DoubleLine Income Solutions Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Security Description | Rate | Maturity | Value $ | ||||||||
Asset Backed Obligations - 2.2% |
| |||||||||||
10,000,000 | Air Canada Class C Pass Through Trust, Series 2020-1-C | 10.50 | % (a) | 07/15/2026 | 10,775,000 | |||||||
1,150,000 | Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A-D | 5.83 | % (a) | 01/18/2028 | 1,035,841 | |||||||
2,000,000 | Blue Stream Issuer LLC, Series 2023-1A-C | 8.90 | % (a) | 05/20/2053 | 1,815,881 | |||||||
444,531 | Castlelake Aircraft Securitization Trust, Series 2018-1-C | 6.63 | % (a)(b) | 06/15/2043 | 166,944 | |||||||
1,901,763 | Castlelake Aircraft Structured Trust, Series 2021-1A-C | 7.00 | % (a)(b) | 01/15/2046 | 1,411,848 | |||||||
4,715 | Pagaya AI Debt Selection Trust, Series 2020-2-NOTE | 7.50 | % (a) | 12/15/2027 | 4,734 | |||||||
1,859,725 | Pagaya AI Debt Selection Trust, Series 2020-3-C | 6.43 | % (a) | 05/17/2027 | 1,854,999 | |||||||
2,750,000 | Pagaya AI Debt Selection Trust, Series 2021-3-CERT | 0.00 | % (a)(b)(c) | 05/15/2029 | 326,956 | |||||||
502,765 | Pagaya AI Debt Selection Trust, Series 2022-1-A | 2.03 | % (a) | 10/15/2029 | 489,511 | |||||||
879,235 | Pagaya Al Debt Trust, Series 2022-2-AB | 5.31 | % (a)(d) | 01/15/2030 | 863,519 | |||||||
55,000 | SoFi Alternative Consumer Loan Program, Series 2021-2-R1 | 0.00 | % (a)(b)(c) | 08/15/2030 | 905,409 | |||||||
50,000 | SoFi Professional Loan Program LLC, Series 2018-A-R1 | 0.00 | % (b)(c) | 02/25/2042 | 775,266 | |||||||
14,827 | SoFi Professional Loan Program LLC, Series 2018-A-R2 | 0.00 | % (b)(c) | 02/25/2042 | 229,897 | |||||||
100,000 | SoFi Professional Loan Program Trust, Series 2018-C-R1 | 0.00 | % (a)(b)(c) | 01/25/2048 | 1,048,086 | |||||||
1,725,177 | START Ireland, Series 2019-1-C | 6.41 | % (a)(b) | 03/15/2044 | 649,498 | |||||||
4,300,000 | Summit Issuer LLC, Series 2020-1A-C | 5.10 | % (a) | 12/20/2050 | 3,740,498 | |||||||
|
| |||||||||||
Total Asset Backed Obligations (Cost $29,943,745) | 26,093,887 | |||||||||||
|
| |||||||||||
Bank Loans - 15.0% |
| |||||||||||
3,165,000 | AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | 10.00 | % | 04/20/2028 | 3,236,782 | |||||||
950,000 | Acuris Finance, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.10%, 0.50% Floor) | 9.05 | % | 02/16/2028 | 940,415 | |||||||
3,000,000 | Almonde, Inc., Senior Secured Second Lien Term Loan (2 Month LIBOR USD + 7.25%, 1.00% Floor) | 12.08 | % | 06/16/2025 | 2,734,320 | |||||||
3,954,938 | American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.51%, 0.75% Floor) | 10.61 | % | 10/20/2028 | 3,450,228 | |||||||
63,801 | Applied Systems, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 5.50%, 0.75% Floor) | 9.17 | % | 09/17/2027 | 63,980 | |||||||
4,591,199 | (3 Month Secured Overnight Financing Rate + 6.75%, 0.75% Floor) | 11.99 | % | 09/17/2027 | 4,604,124 | |||||||
2,000,000 | Artera Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor) | 11.98 | % | 03/06/2026 | 1,367,500 | |||||||
2,165,000 | Ascend Learning LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.85%, 0.50% Floor) | 10.66 | % | 12/10/2029 | 1,853,781 | |||||||
1,506,559 | Astra Acquisition Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.50% Floor) | 10.40 | % | 10/25/2028 | 1,061,657 | |||||||
9,662,677 | Astra Acquisition Corporation, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 8.99%, 0.75% Floor) | 13.72 | % | 10/25/2029 | 5,386,942 | |||||||
905,000 | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.35%) | 10.40 | % | 01/31/2028 | 773,494 | |||||||
4,225,000 | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.35%) | 10.27 | % | 01/19/2029 | 3,555,042 | |||||||
160,282 | Athenahealth Group, Inc., Senior Secured First Lien Delayed-Draw Term Loan (1 Month Secured Overnight Financing Rate, 0.50% Floor) | 8.59 | % (e) | 02/15/2029 | 154,672 | |||||||
1,304,718 | Athenahealth Group, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 0.50% Floor) | 8.60 | % | 02/15/2029 | 1,259,053 | |||||||
3,998,400 | Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor) | 8.68 | % | 05/08/2028 | 2,713,294 | |||||||
7,855,000 | Aveanna Healthcare LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.00%, 0.50% Floor) | 11.95 | % | 12/10/2029 | 4,899,556 | |||||||
900,452 | Bausch & Lomb Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.35%, 0.50% Floor) | 8.59 | % | 05/10/2027 | 875,690 | |||||||
942,560 | BCPE Empire Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor) | 9.84 | % | 12/11/2028 | 941,532 | |||||||
5,408,663 | Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%, 1.00% Floor) | 9.88 | % | 07/14/2026 | 5,311,658 | |||||||
940,116 | Clear Channel Outdoor Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.76%) | 8.81 | % | 08/21/2026 | 899,654 | |||||||
1,895,850 | Clydesdale Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.28%, 0.50% Floor) | 9.43 | % | 04/13/2029 | 1,869,223 | |||||||
1,988,213 | Connect US Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) | 8.66 | % | 12/11/2026 | 1,989,455 | |||||||
530,000 | Corelogic, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.50% Floor) | 8.69 | % | 06/02/2028 | 479,783 | |||||||
1,435,000 | Cornerstone Building Brands, Inc, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.35%, 0.50% Floor) | 8.41 | % | 04/12/2028 | 1,379,401 | |||||||
1,759,590 | Cross Financial Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor) | 9.19 | % | 09/15/2027 | 1,759,590 | |||||||
1,645,000 | Delta Topco, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor) | 12.16 | % | 12/01/2028 | 1,516,147 | |||||||
832,913 | DexKo Global, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.50%, 0.50% Floor) | 11.40 | % | 10/04/2028 | 818,861 | |||||||
2,425,000 | DG Investment Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.86%, 0.75% Floor) | 12.02 | % | 03/29/2029 | 2,159,766 | |||||||
1,489,182 | DirectTV Financing LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.00%, 0.75% Floor) | 10.15 | % | 08/02/2027 | 1,459,189 | |||||||
279,542 | Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.60%) | 8.75 | % | 04/06/2026 | 277,620 | |||||||
519,948 | Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.60%) | 8.75 | % | 04/06/2026 | 516,373 | |||||||
2,780,501 | Eisner Advisory Group LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.36%, 0.75% Floor) | 10.52 | % | 07/28/2028 | 2,780,501 | |||||||
196,382 | Element Materials Technology Group US Holdings, Inc., Senior Secured First Lien Delayed-Draw Term Loan (3 Month Secured Overnight Financing Rate + 4.35%, 0.50% Floor) | 9.25 | % | 06/22/2029 | 192,945 | |||||||
425,493 | Element Materials Technology Group US Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.35%, 0.50% Floor) | 9.25 | % | 06/22/2029 | 418,047 | |||||||
1,293,246 | EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 8.91 | % | 05/09/2025 | 1,273,240 | |||||||
1,355,000 | Fertitta Entertainment LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 0.50% Floor) | 9.15 | % | 01/29/2029 | 1,339,899 | |||||||
3,330,250 | Flynn Canada Ltd., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.61%, 0.50% Floor) | 9.38 | % | 07/21/2028 | 3,088,807 | |||||||
1,904,652 | Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.10%, 1.50% Floor) | 12.73 | % (b) | 06/30/2027 | 1,904,652 | |||||||
Getty Images, Inc., Senior Secured First Lien Term Loan | ||||||||||||
978,737 | (3 Month Secured Overnight Financing Rate + 4.50%) | 9.84 | % | 02/19/2026 | 979,961 | |||||||
30,481 | (1 Month Secured Overnight Financing Rate + 4.50%) | 9.75 | % | 02/19/2026 | 30,519 | |||||||
558,839 | GIP II Blue Holding LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.61%, 1.00% Floor) | 9.66 | % | 09/29/2028 | 561,435 | |||||||
3,401,033 | Grab Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) | 9.66 | % | 01/29/2026 | 3,404,587 | |||||||
3,670,461 | Greystone Select Financial LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 0.75% Floor) | 9.80 | % | 06/16/2028 | 3,486,938 | |||||||
Groupe Solmax, Inc., Senior Secured First Lien Term Loan | ||||||||||||
1,356,224 | (1 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor) | 9.86 | % | 05/30/2028 | 1,283,544 | |||||||
1,576,936 | (3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor) | 9.86 | % | 05/30/2028 | 1,492,428 | |||||||
7,231,814 | Gulf Finance LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.86%, 1.00% Floor) | 12.00 | % | 08/25/2026 | 7,052,032 | |||||||
