Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)
29 Agosto 2024 - 4:20PM
Edgar (US Regulatory)
| DoubleLine
Yield Opportunities Fund |
|
(Unaudited)
|
| Schedule
of Investments |
|
June
30, 2024 |
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| ASSET
BACKED OBLIGATIONS - 2.3% |
| |
Affirm,
Inc. |
|
|
|
| 1,300,000 |
Series
2023-B-D |
8.78% |
(a) |
09/15/2028 |
1,327,486 |
| |
Blue
Stream Communications LLC |
|
|
|
| 2,500,000 |
Series
2023-1A-C |
8.90% |
(a) |
05/20/2053 |
2,335,869 |
| |
Castlelake
Aircraft Securitization Trust |
|
|
|
| 1,477,711 |
Series
2021-1A-C |
7.00% |
(a)(b) |
01/15/2046 |
1,260,519 |
| |
Compass
Datacenters LLC |
|
|
|
| 750,000 |
Series
2024-1A-B |
7.00% |
(a) |
02/25/2049 |
754,206 |
| |
JetBlue
Airways Corp. |
|
|
|
| 1,109,418 |
Series
2019-1 |
8.00% |
|
11/15/2027 |
1,128,833 |
| |
JOL
Air Ltd. |
|
|
|
| 3,669,137 |
Series
2019-1-B |
4.95% |
(a) |
04/15/2044 |
3,317,134 |
| |
Kestrel
Aircraft Funding USA LLC |
|
|
|
| 937,169 |
Series
2018-1A-A |
4.25% |
(a) |
12/15/2038 |
883,760 |
| |
MACH
1 Cayman Ltd. |
|
|
|
| 868,376 |
Series
2019-1-B |
4.34% |
(a) |
10/15/2039 |
660,090 |
| |
Marlette
Funding Trust |
|
|
|
| 8,192 |
Series
2021-1A-R |
0.00% |
(a)(b)(c) |
06/16/2031 |
110,767 |
| |
Pagaya
AI Debt Selection Trust |
|
|
|
| 2,425,852 |
Series
2021-3-CERT |
0.00% |
(a)(b)(c) |
05/15/2029 |
2,147 |
| 2,303,922 |
Series
2021-5-CERT |
0.00% |
(a)(b)(c) |
08/15/2029 |
121,343 |
| 59,920 |
Series
2022-1-A |
2.03% |
(a) |
10/15/2029 |
59,649 |
| 461,634 |
Series
2022-2-AB |
5.80% |
(a)(d) |
01/15/2030 |
460,955 |
| |
SOFI
Alternative Trust |
|
|
|
| 55,000 |
Series
2021-2-R1 |
0.00% |
(a)(b)(c) |
08/15/2030 |
349,379 |
| |
SoFi
Professional Loan Program LLC |
|
|
|
| 20,000 |
Series
2018-C-R1 |
0.00% |
(a)(b)(c) |
01/25/2048 |
155,502 |
| |
Start
Ltd./Bermuda |
|
|
|
| 311,467 |
Series
2019-1-C |
6.41% |
(a)(b) |
03/15/2044 |
284,321 |
| |
Start/Bermuda |
|
|
|
| 2,791,459 |
Series
2018-1-A |
4.09% |
(a) |
05/15/2043 |
2,654,353 |
| |
Switch
ABS Issuer LLC |
|
|
|
| 1,000,000 |
Series
2024-2A-C |
10.03% |
(a) |
06/25/2054 |
1,005,662 |
| |
Upstart
Securitization Trust |
|
|
|
| 4,000 |
Series
2021-2-CERT |
0.00% |
(b)(c) |
06/20/2031 |
303,564 |
| 3,300 |
Series
2021-5-CERT |
0.00% |
(a)(b)(c) |
11/20/2031 |
157,655 |
| |
Total
Asset Backed Obligations (Cost $17,004,862) |
|
17,333,194 |
| BANK
LOANS - 14.1% |
| |
AAdvantage
Loyalty IP Ltd. |
|
|
|
| 968,000 |
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.75% Floor) |
10.36% |
|
04/20/2028 |
1,001,275 |
| |
Access
CIG LLC |
|
|
|
| 1,966,195 |
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.50% Floor) |
10.34% |
|
08/18/2028 |
1,981,256 |
| |
ADMI
Corp. |
|
|
|
| 1,122,115 |
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) |
9.21% |
|
12/23/2027 |
1,101,783 |
| 910,425 |
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 5.75%, 0.00% Floor) |
11.09% |
|
12/23/2027 |
918,009 |
| |
AI
Aqua Merger Sub, Inc. |
|
|
|
| 818,734 |
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) |
9.10% |
|
07/31/2028 |
821,117 |
| |
Allied
Universal Holdco LLC |
|
|
|
| 1,017,385 |
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) |
9.18% |
|
05/15/2028 |
1,014,622 |
| |
Altice
France SA/France |
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 548,615
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 5.50%, 0.00% Floor) |
10.83% |
|
08/31/2028 |
404,603
|
| |
Alvaria
Holdco (Aspect Software) Second-Out T/L |
|
|
|
| 577,009
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 1.00%, 0.75% Floor) |
6.34% |
|
05/18/2028 |
379,383
|
| 10,059
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 1.00%, 0.75% Floor) 6.50% PIK |
6.34% |
|
05/18/2028 |
6,614
|
| |
Alvaria
Holdco (Aspect Software) Third-Out T/L A |
|
|
|
| 1,346,354
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) |
7.34% |
|
05/18/2028 |
410,638
|
| 19,843
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) 5.50% PIK |
7.34% |
|
05/18/2028 |
6,052
|
| |
American
Tire Distributors, Inc. |
|
|
|
| 1,418,938
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 6.25%, 0.75% Floor) |
11.57% |
|
10/23/2028 |
1,034,718
|
| |
Applied
Systems, Inc. |
|
|
|
| 670,000
|
Senior
Secured Second Lien Term Loan (3 mo. SOFR US + 5.25%, 0.00% Floor) |
10.60% |
|
02/23/2032 |
694,636
|
| |
Apro
LLC |
|
|
|
| 1,025,000
|
Senior
Secured Term Loan (1 mo. Term SOFR + 3.75%) |
9.08% |
|
06/26/2031 |
1,026,281
|
| |
Artera
Services LLC |
|
|
|
| 1,970,063
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor) |
9.83% |
|
02/10/2031 |
1,982,897
|
| |
Ascend
Learning LLC |
|
|
|
| 2,247,391
|
Senior
Secured Second Lien Term Loan (1 mo. SOFR US + 5.75%, 0.50% Floor) |
11.18% |
|
12/10/2029 |
2,211,433
|
| |
ASP
LS Acquisition Corp. |
|
|
|
| 509,758
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.75% Floor) |
9.83% |
|
05/08/2028 |
435,775
|
| |
Astra
Acquisition Corp. |
|
|
|
| 177,708
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 6.50%, 2.00% Floor) |
11.84% |
|
02/25/2028 |
163,047
|
| 99,516
|
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 6.75%) |
12.09% |
|
02/25/2028 |
91,306
|
| 438,485
|
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 5.25%) |
10.59% |
|
10/25/2028 |
162,240
|
| 3,249,219
|
Senior
Secured Second Lien Term Loan (3 mo. SOFR US + 8.88%, 0.75% Floor) |
14.22% |
|
10/25/2029 |
855,974
|
| |
Asurion
LLC |
|
|
|
| 305,000
|
Senior
Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) |
10.69% |
|
02/03/2028 |
284,984
|
| 1,425,000
|
Senior
Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor) |
10.70% |
|
01/22/2029 |
1,318,681
|
| |
Aveanna
Healthcare LLC |
|
|
|
| 2,800,000
|
Senior
Secured Second Lien Term Loan (3 mo. SOFR US + 7.00%, 0.50% Floor) |
12.43% |
|
12/10/2029 |
2,586,499
|
| |
Bausch
+ Lomb Corp. |
|
|
|
| 408,744
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor) |
8.68% |
|
05/10/2027 |
404,912
|
| 957,763
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) |
9.44% |
|
09/29/2028 |
957,169
|
| |
BCPE
Empire Holdings, Inc. |
|
|
|
| 194,513
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) |
9.34% |
|
12/26/2028 |
194,793
|
| |
Boxer
Parent Co., Inc. |
|
|
|
| 2,601,925
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) |
9.59% |
|
12/29/2028 |
2,610,511
|
| |
Brand
Industrial Services, Inc. |
|
|
|
| 1,154,625
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor) |
9.83% |
|
08/01/2030 |
1,159,757
|
| |
BYJU’s
Alpha Bridge TL |
|
|
|
| 3,010
|
Senior
Secured Term Loan |
13.33% |
(b)(e) |
04/24/2026 |
3,010
|
| |
BYJU’s
Alpha New Money TL |
|
|
|
| 5,248
|
Senior
Secured First Lien Term Loan |
13.33% |
(b)(e) |
04/09/2026 |
5,248
|
| |
BYJU’s
Alpha Prepetition Reimbursement TL |
|
|
|
| 13,895
|
Senior
Secured Term Loan |
13.33% |
(b)(e) |
04/24/2026 |
13,895
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| |
BYJU’s
Alpha, Inc. |
|
|
|
| 612,256
|
Senior
Secured First Lien Term Loan (Prime Rate + 7.00%, 0.75% Floor) |
15.50% |
(f) |
11/24/2026 |
138,632
|
| |
Carnival
Corp. |
|
|
|
| 167,869
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor) |
8.09% |
|
08/09/2027 |
168,919
|
| |
Cengage
Learning, Inc. |
|
|
|
| 758,100
|
Senior
Secured First Lien Term Loan (6 mo. SOFR US + 4.25%, 1.00% Floor) |
9.60% |
|
03/24/2031 |
761,182
|
| |
Central
Parent, Inc. |
|
|
|
| 635,000
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) |
8.58% |
|
07/06/2029 |
627,659
|
| |
ClubCorp
Holdings, Inc. |
|
|
|
| 1,646,292
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) |
10.34% |
|
09/18/2026 |
1,656,993
|
| 67,112
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor) |
10.34% |
|
09/18/2026 |
67,548
|
| |
Constant
Contact, Inc. |
|
|
|
| 4,500,000
|
Senior
Secured Second Lien Term Loan (3 mo. SOFR US + 7.50%, 0.00% Floor) |
12.83% |
|
02/12/2029 |
4,184,999
|
| |
CoreLogic,
Inc. |
|
|
|
| 246,827
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) |
8.94% |
|
06/02/2028 |
243,566
|
| |
Cornerstone
Building Brands, Inc. |
|
|
|
| 525,000
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.50% Floor) |
9.93% |
|
05/15/2031 |
522,813
|
| |
Crosby
US Acquisition Corp. |
|
|
|
| 502,475
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) |
9.33% |
|
08/16/2029 |
505,877
|
| |
Cross
Financial Corp. |
|
|
|
| 1,164,157
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor) |
8.84% |
|
09/15/2027 |
1,169,978
|
| |
Dcert
Buyer, Inc. |
|
|
|
| 467,558
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor) |
9.33% |
|
10/16/2026 |
456,746
|
| 940,000
|
Senior
