0001145549-20-008311.txt : 20200225 0001145549-20-008311.hdr.sgml : 20200225 20200225165139 ACCESSION NUMBER: 0001145549-20-008311 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 Income Solutions Fund CENTRAL INDEX KEY: 0001566388 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22791 FILM NUMBER: 20651553 BUSINESS ADDRESS: STREET 1: C/O DOUBLELINE CAPITAL LP STREET 2: 333 SOUTH GRAND AVENUE, SUITE 800 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, SUITE 800 CITY: LOS ANGELES STATE: CA ZIP: 90071 NPORT-P 1 primary_doc.xml NPORT-P false 0001566388 XXXXXXXX DoubleLine Income Solutions Fund 811-22791 0001566388 549300RGXFCKJWYUTL28 333 South Grand Avenue Suite 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DoubleLine Income Solutions Fund

Schedule of Investments

December 31, 2019 (Unaudited)

 

 

Principal Amount

$/Shares

   

Security Description

    Rate     

Maturity

    Value $  

Asset Backed Obligations - 1.2%

         
2,440,500    AASET Ltd., Series 2019-2-C      6.41%  ^     10/16/2039      2,439,048  
370,561    Castlelake Aircraft Securitization Trust, Series 2018-1-C      6.63%  ^     06/15/2043      372,239  
1,356,407    Castlelake Aircraft Securitization Trust, Series 2019-1A-C      6.90%  ^     04/15/2039      1,368,691  
4,370,019    GAIA Aviation Ltd., Series 2019-1-C      7.00%  ^§     12/15/2044      4,362,358  
4,261,377    Harley Marine Financing LLC, Series 2018-1A-A2      5.68%  ^     05/15/2043      3,807,890  
871,134    Horizon Aircraft Finance Ltd., Series 2018-1-C      6.66%  ^     12/15/2038      875,285  
50,000    SoFi Consumer Loan Program LLC, Series 2018-A-R1      0.00%  ^@     02/25/2042      3,731,643  
14,827    SoFi Consumer Loan Program LLC, Series 2018-A-R2      0.00%  ^@     02/25/2042      1,106,582  
3,952,000    Start Ltd., Series 2019-2-C      6.66%  ^     11/15/2044      3,950,222  
2,000,000    Tesla Auto Lease Trust, Series 2019-A-E      5.48%  ^     05/22/2023      2,008,574  
           

 

 

  

Total Asset Backed Obligations (Cost $24,303,081)

            24,022,532  
        

 

 

  

Bank Loans - 10.7%

         
751,225    Achilles Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)      5.81%      10/13/2025      760,146  
158,000    Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      5.69%      11/22/2023      158,461  
745,951    Acrisure LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor)      6.19%      11/22/2023      749,215  
747,661    Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.30%      08/01/2025      752,334  
1,876,425    Aleris International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)      6.55%      02/27/2023      1,881,116  
3,000,000    Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor)      9.45%      06/16/2025      2,943,225  
6,497,471    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      5,831,480  
4,653,195    Applied Systems, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.00%, 1.00% Floor)      8.91%      09/19/2025      4,755,961  
6,330,000    Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%)      8.30%      08/04/2025      6,422,576  
3,114,350    Athenahealth, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%)      6.40%      02/11/2026      3,135,107  
1,791,464    Auris Luxembourg III Sarl, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.55%      02/27/2026      1,803,413  
1,341,313    Bass Pro Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor)      6.80%      09/25/2024      1,339,918  
2,440,000    BellRing Brands LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor)      6.80%      10/21/2024      2,472,037  
6,899,937    BI-LO LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.00% Floor)      9.89%      05/31/2024      6,396,828  
4,000,000    Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)      6.05%      10/02/2025      3,964,100  
2,505,073    Brookfield WEC Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor)      5.30%      08/01/2025      2,526,203  
3,467,884    Capital Automotive L.P., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      7.91%      03/24/2025      3,489,558  
1,831,813    Covia Holdings Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.04%      06/02/2025      1,422,091  
2,000,000    CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor)      6.03%      07/03/2020      1,945,000  
2,900,000    CSM Bakery Solutions LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.75%, 1.00% Floor)      9.66%      05/23/2021      2,772,400  
4,995,000    Cyxtera DC Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%, 1.00% Floor)      8.99%      05/01/2025      3,102,444  
373,951    Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)      5.94%      04/06/2026      377,017  
201,049    Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)      5.94%      04/06/2026      202,698  
1,516,900    EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)      5.69%      05/09/2025      1,437,741  
1,250,000    Excelitas Technologies Corporation, Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.50%, 1.00% Floor)      9.41%      12/01/2025      1,212,500  
725,428    Explorer Holdings, Inc., Senior Secured First Lien Term Loan (2 Month LIBOR USD + 3.75%, 1.00% Floor)      5.60%      05/02/2023      732,682  
2,984,850    Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.05%      10/01/2025      3,013,952  
6,435,000    Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)      5.44%      08/01/2024      5,383,553  
9,271,109    Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)      7.66%  W     03/28/2022      4,112,386  
4,066,129    Gavilan Resources LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      7.80%      03/01/2024      1,626,451  
1,569,150    Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.31%      02/19/2026      1,576,015  
3,970,000    Granite Holdings Acquisition Company, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%)      7.21%      09/30/2026      3,989,850  
9,350,221    Gulf Finance LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor)      7.20%      08/25/2023      7,364,140  
2,920,000    Houston Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)      5.55%      07/21/2025      2,847,000  
7,700,000    Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor)      8.80%      07/07/2025      7,820,313  
2,055,000    Inmarsat PLC, Senior Secured First Lien Term Loan      6.41%  ±     12/12/2026      2,070,248  
4,428,435    Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)      6.93%      10/20/2023      3,113,765  
1,832,100    Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor)      5.56%      05/26/2025      1,767,977  
2,231,750    Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)      6.81%      07/02/2025      2,251,278  
2,493,622    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      2,254,858  
4,500,000    Kronos, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.25%)      10.16%      11/01/2024      4,606,875  
5,745,000    Longview Power LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%)      7.91%      04/13/2021      3,177,703  
3,208,750    LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor)      7.74%      05/01/2023      2,972,105  
1,553,939    McDermott International, Inc., Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 10.00%, 1.00% Floor)      11.69%  W     10/21/2021      1,590,845  
4,066,881    McDermott International, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 1.00% Floor)      6.94%  W     05/12/2025      2,415,727  
3,945,175    Millennium Trust Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)      6.80%      03/27/2026      3,895,860  
1,791,000    Mirion Technologies, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)      6.10%      03/06/2026      1,808,910  
5,333,333    Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%)      9.05%      12/01/2025      5,133,333  
1,732,313    MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.19%      11/28/2025      1,644,250  
2,920,000    MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.75%)      10.44%      11/30/2026      2,238,662  
3,020,781    Monitronics International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.50%, 1.25% Floor)      8.30%      03/29/2024      2,578,992  
905,000    NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%)      8.80%      10/19/2026      821,288  
1,732,500    Numericable U.S. LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)      5.74%      08/14/2026      1,739,179  
3,845,000    Pearl Intermediate Parent LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%)      8.05%      02/13/2026      3,806,569  
640,000    Pelican Products, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.75%)      9.66%      05/01/2026      612,800  
575,650    Polar US Borrower LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%)      6.69%      10/15/2025      574,211  
2,000,000    PowerTeam Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)      9.19%      03/06/2026      1,440,000  
2,330,250    Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%)      6.69%      03/11/2026      2,318,599  
1,771,579    Radiology Partners, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%, 1.00% Floor)      6.71%      07/09/2025      1,783,395  
3,788,763    RentPath, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 1.00% Floor)      6.66%  W     12/17/2021      2,109,659  
2,395,000    Restaurant Technologies, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%)      8.30%      10/01/2026      2,389,013  
2,806,460    Solenis International LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)      5.91%      06/26/2025      2,784,008  
1,275,000    Solenis International LP, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%)      10.41%      06/26/2026      1,166,625  
740,101    Solera LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%)      4.55%      03/03/2023      742,473  
1,680,000    Sotera Health Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor)      6.29%      12/11/2026      1,688,929  
3,771,145    Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)      8.55%      06/26/2026      3,808,856  
3,125,000    Southern Graphics, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.50%)      9.41%      12/08/2023      862,500  
2,314,238    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      2,198,527  
871,827    Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)      6.80%      10/01/2024      838,410  
1,555,608    Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%)      7.80%      04/01/2025      1,341,712  
4,210,000    The Dun & Bradstreet Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%)      6.79%      02/06/2026      4,252,100  
2,233,125    The Edelman Financial Center LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%)      5.04%      07/21/2025      2,249,639  
900,000    The Edelman Financial Center LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)      8.54%      07/20/2026      901,125  
3,819,235    TKC Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.00%, 1.00% Floor)      9.80%      02/01/2024      3,475,504  
1,175,125    Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)      5.79%      01/25/2024      1,182,470  
1,140,000    Travelport Finance SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%)      6.94%      05/29/2026      1,069,320  
982,525    United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)      6.05%      10/22/2025      844,358  
4,000,000    Vantage Specialty Chemicals, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor)      10.16%      10/27/2025      3,490,000  
2,593,800    Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.30%      08/27/2025      2,617,572  
1,132,163    Wand NewCo 3, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)      5.30%      02/05/2026      1,143,133  
1,650,859    WASH Multifamily Laundry Systems LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%)      8.91%      05/15/2023      1,576,570  
289,141    WASH Multifamily Laundry Systems LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%)      8.91%      05/15/2023      276,130  
2,992,500    WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.75%, 1.00% Floor)      7.83%      06/22/2026      2,951,353  
4,350,606    Web.Com Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.75%)      9.49%      10/09/2026      4,199,706  
1,381,050    WeddingWire, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)      6.20%      12/19/2025      1,389,682  
2,725,000    WeddingWire, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.25%)      10.05%      12/21/2026      2,697,750  
1,340,000    Wink Holdco, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)      8.66%      12/01/2025      1,346,700  
1,380,000    Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)      6.55%      09/30/2026      1,389,350  
           

