DoubleLine Yield Opportunities Fund
Schedule of
Investments
December 31, 2023 (Unaudited)
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Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
Asset Backed Obligations - 3.1% |
|
|
|
|
|
|
|
1,300,000 |
|
Affirm Asset Securitization Trust, Series 2023-B-D |
|
|
8.78 |
% (a) |
|
09/15/2028 |
|
|
1,323,682 |
|
6,000,000 |
|
Air Canada, Series 2020-1-C |
|
|
10.50 |
% (a) |
|
07/15/2026 |
|
|
6,545,400 |
|
2,500,000 |
|
Blue Stream Issuer LLC, Series 2023-1A-C |
|
|
8.90 |
% (a) |
|
05/20/2053 |
|
|
2,347,766 |
|
1,427,031 |
|
Castlelake Aircraft Structured Trust, Series 2021-1A-C |
|
|
7.00 |
% (a)(b) |
|
01/15/2046 |
|
|
1,018,436 |
|
1,220,741 |
|
JetBlue, Series 2019-1-B |
|
|
8.00 |
% |
|
11/15/2027 |
|
|
1,216,425 |
|
4,022,839 |
|
JOL Air Ltd., Series 2019-1-B |
|
|
4.95 |
% (a) |
|
04/15/2044 |
|
|
3,134,785 |
|
1,097,076 |
|
Kestrel Aircraft Funding Ltd., Series 2018-1A-A |
|
|
4.25 |
% (a) |
|
12/15/2038 |
|
|
977,509 |
|
868,376 |
|
MACH 1 Cayman Ltd., Series 2019-1-B |
|
|
4.34 |
% (a)(b) |
|
10/15/2039 |
|
|
635,126 |
|
8,192 |
|
Marlette Funding Trust, Series 2021-1A-R |
|
|
0.00 |
% (a)(b)(c) |
|
06/16/2031 |
|
|
230,890 |
|
721,119 |
|
Pagaya AI Debt Selection Trust, Series 2020-3-C |
|
|
6.43 |
% (a) |
|
05/17/2027 |
|
|
719,983 |
|
2,425,852 |
|
Pagaya AI Debt Selection Trust, Series 2021-3-CERT |
|
|
0.00 |
% (a)(b)(c) |
|
05/15/2029 |
|
|
64,566 |
|
32,513 |
|
Pagaya AI Debt Selection Trust, Series 2021-5-A |
|
|
1.53 |
% (a) |
|
08/15/2029 |
|
|
32,368 |
|
2,303,922 |
|
Pagaya AI Debt Selection Trust, Series 2021-5-CERT |
|
|
0.00 |
% (a)(b)(c) |
|
08/15/2029 |
|
|
214,758 |
|
235,529 |
|
Pagaya AI Debt Selection Trust, Series 2022-1-A |
|
|
2.03 |
% (a) |
|
10/15/2029 |
|
|
231,989 |
|
782,951 |
|
Pagaya Al Debt Trust, Series 2022-2-AB |
|
|
5.47 |
% (a)(d) |
|
01/15/2030 |
|
|
778,274 |
|
55,000 |
|
SoFi Alternative Consumer Loan Program, Series 2021-2-R1 |
|
|
0.00 |
% (a)(b)(c) |
|
08/15/2030 |
|
|
584,136 |
|
20,000 |
|
SoFi Professional Loan Program Trust, Series 2018-C-R1 |
|
|
0.00 |
% (a)(b)(c) |
|
01/25/2048 |
|
|
175,980 |
|
2,967,761 |
|
START Ltd., Series 2018-1-A |
|
|
4.09 |
% (a) |
|
05/15/2043 |
|
|
2,702,758 |
|
436,983 |
|
START Ltd., Series 2019-1-C |
|
|
6.41 |
% (a)(b) |
|
03/15/2044 |
|
|
161,711 |
|
4,000 |
|
Upstart Securitization Trust, Series 2021-2-CERT |
|
|
0.00 |
% (b)(c) |
|
06/20/2031 |
|
|
204,714 |
|
3,300 |
|
Upstart Securitization Trust, Series 2021-5-CERT |
|
|
0.00 |
% (a)(b)(c) |
|
11/20/2031 |
|
|
162,407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset Backed Obligations (Cost $25,541,440) |
|
|
|
|
|
23,463,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank Loans - 11.7% |
|
1,089,000 |
|
AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor) |
|
|
10.43 |
% |
|
04/20/2028 |
|
|
1,120,396 |
|
1,556,100 |
|
Access CIG LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.00%, 0.50% Floor) |
|
|
10.39 |
% |
|
08/15/2028 |
|
|
1,560,644 |
|
822,911 |
|
AI Aqua Merger Sub, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.75%, 0.50% Floor) |
|
|
9.09 |
% |
|
07/31/2028 |
|
|
824,565 |
|
1,426,196 |
|
American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.25%, 0.75% Floor) |
|
|
11.91 |
% |
|
10/20/2028 |
|
|
1,200,500 |
|
|
|
Applied Systems, Inc., Senior Secured Second Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
2,021,903 |
|
(3 Month Secured Overnight Financing Rate + 6.75%, 0.75% Floor) |
|
|
12.14 |
% |
|
09/17/2027 |
|
|
2,038,331 |
|
28,097 |
|
(3 Month LIBOR USD + 5.50%, 0.75% Floor) |
|
|
9.17 |
% (o) |
|
09/17/2027 |
|
|
28,325 |
|
765,000 |
|
Ascend Learning LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.75%, 0.50% Floor) |
|
|
11.21 |
% |
|
12/10/2029 |
|
|
663,500 |
|
915,000 |
|
Aspen Dental Management, Inc. |
|
|
11.11 |
% (e) |
|
12/23/2027 |
|
|
903,563 |
|
548,669 |
|
Astra Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.50% Floor) |
|
|
10.86 |
% |
|
10/25/2028 |
|
|
357,779 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
3,249,219 |
|
Astra Acquisition Corporation, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.88%, 0.75% Floor) |
|
|
14.48 |
% |
|
10/25/2029 |
|
|
1,575,871 |
|
305,000 |
|
Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%) |
|
|
10.72 |
% |
|
01/31/2028 |
|
|
291,528 |
|
1,425,000 |
|
Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%) |
|
|
10.72 |
% |
|
01/22/2029 |
|
|
1,348,292 |
|
627,543 |
|
Athenahealth Group, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.25%, 0.50% Floor) |
|
|
8.60 |
% |
|
02/15/2029 |
|
|
625,660 |
|
2,137,070 |
|
Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month Overnight Secured Overnight Financing Rate, 0.75% Floor) (3 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor) |
|
|
10.88 |
% |
|
05/08/2028 |
|
|
1,276,013 |
|
2,800,000 |
|
Aveanna Healthcare LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.00%, 0.50% Floor) |
|
|
12.54 |
% |
|
12/10/2029 |
|
|
2,081,338 |
|
410,829 |
|
Bausch & Lomb Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.25%, 0.50% Floor) |
|
|
8.76 |
% |
|
05/10/2027 |
|
|
407,493 |
|
962,588 |
|
Bausch & Lomb Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%) |
|
|
9.36 |
% |
|
09/29/2028 |
|
|
963,791 |
|
1,740,000 |
|
Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.25%) |
|
|
9.60 |
% |
|
12/29/2028 |
|
|
1,755,008 |
|
699,559 |
|
BYJUs Alpha, Inc. (Prime Rate + 7.00%, 0.75% Floor) |
|
|
15.50 |
% |
|
11/24/2026 |
|
|
255,923 |
|
218,900 |
|
Carnival Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.00%, 0.75% Floor) |
|
|
8.32 |
% |
|
08/09/2027 |
|
|
219,721 |
|
1,818,150 |
|
Cengage Learning, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%, 1.00% Floor) |
|
|
10.41 |
% |
|
07/14/2026 |
|
|
1,826,214 |
|
415,000 |
|
Central Parent, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%) |
|
|
9.35 |
% |
|
07/06/2029 |
|
|
417,830 |
|
435,000 |
|
Charter Next Generation, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.75%, 0.75% Floor) |
|
|
9.21 |
% |
|
12/01/2027 |
|
|
437,517 |
|
413,963 |
|
Clarios Global LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.75%) |
|
|
9.11 |
% |
|
05/06/2030 |
|
|
415,411 |
|
839,120 |
|
Clydesdale Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.18%, 0.50% Floor) |
|
|
9.63 |
% |
|
04/13/2029 |
|
|
843,840 |
|
4,500,000 |
|
Constant Contact, Inc., Senior Secured Second Lien Term Loan (3 Month Overnight Secured Overnight Financing Rate) (6 Month Secured Overnight Financing Rate + 7.50%) |
|
|
13.41 |
% |
|
02/09/2029 |
|
|
3,937,500 |
|
248,096 |
|
Corelogic, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 0.50% Floor) |
|
|
8.97 |
% |
|
06/02/2028 |
|
|
242,101 |
|
684,719 |
|
Cornerstone Building Brands, Inc, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.25%, 0.50% Floor) |
|
|
8.67 |
% |
|
04/12/2028 |
|
|
686,075 |
|
1,167,075 |
|
Cross Financial Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor) |
|
|
9.46 |
% |
|
09/15/2027 |
|
|
1,169,993 |
|
940,000 |
|
DCert Buyer, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 7.00%) |
|
|
12.36 |
% |
|
02/16/2029 |
|
|
860,100 |
|
872,212 |
|
Deerfield Dakota Holding LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.75%, 1.00% Floor) |
|
|
9.10 |
% |
|
04/09/2027 |
|
|
865,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
3,800,000 |
|
Delta Topco, Inc., Senior Secured Second Lien Term Loan (6 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor) |
|
|
12.62 |
% |
|
12/01/2028 |
|
|
3,812,825 |
|
790,000 |
|
DexKo Global, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%) |
|
|
9.60 |
% |
|
10/04/2028 |
|
|
790,000 |
|
915,000 |
|
DG Investment Intermediate Holdings 2, Inc. (1 Month Secured Overnight Financing Rate + 6.75%, 0.75% Floor) |
|
|
12.22 |
% |
|
03/29/2029 |
|
|
829,599 |
|
1,637,940 |
|
DirectTV Financing LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.00%, 0.75% Floor) |
|
|
10.65 |
% |
|
08/02/2027 |
|
|
1,640,912 |
|
286,281 |
|
Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%) |
|
|
9.35 |
% |
|
08/24/2028 |
|
|
287,379 |
|
923,750 |
|
Eisner Advisory Group LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor) |
|
|
10.72 |
% |
|
07/28/2028 |
|
|
926,830 |
|
71,905 |
|
Element Materials Technology Group US Holdings, Inc., Senior Secured First Lien Delayed-Draw Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) |
|
|
9.74 |
% |
|
06/22/2029 |
|
|
71,456 |
|
155,795 |
|
Element Materials Technology Group US Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) |
|
|
9.74 |
% |
|
06/22/2029 |
|
|
154,821 |
|
249,375 |
|
EnergySolutions LLC (3 Month Secured Overnight Financing Rate + 4.00%, 0.50% Floor) |
|
|
9.38 |
% |
|
09/18/2030 |
|
|
249,687 |
|
650,038 |
|
Fertitta Entertainment LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 0.50% Floor) |
|
|
9.36 |
% |
|
01/29/2029 |
|
|
651,156 |
|
785,000 |
|
FinThrive Software Intermediate Holdings, Inc. (1 Month Secured Overnight Financing Rate + 6.75%, 0.50% Floor) |
|
|
12.22 |
% |
|
12/17/2029 |
|
|
473,551 |
|
1,111,500 |
|
Flynn Canada Ltd., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate, 0.50% Floor) (1 Month Secured Overnight Financing Rate + 4.50%, 0.50% Floor) |
|
|
9.97 |
% |
|
07/21/2028 |
|
|
1,086,491 |
|
2,113,701 |
|
Gainwell Acquisition Corporation (3 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor) |
|
|
9.45 |
% |
|
10/01/2027 |
|
|
2,060,858 |
|
1,245,844 |
|
Getty Images, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.50%) |
|
|
9.95 |
% |
|
