DoubleLine Yield Opportunities Fund
Schedule of Investments
June 30, 2021 (Unaudited)
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
Asset Backed Obligations - 4.2% | | | | | | | | | | |
| 1,715,906 | | Castlelake Aircraft Structured Trust, Series 2021-1A-C | | | 7.00 | % (a)(i) | | 01/15/2046 | | | 1,751,695 | |
| 4,355,508 | | JOL Air Ltd., Series 2019-1-B | | | 4.95 | % (a) | | 04/15/2044 | | | 4,105,236 | |
| 1,681,905 | | Kestrel Aircraft Funding Ltd., Series 2018-1A-A | | | 4.25 | % (a) | | 12/15/2038 | | | 1,679,517 | |
| 11,327,000 | | LendingClub Receivables Trust, Series 2020-5A-B | | | 7.50 | % (a) | | 03/15/2046 | | | 11,692,658 | |
| 868,376 | | MACH Cayman Ltd., Series 2019-1-B | | | 4.34 | % (a) | | 10/15/2039 | | | 835,093 | |
| 2,363,803 | | Mosaic Solar Loan Trust, Series 2017-1A-R1 | | | 0.00 | % (a)(b)(i) | | 06/20/2042 | | | 2,337,951 | |
| 3,984,193 | | Pagaya AI Debt Selection Trust, Series 2020-2-NOTE | | | 7.50 | % (a) | | 12/15/2027 | | | 4,014,221 | |
| 5,000,000 | | Pagaya AI Debt Selection Trust, Series 2020-3-C | | | 6.43 | % (a) | | 05/17/2027 | | | 5,269,924 | |
| 20,000 | | SoFi Professional Loan Program, Series 2018-C-R1 | | | 0.06 | % (a)(i) | | 01/25/2048 | | | 484,221 | |
| 1,251,174 | | START Ireland, Series 2019-1-C | | | 6.41 | % (a)(i) | | 03/15/2044 | | | 1,001,139 | |
| 4,436,169 | | Start Ltd., Series 2018-1-A | | | 4.09 | % (a) | | 05/15/2043 | | | 4,459,552 | |
| 4,000 | | Upstart Securitization Trust, Series 2021-2-CERT | | | 0.11 | % (i) | | 06/20/2031 | | | 4,022,263 | |
| | | | | | | | | | | | |
Total Asset Backed Obligations (Cost $39,092,301) | | | | | | | | | 41,653,470 | |
| | | | | | | | | | |
| | | |
Bank Loans - 7.5% | | | | | | | | | | |
| 1,210,000 | | AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | | | 5.50 | % | | 04/20/2028 | | | 1,263,016 | |
| 790,000 | | Aegion Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | | | 5.50 | % | | 05/17/2028 | | | 799,875 | |
| 3,206,131 | | Almonde, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) | | | 4.50 | % | | 06/13/2024 | | | 3,160,956 | |
| 1,175,000 | | Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) | | | 8.25 | % | | 06/16/2025 | | | 1,190,058 | |
| | American Tire Distributors, Inc., Senior Secured First Lien Term Loan | | | | | | | | | | |
| 2,663,986 | | (1 Month LIBOR USD + 7.50%, 1.00% Floor) (1 Month LIBOR USD + 5.50% + 1.50% PIK) | | | 8.50 | % | | 09/02/2024 | | | 2,669,979 | |
| 298,302 | | (3 Month LIBOR USD + 7.50%, 1.00% Floor) (3 Month LIBOR USD + 5.50% + 1.50% PIK) | | | 8.50 | % | | 09/02/2024 | | | 298,974 | |
| 610,000 | | American Trailer World Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) | | | 4.50 | % | | 03/03/2028 | | | 609,905 | |
| 2,050,000 | | Applied Systems, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.50%, 0.75% Floor) | | | 6.25 | % | | 09/19/2025 | | | 2,084,337 | |
| 305,000 | | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%) | | | 5.35 | % | | 01/31/2028 | | | 307,859 | |
| 1,445,000 | | Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor) | | | 6.00 | % | | 05/08/2028 | | | 1,424,828 | |
| 365,000 | | Autokiniton US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 0.50% Floor) | | | 5.00 | % | | 04/06/2028 | | | 368,309 | |
| 896,357 | | BellRing Brands LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) | | | 4.75 | % | | 10/21/2024 | | | 904,707 | |
| 1,320,363 | | Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) | | | 3.84 | % | | 10/02/2025 | | | 1,314,461 | |
| 493,590 | | Brand Industrial Services, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) | | | 5.25 | % | | 06/21/2024 | | | 486,262 | |
| 1,860,000 | | Cengage Learning, Inc., Senior Secured First Lien Term Loan | | | 5.75 | % (c) | | 06/29/2026 | | | 1,864,659 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 2,970,000 | | Connect U.S. Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) | | | 4.50 | % | | 12/11/2026 | | | 2,977,440 | |
| 4,500,000 | | Constant Contact, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.50%) | | | 8.25 | % | | 02/09/2029 | | | 4,455,000 | |
| 1,197,000 | | Cross Financial Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) | | | 4.75 | % | | 09/15/2027 | | | 1,202,237 | |
| 2,520,000 | | Curium BidCo SARL, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.75%, 0.75% Floor) | | | 8.50 | % | | 10/27/2028 | | | 2,570,400 | |
| 940,000 | | DCert Buyer, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%) | | | 7.10 | % | | 02/19/2029 | | | 950,970 | |
| 3,800,000 | | Delta Topco, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 0.75% Floor) | | | 8.00 | % | | 12/01/2028 | | | 3,861,750 | |
| 915,000 | | DG Investment Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.75% Floor) | | | 7.50 | % | | 03/19/2029 | | | 916,716 | |
| 3,360,000 | | Edelman Financial Center LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | | | 6.85 | % | | 07/20/2026 | | | 3,385,553 | |
| 745,000 | | Endo Luxembourg Finance Company SARL, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) | | | 5.75 | % | | 03/27/2028 | | | 721,022 | |
| 1,966,751 | | Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | | | 4.63 | % | | 02/19/2026 | | | 1,967,981 | |
| 1,350,000 | | Grab Holdings, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.50%, 1.00% Floor) | | | 5.50 | % | | 01/29/2026 | | | 1,373,625 | |
| 1,110,000 | | Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%, 0.75% Floor) | | | 7.00 | % | | 07/07/2025 | | | 1,118,786 | |
| 415,000 | | ION Trading Finance Limited, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%) | | | 4.92 | % | | 03/31/2028 | | | 417,334 | |
| 845,000 | | Ivanti Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) | | | 5.75 | % | | 12/01/2027 | | | 847,522 | |
| 250,000 | | Jo-Ann Stores LLC, Senior Secured First Lien Term Loan | | | 5.50 | % (c) | | 06/30/2028 | | | 248,750 | |
| 2,969,620 | | Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | | | 4.63 | % | | 07/02/2025 | | | 2,969,620 | |
| 329,175 | | Kronos Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.50% Floor) | | | 4.25 | % | | 12/22/2026 | | | 327,289 | |
| 2,173,625 | | Milano Acquisition Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) | | | 4.75 | % | | 10/01/2027 | | | 2,184,493 | |
| 400,000 | | Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor) | | | 6.25 | % | | 06/21/2027 | | | 427,728 | |
| 3,949,622 | | Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) | | | 4.85 | % | | 03/27/2026 | | | 3,953,730 | |
| 599,861 | | Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) | | | 7.35 | % | | 12/01/2025 | | | 601,361 | |
| 987,374 | | MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | | | 4.59 | % | | 11/28/2025 | | | 908,759 | |
| 42,813 | | OneDigital Borrower LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.50%, 0.75% Floor) | | | 5.25 | % (e) | | 11/16/2027 | | | 43,045 | |
| | OneDigital Borrower LLC, Senior Secured First Lien Term Loan | | | | | | | | | | |
| 26,809 | | (1 Month LIBOR USD + 4.50%, 0.75% Floor) | | | 5.25 | % | | 11/16/2027 | | | 26,954 | |
| 1,300,379 | | (3 Month LIBOR USD + 4.50%, 0.75% Floor) | | | 5.25 | % | | 11/16/2027 | | | 1,307,427 | |
| 375,000 | | Oravel Stays Singapore PTE Ltd., Senior Secured First Lien Term Loan | | | 9.00 | % (c) | | 06/04/2026 | | | 381,562 | |
| 465,000 | | Orbcomm, Inc., Senior Secured First Lien Term Loan | | | 5.00 | % (c) | | 06/17/2028 | | | 464,709 | |
| 260,000 | | Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) | | | 4.75 | % | | 12/14/2027 | | | 260,732 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 1,471,313 | | Riverbed Technology, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor) | | | 7.00 | % | | 12/31/2025 | | | 1,401,425 | |
| 605,000 | | Solmax U.S. LP, Senior Secured First Lien Term Loan | | | 0.00 | % (c) | | 06/28/2028 | | | 604,244 | |
| 750,000 | | Southern Veterinary Partners LLC, Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.75%, 1.00% Floor) | | | 8.75 | % | | 09/22/2028 | | | 755,625 | |
| 843,575 | | Staples, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) | | | 5.18 | % | | 04/16/2026 | | | 823,544 | |
| 5,000,000 | | TIBCO Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) | | | 7.36 | % | | 03/03/2028 | | | 5,086,725 | |
| 1,472,460 | | Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.50%, 1.00% Floor) | | | 2.50 | % | | 02/28/2025 | | | 1,548,189 | |
| 2,750,000 | | UKG, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.75% Floor) | | | 7.50 | % | | 05/03/2027 | | | 2,806,141 | |
