NPORT-EX 2 dsl-confidential.htm NPORT-EX DOS

 

DoubleLine Income Solutions Fund

Schedule of Investments

June 30, 2021 (Unaudited)

 

 

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  

Asset Backed Obligations - 1.9%

 

877,069   AASET Ltd., Series 2019-2-C     6.41 % (a)(d)    10/16/2039     651,458  
1,250,000   Affirm Asset Securitization Trust, Series 2021-A-E     5.65 % (a)    08/15/2025     1,265,623  
1,000,000   Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A-D     5.83 % (a)    01/18/2028     1,015,389  
389,508   Castlelake Aircraft Securitization Trust, Series 2018-1-C     6.63 % (a)(d)    06/15/2043     299,940  
1,337,693   Castlelake Aircraft Securitization Trust, Series 2019-1A-C     6.90 % (a)(d)    04/15/2039     1,090,819  
2,367,951   Castlelake Aircraft Structured Trust, Series 2021-1A-C     7.00 % (a)(d)    01/15/2046     2,417,339  
2,363,940   GAIA Aviation Ltd., Series 2019-1-C     7.00 % (a)(b)(d)    12/15/2044     1,896,823  
935,555   Horizon Aircraft Finance Ltd., Series 2018-1-C     6.66 % (a)(d)    12/15/2038     747,189  
8,871,000   LendingClub Receivables Trust, Series 2020-3-B     7.50 % (a)    01/16/2046     9,129,643  
1,951,441   Pagaya AI Debt Selection Trust, Series 2020-2-NOTE     7.50 % (a)    12/15/2027     1,966,149  
3,100,000   Pagaya AI Debt Selection Trust, Series 2020-3-C     6.43 % (a)    05/17/2027     3,267,353  
50,000   SoFi Professional Loan Program, Series 2018-A-R1     6.11 % (a)(d)(o)    02/25/2042     1,732,981  
14,827   SoFi Professional Loan Program, Series 2018-A-R2     6.11 % (a)(d)(o)    02/25/2042     513,898  
100,000   SoFi Professional Loan Program, Series 2018-C-R1     5.58 % (a)(d)(o)    01/25/2048     2,421,102  
1,563,967   START Ireland, Series 2019-1-C     6.41 % (a)(d)    03/15/2044     1,251,424  
243,333   Start Ltd., Series 2019-2-C     6.66 % (a)(d)    11/15/2044     194,598  
4,300,000   Summit Issuer LLC, Series 2020-1A-C     5.10 % (a)    12/20/2050     4,264,986  
2,000,000   Tesla Auto Lease Trust, Series 2019-A-E     5.48 % (a)    05/22/2023     2,099,989  
       

 

 

  

Total Asset Backed Obligations (Cost $37,358,660)

     36,226,703  
       

 

 

  

Bank Loans - 10.9%

 

3,165,000   AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)     5.50 %    04/20/2028     3,303,674  
2,125,000   Aegion Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)     5.50 %    05/17/2028     2,151,563  
738,263   Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.50% Floor)     4.50 %    08/01/2025     741,032  
3,000,000   Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor)     8.25 %    06/16/2025     3,038,445  
6,415,793   American Tire Distributors, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 7.50%, 1.00% Floor) (1 Month LIBOR USD + 5.50% + 1.50% PIK)     8.50 %    09/02/2024     6,430,228  
1,800,000   American Trailer World Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor)     4.50 %    03/03/2028     1,799,721  
4,655,000   Applied Systems, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.50%, 0.75% Floor)     6.25 %    09/19/2025     4,732,971  
905,000   Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%)     5.35 %    01/31/2028     913,484  
4,080,000   Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor)     6.00 %    05/08/2028     4,023,043  
985,000   Autokiniton US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 0.50% Floor)     5.00 %    04/06/2028     993,929  
3,118,910   Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)     4.32 %    12/15/2027     3,132,228  
5,505,000   Cengage Learning, Inc., Senior Secured First Lien Term Loan     5.75 % (c)    06/29/2026     5,518,790  

Principal Amount

$/Shares

  

Security Description

   Rate     

Maturity

   Value $  
2,029,313   Connect U.S. Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)     4.50 %     12/11/2026     2,034,396  
1,795,500   Cross Financial Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor)     4.75 %     09/15/2027     1,803,355  
3,061,857   CSM Bakery Solutions LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.75%, 1.00% Floor)     11.00 %     02/04/2022     3,044,006  
4,995,000   Cyxtera DC Holdings, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor)     8.25 %     05/01/2025     4,963,781  
2,425,000   DG Investment Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.75% Floor)     7.50 %     03/19/2029     2,429,547  
532,103   Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)     3.70 %     04/06/2026     519,133  
286,077   Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%)     3.70 %     04/06/2026     279,104  
4,200,000   Edelman Financial Center LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)     6.85 %     07/20/2026     4,231,941  
2,199,375   Edelman Financial Engines Centre LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor)     4.50 %     04/07/2028     2,204,566  
3,990,000   Endo Luxembourg Finance Company SARL, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor)     5.75 %     03/27/2028     3,861,582  
1,423,621   EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)     4.75 %     05/09/2025     1,417,613  
1,250,000   Excelitas Technologies Corporation, Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.50%, 1.00% Floor)     8.50 %     12/01/2025     1,252,031  
6,336,505   Flexential Intermediate Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)     3.65 %     08/01/2024     5,840,895  
2,353,154   Foresight Energy LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 8.00%, 1.50% Floor)     9.50 % (d)     06/30/2027     2,353,154  
1,532,573   Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)     4.63 %     02/19/2026     1,533,531  
7,645,000   Grab Holdings, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.50%, 1.00% Floor)     5.50 %     01/29/2026     7,778,788  
3,911,222   Granite US Holdings Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)     4.20 %     09/30/2026     3,930,778  
3,775,000   Greystone Select Financial LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.00%, 0.75% Floor)     5.75 %     05/09/2028     3,793,875  
9,209,214   Gulf Finance LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor)     6.25 %     08/25/2023     7,842,659  
594,960   Houston Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%)     3.85 %     07/21/2025     591,985  
7,396,000   Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%, 0.75% Floor)     7.00 %     07/07/2025     7,454,539  
1,115,000   ION Trading Finance Limited, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%)     4.92 %     03/31/2028     1,121,272  
2,264,325   Ivanti Software, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor)     5.75 %     12/01/2027     2,271,084  
730,000   Jo-Ann Stores LLC, Senior Secured First Lien Term Loan     5.50 % (c)     06/30/2028     726,350  
1,243,246   Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor)     6.00 %     10/20/2023     1,243,402  
1,804,200   Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)     5.50 %     05/26/2025     1,786,158  
4,681,998   Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)     4.63 %     07/02/2025     4,681,998  

Principal Amount

$/Shares

  

Security Description

   Rate     

Maturity

   Value $  
955,200   Kronos Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.50% Floor)     4.25 %     12/22/2026     949,727  
675,372   Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%)     1.09 %     06/30/2025     311,515  
52,939   Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)     3.09 %     06/30/2024     34,411  
730,276   Longview Power LLC, Guaranteed Senior Secured First Lien Term Loan     10.10 % (c)     07/31/2025     730,276  
6,450,825   Milano Acquisition Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor)     4.75 %     10/01/2027     6,483,079  
865,000   Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor)     6.25 %     06/21/2027     924,962  
3,885,700   Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)     4.85 %     03/27/2026     3,889,741  
1,764,000   Mirion Technologies, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)     4.15 %     03/06/2026     1,768,137  
7,206,895   Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%)     7.35 %     12/01/2025     7,224,912  
1,706,131   MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)     4.59 %     11/28/2025     1,570,289  
2,920,000   MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.75%)     8.86 %     11/30/2026     1,694,155  
905,000   NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%)     7.10 %     10/19/2026     891,425  
106,875   OneDigital Borrower LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month LIBOR USD + 4.50%, 0.75% Floor)     5.25 % (p)     11/16/2027     107,454  
3,313,125   OneDigital Borrower LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 0.75% Floor)     5.25 %     11/16/2027     3,331,082  
1,070,000   Oravel Stays Singapore PTE Ltd., Senior Secured First Lien Term Loan     9.00 % (c)     06/04/2026     1,088,725  
1,370,000   Orbcomm, Inc., Senior Secured First Lien Term Loan     5.00 % (c)     06/17/2028     1,369,144  
3,845,000   Pearl Intermediate Parent LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%)     6.35 %     02/13/2026     3,856,535  
640,000   Pelican Products, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.75%)     7.93 %     05/01/2026     631,734  
700,000   Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor)     4.75 %     12/14/2027     701,971  
2,000,000   PowerTeam Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)     8.25 %     03/06/2026     1,993,500  
2,266,724   Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)     4.85 %     03/11/2026     2,210,996  
329,074   Rentpath, Inc., Senior Secured First Lien Term Loan (Prime Rate + 3.75%)     7.00 %     12/17/2021     47,716  
2,395,000   Restaurant Technologies, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%)     6.60 %     10/01/2026     2,385,276  
3,960,075   Riverbed Technology, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor)     7.00 %     12/31/2025     3,771,971  
4,169,250   Riverbed Technology, Inc., Senior Secured Second Lien Term Loan (4.50% PIK)     7.50 %     12/31/2026     3,293,708  
947,625   Sabre GLBL, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor)     4.75 %     12/17/2027     955,125  
2,747,253   Solenis International, LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)     4.14 %     06/26/2025     2,750,193  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
2,315,000   Solenis International, LP, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%)     8.64 %    06/26/2026     2,323,392  
1,785,000   Solmax U.S. LP, Senior Secured First Lien Term Loan     0.00 % (c)    06/28/2028     1,782,769  
3,771,145   Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)     6.85 %    06/26/2026     3,785,287  
860,929   Syncreon Group Holdings B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor)     6.00 %    10/01/2024     859,138  
1,890,000   TIBCO Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%)     7.36 %    03/03/2028     1,922,782  
502,827   Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)     4.10 %    01/25/2024     485,417  
4,347,764   Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.50%, 1.00% Floor)     2.50 %    02/28/2025     4,571,370  
1,906,038   Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%)     5.20 %    05/29/2026     1,747,008  
4,000,000   Triton Water Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 0.50% Floor)     4.00 %    03/31/2028     4,000,560  
4,000,000   Vantage Specialty Chemicals, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%, 1.00% Floor)     9.25 %    10/27/2025     3,881,880  
1,455,000   Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)     4.10 %    08/27/2025     1,460,718  
2,955,000   WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.75%, 1.00% Floor)     6.75 %    06/22/2026     2,841,026  
2,725,000   WeddingWire, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%)     8.46 %    12/21/2026     2,663,688  
       