480,000 | Hexion Holdings Corporation, Term Loan (3 Month Secured Overnight Financing Rate, 0.50% Floor) | 9.78 | % (e) | 03/15/2029 | 454,274 | |||||||
7,396,000 | Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.25%, 0.75% Floor) | 11.27 | % | 07/07/2025 | 7,146,385 | |||||||
1,092,700 | ION Trading Technologies SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) | 9.91 | % | 03/31/2028 | 1,073,971 | |||||||
717,225 | Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | 10.02 | % | 07/07/2028 | 377,138 | |||||||
1,771,650 | Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) | 8.38 | % | 05/26/2025 | 1,776,823 | |||||||
1,335,000 | Kenan Advantage Group, Inc., Senior Secured First Lien Term Loan (6 Month Secured Overnight Financing Rate + 4.43%, 0.75% Floor) | 8.55 | % | 03/24/2026 | 1,335,834 | |||||||
1,025,000 | LaserShip, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.50%, 0.75% Floor) | 12.66 | % | 04/30/2029 | 768,750 | |||||||
1,935,000 | LBM Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) | 8.90 | % | 12/17/2027 | 1,863,444 | |||||||
719,651 | Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%) | 9.22 | % | 06/30/2025 | 419,797 | |||||||
52,939 | Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) | 8.15 | % | 06/30/2024 | 42,352 | |||||||
1,115,779 | Lereta LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.36%, 0.75% Floor) | 10.52 | % | 07/27/2028 | 1,026,517 | |||||||
1,509,375 | LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor) | 12.15 | % | 03/31/2029 | 1,496,168 | |||||||
2,205,000 | MedAssets Software Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.50% Floor) | 11.90 | % | 12/17/2029 | 1,324,378 | |||||||
6,305,318 | Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.10%, 0.75% Floor) | 9.00 | % | 10/01/2027 | 6,218,620 | |||||||
692,000 | Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor) | 10.76 | % | 06/21/2027 | 720,112 | |||||||
3,796,487 | Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.85%) | 9.66 | % | 03/27/2026 | 3,743,109 | |||||||
1,920,000 | Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%, 0.50% Floor) | 11.65 | % | 10/15/2029 | 1,704,000 | |||||||
2,920,000 | MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.85%) | 12.50 | % | 11/30/2026 | 554,800 | |||||||
905,000 | NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 7.11%) | 12.27 | % | 10/19/2026 | 663,293 | |||||||
2,705,000 | Olympus Water US Holding Corporation, Term Loan (1 Month Secured Overnight Financing Rate, 0.50% Floor) | 10.09 | % (e) | 11/09/2028 | 2,622,159 | |||||||
1,048,600 | OYO Hospitality Netherlands B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor) | 13.27 | % | 06/23/2026 | 899,175 | |||||||
2,788,013 | Par Petroleum, LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.35%, 0.50% Floor) | 8.82 | % | 02/28/2030 | 2,749,677 | |||||||
5,895,000 | PetVet Care Centers LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%) | 11.40 | % | 02/13/2026 | 5,416,031 | |||||||
910,308 | PG&E Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.00%, 0.50% Floor) | 7.88 | % | 06/23/2025 | 911,282 | |||||||
684,250 | Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor) | 8.73 | % | 12/14/2027 | 685,749 | |||||||
2,266,724 | Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) | 9.90 | % | 03/11/2026 | 2,241,223 | |||||||
Pretium PKG Holdings, Inc., Senior Secured Second Lien Term Loan | ||||||||||||
1,430,000 | (3 Month LIBOR USD + 6.75%, 0.50% Floor) | 11.97 | % | 09/30/2029 | 773,995 | |||||||
1,430,000 | (3 Month LIBOR USD + 6.75%, 0.50% Floor) | 12.26 | % | 09/30/2029 | 773,994 | |||||||
4,740,873 | Pug LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.35%, 0.50% Floor) | 9.27 | % | 02/13/2027 | 4,302,343 | |||||||
2,933,270 | RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) | 8.58 | % | 11/14/2025 | 2,723,878 | |||||||
255,700 | Rentpath, Inc., Senior Secured First Lien Term Loan (Prime Rate) | 3.25 | % | 04/25/2024 | 3,836 | |||||||
3,205,464 | Riverbed Technology, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor) | 11.33 | % (f) | 12/07/2026 | 870,283 | |||||||
1,344,541 | Skillsoft Finance, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.36%, 0.75% Floor) | 10.42 | % | 07/14/2028 | 1,184,178 | |||||||
3,771,145 | Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%) | 11.58 | % | 06/26/2026 | 2,036,418 | |||||||
945,000 | Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 1.00% Floor) | 9.02 | % | 10/05/2027 | 931,217 | |||||||
460,000 | SRS Distribution, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.50% Floor) | 8.65 | % | 06/02/2028 | 447,960 | |||||||
1,375,000 | Sunshine Luxembourg SARL, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.75%, 0.75% Floor) | 8.91 | % | 10/01/2026 | 1,369,851 | |||||||
2,155,387 | The Edelman Financial Engines Centre LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) | 8.90 | % | 04/07/2028 | 2,105,415 | |||||||
4,200,000 | The Edelman Financial Engines Centre LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 11.90 | % | 07/20/2026 | 4,069,275 | |||||||
1,767,642 | Think & Learn Private Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 0.75% Floor) | 12.93 | % | 11/24/2026 | 1,126,872 | |||||||
925,118 | Titan Acquisition Ltd., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%) | 8.15 | % | 03/28/2025 | 905,265 | |||||||
1,365,000 | TK Elevator Midco GMBH, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 0.50% Floor) | 8.60 | % | 07/30/2027 | 1,356,134 | |||||||
1,396,500 | Transdigm, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.25%) | 8.15 | % | 08/24/2028 | 1,397,310 | |||||||
5,097,647 | Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 1.10%, 1.00% Floor) | 12.54 | % | 02/28/2025 | 5,027,580 | |||||||
860,000 | UKG, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.35%, 0.50% Floor) | 10.03 | % | 05/03/2027 | 836,350 | |||||||
619,808 | Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor) | 9.81 | % | 10/26/2026 | 603,383 | |||||||
1,425,778 | Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.11%) | 9.15 | % | 08/27/2025 | 1,427,111 | |||||||
4,460,974 | Viad Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.11%, 0.50% Floor) | 10.27 | % | 07/31/2028 | 4,349,450 | |||||||
1,530,000 | VT Topco, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.86%, 0.75% Floor) | 12.02 | % | 07/31/2026 | 1,461,150 | |||||||
2,887,500 | WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor) | 11.01 | % | 06/22/2026 | 2,874,651 | |||||||
490,000 | WWEX UNI TopCo Holdings LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.26%, 0.75% Floor) | 12.16 | % | 07/26/2029 | 394,450 | |||||||
|
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Total Bank Loans (Cost $203,497,950) | 181,185,727 | |||||||||||
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Collateralized Loan Obligations - 12.1% |
| |||||||||||
3,000,000 | Apidos, Series 2016-24A-DR (3 Month LIBOR USD + 5.80%) | 11.05 | % (a) | 10/20/2030 | 2,611,434 | |||||||
2,500,000 | Atrium Corporation, Series 15A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor) | 11.12 | % (a) | 01/23/2031 | 2,317,735 | |||||||
3,000,000 | Bain Capital Credit Ltd., Series 2017-2A-ER2 (3 Month LIBOR USD + 6.86%, 6.86% Floor) | 12.12 | % (a) | 07/25/2034 | 2,719,090 | |||||||
2,250,000 | Barings Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 6.45%) | 11.70 | % (a) | 10/20/2030 | 1,840,354 | |||||||
1,500,000 | Barings Ltd., Series 2018-4A-E (3 Month LIBOR USD + 5.82%, 5.82% Floor) | 11.08 | % (a) | 10/15/2030 | 1,331,470 | |||||||
5,000,000 | Barings Ltd., Series 2019-2A-DR (3 Month LIBOR USD + 6.78%, 6.78% Floor) | 12.04 | % (a) | 04/15/2036 | 4,432,284 | |||||||
1,000,000 | Barings Ltd., Series 2020-1A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor) | 11.91 | % (a) | 10/15/2036 | 914,763 | |||||||
2,500,000 | Canyon Capital Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 5.75%) | 11.01 | % (a) | 07/15/2031 | 1,966,262 | |||||||
6,650,000 | Canyon Capital Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.25%) | 11.51 | % (a) | 07/15/2030 | 5,532,348 | |||||||
2,500,000 | Canyon Capital Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 11.01 | % (a) | 07/15/2031 | 2,000,946 | |||||||
1,000,000 | Canyon Capital Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.41%, 6.41% Floor) | 11.67 | % (a) | 04/15/2034 | 890,952 | |||||||
6,000,000 | Canyon Capital Ltd., Series 2021-2A-E (3 Month LIBOR USD + 6.70%, 6.70% Floor) | 11.96 | % (a) | 04/15/2034 | 5,377,270 | |||||||
