Interest
Rate
|
| Maturity
Date
|
| Principal
Amount
(000)#
|
| Value
|
Asset-Backed Securities (continued)
|
Collateralized Loan Obligations (cont’d.)
|
Greywolf CLO Ltd. (Cayman Islands),
|
Series 2018-01A, Class A1, 144A, 3 Month SOFR + 1.292% (Cap N/A, Floor 0.000%)
|
6.571%(c)
|
| 04/26/31
|
|
| 2,337
|
| $2,340,323
|
HPS Loan Management Ltd. (Cayman Islands),
|
Series 2015-06A, Class A1R, 144A, 3 Month SOFR + 1.262% (Cap N/A, Floor 0.000%)
|
6.504%(c)
|
| 02/05/31
|
|
| 76
|
| 76,562
|
ICG Euro CLO DAC (Ireland),
|
Series 2023-02A, Class A1, 144A, 3 Month EURIBOR + 1.730% (Cap N/A, Floor 1.730%)
|
5.428%(c)
|
| 01/26/38
|
| EUR
| 14,500
|
| 16,257,212
|
Jamestown CLO Ltd. (Cayman Islands),
|
Series 2019-14A, Class A1AR, 144A, 3 Month SOFR + 1.462% (Cap N/A, Floor 1.200%)
|
6.744%(c)
|
| 10/20/34
|
|
| 4,875
|
| 4,879,875
|
LCM Ltd. (Cayman Islands),
|
Series 34A, Class A1, 144A, 3 Month SOFR + 1.432% (Cap N/A, Floor 1.170%)
|
6.714%(c)
|
| 10/20/34
|
|
| 11,500
|
| 11,503,200
|
Madison Park Funding Ltd. (Cayman Islands),
|
Series 2019-37A, Class AR2, 144A, 3 Month SOFR + 1.530% (Cap N/A, Floor 1.530%)
|
6.831%(c)
|
| 04/15/37
|
|
| 11,000
|
| 11,024,944
|
MidOcean Credit CLO (Cayman Islands),
|
Series 2014-03A, Class A1R, 144A, 3 Month SOFR + 1.382% (Cap N/A, Floor 1.120%)
|
6.664%(c)
|
| 04/21/31
|
|
| 817
|
| 817,167
|
Monument CLO DAC (Ireland),
|
Series 01A, Class A, 144A, 3 Month EURIBOR + 1.590% (Cap N/A, Floor 1.590%)
|
5.332%(c)
|
| 05/15/37
|
| EUR
| 11,000
|
| 12,297,935
|
Northwoods Capital Ltd. (Cayman Islands),
|
Series 2017-15A, Class A1R, 144A, 3 Month SOFR + 1.472% (Cap N/A, Floor 1.472%)
|
6.285%(c)
|
| 06/20/34
|
|
| 9,500
|
| 9,504,653
|
Oaktree CLO Ltd. (Cayman Islands),
|
Series 2020-01A, Class AR, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 1.150%)
|
6.713%(c)
|
| 07/15/34
|
|
| 3,000
|
| 3,002,079
|
OFSI BSL CLO Ltd. (Cayman Islands),
|
Series 2024-13A, Class A1, 144A, 3 Month SOFR + 1.620% (Cap N/A, Floor 1.620%)
|
6.941%(c)
|
| 04/20/37
|
|
| 8,000
|
| 8,041,277
|
OFSI BSL Ltd. (Cayman Islands),
|
Series 2023-12A, Class A1, 144A, 3 Month SOFR + 2.400% (Cap N/A, Floor 2.400%)
|
7.682%(c)
|
| 01/20/35
|
|
| 7,000
|
| 7,010,931
|
OZLM Ltd. (Cayman Islands),
|
Series 2015-11A, Class A1R, 144A, 3 Month SOFR + 1.512% (Cap N/A, Floor 0.000%)
|
6.767%(c)
|
| 10/30/30
|
|
| 78
|
| 77,946
|
Palmer Square CLO Ltd. (Cayman Islands),
|
Series 2014-01A, Class A1R2, 144A, 3 Month SOFR + 1.392% (Cap N/A, Floor 1.130%)
|
6.677%(c)
|
| 01/17/31
|
|
| 85
|
| 85,561
|