Please wait
Portfolio
of
Investments
March
31,
2026
JLS
(Unaudited)
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
LONG-TERM
INVESTMENTS
-
124.8%
(95.3%
of
Total
Investments)
ASSET-BACKED
SECURITIES
-
39.4%
(30.1%
of
Total
Investments)
–
$
617,520
(a)
AASET
2020-1
Trust,
Series
2020
1A
6.413
%
01/16/40
$
617,111
500,000
(a),(b)
AIMCO
CLO
17
Ltd,
Series
2022
17A,
(TSFR3M
+
2.900%)
6.569
07/20/37
500,528
500,000
(a),(b),(c)
Allegro
CLO
XIII
Ltd,
Series
2021
1A,
(TSFR3M
+
6.300%)
9.968
07/20/38
483,870
375,000
(a),(b),(d)
Apidos
Clo
Lvi,
Series
2026
56A,
(TSFR3M
+
5.300%)
0.000
04/24/39
375,966
750,000
(a),(b),(c)
Apidos
CLO
XLII
Ltd,
Series
2022
42A,
(TSFR3M
+
3.650%)
7.919
04/20/38
731,683
375,000
(a),(b),(c)
Ares
LXIII
CLO
Ltd,
Series
2022
63A,
(TSFR3M
+
6.000%)
9.672
10/15/38
352,516
375,000
(a),(b)
Armor
RE
II
Ltd,
(3-Month
U.S.
Treasury
Bill
+
8.500%)
0.000
01/07/28
397,050
550,000
(a),(c)
Avis
Budget
Rental
Car
Funding
AESOP
LLC,
Series
2021
2A
4.080
02/20/28
543,761
500,000
(a),(b)
Ballyrock
CLO
21
Ltd,
Series
2022
21A,
(TSFR3M
+
6.000%)
9.668
10/20/37
487,499
500,000
(a),(b),(d)
Barings
CLO
Ltd
2026-I,
Series
2026
1A,
(TSFR3M
+
3.100%)
0.000
04/15/39
500,896
250,000
(a),(b),(d)
Barings
CLO
Ltd
2026-I,
Series
2026
1A,
(TSFR3M
+
6.050%)
0.000
04/15/39
251,163
250,000
(a),(b)
Bonanza
RE
Ltd
3.607
01/08/27
211,775
500,000
(a)
Cajun
Global
LLC,
Series
2025
2A
8.720
11/20/55
491,179
2,000,000
(a),(c)
Cars
Net
Lease
Mortgage
Notes,
Series
2020
1A
4.690
12/15/50
1,891,169
775,000
(a)
CARS-DB4
LP,
Series
2020
1A
4.520
02/15/50
764,850
750,000
(a),(b),(c)
Cayuga
Park
CLO
Ltd,
Series
2020
1A,
(TSFR3M
+
5.500%)
9.168
10/17/38
679,570
1,000,000
(a)
Centersquare
Issuer
LLC,
Series
2024
1A
5.600
10/26/54
966,199
1,580
(a)
Chase
Auto
Owner
Trust
2025-2,
Series
2025
2A
0.000
02/25/33
249,179
700,000
(a),(b)
CIFC
Funding
2022-II
Ltd,
Series
2022
2A,
(TSFR3M
+
4.750%)
8.418
04/19/35
659,877
500,000
(a),(b)
CIFC
Funding
Ltd,
Series
2025
7A,
(TSFR3M
+
4.750%)
8.452
01/22/39
488,107
1,000,000
(a)
Consolidated
Communications
LLC/Fidium
Fiber
Finance
Holdco
LLC,
Series
2025
1A
9.408
05/20/55
1,040,612
500,000
(a)
DataBank
Issuer,
