DoubleLine Opportunistic Credit Fund
Schedule of Investments
December 31, 2021 (Unaudited)
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
Asset Backed Obligations - 2.5% |
| |||||||||||
1,615,256 | Castlelake Aircraft Securitization Trust, Series 2019-1A-C | 6.90 | % (a)(c) | 04/15/2039 | 1,271,416 | |||||||
1,934,259 | Horizon Aircraft Finance Ltd., Series 2018-1-C | 6.66 | % (a)(c) | 12/15/2038 | 1,530,129 | |||||||
1,833,500 | Jimmy Johns Funding LLC, Series 2017-1A-A2II | 4.85 | % (a) | 07/30/2047 | 1,939,826 | |||||||
20,000 | SoFi Professional Loan Program, Series 2018-A-R1 | 0.00 | % (a)(c)(m) | 02/25/2042 | 540,102 | |||||||
5,930 | SoFi Professional Loan Program, Series 2018-A-R2 | 0.00 | % (a)(c)(m) | 02/25/2042 | 160,140 | |||||||
1,000,000 | Upstart Pass-Through Trust, Series 2021-ST5-CERT | 0.00 | % (a)(c)(m) | 07/20/2027 | 1,022,962 | |||||||
935,999 | Willis Engine Structured Trust, Series 2021-A-C | 7.39 | % (a)(c) | 05/15/2046 | 923,757 | |||||||
|
|
|||||||||||
Total Asset Backed Obligations (Cost $7,922,578) |
7,388,332 | |||||||||||
|
|
|||||||||||
Bank Loans - 8.3% |
| |||||||||||
370,000 | AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | 5.50 | % | 04/20/2028 | 384,040 | |||||||
483,826 | Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) | 3.63 | % | 02/16/2027 | 479,229 | |||||||
239,400 | Aegion Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | 5.50 | % | 05/17/2028 | 240,796 | |||||||
500,000 | Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) | 8.25 | % | 06/16/2025 | 500,057 | |||||||
430,000 | American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.25%, 0.75% Floor) | 7.00 | % | 10/20/2028 | 433,532 | |||||||
730,000 | Applied Systems, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.50%, 0.75% Floor) | 6.25 | % | 09/19/2025 | 737,691 | |||||||
500,000 | Artera Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor) | 8.25 | % | 03/06/2026 | 495,000 | |||||||
230,000 | Ascend Learning LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.75%, 0.50% Floor) | 6.25 | % | 12/10/2029 | 231,437 | |||||||
775,000 | Astra Acquisition Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.50% Floor) | 5.75 | % | 10/25/2028 | 762,732 | |||||||
110,000 | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%) | 5.35 | % | 01/31/2028 | 110,481 | |||||||
450,000 | Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%) | 5.35 | % | 01/19/2029 | 448,735 | |||||||
360,799 | Athenahealth, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) | 4.35 | % | 02/11/2026 | 361,295 | |||||||
462,675 | Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor) | 6.00 | % | 05/08/2028 | 456,892 | |||||||
249,108 | Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) | 4.36 | % | 12/15/2027 | 250,173 | |||||||
825,000 | Aveanna Healthcare LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.50% Floor) | 7.50 | % | 12/10/2029 | 823,969 | |||||||
436,289 | Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) | 3.88 | % | 10/02/2025 | 434,108 | |||||||
273,709 | Brand Industrial Services, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) | 5.25 | % | 06/21/2024 | 268,387 | |||||||
245,294 | Brazos Delaware II LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 4.10 | % | 05/21/2025 | 239,442 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
608,475 | Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%, 1.00% Floor) | 5.75 | % | 07/14/2026 | 610,915 | |||||||
250,000 | CICOR International, Inc., Senior Secured First Lien | 5.00 | % (b) | 12/20/2028 | 248,751 | |||||||
235,800 | Connect U.S. Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) | 4.50 | % | 12/11/2026 | 236,115 | |||||||
280,000 | Curium BidCo SARL, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.75%, 0.75% Floor) | 8.50 | % | 10/27/2028 | 283,150 | |||||||
200,000 | Delta Topco, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 0.75% Floor) | 8.00 | % | 12/01/2028 | 201,937 | |||||||
280,000 | DG Investment Intermediate Holdings 2, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.75% Floor) | 7.50 | % | 03/19/2029 | 280,700 | |||||||
183,351 | DIRECTV Financing LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) | 5.75 | % | 08/02/2027 | 183,757 | |||||||
63,620 | Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) | 3.72 | % | 04/06/2026 | 62,075 | |||||||
34,204 | Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%) | 3.72 | % | 04/06/2026 | 33,373 | |||||||
272,274 | EG Group Limited, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 4.22 | % | 02/06/2025 | 271,613 | |||||||
305,000 | Eisner Advisory Group LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor) | 6.00 | % | 07/28/2028 | 305,762 | |||||||
622,307 | Endo Luxembourg Finance Company I SARL, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) | 5.75 | % | 03/27/2028 | 606,868 | |||||||
458,465 | EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 4.75 | % | 05/09/2025 | 458,465 | |||||||
370,000 | Flynn Canada Ltd., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 0.50% Floor) | 5.00 | % | 07/21/2028 | 354,275 | |||||||
89,678 | Foresight Energy LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 8.00%, 1.50% Floor) | 9.50 | % (c) | 06/30/2027 | 89,678 | |||||||
154,613 | Geon Performance Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | 5.50 | % | 08/18/2028 | 156,159 | |||||||
172,696 | Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 4.63 | % | 02/19/2026 | 173,164 | |||||||
95,000 | GIP II Blue Holding LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) | 5.50 | % | 09/29/2028 | 94,941 | |||||||
74,438 | Grab Holdings, Inc., Senior Secured First Lien Term Loan (2 Month LIBOR USD + 4.50%, 1.00% Floor) | 5.50 | % | 01/29/2026 | 74,841 | |||||||
Granite US Holdings Corporation, Senior Secured First Lien Term Loan | ||||||||||||
406,097 | (3 Month LIBOR USD + 4.00%) | 4.13 | % | 09/30/2026 | 406,605 | |||||||
48,812 | (3 Month LIBOR USD + 4.00%) | 4.22 | % | 09/30/2026 | 48,873 | |||||||
328,674 | Groupe Solmax, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 0.75% Floor) | 5.50 | % | 05/29/2028 | 329,085 | |||||||
533,112 | Gulf Finance LLC, Senior Secured First Lien | 7.75 | % (b) | 08/25/2026 | 499,960 | |||||||
378,000 | Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%, 0.75% Floor) | 7.00 | % | 07/07/2025 | 381,969 | |||||||
124,375 | ION Trading Technologies SARL, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%) | 4.97 | % | 03/31/2028 | 124,859 | |||||||
79,800 | Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 0.75% Floor) | 5.50 | % | 07/07/2028 | 79,127 | |||||||
463,200 | Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) | 5.50 | % | 05/26/2025 | 460,305 | |||||||
505,000 | Kenan Advantage Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%, 0.75% Floor) | 8.00 | % | 09/01/2027 | 504,369 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
80,922 | Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%) | 1.09 | % | 06/30/2025 | 36,550 | |||||||
6,257 | Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) | 3.09 | % | 06/30/2024 | 3,723 | |||||||
214,463 | Lereta LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.75% Floor) | 6.00 | % | 07/27/2028 | 214,642 | |||||||
235,000 | MedAssets Software Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan | 7.25 | % (b) | 12/17/2029 | 234,926 | |||||||
202,950 | Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) | 4.75 | % | 10/01/2027 | 203,736 | |||||||
104,965 | Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor) | 6.25 | % | 06/21/2027 | 110,975 | |||||||
427,900 | Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) | 4.84 | % | 03/27/2026 | 426,295 | |||||||
205,000 | Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%, 0.50% Floor) | 7.00 | % | 10/15/2029 | 206,691 | |||||||
157,508 | MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 4.60 | % | 11/28/2025 | 152,604 | |||||||
155,000 | MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.75%) | 8.85 | % | 11/30/2026 | 142,116 | |||||||
110,000 | NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%) | 7.10 | % | 10/19/2026 | 108,130 | |||||||
70,977 | New Constellis Borrower LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 11.00%, 1.00% Floor) (1 Month LIBOR USD + 11.00% + 1.00% PIK) | 12.00 | % | 03/27/2025 | 45,780 | |||||||
230,000 | OLA Netherlands B.V., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.25%, 0.75% Floor) | 7.00 | % | 12/03/2026 | 232,300 | |||||||
119,400 | Oravel Stays Singapore PTE Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor) | 9.00 | % | 06/23/2026 | 124,922 | |||||||
720,000 | Pearl Intermediate Parent LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%) | 6.35 | % | 02/13/2026 | 724,054 | |||||||