Secured Second Lien Term Loan (1 mo. SOFR US + 7.00%, 0.00% Floor) |
12.34% |
|
02/16/2029 |
843,650
|
| |
Deerfield
Dakota Holding LLC |
|
|
|
| 2,044,628
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor) |
9.04% |
|
04/09/2027 |
2,046,140
|
| |
Dexko
Global, Inc. |
|
|
|
| 786,050
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.00% Floor) |
9.59% |
|
10/04/2028 |
786,463
|
| |
DG
Investment Intermediate Holdings 2, Inc. |
|
|
|
| 915,000
|
Senior
Secured Second Lien Term Loan (1 mo. SOFR US + 6.75%, 0.75% Floor) |
12.21% |
|
03/29/2029 |
899,418
|
| |
Directv
Financing LLC |
|
|
|
| 1,564,232
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 5.25%, 0.75% Floor) |
10.71% |
|
08/02/2029 |
1,559,344
|
| |
Dynasty
Acquisition Co., Inc. |
|
|
|
| 316,024
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) |
8.84% |
|
08/24/2028 |
317,532
|
| |
Edelman
Financial Engines Center LLC |
|
|
|
| 2,180,000
|
Senior
Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%) |
10.59% |
|
10/31/2028 |
2,188,175
|
| |
EG
America LLC |
|
|
|
| 967,569
|
Senior
Secured First Lien Term Loan (Daily US Secured Overnight Financing Rate + 5.50%, 0.00% Floor) |
10.94% |
|
02/07/2028 |
957,492
|
| |
Eisner
Advisory Group LLC |
|
|
|
| 1,059,675
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor) |
9.34% |
|
02/28/2031 |
1,071,379
|
| |
Element
Materials Technology Group US Holdings, Inc. |
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 155,008
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) |
9.68% |
|
06/25/2029 |
155,815
|
| 71,542
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) |
9.68% |
|
06/25/2029 |
71,915
|
| |
Ellucian
Holdings, Inc. |
|
|
|
| 416,194
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) |
8.94% |
|
10/29/2029 |
418,579
|
| |
Fertitta
Entertainment LLC/NV |
|
|
|
| 1,935,139
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor) |
9.33% |
|
01/29/2029 |
1,939,610
|
| |
FinThrive
Software Intermediate Holdings, Inc. |
|
|
|
| 785,000
|
Senior
Secured Second Lien Term Loan (1 mo. SOFR US + 6.75%, 0.50% Floor) |
12.19% |
|
12/17/2029 |
542,961
|
| |
Flynn
America LP |
|
|
|
| 548,438
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.50% Floor) |
9.96% |
|
07/31/2028 |
543,639
|
| 548,438
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.50% Floor) |
9.96% |
|
07/31/2028 |
543,639
|
| |
Gainwell
Acquisition Corp. |
|
|
|
| 3,137,444
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor) |
9.40% |
|
10/01/2027 |
3,045,925
|
| |
Garda
World Security Corp. |
|
|
|
| 1,117,157
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.00% Floor) |
9.68% |
|
02/01/2029 |
1,125,536
|
| |
GIP
II Blue Holding LP |
|
|
|
| 176,683
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 1.00% Floor) |
9.08% |
|
09/29/2028 |
178,734
|
| |
Grant
Thornton LLP/Chicago |
|
|
|
| 320,000
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor) |
8.59% |
|
05/30/2031 |
321,317
|
| |
Groupe
Solmax, Inc. |
|
|
|
| 187,937
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.75% Floor) |
10.34% |
|
07/24/2028 |
182,725
|
| 187,467
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.75% Floor) |
10.34% |
|
07/24/2028 |
182,268
|
| 344,940
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.75% Floor) |
10.34% |
|
07/24/2028 |
335,373
|
| 269,953
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.75% Floor) |
10.34% |
|
07/24/2028 |
262,466
|
| |
Helios
Software Holdings, Inc. |
|
|
|
| 1,071,914
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) |
9.10% |
|
07/15/2030 |
1,076,126
|
| |
Hexion
Holdings Corp. |
|
|
|
| 2,033,615
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor) |
9.95% |
|
03/15/2029 |
2,029,436
|
| |
INEOS
US Finance LLC |
|
|
|
| 2,099,138
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) |
8.93% |
|
02/19/2030 |
2,089,690
|
| |
INEOS
US Petrochem LLC |
|
|
|
| 1,012,463
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor) |
9.68% |
|
03/29/2029 |
1,011,830
|
| |
Kenan
Advantage Group, Inc. |
|
|
|
| 1,057,350
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) |
9.09% |
|
01/25/2029 |
1,063,958
|
| |
Kronos
Acquisition Holdings, Inc. |
|
|
|
| 1,345,000
|
Senior
Secured Term Loan (1 mo. Term SOFR + 4.00%) |
9.34% |
|
06/27/2031 |
1,338,275
|
| |
Lasership,
Inc. |
|
|
|
| 345,000
|
Senior
Secured Second Lien Term Loan (3 mo. SOFR US + 7.50%, 0.00% Floor) |
12.81% |
|
05/07/2029 |
251,993
|
| |
LBM
Acquisition LLC |
|
|
|
| 2,220,526
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) |
9.18% |
|
06/06/2031 |
2,186,442
|
| |
LC
Ahab US Bidco LLC |
|
|
|
| 690,000
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) |
8.83% |
|
05/01/2031 |
692,160
|
| |
Lereta
LLC |
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 372,995
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 5.25%, 0.75% Floor) |
10.58% |
|
08/07/2028 |
281,300
|
| |
LifePoint
Health, Inc. |
|
|
|
| 1,311,713
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.00% Floor) |
10.08% |
|
11/16/2028 |
1,320,488
|
| 270,000
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.00%) |
9.33% |
|
05/14/2031 |
270,718
|
| |
Mileage
Plus Holdings LLC |
|
|
|
| 240,000
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 1.00% Floor) |
10.55% |
|
06/21/2027 |
245,182
|
| |
Mitchell
International, Inc. |
|
|
|
| 2,465,000
|
Senior
Secured Term Loan (1 mo. Term SOFR + 5.25%) |
10.59% |
|
06/17/2032 |
2,463,472
|
| |
Modena
Buyer LLC |
|
|
|
| 1,805,000
|
Senior
Secured Term Loan (1 mo. Term SOFR + 4.50%) |
9.83% |
|
04/21/2031 |
1,764,108
|
| |
Needle
Holdings LLC |
|
|
|
| 93,904
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 9.50%, 0.00% Floor) |
14.84% |
|
04/28/2028 |
92,965
|
| |
NEP
Group, Inc. |
|
|
|
| 1,108,952
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) 1.50% PIK |
8.71% |
|
08/19/2026 |
1,054,425
|
| 8,447
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor) 1.50% PIK |
8.71% |
|
08/19/2026 |
8,032
|
| |
NGL
Energy Operating LLC |
|
|
|
| 304,238
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.00% Floor) |
9.83% |
|
02/03/2031 |
305,677
|
| |
Nouryon
USA LLC |
|
|
|
| 1,107,839
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) |
8.85% |
|
04/03/2028 |
1,112,132
|
| 287,569
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) |
8.85% |
|
04/03/2028 |
288,683
|
| |
OneDigital
Borrower LLC |
|
|
|
| 289,258
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.50% Floor) |
9.75% |
|
11/16/2027 |
288,897
|
| 2,570,000
|
Senior
Secured Term Loan (1 mo. Term SOFR + 5.25%) |
10.58% |
|
06/14/2032 |
2,563,575
|
| |
Ontario
Gaming GTA LP |
|
|
|
| 1,159,175
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) |
9.58% |
|
08/01/2030 |
1,166,234
|
| |
Par
Petroleum LLC |
|
|
|
| 1,002,313
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor) |
9.08% |
|
02/28/2030 |
1,007,634
|
| |
PECF
USS Intermediate Holding III Corp. |
|
|
|
| 677,196
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) |
9.69% |
|
12/15/2028 |
453,345
|
| |
Polaris
Newco LLC |
|
|
|
| 681,496
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor) |
9.44% |
|
06/05/2028 |
682,038
|
| |
Potters
Borrower LP |
|
|
|
| 276,507
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor) |
9.08% |
|
12/14/2027 |
278,107
|
| |
Pretium
PKG Holdings, Inc. |
|
|
|
| 960,000
|
Senior
Secured Second Lien Term Loan (3 mo. SOFR US + 6.75%, 0.50% Floor) |
12.05% |
|
10/01/2029 |
564,135
|
| |
Radiology
Partners T/L |
|
|
|
| 1,118,069
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) |
9.09% |
|
01/31/2029 |
1,063,284
|
| 15,770
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) 1.50% PIK |
9.09% |
|
01/31/2029 |
14,997
|
| |
Restaurant
Technologies, Inc. |
|
|
|
| 2,078,831
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) |
9.55% |
|
04/02/2029 |
2,026,309
|
| 197,339
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) |
9.55% |
|
04/02/2029 |
192,353
|
| 197,339
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) |
9.55% |
|
04/02/2029 |
192,353
|
| |
Riverbed
Technology, Inc. |
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 482,183
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 1.00% Floor) 2.00% PIK |
9.83% |
|
07/03/2028 |
297,146
|
| 7,350
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 1.00% Floor) 2.00% PIK |
9.83% |
|
07/03/2028 |
4,530
|
| |
Skillsoft
Finance II, Inc. |
|
|
|
| 463,501
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 5.25%, 0.75% Floor) |
10.69% |
|
07/14/2028 |
365,506
|
| |
Southern
Veterinary Partners LLC |
|
|
|
| 515,178
