NPORT-EX 2 StructuredCredit_Schedule_F.htm SCHEDULE F FOR VALIDATION PURPOSES ONLY - [895496.TX]

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

March 31, 2020

 

     
Description    Par Value      Fair Value  

ASSET-BACKED SECURITIES (A) — 100.5%

      

CAYMAN ISLANDS — 75.8%

      

ABPCI Direct Lending Fund CLO I, Ser 2019-1A, Cl CR
6.339%, VAR ICE LIBOR USD 3 Month+4.520% 07/20/29 (B)

    $             12,466,000      $             9,096,565  

ABPCI Direct Lending Fund CLO V, Ser 2019-5A, Cl C
6.135%, VAR ICE LIBOR USD 3 Month+5.000% 04/20/31 (B)

      11,000,000        7,602,870  

ABPCI Direct Lending Fund CLO VII, Ser 2019-7A, Cl C2
6.885%, VAR ICE LIBOR USD 3 Month+5.750% 10/20/31 (B)

      4,300,000        3,116,683  

Apex Credit CLO, Ser 2018-2A, Cl E
7.665%, VAR ICE LIBOR USD 3 Month+6.530% 10/20/31 (B)

      14,300,000        5,005,000  

Apex Credit CLO, Ser 2018-2A, Cl F
10.115%, VAR ICE LIBOR USD 3 Month+8.980% 10/20/31 (B)

      7,600,000        1,900,000  

Arch Street CLO, Ser 2018-2A, Cl DR
4.885%, VAR ICE LIBOR USD 3 Month+3.750% 10/20/28 (B)

      8,000,000        6,208,800  

Ares XXXIV CLO, Ser 2015-2A, Cl SUB
04/17/33 (B)(C)

      61,987,000        23,555,060  

Ares XXXIV CLO, Ser 2020-2A, Cl FR
9.376%, VAR ICE LIBOR USD 3 Month+8.600% 04/17/33 (B)

      11,250,000        5,062,500  

B&M CLO, Ser 2014-1A, Cl E
7.593%, VAR ICE LIBOR USD 3 Month+5.750% 04/16/26 (B)

      5,250,000        2,467,500  

Battalion CLO IV, Ser 2013-4A, Cl SUB
10/22/25 (B)(C)

      31,800,000        159,000  

Battalion CLO VII, Ser 2014-7A, Cl SUB
07/17/28 (B)(C)

      12,746,000        3,186,500  

Battalion CLO VIII, Ser 2020-8A, Cl D1R2
7.885%, VAR ICE LIBOR USD 3 Month+6.750% 07/18/30 (B)

      10,990,000        6,435,744  

Battalion CLO X, Ser 2016-10A, Cl SUB
01/24/29 (B)(C)

      25,270,000        13,898,500  

Battalion CLO XI, Ser 2017-11A, Cl SUB
10/24/29 (B)(C)

      38,324,300        13,413,505  

Battalion CLO XII, Ser 2018-12A, Cl SUB
05/17/31 (B)(C)

      46,533,517        20,940,083  

Battalion CLO XIV, Ser 2019-14A, Cl SUB
04/20/32 (C)

      47,870,000        21,541,500  

Benefit Street Partners CLO, Ser 2018-5BA, Cl SUB
04/20/31 (C)

      30,840,000        12,181,800  

Benefit Street Partners CLO III, Ser 2013-IIIA, Cl SUB
07/20/29 (B)(C)

      21,904,000        5,914,080  

Benefit Street Partners CLO III, Ser 2017-IIIA, Cl DR
7.735%, VAR ICE LIBOR USD 3 Month+6.600% 07/20/29 (B)

      3,000,000        1,260,000  

Benefit Street Partners CLO IV
07/20/26 (B)(C)

      30,796,000        4,003,480  

Benefit Street Partners CLO IX
07/20/25 (B)(C)

      22,625,000        7,918,750  

Benefit Street Partners CLO V
10/20/26 (B)(C)

      19,200,000        96,000  

Benefit Street Partners CLO VI, Ser 2015-VIA, Cl SUB
10/18/29 (B)(C)

      36,203,000        5,607,845  

Benefit Street Partners CLO VII, Ser 2015-VIII, Cl SUB
07/18/27 (C)

