Corporate Bonds - 4.5%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Convertible Bonds - 0.8%
|
|||
Diversified Financial Services - 0.6%
|
|||
Colony Capital Operating Co. LLC 5.75% 7/15/25 (b)
|
1,540,000
|
5,035,800
|
|
Homebuilders/Real Estate - 0.2%
|
|||
Digitalbridge Group, Inc. 5% 4/15/23
|
503,000
|
512,335
|
|
PennyMac Corp. 5.5% 11/1/24
|
1,699,000
|
1,675,639
|
|
2,187,974
|
|||
TOTAL CONVERTIBLE BONDS
|
7,223,774
|
||
Nonconvertible Bonds - 3.7%
|
|||
Gaming - 0.2%
|
|||
Caesars Entertainment, Inc. 6.25% 7/1/25 (b)
|
1,690,000
|
1,752,361
|
|
Healthcare - 0.1%
|
|||
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (b)
|
1,085,000
|
1,036,175
|
|
Homebuilders/Real Estate - 2.0%
|
|||
Adams Homes, Inc. 7.5% 2/15/25 (b)
|
1,215,000
|
1,230,188
|
|
American Finance Trust, Inc./American Finance Operating Partnership LP 4.5% 9/30/28 (b)
|
3,195,000
|
2,976,941
|
|
DTZ U.S. Borrower LLC 6.75% 5/15/28 (b)
|
685,000
|
715,825
|
|
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (b)
|
2,290,000
|
2,130,331
|
|
iStar Financial, Inc.:
|
|||
4.25% 8/1/25
|
3,630,000
|
3,624,845
|
|
4.75% 10/1/24
|
2,805,000
|
2,822,531
|
|
Kennedy-Wilson, Inc. 4.75% 2/1/30
|
2,545,000
|
2,433,656
|
|
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (b)
|
385,000
|
380,669
|
|
Service Properties Trust 7.5% 9/15/25
|
1,095,000
|
1,150,024
|
|
17,465,010
|
|||
Hotels - 1.0%
|
|||
Hilton Grand Vacations Borrower Escrow LLC 4.875% 7/1/31 (b)
|
3,200,000
|
3,048,000
|
|
Marriott Ownership Resorts, Inc.:
|
|||
4.5% 6/15/29 (b)
|
900,000
|
852,750
|
|
4.75% 1/15/28
|
3,250,000
|
3,175,981
|
|
Times Square Hotel Trust 8.528% 8/1/26 (b)(c)
|
1,803,109
|
1,870,592
|
|
8,947,323
|
|||
Telecommunications - 0.4%
|
|||
Uniti Group, Inc.:
|
|||
6% 1/15/30 (b)
|
2,395,000
|
2,140,914
|
|
7.875% 2/15/25 (b)
|
1,195,000
|
1,244,921
|
|
3,385,835
|
|||
TOTAL NONCONVERTIBLE BONDS
|
32,586,704
|
||
|
TOTAL CORPORATE BONDS
(Cost $37,181,437)
|
39,810,478
|
||
Asset-Backed Securities - 5.0%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
American Homes 4 Rent:
|
|||
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b)
|
1,553,000
|
1,635,032
|
|
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b)
|
3,096,223
|
3,242,722
|
|
Series 2015-SFR2:
|
|||
Class E, 6.07% 10/17/52 (b)
|
3,728,000
|
3,946,830
|
|
Class XS, 0% 10/17/52 (b)(c)(d)(e)
|
2,567,216
|
26
|
|
Argent Securities, Inc. pass-thru certificates Series 2004-W9 Class M7, 1 month U.S. LIBOR + 4.200% 3.8578% 6/26/34 (b)(c)(d)(f)
|
16,780
|
87,900
|
|
Capital Trust RE CDO Ltd. Series 2005-1A:
|
|||
Class D, 1 month U.S. LIBOR + 1.500% 3.3464% 3/20/50 (b)(c)(d)(f)
|
750,000
|
75
|
|
Class E, 1 month U.S. LIBOR + 2.100% 3.9464% 3/20/50 (b)(c)(d)(f)
|
2,670,000
|
267
|
|
Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 3.9123% 1/28/40 (b)(c)(d)(f)
|
3,019,209
|
302
|
|
DataBank Issuer, LLC Series 2021-1A Class C, 4.43% 2/27/51 (b)
|
1,500,000
|
1,412,359
|
|
Diamond Infrastructure Funding LLC Series 2021-1A Class C, 3.475% 4/15/49 (b)
|
859,000
|
836,400
|
|
DigitalBridge Issuer, LLC / DigitalBridge Co.-Issuer, LLC Series 2021-1A Class A2, 3.933% 9/25/51 (b)
|
2,240,000
|
2,212,918
|
|
FirstKey Homes Trust Series 2021-SFR1 Class F1, 3.238% 8/17/38 (b)
|
1,068,000
|
985,736
|
|
Home Partners of America Trust:
|
|||
Series 2019-2 Class F, 3.866% 10/19/39 (b)
|
2,064,321
|
1,978,151
|
|
Series 2021-1 Class F, 3.325% 9/17/41 (b)
|
981,359
|
901,203
|
|
Series 2021-2 Class G, 4.505% 12/17/26 (b)
|
5,517,590
|
5,320,627
|
|
Series 2021-3 Class F, 4.242% 1/17/41 (b)
|
1,325,933
|
1,263,482
|
|
Merit Securities Corp. Series 13 Class M1, 7.88% 12/28/33 (d)
|
720,856
|
747,736
|
|
Progress Residential Trust:
|
|||
Series 2019-SFR3:
|
|||
Class F, 3.867% 9/17/36 (b)
|
1,228,000
|
1,199,264
|
|
Class G, 4.116% 9/17/36 (b)
|
998,000
|
978,874
|
|
Series 2019-SFR4 Class F, 3.684% 10/17/36 (b)
|
4,527,000
|
4,418,304
|
|
Series 2020-SFR1:
|
|||
Class G, 4.028% 4/17/37 (b)
|
1,638,000
|
1,594,175
|
|
Class H, 5.268% 4/17/37 (b)
|
462,000
|
453,940
|
|
Series 2020-SFR3 Class H, 6.234% 10/17/27 (b)
|
966,000
|
903,110
|
|
Series 2021-SFR2 Class H, 4.998% 4/19/38 (b)
|
1,575,000
|
1,511,932
|
|
Series 2021-SFR3 Class G, 4.254% 5/17/26 (b)
|
1,050,000
|
993,260
|
|
Series 2021-SFR6:
|
|||
Class F, 3.422% 7/17/38 (b)
|
1,239,000
|
1,161,854
|
|
Class G, 4.003% 7/17/38 (b)
|
630,000
|
590,963
|
|
Series 2021-SFR8:
|
|||
Class F, 3.181% 10/17/38 (b)
|
815,000
|
755,108
|
|
Class G, 4.005% 10/17/38 (b)
|
2,053,000
|
1,939,141
|
|
Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, 3 month U.S. LIBOR + 4.500% 4.815% 12/5/36 (b)(c)(d)(f)
|
5,596,590
|
420
|
|
Tricon American Homes:
|
|||
Series 2017-SFR2 Class F, 5.104% 1/17/36 (b)
|
664,000
|
669,240
|
|
Series 2020-SFR1 Class F, 4.882% 7/17/38 (b)
|
574,000
|
562,558
|
|
Tricon Residential Trust Series 2021-SFR1 Class G, 4.133% 7/17/38 (b)
|
672,000
|
628,798
|
|
VB-S1 Issuer LLC Series 2018-1A Class F, 5.25% 2/15/48 (b)
|
2,142,000
|
2,137,894
|
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $52,793,591)