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 1.00% Floor) |
9.08% |
|
10/05/2027 |
516,896
|
| |
Standard
Aero Ltd. |
|
|
|
| 121,851
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor) |
8.84% |
|
08/24/2028 |
122,432
|
| |
StubHub
Holdco Sub LLC |
|
|
|
| 2,689,585
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor) |
10.08% |
|
03/15/2030 |
2,693,794
|
| |
Team
Health Holdings, Inc. |
|
|
|
| 805,757
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 1.00% Floor) |
10.58% |
|
03/02/2027 |
752,980
|
| |
Titan
Acquisition Ltd./Canada |
|
|
|
| 2,965,000
|
Senior
Secured First Lien Term Loan (6 mo. SOFR US + 5.00%, 0.00% Floor) |
10.34% |
|
02/15/2029 |
2,975,510
|
| |
Travelport
Finance Luxembourg Sarl |
|
|
|
| 1,220,570
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 1.39%, 1.00% Floor) |
12.34% |
|
09/29/2028 |
1,111,549
|
| 347,258
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 1.39%, 1.00% Floor) |
12.34% |
|
09/29/2028 |
316,241
|
| |
Trident
TPI Holdings, Inc. |
|
|
|
| 557,179
|
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.34% |
|
09/18/2028 |
546,703
|
| |
Triton
Water Holdings, Inc. |
|
|
|
| 1,535,000
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor) |
8.59% |
|
03/31/2028 |
1,537,303
|
| |
United
Natural Foods, Inc. |
|
|
|
| 1,090,000
|
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%) |
10.08% |
|
05/01/2031 |
1,094,998
|
| |
Vantage
Specialty Chemicals, Inc. |
|
|
|
| 216,700
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.50% Floor) |
10.08% |
|
10/26/2026 |
214,533
|
| |
Viad
Corp. |
|
|
|
| 1,883,593
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.50% Floor) |
9.59% |
|
07/31/2028 |
1,890,666
|
| |
Vibrantz
Technologies, Inc. |
|
|
|
| 873,333
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor) |
9.68% |
|
04/23/2029 |
854,120
|
| |
Victra
Holdings LLC |
|
|
|
| 538,928
|
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 6.50%, 0.00% Floor) |
11.84% |
|
03/29/2029 |
547,012
|
| |
VT
Topco, Inc. |
|
|
|
| 895,506
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor) |
8.83% |
|
08/12/2030 |
900,767
|
| |
Wand
NewCo 3, Inc. |
|
|
|
| 850,000
|
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor) |
9.09% |
|
01/30/2031 |
856,600
|
| |
WaterBridge
Midstream Operating LLC |
|
|
|
| 1,400,000
|
Senior
Secured Term Loan (1 mo. Term SOFR + 4.75%) |
10.09% |
|
06/27/2029 |
1,393,000
|
| |
WWEX
Uni Topco Holdings LLC |
|
|
|
| 165,000
|
Senior
Secured Second Lien Term Loan (3 mo. SOFR US + 7.00%, 0.75% Floor) |
12.34% |
|
07/26/2029 |
158,400
|
| |
Total
Bank Loans (Cost $113,571,408) |
|
107,859,164
|
| COLLATERALIZED
LOAN OBLIGATIONS - 18.9% |
| |
Aimco
CDO |
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 500,000
|
Series
2019-10A-ERR (3 mo. Term SOFR + 5.65%, 5.65% Floor) |
10.98% |
(a) |
07/22/2037 |
502,433
|
| 2,000,000
|
Series
2021-15A-E (3 mo. Term SOFR + 6.21%, 5.95% Floor) |
11.53% |
(a) |
10/17/2034 |
2,013,397
|
| |
Apidos
CLO |
|
|
|
| 1,450,000
|
Series
2018-18A-E (3 mo. Term SOFR + 5.96%, 5.70% Floor) |
11.29% |
(a) |
10/22/2030 |
1,445,692
|
| |
Babson
CLO Ltd./Cayman Islands |
|
|
|
| 1,500,000
|
Series
2019-2A-CR (3 mo. Term SOFR + 3.66%, 3.40% Floor) |
8.99% |
(a) |
04/15/2036 |
1,497,817
|
| 2,000,000
|
Series
2020-1A-ER (3 mo. Term SOFR + 6.91%, 6.65% Floor) |
12.24% |
(a) |
10/15/2036 |
2,018,568
|
| |
Bain
Capital Credit CLO |
|
|
|
| 3,000,000
|
Series
2017-2A-ER2 (3 mo. Term SOFR + 7.12%, 6.86% Floor) |
12.45% |
(a) |
07/25/2034 |
2,969,040
|
| 8,000,000
|
Series
2019-3A-ER (3 mo. Term SOFR + 7.36%, 7.36% Floor) |
12.69% |
(a) |
10/21/2034 |
7,800,329
|
| 1,250,000
|
Series
2022-3A-E (3 mo. Term SOFR + 7.35%, 7.35% Floor) |
12.67% |
(a) |
07/17/2035 |
1,254,714
|
| |
Blackstone,
Inc. |
|
|
|
| 3,800,000
|
Series
2017-1A-D (3 mo. Term SOFR + 6.26%, 6.00% Floor) |
11.59% |
(a) |
04/20/2029 |
3,821,929
|
| |
Buttermilk
Park CLO |
|
|
|
| 750,000
|
Series
2018-1A-E (3 mo. Term SOFR + 6.01%, 5.75% Floor) |
11.34% |
(a) |
10/15/2031 |
751,229
|
| |
Canyon
Capital CLO Ltd. |
|
|
|
| 1,000,000
|
Series
2021-1A-E (3 mo. Term SOFR + 6.67%, 6.41% Floor) |
12.00% |
(a) |
04/15/2034 |
969,578
|
| |
Canyon
CLO |
|
|
|
| 1,850,000
|
Series
2020-2A-ER (3 mo. Term SOFR + 6.79%, 6.53% Floor) |
12.12% |
(a) |
10/15/2034 |
1,834,000
|
| 2,000,000
|
Series
2021-3A-E (3 mo. Term SOFR + 6.46%, 6.20% Floor) |
11.79% |
(a) |
07/15/2034 |
1,995,969
|
| |
Carlyle
Global Market Strategies |
|
|
|
| 1,875,000
|
Series
2020-2A-DR (3 mo. Term SOFR + 6.96%, 6.70% Floor) |
12.29% |
(a) |
01/25/2035 |
1,891,199
|
| 1,000,000
|
Series
2021-1A-D (3 mo. Term SOFR + 6.26%, 6.00% Floor) |
11.59% |
(a) |
04/15/2034 |
1,005,895
|
| |
CIFC
Funding Ltd. |
|
|
|
| 2,000,000
|
Series
2013-1A-DR (3 mo. Term SOFR + 6.91%, 0.00% Floor) |
12.24% |
(a) |
07/16/2030 |
2,007,711
|
| 3,350,000
|
Series
2013-3RA-D (3 mo. Term SOFR + 6.16%, 5.90% Floor) |
11.48% |
(a) |
04/24/2031 |
3,351,435
|
| 1,750,000
|
Series
2017-5A-ER (3 mo. Term SOFR + 6.15%, 6.15% Floor) |
11.48% |
(a) |
07/17/2037 |
1,750,000
|
| 4,650,000
|
Series
2019-3A-DR (3 mo. Term SOFR + 7.06%, 6.80% Floor) |
12.39% |
(a) |
10/16/2034 |
4,682,084
|
| 2,000,000
|
Series
2020-1A-ER (3 mo. Term SOFR + 6.51%, 6.51% Floor) |
11.84% |
(a) |
07/15/2036 |
2,009,943
|
| 1,500,000
|
Series
2020-4A-E (3 mo. Term SOFR + 7.11%, 7.11% Floor) |
12.44% |
(a) |
01/15/2034 |
1,511,803
|
| 500,000
|
Series
2021-4A-E (3 mo. Term SOFR + 6.26%, 6.00% Floor) |
11.59% |
(a) |
07/15/2033 |
503,556
|
| |
Dryden
Senior Loan Fund |
|
|
|
| 2,000,000
|
Series
2017-54A-E (3 mo. Term SOFR + 6.46%, 0.00% Floor) |
11.79% |
(a) |
10/19/2029 |
1,906,292
|
| 1,000,000
|
Series
2020-77A-ER (3 mo. Term SOFR + 6.13%, 6.13% Floor) |
11.46% |
(a) |
05/20/2034 |
969,998
|
| 2,500,000
|
Series
2021-87A-E (3 mo. Term SOFR + 6.41%, 6.15% Floor) |
11.74% |
(a) |
05/20/2034 |
2,498,114
|
| |
Highbridge
Loan Management Ltd. |
|
|
|
| 2,000,000
|
Series
13A-18-E (3 mo. Term SOFR + 5.76%, 5.50% Floor) |
11.09% |
(a) |
10/15/2030 |
2,010,558
|
| 1,550,000
|
Series
2013-2A-CR (3 mo. Term SOFR + 3.16%, 2.90% Floor) |
8.49% |
(a) |
10/20/2029 |
1,555,206
|
| 1,000,000
|
Series
6A-2015-DR (3 mo. Term SOFR + 5.36%, 0.00% Floor) |
10.70% |
(a) |
02/05/2031 |
996,018
|
| |
ING
Investment Management CLO Ltd. |
|
|
|
| 2,000,000
|
Series
2013-3A-DR (3 mo. Term SOFR + 6.16%, 5.90% Floor) |
11.49% |
(a) |
10/18/2031 |
2,003,609
|
| |
Katayma
CLO Ltd. |
|
|
|
| 1,000,000
|
Series
2024-2A-E (3 mo. Term SOFR + 7.33%, 7.33% Floor) |
12.62% |
(a) |
04/20/2037 |
1,019,221
|
| |
Madison
Park Funding Ltd. |
|
|
|
| 2,500,000
|
Series
2020-45A-ER (3 mo. Term SOFR + 6.61%, 6.35% Floor) |
11.94% |
(a) |
07/15/2034 |
2,522,218
|
| 2,000,000
|
Series
2021-38A-E (3 mo. Term SOFR + 6.26%, 6.26% Floor) |
11.58% |
(a) |
07/17/2034 |
2,018,471
|
| |
Magnetite
CLO Ltd. |
|
|
|
| 500,000
|
Series
2020-26A-ER (3 mo. Term SOFR + 6.21%, 5.95% Floor) |
11.54% |
(a) |
07/25/2034 |
503,223
|
| 1,000,000
|
Series
2020-28A-ER (3 mo. Term SOFR + 6.41%, 6.15% Floor) |
11.74% |
(a) |
01/20/2035 |
1,007,642
|
| |
Marble
Point CLO |
|
|
|
| 2,500,000
|
Series
2018-1A-D (3 mo. Term SOFR + 3.26%, 0.00% Floor) |
8.59% |
(a) |
07/16/2031 |
2,449,301
|
| |
Milos
Clo |
|
|
|
| 4,000,000
|
Series
2017-1A-ER (3 mo. Term SOFR + 6.41%, 6.15% Floor) |
11.74% |
(a) |
10/20/2030 |
4,017,681
|
| |
Neuberger
Berman CLO Ltd. |
|
|
|
| 2,500,000
|
Series
2017-16SA-ER (3 mo. Term SOFR + 6.51%, 6.25% Floor) |
11.84% |
(a) |
04/15/2034 |
2,517,429
|
| 7,000,000
|
Series
2019-34A-ER (3 mo. Term SOFR + 6.50%, 6.50% Floor) |
11.82% |
(a) |
01/20/2035 |
7,030,930
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 500,000
|
Series
2020-38A-DR (3 mo. Term SOFR + 3.26%, 3.00% Floor) |
8.59% |
(a) |
10/20/2035 |
502,634
|
| 3,000,000
|
Series
2020-38A-ER (3 mo. Term SOFR + 6.51%, 6.25% Floor) |
11.84% |
(a) |
10/20/2035 |
3,022,277
|
| |
Octagon
Investment Partners Ltd. |
|
|
|
| 750,000
|
Series
2019-1A-E (3 mo. Term SOFR + 6.86%, 6.60% Floor) |
12.19% |
(a) |
10/25/2032 |
745,349
|
| 1,500,000
|
Series
2019-1A-ER (3 mo. Term SOFR + 7.26%, 7.00% Floor) |
12.59% |
(a) |
01/20/2035 |
1,450,027
|
| 5,000,000
|
Series
2019-1A-INC |
0.00% |
(a)(b)(c)(d) |
10/25/2032 |
2,362,500
|
| 500,000
|
Series
2019-4A-E (3 mo. Term SOFR + 7.06%, 6.80% Floor) |
12.39% |
(a) |
05/12/2031 |
494,432
|
| 1,000,000
|
Series
2020-2A-ER (3 mo. Term SOFR + 6.86%, 6.60% Floor) |
12.19% |
(a) |
07/15/2036 |
917,359
|
| 4,000,000
|
Series
2021-1A-E (3 mo. Term SOFR + 6.76%, 6.50% Floor) |
12.09% |
(a) |
04/15/2034 |
3,751,797
|
| |