| 743,114 | | WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.75%, 1.00% Floor) | | | 6.75 | % | | 06/22/2026 | | | 714,452 | |
| | | | | | | | | | | | |
Total Bank Loans (Cost $71,924,848) | | | | | | | | | 73,361,025 | |
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| | | |
Collateralized Loan Obligations - 15.1% | | | | | | | | | | |
| 1,450,000 | | Apidos Ltd., Series 2018-18A-E (3 Month LIBOR USD + 5.70%, 5.70% Floor) | | | 5.88 | % (a) | | 10/22/2030 | | | 1,381,314 | |
| 1,000,000 | | Apidos, Series 2020-34A-E (3 Month LIBOR USD + 7.25%, 7.25% Floor) | | | 7.49 | % (a) | | 01/20/2033 | | | 1,012,491 | |
| 2,300,000 | | Atrium, Series 15A-D (3 Month LIBOR USD + 3.00%, 3.00% Floor) | | | 3.17 | % (a) | | 01/23/2031 | | | 2,303,388 | |
| 3,000,000 | | Bain Capital Credit Ltd., Series 2017-2A-ER2 (3 Month LIBOR USD + 6.50%, 6.50% Floor) | | | 0.00 | % (a)(l) | | 07/25/2034 | | | 2,970,000 | |
| 1,500,000 | | Barings Ltd., Series 2019-2A-CR (3 Month LIBOR USD + 3.40%, 3.40% Floor) | | | 0.00 | % (a)(l) | | 04/15/2036 | | | 1,501,125 | |
| 2,000,000 | | Barings Ltd., Series 2020-1A-E (3 Month LIBOR USD + 7.40%, 7.40% Floor) | | | 7.58 | % (a) | | 10/15/2032 | | | 2,013,386 | |
| 750,000 | | Buttermilk Park Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | | | 5.93 | % (a) | | 10/15/2031 | | | 736,127 | |
| 1,000,000 | | Canyon Capital Ltd., Series 2020-2A-E (3 Month LIBOR USD + 7.40%, 7.40% Floor) | | | 7.58 | % (a) | | 10/15/2031 | | | 1,003,742 | |
| 2,000,000 | | Canyon Capital Ltd., Series 2021-3A-E (3 Month LIBOR USD + 6.20%, 6.20% Floor) | | | 6.36 | % (a) | | 07/15/2034 | | | 2,000,000 | |
| 1,000,000 | | Carlyle US Ltd., Series 2021-1A-D (3 Month LIBOR USD + 6.00%, 6.00% Floor) | | | 6.19 | % (a) | | 04/15/2034 | | | 989,826 | |
| 3,000,000 | | Cathedral Lake Ltd., Series 2013-1A-BR (3 Month LIBOR USD + 2.30%) | | | 2.48 | % (a) | | 10/15/2029 | | | 2,944,965 | |
| 500,000 | | Cathedral Lake Ltd., Series 2019-2A-C (3 Month LIBOR USD + 3.70%, 3.70% Floor) | | | 3.88 | % (a) | | 07/15/2032 | | | 500,704 | |
| 1,068,000 | | Cathedral Lake Ltd., Series 2019-3A-C1 (3 Month LIBOR USD + 3.75%, 3.75% Floor) | | | 3.94 | % (a) | | 10/20/2032 | | | 1,072,409 | |
| 3,800,000 | | Catskill Park Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.00%) | | | 6.19 | % (a) | | 04/20/2029 | | | 3,778,904 | |
| 750,000 | | CIFC Funding Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 6.65%) | | | 6.83 | % (a) | | 07/16/2030 | | | 743,531 | |
| 3,350,000 | | CIFC Funding Ltd., Series 2013-3RA-D (3 Month LIBOR USD + 5.90%, 5.90% Floor) | | | 6.08 | % (a) | | 04/24/2031 | | | 3,274,795 | |
| 3,000,000 | | CIFC Funding Ltd., Series 2015-2A-ER2 (3 Month LIBOR USD + 6.81%, 6.81% Floor) | | | 6.99 | % (a) | | 04/15/2030 | | | 3,007,714 | |
| 500,000 | | CIFC Funding Ltd., Series 2016-1A-D2R (3 Month LIBOR USD + 4.43%) | | | 4.62 | % (a) | | 10/21/2031 | | | 501,138 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 500,000 | | CIFC Funding Ltd., Series 2017-5A-D (3 Month LIBOR USD + 6.10%) | | | 6.29 | % (a) | | 11/16/2030 | | | 496,931 | |
| 3,000,000 | | CIFC Funding Ltd., Series 2020-1A-D (3 Month LIBOR USD + 4.00%, 4.00% Floor) | | | 4.18 | % (a) | | 07/15/2032 | | | 3,004,334 | |
| 2,000,000 | | CIFC Funding Ltd., Series 2020-1A-E (3 Month LIBOR USD + 7.08%, 7.08% Floor) | | | 7.26 | % (a) | | 07/15/2032 | | | 2,002,691 | |
| 1,500,000 | | CIFC Funding Ltd., Series 2020-4A-E (3 Month LIBOR USD + 6.85%, 6.85% Floor) | | | 7.03 | % (a) | | 01/15/2034 | | | 1,515,127 | |
| 500,000 | | CIFC Funding Ltd., Series 2021-4A-E (3 Month LIBOR USD + 6.00%, 6.00% Floor) | | | 0.00 | % (a)(l) | | 07/15/2033 | | | 500,000 | |
| 2,000,000 | | Dryden Ltd., Series 2017-54A-E (3 Month LIBOR USD + 6.20%) | | | 6.39 | % (a) | | 10/19/2029 | | | 1,986,000 | |
| 1,000,000 | | Dryden Ltd., Series 2020-77A-ER (3 Month LIBOR USD + 5.87%, 5.87% Floor) | | | 6.00 | % (a) | | 05/20/2034 | | | 993,139 | |
| 2,500,000 | | Dryden Senior Loan Fund, Series 2021-87A-E (3 Month LIBOR USD + 6.15%, 6.15% Floor) | | | 0.00 | % (a)(l) | | 05/20/2034 | | | 2,500,000 | |
| 5,000,000 | | GoldenTree Loan Management Ltd., Series 2019-6A-E (3 Month LIBOR USD + 5.22%, 5.22% Floor) | | | 5.41 | % (a) | | 01/20/2033 | | | 4,828,770 | |
| 1,550,000 | | Highbridge Loan Management Ltd., Series 2013-2A-CR (3 Month LIBOR USD + 2.90%) | | | 3.09 | % (a) | | 10/20/2029 | | | 1,487,735 | |
| 1,000,000 | | Highbridge Loan Management Ltd., Series 6A-2015-DR (3 Month LIBOR USD + 5.10%) | | | 5.28 | % (a) | | 02/05/2031 | | | 950,592 | |
| 2,000,000 | | HPS Loan Management Ltd., Series 13A-18-E (3 Month LIBOR USD + 5.50%, 5.50% Floor) | | | 5.68 | % (a) | | 10/15/2030 | | | 1,938,812 | |
| 1,000,000 | | Jay Park Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 5.20%, 5.20% Floor) | | | 5.39 | % (a) | | 10/20/2027 | | | 982,556 | |
| 2,500,000 | | Madison Park Funding Ltd., Series 2017-26A-ER (3 Month LIBOR USD + 6.50%) | | | 6.68 | % (a) | | 07/29/2030 | | | 2,489,567 | |
| 2,500,000 | | Madison Park Funding Ltd., Series 2019-36A-D (3 Month LIBOR USD + 3.75%, 3.75% Floor) | | | 3.93 | % (a) | | 01/15/2033 | | | 2,522,025 | |
| 3,000,000 | | Madison Park Funding Ltd., Series 2020-45A-D (3 Month LIBOR USD + 4.00%, 4.00% Floor) | | | 4.18 | % (a) | | 07/15/2031 | | | 3,003,363 | |
| 1,500,000 | | Madison Park Funding Ltd., Series 2020-45A-E (3 Month LIBOR USD + 7.40%, 7.40% Floor) | | | 7.58 | % (a) | | 07/15/2031 | | | 1,501,720 | |
| 2,500,000 | | Madison Park Funding Ltd., Series 2020-45A-ER (3 Month LIBOR USD + 6.35%, 6.35% Floor) | | | 0.00 | % (a)(l) | | 07/15/2034 | | | 2,500,000 | |
| 2,000,000 | | Madison Park Funding Ltd., Series 2021-38A-E (3 Month LIBOR USD + 6.00%, 6.00% Floor) | | | 6.13 | % (a) | | 07/17/2034 | | | 1,999,998 | |
| 750,000 | | Magnetite Ltd., Series 2020-26A-D (3 Month LIBOR USD + 4.56%) | | | 4.74 | % (a) | | 07/15/2030 | | | 751,070 | |
| 1,000,000 | | Magnetite Ltd., Series 2020-28A-E (3 Month LIBOR USD + 7.08%, 7.08% Floor) | | | 7.26 | % (a) | | 10/25/2031 | | | 1,004,890 | |
| 4,000,000 | | Milos Ltd., Series 2017-1A-ER (3 Month LIBOR USD + 6.15%, 6.15% Floor) | | | 6.34 | % (a) | | 10/20/2030 | | | 3,952,400 | |
| 2,500,000 | | Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | | | 6.45 | % (a) | | 04/15/2034 | | | 2,477,627 | |
| 5,000,000 | | Neuberger Berman Loan Advisers Ltd., Series 2019-34A-E (3 Month LIBOR USD + 7.80%) | | | 7.99 | % (a) | | 01/20/2033 | | | 5,063,004 | |
| 1,500,000 | | Neuberger Berman Loan Advisers Ltd., Series 2020-38A-E (3 Month LIBOR USD + 7.50%, 7.50% Floor) | | | 7.69 | % (a) | | 10/20/2032 | | | 1,513,058 | |
| 500,000 | | OCP Ltd., Series 2020-19A-D (3 Month LIBOR USD + 4.47%, 4.47% Floor) | | | 4.66 | % (a) | | 07/20/2031 | | | 500,797 | |
| 1,500,000 | | Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.46%, 6.46% Floor) | | | 6.65 | % (a) | | 04/20/2031 | | | 1,502,334 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 750,000 | | Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.60%, 6.60% Floor) | | | 6.78 | % (a) | | 10/25/2032 | | | 751,871 | |
| 4,000,000 | | Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.79%, 6.79% Floor) | | | 6.98 | % (a) | | 07/20/2032 | | | 4,010,338 | |
| 5,000,000 | | Octagon Investment Partners Ltd., Series 2019-1A-INC | | | 0.11 | % (a)(d)(i) | | 10/25/2032 | | | 4,513,567 | |
| 500,000 | | Octagon Investment Partners Ltd., Series 2019-4A-E (3 Month LIBOR USD + 6.80%, 6.80% Floor) | | | 6.97 | % (a) | | 05/12/2031 | | | 497,501 | |
| 1,000,000 | | Octagon Investment Partners Ltd., Series 2020-3A-D (3 Month LIBOR USD + 4.00%, 4.00% Floor) | | | 4.19 | % (a) | | 10/20/2031 | | | 1,005,485 | |
| 2,700,000 | | Octagon Investment Partners Ltd., Series 2020-3A-E (3 Month LIBOR USD + 7.66%, 7.66% Floor) | | | 7.85 | % (a) | | 10/20/2031 | | | 2,731,664 | |
| 4,000,000 | | Octagon Investment Partners Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.50%, 6.50% Floor) | | | 6.67 | % (a) | | 04/15/2034 | | | 3,999,592 | |
| 1,000,000 | | Octagon Loan Funding Ltd., Series 2014-1A-ERR (3 Month LIBOR USD + 6.00%, 6.00% Floor) | | | 6.16 | % (a) | | 11/18/2031 | | | 977,204 | |
| 3,000,000 | | OHA Credit Funding Ltd., Series 2019-3A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | | | 0.00 | % (a)(l) | | 07/02/2035 | | | 3,000,000 | |
| 500,000 | | Point Au Roche Park Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.10%, 6.10% Floor) | | | 0.00 | % (a)(l) | | 07/20/2034 | | | 500,000 | |