|
45,070,601
|
||
Collateralized Mortgage Obligations - 0.0%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Private Sponsor - 0.0%
|
|||
Countrywide Home Loans, Inc. Series 2003-R1 Class 2B4, 3.3614% 2/25/43 (b)(c)(d)
|
28,838
|
4,672
|
|
U.S. Government Agency - 0.0%
|
|||
Fannie Mae REMIC Trust:
|
|||
Series 2002-W1 subordinate REMIC pass thru certificates, Class 3B3, 3.2237% 2/25/42 (b)(c)(d)
|
26,661
|
7,662
|
|
Series 2002-W6 subordinate REMIC pass thru certificates, Class 3B4, 3.4748% 1/25/42 (b)(c)(d)
|
22,382
|
2,000
|
|
Series 2003-W10 subordinate REMIC pass thru certificates:
|
|||
Class 2B4, 3.2042% 6/25/43 (d)(g)
|
101,343
|
32,024
|
|
Class 2B5, 3.2042% 6/25/43 (c)(d)(g)
|
10,674
|
779
|
|
TOTAL U.S. GOVERNMENT AGENCY
|
42,465
|
||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $51,108)
|
47,137
|
||
Commercial Mortgage Securities - 82.2%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
ALEN Mortgage Trust floater Series 2021-ACEN Class F, 1 month U.S. LIBOR + 5.000% 5.191% 4/15/34 (b)(d)(f)
|
2,188,000
|
2,126,029
|
|
Ashford Hospitality Trust floater Series 2018-ASHF Class E, 1 month U.S. LIBOR + 3.100% 3.291% 4/15/35 (b)(d)(f)
|
1,456,000
|
1,379,383
|
|
Atrium Hotel Portfolio Trust floater Series 2018-ATRM Class D, 1 month U.S. LIBOR + 2.300% 2.491% 6/15/35 (b)(d)(f)
|
663,000
|
646,382
|
|
BAMLL Commercial Mortgage Securities Trust:
|
|||
floater:
|
|||
Series 2019-RLJ Class D, 1 month U.S. LIBOR + 1.950% 2.141% 4/15/36 (b)(d)(f)
|
4,028,000
|
3,900,413
|
|
Series 2021-JACX Class E, 1 month U.S. LIBOR + 3.750% 3.941% 9/15/38 (b)(d)(f)
|
2,524,000
|
2,476,241
|
|
Series 2015-200P Class F, 3.5958% 4/14/33 (b)(d)
|
2,588,000
|
2,489,406
|
|
BANK:
|
|||
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b)
|
4,416,000
|
3,951,747
|
|
Series 2017-BNK6 Class D, 3.1% 7/15/60 (b)
|
2,593,000
|
2,231,292
|
|
Series 2017-BNK8:
|
|||
Class D, 2.6% 11/15/50 (b)
|
4,653,000
|
3,881,357
|
|
Class E, 2.8% 11/15/50 (b)
|
2,625,000
|
1,789,097
|
|
Series 2018-BN12 Class D, 3% 5/15/61 (b)
|
2,082,000
|
1,690,735
|
|
Series 2019-BN18 Class D, 3% 5/15/62 (b)
|
4,284,000
|
3,708,142
|
|
Series 2019-BN19 Class D, 3% 8/15/61 (b)
|
3,753,000
|
3,040,770
|
|
Series 2019-BN22 Class D, 2.5% 11/15/62 (b)
|
2,465,000
|
2,089,262
|
|
Series 2020-BN26 Class D, 2.5% 3/15/63 (b)
|
1,269,000
|
1,053,295
|
|
Series 2020-BN27 Class D, 2.5% 4/15/63 (b)
|
921,000
|
763,600
|
|
Series 2020-BN28 Class E, 2.5% 3/15/63 (b)
|
903,000
|
700,953
|
|
Series 2020-BN29 Class E, 2.5% 11/15/53 (b)
|
1,064,000
|
827,189
|
|
Series 2020-BN30:
|
|||
Class E, 2.5% 12/15/53 (b)
|
735,000
|
576,608
|
|
Class MCDG, 2.9182% 12/15/53 (d)
|
3,196,000
|
2,534,511
|
|
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3 Class D, 3.25% 2/15/50 (b)
|
2,201,000
|
1,962,910
|
|
Barclays Commercial Mortgage Securities LLC Series 2019-C5:
|
|||
Class D, 2.5% 11/15/52 (b)
|
726,000
|
583,716
|
|
Class E, 2.5% 11/15/52 (b)
|
2,545,000
|
1,843,747
|
|
BBCMS Mortgage Trust:
|
|||
sequential payer Series 2020-C8 Class E, 2.25% 10/15/53 (b)
|
3,013,000
|
2,242,334
|
|
Series 2016-ETC Class D, 3.6089% 8/14/36 (b)(d)
|
1,749,000
|
1,574,435
|
|
Series 2020-C6 Class E, 2.4% 2/15/53 (b)
|
1,512,000
|
1,167,688
|
|
Series 2020-C7 Class D, 3.6042% 4/15/53 (b)(d)
|
840,000
|
757,590
|
|
BCP Trust floater Series 2021-330N Class F, 1 month U.S. LIBOR + 4.630% 4.825% 6/15/38 (b)(d)(f)
|
2,395,000
|
2,302,491
|
|
Benchmark Mortgage Trust:
|
|||
sequential payer:
|
|||
Series 2019-B14:
|
|||
Class 225D, 3.2943% 12/15/62 (b)(d)
|
1,680,000
|
1,522,281
|
|
Class 225E, 3.2943% 12/15/62 (b)(d)
|
1,132,000
|
988,912
|
|
Series 2020-B20 Class E, 2% 10/15/53 (b)
|
2,100,000
|
1,503,835
|
|
Series 2018-B7:
|
|||
Class D, 3% 5/15/53 (b)(d)
|
833,000
|
727,054
|
|
Class E, 3% 5/15/53 (b)(d)
|
833,000
|
680,551
|
|
Series 2020-B18:
|
|||
Class AGNG, 4.3885% 7/15/53 (b)(d)
|
4,074,000
|
3,875,030
|
|
Class D, 2.25% 7/15/53 (b)
|
1,500,000
|
1,181,625
|
|
Series 2020-B21:
|
|||
Class D, 2% 12/17/53 (b)
|
1,638,000
|
1,294,887
|
|
Class E, 2% 12/17/53 (b)
|
1,533,000
|
1,092,077
|
|
Series 2020-B22 Class E, 2% 1/15/54 (b)
|
1,826,000
|
1,294,930
|
|
Series 2020-IG3 Class 825E, 3.0763% 9/15/48 (b)(d)
|
3,049,000
|
2,439,245
|
|
Series 2021-B25:
|
|||
Class 300D, 2.9942% 4/15/54 (b)(d)
|
6,055,000
|
5,351,996
|
|
Class 300E, 2.9942% 4/15/54 (b)(d)
|
1,113,000
|
933,090
|
|
BFLD Trust floater Series 2020-EYP Class G, 1 month U.S. LIBOR + 4.850% 5.041% 10/15/35 (b)(d)(f)
|
2,019,000
|
1,988,268
|
|
BHP Trust floater Series 2019-BXHP Class F, 1 month U.S. LIBOR + 2.930% 3.129% 8/15/36 (b)(d)(f)
|
1,165,500
|
1,129,070
|
|
BMO Mortgage Trust Series 2022-C1:
|
|||
Class 360D, 3.947% 2/15/42 (b)(d)
|
1,638,000
|
1,511,315
|
|
Class 360E, 3.947% 2/15/42 (b)(d)
|
1,970,000
|
1,690,459
|
|
BPR Trust floater Series 2021-TY Class E, 1 month U.S. LIBOR + 3.600% 3.791% 9/15/38 (b)(d)(f)
|
2,417,000
|
2,392,801
|
|
BSREP Commercial Mortgage Trust floater Series 2021-DC:
|
|||
