Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)
August 29 2024 - 3:20PM
Edgar (US Regulatory)
| DoubleLine
Income Solutions Fund |
|
(Unaudited)
|
| Schedule
of Investments |
|
June
30, 2024 |
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| ASSET
BACKED OBLIGATIONS - 1.2% |
| |
Arivo
Acceptance Auto Loan Receivables Trust |
|
|
|
| 1,150,000 |
Series
2021-1A-D |
5.83% |
(a) |
01/18/2028 |
1,119,687 |
| |
Blue
Stream Communications LLC |
|
|
|
| 2,000,000 |
Series
2023-1A-C |
8.90% |
(a) |
05/20/2053 |
1,868,695 |
| |
Castlelake
Aircraft Securitization Trust |
|
|
|
| 474,892 |
Series
2018-1-C |
6.63% |
(a)(b) |
06/15/2043 |
152,714 |
| 2,039,241 |
Series
2021-1A-C |
7.00% |
(a)(b) |
01/15/2046 |
1,739,516 |
| |
Compass
Datacenters LLC |
|
|
|
| 1,250,000 |
Series
2024-1A-B |
7.00% |
(a) |
02/25/2049 |
1,257,009 |
| |
ME
Funding |
|
|
|
| 400,000 |
Series
2024-1A-A2 |
8.10% |
(a) |
04/30/2054 |
387,155 |
| |
Pagaya
AI Debt Selection Trust |
|
|
|
| 2,750,000 |
Series
2021-3-CERT |
0.00% |
(a)(b)(c) |
05/15/2029 |
2,434 |
| 66,811 |
Series
2022-1-A |
2.03% |
(a) |
10/15/2029 |
66,508 |
| 346,226 |
Series
2022-2-AB |
5.80% |
(a)(d) |
01/15/2030 |
345,716 |
| |
Sierra
Timeshare Conduit Receivables Funding LLC |
|
|
|
| 685,963 |
Series
2023-2A-D |
9.72% |
(a) |
04/20/2040 |
694,879 |
| |
SOFI
Alternative Trust |
|
|
|
| 55,000 |
Series
2021-2-R1 |
0.00% |
(a)(b)(c) |
08/15/2030 |
349,379 |
| |
SoFi
Professional Loan Program LLC |
|
|
|
| 50,000 |
Series
2018-A-R1 |
0.00% |
(a)(b)(c) |
02/25/2042 |
471,094 |
| 14,827 |
Series
2018-A-R2 |
0.00% |
(a)(b)(c) |
02/25/2042 |
139,698 |
| 100,000 |
Series
2018-C-R1 |
0.00% |
(a)(b)(c) |
01/25/2048 |
777,512 |
| |
Start
Ltd./Bermuda |
|
|
|
| 389,334 |
Series
2019-1-C |
6.41% |
(a)(b) |
03/15/2044 |
355,401 |
| |
Summit
Issuer LLC |
|
|
|
| 4,300,000 |
Series
2020-1A-C |
5.10% |
(a) |
12/20/2050 |
4,032,756 |
| |
Sunbird
Engine Finance |
|
|
|
| 856,971 |
Series
2020-1A-C |
6.78% |
(a)(b) |
02/15/2045 |
728,792 |
| |
Switch
ABS Issuer LLC |
|
|
|
| 1,000,000 |
Series
2024-2A-C |
10.03% |
(a) |
06/25/2054 |
1,005,662 |
| |
Willis
Lease Finance Corp. |
|
|
|
| 607,958 |
Series
2021-A-C |
7.39% |
(a)(b) |
05/15/2046 |
583,926 |
| |
Total
Asset Backed Obligations (Cost $16,712,833) |
|
16,078,533 |
| BANK
LOANS - 21.9% |
| |
AAdvantage
Loyalty IP Ltd. |
|
|
|
| 2,532,000 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 4.75%) |
10.36% |
|
04/20/2028 |
2,619,038 |
| |
Access
CIG LLC |
|
|
|
| 5,493,823 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 5.00%) |
10.34% |
|
08/18/2028 |
5,535,906 |
| |
Acuris
Finance US, Inc. |
|
|
|
| 4,915,000 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 4.00%) |
9.33% |
|
02/16/2028 |
4,922,151 |
| |
ADMI
Corp. |
|
|
|
| 5,782,036 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 5.75%) |
11.09% |
|
12/23/2027 |
5,830,200 |
| |
AI
Aqua Merger Sub, Inc. |
|
|
|
| 1,974,949 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.10% |
|
07/31/2028 |
1,980,696 |
| |
Allied
Universal Holdco LLC |
|
|
|
| 2,553,436 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.18% |
|
05/15/2028 |
2,546,503 |
| |
Altice
France SA/France |
|
|
|
| 1,386,499 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 5.50%) |
10.83% |
|
08/31/2028 |
1,022,543 |
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| |
Alvaria
Holdco (Aspect Software) Second-Out T/L |
|
|
|
|
| 1,092,785 |
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 1.00%, 0.75% Floor) |
6.34% |
|
05/18/2028 |
718,506 |
| |
Alvaria
Holdco (Aspect Software) Third-Out T/L A |
|
|
|
|
| 2,543,077 |
Senior
Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor) |
7.34% |
|
05/18/2028 |
775,638 |
| |
American
Tire Distributors, Inc. |
|
|
|
|
| 3,924,900 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 6.25%) |
11.57% |
|
10/23/2028 |
2,862,116 |
| |
Applied
Systems, Inc. |
|
|
|
|
| 1,540,000 |
Senior
Secured Second Lien Term Loan (1 mo. Term SOFR + 5.25%) |
10.60% |
|
02/23/2032 |
1,596,626 |
| |
Apro
LLC |
|
|
|
|
| 2,655,000 |
Senior
Secured Term Loan (1 mo. Term SOFR + 3.75%) |
9.08% |
|
06/26/2031 |
2,658,319 |
| |
Artera
Services LLC |
|
|
|
|
| 4,458,825 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.50%) |
9.83% |
|
02/10/2031 |
4,487,874 |
| |
Ascend
Learning LLC |
|
|
|
|
| 5,167,390 |
Senior
Secured Second Lien Term Loan (1 mo. Term SOFR + 5.75%) |
11.18% |
|
12/10/2029 |
5,084,712 |
| |
ASP
LS Acquisition Corp. |
|
|
|
|
| 1,182,837 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 4.50%) |
9.83% |
|
05/08/2028 |
1,011,166 |
| |
Astra
Acquisition Corp. |
|
|
|
|
| 487,957 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 6.50%) |
11.84% |
|
02/25/2028 |
447,701 |
| 273,256 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 6.75%) |
12.09% |
|
02/25/2028 |
250,712 |
| 1,204,012 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 5.25%) |
10.59% |
|
10/25/2028 |
445,484 |
| 9,662,677 |
Senior
Secured Second Lien Term Loan (1 mo. Term SOFR + 8.88%) |
14.22% |
|
10/25/2029 |
2,545,536 |
| |
Asurion
LLC |
|
|
|
|
| 905,000 |
Senior
Secured Second Lien Term Loan (1 mo. Term SOFR + 5.25%) |
10.69% |
|
02/03/2028 |
845,609 |
| 4,225,000 |
Senior
Secured Second Lien Term Loan (1 mo. Term SOFR + 5.25%) |
10.70% |
|
01/22/2029 |
3,909,773 |
| |
AthenaHealth
Group, Inc. |
|
|
|
|
| 1,288,286 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.25%) |
8.58% |
|
02/15/2029 |
1,285,671 |
| |
Aveanna
Healthcare LLC |
|
|
|
|
| 7,855,000 |
Senior
Secured Second Lien Term Loan (1 mo. Term SOFR + 7.00%) |
12.43% |
|
12/10/2029 |
7,256,056 |
| |
Bausch
+ Lomb Corp. |
|
|
|
|
| 891,357 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.25%) |
8.68% |
|
05/10/2027 |
883,000 |
| 7,451,847 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.44% |
|
09/29/2028 |
7,447,228 |
| |
BCPE
Empire Holdings, Inc. |
|
|
|
|
| 3,115,040 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.34% |
|
12/26/2028 |
3,119,525 |
| |
Boxer
Parent Co., Inc. |
|
|
|
|
| 5,721,250 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.25%) |
9.59% |
|
12/29/2028 |
5,740,130 |
| |
Brand
Industrial Services, Inc. |
|
|
|
|
| 2,657,725 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.50%) |
9.83% |
|
08/01/2030 |
2,669,539 |
| |
BYJU’s
Alpha Bridge TL |
|
|
|
|
| 8,690 |
Senior
Secured Term Loan |
13.33% |
(b)(e) |
04/24/2026 |
8,690 |
| |
BYJU’s
Alpha New Money TL |
|
|
|
|
| 15,151 |
Senior
Secured First Lien Term Loan |
13.33% |
(b)(e) |
04/09/2026 |
15,151 |
| |
BYJU’s
Alpha Prepetition Reimbursement TL |
|
|
|
|
| 40,115 |
Senior
Secured Term Loan |
13.33% |
(b)(e) |
04/24/2026 |
40,115 |
| |
BYJU’s
Alpha, Inc. |
|
|
|
|
| 1,767,642 |
Senior
Secured First Lien Term Loan (Prime Rate + 7.00%, 0.75%) |
15.50% |
(g) |
11/24/2026 |
400,247 |
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| |
Carnival Corp. |
|
|
|
| 362,445 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 2.75%) |
8.10% |
|
08/09/2027 |
364,712 |
| |
Cengage Learning, Inc. |
|
|
|
| 1,900,238 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.25%) |
9.60% |
|
03/24/2031 |
1,907,962 |
| |
Central Parent, Inc. |
|
|
|
| 960,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.25%) |
8.58% |
|
07/06/2029 |
948,902 |
| |
ClubCorp Holdings, Inc. |
|
|
|
| 4,301,927 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 5.00%) |
10.34% |
|
09/18/2026 |
4,329,888 |
| |
Connect Finco SARL |
|
|
|
| 582,678 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.50%) |
8.85% |
|
12/11/2026 |
576,851 |
| |
Constant Contact, Inc. |
|
|
|
| 2,643,672 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.33% |
|
02/10/2028 |
2,607,877 |
| |
CoreLogic, Inc. |
|
|
|
| 523,274 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.50%) |
8.94% |
|
06/02/2028 |
516,359 |
| |
Cornerstone Building Brands, Inc. |
|
|
|
| 1,416,696 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.25%) |
8.68% |
|
04/12/2028 |
1,385,706 |
| 1,330,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.50%) |
9.93% |
|
05/15/2031 |
1,324,461 |
| |
Crosby US Acquisition Corp. |
|
|
|
| 1,144,250 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.33% |
|
08/16/2029 |
1,151,997 |
| |
Cross Financial Corp. |
|
|
|
| 1,746,236 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.50%) |
8.84% |
|
09/15/2027 |
1,754,967 |
| |
Dcert Buyer, Inc. |
|
|
|
| 3,626,065 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.33% |
|
10/16/2026 |
3,542,212 |
| |
Deerfield Dakota Holding LLC |
|
|
|