| 5,000,000 | | RR Ltd., Series 2017-2A-DR (3 Month LIBOR USD + 5.80%, 5.80% Floor) | | | 5.99 | % (a) | | 04/15/2036 | | | 4,938,570 | |
| 1,000,000 | | RR Ltd., Series 2019-6A-DR (3 Month LIBOR USD + 5.85%, 5.85% Floor) | | | 5.96 | % (a) | | 04/15/2036 | | | 988,547 | |
| 3,000,000 | | Sound Point Ltd. | | | 0.01 | % (a)(c) | | 07/20/2034 | | | 2,970,000 | |
| 1,000,000 | | Sound Point Ltd., Series 2019-4A-D (3 Month LIBOR USD + 4.11%, 4.11% Floor) | | | 4.29 | % (a) | | 01/15/2033 | | | 1,006,703 | |
| 2,000,000 | | Sound Point Ltd., Series 2020-1A-D (3 Month LIBOR USD + 4.70%, 4.70% Floor) | | | 4.89 | % (a) | | 07/20/2030 | | | 2,005,198 | |
| 4,000,000 | | Sound Point Ltd., Series 2020-2A-E (3 Month LIBOR USD + 7.24%, 7.24% Floor) | | | 7.42 | % (a) | | 10/25/2031 | | | 4,042,202 | |
| 7,000,000 | | Sound Point Ltd., Series 2021-2A-E (3 Month LIBOR USD + 6.36%, 6.36% Floor) | | | 0.00 | % (a)(l) | | 07/25/2034 | | | 6,857,900 | |
| 2,000,000 | | Thompson Park Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.31%, 6.31% Floor) | | | 6.51 | % (a) | | 04/15/2034 | | | 1,987,325 | |
| 2,000,000 | | TICP Ltd., Series 2017-9A-D (3 Month LIBOR USD + 2.90%) | | | 3.09 | % (a) | | 01/20/2031 | | | 1,993,840 | |
| 1,000,000 | | Treman Park Ltd., Series 2015-1A-DRR (3 Month LIBOR USD + 2.65%, 2.65% Floor) | | | 2.84 | %(a) | | 10/20/2028 | | | 1,005,067 | |
| 3,000,000 | | Trimaran CAVU LLC, Series 2019-1A-D (3 Month LIBOR USD + 4.15%, 4.15% Floor) | | | 4.34 | % (a) | | 07/20/2032 | | | 3,036,509 | |
| 2,000,000 | | Voya Ltd., Series 2013-3A-DR (3 Month LIBOR USD + 5.90%, 5.90% Floor) | | | 6.09 | % (a) | | 10/18/2031 | | | 1,913,790 | |
| 1,350,000 | | Voya Ltd., Series 2017-2A-D (3 Month LIBOR USD + 6.02%) | | | 6.20 | % (a) | | 06/07/2030 | | | 1,325,767 | |
| 2,000,000 | | Voya Ltd., Series 2018-4A-E (3 Month LIBOR USD + 6.30%, 6.30% Floor) | | | 6.48 | % (a) | | 01/15/2032 | | | 1,987,896 | |
| 1,000,000 | | Voya Ltd., Series 2020-1A-D (3 Month LIBOR USD + 4.25%, 4.25% Floor) | | | 4.43 | % (a) | | 07/16/2031 | | | 1,001,881 | |
| 1,000,000 | | Webster Park Ltd., Series 2015-1A-DR (3 Month LIBOR USD + 5.50%, 5.50% Floor) | | | 5.69 | % (a) | | 07/20/2030 | | | 987,500 | |
| 2,500,000 | | Wind River Ltd., Series 2017-3A-ER (3 Month LIBOR USD + 7.05%, 7.05% Floor) | | | 0.00 | % (a)(l) | | 04/15/2035 | | | 2,504,123 | |
| | | | | | | | | | | | |
Total Collateralized Loan Obligations (Cost $144,327,406) | | | | | | | | | 148,244,139 | |
| | | | | | | | | | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
Foreign Corporate Bonds - 24.3% | | | | | | | | | | |
| 2,550,000 | | ABM Investama Tbk PT | | | 7.13 | % | | 08/01/2022 | | | 2,472,225 | |
| 903,880 | | Aeropuertos Argentina S.A. (PIK 9.38%) | | | 6.88 | % (a) | | 02/01/2027 | | | 785,440 | |
| 1,700,000 | | AES Andres B.V. | | | 5.70 | % (a) | | 05/04/2028 | | | 1,763,750 | |
| 1,000,000 | | AES Argentina Generacion S.A. | | | 7.75 | % | | 02/02/2024 | | | 853,965 | |
| 4,000,000 | | AES Gener S.A. (5 Year CMT Rate + 4.92%) | | | 6.35 | % | | 10/07/2079 | | | 4,274,000 | |
| 2,400,000 | | Agile Group Holdings Ltd. (5 Year CMT Rate + 11.08%) | | | 7.75 | % (f) | | 05/25/2025 | | | 2,433,119 | |
| 2,780,000 | | Agile Group Holdings Ltd. (5 Year CMT Rate + 11.29%) | | | 7.88 | % (f) | | 07/31/2024 | | | 2,832,140 | |
| 1,573,000 | | AI Candelaria Spain SLU | | | 7.50 | % | | 12/15/2028 | | | 1,761,556 | |
| 1,000,000 | | AI Candelaria Spain SLU | | | 5.75 | % (a) | | 06/15/2033 | | | 1,031,020 | |
| 6,000,000 | | Air Canada Class C Pass Through Trust | | | 10.50 | % (a) | | 07/15/2026 | | | 7,470,000 | |
| 500,000 | | Alpha Holdings S.A. | | | 10.00 | % | | 12/19/2022 | | | 97,500 | |
| 2,500,000 | | Alpha Holdings S.A. | | | 9.00 | % | | 02/10/2025 | | | 491,563 | |
| 1,000,000 | | Alpha Holdings S.A. | | | 9.00 | % (a) | | 02/10/2025 | | | 196,625 | |
| 4,000,000 | | Altice France S.A. | | | 6.00 | % (a) | | 02/15/2028 | | | 3,988,720 | |
| 4,000,000 | | AMS AG | | | 7.00 | % (a) | | 07/31/2025 | | | 4,323,300 | |
| 1,400,000 | | Atento Luxco 1 S.A. | | | 8.00 | % (a) | | 02/10/2026 | | | 1,527,638 | |
| 1,868,000 | | Banco GNB Sudameris S.A. (5 Year CMT Rate + 4.56%) | | | 6.50 | % | | 04/03/2027 | | | 1,875,481 | |
| 4,185,000 | | Braskem Idesa S.A.P.I. | | | 7.45 | % | | 11/15/2029 | | | 4,449,994 | |
| 2,350,000 | | Braskem Netherlands Finance B.V. | | | 5.88 | % | | 01/31/2050 | | | 2,581,193 | |
| 2,000,000 | | Canacol Energy Ltd. | | | 7.25 | % | | 05/03/2025 | | | 2,128,630 | |
| 200,000 | | Central China Real Estate Ltd. | | | 7.25 | % | | 04/24/2023 | | | 190,505 | |
| 4,650,000 | | Central China Real Estate Ltd. | | | 7.25 | % | | 07/16/2024 | | | 4,051,327 | |
| 400,000 | | Central China Real Estate Ltd. | | | 7.25 | % | | 08/13/2024 | | | 345,002 | |
| 2,866,000 | | CIFI Holdings Group Company Ltd. (5 Year CMT Rate + 8.57%) | | | 5.38 | % (f) | | 08/24/2022 | | | 2,913,462 | |
| 1,828,000 | | Cometa Energia S.A. de C.V. | | | 6.38 | % | | 04/24/2035 | | | 2,103,836 | |
| 2,000,000 | | Connect Finco LLC | | | 6.75 | % (a) | | 10/01/2026 | | | 2,117,520 | |
| 149,000 | | Corporacion Azucarera del Peru S.A. | | | 6.38 | % | | 08/02/2022 | | | 142,296 | |
| 3,000,000 | | Cosan Overseas Ltd. | | | 0.00 | % | | 12/29/2049 | | | 3,086,250 | |
| 4,600,000 | | Credito Real S.A.B. de C.V. | | | 9.50 | % | | 02/07/2026 | | | 4,293,272 | |
| 2,700,000 | | Credivalores-Crediservicios S.A. | | | 9.75 | % | | 07/27/2022 | | | 2,428,110 | |
| 1,400,000 | | Credivalores-Crediservicios S.A. | | | 8.88 | % | | 02/07/2025 | | | 1,097,131 | |
| 1,000,000 | | Credivalores-Crediservicios SAS | | | 8.88 | % (a) | | 02/07/2025 | | | 783,665 | |
| 1,000,000 | | CSN Islands Corporation | | | 6.75 | % (a) | | 01/28/2028 | | | 1,107,250 | |
| 2,675,000 | | Docuformas SAPI de C.V. | | | 10.25 | % | | 07/24/2024 | | | 2,544,139 | |
| 3,015,000 | | Empresa Electrica Guacolda S.A. | | | 4.56 | % | | 04/30/2025 | | | 2,155,268 | |
| 1,277,370 | | Empresa Generadora de Electricidad Itabo S.A. | | | 7.95 | % | | 05/11/2026 | | | 1,323,215 | |
| 200,000 | | Fideicomiso P.A. Pacifico Tres | | | 8.25 | % | | 01/15/2035 | | | 232,370 | |
| 3,350,000 | | Frontera Energy Corporation | | | 7.88 | % (a) | | 06/21/2028 | | | 3,362,663 | |
| 4,600,000 | | FS Luxembourg SARL | | | 10.00 | % (a) | | 12/15/2025 | | | 5,152,207 | |
| 8,000,000 | | Garda World Security Corporation | | | 9.50 | % (a) | | 11/01/2027 | | | 8,876,320 | |
| 3,000,000 | | Geopark Ltd. | | | 5.50 | % | | 01/17/2027 | | | 3,033,780 | |
| 2,812,000 | | Gilex Holding SARL | | | 8.50 | % | | 05/02/2023 | | | 2,872,275 | |
| 2,217,000 | | Gran Tierra Energy International Holdings Ltd. | | | 6.25 | % | | 02/15/2025 | | | 1,975,890 | |
| 1,000,000 | | Gran Tierra Energy, Inc. | | | 7.75 | % | | 05/23/2027 | | | 890,010 | |
| 3,500,000 | | Grupo Axo SAPI de C.V. | | | 5.75 | % (a) | | 06/08/2026 | | | 3,504,777 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 294,687 | | Guara Norte SARL | | | 5.20 | % (a) | | 06/15/2034 | | | 307,594 | |
| 900,000 | | Hidrovias International Finance SARL | | | 4.95 | % (a) | | 02/08/2031 | | | 915,750 | |
| 3,700,000 | | Hunt Oil Company of Peru LLC Sucursal Del Peru | | | 6.38 | % | | 06/01/2028 | | | 3,908,125 | |
| 3,800,000 | | Indika Energy Capital III Pte Ltd. | | | 5.88 | % | | 11/09/2024 | | | 3,855,879 | |
| 500,000 | | Indika Energy Capital IV Pte Ltd. | | | 8.25 | % (a) | | 10/22/2025 | | | 532,485 | |
| 600,000 | | Intelligent Packaging Ltd. | | | 6.00 | % (a) | | 09/15/2028 | | | 625,593 | |
| 2,600,000 | | Interpipe Holdings PLC | | | 8.38 | % (a) | | 05/13/2026 | | | 2,602,158 | |
| 1,100,000 | | Investment Energy Resources Ltd. | | | 6.25 | % (a) | | 04/26/2029 | | | 1,192,125 | |
| 4,600,000 | | Kosmos Energy Ltd. | | | 7.13 | % | | 04/04/2026 | | | 4,574,769 | |
| 3,530,000 | | Kronos Acquisition Holdings, Inc. | | | 7.00 | % (a) | | 12/31/2027 | | | 3,542,814 | |
| 1,200,000 | | LMIRT Capital Pte Ltd. | | | 7.25 | % | | 06/19/2024 | | | 1,251,095 | |
| 700,000 | | Logan Group Corporation Ltd. (5 Year CMT Rate + 6.00%) | | | 7.00 | % (f) | | 05/31/2022 | | | 703,500 | |
| 1,800,000 | | Medco Bell Pte Ltd. | | | 6.38 | % | | 01/30/2027 | | | 1,859,112 | |
| 1,000,000 | | Medco Bell Pte Ltd. | | | 6.38 | % (a) | | 01/30/2027 | | | 1,032,840 | |
| 1,500,000 | | Medco Oak Tree Pte Ltd. | | | 7.38 | % | | 05/14/2026 | | | 1,643,933 | |
| 3,600,000 | | Metinvest B.V. | | | 7.75 | % | | 10/17/2029 | | | 4,008,294 | |
| 3,500,000 | | Minejesa Capital B.V. | | | 5.63 | % | | 08/10/2037 | | | 3,800,545 | |