Class F, 1 month U.S. LIBOR + 2.850% 3.042% 8/15/38 (b)(d)(f)
|
1,099,000
|
1,068,734
|
|
Class G, 1 month U.S. LIBOR + 3.850% 4.042% 8/15/38 (b)(d)(f)
|
853,000
|
825,930
|
|
BX Commercial Mortgage Trust:
|
|||
floater:
|
|||
Series 2020-FOX Class G, 1 month U.S. LIBOR + 4.750% 4.941% 11/15/32 (b)(d)(f)
|
842,804
|
831,629
|
|
Series 2021-CIP Class G, 1 month U.S. LIBOR + 3.960% 4.16% 12/15/38 (b)(d)(f)
|
9,996,000
|
9,726,462
|
|
Series 2021-FOX Class F, 1 month U.S. LIBOR + 4.250% 4.441% 11/15/32 (b)(d)(f)
|
1,132,728
|
1,121,380
|
|
Series 2021-MC Class G, 1 month U.S. LIBOR + 3.080% 3.2778% 4/15/34 (b)(d)(f)
|
1,572,000
|
1,499,159
|
|
Series 2021-PAC Class G, 1 month U.S. LIBOR + 2.940% 3.1381% 10/15/36 (b)(d)(f)
|
3,192,000
|
3,064,037
|
|
Series 2021-VINO:
|
|||
Class F, 1 month U.S. LIBOR + 2.800% 2.9933% 5/15/38 (b)(d)(f)
|
2,627,000
|
2,567,805
|
|
Class G, 1 month U.S. LIBOR + 3.950% 4.1433% 5/15/38 (b)(d)(f)
|
4,994,000
|
4,868,960
|
|
Series 2020-VIVA:
|
|||
Class D, 3.5488% 3/11/44 (b)(d)
|
9,422,000
|
8,531,286
|
|
Class E, 3.5488% 3/11/44 (b)(d)
|
6,904,000
|
6,113,941
|
|
BX Trust:
|
|||
floater:
|
|||
Series 2017-APPL Class F, 1 month U.S. LIBOR + 4.250% 4.441% 7/15/34 (b)(d)(f)
|
2,444,600
|
2,429,368
|
|
Series 2018-IND Class H, 1 month U.S. LIBOR + 3.000% 3.191% 11/15/35 (b)(d)(f)
|
1,271,900
|
1,255,956
|
|
Series 2019-ATL Class E, 1 month U.S. LIBOR + 2.230% 2.4276% 10/15/36 (b)(d)(f)
|
1,974,000
|
1,902,343
|
|
Series 2019-IMC Class G, 1 month U.S. LIBOR + 3.600% 3.791% 4/15/34 (b)(d)(f)
|
3,255,000
|
3,181,507
|
|
Series 2019-XL Class J, 1 month U.S. LIBOR + 2.650% 2.841% 10/15/36 (b)(d)(f)
|
16,482,350
|
16,110,453
|
|
Series 2021-21M Class H, 1 month U.S. LIBOR + 4.010% 4.201% 10/15/36 (b)(d)(f)
|
2,226,000
|
2,148,871
|
|
Series 2021-ACNT Class G, 1 month U.S. LIBOR + 3.290% 3.487% 11/15/38 (b)(d)(f)
|
2,541,000
|
2,482,653
|
|
Series 2021-ARIA Class G, 1 month U.S. LIBOR + 3.140% 3.3331% 10/15/36 (b)(d)(f)
|
2,500,000
|
2,418,643
|
|
Series 2021-BXMF Class G, 1 month U.S. LIBOR + 3.340% 3.5405% 10/15/26 (b)(d)(f)
|
4,374,000
|
4,220,698
|
|
Series 2021-LBA Class FV, 1 month U.S. LIBOR + 2.400% 2.592% 2/15/36 (b)(d)(f)
|
711,000
|
683,820
|
|
Series 2021-MFM1:
|
|||
Class F, 1 month U.S. LIBOR + 3.000% 3.1911% 1/15/34 (b)(d)(f)
|
834,000
|
818,671
|
|
Class G, 1 month U.S. LIBOR + 3.900% 4.0911% 1/15/34 (b)(d)(f)
|
417,000
|
407,765
|
|
Series 2021-SOAR:
|
|||
Class G, 2.991% 6/15/38 (b)(d)
|
1,281,000
|
1,244,951
|
|
Class J, 3.941% 6/15/38 (b)(d)
|
2,562,000
|
2,481,453
|
|
Series 2021-VOLT Class G, 1 month U.S. LIBOR + 2.850% 3.0411% 9/15/36 (b)(d)(f)
|
2,448,000
|
2,349,949
|
|
Series 2021-XL2 Class J, 1 month U.S. LIBOR + 3.890% 4.081% 10/15/38 (b)(d)(f)
|
14,403,000
|
13,996,629
|
|
Series 2022-LBA6:
|
|||
Class F, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.350% 3.4492% 1/15/39 (b)(d)(f)
|
4,315,000
|
4,227,607
|
|
Class G, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 4.200% 4.2992% 1/15/39 (b)(d)(f)
|
1,381,000
|
1,353,599
|
|
Series 2022-LP2 Class G, CME TERM SOFR 1 MONTH INDEX INDEX + 4.100% 4.1558% 2/15/39 (b)(d)(f)
|
3,759,000
|
3,711,538
|
|
floater sequential payer Series 2021-LGCY Class J, 1 month U.S. LIBOR + 3.190% 3.384% 10/15/23 (b)(d)(f)
|
1,390,000
|
1,329,973
|
|
Series 2019-OC11 Class E, 4.0755% 12/9/41 (b)(d)
|
7,503,000
|
6,736,502
|
|
BXP Trust Series 2021-601L Class E, 2.7755% 1/15/44 (b)(d)
|
709,000
|
550,732
|
|
CALI Mortgage Trust Series 2019-101C Class F, 4.3244% 3/10/39 (b)(d)
|
3,093,000
|
2,762,417
|
|
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class G, 1 month U.S. LIBOR + 3.250% 3.441% 12/15/37 (b)(d)(f)
|
10,526,000
|
10,290,150
|
|
CD Mortgage Trust Series 2017-CD3 Class D, 3.25% 2/10/50 (b)
|
4,073,000
|
3,199,024
|
|
Citigroup Commercial Mortgage Trust:
|
|||
Series 2013-375P Class E, 3.5176% 5/10/35 (b)(d)
|
4,069,000
|
3,985,184
|
|
Series 2013-GC15 Class D, 5.1749% 9/10/46 (b)(d)
|
7,323,000
|
7,151,736
|
|
Series 2016-C3 Class D, 3% 11/15/49 (b)
|
4,412,000
|
3,400,089
|
|
Series 2019-GC41:
|
|||
Class D, 3% 8/10/56 (b)
|
2,273,000
|
1,950,879
|
|
Class E, 3% 8/10/56 (b)
|
1,848,000
|
1,482,069
|
|
Series 2019-GC43 Class E, 3% 11/10/52 (b)
|
2,772,000
|
2,278,795
|
|
Series 2020-420K Class E, 3.3118% 11/10/42 (b)(d)
|
2,081,000
|
1,778,114
|
|
Series 2020-GC46:
|
|||
Class D, 2.6% 2/15/53 (b)
|
2,756,000
|
2,203,591
|
|
Class E, 2.6% 2/15/53 (b)
|
329,000
|
248,160
|
|
Cologix Data Centers U.S. Issuer, LLC / Cologix Data Centers U.S. Co.-Issuer, LLC Series 2021-1A Class C, 5.99% 12/26/51 (b)
|
1,500,000
|
1,446,298
|
|
COMM Mortgage Trust:
|
|||
floater Series 2018-HCLV Class G, 1 month U.S. LIBOR + 5.050% 5.2473% 9/15/33 (b)(d)(f)
|
1,487,000
|
1,277,762
|
|
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (b)
|
2,840,000
|
2,414,863
|
|
Series 2012-CR1:
|
|||
Class D, 5.4371% 5/15/45 (b)(d)
|
7,226,000
|
6,572,761
|
|
Class G, 2.462% 5/15/45 (b)(c)
|
2,322,000
|
467,867
|
|
Series 2013-CR10 Class D, 4.8998% 8/10/46 (b)(d)
|
3,673,000
|
3,655,200
|
|
Series 2013-LC6 Class D, 4.2881% 1/10/46 (b)(d)
