DoubleLine Income Solutions Fund
Schedule of Investments
June 30, 2022 (Unaudited)
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
Asset Backed Obligations - 2.6% | ||||||||||||
934,998 | AASET Ltd., Series 2019-2-C | 6.41 | % (b)(d) | 10/16/2039 | 571,398 | |||||||
1,250,000 | Affirm Asset Securitization Trust, Series 2021-A-E | 5.65 | % (b) | 08/15/2025 | 1,197,447 | |||||||
1,000,000 | Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A-D | 5.83 | % (b) | 01/18/2028 | 942,127 | |||||||
416,111 | Castlelake Aircraft Securitization Trust, Series 2018-1-C | 6.63 | % (b)(d) | 06/15/2043 | 279,748 | |||||||
1,432,955 | Castlelake Aircraft Structured Trust, Series 2019-1A-C | 6.90 | % (b)(d) | 04/15/2039 | 982,633 | |||||||
1,775,470 | Castlelake Aircraft Structured Trust, Series 2021-1A-C | 7.00 | % (b)(d) | 01/15/2046 | 1,168,211 | |||||||
2,534,830 | GAIA Aviation Ltd., Series 2019-1-C | 7.00 | % (b)(d)(n) | 12/15/2044 | 1,746,323 | |||||||
994,255 | Horizon Aircraft Finance Ltd., Series 2018-1-C | 6.66 | % (b)(d) | 12/15/2038 | 688,280 | |||||||
8,290,785 | LendingClub Receivables Trust, Series 2020-3-B | 7.50 | % (b) | 01/16/2046 | 8,287,834 | |||||||
800,181 | Pagaya AI Debt Selection Trust, Series 2020-2-NOTE | 7.50 | % (b) | 12/15/2027 | 785,630 | |||||||
3,100,000 | Pagaya AI Debt Selection Trust, Series 2020-3-C | 6.43 | % (b) | 05/17/2027 | 3,013,775 | |||||||
2,750,000 | Pagaya AI Debt Selection Trust, Series 2021-3-CERT | 0.00 | % (b)(d)(f) | 05/15/2029 | 3,881,592 | |||||||
55,000 | SoFi Alternative Consumer Loan Program, Series 2021-2-R1 | 0.00 | % (b)(d)(f) | 08/15/2030 | 1,934,131 | |||||||
100,000 | SoFi Professional Loan Program Trust, Series 2018-C-R1 | 0.00 | % (b)(d)(f) | 01/25/2048 | 1,685,217 | |||||||
50,000 | SoFi Professional Loan Program, Series 2018-A-R1 | 0.00 | % (b)(d)(f) | 02/25/2042 | 1,111,862 | |||||||
14,827 | SoFi Professional Loan Program, Series 2018-A-R2 | 0.00 | % (b)(d)(f) | 02/25/2042 | 329,712 | |||||||
1,667,266 | START Ireland, Series 2019-1-C | 6.41 | % (b)(d) | 03/15/2044 | 1,263,579 | |||||||
4,300,000 | Summit Issuer LLC, Series 2020-1A-C | 5.10 | % (b) | 12/20/2050 | 3,824,456 | |||||||
2,000,000 | Tesla Auto Lease Trust, Series 2019-A-E | 5.48 | % (b) | 05/22/2023 | 2,009,503 | |||||||
|
| |||||||||||
Total Asset Backed Obligations (Cost $38,275,739) | 35,703,458 | |||||||||||
|
| |||||||||||
Bank Loans - 13.8% |
| |||||||||||
3,165,000 | AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | 5.81 | % | 04/20/2028 | 3,027,655 | |||||||
2,114,375 | Aegion Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 0.75% Floor) | 6.27 | % | 05/17/2028 | 1,939,939 | |||||||
3,000,000 | Almonde, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor) | 8.49 | % | 06/16/2025 | 2,601,435 | |||||||
4,005,000 | American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.25%, 0.75% Floor) | 7.00 | % | 10/20/2028 | 3,796,740 | |||||||
500,000 | Apex Tool Group LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%, 0.50% Floor) | 6.53 | % | 02/08/2029 | 441,875 | |||||||
4,655,000 | Applied Systems, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 5.50%, 0.75% Floor) | 7.75 | % | 09/19/2025 | 4,518,259 | |||||||
2,000,000 | Artera Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor) | 9.50 | % | 03/06/2026 | 1,372,000 | |||||||
2,165,000 | Ascend Learning LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.75%, 0.50% Floor) | 6.81 | % | 12/10/2029 | 1,991,800 | |||||||
4,992,488 | Astra Acquisition Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.50% Floor) | 6.31 | % | 10/25/2028 | 4,364,258 | |||||||
9,665,000 | Astra Acquisition Corporation, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.88%, 0.75% Floor) | 10.53 | % | 10/25/2029 | 8,988,450 | |||||||
905,000 | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%) | 6.92 | % | 01/31/2028 | 777,169 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
4,225,000 | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%) | 6.92 | % | 01/19/2029 | 3,610,262 | |||||||
4,049,400 | Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor) | 6.62 | % | 05/08/2028 | 3,361,002 | |||||||
3,118,910 | Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) | 5.57 | % | 12/15/2027 | 2,378,169 | |||||||
7,855,000 | Aveanna Healthcare LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.50% Floor) | 7.94 | % | 12/10/2029 | 7,030,225 | |||||||
5,477,475 | Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%, 1.00% Floor) | 5.75 | % | 07/14/2026 | 4,957,115 | |||||||
1,915,000 | Clydesdale Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) | 5.88 | % | 04/13/2029 | 1,795,313 | |||||||
2,013,900 | Connect Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) | 5.17 | % | 12/11/2026 | 1,859,081 | |||||||
1,782,034 | Cross Financial Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) | 4.81 | % | 09/15/2027 | 1,698,866 | |||||||
1,645,000 | Delta Topco, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 0.75% Floor) | 9.34 | % | 12/01/2028 | 1,439,375 | |||||||
2,425,000 | DG Investment Intermediate Holdings, Inc, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.75% Floor) | 8.42 | % | 03/19/2029 | 2,352,250 | |||||||
1,688,034 | DIRECTV Financing LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) | 6.67 | % | 08/02/2027 | 1,558,975 | |||||||
283,172 | Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) | 5.17 | % | 04/06/2026 | 261,935 | |||||||
526,701 | Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) | 5.17 | % | 04/06/2026 | 487,198 | |||||||
2,815,850 | Eisner Advisory Group LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor) | 6.39 | % | 07/28/2028 | 2,646,899 | |||||||
427,632 | Element Materials Technology Group, Inc. | 5.94 | % (c) | 04/12/2029 | 411,463 | |||||||
1,370,889 | EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 6.00 | % | 05/09/2025 | 1,282,357 | |||||||
1,250,000 | Excelitas Technologies Corporation, Senior Secured Second Lien Term Loan | 9.13 | % (c) | 12/01/2025 | 1,206,250 | |||||||
3,438,375 | Flynn Canada Ltd., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 0.50% Floor) | 6.19 | % | 07/21/2028 | 2,802,276 | |||||||
1,934,289 | Foresight Energy, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.50% Floor) | 10.25 | % (d) | 06/30/2027 | 1,918,428 | |||||||
1,516,723 | Getty Images, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%) | 6.13 | % | 02/19/2026 | 1,470,463 | |||||||
709,877 | GIP II Blue Holding LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) | 6.75 | % | 09/29/2028 | 690,650 | |||||||
7,568,550 | Grab Holdings, Inc., Senior Secured First Lien Term Loan (2 Month LIBOR USD + 4.50%, 1.00% Floor) | 5.50 | % | 01/29/2026 | 6,944,145 | |||||||
3,874,121 | Granite US Holdings Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 6.31 | % | 09/30/2026 | 3,668,308 | |||||||
3,728,538 | Greystone Select Financial LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 0.75% Floor) | 6.04 | % | 06/16/2028 | 3,439,577 | |||||||
2,970,572 | Groupe Solmax, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | 7.00 | % | 05/30/2028 | 2,685,902 | |||||||
7,305,048 | Gulf Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.75%, 1.00% Floor) | 7.87 | % | 08/25/2026 | 5,455,994 | |||||||
7,396,000 | Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%, 0.75% Floor) | 7.92 | % | 07/07/2025 | 7,285,060 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
1,106,638 | ION Trading Technologies SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) | 7.00 | % | 03/31/2028 | 1,023,988 | |||||||
724,525 | Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | 5.96 | % | 07/07/2028 | 512,601 | |||||||
1,790,250 | Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor) | 5.94 | % | 05/26/2025 | 1,714,164 | |||||||
4,655,000 | Kenan Advantage Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%, 0.75% Floor) | 8.92 | % | 09/01/2027 | 4,259,325 | |||||||
1,025,000 | LaserShip, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.50%, 0.75% Floor) | 10.38 | % | 04/30/2029 | 999,375 | |||||||
698,118 | Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%) | 2.67 | % | 06/30/2025 | 358,079 | |||||||
52,939 | Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) | 4.67 | % | 06/30/2024 | 34,411 | |||||||
1,129,975 | Lereta LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.75% Floor) | 6.92 | % | 07/27/2028 | 1,029,690 | |||||||