| 5,143,949 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 3.75%) |
9.04% |
|
04/09/2027 |
5,147,755 |
| |
Dexko Global, Inc. |
|
|
|
| 1,621,850 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.25%) |
9.59% |
|
10/04/2028 |
1,622,701 |
| |
DG Investment Intermediate Holdings 2, Inc. |
|
|
|
| 2,425,000 |
Senior
Secured Second Lien Term Loan (1 mo. Term SOFR + 6.75%) |
12.21% |
|
03/29/2029 |
2,383,702 |
| |
Directv Financing LLC |
|
|
|
| 3,672,840 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 5.25%) |
10.71% |
|
08/02/2029 |
3,661,363 |
| |
Dynasty Acquisition Co., Inc. |
|
|
|
| 762,344 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.50%) |
8.85% |
|
08/24/2028 |
765,981 |
| |
Edelman Financial Engines Center LLC |
|
|
|
| 2,138,892 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.25%) |
8.58% |
|
04/07/2028 |
2,144,411 |
| 5,515,000 |
Senior
Secured Second Lien Term Loan (1 mo. Term SOFR + 5.25%) |
10.59% |
|
10/31/2028 |
5,535,681 |
| |
EG America LLC |
|
|
|
| 2,324,160 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 5.50%) |
10.94% |
|
02/07/2028 |
2,299,954 |
| |
Eisner Advisory Group LLC |
|
|
|
| 2,392,975 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.34% |
|
02/28/2031 |
2,419,405 |
| |
Element Materials Technology Group US Holdings, Inc. |
|
|
|
| 421,217 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 4.25%) |
9.68% |
|
06/25/2029 |
423,412 |
| 194,408 |
Senior Secured First Lien Term Loan (3
mo. Term SOFR + 4.25%) |
9.68% |
|
06/25/2029 |
195,421 |
|
|
|
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| |
Fertitta
Entertainment LLC/NV |
|
|
|
| 4,223,133 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.33% |
|
01/29/2029 |
4,232,889 |
| |
FinThrive
Software Intermediate Holdings, Inc. |
|
|
|
| 2,205,000 |
Senior
Secured Second Lien Term Loan (1 mo. Term SOFR + 6.75%) |
12.19% |
|
12/17/2029 |
1,525,132 |
| |
Flynn
America LP |
|
|
|
| 3,243,750 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.50%) |
9.96% |
|
07/31/2028 |
3,215,367 |
| |
Foresight
Energy LLC |
|
|
|
| 1,880,943 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 8.00%) |
13.33% |
(b) |
06/30/2027 |
1,880,943 |
| |
Gainwell
Acquisition Corp. |
|
|
|
| 7,767,735 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 4.00%) |
9.40% |
|
10/01/2027 |
7,541,151 |
| |
Garda
World Security Corp. |
|
|
|
| 2,423,832 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.25%) |
9.68% |
|
02/01/2029 |
2,442,011 |
| |
GIP
II Blue Holding LP |
|
|
|
| 527,056 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.08% |
|
09/29/2028 |
533,172 |
| |
Grant
Thornton LLP/Chicago |
|
|
|
| 810,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.25%) |
8.59% |
|
05/30/2031 |
813,333 |
| |
Greystone
Select Financial LLC |
|
|
|
| 3,624,000 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 5.00%) |
10.33% |
|
06/19/2028 |
3,614,940 |
| |
Groupe
Solmax, Inc. |
|
|
|
| 2,868,231 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 4.75%) |
10.34% |
|
07/24/2028 |
2,788,681 |
| |
Gulf
Finance LLC |
|
|
|
| 3,255,392 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 6.25%) |
11.70% |
|
08/25/2026 |
3,279,808 |
| |
Helios
Software Holdings, Inc. |
|
|
|
| 2,213,303 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.10% |
|
07/15/2030 |
2,222,001 |
| |
Hexion
Holdings Corp. |
|
|
|
| 5,172,613 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 4.50%) |
9.95% |
|
03/15/2029 |
5,161,982 |
| |
INEOS
US Petrochem LLC |
|
|
|
| 2,540,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.25%) |
9.68% |
|
03/29/2029 |
2,538,413 |
| |
Kenan
Advantage Group, Inc. |
|
|
|
| 2,294,250 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.10% |
|
01/25/2029 |
2,308,589 |
| |
Kronos
Acquisition Holdings, Inc. |
|
|
|
| 3,485,000 |
Senior
Secured Term Loan (1 mo. Term SOFR + 4.00%) |
9.34% |
|
06/27/2031 |
3,467,575 |
| |
Lasership,
Inc. |
|
|
|
| 1,025,000 |
Senior
Secured Second Lien Term Loan (3 mo. Term SOFR + 7.50%) |
12.81% |
|
05/07/2029 |
748,675 |
| |
LBM
Acquisition LLC |
|
|
|
| 5,632,304 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.18% |
|
06/06/2031 |
5,545,848 |
| |
LC
Ahab US Bidco LLC |
|
|
|
| 1,750,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.50%) |
8.83% |
|
05/01/2031 |
1,755,478 |
| |
Lealand
Finance Co. BV |
|
|
|
| 52,939 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.00%) |
8.46% |
|
06/30/2027 |
27,793 |
| 774,539 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.46% |
|
12/31/2027 |
367,906 |
| |
Lereta
LLC |
|
|
|
| 1,104,423 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 5.25%) |
10.58% |
|
08/07/2028 |
832,917 |
| |
LifePoint
Health, Inc. |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 5,625,900 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%) |
10.08% |
|
11/16/2028 |
5,663,537 |
| 670,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.33% |
|
05/14/2031 |
671,782 |
| |
Mileage
Plus Holdings LLC |
|
|
|
| 519,000 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 5.25%) |
10.55% |
|
06/21/2027 |
530,205 |
| |
Mitchell
International, Inc. |
|
|
|
| 6,400,000 |
Senior
Secured Term Loan (1 mo. Term SOFR + 5.25%) |
10.59% |
|
06/17/2032 |
6,396,032 |
| |
MLN
US Holdco LLC |
|
|
|
| 2,920,000 |
Senior
Secured Second Lien Term Loan (3 mo. Term SOFR + 8.75%) |
14.10% |
|
11/30/2026 |
237,250 |
| |
Modena
Buyer LLC |
|
|
|
| 4,585,000 |
Senior
Secured Term Loan (1 mo. Term SOFR + 4.50%) |
9.83% |
|
04/21/2031 |
4,481,127 |
| |
Needle
Holdings LLC |
|
|
|
| 274,199 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 9.50%) |
14.84% |
|
04/28/2028 |
271,457 |
| |
NEP
Group, Inc. |
|
|
|
| 2,918,837 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.25%) 1.50% PIK |
8.71% |
|
08/19/2026 |
2,775,318 |
| 905,000 |
Senior
Secured Second Lien Term Loan (1 mo. Term SOFR + 7.00%) |
12.44% |
|
10/19/2026 |
744,363 |
| |
NGL
Energy Operating LLC |
|
|
|
| 668,325 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.50%) |
9.83% |
|
02/03/2031 |
671,486 |
| |
Nouryon
USA LLC |
|
|
|
| 3,154,877 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.50%) |
8.85% |
|
04/03/2028 |
3,167,102 |
| |
OneDigital
Borrower LLC |
|
|
|
| 728,133 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 4.25%) |
9.75% |
|
11/16/2027 |
727,223 |
| 6,665,000 |
Senior
Secured Term Loan (1 mo. Term SOFR + 5.25%) |
10.58% |
|
06/14/2032 |
6,648,337 |
| |
Ontario
Gaming GTA LP |
|
|
|
| 2,397,950 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.25%) |
9.58% |
|
08/01/2030 |
2,412,554 |
| |
Par
Petroleum LLC |
|
|
|
| 2,760,063 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.08% |
|
02/28/2030 |
2,774,718 |
| |
PECF
USS Intermediate Holding III Corp. |
|
|
|
| 1,719,581 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.25%) |
9.69% |
|
12/15/2028 |
1,151,165 |
| |
Polaris
Newco LLC |
|
|
|
| 1,502,276 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.44% |
|
06/05/2028 |
1,503,471 |
| |
Potters
Borrower LP |
|
|
|
| 737,153 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.08% |
|
12/14/2027 |
741,417 |
| |
Pretium
PKG Holdings, Inc. |
|
|
|
| 2,860,000 |
Senior
Secured Second Lien Term Loan (3 mo. Term SOFR + 6.75%) |
12.05% |
|
10/01/2029 |
1,680,650 |
| |
Radiology
Partners T/L |
|
|
|
| 2,955,000 |
Senior
Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor) |
9.09% |
|
01/31/2029 |
2,810,205 |
| |
Restaurant
Technologies, Inc. |
|
|
|
| 6,268,977 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 4.25%) |
9.55% |
|
04/02/2029 |
6,110,592 |
| |
Riverbed
Technology, Inc. |
|
|
|
| 1,317,592 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.50%) 2.00% PIK |
9.83% |
|
07/03/2028 |
811,966 |
| |
Skillsoft
Finance II, Inc. |
|
|
|
| 1,330,176 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 5.25%) |
10.69% |
|
07/14/2028 |
1,048,944 |
| |
Sound
Inpatient Physicians Holdings LLC |
|
|
|
| 3,771,145 |
Senior
Secured Second Lien Term Loan (3 mo. Term SOFR + 6.75%) |
12.09% |
|
06/29/2026 |
609,285 |
| |
Southern
Veterinary Partners LLC |
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 3,822,871 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.08% |
|
10/05/2027 |
3,835,620 |
| |
Standard
Aero Ltd. |
|
|
|
| 293,940 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.50%) |
8.85% |
|
08/24/2028 |
295,342 |
| |
StubHub
Holdco Sub LLC |
|
|
|
| 6,738,741 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%) |
10.08% |
|
03/15/2030 |
6,749,286 |
| |
Titan
Acquisition Ltd./Canada |