|
5,644,000
|
5,554,461
|
|
Series 2014-CR15 Class D, 4.6897% 2/10/47 (b)(d)
|
1,060,000
|
1,065,458
|
|
Series 2014-CR17 Class E, 4.8475% 5/10/47 (b)(d)
|
589,000
|
432,716
|
|
Series 2014-UBS2 Class D, 5.0039% 3/10/47 (b)(d)
|
3,454,000
|
3,367,702
|
|
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(d)
|
4,405,000
|
4,204,598
|
|
Series 2017-CD4 Class D, 3.3% 5/10/50 (b)
|
3,234,000
|
2,797,687
|
|
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b)
|
1,146,000
|
1,003,577
|
|
Commercial Mortgage Trust Series 2016-CD2 Class D, 2.7325% 11/10/49 (d)
|
1,680,000
|
1,303,438
|
|
Commercial Mortgage Trust pass-thru certificates:
|
|||
Series 2012-CR2:
|
|||
Class D, 4.8305% 8/15/45 (b)(d)
|
789,000
|
777,327
|
|
Class E, 4.8305% 8/15/45 (b)(d)
|
5,385,400
|
4,811,316
|
|
Class F, 4.25% 8/15/45 (b)
|
7,162,000
|
5,707,899
|
|
Series 2014-CR2 Class G, 4.25% 8/15/45 (b)(c)
|
1,556,000
|
858,756
|
|
Core Industrial Trust floater Series 2019-CORE Class E, 1 month U.S. LIBOR + 1.900% 2.091% 12/15/31 (b)(d)(f)
|
2,385,600
|
2,289,771
|
|
CPT Mortgage Trust sequential payer Series 2019-CPT Class F, 2.9968% 11/13/39 (b)(d)
|
2,772,000
|
2,388,238
|
|
Credit Suisse Commercial Mortgage Trust floater Series 2021-SOP2 Class F, 1 month U.S. LIBOR + 4.210% 4.408% 6/15/34 (b)(f)
|
2,741,619
|
2,666,109
|
|
Credit Suisse First Boston Mortgage Securities Corp. Series 1998-C1 Class H, 6% 5/17/40 (b)(c)
|
371,772
|
129,785
|
|
Credit Suisse Mortgage Trust:
|
|||
floater:
|
|||
Series 2019-ICE4 Class F, 1 month U.S. LIBOR + 2.650% 2.841% 5/15/36 (b)(d)(f)
|
1,512,000
|
1,487,423
|
|
Series 2020-FACT Class F, 1 month U.S. LIBOR + 6.150% 6.348% 10/15/37 (b)(d)(f)
|
2,100,000
|
2,109,835
|
|
Series 2021-4SZN Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.960% 4.0665% 11/15/23 (b)(d)(f)
|
7,098,000
|
7,046,400
|
|
Series 2021-BPNY Class A, 1 month U.S. LIBOR + 3.710% 3.9064% 8/15/23 (b)(d)(f)
|
2,289,000
|
2,280,116
|
|
Series 2019-UVIL Class E, 3.2833% 12/15/41 (b)(d)
|
2,289,000
|
1,898,657
|
|
Series 2020-NET Class F, 3.7042% 8/15/37 (b)(d)
|
918,000
|
897,120
|
|
Series 2021-BRIT Class A, 1 month U.S. LIBOR + 3.450% 3.7092% 5/15/23 (b)(d)(f)
|
3,724,760
|
3,662,647
|
|
CRSNT Trust floater Series 2021-MOON:
|
|||
Class F, 1 month U.S. LIBOR + 3.500% 3.7% 4/15/36 (b)(d)(f)
|
840,000
|
820,688
|
|
Class G, 1 month U.S. LIBOR + 4.500% 4.7% 4/15/36 (b)(d)(f)
|
493,000
|
481,893
|
|
CSAIL Commercial Mortgage Trust:
|
|||
Series 2017-C8 Class D, 4.475% 6/15/50 (b)(d)
|
3,902,000
|
3,324,937
|
|
Series 2017-CX10 Class UESD, 4.2366% 10/15/32 (b)(d)
|
1,890,000
|
1,850,051
|
|
Series 2017-CX9 Class D, 4.1409% 9/15/50 (b)(d)
|
1,615,000
|
1,385,509
|
|
CSMC Trust:
|
|||
floater Series 2017-CHOP Class F, 1 month U.S. LIBOR + 4.350% 4.541% 7/15/32 (b)(d)(f)
|
2,686,000
|
2,524,840
|
|
Series 2017-MOON Class E, 3.1965% 7/10/34 (b)(d)
|
1,132,000
|
1,126,168
|
|
DBCCRE Mortgage Trust Series 2014-ARCP:
|
|||
Class D, 4.9345% 1/10/34 (b)(d)
|
833,000
|
832,274
|
|
Class E, 4.9345% 1/10/34 (b)(d)
|
4,264,000
|
4,218,338
|
|
DBGS Mortgage Trust:
|
|||
Series 2018-C1:
|
|||
Class C, 4.6337% 10/15/51 (d)
|
777,000
|
778,502
|
|
Class D, 2.8837% 10/15/51 (b)(d)
|
3,459,000
|
2,987,481
|
|
Series 2019-1735 Class F, 4.1946% 4/10/37 (b)(d)
|
1,000,000
|
855,941
|
|
DC Office Trust Series 2019-MTC Class E, 3.072% 9/15/45 (b)(d)
|
1,029,000
|
884,933
|
|
ELP Commercial Mortgage Trust floater Series 2021-ELP Class J, 1 month U.S. LIBOR + 3.610% 3.8069% 11/15/38 (b)(d)(f)
|
2,289,000
|
2,236,168
|
|
Extended Stay America Trust floater Series 2021-ESH Class F, 1 month U.S. LIBOR + 3.700% 3.892% 7/15/38 (b)(d)(f)
|
2,808,714
|
2,766,524
|
|
GPMT, Ltd. / GPMT LLC floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.950% 3.1207% 11/21/35 (b)(d)(f)
|
1,227,000
|
1,225,092
|
|
GS Mortgage Securities Corp. II Series 2010-C1 Class B, 5.148% 8/10/43 (b)
|
247,016
|
246,822
|
|
GS Mortgage Securities Corp. Trust floater Series 2019-70P Class F, 1 month U.S. LIBOR + 2.650% 2.841% 10/15/36 (b)(d)(f)
|
2,550,000
|
2,374,583
|
|
GS Mortgage Securities Trust:
|
|||
Series 2011-GC5:
|
|||
Class D, 5.1577% 8/10/44 (b)(d)
|
1,929,752
|
892,510
|
|
Class E, 5.1577% 8/10/44 (b)(d)
|
2,432,000
|
218,880
|
|
Class F, 4.5% 8/10/44 (b)(c)
|
4,308,000
|
31,267
|
|
Series 2012-GC6 Class E, 5% 1/10/45 (b)(d)
|
165,266
|
163,200
|
|
Series 2012-GC6I Class F, 5% 1/10/45 (c)(d)
|
1,508,000
|
1,261,706
|
|
Series 2012-GCJ7 Class F, 5% 5/10/45 (b)(c)
|
1,171,131
|
347,163
|
|
Series 2012-GCJ9 Class D, 4.7376% 11/10/45 (b)(d)
|
4,238,000
|
4,213,030
|
|
Series 2013-GC12 Class D, 4.4517% 6/10/46 (b)(d)
|
869,000
|
848,143
|
|
Series 2013-GC16:
|
|||
Class D, 5.3107% 11/10/46 (b)(d)
|
3,923,000
|
3,919,322
|
|
Class F, 3.5% 11/10/46 (b)
|
2,530,000
|
1,882,120
|
|
Series 2016-GS2 Class D, 2.753% 5/10/49 (b)
|
2,058,050
|
1,804,490
|
|
Series 2017-GS6 Class D, 3.243% 5/10/50 (b)
|
4,676,000
|
4,249,925
|
|
Series 2019-GC38 Class D, 3% 2/10/52 (b)
|
1,162,000
|
1,016,238
|
|
Series 2019-GC39 Class D, 3% 5/10/52 (b)