2,000,000 | Carlyle Global Market Strategies Ltd., Series 2013-3A-DR (3 Month LIBOR USD + 5.50%) | 10.76 | % (a) | 10/15/2030 | 1,647,667 | |||||||
3,000,000 | Carlyle Global Market Strategies Ltd., Series 2019-1A-D (3 Month LIBOR USD + 6.70%, 6.70% Floor) | 11.95 | % (a) | 04/20/2031 | 2,696,660 | |||||||
1,500,000 | Chenango Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.80%, 5.80% Floor) | �� | 11.06 | % (a) | 04/15/2030 | 1,222,880 | ||||||
750,000 | CIFC Funding Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 6.65%) | 11.91 | % (a) | 07/16/2030 | 647,075 | |||||||
2,500,000 | Dryden Ltd., Series 2018-55A-F (3 Month LIBOR USD + 7.20%) | 12.46 | % (a)(b) | 04/15/2031 | 1,700,579 | |||||||
3,000,000 | Dryden Senior Loan Fund, Series 2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor) | 10.41 | % (a) | 01/15/2031 | 2,360,572 | |||||||
1,250,000 | Galaxy Ltd., Series 2017-24A-E (3 Month LIBOR USD + 5.50%) | 10.76 | % (a) | 01/15/2031 | 1,068,748 | |||||||
1,183,298 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%) | 10.27 | % (a)(b) | 04/28/2025 | 277,193 | |||||||
1,338,283 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E (3 Month LIBOR USD + 5.75%) | 11.02 | % (a)(b) | 04/28/2025 | 268 | |||||||
3,500,000 | LCM LP, Series 14A-FR (3 Month LIBOR USD + 7.61%) | 12.86 | % (a)(b) | 07/20/2031 | 2,454,222 | |||||||
5,000,000 | LCM LP, Series 17A-ER (3 Month LIBOR USD + 6.00%, 6.00% Floor) | 11.26 | % (a) | 10/15/2031 | 3,331,880 | |||||||
6,500,000 | LCM LP, Series 26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor) | 10.55 | % (a) | 01/20/2031 | 4,193,239 | |||||||
2,000,000 | LCM LP, Series 28A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 11.00 | % (a) | 10/20/2030 | 1,323,339 | |||||||
11,000,000 | Madison Park Funding Ltd., Series 2014-14A-ER (3 Month LIBOR USD + 5.80%, 5.80% Floor) | 11.07 | % (a) | 10/22/2030 | 9,667,448 | |||||||
6,500,000 | Madison Park Funding Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 11.01 | % (a) | 10/15/2031 | 5,487,661 | |||||||
1,000,000 | Madison Park Funding Ltd., Series 2019-34A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor) | 11.91 | % (a) | 04/25/2032 | 966,506 | |||||||
2,000,000 | Madison Park Funding Ltd., Series 2019-37A-ER (3 Month LIBOR USD + 6.15%, 6.15% Floor) | 11.41 | % (a) | 07/15/2033 | 1,879,467 | |||||||
500,000 | Magnetite Ltd., Series 2020-26A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor) | 11.21 | % (a) | 07/25/2034 | 465,337 | |||||||
500,000 | Marble Point Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.00%) | 8.26 | % (a) | 07/16/2031 | 419,096 | |||||||
2,000,000 | Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | 11.51 | % (a) | 04/15/2034 | 1,805,783 | |||||||
1,000,000 | Neuberger Berman Loan Advisers Ltd., Series 2019-31A-ER (3 Month LIBOR USD + 6.50%, 6.50% Floor) | 11.75 | % (a) | 04/20/2031 | 915,764 | |||||||
1,750,000 | Neuberger Berman Loan Advisers Ltd., Series 2019-32A-ER (3 Month LIBOR USD + 6.10%, 6.10% Floor) | 11.37 | % (a) | 01/20/2032 | 1,617,813 | |||||||
2,250,000 | Neuberger Berman Loan Advisers Ltd., Series 2019-33A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | 11.51 | % (a) | 10/16/2033 | 2,065,823 | |||||||
2,000,000 | Newark BSL Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.30%) | 11.56 | % (a) | 07/25/2030 | 1,760,955 | |||||||
5,000,000 | Octagon Investment Partners Ltd., Series 2012-1A-DR (3 Month LIBOR USD + 7.15%) | 12.41 | % (a) | 07/15/2029 | 4,058,764 | |||||||
8,750,000 | Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 11.01 | % (a) | 07/17/2030 | 7,091,348 | |||||||
5,460,000 | Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 7.00%) | 12.27 | % (a) | 07/19/2030 | 4,610,301 | |||||||
3,000,000 | Octagon Investment Partners Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 7.25%) | 12.52 | % (a) | 01/24/2033 | 2,694,965 | |||||||
2,000,000 | Octagon Investment Partners Ltd., Series 2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor) | 13.35 | % (a)(b) | 07/15/2030 | 1,544,136 | |||||||
4,000,000 | Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%) | 11.45 | % (a) | 03/17/2030 | 3,333,051 | |||||||
500,000 | Octagon Investment Partners Ltd., Series 2019-1A-DR (3 Month LIBOR USD + 3.25%, 3.25% Floor) | 8.51 | % (a) | 10/15/2034 | 455,146 | |||||||
2,000,000 | Octagon Investment Partners Ltd., Series 2019-3A-ER (3 Month LIBOR USD + 6.75%, 6.75% Floor) | 12.01 | % (a) | 07/15/2034 | 1,811,728 | |||||||
1,000,000 | Octagon Investment Partners Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.60%, 6.60% Floor) | 11.86 | % (a) | 07/15/2036 | 829,855 | |||||||
500,000 | Point Au Roche Park Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.10%, 6.10% Floor) | 11.35 | % (a) | 07/20/2034 | 442,069 | |||||||
2,400,000 | Sound Point Ltd., Series 2019-2A-ER (3 Month LIBOR USD + 6.47%, 6.47% Floor) | 11.73 | % (a) | 07/15/2034 | 1,917,192 | |||||||
500,000 | Sound Point Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.56%, 6.56% Floor) | 11.82 | % (a) | 10/25/2034 | 408,438 | |||||||
2,000,000 | Sound Point Ltd., Series 2021-3A-E (3 Month LIBOR USD + 6.61%, 6.61% Floor) | 11.87 | % (a) | 10/25/2034 | 1,635,891 | |||||||
7,500,000 | Steward Park Ltd., Series 2015-1A-ER (3 Month LIBOR USD + 5.28%, 5.28% Floor) | 10.54 | % (a) | 01/15/2030 | 5,958,947 | |||||||
2,000,000 | THL Credit Wind River Ltd., Series 2013-2A-E1R (3 Month LIBOR USD + 6.75%) | 12.01 | % (a)(b) | 10/18/2030 | 1,527,413 | |||||||
3,500,000 | THL Credit Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 11.01 | % (a)(b) | 01/15/2031 | 2,419,342 | |||||||
2,000,000 | THL Credit Wind River Ltd., Series 2014-3A-ER2 (3 Month LIBOR USD + 6.22%, 6.22% Floor) | 11.49 | % (a) | 10/22/2031 | 1,497,424 | |||||||
5,000,000 | THL Credit Wind River Ltd., Series 2017-1A-ER (3 Month LIBOR USD + 7.06%, 7.06% Floor) | 12.32 | % (a) | 04/18/2036 | 4,236,299 | |||||||
3,000,000 | THL Credit Wind River Ltd., Series 2017-3A-ER (3 Month LIBOR USD + 7.05%, 7.05% Floor) | 12.31 | % (a) | 04/15/2035 | 2,661,490 | |||||||
1,000,000 | THL Credit Wind River Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.50%) | 10.76 | % (a) | 07/15/2030 | 809,855 | |||||||
1,000,000 | THL Credit Wind River Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.75%) | 11.01 | % (a) | 07/15/2030 | 798,813 | |||||||
7,200,000 | Venture Ltd., Series 2016-24A-E (3 Month LIBOR USD + 6.72%) | 11.97 | % (a) | 10/20/2028 | 5,716,547 | |||||||
5,000,000 | Venture Ltd., Series 2017-26A-E (3 Month LIBOR USD + 6.80%) | 12.05 | % (a) | 01/20/2029 | 2,829,928 | |||||||
4,000,000 | Venture Ltd., Series 2017-27A-E (3 Month LIBOR USD + 6.35%) | 11.60 | % (a) | 07/20/2030 | 2,667,371 | |||||||
1,500,000 | Voya Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.10%) | 11.36 | % (a) | 04/17/2030 | 1,229,570 | |||||||
1,000,000 | Voya Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.25%, 5.25% Floor) | 10.51 | % (a) | 07/15/2031 | 777,642 | |||||||
1,000,000 | Voya Ltd., Series 2018-2A-F (3 Month LIBOR USD + 7.29%, 7.29% Floor) | 12.55 | % (a) | 07/15/2031 | 650,411 | |||||||
|
| |||||||||||
Total Collateralized Loan Obligations (Cost $181,449,169) | 146,524,819 | |||||||||||
|
| |||||||||||
Foreign Corporate Bonds - 35.7% |
| |||||||||||
10,404,000 | ABM Investama Tbk PT | 9.50 | % (a) | 08/05/2026 | 9,457,252 | |||||||
1,700,000 | Adani Electricity Mumbai Ltd. | 3.87 | % | 07/22/2031 | 1,201,771 | |||||||
3,477,000 | Adani International Container Terminal Private Ltd. | 3.00 | % | 02/16/2031 | 2,735,285 | |||||||
4,200,000 | Adani Ports & Special Economic Zone Ltd. | 3.10 | % | 02/02/2031 | 2,942,609 | |||||||
17,580,000 | Adani Ports & Special Economic Zone Ltd. | 5.00 | % | 08/02/2041 | 11,737,490 | |||||||
1,589,250 | Adani Transmission Step-One Ltd. | 4.25 | % | 05/21/2036 | 1,203,270 | |||||||
9,000,000 | Agile Group Holdings Ltd. (5 Year CMT Rate + 11.08%) | 7.75 | % (f)(g) | 05/25/2025 | 966,224 | |||||||
20,863,000 | AI Candelaria Spain S.A. | 5.75 | % | 06/15/2033 | 15,482,119 | |||||||
2,000,000 | AI Candelaria Spain S.A. | 5.75 | % (a) | 06/15/2033 | 1,484,170 | |||||||
1,500,000 | Alibaba Group Holding Ltd. | 3.25 | % | 02/09/2061 | 929,048 | |||||||
14,407,320 | Alpha Holdings S.A. de C.V. | 10.00 | % (b)(f) | 12/19/2024 | 88,605 | |||||||
376,662 | Alpha Holdings S.A. de C.V. | 10.00 | % (a)(b)(f) | 12/19/2024 | 2,316 | |||||||
12,208,365 | Alpha Holdings S.A. de C.V. | 9.00 | % (a)(b)(f) | 02/10/2025 | 167,865 | |||||||
5,939,205 | Alpha Holdings S.A. de C.V. | 9.00 | % (b)(f) | 02/10/2025 | 81,664 | |||||||
6,000,000 | AMS AG | 7.00 | % (a) | 07/31/2025 | 5,303,517 | |||||||