02/19/2026 |
|
|
1,253,163 |
|
178,086 |
|
GIP II Blue Holding LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.50%, 1.00% Floor) |
|
|
9.96 |
% |
|
09/29/2028 |
|
|
179,138 |
|
1,151,129 |
|
Grab Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.50%, 1.00% Floor) |
|
|
9.97 |
% |
|
01/29/2026 |
|
|
1,157,604 |
|
|
|
Groupe Solmax, Inc., Senior Secured First Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
543,094 |
|
(3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor) |
|
|
10.36 |
% |
|
07/23/2028 |
|
|
523,068 |
|
467,082 |
|
(1 Month Overnight Secured Overnight Financing Rate, 0.75% Floor) |
|
|
10.22 |
% |
|
07/23/2028 |
|
|
449,858 |
|
1,080,000 |
|
Helios Software Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%) |
|
|
9.70 |
% |
|
07/18/2030 |
|
|
1,080,788 |
|
452,642 |
|
Hexion Holdings Corporation, Term Loan (3 Month Secured Overnight Financing Rate + 4.50%, 0.50% Floor) |
|
|
10.02 |
% |
|
03/15/2029 |
|
|
436,073 |
|
2,104,425 |
|
Ineos US Finance LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%) |
|
|
8.95 |
% |
|
02/19/2030 |
|
|
2,109,686 |
|
404,625 |
|
ION Trading Technologies SARL (3 Month Secured Overnight Financing Rate + 4.75%) |
|
|
10.20 |
% |
|
03/31/2028 |
|
|
405,606 |
|
244,375 |
|
Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor) |
|
|
10.39 |
% |
|
07/07/2028 |
|
|
16,932 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
631,825 |
|
Kenan Advantage Group, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate, 0.75% Floor) (1 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor) |
|
|
9.47 |
% |
|
03/24/2026 |
|
|
631,234 |
|
512,379 |
|
LaserShip, Inc., Senior Secured First Lien Term Loan (6 Month Secured Overnight Financing Rate + 4.50%, 0.75% Floor) |
|
|
10.40 |
% |
|
05/08/2028 |
|
|
472,029 |
|
345,000 |
|
LaserShip, Inc., Senior Secured Second Lien Term Loan (6 Month Secured Overnight Financing Rate + 7.50%, 0.75% Floor) |
|
|
13.40 |
% |
|
04/30/2029 |
|
|
289,800 |
|
922,895 |
|
LBM Acquisition LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.75%, 0.75% Floor) |
|
|
9.21 |
% |
|
12/17/2027 |
|
|
914,100 |
|
374,913 |
|
Lereta LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate, 0.75% Floor) (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor) |
|
|
10.72 |
% |
|
07/27/2028 |
|
|
287,746 |
|
1,315,000 |
|
LifePoint Health, Inc., Term Loan (3 Month Secured Overnight Financing Rate + 5.50%) |
|
|
11.17 |
% |
|
11/16/2028 |
|
|
1,313,521 |
|
545,750 |
|
LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (3 Month Overnight Secured Overnight Financing Rate, 0.75% Floor) (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor) |
|
|
12.60 |
% |
|
03/31/2029 |
|
|
534,153 |
|
408,895 |
|
Lummus Technology Holdings LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%) |
|
|
8.97 |
% |
|
06/30/2027 |
|
|
410,148 |
|
413,939 |
|
Mavis Tire Express Services Topco Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor) |
|
|
9.47 |
% |
|
05/04/2028 |
|
|
415,232 |
|
280,000 |
|
Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 1.00% Floor) |
|
|
10.77 |
% |
|
06/21/2027 |
|
|
290,000 |
|
3,838,791 |
|
Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%) |
|
|
10.21 |
% |
|
03/27/2026 |
|
|
3,844,607 |
|
645,000 |
|
Mitchell International, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.50%, 0.50% Floor) |
|
|
12.15 |
% |
|
10/15/2029 |
|
|
635,125 |
|
428,922 |
|
Nouryon Finance B.V., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate) (1 Month Secured Overnight Financing Rate) (3 Month Secured Overnight Financing Rate + 4.00%) |
|
|
9.35 |
% |
|
04/03/2028 |
|
|
431,133 |
|
1,291,763 |
|
Olympus Water US Holding Corporation, Term Loan (3 Month Secured Overnight Financing Rate + 5.00%, 0.50% Floor) |
|
|
10.35 |
% |
|
11/09/2028 |
|
|
1,300,915 |
|
813,573 |
|
OMNIA Partners LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%) |
|
|
9.63 |
% |
|
07/25/2030 |
|
|
819,679 |
|
1,165,000 |
|
Ontario Gaming GTA LP, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) |
|
|
9.64 |
% |
|
08/01/2030 |
|
|
1,171,448 |
|
237,364 |
|
OYO Hospitality Netherlands B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD, 0.75% Floor) (3 Month Secured Overnight Financing Rate + 8.25%, 0.75% Floor) |
|
|
13.88 |
% (o) |
|
06/23/2026 |
|
|
221,540 |
|
1,007,388 |
|
Par Petroleum, LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) |
|
|
9.74 |
% |
|
02/28/2030 |
|
|
1,009,150 |
|
800,914 |
|
PECF USS Intermediate Holding Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) |
|
|
9.89 |
% |
|
12/15/2028 |
|
|
629,174 |
|
2,336,281 |
|
Penn National Gaming, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 2.75%, 0.50% Floor) |
|
|
8.17 |
% |
|
05/03/2029 |
|
|
2,344,785 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
252,850 |
|
Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month Overnight Secured Overnight Financing Rate, 0.75% Floor) (3 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor) |
|
|
9.45 |
% |
|
12/14/2027 |
|
|
254,036 |
|
960,000 |
|
Pretium PKG Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.75%, 0.50% Floor) |
|
|
12.21 |
% |
|
10/01/2029 |
|
|
381,941 |
|
1,712,481 |
|
Pug LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate, 0.50% Floor) (1 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) |
|
|
9.72 |
% |
|
02/16/2027 |
|
|
1,703,919 |
|
482,183 |
|
Riverbed Technology, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.50% + 2.00% PIK, 1.00%
Floor) |
|
|
9.85 |
% |
|
07/01/2028 |
|
|
332,707 |
|
70,000 |
|
Simon & Schuster, Term Loan (3 Month Secured Overnight Financing Rate + 4.00%) |
|
|
9.39 |
% |
|
10/30/2030 |
|
|
70,306 |
|
466,004 |
|
Skillsoft Finance II, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate, 0.75% Floor) (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor) |
|
|
10.69 |
% |
|
07/14/2028 |
|
|
440,374 |
|
418,929 |
|
Sophia LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 0.50% Floor) |
|
|
8.96 |
% |
|
10/07/2027 |
|
|
420,336 |
|
451,509 |
|
Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 1.00% Floor) |
|
|
9.46 |
% |
|
10/05/2027 |
|
|
450,662 |
|
750,000 |
|
Southern Veterinary Partners LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 7.75%, 1.00% Floor) |
|
|
13.21 |
% |
|
09/22/2028 |
|
|
749,846 |
|
218,880 |
|
SRS Distribution, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 0.50% Floor) |
|
|
8.97 |
% |
|
06/02/2028 |
|
|
219,520 |
|
122,692 |
|
Standard Aero Ltd. (1 Month Secured Overnight Financing Rate + 4.00%) |
|
|
9.35 |
% |
|
08/24/2028 |
|
|
123,162 |
|
822,055 |
|
Staples, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) |
|
|
10.47 |
% (o) |
|
04/16/2026 |
|
|
781,429 |
|
659,911 |
|
Sunshine Luxembourg SARL (3 Month Secured Overnight Financing Rate + 3.50%, 0.75% Floor) |
|
|
8.95 |
% |
|
10/01/2026 |
|
|
664,213 |
|
810,378 |
|
Team Health, Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 1.00% Floor) |
|
|
10.63 |
% |
|
03/02/2027 |
|
|
621,155 |
|
558,589 |
|
Tekni-Plex, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.50% Floor) |
|
|
10.64 |
% |
|
09/15/2028 |
|
|
561,243 |
|
3,360,000 |
|
The Edelman Financial Engines Centre LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.75%) |
|
|
12.22 |
% |
|
07/20/2026 |
|
|
3,366,300 |
|
648,470 |
|
TK Elevator Midco GMBH, Senior Secured First Lien Term Loan (6 Month Secured Overnight Financing Rate + 3.50%, 0.50% Floor) |
|
|
9.38 |
% |
|
07/30/2027 |
|
|
650,740 |
|
1,540,951 |
|
Travelport Finance (Luxembourg) SARL (3 Month Secured Overnight Financing Rate + 7.00%, 1.00% Floor) |
|
|
12.65 |
% |
|
02/28/2025 |
|
|
1,495,578 |
|
305,000 |
|
UKG, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.50% Floor) |
|
|
10.76 |
% |
|
05/03/2027 |
|
|
306,171 |
|
217,800 |
|
Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor) |
|
|
10.11 |
% |
|
10/26/2026 |
|
|
210,722 |
|
1,739,918 |
|
Viad Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.00%, 0.50% Floor) |
|
|
10.47 |
% |
|
07/31/2028 |
|
|
1,737,743 |
|
877,778 |
|
Vibrantz Technologies, Inc. (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) |
|
|
9.81 |
% |
|
04/23/2029 |
|
|
843,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
900,000 |
|
VT Topco, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) |
|
|
9.66 |
% |
|
08/09/2030 |
|
|
905,625 |
|
941,224 |
|
WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.75%, 1.00% Floor) |
|
|
11.39 |
% |
|
06/22/2026 |
|
|
943,817 |
|
165,000 |
|
WWEX UNI TopCo Holdings LLC, Senior Secured Second Lien Term Loan (3 Month Overnight Secured Overnight Financing Rate, 0.75% Floor) (3 Month Secured Overnight Financing Rate + 7.00%, 0.75% Floor) |
|
|
12.61 |
% |
|
07/26/2029 |
|
|
141,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Bank Loans (Cost $93,122,355) |
|
|
|
|
|
88,190,244 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Loan Obligations - 18.3% |
|
800,000 |
|
AIMCO Ltd., Series 2019-10A-ER (Secured Overnight Financing Rate 3 Month + 6.21%, 5.95% Floor) |
|
|
11.62 |
% (a) |
|
07/22/2032 |
|
|
776,565 |
|
2,000,000 |
|
AIMCO Ltd., Series 2021-15A-E (Secured Overnight Financing Rate 3 Month + 6.21%, 5.95% Floor) |
|
|
11.61 |
% (a) |
|
10/17/2034 |
|
|
1,952,781 |
|
1,450,000 |
|
Apidos, Series 2018-18A-E (Secured Overnight Financing Rate 3 Month + 5.96%, 5.70% Floor) |
|
|
11.37 |
% (a) |
|
10/22/2030 |
|
|
1,393,473 |
|
3,000,000 |
|
Bain Capital Credit Ltd., Series 2017-2A-ER2 (Secured Overnight Financing Rate 3 Month + 7.12%, 6.86% Floor) |
|
|
12.50 |
% (a) |
|
07/25/2034 |
|
|
2,844,558 |
