NPORT-EX 2 StructuredCredit_Schedule_F.htm SCHEDULE F HTML

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

September 30, 2020

 

Description                    Par Value      Fair Value  

ASSET-BACKED SECURITIES (A) — 100.4%

      

CAYMAN ISLANDS — 81.8%

      

ABPCI Direct Lending Fund CLO I, Ser 2019-1A, Cl CR

      

4.738%, VAR ICE LIBOR USD 3 Month+4.520% 07/20/29 (B)

            $         12,466,000      $             11,462,362  

ABPCI Direct Lending Fund CLO V, Ser 2019-5A, Cl C

      

5.218%, VAR ICE LIBOR USD 3 Month+5.000% 04/20/31 (B)

      11,000,000        9,944,660  

ABPCI Direct Lending Fund CLO VII, Ser 2019-7A, Cl C2

      

5.968%, VAR ICE LIBOR USD 3 Month+5.750% 10/20/31 (B)

      4,300,000        4,021,962  

Apex Credit CLO, Ser 2018-2A, Cl E

      

6.802%, VAR ICE LIBOR USD 3 Month+6.530% 10/20/31 (B)

      14,300,000        9,295,000  

Apex Credit CLO, Ser 2018-2A, Cl F

      

9.252%, VAR ICE LIBOR USD 3 Month+8.980% 10/20/31 (B)

      7,600,000        4,180,000  

Ares XXXIV CLO, Ser 2015-2A, Cl SUB

      

04/17/33 (B)(C)

      15,187,000        7,897,240  

Ares XXXIV CLO, Ser 2020-2A, Cl FR

      

8.873%, VAR ICE LIBOR USD 3 Month+8.600% 04/17/33 (B)

      11,250,000        7,875,000  

B&M CLO, Ser 2014-1A, Cl E

      

6.021%, VAR ICE LIBOR USD 3 Month+5.750% 04/16/26 (B)

      5,250,000        2,572,500  

Battalion CLO 18, Ser 2020-18A, Cl E

      

10/15/32 (C)

      5,000,000        4,900,000  

Battalion CLO VII, Ser 2014-7A, Cl SUB

      

07/17/28 (B)(C)

      12,746,000        3,313,960  

Battalion CLO VIII, Ser 2020-8A, Cl D1R2

      

6.968%, VAR ICE LIBOR USD 3 Month+6.750% 07/18/30 (B)

      10,990,000        9,778,902  

Battalion CLO X, Ser 2016-10A, Cl SUB

      

01/24/29 (B)(C)

      25,270,000        16,172,800  

Battalion CLO XI, Ser 2017-11A, Cl SUB

      

10/24/29 (B)(C)

      38,324,300        27,593,496  

Battalion CLO XII, Ser 2018-12A, Cl SUB

      

05/17/31 (B)(C)

      46,533,517        30,712,121  

Battalion CLO XIV, Ser 2019-14A, Cl SUB

      

04/20/32 (C)

      47,870,000        26,807,200  

Battalion CLO XVI, Ser 2019-16A, Cl SUB

      

12/19/32 (B)(C)

      28,838,000        19,609,840  

Benefit Street Partners CLO, Ser 2018-5BA, Cl SUB

      

04/20/31 (C)

      30,840,000        14,248,080  

Benefit Street Partners CLO III, Ser 2013-IIIA, Cl SUB

      

07/20/29 (B)(C)

      21,904,000        4,161,760  

Benefit Street Partners CLO III, Ser 2017-IIIA, Cl DR

      

6.818%, VAR ICE LIBOR USD 3 Month+6.600% 07/20/29 (B)

      3,000,000        2,274,000  

Benefit Street Partners CLO IV

      

07/20/26 (B)(C)

      30,796,000        4,619,400  

Benefit Street Partners CLO IX

      

07/20/25 (B)(C)

      22,625,000        11,312,500  

Benefit Street Partners CLO V

      

10/20/26 (B)(C)

      19,200,000        192,000  

Benefit Street Partners CLO VI, Ser 2015-VIA, Cl SUB

      

10/18/29 (B)(C)

