OAKTREE DIVERSIFIED INCOME FUND INC. | |||||||||
Consolidated Schedule of Investments (Unaudited) | |||||||||
March 31, 2023 | |||||||||
Description | Country | Principal Amount | Value | ||||||
CORPORATE CREDIT – 57.4% | |||||||||
Senior Loans (Syndicated) – 28.7%(a) | |||||||||
Aerospace & Defense – 1.7% | |||||||||
AI Convoy Luxembourg Sarl, First Lien Tranche B Term Loan | |||||||||
5.53% (3 Month EURIBOR + 3.50%), 01/20/27(b) | Luxembourg | € | 240,000 | $ | 245,501 | ||||
Cobham Ultra US Company Borrower LLC, First Lien Tranche B Term Loan | |||||||||
8.56% (6 Month LIBOR USD + 3.75%), 08/04/29(b) | United States | $ | 995,006 | 976,350 | |||||
Dynasty Acquisition Company, Inc., First Lien Tranche B Incremental Term Loan | |||||||||
8.41%, 04/08/26 | United States | 535,817 | 524,983 | ||||||
Jazz Acquisition, Inc., First Lien Tranche B Term Loan | |||||||||
8.72% (3 Month US LIBOR + 4.25%), 06/19/26(b) | United States | 500,000 | 490,428 | ||||||
Standard Aero Ltd, First Lien Tranche B Term Loan | |||||||||
8.41% (3 Month LIBOR USD + 3.50%), 04/08/26(b) | Canada | 113,343 | 111,051 | ||||||
WP CPP Holdings LLC, First Lien Tranche B Term Loan | |||||||||
8.58% (3 Month LIBOR USD + 3.75%), 04/30/25(b) | United States | 492,612 | 450,671 | ||||||
2,798,984 | |||||||||
Total Aerospace & Defense | |||||||||
Automobile Components – 0.3% | |||||||||
First Brands Group LLC, First Lien Tranche B Term Loan | |||||||||
10.25% (6 Month SOFR + 5.00%), 03/30/27(b) | United States | 500,000 | 483,750 | ||||||
Banks – 0.3% | |||||||||
Renaissance Holdings Corp., First Lien Term Loan | |||||||||
7.88% (3 Month US LIBOR + 3.25%), 05/30/25(b) | United States | 500,000 | 487,148 | ||||||
Beverages – 0.9% | |||||||||
Pegasus Bidco BV, First Lien Tranche B Term Loan | |||||||||
6.90% (3 Month EURIBOR + 4.25%), 07/12/29(b) | Netherlands | € | 250,000 | 264,958 | |||||
9.01% (3 Month SOFR + 4.25%), 07/12/29(b) | Netherlands | $ | 498,750 | 492,723 | |||||
Triton Water Holdings, Inc., First Lien Tranche B Term Loan | |||||||||
8.66% (3 Month US LIBOR + 3.50%), 03/31/28(b) | United States | 738,723 | 666,006 | ||||||
1,423,687 | |||||||||
Total Beverages | |||||||||
Biotechnology – 0.1% | |||||||||
Curium Bidco Sarl, First Lien Tranche B Term Loan | |||||||||
8.98% (1 Month LIBOR USD + 4.25%), 12/02/27(b)(c) | Luxembourg | 497,500 | 225,381 | ||||||
Building Products – 0.2% | |||||||||
Timber Servicios Empresariales SA, First Lien Tranche B Term Loan | |||||||||
8.04% (1 Month EURIBOR + 4.75%), 03/29/29(b) | Spain | € | 300,000 | 287,884 | |||||
Chemicals – 0.6% | |||||||||
Axalta Coating Systems US Holdings, Inc., First Lien Tranche B4 Term Loan | |||||||||
7.90% (1 Month SOFR + 3.00%), 12/20/29(b) | United States | $ | 243,750 | 244,411 | |||||
INEOS Enterprises Holdings II Ltd., First Lien Tranche B Term Loan | |||||||||
5.95% (3 Month EURIBOR + 3.25%), 09/03/26(b) | United Kingdom | € | 250,000 | 266,495 | |||||
INEOS Finance PLC, First Lien Tranche B Term Loan | |||||||||
6.91% (3 Month EURIBOR + 2.00%), 11/08/27(b) | United Kingdom | 247,403 | 267,638 | ||||||
INEOS Quattro, First Lien Tranche B Term Loan | |||||||||
5.18% (1 Month EURIBOR + 2.75%), 01/29/26(b) | United Kingdom | 250,000 | 261,782 | ||||||
1,040,326 | |||||||||
Total Chemicals | |||||||||
Commercial Services & Supplies – 2.4% | |||||||||
Access CIG LLC, First Lien Term Loan | |||||||||
8.73% (3 Month LIBOR USD + 3.75%), 02/27/25(b) | United States | $ | 984,104 | 975,901 | |||||
Allied Universal, First Lien Tranche B Term Loan | |||||||||
6.66% (3 Month EURIBOR + 3.75%), 05/14/28(b) | Luxembourg | € | 249,369 | 254,909 | |||||
Allied Universal Holdco LLC, First Lien Tranche B Term Loan | |||||||||
8.66% (1 Month LIBOR USD + 3.75%), 05/14/28(b) | United States | $ | 865,093 | 822,846 | |||||
Broom Holdings Bidco Ltd., First Lien Tranche B Term Loan | |||||||||
6.50% (3 Month EURIBOR + 3.75%), 08/23/28(b) | Ireland | € | 250,000 | 262,315 | |||||
Freshworld Holding III GMBH, First Lien Tranche B2 Term Loan | |||||||||
5.69% (3 Month EURIBOR + 3.25%), 10/02/26(b)(d) | Germany | 250,000 | 260,507 | ||||||
Garda World Security Corp., First Lien Tranche B Term Loan | |||||||||
9.11% (1 Month LIBOR USD + 4.25%), 10/30/26(b) | Canada | $ | 1,000,000 | 991,880 | |||||
TMS International Corp., First Lien Tranche B Term Loan | |||||||||
9.51% (1 Month SOFR + 4.75%), 03/02/30(b) | United States | 500,000 | 488,437 | ||||||
Trugreen LP, First Lien Tranche B Term Loan | |||||||||
8.84% (1 Month LIBOR USD + 4.00%), 11/02/27(b) | United States | 111,430 | 103,178 | ||||||
4,159,973 | |||||||||
Total Commercial Services & Supplies | |||||||||
Communications Equipment – 0.7% | |||||||||
Genesys Cloud Services Holdings II LLC, First Lien Tranche B Term Loan | |||||||||
8.63% (1 Month US LIBOR + 4.00%), 12/01/27(b) | United States | 500,000 | 493,633 | ||||||
Sorenson Communications LLC, First Lien Tranche B Term Loan | |||||||||
10.34% (1 Month LIBOR USD + 5.50%), 03/17/26(b) | United States | 689,202 | 658,333 | ||||||
1,151,966 | |||||||||
Total Communications Equipment | |||||||||
Construction & Engineering – 1.2% | |||||||||
ADB Companies LLC, First Lien Term Loan | |||||||||
11.34% (1 Month LIBOR USD + 6.25%), 12/18/25(b)(e) | United States | 1,274,321 | 1,248,834 | ||||||
Tiger Acquisition LLC, First Lien Tranche B Term Loan | |||||||||
8.16% (1 Month LIBOR USD + 3.25%), 06/01/28(b) | United States | 742,462 | 723,901 | ||||||
1,972,735 | |||||||||
Total Construction & Engineering | |||||||||
Construction Materials – 0.2% | |||||||||
Hunter Douglas, Inc., First Lien Tranche B Term Loan | |||||||||
8.37% (3 Month SOFR + 3.50%), 02/09/29(b) | Netherlands | 303,322 | 273,857 | ||||||
Consumer Finance – 0.2% | |||||||||
American Auto Auction Group LLC, Second Lien Term Loan | |||||||||
13.33% (3 Month SOFR + 8.75%), 12/30/28(b) | United States | 483,000 | 356,696 | ||||||
Consumer Staples Distribution & Retail – 0.2% | |||||||||
Bellis Acquisition Company PLC, First Lien Tranche B Term Loan | |||||||||
4.55% (3 Month EURIBOR + 2.75%), 02/16/26(b) | United Kingdom | € | 250,000 | 254,181 | |||||
Containers & Packaging – 1.3% | |||||||||
Charter Next Generation, Inc., First Lien Term Loan | |||||||||
8.67% (1 Month SOFR + 3.75%), 12/01/27(b) | United States | $ | 500,000 | 494,650 | |||||
Clydesdale Acquisition Holdings, Inc., First Lien Term Loan | |||||||||
9.08% (1 Month SOFR + 4.18%), 04/13/29(b) | United States | 477,393 | 467,308 | ||||||
Kouti BV, First Lien Tranche B Term Loan | |||||||||
7.40% (3 Month EURIBOR + 4.75%), 08/31/28(b) | United States | € | 200,000 | 215,364 | |||||
Proampac PG Borrower LLC, First Lien Tranche B Term Loan | |||||||||
7.96% (1 Month LIBOR USD + 3.75%), 11/03/25(b) | United States | $ | 985,000 | 965,793 | |||||
2,143,115 | |||||||||
Total Containers & Packaging | |||||||||
Distributors – 0.7% | |||||||||
American Tire Distributors, Inc., First Lien Tranche B Term Loan | |||||||||
10.61% (3 Month US LIBOR + 6.25%), 10/22/28(b) | United States | 500,000 | 440,835 | ||||||
Dealer Tire Financial LLC, First Lien Tranche B Term Loan | |||||||||
9.12% (1 Month SOFR + 4.50%), 12/14/27(b) | United States | 660,809 | 657,713 | ||||||
1,098,548 | |||||||||
Total Distributors | |||||||||
Diversified Consumer Services – 1.4% | |||||||||
AI Aqua Merger Sub, Inc., First Lien Tranche B Term Loan | |||||||||
8.48% (TSFR1M + 3.75%), 07/31/28(b) | United States | 497,589 | 481,731 | ||||||
Houghton Mifflin Harcourt Co., First Lien Tranche B Term Loan | |||||||||
10.16% (1 Month SOFR + 5.25%), 04/07/29(b) | United States | 346,879 | 311,931 | ||||||
KUEHG Corp., First Lien Tranche B3 Term Loan | �� | ||||||||
8.48% (1 Month US LIBOR + 3.75%), 02/21/25(b) | United States | 500,000 | 491,875 | ||||||
Obol France 3 SAS, First Lien Tranche B Term Loan | |||||||||
7.11% (3 Month EURIBOR + 4.75%), 12/09/25(b) | France | € | 250,000 | 247,177 | |||||
PetVet Care Centers LLC, Second Lien Term Loan | |||||||||
11.09% (3 Month LIBOR USD + 6.25%), 02/15/26(b) | United States | $ | 500,000 | 448,500 | |||||
Springer Nature Deutschland GmbH, First Lien Tranche B Term Loan | |||||||||
4.95% (3 Month EURIBOR + 3.25%), 08/14/26(b) | Germany | € | 250,000 | 263,910 | |||||
Verisure Holding AB, First Lien Tranche B Term Loan | |||||||||
6.26% (3 Month EURIBOR + 3.50%), 03/25/28(b) | Sweden | 250,000 | 260,761 | ||||||
2,505,885 | |||||||||
Total Diversified Consumer Services | |||||||||
Diversified Telecommunication Services – 0.5% | |||||||||
Altice France SA, First Lien Tranche B Term Loan | |||||||||
7.20% (3 Month EURIBOR + 3.00%), 10/31/27(b) | Luxembourg | 230,000 | 249,124 | ||||||
CCI Buyer, Inc., First Lien Tranche B Term Loan | |||||||||
8.58% (3 Month SOFR + 4.00%), 12/17/27(b)(c) | United States | $ | 750,000 | – | |||||
Intelsat Jackson Holdings SA, First Lien Tranche EXIT Term Loan | |||||||||
9.08% (6 Month SOFR + 4.25%), 02/01/29(b) | Luxembourg | 423,853 | 420,320 | ||||||
Numericable U.S. LLC, First Lien Tranche B14 Term Loan | |||||||||
8.02% (3 Month EURIBOR + 5.50%), 08/15/28(b) | United States | € | 200,000 | 205,032 | |||||
874,476 | |||||||||
Total Diversified Telecommunication Services | |||||||||
Electronic Equipment Instruments & Components – 0.6% | |||||||||
LTI Holdings, Inc., First Lien Tranche B Term Loan | |||||||||
8.34% (3 Month LIBOR USD + 3.50%), 09/06/25(b) | United States | $ | 984,536 | 953,154 | |||||
Energy Equipment & Services – 0.4% | |||||||||
Artera Services LLC, First Lien Term Loan | |||||||||
8.66% (1 Month LIBOR USD + 3.50%), 03/06/25(b) | United States | 738,722 | 629,498 | ||||||
Entertainment – 0.2% | |||||||||
City Football Group Ltd., First Lien Tranche B Term Loan | |||||||||
7.78% (1 Month US LIBOR + 3.00%), 07/21/28(b) | United Kingdom | 500,000 | 480,625 | ||||||