|
8,000,000 |
|
Bain Capital Credit Ltd., Series 2019-3A-ER (Secured Overnight Financing Rate 3 Month + 7.36%, 7.36% Floor) |
|
|
12.77 |
% (a) |
|
10/21/2034 |
|
|
7,499,575 |
|
1,250,000 |
|
Bain Capital Credit Ltd., Series 2022-3A-E (Secured Overnight Financing Rate 3 Month + 7.35%, 7.35% Floor) |
|
|
12.75 |
% (a) |
|
07/17/2035 |
|
|
1,193,831 |
|
1,500,000 |
|
Barings Ltd., Series 2019-2A-CR (Secured Overnight Financing Rate 3 Month + 3.66%, 3.40% Floor) |
|
|
9.06 |
% (a) |
|
04/15/2036 |
|
|
1,479,437 |
|
2,000,000 |
|
Barings Ltd., Series 2020-1A-ER (Secured Overnight Financing Rate 3 Month + 6.91%, 6.65% Floor) |
|
|
12.31 |
% (a) |
|
10/15/2036 |
|
|
1,999,661 |
|
750,000 |
|
Buttermilk Park Ltd., Series 2018-1A-E (Secured Overnight Financing Rate 3 Month + 6.01%, 5.75% Floor) |
|
|
11.41 |
% (a) |
|
10/15/2031 |
|
|
707,881 |
|
1,850,000 |
|
Canyon Capital Ltd., Series 2020-2A-ER (Secured Overnight Financing Rate 3 Month + 6.79%, 6.53% Floor) |
|
|
12.19 |
% (a) |
|
10/15/2034 |
|
|
1,788,785 |
|
1,000,000 |
|
Canyon Capital Ltd., Series 2021-1A-E (Secured Overnight Financing Rate 3 Month + 6.67%, 6.41% Floor) |
|
|
12.07 |
% (a) |
|
04/15/2034 |
|
|
951,894 |
|
2,000,000 |
|
Canyon Capital Ltd., Series 2021-3A-E (Secured Overnight Financing Rate 3 Month + 6.46%, 6.20% Floor) |
|
|
11.86 |
% (a) |
|
07/15/2034 |
|
|
1,895,767 |
|
1,875,000 |
|
Carlyle Global Market Strategies Ltd., Series 2020-2A-DR (Secured Overnight Financing Rate 3 Month + 6.96%, 6.70% Floor) |
|
|
12.34 |
% (a) |
|
01/25/2035 |
|
|
1,847,402 |
|
1,000,000 |
|
Carlyle Global Market Strategies Ltd., Series 2021-1A-D (Secured Overnight Financing Rate 3 Month + 6.26%, 6.00% Floor) |
|
|
11.66 |
% (a) |
|
04/15/2034 |
|
|
983,159 |
|
3,800,000 |
|
Catskill Park Ltd., Series 2017-1A-D (Secured Overnight Financing Rate 3 Month + 6.26%) |
|
|
11.68 |
% (a) |
|
04/20/2029 |
|
|
3,623,394 |
|
2,000,000 |
|
CIFC Funding Ltd., Series 2013-1A-DR (Secured Overnight Financing Rate 3 Month + 6.91%) |
|
|
12.31 |
% (a) |
|
07/16/2030 |
|
|
1,925,019 |
|
3,350,000 |
|
CIFC Funding Ltd., Series 2013-3RA-D (Secured Overnight Financing Rate 3 Month + 6.16%, 5.90% Floor) |
|
|
11.56 |
% (a) |
|
04/24/2031 |
|
|
3,162,435 |
|
1,750,000 |
|
CIFC Funding Ltd., Series 2017-5A-D (Secured Overnight Financing Rate 3 Month + 6.36%) |
|
|
11.76 |
% (a) |
|
11/16/2030 |
|
|
1,677,670 |
|
4,650,000 |
|
CIFC Funding Ltd., Series 2019-3A-DR (Secured Overnight Financing Rate 3 Month + 7.06%, 6.80% Floor) |
|
|
12.46 |
% (a) |
|
10/16/2034 |
|
|
4,675,090 |
|
2,000,000 |
|
CIFC Funding Ltd., Series 2020-1A-ER (Secured Overnight Financing Rate 3 Month + 6.51%, 6.51% Floor) |
|
|
11.91 |
% (a) |
|
07/15/2036 |
|
|
1,979,749 |
|
1,500,000 |
|
CIFC Funding Ltd., Series 2020-4A-E (Secured Overnight Financing Rate 3 Month + 7.11%, 7.11% Floor) |
|
|
12.51 |
% (a) |
|
01/15/2034 |
|
|
1,508,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
500,000 |
|
CIFC Funding Ltd., Series 2021-4A-E (Secured Overnight Financing Rate 3 Month + 6.26%, 6.00% Floor) |
|
|
11.66 |
% (a) |
|
07/15/2033 |
|
|
491,330 |
|
1,000,000 |
|
Dryden Ltd., Series 2020-77A-ER (Secured Overnight Financing Rate 3 Month + 6.13%, 6.13% Floor) |
|
|
11.50 |
% (a) |
|
05/20/2034 |
|
|
923,442 |
|
2,500,000 |
|
Dryden Ltd., Series 2021-87A-E (Secured Overnight Financing Rate 3 Month + 6.41%, 6.15% Floor) |
|
|
11.78 |
% (a) |
|
05/20/2034 |
|
|
2,368,197 |
|
2,000,000 |
|
Dryden Senior Loan Fund, Series 2017-54A-E (Secured Overnight Financing Rate 3 Month + 6.46%) |
|
|
11.86 |
% (a) |
|
10/19/2029 |
|
|
1,816,082 |
|
2,000,000 |
|
Highbridge Loan Management Ltd., Series 13A-18-E (Secured Overnight Financing Rate 3 Month + 5.76%, 5.50% Floor) |
|
|
11.16 |
% (a) |
|
10/15/2030 |
|
|
1,877,886 |
|
1,550,000 |
|
Highbridge Loan Management Ltd., Series 2013-2A-CR (Secured Overnight Financing Rate 3 Month + 3.16%) |
|
|
8.58 |
% (a) |
|
10/20/2029 |
|
|
1,524,987 |
|
1,000,000 |
|
Highbridge Loan Management Ltd., Series 6A-2015-DR (Secured Overnight Financing Rate 3 Month + 5.36%) |
|
|
10.75 |
% (a) |
|
02/05/2031 |
|
|
934,443 |
|
2,500,000 |
|
Madison Park Funding Ltd., Series 2020-45A-ER (Secured Overnight Financing Rate 3 Month + 6.61%, 6.35% Floor) |
|
|
12.01 |
% (a) |
|
07/15/2034 |
|
|
2,509,706 |
|
2,000,000 |
|
Madison Park Funding Ltd., Series 2021-38A-E (Secured Overnight Financing Rate 3 Month + 6.26%, 6.26% Floor) |
|
|
11.66 |
% (a) |
|
07/17/2034 |
|
|
1,955,911 |
|
500,000 |
|
Magnetite Ltd., Series 2020-26A-ER (Secured Overnight Financing Rate 3 Month + 6.21%, 5.95% Floor) |
|
|
11.59 |
% (a) |
|
07/25/2034 |
|
|
490,957 |
|
1,000,000 |
|
Magnetite Ltd., Series 2020-28A-ER (Secured Overnight Financing Rate 3 Month + 6.41%, 6.15% Floor) |
|
|
11.83 |
% (a) |
|
01/20/2035 |
|
|
994,030 |
|
2,500,000 |
|
Marble Point Ltd., Series 2018-1A-D (Secured Overnight Financing Rate 3 Month + 3.26%) |
|
|
8.66 |
% (a) |
|
07/16/2031 |
|
|
2,242,408 |
|
4,000,000 |
|
Milos Ltd., Series 2017-1A-ER (Secured Overnight Financing Rate 3 Month + 6.41%, 6.15% Floor) |
|
|
11.83 |
% (a) |
|
10/20/2030 |
|
|
3,832,179 |
|
2,500,000 |
|
Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (Secured Overnight Financing Rate 3 Month + 6.51%, 6.25% Floor) |
|
|
11.91 |
% (a) |
|
04/15/2034 |
|
|
2,433,266 |
|
7,000,000 |
|
Neuberger Berman Loan Advisers Ltd., Series 2019-34A-ER (Secured Overnight Financing Rate 3 Month + 6.50%, 6.50% Floor) |
|
|
11.92 |
% (a) |
|
01/20/2035 |
|
|
6,831,966 |
|
500,000 |
|
Neuberger Berman Loan Advisers Ltd., Series 2020-38A-DR (Secured Overnight Financing Rate 3 Month + 3.26%, 3.00% Floor) |
|
|
8.68 |
% (a) |
|
10/20/2035 |
|
|
488,680 |
|
3,000,000 |
|
Neuberger Berman Loan Advisers Ltd., Series 2020-38A-ER (Secured Overnight Financing Rate 3 Month + 6.51%, 6.25% Floor) |
|
|
11.93 |
% (a) |
|
10/20/2035 |
|
|
2,992,759 |
|
1,000,000 |
|
Octagon Investment Partners Ltd., Series 2014-1A-ERR (Secured Overnight Financing Rate 3 Month + 6.26%, 6.00% Floor) |
|
|
11.63 |
% (a) |
|
11/18/2031 |
|
|
895,553 |
|
750,000 |
|
Octagon Investment Partners Ltd., Series 2019-1A-E (Secured Overnight Financing Rate 3 Month + 6.86%, 6.60% Floor) |
|
|
12.24 |
% (a) |
|
10/25/2032 |
|
|
736,460 |
|
1,500,000 |
|
Octagon Investment Partners Ltd., Series 2019-1A-ER (Secured Overnight Financing Rate 3 Month + 7.26%, 7.00% Floor) |
|
|
12.68 |
% (a) |
|
01/20/2035 |
|
|
1,376,576 |
|
5,000,000 |
|
Octagon Investment Partners Ltd., Series 2019-1A-INC |
|
|
0.00 |
% (a)(b)(c)(d) |
|
10/25/2032 |
|
|
2,190,500 |
|
500,000 |
|
Octagon Investment Partners Ltd., Series 2019-4A-E (Secured Overnight Financing Rate 3 Month + 7.06%, 6.80% Floor) |
|
|
12.43 |
% (a) |
|
05/12/2031 |
|
|
480,707 |
|
1,000,000 |
|
Octagon Investment Partners Ltd., Series 2020-2A-ER (Secured Overnight Financing Rate 3 Month + 6.86%, 6.60% Floor) |
|
|
12.26 |
% (a) |
|
07/15/2036 |
|
|
896,319 |
|
4,000,000 |
|
Octagon Investment Partners Ltd., Series 2021-1A-E (Secured Overnight Financing Rate 3 Month + 6.76%, 6.50% Floor) |
|
|
12.16 |
% (a) |
|
04/15/2034 |
|
|
3,699,084 |
|
3,000,000 |
|
OHA Credit Funding Ltd., Series 2019-3A-ER (Secured Overnight Financing Rate 3 Month + 6.51%, 6.25% Floor) |
|
|
11.93 |
% (a) |
|
07/02/2035 |
|
|
3,030,613 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
500,000 |
|
Point Au Roche Park Ltd., Series 2021-1A-E (Secured Overnight Financing Rate 3 Month + 6.36%, 6.10% Floor) |
|
|
11.78 |
% (a) |
|
07/20/2034 |
|
|
474,681 |
|
1,000,000 |
|
Reese Park Ltd., Series 2020-1A-ER (Secured Overnight Financing Rate 3 Month + 6.76%, 6.76% Floor) |
|
|
12.16 |
% (a) |
|
10/15/2034 |
|
|
978,244 |
|
5,000,000 |
|
RR Ltd., Series 2017-2A-DR (Secured Overnight Financing Rate 3 Month + 6.06%, 5.80% Floor) |
|
|
11.46 |
% (a) |
|
04/15/2036 |
|
|
4,780,878 |
|
1,000,000 |
|
RR Ltd., Series 2019-6A-DR (Secured Overnight Financing Rate 3 Month + 6.11%, 5.85% Floor) |
|
|
11.51 |
% (a) |
|
04/15/2036 |
|
|
934,088 |
|
3,000,000 |
|
Sound Point Ltd., Series 2020-1A-ER (Secured Overnight Financing Rate 3 Month + 7.12%, 7.12% Floor) |
|
|
12.54 |
% (a) |
|
07/20/2034 |
|
|
2,694,940 |
|
4,000,000 |
|
Sound Point Ltd., Series 2020-2A-ER (Secured Overnight Financing Rate 3 Month + 6.82%, 6.56% Floor) |
|
|
12.20 |
% (a) |
|
10/25/2034 |
|
|
3,544,959 |
|
7,000,000 |
|
Sound Point Ltd., Series 2021-2A-E (Secured Overnight Financing Rate 3 Month + 6.62%, 6.36% Floor) |
|
|
12.00 |
% (a) |
|
07/25/2034 |
|
|
6,324,618 |
|
2,000,000 |
|
Sound Point Ltd., Series 2021-3A-E (Secured Overnight Financing Rate 3 Month + 6.87%, 6.61% Floor) |
|
|
12.25 |
% (a) |
|
10/25/2034 |
|
|
1,651,490 |
|
7,000,000 |
|
Sound Point Ltd., Series 2021-4A-E (Secured Overnight Financing Rate 3 Month + 6.96%, 6.96% Floor) |
|
|
12.34 |
% (a) |
|
10/25/2034 |
|
|
5,751,666 |
|
2,500,000 |
|
THL Credit Wind River Ltd., Series 2017-3A-ER (Secured Overnight Financing Rate 3 Month + 7.31%, 7.05% Floor) |
|
|
12.71 |
% (a) |
|
04/15/2035 |
|
|
2,332,817 |
|
1,000,000 |
|
THL Credit Wind River Ltd., Series 2018-1A-E (Secured Overnight Financing Rate 3 Month + 5.76%) |
|
|
11.16 |
% (a) |
|
07/15/2030 |
|
|
925,298 |
|
1,000,000 |
|
THL Credit Wind River Ltd., Series 2018-2A-E (Secured Overnight Financing Rate 3 Month + 6.01%) |
|
|
11.41 |
% (a) |
|
07/15/2030 |
|
|
914,491 |
|
2,000,000 |
|
Thompson Park Ltd., Series 2021-1A-E (Secured Overnight Financing Rate 3 Month + 6.57%, 6.57% Floor) |
|
|
11.97 |
% (a) |
|
04/15/2034 |
|
|
1,997,066 |
|
3,000,000 |
|
Trimaran CAVU LLC, Series 2019-1A-D (Secured Overnight Financing Rate 3 Month + 4.41%, 4.15% Floor) |