 

 

  

Total Bank Loans (Cost $205,414,431)

     205,063,425  
       

 

 

  

Collateralized Loan Obligations - 13.4%

 

2,000,000   Adams Mill Ltd., Series 2014-1A-D2 (3 Month LIBOR USD + 4.25%)     4.43 % (a)    07/15/2026     1,999,303  
6,000,000   Adams Mill Ltd., Series 2014-1A-E2 (3 Month LIBOR USD + 6.25%)     6.43 % (a)    07/15/2026     6,059,806  
2,000,000   Apidos Ltd., Series 2015-21A-ER (3 Month LIBOR USD + 8.25%, 8.25% Floor)     8.44 % (a)    07/18/2027     1,883,474  
3,000,000   Apidos Ltd., Series 2016-24A-DR (3 Month LIBOR USD + 5.80%)     5.99 % (a)    10/20/2030     2,827,500  
2,500,000   Atrium, Series 15A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor)     6.02 % (a)    01/23/2031     2,460,267  
2,250,000   Babson Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 6.45%)     6.64 % (a)    10/20/2030     2,180,057  
3,000,000   Bain Capital Credit Ltd., Series 2017-2A-ER2 (3 Month LIBOR USD + 6.50%, 6.50% Floor)     0.00 % (a)(n)(q)    07/25/2034     2,970,000  
1,500,000   Barings Ltd., Series 2018-4A-E (3 Month LIBOR USD + 5.82%, 5.82% Floor)     6.00 % (a)    10/15/2030     1,504,177  
5,000,000   Barings Ltd., Series 2019-2A-DR (3 Month LIBOR USD + 6.78%, 6.78% Floor)     0.00 % (a)(n)(q)    04/15/2036     5,040,600  
1,000,000   Barings Ltd., Series 2020-1A-E (3 Month LIBOR USD + 7.40%, 7.40% Floor)     7.58 % (a)    10/15/2032     1,006,693  
2,500,000   BlueMountain Ltd., Series 2015-2A-F (3 Month LIBOR USD + 6.80%, 6.80% Floor)     6.99 % (a)    07/18/2027     2,205,117  
6,500,000   Buttermilk Park Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)     5.93 % (a)    10/15/2031     6,379,769  
2,500,000   Canyon Capital Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 5.75%)     5.93 % (a)    07/15/2031     2,404,829  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
6,650,000   Canyon Capital Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.25%)     6.43 % (a)    07/15/2030     6,553,222  
2,500,000   Canyon Capital Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)     5.93 % (a)    07/15/2031     2,412,480  
6,000,000   Canyon Capital Ltd., Series 2021-2A-E (3 Month LIBOR USD + 6.70%, 6.70% Floor)     6.86 % (a)    04/15/2034     6,018,179  
2,000,000   Carlyle Global Market Strategies Ltd., Series 2013-3A-DR (3 Month LIBOR USD + 5.50%)     5.68 % (a)    10/15/2030     1,855,469  
3,000,000   Carlyle Global Market Strategies Ltd., Series 2019-1A-D (3 Month LIBOR USD + 6.70%, 6.70% Floor)     6.89 % (a)    04/20/2031     3,015,072  
1,500,000   Carlyle US Ltd., Series 2021-1A-D (3 Month LIBOR USD + 6.00%, 6.00% Floor)     6.19 % (a)    04/15/2034     1,484,739  
1,500,000   Chenango Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.80%, 5.80% Floor)     5.98 % (a)    04/15/2030     1,468,122  
750,000   CIFC Funding Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 6.65%)     6.83 % (a)    07/16/2030     743,531  
2,500,000   Dryden Ltd., Series 2018-55A-F (3 Month LIBOR USD + 7.20%)     7.38 % (a)    04/15/2031     2,259,046  
3,250,000   Dryden Ltd., Series 2019-68A-E (3 Month LIBOR USD + 6.75%)     6.93 % (a)    07/15/2032     3,282,675  
3,000,000   Dryden Senior Loan Fund, Series 2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor)     5.33 % (a)    01/15/2031     2,873,537  
1,250,000   Galaxy Ltd., Series 2017-24A-E (3 Month LIBOR USD + 5.50%)     5.68 % (a)    01/15/2031     1,227,694  
1,060,118   Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%)     5.18 % (a)(d)    04/28/2025     267,907  
1,151,456   Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E (3 Month LIBOR USD + 5.75%)     5.93 % (a)(d)    04/28/2025     0  
1,500,000   HPS Loan Management Ltd., Series 13A-18-E (3 Month LIBOR USD + 5.50%, 5.50% Floor)     5.68 % (a)    10/15/2030     1,454,109  
1,000,000   HPS Loan Management Ltd., Series 15A-19-E (3 Month LIBOR USD + 6.60%, 6.60% Floor)     6.78 % (a)    07/22/2032     1,002,506  
3,500,000   LCM LP, Series 14A-FR (3 Month LIBOR USD + 7.61%)     7.80 % (a)(d)    07/20/2031     2,880,667  
5,000,000   LCM LP, Series 17A-ER (3 Month LIBOR USD + 6.00%, 6.00% Floor)     6.18 % (a)    10/15/2031     4,725,000  
7,000,000   LCM LP, Series 19A-E1 (3 Month LIBOR USD + 6.45%, 6.45% Floor)     6.63 % (a)(d)    07/15/2027     7,018,027  
6,500,000   LCM Ltd., Series 26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor)     5.49 % (a)    01/20/2031     6,003,454  
2,000,000   LCM Ltd., Series 28A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)     5.94 % (a)    10/20/2030     1,901,457  
11,000,000   Madison Park Funding Ltd., Series 2014-14A-ER (3 Month LIBOR USD + 5.80%, 5.80% Floor)     5.98 % (a)    10/22/2030     10,814,624  
7,100,000   Madison Park Funding Ltd., Series 2015-18A-ER (3 Month LIBOR USD + 6.35%)     6.54 % (a)    10/21/2030     7,074,459  
3,000,000   Madison Park Funding Ltd., Series 2017-25A-D (3 Month LIBOR USD + 6.10%)     6.28 % (a)    04/25/2029     3,007,490  
500,000   Madison Park Funding Ltd., Series 2017-26A-ER (3 Month LIBOR USD + 6.50%)     6.68 % (a)    07/29/2030     497,913  
1,000,000   Madison Park Funding Ltd., Series 2019-34A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor)     6.83 % (a)    04/25/2032     1,000,032  
2,000,000   Madison Park Funding Ltd., Series 2019-37A-E (3 Month LIBOR USD + 6.55%)     6.73 % (a)    07/15/2032     2,000,831  
10,000,000   Magnetite Ltd., Series 2012-7A-DR2 (3 Month LIBOR USD + 4.50%)     4.68 % (a)    01/15/2028     9,817,420  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
7,500,000   Magnetite Ltd., Series 2015-16A-ER (3 Month LIBOR USD + 5.00%)     5.19 % (a)    01/18/2028     7,466,815  
2,500,000   Magnetite Ltd., Series 2019-22A-ER (3 Month LIBOR USD + 6.35%, 6.35% Floor)     6.50 % (a)    04/15/2031     2,518,570  
2,000,000   Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor)     6.45 % (a)    04/15/2034     1,982,102  
1,000,000   Neuberger Berman Loan Advisers Ltd., Series 2019-31A-ER (3 Month LIBOR USD + 6.50%, 6.50% Floor)     0.00 % (a)(n)(q)    04/20/2031     1,004,215  
1,750,000   Neuberger Berman Loan Advisers Ltd., Series 2019-32A-ER (3 Month LIBOR USD + 6.10%, 6.10% Floor)     6.29 % (a)    01/20/2032     1,748,292  
2,250,000   Neuberger Berman Loan Advisers Ltd., Series 2019-33A-E (3 Month LIBOR USD + 6.80%)     6.98 % (a)    10/16/2032     2,265,020  
2,000,000   Neuberger Berman Loan Advisers Ltd., Series 2019-34A-E (3 Month LIBOR USD + 7.80%)     7.99 % (a)    01/20/2033     2,025,202  
2,000,000   Neuberger Berman Loan Advisers Ltd., Series 2021-40A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor)     6.04 % (a)    04/16/2033     1,991,637  
2,000,000   Newark BSL Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.30%)     6.48 % (a)    07/25/2030     2,000,211  
3,675,000   Niagara Park Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.45%, 6.45% Floor)     6.64 % (a)    07/17/2032     3,684,820  
3,675,000   Niagara Park Ltd., Series 2019-1A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor)     0.00 % (a)(n)(q)    07/17/2032     3,675,000  
5,000,000   Octagon Investment Partners Ltd., Series 2012-1A-DR (3 Month LIBOR USD + 7.15%)     7.33 % (a)    07/15/2029     4,958,542  
8,250,000   Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)     5.94 % (a)    07/17/2030     7,940,625  
5,460,000   Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 7.00%)     7.19 % (a)    07/19/2030     5,473,398  
2,500,000   Octagon Investment Partners Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 7.00%, 7.00% Floor)     7.15 % (a)    02/14/2031     2,506,034  
3,000,000   Octagon Investment Partners Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 7.25%)     7.43 % (a)    01/24/2033     3,012,309  
2,000,000   Octagon Investment Partners Ltd., Series 2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor)     8.27 % (a)    07/15/2030     1,863,889  
4,000,000   Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%)     6.39 % (a)    03/17/2030     4,024,835  
3,750,000   Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.60%, 6.60% Floor)     6.78 % (a)    10/25/2032     3,759,353  
1,000,000   Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 7.69%, 7.69% Floor)     7.87 % (a)    10/15/2032     1,011,483  
2,000,000   Octagon Investment Partners Ltd., Series 2019-3A-ER (3 Month LIBOR USD + 6.75%, 6.75% Floor)     0.00 % (a)(n)(q)    07/15/2034     2,000,000  
1,000,000   Octagon Investment Partners Ltd., Series 2019-4A-E (3 Month LIBOR USD + 6.80%, 6.80% Floor)     6.97 % (a)    05/12/2031     995,002  
500,000   Point Au Roche Park Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.10%, 6.10% Floor)     0.00 % (a)(n)(q)    07/20/2034     500,000  
3,000,000   RR Ltd., Series 2017-2A-DR (3 Month LIBOR USD + 5.80%, 5.80% Floor)     5.99 % (a)    04/15/2036     2,963,142  
2,400,000   Sound Point Ltd., Series 2019-2A-ER (3 Month LIBOR USD + 6.47%, 6.47% Floor)     6.62 % (a)    07/15/2034     2,352,116  
500,000   Sound Point Ltd., Series 2020-2A-E (3 Month LIBOR USD + 7.24%, 7.24% Floor)     7.42 % (a)    10/25/2031     505,275  
7,500,000   Stewart Park Ltd., Series 2015-1A-ER (3 Month LIBOR USD + 5.28%, 5.28% Floor)     5.46 % (a)    01/15/2030     7,230,224  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
7,200,000   Venture Ltd., Series 2016-24A-E (3 Month LIBOR USD + 6.72%)     6.91 % (a)    10/20/2028     6,954,282  
5,000,000   Venture Ltd., Series 2017-26A-E (3 Month LIBOR USD + 6.80%)     6.99 % (a)    01/20/2029     4,602,033  
4,000,000   Venture Ltd., Series 2017-27A-E (3 Month LIBOR USD + 6.35%)     6.54 % (a)    07/20/2030     3,673,351  
4,050,000   Voya Ltd., Series 2016-4A-E2 (3 Month LIBOR USD + 6.65%)     6.84 % (a)    07/20/2029     4,021,889  
1,500,000   Voya Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.10%)     6.29 % (a)    04/17/2030     1,471,931  
1,000,000   Voya Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.25%, 5.25% Floor)     5.43 % (a)    07/15/2031     946,250  
1,000,000   Voya Ltd., Series 2018-2A-F (3 Month LIBOR USD + 7.29%, 7.29% Floor)     7.47 % (a)    07/15/2031     886,334  
2,000,000   Wind River Ltd., Series 2013-2A-E1R (3 Month LIBOR USD + 6.75%)     6.94 % (a)    10/18/2030     2,009,982  
3,500,000   Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)     5.93 % (a)    01/15/2031     3,294,291  
2,000,000   Wind River Ltd., Series 2014-3A-ER2 (3 Month LIBOR USD + 6.22%, 6.22% Floor)     6.40 % (a)    10/22/2031     1,870,991  
5,000,000   Wind River Ltd., Series 2017-1A-ER (3 Month LIBOR USD + 7.06%, 7.06% Floor)     7.25 % (a)    04/18/2036     4,908,642  
3,000,000   Wind River Ltd., Series 2017-3A-ER (3 Month LIBOR USD + 7.05%, 7.05% Floor)     0.00 % (a)(n)(q)    04/15/2035     3,004,948  
1,000,000   Wind River Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.50%)     5.68 % (a)    07/15/2030     967,850  
1,000,000   Wind River Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.75%)     5.93 % (a)    07/15/2030     968,168  
       

