1
Portfolio
of
Investments
September
30,
2024
JLS
(Unaudited)
PRINCIPAL
DESCRIPTION  
RATE
MATURITY
VALUE
LONG-TERM
INVESTMENTS
-
131.5%   
(98.7%
of
Total
Investments)
–
MORTGAGE-BACKED
SECURITIES
-
89.7%
(67.3%
of
Total
Investments)
–
$
500,000
(a),(b)
Alen
2021-ACEN
Mortgage
Trust,
(TSFR1M
+
4.114%),
2021
ACEN
9.211
%
04/15/34
$
214,000
1,000,000
(c)
BANK
2017-BNK6,
2017
BNK6
3.851
07/15/60
901,512
1,000,000
(b)
BANK
2019-BNK21,
2019
BN21
2.500
10/17/52
688,885
1,000,000
(b)
BBCMS
Mortgage
Trust
2020-C6,
2020
C6
3.811
02/15/53
807,146
1,750,000
(b)
BBCMS
Trust
2015-SRCH,
2015
SRCH
5.122
08/10/35
1,524,048
1,500,000
(b)
Benchmark
2020-B18
Mortgage
Trust,
2020
B18
4.139
07/15/53
1,422,507
845,000
(c)
CD
2016-CD1
Mortgage
Trust,
2016
CD1
3.631
08/10/49
579,180
1,500,000
CD
2016-CD2
Mortgage
Trust,
2016
CD2
4.109
11/10/49
1,121,262
1,978,000
CD
2017-CD3
Mortgage
Trust,
2017
CD3
4.688
02/10/50
834,635
24,173
(b)
CF
2020-P1
Mortgage
Trust,
2020
P1
2.840
04/15/25
23,934
672,000
(b)
CFK
Trust
2019-FAX,
2019
FAX
4.791
01/15/39
617,779
368,328
CHL
Mortgage
Pass-Through
Trust
2006-HYB1,
2006
HYB1
4.936
03/20/36
337,154
1,500,000
(b),(c)
COMM
2013-LC13
Mortgage
Trust,
2013
LC13
5.577
08/10/46
1,288,771
925,000
(c)
COMM
2014-CCRE15
Mortgage
Trust,
2014
CR15
4.104
02/10/47
872,839
770,332
(c)
COMM
2014-CCRE17
Mortgage
Trust,
2014
CR17
4.377
05/10/47
752,542
1,500,000
(b)
COMM
2014-UBS3
Mortgage
Trust,
2014
UBS3
4.767
06/10/47
584,091
1,400,000
(b)
COMM
2015-CCRE22
Mortgage
Trust,
2015
CR22
3.000
03/10/48
949,240
2,000,000
(c)
COMM
2015-CCRE23
Mortgage
Trust,
2015
CR23
4.408
05/10/48
1,577,824
1,800,000
COMM
2015-CCRE24
Mortgage
Trust,
2015
CR24
3.463
08/10/48
1,581,100
892,000
(c)
COMM
2015-CCRE25
Mortgage
Trust,
2015
CR25
4.667
08/10/48
847,044
1,245,000
(c)
COMM
2015-CCRE25
Mortgage
Trust,
2015
CR25
3.768
08/10/48
1,117,793
650,569
(c)
COMM
Mortgage
Trust
4.585
02/10/47
625,238
625,000
(a),(b)
Connecticut
Avenue
Securities
Trust
2021-R03,
(SOFR30A
+
5.500%),
2021
R03
10.780
12/25/41
654,885
2,100,000
(a),(b)
Connecticut
Avenue
Securities
Trust
2022-R01,
(SOFR30A
+
6.000%),
2022
R01
11.280
12/25/41
2,210,006
1,000,000
(a),(b)
Connecticut
Avenue
Securities
Trust
2022-R03,
(SOFR30A
+
9.850%),
2022
R03
14.823
03/25/42
1,136,479
2,840,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2022-R05,
(SOFR30A
+
7.000%),
2022
R05
12.280
04/25/42
3,100,038
960,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2022-R07,
(SOFR30A
+
6.800%),
2022
R07
12.063
06/25/42
1,080,012
1,900,000
(a),(b)
Connecticut
Avenue
Securities
Trust
2022-R07,
(SOFR30A
+
12.000%),
2022
R07
17.263
06/25/42
2,290,697
450,000
(a),(b)
Connecticut
Avenue
Securities
Trust
2022-R09,
(SOFR30A
+
6.750%),
2022
R09
12.013
09/25/42
500,996
4,000,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R02,
(SOFR30A
+
5.550%),
2023
R02
10.830
01/25/43
4,428,815