11,302,000 | Aris Mining Corporation | 6.88 | % | 08/09/2026 | 8,315,107 | |||||||
18,331,000 | Banco Davivienda S.A. (10 Year CMT Rate + 5.10%) | 6.65 | % (g) | 04/22/2031 | 13,507,535 | |||||||
8,805,000 | Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%) | 7.50 | % | 04/16/2031 | 7,236,304 | |||||||
16,800,000 | Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%) | 7.50 | % (a) | 04/16/2031 | 13,806,917 | |||||||
9,700,000 | Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%) | 6.63 | % (g) | 01/24/2032 | 7,507,800 | |||||||
3,000,000 | Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%) | 6.63 | % (a)(g) | 01/24/2032 | 2,322,000 | |||||||
20,000,000 | Braskem Idesa SAPI | 6.99 | % (h) | 02/20/2032 | 12,973,746 | |||||||
17,700,000 | Braskem Idesa SAPI | 6.99 | % (a) | 02/20/2032 | 11,481,765 | |||||||
22,400,000 | BRF S.A. | 5.75 | % (h) | 09/21/2050 | 14,981,922 | |||||||
1,958,000 | Calfrac Holdings LP | 10.88 | % (a) | 03/15/2026 | 1,762,102 | |||||||
2,376,000 | Camposol S.A. | 6.00 | % | 02/03/2027 | 1,641,931 | |||||||
550,000 | CAP S.A. | 3.90 | % | 04/27/2031 | 400,868 | |||||||
500,000 | Cemex S.A.B. de C.V. (5 Year CMT Rate + 4.91%) | 9.13 | % (a)(g) | 03/14/2028 | 506,999 | |||||||
6,547,775 | CFG Investment S.A.C | 10.00 | % | 11/07/2032 | 5,369,176 | |||||||
4,413,196 | CFG Investment S.A.C | 13.98 | % (b)(d) | 11/07/2032 | 6,068,145 | |||||||
2,800,000 | Connect Finco LLC | 6.75 | % (a) | 10/01/2026 | 2,722,206 | |||||||
16,100,000 | Coruripe Netherlands B.V. | 10.00 | % | 02/10/2027 | 10,250,870 | |||||||
9,150,000 | Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%) | 9.13 | % (a)(f)(g) | 11/29/2027 | 125,812 | |||||||
17,286,000 | Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%) | 9.13 | % (f)(g) | 11/29/2027 | 237,683 | |||||||
300,000 | CT Trust | 5.13 | % | 02/03/2032 | 241,047 | |||||||
4,330,529 | Digicel Group Holdings Ltd. (7.00% PIK) | 7.00 | % (a)(f)(g) | 07/17/2023 | 503,121 | |||||||
16,748,352 | Digicel Group Holdings Ltd. (5.00% + 3.00% PIK or 8.00% PIK) | 8.00 | % (a)(f) | 04/01/2025 | 7,285,533 | |||||||
4,400,000 | Empresas Publicas de Medellin ESP | 4.38 | % | 02/15/2031 | 3,301,232 | |||||||
17,011,000 | Frigorifico Concepcion S.A. | 7.70 | % (a) | 07/21/2028 | 13,270,730 | |||||||
6,160,000 | Frigorifico Concepcion S.A. | 7.70 | % | 07/21/2028 | 4,805,578 | |||||||
4,205,000 | Garda World Security Corporation | 6.00 | % (a) | 06/01/2029 | 3,450,023 | |||||||
16,000,000 | Gran Tierra Energy, Inc. | 7.75 | % (a) | 05/23/2027 | 12,126,587 | |||||||
9,000,000 | Gran Tierra Energy, Inc. | 7.75 | % | 05/23/2027 | 6,821,205 | |||||||
5,600,000 | Interpipe Holdings PLC | 8.38 | % (a) | 05/13/2026 | 3,054,016 | |||||||
5,925,566 | Invepar Holdings | 0.00 | % (b)(f) | 12/30/2028 | — | |||||||
5,100,000 | JBS USA Finance, Inc. | 4.38 | % | 02/02/2052 | 3,581,959 | |||||||
9,652,000 | Kawasan Industri Jababeka Tbk PT | 7.00 | % (a)(p) | 12/15/2027 | 6,473,058 | |||||||
2,600,000 | Kronos Acquisition Holdings, Inc. | 7.00 | % (a) | 12/31/2027 | 2,304,419 | |||||||
1,538,000 | MARB BondCo PLC | 3.95 | % | 01/29/2031 | 1,102,145 | |||||||
19,904,783 | MC Brazil Downstream Trading SARL | 7.25 | % (h) | 06/30/2031 | 13,463,442 | |||||||
6,300,000 | Metinvest B.V. | 7.75 | % | 10/17/2029 | 3,811,500 | |||||||
7,600,000 | Mexarrend SAPI de C.V. | 10.25 | % (f) | 07/24/2024 | 1,713,306 | |||||||
17,360,000 | Mexarrend SAPI de C.V. | 10.25 | % (a)(f) | 07/24/2024 | 3,913,552 | |||||||
11,005,000 | Movida Europe S.A. | 5.25 | % | 02/08/2031 | 8,948,171 | |||||||
8,200,000 | NGD Holdings B.V. | 6.75 | % | 12/31/2026 | 6,027,000 | |||||||
1,536,109 | Oi S.A. | 14.00 | % (a)(b) | 09/07/2024 | 1,571,951 | |||||||
23,000,000 | Oi S.A. (8.00% + 4.00% PIK) | 10.00 | % (f) | 07/27/2025 | 1,662,860 | |||||||
14,325,000 | Operadora de Servicios Mega S.A. de C.V. | 8.25 | % (a) | 02/11/2025 | 7,173,960 | |||||||
7,665,000 | Operadora de Servicios Mega S.A. de C.V. | 8.25 | % | 02/11/2025 | 3,838,632 | |||||||
7,550,000 | Pampa Energia S.A. | 9.13 | % | 04/15/2029 | 7,217,272 | |||||||
800,000 | Pampa Energia S.A. | 9.13 | % (a) | 04/15/2029 | 764,744 | |||||||
13,400,000 | Prime Energia S.p.A. | 5.38 | % | 12/30/2030 | 8,720,050 | |||||||
2,200,000 | RKI Overseas Finance Ltd. | 7.00 | % (g) | 12/23/2023 | 594,869 | |||||||
17,796,000 | RKP Overseas Finance Ltd. | 7.95 | % (g) | 08/17/2023 | 4,899,123 | |||||||
5,000,000 | RKPF Overseas Ltd. (5 Year CMT Rate + 6.00%) | 7.75 | % (g) | 11/18/2024 | 1,522,167 | |||||||
19,350,000 | Ronshine China Holdings Ltd. | 7.35 | % (f) | 12/15/2023 | 906,824 | |||||||
2,650,000 | Ronshine China Holdings Ltd. | 6.75 | % (f) | 08/05/2024 | 159,939 | |||||||
2,000,000 | Sasol Financing USA LLC | 5.50 | % | 03/18/2031 | 1,576,753 | |||||||
1,330,000 | Seaspan Corporation | 5.50 | % (a) | 08/01/2029 | 1,043,146 | |||||||
11,103,000 | SierraCol Energy Andina LLC | 6.00 | % | 06/15/2028 | 8,174,861 | |||||||
5,400,000 | SierraCol Energy Andina LLC | 6.00 | % (a) | 06/15/2028 | 3,975,885 | |||||||
14,800,000 | Simpar Europe S.A. | 5.20 | % (h) | 01/26/2031 | 11,762,404 | |||||||
7,900,000 | Telesat LLC | 5.63 | % (a) | 12/06/2026 | 4,882,437 | |||||||
3,021,000 | Tervita Corporation | 11.00 | % (a) | 12/01/2025 | 3,217,151 | |||||||
4,229,000 | Thaioil Treasury Center Company Ltd. | 3.75 | % | 06/18/2050 | 2,830,945 | |||||||
18,804,000 | Tullow Oil PLC | 10.25 | % (a) | 05/15/2026 | 14,309,844 | |||||||
8,351,355 | UEP Penonome S.A. | 6.50 | % | 10/01/2038 | 6,281,328 | |||||||
11,000,000 | Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) | 8.88 | % (a)(f)(g) | 01/29/2025 | 60,500 | |||||||
24,000,000 | Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) | 8.88 | % (f)(g) | 01/29/2025 | 132,000 | |||||||
13,400,000 | Unigel Luxembourg S.A. | 8.75 | % | 10/01/2026 | 4,405,250 | |||||||
16,183,000 | UPL Corporation Ltd. (5 Year CMT Rate + 3.87%) | 5.25 | % (g) | 02/27/2025 | 13,416,516 | |||||||
20,000,000 | Vedanta Resources Finance PLC | 9.25 | % | 04/23/2026 | 14,862,220 | |||||||
13,000,000 | Vedanta Resources Finance PLC | 9.25 | % (a)(h) | 04/23/2026 | 9,660,443 | |||||||
500,000 | Vedanta Resources Ltd. | 6.13 | % (h) | 08/09/2024 | 374,726 | |||||||
1,700,000 | VTR Comunicaciones SpA | 4.38 | % | 04/15/2029 | 868,411 | |||||||
2,587,000 | VTR Finance NV | 6.38 | % | 07/15/2028 | 995,914 | |||||||
8,000,000 | YPF Energia Electrica S.A. | 10.00 | % (a) | 07/25/2026 | 7,447,405 | |||||||
|
| |||||||||||
Total Foreign Corporate Bonds (Cost $711,798,111) | 430,510,247 | |||||||||||
|
| |||||||||||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 16.1% |
| |||||||||||
14,300,000 | Brazilian Government International Bond | 4.75 | % (h) | 01/14/2050 | 10,563,453 | |||||||
500,000 | Colombia Government International Bond | 4.13 | % | 02/22/2042 | 320,094 | |||||||
16,000,000 | Colombia Government International Bond | 5.00 | % (h) | 06/15/2045 | 11,178,707 | |||||||
6,300,000 | Colombia Government International Bond | 5.20 | % | 05/15/2049 | 4,343,850 | |||||||
12,000,000 | Colombia Government International Bond | 4.13 | % | 05/15/2051 | 7,211,279 | |||||||
2,500,000 | Dominican Republic International Bond | 5.30 | % (h) | 01/21/2041 | 1,964,933 | |||||||
10,750,000 | Dominican Republic International Bond | 5.88 | % (h) | 01/30/2060 | 8,357,481 | |||||||
6,500,000 | Ecopetrol S.A. | 5.88 | % | 05/28/2045 | 4,459,551 | |||||||
25,000,000 | Ecopetrol S.A. | 5.88 | % (h) | 11/02/2051 | 16,568,060 | |||||||
14,000,000 | Mexico City Airport Trust | 5.50 | % (h) | 07/31/2047 | 12,247,484 | |||||||
8,000,000 | Mexico Government International Bond | 3.77 | % | 05/24/2061 | 5,459,363 | |||||||
22,000,000 | OCP S.A. | 5.13 | % | 06/23/2051 | 16,087,280 | |||||||
4,500,000 | Panama Government International Bond | 3.87 | % | 07/23/2060 | 2,993,963 | |||||||
23,200,000 | Petrobras Global Finance B.V. | 5.50 | % (h) | 06/10/2051 | 18,281,484 | |||||||
29,500,000 | Petroleos del Peru S.A. | 5.63 | % (h) | 06/19/2047 | 19,055,019 | |||||||
17,200,000 | Petroleos Mexicanos | 6.38 | % (h) | 01/23/2045 | 10,581,416 | |||||||
10,200,000 | Petroleos Mexicanos | 6.75 | % | 09/21/2047 | 6,414,507 | |||||||
13,000,000 | Republic of South Africa Government Bond | 5.65 | % (h) | 09/27/2047 | 9,227,842 | |||||||
4,100,000 | Telecommunications Services of Trinidad & Tobago Ltd. | 8.88 | % | 10/18/2029 | 3,368,253 | |||||||
5,150,000 | Ukraine Government International Bond | 9.75 | % (f) | 11/01/2030 | 1,289,483 | |||||||