|
2,830,000
|
2,425,521
|
|
Series 2019-GC40:
|
|||
Class D, 3% 7/10/52 (b)
|
2,079,000
|
1,784,490
|
|
Class DBF, 3.5497% 7/10/52 (b)(d)
|
2,523,000
|
2,402,943
|
|
Series 2019-GC42:
|
|||
Class D, 2.8% 9/1/52 (b)
|
4,807,000
|
4,046,509
|
|
Class E, 2.8% 9/1/52 (b)
|
2,519,000
|
2,048,447
|
|
Series 2019-GS5 Class C, 4.299% 3/10/50 (d)
|
2,499,000
|
2,515,605
|
|
Series 2019-GSA1 Class E, 2.8% 11/10/52 (b)
|
1,655,000
|
1,362,552
|
|
Series 2020-GC45:
|
|||
Class D, 2.85% 2/13/53 (b)
|
2,289,000
|
1,919,575
|
|
Class SWD, 3.2185% 12/13/39 (b)(d)
|
1,764,000
|
1,519,354
|
|
Series 2020-GC47 Class D, 3.4549% 5/12/53 (b)(d)
|
756,000
|
688,854
|
|
Series 2021-RENT Class G, 1 month U.S. LIBOR + 5.700% 5.8617% 11/21/35 (b)(d)(f)
|
6,401,672
|
6,400,173
|
|
Hilton U.S.A. Trust:
|
|||
Series 2016-HHV:
|
|||
Class E, 4.1935% 11/5/38 (b)(d)
|
3,079,000
|
2,994,415
|
|
Class F, 4.1935% 11/5/38 (b)(d)
|
5,977,000
|
5,554,929
|
|
Series 2016-SFP:
|
|||
Class D, 4.9269% 11/5/35 (b)
|
1,556,000
|
1,554,012
|
|
Class F, 6.1552% 11/5/35 (b)
|
3,595,000
|
3,586,145
|
|
Home Partners of America Trust Series 2019-1:
|
|||
Class E, 3.604% 9/17/39 (b)
|
1,426,492
|
1,363,094
|
|
Class F, 4.101% 9/17/39 (b)
|
231,466
|
222,954
|
|
Hudson Yards Mortgage Trust:
|
|||
Series 2019-30HY Class E, 3.4431% 7/10/39 (b)(d)
|
1,947,000
|
1,855,417
|
|
Series 2019-55HY Class F, 2.9428% 12/10/41 (b)(d)
|
1,617,000
|
1,401,847
|
|
IMT Trust Series 2017-APTS:
|
|||
Class EFL, 1 month U.S. LIBOR + 2.150% 2.3411% 6/15/34 (b)(d)(f)
|
1,327,956
|
1,312,720
|
|
Class FFL, 1 month U.S. LIBOR + 2.850% 3.0411% 6/15/34 (b)(d)(f)
|
544,983
|
540,144
|
|
Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (b)
|
2,083,000
|
1,966,533
|
|
JPMBB Commercial Mortgage Securities Trust:
|
|||
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b)
|
604,000
|
511,018
|
|
Series 2014-C26 Class D, 3.8769% 1/15/48 (b)(d)
|
2,329,000
|
2,198,855
|
|
Series 2015-C32 Class C, 4.6514% 11/15/48 (d)
|
1,500,000
|
1,209,181
|
|
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.3881% 12/15/49 (b)(d)
|
2,418,000
|
2,016,574
|
|
JPMDB Commercial Mortgage Securities Trust:
|
|||
Series 2016-C4 Class D, 3.0705% 12/15/49 (b)(d)
|
3,867,000
|
3,398,733
|
|
Series 2017-C7 Class D, 3% 10/15/50 (b)
|
1,813,000
|
1,527,462
|
|
Series 2018-C8 Class D, 3.2179% 6/15/51 (b)(d)
|
1,171,000
|
951,314
|
|
Series 2019-COR6:
|
|||
Class D, 2.5% 11/13/52 (b)
|
1,354,000
|
1,133,965
|
|
Class E, 2.5% 11/13/52 (b)
|
2,582,000
|
2,001,424
|
|
Series 2020-COR7 Class D, 1.75% 5/13/53 (b)
|
1,535,000
|
1,216,371
|
|
JPMorgan Chase Commercial Mortgage Securities Trust:
|
|||
floater:
|
|||
Series 2019-MFP:
|
|||
Class E, 1 month U.S. LIBOR + 2.160% 2.351% 7/15/36 (b)(d)(f)
|
2,292,000
|
2,228,239
|
|
Class F, 1 month U.S. LIBOR + 3.000% 3.191% 7/15/36 (b)(d)(f)
|
777,000
|
755,005
|
|
Series 2021-MHC Class E, 1 month U.S. LIBOR + 2.450% 2.641% 4/15/38 (b)(d)(f)
|
3,060,000
|
2,983,343
|
|
Series 2011-C3:
|
|||
Class E, 5.5237% 2/15/46 (b)(d)
|
3,008,000
|
1,084,787
|
|
Class G, 4.409% 2/15/46 (b)(d)
|
1,082,000
|
87,462
|
|
Class H, 4.409% 2/15/46 (b)(c)(d)
|
2,622,000
|
150,187
|
|
Series 2011-C4:
|
|||
Class C, 5.3889% 7/15/46 (b)(d)
|
795,171
|
811,438
|
|
Class D, 5.5266% 7/15/46 (b)(d)
|
2,500,000
|
2,508,471
|
|
Class F, 3.873% 7/15/46 (b)
|
494,000
|
475,851
|
|
Class H, 3.873% 7/15/46 (b)
|
2,683,000
|
2,495,892
|
|
Class NR, 3.873% 7/15/46 (b)
|
1,322,500
|
1,256,748
|
|
Series 2012-CBX:
|
|||
Class D, 4.7752% 6/15/45 (b)(d)
|
3,373,000
|
3,038,398
|
|
Class E, 4.7752% 6/15/45 (b)(d)
|
3,206,000
|
1,442,700
|
|
Class F, 4% 6/15/45 (b)
|
3,743,000
|
767,315
|
|
Class G 4% 6/15/45 (b)
|
4,129,000
|
312,071
|
|
Series 2013-LC11:
|
|||
Class D, 4.1642% 4/15/46 (d)
|
3,677,000
|
3,019,881
|
|
Class E, 3.25% 4/15/46 (b)(d)
|
104,000
|
77,059
|
|
Class F, 3.25% 4/15/46 (b)(d)
|
5,894,000
|
1,881,365
|
|
Series 2014-DSTY:
|
|||
Class D, 3.8046% 6/10/27 (b)(c)(d)
|
3,213,000
|
208,845
|
|
Class E, 3.8046% 6/10/27 (b)(c)(d)
|
4,232,000
|
84,640
|
|
Series 2018-AON Class F, 4.6132% 7/5/31 (b)(d)
|
2,150,000
|
2,103,769
|
|
Series 2019-OSB Class E, 3.7828% 6/5/39 (b)(d)
|
2,350,000
|
2,226,991
|
|
Series 2020-NNN:
|
|||
Class EFX, 3.972% 1/16/37 (b)
|
2,771,000
|
2,669,270
|
|
Class FFX, 4.6254% 1/16/37 (b)
|
2,388,000
|
2,280,686
|
|
Class GFX, 4.6882% 1/16/37 (b)(d)
|
942,000
|
878,869
|
|
KNDR Trust floater Series 2021-KIND Class F, 1 month U.S. LIBOR + 3.950% 4.141% 8/15/38 (b)(d)(f)
|
4,472,000
|
4,389,131
|
|
Liberty Street Trust Series 2016-225L Class E, 4.6485% 2/10/36 (b)(d)
|
2,063,000
|
2,020,666
|
|
LIFE Mortgage Trust floater Series 2021-BMR Class G, 1 month U.S. LIBOR + 2.950% 3.141% 3/15/38 (b)(d)(f)
|
14,160,668
|
13,770,628
|
|
Market Mortgage Trust Series 2020-525M Class F, 2.9406% 2/12/40 (b)(d)
|
1,976,000
|
1,684,316
|
|
MED Trust floater Series 2021-MDLN Class G, 1 month U.S. LIBOR + 5.250% 5.442% 11/15/38 (b)(d)(f)
|
12,817,000
|
12,506,890
|
|
Merit floater Series 2021-STOR Class G, 1 month U.S. LIBOR + 2.750% 2.941% 7/15/38 (b)(d)(f)
