DoubleLine Yield Opportunities Fund
Schedule of Investments
December 31, 2022 (Unaudited)
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
Asset Backed Obligations - 3.9% | |
| 1,330,826 | | Castlelake Aircraft Structured Trust, Series 2021-1A-C | | | 7.00 | % (a)(b) | | 01/15/2046 | | | 925,692 | |
| 4,355,508 | | JOL Air Ltd., Series 2019-1-B | | | 4.95 | % (a) | | 04/15/2044 | | | 3,009,055 | |
| 1,578,131 | | Kestrel Aircraft Funding Ltd., Series 2018-1A-A | | | 4.25 | % (a) | | 12/15/2038 | | | 1,260,219 | |
| 4,145,106 | | LendingClub Receivables Trust, Series 2020-5A-B | | | 7.50 | % (a) | | 03/15/2046 | | | 4,125,156 | |
| 868,376 | | MACH 1 Cayman Ltd., Series 2019-1-B | | | 4.34 | % (a) | | 10/15/2039 | | | 677,890 | |
| 8,192 | | Marlette Funding Trust, Series 2021-1A-R | | | 0.00 | % (a)(b)(c) | | 06/16/2031 | | | 869,057 | |
| 641,176 | | Pagaya AI Debt Selection Trust, Series 2020-2-NOTE | | | 7.50 | % (a) | | 12/15/2027 | | | 634,805 | |
| 5,000,000 | | Pagaya AI Debt Selection Trust, Series 2020-3-C | | | 6.43 | % (a) | | 05/17/2027 | | | 4,908,155 | |
| 2,425,852 | | Pagaya AI Debt Selection Trust, Series 2021-3-CERT | | | 0.00 | % (a)(b)(c) | | 05/15/2029 | | | 1,524,954 | |
| 2,303,922 | | Pagaya AI Debt Selection Trust, Series 2021-5-CERT | | | 0.00 | % (a)(b)(c) | | 08/15/2029 | | | 1,948,012 | |
| 922,849 | | Pagaya Al Debt Selection Trust, Series 2021-3-A | | | 1.15 | % (a) | | 05/15/2029 | | | 899,291 | |
| 1,000,000 | | Research-Driven Pagaya Motor Asset Trust, Series 2022-3A-C | | | 10.04 | % (a) | | 11/25/2030 | | | 928,382 | |
| 55,000 | | SoFi Alternative Consumer Loan Program, Series 2021-2-R1 | | | 0.00 | % (a)(b)(c) | | 08/15/2030 | | | 1,335,429 | |
| 20,000 | | SoFi Professional Loan Program Trust, Series 2018-C-R1 | | | 0.00 | % (a)(b)(c) | | 01/25/2048 | | | 281,104 | |
| 1,377,157 | | START Ireland, Series 2019-1-C | | | 6.41 | % (a)(b) | | 03/15/2044 | | | 599,950 | |
| 3,490,873 | | Start Ltd., Series 2018-1-A | | | 4.09 | % (a) | | 05/15/2043 | | | 2,986,672 | |
| 4,000 | | Upstart Securitization Trust, Series 2021-2-CERT | | | 0.00 | % (b)(c) | | 06/20/2031 | | | 893,238 | |
| 3,300 | | Upstart Securitization Trust, Series 2021-5-CERT | | | 0.00 | % (a)(b)(c) | | 11/20/2031 | | | 501,717 | |
| | | | | | | | | | | | |
Total Asset Backed Obligations (Cost $32,336,923) | | | | | | 28,308,778 | |
| | | | | | | | | | | | |
|
Bank Loans - 8.6% | |
| 1,210,000 | | AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | | | 8.99 | % | | 04/20/2028 | | | 1,206,787 | |
| 3,153,488 | | Almonde, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 1.00% Floor) | | | 6.87 | % | | 06/13/2024 | | | 2,797,396 | |
| 1,175,000 | | Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) | | | 10.62 | % | | 06/16/2025 | | | 882,090 | |
| 1,338,275 | | American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.25%, 0.75% Floor) | | | 10.61 | % | | 10/20/2028 | | | 1,231,213 | |
| 2,050,000 | | Applied Systems, Inc. | | | 11.08 | % (d) | | 09/19/2027 | | | 2,042,313 | |
| 765,000 | | Ascend Learning LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.75%, 0.50% Floor) | | | 10.13 | % | | 12/10/2029 | | | 662,042 | |
| 548,669 | | Astra Acquisition Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.50% Floor) | | | 9.63 | % | | 10/25/2028 | | | 486,944 | |
| 3,249,219 | | Astra Acquisition Corporation, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.88%, 0.75% Floor) | | | 13.26 | % | | 10/25/2029 | | | 2,924,297 | |
| 305,000 | | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%) | | | 9.63 | % | | 01/31/2028 | | | 239,678 | |
| 1,425,000 | | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%) | | | 9.63 | % | | 01/19/2029 | | | 1,116,081 | |
| 2,158,989 | | Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.25%, 0.75% Floor) | | | 8.68 | % | | 05/08/2028 | | | 1,528,834 | |
| 2,800,000 | | Aveanna Healthcare LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.50% Floor) | | | 11.39 | % | | 12/10/2029 | | | 1,680,000 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| | Brand Industrial Services, Inc., Senior Secured First Lien Term Loan | | | | | | | | | | |
| 96,142 | | (3 Month LIBOR USD + 4.25%, 1.00% Floor) | | | 8.03 | % | | 06/21/2024 | | | 86,408 | |
| 388,473 | | (3 Month LIBOR USD + 4.25%, 1.00% Floor) | | | 8.61 | % | | 06/21/2024 | | | 349,140 | |
| 1,836,750 | | Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%, 1.00% Floor) | | | 7.81 | % | | 07/14/2026 | | | 1,656,234 | |
| 696,500 | | Clydesdale Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.18%, 0.50% Floor) | | | 8.60 | % | | 04/13/2029 | | | 665,070 | |
| 4,500,000 | | Constant Contact, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.50%) | | | 11.41 | % | | 02/09/2029 | | | 3,472,492 | |
| 1,179,045 | | Cross Financial Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) | | | 8.44 | % | | 09/15/2027 | | | 1,163,328 | |
| 940,000 | | DCert Buyer, Inc., Senior Secured Second Lien Term Loan (6 Month Secured Overnight Financing Rate + 7.00%) | | | 11.70 | % | | 02/19/2029 | | | 861,980 | |
| 3,800,000 | | Delta Topco, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor) | | | 11.65 | % | | 12/01/2028 | | | 3,025,750 | |
| 1,665,000 | | DexKo Global (3 Month Secured Overnight Financing Rate + 6.50%, 0.50% Floor) | | | 0.11 | % | | 10/04/2028 | | | 1,556,775 | |
| 915,000 | | DG Investment Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.75%, 0.75% Floor) | | | 11.07 | % | | 03/30/2029 | | | 812,822 | |
| 556,474 | | DirectTV Financing LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) | | | 9.38 | % | | 08/02/2027 | | | 542,969 | |
| 933,193 | | Eisner Advisory Group LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor) | | | 9.69 | % | | 07/28/2028 | | | 886,533 | |
| 157,368 | | Element Materials Technology Group, Inc. (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) | | | 8.93 | % | | 06/22/2029 | | | 154,156 | |
| 72,632 | | Element Materials Technology Group, Inc. (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) | | | 8.93 | % | | 06/22/2029 | | | 71,149 | |
| 1,140,750 | | Flynn Canada Ltd., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 0.50% Floor) | | | 8.63 | % | | 07/21/2028 | | | 998,156 | |
| 1,344,416 | | Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | | | 8.94 | % | | 02/19/2026 | | | 1,343,576 | |
| 232,789 | | GIP II Blue Holding LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) | | | 9.23 | % | | 09/29/2028 | | | 231,164 | |
| 2,592,899 | | Grab Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) | | | 8.89 | % | | 01/29/2026 | | | 2,566,970 | |
| 1,020,537 | | Groupe Solmax, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | | | 9.48 | % | | 05/30/2028 | | | 852,148 | |
| 1,110,000 | | Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%, 0.75% Floor) | | | 10.63 | % | | 07/07/2025 | | | 1,055,610 | |
| 408,775 | | ION Trading Technologies SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) | | | 8.42 | % | | 03/31/2028 | | | 388,774 | |
| 246,875 | | Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | | | 9.08 | % | | 07/07/2028 | | | 169,316 | |
| 2,035,000 | | Kenan Advantage Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%, 0.75% Floor) | | | 11.63 | % | | 09/01/2027 | | | 1,889,162 | |
| 345,000 | | LaserShip, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.50%, 0.75% Floor) | | | 12.23 | % | | 04/30/2029 | | | 210,450 | |
| 378,748 | | Lereta LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.75% Floor) | | | 9.63 | % | | 07/27/2028 | | | 333,299 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 582,625 | | LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor) | | | 11.83 | % | | 03/31/2029 | | | 567,622 | |
| 785,000 | | MedAssets Software Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.50% Floor) | | | 11.13 | % | | 12/17/2029 | | | 603,712 | |
| 2,135,491 | | Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) | | | 8.73 | % | | 10/01/2027 | | | 2,010,031 | |
| 360,000 | | Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor) | | | 10.00 | % | | 06/21/2027 | | | 370,935 | |
| 3,879,093 | | Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%) | | | 9.17 | % | | 03/27/2026 | | | 3,719,081 | |