|
|
9.83 |
% (a) |
|
07/20/2032 |
|
|
2,985,171 |
|
2,000,000 |
|
Voya Ltd., Series 2013-3A-DR (Secured Overnight Financing Rate 3 Month + 6.16%, 5.90% Floor) |
|
|
11.56 |
% (a) |
|
10/18/2031 |
|
|
1,836,268 |
|
1,350,000 |
|
Voya Ltd., Series 2017-2A-D (Secured Overnight Financing Rate 3 Month + 6.28%) |
|
|
11.68 |
% (a) |
|
06/07/2030 |
|
|
1,242,384 |
|
2,700,000 |
|
Voya Ltd., Series 2018-1A-D (Secured Overnight Financing Rate 3 Month + 5.46%) |
|
|
10.86 |
% (a) |
|
04/19/2031 |
|
|
2,421,905 |
|
2,000,000 |
|
Voya Ltd., Series 2018-4A-E (Secured Overnight Financing Rate 3 Month + 6.56%, 6.30% Floor) |
|
|
11.96 |
% (a) |
|
01/15/2032 |
|
|
1,919,847 |
|
1,000,000 |
|
Webster Park Ltd., Series 2015-1A-DR (Secured Overnight Financing Rate 3 Month + 5.76%, 5.50% Floor) |
|
|
11.18 |
% (a) |
|
07/20/2030 |
|
|
939,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Loan Obligations (Cost $144,261,253) |
|
|
|
|
|
138,530,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Corporate Bonds - 14.8% |
|
1,600,000 |
|
ABM Investama Tbk PT |
|
|
9.50 |
% (a) |
|
08/05/2026 |
|
|
1,532,609 |
|
1,200,000 |
|
Adani Electricity Mumbai Ltd. |
|
|
3.87 |
% |
|
07/22/2031 |
|
|
933,312 |
|
710,000 |
|
Adani International Container Terminal Private Ltd. |
|
|
3.00 |
% |
|
02/16/2031 |
|
|
582,811 |
|
500,000 |
|
Adani Ports & Special Economic Zone Ltd. |
|
|
3.10 |
% |
|
02/02/2031 |
|
|
381,990 |
|
3,900,000 |
|
Adani Ports & Special Economic Zone Ltd. |
|
|
5.00 |
% |
|
08/02/2041 |
|
|
2,884,653 |
|
2,590,500 |
|
Adani Transmission Step-One Ltd. |
|
|
4.25 |
% |
|
05/21/2036 |
|
|
2,090,715 |
|
800,000 |
|
AES Andes S.A. (5 Year CMT Rate + 4.92%) |
|
|
6.35 |
% |
|
10/07/2079 |
|
|
753,404 |
|
700,000 |
|
AES Andes S.A. (5 Year Swap Rate USD + 4.64%) |
|
|
7.13 |
% |
|
03/26/2079 |
|
|
673,130 |
|
1,000,000 |
|
AI Candelaria Spain S.A. |
|
|
5.75 |
% (a) |
|
06/15/2033 |
|
|
776,440 |
|
4,344,000 |
|
AI Candelaria Spain S.A. |
|
|
5.75 |
% |
|
06/15/2033 |
|
|
3,372,855 |
|
300,000 |
|
Alibaba Group Holding Ltd. |
|
|
3.25 |
% |
|
02/09/2061 |
|
|
188,905 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
470,827 |
|
Alpha Holdings S.A. de C.V. |
|
|
10.00 |
% (b)(f) |
|
12/19/2024 |
|
|
7,062 |
|
2,356,827 |
|
Alpha Holdings S.A. de C.V. |
|
|
9.00 |
% (b)(f) |
|
02/10/2025 |
|
|
35,352 |
|
942,731 |
|
Alpha Holdings S.A. de C.V. |
|
|
9.00 |
% (a)(b)(f) |
|
02/10/2025 |
|
|
14,141 |
|
4,000,000 |
|
Altice France Holding S.A. |
|
|
6.00 |
% (a) |
|
02/15/2028 |
|
|
1,924,817 |
|
1,700,000 |
|
ARD Finance S.A. (7.25% PIK) |
|
|
6.50 |
% (a) |
|
06/30/2027 |
|
|
796,084 |
|
3,150,000 |
|
Aris Mining Corporation |
|
|
6.88 |
% |
|
08/09/2026 |
|
|
2,738,878 |
|
700,000 |
|
Braskem Idesa SAPI |
|
|
7.45 |
% |
|
11/15/2029 |
|
|
440,699 |
|
3,200,000 |
|
Braskem Idesa SAPI |
|
|
6.99 |
% (a) |
|
02/20/2032 |
|
|
1,876,275 |
|
200,000 |
|
Braskem Netherlands Finance B.V. |
|
|
8.50 |
% |
|
01/12/2031 |
|
|
186,250 |
|
2,400,000 |
|
Braskem Netherlands Finance B.V. |
|
|
5.88 |
% |
|
01/31/2050 |
|
|
1,665,801 |
|
4,500,000 |
|
BRF S.A. |
|
|
5.75 |
% |
|
09/21/2050 |
|
|
3,366,661 |
|
2,600,000 |
|
Camposol S.A. |
|
|
6.00 |
% |
|
02/03/2027 |
|
|
1,812,348 |
|
3,300,000 |
|
Canacol Energy Ltd. |
|
|
5.75 |
% |
|
11/24/2028 |
|
|
2,409,781 |
|
2,450,000 |
|
CAP S.A. |
|
|
3.90 |
% |
|
04/27/2031 |
|
|
1,908,550 |
|
1,500,000 |
|
CEMEX, S.A.B de C.V. (5 Year CMT Rate + 4.53%) |
|
|
5.13 |
% (g) |
|
06/08/2026 |
|
|
1,423,772 |
|
2,000,000 |
|
Connect Finco LLC |
|
|
6.75 |
% (a) |
|
10/01/2026 |
|
|
1,989,770 |
|
3,200,000 |
|
Coruripe Netherlands B.V. |
|
|
10.00 |
% |
|
02/10/2027 |
|
|
2,460,000 |
|
200,000 |
|
Cosan Overseas Ltd. |
|
|
8.25 |
% (g) |
|
02/05/2024 |
|
|
199,453 |
|
4,600,000 |
|
Credito Real S.A.B. de C.V. |
|
|
9.50 |
% (f) |
|
02/07/2026 |
|
|
517,500 |
|
800,000 |
|
CSN Resources S.A. |
|
|
4.63 |
% |
|
06/10/2031 |
|
|
654,885 |
|
200,000 |
|
CT Trust |
|
|
5.13 |
% |
|
02/03/2032 |
|
|
175,011 |
|
725,000 |
|
eG Global Finance PLC |
|
|
12.00 |
% (a) |
|
11/30/2028 |
|
|
772,730 |
|
3,700,000 |
|
Empresas Publicas de Medellin ESP |
|
|
4.38 |
% |
|
02/15/2031 |
|
|
3,030,409 |
|
182,000 |
|
Fideicomiso P.A. Pacifico Tres |
|
|
8.25 |
% |
|
01/15/2035 |
|
|
173,696 |
|
3,000,000 |
|
Frigorifico Concepcion S.A. |
|
|
7.70 |
% (a) |
|
07/21/2028 |
|
|
2,542,575 |
|
1,450,000 |
|
Frigorifico Concepcion S.A. |
|
|
7.70 |
% |
|
07/21/2028 |
|
|
1,228,911 |
|
8,000,000 |
|
Garda World Security Corporation |
|
|
9.50 |
% (a) |
|
11/01/2027 |
|
|
8,074,272 |
|
3,861,000 |
|
Gran Tierra Energy, Inc. |
|
|
9.50 |
% (a) |
|
10/15/2029 |
|
|
3,393,568 |
|
2,150,000 |
|
IAMGOLD Corporation |
|
|
5.75 |
% |
|
10/15/2028 |
|
|
1,851,928 |
|
1,200,000 |
|
JBS USA Luxembourg S.A. |
|
|
4.38 |
% |
|
02/02/2052 |
|
|
894,515 |
|
2,660,000 |
|
Kawasan Industri Jababeka Tbk PT |
|
|
7.50 |
% (a)(h) |
|
12/15/2027 |
|
|
2,207,800 |
|
600,000 |
|
Kosmos Energy Ltd. |
|
|
7.50 |
% |
|
03/01/2028 |
|
|
546,885 |
|
3,530,000 |
|
Kronos Acquisition Holdings, Inc. |
|
|
7.00 |
% (a) |
|
12/31/2027 |
|
|
3,374,998 |
|
900,000 |
|
MARB BondCo PLC |
|
|
3.95 |
% |
|
01/29/2031 |
|
|
731,632 |
|
5,266,071 |
|
MC Brazil Downstream Trading SARL |
|
|
7.25 |
% |
|
06/30/2031 |
|
|
4,133,550 |
|
1,400,000 |
|
Metinvest B.V. |
|
|
7.75 |
% |
|
10/17/2029 |
|
|
858,025 |
|
2,675,000 |
|
Mexarrend SAPI de C.V. |
|
|
10.25 |
% (f) |
|
07/24/2024 |
|
|
595,856 |
|
700,000 |
|
Millicom International Cellular S.A. |
|
|
4.50 |
% |
|
04/27/2031 |
|
|
582,752 |
|
4,500,000 |
|
Minejesa Capital B.V. |
|
|
5.63 |
% |
|
08/10/2037 |
|
|
3,953,880 |
|
4,750,000 |
|
Oi S.A. |
|
|
10.00 |
% (f) |
|
07/27/2025 |
|
|
237,500 |
|
324,062 |
|
Oi S.A. (6.00% PIK) |
|
|
14.00 |
% (a) |
|
09/07/2024 |
|
|
324,062 |
|
117,816 |
|
Oi S.A. (6.00% PIK) |
|
|
14.00 |
% (a)(b) |
|
09/07/2024 |
|
|
117,816 |
|
745,000 |
|
Ontario Gaming GTA LP |
|
|
8.00 |
% (a) |
|
08/01/2030 |
|
|
768,818 |
|
3,302,000 |
|
Operadora de Servicios Mega S.A. de C.V. |
|
|
8.25 |
% |
|
02/11/2025 |
|
|
1,737,677 |
|
438,000 |
|
Operadora de Servicios Mega S.A. de C.V. |
|
|
8.25 |
% (a) |
|
02/11/2025 |
|
|
230,497 |
|
2,800,000 |
|
Prime Energia S.p.A. |
|
|
5.38 |
% |
|
12/30/2030 |
|
|
2,189,973 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
2,400,000 |
|
RKP Overseas Finance Ltd. |
|
|
7.95 |
% (g) |
|
02/17/2024 |
|
|
469,560 |
|
2,900,000 |
|
Ronshine China Holdings Ltd. |
|
|
6.75 |
% (f) |
|
08/05/2024 |
|
|
68,150 |
|
2,000,000 |
|
Ronshine China Holdings Ltd. |
|
|
7.35 |
% (f) |
|
12/15/2024 |
|
|
46,500 |
|
2,100,000 |
|
Sasol Financing USA LLC |
|
|
5.50 |
% |
|
03/18/2031 |
|
|
1,771,054 |
|
530,000 |
|
Seaspan Corporation |
|
|
5.50 |
% (a) |
|
08/01/2029 |
|
|
443,848 |
|
1,500,000 |
|
SierraCol Energy Andina LLC |
|
|
6.00 |
% |
|
06/15/2028 |
|
|
1,263,660 |
|
3,600,000 |
|
SierraCol Energy Andina LLC |
|
|
6.00 |
% (a) |
|
06/15/2028 |
|
|
3,032,784 |
|
1,800,000 |
|
Simpar Europe S.A. |
|
|
5.20 |
% |
|
01/26/2031 |
|
|
1,561,185 |
|
1,085,000 |
|
Telesat LLC |
|
|
5.63 |
% (a) |
|
12/06/2026 |
|
|
666,424 |
|
1,816,000 |
|
Tervita Corporation |
|
|
11.00 |
% (a) |
|
12/01/2025 |
|
|
1,914,999 |
|
971,000 |
|
Thaioil Treasury Center Company Ltd. |
|
|
3.75 |
% |
|
06/18/2050 |
|
|
685,073 |
|
3,600,000 |
|
TK Elevator Holdco GmbH |
|
|
7.63 |
% (a) |
|
07/15/2028 |
|
|
3,540,568 |
|
2,300,000 |
|
Tullow Oil PLC |
|
|
10.25 |
% (a) |
|
05/15/2026 |
|
|
2,054,590 |
|
2,817,361 |
|
UEP Penonome S.A. |
|
|
6.50 |
% (a) |
|
10/01/2038 |
|
|
2,149,143 |
|
2,750,000 |
|
Unigel Luxembourg S.A. |
|
|
8.75 |
% (f) |
|
10/01/2026 |
|
|
756,278 |
|
4,200,000 |
|
UPL Corporation Ltd. (5 Year CMT Rate + 3.87%) |
|
|
5.25 |
% (g) |
|
02/27/2025 |
|
|
3,192,000 |
|
700,000 |
|
Vedanta Resources Finance PLC |
|
|
9.25 |
% |
|
04/23/2026 |
|
|
429,988 |
|
3,700,000 |
|
Vedanta Resources Ltd. |
|
|
6.13 |
% |
|
08/09/2024 |
|
|
2,463,845 |
|
300,000 |
|
VTR Comunicaciones SpA |
|
|
4.38 |
% |
|
04/15/2029 |
|
|
150,256 |
|
500,000 |
|
VTR Finance NV |
|
|
6.38 |
% |
|
07/15/2028 |
|
|
130,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Corporate Bonds (Cost $142,812,700) |
|
|
|
|
|
112,119,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored
Corporations - 5.1% |
|
1,000,000 |
|
Brazilian Government International Bond |
|
|
4.75 |
% |
|
01/14/2050 |
|
|
772,622 |
|
600,000 |
|
Colombia Government International Bond |
|
|
4.13 |
% |
|
02/22/2042 |
|
|
430,767 |
|
5,100,000 |
|
Colombia Government International Bond |
|
|
5.00 |
% |
|
06/15/2045 |
|
|
3,974,762 |
|
1,100,000 |
|
Comision Federal de Electricidad |
|
|
4.68 |
% |
|
02/09/2051 |
|
|
784,331 |
|
600,000 |
|
Dominican Republic International Bond |
|
|
5.30 |
% |
|
01/21/2041 |
|
|
520,500 |
|
1,400,000 |
|
Dominican Republic International Bond |
|
|
5.30 |
% (a) |
|
01/21/2041 |
|
|
1,214,500 |
|
2,500,000 |
|
Dominican Republic International Bond |
|
|
6.40 |
% |
|
06/05/2049 |
|
|
2,362,500 |
|
2,365,000 |
|
Ecopetrol S.A. |
|
|
5.88 |
% |
|
05/28/2045 |
|
|
1,870,750 |
|
3,150,000 |
|
Ecopetrol S.A. |
|
|
5.88 |
% |
|
11/02/2051 |
|
|
2,386,865 |
|
2,600,000 |
|
Mexico City Airport Trust |
|
|
5.50 |
% |
|
07/31/2047 |
|
|
2,247,271 |
|
4,900,000 |
|
Mexico Government International Bond |
|
|
4.40 |
% |
|
02/12/2052 |
|
|
3,893,242 |
|
4,850,000 |
|
OCP S.A. |
|
|
5.13 |
% |
|
06/23/2051 |
|
|
3,694,143 |
|
900,000 |
|
Panama Government International Bond |
|
|
3.87 |
% |
|
07/23/2060 |
|
|
541,284 |
|
150,000 |
|
Petrobras Global Finance B.V. |
|
|
5.50 |
% |
|
06/10/2051 |
|
|
126,595 |
|
