DoubleLine Opportunistic Credit Fund
Schedule of Investments
December 31, 2019 (Unaudited)
Principal Amount $/Shares | Security Description | Rate | Maturity | Value $ | ||||||||
Asset Backed Obligations - 4.4% | ||||||||||||
1,582,475 | Castlelake Aircraft Securitization Trust, Series2019-1A-C | 6.90% | ^ | 04/15/2039 | 1,596,806 | |||||||
1,420,459 | Harley Marine Financing LLC, Series2018-1A-A2 | 5.68% | ^ | 05/15/2043 | 1,269,297 | |||||||
1,742,267 | Horizon Aircraft Finance Ltd., Series2018-1-C | 6.66% | ^ | 12/15/2038 | 1,750,569 | |||||||
4,887,500 | Jimmy Johns Funding LLC, Series2017-1A-A2II | 4.85% | ^ | 07/30/2047 | 5,008,608 | |||||||
20,000 | SoFi Consumer Loan Program LLC, Series2018-A-R1 | 6.11% | ^ @ | 02/25/2042 | 1,492,657 | |||||||
5,930 | SoFi Consumer Loan Program LLC, Series2018-A-R2 | 6.11% | ^ @ | 02/25/2042 | 442,573 | |||||||
1,976,000 | Start Ltd., Series2019-2-C | 6.66% | ^ | 11/15/2044 | 1,975,111 | |||||||
|
| |||||||||||
Total Asset Backed Obligations (Cost $13,486,628) | 13,535,621 | |||||||||||
|
| |||||||||||
Bank Loans - 7.3% | ||||||||||||
89,325 | Achilles Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 5.81% | 10/13/2025 | 90,386 | ||||||||
492,443 | Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) | 6.19% | 11/22/2023 | 494,598 | ||||||||
83,732 | Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 6.30% | 08/01/2025 | 84,255 | ||||||||
500,000 | Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) | 9.45% | 06/16/2025 | 490,538 | ||||||||
434,472 | American Tire Distributors, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK) | 9.30% | 09/02/2024 | 389,938 | ||||||||
525,000 | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%) | 8.30% | 08/04/2025 | 532,678 | ||||||||
367,225 | Athenahealth, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%) | 6.40% | 02/11/2026 | 369,673 | ||||||||
173,324 | Avantor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) | 4.80% | 11/21/2024 | 175,129 | ||||||||
449,639 | Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) | 5.99% | 12/16/2024 | 442,557 | ||||||||
162,917 | Bass Pro Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) | 6.80% | 09/25/2024 | 162,747 | ||||||||
285,000 | BellRing Brands LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor) | 6.80% | 10/21/2024 | 288,742 | ||||||||
BI-LO LLC, Senior Secured First Lien Term Loan | ||||||||||||
168,421 | (3 Month LIBOR USD + 8.00%, 1.00% Floor) | 9.89% | 05/31/2024 | 156,141 | ||||||||
163,421 | (2 Month LIBOR USD + 8.00%, 1.00% Floor) | 9.85% | 05/31/2024 | 151,505 | ||||||||
160,658 | (3 Month LIBOR USD + 8.00%, 1.00% Floor) | 9.89% | 05/31/2024 | 148,943 | ||||||||
499,950 | Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) | 6.05% | 10/02/2025 | 495,463 | ||||||||
Brand Energy & Infrastructure Services. Inc., Senior Secured First Lien Term Loan | ||||||||||||
148,122 | (3 Month LIBOR USD + 4.25%, 1.00% Floor) | 6.18% | 07/30/2024 | 147,937 | ||||||||
131,319 | (3 Month LIBOR USD + 4.25%, 1.00% Floor) | 6.29% | 07/30/2024 | 131,155 | ||||||||
797,850 | Brazos Delaware LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 5.79% | 05/21/2025 | 686,151 | ||||||||
289,239 | Brookfield WEC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) | 5.30% | 07/31/2025 | 291,679 | ||||||||
491,184 | Constellis Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor) | 6.93% | 04/22/2024 | 208,753 | ||||||||
478,938 | Covia Holdings Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) | 6.04% | 06/02/2025 | 371,814 | ||||||||
500,000 | CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) | 6.03% | 07/03/2020 | 486,250 | ||||||||
500,000 | Cyxtera DC Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%, 1.00% Floor) | 8.99% | 05/01/2025 | 310,555 | ||||||||
24,414 | Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 5.94% | 01/23/2026 | 24,615 | ||||||||
45,411 | Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 5.94% | 01/23/2026 | 45,783 | ||||||||
277,929 | EG America LLC, Senior Secured First Lien Term Loan | 5.96% | 02/06/2025 | 277,380 | ||||||||
492,500 | EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 5.69% | 05/02/2025 | 466,799 | ||||||||
341,550 | Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) | 5.05% | 10/01/2025 | 344,880 | ||||||||
680,000 | Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) | 5.44% | 08/01/2024 | 568,891 | ||||||||
487,141 | Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor) | 7.66% | W | 03/28/2022 | 216,081 | |||||||
500,000 | Gavilan Resources LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) | 7.80% | 03/01/2024 | 200,000 | ||||||||
178,200 | Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 6.31% | 02/19/2026 | 178,980 | ||||||||
463,838 | Granite Holdings Acquisition Company, Senior Secured First Lien Term Loan | 7.21% | 09/30/2026 | 466,157 | ||||||||
Gulf Finance LLC, Senior Secured First Lien Term Loan | ||||||||||||
252,752 | (3 Month LIBOR USD + 5.25%, 1.00% Floor) | 7.20% | 08/25/2023 | 199,065 | ||||||||
426,197 | (1 Month LIBOR USD + 5.25%, 1.00% Floor) | 6.95% | 08/25/2023 | 335,668 | ||||||||
354,101 | Houston Foods, Inc., Senior Secured First Lien Term Loan | 5.55% | 06/27/2025 | 345,249 | ||||||||
350,000 | Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor) | 8.80% | 05/31/2025 | 355,469 | ||||||||
240,000 | Inmarsat PLC, Senior Secured First Lien Term Loan | 6.41% | ± | 09/23/2026 | 241,781 | |||||||
393,970 | ION Trading Technologies SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) | 6.06% | 11/21/2024 | 378,211 | ||||||||
337,991 | Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor) | 6.93% | 10/20/2023 | 237,651 | ||||||||
472,800 | Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) | 5.56% | 06/30/2025 | 456,252 | ||||||||
538,188 | Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) | 6.81% | 06/23/2025 | 542,897 | ||||||||
300,586 | Klockner-Pentaplast of America, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) | 6.18% | 06/30/2022 | 271,805 | ||||||||
477,707 | LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) | 7.74% | 05/01/2023 | 442,476 | ||||||||
McDermott International, Inc., Senior Secured First Lien Delayed-Draw Term Loan | ||||||||||||
57,393 | (1 Month LIBOR USD + 10.00%, 1.00% Floor) | 11.69% | W | 10/21/2021 | 58,756 | |||||||
126,263 | (3 Month LIBOR USD + 10.00%, 1.00% Floor) | 12.00% | W | 10/21/2021 | 129,262 | |||||||
477,351 | McDermott International, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor) | 6.94% | W | 05/12/2025 | 283,547 | |||||||
436,700 | Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) | 6.80% | 03/27/2026 | 431,241 | ||||||||
Mirion Technologies, Inc., Senior Secured First Lien Term Loan | ||||||||||||
175,018 | (3 Month LIBOR USD + 4.00%) | 6.10% | 03/06/2026 | 176,769 | ||||||||
23,982 | (1 Week LIBOR USD + 4.00%) | 5.63% | 03/06/2026 | 24,221 | ||||||||
333,333 | Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) | 9.05% | 11/20/2025 | 320,833 | ||||||||
197,027 | MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 6.19% | 07/11/2025 | 187,012 | ||||||||
155,000 | MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.75%) | 10.44% | 07/13/2026 | 118,833 | ||||||||
