OAKTREE DIVERSIFIED INCOME FUND INC | |||||||
Consolidated Schedule of Investments | |||||||
March 31, 2022 (Unaudited) | |||||||
Description | Country | Spread Above Index | Rate | Maturity Date | Principal Amount (000s) | Value (a) | |
SENIOR LOANS - 30.4% (b) (v) | |||||||
Aerospace & Defense - 1.7% | |||||||
AI Convoy Luxembourg Sarl First Lien Tranche B Term Loan | Luxembourg | 6M EURIBOR + 3.50% | 3.50% | 01/18/27 | EUR 240 | $ 261,810 | |
Cobham Ultra US Co-Borrower LLC First Lien Tranche B Term Loan | United States | 1M US LIBOR + 3.75% | 4.25% | 11/16/28 | 1,000 | 990,835 | |
Vertex Aerospace Services Corp. First Lien Tranche B Term Loan | United States | 1M US LIBOR + 4.00% | 4.75% | 11/30/28 | 750 | 748,598 | |
WP CPP Holdings LLC First Lien Tranche B Term Loan | United States | 3M US LIBOR + 3.75% | 4.75% | 04/30/25 | 498 | 472,661 | |
Total Aerospace & Defense | 2,473,904 | ||||||
Beverages - 0.5% | |||||||
Triton Water Holdings, Inc. First Lien Tranche B Term Loan | United States | 3M US LIBOR + 3.50% | 4.51% | 03/31/28 | 746 | 729,316 | |
Chemicals - 0.8% | |||||||
INEOS Enterprises Holdings II Ltd. First Lien Tranche B Term Loan | United Kingdom | 3M EURIBOR + 3.25% | 3.25% | 08/28/26 | EUR 250 | 273,249 | |
INEOS Finance PLC First Lien Tranche B Term Loan | Luxembourg | 3M EURIBOR + 2.00% | 2.50% | 04/01/24 | EUR 250 | 274,681 | |
INEOS Quattro First Lien Tranche B Term Loan | United Kingdom | 1M EURIBOR + 2.75% | 2.75% | 01/29/26 | EUR 250 | 268,769 | |
Timber Servicios Empresariales SA First Lien Tranche B Term Loan | Spain | 6M EURIBOR + 4.75% | 4.25% | 02/19/29 | EUR 300 | 322,855 | |
Total Chemicals | 1,139,554 | ||||||
Commercial Services & Supplies - 3.2% | |||||||
Access CIG LLC First Lien Term Loan | United States | 1M US LIBOR + 3.75% | 3.96% | 02/27/25 | 995 | 981,466 | |
Allied Universal Holdco LLC First Lien Tranche B Term Loan | United States | 1M US LIBOR + 3.75% | 4.25% | 05/12/28 | 995 | 981,050 | |
Broom Holdings Bidco Ltd. First Lien Tranche B Term Loan | Ireland | 6M EURIBOR + 3.75% | 3.75% | 08/24/28 | EUR 250 | 274,274 | |
Filtration Group Corp. First Lien Tranche B Term Loan | United States | 3M EURIBOR + 3.50% | 3.50% | 03/31/25 | EUR 249 | 271,798 | |
Freshworld Holding IV GmbH First Lien Tranche B Term Loan | Germany | 6M EURIBOR + 3.75% | 3.75% | 10/02/26 | EUR 250 | 274,382 | |
Garda World Security Corp. First Lien Tranche B Term Loan | Canada | 1M US LIBOR + 4.25% | 4.71% | 10/30/26 | 1,000 | 990,360 | |
PECF USS Intermediate Holding III Corp. First Lien Tranche B Term Loan | United States | 3M US LIBOR + 4.25% | 4.76% | 11/30/28 | 998 | 989,934 | |
Total Commercial Services & Supplies | 4,763,264 | ||||||
Construction & Engineering - 1.4% | |||||||
ADB Companies LLC First Lien Term Loan (f) | United States | 3M US LIBOR + 6.25% | 7.25% | 12/18/25 | 1,324 | 1,311,074 | |
Tiger Acquisition LLC First Lien Tranche B Term Loan | United States | 3M US LIBOR + 3.25% | 3.75% | 06/01/28 | 750 | 721,875 | |
Total Construction & Engineering | 2,032,949 | ||||||
Construction Materials - 0.3% | |||||||
Hunter Douglas, Inc. First Lien Tranche B Term Loan | Netherlands | 3M SOFR + 3.50% | 4.00% | 02/09/29 | 500 | 490,783 | |
Consumer Finance - 0.3% | |||||||
American Auto Auction Group LLC Second Lien Term Loan | United States | 3M SOFR + 8.75% | 9.65% | 12/30/28 | 483 | 475,755 | |
Containers & Packaging - 0.9% | |||||||
Clydesdale Acquisition Holdings, Inc. First Lien Term Loan | United States | 1M SOFR + 4.25% | 5.05% | 04/13/29 | 350 | 344,750 | |
Proampac PG Borrower LLC First Lien Tranche B Term Loan | United States | 3M US LIBOR + 3.75% | 4.50% | 11/03/25 | 995 | 975,349 | |
Total Containers & Packaging | 1,320,099 | ||||||
Diversified Consumer Services - 1.6% | |||||||
AI Aqua Merger Sub, Inc. First Lien Tranche B Term Loan | United States | 1M SOFR + 4.00% | 4.50% | 07/31/28 | 407 | 403,716 | |
AI Aqua Merger Sub, Inc. First Lien Delay Draw Term Loan | United States | 1M SOFR + 4.00% | 4.50% | 07/31/28 | 93 | 91,754 | |
Obol France 3 SAS First Lien Tranche B Term Loan | France | 3M EURIBOR + 4.75% | 4.75% | 12/09/25 | EUR 250 | 262,365 | |
PetVet Care Centers LLC First Lien Tranche B3 Term Loan | United States | 1M US LIBOR + 3.50% | 4.25% | 02/14/25 | 497 | 495,740 | |
PetVet Care Centers LLC Second Lien Term Loan | United States | 1M US LIBOR + 6.25% | 6.46% | 01/30/26 | 500 | 498,440 | |
Springer Nature Deutschland GmbH First Lien Tranche B17 Term Loan | Germany | 1M EURIBOR + 2.75% | 3.25% | 08/14/26 | EUR 250 | 273,431 | |
Verisure Holding AB First Lien Tranche B Term Loan | Sweden | 6M EURIBOR + 3.25% | 3.25% | 03/27/28 | EUR 250 | 270,734 | |
Total Diversified Consumer Services | 2,296,180 | ||||||
Diversified Financial Services - 0.9% | |||||||
Apex Group Treasury Ltd. First Lien Tranche B Term Loan | Bermuda | 3M EURIBOR + 4.00% | 4.00% | 07/27/28 | EUR 250 | 275,131 | |
Apex Group Treasury LLC First Lien Tranche B Term Loan | United States | 1M LIBOR + 3.75% | 4.25% | 07/27/28 | 750 | 744,848 | |
Nexus Buyer LLC Second Lien Term Loan | United States | 1M US LIBOR + 6.25% | 6.75% | 11/01/29 | 376 | 373,180 | |
Total Diversified Financial Services | 1,393,159 | ||||||
Diversified Telecommunication Services - 0.5% | |||||||
Altice France SA First Lien Tranche B Term Loan | France | 3M EURIBOR + 3.00% | 3.00% | 01/06/26 | EUR 239 | 259,035 | |
Intelsat Jackson Holdings SA First Lien Tranche EXIT Term Loan | Luxembourg | 6M SOFR + 4.25% | 4.75% | 12/08/28 | 499 | 491,463 | |
Total Diversified Telecommunication Services | 750,498 | ||||||
Electronic Equipment, Instruments & Components - 0.7% | |||||||
LTI Holdings, Inc. First Lien Tranche B Term Loan | United States | 1M US LIBOR + 3.50% | 3.96% | 09/06/25 | 995 | 974,118 | |
Energy Equipment & Services - 0.5% | |||||||
Artera Services LLC First Lien Term Loan | United States | 3M US LIBOR + 3.50% | 4.51% | 03/06/25 | 746 | 701,653 | |
Food & Staples Retailing - 0.2% | |||||||
Bellis Acquisition Company PLC First Lien Tranche B Term Loan | United Kingdom | 3M EURIBOR + 3.50% | 2.75% | 02/16/26 | EUR 250 | 273,139 | |
Food Products - 0.7% | |||||||
Shearer's Foods LLC First Lien Tranche B Term Loan | United States | 1M US LIBOR + 3.50% | 4.25% | 09/23/27 | 995 | 968,287 | |
Health Care Equipment & Supplies - 0.2% | |||||||
Auris Luxembourg III Sarl First Lien Tranche B1 Term Loan | Denmark | 6M EURIBOR + 4.00% | 4.00% | 07/24/25 | EUR 250 | 275,701 | |
Health Care Providers & Services - 1.5% | |||||||
Baart Programs, Inc. First Lien Delay Draw Term Loan | United States | 1M US LIBOR + 5.00% | 6.00% | 06/11/27 | 722 | 372,698 | |
Baart Programs, Inc. Second Lien Delay Draw Term Loan | United States | 3M US LIBOR + 8.50% | 9.50% | 06/11/28 | 1,246 | 398,139 | |
HomeVi SASU First Lien Tranche B Term Loan | France | 3M EURIBOR + 4.00% | 4.00% | 10/31/26 | EUR 250 | 272,157 | |
Nidda Healthcare Holding GmbH First Lien Tranche F Term Loan | Germany | 3M EURIBOR + 3.50% | 3.50% | 08/21/26 | EUR 250 | 265,443 | |
US Renal Care, Inc. First Lien Tranche B Term Loan | United States | 3M US LIBOR + 5.00% | 6.00% | 06/26/26 | 997 | 920,147 | |
Total Health Care Providers & Services | 2,228,584 | ||||||
Health Care Technology - 2.2% | |||||||
