, 0.25% Floor) 2.26% ^ 09/15/2035 4,675,861 3,711,000 Bancorp Commercial Mortgage Trust, Series 2019-CRE5-D (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.51% ^ 03/15/2036 3,537,058 3,705,000 Bancorp Commercial Mortgage Trust, Series 2019-CRE6-E (1 Month LIBOR USD + 2.85%, 2.85% Floor) 3.01% ^ 09/15/2036 3,377,730 1,174,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-C (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.36% ^ 08/15/2036 1,149,255 1,338,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-D (1 Month LIBOR USD + 1.70%, 1.70% Floor) 1.86% ^ 08/15/2036 1,284,292 17,543,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F (1 Month LIBOR USD + 3.50%, 3.50% Floor) 3.66% ^ 08/15/2036 16,075,130 4,779,000 BBCMS Mortgage Trust, Series 2018-BXH-C (1 Month LIBOR USD + 1.50%, 1.50% Floor) 1.66% ^ 10/15/2037 4,475,276 10,250,000 BBCMS Mortgage Trust, Series 2018-CBM-E (1 Month LIBOR USD + 3.55%, 3.55% Floor) 3.71% ^ 07/15/2037 9,293,039 15,176,000 BBCMS Mortgage Trust, Series 2018-TALL-F (1 Month LIBOR USD + 3.24%, 3.24% Floor) 3.39% ^ 03/15/2037 13,533,391 1,160,000 BBCMS Mortgage Trust, Series 2019-BWAY-D (1 Month LIBOR USD + 2.16%, 2.16% Floor) 2.32% ^ 11/15/2034 1,098,133 11,001,000 BBCMS Mortgage Trust, Series 2019-BWAY-E (1 Month LIBOR USD + 2.85%, 2.85% Floor) 3.01% ^ 11/15/2034 9,721,398 7,538,000 BB-UBS Trust, Series 2012-TFT-TE 3.56% #^Þ 06/05/2030 6,606,678 2,000,000 BDS Ltd., Series 2019-FL4-B (1 Month LIBOR USD + 1.75%, 1.75% Floor) 1.90% ^ 08/15/2036 1,962,366 14,962,000 BFLD, Series 2019-DPLO-F (1 Month LIBOR USD + 2.54%, 2.54% Floor) 2.70% ^ 10/15/2034 13,462,089 9,345,000 BHMS Trust, Series 2018-ATLS-C (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 07/15/2035 8,830,215 165,041,500 BHMS Trust, Series 2018-ATLS-XCP 0.00% #^I/O 07/15/2035 1,650 4,571,700 BHP Trust, Series 2019-BXHP-D (1 Month LIBOR USD + 1.77%, 1.77% Floor) 1.93% ^ 08/15/2036 4,406,302 7,491,000 Braemar Hotels & Resorts Trust, Series 2018-PRME-E (1 Month LIBOR USD + 2.40%, 2.40% Floor) 2.56% ^ 06/15/2035 6,689,792 2,608,000 BX Commercial Mortgage Trust, Series 2018-BIOA-D (1 Month LIBOR USD + 1.32%, 1.35% Floor) 1.48% ^ 03/15/2037 2,614,617 12,515,000 BX Commercial Mortgage Trust, Series 2019-IMC-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 04/15/2034 11,750,767 6,882,000 BX Commercial Mortgage Trust, Series 2019-IMC-F (1 Month LIBOR USD + 2.90%, 2.90% Floor) 3.06% ^ 04/15/2034 6,179,402 2,665,589 BX Trust, Series 2017-APPL-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 07/15/2034 2,649,947 1,680,598 BX Trust, Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%, 2.05% Floor) 2.21% ^ 07/15/2034 1,669,022 4,119,100 BX Trust, Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 07/15/2034 4,084,862 3,159,000 BX Trust, Series 2018-GW-E (1 Month LIBOR USD + 1.97%, 1.97% Floor) 2.13% ^ 05/15/2035 3,011,888 3,434,000 BX Trust, Series 2018-GW-F (1 Month LIBOR USD + 2.42%, 2.42% Floor) 2.58% ^ 05/15/2035 3,242,107 1,414,000 BX Trust, Series 2018-GW-G (1 Month LIBOR USD + 2.92%, 2.92% Floor) 3.08% ^ 05/15/2035 1,295,828 14,384,020 BX Trust, Series 2019-MMP-E (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 08/15/2036 13,994,791 9,594,000 BX Trust, Series 2019-OC11-E 4.08% #^ 12/09/2041 9,564,000 11,389,000 Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor) 3.01% ^ 10/15/2035 10,083,300 48,367,668 CD Commercial Mortgage Trust, Series 2017-CD3-XA 1.01% #I/O 02/10/2050 2,351,815 66,248,134 CD Commercial Mortgage Trust, Series 2017-CD4-XA 1.29% #I/O 05/10/2050 3,882,286 3,553,000 CF Trust, Series 2019-MF1-E (1 Month LIBOR USD + 2.20%, 3.20% Floor) 3.20% ^ 08/21/2032 3,392,464 21,081,158 CFCRE Commercial Mortgage Trust, Series 2016-C3-XA 1.00% #I/O 01/10/2048 911,475 22,270,559 CFCRE Commercial Mortgage Trust, Series 2016-C4-XA 1.67% #I/O 05/10/2058 1,528,135 56,401,029 CFCRE Commercial Mortgage Trust, Series 2017-C8-XA 1.60% #I/O 06/15/2050 3,977,282 16,201,000 CFCRE Commercial Mortgage Trust, Series 2017-C8-XB 0.95% #I/O 06/15/2050 856,169 39,410,000 CFCRE Commercial Mortgage Trust, Series 2018-TAN-X 1.63% #^I/O 02/15/2033 1,155,387 4,532,000 CHT Mortgage Trust, Series 2017-CSMO-E (1 Month LIBOR USD + 3.00%, 3.00% Floor) 3.16% ^ 11/15/2036 4,362,065 441,000 CHT Mortgage Trust, Series 2017-CSMO-F (1 Month LIBOR USD + 3.74%, 3.74% Floor) 3.90% ^ 11/15/2036 425,936 7,588,658 Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA 0.99% #I/O 10/10/2047 234,436 641,000 Citigroup Commercial Mortgage Trust, Series 2015-GC27-D 4.42% #^ 02/10/2048 573,822 5,251,999 Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA 1.34% #I/O 02/10/2048 236,333 1,750,000 Citigroup Commercial Mortgage Trust, Series 2015-GC31-C 4.05% # 06/10/2048 1,752,170 18,959,303 Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA 1.25% #I/O 02/10/2049 948,468 13,026,468 Citigroup Commercial Mortgage Trust, Series 2016-P3-XA 1.70% #I/O 04/15/2049 848,549 13,380,798 Citigroup Commercial Mortgage Trust, Series 2016-P4-XA 1.96% #I/O 07/10/2049 1,027,898 13,520,084 Citigroup Commercial Mortgage Trust, Series 2017-P7-XA 1.11% #I/O 04/14/2050 715,154 4,865,000 Citigroup Commercial Mortgage Trust, Series 2019-SST2-D (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.76% ^ 12/15/2036 4,863,729 7,736,000 Citigroup Commercial Mortgage Trust, Series 2019-SST2-E (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 12/15/2036 7,674,706 2,000,000 CLNC Ltd., Series 2019-FL1-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.05% ^ 08/20/2035 1,969,434 19,958,000 CLNC Ltd., Series 2019-FL1-D (1 Month LIBOR USD + 2.90%, 2.90% Floor) 3.05% ^ 08/20/2035 18,752,617 8,009,732 Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA 0.66% #I/O 08/10/2046 120,041 24,340,307 Commercial Mortgage Pass-Through Certificates, Series 2013-CR12-XA 1.12% #I/O 10/10/2046 647,343 2,385,574 Commercial Mortgage Pass-Through Certificates, Series 2014-CR17-XA 0.97% #I/O 05/10/2047 61,199 233,000 Commercial Mortgage Pass-Through Certificates, Series 2014-CR19-C 4.71% # 08/10/2047 247,683 1,876,000 Commercial Mortgage Pass-Through Certificates, Series 2014-FL5-D (1 Month LIBOR USD + 4.00%, 4.00% Floor) 1.53% ^ 10/15/2031 1,684,314 18,266,991 Commercial Mortgage Pass-Through Certificates, Series 2015-CR22-XA 0.89% #I/O 03/10/2048 501,310 33,825,478 Commercial Mortgage Pass-Through Certificates, Series 2015-CR25-XA 0.83% #I/O 08/10/2048 1,091,985 37,159,703 Commercial Mortgage Pass-Through Certificates, Series 2015-CR27-XA 0.94% #I/O 10/10/2048 1,380,840 5,373,000 Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-C 4.31% # 02/10/2048 5,237,070 10,136,027 Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA 1.02% #I/O 02/10/2048 312,462 47,175,273 Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-XA 0.69% #I/O 07/10/2048 1,223,755 1,470,000 Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-C 4.62% # 10/10/2048 1,513,330 1,769,000 Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-C 4.64% # 02/10/2049 1,851,378 16,903,561 Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-XA 0.98% #I/O 02/10/2049 669,792 11,396,000 Commercial Mortgage Pass-Through Certificates, Series 2018-HCLV-D (1 Month LIBOR USD + 2.18%, 2.18% Floor) 2.34% ^ 09/15/2033 10,198,727 12,389 Credit Suisse Commercial Mortgage Trust, Series 2007-C1-AM 5.42% 02/15/2040 12,358 9,873,828 Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1 0.54% #^I/O 09/15/2037 195,829 26,956,259 CSAIL Commercial Mortgage Trust, Series 2015-C1-XA 0.83% #I/O 04/15/2050 745,408 3,351,138 CSAIL Commercial Mortgage Trust, Series 2016-C6-XA 1.92% #I/O 01/15/2049 251,260 1,538,000 CSAIL Commercial Mortgage Trust, Series 2020-C19-C 3.61% # 03/15/2053 1,633,256 6,499,000 CSMC Trust, Series 2017-CHOP-E (1 Month LIBOR USD + 3.30%, 3.30% Floor) 3.46% ^ 07/15/2032 5,291,953 6,650,000 CSMC Trust, Series 2017-LSTK-E 3.33% #^ 04/05/2033 6,467,461 8,697,000 CSMC Trust, Series 2020-FACT-D (1 Month LIBOR USD + 3.71%, 3.71% Floor) 3.87% ^ 10/15/2037 8,776,250 6,295,000 CSMC Trust, Series 2020-NET-D 3.70% #^ 08/15/2037 6,536,895 2,979,000 CSMC, Series 2020-FACT-C (1 Month LIBOR USD + 2.60%, 2.60% Floor) 2.76% ^ 10/15/2037 2,998,634 3,750,000 DBCG Mortgage Trust, Series 2017-BBG-C (1 Month LIBOR USD + 1.00%, 1.10% Floor) 1.16% ^ 06/15/2034 3,670,835 9,876,000 DBGS Mortgage Trust, Series 2018-5BP-F (1 Month LIBOR USD + 2.45%, 2.45% Floor) 2.61% ^ 06/15/2033 9,101,256 18,761,837 Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-XA 1.44% #I/O 05/10/2049 1,053,710 2,000,000 Exantas Capital Corporation Ltd., Series 2020-RSO8-B (1 Month LIBOR USD + 1.75%, 1.75% Floor) 1.90% ^ 03/15/2035 1,986,644 13,253,000 Fontainebleau Miami Beach Trust, Series 2019-FBLU-F 3.96% #^ 12/10/2036 13,244,739 14,992,000 Fontainebleau Miami Beach Trust, Series 2019-FBLU-G 3.96% #^ 12/10/2036 14,215,506 3,348,616 FREMF Mortgage Trust, Series 2015-KF08-B (1 Month LIBOR USD + 4.85%, 4.85% Floor) 5.00% ^ 02/25/2022 3,321,714 2,663,200 FREMF Mortgage Trust, Series 2016-KF18-B (1 Month LIBOR USD + 5.50%, 5.50% Floor) 5.65% ^ 05/25/2026 2,671,398 3,185,210 FREMF Mortgage Trust, Series 2016-KF20-B (1 Month LIBOR USD + 5.05%) 5.20% 07/25/2023 3,267,230 640,681 FREMF Mortgage Trust, Series 2016-KF22-B (1 Month LIBOR USD + 5.05%, 5.05% Floor) 5.20% ^ 07/25/2023 651,539 2,500,866 FREMF Mortgage Trust, Series 2017-KF27-B (1 Month LIBOR USD + 4.35%, 4.35% Floor) 4.50% ^ 12/25/2026 2,502,435 5,907,608 FREMF Mortgage Trust, Series 2017-KF28-B (1 Month LIBOR USD + 4.00%, 4.00% Floor) 4.15% ^ 01/25/2024 5,920,925 2,481,119 FREMF Mortgage Trust, Series 2017-KF30-B (1 Month LIBOR USD + 3.25%, 3.25% Floor) 3.40% ^ 03/25/2027 2,484,512 9,365,000 FREMF Mortgage Trust, Series 2018-KC02-C 0.00% ^P/O 08/25/2025 6,595,453 2,918,601 FREMF Mortgage Trust, Series 2018-KF49-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.05% ^ 06/25/2025 2,812,557 14,819,000 FREMF Mortgage Trust, Series 2019-K99-D 0.00% ^P/O 10/25/2052 6,976,095 1,389,355 FREMF Mortgage Trust, Series 2019-KF69-B (1 Month LIBOR USD + 2.30%, 2.30% Floor) 2.45% ^ 08/25/2029 1,364,949 4,250,000 GPMT Ltd., Series 2018-FL1-C (1 Month LIBOR USD + 2.15%, 2.15% Floor) 2.30% ^ 11/19/2035 4,138,535 350,000 Grace Mortgage Trust, Series 2014-GRCE-A 3.37% ^ 06/10/2028 349,978 13,636,000 Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor) 3.29% ^ 12/15/2036 12,127,387 2,000,000 Greystone Commercial Real Estate Notes, Series 2019-FL2-B (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.76% ^ 09/15/2037 1,984,596 810,000 Greystone Commercial Real Estate Notes, Series 2019-FL2-C (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 09/15/2037 797,788 3,903,000 Greystone Commercial Real Estate Notes, Series 2019-FL2-D (1 Month LIBOR USD + 2.40%, 2.40% Floor) 2.56% ^ 09/15/2037 3,761,138 12,469,000 GS Mortgage Securities Corporation Trust, Series 2012-ALOH-A 3.55% ^ 04/10/2034 12,603,745 3,864,138 GS Mortgage Securities Corporation, Series 2014-GC24-XA 0.73% #I/O 09/10/2047 86,006 32,743,719 GS Mortgage Securities Corporation, Series 2015-GC32-XA 0.74% #I/O 07/10/2048 935,246 1,518,000 GS Mortgage Securities Corporation, Series 2018-LUAU-E (1 Month LIBOR USD + 2.55%, 2.55% Floor) 2.71% ^ 11/15/2032 1,397,123 5,000,000 GS Mortgage Securities Corporation, Series 2018-TWR-E (1 Month LIBOR USD + 2.10%, 2.10% Floor) 2.26% ^ 07/15/2031 4,705,027 5,000,000 GS Mortgage Securities Corporation, Series 2018-TWR-F (1 Month LIBOR USD + 2.80%, 2.80% Floor) 2.96% ^ 07/15/2031 4,622,891 5,000,000 GS Mortgage Securities Corporation, Series 2018-TWR-G (1 Month LIBOR USD + 3.92%, 3.98% Floor) 4.08% ^ 07/15/2031 4,273,403 13,059,000 GS Mortgage Securities Corporation, Series 2019-SOHO-E (1 Month LIBOR USD + 1.87%, 1.88% Floor) 2.03% ^ 06/15/2036 12,300,960 8,000,000 GS Mortgage Securities Corporation, Series 2019-SOHO-F (1 Month LIBOR USD + 2.20%, 2.20% Floor) 2.36% ^ 06/15/2036 6,973,201 2,030,000 GS Mortgage Securities Trust, Series 2014-GC26-D 4.51% #^ 11/10/2047 1,526,027 8,807,406 GS Mortgage Securities Trust, Series 2015-GS1-XA 0.76% #I/O 11/10/2048 285,527 14,910,493 GS Mortgage Securities Trust, Series 2016-GS2-XA 1.75% #I/O 05/10/2049 1,137,586 26,289,947 GS Mortgage Securities Trust, Series 2016-GS3-XA 1.22% #I/O 10/10/2049 1,474,879 887,000 GS Mortgage Securities Trust, Series 2018-GS10-WLSA 4.90% #^ 03/10/2033 891,324 1,760,000 GS Mortgage Securities Trust, Series 2018-GS10-WLSB 4.90% #^ 03/10/2033 1,744,158 2,391,000 GS Mortgage Securities Trust, Series 2018-GS10-WLSC 4.90% #^ 03/10/2033 2,295,202 2,314,000 GS Mortgage Securities Trust, Series 2018-GS10-WLSD 4.90% #^ 03/10/2033 2,137,011 2,893,000 GS Mortgage Securities Trust, Series 2018-GS10-WLSE 4.90% #^ 03/10/2033 2,584,018 12,284,000 GS Mortgage Securities Trust, Series 2019-SMP-E (1 Month LIBOR USD + 2.60%, 2.60% Floor) 2.76% ^ 08/15/2032 11,166,043 6,838,000 GS Mortgage Securities Trust, Series 2019-SMP-F (1 Month LIBOR USD + 3.10%, 3.10% Floor) 3.26% ^ 08/15/2032 5,832,620 14,505,000 GSCG Trust, Series 2019-600C-E 3.99% #^ 09/06/2034 14,226,065 15,347,000 Hawaii Hotel Trust, Series 2019-MAUI-G (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 05/15/2038 13,686,390 1,056,782 HPLY Trust, Series 2019-HIT-D (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 11/15/2036 1,019,825 1,930,518 HPLY Trust, Series 2019-HIT-E (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.51% ^ 11/15/2036 1,838,888 10,531,207 HPLY Trust, Series 2019-HIT-F (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2036 9,557,660 8,000,000 Hunt Ltd., Series 2017-FL1-C (1 Month LIBOR USD + 2.40%) 2.56% ^ 08/15/2034 7,736,936 4,916,390 IMT Trust, Series 2017-APTS-EFL (1 Month LIBOR USD + 2.15%, 2.15% Floor) 2.31% ^ 06/15/2034 4,831,198 275,643 IMT Trust, Series 2017-APTS-FFL (1 Month LIBOR USD + 2.85%, 2.85% Floor) 3.01% ^ 06/15/2034 256,504 6,339,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-C20-B 4.40% # 07/15/2047 6,782,521 17,071,856 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2015-JP1-XA 0.94% #I/O 01/15/2049 633,706 291,022 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 06/15/2032 290,146 4,932,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-C (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.76% ^ 06/15/2032 4,802,675 690,400 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-D (1 Month LIBOR USD + 2.10%, 2.30% Floor) 2.30% ^ 06/15/2032 669,324 1,826,400 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-E (1 Month LIBOR USD + 3.00%, 3.35% Floor) 3.35% ^ 06/15/2035 1,754,910 949,224 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9-AMS 5.34% 05/15/2047 840,063 35,911,839 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4-XA 0.68% #I/O 12/15/2049 946,266 3,776,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E 4.01% #^ 10/05/2031 3,452,268 336,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-CFX 4.95% ^ 07/05/2033 348,420 5,245,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFX 5.54% ^ 07/05/2033 5,154,529 4,216,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-C 4.34% ^ 05/05/2032 4,238,484 4,314,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-D 4.45% #^ 05/05/2032 4,304,785 5,040,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-E 4.45% #^ 05/05/2032 4,867,783 5,287,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-F 4.45% #^ 05/05/2032 4,955,542 5,775,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-G 4.45% #^ 05/05/2032 5,122,933 11,575,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN-EFX 3.97% ^ 01/16/2037 11,195,379 5,423,443 JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA 0.81% #I/O 02/15/2047 108,959 500,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C 4.47% # 09/15/2047 510,798 360,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-D 3.97% #^ 09/15/2047 316,060 18,423,491 JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA 0.85% #I/O 11/15/2047 503,322 1,303,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C 4.38% # 01/15/2048 1,367,460 5,287,890 JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D 3.81% #^ 02/15/2048 4,323,467 18,670,155 JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA 0.65% #I/O 05/15/2048 457,187 25,900,623 JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA 0.51% #I/O 07/15/2048 517,111 11,256,347 JPMBB Commercial Mortgage Securities Trust, Series 2015-C31-XA 0.83% #I/O 08/15/2048 369,747 18,151,266 JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA 1.22% #I/O 11/15/2048 607,563 580,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C 4.61% # 12/15/2048 622,642 9,040,000 JPMCC Commercial Mortgage Securities Trust, Series 2019-MFP-E (1 Month LIBOR USD + 2.16%, 2.16% Floor) 2.32% ^ 07/15/2036 8,513,850 1,712,000 JPMCC Commercial Mortgage Securities Trust, Series 2019-MFP-F (1 Month LIBOR USD + 3.00%, 3.00% Floor) 3.16% ^ 07/15/2036 1,597,475 10,000,000 LCCM, Series 2017-LC26-C 4.71% ^ 07/12/2050 9,823,200 1,000,000 LoanCore Issuer Ltd., Series 2018-CRE1-C (1 Month LIBOR USD + 2.55%, 2.55% Floor) 2.71% ^ 05/15/2028 975,256 1,000,000 LoanCore Issuer Ltd., Series 2018-CRE1-D (1 Month LIBOR USD + 2.95%, 2.95% Floor) 3.11% ^ 05/15/2028 965,359 2,000,000 LoanCore Issuer Ltd., Series 2019-CRE2-B (1 Month LIBOR USD + 1.70%, 1.70% Floor) 1.86% ^ 05/15/2036 1,955,112 8,851,638 LSTAR Commercial Mortgage Trust, Series 2016-4-XA 1.77% #^I/O 03/10/2049 433,212 80,676,435 LSTAR Commercial Mortgage Trust, Series 2017-5-X 0.99% #^I/O 03/10/2050 2,522,195 2,512,000 Marathon CRE, Series 2018-FL1-C (1 Month LIBOR USD + 2.60%, 2.60% Floor) 2.75% ^ 06/15/2028 2,452,468 15,958,000 MBRT, Series 2019-MBR-F (1 Month LIBOR USD + 2.55%, 2.55% Floor) 2.71% ^ 11/15/2036 14,921,895 11,933,000 MFT Trust, Series 2020-ABC-D 3.48% #^ 02/10/2042 11,277,230 3,575,000 MKT Mortgage Trust, Series 2020-525M-F 2.94% #^ 02/12/2040 3,299,858 10,600,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV-CK 4.16% #^ 10/15/2030 8,502,308 3,465,554 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12-XA 0.59% #I/O 10/15/2046 46,192 14,786,261 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7-XA 1.33% #I/O 02/15/2046 324,551 4,237,001 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14-XA 1.00% #I/O 02/15/2047 104,535 500,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C 4.52% # 10/15/2047 517,190 120,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C 4.46% # 02/15/2048 126,134 18,557,518 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28-XA 1.20% # I/O 01/15/2049 835,710 2,330,000 Morgan Stanley Capital Trust, Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%, 2.20% Floor) 2.36% ^ 11/15/2034 2,085,522 8,494,000 Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2034 7,464,731 1,683,000 Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%, 4.35% Floor) 4.51% ^ 11/15/2034 1,399,898 2,935,000 Morgan Stanley Capital Trust, Series 2018-SUN-D (1 Month LIBOR USD + 1.65%, 1.65% Floor) 1.81% ^ 07/15/2035 2,834,702 4,380,000 Morgan Stanley Capital Trust, Series 2018-SUN-F (1 Month LIBOR USD + 2.55%, 2.55% Floor) 2.71% ^ 07/15/2035 4,149,871 2,935,000 Morgan Stanley Capital Trust, Series 2018-SUN-G (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 07/15/2035 2,737,165 711,000 Morgan Stanley Capital Trust, Series 2019-NUGS-F (1 Month LIBOR USD + 2.84%, 4.34% Floor) 4.34% ^ 12/15/2036 640,510 13,327,000 Morgan Stanley Capital Trust, Series 2019-PLND-E (1 Month LIBOR USD + 2.15%, 2.15% Floor) 2.31% ^ 05/15/2036 11,493,174 1,331,000 Morgan Stanley Capital Trust, Series 2019-PLND-F (1 Month LIBOR USD + 2.80%, 2.80% Floor) 2.96% ^ 05/15/2036 1,075,834 5,166,962 Motel 6 Trust, Series 2017-MTL6-D (1 Month LIBOR USD + 2.15%, 2.15% Floor) 2.31% ^ 08/15/2034 5,126,058 5,336,278 Motel 6 Trust, Series 2017-MTL6-F (1 Month LIBOR USD + 4.25%, 4.25% Floor) 4.41% ^ 08/15/2034 5,258,372 9,940,000 Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-C (1 Month LIBOR USD + 2.20%, 2.20% Floor) 2.34% ^ 06/15/2035 8,894,321 8,191,000 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-AMZ1 3.50% # ^ 01/15/2037 8,162,504 4,742,000 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-AMZ2 3.50% # ^ 01/15/2037 4,591,793 4,426,000 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-AMZ3 3.50% # ^ 01/15/2037 4,144,378 4,665,000 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-MSK1 3.25% # ^ 12/15/2036 4,587,624 4,414,000 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-MSK2 3.25% # ^ 12/15/2036 4,202,525 2,623,000 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-MSK3 3.25% # ^ 12/15/2036 2,384,774 12,315,000 New York Mortgage Trust, Series 2019-NYT-D (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 12/15/2035 12,167,649 11,000,000 NLY Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 02/15/2036 10,874,853 12,692,899 One Market Plaza Trust, Series 2017-1MKT-E 4.14% ^ 02/10/2032 12,935,260 139,919 Rosslyn Portfolio Trust, Series 2017-ROSS-B (1 Month LIBOR USD + 1.25%, 2.24% Floor) 2.24% ^ 06/15/2033 140,427 33,499,805 SLIDE, Series 2018-FUN-XCP 0.98% # ^ I/O 12/15/2020 335 459,000 STWD Ltd., Series 2019-FL1-C (1 Month LIBOR USD + 1.95%, 1.95% Floor) 2.11% ^ 07/15/2038 454,889 14,307,000 STWD Ltd., Series 2019-FL1-D (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.51% ^ 07/15/2038 14,036,297 8,426,455 Tharaldson Hotel Portfolio Trust, Series 2018-THL-E (1 Month LIBOR USD + 3.18%, 3.10% Floor) 3.33% ^ 11/11/2034 7,819,903 2,034,000 UBS Commercial Mortgage Trust, Series 2017-C1-XB 0.89% # I/O 06/15/2050 112,702 1,500,000 UBS Commercial Mortgage Trust, Series 2017-C4-C 4.45% # 10/15/2050 1,421,231 84,524,641 UBS Commercial Mortgage Trust, Series 2018-C13-XA 0.74% # I/O 10/15/2051 3,945,390 6,009,000 UBS Commercial Mortgage Trust, Series 2018-C8-C 4.70% # 02/15/2051 6,067,749 1,067,000 UBS Commercial Mortgage Trust, Series 2018-C9-C 4.88% # 03/15/2051 1,126,930 187,000 UBS Commercial Mortgage Trust, Series 2018-NYCH-G (1 Month LIBOR USD + 4.84%, 4.84% Floor) 5.00% ^ 02/15/2032 160,770 6,127,877 VMC Finance LLC, Series 2019-FL3-D (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.80% ^ 09/15/2036 5,714,649 572,000 Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-D 3.94% ^ 08/15/2050 297,868 540,000 Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-B 3.96% 12/15/2047 581,721 11,523,962 Wells Fargo Commercial Mortgage Trust, Series 2015-C27-XA 0.89% # I/O 02/15/2048 338,687 52,372,720 Wells Fargo Commercial Mortgage Trust, Series 2015-C30-XA 0.89% # I/O 09/15/2058 1,835,318 25,810,324 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-XA 0.66% # I/O 07/15/2058 659,926 954,000 Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C 4.73% # 01/15/2059 1,020,237 4,381,000 Wells Fargo Commercial Mortgage Trust, Series 2016-C33-D 3.12% ^ 03/15/2059 3,947,563 11,900,805 Wells Fargo Commercial Mortgage Trust, Series 2016-C33-XA 1.62% # I/O 03/15/2059 801,582 28,343,382 Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6-XA 1.61% # I/O 11/15/2049 1,642,065 74,245,132 Wells Fargo Commercial Mortgage Trust, Series 2017-C38-XA 1.04% # I/O 07/15/2050 3,814,247 4,020,000 Wells Fargo Commercial Mortgage Trust, Series 2018-C48-C 5.12% # 01/15/2052 4,495,199 71,583,281 Wells Fargo Commercial Mortgage Trust, Series 2020-C57-XA 2.10% # I/O 08/15/2053 11,003,095 3,161,431 WF-RBS Commercial Mortgage Trust, Series 2014-C19-XA 1.02% # I/O 03/15/2047 73,351 7,671,737 WF-RBS Commercial Mortgage Trust, Series 2014-C21-XA 1.03% # I/O 08/15/2047 222,421

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $977,656,674) 906,492,184

Non-Agency Residential Collateralized Mortgage Obligations - 11.7% 5,525,603 Ajax Mortgage Loan Trust, Series 2018-C-A 4.36% # ^ 09/25/2065 5,614,665 17,703,554 Ajax Mortgage Loan Trust, Series 2019-C-A 3.95% # ^ 10/25/2058 17,778,291 6,193,683 Alternative Loan Trust, Series 2005-49CB-A6 5.50% 11/25/2035 5,620,636 9,551,580 Alternative Loan Trust, Series 2005-62-1A1 (1 Month LIBOR USD + 0.60%, 0.60% Floor) 0.75% 12/25/2035 8,188,499 7,436,802 Alternative Loan Trust, Series 2006-36T2-1A3 5.75% 12/25/2036 4,648,779 8,913,171 Alternative Loan Trust, Series 2007-12T1-A5 6.00% 06/25/2037 6,474,042 5,750,188 Alternative Loan Trust, Series 2007-8CB-A1 5.50% 05/25/2037 4,669,107 2,572,288 American Home Mortgage Investment Trust, Series 2004-2-M1 (1 Month LIBOR USD + 0.90%, 0.06% Floor, 11.00% Cap) 1.05% 02/25/2044 2,476,431 1,438,122 Angel Oak Mortgage Trust LLC, Series 2020-6-A3 1.78% # ^ 05/25/2065 1,445,154 8,445,408 Angel Oak Mortgage Trust, Series 2020-2-A1A 2.53% # ^ 01/26/2065 8,690,663 9,961,026 Angel Oak Mortgage Trust, Series 2020-4-A1 1.47% # ^ 06/25/2065 10,023,269 3,132,209 Arroyo Mortgage Trust, Series 2019-1-A1 3.81% # ^ 01/25/2049 3,233,041 1,954,780 Arroyo Mortgage Trust, Series 2019-2-A2 3.50% # ^ 04/25/2049 2,026,845 13,447,845 Arroyo Mortgage Trust, Series 2019-3-A3 3.42% # ^ 10/25/2048 13,790,445 1,870,386 Banc of America Funding Corporation, Series 2006-7-T2A1 5.88% # 10/25/2036 1,840,889 3,026,716 Banc of America Funding Corporation, Series 2015-R2-9A2 0.42% ^ 03/27/2036 2,891,668 1,770,489 Banc of America Mortgage Securities Trust, Series 2005-I-2A5 2.93% # 10/25/2035 1,776,927 4,805,453 Banc of America Mortgage Securities Trust, Series 2007-3-1A1 6.00% 09/25/2037 4,831,214 11,918,666 Bayview Opportunity Master Fund Trust, Series 2019-SBR2-A1 3.43% ^§ 06/28/2034 12,151,008 3,155,173 Bayview Opportunity Master Fund Trust, Series 2020-RN1-A1 3.23% ^§ 02/28/2035 3,145,872 1,889,856 BCAP LLC Trust, Series 2012-RR1-3A4 5.50% # ^ 10/26/2035 1,689,531 1,064,157 Bellemeade Ltd., Series 2018-3A-M1B (1 Month LIBOR USD + 1.85%, 1.85% Floor) 2.00% ^ 10/25/2028 1,062,791 2,469,091 BRAVO Residential Funding Trust, Series 2019-NQM1-A2 2.89% # ^ 07/25/2059 2,531,406 25,261,199 Citigroup Mortgage Loan Trust, Series 2018-A-A1 4.00% # ^ 01/25/2068 25,407,320 4,342,179 Citigroup Mortgage Loan Trust, Series 2019-B-A1 3.26% # ^ 04/25/2066 4,441,546 9,133,979 Citigroup Mortgage Loan Trust, Series 2019-C-A1 3.23% ^§ 09/25/2059 9,219,268 30,571,791 Citigroup Mortgage Loan Trust, Series 2019-E-A1 3.23% ^§ 11/25/2070 30,765,738 13,118,578 Citigroup Mortgage Loan Trust, Series 2020-EXP1-A1A 1.80% # ^ 05/25/2060 13,220,942 1,004,418 CitiMortgage Alternative Loan Trust, Series 2007-A5-1A10 5.75% 05/25/2037 996,929 1,090,481 COLT Mortgage Loan Trust, Series 2020-3-A3 2.38% # ^ 04/27/2065 1,095,280 466,517 Countrywide Alternative Loan Trust, Series 2005-23CB-A15 5.50% 07/25/2035 453,741 1,675,077 Countrywide Alternative Loan Trust, Series 2005-28CB-1A6 5.50% 08/25/2035 1,660,698 1,813,314 Countrywide Alternative Loan Trust, Series 2006-J6-A5 6.00% 09/25/2036 1,376,167 398,197 Countrywide Alternative Loan Trust, Series 2007-15CB-A7 6.00% 07/25/2037 337,685 1,156,066 Countrywide Home Loans, Series 2005-10-A2 5.50% 05/25/2035 1,123,900 708,345 Countrywide Home Loans, Series 2007-14-A15 6.50% 09/25/2037 582,735 2,452 Credit Suisse First Boston Mortgage Securities Corporation, Series 2004-8-6A1 4.50% 12/25/2019 2,218 2,023,051 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-2A1 6.00% 12/25/2035 1,862,159 68,816 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-8A5 6.00% 12/25/2035 68,044 751,481 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-9-5A9 5.50% 10/25/2035 614,133 1,000,000 Credit Suisse Mortgage Capital Certificates, Series 2011-12R-3A5 2.51% # ^ 07/27/2036 962,473 209,362 Credit Suisse Mortgage Capital Certificates, Series 2011-5R-6A9 3.22% # ^ 11/27/2037 211,106 19,857,970 Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4-A1 3.49% ^ 08/26/2058 19,943,784 23,670,890 Credit Suisse Mortgage Capital Certificates, Series 2020-BPL1-A1 3.39% ^§ 02/25/2024 23,701,019 10,694,043 CSMC Trust, Series 2018-RPL8-A1 4.13% # ^ 07/25/2058 10,739,889 2,849,133 CSMC Trust, Series 2019-JR1-A1 4.10% # ^ 09/27/2066 2,894,396 59,993,153 CSMC Trust, Series 2019-RP10-A1 3.09% # ^ 12/26/2059 60,305,741 17,146,883 CSMC Trust, Series 2019-RPL2-A1 3.86% # ^ 11/25/2058 17,647,887 23,089,450 CSMC Trust, Series 2019-RPL9-A1 3.04% # ^ 10/27/2059 23,351,873 11,635,562 CSMC Trust, Series 2020-BPL2-A1 3.45% ^ 03/25/2026 11,647,498 9,986,000 CSMC Trust, Series 2020-RPL2-A12 3.50% ^ 02/25/2060 10,030,911 7,787,467 CSMC Trust, Series 2020-RPL3-A1 2.69% # ^ 03/25/2060 7,807,358 17,410,644 CSMC Trust, Series 2020-SPT1-A1 1.70% ^§ 04/25/2065 17,520,242 513,512 Deephaven Residential Mortgage Trust, Series 2017-1A-A1 2.73% # ^ 12/26/2046 514,346 531,154 Deutsche Mortgage & Asset Receiving Corporation, Series 2014-RS1-1A2 6.49% # ^ 07/27/2037 496,903 619,729 Deutsche Securities, Inc., Series 2006-AB4-A1A 6.01% # 10/25/2036 598,550 2,466,483 GCAT LLC, Series 2020-2-A1 3.72% ^§ 06/25/2025 2,476,433 13,102,693 GCAT LLC, Series 2020-3-A1 2.98% ^§ 09/25/2025 13,259,357 25,900,000 GCAT LLC, Series 2020-4-A1 2.61% ^§ 12/25/2025 25,943,175 13,972,964 GCAT LLC, Series 2020-NQM2-A1 1.56% ^§ 04/25/2065 14,080,408 4,535,469 GS Mortgage-Backed Securities Trust, Series 2019-SL1-A1 2.63% # ^ 01/25/2059 4,613,313 452,704 GSR Mortgage Loan Trust, Series 2006-2F-3A4 6.00% 02/25/2036 321,799 1,055,450 Impac Secured Assets Trust, Series 2006-5-1A1C (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap) 0.42% 02/25/2037 962,827 1,243,375 IndyMac Mortgage Loan Trust, Series 2006-AR5-2A1 3.47% # 05/25/2036 1,240,944 6,868,307 JP Morgan Alternative Loan Trust, Series 2007-S1-A2 (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.50% Cap) 0.49% 04/25/2047 6,636,855 13,840,801 JP Morgan Mortgage Acquisition Trust, Series 2006-WMC2-A5 (1 Month LIBOR USD + 0.25%, 0.25% Floor) 0.40% 07/25/2036 8,499,878 12,393,698 Legacy Mortgage Asset Trust 2019-GS4, Series 2019-GS4-A1 3.44% ^§ 05/25/2059 12,470,477 18,365,661 Legacy Mortgage Asset Trust, Series 2019-GS3-A1 3.75% ^§ 04/25/2059 18,565,630 1,121,957 Legacy Mortgage Asset Trust, Series 2019-GS5-A1 3.20% ^§ 05/25/2059 1,134,442 4,925,282 Legacy Mortgage Asset Trust, Series 2019-GS6-A1 3.00% ^§ 06/25/2059 4,954,974 2,745,023 Legacy Mortgage Asset Trust, Series 2019-SL1-A 4.00% # ^ 12/28/2054 2,774,471 24,107,131 Legacy Mortgage Asset Trust, Series 2020-GS3-A1 3.25% ^§ 05/25/2060 24,455,773 9,278,704 Legacy Mortgage Asset Trust, Series 2020-GS4-A1 3.25% ^§ 02/25/2060 9,460,160 6,698,197 Legacy Mortgage Asset Trust, Series 2020-SL1-A 2.73% ^§ 01/25/2060 6,715,990 243,017 Lehman Mortgage Trust, Series 2006-1-1A3 5.50% 02/25/2036 197,592 10,903,184 Long Beach Mortgage Loan Trust, Series 2006-2-2A3 (1 Month LIBOR USD + 0.38%, 0.38% Floor) 0.53% 03/25/2046 5,163,413 106,492 MASTR Adjustable Rate Mortgages Trust, Series 2006-2-2A1 2.71% # 04/25/2036 83,475 411,102 Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A6 6.00% 03/25/2037 252,294 1,429,455 Merrill Lynch Mortgage Investors Trust, Series 2006-AF1-AF2C 6.25% 08/25/2036 926,985 40,195,823 Merrill Lynch Mortgage Investors Trust, Series 2006-RM2-A1A (1 Month LIBOR USD + 0.37%, 0.37% Floor) 0.52% 05/25/2037 16,647,803 276,268 Morgan Stanley Mortgage Loan Trust, Series 2006-2-7A1 5.56% # 02/25/2036 211,834 963,096 Morgan Stanley Residential Mortgage Loan Trust, Series 2020-RPL1-A1 2.69% # ^ 10/25/2060 970,650 14,340,093 New Residential Mortgage Loan Trust, Series 2020-NPL1-A1 4.34% ^§ 07/25/2060 14,538,157 19,445,211 New Residential Mortgage Loan Trust, Series 2020-RPL2-A1 3.58% # ^ 08/25/2025 19,520,001 26,477,614 NYMT Loan Trust, Series 2020-SP2-A1 2.94% # ^ 10/25/2060 26,665,526 1,405,897 OBX Trust, Series 2020-EXP2-A3 2.50% # ^ 05/25/2060 1,436,913 9,964,070 Pretium Mortgage Credit Partners LLC, Series 2020-NPL1-A1 2.86% ^§ 05/27/2059 10,018,302 8,218,039 Pretium Mortgage Credit Partners LLC, Series 2020-NPL2-A1 3.72% ^§ 02/27/2060 8,286,805 15,376,082 Pretium Mortgage Credit Partners LLC, Series 2020-NPL3-A1 3.10% ^§ 06/27/2060 15,432,812 18,047,431 PRPM LLC, Series 2019-3A-A1 3.35% ^§ 07/25/2024 18,112,328 15,514,393 PRPM LLC, Series 2019-4A-A1 3.35% ^§ 11/25/2024 15,594,633 5,057,458 PRPM LLC, Series 2019-GS1-A1 3.50% # ^ 10/25/2024 5,127,105 11,694,675 PRPM LLC, Series 2020-1A-A1 2.98% ^§ 02/25/2025 11,738,361 9,457,690 PRPM LLC, Series 2020-3-A1 2.86% ^§ 09/25/2025 9,548,959 1,837,421 Radnor Ltd., Series 2019-2-M1A (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.35% ^ 06/25/2029 1,836,678 2,139,466 RALI Trust, Series 2007-QS4-3A4 6.00% 03/25/2037 2,069,206 2,664,159 RALI Trust, Series 2007-QS4-3A9 6.00% 03/25/2037 2,576,438 1,775,056 RALI Trust, Series 2007-QS8-A3 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) 0.75% 06/25/2037 1,239,028 992,321 RBSSP Resecuritization Trust , Series 2009-2-3A2 (1 Month LIBOR USD + 0.50%, 0.50% Floor) 0.65% ^ 04/26/2035 867,418 815,734 Residential Accredit Loans, Inc., Series 2006-QS12-2A3 6.00% 09/25/2036 809,662 1,130,609 Residential Accredit Loans, Inc., Series 2007-QS9-A33 6.50% 07/25/2037 1,063,376 778,804 Residential Asset Securitization Trust, Series 2006-A2-A11 6.00% 01/25/2046 500,480 3,264,563 Soundview Home Loan Trust, Series 2007-OPT3-2A3 (1 Month LIBOR USD + 0.18%, 0.18% Floor) 0.33% 08/25/2037 3,145,090 2,670,516 Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1 3.23% # 12/25/2035 2,558,727 40,000,000 Toorak Mortgage Corporation Ltd., Series 2020-1-A1 2.73% ^§ 03/25/2023 40,552,088 3,305,749 VCAT LLC, Series 2019-NPL2-A1 3.57% # ^ § 11/25/2049 3,316,725 11,526,682 VCAT LLC, Series 2020-NPL1-A1 3.67% ^§ 08/25/2050 11,679,498 7,633,607 Velocity Commercial Capital Loan Trust, Series 2018-2-A 4.05% # ^ 10/26/2048 8,033,252 4,573,972 Velocity Commercial Capital Loan Trust, Series 2020-1-M2 2.98% # ^ 02/25/2050 4,638,494 8,254,608 Vericrest Opportunity Loan Trust, Series 2019-NPL2-A1 3.97% ^§ 02/25/2049 8,285,569 4,116,411 Vericrest Opportunity Loan Trust, Series 2019-NPL7-A1A 3.18% ^§ 10/25/2049 4,126,748 16,865,211 Vericrest Opportunity Loan Trust, Series 2019-NPL8-A1A 3.28% ^§ 11/25/2049 16,898,122 22,769,668 Vericrest Opportunity Loan Trust, Series 2020-NPL2-A1A 2.98% ^§ 02/25/2050 22,839,763 1,082,695 Verus Securitization Trust, Series 2018-2-A2 3.78% # ^ 06/01/2058 1,089,124 1,256,832 Verus Securitization Trust, Series 2018-2-A3 3.83% # ^ 06/01/2058 1,265,322 9,015,154 Verus Securitization Trust, Series 2020-4-A1 1.50% ^§ 05/25/2065 9,094,511 991,746 Verus Securitization Trust, Series 2020-4-A3 2.32% ^§ 05/25/2065 1,000,316 1,500,000 Verus Securitization Trust, Series 2020-INV1-A2 3.04% # ^ 03/25/2060 1,547,746 13,642,864 Verus Securitization Trust, Series 2020-NPL1-A1 3.60% ^ 08/25/2050 13,764,631 2,331,610 VOLT LLC, Series 2019-NP10-A1A 3.43% ^§ 12/27/2049 2,340,886 1,242,362 VOLT LLC, Series 2019-NPL6-A1A 3.23% ^§ 10/25/2049 1,245,978 6,993,153 VOLT LLC, Series 2019-NPL9-A1A 3.33% ^§ 11/26/2049 7,023,670 14,331,335 VOLT LLC, Series 2020-NPL1-A1A 3.23% ^§ 01/25/2050 14,393,043 6,754,223 VOLT LLC, Series 2020-NPL3-A1A 2.98% ^§ 02/25/2050 6,773,491 5,577,714 WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR4-A5 3.57% # 04/25/2035 5,641,346 1,899,718 Washington Mutual Mortgage Pass-Through Certificates, Series 2005-8-2CB3 (1 Month LIBOR USD + 0.41%, 0.41% Floor, 5.50% Cap) 0.56% 10/25/2035 1,722,970 114,561 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-5-1A5 6.00% 07/25/2036 107,130 4,448,837 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10-2A1 3.05% # 09/25/2036 4,175,913 895,466 Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1 6.25% 11/25/2037 889,029 4,205,834 Wells Fargo Mortgage Backed Securities Trust, Series 2007-15-A1 6.00% 11/25/2037 4,186,754 15,146,647 Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR6-A2 3.04% # 10/25/2037 15,007,961

