DoubleLine Income Solutions Fund
Schedule of Investments
December 31, 2019 (Unaudited)
Principal Amount $/Shares | Security Description | Rate | Maturity | Value $ | ||||||||
Asset Backed Obligations - 1.2% | ||||||||||||
2,440,500 | AASET Ltd., Series2019-2-C | 6.41% | ^ | 10/16/2039 | 2,439,048 | |||||||
370,561 | Castlelake Aircraft Securitization Trust, Series2018-1-C | 6.63% | ^ | 06/15/2043 | 372,239 | |||||||
1,356,407 | Castlelake Aircraft Securitization Trust, Series2019-1A-C | 6.90% | ^ | 04/15/2039 | 1,368,691 | |||||||
4,370,019 | GAIA Aviation Ltd., Series2019-1-C | 7.00% | ^§ | 12/15/2044 | 4,362,358 | |||||||
4,261,377 | Harley Marine Financing LLC, Series2018-1A-A2 | 5.68% | ^ | 05/15/2043 | 3,807,890 | |||||||
871,134 | Horizon Aircraft Finance Ltd., Series2018-1-C | 6.66% | ^ | 12/15/2038 | 875,285 | |||||||
50,000 | SoFi Consumer Loan Program LLC, Series2018-A-R1 | 0.00% | ^@ | 02/25/2042 | 3,731,643 | |||||||
14,827 | SoFi Consumer Loan Program LLC, Series2018-A-R2 | 0.00% | ^@ | 02/25/2042 | 1,106,582 | |||||||
3,952,000 | Start Ltd., Series2019-2-C | 6.66% | ^ | 11/15/2044 | 3,950,222 | |||||||
2,000,000 | Tesla Auto Lease Trust, Series2019-A-E | 5.48% | ^ | 05/22/2023 | 2,008,574 | |||||||
|
| |||||||||||
Total Asset Backed Obligations(Cost $24,303,081) | 24,022,532 | |||||||||||
|
| |||||||||||
Bank Loans - 10.7% | ||||||||||||
751,225 | Achilles Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 5.81% | 10/13/2025 | 760,146 | ||||||||
158,000 | Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 5.69% | 11/22/2023 | 158,461 | ||||||||
745,951 | Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) | 6.19% | 11/22/2023 | 749,215 | ||||||||
747,661 | Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 6.30% | 08/01/2025 | 752,334 | ||||||||
1,876,425 | Aleris International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) | 6.55% | 02/27/2023 | 1,881,116 | ||||||||
3,000,000 | Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) | 9.45% | 06/16/2025 | 2,943,225 | ||||||||
6,497,471 | 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 | 5,831,480 | ||||||||
4,653,195 | Applied Systems, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.00%, 1.00% Floor) | 8.91% | 09/19/2025 | 4,755,961 | ||||||||
6,330,000 | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%) | 8.30% | 08/04/2025 | 6,422,576 | ||||||||
3,114,350 | Athenahealth, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%) | 6.40% | 02/11/2026 | 3,135,107 | ||||||||
1,791,464 | Auris Luxembourg III Sarl, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) | 5.55% | 02/27/2026 | 1,803,413 | ||||||||
1,341,313 | Bass Pro Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) | 6.80% | 09/25/2024 | 1,339,918 | ||||||||
2,440,000 | BellRing Brands LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor) | 6.80% | 10/21/2024 | 2,472,037 | ||||||||
6,899,937 | BI-LO LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.00% Floor) | 9.89% | 05/31/2024 | 6,396,828 | ||||||||
4,000,000 | Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) | 6.05% | 10/02/2025 | 3,964,100 | ||||||||
2,505,073 | Brookfield WEC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) | 5.30% | 08/01/2025 | 2,526,203 | ||||||||
3,467,884 | Capital Automotive L.P., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) | 7.91% | 03/24/2025 | 3,489,558 | ||||||||
1,831,813 | Covia Holdings Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) | 6.04% | 06/02/2025 | 1,422,091 | ||||||||
2,000,000 | CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) | 6.03% | 07/03/2020 | 1,945,000 | ||||||||
2,900,000 | CSM Bakery Solutions LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.75%, 1.00% Floor) | 9.66% | 05/23/2021 | 2,772,400 | ||||||||
4,995,000 | Cyxtera DC Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%, 1.00% Floor) | 8.99% | 05/01/2025 | 3,102,444 | ||||||||
373,951 | Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 5.94% | 04/06/2026 | 377,017 | ||||||||
201,049 | Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 5.94% | 04/06/2026 | 202,698 | ||||||||
1,516,900 | EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 5.69% | 05/09/2025 | 1,437,741 | ||||||||
1,250,000 | Excelitas Technologies Corporation, Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.50%, 1.00% Floor) | 9.41% | 12/01/2025 | 1,212,500 | ||||||||
725,428 | Explorer Holdings, Inc., Senior Secured First Lien Term Loan (2 Month LIBOR USD + 3.75%, 1.00% Floor) | 5.60% | 05/02/2023 | 732,682 | ||||||||
2,984,850 | Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) | 5.05% | 10/01/2025 | 3,013,952 | ||||||||
6,435,000 | Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) | 5.44% | 08/01/2024 | 5,383,553 | ||||||||
9,271,109 | Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor) | 7.66% | W | 03/28/2022 | 4,112,386 | |||||||
4,066,129 | Gavilan Resources LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) | 7.80% | 03/01/2024 | 1,626,451 | ||||||||
1,569,150 | Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 6.31% | 02/19/2026 | 1,576,015 | ||||||||
3,970,000 | Granite Holdings Acquisition Company, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%) | 7.21% | 09/30/2026 | 3,989,850 | ||||||||
9,350,221 | Gulf Finance LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor) | 7.20% | 08/25/2023 | 7,364,140 | ||||||||
2,920,000 | Houston Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) | 5.55% | 07/21/2025 | 2,847,000 | ||||||||
7,700,000 | Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor) | 8.80% | 07/07/2025 | 7,820,313 | ||||||||
2,055,000 | Inmarsat PLC, Senior Secured First Lien Term Loan | 6.41% | ± | 12/12/2026 | 2,070,248 | |||||||
4,428,435 | Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor) | 6.93% | 10/20/2023 | 3,113,765 | ||||||||
1,832,100 | Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) | 5.56% | 05/26/2025 | 1,767,977 | ||||||||
2,231,750 | Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) | 6.81% | 07/02/2025 | 2,251,278 | ||||||||
2,493,622 | 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 | 2,254,858 | ||||||||
4,500,000 | Kronos, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.25%) | 10.16% | 11/01/2024 | 4,606,875 | ||||||||
5,745,000 | Longview Power LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%) | 7.91% | 04/13/2021 | 3,177,703 | ||||||||
3,208,750 | LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) | 7.74% | 05/01/2023 | 2,972,105 | ||||||||
1,553,939 | McDermott International, Inc., Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 10.00%, 1.00% Floor) | 11.69% | W | 10/21/2021 | 1,590,845 | |||||||
4,066,881 | McDermott International, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor) | 6.94% | W | 05/12/2025 | 2,415,727 | |||||||
3,945,175 | Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) | 6.80% | 03/27/2026 | 3,895,860 | ||||||||
1,791,000 | Mirion Technologies, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 6.10% | 03/06/2026 | 1,808,910 | ||||||||