|
|
|
| 7,385,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 5.00%) |
10.34% |
|
02/15/2029 |
7,411,180 |
| |
Travelport
Finance Luxembourg Sarl |
|
|
|
| 4,628,091 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 7.00%) |
12.34% |
|
09/29/2028 |
4,214,710 |
| |
Trident
TPI Holdings, Inc. |
|
|
|
| 1,283,501 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.00%) |
9.34% |
|
09/18/2028 |
1,259,371 |
| |
Triton
Water Holdings, Inc. |
|
|
|
| 3,860,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.25%) |
8.59% |
|
03/31/2028 |
3,865,790 |
| |
United
Natural Foods, Inc. |
|
|
|
| 2,775,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%) |
10.08% |
|
05/01/2031 |
2,787,723 |
| |
Vantage
Specialty Chemicals, Inc. |
|
|
|
| 615,136 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%) |
10.08% |
|
10/26/2026 |
608,985 |
| |
Viad
Corp. |
|
|
|
| 4,014,760 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 5.00%) |
9.59% |
|
07/31/2028 |
4,029,835 |
| |
Vibrantz
Technologies, Inc. |
|
|
|
| 2,049,356 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 4.25%) |
9.68% |
|
04/23/2029 |
2,004,270 |
| |
Victra
Holdings LLC |
|
|
|
| 1,470,634 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 6.50%) |
11.84% |
|
03/29/2029 |
1,492,694 |
| |
VT
Topco, Inc. |
|
|
|
| 1,950,212 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.50%) |
8.83% |
|
08/12/2030 |
1,961,670 |
| |
Wand
NewCo 3, Inc. |
|
|
|
| 1,840,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.09% |
|
01/30/2031 |
1,854,288 |
| |
WaterBridge
Midstream Operating LLC |
|
|
|
| 3,366,065 |
Senior
Secured First Lien Term Loan (3 mo. Term SOFR + 5.75%) |
11.10% |
|
06/22/2026 |
3,376,601 |
| 3,645,000 |
Senior
Secured Term Loan (1 mo. Term SOFR + 4.75%) |
10.09% |
|
06/27/2029 |
3,626,775 |
| |
WestJet
Loyalty LP |
|
|
|
| 2,435,000 |
Senior
Secured First Lien Term Loan (1 mo. Term SOFR + 3.75%) |
9.18% |
|
02/14/2031 |
2,449,001 |
| |
WWEX
Uni Topco Holdings LLC |
|
|
|
| 490,000 |
Senior
Secured Second Lien Term Loan (3 mo. Term SOFR + 7.00%) |
12.34% |
|
07/26/2029 |
470,400 |
| |
Total
Bank Loans (Cost $312,184,593) |
|
291,752,172 |
| COLLATERALIZED
LOAN OBLIGATIONS - 12.2% |
| |
Apidos
CLO |
|
|
|
| 3,000,000 |
Series
2016-24A-DR (3 mo. Term SOFR + 6.06%, 0.00% Floor) |
11.39% |
(a) |
10/20/2030 |
2,981,438 |
| |
Atrium
CDO Corp. |
|
|
|
| 2,500,000 |
Series
15A-E (3 mo. Term SOFR + 6.11%, 5.85% Floor) |
11.44% |
(a) |
01/23/2031 |
2,510,200 |
| |
Babson
CLO Ltd./Cayman Islands |
|
|
|
| 2,250,000 |
Series
2015-2A-ER (3 mo. Term SOFR + 6.71%, 0.00% Floor) |
12.04% |
(a) |
10/20/2030 |
2,241,811 |
| 1,500,000 |
Series
2018-4A-E (3 mo. Term SOFR + 6.08%, 5.82% Floor) |
11.41% |
(a) |
10/15/2030 |
1,507,279 |
| 5,000,000 |
Series
2019-2A-DR (3 mo. Term SOFR + 7.04%, 6.78% Floor) |
12.37% |
(a) |
04/15/2036 |
4,996,400 |
| 1,000,000 |
Series
2020-1A-ER (3 mo. Term SOFR + 6.91%, 6.65% Floor) |
12.24% |
(a) |
10/15/2036 |
1,009,284 |
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| |
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 |
| |
Buttermilk
Park CLO |
|
|
|
| 6,500,000 |
Series
2018-1A-E (3 mo. Term SOFR + 6.01%, 5.75% Floor) |
11.34% |
(a) |
10/15/2031 |
6,510,653 |
| |
Canyon
Capital CLO Ltd. |
|
|
|
| 2,500,000 |
Series
2016-1A-ER (3 mo. Term SOFR + 6.01%, 0.00% Floor) |
11.34% |
(a) |
07/15/2031 |
2,477,163 |
| 6,650,000 |
Series
2017-1A-E (3 mo. Term SOFR + 6.51%, 0.00% Floor) |
11.84% |
(a) |
07/15/2030 |
6,540,034 |
| 1,000,000 |
Series
2021-1A-E (3 mo. Term SOFR + 6.67%, 6.41% Floor) |
12.00% |
(a) |
04/15/2034 |
969,578 |
| 6,000,000 |
Series
2021-2A-E (3 mo. Term SOFR + 6.96%, 6.96% Floor) |
12.29% |
(a) |
04/15/2034 |
5,985,563 |
| |
Canyon
CLO |
|
|
|
| 2,500,000 |
Series
2018-1A-E (3 mo. Term SOFR + 6.01%, 5.75% Floor) |
11.34% |
(a) |
07/15/2031 |
2,479,245 |
| |
Carlyle
Global Market Strategies |
|
|
|
| 3,000,000 |
Series
2019-1A-D (3 mo. Term SOFR + 6.96%, 6.70% Floor) |
12.29% |
(a) |
04/20/2031 |
3,005,435 |
| |
Carlyle
Group, Inc. |
|
|
|
| 2,000,000 |
Series
2013-3A-DR (3 mo. Term SOFR + 5.76%, 0.00% Floor) |
11.09% |
(a) |
10/15/2030 |
1,970,276 |
| |
Chenango
Park CLO |
|
|
|
| 1,500,000 |
Series
2018-1A-D (3 mo. Term SOFR + 6.06%, 5.80% Floor) |
11.39% |
(a) |
04/15/2030 |
1,464,035 |
| |
CIFC
Funding Ltd. |
|
|
|
| 750,000 |
Series
2013-1A-DR (3 mo. Term SOFR + 6.91%, 0.00% Floor) |
12.24% |
(a) |
07/16/2030 |
752,892 |
| |
Dryden
Senior Loan Fund |
|
|
|
| 3,000,000 |
Series
2015-37A-ER (3 mo. Term SOFR + 5.41%, 5.15% Floor) |
10.74% |
(a) |
01/15/2031 |
2,715,672 |
| 2,500,000 |
Series
2018-55A-F (3 mo. Term SOFR + 7.46%, 0.00% Floor) |
12.79% |
(a) |
04/15/2031 |
1,999,431 |
| |
Halcyon
Loan Advisors Funding Ltd. |
|
|
|
| 1,228,565 |
Series
2014-2A-D (3 mo. Term SOFR + 5.26%, 0.00% Floor) |
10.59% |
(a)(b) |
04/28/2025 |
251,979 |
| 1,498,998 |
Series
2014-2A-E (3 mo. Term SOFR + 6.01%, 0.00% Floor) |
11.34% |
(a)(b) |
04/28/2025 |
30 |
| |
LCM
LP |
|
|
|
| 5,000,000 |
Series
17A-ER (3 mo. Term SOFR + 6.26%, 6.00% Floor) |
11.59% |
(a)(b) |
10/15/2031 |
4,066,909 |
| 6,500,000 |
Series
26A-E (3 mo. Term SOFR + 5.56%, 5.30% Floor) |
10.89% |
(a) |
01/20/2031 |
5,297,350 |
| 2,000,000 |
Series
28A-E (3 mo. Term SOFR + 6.01%, 5.75% Floor) |
11.34% |
(a) |
10/20/2030 |
1,755,912 |
| |
LCM
XIII LP |
|
|
|
| 3,500,000 |
Series
14A-FR (3 mo. Term SOFR + 7.87%, 0.00% Floor) |
13.20% |
(a)(b) |
07/20/2031 |
1,908,424 |
| |
Madison
Park Funding Ltd. |
|
|
|
| 11,000,000 |
Series
2014-14A-ER (3 mo. Term SOFR + 6.06%, 5.80% Floor) |
11.39% |
(a) |
10/22/2030 |
11,067,892 |
| 1,000,000 |
Series
2019-34A-ER (3 mo. Term SOFR + 6.91%, 6.65% Floor) |
12.24% |
(a) |
04/25/2032 |
1,006,445 |
| |
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 |
| |
Marble
Point CLO |
|
|
|
| 500,000 |
Series
2018-1A-D (3 mo. Term SOFR + 3.26%, 0.00% Floor) |
8.59% |
(a) |
07/16/2031 |
489,860 |
| |
Neuberger
Berman CLO Ltd. |
|
|
|
| 2,000,000 |
Series
2017-16SA-ER (3 mo. Term SOFR + 6.51%, 6.25% Floor) |
11.84% |
(a) |
04/15/2034 |
2,013,943 |
| 1,000,000 |
Series
2019-31A-ER (3 mo. Term SOFR + 6.76%, 6.50% Floor) |
12.09% |
(a) |
04/20/2031 |
1,008,205 |
| 1,750,000 |
Series
2019-32A-ER (3 mo. Term SOFR + 6.36%, 6.10% Floor) |
11.69% |
(a) |
01/20/2032 |
1,759,056 |
| 2,250,000 |
Series
2019-33A-ER (3 mo. Term SOFR + 6.51%, 6.25% Floor) |
11.84% |
(a) |
10/16/2033 |
2,246,232 |
| |
Newark
BSL CLO |
|
|
|
| 2,000,000 |
Series
2017-1A-D (3 mo. Term SOFR + 6.56%, 0.00% Floor) |
11.89% |
(a) |
07/25/2030 |
1,969,910 |
| |
Octagon
Investment Partners Ltd. |
|
|
|
| 5,000,000 |
Series
2012-1A-DR (3 mo. Term SOFR + 7.41%, 0.00% Floor) |
12.74% |
(a) |
07/15/2029 |
4,761,601 |
| 8,750,000 |
Series
2013-1A-ER (3 mo. Term SOFR + 6.01%, 5.75% Floor) |
11.33% |
(a) |
07/17/2030 |
8,245,352 |
| 5,460,000 |
Series
2013-1A-ER (3 mo. Term SOFR + 7.26%, 0.00% Floor) |
12.59% |
(a) |
07/19/2030 |
5,482,994 |
| 2,000,000 |
Series
2016-1A-FR (3 mo. Term SOFR + 8.35%, 8.35% Floor) |
13.68% |
(a) |
07/15/2030 |
1,502,297 |
| 4,000,000 |
Series
2017-1A-D (3 mo. Term SOFR + 6.46%, 0.00% Floor) |
11.79% |
(a)(b) |
03/17/2030 |
3,826,734 |
| 500,000 |
Series
2019-1A-DR (3 mo. Term SOFR + 3.51%, 3.25% Floor) |
8.84% |
(a) |
10/15/2034 |
488,805 |
| 2,000,000 |
Series
2019-3A-ER (3 mo. Term SOFR + 7.01%, 6.75% Floor) |
12.34% |
(a) |
07/15/2034 |
1,988,842 |
| 1,000,000 |
Series
2020-2A-ER (3 mo. Term SOFR + 6.86%, 6.60% Floor) |
12.19% |
(a) |
07/15/2036 |
917,359 |
| |
Point
Au Roche Park CLO |
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 500,000 |
Series
2021-1A-E (3 mo. Term SOFR + 6.36%, 6.10% Floor) |
11.69% |
(a) |
07/20/2034 |
502,559
|
| |
Sound
Point CLO Ltd. |
|
|
|
| 2,400,000 |
Series
2019-2A-ER (3 mo. Term SOFR + 6.73%, 6.47% Floor) |
12.06% |
(a) |
07/15/2034 |
2,127,679
|
| 500,000 |
Series
2020-2A-ER (3 mo. Term SOFR + 6.82%, 6.56% Floor) |
12.15% |
(a) |
10/25/2034 |
471,808
|
| 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
|
| |
Stewart
Park CLO |
|
|
|
| 7,500,000 |
Series
2015-1A-ER (3 mo. Term SOFR + 5.54%, 5.28% Floor) |
10.87% |
(a) |
01/15/2030 |
7,372,513
|
| |
Venture
CDO Ltd. |
|
|
|
| 7,200,000 |
Series
2016-24A-E (3 mo. Term SOFR + 6.98%, 0.00% Floor) |
12.31% |
(a) |
10/20/2028 |
6,335,937
|
| 5,000,000 |
Series
2017-26A-E (3 mo. Term SOFR + 7.06%, 0.00% Floor) |
12.39% |
(a) |
01/20/2029 |
3,969,337
|
| 4,000,000 |
Series
2017-27A-E (3 mo. Term SOFR + 6.61%, 0.00% Floor) |
11.94% |
(a) |
07/20/2030 |
2,928,480
|
| |
Voya
CLO Ltd. |
|
|
|
| 1,500,000 |