| 645,000 | | Mitchell International, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.50%, 0.50% Floor) | | | 11.23 | % | | 10/15/2029 | | | 538,978 | |
| 369,375 | | OYO Hospitality Netherlands B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor) | | | 12.98 | % | | 06/23/2026 | | | 323,665 | |
| 730,000 | | PetVet Care Centers LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%) | | | 10.63 | % | | 02/13/2026 | | | 674,337 | |
| 255,450 | | Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) | | | 8.73 | % | | 12/14/2027 | | | 250,980 | |
| 960,000 | | Pretium PKG Holdings, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.50% Floor) | | | 11.48 | % | | 09/30/2029 | | | 598,805 | |
| 1,178,931 | | Riverbed Technology, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) (1 Month LIBOR USD + 6.00% + 2.00% PIK) | | | 10.54 | % | | 12/07/2026 | | | 509,593 | |
| 471,010 | | Skillsoft Finance, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor) | | | 9.58 | % | | 07/14/2028 | | | 395,304 | |
| 750,000 | | Southern Veterinary Partners LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.75%, 1.00% Floor) | | | 12.13 | % | | 09/22/2028 | | | 690,000 | |
| 830,663 | | Staples, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) | | | 9.44 | % | | 04/16/2026 | | | 770,324 | |
| 3,360,000 | | The Edelman Financial Engines Centre LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | | | 11.13 | % | | 07/20/2026 | | | 3,038,095 | |
| 613,800 | | Think & Learn Private Limited, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 0.75% Floor) | | | 10.70 | % | | 11/24/2026 | | | 494,984 | |
| 1,665,117 | | Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.50%, 1.00% Floor) | | | 5.17 | % | | 02/28/2025 | | | 1,670,986 | |
| 305,000 | | UKG, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.50% Floor) | | | 9.00 | % | | 05/03/2027 | | | 281,439 | |
| 948,000 | | Viad Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.50% Floor) | | | 9.38 | % | | 07/31/2028 | | | 899,121 | |
| 525,000 | | VT Topco, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.75% Floor) (1 Month LIBOR USD + 6.75%, 0.75% Floor) | | | 10.82 | % | | 07/31/2026 | | | 504,000 | |
| 729,911 | | WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.75%, 1.00% Floor) | | | 9.13 | % | | 06/22/2026 | | | 703,565 | |
| 165,000 | | WWEX UNI TopCo Holdings LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.00%, 0.75% Floor) | | | 11.73 | % | | 07/26/2029 | | | 138,291 | |
| | | | | | | | | | | | |
Total Bank Loans (Cost $70,115,743) | | | | | | 61,894,954 | |
| | | | | | | | | | | | |
|
Collateralized Loan Obligations - 17.7% | |
| 800,000 | | AIMCO Ltd., Series 2019-10A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor) | | | 10.27 | % (a) | | 07/22/2032 | | | 726,324 | |
| 2,000,000 | | AIMCO Ltd., Series 2021-15A-E (3 Month LIBOR USD + 5.95%, 5.95% Floor) | | | 10.03 | % (a) | | 10/17/2034 | | | 1,725,809 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 1,450,000 | | Apidos, Series 2018-18A-E (3 Month LIBOR USD + 5.70%, 5.70% Floor) | | | 10.02 | % (a) | | 10/22/2030 | | | 1,275,112 | |
| 3,000,000 | | Bain Capital Credit Ltd., Series 2017-2A-ER2 (3 Month LIBOR USD + 6.86%, 6.86% Floor) | | | 11.22 | % (a) | | 07/25/2034 | | | 2,580,229 | |
| 8,000,000 | | Bain Capital Credit Ltd., Series 2019-3A-ER (3 Month LIBOR USD + 7.10%, 7.10% Floor) | | | 11.38 | % (a) | | 10/21/2034 | | | 6,923,946 | |
| 1,250,000 | | Bain Capital Credit Ltd., Series 2022-3A-E (Secured Overnight Financing Rate 3 Month + 7.35%, 7.35% Floor) | | | 11.21 | % (a) | | 07/17/2035 | | | 1,090,532 | |
| 1,500,000 | | Barings Ltd., Series 2019-2A-CR (3 Month LIBOR USD + 3.40%, 3.40% Floor) | | | 7.48 | % (a) | | 04/15/2036 | | | 1,374,292 | |
| 2,000,000 | | Barings Ltd., Series 2020-1A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor) | | | 10.73 | % (a) | | 10/15/2036 | | | 1,766,631 | |
| 1,850,000 | | Canyon Capital Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.53%, 6.53% Floor) | | | 10.61 | % (a) | | 10/15/2034 | | | 1,613,238 | |
| 1,000,000 | | Canyon Capital Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.41%, 6.41% Floor) | | | 10.49 | % (a) | | 04/15/2034 | | | 854,286 | |
| 2,000,000 | | Canyon Capital Ltd., Series 2021-3A-E (3 Month LIBOR USD + 6.20%, 6.20% Floor) | | | 10.28 | % (a) | | 07/15/2034 | | | 1,746,765 | |
| 1,875,000 | | Carlyle Global Market Strategies Ltd., Series 2020-2A-DR (3 Month LIBOR USD + 6.70%, 6.70% Floor) | | | 11.06 | % (a) | | 01/25/2035 | | | 1,680,693 | |
| 1,000,000 | | Carlyle Global Market Strategies Ltd., Series 2021-1A-D (3 Month LIBOR USD + 6.00%, 6.00% Floor) | | | 10.08 | % (a) | | 04/15/2034 | | | 872,462 | |
| 3,800,000 | | Catskill Park Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.00%, 0.00% Floor) | | | 10.24 | % (a) | | 04/20/2029 | | | 3,156,263 | |
| 2,000,000 | | CIFC Funding Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 6.65%, 0.00% Floor) | | | 10.73 | % (a) | | 07/16/2030 | | | 1,677,687 | |
| 3,350,000 | | CIFC Funding Ltd., Series 2013-3RA-D (3 Month LIBOR USD + 5.90%, 5.90% Floor) | | | 10.22 | % (a) | | 04/24/2031 | | | 2,818,529 | |
| 1,750,000 | | CIFC Funding Ltd., Series 2017-5A-D (3 Month LIBOR USD + 6.10%, 0.00% Floor) | | | 10.18 | % (a) | | 11/16/2030 | | | 1,576,965 | |
| 4,650,000 | | CIFC Funding Ltd., Series 2019-3A-DR (3 Month LIBOR USD + 6.80%, 6.80% Floor) | | | 10.88 | % (a) | | 10/16/2034 | | | 4,243,256 | |
| 2,000,000 | | CIFC Funding Ltd., Series 2020-1A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | | | 10.33 | % (a) | | 07/15/2036 | | | 1,780,551 | |
| 1,500,000 | | CIFC Funding Ltd., Series 2020-4A-E (3 Month LIBOR USD + 6.85%, 6.85% Floor) | | | 10.93 | % (a) | | 01/15/2034 | | | 1,382,960 | |
| 500,000 | | CIFC Funding Ltd., Series 2021-4A-E (3 Month LIBOR USD + 6.00%, 6.00% Floor) | | | 10.08 | % (a) | | 07/15/2033 | | | 453,828 | |
| 1,000,000 | | Dryden Ltd., Series 2020-77A-ER (3 Month LIBOR USD + 5.87%, 5.87% Floor) | | | 10.55 | % (a) | | 05/20/2034 | | | 823,856 | |
| 2,500,000 | | Dryden Ltd., Series 2021-87A-E (3 Month LIBOR USD + 6.15%, 6.15% Floor) | | | 10.83 | % (a) | | 05/20/2034 | | | 2,128,036 | |
| 2,000,000 | | Dryden Senior Loan Fund, Series 2017-54A-E (3 Month LIBOR USD + 6.20%, 0.00% Floor) | | | 10.43 | % (a) | | 10/19/2029 | | | 1,691,845 | |
| 2,000,000 | | Highbridge Loan Management Ltd., Series 13A-18-E (3 Month LIBOR USD + 5.50%, 5.50% Floor) | | | 9.58 | % (a) | | 10/15/2030 | | | 1,685,277 | |
| 1,550,000 | | Highbridge Loan Management Ltd., Series 2013-2A-CR (3 Month LIBOR USD + 2.90%, 0.00% Floor) | | | 7.14 | % (a) | | 10/20/2029 | | | 1,396,102 | |
| 1,000,000 | | Highbridge Loan Management Ltd., Series 6A-2015-DR (3 Month LIBOR USD + 5.10%, 0.00% Floor) | | | 9.63 | % (a) | | 02/05/2031 | | | 823,710 | |
| 1,000,000 | | Jay Park Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 5.20%, 5.20% Floor) | | | 9.44 | % (a) | | 10/20/2027 | | | 909,902 | |
| 2,500,000 | | Madison Park Funding Ltd., Series 2017-26A-ER (3 Month LIBOR USD + 6.50%, 0.00% Floor) | | | 10.91 | % (a) | | 07/29/2030 | | | 2,303,390 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 750,000 | | Madison Park Funding Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | | | 9.83 | % (a) | | 10/15/2031 | | | 608,011 | |
| 2,500,000 | | Madison Park Funding Ltd., Series 2020-45A-ER (3 Month LIBOR USD + 6.35%, 6.35% Floor) | | | 10.43 | % (a) | | 07/15/2034 | | | 2,235,485 | |
| 2,000,000 | | Madison Park Funding Ltd., Series 2021-38A-E (3 Month LIBOR USD + 6.00%, 6.00% Floor) | | | 10.08 | % (a) | | 07/17/2034 | | | 1,746,564 | |
| 500,000 | | Magnetite Ltd., Series 2020-26A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor) | | | 10.31 | % (a) | | 07/25/2034 | | | 445,955 | |
| 1,000,000 | | Magnetite Ltd., Series 2020-28A-ER (3 Month LIBOR USD + 6.15%, 6.15% Floor) | | | 10.39 | % (a) | | 01/20/2035 | | | 891,246 | |
| 4,000,000 | | Milos Ltd., Series 2017-1A-ER (3 Month LIBOR USD + 6.15%, 6.15% Floor) | | | 10.39 | % (a) | | 10/20/2030 | | | 3,507,777 | |
| 2,500,000 | | Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | | | 10.33 | % (a) | | 04/15/2034 | | | 2,136,522 | |