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $991,143,290) 995,550,689

US Corporate Bonds - 3.5% 7,810,000 AbbVie, Inc. 2.30% 11/21/2022 8,099,725 5,080,000 American Express Company (3 Month LIBOR USD + 0.65%) 0.88% 02/27/2023 5,125,163 5,595,000 American Tower Corporation 2.40% 03/15/2025 5,951,696 270,000 Amgen, Inc. 2.70% 05/01/2022 277,848 3,875,000 Amgen, Inc. 2.65% 05/11/2022 3,995,186 3,705,000 Amgen, Inc. 3.63% 05/15/2022 3,839,541 3,170,000 Amgen, Inc. 1.90% 02/21/2025 3,337,871 3,330,000 Anthem, Inc. 3.30% 01/15/2023 3,524,502 4,530,000 Anthem, Inc. 3.50% 08/15/2024 4,972,072 4,580,000 AT&T, Inc. 4.45% 04/01/2024 5,116,332 10,665,000 Bank of America Corporation (3 Month LIBOR USD + 0.79%) 1.02% 03/05/2024 10,748,091 5,670,000 BB&T Corporation 2.20% 03/16/2023 5,886,668 5,305,000 Bristol-Myers Squibb Company 2.60% 05/16/2022 5,474,818 1,887,000 Capital One Financial Corporation 3.20% 01/30/2023 1,989,199 2,875,000 Capital One Financial Corporation 3.90% 01/29/2024 3,150,568 10,310,000 Cardinal Health, Inc. 2.62% 06/15/2022 10,616,702 5,100,000 Carrier Global Corporation 1.92% 02/15/2023 5,256,209 5,110,000 Cigna Corporation 3.40% 09/17/2021 5,220,543 4,855,000 Cintas Corporation 2.90% 04/01/2022 4,998,447 5,072,000 Citigroup, Inc. (3 Month LIBOR USD + 1.02%) 1.25% 06/01/2024 5,131,002 1,580,000 Crown Castle International Corporation 1.35% 07/15/2025 1,614,235 1,347,000 CVS Health Corporation 3.70% 03/09/2023 1,442,366 3,060,000 Dollar Tree, Inc. 4.00% 05/15/2025 3,456,082 1,525,000 Dollar Tree, Inc. 3.70% 05/15/2023 1,632,888 590,000 DTE Energy Company 2.25% 11/01/2022 610,801 2,375,000 DTE Energy Company 2.53% 10/01/2024 2,532,842 1,920,000 DTE Energy Company 1.05% 06/01/2025 1,942,801 4,555,000 DuPont de Nemours, Inc. 4.49% 11/15/2025 5,319,609 5,250,000 eBay, Inc. 2.75% 01/30/2023 5,500,183 5,115,000 Entergy Corporation 0.90% 09/15/2025 5,117,999 5,270,000 Exxon Mobil Corporation 1.57% 04/15/2023 5,421,770 374,000 GE Capital International Funding Company Unlimited Company 3.37% 11/15/2025 416,449 1,930,000 General Mills, Inc. 3.20% 04/16/2021 1,944,960 9,585,000 Goldman Sachs Group, Inc. 3.50% 04/01/2025 10,667,048 2,525,000 Honeywell International, Inc. 0.48% 08/19/2022 2,529,165 5,250,000 Hyundai Capital America 2.85% ^ 11/01/2022 5,443,479 7,020,000 JPMorgan Chase & Company (3 Month LIBOR USD + 0.70%) 3.21% 04/01/2023 7,280,867 655,000 Marsh & McLennan Companies, Inc. 3.88% 03/15/2024 723,083 5,085,000 McDonald’s Corporation 2.63% 01/15/2022 5,208,347 5,225,000 Microchip Technology, Inc. 0.97% ^ 02/15/2024 5,241,023 5,175,000 Micron Technology, Inc. 2.50% 04/24/2023 5,396,648 4,130,000 Mondelez International, Inc. 0.63% 07/01/2022 4,149,347 6,255,000 Mondelez International, Inc. 2.13% 04/13/2023 6,499,858 11,038,000 Morgan Stanley (3 Month LIBOR USD + 0.93%) 1.15% 07/22/2022 11,085,962 4,645,000 Northrop Grumman Corporation 3.25% 08/01/2023 4,996,614 4,960,000 Northrop Grumman Corporation 2.93% 01/15/2025 5,396,793 3,865,000 Omnicom Capital, Inc. 3.63% 05/01/2022 4,032,320 3,305,000 Oracle Corporation 2.50% 04/01/2025 3,551,387 3,610,000 Pacific Gas and Electric Company 1.75% 06/16/2022 3,620,477 4,970,000 PayPal Holdings, Inc. 2.20% 09/26/2022 5,136,347 165,000 PayPal Holdings, Inc. 1.35% 06/01/2023 169,035 4,845,000 Penske Truck Leasing Company 2.70% ^ 11/01/2024 5,192,539 9,875,000 Prudential Financial, Inc. 3.50% 05/15/2024 10,872,879 4,915,000 PSEG Power LLC 3.85% 06/01/2023 5,291,285 5,155,000 Republic Services, Inc. 2.50% 08/15/2024 5,506,810 5,395,000 Royalty Pharma PLC 0.75% ^ 09/02/2023 5,423,973 5,015,000 Schlumberger Holdings Corporation 3.75% ^ 05/01/2024 5,471,247 5,050,000 Simon Property Group LP 2.00% 09/13/2024 5,279,307 4,924,000 Target Corporation 2.90% 01/15/2022 5,060,760 5,100,000 Union Pacific Corporation 3.20% 06/08/2021 5,163,420 2,500,000 Valero Energy Corporation 1.20% 03/15/2024 2,524,693 5,300,000 Verizon Communications, Inc. (3 Month LIBOR USD + 1.10%) 1.32% 05/15/2025 5,445,639 4,675,000 Welltower, Inc. 3.63% 03/15/2024 5,096,783

Total US Corporate Bonds (Cost $291,011,383) 297,122,303

US Government and Agency Mortgage Backed Obligations - 6.5% 30,883,047 Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1 1.31% # I/O 03/25/2023 660,332 2,816,985 Federal Home Loan Mortgage Corporation, Pool 2B1122 (12 Month LIBOR USD + 1.65%, 1.65% Floor, 7.14% Cap) 3.59% 02/01/2043 2,920,650 1,011,052 Federal Home Loan Mortgage Corporation, Pool G08626 3.00% 02/01/2045 1,067,101 1,042,906 Federal Home Loan Mortgage Corporation, Pool G08631 3.00% 03/01/2045 1,099,961 16,557,054 Federal Home Loan Mortgage Corporation, Pool RB5085 2.00% 11/01/2040 17,239,071 6,985,045 Federal Home Loan Mortgage Corporation, Pool SB8049 2.50% 06/01/2035 7,288,653 10,480,685 Federal Home Loan Mortgage Corporation, Pool SB8061 2.00% 09/01/2035 10,957,447 43,304,505 Federal Home Loan Mortgage Corporation, Pool SB8067 1.50% 09/01/2035 44,575,913 27,256,093 Federal Home Loan Mortgage Corporation, Pool SB8068 1.50% 10/01/2035 28,058,262 438,058 Federal Home Loan Mortgage Corporation, Series 3417-SM (-1 x 1 Month LIBOR USD + 6.28%, 6.28% Cap) 6.12% I/F I/O 02/15/2038 97,922 4,562,393 Federal Home Loan Mortgage Corporation, Series 4060-QA 1.50% 09/15/2026 4,599,379 1,239,815 Federal Home Loan Mortgage Corporation, Series 4471-GA 3.00% 02/15/2044 1,300,783 1,331,628 Federal Home Loan Mortgage Corporation, Series 4734-A 3.00% 07/15/2042 1,334,378 3,931,497 Federal Home Loan Mortgage Corporation, Series 4738-LA 3.00% 11/15/2043 3,960,196 2,072,526 Federal Home Loan Mortgage Corporation, Series 4771-NA 4.00% 11/15/2042 2,082,350 2,135,050 Federal Home Loan Mortgage Corporation, Series 4773-EA 4.00% 10/15/2042 2,148,231 8,000,000 Federal Home Loan Mortgage Corporation, Series 4794-VB 4.00% 05/15/2038 8,095,544 2,374,451 Federal Home Loan Mortgage Corporation, Series 4824-EA 4.50% 02/15/2045 2,397,487 14,774,313 Federal Home Loan Mortgage Corporation, Series 4941-SW 5.78% ± I/F I/O 12/15/2048 2,282,649 2,476,082 Federal National Mortgage Association Pass-Thru, Pool AL2987 (12 Month LIBOR USD + 1.63%, 1.63% Floor, 7.33% Cap) 2.24% 11/01/2042 2,574,043 4,961,038 Federal National Mortgage Association Pass-Thru, Pool AP7870 (12 Month LIBOR USD + 1.70%, 1.70% Floor, 7.49% Cap) 2.44% 07/01/2042 5,172,502 1,457,380 Federal National Mortgage Association Pass-Thru, Pool AS4645 3.00% 03/01/2045 1,534,788 341,233 Federal National Mortgage Association Pass-Thru, Pool MA1200 3.00% 10/01/2032 358,739 2,123,408 Federal National Mortgage Association Pass-Thru, Pool MA2270 3.00% 05/01/2045 2,199,352 1,638,178 Federal National Mortgage Association, Pool BM3520 (12 Month LIBOR USD + 1.56%, 1.56% Floor, 7.00% Cap) 2.68% 05/01/2045 1,696,959 9,305,796 Federal National Mortgage Association, Pool BM4513 (12 Month LIBOR USD + 1.67%, 1.67% Floor, 7.72% Cap) 2.68% 05/01/2044 9,668,583 43,249,697 Federal National Mortgage Association, Pool MA4042 2.00% 06/01/2035 45,218,611 43,151,493 Federal National Mortgage Association, Pool MA4095 2.00% 08/01/2035 45,116,939 82,099,174 Federal National Mortgage Association, Pool MA4122 1.50% 09/01/2035 84,511,216 21,649,391 Federal National Mortgage Association, Pool MA4159 2.50% 10/01/2050 22,844,905 19,838,312 Federal National Mortgage Association, Pool MA4176 2.00% 11/01/2040 20,612,767 26,707,101 Federal National Mortgage Association, Pool QN2877 2.00% 07/01/2035 27,922,633 25,543,635 Federal National Mortgage Association, Pool SB8066 1.50% 08/01/2035 26,293,408 1,834,117 Federal National Mortgage Association, Series 2012-32-DA 2.00% 11/25/2026 1,872,657 2,516,366 Federal National Mortgage Association, Series 2013-28-ZJ 3.00% 04/25/2043 2,512,652 2,275,254 Federal National Mortgage Association, Series 2013-40-KP 3.50% 04/25/2042 2,341,818 1,306,601 Federal National Mortgage Association, Series 2015-59-A 3.00% 06/25/2041 1,314,610 1,988,667 Federal National Mortgage Association, Series 2015-9-HA 3.00% 01/25/2045 2,135,463 4,049,577 Federal National Mortgage Association, Series 2016-72-PA 3.00% 07/25/2046 4,165,197 2,659,029 Federal National Mortgage Association, Series 2017-13-ML 3.00% 08/25/2041 2,679,085 1,292,558 Federal National Mortgage Association, Series 2017-2-HA 3.00% 09/25/2041 1,297,168 972,897 Federal National Mortgage Association, Series 2017-4-CH 3.00% 06/25/2042 977,517 12,540,004 Federal National Mortgage Association, Series 2019-25-SB (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.90% I/F I/O 06/25/2049 2,245,394 9,183,826 Federal National Mortgage Association, Series 2020-39-MH 3.00% 06/25/2040 9,694,432 30,713,720 Federal National Mortgage Association, Series 2020-45-JL 3.00% 07/25/2040 32,475,066 12,067,832 Federal National Mortgage Association, Series 2020-59-MK 3.00% 08/25/2040 12,757,456 23,343,611 Federal National Mortgage Association, Series 2020-M49-1A1 1.26% # 11/25/2030 24,031,515 8,670,025 Government National Mortgage Association, Series 2016-136-UD 3.00% 04/20/2045 8,791,426 1,225,027 Government National Mortgage Association, Series 2017-4-NC 3.00% 10/20/2045 1,243,998 9,702,410 Government National Mortgage Association, Series 2019-56-SE (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) 5.95% I/F I/O 05/20/2049 1,647,919

Total US Government and Agency Mortgage Backed Obligations (Cost $546,108,783) 550,075,127

US Government and Agency Obligations - 16.0% 271,800,000 United States Treasury Notes 2.63% 05/15/2021 274,294,379 339,200,000 United States Treasury Notes 1.50% ‡ 09/30/2021 342,723,192 135,000,000 United States Treasury Notes 1.38% ‡ 01/31/2022 136,840,429 192,700,000 United States Treasury Notes 0.13% 05/15/2023 192,654,835 320,550,000 United States Treasury Notes 2.25% 12/31/2023 340,559,334 69,600,000 United States Treasury Notes 0.38% ‡ 07/31/2027 68,667,469

Total US Government and Agency Obligations (Cost $1,341,202,852) 1,355,739,638

Affiliated Mutual Funds - 2.4% 19,895,522 DoubleLine Ultra Short Bond Fund (Class I) 199,949,999

Total Affiliated Mutual Funds (Cost $199,501,692) 199,949,999

Common Stocks - 0.0% 58,790 Foresight Equity* Þ 1,029,415 39,482 McDermott International Ltd.* 31,980

Total Common Stocks (Cost $989,313) 1,061,395

Warrants - 0.0% 29,232 OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00* Þ —

Total Warrants (Cost $–) —

Repurchase Agreements - 0.4% 30,000,000 CSFM 001 (1 Month LIBOR USD + 3.00%) [Collateralized by $30,000,000 Residential Mortgage Backed Obligation, (Market Value $143,932,030)] 3.50% 05/05/2021 30,225,000

Total Repurchase Agreements (Cost $30,003,578) 30,225,000

Short Term Investments - 5.7% 159,858,115 First American Government Obligations Fund - Class U 0.04% 159,858,115 159,858,115 JP Morgan US Government Money Market Fund - Institutional Share Class 0.03% 159,858,115 159,858,115 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% 159,858,115

Total Short Term Investments (Cost $479,574,345) 479,574,345

Total Investments - 85.5% (Cost $7,275,821,471) 7,244,395,148 Other Assets in Excess of Liabilities - 14.5% 1,230,999,653

NET ASSETS - 100.0% $ 8,475,394,801

^ 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.

# 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 December 31, 2020.

§ The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2020.

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.

† Perpetual Maturity

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.

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.

± 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 disclosed is as of December 31, 2020.

* Non-income producing security

Seven-day yield as of December 31, 2020

BRL Brazilian Real

& Unfunded or partially unfunded loan commitment. At December 31, 2020, the value of these

securities amounted to $167,285 or 0.0% of net assets.

‡ All or a portion of this security has been pledged as collateral. SECURITY TYPE BREAKDOWN as a % of Net Assets:

US Government and Agency Obligations 16.0% Non-Agency Residential Collateralized Mortgage Obligations 11.7% Collateralized Loan Obligations 11.1% Non-Agency Commercial Mortgage Backed Obligations 10.7% Foreign Corporate Bonds 7.2% US Government and Agency Mortgage Backed Obligations 6.5% Asset Backed Obligations 5.8% Short Term Investments 5.7% Bank Loans 3.6% US Corporate Bonds 3.5% Affiliated Mutual Funds 2.4% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 0.9% Repurchase Agreements 0.4% Common Stocks 0.0% ~ Warrants 0.0% ~ Other Assets and Liabilities 14.5%

100.0%

~ Represents less than 0.05% of net assets INVESTMENT BREAKDOWN as a % of Net Assets:

US Government and Agency Obligations 16.0% Non-Agency Residential Collateralized Mortgage Obligations 11.7% Collateralized Loan Obligations 11.1% Non-Agency Commercial Mortgage Backed Obligations 10.7% US Government and Agency Mortgage Backed Obligations 6.5% Asset Backed Obligations 5.8% Short Term Investments 5.7% Banking 4.2% Affiliated Mutual Funds 2.4% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 0.9% Energy 0.9% Utilities 0.9% Pharmaceuticals 0.8% Healthcare 0.7% Electronics/Electric 0.7% Telecommunications 0.7% Technology 0.5% Transportation 0.5% Food Products 0.4% Business Equipment and Services 0.4% Media 0.3% Finance 0.3% Automotive 0.3% Insurance 0.3% Retailers (other than Food/Drug) 0.3% Building and Development (including Steel/Metals) 0.3% Chemicals/Plastics 0.3% Food Service 0.2% Aerospace & Defense 0.2% Industrial Equipment 0.2% Hotels/Motels/Inns and Casinos 0.2% Real Estate 0.1% Beverage and Tobacco 0.1% Leisure 0.1% Diversified Manufacturing 0.1% Chemical Products 0.1% Pulp & Paper 0.1% Environmental Control 0.1% Commercial Services 0.1% Consumer Products 0.1% Containers and Glass Products 0.1% Financial Intermediaries 0.1% Food/Drug Retailers 0.0% ~ Mining 0.0% ~ Cosmetics/Toiletries 0.0% ~ Construction 0.0% ~ Other Assets and Liabilities 14.5%

100.0%

~ Represents less than 0.05% of net assets EXCESS RETURN SWAPS

Unrealized Appreciation Financing Payment Termination Notional (Depreciation) Reference Entity Counterparty Long/Short Rate Frequency Date Amount / Value Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 04/29/2021 100,000,000 $ 41,881,840 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 05/25/2021 100,000,000 38,295,830 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 04/14/2021 100,000,000 35,030,912 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 06/02/2021 100,000,000 35,018,469 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 05/13/2021 95,000,000 34,976,635 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 05/19/2021 80,000,000 31,347,426 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 04/07/2021 100,000,000 30,107,321 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 07/01/2021 100,000,000 28,548,337 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 05/11/2021 75,000,000 28,463,380 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 03/16/2021 100,000,000 28,166,205 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 04/01/2021 100,000,000 28,149,328 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 06/17/2021 100,000,000 27,899,930 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 06/09/2021 100,000,000 26,758,246 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 07/22/2021 100,000,000 25,058,616 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 07/29/2021 100,000,000 25,010,380 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 03/23/2021 100,000,000 23,636,991 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 07/20/2021 100,000,000 23,605,526 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 07/14/2021 100,000,000 23,480,854 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 01/12/2021 100,000,000 23,247,547 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 01/05/2021 100,000,000 23,231,976 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 07/13/2021 100,000,000 23,079,997 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 03/10/2021 100,000,000 22,532,931 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 03/09/2021 100,000,000 22,524,466 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 03/02/2021 100,000,000 22,230,192 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 03/24/2021 100,000,000 22,214,087 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 03/25/2021 100,000,000 22,205,813 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 01/19/2021 100,000,000 21,513,165 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 04/08/2021 75,000,000 21,398,315 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 02/09/2021 100,000,000 21,276,084 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 07/07/2021 100,000,000 20,290,392 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 07/15/2021 80,000,000 18,735,465 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 08/10/2021 100,000,000 18,405,551 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 07/27/2021 100,000,000 18,106,093 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 07/28/2021 100,000,000 17,549,612 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 08/11/2021 100,000,000 17,157,226 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 08/12/2021 100,000,000 16,059,439 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 09/28/2021 100,000,000 14,770,061 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 09/02/2021 100,000,000 14,383,132 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 08/19/2021 100,000,000 14,283,979 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 09/14/2021 100,000,000 13,765,510 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 10/12/2021 100,000,000 13,496,583 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 03/17/2021 50,000,000 13,494,222 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 06/23/2021 70,000,000 13,173,688 ® Shiller Barclays CAPE US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 11/16/2021 100,000,000 12,219,335 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 10/13/2021 100,000,000 12,137,126 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 09/15/2021 100,000,000 11,981,765 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 11/02/2021 100,000,000 11,948,752 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 10/07/2021 80,000,000 11,655,090 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 11/10/2021 100,000,000 11,603,933 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 10/20/2021 100,000,000 11,252,494 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 09/21/2021 100,000,000 11,246,652 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 09/29/2021 100,000,000 10,768,099 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 09/01/2021 100,000,000 10,548,437 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 10/19/2021 100,000,000 10,440,975 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 11/11/2021 100,000,000 9,662,293 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 03/31/2021 35,000,000 9,432,980 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 09/07/2021 100,000,000 9,240,546 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 02/04/2021 94,000,000 7,505,464 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 11/18/2021 100,000,000 6,807,834 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 11/23/2021 100,000,000 5,622,644 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 12/01/2021 100,000,000 5,596,677 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 08/26/2021 35,000,000 5,160,685 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 12/15/2021 100,000,000 4,437,858 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 12/02/2021 100,000,000 4,079,709 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 12/09/2021 100,000,000 3,821,449 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 12/14/2021 100,000,000 3,358,609 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 11/17/2021 50,000,000 3,253,880 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 11/30/2021 100,000,000 3,169,123 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 12/28/2021 100,000,000 2,463,034 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Bank of America Merrill Lynch Long 0.38% Termination 12/07/2021 100,000,000 2,198,210 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 12/29/2021 100,000,000 1,978,685 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Barclays Capital, Inc. Long 0.40% Termination 12/16/2021 100,000,000 1,898,980 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 12/23/2021 100,000,000 1,581,870 Shiller Barclays CAPE® US Sector ER II USD Index ¤ BNP Paribas Long 0.39% Termination 12/22/2021 100,000,000 1,499,169 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 12/21/2021 100,000,000 1,260,865 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 12/30/2021 100,000,000 1,031,048 Shiller Barclays CAPE® US Sector ER II USD Index ¤ Canadian Imperial Bank of Commerce Long 0.40% Termination 12/27/2021 50,000,000 989,206

$1,226,415,228

¤ 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 December 31, 2020, 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 December 31, 2020 is as follows:

Change in Net Realized Unrealized Dividend Gain (Loss) Shares for the Income in the Period Value at Held at Value at Period Ended Earned in the Ended March 31, Gross December 31, December 31, December 31, Period Ended December 31, Fund 2020 Purchases Gross Sales 2020 2020 2020 December 31, 2020 2020 DoubleLine Ultra Short Bond Fund (Class I) $195,175,073 $ - $ - 19,895,522 $ 199,949,999 $ 4,774,926 $ 778,001 $ -

$195,175,073 $ - $ - 19,895,522 $ 199,949,999 $ 4,774,926 $ 778,001 $ -

DoubleLine Flexible Income Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Asset Backed Obligations - 6.9% 1,250,000 Affirm Asset Securitization Trust, Series 2020-A-C 6.23% ^ 02/18/2025 1,287,057 2,202,188 CAL Funding IV Ltd., Series 2020-1A-A 2.22% ^ 09/25/2045 2,237,126 1,468,125 CAL Funding IV Ltd., Series 2020-1A-B 3.50% ^ 09/25/2045 1,482,023 2,711,720 Castlelake Aircraft Securitization Trust, Series 2018-1-B 5.30% ^ 06/15/2043 2,320,199 2,584,928 Castlelake Aircraft Securitization Trust, Series 2019-1A-C 6.90% ^Þ 04/15/2039 1,265,743 2,076,000 CPS Auto Receivables Trust, Series 2016-A-E 7.65% ^ 12/15/2021 2,092,037 6,250,000 ExteNet Issuer LLC, Series 2019-1A-C 5.22% ^ 07/26/2049 6,378,821 1,521,910 GAIA Aviation Ltd., Series 2019-1-C 7.00% ^§Þ 12/15/2044 866,684 1,256,253 Harley Marine Financing LLC, Series 2018-1A-A2 5.68% ^ 05/15/2043 1,138,394 2,619,330 Helios Issuer LLC, Series 2017-1A-A 4.94% ^ 09/20/2049 2,744,005 4,350,000 Hertz Vehicle Financing II LP, Series 2019-2A-B 3.67% ^ 05/25/2025 4,373,364 950,000 Hertz Vehicle Financing LP, Series 2018-1A-B 3.60% ^ 02/25/2024 952,612 1,904,363 Horizon Aircraft Finance Ltd., Series 2019-1-C 6.90% ^Þ 07/15/2039 1,127,198 5,096,154 Jersey Mike’s Funding, Series 2019-1A-A2 4.43% ^ 02/15/2050 5,476,283 1,935,000 Jimmy Johns Funding LLC, Series 2017-1A-A2II 4.85% ^ 07/30/2047 2,000,147 1,134,247 JOL Air Ltd., Series 2019-1-B 4.95% ^ 04/15/2044 890,015 1,400,000 Loanpal Solar Loan Ltd., Series 2021-1GS-C 3.50% ^ 01/20/2048 1,300,286 4,139,355 Mosaic Solar Loan Trust, Series 2018-1A-C 0.00% ^P/O 06/22/2043 3,787,228 1,875,000 Mosaic Solar Loan Trust, Series 2020-1A-C 4.47% ^ 04/20/2046 1,935,716 400,619 SoFi Consumer Loan Program Trust, Series 2017-1-B 4.73% #^ 01/26/2026 405,572 247,200 SoFi Consumer Loan Program Trust, Series 2017-5-A2 2.78% ^ 09/25/2026 249,118 500,000 SoFi Consumer Loan Program Trust, Series 2019-3-C 3.35% ^ 05/25/2028 517,756 92,000 SoFi Professional Loan Program Trust, Series 2018-C-R1 5.58% ^@Þ 01/25/2048 2,959,844 1,219,040 Springleaf Funding Trust, Series 2017-AA-A 2.68% ^ 07/15/2030 1,221,774 2,895,000 Taco Bell Funding LLC, Series 2016-1A-A2II 4.38% ^ 05/25/2046 2,926,247 6,837,058 Textainer Marine Containers Ltd., Series 2020-2A-A 2.10% ^ 09/20/2045 6,952,664 2,441,806 Textainer Marine Containers Ltd., Series 2020-2A-B 3.34% ^ 09/20/2045 2,477,289 4,799,437 Vivint Colar Financing LLC, Series 2018-1A-A 4.73% ^ 04/30/2048 5,279,972 8,605,644 Wave LLC, Series 2019-1-C 6.41% ^Þ 09/15/2044 5,294,700 1,273,786 Willis Engine Structured Trust, Series 2018-A-A 4.75% ^§ 09/15/2043 1,135,284 4,141,219 Zephyrus Capital Aviation Partners Ltd., Series 2018-1-A 4.61% ^ 10/15/2038 3,906,346

Total Asset Backed Obligations (Cost $82,469,047) 76,981,504

Bank Loans - 6.2% 298,492 1011778 B.C. Unlimited Liability Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 11/19/2026 294,855 297,739 Access CIG LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) 3.98% 02/27/2025 295,320 174,123 Acrisure LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/16/2027 171,330 225,938 Agiliti Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.94% 01/05/2026 224,243 256,395 Air Methods Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 04/22/2024 248,319 424,031 Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.50% Floor) 4.50% 08/01/2025 420,851 277,012 AlixPartners, LLP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 04/04/2024 274,568 85,000 Alliance Laundry Systems LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 10/08/2027 85,114 404,220 Alliant Holdings Intermediate LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.39% 05/09/2025 398,284 346,500 Allied Universal Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 07/10/2026 345,545 173,180 Almonde, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 06/13/2024 170,077 60,000 Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) 8.25% 06/16/2025 60,407 347,394 Alterra Mountain Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 07/31/2024 343,630 74,625 Amentum Government Services Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/01/2027 74,625 75,000 American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/29/2027 64,875 74,631 American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.16% 12/15/2023 67,473 75,000 American Residential Services LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 10/15/2027 75,094 American Tire Distributors, Inc., Senior Secured First Lien Term Loan 179,974 (1 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) 8.50% 09/02/2024 172,595 21,180 (3 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) 8.50% 09/02/2024 20,312 392,970 Applied Systems, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 09/19/2024 393,394 370,000 Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/11/2025 366,346 168,725 Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/15/2027 167,065 335,000 Arches Buyer Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.50% Floor) 4.50% 12/06/2027 336,089 144,885 Arctic Glacier U.S.A., Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 03/20/2024 129,989 402,918 Ascend Learning LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 07/12/2024 401,810 159,600 Asplundh Tree Expert, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 09/07/2027 160,349 347,368 AssuredPartners, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/12/2027 342,835 120,000 Astoria Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/10/2027 119,475 280,000 Asurion LLC, Senior Secured First Lien Term Loan 3.40% ± 12/23/2026 277,550 268,414 Asurion LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 11/03/2023 266,120 20,797 Asurion LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 11/04/2024 20,662 96,646 Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%) 6.65% 08/04/2025 97,588 180,499 Athenahealth, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 02/11/2026 180,725 45,000 Austin BidCo Inc., Senior Secured First Lien Term Loan 5.00% ± 12/09/2027 44,831 136,757 Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor) 3.25% 11/21/2024 137,128 145,000 Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 11/08/2027 145,454 147,992 Avaya Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.39% 12/15/2027 148,300 119,134 Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.41% 12/16/2024 119,994 179,774 Azalea TopCo, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.71% 07/24/2026 178,014 65,000 B&G Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 10/10/2026 65,058 236,425 Bass Pro Group, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) 5.75% 09/25/2024 237,566 296,250 Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 11/27/2025 293,975 101,140 Bausch Health Companies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 06/02/2025 100,903 410,850 Bioscrip, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 08/06/2026 410,766 299,388 Blackhawk Network Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 06/16/2025 292,231 374,028 Blackstone CQP Holdco LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.74% 09/30/2024 373,560 268,629 Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 10/02/2025 268,061 242,627 Brand Energy & Infrastructure Services, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/21/2024 237,123 363,362 Brazos Delaware LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 05/21/2025 318,330 250,881 Bright Bidco B.V., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 06/28/2024 145,537 243,163 Buckeye Partners LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 11/02/2026 243,239 130,000 Cablevision Lightpath LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.50% Floor) 3.75% 11/30/2027 129,940 273,590 Caesars Resort Collection LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 12/23/2024 269,077 139,650 Caesars Resort Collection LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 07/21/2025 140,108 49,375 Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 08/12/2026 48,797 154,606 Cambium Learning Group Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%) 4.72% 12/18/2025 154,064 340,233 Camelot U.S. Acquisition 1 Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.15% 10/30/2026 339,206 75,000 Camelot U.S. Acquisition 1 Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/30/2026 75,117 84,575 Carnival Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.50%, 1.00% Floor) 8.50% 06/30/2025 87,469 433,382 Castle US Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) 4.00% 01/29/2027 426,474 217,932 Catalent Pharma Solutions Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 1.00% Floor) 3.25% 05/18/2026 218,477 235,623 Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/07/2023 226,653 Change Healthcare Holdings, Inc., Senior Secured First Lien Term Loan 383,150 (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 03/01/2024 382,025 12,276 (3 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 03/01/2024 12,240 200,000 Charter NEX US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 0.75% Floor) 5.00% 12/01/2027 201,275 425,804 CHG Healthcare Services, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 06/07/2023 424,141 344,794 CHG PPC Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 03/31/2025 341,132 176,344 Cincinnati Bell, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 10/02/2024 176,591 214,063 Clear Channel Outdoor Holdings Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.71% 08/21/2026 206,627 221,995 ClubCorp Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 3.00% 09/18/2024 208,290 150,000 CNT Holdings I Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 11/08/2027 150,387 95,000 CommerceHub, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 12/29/2027 95,119 282,052 Compass Power Generation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/20/2024 275,212 89,325 Connect U.S. Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 12/11/2026 89,844 139,650 Conservice Midco LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%) 4.50% 05/13/2027 139,999 59,850 Consolidated Communications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 10/04/2027 60,234 331,707 Cornerstone OnDemand, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.39% 04/22/2027 333,720 85,000 CP Atlas Buyer, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/23/2027 85,287 255,000 CP Atlas Buyer, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/23/2027 255,861 251,167 CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.41% 07/17/2025 248,027 132,638 CSC Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.41% 01/15/2026 130,980 200,350 CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.25%, 1.00% Floor) 7.25% 01/04/2022 198,127 359,116 Cvent, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 11/29/2024 346,547 113,509 Cyanco Intermediate Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 03/17/2025 113,059 295,224 Cyxtera DC Holdings, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 05/01/2024 277,254 173,688 DCert Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 10/16/2026 173,796 44,550 Dealer Tire LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/12/2025 44,364 443,124 Deerfield Holdings Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 04/09/2027 445,688 190,000 Delta Topco, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 12/01/2027 190,277 316,710 DentalCorporationPerfect Smile ULC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 06/06/2025 312,059 286,462 Diamond (BC) B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.21% 09/06/2024 283,002 98,824 Diamond Sports Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 08/24/2026 87,953 144,612 Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 04/06/2026 138,185 77,749 Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 04/06/2026 74,293 48,539 Dynatrace LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 08/22/2025 48,198 407,935 E.W. Scripps Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 05/01/2026 404,492 EAB Global, Inc., Senior Secured First Lien Term Loan 757 (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 11/15/2024 753 293,564 (6 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 11/15/2024 292,005 188,711 EG America LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.25% 02/06/2025 187,037 175,000 Energizer Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.50% Floor) 2.75% 12/16/2027 175,329 348,464 Envision Healthcare Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 10/10/2025 292,232 181,834 ESH Hospitality, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 09/18/2026 180,470 411,425 Excelitas Technologies Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 12/02/2024 409,195 145,000 Exgen Renewables IV LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 12/11/2027 145,218 402,846 Filtration Group Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 03/31/2025 399,849 547,895 Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 10/01/2025 547,783 184,800 Flex Acquisition Company Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%) 3.23% 06/30/2025 182,952 Flex Acquisition Company Inc., Senior Secured First Lien Term Loan 12,123 (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/29/2023 12,085 173,543 (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/29/2023 173,000 272,762 Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.75% 08/01/2024 245,239 150,000 Flexera Software LLC 4.50% ± 01/31/2028 150,188 295,316 Flexera Software LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 02/26/2025 295,632 132,185 Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.50% Floor) 9.50% Þ 06/30/2027 132,185 420,000 Formula One Management Ltd., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 02/01/2024 417,075 97,797 Forterra Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/25/2023 98,062 147,478 Frontdoor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.69% 08/18/2025 147,109 177,413 Frontera Generation Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% W 05/02/2025 47,014 100,000 Frontier Communications Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 10/08/2021 100,751 355,000 Garda World Security Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) 4.99% 10/30/2026 355,976 124,063 Gardner Denver, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/01/2027 122,589 89,403 Gates Global LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 04/01/2024 89,291 235,000 Gemini HDPE LLC, Senior Secured First Lien Term Loan 3.50% ± 12/28/2027 234,119 267,975 Genesee & Wyoming Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.00%) 2.25% 12/30/2026 267,808 459,536 Genesys Telecommunications Laboratories, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 12/01/2027 461,188 394,992 Gentiva Health Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.44% 07/02/2025 394,006 252,733 Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.69% 02/19/2026 249,654 210,608 GFL Environmental, Inc. 3.50% ± 05/30/2025 211,177 235,000 Global Medical Response Inc., Senior Secured First Lien Term Loan 5.75% ± 10/02/2025 233,972 189,050 Go Daddy Operating Corporation LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 08/10/2027 190,362 Golden Nugget, Inc., Senior Secured First Lien Term Loan 157,271 (1 Month LIBOR USD + 2.50%, 0.75% Floor) 3.25% 10/04/2023 152,350 185,544 (2 Month LIBOR USD + 2.50%, 0.75% Floor) 3.25% 10/04/2023 179,739 367,759 GoodRX, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 10/10/2025 366,012 157,215 GrafTech Finance, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 02/12/2025 157,478 181,237 Graham Packaging Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 08/04/2027 182,110 Granite US Holdings Corporation, Senior Secured First Lien Term Loan 40,622 (3 Month LIBOR USD + 5.25%) 5.51% 09/30/2026 40,723 203,108 (6 Month LIBOR USD + 5.25%) 5.51% 09/30/2026 203,616 601,856 Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 01/02/2026 598,847 220,898 GTT Communications, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 2.97% 06/02/2025 174,437 122,757 Gulf Finance, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor) 6.25% 08/25/2023 93,690 275,000 Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 10/19/2027 275,501 238,202 Hayward Industries, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 08/05/2024 236,118 172,375 Hexion, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.73% 07/01/2026 171,729 291,592 H-Food Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.69%) 3.83% 05/23/2025 287,195 291,560 Hilton Worldwide Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 06/22/2026 288,767 187,595 Houston Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 07/21/2025 184,547 343,630 Hyland Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 07/01/2024 344,918 93,959 Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor) 7.75% 07/07/2025 94,976 96,750 IAA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 06/29/2026 96,306 151,518 IHeartCommunications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 05/01/2026 149,372 423,938 Illuminate Buyer LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 06/30/2027 424,732 138,950 Informatica LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/25/2027 138,071 Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan 25,653 (3 Month LIBOR USD + 5.50%, 1.00% Floor) 6.50% 07/13/2022 26,243 8,551 (6 Month LIBOR USD + 5.50%, 1.00% Floor) 6.50% 07/13/2022 8,748 227,473 Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan (Prime Rate + 4.75%, 1.00% Floor) 8.00% 11/27/2023 231,291 285,034 ION Trading Technologies SARL, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 11/21/2024 284,933 693,106 IQVIA Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/17/2025 690,593 190,000 IRB Holding Corporation, Senior Secured First Lien Term Loan 4.25% ± 12/15/2027 190,564 345,747 IRB Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 02/05/2025 343,488 327,191 IRI Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/01/2025 324,328 597,322 Iron Mountain Information Management LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/02/2026 593,589 180,000 Ivanti Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) 5.75% 12/01/2027 179,888 560,142 Jaguar Holding Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 08/18/2022 560,599 535,463 JBS USA Lux S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 05/01/2026 532,159 76,176 Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 10/20/2023 73,732 359,648 KAR Auction Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 09/21/2026 354,703 212,944 KBR, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/05/2027 213,210 316,800 Kestrel Bidco Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/11/2026 305,120 279,042 Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) 5.19% 07/02/2025 279,391 114,204 Klockner-Pentaplast of America, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/30/2022 114,132 180,000 Kronos Acquisition Holdings Inc., Senior Secured First Lien Term Loan 5.25% ± 12/17/2026 180,634 139,091 LBM Acquisition LLC, Senior Secured First Lien Term Loan 4.50% ± 12/09/2027 139,265 30,909 LBM Borrower LLC, Senior Secured First Lien Term Loan 3.89% ± 12/18/2027 30,948 20,710 Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%) 1.15% 06/30/2025 13,928 107,945 Level 3 Financing, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/01/2027 106,393 222,574 Life Time Fitness, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 06/10/2022 217,567 105,581 Lions Gate Capital Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 03/24/2025 104,459 115,000 LogMeIn, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 08/31/2027 114,857 344,306 Lower Cadence Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 05/22/2026 337,098 357,441 Lucid Energy Group II Borrower LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 02/18/2025 340,872 59,583 Maravai Intermediate Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 10/19/2027 60,254 282,502 Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.50% 03/20/2025 278,194 175,000 Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 03/20/2025 176,422 181,843 MED ParentCo LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 179,603 MED ParentCo LP, Senior Secured First Lien Term Loan 13,729 (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 13,560 31,872 (1 Month LIBOR USD + 4.25%) 4.40% 08/31/2026 31,479 351,574 Messer Industries LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%) 2.75% 03/02/2026 349,510 355,000 Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 10/01/2027 355,813 150,000 Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor) 6.25% 06/21/2027 156,535 359,525 Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) 5.15% 03/27/2026 353,683 44,886 Mirion Technologies, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%) 4.27% 03/06/2026 44,907 299,865 Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/14/2026 293,305 333,286 Mitchell International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 11/29/2024 328,365 75,000 Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) 7.40% 12/01/2025 72,797 178,697 MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 11/28/2025 162,880 13,226 Motion Finco, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.50% 11/12/2026 12,794 100,629 Motion Finco, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.47% 11/12/2026 97,343 366,380 MPH Acquisition Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 06/07/2023 365,379 162,054 Nascar Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 10/19/2026 161,636 118,500 NCR Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 08/28/2026 117,069 350,262 Nexstar Broadcasting, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 09/18/2026 348,688 329,268 Numericable U.S. LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.24% 08/14/2026 328,685 36,387 OneDigital Borrower LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% & 11/16/2027 36,523 OneDigital Borrower LLC, Senior Secured First Lien Term Loan 341,718 (1 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/16/2027 343,001 26,895 (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/16/2027 26,995 170,000 Ortho-Clinical Diagnostics Inc., Senior Secured First Lien Term Loan 3.48% ± 06/30/2025 167,811 98,000 Outcomes Group Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.47% 10/24/2025 96,530 343,275 Pacific Gas and Electric Company, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 06/23/2025 347,909 110,000 Packaging Coordinators Midco, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 11/30/2027 110,275 100,000 PAI HoldCo, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 10/26/2027 100,250 405,411 Panther BF Aggregator LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 04/30/2026 404,819 425,912 Parexel International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 09/27/2024 419,524 21,743 Pathway Vet Alliance LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 03/31/2027 21,767 266,191 Pathway Vet Alliance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 03/31/2027 266,490 109,784 PCI Gaming Authority, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 05/29/2026 108,836 83,630 Penn National Gaming, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.75% Floor) 3.00% 10/15/2025 82,773 108,880 Phoenix Services International LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 03/03/2025 107,894 403,180 Pisces Midco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 04/12/2025 403,307 136,410 Playtika Holding Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 6.00%, 1.00% Floor) 7.00% 12/10/2024 137,504 430,359 PODS, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 12/06/2024 432,106 95,000 PointClickCare Technologies Inc., Senior Secured First Lien Term Loan 3.75% ± 12/29/2027 95,000 212,484 PowerTeam Services LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 03/06/2025 210,890 150,500 Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 03/11/2026 147,384 272,250 Pregis Topco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 07/31/2026 271,569 64,675 Presidio Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.72% 01/22/2027 64,705 Prime Security Services Borrower LLC, Senior Secured First Lien Term Loan 102,887 (1 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 103,674 66,046 (6 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 66,552 66,046 (9 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 66,552 132,092 (12 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 133,103 214,305 Pro Mach Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 03/07/2025 211,090 422,809 Project Alpha Intermediate Holding, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 04/26/2024 419,989 213,636 Pug LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/12/2027 204,379 350,000 Radiate Holdco, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 09/25/2026 351,038 Radiology Partners, Inc., Senior Secured First Lien Term Loan 221,882 (1 Month LIBOR USD + 4.25%) 5.29% 07/09/2025 218,739 190,242 (3 Month LIBOR USD + 4.25%) 5.29% 07/09/2025 187,547 130,000 Redstone Buyer, LLC, Senior Secured First Lien Term Loan (2 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 09/01/2027 130,731 308,046 RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 11/14/2025 307,835 341,862 Renaissance Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/30/2025 336,840 66,566 RentPath, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.00%, 1.00% Floor) 8.00% 02/26/2021 62,239 378,336 RentPath, Inc., Senior Secured First Lien Term Loan (Prime Rate + 3.75%, 1.00% Floor) 7.00% W 12/17/2021 170,251 132,195 Reynolds Consumer Products LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 02/04/2027 131,580 194,091 Reynolds Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/06/2023 193,606 120,000 Reynolds Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/05/2026 119,310 149,250 RP Crown Parent LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 02/02/2026 149,390 59,850 Ryan Specialty Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 09/01/2027 59,850 55,000 Sabre Global, Inc., Senior Secured First Lien Term Loan 4.75% ± 12/17/2027 55,206 114,410 Sabre Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 02/22/2024 111,969 74,800 Science Applications International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.40% 03/12/2027 74,894 278,568 Scientific Games International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 08/14/2024 272,822 285,334 Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 11/01/2024 268,572 242,395 Sedgwick Claims Management Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 12/31/2025 239,012 410,000 Select Medical Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.25%) 2.53% 03/06/2025 407,694 351,330 Severin Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 08/01/2025 347,948 582,625 Sinclair Television Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 09/30/2026 577,891 277,514 SIWF Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 06/13/2025 276,243 203,575 Six Flags Theme Parks, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 04/17/2026 199,535 145,000 SkyMiles IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 10/20/2027 150,709 SMG US Midco 2, Inc., Senior Secured First Lien Term Loan 91,332 (1 Month LIBOR USD + 2.50%) 2.65% 01/23/2025 86,385 219,986 (3 Month LIBOR USD + 2.50%) 2.65% 01/23/2025 208,070 392,974 SolarWinds Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 02/05/2024 376,640 334,729 Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.23% 06/26/2025 334,813 20,000 Solenis International LP, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%) 8.73% 06/26/2026 19,983 416,887 Solera LLC, Senior Secured First Lien Term Loan (2 Month LIBOR USD + 2.75%) 2.90% 03/03/2023 414,400 420,000 Sophia, L.P., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 10/07/2027 422,024 282,761 Sotera Health Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 12/11/2026 284,235 480,643 Sound Inpatient Physicians, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 06/27/2025 478,240 165,664 Southern Graphics, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 12/30/2022 123,006 32,121 Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan 5.00% ± 10/02/2027 32,041 232,879 Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 10/01/2027 232,297 366,343 SS&C Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 04/16/2025 362,979 145,884 Staples, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) 5.21% 04/16/2026 141,705 337,418 Starfruit US Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 10/01/2025 334,676 164,340 Stars Group Holdings B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.75% 07/10/2025 165,116 209,287 STG-Fairway Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 01/29/2027 206,475 99,000 Sunshine Luxembourg VII SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) 4.25% 10/01/2026 99,611 422,875 Surf Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.73% 03/05/2027 419,809 80,172 Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor) 6.00% 10/01/2024 79,570 192,686 TAMKO Building Products LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/29/2026 192,445 4,454 Tapstone Energy Holdings LLC, Unsecured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% Þ 04/17/2024 4,432 182,831 Team Health Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 02/06/2024 163,733 249,375 Tech Data Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 06/30/2025 251,323 109,725 Tech Data Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.50%) 5.65% 06/30/2025 109,999 178,999 Telesat LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 12/07/2026 177,706 398,000 Tempo Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.50% Floor) 3.75% 11/02/2026 396,135 123,750 Terrier Media Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 12/17/2026 124,157 464,809 The Dun & Bradstreet Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 02/06/2026 465,906 319,090 The Edelman Financial Center LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 07/21/2025 314,901 408,975 Thyssenkrupp Elevator, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%) 4.57% 07/14/2027 412,625 348,213 TIBCO Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 06/30/2026 342,662 35,000 TIBCO Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) 7.40% 03/03/2028 35,467 287,917 Titan Acquisition Ltd., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%) 3.27% 03/28/2025 281,554 TKC Holdings, Inc., Senior Secured First Lien Term Loan 774 (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 02/01/2023 762 293,847 (6 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 02/01/2023 289,071 99,381 Trans Union LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 11/13/2026 99,153 166,385 Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 01/25/2024 147,666 Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan 79 (2 Week LIBOR USD + 0.00%, 1.00% Floor) 2.50% 02/28/2025 78 178 (2 Week LIBOR USD + 1.50%, 1.00% Floor) 2.50% 02/28/2025 176 127,637 (3 Month LIBOR USD + 1.50%, 1.00% Floor) 2.50% 02/28/2025 126,241 59,471 Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) 5.25% 05/29/2026 40,787 342,133 Trident TPI Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/17/2024 338,524 268,622 Uber Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 04/04/2025 270,565 397,922 UFC Holdings, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 04/29/2026 397,331 182,151 UGI Energy Services LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 08/13/2026 182,834 157,030 Ultimate Software Group, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 05/04/2026 157,169 259,350 Ultimate Software Group, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 05/04/2026 261,103 30,000 Ultimate Software Group, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.75% Floor) 7.50% 05/03/2027 30,938 105,108 United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 10/22/2025 104,669 79,200 Univar Solutions USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 07/01/2026 78,656 105,397 Univision Communications, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 03/13/2026 105,829 153,838 Upstream Newco, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 11/20/2026 153,741 587,563 US Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 09/14/2026 579,484 155,089 USIC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/08/2023 155,800 144,664 Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 10/28/2024 138,004 451,027 Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 08/27/2025 451,703 121,617 Victory Capital Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%) 2.73% 07/01/2026 121,364 140,000 Virgin Media Bristol LLC, Senior Secured First Lien Term Loan 3.40% ± 01/31/2029 140,193 402,584 VS Buyer LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/26/2027 401,830 320,240 Wand NewCo 3, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 02/05/2026 316,317 185,000 Web.Com Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 10/10/2025 182,764 410,477 Whatabrands LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 07/31/2026 407,525 389,441 Zayo Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 03/09/2027 387,945 208,397 Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) 4.90% 09/30/2026 209,223 50,000 Ziggo Financing Partnership, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.66% 04/28/2028 49,781