| 2,300,000 | | Minerva Luxembourg S.A. | | | 4.38 | % (a) | | 03/18/2031 | | | 2,287,925 | |
| 1,550,000 | | Mong Duong Finance Holdings BV | | | 5.13 | % | | 05/07/2029 | | | 1,557,750 | |
| 1,400,000 | | Network i2i Ltd. (5 Year CMT Rate + 4.27%) | | | 5.65 | % (f) | | 01/15/2025 | | | 1,502,375 | |
| 1,500,000 | | Nexa Resources S.A. | | | 5.38 | % | | 05/04/2027 | | | 1,615,095 | |
| 500,000 | | Nexa Resources S.A. | | | 6.50 | % (a) | | 01/18/2028 | | | 565,497 | |
| 4,550,000 | | Oi S.A. (8.00% + 4.00% PIK) | | | 10.00 | % | | 07/27/2025 | | | 4,692,188 | |
| 3,302,000 | | Operadora de Servicios Mega S.A. de C.V. | | | 8.25 | % | | 02/11/2025 | | | 3,326,765 | |
| 1,600,000 | | Operadora de Servicios Mega S.A. de C.V. | | | 8.25 | % (a) | | 02/11/2025 | | | 1,612,000 | |
| 2,600,000 | | Pertamina Persero PT | | | 4.15 | % | | 02/25/2060 | | | 2,620,802 | |
| 4,500,000 | | Peru LNG SRL | | | 5.38 | % | | 03/22/2030 | | | 3,896,303 | |
| 4,300,000 | | Petrobras Global Finance B.V. | | | 5.50 | % | | 06/10/2051 | | | 4,306,880 | |
| 4,400,000 | | RKP Overseas Finance | | | 7.95 | % (f) | | 02/17/2022 | | | 4,358,200 | |
| 1,000,000 | | RKPF Overseas Ltd. (5 Year CMT Rate + 6.00%) | | | 7.75 | % (f) | | 11/18/2024 | | | 984,305 | |
| 2,000,000 | | Ronshine China Holdings Ltd. | | | 7.35 | % | | 12/15/2023 | | | 1,887,682 | |
| 2,900,000 | | Ronshine China Holdings Ltd. | | | 6.75 | % | | 08/05/2024 | | | 2,660,766 | |
| 3,600,000 | | SierraCol Energy Andina LLC | | | 6.00 | % (a) | | 06/15/2028 | | | 3,648,420 | |
| 1,100,000 | | Simpar Europe S.A. | | | 5.20 | % (a) | | 01/26/2031 | | | 1,130,668 | |
| 1,050,000 | | Sixsigma Networks Mexico SA de CV | | | 7.50 | % | | 05/02/2025 | | | 963,580 | |
| 4,200,000 | | TBLA International Pte Ltd. | | | 7.00 | % | | 01/24/2023 | | | 4,023,600 | |
| 4,700,000 | | Telecommunications Services of Trinidad & Tobago Ltd. | | | 8.88 | % | | 10/18/2029 | | | 4,985,525 | |
| 1,165,000 | | Telesat LLC | | | 5.63 | % (a) | | 12/06/2026 | | | 1,170,825 | |
| 3,020,000 | | Tervita Corporation | | | 11.00 | % (a) | | 12/01/2025 | | | 3,387,625 | |
| 400,000 | | Theta Capital Pte Ltd. | | | 8.13 | % | | 01/22/2025 | | | 417,012 | |
| 4,900,000 | | Theta Capital Pte Ltd. | | | 6.75 | % | | 10/31/2026 | | | 4,833,358 | |
| 1,000,000 | | Transportadora de Gas del Sur S.A. | | | 6.75 | % | | 05/02/2025 | | | 938,760 | |
| 2,500,000 | | Tullow Oil PLC | | | 10.25 | % (a) | | 05/15/2026 | | | 2,629,988 | |
| 600,000 | | Tupy Overseas S.A. | | | 4.50 | % (a) | | 02/16/2031 | | | 599,787 | |
| 3,000,000 | | TV Azteca S.A. | | | 8.25 | % | | 08/09/2024 | | | 1,515,000 | |
| 3,155,106 | | UEP Penonome S.A. | | | 6.50 | % (a) | | 10/01/2038 | | | 3,232,059 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 2,200,000 | | Unifin Financiera S.A.B. de C.V. | | | 7.38 | % | | 02/12/2026 | | | 2,070,761 | |
| 2,550,000 | | Unifin Financiera S.A.B. de C.V. | | | 8.38 | % | | 01/27/2028 | | | 2,390,625 | |
| 2,600,000 | | Unigel Luxembourg S.A. | | | 8.75 | % | | 10/01/2026 | | | 2,822,456 | |
| 4,700,000 | | UPL Corporation Ltd. (5 Year CMT Rate + 3.87%) | | | 5.25 | % (f) | | 02/27/2025 | | | 4,807,630 | |
| 2,500,000 | | Vedanta Resources Finance PLC | | | 9.25 | % | | 04/23/2026 | | | 2,196,663 | |
| 4,000,000 | | Vertical Holding Company GMBH | | | 7.63 | % (a) | | 07/15/2028 | | | 4,348,760 | |
| 700,000 | | Volcan Cia Minera SAA | | | 4.38 | % (a) | | 02/11/2026 | | | 695,289 | |
| 4,600,000 | | Yuzhou Properties Company Ltd. | | | 7.38 | % | | 01/13/2026 | | | 3,628,572 | |
| | | | | | | | | | | | |
Total Foreign Corporate Bonds (Cost $222,484,605) | | | | | | | | | 238,588,506 | |
| | | | | | | | | | |
|
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.3% | |
| 2,300,000 | | Brazilian Government International Bond | | | 4.75 | % | | 01/14/2050 | | | 2,238,038 | |
| 1,400,000 | | Dominican Republic International Bond | | | 5.30 | % (a) | | 01/21/2041 | | | 1,400,014 | |
| 2,500,000 | | Dominican Republic International Bond | | | 6.40 | % | | 06/05/2049 | | | 2,693,750 | |
| 900,000 | | El Salvador Government International Bond | | | 7.12 | % | | 01/20/2050 | | | 769,500 | |
| 4,700,000 | | Mexico Government International Bond | | | 4.50 | % | | 01/31/2050 | | | 5,006,910 | |
| 400,000 | | Ukraine Government International Bond | | | 7.25 | % | | 03/15/2033 | | | 417,740 | |
| | | | | | | | | | | | |
Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $11,777,620) | | | 12,525,952 | |
| | | | | | | | | | |
| | | |
Non-Agency Commercial Mortgage Backed Obligations - 28.8% | | | | | | | | | | |
| 7,500,000 | | Alen Mortgage Trust, Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor) | | | 5.07 | % (a) | | 04/15/2034 | | | 7,541,419 | |
| 1,623,000 | | Atrium Hotel Portfolio Trust, Series 2018-ATRM-F (1 Month LIBOR USD + 4.00%, 4.00% Floor) | | | 4.07 | % (a) | | 06/15/2035 | | | 1,540,834 | |
| 5,000,000 | | Bancorp Commercial Mortgage Trust, Series 2019-CRE6-F (1 Month LIBOR USD + 4.35%, 4.35% Floor) | | | 4.47 | % (a) | | 09/15/2036 | | | 4,902,875 | |
| 18,317,000 | | BANK, Series 2018-BN12-XE | | | 1.50 | % (a)(d)(g) | | 05/15/2061 | | | 1,535,624 | |
| 6,978,000 | | BANK, Series 2018-BN12-XF | | | 1.50 | % (a)(d)(g) | | 05/15/2061 | | | 566,418 | |
| 20,061,456 | | BANK, Series 2018-BN12-XG | | | 1.50 | % (a)(d)(g) | | 05/15/2061 | | | 1,461,156 | |
| 18,522,000 | | BANK, Series 2019-BN16-XF | | | 1.14 | % (a)(d)(g) | | 02/15/2052 | | | 1,314,377 | |
| 9,261,000 | | BANK, Series 2019-BN16-XG | | | 1.14 | % (a)(d)(g) | | 02/15/2052 | | | 645,732 | |
| 4,631,000 | | BANK, Series 2019-BN16-XH | | | 1.14 | % (a)(d)(g) | | 02/15/2052 | | | 311,259 | |
| 6,366,937 | | BANK, Series 2019-BN16-XJ | | | 1.14 | % (a)(d)(g) | | 02/15/2052 | | | 384,582 | |
| 10,000,000 | | BBCMS Mortgage Trust, Series 2018-RRI-F (1 Month LIBOR USD + 4.65%, 4.65% Floor) | | | 4.72 | % (a) | | 02/15/2033 | | | 10,077,294 | |
| 3,000,000 | | BBCMS Mortgage Trust, Series 2020-C7-D | | | 3.72 | % (a)(d) | | 04/15/2053 | | | 2,969,783 | |
| 6,000,000 | | Beast Mortgage Trust, Series 2021-1818-G (1 Month LIBOR USD + 6.00%, 6.25% Floor) | | | 6.25 | % (a) | | 03/15/2036 | | | 6,057,931 | |
| 7,464,000 | | Benchmark Mortgage Trust, Series 2018-B4-D | | | 2.96 | % (a)(d) | | 07/15/2051 | | | 6,940,085 | |
| 2,975,000 | | BX Trust, Series 2017-APPL-F (1 Month LIBOR USD + 4.25%, 4.25% Floor) | | | 4.32 | % (a) | | 07/15/2034 | | | 2,991,426 | |
| 5,100,000 | | BX Trust, Series 2017-SLCT-F (1 Month LIBOR USD + 4.25%, 4.25% Floor) | | | 4.32 | % (a) | | 07/15/2034 | | | 5,125,589 | |
| 1,880,000 | | BX Trust, Series 2019-IMC-G (1 Month LIBOR USD + 3.60%, 3.60% Floor) | | | 3.67 | % (a) | | 04/15/2034 | | | 1,853,598 | |
| 3,500,000 | | BX Trust, Series 2021-VIEW-F (1 Month LIBOR USD + 3.93%, 3.93% Floor) | | | 4.08 | % (a) | | 06/15/2023 | | | 3,515,288 | |
| 2,500,000 | | BX Trust, Series 2021-VIEW-G (1 Month LIBOR USD + 4.93%, 4.93% Floor) | | | 5.08 | % (a) | | 06/15/2023 | | | 2,513,318 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 5,008,323 | | Citigroup Commercial Mortgage Trust, Series 2015-GC27-D | | | 4.57 | % (a)(d) | | 02/10/2048 | | | 4,993,818 | |
| 3,425,000 | | Citigroup Commercial Mortgage Trust, Series 2018-C6-D | | | 5.23 | % (a)(d) | | 11/10/2051 | | | 3,732,732 | |
| 5,000,000 | | Citigroup Commercial Mortgage Trust, Series 2018-TBR-F (1 Month LIBOR USD + 3.65%, 3.65% Floor) | | | 3.72 | % (a) | | 12/15/2036 | | | 4,922,623 | |
| 5,114,000 | | Citigroup Commercial Mortgage Trust, Series 2020-GC46-E | | | 2.60 | % (a) | | 02/15/2053 | | | 4,198,585 | |
| 73,498,495 | | Commercial Mortgage Pass-Through Certificates, Series 2013-CR13-XA | | | 0.91 | % (d)(g) | | 11/10/2046 | | | 1,200,194 | |
| 4,021,000 | | Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-D | | | 4.04 | % (d) | | 02/10/2049 | | | 4,080,397 | |
| 5,088,000 | | CSAIL Commercial Mortgage Trust, Series 2016-C6-D | | | 5.10 | % (a)(d) | | 01/15/2049 | | | 4,573,869 | |
| 108,434,088 | | CSAIL Commercial Mortgage Trust, Series 2017-CX9-XA | | | 1.00 | % (d)(g) | | 09/15/2050 | | | 2,634,059 | |
| 2,500,000 | | CSAIL Commercial Mortgage Trust, Series 2020-C19-D | | | 2.50 | % (a) | | 03/15/2053 | | | 2,243,074 | |
| 2,500,000 | | CSAIL Commercial Mortgage Trust, Series 2020-C19-E | | | 2.50 | % (a) | | 03/15/2053 | | | 2,176,031 | |
| 13,238,000 | | CSAIL Commercial Mortgage Trust, Series 2020-C19-XD | | | 1.23 | % (a)(d)(g) | | 03/15/2053 | | | 1,137,965 | |
| 18,014,000 | | CSMC Trust, Series 2016-NXSR-XE | | | 1.00 | % (a)(d)(g) | | 12/15/2049 | | | 731,388 | |