      36,203,000        7,602,630  

Benefit Street Partners CLO VII, Ser 2015-VIII, Cl SUB

      

07/18/27 (C)

      36,750,000        9,933,525  

Benefit Street Partners CLO VIII, Ser 2015-8A, Cl SUB

      

(B)(C)

      36,680,000        18,340,000  

Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB

      

01/15/29 (B)(C)

      35,364,000        6,365,520  

Benefit Street Partners Clo XII, Ser 2017-12A, Cl C

      

3.325%, VAR ICE LIBOR USD 3 Month+3.050% 10/15/30 (B)

      9,562,000        8,701,420  

Benefit Street Partners CLO XII, Ser 2017-12A, Cl SUB

      

10/15/30 (B)(C)

      40,364,000        15,338,320  

Benefit Street Partners CLO XIV, Ser 2018-14A, Cl SUB

      

04/20/31 (B)(C)

      37,334,000        20,533,700  

Benefit Street Partners CLO XVIII, Ser 2019-18A, Cl SUB

      

10/15/32 (B)(C)

      28,603,500        17,353,743  

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

September 30, 2020

 

Description                    Par Value      Fair Value  

Benefit Street Partners CLO XX, Ser 2020-20A, Cl SUB

      

07/15/31 (B)(C)

    $         17,190,000      $             16,992,315  

Benefit Street Partners CLO XXI, Ser 2020-21A, Cl E

      

8.297%, VAR ICE LIBOR USD 3 Month+8.040% 07/15/31 (B)

      2,500,000        2,497,750  

Brigade Debt Funding I, Ser 2018-1A, Cl SUB

      

04/25/36 (C)

      55,000,000        39,930,000  

Brigade Debt Funding II, Ser 2018-2A, Cl SUB

      

10/25/35 (B)(C)

      20,000,000        13,040,000  

Cathedral Lake CLO, Ser 2014-1A, Cl SUB

      

10/15/29 (B)(C)

      18,200,000        4,095,000  

Cathedral Lake CLO, Ser 2017-1A, Cl CR

      

3.737%, VAR ICE LIBOR USD 3 Month+3.500% 10/15/29 (B)

      5,000,000        4,225,000  

Cathedral Lake CLO, Ser 2017-1A, Cl DR

      

7.525%, VAR ICE LIBOR USD 3 Month+7.250% 10/15/29 (B)

      14,464,000        10,558,720  

Cathedral Lake CLO III, Ser 2015-3A, Cl SUB

      

01/15/26 (B)(C)

      29,485,000        7,666,100  

Cathedral Lake V, Ser 2018-5A, Cl E

      

6.318%, VAR ICE LIBOR USD 3 Month+6.100% 10/21/30 (B)

      9,000,000        6,435,000  

Cathedral Lake V, Ser 2018-5A, Cl SUB

      

10/21/30 (B)(C)

      30,838,000        10,639,110  

Dryden 75 CLO, Ser 2019-75A, Cl SUB

      

07/15/30 (B)(C)

      24,090,000        16,381,200  

Elevation CLO, Ser 2014-2A, Cl SUB

      

10/15/29 (B)(C)

      14,400,000        3,024,000  

Elevation CLO, Ser 2017-2A, Cl ER

      

6.587%, VAR ICE LIBOR USD 3 Month+6.350% 10/15/29 (B)

      7,500,000        6,849,914  

Elevation CLO, Ser 2017-2A, Cl FR

      

8.877%, VAR ICE LIBOR USD 3 Month+8.640% 10/15/29 (B)

      8,550,000        6,511,449  

Elevation CLO, Ser 2018-10A, Cl E

      

6.508%, VAR ICE LIBOR USD 3 Month+6.290% 10/20/31 (B)

      14,000,000        11,453,998  

Elevation CLO, Ser 2018-10A, Cl SUB

      

10/20/31 (B)(C)

      40,850,000        21,356,217  

Elevation CLO, Ser 2018-8A, Cl F

      

8.105%, VAR ICE LIBOR USD 3 Month+7.860% 10/25/30 (B)

      6,650,000        4,665,400  

Evans Grove CLO, Ser 2018-1A, Cl E

      