Series
2017-1A-D (3 mo. Term SOFR + 6.36%, 0.00% Floor) |
11.68% |
(a) |
04/17/2030 |
1,469,285
|
| 1,000,000 |
Series
2018-2A-E (3 mo. Term SOFR + 5.51%, 5.25% Floor) |
10.84% |
(a) |
07/15/2031 |
944,768
|
| 1,000,000 |
Series
2018-2A-F (3 mo. Term SOFR + 7.55%, 7.29% Floor) |
12.88% |
(a) |
07/15/2031 |
764,274
|
| |
Wind
River CLO Ltd. |
|
|
|
| 2,000,000 |
Series
2013-2A-E1R (3 mo. Term SOFR + 7.01%, 0.00% Floor) |
12.34% |
(a)(b) |
10/18/2030 |
1,956,777
|
| 3,500,000 |
Series
2014-2A-ER (3 mo. Term SOFR + 6.01%, 5.75% Floor) |
11.34% |
(a)(b) |
01/15/2031 |
2,867,493
|
| 2,000,000 |
Series
2014-3A-ER2 (3 mo. Term SOFR + 6.48%, 6.22% Floor) |
11.81% |
(a)(b) |
10/22/2031 |
1,805,468
|
| 5,000,000 |
Series
2017-1A-ER (3 mo. Term SOFR + 7.32%, 7.06% Floor) |
12.65% |
(a) |
04/18/2036 |
4,755,358
|
| 3,000,000 |
Series
2017-3A-ER (3 mo. Term SOFR + 7.31%, 7.05% Floor) |
12.64% |
(a) |
04/15/2035 |
2,933,209
|
| 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 $175,497,130) |
|
162,601,446
|
| FOREIGN
CORPORATE BONDS - 40.2% |
| 9,400,000 |
ABM
Investama Tbk PT |
9.50% |
(a) |
08/05/2026 |
9,312,027
|
| 17,688,298 |
Acu
Petroleo Luxembourg Sarl |
7.50% |
|
01/13/2032 |
17,175,845
|
| 4,000,000 |
Adani
Electricity Mumbai Ltd. |
3.87% |
|
07/22/2031 |
3,273,919
|
| 3,268,000 |
Adani
International Container Terminal Pvt Ltd. |
3.00% |
|
02/16/2031 |
2,738,699
|
| 17,580,000 |
Adani
Ports & Special Economic Zone Ltd. |
5.00% |
|
08/02/2041 |
13,764,730
|
| 2,000,000 |
AI
Candelaria Spain SA |
5.75% |
(a) |
06/15/2033 |
1,619,550
|
| 23,092,000 |
AI
Candelaria Spain SA |
5.75% |
|
06/15/2033 |
18,699,322
|
| 14,407,320 |
Alpha
Holding SAB de CV |
10.00% |
(b)(g) |
12/19/2024 |
216,110
|
| 376,662 |
Alpha
Holding SAB de CV |
10.00% |
(a)(b)(g) |
12/19/2024 |
5,650
|
| 12,208,365 |
Alpha
Holding SAB de CV |
9.00% |
(a)(b)(g) |
02/10/2025 |
66,780
|
| 5,939,205 |
Alpha
Holding SAB de CV |
9.00% |
(b)(g) |
02/10/2025 |
32,488
|
| 4,000,000 |
Altice
France SA |
5.50% |
(a)(h) |
10/15/2029 |
2,641,870
|
| 3,300,000 |
ARD
Finance SA
7.25% PIK |
6.50% |
(a) |
06/30/2027 |
839,883
|
| 8,800,000 |
Aris
Mining Corp. |
6.88% |
|
08/09/2026 |
8,280,404
|
| 18,331,000 |
Banco
Davivienda SA
(10 yr. CMT Rate + 5.10%) |
6.65% |
(i) |
04/22/2031 |
13,564,940
|
| 670,000 |
Banco
do Estado do Rio Grande do Sul SA
(5 yr. CMT Rate + 4.93%) |
5.38% |
|
01/28/2031 |
635,668
|
| 8,805,000 |
Banco
GNB Sudameris SA
(5 yr. CMT Rate + 6.66%) |
7.50% |
|
04/16/2031 |
7,839,737
|
| 16,800,000 |
Banco
GNB Sudameris SA
(5 yr. CMT Rate + 6.66%) |
7.50% |
(a) |
04/16/2031 |
14,958,271
|
| 16,000,000 |
Banco
Mercantil del Norte SA/Grand Cayman
(10 yr. CMT Rate + 5.03%) |
6.63% |
(i) |
01/24/2032 |
14,060,574
|
| 3,000,000 |
Banco
Mercantil del Norte SA/Grand Cayman
(10 yr. CMT Rate + 5.03%) |
6.63% |
(a)(i) |
01/24/2032 |
2,636,358
|
| 12,000,000 |
Bancolombia
SA
(5 yr. CMT Rate + 4.32%) |
8.63% |
|
12/24/2034 |
12,263,820
|
| 2,600,000 |
BBVA
Bancomer SA/Texas
(5 yr. CMT Rate + 2.65%) |
5.13% |
|
01/18/2033 |
2,371,361
|
| 11,500,000 |
BBVA
Bancomer SA/Texas
(5 yr. CMT Rate + 4.31%) |
5.88% |
|
09/13/2034 |
10,669,868
|
| 20,000,000 |
Braskem
Idesa SAPI |
6.99% |
|
02/20/2032 |
15,186,286
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 3,000,000 |
Braskem
Idesa SAPI |
6.99% |
(a) |
02/20/2032 |
2,277,943 |
| 2,000,000 |
Braskem
Netherlands Finance BV |
8.50% |
|
01/12/2031 |
2,044,390 |
| 15,150,000 |
Braskem
Netherlands Finance BV |
5.88% |
|
01/31/2050 |
11,202,881 |
| 21,500,000 |
BRF
SA |
5.75% |
|
09/21/2050 |
17,178,630 |
| 1,958,000 |
Calfrac
Holdings LP |
10.88% |
(a) |
03/15/2026 |
1,959,243 |
| 8,348,000 |
Camposol
SA |
6.00% |
|
02/03/2027 |
7,206,075 |
| 20,800,000 |
Canacol
Energy Ltd. |
5.75% |
|
11/24/2028 |
11,016,387 |
| 550,000 |
CAP
SA |
3.90% |
|
04/27/2031 |
440,483 |
| 6,547,775 |
CFG
Investment SAC |
10.00% |
(a) |
11/07/2032 |
3,666,754 |
| 4,413,196 |
CFG
NEW MONEY NT |
13.98% |
(b)(d) |
11/07/2032 |
4,653,274 |
| 3,080,000 |
Cia
de Minas Buenaventura SAA |
5.50% |
|
07/23/2026 |
2,979,879 |
| 3,000,000 |
Colombia
Telecomunicaciones SA ESP |
4.95% |
|
07/17/2030 |
2,362,562 |
| 1,482,000 |
Comision
Federal de Electricidad |
5.00% |
|
07/30/2049 |
1,226,355 |
| 2,800,000 |
Connect
Finco SARL / Connect US Finco LLC |
6.75% |
(a) |
10/01/2026 |
2,704,831 |
| 15,800,000 |
Coruripe
Netherlands BV |
10.00% |
|
02/10/2027 |
13,881,340 |
| 9,150,000 |
Credito
Real SAB de CV SOFOM ER
(5 yr. CMT Rate + 7.03%) |
9.13% |
(a)(g)(i) |
11/29/2027 |
23,790 |
| 17,286,000 |
Credito
Real SAB de CV SOFOM ER
(5 yr. CMT Rate + 7.03%) |
9.13% |
(g)(i) |
11/29/2027 |
44,944 |
| 7,700,000 |
CSN
Resources SA |
4.63% |
|
06/10/2031 |
6,052,957 |
| 5,100,000 |
CSN
Resources SA |
5.88% |
|
04/08/2032 |
4,248,194 |
| 9,508,709 |
Digicel
Group Holdings Ltd. |
0.00% |
(a)(b) |
12/31/2030 |
1,932,352 |
| 36,415 |
Digicel
Group Holdings Ltd. |
0.00% |
(a)(b) |
12/31/2030 |
36,179 |
| 4,135,902 |
Digicel
Group Holdings Ltd. |
0.00% |
(a)(b) |
12/31/2030 |
97,950 |
| 660,724 |
Digicel
Group Holdings Ltd. |
0.00% |
(a)(b) |
12/31/2030 |
656,437 |
| 1,375,000 |
eG
Global Finance PLC |
12.00% |
(a) |
11/30/2028 |
1,465,307 |
| 11,650,000 |
Empresas
Publicas de Medellin ESP |
4.38% |
|
02/15/2031 |
9,643,418 |
| 13,400,000 |
EnfraGen
Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA |
5.38% |
|
12/30/2030 |
11,194,630 |
| 4,812,080 |
Fideicomiso
PA Pacifico Tres |
8.25% |
|
01/15/2035 |
4,739,899 |
| 15,000,000 |
Frigorifico
Concepcion SA |
7.70% |
(a) |
07/21/2028 |
10,214,510 |
| 6,160,000 |
Frigorifico
Concepcion SA |
7.70% |
|
07/21/2028 |
4,194,759 |
| 3,000,000 |
Garda
World Security Corp. |
9.50% |
(a) |
11/01/2027 |
3,016,776 |
| 4,205,000 |
Garda
World Security Corp. |
6.00% |
(a) |
06/01/2029 |
3,840,519 |
| 4,000,000 |
Global
Aircraft Leasing Co. Ltd.
7.25% PIK |
6.50% |
(a) |
09/15/2024 |
3,854,268 |
| 19,400,000 |
Gran
Tierra Energy, Inc. |
9.50% |
(a) |
10/15/2029 |
18,491,785 |
| 9,192,465 |
Guara
Norte Sarl |
5.20% |
|
06/15/2034 |
8,478,481 |
| 7,180,000 |
Husky
Injection Molding Systems Ltd. / Titan Co.-Borrower LLC |
9.00% |
(a) |
02/15/2029 |
7,443,966 |
| 5,925,566 |
Invepar
Holdings |
0.00% |
(b)(g) |
12/30/2028 |
– |
| 2,000,000 |
JBS
USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. |
4.38% |
|
02/02/2052 |
1,496,329 |
| 9,652,000 |
Kawasan
Industri Jababeka Tbk PT |
7.50% |
(a)(j) |
12/15/2027 |
9,435,570 |
| 1,690,000 |
Kronos
Acquisition Holdings, Inc. |
8.25% |
(a) |
06/30/2031 |
1,693,803 |
| 3,335,000 |
Kronos
Acquisition Holdings, Inc. |
10.75% |
(a) |
06/30/2032 |
3,202,675 |
| 1,700,000 |
MARB
BondCo PLC |
3.95% |
|
01/29/2031 |
1,414,178 |
| 4,866,132 |
MC
Brazil Downstream Trading SARL |
7.25% |
|
06/30/2031 |
4,316,318 |
| 6,300,000 |
Metinvest
BV |
7.75% |
|
10/17/2029 |
4,166,820 |
| 17,360,000 |
Mexarrend
SAPI de CV |
10.25% |
(a)(g) |
07/24/2024 |
2,274,160 |
| 7,600,000 |
Mexarrend
SAPI de CV |
10.25% |
(g) |
07/24/2024 |
995,600 |
| 7,100,000 |
Movida
Europe SA |
7.85% |
(a) |
04/11/2029 |
6,686,603 |
| 1,700,000 |
Movida
Europe SA |
7.85% |
|
04/11/2029 |
1,601,018 |
| 4,298,000 |
Movida
Europe SA |
5.25% |
|
02/08/2031 |
3,552,487 |
| 14,752,246 |
MV24
Capital BV |
6.75% |
|
06/01/2034 |
14,104,893 |
| 17,495 |
Oi
SA
7.00% + 5.50% PIK |
12.50% |
(a)(b) |
12/15/2024 |
17,407 |
| 3,053,787 |
Oi SA
7.00%
+ 5.50% PIK |
12.50% |
(a)(b) |
12/15/2024 |
3,038,518 |
| 1,622,983 |
Oi
SA
7.00% + 5.50% PIK |
12.50% |
(a) |
12/15/2024 |
1,614,868 |
| 23,000,000 |
Oi
SA |
10.00% |
(g) |
07/27/2025 |
227,700 |
| 1,740,000 |
Ontario
Gaming GTA LP/OTG Co.-Issuer, Inc. |
8.00% |
(a) |
08/01/2030 |
1,787,024 |
| 14,325,000 |
Operadora
de Servicios Mega SAB de CV Sofom ER |
8.25% |
(a) |
02/11/2025 |
5,228,624 |
| 7,665,000 |
Operadora
de Servicios Mega SAB de CV Sofom ER |
8.25% |
|
02/11/2025 |
2,797,725 |
| 12,000,000 |
Sasol
Financing USA LLC |
5.50% |
|
03/18/2031 |
10,129,465 |
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 1,330,000 |
Seaspan
Corp. |
5.50% |
(a) |
08/01/2029 |
1,188,513 |
| 11,103,000 |
SierraCol
Energy Andina LLC |
6.00% |
|
06/15/2028 |
9,933,529 |
| 16,215,000 |
Simpar
Europe SA |
5.20% |
|
01/26/2031 |
13,357,870 |
| 3,935,000 |
Telesat
Canada / Telesat LLC |
5.63% |
(a) |
12/06/2026 |
1,859,651 |
| 17,533,000 |
Tullow
Oil PLC |
10.25% |
(a) |
05/15/2026 |
16,660,048 |
| 8,316,082 |
UEP
Penonome II SA |
6.50% |
|
10/01/2038 |
6,997,300 |
| 13,400,000 |
Unigel
Luxembourg SA |
8.75% |
(g) |
10/01/2026 |
3,802,920 |
| 22,983,000 |
UPL
Corp. Ltd.