 

 

  

Total Collateralized Loan Obligations (Cost $258,737,739)

     252,620,307  
       

 

 

  

Foreign Corporate Bonds - 61.9%

 

13,600,000   ABM Investama Tbk PT     7.13 %    08/01/2022     13,185,200  
2,000,000   AES Andres B.V.     5.70 % (a)    05/04/2028     2,075,000  
29,500,000   AES Argentina Generacion S.A.     7.75 %    02/02/2024     25,191,968  
5,500,000   AES Argentina Generacion S.A.     7.75 % (a)    02/02/2024     4,696,807  
14,300,000   Agile Group Holdings Ltd. (5 Year CMT Rate + 11.08%)     7.75 % (e)    05/25/2025     14,497,337  
4,600,000   Agile Group Holdings Ltd. (5 Year CMT Rate + 11.25%)     8.38 % (e)    12/04/2023     4,806,586  
5,885,000   Agile Group Holdings Ltd. (5 Year CMT Rate + 11.29%)     7.88 % (e)    07/31/2024     5,995,376  
2,000,000   AI Candelaria Spain SLU     5.75 % (a)    06/15/2033     2,062,040  
10,000,000   Air Canada Class C Pass Through Trust     10.50 % (a)    07/15/2026     12,450,000  
16,100,000   Alpha Holdings S.A.     10.00 %    12/19/2022     3,139,500  
400,000   Alpha Holdings S.A.     10.00 % (a)    12/19/2022     78,000  
6,300,000   Alpha Holdings S.A.     9.00 %    02/10/2025     1,238,738  
12,950,000   Alpha Holdings S.A.     9.00 % (a)    02/10/2025     2,546,294  
6,000,000   AMS AG     7.00 % (a)(g)    07/31/2025     6,484,950  
5,600,000   Atento Luxco 1 S.A.     8.00 % (a)(g)    02/10/2026     6,110,551  
5,800,000   Banco Davivienda S.A. (10 Year CMT Rate + 5.10%)     6.65 % (a)(e)(g)    04/22/2031     6,099,773  
3,400,000   Banco de Galicia y Buenos Aires S.A. (5 Year CMT Rate + 7.16%)     8.25 %    07/19/2026     3,176,790  
16,900,000   Banco do Estado do Rio Grande do Sul S.A. (5 Year CMT Rate + 4.93%)     5.38 % (a)(g)    01/28/2031     17,438,603  
1,635,000   Banco GNB Sudameris S.A. (5 Year CMT Rate + 4.56%)     6.50 %    04/03/2027     1,641,548  
8,805,000   Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%)     7.50 % (g)    04/16/2031     8,966,572  
16,800,000   Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%)     7.50 % (a)(g)    04/16/2031     17,108,280  
12,550,000   Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)     6.75 %    11/04/2026     10,463,876  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
9,566,000   Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)     6.75 % (a)    11/04/2026     7,975,892  
5,000,000   Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.47%)     7.50 % (e)(g)    06/27/2029     5,656,250  
9,145,000   Braskem Idesa S.A.P.I.     7.45 %    11/15/2029     9,724,061  
14,000,000   Braskem Idesa S.A.P.I.     7.45 % (a)(g)    11/15/2029     14,886,480  
1,958,000   Calfrac Holdings LP     10.88 % (a)    03/15/2026     1,508,845  
10,050,000   Central China Real Estate Ltd.     7.25 %    07/16/2024     8,756,094  
16,000,000   Central China Real Estate Ltd.     7.25 %    08/13/2024     13,800,094  
18,230,000   CFG Investment S.A.C.     9.75 % (f)    07/30/2025     15,677,800  
23,750,000   Cia General de Combustibles S.A.     9.50 % (a)    03/08/2025     22,070,162  
2,800,000   Connect Finco LLC     6.75 % (a)(g)    10/01/2026     2,964,528  
308,000   Corporacion Azucarera del Peru S.A.     6.38 %    08/02/2022     294,143  
9,400,000   Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)     9.13 % (a)(e)    11/29/2022     6,650,500  
26,961,000   Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)     9.13 % (e)(g)    11/29/2022     19,074,908  
13,104,000   Credivalores-Crediservicios S.A.     9.75 %    07/27/2022     11,784,427  
4,406,000   Credivalores-Crediservicios S.A.     8.88 %    02/07/2025     3,452,828  
12,550,000   Credivalores-Crediservicios SAS     8.88 % (a)    02/07/2025     9,834,996  
20,500,000   CSN Islands Corporation     7.00 % (e)(g)    09/23/2021     20,740,362  
16,016,735   Digicel Group Ltd. (5.00% + 3.00% PIK or 8.00% PIK)     8.00 % (a)    04/01/2025     13,486,091  
4,069,459   Digicel Group Ltd. (7.00% PIK)     7.00 % (a)(e)    07/16/2021     3,164,411  
19,000,000   Docuformas SAPI de C.V.     10.25 % (a)    07/24/2024     18,070,520  
7,600,000   Docuformas SAPI de C.V.     10.25 %    07/24/2024     7,228,208  
19,474,000   Empresa Electrica Guacolda S.A.     4.56 % (g)    04/30/2025     13,920,961  
251,100   Empresa Generadora de Electricidad Itabo S.A.     7.95 %    05/11/2026     260,112  
6,480,000   Empresa Generadora de Electricidad Itabo S.A.     7.95 % (a)    05/11/2026     6,712,567  
16,150,000   Frontera Energy Corporation     7.88 % (a)    06/21/2028     16,211,047  
20,950,000   FS Luxembourg SARL     10.00 % (a)    12/15/2025     23,464,943  
4,205,000   Garda World Security Corporation     6.00 % (a)(g)    06/01/2029     4,178,950  
14,000,000   Geopark Ltd.     5.50 % (g)    01/17/2027     14,157,640  
7,800,000   Gilex Holding SARL     8.50 % (g)    05/02/2023     7,967,193  
10,000,000   Gilex Holding SARL     8.50 % (a)    05/02/2023     10,214,350  
12,800,000   Gran Tierra Energy International Holdings Ltd.     6.25 %    02/15/2025     11,407,936  
9,000,000   Gran Tierra Energy, Inc.     7.75 %    05/23/2027     8,010,090  
21,000,000   Gran Tierra Energy, Inc.     7.75 % (a)    05/23/2027     18,690,210  
1,550,000   Grupo Axo SAPI de C.V.     5.75 % (a)(g)    06/08/2026     1,552,116  
25,236,230   Grupo Idesa S.A. de C.V. (10.38% PIK)     10.13 % (a)    05/22/2026     14,584,017  
6,296,000   Hunt Oil Company of Peru LLC Sucursal Del Peru     6.38 %    06/01/2028     6,650,150  
6,200,000   Indika Energy Capital IV Pte Ltd.     8.25 % (a)(g)    10/22/2025     6,602,814  