6.756%, VAR ICE LIBOR USD 3 Month+6.500% 05/28/28 (B)

      9,343,792        6,540,655  

Figueroa CLO, Ser 2013-2A, Cl SUB

      

06/20/27 (B)(C)

      12,967,000        45,384  

Garrison Funding, Ser 2019-1A, Cl A2L

      

2.968%, VAR ICE LIBOR USD 3 Month+2.750% 07/20/31 (B)

      2,667,000        2,604,806  

Great Lakes CLO, Ser 2014-1A, Cl ER

      

7.775%, 10/15/29

      10,378,000        8,447,692  

Great Lakes CLO, Ser 2014-1A, Cl FR

      

10.275%, VAR ICE LIBOR USD 3 Month+10.000% 10/15/29 (B)

      6,063,000        4,765,518  

Great Lakes CLO, Ser 2014-1A, Cl SUB

      

10/15/29 (B)(C)

      16,940,000        3,218,600  

Great Lakes CLO, Ser 2015-1A, Cl ER

      

8.000%, VAR ICE LIBOR USD 3 Month+7.360% 01/16/30 (B)

      17,689,000        13,779,731  

Great Lakes CLO, Ser 2015-1A, Cl FR

      

11.000%, VAR ICE LIBOR USD 3 Month+10.000% 01/16/30 (B)

      6,701,110        5,039,235  

Great Lakes CLO, Ser 2015-1A, Cl SUB

      

01/16/30 (B)(C)

      24,580,042        6,022,110  

Halcyon Loan Advisors Funding, Ser 2018-2A, Cl D

      

7.158%, 01/22/31

      15,700,000        13,423,500  

Ivy Hill Middle Market Credit Fund, Ser 2013-7A, Cl SUB

      

10/20/29 (B)(C)

      19,066,500        6,673,275  

Ivy Hill Middle Market Credit Fund VII, Ser 2017-7A, Cl ER

      

7.948%, VAR ICE LIBOR USD 3 Month+7.730% 10/20/29 (B)

      9,000,000        7,740,000  

Ivy Hill Middle Market Credit Fund X, Ser 2018-10A, Cl DR

      

7.498%, VAR ICE LIBOR USD 3 Month+7.280% 07/18/30 (B)

      21,000,000        18,709,110  

Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl D

      

7.342%, VAR ICE LIBOR USD 3 Month+7.070% 04/18/30 (B)

      15,555,000        13,688,400  

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

September 30, 2020

 

Description                    Par Value      Fair Value  

Ivy Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl SUB

      

04/18/30 (B)(C)

    $           1,667,000      $             1,000,200  

Lockwood Grove CLO, Ser 2014-1A, Cl ERR

      

6.095%, VAR ICE LIBOR USD 3 Month+5.850% 01/25/30 (B)

      17,100,000        13,167,000  

Lockwood Grove CLO, Ser 2014-1A, Cl SUB

      

01/25/30 (B)(C)

      25,988,000        10,655,080  

Marathon CLO, Ser 2019-2A, Cl BA

      

3.572%, VAR ICE LIBOR USD 3 Month+3.300% 01/20/33 (B)

      1,000,000        967,250  

Marathon CLO, Ser 2019-2A, Cl C1A

      

5.088%, VAR ICE LIBOR USD 3 Month+4.870% 01/20/33 (B)

      1,000,000        911,620  

Marathon CLO, Ser 2019-2A, Cl C2

      

6.242%, VAR ICE LIBOR USD 3 Month+5.970% 01/20/33 (B)

      1,000,000        887,470  

MCF CLO VIII, Ser 2018-1A, Cl SUB

      

07/18/30 (B)(C)

      27,710,000        21,865,961  

Monroe Capital MML CLO, Ser 2018-1A, Cl ER

      

7.508%, VAR ICE LIBOR USD 3 Month+7.250% 07/22/28 (B)

      15,000,000        12,508,500  

Mountain View CLO, Ser 2017-1A, Cl DR

      

4.374%, VAR ICE LIBOR USD 3 Month+4.150% 10/12/30 (B)