(5 yr. CMT Rate + 3.87%) |
5.25% |
(i) |
02/27/2025 |
16,574,564 |
| 10,000,000 |
Vedanta
Resources Finance II PLC |
9.25% |
|
04/23/2026 |
9,149,374 |
| 19,270,000 |
Vedanta
Resources Ltd. |
13.88% |
|
12/09/2028 |
18,455,320 |
| |
Total
Foreign Corporate Bonds (Cost $687,646,811) |
|
535,087,182 |
| FOREIGN
GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 12.7% |
| 1,281,000 |
Aeropuerto
Internacional de Tocumen SA |
4.00% |
|
08/11/2041 |
966,130 |
| 13,065,000 |
Aeropuerto
Internacional de Tocumen SA |
5.13% |
|
08/11/2061 |
9,644,870 |
| 7,200,000 |
Brazilian
Government International Bond |
4.75% |
|
01/14/2050 |
5,181,122 |
| 500,000 |
Colombia
Government International Bond |
4.13% |
|
02/22/2042 |
326,973 |
| 16,000,000 |
Colombia
Government International Bond |
5.00% |
(h) |
06/15/2045 |
11,285,764 |
| 6,300,000 |
Colombia
Government International Bond |
5.20% |
|
05/15/2049 |
4,453,007 |
| 12,000,000 |
Colombia
Government International Bond |
4.13% |
|
05/15/2051 |
7,217,632 |
| 5,400,000 |
Comision
Federal de Electricidad |
4.68% |
|
02/09/2051 |
3,731,567 |
| 6,500,000 |
Ecopetrol
SA |
5.88% |
|
05/28/2045 |
4,663,791 |
| 25,000,000 |
Ecopetrol
SA |
5.88% |
|
11/02/2051 |
17,377,180 |
| 15,420,000 |
Empresa
de Transmision Electrica SA |
5.13% |
|
05/02/2049 |
11,204,609 |
| 2,200,000 |
Mexico
City Airport Trust |
5.50% |
|
07/31/2047 |
1,830,103 |
| 15,400,000 |
Mexico
Government International Bond |
3.77% |
|
05/24/2061 |
9,474,833 |
| 22,000,000 |
OCP
SA |
5.13% |
|
06/23/2051 |
16,585,140 |
| 22,300,000 |
Panama
Government International Bond |
3.87% |
|
07/23/2060 |
12,769,706 |
| 29,500,000 |
Petroleos
del Peru SA |
5.63% |
|
06/19/2047 |
18,859,851 |
| 17,200,000 |
Petroleos
Mexicanos |
6.38% |
|
01/23/2045 |
11,163,316 |
| 10,200,000 |
Petroleos
Mexicanos |
6.75% |
|
09/21/2047 |
6,715,871 |
| 14,000,000 |
Republic
of South Africa Government International Bond |
5.65% |
(h) |
09/27/2047 |
10,603,268 |
| 6,700,000 |
Ukraine
Government International Bond |
7.25% |
(g) |
03/15/2035 |
1,945,278 |
| 5,243,000 |
YPF
SA |
7.00% |
|
12/15/2047 |
3,698,725 |
| |
Total
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $206,316,374) |
|
169,698,736 |
| NON-AGENCY
COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 13.0% |
| |
ACREC
Trust |
|
|
|
| 5,000,000 |
Series
2023-FL2-C (1 mo. Term SOFR + 4.28%, 4.28% Floor) |
9.61% |
(a) |
02/19/2038 |
5,073,935 |
| |
Alen
Mortgage Trust |
|
|
|
| 13,000,000 |
Series
2021-ACEN-F (1 mo. Term SOFR + 5.11%, 5.00% Floor) |
10.44% |
(a) |
04/15/2034 |
5,959,786 |
| |
AREIT
Ltd. |
|
|
|
| 3,000,000 |
Series
2024-CRE9-D (1 mo. Term SOFR + 4.29%, 4.29% Floor) |
9.61% |
(a) |
05/17/2041 |
3,005,298 |
| |
AREIT
Trust |
|
|
|
| 1,500,000 |
Series
2022-CRE7-D (1 mo. Term SOFR + 4.44%, 4.44% Floor) |
9.77% |
(a) |
06/17/2039 |
1,506,843 |
| |
BANK5
Trust |
|
|
|
| 71,528,879 |
Series
2023-5YR4-XA |
1.26% |
(d)(k) |
12/15/2056 |
2,714,807 |
| |
Beast
Mortgage Trust |
|
|
|
| 6,325,000 |
Series
2021-1818-G (1 mo. Term SOFR + 6.11%, 6.25% Floor) |
11.44% |
(a) |
03/15/2036 |
3,379,115 |
| |
Benchmark
Mortgage Trust |
|
|
|
| 121,775,000 |
Series
2020-B18-AGNX |
0.62% |
(a)(d)(k) |
07/15/2053 |
521,380 |
| |
BSREP
Commercial Mortgage Trust |
|
|
|
| 6,757,145 |
Series
2021-DC-G (1 mo. Term SOFR + 3.96%, 3.85% Floor) |
9.29% |
(a) |
08/15/2038 |
4,258,588 |
| |
BX
Trust |
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 1,825,000 |
Series
2019-IMC-D (1 mo. Term SOFR + 1.95%, 1.90% Floor) |
7.28% |
(a) |
04/15/2034 |
1,777,530 |
| |
Cantor
Commercial Real Estate Lending LP |
|
|
|
| 10,200,000 |
Series
2019-CF2-SWX1 |
1.45% |
(a)(d)(k) |
11/15/2052 |
570,588 |
| 12,080,000 |
Series
2019-CF2-SWX2 |
1.19% |
(a)(d)(k) |
11/15/2052 |
530,847 |
| |
Carbon
Capital VI Commercial Mortgage Trust |
|
|
|
| 8,095,225 |
Series
2019-FL2-B (1 mo. Term SOFR + 2.96%, 2.85% Floor) |
8.29% |
(a) |
10/15/2035 |
7,050,936 |
| |
Citigroup
Commercial Mortgage Trust |
|
|
|
| 30,511,115 |
Series
2014-GC25-XG |
1.35% |
(a)(d)(k) |
10/10/2047 |
15,195 |
| 4,484,000 |
Series
2015-GC27-D |
4.57% |
(a)(d) |
02/10/2048 |
4,039,769 |
| |
CLNC
Ltd. |
|
|
|
| 2,856,000 |
Series
2019-FL1-D (1 mo. Term SOFR + 3.01%, 2.90% Floor) |
8.35% |
(a) |
08/20/2035 |
2,798,989 |
| |
Commercial
Mortgage Pass Through Certificates |
|
|
|
| 3,929,315 |
Series
2014-UBS4-F |
3.75% |
(a)(b) |
08/10/2047 |
407,376 |
| 5,472,737 |
Series
2014-UBS4-G |
3.75% |
(a)(b) |
08/10/2047 |
22,241 |
| 14,000 |
Series
2014-UBS4-V |
0.00% |
(a)(b)(d) |
08/10/2047 |
1 |
| 18,438,000 |
Series
2015-CR26-XD |
1.36% |
(a)(d)(k) |
10/10/2048 |
241,215 |
| |
Computershare
Corporate Trust |
|
|
|
| 9,180,600 |
Series
2015-C29-F |
4.36% |
(a)(b)(d) |
06/15/2048 |
6,497,698 |
| 38,737,225 |
Series
2015-C29-G |
4.36% |
(a)(b)(d) |
06/15/2048 |
8,347,136 |
| 23,520,000 |
Series
2016-LC24-XEF |
1.77% |
(a)(d)(k) |
10/15/2049 |
751,309 |
| 2,200,000 |
Series
2017-RC1-D |
3.25% |
(a) |
01/15/2060 |
1,647,611 |
| |
DOLP
Trust |
|
|
|
| 4,875,000 |
Series
2021-NYC-G |
3.70% |
(a)(d) |
05/10/2041 |
2,377,325 |
| |
FIVE
Mortgage Trust |
|
|
|
| 1,433,000 |
Series
2023-V1-D |
6.51% |
(a)(d) |
02/10/2056 |
1,323,341 |
| |
Great
Wolf Trust |
|
|
|
| 5,000,000 |
Series
2024-WLF2-E (1 mo. Term SOFR + 3.64%) |
8.97% |
(a) |
05/15/2041 |
5,025,106 |
| |
Greystone
Commercial Real Estate Notes |
|
|
|
| 3,080,000 |
Series
2021-FL3-D (1 mo. Term SOFR + 2.31%, 2.20% Floor) |
7.64% |
(a) |
07/15/2039 |
2,993,150 |
| |
GS
Mortgage Securities Corp. II |
|
|
|
| 965,126 |
Series
2014-GC20-E |
4.63% |
(a)(b)(d) |
04/10/2047 |
95,093 |
| 6,273,000 |
Series
2015-GC28-D |
4.45% |
(a)(d) |
02/10/2048 |
5,764,983 |
| 6,618,000 |
Series
2021-ARDN-H (1 mo. Term SOFR + 6.05%, 5.93% Floor) |
11.38% |
(a) |
11/15/2026 |
6,528,145 |
| |
HGI
CRE CLO Ltd. |
|
|
|
| 2,800,000 |
Series
2021-FL1-D (1 mo. Term SOFR + 2.46%, 2.46% Floor) |
7.79% |
(a) |
06/16/2036 |
2,750,502 |
| |
JPMBB
Commercial Mortgage Securities Trust |
|
|
|
| 43,854,412 |
Series
2013-C14-XC |
0.65% |
(a)(d)(k) |
08/15/2046 |
226,585 |
| 6,657,931 |
Series
2014-C19-E |
4.00% |
(a)(b)(d) |
04/15/2047 |
6,438,408 |
| 6,596,660 |
Series
2014-C19-NR |
3.75% |
(a)(b)(d) |
04/15/2047 |
4,728,433 |
| 33,207,401 |
Series
2014-C21-XD |
0.92% |
(a)(d)(k) |
08/15/2047 |
1,840 |
| 5,000,000 |
Series
2015-C27-E |
2.81% |
(a)(b)(d) |
02/15/2048 |
562,500 |
| 24,531,000 |
Series
2015-C27-XE |
1.64% |
(a)(d)(k) |
02/15/2048 |
132,784 |
| |
KREF |
|
|
|
| 3,350,000 |
Series
2021-FL2-C (1 mo. Term SOFR + 2.11%, 2.00% Floor) |
7.44% |
(a) |
02/15/2039 |
3,162,413 |
| |
LoanCore |
|
|
|
| 3,000,000 |
Series
2021-CRE5-C (1 mo. Term SOFR + 2.46%, 2.46% Floor) |
7.79% |