Financial Services – 0.2% | |||||||||
Apex Group Treasury Ltd., First Lien Tranche B Term Loan | |||||||||
6.54% (3 Month EURIBOR + 4.00%), 07/27/28(b) | Ireland | € | 250,000 | 261,835 | |||||
Health Care Equipment & Supplies – 0.1% | |||||||||
Medline Borrower LP, First Lien Tranche B Term Loan | |||||||||
8.09% (1 Month LIBOR USD + 3.25%), 10/21/28(b) | United States | $ | 243,000 | 237,248 | |||||
Health Care Providers & Services – 1.1% | |||||||||
Baart Programs, Inc., First Lien Delay Draw Term Loan | |||||||||
10.16% (1 Month LIBOR USD + 5.00%), 06/11/27(b)(e) | United States | 421,998 | 410,605 | ||||||
Baart Programs, Inc., Second Lien Delay Draw Term Loan | |||||||||
13.48% (1 Month LIBOR USD + 8.50%), 06/11/28(b)(e) | United States | 584,156 | 566,631 | ||||||
Corgi BidCo, First Lien Term Loan | |||||||||
9.90% (3 Month SOFR + 5.00%), 10/13/29(b) | United States | 362,000 | 342,995 | ||||||
HomeVi SASU, First Lien Tranche B Term Loan | |||||||||
6.49% (3 Month EURIBOR + 4.00%), 10/31/26(b) | France | € | 250,000 | 243,718 | |||||
Nidda Healthcare Holding Gmb, First Lien Tranche F Term Loan | |||||||||
6.18% (3 Month EURIBOR + 3.50%), 08/21/26(b) | Germany | 250,000 | 257,383 | ||||||
1,821,332 | |||||||||
Total Health Care Providers & Services | |||||||||
Health Care Technology – 1.2% | |||||||||
MedAssets Software Intermediate Holdings, Inc, Second Lien Term Loan | |||||||||
11.59% (1 Month LIBOR USD + 6.75%), 12/17/29(b) | United States | $ | 2,082,000 | 1,315,137 | |||||
Polaris Newco LL, First Lien Tranche B Term Loan | |||||||||
9.16% (3 Month LIBOR USD + 4.00%), 06/04/28(b) | United States | 508,608 | 465,234 | ||||||
Solera LL, First Lien Tranche B Term Loan | |||||||||
6.49% (3 Month EURIBOR + 4.00%), 06/04/28(b) | United States | € | 246,875 | 236,947 | |||||
2,017,318 | |||||||||
Total Health Care Technology | |||||||||
Hotels Restaurants & Leisure – 2.0% | |||||||||
Alterra Mountain Co., First Lien Tranche B Term Loan | |||||||||
8.34% (1 Month LIBOR USD + 3.50%), 08/17/28(b) | United States | $ | 927,727 | 926,567 | |||||
Carnival Corp., First Lien Tranche B Term Loan | |||||||||
7.84% (6 Month LIBOR USD + 3.00%), 06/30/25(b) | Panama | 744,260 | 736,445 | ||||||
Entain Holdings Gibraltar Ltd., First Lien Tranche B Term Loan | |||||||||
8.44% (1 Month SOFR + 3.50%), 10/31/29(b) | United Kingdom | 265,335 | 265,957 | ||||||
Flutter Financing BV, First Lien Tranche B Term Loan | |||||||||
8.41% (1 Month SOFR + 3.25%), 07/04/28(b) | Netherlands | 256,710 | 257,057 | ||||||
Flynn Restaurant Group LP, First Lien Tranche B Term Loan | |||||||||
9.09% (1 Month LIBOR USD + 4.25%), 12/03/28(b) | United States | 987,500 | 961,825 | ||||||
Hurtigruten Group AS, First Lien Tranche B Term Loan | |||||||||
7.20% (3 Month EURIBOR + 4.00%), 02/22/25(b) | Norway | € | 200,000 | 201,236 | |||||
Whatabrands LLC, First Lien Tranche B Term Loan | |||||||||
8.09% (1 Month LIBOR USD + 3.25%), 08/03/28(b) | United States | $ | 86,562 | 85,781 | |||||
3,434,868 | |||||||||
Total Hotels Restaurants & Leisure | |||||||||
Independent Power and Renewable Electricity Producers – 0.5% | |||||||||
Parkway Generation LLC, First Lien Tranche B Term Loan | |||||||||
9.90% (1 Month SOFR + 4.75%), 02/18/29(b) | United States | 683,455 | 662,096 | ||||||
Parkway Generation LLC, First Lien Tranche C Term Loan | |||||||||
9.90% (1 Month LIBOR USD + 4.75%), 02/18/29(b) | United States | 89,876 | 87,030 | ||||||
�� | 749,126 | ||||||||
Total Independent Power and Renewable Electricity Producers | |||||||||
Insurance – 0.3% | |||||||||
Asurion LLC, Second Lien Tranche B3 Term Loan | |||||||||
10.09% (1 Month LIBOR USD + 5.25%), 02/03/28(b) | United States | 350,000 | 292,862 | ||||||
Asurion, LLC, First Lien Tranche B10 Term Loan | |||||||||
8.91% (3 Month SOFR + 4.00%), 08/19/28(b) | United States | 298,500 | 276,301 | ||||||
569,163 | |||||||||
Total Insurance | |||||||||
Leisure Products – 0.6% | |||||||||
Gibson Brands, Inc., First Lien Term Loan | |||||||||
9.92% (1 Month LIBOR USD + 5.00%), 08/13/28(b) | United States | 395,000 | 316,494 | ||||||
Peloton Interactive, First Lien Term Loan | |||||||||
11.76% (1 Month SOFR + 6.50%), 05/25/27(b) | United States | 646,626 | 646,089 | ||||||
962,583 | |||||||||
Total Leisure Products | |||||||||
Life Sciences Tools & Services – 0.3% | |||||||||
Sotera Health Holdings LLC, First Lien Tranche B Term Loan | |||||||||
8.82% (1 Month SOFR + 3.75%), 12/13/26(b) | United States | 500,000 | 493,125 | ||||||
Machinery – 0.8% | |||||||||
Delachaux Group SA, First Lien Tranche B Term Loan | |||||||||
5.36% (3 Month EURIBOR + 3.75%), 04/16/26(b) | France | € | 239,144 | 252,220 | |||||
Restaurant Technologies, Inc., First Lien Tranche B Term Loan | |||||||||
8.83% (3 Month SOFR + 4.25%), 03/17/29(b) | United States | $ | 505,696 | 500,819 | |||||
SPX FLOW, Inc., First Lien Tranche B Term Loan | |||||||||
9.22% (1 Month SOFR + 4.50%), 04/05/29(b) | United States | 500,000 | 478,440 | ||||||
1,231,479 | |||||||||
Total Machinery | |||||||||
Media – 1.2% | |||||||||
Directv Financing LLC, First Lien Term Loan | |||||||||
9.84% (1 Month LIBOR USD + 5.00%), 08/02/27(b) | United States | 865,000 | 834,431 | ||||||
Learfield Communications LLC, First Lien Term Loan | |||||||||
8.10% (1 Month US LIBOR + 3.25%), 12/01/23(b) | United States | 157,435 | 111,459 | ||||||
Recorded Books, Inc., First Lien Term Loan | |||||||||
8.79% (1 Month SOFR + 4.00%), 08/31/25(b) | United States | 261,301 | 260,452 | ||||||
Univision Communications, Inc., First Lien Tranche B Term Loan | |||||||||
8.83% (3 Month SOFR + 4.25%), 06/24/29(b) | United States | 500,000 | 497,375 | ||||||
Virgin Media SFA Finance Ltd., First Lien Term Loan | |||||||||
7.21% (Secured Overnight Financing Rate + 3.25%), 01/15/27(b) | United Kingdom | £ | 200,000 | 233,105 | |||||
1,936,822 | |||||||||
Total Media | |||||||||
Metals & Mining – 1.5% | |||||||||
American Rock Salt Company LLC, First Lien Tranche B Term Loan | |||||||||
8.84% (1 Month LIBOR USD + 4.00%), 06/11/28(b) | United States | $ | 497,468 | 480,679 | |||||
PECF USS Intermediate Holding III Corp., First Lien Tranche B Term Loan | |||||||||
9.09% (1 Month LIBOR USD + 4.25%), 12/15/28(b) | United States | 861,352 | 729,785 | ||||||
PMHC II, Inc., First Lien Term Loan | |||||||||
9.08% (3 Month SOFR + 4.25%), 04/21/29(b) | United States | 474,810 | 419,787 | ||||||
SCIH Salt Holdings, Inc., First Lien Tranche B Term Loan | |||||||||
8.83% (1 Month LIBOR USD + 4.00%), 03/16/27(b) | United States | 909,643 | 889,499 | ||||||
2,519,750 | |||||||||
Total Metals & Mining | |||||||||
Multiline Retail – 0.2% | |||||||||
Amer Sports Holding Oy, First Lien Tranche B Term Loan | |||||||||
5.13% (6 Month EURLIBOR + 4.50%), 03/30/26(b) | Finland | € | 250,000 | 264,809 | |||||
Oil Gas & Consumable Fuels – 0.1% | |||||||||
Freeport LNG Investments LLLP, First Lien Tranche B Term Loan | |||||||||
8.31% (3 Month US LIBOR + 3.50%), 12/21/28(b) | United States | $ | 101,741 | 98,798 | |||||
Passenger Airlines – 0.4% | |||||||||
Mileage Plus Holdings LLC, First Lien Tranche B Term Loan | |||||||||
10.21% (1 Month LIBOR USD + 5.25%), 06/20/27(b) | United States | 171,700 | 178,472 | ||||||
United Airlines, Inc., First Lien Tranche B Term Loan | |||||||||
8.57% (3 Month LIBOR USD + 3.75%), 04/21/28(b) | United States | 493,703 | 491,296 | ||||||
669,768 | |||||||||
Total Passenger Airlines | |||||||||
Pharmaceuticals – 0.2% | |||||||||
Antigua Bidco Ltd., First Lien Tranche B Term Loan | |||||||||
6.70% (3 Month EURIBOR + 4.00%), 08/07/26(b) | United Kingdom | € | 250,000 | 266,246 | |||||
Pharmeceuticals – 0.2% | |||||||||
Zentiva, First Lien Tranche B Term Loan | |||||||||
6.16% (3 Month EURIBOR + 3.75%), 09/30/25(b) | Luxembourg | 250,000 | 263,197 | ||||||
Professional Services – 0.6% | |||||||||
DTI Holdco, Inc., First Lien Tranche B Term Loan | |||||||||
9.43% (3 Month SOFR + 4.75%), 04/26/29(b) | United States | $ | 497,500 | 463,359 | |||||
Element Materials Technology Group US Holdings, Inc., First Lien Delay Draw Term Loan | |||||||||
9.25% (1 Month SOFR + 4.25%), 06/24/29(b) | United States | 341,250 | 338,051 | ||||||
9.25% (3 Month SOFR + 4.25%), 06/24/29(b) | United States | 157,500 | 156,023 | ||||||
957,433 | |||||||||
Total Professional Services | |||||||||
Software – 2.5% | |||||||||
Castle US Holding Corp., First Lien Tranche B Term Loan | |||||||||
6.66% (3 Month EURIBOR + 3.75%), 01/29/27(b) | United States | € | 246,827 | 180,131 | |||||
8.84% (1 Month LIBOR USD + 4.00%), 01/29/27(b) | United States | $ | 989,518 | 649,994 | |||||
eResearchTechnology, Inc., First Lien Tranche B Term Loan | |||||||||
9.13% (1 Month US LIBOR + 4.50%), 02/04/27(b) | United States | 500,000 | 472,500 | ||||||
ION Corporate Solutions Finance Sarl, First Lien Tranche B Term Loan | |||||||||
5.95% (3 Month EURIBOR + 3.75%), 03/11/28(b) | Luxembourg | € | 250,000 | 257,705 | |||||
McAfee Corp., First Lien Tranche B Term Loan | |||||||||
6.49% (1 Month EURIBOR + 4.00%), 03/01/29(b) | United States | 248,750 | 255,693 | ||||||
Mitchell International, Inc., First Lien Tranche B Term Loan | |||||||||
8.50% (3 Month LIBOR USD + 3.75%), 10/15/28(b) | United States | $ | 704,354 | 667,735 | |||||
Planview Parent, Inc., First Lien Term Loan | |||||||||
9.16% (3 Month LIBOR USD + 4.00%), 12/17/27(b) | United States | 159,991 | 151,958 | ||||||
Skopima Consilio Parent LLC, First Lien Term Loan | |||||||||
8.84% (1 Month LIBOR USD + 4.00%), 05/17/28(b) | United States | 924,613 | 866,169 | ||||||
TIBCO Software, Inc., First Lien Tranche B Term Loan | |||||||||
9.18% (3 Month SOFR + 4.50%), 03/19/29(b) | United States | 144,000 | 131,400 | ||||||
9.18% (3 Month SOFR + 4.50%), 09/30/28(b) | United States | 193,000 | 174,975 | ||||||
UKG, Inc.,, Second Lien Term Loan | |||||||||