      2,000,000        1,600,000  

Mountain View CLO, Ser 2017-1A, Cl ER

      

7.924%, VAR ICE LIBOR USD 3 Month+7.700% 10/12/30 (B)

      10,227,788        6,136,673  

Nassau CLO, Ser 2020-1A

      

5.003%, 07/20/29

      3,000,000        2,805,570  

Neuberger Berman CLO XV, Ser 2013-15A, Cl SUB

      

10/15/29 (B)(C)

      19,868,600        8,447,334  

Neuberger Berman CLO XV, Ser 2017-15A, Cl FR

      

8.717%, VAR ICE LIBOR USD 3 Month+8.480% 10/15/29 (B)

      5,100,000        3,214,020  

Neuberger Berman CLO XVI, Ser 2018-16SA, Cl SUB

      

01/15/28 (B)(C)

      17,822,117        10,004,089  

Neuberger Berman CLO XVII, Ser 2020-17A, Cl ER2

      

7.416%, VAR ICE LIBOR USD 3 Month+7.200% 04/22/29 (B)

      6,200,000        5,734,380  

Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUB

      

10/17/30 (B)(C)

      26,625,000        13,312,500  

Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUBF

      

0.100%, 10/17/30 (B)

      818,231        229,105  

Neuberger Berman Loan Advisers CLO 24, Ser 2017-24A, Cl INC

      

04/19/30 (B)(C)

      15,000,000        7,455,900  

Neuberger Berman Loan Advisers CLO 25, Ser 2017-25A, Cl INC

      

10/18/29 (B)(C)

      16,000,000        7,680,000  

Neuberger Berman Loan Advisers CLO 26, Ser 2017-26A, Cl INC

      

10/18/30 (B)(C)

      13,600,000        7,480,000  

Neuberger Berman Loan Advisers CLO 27, Ser 2018-27A, Cl INC

      

01/15/30 (B)(C)

      12,000,000        8,160,000  

Neuberger Berman Loan Advisers CLO 27, Ser 2018-27A, Cl SUBN

      

0.072%, 01/15/30 (B)

      295,867        133,140  

Neuberger Berman Loan Advisers CLO 29, Ser 2018-29A, Cl 1ISR

      

10/19/31 (B)(C)

      92,000        73,600  

Neuberger Berman Loan Advisers CLO 29, Ser 2018-29A, Cl 2ISR

      

10/19/31 (B)(C)

      331,457        265,166  

Neuberger Berman Loan Advisers CLO 29, Ser 2018-29A, Cl INC

      

10/19/31 (B)(C)

      18,000,000        10,303,380  

Neuberger Berman Loan Advisers CLO 29, Ser 2018-29A, Cl SPRI

      

0.110%, 10/19/31 (B)

      800,000        560,000  

Neuberger Berman Loan Advisers CLO 30, Ser 2019-30A, Cl INC

      

01/20/31 (B)(C)

      4,050,000        2,977,965  

Neuberger Berman Loan Advisers CLO 32, Ser 2019-32A, Cl INC

      

01/19/32 (B)(C)

      18,300,000        13,359,000  

Neuberger Berman Loan Advisers CLO 32, Ser 2019-32A, Cl SINC

      

0.051%, 01/19/32 (B)(C)

      1,325,406        1,192,865  

Neuberger Berman Loan Advisers CLO 36, Ser 2020-36A, Cl INC

      

04/20/33 (B)(C)

      8,625,000        6,468,750  

Neuberger Berman Loan Advisers CLO 36, Ser 2020-36A, Cl SPIN

      

04/20/33 (B)(C)

      111,146        100,031  

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

September 30, 2020

 

Description                    Par Value      Fair Value  

Neuberger Berman Loan Advisers CLO 38, Ser 2020-38A, Cl SUB

      

10/20/32 (C)

    $         14,719,000      $             12,759,165  

Neuberger Berman Loan Advisers CLO 38, Ser 2020-38A, Cl SBPF

      

10/20/32 (C)

      108,125        108,125  

NewStar Berkeley Fund CLO, Ser 2016-1A, Cl E

      

7.995%, VAR ICE LIBOR USD 3 Month+7.750% 10/25/28 (B)

