0001145549-24-007629.txt : 20240223 0001145549-24-007629.hdr.sgml : 20240223 20240223153959 ACCESSION NUMBER: 0001145549-24-007629 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20231231 FILED AS OF DATE: 20240223 DATE AS OF CHANGE: 20240223 PERIOD START: 20240930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DoubleLine Opportunistic Credit Fund CENTRAL INDEX KEY: 0001525201 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22592 FILM NUMBER: 24670896 BUSINESS ADDRESS: STREET 1: C/O DOUBLELINE CAPITAL LP STREET 2: 2002 N. TAMPA ST., SUITE 200 CITY: TAMPA STATE: FL ZIP: 33602 BUSINESS PHONE: (813) 791-7333 MAIL ADDRESS: STREET 1: C/O DOUBLELINE CAPITAL LP STREET 2: 2002 N. 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Countrywide Alternative Loan T N/A Alternative Loan Trust 2005-85CB 12668BEL3 127422.940000000000 PA USD 103796.080000000000 0.0404837435 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.575090000000 N N N N N N Chase Mortgage Finance Corpora N/A Chase Mortgage Finance Trust Series 2007-S3 16163HAE1 1362255.100000000000 PA USD 621675.740000000000 0.2424731377 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6.000000000000 N N N N N N DOLP Trust N/A DOLP Trust 2021-NYC 23345LAN9 1000000.000000000000 PA USD 500144.900000000000 0.1950722787 Long ABS-MBS CORP US N 2 2041-05-10 Variable 3.703780000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A6WN0 1210644.750000000000 PA USD 101021.160000000000 0.0394014372 Long ABS-MBS USGSE US N 2 2042-06-25 Floating .598090000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BGL82 4431490.450000000000 PA USD 553093.440000000000 0.2157238786 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.500000000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31396P3F6 142271.280000000000 PA USD 8556.820000000000 0.0033374296 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 1.028090000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31396PWM9 1207536.120000000000 PA USD 107010.040000000000 0.0417372892 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 1.248090000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31396WK96 63003.600000000000 PA USD 5191.740000000000 0.0020249423 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 1.198090000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31398SKW2 3225658.500000000000 PA USD 368545.350000000000 0.1437443054 Long ABS-MBS USGSE US N 2 2040-12-25 Floating 1.148090000000 N N N N N N Neuberger Berman CLO Ltd 549300UHUHCR3388B324 Neuberger Berman CLO XVI-S Ltd 64131RAJ7 1000000.000000000000 PA USD 973306.600000000000 0.3796202587 Long ABS-CBDO CORP US N 2 2034-04-15 Floating 11.905480000000 N N N N N N BANCO DO BRASIL (CAYMAN) QE0Q0253K88YAGNPE356 Banco do Brasil SA/Cayman EJ5310291 200000.000000000000 PA USD 195646.000000000000 0.0763081080 Long DBT CORP BR N 2 2024-04-15 Variable 6.250000000000 N N N N N N CONNECT FINCO SARL 2594001KNYIQ456J2792 Connect Finco SARL L2000DAD6 231600.000000000000 PA USD 231970.560000000000 0.0904758316 Long LON CORP LU N 2 2026-12-11 Floating 8.848350000000 N N N N N N DIRECTV FINANCING LLC N/A Directv Financing LLC 25460HAB8 478808.830000000020 PA USD 479677.870000000000 0.1870894918 Long LON CORP US N 2 2027-08-02 Floating 10.649830000000 N N N N N N ASPEN DENTAL MANAGEMENT T/L B5 N/A ASPEN DENTAL MANAGEMENT T/L B5 N/A 240000.000000000000 PA USD 237000.000000000000 0.0924374717 Long LON CORP US N 2 2027-12-23 Floating 11.095870000000 N N N N N N CAP SA 54930079GPG23NTBB003 CAP SA BP2326778 200000.000000000000 PA USD 155800.000000000000 0.0607669118 Long DBT CORP CL N 2 2031-04-27 Fixed 3.900000000000 N N N N N N Residential Asset Securitizati N/A Residential Asset Securitization Trust 2006-A6 76113FAJ9 1619679.090000000000 PA USD 476733.910000000000 0.1859412546 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.000000000000 N N N N N N SIERRACOL ENRGY ANDINA N/A SierraCol Energy Andina LLC 82653LAA9 400000.000000000000 PA USD 336975.960000000000 0.1314312480 Long DBT CORP CO N 2 2028-06-15 Fixed 6.000000000000 N N N N N N SOPHIA LP 549300RP8NIJ7FY7OS79 Sophia LP 83578BAN3 110000.000000000000 PA USD 110369.600000000010 0.0430476235 Long LON CORP US N 2 2027-10-07 Floating 8.948350000000 N N N N N N VANTAGE SPEC CHEM 54930057U5S5AY44VU09 Vantage Specialty Chemicals Inc 92210XAE0 79400.000000000000 PA USD 76819.500000000000 0.0299620268 Long LON CORP US N 2 2026-10-26 Floating 10.107920000000 N N N N N N 2024-02-22 DoubleLine Opportunistic Credit Fund /s/ Henry Chase DoubleLine Opportunistic Credit Fund Treasurer and Principal Financial and Accounting Officer XXXX NPORT-EX 2 dbl.htm DOS

 

DoubleLine Opportunistic Credit Fund

Schedule of Investments

December 31, 2023 (Unaudited)

 

 

Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    

Asset Backed Obligations - 1.5%

 

500,000   Blue Stream Issuer LLC, Series 2023-1A-C     8.90 % (a)    05/20/2053     469,553  
1,135,250   Jimmy Johns Funding LLC, Series 2017-1A-A2II     4.85 % (a)    07/30/2047     1,082,936  
1,000,000   LendingPoint Asset Securitization Trust, Series 2022-B-B     5.99 % (a)    10/15/2029     960,825  
395,634   Sierra Timeshare Receivable Funding LLC, Series 2023-2A-D     9.72 % (a)    04/20/2040     408,055  
20,000   SoFi Professional Loan Program LLC, Series 2018-A-R1, Series 2018-A-R1     0.00 % (a)(b)(c)    02/25/2042     223,859  
5,930   SoFi Professional Loan Program LLC, Series 2018-A-R2, Series 2018-A-R2     0.00 % (a)(b)(c)    02/25/2042     66,374  
1,000,000   Upstart Pass-Through Trust, Series 2021-ST5-CERT     0.00 % (a)(b)(c)    07/20/2027     146,718  
671,767   Willis Engine Structured Trust, Series 2021-A-C     7.39 % (a)(c)    05/15/2046     552,879  
       

 

 

 

Total Asset Backed Obligations (Cost $4,137,508)

    3,911,199  
       

 

 

 

Bank Loans - 8.7%

 

333,000   AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor)     10.43   04/20/2028     342,600  
453,863   Access CIG LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.00%, 0.50% Floor)     10.39   08/15/2028     455,188  
473,977   Acrisure LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)     9.15 % (o)    02/16/2027     473,851  
120,000   Acuris Finance, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%, 0.50% Floor)     9.50   02/16/2028     120,131  
423,550   American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.25%, 0.75% Floor)     11.91 %                 10/20/2028     356,523  
1,230,000   Applied Systems, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.75%, 0.75% Floor)     12.10   09/17/2027     1,239,994  
500,000   Artera Services LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 1.00% Floor)     12.74   03/06/2026     344,143  
230,000   Ascend Learning LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.75%, 0.50% Floor)     11.21   12/10/2029     199,484  
240,000   Aspen Dental Management, Inc.     11.11 % (d)    12/23/2027     237,000  
180,704   Astra Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.50% Floor)     10.86   10/25/2028     117,834  
110,000   Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%)     10.72   01/31/2028     105,141  
450,000   Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%)     10.72   01/22/2029     425,777  
453,375   Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor)     10.88   05/08/2028     270,703  
825,000   Aveanna Healthcare LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.00%, 0.50% Floor)     12.54   12/10/2029     613,251  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
133,643   Bausch & Lomb Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.25%, 0.50% Floor)     8.76   05/10/2027     132,558  
274,313   Bausch & Lomb Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%)     9.36   09/29/2028     274,655  
119,092   BCPE Empire Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor)     10.10   12/11/2028     119,561  
450,000   Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.25%)     9.60   12/29/2028     453,881  
208,739   BYJU's Alpha, Inc. (Prime Rate + 7.00%, 0.75% Floor)     15.50   11/24/2026     76,364  
596,275   Cengage Learning, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%, 1.00% Floor)     10.41   07/14/2026     598,919  
110,000   Central Parent, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%)     9.35   07/06/2029     110,750  
120,000   Charter Next Generation, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.75%, 0.75% Floor)     9.21 %                 12/01/2027     120,694  
109,725   Clarios Global LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.75%)     9.11   05/06/2030     110,109  
124,354   Clear Channel Outdoor Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.50%)     9.14   08/21/2026     123,291  
221,625   Clydesdale Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.18%, 0.50% Floor)     9.63   04/13/2029     222,872  
231,000   Connect US Finco LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 1.00% Floor)     8.85   12/11/2026     231,370  
229,251   Deerfield Dakota Holding LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.75%, 1.00% Floor)     9.10   04/09/2027     227,532  
200,000   Delta Topco, Inc., Senior Secured Second Lien Term Loan (6 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor)     12.62   12/01/2028     200,675  
280,000   DG Investment Intermediate Holdings 2, Inc. (1 Month Secured Overnight Financing Rate + 6.75%, 0.75% Floor)     12.22   03/29/2029     253,866  
465,671   DirectTV Financing LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.00%, 0.75% Floor)     10.65   08/02/2027     466,516  
505,988   Eagle Parent Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.60   04/02/2029     502,446  
160,017   EG Group Ltd., Senior Secured First Lien Term Loan (Daily Secured Overnight Financing Rate + 5.50%)     11.24   02/07/2028     157,617  
298,141   Eisner Advisory Group LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor)     10.72   07/28/2028     299,136  
69,825   EnergySolutions LLC (3 Month Secured Overnight Financing Rate + 4.00%, 0.50% Floor)     9.38   09/18/2030     69,912  
235,000   FinThrive Software Intermediate Holdings, Inc. (1 Month Secured Overnight Financing Rate + 6.75%, 0.50% Floor)     12.22   12/17/2029     141,764  
351,500   Flynn Canada Ltd., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.50%, 0.50% Floor)     9.97   07/21/2028     343,591  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
87,486   Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.00%, 1.50% Floor)     13.45 % (c)    06/30/2027     87,486  
198,850   Gainwell Acquisition Corporation (3 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor)     9.45   10/01/2027     193,879  
110,250  

Getty Images, Inc., Senior Secured First Lien Term Loan

(3 Month Secured Overnight Financing Rate + 4.50%)