10.03% (3 Month LIBOR USD + 5.25%), 05/03/27(b) | United States | 500,000 | 481,750 | ||||||
4,290,010 | |||||||||
Total Software | |||||||||
Specialty Retail – 0.5% | |||||||||
CD&R Firefly Bidco Ltd., First Lien Tranche B1 Term Loan | |||||||||
7.78% (1 Month SONIA + 4.75%), 06/21/25(b) | United Kingdom | £ | 250,000 | 298,247 | |||||
Great Outdoors Group LLC, First Lien Tranche B Term Loan | |||||||||
8.59% (1 Month LIBOR USD + 3.75%), 03/05/28(b) | United States | $ | 497,475 | 491,881 | |||||
790,128 | |||||||||
Total Specialty Retail | |||||||||
Textiles Apparel & Luxury Goods – 0.1% | |||||||||
Breitling Financial Sarl, First Lien Add-On Term Loan | |||||||||
4.75% (3 Month EURIBOR + 4.75%), 10/25/28(b) | Luxembourg | € | 135,000 | 143,297 | |||||
Total Senior Loans (Syndicated) | 47,580,204 | ||||||||
High Yield – 21.5% | |||||||||
Aerospace & Defense – 0.7% | |||||||||
Bombardier, Inc. | |||||||||
7.13%, 06/15/26(f) | Canada | $ | 240,000 | 241,080 | |||||
Spirit AeroSystems, Inc. | |||||||||
7.50%, 04/15/25(f) | United States | 275,000 | 275,270 | ||||||
9.38%, 11/30/29(f) | United States | 235,000 | 256,738 | ||||||
TransDigm, Inc. | |||||||||
5.50%, 11/15/27 | United States | 360,000 | 339,840 | ||||||
6.25%, 03/15/26(f) | United States | 95,000 | 95,183 | ||||||
1,208,111 | |||||||||
Total Aerospace & Defense | |||||||||
Airlines – 0.1% | |||||||||
Hawaiian Brand Intellectual Property Ltd. | |||||||||
5.75%, 01/20/26(f) | Cayman Islands | 150,000 | 142,593 | ||||||
Auto Components – 0.4% | |||||||||
Dana Financing Luxembourg Sarl | |||||||||
3.00%, 07/15/29 | United States | € | 200,000 | 168,366 | |||||
IHO Verwaltungs GmbH | |||||||||
3.63%, 05/15/25(g) | Germany | 160,000 | 172,948 | ||||||
8.75%, 05/15/28(g) (h)(i) | Germany | 100,000 | 111,029 | ||||||
Renk AG | |||||||||
5.75%, 07/15/25 | Germany | 200,000 | 212,938 | ||||||
665,281 | |||||||||
Total Auto Components | |||||||||
Beverages – 0.1% | |||||||||
Primo Water Holdings, Inc. | |||||||||
3.88%, 10/31/28 | Canada | 200,000 | 189,795 | ||||||
Chemicals – 0.7% | |||||||||
Diamond BC BV | |||||||||
4.63%, 10/01/29(f) | Netherlands | $ | 170,000 | 165,810 | |||||
INEOS Finance PLC | |||||||||
6.63%, 05/15/28(h)(i) | United Kingdom | € | 175,000 | 191,901 | |||||
Nufarm Australia Ltd. | |||||||||
5.00%, 01/27/30(f) | Australia | $ | 445,000 | 392,554 | |||||
Olympus Water US Holding Corp. | |||||||||
4.25%, 10/01/28(f) | United States | 280,000 | 231,976 | ||||||
SK Invictus Intermediate II Sarl | |||||||||
5.00%, 10/30/29(f) | Luxembourg | 225,000 | 187,047 | ||||||
1,169,288 | |||||||||
Total Chemicals | |||||||||
Commercial Services & Supplies – 1.5% | |||||||||
Allied Universal Holdco LLC | |||||||||
4.63%, 06/01/28(f) | United States | 405,000 | 343,114 | ||||||
Hurricane Finance PLC | |||||||||
8.00%, 10/15/25 | United Kingdom | £ | 100,000 | 111,880 | |||||
Iron Mountain, Inc. | |||||||||
5.00%, 07/15/28(f) | United States | $ | 435,000 | 405,252 | |||||
LABL, Inc. | |||||||||
5.88%, 11/01/28(f) | United States | 445,000 | 396,246 | ||||||
Prime Security Services Borrower LLC | |||||||||
6.25%, 01/15/28(f) | United States | 485,000 | 453,931 | ||||||
TMS International Corp. | |||||||||
6.25%, 04/15/29(f) | United States | 330,000 | 254,803 | ||||||
WASH Multifamily Acquisition, Inc. | |||||||||
5.75%, 04/15/26(f) | United States | 430,000 | 407,365 | ||||||
2,372,591 | |||||||||
Total Commercial Services & Supplies | |||||||||
Communications Equipment – 0.3% | |||||||||
CommScope Technologies LLC | |||||||||
6.00%, 06/15/25(f) | United States | 260,000 | 245,111 | ||||||
CommScope, Inc. | |||||||||
4.75%, 09/01/29(f) | United States | 75,000 | 62,588 | ||||||
6.00%, 03/01/26(f) | United States | 95,000 | 91,789 | ||||||
399,488 | |||||||||
Total Communications Equipment | |||||||||
Construction & Engineering – 0.4% | |||||||||
Great Lakes Dredge & Dock Corp. | |||||||||
5.25%, 06/01/29(f) | United States | 340,000 | 257,414 | ||||||
Pike Corp. | |||||||||
5.50%, 09/01/28(f) | United States | 440,000 | 385,466 | ||||||
642,880 | |||||||||
Total Construction & Engineering | |||||||||
Consumer Finance – 0.3% | |||||||||
FirstCash, Inc. | |||||||||
5.63%, 01/01/30(f) | United States | 220,000 | 203,251 | ||||||
Ford Motor Credit Company LLC | |||||||||
4.00%, 11/13/30 | United States | 445,000 | 378,743 | ||||||
581,994 | |||||||||
Total Consumer Finance | |||||||||
Containers & Packaging – 0.7% | |||||||||
Ardagh Packaging Finance PLC | |||||||||
2.13%, 08/15/26 | Ireland | € | 180,000 | 171,465 | |||||
5.25%, 08/15/27(f) | United States | $ | 260,000 | 205,247 | |||||
Fiber Bidco SpA | |||||||||
9.02% (3 Month EURIBOR + 6.00%), 10/25/27(b)(f) | Italy | € | 100,000 | 109,321 | |||||
Graham Packaging Company, Inc. | |||||||||
7.13%, 08/15/28(f) | United States | $ | 285,000 | 246,721 | |||||
Intelligent Packaging Limited Finco, Inc. | |||||||||
6.00%, 09/15/28(f) | Canada | 435,000 | 375,187 | ||||||
Silgan Holdings, Inc. | |||||||||
2.25%, 06/01/28 | United States | € | 200,000 | 183,669 | |||||
Trivium Packaging Finance BV | |||||||||
3.75%, 08/15/26 | Netherlands | 100,000 | 100,317 | ||||||
1,391,927 | |||||||||
Total Containers & Packaging | |||||||||
Diversified Consumer Services – 0.3% | |||||||||
AA Bond Company Ltd. | |||||||||
6.50%, 01/31/26 | United Kingdom | £ | 100,000 | 104,853 | |||||
Verisure Holding AB | |||||||||
3.88%, 07/15/26 | Sweden | € | 100,000 | 100,881 | |||||
Verisure Midholding AB | |||||||||
5.25%, 02/15/29 | Sweden | 100,000 | 90,466 | ||||||
296,200 | |||||||||
Total Diversified Consumer Services | |||||||||
Diversified Telecommunication Services – 1.6% | |||||||||
Altice Financing SA | |||||||||
3.00%, 01/15/28 | Luxembourg | 200,000 | 173,510 | ||||||
Altice France SA | |||||||||
3.38%, 01/15/28 | France | 100,000 | 85,039 | ||||||
4.13%, 01/15/29 | France | 100,000 | 83,778 | ||||||
Cogent Communications Group, Inc. | |||||||||
7.00%, 06/15/27(f) | United States | $ | 210,000 | 208,404 | |||||
eircom Finance DAC | |||||||||
3.50%, 05/15/26 | Ireland | € | 200,000 | 206,340 | |||||
Frontier Communications Holdings LLC | |||||||||
5.00%, 05/01/28(f) | United States | $ | 290,000 | 251,975 | |||||
6.75%, 05/01/29(f) | United States | 155,000 | 122,988 | ||||||
8.75%, 05/15/30(f) | United States | 255,000 | 254,257 | ||||||
Iliad Holding SASU | |||||||||
5.63%, 10/15/28 | France | € | 200,000 | 202,456 | |||||
Level 3 Financing, Inc. | |||||||||
4.25%, 07/01/28(f) | United States | $ | 330,000 | 186,524 | |||||
Lorca Telecom Bondco SA | |||||||||
4.00%, 09/18/27 | Spain | € | 200,000 | 199,816 | |||||
Telecom Italia SpA | |||||||||
6.88%, 02/15/28(h)(i) | Italy | 100,000 | 111,100 | ||||||
Telefonica Europe BV | |||||||||
4.38% (EUSA6 + 4.11%), Perpetual(b) | Netherlands | 200,000 | 212,075 | ||||||
Ziggo Bond Company BV | |||||||||
3.38%, 02/28/30 | Netherlands | 200,000 | 168,577 | ||||||
2,466,839 | |||||||||
Total Diversified Telecommunication Services | |||||||||
Electrical Equipment – 0.2% | |||||||||
APX Group, Inc. | |||||||||
6.75%, 02/15/27(f) | United States | $ | 290,000 | 288,870 | |||||
Electronic Equipment, Instruments & Components – 0.1% | |||||||||
Centurion Bidco SpA | |||||||||
5.88%, 09/30/26 | Italy | € | 200,000 | 195,291 | |||||
Energy Equipment & Services – 0.1% | |||||||||
Precision Drilling Corp. | |||||||||
7.13%, 01/15/26(f) | Canada | $ | 245,000 | 239,502 | |||||
Entertainment – 0.2% | |||||||||
Banijay Entertainment SASU | |||||||||
3.50%, 03/01/25 | France | € | 200,000 | 211,735 | |||||
Pinewood Finance Company Ltd. | |||||||||
3.63%, 11/15/27 | United Kingdom | £ | 100,000 | 109,876 | |||||
321,611 | |||||||||
Total Entertainment | |||||||||
Equity Real Estate Investment Trusts (REITs) – 0.2% | |||||||||
Necessity Retail REIT, Inc. | |||||||||
4.50%, 09/30/28(f) | United States | $ | 395,000 | 295,905 | |||||
Food & Staples Retailing – 0.2% | |||||||||
Performance Food Group, Inc. | |||||||||
5.50%, 10/15/27(f) | United States | 335,000 | 327,804 | ||||||
Food Products – 0.3% | |||||||||
Post Holdings, Inc. | |||||||||
5.63%, 01/15/28(f) | United States | 430,000 | 421,800 | ||||||
Gas Utilities – 0.1% | |||||||||
CQP Holdco LP | |||||||||
5.50%, 06/15/31(f) | United States | 165,000 | 148,503 | ||||||
Health Care Equipment & Supplies – 0.2% | |||||||||
Medline Borrower LP | |||||||||
5.25%, 10/01/29(f) | United States | 395,000 | 343,084 | ||||||
Health Care Providers & Services – 1.0% | |||||||||
Acadia Healthcare Company, Inc. | |||||||||
5.50%, 07/01/28(f) | United States | 215,000 | 208,475 | ||||||
Avantor Funding, Inc. | |||||||||
3.88%, 07/15/28 | United States | € | 100,000 | 101,415 | |||||
CAB SELAS | |||||||||
3.38%, 02/01/28(h)(i) | France | 200,000 | 178,604 | ||||||
CHS/Community Health Systems, Inc. | |||||||||
5.63%, 03/15/27(f) | United States | $ | 335,000 | 294,445 | |||||
ModivCare Escrow Issuer, Inc. | |||||||||
5.00%, 10/01/29(f) | United States | 345,000 | 293,286 | ||||||
Pediatrix Medical Group, Inc. | |||||||||
5.38%, 02/15/30(f) | United States | 295,000 | 267,370 | ||||||
Radiology Partners, Inc. | |||||||||
9.25%, 02/01/28(f) | United States | 715,000 | 396,035 | ||||||
RP Escrow Issuer LLC | |||||||||
5.25%, 12/15/25(f) | United States | 85,000 | 64,488 | ||||||
1,804,118 | |||||||||
Total Health Care Providers & Services | |||||||||
Health Care Technology – 0.1% | |||||||||
MPH Acquisition Holdings LLC | |||||||||
5.50%, 09/01/28(f) | United States | 160,000 | 127,352 | ||||||
Health Facilities – 0.2% | |||||||||
Tenet Healthcare Corp. | |||||||||
6.13%, 10/01/28 | United States | 285,000 | 273,413 | ||||||
Hotels, Restaurants & Leisure – 1.4% | |||||||||
Bloomin' Brands, Inc. | |||||||||
5.13%, 04/15/29(f) | United States | 220,000 | 197,194 | ||||||
Carnival Corp. | |||||||||