Azalea Topco, Inc. First Lien Term Loan | United States | 3M SOFR + 3.75% | 4.50% | 07/24/26 | 500 | 495,938 | |
MedAssets Software Intermediate Holdings, Inc. Second Lien Term Loan | United States | 6M US LIBOR + 6.75% | 7.25% | 11/19/29 | 2,082 | 2,057,016 | |
Polaris Newco LLC First Lien Tranche B Term Loan | United States | 1M US LIBOR + 4.00% | 4.50% | 06/02/28 | 399 | 396,653 | |
Solera LLC First Lien Tranche B Term Loan | United States | 3W EURIBOR + 4.00% | 4.00% | 06/02/28 | EUR 249 | 274,302 | |
Total Health Care Technology | 3,223,909 | ||||||
Hotels, Restaurants & Leisure - 1.4% | |||||||
Alterra Mountain Co First Lien Tranche B Term Loan | United States | 1M US LIBOR + 3.50% | 4.00% | 08/17/28 | 937 | 931,288 | |
Flynn Restaurant Group LP First Lien Tranche B Term Loan | United States | 1M US LIBOR + 4.25% | 4.75% | 11/22/28 | 998 | 987,111 | |
Hurtigruten Group AS First Lien Tranche B Term Loan | Norway | 6M EURIBOR + 4.00% | 4.00% | 02/07/25 | EUR 200 | 199,987 | |
Total Hotels, Restaurants & Leisure | 2,118,386 | ||||||
Insurance - 0.7% | |||||||
HUB International Ltd. First Lien Tranche B3 Term Loan | United States | 3M US LIBOR + 3.25% | 4.00% | 04/25/25 | 995 | 989,987 | |
Leisure Products - 0.3% | |||||||
Gibson Brands, Inc. First Lien Term Loan | United States | 3M US LIBOR + 5.00% | 5.75% | 08/11/28 | 399 | 392,516 | |
Machinery - 0.4% | |||||||
Delachaux Group SA First Lien Tranche B1 Term Loan | France | 3M EURIBOR + 3.75% | 3.75% | 04/16/26 | EUR 241 | 266,211 | |
Restaurant Technologies, Inc. First Lien Tranche B Term Loan | United States | 3M SOFR + 4.25% | 4.25% | 03/17/29 | 350 | 347,813 | |
Total Machinery | 614,024 | ||||||
Media - 0.6% | |||||||
Directv Financing LLC First Lien Term Loan | United States | 1M US LIBOR + 5.00% | 5.75% | 08/02/27 | 955 | 955,186 | |
Metals & Mining - 1.1% | |||||||
PMHC II, Inc. First Lien Term Loan | United States | 3M SOFR + 4.25% | 4.75% | 03/30/29 | 750 | 717,499 | |
SCIH Salt Holdings, Inc. First Lien Tranche B Term Loan | United States | 6M US LIBOR + 4.00% | 4.75% | 03/16/27 | 994 | 979,540 | |
Total Metals & Mining | 1,697,039 | ||||||
Multiline Retail - 0.2% | |||||||
Amer Sports Holding Oy First Lien Tranche B Term Loan | Finland | 6M EURIBOR + 4.50% | 4.50% | 03/30/26 | EUR 250 | 276,780 | |
Oil, Gas & Consumable Fuels - 0.7% | |||||||
Parkway Generation LLC First Lien Tranche B Term Loan | United States | 1M US LIBOR + 4.75% | 5.50% | 11/06/28 | 877 | 860,746 | |
Parkway Generation LLC First Lien Tranche C Term Loan | United States | 1M US LIBOR + 4.75% | 5.50% | 11/06/28 | 123 | 120,504 | |
Total Oil, Gas & Consumable Fuels | 981,250 | ||||||
Personal Products - 0.2% | |||||||
Olaplex, Inc. First Lien Tranche B Term Loan | United States | 1M SOFR + 3.75% | 4.80% | 02/07/28 | 250 | 249,688 | |
Pharmaceuticals - 0.4% | |||||||
Antigua Bidco Ltd. First Lien Tranche B Term Loan | United Kingdom | 3M EURIBOR + 4.00% | 4.00% | 08/07/26 | EUR 250 | 273,511 | |
Cheplapharm Arzneimittel GmbH First Lien Tranche B Term Loan | Germany | 6M EURIBOR + 4.00% | 4.00% | 02/09/29 | EUR 250 | 275,082 | |
Total Pharmaceuticals | 548,593 | ||||||
Software - 5.4% | |||||||
BYJU's Alpha, Inc. First Lien Tranche B Term Loan | India | 3M US LIBOR + 5.50% | 6.25% | 11/05/26 | 449 | 445,089 | |
ION Corporate Solutions Finance Sarl First Lien Tranche B Term Loan | Luxembourg | 3M EURIBOR + 3.75% | 3.75% | 03/13/28 | EUR 250 | 274,750 | |
Ivanti Software, Inc. First Lien Tranche B Term Loan | United States | 3M US LIBOR + 4.00% | 4.25% | 12/01/27 | 2,000 | 1,976,250 | |
LogMeIn, Inc. First Lien Tranche B Term Loan | United States | 1M US LIBOR + 4.75% | 5.21% | 08/31/27 | 1,767 | 1,739,597 | |
McAfee Corp. First Lien Tranche B Term Loan | United States | 1M SOFR + 4.00% | 4.50% | 02/02/29 | 500 | 497,188 | |
Mitchell International, Inc. First Lien Tranche B Term Loan | United States | 3M US LIBOR + 3.75% | 4.25% | 10/02/28 | 1,000 | 985,400 | |
McAfee Corp. First Lien Tranche B Term Loan | United States | 1M EURIBOR + 4.25% | 4.25% | 02/02/29 | EUR 250 | 275,814 | |
Sitel Group SA First Lien Tranche B Term Loan | United States | 3M EURIBOR + 3.75% | 3.75% | 08/28/28 | EUR 250 | 275,502 | |
Skopima Consilio Parent LLC First Lien Term Loan | United States | 1M US LIBOR + 4.00% | 4.50% | 05/31/28 | 995 | 985,204 | |
UKG, Inc., Second Lien Term Loan | United States | 1M US LIBOR + 5.25% | 5.75% | 05/03/27 | 500 | 497,735 | |
Total Software | 7,952,529 | ||||||
Technology Hardware, Storage & Peripherals - 0.9% | |||||||
Castle US Holding Corp. First Lien Tranche B Term Loan | United States | 3M EURIBOR + 3.75% | 3.75% | 01/29/27 | EUR 249 | 270,733 | |
Castle US Holding Corp. First Lien Tranche B Term Loan | United States | 1M US LIBOR + 4.00% | 4.75% | 01/29/27 | 998 | 990,419 | |
Total Technology Hardware, Storage & Peripherals | 1,261,152 | ||||||
Total SENIOR LOANS (Cost $45,136,877) | 44,547,982 | ||||||
CORPORATE BONDS - 32.3% | |||||||
Aerospace & Defense - 0.5% | |||||||
Bombardier, Inc. (e) | Canada | 7.13% | 06/15/26 | 240 | 235,492 | ||
TransDigm, Inc. | United States | 5.50% | 11/15/27 | 360 | 357,748 | ||
TransDigm, Inc. (e) | United States | 6.25% | 03/15/26 | 95 | 97,648 | ||
Total Aerospace & Defense | 690,888 | ||||||
Airlines - 0.4% | |||||||
Azul Investments LLP | Brazil | 7.25% | 06/15/26 | 510 | 430,557 | ||
Hawaiian Brand Intellectual Property Ltd. (e) | United States | 5.75% | 01/20/26 | 150 | 150,284 | ||
Total Airlines | 580,841 | ||||||
Auto Components - 0.2% | |||||||
Dana Financing Luxembourg Sarl | United States | 3.00% | 07/15/29 | EUR 100 | 101,065 | ||
Grupo Antolin-Irausa SA | Spain | 3.38% | 04/30/26 | EUR 100 | 97,139 | ||
Renk AG/Frankfurt am Main | Germany | 5.75% | 07/15/25 | EUR 100 | 111,533 | ||
Total Auto Components | 309,737 | ||||||
Beverages - 0.1% | |||||||
Primo Water Holdings, Inc. | Canada | 3.88% | 10/31/28 | EUR 100 | 103,346 | ||
Building Products - 0.1% | |||||||
Standard Industries, Inc. | United States | 2.25% | 11/21/26 | EUR 100 | 103,912 | ||
Chemicals - 1.3% | |||||||
Braskem Idesa SAPI | Mexico | 6.99% | 02/20/32 | 400 | 392,512 | ||
Ctec II GmbH, Series Reg S (g) | Germany | 5.25% | 02/15/30 | EUR 130 | 132,846 | ||
Diamond BC BV (e) | United States | 4.63% | 10/01/29 | 245 | 220,355 | ||
EverArc Escrow Sarl (e) | United States | 5.00% | 10/30/29 | 225 | 206,016 | ||
INEOS Finance PLC | Luxembourg | 2.88% | 05/01/26 | EUR 100 | 105,664 | ||
INEOS Quattro Finance 1 PLC | United Kingdom | 3.75% | 07/15/26 | EUR 100 | 104,312 | ||
Nufarm Australia Ltd. (e) | Australia | 5.00% | 01/27/30 | 445 | 439,317 | ||
Olympus Water US Holding Corp. (e) | United States | 4.25% | 10/01/28 | 280 | 254,856 | ||
Olympus Water US Holding Corp. (e) | United States | 6.25% | 10/01/29 | 60 | 53,215 | ||
Total Chemicals | 1,909,093 | ||||||
Commercial Services & Supplies - 1.9% | |||||||
Allied Universal Holdco LLC (e) | United States | 4.63% | 06/01/28 | 405 | 383,225 | ||
GFL Environmental, Inc. (e) | Canada | 4.75% | 06/15/29 | 265 | 252,407 | ||
Hurricane Finance PLC | United Kingdom | 8.00% | 10/15/25 | GBP 100 | 133,434 | ||
Iron Mountain, Inc. (e) | United States | 5.00% | 07/15/28 | 435 | 424,858 | ||
LABL, Inc. (e) | United States | 5.88% | 11/01/28 | 445 | 418,022 | ||
Paprec Holding SA | France | 3.50% | 07/01/28 | EUR 100 | 105,670 | ||