365,113 | Monitronics International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.50%, 1.25% Floor) | 8.30% | 03/29/2024 | 311,715 | ||||||||
110,000 | NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%) | 8.80% | 10/19/2026 | 99,825 | ||||||||
500,000 | Pearl Intermediate Parent LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%) | 8.05% | 01/30/2026 | 495,003 | ||||||||
Polar US Borrower LLC, Senior Secured First Lien Term Loan | ||||||||||||
1,275 | (3 Month LIBOR USD + 4.75%) | 6.69% | 08/17/2025 | 1,272 | ||||||||
63,075 | (3 Month LIBOR USD + 4.75%) | 6.79% | 08/17/2025 | 62,917 | ||||||||
500,000 | PowerTeam Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor) | 9.19% | 03/06/2026 | 360,000 | ||||||||
258,375 | Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) | 6.69% | 03/11/2026 | 257,083 | ||||||||
Radiology Partners, Inc., Senior Secured First Lien Term Loan | ||||||||||||
95,967 | (6 Month LIBOR USD + 4.75%, 1.00% Floor) | 6.71% | 07/09/2025 | 96,607 | ||||||||
111,928 | (12 Month LIBOR USD + 4.75%, 1.00% Floor) | 6.62% | 07/09/2025 | 112,674 | ||||||||
108,350 | Renaissance Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) | 5.05% | 06/02/2025 | 108,079 | ||||||||
318,676 | RentPath, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 1.00% Floor) | 6.66% | W | 12/17/2021 | 177,445 | |||||||
75,000 | Restaurant Technologies, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%) | 8.30% | 10/01/2026 | 74,813 | ||||||||
78,916 | Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) | 6.30% | 06/20/2024 | 59,134 | ||||||||
305,573 | Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 5.91% | 12/26/2023 | 303,128 | ||||||||
140,000 | Solenis International LP, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%) | 10.41% | 06/18/2024 | 128,100 | ||||||||
190,000 | Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 8.55% | 06/26/2026 | 191,900 | ||||||||
287,283 | Summit Midstream Partners Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) | 7.80% | 05/13/2022 | 272,919 | ||||||||
91,399 | Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) | 6.80% | 10/01/2024 | 87,895 | ||||||||
163,083 | Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%) | 7.80% | 04/01/2025 | 140,659 | ||||||||
500,000 | The Edelman Financial Center LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 8.54% | 07/20/2026 | 500,625 | ||||||||
499,900 | TKC Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.00%, 1.00% Floor) | 9.80% | 02/01/2024 | 454,909 | ||||||||
132,975 | Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 5.79% | 01/25/2024 | 133,806 | ||||||||
124,688 | Travelport Finance SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) | 6.94% | 03/18/2026 | 116,957 | ||||||||
114,711 | United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) | 6.05% | 10/22/2025 | 98,580 | ||||||||
500,000 | Vantage Specialty Chemicals, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor) | 10.16% | 10/27/2025 | 436,250 | ||||||||
296,250 | Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 6.30% | 08/27/2025 | 298,965 | ||||||||
498,750 | WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.75%, 1.00% Floor) | 7.83% | 06/18/2026 | 491,892 | ||||||||
362,246 | Web.Com Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.75%) | 9.49% | 10/09/2026 | 349,681 | ||||||||
168,300 | WeddingWire, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 6.20% | 11/07/2025 | 169,352 | ||||||||
335,000 | WeddingWire, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.25%) | 10.05% | 12/21/2026 | 331,650 | ||||||||
160,000 | Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) | 6.55% | 09/25/2026 | 161,084 | ||||||||
|
| |||||||||||
Total Bank Loans (Cost $24,656,365) | 22,319,070 | |||||||||||
|
| |||||||||||
Collateralized Loan Obligations - 27.5% | ||||||||||||
1,000,000 | Allegany Park Ltd., Series2019-1A-E (3 Month LIBOR USD + 6.78%, 6.78% Floor) | 0.01% | ^ | 01/20/2033 | 985,181 | |||||||
1,000,000 | ALM LLC, Series2015-12A-C1R2 (3 Month LIBOR USD + 2.65%, 2.65% Floor) | 4.65% | ^ | 04/16/2027 | 1,000,732 | |||||||
1,000,000 | ARES Ltd., Series2014-1A-SUB | 8.79% | #^@Þ | 04/17/2026 | 296,208 | |||||||
1,700,000 | Atlas Senior Loan Fund, Series2019-14A-D (3 Month LIBOR USD + 3.90%, 3.90% Floor) | 6.30% | ^ | 07/20/2032 | 1,659,424 | |||||||
1,000,000 | Atrium Corporation, Series9A-DR (3 Month LIBOR USD + 3.60%) | 5.51% | ^ | 05/28/2030 | 1,000,702 | |||||||
1,000,000 | Babson Ltd., Series2015-2A-DR (3 Month LIBOR USD + 2.95%) | 4.92% | ^ | 10/21/2030 | 977,272 | |||||||
1,000,000 | Babson Ltd., Series2017-1A-D (3 Month LIBOR USD + 3.60%) | 5.60% | ^ | 07/18/2029 | 1,000,312 | |||||||
500,000 | Barings Ltd., Series2018-3A-D (3 Month LIBOR USD + 2.90%) | 4.87% | ^ | 07/20/2029 | 481,604 | |||||||
1,000,000 | Barings Ltd., Series2018-3A-E (3 Month LIBOR USD + 5.75%) | 7.72% | ^ | 07/20/2029 | 962,310 | |||||||
2,500,000 | Barings Ltd., Series2019-1A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor) | 5.85% | ^ | 04/15/2031 | 2,506,852 | |||||||
1,000,000 | Barings Ltd., Series2019-1A-E (3 Month LIBOR USD + 6.68%, 6.68% Floor) | 8.68% | ^ | 04/15/2031 | 1,002,177 | |||||||
1,000,000 | Barings Ltd., Series2019-2A-C (3 Month LIBOR USD + 3.85%, 3.85% Floor) | 5.85% | ^ | 04/15/2031 | 1,001,244 | |||||||
5,000,000 | Beechwood Park Ltd., Series2019-1A-D1 (3 Month LIBOR USD + 4.10%, 4.10% Floor) | 6.00% | ^ | 01/17/2033 | 4,999,489 | |||||||
2,000,000 | Beechwood Park Ltd., Series2019-1A-E (3 Month LIBOR USD + 7.50%, 7.50% Floor) | 9.40% | ^ | 01/17/2033 | 1,999,193 | |||||||
1,900,000 | BlueMountain Ltd., Series2013-1A-DR (3 Month LIBOR USD + 7.50%, 7.50% Floor) | 9.47% | ^ | 01/22/2029 | 1,757,202 | |||||||
1,000,000 | BlueMountain Ltd., Series2013-2A-DR (3 Month LIBOR USD + 2.90%) | 4.85% | ^ | 10/22/2030 | 955,371 | |||||||
1,000,000 | Canyon Capital Ltd., Series2017-1A-D (3 Month LIBOR USD + 3.60%) | 5.60% | ^ | 07/15/2030 | 1,000,312 | |||||||
1,000,000 | Canyon Capital Ltd., Series2017-1A-E (3 Month LIBOR USD + 6.25%) | 8.25% | ^ | 07/15/2030 | 978,020 | |||||||
1,500,000 | Canyon Capital Ltd., Series2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 7.75% | ^ | 07/15/2031 | 1,420,238 | |||||||
1,550,000 | Canyon Capital Ltd., Series2019-1A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor) | 5.85% | ^ | 04/15/2032 | 1,551,240 | |||||||
1,500,000 | Carlyle Global Market Strategies Ltd., Series2015-5A-DR (3 Month LIBOR USD + 6.70%, 6.70% Floor) | 8.67% | ^ | 01/20/2032 | 1,428,862 | |||||||
3,750,000 | Cathedral Lake Ltd., Series2015-3A-DR (3 Month LIBOR USD + 4.10%, 4.10% Floor) | 6.10% | ^ | 07/16/2029 | 3,754,769 | |||||||
2,500,000 | Dryden Senior Loan Fund, Series2014-33A-ER2 (3 Month LIBOR USD + 6.97%, 6.97% Floor) | 8.97% | ^ | 04/16/2029 | 2,505,131 | |||||||
1,500,000 | Dryden Senior Loan Fund, Series2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor) | 7.15% | ^ | 01/15/2031 | 1,352,709 | |||||||
2,000,000 | Dryden Senior Loan Fund, Series2015-40A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 7.66% | ^ | 08/15/2031 | 1,915,611 | |||||||
500,000 | Dryden Senior Loan Fund, Series2017-50A-D (3 Month LIBOR USD + 3.25%) | 5.25% | ^ | 07/15/2030 | 499,419 | |||||||
2,000,000 | Gilbert Park Ltd., Series2017-1A-E (3 Month LIBOR USD + 6.40%) | 8.40% | ^ | 10/15/2030 | 2,014,934 | |||||||