5.75%, 03/01/27(f) | Panama | 490,000 | 402,493 | ||||||
10.50%, 06/01/30(f) | Panama | 80,000 | 76,872 | ||||||
Cirsa Finance International Sarl | |||||||||
4.50%, 03/15/27 | Spain | € | 100,000 | 94,893 | |||||
Everi Holdings, Inc. | |||||||||
5.00%, 07/15/29(f) | United States | $ | 345,000 | 307,452 | |||||
Fertitta Entertainment LLC | |||||||||
6.75%, 01/15/30(f) | United States | 160,000 | 131,781 | ||||||
Hilton Grand Vacations Borrower Escrow LLC | |||||||||
5.00%, 06/01/29(f) | United States | 215,000 | 191,192 | ||||||
Legends Hospitality Holding Company LLC | |||||||||
5.00%, 02/01/26(f) | United States | 440,000 | 394,188 | ||||||
Lottomatica SpA | |||||||||
5.13%, 07/15/25 | Italy | € | 200,000 | 214,449 | |||||
Playtech PLC | |||||||||
4.25%, 03/07/26 | United Kingdom | 100,000 | 104,865 | ||||||
TUI Cruises GmbH | |||||||||
6.50%, 05/15/26 | Germany | 100,000 | 97,605 | ||||||
2,212,984 | |||||||||
Total Hotels, Restaurants & Leisure | |||||||||
Household Durables – 0.1% | |||||||||
Weekley Homes LLC | |||||||||
4.88%, 09/15/28(f) | United States | $ | 185,000 | 156,204 | |||||
Household Products – 0.1% | |||||||||
Energizer Gamma Acquisition BV | |||||||||
3.50%, 06/30/29 | United States | € | 200,000 | 175,011 | |||||
Insurance – 0.2% | |||||||||
AssuredPartners, Inc. | |||||||||
5.63%, 01/15/29(f) | United States | $ | 250,000 | 216,334 | |||||
HUB International Ltd. | |||||||||
7.00%, 05/01/26(f) | United States | 190,000 | 186,918 | ||||||
403,252 | |||||||||
Total Insurance | |||||||||
IT Services – 0.7% | |||||||||
Ahead DB Holdings LLC | |||||||||
6.63%, 05/01/28(f) | United States | 340,000 | 282,621 | ||||||
Mooney Group SpA | |||||||||
6.69% (3 Month EURIBOR + 3.88%), 12/17/26(b) | Italy | € | 250,000 | 265,906 | |||||
Sabre GLBL, Inc. | |||||||||
7.38%, 09/01/25(f) | United States | $ | 150,000 | 134,175 | |||||
VM Consolidated, Inc. | |||||||||
5.50%, 04/15/29(f) | United States | 655,000 | 580,790 | ||||||
1,263,492 | |||||||||
Total IT Services | |||||||||
Life Sciences Tools & Services – 0.1% | |||||||||
IQVIA, Inc. | |||||||||
2.88%, 06/15/28 | United States | € | 165,000 | 161,157 | |||||
Machinery – 0.3% | |||||||||
Redwood Star Merger Sub, Inc. | |||||||||
8.75%, 04/01/30(f) | United States | $ | 500,000 | 432,060 | |||||
Media – 1.4% | |||||||||
CCO Holdings LLC | |||||||||
6.38%, 09/01/29(f) | United States | 140,000 | 133,826 | ||||||
CSC Holdings LLC | |||||||||
4.13%, 12/01/30(f) | United States | 435,000 | 312,806 | ||||||
Directv Financing LLC | |||||||||
5.88%, 08/15/27(f) | United States | 435,000 | 394,397 | ||||||
DISH DBS Corp. | |||||||||
5.25%, 12/01/26(f) | United States | 195,000 | 155,955 | ||||||
5.75%, 12/01/28(f) | United States | 25,000 | 18,703 | ||||||
Gray Television, Inc. | |||||||||
4.75%, 10/15/30(f) | United States | 160,000 | 106,400 | ||||||
iHeartCommunications, Inc. | |||||||||
5.25%, 08/15/27(f) | United States | 360,000 | 294,646 | ||||||
Scripps Escrow II, Inc. | |||||||||
5.38%, 01/15/31(f) | United States | 130,000 | 89,541 | ||||||
Univision Communications, Inc. | |||||||||
6.63%, 06/01/27(f) | United States | 145,000 | 137,620 | ||||||
UPC Holding BV | |||||||||
3.88%, 06/15/29 | Netherlands | € | 205,000 | 185,325 | |||||
Virgin Media Secured Finance PLC | |||||||||
5.25%, 05/15/29 | United Kingdom | £ | 100,000 | 107,945 | |||||
Virgin Media Vendor Financing Notes III DAC | |||||||||
4.88%, 07/15/28 | United Kingdom | 100,000 | 105,300 | ||||||
2,042,464 | |||||||||
Total Media | |||||||||
Metals & Mining – 0.6% | |||||||||
Arconic Corp. | |||||||||
6.13%, 02/15/28(f) | United States | $ | 425,000 | 418,480 | |||||
Constellium SE | |||||||||
5.63%, 06/15/28(f) | France | 260,000 | 245,761 | ||||||
Mineral Resources Ltd. | |||||||||
8.13%, 05/01/27(f) | Australia | 60,000 | 60,959 | ||||||
8.50%, 05/01/30(f) | Australia | 300,000 | 308,190 | ||||||
1,033,390 | |||||||||
Total Metals & Mining | |||||||||
Oil Gas Transportation & Distribution – 0.1% | |||||||||
Suburban Propane Partners LP | |||||||||
5.00%, 06/01/31(f) | United States | 220,000 | 192,495 | ||||||
Oil, Gas & Consumable Fuels – 0.7% | |||||||||
CITGO Petroleum Corp. | |||||||||
7.00%, 06/15/25(f) | United States | 360,000 | 355,527 | ||||||
CVR Energy, Inc. | |||||||||
5.25%, 02/15/25(f) | United States | 305,000 | 293,146 | ||||||
Hess Midstream Operations LP | |||||||||
5.13%, 06/15/28(f) | United States | 235,000 | 223,335 | ||||||
5.63%, 02/15/26(f) | United States | 140,000 | 138,724 | ||||||
1,010,732 | |||||||||
Total Oil, Gas & Consumable Fuels | |||||||||
Paper & Forest Products – 0.3% | |||||||||
Mercer International, Inc. | |||||||||
5.50%, 01/15/26 | Germany | 440,000 | 429,125 | ||||||
Personal Products – 0.6% | |||||||||
BellRing Brands, Inc. | |||||||||
7.00%, 03/15/30(f) | United States | 365,000 | 370,062 | ||||||
Coty, Inc. | |||||||||
5.00%, 04/15/26(f) | United States | 215,000 | 207,635 | ||||||
Edgewell Personal Care Co. | |||||||||
5.50%, 06/01/28(f) | United States | 355,000 | 340,589 | ||||||
918,286 | |||||||||
Total Personal Products | |||||||||
Pharmaceuticals – 0.3% | |||||||||
Bausch Health Companies, Inc. | |||||||||
4.88%, 06/01/28(f) | Canada | 240,000 | 141,816 | ||||||
6.13%, 02/01/27(f) | Canada | 190,000 | 123,162 | ||||||
Cheplapharm Arzneimittel GmbH | |||||||||
4.38%, 01/15/28 | Germany | € | 100,000 | 101,223 | |||||
366,201 | |||||||||
Total Pharmaceuticals | |||||||||
Professional Services – 0.1% | |||||||||
Summer BC Holdco B SARL | |||||||||
5.75%, 10/31/26 | Luxembourg | 200,000 | 189,794 | ||||||
Real Estate Management & Development – 1.8% | |||||||||
Hunt Companies, Inc. | |||||||||
5.25%, 04/15/29(f) | United States | $ | 415,000 | 324,865 | |||||
OWS Cre Funding I LLC | |||||||||
9.56%, 2021-MARG (1 Month LIBOR USD + 4.90%), 09/15/23(b)(f) | United States | 2,500,000 | 2,459,466 | ||||||
Samhallsbyggnadsbolaget i Norden AB | |||||||||
2.88% (5 Year Swap Rate EUR + 3.22%), Perpetual(b) | Sweden | € | 100,000 | 40,242 | |||||
2,824,573 | |||||||||
Total Real Estate Management & Development | |||||||||
Software – 0.7% | |||||||||
Acuris Finance US, Inc. | |||||||||
5.00%, 05/01/28(f) | United States | $ | 395,000 | 310,594 | |||||
Castor SpA | |||||||||
8.21% (3 Month EURIBOR + 5.25%), 02/15/29(b) (h)(i) | Italy | € | 200,000 | 207,545 | |||||
Cedacri Mergeco SPA | |||||||||
7.28% (3 Month EURIBOR + 4.63%), 05/15/28(b) | Italy | 100,000 | 106,660 | ||||||
McAfee Corp. | |||||||||
7.38%, 02/15/30(f) | United States | $ | 100,000 | 83,939 | |||||
NCR Corp. | |||||||||
5.13%, 04/15/29(f) | United States | 15,000 | 12,994 | ||||||
6.13%, 09/01/29(f) | United States | 405,000 | 399,844 | ||||||
TeamSystem SpA | |||||||||
3.50%, 02/15/28 | Italy | € | 100,000 | 95,974 | |||||
1,217,550 | |||||||||
Total Software | |||||||||
Specialty Retail – 0.4% | |||||||||
Academy Ltd. | |||||||||
6.00%, 11/15/27(f) | United States | $ | 420,000 | 410,179 | |||||
eG Global Finance PLC | |||||||||
6.25%, 10/30/25 | United Kingdom | € | 200,000 | 201,186 | |||||
611,365 | |||||||||
Total Specialty Retail | |||||||||
Technology Hardware, Storage & Peripherals – 0.1% | |||||||||
Xerox Holdings Corp. | |||||||||
5.50%, 08/15/28(f) | United States | $ | 180,000 | 155,975 | |||||
Telecommunication Services – 0.3% | |||||||||
Cablevision Lightpath LLC | |||||||||
5.63%, 09/15/28(f) | United States | 415,000 | 286,831 | ||||||
Consolidated Communications, Inc. | |||||||||
6.50%, 10/01/28(f) | United States | 380,000 | 276,374 | ||||||
563,205 | |||||||||
Total Telecommunication Services | |||||||||
Textiles, Apparel & Luxury Goods – 0.2% | |||||||||
Afflelou SAS | |||||||||
4.25%, 05/19/26 | France | € | 200,000 | 200,965 | |||||
Crocs, Inc. | |||||||||
4.25%, 03/15/29(f) | United States | $ | 220,000 | 193,219 | |||||
394,184 | |||||||||
Total Textiles, Apparel & Luxury Goods | |||||||||
Thrifts & Mortgage Finance – 0.1% | |||||||||
Nationstar Mortgage Holdings, Inc. | |||||||||
5.75%, 11/15/31(f) | United States | 120,000 | 93,213 | ||||||
6.00%, 01/15/27(f) | United States | 140,000 | 127,183 | ||||||
220,396 | |||||||||
Total Thrifts & Mortgage Finance | |||||||||
Trading Companies & Distributors – 0.5% | |||||||||
ASP Unifrax Holdings, Inc. | |||||||||
5.25%, 09/30/28(f) | United States | 450,000 | 360,135 | ||||||
Fortress Transportation and Infrastructure Investors LLC | |||||||||
5.50%, 05/01/28(f) | United States | 350,000 | 319,746 | ||||||
6.50%, 10/01/25(f) | United States | 16,000 | 16,029 | ||||||
Loxam SAS | |||||||||
3.75%, 07/15/26 | France | € | 100,000 | 100,930 | |||||
796,840 | |||||||||
Total Trading Companies & Distributors | |||||||||
Utility – 0.2% | |||||||||
Calpine Corp. | |||||||||
5.13%, 03/15/28(f) | United States | $ | 350,000 | 320,919 | |||||
Wireless Telecommunication Services – 0.2% | |||||||||
Matterhorn Telecom SA | |||||||||
4.00%, 11/15/27 | Luxembourg | € | 200,000 | 201,028 | |||||
Vodafone Group PLC | |||||||||
3.00% (5 Year Swap Rate EUR + 3.48%), 08/27/80(b) | United Kingdom | 200,000 | 175,884 | ||||||
Total Wireless Telecommunication Services | 376,912 | ||||||||
Total High Yield | 34,782,806 | ||||||||
Emerging Markets – 5.1% | |||||||||
Airlines – 0.4% | |||||||||
Azul Investments LLP | |||||||||
7.25%, 06/15/26 | Brazil | $ | 1,130,000 | 741,930 | |||||
Alumina Refining and Primary Aluminum Production – 0.8% | |||||||||
Vedanta Resources Finance II PLC | |||||||||
13.88%, 01/21/24 | United Kingdom | 1,600,000 | 1,282,036 | ||||||
Chemicals – 0.5% | |||||||||
Braskem Idesa SAPI | |||||||||
6.99%, 02/20/32 | Mexico | 1,000,000 | 755,597 | ||||||
Construction Materials – 0.1% | |||||||||
Cemex SAB de CV | |||||||||
5.13% (5 Year CMT Rate + 4.53%), Perpetual(b) | Mexico | 200,000 | 179,240 | ||||||
Diversified Telecommunication Services – 0.4% | |||||||||