Prime Security Services Borrower LLC (e) | United States | 6.25% | 01/15/28 | 485 | 475,407 | ||
TMS International Corp. (e) | United States | 6.25% | 04/15/29 | 165 | 157,065 | ||
WASH Multifamily Acquisition, Inc. (e) | United States | 5.75% | 04/15/26 | 430 | 431,778 | ||
Total Commercial Services & Supplies | 2,781,866 | ||||||
Communications Equipment - 0.3% | |||||||
CommScope Technologies LLC (e) | United States | 6.00% | 06/15/25 | 260 | 246,555 | ||
CommScope, Inc. (e) | United States | 4.75% | 09/01/29 | 75 | 69,179 | ||
CommScope, Inc. (e) | United States | 6.00% | 03/01/26 | 95 | 96,216 | ||
Total Communications Equipment | 411,950 | ||||||
Construction & Engineering - 0.5% | |||||||
Great Lakes Dredge & Dock Corp. (e) | United States | 5.25% | 06/01/29 | 340 | 325,122 | ||
Pike Corp. (e) | United States | 5.50% | 09/01/28 | 440 | 415,461 | ||
Total Construction & Engineering | 740,583 | ||||||
Construction Materials - 0.1% | |||||||
Cemex SAB de CV (v) | Mexico | 5 Year CMT Rate + 4.53% | 5.13% | 09/08/70 | 200 | 196,579 | |
Consumer Finance - 0.1% | |||||||
FirstCash, Inc. (e) | United States | 5.63% | 01/01/30 | 220 | 211,638 | ||
Containers & Packaging - 0.7% | |||||||
ARD Finance SA (e) | Luxembourg | 6.50% | 06/30/27 | 260 | 238,209 | ||
Graham Packaging Company, Inc. (e) | United States | 7.13% | 08/15/28 | 285 | 259,193 | ||
Intelligent Packaging Limited Finco, Inc. (e) | Canada | 6.00% | 09/15/28 | EUR 435 | 429,563 | ||
Trivium Packaging Finance BV | Netherlands | 3.75% | 08/15/26 | EUR 100 | 108,663 | ||
Total Containers & Packaging | 1,035,628 | ||||||
Diversified Consumer Services - 0.2% | |||||||
AA Bond Company Ltd. | United Kingdom | 6.50% | 01/31/26 | GBP 100 | 129,038 | ||
Verisure Midholding AB | Sweden | 5.25% | 02/15/29 | EUR 100 | 102,405 | ||
Total Diversified Consumer Services | 231,443 | ||||||
Diversified Telecommunication Services - 1.9% | |||||||
Altice Financing SA | Luxembourg | 3.00% | 01/15/28 | EUR 100 | 97,771 | ||
Altice France SA | France | 4.13% | 01/15/29 | EUR 100 | 100,631 | ||
Consolidated Communications, Inc. (e) | United States | 6.50% | 10/01/28 | 380 | 351,082 | ||
eircom Finance DAC | Ireland | 3.50% | 05/15/26 | EUR 100 | 109,373 | ||
Frontier Communications Holdings LLC (e) | United States | 5.00% | 05/01/28 | 290 | 278,755 | ||
Frontier Communications Holdings LLC (e) | United States | 6.75% | 05/01/29 | 155 | 149,014 | ||
Iliad Holding SASU | France | 5.63% | 10/15/28 | EUR 200 | 221,295 | ||
Iliad Holding SASU (e) | France | 6.50% | 10/15/26 | 360 | 361,444 | ||
Lorca Telecom Bondco SA | Spain | 4.00% | 09/18/27 | EUR 100 | 106,935 | ||
Telecom Argentina SA | Argentina | 8.00% | 07/18/26 | 1,000 | 954,000 | ||
Ziggo Bond Company BV | Netherlands | 3.38% | 02/28/30 | EUR 100 | 98,109 | ||
Total Diversified Telecommunication Services | 2,828,409 | ||||||
Electric Utilities - 0.1% | |||||||
PG&E Corp. | United States | 5.00% | 07/01/28 | 235 | 227,410 | ||
Electrical Equipment - 0.3% | |||||||
APX Group, Inc. (e) | United States | 6.75% | 02/15/27 | 425 | 435,209 | ||
Electronic Equipment, Instruments & Components - 0.1% | |||||||
Centurion Bidco SpA | Italy | 5.88% | 09/30/26 | EUR 100 | 107,905 | ||
Energy Equipment & Services - 0.2% | |||||||
Precision Drilling Corp. (e) | Canada | 7.13% | 01/15/26 | 245 | 250,184 | ||
Entertainment - 0.1% | |||||||
Banijay Entertainment SASU | France | 3.50% | 03/01/25 | EUR 100 | 110,725 | ||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||||||
American Finance Trust, Inc. (e) | United States | 4.50% | 09/30/28 | 395 | 356,312 | ||
Food & Staples Retailing - 0.2% | |||||||
Performance Food Group, Inc. (e) | United States | 5.50% | 10/15/27 | 335 | 333,799 | ||
Food Products - 0.3% | |||||||
Post Holdings, Inc. (e) | United States | 5.63% | 01/15/28 | 430 | 422,772 | ||
Gas Utilities - 0.2% | |||||||
CQP Holdco LP (e) | United States | 5.50% | 06/15/31 | 165 | 162,319 | ||
Suburban Propane Partners LP (e) | United States | 5.00% | 06/01/31 | 220 | 206,547 | ||
Total Gas Utilities | 368,866 | ||||||
Health Care Equipment & Supplies - 0.2% | |||||||
Mozart Debt Merger Sub, Inc. (e) | United States | 5.25% | 10/01/29 | 395 | 367,725 | ||
Health Care Providers & Services - 2.2% | |||||||
Acadia Healthcare Company, Inc. (e) | United States | 5.00% | 04/15/29 | 245 | 242,167 | ||
Acadia Healthcare Company, Inc. (e) | United States | 5.50% | 07/01/28 | 215 | 216,344 | ||
Avantor Funding, Inc. | United States | 3.88% | 07/15/28 | EUR 100 | 111,314 | ||
CAB Selas | France | 3.38% | 02/01/28 | EUR 100 | 105,493 | ||
Chrome Bidco SASU | France | 3.50% | 05/31/28 | EUR 100 | 106,154 | ||
CHS/Community Health Systems, Inc. (e) | United States | 5.63% | 03/15/27 | 335 | 341,603 | ||
MEDNAX, Inc. (e) | United States | 5.38% | 02/15/30 | 295 | 285,222 | ||
ModivCare Escrow Issuer, Inc. (e) | United States | 5.00% | 10/01/29 | 345 | 322,266 | ||
Nidda Healthcare Holding GmbH | Germany | 3.50% | 09/30/24 | EUR 100 | 106,220 | ||
Ortho-Clinical Diagnostics, Inc. (e) | United States | 7.25% | 02/01/28 | 350 | 360,946 | ||
Radiology Partners, Inc. (e) | United States | 9.25% | 02/01/28 | 800 | 801,588 | ||
Tenet Healthcare Corp. (e) | United States | 6.13% | 10/01/28 | 285 | 289,946 | ||
Total Health Care Providers & Services | 3,289,263 | ||||||
Health Care Technology - 0.1% | |||||||
MPH Acquisition Holdings LLC (e) | United States | 5.50% | 09/01/28 | 160 | 153,710 | ||
Hotels, Restaurants & Leisure - 1.6% | |||||||
Bloomin' Brands, Inc. (e) | United States | 5.13% | 04/15/29 | 220 | 207,997 | ||
Carnival Corp. (e) | United States | 5.75% | 03/01/27 | 490 | 467,950 | ||
Cirsa Finance International Sarl | Spain | 4.50% | 03/15/27 | EUR 100 | 104,975 | ||
Everi Holdings, Inc. (e) | United States | 5.00% | 07/15/29 | 345 | 327,258 | ||
Fertitta Entertainment LLC (e) | United States | 6.75% | 01/15/30 | 160 | 147,398 | ||
Gamma Bidco SpA | Italy | 5.13% | 07/15/25 | EUR 100 | 109,520 | ||
Grupo Posadas SAB de CV | Mexico | 4.00% | 12/30/27 | 20 | 15,000 | ||
Hilton Grand Vacations Borrower Escrow LLC (e) | United States | 5.00% | 06/01/29 | 215 | 205,441 | ||
Legends Hospitality Holding Company LLC (e) | United States | 5.00% | 02/01/26 | 440 | 422,963 | ||
SeaWorld Parks & Entertainment, Inc. (e) | United States | 5.25% | 08/15/29 | 265 | 253,287 | ||
TUI Cruises GmbH | Germany | 6.50% | 05/15/26 | EUR 100 | 105,094 | ||
Total Hotels, Restaurants & Leisure | 2,366,883 | ||||||
Household Durables - 0.4% | |||||||
Shea Homes LP (e) | United States | 4.75% | 02/15/28 | 345 | 325,278 | ||
Victoria PLC | United Kingdom | 3.63% | 08/24/26 | EUR 100 | 106,737 | ||
Weekley Homes LLC (e) | United States | 4.88% | 09/15/28 | 185 | 170,838 | ||
Total Household Durables | 602,853 | ||||||
Household Products - 0.1% | |||||||
Energizer Gamma Acquisition BV | United States | 3.50% | 06/30/29 | EUR 100 | 97,770 | ||
Independent Power and Renewable Electricity Producers - 0.9% | |||||||
Calpine Corp. (e) | United States | 5.13% | 03/15/28 | 350 | 334,045 | ||
Genneia SA | Argentina | 8.75% | 09/02/27 | 1,000 | 942,480 | ||
Genneia SA (e) | Argentina | 8.75% | 09/02/27 | 40 | 37,699 | ||
Total Independent Power and Renewable Electricity Producers | 1,314,224 | ||||||
Insurance - 0.3% | |||||||