|
735,000
|
712,916
|
|
MHC Commercial Mortgage Trust floater Series 2021-MHC Class G, 1 month U.S. LIBOR + 3.200% 3.392% 4/15/38 (b)(d)(f)
|
14,000,000
|
13,684,632
|
|
MHC Trust floater Series 2021-MHC2 Class F, 1 month U.S. LIBOR + 2.400% 2.591% 5/15/23 (b)(d)(f)
|
3,850,000
|
3,717,029
|
|
MHP Commercial Mortgage Trust floater Series 2022-MHIL Class G, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.950% 4.0567% 1/15/27 (b)(d)(f)
|
2,352,000
|
2,308,166
|
|
MOFT Trust Series 2020-ABC:
|
|||
Class D, 3.4767% 2/10/42 (b)(d)
|
1,144,000
|
1,017,043
|
|
Class E, 3.4767% 2/10/42 (b)(d)
|
841,000
|
705,597
|
|
Morgan Stanley BAML Trust:
|
|||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31
|
1,666,000
|
1,545,729
|
|
Series 2012-C5 Class E, 4.6261% 8/15/45 (b)(d)
|
889,000
|
887,878
|
|
Series 2012-C6 Class D, 4.6023% 11/15/45 (b)(d)
|
3,633,000
|
3,603,124
|
|
Series 2012-C6, Class F, 4.6023% 11/15/45 (b)(d)
|
1,575,000
|
1,361,326
|
|
Series 2013-C12 Class D, 4.7625% 10/15/46 (b)(d)
|
3,996,000
|
3,777,617
|
|
Series 2013-C13:
|
|||
Class D, 4.8967% 11/15/46 (b)(d)
|
5,150,000
|
4,848,647
|
|
Class E, 4.8967% 11/15/46 (b)(d)
|
1,666,000
|
1,374,110
|
|
Series 2013-C8 Class D, 4.0218% 12/15/48 (b)(d)
|
1,883,000
|
1,874,625
|
|
Series 2013-C9:
|
|||
Class D, 4.1079% 5/15/46 (b)(d)
|
4,440,000
|
4,143,551
|
|
Class E, 4.1079% 5/15/46 (b)(d)
|
1,594,370
|
1,413,402
|
|
Series 2016-C30 Class D, 3% 9/15/49 (b)
|
798,000
|
586,258
|
|
Series 2017-C33 Class D, 3.356% 5/15/50 (b)
|
2,932,000
|
2,611,636
|
|
Morgan Stanley Capital I Trust:
|
|||
Series 1998-CF1 Class G, 7.35% 7/15/32 (b)(d)
|
27,754
|
27,794
|
|
Series 2011-C2:
|
|||
Class D, 5.2113% 6/15/44 (b)(d)
|
4,465,311
|
4,346,694
|
|
Class F, 5.2113% 6/15/44 (b)(c)(d)
|
3,015,000
|
1,959,750
|
|
Series 2011-C3:
|
|||
Class C, 5.0856% 7/15/49 (b)(d)
|
458,464
|
464,392
|
|
Class D, 5.0856% 7/15/49 (b)(d)
|
8,074,000
|
8,028,495
|
|
Class E, 5.0856% 7/15/49 (b)(c)(d)
|
2,610,000
|
2,338,788
|
|
Class F, 5.0856% 7/15/49 (b)(d)
|
984,000
|
704,490
|
|
Class G, 5.0856% 7/15/49 (b)(c)(d)
|
3,536,800
|
1,908,878
|
|
Series 2012-C4 Class D, 5.4276% 3/15/45 (b)(d)
|
1,624,000
|
1,537,347
|
|
Series 2015-MS1 Class D, 4.0312% 5/15/48 (b)(d)
|
4,300,000
|
3,870,649
|
|
Series 2015-UBS8 Class D, 3.18% 12/15/48 (b)
|
1,747,000
|
1,380,827
|
|
Series 2016-BNK2 Class C, 3% 11/15/49 (b)
|
4,506,000
|
3,750,317
|
|
Series 2017-CLS Class F, 1 month U.S. LIBOR + 2.600% 2.791% 11/15/34 (b)(d)(f)
|
916,000
|
902,199
|
|
Series 2018-MP Class E, 4.276% 7/11/40 (b)(d)
|
2,499,000
|
2,151,242
|
|
Series 2020-CNP Class D, 2.4276% 4/5/42 (b)(d)
|
1,043,000
|
847,173
|
|
Motel 6 Trust floater Series 2021-MTL6:
|
|||
Class F, 1 month U.S. LIBOR + 3.550% 3.7411% 9/15/38 (b)(d)(f)
|
1,116,219
|
1,098,047
|
|
Class G, 1 month U.S. LIBOR + 4.700% 4.8911% 9/15/38 (b)(d)(f)
|
1,096,081
|
1,075,429
|
|
Class H, 1 month U.S. LIBOR + 6.000% 6.1911% 9/15/38 (b)(d)(f)
|
596,468
|
594,416
|
|
MRCD Mortgage Trust Series 2019-PARK:
|
|||
Class G, 2.7175% 12/15/36 (b)
|
10,373,000
|
9,513,276
|
|
Class J, 4.25% 12/15/36 (b)
|
5,222,000
|
4,827,968
|
|
MSCCG Trust floater sequential payer Series 2018-SELF Class F, 1 month U.S. LIBOR + 3.050% 3.241% 10/15/37 (b)(d)(f)
|
1,024,000
|
1,000,919
|
|
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(d)
|
1,014,000
|
901,321
|
|
Natixis Commercial Mortgage Securities Trust:
|
|||
floater Series 2018-FL1:
|
|||
Class WAN1, 1 month U.S. LIBOR + 2.750% 2.8563% 6/15/35 (b)(d)(f)
|
262,000
|
230,799
|
|
Class WAN2, 1 month U.S. LIBOR + 3.750% 3.8563% 6/15/35 (b)(c)(d)(f)
|
222,000
|
188,730
|
|
Series 2018-285M Class F, 3.7904% 11/15/32 (b)(d)
|
909,000
|
899,244
|
|
Series 2018-TECH:
|
|||
Class E, 1 month U.S. LIBOR + 2.250% 2.4411% 11/15/34 (b)(d)(f)
|
638,000
|
618,800
|
|
Class F, 1 month U.S. LIBOR + 3.000% 3.1911% 11/15/34 (b)(d)(f)
|
96,000
|
94,066
|
|
Class G, 1 month U.S. LIBOR + 4.000% 4.1911% 11/15/34 (b)(d)(f)
|
572,000
|
553,592
|
|
Series 2019-10K:
|
|||
Class E, 4.1346% 5/15/39 (b)(d)
|
984,000
|
860,384
|
|
Class F, 4.1346% 5/15/39 (b)(d)
|
3,014,000
|
2,523,521
|
|
Series 2020-2PAC:
|
|||
Class AMZ2, 3.5% 1/15/37 (b)(d)
|
1,754,950
|
1,708,260
|
|
Class AMZ3, 3.5% 1/15/37 (b)(d)
|
822,675
|
789,522
|
|
Class MSK3, 3.25% 12/15/36 (b)(d)
|
1,755,550
|
1,638,018
|
|
OPG Trust floater Series 2021-PORT Class J, 1 month U.S. LIBOR + 3.340% 3.537% 10/15/36 (b)(d)(f)
|
2,213,000
|
2,144,594
|
|
PKHL Commercial Mortgage Trust floater Series 2021-MF:
|
|||
Class F, 1 month U.S. LIBOR + 3.350% 3.542% 7/15/38 (b)(d)(f)
|
2,225,000
|
2,170,979
|
|
Class NR, 1 month U.S. LIBOR + 6.000% 6.192% 7/15/38 (b)(d)(f)
|
631,000
|
616,055
|
|
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b)(c)
|
1,631,724
|
1,870,435
|
|
SFO Commercial Mortgage Trust floater Series 2021-555 Class F, 1 month U.S. LIBOR + 3.650% 3.841% 5/15/38 (b)(d)(f)
|
1,383,000
|
1,351,845
|
|
SG Commercial Mortgage Securities Trust:
|
|||
Series 2019-PREZ Class F, 3.4771% 9/15/39 (b)(d)
|
3,206,000
|