Telecom Argentina SA | |||||||||
8.00%, 07/18/26 | Argentina | 790,000 | 728,084 | ||||||
Electric Utilities – 0.1% | |||||||||
Pampa Energia SA | |||||||||
9.13%, 04/15/29 | Argentina | 150,000 | 136,327 | ||||||
Hotels, Restaurants & Leisure – 0.0% | |||||||||
Grupo Posadas SAB de CV | |||||||||
5.00%, 12/30/27(g)(j) | Mexico | 20,000 | 16,240 | ||||||
Independent Power and Renewable Electricity Producers – 0.0% | |||||||||
Genneia SA | |||||||||
8.75%, 09/02/27(f) | Argentina | 36,000 | 34,519 | ||||||
Oil, Gas & Consumable Fuels – 1.2% | |||||||||
Canacol Energy Ltd. | |||||||||
5.75%, 11/24/28 | Canada | 260,000 | 210,189 | ||||||
CITGO Holding, Inc. | |||||||||
9.25%, 08/01/24 | United States | 690,000 | 691,945 | ||||||
Kosmos Energy Ltd. | |||||||||
7.13%, 04/04/26 | United States | 200,000 | 171,843 | ||||||
7.50%, 03/01/28 | United States | 520,000 | 423,823 | ||||||
YPF SA | |||||||||
7.00%, 09/30/33(j) | Argentina | 55,000 | 36,341 | ||||||
9.00%, 06/30/29(j) | Argentina | 758,000 | 609,656 | ||||||
2,143,797 | |||||||||
Total Oil, Gas & Consumable Fuels | |||||||||
Other Electric Power Generation – 0.3% | |||||||||
Genneia SA | |||||||||
8.75%, 09/02/27 | Argentina | 526,500 | 504,836 | ||||||
Real Estate Management & Development – 1.3% | |||||||||
CIFI Holdings Group Company Ltd. | |||||||||
6.00%, 07/16/25 | China | 400,000 | 84,423 | ||||||
6.45%, 11/07/24 | China | 200,000 | 42,611 | ||||||
11.58% (5 Year CMT Rate + 8.57%), Perpetual(b) | China | 450,000 | 60,610 | ||||||
Country Garden Holdings Company Ltd. | |||||||||
4.80%, 08/06/30 | China | 200,000 | 98,691 | ||||||
7.25%, 04/08/26 | China | 600,000 | 381,000 | ||||||
RKPF Overseas Ltd. | |||||||||
5.90%, 03/05/25 | China | 500,000 | 414,125 | ||||||
6.00%, 09/04/25 | China | 500,000 | 397,573 | ||||||
Shimao Group Holdings Ltd. | |||||||||
3.45%, 01/11/31 | China | 400,000 | 53,587 | ||||||
4.60%, 07/13/30 | China | 200,000 | 28,794 | ||||||
5.20%, 01/16/27 | China | 1,210,000 | 183,973 | ||||||
5.60%, 07/15/26(d)(k) | China | 400,000 | 59,695 | ||||||
6.13%, 02/21/24 | China | 370,000 | 54,159 | ||||||
Sino-Ocean Land Treasure IV Ltd. | |||||||||
3.25%, 05/05/26 | China | 200,000 | 96,000 | ||||||
4.75%, 08/05/29 | China | 410,000 | 161,103 | ||||||
4.75%, 01/14/30 | China | 400,000 | 175,000 | ||||||
Total Real Estate Management & Development | 2,291,344 | ||||||||
Total Emerging Markets | 8,813,950 | ||||||||
Corporate Bonds – 0.5% | |||||||||
Health Care Providers & Services – 0.1% | |||||||||
Nidda Healthcare Holding GmbH | |||||||||
7.50%, 08/21/26 | Germany | € | 100,000 | 106,295 | |||||
Hotels, Restaurants & Leisure – 0.0% | |||||||||
Aramark International Finance Sarl | |||||||||
3.13%, 04/01/25 | Luxembourg | 100,000 | 105,479 | ||||||
Household Durables – 0.1% | |||||||||
Shea Homes LP | |||||||||
4.75%, 02/15/28 | United States | $ | 345,000 | 308,780 | |||||
Media – 0.1% | |||||||||
Telenet Finance Luxembourg Notes Sarl | |||||||||
3.50%, 03/01/28 | Luxembourg | € | 200,000 | 198,565 | |||||
Mortgage Real Estate Investment Trusts (REITs) – 0.2% | |||||||||
HAT Holdings I LLC | |||||||||
3.38%, 06/15/26(f) | United States | $ | 415,000 | 360,502 | |||||
Software – 0.0% | |||||||||
Cloud Software Group Holdings, Inc. | |||||||||
6.50%, 03/31/29(f) | United States | 210,000 | 185,959 | ||||||
Total Corporate Bonds | 1,265,580 | ||||||||
Convertible Bonds – 1.6% | |||||||||
Aerospace & Defense – 0.0% | |||||||||
Safran SA | |||||||||
0.00%, 04/01/28 | France | € | 62,400 | 58,121 | |||||
Airlines – 0.0% | |||||||||
JetBlue Airways Corp. | |||||||||
0.50%, 04/01/26 | United States | $ | 96,000 | 74,112 | |||||
Automobiles – 0.0% | |||||||||
Ford Motor Co. | |||||||||
0.00%, 03/15/26 | United States | 17,000 | 17,068 | ||||||
Biotechnology – 0.0% | |||||||||
BioMarin Pharmaceutical, Inc. | |||||||||
0.60%, 08/01/24 | United States | 52,000 | 53,481 | ||||||
Exact Sciences Corp. | |||||||||
0.38%, 03/15/27 | United States | $ | 7,000 | 6,548 | |||||
60,029 | |||||||||
Total Biotechnology | |||||||||
Broadline Retail – 0.0% | |||||||||
Etsy, Inc. | |||||||||
0.25%, 06/15/28 | United States | 13,000 | 10,827 | ||||||
Mercari, Inc. | |||||||||
0.00%, 07/14/26 | Japan | JPY 10,000,000 | 59,198 | ||||||
70,025 | |||||||||
Total Broadline Retail | |||||||||
Diversified Telecommunication Services – 0.1% | |||||||||
Cellnex Telecom SA | |||||||||
0.75%, 11/20/31 | Spain | € | 100,000 | 86,848 | |||||
Entertainment – 0.2% | |||||||||
Sea Ltd. | |||||||||
0.25%, 09/15/26 | Cayman Islands | $ | 145,000 | 114,332 | |||||
2.38%, 12/01/25 | Cayman Islands | 10,000 | 12,244 | ||||||
Spotify USA, Inc. | |||||||||
0.00%, 03/15/26 | United States | 111,000 | 93,462 | ||||||
220,038 | |||||||||
Total Entertainment | |||||||||
Financial Services – 0.1% | |||||||||
Block, Inc. | |||||||||
0.00%, 05/01/26 | United States | 19,000 | 15,580 | ||||||
Nexi SpA | |||||||||
1.75%, 04/24/27 | Italy | € | 100,000 | 93,403 | |||||
Worldline SA | |||||||||
0.00%, 07/30/25 | France | 85,500 | 99,316 | ||||||
208,299 | |||||||||
Total Financial Services | |||||||||
Health Care Equipment & Supplies – 0.0% | |||||||||
Haemonetics Corp. | |||||||||
0.00%, 03/01/26 | United States | $ | 9,000 | 7,681 | |||||
LivaNova USA, Inc. | |||||||||
3.00%, 12/15/25 | United States | 13,000 | 13,124 | ||||||
NuVasive, Inc. | |||||||||
0.38%, 03/15/25 | United States | 90,000 | 79,695 | ||||||
100,500 | |||||||||
Total Health Care Equipment & Supplies | |||||||||
Hotels, Restaurants & Leisure – 0.2% | |||||||||
Accor SA | |||||||||
0.70%, 12/07/27 | France | € | 185,100 | 91,047 | |||||
Airbnb, Inc. | |||||||||
0.00%, 03/15/26 | United States | $ | 49,000 | 42,973 | |||||
Just Eat Takeaway.com NV | |||||||||
0.00%, 08/09/25 | Netherlands | € | 100,000 | 93,335 | |||||
Shake Shack, Inc. | |||||||||
0.00%, 03/01/28 | United States | $ | 39,000 | 28,539 | |||||
255,894 | |||||||||
Total Hotels, Restaurants & Leisure | |||||||||
Independent Power and Renewable Electricity Producers – 0.1% | |||||||||
NextEra Energy Partners LP | |||||||||
0.00%, 06/15/24(f) | United States | 97,000 | 90,550 | ||||||
Interactive Media & Services – 0.0% | |||||||||
Snap, Inc. | |||||||||
0.13%, 03/01/28 | United States | 42,000 | 29,673 | ||||||
IT Services – 0.4% | |||||||||
Cloudflare, Inc. | |||||||||
0.00%, 08/15/26 | United States | 99,000 | 84,101 | ||||||
DigitalOcean Holdings, Inc. | |||||||||
0.00%, 12/01/26 | United States | 117,000 | 92,461 | ||||||
Okta, Inc. | |||||||||
0.38%, 06/15/26 | United States | 104,000 | 89,024 | ||||||
Perficient, Inc. | |||||||||
0.13%, 11/15/26 | United States | 79,000 | 63,160 | ||||||
Shift4 Payments, Inc. | |||||||||
0.50%, 08/01/27 | United States | 20,000 | 18,970 | ||||||
Shopify, Inc. | |||||||||
0.13%, 11/01/25 | Canada | 104,000 | 91,936 | ||||||
Wix.com Ltd. | |||||||||
0.00%, 08/15/25 | Israel | 110,000 | 95,480 | ||||||
535,132 | |||||||||
Total IT Services | |||||||||
Media – 0.0% | |||||||||
Cable One, Inc. | |||||||||
0.00%, 03/15/26 | United States | 99,000 | 78,606 | ||||||
Metals & Mining – 0.1% | |||||||||
MP Materials Corp. | |||||||||
0.25%, 04/01/26(f) | United States | 52,000 | 49,122 | ||||||
POSCO Holdings, Inc. | |||||||||
0.00%, 09/01/26 | Republic Of Korea | € | 100,000 | 107,962 | |||||
157,084 | |||||||||
Total Metals & Mining | |||||||||
Personal Care Products – 0.0% | |||||||||
The Beauty Health Co. | |||||||||
1.25%, 10/01/26(f) | United States | $ | 43,000 | 36,013 | |||||
Professional Services – 0.0% | |||||||||
Ceridian HCM Holding, Inc. | |||||||||
0.25%, 03/15/26 | United States | 74,000 | 66,742 | ||||||
Semiconductors & Semiconductor Equipment – 0.0% | |||||||||
Enphase Energy, Inc. | |||||||||
0.00%, 03/01/28 | United States | 52,000 | 54,173 | ||||||
Software – 0.2% | |||||||||
Alarm.com Holdings, Inc. | |||||||||
0.00%, 01/15/26 | United States | 108,000 | 91,658 | ||||||
Bentley Systems, Inc. | |||||||||
0.38%, 07/01/27 | United States | 103,000 | 87,447 | ||||||
BILL Holdings, Inc. | |||||||||
0.00%, 12/01/25 | United States | 8,000 | 7,356 | ||||||
Blackline, Inc. | |||||||||
0.00%, 03/15/26 | United States | 25,000 | 21,313 | ||||||
Datadog, Inc. | |||||||||
0.13%, 06/15/25 | United States | 8,000 | 8,676 | ||||||
Nutanix, Inc. | |||||||||
0.25%, 10/01/27 | United States | 52,000 | 43,595 | ||||||
Splunk, Inc. | |||||||||
1.13%, 06/15/27 | United States | 37,000 | 31,802 | ||||||
Unity Software, Inc. | |||||||||
0.00%, 11/15/26 | United States | 47,000 | 36,637 | ||||||
Zscaler, Inc. | |||||||||
0.13%, 07/01/25 | United States | 8,000 | 8,476 | ||||||
336,960 | |||||||||
Total Software | |||||||||
Specialty Retail – 0.1% | |||||||||
Zalando SE | |||||||||
0.05%, 08/06/25 | Germany | € | 100,000 | 96,964 | |||||
Wireless Telecommunication Services – 0.1% | |||||||||
America Movil BV | |||||||||
0.00%, 03/02/24 | Netherlands | 100,000 | 113,844 | ||||||
Total Convertible Bonds | 2,746,675 | ||||||||
TOTAL CORPORATE CREDIT | 95,189,215 | ||||||||
(Cost $105,342,859) | |||||||||
STRUCTURED CREDIT – 30.3%(a) | |||||||||
Collateralized Loan Obligations – 18.6%(a) | |||||||||
37 Capital CLO | |||||||||
0.00%, 2023-1A, Class D (3 Month SOFR + 5.50%), 04/15/36(b)(f) | Cayman Islands | $ | 1,500,000 | 1,473,450 | |||||
Anchorage Capital CLO Ltd. | |||||||||
8.52%, 2020-16A, Class DR (3 Month LIBOR USD + 3.72%), 01/19/35(b)(f) | Cayman Islands | 1,500,000 | 1,397,348 | ||||||
12.15%, 2020-16A, Class ER (3 Month LIBOR USD + 7.35%), 01/19/35(b)(f) | Cayman Islands | 1,000,000 | 926,310 | ||||||
12.16%, 2016-8A, Class ER2 (3 Month LIBOR USD + 7.35%), 10/27/34(b)(f) | Cayman Islands | 1,500,000 | 1,324,823 | ||||||
Anchorage Credit Funding 7 Ltd. | |||||||||
0.00%, 2019-7A, Class SUB1, 04/25/37(f) | Cayman Islands | 1,000,000 | 532,503 | ||||||
Anchorage Credit Funding Ltd. | |||||||||