| 7,000,000 | | Neuberger Berman Loan Advisers Ltd., Series 2019-34A-ER (Secured Overnight Financing Rate 3 Month + 6.50%, 6.50% Floor) | | | 10.46 | % (a) | | 01/20/2035 | | | 6,357,659 | |
| 500,000 | | Neuberger Berman Loan Advisers Ltd., Series 2020-38A-DR (3 Month LIBOR USD + 3.00%, 3.00% Floor) | | | 7.24 | % (a) | | 10/20/2035 | | | 463,000 | |
| 3,000,000 | | Neuberger Berman Loan Advisers Ltd., Series 2020-38A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | | | 10.49 | % (a) | | 10/20/2035 | | | 2,660,479 | |
| 1,000,000 | | Octagon Investment Partners Ltd., Series 2014-1A-ERR (3 Month LIBOR USD + 6.00%, 6.00% Floor) | | | 10.67 | % (a) | | 11/18/2031 | | | 772,376 | |
| 750,000 | | Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.60%, 6.60% Floor) | | | 10.96 | % (a) | | 10/25/2032 | | | 673,202 | |
| 1,500,000 | | Octagon Investment Partners Ltd., Series 2019-1A-ER (3 Month LIBOR USD + 7.00%, 7.00% Floor) | | | 11.24 | % (a) | | 01/20/2035 | | | 1,313,573 | |
| 5,000,000 | | Octagon Investment Partners Ltd., Series 2019-1A-INC | | | 0.00 | % (a)(b)(c)(e) | | 10/25/2032 | | | 2,614,500 | |
| 500,000 | | Octagon Investment Partners Ltd., Series 2019-4A-E (3 Month LIBOR USD + 6.80%, 6.80% Floor) | | | 11.45 | % (a) | | 05/12/2031 | | | 429,055 | |
| 1,000,000 | | Octagon Investment Partners Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.60%, 6.60% Floor) | | | 10.68 | % (a) | | 07/15/2036 | | | 830,454 | |
| 4,000,000 | | Octagon Investment Partners Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.50%, 6.50% Floor) | | | 10.58 | % (a) | | 04/15/2034 | | | 3,453,851 | |
| 3,000,000 | | OHA Credit Funding Ltd., Series 2019-3A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | | | 10.49 | % (a) | | 07/02/2035 | | | 2,661,446 | |
| 500,000 | | Point Au Roche Park Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.10%, 6.10% Floor) | | | 10.34 | % (a) | | 07/20/2034 | | | 431,431 | |
| 1,000,000 | | Reese Park Ltd., Series 2020-1A-ER (3 Month LIBOR USD + 6.50%, 6.50% Floor) | | | 10.58 | % (a) | | 10/15/2034 | | | 865,829 | |
| 5,000,000 | | RR Ltd., Series 2017-2A-DR (3 Month LIBOR USD + 5.80%, 5.80% Floor) | | | 9.88 | % (a) | | 04/15/2036 | | | 4,372,104 | |
| 1,000,000 | | RR Ltd., Series 2019-6A-DR (3 Month LIBOR USD + 5.85%, 5.85% Floor) | | | 9.93 | % (a) | | 04/15/2036 | | | 845,178 | |
| 3,000,000 | | Sound Point Ltd., Series 2020-1A-ER (3 Month LIBOR USD + 6.86%, 6.86% Floor) | | | 11.10 | % (a) | | 07/20/2034 | | | 2,374,091 | |
| 4,000,000 | | Sound Point Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.56%, 6.56% Floor) | | | 10.92 | % (a) | | 10/25/2034 | | | 3,253,407 | |
| 7,000,000 | | Sound Point Ltd., Series 2021-2A-E (3 Month LIBOR USD + 6.36%, 6.36% Floor) | | | 10.72 | % (a) | | 07/25/2034 | | | 5,665,741 | |
| 2,000,000 | | Sound Point Ltd., Series 2021-3A-E (3 Month LIBOR USD + 6.61%, 6.61% Floor) | | | 10.97 | % (a) | | 10/25/2034 | | | 1,621,752 | |
| 7,000,000 | | Sound Point Ltd., Series 2021-4A-E (3 Month LIBOR USD + 6.70%, 6.70% Floor) | | | 11.06 | % (a) | | 10/25/2034 | | | 5,634,140 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 2,500,000 | | THL Credit Wind River Ltd., Series 2017-3A-ER (3 Month LIBOR USD + 7.05%, 7.05% Floor) | | | 11.13 | % (a) | | 04/15/2035 | | | 2,145,495 | |
| 1,000,000 | | THL Credit Wind River Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.50%, 0.00% Floor) | | | 9.58 | % (a) | | 07/15/2030 | | | 816,693 | |
| 1,000,000 | | THL Credit Wind River Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.75%, 0.00% Floor) | | | 9.83 | % (a) | | 07/15/2030 | | | 797,994 | |
| 2,000,000 | | Thompson Park Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.31%, 6.31% Floor) | | | 10.39 | % (a) | | 04/15/2034 | | | 1,765,366 | |
| 3,000,000 | | Trimaran CAVU LLC, Series 2019-1A-D (3 Month LIBOR USD + 4.15%, 4.15% Floor) | | | 8.39 | % (a) | | 07/20/2032 | | | 2,714,635 | |
| 2,000,000 | | Voya Ltd., Series 2013-3A-DR (3 Month LIBOR USD + 5.90%, 5.90% Floor) | | | 10.09 | % (a) | | 10/18/2031 | | | 1,639,300 | |
| 1,350,000 | | Voya Ltd., Series 2017-2A-D (3 Month LIBOR USD + 6.02%, 0.00% Floor) | | | 10.10 | % (a) | | 06/07/2030 | | | 1,090,155 | |
| 2,700,000 | | Voya Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.20%, 0.00% Floor) | | | 9.43 | % (a) | | 04/19/2031 | | | 2,198,116 | |
| 2,000,000 | | Voya Ltd., Series 2018-4A-E (3 Month LIBOR USD + 6.30%, 6.30% Floor) | | | 10.38 | % (a) | | 01/15/2032 | | | 1,782,199 | |
| 1,000,000 | | Webster Park Ltd., Series 2015-1A-DR (3 Month LIBOR USD + 5.50%, 5.50% Floor) | | | 9.74 | % (a) | | 07/20/2030 | | | 797,827 | |
| | | | | | | | | | | | |
Total Collateralized Loan Obligations (Cost $147,135,070) | | | | | | 127,695,084 | |
| | | | | | | | | | | | |
|
Foreign Corporate Bonds - 18.9% | |
| 1,903,000 | | ABM Investama Tbk PT | | | 9.50 | % (a) | | 08/05/2026 | | | 1,699,223 | |
| 1,300,000 | | AES Andes S.A. (5 Year CMT Rate + 4.92%) | | | 6.35 | % | | 10/07/2079 | | | 1,200,438 | |
| 1,000,000 | | AES Andes S.A. (5 Year Swap Rate USD + 4.64%) | | | 7.13 | % | | 03/26/2079 | | | 953,108 | |
| 1,200,000 | | AES Andres B.V. | | | 5.70 | % (a) | | 05/04/2028 | | | 1,042,224 | |
| 2,200,000 | | Agile Group Holdings Ltd. (5 Year CMT Rate + 11.08%) | | | 7.75 | % (f) | | 05/25/2025 | | | 557,192 | |
| 1,000,000 | | AI Candelaria Spain S.A. | | | 5.75 | % (a) | | 06/15/2033 | | | 762,080 | |
| 3,250,000 | | AI Candelaria Spain S.A. | | | 5.75 | % | | 06/15/2033 | | | 2,476,760 | |
| 6,000,000 | | Air Canada Class C Pass Through Trust | | | 10.50 | % (a) | | 07/15/2026 | | | 6,120,791 | |
| 200,000 | | Alibaba Group Holding Ltd. | | | 3.15 | % | | 02/09/2051 | | | 124,964 | |
| 300,000 | | Alibaba Group Holding Ltd. | | | 3.25 | % | | 02/09/2061 | | | 180,709 | |
| 470,827 | | Alpha Holdings S.A. de C.V. | | | 10.00 | % (b)(g) | | 12/19/2024 | | | — | |
| 942,731 | | Alpha Holdings S.A. de C.V. | | | 9.00 | % (a)(b)(g) | | 02/10/2025 | | | — | |
| 2,356,827 | | Alpha Holdings S.A. de C.V. | | | 9.00 | % (b)(g) | | 02/10/2025 | | | — | |
| 4,000,000 | | Altice France Holding S.A. | | | 6.00 | % (a) | | 02/15/2028 | | | 2,369,767 | |
| 4,000,000 | | AMS AG | | | 7.00 | % (a) | | 07/31/2025 | | | 3,770,420 | |
| 550,000 | | Aris Mining Corporation | | | 6.88 | % | | 08/09/2026 | | | 432,030 | |
| 700,000 | | Braskem Idesa SAPI | | | 7.45 | % | | 11/15/2029 | | | 553,785 | |
| 3,200,000 | | Braskem Idesa SAPI | | | 6.99 | % (a) | | 02/20/2032 | | | 2,290,283 | |
| 3,500,000 | | BRF S.A. | | | 5.75 | % | | 09/21/2050 | | | 2,503,690 | |
| 2,300,000 | | Camposol S.A. | | | 6.00 | % | | 02/03/2027 | | | 1,527,384 | |
| 2,450,000 | | CAP S.A. | | | 3.90 | % | | 04/27/2031 | | | 1,916,517 | |
| 3,850,000 | | Central China Real Estate Ltd. | | | 7.25 | % | | 07/16/2024 | | | 1,119,691 | |
| 2,000,000 | | Connect Finco LLC | | | 6.75 | % (a) | | 10/01/2026 | | | 1,857,639 | |
| 3,000,000 | | Coruripe Netherlands B.V. | | | 10.00 | % | | 02/10/2027 | | | 2,407,500 | |
| 4,600,000 | | Credito Real S.A.B. de C.V. | | | 9.50 | % (g) | | 02/07/2026 | | | 132,250 | |
| 1,000,000 | | Credivalores-Crediservicios SAS | | | 8.88 | % (a) | | 02/07/2025 | | | 237,714 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 1,400,000 | | Credivalores-Crediservicios SAS | | | 8.88 | % | | 02/07/2025 | | | 332,799 | |
| 2,365,000 | | Ecopetrol S.A. | | | 5.88 | % | | 05/28/2045 | | | 1,651,795 | |
| 3,150,000 | | Ecopetrol S.A. | | | 5.88 | % | | 11/02/2051 | | | 2,123,076 | |
| 3,200,000 | | Empresas Publicas de Medellin ESP | | | 4.38 | % | | 02/15/2031 | | | 2,492,064 | |
| 2,309,875 | | FEL Energy SARL | | | 5.75 | % | | 12/01/2040 | | | 1,980,036 | |
| 191,360 | | Fideicomiso P.A. Pacifico Tres | | | 8.25 | % | | 01/15/2035 | | | 172,176 | |
| 3,000,000 | | Frigorifico Concepcion S.A. | | | 7.70 | % (a) | | 07/21/2028 | | | 2,426,385 | |
| 950,000 | | Frigorifico Concepcion S.A. | | | 7.70 | % | | 07/21/2028 | | | 768,355 | |
| 1,200,000 | | Frontera Energy Corporation | | | 7.88 | % (a) | | 06/21/2028 | | | 998,303 | |
| 1,300,000 | | Gajah Tunggal Tbk PT | | | 8.95 | % | | 06/23/2026 | | | 1,001,000 | |
| 8,000,000 | | Garda World Security Corporation | | | 9.50 | % (a) | | 11/01/2027 | | | 7,716,810 | |
