0001145549-20-008320.txt : 20200225 0001145549-20-008320.hdr.sgml : 20200225 20200225165249 ACCESSION NUMBER: 0001145549-20-008320 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20191231 FILED AS OF DATE: 20200225 PERIOD START: 20200930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DoubleLine Opportunistic Credit Fund CENTRAL INDEX KEY: 0001525201 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22592 FILM NUMBER: 20651599 BUSINESS ADDRESS: STREET 1: C/O DOUBLELINE CAPITAL LP STREET 2: 333 SOUTH GRAND AVENUE, 18TH FLOOR CITY: LOS ANGELES STATE: CA ZIP: 90071 BUSINESS PHONE: 213-633-8200 MAIL ADDRESS: STREET 1: C/O DOUBLELINE CAPITAL LP STREET 2: 333 SOUTH GRAND AVENUE, 18TH FLOOR CITY: LOS ANGELES STATE: CA ZIP: 90071 FORMER COMPANY: FORMER CONFORMED NAME: DoubleLine Strategic Income Fund DATE OF NAME CHANGE: 20110708 NPORT-P 1 primary_doc.xml NPORT-P false 0001525201 XXXXXXXX DoubleLine Opportunistic Credit Fund 811-22592 0001525201 5493003RT2VL4QLFXN55 333 South Grand Avenue Suite 1800 Los Angeles 90071-3197 2136338200 DoubleLine Opportunistic Credit Fund 5493003RT2VL4QLFXN55 2020-09-30 2019-12-31 N 386565351.560000000000 80507113.940000000000 306058237.620000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 985180.600000000000 0.000000000000 0.000000000000 2978827.050000000000 N Residential Accredit Loans, In N/A RALI Series 2007-QS6 Trust 75116CAB2 289446.55 PA USD 611635.41 0.1998428191 Long ABS-MBS CORP US N 2 2037-04-25 Floating 40.65 N N N N N N Residential Accredit Loans, In N/A RALI Series 2007-QS6 Trust 75116CEF9 1345161.94 PA USD 1260189.81 0.4117483717 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.75 N N N N N N Residential Accredit Loans, In N/A RALI Series 2005-QS13 Trust 761118HC5 1879351.73 PA USD 1856195.11 0.6064842837 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.75 N N N N N N Residential Accredit Loans, In N/A RALI Series 2005-QS14 Trust 761118JJ8 1189613.45 PA USD 1149602.23 0.3756155165 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 6 N N N N N N Residential Asset Securitizati N/A Residential Asset Securitization Trust 2006-A6 76113FAJ9 1641315.7 PA USD 682134.91 0.2228774874 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N Residential Asset Securitizati N/A Residential Asset Securitization Trust 2006-A6 76113FAM2 1659984.12 PA USD 410277.69 0.1340521638 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.308 N N N N N N LSF9 ATLANTIS HOLDINGS L N/A LSF9 Atlantis Holdings LLC 50226BAD0 480891.739999999 PA USD 445425.969999999 0.1455363441 Long LON CORP US N 2 2023-05-01 Floating 7.73563 N N N N N N ALMONDE INC 549300ZB2RO6QC7YTK71 Finastra USA Inc 02034DAF4 500000 PA USD 490537.5 0.1602758690 Long LON CORP US N 2 2025-06-13 Floating 9.44625 N N N N N N Bluemountain CLO Ltd 54930003J8R1CBTM3M23 BlueMountain CLO 2013-1 Ltd 09626VAG1 1900000 PA USD 1757201.7 0.5741396519 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 9.46588 N N N N N N Bluemountain CLO Ltd 549300KGXMRFX2DKIX03 BlueMountain CLO 2013-2 Ltd 09626YAW0 1000000 PA USD 955371.39 0.3121534638 Long ABS-CBDO CORP KY N 2 2030-10-22 Floating 4.85325 N N N N N N ALM Loan Funding N/A ALM XII Ltd 00164MEC3 1000000 PA USD 1000731.7 0.3269742738 Long ABS-CBDO CORP KY N 2 2027-04-16 Floating 4.65088 N N N N N N Allegany Park CLO, Ltd. 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5493008BZQSUX5N9Q439 WeddingWire Inc 94847DAE1 335000 PA USD 331650 0.1083617296 Long LON CORP US N 2 2026-12-21 Floating 10.04938 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380XQ75 37573649.19 PA USD 3307691 1.0807390860 Long ABS-MBS USGA US N 2 2048-08-20 Floating 2.78537 N N N N N N Great Wolf Trust N/A Great Wolf Trust 39152TAQ3 5000000 PA USD 4998465 1.6331744700 Long ABS-MBS CORP US N 2 2029-12-15 Floating 4.853 N N N N N N DYNASTY ACQUISITION CO I 549300L1RCRPOAUCB870 Dynasty Acquisition Co Inc 26812CAC0 45524.5 PA USD 45897.8 0.0149964269 Long LON CORP US N 2 2026-04-08 Floating 5.94463 N N N N N N VVC HOLDING CORP 549300Z86PUW4ENZCD61 VVC Holding Corp 04685YAK5 368150 PA USD 370603.719999999 0.1210892812 Long LON CORP US N 2 2026-02-11 Floating 6.40138 N N N N N N RR LTD 549300G3G1OYI5KO3H14 RR 4 LTD 74972FAL9 1000000 PA USD 952835.84 0.3113250104 Long ABS-CBDO CORP KY N 2 2030-04-15 Floating 4.95088 N N N N N N Residential Accredit Loans, In N/A RALI Series 2006-QS10 Trust 751155AA0 1412680.83 PA USD 1369107.68 0.4473356740 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N Residential Accredit Loans, In N/A RALI Series 2007-QS3 Trust 75116BAA6 3225484.97 PA USD 3034569.16 0.9915005666 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.5 N N N N N N Residential Accredit Loans, In N/A RALI Series 2007-QS6 Trust 75116CAA4 1270589.77 PA USD 992889.8 0.3244120491 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.122 N N N N N N 1199169 BC ULC N/A 1199169 BC ULC 26812CAD8 24475.5 PA USD 24676.2 0.0080625832 Long LON CORP CA N 2 2026-04-04 Floating 5.94463 N N N N N N ABE INVESTMENT HOLDINGS N/A Abe Investment Holdings Inc 37427UAJ9 178650 PA USD 179431.59 0.0586266167 Long LON CORP US N 2 2026-02-19 Floating 6.3125 N N N N N N GRANITE US HOLDINGS CORP N/A Granite US Holdings Corp 38740TAB7 387500 PA USD 389437.5 0.1272429401 Long LON CORP US N 2 2026-09-30 Floating 7.2105 N N N N N N GRANITE US HOLDINGS CORP N/A Granite US Holdings Corp 38740TAB7 77500 PA USD 77887.5 0.0254485880 Long LON CORP US N 2 2026-09-30 Floating 7.2105 N N N N N N MINOTAUR ACQUISITION INC N/A Minotaur Acquisition Inc 60441EAC4 437800 PA USD 432327.5 0.1412566129 Long LON CORP US N 2 2026-03-29 Floating 6.79938 N N N N N N MIRION TECHNOLOGIES INC 549300EBD5JHM14L3R48 Mirion Technologies Inc 60470FAG6 79549.11 PA USD 80344.61 0.0262514124 Long LON CORP US N 2 2026-03-06 Floating 6.10438 N N N N N N CONNECT FINCO SARL 2594001KNYIQ456J2792 Connect Finco SARL N/A 240000 PA USD 241780.8 0.0789982985 Long LON CORP LU N 2 2026-12-12 Floating 6.29 N N N N N N ZELIS PAYMENTS BUYER INC N/A Zelis Payments Buyer Inc 98932TAC7 160000 PA USD 161084 0.0526318132 Long LON CORP US N 2 2026-09-30 Floating 6.54938 N N N N N N MIRION TECHNOLOGIES INC 549300EBD5JHM14L3R48 Mirion Technologies Inc 60470FAG6 7262.66 PA USD 7335.29 0.0023966975 Long LON CORP US N 2 2026-03-06 Floating 6.10438 N N N N N N MIRION TECHNOLOGIES INC 549300EBD5JHM14L3R48 Mirion Technologies Inc 60470FAG6 83114.7899999999 PA USD 83945.94 0.0274280936 Long LON CORP US N 2 2026-03-06 Floating 6.10438 N N N N N N BELLRING BRANDS LLC 5493001E28R2L3L44631 Bellring Brands LLC 07982EAB2 285000 PA USD 288742.049999999 0.0943421919 Long LON CORP US N 2 2024-10-21 Floating 6.79938 N N N N N N SYNCREON GROUP BV 5493002SSXOL85X3XC87 Syncreon Group BV BL3188200 91398.6499999999 PA USD 87895.3399999999 0.0287185016 Long LON CORP NL N 2 2024-10-01 Floating 6.79938 N N N N N N MIRION TECHNOLOGIES INC 549300EBD5JHM14L3R48 Mirion Technologies Inc 60470FAG6 5091.61 PA USD 5142.53 0.0016802456 Long LON CORP US N 2 2026-03-06 Floating 6.10438 N N N N N N MIRION TECHNOLOGIES INC 549300EBD5JHM14L3R48 Mirion Technologies Inc 60470FAG6 11082.51 PA USD 11193.34 0.0036572582 Long LON CORP US N 2 2026-03-06 Floating 5.62684 N N N N N N SYNCREON GROUP BV 5493002SSXOL85X3XC87 Syncreon Group BV BL3188218 163083.355669 PA USD 140659.39 0.0459583742 Long LON CORP NL N 2 2025-04-01 Floating 7.70163 N N N N N N MCDERMOTT TECHNOLOGY 549300MSF84ZAB7RHN59 McDermott Technology Americas Inc 58004GAE8 126263.47 PA USD 129262.23 0.0422345208 Long LON CORP US N 2 2021-10-21 Floating 12.00213 N Y N N N N MIRION TECHNOLOGIES INC 549300EBD5JHM14L3R48 Mirion Technologies Inc 60470FAG6 12899.3099999999 PA USD 13028.2999999999 0.0042568042 Long LON CORP US N 2 2026-03-06 Floating 5.62684 N N N N N N PRAIRIE ECI ACQUIROR LP 549300EXIECHUG4F3335 Prairie ECI Acquiror LP 73955HAB0 258375 PA USD 257083.13 0.0839981083 Long LON CORP US N 2 2026-03-11 Floating 6.69463 N N N N N N TRAVELPORT FINANCE LUXEM 2221005SGFWYZHL40F77 Travelport Finance Luxembourg Sarl N/A 125000 PA USD 117250 0.0383097024 Long LON CORP LU N 2 2026-05-30 Floating 6.94463 N N N N N N WATERBRIDGE MIDSTREAM OP 549300DVU86VSP486341 WaterBridge Midstream Operating LLC 94120XAB1 500000 PA USD 493125 0.1611212963 Long LON CORP US N 2 2026-06-21 Floating 7.834 N N N N N N MCDERMOTT TECHNOLOGY 549300MSF84ZAB7RHN59 McDermott Technology Americas Inc 58004GAE8 57392.5 PA USD 58755.57 0.0191975130 Long LON CORP US N 2 2021-10-21 Floating 11.69375 N Y N N N N US BANK LOAN PAYABLE N/A US BANK LOAN PAYABLE N/A -75000000 PA USD -75000000 -24.5051401273 Short STIV CORP US N 2 2049-11-01 Floating 0.00 N N N N N N MONITRONICS INTERNATIONA N/A Monitronics International Inc 60945HAB0 366027.83 PA USD 312496.26 0.1021035285 Long LON CORP US N 2 2024-03-29 Floating 8.29938 N N N N N N 2020-02-25 DoubleLine Opportunistic Credit Fund /s/ Winnie Han DoubleLine Opportunistic Credit Fund Treasurer XXXX NPORT-EX 2 dbl-nport.htm NPORT-EX DOS

