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Portfolio of Investments September 30, 2025
JLS
(Unaudited)
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
LONG-TERM INVESTMENTS - 123.3% (95.4% of Total Investments)
ASSET-BACKED SECURITIES - 38.8% (30.1% of Total Investments)
–
$
929,674
(a)
AASET 2020-1 Trust, Series 2020 1A
6.413
%
01/16/40
$
877,398
1,500,000
(a),(b)
ACRE Commercial Mortgage 2021-FL4 Ltd, Series 2021 FL4,
(TSFR1M + 3.214%)
7.350
12/18/37
1,430,792
299,853
(a)
Air Canada 2020-2 Class B Pass Through Trust, Series 2020 A
9.000
10/01/25
299,878
500,000
(a),(b)
Allegro CLO XIII Ltd, Series 2021 1A, (TSFR3M + 6.300%)
10.618
07/20/38
503,909
750,000
(a),(b),(c)
Apidos CLO XLII Ltd, Series 2022 42A, (TSFR3M + 3.650%)
7.919
04/20/38
753,636
375,000
(a),(b)
Ares LXIII CLO Ltd, Series 2022 63A, (TSFR3M + 6.000%)
10.283
10/15/38
380,010
375,000
(a),(b)
Armor RE II Ltd, (3-Month U.S. Treasury Bill + 8.500%)
0.000
01/07/28
399,375
550,000
(a)
Avis Budget Rental Car Funding AESOP LLC, Series 2021 2A
4.080
02/20/28
538,128
750,000
(a),(b)
Bonanza RE Ltd, (3-Month U.S. Treasury Bill + 8.030%)
12.787
01/08/26
760,875
272,175
(a),(c)
British Airways 2020-1 Class B Pass Through Trust, Series 2020
A
8.375
11/15/28
286,822
2,000,000
(a),(c)
Cars Net Lease Mortgage Notes Series 2020-1, Series 2020 1A
4.690
12/15/50
1,879,285
775,000
(a)
CARS-DB4 LP, Series 2020 1A
4.520
02/15/50
754,339
250,000
(a),(b)
Cayuga Park CLO Ltd, Series 2020 1A, (TSFR3M + 6.262%)
1.000
07/17/34
251,656
1,000,000
(a)
Centersquare Issuer LLC, Series 2024 1A
5.600
10/26/54
980,150
385,000
(a),(b)
CIFC Funding 2020-II Ltd, Series 2020 2A, (TSFR3M + 6.762%)
11.087
10/20/34
386,909
700,000
(a),(b)
CIFC Funding 2022-II Ltd, Series 2022 2A, (TSFR3M + 4.750%)
9.075
04/19/35
703,524
250,000
(a)
Cologix Data Centers US Issuer LLC, Series 2021 1A
5.990
12/26/51
247,367
1,000,000
(a)
Consolidated Communications LLC/Fidium Fiber Finance
Holdco LLC, Series 2025 1A
9.408
05/20/55
1,051,365
625,000
(a)
Elara Hgv Timeshare Issuer 2025-A LLC, Series 2025 A
6.910
01/25/40
622,597
1,000,000
(a),(b),(c)
Elmwood CLO 26 Ltd, Series 2024 1A, (TSFR3M + 6.450%)
10.779
04/18/37
1,014,544
500,000
(a)
ExteNet Issuer LLC, Series 2024 1A
9.050
07/25/54
517,302
1,500,000
(a),(d)
Frontier Issuer LLC, Series 2023 1
8.300
08/20/53
1,536,804
1,500,000
(a)
Frontier Issuer LLC, Series 2023 1
11.500
08/20/53
1,563,374
500,000
(a),(b)
Goldentree Loan Management US CLO 1 Ltd, Series 2021 11A,
(TSFR3M + 7.762%)
12.379
10/20/34
486,329
1,000,000
(a),(b)
GRACIE POINT INTERNATIONAL FUNDING 2023-2, Series
2023 2A, (SOFR90A + 5.400%)
9.756
03/01/27
1,004,645
173,000
(a),(b)
Gracie Point International Funding 2024-1 LLC, Series 2024 1A,
(SOFR90A + 7.150%)
11.505
03/01/28
173,648
325,000
(a),(b)
Gracie Point International Funding 2025-1 LLC, Series 2025 1A,