2,000,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R04,
(SOFR30A
+
5.350%),
2023
R04
10.613
05/25/43
2,208,194
2,250,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R05,
(SOFR30A
+
4.750%),
2023
R05
10.013
06/25/43
2,448,493
2,650,000
(a),(b)
Connecticut
Avenue
Securities
Trust
2023-R06,
(SOFR30A
+
5.900%),
2023
R06
11.180
07/25/43
2,907,259
2,280,000
(a),(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R06,
(SOFR30A
+
3.900%),
2023
R06
9.188
07/25/43
2,417,631
33,000,000
(b)
DOLP
Trust
2021-NYC,
2021
NYC,
(I/O)
0.665
05/10/41
1,104,762
80,558
(b)
Flagstar
Mortgage
Trust
2017-2,
2017
2
3.984
10/25/47
73,283
7,551,496
Freddie
Mac
Multifamily
ML
Certificates,
2021
ML12,
(I/O)
1.304
07/25/41
724,944
3,000,000
(a),(b),(c)
Freddie
Mac
STACR
REMIC
Trust
2021-DNA6,
(SOFR30A
+
7.500%),
2021
DNA6
12.780
10/25/41
3,235,468
2,270,000
(a),(b),(c)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA1,
(SOFR30A
+
7.100%),
2022
DNA1
12.380
01/25/42
2,426,167
2,270,000
(a),(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA2,
(SOFR30A
+
8.500%),
2022
DNA2
13.788
02/25/42
2,502,971
4,900,000
(a),(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA2,
(SOFR30A
+
4.750%),
2022
DNA2
10.030
02/25/42
5,191,509
3,750,000
(a),(b),(c)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA3,
(SOFR30A
+
5.650%),
2022
DNA3
8.647
04/25/42
4,051,980
Portfolio
of
Investments
September
30,
2024
(continued)
JLS
2
PRINCIPAL
DESCRIPTION  
RATE
MATURITY
VALUE
$
2,245,000
(a),(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA3,
(SOFR30A
+
9.750%),
2022
DNA3
15.087
%
04/25/42
$
2,553,601
104,186
(a)
Freddie
Mac
Strips,
(SOFR30A
+
0.058%),
2014
327,
(I/O)
0.472
03/15/44
11,314
700,000
(a),(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
+
3.097%),
2018
TWR
8.194
07/15/31
95,550
1,100,000
(a),(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
+
1.897%),
2018
TWR
6.994
07/15/31
390,500
892,000
(a),(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
+
4.222%),
2018
TWR
9.319
07/15/31
18,545
1,000,000
(a),(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
+
1.747%),
2018
TWR
6.844
07/15/31
595,000
700,000
(a),(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
+
2.397%),
2018
TWR
7.494
07/15/31
176,400
1,400,000
(a),(b),(c)
GS
Mortgage
Securities
Corp
Trust
2021-ARDN,
(TSFR1M
+
3.464%),
2021
ARDN
8.561
11/15/36
1,385,571
1,000,000
(a),(b),(c)
GS
Mortgage
Securities
Corp
Trust
2021-ARDN,
(TSFR1M
+
2.864%),
2021
ARDN
7.961
11/15/36
990,733
2,000,000
(c)
GS
Mortgage
Securities
Trust
2016-GS4,
2016
GS4
4.075
11/10/49
1,725,633
1,000,000
(b)
Hudson
Yards
2019-55HY
Mortgage
Trust,
2019
55HY
3.041
12/10/41
756,608
377,000
(b)
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-
ICON
UES,
2019
UES
4.601
05/05/32
355,874
441,000
(b)
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-
ICON
UES,
2019
UES
4.601
05/05/32
413,642
366,000