| 7,058,000 | | CSMC Trust, Series 2017-PFHP-F (1 Month LIBOR USD + 4.49%, 4.49% Floor) | | | 4.56 | % (a) | | 12/15/2030 | | | 6,334,569 | |
| 5,000,000 | | CSMC Trust, Series 2020-WHHQ-A (1 Month LIBOR USD + 3.42%, 4.42% Floor) | | | 4.42 | % (a) | | 02/10/2023 | | | 5,023,934 | |
| 4,400,000 | | CSWF Trust, Series 2018-TOP-G (1 Month LIBOR USD + 3.25%, 3.25% Floor) | | | 3.32 | % (a) | | 08/15/2035 | | | 4,349,126 | |
| 4,000,000 | | CSWF Trust, Series 2018-TOP-H (1 Month LIBOR USD + 3.41%, 3.41% Floor) | | | 3.49 | % (a) | | 08/15/2035 | | | 3,936,010 | |
| 2,100,000 | | Del Amo Fashion Center Trust, Series 2017-AMO-C | | | 3.76 | % (a)(d) | | 06/05/2035 | | | 1,870,479 | |
| 4,622,000 | | Deutsche Bank Commercial Mortgage Trust, Series 2016-C1-C | | | 3.48 | % (d) | | 05/10/2049 | | | 4,515,532 | |
| 4,000,000 | | DOLP Trust, Series 2021-NYC-F | | | 3.70 | % (a)(d) | | 05/10/2041 | | | 3,833,251 | |
| 4,000,000 | | DOLP Trust, Series 2021-NYC-G | | | 3.70 | % (a)(d) | | 05/10/2041 | | | 3,643,648 | |
| 3,505,144 | | FREMF Mortgage Trust, Series 2016-KF13-B (1 Month LIBOR USD + 7.50%) | | | 7.59 | % (a) | | 11/25/2025 | | | 3,663,664 | |
| 1,514,756 | | FREMF Mortgage Trust, Series 2016-KF14-B (1 Month LIBOR USD + 8.80%) | | | 8.89 | % (a) | | 01/25/2023 | | | 1,539,857 | |
| 2,892,292 | | FREMF Mortgage Trust, Series 2016-KF15-B (1 Month LIBOR USD + 7.68%) | | | 7.77 | % (a) | | 02/25/2023 | | | 2,935,561 | |
| 1,984,389 | | FREMF Mortgage Trust, Series 2016-KF16-B (1 Month LIBOR USD + 6.64%) | | | 6.73 | % (a) | | 03/25/2026 | | | 2,010,053 | |
| 2,375,960 | | FREMF Mortgage Trust, Series 2016-KF19-B (1 Month LIBOR USD + 5.50%, 5.50% Floor) | | | 5.59 | % (a) | | 06/25/2023 | | | 2,382,923 | |
| 1,242,131 | | FREMF Mortgage Trust, Series 2016-KF23-B (1 Month LIBOR USD + 5.15%) | | | 5.24 | % (a) | | 09/25/2023 | | | 1,233,333 | |
| 4,097,797 | | FREMF Mortgage Trust, Series 2016-KSW1-B (1 Month LIBOR USD + 5.95%) | | | 6.04 | % (a) | | 02/25/2026 | | | 4,169,300 | |
| 9,458,174 | | FREMF Mortgage Trust, Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor) | | | 5.89 | % (a) | | 11/25/2028 | | | 9,548,393 | |
| 8,316,000 | | Great Wolf Trust, Series 2019-WOLF-E (1 Month LIBOR USD + 2.73%, 2.73% Floor) | | | 2.81 | % (a) | | 12/15/2036 | | | 8,181,810 | |
| 4,705,255 | | GS Mortgage Securities Corporation Trust, Series 2018-HULA-G (1 Month LIBOR USD + 3.40%, 3.40% Floor) | | | 3.47 | % (a) | | 07/15/2025 | | | 4,534,486 | |
| 2,149,788 | | GS Mortgage Securities Corporation, Series 2015-GC28-D | | | 4.46 | % (a)(d) | | 02/10/2048 | | | 2,190,787 | |
| 2,720,000 | | GS Mortgage Securities Trust, Series 2014-GC26-D | | | 4.66 | % (a)(d) | | 11/10/2047 | | | 1,831,228 | |
| 7,824,704 | | GS Mortgage Securities Trust, Series 2016-GS3-XA | | | 1.34 | % (d)(g) | | 10/10/2049 | | | 406,300 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 4,000,000 | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-G (1 Month LIBOR USD + 4.05%, 4.05% Floor) | | | 4.12 | % (a) | | 07/15/2036 | | | 3,926,996 | |
| 4,000,000 | | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-XG | | | 0.50 | % (a)(d)(g) | | 07/15/2036 | | | 14,934 | |
| 29,686,482 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-XA | | | 0.76 | % (d)(g) | | 09/15/2047 | | | 512,632 | |
| 2,265,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D | | | 3.94 | % (a)(d) | | 02/15/2048 | | | 2,025,674 | |
| 25,460,000 | | JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-XB | | | 0.56 | % (d)(g) | | 05/13/2053 | | | 878,752 | |
| 10,244,000 | | JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-XD | | | 2.10 | % (a)(d)(g) | | 05/13/2053 | | | 1,467,023 | |
| 600,000 | | MFT Trust, Series 2020-ABC-D | | | 3.59 | % (a)(d) | | 02/10/2042 | | | 583,580 | |
| 4,000,000 | | MHC Commercial Mortgage Trust, Series 2021-MHC2-J (1 Month LIBOR USD + 4.25%, 4.25% Floor) | | | 4.32 | % (a) | | 05/15/2023 | | | 4,023,144 | |
| 5,022,500 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21-C | | | 4.28 | % (d) | | 03/15/2048 | | | 5,010,905 | |
| 5,000,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D | | | 3.24 | % (a)(d) | | 12/15/2047 | | | 4,758,873 | |
| 3,675,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34-D | | | 2.70 | % (a) | | 11/15/2052 | | | 3,293,398 | |
| 4,750,000 | | Morgan Stanley Capital Trust, Series 2012-C4-C | | | 5.60 | % (a)(d) | | 03/15/2045 | | | 4,759,261 | |
| 2,000,000 | | Morgan Stanley Capital Trust, Series 2018-H4-D | | | 3.00 | % (a) | | 12/15/2051 | | | 1,760,625 | |
| 5,000,000 | | Morgan Stanley Capital Trust, Series 2019-PLND-G (1 Month LIBOR USD + 3.65%, 3.65% Floor) | | | 3.72 | % (a) | | 05/15/2036 | | | 4,456,801 | |
| 5,201,467 | | Motel 6 Trust, Series 2017-MTL6-F (1 Month LIBOR USD + 4.25%, 4.25% Floor) | | | 4.32 | % (a) | | 08/15/2034 | | | 5,233,706 | |
| 4,050,401 | | Tharaldson Hotel Portfolio Trust, Series 2018-THL-F (1 Month LIBOR USD + 4.10%, 3.95% Floor) | | | 4.18 | % (a) | | 11/11/2034 | | | 3,886,040 | |
| 4,000,000 | | TPGI Trust, Series 2021-DGWD-G (1 Month LIBOR USD + 3.85%, 3.85% Floor) | | | 3.95 | % (a) | | 06/15/2026 | | | 4,017,156 | |
| 7,500,000 | | TTAN, Series 2021-MHC-G (1 Month LIBOR USD + 4.20%, 4.20% Floor) | | | 4.27 | % (a) | | 03/15/2038 | | | 7,542,467 | |
| 5,000,000 | | UBS Commercial Mortgage Trust, Series 2017-C6-D | | | 2.50 | % (a)(d) | | 12/15/2050 | | | 4,381,677 | |
| 2,500,000 | | UBS Commercial Mortgage Trust, Series 2018-C14-C | | | 5.44 | % (d) | | 12/15/2051 | | | 2,679,185 | |
| 5,000,000 | | UBS Commercial Mortgage Trust, Series 2018-NYCH-G (1 Month LIBOR USD + 4.84%, 4.84% Floor) | | | 4.91 | % (a) | | 02/15/2032 | | | 4,689,744 | |
| 6,891,216 | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-C | | | 4.22 | % (a)(d) | | 03/10/2046 | | | 6,868,004 | |
| 3,643,697 | | Wachovia Bank Commercial Mortgage Trust, Series 2005-C21-E | | | 5.27 | % (a)(d) | | 10/15/2044 | | | 3,333,344 | |
| 7,046,905 | | Wachovia Bank Commercial Mortgage Trust, Series 2006-C28-D | | | 5.72 | % (d) | | 10/15/2048 | | | 6,995,815 | |
| 7,910,000 | | Wells Fargo Commercial Mortgage Trust, Series 2015-C28-D | | | 4.23 | % (d) | | 05/15/2048 | | | 7,724,605 | |
| 4,554,000 | | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-D | | | 3.85 | % (d) | | 12/15/2048 | | | 4,567,945 | |
| 2,000,000 | | Wells Fargo Commercial Mortgage Trust, Series 2016-C33-D | | | 3.12 | % (a) | | 03/15/2059 | | | 1,905,143 | |
| 2,114,242 | | Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C | | | 5.23 | % (d) | | 06/15/2049 | | | 2,001,822 | |
| 3,200,000 | | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D | | | 3.25 | % (a) | | 01/15/2060 | | | 2,984,038 | |
| | | | | | | | | | | | |
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $263,943,170) | | | | | | | | | 283,290,856 | |
| | | | | | | | | | |
| | | |
Non-Agency Residential Collateralized Mortgage Obligations - 13.6% | | | | | | | | | | |
| 10,765,531 | | ACE Securities Corporation Home Equity Loan Trust, Series 2006-HE4-A2B (1 Month LIBOR USD + 0.22%, 0.22% Floor) | | | 0.31 | % | | 10/25/2036 | | | 5,827,884 | |
| 7,135,058 | | Alternative Loan Trust, Series 2005-J12-2A1 (1 Month LIBOR USD + 0.54%, 0.54% Floor, 11.00% Cap) | | | 0.63 | % | | 08/25/2035 | | | 4,893,210 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 10,000,000 | | AMSR Trust, Series 2020-SFR4-G2 | | | 4.87 | % (a) | | 11/17/2037 | | | 10,308,234 | |
| 9,956,000 | | Connecticut Avenue Securities Trust, Series 2019-R05-1B1 (1 Month LIBOR USD + 4.10%) | | | 4.19 | % (a) | | 07/25/2039 | | | 10,157,082 | |
| 3,900,000 | | Connecticut Avenue Securities Trust, Series 2019-R07-1B1 (1 Month LIBOR USD + 3.40%) | | | 3.49 | % (a) | | 10/25/2039 | | | 3,943,371 | |
| 10,000,000 | | Deephaven Residential Mortgage Trust, Series 2020-2-B3 | | | 5.89 | % (a)(d) | | 05/25/2065 | | | 10,079,536 | |
| 1,500,000 | | GS Mortgage-Backed Securities Trust, Series 2020-NQM1-B2 | | | 5.86 | % (a)(d) | | 09/27/2060 | | | 1,536,616 | |
| 8,000,000 | | Homeward Opportunities Fund Trust, Series 2020-2-B1 | | | 5.45 | % (a)(d) | | 05/25/2065 | | | 8,460,933 | |
| 1,493,537 | | Homeward Opportunities Fund Trust, Series 2020-BPL1-A2 | | | 5.44 | % (a)(h) | | 08/25/2025 | | | 1,524,685 | |
| 7,467,087 | | JP Morgan Alternative Loan Trust, Series 2007-A2-12A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 11.50% Cap) | | | 0.29 | % | | 06/25/2037 | | | 3,894,334 | |
| 4,102,000 | | New Residential Mortgage Loan Trust, Series 2020-NQM2-B1 | | | 4.40 | % (a)(d) | | 05/24/2060 | | | 4,236,199 | |