2,785,224
|
|
Series 2020-COVE:
|
|||
Class F, 3.7276% 3/15/37 (b)(d)
|
3,105,000
|
2,840,657
|
|
Class G, 3.7276% 3/15/37 (b)(d)
|
858,000
|
747,921
|
|
SLG Office Trust Series 2021-OVA Class G, 2.8506% 7/15/41 (b)
|
6,620,000
|
5,113,800
|
|
SMRT Commercial Mortgage Trust floater Series 2022-MINI Class F, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.350% 3.45% 1/15/24 (b)(d)(f)
|
3,360,000
|
3,311,453
|
|
SOHO Trust Series 2021-SOHO Class D, 2.6966% 8/10/38 (b)(d)
|
2,499,000
|
2,104,163
|
|
SREIT Trust floater:
|
|||
Series 2021-IND Class G, 1 month U.S. LIBOR + 3.260% 3.4568% 10/15/38 (b)(d)(f)
|
3,339,000
|
3,194,081
|
|
Series 2021-MFP Class G, 1 month U.S. LIBOR + 2.970% 3.1649% 11/15/38 (b)(d)(f)
|
5,310,000
|
5,180,950
|
|
Series 2021-MFP2 Class J, 1 month U.S. LIBOR + 3.910% 4.1065% 11/15/36 (b)(d)(f)
|
1,803,000
|
1,762,451
|
|
STWD Trust floater sequential payer Series 2021-LIH:
|
|||
Class F, 1 month U.S. LIBOR + 3.550% 3.742% 11/15/36 (b)(d)(f)
|
2,500,000
|
2,443,673
|
|
Class G, 1 month U.S. LIBOR + 4.200% 4.391% 11/15/36 (b)(d)(f)
|
1,134,000
|
1,106,573
|
|
TPGI Trust floater Series 2021-DGWD Class G, 1 month U.S. LIBOR + 3.850% 4.04% 6/15/26 (b)(d)(f)
|
1,008,000
|
977,384
|
|
TTAN floater Series 2021-MHC Class E, 1 month U.S. LIBOR + 2.400% 2.592% 3/15/38 (b)(d)(f)
|
4,116,889
|
4,013,773
|
|
UBS Commercial Mortgage Trust:
|
|||
Series 2012-C1:
|
|||
Class D, 5.8238% 5/10/45 (b)(d)
|
3,272,000
|
3,064,438
|
|
Class E, 5% 5/10/45 (b)(d)
|
1,911,000
|
736,889
|
|
Class F, 5% 5/10/45 (b)(d)
|
2,484,000
|
124,522
|
|
Series 2018-C8 Class C, 4.6992% 2/15/51 (d)
|
756,000
|
782,203
|
|
UBS-BAMLL Trust:
|
|||
Series 12-WRM Class D, 4.238% 6/10/30 (b)(d)
|
2,090,000
|
1,578,647
|
|
Series 2012-WRM Class C, 4.238% 6/10/30 (b)(d)
|
890,000
|
786,283
|
|
UBS-Citigroup Commercial Mortgage Trust Series 2011-C1 Class C, 6.6232% 1/10/45 (b)(d)
|
672,000
|
665,280
|
|
VASA Trust:
|
|||
floater Series 2021-VASA Class G, 1 month U.S. LIBOR + 5.000% 5.191% 7/15/39 (b)(d)(f)
|
693,000
|
681,990
|
|
floater sequential payer Series 2021-VASA Class F, 1 month U.S. LIBOR + 3.900% 4.091% 7/15/39 (b)(d)(f)
|
3,009,000
|
2,960,122
|
|
VMC Finance Ltd. floater Series 2021-HT1 Class B, 1 month U.S. LIBOR + 4.500% 4.6367% 1/18/37 (b)(d)(f)
|
9,895,000
|
9,683,509
|
|
Wells Fargo Commercial Mortgage Trust:
|
|||
floater Series 2021-SAVE:
|
|||
Class D, 1 month U.S. LIBOR + 2.500% 2.691% 2/15/40 (b)(d)(f)
|
719,036
|
708,230
|
|
Class E, 1 month U.S. LIBOR + 3.650% 3.841% 2/15/40 (b)(d)(f)
|
511,779
|
504,089
|
|
sequential payer Series 2020-C57 Class D, 2.5% 8/15/53 (b)
|
2,108,000
|
1,785,671
|
|
Series 2012-LC5:
|
|||
Class D, 4.7434% 10/15/45 (b)(d)
|
6,116,000
|
6,129,428
|
|
Class E, 4.7434% 10/15/45 (b)(d)
|
1,051,000
|
1,033,731
|
|
Class F, 4.7434% 10/15/45 (b)(d)
|
588,000
|
533,241
|
|
Series 2015-NXS4 Class D, 3.6859% 12/15/48 (d)
|
1,834,000
|
1,736,641
|
|
Series 2016-BNK1 Class D, 3% 8/15/49 (b)
|
1,526,000
|
1,033,823
|
|
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b)
|
4,250,000
|
3,597,167
|
|
Series 2017-RB1 Class D, 3.401% 3/15/50 (b)
|
1,824,000
|
1,626,730
|
|
WF-RBS Commercial Mortgage Trust:
|
|||
sequential payer Series 2011-C4I Class G, 4.8877% 6/15/44 (c)(d)
|
1,252,600
|
69,618
|
|
Series 2011-C3:
|
|||
Class D, 5.5133% 3/15/44 (b)(d)
|
4,147,832
|
1,804,307
|
|
Class E, 5% 3/15/44 (b)(c)
|
1,258,000
|
75,480
|
|
Class F, 5% 3/15/44 (b)(c)
|
865,862
|
84
|
|
Series 2011-C4:
|
|||
Class D, 4.8877% 6/15/44 (b)(d)
|
1,616,000
|
1,538,063
|
|
Class E, 4.8877% 6/15/44 (b)(d)
|
1,274,000
|
981,551
|
|
Series 2011-C5:
|
|||
Class E, 5.5198% 11/15/44 (b)(d)
|
1,869,442
|
1,866,948
|
|
Class F, 5.25% 11/15/44 (b)(d)
|
3,930,000
|
3,607,999
|
|
Class G, 5.25% 11/15/44 (b)(d)
|
1,255,150
|
1,114,154
|
|
Series 2012-C6 Class D, 5.7285% 4/15/45 (b)(d)
|
2,601,640
|
2,597,391
|
|
Series 2012-C7:
|
|||
Class E, 4.7325% 6/15/45 (b)(d)
|
1,514,000
|
223,315
|
|
Class F, 4.5% 6/15/45 (b)
|
1,470,000
|
43,634
|
|
Class G, 4.5% 6/15/45 (b)(c)
|
4,218,750
|
418
|
|
Series 2012-C8:
|
|||
Class D, 4.8535% 8/15/45 (b)(d)
|
833,000
|
828,652
|
|
Class E, 4.8535% 8/15/45 (b)(d)
|
1,167,000
|
1,154,049
|
|
Series 2013-C11:
|
|||
Class D, 4.2386% 3/15/45 (b)(d)
|
1,865,000
|
1,828,685
|
|
Class E, 4.2386% 3/15/45 (b)(c)(d)
|
4,999,000
|
4,614,421
|
|
Series 2013-C13 Class D, 4.1411% 5/15/45 (b)(d)
|
1,499,000
|
1,455,936
|
|
Series 2013-C16 Class D, 5.0008% 9/15/46 (b)(d)
|
668,000
|
644,165
|
|
Worldwide Plaza Trust Series 2017-WWP Class F, 3.5955% 11/10/36 (b)(d)
|
4,695,000
|
3,924,766
|
|
WP Glimcher Mall Trust Series 2015-WPG:
|
|||
Class PR1, 3.516% 6/5/35 (b)(d)
|
1,638,000
|
1,397,844
|
|
Class PR2, 3.516% 6/5/35 (b)(d)
|
4,354,000
|
3,416,819
|
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $785,402,621)
|
735,244,106
|
||
Common Stocks - 0.7%
|
|||
Shares
|
Value ($)
|
||
Diversified Financial Services - 0.1%
|
|||
Cyxtera Technologies, Inc. Class A (h)
|
100,600
|
1,224,302
|
|
Homebuilders/Real Estate - 0.6%
|
|||
iStar Financial, Inc.