(a) |
07/15/2036 |
2,870,904 |
| 3,000,000 |
Series
2021-CRE6-D (1 mo. Term SOFR + 2.96%, 2.85% Floor) |
8.29% |
(a) |
11/15/2038 |
2,831,766 |
| |
LSTAR
Commercial Mortgage Trust |
|
|
|
| 2,379,000 |
Series
2017-5-C |
4.82% |
(a)(d) |
03/10/2050 |
2,042,869 |
| |
Med
Trust |
|
|
|
| 14,928,355 |
Series
2021-MDLN-G (1 mo. Term SOFR + 5.36%, 5.25% Floor) |
10.69% |
(a) |
11/15/2038 |
14,963,477 |
| |
MF1
LLC |
|
|
|
| 4,550,000 |
Series
2022-FL10-C (1 mo. Term SOFR + 4.48%, 4.48% Floor) |
9.82% |
(a) |
09/17/2037 |
4,602,516 |
| 2,500,000 |
Series
2022-FL10-D (1 mo. Term SOFR + 5.73%, 5.73% Floor) |
11.07% |
(a) |
09/17/2037 |
2,526,983 |
| |
MF1
Multifamily Housing Mortgage Loan Trust |
|
|
|
| 3,300,000 |
Series
2023-FL12-C (1 mo. Term SOFR + 3.78%, 3.78% Floor) |
9.12% |
(a) |
10/19/2038 |
3,323,529 |
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 2,625,000 |
Series
2024-FL14-D (1 mo. Term SOFR + 4.84%, 4.84% Floor) |
10.18% |
(a) |
03/19/2039 |
2,673,670 |
| 3,200,000 |
Series
2024-FL15-D (1 mo. Term SOFR + 4.04%, 4.04% Floor) |
9.34% |
(a) |
08/18/2041 |
3,192,000 |
| |
Morgan
Stanley Capital I, Inc. |
|
|
|
| 29,339,690 |
Series
2016-UB11-XA |
1.57% |
(d)(k) |
08/15/2049 |
680,420 |
| 3,357,000 |
Series
2019-PLND-F (1 mo. Term SOFR + 2.91%, 2.80% Floor) |
8.24% |
(a) |
05/15/2036 |
359,659 |
| 13,000,000 |
Series
2019-PLND-G (1 mo. Term SOFR + 3.76%, 3.65% Floor) |
9.09% |
(a) |
05/15/2036 |
846,782 |
| |
Natixis
Commercial Mortgage Securities Trust |
|
|
|
| 5,000,000 |
Series
2022-JERI-G (1 mo. Term SOFR + 7.46%, 7.46% Floor) |
12.79% |
(a) |
01/15/2039 |
3,916,420 |
| |
Ready
Capital Corp. |
|
|
|
| 1,000,000 |
Series
2022-FL8-D (30 day avg SOFR US + 3.70%, 3.70% Floor) |
9.04% |
(a) |
01/25/2037 |
961,277 |
| |
SCOTT
Trust |
|
|
|
| 500,000,000 |
Series
2023-SFS-X |
0.32% |
(a)(d)(k) |
03/10/2040 |
2,979,750 |
| |
SMR
Mortgage Trust |
|
|
|
| 24,352,775 |
Series
2022-INDI-HRR (1 mo. Term SOFR + 10.50%, 10.50% Floor) |
15.83% |
(b) |
02/15/2039 |
20,379,499 |
| |
WF-RBS
Commercial Mortgage Trust |
|
|
|
| 78,814,809 |
Series
2014-LC14-XC |
1.87% |
(a)(d)(k) |
03/15/2047 |
1,660,076 |
| |
Total
Non-Agency Commercial Mortgage Backed Obligations (Cost $232,700,396) |
|
174,040,398 |
| US
CORPORATE BONDS - 22.0% |
| 7,270,000 |
Allied
Universal Holdco LLC / Allied Universal Finance Corp. |
9.75% |
(a) |
07/15/2027 |
7,233,214 |
| 3,025,000 |
Artera
Services LLC |
8.50% |
(a) |
02/15/2031 |
3,116,515 |
| 4,038,000 |
ASP
Unifrax Holdings, Inc. |
7.50% |
(a) |
09/30/2029 |
2,064,084 |
| 3,245,000 |
Bausch
+ Lomb Corp. |
8.38% |
(a) |
10/01/2028 |
3,326,125 |
| 5,215,000 |
BCPE
Empire Holdings, Inc. |
7.63% |
(a) |
05/01/2027 |
5,058,301 |
| 750,000 |
Boxer
Parent Co., Inc. |
7.13% |
(a) |
10/02/2025 |
752,540 |
| 4,810,000 |
Brand
Industrial Services, Inc. |
10.38% |
(a) |
08/01/2030 |
5,204,151 |
| 3,000,000 |
Caesars
Entertainment, Inc. |
8.13% |
(a) |
07/01/2027 |
3,063,036 |
| 5,800,000 |
Carnival
Corp. |
7.63% |
(a) |
03/01/2026 |
5,861,422 |
| 3,000,000 |
Carnival
Corp. |
10.50% |
(a) |
06/01/2030 |
3,261,060 |
| 8,280,000 |
Castle
US Holding Corp. |
9.50% |
(a) |
02/15/2028 |
3,939,914 |
| 1,680,000 |
CHS/Community
Health Systems, Inc. |
6.00% |
(a) |
01/15/2029 |
1,484,107 |
| 1,310,000 |
CHS/Community
Health Systems, Inc. |
10.88% |
(a) |
01/15/2032 |
1,365,068 |
| 1,136,000 |
Clarios
Global LP |
6.75% |
(a) |
05/15/2025 |
1,136,666 |
| 6,440,000 |
Clarios
Global LP / Clarios US Finance Co. |
8.50% |
(a) |
05/15/2027 |
6,488,403 |
| 5,110,000 |
Clear
Channel Outdoor Holdings, Inc. |
7.50% |
(a)(h) |
06/01/2029 |
4,275,154 |
| 3,815,000 |
ClubCorp
Holdings, Inc. |
8.50% |
(a) |
09/15/2025 |
3,530,089 |
| 4,665,000 |
Cobra
AcquisitionCo LLC |
6.38% |
(a) |
11/01/2029 |
3,679,458 |
| 7,695,000 |
CVR
Partners LP / CVR Nitrogen Finance Corp. |
6.13% |
(a) |
06/15/2028 |
7,399,698 |
| 6,120,000 |
Dealer
Tire LLC / DT Issuer LLC |
8.00% |
(a) |
02/01/2028 |
5,916,326 |
| 2,140,000 |
DISH
DBS Corp. |
5.75% |
(a) |
12/01/2028 |
1,487,703 |
| 15,745,000 |
Embarq
Corp. |
8.00% |
|
06/01/2036 |
2,067,082 |
| 4,820,000 |
Ferrellgas
LP / Ferrellgas Finance Corp. |
5.88% |
(a) |
04/01/2029 |
4,438,177 |
| 1,375,000 |
Frontier
Communications Holdings LLC |
5.88% |
(a) |
10/15/2027 |
1,343,765 |
| 3,170,000 |
Frontier
Communications Holdings LLC |
8.63% |
(a) |
03/15/2031 |
3,268,878 |
| 3,255,000 |
Full
House Resorts, Inc. |
8.25% |
(a)(h) |
02/15/2028 |
3,129,333 |
| 665,000 |
GrafTech
Global Enterprises, Inc. |
9.88% |
(a)(h) |
12/15/2028 |
490,980 |
| 3,365,000 |
Gray
Television, Inc. |
10.50% |
(a) |
07/15/2029 |
3,386,400 |
| 6,600,000 |
Helios
Software Holdings, Inc. / ION Corporate Solutions Finance Sarl |
8.75% |
(a) |
05/01/2029 |
6,726,707 |
| 3,615,000 |
H-Food
Holdings LLC / Hearthside Finance Co., Inc. |
8.50% |
(a) |
06/01/2026 |
271,125 |
| 1,325,000 |
Hightower
Holding LLC |
6.75% |
(a) |
04/15/2029 |
1,240,954 |
| 7,122,000 |
Illuminate
Buyer LLC / Illuminate Holdings IV, Inc. |
9.00% |
(a) |
07/01/2028 |
7,186,233 |
| 4,000,000 |
IRB
Holding Corp. |
7.00% |
(a) |
06/15/2025 |
4,004,312 |
| 6,750,000 |
Level
3 Financing, Inc. |
10.50% |
(a) |
04/15/2029 |
6,766,876 |
| 2,785,000 |
LifePoint
Health, Inc. |
11.00% |
(a) |
10/15/2030 |
3,071,905 |
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 6,215,000 |
LifePoint
Health, Inc. |
10.00% |
(a) |
06/01/2032 |
6,362,066 |
| 2,595,000 |
Lions
Gate Capital Holdings LLC |
5.50% |
(a) |
04/15/2029 |
1,680,244 |
| 3,850,000 |
Mavis
Tire Express Services Topco Corp. |
6.50% |
(a) |
05/15/2029 |
3,592,483 |
| 5,100,000 |
McGraw-Hill
Education, Inc. |
5.75% |
(a) |
08/01/2028 |
4,922,681 |
| 4,750,000 |
Michaels
Cos., Inc. |
5.25% |
(a) |
05/01/2028 |
3,805,400 |
| 2,245,000 |
Michaels
Cos., Inc. |
7.88% |
(a) |
05/01/2029 |
1,443,254 |
| 2,500,000 |
ModivCare
Escrow Issuer, Inc. |
5.00% |
(a)(h) |
10/01/2029 |
1,764,255 |
| 5,425,000 |
Moss
Creek Resources Holdings, Inc. |
7.50% |
(a) |
01/15/2026 |
5,439,750 |
| 3,815,000 |
NGL
Energy Operating LLC / NGL Energy Finance Corp. |
8.38% |
(a) |
02/15/2032 |
3,876,765 |
| 550,000 |
Olympus
Water US Holding Corp. |
6.25% |
(a)(h) |
10/01/2029 |
502,673 |
| 1,970,000 |
OneMain
Finance Corp. |
9.00% |
|
01/15/2029 |
2,080,255 |
| 3,580,000 |
PECF
USS Intermediate Holding III Corp. |
8.00% |
(a) |
11/15/2029 |
1,526,614 |
| 5,450,000 |
PetSmart,
Inc. / PetSmart Finance Corp. |
7.75% |
(a) |
02/15/2029 |
5,312,788 |
| 4,395,000 |
Premier
Entertainment Sub LLC / Premier Entertainment Finance Corp. |
5.88% |
(a) |
09/01/2031 |
2,992,213 |
| 8,265,470 |
Pyxus
Holdings, Inc. |
8.50% |
(a) |
12/31/2027 |
6,736,358 |
| 8,439,276 |
Radiology
Partners, Inc.