 

 

  

Total Bank Loans (Cost $236,499,409)

            213,920,514  
        

 

 

  

Collateralized Loan Obligations - 11.8%

         
2,000,000    Adams Mill Ltd., Series 2014-1A-D2 (3 Month LIBOR USD + 4.25%)      6.25%  ^     07/15/2026      2,002,014  
6,000,000    Adams Mill Ltd., Series 2014-1A-E2 (3 Month LIBOR USD + 6.25%)      8.25%  ^     07/15/2026      6,001,789  
2,000,000    Apidos Ltd., Series 2015-21A-ER (3 Month LIBOR USD + 8.25%, 8.25% Floor)      10.25%  ^     07/18/2027      1,814,518  
3,000,000    Apidos Ltd., Series 2016-24A-DR (3 Month LIBOR USD + 5.80%)      7.77%  ^     10/20/2030      2,896,975  
2,500,000    Atrium XV, Series 15A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor)      7.78%  ^     01/23/2031      2,404,688  
2,250,000    Babson Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 6.45%)      8.42%  ^     10/20/2030      2,238,328  
1,500,000    Barings Ltd., Series 2018-4A-E (3 Month LIBOR USD + 5.82%, 5.82% Floor)      7.82%  ^     10/15/2030      1,437,117  
5,000,000    Barings Ltd., Series 2019-2A-D (3 Month LIBOR USD + 6.69%, 6.69% Floor)      8.69%  ^     04/15/2031      5,011,494  
2,500,000    BlueMountain Ltd., Series 2015-2A-F (3 Month LIBOR USD + 6.80%, 6.80% Floor)      8.80%  ^     07/18/2027      2,105,108  
5,000,000    Bristol Park Ltd., Series 2016-1A-E (3 Month LIBOR USD + 7.25%)      9.25%  ^     04/15/2029      5,006,140  
6,500,000    Buttermilk Park Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)      7.75%  ^     10/15/2031      6,257,522  
8,050,000    Canyon Capital Ltd., Series 2015-1A-ER (3 Month LIBOR USD + 6.85%)      8.85%  ^     04/15/2029      8,055,458  
2,500,000    Canyon Capital Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 5.75%)      7.75%  ^     07/15/2031      2,299,189  
6,650,000    Canyon Capital Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.25%)      8.25%  ^     07/15/2030      6,503,834  
2,500,000    Canyon Capital Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)      7.75%  ^     07/15/2031      2,367,064  
2,000,000    Carlyle Global Market Strategies Ltd., Series 2013-3A-DR (3 Month LIBOR USD + 5.50%)      7.50%  ^     10/15/2030      1,774,359  
3,000,000    Carlyle Global Market Strategies Ltd., Series 2019-1A-D (3 Month LIBOR USD + 6.70%, 6.70% Floor)      8.67%  ^     04/20/2031      2,973,466  
1,500,000    Chenango Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.80%, 5.80% Floor)      7.80%  ^     04/15/2030      1,455,747  
2,500,000    Dryden Ltd., Series 2018-55A-F (3 Month LIBOR USD + 7.20%)      9.20%  ^     04/15/2031      2,091,228  
3,250,000    Dryden Ltd., Series 2019-68A-E (3 Month LIBOR USD + 6.75%)      8.75%  ^     07/15/2032      3,253,832  
3,000,000    Dryden Senior Loan Fund, Series 2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor)      7.15%  ^     01/15/2031      2,705,419  
1,250,000    Galaxy Ltd., Series 2017-24A-E (3 Month LIBOR USD + 5.50%)      7.50%  ^     01/15/2031      1,154,105  
2,500,000    Gilbert Park Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.40%)      8.40%  ^     10/15/2030      2,518,667  
1,000,000    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%)      6.94%  ^Þ     04/28/2025      848,151  
1,041,725    Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E (3 Month LIBOR USD + 5.75%)      7.69%  ^Þ     04/28/2025      726,650  
1,000,000    HPS Loan Management Ltd., Series 15A-19-E (3 Month LIBOR USD + 6.60%, 6.60% Floor)      8.77%  ^     07/22/2032      994,951  
3,500,000    LCM LP, Series 14A-FR (3 Month LIBOR USD + 7.61%)      9.58%  ^     07/20/2031      2,583,684  
5,000,000    LCM LP, Series 17A-ER (3 Month LIBOR USD + 6.00%, 6.00% Floor)      8.00%  ^     10/15/2031      4,361,101  
7,000,000    LCM LP, Series 19A-E1 (3 Month LIBOR USD + 6.45%, 6.45% Floor)      8.45%  ^     07/15/2027      6,887,102  
6,500,000    LCM LP, Series 26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor)      7.27%  ^     01/20/2031      5,883,852  
2,000,000    LCM LP, Series 28A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)      7.72%  ^     10/20/2030      1,901,293  
11,000,000    Madison Park Funding Ltd., Series 2014-14A-ER (3 Month LIBOR USD + 5.80%, 5.80% Floor)      7.75%  ^     10/22/2030      10,335,511  
7,100,000    Madison Park Funding Ltd., Series 2015-18A-ER (3 Month LIBOR USD + 6.35%)      8.32%  ^     10/21/2030      7,051,403  
1,500,000    Madison Park Funding Ltd., Series 2016-22A-E (3 Month LIBOR USD + 6.65%)      8.59%  ^     10/25/2029      1,500,860  
3,000,000    Madison Park Funding Ltd., Series 2017-25A-D (3 Month LIBOR USD + 6.10%)      8.04%  ^     04/25/2029      2,992,108  
2,000,000    Madison Park Funding Ltd., Series 2019-34A-E (3 Month LIBOR USD + 6.75%, 6.75% Floor)      8.69%  ^     04/25/2031      2,001,896  
2,000,000    Madison Park Funding Ltd., Series 2019-37A-E (3 Month LIBOR USD + 6.55%)      8.85%  ^     07/15/2032      2,004,415  
10,000,000    Magnetite Ltd., Series 2012-7A-DR2 (3 Month LIBOR USD + 4.50%)      6.50%  ^     01/15/2028      9,392,154  
7,500,000    Magnetite Ltd., Series 2015-16A-ER (3 Month LIBOR USD + 5.00%)      7.00%  ^     01/18/2028      7,376,492  
3,250,000    Magnetite Ltd., Series 2019-22A-E (3 Month LIBOR USD + 6.75%, 6.75% Floor)      8.75%  ^     04/15/2031      3,256,441  
2,000,000    Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-E (3 Month LIBOR USD + 5.40%)      7.40%  ^     01/15/2028      1,974,239  
1,000,000    Neuberger Berman Loan Advisers Ltd., Series 2019-31A-E (3 Month LIBOR USD + 6.75%, 6.75% Floor)      8.72%  ^     04/20/2031      1,002,416  
1,750,000    Neuberger Berman Loan Advisers Ltd., Series 2019-32A-E (3 Month LIBOR USD + 6.70%, 6.70% Floor)      8.67%  ^     01/19/2032      1,753,149  
2,250,000    Neuberger Berman Loan Advisers Ltd., Series 2019-33A-E (3 Month LIBOR USD + 6.80%, 0.00% Floor)      8.94%  ^     10/16/2032      2,259,636  
3,000,000    Newark BSL Ltd., Series 2016-1A-D (3 Month LIBOR USD + 6.75%)      8.69%  ^     12/21/2029      3,001,252  
2,000,000    Newark BSL Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.30%)      8.24%  ^     07/25/2030      2,000,847  
3,675,000    Niagara Park Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.45%, 6.45% Floor)      8.45%  ^     07/17/2032      3,690,041  
5,000,000    Octagon Investment Partners Ltd., Series 2012-1A-DR (3 Month LIBOR USD + 7.15%)      9.15%  ^     07/15/2029      4,993,758  
8,250,000    Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)      7.75%  ^     07/17/2030      7,533,227  
5,460,000    Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 7.00%)      8.97%  ^     07/19/2030      5,467,404  
2,000,000    Octagon Investment Partners Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 7.00%, 7.00% Floor)      8.91%  ^     02/14/2031      1,990,544  
2,000,000    Octagon Investment Partners Ltd., Series 2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor)      10.09%  ^     07/15/2030      1,738,368  
4,000,000    Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%)      8.17%  ^     03/17/2030      3,952,710  
3,000,000    Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.60%, 6.60% Floor)      8.69%  ^     10/25/2032      3,008,132  
1,000,000    Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 7.69%, 7.69% Floor)      9.52%  ^     10/15/2032      1,006,673  
7,500,000    Stewart Park Ltd., Series 2015-1A-ER (3 Month LIBOR USD + 5.28%, 5.28% Floor)      7.28%  ^     01/15/2030      6,701,417  
7,200,000    Venture Ltd., Series 2016-24A-E (3 Month LIBOR USD + 6.72%)      8.69%  ^     10/20/2028      6,849,479  
5,000,000    Venture Ltd., Series 2017-26A-E (3 Month LIBOR USD + 6.80%)      8.77%  ^     01/20/2029      4,724,953  
4,000,000    Venture Ltd., Series 2017-27A-E (3 Month LIBOR USD + 6.35%)      8.32%  ^     07/20/2030      3,698,299  
4,050,000    Voya Ltd., Series 2016-4A-E2 (3 Month LIBOR USD + 6.65%)      8.62%  ^     07/20/2029      4,078,037  
1,500,000    Voya Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.10%)      8.10%  ^     04/17/2030      1,459,659  
1,000,000    Voya Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.25%, 5.25% Floor)      7.25%  ^     07/15/2031      935,542  
1,000,000    Voya Ltd., Series 2018-2A-F (3 Month LIBOR USD + 7.29%, 7.29% Floor)      9.29%  ^     07/15/2031      851,245  
2,000,000    Wind River Ltd., Series 2013-2A-E1R (3 Month LIBOR USD + 6.75%)      8.75%  ^     10/18/2030      1,776,308  
3,500,000    Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)      7.75%  ^     01/15/2031      2,866,612  
2,000,000    Wind River Ltd., Series 2014-3A-ER2 (3 Month LIBOR USD + 6.22%, 6.22% Floor)      8.17%  ^     10/22/2031      1,640,677  
5,000,000    Wind River Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.42%)      8.42%  ^     04/18/2029      4,861,467  
3,000,000    Wind River Ltd., Series 2017-3A-E (3 Month LIBOR USD + 6.40%)      8.40%  ^     10/15/2030      2,878,165  
1,000,000    Wind River Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.50%)      7.50%  ^     07/15/2030      904,121  
1,000,000    Wind River Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.75%)      7.75%  ^     07/15/2030      899,308  
           

 

 

  

Total Collateralized Loan Obligations
(Cost $245,038,190)

            234,923,810  
        

 

 

  