6.85%, 2019-7A, Class E, 04/27/37(f) | Cayman Islands | 1,000,000 | 849,870 | ||||||
ARES CLO | |||||||||
0.00%, 2023-68A, Class D (3 Month SOFR + 5.75%), 04/25/35(b)(f) | Jersey | 2,000,000 | 2,000,000 | ||||||
Columbia Cent CLO Ltd. | |||||||||
11.00%, 2018-28A, Class D (3 Month LIBOR USD + 6.17%), 11/07/30(b)(f) | Cayman Islands | 1,000,000 | 665,887 | ||||||
Dryden 113 CLO Ltd. | |||||||||
0.00%, 2022-113A, Class INC, 10/20/35(f) | Jersey | 1,000,000 | 770,087 | ||||||
Dryden 27 R Euro CLO 2017 DAC | |||||||||
8.15%, 2017-27X, Class ER (3 Month EURIBOR + 5.86%), 04/15/33(b) | Ireland | € | 1,000,000 | 878,079 | |||||
Elevation CLO Ltd. | |||||||||
12.01%, 2021-14A, Class E (3 Month LIBOR USD + 7.20%), 10/20/34(b)(f) | Cayman Islands | $ | 2,000,000 | 1,666,649 | |||||
12.08%, 2021-12A, Class E (3 Month LIBOR USD + 7.27%), 04/20/32(b)(f) | Cayman Islands | 378,000 | 320,597 | ||||||
Fortress Credit BSL Ltd. | |||||||||
12.74%, 2020-1A, Class E (3 Month US LIBOR + 7.93%), 10/20/33(b)(f) | Cayman Islands | 1,000,000 | 933,675 | ||||||
Harvest CLO XXVI | |||||||||
8.41%, 26A, Class E (3 Month EURIBOR + 6.12%), 01/15/34(b)(f) | Ireland | € | 500,000 | 466,616 | |||||
ICG US CLO Ltd. | |||||||||
8.41%, 2020-1A, Class DR (3 Month LIBOR USD + 3.60%), 01/22/35(b)(f) | Cayman Islands | $ | 1,000,000 | 870,950 | |||||
12.26%, 2020-1A, Class ER (3 Month LIBOR USD + 7.45%), 01/22/35(b)(f) | Cayman Islands | 1,000,000 | 883,078 | ||||||
Madison Park Funding Ltd. | |||||||||
0.00%, 2023-63A, Class D (3 Month SOFR + 5.50%), 04/21/35(b)(f) | Cayman Islands | 2,000,000 | 2,000,000 | ||||||
Marble Point CLO Ltd. | |||||||||
12.11%, 2021-4A, Class E (3 Month LIBOR USD + 7.29%), 01/22/35(b)(f) | Cayman Islands | 2,000,000 | 1,636,078 | ||||||
Monroe Capital MML CLO XIII Ltd. | |||||||||
12.68%, 2022-1A, Class E (3 Month SOFR + 8.32%), 02/24/34(b)(f) | United States | 1,000,000 | 888,637 | ||||||
OAK Hill European Credit Partners V Designated Activity Co. | |||||||||
8.76%, 2016-5A, Class ER (3 Month EURIBOR + 6.37%), 01/21/35(b)(f) | Ireland | € | 1,750,000 | 1,566,516 | |||||
11.26%, 2016-5A, Class FR (3 Month EURIBOR + 8.87%), 01/21/35(b)(f) | Ireland | 1,000,000 | 898,009 | ||||||
Palmer Square European CLO | |||||||||
8.75%, 2022-1A, Class E (3 Month EURIBOR + 6.36%), 01/21/35(b)(f) | Ireland | 1,200,000 | 1,131,045 | ||||||
11.24%, 2022-1A, Class F (3 Month EURIBOR + 8.85%), 01/21/35(b)(f) | Ireland | 1,750,000 | 1,569,309 | ||||||
Penta CLO | |||||||||
8.93%, 2021-10X, Class E (3 Month EURIBOR + 6.23%), 11/20/34(b) | Ireland | 500,000 | 452,638 | ||||||
Rockford Tower Europe DAC | |||||||||
8.30%, 2021-1A, Class E (3 Month EURIBOR + 5.96%), 04/20/34(b)(f) | Ireland | 500,000 | 453,375 | ||||||
SOUND POINT CLO Ltd. | |||||||||
11.39%, 2015-1RA, Class E (3 Month LIBOR USD + 6.60%), 04/15/30(b)(f) | Cayman Islands | $ | 275,000 | 161,426 | |||||
Toro European CLO | |||||||||
8.59%, 3X, Class ERR (3 Month EURIBOR + 6.30%), 07/15/34(b) | Ireland | € | 1,500,000 | 1,393,725 | |||||
Trimaran Cavu Ltd. | |||||||||
12.16%, 2021-3A, Class E (3 Month LIBOR USD + 7.37%), 01/18/35(b)(f) | Cayman Islands | $ | 1,200,000 | 1,097,255 | |||||
Trinitas CLO XVIII Ltd. | |||||||||
8.41%, 2021-18A, Class D (3 Month LIBOR USD + 3.60%), 01/22/35(b)(f) | Cayman Islands | 2,000,000 | 1,787,213 | ||||||
Total Collateralized Loan Obligations | 30,995,148 | ||||||||
Commercial Mortgage-Backed Securities – 6.9%(a) | |||||||||
ACREC LLC | |||||||||
10.72%, 2023-FL2, Class E (1 Month SOFR + 6.03%), 02/19/38(b)(f) | United States | 107,000 | 105,604 | ||||||
Banc of America Commercial Mortgage Trust | |||||||||
1.25%, 2015-UBS7, Class XFG, 09/17/48(f) | United States | 10,000,000 | 270,518 | ||||||
BBCMS Trust | |||||||||
7.63%, 2018-BXH, Class F (1 Month US LIBOR + 2.95%), 10/15/37(b)(f) | United States | 270,000 | 256,723 | ||||||
Benchmark Mortgage Trust | |||||||||
3.10%, 2018-B6, Class E, 10/12/51(f) | United States | 225,000 | 134,810 | ||||||
BWAY Mortgage Trust | |||||||||
4.87%, 2022-26BW, Class E, 02/10/44(f) | United States | 677,000 | 430,363 | ||||||
BX Commercial Mortgage Trust | |||||||||
8.28%, 2019-IMC, Class G (1 Month US LIBOR + 3.60%), 04/17/34(b)(f) | United States | 1,000,000 | 949,627 | ||||||
BX Trust | |||||||||
8.72%, 2021-SDMF, Class J (1 Month US LIBOR + 4.03%), 09/15/34(b)(f) | United States | 470,000 | 435,933 | ||||||
CD Mortgage Trust | |||||||||
3.30%, 2017-CD4, Class D, 05/12/50(f) | United States | 305,000 | 213,218 | ||||||
3.35%, 2017-CD5, Class D, 08/15/50(f) | United States | 489,000 | 322,762 | ||||||
CGDB Commercial Mortgage Trust | |||||||||
7.68%, 2019-MOB, Class G (1 Month LIBOR USD + 2.99%), 11/15/36(b)(f) | United States | 1,537,000 | 1,401,891 | ||||||
Citigroup Commercial Mortgage Trust | |||||||||
8.38%, 2021-KEYS, Class F (1 Month LIBOR USD + 3.70%), 10/15/36(b)(f) | United States | 741,000 | 701,037 | ||||||
COMM Mortgage Trust | |||||||||
1.91%, 2016-DC2, Class XF, 02/12/49(f) | United States | 13,350,000 | 640,960 | ||||||
CSAIL Commercial Mortgage Trust | |||||||||
4.06%, 2017-CX9, Class D, 09/16/50(f) | United States | 190,000 | 132,245 | ||||||
DBGS Mortgage Trust | |||||||||
8.84%, 2021-W52, Class F (1 Month LIBOR USD + 4.15%), 10/17/39(b)(f) | United States | 1,000,000 | 929,575 | ||||||
Great Wolf Trust | |||||||||
8.07%, 2019-WOLF, Class F (1 Month SOFR + 3.13%), 12/15/36(b)(f) | United States | 1,298,000 | 1,236,876 | ||||||
Hilton USA Trust | |||||||||
4.93%, 2016-SFP, Class D, 11/05/35(f) | United States | 584,000 | 553,532 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust | |||||||||
8.95%, 2021-HTL5, Class F (1 Month LIBOR USD + 4.27%), 11/15/38(b)(f) | United States | 1,084,000 | 1,027,782 | ||||||
Natixis Commercial Mortgage Securities Trust | |||||||||
10.77%, 2022-RRI, Class F (1 Month SOFR + 5.94%), 03/15/35(b)(f) | United States | 571,929 | 562,860 | ||||||
Taubman Centers Commercial Mortgage Trust | |||||||||
9.60%, 2022-DPM, Class D (1 Month SOFR + 4.77%), 05/15/37(b)(f) | United States | 415,000 | 406,756 | ||||||
VMC Finance LLC | |||||||||
9.26%, 2021-HT1, Class B (1 Month LIBOR USD + 4.50%), 01/18/37(b)(f) | United States | 643,000 | 606,131 | ||||||
Total Commercial Mortgage-Backed Securities | 11,319,203 | ||||||||
Residential Mortgage-Backed Securities – 2.1%(a) | |||||||||
Deephaven Residential Mortgage Trust | |||||||||
4.34%, 2022-2, Class B1, 03/25/67(f) | United States | 229,000 | 167,899 | ||||||
GCAT Trust | |||||||||
3.97%, 2022-NQM1, Class B1, 02/25/67(f) | United States | 476,000 | 333,103 | ||||||
Imperial Fund Mortgage Trust | |||||||||
4.45%, 2022-NQM3, Class M1, 05/25/67(f) | United States | 332,000 | 258,709 | ||||||
MFA Trust | |||||||||
4.28%, 2022-NQM1, Class B1, 12/25/66(f) | United States | 251,000 | 183,475 | ||||||
PRKCM Trust | |||||||||
7.64%, 2023-AFC1, Class M1, 02/25/58(f) | United States | 371,000 | 367,916 | ||||||
Progress Residential Trust | |||||||||
5.60%, 2022-SFR3, Class E2, 04/19/39(f) | United States | 212,000 | 189,232 | ||||||
PRPM LLC | |||||||||
4.83%, 2021-10, Class A2, 12/31/49(f)(j) | United States | 1,000,000 | 884,088 | ||||||
Seasoned Credit Risk Transfer Trust | |||||||||
4.50%, 2022-1, Class M, 11/25/61(f) | United States | 226,000 | 182,210 | ||||||
STAR Trust | |||||||||
9.19%, 2022-SFR3, Class F (1 Month SOFR + 4.50%), 05/19/39(b)(f) | United States | 170,000 | 165,565 | ||||||
Western Mortgage Reference Notes | |||||||||
9.91%, 2021-CL2, Class M4 (30-Day Average SOFR + 5.35%), 07/25/59(b)(f) | United States | 869,497 | 786,941 | ||||||
Total Residential Mortgage-Backed Securities | 3,519,138 | ||||||||
Other – 2.7%(a) | |||||||||
AGL CLO Ltd. | |||||||||
0.00%, 2023-24A, Class E (3 Month SOFR + 8.65%), 07/25/36(b)(f) | Jersey | 2,000,000 | 1,925,000 | ||||||
Castlelake Aircraft Securitization Trust | |||||||||
2.74%, 2017-1R, Class A, 08/15/41(f) | United States | 250,177 | 225,338 | ||||||
Horizon Aircraft Finance Ltd. | |||||||||
4.46%, 2018-1, Class A, 12/15/38(f) | United States | 787,079 | 646,941 | ||||||
METAL 2017-1 Ltd. | |||||||||
4.58%, 2017-1, Class A, 10/15/42(f) | Cayman Islands | 1,582,398 | 925,703 | ||||||
Pioneer Aircraft Finance Ltd. | |||||||||
3.97%, 2019-1, Class A, 06/15/44(f) | Cayman Islands | 624,387 | 543,768 | ||||||
Westlake Automobile Receivables Trust | |||||||||
1.23%, 2021-2A, Class D, 12/15/26(f) | United States | 164,000 | 151,622 | ||||||
Total Other | 4,418,372 | ||||||||
TOTAL STRUCTURED CREDIT | |||||||||
(Cost $54,726,314) | 50,251,861 | ||||||||
PRIVATE CREDIT – 24.5% | |||||||||
Senior Loans – 23.3%(a) | |||||||||
Auto Components – 1.5% | |||||||||
Superior Industries International, Inc., First Lien Tranche B Term Loan | |||||||||
12.32% (SOFR Index + 8.00%), 12/15/28(b)(e) | United States | 2,599,485 | 2,521,500 | ||||||
Biotechnology – 1.6% | |||||||||
ADC Therapeutics, Initial Term Loan - Tranche A | |||||||||
11.20%, 08/15/29(e)(g) | United States | 1,135,543 | 1,075,227 | ||||||
ADC Therapeutics, Initial Term Loan - Tranche B | |||||||||
7.50%, 08/15/29(c)(e)(g) | United States | 520,457 | – | ||||||
Mesoblast, Inc., First Lien Delay Delivery Tranche B Term Loan | |||||||||
9.75%, 11/19/26(e)(g) | United States | 1,605,946 | 1,438,767 | ||||||
Mesoblast, Inc., First Lien Tranche B Term Loan | |||||||||
9.75%, 11/19/26(c)(e)(g) | United States | 262,438 | – | ||||||
Mesoblast, Inc., First Lien Tranche C Term Loan | |||||||||
9.75%, 11/19/26(c)(e)(g) | United States | 524,875 | – | ||||||
2,513,994 | |||||||||
Total Biotechnology | |||||||||
Commercial Services & Supplies – 1.4% | |||||||||
Kings Buyer LLC, First Lien Term Loan | |||||||||
11.23% (1 Month US LIBOR + 6.50%), 10/29/27(b)(e) | United States | 2,258,406 | 2,179,362 | ||||||
Kings Buyer LLC, First Lien Revolver Facility | |||||||||