AssuredPartners, Inc. (e) | United States | 5.63% | 01/15/29 | 250 | 230,581 | ||
HUB International Ltd. (e) | United States | 7.00% | 05/01/26 | 190 | 192,436 | ||
Total Insurance | 423,017 | ||||||
IT Services - 0.6% | |||||||
Ahead DB Holdings LLC (e) | United States | 6.63% | 05/01/28 | 340 | 304,456 | ||
Sabre GLBL, Inc. (e) | United States | 7.38% | 09/01/25 | 150 | 156,880 | ||
VM Consolidated, Inc. (e) | United States | 5.50% | 04/15/29 | 440 | 413,857 | ||
Total IT Services | 875,193 | ||||||
Leisure Products - 0.2% | |||||||
Vista Outdoor, Inc. (e) | United States | 4.50% | 03/15/29 | 295 | 271,969 | ||
Machinery - 0.3% | |||||||
IMA Industria Macchine Automatiche SpA | Italy | 3.75% | 01/15/28 | EUR 100 | 103,975 | ||
Redwood Star Merger Sub, Inc. (e) | United States | 8.75% | 04/01/30 | 400 | 383,496 | ||
Total Machinery | 487,471 | ||||||
Media - 1.4% | |||||||
Cablevision Lightpath LLC (e) | United States | 5.63% | 09/15/28 | 415 | 379,455 | ||
Directv Financing LLC (e) | United States | 5.88% | 08/15/27 | 435 | 428,508 | ||
DISH DBS Corp. (e) | United States | 5.25% | 12/01/26 | 195 | 186,103 | ||
DISH DBS Corp. (e) | United States | 5.75% | 12/01/28 | 25 | 23,703 | ||
Gray Television, Inc. (e) | United States | 4.75% | 10/15/30 | 160 | 148,816 | ||
iHeartCommunications, Inc. | United States | 6.38% | 05/01/26 | 95 | 97,767 | ||
iHeartCommunications, Inc. (e) | United States | 5.25% | 08/15/27 | 360 | 356,587 | ||
Scripps Escrow II, Inc. (e) | United States | 5.38% | 01/15/31 | 130 | 124,654 | ||
Univision Communications, Inc. (e) | United States | 6.63% | 06/01/27 | 145 | 152,056 | ||
Virgin Media Vendor Financing Notes III DAC | United Kingdom | 4.88% | 07/15/28 | GBP 100 | 124,221 | ||
Total Media | 2,021,870 | ||||||
Metals & Mining - 1.6% | |||||||
Arconic Corp. (e) | United States | 6.13% | 02/15/28 | 425 | 427,210 | ||
Constellium SE (e) | United States | 5.63% | 06/15/28 | 260 | 261,418 | ||
Mineral Resources Ltd. (e) | Australia | 8.13% | 05/01/27 | 60 | 62,119 | ||
Vedanta Resources Finance II PLC | India | 13.88% | 01/21/24 | 1,600 | 1,676,000 | ||
Total Metals & Mining | 2,426,747 | ||||||
Oil, Gas & Consumable Fuels - 2.0% | |||||||
CITGO Holding, Inc. | United States | 9.25% | 08/01/24 | 460 | 465,138 | ||
CITGO Petroleum Corp. (e) | United States | 7.00% | 06/15/25 | 360 | 362,650 | ||
Colgate Energy Partners III LLC (e) | United States | 5.88% | 07/01/29 | 195 | 201,380 | ||
CrownRock LP (e) | United States | 5.63% | 10/15/25 | 240 | 244,872 | ||
CVR Energy, Inc. (e) | United States | 5.25% | 02/15/25 | 305 | 296,577 | ||
Hess Midstream Operations LP (e) | United States | 5.13% | 06/15/28 | 235 | 235,306 | ||
Hess Midstream Operations LP (e) | United States | 5.63% | 02/15/26 | 140 | 143,847 | ||
Strathcona Resources Ltd. (e) | Canada | 6.88% | 08/01/26 | 195 | 196,737 | ||
Vine Energy Holdings LLC (e) | United States | 6.75% | 04/15/29 | 230 | 243,940 | ||
YPF SA (s) | Argentina | 2.50% | 06/30/29 | 758 | 558,726 | ||
Total Oil, Gas & Consumable Fuels | 2,949,173 | ||||||
Paper & Forest Products - 0.3% | |||||||
Mercer International, Inc. | Germany | 5.50% | 01/15/26 | 440 | 443,828 | ||
Personal Products - 0.5% | |||||||
BellRing Brands, Inc. (e) | United States | 7.00% | 03/15/30 | 115 | 117,588 | ||
Coty, Inc. (e) | United States | 5.00% | 04/15/26 | 215 | 209,751 | ||
Edgewell Personal Care Co. (e) | United States | 5.50% | 06/01/28 | 355 | 353,798 | ||
Total Personal Products | 681,137 | ||||||
Pharmaceuticals - 0.5% | |||||||
Bausch Health Companies, Inc. (e) | United States | 4.88% | 06/01/28 | 270 | 258,891 | ||
Bausch Health Cos, Inc. (e) | United States | 6.13% | 02/01/27 | 190 | 191,434 | ||
Cheplapharm Arzneimittel GmbH | Germany | 4.38% | 01/15/28 | EUR 100 | 109,658 | ||
Gruenenthal GmbH | Germany | 4.13% | 05/15/28 | EUR 100 | 107,998 | ||
Total Pharmaceuticals | 667,981 | ||||||
Professional Services - 0.1% | |||||||
Summer BC Holdco B SARL | Luxembourg | 5.75% | 10/31/26 | EUR 100 | 112,580 | ||
Real Estate Management & Development - 5.7% | |||||||
CIFI Holdings Group Company Ltd. | China | 6.00% | 07/16/25 | 400 | 334,000 | ||
CIFI Holdings Group Company Ltd. | China | 6.45% | 11/07/24 | 200 | 179,000 | ||
CIFI Holdings Group Company Ltd. (v) | China | 5 Year CMT Rate + 8.57% | 5.38% | 02/24/23 | 450 | 380,475 | |
Country Garden Holdings Company Ltd. | China | 4.80% | 08/06/30 | 200 | 139,500 | ||
Country Garden Holdings Company Ltd. | China | 7.25% | 04/08/26 | 600 | 466,500 | ||
Crystal Idea Group Ltd. | China | 2.25% | 10/31/22 | HKD 2,000 | 220,852 | ||
Cushman & Wakefield US Borrower LLC (e) | United States | 6.75% | 05/15/28 | 210 | 219,799 | ||
Huarong Universe Investment Holding Ltd. | China | 1.63% | 12/05/22 | EUR 1,000 | 1,037,391 | ||
Hunt Companies, Inc. (e) | United States | 5.25% | 04/15/29 | 360 | 343,656 | ||
Kennedy-Wilson, Inc. | United States | 4.75% | 03/01/29 | 155 | 149,746 | ||
Logan Group Company Ltd. | China | 5.75% | 01/14/25 | 200 | 48,500 | ||
Logan Group Company Ltd. | China | 6.90% | 06/09/24 | 200 | 47,500 | ||
OWS Cre Funding I LLC (e) (v) | United States | 1M US LIBOR + 4.90% | 5.36% | 09/15/23 | 2,500 | 2,496,273 | |
RKPF Overseas Ltd. | China | 5.90% | 03/05/25 | 500 | 397,625 | ||
RKPF Overseas Ltd. | China | 6.00% | 09/04/25 | 500 | 400,000 | ||
Samhallsbyggnadsbolaget i Norden AB (v) | Sweden | 5 Year Swap Rate EUR + 3.22% | 2.88% | 01/30/71 | EUR 100 | 91,248 | |
Shimao Group Holdings Ltd. | China | 4.60% | 07/13/30 | 200 | 53,500 | ||
Shimao Group Holdings Ltd. | China | 5.20% | 01/16/27 | 1,210 | 338,800 | ||
Shimao Group Holdings Ltd. | China | 5.60% | 07/15/26 | 400 | 116,000 | ||
Shimao Group Holdings Ltd. | China | 6.13% | 02/21/24 | 370 | 114,885 | ||
Shui On Development Holding Ltd. (v) | China | 5 Year CMT Rate + 7.63% | 6.40% | 06/20/71 | 200 | 195,300 | |
Sino-Ocean Land Treasure IV Ltd. | China | 4.75% | 08/05/29 | 410 | 271,625 | ||
Sino-Ocean Land Treasure IV Ltd. | China | 4.75% | 01/14/30 | 400 | 263,000 | ||
Total Real Estate Management & Development | 8,305,175 | ||||||
Road & Rail - 0.1% | |||||||
The Hertz Corp. (e) | United States | 4.63% | 12/01/26 | 200 | 187,044 | ||
Software - 1.3% | |||||||
Acuris Finance US, Inc. (e) | United States | 5.00% | 05/01/28 | 395 | 363,752 | ||
Brunello Bidco SpA | Italy | 3.50% | 02/15/28 | EUR 100 | 104,567 | ||
Castor SpA (g) (v) | Italy | 3M EURIBOR + 5.25% | 5.25% | 02/15/29 | EUR 200 | 220,643 | |
Cedacri Mergeco SPA (v) | Italy | 3M EURIBOR + 4.63% | 4.63% | 05/15/28 | EUR 100 | 110,114 | |
NCR Corp. (e) | United States | 5.13% | 04/15/29 | 15 | 14,438 | ||
NCR Corp. (e) | United States | 6.13% | 09/01/29 | 405 | 406,912 | ||
Uber Technologies, Inc. (e) | United States | 7.50% | 09/15/27 | 610 | 651,178 | ||
Total Software | 1,871,604 | ||||||
Specialty Retail - 0.5% | |||||||
Academy Ltd. (e) | United States | 6.00% | 11/15/27 | 420 | 430,500 | ||
At Home Group, Inc. (e) | United States | 4.88% | 07/15/28 | 220 | 196,243 | ||
At Home Group, Inc. (e) | United States | 7.13% | 07/15/29 | 65 | 56,351 | ||
eG Global Finance PLC | United Kingdom | 6.25% | 10/30/25 | EUR 100 | 110,678 | ||
Total Specialty Retail | 793,772 | ||||||
Technology Hardware, Storage & Peripherals - 0.3% | |||||||