Octagon
Loan Funding |
|
|
|
| 1,000,000
|
Series
2014-1A-ERR (3 mo. Term SOFR + 6.26%, 6.00% Floor) |
11.59% |
(a) |
11/18/2031 |
949,767
|
| |
OHA
Credit Funding |
|
|
|
| 3,000,000
|
Series
2019-3A-ER (3 mo. Term SOFR + 6.51%, 6.25% Floor) |
11.84% |
(a) |
07/02/2035 |
3,016,764
|
| |
Point
Au Roche Park CLO |
|
|
|
| 500,000
|
Series
2021-1A-E (3 mo. Term SOFR + 6.36%, 6.10% Floor) |
11.69% |
(a) |
07/20/2034 |
502,559
|
| |
Reese
Park Ltd. |
|
|
|
| 1,000,000
|
Series
2020-1A-ER (3 mo. Term SOFR + 6.76%, 6.76% Floor) |
12.09% |
(a) |
10/15/2034 |
1,008,296
|
| |
RR
Ltd./Cayman Islands |
|
|
|
| 5,000,000
|
Series
2017-2A-DR (3 mo. Term SOFR + 6.06%, 5.80% Floor) |
11.39% |
(a) |
04/15/2036 |
5,029,282
|
| 1,000,000
|
Series
2019-6A-DR (3 mo. Term SOFR + 6.11%, 5.85% Floor) |
11.44% |
(a) |
04/15/2036 |
970,688
|
| |
Sound
Point CLO Ltd. |
|
|
|
| 3,000,000
|
Series
2020-1A-ER (3 mo. Term SOFR + 7.12%, 7.12% Floor) |
12.45% |
(a) |
07/20/2034 |
2,876,886
|
| 4,000,000
|
Series
2020-2A-ER (3 mo. Term SOFR + 6.82%, 6.56% Floor) |
12.15% |
(a) |
10/25/2034 |
3,774,464
|
| 7,000,000
|
Series
2021-2A-E (3 mo. Term SOFR + 6.62%, 6.36% Floor) |
11.95% |
(a) |
07/25/2034 |
6,434,368
|
| 2,000,000
|
Series
2021-3A-E (3 mo. Term SOFR + 6.87%, 6.61% Floor) |
12.20% |
(a) |
10/25/2034 |
1,815,146
|
| 7,000,000
|
Series
2021-4A-E (3 mo. Term SOFR + 6.96%, 6.96% Floor) |
12.29% |
(a) |
10/25/2034 |
6,426,398
|
| |
Thompson
Park CLO Ltd. |
|
|
|
| 2,000,000
|
Series
2021-1A-E (3 mo. Term SOFR + 6.57%, 6.57% Floor) |
11.90% |
(a) |
04/15/2034 |
2,015,691
|
| |
Trimaran
CAVU LLC |
|
|
|
| 3,000,000
|
Series
2019-1A-D (3 mo. Term SOFR + 4.41%, 4.15% Floor) |
9.74% |
(a) |
07/20/2032 |
3,017,581
|
| |
Voya
CLO Ltd. |
|
|
|
| 1,350,000
|
Series
2017-2A-D (3 mo. Term SOFR + 6.28%, 0.00% Floor) |
11.61% |
(a) |
06/07/2030 |
1,322,283
|
| 2,700,000
|
Series
2018-1A-D (3 mo. Term SOFR + 5.46%, 0.00% Floor) |
10.79% |
(a) |
04/19/2031 |
2,570,915
|
| 2,000,000
|
Series
2018-4A-E (3 mo. Term SOFR + 6.56%, 6.30% Floor) |
11.89% |
(a) |
01/15/2032 |
2,006,332
|
| |
Webster
Park CLO |
|
|
|
| 1,000,000
|
Series
2015-1A-DR (3 mo. Term SOFR + 5.76%, 5.50% Floor) |
11.09% |
(a) |
07/20/2030 |
997,874
|
| |
Wind
River CLO Ltd. |
|
|
|
| 2,500,000
|
Series
2017-3A-ER (3 mo. Term SOFR + 7.31%, 7.05% Floor) |
12.64% |
(a) |
04/15/2035 |
2,444,341
|
| 1,000,000
|
Series
2018-1A-E (3 mo. Term SOFR + 5.76%, 0.00% Floor) |
11.09% |
(a) |
07/15/2030 |
977,710
|
| 1,000,000
|
Series
2018-2A-E (3 mo. Term SOFR + 6.01%, 0.00% Floor) |
11.34% |
(a) |
07/15/2030 |
958,862
|
| |
Total
Collateralized Loan Obligations (Cost $144,871,808) |
|
144,976,814
|
| FOREIGN
CORPORATE BONDS - 15.5% |
| 1,600,000
|
ABM
Investama Tbk PT |
9.50% |
(a) |
08/05/2026 |
1,585,026
|
| 3,345,465
|
Acu
Petroleo Luxembourg Sarl |
7.50% |
|
01/13/2032 |
3,248,543
|
| 688,000
|
Adani
International Container Terminal Pvt Ltd. |
3.00% |
|
02/16/2031 |
576,568
|
| 3,900,000
|
Adani
Ports & Special Economic Zone Ltd. |
5.00% |
|
08/02/2041 |
3,053,609
|
| 463,000
|
AES
Andes SA
(5 yr. CMT Rate + 4.92%) |
6.35% |
|
10/07/2079 |
456,409
|
| 1,000,000
|
AI
Candelaria Spain SA |
5.75% |
(a) |
06/15/2033 |
809,775
|
| 4,344,000
|
AI
Candelaria Spain SA |
5.75% |
|
06/15/2033 |
3,517,662
|
| 470,827
|
Alpha
Holding SAB de CV |
10.00% |
(b)(f) |
12/19/2024 |
7,062
|
| 2,356,827
|
Alpha
Holding SAB de CV |
9.00% |
(b)(f) |
02/10/2025 |
12,892
|
| 942,731
|
Alpha
Holding SAB de CV |
9.00% |
(a)(b)(f) |
02/10/2025 |
5,157
|
| 4,000,000
|
Altice
France Holding SA |
6.00% |
(a) |
02/15/2028 |
1,304,740
|
| 1,700,000
|
ARD
Finance SA
7.25% PIK |
6.50% |
(a) |
06/30/2027 |
432,667
|
| 1,700,000
|
Aris
Mining Corp. |
6.88% |
|
08/09/2026 |
1,599,624
|
| 700,000
|
Braskem
Idesa SAPI |
7.45% |
|
11/15/2029 |
570,468
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 3,200,000
|
Braskem
Idesa SAPI |
6.99% |
(a) |
02/20/2032 |
2,429,806
|
| 200,000
|
Braskem
Netherlands Finance BV |
8.50% |
|
01/12/2031 |
204,439
|
| 3,800,000
|
Braskem
Netherlands Finance BV |
5.88% |
|
01/31/2050 |
2,809,963
|
| 4,500,000
|
BRF
SA |
5.75% |
|
09/21/2050 |
3,595,528
|
| 2,750,000
|
Camposol
SA |
6.00% |
|
02/03/2027 |
2,373,827
|
| 4,300,000
|
Canacol
Energy Ltd. |
5.75% |
|
11/24/2028 |
2,277,426
|
| 2,798,000
|
CAP
SA |
3.90% |
|
04/27/2031 |
2,240,856
|
| 1,500,000
|
Cemex
SAB de CV
(5 yr. CMT Rate + 4.53%) |
5.13% |
(g) |
06/08/2026 |
1,442,806
|
| 600,000
|
Cia
de Minas Buenaventura SAA |
5.50% |
|
07/23/2026 |
580,496
|
| 800,000
|
Colombia
Telecomunicaciones SA ESP |
4.95% |
|
07/17/2030 |
630,017
|
| 346,667
|
Comision
Federal de Electricidad |
5.00% |
|
07/30/2049 |
286,867
|
| 2,000,000
|
Connect
Finco SARL / Connect US Finco LLC |
6.75% |
(a) |
10/01/2026 |
1,932,022
|
| 3,000,000
|
Coruripe
Netherlands BV |
10.00% |
|
02/10/2027 |
2,635,697
|
| 200,000
|
Cosan
Overseas Ltd. |
8.25% |
(g) |
08/05/2024 |
203,478
|
| 4,600,000
|
Credito
Real SAB de CV SOFOM ER |
9.50% |
(f) |
02/07/2026 |
410,550
|
| 1,200,000
|
CSN
Resources SA |
4.63% |
|
06/10/2031 |
943,318
|
| 1,200,000
|
CSN
Resources SA |
5.88% |
|
04/08/2032 |
999,575
|
| 725,000
|
eG
Global Finance PLC |
12.00% |
(a) |
11/30/2028 |
772,617
|
| 3,900,000
|
Empresas
Publicas de Medellin ESP |
4.38% |
|
02/15/2031 |
3,228,268
|
| 2,800,000
|
EnfraGen
Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA |
5.38% |
|
12/30/2030 |
2,339,177
|
| 1,031,160
|
Fideicomiso
PA Pacifico Tres |
8.25% |
|
01/15/2035 |
1,015,693
|
| 1,450,000
|
Frigorifico
Concepcion SA |
7.70% |
|
07/21/2028 |
987,403
|
| 2,500,000
|
Frigorifico
Concepcion SA |
7.70% |
(a) |
07/21/2028 |
1,702,418
|
| 8,000,000
|
Garda
World Security Corp. |
9.50% |
(a) |
11/01/2027 |
8,044,736
|
| 2,000,000
|
Global
Aircraft Leasing Co. Ltd.
7.25% PIK |
6.50% |
(a) |
09/15/2024 |
1,927,134
|
| 3,100,000
|
Gran
Tierra Energy, Inc. |
9.50% |
(a) |
10/15/2029 |
2,954,874
|
| 2,484,450
|
Guara
Norte Sarl |
5.20% |
|
06/15/2034 |
2,291,481
|
| 3,745,000
|
Husky
Injection Molding Systems Ltd. / Titan Co.-Borrower LLC |
9.00% |
(a) |
02/15/2029 |
3,882,681
|
| 500,000
|
JBS
USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. |
4.38% |
|
02/02/2052 |
374,082
|
| 2,660,000
|
Kawasan
Industri Jababeka Tbk PT |
7.50% |
(a)(h) |
12/15/2027 |
2,600,354
|
| 600,000
|
Kosmos
Energy Ltd. |
7.50% |
|
03/01/2028 |
572,926
|
| 845,000
|
Kronos
Acquisition Holdings, Inc. |
8.25% |
(a) |
06/30/2031 |
846,901
|
| 1,665,000
|
Kronos
Acquisition Holdings, Inc. |
10.75% |
(a) |
06/30/2032 |
1,598,937
|
| 1,730,000
|
Kronos
Acquisition Holdings, Inc. / KIK Custom Products, Inc. |
7.00% |
(a) |
12/31/2027 |
1,790,252
|
| 1,000,000
|
KUO
SAB De CV |
5.75% |
|
07/07/2027 |
969,755
|
| 900,000
|
MARB
BondCo PLC |
3.95% |
|
01/29/2031 |
748,683
|
| 950,751
|
MC
Brazil Downstream Trading SARL |
7.25% |
|
06/30/2031 |
843,328
|
| 1,400,000
|
Metinvest
BV |
7.75% |
|
10/17/2029 |
925,960
|
| 2,675,000
|
Mexarrend
SAPI de CV |
10.25% |
(f) |
07/24/2024 |
350,425
|
| 4,500,000
|
Minejesa
Capital BV |
5.63% |
|
08/10/2037 |
4,071,832
|
| 1,400,000
|
Movida
Europe SA |
7.85% |
(a) |
04/11/2029 |
1,318,485
|
| 1,400,000
|
Movida
Europe SA |
7.85% |
|
04/11/2029 |
1,318,485
|
| 3,074,370
|
MV24
Capital BV |
6.75% |
|
06/01/2034 |
2,939,461
|
| 335,181
|
Oi
SA
7.00% + 5.50% PIK |
12.50% |
(a) |
12/15/2024 |
333,505
|
| 3,613
|
Oi
SA
7.00% + 5.50% PIK |
12.50% |
(a)(b) |
12/15/2024 |
3,595
|
| 630,673
|
Oi
SA
7.00% + 5.50% PIK |
12.50% |
(a)(b) |
12/15/2024 |
627,520
|
| 4,750,000
|
Oi
SA |
10.00% |
(f) |
07/27/2025 |
47,025
|
| 745,000
|
Ontario
Gaming GTA LP/OTG Co.-Issuer, Inc. |
8.00% |
(a) |
08/01/2030 |
765,134
|
| 3,302,000
|
Operadora
de Servicios Mega SAB de CV Sofom ER |
8.25% |
|
02/11/2025 |
1,205,230
|
| 438,000
|
Operadora
de Servicios Mega SAB de CV Sofom ER |
8.25% |
(a) |
02/11/2025 |
159,870
|
| 2,300,000
|
Sasol
Financing USA LLC |
5.50% |
|
03/18/2031 |
1,941,481
|
| 530,000
|
Seaspan
Corp. |
5.50% |
(a) |
08/01/2029 |
473,618
|
| 1,500,000
|
SierraCol
Energy Andina LLC |
6.00% |
|
06/15/2028 |
1,342,006
|
| 3,050,000
|
Simpar
Europe SA |
5.20% |
|
01/26/2031 |
2,512,581
|
| 1,085,000
|
Telesat
Canada / Telesat LLC |
5.63% |
(a) |
12/06/2026 |
512,763
|
| 3,600,000
|
TK
Elevator Holdco GmbH |
7.63% |
(a) |
07/15/2028 |
3,576,302
|
| 2,099,000
|
Tullow
Oil PLC |
10.25% |
(a) |
05/15/2026 |
1,994,493
|
| 2,757,665
|
UEP
Penonome II SA |
6.50% |
(a) |
10/01/2038 |
2,320,348
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 2,750,000
|
Unigel
Luxembourg SA |
8.75% |
(f) |
10/01/2026 |
780,450
|
| 4,400,000
|
UPL
Corp. Ltd.