5,700,000 |
|
Petroleos del Peru S.A. |
|
|
5.63 |
% |
|
06/19/2047 |
|
|
3,516,758 |
|
3,700,000 |
|
Petroleos Mexicanos |
|
|
6.38 |
% |
|
01/23/2045 |
|
|
2,414,969 |
|
1,800,000 |
|
Petroleos Mexicanos |
|
|
6.75 |
% |
|
09/21/2047 |
|
|
1,180,037 |
|
4,000,000 |
|
Republic of South Africa Government Bond |
|
|
5.65 |
% |
|
09/27/2047 |
|
|
3,209,800 |
|
850,000 |
|
Ukraine Government International Bond |
|
|
9.75 |
% (f) |
|
11/01/2030 |
|
|
246,500 |
|
3,000,000 |
|
Ukraine Government International Bond |
|
|
7.25 |
% (f) |
|
03/15/2035 |
|
|
729,513 |
|
3,600,000 |
|
YPF S.A. |
|
|
7.00 |
% |
|
12/15/2047 |
|
|
2,723,316 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored
Corporations (Cost $46,911,478) |
|
|
|
|
|
38,841,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
|
Non-Agency Commercial Mortgage Backed Obligations - 25.0% |
|
7,500,000 |
|
Alen Mortgage Trust, Series 2021-ACEN-F (Secured Overnight Financing Rate 1 Month + 5.11%, 5.00% Floor) |
|
|
10.48 |
% (a) |
|
04/15/2034 |
|
|
3,046,751 |
|
4,375,000 |
|
AREIT LLC, Series 2023-CRE8-C (Secured Overnight Financing Rate 1 Month + 4.02%, 4.02% Floor) |
|
|
9.38 |
% (a) |
|
08/17/2041 |
|
|
4,374,046 |
|
18,317,000 |
|
BANK, Series 2018-BN12-XE |
|
|
1.50 |
% (a)(d)(i) |
|
05/15/2061 |
|
|
964,646 |
|
6,978,000 |
|
BANK, Series 2018-BN12-XF |
|
|
1.50 |
% (a)(d)(i) |
|
05/15/2061 |
|
|
360,128 |
|
20,061,456 |
|
BANK, Series 2018-BN12-XG |
|
|
1.50 |
% (a)(d)(i) |
|
05/15/2061 |
|
|
966,601 |
|
18,522,000 |
|
BANK, Series 2019-BN16-XF |
|
|
1.14 |
% (a)(d)(i) |
|
02/15/2052 |
|
|
868,145 |
|
9,261,000 |
|
BANK, Series 2019-BN16-XG |
|
|
1.14 |
% (a)(d)(i) |
|
02/15/2052 |
|
|
429,053 |
|
4,631,000 |
|
BANK, Series 2019-BN16-XH |
|
|
1.14 |
% (a)(d)(i) |
|
02/15/2052 |
|
|
209,386 |
|
6,366,937 |
|
BANK, Series 2019-BN16-XJ |
|
|
1.14 |
% (a)(d)(i) |
|
02/15/2052 |
|
|
267,997 |
|
21,359,000 |
|
BANK, Series 2022-BNK43-XD |
|
|
2.23 |
% (a)(d)(i) |
|
08/15/2055 |
|
|
2,981,631 |
|
220,048,506 |
|
BANK, Series 2023-5YR1-XA |
|
|
0.27 |
% (d)(i) |
|
04/15/2056 |
|
|
2,521,976 |
|
78,081,421 |
|
BANK, Series 2023-BNK46-XA |
|
|
0.62 |
% (d)(i) |
|
08/15/2056 |
|
|
3,171,277 |
|
92,932,411 |
|
BANK5, Series 2023-5YR3-XA |
|
|
0.79 |
% (d)(i) |
|
09/15/2056 |
|
|
2,989,515 |
|
73,867,000 |
|
BANK5, Series 2023-5YR4-XA |
|
|
1.20 |
% (d)(i) |
|
12/15/2056 |
|
|
2,996,053 |
|
3,000,000 |
|
BBCMS Mortgage Trust, Series 2020-C7-D |
|
|
3.60 |
% (a)(d) |
|
04/15/2053 |
|
|
1,267,246 |
|
3,150,000 |
|
BDS Ltd., Series 2021-FL8-C (Secured Overnight Financing Rate 1 Month + 1.66%, 1.55% Floor) |
|
|
7.02 |
% (a) |
|
01/18/2036 |
|
|
3,054,794 |
|
2,384,000 |
|
BDS Ltd., Series 2021-FL8-E (Secured Overnight Financing Rate 1 Month + 2.36%, 2.25% Floor) |
|
|
7.72 |
% (a) |
|
01/18/2036 |
|
|
2,295,723 |
|
6,000,000 |
|
Beast Mortgage Trust, Series 2021-1818-G (Secured Overnight Financing Rate 1 Month + 6.11%, 6.25% Floor) |
|
|
11.48 |
% (a) |
|
03/15/2036 |
|
|
3,124,687 |
|
7,464,000 |
|
Benchmark Mortgage Trust, Series 2018-B4-D |
|
|
2.75 |
% (a)(d) |
|
07/15/2051 |
|
|
4,859,563 |
|
12,324,000 |
|
Benchmark Mortgage Trust, Series 2021-B26-XF |
|
|
1.50 |
% (a)(d)(i) |
|
06/15/2054 |
|
|
980,202 |
|
134,089,480 |
|
BMO Mortgage Trust, Series 2023-5C1-XA |
|
|
0.58 |
% (d)(i) |
|
08/15/2056 |
|
|
3,240,178 |
|
4,738,531 |
|
BSREP Commercial Mortgage Trust, Series 2021-DC-G (Secured Overnight Financing Rate 1 Month + 3.96%, 3.85% Floor) |
|
|
9.33 |
% (a) |
|
08/15/2038 |
|
|
2,740,959 |
|
1,880,000 |
|
BX Commercial Mortgage Trust, Series 2019-IMC-G (Secured Overnight Financing Rate 1 Month + 3.65%, 3.60% Floor) |
|
|
9.01 |
% (a) |
|
04/15/2034 |
|
|
1,842,341 |
|
3,500,000 |
|
BX Trust, Series 2021-VIEW-F (Secured Overnight Financing Rate 1 Month + 4.04%, 3.93% Floor) |
|
|
9.41 |
% (a) |
|
06/15/2036 |
|
|
3,134,484 |
|
2,500,000 |
|
BX Trust, Series 2021-VIEW-G (Secured Overnight Financing Rate 1 Month + 5.04%, 4.93% Floor) |
|
|
10.41 |
% (a) |
|
06/15/2036 |
|
|
2,210,716 |
|
4,428,842 |
|
BX Trust, Series 2022-PSB-E (Secured Overnight Financing Rate 1 Month + 6.34%, 6.34% Floor) |
|
|
11.70 |
% (a) |
|
08/15/2039 |
|
|
4,412,074 |
|
1,190,000 |
|
BXMT Ltd., Series 2020-FL3-AS (Secured Overnight Financing Rate 1 Month + 1.86%, 1.86% Floor) |
|
|
7.23 |
% (a) |
|
11/15/2037 |
|
|
1,126,965 |
|
3,000,000 |
|
CFCRE Commercial Mortgage Trust, Series 2016-C7-C |
|
|
4.37 |
% (d) |
|
12/10/2054 |
|
|
2,412,946 |
|
5,008,323 |
|
Citigroup Commercial Mortgage Trust, Series 2015-GC27-D |
|
|
4.42 |
% (a)(d) |
|
02/10/2048 |
|
|
4,200,587 |
|
70,785,136 |
|
CSAIL Commercial Mortgage Trust, Series 2017-CX9-XA |
|
|
0.61 |
% (d)(i) |
|
09/15/2050 |
|
|
855,297 |
|
2,500,000 |
|
CSAIL Commercial Mortgage Trust, Series 2020-C19-E |
|
|
2.50 |
% (a) |
|
03/15/2053 |
|
|
912,641 |
|
13,238,000 |
|
CSAIL Commercial Mortgage Trust, Series 2020-C19-XD |
|
|
1.11 |
% (a)(d)(i) |
|
03/15/2053 |
|
|
751,687 |
|
18,014,000 |
|
CSMC Trust, Series 2016-NXSR-XE |
|
|
1.00 |
% (a)(d)(i) |
|
12/15/2049 |
|
|
408,167 |
|
7,058,000 |
|
CSMC Trust, Series 2017-PFHP-F (Secured Overnight Financing Rate 1 Month + 4.54%, 4.49% Floor) |
|
|
9.90 |
% (a) |
|
12/15/2030 |
|
|
6,102,777 |
|
4,000,000 |
|
CSWF Trust, Series 2018-TOP-H (Secured Overnight Financing Rate 1 Month + 3.66%, 3.61% Floor) |
|
|
9.02 |
% (a) |
|
08/15/2035 |
|
|
3,608,912 |
|
4,622,000 |
|
DBJPM Mortgage Trust, Series 2016-C1-C |
|
|
3.32 |
% (d) |
|
05/10/2049 |
|
|
3,928,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
2,100,000 |
|
Del Amo Fashion Center Trust, Series 2017-AMO-C |
|
|
3.64 |
% (a)(d) |
|
06/05/2035 |
|
|
1,717,400 |
|
4,000,000 |
|
DOLP Trust, Series 2021-NYC-F |
|
|
3.70 |
% (a)(d) |
|
05/10/2041 |
|
|
2,000,580 |
|
4,000,000 |
|
DOLP Trust, Series 2021-NYC-G |
|
|
3.70 |
% (a)(d) |
|
05/10/2041 |
|
|
1,753,782 |
|
3,885,000 |
|
Great Wolf Trust, Series 2019-WOLF-D (Secured Overnight Financing Rate 1 Month + 2.05%, 1.93% Floor) |
|
|
7.61 |
% (a) |
|
12/15/2036 |
|
|
3,851,071 |
|
2,000,000 |
|
GS Mortgage Securities Corporation II, Series 2023-SHIP-D |
|
|
6.07 |
% (a)(d) |
|
09/10/2038 |
|
|
1,955,932 |
|
3,000,000 |
|
GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (Secured Overnight Financing Rate 1 Month + 5.11%, 5.00% Floor) |
|
|
10.48 |
% (a) |
|
11/15/2036 |
|
|
2,798,607 |
|
3,000,000 |
|
GS Mortgage Securities Corporation Trust, Series 2021-ARDN-H (Secured Overnight Financing Rate 1 Month + 6.05%, 5.93% Floor) |
|
|
11.41 |
% (a) |
|
11/15/2026 |
|
|
2,788,401 |
|
2,163,000 |
|
GS Mortgage Securities Corporation Trust, Series 2021-IP-F (Secured Overnight Financing Rate 1 Month + 4.66%, 4.55% Floor) |
|
|
10.03 |
% (a) |
|
10/15/2036 |
|
|
1,926,235 |
|
1,859,000 |
|
GS Mortgage Securities Trust, Series 2014-GC26-D |
|
|
4.60 |
% (a)(d) |
|
11/10/2047 |
|
|
1,330,389 |
|
2,149,788 |
|
GS Mortgage Securities Trust, Series 2015-GC28-D |
|
|
4.31 |
% (a)(d) |
|
02/10/2048 |
|
|
1,904,171 |
|
7,297,526 |
|
GS Mortgage Securities Trust, Series 2016-GS3-XA |
|
|
1.19 |
% (d)(i) |
|
10/10/2049 |
|
|
177,706 |
|
2,809,591 |
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-C1-AJ |
|
|
6.82 |
% (d) |
|
02/15/2051 |
|
|
2,676,860 |
|
4,000,000 |
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-G (Secured Overnight Financing Rate 1 Month + 4.10%, 4.05% Floor) |
|
|
9.46 |
% (a) |
|
07/15/2036 |
|
|
3,781,650 |
|
4,000,000 |
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-XG |
|
|
0.50 |
% (a)(d)(i) |
|
07/15/2036 |
|
|
10,917 |
|
25,856,142 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-XA |
|
|
0.58 |
% (d)(i) |
|
09/15/2047 |
|
|
60,403 |
|
3,998,000 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-D |
|
|
3.87 |
% (a)(d) |
|
01/15/2048 |
|
|
3,253,386 |
|
2,265,000 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D |
|
|
3.80 |
% (a)(d) |
|
02/15/2048 |
|
|
1,399,932 |
|
42,689,756 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA |
|
|
1.10 |
% (d)(i) |
|
11/15/2048 |
|
|
444,955 |
|
25,460,000 |
|
JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-XB |
|
|
0.43 |
% (d)(i) |
|
05/13/2053 |
|
|
570,513 |
|
10,244,000 |
|
JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-XD |
|
|
1.97 |
% (a)(d)(i) |
|
05/13/2053 |
|
|
934,526 |
|
1,294,000 |
|
LoanCore Issuer Ltd., Series 2019-CRE2-C (Secured Overnight Financing Rate 1 Month + 2.11%, 2.00% Floor) |
|
|
7.48 |
% (a) |
|
05/15/2036 |
|
|
1,259,397 |
|
5,000,000 |
|
LoanCore Issuer Ltd., Series 2021-CRE5-C (Secured Overnight Financing Rate 1 Month + 2.46%, 2.46% Floor) |
|
|
7.83 |
% (a) |
|
07/15/2036 |
|
|
4,732,690 |
|
1,750,000 |
|
LoanCore Issuer Ltd., Series 2021-CRE6-D (Secured Overnight Financing Rate 1 Month + 2.96%, 2.85% Floor) |
|
|
8.33 |
% (a) |
|
11/15/2038 |
|
|
1,513,085 |
|
4,976,118 |
|
Med Trust, Series 2021-MDLN-G (Secured Overnight Financing Rate 1 Month + 5.36%, 5.25% Floor) |
|
|
10.73 |
% (a) |
|
11/15/2038 |
|
|
4,780,299 |
|
600,000 |
|
MFT Trust, Series 2020-ABC-D |
|
|
3.48 |
% (a)(d) |
|
02/10/2042 |
|
|
251,698 |
|
3,200,000 |
|
MHC Commercial Mortgage Trust, Series 2021-MHC2-J (Secured Overnight Financing Rate 1 Month + 4.36%, 4.25% Floor) |
|
|
9.73 |
% (a) |
|
05/15/2038 |
|
|
3,037,938 |
|
2,000,000 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16-B |
|
|
4.35 |
% (d) |
|
06/15/2047 |
|
|
1,887,706 |
|
7,186,250 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21-C |
|
|
4.13 |
% (d) |
|
03/15/2048 |
|
|
5,535,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
5,000,000 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D |
|
|
3.24 |
% (a)(d) |