      23,142,000        19,531,848  

NewStar Berkeley Fund CLO, Ser 2016-1A, Cl SUB

      

10/25/28 (B)(C)

      32,718,000        10,469,760  

NewStar Berkeley Fund CLO, Ser 2019-1A, Cl DR

      

4.995%, VAR ICE LIBOR USD 3 Month+4.750% 10/25/28 (B)

      5,269,000        5,003,864  

NewStar Clarendon Fund CLO, Ser 2015-1A, Cl E

      

6.295%, VAR ICE LIBOR USD 3 Month+6.050% 01/25/27 (B)

      23,726,000        19,787,484  

NewStar Exeter Fund CLO, Ser 2015-1RA, Cl E

      

7.472%, VAR ICE LIBOR USD 3 Month+7.200% 01/20/27 (B)

      9,000,000        7,146,270  

NewStar Fairfield Fund CLO, Ser 2015-2A, Cl SUB

      

04/20/30 (B)(C)

      50,029,000        18,010,440  

NewStar Fairfield Fund CLO, Ser 2018-2A, Cl CN

      

3.798%, VAR ICE LIBOR USD 3 Month+3.580% 04/20/30 (B)

      5,300,000        4,300,791  

NewStar Fairfield Fund CLO, Ser 2018-2A, Cl DN

      

7.598%, VAR ICE LIBOR USD 3 Month+7.380% 04/20/30 (B)

      12,600,000        9,042,138  

Ocean Trails CLO 8, Ser 2020-8A, Cl D

      

5.175%, VAR ICE LIBOR USD 3 Month+4.900% 07/15/29 (B)

      5,000,000        4,912,500  

OCP CLO, Ser 2017-13A, Cl SUB

      

07/15/30 (B)(C)

      11,500,000        6,551,550  

OCP CLO, Ser 2017-14A, Cl SUB

      

11/20/30 (B)(C)

      16,333,000        9,473,140  

OCP CLO, Ser 2017-6A, Cl ER

      

8.278%, VAR ICE LIBOR USD 3 Month+8.060% 10/17/30 (B)

      10,800,000        6,566,400  

OCP CLO, Ser 2019-16A, Cl SUB

      

01/20/32 (B)(C)

      9,000,000        5,927,400  

OCP CLO, Ser 2019-17A, Cl SUB

      

07/20/32 (B)(C)

      15,000,000        11,475,000  

OCP CLO, Ser 2020-19A, Cl SUB

      

07/20/31 (B)(C)

      9,300,000        8,346,750  

Pulsar Funding I, Ser 2019-1A, Cl B

      

3.718%, VAR ICE LIBOR USD 3 Month+3.500% 01/20/33 (B)

      2,000,000        1,963,760  

Shackleton CLO, Ser 2018-6RA, Cl F

      

8.588%, VAR ICE LIBOR USD 3 Month+8.370% 07/17/28 (B)

      6,302,669        3,886,226  

Shackleton CLO, Ser 2018-6RA, Cl SU

      

07/17/28 (C)

      19,200,000        2,880,000  

Shackleton CLO, Ser 2019-14A, Cl SUB

      

07/20/30 (B)(C)

      15,750,000        9,922,500  

Shackleton CLO, Ser 2019-XV, Cl SUB

      

01/15/30 (C)

      10,000,000        6,700,000  

TCW CLO, Ser 2017-1A, Cl DR

      

3.420%, VAR ICE LIBOR USD 3 Month+3.150% 07/29/29 (B)

      6,000,000        5,670,000  

TCW CLO, Ser 2017-1A, Cl ER

      

7.020%, VAR ICE LIBOR USD 3 Month+6.750% 07/29/29 (B)

      6,500,000        5,882,500  

TCW CLO, Ser 2017-1A, Cl SUB

      

07/29/29 (B)(C)

      26,999,000        17,549,350  

TCW CLO, Ser 2018-1A, Cl SUB

      

04/25/31 (B)(C)

      29,703,000        19,746,554  

TCW CLO, Ser 2019-2A, Cl E

      