(b)
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2020-
NNN,
2020
NNN
3.972
01/16/37
137,254
2,000,000
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C22,
2014
C22
4.649
09/15/47
1,778,920
1,000,000
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C27,
2015
C27
3.898
02/15/48
904,444
760,000
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C29,
2015
C29
4.118
05/15/48
730,300
1,189,000
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2016-C1,
2016
C1
4.858
03/17/49
1,090,107
2,000,000
(c)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP5,
2017
JP5
3.904
03/15/50
1,726,434
1,930,000
(c)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP6,
2017
JP6
3.850
07/15/50
1,421,144
1,500,000
(b)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP6,
2017
JP6
4.600
07/15/50
1,040,627
1,849,000
(b),(c)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP7,
2017
JP7
4.494
09/15/50
1,080,243
1,214,000
(c)
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2014
C19,
2014
C19
4.000
12/15/47
1,158,496
226,295
Morgan
Stanley
Capital
I
Trust
2015-MS1,
2015
MS1
4.157
05/15/48
214,262
178,460
Morgan
Stanley
Mortgage
Loan
Trust
2007-15AR,
2007
15AR
3.492
11/25/37
126,544
1,000,000
(b)
MRCD
2019-MARK
Mortgage
Trust,
2019
PARK
2.718
12/15/36
635,700
750,000
(b)
MSCG
Trust
2015-ALDR,
2015
ALDR
3.577
06/07/35
692,891
250,000
(b)
MSCG
Trust
2015-ALDR,
2015
ALDR
3.577
06/07/35
226,708
1,050,000
(a),(b)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
(TSFR1M
+
4.329%),
2019
MILE
9.426
07/15/36
676,248
600,000
(a),(b)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
(TSFR1M
+
2.279%),
2019
MILE
7.376
07/15/36
474,046
1,000,000
(a),(b)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
(TSFR1M
+
2.829%),
2019
MILE
7.926
07/15/36
752,466
443,175
(a),(b)
OPEN
Trust,
(TSFR1M
+
5.236%),
2023
AIR
10.332
10/15/28
448,337
1,000,000
(a),(b),(c)
PKHL
Commercial
Mortgage
Trust
2021-MF,
(TSFR1M
+
0.994%),
2021
MF
6.091
07/15/38
956,657
1,000,000
(a),(b)
PKHL
Commercial
Mortgage
Trust
2021-MF,
(TSFR1M
+
2.114%),
2021
MF
7.211
07/15/38
798,978
1,602,435
(a),(b),(c)
SMR
2022-IND
Mortgage
Trust,
(TSFR1M
+
3.950%),
2022
IND
9.047
02/15/39
1,524,610
127,100,000
(b)
SUMIT
2022-BVUE
Mortgage
Trust,
2022
BVUE,
(I/O)
0.179
02/12/41
546,123
1,000,000
(a),(b)
TX
Trust
2024-HOU,
(TSFR1M
+
3.239%),
2024
1
8.336
06/15/39
995,104
1,250,000
(b)
VNDO
Trust
2016-350P,
2016
350P
4.033
01/10/35
1,169,419
3
PRINCIPAL
DESCRIPTION  
RATE
MATURITY
VALUE
$
1,300,000
(c)
Wells
Fargo
Commercial
Mortgage
Trust
2015-NXS1,
2015
NXS1
4.220
%
05/15/48
$
1,197,968
TOTAL
MORTGAGE-BACKED
SECURITIES
(Cost
$106,175,052)
95,936,114
PRINCIPAL
DESCRIPTION  
RATE
MATURITY
VALUE
–
ASSET-BACKED
SECURITIES
-
41.8%
(31.4%
of
Total
Investments)
–
1,233,616
(b)
AASET
2020-1
Trust,
2020
1A
6.413
01/16/40
416,652
1,500,000
(a),(b)
ACRE
Commercial
Mortgage