15,000,000 | Ukraine Government International Bond | 7.25 | % (f) | 03/15/2035 | 3,525,000 | |||||||
850,000 | YPF S.A. | 8.50 | % (a) | 06/27/2029 | 724,541 | |||||||
5,000,000 | YPF S.A. | 8.50 | % | 06/27/2029 | 4,262,007 | |||||||
22,407,000 | YPF S.A. | 7.00 | % (h) | 12/15/2047 | 15,257,374 | |||||||
|
| |||||||||||
Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $245,672,074) | 193,742,424 | |||||||||||
|
| |||||||||||
Non-Agency Commercial Mortgage Backed Obligations - 15.7% |
| |||||||||||
5,000,000 | ACREC LLC, Series 2023-FL2-C (Secured Overnight Financing Rate 1 Month + 4.28%, 4.28% Floor) | 9.37 | % (a) | 02/19/2038 | 4,987,405 | |||||||
13,000,000 | Alen Mortgage Trust, Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor) | 10.19 | % (a)(i) | 04/15/2034 | 7,245,930 | |||||||
6,325,000 | Beast Mortgage Trust, Series 2021-1818-G (Secured Overnight Financing Rate 1 Month + 6.11%, 6.25% Floor) | 11.19 | % (a) | 03/15/2036 | 4,038,977 | |||||||
121,775,000 | Benchmark Mortgage Trust, Series 2020-B18-AGNX | 0.62 | % (a)(d)(j) | 07/15/2053 | 1,102,039 | |||||||
7,130,000 | BSREP Commercial Mortgage Trust, Series 2021-DC-G (1 Month LIBOR USD + 3.85%, 3.85% Floor) | 9.04 | % (a) | 08/15/2038 | 5,505,415 | |||||||
3,650,000 | BX Trust, Series 2019-IMC-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) | 7.09 | % (a) | 04/15/2034 | 3,569,598 | |||||||
10,200,000 | Cantor Commercial Real Estate Lending, Series 2019-CF2-SWX1 | 1.45 | % (a)(d)(j) | 11/15/2052 | 655,186 | |||||||
12,080,000 | Cantor Commercial Real Estate Lending, Series 2019-CF2-SWX2 | 1.19 | % (a)(d)(j) | 11/15/2052 | 607,403 | |||||||
8,095,225 | Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor) | 8.04 | % (a) | 10/15/2035 | 6,878,525 | |||||||
30,511,177 | Citigroup Commercial Mortgage Trust, Series 2014-GC25-XG | 1.35 | % (a)(d)(j) | 10/10/2047 | 370,467 | |||||||
4,484,000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27-D | 4.57 | % (a)(d) | 02/10/2048 | 3,617,906 | |||||||
3,929,315 | Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-F | 3.75 | % (a)(b) | 08/10/2047 | 787,458 | |||||||
6,594,652 | Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-G | 3.75 | % (a)(b) | 08/10/2047 | 237,342 | |||||||
14,000 | Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-V | 0.00 | % (a)(b)(d) | 08/10/2047 | 1 | |||||||
18,438,000 | Commercial Mortgage Pass-Through Trust, Series 2015-CR26-XD | 1.36 | % (a)(d)(j) | 10/10/2048 | 443,510 | |||||||
4,875,000 | DOLP Trust, Series 2021-NYC-G | 3.70 | % (a)(d) | 05/10/2041 | 2,113,066 | |||||||
1,433,000 | FIVE Mortgage Trust, Series 2023-V1-D | 6.62 | % (a)(d) | 02/10/2056 | 1,165,872 | |||||||
10,000,000 | Great Wolf Trust, Series 2019-WOLF-F (Secured Overnight Financing Rate 1 Month + 3.25%, 3.13% Floor) | 8.39 | % (a)(i) | 12/15/2036 | 9,573,954 | |||||||
8,000,000 | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (1 Month LIBOR USD + 5.00%, 5.00% Floor) | 10.19 | % (a) | 11/15/2036 | 7,418,565 | |||||||
7,896,000 | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-H (1 Month LIBOR USD + 5.93%, 5.93% Floor) | 11.13 | % (a)(i) | 11/15/2026 | 7,243,263 | |||||||
2,535,131 | GS Mortgage Securities Trust, Series 2014-GC20-E | 4.67 | % (a)(b)(d) | 04/10/2047 | 393,371 | |||||||
6,273,000 | GS Mortgage Securities Trust, Series 2015-GC28-D | 4.45 | % (a)(d) | 02/10/2048 | 5,245,968 | |||||||
44,234,657 | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC | 0.83 | % (a)(d)(j) | 08/15/2046 | 829 | |||||||
14,113,175 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E | 4.00 | % (a)(b)(d) | 04/15/2047 | 11,322,045 | |||||||
7,840,900 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F | 3.75 | % (a)(b)(d) | 04/15/2047 | 5,196,498 | |||||||
20,864,916 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR | 3.75 | % (a)(b)(d) | 04/15/2047 | 1,820,873 | |||||||
33,207,401 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XD | 0.90 | % (a)(d)(j) | 08/15/2047 | 231,236 | |||||||
1,600,000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-D | 4.01 | % (a)(d) | 01/15/2048 | 1,211,182 | |||||||
5,000,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-E | 2.81 | % (a)(b)(d) | 02/15/2048 | 2,429,868 | |||||||
24,531,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-XE | 1.64 | % (a)(d)(j) | 02/15/2048 | 474,996 | |||||||
3,000,000 | LoanCore Issuer Ltd., Series 2021-CRE5-C (1 Month LIBOR USD + 2.35%, 2.35% Floor) | 7.54 | % (a) | 07/15/2036 | 2,722,287 | |||||||
2,379,000 | LSTAR Commercial Mortgage Trust, Series 2017-5-C | 4.83 | % (a)(d) | 03/10/2050 | 1,821,425 | |||||||
14,928,355 | Med Trust, Series 2021-MDLN-G (1 Month LIBOR USD + 5.25%, 5.25% Floor) | 10.44 | % (a)(i) | 11/15/2038 | 14,047,857 | |||||||
30,306,100 | Morgan Stanley Capital Trust, Series 2016-UB11-XA | 1.58 | % (d)(j) | 08/15/2049 | 1,062,671 | |||||||
11,453,000 | Morgan Stanley Capital Trust, Series 2017-ASHF-G (1 Month LIBOR USD + 7.03%, 6.90% Floor) | 12.22 | % (a) | 11/15/2034 | 10,347,614 | |||||||
3,357,000 | Morgan Stanley Capital Trust, Series 2019-PLND-F (1 Month LIBOR USD + 2.80%, 2.80% Floor) | 7.99 | % (a) | 05/15/2036 | 2,242,745 | |||||||
13,000,000 | Morgan Stanley Capital Trust, Series 2019-PLND-G (1 Month LIBOR USD + 3.65%, 3.65% Floor) | 8.84 | % (a) | 05/15/2036 | 6,730,291 | |||||||
5,000,000 | Natixis Commercial Mortgage Securities Trust, Series 2022-JERI-G (Secured Overnight Financing Rate 1 Month + 7.46%, 7.46% Floor) | 12.60 | % (a) | 01/15/2039 | 4,516,170 | |||||||
500,000,000 | SCOTT Trust, Series 2023-SFS-X | 0.32 | % (a)(d)(j) | 03/15/2040 | 3,876,650 | |||||||
24,352,775 | SMR Mortgage Trust, Series 2022-INDI-HRR (Secured Overnight Financing Rate 1 Month + 10.50%, 10.50% Floor) | 15.65 | % (b) | 02/15/2039 | 21,608,193 | |||||||
7,458,000 | UBS Commercial Mortgage Trust, Series 2017-C6-D | 2.50 | % (a)(d) | 12/15/2050 | 4,529,679 | |||||||
4,870,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-E | 3.25 | % (a)(b) | 08/15/2050 | 99,835 | |||||||
4,870,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XC | 1.74 | % (a)(d)(j) | 08/15/2050 | 52,331 | |||||||
6,363,981 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XD | 1.74 | % (a)(d)(j) | 08/15/2050 | 67,590 | |||||||
9,180,600 | Wells Fargo Commercial Mortgage Trust, Series 2015-C29-F | 4.36 | % (a)(b)(d) | 06/15/2048 | 6,012,843 | |||||||
38,737,225 | Wells Fargo Commercial Mortgage Trust, Series 2015-C29-G | 4.36 | % (a)(b)(d) | 06/15/2048 | 10,124,439 | |||||||
23,520,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-XEF | 1.77 | % (a)(d)(j) | 10/15/2049 | 1,048,270 | |||||||
2,200,000 | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D | 3.25 | % (a) | 01/15/2060 | 1,521,451 | |||||||
78,812,214 | WF-RBS Commercial Mortgage Trust, Series 2014-LC14-XC | 1.93 | % (a)(d)(j) | 03/15/2047 | 709,432 | |||||||
|
| |||||||||||
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $253,469,455) | 189,030,521 | |||||||||||
|
| |||||||||||
Non-Agency Residential Collateralized Mortgage Obligations - 2.6% |
| |||||||||||
2,000,000 | Connecticut Avenue Securities Trust, Series 2021-R02-2B2 (Secured Overnight Financing Rate 30 Day Average + 6.20%) | 11.27 | % (a) | 11/25/2041 | 1,916,823 | |||||||
3,000,000 | Connecticut Avenue Securities Trust, Series 2021-R03-1B2 (Secured Overnight Financing Rate 30 Day Average + 5.50%, 5.50% Floor) | 10.57 | % (a) | 12/25/2041 | 2,920,870 | |||||||
5,000,000 | Connecticut Avenue Securities Trust, Series 2022-R01-1B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%) | 11.07 | % (a) | 12/25/2041 | 4,919,075 | |||||||
4,500,000 | Connecticut Avenue Securities Trust, Series 2022-R02-2B1 (Secured Overnight Financing Rate 30 Day Average + 4.50%) | 9.57 | % (a) | 01/25/2042 | 4,526,699 | |||||||
4,000,000 | Connecticut Avenue Securities Trust, Series 2023-R05-1B2 (Secured Overnight Financing Rate 30 Day Average + 6.85%, 6.85% Floor) | 11.92 | % (a) | 06/25/2043 | 4,100,000 | |||||||
3,000,000 | Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-HQA2-B2 (Secured Overnight Financing Rate 30 Day Average + 5.45%) | 10.52 | % (a) | 12/25/2033 | 2,755,149 | |||||||
5,130,000 | Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA1-B2 (Secured Overnight Financing Rate 30 Day Average + 4.75%) | 9.82 | % (a) | 01/25/2051 | 4,706,240 | |||||||
2,000,000 | Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA2-B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%) | 11.07 | % (a) | 08/25/2033 | 1,972,531 | |||||||
2,000,000 | Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-HQA1-B2 (Secured Overnight Financing Rate 30 Day Average + 5.00%) | 10.07 | % (a) | 08/25/2033 | 1,803,806 | |||||||