9.78% PIK |
9.78% |
(a) |
02/15/2030 |
6,761,969 |
| 5,050,000 |
Realogy
Group LLC / Realogy Co.-Issuer Corp. |
5.75% |
(a)(h) |
01/15/2029 |
3,113,197 |
| 270,000 |
Royal
Caribbean Cruises Ltd. |
7.25% |
(a) |
01/15/2030 |
279,734 |
| 6,655,000 |
Sabre
GLBL, Inc. |
8.63% |
(a) |
06/01/2027 |
6,137,345 |
| 8,340,000 |
SWF
Escrow Issuer Corp. |
6.50% |
(a) |
10/01/2029 |
4,497,904 |
| 1,500,000 |
Tallgrass
Energy Partners LP / Tallgrass Energy Finance Corp. |
7.50% |
(a) |
10/01/2025 |
1,507,500 |
| 6,568,000 |
Team
Health Holdings, Inc. |
6.38% |
(a) |
02/01/2025 |
6,301,536 |
| 5,300,000 |
TKC
Holdings, Inc. |
10.50% |
(a) |
05/15/2029 |
5,233,159 |
| 1,930,000 |
TMS
International Corp./DE |
6.25% |
(a) |
04/15/2029 |
1,773,323 |
| 2,675,000 |
Townsquare
Media, Inc. |
6.88% |
(a)(h) |
02/01/2026 |
2,636,384 |
| 7,965,000 |
Trident
TPI Holdings, Inc. |
12.75% |
(a) |
12/31/2028 |
8,709,369 |
| 5,070,000 |
Triton
Water Holdings, Inc. |
6.25% |
(a) |
04/01/2029 |
4,894,329 |
| 9,485,000 |
United
Natural Foods, Inc. |
6.75% |
(a)(h) |
10/15/2028 |
8,572,029 |
| 5,005,000 |
Univision
Communications, Inc. |
6.63% |
(a) |
06/01/2027 |
4,796,374 |
| 1,605,000 |
Univision
Communications, Inc. |
7.38% |
(a)(h) |
06/30/2030 |
1,494,205 |
| 3,915,000 |
Upbound
Group, Inc. |
6.38% |
(a) |
02/15/2029 |
3,759,030 |
| 6,685,000 |
Venture
Global LNG, Inc. |
8.38% |
(a) |
06/01/2031 |
6,938,869 |
| 2,355,000 |
Venture
Global LNG, Inc. |
9.88% |
(a) |
02/01/2032 |
2,564,713 |
| 2,110,000 |
Vibrantz
Technologies, Inc. |
9.00% |
(a)(h) |
02/15/2030 |
1,933,752 |
| 8,330,000 |
Victra
Holdings LLC / Victra Finance Corp. |
7.75% |
(a) |
02/15/2026 |
8,292,019 |
| 9,170,000 |
Viking
Cruises Ltd. |
9.13% |
(a) |
07/15/2031 |
9,939,130 |
| 5,205,000 |
WASH
Multifamily Acquisition, Inc. |
5.75% |
(a) |
04/15/2026 |
5,093,131 |
| 2,830,000 |
Weatherford
International Ltd. |
8.63% |
(a) |
04/30/2030 |
2,934,928 |
| 1,490,000 |
Wheel
Pros, Inc. |
6.50% |
(a) |
05/15/2029 |
298,000 |
| 6,210,000 |
XHR
LP |
6.38% |
(a) |
08/15/2025 |
6,208,242 |
| |
Total
US Corporate Bonds (Cost $332,720,153) |
|
293,743,731 |
| US
GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 3.5% |
| |
Federal
Home Loan Mortgage Corp. |
|
|
|
| 49,383,761 |
Series
2021-P009-X |
1.44% |
(d)(k) |
01/25/2031 |
1,793,189 |
| 4,086,061 |
Series
3631-SJ (-1 x 30 day avg SOFR US + 6.13%, 0.00% Floor, 6.24% Cap) |
0.79% |
(k)(l) |
02/15/2040 |
299,925 |
| 566,775 |
Series
3770-SP (-1 x 30 day avg SOFR US + 6.39%, 0.00% Floor, 6.50% Cap) |
1.05% |
(k)(l) |
11/15/2040 |
7,619 |
| 9,401,595 |
Series
3980-SX (-1 x 30 day avg SOFR US + 6.39%, 0.00% Floor, 6.50% Cap) |
1.05% |
(k)(l) |
01/15/2042 |
1,040,032 |
| 4,108,161 |
Series
5083-IH |
2.50% |
(k) |
03/25/2051 |
634,318 |
| 22,726,919 |
Series
5129-S (-1 x 30 day avg SOFR US + 2.70%, 0.00% Floor, 2.70% Cap) |
0.00% |
(k)(l) |
12/25/2044 |
47,924 |
| 11,873,976 |
Series
5166-DI |
3.00% |
(k) |
09/15/2048 |
1,515,960 |
| |
Federal
National Mortgage Association |
|
|
|
| 1,952,496 |
Series
2006-83-SH (-1 x 30 day avg SOFR US + 6.45%, 0.00% Floor, 6.56% Cap) |
1.11% |
(k)(l) |
09/25/2036 |
142,945 |
|
|
|
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| 7,151,900 |
Series
2010-123-SK (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap) |
0.60% |
(k)(l) |
11/25/2040 |
700,576 |
| 5,125,878 |
Series
2012-60-SN (-1 x 30 day avg SOFR US + 6.49%, 0.00% Floor, 6.60% Cap) |
1.15% |
(k)(l) |
06/25/2042 |
497,378 |
| 8,972,510 |
Series
2019-46-SG (-1 x 30 day avg SOFR US + 5.99%, 0.00% Floor, 6.10% Cap) |
0.65% |
(k)(l) |
08/25/2049 |
733,101 |
| 40,094,162 |
Series
2021-17-SD (-1 x 30 day avg SOFR US + 2.50%, 0.00% Floor, 2.50% Cap) |
0.00% |
(k)(l) |
04/25/2051 |
204,023 |
| |
FREMF Mortgage Trust |
|
|
|
|
| 2,033,929 |
Series
2017-KF27-B (30 day avg SOFR US + 4.46%, 4.35% Floor) |
9.79% |
(a) |
12/25/2026 |
2,023,275 |
| 6,138,363 |
Series
2018-KF56-C (30 day avg SOFR US + 5.91%, 5.80% Floor) |
11.24% |
(a) |
11/25/2028 |
5,397,328 |
| 16,594,709 |
Series
2019-KF71-C (30 day avg SOFR US + 6.11%, 6.00% Floor) |
11.44% |
(a) |
10/25/2029 |
15,962,844 |
| |
Government National Mortgage
Association |
|
|
|
|
| 8,041,371 |
Series
2011-128-TS (-1 x 1 mo. Term SOFR + 5.94%, 0.00% Floor, 6.05% Cap) |
0.61% |
(k)(l) |
05/16/2041 |
748,258 |
| 23,902,714 |
Series
2015-64-SG (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap) |
0.15% |
(k)(l) |
05/20/2045 |
2,008,014 |
| 3,156,547 |
Series
2018-145-IA |
4.00% |
(k) |
10/20/2045 |
258,010 |
| 3,812,898 |
Series
2020-129-SE (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap) |
0.00% |
(k)(l) |
09/20/2050 |
50,503 |
| 15,109,085 |
Series
2020-146-SH (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) |
0.85% |
(k)(l) |
10/20/2050 |
1,910,722 |
| 5,487,420 |
Series
2020-187-SB (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap) |
0.85% |
(k)(l) |
12/20/2050 |
685,317 |
| 21,016,419 |
Series
2020-47-SL (-1 x 1 mo. Term SOFR + 5.26%, 0.00% Floor, 5.37% Cap) |
0.00% |
(k)(l) |
07/20/2044 |
1,198,833 |
| 11,082,598 |
Series
2020-61-SU (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap) |
0.16% |
(k)(l) |
07/16/2045 |
807,250 |
| 6,486,433 |
Series
2021-105-MI |
3.00% |
(k) |
06/20/2051 |
892,389 |
| 33,367,843 |
Series
2021-107-SA (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap) |
0.00% |
(k)(l) |
06/20/2051 |
1,045,598 |
| 18,518,541 |
Series
2021-125-AS (-1 x 30 day avg SOFR US + 3.25%, 0.00% Floor, 3.25% Cap) |
0.00% |
(k)(l) |
07/20/2051 |
216,200 |
| 41,749,468 |
Series
2021-139-SB (-1 x 30 day avg SOFR US + 3.20%, 0.00% Floor, 3.20% Cap) |
0.00% |
(k)(l) |
08/20/2051 |
609,212 |
| 17,074,916 |
Series
2021-7-IQ |
2.50% |
(k) |
01/20/2051 |
2,468,775 |
| 42,503,783 |
Series
2021-77-SG (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap) |
0.00% |
(k)(l) |
05/20/2051 |
1,172,590 |
| 37,198,778 |
Series
2021-96-SG (-1 x 30 day avg SOFR US + 3.20%, 0.00% Floor, 3.20% Cap) |
0.00% |
(k)(l) |
06/20/2051 |
721,760 |
| 54,644,767 |
Series
2021-97-SA (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap) |
0.00% |
(k)(l) |
06/20/2051 |
468,317 |
| 32,080,614 |
Series
2021-97-SG (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap) |
0.00% |
(k)(l) |
06/20/2051 |
254,732 |
| |
Total US Government and Agency Mortgage Backed Obligations (Cost $67,228,063) |
46,516,917 |
| COMMON STOCKS - 0.3% |
| 212,801 |
CFG Investment SAC(b)(m) |
|
|
|
1,474,711 |
| 8,608 |
GTT Communications, Inc.(b)(m) |
|
|
|
137,728 |
| 182,967 |
JoAnn, Inc.(b)(m) |
|
|
|
– |
| 183,948 |
Longview Equity(b)(m) |
|
|
|
2,299,350 |
| 26,458 |
Revenir Energy, Inc.(b)(m) |
|
|
|
17,198 |
| 34,608 |
Riverbed - Class B(b)(m) |
|
|
|
4,499 |
| |
Total Common Stocks (Cost $22,113,076) |
3,933,486 |
| ESCROW NOTES - 0.0%(n) |
| 15,700,000 |
Alpha Holding SA(b)(m) |
|
|
|
– |
| 19,250,000 |
Alpha Holding SA(b)(m) |
|
|
|
– |
| |
Total Escrow Notes (Cost $–) |
– |
|
|
|
|
|
|
PRINCIPAL
AMOUNT
$/SHARES |
|
SECURITY
DESCRIPTION |
|
RATE |
|
|
MATURITY |
|
VALUE
$ |
| RIGHTS
- 0.0%(n) |
| 333,957 |
Revenir
Energy, Inc. Backstop(b)(m) |
|
|
|
217,072 |
| |
Total
Rights (Cost $–) |
|
|
217,072 |
| |
|
|
|
|
|
| SHARES |
SECURITY
DESCRIPTION |
|
|
|
VALUE
$ |
| WARRANTS
- 0.0%(n) |
| 27,621 |
GTT
Communications, Inc., Expires 12/30/2027 at $ 0.00(b)(m) |
|
|
|
15,537 |
| |
Total
Warrants (Cost $386,878) |
|
|
15,537 |
| SHORT
TERM INVESTMENTS - 2.7% |
| 11,996,529 |
BlackRock
Liquidity FedFund - Institutional |
5.18% |
(o) |
|
|
11,996,529 |
| 11,996,767 |
Fidelity
Government Portfolio - Institutional |
5.21% |
(o) |
|
|
11,996,767 |
| 11,996,989 |
MSILF
Government Portfolio - Institutional |
5.23% |
(o) |
|
|
11,996,989 |
| |
Total
Short Term Investments (Cost $35,990,285) |
|
|
35,990,285 |
| |
Total
Investments - 129.7% (Cost $2,089,496,592) |
1,729,675,495 |
| |
Other
Liabilities in Excess of Assets - (29.7)% |
|
|
|
(395,857,648) |
| |
NET
ASSETS - 100.0% |
|
|
$ |
1,333,817,847 |
|
|
|
|
|
|
|
| SECURITY
TYPE BREAKDOWN as a % of Net Assets: |
|
|
| Foreign
Corporate Bonds |
40.2% |
|
| US
Corporate Bonds |
22.0% |
|
| Bank
Loans |
21.9% |
|
| Non-Agency
Commercial Mortgage Backed Obligations |
13.0% |
|
| Foreign
Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
12.7% |
|
| Collateralized
Loan Obligations |
12.2% |
|
| US
Government and Agency Mortgage Backed Obligations |
3.5% |
|
| Short
Term Investments |
2.7% |
|
| Asset
Backed Obligations |
1.2% |
|
| Common
Stocks |
0.3% |
|
| Rights |
0.0% |
(n) |
| Warrants |
0.0% |
(n) |
| Escrow
Notes |
0.0% |
(n) |
| Other
Assets and Liabilities |
(29.7)% |
|
| Net
Assets |
100.0% |
|
|
|
|
| INVESTMENT
BREAKDOWN as a % of Net Assets: |
|
|
| Energy |
13.9% |
|
| Non-Agency
Commercial Mortgage Backed Obligations |
13.0% |
|
| Collateralized
Loan Obligations |
12.2% |
|
| Transportation |
7.2% |
|
| Foreign
Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
6.4% |
|
| Banking |
5.9% |
|
| Chemicals/Plastics |
5.8% |
|
| Consumer
Products |
5.6% |
|
| Healthcare |
5.1% |
|
| Mining |
4.4% |
|
| Electronics/Electric |
4.2% |
|
| Commercial
Services |
3.8% |
|
| US
Government and Agency Mortgage Backed Obligations |
3.5% |
|
| Retailers
(other than Food/Drug) |
3.3% |
|
| Utilities |
3.2% |
|
| Media |
3.1% |
|
| Short
Term Investments |
2.7% |
|
| Chemical
Products |
2.6% |
|
| Finance |
2.3% |
|
| Industrial
Equipment |
2.1% |
|
| Telecommunications |
2.1% |
|
| Hotels/Motels/Inns
and Casinos |