Total Bank Loans (Cost $69,216,186) 68,794,421

Collateralized Loan Obligations - 20.4% 250,000 Adams Mill Ltd., Series 2014-1A-D1 (3 Month LIBOR USD + 3.50%) 3.74% ^ 07/15/2026 248,537 2,500,000 AIMCO, Series 2015-AA-DR (3 Month LIBOR USD + 2.45%, 2.45% Floor) 2.69% ^ 01/15/2028 2,453,393 2,000,000 Apidos Ltd., Series 2013-12A-DR (3 Month LIBOR USD + 2.60%) 2.84% ^ 04/15/2031 1,903,184 1,500,000 Apidos Ltd., Series 2015-21A-CR (3 Month LIBOR USD + 2.45%, 2.45% Floor) 2.67% ^ 07/18/2027 1,456,572 2,500,000 Apidos Ltd., Series 2016-24A-CR (3 Month LIBOR USD + 3.05%) 3.27% ^ 10/20/2030 2,444,739 2,500,000 Apidos Ltd., Series 2018-29A-C (3 Month LIBOR USD + 2.75%) 2.96% ^ 07/25/2030 2,398,540 1,000,000 Apidos, Series 2020-33A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor) 2.47% ^ 07/24/2031 1,001,397 2,500,000 Atrium Corporation, Series 13A-D (3 Month LIBOR USD + 2.70%) 2.91% ^ 11/21/2030 2,411,305 1,000,000 Atrium Corporation, Series 14A-D (3 Month LIBOR USD + 2.95%, 2.95% Floor) 3.18% ^ 08/23/2030 970,661 3,000,000 Atrium Corporation, Series 9A-DR (3 Month LIBOR USD + 3.60%) 3.82% ^ 05/28/2030 3,003,683 1,500,000 Babson Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.95%) 3.17% ^ 10/20/2030 1,476,095 1,737,500 Babson Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 6.45%) 6.67% ^ 10/20/2030 1,661,566 1,250,000 Bain Capital Credit Ltd., Series 2020-2A-B1 (3 Month LIBOR USD + 2.50%, 2.50% Floor) 2.72% ^ 07/21/2031 1,260,857 4,000,000 Barings Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.90%) 3.12% ^ 07/20/2029 3,848,823 2,000,000 Barings Ltd., Series 2019-2A-C (3 Month LIBOR USD + 3.85%, 3.85% Floor) 4.09% ^ 04/15/2031 1,999,653 2,000,000 Barings Ltd., Series 2020-1A-D (3 Month LIBOR USD + 3.75%, 3.75% Floor) 3.98% ^ 10/15/2032 2,005,862 3,770,000 BlueMountain Ltd., Series 2013-2A-DR (3 Month LIBOR USD + 2.90%) 3.12% ^ 10/22/2030 3,513,467 1,750,000 BlueMountain Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.75%, 2.75% Floor) 2.97% ^ 07/18/2027 1,685,596 500,000 BlueMountain Ltd., Series 2015-3A-CR (3 Month LIBOR USD + 2.60%) 2.82% ^ 04/20/2031 455,106 1,000,000 BlueMountain Ltd., Series 2016-3A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor) 3.32% ^ 11/15/2030 936,648 1,000,000 BlueMountain Ltd., Series 2017-2A-C (3 Month LIBOR USD + 3.00%) 3.22% ^ 10/20/2030 946,928 2,000,000 Canyon Capital Ltd., Series 2012-1RA-D (3 Month LIBOR USD + 3.00%) 3.24% ^ 07/15/2030 1,945,578 2,000,000 Canyon Capital Ltd., Series 2014-1A-CR (3 Month LIBOR USD + 2.75%, 2.75% Floor) 2.96% ^ 01/30/2031 1,893,885 2,000,000 Canyon Capital Ltd., Series 2014-2A-DR (3 Month LIBOR USD + 3.65%) 3.89% ^ 04/15/2029 1,995,043 10,000,000 Canyon Capital Ltd., Series 2017-1A-B (3 Month LIBOR USD + 1.70%) 1.94% ^ 07/15/2030 9,975,662 2,500,000 Canyon Capital Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%, 2.90% Floor) 3.14% ^ 07/15/2031 2,395,650 3,000,000 Canyon Capital Ltd., Series 2020-2A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor) 4.06% ^ 10/15/2031 2,998,151 1,250,000 Carlyle Global Market Strategies Ltd., Series 2013-2A-DR (3 Month LIBOR USD + 2.40%) 2.62% ^ 01/18/2029 1,161,469 1,500,000 Chenango Park Ltd., Series 2018-1A-C (3 Month LIBOR USD + 3.00%, 3.00% Floor) 3.24% ^ 04/15/2030 1,461,346 1,000,000 Crown Point Ltd., Series 2020-9A-B (3 Month LIBOR USD + 2.69%, 2.69% Floor) 2.92% ^ 07/14/2032 1,005,483 1,750,000 Dryden Senior Loan Fund, Series 2012-25A-CRR (3 Month LIBOR USD + 1.85%) 2.09% ^ 10/15/2027 1,719,822 2,500,000 Dryden Senior Loan Fund, Series 2013-28A-B1LR (3 Month LIBOR USD + 3.15%) 3.37% ^ 08/15/2030 2,512,600 3,900,000 Dryden Senior Loan Fund, Series 2014-33A-DR3 (3 Month LIBOR USD + 3.65%, 3.65% Floor) 3.89% ^ 04/15/2029 3,902,216 3,000,000 Dryden Senior Loan Fund, Series 2015-37A-DR (3 Month LIBOR USD + 2.50%, 2.50% Floor) 2.74% ^ 01/15/2031 2,889,535 1,000,000 Dryden Senior Loan Fund, Series 2016-45A-DR (3 Month LIBOR USD + 3.15%, 3.15% Floor) 3.39% ^ 10/15/2030 984,987 1,000,000 Dryden Senior Loan Fund, Series 2017-50A-D (3 Month LIBOR USD + 3.25%, 3.25% Floor) 3.49% ^ 07/15/2030 1,001,256 5,500,000 GoldenTree Loan Management Ltd., Series 2017-2A-D (3 Month LIBOR USD + 2.65%) 2.87% ^ 11/28/2030 5,407,414 2,500,000 GoldenTree Loan Opportunities Ltd., Series 2016-12A-DR (3 Month LIBOR USD + 2.90%) 3.11% ^ 07/21/2030 2,423,358 1,500,000 Greenwood Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.50%) 2.74% ^ 04/15/2031 1,465,631 250,000 Halcyon Loan Advisors Funding Ltd., Series 2013-2A-C (3 Month LIBOR USD + 2.70%) 2.91% ^ 08/01/2025 249,735 261,539 Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%) 5.22% ^Þ 04/28/2025 52,544 500,000 Halcyon Loan Advisors Funding Ltd., Series 2018-1A-A2 (3 Month LIBOR USD + 1.80%, 1.80% Floor) 2.02% ^ 07/21/2031 491,315 2,000,000 Hayfin Kingsland Ltd., Series 2018-8A-B (3 Month LIBOR USD + 1.48%, 1.48% Floor) 1.70% ^ 04/20/2031 1,967,778 2,000,000 Highbridge Loan Management Ltd., Series 2013-2A-CR (3 Month LIBOR USD + 2.90%) 3.12% ^ 10/20/2029 1,848,775 1,500,000 HPS Loan Management Ltd., Series 13A-18-D (3 Month LIBOR USD + 3.00%, 3.00% Floor) 3.24% ^ 10/15/2030 1,454,317 3,175,000 LCM LP, Series 14A-DR (3 Month LIBOR USD + 2.75%) 2.97% ^ 07/20/2031 2,943,541 1,250,000 LCM LP, Series 19A-E2 (3 Month LIBOR USD + 5.70%, 5.70% Floor) 5.94% ^Þ 07/15/2027 1,155,921 2,000,000 LCM LP, Series 20A-DR (3 Month LIBOR USD + 2.80%) 3.02% ^ 10/20/2027 1,900,902 5,000,000 LCM Ltd., Series 26A-D (3 Month LIBOR USD + 2.50%, 2.50% Floor) 2.72% ^ 01/20/2031 4,655,982 1,500,000 LCM Ltd., Series 27A-D (3 Month LIBOR USD + 2.95%) 3.18% ^ 07/16/2031 1,418,172 1,000,000 Madison Park Funding Ltd., Series 2014-15A-CR (3 Month LIBOR USD + 3.45%) 3.67% ^ 01/27/2026 999,765 2,500,000 Madison Park Funding Ltd., Series 2014-15A-DR (3 Month LIBOR USD + 5.44%) 5.66% ^ 01/27/2026 2,471,133 1,000,000 Madison Park Funding Ltd., Series 2015-16A-D (3 Month LIBOR USD + 5.50%) 5.72% ^ 04/20/2026 978,663 4,500,000 Madison Park Funding Ltd., Series 2015-18A-BR (3 Month LIBOR USD + 1.60%) 1.81% ^ 10/21/2030 4,488,886 500,000 Madison Park Funding Ltd., Series 2015-18A-DR (3 Month LIBOR USD + 2.95%) 3.16% ^ 10/21/2030 489,410 3,000,000 Madison Park Funding Ltd., Series 2017-25A-C (3 Month LIBOR USD + 3.60%) 3.81% ^ 04/25/2029 3,000,905 1,000,000 Madison Park Funding Ltd., Series 2018-30A-D (3 Month LIBOR USD + 2.50%, 2.50% Floor) 2.74% ^ 04/15/2029 955,863 3,500,000 Magnetite Ltd., Series 2018-20A-D (3 Month LIBOR USD + 2.50%) 2.72% ^ 04/20/2031 3,340,210 1,000,000 Marathon Ltd., Series 2017-9A-A2 (3 Month LIBOR USD + 1.75%) 1.99% ^ 04/15/2029 984,021 6,500,000 Marble Point Ltd., Series 2019-1A-B (3 Month LIBOR USD + 2.15%) 2.36% ^ 07/23/2032 6,509,734 1,550,000 Midocean Credit, Series 2016-5A-B1R (3 Month LIBOR USD + 1.60%) 1.82% ^ 07/19/2028 1,527,753 1,000,000 Myers Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.05%, 3.05% Floor) 3.27% ^ 10/20/2030 978,284 1,000,000 Neuberger Berman Loan Advisers Ltd., Series 2016-21A-DR (3 Month LIBOR USD + 2.40%, 2.40% Floor) 2.62% ^ 04/20/2027 966,131 4,000,000 Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-D (3 Month LIBOR USD + 2.50%) 2.74% ^ 01/15/2028 3,905,046 1,500,000 Neuberger Berman Loan Advisers Ltd., Series 2017-25A-D (3 Month LIBOR USD + 3.25%) 3.47% ^ 10/18/2029 1,501,889 1,000,000 Neuberger Berman Loan Advisers Ltd., Series 2017-26A-D (3 Month LIBOR USD + 2.65%, 2.65% Floor) 2.87% ^ 10/18/2030 984,329 1,500,000 Neuberger Berman Loan Advisers Ltd., Series 2018-28A-D (3 Month LIBOR USD + 2.85%) 3.07% ^ 04/20/2030 1,474,838 1,000,000 Neuberger Berman Loan Advisers Ltd., Series 2020-38A-D (3 Month LIBOR USD + 3.75%, 3.75% Floor) 3.98% ^ 10/20/2032 997,510 1,500,000 Ocean Trails, Series 2020-10A-C (3 Month LIBOR USD + 3.20%, 3.20% Floor) 3.39% ^ 10/15/2031 1,499,676 4,500,000 Octagon Investment Partners Ltd., Series 2012-1A-CR (3 Month LIBOR USD + 4.00%) 4.24% ^ 07/15/2029 4,497,038 500,000 Octagon Investment Partners Ltd., Series 2014-1A-CRR (3 Month LIBOR USD + 3.95%, 3.95% Floor) 4.17% ^ 02/14/2031 500,001 2,500,000 Octagon Investment Partners Ltd., Series 2017-1A-C (3 Month LIBOR USD + 3.50%) 3.72% ^ 03/17/2030 2,503,147 2,000,000 Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.70%) 3.92% ^ 07/20/2030 2,002,588 1,250,000 Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%) 6.42% ^ 03/17/2030 1,202,069 4,000,000 Octagon Investment Partners Ltd., Series 2018-1A-C (3 Month LIBOR USD + 2.60%, 2.60% Floor) 2.82% ^ 01/20/2031 3,710,914 3,000,000 Octagon Investment Partners Ltd., Series 2018-2A-C (3 Month LIBOR USD + 2.85%) 3.06% ^ 07/25/2030 2,889,857 1,000,000 OHA Credit Funding Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.05%, 3.05% Floor) 3.27% ^ 10/20/2030 978,521 3,000,000 RRAM Ltd., Series 2018-4A-C (3 Month LIBOR USD + 2.95%) 3.19% ^ 04/15/2030 2,909,630 5,000,000 Sound Point Ltd., Series 2020-2A-D (3 Month LIBOR USD + 4.00%, 4.00% Floor) 4.24% ^ 10/25/2031 5,009,473 5,000,000 Steele Creek Ltd., Series 2019-2A-B (3 Month LIBOR USD + 2.25%, 2.25% Floor) 2.49% ^ 07/15/2032 5,001,543 3,500,000 Stewart Park Ltd., Series 2015-1A-DR (3 Month LIBOR USD + 2.60%, 2.60% Floor) 2.84% ^ 01/15/2030 3,348,036 1,500,000 Symphony Ltd., Series 2015-16A-DR (3 Month LIBOR USD + 3.05%, 3.05% Floor) 3.29% ^ 10/15/2031 1,453,477 1,000,000 Symphony Ltd., Series 2016-17A-DR (3 Month LIBOR USD + 2.65%) 2.89% ^ 04/15/2028 980,965 3,000,000 Thacher Park Ltd., Series 2014-1A-D1R (3 Month LIBOR USD + 3.40%) 3.62% ^ 10/20/2026 3,007,717 1,500,000 TIAA Ltd., Series 2017-2A-B (3 Month LIBOR USD + 1.50%) 1.73% ^ 01/16/2031 1,488,855 6,000,000 Trimaran CAVU LLC, Series 2019-1A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor) 2.42% ^ 07/20/2032 6,013,522 500,000 Vibrant Ltd., Series 2015-3A-A2RR (3 Month LIBOR USD + 1.85%) 2.07% ^ 10/20/2031 497,093 3,900,000 Voya Ltd., Series 2013-1A-CR (3 Month LIBOR USD + 2.95%) 3.19% ^ 10/15/2030 3,652,832 1,500,000 Voya Ltd., Series 2017-3A-C (3 Month LIBOR USD + 3.55%) 3.77% ^ 07/20/2030 1,476,893 1,000,000 Westcott Park Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 3.25%) 3.47% ^ 07/20/2028 997,502 2,000,000 Wind River Ltd., Series 2013-2A-E1R (3 Month LIBOR USD + 6.75%) 6.97% ^ 10/18/2030 1,864,050 2,000,000 Wind River Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 3.00%, 3.00% Floor) 3.22% ^ 07/18/2031 1,836,536 4,000,000 Wind River Ltd., Series 2014-2A-DR (3 Month LIBOR USD + 2.90%, 2.90% Floor) 3.14% ^ 01/15/2031 3,643,235 2,000,000 Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) 5.99% ^ 01/15/2031 1,669,209 7,975,000 Wind River Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 5.55%) 5.79% ^ 10/15/2027 7,517,363 3,500,000 Wind River Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 2.85%) 3.09% ^ 07/15/2028 3,346,794 2,000,000 Wind River Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.75%) 3.97% ^ 04/18/2029 1,977,191 1,750,000 Wind River Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.42%) 6.64% ^ 04/18/2029 1,702,242 1,500,000 Wind River Ltd., Series 2017-4A-D (3 Month LIBOR USD + 2.65%) 2.87% ^ 11/20/2030 1,442,818 1,500,000 Wind River Ltd., Series 2018-1A-D (3 Month LIBOR USD + 2.90%) 3.14% ^ 07/15/2030 1,422,270 3,500,000 Wind River Ltd., Series 2018-2A-D (3 Month LIBOR USD + 3.00%) 3.24% ^ 07/15/2030 3,376,257 2,500,000 York Ltd., Series 2019-1A-B (3 Month LIBOR USD + 2.05%) 2.27% ^ 07/22/2032 2,504,767

Total Collateralized Loan Obligations (Cost $233,915,862) 227,839,131

Foreign Corporate Bonds - 11.0% 969,000 Adani Ports & Special Economic Zone Ltd. 3.95% 01/19/2022 991,737 500,000 AES Andres B.V. 7.95% ^ 05/11/2026 518,125 2,200,000 AES Dominicana 7.95% 05/11/2026 2,279,750 600,000 AES Gener S.A. 5.00% 07/14/2025 636,000 200,000 AES Gener S.A. (5 Year CMT Rate + 4.92%) 6.35% ^ 10/07/2079 220,250 600,000 AES Gener S.A. (5 Year CMT Rate + 4.92%) 6.35% 10/07/2079 660,750 500,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% 03/26/2079 556,250 1,800,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% ^ 03/26/2079 2,002,500 400,000 AES Panama Generation Holdings SRL 4.38% ^ 05/31/2030 433,260 400,000 Altice Financing S.A. 5.00% ^ 01/15/2028 410,380 415,000 Altice France S.A. 7.38% ^ 05/01/2026 437,306 200,000 Altice France S.A. 6.00% ^ 02/15/2028 202,917 400,000 ARD Finance S.A. (PIK 7.25%) 6.50% ^ 06/30/2027 427,500 200,000 Avation Capital S.A. 6.50% ^ 05/15/2021 146,725 300,000 Baidu, Inc. 1.72% 04/09/2026 304,765 200,000 Baidu, Inc. 3.43% 04/07/2030 221,716 800,000 Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%) 7.75% ^ 02/15/2029 872,208 550,000 Banco Continental SAECA 2.75% ^ 12/10/2025 548,625 350,000 Banco de Credito del Peru (3 Month LIBOR USD + 7.04%) 6.13% 04/24/2027 371,441 400,000 Banco de Credito del Peru (5 Year CMT Rate + 3.00%) 3.13% ^ 07/01/2030 410,004 600,000 Banco de Credito del Peru (5 Year CMT Rate + 3.00%) 3.13% 07/01/2030 615,006 200,000 Banco de Reservas de la Republica Dominicana 7.00% ^ 02/01/2023 209,500 650,000 Banco de Reservas de la Republica Dominicana 7.00% 02/01/2023 680,875 300,000 Banco GNB Sudameris S.A. (5 Year CMT Rate + 4.56%) 6.50% 04/03/2027 305,568 1,250,000 Banco Internacional del Peru SAA Interbank (1 Year CMT Rate + 3.71%) 4.00% 07/08/2030 1,296,875 1,000,000 Banco Latinoamericano de Comercio Exterior S.A. 2.38% ^ 09/14/2025 1,025,010 1,500,000 Banco Macro S.A. (5 Year Swap Rate USD + 5.46%) 6.75% 11/04/2026 1,301,265 200,000 Banco Macro S.A. (5 Year Swap Rate USD + 5.46%) 6.75% ^ 11/04/2026 173,502 1,400,000 Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.35%) 7.63% † 01/10/2028 1,590,764 200,000 Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.47%) 7.50% † 06/27/2029 226,250 200,000 Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.47%) 7.50% ^† 06/27/2029 226,250 400,000 Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%) 6.88% † 07/06/2022 423,500 200,000 Banco Nacional de Panama 2.50% ^ 08/11/2030 200,500 600,000 Bancolombia S.A. (5 Year CMT Rate + 2.93%) 4.88% 10/18/2027 619,680 600,000 Bancolombia S.A. (5 Year CMT Rate + 2.94%) 4.63% 12/18/2029 631,506 200,000 Bangkok Bank PCL (5 Year CMT Rate + 4.73%) 5.00% † 09/23/2025 209,610 1,100,000 Banistmo S.A. 3.65% 09/19/2022 1,131,086 200,000 Banistmo S.A. 3.65% ^ 09/19/2022 205,652 300,000 BBVA Banco Continental S.A. (5 Year CMT Rate + 2.75%) 5.25% 09/22/2029 330,318 200,000 BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%) 5.35% 11/12/2029 213,500 1,650,000 BBVA Colombia S.A. 4.88% 04/21/2025 1,790,679 3,150,000 BDO Unibank, Inc. 2.95% 03/06/2023 3,277,596 220,000 Bombardier, Inc. 6.00% ^ 10/15/2022 216,513 265,000 Bombardier, Inc. 7.88% ^ 04/15/2027 244,057 1,400,000 Braskem Finance Company (5 Year CMT Rate + 8.22%) 8.50% ^ 01/23/2081 1,560,314 1,100,000 Braskem Idesa S.A.P.I. 7.45% ^ 11/15/2029 1,034,000 1,300,000 Canacol Energy Ltd. 7.25% 05/03/2025 1,395,076 205,000 Cenovus Energy, Inc. 5.38% 07/15/2025 231,263 300,000 CIMB Bank BHD 3.26% 03/15/2022 308,088 1,000,000 CK Hutchison International Ltd. 2.50% ^ 05/08/2030 1,056,138 800,000 CNPC Global Capital Ltd. 1.13% 06/23/2023 801,349 400,000 Cosan Overseas Ltd. 8.25% 11/29/2049 412,504 1,000,000 Credito Real S.A.B. de C.V. 9.50% ^ 02/07/2026 1,087,510 1,650,000 Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%) 9.13% † 11/29/2022 1,596,392 1,550,000 CSN Islands Corporation 7.00% † 03/23/2021 1,539,809 400,000 DBS Group Holdings Ltd. (5 Year Mid Swap Rate USD + 1.59%) 4.52% 12/11/2028 438,082 2,600,000 DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%) 3.60% † 09/07/2021 2,629,809 328,365 Digicel Group Ltd. (PIK 7.00%) 7.00% ^† 01/19/2021 91,942 307,445 Digicel Group Ltd. (PIK 8.00%) 8.00% ^ 04/01/2025 161,408 1,000,000 Docuformas SAPI de C.V. 10.25% ^ 07/24/2024 913,760 450,000 eG Global Finance PLC 8.50% ^ 10/30/2025 477,675 812,900 Empresa Electrica Angamos S.A. 4.88% 05/25/2029 815,794 180,560 Empresa Electrica Cochrane SpA 5.50% 05/14/2027 190,829 1,600,000 Empresa Electrica Guacolda S.A. 4.56% 04/30/2025 1,444,080 949,310 ENA Norte Trust 4.95% 04/25/2023 977,789 200,000 ENN Energy Holdings Ltd. 3.25% 07/24/2022 205,674 400,000 Fideicomiso P.A. Pacifico Tres 8.25% 01/15/2035 485,200 200,000 Fomento Economico Mexicano S.A.B. de C.V. 2.88% 05/10/2023 209,378 385,000 Garda World Security Corporation 8.75% ^ 05/15/2025 401,599 475,000 Garda World Security Corporation 4.63% ^ 02/15/2027 480,937 2,100,000 Geopark Ltd. 6.50% 09/21/2024 2,184,000 155,000 GFL Environmental, Inc. 3.75% ^ 08/01/2025 158,391 385,000 GFL Environmental, Inc. 4.00% ^ 08/01/2028 388,609 265,000 GFL Environmental, Inc. 3.50% ^ 09/01/2028 270,687 750,000 Gilex Holding Sarl 8.50% 05/02/2023 783,289 400,000 Gilex Holding Sarl 8.50% ^ 05/02/2023 417,754 700,000 Global Bank Corporation 4.50% ^ 10/20/2021 715,925 1,500,000 Global Bank Corporation 4.50% 10/20/2021 1,534,125 700,000 Globo Comunicacao e Participacoes S.A. 4.88% ^ 01/22/2030 749,007 2,600,000 Gran Tierra Energy International Holdings Ltd. 6.25% 02/15/2025 1,774,526 200,000 Gran Tierra Energy, Inc. 7.75% ^ 05/23/2027 138,002 400,000 Grupo Aval Ltd. 4.75% 09/26/2022 419,544 209,986 Grupo Idesa S.A. de C.V. (PIK 10.38%) 10.13% ^ 05/22/2026 103,943 800,000 Indian Oil Corporation Ltd. 5.75% 08/01/2023 883,167 400,000 Inkia Energy Ltd. 5.88% 11/09/2027 434,124 380,000 Intelligent Packaging Ltd. 6.00% ^ 09/15/2028 391,162 380,000 Intelsat Jackson Holdings S.A. 5.50% W 08/01/2023 258,400 300,000 Intelsat Jackson Holdings S.A. 8.50% ^ 10/15/2024 215,220 35,079 Invepar Holdings 0.00% WÞ 12/30/2028 1,500 1,000,000 Inversiones CMPC S.A. 4.75% 09/15/2024 1,109,065 400,000 Israel Electric Corporation Ltd. 5.00% ^ 11/12/2024 452,882 900,000 Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.22%) 4.63% ^† 02/27/2025 884,259 1,700,000 JD.com, Inc. 3.38% 01/14/2030 1,849,894 300,000 Korea East-West Power Company Ltd. 1.75% ^ 05/06/2025 313,671 600,000 Korea Electric Power Corporation 1.13% ^ 06/15/2025 610,450 400,000 Kronos Acquisition Holdings, Inc. 9.00% ^ 08/15/2023 409,900 100,000 Kronos Acquisition Holdings, Inc. 5.00% ^ 12/31/2026 104,500 80,000 Kronos Acquisition Holdings, Inc. 7.00% ^ 12/31/2027 83,912 1,307,000 Latam Finance Ltd. 6.88% W 04/11/2024 669,838 1,000,000 Latam Finance Ltd. 7.00% ^W 03/01/2026 506,750 1,032,900 LLPL Capital Pte Ltd. 6.88% ^ 02/04/2039 1,222,225 2,800,000 Malayan Banking BHD (5 Year Swap Rate USD + 2.54%) 3.91% 10/29/2026 2,858,394 330,000 Mattamy Group Corporation 4.63% ^ 03/01/2030 350,368 500,000 Medco Bell Pte Ltd. 6.38% ^ 01/30/2027 512,750 310,000 MEG Energy Corporation 7.13% ^ 02/01/2027 320,850 1,400,000 MEGlobal Canada ULC 5.00% ^ 05/18/2025 1,578,738 900,000 Minejesa Capital B.V. 4.63% 08/10/2030 972,054 1,400,000 Minejesa Capital B.V. 5.63% 08/10/2037 1,542,513 600,000 Multibank, Inc. 4.38% 11/09/2022 620,715 500,000 NongHyup Bank 1.25% ^ 07/20/2025 509,835 1,200,000 ONGC Videsh Ltd. 2.88% 01/27/2022 1,217,038 200,000 ONGC Videsh Ltd. 3.75% 05/07/2023 209,565 200,000 ONGC Videsh Ltd. 4.63% 07/15/2024 219,136 1,200,000 Ooredoo International Finance Ltd. 3.25% 02/21/2023 1,257,000 200,000 Ooredoo International Finance Ltd. 3.75% 06/22/2026 224,094 1,000,000 Operadora de Servicios Mega S.A. de C.V. 8.25% ^ 02/11/2025 1,044,375 400,000 Oversea-Chinese Banking Corporation Ltd. 4.25% 06/19/2024 438,720 200,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% 09/10/2030 203,327 600,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% ^ 09/10/2030 609,981 1,700,000 Pampa Energia S.A. 7.50% 01/24/2027 1,511,938 150,000 Pampa Energia S.A. 9.13% 04/15/2029 132,750 705,735 Panama Metro Line SP 0.00% 12/05/2022 688,973 707,415 Panama Metro Line SP 0.00% ^ 12/05/2022 690,614 415,000 Parkland Fuel Corporation 5.88% ^ 07/15/2027 449,547 1,500,000 Peru LNG S.R.L. 5.38% 03/22/2030 1,340,250 200,000 POSCO 2.38% 11/12/2022 205,816 600,000 POSCO 2.38% 01/17/2023 618,960 1,700,000 POSCO 2.75% 07/15/2024 1,799,519 800,000 PSA Treasury Pte Ltd. 2.13% 09/05/2029 842,517 200,000 PTTEP Treasury Center Company Ltd. 2.59% ^ 06/10/2027 209,223 2,500,000 Reliance Industries Ltd. 5.40% 02/14/2022 2,618,880 700,000 SACI Falabella 3.75% 04/30/2023 738,894 200,000 Saudi Arabian Oil Company 1.63% ^ 11/24/2025 205,041 950,000 Sinopec Group Overseas Development Ltd. 2.70% ^ 05/13/2030 987,286 453,500 Star Energy Geothermal Wayang Windu Ltd. 6.75% 04/24/2033 514,240 150,000 Starfruit Finco B.V. 8.00% ^ 10/01/2026 159,656 500,000 Stars Group Holdings B.V. 7.00% ^ 07/15/2026 527,187 400,000 State Grid Overseas Investment 2016 Ltd. 1.00% 08/05/2025 397,262 400,000 State Grid Overseas Investment Ltd. 3.75% 05/02/2023 426,741 400,000 State Grid Overseas Investment Ltd. 3.13% 05/22/2023 420,820 1,726,887 Stoneway Capital Corporation 10.00% W 03/01/2027 708,024 585,000 Superior Plus LP 7.00% ^ 07/15/2026 626,681 200,000 Syngenta Finance N.V. 5.68% ^ 04/24/2048 208,277 800,000 Syngenta Finance N.V. 5.68% 04/24/2048 833,107 200,000 Tecnoglass, Inc. 8.20% 01/31/2022 209,205 1,000,000 Telefonica Chile S.A. 3.88% 10/12/2022 1,049,385 300,000 Telesat LLC 4.88% ^ 06/01/2027 311,438 3,300,000 Temasek Financial Ltd. 1.00% ^ 10/06/2030 3,228,160 1,900,000 Tencent Holdings Ltd. 2.39% ^ 06/03/2030 1,950,255 255,000 Tervita Corporation 11.00% ^ 12/01/2025 275,224 125,000 Titan Acquisition Ltd. 7.75% ^ 04/15/2026 129,688 200,000 Transelec S.A. 4.63% 07/26/2023 216,877 1,050,000 UEP Penonome II SA 6.50% ^ 10/01/2038 1,096,484 400,000 Unifin Financiera S.A.B. de C.V. 7.38% 02/12/2026 384,000 3,200,000 Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) 8.88% † 01/29/2025 2,456,032 1,100,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.65%) 2.88% 03/08/2027 1,122,270 3,041,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.79%) 3.88% † 10/19/2023 3,166,441 1,100,000 Vedanta Resources Finance PLC 9.25% ^ 04/23/2026 836,000 2,700,000 Vedanta Resources Ltd. 6.13% 08/09/2024 1,950,750 200,000 Vertical Holding Company GMBH 7.63% ^ 07/15/2028 218,375 450,000 Vertical Newco, Inc. 5.25% ^ 07/15/2027 477,844 400,000 Virgin Media Finance PLC 5.00% ^ 07/15/2030 415,500 400,000 Woori Bank (5 Year CMT Rate + 2.66%) 4.25% † 10/04/2024 418,658

Total Foreign Corporate Bonds (Cost $123,299,147) 123,246,633

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.6% 300,000 Abu Dhabi Government International Bond 0.75% ^ 09/02/2023 300,945 400,000 Abu Dhabi Government International Bond 2.50% ^ 04/16/2025 428,036 700,000 Abu Dhabi Government International Bond 3.13% ^ 04/16/2030 791,875 2,200,000 Brazilian Government International Bond 2.88% 06/06/2025 2,293,522 400,000 Indonesia Government International Bond 3.38% 04/15/2023 425,003 700,000 Panama Government International Bond 4.00% 09/22/2024 776,125 600,000 Peruvian Government International Bond 2.39% 01/23/2026 641,106 2,250,000 Peruvian Government International Bond 2.78% 01/23/2031 2,474,460 800,000 Philippine Government International Bond 2.46% 05/05/2030 865,032 1,100,000 Philippine Government International Bond 1.65% 06/10/2031 1,116,502 400,000 Philippine Government International Bond 2.95% 05/05/2045 423,243 700,000 Qatar Government International Bond 3.88% 04/23/2023 753,165 1,800,000 Qatar Government International Bond 3.38% 03/14/2024 1,952,100 1,800,000 Saudi Government International Bond 2.38% 10/26/2021 1,828,948 800,000 Saudi Government International Bond 2.88% 03/04/2023 838,688 1,750,000 Saudi Government International Bond 2.90% ^ 10/22/2025 1,888,644