(SOFR30A + 2.000%)
6.354
08/15/28
325,880
127,000
(a),(b)
Gracie Point International Funding 2025-1 LLC, Series 2025 1A,
(SOFR30A + 2.750%)
7.104
08/15/28
127,111
100,000
(a),(b)
Gracie Point International Funding 2025-1 LLC, Series 2025 1A,
(SOFR30A + 4.500%)
8.854
08/15/28
100,051
476,250
(a)
Hardee's Funding LLC, Series 2020 1A
3.981
12/20/50
459,252
7,143
(a),(b)
Hestia Re Ltd, (1-Month U.S. Treasury Bill + 0.100%)
4.004
04/22/29
3,571
124,517
(a)
HIN Timeshare Trust 2020-A, Series 2020 A
5.500
10/09/39
122,826
88,940
(a)
HIN Timeshare Trust 2020-A, Series 2020 A
6.500
10/09/39
86,050
750,000
(a)
Hotwire Funding LLC, Series 2024 1A
9.188
06/20/54
785,465
400,000
(a)
Lmrk Issuer Co 2 LLC, Series 2025 1A
8.120
09/15/55
401,610
213,576
(a)
LUNAR AIRCRAFT 2020-1 LTD, Series 2020 1A
3.376
02/15/45
209,369
1,125,000
(a),(b)
Magnetite XXIII Ltd, Series 2019 23A, (TSFR3M + 6.562%)
7.484
01/25/35
1,133,597
1,000,000
MetroNet Infrastructure Issuer LLC, Series 2025 1
9.370
07/20/55
1,022,921
500,000
(a)
MetroNet Infrastructure Issuer LLC, Series 2025 2A
7.830
08/20/55
507,431
1,000,000
(a)
Mexico Remittances Funding Fiduciary Estate Management
Sarl
12.500
10/15/31
1,017,610
1,525,000
(a),(e)
Mosaic Solar Loan Trust 2019-2, Series 2019 2A
0.000
09/20/40
527,040
460,438
(a)
Mosaic Solar Loan Trust 2020-2, Series 2020 2A
5.420
08/20/46
431,085
1,000,000
(a)
Mosaic Solar Loan Trust 2024-1, Series 2024 1A
10.000
09/20/49
219,595
105,721
(a)
MVW 2020-1 LLC, Series 2020 1A
7.140
10/20/37
105,988
500,000
(a),(b)
Neuberger Berman Loan Advisers CLO 34 Ltd, Series 2019
34A, (TSFR3M + 5.000%)
9.329
07/20/39
502,160
500,000
(a),(b)
Neuberger Berman Loan Advisers CLO 40 Ltd, Series 2021
40A, (TSFR3M + 2.800%)
6.900
10/16/37
501,509
500,000
(a),(b)
Neuberger Berman Loan Advisers CLO 40 Ltd, Series 2021
40A, (TSFR3M + 5.150%)
9.250
10/16/37
502,358
Portfolio of Investments September 30, 2025
(continued)
JLS
2
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
ASSET-BACKED SECURITIES
(continued)
$
1,000,000
(a),(b),(c)
Neuberger Berman Loan Advisers CLO 48 Ltd, Series 2022
48A, (TSFR3M + 2.700%)
7.018
%
04/25/36
$
1,001,430
26,590
(a)
Oportun Funding 2022-1 LLC, Series 2022 1
6.000
06/15/29
26,597
271,263
(a)
Oportun Issuance Trust 2021-B, Series 2021 B
5.410
05/08/31
269,051
156,562
(a)
Oportun Issuance Trust 2021-C, Series 2021 C
5.570
10/08/31
154,811
2,000,000
(a)
Oportun Issuance Trust 2024-1, Series 2024 1A
12.072
04/08/31
2,069,465
1,000,000
(a)
Oportun Issuance Trust 2025-B, Series 2025 B
9.400
05/09/33
1,010,076
500,000
(a),(b)
Palmer Square CLO 2021-4 Ltd, Series 2021 4A, (TSFR3M +
5.750%)
10.022
07/15/38
504,869
500,000
(a),(b)
Rad CLO 6 Ltd, Series 2019 6A, (TSFR3M + 6.750%)
11.075
10/20/37
505,863
750,000
(a),(b),(c)
Rad CLO 7 Ltd, Series 2020 7A, (TSFR3M + 4.150%)