|
12/15/2047 |
|
|
3,465,070 |
|
3,675,000 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34-D |
|
|
2.70 |
% (a) |
|
11/15/2052 |
|
|
2,263,251 |
|
2,000,000 |
|
Morgan Stanley Capital Trust, Series 2018-H4-D |
|
|
3.00 |
% (a) |
|
12/15/2051 |
|
|
1,326,153 |
|
5,000,000 |
|
Morgan Stanley Capital Trust, Series 2019-PLND-G (Secured Overnight Financing Rate 1 Month + 3.76%, 3.65% Floor) |
|
|
9.13 |
% (a) |
|
05/15/2036 |
|
|
1,215,630 |
|
457,569,374 |
|
Morgan Stanley Capital Trust, Series 2022-L8-XA |
|
|
0.04 |
% (d)(i) |
|
04/15/2055 |
|
|
1,665,049 |
|
1,602,000 |
|
PFP Ltd., Series 2023-10-C (Secured Overnight Financing Rate 1 Month + 4.12%, 4.12% Floor) |
|
|
9.48 |
% (a) |
|
09/16/2038 |
|
|
1,609,662 |
|
6,957,936 |
|
SMR Mortgage Trust, Series 2022-IND-G (Secured Overnight Financing Rate 1 Month + 7.50%, 7.50% Floor) |
|
|
12.86 |
% (a) |
|
02/15/2039 |
|
|
5,834,765 |
|
6,434,798 |
|
TTAN, Series 2021-MHC-G (Secured Overnight Financing Rate 1 Month + 4.31%, 4.20% Floor) |
|
|
9.68 |
% (a) |
|
03/15/2038 |
|
|
6,186,625 |
|
5,000,000 |
|
UBS Commercial Mortgage Trust, Series 2017-C6-D |
|
|
2.50 |
% (a)(d) |
|
12/15/2050 |
|
|
3,154,475 |
|
2,500,000 |
|
UBS Commercial Mortgage Trust, Series 2018-C14-C |
|
|
5.21 |
% (d) |
|
12/15/2051 |
|
|
1,950,954 |
|
6,891,216 |
|
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-C |
|
|
3.75 |
% (a)(d) |
|
03/10/2046 |
|
|
5,390,222 |
|
3,125,930 |
|
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21-E |
|
|
4.97 |
% (a)(d) |
|
10/15/2044 |
|
|
1,784,509 |
|
2,000,000 |
|
Wells Fargo Commercial Mortgage Trust, Series 2016-C33-D |
|
|
3.12 |
% (a) |
|
03/15/2059 |
|
|
1,446,015 |
|
4,514,242 |
|
Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C |
|
|
5.06 |
% (d) |
|
06/15/2049 |
|
|
3,631,037 |
|
4,288,000 |
|
Wells Fargo Commercial Mortgage Trust, Series 2017-C41-B |
|
|
4.19 |
% (d) |
|
11/15/2050 |
|
|
3,709,769 |
|
3,200,000 |
|
Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D |
|
|
3.25 |
% (a) |
|
01/15/2060 |
|
|
2,331,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Agency Commercial Mortgage Backed Obligations (Cost
$229,487,135) |
|
|
|
|
|
188,918,944 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Residential Collateralized Mortgage Obligations - 19.3% |
|
9,159,927 |
|
ACE Securities Corporation Home Equity Loan Trust, Series 2006-HE4-A2B (Secured Overnight Financing Rate 1 Month + 0.33%, 0.22% Floor) |
|
|
5.69 |
% |
|
10/25/2036 |
|
|
3,389,396 |
|
10,000,000 |
|
AMSR Trust, Series 2020-SFR4-G2 |
|
|
4.87 |
% (a) |
|
11/17/2037 |
|
|
9,386,700 |
|
7,409,910 |
|
Connecticut Avenue Securities Trust, Series 2019-R05-1B1 (Secured Overnight Financing Rate 30 Day Average + 4.21%) |
|
|
9.55 |
% (a) |
|
07/25/2039 |
|
|
7,696,672 |
|
3,900,000 |
|
Connecticut Avenue Securities Trust, Series 2019-R07-1B1 (Secured Overnight Financing Rate 30 Day Average + 3.51%) |
|
|
8.85 |
% (a) |
|
10/25/2039 |
|
|
3,967,770 |
|
8,400,000 |
|
Connecticut Avenue Securities Trust, Series 2021-R02-2B2 (Secured Overnight Financing Rate 30 Day Average + 6.20%) |
|
|
11.54 |
% (a) |
|
11/25/2041 |
|
|
8,675,263 |
|
5,754,436 |
|
Countrywide Alternative Loan Trust, Series 2005-J12-2A1 (Secured Overnight Financing Rate 1 Month + 0.65%, 0.54% Floor, 11.00% Cap) |
|
|
6.01 |
% |
|
08/25/2035 |
|
|
2,944,348 |
|
10,000,000 |
|
Deephaven Residential Mortgage Trust, Series 2020-2-B3 |
|
|
5.79 |
% (a)(d) |
|
05/25/2065 |
|
|
8,969,465 |
|
9,250,000 |
|
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1-B2 (Secured Overnight Financing Rate 30 Day Average + 5.36%) |
|
|
10.70 |
% (a) |
|
01/25/2050 |
|
|
9,777,611 |
|
3,000,000 |
|
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2-B2 (Secured Overnight Financing Rate 30 Day Average + 4.91%) |
|
|
10.25 |
% (a) |
|
02/25/2050 |
|
|
3,116,122 |
|
6,000,000 |
|
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA6-B2 (Secured Overnight Financing Rate 30 Day Average + 5.65%) |
|
|
10.99 |
% (a) |
|
12/25/2050 |
|
|
6,493,748 |
|
1,200,000 |
|
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-HQA2-B1 (Secured Overnight Financing Rate 30 Day Average + 4.21%) |
|
|
9.55 |
% (a) |
|
03/25/2050 |
|
|
1,317,362 |
|
22,000,000 |
|
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-HQA2-B2 (Secured Overnight Financing Rate 30 Day Average + 7.71%) |
|
|
13.05 |
% (a) |
|
03/25/2050 |
|
|
24,700,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
9,750,000 |
|
Federal Home Loan Mortgage Corporation, STACR REMIC Trust, Series 2020-HQA5-B2 (Secured Overnight Financing Rate 30 Day Average + 7.40%) |
|
|
12.74 |
% (a) |
|
11/25/2050 |
|
|
10,962,495 |
|
1,500,000 |
|
GS Mortgage-Backed Securities Trust, Series 2020-NQM1-B2 |
|
|
6.62 |
% (a)(d) |
|
09/27/2060 |
|
|
1,514,860 |
|
8,000,000 |
|
Homeward Opportunities Fund Trust, Series 2020-2-B1 |
|
|
5.45 |
% (a)(d) |
|
05/25/2065 |
|
|
7,772,419 |
|
6,346,977 |
|
JP Morgan Alternative Loan Trust, Series 2007-A2-12A1 (Secured Overnight Financing Rate 1 Month + 0.51%, 0.40% Floor, 11.50% Cap) |
|
|
5.87 |
% |
|
06/25/2037 |
|
|
2,524,507 |
|
4,102,000 |
|
New Residential Mortgage Loan Trust, Series 2020-NQM2-B1 |
|
|
4.10 |
% (a)(d) |
|
05/24/2060 |
|
|
3,293,623 |
|
2,886,000 |
|
New Residential Mortgage Loan Trust, Series 2020-NQM2-B2 |
|
|
4.10 |
% (a)(d) |
|
05/24/2060 |
|
|
2,169,558 |
|
4,000,000 |
|
Progress Residential Trust, Series 2019-SFR3-G |
|
|
4.12 |
% (a) |
|
09/17/2036 |
|
|
3,889,402 |
|
4,382,400 |
|
TBW Mortgage Backed Pass Through Trust, Series 2007-2-A1A |
|
|
5.96 |
% (d) |
|
07/25/2037 |
|
|
1,348,292 |
|
2,500,000 |
|
Verus Securitization Trust, Series 2020-2-B1 |
|
|
5.36 |
% (a)(d) |
|
05/25/2060 |
|
|
2,368,894 |
|
5,000,000 |
|
Verus Securitization Trust, Series 2020-4-B2 |
|
|
5.60 |
% (a)(d) |
|
05/25/2065 |
|
|
4,437,751 |
|
1,235,000 |
|
Verus Securitization Trust, Series 2020-INV1-B1 |
|
|
5.75 |
% (a)(d) |
|
03/25/2060 |
|
|
1,164,200 |
|
3,300,000 |
|
Verus Securitization Trust, Series 2020-INV1-B2 |
|
|
6.00 |
% (a)(d) |
|
03/25/2060 |
|
|
3,051,947 |
|
9,222,000 |
|
Vista Point Securitization Trust, Series 2020-1-B2 |
|
|
5.38 |
% (a)(d) |
|
03/25/2065 |
|
|
8,562,639 |
|
3,396,000 |
|
Vista Point Securitization Trust, Series 2020-2-B2 |
|
|
5.16 |
% (a)(d) |
|
04/25/2065 |
|
|
2,821,554 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost
$147,015,326) |
|
|
|
|
|
146,317,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Corporate Bonds - 19.4% |
|
7,425,000 |
|
Allied Universal Holdco LLC |
|
|
9.75 |
% (a) |
|
07/15/2027 |
|
|
7,284,050 |
|
4,485,000 |
|
Artera Services LLC |
|
|
9.03 |
% (a) |
|
12/04/2025 |
|
|
4,246,959 |
|
1,975,000 |
|
ASP Unifrax Holdings, Inc. |
|
|
7.50 |
% (a) |
|
09/30/2029 |
|
|
1,007,309 |
|
3,580,000 |
|
Athenahealth Group, Inc. |
|
|
6.50 |
% (a) |
|
02/15/2030 |
|
|
3,252,475 |
|
1,710,000 |
|
Bausch & Lomb Escrow Corporation |
|
|
8.38 |
% (a) |
|
10/01/2028 |
|
|
1,806,085 |
|
2,485,000 |
|
BCPE Empire Holdings, Inc. |
|
|
7.63 |
% (a) |
|
05/01/2027 |
|
|
2,398,773 |
|
535,000 |
|
Boxer Parent Company, Inc. |
|
|
7.13 |
% (a) |
|
10/02/2025 |
|
|
538,440 |
|
1,500,000 |
|
Brand Industrial Services, Inc. |
|
|
10.38 |
% (a) |
|
08/01/2030 |
|
|
1,588,170 |
|
4,000,000 |
|
Caesars Entertainment, Inc. |
|
|
8.13 |
% (a) |
|
07/01/2027 |
|
|
4,103,136 |
|
595,000 |
|
Carnival Corporation |
|
|
7.63 |
% (a) |
|
03/01/2026 |
|
|
606,130 |
|
5,995,000 |
|
Castle US Holding Corporation |
|
|
9.50 |
% (a) |
|
02/15/2028 |
|
|
3,123,245 |
|
1,865,000 |
|
Clear Channel Outdoor Holdings, Inc. |
|
|
7.50 |
% (a) |
|
06/01/2029 |
|
|
1,552,473 |
|
2,335,000 |
|
Cobra AcquisitionCo LLC |
|
|
6.38 |
% (a) |
|
11/01/2029 |
|
|
1,802,503 |
|
690,000 |
|
Community Health Systems, Inc. |
|
|
10.88 |
% (a) |
|
01/15/2032 |
|
|
722,002 |
|
1,365,000 |
|
CSI Compressco LP |
|
|
7.50 |
% (a) |
|
04/01/2025 |
|
|
1,364,891 |
|
3,700,000 |
|
CVR Nitrogen Finance Corporation |
|
|
6.13 |
% (a) |
|
06/15/2028 |
|
|
3,456,151 |
|
3,895,000 |
|
Dealer Tire LLC |
|
|
8.00 |
% (a) |
|
02/01/2028 |
|
|
3,860,588 |
|
1,175,000 |
|
DISH DBS Corporation |
|
|
5.75 |
% (a) |
|
12/01/2028 |
|
|
939,383 |
|
5,583,000 |
|
Embarq Corporation |
|
|
8.00 |
% |
|
06/01/2036 |
|
|
3,496,214 |
|
1,210,000 |
|
Endo Luxembourg Finance Company SARL |
|
|
6.13 |
% (a) |
|
04/01/2029 |
|
|
775,513 |
|
2,505,000 |
|
EQM Midstream Partners LP |
|
|
6.50 |
% (a) |
|
07/01/2027 |
|
|
2,552,237 |
|
2,080,000 |
|
Ferrellgas LP |
|
|
5.88 |
% (a) |
|
04/01/2029 |
|
|
1,967,072 |
|
3,550,000 |
|
Fertitta Entertainment LLC |
|
|
6.75 |
% (a) |
|
01/15/2030 |
|
|
3,120,974 |
|
1,200,000 |
|
Frontier Communications Holdings LLC |
|
|
6.75 |
% (a) |
|
05/01/2029 |
|
|
1,074,297 |
|
1,640,000 |
|
Full House Resorts, Inc. |
|
|
8.25 |
% (a) |
|
02/15/2028 |
|
|
1,543,109 |
|
335,000 |
|
GrafTech Global Enterprises, Inc. |
|
|
9.88 |
% (a) |
|
12/15/2028 |
|
|
258,788 |
|
965,000 |
|
Hightower Holding LLC |
|
|
6.75 |
% (a) |
|
04/15/2029 |
|
|
877,484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
3,000,000 |
|
Illuminate Buyer LLC |
|
|
9.00 |
% (a) |
|
07/01/2028 |
|
|
2,872,199 |
|
1,010,000 |
|
LBM Acquisition LLC |
|
|
6.25 |
% (a) |
|
01/15/2029 |
|
|
902,915 |
|
1,700,000 |
|
Level 3 Financing, Inc. |
|
|
10.50 |
% (a) |
|
05/15/2030 |
|
|
1,650,079 |
|
2,545,000 |
|
LifePoint Health, Inc. |
|
|
11.00 |
% (a) |
|
10/15/2030 |
|
|
2,683,453 |
|
1,370,000 |
|
Lions Gate Capital Holdings LLC |
|
|
5.50 |
% (a) |
|
04/15/2029 |
|
|
1,026,233 |
|
3,030,000 |
|
LSF9 Atlantis Holdings LLC |
|
|
7.75 |
% (a) |
|
02/15/2026 |
|
|