    9.95   02/19/2026     110,898  
57,350   GIP II Blue Holding LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.50%, 1.00% Floor)     9.96   09/29/2028     57,689  
360,047   Grab Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.50%, 1.00% Floor)     9.97   01/29/2026     362,072  
  Groupe Solmax, Inc., Senior Secured First Lien Term Loan      
173,151   (3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor)     10.36 %                 07/23/2028     166,766  
148,917   (1 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor)     10.22   07/23/2028     143,425  
  Gulf Finance LLC, Senior Secured First Lien Term Loan      
28,136   (6 Month Secured Overnight Financing Rate, + 6.75%, 1.00% Floor)     12.63   08/25/2026     28,206  
336,557   (1 Month Secured Overnight Financing Rate + 6.75%, 1.00% Floor)     12.22   08/25/2026     337,398  
119,696   Hexion Holdings Corporation, Term Loan (3 Month Secured Overnight Financing Rate + 4.50%, 0.50% Floor)     10.02   03/15/2029     115,315  
477,600   Ineos US Finance LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%)     8.95   02/19/2030     478,794  
121,875   ION Trading Technologies SARL (3 Month Secured Overnight Financing Rate + 4.75%)     10.20   03/31/2028     122,171  
78,200   Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor)     10.39   07/07/2028     5,418  
203,975   Kenan Advantage Group, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor)     9.47   03/24/2026     203,784  
149,237   LaserShip, Inc., Senior Secured First Lien Term Loan (6 Month Secured Overnight Financing Rate + 4.50%, 0.75% Floor)     10.40   05/08/2028     137,484  
288,523  

LBM Acquisition LLC, Senior Secured First Lien Term Loan

(1 Month Secured Overnight Financing Rate + 3.75%, 0.75% Floor)

    9.21   12/17/2027     285,773  
85,769   Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 1.00%)     6.47   06/30/2025     35,880  
6,257   Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.00%)     8.47   06/30/2024     4,348  
116,833   Lereta LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor)     10.72   07/27/2028     89,670  
375,000   LifePoint Health, Inc., Term Loan (3 Month Secured Overnight Financing Rate + 5.50%)     11.17   11/16/2028     374,578  
175,750   LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor)     12.60   03/31/2029     172,015  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
109,703   Lummus Technology Holdings LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%)     8.97   06/30/2027     110,040  
109,719   Mavis Tire Express Services Topco Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor)     9.47 %                 05/04/2028     110,062  
73,500   Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 1.00% Floor)     10.77   06/21/2027     76,125  
419,100   Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%)     10.21   03/27/2026     419,735  
205,000   Mitchell International, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.50%, 0.50% Floor)     12.15   10/15/2029     201,861  
155,000   MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.75%)     14.22   11/30/2026     13,563  
110,000   NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 7.00%)     12.47   10/19/2026     88,550  
71,509   New Constellis Borrower LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 11.25% + 1.00% PIK, 1.00% Floor)     16.47   03/27/2025     35,278  
114,712   Nouryon Finance B.V., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%)     9.35   04/03/2028     115,303  
413,963   Olympus Water US Holding Corporation, Term Loan (3 Month Secured Overnight Financing Rate + 5.00%, 0.50% Floor)     10.35   11/09/2028     416,895  
75,956   OYO Hospitality Netherlands B.V., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.25%, 0.75% Floor)     13.88   06/23/2026     70,893  
367,225  

Par Petroleum, LLC, Senior Secured First Lien Term Loan

(3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)

    9.74   02/28/2030     367,868  
233,807   PECF USS Intermediate Holding Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.89   12/15/2028     183,672  
524,673   Penn National Gaming, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 2.75%, 0.50% Floor)     8.17   05/03/2029     526,583  
58,405   Polar US Borrower LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%)     10.24   10/15/2025     40,095  
87,525   Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor)     9.45   12/14/2027     87,936  
250,652   Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%)     10.21   03/11/2026     251,251  
310,000   Pretium PKG Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.75%, 0.50% Floor)     12.21   10/01/2029     123,335  
623,620   Pug LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.72   02/16/2027     620,502  
497,605   Radiology Partners, Inc., Senior Secured First Lien Term Loan (6 Month Secured Overnight Financing Rate + 4.25%)     10.18   07/09/2025     403,839  
94,802  

Riverbed Technology, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.50% + 2.00% PIK, 1.00% Floor)

    9.85   07/01/2028     65,414  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
75,698   Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor)     10.23 % (o)    11/01/2024     58,927  
20,000   Simon & Schuster, Term Loan (3 Month Secured Overnight Financing Rate + 4.00%)     9.39   10/30/2030     20,088  
149,120   Skillsoft Finance II, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor)     10.69 %                 07/14/2028     140,919  
109,719   Sophia LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 0.50% Floor)     8.96   10/07/2027     110,088  
190,000   Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.75%)     12.39   06/26/2026     15,580  
125,000   Southern Veterinary Partners LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 7.75%, 1.00% Floor)     13.21   09/22/2028     124,974  
69,644   SRS Distribution, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 0.50% Floor)     8.97   06/02/2028     69,847  
228,696   Team Health, Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 1.00% Floor)     10.63   03/02/2027     175,295  
149,622   Tekni-Plex, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.50% Floor)     10.64   09/15/2028     150,333  
535,000   The Edelman Financial Engines Centre LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.75%)     12.22   07/20/2026     536,003  
499,206   Travelport Finance (Luxembourg) SARL (3 Month Secured Overnight Financing Rate + 7.00%, 1.00% Floor)     12.65   02/28/2025     484,506  
90,000   UKG, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.50% Floor)     10.76   05/03/2027     90,346  
79,200   Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor)     10.11   10/26/2026     76,626  
285,162   Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%)     9.47   08/27/2025     286,468  
558,430   Viad Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.00%, 0.50% Floor)     10.47   07/31/2028     557,732  
247,523   Vibrantz Technologies, Inc. (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.81   04/23/2029     237,803  
543,412   WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.75%, 1.00% Floor)     11.39   06/22/2026     544,909  
50,000   WWEX UNI TopCo Holdings LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.00%, 0.75% Floor)     12.61   07/26/2029     43,000  
153,648   Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%)     8.97   09/30/2026     154,142  
       

 

 

 

Total Bank Loans (Cost $23,801,768)

    22,259,134  
       

 

 

 

Collateralized Loan Obligations - 38.1%

 