 

DoubleLine Opportunistic Credit Fund

Schedule of Investments

December 31, 2019 (Unaudited)

 

 

Principal Amount

$/Shares

   

Security Description

    Rate     

Maturity

    Value $  

Asset Backed Obligations - 4.4%

         
1,582,475    Castlelake Aircraft Securitization Trust, Series 2019-1A-C      6.90%  ^     04/15/2039      1,596,806  
1,420,459    Harley Marine Financing LLC, Series 2018-1A-A2      5.68%  ^     05/15/2043      1,269,297  
1,742,267    Horizon Aircraft Finance Ltd., Series 2018-1-C      6.66%  ^     12/15/2038      1,750,569  
4,887,500    Jimmy Johns Funding LLC, Series 2017-1A-A2II      4.85%  ^     07/30/2047      5,008,608  
20,000    SoFi Consumer Loan Program LLC, Series 2018-A-R1      6.11%  ^ @     02/25/2042      1,492,657  
5,930    SoFi Consumer Loan Program LLC, Series 2018-A-R2      6.11%  ^ @     02/25/2042      442,573  
1,976,000    Start Ltd., Series 2019-2-C      6.66%  ^     11/15/2044      1,975,111  
           

 

 

  

Total Asset Backed Obligations (Cost $13,486,628)

            13,535,621  
           

 

 

  

