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Share Name | Share Symbol | Market | Type |
---|---|---|---|
TCW Strategic Income Fund Inc | NYSE:TSI | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.03 | -0.59% | 5.05 | 5.11 | 5.05 | 5.10 | 33,668 | 16:33:29 |
Item 1. |
Reports to Stockholders. |
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”): |
To Our Valued Shareholders |
Megan McClellan President and Principal Executive Officer |
Annualized Total Return as of June 30, 2024 |
||||||||||||||||||||||||||||
YTD |
1 Year |
3 Year |
5 Year |
10 Year |
Since 3/1/06 (3) |
Since 3/5/87 (4) |
||||||||||||||||||||||
Price-Based Return |
5.91 | 10.36 | -0.31 | 2.61 | 4.43 | 8.28 | 7.53 | |||||||||||||||||||||
NAV-Based Return(1) |
2.79 | 8.48 | 1.42 | 3.45 | 4.03 | 7.47 | 7.79 | |||||||||||||||||||||
Bloomberg 3-Month U.S. Treasury Bellwethers Index + 400 bps(2) |
4.68 | 9.66 | 7.21 | 6.28 | 5.60 | 5.56 | N/A |
(1) |
The Fund’s Average Total Returns are based on net asset values calculated for shareholder transactions which are not reflective of adjustments required pursuant to GAAP. Accordingly, differences may exist between this data and similar information reported in the financial statements. |
(2) |
Benchmark changed to the Bloomberg 3-Month U.S. Treasury Bellwethers Index + 400 bps effective 3/1/2022. |
(3) |
The date on which the Fund’s investment objective changed to a multi-asset class fund. Prior to this date, the Fund primarily invested in convertible securities. |
(4) |
Inception date of the Fund. |
Letter to Shareholders (Continued) |
Letter to Shareholders (Continued) |
Schedule of Investments (Unaudited) |
June 30, 2024 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
FIXED INCOME SECURITIES — 94.4% of Net Assets |
||||||||||||
ASSET-BACKED SECURITIES — 16.8% |
||||||||||||
Academic Loan Funding Trust Series 2012-1A, Class R |
||||||||||||
0.00% (1),(2),(3),(4) |
12/27/44 | $ | 3,368 | $ | 336,800 | |||||||
Allegro CLO XII Ltd. Series 2020-1A, Class B |
||||||||||||
7.29% (3 mo. USD Term SOFR + 1.962%) (1),(5) |
01/21/32 | 475,000 | 476,121 | |||||||||
Allegro CLO XIII Ltd. Series 2021-1A, Class B |
||||||||||||
7.29% (3 mo. USD Term SOFR + 1.962%) (1),(5) |
07/20/34 | 650,000 | 650,429 | |||||||||
AMSR Trust Series 2020-SFR1, Class I |
||||||||||||
8.19% (1) |
04/17/37 | 850,000 | 844,552 | |||||||||
AMSR Trust Series 2020-SFR2, Class F |
||||||||||||
5.25% (1) |
07/17/37 | 1,375,000 | 1,354,404 | |||||||||
AMSR Trust Series 2020-SFR3, Class E1 |
||||||||||||
2.56% (1) |
09/17/37 | 1,000,000 | 953,897 | |||||||||
Apidos CLO XXXVII Ltd. Series 2021-37A, Class B |
||||||||||||
7.19% (3 mo. USD Term SOFR + 1.862%) (1),(5) |
10/22/34 | 725,000 | 725,000 | |||||||||
Barings CLO Ltd. Series 2022-2A, Class A |
||||||||||||
7.13% (3 mo. USD Term SOFR + 1.800%) (1),(5) |
07/15/35 | 550,000 | 550,537 | |||||||||
BCRED CLO LLC Series 2023-1A, Class A |
||||||||||||
7.66% (3 mo. USD Term SOFR + 2.300%) (1),(5) |
01/20/36 | 850,000 | 855,856 | |||||||||
Bear Mountain Park CLO Ltd. Series 2022-1A, Class BR |
||||||||||||
1.00% (-3 mo. USD Term SOFR + 1.750%) (1),(5),(6) |
07/15/37 | 625,000 | 625,781 | |||||||||
BlackRock Rainier CLO VI Ltd. Series 2021-6A, Class A |
||||||||||||
7.29% (3 mo. USD Term SOFR + 1.962%) (1),(5) |
04/20/33 | 700,000 | 700,406 | |||||||||
BMO SBA COOF Trust Series 2019-1, Class A (I/O) |
||||||||||||
1.82% (1),(7) |
10/25/45 | 4,222,692 | 148,460 | |||||||||
Carvana Auto Receivables Trust Series 2020-P1, Class R |
||||||||||||
0.00% (1),(3) |
09/08/27 | 2,000 | 176,706 | |||||||||
Carvana Auto Receivables Trust Series 2021-N3, Class R |
||||||||||||
0.00% (1),(3) |
06/12/28 | 2,200 | 161,408 | |||||||||
Carvana Auto Receivables Trust Series 2022-N1, Class R |
||||||||||||
0.00% (1),(3) |
12/11/28 | 4,700 | 368,549 | |||||||||
Carvana Auto Receivables Trust Series 2022-P3, Class R |
||||||||||||
0.00% (1),(3) |
09/10/29 | 2,900 | 352,885 | |||||||||
Carvana Auto Receivables Trust Series 2023-P1, Class R |
||||||||||||
0.00% (1),(3) |
03/11/30 | 4,400 | 670,162 | |||||||||
Carvana Auto Receivables Trust Series 2023-P2, Class R |
||||||||||||
0.00% (1),(3) |
06/10/30 | 2,000 | 414,175 | |||||||||
Cedar Funding II CLO Ltd. Series 2013-1A, Class BRR |
||||||||||||
6.94% (3 mo. USD Term SOFR + 1.612%) (1),(5) |
04/20/34 | 700,000 | 698,619 | |||||||||
CIFC Funding Ltd. Series 2018-1A, Class SUB |
||||||||||||
0.00% (1),(7),(8) |
04/18/31 | 650,000 | 221,000 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
ASSET-BACKED SECURITIES (Continued) |
||||||||||||
CIFC Funding Ltd. Series 2022-2A, Class INCB |
||||||||||||
0.00% (1),(7),(8) |
04/19/35 | $ | 685,000 | $ | 544,242 | |||||||
CIT Education Loan Trust Series 2007-1, Class A |
||||||||||||
5.70% (90 day USD SOFR Average + 0.352%) (1),(5) |
03/25/42 | 282,914 | 272,930 | |||||||||
COOF Securitization Trust II Series 2015-2, Class A1 (I/O) |
||||||||||||
2.49% (1),(7) |
08/25/41 | 1,786,596 | 97,966 | |||||||||
FirstKey Homes Trust Series 2020-SFR1, Class G |
||||||||||||
4.78% (1) |
08/17/37 | 1,735,000 | 1,687,501 | |||||||||
FirstKey Homes Trust Series 2021-SFR3, Class E1 |
||||||||||||
2.99% (1) |
12/17/38 | 1,173,000 | 1,071,885 | |||||||||
FirstKey Homes Trust Series 2022-SFR1, Class D |
||||||||||||
5.20% (1) |
05/19/39 | 1,100,000 | 1,069,825 | |||||||||
FRTKL Group, Inc. Series 2021-SFR1, Class G |
||||||||||||
4.11% (1) |
09/17/38 | 1,015,000 | 910,369 | |||||||||
Global SC Finance II SRL Series 2014-1A, Class A2 |
||||||||||||
3.09% (1) |
07/17/29 | 3,567 | 3,544 | |||||||||
Goal Capital Funding Trust Series 2006-1, Class B |
||||||||||||
6.05% (3 mo. USD LIBOR + 0.450%) (5) |
08/25/42 | 101,390 | 97,181 | |||||||||
GoldenTree Loan Management U.S. CLO 17 Ltd. Series 2023-17A, Class D |
||||||||||||
10.32% (3 mo. USD Term SOFR + 5.000%) (1),(5) |
07/20/36 | 650,000 | 664,007 | |||||||||
Golub Capital Partners CLO 42M-R Ltd. Series 2019-42RA, Class A2R |
||||||||||||
8.07% (3 mo. USD Term SOFR + 2.750%) (1),(5) |
01/20/36 | 600,000 | 608,341 | |||||||||
Golub Capital Partners CLO 66B Ltd. Series 2023-66A, Class A |
||||||||||||
7.27% (3 mo. USD Term SOFR + 1.950%) (1),(5) |
04/25/36 | 750,000 | 754,758 | |||||||||
Golub Capital Partners CLO 69M Ltd. Series 2023-69A, Class B1 |
||||||||||||
8.57% (3 mo. USD Term SOFR + 3.250%) (1),(5) |
11/09/36 | 870,000 | 884,845 | |||||||||
Harvest Commercial Capital Loan Trust Series 2019-1, Class A |
||||||||||||
3.29% (1),(7),(9) |
09/25/46 | 91,947 | 89,919 | |||||||||
HOA Funding LLC Series 2021-1A, Class A2 |
||||||||||||
4.72% (1) |
08/20/51 | 583,500 | 465,544 | |||||||||
HPS Loan Management Ltd. Series 2023-18A, Class D |
||||||||||||
11.07% (3 mo. USD Term SOFR + 5.750%) (1),(5) |
07/20/36 | 600,000 | 623,552 | |||||||||
HPS Loan Management Ltd. Series 2024-19A, Class C2 |
||||||||||||
8.22% (3 mo. USD Term SOFR + 2.900%) (1),(5) |
04/15/37 | 750,000 | 750,955 | |||||||||
ITE Rail Fund Levered LP Series 2021-1A, Class A |
||||||||||||
2.25% (1) |
02/28/51 | 358,234 | 318,718 | |||||||||
MetroNet Infrastructure Issuer LLC Class A2 |
||||||||||||
7.95% (4) |
04/20/53 | 850,000 | 850,996 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
ASSET-BACKED SECURITIES (Continued) |
||||||||||||
Mosaic Solar Loan Trust Series 2021-1A, Class R |
||||||||||||
0.00% (1),(8) |
12/20/46 | $ | 950,000 | $ | 108,462 | |||||||
Mosaic Solar Loan Trust Series 2021-2A, Class R |
||||||||||||
0.00% (1),(8) |
04/22/47 | 1,150,000 | 42,935 | |||||||||
Mosaic Solar Loan Trust Series 2021-3A, Class R |
||||||||||||
0.00% (1),(8) |
06/20/52 | 1,600,000 | 78,806 | |||||||||
Neuberger Berman Loan Advisers CLO 56 Ltd. Series 2024-56A, Class SUB |
||||||||||||
0.00% (1),(7) |
07/24/37 | 700,000 | 619,920 | |||||||||
OCP CLO Ltd. Series 2021-21A, Class B |
||||||||||||
7.29% (3 mo. USD Term SOFR + 1.962%) (1),(5) |
07/20/34 | 400,000 | 400,040 | |||||||||
OCP CLO Ltd. Series 2023-28A, Class D |
||||||||||||
10.68% (3 mo. USD Term SOFR + 5.350%) (1),(5) |
07/16/36 | 700,000 | 722,109 | |||||||||
Park Avenue Institutional Advisers CLO Ltd. Series 2021-1A, Class A2 |
||||||||||||
7.34% (3 mo. USD Term SOFR + 2.012%) (1),(5) |
01/20/34 | 420,000 | 420,210 | |||||||||
Progress Residential Trust Series 2021-SFR7, Class E2 |
||||||||||||
2.64% (1) |
08/17/40 | 1,451,000 | 1,236,133 | |||||||||
Progress Residential Trust Series 2021-SFR8, Class G |
||||||||||||
4.01% (1) |
10/17/38 | 1,450,000 | 1,298,688 | |||||||||
Progress Residential Trust Series 2021-SFR9, Class E1 |
||||||||||||
2.81% (1) |
11/17/40 | 1,707,000 | 1,493,741 | |||||||||
Rad CLO 22 Ltd. Series 2023-22A, Class D |
||||||||||||
10.37% (3 mo. USD Term SOFR + 5.000%) (1),(5) |
01/20/37 | 350,000 | 359,923 | |||||||||
Regatta XII Funding Ltd. Series 2019-1A, Class BR |
||||||||||||
7.19% (3 mo. USD Term SOFR + 1.862%) (1),(5) |
10/15/32 | 725,000 | 726,454 | |||||||||
Rockford Tower CLO Ltd. Series 2017-2A, Class BR |
||||||||||||
7.09% (3 mo. USD Term SOFR + 1.762%) (1),(5) |
10/15/29 | 800,000 | 800,914 | |||||||||
Santander Consumer Auto Receivables Trust Series 2021-BA, Class R |
||||||||||||
0.00% (1),(3) |
03/15/29 | 5,000 | 1,114,057 | |||||||||
Santander Consumer Auto Receivables Trust Series 2021-CA, Class R |
||||||||||||
0.00% (1),(3) |
06/15/28 | 5,500 | 542,751 | |||||||||
SLC Student Loan Trust Series 2004-1, Class B |
||||||||||||
5.90% (90 day USD SOFR Average + 0.552%) (5) |
08/15/31 | 154,462 | 139,334 | |||||||||
SLC Student Loan Trust Series 2006-1, Class B |
||||||||||||
5.82% (90 day USD SOFR Average + 0.472%) (5) |
03/15/55 | 195,537 | 182,323 | |||||||||
SLM Student Loan EDC Repackaging Trust Series 2013-M1, Class M1R |
||||||||||||
0.00% (1),(3) |
10/28/29 | 1,000 | 321,710 | |||||||||
SLM Student Loan Trust Series 2004-2, Class B |
||||||||||||
6.08% (90 day USD SOFR Average + 0.732%) (5) |
07/25/39 | 175,229 | 167,292 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
ASSET-BACKED SECURITIES (Continued) |
||||||||||||
SLM Student Loan Trust Series 2005-9, Class B |
||||||||||||
5.91% (90 day USD SOFR Average + 0.562%) (5) |
01/25/41 | $ | 286,988 | $ | 271,571 | |||||||
SLM Student Loan Trust Series 2007-6, Class B |
||||||||||||
6.46% (90 day USD SOFR Average + 1.112%) (5) |
04/27/43 | 89,225 | 86,344 | |||||||||
SLM Student Loan Trust Series 2007-7, Class B |
||||||||||||
6.36% (90 day USD SOFR Average + 1.012%) (5) |
10/27/70 | 150,000 | 150,310 | |||||||||
SLM Student Loan Trust Series 2008-2, Class B |
||||||||||||
6.81% (90 day USD SOFR Average + 1.462%) (5) |
01/25/83 | 225,000 | 226,508 | |||||||||
SLM Student Loan Trust Series 2008-3, Class B |
||||||||||||
6.81% (90 day USD SOFR Average + 1.462%) (5) |
04/26/83 | 225,000 | 228,599 | |||||||||
SLM Student Loan Trust Series 2008-4, Class B |
||||||||||||
7.46% (90 day USD SOFR Average + 2.112%) (5) |
04/25/73 | 515,000 | 524,674 | |||||||||
SLM Student Loan Trust Series 2008-5, Class B |
||||||||||||
7.46% (90 day USD SOFR Average + 2.112%) (5) |
07/25/73 | 260,000 | 260,511 | |||||||||
SLM Student Loan Trust Series 2008-6, Class B |
||||||||||||
7.46% (90 day USD SOFR Average + 2.112%) (5) |
07/26/83 | 225,000 | 228,397 | |||||||||
SLM Student Loan Trust Series 2008-7, Class B |
||||||||||||
7.46% (90 day USD SOFR Average + 2.112%) (5) |
07/26/83 | 305,000 | 303,155 | |||||||||
Stratus CLO Ltd. Series 2021-3A, Class SUB |
||||||||||||
0.00% (1),(7),(8) |
12/29/29 | 750,000 | 211,256 | |||||||||
Structured Receivables Finance LLC Series 2010-A, Class B |
||||||||||||
7.61% (1) |
01/16/46 | 438,302 | 446,917 | |||||||||
Structured Receivables Finance LLC Series 2010-B, Class B |
||||||||||||
7.97% (1) |
08/15/36 | 292,944 | 298,527 | |||||||||
Student Loan Consolidation Center Student Loan Trust I Series 2002-2, Class B2 |
||||||||||||
1.65% (28 day ARS) (1),(5) |
07/01/42 | 1,050,000 | 970,393 | |||||||||
Textainer Marine Containers VII Ltd. Series 2021-2A, Class A |
||||||||||||
2.23% (1) |
04/20/46 | 1,172,267 | 1,050,275 | |||||||||
TIF Funding II LLC Series 2021-1A, Class A |
||||||||||||
1.65% (1) |
02/20/46 | 1,103,109 | 960,058 | |||||||||
Westlake Automobile Receivables Trust Series 2024-1A, Class D |
||||||||||||
6.02% (1) |
10/15/29 | 600,000 | 602,283 | |||||||||
Total Asset-Backed Securities |
||||||||||||
(Cost: $43,741,743) |
40,648,405 | |||||||||||
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
MORTGAGE-BACKED SECURITIES 54.4% |
||||||||||||
Commercial Mortgage-backed Securities — Agency — 0.9% |
||||||||||||
Federal Home Loan Mortgage Corp. Multifamily PC REMICS Trust Series 2019-P002, Class X (I/O) |
||||||||||||
1.14% (7) |
07/25/33 | $ | 1,295,000 | $ | 75,639 | |||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K039, Class X3 (I/O) |
||||||||||||
2.10% (7) |
08/25/42 | 3,110,000 | 10,145 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K040, Class X3 (I/O) |
||||||||||||
2.09% (7) |
11/25/42 | 4,875,000 | 18,730 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K049, Class X3 (I/O) |
||||||||||||
1.60% (7) |
10/25/43 | 2,330,000 | 36,906 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K060, Class X3 (I/O) |
||||||||||||
1.96% (7) |
12/25/44 | 2,499,972 | 102,532 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K728, Class X3 (I/O) |
||||||||||||
2.06% (7) |
11/25/45 | 3,455,000 | 12,907 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K732, Class X3 (I/O) |
||||||||||||
2.25% (7) |