| 2,886,000 | | New Residential Mortgage Loan Trust, Series 2020-NQM2-B2 | | | 4.40 | % (a)(d) | | 05/24/2060 | | | 2,870,773 | |
| 11,750,000 | | Progress Residential Trust, Series 2019-SFR2-G | | | 5.09 | % (a) | | 05/17/2036 | | | 12,208,062 | |
| 4,000,000 | | Progress Residential Trust, Series 2019-SFR3-G | | | 4.12 | % (a) | | 09/17/2036 | | | 4,079,680 | |
| 5,000,000 | | PRPM LLC, Series 2020-3-A2 | | | 5.07 | % (a)(h) | | 09/25/2025 | | | 5,030,050 | |
| 5,200,764 | | TBW Mortgage-Backed Trust, Series 2007-2-A1A | | | 5.96 | % (d) | | 07/25/2037 | | | 2,533,276 | |
| 1,500,000 | | Velocity Commercial Capital Loan Trust, Series 2016-1-M5 | | | 8.64 | % (a)(d) | | 04/25/2046 | | | 1,543,224 | |
| 1,000,000 | | Velocity Commercial Capital Loan Trust, Series 2016-2-M4 | | | 7.23 | % (d) | | 10/25/2046 | | | 1,016,558 | |
| 255,000 | | Velocity Commercial Capital Loan Trust, Series 2016-2-M5 | | | 8.23 | % (d) | | 10/25/2046 | | | 264,580 | |
| 7,345,038 | | Velocity Commercial Capital Loan Trust, Series 2020-MC1-A | | | 4.50 | % (a)(d) | | 06/25/2045 | | | 7,361,573 | |
| 2,500,000 | | Verus Securitization Trust, Series 2020-2-B1 | | | 5.36 | % (a)(d) | | 05/25/2060 | | | 2,614,399 | |
| 3,035,000 | | Verus Securitization Trust, Series 2020-3-B1 | | | 4.92 | % (a)(d) | | 04/25/2060 | | | 3,081,208 | |
| 3,478,000 | | Verus Securitization Trust, Series 2020-3-B2 | | | 5.19 | % (a)(d) | | 04/25/2060 | | | 3,555,472 | |
| 5,000,000 | | Verus Securitization Trust, Series 2020-4-B2 | | | 5.60 | % (a)(d) | | 05/25/2065 | | | 5,118,366 | |
| 1,235,000 | | Verus Securitization Trust, Series 2020-INV1-B1 | | | 5.75 | % (a)(d) | | 03/25/2060 | | | 1,286,787 | |
| 3,300,000 | | Verus Securitization Trust, Series 2020-INV1-B2 | | | 6.00 | % (a)(d) | | 03/25/2060 | | | 3,437,668 | |
| 9,222,000 | | Vista Point Securitization Trust, Series 2020-1-B2 | | | 5.38 | % (a)(d) | | 03/25/2065 | | | 9,231,625 | |
| 3,396,000 | | Vista Point Securitization Trust, Series 2020-2-B2 | | | 5.16 | % (a)(d) | | 04/25/2065 | | | 3,510,620 | |
| | | | | | | | | | | | |
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $125,509,692) | | | 133,606,005 | |
| | | | | | | | | | |
| | | |
US Corporate Bonds - 22.1% | | | | | | | | | | |
| 3,280,000 | | Air Methods Corporation | | | 8.00 | % (a) | | 05/15/2025 | | | 3,103,700 | |
| 5,130,000 | | Alliant Holdings Intermediate LLC | | | 6.75 | % (a) | | 10/15/2027 | | | 5,397,940 | |
| 7,425,000 | | Allied Universal Holding Company | | | 9.75 | % (a) | | 07/15/2027 | | | 8,186,062 | |
| 1,855,000 | | Ambience Merger Sub, Inc. | | | 7.13 | % (a) | | 07/15/2029 | | | 1,878,187 | |
| 1,080,000 | | American Airlines, Inc. | | | 5.75 | % (a) | | 04/20/2029 | | | 1,169,100 | |
| 2,375,000 | | Austin BidCo, Inc. | | | 7.13 | % (a) | | 12/15/2028 | | | 2,438,436 | |
| 2,000,000 | | Banff Merger Sub, Inc. | | | 9.75 | % (a) | | 09/01/2026 | | | 2,107,500 | |
| 2,485,000 | | BCPE Empire Holdings, Inc. | | | 7.63 | % (a) | | 05/01/2027 | | | 2,548,131 | |
| 535,000 | | Boxer Parent Company, Inc. | | | 7.13 | % (a) | | 10/02/2025 | | | 573,889 | |
| 985,000 | | Carlson Travel, Inc. | | | 6.75 | % (a) | | 12/15/2025 | | | 909,603 | |
| 5,330,000 | | Carnival Corporation | | | 11.50 | % (a) | | 04/01/2023 | | | 6,005,178 | |
| 595,000 | | Carnival Corporation | | | 7.63 | % (a) | | 03/01/2026 | | | 647,062 | |
| 5,995,000 | | Castle US Holding Corporation | | | 9.50 | % (a) | | 02/15/2028 | | | 6,276,465 | |
| 3,315,000 | | Cengage Learning, Inc. | | | 9.50 | % (a) | | 06/15/2024 | | | 3,402,168 | |
| 1,865,000 | | Clear Channel Outdoor Holdings, Inc. | | | 7.50 | % (a) | | 06/01/2029 | | | 1,933,234 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 2,490,000 | | Community Health Systems, Inc. | | | 6.88 | % (a) | | 04/15/2029 | | | 2,612,969 | |
| 405,000 | | Coty, Inc. | | | 6.50 | % (a) | | 04/15/2026 | | | 411,095 | |
| 1,365,000 | | CSI Compressco LP | | | 7.50 | % (a) | | 04/01/2025 | | | 1,388,205 | |
| 3,700,000 | | CVR Nitrogen Finance Corporation | | | 6.13 | % (a) | | 06/15/2028 | | | 3,797,125 | |
| 3,895,000 | | Dealer Tire LLC | | | 8.00 | % (a) | | 02/01/2028 | | | 4,211,917 | |
| 1,320,000 | | Delta Air Lines, Inc. | | | 7.00 | % (a) | | 05/01/2025 | | | 1,541,329 | |
| 4,000,000 | | Eldorado Resorts, Inc. | | | 8.13 | % (a) | | 07/01/2027 | | | 4,453,800 | |
| 5,583,000 | | Embarq Corporation | | | 8.00 | % | | 06/01/2036 | | | 6,336,147 | |
| 1,540,000 | | Endo Finance LLC | | | 6.13 | % (a) | | 04/01/2029 | | | 1,511,125 | |
| 4,395,000 | | Endure Digital, Inc. | | | 6.00 | % (a) | | 02/15/2029 | | | 4,357,225 | |
| 2,505,000 | | EQM Midstream Partners LP | | | 6.50 | % (a) | | 07/01/2027 | | | 2,800,390 | |
| 2,665,000 | | Ferrellgas Escrow LLC | | | 5.88 | % (a) | | 04/01/2029 | | | 2,635,019 | |
| 1,500,000 | | Flex Acquisition Company, Inc. | | | 7.88 | % (a) | | 07/15/2026 | | | 1,565,242 | |
| 3,000,000 | | Flexential Intermediate Corporation | | | 11.25 | % (a) | | 08/01/2024 | | | 3,283,125 | |
| 1,200,000 | | Frontier Communications Corporation | | | 6.75 | % (a) | | 05/01/2029 | | | 1,278,324 | |
| 1,265,000 | | Full House Resorts, Inc. | | | 8.25 | % (a) | | 02/15/2028 | | | 1,383,398 | |
| 965,000 | | Hightower Holding LLC | | | 6.75 | % (a) | | 04/15/2029 | | | 986,230 | |
| 3,000,000 | | Illuminate Buyer LLC | | | 9.00 | % (a) | | 07/01/2028 | | | 3,351,060 | |
| 1,777,355 | | JetBlue Pass Through Trust - Class B | | | 8.00 | % | | 11/15/2027 | | | 2,097,278 | |
| 1,010,000 | | LBM Acquisition LLC | | | 6.25 | % (a) | | 01/15/2029 | | | 1,019,039 | |
| 2,560,000 | | LD Holdings Group LLC | | | 6.13 | % (a) | | 04/01/2028 | | | 2,564,403 | |
| 3,215,000 | | Lions Gate Capital Holdings LLC | | | 5.50 | % (a) | | 04/15/2029 | | | 3,383,932 | |
| 1,695,000 | | LSF9 Atlantis Holdings LLC | | | 7.75 | % (a) | | 02/15/2026 | | | 1,760,003 | |
| 1,840,000 | | Metis Merger Sub LLC | | | 6.50 | % (a) | | 05/15/2029 | | | 1,814,562 | |
| 1,420,000 | | Mileage Plus Holdings LLC | | | 6.50 | % (a) | | 06/20/2027 | | | 1,565,195 | |
| 2,005,000 | | National FINL Partners Corporation | | | 6.88 | % (a) | | 08/15/2028 | | | 2,116,739 | |
| 785,000 | | NESCO Holdings II, Inc. | | | 5.50 | % (a) | | 04/15/2029 | | | 820,325 | |
| 5,765,000 | | NGL Energy Operating LLC | | | 7.50 | % (a) | | 02/01/2026 | | | 6,060,456 | |
| 1,575,000 | | NuStar Logistics LP | | | 6.38 | % | | 10/01/2030 | | | 1,744,541 | |
| 215,000 | | OPE KAG Finance Sub, Inc. | | | 7.88 | % (a) | | 07/31/2023 | | | 215,215 | |
| 650,000 | | Par Petroleum LLC | | | 12.88 | % (a) | | 01/15/2026 | | | 739,375 | |
| 780,000 | | Park River Holdings, Inc. | | | 5.63 | % (a) | | 02/01/2029 | | | 760,013 | |
| 2,145,000 | | PBF Holding Company LLC | | | 9.25 | % (a) | | 05/15/2025 | | | 2,163,651 | |
| 1,250,000 | | Performance Food Group, Inc. | | | 6.88 | % (a) | | 05/01/2025 | | | 1,336,794 | |
| 3,835,000 | | PetSmart, Inc. | | | 7.75 | % (a) | | 02/15/2029 | | | 4,232,881 | |
| 4,250,000 | | PowerTeam Services LLC | | | 9.03 | % (a) | | 12/04/2025 | | | 4,680,313 | |
| 7,250,000 | | Radiology Partners, Inc. | | | 9.25 | % (a) | | 02/01/2028 | | | 8,038,220 | |
| 4,105,000 | | Realogy Group LLC | | | 7.63 | % (a) | | 06/15/2025 | | | 4,457,866 | |
| 1,250,000 | | Realogy Group LLC | | | 5.75 | % (a) | | 01/15/2029 | | | 1,308,488 | |
| 200,000 | | Sabre Global, Inc. | | | 9.25 | % (a) | | 04/15/2025 | | | 238,347 | |
| 3,305,000 | | Sabre Global, Inc. | | | 7.38 | % (a) | | 09/01/2025 | | | 3,598,385 | |
| 895,000 | | SCIH Salt Holdings, Inc. | | | 6.63 | % (a) | | 05/01/2029 | | | 898,356 | |
| 2,635,000 | | SEG Holding LLC | | | 5.63 | % (a) | | 10/15/2028 | | | 2,770,571 | |
| 2,968,000 | | SunCoke Energy Partners Finance Corporation | | | 7.50 | % (a) | | 06/15/2025 | | | 3,083,900 | |
| 3,410,000 | | TKC Holdings, Inc. | | | 10.50 | % (a) | | 05/15/2029 | | | 3,701,691 | |
| 885,000 | | TMS International Corporation | | | 6.25 | % (a) | | 04/15/2029 | | | 930,356 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 780,000 | | TransDigm, Inc. | | | 8.00 | % (a) | | 12/15/2025 | | | 844,966 | |
| 4,798,000 | | Trident TPI Holdings, Inc. | | | 9.25 | % (a) | | 08/01/2024 | | | 5,034,637 | |
| 2,365,000 | | Triton Water Holdings, Inc. | | | 6.25 | % (a) | | 04/01/2029 | | | 2,374,141 | |
| 3,356,000 | | Triumph Group, Inc. | | | 8.88 | % (a) | | 06/01/2024 | | | 3,737,762 | |
| 6,300,000 | | Triumph Group, Inc. | | | 7.75 | % | | 08/15/2025 | | | 6,489,000 | |