8.472
04/17/36
751,197
350,000
(a),(b)
REESE PARK CLO LTD, Series 2020 1A, (TSFR3M + 6.000%)
10.318
01/15/38
351,171
500,000
(a),(b)
Residential Reinsurance 2022 Ltd, (3-Month U.S. Treasury Bill +
7.590%)
11.494
12/06/26
522,600
250,000
(a),(b)
Residential Reinsurance 2025 Ltd, (3-Month U.S. Treasury Bill +
5.750%)
4.783
06/06/29
258,450
410,771
(a)
Start II LTD, Series 2019 1
5.095
03/15/44
408,455
436,470
(a),(b)
Sunnova Helios XII Issuer LLC, Series 2023 B
6.000
08/22/50
322,903
1,000,000
(a),(b)
TruPS Financials Note Securitization 2025-2, Series 2025 2A,
(TSFR3M + 1.900%)
5.872
07/15/39
1,000,500
1,000,000
(a),(b)
TruPS Financials Note Securitization 2025-2, Series 2025 2A,
(TSFR3M + 2.250%)
6.222
07/15/39
1,000,500
1,000,000
(a)
Uniti Fiber Abs Issuer Llc, Series 2025 1A
9.018
04/20/55
1,043,682
500,000
(a),(b)
Ursa Re II Ltd, (3-Month U.S. Treasury Bill + 7.000%)
10.904
12/06/25
504,200
629,337
(a)
Vivint Solar Financing V LLC, Series 2018 1A
7.370
04/30/48
610,455
500,000
(a)
Zayo Issuer LLC, Series 2025 1A
8.659
03/20/55
518,659
TOTAL ASSET-BACKED SECURITIES
(Cost $42,159,954)
41,332,074
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
MORTGAGE-BACKED SECURITIES - 84.5% (65.3% of Total Investments)
–
1,000,000
(a),(b)
ARDN 2025-ARCP Mortgage Trust, Series 2025 ARCP, (TSFR1M
+ 3.000%)
7.150
06/15/35
1,002,333
1,000,000
(a),(b)
ARDN 2025-ARCP Mortgage Trust, Series 2025 ARCP, (TSFR1M
+ 4.500%)
8.650
06/15/35
1,002,419
1,000,000
(b),(c)
BANK 2017-BNK6, Series 2017 BNK6
3.851
07/15/60
919,116
1,000,000
(a),(c)
BANK 2019-BNK21, Series 2019 BN21
2.500
10/17/52
744,565
1,000,000
(a),(b)
BBCMS Mortgage Trust 2020-C6, Series 2020 C6
3.811
02/15/53
798,174
1,750,000
(a),(b),(c)
BBCMS Trust 2015-SRCH, Series 2015 SRCH
5.122
08/10/35
1,652,077
500,000
(b)
Benchmark 2018-B2 Mortgage Trust, Series 2018 B2
4.435
02/15/51
381,989
1,100,000
(b),(c)
Benchmark 2019-B14 Mortgage Trust, Series 2019 B14
3.903
12/15/62
772,707
948,827
(a),(b)
BLP Commercial Mortgage Trust 2024-IND2, Series 2024 IND2,
(TSFR1M + 3.689%)
8.011
03/15/41
949,061
1,000,000
(b),(c)
Cantor Commercial Real Estate Lending 2019-CF1, Series 2019
CF1
4.352
05/15/52
860,334
845,000
(b)
CD 2016-CD1 Mortgage Trust, Series 2016 CD1
3.631
08/10/49
465,387
1,500,000
(b)
CD 2016-CD2 Mortgage Trust, Series 2016 CD2
4.106
11/10/49
908,654
1,978,000
(b)
CD 2017-CD3 Mortgage Trust, Series 2017 CD3
4.681
02/10/50
890,719
23,912
(a),(b)
CF 2020-P1 Mortgage Trust, Series 2020 P1
2.840
04/15/52
23,769
342,041
(b)
CHL Mortgage Pass-Through Trust 2006-HYB1, Series 2006
HYB1
4.936
03/20/36
319,037
1,458,068
(a),(b)
COMM 2013-LC13 Mortgage Trust, Series 2013 LC13
5.549
08/10/46
1,357,637
925,000
(b),(c)
COMM 2014-CCRE15 Mortgage Trust, Series 2014 CR15
4.067
02/10/47
887,926
752,021
(c)