2021-FL4
Ltd,
(TSFR1M
reference
rate
+
2.714%
spread),
2021
FL4
7.729
12/18/37
1,432,543
515,000
(b)
Affirm
Asset
Securitization
Trust
2023-B,
2023
B
11.320
09/15/28
537,819
490,059
(b)
Air
Canada
2020-2
Class
B
Pass
Through
Trust,
2020
A
9.000
10/01/25
498,699
550,000
(b)
Avis
Budget
Rental
Car
Funding
AESOP
LLC,
2021
2A
4.080
02/20/28
516,830
982,500
(b)
Bojangles
Issuer
LLC,
2020
1A
3.832
10/20/50
978,083
750,000
(a),(b)
Bonanza
RE
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
8.450%
spread)
12.787
01/08/26
778,200
250,000
(a),(b)
Bonanza
RE
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
5.620%
spread)
10.222
03/16/25
248,250
250,000
(b)
Bonanza
RE
Ltd
5.359
01/08/25
200,000
500,000
(a),(b)
Bonanza
RE
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
4.930%
spread),
2020
A
9.532
12/23/24
501,650
343,545
(b),(c)
British
Airways
2020-1
Class
B
Pass
Through
Trust,
2020
A
8.375
11/15/28
360,487
2,000,000
(b)
Cars
Net
Lease
Mortgage
Notes
Series
2020-1,
2020
1A
4.690
12/15/50
1,827,497
775,000
(b)
CARS-DB4
LP,
2020
1A
4.520
02/15/50
737,912
2,300
(b),(d)
Carvana
Auto
Receivables
Trust
2021-N1,
2021
N1
0.000
01/10/28
239,775
2,500
(b),(d)
Carvana
Auto
Receivables
Trust
2021-P2,
2021
P2
0.000
05/10/28
526,250
250,000
(a),(b)
Cayuga
Park
CLO
Ltd,
(TSFR3M
reference
rate
+
6.262%
spread),
2020
1A
1.000
07/17/34
251,275
385,000
(a),(b)
CIFC
Funding
2020-II
Ltd,
(3-Month
LIBOR
reference
rate
+
6.762%
spread),
2020
2A
12.044
10/20/34
386,299
375,000
(a),(b)
CIFC
Funding
2022-II
Ltd,
(TSFR3M
reference
rate
+
7.000%
spread),
2022
2A
12.279
04/19/35
377,500
750,000
(a),(b)
CIFC
Funding
2022-IV
Ltd,
(SOFR
reference
rate
+
3.550%
spread),
2022
4A
8.836
07/16/35
752,843
250,000
(a),(b)
Citrus
Re
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
5.060%
spread)
5.100
06/07/25
256,400
250,000
(b)
Cologix
Data
Centers
US
Issuer
LLC,
2021
1A
5.990
12/26/51
234,087
1,000,000
(a),(b)
Elmwood
CLO
26
Ltd,
(TSFR3M
reference
rate
+
6.450%
spread),
2024
1A
11.741
04/18/37
1,031,198
909,075
(b)
EWC
Master
Issuer
LLC,
2022
1A
5.500
03/15/52
890,915
500,000
(b)
ExteNet
Issuer
LLC,
2024
1A
9.050
07/25/54
507,672
1,500,000
(b)
Frontier
Issuer
LLC,
2023
1
11.500
08/20/53
1,620,491
1,500,000
(b)
Frontier
Issuer
LLC,
2023
1
8.300
08/20/53
1,568,807
500,000
(a),(b)
GoldentTree
Loan
Management
US
CLO
1
Ltd,
(3-Month
LIBOR
reference
rate
+
7.762%
spread),
2021
11A
8.563
10/20/34
490,169
1,000,000
(a),(b)
GRACIE
POINT
INTERNATIONAL
FUNDING
2023-2,
(SOFR90A
reference
rate
+
5.400%
spread),
2023
2A
10.769
03/01/27
1,015,198
173,000
(a),(b)
Gracie
Point
International
Funding
2024-1
LLC,
(SOFR90A
reference
rate
+
7.150%
spread),
2024
1A
12.518
03/01/28
173,191
481,250
(b)
Hardee's
Funding
LLC,
2020
1A
3.981
12/20/50
452,277
500,000
(b)
Hertz
Vehicle
Financing
III
LLC,
2022
1A
4.850
06/25/26
490,640
250,000
(a),(b)
Hestia
Re
Ltd,
(1-Month
U.S.