722,918 | Longview Power LLC, Senior Secured First Lien Term Loan | 11.79 | % (c) | 07/31/2025 | 816,897 | |||||||
1,610,000 | LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor) | 9.30 | % | 03/31/2029 | 1,484,420 | |||||||
2,205,000 | MedAssets Software Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 6.75%, 0.50% Floor) | 7.25 | % | 12/17/2029 | 1,973,475 | |||||||
6,386,155 | Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) | 6.25 | % | 10/01/2027 | 6,056,885 | |||||||
865,000 | Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor) | 7.31 | % | 06/21/2027 | 856,782 | |||||||
3,846,050 | Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) | 6.38 | % | 03/27/2026 | 3,650,536 | |||||||
1,920,000 | Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%, 0.50% Floor) | 8.10 | % | 10/15/2029 | 1,812,902 | |||||||
2,920,000 | MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.75%) | 9.87 | % | 11/30/2026 | 2,142,156 | |||||||
905,000 | NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%) | 8.67 | % | 10/19/2026 | 836,564 | |||||||
2,184,525 | OLA Netherlands B.V., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.25%, 0.75% Floor) | 7.63 | % | 12/15/2026 | 1,871,417 | |||||||
1,061,975 | OYO Hospitality Netherlands B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor) | 10.44 | % | 06/23/2026 | 925,692 | |||||||
5,895,000 | PetVet Care Centers LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%) | 7.92 | % | 02/13/2026 | 5,769,761 | |||||||
693,000 | Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) | 6.25 | % | 12/14/2027 | 661,815 | |||||||
2,266,724 | Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) | 6.42 | % | 03/11/2026 | 2,127,683 | |||||||
2,860,000 | Pretium PKG Holdings, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.50% Floor) | 7.72 | % | 09/21/2029 | 2,538,250 | |||||||
255,700 | Rentpath, Inc., Senior Secured First Lien Term Loan (Prime Rate + 0.00%) | 3.25 | % | 04/25/2024 | 65,204 | |||||||
3,146,314 | Riverbed Technology, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor) (1 Month LIBOR USD + 6.00%, 2.00% PIK) | 7.63 | % | 12/07/2026 | 1,886,813 | |||||||
1,429,321 | Skillsoft Finance, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor) | 6.19 | % | 07/14/2028 | 1,335,701 | |||||||
3,771,145 | Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 8.42 | % | 06/26/2026 | 3,530,320 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
2,182,880 | The Edelman Financial Engines Centre LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor) | 5.17 | % | 04/07/2028 | 2,025,985 | |||||||
4,200,000 | The Edelman Financial Engines Centre LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 8.42 | % | 07/20/2026 | 3,869,250 | |||||||
1,785,525 | Think & Learn Private Limited, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.50%, 0.75% Floor) | 6.25 | % | 11/24/2026 | 1,526,624 | |||||||
1,890,000 | TIBCO Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) | 8.31 | % | 03/03/2028 | 1,864,957 | |||||||
497,657 | Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 5.67 | % | 01/25/2024 | 446,336 | |||||||
4,739,016 | Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.50%, 1.00% Floor) | 2.51 | % | 02/28/2025 | 4,700,512 | |||||||
1,227,282 | Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) | 6.01 | % | 05/29/2026 | 958,434 | |||||||
860,000 | UKG, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.50% Floor) | 6.21 | % | 05/03/2027 | 800,230 | |||||||
4,000,000 | Vantage Specialty Chemicals, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%, 1.00% Floor) | 9.82 | % | 10/27/2025 | 3,851,680 | |||||||
1,441,088 | Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 5.67 | % | 08/27/2025 | 1,383,444 | |||||||
2,830,775 | Viad Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 0.50% Floor) | 6.67 | % | 07/31/2028 | 2,675,082 | |||||||
1,530,000 | VT Topco, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.75% Floor) | 8.39 | % | 08/10/2026 | 1,445,850 | |||||||
2,925,000 | WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor) | 6.75 | % | 06/22/2026 | 2,773,631 | |||||||
490,000 | WWEX UNI TopCo Holdings LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.00%, 0.75% Floor) | 8.01 | % | 07/26/2029 | 444,675 | |||||||
|
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Total Bank Loans (Cost $203,757,448) | 187,558,714 | |||||||||||
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Collateralized Loan Obligations - 15.1% |
| |||||||||||
3,000,000 | Apidos, Series 2016-24A-DR (3 Month LIBOR USD + 5.80%) | 6.86 | % (b) | 10/20/2030 | 2,573,338 | |||||||
2,500,000 | Atrium Corporation, Series 15A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor) | 7.03 | % (b) | 01/23/2031 | 2,208,296 | |||||||
3,000,000 | Bain Capital Credit Ltd., Series 2017-2A-ER2 (3 Month LIBOR USD + 6.86%, 6.86% Floor) | 8.04 | % (b) | 07/25/2034 | 2,747,508 | |||||||
2,250,000 | Barings Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 6.45%) | 7.51 | % (b) | 10/20/2030 | 1,941,599 | |||||||
1,500,000 | Barings Ltd., Series 2018-4A-E (3 Month LIBOR USD + 5.82%, 5.82% Floor) | 6.86 | % (b) | 10/15/2030 | 1,240,250 | |||||||
5,000,000 | Barings Ltd., Series 2019-2A-DR (3 Month LIBOR USD + 6.78%, 6.78% Floor) | 7.82 | % (b) | 04/15/2036 | 4,416,299 | |||||||
1,000,000 | Barings Ltd., Series 2020-1A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor) | 7.69 | % (b) | 10/15/2036 | 903,786 | |||||||
2,500,000 | Canyon Capital Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 5.75%) | 6.79 | % (b) | 07/15/2031 | 2,070,823 | |||||||
6,650,000 | Canyon Capital Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.25%) | 7.29 | % (b) | 07/15/2030 | 5,694,889 | |||||||
2,500,000 | Canyon Capital Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 6.79 | % (b) | 07/15/2031 | 2,101,251 | |||||||
1,000,000 | Canyon Capital Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.41%, 6.41% Floor) | 7.45 | % (b) | 04/15/2034 | 868,732 | |||||||
6,000,000 | Canyon Capital Ltd., Series 2021-2A-E (3 Month LIBOR USD + 6.70%, 6.70% Floor) | 7.74 | % (b) | 04/15/2034 | 5,247,411 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
2,000,000 | Carlyle Global Market Strategies Ltd., Series 2013-3A-DR (3 Month LIBOR USD + 5.50%) | 6.54 | % (b) | 10/15/2030 | 1,618,342 | |||||||
3,000,000 | Carlyle Global Market Strategies Ltd., Series 2019-1A-D (3 Month LIBOR USD + 6.70%, 6.70% Floor) | 7.76 | % (b) | 04/20/2031 | 2,670,558 | |||||||
1,500,000 | Carlyle Global Market Strategies Ltd., Series 2021-1A-D (3 Month LIBOR USD + 6.00%, 6.00% Floor) | 7.04 | % (b) | 04/15/2034 | 1,276,277 | |||||||
1,500,000 | Chenango Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.80%, 5.80% Floor) | 6.84 | % (b) | 04/15/2030 | 1,333,808 | |||||||
750,000 | CIFC Funding Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 6.65%) | 7.69 | % (b) | 07/16/2030 | 655,568 | |||||||
2,500,000 | Dryden Ltd., Series 2018-55A-F (3 Month LIBOR USD + 7.20%) | 8.24 | % (b) | 04/15/2031 | 2,035,123 | |||||||
3,250,000 | Dryden Ltd., Series 2019-68A-ER (3 Month LIBOR USD + 6.75%, 6.75% Floor) | 7.79 | % (b) | 07/15/2035 | 2,849,520 | |||||||
3,000,000 | Dryden Senior Loan Fund, Series 2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor) | 6.19 | % (b) | 01/15/2031 | 2,414,653 | |||||||
1,250,000 | Galaxy Ltd., Series 2017-24A-E (3 Month LIBOR USD + 5.50%) | 6.54 | % (b) | 01/15/2031 | 1,065,509 | |||||||
1,103,525 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%) | 6.24 | % (b)(d) | 04/28/2025 | 255,466 | |||||||
1,222,284 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E (3 Month LIBOR USD + 5.75%) | 6.99 | % (b)(d) | 04/28/2025 | — | |||||||
1,500,000 | HPS Loan Management Ltd., Series 13A-18-E (3 Month LIBOR USD + 5.50%, 5.50% Floor) | 6.54 | % (b) | 10/15/2030 | 1,307,446 | |||||||
3,500,000 | LCM LP, Series 14A-FR (3 Month LIBOR USD + 7.61%) | 8.67 | % (b)(d) | 07/20/2031 | 2,555,468 | |||||||
5,000,000 | LCM LP, Series 17A-ER (3 Month LIBOR USD + 6.00%, 6.00% Floor) | 7.04 | % (b) | 10/15/2031 | 4,167,848 | |||||||
6,500,000 | LCM LP, Series 26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor) | 6.36 | % (b) | 01/20/2031 | 5,237,398 | |||||||
2,000,000 | LCM LP, Series 28A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 6.81 | % (b) | 10/20/2030 | 1,647,662 | |||||||