58,968 | Polar US Borrower LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) | 4.87 | % | 10/15/2025 | 59,079 | |||||||
89,325 | Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor) | 4.75 | % | 12/14/2027 | 89,605 | |||||||
251,331 | Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) | 4.85 | % | 03/11/2026 | 243,652 | |||||||
310,000 | Pretium PKG Holdings, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.50% Floor) | 7.25 | % | 09/21/2029 | 309,806 | |||||||
Radiology Partners, Inc., Senior Secured First Lien Term Loan | ||||||||||||
269,200 | (1 Month LIBOR USD + 4.25%) | 4.35 | % | 07/09/2025 | 265,799 | |||||||
230,800 | (1 Month LIBOR USD + 4.25%) | 4.36 | % | 07/09/2025 | 227,883 | |||||||
106,147 | Renaissance Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) | 3.35 | % | 05/30/2025 | 105,284 | |||||||
24,880 | Rentpath, Inc., Senior Secured First Lien Term Loan (Prime Rate + 3.75%) | 7.00 | % | 04/20/2022 | 6,344 | |||||||
75,000 | Restaurant Technologies, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%) | 6.59 | % | 10/01/2026 | 74,875 | |||||||
227,525 | Riverbed Technology, Inc., Senior Secured First Lien Term Loan (2.00% PIK) | 7.00 | % (b) | 12/07/2026 | 223,069 | |||||||
77,309 | Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) | 5.50 | % | 11/01/2024 | 75,376 | |||||||
90,000 | Skillsoft Finance II, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) | 5.50 | % | 07/14/2028 | 90,525 | |||||||
190,000 | Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 6.85 | % | 06/26/2026 | 190,475 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
125,000 | Southern Veterinary Partners LLC, Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.75%, 1.00% Floor) | 8.75 | % | 09/22/2028 | 125,156 | |||||||
535,000 | The Edelman Financial Engines Centre LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 6.85 | % | 07/20/2026 | 538,065 | |||||||
185,000 | Think & Learn Private Limited, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.50%, 0.75% Floor) | 6.25 | % | 11/24/2026 | 187,697 | |||||||
235,000 | TIBCO Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) | 7.35 | % | 03/03/2028 | 236,223 | |||||||
61,208 | Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 4.10 | % | 01/25/2024 | 56,152 | |||||||
501,634 | Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.50%, 1.00% Floor) | 2.50 | % | 02/28/2025 | 517,027 | |||||||
72,703 | Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%) | 5.22 | % | 05/29/2026 | 60,743 | |||||||
90,000 | UKG, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.50% Floor) | 5.75 | % | 05/03/2027 | 90,544 | |||||||
54,346 | United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) | 3.35 | % | 10/22/2025 | 54,429 | |||||||
500,000 | Vantage Specialty Chemicals, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%, 1.00% Floor) | 9.25 | % | 10/27/2025 | 488,020 | |||||||
291,036 | Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 4.10 | % | 08/27/2025 | 291,327 | |||||||
304,238 | Viad Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 0.50% Floor) | 5.50 | % | 07/31/2028 | 304,049 | |||||||
160,000 | VT Topco, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.75% Floor) | 7.50 | % | 07/31/2026 | 160,800 | |||||||
488,750 | WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.75%, 1.00% Floor) | 6.75 | % | 06/22/2026 | 477,448 | |||||||
335,000 | WeddingWire, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%) | 8.38 | % | 12/21/2026 | 331,650 | |||||||
50,000 | WWEX UNI TopCo Holdings LLC, Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.00%, 0.75% Floor) | 7.75 | % | 07/26/2029 | 50,219 | |||||||
156,816 | Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) | 3.60 | % | 09/30/2026 | 155,988 | |||||||
|
|
|||||||||||
Total Bank Loans (Cost $24,375,250) |
24,274,440 | |||||||||||
|
|
|||||||||||
Collateralized Loan Obligations - 32.0% |
| |||||||||||
1,000,000 | Allegany Park Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.78%, 6.78% Floor) | 6.91 | % (a) | 01/20/2033 | 1,000,961 | |||||||
1,000,000 | ARES Ltd., Series 2014-1A-SUB | 0.00 | % (a)(c)(d) | 04/17/2026 | 32,500 | |||||||
1,700,000 | Atlas Senior Loan Fund Ltd., Series 2019-14A-D (3 Month LIBOR USD + 3.90%, 3.90% Floor) | 4.03 | % (a) | 07/20/2032 | 1,665,970 | |||||||
1,000,000 | Atrium Corporation, Series 9A-DR (3 Month LIBOR USD + 3.60%) | 3.78 | % (a) | 05/28/2030 | 999,495 | |||||||
1,000,000 | Babson Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.95%) | 3.08 | % (a) | 10/20/2030 | 987,671 | |||||||
1,000,000 | Babson Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.60%) | 3.72 | % (a) | 07/18/2029 | 1,001,298 | |||||||
500,000 | Barings Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.90%) | 3.03 | % (a) | 07/20/2029 | 482,228 | |||||||
1,000,000 | Barings Ltd., Series 2018-3A-E (3 Month LIBOR USD + 5.75%) | 5.88 | % (a) | 07/20/2029 | 974,727 | |||||||
2,500,000 | Barings Ltd., Series 2019-1A-DR (3 Month LIBOR USD + 3.65%, 3.65% Floor) | 3.77 | % (a) | 04/15/2036 | 2,508,132 | |||||||
1,500,000 | Barings Ltd., Series 2019-1A-ER (3 Month LIBOR USD + 6.86%, 6.86% Floor) | 6.98 | % (a) | 04/15/2036 | 1,502,681 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
1,000,000 | Barings Ltd., Series 2019-2A-CR (3 Month LIBOR USD + 3.40%, 3.40% Floor) | 3.52 | % (a) | 04/15/2036 | 1,002,942 | |||||||
5,000,000 | Beechwood Park Ltd., Series 2019-1A-D1 (3 Month LIBOR USD + 4.10%, 4.10% Floor) | 4.22 | % (a) | 01/17/2033 | 5,016,628 | |||||||
2,000,000 | Beechwood Park Ltd., Series 2019-1A-E (3 Month LIBOR USD + 7.50%, 7.50% Floor) | 7.62 | % (a) | 01/17/2033 | 2,003,589 | |||||||
1,000,000 | BlueMountain Ltd., Series 2013-2A-DR (3 Month LIBOR USD + 2.90%) | 3.03 | % (a) | 10/22/2030 | 960,657 | |||||||
1,700,000 | Canyon Capital Ltd., Series 2014-1A-CR (3 Month LIBOR USD + 2.75%, 2.75% Floor) | 2.88 | % (a) | 01/30/2031 | 1,652,069 | |||||||
1,000,000 | Canyon Capital Ltd., Series 2017-1A-DR (3 Month LIBOR USD + 3.00%, 3.00% Floor) | 3.12 | % (a) | 07/15/2030 | 1,001,593 | |||||||
1,000,000 | Canyon Capital Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.25%) | 6.37 | % (a) | 07/15/2030 | 985,054 | |||||||
1,500,000 | Canyon Capital Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 5.87 | % (a) | 07/15/2031 | 1,432,734 | |||||||
1,550,000 | Canyon Capital Ltd., Series 2019-1A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor) | 3.22 | % (a) | 04/15/2032 | 1,548,153 | |||||||
1,000,000 | Canyon Capital Ltd., Series 2019-1A-ER (3 Month LIBOR USD + 7.15%, 7.15% Floor) | 7.27 | % (a) | 04/15/2032 | 993,986 | |||||||
1,500,000 | Carlyle Global Market Strategies Ltd., Series 2015-5A-DR (3 Month LIBOR USD + 6.70%, 6.70% Floor) | 6.83 | % (a) | 01/20/2032 | 1,427,479 | |||||||
1,000,000 | Carlyle US Ltd., Series 2021-1A-D (3 Month LIBOR USD + 6.00%, 6.00% Floor) | 6.12 | % (a) | 04/15/2034 | 975,057 | |||||||
2,500,000 | Dryden Senior Loan Fund, Series 2014-33A-ER2 (3 Month LIBOR USD + 6.97%, 6.97% Floor) | 7.09 | % (a) | 04/15/2029 | 2,512,832 | |||||||
1,500,000 | Dryden Senior Loan Fund, Series 2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor) | 5.27 | % (a) | 01/15/2031 | 1,432,703 | |||||||
1,200,000 | Dryden Senior Loan Fund, Series 2015-38A-ER (3 Month LIBOR USD + 5.60%, 5.60% Floor) | 5.72 | % (a) | 07/15/2030 | 1,148,029 | |||||||
2,000,000 | Dryden Senior Loan Fund, Series 2015-40A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 5.91 | % (a) | 08/15/2031 | 1,960,153 | |||||||
1,750,000 | Dryden Senior Loan Fund, Series 2016-42A-ER (3 Month LIBOR USD + 5.55%) | 5.67 | % (a) | 07/15/2030 | 1,678,660 | |||||||
500,000 | Dryden Senior Loan Fund, Series 2017-50A-D (3 Month LIBOR USD + 3.25%, 3.25% Floor) | 3.37 | % (a) | 07/15/2030 | 501,330 | |||||||
2,000,000 | Gilbert Park Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.40%) | 6.52 | % (a) | 10/15/2030 | 2,001,692 | |||||||
500,000 | GoldenTree Loan Management Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.85%) | 2.98 | % (a) | 04/20/2030 | 490,733 | |||||||
1,000,000 | Greenwood Park Ltd., Series 2018-1A-E (3 Month LIBOR USD + 4.95%) | 5.07 | % (a) | 04/15/2031 | 959,877 | |||||||
500,000 | Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D (3 Month LIBOR USD + 3.65%) | 3.78 | % (a) | 10/22/2025 | 465,330 | |||||||
1,000,000 | Highbridge Loan Management Ltd., Series 2013-2A-CR (3 Month LIBOR USD + 2.90%) | 3.03 | % (a) | 10/20/2029 | 959,569 | |||||||
1,000,000 | HPS Loan Management Ltd., Series 11A-17-E (3 Month LIBOR USD + 6.10%) | 6.24 | % (a) | 05/06/2030 | 929,461 | |||||||
1,000,000 | KVK Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.00%) | 3.16 | % (a) | 05/20/2029 | 1,000,447 | |||||||