5,333,333 | Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) | 9.05% | 12/01/2025 | 5,133,333 | ||||||||
1,732,313 | MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 6.19% | 11/28/2025 | 1,644,250 | ||||||||
2,920,000 | MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.75%) | 10.44% | 11/30/2026 | 2,238,662 | ||||||||
3,020,781 | Monitronics International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.50%, 1.25% Floor) | 8.30% | 03/29/2024 | 2,578,992 | ||||||||
905,000 | NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%) | 8.80% | 10/19/2026 | 821,288 | ||||||||
1,732,500 | Numericable U.S. LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 5.74% | 08/14/2026 | 1,739,179 | ||||||||
3,845,000 | Pearl Intermediate Parent LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%) | 8.05% | 02/13/2026 | 3,806,569 | ||||||||
640,000 | Pelican Products, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.75%) | 9.66% | 05/01/2026 | 612,800 | ||||||||
575,650 | Polar US Borrower LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) | 6.69% | 10/15/2025 | 574,211 | ||||||||
2,000,000 | PowerTeam Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor) | 9.19% | 03/06/2026 | 1,440,000 | ||||||||
2,330,250 | Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) | 6.69% | 03/11/2026 | 2,318,599 | ||||||||
1,771,579 | Radiology Partners, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%, 1.00% Floor) | 6.71% | 07/09/2025 | 1,783,395 | ||||||||
3,788,763 | RentPath, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 1.00% Floor) | 6.66% | W | 12/17/2021 | 2,109,659 | |||||||
2,395,000 | Restaurant Technologies, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%) | 8.30% | 10/01/2026 | 2,389,013 | ||||||||
2,806,460 | Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 5.91% | 06/26/2025 | 2,784,008 | ||||||||
1,275,000 | Solenis International LP, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%) | 10.41% | 06/26/2026 | 1,166,625 | ||||||||
740,101 | Solera LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) | 4.55% | 03/03/2023 | 742,473 | ||||||||
1,680,000 | Sotera Health Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) | 6.29% | 12/11/2026 | 1,688,929 | ||||||||
3,771,145 | Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 8.55% | 06/26/2026 | 3,808,856 | ||||||||
3,125,000 | Southern Graphics, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.50%) | 9.41% | 12/08/2023 | 862,500 | ||||||||
2,314,238 | 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 | 2,198,527 | ||||||||
871,827 | Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) | 6.80% | 10/01/2024 | 838,410 | ||||||||
1,555,608 | Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%) | 7.80% | 04/01/2025 | 1,341,712 | ||||||||
4,210,000 | The Dun & Bradstreet Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) | 6.79% | 02/06/2026 | 4,252,100 | ||||||||
2,233,125 | The Edelman Financial Center LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) | 5.04% | 07/21/2025 | 2,249,639 | ||||||||
900,000 | The Edelman Financial Center LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 8.54% | 07/20/2026 | 901,125 | ||||||||
3,819,235 | TKC Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.00%, 1.00% Floor) | 9.80% | 02/01/2024 | 3,475,504 | ||||||||
1,175,125 | Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 5.79% | 01/25/2024 | 1,182,470 | ||||||||
1,140,000 | Travelport Finance SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) | 6.94% | 05/29/2026 | 1,069,320 | ||||||||
982,525 | United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) | 6.05% | 10/22/2025 | 844,358 | ||||||||
4,000,000 | Vantage Specialty Chemicals, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor) | 10.16% | 10/27/2025 | 3,490,000 | ||||||||
2,593,800 | Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 6.30% | 08/27/2025 | 2,617,572 | ||||||||
1,132,163 | Wand NewCo 3, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) | 5.30% | 02/05/2026 | 1,143,133 | ||||||||
1,650,859 | WASH Multifamily Laundry Systems LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%) | 8.91% | 05/15/2023 | 1,576,570 | ||||||||
289,141 | WASH Multifamily Laundry Systems LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%) | 8.91% | 05/15/2023 | 276,130 | ||||||||
2,992,500 | WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.75%, 1.00% Floor) | 7.83% | 06/22/2026 | 2,951,353 | ||||||||
4,350,606 | Web.Com Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.75%) | 9.49% | 10/09/2026 | 4,199,706 | ||||||||
1,381,050 | WeddingWire, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 6.20% | 12/19/2025 | 1,389,682 | ||||||||
2,725,000 | WeddingWire, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.25%) | 10.05% | 12/21/2026 | 2,697,750 | ||||||||
1,340,000 | Wink Holdco, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 8.66% | 12/01/2025 | 1,346,700 | ||||||||
1,380,000 | Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) | 6.55% | 09/30/2026 | 1,389,350 | ||||||||
|
| |||||||||||
Total Bank Loans(Cost $236,499,409) | 213,920,514 | |||||||||||
|
| |||||||||||
Collateralized Loan Obligations - 11.8% | ||||||||||||
2,000,000 | Adams Mill Ltd., Series2014-1A-D2 (3 Month LIBOR USD + 4.25%) | 6.25% | ^ | 07/15/2026 | 2,002,014 | |||||||
6,000,000 | Adams Mill Ltd., Series2014-1A-E2 (3 Month LIBOR USD + 6.25%) | 8.25% | ^ | 07/15/2026 | 6,001,789 | |||||||
2,000,000 | Apidos Ltd., Series2015-21A-ER (3 Month LIBOR USD + 8.25%, 8.25% Floor) | 10.25% | ^ | 07/18/2027 | 1,814,518 | |||||||
3,000,000 | Apidos Ltd., Series2016-24A-DR (3 Month LIBOR USD + 5.80%) | 7.77% | ^ | 10/20/2030 | 2,896,975 | |||||||
2,500,000 | Atrium XV, Series15A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor) | 7.78% | ^ | 01/23/2031 | 2,404,688 | |||||||
2,250,000 | Babson Ltd., Series2015-2A-ER (3 Month LIBOR USD + 6.45%) | 8.42% | ^ | 10/20/2030 | 2,238,328 | |||||||
1,500,000 | Barings Ltd., Series2018-4A-E (3 Month LIBOR USD + 5.82%, 5.82% Floor) | 7.82% | ^ | 10/15/2030 | 1,437,117 | |||||||
5,000,000 | Barings Ltd., Series2019-2A-D (3 Month LIBOR USD + 6.69%, 6.69% Floor) | 8.69% | ^ | 04/15/2031 | 5,011,494 | |||||||
2,500,000 | BlueMountain Ltd., Series2015-2A-F (3 Month LIBOR USD + 6.80%, 6.80% Floor) | 8.80% | ^ | 07/18/2027 | 2,105,108 | |||||||
5,000,000 | Bristol Park Ltd., Series2016-1A-E (3 Month LIBOR USD + 7.25%) | 9.25% | ^ | 04/15/2029 | 5,006,140 | |||||||
6,500,000 | Buttermilk Park Ltd., Series2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 7.75% | ^ | 10/15/2031 | 6,257,522 | |||||||
8,050,000 | Canyon Capital Ltd., Series2015-1A-ER (3 Month LIBOR USD + 6.85%) | 8.85% | ^ | 04/15/2029 | 8,055,458 | |||||||
2,500,000 | Canyon Capital Ltd., Series2016-1A-ER (3 Month LIBOR USD + 5.75%) | 7.75% | ^ | 07/15/2031 | 2,299,189 | |||||||
6,650,000 | Canyon Capital Ltd., Series2017-1A-E (3 Month LIBOR USD + 6.25%) | 8.25% | ^ | 07/15/2030 | 6,503,834 | |||||||