Bank Loans - 7.3%

         
89,325    Achilles Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)      5.81%       10/13/2025      90,386  
492,443    Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.19%       11/22/2023      494,598  
83,732    Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.30%       08/01/2025      84,255  
500,000    Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor)      9.45%       06/16/2025      490,538  
434,472    American Tire Distributors, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.50%, 1.00% Floor, 8.00% PIK)      9.30%       09/02/2024      389,938  
525,000    Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%)      8.30%       08/04/2025      532,678  
367,225    Athenahealth, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%)      6.40%       02/11/2026      369,673  
173,324    Avantor, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor)      4.80%       11/21/2024      175,129  
449,639    Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)      5.99%       12/16/2024      442,557  
162,917    Bass Pro Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor)      6.80%       09/25/2024      162,747  
285,000    BellRing Brands LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor)      6.80%       10/21/2024      288,742  
   BI-LO LLC, Senior Secured First Lien Term Loan         
168,421    (3 Month LIBOR USD + 8.00%, 1.00% Floor)      9.89%       05/31/2024      156,141  
163,421    (2 Month LIBOR USD + 8.00%, 1.00% Floor)      9.85%       05/31/2024      151,505  
160,658    (3 Month LIBOR USD + 8.00%, 1.00% Floor)      9.89%       05/31/2024      148,943  
499,950    Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)      6.05%       10/02/2025      495,463  
   Brand Energy & Infrastructure Services. Inc., Senior Secured First Lien Term Loan         
148,122    (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.18%       07/30/2024      147,937  
131,319    (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.29%       07/30/2024      131,155  
797,850    Brazos Delaware LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)      5.79%       05/21/2025      686,151  
289,239    Brookfield WEC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor)      5.30%       07/31/2025      291,679  
491,184    Constellis Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)      6.93%       04/22/2024      208,753  
478,938    Covia Holdings Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.04%       06/02/2025      371,814  
500,000    CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.03%       07/03/2020      486,250  
500,000    Cyxtera DC Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%, 1.00% Floor)      8.99%       05/01/2025      310,555  
24,414    Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)      5.94%       01/23/2026      24,615  
45,411    Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)      5.94%       01/23/2026      45,783  
277,929    EG America LLC, Senior Secured First Lien Term Loan      5.96%       02/06/2025      277,380  
492,500    EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      5.69%       05/02/2025      466,799  
341,550    Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.05%       10/01/2025      344,880  
680,000    Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.44%       08/01/2024      568,891  
487,141    Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)      7.66%  W     03/28/2022      216,081  
500,000    Gavilan Resources LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      7.80%       03/01/2024      200,000  
178,200    Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.31%       02/19/2026      178,980  
463,838    Granite Holdings Acquisition Company, Senior Secured First Lien Term Loan      7.21%       09/30/2026      466,157  
   Gulf Finance LLC, Senior Secured First Lien Term Loan         
252,752    (3 Month LIBOR USD + 5.25%, 1.00% Floor)      7.20%       08/25/2023      199,065  
426,197    (1 Month LIBOR USD + 5.25%, 1.00% Floor)      6.95%       08/25/2023      335,668  
354,101    Houston Foods, Inc., Senior Secured First Lien Term Loan      5.55%       06/27/2025      345,249  
350,000    Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor)      8.80%       05/31/2025      355,469  
240,000    Inmarsat PLC, Senior Secured First Lien Term Loan      6.41%  ±     09/23/2026      241,781  
393,970    ION Trading Technologies SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.06%       11/21/2024      378,211  
337,991    Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)      6.93%       10/20/2023      237,651  
472,800    Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.56%       06/30/2025      456,252  
538,188    Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)      6.81%       06/23/2025      542,897  
300,586    Klockner-Pentaplast of America, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.18%       06/30/2022      271,805  
477,707    LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      7.74%       05/01/2023      442,476  
   McDermott International, Inc., Senior Secured First Lien Delayed-Draw Term Loan         
57,393    (1 Month LIBOR USD + 10.00%, 1.00% Floor)      11.69%  W     10/21/2021      58,756  
126,263    (3 Month LIBOR USD + 10.00%, 1.00% Floor)      12.00%  W     10/21/2021      129,262  
477,351    McDermott International, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)      6.94%  W     05/12/2025      283,547  
436,700    Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)      6.80%       03/27/2026      431,241  
   Mirion Technologies, Inc., Senior Secured First Lien Term Loan         
175,018    (3 Month LIBOR USD + 4.00%)      6.10%       03/06/2026      176,769  
23,982    (1 Week LIBOR USD + 4.00%)      5.63%       03/06/2026      24,221  
333,333    Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%)      9.05%       11/20/2025      320,833  
197,027    MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.19%       07/11/2025      187,012  
155,000    MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.75%)      10.44%       07/13/2026      118,833  
365,113    Monitronics International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.50%, 1.25% Floor)      8.30%       03/29/2024      311,715  
110,000    NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%)      8.80%       10/19/2026      99,825  
500,000    Pearl Intermediate Parent LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%)      8.05%       01/30/2026      495,003  
   Polar US Borrower LLC, Senior Secured First Lien Term Loan         
1,275    (3 Month LIBOR USD + 4.75%)      6.69%       08/17/2025      1,272  
63,075    (3 Month LIBOR USD + 4.75%)      6.79%       08/17/2025      62,917  
500,000    PowerTeam Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.19%       03/06/2026      360,000  
258,375    Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%)      6.69%       03/11/2026      257,083  
   Radiology Partners, Inc., Senior Secured First Lien Term Loan               
95,967    (6 Month LIBOR USD + 4.75%, 1.00% Floor)      6.71%       07/09/2025      96,607  
111,928    (12 Month LIBOR USD + 4.75%, 1.00% Floor)      6.62%       07/09/2025      112,674  
108,350    Renaissance Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.05%       06/02/2025      108,079  
318,676    RentPath, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 1.00% Floor)      6.66%  W     12/17/2021      177,445  
75,000    Restaurant Technologies, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%)      8.30%       10/01/2026      74,813  
78,916    Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)      6.30%       06/20/2024      59,134  
305,573    Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)      5.91%       12/26/2023      303,128  
140,000    Solenis International LP, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%)      10.41%       06/18/2024      128,100  
190,000    Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)      8.55%       06/26/2026      191,900  
287,283    Summit Midstream Partners Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      7.80%       05/13/2022      272,919  
91,399    Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)      6.80%       10/01/2024      87,895  
163,083    Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%)      7.80%       04/01/2025      140,659  
500,000    The Edelman Financial Center LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)      8.54%       07/20/2026      500,625  
499,900    TKC Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.00%, 1.00% Floor)      9.80%       02/01/2024      454,909  
132,975    Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)      5.79%       01/25/2024      133,806  
124,688    Travelport Finance SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%)      6.94%       03/18/2026      116,957  
114,711    United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)      6.05%       10/22/2025      98,580  
500,000    Vantage Specialty Chemicals, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor)      10.16%       10/27/2025      436,250  
296,250    Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.30%       08/27/2025      298,965  
498,750    WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.75%, 1.00% Floor)      7.83%       06/18/2026      491,892  
362,246    Web.Com Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.75%)      9.49%       10/09/2026      349,681  
168,300    WeddingWire, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.20%       11/07/2025      169,352  
335,000    WeddingWire, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.25%)      10.05%       12/21/2026      331,650  
160,000    Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)      6.55%       09/25/2026      161,084  
           

 

 

  

Total Bank Loans (Cost $24,656,365)

            22,319,070  
           

 

 

  