1,000,000   Allegany Park Ltd., Series 2019-1A-ER (Secured Overnight Financing Rate 3 Month + 6.40%, 6.40% Floor)     11.82 % (a)    01/20/2035     952,085  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
1,700,000   Atlas Senior Loan Fund Ltd., Series 2019-14A-D (Secured Overnight Financing Rate 3 Month + 4.16%, 3.90% Floor)     9.58 % (a)    07/20/2032     1,615,254  
1,000,000   Atrium Corporation, Series 9A-DR (Secured Overnight Financing Rate 3 Month + 3.86%)     9.25 % (a)    05/28/2030     982,755  
500,000   Bain Capital Credit Ltd., Series 2019-3A-DR (Secured Overnight Financing Rate 3 Month + 3.36%, 3.36% Floor)     8.77 % (a)    10/21/2034     490,255  
4,000,000   Bain Capital Credit Ltd., Series 2022-5A-D (Secured Overnight Financing Rate 3 Month + 4.39%, 4.39% Floor)     9.79 % (a)    07/24/2034     3,982,205  
4,000,000   Bain Capital Credit Ltd., Series 2022-5A-DR (Secured Overnight Financing Rate 3 Month + 4.25%, 4.25% Floor)     0.00 % (a)    01/24/2037     4,000,000  
1,000,000   Barings Ltd., Series 2015-2A-DR (Secured Overnight Financing Rate 3 Month + 3.21%)     8.63 % (a)    10/20/2030     982,026  
1,000,000   Barings Ltd., Series 2017-1A-D (Secured Overnight Financing Rate 3 Month + 3.86%)     9.26 % (a)    07/18/2029     1,001,994  
500,000   Barings Ltd., Series 2018-3A-D (Secured Overnight Financing Rate 3 Month + 3.16%)     8.58 % (a)    07/20/2029     500,325  
1,000,000   Barings Ltd., Series 2018-3A-E (Secured Overnight Financing Rate 3 Month + 6.01%)     11.43 % (a)    07/20/2029     963,272  
2,500,000   Barings Ltd., Series 2019-1A-DR (Secured Overnight Financing Rate 3 Month + 3.91%, 3.65% Floor)     9.31 % (a)    04/15/2036     2,413,212  
1,500,000   Barings Ltd., Series 2019-1A-ER (Secured Overnight Financing Rate 3 Month + 7.12%, 6.86% Floor)     12.52 % (a)    04/15/2036     1,498,430  
1,000,000   Barings Ltd., Series 2019-2A-CR (Secured Overnight Financing Rate 3 Month + 3.66%, 3.40% Floor)     9.06 % (a)    04/15/2036     986,291  
5,000,000   Beechwood Park Ltd., Series 2019-1A-DR (Secured Overnight Financing Rate 3 Month + 3.10%, 3.10% Floor)     8.50 % (a)    01/17/2035     4,939,578  
1,000,000   BlueMountain Ltd., Series 2013-2A-DR (Secured Overnight Financing Rate 3 Month + 3.16%)     8.57 % (a)    10/22/2030     958,028  
1,700,000   Canyon Capital Ltd., Series 2014-1A-CR (Secured Overnight Financing Rate 3 Month + 3.01%, 2.75% Floor)     8.40 % (a)    01/30/2031     1,572,455  
1,000,000   Canyon Capital Ltd., Series 2017-1A-DR (Secured Overnight Financing Rate 3 Month + 3.26%, 3.00% Floor)     8.66 % (a)    07/15/2030     983,111  
1,000,000   Canyon Capital Ltd., Series 2017-1A-E (Secured Overnight Financing Rate 3 Month + 6.51%)     11.91 % (a)    07/15/2030     906,285  
1,500,000   Canyon Capital Ltd., Series 2018-1A-E (Secured Overnight Financing Rate 3 Month + 6.01%, 5.75% Floor)     11.41 % (a)    07/15/2031     1,405,306  
1,550,000   Canyon Capital Ltd., Series 2019-1A-DR (Secured Overnight Financing Rate 3 Month + 3.36%, 3.10% Floor)     8.76 % (a)    04/15/2032     1,515,701  
1,000,000   Canyon Capital Ltd., Series 2019-1A-ER (Secured Overnight Financing Rate 3 Month + 7.41%, 7.15% Floor)     12.81 % (a)    04/15/2032     950,508  
2,250,000   Canyon Capital Ltd., Series 2021-1A-E (Secured Overnight Financing Rate 3 Month + 6.67%, 6.41% Floor)     12.07 % (a)    04/15/2034     2,141,762  
2,000,000   Carlyle Global Market Strategies Ltd., Series 2013-1A-CR (Secured Overnight Financing Rate 3 Month + 3.61%)     8.99 % (a)    08/14/2030     1,971,456  
1,500,000   Carlyle Global Market Strategies Ltd., Series 2015-5A-DR (Secured Overnight Financing Rate 3 Month + 6.96%, 6.70% Floor)     12.38 % (a)    01/20/2032     1,372,923  
1,000,000   Carlyle Global Market Strategies Ltd., Series 2021-1A-D (Secured Overnight Financing Rate 3 Month + 6.26%, 6.00% Floor)     11.66 % (a)    04/15/2034     983,159  
500,000   Cathedral Lake Ltd., Series 2021-8A-C (Secured Overnight Financing Rate 3 Month + 2.88%, 2.62% Floor)     8.29 % (a)    01/20/2035     498,584  
500,000   Dewolf Park Ltd., Series 2017-1A-DR (Secured Overnight Financing Rate 3 Month + 3.11%, 2.85% Floor)     8.51 % (a)             10/15/2030     494,497  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
1,500,000   Dryden Senior Loan Fund, Series 2015-37A-ER (Secured Overnight Financing Rate 3 Month + 5.41%, 5.15% Floor)     10.81 % (a)    01/15/2031     1,254,630  
1,200,000   Dryden Senior Loan Fund, Series 2015-38A-ER (Secured Overnight Financing Rate 3 Month + 5.86%, 5.60% Floor)     11.26 % (a)    07/15/2030     1,085,809  
2,000,000   Dryden Senior Loan Fund, Series 2015-40A-ER (Secured Overnight Financing Rate 3 Month + 6.01%, 5.75% Floor)     11.39 % (a)    08/15/2031     1,746,676  
1,750,000   Dryden Senior Loan Fund, Series 2016-42A-ER (Secured Overnight Financing Rate 3 Month + 5.81%)     11.21 % (a)             07/15/2030     1,601,170  
500,000   Dryden Senior Loan Fund, Series 2017-50A-D (Secured Overnight Financing Rate 3 Month + 3.51%, 3.25% Floor)     8.91 % (a)    07/15/2030     497,600  
2,000,000   Gilbert Park Ltd., Series 2017-1A-E (Secured Overnight Financing Rate 3 Month + 6.66%)     12.06 % (a)    10/15/2030     1,919,147  
500,000   Goldentree Loan Management Ltd., Series 2018-3A-D (Secured Overnight Financing Rate 3 Month + 3.11%)     8.53 % (a)    04/20/2030     493,561  
1,000,000   Greenwood Park Ltd., Series 2018-1A-E (Secured Overnight Financing Rate 3 Month + 5.21%)     10.61 % (a)    04/15/2031     913,979  
775,000   Grippen Park Ltd., Series 2017-1A-D (Secured Overnight Financing Rate 3 Month + 3.56%)     8.98 % (a)    01/20/2030     776,756  
1,000,000   Highbridge Loan Management Ltd., Series 11A-17-E (Secured Overnight Financing Rate 3 Month + 6.36%)     11.75 % (a)    05/06/2030     817,771  
1,000,000   Highbridge Loan Management Ltd., Series 2013-2A-CR (Secured Overnight Financing Rate 3 Month + 3.16%)     8.58 % (a)    10/20/2029     983,862  
2,500,000   LCM LP, Series 26A-E (Secured Overnight Financing Rate 3 Month + 5.56%, 5.30% Floor)     10.98 % (a)    01/20/2031     1,950,172  
850,000   Madison Park Funding Ltd., Series 2014-14A-ER (Secured Overnight Financing Rate 3 Month + 6.06%, 5.80% Floor)     11.47 % (a)    10/22/2030     817,901  
1,500,000   Madison Park Funding Ltd., Series 2016-22A-ER (Secured Overnight Financing Rate 3 Month + 6.96%, 6.70% Floor)     12.36 % (a)    01/15/2033     1,493,332  
1,000,000   Madison Park Funding Ltd., Series 2019-34A-ER (Secured Overnight Financing Rate 3 Month + 6.91%, 6.65% Floor)     12.29 % (a)    04/25/2032     1,014,344  
1,500,000   Magnetite Ltd., Series 2019-24A-DR (Secured Overnight Financing Rate 3 Month + 3.05%, 3.05% Floor)     8.44 % (a)    04/15/2035     1,461,006  
1,000,000   Magnetite Ltd., Series 2019-24A-ER (Secured Overnight Financing Rate 3 Month + 6.40%, 6.40% Floor)     11.79 % (a)    04/15/2035     970,676  
500,000   Marble Point Ltd., Series 2021-3A-D1 (Secured Overnight Financing Rate 3 Month + 3.76%, 3.50% Floor)     9.16 % (a)    10/17/2034     499,664  
1,000,000   Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (Secured Overnight Financing Rate 3 Month + 6.51%, 6.25% Floor)     11.91 % (a)    04/15/2034     973,307  
1,000,000   Neuberger Berman Loan Advisers Ltd., Series 2017-25A-DR (Secured Overnight Financing Rate 3 Month + 3.11%, 2.85% Floor)     8.51 % (a)    10/18/2029     976,939  
2,000,000   Neuberger Berman Loan Advisers Ltd., Series 2019-32A-DR (Secured Overnight Financing Rate 3 Month + 2.96%, 2.70% Floor)     8.36 % (a)    01/20/2032     1,951,428  
2,500,000   Octagon Investment Partners Ltd., Series 2014-1A-CR3 (Secured Overnight Financing Rate 3 Month + 3.01%, 2.75% Floor)     8.39 % (a)    02/14/2031     2,464,868  
1,000,000   Octagon Investment Partners Ltd., Series 2016-1A-DR (Secured Overnight Financing Rate 3 Month + 3.11%, 3.11% Floor)     8.51 % (a)    07/15/2030     941,379  
2,000,000   Octagon Investment Partners Ltd., Series 2016-1A-ER (Secured Overnight Financing Rate 3 Month + 7.51%)     12.91 % (a)    01/24/2033     1,870,559  
1,000,000   Octagon Investment Partners Ltd., Series 2016-1A-FR (Secured Overnight Financing Rate 3 Month + 8.35%, 8.35% Floor)     13.75 % (a)(c)    07/15/2030     739,180  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
500,000   Octagon Investment Partners Ltd., Series 2017-1A-CR (Secured Overnight Financing Rate 3 Month + 3.56%)     8.98 % (a)    03/17/2030     487,505  
2,000,000   Octagon Investment Partners Ltd., Series 2017-1A-SUB     0.00 % (a)(b)(c)(e)    03/17/2030     507,286  
1,500,000   Octagon Investment Partners Ltd., Series 2018-1A-D (Secured Overnight Financing Rate 3 Month + 5.46%, 5.20% Floor)     10.88 % (a)    01/20/2031     1,343,201  
900,000   Octagon Investment Partners Ltd., Series 2018-3A-E (Secured Overnight Financing Rate 3 Month + 6.01%, 5.75% Floor)     11.43 % (a)    10/20/2030     851,088  
1,000,000   Octagon Investment Partners Ltd., Series 2019-1A-DR (Secured Overnight Financing Rate 3 Month + 3.51%, 3.25% Floor)     8.91 % (a)    10/15/2034     946,257  
500,000   Octagon Investment Partners Ltd., Series 2019-4A-E (Secured Overnight Financing Rate 3 Month + 7.06%, 6.80% Floor)     12.43 % (a)    05/12/2031     480,707  
4,000,000   Octagon Investment Partners XXI Ltd., Series 2014-1A-DRR (Secured Overnight Financing Rate 3 Month + 7.26%, 7.00% Floor)     12.64 % (a)    02/14/2031     3,844,170  
1,000,000   Octagon Investment Partners XXII Ltd., Series 2014-1A-CRR (Secured Overnight Financing Rate 3 Month + 2.16%, 2.16% Floor)     7.57 % (a)    01/22/2030     997,497  
500,000   OHA Credit Funding Ltd., Series 2021-9A-D (Secured Overnight Financing Rate 3 Month + 3.21%, 2.95% Floor)     8.61 % (a)    07/19/2035     499,651  
500,000   RR Ltd., Series 2017-2A-DR (Secured Overnight Financing Rate 3 Month + 6.06%, 5.80% Floor)     11.46 % (a)    04/15/2036     478,088  
1,000,000   RR Ltd., Series 2018-4A-C (Secured Overnight Financing Rate 3 Month + 3.21%, 0.26% Floor)     8.61 % (a)    04/15/2030     984,038  
1,000,000   RR Ltd., Series 2019-6A-DR (Secured Overnight Financing Rate 3 Month + 6.11%, 5.85% Floor)     11.51 % (a)    04/15/2036     934,088  
2,500,000   Sound Point Ltd., Series 2019-2A-DR (Secured Overnight Financing Rate 3 Month + 3.56%, 3.30% Floor)     8.96 % (a)    07/15/2034     2,409,700  
2,000,000   Sound Point Ltd., Series 2020-1A-DR (Secured Overnight Financing Rate 3 Month + 3.61%, 3.61% Floor)     9.03 % (a)    07/20/2034     1,863,385  
2,500,000   THL Credit Wind River Ltd., Series 2014-2A-ER (Secured Overnight Financing Rate 3 Month + 6.01%, 5.75% Floor)     11.41 % (a)(c)    01/15/2031     2,013,509  
1,000,000   THL Credit Wind River Ltd., Series 2014-3A-DR2 (Secured Overnight Financing Rate 3 Month + 3.66%, 3.40% Floor)     9.07 % (a)    10/22/2031     917,031  
1,000,000   THL Credit Wind River Ltd., Series 2017-3A-DR (Secured Overnight Financing Rate 3 Month + 4.11%, 3.85% Floor)     9.51 % (a)    04/15/2035     974,549  
1,040,000   THL Credit Wind River Ltd., Series 2017-4A-D (Secured Overnight Financing Rate 3 Month + 2.91%)     8.28 % (a)    11/20/2030     1,021,743  
1,000,000   THL Credit Wind River Ltd., Series 2021-3A-D (Secured Overnight Financing Rate 3 Month + 3.61%, 3.35% Floor)     9.03 % (a)    07/20/2033     921,462  
2,250,000   Trimaran CAVU LLC, Series 2019-1A-D (Secured Overnight Financing Rate 3 Month + 4.41%, 4.15% Floor)     9.83 % (a)    07/20/2032     2,238,878  
500,000   Trimaran CAVU LLC, Series 2019-2A-C (Secured Overnight Financing Rate 3 Month + 4.98%, 4.72% Floor)     10.38 % (a)    11/26/2032     499,878  
500,000   Venture Ltd., Series 2017-30A-C (Secured Overnight Financing Rate 3 Month + 2.21%)     7.61 % (a)    01/15/2031     483,876  
1,000,000   Voya Ltd., Series 2020-1A-DR (Secured Overnight Financing Rate 3 Month + 3.36%, 3.10% Floor)     8.76 % (a)    07/16/2034     982,803  
       

 

 

 

Total Collateralized Loan Obligations (Cost $101,764,933)

    97,957,563  
       

 

 

 

Foreign Corporate Bonds - 3.5%

 