1,500,000 | Federal Home Loan Mortgage Corporation STACR REMICS, Series 2022-DNA2-B1 (Secured Overnight Financing Rate 30 Day Average + 4.75%) | 9.82 | % (a) | 02/25/2042 | 1,496,552 | |||||||
|
| |||||||||||
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $30,045,681) | 31,117,745 | |||||||||||
|
| |||||||||||
US Corporate Bonds - 22.0% |
| |||||||||||
15,310,000 | Air Methods Corporation | 8.00 | % (a)(f) | 05/15/2025 | 133,962 | |||||||
3,770,000 | Allied Universal Holdco LLC | 9.75 | % (a) | 07/15/2027 | 3,337,914 | |||||||
1,695,000 | Arconic Corporation | 6.13 | % (a) | 02/15/2028 | 1,717,550 | |||||||
8,175,000 | Artera Services LLC | 9.03 | % (a) | 12/04/2025 | 7,164,570 | |||||||
4,038,000 | ASP Unifrax Holdings, Inc. | 7.50 | % (a)(h) | 09/30/2029 | 2,504,461 | |||||||
5,215,000 | BCPE Empire Holdings, Inc. | 7.63 | % (a) | 05/01/2027 | 4,855,630 | |||||||
750,000 | Boxer Parent Company, Inc. | 7.13 | % (a) | 10/02/2025 | 751,642 | |||||||
5,800,000 | Carnival Corporation | 7.63 | % (a)(h) | 03/01/2026 | 5,685,879 | |||||||
8,280,000 | Castle US Holding Corporation | 9.50 | % (a) | 02/15/2028 | 4,695,133 | |||||||
1,660,000 | Cengage Learning, Inc. | 9.50 | % (a)(h) | 06/15/2024 | 1,668,145 | |||||||
1,136,000 | Clarios Global LP | 6.75 | % (a) | 05/15/2025 | 1,137,985 | |||||||
6,440,000 | Clarios Global LP | 8.50 | % (a)(h) | 05/15/2027 | 6,462,611 | |||||||
5,110,000 | Clear Channel Outdoor Holdings, Inc. | 7.50 | % (a)(h) | 06/01/2029 | 3,787,181 | |||||||
4,665,000 | Cobra AcquisitionCo LLC | 6.38 | % (a) | 11/01/2029 | 3,293,607 | |||||||
1,680,000 | Community Health Systems, Inc. | 6.00 | % (a)(h) | 01/15/2029 | 1,415,106 | |||||||
3,815,000 | Constellation Merger Sub, Inc. | 8.50 | % (a)(h) | 09/15/2025 | 3,134,652 | |||||||
1,880,000 | Coty, Inc. | 6.50 | % (a)(h) | 04/15/2026 | 1,865,524 | |||||||
10,160,000 | CSI Compressco LP | 7.50 | % (a)(h) | 04/01/2025 | 9,742,729 | |||||||
7,695,000 | CVR Nitrogen Finance Corporation | 6.13 | % (a) | 06/15/2028 | 6,700,644 | |||||||
6,120,000 | Dealer Tire LLC | 8.00 | % (a) | 02/01/2028 | 5,582,625 | |||||||
2,140,000 | DISH DBS Corporation | 5.75 | % (a) | 12/01/2028 | 1,595,709 | |||||||
15,745,000 | Embarq Corporation | 8.00 | % | 06/01/2036 | 9,537,691 | |||||||
2,425,000 | Endo Luxembourg Finance Company SARL | 6.13 | % (a) | 04/01/2029 | 1,796,913 | |||||||
8,335,000 | Ferrellgas LP | 5.88 | % (a) | 04/01/2029 | 6,991,610 | |||||||
1,375,000 | Frontier Communications Holdings LLC | 5.88 | % (a) | 10/15/2027 | 1,263,276 | |||||||
3,255,000 | Full House Resorts, Inc. | 8.25 | % (a)(h) | 02/15/2028 | 3,049,544 | |||||||
665,000 | GrafTech Global Enterprises, Inc. | 9.88 | % (a) | 12/15/2028 | 660,844 | |||||||
3,615,000 | H-Food Holdings LLC | 8.50 | % (a) | 06/01/2026 | 1,432,896 | |||||||
1,325,000 | Hightower Holding LLC | 6.75 | % (a)(h) | 04/15/2029 | 1,147,325 | |||||||
4,247,000 | Illuminate Buyer LLC | 9.00 | % (a) | 07/01/2028 | 3,706,630 | |||||||
4,000,000 | IRB Holding Corporation | 7.00 | % (a) | 06/15/2025 | 4,025,260 | |||||||
2,595,000 | Lions Gate Capital Holdings LLC | 5.50 | % (a) | 04/15/2029 | 1,882,283 | |||||||
2,780,000 | LogMeIn, Inc. | 5.50 | % (a) | 09/01/2027 | 1,533,584 | |||||||
6,330,000 | LSF9 Atlantis Holdings LLC | 7.75 | % (a) | 02/15/2026 | 5,900,521 | |||||||
5,100,000 | McGraw-Hill Education, Inc. | 5.75 | % (a) | 08/01/2028 | 4,424,862 | |||||||
3,850,000 | Metis Merger Sub LLC | 6.50 | % (a) | 05/15/2029 | 3,325,493 | |||||||
1,385,000 | ModivCare, Inc. | 5.88 | % (a)(h) | 11/15/2025 | 1,284,291 | |||||||
5,425,000 | Moss Creek Resources Holdings, Inc. | 7.50 | % (a) | 01/15/2026 | 4,987,316 | |||||||
11,420,000 | NGL Energy Operating LLC | 7.50 | % (a) | 02/01/2026 | 11,259,169 | |||||||
1,295,000 | NGL Energy Partners LP | 7.50 | % (h) | 04/15/2026 | 1,220,727 | |||||||
550,000 | Olympus Water US Holding Corporation | 6.25 | % (a)(h) | 10/01/2029 | 398,311 | |||||||
3,580,000 | PECF USS Intermediate Holding Corporation | 8.00 | % (a) | 11/15/2029 | 2,017,795 | |||||||
3,060,000 | Premier Entertainment Sub LLC | 5.88 | % (a)(h) | 09/01/2031 | 2,260,957 | |||||||
13,815,470 | Pyxus Holdings, Inc. | 8.50 | % (a) | 12/31/2027 | 8,427,437 | |||||||
9,880,000 | Radiology Partners, Inc. | 9.25 | % (a) | 02/01/2028 | 3,611,011 | |||||||
5,050,000 | Realogy Group LLC | 5.75 | % (a) | 01/15/2029 | 3,784,205 | |||||||
3,915,000 | Rent-A-Center, Inc. | 6.38 | % (a)(h) | 02/15/2029 | 3,478,380 | |||||||
270,000 | Royal Caribbean Cruises Ltd. | 7.25 | % (a) | 01/15/2030 | 273,711 | |||||||
25,000 | Sabre Global, Inc. | 9.25 | % (a) | 04/15/2025 | 23,341 | |||||||
6,630,000 | Sabre Global, Inc. | 7.38 | % (a) | 09/01/2025 | 5,892,777 | |||||||
4,220,000 | SEG Holding LLC | 5.63 | % (a) | 10/15/2028 | 4,002,034 | |||||||
8,340,000 | SWF Escrow Issuer Corporation | 6.50 | % (a) | 10/01/2029 | 5,015,078 | |||||||
1,500,000 | Tallgrass Energy Partners LP | 7.50 | % (a) | 10/01/2025 | 1,498,582 | |||||||
8,145,000 | Team Health Holdings, Inc. | 6.38 | % (a) | 02/01/2025 | 4,331,488 | |||||||
5,300,000 | TKC Holdings, Inc. | 10.50 | % (a)(h) | 05/15/2029 | 4,033,724 | |||||||
1,930,000 | TMS International Corporation | 6.25 | % (a) | 04/15/2029 | 1,623,188 | |||||||
2,675,000 | Townsquare Media, Inc. | 6.88 | % (a)(h) | 02/01/2026 | 2,560,528 | |||||||
2,695,000 | Trident TPI Holdings, Inc. | 12.75 | % (a) | 12/31/2028 | 2,798,084 | |||||||
5,070,000 | Triton Water Holdings, Inc. | 6.25 | % (a)(h) | 04/01/2029 | 4,356,448 | |||||||
6,723,000 | Triumph Group, Inc. | 7.75 | % (h) | 08/15/2025 | 6,543,429 | |||||||
3,435,000 | Uber Technologies, Inc. | 8.00 | % (a) | 11/01/2026 | 3,504,686 | |||||||
5,525,000 | Uber Technologies, Inc. | 7.50 | % (a) | 09/15/2027 | 5,657,838 | |||||||
2,500,000 | Unisys Corporation | 6.88 | % (a)(h) | 11/01/2027 | 1,803,375 | |||||||
9,485,000 | United Natural Foods, Inc. | 6.75 | % (a)(h) | 10/15/2028 | 7,873,736 | |||||||
5,005,000 | Univision Communications, Inc. | 6.63 | % (a) | 06/01/2027 | 4,845,235 | |||||||
1,605,000 | Univision Communications, Inc. | 7.38 | % (a) | 06/30/2030 | 1,529,593 | |||||||
1,685,000 | Venture Global LNG, Inc. | 8.38 | % (a) | 06/01/2031 | 1,701,020 | |||||||
2,110,000 | Vibrantz Technologies, Inc. | 9.00 | % (a)(h) | 02/15/2030 | 1,619,362 | |||||||
2,995,000 | Viking Cruises Ltd. | 13.00 | % (a) | 05/15/2025 | 3,146,822 | |||||||
5,915,000 | Viking Cruises Ltd. | 9.13 | % (a)(h) | 07/15/2031 | 5,979,947 | |||||||
5,205,000 | WASH Multifamily Acquisition, Inc. | 5.75 | % (a) | 04/15/2026 | 4,865,024 | |||||||
2,590,000 | Weatherford International Ltd. | 6.50 | % (a) | 09/15/2028 | 2,603,468 | |||||||
820,000 | Weatherford International Ltd. | 8.63 | % (a) | 04/30/2030 | 833,265 | |||||||
1,490,000 | Wheel Pros, Inc. | 6.50 | % (a) | 05/15/2029 | 450,948 | |||||||
6,210,000 | XHR LP | 6.38 | % (a) | 08/15/2025 | 6,102,350 | |||||||
|
| |||||||||||
Total US Corporate Bonds (Cost $336,011,505) | 266,110,671 | |||||||||||
|
| |||||||||||
US Government and Agency Mortgage Backed Obligations - 4.3% |
| |||||||||||
4,779,948 | Federal Home Loan Mortgage Corporation REMICS, Series 3631-SJ (-1 x 1 Month LIBOR USD + 6.24%, 6.24% Cap) | 1.05 | % (j)(k) | 02/15/2040 | 329,018 | |||||||
1,174,748 | Federal Home Loan Mortgage Corporation REMICS, Series 3770-SP (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | 1.31 | % (j)(k) | 11/15/2040 | 19,185 | |||||||
10,621,222 | Federal Home Loan Mortgage Corporation REMICS, Series 3980-SX (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | 1.31 | % (j)(k) | 01/15/2042 | 1,114,038 | |||||||
24,991,530 | Federal Home Loan Mortgage Corporation REMICS, Series 5129-S (-1 x Secured Overnight Financing Rate 30 Day Average + 2.70%, 2.70% Cap) | 0.00 | % (j)(k) | 12/25/2044 | 72,333 | |||||||
52,297,546 | Federal Home Loan Mortgage Corporation, Series 2021-P009-X | 1.50 | % (d)(j) | 01/25/2031 | 2,327,957 | |||||||
2,337,703 | Federal National Mortgage Association REMICS, Series 2006-83-SH (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap) | 1.41 | % (j)(k) | 09/25/2036 | 152,458 | |||||||
8,145,135 | Federal National Mortgage Association REMICS, Series 2010-123-SK (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 0.90 | % (j)(k) | 11/25/2040 | 704,549 | |||||||
5,800,369 | Federal National Mortgage Association REMICS, Series 2012-60-SN (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap) | 1.45 | % (j)(k) | 06/25/2042 | 516,940 | |||||||