Collateralized Loan Obligations - 27.5%

         
1,000,000    Allegany Park Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.78%, 6.78% Floor)      0.01%  ^     01/20/2033      985,181  
1,000,000    ALM LLC, Series 2015-12A-C1R2 (3 Month LIBOR USD + 2.65%, 2.65% Floor)      4.65%  ^     04/16/2027      1,000,732  
1,000,000    ARES Ltd., Series 2014-1A-SUB      8.79%  #^@Þ     04/17/2026      296,208  
1,700,000    Atlas Senior Loan Fund, Series 2019-14A-D (3 Month LIBOR USD + 3.90%, 3.90% Floor)      6.30%  ^     07/20/2032      1,659,424  
1,000,000    Atrium Corporation, Series 9A-DR (3 Month LIBOR USD + 3.60%)      5.51%  ^     05/28/2030      1,000,702  
1,000,000    Babson Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.95%)      4.92%  ^     10/21/2030      977,272  
1,000,000    Babson Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.60%)      5.60%  ^     07/18/2029      1,000,312  
500,000    Barings Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.90%)      4.87%  ^     07/20/2029      481,604  
1,000,000    Barings Ltd., Series 2018-3A-E (3 Month LIBOR USD + 5.75%)      7.72%  ^     07/20/2029      962,310  
2,500,000    Barings Ltd., Series 2019-1A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor)      5.85%  ^     04/15/2031      2,506,852  
1,000,000    Barings Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.68%, 6.68% Floor)      8.68%  ^     04/15/2031      1,002,177  
1,000,000    Barings Ltd., Series 2019-2A-C (3 Month LIBOR USD + 3.85%, 3.85% Floor)      5.85%  ^     04/15/2031      1,001,244  
5,000,000    Beechwood Park Ltd., Series 2019-1A-D1 (3 Month LIBOR USD + 4.10%, 4.10% Floor)      6.00%  ^     01/17/2033      4,999,489  
2,000,000    Beechwood Park Ltd., Series 2019-1A-E (3 Month LIBOR USD + 7.50%, 7.50% Floor)      9.40%  ^     01/17/2033      1,999,193  
1,900,000    BlueMountain Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 7.50%, 7.50% Floor)      9.47%  ^     01/22/2029      1,757,202  
1,000,000    BlueMountain Ltd., Series 2013-2A-DR (3 Month LIBOR USD + 2.90%)      4.85%  ^     10/22/2030      955,371  
1,000,000    Canyon Capital Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.60%)      5.60%  ^     07/15/2030      1,000,312  
1,000,000    Canyon Capital Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.25%)      8.25%  ^     07/15/2030      978,020  
1,500,000    Canyon Capital Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)      7.75%  ^     07/15/2031      1,420,238  
1,550,000    Canyon Capital Ltd., Series 2019-1A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor)      5.85%  ^     04/15/2032      1,551,240  
1,500,000    Carlyle Global Market Strategies Ltd., Series 2015-5A-DR (3 Month LIBOR USD + 6.70%, 6.70% Floor)      8.67%  ^     01/20/2032      1,428,862  
3,750,000    Cathedral Lake Ltd., Series 2015-3A-DR (3 Month LIBOR USD + 4.10%, 4.10% Floor)      6.10%  ^     07/16/2029      3,754,769  
2,500,000    Dryden Senior Loan Fund, Series 2014-33A-ER2 (3 Month LIBOR USD + 6.97%, 6.97% Floor)      8.97%  ^     04/16/2029      2,505,131  
1,500,000    Dryden Senior Loan Fund, Series 2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor)      7.15%  ^     01/15/2031      1,352,709  
2,000,000    Dryden Senior Loan Fund, Series 2015-40A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)      7.66%  ^     08/15/2031      1,915,611  
500,000    Dryden Senior Loan Fund, Series 2017-50A-D (3 Month LIBOR USD + 3.25%)      5.25%  ^     07/15/2030      499,419  
2,000,000    Gilbert Park Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.40%)      8.40%  ^     10/15/2030      2,014,934  
500,000    GoldenTree Loan Management Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.85%)      4.82%  ^     04/22/2030      484,572  
1,000,000    Greenwood Park Ltd., Series 2018-1A-E (3 Month LIBOR USD + 4.95%)      6.95%  ^     04/15/2031      914,671  
500,000    Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D (3 Month LIBOR USD + 3.65%)      5.60%  ^     10/22/2025      499,913  
1,000,000    Highbridge Loan Management Ltd., Series 2013-2A-CR (3 Month LIBOR USD + 2.90%)      4.87%  ^     10/20/2029      941,915  
1,000,000    HPS Loan Management Ltd., Series 11A-17-E (3 Month LIBOR USD + 6.10%)      8.01%  ^     05/06/2030      912,871  
2,500,000    LCM LP, Series 26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor)      7.27%  ^     01/21/2031      2,263,020  
1,500,000    Madison Park Funding Ltd., Series 2019-34A-E (3 Month LIBOR USD + 6.75%, 6.75% Floor)      8.69%  ^     04/25/2031      1,501,422  
1,500,000    Magnetite Ltd., Series 2019-24A-D (3 Month LIBOR USD + 3.80%, 3.80% Floor)      5.71%  ^     01/15/2033      1,500,158  
1,000,000    Magnetite Ltd., Series 2019-24A-E (3 Month LIBOR USD + 6.95%, 6.95% Floor)      8.86%  ^     01/15/2033      1,002,340  
2,500,000    Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-E (3 Month LIBOR USD + 5.40%)      7.40%  ^     01/18/2028      2,467,798  
1,000,000    Neuberger Berman Loan Advisers Ltd., Series 2017-25A-D (3 Month LIBOR USD + 3.25%)      5.25%  ^     10/18/2029      994,539  
2,000,000    Neuberger Berman Loan Advisers Ltd., Series 2019-32A-D (3 Month LIBOR USD + 3.85%, 3.85% Floor)      5.82%  ^     01/20/2032      2,001,710  
1,000,000    Newark BSL Ltd., Series 2016-1A-D (3 Month LIBOR USD + 6.75%)      8.69%  ^     12/21/2029      1,000,417  
1,000,000    Octagon Investment Partners Ltd., Series 2012-1A-CR (3 Month LIBOR USD + 4.00%)      6.00%  ^     07/16/2029      1,000,388  
2,500,000    Octagon Investment Partners Ltd., Series 2014-1A-CRR (3 Month LIBOR USD + 3.95%, 3.95% Floor)      5.86%  ^     02/17/2032      2,506,398  
4,000,000    Octagon Investment Partners Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 7.00%, 7.00% Floor)      8.91%  ^     02/17/2032      3,981,088  
1,000,000    Octagon Investment Partners Ltd., Series 2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor)      10.09%  ^     07/15/2030      869,184  
2,000,000    Octagon Investment Partners Ltd., Series 2017-1A-SUB      13.58%  #^@Þ     03/17/2030      1,361,229  
1,500,000    Octagon Investment Partners Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.20%, 5.20% Floor)      7.17%  ^     01/21/2031      1,399,018  
900,000    Octagon Investment Partners Ltd., Series 2018-3A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)      7.72%  ^     10/21/2030      866,958  
1,000,000    RRAM Ltd., Series 2018-4A-C (3 Month LIBOR USD + 2.95%)      4.95%  ^     04/15/2030      952,836  
2,000,000    Taconic Park Ltd., Series 2016-1A-C (3 Month LIBOR USD + 4.05%)      6.02%  ^     01/22/2029      2,001,308  
2,250,000    Trimaran CAVU LLC, Series 2019-1A-D (3 Month LIBOR USD + 4.15%, 4.15% Floor)      6.12%  ^     07/20/2032      2,216,208  
500,000    Trimaran CAVU LLC, Series 2019-2A-C (3 Month LIBOR USD + 4.72%, 4.72% Floor)      6.63%  ^     11/26/2032      499,986  
1,000,000    Voya Ltd., Series 2017-3A-C (3 Month LIBOR USD + 3.55%)      5.52%  ^     07/22/2030      1,000,319  
3,000,000    Voya Ltd., Series 2019-4A-D (3 Month LIBOR USD + 3.83%, 3.83% Floor)      5.57%  ^     01/18/2033      2,940,691  
2,000,000    Wind River Ltd., Series 2012-1A-ER (3 Month LIBOR USD + 7.38%)      9.38%  ^     01/15/2026      1,963,940  
2,500,000    Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)      7.75%  ^     01/15/2031      2,047,580  
1,040,000    Wind River Ltd., Series 2017-4A-D (3 Month LIBOR USD + 2.65%)      4.55%  ^     11/20/2030      975,602  
           

 

 

  

Total Collateralized Loan Obligations (Cost $85,361,263)

            84,074,597  
           

 

 

  

Foreign Corporate Bonds - 0.7%

         
2,000,000    AI Candelaria Spain SLU      7.50%       12/15/2028      2,248,195  
           

 

 

  

Total Foreign Corporate Bonds (Cost $1,938,324)