2,908,709 |
|
2,550,000 |
|
McGraw-Hill Education, Inc. |
|
|
5.75 |
% (a) |
|
08/01/2028 |
|
|
2,461,439 |
|
3,340,000 |
|
Metis Merger Sub LLC |
|
|
6.50 |
% (a) |
|
05/15/2029 |
|
|
3,024,103 |
|
1,000,000 |
|
Michaels Companies, Inc. |
|
|
5.25 |
% (a) |
|
05/01/2028 |
|
|
791,330 |
|
1,500,000 |
|
ModivCare Escrow Issuer, Inc. |
|
|
5.00 |
% (a) |
|
10/01/2029 |
|
|
1,228,005 |
|
4,395,000 |
|
Newfold Digital Holdings Group, Inc. |
|
|
6.00 |
% (a) |
|
02/15/2029 |
|
|
3,324,954 |
|
3,005,000 |
|
NFP Corporation |
|
|
6.88 |
% (a) |
|
08/15/2028 |
|
|
3,057,064 |
|
5,765,000 |
|
NGL Energy Operating LLC |
|
|
7.50 |
% (a) |
|
02/01/2026 |
|
|
5,827,256 |
|
1,575,000 |
|
NuStar Logistics LP |
|
|
6.38 |
% |
|
10/01/2030 |
|
|
1,580,024 |
|
250,000 |
|
Olympus Water US Holding Corporation |
|
|
6.25 |
% (a) |
|
10/01/2029 |
|
|
222,323 |
|
1,030,000 |
|
OneMain Finance Corporation |
|
|
9.00 |
% |
|
01/15/2029 |
|
|
1,089,821 |
|
1,435,000 |
|
PECF USS Intermediate Holding Corporation |
|
|
8.00 |
% (a) |
|
11/15/2029 |
|
|
733,263 |
|
3,835,000 |
|
PetSmart, Inc. |
|
|
7.75 |
% (a) |
|
02/15/2029 |
|
|
3,733,940 |
|
1,765,000 |
|
Premier Entertainment Sub LLC |
|
|
5.88 |
% (a) |
|
09/01/2031 |
|
|
1,378,880 |
|
7,250,000 |
|
Radiology Partners, Inc. |
|
|
9.25 |
% (a) |
|
02/01/2028 |
|
|
3,726,101 |
|
150,000 |
|
Royal Caribbean Cruises Ltd. |
|
|
7.25 |
% (a) |
|
01/15/2030 |
|
|
156,751 |
|
3,330,000 |
|
Sabre GLBL, Inc. |
|
|
8.63 |
% (a) |
|
06/01/2027 |
|
|
3,033,211 |
|
1,005,000 |
|
Spirit AeroSystems, Inc. |
|
|
9.75 |
% (a) |
|
11/15/2030 |
|
|
1,081,605 |
|
4,170,000 |
|
SWF Escrow Issuer Corporation |
|
|
6.50 |
% (a) |
|
10/01/2029 |
|
|
3,001,378 |
|
3,410,000 |
|
TKC Holdings, Inc. |
|
|
10.50 |
% (a) |
|
05/15/2029 |
|
|
3,089,511 |
|
885,000 |
|
TMS International Corporation |
|
|
6.25 |
% (a) |
|
04/15/2029 |
|
|
731,324 |
|
1,615,000 |
|
Trident TPI Holdings, Inc. |
|
|
12.75 |
% (a) |
|
12/31/2028 |
|
|
1,730,069 |
|
2,365,000 |
|
Triton Water Holdings, Inc. |
|
|
6.25 |
% (a) |
|
04/01/2029 |
|
|
2,062,682 |
|
1,705,000 |
|
Triumph Group, Inc. |
|
|
7.75 |
% |
|
08/15/2025 |
|
|
1,700,790 |
|
1,785,000 |
|
United Natural Foods, Inc. |
|
|
6.75 |
% (a) |
|
10/15/2028 |
|
|
1,447,385 |
|
2,460,000 |
|
Uniti Group LP |
|
|
6.50 |
% (a) |
|
02/15/2029 |
|
|
1,777,717 |
|
2,845,000 |
|
Univision Communications, Inc. |
|
|
6.63 |
% (a) |
|
06/01/2027 |
|
|
2,839,303 |
|
845,000 |
|
Venture Global LNG, Inc. |
|
|
8.38 |
% (a) |
|
06/01/2031 |
|
|
845,834 |
|
1,255,000 |
|
Venture Global LNG, Inc. |
|
|
9.88 |
% (a) |
|
02/01/2032 |
|
|
1,308,041 |
|
4,000,000 |
|
Verscend Escrow Corporation |
|
|
9.75 |
% (a) |
|
08/15/2026 |
|
|
4,030,612 |
|
2,400,000 |
|
ViaSat, Inc. |
|
|
6.50 |
% (a) |
|
07/15/2028 |
|
|
1,973,640 |
|
1,050,000 |
|
Vibrantz Technologies, Inc. |
|
|
9.00 |
% (a) |
|
02/15/2030 |
|
|
833,932 |
|
4,885,000 |
|
Viking Cruises Ltd. |
|
|
9.13 |
% (a) |
|
07/15/2031 |
|
|
5,208,811 |
|
2,375,000 |
|
Virtusa Corporation |
|
|
7.13 |
% (a) |
|
12/15/2028 |
|
|
2,040,434 |
|
3,280,000 |
|
Weatherford International Ltd. |
|
|
8.63 |
% (a) |
|
04/30/2030 |
|
|
3,427,482 |
|
2,540,000 |
|
Wheel Pros, Inc. |
|
|
6.50 |
% (a) |
|
05/15/2029 |
|
|
777,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total US Corporate Bonds (Cost $166,122,618) |
|
|
|
|
|
146,638,929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Government and Agency Mortgage Backed Obligations - 3.6% |
|
2,365,098 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3997-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 6.39%, 6.50% Cap) |
|
|
1.05 |
% (i)(j) |
|
02/15/2042 |
|
|
293,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
2,876,627 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 4091-VI (-1 x Secured Overnight Financing Rate 30 Day Average + 4.89%, 0.00% Floor, 5.00% Cap) |
|
|
0.00 |
% (i)(j) |
|
11/15/2040 |
|
|
197,818 |
|
5,254,558 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 4119-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 6.04%, 6.15% Cap) |
|
|
0.70 |
% (i)(j) |
|
10/15/2042 |
|
|
617,972 |
|
2,913,238 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 4643-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap) |
|
|
0.55 |
% (i)(j) |
|
01/15/2047 |
|
|
340,235 |
|
9,197,222 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 4863-IA |
|
|
4.50 |
% (i) |
|
03/15/2045 |
|
|
1,230,741 |
|
15,611,053 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 5004-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 6.10%, 6.10% Cap) |
|
|
0.76 |
% (i)(j) |
|
08/25/2050 |
|
|
2,315,358 |
|
6,827,737 |
|
Federal Home Loan Mortgage Corporation, Series 313-S1 (-1 x Secured Overnight Financing Rate 30 Day Average + 5.79%, 5.90% Cap) |
|
|
0.45 |
% (i)(j) |
|
09/15/2043 |
|
|
737,270 |
|
7,112,973 |
|
Federal National Mortgage Association REMICS, Series 2012-124-SE (-1 x Secured Overnight Financing Rate 30 Day Average + 6.04%, 6.15% Cap) |
|
|
0.70 |
% (i)(j) |
|
11/25/2042 |
|
|
815,376 |
|
8,985,949 |
|
Federal National Mortgage Association REMICS, Series 2012-84-HS (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap) |
|
|
0.55 |
% (i)(j) |
|
08/25/2042 |
|
|
1,104,502 |
|
4,886,442 |
|
Federal National Mortgage Association REMICS, Series 2017-69-ES (-1 x Secured Overnight Financing Rate 30 Day Average + 6.04%, 6.15% Cap) |
|
|
0.70 |
% (i)(j) |
|
09/25/2047 |
|
|
564,018 |
|
6,694,328 |
|
Federal National Mortgage Association REMICS, Series 2019-25-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 5.94%, 6.05% Cap) |
|
|
0.60 |
% (i)(j) |
|
06/25/2049 |
|
|
706,192 |
|
42,345,891 |
|
Federal National Mortgage Association, Series 2019-M26-X1 |
|
|
0.60 |
% (d)(i) |
|
03/25/2030 |
|
|
1,059,261 |
|
2,936,308 |
|
FREMF Mortgage Trust, Series 2018-KF56-C (Secured Overnight Financing Rate 30 Day Average + 5.91%, 5.80% Floor) |
|
|
11.25 |
% (a) |
|
11/25/2028 |
|
|
2,539,829 |
|
7,486,008 |
|
FREMF Mortgage Trust, Series 2019-KF71-C (Secured Overnight Financing Rate 30 Day Average + 6.11%, 6.00% Floor) |
|
|
11.45 |
% (a) |
|
10/25/2029 |
|
|
7,134,927 |
|
10,190,126 |
|
Government National Mortgage Association, Series 2019-22-SA (-1 x Secured Overnight Financing Rate 1 Month + 5.49%, 5.60% Cap) |
|
|
0.13 |
% (i)(j) |
|
02/20/2045 |
|
|
1,138,494 |
|
5,710,794 |
|
Government National Mortgage Association, Series 2020-21-NS (-1 x Secured Overnight Financing Rate 1 Month + 5.94%, 6.05% Cap) |
|
|
0.58 |
% (i)(j) |
|
04/20/2048 |
|
|
531,022 |
|
6,721,646 |
|
Government National Mortgage Association, Series 2020-47-SL (-1 x Secured Overnight Financing Rate 1 Month + 5.26%, 0.00% Floor, 5.37% Cap) |
|
|
0.00 |
% (i)(j) |
|
07/20/2044 |
|
|
557,598 |
|
11,868,230 |
|
Government National Mortgage Association, Series 2020-61-SU (-1 x Secured Overnight Financing Rate 1 Month + 5.49%, 5.60% Cap) |
|
|
0.13 |
% (i)(j) |
|
07/16/2045 |
|
|
1,172,049 |
|
4,520,423 |
|
Government National Mortgage Association, Series 2020-77-SU (-1 x Secured Overnight Financing Rate 1 Month + 5.99%, 6.10% Cap) |
|
|
0.63 |
% (i)(j) |
|
09/20/2047 |
|
|
580,718 |
|
25,075,568 |
|
Government National Mortgage Association, Series 2021-97-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 0.00% Floor, 2.60% Cap) |
|
|
0.00 |
% (i)(j) |
|
06/20/2051 |
|
|
309,224 |
|
31,699,585 |
|
Government National Mortgage Association, Series 2021-H04-BI |
|
|
0.99 |
% (d)(i) |
|
02/01/2071 |
|
|
1,627,885 |
|
32,285,000 |
|
Government National Mortgage Association, Series 2021-H07-AI |
|
|
0.02 |
% (d)(i) |
|
05/20/2071 |
|
|
1,488,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total US Government and Agency Mortgage Backed Obligations (Cost
$36,100,409) |
|
|
|
|
|
27,062,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
|
Common Stocks - 0.0% (m) |
|
12,858 |
|
Riverbed - Class B (b)(k) |
|
|
|
|
|
|
|
|
1,672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks (Cost $-) |
|
|
|
|
|
1,672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Escrow Notes - 0.0% (m) |
|
500,000 |
|
Alpha Holdings S.A. de C.V. (b)(k) |
|
|
|
|
|
|
|
|
|
|
500,000 |
|
Alpha Holdings S.A. de C.V. (b)(k) |
|
|
|
|
|
|
|
|
|
|
3,500,000 |
|
Alpha Holdings S.A. de C.V. (b)(k) |
|
|
|
|
|
|
|
|
|
|
3,500,000 |
|
Alpha Holdings S.A. de C.V. (b)(k) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Escrow Notes (Cost $-) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks - 1.2% |
|
430,000 |
|
AGNC Investment Corporation, Series F (3 Month LIBOR USD + 4.70%) (g)(o) |
|
|
|
|
|
|
|
|
9,356,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks (Cost $9,302,263) |
|
|
|
|
|
9,356,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts - 0.8% |
|
650,000 |
|
AGNC Investment Corporation |
|
|
|
|
|
|
|
|
6,376,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Real Estate Investment Trusts (Cost $8,298,946) |
|
|
|
|
|
6,376,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Term Investments - 0.2% |
|
390,142 |
|
First American Government Obligations Fund - Class U |
|
|
5.30 |
% (l) |
|
|
|
|
390,142 |
|
390,142 |
|
JP Morgan U.S. Government Money Market Fund - Institutional Share Class |
|
|
5.29 |
% (l) |
|
|
|
|
390,142 |
|
390,143 |
|
Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class |
|
|
5.27 |
% (l) |
|
|
|
|
390,143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short Term Investments (Cost $1,170,427) |
|
|
|
|
|
1,170,427 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments - 122.5% (Cost $1,050,146,350) (n) |
|
|
|
|
|
926,988,203 |
|
Liabilities in Excess of Other Assets - (22.5)% |