2,500,000 | LCM Ltd., Series 26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor) | 5.43 | % (a) | 01/20/2031 | 2,300,044 | |||||||
850,000 | Madison Park Funding Ltd., Series 2014-14A-ER (3 Month LIBOR USD + 5.80%, 5.80% Floor) | 5.93 | % (a) | 10/22/2030 | 823,408 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
1,500,000 | Madison Park Funding Ltd., Series 2016-22A-ER (3 Month LIBOR USD + 6.70%, 6.70% Floor) | 6.82 | % (a) | 01/15/2033 | 1,479,781 | |||||||
1,000,000 | Madison Park Funding Ltd., Series 2019-34A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor) | 6.77 | % (a) | 04/25/2032 | 997,555 | |||||||
1,500,000 | Magnetite Ltd., Series 2019-24A-D (3 Month LIBOR USD + 3.80%, 3.80% Floor) | 3.92 | % (a) | 01/15/2033 | 1,502,560 | |||||||
1,000,000 | Magnetite Ltd., Series 2019-24A-E (3 Month LIBOR USD + 6.95%, 6.95% Floor) | 7.07 | % (a) | 01/15/2033 | 1,001,790 | |||||||
1,000,000 | Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) | 6.37 | % (a) | 04/15/2034 | 985,047 | |||||||
1,000,000 | Neuberger Berman Loan Advisers Ltd., Series 2017-25A-DR (3 Month LIBOR USD + 2.85%, 2.85% Floor) | 2.97 | % (a) | 10/18/2029 | 997,132 | |||||||
2,000,000 | Neuberger Berman Loan Advisers Ltd., Series 2019-32A-DR (3 Month LIBOR USD + 2.70%, 2.70% Floor) | 2.82 | % (a) | 01/20/2032 | 1,989,609 | |||||||
2,500,000 | Octagon Investment Partners Ltd., Series 2014-1A-CR3 (3 Month LIBOR USD + 2.75%, 2.75% Floor) | 2.91 | % (a) | 02/14/2031 | 2,473,440 | |||||||
1,000,000 | Octagon Investment Partners Ltd., Series 2014-1A-CRR (3 Month LIBOR USD + 1.90%, 1.90% Floor) | 2.03 | % (a) | 01/22/2030 | 996,311 | |||||||
4,000,000 | Octagon Investment Partners Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 7.00%, 7.00% Floor) | 7.16 | % (a) | 02/14/2031 | 3,984,782 | |||||||
1,000,000 | Octagon Investment Partners Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 2.85%, 2.85% Floor) | 2.97 | % (a) | 07/15/2030 | 982,050 | |||||||
2,000,000 | Octagon Investment Partners Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 7.25%) | 7.37 | % (a) | 01/24/2033 | 1,994,107 | |||||||
1,000,000 | Octagon Investment Partners Ltd., Series 2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor) | 8.21 | % (a) | 07/15/2030 | 935,245 | |||||||
2,000,000 | Octagon Investment Partners Ltd., Series 2017-1A-SUB | 0.00 | % (a)(c)(d)(m) | 03/17/2030 | 1,283,253 | |||||||
1,500,000 | Octagon Investment Partners Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.20%, 5.20% Floor) | 5.33 | % (a) | 01/20/2031 | 1,413,413 | |||||||
900,000 | Octagon Investment Partners Ltd., Series 2018-3A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 5.88 | % (a) | 10/20/2030 | 884,019 | |||||||
1,000,000 | Octagon Investment Partners Ltd., Series 2019-1A-DR (3 Month LIBOR USD + 3.25%, 3.25% Floor) | 3.37 | % (a) | 10/15/2034 | 991,483 | |||||||
500,000 | Octagon Investment Partners Ltd., Series 2019-4A-E (3 Month LIBOR USD + 6.80%, 6.80% Floor) | 6.95 | % (a) | 05/12/2031 | 495,015 | |||||||
500,000 | OHA Credit Funding Ltd., Series 2021-9A-D (3 Month LIBOR USD + 2.95%, 2.95% Floor) | 3.13 | % (a) | 07/19/2035 | 496,324 | |||||||
500,000 | RR Ltd., Series 2017-2A-DR (3 Month LIBOR USD + 5.80%, 5.80% Floor) | 5.92 | % (a) | 04/15/2036 | 490,795 | |||||||
1,000,000 | RR Ltd., Series 2019-6A-DR (3 Month LIBOR USD + 5.85%, 5.85% Floor) | 5.97 | % (a) | 04/15/2036 | 970,888 | |||||||
1,000,000 | RRAM Ltd., Series 2018-4A-C (3 Month LIBOR USD + 2.95%) | 3.07 | % (a) | 04/15/2030 | 1,000,277 | |||||||
2,000,000 | Sound Point Ltd., Series 2014-3RA-C (3 Month LIBOR USD + 2.25%, 2.25% Floor) | 2.37 | % (a) | 10/23/2031 | 1,989,848 | |||||||
2,000,000 | Sound Point Ltd., Series 2019-2A-DR (3 Month LIBOR USD + 3.30%, 3.30% Floor) | 3.42 | % (a) | 07/15/2034 | 1,988,605 | |||||||
2,000,000 | Taconic Park Ltd., Series 2016-1A-CR (3 Month LIBOR USD + 3.00%, 3.00% Floor) | 3.13 | % (a) | 01/20/2029 | 2,002,571 | |||||||
2,250,000 | Trimaran CAVU LLC, Series 2019-1A-D (3 Month LIBOR USD + 4.15%, 4.15% Floor) | 4.28 | % (a) | 07/20/2032 | 2,239,071 | |||||||
500,000 | Trimaran CAVU LLC, Series 2019-2A-C (3 Month LIBOR USD + 4.72%, 4.72% Floor) | 4.84 | % (a) | 11/26/2032 | 502,597 | |||||||
500,000 | Venture Ltd., Series 2017-30A-C (3 Month LIBOR USD + 1.95%) | 2.07 | % (a) | 01/15/2031 | 496,884 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
1,000,000 | Voya Ltd., Series 2020-1A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor) | 3.22 | % (a) | 07/16/2034 | 993,860 | |||||||
2,500,000 | Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 5.87 | % (a) | 01/15/2031 | 2,343,678 | |||||||
1,000,000 | Wind River Ltd., Series 2014-3A-DR2 (3 Month LIBOR USD + 3.40%, 3.40% Floor) | 3.53 | % (a) | 10/22/2031 | 987,695 | |||||||
1,000,000 | Wind River Ltd., Series 2017-3A-DR (3 Month LIBOR USD + 3.85%, 3.85% Floor) | 3.97 | % (a) | 04/15/2035 | 1,006,984 | |||||||
1,040,000 | Wind River Ltd., Series 2017-4A-D (3 Month LIBOR USD + 2.65%) | 2.81 | % (a) | 11/20/2030 | 1,019,422 | |||||||
1,000,000 | Wind River Ltd., Series 2021-3A-D (3 Month LIBOR USD + 3.35%, 3.35% Floor) | 3.46 | % (a) | 07/20/2033 | 991,445 | |||||||
|
|
|||||||||||
Total Collateralized Loan Obligations (Cost $95,747,734) |
94,227,408 | |||||||||||
|
|
|||||||||||
Foreign Corporate Bonds - 4.1% |
| |||||||||||
200,000 | ABM Investama Tbk PT | 9.50 | % (a) | 08/05/2026 | 191,039 | |||||||
200,000 | AES Gener S.A. (5 Year Swap Rate USD + 4.64%) | 7.13 | % | 03/26/2079 | 207,281 | |||||||
800,000 | Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%) | 7.50 | % | 04/16/2031 | 797,124 | |||||||
200,000 | Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%) | 6.63 | % (a)(e) | 01/24/2032 | 199,400 | |||||||
250,000 | Braskem Idesa S.A.P.I. | 6.99 | % (a) | 02/20/2032 | 251,350 | |||||||
350,000 | Camposol S.A. | 6.00 | % | 02/03/2027 | 363,515 | |||||||
300,000 | Cia General de Combustibles S.A. | 5.50 | % (a) | 07/23/2026 | 293,109 | |||||||
250,000 | Ecopetrol S.A. | 5.88 | % | 05/28/2045 | 239,491 | |||||||
50,000 | Ecopetrol S.A. | 5.88 | % | 11/02/2051 | 46,924 | |||||||
100,000 | Eldorado Gold Corporation | 6.25 | % (a) | 09/01/2029 | 101,830 | |||||||
158,480 | Empresa Electrica Cochrane SpA | 5.50 | % | 05/14/2027 | 158,838 | |||||||
250,000 | Empresas Publicas de Medellin ESP | 4.38 | % | 02/15/2031 | 235,415 | |||||||
800,000 | Frigorifico Concepcion S.A. | 7.70 | % (a) | 07/21/2028 | 807,160 | |||||||
200,000 | Gran Tierra Energy, Inc. | 7.75 | % | 05/23/2027 | 181,950 | |||||||
200,000 | Grupo Axo SAPI de C.V. | 5.75 | % (a) | 06/08/2026 | 200,956 | |||||||
1,245,400 | Hunt Oil Company of Peru LLC Sucursal Del Peru | 6.38 | % | 06/01/2028 | 1,260,968 | |||||||
800,000 | Indika Energy Capital IV Pte Ltd. | 8.25 | % | 10/22/2025 | 833,000 | |||||||
200,000 | Instituto Costarricense de Electricidad | 6.75 | % (a) | 10/07/2031 | 202,818 | |||||||
200,000 | Jababeka International B.V. | 6.50 | % | 10/05/2023 | 187,828 | |||||||
800,000 | Kosmos Energy Ltd. | 7.13 | % | 04/04/2026 | 777,968 | |||||||
200,000 | Medco Laurel Tree Pte Ltd. | 6.95 | % (a) | 11/12/2028 | 198,382 | |||||||
300,000 | Metinvest B.V. | 7.75 | % | 10/17/2029 | 297,471 | |||||||
500,000 | NGD Holdings B.V. | 6.75 | % | 12/31/2026 | 458,750 | |||||||
800,000 | Petrobras Global Finance B.V. | 5.50 | % | 06/10/2051 | 743,580 | |||||||
800,000 | Petroleos Mexicanos | 6.38 | % | 01/23/2045 | 696,228 | |||||||
800,000 | RKPF Overseas Ltd. (5 Year CMT Rate + 6.00%) | 7.75 | % (e) | 11/18/2024 | 683,524 | |||||||
800,000 | SierraCol Energy Andina LLC | 6.00 | % (a) | 06/15/2028 | 753,124 | |||||||
50,000 | Telecom Argentina S.A. | 8.00 | % | 07/18/2026 | 47,715 | |||||||
600,000 | Theta Capital Pte Ltd. | 6.75 | % | 10/31/2026 | 604,931 | |||||||
|
|
|||||||||||
Total Foreign Corporate Bonds (Cost $12,280,635) |
12,021,669 | |||||||||||
|
|
|||||||||||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.5% |
| |||||||||||
400,000 | Brazilian Government International Bond | 4.75 | % | 01/14/2050 | 356,404 | |||||||
800,000 | Colombia Government International Bond | 5.00 | % | 06/15/2045 | 725,000 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
250,000 | Dominican Republic International Bond | 5.30 | % | 01/21/2041 | 247,500 | |||||||
200,000 | Ukraine Government International Bond | 7.25 | % | 03/15/2033 | 177,202 | |||||||
|
|
|||||||||||
Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $1,640,350) |
1,506,106 | |||||||||||
|
|
|||||||||||
Non-Agency Commercial Mortgage Backed Obligations - 23.9% |
| |||||||||||
2,500,000 | Alen Mortgage Trust, Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor) | 5.11 | % (a) | 04/15/2034 | 2,487,986 | |||||||