            2,248,195  
           

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 20.5%

         
450,000    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.45%  #     01/12/2045      387,405  
18,488,241    Benchmark Mortgage Trust, Series 2018-B1-XA      0.52%  #I/O     01/18/2051      624,076  
1,012,000    BF Mortgage Trust, Series 2019-NYT-F (1 Month LIBOR USD + 3.00%, 3.00% Floor)      4.74%  ^     12/17/2035      1,020,619  
5,000,000    BX Commercial Mortgage Trust, Series 2019-IMC-G (1 Month LIBOR USD + 3.60%, 3.60% Floor)      5.34%  ^     04/17/2034      5,038,043  
1,025,000    BXP Trust, Series 2017-CQHP-E (1 Month LIBOR USD + 3.00%, 3.00% Floor)      4.74%  ^     11/15/2034      1,026,513  
976,000    Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor)      4.59%  ^     11/18/2021      983,779  
18,150,799    CD Commercial Mortgage Trust, Series 2017-CD6-XA      0.96%  #I/O     11/15/2050      951,394  
269,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.43%  #^     02/12/2048      255,565  
4,669,527    Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA      1.36%  #I/O     02/12/2048      250,232  
254,000    Citigroup Commercial Mortgage Trust, Series 2016-GC36-D      2.85%  ^     02/10/2049      220,284  
168,000    Citigroup Commercial Mortgage Trust, Series 2018-TBR-F (1 Month LIBOR USD + 3.65%, 3.75% Floor)      5.39%  ^     12/15/2036      169,600  
42,255,505    Commercial Mortgage Pass-Through Certificates, Series 2013-LC6-XA      1.34%  #I/O     01/12/2046      1,391,030  
26,400,000    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3-XC      1.24%  #^I/O     06/12/2047      1,319,390  
1,288,300    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F      3.75%  ^Þ     08/12/2047      485,787  
2,307,151    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G      3.75%  ^Þ     08/12/2047      171,814  
5,000    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V      0.00%  #^Þ     08/12/2047      1  
27,394,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR23-XD      1.02%  #^I/O     05/12/2048      1,389,835  
566,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-C      4.48%  #     10/10/2048      598,851  
5,297,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XD      1.23%  #^I/O     10/13/2048      329,516  
91,922,021    Commercial Mortgage Pass-Through Certificates, Series 2015-LC21-XA      0.76%  #I/O     07/10/2048      2,572,217  
1,500,000    Commercial Mortgage Pass-Through Certificates, Series 2015-LC23-E      3.65%  #^     10/13/2048      1,338,541  
549,000    Commercial Mortgage Pass-Through Certificates, Series 2016-CR28-E      4.15%  #^     02/12/2049      540,943  
128,727    FREMF Mortgage Trust, Series 2016-KF22-B (1 Month LIBOR USD + 5.05%, 5.05% Floor)      6.75%  ^     07/25/2023      133,181  
167,538    GMAC Commercial Mortgage Securities Trust, Series 2004-C3-E      5.14%  #^     12/10/2041      168,535  
5,000,000    Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor)      4.85%  ^     12/15/2036      4,998,465  
1,000,000    GS Mortgage Securities Trust, Series 2015-GC28-D      4.32%  #^     02/12/2048      957,541  
80,989,684    GS Mortgage Securities Trust, Series 2018-GS9-XA      0.45%  #I/O     03/10/2051      2,525,777  
500,000    GS Mortgage Securities Trust, Series 2014-GC26-C      4.51%  #     11/13/2047      509,265  
2,150,000    GS Mortgage Securities Trust, Series 2014-GC26-D      4.51%  #^     11/13/2047      1,883,692  
1,640,000    Hawaii Hotel Trust, Series 2019-MAUI-F (1 Month LIBOR USD + 2.75%, 2.75% Floor)      4.49%  ^     05/17/2038      1,644,870  
1,527,595    HPLY Trust, Series 2019-HIT-G (1 Month LIBOR USD + 3.90%, 3.90% Floor)      5.64%  ^     11/17/2036      1,529,499  
23,262,501    JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA      1.48%  #I/O     06/16/2045      505,643  
94,962    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9-AMS      5.34%       05/15/2047      91,602  
2,000,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3-D      5.66%  #^     02/16/2046      1,993,280  
500,000    JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-F (1 Month LIBOR USD + 3.00%, 3.00% Floor)      4.74%  ^     07/15/2036      502,033  
10,765,000    JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC      1.10%  #^I/O     08/17/2046      365,416  
3,488,650    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E      4.00%  #^Þ     04/17/2047      2,950,942  
1,938,200    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F      3.75%  #^Þ     04/17/2047      1,111,710  
5,273,268    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR      3.75%  #^Þ     04/17/2047      1,096,629  
925,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C      4.47%  #     09/15/2047      975,835  
2,000,000    JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-D      3.97%  #^     09/17/2047      1,984,177  
4,234,506    JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA      0.97%  #I/O     01/17/2048      161,877  
500,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D      3.81%  #^     02/18/2048      484,159  
360,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-C      4.16%  #     05/15/2048      369,614  
20,920,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XE      0.26%  #^I/O     05/15/2048      359,880  
675,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C      4.67%  #     11/15/2048      714,992  
16,358,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XD      0.50%  #^I/O     11/18/2048      410,952  
165,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C33-C      4.62%  #     12/17/2048      173,069  
2,876,000    LoanCore Issuer Ltd., Series 2019-CRE3-D (1 Month LIBOR USD + 2.50%, 2.50% Floor)      4.24%  ^     05/15/2036      2,886,057  
1,137,735    Lone Star Portfolio Trust, Series 2015-LSP-D (1 Month LIBOR USD + 4.25%, 4.00% Floor)      5.99%  ^     09/15/2028      1,143,331  
4,840,370    LSTAR Commercial Mortgage Trust, Series 2016-4-XA      1.84%  #^I/O     03/12/2049      286,181  
500,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C      4.00%       12/17/2047      515,899  
804,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-D      3.24%  #^     12/17/2047      748,637  
525,000    Morgan Stanley Capital Trust, Series 2014-CPT-G      3.45%  #^     07/13/2029      522,921  
1,191,000    Morgan Stanley Capital Trust, Series 2017-ASHF-G (1 Month LIBOR USD + 6.90%, 6.90% Floor)      8.64%  ^     11/15/2034      1,180,472  
824,000    UBS Commercial Mortgage Trust, Series 2013-C5-D      4.08%  #^     03/12/2046      790,976  
467,000    Wells Fargo Commercial Mortgage Trust, Series 2012-LC5-E      4.76%  #^Þ     10/17/2045      473,494  
23,293,000    Wells Fargo Commercial Mortgage Trust, Series 2015-C28-XF      1.11%  #^I/O     05/15/2048      1,196,466  
747,000    Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-D      3.60%  #     12/17/2048      741,215  
55,347,895    Wells Fargo Commercial Mortgage Trust, Series 2018-C43-XA      0.70%  #I/O     03/17/2051      2,588,505  
           

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $67,456,561)

            62,742,224  
           

 

 

  

Non-Agency Residential Collateralized Mortgage Obligations - 30.3%

         
1,807,572    Adjustable Rate Mortgage Trust, Series 2006-1-2A1      4.31%  #     03/25/2036      1,393,234  
855,842    Banc of America Alternative Loan Trust, Series 2005-8-2CB1      6.00%       09/25/2035      873,454  
11,684,339    BCAP LLC Trust, Series 2007-AB1-A5      4.85%  ß     03/25/2037      7,328,134  
4,869,007    BCAP LLC Trust, Series 2010-RR6-2216      3.69%  #^     06/26/2036      4,831,550  
920,721    BCAP LLC Trust, Series 2010-RR6-6A2      9.30%  #^     07/26/2037      794,436  
1,750,821    Chase Mortgage Finance Trust, Series 2007-S1-A7      6.00%       02/25/2037      1,225,941  
1,870,095    Chase Mortgage Finance Trust, Series 2007-S3-1A5      6.00%       05/25/2037      1,444,093  
1,921,334    CHL Mortgage Pass-Through Trust, Series 2007-4-1A35 (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap)      4.91%  I/FI/O     05/25/2037      548,141  
7,000,000    CIM Trust, Series 2016-1RR-B2      7.78%  #^Þ     08/26/2055      7,069,080  
7,000,000    CIM Trust, Series 2016-2RR-B2      8.23%  #^Þ     02/29/2056      7,050,836  
7,000,000    CIM Trust, Series 2016-3RR-B2      7.99%  #^Þ     02/29/2056      7,063,818  
6,010,000    CIM Trust, Series 2017-3RR-B2      11.09%  #^Þ     01/29/2057      6,183,386  
464,780    Citigroup Mortgage Loan Trust, Inc., Series 2006-8-A4 (-3 x 1 Month LIBOR USD + 19.66%, 19.66% Cap)      14.73%  ^I/F     10/25/2035      592,223  
2,133,135    CitiMortgage Alternative Loan Trust, Series 2007-A4-1A6      5.75%       04/25/2037      2,080,578  
1,726,670    CitiMortgage Alternative Loan Trust, Series 2007-A6-1A16      6.00%       06/25/2037      1,693,190  
1,109,909    Countrywide Alternative Loan Trust, Series 2005-85CB-2A5 (1 Month LIBOR USD + 1.10%, 1.10% Floor, 7.00% Cap)      2.89%       02/25/2036      961,765  
234,395    Countrywide Alternative Loan Trust, Series 2005-85CB-2A6 (-4 x 1 Month LIBOR USD + 21.63%, 21.63% Cap)      15.06%  I/F     02/25/2036      311,918  
2,487,775    Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-7A1      6.00%       12/25/2035      2,054,926  
3,193,554    Credit Suisse Mortgage Capital Certificates, Series 2006-5-3A3      6.50%       06/25/2036      1,285,709  
839,387    Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1      5.50%       11/25/2036      768,815  
400,960    Credit Suisse Mortgage Capital Certificates, Series 2006-9-6A14      6.00%       11/25/2036      392,184  
1,541,150    IndyMac Mortgage Loan Trust, Series 2005-AR23-6A1      3.67%  #     11/25/2035      1,466,323  
160,947    JP Morgan Alternative Loan Trust, Series 2006-S1-2A5      5.50%       02/25/2021      156,159  
2,508,452    JP Morgan Resecuritization Trust, Series 2011-1-2A10      6.00%  #^     06/26/2037      2,330,976  
1,147,904    Lehman Mortgage Trust, Series 2007-10-1A1      6.00%       01/25/2038      1,199,291  
1,658,680    Lehman Mortgage Trust, Series 2007-4-1A3      5.75%       05/25/2037      1,324,416  
5,800,000    PNMAC GMSR Trust, Series 2018-FT1-A (1 Month LIBOR USD + 2.35%)      4.14%  ^     04/25/2023      5,811,737  
1,301,536    RBSGC Structured Trust, Series 2008-B-A1      6.00%  ^     06/25/2037      1,293,172  
1,879,352    Residential Accredit Loans, Inc., Series 2005-QS13-2A3      5.75%       09/25/2035      1,856,195  
1,189,613    Residential Accredit Loans, Inc., Series 2005-QS14-3A1      6.00%       09/25/2035      1,149,602  
1,412,681    Residential Accredit Loans, Inc., Series 2006-QS10-A1      6.00%       08/25/2036      1,369,108  
2,698,965    Residential Accredit Loans, Inc., Series 2006-QS7-A3      6.00%       06/25/2036      2,509,673  
747,794    Residential Accredit Loans, Inc., Series 2007-QS1-1A1      6.00%       01/25/2037      707,452  
3,225,485    Residential Accredit Loans, Inc., Series 2007-QS3-A1      6.50%       02/25/2037      3,034,569  
1,270,590    Residential Accredit Loans, Inc., Series 2007-QS6-A1 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap)      2.12%       04/25/2037      992,890  
1,345,162    Residential Accredit Loans, Inc., Series 2007-QS6-A102      5.75%       04/25/2037      1,260,190  
289,447    Residential Accredit Loans, Inc., Series 2007-QS6-A2 (-8 x 1 Month LIBOR USD + 55.58%, 55.58% Cap)      40.65%  I/F     04/25/2037      611,635  
1,659,984    Residential Asset Securitization Trust, Series 2006-A6-1A12 (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap)      5.31%  I/FI/O     07/25/2036      410,278  
1,641,316    Residential Asset Securitization Trust, Series 2006-A6-1A9      6.00%       07/25/2036      682,135  
846,070    Residential Funding Mortgage Securities Trust, Series 2007-S2-A4      6.00%       02/25/2037      800,082  
863,674    Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-2A2      3.92%  #     02/25/2036      848,560  
1,061,539    Velocity Commercial Capital Loan Trust, Series 2018-1-M4      5.01%  ^     04/25/2048      1,090,189  
675,318    Velocity Commercial Capital Loan Trust, Series 2018-1-M5      6.26%  ^     04/25/2048      695,739  
1,361,441    Velocity Commercial Capital Loan Trust, Series 2018-1-M6      7.26%  ^     04/25/2048      1,368,649  
3,966,561    Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A4      4.30%  ß     10/25/2036      2,154,476  
1,694,058    Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A1      6.00%       07/25/2037      1,691,107  
           