      36,750,000        8,518,650  

Benefit Street Partners CLO VIII, Ser 2015-8A, Cl SUB
(B)(C)

      36,680,000        16,872,800  

Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB
01/15/29 (B)(C)

      35,364,000        5,990,662  

Benefit Street Partners CLO XII, Ser 2017-12A, Cl SUB
10/15/30 (B)(C)

      40,364,000        13,320,120  

Benefit Street Partners CLO XIV, Ser 2018-14A, Cl SUB
04/20/31 (B)(C)

      37,334,000        14,933,600  

Benefit Street Partners CLO XVIII, Ser 2019-18A, Cl SUB
10/15/32 (B)(C)

      28,603,500        21,158,009  

Brigade Debt Funding I, Ser 2018-1A, Cl SUB
04/25/36 (C)

      55,000,000        36,190,000  

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

March 31, 2020

 

     
Description    Par Value      Fair Value  

Brigade Debt Funding II, Ser 2018-2A, Cl SUB
10/25/35 (B)(C)

    $             20,000,000      $             12,100,000  

Cathedral Lake CLO, Ser 2014-1A, Cl SUB
10/15/29 (B)(C)

      18,200,000        4,368,000  

Cathedral Lake CLO, Ser 2017-1A, Cl CR
4.719%, VAR ICE LIBOR USD 3 Month+3.500% 10/15/29 (B)

      5,000,000        3,750,000  

Cathedral Lake CLO, Ser 2017-1A, Cl DR
8.469%, VAR ICE LIBOR USD 3 Month+7.250% 10/15/29 (B)

      14,464,000        9,112,320  

Cathedral Lake CLO III, Ser 2015-3A, Cl SUB
01/15/26 (B)(C)

      29,485,000        12,383,700  

Cathedral Lake V, Ser 2018-5A, Cl E
7.235%, VAR ICE LIBOR USD 3 Month+6.100% 10/21/30 (B)

      9,000,000        5,760,000  

Cathedral Lake V, Ser 2018-5A, Cl SUB
10/21/30 (B)(C)

      30,838,000        14,802,240  

Dryden 75 CLO, Ser 2019-75A, Cl SUB
07/15/30 (B)(C)

      24,090,000        13,731,300  

Elevation CLO, Ser 2014-2A, Cl SUB
10/15/29 (B)(C)

      14,400,000        2,880,000  

Elevation CLO, Ser 2017-2A, Cl ER
7.569%, VAR ICE LIBOR USD 3 Month+6.350% 10/15/29 (B)

      7,500,000        5,088,142  

Elevation CLO, Ser 2017-2A, Cl FR
9.859%, VAR ICE LIBOR USD 3 Month+8.640% 10/15/29 (B)

      8,550,000        4,859,604  

Elevation CLO, Ser 2017-8A, Cl F
9.654%, 10/25/30

      6,650,000        3,307,493  

Elevation CLO, Ser 2018-10A, Cl E
7.425%, VAR ICE LIBOR USD 3 Month+6.290% 10/20/31 (B)

      14,000,000        8,099,454  

Elevation CLO, Ser 2018-10A, Cl SUB
10/20/31 (B)(C)

      40,850,000        18,883,729  

Evans Grove CLO, Ser 2018-1A, Cl E
8.113%, VAR ICE LIBOR USD 3 Month+6.500% 05/28/28 (B)

      9,000,000        5,850,000  

Figueroa CLO, Ser 2013-2A, Cl SUB
06/20/27 (B)(C)

      12,967,000        986,789  

Garrison Funding, Ser 2019-1A, Cl A2L
3.885%, VAR ICE LIBOR USD 3 Month+2.750% 07/20/31 (B)

      2,667,000        2,229,105  

Great Lakes CLO, Ser 2014-1A, Cl ER
9.331%, 10/15/29

      10,378,000        5,925,838  

Great Lakes CLO, Ser 2014-1A, Cl FR
11.831%, 10/15/29

      6,063,000        2,655,594  

Great Lakes CLO, Ser 2014-1A, Cl SUB
10/15/29 (B)(C)