Foreign Corporate Bonds - 64.8%

         
24,000,000    AES Andres B.V.      7.95%  ^z     05/11/2026      25,538,580  
5,500,000    AES Argentina Generacion S.A.      7.75%  ^     02/02/2024      4,637,875  
24,500,000    AES Argentina Generacion S.A.      7.75%      02/02/2024      20,659,625  
7,500,000    AES El Salvador Trust      6.75%      03/28/2023      7,568,813  
4,600,000    AES Gener S.A. (5 Year Swap Rate USD + 4.64%)      7.13%  #^z     03/26/2079      4,835,937  
1,000,000    AES Gener S.A. (5 Year Swap Rate USD + 4.64%)      7.13%  #     03/26/2079      1,051,291  
800,000    Agile Group Holdings Ltd. (5 Year CMT Rate + 11.25%)      8.38%  #†     12/04/2023      836,880  
8,500,000    AI Candelaria Spain SLU      7.50%      12/15/2028      9,554,829  
25,000,000    AJE Corporation B.V.      6.50%      05/14/2022      24,645,300  
14,321,000    Alpha Holdings S.A.      10.00%      12/19/2022      14,683,636  
400,000    Alpha Holdings S.A.      10.00%  ^z     12/19/2022      410,129  
67,229    Autopistas del Nordeste Ltd.      9.39%      04/15/2024      73,027  
4,455,648    Autopistas del Sol S.A.      7.38%  ^     12/30/2030      4,535,215  
27,500,000    Avianca Holdings S.A.      9.00%  ^z     05/10/2023      25,850,000  
21,500,000    Banco BTG Pactual S.A. (5 Year CMT Rate + 5.26%)      7.75%  #^     02/15/2029      22,803,115  
28,069,000    Banco de Galicia y Buenos Aires S.A. (5 Year CMT Rate + 7.16%)      8.25%  #     07/19/2026      25,071,834  
18,550,000    Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)      6.75%  #     11/04/2026      15,078,321  
15,000,000    Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)      6.75%  #^     11/04/2026      12,192,712  
8,000,000    Banco Mercantil de Norte (10 Year CMT Rate + 5.35%)      7.63%  #^†z     01/10/2028      8,564,280  
32,000,000    Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.35%)      7.63%  #†z     01/10/2028      34,257,120  
10,000,000    Bantrab Senior Trust      9.00%  ^     11/14/2020      10,400,100  
2,258,000    Bantrab Senior Trust      9.00%      11/14/2020      2,348,343  
16,850,000    Braskem Idesa SAPI      7.45%  ^     11/15/2029      17,983,331  
12,000,000    C&W Senior Financing DAC      7.50%  ^z     10/15/2026      13,022,190  
7,000,000    C&W Senior Financing DAC      6.88%  z     09/15/2027      7,501,568  
5,026,000    C10 Capital SPV Ltd. (3 Month LIBOR USD + 4.71%)      6.65%  #†     03/31/2020      4,975,740  
10,150,000    C5 Capital Ltd. (3 Month LIBOR USD + 4.28%)      6.22%  #†     03/31/2020      9,947,000  
7,250,000    Calfrac Holdings LP      8.50%  ^     06/15/2026      2,990,806  
5,000,000    Canacol Energy Ltd.      7.25%      05/03/2025      5,284,625  
20,000,000    Canacol Energy Ltd.      7.25%  ^z     05/03/2025      21,138,500  
21,200,000    Capex S.A.      6.88%      05/15/2024      17,975,798  
3,800,000    Capex S.A.      6.88%  ^     05/15/2024      3,222,077  
18,230,000    CFG Investment S.A.C.      9.75%  W     12/31/2019      17,500,800  
3,500,000    Cia General de Combustibles S.A.      9.50%  ^     11/07/2021      2,932,650  
21,500,000    Cia General de Combustibles S.A.      9.50%      11/07/2021      18,014,850  
4,200,000    CIMPOR Financial Operations B.V.      5.75%  z     07/17/2024      3,487,785  
20,000,000    Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%)      8.50%  #^†z     03/30/2020      20,268,900  
2,800,000    Connect Finco LLC      6.75%  ^     10/01/2026      2,985,500  
31,000,000    Cosan Overseas Ltd.      8.25%  †     02/05/2020      32,308,045  
9,400,000    Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)      9.13%  #^†     11/29/2022      9,914,133  
26,961,000    Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)      9.13%  #†     11/29/2022      28,435,632  
40,000,000    CSN Islands Corporation      7.00%  †z     03/23/2020      36,887,800  
43,900,000    Digicel Group Ltd.      8.25%  ^     09/30/2022      10,679,553  
10,143,205    Digicel Group Two Ltd. (9.13% Cash + 9.00% PIK)      18.13%  ^     04/01/2024      1,577,420  
19,000,000    Docuformas SAPI de C.V.      10.25%  ^     07/24/2024      19,316,825  
6,600,000    Docuformas SAPI de C.V.      10.25%      07/24/2024      6,710,055  
16,080,000    Eldorado International Finance GMBH      8.63%  ^     06/16/2021      16,830,293  
4,000,000    Eldorado International Finance GMBH      8.63%      06/16/2021      4,186,640  
16,644,000    Empresa Electrica Guacolda S.A.      4.56%      04/30/2025      15,167,956  
20,000,000    Financiera Independencia S.A.B. de C.V. SOFOM ENR      8.00%  ^     07/19/2024      18,708,500  
32,000,000    Freeport-McMoRan Copper & Gold, Inc.      5.45%  z     03/15/2043      33,203,200  
5,525,000    GFL Environmental, Inc.      8.50%  ^z     05/01/2027      6,087,721  
10,000,000    Gilex Holding Sarl      8.50%  ^     05/02/2023      10,766,750  
5,000,000    Gilex Holding Sarl      8.50%  z     05/02/2023      5,383,375  