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $17,015,769) 17,797,394

Non-Agency Commercial Mortgage Backed Obligations - 14.4% 689,000 20 Times Square Trust, Series 2018-20TS-F 3.10% #^ 05/15/2035 659,210 658,000 20 Times Square Trust, Series 2018-20TS-G 3.10% #^ 05/15/2035 597,026 30,923,937 Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1-XA 0.97% #^I/O 05/15/2053 2,266,446 1,000,000 Arbor Realty Ltd., Series 2019-FL1-B (1 Month LIBOR USD + 1.70%) 1.86% ^ 05/15/2037 982,575 1,216,000 Arbor Realty Ltd., Series 2020-FL1-B (1 Month LIBOR USD + 1.80%, 1.80% Floor) 1.96% ^ 02/15/2035 1,196,020 1,017,000 AREIT Trust, Series 2019-CRE3-D (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.80% ^ 09/14/2036 973,966 1,532,000 Atrium Hotel Portfolio Trust, Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 12/15/2036 1,130,502 1,898,000 Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor) 3.56% ^ 06/15/2035 1,672,265 1,399,000 Bancorp Commercial Mortgage Trust, Series 2019-CRE5-D (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.51% ^ 03/15/2036 1,333,426 11,701,167 BANK, Series 2017-BNK5-XA 1.07% #I/O 06/15/2060 542,069 60,863,918 BANK, Series 2018-BN11-XA 0.48% #I/O 03/15/2061 1,830,464 465,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F (1 Month LIBOR USD + 3.50%, 3.50% Floor) 3.66% ^ 08/15/2036 426,092 240,000 BBCMS Mortgage Trust, Series 2018-CBM-D (1 Month LIBOR USD + 2.39%, 2.39% Floor) 2.55% ^ 07/15/2037 218,514 1,958,000 BBCMS Mortgage Trust, Series 2018-CBM-E (1 Month LIBOR USD + 3.55%, 3.55% Floor) 3.71% ^ 07/15/2037 1,775,197 956,000 BBCMS Mortgage Trust, Series 2018-TALL-E (1 Month LIBOR USD + 2.44%, 2.44% Floor) 2.60% ^ 03/15/2037 911,359 1,675,000 BBCMS Mortgage Trust, Series 2019-BWAY-E (1 Month LIBOR USD + 2.85%, 2.85% Floor) 3.01% ^ 11/15/2034 1,480,169 1,430,000 BB-UBS Trust, Series 2012-TFT-TE 3.56% #^Þ 06/05/2030 1,253,323 1,216,000 BDS Ltd., Series 2019-FL4-B (1 Month LIBOR USD + 1.75%, 1.75% Floor) 1.90% ^ 08/15/2036 1,193,119 1,678,000 BFLD, Series 2019-DPLO-F (1 Month LIBOR USD + 2.54%, 2.54% Floor) 2.70% ^ 10/15/2034 1,509,784 1,781,000 BHMS Trust, Series 2018-ATLS-C (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 07/15/2035 1,682,891 1,661,100 BHP Trust, Series 2019-BXHP-D (1 Month LIBOR USD + 1.77%, 1.77% Floor) 1.93% ^ 08/15/2036 1,601,004 925,000 Bsprt Issuer Ltd., Series 2018-FL4-D (1 Month LIBOR USD + 2.75%, 2.75% Floor) 2.91% ^ 09/15/2035 885,932 487,000 BX Commercial Mortgage Trust, Series 2018-BIOA-D (1 Month LIBOR USD + 1.32%, 1.35% Floor) 1.48% ^ 03/15/2037 488,236 2,000,000 BX Commercial Mortgage Trust, Series 2019-IMC-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 04/15/2034 1,877,869 2,229,000 BX Commercial Mortgage Trust, Series 2019-IMC-F (1 Month LIBOR USD + 2.90%, 2.90% Floor) 3.06% ^ 04/15/2034 2,001,437 458,122 BX Trust, Series 2017-APPL-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 07/15/2034 455,434 289,799 BX Trust, Series 2017-SLCT-D (1 Month LIBOR USD + 2.05%, 2.05% Floor) 2.21% ^ 07/15/2034 287,803 710,600 BX Trust, Series 2017-SLCT-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 07/15/2034 704,694 611,000 BX Trust, Series 2018-GW-E (1 Month LIBOR USD + 1.97%, 1.97% Floor) 2.13% ^ 05/15/2035 582,546 530,000 BX Trust, Series 2018-GW-F (1 Month LIBOR USD + 2.42%, 2.42% Floor) 2.58% ^ 05/15/2035 500,383 367,000 BX Trust, Series 2018-GW-G (1 Month LIBOR USD + 2.92%, 2.92% Floor) 3.08% ^ 05/15/2035 336,329 2,250,000 BX Trust, Series 2019-CALM-E (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 11/15/2032 2,157,758 2,360,189 BX Trust, Series 2019-MMP-E (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 08/15/2036 2,296,323 2,115,000 Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor) 3.01% ^ 10/15/2035 1,872,524 9,379,698 CD Commercial Mortgage Trust, Series 2017-CD3-XA 1.01% #I/O 02/10/2050 456,076 4,367,534 CFCRE Commercial Mortgage Trust, Series 2016-C4-XA 1.67% #I/O 05/10/2058 299,686 9,221,436 CFCRE Commercial Mortgage Trust, Series 2017-C8-XA 1.60% #I/O 06/15/2050 650,276 22,058,000 CFCRE Commercial Mortgage Trust, Series 2018-TAN-X 1.63% #^I/O 02/15/2033 646,677 454,031 CGDBB Commercial Mortgage Trust, Series 2017-BIOC-E (1 Month LIBOR USD + 2.15%, 2.25% Floor) 2.31% ^ 07/15/2032 453,536 212,000 CHT Mortgage Trust, Series 2017-CSMO-F (1 Month LIBOR USD + 3.74%, 3.74% Floor) 3.90% ^ 11/15/2036 204,758 1,724,965 Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA 0.99% #I/O 10/10/2047 53,289 90,000 Citigroup Commercial Mortgage Trust, Series 2015-GC27-D 4.42% #^ 02/10/2048 80,568 2,474,590 Citigroup Commercial Mortgage Trust, Series 2016-P4-XA 1.96% #I/O 07/10/2049 190,095 530,000 Citigroup Commercial Mortgage Trust, Series 2018-TBR-E (1 Month LIBOR USD + 2.80%, 2.80% Floor) 2.96% ^ 12/15/2036 472,014 1,040,000 Citigroup Commercial Mortgage Trust, Series 2018-TBR-F (1 Month LIBOR USD + 3.65%, 3.65% Floor) 3.81% ^ 12/15/2036 908,215 2,051,000 Citigroup Commercial Mortgage Trust, Series 2019-SST2-E (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 12/15/2036 2,034,750 1,216,000 CLNC Ltd., Series 2019-FL1-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.05% ^ 08/20/2035 1,197,416 2,464,533 Commercial Mortgage Pass-Through Certificates, Series 2013-CR10-XA 0.66% #I/O 08/10/2046 36,936 990,931 Commercial Mortgage Pass-Through Certificates, Series 2014-CR17-XA 0.97% #I/O 05/10/2047 25,421 11,802,512 Commercial Mortgage Pass-Through Certificates, Series 2015-CR25-XA 0.83% #I/O 08/10/2048 381,019 7,089,585 Commercial Mortgage Pass-Through Certificates, Series 2015-CR27-XA 0.94% #I/O 10/10/2048 263,446 1,227,000 Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-C 4.31% # 02/10/2048 1,195,958 2,027,205 Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-XA 1.02% #I/O 02/10/2048 62,492 815,000 Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-C 4.33% # 07/10/2048 817,046 10,570,667 Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-XA 0.69% #I/O 07/10/2048 274,209 406,000 Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-C 4.62% # 10/10/2048 417,967 3,439,579 Commercial Mortgage Pass-Through Certificates, Series 2016-DC2-XA 0.98% #I/O 02/10/2049 136,291 2,228,000 Commercial Mortgage Pass-Through Certificates, Series 2018-HCLV-D (1 Month LIBOR USD + 2.18%, 2.18% Floor) 2.34% ^ 09/15/2033 1,993,925 174,000 Commercial Mortgage Trust, Series 2016-GCT-D 3.46% #^ 08/10/2029 174,518 2,692 Credit Suisse Commercial Mortgage Trust, Series 2007-C1-AM 5.42% 02/15/2040 2,686 1,974,822 Credit Suisse Mortgage Capital Certificates, Series 2014-USA-X1 0.54% #^I/O 09/15/2037 39,167 2,134,000 Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-F (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.81% ^ 05/15/2036 2,115,115 2,388,123 CSAIL Commercial Mortgage Trust, Series 2015-C1-XA 0.83% #I/O 04/15/2050 66,038 45,249,126 CSAIL Commercial Mortgage Trust, Series 2018-CX12-XA 0.61% #I/O 08/15/2051 1,670,607 1,084,000 CSMC Trust, Series 2017-CHOP-E (1 Month LIBOR USD + 3.30%, 3.30% Floor) 3.46% ^ 07/15/2032 882,671 2,477,000 CSMC Trust, Series 2020-FACT-D (1 Month LIBOR USD + 3.71%, 3.71% Floor) 3.87% ^ 10/15/2037 2,499,571 1,898,000 DBGS Mortgage Trust, Series 2018-5BP-F (1 Month LIBOR USD + 2.45%, 2.45% Floor) 2.61% ^ 06/15/2033 1,749,107 1,980,649 DBGS Mortgage Trust, Series 2018-BIOD-F (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 05/15/2035 1,979,784 1,216,000 Exantas Capital Corporation Ltd., Series 2020-RSO8-B (1 Month LIBOR USD + 1.75%, 1.75% Floor) 1.90% ^ 03/15/2035 1,207,880 2,264,000 Fontainebleau Miami Beach Trust, Series 2019-FBLU-G 3.96% #^ 12/10/2036 2,146,739 699,936 FREMF Mortgage Trust, Series 2015-KF08-B (1 Month LIBOR USD + 4.85%, 4.85% Floor) 5.00% ^ 02/25/2022 694,312 699,992 FREMF Mortgage Trust, Series 2016-KF18-B (1 Month LIBOR USD + 5.50%, 5.50% Floor) 5.65% ^ 05/25/2026 702,147 107,692 FREMF Mortgage Trust, Series 2016-KF22-B (1 Month LIBOR USD + 5.05%, 5.05% Floor) 5.20% ^ 07/25/2023 109,517 664,851 FREMF Mortgage Trust, Series 2017-KF27-B (1 Month LIBOR USD + 4.35%, 4.35% Floor) 4.50% ^ 12/25/2026 665,268 700,003 FREMF Mortgage Trust, Series 2017-KF28-B (1 Month LIBOR USD + 4.00%, 4.00% Floor) 4.15% ^ 01/25/2024 701,581 700,066 FREMF Mortgage Trust, Series 2017-KF30-B (1 Month LIBOR USD + 3.25%, 3.25% Floor) 3.40% ^ 03/25/2027 701,023 1,405,071 FREMF Mortgage Trust, Series 2018-KF49-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.05% ^ 06/25/2025 1,354,020 100,000 Grace Mortgage Trust, Series 2014-GRCE-A 3.37% ^ 06/10/2028 99,994 2,488,000 Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor) 3.29% ^ 12/15/2036 2,212,741 1,216,000 Greystone Commercial Real Estate Notes, Series 2019-FL2-B (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.76% ^ 09/15/2037 1,206,634 2,370,000 Greystone Commercial Real Estate Notes, Series 2019-FL2-D (1 Month LIBOR USD + 2.40%, 2.40% Floor) 2.56% ^ 09/15/2037 2,283,858 2,457,718 GS Mortgage Securities Corporation Trust, Series 2013-GC10-XA 1.49% #I/O 02/10/2046 67,383 7,951,077 GS Mortgage Securities Corporation Trust, Series 2014-GC24-XA 0.73% #I/O 09/10/2047 176,970 165,000 GS Mortgage Securities Corporation Trust, Series 2014-GC26-D 4.51% #^ 11/10/2047 124,037 7,141,140 GS Mortgage Securities Corporation Trust, Series 2015-GS1-XA 0.76% #I/O 11/10/2048 231,509 5,583,350 GS Mortgage Securities Corporation Trust, Series 2016-GS2-XA 1.75% #I/O 05/10/2049 425,978 850,000 GS Mortgage Securities Corporation Trust, Series 2018-TWR-E (1 Month LIBOR USD + 2.10%, 2.10% Floor) 2.26% ^ 07/15/2031 799,854 850,000 GS Mortgage Securities Corporation Trust, Series 2018-TWR-F (1 Month LIBOR USD + 2.80%, 2.80% Floor) 2.96% ^ 07/15/2031 785,891 850,000 GS Mortgage Securities Corporation Trust, Series 2018-TWR-G (1 Month LIBOR USD + 3.92%, 3.98% Floor) 4.08% ^ 07/15/2031 726,478 169,000 GS Mortgage Securities Corporation Trust, Series 2018-GS10-WLSA 4.90% #^ 03/10/2033 169,824 336,000 GS Mortgage Securities Corporation Trust, Series 2018-GS10-WLSB 4.90% #^ 03/10/2033 332,976 457,000 GS Mortgage Securities Corporation Trust, Series 2018-GS10-WLSC 4.90% #^ 03/10/2033 438,690 442,000 GS Mortgage Securities Corporation Trust, Series 2018-GS10-WLSD 4.90% #^ 03/10/2033 408,193 553,000 GS Mortgage Securities Corporation Trust, Series 2018-GS10-WLSE 4.90% #^ 03/10/2033 493,938 1,509,000 GS Mortgage Securities Corporation Trust, Series 2018-RIVR-E (1 Month LIBOR USD + 1.55%, 1.55% Floor) 1.71% ^ 07/15/2035 1,320,089 725,000 GS Mortgage Securities Corporation Trust, Series 2019-SMP-E (1 Month LIBOR USD + 2.60%, 2.60% Floor) 2.76% ^ 08/15/2032 659,018 2,302,000 GS Mortgage Securities Corporation Trust, Series 2019-SOHO-E (1 Month LIBOR USD + 1.87%, 1.88% Floor) 2.03% ^ 06/15/2036 2,168,375 2,377,000 GSCG Trust, Series 2019-600C-E 3.99% #^ 09/06/2034 2,331,290 433,000 Hilton Orlando Trust, Series 2018-ORL-E (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.81% ^ 12/15/2034 405,545 1,853,232 HPLY Trust, Series 2019-HIT-F (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2036 1,681,912 1,263,000 Hunt Ltd., Series 2017-FL1-C (1 Month LIBOR USD + 2.40%) 2.56% ^ 08/15/2034 1,221,469 502,484 IMT Trust, Series 2017-APTS-EFL (1 Month LIBOR USD + 2.15%, 2.15% Floor) 2.31% ^ 06/15/2034 493,777 502,484 IMT Trust, Series 2017-APTS-FFL (1 Month LIBOR USD + 2.85%, 2.85% Floor) 3.01% ^ 06/15/2034 467,594 2,427,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-C20-B 4.40% # 07/15/2047 2,596,810 49,966 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2017-FL10- D (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 06/15/2032 49,815 504,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-C (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.76% ^ 06/15/2032 490,784 200,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ- D (1 Month LIBOR USD + 2.10%, 2.30% Floor) 2.30% ^ 06/15/2032 193,895 64,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-LAQ-E (1 Month LIBOR USD + 3.00%, 3.35% Floor) 3.35% ^ 06/15/2035 61,495 2,555,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2019-MFP-F (1 Month LIBOR USD + 3.00%, 3.00% Floor) 3.16% ^ 07/15/2036 2,384,082 125,864 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9-AMS 5.34% 05/15/2047 111,390 5,770,365 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4-XA 0.68% #I/O 12/15/2049 152,047 1,431,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI-E 4.01% #^ 10/05/2031 1,308,315 1,957,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFX 5.54% ^ 07/05/2033 1,923,244 766,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-C 4.34% ^ 05/05/2032 770,085 784,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-D 4.45% #^ 05/05/2032 782,325 915,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-E 4.45% #^ 05/05/2032 883,734 960,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-F 4.45% #^ 05/05/2032 899,815 1,049,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-G 4.45% #^ 05/05/2032 930,555 1,685,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN-EFX 3.97% ^ 01/16/2037 1,629,738 1,627,033 JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA 0.81% #I/O 02/15/2047 32,688 100,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C 4.47% # 09/15/2047 102,160 150,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-C 4.45% # 11/15/2047 148,587 425,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-C 4.38% # 01/15/2048 446,025 2,134,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-B 3.99% 10/15/2048 2,278,729 1,115,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-C 4.20% # 05/15/2048 1,098,627 4,356,370 JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA 0.65% #I/O 05/15/2048 106,677 4,940,285 JPMBB Commercial Mortgage Securities Trust, Series 2015-C31-XA 0.83% #I/O 08/15/2048 162,278 470,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C 4.61% # 12/15/2048 504,554 2,532,000 LCCM, Series 2017-LC26-C 4.71% ^ 07/12/2050 2,487,234 1,216,000 LoanCore Issuer Ltd., Series 2019-CRE2-B (1 Month LIBOR USD + 1.70%, 1.70% Floor) 1.86% ^ 05/15/2036 1,188,708 3,440,482 LSTAR Commercial Mortgage Trust, Series 2016-4-XA 1.77% #^I/O 03/10/2049 168,382 15,216,641 LSTAR Commercial Mortgage Trust, Series 2017-5-X 0.99% #^I/O 03/10/2050 475,719 2,538,000 MFT Trust, Series 2020-ABC-D 3.48% #^ 02/10/2042 2,398,526 2,500,000 MKT Mortgage Trust, Series 2020-525M-F 2.94% #^ 02/12/2040 2,307,593 100,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C 4.52% # 10/15/2047 103,438 360,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23-C 4.14% # 07/15/2050 378,615 274,000 Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C 4.52% # 12/15/2047 284,610 1,200,000 Morgan Stanley Capital Trust, Series 2011-C1-D 5.56% #^ 09/15/2047 1,200,699 393,000 Morgan Stanley Capital Trust, Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%, 2.20% Floor) 2.36% ^ 11/15/2034 351,764 590,000 Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2034 518,506 284,000 Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%, 4.35% Floor) 4.51% ^ 11/15/2034 236,227 561,000 Morgan Stanley Capital Trust, Series 2018-SUN-D (1 Month LIBOR USD + 1.65%, 1.65% Floor) 1.81% ^ 07/15/2035 541,829 837,000 Morgan Stanley Capital Trust, Series 2018-SUN-F (1 Month LIBOR USD + 2.55%, 2.55% Floor) 2.71% ^ 07/15/2035 793,023 561,000 Morgan Stanley Capital Trust, Series 2018-SUN-G (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 07/15/2035 523,186 2,489,000 Morgan Stanley Capital Trust, Series 2019-NUGS-F (1 Month LIBOR USD + 2.84%, 4.34% Floor) 4.34% ^ 12/15/2036 2,242,236 935,654 Motel 6 Trust, Series 2017-MTL6-D (1 Month LIBOR USD + 2.15%, 2.15% Floor) 2.31% ^ 08/15/2034 928,247 1,957,170 Motel 6 Trust, Series 2017-MTL6-F (1 Month LIBOR USD + 4.25%, 4.25% Floor) 4.41% ^ 08/15/2034 1,928,597 2,500,000 MSCG Trust, Series 2018-SELF-F (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 10/15/2037 2,452,566 1,919,000 Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-C (1 Month LIBOR USD + 2.20%, 2.20% Floor) 2.34% ^ 06/15/2035 1,717,123 24,816,848 Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-XCP 0.12% #^I/O 06/15/2021 248 1,183,000 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-AMZ1 3.50% #^ 01/15/2037 1,178,884 685,000 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-AMZ2 3.50% #^ 01/15/2037 663,302 639,000 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-AMZ3 3.50% #^ 01/15/2037 598,341 1,611,300 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-MSK1 3.25% #^ 12/15/2036 1,584,574 1,216,000 NLY Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 02/15/2036 1,202,166 2,521,000 One Market Plaza Trust, Series 2017-1MKT-E 4.14% ^ 02/10/2032 2,569,136 1,573,000 STWD Ltd., Series 2019-FL1-D (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.51% ^ 07/15/2038 1,543,237 1,283,167 Tharaldson Hotel Portfolio Trust, Series 2018-THL-E (1 Month LIBOR USD + 3.18%, 3.10% Floor) 3.33% ^ 11/11/2034 1,190,802 1,097,000 UBS Commercial Mortgage Trust, Series 2018-C8-C 4.70% # 02/15/2051 1,107,725 15,777,122 UBS Commercial Mortgage Trust, Series 2018-C8-XA 0.87% #I/O 02/15/2051 790,487 1,373,963 VMC Finance LLC, Series 2019-FL3-D (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.80% ^ 09/15/2036 1,281,312 150,000 Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-D 3.94% ^ 08/15/2050 78,112 100,000 Wells Fargo Commercial Mortgage Trust, Series 2015-C27-C 3.89% 02/15/2048 93,020 400,000 Wells Fargo Commercial Mortgage Trust, Series 2015-C28-C 4.09% # 05/15/2048 408,322 10,055,104 Wells Fargo Commercial Mortgage Trust, Series 2015-C30-XA 0.89% #I/O 09/15/2058 352,365 5,370,626 Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA 0.98% #I/O 11/15/2048 218,223 2,143,000 Wells Fargo Commercial Mortgage Trust, Series 2015-LC20-B 3.72% 04/15/2050 2,292,481 2,045,922 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1-XA 1.10% #I/O 05/15/2048 75,598 7,039,179 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-XA 0.66% #I/O 07/15/2058 179,980 2,158,503 Wells Fargo Commercial Mortgage Trust, Series 2016-C33-XA 1.62% #I/O 03/15/2059 145,387 4,849,065 Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6-XA 1.61% #I/O 11/15/2049 280,929 14,986,470 Wells Fargo Commercial Mortgage Trust, Series 2017-C38-XA 1.04% #I/O 07/15/2050 769,910 2,423,000 Wells Fargo Commercial Mortgage Trust, Series 2017-C41-C 4.51% # 11/15/2050 2,317,117 2,990,600 Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-XA 1.49% #I/O 01/15/2060 188,483 2,267,000 Wells Fargo Commercial Mortgage Trust, Series 2018-C47-C 4.94% # 09/15/2061 2,321,888 3,260,488 WF-RBS Commercial Mortgage Trust, Series 2014-C21-XA 1.03% #I/O 08/15/2047 94,529

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $171,362,773) 160,932,363

Non-Agency Residential Collateralized Mortgage Obligations - 22.8% 3,952,698 ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2A (1 Month LIBOR USD + 0.09%, 0.09% Floor) 0.24% 01/25/2037 2,917,476 1,604,374 ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2D (1 Month LIBOR USD + 0.25%, 0.25% Floor) 0.40% 01/25/2037 1,217,989 3,070,198 Alternative Loan Trust, Series 2006-OA6-1A1A (1 Month LIBOR USD + 0.42%, 0.42% Floor) 0.57% 07/25/2046 2,801,195 1,000,000 AMSR Trust, Series 2020-SFR4-E1 2.21% ^ 11/17/2037 1,006,590 8,364,402 APS Resecuritization Trust, Series 2015-3-1MZ (12 Month US Treasury Average + 0.96%, 0.96% Floor) 1.14% ^D 10/27/2046 6,482,182 3,688,562 Bayview Koitere Fund Trust, Series 2018-SBR4-A1 4.38% ^§ 06/28/2033 3,761,124 1,588,913 Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-2-2A1 3.45% # 07/25/2036 1,514,645 986,313 Bear Stearns Alt-A Trust, Series 2006-4-22A1 3.31% # 08/25/2036 851,885 2,376,059 Chase Mortgage Finance Trust, Series 2007-S4-A4 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) 0.75% 06/25/2037 755,963 6,341,249 CHL Mortgage Pass-Through Trust, Series 2007-14-A19 6.00% 09/25/2037 4,971,848 4,657,247 CHL Mortgage Pass-Through Trust, Series 2007-9-A13 5.75% 07/25/2037 3,543,370 8,688,000 CHL Mortgage Pass-Through Trust, Series 2018-GT1-A (1 Month LIBOR USD + 2.75%) 2.90% ^ 05/25/2023 8,581,236 13,420,000 CIM Trust, Series 2017-3RR-B2 10.69% #^Þ 01/27/2057 12,808,906 1,004,418 CitiMortgage Alternative Loan Trust, Series 2007-A5-1A10 5.75% 05/25/2037 996,929 360,959 Countrywide Alternative Loan Trust, Series 2005-75CB-A3 5.50% 01/25/2036 319,346 596,420 Countrywide Alternative Loan Trust, Series 2006-23CB-2A2 6.50% 08/25/2036 330,223 398,197 Countrywide Alternative Loan Trust, Series 2007-15CB-A7 6.00% 07/25/2037 337,685 575,844 Countrywide Alternative Loan Trust, Series 2008-1R-2A3 6.00% 08/25/2037 415,619 285,609 Countrywide Home Loans, Series 2005-HYB9-3A2A (12 Month LIBOR USD + 1.75%, 1.75% Floor, 11.00% Cap) 2.20% 02/20/2036 251,572 323,815 Countrywide Home Loans, Series 2007-14-A15 6.50% 09/25/2037 266,393 620,603 Countrywide Home Loans, Series 2007-HY1-1A1 3.67% # 04/25/2037 597,902 329,821 Credit Suisse First Boston Mortgage Backed Trust, Series 2006-2-A5A 6.58% 09/25/2036 161,323 510,355 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-6A9 5.50% 11/25/2035 343,027 269,996 Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-9-5A9 5.50% 10/25/2035 220,649 1,500,000 Credit Suisse Mortgage Capital Certificates, Series 2011-12R-3A5 2.51% #^ 07/27/2036 1,443,710 84,164 Credit Suisse Mortgage Capital Certificates, Series 2011-5R-6A9 3.22% #^ 11/27/2037 84,865 162,598 Deutsche Mortgage & Asset Receiving Corporation, Series 2014-RS1-1A2 6.49% #^ 07/27/2037 152,113 287,818 Deutsche Securities, Inc., Series 2006-AB4-A1A 6.01% # 10/25/2036 277,981 15,000,000 FMC GMSR Issuer Trust, Series 2019-GT1-A 5.07% #^ 05/25/2024 15,205,563 500,000 GCAT LLC, Series 2019-NQM3-B1 3.95% #^ 11/25/2059 509,465 13,693,692 Home Partners of America Trust, Series 2019-2-F 3.87% ^ 10/19/2039 14,168,920 1,055,450 Impac Secured Assets Trust, Series 2006-5-1A1C (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap) 0.42% 02/25/2037 962,827 1,868,279 IndyMac Mortgage Loan Trust, Series 2006-AR19-2A1 3.28% # 08/25/2036 1,719,390 503,632 JP Morgan Mortgage Trust, Series 2005-S3-1A2 5.75% 01/25/2036 355,789 543,978 JP Morgan Mortgage Trust, Series 2007-A2-4A1M 3.64% # 04/25/2037 494,288 800,000 Legacy Mortgage Asset Trust 2019-GS4, Series 2018-GS3-A2 4.25% ^§ 06/25/2058 801,682 800,000 Legacy Mortgage Asset Trust, Series 2018-GS2-A2 4.25% ^§ 04/25/2058 801,687 138,867 Lehman Mortgage Trust, Series 2006-1-1A3 5.50% 02/25/2036 112,909 7,495,466 Lehman Trust, Series 2006-GP3-1A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor) 0.35% 06/25/2046 7,237,106 3,000,000 loanDepot GMSR Master Trust, Series 2018-GT1-A (1 Month LIBOR USD + 2.80%, 2.80% Floor) 2.95% ^ 10/16/2023 2,918,585 106,492 MASTR Adjustable Rate Mortgages Trust, Series 2006-2-2A1 2.71% # 04/25/2036 83,475 320,574 Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A7 6.00% 03/25/2037 196,736 657,725 Merrill Lynch Mortgage Investors Trust, Series 2006-AF1-AF2C 6.25% 08/25/2036 426,527 21,021,227 Merrill Lynch Mortgage Investors Trust, Series 2006-HE6-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) 0.29% 11/25/2037 14,517,255 112,223 Morgan Stanley Mortgage Loan Trust, Series 2005-7-4A1 5.50% 11/25/2035 95,918 345,335 Morgan Stanley Mortgage Loan Trust, Series 2006-2-7A1 5.56% # 02/25/2036 264,792 561,318 Morgan Stanley Mortgage Loan Trust, Series 2007-8XS-A1 5.75% # 04/25/2037 367,680 10,600,541 Morgan Stanley Resecuritization Trust, Series 2013-R7-8B (12 Month US Treasury Average + 0.96%, 0.96% Floor) 1.70% ^Þ 12/26/2046 9,317,811 3,179,182 New Century Home Equity Loan Trust, Series 2006-1-A2B (1 Month LIBOR USD + 0.18%, 0.18% Floor, 12.50% Cap) 0.33% 05/25/2036 3,014,233 4,887,744 New Residential Mortgage Loan Trust, Series 2018-FNT2-B 4.09% ^ 07/25/2054 4,902,899 11,854,625 NovaStar Mortgage Funding Trust Series, Series 2006-3-A2C (1 Month LIBOR USD + 0.32%, 0.32% Floor) 0.47% 10/25/2036 9,217,028 13,750,930 PMT Credit Risk Transfer Trust 2019-2R, Series 2019-2R-A (1 Month LIBOR USD + 2.75%, 2.75% Floor) 2.90% ^ 05/27/2023 13,290,448 1,484,408 PMT Credit Risk Transfer Trust, Series 2019-3R-A (1 Month LIBOR USD + 2.70%, 2.70% Floor) 2.85% ^ 10/27/2022 1,470,760 17,600,000 PNMAC GMSR Trust, Series 2018-FT1-A (1 Month LIBOR USD + 2.35%) 2.50% ^ 04/25/2023 17,055,152 3,100,000 Progress Residential Trust, Series 2019-SFR4-F 3.68% ^ 10/17/2036 3,172,520 6,798,551 PRPM LLC, Series 2019-GS1-A2 4.75% #^ 10/25/2024 6,831,839 437,711 Residential Accredit Loans, Inc., Series 2006-QS12-2A3 6.00% 09/25/2036 434,453 1,789,804 Residential Asset Securitization Trust, Series 2005-A15-5A2 5.75% 02/25/2036 1,199,807 389,402 Residential Asset Securitization Trust, Series 2006-A2-A11 6.00% 01/25/2046 250,240 4,674,891 Residential Funding Mortgage Securities Trust, Series 2006-S8-A10 6.00% 09/25/2036 4,388,559 5,750,000 Residential Mortgage Loan Trust, Series 2020-1-B1 3.95% #^ 02/25/2024 5,805,532 5,999,828 Soundview Home Loan Trust, Series 2007-OPT1-2A2 (1 Month LIBOR USD + 0.15%, 0.15% Floor) 0.30% 06/25/2037 4,810,700 8,259,000 Spruce Hill Mortgage Loan Trust, Series 2020-SH2-M1 4.33% #^ 06/25/2055 8,295,108 1,317,454 Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1 3.23% # 12/25/2035 1,262,305 7,045,101 Structured Asset Securities Corporation, Series 2007-RF1-1A (1 Month LIBOR USD + 0.19%, 0.19% Floor) 0.34% ^ 03/25/2037 5,614,823 13,551,536 TBW Mortgage Backed Pass Through, Series 2006-3-4A1 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap) 0.55% 07/25/2036 642,991 13,551,624 TBW Mortgage Backed Pass Through, Series 2006-3-4A3 (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap) 6.95% I/F I/O 07/25/2036 2,610,647 5,000,000 Tricon American Homes Trust, Series 2019-SFR1-F 3.75% ^ 03/17/2038 5,172,863 3,123,809 Velocity Commercial Capital Loan Trust, Series 2018-2-M2 4.51% #^ 10/26/2048 3,238,149 782,779 Velocity Commercial Capital Loan Trust, Series 2018-2-M3 4.72% #^ 10/26/2048 804,442 1,615,702 Velocity Commercial Capital Loan Trust, Series 2019-1-M5 5.70% #^ 03/25/2049 1,624,955 3,258,906 Velocity Commercial Capital Loan Trust, Series 2019-2-M4 3.99% #^ 07/25/2049 3,241,821 587,689 Verus Securitization Trust, Series 2017-1A-A3 3.72% #^ 01/25/2047 591,687 3,100,000 Verus Securitization Trust, Series 2019-INV3-B1 3.73% #^ 11/25/2059 3,120,333 9,095,243 Verus Securitization Trust, Series 2020-NPL1-A1 3.60% ^ 08/25/2050 9,176,421 811,883 Washington Mutual Mortgage Pass-Through Certificates, Series 2006-2-4CB 6.00% 03/25/2036 840,390 426,412 Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1 6.25% 11/25/2037 423,347 4,534,286 Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2007-2-A4 (1 Month LIBOR USD + 0.30%, 0.30% Floor) 0.45% 04/25/2037 3,741,335

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $263,185,956) 254,217,938

US Corporate Bonds - 8.1% 250,000 Academy Ltd. 6.00% ^ 11/15/2027 262,500 350,000 Acrisure LLC 8.13% ^ 02/15/2024 371,336 435,000 Advanced Drainage Systems, Inc. 5.00% ^ 09/30/2027 458,464 495,000 Albertsons LLC 4.63% ^ 01/15/2027 527,078 220,000 Albertsons LLC 3.50% ^ 03/15/2029 222,530 400,000 Alliant Holdings Intermediate LLC 6.75% ^ 10/15/2027 428,676 205,000 Allied Universal Holding Company 6.63% ^ 07/15/2026 218,848 475,000 Allied Universal Holding Company 9.75% ^ 07/15/2027 518,576 230,000 AMC Merger, Inc. 8.00% ^ 05/15/2025 195,188 250,000 American Axle & Manufacturing, Inc. 6.25% 03/15/2026 259,062 239,000 Antero Midstream Partners LP 5.75% ^ 03/01/2027 235,266 120,000 Apache Corporation 4.63% 11/15/2025 126,150 225,000 Apache Corporation 4.38% 10/15/2028 234,558 320,000 Aramark Services, Inc. 6.38% ^ 05/01/2025 342,400 85,000 Arches Buyer, Inc. 4.25% ^ 06/01/2028 86,239 120,000 Arconic Corporation 6.00% ^ 05/15/2025 128,325 550,000 Arconic Corporation 6.13% ^ 02/15/2028 594,000 220,000 Argos Merger Sub, Inc. 7.13% ^ 03/15/2023 220,198 476,000 Asbury Automotive Group, Inc. 4.50% 03/01/2028 498,610 86,000 Asbury Automotive Group, Inc. 4.75% 03/01/2030 92,342 185,000 Ascend Learning LLC 6.88% ^ 08/01/2025 190,993 580,000 Ascend Learning LLC 6.88% ^ 08/01/2025 598,064 250,000 ASGN, Inc. 4.63% ^ 05/15/2028 260,422 675,000 AssuredPartners, Inc. 7.00% ^ 08/15/2025 701,706 40,000 AssuredPartners, Inc. 5.63% ^ 01/15/2029 41,800 80,000 Austin BidCo, Inc. 7.13% ^ 12/15/2028 83,650 165,000 Avantor, Inc. 4.63% ^ 07/15/2028 174,694 445,000 Avaya, Inc. 6.13% ^ 09/15/2028 476,210 385,000 Axalta Coating Systems LLC 4.75% ^ 06/15/2027 410,025 240,000 B&G Foods, Inc. 5.25% 04/01/2025 248,040 185,000 B&G Foods, Inc. 5.25% 09/15/2027 196,866 110,000 Banff Merger Sub, Inc. 9.75% ^ 09/01/2026 118,934 545,000 Bausch Health Companies, Inc. 7.00% ^ 01/15/2028 599,985 210,000 Bausch Health Companies, Inc. 6.25% ^ 02/15/2029 228,415 315,000 Bausch Health Companies, Inc. 5.25% ^ 01/30/2030 330,315 570,000 Beacon Roofing Supply, Inc. 4.88% ^ 11/01/2025 584,572 175,000 Black Knight InfoServ LLC 3.63% ^ 09/01/2028 179,375 20,000 Blue Racer Midstream LLC 7.63% ^ 12/15/2025 21,350 25,000 Boxer Parent Company, Inc. 7.13% ^ 10/02/2025 27,172 515,000 Boyd Gaming Corporation 4.75% 12/01/2027 536,017 360,000 Boyne USA, Inc. 7.25% ^ 05/01/2025 378,675 139,000 Builders FirstSource, Inc. 6.75% ^ 06/01/2027 150,948 395,000 Builders FirstSource, Inc. 5.00% ^ 03/01/2030 425,119 125,000 BY Crown Parent LLC 4.25% ^ 01/31/2026 128,281 400,000 Cablevision Lightpath LLC 3.88% ^ 09/15/2027 403,000 400,000 Cablevision Lightpath LLC 5.63% ^ 09/15/2028 419,250 210,000 Calpine Corporation 4.50% ^ 02/15/2028 218,715 130,000 Calpine Corporation 5.13% ^ 03/15/2028 136,940 210,000 Calpine Corporation 4.63% ^ 02/01/2029 216,254 225,000 Carnival Corporation 11.50% ^ 04/01/2023 260,499 115,000 Carvana Corporation 5.63% ^ 10/01/2025 118,162 135,000 Castle US Holding Corporation 9.50% ^ 02/15/2028 135,317 505,000 Catalent Pharma Solutions, Inc. 5.00% ^ 07/15/2027 534,204 1,005,000 CCO Holdings LLC 4.75% ^ 03/01/2030 1,085,651 295,000 CCO Holdings LLC 4.50% ^ 08/15/2030 313,439 420,000 Cedar Fair LP 5.25% 07/15/2029 433,121 285,000 Cengage Learning, Inc. 9.50% ^ 06/15/2024 267,009 500,000 Centene Corporation 5.38% ^ 08/15/2026 529,375 140,000 Centene Corporation 3.00% 10/15/2030 148,561 270,000 Century Communities, Inc. 6.75% 06/01/2027 289,063 310,000 CenturyLink, Inc. 5.13% ^ 12/15/2026 327,799 280,000 CenturyLink, Inc. 4.00% ^ 02/15/2027 289,484 595,000 Cheniere Energy Partners LP 5.63% 10/01/2026 621,299 140,000 Community Health Systems, Inc. 6.00% ^ 01/15/2029 151,411 490,000 Clean Harbors, Inc. 4.88% ^ 07/15/2027 512,050 110,000 Clean Harbors, Inc. 5.13% ^ 07/15/2029 120,498 162,000 Clear Channel Worldwide Holdings, Inc. 9.25% 02/15/2024 164,447 305,000 Clearway Energy Operating LLC 4.75% ^ 03/15/2028 327,399 407,000 CNX Midstream Partners LP 6.50% ^ 03/15/2026 415,140 150,000 CommScope Technologies LLC 5.00% ^ 03/15/2027 148,781 310,000 Constellation Merger Sub, Inc. 8.50% ^ 09/15/2025 289,430 360,000 Cornerstone Building Brands, Inc. 6.13% ^ 01/15/2029 383,175 380,000 CRC Issuer LLC 5.25% ^ 10/15/2025 384,524 375,000 Credit Acceptance Corporation 6.63% 03/15/2026 400,781 645,000 CSC Holdings LLC 5.75% ^ 01/15/2030 707,891 200,000 CSC Holdings LLC 4.63% ^ 12/01/2030 209,027 495,000 CSI Compressco LP 7.50% ^ 04/01/2025 469,579 230,000 Dana Financing Ltd. 5.75% ^ 04/15/2025 239,344 100,000 Dana, Inc. 5.38% 11/15/2027 106,187 160,000 DaVita, Inc. 4.63% ^ 06/01/2030 169,700 195,000 Dealer Tire LLC 8.00% ^ 02/01/2028 205,935 95,000 Delta Air Lines, Inc. 7.00% ^ 05/01/2025 109,746 305,000 Delta Air Lines, Inc. 4.75% ^ 10/20/2028 333,159 250,000 Diamond Sports Group LLC 5.38% ^ 08/15/2026 203,594 300,000 DISH DBS Corporation 5.88% 11/15/2024 315,000 138,000 Dun & Bradstreet Corporation 6.88% ^ 08/15/2026 148,609 96,000 Dun & Bradstreet Corporation 10.25% ^ 02/15/2027 108,462 300,000 EES Finance Corporation 8.13% 05/01/2025 251,593 270,000 Eldorado Resorts, Inc. 6.25% ^ 07/01/2025 287,889 295,000 Embarq Corporation 8.00% 06/01/2036 364,421 95,000 Emergent BioSolutions, Inc. 3.88% ^ 08/15/2028 98,551 140,000 Encompass Health Corporation 4.50% 02/01/2028 146,537 45,000 Encompass Health Corporation 4.75% 02/01/2030 48,282 310,000 Encompass Health Corporation 4.63% 04/01/2031 332,087 150,000 Endeavor Energy Resources LP 6.63% ^ 07/15/2025 160,734 145,000 Envision Healthcare Corporation 8.75% ^ 10/15/2026 91,504 80,000 EQM Midstream Partners LP 6.50% ^ 07/01/2027 90,196 220,000 EQT Corporation 7.88% 02/01/2025 250,832 301,000 ESH Hospitality, Inc. 5.25% ^ 05/01/2025 308,969 155,000 Extraction Oil & Gas, Inc. 5.63% ^W 02/01/2026 28,452 460,000 Flex Acquisition Company, Inc. 6.88% ^ 01/15/2025 468,050 130,000 Ford Motor Company 9.00% 04/22/2025 159,918 545,000 Ford Motor Company 3.38% 11/13/2025 558,794 400,000 Ford Motor Company 4.39% 01/08/2026 420,436 320,000 Ford Motor Company 7.45% 07/16/2031 411,000 365,000 Front Range BidCo, Inc. 4.00% ^ 03/01/2027 366,389 165,000 Front Range BidCo, Inc. 6.13% ^ 03/01/2028 174,771 590,000 Frontdoor, Inc. 6.75% ^ 08/15/2026 630,562 120,000 Frontier Communications Corporation 8.50% W 04/15/2020 59,400 220,000 Frontier Communications Corporation 7.13% W 01/15/2023 107,112 85,000 Frontier Communications Corporation 5.88% ^ 10/15/2027 92,066 165,000 Frontier Communications Corporation 5.00% ^ 05/01/2028 172,322 105,000 Frontier Communications Corporation 6.75% ^ 05/01/2029 112,547 430,000 Gates Global LLC 6.25% ^ 01/15/2026 452,218 250,000 GCI LLC 4.75% ^ 10/15/2028 267,106 336,781 Global Aircraft Leasing Company (PIK 7.25%) 6.50% ^ 09/15/2024 301,419 475,000 Gogo Intermeidate Holdings LLC 9.88% ^ 05/01/2024 509,492 240,000 Golden Entertainment, Inc. 7.63% ^ 04/15/2026 258,412 470,000 Golden Nugget, Inc. 6.75% ^ 10/15/2024 467,213 185,000 Golden Nugget, Inc. 8.75% ^ 10/01/2025 191,706 125,000 GrafTech Finance, Inc. 4.63% ^ 12/15/2028 126,880 225,000 Gray Television, Inc. 7.00% ^ 05/15/2027 246,656 305,000 Griffon Corporation 5.75% 03/01/2028 323,053 350,000 Group 1 Automotive, Inc. 4.00% ^ 08/15/2028 361,210 220,000 GTT Communications, Inc. 7.88% ^ 12/31/2024 88,825 400,000 Gulfport Energy Corporation 6.38% W 05/15/2025 265,000 374,000 Hess Midstream Operations LP 5.63% ^ 02/15/2026 389,661 115,000 Hess Midstream Operations LP 5.13% ^ 06/15/2028 120,319 225,000 Hexion, Inc. 7.88% ^ 07/15/2027 241,172 425,000 HilCorporationEnergy LP 6.25% ^ 11/01/2028 436,033 195,000 Hillman Group, Inc. 6.38% ^ 07/15/2022 194,223 230,000 Hill-Rom Holdings, Inc. 4.38% ^ 09/15/2027 243,557 15,000 Hilton Domestic Operating Company, Inc. 5.38% ^ 05/01/2025 15,952 20,000 Hilton Domestic Operating Company, Inc. 5.75% ^ 05/01/2028 21,787 600,000 Horizon Pharma USA, Inc. 5.50% ^ 08/01/2027 645,306 585,000 IAA, Inc. 5.50% ^ 06/15/2027 621,197 300,000 Icahn Enterprises LP 5.25% 05/15/2027 322,350 55,000 iHeartCommunications, Inc. 8.38% 05/01/2027 58,805 175,000 iHeartCommunications, Inc. 5.25% ^ 08/15/2027 183,608 325,000 Illuminate Buyer LLC 9.00% ^ 07/01/2028 357,906 255,000 Indigo Natural Resources LLC 6.88% ^ 02/15/2026 261,375 335,000 Installed Building Products, Inc. 5.75% ^ 02/01/2028 357,968 175,000 IRB Holding Corporation 7.00% ^ 06/15/2025 191,498 510,000 IRB Holding Corporation 6.75% ^ 02/15/2026 527,008 145,000 Iron Mountain, Inc. 4.88% ^ 09/15/2029 153,120 350,000 Iron Mountain, Inc. 4.50% ^ 02/15/2031 367,062 235,000 iStar, Inc. 4.75% 10/01/2024 238,355 125,000 Jaguar Holding Company 5.00% ^ 06/15/2028 133,594 65,000 JBS Finance, Inc. 5.75% ^ 06/15/2025 67,275 190,000 JBS Finance, Inc. 6.75% ^ 02/15/2028 213,706 165,000 JBS Finance, Inc. 5.50% ^ 01/15/2030 189,793 455,000 JELD-WEN, Inc. 4.63% ^ 12/15/2025 465,991 560,000 KAR Auction Services, Inc. 5.13% ^ 06/01/2025 576,957 345,000 Kraft Heinz Foods Company 5.00% 07/15/2035 418,370 935,000 Kraft Heinz Foods Company 5.20% 07/15/2045 1,111,808 350,000 Kraton Polymers LLC 7.00% ^ 04/15/2025 368,725 380,000 Kraton Polymers LLC 4.25% ^ 12/15/2025 388,113 335,000 Kratos Defense & Security Solutions, Inc. 6.50% ^ 11/30/2025 349,621 130,000 LBM Acquisition LLC 6.25% ^ 01/15/2029 135,487 155,000 LD Holdings Group LLC 6.50% ^ 11/01/2025 163,525 240,000 LifePoint Health, Inc. 4.38% ^ 02/15/2027 244,200 195,000 LifePoint Health, Inc. 5.38% ^ 01/15/2029 195,107 360,000 Lions Gate Capital Holdings LLC 6.38% ^ 02/01/2024 370,121 680,000 Live Nation Entertainment, Inc. 5.63% ^ 03/15/2026 698,020 130,000 Live Nation Entertainment, Inc. 6.50% ^ 05/15/2027 145,574 200,000 Logan Merger Sub, Inc. 5.50% ^ 09/01/2027 209,750 360,000 LTF Merger Sub, Inc. 8.50% ^ 06/15/2023 348,300 285,000 M/I Homes, Inc. 4.95% 02/01/2028 302,577 440,000 Marriott Ownership Resorts, Inc. 6.50% 09/15/2026 460,557 470,000 Masonite International Corporation 5.75% ^ 09/15/2026 492,823 120,000 Match Group, Inc. 4.63% ^ 06/01/2028 126,000 360,000 Matterhorn Merger Sub LLC 8.50% ^ 06/01/2026 377,649 430,000 MGM Growth Properties Operating Partnership LP 5.75% 02/01/2027 483,077 305,000 MGM Resorts International 6.75% 05/01/2025 330,612 335,000 MGM Resorts International 5.75% 06/15/2025 371,021 275,000 Mileage Plus Holdings LLC 6.50% ^ 06/20/2027 296,141 290,000 Moss Creek Resources Holdings, Inc. 7.50% ^ 01/15/2026 221,125 425,000 MPH Acquisition Holdings LLC 5.75% ^ 11/01/2028 415,969 210,000 MPT Operating Partnership LP 5.00% 10/15/2027 223,760 225,000 Murphy Oil USA, Inc. 4.75% 09/15/2029 239,865 240,000 Nabors Industries Ltd. 7.25% ^ 01/15/2026 168,731 210,000 National FINL Partners Corporation 6.88% ^ 08/15/2028 224,475 50,000 Nationstar Mortgage Holdings, Inc. 6.00% ^ 01/15/2027 53,149 240,000 Nationstar Mortgage Holdings, Inc. 5.50% ^ 08/15/2028 253,050 640,000 Navient Corporation 6.50% 06/15/2022 678,874 225,000 Navient Corporation 5.00% 03/15/2027 227,279 365,000 NCL Corporation Ltd. 3.63% ^ 12/15/2024 347,434 105,000 NCL Corporation Ltd. 5.88% ^ 03/15/2026 110,841 205,000 Newfield Exploration Company 5.63% 07/01/2024 220,189 245,000 Nexstar Broadcasting, Inc. 5.63% ^ 07/15/2027 262,840 35,000 NFP Corporation 7.00% ^ 05/15/2025 37,778 205,000 NGL Energy Partners LP 7.50% 04/15/2026 127,484 185,000 Novelis Corporation 4.75% ^ 01/30/2030 199,659 360,000 NRG Energy, Inc. 3.63% ^ 02/15/2031 371,043 590,000 NuStar Logistics LP 6.00% 06/01/2026 639,103 155,000 Occidental Petroleum Corporation 8.00% 07/15/2025 176,836 500,000 Occidental Petroleum Corporation 3.50% 08/15/2029 458,385 355,000 Occidental Petroleum Corporation 6.63% 09/01/2030 385,974 360,000 Occidental Petroleum Corporation 6.13% 01/01/2031 386,172 70,000 OPE KAG Finance Sub, Inc. 7.88% ^ 07/31/2023 70,255 45,000 Ortho Clinical Diagnostics, Inc. 7.38% ^ 06/01/2025 48,009 385,000 Ortho-Clinical Diagnostics Inc. 7.25% ^ 02/01/2028 406,897 335,000 Panther BF Aggregator LP 6.25% ^ 05/15/2026 359,706 240,000 Panther BF Aggregator LP 8.50% ^ 05/15/2027 261,134 405,000 Par Petroleum Finance Corporation 7.75% ^ 12/15/2025 390,276 475,000 Parsley Energy LLC 5.63% ^ 10/15/2027 520,600 180,000 PBF Holding Company LLC 6.00% 02/15/2028 103,163 305,000 Peabody Securities Finance Corporation 6.00% ^ 03/31/2022 223,222 460,000 Penn National Gaming, Inc. 5.63% ^ 01/15/2027 480,746 350,000 PennyMac Financial Services, Inc. 5.38% ^ 10/15/2025 370,563 595,000 Performance Food Group, Inc. 5.50% ^ 10/15/2027 628,814 245,000 PetSmart, Inc. 5.88% ^ 06/01/2025 252,197 340,000 PG&E Corporation 5.00% 07/01/2028 362,551 435,000 Pike Corporation 5.50% ^ 09/01/2028 460,556 275,000 Pilgrim’s Pride Corporation 5.88% ^ 09/30/2027 298,612 105,000 Post Holdings, Inc. 5.50% ^ 12/15/2029 114,715 420,000 Post Holdings, Inc. 4.63% ^ 04/15/2030 442,348 255,000 Prime Security Services Borrower LLC 6.25% ^ 01/15/2028 274,125 175,000 Providence Service Corporation 5.88% ^ 11/15/2025 185,391 315,000 QEP Resources, Inc. 5.25% 05/01/2023 332,010 245,000 QEP Resources, Inc. 5.63% 03/01/2026 269,114 20,000 Rackspace Technology Global, Inc. 5.38% ^ 12/01/2028 20,992 350,000 Radiate Finance, Inc. 4.50% ^ 09/15/2026 361,813 75,000 Radiate Finance, Inc. 6.50% ^ 09/15/2028 78,891 325,000 Radiology Partners, Inc. 9.25% ^ 02/01/2028 366,535 175,000 Rattler Midstream LP 5.63% ^ 07/15/2025 185,172 185,000 Realogy Group LLC 7.63% ^ 06/15/2025 201,138 350,000 Resideo Funding, Inc. 6.13% ^ 11/01/2026 369,250 140,000 Riverbed Technology, Inc. 8.88% ^ 03/01/2023 96,600 295,000 RP Escrow Issuer LLC 5.25% ^ 12/15/2025 308,915 120,000 Sabre Global, Inc. 9.25% ^ 04/15/2025 142,950 360,000 Schweitzer-Mauduit International, Inc. 6.88% ^ 10/01/2026 382,882 465,000 Science Applications International Corporation 4.88% ^ 04/01/2028 493,700 410,000 Scientific Games International, Inc. 5.00% ^ 10/15/2025 423,587 175,000 Scientific Games International, Inc. 8.25% ^ 03/15/2026 188,878 335,000 Scotts Miracle-Gro Company 4.50% 10/15/2029 362,019 90,000 Scripps Escrow II, Inc. 3.88% ^ 01/15/2029 93,993 240,000 Scripps Escrow, Inc. 5.88% ^ 07/15/2027 251,028 130,000 Seagate HDD Cayman 3.38% ^ 07/15/2031 130,947 410,000 SEG Holding LLC 5.63% ^ 10/15/2028 433,575 685,000 Select Medical Corporation 6.25% ^ 08/15/2026 738,745 425,000 Silgan Holdings, Inc. 4.13% 02/01/2028 442,531 260,000 Sirius XM Radio, Inc. 5.50% ^ 07/01/2029 286,569 135,000 Sirius XM Radio, Inc. 4.13% ^ 07/01/2030 143,859 525,000 Six Flags Entertainment Corporation 4.88% ^ 07/31/2024 527,373 175,000 Six Flags Theme Parks, Inc. 7.00% ^ 07/01/2025 189,328 285,000 Spectrum Brands, Inc. 5.00% ^ 10/01/2029 306,774 210,000 Springleaf Finance Corporation 6.88% 03/15/2025 244,256 60,000 Springleaf Finance Corporation 7.13% 03/15/2026 71,025 95,000 Springleaf Finance Corporation 6.63% 01/15/2028 112,973 245,000 Staples, Inc. 7.50% ^ 04/15/2026 256,255 115,000 Staples, Inc. 10.75% ^ 04/15/2027 114,569 425,000 Stevens Holding Company, Inc. 6.13% ^ 10/01/2026 460,513 470,000 SunCoke Energy Partners Finance Corporation 7.50% ^ 06/15/2025 467,450 430,000 Sunoco LP 5.50% 02/15/2026 442,281 230,000 Sunoco LP 6.00% 04/15/2027 244,782 100,000 Sunoco LP 4.50% ^ 05/15/2029 104,188 540,000 Switch Ltd. 3.75% ^ 09/15/2028 549,113 180,000 Targa Resources Partners Finance Corporation 6.50% 07/15/2027 195,750 385,000 Targa Resources Partners Finance Corporation 4.88% ^ 02/01/2031 418,303 509,000 Tempo Acquisition LLC 6.75% ^ 06/01/2025 526,713 410,000 Tenet Healthcare Corporation 4.88% ^ 01/01/2026 429,414 435,000 Tenet Healthcare Corporation 6.25% ^ 02/01/2027 461,707 175,000 Tenet Healthcare Corporation 5.13% ^ 11/01/2027 185,719 475,000 Tenet Healthcare Corporation 6.13% ^ 10/01/2028 496,627 125,000 Terrier Media Buyer, Inc. 8.88% ^ 12/15/2027 138,047 25,000 Townsquare Media, Inc. 6.88% ^ 02/01/2026 26,257 70,000 TransDigm, Inc. 8.00% ^ 12/15/2025 77,531 610,000 TransDigm, Inc. 6.25% ^ 03/15/2026 650,416 305,000 TransDigm, Inc. 6.38% 06/15/2026 316,247 285,000 TransDigm, Inc. 5.50% 11/15/2027 300,048 435,000 Transocean Poseidon Ltd. 6.88% ^ 02/01/2027 396,938 270,000 Transocean Proteus Ltd. 6.25% ^ 12/01/2024 254,813 111,000 Transocean, Inc. 11.50% ^ 01/30/2027 79,573 305,000 Trident TPI Holdings, Inc. 6.63% ^ 11/01/2025 310,687 120,000 Triumph Group, Inc. 6.25% ^ 09/15/2024 119,250 205,000 Triumph Group, Inc. 7.75% 08/15/2025 188,088 535,000 Twin River Worldwide Holdings, Inc. 6.75% ^ 06/01/2027 574,791 295,000 Uber Technologies, Inc. 8.00% ^ 11/01/2026 321,734 160,000 Uber Technologies, Inc. 7.50% ^ 09/15/2027 176,200 250,000 United Natural Foods, Inc. 6.75% ^ 10/15/2028 261,870 225,000 Univision Communications, Inc. 6.63% ^ 06/01/2027 242,049 25,000 US Foods, Inc. 6.25% ^ 04/15/2025 26,752 465,000 USA Compression Partners LP 6.88% 09/01/2027 497,211 538,000 Verscend Escrow Corporation 9.75% ^ 08/15/2026 584,066 255,000 ViaSat, Inc. 6.50% ^ 07/15/2028 276,358 85,000 Viking Cruises Ltd. 13.00% ^ 05/15/2025 101,734 605,000 Viking Cruises Ltd. 5.88% ^ 09/15/2027 592,812 130,000 Vine Oil & Gas Finance Corporation 8.75% ^ 04/15/2023 104,000 300,000 Viper Energy Partners LP 5.38% ^ 11/01/2027 314,007 285,000 Vizient, Inc. 6.25% ^ 05/15/2027 307,390 295,000 Waste Pro, Inc. 5.50% ^ 02/15/2026 302,494 14,000 Weatherford International Ltd. 11.00% ^ 12/01/2024 10,955 470,000 West Street Merger Sub, Inc. 6.38% ^ 09/01/2025 482,631 280,000 Western Midstream Operating LP 4.10% 02/01/2025 289,005 290,000 Western Midstream Operating LP 5.05% 02/01/2030 323,012 165,000 WeWork Cos, Inc. 7.88% ^ 05/01/2025 111,686 365,000 William Carter Company 5.63% ^ 03/15/2027 384,847 215,000 Wolverine Escrow LLC 9.00% ^ 11/15/2026 203,911 335,000 WPX Energy, Inc. 5.25% 10/15/2027 355,539 200,000 WPX Energy, Inc. 5.88% 06/15/2028 218,260 155,000 WPX Energy, Inc. 4.50% 01/15/2030 164,533 220,000 Wyndham Hotels & Resorts 4.38% ^ 08/15/2028 229,004 180,000 XHR LP 6.38% ^ 08/15/2025 190,238 120,000 Yum! Brands, Inc. 7.75% ^ 04/01/2025 133,050 285,000 Yum! Brands, Inc. 4.75% ^ 01/15/2030 312,930