      16,940,000        4,116,420  

Great Lakes CLO, Ser 2015-1A, Cl ER
9.203%, 01/16/30

      17,689,000        9,817,395  

Great Lakes CLO, Ser 2015-1A, Cl FR
11.843%, 01/16/30

      6,517,000        2,782,759  

Great Lakes CLO, Ser 2015-1A, Cl SUB
01/16/30 (B)(C)

      24,580,042        4,269,553  

Halcyon Loan Advisors Funding, Ser 2018-2A, Cl D
8.702%, 01/22/31

      15,700,000        10,139,060  

Ivy Hill Middle Market Credit Fund, Ser 2013-7A, Cl SUB
10/20/29 (B)(C)

      19,066,500        2,368,059  

Ivy Hill Middle Market Credit Fund VII, Ser 2017-7A, Cl ER
8.865%, VAR ICE LIBOR USD 3 Month+7.730% 10/20/29 (B)

      9,000,000        5,148,000  

Ivy Hill Middle Market Credit Fund X, Ser 2018-10A, Cl DR
8.415%, VAR ICE LIBOR USD 3 Month+7.280% 07/18/30 (B)

      21,000,000        12,922,980  

Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl D
8.889%, 04/18/30

      15,555,000        10,110,750  

Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl SUB
04/18/30 (B)(C)

      1,667,000        666,800  

Lockwood Grove CLO, Ser 2014-1A, Cl ERR
7.644%, 01/25/30

      17,100,000        10,260,000  

Lockwood Grove CLO, Ser 2014-1A, Cl SUB
01/25/30 (B)(C)

      25,988,000        10,135,320  

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

March 31, 2020

 

     
Description    Par Value      Fair Value

Marathon CLO, Ser 2019-2a, Cl BA
5.203%, 01/20/33

    $             1,000,000      $             814,870  

Marathon CLO, Ser 2019-2A, Cl C1A
6.773%, VAR ICE LIBOR USD 3 Month+4.870% 01/20/33 (B)

      1,000,000        775,000  

Marathon CLO, Ser 2019-2A, Cl C2
7.873%, 01/20/33

      1,000,000        735,000  

MCF CLO VIII, Ser 2018-1A, Cl SUB
07/18/30 (B)(C)

      27,710,000        17,579,501  

Monroe Capital MML CLO, Ser 2018-1A, Cl ER
9.052%, VAR ICE LIBOR USD 3 Month+7.250% 07/22/28 (B)

      15,000,000        10,516,500  

Mountain View CLO, Ser 2017-1A, Cl DR
5.461%, VAR ICE LIBOR USD 3 Month+4.150% 10/12/30 (B)

      2,000,000        1,560,000  

Mountain View CLO, Ser 2017-1A, Cl ER
9.011%, VAR ICE LIBOR USD 3 Month+7.700% 10/12/30 (B)

      10,000,000        4,000,000  

Neuberger Berman CLO XV, Ser 2013-15A, Cl SUB
10/15/29 (B)

      19,868,600        3,973,720  

Neuberger Berman CLO XV, Ser 2017-15A, Cl FR
9.699%, VAR ICE LIBOR USD 3 Month+8.480% 10/15/29 (B)

      5,100,000        2,551,530  

Neuberger Berman CLO XVII, Ser 2020-17A, Cl ER2
8.298%, VAR ICE LIBOR USD 3 Month+7.200% 04/22/29 (B)

      6,200,000        3,839,040  

Neuberger Berman CLO XVI-S, Ser 2018-16SA, Cl SUB
01/15/28 (B)(C)

      17,822,117        4,455,529  

Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUB
10/17/30 (B)(C)

      26,625,000        10,117,500  

Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUBF
0.100%, 10/17/30 (B)

      818,231        122,735  

Neuberger Berman Loan Advisers CLO 24, Ser 2017-24A, Cl INC
04/19/30 (B)(C)

      15,000,000        6,000,000  

Neuberger Berman Loan Advisers CLO 25, Ser 2017-25A, Cl INC
10/18/29 (B)(C)

      16,000,000        4,960,000  

Neuberger Berman Loan Advisers CLO 26, Ser 2017-26A, Cl INC
10/18/30 (B)(C)

      13,600,000        5,440,000  

Neuberger Berman Loan Advisers CLO 27, Ser 2018-27A, Cl INC
01/15/30 (B)(C)