11,000,000 | Madison Park Funding Ltd., Series 2014-14A-ER (3 Month LIBOR USD + 5.80%, 5.80% Floor) | 6.94 | % (b) | 10/22/2030 | 9,632,933 | |||||||
7,100,000 | Madison Park Funding Ltd., Series 2015-18A-ER (3 Month LIBOR USD + 6.35%) | 7.45 | % (b) | 10/21/2030 | 6,392,136 | |||||||
3,000,000 | Madison Park Funding Ltd., Series 2017-25A-D (3 Month LIBOR USD + 6.10%) | 7.28 | % (b) | 04/25/2029 | 2,559,797 | |||||||
500,000 | Madison Park Funding Ltd., Series 2017-26A-ER (3 Month LIBOR USD + 6.50%) | 7.74 | % (b) | 07/29/2030 | 458,937 | |||||||
6,500,000 | Madison Park Funding Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 6.79 | % (b) | 10/15/2031 | 5,746,150 | |||||||
1,000,000 | Madison Park Funding Ltd., Series 2019-34A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor) | 7.83 | % (b) | 04/25/2032 | 927,187 | |||||||
2,000,000 | Madison Park Funding Ltd., Series 2019-37A-ER (3 Month LIBOR USD + 6.15%, 6.15% Floor) | 7.19 | % (b) | 07/15/2033 | 1,802,568 | |||||||
2,750,000 | Madison Park Funding Ltd., Series 2021-52A-E (3 Month LIBOR USD + 6.50%, 6.50% Floor) | 7.64 | % (b) | 01/22/2035 | 2,420,359 | |||||||
10,000,000 | Magnetite Ltd., Series 2012-7A-DR2 (3 Month LIBOR USD + 4.50%) | 5.54 | % (b) | 01/15/2028 | 8,758,597 | |||||||
7,500,000 | Magnetite Ltd., Series 2015-16A-ER (3 Month LIBOR USD + 5.00%) | 6.04 | % (b) | 01/18/2028 | 7,163,366 | |||||||
2,500,000 | Magnetite Ltd., Series 2019-22A-ER (3 Month LIBOR USD + 6.35%, 6.35% Floor) | 7.39 | % (b) | 04/15/2031 | 2,215,693 | |||||||
500,000 | Magnetite Ltd., Series 2020-26A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor) | 7.13 | % (b) | 07/25/2034 | 421,841 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
2,000,000 | Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | 7.29 | % (b) | 04/15/2034 | 1,770,018 | |||||||
1,000,000 | Neuberger Berman Loan Advisers Ltd., Series 2019-31A-ER (3 Month LIBOR USD + 6.50%, 6.50% Floor) | 7.56 | % (b) | 04/20/2031 | 893,303 | |||||||
1,750,000 | Neuberger Berman Loan Advisers Ltd., Series 2019-32A-ER (3 Month LIBOR USD + 6.10%, 6.10% Floor) | 7.14 | % (b) | 01/20/2032 | 1,580,293 | |||||||
2,250,000 | Neuberger Berman Loan Advisers Ltd., Series 2019-33A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | 7.29 | % (b) | 10/16/2033 | 1,965,261 | |||||||
2,000,000 | Neuberger Berman Loan Advisers Ltd., Series 2021-40A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor) | 6.89 | % (b) | 04/16/2033 | 1,778,990 | |||||||
2,000,000 | Newark BSL Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.30%) | 7.48 | % (b) | 07/25/2030 | 1,750,816 | |||||||
3,675,000 | Niagara Park Ltd., Series 2019-1A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor) | 6.99 | % (b) | 07/17/2032 | 3,266,326 | |||||||
5,000,000 | Octagon Investment Partners Ltd., Series 2012-1A-DR (3 Month LIBOR USD + 7.15%) | 8.19 | % (b) | 07/15/2029 | 4,490,093 | |||||||
8,750,000 | Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 6.79 | % (b) | 07/17/2030 | 7,208,495 | |||||||
5,460,000 | Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 7.00%) | 8.04 | % (b) | 07/19/2030 | 5,016,337 | |||||||
2,500,000 | Octagon Investment Partners Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 7.00%, 7.00% Floor) | 8.41 | % (b) | 02/14/2031 | 2,250,040 | |||||||
3,000,000 | Octagon Investment Partners Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 7.25%) | 8.43 | % (b) | 01/24/2033 | 2,582,306 | |||||||
2,000,000 | Octagon Investment Partners Ltd., Series 2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor) | 9.13 | % (b) | 07/15/2030 | 1,675,955 | |||||||
4,000,000 | Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%) | 7.26 | % (b) | 03/17/2030 | 3,573,524 | |||||||
500,000 | Octagon Investment Partners Ltd., Series 2019-1A-DR (3 Month LIBOR USD + 3.25%, 3.25% Floor) | 4.29 | % (b) | 10/15/2034 | 475,091 | |||||||
3,750,000 | Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.60%, 6.60% Floor) | 7.78 | % (b) | 10/25/2032 | 3,312,025 | |||||||
2,000,000 | Octagon Investment Partners Ltd., Series 2019-3A-ER (3 Month LIBOR USD + 6.75%, 6.75% Floor) | 7.79 | % (b) | 07/15/2034 | 1,731,258 | |||||||
1,000,000 | Octagon Investment Partners Ltd., Series 2019-4A-E (3 Month LIBOR USD + 6.80%, 6.80% Floor) | 8.20 | % (b) | 05/12/2031 | 885,000 | |||||||
1,000,000 | Octagon Investment Partners Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.60%, 6.60% Floor) | 7.64 | % (b) | 07/15/2036 | 870,277 | |||||||
500,000 | Point Au Roche Park Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.10%, 6.10% Floor) | 7.16 | % (b) | 07/20/2034 | 437,773 | |||||||
3,000,000 | RR Ltd., Series 2017-2A-DR (3 Month LIBOR USD + 5.80%, 5.80% Floor) | 6.84 | % (b) | 04/15/2036 | 2,593,296 | |||||||
2,400,000 | Sound Point Ltd., Series 2019-2A-ER (3 Month LIBOR USD + 6.47%, 6.47% Floor) | 7.51 | % (b) | 07/15/2034 | 2,047,107 | |||||||
500,000 | Sound Point Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.56%, 6.56% Floor) | 7.74 | % (b) | 10/25/2034 | 427,505 | |||||||
2,000,000 | Sound Point Ltd., Series 2021-3A-E (3 Month LIBOR USD + 6.61%, 6.61% Floor) | 7.79 | % (b) | 10/25/2034 | 1,710,552 | |||||||
7,500,000 | Stewart Park Ltd., Series 2015-1A-ER (3 Month LIBOR USD + 5.28%, 5.28% Floor) | 6.32 | % (b) | 01/15/2030 | 6,080,952 | |||||||
2,000,000 | THL Credit Wind River Ltd., Series 2013-2A-E1R (3 Month LIBOR USD + 6.75%) | 7.79 | % (b) | 10/18/2030 | 1,830,799 | |||||||
3,500,000 | THL Credit Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 6.79 | % (b) | 01/15/2031 | 2,901,168 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
2,000,000 | THL Credit Wind River Ltd., Series 2014-3A-ER2 (3 Month LIBOR USD + 6.22%, 6.22% Floor) | 7.36 | % (b) | 10/22/2031 | 1,685,404 | |||||||
5,000,000 | THL Credit Wind River Ltd., Series 2017-1A-ER (3 Month LIBOR USD + 7.06%, 7.06% Floor) | 8.10 | % (b) | 04/18/2036 | 4,517,298 | |||||||
3,000,000 | THL Credit Wind River Ltd., Series 2017-3A-ER (3 Month LIBOR USD + 7.05%, 7.05% Floor) | 8.09 | % (b) | 04/15/2035 | 2,741,249 | |||||||
1,000,000 | THL Credit Wind River Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.50%) | 6.54 | % (b) | 07/15/2030 | 873,512 | |||||||
1,000,000 | THL Credit Wind River Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.75%) | 6.79 | % (b) | 07/15/2030 | 869,240 | |||||||
7,200,000 | Venture Ltd., Series 2016-24A-E (3 Month LIBOR USD + 6.72%) | 7.78 | % (b) | 10/20/2028 | 6,235,562 | |||||||
5,000,000 | Venture Ltd., Series 2017-26A-E (3 Month LIBOR USD + 6.80%) | 7.86 | % (b) | 01/20/2029 | 4,449,958 | |||||||
4,000,000 | Venture Ltd., Series 2017-27A-E (3 Month LIBOR USD + 6.35%) | 7.41 | % (b) | 07/20/2030 | 3,437,697 | |||||||
1,500,000 | Voya Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.10%) | 7.14 | % (b) | 04/17/2030 | 1,278,246 | |||||||
1,000,000 | Voya Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.25%, 5.25% Floor) | 6.29 | % (b) | 07/15/2031 | 802,734 | |||||||
1,000,000 | Voya Ltd., Series 2018-2A-F (3 Month LIBOR USD + 7.29%, 7.29% Floor) | 8.33 | % (b) | 07/15/2031 | 808,124 | |||||||
|
| |||||||||||
Total Collateralized Loan Obligations (Cost $236,086,297) | 204,407,976 | |||||||||||
|
| |||||||||||
Foreign Corporate Bonds - 50.2% |
| |||||||||||
13,400,000 | ABM Investama Tbk PT | 9.50 | % (b) | 08/05/2026 | 11,863,715 | |||||||
3,450,000 | AES Andes S.A. (5 Year Swap Rate USD + 4.64%) | 7.13 | % | 03/26/2079 | 3,138,979 | |||||||
1,200,000 | AES Argentina Generacion S.A. | 7.75 | % (b) | 02/02/2024 | 979,763 | |||||||
23,962,000 | AES Argentina Generacion S.A. | 7.75 | % | 02/02/2024 | 19,564,228 | |||||||
14,300,000 | Agile Group Holdings Ltd. (5 Year CMT Rate + 11.08%) | 7.75 | % (a) | 05/25/2025 | 3,084,825 | |||||||
4,600,000 | Agile Group Holdings Ltd. (5 Year CMT Rate + 11.25%) | 8.38 | % (a) | 12/04/2023 | 1,069,500 | |||||||
5,885,000 | Agile Group Holdings Ltd. (5 Year CMT Rate + 11.29%) | 7.88 | % (a) | 07/31/2024 | 1,280,605 | |||||||
18,750,000 | AI Candelaria Spain S.A. | 5.75 | % | 06/15/2033 | 13,754,702 | |||||||
2,000,000 | AI Candelaria Spain S.A. | 5.75 | % (b) | 06/15/2033 | 1,467,168 | |||||||
10,000,000 | Air Canada Class C Pass Through Trust | 10.50 | % (b) | 07/15/2026 | 10,860,466 | |||||||
400,000 | Alpha Holdings S.A. de C.V. | 10.00 | % (b)(e) | 12/19/2022 | 23,900 | |||||||