| 1,453,000 | | Gran Tierra Energy International Holdings Ltd. | | | 6.25 | % | | 02/15/2025 | | | 1,271,599 | |
| 2,600,000 | | Gran Tierra Energy, Inc. | | | 7.75 | % | | 05/23/2027 | | | 2,110,255 | |
| 3,015,000 | | Guacolda Energia S.A. | | | 4.56 | % | | 04/30/2025 | | | 889,425 | |
| 1,900,000 | | Instituto Costarricense de Electricidad | | | 6.38 | % | | 05/15/2043 | | | 1,511,186 | |
| 1,100,000 | | Interpipe Holdings PLC | | | 8.38 | % (a) | | 05/13/2026 | | | 451,572 | |
| 2,660,000 | | Kawasan Industri Jababeka Tbk PT | | | 7.00 | % (a)(k) | | 12/15/2027 | | | 1,635,900 | |
| 600,000 | | Kosmos Energy Ltd. | | | 7.50 | % | | 03/01/2028 | | | 482,509 | |
| 3,530,000 | | Kronos Acquisition Holdings, Inc. | | | 7.00 | % (a) | | 12/31/2027 | | | 2,907,837 | |
| 3,650,000 | | MC Brazil Downstream Trading SARL | | | 7.25 | % | | 06/30/2031 | | | 3,016,936 | |
| 1,400,000 | | Metinvest B.V. | | | 7.75 | % | | 10/17/2029 | | | 710,500 | |
| 2,675,000 | | Mexarrend SAPI de C.V. | | | 10.25 | % | | 07/24/2024 | | | 619,126 | |
| 4,400,000 | | Mexico City Airport Trust | | | 5.50 | % | | 07/31/2047 | | | 3,398,318 | |
| 4,500,000 | | Minejesa Capital B.V. | | | 5.63 | % | | 08/10/2037 | | | 3,511,375 | |
| 1,550,000 | | Mong Duong Finance Holdings B.V. | | | 5.13 | % | | 05/07/2029 | | | 1,292,434 | |
| 1,800,000 | | Movida Europe S.A. | | | 5.25 | % | | 02/08/2031 | | | 1,351,968 | |
| 1,450,000 | | NGD Holdings B.V. | | | 6.75 | % | | 12/31/2026 | | | 682,950 | |
| 4,850,000 | | OCP S.A. | | | 5.13 | % | | 06/23/2051 | | | 3,699,992 | |
| 4,750,000 | | Oi S.A. (8.00% + 4.00% PIK) | | | 10.00 | % | | 07/27/2025 | | | 820,806 | |
| 438,000 | | Operadora de Servicios Mega S.A. de C.V. | | | 8.25 | % (a) | | 02/11/2025 | | | 220,323 | |
| 3,302,000 | | Operadora de Servicios Mega S.A. de C.V. | | | 8.25 | % | | 02/11/2025 | | | 1,660,972 | |
| 2,600,000 | | Pertamina Persero PT | | | 4.15 | % | | 02/25/2060 | | | 1,878,758 | |
| 5,460,000 | | Petrobras Global Finance B.V. | | | 5.50 | % | | 06/10/2051 | | | 4,193,645 | |
| 5,700,000 | | Petroleos del Peru S.A. | | | 5.63 | % | | 06/19/2047 | | | 3,738,203 | |
| 3,700,000 | | Petroleos Mexicanos | | | 6.38 | % | | 01/23/2045 | | | 2,299,753 | |
| 1,800,000 | | Petroleos Mexicanos | | | 6.75 | % | | 09/21/2047 | | | 1,152,511 | |
| 2,100,000 | | Prime Energia S.p.A. | | | 5.38 | % | | 12/30/2030 | | | 1,473,064 | |
| 4,000,000 | | RKP Overseas Finance Ltd. | | | 7.95 | % (f) | | 02/17/2023 | | | 1,876,278 | |
| 400,000 | | RKPF Overseas Ltd. (5 Year CMT Rate + 6.00%) | | | 7.75 | % (f) | | 11/18/2024 | | | 188,517 | |
| 2,000,000 | | Ronshine China Holdings Ltd. | | | 7.35 | % (g) | | 12/15/2023 | | | 141,500 | |
| 2,900,000 | | Ronshine China Holdings Ltd. | | | 6.75 | % (g) | | 08/05/2024 | | | 245,198 | |
| 530,000 | | Seaspan Corporation | | | 5.50 | % (a) | | 08/01/2029 | | | 402,339 | |
| 1,500,000 | | SierraCol Energy Andina LLC | | | 6.00 | % | | 06/15/2028 | | | 1,179,082 | |
| 3,600,000 | | SierraCol Energy Andina LLC | | | 6.00 | % (a) | | 06/15/2028 | | | 2,829,796 | |
| 500,000 | | Simpar Europe S.A. | | | 5.20 | % | | 01/26/2031 | | | 379,415 | |
| 3,250,000 | | Telecommunications Services of Trinidad & Tobago Ltd. | | | 8.88 | % | | 10/18/2029 | | | 2,879,549 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 2,175,000 | | Telesat LLC | | | 5.63 | % (a) | | 12/06/2026 | | | 1,003,268 | |
| 500,000 | | Tencent Holdings Ltd. | | | 3.24 | % | | 06/03/2050 | | | 317,031 | |
| 1,816,000 | | Tervita Corporation | | | 11.00 | % (a) | | 12/01/2025 | | | 1,961,868 | |
| 971,000 | | Thaioil Treasury Center Company Ltd. | | | 3.75 | % | | 06/18/2050 | | | 604,457 | |
| 2,100,000 | | Theta Capital Pte Ltd. | | | 6.75 | % | | 10/31/2026 | | | 1,365,420 | |
| 3,600,000 | | TK Elevator Holdco GmbH | | | 7.63 | % (a) | | 07/15/2028 | | | 2,945,298 | |
| 2,500,000 | | Tullow Oil PLC | | | 10.25 | % (a) | | 05/15/2026 | | | 2,009,550 | |
| 2,954,491 | | UEP Penonome S.A. | | | 6.50 | % (a) | | 10/01/2038 | | | 2,190,016 | |
| 3,300,000 | | UPL Corporation Ltd. (5 Year CMT Rate + 3.87%) | | | 5.25 | % (f) | | 02/27/2025 | | | 2,310,000 | |
| 2,500,000 | | Vedanta Resources Finance PLC | | | 9.25 | % | | 04/23/2026 | | | 1,623,313 | |
| 1,900,000 | | Vedanta Resources Ltd. | | | 6.13 | % | | 08/09/2024 | | | 1,201,809 | |
| 300,000 | | VTR Comunicaciones SpA | | | 4.38 | % | | 04/15/2029 | | | 176,147 | |
| 500,000 | | VTR Finance NV | | | 6.38 | % | | 07/15/2028 | | | 193,898 | |
| 1,300,000 | | YPF S.A. | | | 8.50 | % | | 06/27/2029 | | | 979,167 | |
| 3,600,000 | | YPF S.A. | | | 7.00 | % | | 12/15/2047 | | | 2,164,801 | |
| 4,600,000 | | Yuzhou Group Holdings Company Ltd. | | | 7.38 | % (g) | | 01/13/2026 | | | 448,086 | |
| | | | | | | | | | | | |
Total Foreign Corporate Bonds (Cost $190,646,513) | | | 136,496,678 | |
| | | | | | | | | | | | |
|
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 2.6% | |
| 5,100,000 | | Brazilian Government International Bond | | | 4.75 | % | | 01/14/2050 | | | 3,589,461 | |
| 600,000 | | Colombia Government International Bond | | | 4.13 | % | | 02/22/2042 | | | 377,295 | |
| 5,100,000 | | Colombia Government International Bond | | | 5.00 | % | | 06/15/2045 | | | 3,488,685 | |
| 1,400,000 | | Dominican Republic International Bond | | | 5.30 | % (a) | | 01/21/2041 | | | 1,085,523 | |
| 600,000 | | Dominican Republic International Bond | | | 5.30 | % | | 01/21/2041 | | | 465,224 | |
| 2,500,000 | | Dominican Republic International Bond | | | 6.40 | % | | 06/05/2049 | | | 2,030,571 | |
| 4,900,000 | | Mexico Government International Bond | | | 4.40 | % | | 02/12/2052 | | | 3,620,694 | |
| 900,000 | | Panama Government International Bond | | | 3.87 | % | | 07/23/2060 | | | 583,546 | |
| 4,000,000 | | Republic of South Africa Government Bond | | | 5.65 | % | | 09/27/2047 | | | 2,953,876 | |
| 850,000 | | Ukraine Government International Bond | | | 9.75 | % (g) | | 11/01/2030 | | | 176,137 | |
| 3,400,000 | | Ukraine Government International Bond | | | 7.25 | % (g) | | 03/15/2035 | | | 643,426 | |
| | | | | | | | | | | | |
Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $27,409,548) | | | 19,014,438 | |
| | | | | | | | | | | | |
|
Non-Agency Commercial Mortgage Backed Obligations - 29.0% | |
| 7,500,000 | | Alen Mortgage Trust, Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor) | | | 9.32 | % (a) | | 04/15/2034 | | | 5,006,064 | |
| 1,623,000 | | Atrium Hotel Portfolio Trust, Series 2018-ATRM-F (1 Month LIBOR USD + 4.00%, 4.00% Floor) | | | 8.32 | % (a) | | 06/15/2035 | | | 1,486,330 | |
| 18,317,000 | | BANK, Series 2018-BN12-XE | | | 1.50 | % (a)(e)(h) | | 05/15/2061 | | | 1,168,460 | |
| 6,978,000 | | BANK, Series 2018-BN12-XF | | | 1.50 | % (a)(e)(h) | | 05/15/2061 | | | 434,241 | |
| 20,061,456 | | BANK, Series 2018-BN12-XG | | | 1.50 | % (a)(e)(h) | | 05/15/2061 | | | 1,148,217 | |
| 18,522,000 | | BANK, Series 2019-BN16-XF | | | 1.14 | % (a)(e)(h) | | 02/15/2052 | | | 1,022,489 | |
| 9,261,000 | | BANK, Series 2019-BN16-XG | | | 1.14 | % (a)(e)(h) | | 02/15/2052 | | | 504,224 | |
| 4,631,000 | | BANK, Series 2019-BN16-XH | | | 1.14 | % (a)(e)(h) | | 02/15/2052 | | | 244,943 | |
| 6,366,937 | | BANK, Series 2019-BN16-XJ | | | 1.14 | % (a)(e)(h) | | 02/15/2052 | | | 309,401 | |
| 21,359,000 | | BANK, Series 2022-BNK43-XD | | | 2.23 | % (a)(e)(h) | | 08/15/2055 | | | 3,276,492 | |
| 3,000,000 | | BBCMS Mortgage Trust, Series 2020-C7-D | | | 3.60 | % (a)(e) | | 04/15/2053 | | | 1,920,432 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 6,000,000 | | Beast Mortgage Trust, Series 2021-1818-G (1 Month LIBOR USD + 6.00%, 6.25% Floor) | | | 10.32 | % (a) | | 03/15/2036 | | | 4,493,900 | |
| 7,464,000 | | Benchmark Mortgage Trust, Series 2018-B4-D | | | 2.80 | % (a)(e) | | 07/15/2051 | | | 5,274,566 | |
| 12,324,000 | | Benchmark Mortgage Trust, Series 2021-B26-XF | | | 1.50 | % (a)(e)(h) | | 06/15/2054 | | | 1,058,065 | |
| 5,000,000 | | BSREP Commercial Mortgage Trust, Series 2021-DC-G (1 Month LIBOR USD + 3.85%, 3.85% Floor) | | | 8.17 | % (a) | | 08/15/2038 | | | 4,041,000 | |
| 2,312,977 | | BX Trust, Series 2017-APPL-F (1 Month LIBOR USD + 4.38%, 4.25% Floor) | | | 8.69 | % (a) | | 07/15/2034 | | | 2,273,968 | |