Total US Corporate Bonds (Cost $86,714,458) 90,064,010

US Government and Agency Mortgage Backed Obligations - 3.0% 5,963,693 Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1 1.31% #I/O 03/25/2023 127,514 7,100,000 Federal Home Loan Mortgage Corporation, Series 2020-DNA2-B1 (1 Month LIBOR USD + 2.50%, 2.50% Floor) 2.65% ^ 02/25/2050 7,020,273 1,688,502 Federal Home Loan Mortgage Corporation, Series 3926-HS (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap) 6.29% I/F I/O 09/15/2041 323,617 232,556 Federal Home Loan Mortgage Corporation, Series 4390-NY 3.00% 06/15/2040 236,003 444,961 Federal Home Loan Mortgage Corporation, Series 4471-GA 3.00% 02/15/2044 466,842 261,320 Federal National Mortgage Association, Series 2015-59-A 3.00% 06/25/2041 262,922 14,980,641 Federal National Mortgage Association, Series 2017-11-SK (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) 5.90% I/F I/O 03/25/2047 3,429,494 76,204,977 Government National Mortgage Association, Series 2013-155-IB 0.05% #I/O 09/16/2053 535,020 17,349,610 Government National Mortgage Association, Series 2019-128-KS (-1 x 1 Month LIBOR USD + 2.85%, 2.85% Cap) 2.70% I/F I/O 10/20/2049 1,233,852 28,488,436 Government National Mortgage Association, Series 2020-115-SA (-1 x 1 Month LIBOR USD + 4.20%, 4.20% Cap) 4.05% I/F I/O 08/20/2050 4,536,798 19,797,795 Government National Mortgage Association, Series 2020-115-YS (-1 x 1 Month LIBOR USD + 4.20%, 4.20% Cap) 4.05% I/F I/O 08/20/2050 2,908,738 9,421,531 Government National Mortgage Association, Series 2020-140-SB (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) 6.00% I/F I/O 07/20/2050 2,247,020 51,070,228 Government National Mortgage Association, Series 2020-146-IJ 2.50% I/O 10/20/2050 5,607,123 21,000,000 Government National Mortgage Association, Series 2020-189-SU (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) 6.15% I/F I/O 12/20/2050 5,053,125

Total US Government and Agency Mortgage Backed Obligations (Cost $36,657,976) 33,988,341

Affiliated Mutual Funds - 4.4% 4,606,536 DoubleLine Global Bond Fund (Class I) 49,704,525

Total Affiliated Mutual Funds (Cost $46,429,210) 49,704,525

Common Stocks - 0.1% 15,858 Foresight Equity * Þ 277,671 5,568 Frontera Energy Corporation 14,367 9,088 McDermott International Ltd. * 7,361 5,054 Oasis Petroleum, Inc.* 187,301 5,789 Tapstone Energy Holdings III LLC * Þ 19,856 1,977 Weatherford International PLC * 11,862 8,717 Whiting Petroleum Corporation * 217,922

Total Common Stocks (Cost $1,156,864) 736,340

Warrants - 0.0% 29,269 OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00* Þ -

Total Warrants (Cost $–) -

Short Term Investments - 1.2% 4,549,581 First American Government Obligations Fund - Class U 0.04% ¨ 4,549,581 4,551,651 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ 4,551,651 4,551,651 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 4,551,651

Total Short Term Investments (Cost $13,652,883) 13,652,883

Total Investments - 100.1% (Cost $1,145,076,131) 1,117,955,483 Liabilities in Excess of Other Assets - (0.1)% (1,368,722)

NET ASSETS - 100.0% $ 1,116,586,761

^ 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.

Þ Value determined using significant unobservable inputs.

§ The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2020.

P/O Principal only security

# 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 December 31, 2020.

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

accrued.

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.

† Perpetual Maturity

± 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 disclosed is as of December 31, 2020.

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.

* Non-income producing security

¨ Seven-day yield as of December 31, 2020

@ 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 December 31, 2020.

D This mortgage-backed bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of December 31, 2020.

& Unfunded or partially unfunded loan commitment. At December 31, 2020, the value of these

securities amounted to $36,523 or 0.0% of net assets.

BRL Brazilian Real SECURITY TYPE BREAKDOWN as a % of Net Assets:

Non-Agency Residential Collateralized Mortgage Obligations 22.8% Collateralized Loan Obligations 20.4% Non-Agency Commercial Mortgage Backed Obligations 14.4% Foreign Corporate Bonds 11.0% US Corporate Bonds 8.1% Asset Backed Obligations 6.9% Bank Loans 6.2% Affiliated Mutual Funds 4.4% US Government and Agency Mortgage Backed Obligations 3.0% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.6% Short Term Investments 1.2% Common Stocks 0.1% Warrants 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:

Non-Agency Residential Collateralized Mortgage Obligations 22.8% Collateralized Loan Obligations 20.4% Non-Agency Commercial Mortgage Backed Obligations 14.4% Asset Backed Obligations 6.9% Affiliated Mutual Funds 4.4% Banking 3.3% US Government and Agency Mortgage Backed Obligations 3.0% Energy 2.9% Utilities 2.1% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.6% Healthcare 1.5% Finance 1.4% Short Term Investments 1.2% Media 1.2% Electronics/Electric 1.1% Business Equipment and Services 0.8% Telecommunications 0.8% Technology 0.7% Hotels/Motels/Inns and Casinos 0.7% Leisure 0.7% Transportation 0.6% Retailers (other than Food/Drug) 0.6% Food Products 0.6% Automotive 0.5% Building and Development (including Steel/Metals) 0.5% Chemicals/Plastics 0.5% Mining 0.4% Food Service 0.4% Insurance 0.4% Construction 0.4% Chemical Products 0.4% Commercial Services 0.4% Aerospace & Defense 0.4% Pharmaceuticals 0.3% Industrial Equipment 0.3% Containers and Glass Products 0.3% Diversified Manufacturing 0.2% Food/Drug Retailers 0.2% Environmental Control 0.2% Consumer Products 0.2% Pulp & Paper 0.1% Conglomerates 0.1% Financial Intermediaries 0.1% Real Estate 0.1% Cosmetics/Toiletries 0.0% ~ Beverage and Tobacco 0.0% ~ Other Assets and Liabilities (0.1)%

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 December 31, 2020 is as follows:

Change in Unrealized for the Dividend Income Net Realized Shares Period Earned in the Gain (Loss) in Value at Held at Value at Ended Period the Period March 31, Gross Gross December 31, December 31, December 31, Ended Ended Fund 2020 Purchases Sales 2020 2020 2020 December 31, 2020 December 31, 2020 DoubleLine Global Bond Fund (Class I) $105,830,380 $ - $(61,000,000) 4,606,536 $ 49,704,525 $ 3,862,978 $ 785,645 $ 1,011,167

$105,830,380 $ - $(61,000,000) 4,606,536 $ 49,704,525 $ 3,862,978 $ 785,645 $ 1,011,167

DoubleLine Low Duration Emerging Markets Fixed Income Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Foreign Corporate Bonds - 70.0% Brazil - 2.2% 3,200,000 Banco Bradesco S.A. 5.90% 01/16/2021 3,202,432 800,000 Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%) 7.75% ^ 02/15/2029 872,208 105,102 Invepar Holdings 0.00% WÞ 12/30/2028 4,494 1,600,000 Itau Unibanco Holding S.A. 5.75% 01/22/2021 1,602,616 200,000 Itau Unibanco Holding S.A. 6.20% 12/21/2021 209,352

5,891,102

Chile - 8.0% 200,000 AES Gener S.A. 5.00% 07/14/2025 212,000 600,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% ^ 03/26/2079 667,500 700,000 AES Gener S.A. (5 Year Swap Rate USD + 4.64%) 7.13% 03/26/2079 778,750 300,000 Colbun S.A. 4.50% 07/10/2024 332,217 739,000 Empresa Electrica Angamos S.A. 4.88% 05/25/2029 741,631 1,150,000 Empresa Electrica Guacolda S.A. 4.56% 04/30/2025 1,037,932 5,800,000 Enel Generacion Chile S.A. 4.25% 04/15/2024 6,315,040 700,000 Geopark Ltd. 6.50% 09/21/2024 728,000 2,185,000 Inversiones CMPC S.A. 4.50% 04/25/2022 2,280,080 1,900,000 Latam Finance Ltd. 6.88% W 04/11/2024 973,750 2,263,000 SACI Falabella 3.75% 04/30/2023 2,388,738 4,700,000 Telefonica Chile S.A. 3.88% 10/12/2022 4,932,110

21,387,748

China - 6.5% 2,100,000 Alibaba Group Holding Ltd. 2.80% 06/06/2023 2,210,558 900,000 Baidu, Inc. 3.50% 11/28/2022 945,832 1,800,000 Baidu, Inc. 3.88% 09/29/2023 1,942,852 1,450,000 CNPC General Capital Ltd. 3.95% 04/19/2022 1,504,678 900,000 CNPC Overseas Capital Ltd. 4.50% 04/28/2021 909,144 200,000 ENN Energy Holdings Ltd. 3.25% 07/24/2022 205,674 2,100,000 JD.com, Inc. 3.13% 04/29/2021 2,114,568 1,100,000 Sinopec Group Overseas Development Ltd. 2.15% 05/13/2025 1,134,220 700,000 Sinopec Group Overseas Development Ltd. 2.00% ^ 09/29/2021 704,919 600,000 Sinopec Group Overseas Development Ltd. 2.00% 09/29/2021 604,216 1,300,000 State Grid Overseas Investment Ltd. 1.00% 08/05/2025 1,291,102 800,000 State Grid Overseas Investment Ltd. 3.13% 05/22/2023 841,640 305,000 Tencent Holdings Ltd. 3.28% 04/11/2024 325,178 2,700,000 Tencent Holdings Ltd. 1.81% ^ 01/26/2026 2,763,499

17,498,080

Colombia - 1.5% 1,100,000 Grupo Aval Ltd. 4.75% 09/26/2022 1,153,746 1,300,000 GrupoSura Finance S.A. 5.70% 05/18/2021 1,330,713 1,400,000 Tecnoglass, Inc. 8.20% 01/31/2022 1,464,435

3,948,894

Dominican Republic - 0.7% 917,000 AES Dominicana 7.95% 05/11/2026 950,241 900,000 Banco de Reservas de la Republica Dominicana 7.00% 02/01/2023 942,750

1,892,991

Guatemala - 0.1% 368,000 Industrial Senior Trust 5.50% 11/01/2022 389,979

389,979

Hong Kong - 1.3% 3,300,000 HPHT Finance Ltd. 2.88% 11/05/2024 3,452,229

3,452,229

India - 6.0% 2,500,000 Adani Ports & Special Economic Zone Ltd. 3.95% 01/19/2022 2,558,661 600,000 Adani Ports & Special Economic Zone Ltd. 3.38% 07/24/2024 624,950 2,805,000 Indian Oil Corporation Ltd. 5.63% 08/02/2021 2,881,219 3,937,000 ONGC Videsh Ltd. 2.88% 01/27/2022 3,992,899 700,000 ONGC Videsh Ltd. 3.75% 05/07/2023 733,478 4,400,000 Reliance Industries Ltd. 5.40% 02/14/2022 4,609,229 900,000 Vedanta Resources Ltd. 7.13% 05/31/2023 740,700

16,141,136

Indonesia - 0.7% 1,800,000 Perusahaan Listrik Negara PT 5.50% 11/22/2021 1,882,125

1,882,125

Israel - 0.1% 300,000 Israel Electric Corporation Ltd. 6.88% 06/21/2023 341,223

341,223

Jamaica - 0.1% 54,010 Digicel Group Ltd. (PIK 7.00%) 7.00% ^† 01/19/2021 15,123 326,969 Digicel Group Ltd. (PIK 8.00%) 8.00% ^ 04/01/2025 171,659

186,782

Korea - 13.2% 1,500,000 Korea Development Bank 1.25% 06/03/2025 1,534,544 1,200,000 Korea Development Bank 0.80% 04/27/2026 1,205,725 3,431,000 Korea East-West Power Company Ltd. 1.75% 05/06/2025 3,587,348 1,700,000 Korea East-West Power Company Ltd. 1.75%^ 05/06/2025 1,777,467 1,500,000 Korea Electric Power Corporation 1.13%^ 06/15/2025 1,526,126 4,600,000 Korea Electric Power Corporation 1.13% 06/15/2025 4,680,118 5,400,000 KT Corporation 1.00% 09/01/2025 5,434,101 4,200,000 LG Chem Ltd. 3.25% 10/15/2024 4,548,172 2,100,000 NongHyup Bank 1.25% ^ 07/20/2025 2,141,308 3,000,000 NongHyup Bank 1.25% 07/20/2025 3,059,011 1,600,000 POSCO 2.38% 11/12/2022 1,646,531 3,600,000 POSCO 2.38% 01/17/2023 3,713,762 500,000 POSCO 2.75% 07/15/2024 529,270

35,383,483

Kuwait - 1.3% 400,000 Equate Petrochemical B.V. 4.25% 11/03/2026 447,014 2,600,000 MEGlobal Canada ULC 5.00% ^ 05/18/2025 2,931,942

3,378,956

Malaysia - 2.0% 200,000 CIMB Bank BHD 3.26% 03/15/2022 205,392 2,485,000 Malayan Banking BHD (5 Year Swap Rate USD + 2.54%) 3.91% 10/29/2026 2,536,825 2,488,000 Petronas Capital Ltd. 3.13% 03/18/2022 2,567,368

5,309,585

Mexico - 8.3% 3,700,000 Banco Mercantil del Norte S.A. (5 Year CMT Rate + 5.04%) 6.88% † 07/06/2022 3,917,375 4,200,000 Banco Nacional de Comercio Exterior S.N.C. (5 Year CMT Rate + 3.00%) 3.80% 08/11/2026 4,225,494 2,000,000 Banco Santander Mexico S.A. 5.38% ^ 04/17/2025 2,300,230 2,000,000 BBVA Bancomer S.A. 6.50% 03/10/2021 2,024,000 600,000 BBVA Bancomer S.A. 6.75% 09/30/2022 649,200 1,000,000 BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%) 5.35% 11/12/2029 1,067,500 3,650,000 Cemex S.A.B. de C.V. 7.75% 04/16/2026 3,853,487 300,000 Grupo Bimbo S.A.B. de C.V. 4.50% 01/25/2022 312,109 800,000 Grupo Bimbo S.A.B. de C.V. (5 Year CMT Rate + 3.28%) 5.95% † 04/17/2023 861,608 1,750,000 Unifin Financiera S.A.B. de C.V. 7.25% 09/27/2023 1,699,705 1,500,000 Unifin Financiera S.A.B. de C.V. 7.00% 01/15/2025 1,431,578

22,342,286

Panama - 4.4% 1,850,000 Banistmo S.A. 3.65% 09/19/2022 1,902,281 1,100,000 C&W Senior Financing DAC 7.50% 10/15/2026 1,173,452 2,739,038 ENA Norte Trust 4.95% 04/25/2023 2,821,209 1,700,000 Global Bank Corporation 4.50% 10/20/2021 1,738,675 2,400,000 Multibank, Inc. 4.38% 11/09/2022 2,482,860 616,678 Panama Metro Line SP 0.00% ^ 12/05/2022 602,032 1,053,561 Panama Metro Line SP 0.00% 12/05/2022 1,028,539

11,749,048

Paraguay - 0.2% 600,000 Banco Continental SAECA 2.75% ^ 12/10/2025 598,500

598,500

Peru - 3.2% 3,400,000 Banco de Credito del Peru (3 Month LIBOR USD + 7.04%) 6.13% 04/24/2027 3,608,284 1,735,000 BBVA Banco Continental S.A. 5.00% 08/26/2022 1,852,364 500,000 Credicorp Ltd. 2.75% ^ 06/17/2025 520,750 1,928,676 Fenix Power Peru SA 4.32% 09/20/2027 2,034,406 499,669 Interoceanica Finance Ltd. 0.00% 11/30/2025 478,121

8,493,925

Philippines - 1.1% 1,000,000 Bank of the Philippine Islands 2.50% 09/10/2024 1,039,375 500,000 BDO Unibank, Inc. 2.63% 10/24/2021 507,798 1,250,000 BDO Unibank, Inc. 2.95% 03/06/2023 1,300,634

2,847,807

Saudi Arabia - 0.8% 1,600,000 Saudi Arabian Oil Company 2.75% 04/16/2022 1,644,341 500,000 Saudi Arabian Oil Company 1.25% ^ 11/24/2023 506,606

2,150,947

Singapore - 7.7% 400,000 DBS Group Holdings Ltd. (5 Year Mid Swap Rate USD + 1.59%) 4.52% 12/11/2028 438,082 3,100,000 DBS Group Holdings Ltd. (5 Year Swap Rate USD + 2.39%) 3.60% † 09/07/2021 3,135,541 200,000 Oversea-Chinese Banking Corporation Ltd. 4.25% 06/19/2024 219,360 1,000,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% ^ 09/10/2030 1,016,635 2,800,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% 09/10/2030 2,846,580 300,000 PSA Treasury Pte Ltd. 2.50% 04/12/2026 321,985 1,100,000 SingTel Group Treasury Pte Ltd. 3.25% 06/30/2025 1,217,239 1,700,000 SingTel Group Treasury Pte Ltd. 2.38% 10/03/2026 1,836,971 3,250,000 Temasek Financial Ltd. 2.38% 01/23/2023 3,385,033 800,000 United Overseas Bank Ltd. (5 Year CMT Rate + 1.50%) 3.75% 04/15/2029 859,072 775,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.65%) 2.88% 03/08/2027 790,690 4,550,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 2.24%) 3.50% 09/16/2026 4,628,010

20,695,198

Thailand - 0.6% 1,200,000 Bangkok Bank PCL 3.88% 09/27/2022 1,262,602 300,000 Export Import Bank of Thailand (3 Month LIBOR USD + 0.90%) 1.12% 11/20/2023 300,974

1,563,576

Total Foreign Corporate Bonds (Cost $184,346,380) 187,525,600

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

Brazil - 2.4% 6,250,000 Brazilian Government International Bond 2.88% 06/06/2025 6,515,687

6,515,687

Colombia - 2.3% 5,500,000 Colombia Government International Bond 4.38% 07/12/2021 5,609,092 400,000 Colombia Government International Bond 2.63% 03/15/2023 414,458

6,023,550

Indonesia - 2.9% 2,005,000 Indonesia Government International Bond 4.88% 05/05/2021 2,034,995 2,805,000 Indonesia Government International Bond 3.70% 01/08/2022 2,896,164 200,000 Indonesia Government International Bond 3.75% 04/25/2022 208,508 200,000 Indonesia Government International Bond 2.95% 01/11/2023 208,994 200,000 Indonesia Government International Bond 3.38% 04/15/2023 212,502 1,500,000 Perusahaan Penerbit 3.30% 11/21/2022 1,578,278 300,000 Perusahaan Penerbit 3.40% 03/29/2022 310,696 200,000 Perusahaan Penerbit 3.75% 03/01/2023 213,471

7,663,608

Malaysia - 2.1% 4,400,000 Malaysia Sovereign Sukuk BHD 3.04% 04/22/2025 4,843,439 750,000 Wakala Global Sukuk BHD 4.65% 07/06/2021 765,678

5,609,117

Mexico - 0.8% 2,000,000 Mexico Government International Bond 3.90% 04/27/2025 2,247,240

2,247,240

Panama - 2.4% 3,950,000 Panama Government International Bond 4.00% 09/22/2024 4,379,563 1,800,000 Panama Government International Bond 3.75% 03/16/2025 1,997,811

6,377,374

Peru - 2.5% 6,300,000 Peruvian Government International Bond 2.39% 01/23/2026 6,731,613

6,731,613

Qatar - 0.9% 1,700,000 Qatar Government International Bond 2.38% 06/02/2021 1,714,382 700,000 Qatar Government International Bond 4.50% 01/20/2022 730,513

2,444,895

Saudi Arabia - 1.9% 2,500,000 Saudi Government International Bond 2.38% 10/26/2021 2,540,205 2,500,000 Saudi Government International Bond 2.88% 03/04/2023 2,620,900

5,161,105

United Arab Emirates - 1.1% 1,500,000 Abu Dhabi Government International Bond 0.75% ^ 09/02/2023 1,504,725 1,300,000 Abu Dhabi Government International Bond 2.50% ^ 04/16/2025 1,391,117

2,895,842

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $50,315,048) 51,670,031

Common Stocks - 0.0% 21,248 Frontera Energy Corporation 54,821

Total Common Stocks (Cost $1,923,481) 54,821

Warrants - 0.0% 87,695 OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00* Þ -

Total Warrants (Cost $–) -

Short Term Investments - 9.5% 8,448,020 First American Government Obligations Fund - Class U 0.04% ¨ 8,448,020 8,448,020 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ 8,448,020 8,448,020 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 8,448,020

Total Short Term Investments (Cost $25,344,060) 25,344,060

Total Investments - 98.8% (Cost $261,928,969) 264,594,512 Other Assets in Excess of Liabilities - 1.2% 3,159,718

NET ASSETS - 100.0% $ 267,754,230

^ 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.

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.

† Perpetual Maturity

* Non-income producing security

¨ Seven-day yield as of December 31, 2020

BRL Brazilian Real

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. SECURITY TYPE BREAKDOWN as a % of Net Assets:

Foreign Corporate Bonds 70.0% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 19.3% Short Term Investments 9.5% Common Stocks 0.0% ~ Warrants 0.0% ~ Other Assets and Liabilities 1.2%

100.0%

~ Represents less than 0.05% of net assets

INVESTMENT BREAKDOWN as a % of Net Assets:

Banking 23.4% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 19.3% Utilities 10.8% Short Term Investments 9.5% Energy 8.4% Telecommunications 5.5% Transportation 4.9% Building and Development (including Steel/Metals) 4.2% Finance 3.6% Technology 3.1% Chemicals/Plastics 1.7% Retailers (other than Food/Drug) 1.7% Chemical Products 1.3% Pulp & Paper 0.8% Consumer Products 0.3% Mining 0.3% Construction 0.0% ~ Other Assets and Liabilities 1.2%

100.0%

~ Represents less than 0.05% of net assets

COUNTRY BREAKDOWN as a % of Net Assets:

Korea 13.2% United States 9.5% Mexico 9.1% Chile 8.0% Singapore 7.7% Panama 6.8% China 6.5% India 6.0% Peru 5.7% Brazil 4.6% Malaysia 4.1% Colombia 3.8% Indonesia 3.6% Saudi Arabia 2.7% Hong Kong 1.3% Kuwait 1.3% United Arab Emirates 1.1% Philippines 1.1% Qatar 0.9% Dominican Republic 0.7% Thailand 0.6% Paraguay 0.2% Guatemala 0.1% Israel 0.1% Jamaica 0.1% Other Assets and Liabilities 1.2%

100.0%

DoubleLine Long Duration Total Return Bond Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ US Government and Agency Mortgage Backed Obligations - 75.0% 1,884,268 Federal Home Loan Mortgage Corporation, Series 4057-ZB 3.50% > 06/15/2042 2,096,831 1,884,268 Federal Home Loan Mortgage Corporation, Series 4057-ZC 3.50% > 06/15/2042 2,039,858 1,258,239 Federal Home Loan Mortgage Corporation, Series 4194-ZL 3.00% > 04/15/2043 1,390,576 2,012,765 Federal Home Loan Mortgage Corporation, Series 4204-QZ 3.00% 05/15/2043 2,046,524 1,955,206 Federal Home Loan Mortgage Corporation, Series 4206-LZ 3.50% > 05/15/2043 2,263,739 374,655 Federal Home Loan Mortgage Corporation, Series 4226-GZ 3.00% > 07/15/2043 397,373 2,701,324 Federal Home Loan Mortgage Corporation, Series 4390-NZ 3.00% > 09/15/2044 2,949,507 2,393,897 Federal Home Loan Mortgage Corporation, Series 4417-PZ 3.00% > 12/15/2044 2,502,302 3,195,505 Federal Home Loan Mortgage Corporation, Series 4420-CZ 3.00% > 12/15/2044 3,317,478 2,313,656 Federal Home Loan Mortgage Corporation, Series 4440-ZD 2.50% > 02/15/2045 2,448,278 1,061,513 Federal Home Loan Mortgage Corporation, Series 4460-KB 3.50% 03/15/2045 1,182,498 2,370,107 Federal Home Loan Mortgage Corporation, Series 4461-LZ 3.00% > 03/15/2045 2,505,061 1,000,000 Federal National Mortgage Association, Pool AN7330 3.26% 12/01/2037 1,176,325 1,188,386 Federal National Mortgage Association, Pool AN7884 3.31% 12/01/2032 1,380,879 1,651,336 Federal National Mortgage Association, Series 2012-128-UC 2.50% 11/25/2042 1,700,749 1,884,268 Federal National Mortgage Association, Series 2012-68-ZA 3.50% > 07/25/2042 2,038,411 2,683,983 Federal National Mortgage Association, Series 2012-92-AZ 3.50% > 08/25/2042 2,913,698 3,449,498 Federal National Mortgage Association, Series 2013-127-MZ 3.00% > 12/25/2043 3,730,562 581,692 Federal National Mortgage Association, Series 2013-66-ZK 3.00% > 07/25/2043 653,483 119,894 Federal National Mortgage Association, Series 2013-72-ZL 3.50% 07/25/2043 124,736 1,949,520 Federal National Mortgage Association, Series 2013-74-ZH 3.50% > 07/25/2043 2,170,860 1,404,395 Federal National Mortgage Association, Series 2014-42-BZ 3.00% > 07/25/2044 1,522,959 1,500,000 Federal National Mortgage Association, Series 2014-67-HD 3.00% 10/25/2044 1,644,826 904,000 Federal National Mortgage Association, Series 2014-68-TD 3.00% 11/25/2044 960,017 2,798,527 Federal National Mortgage Association, Series 2014-80-DZ 3.00% > 12/25/2044 3,063,307 858,114 Federal National Mortgage Association, Series 2014-80-KL 2.00% 05/25/2043 849,807 3,463,268 Federal National Mortgage Association, Series 2015-16-ZY 2.50% > 04/25/2045 3,687,846 3,105,489 Federal National Mortgage Association, Series 2015-52-GZ 3.00% > 07/25/2045 3,361,270 661,835 Federal National Mortgage Association, Series 2018-21-PO 0.00% P/O 04/25/2048 610,945 2,573,912 Federal National Mortgage Association, Series 2019-68-ZL 2.50% > 11/25/2049 2,710,727 374,027 Government National Mortgage Association, Series 2013-180-LO 0.00% P/O 11/16/2043 323,473 3,574,147 Government National Mortgage Association, Series 2015-53-EZ 2.00% > 04/16/2045 3,502,641 3,212,401 Government National Mortgage Association, Series 2015-79-VZ 2.50% > 05/20/2045 3,366,981 313,122 Government National Mortgage Association, Series 2016-12-MZ 3.00% > 01/20/2046 342,427

Total US Government and Agency Mortgage Backed Obligations (Cost $59,896,556) 66,976,954

US Government and Agency Obligations - 17.7% 1,000,000 United States Treasury Notes 1.50% 02/15/2030 1,057,461 1,000,000 United States Treasury Notes 3.00% 02/15/2047 1,305,390 14,850,000 United States Treasury Notes 1.25% 05/15/2050 13,445,051

Total US Government and Agency Obligations (Cost $16,733,606) 15,807,902

Short Term Investments - 5.6% 1,682,529 First American Government Obligations Fund - Class U 0.04% ¨ 1,682,529 1,682,529 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ 1,682,529 1,682,529 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 1,682,529

Total Short Term Investments (Cost $5,047,587) 5,047,587

Total Investments - 98.3% (Cost $81,677,749) 87,832,443 Other Assets in Excess of Liabilities - 1.7% 1,556,168

NET ASSETS - 100.0% $ 89,388,611

> This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of December 31, 2020.

P/O Principal only security

¨ Seven-day yield as of December 31, 2020 SECURITY TYPE BREAKDOWN as a % of Net Assets:

US Government and Agency Mortgage Backed Obligations 75.0% US Government and Agency Obligations 17.7% Short Term Investments 5.6% Other Assets and Liabilities 1.7%

100.0%

FUTURES CONTRACTS

Value/Unrealized Contract Expiration Notional Appreciation Description Long/Short Quantity Date Amount • (Depreciation) 10-Year US Treasury Note Future Long 280 03/22/2021 48,492,500 $ (11,797) CME Ultra Long Term US Treasury Bond Future Long 40 03/22/2021 8,542,500 (37,585) US Treasury Long Bond Future Short (71) 03/22/2021 (9,803,547) (418,406)

$ (467,788)

• 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 December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Short Term Investments - 94.5% 1,573,443 First American Government Obligations Fund - Class U 0.04% ¨ᴥ 1,573,443 1,573,443 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ᴥ 1,573,443 1,573,443 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ᴥ 1,573,443 1,500,000 United States Cash Management Bill 0.00% 02/02/2021 1,499,920 40,000,000 United States Treasury Bills 0.00% 02/25/2021 39,996,678 14,500,000 United States Treasury Bills 0.00% ‡ᴥ 04/22/2021 14,496,955 30,000,000 United States Treasury Bills 0.00% ‡ᴥ 06/17/2021 29,990,092 5,000,000 United States Treasury Bills 0.00% ‡ᴥ 07/15/2021 4,998,034 12,000,000 United States Treasury Bills 0.00% 09/09/2021 11,993,676 23,000,000 United States Treasury Bills 0.00% ᴥ 12/02/2021 22,981,122

Total Short Term Investments (Cost $130,627,767) 130,676,806

Total Investments - 94.5% (Cost $130,627,767) 130,676,806 Other Assets in Excess of Liabilities - 5.5% 7,608,261

NET ASSETS - 100.0% $ 138,285,067

Seven-day yield as of December 31, 2020

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. SECURITY TYPE BREAKDOWN as a % of Net Assets:

Short Term Investments 94.5% Other Assets and Liabilities 5.5%

100.0%

EXCESS RETURN SWAPS

Unrealized Appreciation Long/ Financing Payment Termination Notional (Depreciation) / Reference Entity Counterparty Short Rate Frequency Date Amount Value Commodity Beta Basket Swap gᴥ Canadian Imperial Bank of Commerce Long 0.21% Termination 01/04/2021 45,000,000 $ 2,700,538 Commodity Beta Basket Swap gᴥ Bank of America Merrill Lynch Long 0.23% Termination 01/04/2021 45,000,000 2,699,799 Commodity Beta Basket Swap gᴥ Barclays Capital, Inc. Long 0.20% Termination 01/04/2021 41,000,000 2,460,827

$ 7,861,164

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. g Commodity Beta Basket Swap represents a swap on a basket of commodity indices designed to approximate the broad commodity market. At December 31, 2020, all constituents and their weightings were as follows:

Value Contract of Index Ticker Value d Index Weightings Soybean Future S 1 Comdty S 1 0.35 $ 111 25.1% Electrolytic Copper Future LP1 Comdty LP1 0.20 108 24.4% Nickel Future LN1 Comdty LN1 0.20 67 15.1% Crude Oil Future CL1 Comdty CL1 0.09 33 7.5% Brent Crude Future CO1 Comdty CO1 0.09 33 7.3% Sugar No. 11 Future SB1 Comdty SB1 0.16 19 4.3% Live Cattle Future LC1 Comdty LC1 0.11 18 4.1% Cotton No. 2 Future CT1 Comdty CT1 0.32 16 3.7% Gasoline RBOB Future XB1 Comdty XB1 0.07 16 3.6% Low Sulphur Gas Oil Future QS1 Comdty QS1 0.10 13 2.9% NY Harbor ULSD Heating Oil Future HO1 Comdty HO1 0.09 9 2.0%

$ 443 100.0%

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 December 31, 2020 (Unaudited)

Principal Amount/ Shares Security Description Rate Maturity Value $ Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 67.1% Australia - 2.8% 6,450,000 AUD Australia Government Bond 2.75% 04/21/2024 5,406,362 20,980,000 AUD Australia Government Bond 3.25% 04/21/2025 18,251,735

23,658,097

Belgium - 4.7% 6,000,000 EUR Kingdom of Belgium Government Bond 0.80% ^ 06/22/2025 7,825,006 10,950,000 EUR Kingdom of Belgium Government Bond 1.00% ^ 06/22/2026 14,591,977 12,990,000 EUR Kingdom of Belgium Government Bond 0.90% ^ 06/22/2029 17,720,376

40,137,359

Canada - 2.1% 21,970,000 CAD Canadian Government Bond 1.50% 06/01/2023 17,799,169

17,799,169

Czech Republic - 1.5% 78,000,000 CZK Czech Republic Government Bond 5.70% 05/25/2024 4,286,123 179,400,000 CZK Czech Republic Government Bond 2.40% 09/17/2025 8,983,574

13,269,697

France - 7.9% 27,800,000 EUR France Government Bond 0.00% 11/25/2029 35,232,918 12,274,305 EUR France Government Bond 0.70% ^ 07/25/2030 18,214,305 4,600,000 EUR French Republic Government Bond 0.25% 11/25/2026 5,908,275 895,000 EUR French Republic Government Bond 1.00% 05/25/2027 1,206,287 5,200,000 EUR French Republic Government Bond 1.50% 05/25/2031 7,584,973

68,146,758

Germany - 3.8% 4,800,000 EUR Bundesrepublik Deutschland Bundesanleihe 0.00% 02/15/2030 6,195,253 20,700,000 EUR Bundesrepublik Deutschland Bundesanleihe 0.00% 08/15/2030 26,722,414

32,917,667

Ireland - 2.6% 1,625,000 EUR Ireland Government Bond 5.40% 03/13/2025 2,494,615 2,610,000 EUR Ireland Government Bond 1.00% 05/15/2026 3,466,026 9,150,000 EUR Ireland Government Bond 0.90% 05/15/2028 12,336,940 2,750,000 EUR Ireland Government Bond 1.10% 05/15/2029 3,794,561

22,092,142

Israel - 3.1% 36,630,000 ILS Israel Government Bond 4.25% 03/31/2023 12,456,366 42,520,000 ILS Israel Government Bond 2.00% 03/31/2027 14,529,624

26,985,990

Japan - 19.3% 2,300,000,000 JPY Japan Government Ten Year Bond 0.10% 03/20/2028 22,571,515 1,310,000,000 JPY Japan Government Ten Year Bond 0.10% 12/20/2028 12,855,160 513,200,000 JPY Japan Government Twenty Year Bond 2.10% 12/20/2027 5,733,484 910,000,000 JPY Japan Government Twenty Year Bond 1.90% 12/20/2028 10,194,961 1,740,000,000 JPY Japan Government Twenty Year Bond 1.90% 03/20/2031 20,046,519 280,000,000 JPY Japan Government Twenty Year Bond 1.60% 03/20/2033 3,195,863 1,600,000,000 JPY Japan Government Twenty Year Bond 1.60% 12/20/2033 18,364,675 1,915,000,000 JPY Japan Government Twenty Year Bond 1.50% 06/20/2034 21,804,631 995,000,000 JPY Japan Government Twenty Year Bond 1.30% 06/20/2035 11,123,593 2,040,000,000 JPY Japan Government Twenty Year Bond 1.20% 09/20/2035 22,546,704 1,740,000,000 JPY Japan Government Twenty Year Bond 0.50% 03/20/2038 17,357,348

165,794,453

Mexico - 2.3% 60,000 MXN Mexican Bonos 8.00% ἄ 09/05/2024 337,332 1,391,000 MXN Mexican Bonos 8.50% ἄ 05/31/2029 8,527,254 1,779,000 MXN Mexican Bonos 7.75% ἄ 05/29/2031 10,512,545

19,377,131

New Zealand - 3.1% 33,960,000 NZD New Zealand Government Bond 2.75% 04/15/2025 26,879,114

26,879,114

Peru - 2.1% 32,130,000 PEN Peruvian Government International Bond 6.95% ^ 08/12/2031 11,554,431 20,065,000 PEN Peruvian Government International Bond 5.40% ^ 08/12/2034 6,120,372

17,674,803

Poland - 1.7% 32,850,000 PLN Republic of Poland Government Bond 2.50% 01/25/2023 9,239,112 17,560,000 PLN Republic of Poland Government Bond 3.25% 07/25/2025 5,308,556

14,547,668

Portugal - 4.1% 4,150,000 EUR Portugal Obrigacoes do Tesouro OT 2.88% ^ 10/15/2025 5,883,456 3,630,000 EUR Portugal Obrigacoes do Tesouro OT 1.95% ^ 06/15/2029 5,206,114 18,700,000 EUR Portugal Obrigacoes do Tesouro OT 0.48% ^ 10/18/2030 23,843,774

34,933,344

South Africa - 1.0% 21,100,000 ZAR Republic of South Africa Government Bond 7.75% 02/28/2023 1,529,894 111,900,000 ZAR Republic of South Africa Government Bond 8.00% 01/31/2030 7,271,527

8,801,421

Spain - 5.0% 3,930,000 EUR Spain Government Bond 0.40% 04/30/2022 4,866,703 860,000 EUR Spain Government Bond 0.35% 07/30/2023 1,075,321 10,900,000 EUR Spain Government Bond 2.75% ^ 10/31/2024 14,996,372 1,000,000 EUR Spain Government Bond 1.60% ^ 04/30/2025 1,333,113 500,000 EUR Spain Government Bond 1.30% ^ 10/31/2026 671,223 9,550,000 EUR Spain Government Bond 0.60% ^ 10/31/2029 12,359,396 5,900,000 EUR Spain Government Bond 0.50% ^ 04/30/2030 7,556,104

42,858,232

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $523,836,983) 575,873,045

US Government and Agency Obligations - 28.1% United States - 28.1% 13,890,000 USD United States Treasury Notes 2.75% 05/31/2023 14,761,923 12,220,000 USD United States Treasury Notes 2.00% 06/30/2024 12,985,182 13,510,000 USD United States Treasury Notes 2.00% 02/15/2025 14,466,782 12,170,000 USD United States Treasury Notes 0.25% 07/31/2025 12,132,919 13,370,000 USD United States Treasury Notes 2.00% 08/15/2025 14,402,519 13,640,000 USD United States Treasury Notes 1.63% 11/30/2026 14,550,044 12,630,000 USD United States Treasury Notes 1.75% 12/31/2026 13,571,330 13,030,000 USD United States Treasury Notes 0.63% 03/31/2027 13,106,348 12,550,000 USD United States Treasury Notes 2.88% 05/15/2028 14,536,430 12,440,000 USD United States Treasury Notes 2.88% 08/15/2028 14,445,950 12,600,000 USD United States Treasury Notes 2.63% 02/15/2029 14,458,992 12,880,000 USD United States Treasury Notes 2.38% 05/15/2029 14,550,375 13,570,000 USD United States Treasury Notes 1.63% 08/15/2029 14,510,359 13,470,000 USD United States Treasury Notes 1.75% 11/15/2029 14,551,283 13,720,000 USD United States Treasury Notes 1.50% 02/15/2030 14,508,364 14,910,000 USD United States Treasury Notes 0.63% 05/15/2030 14,569,866 14,930,000 USD United States Treasury Notes 0.63% 08/15/2030 14,549,751

240,658,417

Total US Government and Agency Obligations (Cost $236,782,696) 240,658,417

Short Term Investments - 3.6% 9,825,954 First American Government Obligations Fund - Class U 0.04% ¨ 9,825,954 9,825,954 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ 9,825,954 9,825,954 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 9,825,954 1,210,000 USD United States Treasury Bills 0.00% 06/03/2021 1,209,634

Total Short Term Investments (Cost $30,687,418) 30,687,496

Total Investments - 98.8% (Cost $791,307,097) 847,218,958 Other Assets in Excess of Liabilities - 1.2% 10,075,375

NET ASSETS - 100.0% $ 857,294,333

^ 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.