200,000   ABM Investama Tbk PT     9.50 % (a)    08/05/2026     191,576  
177,500   Adani International Container Terminal Private Ltd.     3.00   02/16/2031     145,703  
200,000   Adani Ports & Special Economic Zone Ltd.     5.00   08/02/2041     147,931  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
314,000   Adani Transmission Step-One Ltd.     4.25   05/21/2036     253,420  
350,000   AI Candelaria Spain S.A.     5.75   06/15/2033     271,754  
200,000   Alibaba Group Holding Ltd.     3.25   02/09/2061     125,937  
200,000   Aris Mining Corporation     6.88   08/09/2026     173,897  
400,000   Banco Davivienda S.A. (10 Year CMT Rate + 5.10%)     6.65 % (f)    04/22/2031     286,500  
800,000   Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%)     7.50   04/16/2031     671,480  
200,000   Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%)     6.63 % (a)(f)    01/24/2032     170,400  
250,000   Braskem Idesa SAPI     6.99 % (a)             02/20/2032     146,584  
200,000   Braskem Netherlands Finance B.V.     5.88   01/31/2050     138,817  
250,000   BRF S.A.     5.75   09/21/2050     187,037  
150,000   Camposol S.A.     6.00   02/03/2027     104,558  
400,000   Canacol Energy Ltd.     5.75   11/24/2028     292,095  
200,000   CAP S.A.     3.90   04/27/2031     155,800  
200,000   Coruripe Netherlands B.V.     10.00   02/10/2027     153,750  
200,000   Cosan Overseas Ltd.     8.25 % (f)    02/05/2024     199,452  
450,000   Empresas Publicas de Medellin ESP     4.38   02/15/2031     368,563  
800,000   Frigorifico Concepcion S.A.     7.70 % (a)    07/21/2028     678,020  
250,000   IAMGOLD Corporation     5.75   10/15/2028     215,340  
200,000   Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.22%)     4.63 % (f)    02/27/2025     176,085  
150,000   JBS USA Luxembourg S.A.     4.38   02/02/2052     111,814  
140,000   Kawasan Industri Jababeka Tbk PT     7.50 % (a)(g)    12/15/2027     116,200  
321,840   LLPL Capital Pte Ltd.     6.88   02/04/2039     310,617  
200,000   MARB BondCo PLC     3.95   01/29/2031     162,585  
386,501   MC Brazil Downstream Trading SARL     7.25   06/30/2031     303,380  
200,000   Millicom International Cellular S.A.     4.50   04/27/2031     166,500  
400,000   Minejesa Capital B.V.     5.63   08/10/2037     351,456  
500,000   Prime Energia S.p.A.     5.38   12/30/2030     391,067  
200,000   Sasol Financing USA LLC     5.50   03/18/2031     168,672  
400,000   SierraCol Energy Andina LLC     6.00 % (a)    06/15/2028     336,976  
400,000   Simpar Europe S.A.     5.20   01/26/2031     346,930  
200,000   Thaioil Treasury Center Company Ltd.     3.75   06/18/2050     141,107  
264,128   UEP Penonome S.A.     6.50   10/01/2038     201,482  
400,000   Unigel Luxembourg S.A.     8.75 % (h)    10/01/2026     110,004  
400,000   UPL Corporation Ltd. (5 Year CMT Rate + 3.87%)     5.25 % (f)    02/27/2025     304,000  
200,000   Vedanta Resources Ltd.     6.13   08/09/2024     133,181  
       

 

 

 

Total Foreign Corporate Bonds (Cost $9,387,778)

    8,910,670  
       

 

 

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.2%

 

200,000   Banco do Brasil S.A. (10 Year CMT Rate + 4.40%)     6.25 % (f)    04/15/2024     195,646  
500,000   Colombia Government International Bond     5.00   06/15/2045     389,682  
250,000   Ecopetrol S.A.     5.88   05/28/2045     197,754  
250,000   Ecopetrol S.A.     5.88   11/02/2051     189,434  
200,000   Indonesia Asahan Aluminium Persero PT     5.80   05/15/2050     194,539  
500,000   Mexico Government International Bond     3.77   05/24/2061     340,548  
200,000   Panama Government International Bond     3.87   07/23/2060     120,285  
600,000   Petroleos del Peru S.A.     5.63   06/19/2047     370,185  
800,000   Petroleos Mexicanos     6.38   01/23/2045     522,155  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
350,000   Republic of South Africa Government Bond     5.65   09/27/2047     280,858  
200,000   Ukraine Government International Bond     9.75 % (h)    11/01/2030     58,000  
100,000   YPF S.A.     8.50 %                 06/27/2029     92,714  
       

 

 

 

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $3,458,627)

    2,951,800  
       

 

 

 

Non-Agency Commercial Mortgage Backed Obligations - 20.5%

     
2,500,000   Alen Mortgage Trust, Series 2021-ACEN-F (Secured Overnight Financing Rate 1 Month + 5.11%, 5.00% Floor)     10.48 % (a)    04/15/2034     1,015,584  
2,000,000   AREIT Trust, Series 2019-CRE3-D (Secured Overnight Financing Rate 1 Month + 2.76%, 2.76% Floor)     8.13 % (a)    09/14/2036     1,799,392  
5,843,520   BANK, Series 2020-BN26-XF     1.50 % (a)(i)    03/15/2063     403,050  
72,613,541   BANK, Series 2023-5YR1-XA     0.27 % (e)(i)    04/15/2056     832,224  
20,450,000   BANK5, Series 2023-5YR4-XA     1.20 % (e)(i)    12/15/2056     829,454  
660,000   BDS Ltd., Series 2021-FL8-E (Secured Overnight Financing Rate 1 Month + 2.36%, 2.25% Floor)     7.72 % (a)    01/18/2036     635,561  
1,000,000   Beast Mortgage Trust, Series 2021-1818-G (Secured Overnight Financing Rate 1 Month + 6.11%, 6.25% Floor)     11.48 % (a)    03/15/2036     520,781  
12,713,276   Benchmark Mortgage Trust, Series 2018-B1-XA     0.52 % (e)(i)    01/15/2051     210,022  
1,398,000   Benchmark Mortgage Trust, Series 2018-B4-D     2.75 % (a)(e)    07/15/2051     910,191  
1,012,000   BF Mortgage Trust, Series 2019-NYT-F (Secured Overnight Financing Rate 1 Month + 3.05%, 3.00% Floor)     8.66 % (a)    12/15/2035     518,025  
4,200,000   BX Commercial Mortgage Trust, Series 2019-IMC-G (Secured Overnight Financing Rate 1 Month + 3.65%, 3.60% Floor)     9.01 % (a)    04/15/2034     4,115,867  
1,000,000   BX Trust, Series 2019-OC11-E     3.94 % (a)(e)    12/09/2041     850,013  
516,671   Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (Secured Overnight Financing Rate 1 Month + 2.96%, 2.85% Floor)     8.33 % (a)    10/15/2035     458,460  
15,534,072   CD Commercial Mortgage Trust, Series 2017-CD6-XA     0.87 % (e)(i)    11/13/2050     365,779  
269,000   Citigroup Commercial Mortgage Trust, Series 2015-GC27-D     4.42 % (a)(e)    02/10/2048     225,616  
3,611,207   Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA     1.30 % (e)(i)    02/10/2048     32,740  
182,000   Citigroup Commercial Mortgage Trust, Series 2016-GC36-D     2.85 % (a)    02/10/2049     72,775  
26,400,000   Commercial Mortgage Pass-Through Trust, Series 2014-UBS3-XC     1.24 % (a)(e)(i)    06/10/2047     76,035  
1,288,300   Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-F     3.75 % (a)(c)    08/10/2047     161,079  
2,215,977   Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-G     3.75 % (a)(c)    08/10/2047     21,247  
5,000   Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-V     0.00 % (a)(c)(e)    08/10/2047     1  
27,394,000   Commercial Mortgage Pass-Through Trust, Series 2015-CR23-XD     1.05 % (a)(e)(i)    05/10/2048     380,675  
5,297,000   Commercial Mortgage Pass-Through Trust, Series 2015-CR26-XD     1.21 % (a)(e)(i)    10/10/2048     98,793  
65,902,424   Commercial Mortgage Pass-Through Trust, Series 2015-LC21-XA     0.63 % (e)(i)    07/10/2048     445,296  
885,000   CSAIL Commercial Mortgage Trust, Series 2016-C5-C     4.64 % (e)    11/15/2048     814,808  
4,179,033   CSAIL Commercial Mortgage Trust, Series 2016-C6-XA     1.86 % (e)(i)    01/15/2049     129,668  
2,000,000   CSAIL Commercial Mortgage Trust, Series 2018-CX12-C     4.72 % (e)    08/15/2051     1,634,350  
1,232,000   CSWF Trust, Series 2021-B33-A2     3.17 % (a)    10/10/2043     939,043  
400,000   DBJPM Mortgage Trust, Series 2020-C9-B     2.57   08/15/2053     303,564  
1,000,000   DOLP Trust, Series 2021-NYC-F     3.70 % (a)(e)    05/10/2041     500,145  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
1,000,000   DOLP Trust, Series 2021-NYC-G     3.70 % (a)(e)    05/10/2041     438,446  
583,000   FIVE Mortgage Trust, Series 2023-V1-E     6.40 % (a)(e)    02/10/2056     462,793  
750,000   FS Rialto, Series 2022-FL5-D (Secured Overnight Financing Rate 1 Month + 4.82%, 4.82% Floor)     10.17 % (a)    06/19/2037     730,762  
3,000,000   Great Wolf Trust, Series 2019-WOLF-F (Secured Overnight Financing Rate 1 Month + 3.25%, 3.13% Floor)     8.81 % (a)    12/15/2036     2,948,423  
1,000,000   GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (Secured Overnight Financing Rate 1 Month + 5.11%, 5.00% Floor)     10.48 % (a)    11/15/2036     932,869  
1,304,000   GS Mortgage Securities Trust, Series 2014-GC26-D     4.60 % (a)(e)    11/10/2047     933,204  
1,744,000   GS Mortgage Securities Trust, Series 2015-GC28-D     4.31 % (a)(e)    02/10/2048     1,544,745  
75,952,997   GS Mortgage Securities Trust, Series 2018-GS9-XA     0.42 % (e)(i)    03/10/2051     1,102,488  
2,000,000   JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3-D     5.53 % (a)(e)    02/15/2046     1,388,899  
1,175,000   JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON-F     4.61 % (a)(e)    07/05/2031     251,292  
1,153,000   JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-G (Secured Overnight Financing Rate 1 Month + 4.10%, 4.05% Floor)     9.46 % (a)    07/15/2036     1,090,060  
1,153,000   JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-XG     0.50 % (a)(e)(i)    07/15/2036     3,147  
8,244,971   JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC     0.55 % (a)(e)(i)    08/15/2046     281  
3,488,650   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E     4.00 % (a)(c)(e)    04/15/2047     3,006,686  
1,938,200   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F     3.75 % (a)(c)(e)    04/15/2047     1,402,729  
5,168,718   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR     3.75 % (a)(c)(e)    04/15/2047     446,315  
925,000   JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C     4.48 % (e)    09/15/2047     864,128  
2,000,000   JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-D     3.98 % (a)(e)    09/15/2047     1,728,549  
3,282,592   JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA     0.92 % (e)(i)    01/15/2048     14,387  
500,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D     3.80 % (a)(e)    02/15/2048     309,036  
180,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-C     4.19 % (e)    05/15/2048     162,103  
20,920,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XE     0.29 % (a)(e)(i)    05/15/2048     96,567  
16,358,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XD     0.50 % (a)(e)(i)    11/15/2048     114,995  
2,859,894   LSTAR Commercial Mortgage Trust, Series 2016-4-XA     1.68 % (a)(e)(i)    03/10/2049     42,535  
1,000,000   LSTAR Commercial Mortgage Trust, Series 2017-5-C     4.67 % (a)(e)    03/10/2050     799,058  
1,352,581   MF1 Ltd., Series 2021-FL6-C (Secured Overnight Financing Rate 1 Month + 1.96%, 1.85% Floor)     7.32 % (a)    07/16/2036     1,298,998  
500,000   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C     4.00 %                 12/15/2047     463,464  
2,783,174   SMR Mortgage Trust, Series 2022-IND-G (Secured Overnight Financing Rate 1 Month + 7.50%, 7.50% Floor)     12.86 % (a)    02/15/2039     2,333,906  
305,000   STWD Ltd., Series 2019-FL1-C (Secured Overnight Financing Rate 1 Month + 2.06%, 2.06% Floor)     7.43 % (a)    07/15/2038     275,075  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
758,000   TRTX Issuer Ltd., Series 2022-FL5-AS (Secured Overnight Financing Rate 30 Day Average + 2.15%, 2.15% Floor)     7.49 % (a)    02/15/2039     724,314  
857,973   TTAN, Series 2021-MHC-G (Secured Overnight Financing Rate 1 Month + 4.31%, 4.20% Floor)     9.68 % (a)    03/15/2038     824,883  
1,000,000   UBS Commercial Mortgage Trust, Series 2018-C12-C     5.04 % (e)    08/15/2051     814,150  
1,420,000   UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-C     3.75 % (a)(e)    03/10/2046     1,110,706  
824,000   UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-D     3.75 % (a)(e)    03/10/2046     523,397  
23,293,000   Wells Fargo Commercial Mortgage Trust, Series 2015-C28-XF     1.08 % (a)(e)(i)    05/15/2048     304,167  
747,000   Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-D     3.68 % (e)    12/15/2048     637,976  
1,044,000   Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C     5.06 % (e)    06/15/2049     839,743  
1,000,000   Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-C     4.43 % (e)    10/15/2049     839,052  
1,000,000   Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D     3.25 % (a)    01/15/2060     728,572  
46,428,710   Wells Fargo Commercial Mortgage Trust, Series 2018-C43-XA     0.59 % (e)(i)    03/15/2051     957,170  
       