Series
2026
1A
6.493
02/25/56
496,689
490,290
(a)
Elara
Hgv
Timeshare
Issuer
2025-A
LLC,
Series
2025
A
6.910
01/25/40
487,636
500,000
(a)
ExteNet
Issuer
LLC,
Series
2024
1A
9.050
07/25/54
514,781
1,000,000
(a)
Flexential
Issuer
LLC,
Series
2025
1A
6.030
10/25/60
993,155
250,000
(a),(b)
Galaxy
32
CLO
Ltd,
Series
2023
32A,
(TSFR3M
+
5.850%)
9.523
01/20/39
243,692
500,000
(a),(b)
Goldentree
Loan
Management
US
Clo
11
Ltd,
Series
2021
11A,
(TSFR3M
+
7.762%)
12.379
10/20/34
445,537
500,000
(a),(b),(d)
GoldenTree
Loan
Management
US
CLO
29
Ltd,
Series
2026
29A,
(TSFR3M
+
2.950%)
0.000
04/20/39
500,500
100,000
(a),(b)
Gracie
Point
International
Funding
2025-1
LLC,
Series
2025
1A,
(SOFR30A
+
4.500%)
8.169
08/15/28
99,947
325,000
(a),(b)
Gracie
Point
International
Funding
2025-1
LLC,
Series
2025
1A,
(SOFR30A
+
2.000%)
5.669
08/15/28
324,941
127,000
(a),(b)
Gracie
Point
International
Funding
2025-1
LLC,
Series
2025
1A,
(SOFR30A
+
2.750%)
6.419
08/15/28
127,140
473,750
(a)
Hardee's
Funding
LLC,
Series
2020
1A
3.981
12/20/50
456,034
500,000
(a)
Hertz
Vehicle
Financing
III
LLC,
Series
2025
6A
8.300
05/25/32
496,036
7,143
(a),(b)
Hestia
Re
Ltd,
(SOFR
+
0.100%)
3.640
04/22/29
3,572
434,776
(a)
Hin
Timeshare
Trust,
Series
2025
B
7.580
05/15/45
437,092
750,000
(a)
Hotwire
Funding
LLC,
Series
2024
1A
9.188
06/20/54
777,630
250,000
(a),(b)
Integrity
RE
III
Ltd,
(
+
2.500%)
6.010
06/07/29
249,625
500,000
(a),(b)
Invesco
US
CLO
2024-3
Ltd,
Series
2024
3A,
(TSFR3M
+
6.500%)
10.168
07/20/37
482,737
600,000
(a)
LIGHTPATH
FIBER
ISSUER
LLC,
Series
2026
1A
6.170
03/25/56
598,337
1,000,000
(a)
Lmdv
Issuer
Co
LLC,
Series
2025
1A
7.880
12/15/55
1,004,320
500,000
(a)
Lmrk
Issuer
Co
2
LLC,
Series
2025
1A
6.200
09/15/55
500,350
400,000
(a)
Lmrk
Issuer
Co
2
LLC,
Series
2025
1A
8.120
09/15/55
405,113
160,505
(a)
LUNAR
AIRCRAFT
2020-1
LTD,
Series
2020
1A
3.376
02/15/45
157,592
250,000
(a),(b),(d)
Magnetite
LV
Ltd,
Series
2026
55A,
(TSFR3M
+
5.000%)
0.000
04/15/39
248,044
1,000,000
MetroNet
Infrastructure
Issuer
LLC,
Series
2025
1
9.370
07/20/55
1,047,995
500,000
(a)
MetroNet
Infrastructure
Issuer
LLC,
Series
2025
2A
7.830
08/20/55
507,480
1,000,000
(a),(c)