|
216,200
|
5,430,944
|
|
|
TOTAL COMMON STOCKS
(Cost $3,962,769)
|
6,655,246
|
||
Preferred Stocks - 2.7%
|
|||
Shares
|
Value ($)
|
||
Convertible Preferred Stocks - 0.2%
|
|||
Homebuilders/Real Estate - 0.2%
|
|||
RLJ Lodging Trust Series A, 1.95%
|
70,550
|
1,889,329
|
|
Nonconvertible Preferred Stocks - 2.5%
|
|||
Diversified Financial Services - 0.7%
|
|||
AGNC Investment Corp. Series E, 6.50% (d)
|
147,792
|
3,560,309
|
|
MFA Financial, Inc. Series B, 7.50%
|
80,525
|
1,977,694
|
|
5,538,003
|
|||
Homebuilders/Real Estate - 1.8%
|
|||
Arbor Realty Trust, Inc. Series F, 6.25% (d)(h)
|
92,000
|
2,242,960
|
|
DiamondRock Hospitality Co. 8.25%
|
25,800
|
671,809
|
|
Digitalbridge Group, Inc.:
|
|||
Series H, 7.125%
|
59,229
|
1,469,471
|
|
Series I, 7.15%
|
71,600
|
1,776,396
|
|
Dynex Capital, Inc. Series C 6.90% (d)
|
57,707
|
1,428,935
|
|
Franklin BSP Realty Trust, Inc. 7.50%
|
87,175
|
2,018,101
|
|
iStar Financial, Inc. Series G, 7.65%
|
73,100
|
1,837,727
|
|
Rexford Industrial Realty, Inc. Series B, 5.875%
|
91,475
|
2,320,721
|
|
UMH Properties, Inc. Series C, 6.75%
|
98,998
|
2,491,780
|
|
16,257,900
|
|||
TOTAL NONCONVERTIBLE PREFERRED STOCKS
|
21,795,903
|
||
|
TOTAL PREFERRED STOCKS
(Cost $23,380,530)
|
23,685,232
|
||
Bank Loan Obligations - 4.0%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Air Transportation - 0.6%
|
|||
Hanjin International Corp. 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.5% 12/23/22 (c)(d)(f)(i)
|
5,480,000
|
5,500,550
|
|
Diversified Financial Services - 2.4%
|
|||
Agellan Portfolio 9% 8/7/25 (c)(d)(i)
|
908,000
|
928,430
|
|
Mhp 2022-Mhil Mezz U.S. Secured Overnight Fin. Rate (SOFR) Indx + 5.000% 5.0992% 1/9/24 (c)(d)(f)(i)
|
5,000,000
|
5,000,000
|
|
Sunbelt Mezz U.S. Secured Overnight Fin. Rate (SOFR) Indx + 4.450% 4.6151% 1/21/27 (c)(d)(f)(i)
|
4,700,000
|
4,700,000
|
|
Veritas Multifamily Portfolio 1 month U.S. LIBOR + 8.500% 8.75% 11/15/22 (c)(d)(f)(i)
|
11,130,675
|
11,130,675
|
|
TOTAL DIVERSIFIED FINANCIAL SERVICES
|
21,759,105
|
||
Homebuilders/Real Estate - 0.3%
|
|||
DTZ U.S. Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.9586% 8/21/25 (d)(f)(i)
|
2,903,286
|
2,875,473
|
|
Hotels - 0.4%
|
|||
BRE/Everbright M6 Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 5.75% 9/9/26 (d)(f)(i)
|
1,776,900
|
1,769,490
|
|
Hilton Grand Vacations Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 3.5% 8/2/28 (d)(f)(i)
|
344,138
|
341,433
|
|
Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.75% 4/27/24 (d)(f)(i)
|
888,168
|
869,073
|
|
TOTAL HOTELS
|
2,979,996
|
||
Services - 0.1%
|
|||
CoreCivic, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.5% 12/18/24 (d)(f)(i)
|
1,096,950
|
1,087,812
|
|
Telecommunications - 0.2%
|
|||
SBA Senior Finance II, LLC Tranche B, term loan 3 month U.S. LIBOR + 1.750% 1.96% 4/11/25 (d)(f)(i)
|
1,606,882
|
1,582,377
|
|
|
TOTAL BANK LOAN OBLIGATIONS
(Cost $35,778,411)
|
35,785,313
|
||
Preferred Securities - 0.0%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Homebuilders/Real Estate - 0.0%
|
|||
Crest Clarendon Street 2002-1 Ltd. Series 2002-1A Class PS, 12/28/35 (b)(c)(d)(f)
|
3,000,000
|
60,000
|
|
Crest Dartmouth Street 2003-1 Ltd. Series 2003-1A Class PS, 6/28/38 (b)(c)(d)
|
3,100,000
|
310
|
|
|
TOTAL PREFERRED SECURITIES
(Cost $5,890,497)
|
60,310
|
||
Money Market Funds - 0.5%
|
|||
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund 0.31% (j)
(Cost $4,786,308)
|
4,785,351
|
4,786,308
|
|
|
TOTAL INVESTMENT IN SECURITIES - 99.6%
(Cost $949,227,272)
|
891,144,731
|
NET OTHER ASSETS (LIABILITIES) - 0.4%
|
3,718,827
|
NET ASSETS - 100.0%
|
894,863,558
|
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $787,300,067 or 88.0% of net assets.
|
(c)
|
Level 3 security
|
(d)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(e)
|
Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
|
(f)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(g)
|
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $32,803 or 0.0% of net assets.
|
(h)
|
Non-income producing
|
(i)
|
Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.
|
(j)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Additional information on each restricted holding is as follows:
|
||
Security
|
Acquisition Date
|
Acquisition Cost ($)
|
Fannie Mae REMIC Trust Series 2003-W10 subordinate REMIC pass thru certificates, Class 2B4, 3.2042% 6/25/43
|
9/29/03
|
0
|
Fannie Mae REMIC Trust Series 2003-W10 subordinate REMIC pass thru certificates, Class 2B5, 3.2042% 6/25/43
|
9/29/03
|
97
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
%ownership,
end
of period
|
Fidelity Cash Central Fund 0.07%
|
52,745,879
|
46,174,138
|
94,133,709
|
5,874
|
-
|
-
|
4,786,308
|
0.0%
|
Total
|
52,745,879
|
46,174,138
|
94,133,709
|
5,874
|
-
|
-
|
4,786,308
|