7.618%, VAR ICE LIBOR USD 3 Month+7.400% 10/20/32 (B)

      4,000,000        3,780,000  

TCW CLO, Ser 2019-2A, Cl SUB

      

10/20/32 (B)(C)

      28,463,000        20,493,360  

Telos CLO, Ser 2018-5A, Cl BR

      

1.753%, VAR ICE LIBOR USD 3 Month+1.480% 04/17/28 (B)

      7,875,000        7,611,975  

Telos CLO, Ser 2018-5A, Cl DR

      

3.518%, VAR ICE LIBOR USD 3 Month+3.300% 04/17/28 (B)

      18,758,000        15,100,190  

Telos CLO, Ser 2018-5A, Cl ER

      

6.778%, VAR ICE LIBOR USD 3 Month+6.560% 04/17/28 (B)

      25,506,639        14,028,652  

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

September 30, 2020

 

Description                    Par Value      Fair Value  

Trinitas CLO III, Ser 2018-3A, Cl DR

      

3.037%, VAR ICE LIBOR USD 3 Month+2.800% 07/15/27 (B)

    $         6,625,000      $ 5,830,000  

Trinitas CLO X, Ser 2019-10A, Cl E

      

7.137%, VAR ICE LIBOR USD 3 Month+6.900% 04/15/32 (B)

      15,000,000        13,275,000  

Valhalla CLO, Ser 2004-1A, Cl EIN

      

08/01/20 (B)(C)

      6,500,000        975,000  

Venture 28 CLO, Ser 2017-28AA, Cl SUB

      

10/20/29 (B)(C)

      25,000,000        12,750,000  

Venture 35 CLO, Ser 2018-35A, Cl SUB

      

10/22/31 (B)(C)

      26,039,000        11,977,940  

Venture CDO, Ser 2016-25A, Cl SUB

      

04/20/29 (B)(C)

      11,620,000        5,461,400  

Venture XXVI CLO, Ser 2017-26A, Cl SUB

      

01/20/29 (B)(C)

      10,526,000        3,526,210  

Venture XXVIII CLO, Ser 2017-28A, Cl SUB

      

07/20/30 (B)(C)

      21,122,000        11,617,100  

Voya CLO, Ser 2015-3A, Cl ER

      

8.772%, VAR ICE LIBOR USD 3 Month+8.500% 10/20/31 (B)

      18,400,000        14,519,072  

Voya CLO, Ser 2015-3A, Cl SUB

      

10/20/31 (B)(C)

      56,700,000        29,812,860  

Voya CLO, Ser 2019-1A, Cl SUB

      

04/15/31 (B)(C)

      4,300,000        3,397,000  

Voya CLO, Ser 2020-2A

      

07/31/31 (C)

      21,188,000        20,247,253  

WhiteHorse X, Ser 2018-10A, Cl CR

      

2.368%, VAR ICE LIBOR USD 3 Month+2.150% 04/17/27 (B)

      1,250,000        1,202,500  
     

 

 

  
                1,243,008,406  
     

 

 

  

IRELAND — 9.8%

      

Apex Credit CLO, Ser 2017-1A, Cl C

      

3.064%, VAR ICE LIBOR USD 3 Month+2.800% 04/24/29 (B)

      3,265,000        3,218,082  

Apex Credit CLO, Ser 2017-1A, Cl D

      

3.864%, VAR ICE LIBOR USD 3 Month+3.600% 04/24/29 (B)

      5,485,000        4,717,100  

Apex Credit CLO, Ser 2017-1A, Cl E

      

6.614%, VAR ICE LIBOR USD 3 Month+6.350% 04/24/29 (B)

      10,915,987        8,023,251  

Battalion CLO V, Ser 2014-5A, Cl SUB

      

04/17/26 (B)(C)

      33,031,000        469,040  

Battalion CLO VIII, Ser 2015-8A, Cl SUB

      

07/18/30 (B)(C)

      23,307,000        12,119,640  

Benefit Street Partners CLO II, Ser 2013-IIA, Cl SUB(C)

      

07/15/24 (B)(C)

      23,450,000        4,455,500  

Cerberus Loan Funding XVIII, Ser 2017-1A, Cl E

      