Mexico
Remittances
Funding
Fiduciary
Estate
Management
Sarl
12.500
10/15/31
1,053,500
1,525,000
(a),(e)
Mosaic
Solar
Loan
Trust
2019-2,
Series
2019
2A
0.000
09/20/40
396,043
442,990
(a)
Mosaic
Solar
Loan
Trust
2020-2,
Series
2020
2A
5.420
08/20/46
388,868
86,957
(a)
MVW
2020-1
LLC,
Series
2020
1A
7.140
10/20/37
87,092
500,000
(a),(b)
Neuberger
Berman
Loan
Advisers
CLO
34
Ltd,
Series
2019
34A,
(TSFR3M
+
5.000%)
8.668
07/20/39
498,074
Portfolio
of
Investments
March
31,
2026
(continued)
JLS
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
ASSET-BACKED
SECURITIES
(continued)
$
500,000
(a),(b)
Neuberger
Berman
Loan
Advisers
CLO
40
Ltd,
Series
2021
40A,
(TSFR3M
+
5.150%)
8.821
%
10/16/37
$
477,458
500,000
(a),(b),(c)
Neuberger
Berman
Loan
Advisers
CLO
40
Ltd,
Series
2021
40A,
(TSFR3M
+
2.800%)
6.471
10/16/37
495,168
500,000
(a),(b)
Neuberger
Berman
Loan
Advisers
CLO
41
Ltd,
Series
2021
41A,
(TSFR3M
+
2.800%)
6.472
04/15/34
492,050
1,000,000
(a),(b),(c)
Neuberger
Berman
Loan
Advisers
CLO
48
Ltd,
Series
2022
48A,
(TSFR3M
+
2.700%)
7.018
04/25/36
968,720
525,000
(a)
NMEF
Funding
2026-A
LLC,
Series
2026
A
6.730
02/15/34
520,733
250,000
(a),(b)
OCP
CLO
2018-15
Ltd,
Series
2018
15A,
(TSFR3M
+
2.750%)
6.418
01/20/38
249,479
250,000
(a),(b)
OCP
CLO
2024-31
Ltd,
Series
2026
31A,
(TSFR3M
+
4.950%)
8.618
04/20/39
247,693
500,000
(b)
OHA
Credit
Funding
10-R
Ltd,
Series
2021
10RX,
(TSFR3M
+
4.850%),
Reg
S
8.518
07/18/38
482,779
999,167
(a)
OHS
Issuer
LLC,
Series
2026
1
6.000
02/25/61
979,605
138,845
(a)
Oportun
Issuance
Trust
2021-B,
Series
2021
B
5.410
05/08/31
137,943
89,585
(a)
Oportun
Issuance
Trust
2021-C,
Series
2021
C
5.570
10/08/31
88,722
1,000,000
(a)
Oportun
Issuance
Trust
2025-B,
Series
2025
B
9.400
05/09/33
1,007,191
500,000
(a)
QTS
Issuer
ABS
II
LLC,
Series
2026
1A
6.729
01/05/56
494,854
500,000
(a),(b)
Rad
CLO
6
Ltd,
Series
2019
6A,
(TSFR3M
+
6.750%)
10.418
10/20/37
459,744
350,000
(a),(b)
REESE
PARK
CLO
LTD,
Series
2020
1A,
(TSFR3M
+
6.000%)
9.672
01/15/38
297,535
500,000
(a),(b)
Residential
Reinsurance
2022
Ltd,
(CJTXX
+
7.590%)
11.150
12/06/26
508,950
250,000
(a),(b)
Residential
Reinsurance
2025
Ltd,
(3-Month
U.S.