¨ Seven-day yield as of December 31, 2020

ἄ Principal amount is stated in 100 Mexican Peso Units.

AUD Australian Dollar

EUR Euro

CAD Canadian Dollar

CZK Czech Republic Koruna

ILS Israeli Shekel

JPY Japanese Yen

MXN Mexican Peso

NZD New Zealand Dollar

PEN Peruvian Sol

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 67.1% US Government and Agency Obligations 28.1% Short Term Investments 3.6% Other Assets and Liabilities 1.2%

100.0%

COUNTRY BREAKDOWN as a % of Net Assets:

United States 31.7% Japan 19.3% France 7.9% Spain 5.0% Belgium 4.7% Portugal 4.1% Germany 3.8% Israel 3.1% New Zealand 3.1% Australia 2.8% Ireland 2.6% Mexico 2.3% Canada 2.1% Peru 2.1% Poland 1.7% Czech Republic 1.5% South Africa 1.0% Other Assets and Liabilities 1.2%

100.0%

DoubleLine Infrastructure Income Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Asset Backed Obligations - 37.5% 1,027,498 AASET Ltd., Series 2018-1A-A 3.84% ^ 01/16/2038 974,152 4,942,708 Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A-B 5.68% ^§ 12/16/2041 4,317,990 3,542,419 Castlelake Aircraft Securitization Trust, Series 2016-1-A 4.45% 08/15/2041 3,396,333 4,766,231 Castlelake Aircraft Securitization Trust, Series 2017-1-A 3.97% 07/15/2042 4,560,235 2,525,753 CLI Funding LLC, Series 2019-1A-A 3.71% ^ 05/18/2044 2,583,046 1,930,000 CLI Funding LLC, Series 2020-1A-A 2.08% ^ 09/18/2045 1,956,326 4,133,125 CLI Funding VI LLC, Series 2020-3A-A 2.07% ^ 10/18/2045 4,180,754 6,545,814 Falcon Aerospace Ltd., Series 2017-1-A 4.58% ^ 02/15/2042 6,395,751 3,609,706 GAIA Aviation Ltd., Series 2019-1-A 3.97% ^§ 12/15/2044 3,370,144 1,958,292 Global SC Finance SRL, Series 2014-1A-A1 3.19% ^ 07/17/2029 1,958,383 5,860,649 Goodgreen Trust, Series 2020-1A-A 2.63% ^ 04/15/2055 5,969,872 9,233,816 Harbour Aircraft Investments Ltd., Series 2017-1-A 4.00% 11/15/2037 8,811,258 14,786,539 Helios Issuer LLC, Series 2017-1A-A 4.94% ^ 09/20/2049 15,490,348 2,766,636 Helios Issuer LLC, Series 2020-AA-A 2.98% ^ 06/20/2047 2,889,495 26,628 HERO Funding Trust, Series 2015-2A-A 3.99% ^ 09/20/2040 28,236 813,528 HERO Funding Trust, Series 2016-3A-A2 3.91% ^ 09/20/2042 852,229 1,932,144 HERO Funding Trust, Series 2016-4A-A2 4.29% ^ 09/20/2047 2,053,759 5,159,821 Horizon Aircraft Finance Ltd., Series 2019-1-A 3.72% ^ 07/15/2039 4,943,661 2,250,000 InSite Issuer LLC, Series 2016-1A-B 4.56% ^ 11/15/2046 2,397,741 4,387,490 JOL Air Ltd., Series 2019-1-A 3.97% ^ 04/15/2044 4,242,207 7,800,767 Loanpal Solar Loan Ltd., Series 2020-3GS-A 2.47% ^ 12/20/2047 7,871,779 5,932,937 Mosaic Solar Loan Trust, Series 2017-1A-A 4.45% ^ 06/20/2042 6,395,901 2,850,445 Mosaic Solar Loan Trust, Series 2018-1A-A 4.01% ^ 06/22/2043 3,085,515 4,713,908 Mosaic Solar Loan Trust, Series 2019-2A-B 3.28% ^ 09/20/2040 4,890,634 4,463,715 Mosaic Solar Loan Trust, Series 2020-1A-A 2.10% ^ 04/20/2046 4,569,674 5,865,635 Mosaic Solar Loan Trust, Series 2020-2A-B 2.21% ^ 08/20/2046 5,837,571 5,191,797 NP SPE II LLC, Series 2019-2A-A1 2.86% ^ 11/19/2049 5,261,696 138,490 NP SPE LLC, Series 2016-1A-A1 4.16% ^ 04/20/2046 145,943 2,262,323 NP SPE LLC, Series 2017-1A-A1 3.37% ^ 10/21/2047 2,344,601 3,824,765 Raptor Aircraft Finance LLC, Series 2019-1-A 4.21% ^ 08/23/2044 3,314,679 8,050,000 SBA Tower Trust 3.17% ^ 04/11/2022 8,121,846 5,000,000 SBA Tower Trust 1.88% ^ 01/15/2026 5,161,639 161,650 Shenton Aircraft Investment Ltd., Series 2015-1A-A 4.75% ^ 10/15/2042 152,741 3,859,128 Sprite Ltd., Series 2017-1-A 4.25% ^ 12/15/2037 3,641,319 3,877,583 Stack Infrastructure Issuer LLC, Series 2019-1A-A2 4.54% ^ 02/25/2044 4,162,476 4,500,000 Stack Infrastructure Issuer LLC, Series 2019-2A-A2 3.08% ^ 10/25/2044 4,684,081 1,443,404 Start Ltd., Series 2018-1-A 4.09% ^ 05/15/2043 1,409,879 2,791,182 Sunnova Helios Issuer LLC, Series 2018-1A-A 4.87% ^ 07/20/2048 3,001,168 7,900,000 Sunnova Sol Issuer LLC, Series 2020-2A-A 2.73% ^ 11/01/2055 7,964,519 3,895,000 TAL Advantage VII LLC, Series 2020-1A-A 2.05% ^ 09/20/2045 3,941,245 866,667 Textainer Marine Containers Ltd., Series 2019-1A-A 3.96% ^ 04/20/2044 879,614 2,895,253 Textainer Marine Containers Ltd., Series 2020-1A-A 2.73% ^ 08/21/2045 2,985,602 2,930,168 Textainer Marine Containers Ltd., Series 2020-2A-A 2.10% ^ 09/20/2045 2,979,713 5,607,349 Thunderbolt Aircraft Lease Ltd., Series 2017-A-A 4.21% ^§ 05/17/2032 5,481,212 1,300,547 Thunderbolt Aircraft Lease Ltd., Series 2017-A-B 5.75% ^§ 05/17/2032 1,096,850 1,771,600 Thunderbolt Aircraft Lease Ltd., Series 2018-A-A 4.15% ^§ 09/15/2038 1,700,660 2,678,571 Thunderbolt Aircraft Lease Ltd., Series 2018-A-B 5.07% ^§ 09/15/2038 2,228,210 3,721,071 Trinity Rail Leasing LLC, Series 2010-1A-A 5.19% ^ 10/16/2040 3,940,370 1,714,526 Trinity Rail Leasing LLC, Series 2020-1A-A 1.96% ^ 10/17/2050 1,739,190 785,767 Trip Rail Master Funding LLC, Series 2017-1A-A1 2.71% ^ 08/15/2047 787,742 3,312,443 USQ Rail LLC, Series 2018-1-A1 3.78% ^ 04/27/2048 3,416,207 5,500,000 Vantage Data Centers Issuer LLC, Series 2020-2A-A2 1.99% ^ 09/15/2045 5,558,954 6,000,000 VB-S1 Issuer LLC, Series 2018-1A-C 3.41% ^ 02/15/2048 6,173,836 4,000,000 VB-S1 Issuer LLC, Series 2020-1A-C2 3.03% ^ 06/15/2050 4,203,034 4,799,437 Vivint Colar Financing LLC, Series 2018-1A-A 4.73% ^ 04/30/2048 5,279,972 2,848,538 WAVE Trust, Series 2017-1A-A 3.84% ^ 11/15/2042 2,771,462 7,529,489 Zephyrus Capital Aviation Partners Ltd., Series 2018-1-A 4.61% ^ 10/15/2038 7,102,447

Total Asset Backed Obligations (Cost $224,413,489) 225,655,901

Bank Loans - 1.0% 1,760,000 Aligned Energy LLC 3.41% ±& 09/02/2023 1,760,000 4,240,000 Aligned Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 09/02/2023 4,240,000

Total Bank Loans (Cost $6,000,000) 6,000,000

Foreign Corporate Bonds - 12.1% 3,650,000 Adani Ports & Special Economic Zone Ltd. 4.00% ^ 07/30/2027 3,904,587 10,500,000 APT Pipelines Ltd. 4.25% ^ 07/15/2027 11,942,537 2,520,000 Delek & Avner Tamar Bond Ltd. 5.41% ^ 12/30/2025 2,650,476 2,000,000 Emirates SembCorp Water & Power Company PJSC 4.45% ^ 08/01/2035 2,392,500 3,507,000 Empresa de Transporte de Pasajeros Metro S.A. 5.00% ^ 01/25/2047 4,486,488 2,377,243 Energia Eolica S.A. 6.00% Þ 08/30/2034 2,692,227 2,855,531 Fermaca Enterprises S. de R.L. de C.V. 6.38% ^ 03/30/2038 3,330,976 1,555,713 Fermaca Enterprises S. de R.L. de C.V. 6.38% 03/30/2038 1,814,740 2,081,954 Interoceanica Finance Ltd. 0.00% ^ 11/30/2025 1,992,170 4,788,500 Interoceanica Finance Ltd. 0.00% 11/30/2025 4,581,996 3,640,000 Israel Electric Corporation Ltd. 5.00% ^ 11/12/2024 4,121,226 3,419,138 Lima Metro Finance Ltd. 5.88% ^ 07/05/2034 4,136,507 184,107 Lima Metro Finance Ltd. 5.88% 07/05/2034 222,735 1,629,911 Panama Metro Line SP 0.00% ^ 12/05/2022 1,591,201 4,216,000 Sydney Airport Finance Company Pty Ltd. 3.38% ^ 04/30/2025 4,552,576 2,440,000 Sydney Airport Finance Company Pty Ltd. 3.63% ^ 04/28/2026 2,681,254 6,175,000 TransCanada PipeLines Ltd. 4.25% 05/15/2028 7,295,111 840,000 Transelec S.A. 4.63% ^ 07/26/2023 910,883 500,000 Transelec S.A. 4.25% ^ 01/14/2025 554,323 6,000,000 Transelec S.A. 3.88% ^ 01/12/2029 6,786,420

Total Foreign Corporate Bonds (Cost $64,684,629) 72,640,933

US Corporate Bonds - 45.0% 6,383,000 Ameren Corporation 3.65% 02/15/2026 7,206,063 2,053,945 American Airlines, Inc. 3.25% 10/15/2028 1,875,907 2,732,374 American Airlines, Inc. 3.85% 02/15/2028 2,300,068 6,860,000 American Electric Power Company, Inc. 2.95% 12/15/2022 7,166,111 11,200,000 American Tower Corporation 4.40% 02/15/2026 12,985,205 700,000 American Tower Corporation 3.38% 10/15/2026 786,919 474,000 American Transmission Systems, Inc. 5.25% ^ 01/15/2022 494,143 7,515,000 American Water Capital Corporation 3.40% 03/01/2025 8,324,078 11,015,000 AT&T, Inc. 4.30% 12/15/2042 12,867,309 2,500,000 Connecticut Light & Power Company 3.20% 03/15/2027 2,808,691 1,157,000 Crown Castle International Corporation 3.70% 06/15/2026 1,304,450 5,716,000 Crown Castle International Corporation 3.65% 09/01/2027 6,460,117 3,500,000 Crown Castle International Corporation 2.25% 01/15/2031 3,633,132 9,000,000 Digital Realty Trust 3.70% 08/15/2027 10,346,390 10,250,000 Dominion Energy, Inc. 3.38% 04/01/2030 11,683,375 4,175,000 DTE Energy Company 2.85% 10/01/2026 4,587,780 5,000,000 DTE Energy Company 3.80% 03/15/2027 5,746,482 700,000 Duke Energy Corporation 3.15% 08/15/2027 782,003 8,655,000 Duquesne Light Holdings, Inc. 3.62% ^ 08/01/2027 9,584,065 8,450,000 Equinix, Inc. 2.15% 07/15/2030 8,608,156 8,635,000 Eversource Energy 2.80% 05/01/2023 9,065,166 7,266,000 Exelon Corporation 3.40% 04/15/2026 8,187,956 3,688,000 Exelon Corporation 4.05% 04/15/2030 4,368,448 2,250,000 FirstEnergy Corporation 2.25% 09/01/2030 2,177,994 10,000,000 ITC Holdings Corporation 3.25% 06/30/2026 11,140,131 6,873,000 Metropolitan Edison Company 4.00% ^ 04/15/2025 7,506,254 6,000,000 MPLX LP 4.00% 03/15/2028 6,904,688 7,069,000 NextEra Energy Capital Holdings, Inc. 3.63% 06/15/2023 7,552,538 5,000,000 NextEra Energy Capital Holdings, Inc. 2.25% 06/01/2030 5,245,702 4,500,000 NiSource, Inc. 3.49% 05/15/2027 5,107,888 4,900,000 NiSource, Inc. 3.60% 05/01/2030 5,676,101 7,220,000 Oncor Electric Delivery Company LLC 2.95% 04/01/2025 7,907,930 7,350,000 Sierra Pacific Power Company 2.60% 05/01/2026 7,990,714 10,000,000 Southern Company 3.70% 04/30/2030 11,591,752 6,000,000 Spectra Energy Partners LP 4.75% 03/15/2024 6,703,993 7,250,000 Sunoco Logistics Partners Operations LP 3.90% 07/15/2026 7,947,797 10,000,000 T-Mobile USA, Inc. 3.88% ^ 04/15/2030 11,592,600 5,032,000 Union Pacific Corporation 3.70% 03/01/2029 5,842,534 10,000,000 Verizon Communications, Inc. 3.15% 03/22/2030 11,217,429 6,417,000 Xcel Energy, Inc. 3.30% 06/01/2025 7,058,693

Total US Corporate Bonds (Cost $247,857,624) 270,336,752

Short Term Investments - 4.4% 8,887,170 First American Government Obligations Fund - Class U 0.04% ¨ 8,887,170 8,887,170 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ 8,887,170 8,887,170 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 8,887,170

Total Short Term Investments (Cost $26,661,510) 26,661,510

Total Investments - 100.0% (Cost $569,617,252) 601,295,096 Liabilities in Excess of Other Assets - (0.0%) (157,967)

NET ASSETS - 100.0% $ 601,137,129

^ 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.

§ The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2020.

Þ Value determined using significant unobservable inputs.

¨ Seven-day yield as of December 31, 2020

± 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 disclosed is as of December 31, 2020.

& Unfunded or partially unfunded loan commitment. At December 31, 2020, the value of these

securities amounted to $1,760,000 or 0.3% of net assets. SECURITY TYPE BREAKDOWN as a % of Net Assets:

US Corporate Bonds 45.0% Asset Backed Obligations 37.5% Foreign Corporate Bonds 12.1% Short Term Investments 4.4% Bank Loans 1.0% Other Assets and Liabilities (0.0)% ~

100.0%

~ Represents less than 0.05% of net assets INVESTMENT BREAKDOWN as a % of Net Assets:

Asset Backed Obligations 37.5% Utilities 27.7% Telecommunications 10.1% Energy 9.0% Transportation 6.5% Short Term Investments 4.4% Real Estate 1.7% Technology 1.4% Electronics/Electric 1.0% Aerospace & Defense 0.7% Other Assets and Liabilities (0.0)% ~

100.0%

~ Represents less than 0.05% of net assets

DoubleLine Ultra Short Bond Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Foreign Corporate Bonds - 25.5% 1,500,000 ANZ New Zealand International Ltd. 2.13% ^ 07/28/2021 1,515,450 3,500,000 Bank of Montreal (Secured Overnight Financing Rate + 0.68%) 0.78% 03/10/2023 3,531,224 2,500,000 Bank of Nova Scotia (Secured Overnight Financing Rate + 0.55%) 0.65% 09/15/2023 2,516,144 3,000,000 BMW Finance NV (3 Month LIBOR USD + 0.79%) 1.00% ^ 08/12/2022 3,025,457 1,000,000 Commonwealth Bank of Australia (3 Month LIBOR USD + 0.68%) 0.92% ^ 09/18/2022 1,010,166 1,500,000 Credit Agricole S.A. (3 Month LIBOR USD + 1.43%) 1.65% ^ 01/10/2022 1,516,768 3,500,000 Credit Suisse AG (Secured Overnight Financing Rate + 0.45%) 0.54% 02/04/2022 3,506,720 2,500,000 Daimler Finance North America LLC (3 Month LIBOR USD + 0.67%) 0.89% ^ 11/05/2021 2,511,150 1,000,000 Daimler Finance North America LLC (3 Month LIBOR USD + 0.88%) 1.09% ^ 02/22/2022 1,007,448 2,500,000 DNB Bank ASA (3 Month LIBOR USD + 0.62%) 0.85% ^ 12/02/2022 2,522,290 1,500,000 HSBC Holdings PLC 2.95% 05/25/2021 1,515,668 1,700,000 Mitsubishi UFJ Financial Group, Inc. (3 Month LIBOR USD + 0.74%) 0.97% 03/02/2023 1,712,278 3,000,000 Mizuho Financial Group, Inc. (3 Month LIBOR USD + 0.85%) 1.07% 09/13/2023 3,017,493 2,500,000 National Australia Bank Ltd. (3 Month LIBOR USD + 0.72%) 0.93% ^ 05/22/2022 2,519,852 1,000,000 National Australia Bank Ltd. (3 Month LIBOR USD + 0.89%) 1.11% 01/10/2022 1,008,064 2,300,000 Rabobank (3 Month LIBOR USD + 0.83%) 1.05% 01/10/2022 2,318,231 1,500,000 Reckitt Benckiser Treasury Services PLC (3 Month LIBOR USD + 0.56%) 0.80% ^ 06/24/2022 1,507,207 3,240,000 Royal Bank of Canada (3 Month LIBOR USD + 0.47%) 0.68% 04/29/2022 3,256,419 4,000,000 Santander UK PLC (3 Month LIBOR USD + 0.66%) 0.88% 11/15/2021 4,019,768 1,500,000 Siemens Financieringsmaatschappij N.V. (3 Month LIBOR USD + 0.61%) 0.83% ^ 03/16/2022 1,509,590 3,000,000 Sumitomo Mitsui Financial Group, Inc. (3 Month LIBOR USD + 0.78%) 1.00% 07/12/2022 3,024,000 500,000 Sumitomo Mitsui Financial Group, Inc. (3 Month LIBOR USD + 1.68%) 1.91% 03/09/2021 501,418 1,010,000 Total Capital International S.A. 2.75% 06/19/2021 1,021,865 2,000,000 UBS Group Funding Switzerland AG (3 Month LIBOR USD + 1.22%) 1.43% ^ 05/23/2023 2,023,355 2,000,000 UBS Group Funding Switzerland AG (3 Month LIBOR USD + 1.53%) 1.74% ^ 02/01/2022 2,030,237 2,000,000 Volkswagen Group of America Finance LLC (3 Month LIBOR USD + 0.86%) 1.10% ^ 09/24/2021 2,010,263 2,500,000 Volkswagen Group of America Finance LLC (3 Month LIBOR USD + 0.94%) 1.15% ^ 11/12/2021 2,518,391 1,000,000 Westpac Banking Corporation (3 Month LIBOR USD + 0.71%) 0.96% 06/28/2022 1,008,658

Total Foreign Corporate Bonds (Cost $58,883,475) 59,185,574

US Corporate Bonds - 38.8% 1,000,000 Allstate Corporation (3 Month LIBOR USD + 0.43%) 0.68% 03/29/2021 1,000,909 1,500,000 Allstate Corporation (3 Month LIBOR USD + 0.63%) 0.88% 03/29/2023 1,512,951 2,500,000 American Express Company 3.38% 05/17/2021 2,521,754 2,000,000 American Honda Finance Corporation (3 Month LIBOR USD + 0.29%) 0.52% 12/10/2021 2,004,166 1,000,000 American Honda Finance Corporation (3 Month LIBOR USD + 0.54%) 0.79% 06/27/2022 1,006,154 3,500,000 Bank of America Corporation (Secured Overnight Financing Rate + 0.73%) 0.82% 10/24/2024 3,529,975 3,500,000 Bristol-Myers Squibb Company (3 Month LIBOR USD + 0.38%) 0.60% 05/16/2022 3,512,776 2,500,000 Cargill, Inc. 3.05% ^ 04/19/2021 2,520,676 1,000,000 Caterpillar Financial Services Corporation 1.70% 08/09/2021 1,008,675 2,500,000 Caterpillar Financial Services Corporation (3 Month LIBOR USD + 0.59%) 0.82% 06/06/2022 2,514,827 1,000,000 Chevron Corporation 2.10% 05/16/2021 1,005,474 2,500,000 Cisco Systems, Inc. 2.20% 02/28/2021 2,507,812 1,000,000 Citibank NA (3 Month LIBOR USD + 0.60%) 0.82% 05/20/2022 1,001,924 1,000,000 Citigroup, Inc. (3 Month LIBOR USD + 1.43%) 1.66% 09/01/2023 1,017,274 1,000,000 Citigroup, Inc. (Secured Overnight Financing Rate + 0.87%) 0.96% 11/04/2022 1,005,408 2,000,000 ConocoPhillips Company (3 Month LIBOR USD + 0.90%) 1.12% 05/15/2022 2,014,901 3,500,000 Goldman Sachs Group, Inc. (3 Month LIBOR USD + 0.75%) 0.96% 02/23/2023 3,533,717 1,000,000 Honeywell International, Inc. (3 Month LIBOR USD + 0.23%) 0.46% 08/19/2022 1,001,095 1,000,000 Honeywell International, Inc. (3 Month LIBOR USD + 0.37%) 0.58% 08/08/2022 1,004,552 3,000,000 International Bank for Reconstruction & Development (Secured Overnight Financing Rate USD + 0.30%) 0.39% 08/06/2024 3,011,111 2,500,000 International Business Machines Corporation (3 Month LIBOR USD + 0.40%) 0.62% 05/13/2021 2,503,717 1,000,000 Jackson National Life Global Funding (3 Month LIBOR USD + 0.73%) 0.98% ^ 06/27/2022 1,009,249 2,500,000 Jackson National Life Global Funding (Secured Overnight Financing Rate + 0.60%) 0.69% ^ 01/06/2023 2,511,039 1,000,000 John Deere Capital Corporation (3 Month LIBOR USD + 0.48%) 0.71% 09/08/2022 1,005,585 1,000,000 John Deere Capital Corporation (3 Month LIBOR USD + 0.49%) 0.71% 06/13/2022 1,006,627 3,500,000 JPMorgan Chase & Company (3 Month LIBOR USD + 1.23%) 1.44% 10/24/2023 3,564,066 3,000,000 Metropolitan Life Global Funding I (Secured Overnight Financing Rate + 0.35%) 0.45% ^ 09/08/2022 3,004,307 3,335,000 Morgan Stanley (3 Month LIBOR USD + 1.40%) 1.61% 10/24/2023 3,399,223 500,000 New York Life Global Funding (3 Month LIBOR USD + 0.32%) 0.55% ^ 08/06/2021 500,807 2,000,000 New York Life Global Funding (3 Month LIBOR USD + 0.44%) 0.66% ^ 07/12/2022 2,012,692 3,000,000 Nissan Motor Acceptance Corporation (3 Month LIBOR USD + 0.52%) 0.74% ^ 03/15/2021 2,997,828 1,010,000 Oracle Corporation 2.80% 07/08/2021 1,023,394 2,750,000 Philip Morris International, Inc. 1.88% 02/25/2021 2,749,376 2,500,000 PNC Bank (3 Month LIBOR USD + 0.33%) 0.53% 02/24/2023 2,505,298 1,000,000 PNC Bank (3 Month LIBOR USD + 0.45%) 0.67% 07/22/2022 1,002,151 2,695,000 Qualcomm, Inc. (3 Month LIBOR USD + 0.73%) 0.94% 01/30/2023 2,728,593 2,500,000 Southern California Edison Company 3.88% 06/01/2021 2,513,841 1,000,000 SunTrust Bank (3 Month LIBOR USD + 0.59%) 0.81% 05/17/2022 1,006,252 3,000,000 Toyota Motor Credit Corporation (3 Month LIBOR USD + 0.48%) 0.71% 09/08/2022 3,018,540 2,500,000 Truist Bank (Secured Overnight Financing Rate + 0.73%) 0.83% 03/09/2023 2,521,162 2,136,000 UnitedHealth Group, Inc. 2.13% 03/15/2021 2,144,012 1,500,000 Walmart, Inc. 3.13% 06/23/2021 1,520,623 2,160,000 Walt Disney Company 4.50% 02/15/2021 2,170,105 1,000,000 Wells Fargo & Company (3 Month LIBOR USD + 0.93%) 1.14% 02/11/2022 1,000,864 2,500,000 Wells Fargo & Company (3 Month LIBOR USD + 1.23%) 1.44% 10/31/2023 2,539,968

Total US Corporate Bonds (Cost $89,886,335) 90,195,450

US Government and Agency Mortgage Backed Obligations - 3.9% 4,000,000 Federal Home Loan Banks (Secured Overnight Financing Rate + 0.05%) 0.14% 01/28/2021 4,000,158 5,000,000 Federal National Mortgage Association (Secured Overnight Financing Rate + 0.04%) 0.14% 01/29/2021 5,000,215

Total US Government and Agency Mortgage Backed Obligations (Cost $9,000,000) 9,000,373

Short Term Investments - 31.8% Commercial Paper - 31.6% 2,500,000 Arkansas Electric Coop Corporation 0.00% ^ 02/01/2021 2,499,698 1,500,000 Australia & New Zealand Banking Group Ltd. 0.00% ^ 05/24/2021 1,498,974 2,000,000 Canadian Imperial Bank of Commerce 0.00% ^ 04/30/2021 1,998,767 1,000,000 Chevron Corporation 0.00% ^ 03/11/2021 999,751 1,000,000 Chevron Corporation 0.00% ^ 05/11/2021 999,458 2,300,000 Coca Cola Company 0.00% ^ 01/14/2021 2,299,915 1,500,000 Commonwealth Bank of Australia 0.00% ^ 02/19/2021 1,499,719 1,000,000 Emerson Electric Company 0.00% ^ 01/15/2021 999,960 1,500,000 Emerson Electric Company 0.00% ^ 03/01/2021 1,499,687 1,500,000 Exxon Mobil Corporation 0.00% 02/26/2021 1,499,706 1,000,000 Exxon Mobil Corporation 0.00% 03/22/2021 999,703 1,000,000 Exxon Mobil Corporation 0.00% 04/12/2021 999,595 3,500,000 Henkel Corporation 0.00% ^ 03/05/2021 3,499,017 1,000,000 Honeywell International, Inc. 0.00% ^ 02/08/2021 999,872 1,000,000 Honeywell International, Inc. 0.00% ^ 05/20/2021 999,331 1,000,000 John Deere Capital Corporation 0.00% ^ 01/26/2021 999,943 2,000,000 Johnson & Johnson 0.00% ^ 06/01/2021 1,998,852 2,000,000 Koch Industries, Inc. 0.00% 01/26/2021 1,999,818 1,000,000 Koch Industries, Inc. 0.00% 04/05/2021 999,557 2,000,000 Komatsu Finance America, Inc. 0.00% ^ 01/05/2021 1,999,974 2,000,000 Komatsu Finance America, Inc. 0.00% ^ 02/10/2021 1,999,729 1,000,000 LVMH Moet Hennessy Lou Vuitton 0.00% ^ 07/01/2021 998,959 2,000,000 LVMH Moet Hennessy Lou Vuitton 0.00% ^ 07/12/2021 1,997,759 2,500,000 Macquarie Bank Ltd. 0.00% ^ 02/09/2021 2,499,411 1,000,000 Merck & Company, Inc. 0.00% ^ 01/19/2021 999,958 1,000,000 Metlife Short Term Funding LLC 0.00% ^ 02/22/2021 999,707 1,000,000 Nestle Captial Corporation 0.00% ^ 02/24/2021 999,873 2,500,000 Nestle Captial Corporation 0.00% ^ 03/01/2021 2,499,646 1,000,000 New York Life Capital Corporation 0.00% ^ 02/01/2021 999,897 1,500,000 Novartis Financial Corporation 0.00% ^ 04/16/2021 1,499,399 1,000,000 PACCAR Financial Corporation 0.00% 01/14/2021 999,963 2,000,000 PACCAR Financial Corporation 0.00% 01/21/2021 1,999,891 1,000,000 PACCAR Financial Corporation 0.00% 01/22/2021 999,940 1,000,000 PFIZER, Inc. 0.00% ^ 01/07/2021 999,985 2,000,000 Procter and Gamble Corporation 0.00% ^ 04/12/2021 1,999,348 1,000,000 Procter and Gamble Corporation 0.00% ^ 04/14/2021 999,659 1,032,000 Province of British Columbia 0.00% 01/20/2021 1,031,953 2,000,000 Province of British Columbia 0.00% 03/08/2021 1,999,516 1,000,000 Province of British Columbia 0.00% 03/22/2021 999,687 2,500,000 Roche Holding, Inc. 0.00% ^ 05/12/2021 2,498,634 3,000,000 Shell Finance International B.V. 0.00% ^ 05/25/2021 2,997,547 1,000,000 Siemens Capital Corporation, LLC 0.00% ^ 05/03/2021 999,604 1,500,000 Toronto-Dominion Bank 0.00% ^ 02/12/2021 1,499,663 1,500,000 Toronto-Dominion Bank 0.00% ^ 03/12/2021 1,499,382 1,000,000 Total Capital Canada Ltd. 0.00% ^ 01/21/2021 999,957 1,000,000 Total Capital Canada Ltd. 0.00% ^ 02/01/2021 999,893 2,000,000 Unilever Capital Corporation 0.00% ^ 01/11/2021 1,999,939 1,000,000 Unilever Capital Corporation 0.00% ^ 02/22/2021 999,840

73,310,036

Money Market Funds - 0.2% 148,417 First American Government Obligations Fund - Class U 0.04% ¨ 148,417 148,417 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ 148,417 148,417 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 148,417

445,251

Total Short Term Investments (Cost $73,751,010) 73,755,287

Total Investments - 100.0% (Cost $231,520,820) 232,136,684 Other Assets in Excess of Liabilities - 0.0% 89,289

NET ASSETS - 100.0% $ 232,225,973

^ 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.

¨ Seven-day yield as of December 31, 2020 SECURITY TYPE BREAKDOWN as a % of Net Assets:

US Corporate Bonds 38.8% Commercial Paper 31.6% Foreign Corporate Bonds 25.5% US Government and Agency Mortgage Backed Obligations 3.9% Money Market Funds 0.2% Other Assets and Liabilities 0.0% ~

100.0%

~ Represents less than 0.05% of net assets INVESTMENT BREAKDOWN as a % of Net Assets:

Banking 37.8% Automotive 10.4% Energy 7.6% Insurance 5.8% Pharmaceuticals 5.0% Diversified Manufacturing 4.7% Consumer Products 4.7% US Government and Agency Mortgage Backed Obligations 3.9% Technology 3.8% Construction 3.7% Food Products 3.6% Utilities 2.2% Retailers (other than Food/Drug) 1.9% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.7% Beverage and Tobacco 1.2% Media 0.9% Healthcare 0.9% Money Market Funds 0.2% Other Assets and Liabilities 0.0% ~

100.0%

~ Represents less than 0.05% of net assets

DoubleLine Shiller Enhanced International CAPE® Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Asset Backed Obligations - 2.2% 166,625 Global SC Finance SRL, Series 2014-1A-A1 3.19% ^ 07/17/2029 166,633 500,000 Navient Private Education Loan Trust, Series 2018-A-B 3.68% ^ 02/18/2042 510,725 250,000 SBA Tower Trust 3.17% ^ 04/11/2022 252,231

Total Asset Backed Obligations (Cost $913,647) 929,589

Collateralized Loan Obligations - 12.1% 498,782 AMMC Ltd., Series 2014-15A-ARR (3 Month LIBOR USD + 1.26%, 1.26% Floor) 1.50% ^ 01/15/2032 497,609 500,000 Anchorage Capital Ltd., Series 2015-6A-AR (3 Month LIBOR USD + 1.27%) 1.51% ^ 07/15/2030 500,306 249,597 Benefit Street Partners Ltd., Series 2013-IIIA-A1R (3 Month LIBOR USD + 1.25%) 1.47% ^ 07/20/2029 249,908 500,000 Crown Point Ltd., Series 2020-9A-A (3 Month LIBOR USD + 2.05%, 2.05% Floor) 2.28% ^ 07/14/2032 503,268 500,000 Crown Point Ltd., Series 2020-9A-B (3 Month LIBOR USD + 2.69%, 2.69% Floor) 2.92% ^ 07/14/2032 502,741 500,000 CVP Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.34%) 1.56% ^ 07/20/2030 500,347 500,000 Elmwood Ltd., Series 2020-1A-A (3 Month LIBOR USD + 1.24%, 1.24% Floor) 1.48% ^ 04/15/2033 500,873 500,000 Highbridge Loan Management Ltd., Series 3A-2014-CR (3 Month LIBOR USD + 3.60%) 3.82% ^ 07/18/2029 483,008 500,000 Steele Creek Ltd., Series 2015-1A-AR (3 Month LIBOR USD + 1.26%) 1.47% ^ 05/21/2029 498,466 500,000 Venture Ltd., Series 2017-29A-A (3 Month LIBOR USD + 1.28%) 1.50% ^ 09/07/2030 499,996 500,000 Wind River Ltd., Series 2014-2A-AR (3 Month LIBOR USD + 1.14%, 1.14% Floor) 1.38% ^ 01/15/2031 499,023

Total Collateralized Loan Obligations (Cost $5,231,494) 5,235,545

Foreign Corporate Bonds - 5.0% 55,000 AstraZeneca PLC 3.50% 08/17/2023 59,300 40,000 Avolon Holdings Funding Ltd. 3.63% ^ 05/01/2022 40,877 150,000 Banco Continental SAECA 2.75% ^ 12/10/2025 149,625 100,000 Banco de Credito del Peru (3 Month LIBOR USD + 7.04%) 6.13% 04/24/2027 106,126 150,000 Banco de Reservas de la Republica Dominicana 7.00% 02/01/2023 157,125 55,000 Bank of Nova Scotia 0.55% 09/15/2023 55,232 60,000 BAT International Finance PLC 1.67% 03/25/2026 61,448 200,000 CIMB Bank BHD 3.26% 03/15/2022 205,392 147,800 Empresa Electrica Angamos S.A. 4.88% 05/25/2029 148,326 200,000 HPHT Finance Ltd. 2.88% 11/05/2024 209,226 200,000 Korea East-West Power Company Ltd. 1.75% ^ 05/06/2025 209,114 45,000 Macquarie Bank Ltd. 2.10% ^ 10/17/2022 46,431 200,000 Malayan Banking BHD (5 Year Swap Rate USD + 2.54%) 3.91% 10/29/2026 204,171 200,000 ONGC Videsh Ltd. 2.88% 01/27/2022 202,840 200,000 POSCO 2.38% 11/12/2022 205,816 55,000 Sumitomo Mitsui Financial Group, Inc. 2.06% 07/14/2021 55,504 50,000 Toronto-Dominion Bank (Secured Overnight Financing Rate + 0.48%) 0.57% 01/27/2023 50,203

Total Foreign Corporate Bonds (Cost $2,122,262) 2,166,756

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.2% 90,000 Peruvian Government International Bond 2.39% 01/23/2026 96,166 200,000 Qatar Government International Bond 2.38% 06/02/2021 201,692 200,000 Saudi Government International Bond 2.88% 03/04/2023 209,672

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $492,010) 507,530

Non-Agency Commercial Mortgage Backed Obligations - 12.2% 231,000 AREIT Trust, Series 2019-CRE3-D (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.80% ^ 09/14/2036 221,225 251,000 Atrium Hotel Portfolio Trust, Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 12/15/2036 185,219 115,000 Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor) 3.56% ^ 06/15/2035 101,323 177,000 Bancorp Commercial Mortgage Trust, Series 2018-CRE4-D (1 Month LIBOR USD + 2.10%, 0.25% Floor) 2.26% ^ 09/15/2035 167,130 3,844,000 BB-UBS Trust, Series 2012-SHOW-XB 0.14%# ^I/O 11/05/2036 26,376 163,000 BX Commercial Mortgage Trust, Series 2019-IMC-F (1 Month LIBOR USD + 2.90%, 2.90% Floor) 3.06% ^ 04/15/2034 146,359 3,545,000 CFCRE Commercial Mortgage Trust, Series 2018-TAN-X 1.63% #^I/O 02/15/2033 103,929 2,853,195 Citigroup Commercial Mortgage Trust, Series 2014-GC19-XA 1.14% #I/O 03/10/2047 85,557 268,000 Citigroup Commercial Mortgage Trust, Series 2018-TBR-E (1 Month LIBOR USD + 2.80%, 2.80% Floor) 2.96% ^ 12/15/2036 238,679 255,000 Citigroup Commercial Mortgage Trust, Series 2018-TBR-F (1 Month LIBOR USD + 3.65%, 3.65% Floor) 3.81% ^ 12/15/2036 222,687 111,000 COMM Mortgage Trust, Series 2013-LC13-B 5.01% #^ 08/10/2046 117,345 100,000 Commercial Mortgage Pass-Through Certificates, Series 2015-CR25-C 4.54% # 08/10/2048 103,921 186,000 Commercial Mortgage Pass-Through Certificates, Series 2015-DC1-C 4.31% # 02/10/2048 181,294 100,000 Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-F (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.81% ^ 05/15/2036 99,115 394,000 Credit Suisse Mortgage Trust, Series 2017-LSTK-D 3.33% #^ 04/05/2033 386,871 92,814 DBGS Mortgage Trust, Series 2018-BIOD-F (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 05/15/2035 92,773 111,000 Great Wolf Trust, Series 2019-WOLF-A (1 Month LIBOR USD + 1.03%, 1.03% Floor) 1.19% ^ 12/15/2036 108,804 100,000 GS Mortgage Securities Corporation Trust, Series 2012-ALOH-A 3.55% ^ 04/10/2034 101,081 186,000 GS Mortgage Securities Corporation Trust, Series 2020-UPTN-F 3.25% #^ 02/10/2037 169,933 312,000 GS Mortgage Securities Trust, Series 2014-GC26-D 4.51% #^ 11/10/2047 234,542 5,272,283 GS Mortgage Securities Trust, Series 2016-GS4-XA 0.50% #I/O 11/10/2049 132,061 188,740 HPLY Trust, Series 2019-HIT-D (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 11/15/2036 182,140 190,000 Hunt Ltd., Series 2018-FL2-C (1 Month LIBOR USD + 2.35%, 2.35% Floor) 2.51% ^ 08/15/2028 185,453 300,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON-E 3.76% #^ 01/05/2031 293,027 104,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFX 5.54% ^ 07/05/2033 102,206 300,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-FFX 5.54% #^ 07/05/2033 289,023 100,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-B 3.99% 10/15/2048 106,782 186,000 MFT Trust, Series 2020-ABC-D 3.48% #^ 02/10/2042 175,779 88,000 Morgan Stanley Capital Trust, Series 2017-ASHF-D (1 Month LIBOR USD + 2.20%, 2.20% Floor) 2.36% ^ 11/15/2034 78,767 188,000 Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2034 165,219 15,277,000 Morgan Stanley Capital Trust, Series 2017-ASHF-XCP 0.00% #^I/O 05/15/2019 15 111,000 Morgan Stanley Capital Trust, Series 2017-CLS-F (1 Month LIBOR USD + 2.60%, 2.60% Floor) 2.76% ^ 11/15/2034 111,212 8,219,493 SLIDE, Series 2018-FUN-XCP 0.98% #^I/O 12/15/2020 82 6,515,934 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-XA 0.66% #I/O 07/15/2058 166,601 4,484,044 Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA 0.92% #I/O 12/15/2048 173,989

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $5,900,344) 5,256,519

Non-Agency Residential Collateralized Mortgage Obligations - 13.0% 458,022 Alternative Loan Trust, Series 2005-64CB-1A10 5.75% 12/25/2035 457,173 317,831 Bayview Opportunity Master Fund Trust, Series 2019-SBR2-A1 3.43% ^§ 06/28/2034 324,027 178,896 Citigroup Mortgage Loan Trust, Series 2006-AR2-1A2 3.63% # 03/25/2036 171,103 661,091 CSMC Trust, Series 2019-RPL9-A1 3.04% #^ 10/27/2059 668,605 42,793 Deephaven Residential Mortgage Trust, Series 2017-1A-A1 2.73%#^ 12/26/2046 42,862 42,793 Deephaven Residential Mortgage Trust, Series 2017-1A-A2 2.93% #^ 12/26/2046 42,858 383,357 Legacy Mortgage Asset Trust, Series 2019-GS5-A1 3.20% ^§ 05/25/2059 387,622 602,527 OBX Trust, Series 2020-EXP2-A3 2.50% #^ 05/25/2060 615,820 350,073 PRPM LLC, Series 2019-3A-A1 3.35% ^§ 07/25/2024 351,332 1,109,410 RALI Trust, Series 2007-QS8-A3 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) 0.75% 06/25/2037 774,392 587,201 Velocity Commercial Capital Loan Trust, Series 2018-2-A 4.05% #^ 10/26/2048 617,942 163,307 Vericrest Opportunity Loan Trust, Series 2020-NPL5-A1A 2.98% ^§ 03/25/2050 163,704 117,538 Verus Securitization Trust, Series 2017-1A-A2 3.16% #^ 01/25/2047 118,199 336,416 VOLT LLC, Series 2020-NPL1-A1A 3.23% ^§ 01/25/2050 337,865 534,735 VOLT LLC, Series 2020-NPL4-A1 2.98% ^§ 03/25/2050 536,139

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $5,563,418) 5,609,643

US Corporate Bonds - 5.4% 55,000 AbbVie, Inc. 2.30% 11/21/2022 57,040 60,000 American Express Company 3.70% 11/05/2021 61,539 20,000 Anthem, Inc. 3.30% 01/15/2023 21,168 25,000 Anthem, Inc. 3.50% 08/15/2024 27,440 55,000 AT&T, Inc. 4.45% 04/01/2024 61,441 55,000 Bank of America Corporation (3 Month LIBOR USD + 0.79%) 1.02% 03/05/2024 55,428 30,000 BB&T Corporation 2.20% 03/16/2023 31,146 55,000 Bristol-Myers Squibb Company 2.60% 05/16/2022 56,761 60,000 Capital One Financial Corporation 3.20% 01/30/2023 63,249 55,000 Cardinal Health, Inc. 2.62% 06/15/2022 56,636 55,000 Carrier Global Corporation 1.92% 02/15/2023 56,685 65,000 Cigna Corporation 3.40% 09/17/2021 66,406 55,000 Citigroup, Inc. (3 Month LIBOR USD + 1.02%) 1.25% 06/01/2024 55,640 60,000 Crown Castle International Corporation 1.35% 07/15/2025 61,300 9,000 CVS Health Corporation 3.70% 03/09/2023 9,637 20,000 Dollar Tree, Inc. 4.00% 05/15/2025 22,589 40,000 Dollar Tree, Inc. 3.70% 05/15/2023 42,830 5,000 DTE Energy Company 2.25% 11/01/2022 5,176 30,000 DTE Energy Company 2.53% 10/01/2024 31,994 20,000 DTE Energy Company 1.05% 06/01/2025 20,237 50,000 DuPont de Nemours, Inc. 4.49% 11/15/2025 58,393 55,000 eBay, Inc. 2.75% 01/30/2023 57,621 30,000 Entergy Corporation 0.90% 09/15/2025 30,018 40,000 Exxon Mobil Corporation 1.57% 04/15/2023 41,152 40,000 Goldman Sachs Group, Inc. 3.50% 04/01/2025 44,516 55,000 Hyundai Capital America 2.85% ^ 11/01/2022 57,027 60,000 JPMorgan Chase & Company (3 Month LIBOR USD + 0.70%) 3.21% 04/01/2023 62,230 45,000 McDonald’s Corporation 2.63% 01/15/2022 46,091 60,000 Microchip Technology, Inc. 0.97% ^ 02/15/2024 60,184 20,000 Micron Technology, Inc. 2.50% 04/24/2023 20,857 35,000 Mondelez International, Inc. 0.63% 07/01/2022 35,164 25,000 Mondelez International, Inc. 2.13% 04/13/2023 25,979 55,000 Morgan Stanley (3 Month LIBOR USD + 0.93%) 1.15% 07/22/2022 55,239 50,000 Northrop Grumman Corporation 2.93% 01/15/2025 54,403 55,000 Omnicom Capital, Inc. 3.63% 05/01/2022 57,381 20,000 Oracle Corporation 2.50% 04/01/2025 21,491 30,000 Pacific Gas and Electric Company 1.75% 06/16/2022 30,087 60,000 PayPal Holdings, Inc. 2.20% 09/26/2022 62,008 60,000 Penske Truck Leasing Company 2.70% ^ 11/01/2024 64,304 40,000 Prudential Financial, Inc. 3.50% 05/15/2024 44,042 55,000 PSEG Power LLC 3.85% 06/01/2023 59,211 55,000 Republic Services, Inc. 2.50% 08/15/2024 58,753 35,000 Royalty Pharma PLC 0.75% ^ 09/02/2023 35,188 45,000 Schlumberger Holdings Corporation 3.75% ^ 05/01/2024 49,094 40,000 Simon Property Group LP 2.00% 09/13/2024 41,816 30,000 Target Corporation 2.90% 01/15/2022 30,833 60,000 Union Pacific Corporation 3.20% 06/08/2021 60,746 35,000 Valero Energy Corporation 1.20% 03/15/2024 35,346 60,000 Verizon Communications, Inc. (3 Month LIBOR USD + 1.10%) 1.32% 05/15/2025 61,649 60,000 Wells Fargo & Company (Secured Overnight Financing Rate + 1.60%) 1.65% 06/02/2024 61,652 55,000 Welltower, Inc. 3.63% 03/15/2024 59,962

Total US Corporate Bonds (Cost $2,289,804) 2,346,779

US Government and Agency Mortgage Backed Obligations - 6.3% 1,363,611 Federal Home Loan Mortgage Corporation, Series 3312-FJ (1 Month LIBOR USD + 0.22%, 0.22% Floor, 7.00% Cap) 0.38% 07/15/2036 1,360,801 1,346,337 Federal Home Loan Mortgage Corporation, Series 3747-FA (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap) 0.66% 10/15/2040 1,358,609

Total US Government and Agency Mortgage Backed Obligations (Cost $2,693,950) 2,719,410

US Government and Agency Obligations - 10.0% 790,000 United States Treasury Notes 1.38% ‡ 01/31/2022 800,770 1,130,000 United States Treasury Notes 0.13% 05/15/2023 1,129,735 1,880,000 United States Treasury Notes 2.25% 12/31/2023 1,997,353 410,000 United States Treasury Notes 0.38% ‡ 07/31/2027 404,507

Total US Government and Agency Obligations (Cost $4,329,205) 4,332,365

Affiliated Mutual Funds - 4.3% 194,921 DoubleLine Floating Rate Fund (Class I) 1,842,000

Total Affiliated Mutual Funds (Cost $1,929,714) 1,842,000

Short Term Investments - 9.3% 1,331,233 First American Government Obligations Fund - Class U 0.04% ¨ 1,331,233 1,331,234 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ 1,331,234 1,331,234 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 1,331,234

Total Short Term Investments (Cost $3,993,701) 3,993,701

Total Investments - 81.0% (Cost $35,459,549) 34,939,837 Other Assets in Excess of Liabilities - 19.0% 8,201,052

NET ASSETS - 100.0% $ 43,140,889

^ 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.