19,511,000   Instituto Costarricense de Electricidad     6.38 % (g)    05/15/2043     17,218,458  
15,000,000   Instituto Costarricense de Electricidad     6.38 % (a)    05/15/2043     13,237,500  
3,300,000   Intelsat Jackson Holdings S.A.     8.50 % (a)(f)    10/15/2024     1,958,797  
7,715,000   Intelsat Jackson Holdings S.A.     9.75 % (a)(f)    07/15/2025     4,506,331  
11,800,000   Interpipe Holdings PLC     8.38 % (a)    05/13/2026     11,809,794  
5,925,566   Invepar Holdings     0.00 % (d)(f)    12/30/2028     0  
2,000,000   Investment Energy Resources Ltd.     6.25 % (a)(g)    04/26/2029     2,167,500  
5,000,000   Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.22%)     4.63 % (e)    02/27/2025     4,822,550  
6,500,000   Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.98%)     6.13 % (e)    12/12/2022     6,615,635  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
26,500,000   Kosmos Energy Ltd.     7.13 %    04/04/2026     26,354,648  
3,100,000   LMIRT Capital Pte Ltd.     7.25 %    06/19/2024     3,231,995  
2,300,000   Logan Group Corporation Ltd. (5 Year CMT Rate + 6.00%)     7.00 % (e)    05/31/2022     2,311,500  
1,000,000   Medco Bell Pte Ltd.     6.38 % (g)    01/30/2027     1,032,840  
10,000,000   Medco Bell Pte Ltd.     6.38 % (a)(g)    01/30/2027     10,328,400  
10,000,000   Metinvest B.V.     7.75 %    10/17/2029     11,134,150  
7,500,000   Metinvest B.V.     7.75 % (a)(g)    10/17/2029     8,350,612  
22,000,000   Oi S.A. (8.00% + 4.00% PIK)     10.00 %    07/27/2025     22,687,500  
7,665,000   Operadora de Servicios Mega S.A. de C.V.     8.25 % (g)    02/11/2025     7,722,488  
18,735,000   Operadora de Servicios Mega S.A. de C.V.     8.25 % (a)(g)    02/11/2025     18,875,512  
3,000,000   Pampa Energia S.A.     7.50 % (a)    01/24/2027     2,692,860  
8,850,000   Pampa Energia S.A.     7.50 %    01/24/2027     7,943,937  
5,000,000   Pampa Energia S.A.     9.13 % (a)    04/15/2029     4,580,850  
11,000,000   Pampa Energia S.A.     9.13 %    04/15/2029     10,077,870  
2,400,000   Pertamina Persero PT     4.15 % (g)    02/25/2060     2,419,202  
33,000,000   Peru LNG SRL     5.38 %    03/22/2030     28,572,885  
1,118,000   Petra Diamonds PLC (10.50% PIK)     10.50 % (a)    03/08/2026     1,098,435  
4,500,000   Petrobras Global Finance B.V.     5.50 %    06/10/2051     4,507,200  
9,000,000   Rio Energy S.A.     6.88 % (a)    02/01/2025     7,143,840  
11,000,000   Rio Energy S.A.     6.88 %    02/01/2025     8,731,360  
2,200,000   RKI Overseas Finance     7.00 % (e)    06/23/2022     2,011,570  
19,296,000   RKP Overseas Finance     7.95 % (e)    02/17/2022     19,112,688  
8,810,000   RKPF Overseas Ltd. (5 Year CMT Rate + 6.00%)     7.75 % (e)    11/18/2024     8,671,727  
19,350,000   Ronshine China Holdings Ltd.     7.35 %    12/15/2023     18,263,326  
2,650,000   Ronshine China Holdings Ltd.     6.75 %    08/05/2024     2,431,390  
7,500,000   Sappi Papier Holding GMBH     7.50 %    06/15/2032     8,362,500  
21,119,000   Sappi Papier Holding GMBH     7.50 % (a)    06/15/2032     23,547,685  
5,400,000   SierraCol Energy Andina LLC     6.00 % (a)(g)    06/15/2028     5,472,630  
4,735,000   Sixsigma Networks Mexico SA de CV     7.50 %    05/02/2025     4,345,286  
23,467,953   Stoneway Capital Corporation     10.00 % (f)    03/01/2027     6,923,046  
20,600,000   TBLA International Pte Ltd.     7.00 %    01/24/2023     19,734,800  
14,835,000   Telecom Argentina S.A.     8.50 %    08/06/2025     14,665,733  
2,500,000   Telecom Argentina S.A.     8.50 % (a)    08/06/2025     2,471,475  
1,100,000   Telecom Argentina S.A.     8.00 %    07/18/2026     1,039,500  
16,000,000   Telecommunications Services of Trinidad & Tobago Ltd.     8.88 %    10/18/2029     16,972,000  
7,900,000   Telesat LLC     5.63 % (a)(g)    12/06/2026     7,939,500  
5,035,000   Tervita Corporation     11.00 % (a)    12/01/2025     5,647,911  
3,600,000   Theta Capital Pte Ltd.     8.13 % (g)    01/22/2025     3,753,109  
8,700,000   Theta Capital Pte Ltd.     6.75 %    10/31/2026     8,581,676  
22,900,000   Tullow Oil PLC     10.25 % (a)    05/15/2026     24,090,685  
19,600,000   TV Azteca S.A.     8.25 %    08/09/2024     9,898,000  
5,324,242   UEP Penonome S.A.     6.50 % (a)    10/01/2038     5,454,100  
4,000,000   Unifin Financiera S.A.B. de C.V.     8.38 %    01/27/2028     3,750,000  
11,000,000   Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)     8.88 % (a)(e)    01/29/2025     8,215,570  
24,000,000   Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)     8.88 % (e)    01/29/2025     17,924,880  
23,800,000   Unigel Luxembourg S.A.     8.75 % (a)    10/01/2026     25,836,328  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
6,000,000   Unigel Luxembourg S.A.     8.75 % (g)    10/01/2026     6,513,360  
20,000,000   Vedanta Resources Finance PLC     9.25 %    04/23/2026     17,573,300  
13,000,000   Vedanta Resources Finance PLC     9.25 % (a)(g)    04/23/2026     11,422,645  
5,000,000   Vedanta Resources Ltd.     7.13 %    05/31/2023     4,640,050  
10,000,000   YPF Energia Electrica S.A.     10.00 % (a)    07/25/2026     8,886,850  
8,300,000   YPF S.A.     8.50 %    07/28/2025     6,579,825  
5,000,000   YPF S.A.     8.50 %    06/27/2029     3,656,450  
850,000   YPF S.A.     8.50 % (a)    06/27/2029     621,596  
20,807,000   YPF S.A.     7.00 %    12/15/2047     13,678,626  
12,000,000   Yuzhou Properties Company Ltd.     8.30 %    05/27/2025     10,245,480  
10,700,000   Yuzhou Properties Company Ltd.     7.38 % (g)    01/13/2026     8,440,374  
       