| 5,100,000 | | BX Trust, Series 2017-SLCT-F (1 Month LIBOR USD + 4.38%, 4.25% Floor) | | | 8.69 | % (a) | | 07/15/2034 | | | 4,923,445 | |
| 1,880,000 | | BX Trust, Series 2019-IMC-G (1 Month LIBOR USD + 3.60%, 3.60% Floor) | | | 7.92 | % (a) | | 04/15/2034 | | | 1,746,602 | |
| 3,725,058 | | BX Trust, Series 2021-21M-H (1 Month LIBOR USD + 4.01%, 4.01% Floor) | | | 8.33 | % (a) | | 10/15/2036 | | | 3,385,422 | |
| 3,500,000 | | BX Trust, Series 2021-VIEW-F (1 Month LIBOR USD + 3.93%, 3.93% Floor) | | | 8.25 | % (a) | | 06/15/2036 | | | 3,187,096 | |
| 2,500,000 | | BX Trust, Series 2021-VIEW-G (1 Month LIBOR USD + 4.93%, 4.93% Floor) | | | 9.25 | % (a) | | 06/15/2036 | | | 2,265,837 | |
| 4,942,815 | | BX Trust, Series 2022-PSB-E (Secured Overnight Financing Rate 1 Month + 6.34%, 6.34% Floor) | | | 10.67 | % (a) | | 08/15/2039 | | | 4,912,815 | |
| 3,000,000 | | CFCRE Commercial Mortgage Trust, Series 2016-C7-C | | | 4.39 | % (e) | | 12/10/2054 | | | 2,508,472 | |
| 5,008,323 | | Citigroup Commercial Mortgage Trust, Series 2015-GC27-D | | | 4.42 | % (a)(e) | | 02/10/2048 | | | 4,391,150 | |
| 70,622,151 | | Commercial Mortgage Pass-Through Trust, Series 2013-CR13-XA | | | 0.72 | % (e)(h) | | 11/10/2046 | | | 360,109 | |
| 5,088,000 | | CSAIL Commercial Mortgage Trust, Series 2016-C6-D | | | 4.92 | % (a)(e) | | 01/15/2049 | | | 3,930,654 | |
| 74,895,657 | | CSAIL Commercial Mortgage Trust, Series 2017-CX9-XA | | | 0.66 | % (e)(h) | | 09/15/2050 | | | 1,361,775 | |
| 2,500,000 | | CSAIL Commercial Mortgage Trust, Series 2020-C19-E | | | 2.50 | % (a) | | 03/15/2053 | | | 1,449,838 | |
| 13,238,000 | | CSAIL Commercial Mortgage Trust, Series 2020-C19-XD | | | 1.11 | % (a)(e)(h) | | 03/15/2053 | | | 820,919 | |
| 18,014,000 | | CSMC Trust, Series 2016-NXSR-XE | | | 1.00 | % (a)(e)(h) | | 12/15/2049 | | | 518,818 | |
| 7,058,000 | | CSMC Trust, Series 2017-PFHP-F (1 Month LIBOR USD + 4.49%, 4.49% Floor) | | | 8.81 | % (a) | | 12/15/2030 | | | 6,354,022 | |
| 4,000,000 | | CSWF Trust, Series 2018-TOP-H (1 Month LIBOR USD + 3.41%, 3.41% Floor) | | | 7.73 | % (a) | | 08/15/2035 | | | 3,688,822 | |
| 4,622,000 | | DBJPM Mortgage Trust, Series 2016-C1-C | | | 3.32 | % (e) | | 05/10/2049 | | | 3,823,684 | |
| 2,100,000 | | Del Amo Fashion Center Trust, Series 2017-AMO-C | | | 3.64 | % (a)(e) | | 06/05/2035 | | | 1,621,225 | |
| 4,000,000 | | DOLP Trust, Series 2021-NYC-F | | | 3.70 | % (a)(e) | | 05/10/2041 | | | 2,477,515 | |
| 4,000,000 | | DOLP Trust, Series 2021-NYC-G | | | 3.70 | % (a)(e) | | 05/10/2041 | | | 2,378,792 | |
| 1,984,389 | | FREMF Mortgage Trust, Series 2016-KF16-B (1 Month LIBOR USD + 6.64%, 0.00% Floor) | | | 10.78 | % (a) | | 03/25/2026 | | | 1,956,036 | |
| 2,375,960 | | FREMF Mortgage Trust, Series 2016-KF19-B (1 Month LIBOR USD + 5.50%, 5.50% Floor) | | | 9.64 | % (a) | | 06/25/2023 | | | 2,353,249 | |
| 1,242,131 | | FREMF Mortgage Trust, Series 2016-KF23-B (1 Month LIBOR USD + 5.15%, 0.00% Floor) | | | 9.29 | % (a) | | 09/25/2023 | | | 1,232,277 | |
| 4,232,170 | | FREMF Mortgage Trust, Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor) | | | 9.94 | % (a) | | 11/25/2028 | | | 3,884,140 | |
| 8,130,760 | | FREMF Mortgage Trust, Series 2019-KF71-C (1 Month LIBOR USD + 6.00%, 6.00% Floor) | | | 10.14 | % (a) | | 10/25/2029 | | | 7,674,054 | |
| 3,000,000 | | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (1 Month LIBOR USD + 5.00%, 5.00% Floor) | | | 9.32 | % (a) | | 11/15/2036 | | | 2,690,183 | |
| 3,000,000 | | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-H (1 Month LIBOR USD + 5.93%, 5.93% Floor) | | | 10.25 | % (a) | | 11/15/2026 | | | 2,650,068 | |
| 2,163,000 | | GS Mortgage Securities Corporation Trust, Series 2021-IP-F (1 Month LIBOR USD + 4.55%, 4.55% Floor) | | | 8.87 | % (a) | | 10/15/2036 | | | 2,046,038 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 1,859,000 | | GS Mortgage Securities Trust, Series 2014-GC26-D | | | 4.52 | % (a)(e) | | 11/10/2047 | | | 1,257,305 | |
| 2,149,788 | | GS Mortgage Securities Trust, Series 2015-GC28-D | | | 4.31 | % (a)(e) | | 02/10/2048 | | | 1,883,298 | |
| 7,458,448 | | GS Mortgage Securities Trust, Series 2016-GS3-XA | | | 1.20 | % (e)(h) | | 10/10/2049 | | | 254,608 | |
| 2,939,142 | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-C1-AJ | | | 6.82 | % (e) | | 02/15/2051 | | | 2,769,661 | |
| 4,000,000 | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-G (1 Month LIBOR USD + 4.05%, 4.05% Floor) | | | 8.37 | % (a) | | 07/15/2036 | | | 3,636,239 | |
| 4,000,000 | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-XG | | | 0.50 | % (a)(e)(h) | | 07/15/2036 | | | 13,373 | |
| 28,230,165 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-XA | | | 0.60 | % (e)(h) | | 09/15/2047 | | | 207,441 | |
| 3,998,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-D | | | 3.87 | % (a)(e) | | 01/15/2048 | | | 3,229,680 | |
| 2,265,000 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D | | | 3.81 | % (a)(e) | | 02/15/2048 | | | 1,846,033 | |
| 44,949,691 | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA | | | 1.11 | % (e)(h) | | 11/15/2048 | | | 784,601 | |
| 25,460,000 | | JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-XB | | | 0.43 | % (e)(h) | | 05/13/2053 | | | 684,927 | |
| 10,244,000 | | JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-XD | | | 1.97 | % (a)(e)(h) | | 05/13/2053 | | | 1,107,489 | |
| 5,000,000 | | Med Trust, Series 2021-MDLN-G (1 Month LIBOR USD + 5.25%, 5.25% Floor) | | | 9.57 | % (a) | | 11/15/2038 | | | 4,541,782 | |
| 600,000 | | MFT Trust, Series 2020-ABC-D | | | 3.48 | % (a)(e) | | 02/10/2042 | | | 392,725 | |
| 4,000,000 | | MHC Commercial Mortgage Trust, Series 2021-MHC2-J (1 Month LIBOR USD + 4.25%, 4.25% Floor) | | | 8.57 | % (a) | | 05/15/2038 | | | 3,659,709 | |
| 7,186,250 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21-C | | | 4.13 | % (e) | | 03/15/2048 | | | 6,015,206 | |
| 5,000,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D | | | 3.24 | % (a)(e) | | 12/15/2047 | | | 4,016,777 | |
| 3,675,000 | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34-D | | | 2.70 | % (a) | | 11/15/2052 | | | 2,448,309 | |
| 2,000,000 | | Morgan Stanley Capital Trust, Series 2018-H4-D | | | 3.00 | % (a) | | 12/15/2051 | | | 1,275,941 | |
| 5,000,000 | | Morgan Stanley Capital Trust, Series 2019-PLND-G (1 Month LIBOR USD + 3.65%, 3.65% Floor) | | | 7.97 | % (a) | | 05/15/2036 | | | 3,278,831 | |
| 459,062,677 | | Morgan Stanley Capital Trust, Series 2022-L8-XA | | | 0.04 | % (e)(h) | | 04/15/2055 | | | 1,791,217 | |
| 7,234,429 | | SMR Mortgage Trust, Series 2022-IND-G (Secured Overnight Financing Rate 1 Month + 7.50%, 7.50% Floor) | | | 11.84 | % (a) | | 02/15/2039 | | | 6,578,461 | |
| 4,050,401 | | Tharaldson Hotel Portfolio Trust, Series 2018-THL-F (1 Month LIBOR USD + 4.25%, 3.95% Floor) | | | 8.47 | % (a) | | 11/11/2034 | | | 3,814,705 | |
| 4,000,000 | | TPGI Trust, Series 2021-DGWD-G (1 Month LIBOR USD + 3.85%, 3.85% Floor) | | | 8.17 | % (a) | | 06/15/2026 | | | 3,721,948 | |
| 7,401,224 | | TTAN, Series 2021-MHC-G (1 Month LIBOR USD + 4.20%, 4.20% Floor) | | | 8.52 | % (a) | | 03/15/2038 | | | 6,928,348 | |
| 5,000,000 | | UBS Commercial Mortgage Trust, Series 2017-C6-D | | | 2.50 | % (a)(e) | | 12/15/2050 | | | 3,212,698 | |
| 2,500,000 | | UBS Commercial Mortgage Trust, Series 2018-C14-C | | | 5.23 | % (e) | | 12/15/2051 | | | 2,048,788 | |
| 6,891,216 | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-C | | | 4.07 | % (a)(e) | | 03/10/2046 | | | 6,303,021 | |
| 3,285,845 | | Wachovia Bank Commercial Mortgage Trust, Series 2005-C21-E | | | 5.10 | % (a)(e) | | 10/15/2044 | | | 2,595,818 | |
| 7,910,000 | | Wells Fargo Commercial Mortgage Trust, Series 2015-C28-D | | | 4.08 | % (e) | | 05/15/2048 | | | 6,719,271 | |
| 2,000,000 | | Wells Fargo Commercial Mortgage Trust, Series 2016-C33-D | | | 3.12 | % (a) | | 03/15/2059 | | | 1,571,750 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 4,514,242 | | Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C | | | 5.06 | % (e) | | 06/15/2049 | | | 3,736,947 | |
| 3,200,000 | | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D | | | 3.25 | % (a) | | 01/15/2060 | | | 2,316,942 | |
| | | | | | | | | | | | |