500,000 | GoldenTree Loan Management Ltd., Series2018-3A-D (3 Month LIBOR USD + 2.85%) | 4.82% | ^ | 04/22/2030 | 484,572 | |||||||
1,000,000 | Greenwood Park Ltd., Series2018-1A-E (3 Month LIBOR USD + 4.95%) | 6.95% | ^ | 04/15/2031 | 914,671 | |||||||
500,000 | Halcyon Loan Advisors Funding Ltd., Series2014-3A-D (3 Month LIBOR USD + 3.65%) | 5.60% | ^ | 10/22/2025 | 499,913 | |||||||
1,000,000 | Highbridge Loan Management Ltd., Series2013-2A-CR (3 Month LIBOR USD + 2.90%) | 4.87% | ^ | 10/20/2029 | 941,915 | |||||||
1,000,000 | HPS Loan Management Ltd., Series11A-17-E (3 Month LIBOR USD + 6.10%) | 8.01% | ^ | 05/06/2030 | 912,871 | |||||||
2,500,000 | LCM LP, Series26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor) | 7.27% | ^ | 01/21/2031 | 2,263,020 | |||||||
1,500,000 | Madison Park Funding Ltd., Series2019-34A-E (3 Month LIBOR USD + 6.75%, 6.75% Floor) | 8.69% | ^ | 04/25/2031 | 1,501,422 | |||||||
1,500,000 | Magnetite Ltd., Series2019-24A-D (3 Month LIBOR USD + 3.80%, 3.80% Floor) | 5.71% | ^ | 01/15/2033 | 1,500,158 | |||||||
1,000,000 | Magnetite Ltd., Series2019-24A-E (3 Month LIBOR USD + 6.95%, 6.95% Floor) | 8.86% | ^ | 01/15/2033 | 1,002,340 | |||||||
2,500,000 | Neuberger Berman Loan Advisers Ltd., Series2017-16SA-E (3 Month LIBOR USD + 5.40%) | 7.40% | ^ | 01/18/2028 | 2,467,798 | |||||||
1,000,000 | Neuberger Berman Loan Advisers Ltd., Series2017-25A-D (3 Month LIBOR USD + 3.25%) | 5.25% | ^ | 10/18/2029 | 994,539 | |||||||
2,000,000 | Neuberger Berman Loan Advisers Ltd., Series2019-32A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor) | 5.82% | ^ | 01/20/2032 | 2,001,710 | |||||||
1,000,000 | Newark BSL Ltd., Series2016-1A-D (3 Month LIBOR USD + 6.75%) | 8.69% | ^ | 12/21/2029 | 1,000,417 | |||||||
1,000,000 | Octagon Investment Partners Ltd., Series2012-1A-CR (3 Month LIBOR USD + 4.00%) | 6.00% | ^ | 07/16/2029 | 1,000,388 | |||||||
2,500,000 | Octagon Investment Partners Ltd., Series2014-1A-CRR (3 Month LIBOR USD + 3.95%, 3.95% Floor) | 5.86% | ^ | 02/17/2032 | 2,506,398 | |||||||
4,000,000 | Octagon Investment Partners Ltd., Series2014-1A-DRR (3 Month LIBOR USD + 7.00%, 7.00% Floor) | 8.91% | ^ | 02/17/2032 | 3,981,088 | |||||||
1,000,000 | Octagon Investment Partners Ltd., Series2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor) | 10.09% | ^ | 07/15/2030 | 869,184 | |||||||
2,000,000 | Octagon Investment Partners Ltd., Series2017-1A-SUB | 13.58% | #^@Þ | 03/17/2030 | 1,361,229 | |||||||
1,500,000 | Octagon Investment Partners Ltd., Series2018-1A-D (3 Month LIBOR USD + 5.20%, 5.20% Floor) | 7.17% | ^ | 01/21/2031 | 1,399,018 | |||||||
900,000 | Octagon Investment Partners Ltd., Series2018-3A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 7.72% | ^ | 10/21/2030 | 866,958 | |||||||
1,000,000 | RRAM Ltd., Series2018-4A-C (3 Month LIBOR USD + 2.95%) | 4.95% | ^ | 04/15/2030 | 952,836 | |||||||
2,000,000 | Taconic Park Ltd., Series2016-1A-C (3 Month LIBOR USD + 4.05%) | 6.02% | ^ | 01/22/2029 | 2,001,308 | |||||||
2,250,000 | Trimaran CAVU LLC, Series2019-1A-D (3 Month LIBOR USD + 4.15%, 4.15% Floor) | 6.12% | ^ | 07/20/2032 | 2,216,208 | |||||||
500,000 | Trimaran CAVU LLC, Series2019-2A-C (3 Month LIBOR USD + 4.72%, 4.72% Floor) | 6.63% | ^ | 11/26/2032 | 499,986 | |||||||
1,000,000 | Voya Ltd., Series2017-3A-C (3 Month LIBOR USD + 3.55%) | 5.52% | ^ | 07/22/2030 | 1,000,319 | |||||||
3,000,000 | Voya Ltd., Series2019-4A-D (3 Month LIBOR USD + 3.83%, 3.83% Floor) | 5.57% | ^ | 01/18/2033 | 2,940,691 | |||||||
2,000,000 | Wind River Ltd., Series2012-1A-ER (3 Month LIBOR USD + 7.38%) | 9.38% | ^ | 01/15/2026 | 1,963,940 | |||||||
2,500,000 | Wind River Ltd., Series2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 7.75% | ^ | 01/15/2031 | 2,047,580 | |||||||
1,040,000 | Wind River Ltd., Series2017-4A-D (3 Month LIBOR USD + 2.65%) | 4.55% | ^ | 11/20/2030 | 975,602 | |||||||
|
| |||||||||||
Total Collateralized Loan Obligations (Cost $85,361,263) | 84,074,597 | |||||||||||
|
| |||||||||||
Foreign Corporate Bonds - 0.7% | ||||||||||||
2,000,000 | AI Candelaria Spain SLU | 7.50% | 12/15/2028 | 2,248,195 | ||||||||
|
| |||||||||||
Total Foreign Corporate Bonds (Cost $1,938,324) | 2,248,195 | |||||||||||
|
| |||||||||||
Non-Agency Commercial Mortgage Backed Obligations - 20.5% | ||||||||||||
450,000 | Bear Stearns Commercial Mortgage Securities, Inc., Series2007-T26-AJ | 5.45% | # | 01/12/2045 | 387,405 | |||||||
18,488,241 | Benchmark Mortgage Trust, Series2018-B1-XA | 0.52% | #I/O | 01/18/2051 | 624,076 | |||||||
1,012,000 | BF Mortgage Trust, Series2019-NYT-F (1 Month LIBOR USD + 3.00%, 3.00% Floor) | 4.74% | ^ | 12/17/2035 | 1,020,619 | |||||||
5,000,000 | BX Commercial Mortgage Trust, Series2019-IMC-G (1 Month LIBOR USD + 3.60%, 3.60% Floor) | 5.34% | ^ | 04/17/2034 | 5,038,043 | |||||||
1,025,000 | BXP Trust, Series2017-CQHP-E (1 Month LIBOR USD + 3.00%, 3.00% Floor) | 4.74% | ^ | 11/15/2034 | 1,026,513 | |||||||
976,000 | Carbon Capital Commercial Mortgage Trust, Series2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor) | 4.59% | ^ | 11/18/2021 | 983,779 | |||||||
18,150,799 | CD Commercial Mortgage Trust, Series2017-CD6-XA | 0.96% | #I/O | 11/15/2050 | 951,394 | |||||||
269,000 | Citigroup Commercial Mortgage Trust, Series2015-GC27-D | 4.43% | #^ | 02/12/2048 | 255,565 | |||||||
4,669,527 | Citigroup Commercial Mortgage Trust, Series2015-GC27-XA | 1.36% | #I/O | 02/12/2048 | 250,232 | |||||||
254,000 | Citigroup Commercial Mortgage Trust, Series2016-GC36-D | 2.85% | ^ | 02/10/2049 | 220,284 | |||||||
168,000 | Citigroup Commercial Mortgage Trust, Series2018-TBR-F (1 Month LIBOR USD + 3.65%, 3.75% Floor) | 5.39% | ^ | 12/15/2036 | 169,600 | |||||||
42,255,505 | Commercial Mortgage Pass-Through Certificates, Series2013-LC6-XA | 1.34% | #I/O | 01/12/2046 | 1,391,030 | |||||||
26,400,000 | Commercial Mortgage Pass-Through Certificates, Series2014-UBS3-XC | 1.24% | #^I/O | 06/12/2047 | 1,319,390 | |||||||
1,288,300 | Commercial Mortgage Pass-Through Certificates, Series2014-UBS4-F | 3.75% | ^Þ | 08/12/2047 | 485,787 | |||||||
2,307,151 | Commercial Mortgage Pass-Through Certificates, Series2014-UBS4-G | 3.75% | ^Þ | 08/12/2047 | 171,814 | |||||||
5,000 | Commercial Mortgage Pass-Through Certificates, Series2014-UBS4-V | 0.00% | #^Þ | 08/12/2047 | 1 | |||||||
27,394,000 | Commercial Mortgage Pass-Through Certificates, Series2015-CR23-XD | 1.02% | #^I/O | 05/12/2048 | 1,389,835 | |||||||
566,000 | Commercial Mortgage Pass-Through Certificates, Series2015-CR26-C | 4.48% | # | 10/10/2048 | 598,851 | |||||||
5,297,000 | Commercial Mortgage Pass-Through Certificates, Series2015-CR26-XD | 1.23% | #^I/O | 10/13/2048 | 329,516 | |||||||
91,922,021 | Commercial Mortgage Pass-Through Certificates, Series2015-LC21-XA | 0.76% | #I/O | 07/10/2048 | 2,572,217 | |||||||
1,500,000 | Commercial Mortgage Pass-Through Certificates, Series2015-LC23-E | 3.65% | #^ | 10/13/2048 | 1,338,541 | |||||||
549,000 | Commercial Mortgage Pass-Through Certificates, Series2016-CR28-E | 4.15% | #^ | 02/12/2049 | 540,943 | |||||||
128,727 | FREMF Mortgage Trust, Series2016-KF22-B (1 Month LIBOR USD + 5.05%, 5.05% Floor) | 6.75% | ^ | 07/25/2023 | 133,181 | |||||||