COMM 2014-CCRE17 Mortgage Trust, Series 2014 CR17
4.377
05/10/47
731,905
395,371
(b),(c)
COMM 2014-CR14 Mortgage Trust, Series 2014 CR14
3.792
02/10/47
384,795
1,500,000
(a),(b)
COMM 2014-UBS3 Mortgage Trust, Series 2014 UBS3
4.767
06/10/47
682,500
1,400,000
(a)
COMM 2015-CCRE22 Mortgage Trust, Series 2015 CR22
3.000
03/10/48
839,580
513,884
(b),(c)
COMM 2015-CCRE23 Mortgage Trust, Series 2015 CR23
4.352
05/10/48
499,786
1,800,000
(b)
COMM 2015-CCRE24 Mortgage Trust, Series 2015 CR24
3.463
08/10/48
1,637,775
249,838
(b),(c)
COMM 2015-CCRE25 Mortgage Trust, Series 2015 CR25
4.490
08/10/48
247,433
1,245,000
(b),(c)
COMM 2015-CCRE25 Mortgage Trust, Series 2015 CR25
3.768
08/10/48
1,175,353
3
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
MORTGAGE-BACKED SECURITIES
(continued)
$
625,000
(a),(b)
Connecticut Avenue Securities Trust 2021-R03, Series 2021
R03, (SOFR30A + 5.500%)
9.856
%
12/25/41
$
647,591
2,100,000
(a),(b)
Connecticut Avenue Securities Trust 2022-R01, Series 2022
R01, (SOFR30A + 6.000%)
10.356
12/25/41
2,195,017
1,000,000
(a),(b)
Connecticut Avenue Securities Trust 2022-R03, Series 2022
R03, (SOFR30A + 9.850%)
14.823
03/25/42
1,108,421
2,840,000
(a),(b),(c)
Connecticut Avenue Securities Trust 2022-R05, Series 2022
R05, (SOFR30A + 7.000%)
11.356
04/25/42
3,052,130
1,900,000
(a),(b)
Connecticut Avenue Securities Trust 2022-R07, Series 2022
R07, (SOFR30A + 12.000%)
16.356
06/25/42
2,199,292
4,000,000
(a),(b),(c)
Connecticut Avenue Securities Trust 2023-R02, Series 2023
R02, (SOFR30A + 5.550%)
9.906
01/25/43
4,336,011
2,000,000
(a),(b),(c)
Connecticut Avenue Securities Trust 2023-R04, Series 2023
R04, (SOFR30A + 5.350%)
9.706
05/25/43
2,186,015
2,250,000
(a),(b),(c)
Connecticut Avenue Securities Trust 2023-R05, Series 2023
R05, (SOFR30A + 4.750%)
9.106
06/25/43
2,419,339
2,280,000
(a),(b),(c)
Connecticut Avenue Securities Trust 2023-R06, Series 2023
R06, (SOFR30A + 3.900%)
9.188
07/25/43
2,402,601
3,110,000
(a),(b)
Connecticut Avenue Securities Trust 2023-R06, Series 2023
R06, (SOFR30A + 5.900%)
10.256
07/25/43
3,360,571
1,000,000
(a),(b)
DK Trust, Series 2025 LXP, (TSFR1M + 2.891%)
7.041
08/15/37
1,004,164
33,000,000
(a),(b)
DOLP Trust 2021-NYC, Series 2021 NYC
0.665
05/10/41
949,276
76,399
(a),(b)
Flagstar Mortgage Trust 2017-2, Series 2017 2
3.971
10/25/47
70,076
7,439,935
(b)
Freddie Mac Multifamily ML Certificates, Series 2021 ML12,
(I/O)
1.305
07/25/41
657,765
2,280,000
(a),(b),(c)
Freddie Mac STACR REMIC Trust 2021-DNA6, Series 2021
DNA6, (SOFR30A + 7.500%)
11.856
10/25/41
2,394,840
2,270,000
(a),(b)
Freddie Mac STACR REMIC Trust 2022-DNA1, Series 2022
DNA1, (SOFR30A + 7.100%)
11.456
01/25/42
2,409,258
2,270,000
(a),(b)
Freddie Mac STACR REMIC Trust 2022-DNA2, Series 2022
DNA2, (SOFR30A + 8.500%)
13.788
02/25/42
2,458,293
4,400,000
(a),(b)