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $235,317,347) | | | | | | 208,899,698 | |
| | | | | | | | | | | | |
|
Non-Agency Residential Collateralized Mortgage Obligations - 18.5% | |
| 9,535,074 | | ACE Securities Corporation Home Equity Loan Trust, Series 2006-HE4-A2B (1 Month LIBOR USD + 0.22%, 0.22% Floor) | | | 4.61 | % | | 10/25/2036 | | | 3,757,480 | |
| 10,000,000 | | AMSR Trust, Series 2020-SFR4-G2 | | | 4.87 | % (a) | | 11/17/2037 | | | 8,932,617 | |
| 8,425,664 | | Connecticut Avenue Securities Trust, Series 2019-R05-1B1 (1 Month LIBOR USD + 4.10%, 0.00% Floor) | | | 8.49 | % (a) | | 07/25/2039 | | | 8,544,338 | |
| 3,900,000 | | Connecticut Avenue Securities Trust, Series 2019-R07-1B1 (1 Month LIBOR USD + 3.40%, 0.00% Floor) | | | 7.79 | % (a) | | 10/25/2039 | | | 3,783,581 | |
| 8,400,000 | | Connecticut Avenue Securities Trust, Series 2021-R02-2B2 (Secured Overnight Financing Rate 30 Day Average + 6.20%, 0.00% Floor) | | | 10.13 | % (a) | | 11/25/2041 | | | 7,150,282 | |
| 6,082,272 | | Countrywide Alternative Loan Trust, Series 2005-J12-2A1 (1 Month LIBOR USD + 0.54%, 0.54% Floor, 11.00% Cap) | | | 4.93 | % | | 08/25/2035 | | | 3,350,481 | |
| 10,000,000 | | Deephaven Residential Mortgage Trust, Series 2020-2-B3 | | | 5.85 | % (a)(e) | | 05/25/2065 | | | 8,695,024 | |
| 9,250,000 | | Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1-B2 (1 Month LIBOR USD + 5.25%, 0.00% Floor) | | | 9.64 | % (a) | | 01/25/2050 | | | 8,000,839 | |
| 3,000,000 | | Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2-B2 (1 Month LIBOR USD + 4.80%, 0.00% Floor) | | | 9.19 | % (a) | | 02/25/2050 | | | 2,470,728 | |
| 6,000,000 | | Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA6-B2 (Secured Overnight Financing Rate 30 Day Average + 5.65%, 0.00% Floor) | | | 9.58 | % (a) | | 12/25/2050 | | | 5,126,660 | |
| 1,200,000 | | Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-HQA2-B1 (1 Month LIBOR USD + 4.10%, 0.00% Floor) | | | 8.49 | % (a) | | 03/25/2050 | | | 1,182,166 | |
| 22,000,000 | | Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-HQA2-B2 (1 Month LIBOR USD + 7.60%, 0.00% Floor) | | | 11.99 | % (a) | | 03/25/2050 | | | 20,983,426 | |
| 9,750,000 | | Federal Home Loan Mortgage Corporation, STACR REMIC Trust, Series 2020-HQA5-B2 (Secured Overnight Financing Rate 30 Day Average + 7.40%, 0.00% Floor) | | | 11.33 | % (a) | | 11/25/2050 | | | 8,881,576 | |
| 1,500,000 | | GS Mortgage-Backed Securities Trust, Series 2020-NQM1-B2 | | | 6.02 | % (a)(e) | | 09/27/2060 | | | 1,238,743 | |
| 8,000,000 | | Homeward Opportunities Fund Trust, Series 2020-2-B1 | | | 5.45 | % (a)(e) | | 05/25/2065 | | | 7,101,632 | |
| 710,684 | | Homeward Opportunities Fund Trust, Series 2020-BPL1-A2 | | | 5.44 | % (a)(k) | | 08/25/2025 | | | 711,552 | |
| 6,599,943 | | JP Morgan Alternative Loan Trust, Series 2007-A2-12A1 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 11.50% Cap) | | | 4.79 | % | | 06/25/2037 | | | 2,807,724 | |
| 4,102,000 | | New Residential Mortgage Loan Trust, Series 2020-NQM2-B1 | | | 4.14 | % (a)(e) | | 05/24/2060 | | | 3,149,496 | |
| 2,886,000 | | New Residential Mortgage Loan Trust, Series 2020-NQM2-B2 | | | 4.14 | % (a)(e) | | 05/24/2060 | | | 2,120,527 | |
| 4,000,000 | | Progress Residential Trust, Series 2019-SFR3-G | | | 4.12 | % (a) | | 09/17/2036 | | | 3,762,442 | |
| 4,569,106 | | TBW Mortgage Backed Pass Through Trust, Series 2007-2-A1A | | | 5.96 | % (e) | | 07/25/2037 | | | 1,472,122 | |
| 2,500,000 | | Verus Securitization Trust, Series 2020-2-B1 | | | 5.36 | % (a)(e) | | 05/25/2060 | | | 2,229,499 | |
| 5,000,000 | | Verus Securitization Trust, Series 2020-4-B2 | | | 5.60 | % (a)(e) | | 05/25/2065 | | | 3,621,273 | |
| 1,235,000 | | Verus Securitization Trust, Series 2020-INV1-B1 | | | 5.75 | % (a)(e) | | 03/25/2060 | | | 1,131,781 | |
| 3,300,000 | | Verus Securitization Trust, Series 2020-INV1-B2 | | | 6.00 | % (a)(e) | | 03/25/2060 | | | 2,944,928 | |
| 9,222,000 | | Vista Point Securitization Trust, Series 2020-1-B2 | | | 5.38 | % (a)(e) | | 03/25/2065 | | | 7,809,126 | |
| 3,396,000 | | Vista Point Securitization Trust, Series 2020-2-B2 | | | 5.16 | % (a)(e) | | 04/25/2065 | | | 2,842,208 | |
| | | | | | | | | | | | |
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $148,978,510) | | | 133,802,251 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
|
US Corporate Bonds - 20.3% | |
| 3,280,000 | | Air Methods Corporation | | | 8.00 | % (a) | | 05/15/2025 | | | 178,875 | |
| 5,130,000 | | Alliant Holdings Intermediate LLC | | | 6.75 | % (a) | | 10/15/2027 | | | 4,622,181 | |
| 7,425,000 | | Allied Universal Holdco LLC | | | 9.75 | % (a) | | 07/15/2027 | | | 6,475,714 | |
| 4,485,000 | | Artera Services LLC | | | 9.03 | % (a) | | 12/04/2025 | | | 3,743,495 | |
| 1,975,000 | | ASP Unifrax Holdings, Inc. | | | 7.50 | % (a) | | 09/30/2029 | | | 1,256,100 | |
| 2,485,000 | | BCPE Empire Holdings, Inc. | | | 7.63 | % (a) | | 05/01/2027 | | | 2,231,605 | |
| 535,000 | | Boxer Parent Company, Inc. | | | 7.13 | % (a) | | 10/02/2025 | | | 521,139 | |
| 4,000,000 | | Caesars Entertainment, Inc. | | | 8.13 | % (a) | | 07/01/2027 | | | 3,938,440 | |
| 595,000 | | Carnival Corporation | | | 7.63 | % (a) | | 03/01/2026 | | | 472,647 | |
| 5,995,000 | | Castle US Holding Corporation | | | 9.50 | % (a) | | 02/15/2028 | | | 2,386,759 | |
| 3,315,000 | | Cengage Learning, Inc. | | | 9.50 | % (a) | | 06/15/2024 | | | 3,166,604 | |
| 1,865,000 | | Clear Channel Outdoor Holdings, Inc. | | | 7.50 | % (a) | | 06/01/2029 | | | 1,372,910 | |
| 2,335,000 | | Cobra AcquisitionCo LLC | | | 6.38 | % (a) | | 11/01/2029 | | | 1,380,685 | |
| 2,490,000 | | Community Health Systems, Inc. | | | 6.88 | % (a) | | 04/15/2029 | | | 1,284,424 | |
| 405,000 | | Coty, Inc. | | | 6.50 | % (a) | | 04/15/2026 | | | 389,428 | |
| 1,365,000 | | CSI Compressco LP | | | 7.50 | % (a) | | 04/01/2025 | | | 1,278,432 | |
| 3,700,000 | | CVR Nitrogen Finance Corporation | | | 6.13 | % (a) | | 06/15/2028 | | | 3,324,110 | |
| 792,284 | | CWT Travel Group, Inc. | | | 8.50 | % (a) | | 11/19/2026 | | | 673,521 | |
| 3,895,000 | | Dealer Tire LLC | | | 8.00 | % (a) | | 02/01/2028 | | | 3,433,261 | |
| 1,500,000 | | DISH DBS Corporation | | | 5.75 | % (a) | | 12/01/2028 | | | 1,200,000 | |
| 5,583,000 | | Embarq Corporation | | | 8.00 | % | | 06/01/2036 | | | 2,608,406 | |
| 1,540,000 | | Endo Luxembourg Finance Company SARL | | | 6.13 | % (a)(g) | | 04/01/2029 | | | 1,171,129 | |
| 4,395,000 | | Endurance International Group Holdings, Inc. | | | 6.00 | % (a) | | 02/15/2029 | | | 3,026,836 | |
| 2,505,000 | | EQM Midstream Partners LP | | | 6.50 | % (a) | | 07/01/2027 | | | 2,398,537 | |
| 2,665,000 | | Ferrellgas LP | | | 5.88 | % (a) | | 04/01/2029 | | | 2,195,214 | |
| 800,000 | | Fertitta Entertainment LLC | | | 6.75 | % (a) | | 01/15/2030 | | | 646,780 | |
| 1,200,000 | | Frontier Communications Holdings LLC | | | 6.75 | % (a) | | 05/01/2029 | | | 994,356 | |
| 1,640,000 | | Full House Resorts, Inc. | | | 8.25 | % (a) | | 02/15/2028 | | | 1,453,958 | |
| 965,000 | | Hightower Holding LLC | | | 6.75 | % (a) | | 04/15/2029 | | | 811,149 | |
| 3,000,000 | | Illuminate Buyer LLC | | | 9.00 | % (a) | | 07/01/2028 | | | 2,516,554 | |
| 1,443,433 | | JetBlue Pass Through Trust - Class B | | | 8.00 | % | | 11/15/2027 | | | 1,411,516 | |
| 1,010,000 | | LBM Acquisition LLC | | | 6.25 | % (a) | | 01/15/2029 | | | 644,028 | |
| 855,000 | | LD Holdings Group LLC | | | 6.13 | % (a) | | 04/01/2028 | | | 518,553 | |
| 1,370,000 | | Lions Gate Capital Holdings LLC | | | 5.50 | % (a) | | 04/15/2029 | | | 796,103 | |
| 3,030,000 | | LSF9 Atlantis Holdings LLC | | | 7.75 | % (a) | | 02/15/2026 | | | 2,685,519 | |
| 2,550,000 | | McGraw-Hill Education, Inc. | | | 5.75 | % (a) | | 08/01/2028 | | | 2,146,679 | |
| 1,840,000 | | Metis Merger Sub LLC | | | 6.50 | % (a) | | 05/15/2029 | | | 1,547,040 | |
| 2,080,000 | | Minerva Merger Sub, Inc. | | | 6.50 | % (a) | | 02/15/2030 | | | 1,536,719 | |
| 3,005,000 | | NFP Corporation | | | 6.88 | % (a) | | 08/15/2028 | | | 2,483,569 | |
| 5,765,000 | | NGL Energy Operating LLC | | | 7.50 | % (a) | | 02/01/2026 | | | 5,143,079 | |
| 1,575,000 | | NuStar Logistics LP | | | 6.38 | % | | 10/01/2030 | | | 1,459,143 | |