05/25/46 | 2,400,000 | 50,564 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K735, Class X3 (I/O) |
||||||||||||
2.23% (7) |
05/25/47 | 3,750,000 | 140,546 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KC05, Class X1 (I/O) |
||||||||||||
1.36% (7) |
06/25/27 | 7,268,041 | 178,397 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KIR1, Class X (I/O) |
||||||||||||
1.16% (7) |
03/25/26 | 7,914,038 | 111,572 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KW01, Class X3 (I/O) |
||||||||||||
4.24% (7) |
03/25/29 | 690,000 | 40,233 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series Q010, Class XPT2 (I/O) |
||||||||||||
0.36% |
08/25/24 | 682,089 | 359 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series Q013, Class XPT2 (I/O) |
||||||||||||
1.81% (7) |
05/25/27 | 2,794,935 | 84,098 | |||||||||
Federal National Mortgage Association, Pool #AN3542 |
||||||||||||
3.41% |
11/01/46 | 1,047,803 | 888,632 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Commercial Mortgage-backed Securities — Agency (Continued) |
||||||||||||
Federal National Mortgage Association-Aces Series 2016-M11, Class X2 (ACES) (I/O) |
||||||||||||
3.10% (7) |
07/25/39 | $ | 713,856 | $ | 13,328 | |||||||
Federal National Mortgage Association-Aces Series 2019-M29, Class X4 (ACES) (I/O) |
||||||||||||
0.70% (7) |
03/25/29 | 7,900,000 | 187,476 | |||||||||
Government National Mortgage Association Series 2009-114, Class IO (I/O) |
||||||||||||
0.00% (7),(8) |
10/16/49 | 4,579,683 | 73 | |||||||||
Government National Mortgage Association Series 2010-148, Class IO (I/O) |
||||||||||||
0.30% (7) |
09/16/50 | 4,769,308 | 47,980 | |||||||||
Government National Mortgage Association Series 2011-105, Class IO (I/O) |
||||||||||||
0.00% (7),(8) |
09/16/51 | 3,236,049 | 4 | |||||||||
Government National Mortgage Association Series 2011-152, Class IO (I/O) |
||||||||||||
0.00% (7),(8) |
08/16/51 | 1,170,226 | 22 | |||||||||
Government National Mortgage Association Series 2012-139, Class IO (I/O) |
||||||||||||
0.56% (7) |
02/16/53 | 1,082,810 | 16,715 | |||||||||
Government National Mortgage Association Series 2012-4, Class IO (I/O) |
||||||||||||
0.00% (7),(8) |
05/16/52 | 2,822,371 | 28 | |||||||||
Government National Mortgage Association Series 2013-52, Class IO (I/O) |
||||||||||||
0.05% (7) |
02/16/55 | 6,118,962 | 2,438 | |||||||||
Government National Mortgage Association Series 2014-103, Class IO (I/O) |
||||||||||||
0.19% (7) |
05/16/55 | 2,086,297 | 12,559 | |||||||||
Government National Mortgage Association Series 2014-125, Class IO (I/O) |
||||||||||||
0.90% (7) |
11/16/54 | 1,311,691 | 26,433 | |||||||||
Total Commercial Mortgage-backed Securities — Agency |
||||||||||||
(Cost: $5,690,068) |
2,058,316 | |||||||||||
Commercial Mortgage-backed Securities — Non-Agency — 7.6% |
||||||||||||
BBCMS Mortgage Trust Series 2020-BID, Class D |
||||||||||||
10.07% (1 mo. USD Term SOFR + 4.744%) (1),(5) |
10/15/37 | 705,000 | 697,247 | |||||||||
Benchmark Mortgage Trust Series 2019-B14, Class 225D |
||||||||||||
3.40% (1),(7) |
12/15/62 | 535,000 | 9,831 | |||||||||
Benchmark Mortgage Trust Series 2020-IG3, Class BXC |
||||||||||||
3.65% (1),(7) |
09/15/48 | 555,000 | 457,124 | |||||||||
BXHPP Trust Series 2021-FILM, Class C |
||||||||||||
6.54% (1 mo. USD Term SOFR + 1.214%) (1),(5) |
08/15/36 | 430,000 | 405,559 | |||||||||
BXHPP Trust Series 2021-FILM, Class D |
||||||||||||
6.94% (1 mo. USD Term SOFR + 1.614%) (1),(5) |
08/15/36 | 515,000 | 477,495 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Commercial Mortgage-backed Securities — Non-Agency (Continued) |
||||||||||||
BXP Trust Series 2017-GM, Class D |
||||||||||||
3.54% (1),(7) |
06/13/39 | $ | 375,000 | $ | 335,054 | |||||||
Citigroup Commercial Mortgage Trust Series 2014-GC21, Class XD (I/O) |
||||||||||||
1.38% (1),(7) |
05/10/47 | 4,710,600 | 444 | |||||||||
Citigroup Commercial Mortgage Trust Series 2015-GC35, Class XA (I/O) |
||||||||||||
0.86% (7) |
11/10/48 | 6,145,195 | 40,403 | |||||||||
COMM Mortgage Trust Series 2012-LC4, Class XB (I/O) |
||||||||||||
0.44% (1),(7) |
12/10/44 | 14,205,833 | 423 | |||||||||
COMM Mortgage Trust Series 2013-CR12, Class XA (I/O) |
||||||||||||
0.74% (7) |
10/10/46 | 664,431 | 35 | |||||||||
COMM Mortgage Trust Series 2014-CR18, Class XA (I/O) |
||||||||||||
0.93% (7) |
07/15/47 | 535,979 | 290 | |||||||||
COMM Mortgage Trust Series 2014-CR21, Class XA (I/O) |
||||||||||||
0.97% (7) |
12/10/47 | 11,559,398 | 12,117 | |||||||||
COMM Mortgage Trust Series 2020-CBM, Class XCP (I/O) |
||||||||||||
0.72% (1),(7) |
02/10/37 | 5,644,863 | 9,499 | |||||||||
COMM Mortgage Trust Series 2020-CX, Class E |
||||||||||||
2.77% (1),(7) |
11/10/46 | 370,000 | 256,766 | |||||||||
CSMC Trust Series 2020-FACT, Class F |
||||||||||||
11.85% (1 mo. USD Term SOFR + 6.521%) (1),(5) |
10/15/37 | 1,017,000 | 901,025 | |||||||||
Extended Stay America Trust Series 2021-ESH, Class F |
||||||||||||
9.14% (1 mo. USD Term SOFR + 3.814%) (1),(5) |
07/15/38 | 590,066 | 588,898 | |||||||||
Frost CMBS DAC Series 2021-1A, Class EUE |
||||||||||||
7.82% (3 mo. EUR EURIBOR + 3.990%) (1),(5) |
11/20/33 | EUR | 735,643 | 752,925 | ||||||||
Grace Trust Series 2020-GRCE, Class D |
||||||||||||
2.77% (1),(7) |
12/10/40 | $ | 700,000 | 533,354 | ||||||||
Grace Trust Series 2020-GRCE, Class F |
||||||||||||
2.77% (1),(7) |
12/10/40 | 376,000 | 252,860 | |||||||||
Grace Trust Series 2020-GRCE, Class X (I/O) |
||||||||||||
0.39% (1),(7) |
12/10/40 | 10,620,000 | 171,457 | |||||||||
GS Mortgage Securities Corp. Trust Series 2020-UPTN, Class XA (I/O) |
||||||||||||
0.45% (1),(7) |
02/10/37 | 3,150,000 | 3,219 | |||||||||
GS Mortgage Securities Trust Series 2016-GS2, Class XA (I/O) |
||||||||||||
1.88% (7) |
05/10/49 | 4,010,340 | 87,239 | |||||||||
Hilton USA Trust Series 2016-HHV, Class F |
||||||||||||
4.33% (1),(7) |
11/05/38 | 1,341,000 | 1,245,474 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Commercial Mortgage-backed Securities — Non-Agency (Continued) |
||||||||||||
Hudson Yards Mortgage Trust Series 2019-55HY, Class F |
||||||||||||
3.04% (1),(7) |
12/10/41 | $ | 150,000 | $ | 116,135 | |||||||
ILPT Trust Series 2019-SURF, Class A |
||||||||||||
4.15% (1) |
02/11/41 | 240,000 | 224,842 | |||||||||
JPMBB Commercial Mortgage Securities Trust Series 2014-C24, Class XA (I/O) |
||||||||||||
0.95% (7) |
11/15/47 | 6,180,469 | 2,176 | |||||||||
JPMBB Commercial Mortgage Securities Trust Series 2014-C21, Class XA (I/O) |
||||||||||||
0.99% (7) |
08/15/47 | 129,819 | 83 | |||||||||
JPMBB Commercial Mortgage Securities Trust Series 2014-C23, Class XA (I/O) |
||||||||||||
0.65% (7) |
09/15/47 | 4,645,272 | 987 | |||||||||
JPMBB Commercial Mortgage Securities Trust Series 2015-C29, Class XD (I/O) |
||||||||||||
0.50% (1),(7) |
05/15/48 | 26,458,000 | 86,360 | |||||||||
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class XA (I/O) |
||||||||||||
0.96% (7) |
03/15/50 | 9,987,473 | 158,548 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2011-C3, Class XB (I/O) |
||||||||||||
0.50% (1),(7) |
02/15/46 | 48,571,667 | 116,414 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-LC11, Class XA (I/O) |
||||||||||||
1.08% (7) |
04/15/46 | 956,436 | 72 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-NINE, Class A |
||||||||||||
2.95% (1),(7) |
09/06/38 | 775,000 | 727,369 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-OSB, Class A |
||||||||||||
3.40% (1) |
06/05/39 | 585,000 | 518,118 | |||||||||
Manhattan West Mortgage Trust Series 2020-1MW, Class A |
||||||||||||
2.13% (1) |
09/10/39 | 695,000 | 618,984 | |||||||||
Med Trust Series 2021-MDLN, Class G |
||||||||||||
10.69% (1 mo. USD Term SOFR + 5.364%) (1),(5) |
11/15/38 | 666,800 | 668,369 | |||||||||
MFT Mortgage Trust Series 2020-B6, Class C |
||||||||||||
3.39% (1),(7) |
08/10/40 | 220,000 | 127,680 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class XA (I/O) |
||||||||||||
1.13% (7) |
04/15/48 | 7,801,740 | 23,048 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class XA (I/O) |
||||||||||||
0.82% (7) |
05/15/48 | 8,662,158 | 41,252 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31, Class XA (I/O) |
||||||||||||
1.40% (7) |
11/15/49 | 6,122,401 | 129,351 | |||||||||
Natixis Commercial Mortgage Securities Trust Series 2019-FAME, Class D |
||||||||||||
4.54% (1),(7) |
08/15/36 | 835,000 | 512,022 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Commercial Mortgage-backed Securities — Non-Agency (Continued) |
||||||||||||
Roseville Ltd. |
||||||||||||
8.58% (4) |
03/29/25 | $ | 605,000 | $ | 604,093 | |||||||
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class A2A |
||||||||||||
3.66% (1),(7) |
01/05/43 | 805,000 | 651,967 | |||||||||
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class D |
||||||||||||
4.53% (1),(7) |
01/05/43 | 880,000 | 614,625 | |||||||||
SMRT Commercial Mortgage Trust Series 2022-MINI, Class E |
||||||||||||
8.03% (1 mo. USD Term SOFR + 2.700%) (1),(5) |
01/15/39 | 1,005,000 | 983,338 | |||||||||
SMRT Commercial Mortgage Trust Series 2022-MINI, Class F |
||||||||||||
8.68% (1 mo. USD Term SOFR + 3.350%) (1),(5) |
01/15/39 | 246,000 | 234,257 | |||||||||
Taurus U.K. DAC Series 2021-UK1X, Class E |
||||||||||||
8.88% (1 day GBP SONIA + 3.650%) (5),(10) |
05/17/31 | GBP | 665,115 | 827,348 | ||||||||
UBS Commercial Mortgage Trust Series 2017-C5, Class XA (I/O) |
||||||||||||
1.21% (7) |
11/15/50 | $ | 5,590,195 | 156,274 | ||||||||
VASA Trust Series 2021-VASA, Class B |
||||||||||||
6.69% (1 mo. USD Term SOFR + 1.364%) (1),(5) |
07/15/39 | 1,000,000 | 857,027 | |||||||||
Vita Scientia DAC Series 2022-1X, Class D |
||||||||||||
6.29% (3 mo. EUR EURIBOR + 2.490%) (5),(10) |
02/27/33 | EUR | 1,500,000 | 1,497,295 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2018-C47, Class AS |
||||||||||||
4.67% (7) |
09/15/61 | $ | 750,000 | 716,993 | ||||||||
WFRBS Commercial Mortgage Trust Series 2013-C14, Class XA (I/O) |
||||||||||||
0.48% (7) |
06/15/46 | 186,453 | 385 | |||||||||
WFRBS Commercial Mortgage Trust Series 2014-C24, Class XA (I/O) |
||||||||||||
1.02% (7) |
11/15/47 | 3,930,333 | 467 | |||||||||
Total Commercial Mortgage-backed Securities — Non-Agency |
||||||||||||
(Cost: $23,752,081) |
18,454,617 | |||||||||||
Residential Mortgage-backed Securities — Agency — 21.4% |
||||||||||||
Federal Home Loan Mortgage Corp., Pool #SD8199 |
||||||||||||
2.00% |
03/01/52 | 3,766,702 | 2,947,205 | |||||||||
Federal Home Loan Mortgage Corp., Pool #SD8225 |
||||||||||||
3.00% |
07/01/52 | 2,624,472 | 2,233,993 | |||||||||
Federal Home Loan Mortgage Corp. REMICS Series 3122, Class SG (I/O) (I/F) (TAC) (PAC) |
||||||||||||
0.18% (-30 day USD SOFR Average + 5.516%) (5) |
03/15/36 | 1,085,002 | 54,915 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Residential Mortgage-backed Securities — Agency (Continued) |
||||||||||||
Federal Home Loan Mortgage Corp. REMICS Series 3239, Class SI (I/O) (I/F) (PAC) |
||||||||||||
1.20% (-30 day USD SOFR Average + 6.536%) (5) |
11/15/36 | $ | 241,264 | $ | 24,638 | |||||||
Federal Home Loan Mortgage Corp. REMICS Series 3323, Class SA (I/O) (I/F) |
||||||||||||
0.66% (-30 day USD SOFR Average + 5.996%) (5) |
05/15/37 | 46,362 | 2,129 | |||||||||
Federal Home Loan Mortgage Corp. REMICS Series 3459, Class JS (I/O) (I/F) |
||||||||||||
0.80% (-30 day USD SOFR Average + 6.136%) (5) |
06/15/38 | 74,050 | 5,979 | |||||||||
Federal Home Loan Mortgage Corp. REMICS Series 4030, Class HS (I/O) (I/F) |
||||||||||||
1.16% (-30 day USD SOFR Average + 6.496%) (5) |
04/15/42 | 443,965 | 41,526 | |||||||||
Federal National Mortgage Association, Pool #MA4769 |
||||||||||||
2.00% |
09/01/52 | 893,425 | 699,048 | |||||||||
Federal National Mortgage Association, Pool #MA4768 |
||||||||||||
2.50% |
09/01/52 | 1,541,662 | 1,261,486 | |||||||||
Federal National Mortgage Association, Pool #FS7577 |
||||||||||||
2.50% |
01/01/54 | 2,961,072 | 2,422,936 | |||||||||
Federal National Mortgage Association REMICS Series 2007-42, Class SE (I/O) (I/F) |
||||||||||||
0.66% (-30 day USD SOFR Average + 5.996%) (5) |
05/25/37 | 37,786 | 2,481 | |||||||||
Federal National Mortgage Association REMICS Series 2007-48, Class SD (I/O) (I/F) |
||||||||||||
0.65% (-30 day USD SOFR Average + 5.986%) (5) |
05/25/37 | 650,600 | 43,108 | |||||||||
Federal National Mortgage Association REMICS Series 2009-69, Class CS (I/O) (I/F) |
||||||||||||
1.30% (-30 day USD SOFR Average + 6.636%) (5) |
09/25/39 | 101,700 | 9,950 | |||||||||
Government National Mortgage Association REMICS Series 2006-35, Class SA (I/O) (I/F) |
||||||||||||
1.15% (-1 mo. USD Term SOFR + 6.486%) (5) |
07/20/36 | 724,367 | 51,507 | |||||||||
Government National Mortgage Association REMICS Series 2006-61, Class SA (I/O) (I/F) (TAC) |
||||||||||||
0.00% (-1 mo. USD Term SOFR + 4.636%) (5),(8) |
11/20/36 | 925,172 | 15,759 | |||||||||
Government National Mortgage Association REMICS Series 2008-58, Class TS (I/O) (I/F) (TAC) |
||||||||||||
0.95% (-1 mo. USD Term SOFR + 6.286%) (5) |
05/20/38 | 331,268 | 6,628 | |||||||||
Government National Mortgage Association REMICS Series 2014-118, Class ST |
||||||||||||
0.15% (-1 mo. USD Term SOFR + 5.486%) (5) |
08/20/44 | 3,851,097 | 289,493 | |||||||||
Government National Mortgage Association REMICS Series 2016-153, Class IO (I/O) |
||||||||||||
3.50% |
11/20/46 | 1,235,599 | 229,477 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Residential Mortgage-backed Securities — Agency (Continued) |
||||||||||||