2,500,000 | Canyon Capital Ltd., Series2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 7.75% | ^ | 07/15/2031 | 2,367,064 | |||||||
2,000,000 | Carlyle Global Market Strategies Ltd., Series2013-3A-DR (3 Month LIBOR USD + 5.50%) | 7.50% | ^ | 10/15/2030 | 1,774,359 | |||||||
3,000,000 | Carlyle Global Market Strategies Ltd., Series2019-1A-D (3 Month LIBOR USD + 6.70%, 6.70% Floor) | 8.67% | ^ | 04/20/2031 | 2,973,466 | |||||||
1,500,000 | Chenango Park Ltd., Series2018-1A-D (3 Month LIBOR USD + 5.80%, 5.80% Floor) | 7.80% | ^ | 04/15/2030 | 1,455,747 | |||||||
2,500,000 | Dryden Ltd., Series2018-55A-F (3 Month LIBOR USD + 7.20%) | 9.20% | ^ | 04/15/2031 | 2,091,228 | |||||||
3,250,000 | Dryden Ltd., Series2019-68A-E (3 Month LIBOR USD + 6.75%) | 8.75% | ^ | 07/15/2032 | 3,253,832 | |||||||
3,000,000 | Dryden Senior Loan Fund, Series2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor) | 7.15% | ^ | 01/15/2031 | 2,705,419 | |||||||
1,250,000 | Galaxy Ltd., Series2017-24A-E (3 Month LIBOR USD + 5.50%) | 7.50% | ^ | 01/15/2031 | 1,154,105 | |||||||
2,500,000 | Gilbert Park Ltd., Series2017-1A-E (3 Month LIBOR USD + 6.40%) | 8.40% | ^ | 10/15/2030 | 2,518,667 | |||||||
1,000,000 | Halcyon Loan Advisors Funding Ltd., Series2014-2A-D (3 Month LIBOR USD + 5.00%) | 6.94% | ^Þ | 04/28/2025 | 848,151 | |||||||
1,041,725 | Halcyon Loan Advisors Funding Ltd., Series2014-2A-E (3 Month LIBOR USD + 5.75%) | 7.69% | ^Þ | 04/28/2025 | 726,650 | |||||||
1,000,000 | HPS Loan Management Ltd., Series15A-19-E (3 Month LIBOR USD + 6.60%, 6.60% Floor) | 8.77% | ^ | 07/22/2032 | 994,951 | |||||||
3,500,000 | LCM LP, Series14A-FR (3 Month LIBOR USD + 7.61%) | 9.58% | ^ | 07/20/2031 | 2,583,684 | |||||||
5,000,000 | LCM LP, Series17A-ER (3 Month LIBOR USD + 6.00%, 6.00% Floor) | 8.00% | ^ | 10/15/2031 | 4,361,101 | |||||||
7,000,000 | LCM LP, Series19A-E1 (3 Month LIBOR USD + 6.45%, 6.45% Floor) | 8.45% | ^ | 07/15/2027 | 6,887,102 | |||||||
6,500,000 | LCM LP, Series26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor) | 7.27% | ^ | 01/20/2031 | 5,883,852 | |||||||
2,000,000 | LCM LP, Series28A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 7.72% | ^ | 10/20/2030 | 1,901,293 | |||||||
11,000,000 | Madison Park Funding Ltd., Series2014-14A-ER (3 Month LIBOR USD + 5.80%, 5.80% Floor) | 7.75% | ^ | 10/22/2030 | 10,335,511 | |||||||
7,100,000 | Madison Park Funding Ltd., Series2015-18A-ER (3 Month LIBOR USD + 6.35%) | 8.32% | ^ | 10/21/2030 | 7,051,403 | |||||||
1,500,000 | Madison Park Funding Ltd., Series2016-22A-E (3 Month LIBOR USD + 6.65%) | 8.59% | ^ | 10/25/2029 | 1,500,860 | |||||||
3,000,000 | Madison Park Funding Ltd., Series2017-25A-D (3 Month LIBOR USD + 6.10%) | 8.04% | ^ | 04/25/2029 | 2,992,108 | |||||||
2,000,000 | Madison Park Funding Ltd., Series2019-34A-E (3 Month LIBOR USD + 6.75%, 6.75% Floor) | 8.69% | ^ | 04/25/2031 | 2,001,896 | |||||||
2,000,000 | Madison Park Funding Ltd., Series2019-37A-E (3 Month LIBOR USD + 6.55%) | 8.85% | ^ | 07/15/2032 | 2,004,415 | |||||||
10,000,000 | Magnetite Ltd., Series2012-7A-DR2 (3 Month LIBOR USD + 4.50%) | 6.50% | ^ | 01/15/2028 | 9,392,154 | |||||||
7,500,000 | Magnetite Ltd., Series2015-16A-ER (3 Month LIBOR USD + 5.00%) | 7.00% | ^ | 01/18/2028 | 7,376,492 | |||||||
3,250,000 | Magnetite Ltd., Series2019-22A-E (3 Month LIBOR USD + 6.75%, 6.75% Floor) | 8.75% | ^ | 04/15/2031 | 3,256,441 | |||||||
2,000,000 | Neuberger Berman Loan Advisers Ltd., Series2017-16SA-E (3 Month LIBOR USD + 5.40%) | 7.40% | ^ | 01/15/2028 | 1,974,239 | |||||||
1,000,000 | Neuberger Berman Loan Advisers Ltd., Series2019-31A-E (3 Month LIBOR USD + 6.75%, 6.75% Floor) | 8.72% | ^ | 04/20/2031 | 1,002,416 | |||||||
1,750,000 | Neuberger Berman Loan Advisers Ltd., Series2019-32A-E (3 Month LIBOR USD + 6.70%, 6.70% Floor) | 8.67% | ^ | 01/19/2032 | 1,753,149 | |||||||
2,250,000 | Neuberger Berman Loan Advisers Ltd., Series2019-33A-E (3 Month LIBOR USD + 6.80%, 0.00% Floor) | 8.94% | ^ | 10/16/2032 | 2,259,636 | |||||||
3,000,000 | Newark BSL Ltd., Series2016-1A-D (3 Month LIBOR USD + 6.75%) | 8.69% | ^ | 12/21/2029 | 3,001,252 | |||||||
2,000,000 | Newark BSL Ltd., Series2017-1A-D (3 Month LIBOR USD + 6.30%) | 8.24% | ^ | 07/25/2030 | 2,000,847 | |||||||
3,675,000 | Niagara Park Ltd., Series2019-1A-E (3 Month LIBOR USD + 6.45%, 6.45% Floor) | 8.45% | ^ | 07/17/2032 | 3,690,041 | |||||||
5,000,000 | Octagon Investment Partners Ltd., Series2012-1A-DR (3 Month LIBOR USD + 7.15%) | 9.15% | ^ | 07/15/2029 | 4,993,758 | |||||||
8,250,000 | Octagon Investment Partners Ltd., Series2013-1A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 7.75% | ^ | 07/17/2030 | 7,533,227 | |||||||
5,460,000 | Octagon Investment Partners Ltd., Series2013-1A-ER (3 Month LIBOR USD + 7.00%) | 8.97% | ^ | 07/19/2030 | 5,467,404 | |||||||
2,000,000 | Octagon Investment Partners Ltd., Series2014-1A-DRR (3 Month LIBOR USD + 7.00%, 7.00% Floor) | 8.91% | ^ | 02/14/2031 | 1,990,544 | |||||||
2,000,000 | Octagon Investment Partners Ltd., Series2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor) | 10.09% | ^ | 07/15/2030 | 1,738,368 | |||||||
4,000,000 | Octagon Investment Partners Ltd., Series2017-1A-D (3 Month LIBOR USD + 6.20%) | 8.17% | ^ | 03/17/2030 | 3,952,710 | |||||||
3,000,000 | Octagon Investment Partners Ltd., Series2019-1A-E (3 Month LIBOR USD + 6.60%, 6.60% Floor) | 8.69% | ^ | 10/25/2032 | 3,008,132 | |||||||
1,000,000 | Octagon Investment Partners Ltd., Series2019-1A-E (3 Month LIBOR USD + 7.69%, 7.69% Floor) | 9.52% | ^ | 10/15/2032 | 1,006,673 | |||||||
7,500,000 | Stewart Park Ltd., Series2015-1A-ER (3 Month LIBOR USD + 5.28%, 5.28% Floor) | 7.28% | ^ | 01/15/2030 | 6,701,417 | |||||||
7,200,000 | Venture Ltd., Series2016-24A-E (3 Month LIBOR USD + 6.72%) | 8.69% | ^ | 10/20/2028 | 6,849,479 | |||||||
5,000,000 | Venture Ltd., Series2017-26A-E (3 Month LIBOR USD + 6.80%) | 8.77% | ^ | 01/20/2029 | 4,724,953 | |||||||
4,000,000 | Venture Ltd., Series2017-27A-E (3 Month LIBOR USD + 6.35%) | 8.32% | ^ | 07/20/2030 | 3,698,299 | |||||||
4,050,000 | Voya Ltd., Series2016-4A-E2 (3 Month LIBOR USD + 6.65%) | 8.62% | ^ | 07/20/2029 | 4,078,037 | |||||||
1,500,000 | Voya Ltd., Series2017-1A-D (3 Month LIBOR USD + 6.10%) | 8.10% | ^ | 04/17/2030 | 1,459,659 | |||||||
1,000,000 | Voya Ltd., Series2018-2A-E (3 Month LIBOR USD + 5.25%, 5.25% Floor) | 7.25% | ^ | 07/15/2031 | 935,542 | |||||||
1,000,000 | Voya Ltd., Series2018-2A-F (3 Month LIBOR USD + 7.29%, 7.29% Floor) | 9.29% | ^ | 07/15/2031 | 851,245 | |||||||
2,000,000 | Wind River Ltd., Series2013-2A-E1R (3 Month LIBOR USD + 6.75%) | 8.75% | ^ | 10/18/2030 | 1,776,308 | |||||||
3,500,000 | Wind River Ltd., Series2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 7.75% | ^ | 01/15/2031 | 2,866,612 | |||||||
2,000,000 | Wind River Ltd., Series2014-3A-ER2 (3 Month LIBOR USD + 6.22%, 6.22% Floor) | 8.17% | ^ | 10/22/2031 | 1,640,677 | |||||||
5,000,000 | Wind River Ltd., Series2017-1A-E (3 Month LIBOR USD + 6.42%) | 8.42% | ^ | 04/18/2029 | 4,861,467 | |||||||