7.51% (1 Month US LIBOR + 6.50%), 10/29/27(b)(c)(e) | United States | 310,246 | 98,640 | ||||||
2,278,002 | |||||||||
Total Commercial Services & Supplies | |||||||||
Containers & Packaging – 1.0% | |||||||||
ASP-r-pac Acquisition Company LLC, First Lien Term Loan | |||||||||
10.83% (1 Month US LIBOR + 6.00%), 12/29/27(b)(e) | United States | 1,710,972 | 1,615,137 | ||||||
ASP-r-pac Acquisition Company LLC, First Lien Tranche B Term Loan | |||||||||
6.00% (3 Month US LIBOR + 6.00%), 12/29/27(b)(c)(d)(e) | United States | 205,745 | – | ||||||
1,615,137 | |||||||||
Total Containers & Packaging | |||||||||
Distributors – 1.1% | |||||||||
RelaDyne, First Lien Term Loan | |||||||||
12.47% (SOFR Index + 7.75%), 12/23/29(b)(e) | United States | 1,996,000 | 1,956,080 | ||||||
Health Care Equipment & Supplies – 1.8% | |||||||||
Touchstone Acquisition, Inc., First Lien Term Loan | |||||||||
10.86% (1 Month US LIBOR + 6.00%), 12/29/28(b)(e) | United States | 2,983,860 | 2,924,183 | ||||||
Health Care Providers & Services – 1.5% | |||||||||
LSL Holdco LLC, First Lien Term Loan | |||||||||
10.57% (1 Month US LIBOR + 6.00%), 01/31/28(b)(e) | United States | 2,379,726 | 2,237,177 | ||||||
LSL Holdco LLC, First Lien Revolver Facility | |||||||||
10.63% (1 Month US LIBOR + 6.00%), 01/31/28(b)(c)(e) | United States | 266,412 | – | ||||||
LSL Holdco LLC, First Lien Incremental Term Loan | |||||||||
10.07% (1 Month US LIBOR + 6.00%), 01/31/28(b)(e) | United States | 277,069 | 262,163 | ||||||
2,499,340 | |||||||||
Total Health Care Providers & Services | |||||||||
Health Care Technology – 2.9% | |||||||||
Establishment Labs Holdings, Inc., First Lien Term Loan | |||||||||
9.00%, 04/21/27(e)(g) | United States | 1,169,349 | 1,116,728 | ||||||
Establishment Labs Holdings, Inc., First Lien Delay Draw Term Loan | |||||||||
9.00%, 04/21/27(e)(g) | United States | 187,273 | 178,845 | ||||||
9.00%, 04/21/27(c)(g) | United States | 368,580 | – | ||||||
Impel Neuropharma, Inc., First Lien Term Loan | |||||||||
13.48% (1 Month SOFR + 8.75%), 03/17/27(b)(e) | United States | 993,230 | 974,160 | ||||||
Impel Neuropharma, Inc., First Lien Revenue Interest Financing Term Loan | |||||||||
13.86%, 02/15/31(e) | United States | 1,104,976 | 1,079,672 | ||||||
Innocoll Pharmaceuticals Ltd., First Lien Term Loan | |||||||||
11.00%, 01/26/27(e) | United States | 1,510,485 | 1,400,975 | ||||||
Innocoll Pharmaceuticals Ltd., First Lien Delay Draw Term Loan | |||||||||
11.00%, 01/26/27(c) | United States | 929,530 | – | ||||||
4,750,380 | |||||||||
Total Health Care Technology | |||||||||
Hotels, Restaurants & Leisure – 3.5% | |||||||||
Grove Hotel Parcel Owner LLC, First Lien Delay Draw Term Loan | |||||||||
0.00% (3 Month SOFR + 8.00%), 06/21/28(b)(c)(e) | United States | 350,754 | – | ||||||
Grove Hotel Parcel Owner LLC, First Lien Revolver Facility | |||||||||
0.00% (3 Month SOFR + 8.00%), 06/21/28(b)(c)(e) | United States | 175,377 | – | ||||||
Grove Hotel Parcel Owner LLC, First Lien Term Loan | |||||||||
12.66% (3 Month SOFR + 8.00%), 06/21/28(b)(e) | United States | 1,749,385 | 1,706,832 | ||||||
PFNY Holdings LLC, First Lien Term Loan | |||||||||
11.75% (1 Month US LIBOR + 7.00%), 12/31/26(b)(e) | United States | 3,603,984 | 3,551,726 | ||||||
PFNY Holdings LLC, First Lien Delay Draw Term Loan | |||||||||
11.75% (3 Month US LIBOR + 7.00%), 12/31/26(b)(c)(e) | United States | 346,704 | 303,540 | ||||||
PFNY Holdings LLC, First Lien Revolver Facility | |||||||||
11.96% (3 Month US LIBOR + 7.00%), 12/31/26(b)(e) | United States | 173,352 | 170,908 | ||||||
5,733,006 | |||||||||
Total Hotels, Restaurants & Leisure | |||||||||
Insurance – 0.3% | |||||||||
Ardonagh Midco 3 PLC, First Lien Delay Draw Term Loan | |||||||||
11.31% (1 Month SOFR + 7.00%), 07/14/26(b)(c)(e) | United States | 1,097,433 | 552,009 | ||||||
Machinery – 1.1% | |||||||||
ProFrac Holdings LLC, First Lien Term Loan | |||||||||
11.10% (1 Month SOFR + 9.00%), 03/04/27(b)(e) | United States | 1,675,552 | 1,637,852 | ||||||
ProFrac Holdings LLC, First Lien Delay Draw Term Loan | |||||||||
11.13%, 03/04/25(e) | United States | 195,226 | 190,834 | ||||||
1,828,686 | |||||||||
Total Machinery | |||||||||
Pharmaceuticals – 0.8% | |||||||||
Bioxcel Therapeutics, Inc., Lien Tranche A Delay Draw Term Loan | |||||||||
13.56%, 09/30/32(e)(g) | United States | 400,457 | 400,457 | ||||||
Bioxcel Therapeutics, Inc., Lien Tranche B Delay Draw Term Loan | |||||||||
0.00%, 09/30/32(c)(e)(g) | United States | 563,378 | – | ||||||
Bioxcel Therapeutics, Inc., Lien Tranche C Delay Draw Term Loan | |||||||||
0.00%, 09/30/32(c)(e)(g) | United States | 563,378 | – | ||||||
Bioxcel Therapeutics, Inc., First Lien Revolver Facility Tranche B | |||||||||
10.25%, 04/19/27(c) | United States | 813,768 | – | ||||||
Bioxcel Therapeutics, Inc., First Lien Delay Draw Term Loan | |||||||||
10.25%, 04/19/27(e) | United States | 886,418 | 826,585 | ||||||
1,227,042 | |||||||||
Total Pharmaceuticals | |||||||||
Software – 4.8% | |||||||||
Avalara, Inc., First Lien Term Loan | |||||||||
12.15% (3 Month SOFR + 7.25%), 10/19/28(b)(e) | United States | 2,491,000 | 2,430,993 | ||||||
Avalara, Inc., First Lien Revolver Facility | |||||||||
14.00% (SOFR Index + 7.25%), 10/19/29(b)(c)(e) | United States | 249,000 | – | ||||||
iCIMS, Inc., First Lien Delay Draw Term Loan | |||||||||
0.00% (3 Month SOFR + 6.75%), 08/18/28(b)(c)(e)(g) | United States | 422,491 | – | ||||||
iCIMS, Inc., First Lien Term Loan | |||||||||
8.18% (3 Month SOFR + 6.75%), 08/18/28(b)(e) | United States | 1,654,301 | 1,587,633 | ||||||
10.26% (SOFR Index + 7.25%), 08/18/28(b)(e) | United States | 253,659 | 248,586 | ||||||
iCIMS, Inc., First Lien Revolver Facility | |||||||||
6.75% (3 Month SOFR + 6.75%), 08/18/28(b)(c)(e) | United States | 157,552 | 977 | ||||||
OEConnection LLC, Second Lien Tranche B Term Loan | |||||||||
11.72% (1 Month US LIBOR + 7.00%), 09/25/27(b)(e) | United States | 2,499,000 | 2,405,287 | ||||||
UserZoom Technologies, Inc., First Lien Term Loan | |||||||||
5.15% (3 Month SOFR + 7.50%), 04/05/29(b)(e) | United States | 1,348,000 | 1,310,391 | ||||||
Total Software | 7,983,867 | ||||||||
Total Senior Loans | 38,383,226 | ||||||||
Preferred Stock – 0.9% | |||||||||
Health Care Technology – 0.9% | |||||||||
athenahealth, Inc.- (Acquired 2/15/2022, cost $1,992,289)(e)(l) | United States | 2,033 | 1,662,588 | ||||||
Total Preferred Stock | 1,662,588 | ||||||||
Common Stock – 0.2% | |||||||||
Distributors – 0.2% | |||||||||
RelaDyne- (Acquired 12/23/2021, cost $187,703)(e)(l) | United States | 2,000 | 271,880 | ||||||
Total Common Stock | 271,880 | ||||||||
Warrants – 0.1% | |||||||||
Biotechnology – 0.0% | |||||||||
ADC Therapeutics - (Exercise price: $8.30, Expiration: 08/15/32)- (Acquired 8/15/2022, cost $30,028)(e)(l) | United States | 4,988 | 2,793 | ||||||
Mesoblast, Inc.- (Exercise Price: $3.70, Expiration: 11/19/28)- (Acquired 1/12/2023, cost $0)(e)(l) | United States | 11,941 | 20,837 | ||||||
Mesoblast, Inc.- (Exercise Price: $7.26, Expiration: 11/19/28)- (Acquired 12/20/2021, cost $106,354)(e)(l) | United States | 46,443 | 56,428 | ||||||
Total Biotechnology | 80,058 | ||||||||
Health Care Technology – 0.1% | |||||||||
Innocoll Pharmaceuticals Ltd.- (Exercise Price: $7.26, Expiration: 11/19/28)- (Acquired 1/26/2022 - 9/1/2022, cost $77,901)(e)(l) | United States | 20,192 | 120,344 | ||||||
Pharmaceuticals – 0.0% | |||||||||
Bioxcel Therapeutics, Inc. - (Exercise price: $20.04, Expiration: 04/19/29)- (Acquired 4/28/2022, cost $0)(e)(l) | United States | 3,487 | 30,616 | ||||||
Total Warrants | 231,018 | ||||||||
TOTAL PRIVATE CREDIT | 40,548,712 | ||||||||
(Cost $41,313,909) | |||||||||
Description | Country | Shares | Value | ||||||
MONEY MARKET FUND – 5.0% | |||||||||
First American Government Obligations Fund - Class X, 4.65%(m) | United States | 8,257,716 | 8,257,716 | ||||||
TOTAL MONEY MARKET FUND | |||||||||
(Cost $8,257,716) | 8,257,716 | ||||||||
Total Investments – 117.2% | |||||||||
(Cost $209,640,798) (n) | 194,247,504 | ||||||||
Liabilities in Excess of Other Assets – (17.2)% | (28,561,717 | ) | |||||||
TOTAL NET ASSETS – 100.0% | $ | 165,685,787 |
The following notes should be read in conjunction with the accompanying Schedule of Investments. | |||||
(a) These investments may be subject to legal restrictions on sales, which as of March 31, 2023, represented 136,215,291, or 82.2% of the Fund's net assets. | |||||
(b) 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. Securities that reference SOFR may be subject to a credit spread adjustment, particularly to legacy holdings thatreference LIBOR that have transitioned to SOFR as the base lending rate. | |||||
(c) As of March 31, 2023, 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: | Total | |||||||||
funded commitments (000s) | unfunded commitments (000s) (Note 10) | ||||||||||||
ADC Therapeutics | Initial Term Loan - Tranche B | $ | 520 | $ | — | $ | 520 | ||||||
Ardonagh Midco 3 PLC | First Lien Delay Draw Term Loan | 1,097 | 548 | 549 | |||||||||
ASP-r-pac Acquisition Company LLC | First Lien Tranche B Term Loan | 206 | — | 206 | |||||||||
Avalara, Inc. | First Lien Revolver Facility | 249 | — | 249 | |||||||||
Bioxcel Therapeutics, Inc. | Lien Tranche C Delay Draw Term Loan | 563 | — | 563 | |||||||||
Bioxcel Therapeutics, Inc. | First Lien Revolver Facility Tranche B | 438 | — | 438 | |||||||||
Bioxcel Therapeutics, Inc. | Lien Tranche B Delay Draw Term Loan | 563 | — | 563 | |||||||||
Bioxcel Therapeutics, Inc. | First Lien Revolver Facility Tranche B | 376 | — | 376 | |||||||||
CCI Buyer, Inc. | First Lien Tranche B Term Loan | 750 | — | 750 | |||||||||
Curium Bidco Sarl | First Lien Tranche B Term Loan | 498 | 248 | 250 | |||||||||
Establishment Labs Holdings, Inc. | First Lien Delay Draw Term Loan | 184 | — | 184 | |||||||||