Xerox Holdings Corp. (e) | United States | 5.50% | 08/15/28 | 390 | 380,749 | ||
Textiles, Apparel & Luxury Goods - 0.1% | |||||||
Afflelou SAS | France | 4.25% | 05/19/26 | EUR 100 | 108,439 | ||
Thrifts & Mortgage Finance - 0.2% | |||||||
Nationstar Mortgage Holdings, Inc. (e) | United States | 5.75% | 11/15/31 | 120 | 114,658 | ||
Nationstar Mortgage Holdings, Inc. (e) | United States | 6.00% | 01/15/27 | 140 | 142,705 | ||
Total Thrifts & Mortgage Finance | 257,363 | ||||||
Trading Companies & Distributors - 0.7% | |||||||
Fortress Transportation and Infrastructure Investors LLC (e) | United States | 5.50% | 05/01/28 | 350 | 318,672 | ||
Fortress Transportation and Infrastructure Investors LLC (e) | United States | 6.50% | 10/01/25 | 20 | 19,880 | ||
Loxam SAS | France | 3.75% | 07/15/26 | EUR 100 | 109,745 | ||
Loxam SAS | France | 5.75% | 07/15/27 | EUR 100 | 108,482 | ||
Unifrax Escrow Issuer Corp. (e) | United States | 5.25% | 09/30/28 | 450 | 418,604 | ||
Total Trading Companies & Distributors | 975,383 | ||||||
Wireless Telecommunication Services - 0.1% | |||||||
Matterhorn Telecom SA | Luxembourg | 4.00% | 11/15/27 | EUR 100 | 108,313 | ||
Vodafone Group PLC (v) | United Kingdom | 5 Year Swap Rate EUR + 3.23% | 3.00% | 08/27/80 | EUR 100 | 101,510 | |
Total Wireless Telecommunication Services | 209,823 | ||||||
Total CORPORATE BONDS (Cost $51,883,232) | 47,391,841 | ||||||
CONVERTIBLE BONDS - 1.3% | |||||||
Aerospace & Defense - 0.0% | |||||||
Safran SA | France | 0.88% | 05/15/27 | EUR 8 | 11,962 | ||
Airlines - 0.4% | |||||||
JetBlue Airways Corp. (e) | United States | 0.50% | 04/01/26 | 24 | 22,451 | ||
United Airlines, Inc. | United States | 3M US LIBOR + 3.75% | 4.50% | 04/21/28 | 499 | 493,718 | |
Total Entertainment | 516,169 | ||||||
Auto Components - 0.1% | |||||||
Pirelli & C SpA | Italy | 0.00% | 12/22/25 | EUR 100 | 119,696 | ||
Automobiles - 0.0% | |||||||
Ford Motor Company | United States | 0.00% | 03/15/26 | 27 | 32,049 | ||
Banks - 0.0% | |||||||
JPMorgan Chase Financial Company LLC (e) | United States | 0.25% | 05/01/23 | 20 | 22,000 | ||
Biotechnology - 0.1% | |||||||
Ascendis Pharma A/S (e) | Denmark | 2.25% | 04/01/28 | 4 | 4,113 | ||
Exact Sciences Corp. | United States | 0.38% | 03/15/27 | 21 | 19,911 | ||
Halozyme Therapeutics, Inc. | United States | 0.25% | 03/01/27 | 19 | 16,649 | ||
Insmed, Inc. | United States | 0.75% | 06/01/28 | 19 | 18,411 | ||
Ionis Pharmaceuticals, Inc. (e) | United States | 0.00% | 04/01/26 | 7 | 6,546 | ||
Travere Therapeutics, Inc. | United States | 2.50% | 09/15/25 | 16 | 16,720 | ||
Total Biotechnology | 82,350 | ||||||
Communications Equipment - 0.0% | |||||||
Lumentum Holdings, Inc. (e) | United States | 0.50% | 06/15/28 | 10 | 9,830 | ||
Electrical Equipment - 0.0% | |||||||
Array Technologies, Inc. (e) | United States | 1.00% | 12/01/28 | 33 | 25,196 | ||
Electronic Equipment, Instruments & Components - 0.0% | |||||||
Vishay Intertechnology, Inc. | United States | 2.25% | 06/15/25 | 17 | 16,980 | ||
Entertainment - 0.0% | |||||||
Sea Ltd. | Taiwan | 0.25% | 09/15/26 | 10 | 8,031 | ||
Spotify USA, Inc. | United States | 0.00% | 03/15/26 | 13 | 11,143 | ||
Total Entertainment | 19,174 | ||||||
Equity Real Estate Investment Trusts (REITs) - 0.0% | |||||||
Pebblebrook Hotel Trust | United States | 1.75% | 12/15/26 | 17 | 19,576 | ||
Health Care Equipment & Supplies - 0.0% | |||||||
Dexcom, Inc. | United States | 0.25% | 11/15/25 | 25 | 28,672 | ||
Health Care Providers & Services - 0.0% | |||||||
Guardant Health, Inc. | United States | 0.00% | 11/15/27 | 19 | 15,335 | ||
Health Care Technology - 0.0% | |||||||
Health Catalyst, Inc. | United States | 2.50% | 04/15/25 | 3 | 3,414 | ||
Hotels, Restaurants & Leisure - 0.0% | |||||||
Airbnb, Inc. | United States | 0.00% | 03/15/26 | 14 | 13,604 | ||
Vail Resorts, Inc. | United States | 0.00% | 01/01/26 | 32 | 31,152 | ||
Total Hotels, Restaurants & Leisure | 44,756 | ||||||
Independent Power and Renewable Electricity Producers - 0.0% | |||||||
NextEra Energy Partners LP (e) | United States | 0.00% | 11/15/25 | 24 | 27,273 | ||
Interactive Media & Services - 0.0% | |||||||
Snap, Inc. (e) | United States | 0.13% | 03/01/28 | 12 | 11,982 | ||
Twitter, Inc. | United States | 0.00% | 03/15/26 | 9 | 7,601 | ||
Twitter, Inc. | United States | 0.25% | 06/15/24 | 5 | 5,100 | ||
Total Interactive Media & Services | 24,683 | ||||||
Internet & Direct Marketing Retail - 0.0% | |||||||
Etsy, Inc. (e) | United States | 0.25% | 06/15/28 | 13 | 11,616 | ||
IT Services - 0.1% | |||||||
Akamai Technologies, Inc. | United States | 0.38% | 09/01/27 | 39 | 45,026 | ||
Cloudflare, Inc. (e) | United States | 0.00% | 08/15/26 | 4 | 4,000 | ||
DigitalOcean Holdings, Inc. (e) | United States | 0.00% | 12/01/26 | 13 | 10,342 | ||
Okta, Inc. | United States | 0.38% | 06/15/26 | 8 | 7,840 | ||
Perficient, Inc. (e) | United States | 0.13% | 11/15/26 | 6 | 5,391 | ||
Shift4 Payments, Inc. | United States | 0.00% | 12/15/25 | 24 | 25,248 | ||
Total IT Services | 97,847 | ||||||
Machinery - 0.0% | |||||||
John Bean Technologies Corp. (e) | United States | 0.25% | 05/15/26 | 16 | 15,448 | ||
Metals & Mining - 0.1% | |||||||
Nippon Steel Corp. | Japan | 0.00% | 10/05/26 | JPY 10,000 | 88,673 | ||
Multi-Utilities - 0.0% | |||||||
Veolia Environnement SA | France | 0.00% | 01/01/25 | EUR 20 | 7,579 | ||
Other - 0.2% | |||||||
Wells Fargo Commercial Mortgage Trust 2017-C41 (e) | United States | 2.60% | 11/17/50 | 316 | 232,651 | ||
Personal Products - 0.0% | |||||||
The Beauty Health Co. (e) | United States | 1.25% | 10/01/26 | 18 | 16,420 | ||
Pharmaceuticals - 0.0% | |||||||
Jazz Investments I Ltd. | United States | 2.00% | 06/15/26 | 21 | 25,566 | ||
Semiconductors & Semiconductor Equipment - 0.1% | |||||||
Canadian Solar, Inc. (e) | United States | 0.25% | 02/15/28 | 13 | 14,763 | ||
Enphase Energy, Inc. (e) | Canada | 2.50% | 10/01/25 | 5 | 5,925 | ||
Jazz Investments I Ltd. | United States | 0.00% | 03/01/28 | 10 | 10,440 | ||
SCREEN Holdings Company Ltd. | Japan | 0.00% | 06/11/25 | JPY 10,000 | 98,571 | ||
Wolfspeed, Inc. (e) | United States | 0.25% | 03/15/26 | 24 | 24,495 | ||
Total Semiconductors & Semiconductor Equipment | 154,194 | ||||||
Software - 0.2% | |||||||
Alarm.com Holdings, Inc. | United States | 0.00% | 01/15/26 | 10 | 8,500 | ||
Avalara, Inc. (e) | United States | 0.25% | 08/01/26 | 25 | 21,450 | ||
Bentley Systems, Inc. (e) | United States | 0.38% | 07/01/27 | 21 | 18,333 | ||
Bill.com Holdings, Inc. (e) | United States | 0.00% | 04/01/27 | 5 | 4,794 | ||
Coupa Software, Inc. | United States | 0.38% | 06/15/26 | 11 | 9,284 | ||
Dropbox, Inc. | United States | 0.00% | 03/01/26 | 11 | 10,318 | ||
LivePerson, Inc. | United States | 0.00% | 12/15/26 | 9 | 7,178 | ||
Nice Ltd. | Israel | 0.00% | 09/15/25 | 21 | 22,142 | ||
Nutanix, Inc. (e) | United States | 0.25% | 10/01/27 | 18 | 15,086 | ||
Progress Software Corp. (e) | United States | 1.00% | 04/15/26 | 20 | 19,980 | ||
Splunk, Inc. | United States | 1.13% | 09/15/25 | 25 | 30,000 | ||
Tyler Technologies, Inc. | United States | 0.25% | 03/15/26 | 13 | 14,371 | ||
Unity Software, Inc. (e) | United States | 0.00% | 11/15/26 | 10 | 8,243 | ||
Total Software | 189,679 | ||||||
Specialty Retail - 0.0% | |||||||
Burlington Stores, Inc. | United States | 2.25% | 04/15/25 | 4 | 4,588 | ||