167,538 | GMAC Commercial Mortgage Securities Trust, Series2004-C3-E | 5.14% | #^ | 12/10/2041 | 168,535 | |||||||
5,000,000 | Great Wolf Trust, Series2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor) | 4.85% | ^ | 12/15/2036 | 4,998,465 | |||||||
1,000,000 | GS Mortgage Securities Trust, Series2015-GC28-D | 4.32% | #^ | 02/12/2048 | 957,541 | |||||||
80,989,684 | GS Mortgage Securities Trust, Series2018-GS9-XA | 0.45% | #I/O | 03/10/2051 | 2,525,777 | |||||||
500,000 | GS Mortgage Securities Trust, Series2014-GC26-C | 4.51% | # | 11/13/2047 | 509,265 | |||||||
2,150,000 | GS Mortgage Securities Trust, Series2014-GC26-D | 4.51% | #^ | 11/13/2047 | 1,883,692 | |||||||
1,640,000 | Hawaii Hotel Trust, Series2019-MAUI-F (1 Month LIBOR USD + 2.75%, 2.75% Floor) | 4.49% | ^ | 05/17/2038 | 1,644,870 | |||||||
1,527,595 | HPLY Trust, Series2019-HIT-G (1 Month LIBOR USD + 3.90%, 3.90% Floor) | 5.64% | ^ | 11/17/2036 | 1,529,499 | |||||||
23,262,501 | JP Morgan Chase Commercial Mortgage Securities Corporation, Series2012-CBX-XA | 1.48% | #I/O | 06/16/2045 | 505,643 | |||||||
94,962 | JP Morgan Chase Commercial Mortgage Securities Trust, Series2006-LDP9-AMS | 5.34% | 05/15/2047 | 91,602 | ||||||||
2,000,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series2011-C3-D | 5.66% | #^ | 02/16/2046 | 1,993,280 | |||||||
500,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series2019-MFP-F (1 Month LIBOR USD + 3.00%, 3.00% Floor) | 4.74% | ^ | 07/15/2036 | 502,033 | |||||||
10,765,000 | JPMBB Commercial Mortgage Securities Trust, Series2013-C14-XC | 1.10% | #^I/O | 08/17/2046 | 365,416 | |||||||
3,488,650 | JPMBB Commercial Mortgage Securities Trust, Series2014-C19-E | 4.00% | #^Þ | 04/17/2047 | 2,950,942 | |||||||
1,938,200 | JPMBB Commercial Mortgage Securities Trust, Series2014-C19-F | 3.75% | #^Þ | 04/17/2047 | 1,111,710 | |||||||
5,273,268 | JPMBB Commercial Mortgage Securities Trust, Series2014-C19-NR | 3.75% | #^Þ | 04/17/2047 | 1,096,629 | |||||||
925,000 | JPMBB Commercial Mortgage Securities Trust, Series2014-C23-C | 4.47% | # | 09/15/2047 | 975,835 | |||||||
2,000,000 | JPMBB Commercial Mortgage Securities Trust, Series2014-C23-D | 3.97% | #^ | 09/17/2047 | 1,984,177 | |||||||
4,234,506 | JPMBB Commercial Mortgage Securities Trust, Series2014-C26-XA | 0.97% | #I/O | 01/17/2048 | 161,877 | |||||||
500,000 | JPMBB Commercial Mortgage Securities Trust, Series2015-C27-D | 3.81% | #^ | 02/18/2048 | 484,159 | |||||||
360,000 | JPMBB Commercial Mortgage Securities Trust, Series2015-C29-C | 4.16% | # | 05/15/2048 | 369,614 | |||||||
20,920,000 | JPMBB Commercial Mortgage Securities Trust, Series2015-C29-XE | 0.26% | #^I/O | 05/15/2048 | 359,880 | |||||||
675,000 | JPMBB Commercial Mortgage Securities Trust, Series2015-C32-C | 4.67% | # | 11/15/2048 | 714,992 | |||||||
16,358,000 | JPMBB Commercial Mortgage Securities Trust, Series2015-C32-XD | 0.50% | #^I/O | 11/18/2048 | 410,952 | |||||||
165,000 | JPMBB Commercial Mortgage Securities Trust, Series2015-C33-C | 4.62% | # | 12/17/2048 | 173,069 | |||||||
2,876,000 | LoanCore Issuer Ltd., Series2019-CRE3-D (1 Month LIBOR USD + 2.50%, 2.50% Floor) | 4.24% | ^ | 05/15/2036 | 2,886,057 | |||||||
1,137,735 | Lone Star Portfolio Trust, Series2015-LSP-D (1 Month LIBOR USD + 4.25%, 4.00% Floor) | 5.99% | ^ | 09/15/2028 | 1,143,331 | |||||||
4,840,370 | LSTAR Commercial Mortgage Trust, Series2016-4-XA | 1.84% | #^I/O | 03/12/2049 | 286,181 | |||||||
500,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series2014-C19-C | 4.00% | 12/17/2047 | 515,899 | ||||||||
804,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series2015-C27-D | 3.24% | #^ | 12/17/2047 | 748,637 | |||||||
525,000 | Morgan Stanley Capital Trust, Series2014-CPT-G | 3.45% | #^ | 07/13/2029 | 522,921 | |||||||
1,191,000 | Morgan Stanley Capital Trust, Series2017-ASHF-G (1 Month LIBOR USD + 6.90%, 6.90% Floor) | 8.64% | ^ | 11/15/2034 | 1,180,472 | |||||||
824,000 | UBS Commercial Mortgage Trust, Series2013-C5-D | 4.08% | #^ | 03/12/2046 | 790,976 | |||||||
467,000 | Wells Fargo Commercial Mortgage Trust, Series2012-LC5-E | 4.76% | #^Þ | 10/17/2045 | 473,494 | |||||||
23,293,000 | Wells Fargo Commercial Mortgage Trust, Series2015-C28-XF | 1.11% | #^I/O | 05/15/2048 | 1,196,466 | |||||||
747,000 | Wells Fargo Commercial Mortgage Trust, Series2015-NXS4-D | 3.60% | # | 12/17/2048 | 741,215 | |||||||
55,347,895 | Wells Fargo Commercial Mortgage Trust, Series2018-C43-XA | 0.70% | #I/O | 03/17/2051 | 2,588,505 | |||||||
|
| |||||||||||
TotalNon-Agency Commercial Mortgage Backed Obligations (Cost $67,456,561) | 62,742,224 | |||||||||||
|
| |||||||||||
Non-Agency Residential Collateralized Mortgage Obligations - 30.3% | ||||||||||||
1,807,572 | Adjustable Rate Mortgage Trust, Series2006-1-2A1 | 4.31% | # | 03/25/2036 | 1,393,234 | |||||||
855,842 | Banc of America Alternative Loan Trust, Series2005-8-2CB1 | 6.00% | 09/25/2035 | 873,454 | ||||||||
11,684,339 | BCAP LLC Trust, Series2007-AB1-A5 | 4.85% | ß | 03/25/2037 | 7,328,134 | |||||||
4,869,007 | BCAP LLC Trust, Series2010-RR6-2216 | 3.69% | #^ | 06/26/2036 | 4,831,550 | |||||||
920,721 | BCAP LLC Trust, Series2010-RR6-6A2 | 9.30% | #^ | 07/26/2037 | 794,436 | |||||||
1,750,821 | Chase Mortgage Finance Trust, Series2007-S1-A7 | 6.00% | 02/25/2037 | 1,225,941 | ||||||||
1,870,095 | Chase Mortgage Finance Trust, Series2007-S3-1A5 | 6.00% | 05/25/2037 | 1,444,093 | ||||||||
1,921,334 | CHL Mortgage Pass-Through Trust, Series2007-4-1A35(-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap) | 4.91% | I/FI/O | 05/25/2037 | 548,141 | |||||||
7,000,000 | CIM Trust, Series2016-1RR-B2 | 7.78% | #^Þ | 08/26/2055 | 7,069,080 | |||||||
7,000,000 | CIM Trust, Series2016-2RR-B2 | 8.23% | #^Þ | 02/29/2056 | 7,050,836 | |||||||
7,000,000 | CIM Trust, Series2016-3RR-B2 | 7.99% | #^Þ | 02/29/2056 | 7,063,818 | |||||||
6,010,000 | CIM Trust, Series2017-3RR-B2 | 11.09% | #^Þ | 01/29/2057 | 6,183,386 | |||||||
464,780 | Citigroup Mortgage Loan Trust, Inc., Series2006-8-A4(-3 x 1 Month LIBOR USD + 19.66%, 19.66% Cap) | 14.73% | ^I/F | 10/25/2035 | 592,223 | |||||||
2,133,135 | CitiMortgage Alternative Loan Trust, Series2007-A4-1A6 | 5.75% | 04/25/2037 | 2,080,578 | ||||||||
1,726,670 | CitiMortgage Alternative Loan Trust, Series2007-A6-1A16 | 6.00% | 06/25/2037 | 1,693,190 | ||||||||
1,109,909 | Countrywide Alternative Loan Trust, Series2005-85CB-2A5 (1 Month LIBOR USD + 1.10%, 1.10% Floor, 7.00% Cap) | 2.89% | 02/25/2036 | 961,765 | ||||||||
234,395 | Countrywide Alternative Loan Trust, Series2005-85CB-2A6(-4 x 1 Month LIBOR USD + 21.63%, 21.63% Cap) | 15.06% | I/F | 02/25/2036 | 311,918 | |||||||
2,487,775 | Credit Suisse First Boston Mortgage Securities Corporation, Series2005-11-7A1 | 6.00% | 12/25/2035 | 2,054,926 | ||||||||
3,193,554 | Credit Suisse Mortgage Capital Certificates, Series2006-5-3A3 | 6.50% | 06/25/2036 | 1,285,709 | ||||||||
839,387 | Credit Suisse Mortgage Capital Certificates, Series2006-9-2A1 | 5.50% | 11/25/2036 | 768,815 | ||||||||
400,960 | Credit Suisse Mortgage Capital Certificates, Series2006-9-6A14 | 6.00% | 11/25/2036 | 392,184 | ||||||||
1,541,150 | IndyMac Mortgage Loan Trust, Series2005-AR23-6A1 | 3.67% | # | 11/25/2035 | 1,466,323 | |||||||
160,947 | JP Morgan Alternative Loan Trust, Series2006-S1-2A5 | 5.50% | 02/25/2021 | 156,159 | ||||||||