| 250,000 | | Olympus Water US Holding Corporation | | | 6.25 | % (a) | | 10/01/2029 | | | 190,127 | |
| 650,000 | | Par Petroleum LLC | | | 12.88 | % (a) | | 01/15/2026 | | | 688,753 | |
| 780,000 | | Park River Holdings, Inc. | | | 5.63 | % (a) | | 02/01/2029 | | | 520,420 | |
| 1,435,000 | | PECF USS Intermediate Holding Corporation | | | 8.00 | % (a) | | 11/15/2029 | | | 934,171 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 1,250,000 | | Performance Food Group, Inc. | | | 6.88 | % (a) | | 05/01/2025 | | | 1,254,737 | |
| 3,835,000 | | PetSmart, Inc. | | | 7.75 | % (a) | | 02/15/2029 | | | 3,608,994 | |
| 7,250,000 | | Radiology Partners, Inc. | | | 9.25 | % (a) | | 02/01/2028 | | | 4,081,271 | |
| 200,000 | | Sabre Global, Inc. | | | 9.25 | % (a) | | 04/15/2025 | | | 199,575 | |
| 3,305,000 | | Sabre Global, Inc. | | | 7.38 | % (a) | | 09/01/2025 | | | 3,181,707 | |
| 2,635,000 | | SEG Holding LLC | | | 5.63 | % (a) | | 10/15/2028 | | | 2,484,858 | |
| 4,170,000 | | SWF Escrow Issuer Corporation | | | 6.50 | % (a) | | 10/01/2029 | | | 2,421,728 | |
| 3,410,000 | | TKC Holdings, Inc. | | | 10.50 | % (a) | | 05/15/2029 | | | 1,915,366 | |
| 885,000 | | TMS International Corporation | | | 6.25 | % (a) | | 04/15/2029 | | | 635,169 | |
| 780,000 | | TransDigm, Inc. | | | 8.00 | % (a) | | 12/15/2025 | | | 793,252 | |
| 4,798,000 | | Trident TPI Holdings, Inc. | | | 9.25 | % (a) | | 08/01/2024 | | | 4,593,420 | |
| 2,365,000 | | Triton Water Holdings, Inc. | | | 6.25 | % (a) | | 04/01/2029 | | | 1,900,136 | |
| 3,104,000 | | Triumph Group, Inc. | | | 8.88 | % (a) | | 06/01/2024 | | | 3,163,131 | |
| 6,300,000 | | Triumph Group, Inc. | | | 7.75 | % | | 08/15/2025 | | | 5,368,671 | |
| 3,590,000 | | Uber Technologies, Inc. | | | 8.00 | % (a) | | 11/01/2026 | | | 3,609,644 | |
| 1,500,000 | | Uber Technologies, Inc. | | | 7.50 | % (a) | | 09/15/2027 | | | 1,504,095 | |
| 1,785,000 | | United Natural Foods, Inc. | | | 6.75 | % (a) | | 10/15/2028 | | | 1,717,938 | |
| 2,460,000 | | Uniti Group LP | | | 6.50 | % (a) | | 02/15/2029 | | | 1,634,350 | |
| 2,845,000 | | Univision Communications, Inc. | | | 6.63 | % (a) | | 06/01/2027 | | | 2,750,930 | |
| 4,000,000 | | Verscend Escrow Corporation | | | 9.75 | % (a) | | 08/15/2026 | | | 3,927,440 | |
| 2,400,000 | | ViaSat, Inc. | | | 6.50 | % (a) | | 07/15/2028 | | | 1,804,435 | |
| 1,050,000 | | Vibrantz Technologies, Inc. | | | 9.00 | % (a) | | 02/15/2030 | | | 793,759 | |
| 2,165,000 | | Viking Cruises Ltd. | | | 13.00 | % (a) | | 05/15/2025 | | | 2,287,619 | |
| 2,375,000 | | Virtusa Corporation | | | 7.13 | % (a) | | 12/15/2028 | | | 1,813,367 | |
| 91,000 | | Weatherford International Ltd. | | | 11.00 | % (a) | | 12/01/2024 | | | 93,163 | |
| 1,255,000 | | Weatherford International Ltd. | | | 6.50 | % (a) | | 09/15/2028 | | | 1,232,084 | |
| 3,280,000 | | Weatherford International Ltd. | | | 8.63 | % (a) | | 04/30/2030 | | | 3,155,666 | |
| 2,540,000 | | Wheel Pros, Inc. | | | 6.50 | % (a) | | 05/15/2029 | | | 901,700 | |
| | | | | | | | | | | | |
Total US Corporate Bonds (Cost $185,461,985) | | | 146,686,873 | |
| | | | | | | | | | | | |
|
US Government and Agency Mortgage Backed Obligations - 2.4% | |
| 2,778,217 | | Federal Home Loan Mortgage Corporation REMICS, Series 3997-SA (-1 x 1 Month LIBOR USD + 6.50%, 0.00% Floor, 6.50% Cap) | | | 2.18 | % (i)(h) | | 02/15/2042 | | | 303,639 | |
| 2,951,872 | | Federal Home Loan Mortgage Corporation REMICS, Series 4091-VI (-1 x 1 Month LIBOR USD + 5.00%, 0.00% Floor, 5.00% Cap) | | | 0.88 | % (i)(h) | | 11/15/2040 | | | 170,293 | |
| 5,863,130 | | Federal Home Loan Mortgage Corporation REMICS, Series 4119-SC (-1 x 1 Month LIBOR USD + 6.15%, 0.00% Floor, 6.15% Cap) | | | 1.83 | % (i)(h) | | 10/15/2042 | | | 598,940 | |
| 3,204,778 | | Federal Home Loan Mortgage Corporation REMICS, Series 4643-SA (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | | | 1.68 | % (i)(h) | | 01/15/2047 | | | 318,317 | |
| 11,325,489 | | Federal Home Loan Mortgage Corporation REMICS, Series 4863-IA | | | 4.50 | % (h) | | 03/15/2045 | | | 1,473,119 | |
| 16,763,992 | | Federal Home Loan Mortgage Corporation REMICS, Series 5004-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 6.10%, 0.00% Floor, 6.10% Cap) | | | 2.17 | % (i)(h) | | 08/25/2050 | | | 2,375,977 | |
| 7,665,595 | | Federal Home Loan Mortgage Corporation, Series 313-S1 (-1 x 1 Month LIBOR USD + 5.90%, 0.00% Floor, 5.90% Cap) | | | 1.58 | % (i)(h) | | 09/15/2043 | | | 698,837 | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
| 8,076,924 | | Federal National Mortgage Association REMICS, Series 2012-124-SE (-1 x 1 Month LIBOR USD + 6.15%, 0.00% Floor, 6.15% Cap) | | | 1.76 | % (i)(h) | | 11/25/2042 | | | 793,068 | |
| 10,227,459 | | Federal National Mortgage Association REMICS, Series 2012-84-HS (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | | | 1.61 | % (i)(h) | | 08/25/2042 | | | 964,784 | |
| 5,709,038 | | Federal National Mortgage Association REMICS, Series 2017-69-ES (-1 x 1 Month LIBOR USD + 6.15%, 0.00% Floor, 6.15% Cap) | | | 1.76 | % (i)(h) | | 09/25/2047 | | | 591,912 | |
| 7,601,410 | | Federal National Mortgage Association REMICS, Series 2019-25-SB (-1 x 1 Month LIBOR USD + 6.05%, 0.00% Floor, 6.05% Cap) | | | 1.66 | % (i)(h) | | 06/25/2049 | | | 750,956 | |
| 45,375,612 | | Federal National Mortgage Association, Series 2019-M26-X1 | | | 0.62 | % (e)(h) | | 03/25/2030 | | | 1,383,688 | |
| 11,403,772 | | Government National Mortgage Association, Series 2019-22-SA (-1 x 1 Month LIBOR USD + 5.60%, 0.00% Floor, 5.60% Cap) | | | 1.25 | % (i)(h) | | 02/20/2045 | | | 1,154,204 | |
| 6,230,719 | | Government National Mortgage Association, Series 2020-21-NS (-1 x 1 Month LIBOR USD + 6.05%, 0.00% Floor, 6.05% Cap) | | | 1.70 | % (i)(h) | | 04/20/2048 | | | 496,490 | |
| 7,526,448 | | Government National Mortgage Association, Series 2020-47-SL (-1 x 1 Month LIBOR USD + 5.37%, 0.00% Floor, 5.37% Cap) | | | 1.02 | % (i)(h) | | 07/20/2044 | | | 472,532 | |
| 13,500,443 | | Government National Mortgage Association, Series 2020-61-SU (-1 x 1 Month LIBOR USD + 5.60%, 0.00% Floor, 5.60% Cap) | | | 1.27 | % (i)(h) | | 07/16/2045 | | | 1,030,436 | |
| 5,031,073 | | Government National Mortgage Association, Series 2020-77-SU (-1 x 1 Month LIBOR USD + 6.10%, 0.00% Floor, 6.10% Cap) | | | 1.75 | % (i)(h) | | 09/20/2047 | | | 531,559 | |
| 27,433,580 | | Government National Mortgage Association, Series 2021-97-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 0.00% Floor, 2.60% Cap) | | | 0.00 | % (i)(h) | | 06/20/2051 | | | 176,165 | |
| 31,516,046 | | Government National Mortgage Association, Series 2021-H04-BI | | | 1.85 | % (e)(h) | | 02/01/2071 | | | 1,394,554 | |
| 33,029,471 | | Government National Mortgage Association, Series 2021-H07-AI | | | 0.01 | % (e)(h) | | 05/20/2071 | | | 1,271,945 | |
| | | | | | | | | | | | |
Total US Government and Agency Mortgage Backed Obligations (Cost $32,485,984) | | | 16,951,415 | |
| | | | | | | | | | | | |
|
Common Stocks - 0.0% (n) | |
| 23,484 | | CWT Travel Holdings, Inc. (b)(j) | | | | | | | | | 158,517 | |
| | | | | | | | | | | | |
Total Common Stocks (Cost $481,305) | | | 158,517 | |
| | | | | | | | | | | | |
|
Escrow Notes - 0.0% (n) | |
| 500,000 | | Alpha Holdings S.A. de C.V. (b)(j) | | | | | | | | | — | |
| 500,000 | | Alpha Holdings S.A. de C.V. (b)(j) | | | | | | | | | — | |
| 3,500,000 | | Alpha Holdings S.A. de C.V. (b)(j) | | | | | | | | | — | |
| 3,500,000 | | Alpha Holdings S.A. de C.V. (b)(j) | | | | | | | | | — | |
| | | | | | | | | | | | |
Total Escrow Notes (Cost $-) | | | | | | — | |
| | | | | | | | | | | | |
|
Preferred Stocks - 1.1% | |
| 400,000 | | AGNC Investment Corporation, Series F (3 Month LIBOR USD + 4.70%) | | | 6.13 | % (f) | | 04/15/2025 | | | 7,712,000 | |
| 10,223 | | Riverbed Technologies, Inc. (b)(j) | | | | | | | | | 7,718 | |
| | | | | | | | | | | | |
Total Preferred Stocks (Cost $8,891,565) | | | | | | 7,719,718 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Principal Amount $/Shares | | Security Description | | Rate | | | Maturity | | Value $ | |
|
Real Estate Investment Trusts - 1.0% | |
| 650,000 | | AGNC Investment Corporation | | | | | �� | | | | 6,727,500 | |