5,346,000    Gol Finance, Inc.      8.75%  †     04/05/2020      5,351,052  
5,000,000    Gran Tierra Energy International Holdings Ltd.      6.25%  z     02/15/2025      4,516,250  
21,000,000    Gran Tierra Energy, Inc.      7.75%  ^z     05/23/2027      19,695,007  
9,000,000    Gran Tierra Energy, Inc.      7.75%      05/23/2027      8,440,718  
9,700,000    Grupo Idesa S.A. de C.V.      7.88%  z     12/18/2020      8,099,597  
13,700,000    Grupo Idesa S.A. de C.V.      7.88%  ^z     12/18/2020      11,439,637  
5,000,000    Grupo Posadas S.A.B. de C.V.      7.88%      06/30/2022      4,687,550  
14,650,000    Grupo Posadas S.A.B. de C.V.      7.88%  ^z     06/30/2022      13,734,521  
13,447,000    GW Honos Security Corporation      8.75%  ^     05/15/2025      14,018,363  
15,000,000    Instituto Costarricense de Electricidad      6.38%  ^z     05/15/2043      12,918,750  
19,511,000    Instituto Costarricense de Electricidad      6.38%  z     05/15/2043      16,803,849  
7,300,000    Intelsat Jackson Holdings S.A.      8.50%  ^z     10/15/2024      6,664,279  
7,715,000    Intelsat Jackson Holdings S.A.      9.75%  ^z     07/15/2025      7,152,461  
5,925,566    Invepar Holdings      0.00%  ÞW     12/30/2028      253,389  
25,000,000    JSL Europe S.A.      7.75%  z     07/26/2024      27,014,875  
19,555,000    Kronos Acquisition Holdings, Inc.      9.00%  ^z     08/15/2023      18,732,028  
12,000,000    MARB BondCo PLC      7.00%  ^z     03/15/2024      12,535,020  
4,200,000    Medco Oak Tree Pte Ltd.      7.38%      05/14/2026      4,286,469  
10,000,000    Metinvest B.V.      7.75%  ^z     10/17/2029      10,260,050  
10,000,000    NBM US Holdings, Inc.      7.00%  ^     05/14/2026      10,853,825  
14,500,000    Oi S.A. (10.00% Cash + 4.00% PIK)      14.00%      07/27/2025      13,019,768  
14,600,000    Pampa Energia S.A.      7.50%      01/24/2027      12,490,716  
10,000,000    Pampa Energia S.A.      7.50%  ^     01/24/2027      8,555,285  
6,650,000    Pampa Energia S.A.      9.13%      04/15/2029      5,754,561  
5,000,000    Pampa Energia S.A.      9.13%  ^     04/15/2029      4,326,737  
570,000    Pesquera Exalmar S.A.A.      8.00%      01/25/2025      575,700  
4,800,000    Petra Diamonds PLC      7.25%  ^z     05/01/2022      3,041,969  
10,000,000    Petrobras Global Finance B.V.      6.75%  z     01/27/2041      11,635,650  
5,000,000    Petroleos Mexicanos      6.38%      01/23/2045      4,826,675  
30,000,000    Petroleos Mexicanos      5.63%      01/23/2046      26,860,050  
9,000,000    Rio Energy S.A.      6.88%  ^     02/01/2025      5,519,250  
11,000,000    Rio Energy S.A.      6.88%      02/01/2025      6,745,750  
11,441,000    RKP Overseas Finance Ltd.      7.95%  †     02/17/2022      11,014,675  
21,119,000    Sappi Papier Holding GMBH      7.50%  ^     06/15/2032      22,076,694  
7,500,000    Sappi Papier Holding GMBH      7.50%      06/15/2032      7,840,106  
14,260,000    Star Energy Geothermal Wayang Windu Ltd.      6.75%      04/24/2033      15,122,195  
2,195,000    Starfruit Finco B.V.      8.00%  ^     10/01/2026      2,332,242  
23,467,953    Stoneway Capital Corporation      10.00%      03/01/2027      14,919,082  
4,281,000    Syngenta Finance N.V.      4.38%  z     03/28/2042      3,809,137  
10,000,000    Tecnoglass, Inc.      8.20%      01/31/2022      10,848,120  
7,500,000    Telecom Argentina SA      8.00%  ^     07/18/2026      7,223,513  
1,740,000    Telesat LLC      6.50%  ^z     10/15/2027      1,817,169  
13,644,000    Tervita Escrow Corporation      7.63%  ^z     12/01/2021      13,759,974  
10,000,000    Teva Pharmaceutical Finance LLC      6.15%  z     02/01/2036      9,351,000  
5,000,000    Teva Pharmaceutical Finance Netherlands B.V.      4.10%  z     10/01/2046      3,613,000  
700,000    Transportadora de Gas del Sur S.A.      6.75%  ^     05/02/2025      620,025  
740,000    Trivium Packaging Finance BV      8.50%  ^z     08/15/2027      824,619  
6,500,000    Unifin Financiera S.A.B. de C.V.      8.38%      01/27/2028      6,662,500  
24,000,000    Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)      8.88%  #†z     07/29/2025      22,126,320  
11,000,000    Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)      8.88%  #^†     01/29/2025      10,141,230  
29,000,000    Unigel Luxembourg S.A.      8.75%  ^     10/01/2026      29,612,553  
20,000,000    Vedanta Resources Finance PLC      9.25%  z     04/23/2026      19,896,700  
13,000,000    Vedanta Resources Finance PLC      9.25%  ^z     04/23/2026      12,932,855  
7,000,000    Vedanta Resources PLC      6.13%  z     08/09/2024      6,391,795  
10,000,000    YPF Energia Electrica S.A.      10.00%  ^     07/25/2026      8,726,275  
8,300,000    YPF S.A.      8.50%      07/28/2025      7,826,278  
5,000,000    YPF S.A.      8.50%      06/27/2029      4,564,238  
850,000    YPF S.A.      8.50%  ^     06/27/2029      775,920  
20,807,000    YPF S.A.      7.00%      12/15/2047      16,509,002  
           