(5 yr. CMT Rate + 3.87%) |
5.25% |
(g) |
02/27/2025 |
3,173,131
|
| 200,000
|
Vedanta
Resources Finance II PLC |
9.25% |
|
04/23/2026 |
182,987
|
| 3,666,000
|
Vedanta
Resources Ltd. |
13.88% |
|
12/09/2028 |
3,511,012
|
| |
Total
Foreign Corporate Bonds (Cost $141,514,090) |
|
119,056,272
|
| FOREIGN
GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 4.7% |
| 400,000
|
Aeropuerto
Internacional de Tocumen SA |
4.00% |
|
08/11/2041 |
301,680
|
| 2,400,000
|
Aeropuerto
Internacional de Tocumen SA |
5.13% |
|
08/11/2061 |
1,771,733
|
| 1,200,000
|
Brazilian
Government International Bond |
4.75% |
|
01/14/2050 |
863,520
|
| 600,000
|
Colombia
Government International Bond |
4.13% |
|
02/22/2042 |
392,368
|
| 5,100,000
|
Colombia
Government International Bond |
5.00% |
|
06/15/2045 |
3,597,338
|
| 1,100,000
|
Comision
Federal de Electricidad |
4.68% |
|
02/09/2051 |
760,134
|
| 1,400,000
|
Dominican
Republic International Bond |
5.30% |
(a) |
01/21/2041 |
1,191,303
|
| 2,365,000
|
Ecopetrol
SA |
5.88% |
|
05/28/2045 |
1,696,902
|
| 3,150,000
|
Ecopetrol
SA |
5.88% |
|
11/02/2051 |
2,189,525
|
| 3,100,000
|
Empresa
de Transmision Electrica SA |
5.13% |
|
05/02/2049 |
2,252,547
|
| 200,000
|
Mexico
City Airport Trust |
5.50% |
|
07/31/2047 |
166,373
|
| 4,900,000
|
Mexico
Government International Bond |
4.40% |
|
02/12/2052 |
3,587,997
|
| 4,300,000
|
OCP
SA |
5.13% |
|
06/23/2051 |
3,241,641
|
| 4,700,000
|
Panama
Government International Bond |
3.87% |
|
07/23/2060 |
2,691,373
|
| 5,700,000
|
Petroleos
del Peru SA |
5.63% |
|
06/19/2047 |
3,644,106
|
| 3,700,000
|
Petroleos
Mexicanos |
6.38% |
|
01/23/2045 |
2,401,411
|
| 1,800,000
|
Petroleos
Mexicanos |
6.75% |
|
09/21/2047 |
1,185,154
|
| 4,000,000
|
Republic
of South Africa Government International Bond |
5.65% |
|
09/27/2047 |
3,029,505
|
| 1,300,000
|
Ukraine
Government International Bond |
7.25% |
(f) |
03/15/2035 |
377,442
|
| 1,000,000
|
YPF
SA |
7.00% |
|
12/15/2047 |
705,460
|
| |
Total
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $44,789,995) |
|
36,047,512
|
| NON-AGENCY
COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 23.3% |
| |
ACREC
Trust |
|
|
|
| 2,310,000
|
Series
2023-FL2-B (1 mo. Term SOFR + 3.48%, 3.48% Floor) |
8.81% |
(a) |
02/19/2038 |
2,340,806
|
| |
Alen
Mortgage Trust |
|
|
|
| 7,500,000
|
Series
2021-ACEN-F (1 mo. Term SOFR + 5.11%, 5.00% Floor) |
10.44% |
(a) |
04/15/2034 |
3,438,338
|
| |
AREIT
Ltd. |
|
|
|
| 3,000,000
|
Series
2024-CRE9-C (1 mo. Term SOFR + 3.09%, 3.09% Floor) |
8.42% |
(a) |
05/17/2041 |
3,005,376
|
| |
AREIT
Trust |
|
|
|
| 1,930,000
|
Series
2022-CRE6-D (30 day avg SOFR US + 2.85%, 2.85% Floor) |
8.18% |
(a) |
01/20/2037 |
1,878,859
|
| 1,000,000
|
Series
2022-CRE7-D (1 mo. Term SOFR + 4.44%, 4.44% Floor) |
9.77% |
(a) |
06/17/2039 |
1,004,562
|
| 4,375,000
|
Series
2023-CRE8-C (1 mo. Term SOFR + 4.02%, 4.02% Floor) |
9.35% |
(a) |
08/17/2041 |
4,378,802
|
| |
BANK
|
|
|
|
| 18,317,000
|
Series
2018-BN12-XE |
1.50% |
(a)(d)(i) |
05/15/2061 |
853,426
|
| 6,978,000
|
Series
2018-BN12-XF |
1.50% |
(a)(d)(i) |
05/15/2061 |
319,355
|
| 20,061,456
|
Series
2018-BN12-XG |
1.50% |
(a)(d)(i) |
05/15/2061 |
863,987
|
| 18,522,000
|
Series
2019-BN16-XF |
1.14% |
(a)(d)(i) |
02/15/2052 |
782,147
|
| 9,261,000
|
Series
2019-BN16-XG |
1.14% |
(a)(d)(i) |
02/15/2052 |
386,999
|
| 4,631,000
|
Series
2019-BN16-XH |
1.14% |
(a)(d)(i) |
02/15/2052 |
189,325
|
| 6,366,937
|
Series
2019-BN16-XJ |
1.14% |
(a)(d)(i) |
02/15/2052 |
244,026
|
| 21,359,000
|
Series
2022-BNK43-XD |
2.40% |
(a)(d)(i) |
08/15/2055 |
2,971,075
|
| 78,043,204
|
Series
2023-BNK46-XA |
0.75% |
(d)(i) |
08/15/2056 |
3,067,746
|
| |
BANK5
Trust |
|
|
|
| 219,805,770
|
Series
2023-5YR1-XA |
0.48% |
(d)(i) |
04/15/2056 |
2,197,838
|
| 65,071,170
|
Series
2023-5YR4-XA |
1.26% |
(d)(i) |
12/15/2056 |
2,469,711
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| |
BBCMS
Trust |
|
|
|
| 3,000,000
|
Series
2020-C7-D |
3.71% |
(a)(d) |
04/15/2053 |
1,595,681
|
| |
BDS
Ltd. |
|
|
|
| 2,500,000
|
Series
2021-FL7-E (1 mo. Term SOFR + 2.91%, 2.80% Floor) |
8.25% |
(a) |
06/16/2036 |
2,459,415
|
| 2,384,000
|
Series
2021-FL8-E (1 mo. Term SOFR + 2.36%, 2.25% Floor) |
7.70% |
(a) |
01/18/2036 |
2,340,752
|
| |
Beast
Mortgage Trust |
|
|
|
| 6,000,000
|
Series
2021-1818-G (1 mo. Term SOFR + 6.11%, 6.25% Floor) |
11.44% |
(a) |
03/15/2036 |
3,205,485
|
| |
Benchmark
Mortgage Trust |
|
|
|
| 7,464,000
|
Series
2018-B4-D |
2.90% |
(a)(d) |
07/15/2051 |
5,687,489
|
| 12,324,000
|
Series
2021-B26-XF |
1.50% |
(a)(d)(i) |
06/15/2054 |
931,041
|
| |
BMO
Mortgage Trust |
|
|
|
| 134,071,985
|
Series
2023-5C1-XA |
0.82% |
(d)(i) |
08/15/2056 |
2,868,671
|
| |
BSREP
Commercial Mortgage Trust |
|
|
|
| 4,738,531
|
Series
2021-DC-G (1 mo. Term SOFR + 3.96%, 3.85% Floor) |
9.29% |
(a) |
08/15/2038 |
2,986,387
|
| |
BX
Trust |
|
|
|
| 2,500,000
|
Series
2021-VIEW-G (1 mo. Term SOFR + 5.04%, 4.93% Floor) |
10.37% |
(a) |
06/15/2036 |
2,196,861
|
| 3,989,950
|
Series
2022-PSB-E (1 mo. Term SOFR + 6.34%, 6.34% Floor) |
11.67% |
(a) |
08/15/2039 |
3,965,837
|
| |
BXMT
Ltd. |
|
|
|
| 1,190,000
|
Series
2020-FL3-AS (1 mo. Term SOFR + 1.86%, 1.86% Floor) |
7.19% |
(a) |
11/15/2037 |
1,131,016
|
| |
Carbon
Capital VI Commercial Mortgage Trust |
|
|
|
| 1,148,218
|
Series
2019-FL2-B (1 mo. Term SOFR + 2.96%, 2.85% Floor) |
8.29% |
(a) |
10/15/2035 |
1,000,097
|
| |
Citigroup
Commercial Mortgage Trust |
|
|
|
| 5,008,323
|
Series
2015-GC27-D |
4.57% |
(a)(d) |
02/10/2048 |
4,512,147
|
| |
Citigroup/Deutsche
Bank Commercial Mortgage Trust |
|
|
|
| 1,221,000
|
Series
2016-C1-C |
3.47% |
(d) |
05/10/2049 |
1,076,993
|
| |
CLNC
Ltd. |
|
|
|
| 2,750,000
|
Series
2019-FL1-D (1 mo. Term SOFR + 3.01%, 2.90% Floor) |
8.35% |
(a) |
08/20/2035 |
2,695,105
|
| |
Computershare
Corporate Trust |
|
|
|
| 2,000,000
|
Series
2016-C33-D |
3.12% |
(a) |
03/15/2059 |
1,653,444
|
| 4,514,242
|
Series
2016-C34-C |
5.23% |
(d) |
06/15/2049 |
4,103,646
|
| 3,200,000
|
Series
2017-RC1-D |
3.25% |
(a) |
01/15/2060 |
2,396,525
|
| |
Credit
Suisse Mortgage Capital Certificates |
|
|
|
| 18,014,000
|
Series
2016-NXSR-XE |
1.00% |
(a)(d)(i) |
12/15/2049 |
345,125
|
| |
CSAIL
Commercial Mortgage Trust |
|
|
|
| 66,590,351
|
Series
2017-CX9-XA |
0.74% |
(d)(i) |
09/15/2050 |
650,288
|
| 2,500,000
|
Series
2020-C19-E |
2.50% |
(a) |
03/15/2053 |
1,237,957
|
| 13,238,000
|
Series
2020-C19-XD |
1.23% |
(a)(d)(i) |
03/15/2053 |
702,611
|
| |
CSWF
|
|
|
|
| 4,000,000
|
Series
2018-TOP-H (1 mo. Term SOFR + 3.66%, 3.61% Floor) |
8.99% |
(a) |
08/15/2035 |
3,722,793
|
| |
Del
Amo Fashion Center Trust |
|
|
|
| 2,100,000
|
Series
2017-AMO-C |
3.76% |
(a)(d) |
06/05/2035 |
1,864,957
|
| |
DOLP
Trust |
|
|
|
| 4,000,000
|
Series
2021-NYC-F |
3.70% |
(a)(d) |
05/10/2041 |
2,560,329
|
| 4,000,000
|
Series
2021-NYC-G |
3.70% |
(a)(d) |
05/10/2041 |
1,950,626
|
| |
Granite
Point Mortgage Trust, Inc. |
|
|
|
| 1,780,000
|
Series
2021-FL4-B (1 mo. Term SOFR + 2.06%, 1.95% Floor) |
7.41% |
(a) |
12/15/2036 |
1,677,970
|
| |
Great
Wolf Trust |
|
|
|
| 2,500,000
|
Series
2024-WLF2-E (1 mo. Term SOFR + 3.64%) |
8.97% |
(a) |
05/15/2041 |
2,512,553
|
| 1,000,000
|
Series
2024-WOLF-E (1 mo. Term SOFR + 3.64%, 3.64% Floor) |
8.97% |
(a) |
03/15/2039 |
1,005,247
|
| |
Greystone
Commercial Real Estate Notes |
|
|
|
| 2,650,000
|
Series
2021-FL3-D (1 mo. Term SOFR + 2.31%, 2.20% Floor) |
7.64% |
(a) |
07/15/2039 |
2,575,275
|
| |
GS
Mortgage Securities Corp. II |
|
|
|
| 1,859,000
|
Series
2014-GC26-D |
4.65% |
(a)(d) |
11/10/2047 |
1,142,743
|
| 2,149,788
|
Series
2015-GC28-D |
4.45% |
(a)(d) |
02/10/2048 |
1,975,688
|
| 7,234,949
|
Series
2016-GS3-XA |
1.31% |
(d)(i) |
10/10/2049 |
139,422
|
| 3,000,000
|
Series
2021-ARDN-G (1 mo. Term SOFR + 5.11%, 5.00% Floor) |
10.44% |
(a) |
11/15/2036 |
2,957,898
|
| 3,000,000
|
Series
2021-ARDN-H (1 mo. Term SOFR + 6.05%, 5.93% Floor) |
11.38% |
(a) |
11/15/2026 |
2,959,268
|
| |
HGI
CRE CLO Ltd. |
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 2,000,000
|
Series
2022-FL3-B (30 day avg SOFR US + 2.60%, 2.60% Floor) |
7.93% |
(a) |
04/20/2037 |
2,005,488
|
| |
JP
Morgan Chase Commercial Mortgage Securities |
|
|
|
| 2,741,624
|
Series
2007-C1-AJ |
7.05% |
(d) |
02/15/2051 |
2,624,712
|
| 4,000,000
|
Series
2019-MFP-G (1 mo. Term SOFR + 4.10%, 4.05% Floor) |
9.43% |
(a) |
07/15/2036 |
3,819,441
|
| 4,000,000
|
Series
2019-MFP-XG |
0.50% |
(a)(d)(i) |
07/15/2036 |
11,423
|
| |
JPMBB
Commercial Mortgage Securities Trust |
|
|
|
| 14,258,048
|
Series
2014-C23-XA |
0.65% |
(d)(i) |
09/15/2047 |
3,030
|
| 2,265,000
|
Series
2015-C27-D |
3.94% |
(a)(d) |
02/15/2048 |
523,295
|
| 41,659,162
|
Series
2015-C32-XA |
1.25% |
(d)(i) |
11/15/2048 |
279,183
|
| |
JPMDB
Commercial Mortgage Securities Trust |
|
|
|
| 25,460,000
|
Series
2020-COR7-XB |
0.55% |
(d)(i) |
05/13/2053 |
585,585
|
| 10,244,000
|
Series
2020-COR7-XD |
2.10% |
(a)(d)(i) |
05/13/2053 |
898,171
|
| |
KREF
|
|
|
|
| 3,250,000
|
Series
2021-FL2-C (1 mo. Term SOFR + 2.11%, 2.00% Floor) |
7.44% |
(a) |
02/15/2039 |
3,068,013
|
| |
LoanCore
|
|
|
|
| 5,000,000
|
Series
2021-CRE5-C (1 mo. Term SOFR + 2.46%, 2.46% Floor) |
7.79% |
(a) |
07/15/2036 |
4,784,840
|
| 1,750,000
|
Series
2021-CRE6-D (1 mo. Term SOFR + 2.96%, 2.85% Floor) |
8.29% |
(a) |
11/15/2038 |
1,651,864
|
| |
Mcp
Holding Co. LLC |
|
|
|
| 2,000,000
|
Series
2023-SHIP-D |
6.27% |