2,000,000 | AREIT Trust, Series 2019-CRE3-D (Secured Overnight Financing Rate 30 Day Average + 2.76%, 2.65% Floor) | 2.81 | % (a) | 09/14/2036 | 1,988,148 | |||||||
5,843,520 | BANK, Series 2020-BN26-XF | 1.50 | % (a)(f) | 03/15/2063 | 591,724 | |||||||
1,000,000 | Beast Mortgage Trust, Series 2021-1818-G (1 Month LIBOR USD + 6.00%, 6.25% Floor) | 6.25 | % (a) | 03/15/2036 | 1,005,944 | |||||||
18,138,838 | Benchmark Mortgage Trust, Series 2018-B1-XA | 0.50 | % (d)(f) | 01/15/2051 | 446,112 | |||||||
1,398,000 | Benchmark Mortgage Trust, Series 2018-B4-D | 2.80 | % (a)(d) | 07/15/2051 | 1,274,906 | |||||||
1,012,000 | BF Mortgage Trust, Series 2019-NYT-F (1 Month LIBOR USD + 3.00%, 3.00% Floor) | 3.11 | % (a) | 12/15/2035 | 993,119 | |||||||
850,000 | BX Trust, Series 2017-APPL-F (1 Month LIBOR USD + 4.25%, 4.25% Floor) | 4.36 | % (a) | 07/15/2034 | 851,863 | |||||||
2,125,000 | BX Trust, Series 2017-SLCT-F (1 Month LIBOR USD + 4.25%, 4.25% Floor) | 4.36 | % (a) | 07/15/2034 | 2,137,153 | |||||||
4,200,000 | BX Trust, Series 2019-IMC-G (1 Month LIBOR USD + 3.60%, 3.60% Floor) | 3.71 | % (a) | 04/15/2034 | 4,145,399 | |||||||
1,000,000 | BX Trust, Series 2019-OC11-E | 4.08 | % (a)(d) | 12/09/2041 | 994,776 | |||||||
516,671 | Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor) | 2.96 | % (a) | 10/15/2035 | 500,322 | |||||||
17,245,926 | CD Commercial Mortgage Trust, Series 2017-CD6-XA | 0.92 | % (d)(f) | 11/13/2050 | 625,596 | |||||||
269,000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27-D | 4.42 | % (a)(d) | 02/10/2048 | 259,613 | |||||||
4,113,186 | Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA | 1.33 | % (d)(f) | 02/10/2048 | 141,649 | |||||||
182,000 | Citigroup Commercial Mortgage Trust, Series 2016-GC36-D | 2.85 | % (a) | 02/10/2049 | 130,575 | |||||||
168,000 | Citigroup Commercial Mortgage Trust, Series 2018-TBR-F (1 Month LIBOR USD + 3.65%, 3.65% Floor) | 3.76 | % (a) | 12/15/2036 | 166,863 | |||||||
27,964,359 | Commercial Mortgage Pass-Through Certificates, Series 2013-LC6-XA | 1.27 | % (d)(f) | 01/10/2046 | 199,579 | |||||||
26,400,000 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3-XC | 1.24 | % (a)(d)(f) | 06/10/2047 | 720,416 | |||||||
1,288,300 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F | 3.75 | % (a)(c) | 08/10/2047 | 377,797 | |||||||
2,313,062 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G | 3.75 | % (a)(c) | 08/10/2047 | 195,125 | |||||||
5,000 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V | 0.00 | % (a)(c)(d) | 08/10/2047 | 1 | |||||||
27,394,000 | Commercial Mortgage Pass-Through Certificates, Series 2015-CR23-XD | 1.05 | % (a)(d)(f) | 05/10/2048 | 909,385 | |||||||
5,297,000 | Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XD | 1.23 | % (a)(d)(f) | 10/10/2048 | 224,140 | |||||||
74,228,265 | Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-XA | 0.67 | % (d)(f) | 07/10/2048 | 1,481,203 | |||||||
885,000 | CSAIL Commercial Mortgage Trust, Series 2016-C5-C | 4.65 | % (d) | 11/15/2048 | 929,877 | |||||||
4,403,110 | CSAIL Commercial Mortgage Trust, Series 2016-C6-XA | 1.87 | % (d)(f) | 01/15/2049 | 295,334 | |||||||
1,000,000 | DOLP Trust, Series 2021-NYC-F | 3.70 | % (a)(d) | 05/10/2041 | 921,585 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
1,000,000 | DOLP Trust, Series 2021-NYC-G | 3.70 | % (a)(d) | 05/10/2041 | 858,643 | |||||||
600,529 | FREMF Mortgage Trust, Series 2015-KF07-B (1 Month LIBOR USD + 4.95%) | 5.04 | % (a) | 02/25/2025 | 603,354 | |||||||
111,652 | FREMF Mortgage Trust, Series 2016-KF22-B (1 Month LIBOR USD + 5.05%, 5.05% Floor) | 5.14 | % (a) | 07/25/2023 | 112,751 | |||||||
543,955 | FREMF Mortgage Trust, Series 2016-KF25-B (1 Month LIBOR USD + 5.00%, 5.00% Floor) | 5.09 | % (a) | 10/25/2023 | 544,976 | |||||||
2,205,764 | FREMF Mortgage Trust, Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor) | 5.89 | % (a) | 11/25/2028 | 2,228,335 | |||||||
1,491,267 | FREMF Mortgage Trust, Series 2019-KF71-C (1 Month LIBOR USD + 6.00%, 6.00% Floor) | 6.09 | % (a) | 10/25/2029 | 1,523,566 | |||||||
3,000,000 | Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor) | 3.24 | % (a) | 12/15/2036 | 2,824,093 | |||||||
1,000,000 | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (1 Month LIBOR USD + 5.00%, 5.00% Floor) | 5.11 | % (a) | 11/15/2036 | 1,003,043 | |||||||
1,000,000 | GS Mortgage Securities Corporation, Series 2015-GC28-D | 4.32 | % (a)(d) | 02/10/2048 | 994,997 | |||||||
79,479,182 | GS Mortgage Securities Corporation, Series 2018-GS9-XA | 0.43 | % (d)(f) | 03/10/2051 | 1,855,545 | |||||||
1,304,000 | GS Mortgage Securities Trust, Series 2014-GC26-D | 4.51 | % (a)(d) | 11/10/2047 | 899,035 | |||||||
1,334,197 | HPLY Trust, Series 2019-HIT-G (1 Month LIBOR USD + 3.90%, 3.90% Floor) | 4.01 | % (a) | 11/15/2036 | 1,304,583 | |||||||
1,153,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-G (1 Month LIBOR USD + 4.05%, 4.05% Floor) | 4.16 | % (a) | 07/15/2036 | 1,123,291 | |||||||
1,153,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-XG | 0.50 | % (a)(d)(f) | 07/15/2036 | 4,295 | |||||||
8,211,957 | JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA | 0.86 | % (d)(f) | 06/15/2045 | 19,651 | |||||||
66,905 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9-AMS | 5.34 | % | 05/15/2047 | 58,651 | |||||||
2,000,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3-D | 5.52 | % (a)(d) | 02/15/2046 | 1,616,425 | |||||||
500,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-F (1 Month LIBOR USD + 3.00%, 3.00% Floor) | 3.11 | % (a) | 07/15/2036 | 488,918 | |||||||
8,299,260 | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC | 0.95 | % (a)(d)(f) | 08/15/2046 | 137,759 | |||||||
3,488,650 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E | 4.00 | % (a)(c)(d) | 04/15/2047 | 2,941,472 | |||||||
1,938,200 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F | 3.75 | % (a)(c)(d) | 04/15/2047 | 1,178,823 | |||||||
5,298,968 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR | 3.75 | % (a)(c)(d) | 04/15/2047 | 645,998 | |||||||
925,000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C | 4.48 | % (d) | 09/15/2047 | 940,437 | |||||||
2,000,000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-D | 3.98 | % (a)(d) | 09/15/2047 | 1,985,446 | |||||||
3,840,909 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA | 0.96 | % (d)(f) | 01/15/2048 | 87,150 | |||||||
500,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D | 3.81 | % (a)(d) | 02/15/2048 | 446,537 | |||||||
180,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-C | 4.20 | % (d) | 05/15/2048 | 174,987 | |||||||
20,920,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XE | 0.30 | % (a)(d)(f) | 05/15/2048 | 232,890 | |||||||
675,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C | 4.65 | % (d) | 11/15/2048 | 554,379 | |||||||
16,358,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XD | 0.50 | % (a)(d)(f) | 11/15/2048 | 263,594 | |||||||
165,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C | 4.61 | % (d) | 12/15/2048 | 171,217 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
1,175,000 | JPMCC Commercial Mortgage Securities Trust, Series 2018-AON-F | 4.61 | % (a)(d) | 07/05/2031 | 1,167,127 | |||||||
4,113,537 | LSTAR Commercial Mortgage Trust, Series 2016-4-XA | 1.77 | % (a)(d)(f) | 03/10/2049 | 147,820 | |||||||
1,000,000 | LSTAR Commercial Mortgage Trust, Series 2017-5-C | 4.87 | % (a)(d) | 03/10/2050 | 1,039,596 | |||||||
1,000,000 | Med Trust, Series 2021-MDLN-G (1 Month LIBOR USD + 5.25%, 5.25% Floor) | 5.36 | % (a) | 11/15/2038 | 996,584 | |||||||
500,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C | 4.00 | % | 12/15/2047 | 515,950 | |||||||
804,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D | 3.24 | % (a)(d) | 12/15/2047 | 743,376 | |||||||
1,000,000 | Morgan Stanley Capital Trust, Series 2012-C4-C | 5.41 | % (a)(d) | 03/15/2045 | 996,691 | |||||||
1,191,000 | Morgan Stanley Capital Trust, Series 2017-ASHF-G (1 Month LIBOR USD + 6.90%, 6.90% Floor) | 7.01 | % (a) | 11/15/2034 | 1,048,140 | |||||||
999,538 | TTAN, Series 2021-MHC-G (1 Month LIBOR USD + 4.20%, 4.20% Floor) | 4.31 | % (a) | 03/15/2038 | 1,006,207 | |||||||
824,000 | UBS Commercial Mortgage Trust, Series 2013-C5-D | 4.08 | % (a)(d) | 03/10/2046 | 718,537 | |||||||
1,000,000 | UBS Commercial Mortgage Trust, Series 2018-C12-C | 4.96 | % (d) | 08/15/2051 | 1,051,691 | |||||||
1,420,000 | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-C | 4.08 | % (a)(d) | 03/10/2046 | 1,407,302 | |||||||
971,461 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C28-D | 5.72 | % (d) | 10/15/2048 | 964,418 | |||||||
467,000 | Wells Fargo Commercial Mortgage Trust, Series 2012-LC5-E | 4.76 | % (a)(c)(d) | 10/15/2045 | 471,860 | |||||||