      12,000,000        6,120,000  

Neuberger Berman Loan Advisers CLO 27, Ser 2018-27A, Cl SUBN
0.072%, 01/15/30 (B)

      295,867        103,553  

Neuberger Berman Loan Advisers CLO 29, Ser 2018-29A, Cl 1ISR
10/19/31 (B)(C)

      92,000        73,600  

Neuberger Berman Loan Advisers CLO 29, Ser 2018-29A, Cl 2ISR
10/19/31 (B)(C)

      331,457        265,166  

Neuberger Berman Loan Advisers CLO 29, Ser 2018-29A, Cl INC
10/19/31 (B)(C)

      18,000,000        7,200,000  

Neuberger Berman Loan Advisers CLO 29, Ser 2018-29A, Cl SPRI
0.110%, 10/19/31 (B)

      800,000        560,000  

Neuberger Berman Loan Advisers CLO 30, Ser 2019-30A, Cl INC
01/20/31 (B)(C)

      4,050,000        1,884,465  

Neuberger Berman Loan Advisers CLO 32, Ser 2019-32A, Cl INC
01/19/32 (B)(C)

      18,300,000        10,980,000  

Neuberger Berman Loan Advisers CLO 32, Ser 2019-32A, Cl SINC
0.051%, 01/19/32 (B)

      1,325,406        1,192,865  

Neuberger Berman Loan Advisers CLO 36, Ser 2020-36A, Cl INC
04/20/33 (B)(C)

      8,625,000        6,468,750  

Neuberger Berman Loan Advisers CLO 36, Ser 2020-36A, Cl SPIN
04/20/33 (B)(C)

      111,146        100,031  

NewStar Berkeley Fund CLO, Ser 2016-1A, Cl E
9.544%, VAR ICE LIBOR USD 3 Month+7.750% 10/25/28 (B)

      23,142,000        11,594,142  

NewStar Berkeley Fund CLO, Ser 2016-1A, Cl SUB
10/25/28 (B)(C)

      32,718,000        8,179,500  

NewStar Berkeley Fund CLO, Ser 2019-1A, Cl DR
6.544%, VAR ICE LIBOR USD 3 Month+4.750% 10/25/28 (B)

      5,269,000        4,578,761  

NewStar Clarendon Fund CLO, Ser 2015-1A, Cl E
7.844%, VAR ICE LIBOR USD 3 Month+6.050% 01/25/27 (B)

      23,726,000        14,971,106  

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

March 31, 2020

 

     
Description    Par Value      Fair Value

NewStar Exeter Fund CLO, Ser 2015-1RA, Cl E
9.019%, VAR ICE LIBOR USD 3 Month+7.200% 01/20/27 (B)

    $             9,000,000      $             6,300,000  

NewStar Fairfield Fund CLO, Ser 2015-2A, Cl SUB
04/20/30 (B)(C)

      50,029,000        18,771,381  

NewStar Fairfield Fund CLO, Ser 2018-2A, Cl CN
4.715%, VAR ICE LIBOR USD 3 Month+3.580% 04/20/30 (B)

      5,300,000        3,095,200  

NewStar Fairfield Fund CLO, Ser 2018-2A, Cl DN
8.515%, VAR ICE LIBOR USD 3 Month+7.380% 04/20/30 (B)

      12,600,000        6,350,400  

OCP CLO, Ser 2017-13A, Cl SUB
07/15/30 (B)(C)

      11,500,000        4,973,750  

OCP CLO, Ser 2017-14A, Cl SUB
11/20/30 (B)(C)

      16,333,000        6,533,200  

OCP CLO, Ser 2017-6A, Cl ER
9.195%, VAR ICE LIBOR USD 3 Month+8.060% 10/17/30 (B)

      10,800,000        5,201,280  

OCP CLO, Ser 2019-16A, Cl SUB
01/20/32 (B)(C)

      9,000,000        3,125,160  

OCP CLO, Ser 2019-17A, Cl SUB
07/20/32 (B)(C)

      15,000,000        6,080,400  

Pulsar Funding I, Ser 2019-1A, Cl B
4.635%, VAR ICE LIBOR USD 3 Month+3.500% 01/20/33 (B)

      2,000,000        1,560,000  

Shackleton CLO, Ser 2018-6RA, Cl F
9.505%, VAR ICE LIBOR USD 3 Month+8.370% 07/17/28 (B)