|
|
|
|
|
(170,465,626 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS - 100.0% |
|
|
|
|
$ |
756,522,577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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) |
Non-income producing security |
|
|
(l) |
Seven-day yield as of period end |
|
|
(m) |
Represents less than 0.05% of net assets |
|
|
(n) |
Under the Funds credit agreement, the Lender, through their agent, have been granted a security interest
in all of the Funds investments in consideration of the Funds borrowing under the line of credit with the Lender. |
|
|
(o) |
Securities referencing LIBOR are expected to transition to an alternative reference rate by the securitys
next scheduled coupon reset date. |
|
|
PIK |
A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional
securities. These additional securities generally have the same terms as the original holdings. |
|
SECURITY TYPE BREAKDOWN as a % of Net Assets:
|
|
|
|
|
Non-Agency Commercial Mortgage Backed Obligations |
|
|
25.0% |
|
US Corporate Bonds |
|
|
19.4% |
|
Non-Agency Residential Collateralized Mortgage Obligations |
|
|
19.3% |
|
Collateralized Loan Obligations |
|
|
18.3% |
|
Foreign Corporate Bonds |
|
|
14.8% |
|
Bank Loans |
|
|
11.7% |
|
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
|
|
5.1% |
|
US Government and Agency Mortgage Backed Obligations |
|
|
3.6% |
|
Asset Backed Obligations |
|
|
3.1% |
|
Preferred Stocks |
|
|
1.2% |
|
Real Estate Investment Trusts |
|
|
0.8% |
|
Short Term Investments |
|
|
0.2% |
|
Escrow Notes |
|
|
0.0% |
(m) |
Common Stocks |
|
|
0.0% |
(m) |
Other Assets and Liabilities |
|
|
(22.5)% |
|
|
|
|
|
|
|
|
|
100.0% |
|
|
|
|
|
|
INVESTMENT BREAKDOWN as a % of Net Assets:
|
|
|
|
|
Non-Agency Commercial Mortgage Backed Obligations |
|
|
25.0% |
|
Non-Agency Residential Collateralized Mortgage Obligations |
|
|
19.3% |
|
Collateralized Loan Obligations |
|
|
18.3% |
|
Energy |
|
|
5.1% |
|
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
|
|
5.1% |
|
US Government and Agency Mortgage Backed Obligations |
|
|
3.6% |
|
Asset Backed Obligations |
|
|
3.1% |
|
Electronics/Electric |
|
|
3.1% |
|
Commercial Services |
|
|
2.9% |
|
Chemicals/Plastics |
|
|
2.8% |
|
Consumer Products |
|
|
2.6% |
|
Technology |
|
|
2.6% |
|
Healthcare |
|
|
2.5% |
|
Media |
|
|
2.5% |
|
Real Estate |
|
|
2.4% |
|
Utilities |
|
|
2.1% |
|
Retailers (other than Food/Drug) |
|
|
1.9% |
|
Mining |
|
|
1.7% |
|
Hotels/Motels/Inns and Casinos |
|
|
1.6% |
|
Telecommunications |
|
|
1.5% |
|
Transportation |
|
|
1.5% |
|
Finance |
|
|
1.3% |
|
Leisure |
|
|
1.0% |
|
Financial Intermediaries |
|
|
1.0% |
|
Automotive |
|
|
1.0% |
|
Business Equipment and Services |
|
|
1.0% |
|
Industrial Equipment |
|
|
0.9% |
|
Building and Development (including Steel/Metals) |
|
|
0.7% |
|
Chemical Products |
|
|
0.7% |
|
Aerospace & Defense |
|
|
0.6% |
|
Food Service |
|
|
0.5% |
|
Containers and Glass Products |
|
|
0.5% |
|
Diversified Manufacturing |
|
|
0.5% |
|
Food Products |
|
|
0.5% |
|
Insurance |
|
|
0.4% |
|
Environmental Control |
|
|
0.3% |
|
Short Term Investments |
|
|
0.2% |
|
Pharmaceuticals |
|
|
0.1% |
|
Cosmetics/Toiletries |
|
|
0.1% |
|
Food/Drug Retailers |
|
|
0.0% |
(m) |
Banking |
|
|
0.0% |
(m) |
Conglomerates |
|
|
0.0% |
(m) |
Other Assets and Liabilities |
|
|
(22.5)% |
|
|
|
|
|
|
|
|
|
100.0% |
|
|
|
|
|
|
FUTURES CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Long/Short |
|
|
Contract
Quantity |
|
|
Expiration
Date |
|
|
Notional
Amount(1) |
|
|
Unrealized Appreciation (Depreciation)/ Value |
|
10-Year US Treasury Ultra Note Future |
|
|
Long |
|
|
|
525 |
|
|
|
03/19/2024 |
|
|
$ |
61,958,203 |
|
|
$ |
2,682,986 |
|
(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
December 31, 2023 (Unaudited)
1. Organization
DoubleLine Yield Opportunities Fund
(the Fund) was formed as a closed-end management investment company registered under the Investment Company Act of 1940, as amended (the 1940 Act), and originally classified as a non-diversified fund. The Fund is currently
operating as a diversified fund. The Fund was organized as a Massachusetts business trust on September 17, 2019 and commenced operations on February 26, 2020. The Fund is listed on the New York Stock Exchange (NYSE) under the symbol
DLY. The Funds investment objective is to seek a high level of total return, with an emphasis on current income.
The Fund has a limited
term and intends to terminate as of the first business day following the twelfth anniversary of the effective date of the Funds initial registration statement, February 25, 2032 (the Dissolution Date); provided that the
Funds Board of Trustees (the Board) may, by a vote of the majority of the Board and seventy-five percent (75%) of the Continuing Trustees, as such term is defined in the Funds Second Amended and Restated Agreement and
Declaration of Trust (a Board Action Vote), without shareholder approval, extend the Dissolution Date (i) once for up to one year, and (ii) once for up to an additional six months, to a date up to and including the eighteenth
month after the initial Dissolution Date, which later date shall then become the Dissolution Date. At the Dissolution Date, each holder of common shares of beneficial interest (Common Shareholder) would be paid a pro rata portion of the
Funds net assets as determined as of the Dissolution Date. The Board may, by a Board Action Vote, cause the Fund to conduct a tender offer, as of a date within twelve months preceding the Dissolution Date (as may be extended as described
above), to all Common Shareholders to purchase 100% of the then outstanding common shares of the Fund at a price equal to the net asset value (NAV) per common share on the expiration date of the tender offer (an Eligible Tender
Offer). In an Eligible Tender Offer, the Fund will offer to purchase all Common Shares held by each Common Shareholder; provided that if the number of properly tendered Common Shares would result in the Fund having aggregate net assets below
$200 million (the Dissolution Threshold), the Eligible Tender Offer will be canceled, no Common Shares will be repurchased pursuant to the Eligible Tender Offer, and the Fund will terminate as otherwise scheduled.
2. Significant Accounting Policies
The Fund is an
investment company that applies the accounting and reporting guidance issued in Topic 946, Financial Services Investment Companies, by the Financial Accounting Standards Board (FASB). The following is a summary of the
significant accounting policies of the Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (US GAAP).
A. Security Valuation. The Fund has adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a
hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related
inputs during the period. These inputs are summarized in the three broad levels listed below:
|
|
Level 1Unadjusted quoted market prices in active markets for identical securities |
|
|
Level 2Quoted prices for identical or similar assets in markets that are not active, or inputs derived from
observable market data |
|
|
Level 3Significant unobservable inputs (including the reporting entitys 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 NAV of such investments and
are categorized as Level 1 of the fair value hierarchy.
Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options
contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts,
the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as forward currency exchange contracts, options contracts, or swap agreements, derive their values from
underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of 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. The 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 Funds 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 Funds 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 Funds investments as of December 31, 2023:
|
|
|
|
|
Category |
|
|
|
Investments in Securities |
|
|
|
|
Level 1 |
|
|
|
|
Preferred Stocks |
|
$ |
9,356,800 |
|
Real Estate Investment Trusts |
|
|
6,376,500 |
|
Short Term Investments |
|
|
1,170,427 |
|
|
|
|
|
|
Total Level 1 |
|
|
16,903,727 |
|
Level 2 |
|
|
|
|
Non-Agency Commercial Mortgage Backed Obligations |
|
|
188,918,944 |
|
US Corporate Bonds |
|
|
146,638,929 |
|
Non-Agency Residential Collateralized Mortgage
Obligations |
|
|
146,317,408 |
|
Collateralized Loan Obligations |
|
|
136,340,063 |
|
Foreign Corporate Bonds |
|
|
111,944,679 |
|
Bank Loans |
|
|
88,190,244 |
|
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
|
|
38,841,025 |
|
US Government and Agency Mortgage Backed Obligations |
|
|
27,062,978 |
|
Asset Backed Obligations |
|
|
20,010,939 |
|
|
|
|
|
|
Total Level 2 |
|
|
904,265,209 |
|
|
|
|
|
|
Category |
|
|
|
Level 3 |
|
|
|
|
Asset Backed Obligations |
|
$
|
3,452,724 |
|
Collateralized Loan Obligations |
|
|
2,190,500 |
|
Foreign Corporate Bonds |
|
|
174,371 |
|
Common Stocks |
|
|
1,672 |
|
Escrow Notes |
|
|
|
|
|
|
|
|
|
Total Level 3 |
|
|
5,819,267 |
|
|
|
|
|
|
Total |
|
$ |
926,988,203 |
|
|
|
|
|
|
Other Financial Instruments |
|
|
|
|
Level 1 |
|
|
|
|
Futures Contract |
|
$ |
2,682,986 |
|
|
|
|
|
|
Total Level 1 |
|
|
2,682,986 |
|
Level 2 |
|
|
|
|
Unfunded Loan Commitments |
|
|
574 |
|
|
|
|
|
|
Total Level 2 |
|
|
574 |
|
Level 3 |
|
|
|
|
|
|
|
|
|
Total |
|
$ |
2,683,560 |
|
|
|
|
|
|
See the Schedule of Investments for further disaggregation of investment categories.
DoubleLine Yield Opportu... (NYSE:DLY)
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