 

 

  

Total Foreign Corporate Bonds (Cost $1,241,912,217)

     1,170,350,805  
       

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 1.6%

 

10,200,000   Brazilian Government International Bond     4.75 %    01/14/2050     9,925,212  
3,600,000   Dominican Republic International Bond     5.30 % (a)    01/21/2041     3,600,036  
4,900,000   El Salvador Government International Bond     7.12 % (g)    01/20/2050     4,189,500  
2,100,000   Mexico Government International Bond     4.50 % (g)    01/31/2050     2,237,130  
9,700,000   Mexico Government International Bond     3.77 % (g)    05/24/2061     9,046,462  
900,000   Ukraine Government International Bond     7.25 %    03/15/2033     939,916  
       

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $29,678,754)

     29,938,256  
       

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 16.0%

 

13,000,000   Alen Mortgage Trust, Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor)     5.07 % (a)    04/15/2034     13,071,794  
10,000,000   Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor)     3.47 % (a)    06/15/2035     9,847,271  
6,325,000   Beast Mortgage Trust, Series 2021-1818-G (1 Month LIBOR USD + 6.00%, 6.25% Floor)     6.25 % (a)    03/15/2036     6,386,069  
121,775,000   Benchmark Mortgage Trust, Series 2020-B18 - AGNX     0.62 % (a)(h)(i)    07/15/2053     2,305,018  
4,250,000   BX Trust, Series 2017-APPL-F (1 Month LIBOR USD + 4.25%, 4.25% Floor)     4.32 % (a)    07/15/2034     4,273,466  
10,200,000   Cantor Commercial Real Estate Lending, Series 2019-CF2 - SWX1     1.45 % (a)(h)(i)    11/15/2052     932,049  
12,080,000   Cantor Commercial Real Estate Lending, Series 2019-CF2 - SWX2     1.19 % (a)(h)(i)    11/15/2052     844,124  
15,292,000   Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor)     2.92 % (a)    10/15/2035     14,684,583  
1,430,000   CF Trust, Series 2019-MF1-F (1 Month LIBOR USD + 2.95%, 3.95% Floor)     3.95 % (a)    08/21/2032     1,421,467  
30,524,109   Citigroup Commercial Mortgage Trust, Series 2014-GC25 - XG     1.36 % (a)(h)(i)    10/10/2047     966,561  
4,484,000   Citigroup Commercial Mortgage Trust, Series 2015-GC27-D     4.57 % (a)(h)    02/10/2048     4,471,014  
3,929,315   Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F     3.75 % (a)(d)    08/10/2047     626,282  
7,054,838   Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G     3.75 % (a)(d)    08/10/2047     319,619  
14,000   Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V     0.00 % (a)(h)(d)    08/10/2047     1  
18,438,000   Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XD     1.37 % (a)(h)(i)    10/10/2048     883,755  
4,875,000   DOLP Trust, Series 2021-NYC-G     3.70 % (a)(h)    05/10/2041     4,440,696  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
5,815,000   Extended Stay America Trust, Series 2021-ESH-F (1 Month LIBOR USD + 3.70%, 3.70% Floor)     3.78 % (a)    07/15/2038     5,853,728  
3,505,144   FREMF Mortgage Trust, Series 2016-KF13-B (1 Month LIBOR USD + 7.50%)     7.59 % (a)    11/25/2025     3,663,664  
537,915   FREMF Mortgage Trust, Series 2016-KF15-B (1 Month LIBOR USD + 7.68%)     7.77 % (a)    02/25/2023     545,962  
1,984,389   FREMF Mortgage Trust, Series 2016-KF16-B (1 Month LIBOR USD + 6.64%)     6.73 % (a)    03/25/2026     2,010,053  
3,358,354   FREMF Mortgage Trust, Series 2016-KF23-B (1 Month LIBOR USD + 5.15%)     5.24 % (a)    09/25/2023     3,334,566  
4,097,797   FREMF Mortgage Trust, Series 2016-KSW1-B (1 Month LIBOR USD + 5.95%)     6.04 % (a)    02/25/2026     4,169,300  
3,117,776   FREMF Mortgage Trust, Series 2017-KF27-B (1 Month LIBOR USD + 4.35%, 4.35% Floor)     4.44 % (a)    12/25/2026     3,112,252  
19,816,485   FREMF Mortgage Trust, Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor)     5.89 % (a)    11/25/2028     20,005,510  
40,000,000   Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor)     3.20 % (a)    12/15/2036     39,364,532  
2,730,000   GS Mortgage Securities Corporation, Series 2014-GC20-E     4.62 % (a)(h)(d)    04/10/2047     12,694  
65,010,362   GS Mortgage Securities Corporation, Series 2014-GC20-XD     1.45 % (a)(h)(i)    04/10/2047     2,281,402  
5,000,000   Hilton USA Trust, Series 2016-SFP-E     5.52 % (a)    11/05/2035     5,068,164  
16,270,694   HPLY Trust, Series 2019-HIT-G (1 Month LIBOR USD + 3.90%, 3.90% Floor)     3.97 % (a)    11/15/2036     14,915,492  
44,143,328   JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC     1.12 % (a)(h)(i)    08/15/2046     877,682  
14,113,175   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E     4.00 % (a)(h)(d)    04/15/2047     11,355,524  
7,840,900   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F     3.75 % (a)(h)(d)    04/15/2047     4,403,911  
21,436,732   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR     3.75 % (a)(h)(d)    04/15/2047     2,749,409  
47,829,582   JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XD     0.90 % (a)(h)(i)    08/15/2047     1,113,157  
5,000,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-E     2.81 % (a)(h)(d)    02/15/2048     3,702,269  
24,531,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C27 - XE     1.64 % (a)(h)(i)    02/15/2048     1,158,290  
2,379,000   LSTAR Commercial Mortgage Trust, Series 2017-5-C     4.87 % (a)(h)    03/10/2050     2,433,645  
21,581,000   MBRT, Series 2019-MBR-G (1 Month LIBOR USD + 2.90%, 2.90% Floor)     2.97 % (a)    11/15/2036     21,528,735  
8,000,000   Morgan Stanley Capital Trust, Series 2007-IQ15-C     6.37 % (a)(h)    06/11/2049     7,715,943  
11,453,000   Morgan Stanley Capital Trust, Series 2017-ASHF-G (1 Month LIBOR USD + 6.90%, 6.90% Floor)     6.97 % (a)    11/15/2034     9,870,333  
3,357,000   Morgan Stanley Capital Trust, Series 2019-PLND-F (1 Month LIBOR USD + 2.80%, 2.80% Floor)     2.87 % (a)    05/15/2036     3,047,888  
13,000,000   Morgan Stanley Capital Trust, Series 2019-PLND-G (1 Month LIBOR USD + 3.65%, 3.65% Floor)     3.72 % (a)    05/15/2036     11,587,683  
8,009,232   Motel 6 Trust, Series 2017-MTL6-F (1 Month LIBOR USD + 4.25%, 4.25% Floor)     4.32 % (a)    08/15/2034     8,058,873  
4,300,000   TTAN, Series 2021-MHC-G (1 Month LIBOR USD + 4.20%, 4.20% Floor)     4.27 % (a)    03/15/2038     4,324,347  
7,458,000   UBS Commercial Mortgage Trust, Series 2017-C6-D     2.50 % (a)(h)    12/15/2050     6,535,709  
5,000,000   UBS Commercial Mortgage Trust, Series 2018-NYCH-F (1 Month LIBOR USD + 3.82%, 3.82% Floor)     3.89 % (a)    02/15/2032     4,895,014  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
1,876,000   UBS Commercial Mortgage Trust, Series 2018-NYCH-G (1 Month LIBOR USD + 4.84%, 4.84% Floor)     4.91 % (a)    02/15/2032     1,759,592  
1,852,611   Wachovia Bank Commercial Mortgage Trust, Series 2006-C28-D     5.72 % (h)    10/15/2048     1,839,180  
4,870,000   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-E     3.25 % (a)(d)    08/15/2050     349,423  
4,870,000   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XC     1.70 % (a)(h)(i)    08/15/2050     197,973  
12,170,989   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XD     1.70 % (a)(h)(i)    08/15/2050     491,197  
9,180,600   Wells Fargo Commercial Mortgage Trust, Series 2015-C29-F     4.35 % (a)(h)(d)    06/15/2048     5,831,444  
39,018,814   Wells Fargo Commercial Mortgage Trust, Series 2015-C29-G     4.35 % (a)(h)(d)    06/15/2048     10,310,527  
23,520,000   Wells Fargo Commercial Mortgage Trust, Series 2016-LC24 - XEF     1.77 % (a)(h)(i)    10/15/2049     1,825,545  
2,200,000   Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D     3.25 % (a)    01/15/2060     2,051,526  
78,810,168   WF-RBS Commercial Mortgage Trust, Series 2014-LC14-XC     1.90 % (a)(h)(i)    03/15/2047     3,480,982  
       