3,000,000 | Wind River Ltd., Series2017-3A-E (3 Month LIBOR USD + 6.40%) | 8.40% | ^ | 10/15/2030 | 2,878,165 | |||||||
1,000,000 | Wind River Ltd., Series2018-1A-E (3 Month LIBOR USD + 5.50%) | 7.50% | ^ | 07/15/2030 | 904,121 | |||||||
1,000,000 | Wind River Ltd., Series2018-2A-E (3 Month LIBOR USD + 5.75%) | 7.75% | ^ | 07/15/2030 | 899,308 | |||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 234,923,810 | |||||||||||
|
| |||||||||||
Foreign Corporate Bonds - 64.8% | ||||||||||||
24,000,000 | AES Andres B.V. | 7.95% | ^z | 05/11/2026 | 25,538,580 | |||||||
5,500,000 | AES Argentina Generacion S.A. | 7.75% | ^ | 02/02/2024 | 4,637,875 | |||||||
24,500,000 | AES Argentina Generacion S.A. | 7.75% | 02/02/2024 | 20,659,625 | ||||||||
7,500,000 | AES El Salvador Trust | 6.75% | 03/28/2023 | 7,568,813 | ||||||||
4,600,000 | AES Gener S.A. (5 Year Swap Rate USD + 4.64%) | 7.13% | #^z | 03/26/2079 | 4,835,937 | |||||||
1,000,000 | AES Gener S.A. (5 Year Swap Rate USD + 4.64%) | 7.13% | # | 03/26/2079 | 1,051,291 | |||||||
800,000 | Agile Group Holdings Ltd. (5 Year CMT Rate + 11.25%) | 8.38% | #† | 12/04/2023 | 836,880 | |||||||
8,500,000 | AI Candelaria Spain SLU | 7.50% | 12/15/2028 | 9,554,829 | ||||||||
25,000,000 | AJE Corporation B.V. | 6.50% | 05/14/2022 | 24,645,300 | ||||||||
14,321,000 | Alpha Holdings S.A. | 10.00% | 12/19/2022 | 14,683,636 | ||||||||
400,000 | Alpha Holdings S.A. | 10.00% | ^z | 12/19/2022 | 410,129 | |||||||
67,229 | Autopistas del Nordeste Ltd. | 9.39% | 04/15/2024 | 73,027 | ||||||||
4,455,648 | Autopistas del Sol S.A. | 7.38% | ^ | 12/30/2030 | 4,535,215 | |||||||
27,500,000 | Avianca Holdings S.A. | 9.00% | ^z | 05/10/2023 | 25,850,000 | |||||||
21,500,000 | Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%) | 7.75% | #^ | 02/15/2029 | 22,803,115 | |||||||
28,069,000 | Banco de Galicia y Buenos Aires S.A. (5 Year CMT Rate + 7.16%) | 8.25% | # | 07/19/2026 | 25,071,834 | |||||||
18,550,000 | Banco Macro S.A. (5 Year Swap Rate USD + 5.46%) | 6.75% | # | 11/04/2026 | 15,078,321 | |||||||
15,000,000 | Banco Macro S.A. (5 Year Swap Rate USD + 5.46%) | 6.75% | #^ | 11/04/2026 | 12,192,712 | |||||||
8,000,000 | Banco Mercantil de Norte (10 Year CMT Rate + 5.35%) | 7.63% | #^†z | 01/10/2028 | 8,564,280 | |||||||
32,000,000 | Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.35%) | 7.63% | #†z | 01/10/2028 | 34,257,120 | |||||||
10,000,000 | Bantrab Senior Trust | 9.00% | ^ | 11/14/2020 | 10,400,100 | |||||||
2,258,000 | Bantrab Senior Trust | 9.00% | 11/14/2020 | 2,348,343 | ||||||||
16,850,000 | Braskem Idesa SAPI | 7.45% | ^ | 11/15/2029 | 17,983,331 | |||||||
12,000,000 | C&W Senior Financing DAC | 7.50% | ^z | 10/15/2026 | 13,022,190 | |||||||
7,000,000 | C&W Senior Financing DAC | 6.88% | z | 09/15/2027 | 7,501,568 | |||||||
5,026,000 | C10 Capital SPV Ltd. (3 Month LIBOR USD + 4.71%) | 6.65% | #† | 03/31/2020 | 4,975,740 | |||||||
10,150,000 | C5 Capital Ltd. (3 Month LIBOR USD + 4.28%) | 6.22% | #† | 03/31/2020 | 9,947,000 | |||||||
7,250,000 | Calfrac Holdings LP | 8.50% | ^ | 06/15/2026 | 2,990,806 | |||||||
5,000,000 | Canacol Energy Ltd. | 7.25% | 05/03/2025 | 5,284,625 | ||||||||
20,000,000 | Canacol Energy Ltd. | 7.25% | ^z | 05/03/2025 | 21,138,500 | |||||||
21,200,000 | Capex S.A. | 6.88% | 05/15/2024 | 17,975,798 | ||||||||
3,800,000 | Capex S.A. | 6.88% | ^ | 05/15/2024 | 3,222,077 | |||||||
18,230,000 | CFG Investment S.A.C. | 9.75% | W | 12/31/2019 | 17,500,800 | |||||||
3,500,000 | Cia General de Combustibles S.A. | 9.50% | ^ | 11/07/2021 | 2,932,650 | |||||||
21,500,000 | Cia General de Combustibles S.A. | 9.50% | 11/07/2021 | 18,014,850 | ||||||||
4,200,000 | CIMPOR Financial Operations B.V. | 5.75% | z | 07/17/2024 | 3,487,785 | |||||||
20,000,000 | Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%) | 8.50% | #^†z | 03/30/2020 | 20,268,900 | |||||||
2,800,000 | Connect Finco LLC | 6.75% | ^ | 10/01/2026 | 2,985,500 | |||||||
31,000,000 | Cosan Overseas Ltd. | 8.25% | † | 02/05/2020 | 32,308,045 | |||||||
9,400,000 | Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%) | 9.13% | #^† | 11/29/2022 | 9,914,133 | |||||||
26,961,000 | Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%) | 9.13% | #† | 11/29/2022 | 28,435,632 | |||||||
40,000,000 | CSN Islands Corporation | 7.00% | †z | 03/23/2020 | 36,887,800 | |||||||
43,900,000 | Digicel Group Ltd. | 8.25% | ^ | 09/30/2022 | 10,679,553 | |||||||
10,143,205 | Digicel Group Two Ltd. (9.13% Cash + 9.00% PIK) | 18.13% | ^ | 04/01/2024 | 1,577,420 | |||||||
19,000,000 | Docuformas SAPI de C.V. | 10.25% | ^ | 07/24/2024 | 19,316,825 | |||||||
6,600,000 | Docuformas SAPI de C.V. | 10.25% | 07/24/2024 | 6,710,055 | ||||||||
16,080,000 | Eldorado International Finance GMBH | 8.63% | ^ | 06/16/2021 | 16,830,293 | |||||||
4,000,000 | Eldorado International Finance GMBH | 8.63% | 06/16/2021 | 4,186,640 | ||||||||
16,644,000 | Empresa Electrica Guacolda S.A. | 4.56% | 04/30/2025 | 15,167,956 | ||||||||
20,000,000 | Financiera Independencia S.A.B. de C.V. SOFOM ENR | 8.00% | ^ | 07/19/2024 | 18,708,500 | |||||||
32,000,000 | Freeport-McMoRan Copper & Gold, Inc. | 5.45% | z | 03/15/2043 | 33,203,200 | |||||||
5,525,000 | GFL Environmental, Inc. | 8.50% | ^z | 05/01/2027 | 6,087,721 | |||||||
10,000,000 | Gilex Holding Sarl | 8.50% | ^ | 05/02/2023 | 10,766,750 | |||||||
5,000,000 | Gilex Holding Sarl | 8.50% | z | 05/02/2023 | 5,383,375 | |||||||
5,346,000 | Gol Finance, Inc. | 8.75% | † | 04/05/2020 | 5,351,052 | |||||||
5,000,000 | Gran Tierra Energy International Holdings Ltd. | 6.25% | z | 02/15/2025 | 4,516,250 | |||||||
21,000,000 | Gran Tierra Energy, Inc. | 7.75% | ^z | 05/23/2027 | 19,695,007 | |||||||
9,000,000 | Gran Tierra Energy, Inc. | 7.75% | 05/23/2027 | 8,440,718 | ||||||||
9,700,000 | Grupo Idesa S.A. de C.V. | 7.88% | z | 12/18/2020 | 8,099,597 | |||||||
13,700,000 | Grupo Idesa S.A. de C.V. | 7.88% | ^z | 12/18/2020 | 11,439,637 | |||||||
5,000,000 | Grupo Posadas S.A.B. de C.V. | 7.88% | 06/30/2022 | 4,687,550 | ||||||||
14,650,000 | Grupo Posadas S.A.B. de C.V. | 7.88% | ^z | 06/30/2022 | 13,734,521 | |||||||
13,447,000 | GW Honos Security Corporation | 8.75% | ^ | 05/15/2025 | 14,018,363 | |||||||
15,000,000 | Instituto Costarricense de Electricidad | 6.38% | ^z | 05/15/2043 | 12,918,750 | |||||||
19,511,000 | Instituto Costarricense de Electricidad | 6.38% | z | 05/15/2043 | 16,803,849 | |||||||
7,300,000 | Intelsat Jackson Holdings S.A. | 8.50% | ^z | 10/15/2024 | 6,664,279 | |||||||
7,715,000 | Intelsat Jackson Holdings S.A. | 9.75% | ^z | 07/15/2025 | 7,152,461 | |||||||
5,925,566 | Invepar Holdings | 0.00% | ÞW | 12/30/2028 | 253,389 | |||||||
25,000,000 | JSL Europe S.A. | 7.75% | z | 07/26/2024 | 27,014,875 | |||||||
19,555,000 | Kronos Acquisition Holdings, Inc. | 9.00% | ^z | 08/15/2023 | 18,732,028 | |||||||
12,000,000 | MARB BondCo PLC | 7.00% | ^z | 03/15/2024 | 12,535,020 | |||||||
4,200,000 | Medco Oak Tree Pte Ltd. | 7.38% | 05/14/2026 | 4,286,469 | ||||||||