Total CONVERTIBLE BONDS (Cost $1,938,231) | 1,863,376 | ||||||
STRUCTURED CREDIT - 24.9% (b) | |||||||
Collateralized Loan Obligations - 15.8% | |||||||
Anchorage Capital CLO Ltd. Series 2020-16A, Class DR (e) (v) | Cayman Islands | 3M US LIBOR + 3.72% | 3.84% | 01/19/35 | 1,500 | 1,501,275 | |
Anchorage Capital CLO Ltd. Series 2020-16A, Class ER (e) (v) | Cayman Islands | 3M US LIBOR + 7.35% | 7.47% | 01/19/35 | 1,000 | 980,003 | |
Anchorage Capital CLO Ltd. Series 2020-8A, Class ER2 (e) (v) | Cayman Islands | 3M US LIBOR + 7.35% | 7.48% | 10/27/34 | 1,500 | 1,464,830 | |
Anchorage Credit Funding 3 Ltd. (e) Series 2019-7A, Class E | Cayman Islands | 6.85% | 04/27/37 | 1,000 | 906,183 | ||
Columbia Cent CLO Ltd. Series 2018-28A, Class D (e) (v) | Cayman Islands | 3M US LIBOR + 6.17% | 6.49% | 11/07/30 | 1,000 | 881,359 | |
Elevation CLO Ltd. Series 2021-14A, Class E (e) (v) | Cayman Islands | 3M US LIBOR + 7.20% | 7.32% | 10/20/34 | 2,000 | 1,882,396 | |
ICG US CLO Ltd. Series 2020-1A, Class DR (e) (v) | Cayman Islands | 3M US LIBOR + 3.60% | 3.72% | 01/22/35 | 1,000 | 1,001,690 | |
ICG US CLO Ltd. Series 2020-1A, Class ER (e) (v) | Cayman Islands | 3M US LIBOR + 7.45% | 7.57% | 01/22/35 | 1,000 | 973,751 | |
Marble Point CLO Ltd. Series 2021-4A, Class E (e) (v) | Cayman Islands | 3M US LIBOR + 7.29% | 7.38% | 01/22/35 | 2,000 | 1,927,598 | |
Monroe Capital MML CLO XIII Ltd. Series 2022-1A, Class E (e) (v) | United States | 3M SOFR + 8.32% | 8.77% | 02/24/34 | 1,000 | 997,898 | |
OAK Hill European Credit Partners V Designated Activity Co. Series 2016-5A, Class ER (e) (v) | Ireland | 3M EURIBOR + 6.37% | 6.37% | 01/21/35 | EUR 1,750 | 1,857,848 | |
OAK Hill European Credit Partners V Designated Activity Co. Series 2016-5A, Class FR (e) (v) | Ireland | 3M EURIBOR + 8.87% | 8.87% | 01/21/35 | EUR 1,000 | 1,033,362 | |
Palmer Square European CLO Series 2022-1A, Class E (e) (v) | Ireland | 3M EURIBOR + 6.36% | 6.36% | 01/21/35 | EUR 1,200 | 1,247,835 | |
Palmer Square European CLO Series 2020-1A, Class F (e) (v) | Ireland | 3M EURIBOR + 8.35% | 8.85% | 01/21/35 | EUR 1,750 | 1,792,542 | |
Toro European CLO (v) Series 3X, Class ERR | Ireland | 3M EURIBOR + 6.30% | 6.30% | 07/15/34 | EUR 1,500 | 1,576,879 | |
Trimaran Cavu Ltd. Series 2021-3A, Class E (e) (v) | Cayman Islands | 3M EURIBOR + 7.37% | 7.47% | 01/18/35 | 1,200 | 1,147,433 | |
Trinitas CLO Ltd. (e) (v) Series 2021-18A, Class E | Cayman Islands | 3M EURIBOR + 3.60% | 3.85% | 01/22/35 | 2,000 | 1,959,590 | |
Total Collateralized Loan Obligations | 23,132,472 | ||||||
Mortgage-Backed Securities - 9.1% (e) | |||||||
Benchmark Mortgage Trust 2018-B6, Class E (v) | United States | 3.11% | 10/12/51 | 225 | 179,735 | ||
BWAY Mortgage Trust Series 2022-26BW Class E | United States | 4.87% | 02/10/44 | 677 | 591,559 | ||
BX Commercial Mortgage Trust Series 2019-IMC Class G (v) | United States | 1M US LIBOR + 3.60% | 4.00% | 04/17/34 | 1,000 | 975,128 | |
BX Trust Series 2021-SDMF Class J (v) | United States | 1M US LIBOR + 4.03% | 4.43% | 09/15/34 | 470 | 466,730 | |
CD Mortgage Trust Series 2017-CD4 Class D | United States | 3.30% | 05/12/50 | 305 | 257,001 | ||
CD Mortgage Trust Series 2017-CD5 Class D | United States | 3.35% | 08/15/50 | 489 | 407,417 | ||
CFCRE Commercial Mortgage 2018-TAN Class E | United States | 6.45% | 02/17/33 | 225 | 224,162 | ||
Citigroup Commercial Mortgage Trust Series 2021-KEYS Class F (v) | United States | 1M US LIBOR + 3.70% | 4.10% | 10/15/36 | 741 | 737,747 | |
CSAIL Commercial Mortgage Trust Series 2017-CX9 Class D (v) | United States | 4.14% | 09/16/50 | 190 | 163,713 | ||
DBGS Mortgage Trust Series 2021-W52 Class F (v) | United States | 1M US LIBOR + 4.15% | 4.55% | 10/15/36 | 1,000 | 998,438 | |
DBUBS Mortgage Trust Series 2017-BRBK Class F (v) | United States | 3.53% | 10/12/34 | 258 | 243,070 | ||
Deephaven Residential Mortgage Trust Series 2022-2 Class B1 (v) | United States | 4.34% | 03/25/67 | 229 | 207,364 | ||
GCAT Series 2022-NQM1 Class B1 (v) | United States | 4.00% | 02/25/67 | 476 | 427,800 | ||
Great Wolf Trust Series 2019-WOLF, Class F (s) (v) | United States | 1M US LIBOR + 3.13% | 3.53% | 12/15/36 | 1,298 | 1,247,595 | |
Hilton USA Trust Series 2016-SFP 6 Class F | United States | 6.16% | 11/05/35 | 1,000 | 994,022 | ||
J.P. Morgan Chase Commercial Mortgage Securities Trust Series 2021-HTL5 Class F (v) | United States | 1M US LIBOR + 4.27% | 4.66% | 11/15/38 | 1,084 | 1,054,129 | |
LAQ 2022-LAQ Mortgage Trust Series 2022-LAQ Class E (v) | United States | 1M SOFR + 4.87% | 5.13% | 03/15/39 | 552 | 557,226 | |
MFA 2022-NQM1 Trust Series 2022-NQM1 Class B1 (v) | United States | 4.34% | 12/25/66 | 251 | 230,044 | ||
MTN Commercial Mortgage Trust 2022-LPFL Series 2022-LPFL Class F (v) | United States | 1M SOFR + 5.29% | 5.34% | 03/15/39 | 571 | 575,480 | |
PRPM LLC Series 2021-10 Class A2 (s) | United States | 4.83% | 10/25/26 | 1,000 | 958,972 | ||
SREIT Trust Series 2021-MFP2 Class J (v) | United States | 1M US LIBOR + 3.92% | 4.31% | 11/17/36 | 1,000 | 991,997 | |
Western Mortgage Reference Notes Series 2021-CL2 Class M4 (v) | United States | 30-Day Average SOFR + 5.35% | 5.45% | 07/25/59 | 956 | 954,073 | |
Total Mortgage-Backed Securities | 13,443,402 | ||||||
Total STRUCTURED CREDIT (Cost $37,397,014) | 36,575,874 | ||||||
PRIVATE ASSET-BACKED DEBT - 17.0% (b) (f) | |||||||
Biotechnology - 1.0% | |||||||
Mesoblast, Inc., First Lien Term Loan (h) (v) | United States | 9.75% | 11/19/26 | 1,585 | 1,426,270 | ||
Mesoblast, Inc., First Lien Tranche B Delay Draw Term Loan (h) (v) | United States | 9.75% | 11/19/26 | 262 | – | ||
Mesoblast, Inc., First Lien Tranche C Delay Draw Term Loan (h) (v) | United States | 9.75% | 11/19/26 | 525 | – | ||
Total Biotechnology | 1,426,270 | ||||||
Commercial Services & Supplies - 1.6% | |||||||
Kings Buyer LLC First Lien Term Loan (v) | United States | 1M US LIBOR + 6.50% | 7.50% | 10/29/27 | 2,276 | 2,241,382 | |
Kings Buyer LLC First Lien Revolver Facility (v) | United States | 1M US LIBOR + 6.50% | 6.50% | 10/29/27 | 310 | 107,856 | |
Total Commercial Services & Supplies | 2,349,238 | ||||||
Containers & Packaging - 1.2% | |||||||
ASP-r-pac Acquisition Company LLC First Lien Term Loan (v) | United States | 1M US LIBOR + 6.00% | 6.00% | 12/29/27 | 1,728 | 1,698,875 | |
ASP-r-pac Acquisition Company LLC First Lien Revolver Facility (v) | United States | 1M US LIBOR + 6.00% | 6.00% | 12/29/27 | 206 | – | |
Total Containers & Packaging | 1,698,875 | ||||||
Distributors - 1.3% | |||||||
RelaDyne Second Lien Term Loan (v) | United States | SOFR + 7.75% | 7.75% | 12/23/29 | 1,996 | 1,956,080 | |
Energy Equipment & Services - 1.9% | |||||||
ProFrac Holdings LLC First Lien Term Loan (v) | United States | 1M SOFR + 8.50T | 0.40% | 03/04/27 | 2,860 | 2,802,800 | |
Health Care Equipment & Supplies - 2.0% | |||||||
Touchstone Acquisition, Inc. First Lien Term Loan (v) | United States | 3M LIBOR US + 6.00% | 6.75% | 12/29/28 | 3,014 | 2,953,720 | |
Total Health Care Equipment & Supplies | 2,953,720 | ||||||
Health Care Providers & Services - 1.6% | |||||||
LSL Holdco LLC First Lien Term Loan (v) | United States | 1M US LIBOR + 6.00% | 6.00% | 01/31/28 | 2,398 | 2,349,755 | |