10,117,989 | Federal National Mortgage Association REMICS, Series 2019-46-SG (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 0.95 | % (j)(k) | 08/25/2049 | 759,234 | |||||||
43,569,846 | Federal National Mortgage Association REMICS, Series 2021-17-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 2.50% Cap) | 0.00 | % (j)(k) | 04/25/2051 | 522,198 | |||||||
3,358,354 | FREMF Mortgage Trust, Series 2016-KF23-B (1 Month LIBOR USD + 5.15%) | 10.34 | % (a) | 09/25/2023 | 3,352,739 | |||||||
2,033,929 | FREMF Mortgage Trust, Series 2017-KF27-B (1 Month LIBOR USD + 4.35%, 4.35% Floor) | 9.54 | % (a) | 12/25/2026 | 1,999,281 | |||||||
8,865,019 | FREMF Mortgage Trust, Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor) | 10.99 | % (a) | 11/25/2028 | 7,523,584 | |||||||
17,037,541 | FREMF Mortgage Trust, Series 2019-KF71-C (1 Month LIBOR USD + 6.00%, 6.00% Floor) | 11.19 | % (a) | 10/25/2029 | 16,212,852 | |||||||
9,077,510 | Government National Mortgage Association, Series 2011-128-TS (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 0.89 | % (j)(k) | 05/16/2041 | 769,787 | |||||||
26,590,772 | Government National Mortgage Association, Series 2015-64-SG (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) | 0.45 | % (j)(k) | 05/20/2045 | 1,853,260 | |||||||
3,739,223 | Government National Mortgage Association, Series 2018-145-IA | 4.00 | % (j) | 10/20/2045 | 328,546 | |||||||
4,343,338 | Government National Mortgage Association, Series 2020-129-SE (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap) | 0.00 | % (j)(k) | 09/20/2050 | 60,702 | |||||||
16,355,173 | Government National Mortgage Association, Series 2020-146-SH (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | 1.14 | % (j)(k) | 10/20/2050 | 1,627,510 | |||||||
6,057,718 | Government National Mortgage Association, Series 2020-187-SB (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | 1.14 | % (j)(k) | 12/20/2050 | 617,540 | |||||||
23,418,877 | Government National Mortgage Association, Series 2020-47-SL (-1 x 1 Month LIBOR USD + 5.37%, 5.37% Cap) | 0.21 | % (j)(k) | 07/20/2044 | 1,367,627 | |||||||
12,751,463 | Government National Mortgage Association, Series 2020-61-SU (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap) | 0.44 | % (j)(k) | 07/16/2045 | 956,957 | |||||||
36,011,431 | Government National Mortgage Association, Series 2021-107-SA (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap) | 0.00 | % (j)(k) | 06/20/2051 | 1,338,880 | |||||||
20,125,927 | Government National Mortgage Association, Series 2021-125-AS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.25%, 3.25% Cap) | 0.00 | % (j)(k) | 07/20/2051 | 183,462 | |||||||
44,984,785 | Government National Mortgage Association, Series 2021-139-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 3.20% Cap) | 0.00 | % (j)(k) | 08/20/2051 | 881,328 | |||||||
46,748,142 | Government National Mortgage Association, Series 2021-77-SG (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap) | 0.00 | % (j)(k) | 05/20/2051 | 1,360,142 | |||||||
18,856,981 | Government National Mortgage Association, Series 2021-7-IQ | 2.50 | % (j) | 01/20/2051 | 2,390,754 | |||||||
40,638,741 | Government National Mortgage Association, Series 2021-96-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 3.20% Cap) | 0.00 | % (j)(k) | 06/20/2051 | 769,730 | |||||||
60,061,407 | Government National Mortgage Association, Series 2021-97-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap) | 0.00 | % (j)(k) | 06/20/2051 | 797,297 | |||||||
34,814,666 | Government National Mortgage Association, Series 2021-97-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap) | 0.00 | % (j)(k) | 06/20/2051 | 414,709 | |||||||
|
| |||||||||||
Total US Government and Agency Mortgage Backed Obligations (Cost $88,524,290) | 51,324,597 | |||||||||||
|
| |||||||||||
Common Stocks - 1.8% |
| |||||||||||
51,725 | ATD Holdings, Inc. (b)(h)(l) | 2,340,556 | ||||||||||
288,460 | Calfrac Well Services Ltd. (l) | 833,649 | ||||||||||
212,801 | CFG Investment S.A.C (b)(l) | 2,660,013 | ||||||||||
283,355 | Foresight Equity (b)(l) | 3,346,426 | ||||||||||
8,608 | GTT Communications, Inc. (b)(l) | 129,120 | ||||||||||
105,190 | Intelsat Emergence S.A. (b)(l) | 2,419,370 | ||||||||||
26,458 | Legacy Notes (b)(l) | 405,601 | ||||||||||
183,948 | Longview Equity (b)(l) | 2,391,324 | ||||||||||
808,534 | Petra Diamonds Ltd. (l) | 687,983 | ||||||||||
59,296 | Riverbed Technology (b)(l) | — | ||||||||||
33,058 | Summit Midstream Partners LP (l) | 537,193 | ||||||||||
97,836 | Weatherford International PLC (l) | 6,498,267 | ||||||||||
|
| |||||||||||
Total Common Stocks (Cost $52,275,623) | 22,249,502 | |||||||||||
|
| |||||||||||
Escrow Notes - 0.0% (m) |
| |||||||||||
15,700,000 | Alpha Holdings S.A. de C.V. (b)(l) | — | ||||||||||
15,700,000 | Alpha Holdings S.A. de C.V. (b)(l) | — | ||||||||||
19,250,000 | Alpha Holdings S.A. de C.V. (b)(l) | 1 | ||||||||||
19,250,000 | Alpha Holdings S.A. de C.V. (b)(l) | — | ||||||||||
3,300,000 | GCB Intelsat Jackson (a)(b)(l) | — | ||||||||||
7,715,000 | GCB Intelsat Jackson (a)(b)(l) | — | ||||||||||
|
| |||||||||||
Total Escrow Notes (Cost $-) | 1 | |||||||||||
|
| |||||||||||
Preferred Stocks - 0.0% (m) |
| |||||||||||
27,516 | Riverbed Technologies, Inc. (b)(l) | — | ||||||||||
|
| |||||||||||
Total Preferred Stocks (Cost $586,574) | — | |||||||||||
|
| |||||||||||
Rights - 0.4% |
| |||||||||||
11,016 | Intelsat Jackson Holdings Ltd. - Series A (b)(l) | 79,866 | ||||||||||
11,016 | Intelsat Jackson Holdings Ltd. - Series B (b)(l) | 52,326 | ||||||||||
333,957 | Legacy Backstop (b)(l) | 5,119,561 | ||||||||||
|
| |||||||||||
Total Rights (Cost $2,849,650) | 5,251,753 | |||||||||||
|
| |||||||||||
Warrants - 0.0% (m) |
| |||||||||||
27,621 | GTT Communications, Inc., Expiration 12/30/2027, Strike Price $0.00 (b)(l) | 13,810 | ||||||||||
|
| |||||||||||
Total Warrants (Cost $386,878) | 13,810 | |||||||||||
|
| |||||||||||
Short Term Investments - 0.6% |
| |||||||||||
2,376,161 | BlackRock Liquidity Funds FedFund - Institutional Shares | 4.99 | % (n) | 2,376,161 | ||||||||
2,376,160 | Fidelity Institutional Money Market Government Portfolio - Class I | 4.98 | % (n) | 2,376,160 | ||||||||
2,376,160 | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | 5.03 | % (n) | 2,376,160 | ||||||||
|
| |||||||||||
Total Short Term Investments (Cost $7,128,481) | 7,128,481 | |||||||||||
|
| |||||||||||
Total Investments - 128.5% (Cost $2,143,639,186) (o) | 1,550,284,185 | |||||||||||
Liabilities in Excess of Other Assets - (28.5)% | (343,498,194 | ) | ||||||||||
|
| |||||||||||
NET ASSETS - 100.0% | $ | 1,206,785,991 | ||||||||||
|
|
(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) | Security, or portion of security is on loan as of period end pursuant to the Liquidity Agreement. |
(i) | All or a portion of this security has been pledged as collateral. |
(j) | Interest only security |
(k) | 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. |
(l) | Non-income producing security |
(m) | Represents less than 0.05% of net assets |
(n) | Seven-day yield as of period end |
(o) | Under the Fund’s Liquidity Agreement, the lender, through its agent, has been granted a security interest in substantially all of the Fund’s investments in consideration of the Fund’s borrowings under the line of credit with the lender. |
(p) | 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. |
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:
Foreign Corporate Bonds | 35.7% | |||
US Corporate Bonds | 22.0% | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 16.1% | |||
Non-Agency Commercial Mortgage Backed Obligations | 15.7% | |||
Bank Loans | 15.0% | |||
Collateralized Loan Obligations | 12.1% | |||
US Government and Agency Mortgage Backed Obligations | 4.3% | |||
Non-Agency Residential Collateralized Mortgage Obligations | 2.6% | |||
Asset Backed Obligations | 2.2% | |||
Common Stocks | 1.8% | |||
Short Term Investments | 0.6% | |||
Rights | 0.4% | |||
Warrants | 0.0% | (m) | ||
Escrow Notes | 0.0% | (m) | ||
Preferred Stocks | 0.0% | (m) | ||
Other Assets and Liabilities | (28.5)% | |||
|
| |||
100.0% | ||||
|
|
INVESTMENT BREAKDOWN as a % of Net Assets:
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 16.1% | |||
Non-Agency Commercial Mortgage Backed Obligations | 15.7% | |||
Collateralized Loan Obligations | 12.1% | |||
Energy | 11.9% | |||
Consumer Products | 6.1% | |||
Transportation | 4.8% | |||
Mining | 4.6% | |||
US Government and Agency Mortgage Backed Obligations | 4.3% | |||
Banking | 3.7% | |||