Treasury
Bill
+
5.750%)
4.783
06/06/29
257,250
312,181
(a)
Start
II
LTD,
Series
2019
1
5.095
03/15/44
312,228
424,732
(a),(b)
Sunnova
Helios
XII
Issuer
LLC,
Series
2023
B
6.000
08/22/50
285,390
990,503
(a),(b)
TruPS
Financials
Note
Securitization
2025-2,
Series
2025
2A,
(TSFR3M
+
1.900%)
5.572
07/15/39
995,458
1,000,000
(a),(b)
TruPS
Financials
Note
Securitization
2025-2,
Series
2025
2A,
(TSFR3M
+
2.250%)
5.922
07/15/39
1,011,507
1,000,000
(a)
Uniti
Fiber
Abs
Issuer
LLC,
Series
2025
1A
9.018
04/20/55
1,028,143
1,000,000
(a)
UNITK
2026-1A
A2,
Series
2026
1A
7.653
02/25/56
1,007,762
500,000
(a)
VB-S1
Issuer
LLC,
Series
2026
1A
6.843
03/15/56
502,111
438,784
(a)
Vivint
Solar
Financing
V
LLC,
Series
2018
1A
7.370
04/30/48
430,169
500,000
(a)
Zayo
Issuer
LLC,
Series
2025
1A
8.659
03/20/55
510,284
TOTAL
ASSET-BACKED
SECURITIES
(Cost
$42,021,304)
40,963,038
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
MORTGAGE-BACKED
SECURITIES
-
85.4%
(65.2%
of
Total
Investments)
–
1,000,000
(a),(b),(c)
ARDN
2025-ARCP
Mortgage
Trust,
Series
2025
ARCP,
(TSFR1M
+
3.000%)
6.673
06/15/35
998,981
1,000,000
(a),(b)
ARDN
2025-ARCP
Mortgage
Trust,
Series
2025
ARCP,
(TSFR1M
+
4.500%)
8.173
06/15/35
999,159
1,000,000
(b),(c)
BANK
2017-BNK6,
Series
2017
BNK6
3.851
07/15/60
935,867
1,000,000
(a),(c)
BANK
2019-BNK21,
Series
2019
BN21
2.500
10/17/52
743,149
1,000,000
(a),(b)
BBCMS
Mortgage
Trust
2020-C6,
Series
2020
C6
3.688
02/15/53
802,678
1,750,000
(a),(b),(c)
BBCMS
Trust
2015-SRCH,
Series
2015
SRCH
4.957
08/10/35
1,626,927
500,000
(b)
Benchmark
2018-B2
Mortgage
Trust,
Series
2018
B2
4.292
02/15/51
326,138
500,000
(b)
Benchmark
2018-B4
Mortgage
Trust,
Series
2018
B4
4.513
07/15/51
429,864
1,100,000
(b),(c)
Benchmark
2019-B14
Mortgage
Trust,
Series
2019
B14
3.761
12/15/62
782,455
856,656
(a),(b)
BLP
Commercial
Mortgage
Trust
2024-IND2,
Series
2024
IND2,
(TSFR1M
+
3.689%)
8.011
03/15/41
852,411
1,000,000
(a),(b)
BX
Commercial
Mortgage
Trust
2024-BRBK,
Series
2024
BRBK,
(TSFR1M
+
5.971%)
9.705
10/15/41
1,000,097
1,000,000
(b),(c)
Cantor
Commercial
Real
Estate
Lending
2019-CF1,
Series
2019
CF1
4.352
05/15/52
832,159
845,000
(b)
CD
2016-CD1
Mortgage
Trust,
Series
2016
CD1
3.631
08/10/49
478,192
1,500,000
(b)
CD
2016-CD2
Mortgage
Trust,
Series
2016
CD2
3.967
11/10/49
900,322
1,978,000
(b)
CD
2017-CD3
Mortgage
Trust,
Series
2017
CD3
4.557
02/10/50
736,083
23,912
(a),(b)
CF
2020-P1
Mortgage
Trust,
Series
2020
P1
2.840
04/15/52
23,780
317,851
(b)
CHL
Mortgage
Pass-Through
Trust
2006-HYB1,
Series
2006
HYB1
4.682
03/20/36
298,696
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
MORTGAGE-BACKED
SECURITIES
(continued)
$
500,000
(a),(b)
CIP
Commercial
Mortgage
Trust
2025-SBAY,
Series
2025
SBAY,
(TSFR1M
+
3.750%)
7.850
%
10/15/37
$
499,885
1,437,245
(a),(b)
COMM
2013-LC13
Mortgage
Trust,
Series
2013
LC13
5.012
08/10/46
1,349,683
925,000
(b),(c)
COMM
2014-CCRE15
Mortgage
Trust,
Series
2014
CR15
3.730
02/10/47
878,515
752,021
(c)
COMM
2014-CCRE17
Mortgage
Trust,
Series
2014
CR17
4.377
05/10/47
745,103
393,342
(b),(c)
COMM
2014-CR14
Mortgage
Trust,
Series
2014
CR14
3.133
02/10/47
389,041
1,500,000
(a),(b)
COMM
2014-UBS3
Mortgage
Trust,
Series
2014
UBS3
4.767
06/10/47
922,500
1,400,000
(a)
COMM
2015-CCRE22