15,300,000 | Alpha Holdings S.A. de C.V. | 10.00 | % (e) | 12/19/2022 | 914,175 | |||||||
6,300,000 | Alpha Holdings S.A. de C.V. | 9.00 | % (e) | 02/10/2025 | 409,500 | |||||||
12,950,000 | Alpha Holdings S.A. de C.V. | 9.00 | % (b)(e) | 02/10/2025 | 841,750 | |||||||
6,000,000 | AMS AG | 7.00 | % (b)(m) | 07/31/2025 | 5,732,879 | |||||||
8,000,000 | Banco do Brasil S.A. (10 Year CMT Rate + 6.36%) | 9.00 | % (a) | 06/18/2024 | 7,893,200 | |||||||
16,800,000 | Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%) | 7.50 | % (b) | 04/16/2031 | 14,380,710 | |||||||
8,805,000 | Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%) | 7.50 | % | 04/16/2031 | 7,537,033 | |||||||
3,800,000 | Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%) | 6.63 | % (a)(b) | 01/24/2032 | 3,110,300 | |||||||
17,700,000 | Braskem Idesa SAPI | 6.99 | % (b) | 02/20/2032 | 13,714,756 | |||||||
1,958,000 | Calfrac Holdings LP | 10.88 | % (b) | 03/15/2026 | 1,781,428 | |||||||
10,050,000 | Central China Real Estate Ltd. | 7.25 | % | 07/16/2024 | 3,241,125 | |||||||
16,000,000 | Central China Real Estate Ltd. | 7.25 | % | 08/13/2024 | 5,096,265 | |||||||
9,400,000 | Cia General de Combustibles S.A. | 9.50 | % (b) | 03/08/2025 | 9,275,215 | |||||||
2,800,000 | Connect Finco LLC | 6.75 | % (b) | 10/01/2026 | 2,525,614 | |||||||
6,200,000 | Coruripe Netherlands B.V. | 10.00 | % | 02/10/2027 | 5,347,795 | |||||||
17,286,000 | Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%) | 9.13 | % (a)(e) | 11/29/2022 | 475,365 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
9,150,000 | Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%) | 9.13 | % (a)(b)(e) | 11/29/2022 | 251,625 | |||||||
9,044,000 | Credivalores-Crediservicios SAS | 9.75 | % | 07/27/2022 | 8,786,517 | |||||||
4,406,000 | Credivalores-Crediservicios SAS | 8.88 | % | 02/07/2025 | 2,437,223 | |||||||
12,550,000 | Credivalores-Crediservicios SAS | 8.88 | % (b) | 02/07/2025 | 6,942,158 | |||||||
16,500,841 | Digicel Group Holdings Ltd. (5.00% + 3.00% PIK) | 8.00 | % (b) | 04/01/2025 | 11,639,373 | |||||||
4,042,596 | Digicel Group Holdings Ltd. (7.00% PIK) | 7.00 | % (a)(b) | 07/18/2022 | 1,889,914 | |||||||
6,500,000 | Ecopetrol S.A. | 5.88 | % (m) | 05/28/2045 | 4,436,250 | |||||||
25,000,000 | Ecopetrol S.A. | 5.88 | % | 11/02/2051 | 16,396,888 | |||||||
5,260,000 | Frigorifico Concepcion S.A. | 7.70 | % | 07/21/2028 | 4,141,198 | |||||||
17,011,000 | Frigorifico Concepcion S.A. | 7.70 | % (b) | 07/21/2028 | 13,392,760 | |||||||
13,339,000 | Frontera Energy Corporation | 7.88 | % (b) | 06/21/2028 | 10,840,605 | |||||||
1,300,000 | Gajah Tunggal Tbk PT | 8.95 | % | 06/23/2026 | 988,000 | |||||||
4,205,000 | Garda World Security Corporation | 6.00 | % (b) | 06/01/2029 | 3,238,943 | |||||||
10,000,000 | Gilex Holding SARL | 8.50 | % (b) | 05/02/2023 | 9,777,000 | |||||||
9,000,000 | Gran Tierra Energy, Inc. | 7.75 | % | 05/23/2027 | 7,705,096 | |||||||
18,500,000 | Gran Tierra Energy, Inc. | 7.75 | % (b) | 05/23/2027 | 15,838,254 | |||||||
22,664,386 | Grupo Idesa S.A. de C.V. (10.38% PIK) | 10.13 | % (b) | 05/22/2026 | 14,448,546 | |||||||
19,474,000 | Guacolda Energia S.A. | 4.56 | % | 04/30/2025 | 6,890,159 | |||||||
19,511,000 | Instituto Costarricense de Electricidad | 6.38 | % | 05/15/2043 | 14,445,652 | |||||||
15,000,000 | Instituto Costarricense de Electricidad | 6.38 | % (b)(m) | 05/15/2043 | 11,105,775 | |||||||
5,600,000 | Interpipe Holdings PLC | 8.38 | % (b) | 05/13/2026 | 2,486,826 | |||||||
5,925,566 | Invepar Holdings | 0.00 | % (d)(e) | 12/30/2028 | — | |||||||
13,789,000 | Jababeka International B.V. | 6.50 | % | 10/05/2023 | 9,045,584 | |||||||
1,811,000 | Kosmos Energy Ltd. | 7.50 | % | 03/01/2028 | 1,504,090 | |||||||
2,600,000 | Kronos Acquisition Holdings, Inc. | 7.00 | % (b)(m) | 12/31/2027 | 1,953,315 | |||||||
21,950,000 | MC Brazil Downstream Trading SARL | 7.25 | % | 06/30/2031 | 17,501,723 | |||||||
2,000,000 | Mercury Chile Holdco LLC | 6.50 | % (b) | 01/24/2027 | 1,736,840 | |||||||
10,000,000 | Metinvest B.V. | 7.75 | % | 10/17/2029 | 5,481,500 | |||||||
7,600,000 | Mexarrend SAPI de C.V. | 10.25 | % | 07/24/2024 | 3,631,174 | |||||||
17,360,000 | Mexarrend SAPI de C.V. | 10.25 | % (b) | 07/24/2024 | 8,294,366 | |||||||
19,950,000 | Mexico City Airport Trust | 5.50 | % | 07/31/2047 | 13,738,966 | |||||||
6,158,000 | Movida Europe S.A. | 5.25 | % | 02/08/2031 | 4,781,071 | |||||||
8,200,000 | NGD Holdings B.V. | 6.75 | % | 12/31/2026 | 3,657,200 | |||||||
17,632,000 | OCP S.A. | 5.13 | % | 06/23/2051 | 11,754,091 | |||||||
23,000,000 | Oi S.A. (8.00% + 4.00% PIK) | 10.00 | % | 07/27/2025 | 11,291,606 | |||||||
7,665,000 | Operadora de Servicios Mega S.A. de C.V. | 8.25 | % | 02/11/2025 | 4,992,713 | |||||||
14,325,000 | Operadora de Servicios Mega S.A. de C.V. | 8.25 | % (b) | 02/11/2025 | 9,330,804 | |||||||
5,180,000 | Pampa Energia S.A. | 7.50 | % | 01/24/2027 | 4,308,154 | |||||||
5,000,000 | Pampa Energia S.A. | 9.13 | % (b) | 04/15/2029 | 4,032,425 | |||||||
11,000,000 | Pampa Energia S.A. | 9.13 | % | 04/15/2029 | 8,871,335 | |||||||
12,500,000 | Peru LNG SRL | 5.38 | % | 03/22/2030 | 10,125,687 | |||||||
1,118,000 | Petra Diamonds PLC (10.50% PIK) | 10.50 | % (b) | 03/08/2026 | 1,126,385 | |||||||
28,100,000 | Petrobras Global Finance B.V. | 5.50 | % (m) | 06/10/2051 | 21,368,504 | |||||||
22,500,000 | Petroleos del Peru S.A. | 5.63 | % | 06/19/2047 | 15,337,236 | |||||||
17,200,000 | Petroleos Mexicanos | 6.38 | % | 01/23/2045 | 10,455,278 | |||||||
10,200,000 | Petroleos Mexicanos | 6.75 | % | 09/21/2047 | 6,333,741 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
4,633,000 | Prime Energia S.p.A. | 5.38 | % | 12/30/2030 | 3,135,174 | |||||||
2,200,000 | RKI Overseas Finance Ltd. | 7.00 | % (a) | 12/23/2022 | 950,916 | |||||||
19,296,000 | RKP Overseas Finance Ltd. | 7.95 | % (a) | 08/17/2022 | 8,760,541 | |||||||
8,810,000 | RKPF Overseas Ltd. (5 Year CMT Rate + 6.00%) | 7.75 | % (a) | 11/18/2024 | 3,876,400 | |||||||
19,350,000 | Ronshine China Holdings Ltd. | 7.35 | % | 12/15/2023 | 2,657,921 | |||||||
2,650,000 | Ronshine China Holdings Ltd. | 6.75 | % | 08/05/2024 | 238,500 | |||||||
21,119,000 | Sappi Papier Holding GMBH | 7.50 | % (b) | 06/15/2032 | 19,851,860 | |||||||
7,500,000 | Sappi Papier Holding GMBH | 7.50 | % | 06/15/2032 | 7,050,000 | |||||||
11,954,887 | SCC Power PLC (4.00% + 4.00% PIK) | 8.00 | % (b) | 12/31/2028 | 5,170,489 | |||||||
6,475,564 | SCC Power PLC (4.00% or 4.00% PIK) | 4.00 | % (b) | 05/17/2032 | 712,312 | |||||||
1,330,000 | Seaspan Corporation | 5.50 | % (b) | 08/01/2029 | 1,062,916 | |||||||
5,400,000 | SierraCol Energy Andina LLC | 6.00 | % (b) | 06/15/2028 | 3,950,127 | |||||||
5,354,000 | SierraCol Energy Andina LLC | 6.00 | % | 06/15/2028 | 3,916,478 | |||||||
1,850,000 | Simpar Europe S.A. | 5.20 | % | 01/26/2031 | 1,431,965 | |||||||
2,105,000 | SSMS Plantation Holdings Pte Ltd. | 7.75 | % | 01/23/2023 | 1,862,925 | |||||||
2,400,000 | Telecom Argentina S.A. | 8.50 | % | 08/06/2025 | 2,259,552 | |||||||
10,960,000 | Telecommunications Services of Trinidad & Tobago Ltd. | 8.88 | % | 10/18/2029 | 10,556,854 | |||||||
7,900,000 | Telesat LLC | 5.63 | % (b) | 12/06/2026 | 5,002,595 | |||||||
3,021,000 | Tervita Corporation | 11.00 | % (b) | 12/01/2025 | 3,290,926 | |||||||
21,610,000 | Tullow Oil PLC | 10.25 | % (b) | 05/15/2026 | 20,694,925 | |||||||
5,695,000 | TV Azteca S.A.B. de C.V. | 8.25 | % (e) | 08/09/2024 | 2,562,750 | |||||||
24,000,000 | Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) | 8.88 | % (a) | 01/29/2025 | 7,849,675 | |||||||
11,000,000 | Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) | 8.88 | % (a)(b) | 01/29/2025 | 3,597,768 | |||||||
13,000,000 | Vedanta Resources Finance PLC | 9.25 | % (b) | 04/23/2026 | 7,780,836 | |||||||
20,000,000 | Vedanta Resources Finance PLC | 9.25 | % (m) | 04/23/2026 | 11,970,516 | |||||||
2,587,000 | VTR Finance NV | 6.38 | % | 07/15/2028 | 1,850,010 | |||||||
10,000,000 | YPF Energia Electrica S.A. | 10.00 | % (b) | 07/25/2026 | 8,876,850 | |||||||
7,000,000 | YPF S.A. | 8.50 | % | 07/28/2025 | 4,756,815 | |||||||
850,000 | YPF S.A. | 8.50 | % (b) | 06/27/2029 | 526,447 | |||||||
5,000,000 | YPF S.A. | 8.50 | % | 06/27/2029 | 3,096,750 | |||||||
22,407,000 | YPF S.A. | 7.00 | % | 12/15/2047 | 11,038,885 | |||||||
12,000,000 | Yuzhou Group Holdings Company Ltd. | 8.30 | % (e) | 05/27/2025 | 900,000 | |||||||