Treasury
Bill
reference
rate
+
10.080%
spread)
14.682
04/22/25
230,000
201,829
(b)
HIN
Timeshare
Trust
2020-A,
2020
A
5.500
10/09/39
194,457
144,164
(b)
HIN
Timeshare
Trust
2020-A,
2020
A
6.500
10/09/39
137,284
750,000
(b)
Hotwire
Funding
LLC,
2024
1A
9.188
06/20/54
791,381
259,468
(b)
LUNAR
AIRCRAFT
2020-1
LTD,
2020
1A
3.376
02/15/45
248,596
500,000
(a),(b)
Madison
Park
Funding
XXXVI
Ltd,
(TSFR3M
reference
rate
+
5.460%
spread),
2019
36A
5.764
04/15/35
498,495
1,125,000
(a),(b)
Magnetite
XXIII
Ltd,
(TSFR3M
reference
rate
+
6.562%
spread),
2019
23A
7.484
01/25/35
1,129,758
250,000
(a),(b)
Matterhorn
Re
Ltd,
(SOFR
reference
rate
+
5.250%
spread)
5.889
03/24/25
253,275
500,000
(b)
Mercury
Financial
Credit
Card
Master
Trust,
2022
3A
10.680
06/21/27
503,898
500,000
(b)
Mercury
Financial
Credit
Card
Master
Trust,
2023
1A
9.590
09/20/27
503,514
500,000
(b)
Mercury
Financial
Credit
Card
Master
Trust,
2023
1A
8.040
09/20/27
502,433
Portfolio
of
Investments
September
30,
2024
(continued)
JLS
4
PRINCIPAL
DESCRIPTION  
RATE
MATURITY
VALUE
$
125,000
(b)
MetroNet
Infrastructure
Issuer
LLC,
2023
1A
10.850
%
04/20/53
$
128,803
1,000,000
(b)
MetroNet
Infrastructure
Issuer
LLC,
2024
1A
10.860
04/20/54
1,031,759
125,000
(b)
MetroNet
Infrastructure
Issuer
LLC,
2023
1A
8.010
04/20/53
130,762
1,141,000
(b)
Mexico
Remittances
Funding
Fiduciary
Estate
Management
Sarl
4.875
01/15/28
1,035,157
1,525,000
(b),(d)
Mosaic
Solar
Loan
Trust
2019-2,
2019
2A
0.000
09/20/40
588,650
1,000,000
(b),(d)
Mosaic
Solar
Loan
Trust
2020-1,
2020
20-1A
0.000
04/20/46
513,200
631,015
(b)
Mosaic
Solar
Loan
Trust
2020-2,
2020
2A
5.420
08/20/46
572,669
1,000,000
(b)
Mosaic
Solar
Loan
Trust
2024-1,
2024
1A
10.000
09/20/49
889,089
154,559
(b)
MVW
2020-1
LLC,
2020
1A
7.140
10/20/37
152,843
500,000
(a),(b)
Neuberger
Berman
CLO
Ltd,
(TSFR3M
reference
rate
+
7.625%
spread),
2023
23-53A
12.908
10/24/32
505,272
500,000
(b)
Oportun
Funding
2022-1
LLC,
2022
1
6.000
06/15/29
499,301
107,242
(b)
Oportun
Funding
XIV
LLC,
2021
A
5.400
03/08/28
103,894
764,151
(b)
Oportun
Issuance
Trust
2021-B,
2021
B
5.410
05/08/31
726,397
350,000
(b)
Oportun
Issuance
Trust
2021-C,
2021
C
5.570
10/08/31
331,439
2,000,000
(b)
Oportun
Issuance
Trust
2024-1,
2024
1A
12.072
04/08/31
2,042,700
925,000
(a),(b)
Palmer
Square
CLO
2023-1
Ltd,
(TSFR3M
reference
rate
+
5.300%
spread),
2023
1A
10.582
01/20/36
936,156
625,000
(a),(b)
Palmer
Square
CLO
Ltd,
(TSFR3M
reference
rate
+
6.350%
spread),
2022
1A
11.632
04/20/35
628,828
750,000
(a),(b)
Rad
CLO
7
Ltd,
(TSFR3M
reference
rate
+
4.150%
spread),
2020
7A
9.436
04/17/36
752,426
400,000
(a),(b)
Residential
Reinsurance
2020
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
6.290%
spread),
2020
A
6.510
12/06/24
399,600
500,000
(a),(b)
Residential
Reinsurance
2022
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
7.690%
spread)
12.292
12/06/26
519,700
500,000
(a),(b)
SD
Re
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
9.250%
spread)
13.852
11/19/24
498,500
171,829
(b)
Sierra
Timeshare
2020-2
Receivables
Funding
LLC,
2020
2A
6.590
07/20/37
170,393
1,000,000
(a),(b)
Sixth
Street
CLO
XIX
Ltd,
(3-Month
LIBOR
reference
rate
+
6.162%
spread),
2021
19A
6.035
07/20/34
1,005,158
504,291
(b)
Start
II
LTD,
2019
1
5.095
03/15/44
479,106
468,872
(b)
Sunnova
Helios
XII
Issuer
LLC,
2023
B
6.000
08/22/50
395,306
1,000,000
(a),(b)
TCW
CLO
2021-2
Ltd,
(3-Month
LIBOR
reference
rate
+
7.122%
spread),
2021
2A
6.985
07/25/34
987,758
500,000
(a),(b)
Ursa
Re
II
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
7.000%
spread)
11.602
12/06/25
518,000
915,440
(b)
Vivint
Solar
Financing
V
LLC,
2018
1A
7.370
04/30/48
869,359
490,922
(b)
VR
Funding
LLC,
2020
1A
6.420
11/15/50
460,221
500,000
(b)
Ziply
Fiber
Issuer
LLC,
2024
1A
7.810
04/20/54
520,055
1,000,000
(b)
Ziply
Fiber
Issuer
LLC,
2024
1A
11.170
04/20/54
1,069,901
TOTAL
ASSET-BACKED
SECURITIES
(Cost
$46,889,049)
44,755,102
TOTAL
LONG-TERM
INVESTMENTS
(Cost
$153,064,101)
140,691,216
PRINCIPAL
DESCRIPTION  
RATE
MATURITY
VALUE
SHORT-TERM
INVESTMENTS
-
 1.7%  (1.3%
of
Total
Investments)
X
1,839,762
U.S.