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $91,427,927)

            92,762,014  
           

 

 

  

US Government and Agency Mortgage Backed Obligations - 23.2%

         
610,120    Federal Home Loan Mortgage Corporation, Series 3211-SI (-4 x 1 Month LIBOR USD + 27.67%, 27.67% Cap)      20.35%  I/FI/O     09/15/2036      439,177  
1,369,926    Federal Home Loan Mortgage Corporation, Series 3236-ES (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap)      4.96%  I/FI/O     11/15/2036      238,026  
833,864    Federal Home Loan Mortgage Corporation, Series 3256-S (-1 x 1 Month LIBOR USD + 6.69%, 6.69% Cap)      4.95%  I/FI/O     12/15/2036      163,965  
540,990    Federal Home Loan Mortgage Corporation, Series 3292-SD (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.36%  I/FI/O     03/15/2037      85,994  
5,502,202    Federal Home Loan Mortgage Corporation, Series 3297-BI (-1 x 1 Month LIBOR USD + 6.76%, 6.76% Cap)      5.02%  I/FI/O     04/15/2037      1,122,104  
4,159,762    Federal Home Loan Mortgage Corporation, Series 3311-BI (-1 x 1 Month LIBOR USD + 6.76%, 6.76% Cap)      5.02%  I/FI/O     05/15/2037      725,556  
4,027,039    Federal Home Loan Mortgage Corporation, Series 3311-IA (-1 x 1 Month LIBOR USD + 6.41%, 6.41% Cap)      4.67%  I/FI/O     05/15/2037      768,630  
909,774    Federal Home Loan Mortgage Corporation, Series 3314-SH (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap)      4.66%  I/FI/O     11/15/2036      159,448  
453,489    Federal Home Loan Mortgage Corporation, Series 3330-KS (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.81%  I/FI/O     06/15/2037      57,260  
122,071    Federal Home Loan Mortgage Corporation, Series 3339-AI (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.81%  I/FI/O     07/15/2037      16,892  
2,666,799    Federal Home Loan Mortgage Corporation, Series 3339-TI (-1 x 1 Month LIBOR USD + 6.14%, 6.14% Cap)      4.40%  I/FI/O     07/15/2037      470,272  
1,855,527    Federal Home Loan Mortgage Corporation, Series 3374-SD (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap)      4.71%  I/FI/O     10/15/2037      300,905  
327,779    Federal Home Loan Mortgage Corporation, Series 3382-SU (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap)      4.56%  I/FI/O     11/15/2037      42,096  
4,766,651    Federal Home Loan Mortgage Corporation, Series 3404-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      4.26%  I/FI/O     01/15/2038      876,545  
296,031    Federal Home Loan Mortgage Corporation, Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap)      3.91%  I/FI/O     03/15/2038      33,440  
3,560,971    Federal Home Loan Mortgage Corporation, Series 3435-S (-1 x 1 Month LIBOR USD + 5.98%, 5.98% Cap)      4.24%  I/FI/O     04/15/2038      562,811  
229,948    Federal Home Loan Mortgage Corporation, Series 3508-PS (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.91%  I/FI/O     02/15/2039      25,300  
2,218,947    Federal Home Loan Mortgage Corporation, Series 3728-SV (-1 x 1 Month LIBOR USD + 4.45%, 4.45% Cap)      2.71%  I/FI/O     09/15/2040      208,189  
10,374,832    Federal Home Loan Mortgage Corporation, Series 3736-SN (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      4.31%  I/FI/O     10/15/2040      1,922,168  
4,003,457    Federal Home Loan Mortgage Corporation, Series 3753-SB (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      4.26%  I/FI/O     11/15/2040      682,687  
4,438,682    Federal Home Loan Mortgage Corporation, Series 3780-SM (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.76%  I/FI/O     12/15/2040      866,988  
1,483,285    Federal Home Loan Mortgage Corporation, Series 3815-ST (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap)      4.11%  I/FI/O     02/15/2041      217,021  
1,174,966    Federal Home Loan Mortgage Corporation, Series 3905-SC (-5 x 1 Month LIBOR USD + 22.75%, 22.75% Cap)      14.29%  I/F     08/15/2041      2,236,502  
1,468,784    Federal Home Loan Mortgage Corporation, Series 3924-SJ (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      4.26%  I/FI/O     09/15/2041      230,477  
4,993,962    Federal Home Loan Mortgage Corporation, Series 3960-ES (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap)      4.21%  I/FI/O     11/15/2041      628,421  
3,353,202    Federal Home Loan Mortgage Corporation, Series 4225-BS (-3 x 1 Month LIBOR USD + 11.87%, 11.87% Cap)      7.36%  I/F     12/15/2040      4,153,705  
3,729,954    Federal Home Loan Mortgage Corporation, Series 4291-MS (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap)      4.16%  I/FI/O     01/15/2054      712,344  
142,985    Federal National Mortgage Association, Series 2005-72-WS (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)      4.96%  I/FI/O     08/25/2035      19,148  
1,479,351    Federal National Mortgage Association, Series 2005-90-SP (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap)      4.96%  I/FI/O     09/25/2035      147,525  
627,632    Federal National Mortgage Association, Series 2006-117-SQ (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap)      4.76%  I/FI/O     12/25/2036      79,139  
320,170    Federal National Mortgage Association, Series 2006-119-HS (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.86%  I/FI/O     12/25/2036      40,191  
5,445,237    Federal National Mortgage Association, Series 2006-123-CI (-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap)      4.95%  I/FI/O     01/25/2037      1,080,515  
2,487,447    Federal National Mortgage Association, Series 2007-15-BI (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap)      4.91%  I/FI/O     03/25/2037      468,125  
700,783    Federal National Mortgage Association, Series 2007-20-S (-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap)      4.95%  I/FI/O     03/25/2037      86,728  
419,624    Federal National Mortgage Association, Series 2007-21-SD (-1 x 1 Month LIBOR USD + 6.48%, 6.48% Cap)      4.69%  I/FI/O     03/25/2037      48,106  
1,134,628    Federal National Mortgage Association, Series 2007-30-IE (-1 x 1 Month LIBOR USD + 6.74%, 6.74% Cap)      4.95%  I/FI/O     04/25/2037      266,181  
2,644,123    Federal National Mortgage Association, Series 2007-32-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.31%  I/FI/O     04/25/2037      426,139  
1,319,300    Federal National Mortgage Association, Series 2007-40-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.31%  I/FI/O     05/25/2037      206,379  
190,716    Federal National Mortgage Association, Series 2007-48-SE (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.31%  I/FI/O     05/25/2037      20,524  
480,146    Federal National Mortgage Association, Series 2007-64-LI (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap)      4.77%  I/FI/O     07/25/2037      58,654  
141,659    Federal National Mortgage Association, Series 2007-68-SA (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.86%  I/FI/O     07/25/2037      16,687  
6,306,200    Federal National Mortgage Association, Series 2007-75-PI (-1 x 1 Month LIBOR USD + 6.54%, 6.54% Cap)      4.75%  I/FI/O     08/25/2037      1,134,294  
3,614,431    Federal National Mortgage Association, Series 2008-33-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      4.21%  I/FI/O     04/25/2038      582,654  