7.025%, VAR ICE LIBOR USD 3 Month+6.750% 04/15/27 (B)

      18,000,000        17,649,540  

CVP Cascade CLO, Ser 2014-2A, Cl D

      

5.072%, VAR ICE LIBOR USD 3 Month+4.800% 07/18/26 (B)

      7,386,000        3,315,575  

CVP Cascade CLO, Ser 2014-2A, Cl E

      

6.072%, VAR ICE LIBOR USD 3 Month+5.800% 07/18/26 (B)

      8,295,300        1,493,154  

ICE Global Credit CLO, Ser 2013-1A, Cl INC

      

04/20/24 (B)(C)

      12,500,000        1,250  

Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl D

      

7.832%, VAR ICE LIBOR USD 3 Month+7.560% 07/20/29 (B)

      20,790,000        18,501,229  

Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl SUB

      

07/20/29 (B)(C)

      4,200,000        3,176,040  

JFIN CLO 2012, Ser 2018-1A, Cl BR

      

2.622%, VAR ICE LIBOR USD 3 Month+2.350% 07/20/28 (B)

      5,000,000        4,915,650  

JFIN Revolver CLO, Ser 2017-5A, Cl B

      

5.300%, 04/20/24 (B)

      19,000,000        18,988,220  

JFIN Revolver CLO, Ser 2017-5A, Cl C

      

7.150%, 04/20/24 (B)

      14,500,000        14,146,635  

Longfellow Place CLO, Ser 2017-1A, Cl CRR

      

3.237%, VAR ICE LIBOR USD 3 Month+3.000% 04/15/29 (B)

      4,547,990        4,286,480  

Longfellow Place CLO, Ser 2017-1A, Cl DRR

      

4.737%, VAR ICE LIBOR USD 3 Month+4.500% 04/15/29 (B)

      848,085        737,173  

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

September 30, 2020

 

Description    Par Value/Shares      Fair Value  

Longfellow Place CLO, Ser 2017-1A, Cl ERR

      

7.937%, VAR ICE LIBOR USD 3 Month+7.700% 04/15/29 (B)

    $           4,247,567      $ 3,027,241  

Longfellow Place CLO, Ser 2017-1A, Cl FRR

      

8.737%, VAR ICE LIBOR USD 3 Month+8.500% 04/15/29 (B)

      7,932,644        1,756,288  

Neuberger Berman CLO XVII, Ser 2014-17A, Cl SUB

      

04/22/29 (B)(C)

      5,900,000        2,773,000  

OCP CLO, Ser 2017-4A, Cl ER

      

8.114%, VAR ICE LIBOR USD 3 Month+7.850% 04/24/29 (B)

      8,250,000        5,832,750  

Shackleton CLO, Ser 2014-6A, Cl SUB

      

07/17/26 (B)(C)

      23,850,000        2,385  

Zohar CDO, Ser 2007-3A, Cl A2

      

2.695%, VAR ICE LIBOR USD 3 Month+0.550% 04/15/19 (B)(D)

      90,000,000        13,500,000  

Zohar CDO, Ser 2007-3A, Cl A3

      

2.895%, VAR ICE LIBOR USD 3 Month+0.750% 04/15/19 (B)(D)

      56,000,000        1,680,000  
     

 

 

  
        148,785,223  
     

 

 

  

JERSEY — 0.8%

      

Saranac CLO I, Ser 2017-1A, Cl ER

      

7.945%, VAR ICE LIBOR USD 3 Month+7.700% 07/26/29 (B)

      18,836,931        9,041,727  

Saranac CLO VII, Ser 2017-2A, Cl ER

      

6.973%, VAR ICE LIBOR USD 3 Month+6.720% 11/20/29 (B)

      8,056,543        3,504,596  
     

 

 

  
        12,546,323  
     

 

 

  

UNITED STATES — 7.9%

      

Arch Street CLO, Ser 2018-2A, Cl DR

      

3.968%, VAR ICE LIBOR USD 3 Month+3.750% 10/20/28 (B)

      8,112,758        7,065,401  

Benefit Street Partners Warehouse Note

      