 

 

  

Total Foreign Corporate Bonds
(Cost $1,352,935,903)

            1,293,139,998  
        

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.5%

 

10,000,000    Ecuador Government International Bond      9.50%  ^     03/27/2030      9,353,475  
           

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations
(Cost $10,377,548)

      9,353,475  
        

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 16.6%

         
10,000,000    Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor)      5.14%  ^     06/15/2035      10,057,435  
9,948,000    Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ      5.45%  #     01/12/2045      8,564,233  
20,000,000    BX Commercial Mortgage Trust, Series 2019-IMC-G (1 Month LIBOR USD + 3.60%, 3.60% Floor)      5.34%  ^     04/15/2034      20,152,174  
350,000    BX Trust, Series 2018-GW-G (1 Month LIBOR USD + 2.92%, 2.92% Floor)      4.66%  ^     05/15/2035      353,406  
15,292,000    Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor)      4.59%  ^     10/15/2035      15,413,877  
871,000    CF Trust, Series 2019-MF1-F (1 Month LIBOR USD + 2.95%, 2.95% Floor)      4.69%  ^     08/21/2032      873,161  
30,524,109    Citigroup Commercial Mortgage Trust, Series 2014-GC25-XG      1.23%  #^I/O     10/10/2047      1,305,165  
4,484,000    Citigroup Commercial Mortgage Trust, Series 2015-GC27-D      4.43%  #^     02/10/2048      4,260,046  
3,929,315    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F      3.75%  ^Þ     08/10/2047      1,481,650  
7,036,812    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G      3.75%  ^Þ     08/10/2047      524,031  
14,000    Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V      0.00%  #^Þ     08/10/2047      1  
6,400,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-E      3.25%  ^Þ     10/10/2048      5,500,781  
18,438,000    Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XD      1.23%  #^I/O     10/10/2048      1,146,993  
40,000,000    Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor)      4.85%  ^     12/15/2029      39,987,720  
12,730,000    GS Mortgage Securities Corporation, Series 2014-GC20-E      4.46%  #^Þ     04/10/2047      7,399,847  
65,010,362    GS Mortgage Securities Corporation, Series 2014-GC20-XD      1.29%  #^I/O     04/10/2047      2,964,063  
3,750,000    GS Mortgage Securities Trust, Series 2019-SMP-G (1 Month LIBOR USD + 4.25%, 4.25% Floor)      5.99%  ^     08/15/2032      3,776,084  
20,000,000    Hawaii Hotel Trust, Series 2019-MAUI-F (1 Month LIBOR USD + 3.00%, 3.00% Floor)      4.49%  ^     05/15/2038      20,059,390  
5,590,000    Hilton USA Trust 2018-ORL, Series 2018-ORL-F (1 Month LIBOR USD + 3.65%, 3.65% Floor)      5.39%  ^     12/15/2034      5,615,705  
5,000,000    Hilton USA Trust, Series 2016-SFP-E      5.52%  ^     11/05/2035      5,022,941  
18,629,201    HPLY Trust, Series 2019-HIT-G (1 Month LIBOR USD + 3.90%, 3.90% Floor)      5.64%  ^     11/15/2036      18,652,432  
57,259,829    JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC      1.10%  #^I/O     08/15/2046      1,943,676  
14,113,175    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E      4.00%  #^Þ     04/15/2047      11,937,904  
7,840,900    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F      3.75%  #^Þ     04/15/2047      4,497,371  
21,332,764    JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR      3.75%  #^Þ     04/15/2047      4,436,362  
47,829,582    JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XD      0.76%  #^I/O     08/15/2047      1,530,681  
12,020,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-E      2.81%  #^Þ     02/15/2048      9,513,169  
24,531,000    JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-XE      1.51%  #^I/O     02/15/2048      1,644,600  
5,600,000    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      5,622,774  
21,581,000    MBRT, Series 2019-MBR-G (1 Month LIBOR USD + 2.90%, 2.90% Floor)      4.66%  ^     11/15/2036      21,477,476  
8,150,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26-E      4.40%  #^Þ     10/15/2048      6,846,122  
850,000    Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26X-E      4.40%  #Þ     10/15/2048      714,013  
11,453,000    Morgan Stanley Capital Trust, Series 2017-ASHF-G (1 Month LIBOR USD + 6.90%, 6.90% Floor)      8.64%  ^     11/15/2034      11,351,756  
3,357,000    Morgan Stanley Capital Trust, Series 2019-PLND-F (1 Month LIBOR USD + 2.80%, 2.80% Floor)      4.54%  ^     05/15/2036      3,371,479  
13,000,000    Morgan Stanley Capital Trust, Series 2019-PLND-G (1 Month LIBOR USD + 3.65%, 3.65% Floor)      5.39%  ^     05/15/2036      13,041,345  
5,000,000    UBS Commercial Mortgage Trust, Series 2018-NYCH-G (1 Month LIBOR USD + 4.84%, 4.84% Floor)      6.58%  ^     02/15/2032      5,041,465  
4,870,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-E      3.25%  ^Þ     08/15/2050      2,943,696  
4,870,000    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XC      1.55%  #^I/O     08/15/2050      303,214  
12,175,683    Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XD      1.55%  #^I/O     08/15/2050      705,082  
18,361,980    Wells Fargo Commercial Mortgage Trust, Series 2015-C29-E      4.22%  #^Þ     06/15/2048      15,790,385  
9,180,600    Wells Fargo Commercial Mortgage Trust, Series 2015-C29-F      4.22%  #^Þ     06/15/2048      5,670,609  
39,018,814    Wells Fargo Commercial Mortgage Trust, Series 2015-C29-G      4.22%  #^Þ     06/15/2048      14,693,432  
11,973,000    WF-RBS Commercial Mortgage Trust, Series 2014-LC14-E      3.50%  #^Þ     03/15/2047      10,304,143  
87,892,034    WF-RBS Commercial Mortgage Trust, Series 2014-LC14-XC      1.62%  #^I/O     03/15/2047      5,502,323  
           