Media | 3.3% | |||
Utilities | 3.1% | |||
Electronics/Electric | 3.0% | |||
Chemicals/Plastics | 2.8% | |||
Commercial Services | 2.8% | |||
Non-Agency Residential Collateralized Mortgage Obligations | 2.6% | |||
Healthcare | 2.6% | |||
Chemical Products | 2.4% | |||
Telecommunications | 2.2% | |||
Asset Backed Obligations | 2.2% | |||
Technology | 2.0% | |||
Leisure | 1.9% | |||
Real Estate | 1.8% | |||
Finance | 1.8% | |||
Automotive | 1.7% | |||
Retailers (other than Food/Drug) | 1.6% | |||
Business Equipment and Services | 1.6% | |||
Building and Development (including Steel/Metals) | 1.2% | |||
Financial Intermediaries | 1.2% | |||
Aerospace & Defense | 1.1% | |||
Food Products | 1.1% | |||
Industrial Equipment | 0.9% | |||
Beverage and Tobacco | 0.7% | |||
Hotels/Motels/Inns and Casinos | 0.6% | |||
Short Term Investments | 0.6% | |||
Insurance | 0.5% | |||
Containers and Glass Products | 0.4% | |||
Environmental Control | 0.4% | |||
Food Service | 0.3% | |||
Food/Drug Retailers | 0.3% | |||
Construction | 0.2% | |||
Pharmaceuticals | 0.2% | |||
Cosmetics/Toiletries | 0.1% | |||
Other Assets and Liabilities | (28.5)% | |||
|
| |||
100.0% | ||||
|
|
COUNTRY BREAKDOWN as a % of Net Assets:
United States | 73.8% | |||
Colombia | 12.2% | |||
Brazil | 8.3% | |||
Mexico | 7.2% | |||
India | 4.9% | |||
Argentina | 3.0% | |||
Peru | 2.9% | |||
Canada | 2.6% | |||
Paraguay | 1.5% | |||
Ukraine | 1.5% | |||
Morocco | 1.3% | |||
Indonesia | 1.3% | |||
Ghana | 1.2% | |||
South Africa | 1.0% | |||
Dominican Republic | 0.9% | |||
Panama | 0.8% | |||
Hong Kong | 0.7% | |||
Jamaica | 0.6% | |||
Luxembourg | 0.5% | |||
Austria | 0.4% | |||
United Kingdom | 0.4% | |||
Singapore | 0.4% | |||
Trinidad And Tobago | 0.3% | |||
China | 0.2% | |||
Thailand | 0.2% | |||
Chile | 0.2% | |||
Germany | 0.1% | |||
Ireland | 0.1% | |||
Guatemala | 0.0% | (m) | ||
Other Assets and Liabilities | (28.5)% | |||
|
| |||
100.0% | ||||
|
|
Notes to Schedule of Investments
June 30, 2023 (Unaudited)
1. Organization
DoubleLine Income Solutions 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. Currently under the 1940 Act, a diversified fund generally may not, with respect to 75% of its total assets, invest more than 5% of its total assets in the securities of any one issuer or own more than 10% of the outstanding voting securities of such issuer (except, in each case, U.S. Government securities, cash, cash items and the securities of other investment companies). The remaining 25% of a fund’s total assets is not subject to this limitation. The Fund was organized as a Massachusetts business trust on January 10, 2013 and commenced operations on April 26, 2013. The Fund is listed on the New York Stock Exchange (“NYSE”) under the symbol “DSL”. The Fund’s primary investment objective is to seek high current income and its secondary objective is to seek capital appreciation.
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 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.
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 evaluations provided by independent pricing services or broker dealer quotations. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.
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 Fund 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 (as defined below) 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, 2023:
Category |
| |||
Investments in Securities | ||||
Level 1 | ||||
Common Stocks | $ | 8,557,092 | ||
Money Market Funds | 7,128,481 | |||
|
|
| ||
Total Level 1 | 15,685,573 | |||
Level 2 | ||||
Foreign Corporate Bonds | $ | 422,529,701 | ||
US Corporate Bonds | 266,110,671 | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 193,742,424 | |||
Bank Loans | 179,281,075 | |||
Collateralized Loan Obligations | 136,601,666 | |||
Non-Agency Commercial Mortgage Backed Obligations | 128,997,755 | |||
US Government and Agency Mortgage Backed Obligations | 51,324,597 | |||
Non-Agency Residential Collateralized Mortgage Obligations | 31,117,745 | |||
Asset Backed Obligations | 20,579,983 | |||
|
|
| ||
Total Level 2 | 1,430,285,617 | |||
Level 3 | ||||
Non-Agency Commercial Mortgage Backed Obligations | $ | 60,032,766 | ||
Common Stocks | 13,692,410 | |||
Collateralized Loan Obligations | 9,923,153 | |||
Foreign Corporate Bonds | 7,980,546 | |||
Asset Backed Obligations | 5,513,904 | |||
Rights | 5,251,753 | |||
Bank Loans | 1,904,652 | |||
Warrants | 13,810 | |||
Escrow Notes | 1 | |||
Preferred Stocks | — | |||
|
|
| ||
Total Level 3 | 104,312,995 | |||
|
|
| ||
Total | $ | 1,550,284,185 | ||
|
|
|
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 2022 | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation)(c) | Net Accretion | Purchases(a) | Sales(b) | Transfers Level 3(d) | Transfers Level 3(d) | Fair Value as of June 30, 2023 | Net Change in Unrealized Appreciation (Depreciation) on securities held at June 30, 2023(c) | |||||||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage Backed Obligations | $ | 65,017,770 | $ | 114,429 | $ | (4,546,214 | ) | $ | 569,045 | $ | 690 | $ | (1,122,954 | ) | $ | — | $ | — | $ | 60,032,766 | $ | (4,635,472 | ) | |||||||||||||||||
Common Stocks | 16,545,799 | (505,199 | ) | (1,820,251 | ) | — | — | (527,939 | ) | — | — | 13,692,410 | (5,138,282 | ) | ||||||||||||||||||||||||||
Collateralized Loan Obligations | 6,311,066 | — | (516,935 | ) | 25,486 | 156,781 | — | 3,946,755 | — | 9,923,153 | (377,045 | ) | ||||||||||||||||||||||||||||
Foreign Corporate Bonds | — | 47,443 | 4,232,108 | 7,250 | 5,686,324 | (1,992,579 | ) | — | — | 7,980,546 | 420,623 | |||||||||||||||||||||||||||||
Asset Backed Obligations | 13,862,107 | (4,053,451 | ) | (2,503,479 | ) | (212 | ) | 437,563 | (2,228,624 | ) | — | — | 5,513,904 | (4,680,614 | ) | |||||||||||||||||||||||||
Rights | 5,266,282 | — | (14,529 | ) | — | — | — | — | — | 5,251,753 | (14,529 | ) | ||||||||||||||||||||||||||||
Bank Loans | 1,922,434 | 5,584 | (66,256 | ) | 60,672 | — | (17,782 | ) | — | — | 1,904,652 | (60,302 | ) | |||||||||||||||||||||||||||
Warrants | 1 | (1 | ) | 13,810 | — | — | — | — | — | 13,810 | — | |||||||||||||||||||||||||||||
Escrow Notes | 13,974,408 | (5,348,501 | ) | 2,212,384 | — | — | (10,838,290 | ) | — | — | 1 | — | ||||||||||||||||||||||||||||
Preferred Stocks | 27,516 | — | (27,516 | ) | — | — | — | — | — | — | (27,516 | ) | ||||||||||||||||||||||||||||
|
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|
|
| |||||||||||||||||||||
Total | $ | 122,927,383 | $ | (9,739,696 | ) | $ | (3,036,878 | ) | $ | 662,241 | $ | 6,281,358 | $ | (16,728,168 | ) | $ | 3,946,755 | $ | — | $ | 104,312,995 | $ | (14,933,760 | ) | ||||||||||||||||
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|
|
(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, 2023 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 summary of quantitative information about Level 3 Fair Value Measurements:
Fair Value as of June 30, | Valuation Techniques | Unobservable Input | Unobservable Input Values (Weighted Average)(e) | Impact to valuation from an increase to input | ||||||||||
Non-Agency Commercial Mortgage Backed Obligations | $ | 60,032,766 | Market Comparables | Market Quotes | $0.01 - $88.73 ($66.39) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Common Stocks | $ | 13,692,410 | Market Comparables | Market Quotes | $0.00 - $42.25 ($19.98) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Collateralized Loan Obligations | $ | 9,923,153 | Market Comparables | Market Quotes | $0.02 - $77.21 ($70.28) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Foreign Corporate Bonds | $ | 7,980,546 | Market Comparables | Market Quotes | $0.00 - $137.50 ($124.76) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Asset Backed Obligations | $ | 5,513,904 | Market Comparables | Market Quotes | $11.89 - $1,646.20 ($777.48) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Rights | $ | 5,251,753 | Market Comparables | Market Quotes | $4.75 - $15.33 ($15.10) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Bank Loans | $ | 1,904,652 | 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 | ||||||||
Warrants | $ | 13,810 | Market Comparables | Market Quotes | $0.00 ($0.00) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
Escrow Notes | $ | 1 | 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 | ||||||||
Preferred Stocks | $ | — | Market Comparables | Market Quotes | $0.00 ($0.00) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
(e) | Unobservable inputs were weighted by the relative fair value of the instruments. |