| 30,000 | | Chimera Investment Corporation (3 Month LIBOR USD + 5.38%) | | | 8.00 | % (f) | | 03/30/2024 | | | 564,900 | |
| | | | | | | | | | | | |
Total Real Estate Investment Trusts (Cost $9,077,735) | | | | | | 7,292,400 | |
| | | | | | | | | | | | |
|
Short Term Investments - 1.5% | |
| 3,503,008 | | First American Government Obligations Fund - Class U | | | 4.10 | % (l) | | | | | 3,503,008 | |
| 3,503,008 | | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | | | 4.11 | % (l) | | | | | 3,503,008 | |
| 3,503,008 | | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | | | 4.11 | % (l) | | | | | 3,503,008 | |
| | | | | | | | | | | | |
Total Short Term Investments (Cost $10,509,024) | | | 10,509,024 | |
| | | | | | | | | | | | |
| |
Total Investments - 125.5% (Cost $1,098,847,252) (m) | | | 905,429,828 | |
| Liabilities in Excess of Other Assets - (25.5)% | | | (184,024,518 | ) |
| | | | | | | | | | | | |
NET ASSETS - 100.0% | | $ | 721,405,310 | |
| | | | | | | | | | | | |
| | (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) | Value determined using significant unobservable inputs. | |
| | (c) | 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. | |
| | (d) | 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. | |
| | (e) | 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. | |
| | (f) | Perpetual maturity. The date disclosed is the next call date of the security. | |
| | (g) | Security is in default or has failed to make a scheduled payment. Income is not being accrued. | |
| | (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) | Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end. | |
| | (l) | Seven-day yield as of period end | |
| | (m) | Under the Fund’s credit agreement, the lender, through its agent, has 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. | |
| | 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 | | | 29.0% | |
US Corporate Bonds | | | 20.3% | |
Foreign Corporate Bonds | | | 18.9% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 18.5% | |
Collateralized Loan Obligations | | | 17.7% | |
Bank Loans | | | 8.6% | |
Asset Backed Obligations | | | 3.9% | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 2.6% | |
US Government and Agency Mortgage Backed Obligations | | | 2.4% | |
Short Term Investments | | | 1.5% | |
Preferred Stocks | | | 1.1% | |
Real Estate Investment Trusts | | | 1.0% | |
Common Stocks | | | 0.0% | (n) |
Escrow Notes | | | 0.0% | (n) |
Other Assets and Liabilities | | | (25.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
| | (n) | Represents less than 0.05% of net assets | |
INVESTMENT BREAKDOWN as a % of Net Assets:
| | | | |
Non-Agency Commercial Mortgage Backed Obligations | | | 29.0% | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 18.5% | |
Collateralized Loan Obligations | | | 17.7% | |
Energy | | | 7.4% | |
Asset Backed Obligations | | | 3.9% | |
Commercial Services | | | 3.3% | |
Electronics/Electric | | | 3.3% | |
Real Estate | | | 3.1% | |
Technology | | | 2.9% | |
Media | | | 2.9% | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 2.6% | |
Utilities | | | 2.6% | |
Aerospace & Defense | | | 2.6% | |
US Government and Agency Mortgage Backed Obligations | | | 2.4% | |
Chemicals/Plastics | | | 2.2% | |
Consumer Products | | | 2.1% | |
Telecommunications | | | 1.6% | |
Transportation | | | 1.5% | |
Short Term Investments | | | 1.5% | |
Retailers (other than Food/Drug) | | | 1.3% | |
Healthcare | | | 1.2% | |
Mining | | | 1.2% | |
Finance | | | 1.2% | |
Business Equipment and Services | | | 1.1% | |
Automotive | | | 1.1% | |
Insurance | | | 1.0% | |
Financial Intermediaries | | | 0.9% | |
Hotels/Motels/Inns and Casinos | | | 0.8% | |
Containers and Glass Products | | | 0.7% | |
Food Products | | | 0.7% | |
Industrial Equipment | | | 0.5% | |
Leisure | | | 0.5% | |
Diversified Manufacturing | | | 0.4% | |
Chemical Products | | | 0.4% | |
Food/Drug Retailers | | | 0.3% | |
Construction | | | 0.3% | |
Environmental Control | | | 0.3% | |
Building and Development (including Steel/Metals) | | | 0.2% | |
Pharmaceuticals | | | 0.2% | |
Food Service | | | 0.1% | |
Other Assets and Liabilities | | | (25.5)% | |
| | | | |
| | | 100.0% | |
| | | | |
Notes to Schedule of Investments
December 31, 2022 (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.
The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated the Adviser as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.
The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of December, 31, 2022:
| | | | |
Category | | | |
Investments in Securities | | | | |
Level 1 | | | | |
Money Market Funds | | $ | 10,509,024 | |
Preferred Stocks | | | 7,712,000 | |
Real Estate Investment Trusts | | | 7,292,400 | |
| | | | |
Total Level 1 | | | 25,513,424 | |
| | | | |
Category | | | |
Level 2 | | | | |
Non-Agency Commercial Mortgage Backed Obligations | | | 208,899,698 | |
US Corporate Bonds | | | 146,686,873 | |
Foreign Corporate Bonds | | | 136,496,678 | |
Non-Agency Residential Collateralized Mortgage Obligations | | | 133,802,251 | |
Collateralized Loan Obligations | | | 125,080,584 | |
Bank Loans | | | 61,894,954 | |
Asset Backed Obligations | | | 19,429,625 | |
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | | | 19,014,438 | |
US Government and Agency Mortgage Backed Obligations | | | 16,951,415 | |
| | | | |
Total Level 2 | | | 868,256,516 | |
Level 3 | | | | |
Asset Backed Obligations | | | 8,879,153 | |
Collateralized Loan Obligations | | | 2,614,500 | |
Common Stocks | | | 158,517 | |
Preferred Stocks | | | 7,718 | |
Foreign Corporate Bonds | | | — | |
| | | | |
Total Level 3 | | | 11,659,888 | |
| | | | |
Total | | $ | 905,429,828 | |
| | | | |
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
9/30/2022 | | | 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
12/31/2022 | | | Net Change in Unrealized Appreciation (Depreciation) on securities held at 12/31/2022(c) | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed Obligations | | $ | 12,701,366 | | | $ | — | | | $ | (3,867,078 | ) | | $ | — | | | $ | 44,865 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,879,153 | | | $ | (3,853,130 | ) |
Collateralized Loan Obligations | | | 2,923,176 | | | | — | | | | (308,676 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,614,500 | | | | (308,676 | ) |
Common Stocks | | | 234,840 | | | | — | | | | (76,323 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 158,517 | | | | (76,323 | ) |
Preferred Stocks | | | 10,223 | | | | — | | | | (2,505 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 7,718 | | | | (2,505 | ) |
Foreign Corporate Bonds | | | — | | | | 16,515 | | | | (19,083 | ) | | | — | | | | — | | | | 2,568 | | | | — | | | | — | | | | — | | | | — | |
Escrow Notes | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 15,869,605 | | | $ | 16,515 | | | $ | (4,273,665 | ) | | $ | — | | | $ | 44,865 | | | $ | 2,568 | | | $ | — | | | $ | — | | | $ | 11,659,888 | | | $ | (4,240,634 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 December 31, 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 12/31/2022 | | | Valuation
Techniques | | Unobservable
Input | | Unobservable Input Values
(Weighted Average)(e) | | | Impact to valuation from an increase to input |
Asset Backed Obligations | | $ | 8,879,153 | | | Market Comparables | | Market Quotes | | | $43.56 - $22,330.94 ($4,593.11) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Collateralized Loan Obligations | | $ | 2,614,500 | | | Market Comparables | | Market Quotes | | | $52.29 ($52.29) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Common Stocks | | $ | 158,517 | | | Market Comparables | | Market Quotes | | | $6.75 ($6.75) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Preferred Stocks | | $ | 7,718 | | | Market Comparables | | Market Quotes | | | $0.76 ($0.76) | | | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
Foreign Corporate Bonds | | $ | — | | | Income Approach | | Expected Value | | | $0.00 ($0.00) | | | Significant changes in the expected value would have resulted in direct changes in the fair value of the security |
Escrow Notes | | $ | — | | | Income Approach | | Expected Value | | | $0.00 ($0.00) | | | Significant changes in the expected value 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. |