23,293,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C28-XF | 1.09 | % (a)(d)(f) | 05/15/2048 | 759,575 | |||||||
747,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-D | 3.69 | % (d) | 12/15/2048 | 735,852 | |||||||
1,044,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C | 5.05 | % (d) | 06/15/2049 | 993,447 | |||||||
1,000,000 | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D | 3.25 | % (a) | 01/15/2060 | 926,848 | |||||||
53,347,697 | Wells Fargo Commercial Mortgage Trust, Series 2018-C43-XA | 0.66 | % (d)(f) | 03/15/2051 | 1,853,518 | |||||||
|
|
|||||||||||
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $80,859,620) |
70,365,570 | |||||||||||
|
|
|||||||||||
Non-Agency Residential Collateralized Mortgage Obligations - 13.2% |
| |||||||||||
1,344,591 | Adjustable Rate Mortgage Trust, Series 2006-1-2A1 | 3.46 | % (d) | 03/25/2036 | 928,828 | |||||||
9,816,686 | BCAP LLC Trust, Series 2007-AB1-A5 | 4.77 | % (k) | 03/25/2037 | 5,750,191 | |||||||
551,225 | BCAP LLC Trust, Series 2010-RR6-6A2 | 9.30 | % (a)(d) | 07/26/2037 | 374,109 | |||||||
1,307,361 | Chase Mortgage Finance Trust, Series 2007-S1-A7 | 6.00 | % | 02/25/2037 | 731,499 | |||||||
1,464,572 | Chase Mortgage Finance Trust, Series 2007-S3-1A5 | 6.00 | % | 05/25/2037 | 951,877 | |||||||
1,403,609 | CHL Mortgage Pass-Through Trust, Series 2007-4-1A35 (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap) | 6.60 | % (f)(g) | 05/25/2037 | 387,839 | |||||||
314,431 | Citigroup Mortgage Loan Trust, Inc., Series 2006-8-A4 (-3 x 1 Month LIBOR USD + 19.66%, 19.66% Cap) | 19.38 | % (a)(g) | 10/25/2035 | 383,034 | |||||||
768,551 | Countrywide Alternative Loan Trust, Series 2005-85CB-2A5 (1 Month LIBOR USD + 1.10%, 1.10% Floor, 7.00% Cap) | 1.20 | % | 02/25/2036 | 649,450 | |||||||
162,306 | Countrywide Alternative Loan Trust, Series 2005-85CB-2A6 (-4 x 1 Month LIBOR USD + 21.63%, 21.63% Cap) | 21.26 | % (g) | 02/25/2036 | 195,751 | |||||||
2,031,679 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-7A1 | 6.00 | % | 12/25/2035 | 1,459,399 | |||||||
3,161,051 | Credit Suisse Mortgage Capital Certificates, Series 2006-5-3A3 | 6.50 | % | 06/25/2036 | 986,769 | |||||||
465,051 | Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1 | 5.50 | % | 11/25/2036 | 441,885 | |||||||
201,247 | Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A14 | 6.00 | % | 11/25/2036 | 206,035 | |||||||
1,103,232 | IndyMac INDX Mortgage Loan Trust, Series 2005-AR23-6A1 | 2.81 | % (d) | 11/25/2035 | 1,084,441 | |||||||
64,169 | JP Morgan Alternative Loan Trust, Series 2006-S1-2A5 | 5.50 | % | 03/25/2029 | 58,514 | |||||||
1,203,104 | JP Morgan Resecuritization Trust, Series 2011-1-2A10 | 6.00 | % (a)(d) | 06/26/2037 | 1,109,227 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
271,497 | Lehman Mortgage Trust, Series 2007-10-1A1 | 6.00 | % | 01/25/2038 | 265,898 | |||||||
1,312,687 | Lehman Mortgage Trust, Series 2007-4-1A3 | 5.75 | % | 05/25/2037 | 949,355 | |||||||
5,800,000 | PNMAC GMSR Trust, Series 2018-FT1-A (1 Month LIBOR USD + 2.35%) | 2.44 | % (a) | 04/25/2023 | 5,795,331 | |||||||
849,153 | RBSGC Structured Trust, Series 2008-B-A1 | 6.00 | % (a) | 06/25/2037 | 839,663 | |||||||
711,784 | Residential Accredit Loans, Inc., Series 2005-QS14-3A1 | 6.00 | % | 09/25/2035 | 711,598 | |||||||
1,670,177 | Residential Accredit Loans, Inc., Series 2006-QS7-A3 | 6.00 | % | 06/25/2036 | 1,621,929 | |||||||
506,088 | Residential Accredit Loans, Inc., Series 2007-QS1-1A1 | 6.00 | % | 01/25/2037 | 493,555 | |||||||
805,607 | Residential Accredit Loans, Inc., Series 2007-QS6-A1 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap) | 0.43 | % | 04/25/2037 | 622,601 | |||||||
852,889 | Residential Accredit Loans, Inc., Series 2007-QS6-A102 | 5.75 | % | 04/25/2037 | 837,661 | |||||||
183,521 | Residential Accredit Loans, Inc., Series 2007-QS6-A2 (-8 x 1 Month LIBOR USD + 55.58%, 55.58% Cap) | 54.73 | % (g) | 04/25/2037 | 310,026 | |||||||
1,625,526 | Residential Asset Securitization Trust, Series 2006-A6-1A12 (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap) | 7.00 | % (f)(g) | 07/25/2036 | 433,233 | |||||||
1,607,242 | Residential Asset Securitization Trust, Series 2006-A6-1A9 | 6.00 | % | 07/25/2036 | 707,995 | |||||||
509,239 | Residential Funding Mortgage Securities Trust, Series 2007-S2-A4 | 6.00 | % | 02/25/2037 | 478,283 | |||||||
523,789 | Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-2A2 | 2.74 | % (d) | 02/25/2036 | 502,067 | |||||||
670,578 | Velocity Commercial Capital Loan Trust, Series 2018-1-M4 | 5.01 | % (a) | 04/25/2048 | 671,548 | |||||||
514,225 | Velocity Commercial Capital Loan Trust, Series 2018-1-M5 | 6.26 | % (a) | 04/25/2048 | 519,156 | |||||||
676,752 | Velocity Commercial Capital Loan Trust, Series 2018-1-M6 | 7.26 | % (a) | 04/25/2048 | 690,021 | |||||||
5,000,000 | VOLT LLC, Series 2021-NPL3-A2 | 4.95 | % (a)(j) | 02/27/2051 | 4,949,624 | |||||||
3,412,571 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A4 | 4.19 | % (k) | 10/25/2036 | 1,684,747 | |||||||
|
|
|||||||||||
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $45,208,590) |
38,783,139 | |||||||||||
|
|
|||||||||||
US Government and Agency Mortgage Backed Obligations - 23.4% |
| |||||||||||
3,000,000 | Federal Home Loan Mortgage Corporation, Series 2020-HQA2-B2 (1 Month LIBOR USD + 7.60%) | 7.70 | % (a) | 03/25/2050 | 3,159,166 | |||||||
34,187,337 | Federal Home Loan Mortgage Corporation, Series 2021-P009-X | 1.47 | % (d)(f) | 01/25/2031 | 2,449,813 | |||||||
408,244 | Federal Home Loan Mortgage Corporation, Series 3211-SI (-4 x 1 Month LIBOR USD + 27.67%, 27.67% Cap) | 27.20 | % (f)(g) | 09/15/2036 | 350,389 | |||||||
971,755 | Federal Home Loan Mortgage Corporation, Series 3236-ES (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap) | 6.59 | % (f)(g) | 11/15/2036 | 167,950 | |||||||
581,922 | Federal Home Loan Mortgage Corporation, Series 3256-S (-1 x 1 Month LIBOR USD + 6.69%, 6.69% Cap) | 6.58 | % (f)(g) | 12/15/2036 | 107,124 | |||||||
333,397 | Federal Home Loan Mortgage Corporation, Series 3292-SD (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 5.99 | % (f)(g) | 03/15/2037 | 47,128 | |||||||
3,740,771 | Federal Home Loan Mortgage Corporation, Series 3297-BI (-1 x 1 Month LIBOR USD + 6.76%, 6.76% Cap) | 6.65 | % (f)(g) | 04/15/2037 | 806,740 | |||||||
2,909,778 | Federal Home Loan Mortgage Corporation, Series 3311-BI (-1 x 1 Month LIBOR USD + 6.76%, 6.76% Cap) | 6.65 | % (f)(g) | 05/15/2037 | 546,305 | |||||||
2,681,657 | Federal Home Loan Mortgage Corporation, Series 3311-IA (-1 x 1 Month LIBOR USD + 6.41%, 6.41% Cap) | 6.30 | % (f)(g) | 05/15/2037 | 509,639 | |||||||
554,849 | Federal Home Loan Mortgage Corporation, Series 3314-SH (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap) | 6.29 | % (f)(g) | 11/15/2036 | 95,045 | |||||||
279,145 | Federal Home Loan Mortgage Corporation, Series 3330-KS (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) | 6.44 | % (f)(g) | 06/15/2037 | 47,572 | |||||||
61,711 | Federal Home Loan Mortgage Corporation, Series 3339-AI (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) | 6.44 | % (f)(g) | 07/15/2037 | 6,459 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
1,868,362 | Federal Home Loan Mortgage Corporation, Series 3339-TI (-1 x 1 Month LIBOR USD + 6.14%, 6.14% Cap) | 6.03 | % (f)(g) | 07/15/2037 | 320,514 | |||||||
834,316 | Federal Home Loan Mortgage Corporation, Series 3374-SD (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap) | 6.34 | % (f)(g) | 10/15/2037 | 140,702 | |||||||
146,281 | Federal Home Loan Mortgage Corporation, Series 3382-SU (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | 6.19 | % (f)(g) | 11/15/2037 | 24,053 | |||||||
3,316,678 | Federal Home Loan Mortgage Corporation, Series 3404-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 5.89 | % (f)(g) | 01/15/2038 | 591,875 | |||||||
173,639 | Federal Home Loan Mortgage Corporation, Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap) | 5.54 | % (f)(g) | 03/15/2038 | 20,949 | |||||||
2,284,636 | Federal Home Loan Mortgage Corporation, Series 3435-S (-1 x 1 Month LIBOR USD + 5.98%, 5.98% Cap) | 5.87 | % (f)(g) | 04/15/2038 | 409,961 | |||||||
145,806 | Federal Home Loan Mortgage Corporation, Series 3508-PS (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) | 6.54 | % (f)(g) | 02/15/2039 | 14,896 | |||||||
913,287 | Federal Home Loan Mortgage Corporation, Series 3728-SV (-1 x 1 Month LIBOR USD + 4.45%, 4.45% Cap) | 4.34 | % (f)(g) | 09/15/2040 | 107,455 | |||||||
6,928,375 | Federal Home Loan Mortgage Corporation, Series 3736-SN (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 5.94 | % (f)(g) | 10/15/2040 | 1,369,136 | |||||||
2,587,495 | Federal Home Loan Mortgage Corporation, Series 3753-SB (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 5.89 | % (f)(g) | 11/15/2040 | 471,008 | |||||||