Freddie Mac STACR REMIC Trust 2022-DNA2, Series 2022
DNA2, (SOFR30A + 4.750%)
9.106
02/25/42
4,586,691
3,250,000
(a),(b)
Freddie Mac STACR REMIC Trust 2022-DNA3, Series 2022
DNA3, (SOFR30A + 5.650%)
10.218
04/25/42
3,451,117
2,945,000
(a),(b)
Freddie Mac STACR REMIC Trust 2022-DNA3, Series 2022
DNA3, (SOFR30A + 9.750%)
15.087
04/25/42
3,267,825
1,000,000
(a),(b)
GS Mortgage Securities Corp Trust 2018-TWR, Series 2018
TWR, (TSFR1M + 1.747%)
5.898
07/15/31
210,000
1,100,000
(a),(b)
GS Mortgage Securities Corp Trust 2018-TWR, Series 2018
TWR, (TSFR1M + 1.897%)
6.048
07/15/31
155,347
700,000
(a),(b)
GS Mortgage Securities Corp Trust 2018-TWR, Series 2018
TWR, (TSFR1M + 2.397%)
6.548
07/15/31
73,133
700,000
(a),(b)
GS Mortgage Securities Corp Trust 2018-TWR, Series 2018
TWR, (TSFR1M + 3.097%)
7.248
07/15/31
65,783
892,000
(a),(b)
GS Mortgage Securities Corp Trust 2018-TWR, Series 2018
TWR, (TSFR1M + 4.222%)
8.373
07/15/31
74,460
2,000,000
(b),(c)
GS Mortgage Securities Trust 2016-GS4, Series 2016 GS4
4.032
11/10/49
1,825,485
1,000,000
(a),(b)
ILPT Commercial Mortgage Trust 2025-LPF2, Series 2025 LPF2
8.472
07/13/42
1,034,876
377,000
(a),(b)
JP Morgan Chase Commercial Mortgage Securities Trust 2019-
ICON UES, Series 2019 UES
4.601
05/05/32
368,533
441,000
(a),(b)
JP Morgan Chase Commercial Mortgage Securities Trust 2019-
ICON UES, Series 2019 UES
4.601
05/05/32
428,257
366,000
(a)
JP Morgan Chase Commercial Mortgage Securities Trust 2020-
NNN, Series 2020 NNN
3.972
01/16/37
115,290
2,000,000
(b)
JPMBB Commercial Mortgage Securities Trust 2014-C22,
Series 2014 C22
4.660
09/15/47
1,883,125
1,000,000
JPMBB Commercial Mortgage Securities Trust 2015-C27,
Series 2015 C27
3.898
02/15/48
862,250
328,807
(b),(c)
JPMBB Commercial Mortgage Securities Trust 2015-C29,
Series 2015 C29
4.118
05/15/48
328,089
1,189,000
(b),(c)
JPMBB Commercial Mortgage Securities Trust 2016-C1, Series
2016 C1
4.849
03/17/49
1,162,854
Portfolio of Investments September 30, 2025
(continued)
JLS
4
All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
MORTGAGE-BACKED SECURITIES
(continued)
$
2,000,000
(b),(c)
JPMCC Commercial Mortgage Securities Trust 2017-JP5,
Series 2017 JP5
3.904
%
03/15/50
$
1,793,034
1,500,000
(a),(b)
JPMCC Commercial Mortgage Securities Trust 2017-JP6,
Series 2017 JP6
4.598
07/15/50
1,205,973
1,849,000
(a),(b),(c)
JPMCC Commercial Mortgage Securities Trust 2017-JP7,
Series 2017 JP7
4.570
09/15/50
1,210,886
500,000
(a)
Lmrk Issuer Co 2 LLC, Series 2025 1A
6.200
09/15/55
502,193
750,000
(a),(b)
MFT Trust 2020-ABC, Series 2020 ABC
3.593
02/10/42
550,404
388,995
(c)
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19,
Series 2014 C19
4.000
12/15/47
377,073
222,749
(b)
Morgan Stanley Capital I Trust 2015-MS1, Series 2015 MS1
4.289
05/15/48
215,162
167,955
(b)
Morgan Stanley Mortgage Loan Trust 2007-15AR, Series 2007