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $330,549,364)

     303,306,889  
       

 

 

  

US Corporate Bonds - 25.1%

 

15,310,000   Air Methods Corporation     8.00 % (a)(g)    05/15/2025     14,487,087  
3,770,000   Allied Universal Holding Company     9.75 % (a)(g)    07/15/2027     4,156,425  
3,915,000   Ambience Merger Sub, Inc.     7.13 % (a)    07/15/2029     3,963,937  
3,850,000   American Airlines, Inc.     5.75 % (a)    04/20/2029     4,167,625  
1,695,000   Arconic Corporation     6.13 % (a)    02/15/2028     1,823,337  
2,665,000   Avaya, Inc.     6.13 % (a)(g)    09/15/2028     2,855,947  
5,215,000   BCPE Empire Holdings, Inc.     7.63 % (a)    05/01/2027     5,347,487  
750,000   Boxer Parent Company, Inc.     7.13 % (a)(g)    10/02/2025     804,517  
1,700,000   Cablevision Lightpath LLC     5.63 % (a)    09/15/2028     1,734,850  
2,115,000   Carlson Travel, Inc.     6.75 % (a)(g)    12/15/2025     1,953,107  
5,430,000   Carnival Corporation     11.50 % (a)    04/01/2023     6,117,845  
5,800,000   Carnival Corporation     7.63 % (a)    03/01/2026     6,307,500  
8,280,000   Castle US Holding Corporation     9.50 % (a)(g)    02/15/2028     8,668,746  
6,450,000   Cengage Learning, Inc.     9.50 % (a)(g)    06/15/2024     6,619,603  
1,136,000   Clarios Global LP     6.75 % (a)    05/15/2025     1,212,669  
5,110,000   Clear Channel Outdoor Holdings, Inc.     7.50 % (a)    06/01/2029     5,296,957  
5,100,000   CommScope Technologies LLC     5.00 % (a)(g)    03/15/2027     5,227,500  
1,680,000   Community Health Systems, Inc.     6.00 % (a)(g)    01/15/2029     1,799,826  
3,815,000   Constellation Merger Sub, Inc.     8.50 % (a)    09/15/2025     3,765,615  
1,880,000   Coty, Inc.     6.50 % (a)(g)    04/15/2026     1,908,294  
10,160,000   CSI Compressco LP     7.50 % (a)(g)    04/01/2025     10,332,720  
7,695,000   CVR Nitrogen Finance Corporation     6.13 % (a)    06/15/2028     7,896,994  
4,130,000   Dealer Tire LLC     8.00 % (a)    02/01/2028     4,466,037  
1,320,000   Delta Air Lines, Inc.     7.00 % (a)    05/01/2025     1,541,329  
3,975,000   EES Finance Corporation     8.13 % (g)    05/01/2025     3,531,688  
15,745,000   Embarq Corporation     8.00 %    06/01/2036     17,869,000  
3,080,000   Endo Finance LLC     6.13 % (a)    04/01/2029     3,022,250  
1,550,000   Envision Healthcare Corporation     8.75 % (a)    10/15/2026     1,089,061  
8,335,000   Ferrellgas Escrow LLC     5.88 % (a)    04/01/2029     8,241,231  
20,000,000   Flexential Intermediate Corporation     11.25 % (a)    08/01/2024     21,887,500  
1,375,000   Frontier Communications Corporation     5.88 % (a)(g)    10/15/2027     1,474,687  
2,625,000   Full House Resorts, Inc.     8.25 % (a)    02/15/2028     2,870,687  
10,000,000   GTT Communications, Inc.     7.88 % (a)    12/31/2024     941,400  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
6,405,000   Hexion, Inc.     7.88 % (a)(g)    07/15/2027     6,918,073  
1,325,000   Hightower Holding LLC     6.75 % (a)    04/15/2029     1,354,150  
5,759,000   Hillman Group, Inc.     6.38 % (a)(g)    07/15/2022     5,769,942  
4,247,000   Illuminate Buyer LLC     9.00 % (a)    07/01/2028     4,743,984  
4,000,000   IRB Holding Corporation     7.00 % (a)    06/15/2025     4,328,080  
2,666,032   JetBlue Pass Through Trust - Class B     8.00 %    11/15/2027     3,145,918  
765,000   LD Holdings Group LLC     6.50 % (a)(g)    11/01/2025     786,458  
5,400,000   LD Holdings Group LLC     6.13 % (a)(g)    04/01/2028     5,409,288  
4,820,000   Lions Gate Capital Holdings LLC     5.50 % (a)(g)    04/15/2029     5,073,267  
5,000,000   Live Nation Entertainment, Inc.     5.63 % (a)(g)    03/15/2026     5,216,902  
790,000   Live Nation Entertainment, Inc.     6.50 % (a)    05/15/2027     879,092  
2,780,000   Logan Merger Sub, Inc.     5.50 % (a)    09/01/2027     2,882,999  
4,960,000   LSF9 Atlantis Holdings LLC     7.75 % (a)    02/15/2026     5,150,216  
3,615,000   Matterhorn Merger Sub LLC     8.50 % (a)(g)    06/01/2026     3,780,224  
3,850,000   Metis Merger Sub LLC     6.50 % (a)    05/15/2029     3,796,774  
2,135,000   Mileage Plus Holdings LLC     6.50 % (a)    06/20/2027     2,353,304  
5,425,000   Moss Creek Resources Holdings, Inc.     7.50 % (a)    01/15/2026     5,052,058  
1,175,000   NESCO Holdings II, Inc.     5.50 % (a)    04/15/2029     1,227,875  
11,420,000   NGL Energy Operating LLC     7.50 % (a)(g)    02/01/2026     12,005,275  
1,295,000   NGL Energy Partners LP     7.50 % (g)    04/15/2026     1,184,277  
7,804,000   OPE KAG Finance Sub, Inc.     7.88 % (a)    07/31/2023     7,811,804  
5,819,000   Ortho-Clinical Diagnostics, Inc.     7.25 % (a)(g)    02/01/2028     6,367,441  
6,440,000   Panther BF Aggregator LP     8.50 % (a)(g)    05/15/2027     7,028,938  
7,455,000   Par Petroleum Finance Corporation     7.75 % (a)    12/15/2025     7,525,375  
9,820,000   PBF Holding Company LLC     9.25 % (a)(g)    05/15/2025     9,905,385  
2,685,000   Peabody Energy Corporation (6.00% + 2.50% PIK)     8.50 % (a)    12/31/2024     2,032,129  
3,029,000   PIC AU Holdings LLC     10.00 % (a)    12/31/2024     3,030,393  
6,925,000   PowerTeam Services LLC     9.03 % (a)(g)    12/04/2025     7,626,156  
1,000,000   Presidio Holdings, Inc.     8.25 % (a)    02/01/2028     1,091,170  
1,385,000   Providence Service Corporation     5.88 % (a)(g)    11/15/2025     1,485,530  
13,815,470   Pyxus Holdings, Inc.     10.00 %    08/24/2024     12,135,992  
9,880,000   Radiology Partners, Inc.     9.25 % (a)    02/01/2028     10,954,154  
10,050,000   Realogy Group LLC     5.75 % (a)(g)    01/15/2029     10,520,239  
3,915,000   Rent-A-Center, Inc.     6.38 % (a)(g)    02/15/2029     4,211,561  
200,000   Sabre Global, Inc.     9.25 % (a)    04/15/2025     238,347  
6,630,000   Sabre Global, Inc.     7.38 % (a)(g)    09/01/2025     7,218,545  
1,790,000   SCIH Salt Holdings, Inc.     6.63 % (a)(g)    05/01/2029     1,796,713  
4,220,000   SEG Holding LLC     5.63 % (a)(g)    10/15/2028     4,437,119  
10,296,000   SunCoke Energy Partners Finance Corporation     7.50 % (a)(g)    06/15/2025     10,698,059  
1,500,000   Tallgrass Energy Partners LP     7.50 % (a)(g)    10/01/2025     1,647,480  
8,145,000   Team Health Holdings, Inc.     6.38 % (a)    02/01/2025     7,763,244  
5,300,000   TKC Holdings, Inc.     10.50 % (a)(g)    05/15/2029     5,753,362  
1,930,000   TMS International Corporation     6.25 % (a)    04/15/2029     2,028,913  
5,975,000   Townsquare Media, Inc.     6.88 % (a)(g)    02/01/2026     6,400,719  
1,095,000   TransDigm, Inc.     8.00 % (a)    12/15/2025     1,186,203  
3,000,000   Trident TPI Holdings, Inc.     9.25 % (a)    08/01/2024     3,147,960  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
5,070,000   Triton Water Holdings, Inc.     6.25 % (a)    04/01/2029     5,089,596  
10,280,000   Triumph Group, Inc.     7.75 %    08/15/2025     10,588,400  
8,375,000   Uber Technologies, Inc.     8.00 % (a)    11/01/2026     9,048,015  
5,525,000   Uber Technologies, Inc.     7.50 % (a)(g)    09/15/2027     6,079,185  
2,500,000   Unisys Corporation     6.88 % (a)    11/01/2027     2,735,438  
9,485,000   United Natural Foods, Inc.     6.75 % (a)(g)    10/15/2028     10,226,632  
5,005,000   Univision Communications, Inc.     6.63 % (a)(g)    06/01/2027     5,429,424  
2,585,000   Valeant Pharmaceuticals International, Inc.     8.50 % (a)    01/31/2027     2,816,073  
2,995,000   Viking Cruises Ltd.     13.00 % (a)(g)    05/15/2025     3,529,428  
5,205,000   WASH Multifamily Acquisition, Inc.     5.75 % (a)    04/15/2026     5,441,047  
706,000   Weatherford International Ltd.     11.00 % (a)(g)    12/01/2024     735,137  
1,490,000   Wheel Pros, Inc.     6.50 % (a)(g)    05/15/2029     1,509,765  
5,442,000   Wolverine Escrow LLC     9.00 % (a)    11/15/2026     5,325,949  
6,210,000   XHR LP     6.38 % (a)    08/15/2025     6,627,188  
       