GOVERNMENT
AND
AGENCY
OBLIGATIONS
-
1.7%
(1.3%
of
Total
Investments)
X
1,839,762
$
1,740,000
Federal
Home
Loan
Bank
Discount
Notes
0.000
10/01/24
$
1,739,775
100,000
Freddie
Mac
Discount
Notes
0.000
10/01/24
99,987
TOTAL
U.S.
GOVERNMENT
AND
AGENCY
OBLIGATIONS
(Cost
$1,840,000)
1,839,762
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$1,840,000)
1,839,762
TOTAL
INVESTMENTS
-
133.2%
(Cost
$154,904,101
)
142,530,978
BORROWINGS
-
(3.3)%
(e),(f)
(3,520,000)
REVERSE
REPURCHASE
AGREEMENTS,
INCLUDING
ACCRUED
INTEREST
-
(28.7)%(g)
(30,715,677)
OTHER
ASSETS
&
LIABILITIES,
NET
-  (1.2)%
(1,288,277)
NET
ASSETS
APPLICABLE
TO
COMMON
SHARES
-
100%
$
107,007,024
5
Part
F
of
Form
N-PORT
was
prepared
in
accordance
with
U.S.
generally
accepted
accounting
principles
(“U.S.
GAAP”)
and
in
conformity
with
the
applicable
rules
and
regulations
of
the
U.S.
Securities
and
Exchange
Commission
(“SEC”)
related
to
interim
filings.
Part
F
of
Form
N-PORT
does
not
include
all
information
and
footnotes
required
by
U.S.
GAAP
for
complete
financial
statements.
Certain
footnote
disclosures
normally
included
in
financial
statements
prepared
in
accordance
with
U.S.
GAAP
have
been
condensed
or
omitted
from
this
report
pursuant
to
the
rules
of
the
SEC.
For
a
full
set
of
the
Fund’s
notes
to
financial
statements,
please
refer
to
the
Fund’s
most
recently
filed
annual
or
semi-annual
report.
Fair
Value
Measurements
The
Fund’s
investments
in
securities
are
recorded
at
their
estimated
fair
value
utilizing
valuation
methods
approved
by
the
Board
of
Directors/
Trustees.
Fair
value
is
defined
as
the
price
that
would
be
received
upon
selling
an
investment
or
transferring
a
liability
in
an
orderly
transaction
to
an
independent
buyer
in
the
principal
or
most
advantageous
market
for
the
investment.
U.S.
GAAP
establishes
the
three-tier
hierarchy
which
is
used
to
maximize
the
use
of
observable
market
data
and
minimize
the
use
of
unobservable
inputs
and
to
establish
classification
of
fair
value
measurements
for
disclosure
purposes.
Observable
inputs
reflect
the
assumptions
market
participants
would
use
in
pricing
the
asset
or
liability.
Observable
inputs
are
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity.
Unobservable
inputs
reflect
management’s
assumptions
about
the
assumptions
market
participants
would
use
in
pricing
the
asset
or
liability.
Unobservable
inputs
are
based
on
the
best
information
available
in
the
circumstances.
The
following
is
a
summary
of
the
three-tiered
hierarchy
of
valuation
input
levels.
Level
1
–
Inputs
are
unadjusted
and
prices
are
determined
using
quoted
prices
in
active
markets
for
identical
securities.