# 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 December 31, 2020.

I/O Interest only security

§ The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2020.

‡ All or a portion of this security has been pledged as collateral.

¨ Seven-day yield as of December 31, 2020 SECURITY TYPE BREAKDOWN as a % of Net Assets:

Non-Agency Residential Collateralized Mortgage Obligations 13.0% Non-Agency Commercial Mortgage Backed Obligations 12.2% Collateralized Loan Obligations 12.1% US Government and Agency Obligations 10.0% Short Term Investments 9.3% US Government and Agency Mortgage Backed Obligations 6.3% US Corporate Bonds 5.4% Foreign Corporate Bonds 5.0% Affiliated Mutual Funds 4.3% Asset Backed Obligations 2.2% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.2% Other Assets and Liabilities 19.0%

100.0%

INVESTMENT BREAKDOWN as a % of Net Assets:

Non-Agency Residential Collateralized Mortgage Obligations 13.0% Non-Agency Commercial Mortgage Backed Obligations 12.2% Collateralized Loan Obligations 12.1% US Government and Agency Obligations 10.0% Short Term Investments 9.3% US Government and Agency Mortgage Backed Obligations 6.3% Affiliated Mutual Funds 4.3% Banking 3.5% Asset Backed Obligations 2.2% Utilities 1.2% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.2% Transportation 0.8% Energy 0.8% Building and Development (including Steel/Metals) 0.5% Pharmaceuticals 0.5% Telecommunications 0.5% Healthcare 0.4% Technology 0.4% Real Estate 0.3% Retailers (other than Food/Drug) 0.2% Beverage and Tobacco 0.2% Food Products 0.1% Environmental Control 0.1% Chemicals/Plastics 0.1% Commercial Services 0.1% Media 0.1% Automotive 0.1% Diversified Manufacturing 0.1% Aerospace & Defense 0.1% Food Service 0.1% Insurance 0.1% Finance 0.1% Other Assets and Liabilities 19.0%

100.0%

A summary of the DoubleLine Shiller Enhanced International CAPE®‘s investments in affiliated mutual funds for the period ended December 31, 2020 is as follows:

Change in Dividend Net Realized Unrealized Income Gain (Loss) for the Earned in the in the Period Value at Shares Held at Value at Period Ended Period Ended Ended March 31, Gross Gross December 31, December 31, December 31, December 31, December 31, Fund 2020 Purchases Sales 2020 2020 2020 2020 2020 DoubleLine Floating Rate Fund (Class I) $2,371,933 $ - $(800,000) 194,921 $ 1,842,000 $ 322,597 $ 68,565 $ (52,530)

$2,371,933 $ - $(800,000) 194,921 $ 1,842,000 $ 322,597 $ 68,565 $ (52,530)

EXCESS RETURN SWAPS

Unrealized Appreciation Financing Payment Termination Notional (Depreciation) / Reference Entity Counterparty Long/Short Rate Frequency Date Amount Value Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ Barclays Capital, Inc. Long 0.20% Termination 07/30/2021 16,400,000 EUR $ 2,383,050 Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ BNP Paribas Long 0.20% Termination 10/29/2021 9,600,000 EUR 1,568,403 Shiller Barclays CAPE® Europe Sector Net ER NoC Index Ħ BNP Paribas Long 0.20% Termination 01/29/2021 6,000,000 EUR 321,700

$ 4,273,153

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 December 31, 2020, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIIESAE.

FORWARD CURRENCY EXCHANGE CONTRACTS

Unrealized Appreciation Settlement Date Counterparty Currency to be Delivered Value Currency to be Received Value (Depreciation) 06/09/2021 Goldman Sachs 48,308,701 USD $48,308,701 42,400,000 EUR $51,984,639 $ 3,675,938 06/09/2021 Barclays Capital, Inc. 680,355 USD 680,355 600,000 EUR 735,632 55,277 06/09/2021 JP Morgan Securities LLC 350,135 USD 350,135 300,000 EUR 367,816 17,680 06/09/2021 JP Morgan Securities LLC 2,500,000 EUR 3,065,132 2,962,282 USD 2,962,282 (102,850) 06/09/2021 Barclays Capital, Inc. 4,300,000 EUR 5,272,027 5,167,389 USD 5,167,389 (104,638) 06/09/2021 Goldman Sachs 4,500,000 EUR 5,517,238 5,237,699 USD 5,237,699 (279,538)

$63,193,588 $66,455,457 $ 3,261,869

EUR Euro

USD US Dollar

DoubleLine Colony Real Estate and Income Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Asset Backed Obligations - 5.9% 513,749 AASET Ltd., Series 2018-1A-A 3.84% ^ 01/16/2038 487,076 400,000 Affirm Asset Securitization Trust, Series 2020-A-A 2.10% ^ 02/18/2025 402,480 368,870 Affirm Asset Securitization Trust, Series 2020-Z1-A 3.46% ^ 10/15/2024 374,821 460,760 Affirm Asset Securitization Trust, Series 2020-Z2-A 1.90% ^ 01/15/2025 463,916 819,879 Castlelake Aircraft Securitization Trust, Series 2019-1A-A 3.97% ^ 04/15/2039 785,339 258,241 Foundation Finance Trust, Series 2019-1A-A 3.86% ^ 11/15/2034 267,336 474,924 Freed Trust, Series 2020-3FP-A 2.40% ^ 09/20/2027 476,736 482,537 Genesis Private Label Amortizing Trust, Series 2020-1-A 2.08% ^ 07/20/2030 483,389 358,652 GLS Auto Receivables Issuer Trust, Series 2020-2A-A 1.58% ^ 08/15/2024 361,958 341,284 Loanpal Solar Loan Ltd., Series 2020-3GS-A 2.47% ^ 12/20/2047 344,390 500,000 Marlette Funding Trust, Series 2020-2A-B 1.83% ^ 09/16/2030 505,731 446,372 Mosaic Solar Loan Trust, Series 2020-1A-A 2.10% ^ 04/20/2046 456,968 500,000 Oxford Finance Funding LLC, Series 2020-1A-A2 3.10% ^ 02/15/2028 512,500 150,223 SoFi Consumer Loan Program Trust, Series 2019-1-A 3.24% ^ 02/25/2028 151,296 245,417 Stack Infrastructure Issuer LLC, Series 2019-1A-A2 4.54% ^ 02/25/2044 263,448 314,382 START Ireland, Series 2019-1-A 4.09% ^ 03/15/2044 304,264 250,000 Upstart Securitization Trust, Series 2020-3-B 3.01% ^ 11/20/2030 254,802

Total Asset Backed Obligations (Cost $6,884,477) 6,896,450

Bank Loans - 4.7% 104,211 1011778 B.C. Unlimited Liability Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 11/19/2026 102,941 24,683 Access CIG LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) 3.98% 02/27/2025 24,482 108,590 AlixPartners, LLP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 04/04/2024 107,631 10,000 Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) 8.25% 06/16/2025 10,068 28,913 American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.16% 12/15/2023 26,140 American Tire Distributors, Inc., Senior Secured First Lien Term Loan 13,252 (1 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) 8.50% 09/02/2024 12,709 1,560 (3 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) 8.50% 09/02/2024 1,496 69,462 Applied Systems, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 09/19/2024 69,537 115,000 Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/11/2025 113,864 50,000 Arches Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.50% Floor) 4.50% 12/06/2027 50,162 64,666 Ascend Learning LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 07/12/2024 64,488 29,925 Asplundh Tree Expert, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 09/07/2027 30,065 104,211 AssuredPartners, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 02/12/2027 102,851 75,000 Asurion LLC, Senior Secured First Lien Term Loan 3.40% ± 12/23/2026 74,344 46,849 Asurion LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 11/03/2023 46,448 55,000 Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 11/08/2027 55,172 11,080 Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.39% 12/15/2027 11,103 8,920 Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.41% 12/16/2024 8,984 104,081 Axalta Coating Systems Dutch Holding B.B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%) 2.00% 05/31/2024 103,482 24,808 Bass Pro Group, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) 5.75% 09/25/2024 24,927 64,673 Bioscrip, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 08/06/2026 64,660 38,311 Blackhawk Network Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 06/16/2025 37,396 44,548 Blackstone CQP Holdco LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.74% 09/30/2024 44,492 29,730 Brand Energy & Infrastructure Services, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/21/2024 29,056 39,700 Buckeye Partners LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 11/02/2026 39,712 24,938 Caesars Resort, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 07/21/2025 25,019 50,000 Camelot U.S. Acquisition 1 Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 10/30/2026 50,078 64,729 Castle US Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) 4.00% 01/29/2027 63,697 24,677 Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/07/2023 23,738 Change Healthcare Holdings, Inc., Senior Secured First Lien Term Loan 2,022 (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 03/01/2024 2,016 63,107 (3 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 03/01/2024 62,922 30,000 Charter NEX US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 0.75% Floor) 5.00% 12/01/2027 30,191 14,938 Clear Channel Outdoor Holdings Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.71% 08/21/2026 14,419 19,795 ClubCorp Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%) 3.00% 09/18/2024 18,573 33,171 Cornerstone OnDemand, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.39% 04/22/2027 33,372 13,750 CP Atlas Buyer, Inc., Senior Secured First Lien Term Loan B2 (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/23/2027 13,796 41,250 CP Atlas Buyer, Inc., Senior Secured First Lien Term Loan B1 (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/23/2027 41,389 59,389 Cvent, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 11/29/2024 57,311 79,612 Deerfield Holdings Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 04/09/2027 80,073 30,000 Delta Topco, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 12/01/2027 30,044 19,746 Diamond (BC) B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.21% 09/06/2024 19,507 20,000 E.W. Scripps Company, Senior Secured First Lien Term Loan 3.75% ± 12/15/2027 20,053 74,435 E.W. Scripps Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 05/01/2026 73,806 45,000 Energizer Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.50% Floor) 2.75% 12/16/2027 45,085 24,747 Envision Healthcare Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 10/10/2025 20,754 Flex Acquisition Company Inc., Senior Secured First Lien Term Loan 2,798 (1 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/29/2023 2,789 40,048 (3 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/29/2023 39,923 14,847 Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.75% 08/01/2024 13,348 105,000 Formula One Management Ltd., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%, 1.00% Floor) 3.50% 02/01/2024 104,269 100,000 Genesys Telecommunications Laboratories, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 12/01/2027 100,359 68,722 Gentiva Health Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.44% 07/02/2025 68,550 19,584 Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.69% 02/19/2026 19,346 103,923 Go Daddy Operating Company, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 02/15/2024 103,956 34,825 Go Daddy Operating Company, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 08/10/2027 35,067 Golden Nugget, Inc., Senior Secured First Lien Term Loan 29,652 (1 Month LIBOR USD + 2.50%, 0.75% Floor) 3.25% 10/04/2023 28,725 34,983 (2 Month LIBOR USD + 2.50%, 0.75% Floor) 3.25% 10/04/2023 33,888 14,320 GrafTech Finance, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 02/12/2025 14,343 34,288 Graham Packaging Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 08/04/2027 34,453 105,000 Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) 2.65% 01/02/2026 104,475 40,000 Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.75% Floor) 4.00% 10/19/2027 40,073 29,658 H-Food Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.69%) 3.83% 05/23/2025 29,211 25,000 Hilton Worldwide Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 06/22/2026 24,760 103,775 Hyland Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 07/01/2024 104,165 34,913 Illuminate Buyer LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 06/30/2027 34,978 49,625 Informatica LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/25/2027 49,311 Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan 5,075 (3 Month LIBOR USD + 5.50%, 1.00% Floor) 6.50% 07/13/2022 5,192 1,691 (6 Month LIBOR USD + 5.50%, 1.00% Floor) 6.50% 07/13/2022 1,730 45,000 Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan (Prime Rate + 4.75%, 1.00% Floor) 8.00% 11/27/2023 45,755 9,871 ION Trading Technologies SARL, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.00%, 1.00% Floor) 5.00% 11/21/2024 9,868 63,963 IRB Holding Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 02/05/2025 63,545 109,158 Iron Mountain Information Management LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 01/02/2026 108,476 104,205 JBS USA Lux S.A., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) 2.15% 05/01/2026 103,562 104,209 KAR Auction Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) 2.44% 09/21/2026 102,776 29,650 Kestrel Bidco, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%, 1.00% Floor) 4.00% 12/11/2026 28,557 4,898 Klockner-Pentaplast of America, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%, 1.00% Floor) 5.25% 06/30/2022 4,895 30,000 Kronos Acquisition Holdings Inc., Senior Secured First Lien Term Loan 5.25% ± 12/17/2026 30,106 110,000 Level 3 Financing, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) 1.90% 03/01/2027 108,419 19,751 Mavis Tire Express Services Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%) 3.50% 03/20/2025 19,450 50,000 Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 10/01/2027 50,114 29,649 Mister Car Wash Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 05/14/2026 29,000 14,811 MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) 4.65% 11/28/2025 13,500 64,835 Numericable U.S. LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.24% 08/14/2026 64,720 6,289 OneDigital Borrower LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% & 11/16/2027 6,313 OneDigital Borrower LLC, Senior Secured First Lien Term Loan 59,063 (1 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/16/2027 59,284 4,648 (3 Month LIBOR USD + 4.50%, 0.75% Floor) 5.25% 11/16/2027 4,666 34,825 Pacific Gas and Electric Company, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 06/23/2025 35,295 64,138 Panther BF Aggregator LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 04/30/2026 64,045 65,000 Parexel International Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) 2.90% 09/27/2024 64,025 57,447 PetSmart, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) 4.50% 03/11/2022 57,586 14,615 Playtika Holding Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 6.00%, 1.00% Floor) 7.00% 12/10/2024 14,732 Prime Security Services Borrower LLC, Senior Secured First Lien Term Loan 15,179 (1 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 15,295 9,744 (6 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 9,818 9,744 (9 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 9,818 19,487 (12 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 19,637 79,588 Prime Security Services Borrower LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 09/23/2026 79,057 55,000 Radiate Holdco, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) 4.25% 09/25/2026 55,163 Radiology Partners, Inc., Senior Secured First Lien Term Loan 29,611 (1 Month LIBOR USD + 4.25%) 5.29% 07/09/2025 29,192 25,389 (3 Month LIBOR USD + 4.25%) 5.29% 07/09/2025 25,029 30,289 RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 11/14/2025 30,268 59,100 Sedgwick Claims Management Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) 4.15% 09/03/2026 59,052 70,000 Select Medical Corporation, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.25%) 2.53% 03/06/2025 69,606 44,277 Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) 4.23% 06/26/2025 44,288 60,000 Sophia, L.P., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) 4.50% 10/07/2027 60,289 49,899 Sotera Health Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) 5.50% 12/11/2026 50,159 74,625 Surf Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) 3.73% 03/05/2027 74,084 14,846 Team Health Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%, 1.00% Floor) 3.75% 02/06/2024 13,295 44,888 Tech Data Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) 3.65% 06/30/2025 45,238 65,524 Tempo Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.50% Floor) 3.75% 11/02/2026 65,217 84,438 The Dun & Bradstreet Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 02/06/2026 84,637 74,430 The Edelman Financial Center LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 07/21/2025 73,453 84,788 Thyssenkrupp Elevator, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.25%) 4.57% 07/14/2027 85,544 69,625 TIBCO Software Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 06/30/2026 68,515 24,745 Titan Acquisition Limited, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%) 3.27% 03/28/2025 24,199 TKC Holdings, Inc., Senior Secured First Lien Term Loan 91 (3 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 02/01/2023 89 34,467 (6 Month LIBOR USD + 3.75%, 1.00% Floor) 4.75% 02/01/2023 33,908 74,417 UFC Holdings, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.25%, 1.00% Floor) 4.25% 04/29/2026 74,307 59,523 Ultimate Software Group, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 05/04/2026 59,575 44,888 Ultimate Software Group, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) 4.75% 05/04/2026 45,191 8,522 United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) 4.40% 10/22/2025 8,487 64,674 VS Buyer LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) 3.40% 02/26/2027 64,553 25,000 Web.Com Group, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) 3.90% 10/10/2025 24,698 66,809 Zayo Group Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) 3.15% 03/09/2027 66,553

Total Bank Loans (Cost $5,449,042) 5,531,867

Collateralized Loan Obligations - 13.7% 498,782 AMMC Ltd., Series 2014-15A-ARR (3 Month LIBOR USD + 1.26%, 1.26% Floor) 1.50% ^ 01/15/2032 497,609 500,000 CBAM Ltd., Series 2019-10A-B (3 Month LIBOR USD + 2.05%, 2.05% Floor) 2.27% ^ 04/20/2032 500,268 1,000,000 CFIP Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 1.34%) 1.56% ^ 04/20/2029 1,000,646 500,000 CIFC Funding Ltd., Series 2012-2RA-A2 (3 Month LIBOR USD + 1.25%) 1.47% ^ 01/20/2028 496,516 1,000,000 Crown Point Ltd., Series 2020-9A-A (3 Month LIBOR USD + 2.05%, 2.05% Floor) 2.28% ^ 07/14/2032 1,006,536 1,000,000 Crown Point Ltd., Series 2020-9A-B (3 Month LIBOR USD + 2.69%, 2.69% Floor) 2.92% ^ 07/14/2032 1,005,483 1,000,000 Halcyon Loan Advisors Funding Ltd., Series 2017-1A-A1B (3 Month LIBOR USD + 1.28%) 1.49% ^ 06/25/2029 994,114 663,829 KVK Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 0.90%) 1.13% ^ 01/14/2028 660,703 500,000 Madison Park Funding Ltd., Series 2012-10A-BR2 (3 Month LIBOR USD + 1.80%) 2.02% ^ 01/20/2029 500,131 1,000,000 Midocean Credit Partners, Series 2018-8A-A1 (3 Month LIBOR USD + 1.15%) 1.37% ^ 02/20/2031 997,312 982,916 Ocean Trails, Series 2014-5A-ARR (3 Month LIBOR USD + 1.28%, 1.28% Floor) 1.50% ^ 10/13/2031 982,553 1,000,000 OCP Ltd., Series 2020-18A-A (3 Month LIBOR USD + 1.80%) 2.02% ^ 04/20/2030 1,004,358 1,000,000 OFSI Fund Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.39% ^ 07/15/2031 993,332 775,000 Shackleton Ltd., Series 2015-7RA-A1 (3 Month LIBOR USD + 1.17%) 1.41% ^ 07/15/2031 772,465 1,250,000 Sound Point Ltd., Series 2014-1RA-A (3 Month LIBOR USD + 1.15%, 1.15% Floor) 1.37% ^ 07/18/2031 1,244,387 400,000 Steele Creek Ltd., Series 2017-1A-A (3 Month LIBOR USD + 1.25%) 1.49% ^ 10/15/2030 399,357 900,000 Steele Creek Ltd., Series 2019-1A-B (3 Month LIBOR USD + 2.20%, 2.20% Floor) 2.44% ^ 04/15/2032 900,796 500,000 Wellfleet Ltd., Series 2017-2A-A1R (3 Month LIBOR USD + 1.06%) 1.28% ^ 10/20/2029 498,303 969,848 Wind River Ltd., Series 2013-2A-AR (3 Month LIBOR USD + 1.23%) 1.45% ^ 10/18/2030 968,526 500,000 Wind River Ltd., Series 2019-3A-B (3 Month LIBOR USD + 2.10%) 2.34% ^ 04/15/2031 500,230

Total Collateralized Loan Obligations (Cost $15,731,804) 15,923,625

Foreign Corporate Bonds - 6.7% 25,000 AstraZeneca PLC 2.38% 06/12/2022 25,701 160,000 AstraZeneca PLC 3.50% 08/17/2023 172,508 100,000 Avolon Holdings Funding Ltd. 3.63% ^ 05/01/2022 102,193 200,000 Baidu, Inc. 3.50% 11/28/2022 210,185 150,000 Banco Continental SAECA 2.75% ^ 12/10/2025 149,625 200,000 Banco de Credito del Peru (3 Month LIBOR USD + 7.04%) 6.13% 04/24/2027 212,252 150,000 Banco de Reservas de la Republica Dominicana 7.00% 02/01/2023 157,125 200,000 Banco Latinoamericano de Comercio Exterior S.A. 2.38% ^ 09/14/2025 205,002 200,000 Banistmo S.A. 3.65% 09/19/2022 205,652 170,000 Bank of Nova Scotia 0.55% 09/15/2023 170,717 175,000 BAT International Finance PLC 1.67% 03/25/2026 179,223 200,000 BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%) 5.35% 11/12/2029 213,500 200,000 Credicorp Ltd. 2.75% ^ 06/17/2025 208,300 250,000 Daimler Finance North America LLC 2.30% ^ 02/12/2021 250,508 147,800 Empresa Electrica Angamos S.A. 4.88% 05/25/2029 148,326 200,000 Empresa Electrica Guacolda S.A. 4.56% 04/30/2025 180,510 50,000 Enel Generacion Chile S.A. 4.25% 04/15/2024 54,440 200,000 ENN Energy Holdings Ltd. 3.25% 07/24/2022 205,674 180,000 GlaxoSmithKline Capital PLC 0.53% 10/01/2023 180,721 200,000 GrupoSura Finance S.A. 5.70% 05/18/2021 204,725 200,000 HPHT Finance Ltd. 2.88% 11/05/2024 209,226 41,639 Interoceanica Finance Ltd. 0.00% 11/30/2025 39,843 200,000 Korea East-West Power Company Ltd. 1.75% ^ 05/06/2025 209,114 200,000 Korea Electric Power Corporation 1.13% ^ 06/15/2025 203,483 200,000 LG Chem Ltd. 3.25% 10/15/2024 216,580 135,000 Macquarie Bank Ltd. 2.10% ^ 10/17/2022 139,292 200,000 Malayan Banking BHD (5 Year Swap Rate USD + 2.54%) 3.91% 10/29/2026 204,171 200,000 Multibank, Inc. 4.38% 11/09/2022 206,905 200,000 NongHyup Bank 1.25% ^ 07/20/2025 203,934 200,000 ONGC Videsh Ltd. 2.88% 01/27/2022 202,840 200,000 Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) 1.83% ^ 09/10/2030 203,327 200,000 Petronas Capital Ltd. 3.13% 03/18/2022 206,380 200,000 POSCO 2.38% 11/12/2022 205,816 200,000 PSA Treasury Pte Ltd. 2.50% 04/12/2026 214,657 250,000 Reliance Holdings, Inc. 4.13% 01/28/2025 277,761 200,000 Saudi Arabian Oil Company 2.75% 04/16/2022 205,543 180,000 Sumitomo Mitsui Financial Group, Inc. 2.06% 07/14/2021 181,651 200,000 Telefonica Chile S.A. 3.88% 10/12/2022 209,877 250,000 Temasek Financial Ltd. 2.38% 01/23/2023 260,387 185,000 Toronto-Dominion Bank (Secured Overnight Financing Rate + 0.48%) 0.57% 01/27/2023 185,751 200,000 Unifin Financiera S.A.B. de C.V. 7.00% 01/15/2025 190,877 200,000 United Overseas Bank Ltd. (5 Year Swap Rate USD + 1.65%) 2.88% 03/08/2027 204,049

Total Foreign Corporate Bonds (Cost $7,549,964) 7,818,351

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.3% 200,000 Abu Dhabi Government International Bond 2.50%^ 04/16/2025 214,018 200,000 Brazilian Government International Bond 2.88% 06/06/2025 208,502 200,000 Panama Government International Bond 3.75% 03/16/2025 221,979 200,000 Peruvian Government International Bond 2.39% 01/23/2026 213,702 200,000 Qatar Government International Bond 2.38% 06/02/2021 201,692 200,000 Saudi Government International Bond 2.88% 03/04/2023 209,672 250,000 Wakala Global Sukuk BHD 4.65% 07/06/2021 255,226

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $1,493,790) 1,524,791

Non-Agency Commercial Mortgage Backed Obligations - 13.1% 2,519,262 Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1-XA 0.97% #^I/O 05/15/2053 184,639 100,000 Arbor Realty Ltd., Series 2019-FL1-B (1 Month LIBOR USD + 1.70%) 1.86% ^ 05/15/2037 98,257 100,000 Arbor Realty Ltd., Series 2020-FL1-B (1 Month LIBOR USD + 1.80%, 1.80% Floor) 1.96% ^ 02/15/2035 98,357 1,000,000 Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor) 3.56% ^ 06/15/2035 881,067 294,000 BANK, Series 2018-BN10-C 4.16% # 02/15/2061 306,854 294,000 BBCMS Mortgage Trust, Series 2017-DELC-B (1 Month LIBOR USD + 1.03%, 1.03% Floor) 1.19% ^ 08/15/2036 288,510 100,000 BDS Ltd., Series 2019-FL4-B (1 Month LIBOR USD + 1.75%, 1.75% Floor) 1.90% ^ 08/15/2036 98,118 174,000 Benchmark Mortgage Trust, Series 2019-B12-TCB 3.44% #^ 08/15/2052 175,868 221,000 Benchmark Mortgage Trust, Series 2020-B17-C 3.37% # 03/15/2053 223,970 190,000 BFLD, Series 2019-DPLO-B (1 Month LIBOR USD + 1.34%, 1.34% Floor) 1.50% ^ 10/15/2034 186,959 182,700 BHP Trust, Series 2019-BXHP-D (1 Month LIBOR USD + 1.77%, 1.77% Floor) 1.93% ^ 08/15/2036 176,090 680,540 BX Commercial Mortgage Trust, Series 2018-EXCL-C (1 Month LIBOR USD + 1.98%, 1.98% Floor) 2.13% ^ 09/15/2037 561,335 200,000 BX Trust, Series 2019-OC11-E 4.08% #^ 12/09/2041 199,375 231,000 BXMT Ltd., Series 2020-FL2-A (1 Month LIBOR USD + 0.90%, 0.90% Floor) 1.05% ^ 02/16/2037 229,769 244,000 Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor) 3.01% ^ 10/15/2035 216,026 338,000 CFCRE Commercial Mortgage Trust, Series 2016-C6-C 4.20% # 11/10/2049 332,171 226,000 Citigroup Commercial Mortgage Trust, Series 2019-SMRT-E 4.74% #^ 01/10/2036 229,261 194,000 CLNC Ltd., Series 2019-FL1-AS (1 Month LIBOR USD + 1.55%, 1.55% Floor) 1.70% ^ 08/20/2035 191,423 100,000 CLNC Ltd., Series 2019-FL1-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.05% ^ 08/20/2035 98,472 277,000 CLNC Ltd., Series 2019-FL1-D (1 Month LIBOR USD + 2.90%, 2.90% Floor) 3.05% ^ 08/20/2035 260,270 229,000 COMM Mortgage Trust, Series 2013-LC13-B 5.01% #^ 08/10/2046 242,090 172,000 Commercial Mortgage Pass-Through Certificates, Series 2015-CR25-C 4.54% # 08/10/2048 178,744 294,000 Commercial Mortgage Trust, Series 2016-GCT-D 3.46% #^ 08/10/2029 294,876 174,000 Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-F (1 Month LIBOR USD + 2.65%, 2.65% Floor) 2.81% ^ 05/15/2036 172,460 202,000 CSAIL Commercial Mortgage Trust, Series 2020-C19-C 3.61% # 03/15/2053 214,511 3,590,357 CSAIL Commercial Mortgage Trust, Series 2020-C19-XA 1.12% #I/O 03/15/2053 295,991 222,000 CSMC Trust, Series 2020-NET-D 3.70% #^ 08/15/2037 230,531 161,496 DBGS Mortgage Trust, Series 2018-BIOD-F (1 Month LIBOR USD + 2.00%, 2.00% Floor) 2.16% ^ 05/15/2035 161,426 100,000 Exantas Capital Corporation Ltd., Series 2020-RSO8-B (1 Month LIBOR USD + 1.75%, 1.75% Floor) 1.90% ^ 03/15/2035 99,332 138,240 FREMF Mortgage Trust, Series 2018-KF49-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.05% ^ 06/25/2025 133,217 229,000 Great Wolf Trust, Series 2019-WOLF-A (1 Month LIBOR USD + 1.03%, 1.03% Floor) 1.19% ^ 12/15/2036 224,470 100,000 Greystone Commercial Real Estate Notes, Series 2019-FL2-B (1 Month LIBOR USD + 1.60%, 1.60% Floor) 1.76% ^ 09/15/2037 99,230 256,000 Greystone Commercial Real Estate Notes, Series 2019-FL2-D (1 Month LIBOR USD + 2.40%, 2.40% Floor) 2.56% ^ 09/15/2037 246,695 217,000 GS Mortgage Securities Corporation Trust, Series 2012-ALOH-A 3.55% ^ 04/10/2034 219,345 244,000 GS Mortgage Securities Corporation Trust, Series 2018-RIVR-C (1 Month LIBOR USD + 1.25%, 1.25% Floor) 1.41% ^ 07/15/2035 227,880 221,000 GS Mortgage Securities Corporation Trust, Series 2019-BOCA-A (1 Month LIBOR USD + 1.20%, 1.20% Floor) 1.36% ^ 06/15/2038 220,179 187,000 GS Mortgage Securities Trust, Series 2019-SMP-E (1 Month LIBOR USD + 2.60%, 2.60% Floor) 2.76% ^ 08/15/2032 169,981 1,938,382 GS Mortgage Securities Trust, Series 2020-GC47-XA 1.13% #I/O 05/12/2053 172,668 503,000 GS MTG SECS TR, Series 2015-GC32-C 4.42% # 07/10/2048 533,297 261,000 GSCG Trust, Series 2019-600C-E 3.99% #^ 09/06/2034 255,981 205,011 HPLY Trust, Series 2019-HIT-F (1 Month LIBOR USD + 3.15%, 3.15% Floor) 3.31% ^ 11/15/2036 186,059 224,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2014-C20-B 4.40% # 07/15/2047 239,673 279,000 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2018-MINN-E (1 Month LIBOR USD + 2.50%, 3.50% Floor) 3.50% ^ 11/15/2035 223,997 1,000,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3-D 5.70% #^ 02/15/2046 571,616 174,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C4-C 5.43% #^ 07/15/2046 175,143 201,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN-EFX 3.97% ^ 01/16/2037 194,408 700,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-D 3.97% #^ 09/15/2047 614,560 174,000 JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-B 3.99% 10/15/2048 185,801 100,000 LoanCore Issuer Ltd., Series 2019-CRE2-B (1 Month LIBOR USD + 1.70%, 1.70% Floor) 1.86% ^ 05/15/2036 97,756 750,000 Morgan Stanley Capital Trust, Series 2014-150E-F 4.30% #^ 09/09/2032 712,923 229,000 Morgan Stanley Capital Trust, Series 2017-CLS-F (1 Month LIBOR USD + 2.60%, 2.60% Floor) 2.76% ^ 11/15/2034 229,437 294,000 Morgan Stanley Capital Trust, Series 2019-NUGS-E (1 Month LIBOR USD + 2.24%, 3.74% Floor) 3.74% ^ 12/15/2036 276,848 295,000 MSCG Trust, Series 2018-SELF-F (1 Month LIBOR USD + 3.05%, 3.05% Floor) 3.21% ^ 10/15/2037 289,403 172,000 Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-MSK1 3.25% #^ 12/15/2036 169,147 100,000 NLY Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) 2.06% ^ 02/15/2036 98,862 250,000 UBS Commercial Mortgage Trust, Series 2017-C4-C 4.45% # 10/15/2050 236,872 221,000 UBS Commercial Mortgage Trust, Series 2017-C6-C 4.45% # 12/15/2050 239,172 232,000 UBS Commercial Mortgage Trust, Series 2018-C9-C 4.88% # 03/15/2051 245,031 174,000 Wells Fargo Commercial Mortgage Trust, Series 2015-LC20-B 3.72% 04/15/2050 186,137 202,000 Wells Fargo Commercial Mortgage Trust, Series 2016-C33-D 3.12% ^ 03/15/2059 182,015 3,526,810 Wells Fargo Commercial Mortgage Trust, Series 2019-C49-XA 1.27% #I/O 03/15/2052 287,784 174,000 Wells Fargo Commercial Mortgage Trust, Series 2020-C56-C 3.75% # 06/15/2053 189,890

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $15,498,475) 15,262,229

Non-Agency Residential Collateralized Mortgage Obligations - 18.7% 1,317,934 Ajax Mortgage Loan Trust, Series 2018-E-A 4.38% #^ 06/25/2058 1,334,304 305,056 Angel Oak Mortgage Trust LLC, Series 2020-6-A3 1.78% #^ 05/25/2065 306,548 452,365 Citigroup Mortgage Loan Trust, Series 2020-EXP1-A1A 1.80% #^ 05/25/2060 455,894 1,000,000 CSMC Trust, Series 2020-SPT1-A2 2.30% ^§ 04/25/2065 1,006,633 1,564,602 Ellington Financial Mortgage Trust, Series 2020-1-A1 2.01% #^ 05/25/2065 1,590,871 275,871 HMIR, Series 2019-1-M1 (1 Month LIBOR USD + 1.65%) 1.80% ^ 05/25/2029 273,818 571,711 Legacy Mortgage Asset Trust, Series 2020-GS3-A1 3.25% ^§ 05/25/2060 579,979 568,084 Legacy Mortgage Asset Trust, Series 2020-GS4-A1 3.25% ^§ 02/25/2060 579,193 541,895 New Residential Mortgage Loan Trust, Series 2020-NPL2-A1 3.23% ^§ 08/25/2060 546,649 1,215,326 New Residential Mortgage Loan Trust, Series 2020-RPL2-A1 3.58% #^ 08/25/2025 1,220,000 803,370 OBX Trust, Series 2020-EXP2-A3 2.50% #^ 05/25/2060 821,093 1,099,319 Pretium Mortgage Credit Partners LLC, Series 2020-NPL1-A1 2.86% ^§ 05/27/2059 1,105,302 547,869 Pretium Mortgage Credit Partners LLC, Series 2020-NPL2-A1 3.72% ^§ 02/27/2060 552,454 1,217,739 Pretium Mortgage Credit Partners LLC, Series 2020-NPL3-A1 3.10% ^§ 06/27/2060 1,222,232 518,886 PRPM LLC, Series 2019-3A-A1 3.35% ^§ 07/25/2024 520,752 672,393 PRPM LLC, Series 2020-3-A1 2.86% ^§ 09/25/2025 678,882 887,528 RALI Trust, Series 2007-QS8-A3 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) 0.75% 06/25/2037 619,514 1,418,561 Starwood Mortgage Residential Trust, Series 2020-3-A1 1.49% #^ 04/25/2065 1,430,045 720,418 VCAT LLC, Series 2020-NPL1-A1 3.67% ^§ 08/25/2050 729,969 977,629 Velocity Commercial Capital Loan Trust, Series 2019-3-M3 3.38% #^ 10/25/2049 966,950 791,988 Vericrest Opportunity Loan Trust, Series 2020-NPL2-A1A 2.98% ^§ 02/25/2050 794,427 691,535 Vista Point Securitization Trust, Series 2020-2-A2 1.99% #^ 04/25/2065 695,738 445,613 VOLT LLC, Series 2020-NPL4-A1 2.98% ^§ 03/25/2050 446,782 2,202,196 Wells Fargo Mortgage Backed Securities Trust, Series 2007-15-A1 6.00% 11/25/2037 2,192,206 1,105,595 Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR6-A1 3.04% # 10/25/2037 1,095,472

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $21,517,336) 21,765,707

US Corporate Bonds - 6.3% 180,000 AbbVie, Inc. 2.30% 11/21/2022 186,677 175,000 American Express Company 3.70% 11/05/2021 179,488 80,000 Anthem, Inc. 3.30% 01/15/2023 84,673 60,000 Anthem, Inc. 3.50% 08/15/2024 65,855 165,000 AT&T, Inc. 4.45% 04/01/2024 184,322 170,000 Bank of America Corporation (3 Month LIBOR USD + 0.79%) 1.02% 03/05/2024 171,325 75,000 BB&T Corporation 2.20% 03/16/2023 77,866 175,000 Bristol-Myers Squibb Company 2.60% 05/16/2022 180,602 135,000 Capital One Financial Corporation 3.20% 01/30/2023 142,312 30,000 Capital One Financial Corporation 3.90% 01/29/2024 32,876 170,000 Cardinal Health, Inc. 2.62% 06/15/2022 175,057 180,000 Carrier Global Corporation 1.92% 02/15/2023 185,513 180,000 Cigna Corporation 3.40% 09/17/2021 183,894 176,000 Cintas Corporation 2.90% 04/01/2022 181,200 170,000 Citigroup, Inc. (3 Month LIBOR USD + 1.02%) 1.25% 06/01/2024 171,978 185,000 Crown Castle International Corporation 1.35% 07/15/2025 189,009 23,000 CVS Health Corporation 3.70% 03/09/2023 24,628 70,000 Dollar Tree, Inc. 4.00% 05/15/2025 79,061 100,000 Dollar Tree, Inc. 3.70% 05/15/2023 107,075 20,000 DTE Energy Company 2.25% 11/01/2022 20,705 90,000 DTE Energy Company 2.53% 10/01/2024 95,981 70,000 DTE Energy Company 1.05% 06/01/2025 70,831 145,000 DuPont de Nemours, Inc. 4.49% 11/15/2025 169,340 170,000 eBay, Inc. 2.75% 01/30/2023 178,101 90,000 Entergy Corporation 0.90% 09/15/2025 90,053 135,000 Exxon Mobil Corporation 1.57% 04/15/2023 138,888 115,000 Goldman Sachs Group, Inc. 3.50% 04/01/2025 127,982 90,000 Honeywell International, Inc. 0.48% 08/19/2022 90,148 170,000 Hyundai Capital America 2.85% ^ 11/01/2022 176,265 175,000 JPMorgan Chase & Company (3 Month LIBOR USD + 0.70%) 3.21% 04/01/2023 181,503 135,000 McDonald’s Corporation 2.63% 01/15/2022 138,275 175,000 Microchip Technology, Inc. 0.97% ^ 02/15/2024 175,537 45,000 Micron Technology, Inc. 2.50% 04/24/2023 46,927 85,000 Mondelez International, Inc. 0.63% 07/01/2022 85,398 90,000 Mondelez International, Inc. 2.13% 04/13/2023 93,523 180,000 Morgan Stanley (3 Month LIBOR USD + 0.93%) 1.15% 07/22/2022 180,782 150,000 Northrop Grumman Corporation 2.93% 01/15/2025 163,209 175,000 Omnicom Capital, Inc. 3.63% 05/01/2022 182,576 55,000 Oracle Corporation 2.50% 04/01/2025 59,100 85,000 Pacific Gas and Electric Company 1.75% 06/16/2022 85,247 140,000 PayPal Holdings, Inc. 2.20% 09/26/2022 144,686 35,000 PayPal Holdings, Inc. 1.35% 06/01/2023 35,856 175,000 Penske Truck Leasing Company 2.70% ^ 11/01/2024 187,553 125,000 Prudential Financial, Inc. 3.50% 05/15/2024 137,631 170,000 PSEG Power LLC 3.85% 06/01/2023 183,015 170,000 Republic Services, Inc. 2.50% 08/15/2024 181,602 90,000 Royalty Pharma PLC 0.75% ^ 09/02/2023 90,483 125,000 Schlumberger Holdings Corporation 3.75% ^ 05/01/2024 136,372 130,000 Simon Property Group LP 2.00% 09/13/2024 135,903 95,000 Target Corporation 2.90% 01/15/2022 97,639 180,000 Union Pacific Corporation 3.20% 06/08/2021 182,238 90,000 Valero Energy Corporation 1.20% 03/15/2024 90,889 180,000 Verizon Communications, Inc. (3 Month LIBOR USD + 1.10%) 1.32% 05/15/2025 184,946 180,000 Wells Fargo & Company (Secured Overnight Financing Rate + 1.60%) 1.65% 06/02/2024 184,956 170,000 Welltower, Inc. 3.63% 03/15/2024 185,338

Total US Corporate Bonds (Cost $7,132,439) 7,312,889

US Government and Agency Mortgage Backed Obligations - 7.0% 1,919,508 Federal Home Loan Mortgage Corporation, Series 3316-FA (1 Month LIBOR USD + 0.27%, 0.27% Floor, 7.00% Cap) 0.43% 05/15/2037 1,923,057 1,928,067 Federal National Mortgage Association, Pool MA4123 2.00% 09/01/2035 2,015,984 2,523,840 Federal National Mortgage Association, Series 2011-93-GF (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) 0.60% 04/25/2039 2,547,348 1,666,680 Federal National Mortgage Association, Series 2014-73-AF (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap) 0.60% 11/25/2044 1,679,348

Total US Government and Agency Mortgage Backed Obligations (Cost $8,086,379) 8,165,737

US Government and Agency Obligations - 19.2% 11,150,000 United States Treasury Notes 2.63% 05/15/2021 11,252,326 5,630,000 United States Treasury Notes 1.50% ‡ 09/30/2021 5,688,478 2,240,000 United States Treasury Notes 1.38% ‡ 01/31/2022 2,270,537 600,000 United States Treasury Notes 0.13% 05/15/2023 599,859 2,000,000 United States Treasury Notes 2.25% 12/31/2023 2,124,844 500,000 United States Treasury Notes 0.38% ‡ 07/31/2027 493,301

Total US Government and Agency Obligations (Cost $22,422,676) 22,429,345

Short Term Investments - 3.4% 1,310,126 First American Government Obligations Fund - Class U 0.04% ¨ 1,310,126 1,310,126 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ 1,310,126 1,310,126 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 1,310,126

Total Short Term Investments (Cost $3,930,378) 3,930,378

Total Investments - 100.0% (Cost $115,696,760) 116,561,369 Liabilities in Excess of Other Assets - (0.0%) (24,635)

NET ASSETS - 100.0% $ 116,536,734

^ 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.