(C)

      3,750,000        3,750,000  

Ivy Hill IV Warehouse Note

      

07/03/21 (D)

      85,000,000        72,250,001  

Neuberger Berman Loan Advisers Warehouse Note

      

(C)

      9,375,000        9,375,000  

TCW CLO Warehouse Note, Ser 2020-1

      

(C)

      39,750,000        27,825,000  
     

 

 

  
        120,265,402  
     

 

 

  

Total Asset-Backed Securities (Cost $1,706,294,188)

         1,524,605,354  
     

 

 

  

COMMON STOCK — 0.7%

      

UNITED STATES — 0.7%

      

Apollo Investment

      111,660        923,428  

Ares Capital

      682,418        9,519,731  
     

 

 

  

Total Common Stock (Cost $9,512,065)

         10,443,159  
     

 

 

  

CASH EQUIVALENT (E)(F) — 3.6%

      

UNITED STATES — 3.6%

      

SEI Daily Income Trust Government Fund, Cl F, 0.010%

      54,122,009        54,122,009  
     

 

 

  

Total Cash Equivalent (Cost $54,122,009)

         54,122,009  
     

 

 

  

Total Investments — 104.6%
(Cost $1,769,928,262)

       $     1,589,170,522  
     

 

 

  

Percentages based on Limited Partners’ Capital of $1,518,919,684.

Transactions with affiliated funds during the period ended September 30, 2020 are as follows:

 

    

   Value of Shares Held   

as of 12/31/2019

   

   Purchases   

at Cost

   

   Proceeds   

from Sales

   Realized
   Gain (Loss)   		       Value of Shares Held   
as of 9/30/2020		   

   Dividend

Income

SEI Daily Income Trust Government Fund, Cl F

    $18,060,822    $354,079,726    ($318,018,539)   $—    $54,122,009    $242,232

SEI Structured Credit Fund, L.P.

Schedule of Investments (Unaudited)

September 30, 2020

 

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

ICE — Intercontinental Exchange

LIBOR — London Interbank Offered Rate

Ser — Series

USD — United States Dollar

VAR — Variable

 

(A)

Securities considered illiquid. The total value of such securities as of September 30, 2020 was $1,524,605,354 and represented 100.4% of Partners’ Capital.

(B)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended. At September 30, 2020, the market value of Rule 144A positions amounted to $1,248,215,243 or 82.2% of Limited Partners’ Capital.

(C)

Represents equity/residual investments for which estimated effective yields are applied.

(D)

Security fair valued using methods determined in good faith by the Fair Value Committee of the Fund. The total value of such securities as of September 30, 2020 was $87,430,001 and represented 5.8% of Limited Partners’ Capital.

(E)

Rate shown is the 7-day effective yield as of September 30, 2020.

(F)

Investment in affiliated security.

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

The following is a summary of the inputs used as of September 30, 2020 in valuing the Fund’s investments carried at value:

 

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

Asset-Backed Securities

   $ —     $                     —     $ 1,524,605,354     $ 1,524,605,354  

Common Stock

     10,443,159       —       —       10,443,159  

Cash Equivalent

     54,122,009       —       —       54,122,009  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

   $     64,565,168     $ —     $             1,524,605,354     $         1,589,170,522  
 

 

 

    

 

 

    

 

 

    

 

 

  

(1)    Of the $1,524,605,354 in Level 3 securities as of September 30, 2020, $1,437,175,353 was valued via dealer quotes.

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

 

       Asset-Backed Securities   

Beginning balance as of January 1, 2020

    $ 1,788,457,348

Accrued discounts/premiums

     2,002,044

Realized gain/(loss)

     13,201,645

Change in unrealized appreciation/(depreciation)

     (254,155,184 ) 

Proceeds from sales

     (274,935,160 ) 

Purchases

     250,034,661
 

 

 

 

Ending balance as of September 30, 2020

    $ 1,524,605,354
 

 

 

 

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

    $ (256,329,572 )
 

 

 

 

For the period ended September 30, 2020, there were no transfers into or out of Level 3 assets and liabilities. Transfers, if any, are recognized at period end.

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