      6,000,000        2,944,200  

Shackleton CLO, Ser 2018-6RA, Cl SU
07/17/28 (C)

      19,200,000        3,072,000  

Shackleton CLO, Ser 2019-14A, Cl SUB
07/20/30 (B)(C)

      15,750,000        7,717,500  

Shackleton CLO, Ser 2019-XV, Cl SUB
01/15/30 (C)

      10,000,000        5,000,000  

TCW CLO, Ser 2017-1A, Cl SUB
07/29/29 (B)(C)

      26,999,000        15,929,410  

TCW CLO, Ser 2018-1A, Cl SUB
04/25/31 (B)(C)

      29,703,000        12,406,943  

TCW CLO, Ser 2019-2A, Cl E
8.535%, VAR ICE LIBOR USD 3 Month+7.400% 10/20/32 (B)

      4,000,000        2,360,000  

TCW CLO, Ser 2019-2A, Cl SUB
10/20/32 (B)(C)

      28,463,000        19,354,840  

TCW CLO, Ser 2017-1A, Cl DR
4.730%, VAR ICE LIBOR USD 3 Month+3.150% 07/29/29 (B)

      6,000,000        4,260,000  

TCW CLO, Ser 2017-1A, Cl ER
8.330%, VAR ICE LIBOR USD 3 Month+6.750% 07/29/29 (B)

      6,500,000        4,030,000  

Telos CLO, Ser 2018-5A, Cl DR
4.435%, VAR ICE LIBOR USD 3 Month+3.300% 04/17/28 (B)

      18,758,000        12,755,440  

Telos CLO, Ser 2018-5A, Cl ER
7.695%, VAR ICE LIBOR USD 3 Month+6.560% 04/17/28 (B)

      24,500,000        15,435,000  

Trinitas CLO III, Ser 2018-3A, Cl DR
4.019%, VAR ICE LIBOR USD 3 Month+2.800% 07/15/27 (B)

      6,625,000        5,035,000  

Trinitas CLO X, Ser 2019-10A, Cl E
8.119%, VAR ICE LIBOR USD 3 Month+6.900% 04/15/32 (B)

      15,000,000        7,500,000  

Valhalla CLO, Ser 2004-1A, Cl EIN
08/01/20 (B)(C)

      6,500,000        975,000  

Venture 28 CLO, Ser 2017-28AA, Cl SUB
10/20/29 (B)(C)

      25,000,000        12,000,000  

Venture 35 CLO, Ser 2018-35A, Cl SUB
10/22/31 (B)(C)

      26,039,000        11,196,770  

Venture CDO, Ser 2016-25A, Cl SUB
04/20/29 (B)(C)

      11,620,000        5,345,200  

Venture XXVI CLO, Ser 2017-26A, Cl SUB
01/20/29 (B)(C)

      10,526,000        3,684,100  

Venture XXVIII CLO, Ser 2017-28A, Cl SUB
07/20/30 (B)(C)

      21,122,000        10,983,440  

Voya CLO, Ser 2015-3A, Cl ER
9.635%, VAR ICE LIBOR USD 3 Month+8.500% 10/20/31 (B)

      18,400,000        11,476,816  

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

March 31, 2020

 

     
Description    Par Value      Fair Value

Voya CLO, Ser 2015-3A, Cl SUB
10/20/31 (B)(C)

    $             56,700,000      $             25,016,040  

Voya CLO, Ser 2019-1A, Cl SUB
04/15/31 (B)(C)

      4,300,000        3,182,000  
     

 

 

 

        932,429,344  
     

 

 

 

IRELAND — 10.3%

      

Apex Credit CLO, Ser 2017-1A, Cl C
4.601%, VAR ICE LIBOR USD 3 Month+2.800% 04/24/29 (B)

      3,265,000        2,807,900  

Apex Credit CLO, Ser 2017-1A, Cl D
5.401%, VAR ICE LIBOR USD 3 Month+3.600% 04/24/29 (B)

      5,485,000        4,168,600  

Apex Credit CLO, Ser 2017-1A, Cl E
8.151%, VAR ICE LIBOR USD 3 Month+6.350% 04/24/29 (B)