 

 

 

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $73,090,796)

    52,790,308  
       

 

 

 

Non-Agency Residential Collateralized Mortgage Obligations - 16.7%

 

1,175,452   Adjustable Rate Mortgage Trust, Series 2006-1-2A1     5.40 % (e)    03/25/2036     606,054  
470,010   BCAP LLC Trust, Series 2010-RR6-6A2     9.30 % (a)(e)    07/26/2037     229,641  
8,706,515   BCAPB LLC Trust, Series 2007-AB1-A5     4.53 % (g)    03/25/2037     3,595,193  
1,274,467   Chase Mortgage Finance Trust, Series 2007-S1-A7     6.00 %                 02/25/2037     508,562  
1,362,255   Chase Mortgage Finance Trust, Series 2007-S3-1A5     6.00   05/25/2037     621,676  
1,301,808   CHL Mortgage Pass-Through Trust, Series 2007-4-1A35 (-1 x Secured Overnight Financing Rate 1 Month + 6.59%, 6.70% Cap)     1.23 % (i)(j)    05/25/2037     206,141  
259,071   Citigroup Mortgage Loan Trust, Inc., Series 2006-8-A4 (-3 x 1 Month LIBOR USD + 19.66%, 19.66% Cap)     4.62 % (a)(j)(o)    10/25/2035     193,232  
2,996,000   Connecticut Avenue Securities Trust, Series 2021-R01-1B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%)     11.34 % (a)    10/25/2041     3,075,317  
3,000,000   Connecticut Avenue Securities Trust, Series 2022-R01-1B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%)     11.34 % (a)    12/25/2041     3,072,560  
603,373   Countrywide Alternative Loan Trust, Series 2005-85CB-2A5 (Secured Overnight Financing Rate 1 Month + 1.21%, 1.10% Floor, 7.00% Cap)     6.57   02/25/2036     461,172  
127,423   Countrywide Alternative Loan Trust, Series 2005-85CB-2A6 (-4 x Secured Overnight Financing Rate 1 Month + 21.21%, 21.63% Cap)     1.58 % (j)    02/25/2036     103,796  
1,707,532   Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-7A1     6.00   12/25/2035     922,570  
3,165,813   CSMC Mortgage-Backed Trust, Series 2006-5-3A3     6.50   06/25/2036     627,449  
316,758   CSMC Mortgage-Backed Trust, Series 2006-9-2A1     5.50   11/25/2036     261,529  
150,985   CSMC Mortgage-Backed Trust, Series 2006-9-6A14     6.00   11/25/2036     120,331  
3,000,000   Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-HQA2-B2 (Secured Overnight Financing Rate 30 Day Average + 7.71%)     13.05 % (a)    03/25/2050     3,368,292  
2,000,000   Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-HQA2-B2 (Secured Overnight Financing Rate 30 Day Average + 5.45%)     10.79 % (a)    12/25/2033     2,079,349  
2,000,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA2-B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%)     11.34 % (a)    08/25/2033     2,242,964  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
3,000,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA6-B2 (Secured Overnight Financing Rate 30 Day Average + 7.50%)     12.84 % (a)    10/25/2041     3,160,119  
1,200,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA7-M2 (Secured Overnight Financing Rate 30 Day Average + 1.80%)     7.14 % (a)    11/25/2041     1,186,812  
3,000,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-HQA3-B2 (Secured Overnight Financing Rate 30 Day Average + 6.25%)     11.59 % (a)    09/25/2041     3,035,767  
913,159   IndyMac INDX Mortgage Loan Trust, Series 2005-AR23-6A1     3.75 % (e)    11/25/2035     844,881  
63,350   JP Morgan Alternative Loan Trust, Series 2006-S1-2A5     5.50   02/25/2025     48,568  
1,035,953   JP Morgan Resecuritization Trust, Series 2011-1-2A10     6.00 % (a)(c)(e)    06/26/2037     794,993  
189,228   Lehman Mortgage Trust, Series 2007-10-1A1     6.00   01/25/2038     180,848  
1,199,829   Lehman Mortgage Trust, Series 2007-4-1A3     5.75   05/25/2037     540,097  
655,578   RBSGC Structured Trust, Series 2008-B-A1     6.00 % (a)    06/25/2037     582,727  
511,667   Residential Accredit Loans, Inc., Series 2005-QS14-3A1     6.00 %                 09/25/2035     426,873  
1,250,636   Residential Accredit Loans, Inc., Series 2006-QS7-A3     6.00   06/25/2036     964,810  
393,206   Residential Accredit Loans, Inc., Series 2007-QS1-1A1     6.00   01/25/2037     304,827  
622,385   Residential Accredit Loans, Inc., Series 2007-QS6-A1 (Secured Overnight Financing Rate 1 Month + 0.44%, 0.33% Floor, 7.00% Cap)     5.80   04/25/2037     442,473  
658,914   Residential Accredit Loans, Inc., Series 2007-QS6-A102     5.75   04/25/2037     517,791  
141,782   Residential Accredit Loans, Inc., Series 2007-QS6-A2 (-8 x Secured Overnight Financing Rate 1 Month + 54.63%, 55.58% Cap)     10.00 % (j)    04/25/2037     184,427  
1,638,116   Residential Asset Securitization Trust, Series 2006-A6-1A12 (-1 x Secured Overnight Financing Rate 1 Month + 6.99%, 7.10% Cap)     1.63 % (i)(j)    07/25/2036     225,200  
1,619,679   Residential Asset Securitization Trust, Series 2006-A6-1A9     6.00   07/25/2036     476,734  
386,042   Residential Funding Mortgage Securities Trust, Series 2007-S2-A4     6.00   02/25/2037     286,239  
365,108   Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-2A2     4.98 % (e)    02/25/2036     303,252  
344,674   Velocity Commercial Capital Loan Trust, Series 2018-1-M4     5.01 % (a)    04/25/2048     266,798  
256,243   Velocity Commercial Capital Loan Trust, Series 2018-1-M5     6.26 % (a)    04/25/2048     192,033  
364,718   Velocity Commercial Capital Loan Trust, Series 2018-1-M6     7.26 % (a)    04/25/2048     246,802  
5,000,000   VOLT LLC, Series 2021-NPL3-A2     4.95 % (a)(g)    02/27/2051     4,308,019  
3,106,893   Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-8-A4     4.16 % (g)    10/25/2036     1,089,402  
       

 

 

 

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $54,491,105)

    42,906,320  
       

 

 

 

US Government and Agency Mortgage Backed Obligations - 21.4%

 