| 7,500,000 | | Uber Technologies, Inc. | | | 8.00 | % (a) | | 11/01/2026 | | | 8,102,700 | |
| 1,500,000 | | Uber Technologies, Inc. | | | 7.50 | % (a) | | 09/15/2027 | | | 1,650,458 | |
| 1,785,000 | | United Natural Foods, Inc. | | | 6.75 | % (a) | | 10/15/2028 | | | 1,924,569 | |
| 2,460,000 | | Uniti Group LP | | | 6.50 | % (a) | | 02/15/2029 | | | 2,469,582 | |
| 2,845,000 | | Univision Communications, Inc. | | | 6.63 | % (a) | | 06/01/2027 | | | 3,086,256 | |
| 4,000,000 | | Verscend Escrow Corporation | | | 9.75 | % (a) | | 08/15/2026 | | | 4,220,120 | |
| 2,400,000 | | ViaSat, Inc. | | | 6.50 | % (a) | | 07/15/2028 | | | 2,562,816 | |
| 2,165,000 | | Viking Cruises Ltd. | | | 13.00 | % (a) | | 05/15/2025 | | | 2,551,323 | |
| 1,805,000 | | WASH Multifamily Acquisition, Inc. | | | 5.75 | % (a) | | 04/15/2026 | | | 1,886,857 | |
| 2,540,000 | | Wheel Pros, Inc. | | | 6.50 | % (a) | | 05/15/2029 | | | 2,573,693 | |
| 4,948,000 | | Wolverine Escrow LLC | | | 9.00 | % (a) | | 11/15/2026 | | | 4,842,484 | |
| | | | | | | | | | | | |
Total US Corporate Bonds (Cost $205,204,506) | | | | | | | | | 216,932,639 | |
| | | | | | | | | | |
| | | |
US Government and Agency Mortgage Backed Obligations - 9.5% | | | | | | | | | | |
| 9,250,000 | | Federal Home Loan Mortgage Corporation, Series 2020-DNA1-B2 (1 Month LIBOR USD + 5.25%) | | | 5.34 | % (a) | | 01/25/2050 | | | 9,280,797 | |
| 3,000,000 | | Federal Home Loan Mortgage Corporation, Series 2020-DNA2-B2 (1 Month LIBOR USD + 4.80%, 4.80% Floor) | | | 4.89 | % (a) | | 02/25/2050 | | | 2,988,572 | |
| 6,000,000 | | Federal Home Loan Mortgage Corporation, Series 2020-DNA6-B2 (Secured Overnight Financing Rate 30 Day Average + 5.65%) | | | 5.67 | % (a) | | 12/25/2050 | | | 6,277,454 | |
| 1,200,000 | | Federal Home Loan Mortgage Corporation, Series 2020-HQA2-B1 (1 Month LIBOR USD + 4.10%) | | | 4.19 | % (a) | | 03/25/2050 | | | 1,242,828 | |
| 22,000,000 | | Federal Home Loan Mortgage Corporation, Series 2020-HQA2-B2 (1 Month LIBOR USD + 7.60%) | | | 7.69 | % (a) | | 03/25/2050 | | | 23,503,601 | |
| 9,750,000 | | Federal Home Loan Mortgage Corporation, Series 2020-HQA5-B2 (Secured Overnight Financing Rate 30 Day Average + 7.40%) | | | 7.42 | % (a) | | 11/25/2050 | | | 11,454,222 | |
| 12,066,848 | | Federal Home Loan Mortgage Corporation, Series 313-S1
(-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap) | | | 5.83 | % (g)(m) | | 09/15/2043 | | | 2,254,466 | |
| 4,058,714 | | Federal Home Loan Mortgage Corporation, Series 3997-SA
(-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | | | 6.43 | % (g)(m) | | 02/15/2042 | | | 854,800 | |
| 4,315,421 | | Federal Home Loan Mortgage Corporation, Series 4091-VI
(-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) | | | 4.91 | % (g)(m) | | 11/15/2040 | | | 589,015 | |
| 8,670,464 | | Federal Home Loan Mortgage Corporation, Series 4119-SC
(-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) | | | 6.08 | % (g)(m) | | 10/15/2042 | | | 1,618,437 | |
| 4,536,439 | | Federal Home Loan Mortgage Corporation, Series 4643-SA
(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | | | 5.93 | % (g)(m) | | 01/15/2047 | | | 989,396 | |
| 19,508,691 | | Federal Home Loan Mortgage Corporation, Series 4863-IA | | | 4.50 | % (g) | | 03/15/2045 | | | 2,182,937 | |
| 12,424,763 | | Federal National Mortgage Association, Series 2012-124-SE
(-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) | | | 6.06 | % (g)(m) | | 11/25/2042 | | | 2,265,817 | |
| 14,498,023 | | Federal National Mortgage Association, Series 2012-84-HS
(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | | | 5.91 | % (g)(m) | | 08/25/2042 | | | 2,814,346 | |
| 8,610,522 | | Federal National Mortgage Association, Series 2017-69-ES
(-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) | | | 6.06 | % (g)(m) | | 09/25/2047 | | | 1,607,418 | |
| 11,196,031 | | Federal National Mortgage Association, Series 2019-25-SB
(-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | | | 5.96 | % (g)(m) | | 06/25/2049 | | | 2,088,596 | |
| 49,756,611 | | Federal National Mortgage Association, Series 2019-M26-X1 | | | 0.72 | % (d)(g) | | 03/25/2030 | | | 1,983,731 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 20,415,229 | | Federal National Mortgage Association, Series 5004-SD
(-1 x Secured Overnight Financing Rate 30 Day Average + 6.10%, 6.10% Cap) | | | 6.08 | % (g)(m) | | 08/25/2050 | | | 5,116,955 | |
| 16,484,936 | | Government National Mortgage Association, Series 2019-22-SA
(-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) | | | 5.51 | % (g)(m) | | 02/20/2045 | | | 2,851,337 | |
| 10,845,092 | | Government National Mortgage Association, Series 2020-21-NS
(-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | | | 5.96 | % (g)(m) | | 04/20/2048 | | | 1,871,600 | |
| 10,986,352 | | Government National Mortgage Association, Series 2020-47-SL
(-1 x 1 Month LIBOR USD + 5.37%, 5.37% Cap) | | | 5.28 | % (g)(m) | | 07/20/2044 | | | 1,978,350 | |
| 19,274,419 | | Government National Mortgage Association, Series 2020-61-SU
(-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) | | | 5.53 | % (g)(m) | | 07/16/2045 | | | 3,113,915 | |
| 7,316,967 | | Government National Mortgage Association, Series 2020-77-SU
(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | | | 6.01 | % (g)(m) | | 09/20/2047 | | | 1,535,895 | |
| 36,617,188 | | Government National Mortgage Association, Series 2020-88-IO | | | 0.93 | % (d)(g) | | 04/16/2060 | | | 2,713,004 | |
| | | | | | | | | | | | |
Total US Government and Agency Mortgage Backed Obligations (Cost $96,399,802) | | | 93,177,489 | |
| | | | | | | | | | |
|
Common Stocks - 1.1% | |
| 650,000 | | AGNC Investment Corporation | | | | | | | | | 10,978,500 | |
| | | | | | | | | | | | |
Total Common Stocks (Cost $8,298,946) | | | 10,978,500 | |
| | | | | | | | | | |
|
Preferred Stocks - 1.0% | |
| 400,000 | | AGNC Investment Corporation, Series F (3 Month LIBOR USD + 4.70%) | | | 6.13 | % (f) | | 04/15/2025 | | | 10,020,000 | |
| | | | | | | | | | | | |
Total Preferred Stocks (Cost $8,673,632) | | | 10,020,000 | |
| | | | | | | | | | |
|
Short Term Investments - 3.0% | |
| 9,859,251 | | First American Government Obligations Fund - Class U | | | 0.03 | % (j) | | | | | 9,859,251 | |
| 9,859,251 | | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | | | 0.03 | % (j) | | | | | 9,859,251 | |
| 9,859,251 | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 0.03 | % (j) | | | | | 9,859,251 | |
| | | | | | | | | | | | |
Total Short Term Investments (Cost $29,577,753) | | | 29,577,753 | |
| | | | | | | | | | |
| |
Total Investments - 131.5% (Cost $1,227,214,281) (k) | | | 1,291,956,334 | |
| Liabilities in Excess of Other Assets - (31.5)% | | | (309,361,666 | ) |
| | | | | | | | | | | | |
NET ASSETS - 100.0% | | $ | 982,594,668 | |
| | | | | | | | | | |
| | (a) | 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. | |
| | (b) | Principal only security | |
| | (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) | 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. | |
| | (e) | Unfunded or partially unfunded loan commitment. At period end, the value of these securities amounted to $43,045 or 0.0% of net assets. | |
| | (g) | Interest only security | |
| | (h) | 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. | |
| | (i) | Value determined using significant unobservable inputs. | |
| | (j) | Seven-day yield as of period end | |
| | (k) | Under the Fund’s credit 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 borrowing under the line of credit with the Lender. | |
| | (l) | The final coupon rate has not been established as of period end. | |
| | (m) | 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. | |
| | 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:
| | | | |
Non-Agency Commercial Mortgage Backed Obligations | | | 28.8% | |
Foreign Corporate Bonds | | | 24.3% | |
US Corporate Bonds | | | 22.1% | |
Collateralized Loan Obligations | | | 15.1% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 13.6% | |
US Government and Agency Mortgage Backed Obligations | | | 9.5% | |
Bank Loans | | | 7.5% | |
Asset Backed Obligations | | | 4.2% | |
Short Term Investments | | | 3.0% | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 1.3% | |
Common Stocks | | | 1.1% | |
Preferred Stocks | | | 1.0% | |
Other Assets and Liabilities | | | (31.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
INVESTMENT BREAKDOWN as a % of Net Assets:
| | | | |
Non-Agency Commercial Mortgage Backed Obligations | | | 28.8% | |