2,508,452 | JP Morgan Resecuritization Trust, Series2011-1-2A10 | 6.00% | #^ | 06/26/2037 | 2,330,976 | |||||||
1,147,904 | Lehman Mortgage Trust, Series2007-10-1A1 | 6.00% | 01/25/2038 | 1,199,291 | ||||||||
1,658,680 | Lehman Mortgage Trust, Series2007-4-1A3 | 5.75% | 05/25/2037 | 1,324,416 | ||||||||
5,800,000 | PNMAC GMSR Trust, Series2018-FT1-A (1 Month LIBOR USD + 2.35%) | 4.14% | ^ | 04/25/2023 | 5,811,737 | |||||||
1,301,536 | RBSGC Structured Trust, Series2008-B-A1 | 6.00% | ^ | 06/25/2037 | 1,293,172 | |||||||
1,879,352 | Residential Accredit Loans, Inc., Series2005-QS13-2A3 | 5.75% | 09/25/2035 | 1,856,195 | ||||||||
1,189,613 | Residential Accredit Loans, Inc., Series2005-QS14-3A1 | 6.00% | 09/25/2035 | 1,149,602 | ||||||||
1,412,681 | Residential Accredit Loans, Inc., Series2006-QS10-A1 | 6.00% | 08/25/2036 | 1,369,108 | ||||||||
2,698,965 | Residential Accredit Loans, Inc., Series2006-QS7-A3 | 6.00% | 06/25/2036 | 2,509,673 | ||||||||
747,794 | Residential Accredit Loans, Inc., Series2007-QS1-1A1 | 6.00% | 01/25/2037 | 707,452 | ||||||||
3,225,485 | Residential Accredit Loans, Inc., Series2007-QS3-A1 | 6.50% | 02/25/2037 | 3,034,569 | ||||||||
1,270,590 | Residential Accredit Loans, Inc., Series2007-QS6-A1 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap) | 2.12% | 04/25/2037 | 992,890 | ||||||||
1,345,162 | Residential Accredit Loans, Inc., Series2007-QS6-A102 | 5.75% | 04/25/2037 | 1,260,190 | ||||||||
289,447 | Residential Accredit Loans, Inc., Series2007-QS6-A2(-8 x 1 Month LIBOR USD + 55.58%, 55.58% Cap) | 40.65% | I/F | 04/25/2037 | 611,635 | |||||||
1,659,984 | Residential Asset Securitization Trust, Series2006-A6-1A12(-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap) | 5.31% | I/FI/O | 07/25/2036 | 410,278 | |||||||
1,641,316 | Residential Asset Securitization Trust, Series2006-A6-1A9 | 6.00% | 07/25/2036 | 682,135 | ||||||||
846,070 | Residential Funding Mortgage Securities Trust, Series2007-S2-A4 | 6.00% | 02/25/2037 | 800,082 | ||||||||
863,674 | Structured Adjustable Rate Mortgage Loan Trust, Series2006-1-2A2 | 3.92% | # | 02/25/2036 | 848,560 | |||||||
1,061,539 | Velocity Commercial Capital Loan Trust, Series2018-1-M4 | 5.01% | ^ | 04/25/2048 | 1,090,189 | |||||||
675,318 | Velocity Commercial Capital Loan Trust, Series2018-1-M5 | 6.26% | ^ | 04/25/2048 | 695,739 | |||||||
1,361,441 | Velocity Commercial Capital Loan Trust, Series2018-1-M6 | 7.26% | ^ | 04/25/2048 | 1,368,649 | |||||||
3,966,561 | Washington Mutual Mortgage Pass-Through Certificates, Series2006-8-A4 | 4.30% | ß | 10/25/2036 | 2,154,476 | |||||||
1,694,058 | Wells Fargo Alternative Loan Trust, Series2007-PA3-2A1 | 6.00% | 07/25/2037 | 1,691,107 | ||||||||
|
| |||||||||||
TotalNon-Agency Residential Collateralized Mortgage Obligations (Cost $91,427,927) | 92,762,014 | |||||||||||
|
| |||||||||||
US Government and Agency Mortgage Backed Obligations - 23.2% | ||||||||||||
610,120 | Federal Home Loan Mortgage Corporation, Series3211-SI(-4 x 1 Month LIBOR USD + 27.67%, 27.67% Cap) | 20.35% | I/FI/O | 09/15/2036 | 439,177 | |||||||
1,369,926 | Federal Home Loan Mortgage Corporation, Series3236-ES(-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap) | 4.96% | I/FI/O | 11/15/2036 | 238,026 | |||||||
833,864 | Federal Home Loan Mortgage Corporation, Series3256-S(-1 x 1 Month LIBOR USD + 6.69%, 6.69% Cap) | 4.95% | I/FI/O | 12/15/2036 | 163,965 | |||||||
540,990 | Federal Home Loan Mortgage Corporation, Series3292-SD(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 4.36% | I/FI/O | 03/15/2037 | 85,994 | |||||||
5,502,202 | Federal Home Loan Mortgage Corporation, Series3297-BI(-1 x 1 Month LIBOR USD + 6.76%, 6.76% Cap) | 5.02% | I/FI/O | 04/15/2037 | 1,122,104 | |||||||
4,159,762 | Federal Home Loan Mortgage Corporation, Series3311-BI(-1 x 1 Month LIBOR USD + 6.76%, 6.76% Cap) | 5.02% | I/FI/O | 05/15/2037 | 725,556 | |||||||
4,027,039 | Federal Home Loan Mortgage Corporation, Series3311-IA(-1 x 1 Month LIBOR USD + 6.41%, 6.41% Cap) | 4.67% | I/FI/O | 05/15/2037 | 768,630 | |||||||
909,774 | Federal Home Loan Mortgage Corporation, Series3314-SH(-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap) | 4.66% | I/FI/O | 11/15/2036 | 159,448 | |||||||
453,489 | Federal Home Loan Mortgage Corporation, Series3330-KS(-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) | 4.81% | I/FI/O | 06/15/2037 | 57,260 | |||||||
122,071 | Federal Home Loan Mortgage Corporation, Series3339-AI(-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) | 4.81% | I/FI/O | 07/15/2037 | 16,892 | |||||||
2,666,799 | Federal Home Loan Mortgage Corporation, Series3339-TI(-1 x 1 Month LIBOR USD + 6.14%, 6.14% Cap) | 4.40% | I/FI/O | 07/15/2037 | 470,272 | |||||||
1,855,527 | Federal Home Loan Mortgage Corporation, Series3374-SD(-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap) | 4.71% | I/FI/O | 10/15/2037 | 300,905 | |||||||
327,779 | Federal Home Loan Mortgage Corporation, Series3382-SU(-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | 4.56% | I/FI/O | 11/15/2037 | 42,096 | |||||||
4,766,651 | Federal Home Loan Mortgage Corporation, Series3404-SA(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 4.26% | I/FI/O | 01/15/2038 | 876,545 | |||||||
296,031 | Federal Home Loan Mortgage Corporation, Series3423-GS(-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap) | 3.91% | I/FI/O | 03/15/2038 | 33,440 | |||||||
3,560,971 | Federal Home Loan Mortgage Corporation, Series3435-S(-1 x 1 Month LIBOR USD + 5.98%, 5.98% Cap) | 4.24% | I/FI/O | 04/15/2038 | 562,811 | |||||||
229,948 | Federal Home Loan Mortgage Corporation, Series3508-PS(-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) | 4.91% | I/FI/O | 02/15/2039 | 25,300 | |||||||
2,218,947 | Federal Home Loan Mortgage Corporation, Series3728-SV(-1 x 1 Month LIBOR USD + 4.45%, 4.45% Cap) | 2.71% | I/FI/O | 09/15/2040 | 208,189 | |||||||
10,374,832 | Federal Home Loan Mortgage Corporation, Series3736-SN(-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 4.31% | I/FI/O | 10/15/2040 | 1,922,168 | |||||||
4,003,457 | Federal Home Loan Mortgage Corporation, Series3753-SB(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 4.26% | I/FI/O | 11/15/2040 | 682,687 | |||||||
4,438,682 | Federal Home Loan Mortgage Corporation, Series3780-SM(-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | 4.76% | I/FI/O | 12/15/2040 | 866,988 | |||||||
1,483,285 | Federal Home Loan Mortgage Corporation, Series3815-ST(-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap) | 4.11% | I/FI/O | 02/15/2041 | 217,021 | |||||||
1,174,966 | Federal Home Loan Mortgage Corporation, Series3905-SC(-5 x 1 Month LIBOR USD + 22.75%, 22.75% Cap) | 14.29% | I/F | 08/15/2041 | 2,236,502 | |||||||
1,468,784 | Federal Home Loan Mortgage Corporation, Series3924-SJ(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 4.26% | I/FI/O | 09/15/2041 | 230,477 | |||||||
4,993,962 | Federal Home Loan Mortgage Corporation, Series3960-ES(-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap) | 4.21% | I/FI/O | 11/15/2041 | 628,421 | |||||||
3,353,202 | Federal Home Loan Mortgage Corporation, Series4225-BS(-3 x 1 Month LIBOR USD + 11.87%, 11.87% Cap) | 7.36% | I/F | 12/15/2040 | 4,153,705 | |||||||