(a)(d) |
09/10/2038 |
1,956,571
|
| |
Med
Trust |
|
|
|
| 5,971,342
|
Series
2021-MDLN-G (1 mo. Term SOFR + 5.36%, 5.25% Floor) |
10.69% |
(a) |
11/15/2038 |
5,985,390
|
| |
MF1
LLC |
|
|
|
| 1,500,000
|
Series
2022-FL10-D (1 mo. Term SOFR + 5.73%, 5.73% Floor) |
11.07% |
(a) |
09/17/2037 |
1,516,190
|
| |
MF1
Multifamily Housing Mortgage Loan Trust |
|
|
|
| 3,000,000
|
Series
2023-FL12-C (1 mo. Term SOFR + 3.78%, 3.78% Floor) |
9.12% |
(a) |
10/19/2038 |
3,021,390
|
| 2,450,000
|
Series
2024-FL15-C (1 mo. Term SOFR + 2.94%, 2.94% Floor) |
8.24% |
(a) |
08/18/2041 |
2,443,875
|
| |
MFT
Trust |
|
|
|
| 600,000
|
Series
2020-ABC-D |
3.59% |
(a)(d) |
02/10/2042 |
324,456
|
| |
Morgan
Stanley ABS Capital I, Inc. |
|
|
|
| 456,674,885
|
Series
2022-L8-XA |
0.09% |
(d)(i) |
04/15/2055 |
1,632,293
|
| |
Morgan
Stanley Bank of America Merrill Lynch Trust |
|
|
|
| 988,863
|
Series
2014-C16-B |
4.42% |
(d) |
06/15/2047 |
947,179
|
| 7,186,250
|
Series
2015-C21-C |
4.26% |
(d) |
03/15/2048 |
6,178,495
|
| 5,000,000
|
Series
2015-C27-D |
3.24% |
(a)(d) |
12/15/2047 |
4,132,104
|
| |
Morgan
Stanley Capital I, Inc. |
|
|
|
| 2,000,000
|
Series
2018-H4-D |
3.00% |
(a) |
12/15/2051 |
1,552,952
|
| 5,000,000
|
Series
2019-PLND-G (1 mo. Term SOFR + 3.76%, 3.65% Floor) |
9.09% |
(a) |
05/15/2036 |
325,686
|
| |
PFP
III Ltd. |
|
|
|
| 1,602,000
|
Series
2023-10-C (1 mo. Term SOFR + 4.12%, 4.12% Floor) |
9.45% |
(a) |
09/16/2038 |
1,614,420
|
| |
Ready
Capital Corp. |
|
|
|
| 2,000,000
|
Series
2023-FL12-C (1 mo. Term SOFR + 4.55%, 4.55% Floor) |
9.89% |
(a) |
05/25/2038 |
2,050,082
|
| |
SMR
Mortgage Trust |
|
|
|
| 5,009,714
|
Series
2022-IND-G (1 mo. Term SOFR + 7.50%, 7.50% Floor) |
12.83% |
(a) |
02/15/2039 |
4,276,522
|
| |
STWD
Ltd. |
|
|
|
| 2,225,000
|
Series
2022-FL3-B (30 day avg SOFR US + 1.95%, 1.95% Floor) |
7.28% |
(a) |
11/15/2038 |
2,157,607
|
| |
TPG
Real Estate Finance Issuer Ltd. |
|
|
|
| 2,510,000
|
Series
2021-FL4-B (1 mo. Term SOFR + 1.96%, 1.85% Floor) |
7.29% |
(a) |
03/15/2038 |
2,407,093
|
| |
UBS
Commercial Mortgage Trust |
|
|
|
| 2,500,000
|
Series
2018-C14-C |
5.37% |
(d) |
12/15/2051 |
2,116,763
|
| |
UBS-Barclays
Commercial Mortgage Trust |
|
|
|
| 6,891,216
|
Series
2013-C5-C |
3.84% |
(a)(d) |
03/10/2046 |
5,807,745
|
| |
Wachovia
Bank Commercial Mortgage Trust |
|
|
|
| 3,121,148
|
Series
2005-C21-E |
5.13% |
(a)(d) |
10/15/2044 |
1,108,008
|
| |
Total
Non-Agency Commercial Mortgage Backed Obligations (Cost $212,651,318) |
|
178,989,586
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| NON-AGENCY
RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 19.0% |
| |
ACE
Securities Corp. |
|
|
|
| 8,861,516
|
Series
2006-HE4-A2B (1 mo. Term SOFR + 0.33%, 0.22% Floor) |
5.68% |
|
10/25/2036 |
3,310,535
|
| |
AMSR
Trust |
|
|
|
| 10,000,000
|
Series
2020-SFR4-G2 |
4.87% |
(a) |
11/17/2037 |
9,673,130
|
| |
Countrywide
Alternative Loan Trust |
|
|
|
| 5,564,701
|
Series
2005-J12-2A1 (1 mo. Term SOFR + 0.65%, 0.54% Floor, 11.00% Cap) |
6.00% |
|
08/25/2035 |
2,818,195
|
| |
Deephaven
Residential Mortgage Trust |
|
|
|
| 10,000,000
|
Series
2020-2-B3 |
5.79% |
(a)(d) |
05/25/2065 |
8,924,060
|
| |
Fannie
Mae Connecticut Avenue Securities |
|
|
|
| 6,995,013
|
Series
2019-R05-1B1 (30 day avg SOFR US + 4.21%, 0.00% Floor) |
9.55% |
(a) |
07/25/2039 |
7,334,654
|
| 3,722,652
|
Series
2019-R07-1B1 (30 day avg SOFR US + 3.51%, 0.00% Floor) |
8.85% |
(a) |
10/25/2039 |
3,869,409
|
| |
Federal
National Mortgage Association |
|
|
|
| 8,400,000
|
Series
2021-R02-2B2 (30 day avg SOFR US + 6.20%, 0.00% Floor) |
11.54% |
(a) |
11/25/2041 |
8,910,122
|
| |
Freddie
Mac Structured Agency Credit Risk Debt Notes |
|
|
|
| 9,250,000
|
Series
2020-DNA1-B2 (30 day avg SOFR US + 5.36%, 0.00% Floor) |
10.70% |
(a) |
01/25/2050 |
10,122,699
|
| 3,000,000
|
Series
2020-DNA2-B2 (30 day avg SOFR US + 4.91%, 0.00% Floor) |
10.25% |
(a) |
02/25/2050 |
3,220,518
|
| 6,000,000
|
Series
2020-DNA6-B2 (30 day avg SOFR US + 5.65%, 0.00% Floor) |
10.99% |
(a) |
12/25/2050 |
6,829,394
|
| 1,200,000
|
Series
2020-HQA2-B1 (30 day avg SOFR US + 4.21%, 0.00% Floor) |
9.55% |
(a) |
03/25/2050 |
1,359,385
|
| 22,000,000
|
Series
2020-HQA2-B2 (30 day avg SOFR US + 7.71%, 0.00% Floor) |
13.05% |
(a) |
03/25/2050 |
26,325,049
|
| 9,750,000
|
Series
2020-HQA5-B2 (30 day avg SOFR US + 7.40%, 0.00% Floor) |
12.74% |
(a) |
11/25/2050 |
11,833,705
|
| |
GS
Mortgage-Backed Securities Trust |
|
|
|
| 1,500,000
|
Series
2020-NQM1-B2 |
6.84% |
(a)(d) |
09/27/2060 |
1,490,264
|
| |
Homeward
Opportunities Fund I Trust |
|
|
|
| 8,000,000
|
Series
2020-2-B1 |
5.45% |
(a)(d) |
05/25/2065 |
7,768,530
|
| |
JP
Morgan Alternative Loan Trust |
|
|
|
| 6,267,933
|
Series
2007-A2-12A1 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 11.50% Cap) |
5.86% |
|
06/25/2037 |
2,260,434
|
| |
Rithm
Capital Corp. |
|
|
|
| 4,102,000
|
Series
2020-NQM2-B1 |
4.08% |
(a)(d) |
05/24/2060 |
3,429,944
|
| 2,886,000
|
Series
2020-NQM2-B2 |
4.08% |
(a)(d) |
05/24/2060 |
2,306,771
|
| |
TBW
Mortgage Backed Pass Through Certificates |
|
|
|
| 4,291,334
|
Series
2007-2-A1A |
5.96% |
(d) |
07/25/2037 |
1,252,074
|
| |
Verus
Securitization Trust |
|
|
|
| 2,500,000
|
Series
2020-2-B1 |
5.36% |
(a)(d) |
05/25/2060 |
2,389,523
|
| 5,000,000
|
Series
2020-4-B2 |
5.60% |
(a)(d) |
05/25/2065 |
4,613,751
|
| 1,235,000
|
Series
2020-INV1-B1 |
5.75% |
(a)(d) |
03/25/2060 |
1,219,315
|
| 3,300,000
|
Series
2020-INV1-B2 |
6.00% |
(a)(d) |
03/25/2060 |
3,182,910
|
| |
Vista
Point Securitization Trust |
|
|
|
| 9,222,000
|
Series
2020-1-B2 |
5.38% |
(a)(d) |
03/25/2065 |
8,473,545
|
| 3,396,000
|
Series
2020-2-B2 |
5.16% |
(a)(d) |
04/25/2065 |
2,801,961
|
| |
Total
Non-Agency Residential Collateralized Mortgage Obligations (Cost $142,320,137) |
|
145,719,877
|
| US
CORPORATE BONDS - 17.9% |
| 7,425,000
|
Allied
Universal Holdco LLC / Allied Universal Finance Corp. |
9.75% |
(a) |
07/15/2027 |
7,387,430
|
| 1,580,000
|
Artera
Services LLC |
8.50% |
(a) |
02/15/2031 |
1,627,800
|
| 1,975,000
|
ASP
Unifrax Holdings, Inc. |
7.50% |
(a) |
09/30/2029 |
1,009,551
|
| 3,580,000
|
AthenaHealth
Group, Inc. |
6.50% |
(a) |
02/15/2030 |
3,299,254
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 1,710,000
|
Bausch
+ Lomb Corp. |
8.38% |
(a) |
10/01/2028 |
1,752,750
|
| 2,485,000
|
BCPE
Empire Holdings, Inc. |
7.63% |
(a) |
05/01/2027 |
2,410,331
|
| 535,000
|
Boxer
Parent Co., Inc. |
7.13% |
(a) |
10/02/2025 |
536,812
|
| 2,510,000
|
Brand
Industrial Services, Inc. |
10.38% |
(a) |
08/01/2030 |
2,715,679
|
| 4,000,000
|
Caesars
Entertainment, Inc. |
8.13% |
(a) |
07/01/2027 |
4,084,048
|
| 595,000
|
Carnival
Corp. |
7.63% |
(a) |
03/01/2026 |
601,301
|
| 5,995,000
|
Castle
US Holding Corp. |
9.50% |
(a) |
02/15/2028 |
2,852,631
|
| 690,000
|
CHS/Community
Health Systems, Inc. |
10.88% |
(a) |
01/15/2032 |
719,005
|
| 1,865,000
|
Clear
Channel Outdoor Holdings, Inc. |
7.50% |
(a) |
06/01/2029 |
1,560,306
|
| 2,335,000
|
Cobra
AcquisitionCo LLC |
6.38% |
(a) |
11/01/2029 |
1,841,701
|
| 3,700,000
|
CVR
Partners LP / CVR Nitrogen Finance Corp. |
6.13% |
(a) |
06/15/2028 |
3,558,009
|
| 3,895,000
|
Dealer
Tire LLC / DT Issuer LLC |
8.00% |
(a) |
02/01/2028 |
3,765,374
|
| 1,175,000
|
DISH
DBS Corp. |
5.75% |
(a) |
12/01/2028 |
816,846
|
| 5,583,000
|
Embarq
Corp. |
8.00% |
|
06/01/2036 |
732,964
|
| 2,080,000
|
Ferrellgas
LP / Ferrellgas Finance Corp. |
5.88% |
(a) |
04/01/2029 |
1,915,230
|
| 3,550,000
|
Fertitta
Entertainment LLC / Fertitta Entertainment Finance Co., Inc. |
6.75% |
(a) |
01/15/2030 |
3,120,260
|
| 1,200,000
|
Frontier
Communications Holdings LLC |
6.75% |
(a) |
05/01/2029 |
1,101,904
|
| 1,655,000
|
Frontier
Communications Holdings LLC |
8.63% |
(a) |
03/15/2031 |
1,706,622
|
| 1,640,000
|
Full
House Resorts, Inc. |
8.25% |
(a) |
02/15/2028 |
1,576,684
|
| 335,000
|
GrafTech
Global Enterprises, Inc. |
9.88% |
(a) |
12/15/2028 |
247,336
|
| 1,675,000
|
Gray
Television, Inc. |
10.50% |
(a) |
07/15/2029 |
1,685,653
|
| 3,400,000
|
Helios
Software Holdings, Inc. / ION Corporate Solutions Finance Sarl |
8.75% |
(a) |
05/01/2029 |
3,465,274
|
| 965,000
|
Hightower
Holding LLC |
6.75% |
(a) |
04/15/2029 |
903,789
|
| 3,580,000
|
Illuminate
Buyer LLC / Illuminate Holdings IV, Inc. |
9.00% |
(a) |
07/01/2028 |
3,612,287
|
| 3,010,000
|
LBM
Acquisition LLC |
6.25% |
(a) |
01/15/2029 |
2,663,510
|
| 3,360,000
|
Level
3 Financing, Inc. |
10.50% |
(a) |
04/15/2029 |
3,368,400
|
| 1,545,000
|
LifePoint
Health, Inc. |
11.00% |
(a) |
10/15/2030 |
1,704,163
|
| 3,100,000
|
LifePoint
Health, Inc. |
10.00% |
(a) |
06/01/2032 |
3,173,355
|
| 1,370,000
|
Lions
Gate Capital Holdings LLC |
5.50% |
(a) |
04/15/2029 |
887,065
|
| 3,340,000
|
Mavis
Tire Express Services Topco Corp. |
6.50% |
(a) |
05/15/2029 |
3,116,595
|
| 2,550,000
|
McGraw-Hill
Education, Inc. |
5.75% |
(a) |
08/01/2028 |
2,461,340
|
| 2,200,000
|
Michaels
Cos., Inc. |
5.25% |
(a) |
05/01/2028 |
1,762,501
|
| 1,155,000
|
Michaels
Cos., Inc. |
7.88% |
(a) |
05/01/2029 |
742,520
|
| 1,500,000
|
ModivCare
Escrow Issuer, Inc. |
5.00% |
(a) |
10/01/2029 |
1,058,553
|
| 4,395,000
|
Newfold
Digital Holdings Group, Inc. |
6.00% |
(a) |
02/15/2029 |
3,176,580
|
| 1,985,000
|
NGL
Energy Operating LLC / NGL Energy Finance Corp. |
8.38% |
(a) |
02/15/2032 |
2,017,137
|
| 250,000
|
Olympus
Water US Holding Corp. |
6.25% |
(a) |
10/01/2029 |
228,488
|
| 1,030,000