Level
2
–
Prices
are
determined
using
other
significant
observable
inputs
(including
quoted
prices
for
similar
securities,
interest
rates,
credit
spreads,
etc.).
Level
3
–
Prices
are
determined
using
significant
unobservable
inputs
(including
management’s
assumptions
in
determining
the
fair
value
of
investments).
The
following
table
summarizes
the
market
value
of
the
Fund's
investments
as
of
the
end
of
the
reporting
period,
based
on
the
inputs
used
to
value
them:
The
following
is
a
reconciliation
of
the
Fund’s
Level
3
investments
held
at
the
beginning
and
end
of
the
measurement
period:
The
valuation
techniques
and
significant
unobservable
inputs
used
in
recurring
Level
3
fair
value
measurements
of
assets
as
of
the
end
of
the
reporting
period,
were
as
follows:
Level
1
Level
2
Level
3
Total
Long-Term
Investments:
Mortgage-Backed
Securities
$
–
$
95,936,114
$
–
$
95,936,114
Asset-Backed
Securities
–
42,887,227
1,867,875
44,755,102
Short-Term
Investments:
U.S.
Government
and
Agency
Obligations
–
1,839,762
–
1,839,762
Total
$
–
$
140,663,103
$
1,867,875
$
142,530,978
Level
3
JLS
Asset-Backed
Securities
Balance
at
the
beginning
of
period
$
1,379,951
Gains
(losses):
-
Net
realized
gains
(losses)
(108,596)
Change
in
net
unrealized
appreciation
(depreciation)
(194,205)
Purchases
at
cost
794,402
Sales
at
proceeds
(44,836)
Net
discounts
(premiums)
41,159
Transfers
into
-
Transfers
(out
of)
-
Balance
at
the
end
of
period
$
1,867,875
Change
in
net
unrealized
appreciation
(depreciation)
during
the
period
of
Level
3
securities
held
as
of
period
end
$
(194,205)
Fund
Asset
Class
Market
Value
Techniques
Unobservable
Inputs
Range
Weighted
Average
JLS
Asset-Backed
Securities
$1,867,875
Indicative
Trade
Broker
Quote
$38.60-$21,050
$7,295.07
Portfolio
of
Investments
September
30,
2024
(continued)
JLS
6
All
percentages
shown
in
the
Portfolio
of
Investments
are
based
on
net
assets
applicable
to
common
shares
unless
otherwise
noted.
(a)
Variable
rate
security.
The
rate
shown
is
the
coupon
as
of
the
end
of
the
reporting
period.
(b)
Security
is
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended.
These
securities
are
deemed
liquid
and
may
be
resold
in
transactions
exempt
from
registration,
which
are
normally
those
transactions
with
qualified
institutional
buyers.
As
of
the
end
of
the
reporting
period,
the
aggregate
value
of
these
securities
is
$116,732,583
or
81.9%
of
Total
Investments.
(c)
Investment,
or
portion
of
investment,
has
been
pledged
to
collateralize
the
net
payment
obligations
for
investments
in
reverse
repurchase
agreements.
As
of
the
end
of
the
reporting
period,
investments
with
a
value
of
$47,718,811
have
been
pledged
as
collateral
for
reverse
repurchase
agreements.
(d)
For
fair
value
measurement
disclosure
purposes,
investment
classified
as
Level
3.
(e)
Borrowings
as
a
percentage
of
Total
Investments
is
2.5%.
(f)
The
Fund
may
pledge
up
to
100%
of
its
eligible
investments
(excluding
any
investments
separately
pledged
as
collateral
for
specific
investments
in
derivatives,
when
applicable)
in
the
Portfolio
of
Investments
as
collateral
for
borrowings.
As
of
the
end
of
the
reporting
period,
investments
with
a
value
of
$28,592,770
have
been
pledged
as
collateral
for
borrowings.
(g)
Reverse
Repurchase
Agreements,
including
accrued
interest
as
a
percentage
of
Total
investments
is
21.6%.
I/O
Interest
only
security
LIBOR
London
Inter-Bank
Offered
Rate
SOFR
30A
30
Day
Average
Secured
Overnight
Financing
Rate
SOFR
90A
90
Day
Average
Secured
Overnight
Financing
Rate
TSFR
1M
CME
Term
SOFR
1
Month
TSFR
3M
CME
Term
SOFR
3
Month
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