10,000,000 | Metinvest B.V. | 7.75% | ^z | 10/17/2029 | 10,260,050 | |||||||
10,000,000 | NBM US Holdings, Inc. | 7.00% | ^ | 05/14/2026 | 10,853,825 | |||||||
14,500,000 | Oi S.A. (10.00% Cash + 4.00% PIK) | 14.00% | 07/27/2025 | 13,019,768 | ||||||||
14,600,000 | Pampa Energia S.A. | 7.50% | 01/24/2027 | 12,490,716 | ||||||||
10,000,000 | Pampa Energia S.A. | 7.50% | ^ | 01/24/2027 | 8,555,285 | |||||||
6,650,000 | Pampa Energia S.A. | 9.13% | 04/15/2029 | 5,754,561 | ||||||||
5,000,000 | Pampa Energia S.A. | 9.13% | ^ | 04/15/2029 | 4,326,737 | |||||||
570,000 | Pesquera Exalmar S.A.A. | 8.00% | 01/25/2025 | 575,700 | ||||||||
4,800,000 | Petra Diamonds PLC | 7.25% | ^z | 05/01/2022 | 3,041,969 | |||||||
10,000,000 | Petrobras Global Finance B.V. | 6.75% | z | 01/27/2041 | 11,635,650 | |||||||
5,000,000 | Petroleos Mexicanos | 6.38% | 01/23/2045 | 4,826,675 | ||||||||
30,000,000 | Petroleos Mexicanos | 5.63% | 01/23/2046 | 26,860,050 | ||||||||
9,000,000 | Rio Energy S.A. | 6.88% | ^ | 02/01/2025 | 5,519,250 | |||||||
11,000,000 | Rio Energy S.A. | 6.88% | 02/01/2025 | 6,745,750 | ||||||||
11,441,000 | RKP Overseas Finance Ltd. | 7.95% | † | 02/17/2022 | 11,014,675 | |||||||
21,119,000 | Sappi Papier Holding GMBH | 7.50% | ^ | 06/15/2032 | 22,076,694 | |||||||
7,500,000 | Sappi Papier Holding GMBH | 7.50% | 06/15/2032 | 7,840,106 | ||||||||
14,260,000 | Star Energy Geothermal Wayang Windu Ltd. | 6.75% | 04/24/2033 | 15,122,195 | ||||||||
2,195,000 | Starfruit Finco B.V. | 8.00% | ^ | 10/01/2026 | 2,332,242 | |||||||
23,467,953 | Stoneway Capital Corporation | 10.00% | 03/01/2027 | 14,919,082 | ||||||||
4,281,000 | Syngenta Finance N.V. | 4.38% | z | 03/28/2042 | 3,809,137 | |||||||
10,000,000 | Tecnoglass, Inc. | 8.20% | 01/31/2022 | 10,848,120 | ||||||||
7,500,000 | Telecom Argentina SA | 8.00% | ^ | 07/18/2026 | 7,223,513 | |||||||
1,740,000 | Telesat LLC | 6.50% | ^z | 10/15/2027 | 1,817,169 | |||||||
13,644,000 | Tervita Escrow Corporation | 7.63% | ^z | 12/01/2021 | 13,759,974 | |||||||
10,000,000 | Teva Pharmaceutical Finance LLC | 6.15% | z | 02/01/2036 | 9,351,000 | |||||||
5,000,000 | Teva Pharmaceutical Finance Netherlands B.V. | 4.10% | z | 10/01/2046 | 3,613,000 | |||||||
700,000 | Transportadora de Gas del Sur S.A. | 6.75% | ^ | 05/02/2025 | 620,025 | |||||||
740,000 | Trivium Packaging Finance BV | 8.50% | ^z | 08/15/2027 | 824,619 | |||||||
6,500,000 | Unifin Financiera S.A.B. de C.V. | 8.38% | 01/27/2028 | 6,662,500 | ||||||||
24,000,000 | Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) | 8.88% | #†z | 07/29/2025 | 22,126,320 | |||||||
11,000,000 | Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) | 8.88% | #^† | 01/29/2025 | 10,141,230 | |||||||
29,000,000 | Unigel Luxembourg S.A. | 8.75% | ^ | 10/01/2026 | 29,612,553 | |||||||
20,000,000 | Vedanta Resources Finance PLC | 9.25% | z | 04/23/2026 | 19,896,700 | |||||||
13,000,000 | Vedanta Resources Finance PLC | 9.25% | ^z | 04/23/2026 | 12,932,855 | |||||||
7,000,000 | Vedanta Resources PLC | 6.13% | z | 08/09/2024 | 6,391,795 | |||||||
10,000,000 | YPF Energia Electrica S.A. | 10.00% | ^ | 07/25/2026 | 8,726,275 | |||||||
8,300,000 | YPF S.A. | 8.50% | 07/28/2025 | 7,826,278 | ||||||||
5,000,000 | YPF S.A. | 8.50% | 06/27/2029 | 4,564,238 | ||||||||
850,000 | YPF S.A. | 8.50% | ^ | 06/27/2029 | 775,920 | |||||||
20,807,000 | YPF S.A. | 7.00% | 12/15/2047 | 16,509,002 | ||||||||
|
| |||||||||||
Total Foreign Corporate Bonds | 1,293,139,998 | |||||||||||
|
| |||||||||||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.5% |
| |||||||||||
10,000,000 | Ecuador Government International Bond | 9.50% | ^ | 03/27/2030 | 9,353,475 | |||||||
|
| |||||||||||
Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 9,353,475 | |||||||||||
|
| |||||||||||
Non-Agency Commercial Mortgage Backed Obligations - 16.6% | ||||||||||||
10,000,000 | Atrium Hotel Portfolio Trust, Series2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor) | 5.14% | ^ | 06/15/2035 | 10,057,435 | |||||||
9,948,000 | Bear Stearns Commercial Mortgage Securities, Inc., Series2007-T26-AJ | 5.45% | # | 01/12/2045 | 8,564,233 | |||||||
20,000,000 | BX Commercial Mortgage Trust, Series2019-IMC-G (1 Month LIBOR USD + 3.60%, 3.60% Floor) | 5.34% | ^ | 04/15/2034 | 20,152,174 | |||||||
350,000 | BX Trust, Series2018-GW-G (1 Month LIBOR USD + 2.92%, 2.92% Floor) | 4.66% | ^ | 05/15/2035 | 353,406 | |||||||
15,292,000 | Carbon Capital Commercial Mortgage Trust, Series2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor) | 4.59% | ^ | 10/15/2035 | 15,413,877 | |||||||
871,000 | CF Trust, Series2019-MF1-F (1 Month LIBOR USD + 2.95%, 2.95% Floor) | 4.69% | ^ | 08/21/2032 | 873,161 | |||||||
30,524,109 | Citigroup Commercial Mortgage Trust, Series2014-GC25-XG | 1.23% | #^I/O | 10/10/2047 | 1,305,165 | |||||||
4,484,000 | Citigroup Commercial Mortgage Trust, Series2015-GC27-D | 4.43% | #^ | 02/10/2048 | 4,260,046 | |||||||
3,929,315 | Commercial Mortgage Pass-Through Certificates, Series2014-UBS4-F | 3.75% | ^Þ | 08/10/2047 | 1,481,650 | |||||||
7,036,812 | Commercial Mortgage Pass-Through Certificates, Series2014-UBS4-G | 3.75% | ^Þ | 08/10/2047 | 524,031 | |||||||
14,000 | Commercial Mortgage Pass-Through Certificates, Series2014-UBS4-V | 0.00% | #^Þ | 08/10/2047 | 1 | |||||||
6,400,000 | Commercial Mortgage Pass-Through Certificates, Series2015-CR26-E | 3.25% | ^Þ | 10/10/2048 | 5,500,781 | |||||||
18,438,000 | Commercial Mortgage Pass-Through Certificates, Series2015-CR26-XD | 1.23% | #^I/O | 10/10/2048 | 1,146,993 | |||||||
40,000,000 | Great Wolf Trust, Series2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor) | 4.85% | ^ | 12/15/2029 | 39,987,720 | |||||||
12,730,000 | GS Mortgage Securities Corporation, Series2014-GC20-E | 4.46% | #^Þ | 04/10/2047 | 7,399,847 | |||||||
65,010,362 | GS Mortgage Securities Corporation, Series2014-GC20-XD | 1.29% | #^I/O | 04/10/2047 | 2,964,063 | |||||||
3,750,000 | GS Mortgage Securities Trust, Series2019-SMP-G (1 Month LIBOR USD + 4.25%, 4.25% Floor) | 5.99% | ^ | 08/15/2032 | 3,776,084 | |||||||
20,000,000 | Hawaii Hotel Trust, Series2019-MAUI-F (1 Month LIBOR USD + 3.00%, 3.00% Floor) | 4.49% | ^ | 05/15/2038 | 20,059,390 | |||||||
5,590,000 | Hilton USA Trust2018-ORL, Series2018-ORL-F (1 Month LIBOR USD + 3.65%, 3.65% Floor) | 5.39% | ^ | 12/15/2034 | 5,615,705 | |||||||
5,000,000 | Hilton USA Trust, Series2016-SFP-E | 5.52% | ^ | 11/05/2035 | 5,022,941 | |||||||
18,629,201 | HPLY Trust, Series2019-HIT-G (1 Month LIBOR USD + 3.90%, 3.90% Floor) | 5.64% | ^ | 11/15/2036 | 18,652,432 | |||||||
57,259,829 | JPMBB Commercial Mortgage Securities Trust, Series2013-C14-XC | 1.10% | #^I/O | 08/15/2046 | 1,943,676 | |||||||
14,113,175 | JPMBB Commercial Mortgage Securities Trust, Series2014-C19-E | 4.00% | #^Þ | 04/15/2047 | 11,937,904 | |||||||
7,840,900 | JPMBB Commercial Mortgage Securities Trust, Series2014-C19-F | 3.75% | #^Þ | 04/15/2047 | 4,497,371 | |||||||