2,980,850    Federal National Mortgage Association, Series 2008-42-SC (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap)      4.11%  I/FI/O     05/25/2038      464,086  
697,995    Federal National Mortgage Association, Series 2008-5-GS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.46%  I/FI/O     02/25/2038      113,575  
1,818,024    Federal National Mortgage Association, Series 2008-62-SD (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      4.26%  I/FI/O     07/25/2038      285,177  
1,229,738    Federal National Mortgage Association, Series 2008-68-SB (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.31%  I/FI/O     08/25/2038      203,481  
256,578    Federal National Mortgage Association, Series 2009-111-SE (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.46%  I/FI/O     01/25/2040      32,170  
1,164,317    Federal National Mortgage Association, Series 2009-12-CI (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap)      4.81%  I/FI/O     03/25/2036      188,904  
264,475    Federal National Mortgage Association, Series 2009-47-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.31%  I/FI/O     07/25/2039      25,195  
292,859    Federal National Mortgage Association, Series 2009-48-WS (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap)      4.16%  I/FI/O     07/25/2039      30,606  
140,921    Federal National Mortgage Association, Series 2009-67-SA (-1 x 1 Month LIBOR USD + 5.15%, 0.25% Floor, 5.15% Cap)      3.36%  I/FI/O     07/25/2037      11,441  
671,214    Federal National Mortgage Association, Series 2009-87-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      4.21%  I/FI/O     11/25/2049      81,658  
1,095,619    Federal National Mortgage Association, Series 2009-91-SD (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap)      4.36%  I/FI/O     11/25/2039      181,681  
232,539    Federal National Mortgage Association, Series 2010-115-SD (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap)      4.81%  I/FI/O     11/25/2039      32,493  
359,159    Federal National Mortgage Association, Series 2010-11-SC (-1 x 1 Month LIBOR USD + 4.80%, 4.80% Cap)      3.01%  I/FI/O     02/25/2040      30,047  
1,789,003    Federal National Mortgage Association, Series 2010-134-SE (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap)      4.86%  I/FI/O     12/25/2025      145,508  
7,086,042    Federal National Mortgage Association, Series 2010-142-SC (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap)      4.81%  I/FI/O     12/25/2040      1,512,605  
1,218,978    Federal National Mortgage Association, Series 2010-15-SL (-1 x 1 Month LIBOR USD + 4.95%, 4.95% Cap)      3.16%  I/FI/O     03/25/2040      153,871  
256,463    Federal National Mortgage Association, Series 2010-19-SA (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.61%  I/FI/O     03/25/2050      19,444  
1,019,878    Federal National Mortgage Association, Series 2010-31-SB (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      3.21%  I/FI/O     04/25/2040      122,603  
1,686,344    Federal National Mortgage Association, Series 2010-39-SL (-1 x 1 Month LIBOR USD + 5.67%, 5.67% Cap)      3.88%  I/FI/O     05/25/2040      253,665  
277,777    Federal National Mortgage Association, Series 2010-8-US (-1 x 1 Month LIBOR USD + 4.80%, 4.80% Cap)      3.01%  I/FI/O     02/25/2040      18,233  
297,221    Federal National Mortgage Association, Series 2010-9-GS (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap)      2.96%  I/FI/O     02/25/2040      22,404  
1,426,004    Federal National Mortgage Association, Series 2011-114-S (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      4.21%  I/FI/O     09/25/2039      226,534  
2,267,934    Federal National Mortgage Association, Series 2011-146-US (-1 x 1 Month LIBOR USD + 7.00%, 7.00% Cap)      4.49%  I/F     01/25/2042      2,368,328  
763,636    Federal National Mortgage Association, Series 2011-5-PS (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap)      4.61%  I/FI/O     11/25/2040      61,500  
330,984    Federal National Mortgage Association, Series 2012-29-SG (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      4.21%  I/FI/O     04/25/2042      43,252  
4,794,030    Federal National Mortgage Association, Series 2012-56-SN (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      4.26%  I/FI/O     06/25/2042      752,923  
4,870,988    Federal National Mortgage Association, Series 2012-76-SC (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      4.21%  I/FI/O     07/25/2042      786,963  
9,953,709    Federal National Mortgage Association, Series 2013-83-US (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap)      3.21%  I/F     08/25/2043      9,698,789  
330,974    Federal National Mortgage Association, Series 374-19      6.50%  I/O     09/25/2036      75,915  
830,319    Government National Mortgage Association, Series 2009-104-SD (-1 x 1 Month LIBOR USD + 6.35%, 6.35% Cap)      4.61%  I/FI/O     11/16/2039      148,514  
161,682    Government National Mortgage Association, Series 2010-98-IA      5.69%  #I/O     03/20/2039      19,323  
1,048,998    Government National Mortgage Association, Series 2011-69-SB (-1 x 1 Month LIBOR USD + 5.35%, 5.35% Cap)      3.59%  I/FI/O     05/20/2041      161,070  
1,544,170    Government National Mortgage Association, Series 2011-71-SG (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.64%  I/FI/O     05/20/2041      245,029  
1,811,425    Government National Mortgage Association, Series 2011-72-AS (-1 x 1 Month LIBOR USD + 5.38%, 5.38% Cap)      3.62%  I/FI/O     05/20/2041      275,138  
2,130,899    Government National Mortgage Association, Series 2011-89-SA (-1 x 1 Month LIBOR USD + 5.45%, 5.45% Cap)      3.69%  I/FI/O     06/20/2041      312,039  
949,321    Government National Mortgage Association, Series 2012-34-LI (-20 x 1 Month LIBOR USD + 122.00%, 6.00% Cap)      6.00%  I/FI/O     12/16/2039      215,412  
9,671,703    Government National Mortgage Association, Series 2013-119-TZ      3.00%  >     08/20/2043      9,712,191  
33,113,587    Government National Mortgage Association, Series 2013-39-HS (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap)      2.99%  I/FI/O     03/20/2041      4,335,211  
6,008,455    Government National Mortgage Association, Series 2014-39-SK (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)      4.44%  I/FI/O     03/20/2044      1,141,863  
8,648,723    Government National Mortgage Association, Series 2014-59-DS (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap)      4.51%  I/FI/O     04/16/2044      1,520,815  
6,235,326    Government National Mortgage Association, Series 2014-63-SD (-1 x 1 Month LIBOR USD + 5.55%, 5.55% Cap)      3.79%  I/FI/O     04/20/2044      1,481,076  
5,193,587    Government National Mortgage Association, Series 2014-69-ST (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)      4.36%  I/FI/O     12/16/2039      847,515  
6,539,913    Government National Mortgage Association, Series 2015-148-BS (-1 x 1 Month LIBOR USD + 5.69%, 5.69% Cap)      3.93%  I/FI/O     10/20/2045      1,057,448  
37,573,649    Government National Mortgage Association, Series 2018-111-SA (-1 x 1 Month LIBOR USD + 4.55%, 4.55% Cap)      2.79%  I/FI/O     08/20/2048      3,307,691  
72,654,251    Government National Mortgage Association, Series 2018-48-SD (-1 x 1 Month LIBOR USD + 3.90%, 3.90% Cap)      2.14%  I/FI/O     04/20/2048      5,806,869  
           