2,943,410 | Federal Home Loan Mortgage Corporation, Series 3780-SM (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | 6.39 | % (f)(g) | 12/15/2040 | 564,139 | |||||||
996,175 | Federal Home Loan Mortgage Corporation, Series 3815-ST (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap) | 5.74 | % (f)(g) | 02/15/2041 | 177,615 | |||||||
1,174,966 | Federal Home Loan Mortgage Corporation, Series 3905-SC (-5 x 1 Month LIBOR USD + 22.75%, 22.75% Cap) | 22.25 | % (g) | 08/15/2041 | 1,928,454 | |||||||
1,160,984 | Federal Home Loan Mortgage Corporation, Series 3924-SJ (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 5.89 | % (f)(g) | 09/15/2041 | 217,445 | |||||||
2,107,600 | Federal Home Loan Mortgage Corporation, Series 3960-ES (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap) | 5.84 | % (f)(g) | 11/15/2041 | 318,122 | |||||||
2,174,058 | Federal Home Loan Mortgage Corporation, Series 4291-MS (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap) | 5.79 | % (f)(g) | 01/15/2054 | 390,350 | |||||||
3,558,382 | Federal Home Loan Mortgage Corporation, Series 4610-IB | 3.00 | % (f) | 06/15/2041 | 40,967 | |||||||
14,519,266 | Federal Home Loan Mortgage Corporation, Series 5100-DS (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 2.50% Cap) | 2.45 | % (f)(g) | 05/25/2051 | 765,591 | |||||||
12,590,699 | Federal Home Loan Mortgage Corporation, Series 5112-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 2.50% Cap) | 2.45 | % (f)(g) | 06/25/2051 | 791,781 | |||||||
72,771 | Federal National Mortgage Association, Series 2005-72-WS (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) | 6.65 | % (f)(g) | 08/25/2035 | 9,403 | |||||||
678,534 | Federal National Mortgage Association, Series 2005-90-SP (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) | 6.65 | % (f)(g) | 09/25/2035 | 52,035 | |||||||
367,074 | Federal National Mortgage Association, Series 2006-117-SQ (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) | 6.45 | % (f)(g) | 12/25/2036 | 41,462 | |||||||
179,088 | Federal National Mortgage Association, Series 2006-119-HS (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) | 6.55 | % (f)(g) | 12/25/2036 | 35,353 | |||||||
3,474,727 | Federal National Mortgage Association, Series 2006-123-CI (-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap) | 6.64 | % (f)(g) | 01/25/2037 | 688,679 | |||||||
1,700,220 | Federal National Mortgage Association, Series 2007-15-BI (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap) | 6.60 | % (f)(g) | 03/25/2037 | 325,465 | |||||||
324,114 | Federal National Mortgage Association, Series 2007-20-S (-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap) | 6.64 | % (f)(g) | 03/25/2037 | 40,722 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
219,347 | Federal National Mortgage Association, Series 2007-21-SD (-1 x 1 Month LIBOR USD + 6.48%, 6.48% Cap) | 6.38 | % (f)(g) | 03/25/2037 | 38,490 | |||||||
820,978 | Federal National Mortgage Association, Series 2007-30-IE (-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap) | 6.64 | % (f)(g) | 04/25/2037 | 183,517 | |||||||
1,890,149 | Federal National Mortgage Association, Series 2007-32-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 6.00 | % (f)(g) | 04/25/2037 | 337,852 | |||||||
808,973 | Federal National Mortgage Association, Series 2007-40-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 6.00 | % (f)(g) | 05/25/2037 | 149,449 | |||||||
165,074 | Federal National Mortgage Association, Series 2007-48-SE (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 6.00 | % (f)(g) | 05/25/2037 | 19,697 | |||||||
230,296 | Federal National Mortgage Association, Series 2007-64-LI (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap) | 6.46 | % (f)(g) | 07/25/2037 | 41,660 | |||||||
97,312 | Federal National Mortgage Association, Series 2007-68-SA (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) | 6.55 | % (f)(g) | 07/25/2037 | 15,051 | |||||||
4,403,058 | Federal National Mortgage Association, Series 2007-75-PI (-1 x 1 Month LIBOR USD + 6.54%, 6.54% Cap) | 6.44 | % (f)(g) | 08/25/2037 | 861,751 | |||||||
2,457,710 | Federal National Mortgage Association, Series 2008-33-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 5.90 | % (f)(g) | 04/25/2038 | 415,152 | |||||||
2,120,827 | Federal National Mortgage Association, Series 2008-42-SC (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap) | 5.80 | % (f)(g) | 05/25/2038 | 312,743 | |||||||
472,854 | Federal National Mortgage Association, Series 2008-5-GS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) | 6.15 | % (f)(g) | 02/25/2038 | 70,746 | |||||||
1,329,873 | Federal National Mortgage Association, Series 2008-62-SD (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 5.95 | % (f)(g) | 07/25/2038 | 179,429 | |||||||
751,316 | Federal National Mortgage Association, Series 2008-68-SB (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 6.00 | % (f)(g) | 08/25/2038 | 120,598 | |||||||
127,150 | Federal National Mortgage Association, Series 2009-111-SE (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) | 6.15 | % (f)(g) | 01/25/2040 | 21,953 | |||||||
729,407 | Federal National Mortgage Association, Series 2009-12-CI (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap) | 6.50 | % (f)(g) | 03/25/2036 | 106,436 | |||||||
127,037 | Federal National Mortgage Association, Series 2009-47-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 6.00 | % (f)(g) | 07/25/2039 | 18,509 | |||||||
154,453 | Federal National Mortgage Association, Series 2009-48-WS (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap) | 5.85 | % (f)(g) | 07/25/2039 | 22,803 | |||||||
86,718 | Federal National Mortgage Association, Series 2009-67-SA (-1 x 1 Month LIBOR USD + 5.15%, 0.25% Floor, 5.15% Cap) | 5.05 | % (f)(g) | 07/25/2037 | 7,274 | |||||||
341,190 | Federal National Mortgage Association, Series 2009-87-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 5.90 | % (f)(g) | 11/25/2049 | 62,091 | |||||||
5,613,133 | Federal National Mortgage Association, Series 2009-90-QI (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap) | 6.50 | % (f)(g) | 08/25/2036 | 1,018,558 | |||||||
666,431 | Federal National Mortgage Association, Series 2009-91-SD (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap) | 6.05 | % (f)(g) | 11/25/2039 | 103,040 | |||||||
121,189 | Federal National Mortgage Association, Series 2010-115-SD (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap) | 6.50 | % (f)(g) | 11/25/2039 | 21,168 | |||||||
135,521 | Federal National Mortgage Association, Series 2010-11-SC (-1 x 1 Month LIBOR USD + 4.80%, 4.80% Cap) | 4.70 | % (f)(g) | 02/25/2040 | 13,524 | |||||||
624,089 | Federal National Mortgage Association, Series 2010-134-SE (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) | 6.55 | % (f)(g) | 12/25/2025 | 39,950 | |||||||
4,517,102 | Federal National Mortgage Association, Series 2010-142-SC (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap) | 6.50 | % (f)(g) | 12/25/2040 | 950,201 | |||||||
705,201 | Federal National Mortgage Association, Series 2010-15-SL (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap) | 4.85 | % (f)(g) | 03/25/2040 | 92,975 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
166,495 | Federal National Mortgage Association, Series 2010-19-SA (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) | 5.30 | % (f)(g) | 03/25/2050 | 23,215 | |||||||
539,290 | Federal National Mortgage Association, Series 2010-31-SB (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) | 4.90 | % (f)(g) | 04/25/2040 | 69,466 | |||||||
1,014,133 | Federal National Mortgage Association, Series 2010-39-SL (-1 x 1 Month LIBOR USD + 5.67%, 5.67% Cap) | 5.57 | % (f)(g) | 05/25/2040 | 153,324 | |||||||
124,107 | Federal National Mortgage Association, Series 2010-8-US (-1 x 1 Month LIBOR USD + 4.80%, 4.80% Cap) | 4.70 | % (f)(g) | 02/25/2040 | 10,672 | |||||||
165,111 | Federal National Mortgage Association, Series 2010-9-GS (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap) | 4.65 | % (f)(g) | 02/25/2040 | 14,793 | |||||||
836,622 | Federal National Mortgage Association, Series 2011-114-S (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 5.90 | % (f)(g) | 09/25/2039 | 150,301 | |||||||
1,250,386 | Federal National Mortgage Association, Series 2011-146-US (-1 x 1 Month LIBOR USD + 7.00%, 7.00% Cap) | 6.86 | % (g) | 01/25/2042 | 1,371,150 | |||||||
139,956 | Federal National Mortgage Association, Series 2011-5-PS (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap) | 6.30 | % (f)(g) | 11/25/2040 | 5,067 | |||||||