|
OneMain
Finance Corp. |
9.00% |
|
01/15/2029 |
1,087,646
|
| 1,435,000
|
PECF
USS Intermediate Holding III Corp. |
8.00% |
(a) |
11/15/2029 |
611,925
|
| 3,835,000
|
PetSmart,
Inc. / PetSmart Finance Corp. |
7.75% |
(a) |
02/15/2029 |
3,738,448
|
| 1,765,000
|
Premier
Entertainment Sub LLC / Premier Entertainment Finance Corp. |
5.88% |
(a) |
09/01/2031 |
1,201,651
|
| 4,209,264
|
Radiology
Partners, Inc.
9.78% PIK |
9.78% |
(a) |
02/15/2030 |
3,372,673
|
| 150,000
|
Royal
Caribbean Cruises Ltd. |
7.25% |
(a) |
01/15/2030 |
155,408
|
| 3,330,000
|
Sabre
GLBL, Inc. |
8.63% |
(a) |
06/01/2027 |
3,070,978
|
| 4,170,000
|
SWF
Escrow Issuer Corp. |
6.50% |
(a) |
10/01/2029 |
2,248,952
|
| 3,410,000
|
TKC
Holdings, Inc. |
10.50% |
(a) |
05/15/2029 |
3,366,995
|
| 885,000
|
TMS
International Corp./DE |
6.25% |
(a) |
04/15/2029 |
813,156
|
| 4,130,000
|
Trident
TPI Holdings, Inc. |
12.75% |
(a) |
12/31/2028 |
4,515,969
|
| 2,365,000
|
Triton
Water Holdings, Inc. |
6.25% |
(a) |
04/01/2029 |
2,283,055
|
| 2,985,000
|
United
Natural Foods, Inc. |
6.75% |
(a) |
10/15/2028 |
2,697,681
|
| 2,460,000
|
Uniti
Group LP / Uniti Group Finance, Inc. / CSL Capital LLC |
6.50% |
(a) |
02/15/2029 |
1,571,365
|
| 2,845,000
|
Univision
Communications, Inc. |
6.63% |
(a) |
06/01/2027 |
2,726,410
|
| 845,000
|
Venture
Global LNG, Inc. |
8.38% |
(a) |
06/01/2031 |
877,090
|
| 1,255,000
|
Venture
Global LNG, Inc. |
9.88% |
(a) |
02/01/2032 |
1,366,758
|
| 1,050,000
|
Vibrantz
Technologies, Inc. |
9.00% |
(a) |
02/15/2030 |
962,294
|
| 4,285,000
|
Victra
Holdings LLC / Victra Finance Corp. |
7.75% |
(a) |
02/15/2026 |
4,265,464
|
| 4,885,000
|
Viking
Cruises Ltd. |
9.13% |
(a) |
07/15/2031 |
5,294,727
|
| 3,280,000
|
Weatherford
International Ltd. |
8.63% |
(a) |
04/30/2030 |
3,401,612
|
| 2,540,000
|
Wheel
Pros, Inc. |
6.50% |
(a) |
05/15/2029 |
508,000
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| |
Total
US Corporate Bonds (Cost $156,134,984) |
|
137,105,295
|
| US
GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 3.1% |
| |
Federal
Home Loan Mortgage Corp. |
|
|
|
| 6,520,013
|
Series
313-S1Pool S1-3249 (-1 x 30 day avg SOFR US + 5.79%, 0.00% Floor, 5.90% Cap) |
0.45% |
(i)(j) |
09/15/2043 |
611,304
|
| 2,193,903
|
Series
3997-SA (-1 x 30 day avg SOFR US + 6.39%, 0.00% Floor, 6.50% Cap) |
1.05% |
(i)(j) |
02/15/2042 |
246,666
|
| 2,867,785
|
Series
4091-VI (-1 x 30 day avg SOFR US + 4.89%, 0.00% Floor, 5.00% Cap) |
0.00% |
(i)(j) |
11/15/2040 |
157,684
|
| 4,980,685
|
Series
4119-SC (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap) |
0.70% |
(i)(j) |
10/15/2042 |
489,153
|
| 2,768,324
|
Series
4643-SA (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) |
0.55% |
(i)(j) |
01/15/2047 |
288,637
|
| 8,224,314
|
Series
4863-IA |
4.50% |
(i) |
03/15/2045 |
1,071,836
|
| 15,225,569
|
Series
5004-SD (-1 x 30 day avg SOFR US + 6.10%, 0.00% Floor, 6.10% Cap) |
0.76% |
(i)(j) |
08/25/2050 |
2,060,855
|
| |
Federal
National Mortgage Association |
|
|
|
| 6,819,740
|
Series
2012-124-SE (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap) |
0.70% |
(i)(j) |
11/25/2042 |
676,672
|
| 8,389,506
|
Series
2012-84-HS (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap) |
0.55% |
(i)(j) |
08/25/2042 |
739,262
|
| 4,657,371
|
Series
2017-69-ES (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap) |
0.70% |
(i)(j) |
09/25/2047 |
468,060
|
| 6,275,785
|
Series
2019-25-SB (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap) |
0.60% |
(i)(j) |
06/25/2049 |
589,838
|
| 42,210,503
|
Series
2019-M26-X1 |
0.71% |
(d)(i) |
03/25/2030 |
949,407
|
| |
FREMF
Mortgage Trust |
|
|
|
| 2,929,768
|
Series
2018-KF56-C (30 day avg SOFR US + 5.91%, 5.80% Floor) |
11.24% |
(a) |
11/25/2028 |
2,576,082
|
| 7,484,071
|
Series
2019-KF71-C (30 day avg SOFR US + 6.11%, 6.00% Floor) |
11.44% |
(a) |
10/25/2029 |
7,199,105
|
| |
Government
National Mortgage Association |
|
|
|
| 9,679,591
|
Series
2019-22-SA (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap) |
0.15% |
(i)(j) |
02/20/2045 |
718,542
|
| 5,334,354
|
Series
2020-21-NS (-1 x 1 mo. Term SOFR + 5.94%, 0.00% Floor, 6.05% Cap) |
0.60% |
(i)(j) |
04/20/2048 |
453,318
|
| 6,376,231
|
Series
2020-47-SL (-1 x 1 mo. Term SOFR + 5.26%, 0.00% Floor, 5.37% Cap) |
0.00% |
(i)(j) |
07/20/2044 |
363,717
|
| 11,082,598
|
Series
2020-61-SU (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap) |
0.16% |
(i)(j) |
07/16/2045 |
807,250
|
| 4,254,436
|
Series
2020-77-SU (-1 x 1 mo. Term SOFR + 5.99%, 0.00% Floor, 6.10% Cap) |
0.65% |
(i)(j) |
09/20/2047 |
423,175
|
| 24,211,784
|
Series
2021-97-SG (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap) |
0.00% |
(i)(j) |
06/20/2051 |
192,251
|
| 31,153,852
|
Series
2021-H04-BI |
0.89% |
(d)(i) |
02/01/2071 |
1,549,602
|
| 32,357,470
|
Series
2021-H07-AI |
0.35% |
(d)(i) |
05/20/2071 |
1,483,724
|
| |
Total
US Government and Agency Mortgage Backed Obligations (Cost $33,268,193) |
|
24,116,140
|
| COMMON
STOCKS - 0.0%(k) |
| 62,660 |
JoAnn,
Inc.(b)(l) |
|
|
–
|
| 12,858 |
Riverbed
- Class B(b)(l) |
|
|
1,672
|
| |
Total
Common Stocks (Cost $–) |
|
1,672
|
| ESCROW
NOTES - 0.0%(k) |
| 500,000 |
Alpha
Holding SA(b)(l) |
|
|
–
|
| 3,500,000 |
Alpha
Holding SA(b)(l) |
|
|
–
|
| |
Total
Escrow Notes (Cost $–) |
|
–
|
| PREFERRED
STOCKS - 1.4% |
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 430,000 |
AGNC
Investment Corp. Series F (3 mo. LIBOR US + 4.70%)(g)(m) |
|
|
10,375,900
|
| |
Total
Preferred Stocks (Cost $9,302,263) |
|
10,375,900
|
| REAL
ESTATE INVESTMENT TRUSTS - 0.8% |
| 650,000 |
AGNC
Investment Corp. |
|
|
6,201,000
|
| |
Total
Real Estate Investment Trusts (Cost $8,298,947) |
|
6,201,000
|
| SHORT
TERM INVESTMENTS - 2.4% |
| 6,180,730
|
First
American Government Obligations Fund - U |
5.26% |
(n) |
|
6,180,730
|
| 6,180,730
|
JPMorgan
US Government Money Market Fund - IM |
5.26% |
(n) |
|
6,180,730
|
| 6,180,730
|
MSILF
Government Portfolio - Institutional |
5.23% |
(n) |
|
6,180,730
|
| |
Total
Short Term Investments (Cost $18,542,190) |
|
18,542,190
|
| |
Total
Investments - 123.4%(o) (Cost $1,042,270,195) |
946,324,616 |
| |
Other
Liabilities in Excess of Assets - (23.4)% |
|
|
(179,408,825) |
| |
NET
ASSETS - 100.0% |
|
|
$ 766,915,791 |
| SECURITY
TYPE BREAKDOWN as a % of Net Assets: |
|
|
| Non-Agency
Commercial Mortgage Backed Obligations |
23.3%
|
|
| Non-Agency
Residential Collateralized Mortgage Obligations |
19.0%
|
|
| Collateralized
Loan Obligations |
18.9%
|
|
| US
Corporate Bonds |
17.9%
|
|
| Foreign
Corporate Bonds |
15.5%
|
|
| Bank
Loans |
14.1%
|
|
| Foreign
Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
4.7%
|
|
| US
Government and Agency Mortgage Backed Obligations |
3.1%
|
|
| Short
Term Investments |
2.4%
|
|
| Asset
Backed Obligations |
2.3%
|
|
| Preferred
Stocks |
1.4%
|
|
| Real
Estate Investment Trusts |
0.8%
|
|
| Common
Stocks |
0.0%
|
(k) |
| Escrow
Notes |
0.0%
|
(k) |
| Other
Assets and Liabilities |
(23.4)%
|
|
| Net
Assets |
100.0% |
|
| INVESTMENT
BREAKDOWN as a % of Net Assets:
|
|
|
| Non-Agency
Commercial Mortgage Backed Obligations |
23.3%
|
|
| Non-Agency
Residential Collateralized Mortgage Obligations |
19.0%
|
|
| Collateralized
Loan Obligations |
18.9%
|
|
| Energy |
5.0%
|
|
| Commercial
Services |
3.9%
|
|
| Electronics/Electric |
3.4%
|
|
| Chemicals/Plastics |
3.3%
|
|
| US
Government and Agency Mortgage Backed Obligations |
3.1%
|
|
| Healthcare |
2.9%
|
|
| Transportation |
2.8%
|
|
| Retailers
(other than Food/Drug) |
2.7%
|
|
| Foreign
Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
2.6%
|
|
| Consumer
Products |
2.6%
|
|
| Real
Estate |
2.5%
|
|
| INVESTMENT
BREAKDOWN as a % of Net Assets:
|
|
|
| Short
Term Investments |
2.4%
|
|
| Technology |
2.4%
|
|
| Asset
Backed Obligations |
2.3%
|
|
| Media |
2.0%
|
|
| Utilities |
1.9%
|
|
| Hotels/Motels/Inns
and Casinos |
1.7%
|
|
| Mining |
1.6%
|
|
| Telecommunications |
1.5%
|
|
| Industrial
Equipment |
1.5%
|
|
| Finance |
1.3%
|
|
| Construction |
1.0%
|
|
| Diversified
Manufacturing |
1.0%
|
|
| Chemical
Products |
0.9%
|
|
| Building
and Development (including Steel/Metals) |
0.8%
|
|
| Containers
and Glass Products |
0.8%
|
|
| Leisure |
0.8%
|
|
| Food
Products |
0.7%
|
|
| Business
Equipment and Services |
0.7%
|
|
| Automotive |
0.7%
|
|
| Insurance |
0.5%
|
|
| Food
Service |
0.4%
|
|
| Beverage
and Tobacco |
0.2%
|
|
| Consumer
Staples |
0.1%
|
|
| Conglomerates |
0.1%
|
|
| Aerospace
& Defense |
0.1%
|
|
| Other
Assets and Liabilities |
(23.4)%
|
|
| Net
Assets |
100.0% |
|
| (a) |
|
Security exempt from registration under Rule
144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
buyers. |
| (b) |
|
Value determined using significant unobservable
inputs. |
| (c) |
|
Security pays interest at rates that represent
residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in
effect as of period end. |
| (d) |
|
Coupon rate is variable based on the weighted
average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the
collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed
is as of period end. |
| (e) |
|
Coupon rate is variable or floats based on
components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread
in their description. The rate disclosed is as of period end. |
| (f) |
|
Security is in default or has failed to make
a scheduled payment. Income is not being accrued. |
| (g) |
|