294,613   Federal Home Loan Mortgage Corporation REMICS, Series 3211-SI (-4 x Secured Overnight Financing Rate 30 Day Average + 27.18%, 27.67% Cap)     4.74 % (i)(j)    09/15/2036     108,190  
659,721   Federal Home Loan Mortgage Corporation REMICS, Series 3236-ES (-1 x Secured Overnight Financing Rate 30 Day Average + 6.59%, 6.70% Cap)     1.25 % (i)(j)    11/15/2036     60,582  
424,418   Federal Home Loan Mortgage Corporation REMICS, Series 3256-S (-1 x Secured Overnight Financing Rate 30 Day Average + 6.58%, 6.69% Cap)     1.24 % (i)(j)    12/15/2036     42,442  
222,474   Federal Home Loan Mortgage Corporation REMICS, Series 3292-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 5.99%, 6.10% Cap)     0.65 % (i)(j)    03/15/2037     15,811  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
2,522,315   Federal Home Loan Mortgage Corporation REMICS, Series 3297-BI (-1 x Secured Overnight Financing Rate 30 Day Average + 6.65%, 6.76% Cap)     1.31 % (i)(j)    04/15/2037     272,389  
2,212,211   Federal Home Loan Mortgage Corporation REMICS, Series 3311-BI (-1 x Secured Overnight Financing Rate 30 Day Average + 6.65%, 6.76% Cap)     1.31 % (i)(j)    05/15/2037     182,745  
1,808,313   Federal Home Loan Mortgage Corporation REMICS, Series 3311-IA (-1 x Secured Overnight Financing Rate 30 Day Average + 6.30%, 6.41% Cap)     0.96 % (i)(j)    05/15/2037     191,097  
379,176   Federal Home Loan Mortgage Corporation REMICS, Series 3314-SH (-1 x Secured Overnight Financing Rate 30 Day Average + 6.29%, 6.40% Cap)     0.95 % (i)(j)          11/15/2036     33,807  
169,325   Federal Home Loan Mortgage Corporation REMICS, Series 3330-KS (-1 x Secured Overnight Financing Rate 30 Day Average + 6.44%, 6.55% Cap)     1.10 % (i)(j)    06/15/2037     8,991  
41,984   Federal Home Loan Mortgage Corporation REMICS, Series 3339-AI (-1 x Secured Overnight Financing Rate 30 Day Average + 6.44%, 6.55% Cap)     1.10 % (i)(j)    07/15/2037     2,874  
1,339,444   Federal Home Loan Mortgage Corporation REMICS, Series 3339-TI (-1 x Secured Overnight Financing Rate 30 Day Average + 6.03%, 6.14% Cap)     0.69 % (i)(j)    07/15/2037     113,564  
514,917   Federal Home Loan Mortgage Corporation REMICS, Series 3374-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 6.34%, 6.45% Cap)     1.00 % (i)(j)    10/15/2037     37,360  
105,905   Federal Home Loan Mortgage Corporation REMICS, Series 3382-SU (-1 x Secured Overnight Financing Rate 30 Day Average + 6.19%, 6.30% Cap)     0.85 % (i)(j)    11/15/2037     6,575  
2,337,486   Federal Home Loan Mortgage Corporation REMICS, Series 3404-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap)     0.55 % (i)(j)    01/15/2038     211,551  
105,259   Federal Home Loan Mortgage Corporation REMICS, Series 3423-GS (-1 x Secured Overnight Financing Rate 30 Day Average + 5.54%, 5.65% Cap)     0.20 % (i)(j)    03/15/2038     6,178  
1,627,400   Federal Home Loan Mortgage Corporation REMICS, Series 3435-S (-1 x Secured Overnight Financing Rate 30 Day Average + 5.87%, 5.98% Cap)     0.53 % (i)(j)    04/15/2038     144,816  
75,816   Federal Home Loan Mortgage Corporation REMICS, Series 3508-PS (-1 x Secured Overnight Financing Rate 30 Day Average + 6.54%, 6.65% Cap)     1.20 % (i)(j)    02/15/2039     5,295  
551,040   Federal Home Loan Mortgage Corporation REMICS, Series 3728-SV (-1 x Secured Overnight Financing Rate 30 Day Average + 4.34%, 0.00% Floor, 4.45% Cap)     0.00 % (i)(j)    09/15/2040     19,259  
5,047,045   Federal Home Loan Mortgage Corporation REMICS, Series 3736-SN (-1 x Secured Overnight Financing Rate 30 Day Average + 5.94%, 6.05% Cap)     0.60 % (i)(j)    10/15/2040     494,663  
1,779,521   Federal Home Loan Mortgage Corporation REMICS, Series 3753-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap)     0.55 % (i)(j)    11/15/2040     190,414  
2,044,879   Federal Home Loan Mortgage Corporation REMICS, Series 3780-SM (-1 x Secured Overnight Financing Rate 30 Day Average + 6.39%, 6.50% Cap)     1.05 % (i)(j)    12/15/2040     197,235  
723,679   Federal Home Loan Mortgage Corporation REMICS, Series 3815-ST (-1 x Secured Overnight Financing Rate 30 Day Average + 5.74%, 5.85% Cap)     0.40 % (i)(j)    02/15/2041     54,994  
1,174,966   Federal Home Loan Mortgage Corporation REMICS, Series 3905-SC (-5 x Secured Overnight Financing Rate 30 Day Average + 22.18%, 0.00% Floor, 22.75% Cap)     0.00 % (j)    08/15/2041     1,140,260  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
739,646   Federal Home Loan Mortgage Corporation REMICS, Series 3924-SJ (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap)     0.55 % (i)(j)          09/15/2041     68,316  
1,427,894   Federal Home Loan Mortgage Corporation REMICS, Series 3960-ES (-1 x Secured Overnight Financing Rate 30 Day Average + 5.84%, 5.95% Cap)     0.50 % (i)(j)    11/15/2041     116,026  
1,579,214   Federal Home Loan Mortgage Corporation REMICS, Series 4291-MS (-1 x Secured Overnight Financing Rate 30 Day Average + 5.79%, 5.90% Cap)     0.45 % (i)(j)    01/15/2054     134,521  
153,959   Federal Home Loan Mortgage Corporation REMICS, Series 4610-IB     3.00 % (i)    06/15/2041     1,724  
12,405,386   Federal Home Loan Mortgage Corporation REMICS, Series 5100-DS (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 0.00% Floor, 2.50% Cap)     0.00 % (i)(j)    05/25/2051     110,501  
9,983,592   Federal Home Loan Mortgage Corporation REMICS, Series 5112-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 0.00% Floor, 2.50% Cap)     0.00 % (i)(j)    06/25/2051     100,703  
30,895,330   Federal Home Loan Mortgage Corporation, Series 2021-P009-X     1.37 % (e)(i)    01/25/2031     1,232,387  
36,219   Federal National Mortgage Association REMICS, Series 2005-72-WS (-1 x Secured Overnight Financing Rate 30 Day Average + 6.64%, 6.75% Cap)     1.30 % (i)(j)    08/25/2035     2,168  
208,289   Federal National Mortgage Association REMICS, Series 2005-90-SP (-1 x Secured Overnight Financing Rate 30 Day Average + 6.64%, 6.75% Cap)     1.30 % (i)(j)    09/25/2035     2,955  
221,147   Federal National Mortgage Association REMICS, Series 2006-117-SQ (-1 x Secured Overnight Financing Rate 30 Day Average + 6.44%, 6.55% Cap)     1.10 % (i)(j)    12/25/2036     16,303  
77,217   Federal National Mortgage Association REMICS, Series 2006-119-HS (-1 x Secured Overnight Financing Rate 30 Day Average + 6.54%, 6.65% Cap)     1.20 % (i)(j)    12/25/2036     7,365  
2,350,138   Federal National Mortgage Association REMICS, Series 2006-123-CI (-1 x Secured Overnight Financing Rate 30 Day Average + 6.63%, 6.74% Cap)     1.29 % (i)(j)    01/25/2037     258,948  
1,207,536   Federal National Mortgage Association REMICS, Series 2007-15-BI (-1 x Secured Overnight Financing Rate 30 Day Average + 6.59%, 6.70% Cap)     1.25 % (i)(j)    03/25/2037     107,010  
214,232   Federal National Mortgage Association REMICS, Series 2007-20-S (-1 x Secured Overnight Financing Rate 30 Day Average + 6.63%, 6.74% Cap)     1.29 % (i)(j)    03/25/2037     13,049  
142,271   Federal National Mortgage Association REMICS, Series 2007-21-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 6.37%, 6.48% Cap)     1.03 % (i)(j)    03/25/2037     8,557  
607,364   Federal National Mortgage Association REMICS, Series 2007-30-IE (-1 x Secured Overnight Financing Rate 30 Day Average + 6.63%, 6.74% Cap)     1.29 % (i)(j)    04/25/2037     71,636  
1,390,988   Federal National Mortgage Association REMICS, Series 2007-32-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 5.99%, 6.10% Cap)     0.65 % (i)(j)    04/25/2037     123,015  
512,721   Federal National Mortgage Association REMICS, Series 2007-40-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 5.99%, 6.10% Cap)     0.65 % (i)(j)    05/25/2037     36,644  
98,429   Federal National Mortgage Association REMICS, Series 2007-48-SE (-1 x Secured Overnight Financing Rate 30 Day Average + 5.99%, 6.10% Cap)     0.65 % (i)(j)    05/25/2037     5,515  
155,695   Federal National Mortgage Association REMICS, Series 2007-64-LI (-1 x Secured Overnight Financing Rate 30 Day Average + 6.45%, 6.56% Cap)     1.11 % (i)(j)    07/25/2037     12,086  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
63,004   Federal National Mortgage Association REMICS, Series 2007-68-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 6.54%, 6.65% Cap)     1.20 % (i)(j)    07/25/2037     5,192  
3,023,315   Federal National Mortgage Association REMICS, Series 2007-75-PI (-1 x Secured Overnight Financing Rate 30 Day Average + 6.43%, 6.54% Cap)     1.09 % (i)(j)    08/25/2037     284,001  
1,530,239   Federal National Mortgage Association REMICS, Series 2008-33-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap)     0.55 % (i)(j)    04/25/2038     135,079  
1,404,974   Federal National Mortgage Association REMICS, Series 2008-42-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 5.79%, 5.90% Cap)     0.45 % (i)(j)    05/25/2038     96,193  
343,222   Federal National Mortgage Association REMICS, Series 2008-5-GS (-1 x Secured Overnight Financing Rate 30 Day Average + 6.14%, 6.25% Cap)     0.80 % (i)(j)    02/25/2038     31,384  
771,123   Federal National Mortgage Association REMICS, Series 2008-62-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 5.94%, 6.05% Cap)     0.60 % (i)(j)    07/25/2038     57,110  
565,821   Federal National Mortgage Association REMICS, Series 2008-68-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 5.99%, 6.10% Cap)     0.65 % (i)(j)    08/25/2038     43,661  
80,767   Federal National Mortgage Association REMICS, Series 2009-111-SE (-1 x Secured Overnight Financing Rate 30 Day Average + 6.14%, 6.25% Cap)     0.80 % (i)(j)    01/25/2040     8,516  
481,864   Federal National Mortgage Association REMICS, Series 2009-12-CI (-1 x Secured Overnight Financing Rate 30 Day Average + 6.49%, 6.60% Cap)     1.15 % (i)(j)    03/25/2036     33,511  
87,080   Federal National Mortgage Association REMICS, Series 2009-47-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 5.99%, 6.10% Cap)     0.65 % (i)(j)    07/25/2039     5,797  
105,214   Federal National Mortgage Association REMICS, Series 2009-48-WS (-1 x Secured Overnight Financing Rate 30 Day Average + 5.84%, 5.95% Cap)     0.50 % (i)(j)    07/25/2039     8,587  
64,896   Federal National Mortgage Association REMICS, Series 2009-67-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 5.04%, 0.25% Floor, 5.15% Cap)     0.25 % (i)(j)    07/25/2037     2,736  
284,607   Federal National Mortgage Association REMICS, Series 2009-87-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap)     0.55 % (i)(j)    11/25/2049     29,132  
3,909,517   Federal National Mortgage Association REMICS, Series 2009-90-QI (-1 x Secured Overnight Financing Rate 30 Day Average + 6.49%, 6.60% Cap)     1.15 % (i)(j)    08/25/2036     344,732  
463,475   Federal National Mortgage Association REMICS, Series 2009-91-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 6.04%, 6.15% Cap)     0.70 % (i)(j)          11/25/2039     38,633  
91,208   Federal National Mortgage Association REMICS, Series 2010-115-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 6.49%, 6.60% Cap)     1.15 % (i)(j)    11/25/2039     8,076  
109,231   Federal National Mortgage Association REMICS, Series 2010-11-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 4.69%, 0.00% Floor, 4.80% Cap)     0.00 % (i)(j)    02/25/2040     5,378  
44,925   Federal National Mortgage Association REMICS, Series 2010-134-SE (-1 x Secured Overnight Financing Rate 30 Day Average + 6.54%, 6.65% Cap)     1.20 % (i)(j)    12/25/2025     112  
3,225,659   Federal National Mortgage Association REMICS, Series 2010-142-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 6.49%, 6.60% Cap)     1.15 % (i)(j)    12/25/2040     368,545  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
524,749   Federal National Mortgage Association REMICS, Series 2010-15-SL (-1 x Secured Overnight Financing Rate 30 Day Average + 4.84%, 0.00% Floor, 4.95% Cap)     0.00 % (i)(j)    03/25/2040     30,575  
158,205   Federal National Mortgage Association REMICS, Series 2010-19-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 5.29%, 0.00% Floor, 5.40% Cap)     0.00 % (i)(j)    03/25/2050     12,279  
389,124   Federal National Mortgage Association REMICS, Series 2010-31-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 4.89%, 0.00% Floor, 5.00% Cap)     0.00 % (i)(j)    04/25/2040     26,593  
696,244   Federal National Mortgage Association REMICS, Series 2010-39-SL (-1 x Secured Overnight Financing Rate 30 Day Average + 5.56%, 5.67% Cap)     0.22 % (i)(j)    05/25/2040     48,980  
98,140   Federal National Mortgage Association REMICS, Series 2010-8-US (-1 x Secured Overnight Financing Rate 30 Day Average + 4.69%, 0.00% Floor, 4.80% Cap)     0.00 % (i)(j)    02/25/2040     2,523  
111,800   Federal National Mortgage Association REMICS, Series 2010-9-GS (-1 x Secured Overnight Financing Rate 30 Day Average + 4.64%, 0.00% Floor, 4.75% Cap)     0.00 % (i)(j)    02/25/2040     4,190  
584,006   Federal National Mortgage Association REMICS, Series 2011-114-S (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap)     0.55 % (i)(j)    09/25/2039     55,910  
803,216   Federal National Mortgage Association REMICS, Series 2011-146-US (-1 x Secured Overnight Financing Rate 30 Day Average + 6.84%, 0.00% Floor, 7.00% Cap)     0.00 % (j)    01/25/2042     609,345  
150,190   Federal National Mortgage Association REMICS, Series 2012-29-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap)     0.55 % (i)(j)          04/25/2042     12,176  
1,210,645   Federal National Mortgage Association REMICS, Series 2012-56-SN (-1 x Secured Overnight Financing Rate 30 Day Average + 5.94%, 6.05% Cap)     0.60 % (i)(j)    06/25/2042     101,021  
1,389,575   Federal National Mortgage Association REMICS, Series 2012-76-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap)     0.55 % (i)(j)    07/25/2042     151,072  
1,386,415   Federal National Mortgage Association REMICS, Series 2013-83-US (-1 x Secured Overnight Financing Rate 30 Day Average + 4.89%, 0.00% Floor, 5.00% Cap)     0.00 % (j)    08/25/2043     967,794  
3,912,791   Federal National Mortgage Association REMICS, Series 2016-64-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 5.89%, 6.00% Cap)     0.55 % (i)(j)    09/25/2046     475,556  
3,341,341   Federal National Mortgage Association REMICS, Series 2020-61-DI     3.00 % (i)    09/25/2060     533,459  
15,519,314   Federal National Mortgage Association REMICS, Series 2021-17-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.00%, 0.00% Floor, 2.00% Cap)     0.00 % (i)(j)    04/25/2051     265,705  
5,044,702   Federal National Mortgage Association REMICS, Series 2021-3-KI     2.50 % (i)    02/25/2051     685,665  
4,431,490  