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $339,690,598)

      331,994,212  
        

 

 

  

Non-Agency Residential Collateralized Mortgage Obligations - 3.1%

         
30,000,000    CIM Trust, Series 2016-1RR-B2      7.78%  #^Þ     07/26/2055      30,296,058  
15,000,000    CIM Trust, Series 2016-2RR-B2      8.23%  #^Þ     02/25/2056      15,108,934  
15,000,000    CIM Trust, Series 2016-3RR-B2      7.99%  #^Þ     02/27/2056      15,136,754  
1,755,237    Wachovia Mortgage Loan Trust, Series 2007-A-4A1      4.46%  #     03/20/2037      1,604,532  
           

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $54,757,184)

      62,146,278  
        

 

 

  

US Corporate Bonds - 24.3%

         
1,645,000    Acrisure LLC      8.13%  ^z     02/15/2024      1,792,022  
900,000    Alliant Holdings Intermediate LLC      6.75%  ^     10/15/2027      965,520  
3,770,000    Allied Universal Holding Company      9.75%  ^     07/15/2027      4,036,134  
15,310,000    AMC Merger, Inc.      8.00%  ^     05/15/2025      10,225,779  
10,988,000    Argos Merger Sub, Inc.      7.13%  ^z     03/15/2023      10,795,710  
11,036,000    AssuredPartners, Inc.      7.00%  ^z     08/15/2025      11,253,299  
6,315,000    Avantor, Inc.      9.00%  ^z     10/01/2025      7,070,369  
4,000,000    Banff Merger Sub, Inc.      9.75%  ^z     09/01/2026      4,060,100  
11,565,000    BCD Acquisition, Inc.      9.63%  ^     09/15/2023      11,940,747  
2,960,000    Boyne USA, Inc.      7.25%  ^     05/01/2025      3,227,628  
7,750,000    Bruin E&P Partners LLC      8.88%  ^     08/01/2023      5,060,091  
14,080,000    CB Escrow Corporation      8.00%  ^z     10/15/2025      14,965,843  
13,450,000    Cengage Learning, Inc.      9.50%  ^z     06/15/2024      11,673,457  
3,815,000    Constellation Merger Sub, Inc.      8.50%  ^z     09/15/2025      3,339,708  
10,160,000    CSI Compressco LP      7.50%  ^z     04/01/2025      10,011,816  
3,195,000    Eagle Holding Company (7.75% Cash + 9.00% PIK)      16.75%  ^     05/15/2022      3,249,826  
3,975,000    EES Finance Corporation      8.13%  z     05/01/2025      3,926,962  
15,745,000    Embarq Corporation      8.00%      06/01/2036      16,678,285  
1,550,000    Enterprise Merger Sub, Inc.      8.75%  ^     10/15/2026      965,414  
3,710,000    EP Energy LLC      7.75%  ^W     05/15/2026      2,663,214  
9,760,000    Financial & Risk US Holdings, Inc.      8.25%  ^z     11/15/2026      11,010,256  
7,660,000    Flex Acquisition Company, Inc.      6.88%  ^z     01/15/2025      7,736,523  
1,255,000    Flex Acquisition Company, Inc.      7.88%  ^z     07/15/2026      1,267,327  
9,200,000    Foresight Energy LLC      11.50%  ^W     04/01/2023      368,000  
3,670,000    Frontier Communications Corporation      8.50%      04/15/2020      2,199,082  
2,815,000    Frontier Communications Corporation      8.00%  ^     04/01/2027      2,946,883  
5,800,000    Gates Global LLC      6.25%  ^z     01/15/2026      5,910,461  
13,540,000    Genesys Telecommunications Laboratories, Inc.      10.00%  ^z     11/30/2024      14,668,356  
12,200,000    Gogo Finance Company, Inc.      9.88%  ^     05/01/2024      12,911,687  
10,000,000    GTT Communications, Inc.      7.88%  ^z     12/31/2024      7,572,100  
10,405,000    Hexion, Inc.      7.88%  ^z     07/15/2027      10,846,952  
5,759,000    Hillman Group, Inc.      6.38%  ^     07/15/2022      5,372,064  
7,000,000    Informatica LLC      7.13%  ^z     07/15/2023      7,122,430  
5,970,000    JBS USA Finance, Inc.      6.75%  ^z     02/15/2028      6,607,954  
7,850,000    Legacy Reserves LP      6.63%  W     12/01/2021      157,000  
3,615,000    Matterhorn Merger Sub LLC      8.50%  ^     06/01/2026      3,391,671  
5,425,000    Moss Creek Resources Holdings, Inc.      7.50%  ^     01/15/2026      4,138,448  
2,000,000    MPH Acquisition Holdings LLC      7.13%  ^z     06/01/2024      1,939,980  
7,750,000    NFP Corporation      6.88%  ^z     07/15/2025      7,788,673  
1,295,000    NGL Energy Finance Corporation      7.50%  ^     04/15/2026      1,255,985  
7,264,000    OPE KAG Finance Sub, Inc.      7.88%  ^z     07/31/2023      7,124,785  
6,440,000    Panther BF Aggregator LP      8.50%  ^z     05/15/2027      6,854,414  
7,455,000    Par Petroleum Finance Corporation      7.75%  ^z     12/15/2025      7,737,656  
6,700,000    Peabody Securities Finance Corporation      6.00%  ^z     03/31/2022      6,549,250  
6,800,000    PetSmart, Inc.      8.88%  ^z     06/01/2025      6,732,000  
13,919,000    Polaris Intermediate Corporation (8.50% Cash + 9.00% PIK)      17.50%  ^     12/01/2022      12,996,776  
3,295,000    Prime Security Services Borrower LLC      9.25%  ^z     05/15/2023      3,461,809  
12,328,000    Pyxus International, Inc.      8.50%  ^z     04/15/2021      11,932,271  
7,140,000    Radiate Finance, Inc.      6.63%  ^z     02/15/2025      7,232,213  
12,280,000    Riverbed Technology, Inc.      8.88%  ^     03/01/2023      7,122,400  
2,270,000    Scientific Games International, Inc.      7.00%  ^z     05/15/2028      2,433,100  
5,270,000    Scientific Games International, Inc.      7.25%  ^     11/15/2029      5,740,875  
9,970,000    Solera Finance, Inc.      10.50%  ^z     03/01/2024      10,599,556  
7,000,000    Sprint Capital Corporation      8.75%  z     03/15/2032      8,509,200  
11,385,000    Sprint Corporation      7.63%  z     03/01/2026      12,576,440  
10,296,000    SunCoke Energy Partners Finance Corporation      7.50%  ^z     06/15/2025      9,926,991  
12,833,000    Tapstone Energy Finance Corporation      9.75%  ^W     06/01/2022      109,081  
8,145,000    Team Health Holdings, Inc.      6.38%  ^z     02/01/2025      5,460,530  
10,347,000    Tempo Acquisition Finance Corporation      6.75%  ^     06/01/2025      10,709,042  
5,195,000    Tenet Healthcare Corporation      8.13%  z     04/01/2022      5,756,216  
7,709,000    Trident Merger Sub, Inc.      6.63%  ^z     11/01/2025      6,960,572  
3,000,000    Trident TPI Holdings, Inc.      9.25%  ^z     08/01/2024      3,038,745  
1,285,000    Triumph Group, Inc.      6.25%  ^z     09/15/2024      1,353,535  
10,280,000    Triumph Group, Inc.      7.75%  z     08/15/2025      10,748,922  
8,375,000    Uber Technologies, Inc.      8.00%  ^z     11/01/2026      8,750,388  
5,525,000    Uber Technologies, Inc.      7.50%  ^z     09/15/2027      5,682,269  
7,645,000    Valeant Pharmaceuticals International, Inc.      9.25%  ^z     04/01/2026      8,795,190  
2,585,000    Valeant Pharmaceuticals International, Inc.      8.50%  ^     01/31/2027      2,948,580  
11,790,000    Verscend Escrow Corporation      9.75%  ^z     08/15/2026      12,925,082  
7,675,000    Vine Oil & Gas Finance Corporation      8.75%  ^     04/15/2023      3,785,694  
5,500,000    Wand Merger Corporation      9.13%  ^     07/15/2026      6,098,125  
706,000    Weatherford International Ltd.      11.00%  ^     12/01/2024      765,128  
5,000,000    West Street Merger Sub, Inc.      6.38%  ^z     09/01/2025      4,999,950  
5,500,000    Wolverine Escrow LLC      9.00%  ^     11/15/2026      5,771,343  
           