Perpetual maturity. The date disclosed is the
next call date of the security. |
| (h) |
|
Step Bond; Coupon rate changes based on a predetermined
schedule or event. The interest rate shown is the rate in effect as of period end. |
| (i) |
|
Interest only security |
| (j) |
|
Inverse floating rate security whose interest
rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier
or slope. Interest rate may also be subject to a cap or floor. |
| (k) |
|
Represents less than 0.05% of net assets. |
| (l) |
|
Non-income producing security. |
| (m) |
|
Securities referencing LIBOR are expected to
transition to an alternative reference rate by the security’s next scheduled coupon reset date. |
| (n) |
|
Seven-day yield as of period end. |
| (o) |
|
Under the Fund’s credit agreement, the
Lender, through their agent, have been granted a security interest in all of the Fund’s investments in consideration of the
Fund’s borrowings under the line of credit with the Lender. |
| CMT |
Constant
Maturity Treasury Rate |
| LIBOR |
London Interbank Offered
Rate |
| PIK |
A payment-in-kind security
in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally
have the same terms as the original holdings. |
| SOFR |
Secured Overnight Financing
Rate |
| Futures Contracts | |
| |
| Description | |
Long/
Short | |
Contract
Quantity | |
Expiration
Date | |
Notional
Amount(1) | | |
Unrealized
Appreciation (Depreciation)/ Value | |
| 10
Year U.S. Ultra Treasury Notes | |
Long | |
525 | |
9/19/2024 | |
$ | 59,603,906 | | |
$ | 901,229 | |
| (1) |
|
Notional Amount is determined based on the number of contracts multiplied
by the contract size and the quoted daily settlement price in US dollars. |
Notes to Schedule of Investments
June 30, 2024 (Unaudited)
1. Significant Accounting
Policies
The Fund is an investment company that applies the accounting and reporting
guidance issued in Topic 946, “Financial Services—Investment Companies”, by the Financial Accounting Standards
Board (“FASB”). The following is a summary of the significant accounting policies of the Fund. These policies are in conformity
with accounting principles generally accepted in the United States of America (“US GAAP”).
A. Security Valuation. The Fund
has adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair
value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements
of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in
the three broad levels listed below:
• Level 1—Unadjusted quoted market prices in active markets for
identical securities
• Level 2—Quoted prices for identical or similar assets in markets
that are not active, or inputs derived from observable market data
• Level 3—Significant unobservable inputs (including the reporting
entity’s estimates and assumptions)
Valuations for domestic and foreign fixed income securities are normally
determined on the basis of evaluations provided by independent pricing services. Vendors typically value such securities based on one
or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that
are commonly relevant for valuing particular classes of fixed income securities in which the Fund is authorized to invest. However, these
classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that
use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy.
To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3. Assets and liabilities may
be transferred between levels.
| Fixed-income
Class |
Examples
of Inputs |
| All |
Benchmark
yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed
in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as
cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)
|
| Corporate
bonds and notes; convertible securities |
Standard
inputs and underlying equity of the issuer |
| US
bonds and notes of government and government agencies |
Standard
inputs |
| Residential
and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations) |
Standard
inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit
enhancements and specific deal information, trustee reports |
| Bank
Loans |
Standard
inputs |
Investments in registered open-end management investment companies will
be valued based upon the net asset value (“NAV”) of such investments and are categorized as Level 1 of the fair value hierarchy.
Common stocks, exchange-traded funds and financial derivative instruments,
such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued
at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options
contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation
adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Due to custodian as recorded on the Statement
of Assets and Liabilities is recorded at cost and approximates fair value; it is classified as level 2 under the fair value hierarchy.
Over-the-counter financial derivative instruments, such as forward currency
exchange contracts, options contracts, or swap agreements, derive their values from underlying asset prices, indices, reference rates,
other inputs or a combination of these factors. These instruments are normally valued on the basis of valuations obtained from counterparties,
published index closing levels or evaluated prices supplied by independent pricing services, some or all of which may be based on market
data from trading on exchanges that closed significantly before the time as of which the Fund calculates its NAV. Forward foreign currency
contracts are generally valued based on rates provided by independent data providers. Exchange traded futures and options on futures are
generally valued at the settlement price determined by the relevant exchange on which they principally trade, and exchange traded options
are generally valued at the last trade price on the exchange on which they principally trade. A Fund does not normally take into account
trading, clearances or settlements that take place after the close of the principal exchange or market on which such securities are traded.
Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service
provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that
are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives
that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.
The Fund’s holdings in whole loans, securitizations and certain other
types of alternative lending-related instruments may be valued based on prices provided by a third-party pricing service.
Senior secured floating rate loans for which an active secondary market
exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided
by an independent pricing service. Where an active secondary market does not exist to a reliable degree in the judgment of DoubleLine
Capital LP (the “Adviser” or “DoubleLine Capital”), such loans will be valued at fair value based on certain factors.
In respect of certain commercial real estate-related, residential real estate-related
and certain other investments for which a limited market may exist, the Valuation Designee (as defined below) may value such investments
based on appraisals conducted by an independent valuation advisor or a similar pricing agent. However, an independent valuation firm may
not be retained to undertake an evaluation of an asset unless the NAV, market price and other aspects of an investment exceed certain
significance thresholds.
The Board of Trustees has adopted a pricing and valuation policy for use
by the Fund and its Valuation Designee in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated
the Adviser as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities
that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary
determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if
it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.
The following is a summary of the fair valuations according to the inputs
used to value the Fund’s investments as of June 30, 2024:
| Category |
DoubleLine
Yield Opportunities Fund |
| Investments in Securities |
|
|
| Level 1 |
|
|
| Short Term Investments |
$ |
18,542,190 |
| Preferred Stocks |
|
10,375,900 |
| Real Estate Investment Trusts |
|
6,201,000 |
| Total Level 1 |
|
35,119,090 |
| Level 2 |
|
|
| Non-Agency Commercial Mortgage
Backed Obligations |
|
178,989,586 |
| Non-Agency Residential Collateralized
Mortgage Obligations |
|
145,719,877 |
| Collateralized Loan Obligations |
|
142,614,314 |
| US Corporate Bonds |
|
137,105,295 |
| Foreign Corporate Bonds |
|
118,400,046 |
| Bank Loans |
|
107,837,011 |
| Foreign Government Bonds,
Foreign Agencies and Foreign Government Sponsored Corporations |
|
36,047,512 |
| US Government and Agency
Mortgage Backed Obligations |
|
24,116,140 |
| Asset Backed Obligations |
|
14,587,997 |
| Total Level 2 |
|
905,417,778 |
| Level 3 |
|
|
| Asset Backed Obligations |
|
2,745,197 |
| Collateralized Loan Obligations |
|
2,362,500 |
| Foreign Corporate Bonds |
|
656,226 |
| Bank Loans |
|
22,153 |
| Common Stocks |
|
1,672 |
| Escrow Notes |
|
– |
| Total
Level 3 |
|
5,787,748
|
| Total |
$ |
946,324,616 |
| Other Financial Instruments |
|
|
| Level 1 |
|
|
| Futures |
$ |
901,229 |
| Total Level 1 |
|
901,229 |
| Total
|
$ |
901,229
|
| |
| See the Schedule of Investments for further disaggregation
of investment categories. |
DoubleLine Yield Opportu... (NYSE:DLY)
Gráfico Histórico do Ativo
De Nov 2024 até Dez 2024
DoubleLine Yield Opportu... (NYSE:DLY)
Gráfico Histórico do Ativo
De Dez 2023 até Dez 2024