 

 

  

Total US Corporate Bonds (Cost $463,200,989)

     473,665,822  
       

 

 

  

US Government and Agency Mortgage Backed Obligations - 4.4%

 

5,568,000   Federal Home Loan Mortgage Corporation, Series 2021-P009-X     1.48 % (h)(i)    01/25/2031     445,067  
6,917,622   Federal Home Loan Mortgage Corporation, Series 3631-SJ (-1 x 1 Month LIBOR USD + 6.24%, 6.24% Cap)     6.17 %  (i)(j)    02/15/2040     1,384,981  
3,236,632   Federal Home Loan Mortgage Corporation, Series 3770-SP (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)     6.43 % (i)(j)    11/15/2040     298,000  
16,573,272   Federal Home Loan Mortgage Corporation, Series 3980-SX (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)     6.43 % (i)(j)    01/15/2042     3,483,808  
3,541,660   Federal National Mortgage Association, Series 2006-83-SH (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap)     6.47 % (i)(j)    09/25/2036     642,860  
12,468,792   Federal National Mortgage Association, Series 2010-123-SK (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)     5.96 % (i)(j)    11/25/2040     2,423,786  
9,698,843   Federal National Mortgage Association, Series 2012-60-SN (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap)     6.51 % (i)(j)    06/25/2042     2,093,796  
15,883,002   Federal National Mortgage Association, Series 2019-46-SG (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)     6.01 % (i)(j)    08/25/2049     2,935,298  
56,679,867   Federal National Mortgage Association, Series 2021-17-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 2.50% Cap)     2.48 % (i)(j)    04/25/2051     3,899,620  
76,000,000   Government National Mortgage Association, Series 2021-97- SA     2.59 % (c)    06/20/2051     5,462,500  
13,693,154   Government National Mortgage Association, Series 2011-128-TS (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)     5.98 % (i)(j)    05/16/2041     2,689,889  
42,718,948   Government National Mortgage Association, Series 2015-64-SG (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)     5.51 % (i)(j)    05/20/2045     7,824,620  
16,887,236   Government National Mortgage Association, Series 2017-139-SA (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap)     6.11 % (i)(j)    08/20/2047     3,651,267  
9,479,187   Government National Mortgage Association, Series 2018-145-IA     4.00 % (i)    10/20/2045     766,404  
30,509,705   Government National Mortgage Association, Series 2019-22-SD (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)     5.98 % (i)(j)    12/16/2043     6,046,023  
25,396,269   Government National Mortgage Association, Series 2019-61-NS (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)     6.01 % (i)(j)    02/20/2049     4,968,973  
6,993,606   Government National Mortgage Association, Series 2020-129-SE (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap)     3.66 % (i)(j)    09/20/2050     691,065  
24,045,779   Government National Mortgage Association, Series 2020-146-SH (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap)     6.21 % (i)(j)    10/20/2050     5,050,501  

Principal Amount

$/Shares

  

Security Description

   Rate    

Maturity

   Value $  
8,592,856   Government National Mortgage Association, Series 2020-187-SB (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap)     6.21 % (i)(j)    12/20/2050     1,877,743  
33,029,023   Government National Mortgage Association, Series 2020-47-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)     5.91 % (i)(j)    05/20/2044     5,774,309  
36,211,637   Government National Mortgage Association, Series 2020-47-SL (-1 x 1 Month LIBOR USD + 5.37%, 5.37% Cap)     5.28 % (i)(j)    07/20/2044     6,520,753  
19,274,419   Government National Mortgage Association, Series 2020-61-SU (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)     5.53 % (i)(j)    07/16/2045     3,113,915  
53,376,903   Government National Mortgage Association, Series 2020-88-IO     0.93 % (h)(i)    04/16/2060     3,954,748  
59,840,051   Government National Mortgage Association, Series 2021-77-SG (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap)     3.66 % (i)(j)    05/20/2051     7,115,281  
       

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $91,672,575)

     83,115,207  
       

 

 

  

Common Stocks - 2.0%

 

51,725   ATD Holdings, Inc. (d)(g)(k)         2,896,600  
288,460   Calfrac Well Services Ltd. (k)         943,264  
283,355   Foresight Equity (d) (k)         5,647,271  
339,999   Frontera Energy Corporation (g)         2,107,996  
468,716   Hexion Holdings Corporation (k)         8,671,246  
333,957   Legacy Backstop (d) (k)         6,221,619  
26,458   Legacy Notes (d) (k)         492,913  
183,948   Longview Equity (d) (k)         551,844  
292,727   McDermott International Ltd. (k)         143,436  
40,426,707   Petra Diamonds Ltd. (k)         822,056  
33,058   Summit Midstream Partners LP (k)         1,004,302  
62,554   Syncreon Group B.V. (d) (k)         5,160,666  
337,661   Tapstone Energy Holdings LLC (d) (k)         1,100,775  
97,836   Weatherford International PLC (g)(k)         1,780,615  
       

 

 

  

Total Common Stocks (Cost $74,735,309)

     37,544,603  
       

 

 

  

Warrants - 0.0%

 

4,944,181   OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00 (d)(k)         1  
       

 

 

  

Total Warrants (Cost $1)

     1  
     

 

 

  

Short Term Investments - 1.9%

 

12,175,527   BlackRock Liquidity Funds FedFund - Institutional Shares     0.03 % (l)        12,175,527  
12,174,365   Fidelity Institutional Money Market Government Portfolio - Class I     0.01 % (l)        12,174,365  
12,175,418   Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class     0.03 % (l)        12,175,418  
       

 

 

  

Total Short Term Investments (Cost $36,525,310)

     36,525,310  
     

 

 

  

Total Investments - 139.1% (Cost $2,769,785,349) (m)

     2,628,357,328  
Liabilities in Excess of Other Assets - (39.1)%     (738,456,979 ) 
     

 

 

  

NET ASSETS - 100.0%

   $ 1,889,900,349  
       

 

 

  

  (a)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.

 

 

  (b)

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

 

 

  (c)

Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.

 

 

  (d)

Value determined using significant unobservable inputs.