10,700,000 | Yuzhou Group Holdings Company Ltd. | 7.38 | % (e) | 01/13/2026 | 802,500 | |||||||
|
| |||||||||||
Total Foreign Corporate Bonds (Cost $1,047,760,498) | 680,140,689 | |||||||||||
|
| |||||||||||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 5.4% |
| |||||||||||
32,000,000 | Brazilian Government International Bond | 4.75 | % | 01/14/2050 | 21,776,991 | |||||||
500,000 | Colombia Government International Bond | 4.13 | % | 02/22/2042 | 311,913 | |||||||
16,000,000 | Colombia Government International Bond | 5.00 | % | 06/15/2045 | 10,752,797 | |||||||
6,300,000 | Colombia Government International Bond | 5.20 | % | 05/15/2049 | 4,289,035 | |||||||
12,000,000 | Colombia Government International Bond | 4.13 | % | 05/15/2051 | 7,217,308 | |||||||
2,500,000 | Dominican Republic International Bond | 5.30 | % | 01/21/2041 | 1,741,355 | |||||||
10,750,000 | Dominican Republic International Bond | 5.88 | % (m) | 01/30/2060 | 7,382,732 | |||||||
8,000,000 | Mexico Government International Bond | 3.77 | % | 05/24/2061 | 5,210,899 | |||||||
13,000,000 | Republic of South Africa Government Bond | 5.65 | % | 09/27/2047 | 8,909,550 | |||||||
5,150,000 | Ukraine Government International Bond | 9.75 | % | 11/01/2028 | 1,306,040 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
17,600,000 | Ukraine Government International Bond | 7.25 | % | 03/15/2033 | 4,422,035 | |||||||
|
| |||||||||||
Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $108,359,276) | 73,320,655 | |||||||||||
|
| |||||||||||
Non-Agency Commercial Mortgage Backed Obligations - 20.0% |
| |||||||||||
13,000,000 | Alen Mortgage Trust, Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor) | 6.32 | % (b) | 04/15/2034 | 12,276,944 | |||||||
10,000,000 | Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor) | 4.72 | % (b) | 06/15/2035 | 9,144,322 | |||||||
6,325,000 | Beast Mortgage Trust, Series 2021-1818-G (1 Month LIBOR USD + 6.00%, 6.25% Floor) | 7.32 | % (b) | 03/15/2036 | 6,048,184 | |||||||
121,775,000 | Benchmark Mortgage Trust, Series 2020-B18-AGNX | 0.62 | % (b)(g)(h) | 07/15/2053 | 1,660,098 | |||||||
7,130,000 | BSREP Commercial Mortgage Trust, Series 2021-DC-G (1 Month LIBOR USD + 3.85%, 3.85% Floor) | 5.18 | % (b) | 08/15/2038 | 6,417,240 | |||||||
10,200,000 | Cantor Commercial Real Estate Lending, Series 2019-CF2-SWX1 | 1.45 | % (b)(g)(h) | 11/15/2052 | 755,484 | |||||||
12,080,000 | Cantor Commercial Real Estate Lending, Series 2019-CF2-SWX2 | 1.19 | % (b)(g)(h) | 11/15/2052 | 700,495 | |||||||
8,095,225 | Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor) | 4.17 | % (b) | 10/15/2035 | 7,909,405 | |||||||
30,514,294 | Citigroup Commercial Mortgage Trust, Series 2014-GC25-XG | 1.36 | % (b)(g)(h) | 10/10/2047 | 671,061 | |||||||
4,484,000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27-D | 4.57 | % (b)(g) | 02/10/2048 | 4,022,530 | |||||||
3,929,315 | Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-F | 3.75 | % (b)(d) | 08/10/2047 | 886,465 | |||||||
6,740,765 | Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-G | 3.75 | % (b)(d) | 08/10/2047 | 498,156 | |||||||
14,000 | Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-V | 0.00 | % (b)(d)(g) | 08/10/2047 | 1 | |||||||
18,438,000 | Commercial Mortgage Pass-Through Trust, Series 2015-CR26-XD | 1.37 | % (b)(g)(h) | 10/10/2048 | 647,764 | |||||||
4,875,000 | DOLP Trust, Series 2021-NYC-G | 3.70 | % (b)(g) | 05/10/2041 | 3,454,608 | |||||||
537,915 | FREMF Mortgage Trust, Series 2016-KF15-B (1 Month LIBOR USD + 7.68%) | 8.80 | % (b) | 02/25/2023 | 539,935 | |||||||
1,984,389 | FREMF Mortgage Trust, Series 2016-KF16-B (1 Month LIBOR USD + 6.64%) | 7.76 | % (b) | 03/25/2026 | 1,987,803 | |||||||
3,358,354 | FREMF Mortgage Trust, Series 2016-KF23-B (1 Month LIBOR USD + 5.15%) | 6.27 | % (b) | 09/25/2023 | 3,313,151 | |||||||
3,022,178 | FREMF Mortgage Trust, Series 2017-KF27-B (1 Month LIBOR USD + 4.35%, 4.35% Floor) | 5.47 | % (b) | 12/25/2026 | 3,018,029 | |||||||
16,445,826 | FREMF Mortgage Trust, Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor) | 6.92 | % (b) | 11/25/2028 | 16,195,512 | |||||||
22,037,566 | FREMF Mortgage Trust, Series 2019-KF71-C (1 Month LIBOR USD + 6.00%, 6.00% Floor) | 7.12 | % (b) | 10/25/2029 | 22,067,035 | |||||||
20,000,000 | Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor) | 4.46 | % (b) | 12/15/2036 | 18,376,106 | |||||||
8,000,000 | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (1 Month LIBOR USD + 5.00%, 5.00% Floor) | 6.32 | % (b) | 11/15/2036 | 7,578,694 | |||||||
7,896,000 | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-H (1 Month LIBOR USD + 5.93%, 5.93% Floor) | 7.26 | % (b) | 11/15/2026 | 7,480,927 | |||||||
2,515,654 | GS Mortgage Securities Trust, Series 2014-GC20-E | 4.67 | % (b)(d)(g) | 04/10/2047 | 366,928 | |||||||
6,273,000 | GS Mortgage Securities Trust, Series 2015-GC28-D | 4.45 | % (b)(g) | 02/10/2048 | 5,650,262 | |||||||
44,234,657 | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC | 1.10 | % (b)(g)(h) | 08/15/2046 | 521,341 | |||||||
14,113,175 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E | 4.00 | % (b)(d)(g) | 04/15/2047 | 11,287,117 | |||||||
7,840,900 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F | 3.75 | % (b)(d)(g) | 04/15/2047 | 4,812,093 | |||||||
21,436,732 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR | 3.75 | % (b)(d)(g) | 04/15/2047 | 1,982,898 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
44,988,954 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XD | 0.90 | % (b)(g)(h) | 08/15/2047 | 500,201 | |||||||
1,600,000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-D | 4.02 | % (b)(g) | 01/15/2048 | 1,429,839 | |||||||
5,000,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-E | 2.81 | % (b)(d)(g) | 02/15/2048 | 3,476,089 | |||||||
24,531,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-XE | 1.64 | % (b)(g)(h) | 02/15/2048 | 808,488 | |||||||
2,379,000 | LSTAR Commercial Mortgage Trust, Series 2017-5-C | 4.83 | % (b)(g) | 03/10/2050 | 2,200,408 | |||||||
15,000,000 | Med Trust, Series 2021-MDLN-G (1 Month LIBOR USD + 5.25%, 5.25% Floor) | 6.58 | % (b) | 11/15/2038 | 13,623,696 | |||||||
34,462,782 | Morgan Stanley Capital Trust, Series 2016-UB11-XA | 1.63 | % (g)(h) | 08/15/2049 | 1,495,130 | |||||||
11,453,000 | Morgan Stanley Capital Trust, Series 2017-ASHF-G (1 Month LIBOR USD + 6.90%, 6.90% Floor) | 8.22 | % (b) | 11/15/2034 | 9,940,528 | |||||||
3,357,000 | Morgan Stanley Capital Trust, Series 2019-PLND-F (1 Month LIBOR USD + 2.80%, 2.80% Floor) | 4.12 | % (b) | 05/15/2036 | 2,986,853 | |||||||
13,000,000 | Morgan Stanley Capital Trust, Series 2019-PLND-G (1 Month LIBOR USD + 3.65%, 3.65% Floor) | 4.97 | % (b) | 05/15/2036 | 11,039,915 | |||||||
5,000,000 | Natixis Commercial Mortgage Securities Trust, Series 2022-JERI-G (Secured Overnight Financing Rate 1 Month + 7.46%, 7.46% Floor) | 8.74 | % (b) | 01/15/2039 | 4,696,290 | |||||||
25,320,500 | SMR Mortgage Trust, Series 2022-INDI-HRR (Secured Overnight Financing Rate 1 Month + 10.50%, 10.50% Floor) | 11.78 | % (d) | 02/15/2039 | 23,870,851 | |||||||
4,289,054 | TTAN, Series 2021-MHC-G (1 Month LIBOR USD + 4.20%, 4.20% Floor) | 5.53 | % (b) | 03/15/2038 | 3,948,972 | |||||||
7,458,000 | UBS Commercial Mortgage Trust, Series 2017-C6-D | 2.50 | % (b)(g) | 12/15/2050 | 5,091,089 | |||||||
4,870,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-E | 3.25 | % (b)(d) | 08/15/2050 | 349,422 | |||||||
4,870,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XC | 1.72 | % (b)(g)(h) | 08/15/2050 | 131,282 | |||||||
6,057,110 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XD | 1.72 | % (b)(g)(h) | 08/15/2050 | 158,636 | |||||||
9,180,600 | Wells Fargo Commercial Mortgage Trust, Series 2015-C29-F | 4.36 | % (b)(d)(g) | 06/15/2048 | 5,848,382 | |||||||
38,628,799 | Wells Fargo Commercial Mortgage Trust, Series 2015-C29-G | 4.36 | % (b)(d)(g) | 06/15/2048 | 13,289,272 | |||||||
23,520,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-XEF | 1.77 | % (b)(g)(h) | 10/15/2049 | 1,397,389 | |||||||
2,200,000 | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D | 3.25 | % (b) | 01/15/2060 | 1,744,096 | |||||||
78,810,168 | WF-RBS Commercial Mortgage Trust, Series 2014-LC14-XC | 1.90 | % (b)(g)(h) | 03/15/2047 | 2,092,761 | |||||||
|
| |||||||||||