Government National Mortgage Association, TBA |
||||||||||||
4.50% (11) |
05/01/53 | $ | 1,275,000 | $ | 1,212,102 | |||||||
5.00% (11) |
03/01/54 | 2,400,000 | 2,337,210 | |||||||||
5.50% (11) |
03/01/54 | 1,850,000 | 1,835,844 | |||||||||
Uniform Mortgage-Backed Security, TBA |
||||||||||||
2.00% (11) |
11/01/51 | 4,775,000 | 3,735,141 | |||||||||
2.50% (11) |
12/01/51 | 5,675,000 | 4,635,204 | |||||||||
3.00% (11) |
02/01/52 | 2,900,000 | 2,466,982 | |||||||||
3.50% (11) |
03/01/52 | 3,375,000 | 2,986,948 | |||||||||
4.00% (11) |
04/01/52 | 11,900,000 | 10,890,202 | |||||||||
4.50% (11) |
03/01/53 | 5,100,000 | 4,808,928 | |||||||||
5.00% (11) |
02/01/54 | 4,625,000 | 4,470,261 | |||||||||
5.50% (11) |
02/01/54 | 2,100,000 | 2,071,036 | |||||||||
Total Residential Mortgage-backed Securities — Agency |
||||||||||||
(Cost: $51,519,181) |
51,792,116 | |||||||||||
Residential Mortgage-backed Securities — Non-Agency — 24.5% |
||||||||||||
ABFC Trust Series 2007-NC1, Class A2 |
||||||||||||
5.76% (1 mo. USD Term SOFR + 0.414%) (1),(5) |
05/25/37 | 705,690 | 639,324 | |||||||||
ACE Securities Corp. Home Equity Loan Trust Series 2004-IN1, Class A1 |
||||||||||||
6.10% (1 mo. USD Term SOFR + 0.754%) (5) |
05/25/34 | 314,912 | 290,344 | |||||||||
ACE Securities Corp. Home Equity Loan Trust Series 2007-ASP1, Class A2C |
||||||||||||
5.98% (1 mo. USD Term SOFR + 0.634%) (5) |
03/25/37 | 1,148,512 | 477,814 | |||||||||
Adjustable Rate Mortgage Trust Series 2005-4, Class 6A22 |
||||||||||||
5.17% (7),(9) |
08/25/35 | 315,287 | 226,961 | |||||||||
Ajax Mortgage Loan Trust Series 2019-F, Class A2 |
||||||||||||
3.50% (1) |
07/25/59 | 1,300,000 | 1,204,108 | |||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2006-HE3, Class A5 |
||||||||||||
2.89% (1 mo. USD Term SOFR + 0.654%) (5) |
03/25/36 | 743,588 | 717,127 | |||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2007-HE1, Class A1B |
||||||||||||
4.06% (1 mo. USD Term SOFR + 0.414%) (5) |
12/25/36 | 233,237 | 219,822 | |||||||||
Banc of America Alternative Loan Trust Series 2005-10, Class 1CB1 |
||||||||||||
5.50% (1 mo. USD Term SOFR + 0.514%) (5),(9) |
11/25/35 | 266,701 | 215,885 | |||||||||
Banc of America Funding Trust Series 2006-3, Class 4A14 |
||||||||||||
6.00% (9) |
03/25/36 | 109,042 | 87,783 | |||||||||
Banc of America Funding Trust Series 2006-3, Class 5A3 |
||||||||||||
5.50% (9) |
03/25/36 | 86,334 | 74,581 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Residential Mortgage-backed Securities — Non-Agency (Continued) |
||||||||||||
Banc of America Funding Trust Series 2015-R4, Class 2A1 |
||||||||||||
5.64% (1 mo. USD Term SOFR + 0.319%) (1),(5) |
02/25/37 | $ | 189,037 | $ | 186,090 | |||||||
BCMSC Trust Series 2000-A, Class A4 |
||||||||||||
8.29% (7) |
06/15/30 | 3,316,690 | 353,199 | |||||||||
Bear Stearns ALT-A Trust Series 2005-3, Class 4A3 |
||||||||||||
4.57% (7) |
04/25/35 | 162,865 | 155,156 | |||||||||
Bear Stearns ARM Trust Series 2003-7, Class 9A |
||||||||||||
5.65% (7) |
10/25/33 | 169,786 | 151,724 | |||||||||
Bear Stearns ARM Trust Series 2005-9, Class A1 |
||||||||||||
7.67% (1 yr. CMT + 2.300%) (5) |
10/25/35 | 90,046 | 82,425 | |||||||||
Bear Stearns ARM Trust Series 2007-4, Class 22A1 |
||||||||||||
4.40% (7),(9) |
06/25/47 | 498,900 | 438,693 | |||||||||
Bear Stearns Asset-Backed Securities I Trust Series 2005-AC6, Class 1A3 |
||||||||||||
5.50% (7) |
09/25/35 | 258,208 | 236,178 | |||||||||
Bear Stearns Asset-Backed Securities I Trust Series 2006-IM1, Class A1 |
||||||||||||
5.92% (1 mo. USD Term SOFR + 0.574%) (5) |
04/25/36 | 119,092 | 115,027 | |||||||||
Bear Stearns Mortgage Funding Trust Series 2007-AR3, Class 1X (I/O) |
||||||||||||
0.50% (4) |
03/25/37 | 23,397,690 | 463,046 | |||||||||
C-BASS Mortgage Loan Trust Series 2007-CB2, Class A2B |
||||||||||||
3.55% |
02/25/37 | 733,604 | 436,454 | |||||||||
C-BASS Mortgage Loan Trust Series 2007-CB2, Class A2C |
||||||||||||
3.55% |
02/25/37 | 720,775 | 407,913 | |||||||||
C-BASS Mortgage Loan Trust Series 2007-CB3, Class A3 |
||||||||||||
3.28% |
03/25/37 | 1,106,943 | 383,854 | |||||||||
Carrington Mortgage Loan Trust Series 2006-NC4, Class A4 |
||||||||||||
5.70% (1 mo. USD Term SOFR + 0.354%) (5) |
10/25/36 | 1,250,000 | 1,076,057 | |||||||||
Carrington Mortgage Loan Trust Series 2007-RFC1, Class A3 |
||||||||||||
5.60% (1 mo. USD Term SOFR + 0.254%) (5) |
12/25/36 | 863,693 | 835,151 | |||||||||
CHL Mortgage Pass-Through Trust Series 2004-HYB4, Class B1 |
||||||||||||
5.26% (7) |
09/20/34 | 406,058 | 65,020 | |||||||||
CHL Mortgage Pass-Through Trust Series 2006-14, Class X (I/O) |
||||||||||||
0.12% (4),(7) |
09/25/36 | 6,746,971 | 22,297 | |||||||||
CHL Mortgage Pass-Through Trust Series 2006-HYB2, Class 1A1 |
||||||||||||
5.20% (7) |
04/20/36 | 636,843 | 466,075 | |||||||||
CHNGE Mortgage Trust Series 2023-1, Class M1 |
||||||||||||
8.27% (1),(7) |
03/25/58 | 460,000 | 460,577 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Residential Mortgage-backed Securities — Non-Agency (Continued) |
||||||||||||
CIM Trust Series 2019-R1, Class A |
||||||||||||
3.25% (1),(7) |
10/25/58 | $ | 618,479 | $ | 547,918 | |||||||
CIM Trust Series 2021-NR1, Class A1 |
||||||||||||
5.57% (1) |
07/25/55 | 509,850 | 505,755 | |||||||||
CIM Trust Series 2021-NR2, Class A1 |
||||||||||||
5.57% (1) |
07/25/59 | 679,488 | 673,747 | |||||||||
CIM Trust Series 2021-NR3, Class A1 |
||||||||||||
5.57% (1) |
06/25/57 | 174,519 | 172,706 | |||||||||
CIM Trust Series 2021-NR4, Class A1 |
||||||||||||
2.82% (1) |
10/25/61 | 828,071 | 815,859 | |||||||||
CIM Trust Series 2021-R3, Class A1A |
||||||||||||
1.95% (1),(7) |
06/25/57 | 657,662 | 582,807 | |||||||||
CIM Trust Series 2021-R4, Class A1A |
||||||||||||
2.00% (1),(7) |
05/01/61 | 691,013 | 606,776 | |||||||||
CIM Trust Series 2021-R5, Class A1B |
||||||||||||
2.00% (1),(7) |
08/25/61 | 1,096,000 | 714,016 | |||||||||
CIM Trust Series 2022-NR1, Class A1 |
||||||||||||
5.00% (1) |
07/25/62 | 305,907 | 298,471 | |||||||||
CIM Trust Series 2023-NR1, Class A1 |
||||||||||||
6.00% (1) |
06/25/62 | 923,327 | 914,639 | |||||||||
CIM Trust Series 2023-NR2, Class A1 |
||||||||||||
6.00% (1) |
06/25/62 | 1,054,059 | 1,035,229 | |||||||||
Citigroup Mortgage Loan Trust, Inc. Series 2005-11, Class A2A |
||||||||||||
7.78% (1 yr. CMT + 2.400%) (5) |
10/25/35 | 161,567 | 158,706 | |||||||||
Citigroup Mortgage Loan Trust, Inc. Series 2005-8, Class 1A1A |
||||||||||||
5.45% (7),(9) |
10/25/35 | 347,874 | 278,968 | |||||||||
CitiMortgage Alternative Loan Trust Series 2006-A3, Class 1A7 |
||||||||||||
6.00% (9) |
07/25/36 | 545,703 | 476,707 | |||||||||
CitiMortgage Alternative Loan Trust Series 2006-A5, Class 1A8 |
||||||||||||
6.00% (9) |
10/25/36 | 470,741 | 384,088 | |||||||||
Conseco Finance Securitizations Corp. Series 1999-6, Class A1 |
||||||||||||
7.36% (1),(7) |
06/01/30 | 1,210,569 | 385,799 | |||||||||
Countrywide Alternative Loan Trust Series 2005-46CB, Class A20 (TAC) |
||||||||||||
5.50% (9) |
10/25/35 | 500,966 | 349,245 | |||||||||
Countrywide Alternative Loan Trust Series 2006-8T1, Class 1A2 (I/O) |
||||||||||||
0.04% (-1 mo. USD Term SOFR + 5.386%) (4),(5) |
04/25/36 | 4,661,060 | 404,472 | |||||||||
Countrywide Asset-Backed Certificates Trust Series 2007-13, Class 2A1 |
||||||||||||
6.36% (1 mo. USD Term SOFR + 1.014%) (5) |
10/25/47 | 382,788 | 351,020 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. Series 2005-12, Class 1A1 |
||||||||||||
6.50% |
01/25/36 | 947,833 | 223,645 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Residential Mortgage-backed Securities — Non-Agency (Continued) |
||||||||||||
Credit-Based Asset Servicing & Securitization LLC Series 2003-CB3, Class AF1 |
||||||||||||
3.38% (7) |
12/25/32 | $ | 252,085 | $ | 237,458 | |||||||
Credit-Based Asset Servicing & Securitization LLC Series 2006-CB2, Class AF2 |
||||||||||||
3.04% |
12/25/36 | 1,763,249 | 1,376,588 | |||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2006-AR6, Class A6 |
||||||||||||
5.84% (1 mo. USD Term SOFR + 0.494%) (5) |
02/25/37 | 264,132 | 219,437 | |||||||||
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust Series 2006-AB2, Class A2 |
||||||||||||
4.77% (7),(9) |
06/25/36 | 826,328 | 719,654 | |||||||||
DSLA Mortgage Loan Trust Series 2006-AR2, Class 2A1A |
||||||||||||
5.65% (1 mo. USD Term SOFR + 0.314%) (5) |
10/19/36 | 329,073 | 190,088 | |||||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-DNA6, Class B1 |
||||||||||||
8.74% (30 day USD SOFR Average + 3.400%) (1),(5) |
10/25/41 | 650,000 | 674,405 | |||||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA2, Class M2 |
||||||||||||
7.39% (30 day USD SOFR Average + 2.050%) (1),(5) |
12/25/33 | 861,195 | 879,619 | |||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2019-R06, Class 2B1 |
||||||||||||
9.20% (30 day USD SOFR Average + 3.864%) (1),(5) |
09/25/39 | 644,348 | 671,098 | |||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2019-R07, Class 1B1 |
||||||||||||
8.85% (30 day USD SOFR Average + 3.514%) (1),(5) |
10/25/39 | 954,526 | 992,156 | |||||||||
First Franklin Mortgage Loan Trust Series 2006-FF13, Class A2C |
||||||||||||
5.78% (1 mo. USD Term SOFR + 0.434%) (5) |
10/25/36 | 561,465 | 363,810 | |||||||||
First Horizon Alternative Mortgage Securities Trust Series 2005-AA10, Class 2A1 |
||||||||||||
5.86% (7),(9) |
12/25/35 | 136,599 | 107,531 | |||||||||
Fremont Home Loan Trust Series 2005-A, Class M4 |
||||||||||||
6.48% (1 mo. USD Term SOFR + 1.134%) (5) |
01/25/35 | 1,432,275 | 1,233,813 | |||||||||
GreenPoint Manufactured Housing Series 2000-1, Class A4 |
||||||||||||
8.14% (7) |
03/20/30 | 393,430 | 255,465 | |||||||||
GSAA Home Equity Trust Series 2006-13, Class AF6 |
||||||||||||
6.54% |
07/25/36 | 1,112,754 | 329,073 | |||||||||
GSAMP Trust Series 2007-NC1, Class A2C |
||||||||||||
5.76% (1 mo. USD Term SOFR + 0.264%) (5) |
12/25/46 | 2,212,817 | 1,083,678 | |||||||||
GSC Capital Corp. Mortgage Trust Series 2006-2, Class A1 |
||||||||||||
5.82% (1 mo. USD Term SOFR + 0.474%) (5) |
05/25/36 | 162,553 | 151,531 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Residential Mortgage-backed Securities — Non-Agency (Continued) |
||||||||||||
GSR Mortgage Loan Trust Series 2005-AR3, Class 6A1 |
||||||||||||
4.51% (7) |
05/25/35 | $ | 129,140 | $ | 101,335 | |||||||
HSI Asset Loan Obligation Trust Series 2007-2, Class 2A12 |
||||||||||||
6.00% |
09/25/37 | 284,574 | 209,571 | |||||||||
IndyMac INDX Mortgage Loan Trust Series 2004-AR6, Class 5A1 |
||||||||||||
5.15% (7) |
10/25/34 | 249,508 | 234,110 | |||||||||
IndyMac INDX Mortgage Loan Trust Series 2005-AR19, Class A1 |
||||||||||||
3.70% (7) |
10/25/35 | 376,985 | 294,718 | |||||||||
IndyMac INDX Mortgage Loan Trust Series 2006-AR13, Class A4X (I/O) |
||||||||||||
0.00% (4),(7),(8) |
07/25/36 | 261,288 | — | |||||||||
IndyMac INDX Mortgage Loan Trust Series 2006-AR9, Class 1A1 |
||||||||||||
4.31% (7) |
06/25/36 | 423,594 | 224,260 | |||||||||
IndyMac INDX Mortgage Loan Trust Series 2007-AR5, Class 2A1 |
||||||||||||
3.47% (7) |
05/25/37 | 579,666 | 446,062 | |||||||||
IndyMac INDX Mortgage Loan Trust Series 2007-FLX2, Class A1C |
||||||||||||
5.84% (1 mo. USD Term SOFR + 0.304%) (5) |
04/25/37 | 1,270,637 | 1,059,761 | |||||||||
JPMorgan Alternative Loan Trust Series 2006-A2, Class 5A1 |
||||||||||||
4.41% (7) |
05/25/36 | 331,844 | 193,265 | |||||||||
JPMorgan Mortgage Acquisition Trust Series 2006-WF1, Class A5 |
||||||||||||
6.91% |
07/25/36 | 1,842,066 | 508,118 | |||||||||
JPMorgan Mortgage Trust Series 2004-A6, Class 5A1 |
||||||||||||
5.05% (7) |
12/25/34 | 157,146 | 149,843 | |||||||||
JPMorgan Mortgage Trust Series 2007-S2, Class 1A1 |
||||||||||||
5.00% |
06/25/37 | 146,971 | 46,913 | |||||||||
JPMorgan Resecuritization Trust Series 2015-4, Class 2A2 |
||||||||||||
3.67% (1),(7) |
06/26/47 | 2,913,720 | 1,296,582 | |||||||||
Lehman Mortgage Trust Series 2006-7, Class 2A5 (I/O) (I/F) |
||||||||||||
1.09% (-1 mo. USD Term SOFR + 6.436%) (4),(5) |
11/25/36 | 2,870,837 | 250,430 | |||||||||
Lehman XS Trust Series 2006-10N, Class 1A3A |
||||||||||||
5.88% (1 mo. USD Term SOFR + 0.534%) (5) |
07/25/46 | 366,609 | 330,165 | |||||||||
Lehman XS Trust Series 2006-12N, Class A31A |
||||||||||||
5.86% (1 mo. USD Term SOFR + 0.514%) (5) |
08/25/46 | 454,548 | 428,403 | |||||||||
Long Beach Mortgage Loan Trust Series 2004-4, Class M1 |
||||||||||||
6.36% (1 mo. USD Term SOFR + 1.014%) (5) |
10/25/34 | 278,848 | 262,914 | |||||||||
MASTR Alternative Loan Trust Series 2006-2, Class 2A2 (I/O) (I/F) |
||||||||||||
1.64% (-1 mo. USD Term SOFR + 6.986%) (4),(5) |
03/25/36 | 5,890,099 | 345,278 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Residential Mortgage-backed Securities — Non-Agency (Continued) |
||||||||||||
MASTR Alternative Loan Trust Series 2007-HF1, Class 4A1 |
||||||||||||
7.00% |
10/25/47 | $ | 1,047,846 | $ | 447,085 | |||||||
MASTR Asset-Backed Securities Trust Series 2007-HE1, Class A4 |
||||||||||||
5.74% (1 mo. USD Term SOFR + 0.394%) (5) |
05/25/37 | 2,000,000 | 1,618,243 | |||||||||
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2, Class A2 |
||||||||||||
5.88% (1 mo. USD Term SOFR + 0.534%) (5) |
04/25/37 | 518,249 | 420,512 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3, Class A2B |
||||||||||||
5.72% (1 mo. USD Term SOFR + 0.374%) (5) |
06/25/37 | 278,142 | 270,395 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3, Class A2C |
||||||||||||