      10,500,000        6,300,000  

Battalion CLO V, Ser 2014-5A, Cl SUB
04/17/26 (B)(C)

      33,031,000        644,105  

Battalion CLO VIII, Ser 2015-8A, Cl SUB
07/18/30 (B)(C)

      23,307,000        9,322,800  

Benefit Street Partners CLO II, Ser 2013-IIA, Cl SUB
07/15/24 (B)(C)

      23,450,000        5,628,000  

Cerberus Loan Funding XVIII, Ser 2017-1A, Cl E
7.969%, VAR ICE LIBOR USD 3 Month+6.750% 04/15/27 (B)

      18,000,000        17,305,200  

CVP Cascade CLO, Ser 2014-2A, Cl D
6.619%, VAR ICE LIBOR USD 3 Month+4.800% 07/18/26 (B)

      7,386,000        3,323,700  

CVP Cascade CLO, Ser 2014-2A, Cl E
7.619%, VAR ICE LIBOR USD 3 Month+5.800% 07/18/26 (B)

      8,000,000        2,800,000  

ICE Global Credit CLO, Ser 2013-1A, Cl INC
04/20/24 (B)(C)

      12,500,000        1,250  

Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl D
9.379%, VAR ICE LIBOR USD 3 Month+7.560% 07/20/29 (B)

      20,790,000        12,558,615  

Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl SUB
07/20/29 (B)(C)

      4,200,000        2,784,474  

JFIN Revolver CLO, Ser 2017-5A, Cl B
5.300%, 04/20/24 (B)

      19,000,000        18,905,000  

JFIN Revolver CLO, Ser 2017-5A, Cl C
7.150%, 04/20/24 (B)

      14,500,000        12,905,000  

Longfellow Place CLO, Ser 2017-1A, Cl DRR
5.719%, VAR ICE LIBOR USD 3 Month+4.500% 04/15/29 (B)

      836,000        651,244  

Longfellow Place CLO, Ser 2017-1A, Cl ERR
8.919%, VAR ICE LIBOR USD 3 Month+7.700% 04/15/29 (B)

      4,000,000        1,925,600  

Longfellow Place CLO, Ser 2017-1A, Cl FRR
9.719%, VAR ICE LIBOR USD 3 Month+8.500% 04/15/29 (B)

      7,362,500        2,429,625  

Neuberger Berman CLO XVII, Ser 2014-17A, Cl SUB
04/22/29 (B)(C)

      5,900,000        1,475,000  

OCP CLO, Ser 2017-4A, Cl ER
9.651%, VAR ICE LIBOR USD 3 Month+7.850% 04/24/29 (B)

      8,250,000        2,475,000  

Shackleton CLO, Ser 2014-6A, Cl SUB
07/17/26 (B)(C)

      23,850,000        2,385  

Zohar CDO, Ser 2007-3A, Cl A2
2.695%, VAR ICE LIBOR USD 3 Month+0.550% 04/15/19 (B)(D)

      90,000,000        15,750,000  

Zohar CDO, Ser 2007-3A, Cl A3
2.895%, VAR ICE LIBOR USD 3 Month+0.750% 04/15/19 (B)(D)

      56,000,000        2,800,000  
     

 

 

 

        126,963,498  
     

 

 

 

JERSEY — 1.3%

      

Saranac CLO I, Ser 2017-1A, Cl ER
9.494%, VAR ICE LIBOR USD 3 Month+7.700% 07/26/29 (B)

      18,000,000        11,520,000  

Saranac CLO VII, Ser 2017-2A, Cl ER
8.415%, VAR ICE LIBOR USD 3 Month+6.720% 11/20/29 (B)

      7,750,000        4,650,000  
     

 

 

 

        16,170,000  
     

 

 

 

UNITED STATES — 13.1%

      

Battalion CLO XVI, Ser 2019-16A, Cl SUB
12/19/32 (B)(C)

      28,838,000        14,419,000  

Benefit Street Partners Warehouse Note (C)

      11,250,000        10,687,500  

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

March 31, 2020

 

     
Description    Par Value/Shares      Fair Value

Callidus ABL CLO, Ser 2016-1A, Cl A
3.990%, 12/07/21 (B)