3,729,954 | Federal Home Loan Mortgage Corporation, Series4291-MS(-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap) | 4.16% | I/FI/O | 01/15/2054 | 712,344 | |||||||
142,985 | Federal National Mortgage Association, Series2005-72-WS(-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) | 4.96% | I/FI/O | 08/25/2035 | 19,148 | |||||||
1,479,351 | Federal National Mortgage Association, Series2005-90-SP(-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) | 4.96% | I/FI/O | 09/25/2035 | 147,525 | |||||||
627,632 | Federal National Mortgage Association, Series2006-117-SQ(-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) | 4.76% | I/FI/O | 12/25/2036 | 79,139 | |||||||
320,170 | Federal National Mortgage Association, Series2006-119-HS(-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) | 4.86% | I/FI/O | 12/25/2036 | 40,191 | |||||||
5,445,237 | Federal National Mortgage Association, Series2006-123-CI(-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap) | 4.95% | I/FI/O | 01/25/2037 | 1,080,515 | |||||||
2,487,447 | Federal National Mortgage Association, Series2007-15-BI(-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap) | 4.91% | I/FI/O | 03/25/2037 | 468,125 | |||||||
700,783 | Federal National Mortgage Association, Series2007-20-S(-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap) | 4.95% | I/FI/O | 03/25/2037 | 86,728 | |||||||
419,624 | Federal National Mortgage Association, Series2007-21-SD(-1 x 1 Month LIBOR USD + 6.48%, 6.48% Cap) | 4.69% | I/FI/O | 03/25/2037 | 48,106 | |||||||
1,134,628 | Federal National Mortgage Association, Series2007-30-IE(-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap) | 4.95% | I/FI/O | 04/25/2037 | 266,181 | |||||||
2,644,123 | Federal National Mortgage Association, Series2007-32-SA(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 4.31% | I/FI/O | 04/25/2037 | 426,139 | |||||||
1,319,300 | Federal National Mortgage Association, Series2007-40-SA(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 4.31% | I/FI/O | 05/25/2037 | 206,379 | |||||||
190,716 | Federal National Mortgage Association, Series2007-48-SE(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 4.31% | I/FI/O | 05/25/2037 | 20,524 | |||||||
480,146 | Federal National Mortgage Association, Series2007-64-LI(-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap) | 4.77% | I/FI/O | 07/25/2037 | 58,654 | |||||||
141,659 | Federal National Mortgage Association, Series2007-68-SA(-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) | 4.86% | I/FI/O | 07/25/2037 | 16,687 | |||||||
6,306,200 | Federal National Mortgage Association, Series2007-75-PI(-1 x 1 Month LIBOR USD + 6.54%, 6.54% Cap) | 4.75% | I/FI/O | 08/25/2037 | 1,134,294 | |||||||
3,614,431 | Federal National Mortgage Association, Series2008-33-SA(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 4.21% | I/FI/O | 04/25/2038 | 582,654 | |||||||
2,980,850 | Federal National Mortgage Association, Series2008-42-SC(-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap) | 4.11% | I/FI/O | 05/25/2038 | 464,086 | |||||||
697,995 | Federal National Mortgage Association, Series2008-5-GS(-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) | 4.46% | I/FI/O | 02/25/2038 | 113,575 | |||||||
1,818,024 | Federal National Mortgage Association, Series2008-62-SD(-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 4.26% | I/FI/O | 07/25/2038 | 285,177 | |||||||
1,229,738 | Federal National Mortgage Association, Series2008-68-SB(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 4.31% | I/FI/O | 08/25/2038 | 203,481 | |||||||
256,578 | Federal National Mortgage Association, Series2009-111-SE(-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) | 4.46% | I/FI/O | 01/25/2040 | 32,170 | |||||||
1,164,317 | Federal National Mortgage Association, Series2009-12-CI(-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap) | 4.81% | I/FI/O | 03/25/2036 | 188,904 | |||||||
264,475 | Federal National Mortgage Association, Series2009-47-SA(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 4.31% | I/FI/O | 07/25/2039 | 25,195 | |||||||
292,859 | Federal National Mortgage Association, Series2009-48-WS(-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap) | 4.16% | I/FI/O | 07/25/2039 | 30,606 | |||||||
140,921 | Federal National Mortgage Association, Series2009-67-SA(-1 x 1 Month LIBOR USD + 5.15%, 0.25% Floor, 5.15% Cap) | 3.36% | I/FI/O | 07/25/2037 | 11,441 | |||||||
671,214 | Federal National Mortgage Association, Series2009-87-SA(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 4.21% | I/FI/O | 11/25/2049 | 81,658 | |||||||
1,095,619 | Federal National Mortgage Association, Series2009-91-SD(-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) | 4.36% | I/FI/O | 11/25/2039 | 181,681 | |||||||
232,539 | Federal National Mortgage Association, Series2010-115-SD(-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap) | 4.81% | I/FI/O | 11/25/2039 | 32,493 | |||||||
359,159 | Federal National Mortgage Association, Series2010-11-SC(-1 x 1 Month LIBOR USD + 4.80%, 4.80% Cap) | 3.01% | I/FI/O | 02/25/2040 | 30,047 | |||||||
1,789,003 | Federal National Mortgage Association, Series2010-134-SE(-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) | 4.86% | I/FI/O | 12/25/2025 | 145,508 | |||||||
7,086,042 | Federal National Mortgage Association, Series2010-142-SC(-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap) | 4.81% | I/FI/O | 12/25/2040 | 1,512,605 | |||||||
1,218,978 | Federal National Mortgage Association, Series2010-15-SL(-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap) | 3.16% | I/FI/O | 03/25/2040 | 153,871 | |||||||
256,463 | Federal National Mortgage Association, Series2010-19-SA(-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) | 3.61% | I/FI/O | 03/25/2050 | 19,444 | |||||||
1,019,878 | Federal National Mortgage Association, Series2010-31-SB(-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) | 3.21% | I/FI/O | 04/25/2040 | 122,603 | |||||||
1,686,344 | Federal National Mortgage Association, Series2010-39-SL(-1 x 1 Month LIBOR USD + 5.67%, 5.67% Cap) | 3.88% | I/FI/O | 05/25/2040 | 253,665 | |||||||
277,777 | Federal National Mortgage Association, Series2010-8-US(-1 x 1 Month LIBOR USD + 4.80%, 4.80% Cap) | 3.01% | I/FI/O | 02/25/2040 | 18,233 | |||||||
297,221 | Federal National Mortgage Association, Series2010-9-GS(-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap) | 2.96% | I/FI/O | 02/25/2040 | 22,404 | |||||||
1,426,004 | Federal National Mortgage Association, Series2011-114-S(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 4.21% | I/FI/O | 09/25/2039 | 226,534 | |||||||
2,267,934 | Federal National Mortgage Association, Series2011-146-US(-1 x 1 Month LIBOR USD + 7.00%, 7.00% Cap) | 4.49% | I/F | 01/25/2042 | 2,368,328 | |||||||
763,636 | Federal National Mortgage Association, Series2011-5-PS(-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap) | 4.61% | I/FI/O | 11/25/2040 | 61,500 | |||||||
330,984 | Federal National Mortgage Association, Series2012-29-SG(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 4.21% | I/FI/O | 04/25/2042 | 43,252 | |||||||
4,794,030 | Federal National Mortgage Association, Series2012-56-SN(-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 4.26% | I/FI/O | 06/25/2042 | 752,923 | |||||||