LSL Holdco LLC First Lien Revolver Facility (v) | United States | 1M US LIBOR + 6.00% | 6.00% | 01/31/28 | 266 | 52,217 | |
Total Health Care Providers & Services | 2,401,972 | ||||||
Health Care Technology - 2.3% | |||||||
Impel Neuropharma, Inc. First Lien Revenue Interest Financing Term Loan (l) (v) | United States | 0.00% | 02/15/31 | 1,001 | 1,001,000 | ||
Impel Neuropharma, Inc. First Lien Term Loan (v) | United States | 1M SOFR + 8.75% | 9.75% | 03/17/27 | 1,001 | 980,980 | |
Innocoll Pharmaceuticals Ltd First Lien Term Loan | United States | 11.00% | 01/26/27 | 1,510 | 1,447,649 | ||
Innocoll Pharmaceuticals Ltd First Lien Tranche B Delay Draw Term Loan (v) | United States | 11.00% | 01/26/27 | 465 | – | ||
Innocoll Pharmaceuticals Ltd First Lien Tranche C Delay Draw Term Loan (v) | United States | 11.00% | 01/26/27 | 465 | – | ||
Innocoll Pharmaceuticals Ltd First Lien Tranche D Delay Draw Term Loan (v) | United States | 11.00% | 01/26/27 | 465 | – | ||
Total Health Care Technology | 3,429,629 | ||||||
Hotels, Restaurants & Leisure - 2.4% | |||||||
PFNY Holdings LLC First Lien Term Loan (v) | United States | 1M US LIBOR + 7.00% | 7.00% | 12/31/26 | 3,640 | 3,567,580 | |
PFNY Holdings LLC First Lien Delay Draw Term Loan (v) | United States | 1M US LIBOR + 7.00% | 7.00% | 12/31/26 | 347 | – | |
PFNY Holdings LLC First Lien Revolver Facility (v) | United States | 1M US LIBOR + 7.00% | 7.00% | 12/31/26 | 173 | – | |
Total Hotels, Restaurants & Leisure | 3,567,580 | ||||||
Software - 1.7% | |||||||
OEConnection LLC Second Lien Tranche B Term Loan | United States | 1M US LIBOR + 7.00% | 7.00% | 09/25/27 | 2,499 | 2,436,525 | |
Total PRIVATE ASSET-BACKED DEBT (Cost $25,021,385) | 25,022,689 | ||||||
Shares | Value (a) | ||||||
COMMON STOCK - 0.1% | |||||||
Distributors - 0.1% | |||||||
RelaDyne (Acquired 12/23/21, Cost $187,703) (f) (n) (r) | United States | 2,000 | 189,480 | ||||
Total COMMON STOCK (Cost $187,703) | 189,480 | ||||||
PREFERRED STOCK - 1.4% | |||||||
Health Care Technology - 1.4% | |||||||
athenahealth, Inc. Series A (Acquired 02/15/22, Cost $1,992,289) (f) (r) | United States | 10.75% | 2,033 | 2,015,801 | |||
Total PREFERRED STOCK (Cost $1,992,289) | 2,015,801 | ||||||
WARRANTS - 0.1% | |||||||
Biotechnology - 0.1% | |||||||
Mesoblast, Inc., Exercise Price: $7.26, Expiration: 11/19/28 (Acquired 12/20/21, Cost $106,354) (f) (r) | United States | 46,443 | 88,242 | ||||
Health Care Technology - 0.0% | |||||||
Innocoll Pharmaceuticals Ltd., Exercise Price: $4.23, Expiration: 01/26/29 (Acquired 01/26/22, Cost $29,807) (f) (r) | United States | 12,630 | 31,196 | ||||
Total WARRANTS (Cost $136,161) | 119,438 | ||||||
MONEY MARKET FUND - 4.9% | |||||||
First American Government Obligations Fund, X Class (y) | United States | 0.22% | 12/01/31 | 7,223,950 | 7,223,950 | ||
Total MONEY MARKET FUND (Cost $7,223,950) | 7,223,950 | ||||||
Total Investments - 112.4% (c) | |||||||
(Cost $170,916,842) | 164,950,431 | ||||||
Liabilities in Excess of Other Assets - (12.4)% | (18,252,272) | ||||||
TOTAL NET ASSETS - 100.0% | $ 146,698,159 | ||||||
The following notes should be read in conjunction with the accompanying Schedule of Investments.
(a) | Investment holdings denominated in foreign currencies are converted to U.S. Dollars using period end spot rates. |
(b) | These investments may be subject to legal restrictions on sales, which as of March 31, 2022, represented 72.4% of the Fund's net assets. |
(c) | These securities are pledged as collateral for credit facility. |
(d) | As of March 31, 2022, the Fund had entered into the following commitments to fund various revolving and delayed draw senior secured and subordinated loans. Such commitments are subject to the satisfaction of certain conditions set forth in the documents governing these loans and there can be no assurance that such conditions will be satisfied. |
Company | Investment Type | Total revolving and delayed draw loan commitments (000s) | Less: funded commitments (000s) | Total unfunded commitments (000s) |
ASP-r-pac Acquisition Company LLC | First Lien Revolver Facility | $ 206 | $ - | 206 |
Baart Programs, Inc. | First Lien Delay Draw Term Loan | 722 | (377) | 344 |
Baart Programs, Inc. | Second Lien Delay Draw Term Loan | 1,246 | (404) | 842 |
Innocoll Pharmaceuticals Ltd | First Lien Tranche B Delay Draw Term Loan | 465 | - | 465 |
Innocoll Pharmaceuticals Ltd | First Lien Tranche C Delay Draw Term Loan | 465 | - | 465 |
Innocoll Pharmaceuticals Ltd | First Lien Tranche D Delay Draw Term Loan | 465 | - | 465 |
Kings Buyer LLC | First Lien Revolver Facility | 310 | (109) | 201 |
LSL Holdco LLC | First Lien Revolver Facility | 266 | (53) | 213 |
Mesoblast, Inc. | First Lien Tranche B Delay Draw Term Loan | 262 | - | 262 |
Mesoblast, Inc. | First Lien Tranche C Delay Draw Term Loan | 525 | - | 525 |
PFNY Holdings LLC | First Lien Delay Draw Term Loan | 347 | - | 347 |
PFNY Holdings LLC | First Lien Revolver Facility | 173 | - | 173 |
Total | $ 5,452 | $ (943) | $ 4,508 |
(e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2022, the total value of all such securities was $65,960,001 or 45.0% of net assets. |
(f) | Security fair valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of March 31, 2022, the total value of all such securities was $28,658,482 or 19.5% of net assets. These securities are characterized as Level 3 securities within the disclosure hierarchy. Level 3 security values are determined using significant unobservable inputs. |
(g) | These assets are held in the Oaktree Diversified Income Fund (Cayman) Ltd., a Cayman Islands exempted company and wholly-owned subsidiary of the Fund. |
(h) | Paid in kind security which may pay interest in additional par. |
(l) | Loan or bond was on non-accrual status as of March 31, 2022. |
(n) | Non-income producing security |
(r) | Securities may be deemed to be “restricted securities” under the Securities Act. As of March 31, 2022. |
(s) | Security is a “step up” bond where the coupon increases or steps up at a predetermined date. Interest rate shown is the rate in effect as of March 31, 2022. |
(v) | Variable rate security – Interest rate is based on reference rate and spread or based on the underlying assets. Interest rate may also be subject to a cap or floor. |
(y) | The rate quoted is the annualized seven-day yield as of March 31, 2022. |
Abbreviations: | |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury Rate |
EURIBOR | Euro Interbank Offered Rate |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment in-kind security |
Reg S | Regulation S |
SOFR | Secured Overnight Financing Rate |
Currencies: | |
EUR | Euro Currency |
GBP | British Pounds |
JPY | Japanese Yen |
HKD | Hong Kong Dollar |
USD | U.S. Dollar |
Oaktree Diversified Income Fund Inc
Notes to Consolidated Schedule of Investments
March 31, 2022 (Unaudited)
1. | Organization |
Oaktree Diversified Income Fund Inc. (the “Fund”) was organized as a corporation under the laws of the State of Maryland on June 29, 2021. The Fund is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, closed-end management investment company that continuously offers its shares of common stock, $0.001 par value per share (the “Common Shares”), and is operated as an “interval fund.” The Fund’s Class D shares commenced operations on November 1, 2021.