 

 

  

Total US Corporate Bonds
(Cost $525,389,689)

      485,301,884  
        

 

 

  

US Government and Agency Mortgage Backed Obligations - 4.8%

 

9,080,277    Federal Home Loan Mortgage Corporation, Series 3631-SJ (-1 x 1 Month LIBOR USD + 6.24%, 6.24% Cap)      4.50%  I/FI/O     02/15/2040      1,627,693  
6,012,489    Federal Home Loan Mortgage Corporation, Series 3770-SP (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.76%  I/FI/O     11/15/2040      595,530  
23,486,234    Federal Home Loan Mortgage Corporation, Series 3980-SX (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)      4.76%  I/FI/O     01/15/2042      4,724,561  
14,011,814    Federal Home Loan Mortgage Corporation, Series 4212-NS (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap)      3.31%  I/F     06/15/2043      13,816,404  
4,547,699    Federal National Mortgage Association, Series 2006-83-SH (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap)      4.77%  I/FI/O     09/25/2036      850,268  
17,884,939    Federal National Mortgage Association, Series 2010-123-SK (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)      4.26%  I/FI/O     11/25/2040      3,284,392  
21,621,450    Federal National Mortgage Association, Series 2013-55-US (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.31%  I/F     06/25/2043      20,349,108  
34,852,144    Federal National Mortgage Association, Series 2013-58-KS (-2 x 1 Month LIBOR USD + 5.93%, 5.93% Cap)      3.24%  I/F     06/25/2043      32,334,624  
20,843,792    Federal National Mortgage Association, Series 2013-58-SC (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)      3.31%  I/F     06/25/2043      19,580,506  
           

 

 

  

Total US Government and Agency Mortgage Backed Obligations
(Cost $100,104,660)

      97,163,086  
        

 

 

  

Common Stocks - 0.8%

         
51,725    ATD Holdings, Inc. *Þ            1,370,713  
339,999    Frontera Energy Corporation z            2,560,195  
468,716    Hexion Holdings Corporation *            5,648,028  
284,965    Legacy Reserves LP *Þ            2,849,650  
15,343    McDermott International, Inc. *            10,381  
62,554    Syncreon Group B.V. *Þ            875,750  
97,836    Weatherford International PLC *z            2,734,516  
           

 

 

  

Total Common Stocks (Cost $58,969,046)

      16,049,233  
        

 

 

  

Warrants - 0.0%

         
4,944,181    OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00*Þ            1  
           

 

 

  

Total Warrants (Cost $1)

            1  
        

 

 

  

Short Term Investments - 2.4%

         
15,823,670    BlackRock Liquidity Funds FedFund - Institutional Shares      1.50%  ◆          15,823,670  
15,821,800    Fidelity Institutional Money Market Government Portfolio - Class I      1.49%  ◆          15,821,800  
15,824,378    Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class      1.51%  ◆          15,824,378  
           

 

 

  

Total Short Term Investments (Cost $47,469,848)

      47,469,848  
        

 

 

  

Total Investments - 141.0% (Cost $2,995,535,157) ‡

            2,815,484,871  

Liabilities in Excess of Other Assets - (41.0)%

            (818,961,182 ) 
        

 

 

  

NET ASSETS - 100.0%

          $     1,996,523,689  
           

 

 

  

 

  ^

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.

 

 

  §

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of December 31, 2019.

 

 

  ±

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.

 

 

  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.

 

 

  #

Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of December 31, 2019.

 

 

  †

Perpetual Maturity

 

 

  I/O

Interest only security

 

 

  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.

 

 

  *

Non-income producing security

 

 

  ◆

Seven-day yield as of December 31, 2019

 

 

  @

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.

 

 

  ‡

Under the Fund’s Liquidity Agreement, the Lender, through their agent, have been granted a security interest in all of the Fund’s investments in consideration of the Fund’s borrowings under the line of credit with the Lender.

 

 

  z

Security, or portion of security, is on loan as of December 31, 2019 pursuant to the Liquidity Agreement.