4,870,988 | Federal National Mortgage Association, Series2012-76-SC(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 4.21% | I/FI/O | 07/25/2042 | 786,963 | |||||||
9,953,709 | Federal National Mortgage Association, Series2013-83-US(-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) | 3.21% | I/F | 08/25/2043 | 9,698,789 | |||||||
330,974 | Federal National Mortgage Association, Series374-19 | 6.50% | I/O | 09/25/2036 | 75,915 | |||||||
830,319 | Government National Mortgage Association, Series2009-104-SD(-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap) | 4.61% | I/FI/O | 11/16/2039 | 148,514 | |||||||
161,682 | Government National Mortgage Association, Series2010-98-IA | 5.69% | #I/O | 03/20/2039 | 19,323 | |||||||
1,048,998 | Government National Mortgage Association, Series2011-69-SB(-1 x 1 Month LIBOR USD + 5.35%, 5.35% Cap) | 3.59% | I/FI/O | 05/20/2041 | 161,070 | |||||||
1,544,170 | Government National Mortgage Association, Series2011-71-SG(-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) | 3.64% | I/FI/O | 05/20/2041 | 245,029 | |||||||
1,811,425 | Government National Mortgage Association, Series2011-72-AS(-1 x 1 Month LIBOR USD + 5.38%, 5.38% Cap) | 3.62% | I/FI/O | 05/20/2041 | 275,138 | |||||||
2,130,899 | Government National Mortgage Association, Series2011-89-SA(-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap) | 3.69% | I/FI/O | 06/20/2041 | 312,039 | |||||||
949,321 | Government National Mortgage Association, Series2012-34-LI(-20 x 1 Month LIBOR USD + 122.00%, 6.00% Cap) | 6.00% | I/FI/O | 12/16/2039 | 215,412 | |||||||
9,671,703 | Government National Mortgage Association, Series2013-119-TZ | 3.00% | > | 08/20/2043 | 9,712,191 | |||||||
33,113,587 | Government National Mortgage Association, Series2013-39-HS(-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap) | 2.99% | I/FI/O | 03/20/2041 | 4,335,211 | |||||||
6,008,455 | Government National Mortgage Association, Series2014-39-SK(-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap) | 4.44% | I/FI/O | 03/20/2044 | 1,141,863 | |||||||
8,648,723 | Government National Mortgage Association, Series2014-59-DS(-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) | 4.51% | I/FI/O | 04/16/2044 | 1,520,815 | |||||||
6,235,326 | Government National Mortgage Association, Series2014-63-SD(-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap) | 3.79% | I/FI/O | 04/20/2044 | 1,481,076 | |||||||
5,193,587 | Government National Mortgage Association, Series2014-69-ST(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 4.36% | I/FI/O | 12/16/2039 | 847,515 | |||||||
6,539,913 | Government National Mortgage Association, Series2015-148-BS(-1 x 1 Month LIBOR USD + 5.69%, 5.69% Cap) | 3.93% | I/FI/O | 10/20/2045 | 1,057,448 | |||||||
37,573,649 | Government National Mortgage Association, Series2018-111-SA(-1 x 1 Month LIBOR USD + 4.55%, 4.55% Cap) | 2.79% | I/FI/O | 08/20/2048 | 3,307,691 | |||||||
72,654,251 | Government National Mortgage Association, Series2018-48-SD(-1 x 1 Month LIBOR USD + 3.90%, 3.90% Cap) | 2.14% | I/FI/O | 04/20/2048 | 5,806,869 | |||||||
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Total US Government and Agency Mortgage Backed Obligations (Cost $60,610,377) | 71,158,167 | |||||||||||
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Common Stocks - 0.0% | ||||||||||||
1,813 | McDermott International, Inc. * | 1,226 | ||||||||||
6,558 | Syncreon Group B.V. * Þ | 91,810 | ||||||||||
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Total Common Stocks (Cost $180,411) | 93,036 | |||||||||||
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Short Term Investments - 10.2% | ||||||||||||
1,171,510 | First American Government Obligations Fund - Class U | 1.53% | ◆ | 1,171,510 | ||||||||
1,171,510 | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | 1.51% | ◆ | 1,171,510 | ||||||||
1,171,510 | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | 1.51% | ◆ | 1,171,510 | ||||||||
28,000,000 | United States Treasury Bill | 0.00% | 12/03/2020 | 27,613,576 | ||||||||
|
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Total Short Term Investments (Cost $31,127,262) | 31,128,106 | |||||||||||
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| |||||||||||
Total Investments - 124.1% (Cost $376,245,118) | 380,061,030 | |||||||||||
Liabilities in Excess of Other Assets - (24.1)% | (73,907,283 | ) | ||||||||||
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| |||||||||||
NET ASSETS - 100.0% | $ | 306,153,747 | ||||||||||
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^ | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. |
W | Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
Þ | Value determined using significant unobservable inputs. |
# | Variable Rate Security. Coupon rate is based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end. |
± | Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of December 31, 2019. |
I/O | Interest only security |
ß | The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of December 31, 2019. |
I/F | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor. |
> | This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of December 31, 2019. |
PIK | Apayment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings |
* | Non-income producing security |
@ | Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of December 31, 2019. |
◆ | Seven-day yield as of December 31, 2019 |
SECURITY TYPE BREAKDOWN as a % of Net Assets:
Non-Agency Residential Collateralized Mortgage Obligations | 30.3 | % | ||
Collateralized Loan Obligations | 27.5 | % | ||
US Government and Agency Mortgage Backed Obligations | 23.2 | % | ||
Non-Agency Commercial Mortgage Backed Obligations | 20.5 | % | ||
Short Term Investments | 10.2 | % | ||
Bank Loans | 7.3 | % | ||
Asset Backed Obligations | 4.4 | % | ||
Foreign Corporate Bonds | 0.7 | % | ||
Common Stocks | 0.0 | % ~ | ||
Other Assets and Liabilities | (24.1 | )% | ||
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100.0 | % | |||
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~ Represents less than 0.05% of net assets
Notes to Schedule of Investments
December 31, 2019 (Unaudited)
1. Organization
DoubleLine Opportunistic Credit Fund (the “Fund”) was formed as a closed-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and originally classified as a non-diversified fund. The Fund is currently operating as a diversified fund. Currently under the 1940 Act, a diversified fund generally may not, with respect to 75% of its total assets, invest more than 5% of its total assets in the securities of any one issuer or own more than 10% of the outstanding voting securities of such issuer (except, in each case, U.S. Government securities, cash, cash items and the securities of other investment companies). The remaining 25% of a fund’s total assets is not subject to this limitation. The Fund was organized as a Massachusetts business trust on July 22, 2011 and commenced operations on January 27, 2012. The Fund is listed on the New York Stock Exchange (“NYSE”) under the symbol “DBL”. The Fund’s investment objective is to seek high total investment return by providing a high level of current income and the potential for capital appreciation.