21,332,764 | JPMBB Commercial Mortgage Securities Trust, Series2014-C19-NR | 3.75% | #^Þ | 04/15/2047 | 4,436,362 | |||||||
47,829,582 | JPMBB Commercial Mortgage Securities Trust, Series2014-C21-XD | 0.76% | #^I/O | 08/15/2047 | 1,530,681 | |||||||
12,020,000 | JPMBB Commercial Mortgage Securities Trust, Series2015-C27-E | 2.81% | #^Þ | 02/15/2048 | 9,513,169 | |||||||
24,531,000 | JPMBB Commercial Mortgage Securities Trust, Series2015-C27-XE | 1.51% | #^I/O | 02/15/2048 | 1,644,600 | |||||||
5,600,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series2019-MFP-F (1 Month LIBOR USD + 3.00%, 3.00% Floor) | 4.74% | ^ | 07/15/2036 | 5,622,774 | |||||||
21,581,000 | MBRT, Series2019-MBR-G (1 Month LIBOR USD + 2.90%, 2.90% Floor) | 4.66% | ^ | 11/15/2036 | 21,477,476 | |||||||
8,150,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series2015-C26-E | 4.40% | #^Þ | 10/15/2048 | 6,846,122 | |||||||
850,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series2015-C26X-E | 4.40% | #Þ | 10/15/2048 | 714,013 | |||||||
11,453,000 | Morgan Stanley Capital Trust, Series2017-ASHF-G (1 Month LIBOR USD + 6.90%, 6.90% Floor) | 8.64% | ^ | 11/15/2034 | 11,351,756 | |||||||
3,357,000 | Morgan Stanley Capital Trust, Series2019-PLND-F (1 Month LIBOR USD + 2.80%, 2.80% Floor) | 4.54% | ^ | 05/15/2036 | 3,371,479 | |||||||
13,000,000 | Morgan Stanley Capital Trust, Series2019-PLND-G (1 Month LIBOR USD + 3.65%, 3.65% Floor) | 5.39% | ^ | 05/15/2036 | 13,041,345 | |||||||
5,000,000 | UBS Commercial Mortgage Trust, Series2018-NYCH-G (1 Month LIBOR USD + 4.84%, 4.84% Floor) | 6.58% | ^ | 02/15/2032 | 5,041,465 | |||||||
4,870,000 | Wells Fargo Commercial Mortgage Trust, Series2014-LC16-E | 3.25% | ^Þ | 08/15/2050 | 2,943,696 | |||||||
4,870,000 | Wells Fargo Commercial Mortgage Trust, Series2014-LC16-XC | 1.55% | #^I/O | 08/15/2050 | 303,214 | |||||||
12,175,683 | Wells Fargo Commercial Mortgage Trust, Series2014-LC16-XD | 1.55% | #^I/O | 08/15/2050 | 705,082 | |||||||
18,361,980 | Wells Fargo Commercial Mortgage Trust, Series2015-C29-E | 4.22% | #^Þ | 06/15/2048 | 15,790,385 | |||||||
9,180,600 | Wells Fargo Commercial Mortgage Trust, Series2015-C29-F | 4.22% | #^Þ | 06/15/2048 | 5,670,609 | |||||||
39,018,814 | Wells Fargo Commercial Mortgage Trust, Series2015-C29-G | 4.22% | #^Þ | 06/15/2048 | 14,693,432 | |||||||
11,973,000 | WF-RBS Commercial Mortgage Trust, Series2014-LC14-E | 3.50% | #^Þ | 03/15/2047 | 10,304,143 | |||||||
87,892,034 | WF-RBS Commercial Mortgage Trust, Series2014-LC14-XC | 1.62% | #^I/O | 03/15/2047 | 5,502,323 | |||||||
|
| |||||||||||
TotalNon-Agency Commercial Mortgage Backed Obligations(Cost $339,690,598) | 331,994,212 | |||||||||||
|
| |||||||||||
Non-Agency Residential Collateralized Mortgage Obligations - 3.1% | ||||||||||||
30,000,000 | CIM Trust, Series2016-1RR-B2 | 7.78% | #^Þ | 07/26/2055 | 30,296,058 | |||||||
15,000,000 | CIM Trust, Series2016-2RR-B2 | 8.23% | #^Þ | 02/25/2056 | 15,108,934 | |||||||
15,000,000 | CIM Trust, Series2016-3RR-B2 | 7.99% | #^Þ | 02/27/2056 | 15,136,754 | |||||||
1,755,237 | Wachovia Mortgage Loan Trust, Series2007-A-4A1 | 4.46% | # | 03/20/2037 | 1,604,532 | |||||||
|
| |||||||||||
TotalNon-Agency Residential Collateralized Mortgage Obligations | 62,146,278 | |||||||||||
|
| |||||||||||
US Corporate Bonds - 24.3% | ||||||||||||
1,645,000 | Acrisure LLC | 8.13% | ^z | 02/15/2024 | 1,792,022 | |||||||
900,000 | Alliant Holdings Intermediate LLC | 6.75% | ^ | 10/15/2027 | 965,520 | |||||||
3,770,000 | Allied Universal Holding Company | 9.75% | ^ | 07/15/2027 | 4,036,134 | |||||||
15,310,000 | AMC Merger, Inc. | 8.00% | ^ | 05/15/2025 | 10,225,779 | |||||||
10,988,000 | Argos Merger Sub, Inc. | 7.13% | ^z | 03/15/2023 | 10,795,710 | |||||||
11,036,000 | AssuredPartners, Inc. | 7.00% | ^z | 08/15/2025 | 11,253,299 | |||||||
6,315,000 | Avantor, Inc. | 9.00% | ^z | 10/01/2025 | 7,070,369 | |||||||
4,000,000 | Banff Merger Sub, Inc. | 9.75% | ^z | 09/01/2026 | 4,060,100 | |||||||
11,565,000 | BCD Acquisition, Inc. | 9.63% | ^ | 09/15/2023 | 11,940,747 | |||||||
2,960,000 | Boyne USA, Inc. | 7.25% | ^ | 05/01/2025 | 3,227,628 | |||||||
7,750,000 | Bruin E&P Partners LLC | 8.88% | ^ | 08/01/2023 | 5,060,091 | |||||||
14,080,000 | CB Escrow Corporation | 8.00% | ^z | 10/15/2025 | 14,965,843 | |||||||
13,450,000 | Cengage Learning, Inc. | 9.50% | ^z | 06/15/2024 | 11,673,457 | |||||||
3,815,000 | Constellation Merger Sub, Inc. | 8.50% | ^z | 09/15/2025 | 3,339,708 | |||||||
10,160,000 | CSI Compressco LP | 7.50% | ^z | 04/01/2025 | 10,011,816 | |||||||
3,195,000 | Eagle Holding Company (7.75% Cash + 9.00% PIK) | 16.75% | ^ | 05/15/2022 | 3,249,826 | |||||||
3,975,000 | EES Finance Corporation | 8.13% | z | 05/01/2025 | 3,926,962 | |||||||
15,745,000 | Embarq Corporation | 8.00% | 06/01/2036 | 16,678,285 | ||||||||
1,550,000 | Enterprise Merger Sub, Inc. | 8.75% | ^ | 10/15/2026 | 965,414 | |||||||
3,710,000 | EP Energy LLC | 7.75% | ^W | 05/15/2026 | 2,663,214 | |||||||
9,760,000 | Financial & Risk US Holdings, Inc. | 8.25% | ^z | 11/15/2026 | 11,010,256 | |||||||
7,660,000 | Flex Acquisition Company, Inc. | 6.88% | ^z | 01/15/2025 | 7,736,523 | |||||||
1,255,000 | Flex Acquisition Company, Inc. | 7.88% | ^z | 07/15/2026 | 1,267,327 | |||||||
9,200,000 | Foresight Energy LLC | 11.50% | ^W | 04/01/2023 | 368,000 | |||||||
3,670,000 | Frontier Communications Corporation | 8.50% | 04/15/2020 | 2,199,082 | ||||||||
2,815,000 | Frontier Communications Corporation | 8.00% | ^ | 04/01/2027 | 2,946,883 | |||||||
5,800,000 | Gates Global LLC | 6.25% | ^z | 01/15/2026 | 5,910,461 | |||||||
13,540,000 | Genesys Telecommunications Laboratories, Inc. | 10.00% | ^z | 11/30/2024 | 14,668,356 | |||||||
12,200,000 | Gogo Finance Company, Inc. | 9.88% | ^ | 05/01/2024 | 12,911,687 | |||||||
10,000,000 | GTT Communications, Inc. | 7.88% | ^z | 12/31/2024 | 7,572,100 | |||||||
10,405,000 | Hexion, Inc. | 7.88% | ^z | 07/15/2027 | 10,846,952 | |||||||
5,759,000 | Hillman Group, Inc. | 6.38% | ^ | 07/15/2022 | 5,372,064 | |||||||
7,000,000 | Informatica LLC | 7.13% | ^z | 07/15/2023 | 7,122,430 | |||||||
5,970,000 | JBS USA Finance, Inc. | 6.75% | ^z | 02/15/2028 | 6,607,954 | |||||||
7,850,000 | Legacy Reserves LP | 6.63% | W | 12/01/2021 | 157,000 | |||||||
3,615,000 | Matterhorn Merger Sub LLC | 8.50% | ^ | 06/01/2026 | 3,391,671 | |||||||
5,425,000 | Moss Creek Resources Holdings, Inc. | 7.50% | ^ | 01/15/2026 | 4,138,448 | |||||||
2,000,000 | MPH Acquisition Holdings LLC | 7.13% | ^z | 06/01/2024 | 1,939,980 | |||||||
7,750,000 | NFP Corporation | 6.88% | ^z | 07/15/2025 | 7,788,673 | |||||||
1,295,000 | NGL Energy Finance Corporation | 7.50% | ^ | 04/15/2026 | 1,255,985 | |||||||
7,264,000 | OPE KAG Finance Sub, Inc. | 7.88% | ^z | 07/31/2023 | 7,124,785 | |||||||
6,440,000 | Panther BF Aggregator LP | 8.50% | ^z | 05/15/2027 | 6,854,414 | |||||||
7,455,000 | Par Petroleum Finance Corporation | 7.75% | ^z | 12/15/2025 | 7,737,656 | |||||||