5.82% (1 mo. USD Term SOFR + 0.474%) (5) |
06/25/37 | 399,675 | 390,856 | |||||||||
Merrill Lynch Mortgage Investors Trust Series 2006-RM2, Class A1A |
||||||||||||
5.83% (1 mo. USD Term SOFR + 0.484%) (5) |
05/25/37 | 3,832,458 | 1,054,101 | |||||||||
Merrill Lynch Mortgage-Backed Securities Trust Series 2007-2, Class 1A1 |
||||||||||||
7.59% (1 yr. CMT + 2.400%) (5),(9) |
08/25/36 | 92,265 | 79,033 | |||||||||
Morgan Stanley Mortgage Loan Trust Series 2007-15AR, Class 4A1 |
||||||||||||
3.68% (7) |
11/25/37 | 214,999 | 199,105 | |||||||||
New Residential Mortgage Loan Trust Series 2022-NQM2, Class A2 |
||||||||||||
3.70% (1),(7) |
03/27/62 | 930,000 | 713,636 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-AR1, Class 1A |
||||||||||||
4.24% (7) |
02/25/36 | 109,619 | 75,192 | |||||||||
Oakwood Mortgage Investors, Inc. Series 1999-E, Class A1 |
||||||||||||
7.61% (7) |
03/15/30 | 498,025 | 258,273 | |||||||||
Oakwood Mortgage Investors, Inc. Series 2000-A, Class A4 |
||||||||||||
8.15% (7) |
09/15/29 | 1,717,630 | 320,332 | |||||||||
Oakwood Mortgage Investors, Inc. Series 2000-D, Class A4 |
||||||||||||
7.40% (7) |
07/15/30 | 681,680 | 124,972 | |||||||||
Oakwood Mortgage Investors, Inc. Series 2001-C, Class A3 |
||||||||||||
6.61% (7) |
06/15/31 | 1,671,028 | 152,416 | |||||||||
Oakwood Mortgage Investors, Inc. Series 2001-D, Class A3 |
||||||||||||
5.90% (7),(12),(13) |
09/15/22 | 517,640 | 228,524 | |||||||||
PRET LLC Series 2022-RN2, Class A2 |
||||||||||||
6.50% (1) |
06/25/52 | 1,255,000 | 1,201,234 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Residential Mortgage-backed Securities — Non-Agency (Continued) |
||||||||||||
PRET LLC Series 2024-NPL3, Class A1 |
||||||||||||
7.52% (1) |
04/27/54 | $ | 745,096 | $ | 749,374 | |||||||
PRPM LLC Series 2021-10, Class A1 |
||||||||||||
2.49% (1) |
10/25/26 | 745,805 | 741,741 | |||||||||
PRPM LLC Series 2021-11, Class A1 |
||||||||||||
2.49% (1) |
11/25/26 | 307,885 | 305,007 | |||||||||
PRPM LLC Series 2021-4, Class A1 |
||||||||||||
4.87% (1) |
04/25/26 | 1,072,689 | 1,070,892 | |||||||||
PRPM LLC Series 2021-8, Class A1 |
||||||||||||
1.74% (1),(7) |
09/25/26 | 565,575 | 549,699 | |||||||||
PRPM LLC Series 2022-1, Class A2 |
||||||||||||
6.29% (1) |
02/25/27 | 1,000,000 | 979,204 | |||||||||
PRPM LLC Series 2022-3, Class A1 |
||||||||||||
5.56% (1) |
06/25/27 | 1,105,647 | 1,096,007 | |||||||||
PRPM LLC Series 2022-4, Class A2 |
||||||||||||
5.00% (1) |
08/25/27 | 1,080,000 | 1,038,850 | |||||||||
Residential Accredit Loans, Inc. Trust Series 2005-QA8, Class CB21 |
||||||||||||
5.39% (7),(9) |
07/25/35 | 295,254 | 160,976 | |||||||||
Residential Accredit Loans, Inc. Trust Series 2006-QS1, Class A3 (PAC) |
||||||||||||
5.75% (9) |
01/25/36 | 205,596 | 162,043 | |||||||||
Residential Accredit Loans, Inc. Trust Series 2006-QS13, Class 1A2 (I/O) (I/F) |
||||||||||||
1.70% (-1 mo. USD Term SOFR + 7.046%) (4),(5) |
09/25/36 | 1,911,538 | 162,188 | |||||||||
Residential Accredit Loans, Inc. Trust Series 2006-QS6, Class 1AV (I/O) |
||||||||||||
0.77% (4),(7) |
06/25/36 | 2,484,224 | 50,564 | |||||||||
Residential Accredit Loans, Inc. Trust Series 2006-QS7, Class A2 |
||||||||||||
6.00% (9) |
06/25/36 | 262,148 | 194,224 | |||||||||
Residential Accredit Loans, Inc. Trust Series 2006-QS8, Class A3 |
||||||||||||
6.00% (9) |
08/25/36 | 470,330 | 377,001 | |||||||||
Residential Accredit Loans, Inc. Trust Series 2007-QS2, Class AV (I/O) |
||||||||||||
0.30% (4),(7) |
01/25/37 | 5,615,694 | 52,984 | |||||||||
Residential Accredit Loans, Inc. Trust Series 2007-QS3, Class AV (I/O) |
||||||||||||
0.36% (4),(7) |
02/25/37 | 6,690,059 | 84,012 | |||||||||
Residential Accredit Loans, Inc. Trust Series 2007-QS6, Class A62 (TAC) |
||||||||||||
5.50% (9) |
04/25/37 | 147,406 | 112,588 | |||||||||
Residential Asset Securitization Trust Series 2005-A15, Class 4A1 |
||||||||||||
6.00% |
02/25/36 | 931,477 | 280,751 | |||||||||
Residential Asset Securitization Trust Series 2007-A5, Class AX (I/O) |
||||||||||||
6.00% (4) |
05/25/37 | 1,171,200 | 191,598 | |||||||||
RFMSI Trust Series 2006-S9, Class AV (I/O) |
||||||||||||
0.35% (4),(7) |
09/25/36 | 15,651,543 | 162,208 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Residential Mortgage-backed Securities — Non-Agency (Continued) |
||||||||||||
Saxon Asset Securities Trust Series 2007-3, Class 2A4 |
||||||||||||
5.95% (1 mo. USD Term SOFR + 0.604%) (5) |
09/25/47 | $ | 1,326,000 | $ | 1,105,983 | |||||||
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2 |
||||||||||||
2.84% |
01/25/36 | 914,303 | 735,770 | |||||||||
Securitized Asset-Backed Receivables LLC Trust Series 2007-NC2, Class A2C |
||||||||||||
5.90% (1 mo. USD Term SOFR + 0.554%) (5) |
01/25/37 | 1,494,000 | 931,070 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust Series 2005-20, Class 1A1 |
||||||||||||
6.68% (7) |
10/25/35 | 83,124 | 79,975 | |||||||||
Structured Asset Mortgage Investments II Trust Series 2006-AR4, Class 5A1 |
||||||||||||
5.82% (1 mo. USD Term SOFR + 0.474%) (5) |
06/25/36 | 562,308 | 463,145 | |||||||||
Verus Securitization Trust Series 2023-4, Class A1 |
||||||||||||
5.81% (1) |
05/25/68 | 1,005,549 | 1,000,336 | |||||||||
Verus Securitization Trust Series 2023-7, Class B1 |
||||||||||||
7.92% (1),(7) |
10/25/68 | 650,000 | 647,311 | |||||||||
VOLT CIII LLC Series 2021-CF1, Class A1 |
||||||||||||
1.99% (1) |
08/25/51 | 610,005 | 593,977 | |||||||||
VOLT XCIX LLC Series 2021-NPL8, Class A1 |
||||||||||||
5.12% (1) |
04/25/51 | 774,637 | 767,990 | |||||||||
WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE1, Class 2A3 |
||||||||||||
5.76% (1 mo. USD Term SOFR + 0.264%) (5) |
01/25/37 | 1,494,072 | 660,728 | |||||||||
Wells Fargo Alternative Loan Trust Series 2007-PA2, Class 2A2 (I/O) (I/F) |
||||||||||||
0.61% (-1 mo. USD Term SOFR + 5.956%) (4),(5) |
06/25/37 | 1,228,435 | 110,174 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust Series 2007-AR3, Class A4 |
||||||||||||
6.33% (7),(9) |
04/25/37 | 86,655 | 77,983 | |||||||||
Total Residential Mortgage-backed Securities — Non-Agency |
||||||||||||
(Cost: $70,082,094) |
59,486,652 | |||||||||||
Total Mortgage-backed Securities |
||||||||||||
(Cost: $151,043,424) |
131,791,701 | |||||||||||
CORPORATE BONDS 22.4% |
||||||||||||
Aerospace & Defense — 1.2% |
||||||||||||
Boeing Co. |
||||||||||||
5.81% |
05/01/50 | 255,000 | 230,497 | |||||||||
6.53% (1) |
05/01/34 | 120,000 | 122,887 | |||||||||
General Electric Co. |
||||||||||||
6.06% (3 mo. USD Term SOFR + 0.742%) (5) |
08/15/36 | 2,400,000 | 2,275,344 | |||||||||
TransDigm, Inc. |
||||||||||||
6.75% (1) |
08/15/28 | 350,000 | 355,117 | |||||||||
2,983,845 | ||||||||||||
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Agriculture — 0.6% |
||||||||||||
BAT Capital Corp. (United Kingdom) |
||||||||||||
5.65% |
03/16/52 | $ | 175,000 | $ | 156,788 | |||||||
Imperial Brands Finance PLC (United Kingdom) |
||||||||||||
3.13% (1) |
07/26/24 | 270,000 | 269,665 | |||||||||
6.13% (1) |
07/27/27 | 125,000 | 127,200 | |||||||||
Philip Morris International, Inc. |
||||||||||||
1.88% |
11/06/37 | EUR | 100,000 | 80,381 | ||||||||
Reynolds American, Inc. (United Kingdom) |
||||||||||||
5.85% |
08/15/45 | $ | 975,000 | 902,616 | ||||||||
1,536,650 | ||||||||||||
Airlines — 0.2% |
||||||||||||
JetBlue Pass-Through Trust Series 2020-1, Class A |
||||||||||||
4.00% |
05/15/34 | 616,776 | 575,317 | |||||||||
Banks — 5.0% |
||||||||||||
Bank of America Corp. |
||||||||||||
0.98% (1 day USD SOFR + 0.910%) (5) |
09/25/25 | 395,000 | 390,560 | |||||||||
1.32% (1 day USD SOFR + 1.150%) (5) |
06/19/26 | 305,000 | 292,437 | |||||||||
1.53% (1 day USD SOFR + 0.650%) (5) |
12/06/25 | 125,000 | 122,701 | |||||||||
1.66% (1 day USD SOFR + 0.910%) (5) |
03/11/27 | 535,000 | 501,712 | |||||||||
1.92% (1 day USD SOFR + 1.370%) (5) |
10/24/31 | 790,000 | 646,473 | |||||||||
2.30% (1 day USD SOFR + 1.220%) (5) |
07/21/32 | 145,000 | 118,778 | |||||||||
2.55% (1 day USD SOFR + 1.050%) (5) |
02/04/28 | 120,000 | 112,051 | |||||||||
3.42% (3 mo. USD Term SOFR + 1.302%) (5) |
12/20/28 | 395,000 | 371,466 | |||||||||
4.38% (5 yr. CMT + 2.760%) (5),(14) |
01/27/27 | 140,000 | 132,597 | |||||||||
Citigroup, Inc. |
||||||||||||
2.52% (1 day USD SOFR + 1.177%) (5) |
11/03/32 | 515,000 | 423,824 | |||||||||
2.98% (1 day USD SOFR + 1.422%) (5) |
11/05/30 | 145,000 | 129,199 | |||||||||
Goldman Sachs Group, Inc. |
||||||||||||
1.09% (1 day USD SOFR + 0.789%) (5) |
12/09/26 | 1,275,000 | 1,192,393 | |||||||||
1.54% (1 day USD SOFR + 0.818%) (5) |
09/10/27 | 1,350,000 | 1,240,299 | |||||||||
5.84% (1 day USD SOFR + 0.486%) (5) |
10/21/24 | 285,000 | 285,077 | |||||||||
HSBC Holdings PLC (United Kingdom) |
||||||||||||
2.10% (1 day USD SOFR + 1.929%) (5) |
06/04/26 | 430,000 | 415,767 | |||||||||
2.21% (1 day USD SOFR + 1.285%) (5) |
08/17/29 | 105,000 | 92,349 | |||||||||
2.36% (1 day USD SOFR + 1.947%) (5) |
08/18/31 | 130,000 | 108,654 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Banks (Continued) |
||||||||||||
JPMorgan Chase & Co. |
||||||||||||
1.04% (3 mo. USD Term SOFR + 0.695%) (5) |
02/04/27 | $ | 1,245,000 | $ | 1,160,377 | |||||||
1.58% (1 day USD SOFR + 0.885%) (5) |
04/22/27 | 425,000 | 396,908 | |||||||||
2.07% (1 day USD SOFR + 1.015%) (5) |
06/01/29 | 660,000 | 587,440 | |||||||||
Lloyds Banking Group PLC (United Kingdom) |
||||||||||||
3.57% (3 mo. USD LIBOR + 1.205%) (5) |
11/07/28 | 200,000 | 188,180 | |||||||||
Morgan Stanley |
||||||||||||
2.19% (1 day USD SOFR + 1.990%) (5) |
04/28/26 | 55,000 | 53,445 | |||||||||
2.24% (1 day USD SOFR + 1.178%) (5) |
07/21/32 | 410,000 | 335,593 | |||||||||
2.51% (1 day USD SOFR + 1.200%) (5) |
10/20/32 | 180,000 | 148,840 | |||||||||
PNC Financial Services Group, Inc. |
||||||||||||
5.68% (1 day USD SOFR + 1.902%) (5) |
01/22/35 | 75,000 | 75,418 | |||||||||
6.88% (1 day USD SOFR + 2.284%) (5) |
10/20/34 | 300,000 | 327,090 | |||||||||
Santander U.K. Group Holdings PLC (United Kingdom) |
||||||||||||
1.67% (1 day USD SOFR + 0.989%) (5) |
06/14/27 | 55,000 | 50,862 | |||||||||
U.S. Bancorp |
||||||||||||
3.70% (5 yr. CMT + 2.541%) (5),(14) |
01/15/27 | 130,000 | 117,854 | |||||||||
4.84% (1 day USD SOFR + 1.600%) (5) |
02/01/34 | 305,000 | 289,476 | |||||||||
5.68% (1 day USD SOFR + 1.860%) (5) |
01/23/35 | 110,000 | 110,571 | |||||||||
5.84% (1 day USD SOFR + 2.260%) (5) |
06/12/34 | 20,000 | 20,304 | |||||||||
5.85% (1 day USD SOFR + 2.090%) (5) |
10/21/33 | 100,000 | 101,733 | |||||||||
Wells Fargo & Co. |
||||||||||||
2.39% (1 day USD SOFR + 2.100%) (5) |
06/02/28 | 955,000 | 880,080 | |||||||||
2.57% (3 mo. USD Term SOFR + 1.262%) (5) |
02/11/31 | 200,000 | 173,198 | |||||||||
3.35% (1 day USD SOFR + 1.500%) (5) |
03/02/33 | 655,000 | 568,828 | |||||||||
12,162,534 | ||||||||||||
Beverages — 0.1% |
||||||||||||
Bacardi Ltd. |
||||||||||||
5.30% (1) |
05/15/48 | 205,000 | 185,762 | |||||||||
Biotechnology — 0.0% |
||||||||||||
Amgen, Inc. |
||||||||||||
5.65% |
03/02/53 | 60,000 | 59,168 | |||||||||
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Chemicals — 0.3% |
||||||||||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV |
||||||||||||
4.75% (1) |
06/15/27 | $ | 135,000 | $ | 131,952 | |||||||
International Flavors & Fragrances, Inc. |
||||||||||||
2.30% (1) |
11/01/30 | 725,000 | 604,766 | |||||||||
3.27% (1) |
11/15/40 | 15,000 | 10,639 | |||||||||
3.47% (1) |
12/01/50 | 40,000 | 26,363 | |||||||||
4.38% |
06/01/47 | 60,000 | 46,305 | |||||||||
820,025 | ||||||||||||
Commercial Services — 0.3% |
||||||||||||
Adtalem Global Education, Inc. |
||||||||||||
5.50% (1) |
03/01/28 | 294,000 | 282,772 | |||||||||
Global Payments, Inc. |
||||||||||||
4.88% |
03/17/31 | EUR | 100,000 | 110,754 | ||||||||
Hertz Corp. |
||||||||||||
4.63% (1) |
12/01/26 | $ | 25,000 | 18,234 | ||||||||
Valvoline, Inc. |
||||||||||||
3.63% (1) |
06/15/31 | 150,000 | 129,402 | |||||||||
VT Topco, Inc. |
||||||||||||
8.50% (1) |
08/15/30 | 120,000 | 126,096 | |||||||||
667,258 | ||||||||||||
Computers — 0.1% |
||||||||||||
NCR Voyix Corp. |
||||||||||||
5.13% (1) |
04/15/29 | 215,000 | 202,771 | |||||||||
Cosmetics/Personal Care — 0.2% |
||||||||||||
Edgewell Personal Care Co. |
||||||||||||
5.50% (1) |
06/01/28 | 133,000 | 130,570 | |||||||||
Prestige Brands, Inc. |
||||||||||||
3.75% (1) |
04/01/31 | 445,000 | 387,645 | |||||||||
518,215 | ||||||||||||
Diversified Financial Services — 0.7% |
||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
||||||||||||
3.88% |
01/23/28 | 130,000 | 123,296 | |||||||||
Air Lease Corp. |
||||||||||||
3.63% |
12/01/27 | 120,000 | 113,292 | |||||||||
American Express Co. |
||||||||||||
3.55% (5 yr. CMT + 2.854%) (5),(14) |
09/15/26 | 145,000 | 135,122 | |||||||||
Avolon Holdings Funding Ltd. (Ireland) |
||||||||||||
2.53% (1) |
11/18/27 | 406,000 | 365,225 | |||||||||
2.88% (1) |
02/15/25 | 305,000 | 298,940 | |||||||||
Charles Schwab Corp. |
||||||||||||
5.00% (5 yr. CMT + 3.256%) (5),(14) |
06/01/27 | 135,000 | 129,474 | |||||||||
GGAM Finance Ltd. (Ireland) |
||||||||||||
8.00% (1) |
06/15/28 | 117,000 | 123,179 | |||||||||
8.00% (1) |
02/15/27 | 115,000 | 118,969 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Diversified Financial Services (Continued) |
||||||||||||
Jane Street Group/JSG Finance, Inc. |
||||||||||||
4.50% (1) |
11/15/29 | $ | 435,000 | $ | 408,434 | |||||||
1,815,931 | ||||||||||||
Electric — 1.1% |
||||||||||||
Alliant Energy Finance LLC |
||||||||||||
3.60% (1) |