15AR
3.272
11/25/37
116,791
1,000,000
(a)
MRCD 2019-MARK Mortgage Trust, Series 2019 PARK
2.718
12/15/36
705,900
1,000,000
(a),(b)
MTN Commercial Mortgage Trust 2022-LPFL, Series 2022 LPFL,
(TSFR1M + 5.285%)
9.605
03/15/39
1,000,889
600,000
(a),(b)
Natixis Commercial Mortgage Securities Trust 2019-MILE,
Series 2019 MILE, (TSFR1M + 2.279%)
6.430
07/15/36
511,969
1,000,000
(a),(b)
Natixis Commercial Mortgage Securities Trust 2019-MILE,
Series 2019 MILE, (TSFR1M + 2.829%)
6.980
07/15/36
796,371
1,050,000
(a),(b)
Natixis Commercial Mortgage Securities Trust 2019-MILE,
Series 2019 MILE, (TSFR1M + 4.329%)
8.480
07/15/36
713,016
400,000
(a),(b),(c)
OPEN Trust 2023-AIR, Series 2023 AIR, (TSFR1M + 5.236%)
9.386
11/15/40
401,597
1,000,000
(a),(b),(c)
PKHL Commercial Mortgage Trust 2021-MF, Series 2021 MF,
(TSFR1M + 0.994%)
5.145
07/15/38
941,477
1,000,000
(a),(b)
PKHL Commercial Mortgage Trust 2021-MF, Series 2021 MF,
(TSFR1M + 2.114%)
6.265
07/15/38
688,465
1,602,435
(a),(b),(c)
SMR 2022-IND Mortgage Trust, Series 2022 IND, (TSFR1M +
3.950%)
8.100
02/15/39
1,605,317
127,100,000
(a),(b)
SUMIT 2022-BVUE Mortgage Trust, Series 2022 BVUE, (I/O)
0.179
02/12/41
416,049
1,000,000
(a),(b),(c)
TX Trust 2024-HOU, Series 2024 1, (TSFR1M + 3.239%)
7.389
06/15/39
1,004,800
1,300,000
(b),(c)
Wells Fargo Commercial Mortgage Trust 2015-NXS1, Series
2015 NXS1
3.988
05/15/48
1,215,792
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $99,949,763)
89,851,964
TOTAL LONG-TERM INVESTMENTS
(Cost $142,109,717)
131,184,038
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
SHORT-TERM INVESTMENTS -  6.0%(4.6% of Total Investments)
6360307
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 6.0% (4.6% of Total Investments)
6360307
3,627,000
Federal Home Loan Bank Discount Notes
0.000
10/01/25
3,626,594
2,452,000
Federal Home Loan Bank Discount Notes
0.000
10/10/25
2,449,255
285,000
Federal Home Loan Bank Discount Notes
0.000
10/17/25
284,458
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $6,360,925)
6,360,307
TOTAL SHORT-TERM INVESTMENTS
(Cost $6,360,925)
6,360,307
TOTAL INVESTMENTS - 129.3%
(Cost $148,470,642)
137,544,345
BORROWINGS - (2.4)% (f),(g)
(2,520,000)
REVERSE REPURCHASE AGREEMENTS, INCLUDING ACCRUED INTEREST - (26.6)%(h)
(28,321,367)
OTHER ASSETS & LIABILITIES, NET -  (0.3)%
(356,678)
NET ASSETS APPLICABLE TO COMMON SHARES - 100%
$
106,346,300
I/O
Interest only security
SOFR30A
30 Day Average Secured Overnight Financing Rate
SOFR90A
90 Day Average Secured Overnight Financing Rate
TSFR1M
CME Term Secured Overnight Financing Rate 1 Month
5
Part F of Form N-PORT was prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and in conformity with the
applicable rules and regulations of the U.S. Securities and Exchange Commission (“SEC”) related to interim filings. Part F of Form N-PORT does not