6,700,000 | Peabody Securities Finance Corporation | 6.00% | ^z | 03/31/2022 | 6,549,250 | |||||||
6,800,000 | PetSmart, Inc. | 8.88% | ^z | 06/01/2025 | 6,732,000 | |||||||
13,919,000 | Polaris Intermediate Corporation (8.50% Cash + 9.00% PIK) | 17.50% | ^ | 12/01/2022 | 12,996,776 | |||||||
3,295,000 | Prime Security Services Borrower LLC | 9.25% | ^z | 05/15/2023 | 3,461,809 | |||||||
12,328,000 | Pyxus International, Inc. | 8.50% | ^z | 04/15/2021 | 11,932,271 | |||||||
7,140,000 | Radiate Finance, Inc. | 6.63% | ^z | 02/15/2025 | 7,232,213 | |||||||
12,280,000 | Riverbed Technology, Inc. | 8.88% | ^ | 03/01/2023 | 7,122,400 | |||||||
2,270,000 | Scientific Games International, Inc. | 7.00% | ^z | 05/15/2028 | 2,433,100 | |||||||
5,270,000 | Scientific Games International, Inc. | 7.25% | ^ | 11/15/2029 | 5,740,875 | |||||||
9,970,000 | Solera Finance, Inc. | 10.50% | ^z | 03/01/2024 | 10,599,556 | |||||||
7,000,000 | Sprint Capital Corporation | 8.75% | z | 03/15/2032 | 8,509,200 | |||||||
11,385,000 | Sprint Corporation | 7.63% | z | 03/01/2026 | 12,576,440 | |||||||
10,296,000 | SunCoke Energy Partners Finance Corporation | 7.50% | ^z | 06/15/2025 | 9,926,991 | |||||||
12,833,000 | Tapstone Energy Finance Corporation | 9.75% | ^W | 06/01/2022 | 109,081 | |||||||
8,145,000 | Team Health Holdings, Inc. | 6.38% | ^z | 02/01/2025 | 5,460,530 | |||||||
10,347,000 | Tempo Acquisition Finance Corporation | 6.75% | ^ | 06/01/2025 | 10,709,042 | |||||||
5,195,000 | Tenet Healthcare Corporation | 8.13% | z | 04/01/2022 | 5,756,216 | |||||||
7,709,000 | Trident Merger Sub, Inc. | 6.63% | ^z | 11/01/2025 | 6,960,572 | |||||||
3,000,000 | Trident TPI Holdings, Inc. | 9.25% | ^z | 08/01/2024 | 3,038,745 | |||||||
1,285,000 | Triumph Group, Inc. | 6.25% | ^z | 09/15/2024 | 1,353,535 | |||||||
10,280,000 | Triumph Group, Inc. | 7.75% | z | 08/15/2025 | 10,748,922 | |||||||
8,375,000 | Uber Technologies, Inc. | 8.00% | ^z | 11/01/2026 | 8,750,388 | |||||||
5,525,000 | Uber Technologies, Inc. | 7.50% | ^z | 09/15/2027 | 5,682,269 | |||||||
7,645,000 | Valeant Pharmaceuticals International, Inc. | 9.25% | ^z | 04/01/2026 | 8,795,190 | |||||||
2,585,000 | Valeant Pharmaceuticals International, Inc. | 8.50% | ^ | 01/31/2027 | 2,948,580 | |||||||
11,790,000 | Verscend Escrow Corporation | 9.75% | ^z | 08/15/2026 | 12,925,082 | |||||||
7,675,000 | Vine Oil & Gas Finance Corporation | 8.75% | ^ | 04/15/2023 | 3,785,694 | |||||||
5,500,000 | Wand Merger Corporation | 9.13% | ^ | 07/15/2026 | 6,098,125 | |||||||
706,000 | Weatherford International Ltd. | 11.00% | ^ | 12/01/2024 | 765,128 | |||||||
5,000,000 | West Street Merger Sub, Inc. | 6.38% | ^z | 09/01/2025 | 4,999,950 | |||||||
5,500,000 | Wolverine Escrow LLC | 9.00% | ^ | 11/15/2026 | 5,771,343 | |||||||
|
| |||||||||||
Total US Corporate Bonds | 485,301,884 | |||||||||||
|
| |||||||||||
US Government and Agency Mortgage Backed Obligations - 4.8% |
| |||||||||||
9,080,277 | Federal Home Loan Mortgage Corporation, Series3631-SJ(-1 x 1 Month LIBOR USD + 6.24%, 6.24% Cap) | 4.50% | I/FI/O | 02/15/2040 | 1,627,693 | |||||||
6,012,489 | Federal Home Loan Mortgage Corporation, Series3770-SP(-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | 4.76% | I/FI/O | 11/15/2040 | 595,530 | |||||||
23,486,234 | Federal Home Loan Mortgage Corporation, Series3980-SX(-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | 4.76% | I/FI/O | 01/15/2042 | 4,724,561 | |||||||
14,011,814 | Federal Home Loan Mortgage Corporation, Series4212-NS(-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) | 3.31% | I/F | 06/15/2043 | 13,816,404 | |||||||
4,547,699 | Federal National Mortgage Association, Series2006-83-SH(-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap) | 4.77% | I/FI/O | 09/25/2036 | 850,268 | |||||||
17,884,939 | Federal National Mortgage Association, Series2010-123-SK(-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 4.26% | I/FI/O | 11/25/2040 | 3,284,392 | |||||||
21,621,450 | Federal National Mortgage Association, Series2013-55-US(-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 3.31% | I/F | 06/25/2043 | 20,349,108 | |||||||
34,852,144 | Federal National Mortgage Association, Series2013-58-KS(-2 x 1 Month LIBOR USD + 5.93%, 5.93% Cap) | 3.24% | I/F | 06/25/2043 | 32,334,624 | |||||||
20,843,792 | Federal National Mortgage Association, Series2013-58-SC(-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 3.31% | I/F | 06/25/2043 | 19,580,506 | |||||||
|
| |||||||||||
Total US Government and Agency Mortgage Backed Obligations | 97,163,086 | |||||||||||
|
| |||||||||||
Common Stocks - 0.8% | ||||||||||||
51,725 | ATD Holdings, Inc. *Þ | 1,370,713 | ||||||||||
339,999 | Frontera Energy Corporation z | 2,560,195 | ||||||||||
468,716 | Hexion Holdings Corporation * | 5,648,028 | ||||||||||
284,965 | Legacy Reserves LP *Þ | 2,849,650 | ||||||||||
15,343 | McDermott International, Inc. * | 10,381 | ||||||||||
62,554 | Syncreon Group B.V. *Þ | 875,750 | ||||||||||
97,836 | Weatherford International PLC *z | 2,734,516 | ||||||||||
|
| |||||||||||
Total Common Stocks(Cost $58,969,046) | 16,049,233 | |||||||||||
|
| |||||||||||
Warrants - 0.0% | ||||||||||||
4,944,181 | OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00*Þ | 1 | ||||||||||
|
| |||||||||||
Total Warrants(Cost $1) | 1 | |||||||||||
|
| |||||||||||
Short Term Investments - 2.4% | ||||||||||||
15,823,670 | BlackRock Liquidity Funds FedFund - Institutional Shares | 1.50% | ◆ | 15,823,670 | ||||||||
15,821,800 | Fidelity Institutional Money Market Government Portfolio - Class I | 1.49% | ◆ | 15,821,800 | ||||||||
15,824,378 | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | 1.51% | ◆ | 15,824,378 | ||||||||
|
| |||||||||||
Total Short Term Investments(Cost $47,469,848) | 47,469,848 | |||||||||||
|
| |||||||||||
Total Investments - 141.0%(Cost $2,995,535,157) ‡ | 2,815,484,871 | |||||||||||
Liabilities in Excess of Other Assets - (41.0)% | (818,961,182 | ) | ||||||||||
|
| |||||||||||
NET ASSETS - 100.0% | $ | 1,996,523,689 | ||||||||||
|
|
^ | 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. |
§ | The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2019. |
± | 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. |
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. |
# | Coupon rate is variable 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 December 31, 2019. |
† | Perpetual Maturity |
I/O | Interest only security |
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. |
* | Non-income producing security |
◆ | Seven-day yield as of December 31, 2019 |
@ | 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. |
‡ | Under the Fund’s Liquidity Agreement, the Lender, through their agent, have been granted a security interest in all of the Fund’s investments in consideration of the Fund’s borrowings under the line of credit with the Lender. |
z | Security, or portion of security, is on loan as of December 31, 2019 pursuant to the Liquidity Agreement. |
BRL | Brazilian Real |
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. |