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $60,610,377)

            71,158,167  
           

 

 

  

Common Stocks - 0.0%

         
1,813    McDermott International, Inc. *            1,226  
6,558    Syncreon Group B.V. * Þ            91,810  
           

 

 

  

Total Common Stocks (Cost $180,411)

            93,036  
           

 

 

  

Short Term Investments - 10.2%

         
1,171,510    First American Government Obligations Fund - Class U      1.53%  ◆          1,171,510  
1,171,510    JP Morgan U.S. Government Money Market Fund - Institutional Share Class      1.51%  ◆          1,171,510  
1,171,510    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.51%  ◆          1,171,510  
28,000,000    United States Treasury Bill      0.00%       12/03/2020      27,613,576  
           

 

 

  

Total Short Term Investments (Cost $31,127,262)

            31,128,106  
           

 

 

  

Total Investments - 124.1% (Cost $376,245,118)

            380,061,030  

Liabilities in Excess of Other Assets - (24.1)%

            (73,907,283 ) 
  

 

 

  

NET ASSETS - 100.0%

          $ 306,153,747  
           

 

 

  

 

  ^

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.

 

 

  W

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

 

 

  Þ

Value determined using significant unobservable inputs.

 

 

  #

Variable Rate Security. Coupon rate is 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.

 

 

  ±

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 December 31, 2019.

 

 

  I/O

Interest only security

 

 

  ß

The interest rate may step up conditioned upon the aggregate remaining principal balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of December 31, 2019.

 

 

  I/F

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.

 

 

  >

This U.S. Agency bond accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of December 31, 2019.

 

 

  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

 

 

  *

Non-income producing security

 

 

  @

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 December 31, 2019.

 

 

  ◆

Seven-day yield as of December 31, 2019

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Non-Agency Residential Collateralized Mortgage Obligations

      30.3 % 

Collateralized Loan Obligations

      27.5 % 

US Government and Agency Mortgage Backed Obligations

      23.2 % 

Non-Agency Commercial Mortgage Backed Obligations

      20.5 % 

Short Term Investments

      10.2 % 

Bank Loans

      7.3 % 

Asset Backed Obligations

      4.4 % 

Foreign Corporate Bonds

      0.7 % 

Common Stocks

      0.0 % ~ 

Other Assets and Liabilities

      (24.1 )% 
  

 

 

  
             100.0 % 
  

 

 

  

~ Represents less than 0.05% of net assets

 

Notes to Schedule of Investments

December 31, 2019 (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)

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

 

Fixed-income class

   

Examples of Inputs

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

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

The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security may decline below the repurchase price of the security. The Fund will segregate assets determined to be liquid by the Adviser or otherwise cover its obligations under reverse repurchase agreements. Securities pledged as collateral are reflected as a component of Investments in Securities, at Value on the

Statement of Assets and Liabilities and are noted on the Schedule of Investments. Typically, the counterparty under the terms of the agreement is able to rehypothecate, resell or repledge the security. The value of reverse repurchase agreements entered into are recorded in Payable for Reverse Repurchase Agreements on the Statement of Assets and Liabilities. Interest is accrued daily and an appropriate payment reflecting the interest due for reverse repurchase agreements held at period end is recorded in Interest Payable for Reverse Repurchase Agreements on the Statement of Assets and Liabilities. The cumulative interest paid during the period is recorded in Interest Expense for Reverse Repurchase Agreements on the Statement of Operations. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value at June 30, 2019.

Securities may be fair valued by the Adviser in accordance with the fair valuation procedures approved by the Board of Trustees (the “Board”). The Adviser’s valuation committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Adviser’s valuation committee and the pricing group are authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations or third party vendor prices are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market or fair value.

The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of December 31, 20191:

 

Category

   

 

  

Investments in Securities

   

Level 1

   

Money Market Funds

    $ 3,514,530  

Common Stocks

      1,226  

 

   

 

 

  

Total Level 1

      3,515,756  

Level 2

   

Collateralized Loan Obligations

      82,417,160  

US Government and Agency Mortgage Backed Obligations

      71,158,167  

Non-Agency Residential Collateralized Mortgage Obligations

      65,394,894  

Non-Agency Commercial Mortgage Backed Obligations

      56,451,847  

Other Short Term Investments

      27,613,576  

Bank Loans

      22,319,070  

Asset Backed Obligations

      13,535,621  

Foreign Corporate Bonds

      2,248,195  

 

   

 

 

  

Total Level 2

      341,138,530  

Level 3

   

Non-Agency Residential Collateralized Mortgage Obligations

      27,367,120  

Non-Agency Commercial Mortgage Backed Obligations

      6,290,377  

Collateralized Loan Obligations

      1,657,437  

Common Stocks

      91,810  

 

   

 

 

  

Total Level 3

      35,406,744  

 

   

 

 

  

Total

    $ 380,061,030  

 

   

 

 

  

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

1 There were no transfers into or out of Level 1 during the period ended December 31, 2019.

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

 

     Fair Value
as of
9/30/2019		     Net
Realized
Gain
(Loss)		     Net Change in
Unrealized
Appreciation
(Depreciation)3		     Net Accretion
(Amortization)		     Purchases 1     Sales 2     Transfers
Into
Level 34		     Transfers
Out of
Level 34		     Fair Value
as of
12/31/2019		     Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
12/31/2019 3		  

Investments in Securities

                    

Non-Agency Residential Collateralized Mortgage Obligations

   $ 27,417,872     $ -     $ (123,031 )    $ 72,279     $ -     $ -     $ -     $ -     $  27,367,120     $ (123,031 ) 

Non-Agency Commercial Mortgage Backed Obligations

     6,334,700       72,664       (45,190 )      41,585       9,714       (123,096 )      -       -       6,290,377       (48,007 ) 

Collateralized Loan Obligations

     1,793,755       -       (136,318 )      -       -       -       -       -       1,657,437       (136,318 ) 

Common Stocks

     -       -       -       -       -       -       91,810       -       91,810       -  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 35,546,327     $ 72,664     $ (304,539 )    $ 113,864     $ 9,714     $ (123,096 )    $ 91,810     $ -     $ 35,406,744       (307,356 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

1 Purchases include all purchases of securities, payups and corporate actions.

2 Sales include all sales of securities, maturities, and paydowns.

3 Any difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation) on securities held at December 31, 2019 may be due to a security that was not held or categorized as Level 3 at either period end.

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

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

 

      Fair Value
as of
12/31/2019 *		      Valuation
Techniques		    Unobservable
Input		    Unobservable Input
Values
(Weighted Average)+		      Impact to valuation from an
increase to input

Non-Agency Residential Collateralized Mortgage Obligations

    $ 27,367,120      Market Comparables    Market Quotes      $100.73 -  $102.89 ($101.33)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Non-Agency Commercial Mortgage Backed Obligations

    $ 6,290,377      Market Comparables    Yields      4.24% -  76.81% (12.92%)      Increase in yields would have resulted in the decrease in the fair value of the security

Collateralized Loan Obligations

    $ 1,657,437      Market Comparables    Market Quotes      $29.62 -  $68.06 ($61.19)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Common Stocks

    $ 91,810      Market Comparables    Market Quotes      $14.00 ($14.00)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

* Level 3 securities are typically valued by pricing vendors. The appropriateness of fair values for these securities is monitored on an ongoing basis by the Adviser, which may include back testing, results of vendor due diligence, unchanged price review and consideration of market and/or sector events.

+ Unobservable inputs were weighted by the relative fair value of the instruments.