# 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 December 31, 2020.

I/O Interest only security

§ The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2020.

¨ Seven-day yield as of December 31, 2020

± 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 disclosed is as of December 31, 2020.

‡ All or a portion of this security has been pledged as collateral.

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.

& Unfunded or partially unfunded loan commitment. At December 31, 2020, the value of these

securities amounted to $6,313 or 0.0% of net assets.

SECURITY TYPE BREAKDOWN as a % of Net Assets:

US Government and Agency Obligations 19.2% Non-Agency Residential Collateralized Mortgage Obligations 18.7% Collateralized Loan Obligations 13.7% Non-Agency Commercial Mortgage Backed Obligations 13.1% US Government and Agency Mortgage Backed Obligations 7.0% Foreign Corporate Bonds 6.7% US Corporate Bonds 6.3% Asset Backed Obligations 5.9% Bank Loans 4.7% Short Term Investments 3.4% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.3% Other Assets and Liabilities (0.0)% ~

100.0%

~ Represents less than 0.05% of net assets

INVESTMENT BREAKDOWN as a % of Net Assets:

US Government and Agency Obligations 19.2% Non-Agency Residential Collateralized Mortgage Obligations 18.7% Collateralized Loan Obligations 13.7% Non-Agency Commercial Mortgage Backed Obligations 13.1% US Government and Agency Mortgage Backed Obligations 7.0% Asset Backed Obligations 5.9% Banking 3.7% Short Term Investments 3.4% Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.3% Utilities 1.2% Energy 1.2% Electronics/Electric 1.0% Transportation 0.9% Telecommunications 0.9% Healthcare 0.9% Finance 0.8% Business Equipment and Services 0.8% Pharmaceuticals 0.7% Technology 0.6% Media 0.5% Chemicals/Plastics 0.5% Automotive 0.5% Insurance 0.4% Food Service 0.4% Retailers (other than Food/Drug) 0.4% Real Estate 0.3% Food Products 0.3% Diversified Manufacturing 0.2% Industrial Equipment 0.2% Building and Development (including Steel/Metals) 0.2% Leisure 0.2% Environmental Control 0.2% Aerospace & Defense 0.2% Beverage and Tobacco 0.1% Commercial Services 0.1% Hotels/Motels/Inns and Casinos 0.1% Financial Intermediaries 0.1% Containers and Glass Products 0.1% Cosmetics/Toiletries 0.0% ~ Other Assets and Liabilities (0.0)% ~

100.0%

~ Represents less than 0.05% of net assets

EXCESS RETURN SWAPS

Unrealized Appreciation Financing Payment Termination Notional (Depreciation) Reference Entity Counterparty Long/Short Rate Frequency Date Amount / Value Colony Capital Fundamental US Real Estate Index Excess Return º BNP Paribas Long 0.45% Termination 04/14/2021 18,000,000 $ 3,387,386 Colony Capital Fundamental US Real Estate Index Excess Return º Barclays Capital, Inc. Long 0.45% Termination 07/08/2021 18,000,000 1,329,982 Colony Capital Fundamental US Real Estate Index Excess Return º Barclays Capital, Inc. Long 0.45% Termination 01/07/2021 6,700,000 89,355 Colony Capital Fundamental US Real Estate Index Excess Return º BNP Paribas Long 0.45% Termination 03/24/2021 18,000,000 (159,512) Colony Capital Fundamental US Real Estate Index Excess Return º Barclays Capital, Inc. Long 0.45% Termination 03/18/2021 14,000,000 (744,977) Colony Capital Fundamental US Real Estate Index Excess Return º BNP Paribas Long 0.45% Termination 01/20/2021 12,500,000 (817,602) Colony Capital Fundamental US Real Estate Index Excess Return º Barclays Capital, Inc. Long 0.45% Termination 02/04/2021 12,000,000 (1,293,349) Colony Capital Fundamental US Real Estate Index Excess Return º BNP Paribas Long 0.45% Termination 02/10/2021 18,000,000 (1,940,023)

$ (148,740)

º The Colony Capital Fundamental US Real Estate Index Excess Return aims to provide notional long exposure to Real Estate Investment Trusts (REITs) excluding mortgage REITs that meet certain market capitalization, liquidity and fundamental criteria. The constituents of the index are ordinary shares, which are REITs. Information on the sector constituents as of December 31, 2020, is available on the Barclays Capital, Inc. website at https://indices.barclays/doubleline.

DoubleLine Emerging Markets Local Currency Bond Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount/ Shares Security Description Rate Maturity Value $ Foreign Corporate Bonds - 8.6% Colombia - 3.4% 320,000,000 COP Emgesa S.A. 8.75% 01/25/2021 93,972 833,000,000 COP Empresas Publicas de Medellin ESP 8.38% ^ 11/08/2027 260,472

354,444

Mexico - 4.3% 2,030,000 MXN America Movil S.A.B. de C.V. 6.45% 12/05/2022 104,048 9,600,000 MXN International Bank for Reconstruction & Development 0.00% 06/30/2027 338,782

442,830

Peru - 0.9% 325,000 PEN Banco de Credito del Peru 4.65% ^ 09/17/2024 96,782

96,782

Total Foreign Corporate Bonds (Cost $874,294) 894,056

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 86.3%

Brazil - 6.6% 1,000 BRL Nota doo Tesouro Nacional 10.00% 01/01/2025 222,711 2,000 BRL Nota doo Tesouro Nacional 10.00% 01/01/2029 464,498

687,209

Chile - 3.5% 160,000,000 CLP Bonos de la Tesoreria de la Republica en pesos 4.00% ^ 03/01/2023 241,583 75,000,000 CLP Bonos de la Tesoreria de la Republica en pesos 4.70% ^ 09/01/2030 123,972

365,555

Colombia - 3.4% 725,000,000 COP Colombian TES 6.25% 11/26/2025 232,647 350,000,000 COP Colombian TES 7.50% 08/26/2026 118,403

351,050

Czech Republic - 4.4% 9,840,000 CZK Czech Republic Government Bond 0.45% 10/25/2023 459,949

459,949

Hungary - 3.1% 90,000,000 HUF Hungary Government Bond 3.00% 06/26/2024 324,953

324,953

Indonesia - 10.9% 6,500,000,000 IDR Indonesia Treasury Bond 6.13% 05/15/2028 466,566 1,900,000,000 IDR Indonesia Treasury Bond 8.25% 05/15/2029 155,042 6,170,000,000 IDR Indonesia Treasury Bond 8.38% 03/15/2034 511,605

1,133,213

Israel - 4.0% 1,230,000 ILS Israel Government Bond 1.75% 08/31/2025 408,642

408,642

Malaysia - 6.4% 1,700,000 MYR Malaysia Government Bond 3.50% 05/31/2027 450,369 790,000 MYR Malaysia Government Bond 3.83% 07/05/2034 209,276

659,645

Mexico - 4.8% 20,000 MXN Mexican Bonos 6.50% ἄ 06/10/2021 101,360 20,000 MXN Mexican Bonos 6.75% ἄ 03/09/2023 105,520 52,000 MXN Mexican Bonos 8.00% ἄ 09/05/2024 292,355

499,235

Peru - 2.8% 930,000 PEN Peru Government Bond 5.40% 08/12/2034 283,675

283,675

Philippines - 4.8% 18,000,000 PHP Philippine Government Bond 4.95% 01/15/2021 374,571 4,500,000 PHP Philippine Government Bond 6.88% 01/10/2029 121,867

496,438

Poland - 4.3% 1,065,000 PLN Republic of Poland Government Bond 2.25% 04/25/2022 293,727 500,000 PLN Republic of Poland Government Bond 3.25% 07/25/2025 151,155

444,882

Romania - 3.0% 1,160,000 RON Romania Government Bond 5.85% 04/26/2023 312,782

312,782

Russia - 9.7% 30,030,000 RUB Russian Federal Bond 6.90% 05/23/2029 436,665 23,000,000 RUB Russian Federal Bond 7.65% 04/10/2030 351,332 16,000,000 RUB Russian Federal Bond 6.10% 07/18/2035 211,503

999,500

Singapore - 3.5% 332,000 SGD Singapore Government Bond 2.00% 02/01/2024 264,016 115,000 SGD Singapore Government Bond 2.88% 07/01/2029 101,841

365,857

South Africa - 6.3% 4,100,000 ZAR Republic of South Africa Government Bond 7.75% 02/28/2023 297,278 5,400,000 ZAR Republic of South Africa Government Bond 8.00% 01/31/2030 350,905

648,183

Thailand - 4.8% 7,170,000 THB Thailand Government Bond 3.63% 06/16/2023 258,163 6,150,000 THB Thailand Government Bond 3.85% 12/12/2025 237,821

495,984

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $8,743,206) 8,936,752

Short Term Investments - 1.2% 41,158 BlackRock Liquidity Funds FedFund - Institutional Shares 0.01% ¨ 41,158 41,099 Fidelity Institutional Money Market Government Portfolio - Class I 0.01% ¨ 41,099 41,100 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 41,100

Total Short Term Investments (Cost $123,357) 123,357

Total Investments - 96.1% (Cost $9,740,857) 9,954,165 Other Assets in Excess of Liabilities - 3.9% 398,929

NET ASSETS - 100.0% $ 10,353,094

^ 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.

¨ Seven-day yield as of December 31, 2020

ἄ Principal amount is stated in 100 Mexican Peso Units.

BRL Brazilian Real

CLP Chilean Peso

COP Colombian Peso

CZK Czech Republic Koruna

HUF Hungarian Forint

IDR Indonesian Rupiah

ILS Israeli Shekel

MXN Mexican Peso

MYR Malaysian Ringgit

PEN Peruvian Sol

PHP Philippine Peso

PLN Polish Zloty

RON Romanian Leu

RUB Russian Ruble

SGD Singapore Dollar

THB Thai Baht

ZAR South African Rand

SECURITY TYPE BREAKDOWN as a % of Net Assets:

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 86.3% Foreign Corporate Bonds 8.6% Short Term Investments 1.2% Other Assets and Liabilities 3.9%

100.0%

COUNTRY BREAKDOWN as a % of Net Assets:

Indonesia 10.9% Russia 9.7% Mexico 9.1% Colombia 6.8% Brazil 6.6% Malaysia 6.4% South Africa 6.3% Philippines 4.8% Thailand 4.8% Czech Republic 4.4% Poland 4.3% Israel 4.0% Peru 3.7% Singapore 3.5% Chile 3.5% Hungary 3.1% Romania 3.0% United States 1.2% Other Assets and Liabilities 3.9%

100.0%

DoubleLine Income Fund Schedule of Investments December 31, 2020 (Unaudited)

Principal Amount $/Shares Security Description Rate Maturity Value $ Asset Backed Obligations - 9.5% 1,417,142 AASET Ltd., Series 2019-2-C 6.41% ^Þ 10/16/2039 677,264 1,141,433 GAIA Aviation Ltd., Series 2019-1-C 7.00% ^§Þ 12/15/2044 650,013 906,459 Pioneer Aircraft Finance Ltd., Series 2019-1-C 6.90% ^Þ 06/15/2044 579,143 20,000 SoFi Professional Loan Program, Series 2018-A-R1 6.11% ^@Þ 02/25/2042 887,573 5,930 SoFi Professional Loan Program, Series 2018-A-R2 6.11% ^@Þ 02/25/2042 263,165 1,087,239 START Ireland, Series 2019-1-C 6.41% ^Þ 03/15/2044 680,524 99,620 Start Ltd., Series 2019-2-C 6.66% ^Þ 11/15/2044 59,630 1,612,025 Sunnova Helios Issuer LLC, Series 2019-AA-B 4.49% ^ 06/20/2046 1,703,581 1,500,000 Tesla Auto Lease Trust, Series 2019-A-E 5.48% ^ 05/22/2023 1,585,018 1,967,004 Wave LLC, Series 2019-1-C 6.41% ^Þ 09/15/2044 1,210,217

Total Asset Backed Obligations (Cost $11,756,818) 8,296,128

Collateralized Loan Obligations - 14.1% 2,000,000 Cathedral Lake Ltd., Series 2016-4A-D (3 Month LIBOR USD + 4.51%) 4.73% ^ 10/20/2028 1,975,390 500,000 CIFC Funding Ltd., Series 2015-4A-CR (3 Month LIBOR USD + 4.00%, 4.00% Floor) 4.22% ^ 10/20/2027 500,120 1,000,000 GoldenTree Loan Opportunities Ltd., Series 2016-12A-DR (3 Month LIBOR USD + 2.90%) 3.11% ^ 07/21/2030 969,343 2,000,000 Highbridge Loan Management Ltd., Series 12A-18-C (3 Month LIBOR USD + 2.75%, 2.75% Floor) 2.97% ^ 07/18/2031 1,902,033 500,000 Magnetite Ltd., Series 2019-23A-D (3 Month LIBOR USD + 3.60%, 3.60% Floor) 3.81% ^ 10/25/2032 502,642 1,000,000 Octagon Investment Partners Ltd., Series 2012-1A-CR (3 Month LIBOR USD + 4.00%) 4.24% ^ 07/15/2029 999,342 500,000 Octagon Investment Partners Ltd., Series 2018-2A-C (3 Month LIBOR USD + 2.85%) 3.06% ^ 07/25/2030 481,643 1,000,000 OHA Credit Funding Ltd., Series 2019-4A-D (3 Month LIBOR USD + 3.75%, 3.75% Floor) 3.97% ^ 10/22/2032 1,005,289 3,500,000 Trimaran CAVU LLC, Series 2019-2A-C (3 Month LIBOR USD + 4.72%, 4.72% Floor) 4.94% ^ 11/26/2032 3,535,786 500,000 Venture Ltd., Series 2013-14A-BRR (3 Month LIBOR USD + 1.55%, 1.55% Floor) 1.77% ^ 08/28/2029 496,867

Total Collateralized Loan Obligations (Cost $12,240,856) 12,368,455

Non-Agency Commercial Mortgage Backed Obligations - 25.8% 221,620 Banc of America Commercial Mortgage Trust, Series 2007-4-G 5.87% #^ 02/10/2051 220,901 1,500,000 Bancorp Commercial Mortgage Trust, Series 2019-CRE5-E (1 Month LIBOR USD + 3.75%, 3.75% Floor) 3.91% ^ 03/15/2036 1,392,047 1,000,000 Bancorp Commercial Mortgage Trust, Series 2019-CRE6-E (1 Month LIBOR USD + 2.85%, 2.85% Floor) 3.01% ^ 09/15/2036 911,668 13,409,430 BANK, Series 2019-BN19-XFG 1.03% #^I/O 08/15/2061 957,070 1,000,000 Barclays Commercial Mortgage Securities LLC, Series 2017-DELC-F (1 Month LIBOR USD + 3.50%, 3.50% Floor) 3.66% ^ 08/15/2036 916,327 1,000,000 CLNC Ltd., Series 2019-FL1-D (1 Month LIBOR USD + 2.90%, 2.90% Floor) 3.05% ^ 08/20/2035 939,604 17,739,000 Commercial Mortgage Trust, Series 2014-CR20-XF 1.29% #^I/O 11/10/2047 813,919 87,000 DBGS Mortgage Trust, Series 2018-5BP-F (1 Month LIBOR USD + 2.45%, 2.45% Floor) 2.61% ^ 06/15/2033 80,175 1,242,000 Fontainebleau Miami Beach Trust, Series 2019-FBLU-H 3.96% #^ 12/10/2036 1,145,566 1,001,069 FREMF Mortgage Trust, Series 2017-KF27-B (1 Month LIBOR USD + 4.35%, 4.35% Floor) 4.50% ^ 12/25/2026 1,001,697 1,500,000 Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor) 3.29% ^ 12/15/2036 1,334,048 1,500,000 GS Mortgage Securities Trust, Series 2014-GC26-D 4.51% #^ 11/10/2047 1,127,606 1,500,000 GS Mortgage Securities Trust, Series 2015-GC32-D 3.35% 07/10/2048 1,337,312 1,000,000 GS Mortgage Securities Trust, Series 2019-SMP-F (1 Month LIBOR USD + 3.10%, 3.10% Floor) 3.26% ^ 08/15/2032 852,972 1,000,000 JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-G 4.45% #^ 05/05/2032 887,088 1,500,000 JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-E 3.36% #^Þ 09/15/2047 982,061 2,000,000 JPMCC Commercial Mortgage Securities Trust, Series 2019-MFP-F (1 Month LIBOR USD + 3.00%, 3.00% Floor) 3.16% ^ 07/15/2036 1,866,209 636,000 Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.35%, 4.35% Floor) 4.51% ^ 11/15/2034 529,016 236,000 MRCD Mortgage Trust, Series 2019-PARK-F 2.72% ^ 12/15/2036 227,419 1,407,000 MRCD Mortgage Trust, Series 2019-PARK-G 2.72% ^ 12/15/2036 1,312,530 405,040 Tharaldson Hotel Portfolio Trust, Series 2018-THL-E (1 Month LIBOR USD + 3.18%, 3.10% Floor) 3.33% ^ 11/11/2034 375,885 810,080 Tharaldson Hotel Portfolio Trust, Series 2018-THL-F (1 Month LIBOR USD + 3.95%, 4.04% Floor) 4.11% ^ 11/11/2034 743,871 1,562,000 UBS Commercial Mortgage Trust, Series 2013-C5-D 4.10% #^ 03/10/2046 984,546 16,770,640 UBS Commercial Mortgage Trust, Series 2017-C1-XA 1.54% #I/O 06/15/2050 1,252,470 562,000 UBS Commercial Mortgage Trust, Series 2018-NYCH-G (1 Month LIBOR USD + 4.84%, 4.84% Floor) 5.00% ^ 02/15/2032 483,170

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $25,401,050) 22,675,177

Non-Agency Residential Collateralized Mortgage Obligations - 26.4% 1,000,000 AMSR Trust, Series 2020-SFR4-G2 4.87% ^ 11/17/2037 1,020,523 1,100,000 Angel Oak Mortgage Trust LLC, Series 2019-2-B2 6.29% #^ 03/25/2049 1,131,711 87,108 Citigroup Mortgage Loan Trust, Inc., Series 2018-A-A1 4.00% #^ 01/25/2068 87,611 149,131 Citigroup Mortgage Loan Trust, Series 2019-E-A1 3.23% ^§ 11/25/2070 150,077 2,299,449 CitiMortgage Alternative Loan Trust, Series 2007-A3-1A1 6.00% ± 03/25/2037 2,301,221 1,161,697 Connecticut Avenue Securities Trust, Series 2019-R06-2M2 (1 Month LIBOR USD + 2.10%) 2.25% ^ 09/25/2039 1,164,256 2,500,000 Connecticut Avenue Securities Trust, Series 2020-R01-1M2 (1 Month LIBOR USD + 2.05%, 2.05% Floor) 2.20% ^ 01/25/2040 2,499,890 800,000 CSMC Trust, Series 2019-RPL8-A2 4.08% ^§ 10/25/2058 797,811 2,500,000 FMC GMSR Issuer Trust, Series 2019-GT2-B 4.72% #^ 09/25/2024 2,229,921 850,000 Homeward Opportunities Fund Trust, Series 2020-BPL1-A2 5.44% ^§ 08/25/2025 856,604 2,500,000 Legacy Mortgage Asset Trust, Series 2019-GS6-A2 4.45% ^§ 06/25/2059 2,499,533 2,000,000 Mello Warehouse Securitization Trust 2019-2, Series 2019-2-F (1 Month LIBOR USD + 3.25%, 3.25% Floor) 3.40% ^ 11/25/2052 2,001,338 500,000 Mello Warehouse Securitization Trust, Series 2019-1-G (1 Month LIBOR USD + 5.50%, 5.50% Floor) 5.65% ^ 06/25/2052 499,959 1,917,282 NRZ FHT Excess LLC, Series 2020-FHT1-A 4.21% ^ 11/25/2025 1,924,414 1,000,000 PRPM LLC, Series 2020-3-A2 5.07% ^§ 09/25/2025 1,006,560 1,600,000 Spruce Hill Mortgage Loan Trust, Series 2020-SH2-M1 4.33% #^ 06/25/2055 1,606,995 1,400,000 Verus Securitization Trust, Series 2020-5-B2 4.71% #^ 05/25/2065 1,416,512

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $23,389,601) 23,194,936

US Government and Agency Mortgage Backed Obligations - 9.0% 2,183,213 Federal Home Loan Mortgage Corporation, Pool SD8104 1.50% 11/01/2050 2,206,023 2,000,000 Federal Home Loan Mortgage Corporation, Series 2020-HQA1-M2 (1 Month LIBOR USD + 1.90%) 2.05% ^ 01/25/2050 2,001,177 2,489,309 Federal Home Loan Mortgage Corporation, Series 5037-IO 3.00% I/O 11/25/2050 360,685 1,324,827 Federal National Mortgage Association, Pool MA4095 2.00% 08/01/2035 1,385,169 1,678,911 Federal National Mortgage Association, Series 2020-77-S (-1 x Secured Overnight Financing Rate 30 Day Average + 4.15%, 4.15% Cap) 4.07% I/F I/O 11/25/2050 210,317 2,979,029 Federal National Mortgage Association, Series 2020-77-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 4.10%, 4.10% Cap) 4.02% I/F I/O 11/25/2050 344,586 1,396,939 Federal National Mortgage Association, Series 2020-M10-X2 1.70% #I/O 12/25/2030 189,312 3,379,165 Federal National Mortgage Association, Series 2020-M17-X1 1.45% #I/O 01/25/2028 255,637 4,322,634 Government National Mortgage Association, Series 2020-80-MS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) 6.10% I/F I/O 06/20/2045 981,454

Total US Government and Agency Mortgage Backed Obligations (Cost $7,924,832) 7,934,360

US Government and Agency Obligations - 4.9% 4,300,000 United States Treasury Notes 0.50% 08/31/2027 4,272,621

Total US Government and Agency Obligations (Cost $4,307,580) 4,272,621

Short Term Investments - 9.0% 2,634,004 First American Government Obligations Fund - Class U 0.04% ¨ 2,634,004 2,634,005 JP Morgan U.S. Government Money Market Fund - Institutional Share Class 0.03% ¨ 2,634,005 2,634,004 Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class 0.03% ¨ 2,634,004

Total Short Term Investments (Cost $7,902,013) 7,902,013

Total Investments - 98.7% (Cost $92,922,750) 86,643,690 Other Assets in Excess of Liabilities - 1.3% 1,157,479

NET ASSETS - 100.0% $ 87,801,169

^ 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.

Þ Value determined using significant unobservable inputs.

§ The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2020.

@ 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 December 31, 2020.

# 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 December 31, 2020.

I/O Interest only security

± 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 disclosed is as of December 31, 2020.

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.

¨ Seven-day yield as of December 31, 2020 SECURITY TYPE BREAKDOWN as a % of Net Assets:

Non-Agency Residential Collateralized Mortgage Obligations 26.4% Non-Agency Commercial Mortgage Backed Obligations 25.8% Collateralized Loan Obligations 14.1% Asset Backed Obligations 9.5% US Government and Agency Mortgage Backed Obligations 9.0% Short Term Investments 9.0% US Government and Agency Obligations 4.9% Other Assets and Liabilities 1.3%

100.0%

Notes to Schedule of Investments December 31, 2020 (Unaudited)

1. 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 19 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 Income 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, DoubleLine Shiller Enhanced International CAPE®, DoubleLine Colony Real Estate and Income Fund, DoubleLine Emerging Markets Local Currency Bond Fund and DoubleLine Income Fund (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 semi-annual report. Shares of the DoubleLine Emerging Markets Local Currency Bond Fund are currently only available for purchase by employees and officers of DoubleLine Capital LP (“DoubleLine Capital”) and DoubleLine Alternatives LP (formerly DoubleLine Commodity LP) (each, an “Adviser” and, collectively, the “Advisers”), their affiliates and their family members, and the Advisers and their affiliates.

Each Fund is classified as a diversified fund under the 1940 Act, except the DoubleLine Global Bond Fund, the DoubleLine Emerging Markets Local Currency Bond Fund and the DoubleLine Income Fund, which are classified as non-diversified funds. Currently under the 1940 Act, a diversified fund generally may not, with respect to 75% of its total assets, invest more than 5% of its total assets in the securities of any one issuer or own more than 10% of the outstanding voting securities of such issuer (except, in each case, U.S. Government securities, cash, cash items and the securities of other investment companies). The remaining 25% of a fund’s total assets is not subject to this limitation.

The Funds’ investment objectives and dates each share class commenced operations are as follows:

Commencement of Operations Fund Name Investment Objective I Shares N Shares A Shares R6 Shares DoubleLine Total Return Bond Fund Maximize total return 4/6/2010 4/6/2010 — 7/31/2019 DoubleLine Core Fixed Income Fund Maximize current income and total return 6/1/2010 6/1/2010 — 7/31/2019 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 — 7/31/2019 DoubleLine Floating Rate Fund Seek a 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 — 7/31/2019 DoubleLine Flexible Income Fund Seek long-term total return while striving to generate current income 4/7/2014 4/7/2014 — 7/31/2019 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 — — DoubleLine Colony Real Estate and Income Fund Seek total return which exceeds the total return of its benchmark index over a full market cycle 12/17/2018 12/17/2018 — — DoubleLine Emerging Markets Local Currency Bond Fund Seek high total return from current income and capital appreciation 6/28/2019 6/28/2019 — — DoubleLine Income Fund Maximize total return through investment principally in income-producing securities 9/3/2019 9/3/2019 — — 2. 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”).

A. 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)

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. Assets and liabilities may be transferred between levels.

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 Standard inputs agencies Residential and commercial mortgage-backed Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, obligations; asset-backed obligations (including credit enhancements and specific deal information, trustee reports collateralized loan obligations) 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, 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 by the Adviser in accordance with the fair valuation procedures approved by the Board of Trustees (the “Board”). The Adviser’s valuation committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Adviser’s 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 or third party vendor prices 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.

The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of December 31, 2020:

DoubleLine DoubleLine Emerging Multi-Asset DoubleLine Low DoubleLine DoubleLine Total DoubleLine Core Markets Fixed Growth Fund Duration Bond Floating Rate Category Return Bond Fund Fixed Income Fund Income Fund (Consolidated) Fund Fund Investments in Securities Level 1 Money Market Funds $ 2,216,597,323 $ 526,283,484 $ 27,388,194 $ 4,935,513 $ 234,862,030 $ 10,852,340 Affiliated Mutual Funds 6,949,998 1,191,344,598 — 7,390,254 49,850,000 — Exchange Traded Funds and Common Stocks — 2,261,105 589,524 567,948 230,468 26,130 Total Level 1 2,223,547,321 1,719,889,187 27,977,718 12,893,715 284,942,498 10,878,470 Level 2 US Government and Agency Mortgage Backed Obligations 26,559,193,023 2,294,386,058 — 5,906,205 584,072,299 — Non-Agency Residential Collateralized Mortgage Obligations 13,358,221,396 1,167,062,542 — 4,666,662 1,127,692,637 — Non-Agency Commercial Mortgage Backed Obligations 4,501,551,832 926,554,504 — — 1,030,915,556 — Asset Backed Obligations 2,199,228,013 307,577,646 — — 545,852,075 — US Government and Agency Obligations 1,995,233,779 2,092,436,634 — — 511,849,973 — Collateralized Loan Obligations 1,531,233,026 340,370,490 — — 980,625,025 — Repurchase Agreements 272,025,000 — — — — — Bank Loans 38,000,000 430,123,212 — — 164,919,465 159,301,930 US Corporate Bonds — 1,670,464,854 — — 286,648,628 15,165,749 Foreign Corporate Bonds — 992,143,048 646,551,876 — 887,607,319 722,050 Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations — 125,162,429 136,906,854 — 121,550,888 — Other Short Term Investments — 29,744,716 — 3,198,716 — — Municipal Bonds — 11,534,282 — — — — Total Level 2 50,454,686,069 10,387,560,415 783,458,730 13,771,583 6,241,733,865 175,189,729 Level 3 Non-Agency Residential Collateralized Mortgage Obligations 338,176,540 37,246,855 — 868,562 — — Collateralized Loan Obligations 367,810 — — 103,881 — — Common Stocks — 1,354,387 — — — 1,010,703 Bank Loans — 623,174 — — — 484,103 Foreign Corporate Bonds — 51,002 82,503 — — — Warrants — — — — — — Total Level 3 338,544,350 39,275,418 82,503 972,443 — 1,494,806 Total $53,016,777,740 $12,146,725,020 $ 811,518,951 $ 27,637,741 $6,526,676,363 $ 187,563,005 Other Financial Instruments Level 1 Futures Contracts $ — $ — $ — $ 167,702 $ — $ — Total Level 1 — — — 167,702 — — Level 2 Excess Return Swaps — — — 1,112,840 — — Total Level 2 — — — 1,112,840 — — Level 3 — — — — — — Total $ — $ — $ — $ 1,280,542 $ — $ —

DoubleLine Low Duration DoubleLine DoubleLine Emerging Long Duration Strategic DoubleLine DoubleLine Shiller DoubleLine Flexible Markets Fixed Total Return Commodity Fund Global Bond Category Enhanced CAPE® Income Fund Income Fund Bond Fund (Consolidated) Fund Investments in Securities Level 1 Money Market Funds $ 479,574,345 $ 13,652,883 $ 25,344,060 $ 5,047,587 $ 4,720,329 $ 29,477,862 Affiliated Mutual Funds 199,949,999 49,704,525 — — — — Common Stocks 31,980 438,813 54,821 — — — Total Level 1 679,556,324 63,796,221 25,398,881 5,047,587 4,720,329 29,477,862 Level 2 US Government and Agency Obligations 1,355,739,638 — — 15,807,902 — 240,658,417 Non-Agency Residential Collateralized Mortgage Obligations 995,550,689 232,091,221 — — — — Collateralized Loan Obligations 942,473,923 226,630,666 — — — — Non-Agency Commercial Mortgage Backed Obligations 899,885,506 159,679,040 — — — — Foreign Corporate Bonds 610,528,443 123,245,133 187,521,106 — — — US Government and Agency Mortgage Backed Obligations 550,075,127 33,988,341 — 66,976,954 — — Asset Backed Obligations 494,540,454 65,467,335 — — — — Bank Loans 307,789,613 68,657,804 — — — — US Corporate Bonds 297,122,303 90,064,010 — — — — Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 72,777,471 17,797,394 51,670,031 — — 575,873,045 Repurchase Agreements 30,225,000 — — — — — Other Short Term Investments — — — — 125,956,477 1,209,634 Total Level 2 6,556,708,167 1,017,620,944 239,191,137 82,784,856 125,956,477 817,741,096 Level 3 Non-Agency Commercial Mortgage Backed Obligations 6,606,678 1,253,323 — — — — Common Stocks 1,029,415 297,527 — — — — Bank Loans 493,066 136,617 — — — — Foreign Corporate Bonds 1,498 1,500 4,494 — — — Non-Agency Residential Collateralized Mortgage Obligations — 22,126,717 — — — — Asset Backed Obligations — 11,514,169 — — — — Collateralized Loan Obligations — 1,208,465 — — — — Warrants — — — — — — Total Level 3 8,130,657 36,538,318 4,494 — — — Total $ 7,244,395,148 $ 1,117,955,483 $ 264,594,512 $ 87,832,443 $ 130,676,806 $ 847,218,958 Other Financial Instruments Level 1 Futures Contracts $ — $ — $ — $ (467,788) $ — $ — Total Level 1 — — — (467,788) — — Level 2 Excess Return Swaps 1,226,415,228 — — — 7,861,164 — Forward Currency Exchange Contracts — — — — — — Total Level 2 1,226,415,228 — — — 7,861,164 — Level 3 — — — — — — Total $ 1,226,415,228 $ — $ — $ (467,788) $ 7,861,164 $ —

DoubleLine Doubleline Shiller Doubleline Emerging DoubleLine DoubleLine Enhanced Colony Real Markets Local Infrastructure Ultra Short International Estate and Currency Doubleline Category Income Fund Bond Fund CAPE® Income Fund Bond Fund Income Fund Investments in Securities Level 1 Money Market Funds $ 26,661,510 $ 445,251 $ 3,993,701 $ 3,930,378 $ 123,357 $ 7,902,013 Affiliated Mutual Funds — — 1,842,000 — — — Total Level 1 26,661,510 445,251 5,835,701 3,930,378 123,357 7,902,013 Level 2 US Corporate Bonds 270,336,752 90,195,450 2,346,779 7,312,889 — — Asset Backed Obligations 225,655,901 — 929,589 6,896,450 — 3,288,599 Foreign Corporate Bonds 69,948,706 59,185,574 2,166,756 7,818,351 894,056 — Bank Loans 6,000,000 — — 5,531,867 — — Commercial Paper — 73,310,036 — — — — US Government and Agency Mortgage Backed Obligations — 9,000,373 2,719,410 8,165,737 — 7,934,360 Non-Agency Residential Collateralized Mortgage Obligations — — 5,609,643 21,765,707 — 23,194,936 Non-Agency Commercial Mortgage Backed Obligations — — 5,256,519 15,262,229 — 21,693,116 Collateralized Loan Obligations — — 5,235,545 15,923,625 — 12,368,455 US Government and Agency Obligations — — 4,332,365 22,429,345 — 4,272,621 Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations — — 507,530 1,524,791 8,936,752 — Total Level 2 571,941,359 231,691,433 29,104,136 112,630,991 9,830,808 72,752,087 Level 3 Foreign Corporate Bonds 2,692,227 — — — — — Asset Backed Obligations — — — — — 5,007,529 Non-Agency Commercial Mortgage Backed Obligations — — — — — 982,061 Total Level 3 2,692,227 — — — — 5,989,590 Total $ 601,295,096 $ 232,136,684 $ 34,939,837 $ 116,561,369 $ 9,954,165 $ 86,643,690 Other Financial Instruments Level 1 $ — $ — $ — $ — $ — $ — Total Level 1 — — — — — — Level 2 Excess Return Swaps — — 4,273,153 (148,740) — — Forward Currency Exchange Contracts — — 3,261,870 — — — Total Level 2 — — 7,535,023 (148,740) — — Level 3 — — — — — — Total $ — $ — $ 7,535,023 $ (148,740) $ — $ — See the Schedules of Investments for further disaggregation of investment categories.

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

Net Change in Unrealized Appreciation Net Net Change in (Depreciation) Fair Value Realized Unrealized Transfers Transfers Fair Value on securities as of Gain Appreciation Net Accretion Into Out of as of held at DoubleLine Multi-Asset Growth Fund 3/31/2020 (Loss) (Depreciation)3 (Amortization) Purchases 1 Sales 2 Level 34 Level 34 12/31/2020 13/31/2020 3 Investments in Securities Non-Agency Residential Collateralized Mortgage Obligations $ 896,350 $ - $ (19,473) $(8,315) $ - $ - $ - $ - $ 868,562 $ (19,473) Collateralized Loan Obligations 72,621 - 31,260 - - - - - 103,881 31,260

Total $ 968,971 $ - $ 11,787 $(8,315) $ - $ - $ - $ - $ 972,443 $ 11,787

1 Purchases include all purchases of securities, payups and corporate actions. 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 December 31, 2020 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:

Fair Value Unobservable Input as of Valuation Unobservable Values Impact to valuation from an DoubleLine Multi-Asset Growth Fund 12/31/2020 Techniques Input (Weighted Average)+ increase to input Significant changes in the market quotes would have resulted in direct and proportional changes in the fair Non-Agency Residential Collateralized Mortgage Obligations $ 868,562 Market Comparables Market Quotes $ 95.45 ($95.45) value of the security Significant changes in the market quotes would have resulted in direct and proportional changes in the fair Collateralized Loan Obligations $ 103,881 Market Comparables Market Quotes $ 10.39 ($10.39) value of the security + Unobservable inputs were weighted by the relative fair value of the instruments.

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

Net Change in Unrealized Appreciation Net Net Change in (Depreciation) Fair Value Realized Unrealized Transfers Transfers Fair Value on securities as of Gain Appreciation Net Accretion Into Out of as of held at DoubleLine Flexible Income Fund 3/31/2020 (Loss) (Depreciation)3 (Amortization) Purchases1 Sales 2 Level 34 Level 34 12/31/2020 12/31/2020 3 Investments in Securities Non-Agency Residential Collateralized Mortgage Backed Obgligations $20,518,003 $ (24,780) $1,548,983 $ 30,429 $ 54,723 $ (641) $ - $ - $22,126,717 $1,553,271 Asset Backed Obligations - - (605,156) - 3,565,000 - 8,554,325 - 11,514,169 - Non-Agency Commercial Mortgage Backed Obgligations 444,116 (889,765) 676,374 - - (230,725) 1,253,323 - 1,253,323 - Collateralized Loan Obligations 180,404 - (140,837) 1,438 11,539 - 1,155,921 - 1,208,465 (137,874) Common Stocks ------297,527 - 297,527 - Bank Loans - 265 53,747 1,675 81,594 (664) - - 136,617 - Foreign Corporate Bonds 1,500 ------1,500 -

Total $21,144,023 $ (914,280) $1,533,111 $ 33,542 $3,712,856 $ (232,030) $11,261,096 $ - $36,538,318 $1,415,397

1 Purchases include all purchases of securities, payups and corporate actions. 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 December 31, 2020 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:

Fair Value Unobservable Input as of Valuation Unobservable Values Impact to valuation from an DoubleLine Flexible Income Fund 12/31/2020 Techniques Input (Weighted Average)+ increase to input Significant changes in the market quotes would have Non-Agency Residential Collateralized Mortgage Backed resulted in direct and proportional changes in the fair Obgligations $22,126,717 Market Comparables Market Quotes $87.90 - $95.45 ($92.27) value of the security Significant changes in the market quotes would have resulted in direct and proportional changes in the fair Asset Backed Obligations $11,514,169 Market Comparables Market Quotes $48.97- $3,217.22 ($870.78) value of the security Increase in yields would have resulted in the Non-Agency Commercial Mortgage Backed Obgligations $ 1,253,323 Market Comparables Yields 38.01% (38.01%) decrease in the fair vale of the security Significant changes in the market quotes would have resulted in direct and proportional changes in the fair Collateralized Loan Obligations $ 1,208,465 Market Comparables Market Quotes $20.09-$92.47 ($89.33) value of the security Significant changes in the market quotes would have resulted in direct and proportional changes in the fair Common Stocks $ 297,527 Market Comparables Market Quotes $3.43- $17.51 ($16.57) value of the security Significant changes in the market quotes would have resulted in direct and proportional changes in the fair Bank Loans $ 136,617 Market Comparables Market Quotes $99.52-$100.00 ($99.98) value of the security Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the Foreign Corporate Bonds $ 1,500 Enterprise Values EBITDA multiples 5x - 6.5x (5.75x) security. + Unobservable inputs were weighted by the relative fair value of the instruments.

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

Net Change in Unrealized Appreciation Net Net Change in (Depreciation) Fair Value Realized Unrealized Transfers Transfers Fair Value on securities as of Gain Appreciation Net Accretion Into Out of as of held at DoubleLine Infrastructure Income Fund 3/31/2020 (Loss) (Depreciation)3 (Amortization) Purchases 1 Sales 2 Level 34 Level 34 12/31/2020 12/31/2020 3 Investments in Securities Foreign Corporate Bonds $9,904,084 $ 674,626 $ 28,596 $(905) $ - $ (7,914,174) $ - $ - $2,692,227 $ 232,334

Total $9,904,084 $ 674,626 $ 28,596 $(905) $ - $ (7,914,174) $ - $ - $2,692,227 $ 232,334

1 Purchases include all purchases of securities, payups and corporate actions. 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 December 31, 2020 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:

Fair Value Unobservable Input as of Valuation Unobservable Values Impact to valuation from an DoubleLine Infrastructure Income Fund 12/31/2020 Techniques Input (Weighted Average)+ increase to input Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the Foreign Corporate Bonds $2,692,227 Market Comparables Market Quotes $113.25 ($113.25) security + Unobservable inputs were weighted by the relative fair value of the instruments.

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

Net Change in Unrealized Appreciation Net Net Change in (Depreciation) Fair Value Realized Unrealized Transfers Transfers Fair Value on securities as of Gain Appreciation Net Accretion Into Out of as of held at DoubleLine Income Fund 3/31/2020 (Loss) (Depreciation)3 (Amortization) Purchases 1 Sales 2 Level 34 Level 34 12/31/2020 12/31/2020 3 Investments in Securities Asset Backed Obligations $ - $ - $ - $ - $ - $ - $5,007,529 $ - $5,007,529 - Non-Agency Commercial Mortgage Backed Obligations 1,074,676 - (101,935) 9,320 - - - - 982,061 (101,935)

Total $1,074,676 $ - $ (101,935) $ 9,320 $ - $ - $5,007,529 $ - $5,989,590 $ (101,935)

1 Purchases include all purchases of securities, payups and corporate actions. 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 December 31, 2020 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:

Fair Value Unobservable Input as of Valuation Unobservable Values Impact to valuation from an DoubleLine Income Fund 12/31/2020 Techniques Input (Weighted Average)+ increase to input Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the Asset Backed Obligations $5,007,529 Market Comparables Market Quotes $ 47.79-$4,437.87 ($1,065.16) security Increase in the yields would have resulted in the decrease in Non-Agency Commercial Mortgage Backed Obligations $ 982,061 Market Comparables Yields 16.15% (16.15%) the fair value of the security + Unobservable inputs were weighted by the relative fair value of the instruments.