Mortgage
Trust,
Series
2015
CR22
3.000
03/10/48
819,420
1,800,000
(b)
COMM
2015-CCRE24
Mortgage
Trust,
Series
2015
CR24
3.463
08/10/48
1,664,083
825,011
(b),(c)
COMM
2015-CCRE25
Mortgage
Trust,
Series
2015
CR25
3.768
08/10/48
806,948
625,000
(a),(b)
Connecticut
Avenue
Securities
Trust
2021-R03,
Series
2021
R03,
(SOFR30A
+
5.500%)
9.162
12/25/41
640,246
2,100,000
(a),(b)
Connecticut
Avenue
Securities
Trust
2022-R01,
Series
2022
R01,
(SOFR30A
+
6.000%)
9.662
12/25/41
2,155,439
1,000,000
(a),(b)
Connecticut
Avenue
Securities
Trust
2022-R03,
Series
2022
R03,
(SOFR30A
+
9.850%)
14.823
03/25/42
1,077,381
2,840,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2022-R05,
Series
2022
R05,
(SOFR30A
+
7.000%)
10.662
04/25/42
2,995,036
1,900,000
(a),(b)
Connecticut
Avenue
Securities
Trust
2022-R07,
Series
2022
R07,
(SOFR30A
+
12.000%)
15.662
06/25/42
2,131,597
4,000,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R02,
Series
2023
R02,
(SOFR30A
+
5.550%)
9.212
01/25/43
4,253,678
2,000,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R04,
Series
2023
R04,
(SOFR30A
+
5.350%)
9.012
05/25/43
2,139,629
2,250,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R05,
Series
2023
R05,
(SOFR30A
+
4.750%)
8.412
06/25/43
2,384,963
2,280,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R06,
Series
2023
R06,
(SOFR30A
+
3.900%)
9.188
07/25/43
2,376,005
3,110,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R06,
Series
2023
R06,
(SOFR30A
+
5.900%)
9.562
07/25/43
3,353,466
1,000,000
(a),(b)
DK
Trust,
Series
2025
LXP,
(TSFR1M
+
2.891%)
6.569
08/15/37
1,002,660
33,000,000
(a),(b)
DOLP
Trust
2021-NYC,
Series
2021
NYC,
(I/O)
0.665
05/10/41
866,641
7,381,527
(b)
Freddie
Mac
Multifamily
ML
Certificates,
Series
2021
ML12,
(I/O)
1.227
07/25/41
633,040
2,270,000
(a),(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA1,
Series
2022
DNA1,
(SOFR30A
+
7.100%)
10.762
01/25/42
2,355,984
4,400,000
(a),(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA2,
Series
2022
DNA2,
(SOFR30A
+
4.750%)
8.412
02/25/42
4,506,029
2,270,000
(a),(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA2,
Series
2022
DNA2,
(SOFR30A
+
8.500%)
13.788
02/25/42
2,390,735
3,250,000
(a),(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA3,
Series
2022
DNA3,
(SOFR30A
+
5.650%)
10.218
04/25/42
3,403,708
2,945,000
(a),(b),(c)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA3,
Series
2022
DNA3,
(SOFR30A
+
9.750%)
15.087
04/25/42
3,159,462
1,900,000
(a),(b)
Freddie
Mac
STACR
REMIC
Trust
2023-DNA1,
Series
2023
DNA1,
(SOFR30A
+
8.150%)
11.811
03/25/43
2,129,004
892,000
(a),(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
Series
2018
TWR,
(TSFR1M
+
4.222%)
7.895
07/15/31
8,911
700,000
(a),(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
Series
2018
TWR,
(TSFR1M
+
3.097%)
6.770
07/15/31
18,368
700,000
(a),(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
Series
2018
TWR,
(TSFR1M
+
2.397%)
6.070
07/15/31
36,743
1,100,000
(a),(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
Series
2018
TWR,
(TSFR1M
+
1.897%)
5.570
07/15/31
115,488
1,000,000
(a),(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
Series
2018
TWR,
(TSFR1M
+
1.747%)
5.420
07/15/31
194,240
2,000,000
(b),(c)
GS
Mortgage