Federal National Mortgage Association REMICS,

Series 2021-56-WI

    2.50 % (i)    09/25/2051     553,093  
14,397,603   Federal National Mortgage Association, Series 2019-M26-X1     0.60 % (e)(i)    03/25/2030     360,149  
14,012,720   Federal National Mortgage Association, Series 2020-M27-X1     0.87 % (e)(i)    03/25/2031     539,478  
145,269   Federal National Mortgage Association, Series 374-19     6.50 % (i)    09/25/2036     27,513  
600,529   FREMF Mortgage Trust, Series 2015-KF07-B (Secured Overnight Financing Rate 30 Day Average + 5.06%)     10.40 % (a)    02/25/2025     594,039  
543,955   FREMF Mortgage Trust, Series 2016-KF25-B (Secured Overnight Financing Rate 30 Day Average + 5.11%, 5.00% Floor)     10.45 % (a)    01/25/2024     546,229  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
738,060   FREMF Mortgage Trust, Series 2018-KF56-C (Secured Overnight Financing Rate 30 Day Average + 5.91%, 5.80% Floor)     11.25 % (a)    11/25/2028     638,402  
1,123,087   FREMF Mortgage Trust, Series 2019-KF71-C (Secured Overnight Financing Rate 30 Day Average + 6.11%, 6.00% Floor)     11.45 % (a)    10/25/2029     1,070,416  
12,032,021   Government National Mortgage Association REMICS, Series 2021-209-MI     3.00 % (i)    11/20/2051     1,772,052  
357,562   Government National Mortgage Association, Series 2009-104-SD (-1 x Secured Overnight Financing Rate 1 Month + 6.24%, 6.35% Cap)     0.88 % (i)(j)          11/16/2039     33,196  
42,214   Government National Mortgage Association, Series 2010-98-IA     5.45 % (e)(i)    03/20/2039     1,855  
382,039   Government National Mortgage Association, Series 2011-69-SB (-1 x Secured Overnight Financing Rate 1 Month + 5.24%, 0.00% Floor, 5.35% Cap)     0.00 % (i)(j)    05/20/2041     30,633  
638,409   Government National Mortgage Association, Series 2011-71-SG (-1 x Secured Overnight Financing Rate 1 Month + 5.29%, 0.00% Floor, 5.40% Cap)     0.00 % (i)(j)    05/20/2041     46,598  
683,701   Government National Mortgage Association, Series 2011-72-AS (-1 x Secured Overnight Financing Rate 1 Month + 5.27%, 0.00% Floor, 5.38% Cap)     0.00 % (i)(j)    05/20/2041     53,859  
812,260   Government National Mortgage Association, Series 2011-89-SA (-1 x Secured Overnight Financing Rate 1 Month + 5.34%, 0.00% Floor, 5.45% Cap)     0.00 % (i)(j)    06/20/2041     60,492  
5,731,069   Government National Mortgage Association, Series 2012-26-SP (-1 x Secured Overnight Financing Rate 1 Month + 6.54%, 6.65% Cap)     1.18 % (i)(j)    02/20/2042     719,838  
445,208   Government National Mortgage Association, Series 2012-34-LI (-20 x Secured Overnight Financing Rate 1 Month + 119.71%, 6.00% Cap)     6.00 % (i)(j)    12/16/2039     79,884  
4,274,466   Government National Mortgage Association, Series 2013-119-TZ     3.00   08/20/2043     3,830,983  
2,512,142   Government National Mortgage Association, Series 2014-39-SK (-1 x Secured Overnight Financing Rate 1 Month + 6.09%, 6.20% Cap)     0.73 % (i)(j)    03/20/2044     270,353  
4,305,954   Government National Mortgage Association, Series 2014-59-DS (-1 x Secured Overnight Financing Rate 1 Month + 6.14%, 6.25% Cap)     0.78 % (i)(j)    04/16/2044     415,654  
3,687,067   Government National Mortgage Association, Series 2014-63-SD (-1 x Secured Overnight Financing Rate 1 Month + 5.44%, 5.55% Cap)     0.08 % (i)(j)    04/20/2044     425,463  
1,739,105   Government National Mortgage Association, Series 2014-69-ST (-1 x Secured Overnight Financing Rate 1 Month + 5.99%, 6.10% Cap)     0.63 % (i)(j)    12/16/2039     156,935  
2,537,216   Government National Mortgage Association, Series 2015-148-BS (-1 x Secured Overnight Financing Rate 1 Month + 5.58%, 5.69% Cap)     0.22 % (i)(j)    10/20/2045     232,629  
7,095,383   Government National Mortgage Association, Series 2015-158-SK (-1 x Secured Overnight Financing Rate 1 Month + 6.09%, 6.20% Cap)     0.73 % (i)(j)    11/20/2045     843,945  
8,184,154   Government National Mortgage Association, Series 2018-111-SA (-1 x Secured Overnight Financing Rate 1 Month + 4.44%, 0.00% Floor, 4.55% Cap)     0.00 % (i)(j)    08/20/2048     385,354  
22,874,259   Government National Mortgage Association, Series 2018-48-SD (-1 x Secured Overnight Financing Rate 1 Month + 3.79%, 0.00% Floor, 3.90% Cap)     0.00 % (i)(j)    04/20/2048     634,635  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
6,888,293   Government National Mortgage Association, Series 2020-115-SC (-1 x Secured Overnight Financing Rate 1 Month + 4.09%, 0.00% Floor, 4.20% Cap)     0.00 % (i)(j)          08/20/2050     328,446  
9,731,738   Government National Mortgage Association, Series 2020-129-IW     2.50 % (i)    09/20/2050     1,325,784  
5,655,321   Government National Mortgage Association, Series 2020-129-SE (-1 x Secured Overnight Financing Rate 1 Month + 3.64%, 0.00% Floor, 3.75% Cap)     0.00 % (i)(j)    09/20/2050     107,434  
16,665,138   Government National Mortgage Association, Series 2020-138-IC     3.50 % (i)    08/20/2050     2,679,254  
6,194,181   Government National Mortgage Association, Series 2020-138-IL     3.50 % (i)    09/20/2050     1,029,594  
10,412,561   Government National Mortgage Association, Series 2020-173-MI     2.50 % (i)    11/20/2050     1,413,794  
7,802,790   Government National Mortgage Association, Series 2020-175-KI     2.50 % (i)    11/20/2050     1,065,790  
2,956,375   Government National Mortgage Association, Series 2020-187-SB (-1 x Secured Overnight Financing Rate 1 Month + 6.19%, 6.30% Cap)     0.83 % (i)(j)    12/20/2050     415,849  
5,019,346   Government National Mortgage Association, Series 2020-196-DI     2.50 % (i)    12/20/2050     609,475  
8,528,274   Government National Mortgage Association, Series 2021-107-IL     3.00 % (i)    06/20/2051     1,309,525  
6,851,401   Government National Mortgage Association, Series 2021-107-SA (-1 x Secured Overnight Financing Rate 1 Month + 3.64%, 0.00% Floor, 3.75% Cap)     0.00 % (i)(j)    06/20/2051     298,988  
4,221,814   Government National Mortgage Association, Series 2021-116-XI     3.50 % (i)    03/20/2051     723,057  
3,716,156   Government National Mortgage Association, Series 2021-125-AS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.25%, 0.00% Floor, 3.25% Cap)     0.00 % (i)(j)    07/20/2051     45,544  
7,057,128   Government National Mortgage Association, Series 2021-130-DI     3.00 % (i)    07/20/2051     1,053,941  
7,139,177   Government National Mortgage Association, Series 2021-158-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 3.70%, 0.00% Floor, 3.70% Cap)     0.00 % (i)(j)    09/20/2051     217,065  
17,987,474   Government National Mortgage Association, Series 2021-194-IN     3.00 % (i)    11/20/2051     2,842,285  
14,040,998   Government National Mortgage Association, Series 2021-221-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 3.80%, 0.00% Floor, 3.80% Cap)     0.00 % (i)(j)    12/20/2051     401,052  
10,637,556   Government National Mortgage Association, Series 2021-221-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 3.80%, 0.00% Floor, 3.80% Cap)     0.00 % (i)(j)    12/20/2051     290,624  
11,048,456   Government National Mortgage Association, Series 2021-24-XI     2.00 % (i)    02/20/2051     1,129,584  
8,682,223   Government National Mortgage Association, Series 2021-46-DS (-1 x Secured Overnight Financing Rate 1 Month + 2.69%, 0.00% Floor, 2.80% Cap)     0.00 % (i)(j)    03/20/2051     93,974  
4,787,602   Government National Mortgage Association, Series 2021-58-SJ (-1 x Secured Overnight Financing Rate 1 Month + 6.19%, 6.30% Cap)     0.83 % (i)(j)    04/20/2051     548,733  
35,465,597   Government National Mortgage Association, Series 2021-59-S (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 0.00% Floor, 2.60% Cap)     0.00 % (i)(j)    04/20/2051     437,259  


Principal Amount
$/Shares

 