SECURITY TYPE BREAKDOWN as a % of Net Assets:
Foreign Corporate Bonds | 64.8% | |||
US Corporate Bonds | 24.3% | |||
Non-Agency Commercial Mortgage Backed Obligations | 16.6% | |||
Collateralized Loan Obligations | 11.8% | |||
Bank Loans | 10.7% | |||
US Government and Agency Mortgage Backed Obligations | 4.8% | |||
Non-Agency Residential Collateralized Mortgage Obligations | 3.1% | |||
Short Term Investments | 2.4% | |||
Asset Backed Obligations | 1.2% | |||
Common Stocks | 0.8% | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 0.5% | |||
Warrants | 0.0% | ~ | ||
Other Assets and Liabilities | (41.0)% | |||
|
| |||
100.0% | ||||
|
|
~ | Represents less than 0.05% of net assets |
INVESTMENT BREAKDOWN as a % of Net Assets:
Non-Agency Commercial Mortgage Backed Obligations | 16.6% | |||
Collateralized Loan Obligations | 11.8% | |||
Energy | 11.5% | |||
Utilities | 11.0% | |||
Finance | 8.6% | |||
Telecommunications | 7.4% | |||
Banking | 6.5% | |||
Mining | 5.1% | |||
US Government and Agency Mortgage Backed Obligations | 4.9% | |||
Consumer Products | 4.6% | |||
Transportation | 4.1% | |||
Building and Development (including Steel/Metals) | 3.9% | |||
Technology | 3.9% | |||
Healthcare | 3.7% | |||
Chemical Products | 3.4% | |||
Non-Agency Residential Collateralized Mortgage Obligations | 3.1% | |||
Media | 2.8% | |||
Pulp & Paper | 2.6% | |||
Short Term Investments | 2.4% | |||
Containers and Glass Products | 2.4% | |||
Commercial Services | 1.8% | |||
Electronics/Electric | 1.7% | |||
Pharmaceuticals | 1.4% | |||
Automotive | 1.4% | |||
Hotels/Motels/Inns and Casinos | 1.3% | |||
Business Equipment and Services | 1.3% | |||
Chemicals/Plastics | 1.3% | |||
Retailers (other than Food/Drug) | 1.2% | |||
Asset Backed Obligations | 1.2% | |||
Environmental Control | 1.1% | |||
Insurance | 1.1% | |||
Aerospace & Defense | 1.0% | |||
Food Products | 0.9% | |||
Beverage and Tobacco | 0.6% | |||
Real Estate | 0.6% | |||
Industrial Equipment | 0.5% | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 0.5% | |||
Leisure | 0.4% | |||
Food Service | 0.4% | |||
Financial Intermediaries | 0.4% | |||
Food/Drug Retailers | 0.3% | |||
Diversified Manufacturing | 0.3% | |||
Construction | 0.0% | ~ | ||
Other Assets and Liabilities | (41.0)% | |||
|
| |||
100.0% | ||||
|
|
~ | Represents less than 0.05% of net assets |
COUNTRY BREAKDOWN as a % of Net Assets:
United States | 75.2% | |||
Mexico | 14.1% | |||
Brazil | 11.4% | |||
Argentina | 11.2% | |||
Colombia | 7.2% | |||
Canada | 2.9% | |||
Indonesia | 2.6% | |||
Peru | 2.1% | |||
India | 2.0% | |||
Costa Rica | 1.7% | |||
South Africa | 1.5% | |||
Dominican Republic | 1.3% | |||
Chile | 1.1% | |||
Panama | 1.0% | |||
Luxembourg | 0.8% | |||
Israel | 0.7% | |||
Guatemala | 0.6% | |||
Jamaica | 0.6% | |||
Hong Kong | 0.6% | |||
Ukraine | 0.5% | |||
Ecuador | 0.5% | |||
United Kingdom | 0.4% | |||
El Salvador | 0.4% | |||
Netherlands | 0.3% | |||
China | 0.2% | |||
France | 0.1% | |||
Other Assets and Liabilities | (41.0)% | |||
|
| |||
100.0% | ||||
|
|
Notes to Schedule of Investments
December 31, 2019 (Unaudited)
1. Organization
DoubleLine Income Solutions 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 January 10, 2013 and commenced operations on April 26, 2013. The Fund is listed on the New York Stock Exchange (“NYSE”) under the symbol “DSL”. The Fund’s primary investment objective is to seek high current income and its secondary objective is to seek 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.
Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Securities may be fair valued by the Adviser (as defined below) 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 | $ | 47,469,848 | ||
Common Stocks | 10,953,120 | |||
|
|
| ||
Total Level 1 | 58,422,968 | |||
Level 2 | ||||
Foreign Corporate Bonds | 1,292,886,609 | |||
US Corporate Bonds | 485,301,884 | |||
Collateralized Loan Obligations | 233,349,009 | |||
Non-Agency Commercial Mortgage Backed Obligations | 229,740,696 | |||
Bank Loans | 213,920,514 | |||
US Government and Agency Mortgage Backed Obligations | 97,163,086 | |||
Asset Backed Obligations | 24,022,532 | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 9,353,475 | |||
Non-Agency Residential Collateralized Mortgage Obligations | 1,604,532 | |||
|
|
| ||
Total Level 2 | 2,587,342,337 | |||
Level 3 | ||||
Non-Agency Commercial Mortgage Backed Obligations | 102,253,516 | |||
Non-Agency Residential Collateralized Mortgage Obligations | 60,541,746 | |||
Common Stocks | 5,096,113 | |||
Collateralized Loan Obligations | 1,574,801 | |||
Foreign Corporate Bonds | 253,389 | |||
Warrants | 1 | |||
|
|
| ||
Total Level 3 | 169,719,566 | |||
|
|
| ||
Total | $ | 2,815,484,871 | ||
|
|
|
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 Commercial Mortgage Backed Obligations | $ | 103,197,834 | $ | 293,977 | $ | (1,264,266 | ) | $ | 484,655 | $ | 39,297 | $ | (497,981 | ) | $ | - | $ | - | $ | 102,253,516 | $ | (1,275,665 | ) | |||||||||||||||||
Non-Agency Residential Collateralized Mortgage Obligations | 60,400,113 | - | (99,796 | ) | 241,429 | - | - | - | - | 60,541,746 | (99,796 | ) | ||||||||||||||||||||||||||||
Common Stocks | 1,500,025 | - | (129,312 | ) | - | 2,849,650 | - | 875,750 | - | 5,096,113 | (129,312 | ) | ||||||||||||||||||||||||||||
Collateralized Loan Obligations | 860,652 | - | (177,854 | ) | 2,127 | 41,725 | - | 848,151 | - | 1,574,801 | (173,258 | ) | ||||||||||||||||||||||||||||
Foreign Corporate Bonds | 253,389 | - | - | - | - | - | - | - | 253,389 | - | ||||||||||||||||||||||||||||||
Warrants | 1 | - | - | - | - | - | - | - | 1 | - | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 166,212,014 | $ | 293,977 | $ | (1,671,228 | ) | $ | 728,211 | $ | 2,930,672 | $ | (497,981 | ) | $ | 1,723,901 | $ | - | $ | 169,719,566 | $ | (1,678,031 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 Commercial Mortgage Backed Obligations | $ | 102,253,516 | Market Comparables | Yields | 6.24% - 76.81% (13.01%) | Increase in yields would have resulted in the decrease in the fair value of the security | ||||||||
Non-Agency Residential Collateralized Mortgage Obligations | $ | 60,541,746 | Market Comparables | Market Quotes | $100.73 - $100.99 ($100.90) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Common Stocks | $ | 5,096,113 | Market Comparables | Market Quotes | $10.00 - $26.50 ($15.13) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Collateralized Loan Obligations | $ | 1,574,801 | Market Comparables | Market Quotes | $69.75 - $84.82 ($77.87) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Foreign Corporate Bonds | $ | 253,389 | Enterprise Value | EBITDA multiples | 5x - 6.5x (5.75x) | Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the security | ||||||||
Warrants | $ | 1 | Intrinsic Value | Underlying Equity Price | $0.00 ($0.00) | Significant changes in the Underlying Equity Price would have resulted in direct 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.