Securities
Trust
2016-GS4,
Series
2016
GS4
3.908
11/10/49
1,883,519
1,000,000
(a),(b)
ILPT
Commercial
Mortgage
Trust
2025-LPF2,
Series
2025
LPF2
8.199
07/13/42
1,022,220
441,000
(a),(b)
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-
ICON
UES,
Series
2019
UES
4.452
05/05/32
440,377
377,000
(a),(b)
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-
ICON
UES,
Series
2019
UES
4.452
05/05/32
376,877
Portfolio
of
Investments
March
31,
2026
(continued)
JLS
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
MORTGAGE-BACKED
SECURITIES
(continued)
$
366,000
(a)
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2020-
NNN,
Series
2020
NNN
3.972
%
01/16/37
$
133,579
2,000,000
(b)
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C22,
Series
2014
C22
4.514
09/15/47
1,907,714
1,000,000
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C27,
Series
2015
C27
3.898
02/15/48
871,750
1,189,000
(b)
JPMBB
Commercial
Mortgage
Securities
Trust
2016-C1,
Series
2016
C1
4.938
03/17/49
1,157,194
2,000,000
(b),(c)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP5,
Series
2017
JP5
3.904
03/15/50
1,766,484
1,500,000
(a),(b),(c)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP6,
Series
2017
JP6
4.433
07/15/50
1,249,548
1,849,000
(a),(b),(c)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP7,
Series
2017
JP7
4.414
09/15/50
1,348,759
750,000
(a),(b)
MFT
Trust
2020-ABC,
Series
2020
ABC
3.593
02/10/42
537,053
123,154
(b)
Morgan
Stanley
Capital
I
Trust
2015-MS1,
Series
2015
MS1
4.028
05/15/48
118,885
160,817
(b)
Morgan
Stanley
Mortgage
Loan
Trust
2007-15AR,
Series
2007
15AR
3.199
11/25/37
111,262
1,000,000
(a)
MRCD
2019-MARK
Mortgage
Trust,
Series
2019
PARK
2.718
12/15/36
690,000
1,000,000
(a),(b)
MTN
Commercial
Mortgage
Trust
2022-LPFL,
Series
2022
LPFL,
(TSFR1M
+
5.285%)
9.605
03/15/39
998,792
1,050,000
(a),(b)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
Series
2019
MILE,
(TSFR1M
+
4.329%)
8.002
07/15/36
756,351
1,000,000
(a),(b)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
Series
2019
MILE,
(TSFR1M
+
2.829%)
6.502
07/15/36
839,084
600,000
(a),(b)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
Series
2019
MILE,
(TSFR1M
+
2.279%)
5.952
07/15/36
531,951
1,000,000
(a),(b)
PKHL
Commercial
Mortgage
Trust
2021-MF,
Series
2021
MF,
(TSFR1M
+
0.994%)
4.667
07/15/38
947,881
1,000,000
(a),(b)
PKHL
Commercial
Mortgage
Trust
2021-MF,
Series
2021
MF,
(TSFR1M
+
2.114%)
5.787
07/15/38
701,625
871,375
(a),(b)
Santander
Bank
Mortgage
Credit-Linked
Notes,
Series
2023
MTG1,
(SOFR30A
+
4.900%)
9.256
02/26/52
1,000,451
1,593,174
(a),(b)
SMR
2022-IND
Mortgage
Trust,
Series
2022
IND,
(TSFR1M
+
3.950%)
7.623
02/15/39
1,598,304
127,100,000
(a),(b)
SUMIT
2022-BVUE
Mortgage
Trust,
Series
2022
BVUE,
(I/O)
0.082
02/12/41
352,639
1,000,000
(a),(b),(c)
TX
Trust
2024-HOU,
Series
2024
1,
(TSFR1M
+
3.239%)
6.912
06/15/39
1,004,425
1,278,760
(b),(c)
Wells
Fargo
Commercial
Mortgage
Trust
2015-NXS1,
Series
2015
NXS1
3.818
05/15/48
1,164,260
TOTAL
MORTGAGE-BACKED
SECURITIES
(Cost
$99,659,753)
88,681,573
TOTAL
LONG-TERM
INVESTMENTS
(Cost
$141,681,057)
129,644,611
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
SHORT-TERM
INVESTMENTS
-
6.1%(4.7%
of
Total
Investments)
6385783
U.S.