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $310,356,019) | 270,390,177 | |||||||||||
|
| |||||||||||
US Corporate Bonds - 24.3% |
| |||||||||||
15,310,000 | Air Methods Corporation | 8.00 | % (b) | 05/15/2025 | 10,049,790 | |||||||
3,770,000 | Allied Universal Holdco LLC | 9.75 | % (b) | 07/15/2027 | 3,200,937 | |||||||
1,695,000 | Arconic Corporation | 6.13 | % (b) | 02/15/2028 | 1,586,274 | |||||||
8,175,000 | Artera Services LLC | 9.03 | % (b) | 12/04/2025 | 6,609,079 | |||||||
4,038,000 | ASP Unifrax Holdings, Inc. | 7.50 | % (b) | 09/30/2029 | 2,810,342 | |||||||
1,940,000 | At Home Group, Inc. | 7.13 | % (b) | 07/15/2029 | 1,104,277 | |||||||
2,665,000 | Avaya, Inc. | 6.13 | % (b) | 09/15/2028 | 1,746,241 | |||||||
5,215,000 | BCPE Empire Holdings, Inc. | 7.63 | % (b)(m) | 05/01/2027 | 4,252,728 | |||||||
750,000 | Boxer Parent Company, Inc. | 7.13 | % (b) | 10/02/2025 | 719,085 | |||||||
5,800,000 | Carnival Corporation | 7.63 | % (b) | 03/01/2026 | 4,505,875 | |||||||
8,280,000 | Castle US Holding Corporation | 9.50 | % (b) | 02/15/2028 | 7,081,746 | |||||||
6,450,000 | Cengage Learning, Inc. | 9.50 | % (b) | 06/15/2024 | 5,975,473 | |||||||
1,136,000 | Clarios Global LP | 6.75 | % (b) | 05/15/2025 | 1,126,787 | |||||||
6,440,000 | Clarios Global LP | 8.50 | % (b)(m) | 05/15/2027 | 6,237,462 | |||||||
5,110,000 | Clear Channel Outdoor Holdings, Inc. | 7.50 | % (b) | 06/01/2029 | 3,689,573 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
4,665,000 | Cobra AcquisitionCo LLC | 6.38 | % (b) | 11/01/2029 | 3,505,351 | |||||||
1,680,000 | Community Health Systems, Inc. | 6.00 | % (b) | 01/15/2029 | 1,394,182 | |||||||
3,815,000 | Constellation Merger Sub, Inc. | 8.50 | % (b) | 09/15/2025 | 3,345,208 | |||||||
1,880,000 | Coty, Inc. | 6.50 | % (b)(m) | 04/15/2026 | 1,736,030 | |||||||
10,160,000 | CSI Compressco LP | 7.50 | % (b)(m) | 04/01/2025 | 9,405,700 | |||||||
7,695,000 | CVR Nitrogen Finance Corporation | 6.13 | % (b) | 06/15/2028 | 6,890,928 | |||||||
1,701,633 | CWT Travel Group, Inc. | 8.50 | % (b) | 11/19/2026 | 1,537,851 | |||||||
6,120,000 | Dealer Tire LLC | 8.00 | % (b)(m) | 02/01/2028 | 5,295,085 | |||||||
3,160,000 | DISH DBS Corporation | 5.75 | % (b) | 12/01/2028 | 2,345,621 | |||||||
3,975,000 | EES Finance Corporation | 8.13 | % | 05/01/2025 | 3,771,758 | |||||||
15,745,000 | Embarq Corporation | 8.00 | % | 06/01/2036 | 11,858,898 | |||||||
3,080,000 | Endo Luxembourg Finance Company SARL | 6.13 | % (b) | 04/01/2029 | 2,334,363 | |||||||
8,335,000 | Ferrellgas LP | 5.88 | % (b) | 04/01/2029 | 6,779,673 | |||||||
1,375,000 | Frontier Communications Holdings LLC | 5.88 | % (b) | 10/15/2027 | 1,239,841 | |||||||
3,255,000 | Full House Resorts, Inc. | 8.25 | % (b) | 02/15/2028 | 2,606,186 | |||||||
10,000,000 | GTT Communications, Inc. | 7.88 | % (b)(e) | 12/31/2024 | 800,468 | |||||||
3,615,000 | H-Food Holdings LLC | 8.50 | % (b) | 06/01/2026 | 2,535,597 | |||||||
1,325,000 | Hightower Holding LLC | 6.75 | % (b) | 04/15/2029 | 998,315 | |||||||
4,247,000 | Illuminate Buyer LLC | 9.00 | % (b) | 07/01/2028 | 3,360,672 | |||||||
4,000,000 | IRB Holding Corporation | 7.00 | % (b) | 06/15/2025 | 3,921,600 | |||||||
2,332,064 | JetBlue Pass Through Trust - Class B | 8.00 | % | 11/15/2027 | 2,349,976 | |||||||
765,000 | LD Holdings Group LLC | 6.50 | % (b) | 11/01/2025 | 521,271 | |||||||
3,365,000 | LD Holdings Group LLC | 6.13 | % (b) | 04/01/2028 | 2,056,284 | |||||||
4,820,000 | Lions Gate Capital Holdings LLC | 5.50 | % (b) | 04/15/2029 | 3,773,650 | |||||||
2,780,000 | LogMeIn, Inc. | 5.50 | % (b) | 09/01/2027 | 1,942,220 | |||||||
6,330,000 | LSF9 Atlantis Holdings LLC | 7.75 | % (b) | 02/15/2026 | 5,369,875 | |||||||
5,100,000 | McGraw-Hill Education, Inc. | 5.75 | % (b) | 08/01/2028 | 4,376,793 | |||||||
3,850,000 | Metis Merger Sub LLC | 6.50 | % (b) | 05/15/2029 | 3,065,667 | |||||||
1,385,000 | ModivCare, Inc. | 5.88 | % (b) | 11/15/2025 | 1,276,111 | |||||||
5,425,000 | Moss Creek Resources Holdings, Inc. | 7.50 | % (b) | 01/15/2026 | 4,861,614 | |||||||
11,420,000 | NGL Energy Operating LLC | 7.50 | % (b) | 02/01/2026 | 10,318,256 | |||||||
1,295,000 | NGL Energy Partners LP | 7.50 | % | 04/15/2026 | 970,278 | |||||||
550,000 | Olympus Water US Holding Corporation | 6.25 | % (b)(m) | 10/01/2029 | 382,938 | |||||||
7,455,000 | Par Petroleum LLC | 7.75 | % (b) | 12/15/2025 | 7,058,437 | |||||||
9,820,000 | PBF Holding Company LLC | 9.25 | % (b) | 05/15/2025 | 10,280,313 | |||||||
3,580,000 | PECF USS Intermediate Holding Corporation | 8.00 | % (b) | 11/15/2029 | 2,842,162 | |||||||
3,029,000 | PIC AU Holdings LLC | 10.00 | % (b) | 12/31/2024 | 3,149,478 | |||||||
3,060,000 | Premier Entertainment Sub LLC | 5.88 | % (b) | 09/01/2031 | 2,127,918 | |||||||
13,815,470 | Pyxus Holdings, Inc. | 10.00 | % | 08/24/2024 | 11,521,411 | |||||||
9,880,000 | Radiology Partners, Inc. | 9.25 | % (b)(m) | 02/01/2028 | 7,434,502 | |||||||
5,050,000 | Realogy Group LLC | 5.75 | % (b) | 01/15/2029 | 3,838,000 | |||||||
3,915,000 | Rent-A-Center, Inc. | 6.38 | % (b)(m) | 02/15/2029 | 3,058,750 | |||||||
200,000 | Sabre Global, Inc. | 9.25 | % (b) | 04/15/2025 | 193,105 | |||||||
6,630,000 | Sabre Global, Inc. | 7.38 | % (b) | 09/01/2025 | 6,162,287 | |||||||
4,220,000 | SEG Holding LLC | 5.63 | % (b) | 10/15/2028 | 3,787,112 | |||||||
8,340,000 | SWF Escrow Issuer Corporation | 6.50 | % (b) | 10/01/2029 | 5,620,535 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
1,500,000 | Tallgrass Energy Partners LP | 7.50 | % (b) | 10/01/2025 | 1,454,279 | |||||||
8,145,000 | Team Health Holdings, Inc. | 6.38 | % (b)(m) | 02/01/2025 | 5,699,713 | |||||||
5,300,000 | TKC Holdings, Inc. | 10.50 | % (b) | 05/15/2029 | 4,344,410 | |||||||
1,930,000 | TMS International Corporation | 6.25 | % (b) | 04/15/2029 | 1,405,265 | |||||||
5,975,000 | Townsquare Media, Inc. | 6.88 | % (b) | 02/01/2026 | 5,330,600 | |||||||
1,095,000 | TransDigm, Inc. | 8.00 | % (b) | 12/15/2025 | 1,109,449 | |||||||
3,000,000 | Trident TPI Holdings, Inc. | 9.25 | % (b) | 08/01/2024 | 2,748,885 | |||||||
5,070,000 | Triton Water Holdings, Inc. | 6.25 | % (b)(m) | 04/01/2029 | 3,608,116 | |||||||
10,280,000 | Triumph Group, Inc. | 7.75 | % (m) | 08/15/2025 | 7,929,941 | |||||||
8,375,000 | Uber Technologies, Inc. | 8.00 | % (b)(m) | 11/01/2026 | 8,356,533 | |||||||
5,525,000 | Uber Technologies, Inc. | 7.50 | % (b) | 09/15/2027 | 5,361,902 | |||||||
2,500,000 | Unisys Corporation | 6.88 | % (b) | 11/01/2027 | 2,186,779 | |||||||
9,485,000 | United Natural Foods, Inc. | 6.75 | % (b)(m) | 10/15/2028 | 8,877,404 | |||||||
5,005,000 | Univision Communications, Inc. | 6.63 | % (b) | 06/01/2027 | 4,774,770 | |||||||
1,605,000 | Univision Communications, Inc. | 7.38 | % (b) | 06/30/2030 | 1,570,517 | |||||||
2,110,000 | Vibrantz Technologies, Inc. | 9.00 | % (b) | 02/15/2030 | 1,490,387 | |||||||
2,995,000 | Viking Cruises Ltd. | 13.00 | % (b) | 05/15/2025 | 3,073,378 | |||||||
5,205,000 | WASH Multifamily Acquisition, Inc. | 5.75 | % (b) | 04/15/2026 | 4,914,587 | |||||||
86,000 | Weatherford International Ltd. | 11.00 | % (b) | 12/01/2024 | 86,768 | |||||||
2,590,000 | Weatherford International Ltd. | 6.50 | % (b) | 09/15/2028 | 2,329,148 | |||||||
820,000 | Weatherford International Ltd. | 8.63 | % (b) | 04/30/2030 | 682,024 | |||||||
1,490,000 | Wheel Pros, Inc. | 6.50 | % (b)(m) | 05/15/2029 | 1,054,987 | |||||||
6,210,000 | XHR LP | 6.38 | % (b) | 08/15/2025 | 5,997,167 | |||||||
|
| |||||||||||
Total US Corporate Bonds (Cost $400,998,152) | 329,084,948 | |||||||||||
|
| |||||||||||
US Government and Agency Mortgage Backed Obligations - 2.7% | ||||||||||||
5,596,585 | Federal Home Loan Mortgage Corporation REMICS, Series 3631-SJ (-1 x 1 Month LIBOR USD + 6.24%, 6.24% Cap) | 4.92 | % (h)(i) | 02/15/2040 | 627,738 | |||||||
2,031,654 | Federal Home Loan Mortgage Corporation REMICS, Series 3770-SP (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | 5.18 | % (h)(i) | 11/15/2040 | 75,149 | |||||||
12,247,628 | Federal Home Loan Mortgage Corporation REMICS, Series 3980-SX (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | 5.18 | % (h)(i) | 01/15/2042 | 1,891,475 | |||||||
26,525,781 | Federal Home Loan Mortgage Corporation REMICS, Series 5129-S (-1 x Secured Overnight Financing Rate 30 Day Average + 2.70%, 2.70% Cap) | 1.77 | % (h)(i) | 12/25/2044 | 616,746 | |||||||