Collateralized Loan Obligations | | | 15.1% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 13.6% | |
US Government and Agency Mortgage Backed Obligations | | | 9.5% | |
Energy | | | 6.6% | |
Real Estate | | | 5.5% | |
Commercial Services | | | 4.2% | |
Asset Backed Obligations | | | 4.2% | |
Technology | | | 3.5% | |
Electronics/Electric | | | 3.3% | |
Aerospace & Defense | | | 3.2% | |
Short Term Investments | | | 3.0% | |
Telecommunications | | | 3.0% | |
Finance | | | 3.0% | |
Media | | | 2.3% | |
Utilities | | | 2.3% | |
Healthcare | | | 2.0% | |
Mining | | | 2.0% | |
Retailers (other than Food/Drug) | | | 1.5% | |
Consumer Products | | | 1.4% | |
Chemicals/Plastics | | | 1.3% | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 1.3% | |
Chemical Products | | | 1.1% | |
Automotive | | | 1.0% | |
Leisure | | | 0.9% | |
Insurance | | | 0.8% | |
Financial Intermediaries | | | 0.7% | |
Containers and Glass Products | | | 0.7% | |
Transportation | | | 0.7% | |
Food Products | | | 0.7% | |
Hotels/Motels/Inns and Casinos | | | 0.6% | |
Building and Development (including Steel/Metals) | | | 0.6% | |
Industrial Equipment | | | 0.6% | |
Business Equipment and Services | | | 0.6% | |
Diversified Manufacturing | | | 0.4% | |
Environmental Control | | | 0.4% | |
Food/Drug Retailers | | | 0.3% | |
Construction | | | 0.3% | |
Pharmaceuticals | | | 0.3% | |
Banking | | | 0.2% | |
Cosmetics/Toiletries | | | 0.0% | (n) |
Other Assets and Liabilities | | | (31.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | (n) | Represents less than 0.05% of net assets | |
Notes to Schedule of Investments
June 30, 2021 (Unaudited)
1. Organization
DoubleLine Yield Opportunities Fund (the “Fund”) is organized as a non-diversified, limited term, closed-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and the rules and regulations thereunder. The Fund was organized as a Massachusetts business trust on September 17, 2019 and commenced operations on February 26, 2020. The Fund is listed on the New York Stock Exchange (“NYSE”) under the symbol “DLY”. The Fund’s investment objective is to seek a high level of total return, with an emphasis on current income.
The Fund has a limited term and intends to terminate as of the first business day following the twelfth anniversary of the effective date of the Fund’s initial registration statement, February 25, 2032 (the “Dissolution Date”); provided that the Fund’s Board of Trustees (the “Board”) may, by a vote of the majority of the Board and seventy-five percent (75%) of the Continuing Trustees, as such term is defined in the Fund’s Second Amended and Restated Agreement and Declaration of Trust (a “Board Action Vote”), without shareholder approval, extend the Dissolution Date (i) once for up to one year, and (ii) once for up to an additional six months, to a date up to and including the eighteenth month after the initial Dissolution Date, which later date shall then become the Dissolution Date. At the Dissolution Date, each holder of common shares of beneficial interest (“Common Shareholder”) would be paid a pro rata portion of the Fund’s net assets as determined as of the Dissolution Date. The Board may, by a Board Action Vote, cause the Fund to conduct a tender offer, as of a date within twelve months preceding the Dissolution Date (as may be extended as described above), to all Common Shareholders to purchase 100% of the then outstanding common shares of the Fund at a price equal to the net asset value (“NAV”) per common share on the expiration date of the tender offer (an “Eligible Tender Offer”). In an Eligible Tender Offer, the Fund will offer to purchase all Common Shares held by each Common Shareholder; provided that if the number of properly tendered Common Shares would result in the Fund having aggregate net assets below $200 million (the “Dissolution Threshold”), the Eligible Tender Offer will be canceled, no Common Shares will be repurchased pursuant to the Eligible Tender Offer, and the Fund will terminate as otherwise scheduled.
The Fund sold and issued 5,000 shares of beneficial interest at $20.00 per share to DoubleLine Asset Management Company LLC (“DAMCO”), a wholly owned subsidiary of DoubleLine Capital LP (the “Adviser” or “DoubleLine Capital”). The Fund issued 46,000,000 common shares of beneficial interest in its initial public offering at $20.00 per share. The Fund issued an additional 1,900,000 common shares at $20.00 per share in connection with the underwriter’s over-allotment option.
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.
Over-the-counter financial derivative instruments, such as forward currency exchange contracts, options contracts, or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of evaluations provided by independent pricing services or broker dealer quotations. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.
The Fund’s holdings in whole loans, securitizations and certain other types of alternative lending-related instruments may be valued based on prices provided by a third-party pricing service.
Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by an independent pricing service. Where an active secondary market does not exist to a reliable degree in the judgment of the Adviser, such loans will be valued at fair value based on certain factors.
In respect of certain commercial real estate-related, residential real estate-related and certain other investments for which a limited market may exist, the Fund may value such investments based on appraisals conducted by an independent valuation advisor or a similar pricing agent. However, an independent valuation firm may not be retained to undertake an evaluation of an asset unless the NAV, market price and other aspects of an investment exceed certain significance thresholds.
Securities may be fair valued by the Adviser in accordance with the fair valuation procedures approved by 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, 2021:
| | | | |
Category | | | |
Investments in Securities | | | | |
Level 1 | | | | |
Money Market Funds | | $ | 29,577,753 | |
Common Stocks | | | 10,978,500 | |
Preferred Stocks | | | 10,020,000 | |
| | | | |
Total Level 1 | | | 50,576,253 | |
Level 2 | | | | |
Non-Agency Commercial Mortgage Backed Obligations | | | 283,290,856 | |
Foreign Corporate Bonds | | | 238,588,506 | |
US Corporate Bonds | | | 216,932,639 | |
Collateralized Loan Obligations | | | 143,730,572 | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 133,606,005 | |
US Government and Agency Mortgage Backed Obligations | | | 93,177,489 | |
Bank Loans | | | 73,361,025 | |
Asset Backed Obligations | | | 32,056,201 | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 12,525,952 | |
| | | | |
Total Level 2 | | | 1,227,269,245 | |
Level 3 | | | | |
Asset Backed Obligations | | | 9,597,269 | |
Collateralized Loan Obligations | | | 4,513,567 | |
| | | | |
Total Level 3 | | | 14,110,836 | |
| | | | |
Total | | $ | 1,291,956,334 | |
| | | | |
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 9/30/2020 | | | 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
6/30/2021 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
Period End
6/30/2021(c) | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | $ | 1,365,335 | | | $ | 2,836 | | | $ | 5,463 | | | $ | — | | | $ | 6,169,778 | | | $ | (284,094 | ) | | $ | 2,337,951 | | | $ | — | | | $ | 9,597,269 | | | $ | 115,515 | |
Collateralized Loan Obligations | | | — | | | | — | | | | 131,067 | | | | — | | | | 4,382,500 | | | | — | | | | — | | | | — | | | | 4,513,567 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,365,335 | | | $ | 2,836 | | | $ | 136,530 | | | $ | — | | | $ | 10,552,278 | | | $ | (284,094 | ) | | $ | 2,337,951 | | | $ | — | | | $ | 14,110,836 | | | $ | 115,515 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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, 2021 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
6/30/2021 | | | Valuation
Techniques | | Unobservable
Input | | Unobservable Input Values
(Weighted Average)(e) | | | Impact to valuation from an
increase to input |
Asset Backed Obligations | | $ | 9,597,269 | | | Market Comparables | | Market Quotes | | | $80.02 -$100,556.59 ($42,316.99) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Collateralized Loan Obligations | | $ | 4,513,567 | | | Market Comparables | | Market Quotes | | | $90.27 ($90.27) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| (e) | Unobservable inputs were weighted by the relative fair value of the instruments. |