include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in
financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For
a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.
Fair Value Measurements
The Fund’s investments in securities are recorded at their estimated fair value utilizing valuation methods approved by the Board of Directors/
Trustees. Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an
independent buyer in the principal or most advantageous market for the investment. U.S. GAAP establishes the three-tier hierarchy which is used to
maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements
for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs
are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect management’s assumptions about
the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the
circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit
spreads, etc.).
Level 3 – Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of
investments).
The following table summarizes the market value of the Fund's investments as of the end of the reporting period, based on the inputs used to value
them:
TSFR3M
CME Term Secured Overnight Financing Rate 3 Month
(a)
Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are deemed liquid
and may be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.
As of the end of the fiscal period, the aggregate value of these securities is $108,640,781 or 79.0% of Total Investments.
(b)
Floating or variable rate security includes the reference rate and spread, unless the variable rate is based on the underlying asset of
the security. Coupon rate reflects the rate at period end.
(c)
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse
repurchase agreements. As of the end of the fiscal period, investments with a value of $39,848,753 have been pledged as collateral
for reverse repurchase agreements.
(d)
Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the fiscal period
was $1,536,702.
(e)
For fair value measurement disclosure purposes, investment classified as Level 3.
(f)
Borrowings as a percentage of Total Investments is 1.8%.
(g)
The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for
specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. As of the end of the
reporting period, investments with a value of $41,697,886 have been pledged as collateral for borrowings.
(h)
Reverse Repurchase Agreements, including accrued interest as a percentage of Total investments is 20.6%.
JLS
Level 1
Level 2
Level 3
Total
Long-Term Investments:
Asset-Backed Securities
$
–
$
40,805,034
$
527,040
$
41,332,074
Mortgage-Backed Securities
–
89,851,964
–
89,851,964
Short-Term Investments:
U.S. Government and Agency Obligations
–
6,360,307
–
6,360,307
Total
$
–
$
137,017,305
$
527,040
$
137,544,345