Security Description

  Rate    

Maturity

    Value $    
15,052,383   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)     0.50 % (i)(j)          04/20/2051     385,857  
7,934,850   Government National Mortgage Association, Series 2021-77-IH     2.50 % (i)    05/20/2051     870,126  
13,938,150   Government National Mortgage Association, Series 2021-78-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 0.00% Floor, 2.60% Cap)     0.00 % (i)(j)    05/20/2051     163,064  
7,457,514   Government National Mortgage Association, Series 2021-7-IQ     2.50 % (i)    01/20/2051     946,397  
15,059,486   Government National Mortgage Association, Series 2021-97-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 0.00% Floor, 2.60% Cap)     0.00 % (i)(j)    06/20/2051     205,392  
27,160,894   Government National Mortgage Association, Series 2021-9-MI     2.50 % (i)    01/20/2051     3,718,568  
9,700,518   Government National Mortgage Association, Series 2021-H04-BI     0.99 % (e)(i)    02/01/2071     498,156  
11,056,143   Government National Mortgage Association, Series 2021-H07-AI     0.02 % (e)(i)    05/20/2071     509,741  
16,040,933   Government National Mortgage Association, Series 2022-22-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 3.60%, 0.00% Floor, 3.60% Cap)     0.00 % (i)(j)    08/20/2050     355,291  
6,387,504   Government National Mortgage Association, Series 2022-25-EI     3.00 % (i)    02/20/2052     901,265  
16,908,113   Government National Mortgage Association, Series 2022-83-IO     2.50 % (i)    11/20/2051     2,231,509  
       

 

 

 

Total US Government and Agency Mortgage Backed Obligations (Cost $67,816,823)

    54,935,833  
       

 

 

 

US Government and Agency Obligations - 2.3%

 

6,000,000   United States Treasury Notes     3.13 %                 08/15/2025     5,881,406  
       

 

 

 

Total US Government and Agency Obligations (Cost $5,959,516)

    5,881,406  
       

 

 

 

Common Stocks - 0.0% (m)

 

2,528   Riverbed - Class B (c)(k)         329  
       

 

 

 

Total Common Stocks (Cost $0)

    329  
       

 

 

 

Short Term Investments - 1.5%

 

1,297,037   First American Government Obligations Fund - Class U     5.30 % (l)        1,297,037  
1,297,038   JP Morgan U.S. Government Money Market Fund - Institutional Share Class     5.29 % (l)        1,297,038  
1,297,038   Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class     5.27 % (l)        1,297,038  
       

 

 

 

Total Short Term Investments (Cost $3,891,113)

    3,891,113  
       

 

 

 

Total Investments - 115.4% (Cost $347,799,967) (n)

    296,395,675  
Liabilities in Excess of Other Assets - (15.4)%     (39,461,936
       

 

 

 

NET ASSETS - 100.0%

  $ 256,933,739  
       

 

 

 


  (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)

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.

 

 

  (c)

Value determined using significant unobservable inputs.

 

 

  (d)

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.

 

 

  (e)

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.

 

 

  (f)

Perpetual maturity. The date disclosed is the next call date of the security.

 

 

  (g)

Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.

 

 

  (h)

Security is in default or has failed to make a scheduled payment. Income is not being accrued.

 

 

  (i)

Interest only security

 

 

  (j)

Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.

 

 

  (k)

Non-income producing security

 

 

  (l)

Seven-day yield as of period end

 

 

  (m)

Represents less than 0.05% of net assets

 

 

  (n)

Under the Fund’s credit agreement, the lender, through its agent, has been granted a security interest in all of the Fund’s investments in consideration of the Fund’s borrowing under the line of credit with the lender.

 

 

  (o)

Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.

 

 

  PIK

A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings.

 


SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Collateralized Loan Obligations

    38.1%  

US Government and Agency Mortgage Backed Obligations

    21.4%  

Non-Agency Commercial Mortgage Backed Obligations

    20.5%  

Non-Agency Residential Collateralized Mortgage Obligations

    16.7%  

Bank Loans

    8.7%  

Foreign Corporate Bonds

    3.5%  

US Government and Agency Obligations

    2.3%  

Asset Backed Obligations

    1.5%  

Short Term Investments

    1.5%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

    1.2%  

Common Stocks

    0.0%  (m) 

Other Assets and Liabilities

    (15.4)%  
 

 

 

 
       100.0%  
 

 

 

 
 

 

 

 


INVESTMENT BREAKDOWN as a % of Net Assets:

 

Collateralized Loan Obligations

    38.1%  

US Government and Agency Mortgage Backed Obligations

    21.4%  

Non-Agency Commercial Mortgage Backed Obligations

    20.5%  

Non-Agency Residential Collateralized Mortgage Obligations

    16.7%  

US Government and Agency Obligations

    2.3%  

Electronics/Electric

    1.5%  

Asset Backed Obligations

    1.5%  

Short Term Investments

    1.5%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

    1.2%  

Energy

    1.0%  

Healthcare

    1.0%  

Chemicals/Plastics

    1.0%  

Business Equipment and Services

    0.8%  

Utilities

    0.7%  

Consumer Products

    0.6%  

Media

    0.6%  

Banking

    0.5%  

Transportation

    0.5%  

Building and Development (including Steel/Metals)

    0.5%  

Insurance

    0.4%  

Retailers (other than Food/Drug)

    0.4%  

Financial Intermediaries

    0.4%  

Mining

    0.3%  

Hotels/Motels/Inns and Casinos

    0.2%  

Leisure

    0.2%  

Food Service

    0.2%  

Telecommunications

    0.2%  

Containers and Glass Products

    0.2%  

Automotive

    0.2%  

Aerospace & Defense

    0.2%  

Chemical Products

    0.2%  

Industrial Equipment

    0.1%  

Cosmetics/Toiletries

    0.1%  

Technology

    0.1%  

Real Estate

    0.1%  

Commercial Services

    0.0%  (m) 

Other Assets and Liabilities

    (15.4)%  
 

 

 

 
       100.0%  
 

 

 

 


Notes to Schedule of Investments

December 31, 2023 (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 fund’s 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 Fund’s 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 1—Unadjusted quoted market prices in active markets for identical securities

 

Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data

 

Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions)

Valuations for domestic and foreign fixed income securities are normally determined on the basis of evaluations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3. Assets and liabilities may be transferred between levels.

 

Fixed-income class

  

Examples of Inputs

All    Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)
Corporate bonds and notes; convertible securities    Standard inputs and underlying equity of the issuer
US bonds and notes of government and government agencies    Standard inputs
Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations)    Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports
Bank loans    Standard inputs

Investments in registered open-end management investment companies will be valued based upon the NAV of such investments and are categorized as Level 1 of the fair value hierarchy.

Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as forward currency exchange contracts, options contracts, or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of valuations obtained from counterparties, published index closing levels or evaluated prices supplied by independent pricing services, some or all of which may be based on market data from trading on exchanges that closed significantly before the time as of which the Fund calculates its NAV. Forward foreign currency contracts are generally valued based on rates provided by independent data providers. Exchange


traded futures and options on futures are generally valued at the settlement price determined by the relevant exchange on which they principally trade, and exchange traded options are generally valued at the last trade price on the exchange on which they principally trade. The Fund does not normally take into account trading, clearances or settlements that take place after the close of the principal exchange or market on which such securities are traded. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.

The Fund’s holdings in whole loans, securitizations and certain other types of alternative lending-related instruments may be valued based on prices provided by a third-party pricing service.

Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by an independent pricing service.Where an active secondary market does not exist to a reliable degree in the judgment of DoubleLine Capital LP (the “Adviser” or “DoubleLine Capital”), such loans will be valued at fair value based on certain factors.

In respect of certain commercial real estate-related, residential real estate-related and certain other investments for which a limited market may exist, the Valuation Designee (as defined below) may value such investments based on appraisals conducted by an independent valuation advisor or a similar pricing agent. However, an independent valuation firm may not be retained to undertake an evaluation of an asset unless the NAV, market price and other aspects of an investment exceed certain significance thresholds.

The Board of Trustees has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated the Adviser as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

The following is a summary of the fair valuations according to the inputs used to value the Fund's investments as of December 31, 2023:

 

Category

 

 

 

Investments in Securities

 

Level 1

 

Short Term Investments

  $ 3,891,113  

 

 

 

 

 

Total Level 1

    3,891,113  

Level 2

 

Collateralized Loan Obligations

    94,697,588  

US Government and Agency Mortgage Backed Obligations

    54,935,833  

Non-Agency Commercial Mortgage Backed Obligations

    47,752,251  

Non-Agency Residential Collateralized Mortgage Obligations

    42,111,327  

Bank Loans

    22,171,648  

Foreign Corporate Bonds

    8,910,670  

US Government and Agency Obligations

    5,881,406  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

    2,951,800  

Asset Backed Obligations

    2,921,369  

 

 

 

 

 

Total Level 2

    282,333,892  

Level 3

 

Non-Agency Commercial Mortgage Backed Obligations

    5,038,057  

Collateralized Loan Obligations

    3,259,975  

Asset Backed Obligations

    989,830  

Non-Agency Residential Collateralized Mortgage Obligations

    794,993  

Bank Loans

    87,486  

Common Stocks

    329  

 

 

 

 

 

Total Level 3

    10,170,670  

 

 

 

 

 

Total

  $   296,395,675  

 

 

 

 

 

See the Schedule of Investments for further disaggregation of investment categories.


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

 

     Fair Value
as of
September 30,
2023
    Net
Realized
Gain
(Loss)
    Net Change in
Unrealized
Appreciation
(Depreciation)(c)
    Net Accretion
(Amortization)
    Purchases(a)     Sales (b)     Transfers
Into
Level 3(d)
    Transfers
Out of
Level 3(d)
    Fair
Value as
of
December 31,
2023
    Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
December 31,
2023(c)
 

Investments in Securities

                   

Non-Agency Commercial Mortgage Backed Obligations

  $ 4,816,812     $ —      $ 133,720     $ 87,525     $ —      $ —      $ —      $ —      $ 5,038,057     $ 133,720  

Collateralized Loan Obligations

    3,205,252       —        54,723       —        —        —        —        —        3,259,975       54,723  

Asset Backed Obligations

    1,133,331       —        (111,717     —        —        (31,784     —        —        989,830       (117,927

Non-Agency Residential Collateralized Mortgage Obligations

    772,425       193       31,220       725       —        (9,570     —        —        794,993       28,916  

Bank Loans

    87,760       77       (1,094     1,017       —        (274     —        —        87,486       (1,014

Common Stocks

    163,882       (32,208     24,668       —        —        (156,013     —        —        329       —   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 10,179,462     $ (31,938   $ 131,520     $ 89,267     $ —      $ (197,641   $ —      $ —      $ 10,170,670     $ 98,418  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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, 2023 may be due to a security that was not held or categorized as Level 3 at either period end.

(d) 

Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments.

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

 

      Fair
Value as
of
December 31,
2023
     Valuation
Techniques
   Unobservable
Input
   Unobservable Input Values
(Weighted Average)(e)
     Impact to valuation from an
increase to input

Non-Agency Commercial Mortgage Backed Obligations

   $ 5,038,057      Market Comparables    Market Quotes      $0.01 - $86.18 ($72.75)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Collateralized Loan Obligations

   $ 3,259,975      Market Comparables    Market Quotes      $25.36 - $80.54 ($70.45)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Asset Backed Obligations

   $ 989,830      Market Comparables    Market Quotes      $14.67 - $1,119.29 ($376.34)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Non-Agency Residential Collateralized Mortgage Obligations

   $ 794,993      Market Comparables    Market Quotes      $76.74 ($76.74)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Bank Loans

   $ 87,486      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

Common Stocks

   $ 329      Market Comparables    Market Quotes      $0.13 ($0.13)      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.