03/01/32 | 535,000 | 465,819 | |||||||||
Arizona Public Service Co. |
||||||||||||
3.35% |
05/15/50 | 1,000,000 | 668,650 | |||||||||
Duke Energy Corp. |
||||||||||||
3.75% |
04/01/31 | EUR | 300,000 | 317,162 | ||||||||
3.85% |
06/15/34 | 330,000 | 342,608 | |||||||||
FirstEnergy Transmission LLC |
||||||||||||
4.35% (1) |
01/15/25 | $ | 300,000 | 296,561 | ||||||||
MVM Energetika Zrt (Hungary) |
||||||||||||
6.50% (10) |
03/13/31 | 200,000 | 200,822 | |||||||||
TenneT Holding BV (Netherlands) |
||||||||||||
2.75% (10) |
05/17/42 | EUR | 115,000 | 107,517 | ||||||||
4.50% (10) |
10/28/34 | 200,000 | 228,686 | |||||||||
4.75% (10) |
10/28/42 | 110,000 | 128,459 | |||||||||
2,756,284 | ||||||||||||
Electronics — 0.1% |
||||||||||||
Honeywell International, Inc. |
||||||||||||
3.75% |
03/01/36 | EUR | 110,000 | 115,920 | ||||||||
4.13% |
11/02/34 | 110,000 | 120,457 | |||||||||
Total Electronics |
||||||||||||
(Cost: $239,059) |
236,377 | |||||||||||
Engineering & Construction — 0.1% |
||||||||||||
Artera Services LLC |
||||||||||||
8.50% (1) |
02/15/31 | EUR | 145,000 | 149,387 | ||||||||
Entertainment — 0.8% |
||||||||||||
Banijay Entertainment SASU (France) |
||||||||||||
8.13% (1) |
05/01/29 | $ | 200,000 | 204,876 | ||||||||
Everi Holdings, Inc. |
||||||||||||
5.00% (1) |
07/15/29 | 275,000 | 270,581 | |||||||||
Penn Entertainment, Inc. |
||||||||||||
5.63% (1) |
01/15/27 | 165,000 | 159,417 | |||||||||
WarnerMedia Holdings, Inc. |
||||||||||||
4.28% |
03/15/32 | 60,000 | 52,387 | |||||||||
5.05% |
03/15/42 | 630,000 | 512,480 | |||||||||
5.14% |
03/15/52 | 886,000 | 690,070 | |||||||||
1,889,811 | ||||||||||||
Environmental Control — 0.0% |
||||||||||||
Waste Pro USA, Inc. |
||||||||||||
5.50% (1) |
02/15/26 | 55,000 | 54,224 | |||||||||
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Food — 0.6% |
||||||||||||
B&G Foods, Inc. |
||||||||||||
5.25% |
04/01/25 | $ | 42,000 | $ | 41,715 | |||||||
ELO SACA (France) |
||||||||||||
6.00% (10) |
03/22/29 | EUR | 200,000 | 211,013 | ||||||||
H-Food Holdings LLC/Hearthside Finance Co., Inc. |
||||||||||||
8.50% (1) |
06/01/26 | $ | 244,000 | 19,845 | ||||||||
JBS USA Holding Lux SARL/ JBS USA Food Co./ JBS Lux Co. SARL |
||||||||||||
3.75% |
12/01/31 | 540,000 | 473,110 | |||||||||
5.50% |
01/15/30 | 25,000 | 24,635 | |||||||||
6.50% |
12/01/52 | 180,000 | 179,393 | |||||||||
7.25% (1) |
11/15/53 | 145,000 | 157,342 | |||||||||
Kraft Heinz Foods Co. |
||||||||||||
6.38% |
07/15/28 | 210,000 | 219,115 | |||||||||
Post Holdings, Inc. |
||||||||||||
4.63% (1) |
04/15/30 | 270,000 | 248,276 | |||||||||
1,574,444 | ||||||||||||
Gas — 0.3% |
||||||||||||
National Gas Transmission PLC (United Kingdom) |
||||||||||||
4.25% (10) |
04/05/30 | EUR | 100,000 | 109,052 | ||||||||
Southern Co. Gas Capital Corp. |
||||||||||||
3.88% |
11/15/25 | $ | 640,000 | 626,093 | ||||||||
735,145 | ||||||||||||
Health Care-Products — 0.1% |
||||||||||||
Embecta Corp. |
||||||||||||
5.00% (1) |
02/15/30 | 400,000 | 329,788 | |||||||||
Health Care-Services — 0.8% |
||||||||||||
Catalent Pharma Solutions, Inc. |
||||||||||||
3.50% (1) |
04/01/30 | 250,000 | 239,626 | |||||||||
Centene Corp. |
||||||||||||
3.00% |
10/15/30 | 248,000 | 212,214 | |||||||||
Fortrea Holdings, Inc. |
||||||||||||
7.50% (1) |
07/01/30 | 125,000 | 124,395 | |||||||||
HCA, Inc. |
||||||||||||
3.50% |
07/15/51 | 154,000 | 102,823 | |||||||||
5.38% |
09/01/26 | 65,000 | 64,846 | |||||||||
5.63% |
09/01/28 | 100,000 | 100,942 | |||||||||
7.05% |
12/01/27 | 235,000 | 246,762 | |||||||||
HealthEquity, Inc. |
||||||||||||
4.50% (1) |
10/01/29 | 265,000 | 248,053 | |||||||||
Kedrion SpA (Italy) |
||||||||||||
6.50% (1) |
09/01/29 | 335,000 | 306,465 | |||||||||
ModivCare Escrow Issuer, Inc. |
||||||||||||
5.00% (1) |
10/01/29 | 512,000 | 361,026 | |||||||||
ModivCare, Inc. |
||||||||||||
5.88% (1) |
11/15/25 | 35,000 | 35,514 | |||||||||
2,042,666 | ||||||||||||
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Household Products/Wares — 0.0% |
||||||||||||
Central Garden & Pet Co. |
||||||||||||
4.13% |
10/15/30 | $ | 24,000 | $ | 21,463 | |||||||
Spectrum Brands, Inc. |
||||||||||||
3.88% (1) |
03/15/31 | 30,000 | 25,080 | |||||||||
46,543 | ||||||||||||
Insurance — 1.3% |
||||||||||||
Acrisure LLC/Acrisure Finance, Inc. |
||||||||||||
4.25% (1) |
02/15/29 | 280,000 | 254,758 | |||||||||
6.00% (1) |
08/01/29 | 80,000 | 74,093 | |||||||||
Athene Global Funding |
||||||||||||
1.61% (1) |
06/29/26 | 285,000 | 264,035 | |||||||||
1.99% (1) |
08/19/28 | 260,000 | 226,694 | |||||||||
3.21% (1) |
03/08/27 | 135,000 | 126,468 | |||||||||
Farmers Exchange Capital |
||||||||||||
7.05% (1) |
07/15/28 | 500,000 | 514,687 | |||||||||
Farmers Insurance Exchange |
||||||||||||
4.75% (3 mo. USD LIBOR + 3.231%) (1),(5) |
11/01/57 | 5,000 | 3,736 | |||||||||
Nationwide Mutual Insurance Co. |
||||||||||||
7.89% (3 mo. USD LIBOR + 2.290%) (1),(5) |
12/15/24 | 1,000,000 | 1,005,520 | |||||||||
Teachers Insurance & Annuity Association of America |
||||||||||||
4.38% (3 mo. USD LIBOR + 2.661%) (1),(5) |
09/15/54 | 675,000 | 671,801 | |||||||||
3,141,792 | ||||||||||||
Internet — 0.2% |
||||||||||||
Netflix, Inc. |
||||||||||||
5.88% |
02/15/25 | 485,000 | 485,868 | |||||||||
Investment Companies — 0.2% |
||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
||||||||||||
4.38% |
02/01/29 | 103,000 | 88,167 | |||||||||
9.00% (1) |
06/15/30 | 244,000 | 243,031 | |||||||||
9.75% (1) |
01/15/29 | 55,000 | 57,153 | |||||||||
388,351 | ||||||||||||
Iron & Steel — 0.1% |
||||||||||||
ATI, Inc. |
||||||||||||
7.25% |
08/15/30 | 121,000 | 125,707 | |||||||||
Machinery-Diversified — 0.1% |
||||||||||||
OT Merger Corp. |
||||||||||||
7.88% (1) |
10/15/29 | 575,000 | 263,787 | |||||||||
Media — 1.5% |
||||||||||||
Cable One, Inc. |
||||||||||||
4.00% (1) |
11/15/30 | 415,000 | 310,075 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
||||||||||||
4.25% (1) |
02/01/31 | 5,000 | 4,087 | |||||||||
4.50% (1) |
08/15/30 | 197,000 | 166,875 | |||||||||
4.75% (1) |
03/01/30 | 90,000 | 78,023 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Media (Continued) |
||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||||||
2.30% |
02/01/32 | $ | 165,000 | $ | 127,586 | |||||||
3.70% |
04/01/51 | 598,000 | 365,330 | |||||||||
3.90% |
06/01/52 | 243,000 | 154,558 | |||||||||
4.80% |
03/01/50 | 65,000 | 47,810 | |||||||||
5.38% |
05/01/47 | 125,000 | 99,976 | |||||||||
5.75% |
04/01/48 | 360,000 | 301,262 | |||||||||
6.65% |
02/01/34 | 170,000 | 171,952 | |||||||||
CSC Holdings LLC |
||||||||||||
5.38% (1) |
02/01/28 | 35,000 | 26,654 | |||||||||
5.75% (1) |
01/15/30 | 45,000 | 17,022 | |||||||||
6.50% (1) |
02/01/29 | 409,000 | 300,173 | |||||||||
7.50% (1) |
04/01/28 | 50,000 | 26,591 | |||||||||
11.75% (1) |
01/31/29 | 167,000 | 142,785 | |||||||||
DirecTV Financing LLC/DirecTV Financing Co.-Obligor, Inc. |
||||||||||||
5.88% (1) |
08/15/27 | 225,000 | 211,849 | |||||||||
Scripps Escrow, Inc. |
||||||||||||
5.88% (1) |
07/15/27 | 265,000 | 160,563 | |||||||||
Sirius XM Radio, Inc. |
||||||||||||
3.88% (1) |
09/01/31 | 295,000 | 241,000 | |||||||||
Time Warner Cable LLC |
||||||||||||
5.50% |
09/01/41 | 120,000 | 100,450 | |||||||||
VZ Secured Financing BV (Netherlands) |
||||||||||||
5.00% (1) |
01/15/32 | 615,000 | 525,585 | |||||||||
3,580,206 | ||||||||||||
Metal Fabricate & Hardware — 0.1% |
||||||||||||
Advanced Drainage Systems, Inc. |
||||||||||||
6.38% (1) |
06/15/30 | 125,000 | 125,444 | |||||||||
Oil & Gas — 0.2% |
||||||||||||
KazMunayGas National Co. JSC (Kazakhstan) |
||||||||||||
3.50% (10) |
04/14/33 | 200,000 | 164,119 | |||||||||
Petroleos Mexicanos |
||||||||||||
6.35% |
02/12/48 | 34,000 | 21,621 | |||||||||
Sunoco LP/Sunoco Finance Corp. |
||||||||||||
4.50% |
05/15/29 | 283,000 | 266,020 | |||||||||
451,760 | ||||||||||||
Oil & Gas Services — 0.1% |
||||||||||||
USA Compression Partners LP/USA Compression Finance Corp. |
||||||||||||
7.13% (1) |
03/15/29 | 120,000 | 121,076 | |||||||||
Packaging & Containers — 0.7% |
||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
||||||||||||
4.13% (1) |
08/15/26 | 85,000 | 73,860 | |||||||||
5.25% (1) |
08/15/27 | 280,000 | 173,438 | |||||||||
5.25% (1) |
08/15/27 | 70,000 | 43,513 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Packaging & Containers (Continued) |
||||||||||||
Ball Corp. |
||||||||||||
6.88% |
03/15/28 | $ | 240,000 | $ | 246,300 | |||||||
Berry Global, Inc. |
||||||||||||
1.57% |
01/15/26 | 323,000 | 303,617 | |||||||||
1.65% |
01/15/27 | 149,000 | 135,702 | |||||||||
4.88% (1) |
07/15/26 | 40,000 | 39,311 | |||||||||
5.50% |
04/15/28 | 95,000 | 94,876 | |||||||||
5.65% (1) |
01/15/34 | 30,000 | 29,448 | |||||||||
Clearwater Paper Corp. |
||||||||||||
4.75% (1) |
08/15/28 | 125,000 | 116,259 | |||||||||
Graphic Packaging International LLC |
||||||||||||
4.75% (1) |
07/15/27 | 130,000 | 126,750 | |||||||||
Trivium Packaging Finance BV (Netherlands) |
||||||||||||
5.50% (1) |
08/15/26 | 250,000 | 245,215 | |||||||||
1,628,289 | ||||||||||||
Pharmaceuticals — 0.9% |
||||||||||||
1375209 BC Ltd. (Canada) |
||||||||||||
9.00% (1) |
01/30/28 | 240,000 | 231,259 | |||||||||
180 Medical, Inc. (United Kingdom) |
||||||||||||
3.88% (1) |
10/15/29 | 275,000 | 248,875 | |||||||||
Bayer U.S. Finance II LLC |
||||||||||||
4.63% (1) |
06/25/38 | 515,000 | 431,537 | |||||||||
4.88% (1) |
06/25/48 | 285,000 | 229,439 | |||||||||
Bayer U.S. Finance LLC |
||||||||||||
6.50% (1) |
11/21/33 | 360,000 | 367,441 | |||||||||
Grifols SA (Spain) |
||||||||||||
4.75% (1) |
10/15/28 | 395,000 | 340,937 | |||||||||
Option Care Health, Inc. |
||||||||||||
4.38% (1) |
10/31/29 | 275,000 | 252,901 | |||||||||
2,102,389 | ||||||||||||
Pipelines — 0.8% |
||||||||||||
Energy Transfer LP |
||||||||||||
6.63% (3 mo. USD LIBOR + 4.155%) (5),(14) |
02/15/28 | 634,000 | 618,283 | |||||||||
Global Partners LP/GLP Finance Corp. |
||||||||||||
6.88% |
01/15/29 | 275,000 | 273,333 | |||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. |
||||||||||||
8.38% (1) |
02/15/32 | 95,000 | 96,485 | |||||||||
Rockies Express Pipeline LLC |
||||||||||||
4.95% (1) |
07/15/29 | 425,000 | 400,397 | |||||||||
TransMontaigne Partners LP/TLP Finance Corp. |
||||||||||||
6.13% |
02/15/26 | 265,000 | 259,369 | |||||||||
Venture Global Calcasieu Pass LLC |
||||||||||||
3.88% (1) |
08/15/29 | 93,000 | 84,819 | |||||||||
Venture Global LNG, Inc. |
||||||||||||
9.50% (1) |
02/01/29 | 235,000 | 257,522 | |||||||||
1,990,208 | ||||||||||||
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Real Estate — 0.2% |
||||||||||||
Add Hero Holdings Ltd. (Hong Kong) |
||||||||||||
8.50% (4) |
09/30/29 | $ | 64,519 | $ | 3,170 | |||||||
9.00% (4) |
09/30/30 | 49,748 | 1,315 | |||||||||
9.80% (4) |
09/30/31 | 64,922 | 1,716 | |||||||||
Annington Funding PLC (United Kingdom) |
||||||||||||
3.69% (10) |
07/12/34 | GBP | 100,000 | 104,811 | ||||||||
Blackstone Property Partners Europe Holdings SARL (Luxembourg) |
||||||||||||
1.00% (10) |
05/04/28 | EUR | 150,000 | 141,712 | ||||||||
1.75% (10) |
03/12/29 | 100,000 | 94,503 | |||||||||
China Aoyuan Group Ltd. |
||||||||||||
0.00% (4),(8),(14) |
12/31/99 | $ | 98,370 | 924 | ||||||||
5.50% (4) |
09/30/31 | 37,068 | 440 | |||||||||
Greystar Real Estate Partners LLC |
||||||||||||
7.75% (1) |
09/01/30 | 125,000 | 131,857 | |||||||||
Sunac China Holdings Ltd. |
||||||||||||
6.00% (1),(2),(4),(13) |
09/30/26 | 18,114 | 2,381 | |||||||||
6.25% (1),(2),(4),(13) |
09/30/27 | 18,135 | 2,122 | |||||||||
6.50% (1),(2),(4),(13) |
09/30/27 | 36,316 | 3,918 | |||||||||
6.75% (1),(2),(4),(13) |
09/30/28 | 54,540 | 5,627 | |||||||||
7.00% (1),(2),(4),(13) |
09/30/29 | 54,605 | 5,057 | |||||||||
7.25% (1),(2),(4),(13) |
09/30/30 | 25,685 | 2,216 | |||||||||
Vonovia SE (Germany) |
||||||||||||
0.75% (10) |
09/01/32 | EUR | 100,000 | 82,570 | ||||||||
Zhenro Properties Group Ltd. (China) |
||||||||||||
6.63% (4),(10),(13) |
01/07/26 | $ | 200,000 | 2,250 | ||||||||
586,589 | ||||||||||||
REIT — 1.7% |
||||||||||||
American Assets Trust LP |
||||||||||||
3.38% |
02/01/31 | 275,000 | 225,629 | |||||||||
American Homes 4 Rent LP |
||||||||||||
4.30% |
04/15/52 | 315,000 | 244,216 | |||||||||
American Tower Corp. |
||||||||||||
1.00% |
01/15/32 | EUR | 265,000 | 229,382 | ||||||||
2.70% |
04/15/31 | $ | 195,000 | 164,962 | ||||||||
Digital Intrepid Holding BV (Netherlands) |
||||||||||||
0.63% (10) |
07/15/31 | EUR | 365,000 | 308,077 | ||||||||
Extra Space Storage LP |
||||||||||||
2.40% |
10/15/31 | $ | 56,000 | 46,020 | ||||||||
2.55% |
06/01/31 | 320,000 | 266,605 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
||||||||||||
5.30% |
01/15/29 | 55,000 | 54,367 | |||||||||
5.75% |
06/01/28 | 345,000 | 346,028 | |||||||||
Healthcare Realty Holdings LP |
||||||||||||
2.00% |
03/15/31 | 35,000 | 27,641 | |||||||||
2.05% |
03/15/31 | 32,000 | 24,796 | |||||||||
2.40% |
03/15/30 | 205,000 | 169,203 | |||||||||
3.10% |
02/15/30 | 190,000 | 165,881 |
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
REIT (Continued) |
||||||||||||
Hudson Pacific Properties LP |
||||||||||||
3.25% |
01/15/30 | $ | 110,000 | $ | 76,014 | |||||||
3.95% |
11/01/27 | 298,000 | 249,638 | |||||||||
4.65% |
04/01/29 | 20,000 | 15,439 | |||||||||
5.95% |
02/15/28 | 5,000 | 4,256 | |||||||||
Invitation Homes Operating Partnership LP |
||||||||||||
2.00% |
08/15/31 | 210,000 | 166,835 | |||||||||
2.70% |
01/15/34 | 135,000 | 106,676 | |||||||||
4.15% |