 

 

  BRL 

Brazilian Real

 

 

  PIK 

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

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Foreign Corporate Bonds

      64.8%  

US Corporate Bonds

      24.3%  

Non-Agency Commercial Mortgage Backed Obligations

      16.6%  

Collateralized Loan Obligations

      11.8%  

Bank Loans

      10.7%  

US Government and Agency Mortgage Backed Obligations

      4.8%  

Non-Agency Residential Collateralized Mortgage Obligations

      3.1%  

Short Term Investments

      2.4%  

Asset Backed Obligations

      1.2%  

Common Stocks

      0.8%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      0.5%  

Warrants

      0.0%  ~ 

Other Assets and Liabilities

      (41.0)%  
  

 

 

  
                 100.0%  
  

 

 

  

 

  ~

Represents less than 0.05% of net assets

 

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Non-Agency Commercial Mortgage Backed Obligations

      16.6%  

Collateralized Loan Obligations

      11.8%  

Energy

      11.5%  

Utilities

      11.0%  

Finance

      8.6%  

Telecommunications

      7.4%  

Banking

      6.5%  

Mining

      5.1%  

US Government and Agency Mortgage Backed Obligations

      4.9%  

Consumer Products

      4.6%  

Transportation

      4.1%  

Building and Development (including Steel/Metals)

      3.9%  

Technology

      3.9%  

Healthcare

      3.7%  

Chemical Products

      3.4%  

Non-Agency Residential Collateralized Mortgage Obligations

      3.1%  

Media

      2.8%  

Pulp & Paper

      2.6%  

Short Term Investments

      2.4%  

Containers and Glass Products

      2.4%  

Commercial Services

      1.8%  

Electronics/Electric

      1.7%  

Pharmaceuticals

      1.4%  

Automotive

      1.4%  

Hotels/Motels/Inns and Casinos

      1.3%  

Business Equipment and Services

      1.3%  

Chemicals/Plastics

      1.3%  

Retailers (other than Food/Drug)

      1.2%  

Asset Backed Obligations

      1.2%  

Environmental Control

      1.1%  

Insurance

      1.1%  

Aerospace & Defense

      1.0%  

Food Products

      0.9%  

Beverage and Tobacco

      0.6%  

Real Estate

      0.6%  

Industrial Equipment

      0.5%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      0.5%  

Leisure

      0.4%  

Food Service

      0.4%  

Financial Intermediaries

      0.4%  

Food/Drug Retailers

      0.3%  

Diversified Manufacturing

      0.3%  

Construction

      0.0%  ~ 

Other Assets and Liabilities

      (41.0)%  
  

 

 

  
                 100.0%  
  

 

 

  

 

  ~

Represents less than 0.05% of net assets

 

COUNTRY BREAKDOWN as a % of Net Assets:

 

United States

      75.2%  

Mexico

      14.1%  

Brazil

      11.4%  

Argentina

      11.2%  

Colombia

      7.2%  

Canada

      2.9%  

Indonesia

      2.6%  

Peru

      2.1%  

India

      2.0%  

Costa Rica

      1.7%  

South Africa

      1.5%  

Dominican Republic

      1.3%  

Chile

      1.1%  

Panama

      1.0%  

Luxembourg

      0.8%  

Israel

      0.7%  

Guatemala

      0.6%  

Jamaica

      0.6%  

Hong Kong

      0.6%  

Ukraine

      0.5%  

Ecuador

      0.5%  

United Kingdom

      0.4%  

El Salvador

      0.4%  

Netherlands

      0.3%  

China

      0.2%  

France

      0.1%  

Other Assets and Liabilities

      (41.0)%  
  

 

 

  
                 100.0%  
  

 

 

  

Notes to Schedule of Investments

December 31, 2019 (Unaudited)

 

1.  Organization

DoubleLine Income Solutions 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 January 10, 2013 and commenced operations on April 26, 2013. The Fund is listed on the New York Stock Exchange (“NYSE”) under the symbol “DSL”. The Fund’s primary investment objective is to seek high current income and its secondary objective is to seek 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.

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

Securities may be fair valued by the Adviser (as defined below) in accordance with the fair valuation procedures approved by the Board of Trustees (the “Board”). The 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

    $ 47,469,848  

Common Stocks

      10,953,120  

 

   

 

 

  

Total Level 1

      58,422,968  

Level 2

   

Foreign Corporate Bonds

      1,292,886,609  

US Corporate Bonds

      485,301,884  

Collateralized Loan Obligations

      233,349,009  

Non-Agency Commercial Mortgage Backed Obligations

      229,740,696  

Bank Loans

      213,920,514  

US Government and Agency Mortgage Backed Obligations

      97,163,086  

Asset Backed Obligations

      24,022,532  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

      9,353,475  

Non-Agency Residential Collateralized Mortgage Obligations

      1,604,532  

 

   

 

 

  

Total Level 2

      2,587,342,337  

Level 3

   

Non-Agency Commercial Mortgage Backed Obligations

      102,253,516  

Non-Agency Residential Collateralized Mortgage Obligations

      60,541,746  

Common Stocks

      5,096,113  

Collateralized Loan Obligations

      1,574,801  

Foreign Corporate Bonds

      253,389  

Warrants

      1  

 

   

 

 

  

Total Level 3

      169,719,566  

 

   

 

 

  

Total

      $       2,815,484,871  

 

   

 

 

  

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 Commercial Mortgage Backed Obligations

   $ 103,197,834     $ 293,977     $ (1,264,266 )    $ 484,655     $ 39,297     $ (497,981 )    $ -     $ -     $ 102,253,516     $ (1,275,665 ) 

Non-Agency Residential Collateralized Mortgage Obligations

     60,400,113       -       (99,796 )      241,429       -       -       -       -       60,541,746       (99,796 ) 

Common Stocks

     1,500,025       -       (129,312 )      -       2,849,650       -       875,750       -       5,096,113       (129,312 ) 

Collateralized Loan Obligations

     860,652       -       (177,854 )      2,127       41,725       -       848,151       -       1,574,801       (173,258 ) 

Foreign Corporate Bonds

     253,389       -       -       -       -       -       -       -       253,389       -  

Warrants

     1       -       -       -       -       -       -       -       1       -  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 166,212,014     $ 293,977     $ (1,671,228 )    $ 728,211     $ 2,930,672     $ (497,981 )    $ 1,723,901     $ -     $ 169,719,566     $ (1,678,031 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

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 Commercial Mortgage Backed Obligations

    $ 102,253,516      Market
Comparables		    Yields      6.24% - 76.81% (13.01%)      Increase in yields would have resulted in the decrease in the fair value of the security

Non-Agency Residential Collateralized Mortgage Obligations

    $ 60,541,746      Market
Comparables		    Market
Quotes		      $100.73 - $100.99 ($100.90)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Common Stocks

    $ 5,096,113      Market
Comparables		    Market
Quotes		      $10.00 - $26.50 ($15.13)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Collateralized Loan Obligations

    $ 1,574,801      Market
Comparables		    Market
Quotes		      $69.75 - $84.82 ($77.87)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Foreign Corporate Bonds

    $ 253,389      Enterprise
Value		    EBITDA
multiples		      5x - 6.5x (5.75x)      Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the security

Warrants

    $ 1      Intrinsic
Value		    Underlying
Equity
Price		      $0.00 ($0.00)      Significant changes in the Underlying Equity Price would have resulted in direct 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.