2. Significant Accounting Policies
The Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, “Financial Services—Investment Companies”, by the Financial Accounting Standards Board (“FASB”). The following is a summary of the significant accounting policies of the Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (“US GAAP”).
A. Security Valuation. The Fund has adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
• | Level 1—Unadjusted quoted market prices in active markets for identical securities |
• | Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data |
• | Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions) |
Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3. Assets and liabilities may be transferred between levels.
Fixed-income class | Examples of Inputs | |
All | Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”) | |
Corporate bonds and notes; convertible securities | Standard inputs and underlying equity of the issuer | |
US bonds and notes of government and government agencies | Standard inputs | |
Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations) | Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports | |
Bank loans | Standard inputs |
Investments in registered open-end management investment companies will be valued based upon the net asset value (“NAV”) of such investments and are categorized as Level 1 of the fair value hierarchy.
The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security may decline below the repurchase price of the security. The Fund will segregate assets determined to be liquid by the Adviser or otherwise cover its obligations under reverse repurchase agreements. Securities pledged as collateral are reflected as a component of Investments in Securities, at Value on the
Statement of Assets and Liabilities and are noted on the Schedule of Investments. Typically, the counterparty under the terms of the agreement is able to rehypothecate, resell or repledge the security. The value of reverse repurchase agreements entered into are recorded in Payable for Reverse Repurchase Agreements on the Statement of Assets and Liabilities. Interest is accrued daily and an appropriate payment reflecting the interest due for reverse repurchase agreements held at period end is recorded in Interest Payable for Reverse Repurchase Agreements on the Statement of Assets and Liabilities. The cumulative interest paid during the period is recorded in Interest Expense for Reverse Repurchase Agreements on the Statement of Operations. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value at June 30, 2019.
Securities may be fair valued by the Adviser in accordance with the fair valuation procedures approved by the Board of Trustees (the “Board”). The Adviser’s valuation committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Adviser’s valuation committee and the pricing group are authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations or third party vendor prices are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market or fair value.
The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of December 31, 20191:
Category |
| |||
Investments in Securities | ||||
Level 1 | ||||
Money Market Funds | $ | 3,514,530 | ||
Common Stocks | 1,226 | |||
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Total Level 1 | 3,515,756 | |||
Level 2 | ||||
Collateralized Loan Obligations | 82,417,160 | |||
US Government and Agency Mortgage Backed Obligations | 71,158,167 | |||
Non-Agency Residential Collateralized Mortgage Obligations | 65,394,894 | |||
Non-Agency Commercial Mortgage Backed Obligations | 56,451,847 | |||
Other Short Term Investments | 27,613,576 | |||
Bank Loans | 22,319,070 | |||
Asset Backed Obligations | 13,535,621 | |||
Foreign Corporate Bonds | 2,248,195 | |||
|
|
| ||
Total Level 2 | 341,138,530 | |||
Level 3 | ||||
Non-Agency Residential Collateralized Mortgage Obligations | 27,367,120 | |||
Non-Agency Commercial Mortgage Backed Obligations | 6,290,377 | |||
Collateralized Loan Obligations | 1,657,437 | |||
Common Stocks | 91,810 | |||
|
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| ||
Total Level 3 | 35,406,744 | |||
|
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| ||
Total | $ | 380,061,030 | ||
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|
|
See the Schedule of Investments for further disaggregation of investment categories.
1 There were no transfers into or out of Level 1 during the period ended December 31, 2019.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
Fair Value as of 9/30/2019 | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation)3 | Net Accretion (Amortization) | Purchases 1 | Sales 2 | Transfers Into Level 34 | Transfers Out of Level 34 | Fair Value as of 12/31/2019 | Net Change in Unrealized Appreciation (Depreciation) on securities held at 12/31/20193 | |||||||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
Non-Agency Residential Collateralized Mortgage Obligations | $ | 27,417,872 | $ | - | $ | (123,031 | ) | $ | 72,279 | $ | - | $ | - | $ | - | $ | - | $ | 27,367,120 | $ | (123,031 | ) | ||||||||||||||||||
Non-Agency Commercial Mortgage Backed Obligations | 6,334,700 | 72,664 | (45,190 | ) | 41,585 | 9,714 | (123,096 | ) | - | - | 6,290,377 | (48,007 | ) | |||||||||||||||||||||||||||
Collateralized Loan Obligations | 1,793,755 | - | (136,318 | ) | - | - | - | - | - | 1,657,437 | (136,318 | ) | ||||||||||||||||||||||||||||
Common Stocks | - | - | - | - | - | - | 91,810 | - | 91,810 | - | ||||||||||||||||||||||||||||||
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Total | $ | 35,546,327 | $ | 72,664 | $ | (304,539 | ) | $ | 113,864 | $ | 9,714 | $ | (123,096 | ) | $ | 91,810 | $ | - | $ | 35,406,744 | (307,356 | ) | ||||||||||||||||||
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1 Purchases include all purchases of securities, payups and corporate actions.
2Sales include all sales of securities, maturities, and paydowns.
3Any difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation) on securities held at December 31, 2019 may be due to a security that was not held or categorized as Level 3 at either period end.
4 Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments.
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
Fair Value as of 12/31/2019 * | Valuation Techniques | Unobservable Input | Unobservable Input Values (Weighted Average)+ | Impact to valuation from an increase to input | ||||||||||
Non-Agency Residential Collateralized Mortgage Obligations | $ | 27,367,120 | Market Comparables | Market Quotes | $100.73 - $102.89 ($101.33) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Non-Agency Commercial Mortgage Backed Obligations | $ | 6,290,377 | Market Comparables | Yields | 4.24% - 76.81% (12.92%) | Increase in yields would have resulted in the decrease in the fair value of the security | ||||||||
Collateralized Loan Obligations | $ | 1,657,437 | Market Comparables | Market Quotes | $29.62 - $68.06 ($61.19) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Common Stocks | $ | 91,810 | Market Comparables | Market Quotes | $14.00 ($14.00) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
* Level 3 securities are typically valued by pricing vendors. The appropriateness of fair values for these securities is monitored on an ongoing basis by the Adviser, which may include back testing, results of vendor due diligence, unchanged price review and consideration of market and/or sector events.
+ Unobservable inputs were weighted by the relative fair value of the instruments.