04/15/32 | 8,000 | 7,303 | |||||||||
5.50% |
08/15/33 | 40,000 | 39,521 | |||||||||
Iron Mountain Information Management Services, Inc. |
||||||||||||
5.00% (1) |
07/15/32 | 420,000 | 384,300 | |||||||||
LXP Industrial Trust |
||||||||||||
2.70% |
09/15/30 | 275,000 | 232,246 | |||||||||
Prologis Euro Finance LLC (REIT) |
||||||||||||
4.25% |
01/31/43 | EUR | 105,000 | 110,478 | ||||||||
Realty Income Corp. |
||||||||||||
5.13% |
07/06/34 | EUR | 220,000 | 254,308 | ||||||||
VICI Properties LP |
||||||||||||
4.95% |
02/15/30 | $ | 35,000 | 33,787 | ||||||||
5.13% |
05/15/32 | 115,000 | 109,632 | |||||||||
VICI Properties LP/VICI Note Co., Inc. |
||||||||||||
3.88% (1) |
02/15/29 | 50,000 | 46,233 | |||||||||
4.13% (1) |
08/15/30 | 7,000 | 6,372 | |||||||||
4.50% (1) |
01/15/28 | 48,000 | 46,205 | |||||||||
4.63% (1) |
06/15/25 | 20,000 | 19,773 | |||||||||
4,181,823 | ||||||||||||
Retail — 0.5% |
||||||||||||
Ferrellgas LP/Ferrellgas Finance Corp. |
||||||||||||
5.88% (1) |
04/01/29 | 285,000 | 262,402 | |||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. |
||||||||||||
6.75% (1) |
01/15/30 | 85,000 | 74,727 | |||||||||
FirstCash, Inc. |
||||||||||||
5.63% (1) |
01/01/30 | 280,000 | 265,437 | |||||||||
LCM Investments Holdings II LLC |
||||||||||||
8.25% (1) |
08/01/31 | 120,000 | 125,500 | |||||||||
Michaels Cos., Inc. |
||||||||||||
7.88% (1) |
05/01/29 | 590,000 | 383,176 | |||||||||
1,111,242 | ||||||||||||
Savings & Loans — 0.1% |
||||||||||||
Nationwide Building Society (United Kingdom) |
||||||||||||
2.97% (1 day USD SOFR + 1.290%) (1),(5) |
02/16/28 | 250,000 | 234,285 | |||||||||
Software — 0.3% |
||||||||||||
Open Text Corp. (Canada) |
||||||||||||
6.90% (1) |
12/01/27 | 580,000 | 598,920 | |||||||||
RingCentral, Inc. |
||||||||||||
8.50% (1) |
08/15/30 | 115,000 | 120,230 | |||||||||
719,150 | ||||||||||||
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Telecommunications — 0.7% |
||||||||||||
Altice France SA |
||||||||||||
5.50% (1) |
10/15/29 | $ | 188,000 | $ | 124,210 | |||||||
Frontier Communications Holdings LLC |
||||||||||||
5.00% (1) |
05/01/28 | 285,000 | 269,202 | |||||||||
5.88% (1) |
10/15/27 | 250,000 | 244,292 | |||||||||
6.75% (1) |
05/01/29 | 105,000 | 96,417 | |||||||||
Global Switch Finance BV (United Kingdom) |
||||||||||||
1.38% (10) |
10/07/30 | EUR | 315,000 | 306,255 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg) |
||||||||||||
6.50% (1),(2) |
03/15/30 | $ | 86,000 | 80,304 | ||||||||
SES GLOBAL Americas Holdings, Inc. (Luxembourg) |
||||||||||||
5.30% (1) |
03/25/44 | 675,000 | 500,234 | |||||||||
1,620,914 | ||||||||||||
Water — 0.1% |
||||||||||||
Thames Water Utilities Finance PLC (United Kingdom) |
||||||||||||
4.38% (10) |
01/18/31 | EUR | 220,000 | 203,547 | ||||||||
Total Corporate Bonds |
||||||||||||
(Cost: $57,204,148) |
54,404,572 | |||||||||||
MUNICIPAL BONDS 0.4% |
||||||||||||
New York State Dormitory Authority, Revenue Bond |
||||||||||||
5.29% |
03/15/33 | 1,000,000 | 996,757 | |||||||||
Total Municipal Bonds |
||||||||||||
(Cost: $1,113,046) |
996,757 | |||||||||||
FOREIGN GOVERNMENT BONDS 0.4% |
||||||||||||
Brazil Government International Bonds |
||||||||||||
6.13% |
03/15/34 | 200,000 | 192,374 | |||||||||
Colombia Government International Bonds |
||||||||||||
3.00% |
01/30/30 | 50,000 | 41,013 | |||||||||
8.00% |
04/20/33 | 200,000 | 207,376 | |||||||||
Dominican Republic International Bonds |
||||||||||||
4.50% (1) |
01/30/30 | 200,000 | 182,760 | |||||||||
Guatemala Government Bonds |
||||||||||||
3.70% (10) |
10/07/33 | 200,000 | 162,858 | |||||||||
Panama Government International Bonds |
||||||||||||
6.40% |
02/14/35 | 200,000 | 189,976 | |||||||||
Total Foreign Government Bonds |
||||||||||||
(Cost: $1,014,841) |
976,357 | |||||||||||
Total Fixed Income Securities |
||||||||||||
(Cost: $254,117,202) |
228,817,792 | |||||||||||
CONVERTIBLE SECURITIES 0.1% |
||||||||||||
CONVERTIBLE CORPORATE BONDS 0.1% |
||||||||||||
Commercial Services — 0.1% |
||||||||||||
Worldline SA (France) |
||||||||||||
0.00% (8),(10) |
07/30/25 | EUR | 29,860 | 36,089 | ||||||||
Worldline SA (France) |
||||||||||||
0.00% (8),(10) |
07/30/26 | EUR | 206,400 | 204,933 | ||||||||
Total Commercial Services |
||||||||||||
(Cost: $231,833) |
241,022 | |||||||||||
Issues |
Maturity Date |
Principal Amount |
Value |
|||||||||
Real Estate — 0.0% |
||||||||||||
China Aoyuan Group Ltd. |
||||||||||||
0.00% (4),(8) |
09/30/28 | $ | 8,791 | $ | 145 | |||||||
Sunac China Holdings Ltd. |
||||||||||||
1.00% (1),(2),(4),(13) |
09/30/32 | 21,848 | 1,475 | |||||||||
Total Real Estate |
||||||||||||
(Cost: $19,932) |
1,620 | |||||||||||
Total Convertible Corporate Bonds |
||||||||||||
(Cost: $251,765) |
242,642 | |||||||||||
Total Convertible Securities |
||||||||||||
(Cost: $251,765) |
242,642 | |||||||||||
Shares |
||||||||||||
COMMON STOCK — 4.6% |
||||||||||||
Agriculture — 0.4% |
||||||||||||
Altria Group, Inc. |
12,670 | 577,118 | ||||||||||
British American Tobacco PLC (SP ADR) (United Kingdom) |
15,706 | 485,787 | ||||||||||
1,062,905 | ||||||||||||
Banks — 0.5% |
||||||||||||
Wells Fargo & Co. |
19,525 | 1,159,590 | ||||||||||
Oil & Gas Services — 0.4% |
||||||||||||
USA Compression Partners LP |
39,911 | 947,088 | ||||||||||
Pipelines — 1.1% |
||||||||||||
Energy Transfer LP |
103,400 | 1,677,148 | ||||||||||
Enterprise Products Partners LP |
38,393 | 1,112,629 | ||||||||||
2,789,777 | ||||||||||||
Real Estate — 0.0% |
||||||||||||
China Aoyuan Group Ltd. (15) |
24,593 | 473 | ||||||||||
REIT — 1.3% |
||||||||||||
AGNC Investment Corp. |
144,641 | 1,379,875 | ||||||||||
Annaly Capital Management, Inc. |
41,441 | 789,865 | ||||||||||
Redwood Trust, Inc. |
61,963 | 402,140 | ||||||||||
Rithm Capital Corp. |
55,339 | 603,749 | ||||||||||
3,175,629 | ||||||||||||
Telecommunications — 0.9% |
||||||||||||
AT&T, Inc. |
54,617 | 1,043,731 | ||||||||||
Intelsat SA (4),(15) |
11,093 | 417,097 | ||||||||||
Verizon Communications, Inc. |
15,224 | 627,837 | ||||||||||
2,088,665 | ||||||||||||
Total Common Stock |
||||||||||||
(Cost: $11,148,586) |
11,224,127 | |||||||||||
Issues |
Shares |
Value |
||||||||||
MONEY MARKET INVESTMENTS 2.1% |
||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 5.25% (16) |
5,079,586 | $ | 5,079,586 | |||||||||
Total Money Market Investments |
||||||||||||
(Cost: $5,079,586) |
5,079,586 | |||||||||||
Issues |
Shares |
Value |
||||||||||
SHORT TERM INVESTMENTS 15.9% |
||||||||||||
U.S. TREASURY SECURITIES 15.9% |
||||||||||||
U.S. Treasury Bills |
||||||||||||
4.69% (17) |
07/09/24 | $ | 7,000,000 | $ | 6,991,880 | |||||||
4.95% (17) |
07/16/24 | 5,000,000 | 4,989,052 | |||||||||
4.95% (17) |
07/18/24 | 7,000,000 | 6,982,671 | |||||||||
5.29% (17) |
11/14/24 | 10,000,000 | 9,805,459 | |||||||||
5.32% (17) |
12/05/24 | 10,000,000 | 9,776,384 | |||||||||
Total U.S. Treasury Securities |
||||||||||||
(Cost: $38,544,147) |
38,545,446 | |||||||||||
Total Short Term Investments |
||||||||||||
(Cost: $38,544,147) |
38,545,446 | |||||||||||
Total Investments (117.1%) |
||||||||||||
(Cost: $309,141,286) |
283,909,593 | |||||||||||
Liabilities In Excess Of Other Assets (-17.1%) |
(41,544,184 | ) | ||||||||||
Net Assets (100.0%) |
$ | 242,365,409 | ||||||||||
Futures Contracts |
||||||||||||||||||
Number of Contracts |
Type |
Expiration Date |
Notional |
Value |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
Long Futures |
||||||||||||||||||
192 | 2-Year U.S. Treasury Note Futures |
09/30/24 | $ | 39,126,039 | $ | 39,210,000 | $ | 83,961 | ||||||||||
466 | 5-Year U.S. Treasury Note Futures |
09/30/24 | 49,399,688 | 49,665,406 | 265,718 | |||||||||||||
$ | 88,525,727 | $ | 88,875,406 | $ | 349,679 | |||||||||||||
Short Futures |
||||||||||||||||||
190 | 10-Year U.S. Treasury Note Futures |
09/19/24 | $ | (21,333,076 | ) | $ | (21,570,937 | ) | $ | (237,861 | ) | |||||||
2 | 30-Year Euro-Buxl Future |
09/6/24 | (273,135 | ) | (279,170 | ) | (6,035 | ) | ||||||||||
2 | Euro SCHWATZ Futures | 09/6/24 | (225,547 | ) | (226,568 | ) | (1,021 | ) | ||||||||||
9 | Euro-Bobl Future | 09/6/24 | (1,113,945 | ) | (1,123,151 | ) | (9,206 | ) | ||||||||||
14 | Euro-Bund Future | 09/6/24 | (1,950,719 | ) | (1,974,893 | ) | (24,174 | ) | ||||||||||
68 | U.S. Ultra Long Bond Futures | 09/19/24 | (8,428,672 | ) | (8,523,375 | ) | (94,703 | ) | ||||||||||
$ | (33,325,094 | ) | $ | (33,698,094 | ) | $ | (373,000 | ) | ||||||||||
Forward Currency Exchange Contracts |
||||||||||||||||||||||||
Counterparty |
Contracts to Deliver |
Units of Currency |
Settlement Date |
In Exchange for U.S. Dollars |
Contracts at Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
BUY (18) |
||||||||||||||||||||||||
Goldman Sachs & Co. |
EUR | 100,000 | 07/12/24 | $ | 108,958 | $ | 107,225 | $ | (1,733 | ) | ||||||||||||||
SELL (19) |
||||||||||||||||||||||||
Citibank N.A. |
EUR | 5,412,000 | 07/12/24 | $ | 5,909,961 | $ | 5,802,993 | $ | 106,968 | |||||||||||||||
Bank of New York |
EUR | 198,000 | 07/12/24 | 213,511 | 212,305 | 1,206 | ||||||||||||||||||
Bank of America |
EUR | 115,000 | 07/12/24 | 124,544 | 123,308 | 1,236 | ||||||||||||||||||
Citibank N.A. |
GBP | 725,000 | 07/12/24 | 921,105 | 916,527 | 4,578 | ||||||||||||||||||
$ | 7,169,121 | $ | 7,055,133 | $ | 113,988 | |||||||||||||||||||
Centrally Cleared — Interest Rate Swap Agreements |
||||||||||||||||||||||||||||
Notional Amount |
Expiration Date |
Payment Made by Fund Frequency |
Payment Made by Fund |
Payment Received by Fund Frequency |
Payment Received by Fund |
Unrealized Appreciation (Depreciation) |
Premium Paid |
Value |
||||||||||||||||||||
$1,476,000 | 12/20/53 | Annual | 3.520% | Annual | 12-Month SOFR |
$ | 58,802 | $ — | $ 58,802 | |||||||||||||||||||
Written Options — Exchange Traded |
||||||||||||||||||||||||||||
Description |
Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Paid (Received) by Fund |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Call |
||||||||||||||||||||||||||||
Wells Fargo & Co. |
$ | 62.50 | 7/19/24 | (195 | ) | $ | (1,158,105 | ) | $ | (10,627 | ) | $ | (17,252 | ) | $ | 6,625 | ||||||||||||
ACES |
Alternative Credit Enhancement Securities. |
CLO |
Collateralized Loan Obligation. |
I/F |
Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O |
Interest Only Security. |
LIBOR |
London Interbank Offered Rate. |
PAC |
Planned Amortization Class. |
REIT |
Real Estate Investment Trust. |
REMICS |
Real Estate Mortgage Investment Conduits. |
SOFR |
Secured Overnight Financing Rate. |
TAC |
Target Amortization Class. |
TBA |
To Be Announced. |
EUR |
Euro Currency. |
GBP |
British Pound. |
(1) |
Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At June 30, 2024, the value of these securities amounted to $99,095,776 or 40.9% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund’s Board of Directors. |
(2) |
Restricted security (Note 9). |
(3) |
This security is a residual or equity position that does not have a stated interest rate. This residual or equity position is entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debtholders and fund expenses. |
(4) |
For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(5) |
Floating or variable rate security. The interest shown reflects the rate in effect at June 30, 2024. |
(6) |
This security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(7) |
Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(8) |
Security is not accruing interest. |
(9) |
A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(10) |
Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At June 30, 2024, the value of these securities amounted to $5,121,916 or 2.1% of net assets. |
(11) |
Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(12) |
The maturity date of the security has been extended past the date disclosed. The new maturity date is not known as of June 30, 2024. |
(13) |
Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(14) |
Perpetual maturity. |
(15) |
Non-income producing security. |
(16) |
Rate disclosed is the 7-day net yield as of June 30, 2024. |
(17) |
Rate shown represents yield-to-maturity. |
(18) |
Fund buys foreign currency, sells U.S. Dollar. |
(19) |
Fund sells foreign currency, buys U.S. Dollar. |
Investments by Sector (Unaudited) |
June 30, 2024 |
Sector |
Percentage of Net Assets |
|||
Residential Mortgage-Backed Securities — Non-Agency |
24.5 | % | ||
Corporate Bonds |
22.4 | |||
Residential Mortgage-Backed Securities — Agency |
21.4 | |||
Asset-Backed Securities |
16.8 | |||
U.S. Treasury Securities |
15.9 | |||
Commercial Mortgage-Backed Securities — Non-Agency |
7.6 | |||
Common Stock |
4.6 | |||
Money Market Investments |
2.1 | |||
Commercial Mortgage-Backed Securities — Agency |
0.9 | |||
Municipal Bonds |
0.4 | |||
Foreign Government Bonds |
0.4 | |||
Convertible Corporate Bonds |
0.1 | |||
Other* |
(17.1 | ) | ||
Total |
100.0 | % | ||
* |
Includes cash, futures, written options, foreign currency exchange contracts, swap agreements, pending trades, interest receivable, and accrued expenses payable. |
Fair Valuation Summary (Unaudited) |
June 30, 2024 |
Description |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Other Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total |
||||||||||||
Fixed Income Securities |
||||||||||||||||
Mortgage-Backed Securities |
||||||||||||||||
Residential Mortgage-Backed Securities — Non-Agency |
$ | — | $ | 57,187,401 | $ | 2,299,251 | $ | 59,486,652 | ||||||||
Residential Mortgage-Backed Securities — Agency |