55,488,522 | Federal Home Loan Mortgage Corporation, Series 2021-P009-X | 1.56 | % (g)(h) | 01/25/2031 | 3,817,993 | |||||||
2,871,878 | Federal National Mortgage Association, Series 2006-83-SH (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap) | 4.94 | % (h)(i) | 09/25/2036 | 287,504 | |||||||
9,455,457 | Federal National Mortgage Association, Series 2010-123-SK (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 4.43 | % (h)(i) | 11/25/2040 | 1,215,735 | |||||||
6,564,367 | Federal National Mortgage Association, Series 2012-60-SN (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap) | 4.98 | % (h)(i) | 06/25/2042 | 853,510 | |||||||
11,622,673 | Federal National Mortgage Association, Series 2019-46-SG (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 4.48 | % (h)(i) | 08/25/2049 | 1,415,782 | |||||||
47,431,582 | Federal National Mortgage Association, Series 2021-17-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 2.50% Cap) | 1.57 | % (h)(i) | 04/25/2051 | 755,870 | |||||||
10,366,133 | Government National Mortgage Association, Series 2011-128-TS (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 4.54 | % (h)(i) | 05/16/2041 | 1,313,350 |
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
30,490,345 | Government National Mortgage Association, Series 2015-64-SG (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) | 4.00 | % (h)(i) | 05/20/2045 | 3,246,017 | |||||||
4,948,852 | Government National Mortgage Association, Series 2018-145-IA | 4.00 | % (h) | 10/20/2045 | 456,489 | |||||||
4,854,267 | Government National Mortgage Association, Series 2020-129-SE (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap) | 2.15 | % (h)(i) | 09/20/2050 | 210,251 | |||||||
17,871,508 | Government National Mortgage Association, Series 2020-146-SH (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | 4.70 | % (h)(i) | 10/20/2050 | 2,626,824 | |||||||
6,681,051 | Government National Mortgage Association, Series 2020-187-SB (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | 4.70 | % (h)(i) | 12/20/2050 | 988,437 | |||||||
26,648,060 | Government National Mortgage Association, Series 2020-47-SL (-1 x 1 Month LIBOR USD + 5.37%, 5.37% Cap) | 3.77 | % (h)(i) | 07/20/2044 | 2,483,157 | |||||||
14,652,639 | Government National Mortgage Association, Series 2020-61-SU (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) | 4.09 | % (h)(i) | 07/16/2045 | 1,512,708 | |||||||
38,613,419 | Government National Mortgage Association, Series 2021-107-SA (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap) | 2.15 | % (h)(i) | 06/20/2051 | 2,531,075 | |||||||
23,157,507 | Government National Mortgage Association, Series 2021-125-AS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.25%, 3.25% Cap) | 2.48 | % (h)(i) | 07/20/2051 | 508,027 | |||||||
48,905,929 | Government National Mortgage Association, Series 2021-139-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 3.20% Cap) | 2.43 | % (h)(i) | 08/20/2051 | 2,303,234 | |||||||
51,868,014 | Government National Mortgage Association, Series 2021-77-SG (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap) | 2.15 | % (h)(i) | 05/20/2051 | 2,808,165 | |||||||
45,072,146 | Government National Mortgage Association, Series 2021-96-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 3.20% Cap) | 2.43 | % (h)(i) | 06/20/2051 | 1,507,524 | |||||||
66,510,966 | Government National Mortgage Association, Series 2021-97-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap) | 1.83 | % (h)(i) | 06/20/2051 | 1,163,529 | |||||||
37,746,802 | Government National Mortgage Association, Series 2021-97-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap) | 1.83 | % (h)(i) | 06/20/2051 | 652,340 | |||||||
|
| |||||||||||
Total US Government and Agency Mortgage Backed Obligations (Cost $75,024,112) | 35,868,629 | |||||||||||
|
| |||||||||||
Common Stocks - 2.3% |
| |||||||||||
51,725 | ATD Holdings, Inc. (d)(j)(m) | 3,750,062 | ||||||||||
288,460 | Calfrac Well Services Ltd. (j)(m) | 1,099,033 | ||||||||||
50,424 | CWT Travel Holdings, Inc. (d)(j) | 1,008,480 | ||||||||||
283,355 | Foresight Equity (d)(j) | 5,590,599 | ||||||||||
339,999 | Frontera Energy Corporation (j) | 2,699,595 | ||||||||||
105,190 | Intelsat Emergence S.A. (d)(j) | 2,840,130 | ||||||||||
333,957 | Legacy Backstop (d)(j) | 6,228,298 | ||||||||||
26,458 | Legacy Notes (d)(j) | 493,442 | ||||||||||
183,948 | Longview Equity (d)(j) | 3,678,960 | ||||||||||
292,727 | McDermott International Ltd. (j)(m) | 161,000 | ||||||||||
808,534 | Petra Diamonds Ltd. (j) | 880,885 | ||||||||||
59,296 | Riverbed Technology (d)(j) | 88,944 | ||||||||||
33,058 | Summit Midstream Partners LP (j) | 420,828 | ||||||||||
97,836 | Weatherford International PLC (j)(m) | 2,071,188 | ||||||||||
|
| |||||||||||
Total Common Stocks (Cost $70,636,068) | 31,011,444 | |||||||||||
|
|
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
Warrants - 0.0% |
| |||||||||||
4,944,181 | OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00 (d)(j) | 1 | ||||||||||
|
| |||||||||||
Total Warrants (Cost $1) | 1 | |||||||||||
|
| |||||||||||
Escrow Notes - 1.0% |
| |||||||||||
18,230,000 | CFG Investment Sac Escrow (d)(e)(j) | 13,974,407 | ||||||||||
3,300,000 | GCB Intelsat Jackson Escrow (b)(d)(j) | — | ||||||||||
7,715,000 | GCB Intelsat Jackson Escrow (b)(d)(j) | — | ||||||||||
|
| |||||||||||
Total Escrow Notes (Cost $16,186,790) | 13,974,407 | |||||||||||
|
| |||||||||||
Preferred Stocks - 0.0% |
| |||||||||||
27,516 | Riverbed Technologies, Inc. | 1.50 | % (d)(j) | 165,096 | ||||||||
|
| |||||||||||
Total Preferred Stocks (Cost $586,574) | 165,096 | |||||||||||
|
| |||||||||||
Rights - 0.0% |
| |||||||||||
11,016 | Intelsat Jackson Holdings Ltd. - Series A (d)(j) | 44,064 | ||||||||||
11,016 | Intelsat Jackson Holdings Ltd. - Series B (d)(j) | 41,310 | ||||||||||
|
| |||||||||||
Total Rights (Cost $0) | 85,374 | |||||||||||
|
| |||||||||||
Short Term Investments - 2.3% |
| |||||||||||
10,238,619 | BlackRock Liquidity Funds FedFund - Institutional Shares | 1.31 | % (k) | 10,238,619 | ||||||||
10,234,841 | Fidelity Institutional Money Market Government Portfolio - Class I | 1.20 | % (k) | 10,234,841 | ||||||||
10,238,567 | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | 1.38 | % (k) | 10,238,567 | ||||||||
|
| |||||||||||
Total Short Term Investments (Cost $30,712,027) | 30,712,027 | |||||||||||
|
| |||||||||||
Total Investments - 139.7% (Cost $2,538,739,001) (l) | 1,892,423,595 | |||||||||||
Liabilities in Excess of Other Assets - (39.7)% | (537,289,547 | ) | ||||||||||
|
| |||||||||||
NET ASSETS - 100.0% | $ | 1,355,134,048 | ||||||||||
|
|
(a) | Perpetual maturity. The date disclosed is the next call date of the security. |
(b) | 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. |
(c) | 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 period end. |
(d) | Value determined using significant unobservable inputs. |
(e) | Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
(f) | 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 period end. |
(g) | 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 period end. |
(h) | Interest only security |
(i) | 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. |
(j) | Non-income producing security |
(k) | Seven-day yield as of period end |
(l) | 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. |
(m) | Security, or portion of security is on loan as of period end pursuant to the Liquidity Agreement. |
(n) | 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 period end. |
BRL | Brazilian Real |
PIK | A payment-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 | 50.2% | |||
US Corporate Bonds | 24.3% | |||
Non-Agency Commercial Mortgage Backed Obligations | 20.0% | |||
Collateralized Loan Obligations | 15.1% | |||
Bank Loans | 13.8% | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 5.4% | |||
US Government and Agency Mortgage Backed Obligations | 2.7% | |||
Asset Backed Obligations | 2.6% | |||
Common Stocks | 2.3% | |||
Short Term Investments | 2.3% | |||
Escrow Notes | 1.0% | |||
Preferred Stocks | 0.0% | (o) | ||
Rights | 0.0% | (o) | ||
Warrants | 0.0% | (o) | ||
Other Assets and Liabilities | (39.7)% | |||
|
| |||
100.0% | ||||
|
|
INVESTMENT BREAKDOWN as a % of Net Assets
Energy | 21.3% | |||
Non-Agency Commercial Mortgage Backed Obligations | 20.0% | |||
Collateralized Loan Obligations | 15.1% | |||