    $             5,428,927      $             3,094,488  

Callidus ABL CLO, Ser 2016-1A, Cl B
5.430%, 12/07/21 (B)

      11,500,000        6,411,250  

Callidus ABL CLO, Ser 2016-1A, Cl C
6.790%, 12/07/21 (B)

      7,000,000        3,885,000  

Callidus ABL CLO, Ser 2016-1A, Cl D
9.290%, 12/07/21 (B)

      5,250,000        2,782,500  

Ivy Hill IV Warehouse Note
07/03/21 (C)(D)

      85,000,000        68,000,000  

OCP CLO Warehouse Note (C)

      7,500,000        7,125,000  

TCW Warehouse Note (C)

      45,000,000        45,000,000  
     

 

 

 

        161,404,738  
     

 

 

 

Total Asset-Backed Securities (Cost $1,762,423,410)

         1,236,967,580  
     

 

 

 

COMMON STOCK — 1.1%

      

UNITED STATES — 1.1%

      

Apollo Investment

      851,279        5,746,133  

Ares Capital

      661,478        7,130,733  

BlackRock TCP Capital

      132,598        828,738  
     

 

 

 

Total Common Stock (Cost $24,252,467)

     13,705,604  
     

 

 

 

CASH EQUIVALENT — 0.0%

      

UNITED STATES (E) (F) — 0.0%

      

SEI Daily Income Trust Government Fund, Cl F, 0.290%

      71,231        71,231  
     

 

 

 

Total Cash Equivalent (Cost $71,231)

         71,231  
     

 

 

 

Total Investments — 101.6%

      

(Cost $1,786,747,108)

 

    $ 1,250,744,415  
     

 

 

 

Percentages based on Limited Partners’ Capital of $1,231,122,387.

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

ICE — Intercontinental Exchange

LIBOR — London Interbank Offered Rate

Ser — Series

USD — United States Dollar

VAR — Variable

 

(A)   Securities considered illiquid. The total value of such securities as of March 31, 2020 was $1,236,967,580 and represented 100.5% of Partners’ Capital.
(B)   Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended. At March 31, 2020, the market value of Rule 144A positions amounted to $963,102,371 78.2% of Limited Partners’ Capital.
(C)   Represents equity/residual investments for which estimated effective yields are applied.
(D)   Security fair valued using methods determined in good faith by the Fair Value Committee of the Fund. The total value of such securities as of March 31, 2020 was $86,550,000 and represented 7.0% of Limited Partners’ Capital.
(E)   Rate shown is the 7-day effective yield as of March 31, 2020.
(F)   Investment in affiliated security.

Various inputs are used in determining the fair value of investments. For more information on valuation inputs and other significant accounting policies, please refer to the Fund’s most recent annual or semi-annual financial statement.

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

March 31, 2020

 

The following is a summary of the inputs used as of March 31, 2020 in valuing the Fund’s investments carried at value:

 

Investments in Securities    Level 1      Level 2      Level 3(1)      Total  

Asset-Backed Securities

    $ —      $                          —      $                 1,236,967,580      $                 1,236,967,580  

Common Stock

      13,705,604        —        —        13,705,604  

Cash Equivalent

      71,231        —        —        71,231  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $                 13,776,835      $ —      $ 1,236,967,580      $ 1,250,744,415  
  

 

 

     

 

 

     

 

 

     

 

 

  
(1)   

Of the $1,236,967,580 in Level 3 securities as of March 31, 2020, $1,150,417,580 was valued via dealer quotes.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Asset-Backed Securities   

Beginning balance as of January 1, 2020

    $  1,788,457,348  

Accrued discounts/premiums

      385,080

Realized gain/(loss)

      4,152,918

Change in unrealized appreciation/(depreciation)

      (597,922,179 ) 

Proceeds from sales

      (115,829,112 ) 

Purchases

      157,723,525
  

 

 

 

Ending balance as of March 31, 2020

    $  1,236,967,580
  

 

 

 

Changes in unrealized gains/(losses) included in earnings
related to securities still held at reporting date

    $  (598,576,331)
  

 

 

 

For the period ended March 31, 2020, there were no transfers into or out of Level 3 assets and liabilities. Transfers, if any, are recognized at period end.

Amounts designated as “—” are $0 or have been rounded to $0.