— | 51,792,116 | — | 51,792,116 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency |
— | 17,850,524 | 604,093 | 18,454,617 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency |
— | 2,058,316 | — | 2,058,316 | ||||||||||||
Total Mortgage-Backed Securities |
— | 128,888,357 | 2,903,344 | 131,791,701 | ||||||||||||
Corporate Bonds* |
— | 54,373,436 | 31,136 | 54,404,572 | ||||||||||||
Asset-Backed Securities |
— | 39,460,609 | 1,187,796 | 40,648,405 | ||||||||||||
Municipal Bonds |
— | 996,757 | — | 996,757 | ||||||||||||
Foreign Government Bonds |
— | 976,357 | — | 976,357 | ||||||||||||
Total Fixed Income Securities |
— | 224,695,516 | 4,122,276 | 228,817,792 | ||||||||||||
Short Term Investments |
38,545,446 | — | — | 38,545,446 | ||||||||||||
Common Stock* |
10,807,030 | — | 417,097 | 11,224,127 | ||||||||||||
Money Market Investments |
5,079,586 | — | — | 5,079,586 | ||||||||||||
Convertible Corporate Bonds* |
— | 241,022 | 1,620 | 242,642 | ||||||||||||
Total Investments |
$ | 54,432,062 | $ | 224,936,538 | $ | 4,540,993 | $ | 283,909,593 | ||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts |
||||||||||||||||
Interest Rate Risk |
349,679 | — | — | 349,679 | ||||||||||||
Forward Currency Exchange Contracts |
||||||||||||||||
Foreign Currency Risk |
— | 113,988 | — | 113,988 | ||||||||||||
Swap Agreements |
||||||||||||||||
Interest Rate Risk |
— | 58,802 | — | 58,802 | ||||||||||||
Total |
$ | 54,781,741 | $ | 225,109,328 | $ | 4,540,993 | $ | 284,432,062 | ||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts |
||||||||||||||||
Interest Rate Risk |
$ | (373,000 | ) | $ | — | $ | — | $ | (373,000 | ) | ||||||
Written Options |
||||||||||||||||
Equity Risk |
(10,627 | ) | — | — | (10,627 | ) | ||||||||||
Forward Currency Exchange Contracts |
||||||||||||||||
Foreign Currency Risk |
— | (1,733 | ) | — | (1,733 | ) | ||||||||||
Total |
$ | (383,627 | ) | $ | (1,733 | ) | $ | — | $ | (385,360 | ) | |||||
* |
See Schedule of Investments for corresponding industries. |
Statement of Assets and Liabilities (Unaudited) |
June 30, 2024 |
ASSETS: |
||||
Investments, at Value (Cost: $309,141,286) |
$ | 283,909,593 | ||
Cash |
1,327,991 | |||
Interest and Dividends Receivable |
1,540,776 | |||
Cash Collateral Held for Broker |
1,026,800 | |||
Receivable for Securities Sold |
245,754 | |||
Receivable for Variation Margin on Open Futures Contracts to Broker |
161,428 | |||
Unrealized Appreciation on Forward Currency Exchange Contracts |
113,988 | |||
Receivable for Variation Margin on Centrally Cleared Interest Rate Swap Agreements |
26,673 | |||
Foreign Tax Reclaims Receivable |
836 | |||
Total Assets |
288,353,839 | |||
LIABILITIES: |
||||
Payables for Securities Purchased |
42,175,792 | |||
Distributions Payable |
2,867,126 | |||
Accrued Other Expenses |
343,336 | |||
Collateral Pledged by Brokers |
252,000 | |||
Interest Expense Payable |
162,601 | |||
Accrued Investment Advisory Fees |
120,797 | |||
Accrued Directors’ Fees and Expenses |
54,418 | |||
Options Written, at Value (Premium Received $17,252) |
10,627 | |||
Unrealized Depreciation on Forward Currency Exchange Contracts |
1,733 | |||
Total Liabilities |
45,988,430 | |||
NET ASSETS |
$ | 242,365,409 | ||
NET ASSETS CONSIST OF: |
||||
$ | 477,854 | |||
Paid-in Capital |
269,520,224 | |||
Accumulated Earnings (Loss) |
(27,632,669 | ) | ||
NET ASSETS |
$ | 242,365,409 | ||
NET ASSET VALUE PER SHARE |
$ | 5.07 | ||
MARKET PRICE PER SHARE |
$ | 4.74 | ||
Statement of Operations (Unaudited) |
Six Months Ended June 30, 2024 |
INVESTMENT INCOME: |
||||
Income |
||||
Interest |
$ | 8,590,294 | ||
Dividends |
694,388 | |||
Total Investment Income |
9,284,682 | |||
Expenses |
||||
Investment Advisory Fees |
726,377 | |||
Audit and Tax Service Fees |
102,553 | |||
Legal Fees |
67,650 | |||
Directors’ Fees and Expenses |
61,263 | |||
Interest Expense |
27,847 | |||
Transfer Agent Fees |
26,300 | |||
Custodian Fees |
25,749 | |||
Listing Fees |
24,356 | |||
Insurance Expense |
21,632 | |||
Proxy Expense |
16,689 | |||
Printing and Distribution Costs |
16,117 | |||
Administration Fees |
10,241 | |||
Accounting Fees |
9,189 | |||
Miscellaneous Expense |
2,186 | |||
Total Expenses |
1,138,149 | |||
Net Investment Income |
8,146,533 | |||
NET REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS, FUTURES CONTRACTS, WRITTEN OPTIONS, SWAP AGREEMENTS AND FOREIGN CURRENCY: |
||||
Net Realized Gain (Loss) on: |
||||
Investments |
(467,674 | ) | ||
Foreign Currency |
(776 | ) | ||
Forward Currency Exchange Contracts |
(164,409 | ) | ||
Futures Contracts |
(608,290 | ) | ||
Written Options |
28,641 | |||
Swap Agreements |
15,971 | |||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||
Investments |
(1,480,544 | ) | ||
Foreign Currency |
(3,800 | ) | ||
Forward Currency Exchange Contracts |
389,825 | |||
Futures Contracts |
698,478 | |||
Written Options |
26,914 | |||
Swap Agreements |
120,509 | |||
Net Realized Gain (Loss) and Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts, Written Options, Swap Agreements and Foreign Currency |
(1,445,155 | ) | ||
INCREASE IN NET ASSETS FROM OPERATIONS |
$ | 6,701,378 | ||
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, 2023 |
|||||||
OPERATIONS: |
||||||||
Net Investment Income |
$ | 8,146,533 | $ | 13,667,841 | ||||
Net Realized Loss on Investments, Futures Contracts, Written Options, Swap Agreements and Foreign Currency |
(1,196,537 | ) | (1,281,412 | ) | ||||
Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts, Written Options, Swap Agreements and Foreign Currency |
(248,618 | ) | 10,131,065 | |||||
Increase in Net Assets Resulting from Operations |
6,701,378 | 22,517,494 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
Distributions to Shareholders |
(5,734,253 | ) | (16,963,831 | ) | ||||
Shares Issued in Reinvestment of Dividends (0 for the six months ended June 30, 2024 and 0 for the year ended December 31, 2023) |
— | — | ||||||
Total Increase in Net Assets |
967,125 | 5,553,663 | ||||||
NET ASSETS: |
||||||||
Beginning of period |
241,398,284 | 235,844,621 | ||||||
End of period |
$ | 242,365,409 | $ | 241,398,284 | ||||
Level 1 — | quoted prices in active markets for identical investments. | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). | |
Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
Asset-Backed Securities |
Commercial Mortgage- Backed Securities — Non-Agency |
Common Stock |
Convertible Corporate Bonds |
Corporate Bonds |
Residential Mortgage- Backed Securities — Non-Agency |
Total |
||||||||||||||||||||||
Balance as of December 31, 2023 |
$ | 1,505,956 | $ | 603,790 | $ | 321,703 | $ | 1,739 | $ | 28,981 | $ | 2,679,207 | $ | 5,141,376 | ||||||||||||||
Accrued Discounts (Premiums) |
— | — | — | 202 | 2,555 | (87,163 | ) | (84,406 | ) | |||||||||||||||||||
Realized Gain (Loss) |
— | — | (94 | ) | — | — | — | (94 | ) | |||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) |
(318,160 | ) | 303 | 95,490 | (3,941 | ) | (130,106 | ) | (301,030 | ) | (657,444 | ) | ||||||||||||||||
Purchases |
— | — | — | 3,620 | 137,706 | 8,237 | 149,563 | |||||||||||||||||||||
Sales |
— | — | (2 | ) | — | — | — | (2 | ) | |||||||||||||||||||
Transfers in to Level 3 |
— | — | — | — | (8,000 | ) | — | (8,000 | ) | |||||||||||||||||||
Transfers out of Level 3 |
— | — | — | — | — | — | — | |||||||||||||||||||||
Balance as of June 30, 2024 |
$ | 1,187,796 | $ | 604,093 | $ | 417,097 | $ | 1,620 | $ | 31,136 | $ | 2,299,251 | $ | 4,540,993 | ||||||||||||||
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2024 |
$ | (318,160 | ) | $ | 303 | $ | 95,490 | $ | (3,941 | ) | $ | (130,106 | ) | $ | (301,030 | ) | $ | (657,444 | ) | |||||||||
Description |
Fair Value at June 30, 2024 |
Valuation Techniques |
Unobservable Input |
Price or Price Range |
Weighted Average Price |
Input to Valuation If Input Increases | ||||||||
Asset-Backed Securities |
$ | 1,187,796 | Broker Quote | Offered Quote | $100.117 to $10,000.000 | $139.189 | Increase | |||||||
Commercial Mortgage-Backed Securities — Non-Agency |
$ | 604,093 | Broker Quote | Offered Quote | $99.850 | $99.850 | Increase | |||||||
Common Stock |
$ | 417,097 | Third-party Vendor |
Vendor Prices | $37.600 | $37.600 | Increase | |||||||
Convertible Corporate Bonds |
$ | 1,620 | Third-Party Vendor |
Vendor Prices | $1.654 to $6.750 | $5.288 | Increase | |||||||
Corporate Bonds |
$ | 31,136 | Third-party Vendor | Vendor Prices | $0.939 to $13.143 | $4.312 | Increase | |||||||
Residential Mortgage-Backed Securities — Non-Agency |
$ | 2,299,251 | Broker Quote | Offered Quote | $0.000 to $16.359 | $2.926 | Increase |
Equity Risk |
Foreign Currency Risk |
Interest Rate Risk |
Total |
|||||||||||||
Statement of Asset and Liabilities: |
||||||||||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts (1) |
$ | — | $ | — | $ | 349,679 | $ | 349,679 | ||||||||
Forward Currency Exchange Contracts |
— | 113,988 | — | 113,988 | ||||||||||||
Swaps Agreements (2) |
— | — | 58,802 | 58,802 | ||||||||||||
Total Value |
$ | — | $ | 113,988 | $ | 408,481 | $ | 522,469 | ||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts (1) |
$ | — | $ | — | $ | (373,000 | ) | $ | (373,000 | ) | ||||||
Forward Currency Exchange Contracts |
— | (1,733 | ) | — | (1,733 | ) | ||||||||||
Written Options |
(10,627 | ) | — | — | (10,627 | ) | ||||||||||
Total Value |
$ | (10,627 | ) | $ | (1,733 | ) | $ | (373,000 | ) | $ | (385,360 | ) | ||||
Statement of Operations: |
||||||||||||||||
Net Realized Gain (Loss) |
||||||||||||||||
Forward Currency Exchange Contracts |
$ | — | $ | (164,409 | ) | $ | — | $ | (164,409 | ) | ||||||
Futures Contracts |
— | — | (608,290 | ) | (608,290 | ) | ||||||||||
Swap Agreements |
15,971 | — | — | 15,971 | ||||||||||||
Written Options |
28,641 | — | — | 28,641 | ||||||||||||
Net Realized Gain (Loss) |
$ | 44,612 | $ | (164,409 | ) | $ | (608,290 | ) | $ | (728,087 | ) | |||||
Net Change in Appreciation (Depreciation) |
||||||||||||||||
Forward Currency Exchange Contracts |
$ | — | $ | 389,825 | $ | — | $ | 389,825 | ||||||||
Futures Contracts |
— | — | 698,478 | 698,478 | ||||||||||||
Written Options |
26,914 | — | — | 26,914 | ||||||||||||
Swap Agreements |
— | — | 120,509 | 120,509 | ||||||||||||
Total Net Change in Appreciation (Depreciation) |
$ | 26,914 | $ | 389,825 | $ | 818,987 | $ | 1,235,726 | ||||||||
Number of Contracts or Notional Amounts (3) |
||||||||||||||||
Forward Currency Exchange Contracts |
$ | — | $ | 7,529,334 | $ | — | $ | 7,529,334 | ||||||||
Futures Contracts |
— | — | 956 | 956 | ||||||||||||
Swap Agreements |
$ | — | $ | — | $ | 1,476,000 | $ | 1,476,000 | ||||||||
Written Options |
410 | — | — | 410 |
(1) |
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on June 30, 2024 is reported within the Statement of Assets and Liabilities. |
(2) |
Includes cumulative appreciation (depreciation) of swap agreements as reported in the Schedule of Investments. Only variation margin on June 30, 2024 is reported within the Statement of Assets and Liabilities. |
(3) |
Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended June 30, 2024. |
Counterparty |
Gross Derivative Assets in the Statement of Assets and Liabilities |
Collateral Received (1) |
Derivative Assets (Liabilities) Available for Offset |
Net Amount of Derivative Assets (2) |
||||||||||||
Bank of America |
||||||||||||||||
Foreign Currency Exchange Contracts |
$ | 1,236 | $ | — | $ | — | $ | 1,236 | ||||||||
Bank of New York |
||||||||||||||||
Foreign Currency Exchange Contracts |
1,206 | — | — | 1,206 | ||||||||||||
Citibank N.A. |
||||||||||||||||
Foreign Currency Exchange Contracts |
111,546 | (111,546 | ) | — | — | |||||||||||
Total |
$ | 113,988 | $ | (111,546 | ) | $ | — | $ | 2,442 | |||||||
(1) |
Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. |
(2) |
Represents the net amount receivable from the counterparty in the event of default. |
Counterparty |
Gross Derivative Liabilities in the Statement of Assets and Liabilities |
Collateral Pledged (1) |
Derivative (Assets) Liabilities Available for Offset |
Net Amount Derivative Liabilities (2) |
||||||||||||
Goldman Sachs & Co |
||||||||||||||||
Foreign Currency Exchange Contracts |
$ | 1,733 | $ | — | $ | — | $ | 1,733 | ||||||||
Total |
$ | 1,733 | $ | — | $ | — | $ | 1,733 | ||||||||
(1) |
Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. |
(2) |
Represents the net amount receivable from the counterparty in the event of default. |
Unrealized appreciation |
$ | 10,676,237 | ||
Unrealized (depreciation) |
(37,465,558 | ) | ||
Net unrealized depreciation |
$ | (26,789,321 | ) | |
Cost of Investments for Federal Income Tax Purposes |
$ | 310,698,914 | ||
Amount Distributed During the Year Ended |
Undistributed Amount at Year Ended |
|||||||
December 31, 2023 |
December 31, 2023 |
|||||||
Ordinary Income |
$ | 16,963,831 | $ | — | ||||
Capital Gain |
— | — | ||||||
$ | 16,963,831 | $ | — | |||||
Issuer Description |
Acquisition Date |
Acquisition Cost |
Aggregate Value |
Percentage of Net Assets |
||||||||||
Academic Loan Funding Trust, Series 2012-1A, Class R, 0.00%, due 12/27/2044 |
11/1/2022 | $ | 735,000 | $ | 336,800 | 0.14 | % | |||||||
Intelsat Jackson Holding, 6.50%, due 3/15/28 |
1/27/2022 | $ | 83,850 | $ | 80,304 | 0.03 | % | |||||||
Sunac China Holdings Ltd., 1.00%, due 9/30/2027 |
11/2/2021 | $ | 16,110 | $ | 1,475 | 0.00 | % | |||||||
Sunac China Holdings Ltd., 6.00%, due 9/30/2026 |