The Fund has two classes of shares: Class D and Class T shares. The Fund had applied for, and was granted, exemptive relief (the “Exemptive Relief”) by the Securities and Exchange Commission (the “SEC”) that permits the Fund to issue multiple classes of shares and to impose asset-based distribution fees and early-withdrawal fees. Currently, the Fund is only offering Class D shares.
Oaktree Fund Advisors, LLC (“Oaktree” or the “Adviser”), a Delaware limited liability company and a registered investment adviser under the Investment Advisers Act of 1940, as amended, serves as the investment adviser to the Fund. Oaktree was founded in April 1995 and is a leader among global investment managers specializing in alternative investments.
Brookfield Public Securities Group LLC (the “Administrator”), a wholly-owned subsidiary of Brookfield Asset Management Inc. (“Brookfield”), is registered as an investment adviser under the Investment Advisers Act of 1940, as amended, and serves as Administrator to the Fund. In 2019, Brookfield acquired a majority interest in the Adviser.
The Fund’s investment objective is to seek current income and attractive total return. The Fund seeks to achieve its investment objective by investing globally in high-conviction opportunities across Oaktree’s performing credit platform of high-yield bonds, senior loans, structured credit, emerging markets debt and convertibles, inclusive of both public and private credit sectors. High-yield bonds are also referred to as “below-investment grade rated securities” or “junk bonds,” as described in the Fund’s Prospectus. The Fund seeks to add value through three sources: (1) providing exposure to asset classes that require specialized expertise; (2) performing well in each asset class through proprietary, bottom-up and credit research; and (3) allocating capital opportunistically among asset classes based on Oaktree’s assessment of relative value.
Oaktree Diversified Income Fund (Cayman) Ltd. (the “Subsidiary”), a Cayman Islands exempted company and wholly-owned subsidiary of the Fund, was formed on November 11, 2021. The Subsidiary was established for the purpose of investing in certain Regulation S securities. All investments held by the Subsidiary are disclosed in the Consolidated Schedule of Investments.
2. Significant Accounting Policies
Valuation of Investments: The Fund’s Board of Trustees (the “Board”) has adopted procedures for the valuation of the Fund’s securities. The Adviser oversees the day to day responsibilities for valuation determinations under these procedures. The Board regularly reviews the application of these procedures to the securities in the Fund’s portfolio. The Adviser’s Valuation Committee is comprised of senior employees of the Adviser.
Investments in equity securities listed or traded on any securities exchange or traded in the over-the-counter market are valued at the last trade price as of the close of business on the valuation date. If the NYSE closes early, then the equity security will be valued at the last traded price before the NYSE close. Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by the Board in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE close. When fair value pricing is employed, the value of the portfolio securities used to calculate the Fund’s net asset value (“NAV”) may differ from quoted or official closing prices. Investments in open-end registered investment companies, if any, are valued at the NAV as reported by those investment companies.
Debt securities, including U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities, and unlisted securities and private placement securities, are generally valued at the bid prices furnished by an independent pricing service or, if not valued by an independent pricing service, using bid prices obtained from active and reliable market makers in any such security or a broker-dealer. Valuations from broker-dealers or pricing services consider appropriate factors such as market activity, market activity of comparable securities, yield, estimated default rates, timing of payments, underlying collateral, coupon rate, maturity date, and other factors. Short-term debt securities with remaining maturities of sixty days or less are valued at amortized cost of discount or premium to maturity, unless such valuation, in the judgment of the Adviser’s Valuation Committee, does not represent fair value.
Over-the-counter financial derivative instruments, such as forward currency 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.
Securities for which market prices are not readily available, cannot be determined using the sources described above, or the Adviser’s Valuation Committee determines that the quotation or price for a portfolio security provided by a broker-dealer or an independent pricing service is inaccurate will be valued at a fair value determined by the Adviser’s Valuation Committee following the procedures adopted by the Adviser under the supervision of the Board. The Adviser’s valuation policy establishes parameters for the sources, methodologies, and inputs the Adviser’s Valuation Committee uses in determining fair value.
The fair valuation methodology may include or consider the following guidelines, as appropriate: (1) evaluation of all relevant factors, including but not limited to, pricing history, current market level, supply and demand of the respective security; (2) comparison to the values and current pricing of securities that have comparable characteristics; (3) knowledge of historical market information with respect to the security; (4) other factors relevant to the security which would include, but not be limited to, duration, yield, fundamental analytical data, the Treasury yield curve, and credit quality. The fair value may be difficult to determine and thus judgment plays a greater role in the valuation process. Imprecision in estimating fair value can also impact the amount of unrealized appreciation or depreciation recorded for a particular portfolio security and differences in the assumptions used could result in a different determination of fair value, and those differences could be material. For those securities valued by fair valuations, the Adviser’s Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s NAV.
A three-tier hierarchy has been established to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes.
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for identical assets or liabilities
Level 2 — quoted prices in markets that are not active or other significant observable inputs (including, but not limited to: quoted prices for similar assets or liabilities, quoted prices based on recently executed transactions, interest rates, credit risk, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of assets or liabilities)
The following table summarizes the Fund’s investments valuation inputs categorized in the disclosure hierarchy as of March 31, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Senior Loans | $ | - | $ | 43,236,908 | $ | 1,311,074 | $ | 44,547,982 | ||||||||
Corporate Bonds | - | 47,391,841 | - | 47,391,841 | ||||||||||||
Convertible Bonds | - | 1,863,376 | - | 1,863,376 | ||||||||||||
Structured Credit | - | 36,575,874 | - | 36,575,874 | ||||||||||||
Private Asset-Backed Debt | - | - | 25,022,689 | 25,022,689 | ||||||||||||
Common Stocks | - | - | 189,480 | 189,480 | ||||||||||||
Preferred Stock | - | - | 2,015,801 | 2,015,801 | ||||||||||||
Warrants | - | - | 119,438 | 119,438 | ||||||||||||
Money Market Fund | 7,223,950 | - | - | 7,223,950 | ||||||||||||
Total Investments | $ | 7,223,950 | $ | 129,067,999 | $ | 28,658,482 | $ | 164,950,431 | ||||||||
Other Financial Instruments(1) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward currency contracts | $ | - | $ | 446,262 | $ | - | $ | 446,262 | ||||||||
Swap contracts | - | (106,739 | ) | - | (106,739 | ) | ||||||||||
Total | $ | - | $ | 339,523 | $ | - | $ | 339,523 |
The table below shows the significant unobservable valuation inputs that were used by the Adviser’s Valuation Committee to fair value the Level 3 investments as of March 31, 2022.
Quantitative Information about Level 3 Fair Value Measurements | ||||||
Value as of March 31, 2022 | Valuation Approach | Valuation Methodology | Unobservable Input | Amount or Range/ (Weighted Average) | Impact to Valuation from an Increase in Input(1) | |
Senior Loans | $ 1,311,074 | Income Approach | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 9.0%-10.0% (9.5%) | Decrease |
Private Asset-Backed Debt | 25,022,689 | Income Approach | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 8.7%-14.5% (11.0%) | Decrease |
Common Stock | 189,480 | Market Approach | Comparable Companies | Earnings Multiple | 10x - 12x (11x) | Increase |
Preferred Stock | 2,015,801 | Income Approach | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 11.3% - 11.8% (11.6%) | Decrease |
Warrants | 119,438 | Other | Black Scholes | Volatility | 65% - 75% (70%) | Increase |
Total | $28,658,482 | |||||
(1) The impact represents the expected directional change in the fair value of the Level 3 investments that would result from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements. |
The following is a reconciliation of the assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Senior Loans | Private Asset-Backed Debt | Common Stock | Preferred Stock | Warrants | Total | |||||||||||||||||||
Balance as of December 31, 2021 | $ | 1,327,206 | $ | 11,238,378 | $ | 200,000 | $ | - | $ | - | $ | 12,765,584 | ||||||||||||
Accrued discounts (premiums) | 590 | 18,999 | - | - | - | 19,589 | ||||||||||||||||||
Realized gain (loss) | 169 | 7,240 | - | - | - | 7,409 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) | 59 | (10,722 | ) | 1,777 | 23,512 | (16,723 | ) | (2,097 | ) | |||||||||||||||
Purchases at cost | - | 13,828,193 | (12,297 | ) | 1,992,289 | 136,161 | 15,944,346 | |||||||||||||||||
Sales proceeds | (16,950 | ) | (59,399 | ) | - | - | - | (76,349 | ) | |||||||||||||||
Balance as of March 31, 2022 | $ | 1,311,074 | $ | 25,022,689 | $ | 189,480 | $ | 2,015,801 | $ | 119,438 | $ | 28,658,482 | ||||||||||||
Change in unrealized gains or losses relating to assets still held at the reporting | $ | 59 | $ | (10,722 | ) | $ | 1,777 | $ | 23,512 | $ | (16,723 | ) | $ | (2,098 | ) |
For further information regarding the security characteristics of the Fund, see the Schedule of Investments.
3. | Credit Facility |
The Fund has established a Senior Secured Revolving Credit Facility (the “Credit Facility”) in the aggregate principal amount of up to $75,000,000 with Sumitomo Mitsui Banking Corporation for investment purposes subject to the limitations of the 1940 Act for borrowings by registered investment companies. The Fund pays interest in the amount of London Interbank Offered Rate plus 1.25%
on the amount outstanding and 0.25% on the line of credit that is unused. As of March 31, 2022, the Fund incurred debt issuance costs of $286,168. These costs were recorded as a deferred charge and are being amortized over the two year term of the Credit Facility.
As of March 31, 2022, the Fund had outstanding borrowings of $10,000,000. For the three months ended March 31, 2022, the Fund borrowed an average daily balance of $10,000,000 at a weighted average borrowing cost of 1.63%, and the interest expense amounted to $40,287.