1.8% |
|
| Leisure |
1.7% |
|
| Technology |
1.7% |
|
| Building
and Development (including Steel/Metals) |
1.4% |
|
| Food
Products |
1.3% |
|
| Asset
Backed Obligations |
1.2% |
|
| Real
Estate |
1.2% |
|
| Automotive |
1.2% |
|
| Construction |
1.0% |
|
| Containers
and Glass Products |
0.9% |
|
| Business
Equipment and Services |
0.9% |
|
| Beverage
and Tobacco |
0.8% |
|
| Insurance |
0.7% |
|
| Diversified
Manufacturing |
0.6% |
|
| Food
Service |
0.3% |
|
| Financial
Intermediaries |
0.3% |
|
| Consumer
Staples |
0.2% |
|
| Aerospace
& Defense |
0.1% |
|
| Other
Assets and Liabilities |
(29.7)% |
|
| Net
Assets |
100.0% |
|
|
|
|
| COUNTRY
BREAKDOWN as a % of Net Assets: |
|
|
| United
States |
74.5% |
|
| Colombia |
14.2% |
|
| Brazil |
10.6% |
|
| Mexico |
7.0% |
|
| India |
4.8% |
|
| Canada |
3.4% |
|
| Panama |
3.1% |
|
| Peru |
2.9% |
|
| South
Africa |
1.6% |
|
| Indonesia |
1.4% |
|
| Ghana |
1.3% |
|
| Morocco |
1.2% |
|
| Paraguay |
1.1% |
|
| United
Kingdom |
0.5% |
|
| Ukraine |
0.5% |
|
| Luxembourg |
0.4% |
|
| Cayman
Islands |
0.3% |
|
| Argentina |
0.3% |
|
| France |
0.3% |
|
| Jamaica |
0.2% |
|
| Hong
Kong |
0.1% |
|
| Chile |
0.0% |
(n) |
| Other
Assets and Liabilities |
(29.7)% |
|
| 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) |
|
Securities referencing LIBOR are expected to transition to an alternative
reference rate by the security’s next scheduled coupon reset date. |
| (g) |
|
Security is in default or has failed to make a scheduled payment. Income is not
being accrued. |
| (h) |
|
Security, or portion of security is on loan as of period end pursuant to the
Liquidity Agreement. |
| (i) |
|
Perpetual maturity. The date disclosed is the next call date of the security. |
| (j) |
|
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. |
| (k) |
|
Interest only security |
| (l) |
|
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. |
| (m) |
|
Non-income producing security. |
| (n) |
|
Represents less than 0.05% of net assets. |
| (o) |
|
Seven-day yield as of period end. |
| 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 | |
660 | |
9/19/2024 | |
$ | 74,930,625 | | |
$ | 1,132,973 | |
| U.S. Treasury Ultra Bonds | |
Long | |
300 | |
9/19/2024 | |
| 37,603,125 | | |
| 901,678 | |
| | |
| |
| |
| |
| | | |
$ | 2,034,651 | |
| (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
Income Solutions Fund |
| Investments
in Securities |
|
|
| Level
1 |
|
|
| Short
Term Investments |
$ |
35,990,285 |
| Total
Level 1 |
|
35,990,285 |
| Level
2 |
|
|
| Foreign
Corporate Bonds |
|
524,334,037 |
| US
Corporate Bonds |
|
293,743,731 |
| Bank
Loans |
|
289,807,273 |
| Foreign
Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
|
169,698,736 |
| Collateralized
Loan Obligations |
|
145,917,632 |
| Non-Agency
Commercial Mortgage Backed Obligations |
|
126,562,013 |
| US
Government and Agency Mortgage Backed Obligations |
|
46,516,917 |
| Asset
Backed Obligations |
|
10,778,067 |
| Total
Level 2 |
|
1,607,358,406 |
| Level
3 |
|
|
| Non-Agency
Commercial Mortgage Backed Obligations |
|
47,478,385 |
| Collateralized
Loan Obligations |
|
16,683,814 |
| Foreign
Corporate Bonds |
|
10,753,145 |
| Asset
Backed Obligations |
|
5,300,466 |
| Common
Stocks |
|
3,933,486 |
| Bank
Loans |
|
1,944,899 |
| Rights |
|
217,072 |
| Warrants |
|
15,537 |
| Escrow
Notes |
|
– |
| Total
Level 3 |
|
86,326,804 |
| Total |
$ |
1,729,675,495 |
| Other
Financial Instruments |
|
|
| Level
1 |
|
|
| Futures |
$ |
2,034,651 |
| Total
Level 1 |
|
2,034,651 |
| Total |
$ |
2,034,651 |
| |
| See
the Schedule of Investments for further disaggregation of investment categories. |
The following is a reconciliation of investments
in which significant unobservable inputs (Level 3) were used in determining fair value:
| |
Fair
Value as of September 30, 2023 | | |
Net
Realized Gain (Loss) | | |
Net Change in Unrealized Appreciation (Depreciation)(c) | | |
Net
Accretion (Amortization) | | |
Purchases(a) | | |
Sales(b) | | |
Transfers
Into
Level 3(d) | | |
Transfers
Out of
Level 3(d) | | |
Fair
Value as of
June 30, 2024 | | |
Net
Change in Unrealized Appreciation (Depreciation) on securities held at June 30, 2024(c) | |
| Investments in Securities | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Non-Agency Commercial Mortgage Backed Obligations | |
$ | 54,348,647 | | |
$ | 13,625,911 | | |
$ | 14,787,578 | | |
$ | 1,267,453 | | |
$ | 25 | | |
$ | (36,551,229 | ) | |
$ | — | | |
$ | — | | |
$ | 47,478,385 | | |
$ | 5,531,305 | |
| Collateralized Loan Obligations | |
| 13,955,148 | | |
| 26 | | |
| 430,456 | | |
| 20,837 | | |
| 179,093 | | |
| (32,220 | ) | |
| 5,632,202 | | |
| (3,501,728 | ) | |
| 16,683,814 | | |
| 269,292 | % |
| Foreign Corporate Bonds | |
| 5,698,051 | | |
| (921,900 | ) | |
| 36,564 | | |
| 9,576 | | |
| 9,545,928 | | |
| (3,615,074 | ) | |
| — | | |
| — | | |
| 10,753,145 | | |
| (163,191 | ) |
| Asset Backed Obligations | |
| 4,848,996 | | |
| (669,169 | ) | |
| 619,935 | | |
| 430 | | |
| 1,442,861 | | |
| (942,587 | ) | |
| — | | |
| — | | |
| 5,300,466 | | |
| 110,806 | |
| Common Stocks | |
| 12,265,338 | | |
| (12,213,332 | ) | |
| 11,567,549 | | |
| — | | |
| — | | |
| (7,686,069 | ) | |
| — | | |
| — | | |
| 3,933,486 | | |
| 16,470 | |
| Bank Loans | |
| 1,898,725 | | |
| 4,760 | | |
| (76,456 | ) | |
| 71,696 | | |
| 63,956 | | |
| (17,782 | ) | |
| — | | |
| — | | |
| 1,944,899 | | |
| (71,267 | ) |
| Rights | |
| 5,522,270 | | |
| 533,039 | | |
| (2,455,548 | ) | |
| — | | |
| — | | |
| (3,382,689 | ) | |
| — | | |
| — | | |
| 217,072 | | |
| (2,289,948 | ) |
| Warrants | |
| 10,358 | | |
| — | | |
| 5,179 | | |
| — | | |
| — | | |
| — | | |
| — | | |
| — | | |
| 15,537 | | |
| 5,179 | |
| Escrow Notes | |
| — | | |
| — | | |
| — | | |
| — | | |
| — | | |
| — | | |
| — | | |
| — | | |
| — | | |
| — | |
| Total | |
$ | 98,547,533 | | |
$ | 359,335 | | |
$ | 24,915,257 | | |
$ | 1,369,992 | | |
$ | 11,231,863 | | |
$ | (52,227,650 | ) | |
$ | 5,632,202 | | |
$ | (3,501,728 | ) | |
$ | 86,326,804 | | |
$ | 3,408,646 | |
| (a) |
Purchases
include all purchases of securities, payups and corporate actions. |
| (b) |
Sales
include all sales of securities, maturities, and paydowns. |
| (c) |
Any
difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation)
on securities held at June 30, 2024 may be due to a security that was not held or categorized as Level 3 at either period end. |
| (d) |
Transfers
into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant
inputs used to measure the fair value of those instruments. |
The following is a reconciliation of investments in which significant unobservable
inputs (Level 3) were used in determining fair value:
| |
Fair
Value as of
June 30, 2024 | | |
Valuation
Techniques | |
Unobservable
Input | |
Unobservable
Input Values
(Weighted Average)(e) | |
Impact
to valuation from an increase to input |
| Non-Agency
Commercial Mortgage Backed Obligations | |
$ | 47,478,385 | | |
Market Comparables | |
Market Quotes | |
$0.01
- $96.70 ($69.89) | |
Significant
changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| Collateralized
Loan Obligations | |
$ | 16,683,814 | | |
Market Comparables | |
Market Quotes | |
$0.00 - $97.84 ($83.64) | |
Significant changes in the
market quotes would have resulted in direct and proportional changes in the fair value of the security |
| Foreign Corporate
Bonds | |
$ | 10,753,145 | | |
Market Comparables | |
Market Quotes | |
$0.00
- $105.44 ($99.01) | |
Significant changes in the
market quotes would have resulted in direct and proportional changes in the fair value of the security |
| | |
| | | |
Discounted Cash Flow | |
Discount Rate | |
15% (15%) | |
Significant changes in discount
rate would have resulted in indirect changes in the fair value of the security |
| Asset Backed Obligations | |
$ | 5,300,466 | | |
Market Comparables | |
Market Quotes | |
$0.09
- $942.19 ($321.81) | |
Significant changes in the
market quotes would have resulted in direct and proportional changes in the fair value of the security |
| Common Stocks | |
$ | 3,933,486 | | |
Market Comparables | |
Market Quotes | |
$0.00 - $16.00 ($10.47) | |
Significant changes in the
market quotes would have resulted in direct and proportional changes in the fair value of the security |
| Bank Loans | |
$ | 1,944,899 | | |
Market Comparables | |
Market Quotes | |
$100.00 ($100.00) | |
Significant changes in the
market quotes would have resulted in direct and proportional changes in the fair value of the security |
| Rights | |
$ | 217,072 | | |
Income Approach | |
Expected Value | |
$0.65 ($0.65) | |
Significant changes in the
market quotes would have resulted in direct and proportional changes in the fair value of the security |
| Warrants | |
$ | 15,537 | | |
Market Comparables | |
Market Quotes | |
$0.56 ($0.56) | |
Significant changes in the
market quotes would have resulted in direct and proportional changes in the fair value of the security |
| Escrow Notes | |
$ | — | | |
Income Approach | |
Expected Value | |
$0.00 ($0.00) | |
Significant changes in the
expected value would have resulted in direct changes in the fair value of the security |
(e) Unobservable inputs were weighted by the relative fair
value of the instruments.
DoubleLine Income Soluti... (NYSE:DSL)
Historical Stock Chart
From Nov 2024 to Dec 2024
DoubleLine Income Soluti... (NYSE:DSL)
Historical Stock Chart
From Dec 2023 to Dec 2024