11/2/2021 | $ | 14,031 | $ | 2,381 | 0.00 | % | |||||||
Sunac China Holdings Ltd., 6.25%, due 9/30/2027 |
11/2/2021 | $ | 11,907 | $ | 2,122 | 0.00 | % | |||||||
Sunac China Holdings Ltd., 6.50%, due 9/30/2027 |
11/2/2021 | $ | 21,551 | $ | 3,918 | 0.00 | % | |||||||
Sunac China Holdings Ltd., 6.75%, due 9/30/2028 |
11/2/2021 | $ | 27,222 | $ | 5,627 | 0.00 | % | |||||||
Sunac China Holdings Ltd., 7.00%, due 9/30/2029 |
11/2/2021 | $ | 25,516 | $ | 5,057 | 0.00 | % | |||||||
Sunac China Holdings Ltd., 7.25%, due 9/30/2030 |
11/2/2021 | $ | 10,787 | $ | 2,216 | 0.00 | % | |||||||
$ | 945,974 | $ | 439,900 | 0.14 | % | |||||||||
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, |
|||||||||||||||||||||||
2023 |
2022 |
2021 |
2020 |
2019 |
||||||||||||||||||||
Net Asset Value Per Share, Beginning of period |
$ | 5.05 | $ | 4.94 | $ | 5.69 | $ | 5.85 | $ | 5.73 | $ | 5.65 | ||||||||||||
Income from Operations: |
||||||||||||||||||||||||
Net Investment Income (1) |
0.17 | 0.29 | 0.26 | 0.32 | 0.29 | 0.33 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments |
(0.03 | ) | 0.18 | (0.69 | ) | (0.11 | ) | 0.11 | 0.14 | |||||||||||||||
Total from Investment Operations |
0.14 | 0.47 | (0.43 | ) | 0.21 | 0.40 | 0.47 | |||||||||||||||||
Less Distributions: |
||||||||||||||||||||||||
Distributions from Net Investment Income |
(0.12 | ) | (0.36 | ) | (0.24 | ) | (0.25 | ) | (0.28 | ) | (0.35 | ) | ||||||||||||
Distributions from Net Realized Gains |
— | — | (0.08 | ) | (0.12 | ) | — | (0.04 | ) | |||||||||||||||
Total Distributions |
(0.12 | ) | (0.36 | ) | (0.32 | ) | (0.37 | ) | (0.28 | ) | (0.39 | ) | ||||||||||||
Net Asset Value Per Share, End of period |
$ | 5.07 | $ | 5.05 | $ | 4.94 | $ | 5.69 | $ | 5.85 | $ | 5.73 | ||||||||||||
Market Value Per Share, End of period |
$ | 4.74 | $ | 4.59 | $ | 4.62 | $ | 5.77 | $ | 5.69 | $ | 5.77 | ||||||||||||
Net Asset Value Total Return (2) |
2.79 | % (3) |
9.84 | % | (7.51 | )% | 3.55 | % | 7.25 | % | 8.37 | % | ||||||||||||
Market Price Return (4) |
5.91 | % (3) |
7.15 | % | (14.34 | )% | 8.03 | % | 3.75 | % | 17.14 | % | ||||||||||||
Ratios/Supplemental Data: |
||||||||||||||||||||||||
Net Assets, End of period (in thousands) |
$ | 242,365 | $ | 241,398 | $ | 235,845 | $ | 271,573 | $ | 279,067 | $ | 273,293 | ||||||||||||
Ratio of Expenses Before Interest Expense to Average Net Assets |
0.92 | % (5) |
0.93 | % | 0.95 | % | 0.93 | % | 0.93 | % | 0.85 | % | ||||||||||||
Ratio of Interest Expense to Average Net Assets |
0.03 | % (5) |
0.08 | % | 0.07 | % | 0.02 | % | 0.04 | % | 0.02 | % | ||||||||||||
Ratio of Total Expenses to Average Net Assets |
0.95 | % (5) |
1.01 | % | 1.02 | % | 0.95 | % | 0.97 | % | 0.87 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets |
6.77 | % (5) |
5.67 | % | 4.90 | % | 5.38 | % | 5.07 | % | 5.62 | % | ||||||||||||
Portfolio Turnover Rate |
130.18 | % (3) |
234.87 | % | 155.62 | % | 178.02 | % | 72.59 | % | 34.64 | % | ||||||||||||
Asset Coverage Ratio Per Share (6) |
— | — | — | — | — | — | ||||||||||||||||||
Total Debt Outstanding |
— | — | — | — | — | — |
(1) |
Computed using average shares outstanding throughout the period. |
(2) |
Based on net asset value per share, adjusted for reinvestment of distributions. The Fund does not incur charges to investors for purchasing or selling shares. |
(3) |
For the six months ended June 30, 2024 and not indicative of a full year’s results. |
(4) |
Based on market price per share, adjusted for reinvestment of distributions. The Fund does not incur charges to investors for purchasing or selling shares. |
(5) |
Annualized. |
(6) |
The asset coverage ratio for a class of senior securities representing indebtedness is calculated as total assets, less all liabilities and indebtedness not represented by senior securities, divided by senior securities representing indebtedness. This asset coverage ratio is multiplied by one thousand to determine the asset coverage per share. |
1. | By calling 1-877-829-4768 |
2. | By going to the TCW website at https://www.tcw.com/Global-Proxy-Voting-Policy; or |
3. | By going to the SEC website at http://www.sec.gov. |
1. | By calling 1-877-829-4768 |
2. | By going to the SEC website at http://www.sec.gov. |
(b) | Not applicable. |
Item 2. | Code of Ethics. |
Not required for this filing.
Item 3. | Audit Committee Financial Expert. |
Not required for this filing.
Item 4. | Principal Accountant Fees and Services. |
Not required for this filing.
Item 5. | Audit Committee of Listed Registrants. |
Not required for this filing.
Item 6. | Investments. |
(a) | The Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. | Financial Statements and Financial Highlights for Open-End Management Investment Companies. |
Not applicable.
Item 8. | Changes in and Disagreements with Accountants for Open-End Management Investment Companies. |
Not applicable.
Item 9. | Proxy Disclosures for Open-End Management Investment Companies. |
Not applicable.
Item 10. | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies. |
Not applicable.
Item 11. | Statement Regarding Basis for Approval of Investment Advisory Contract. |
Not applicable.
Item 12. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not required for this filing.
Item 13. | Portfolio Managers of Closed-End Management Investment Companies. |
Not required for this filing.
Item 14. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
None.
Item 15. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Directors.
Item 16. | Controls and Procedures. |
(a) | The Principal Executive Officer and Principal Financial and Accounting Officer have concluded, as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective, as of such date, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 17. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 18. | Recovery of Erroneously Awarded Compensation. |
Not applicable.
Item 19. | Exhibits. |
(a)(1) | Not required for this filing. |
(a)(2) | Not applicable. |
(a)(3) |
(a)(4) | Not applicable. |
(a)(5) | Not applicable. |
(b) |
(101) Inline Interactive Data File - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the inline XBRL document.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) |
TCW Strategic Income Fund, Inc.
| |
By (Signature and Title) |
/s/ Megan McClellan | |
Megan McClellan | ||
President and Principal Executive Officer | ||
Date |
August 29, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) |
/s/ Megan McClellan | |
Megan McClellan | ||
President and Principal Executive Officer | ||
Date |
August 29, 2024 |
By (Signature and Title) |
/s/ Richard M. Villa | |
Richard M. Villa | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date |
August 29, 2024 |
EX-99.CERT
I, Megan McClellan, certify that:
1. | I have reviewed this report on Form N-CSR of TCW Strategic Income Fund, Inc.; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; |
4. | The Registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: |
(a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | evaluated the effectiveness of the Registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and |
5. | The Registrants other certifying officer and I have disclosed to the Registrants auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions): |
(a) | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrants ability to record, process, summarize, and report financial information; and |
(b) | any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrants internal control over financial reporting. |
Date: August 29, 2024 |
/s/ Megan McClellan | |
Megan McClellan | ||
President and Principal Executive Officer | ||
I, Richard M. Villa, certify that:
1. | I have reviewed this report on Form N-CSR of TCW Strategic Income Fund, Inc.; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; |
4. | The Registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: |
(a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | evaluated the effectiveness of the Registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and |
5. | The Registrants other certifying officer and I have disclosed to the Registrants auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions): |
(a) | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrants ability to record, process, summarize, and report financial information; and |
(b) | any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrants internal control over financial reporting. |
Date: August 29, 2024 |
/s/ Richard M. Villa | |
Richard M. Villa | ||
Treasurer and Principal Financial and | ||
Accounting Officer |
EX-99.906CERT
CERTIFICATION
Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code), each of the undersigned officers of TCW Strategic Income Fund, Inc. do hereby certify, to such officers knowledge, that:
The semi-annual report on Form N-CSR of TCW Strategic Income Fund, Inc. for the period ended June 30, 2024 (the Form N-CSR) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended, and information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of TCW Strategic Income Fund, Inc.
Date: August 29, 2024 |
/s/ Megan McClellan | |
Megan McClellan | ||
President and Principal Executive Officer | ||
/s/ Richard M. Villa | ||
Richard M. Villa | ||
Treasurer and Principal Financial and Accounting | ||
Officer |
A signed original of this written statement required by Section 906 has been provided to TCW Strategic Income Fund, Inc. and will be retained by TCW Strategic Income Fund, Inc. and furnished to the Securities and Exchange Commission or its staff upon request.
N-2 |
6 Months Ended |
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Jun. 30, 2024
shares
| |
Cover [Abstract] | |
Entity Central Index Key | 0000809559 |
Amendment Flag | false |
Document Type | N-CSRS |
Entity Registrant Name | TCW Strategic Income Fund, Inc. |
General Description of Registrant [Abstract] | |
Investment Objectives and Practices [Text Block] | Investment objective: Investment strategy: non-U.S. developed and emerging market debt mortgage-related securities, asset-backed securities, marketable small-, mid- and large-capitalization equity securities, convertible securities, money market securities, repurchase agreements, other securities and derivative instruments without limit believed by the Fund’s investment adviser to be consistent with the Fund’s investment objective. The Fund will shift and reallocate its investments on an opportunistic basis and may invest in additional asset classes other than those identified above. The Fund may also employ leverage up to 33% of its total assets (including assets purchased with borrowings). The Fund has a stated goal of providing dependable, but not assured, quarterly distributions out of accumulated net investment income and/or other sources, subject to the requirements of the 1940 Act. |
Risk Factors [Table Text Block] | Market Risk: Liquidity Risk: securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Fund may invest in private placements and Rule 144A securities. Interest Rate Risk: Mortgage-Backed and Other Asset-Backed Securities Risk: Derivatives Risk: Credit Risk: MBS and ABS are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest only, principal only, etc.), the security of the claim on the underlying assets (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.). In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity takeout), the borrower’s credit quality (e.g., FICO score), and whether the loan is a first trust deed or a second lien. Counterparty Risk: LIBOR Transition Risk: |
Market Risk [Member] | |
General Description of Registrant [Abstract] | |
Risk [Text Block] | Market Risk: |
Liquidity Risk [Member] | |
General Description of Registrant [Abstract] | |
Risk [Text Block] | Liquidity Risk: securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Fund may invest in private placements and Rule 144A securities.
|
Mortgage-Backed and Other Asset-Backed Securities Risk [Member] | |
General Description of Registrant [Abstract] | |
Risk [Text Block] | Mortgage-Backed and Other Asset-Backed Securities Risk: |
Derivatives Risk [Member] | |
General Description of Registrant [Abstract] | |
Risk [Text Block] | Derivatives Risk: |
Credit Risk [Member] | |
General Description of Registrant [Abstract] | |
Risk [Text Block] | Credit Risk: MBS and ABS are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest only, principal only, etc.), the security of the claim on the underlying assets (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.). In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity takeout), the borrower’s credit quality (e.g., FICO score), and whether the loan is a first trust deed or a second lien.
|
Counterparty Risk [Member] | |
General Description of Registrant [Abstract] | |
Risk [Text Block] | Counterparty Risk: |
LIBOR Transition Risk [Member] | |
General Description of Registrant [Abstract] | |
Risk [Text Block] | LIBOR Transition Risk: |
Interest Rate Risk [Member] | |
General Description of Registrant [Abstract] | |
Risk [Text Block] | Interest Rate Risk: |
Common Shares [Member] | |
Capital Stock, Long-Term Debt, and Other Securities [Abstract] | |
Outstanding Security, Title [Text Block] | Common Stock |
Outstanding Security, Authorized [Shares] | 75,000,000 |
Outstanding Security, Held [Shares] | 47,785,440 |
1 Year TCW Strategic Income Chart |
1 Month TCW Strategic Income Chart |
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