Establishment Labs Holdings, Inc. | First Lien Delay Draw Term Loan | 184 | — | 184 | |||||||||
Grove Hotel Parcel Owner LLC | First Lien Revolver Facility | 175 | — | 175 | |||||||||
Grove Hotel Parcel Owner LLC | First Lien Delay Draw Term Loan | 351 | — | 351 | |||||||||
iCIMS, Inc. | First Lien Revolver Facility | 158 | 8 | 150 | |||||||||
iCIMS, Inc. | First Lien Delay Draw Term Loan | 422 | — | 422 | |||||||||
Innocoll Pharmaceuticals Ltd. | First Lien Delay Draw Term Loan | 465 | — | 465 | |||||||||
Innocoll Pharmaceuticals Ltd. | First Lien Delay Draw Term Loan | 465 | — | 465 | |||||||||
Kings Buyer LLC | First Lien Revolver Facility | 310 | 109 | 201 | |||||||||
LSL Holdco LLC | First Lien Revolver Facility | 266 | — | 266 | |||||||||
Mesoblast, Inc. | First Lien Tranche B Term Loan | 262 | — | 262 | |||||||||
Mesoblast, Inc. | First Lien Tranche C Term Loan | 525 | — | 525 | |||||||||
PFNY Holdings LLC | First Lien Delay Draw Term Loan | 347 | 309 | 38 | |||||||||
$ | 9,376 | $ | 1,224 | $ | 8,152 |
(d) Loan or bond was on non-accrual status as of March 31, 2023. | ||||
(e) Security fair valued in good faith pursuant to the fair value procedures adopted by the Board of Trustees. As of March 31, 2023, the total value of all such securities was $42,774,782 or 25.8% 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. | ||||
(f) 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. As of March 31, 2023, the total value of all such securities was $74,361,762 or 44.9% of net assets. | ||||
(g) Paid in kind security which may pay interest in additional par. | ||||
(h) Regulation S security. These securities may be subject to transfer restrictions as defined by Regulation S. As of March 31, 2023, the total value of all such securities was $800,179 or 0.5% of net assets. | ||||
(i) These assets are held in the Oaktree Diversified Income Fund (Cayman) Ltd., a Cayman Islands exempted company and wholly-owned subsidiary of the Fund. | ||||
(j) 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, 2023. | ||||
(k) Issuer is currently in default on its regularly scheduled interest payment. | ||||
(l) Restricted security. Purchased in a private placement transaction; resale to the public may require registration. As of March 31, 2023, the total value of all such securities was 2,165,486 or 1.3% of net assets. | ||||
(m) The rate shown represents the seven-day yield as of March 31, 2023. | ||||
(n) These securities are pledged as collateral for the credit facility. | ||||
Abbreviations: | ||||
CMT Constant Maturity Treasury Rate | ||||
EURIBOR Euro Interbank Offered Rate | ||||
LIBOR London Interbank Offered Rates | ||||
LLC Limited Liability Corporation | ||||
LP Limited Partnership | ||||
SOFR Secured Overnight Financial Rate | ||||
SONIA Sterling Overnight Index Average | ||||
USD United States Dollar |
Forward Currency Contracts: | |||||||
Settlement Date | Currency Purchased | Currency Sold | Counterparty | Value / Unrealized Appreciation (Depreciation) | |||
4/19/2023 | 72,711,852 USD | 70,481,478 EUR | State Street Bank & Trust Company | $ | 151,872 | ||
4/19/2023 | 1,063,460 USD | 878,949 GBP | State Street Bank & Trust Company | (18,279 | ) | ||
4/19/2023 | 58,082 USD | 7,850,000 JPY | State Street Bank & Trust Company | (1,220 | ) | ||
$ | 132,373 |
Oaktree Diversified Income Fund Inc.
Notes to Consolidated Schedule of Investments
March 31, 2023 (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.
The Board has designated the Adviser as the valuation designee pursuant to Rule 2a-5 under the 1940 Act to perform fair value determination relating to any or all Fund investments. The Board oversees the Adviser in its role as the valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act.
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, 2023:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Corporate Credit | ||||||||||||||||||
Senior Loans (Syndicated) | $ | - | $ | 45,354,134 | $ | 2,226,070 | $ | 47,580,204 | ||||||||||
High Yield | - | 34,782,807 | - | 34,782,807 | ||||||||||||||
Emerging Markets | - | 8,813,950 | - | 8,813,950 | ||||||||||||||
Corporate Bonds | - | 1,265,580 | - | 1,265,580 | ||||||||||||||
Convertible Bonds | - | 2,746,674 | - | 2,746,674 | ||||||||||||||
Structured Credit | ||||||||||||||||||
Collateralized Loan Obligations | - | 30,995,148 | - | 30,995,148 | ||||||||||||||
Commercial Mortgage-Backed Securities | - | 11,319,203 | - | 11,319,203 | ||||||||||||||
Residential Mortgage-Backed Securities | - | 3,519,138 | - | 3,519,138 | ||||||||||||||
Other | - | 4,418,372 | - | 4,418,372 | ||||||||||||||
Private Credit | ||||||||||||||||||
Senior Loans | - | - | 38,383,226 | 38,383,226 | ||||||||||||||
Preferred Stock | - | - | 1,662,588 | 1,662,588 | ||||||||||||||
Common Stock | - | - | 271,880 | 271,880 | ||||||||||||||
Warrants | - | - | 231,018 | 231,018 | ||||||||||||||
Money Market Fund | 8,257,716 | - | - | 8,257,716 | ||||||||||||||
Total | $ | 8,257,716 | $ | 143,215,006 | $ | 42,774,782 | $ | 194,247,504 | ||||||||||
Other Financial Instruments(1) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Forward currency contracts | $ | - | $ | 132,374 | $ | - | $ | 132,374 | ||||||||||
Total | $ | - | $ | 132,374 | $ | - | $ | 132,374 | ||||||||||
(1) Other financial instruments include forward currency contracts which are reflected at the net unrealized appreciation (depreciation) on the instruments. |
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, 2023.
Quantitative Information about Level 3 Fair Value Measurements | |||||||||||
Value as of March 31, 2023 | Valuation Approach | Valuation Methodology | Unobservable Input | Amount or Range/(Weighted Average) | Impact to Valuation from an Increase in Input(1) | ||||||
Corporate Credit | |||||||||||
Senior Loans (Syndicated) | $ | 2,226,070 | Income Approach | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 10.0%-15.0% | Decrease | ||||
(13.0%) | |||||||||||
Private Credit | |||||||||||
Senior Loans | 38,383,226 | Income Approach | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 10.0%-17.0% | Decrease | |||||
(13.0%) | |||||||||||
Preferred Stock | 1,662,588 | Income Approach | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 16.0%-17.0% | Decrease | |||||
(13.0%) | |||||||||||
Common Stock | 271,880 | Market approach | Comparable companies | Earnings Multiple | 5x-8x (7x) | Increase | |||||
Warrants | 231,018 | Other | Black Scholes | Volatility | 50-80% | Increase | |||||
(67%) | |||||||||||
Total | $ | 42,774,782 | |||||||||
(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:
The following is a reconciliation of the assets in which significant unobservable inputs (Level 3) were used in determining fair value: | ||||||||||||
Corporate Credit | Private Credit | Total | ||||||||||
Balance as of December 31, 2022 | $ | 2,216,835 | $ | 39,126,978 | $ | 41,343,813 | ||||||
Accrued discounts (premiums) | 467 | 69,587 | 70,054 | |||||||||
Realized gain (loss) | 2,931 | 5,266 | 8,197 | |||||||||
Change in unrealized appreciation (depreciation) | 20,338 | (35,398 | ) | (15,060 | ) | |||||||
Purchases at cost | 961,482 | 1,796,775 | 2,758,257 | |||||||||
Sales proceeds | (975,983 | ) | (414,496 | ) | (1,390,479 | ) | ||||||
Balance as of March 31, 2023 | $ | 2,226,070 | $ | 40,548,712 | $ | 42,774,782 | ||||||
Change in unrealized appreciation (depreciation) for Level 3 assets still held at the reporting date | $ | 20,338 | $ | (35,398 | ) | $ | (15,060 | ) |
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 (“Sumitomo”) for investment purposes subject to the limitations of the 1940 Act for borrowings by registered investment companies. The Credit Facility stated maturity date is December 31, 2023. The Fund pays interest in the amount of the London Interbank Offered Rate plus 1.25% on the Credit Facility outstanding if the borrowing is a Eurodollar Loan as defined in the Credit Facility agreement, or the highest of (i) Sumitomo prime rate as announced by Sumitomo in New York City, (ii) the sum of (x) the Federal Funds Rate plus (y) 1.00%, and (iii) the sum of (x) the London interbank market with a one
(1) month maturity plus (y) 1.00%, (“Base Rate”) plus 0.25% if the borrowing is a Base Rate Loan as defined in the Credit Facility agreement on the Credit Facility outstanding. The Fund also pays an unused commitment fee of 0.20% on the Credit Facility that is unused. As of March 31, 2023, the Fund incurred debt issuance costs of $293,629. 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, 2023, the Fund had outstanding borrowings of $20,000,000. For the three months ended March 31, 2023, the components of interest and unused commitment fees expense, average stated interest rates (i.e., rate in effect plus the spread) and average outstanding balances for the Credit Facility were as follows:
Stated interest expense | $288,791 |
Unused commitment fees | $27,500 |
Amortization of debt issuance costs | $35,281 |
Total interest expense and credit facility fees | $351,572 |
Average stated interest rate | 5.78% |
Average outstanding balance | $20,000,000 |
According to terms of the Credit Facility agreement, the Fund is required to comply with various covenants, reporting requirements and other customary requirements for similar revolving credit facilities, including, without limitation, covenants related to maintaining a ratio of total assets (less total liabilities other than senior securities representing indebtedness) to senior securities representing indebtedness of the Fund of not less than 300%. These covenants are subject to important limitations and exceptions that are described in the documents governing the Credit Facility. As of March 31, 2023, the Fund was in compliance with the terms of the Credit Facility.