 

 

  (e)

Perpetual Maturity

 

 

  (f)

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

 

 

  (g)

Security, or portion of security, is on loan as of period end pursuant to the Liquidity Agreement.

 

 

  (h)

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

 

 

  (i)

Interest only security

 

 

  (j)

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

 

 

  (k)

Non-income producing security

 

 

  (l)

Seven-day yield as of period end

 

 

  (m)

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.

 

 

  (n)

The final coupon rate has not been established as of period end.

 

 

  (o)

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 the period end.

 

 

  (p)

Unfunded or partially unfunded loan commitment. At period end, the value of these securities amounted to $107,454 or 0.0% of net assets.

 

 

  (q)

The final coupon rate has not been established as of period end.

 

 

  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.

 

 

  BRL

Brazilian Real

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Foreign Corporate Bonds

     61.9%  

US Corporate Bonds

     25.1%  

Non-Agency Commercial Mortgage Backed Obligations

     16.0%  

Collateralized Loan Obligations

     13.4%  

Bank Loans

     10.9%  

US Government and Agency Mortgage Backed Obligations

     4.4%  

Common Stocks

     2.0%  

Short Term Investments

     1.9%  

Asset Backed Obligations

     1.9%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     1.6%  

Warrants

     0.0%  (r) 

Other Assets and Liabilities

     (39.1)%  
 

 

 

  
                100.0%  
 

 

 

  

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Energy

     17.9%  

Non-Agency Commercial Mortgage Backed Obligations

     16.0%  

Collateralized Loan Obligations

     13.4%  

Finance

     8.7%  

Utilities

     8.1%  

Real Estate

     7.5%  

Telecommunications

     5.8%  

Mining

     5.3%  

Banking

     4.8%  

US Government and Agency Mortgage Backed Obligations

     4.4%  

Chemical Products

     3.8%  

Technology

     3.7%  

Media

     3.4%  

Healthcare

     3.1%  

Commercial Services

     2.8%  

Aerospace & Defense

     2.7%  

Electronics/Electric

     2.3%  

Chemicals/Plastics

     2.1%  

Building and Development (including Steel/Metals)

     2.0%  

Consumer Products

     2.0%  

Short Term Investments

     1.9%  

Asset Backed Obligations

     1.9%  

Business Equipment and Services

     1.7%  

Pulp & Paper

     1.7%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     1.6%  

Food Products

     1.4%  

Leisure

     1.4%  

Automotive

     1.3%  

Retailers (other than Food/Drug)

     1.1%  

Industrial Equipment

     1.0%  

Financial Intermediaries

     0.7%  

Beverage and Tobacco

     0.6%  

Transportation

     0.5%  

Pharmaceuticals

     0.5%  

Environmental Control

     0.5%  

Insurance

     0.4%  

Food Service

     0.4%  

Hotels/Motels/Inns and Casinos

     0.2%  

Food/Drug Retailers

     0.2%  

Containers and Glass Products

     0.1%  

Construction

     0.1%  

Cosmetics/Toiletries

     0.1%  

Other Assets and Liabilities

     (39.1)%  
 

 

 

  
                100.0%  
 

 

 

  

COUNTRY BREAKDOWN as a % of Net Assets:

 

United States

     74.1%  

Mexico

     9.9%  

Argentina

     9.2%  

Brazil

     7.9%  

Colombia

     7.5%  

China

     4.7%  

Indonesia

     3.6%  

Peru

     2.7%  

Ghana

     2.7%  

Canada

     1.9%  

South Africa

     1.8%  

India

     1.8%  

Ukraine

     1.7%  

Costa Rica

     1.6%  

Hong Kong

     1.6%  

Chile

     1.5%  

Trinidad And Tobago

     0.9%  

Jamaica

     0.9%  

Luxembourg

     0.7%  

Dominican Republic

     0.7%  

Singapore

     0.5%  

Austria

     0.3%  

Panama

     0.3%  

United Kingdom

     0.2%  

El Salvador

     0.2%  

Ireland

     0.1%  

Guatemala

     0.1%  

Other Assets and Liabilities

     (39.1)%  
 

 

 

  
                100.0%  
 

 

 

  
  (r)

Represents less than 0.05% of net assets

 

Notes to Schedule of Investments

June 30, 2021 (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 June 30, 2021:

 

Category

  

 

  

Investments in Securities

  

Level 1

  

Money Market Funds

   $ 36,525,310  

Common Stocks

     14,650,859  

 

  

 

 

  

Total Level 1

     51,176,169  

Level 2

  

Foreign Corporate Bonds

     1,170,350,805  

US Corporate Bonds

     473,665,822  

Non-Agency Commercial Mortgage Backed Obligations

     263,645,786  

Collateralized Loan Obligations

     242,453,706  

Bank Loans

     202,710,271  

US Government and Agency Mortgage Backed Obligations

     83,115,207  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     29,938,256  

Asset Backed Obligations

     23,009,132  

Common Stocks

     822,056  

 

  

 

 

  

Total Level 2

     2,489,711,041  

Level 3

  

Non-Agency Commercial Mortgage Backed Obligations

     39,661,103  

Common Stocks

     22,071,688  

Asset Backed Obligations

     13,217,571  

Collateralized Loan Obligations

     10,166,601  

Bank Loans

     2,353,154  

Warrants

     1  

Foreign Corporate Bonds

     —    

 

  

 

 

  

Total Level 3

     87,470,118  

 

  

 

 

  

Total

   $         2,628,357,328  

 

  

 

 

  

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

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

 

     Fair Value as
of 9/30/2020		     Net
Realized
Gain
(Loss)		     Net Change in
Unrealized
Appreciation
(Depreciation)(c)		     Net Accretion
(Amortization)		     Purchases(a)     Sales(b)     Transfers
Into
Level 3(d)		     Transfers
Out of
Level 3(d)		     Fair Value
as of
6/30/2021		     Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
Period End
6/30/2021(c)		  

Investments in Securities

                    

Non-Agency Commercial Mortgage Backed Obligations

   $ 49,649,563     $ (9,434,310 )    $ 20,116,154     $ 636,917     $ 107,737     $ (21,414,958 )    $ —       $ —       $ 39,661,103     $ 6,466,114  

Common Stocks

     12,269,718       —         9,801,970       —         —         —         —         —         22,071,688       9,801,970  

Asset Backed Obligations

     12,314,963       (1,037,761 )      1,327,463       (244 )      3,049,252       (2,436,102 )      —         —         13,217,571       14,826  

Collateralized Loan Obligations

     2,551,626       —         491,891       26,403       78,654       —         7,018,027       —         10,166,601       566,772  

Bank Loans

     2,626,499       91,875       (147,969 )      60,329       —         (277,580 )      —         —         2,353,154       (48,726 ) 

     Fair Value as
of 9/30/2020		     Net
Realized
Gain
(Loss)		     Net Change in
Unrealized
Appreciation
(Depreciation)(c)		     Net Accretion
(Amortization)		     Purchases(a)     Sales(b)     Transfers
Into
Level 3(d)		     Transfers
Out of
Level 3(d)		     Fair Value
as of
6/30/2021		     Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
Period End
6/30/2021(c)		  

Warrants

   $ 1     $ —       $ —       $ —       $ —       $ —       $ —       $ —       $ 1     $ —    

Foreign Corporate Bonds

     253,389       —         (253,389 )      —         —         —         —         —         —         (253,389 ) 

Non-Agency Residential Collateralized Mortgage Obligations

     57,161,101       5,942,358       (3,421,312 )      303,268       —         (59,985,415 )      —         —         —         —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $  136,826,860     $ (4,437,838 )    $  27,914,808     $  1,026,673     $  3,235,643     $ (84,114,055 )    $  7,018,027     $ —       $  87,470,118     $  16,547,567  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) 

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

(b) 

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

(c) 

Any difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation) on securities held at June 30, 2021 may be due to a security that was not held or categorized as Level 3 at either period end.

(d) 

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

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

 

      Fair
Value as
of
6/30/2021		      Valuation
Techniques		    Unobservable
Input		    Unobservable Input Values
(Weighted Average)(e)		      Impact to valuation from an
increase to input

Non-Agency Commercial Mortgage Backed Obligations

    $ 39,661,103      Market Comparables    Yields      12.00% - 30.00% (15.37%)      Increase in yields would have resulted in the decrease in the fair value of the security

Common Stocks

    $ 22,071,688      Market Comparables    Market Quotes      $3.00 - $82.50 ($37.64)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Asset Backed Obligations

    $ 13,217,571      Market Comparables    Market Quotes      $74.28 - $3,465.96 ($1,088.26)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Collateralized Loan Obligations

    $ 10,166,601      Market Comparables    Market Quotes      $0.00 - $100.26 ($93.19)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Bank Loans

    $ 2,353,154      Market Comparables    Market Quotes      $100.00 ($100.00)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

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

Foreign Corporate Bonds

    $ —       

Enterprise Value

   

EBITDA multiples

     
 5.5x (5.5x)
  
   

Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the security

 

(e) 

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