Utilities | 6.9% | |||
Finance | 5.6% | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 5.4% | |||
Telecommunications | 4.6% | |||
Media | 3.9% | |||
Mining | 3.8% | |||
Electronics/Electric | 3.8% | |||
Real Estate | 3.5% | |||
Consumer Products | 3.5% | |||
Healthcare | 3.2% | |||
Transportation | 3.1% | |||
Commercial Services | 2.9% | |||
US Government and Agency Mortgage Backed Obligations | 2.7% | |||
Chemicals/Plastics | 2.6% | |||
Asset Backed Obligations | 2.6% | |||
Banking | 2.4% | |||
Short Term Investments | 2.3% | |||
Chemical Products | 2.1% | |||
Pulp & Paper | 2.0% | |||
Aerospace & Defense | 2.0% | |||
Technology | 1.9% | |||
Business Equipment and Services | 1.7% | |||
Automotive | 1.6% | |||
Food Products | 1.1% | |||
Leisure | 1.1% | |||
Retailers (other than Food/Drug) | 1.1% | |||
Financial Intermediaries | 1.0% | |||
Beverage and Tobacco | 0.9% | |||
Building and Development (including Steel/Metals) | 0.8% | |||
Industrial Equipment | 0.8% | |||
Insurance | 0.4% | |||
Hotels/Motels/Inns and Casinos | 0.4% | |||
Environmental Control | 0.3% | |||
Containers and Glass Products | 0.3% | |||
Food Service | 0.3% | |||
Food/Drug Retailers | 0.3% | |||
Construction | 0.2% | |||
Pharmaceuticals | 0.2% | |||
Other Assets and Liabilities | (39.7)% | |||
|
| |||
100.0% | ||||
|
|
COUNTRY BREAKDOWN as a % of Net Assets:
United States | 80.9% | |||
Colombia | 11.6% | |||
Mexico | 8.1% | |||
Brazil | 6.7% | |||
Argentina | 6.2% | |||
Peru | 2.9% | |||
South Africa | 2.8% | |||
Canada | 2.2% | |||
Costa Rica | 1.9% | |||
Indonesia | 1.7% | |||
Ghana | 1.6% | |||
India | 1.6% | |||
China | 1.4% | |||
Paraguay | 1.3% | |||
Ukraine | 1.3% | |||
Hong Kong | 1.1% | |||
Chile | 1.0% | |||
Jamaica | 1.0% | |||
Morocco | 0.9% | |||
Trinidad And Tobago | 0.8% | |||
Dominican Republic | 0.7% | |||
Singapore | 0.6% | |||
Austria | 0.4% | |||
Luxembourg | 0.4% | |||
United Kingdom | 0.3% | |||
Ireland | 0.2% | |||
Netherlands | 0.1% | |||
Other Assets and Liabilities | (39.7)% | |||
|
| |||
100.0% | ||||
|
|
(o) | Represents less than 0.05% of net assets |
Notes to Schedule of Investments
June 30, 2022 (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 June 30, 2022:
Category |
| |||
Investments in Securities | ||||
Level 1 | ||||
Money Market Funds | $ | 30,712,027 | ||
Common Stocks | 7,332,529 | |||
|
|
| ||
Total Level 1 | 38,044,556 | |||
Level 2 | ||||
Foreign Corporate Bonds | 680,140,689 | |||
US Corporate Bonds | 329,084,948 | |||
Non-Agency Commercial Mortgage Backed Obligations | 203,722,503 | |||
Collateralized Loan Obligations | 201,597,042 | |||
Bank Loans | 185,640,286 | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 73,320,655 | |||
US Government and Agency Mortgage Backed Obligations | 35,868,629 | |||
Asset Backed Obligations | 20,060,772 | |||
|
|
| ||
Total Level 2 | 1,729,435,524 | |||
Level 3 | ||||
Non-Agency Commercial Mortgage Backed Obligations | 66,667,674 | |||
Common Stocks | 23,678,915 | |||
Asset Backed Obligations | 15,642,686 | |||
Escrow Notes | 13,974,407 | |||
Collateralized Loan Obligations | 2,810,934 | |||
Bank Loans | 1,918,428 | |||
Preferred Stocks | 165,096 | |||
Rights | 85,374 | |||
Warrants | 1 | |||
Foreign Corporate Bonds | — | |||
|
|
| ||
Total Level 3 | 124,943,515 | |||
|
|
| ||
Total | $ | 1,892,423,595 | ||
|
|
| ||
Other Financial Instruments | ||||
Level 1 | $ | — | ||
|
|
| ||
Level 2 | ||||
Unfunded Loan Commitments | (6,476 | ) | ||
|
|
| ||
Total Level 2 | (6,476 | ) | ||
Level 3 | — | |||
|
|
| ||
Total | $ | (6,476 | ) | |
|
|
|
See the Schedule of Investments for further disaggregation of investment categories.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
Fair Value as of 9/30/2021 | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation)(c) | Net Accretion (Amortization) | Purchases(a) | Sales(b) | Transfers Into Level 3(d) | Transfers Out of Level 3(d) | Fair Value as of 6/30/2022 | Net Change in Unrealized Appreciation (Depreciation) on securities held at 6/30/2022(c) | |||||||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage Backed Obligations | $ | 42,310,896 | $ | 394,009 | $ | (866,363 | ) | $ | 427,066 | $ | 26,256,911 | $ | (1,854,845 | ) | $ | — | $ | — | $ | 66,667,674 | $ | 332,095 | ||||||||||||||||||
Common Stocks | 23,954,628 | 5,117,805 | (10,884,083 | ) | — | 12,238,002 | (6,747,437 | ) | — | — | 23,678,915 | 2,368,435 | ||||||||||||||||||||||||||||
Asset Backed Obligations | 20,940,415 | 4,952 | (5,076,750 | ) | (227 | ) | 386,219 | (611,923 | ) | — | — | 15,642,686 | (5,003,534 | ) | ||||||||||||||||||||||||||
Escrow Notes | 15,860,100 | — | (709,695 | ) | — | — | (1,175,998 | ) | — | — | 13,974,407 | (709,695 | ) | |||||||||||||||||||||||||||
Collateralized Loan Obligations | 287,791 | — | (131,514 | ) | 8,611 | 90,578 | — | 2,555,468 | — | 2,810,934 | (46,694 | ) | ||||||||||||||||||||||||||||
Bank Loans | 1,946,144 | 4,259 | (73,530 | ) | 53,410 | — | (11,855 | ) | — | — | 1,918,428 | (69,114 | ) | |||||||||||||||||||||||||||
Preferred Stock | — | — | (421,478 | ) | — | 586,574 | — | — | — | 165,096 | — | |||||||||||||||||||||||||||||
Rights | — | — | 85,374 | — | — | — | — | — | 85,374 | — | ||||||||||||||||||||||||||||||
Warrants | 1 | — | — | — | — | — | — | — | 1 | — | ||||||||||||||||||||||||||||||
Foreign Corporate Bonds | 934,019 | — | — | — | 273,522 | (1,207,541 | ) | — | — | — | — | |||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 106,233,994 | $ | 5,521,025 | $ | (18,078,039 | ) | $ | 488,860 | $ | 39,831,806 | $ | (11,609,599 | ) | $ | 2,555,468 | $ | — | $ | 124,943,515 | $ | (3,128,507 | ) | |||||||||||||||||
|
|
|
|
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|
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|
|
|
|
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|
|
|
|
(a) | Purchases include all purchases of securities, payups and corporate actions. |
(b) | Sales include all sales of securities, maturities, and paydowns. |
(c) | Any difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation) on securities held at June 30, 2022 may be due to a security that was not held or categorized as Level 3 at either period end. |
(d) | 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 6/30/2022 | Valuation Techniques | Unobservable Input | Unobservable Input Values (Weighted Average)(e) | Impact to valuation from an increase to input | ||||||||||
Non-Agency Commercial Mortgage Backed Obligations | $ | 66,667,674 | Market Comparables | Market Quotes | $0.01 - $94.27 ($68.54) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Common Stocks | $ | 23,678,915 | Market Comparables | Market Quotes | $1.50 - $72.50 ($28.64) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Asset Backed Obligations | $ | 15,642,686 | Market Comparables | Market Quotes | $61.11 - $3,516.60 ($885.83) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Escrow Notes | $ | 13,974,407 | Market Comparables | Market Quotes | $76.66 ($76.66) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Fair Value as of 6/30/2022 | Valuation Techniques | Unobservable Input | Unobservable Input Values (Weighted Average)(e) | Impact to valuation from an increase to input | ||||||||||
$ | — | Intrinsic Value | Reserve Account Value | $0.00 | Significant changes in reserve account value would have resulted in direct changes in fair value of the security | |||||||||
Collateralized Loan Obligations | $ | 2,810,934 | Market Comparables | Market Quotes | $0.00 - $73.01 ($68.48) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Bank Loans | $ | 1,918,428 | Market Comparables | Market Quotes | $99.18 ($99.18) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Preferred Stocks | $ | 165,096 | Market Comparables | Market Quotes | $6.00 ($6.00) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Rights | $ | 85,374 | Intrinsic Value | Asset Sale Proceeds | $3.75 - $4.00 ($3.88) | Significant changes in asset sale proceeds would have resulted in direct changes in 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 and proportional changes in the fair value of the security | ||||||||
Foreign Corporate Bonds | $ | — | Market Comparables | EBITDA Multiples | 5.5x (5.5x) | Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the security |
(e) | Unobservable inputs were weighted by the relative fair value of the instruments. |