192,098 | Federal National Mortgage Association, Series 2012-29-SG (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 5.90 | % (f)(g) | 04/25/2042 | 26,868 | |||||||
1,947,878 | Federal National Mortgage Association, Series 2012-56-SN (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 5.95 | % (f)(g) | 06/25/2042 | 264,648 | |||||||
2,088,749 | Federal National Mortgage Association, Series 2012-76-SC (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 5.90 | % (f)(g) | 07/25/2042 | 350,165 | |||||||
1,576,485 | Federal National Mortgage Association, Series 2013-83-US (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap) | 4.90 | % (g) | 08/25/2043 | 1,524,708 | |||||||
5,327,045 | Federal National Mortgage Association, Series 2016-64-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 5.90 | % (f)(g) | 09/25/2046 | 1,098,520 | |||||||
16,629,218 | Federal National Mortgage Association, Series 2019-M26-X1 | 0.62 | % (d)(f) | 03/25/2030 | 618,372 | |||||||
4,798,401 | Federal National Mortgage Association, Series 2020-61-DI | 3.00 | % (f) | 09/25/2060 | 794,655 | |||||||
16,680,290 | Federal National Mortgage Association, Series 2020-M27-X1 | 0.91 | % (d)(f) | 03/25/2031 | 899,229 | |||||||
17,892,561 | Federal National Mortgage Association, Series 2021-17-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.00%, 2.00% Cap) | 1.95 | % (f)(g) | 04/25/2051 | 752,996 | |||||||
196,366 | Federal National Mortgage Association, Series 374-19 | 6.50 | % (f) | 09/25/2036 | 41,485 | |||||||
521,879 | Government National Mortgage Association, Series 2009-104-SD (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap) | 6.24 | % (f)(g) | 11/16/2039 | 82,882 | |||||||
77,589 | Government National Mortgage Association, Series 2010-98-IA | 5.60 | % (d)(f) | 03/20/2039 | 6,475 | |||||||
520,910 | Government National Mortgage Association, Series 2011-69-SB (-1 x 1 Month LIBOR USD + 5.35%, 5.35% Cap) | 5.25 | % (f)(g) | 05/20/2041 | 86,391 | |||||||
856,897 | Government National Mortgage Association, Series 2011-71-SG (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) | 5.30 | % (f)(g) | 05/20/2041 | 124,820 | |||||||
942,950 | Government National Mortgage Association, Series 2011-72-AS (-1 x 1 Month LIBOR USD + 5.38%, 5.38% Cap) | 5.28 | % (f)(g) | 05/20/2041 | 140,230 | |||||||
1,132,125 | Government National Mortgage Association, Series 2011-89-SA (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap) | 5.35 | % (f)(g) | 06/20/2041 | 167,190 | |||||||
7,759,289 | Government National Mortgage Association, Series 2012-26-SP (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) | 6.55 | % (f)(g) | 02/20/2042 | 1,697,516 | |||||||
579,664 | Government National Mortgage Association, Series 2012-34-LI (-20 x 1 Month LIBOR USD + 122.00%, 6.00% Cap) | 6.00 | % (f)(g) | 12/16/2039 | 113,072 | |||||||
5,526,991 | Government National Mortgage Association, Series 2013-119-TZ | 3.00 | % | 08/20/2043 | 5,629,390 | |||||||
16,535,823 | Government National Mortgage Association, Series 2013-39-HS (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap) | 4.65 | % (f)(g) | 03/20/2041 | 1,985,369 | |||||||
3,472,146 | Government National Mortgage Association, Series 2014-39-SK (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap) | 6.10 | % (f)(g) | 03/20/2044 | 654,384 |
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
5,684,106 | Government National Mortgage Association, Series 2014-59-DS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap) | 6.14 | % (f)(g) | 04/16/2044 | 1,067,679 | |||||||
4,260,185 | Government National Mortgage Association, Series 2014-63-SD (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap) | 5.45 | % (f)(g) | 04/20/2044 | 879,594 | |||||||
2,447,869 | Government National Mortgage Association, Series 2014-69-ST (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) | 5.99 | % (f)(g) | 12/16/2039 | 374,961 | |||||||
3,522,092 | Government National Mortgage Association, Series 2015-148-BS (-1 x 1 Month LIBOR USD + 5.69%, 5.69% Cap) | 5.59 | % (f)(g) | 10/20/2045 | 661,380 | |||||||
9,655,110 | Government National Mortgage Association, Series 2015-158-SK (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap) | 6.10 | % (f)(g) | 11/20/2045 | 1,984,387 | |||||||
12,927,331 | Government National Mortgage Association, Series 2018-111-SA (-1 x 1 Month LIBOR USD + 4.55%, 4.55% Cap) | 4.45 | % (f)(g) | 08/20/2048 | 1,232,732 | |||||||
33,404,285 | Government National Mortgage Association, Series 2018-48-SD (-1 x 1 Month LIBOR USD + 3.90%, 3.90% Cap) | 3.80 | % (f)(g) | 04/20/2048 | 2,905,698 | |||||||
8,899,312 | Government National Mortgage Association, Series 2020-115-SC (-1 x 1 Month LIBOR USD + 4.20%, 4.20% Cap) | 4.10 | % (f)(g) | 08/20/2050 | 1,082,775 | |||||||
7,926,817 | Government National Mortgage Association, Series 2020-129-SE (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap) | 3.65 | % (f)(g) | 09/20/2050 | 745,158 | |||||||
8,001,719 | Government National Mortgage Association, Series 2020-138-IL | 3.50 | % (f) | 09/20/2050 | 923,724 | |||||||
3,758,370 | Government National Mortgage Association, Series 2020-187-SB (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | 6.20 | % (f)(g) | 12/20/2050 | 773,403 | |||||||
6,331,398 | Government National Mortgage Association, Series 2020-196-DI | 2.50 | % (f) | 12/20/2050 | 874,407 | |||||||
7,881,494 | Government National Mortgage Association, Series 2021-107-SA (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap) | 3.65 | % (f)(g) | 06/20/2051 | 983,692 | |||||||
5,586,570 | Government National Mortgage Association, Series 2021-125-AS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.25%, 3.25% Cap) | 3.20 | % (f)(g) | 07/20/2051 | 345,568 | |||||||
7,933,117 | Government National Mortgage Association, Series 2021-158-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 3.70%, 3.70% Cap) | 3.65 | % (f)(g) | 09/20/2051 | 1,067,585 | |||||||
22,614,120 | Government National Mortgage Association, Series 2021-221-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 3.80%, 3.80% Cap) | 3.75 | % (f)(g) | 12/20/2051 | 1,492,107 | |||||||
18,000,000 | Government National Mortgage Association, Series 2021-221-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 3.80%, 3.80% Cap) | 3.75 | % (f)(g) | 12/20/2051 | 1,141,808 | |||||||
9,565,192 | Government National Mortgage Association, Series 2021-46-DS (-1 x 1 Month LIBOR USD + 2.80%, 2.80% Cap) | 2.70 | % (f)(g) | 03/20/2051 | 845,195 | |||||||
6,352,014 | Government National Mortgage Association, Series 2021-58-SJ (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) | 6.20 | % (f)(g) | 04/20/2051 | 1,165,635 | |||||||
45,399,626 | Government National Mortgage Association, Series 2021-59-S (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap) | 2.55 | % (f)(g) | 04/20/2051 | 2,757,791 | |||||||
19,008,234 | Government National Mortgage Association, Series 2021-73-LS (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 0.50% Floor, 2.50% Cap) | 2.45 | % (f)(g) | 04/20/2051 | 1,143,849 | |||||||
18,984,145 | Government National Mortgage Association, Series 2021-78-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap) | 2.55 | % (f)(g) | 05/20/2051 | 1,061,274 | |||||||
19,320,920 | Government National Mortgage Association, Series 2021-97-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap) | 2.55 | % (f)(g) | 06/20/2051 | 1,000,464 | |||||||
|
|
|||||||||||
Total US Government and Agency Mortgage Backed Obligations (Cost $69,880,976) |
68,744,298 | |||||||||||
|
|
Principal Amount |
Security Description |
Rate | Maturity |
Value $ | ||||||||
US Government and Agency Obligations - 5.5% |
| |||||||||||
17,100,000 | United States Treasury Notes | 0.38 | % | 07/31/2027 | 16,245,668 | |||||||
|
|
|||||||||||
Total US Government and Agency Obligations (Cost $16,924,202) |
16,245,668 | |||||||||||
|
|
|||||||||||
Common Stocks - 0.1% |
| |||||||||||
13,001 | Foresight Equity (c) (h) | 247,540 | ||||||||||
34,446 | McDermott International Ltd. (h) | 14,123 | ||||||||||
4,476 | New Constellis Holdings, Inc. (c) (h) | 2,238 | ||||||||||
4,104 | Summit Midstream Partners LP (h) | 91,109 | ||||||||||
|
|
|||||||||||
Total Common Stocks (Cost $421,795) |
355,010 | |||||||||||
|
|
|||||||||||
Preferred Stocks - 0.0% |
| |||||||||||
2,010 |
Riverbed Technology, Inc. | 1.50 | % (c) | 11/17/2028 | 43,115 | |||||||
|
|
|||||||||||
Total Preferred Stocks (Cost $42,702) |
43,115 | |||||||||||
|
|
|||||||||||
Short Term Investments - 3.8% |
| |||||||||||
3,768,971 | First American Government Obligations Fund - Class U | 0.03 | % (i) | 3,768,971 | ||||||||
3,766,568 | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | 0.03 | % (i) | 3,766,568 | ||||||||
3,766,567 | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | 0.03 | % (i) | 3,766,567 | ||||||||