GOVERNMENT
AND
AGENCY
OBLIGATIONS
-
6.1%
(4.7%
of
Total
Investments)
6385783
1,490,000
Federal
Home
Loan
Bank
Discount
Notes
0.000
04/06/26
1,489,108
4,745,000
Federal
Home
Loan
Bank
Discount
Notes
0.000
04/17/26
4,736,956
100,000
Federal
Home
Loan
Bank
Discount
Notes
0.000
04/27/26
99,731
60,000
Freddie
Mac
Discount
Notes
0.000
04/02/26
59,988
TOTAL
U.S.
GOVERNMENT
AND
AGENCY
OBLIGATIONS
(Cost
$6,386,303)
6,385,783
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$6,386,303)
6,385,783
TOTAL
INVESTMENTS
-
130.9%
(Cost
$148,067,360
)
136,030,394
BORROWINGS
-
(2.4)%
(f),(g)
(2,520,000)
REVERSE
REPURCHASE
AGREEMENTS,
INCLUDING
ACCRUED
INTEREST
-
(27.3)%(h)
(28,342,227)
OTHER
ASSETS
&
LIABILITIES,
NET
- (1.2)%
(1,247,443)
NET
ASSETS
APPLICABLE
TO
COMMON
SHARES
-
100%
$
103,920,724
All
percentages
shown
in
the
Portfolio
of
Investments
are
based
on
net
assets
applicable
to
common
shares
unless
otherwise
noted.
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:
CJTXX
JPMorgan
100%
U.S.
Treasury
Securities
Money
Market
Fund
I/O
Interest
only
security
Reg
S
Regulation
S
allows
U.S.
companies
to
sell
securities
to
persons
or
entities
located
outside
of
the
United
States
without
registering
those
securities
with
the
Securities
and
Exchange
Commission.
Specifically,
Regulation
S
provides
a
safe
harbor
from
the
registration
requirements
of
the
Securities
Act
for
the
offers
and
sales
of
securities
by
both
foreign
and
domestic
issuers
that
are
made
outside
the
United
States.
SOFR
Secured
Overnight
Financing
Rate
SOFR30A
30
Day
Average
Secured
Overnight
Financing
Rate
TSFR1M
CME
Term
Secured
Overnight
Financing
Rate
1
Month
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
$108,296,263
or
79.6%
of
Total
Investments.
(b)
Floating
or
variable
rate
security
includes
the
reference
rate
and
spread,
when
applicable. For
mortgage-backed
or
asset-backed
securities
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
$37,751,655
have
been
pledged
as
collateral
for
reverse
repurchase
agreements.
(d)
When-issued
or
delayed
delivery
security.
(e)
For
fair
value
measurement
disclosure
purposes,
investment
classified
as
Level
3.
(f)
Borrowings
as
a
percentage
of
Total
Investments
is
1.9%.
(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
$13,267,458
have
been
pledged
as
collateral
for
borrowings.
(h)
Reverse
Repurchase
Agreements,
including
accrued
interest
as
a
percentage
of
Total
investments
is
20.8%.
JLS
Level
1
Level
2
Level
3
Total
Long-Term
Investments:
Asset-Backed
Securities
$
–
$
40,566,995
$
396,043
$
40,963,038
Mortgage-Backed
Securities
–
88,681,573
–
88,681,573
Short-Term
Investments:
U.S.
Government
and
Agency
Obligations
–
6,385,783
–
6,385,783
Total
$
–
$
135,634,351
$
396,043
$
136,030,394