|
|
|||||||||||
Total Short Term Investments (Cost $11,302,106) |
11,302,106 | |||||||||||
|
|
|||||||||||
Total Investments - 117.3% (Cost $366,606,538) (l) |
345,256,861 | |||||||||||
Liabilities in Excess of Other Assets - (17.3)% | (50,874,842 | ) | ||||||||||
|
|
|||||||||||
NET ASSETS - 100.0% |
$ | 294,382,019 | ||||||||||
|
|
(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) | 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. |
(c) | Value determined using significant unobservable inputs. |
(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) | Perpetual maturity. The date disclosed is the next call date of the security. |
(f) | Interest only security |
(g) | 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. |
(h) | Non-income producing security |
(i) | Seven-day yield as of period end |
(j) | The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of period end. |
(k) | The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of period end. |
(l) | Under the Funds credit agreement, the Lender, through their agent, have been granted a security interest in all of the Funds investments in consideration of the Funds borrowing under the line of credit with the Lender. |
(m) | 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. |
SECURITY TYPE BREAKDOWN as a % of Net Assets:
Collateralized Loan Obligations |
32.0% | |||
Non-Agency Commercial Mortgage Backed Obligations |
23.9% | |||
US Government and Agency Mortgage Backed Obligations |
23.4% | |||
Non-Agency Residential Collateralized Mortgage Obligations |
13.2% | |||
Bank Loans |
8.3% | |||
US Government and Agency Obligations |
5.5% | |||
Foreign Corporate Bonds |
4.1% | |||
Short Term Investments |
3.8% | |||
Asset Backed Obligations |
2.5% | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
0.5% | |||
Common Stocks |
0.1% | |||
Preferred Stocks |
0.0% | (n) | ||
Other Assets and Liabilities |
(17.3)% | |||
|
|
|||
100.0% | ||||
|
|
INVESTMENT BREAKDOWN as a % of Net Assets:
Collateralized Loan Obligations |
32.0% | |||
Non-Agency Commercial Mortgage Backed Obligations |
23.9% | |||
US Government and Agency Mortgage Backed Obligations |
23.4% | |||
Non-Agency Residential Collateralized Mortgage Obligations |
13.2% | |||
US Government and Agency Obligations |
5.5% | |||
Short Term Investments |
3.8% | |||
Energy |
2.5% | |||
Asset Backed Obligations |
2.5% | |||
Electronics/Electric |
1.9% | |||
Healthcare |
1.2% | |||
Business Equipment and Services |
0.8% | |||
Mining |
0.7% | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
0.5% | |||
Real Estate |
0.5% | |||
Chemicals/Plastics |
0.5% | |||
Media |
0.5% | |||
Building and Development (including Steel/Metals) |
0.4% | |||
Consumer Products |
0.4% | |||
Insurance |
0.4% | |||
Banking |
0.3% | |||
Financial Intermediaries |
0.3% | |||
Utilities |
0.3% | |||
Telecommunications |
0.3% | |||
Industrial Equipment |
0.2% | |||
Pharmaceuticals |
0.2% | |||
Retailers (other than Food/Drug) |
0.2% | |||
Transportation |
0.2% | |||
Environmental Control |
0.2% | |||
Aerospace & Defense |
0.2% | |||
Automotive |
0.1% | |||
Leisure |
0.1% | |||
Chemical Products |
0.1% | |||
Hotels/Motels/Inns and Casinos |
0.0% | (n) | ||
Food Service |
0.0% | (n) | ||
Food Products |
0.0% | (n) | ||
Technology |
0.0% | (n) | ||
Commercial Services |
0.0% | (n) | ||
Other Assets and Liabilities |
(17.3)% | |||
|
|
|||
100.0% | ||||
|
|
(n) | Represents less than 0.05% of net assets |
Notes to Schedule of Investments
December 31, 2021 (Unaudited)
1. Organization
DoubleLine Opportunistic Credit 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 funds total assets is not subject to this limitation. The Fund was organized as a Massachusetts business trust on July 22, 2011 and commenced operations on January 27, 2012. The Fund is listed on the New York Stock Exchange (NYSE) under the symbol DBL. The Funds investment objective is to seek high total investment return by providing a high level of current income and the potential for 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 1Unadjusted quoted market prices in active markets for identical securities |
| Level 2Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data |
| Level 3Significant unobservable inputs (including the reporting entitys estimates and assumptions) |
Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations 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.
Securities may be fair valued by the Adviser (as defined below) in accordance with the fair valuation procedures approved by the Board of Trustees (the Board). The Advisers valuation committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Advisers valuation committee and the pricing group are authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations or third party vendor prices are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market or fair value.
The following is a summary of the fair valuations according to the inputs used to value the Funds investments as of December 31, 2021:
Category |
|
|||
Investments in Securities |
||||
Level 1 |
||||
Money Market Funds |
$ | 11,302,106 | ||
Common Stocks |
105,232 | |||
|
|
|
||
Total Level 1 |
11,407,338 | |||
Level 2 |
||||
Collateralized Loan Obligations |
92,911,655 | |||
US Government and Agency Mortgage Backed Obligations |
68,744,298 | |||
Non-Agency Commercial Mortgage Backed Obligations |
64,554,494 | |||
Non-Agency Residential Collateralized Mortgage Obligations |
38,783,139 | |||
Bank Loans |
24,184,762 | |||
US Government and Agency Obligations |
16,245,668 | |||
Foreign Corporate Bonds |
12,021,669 | |||
Asset Backed Obligations |
1,939,826 | |||
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
1,506,106 | |||
|
|
|
||
Total Level 2 |
320,891,617 | |||
Level 3 |
||||
Non-Agency Commercial Mortgage Backed Obligations |
5,811,076 | |||
Asset Backed Obligations |
5,448,506 | |||
Collateralized Loan Obligations |
1,315,753 | |||
Common Stocks |
249,778 | |||
Bank Loans |
89,678 | |||
Preferred Stocks |
43,115 | |||
|
|
|
||
Total Level 3 |
12,957,906 | |||
|
|
|
||
Total |
$ | 345,256,861 | ||
|
|
|
||
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 9/30/2021 |
Net Realized Gain (Loss) |
Net Change in Unrealized Appreciation (Depreciation) (c) |
Net Accretion (Amortization) |
Purchases (a) | Sales (b) | Transfers Level 3(d) |
Transfers Level 3(d) |
Fair Value as of 12/31/2021 |
Net Change in Unrealized Appreciation (Depreciation) on securities held at 12/31/2021(c) |
|||||||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage Backed Obligations | $ | 5,696,751 | $ | | $ | 95,519 | $ | 18,806 | $ | | $ | | $ | | $ | | $ | 5,811,076 | $ | 95,519 | ||||||||||||||||||||
Asset Backed Obligations | 5,908,479 | 2 | (429,402 | ) | | 59,379 | (89,952 | ) | | | 5,448,506 | (430,567 | ) | |||||||||||||||||||||||||||
Collateralized Loan Obligations | 1,354,392 | | (38,639 | ) | | | | | | 1,315,753 | (38,639 | ) | ||||||||||||||||||||||||||||
Common Stocks | 810,873 | 363,371 | (380,684 | ) | | | (543,782 | ) | | | 249,778 | (59,420 | ) | |||||||||||||||||||||||||||
Bank Loans | 89,952 | 100 | (893 | ) | 793 | | (274 | ) | | | 89,678 | (791 | ) | |||||||||||||||||||||||||||
Preferred Stocks | | | 413 | 135 | 42,567 | | | | 43,115 | | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | $ | 13,860,447 | $ | 363,473 | $ | (753,686 | ) | $ | 19,734 | $ | 101,946 | $ | (634,008 | ) | $ | | $ | | $ | 12,957,906 | $ | (433,898 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 December 31, 2021 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 12/31/2021 |
Valuation Techniques |
Unobservable Input |
Unobservable Input Values (Weighted Average)(e) |
Impact to valuation from an increase to input | ||||||||||
Non-Agency Commercial Mortgage Backed Obligations |
$ | 5,811,076 | Market Comparables | Yields | |
12.00% - 20.00% (13.01%) |
|
Increase in yields would have resulted in the decrease in the fair value of the security. | ||||||
Asset Backed Obligations |
$ | 5,448,506 | Market Comparables | Market Quotes | |
$78.71 - $2,700.51 ($423.59) |
|
Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||
Collateralized Loan Obligations |
$ | 1,315,753 | Market Comparables | Market Quotes | |
$3.25 - $64.16 ($62.66) |
|
Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||
Common Stocks |
$ | 249,778 | Market Comparables | Market Quotes | |
$0.50 - $19.04 ($18.87) |
|
Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||
Bank Loans |
$ | 89,678 | 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 | ||||||||
Preferred Stocks |
$ | 43,115 | Market Comparables | Market Quotes | $21.45 ($21.45) | 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. |