NPORT-EX 2 bluebaydestra_nport-ex.htm BLUEBAY DESTRA INTL NPORTEX 63023

 

Bluebay Destra International Event-Driven Credit Fund
Schedule of Investments
As of June 30, 2023 (unaudited)

 

Shares or
Principal
Amounts		     Description   Value  
        BANK LOANS – 14.6%        
        FRANCE – 3.9%        
  4,840,000     Biscuit Holding SASU, 4.000% (6-Month Euribor + 400 basis points), 02/14/2027(1)(2)   $ 4,525,527  
                 
        GERMANY – 0.7%        
  1,368,010     IFA Holding GmbH TL2, 7.242%, 03/31/2025(3)(4)     447,745  
  1,237,723     IFA Holding GmbH TL3, 7.242%, 03/31/2025(3)(4)     405,102  
              852,847  
        SAUDI ARABIA – 0.7%        
        Ahmad Hamad Al Gosaibi & Brothers TL:        
  3,047,652     0.000%, 01/01/2050(3)(5)     167,621  
  3,240,000     0.000%, 01/01/2050(3)(4)(5)     181,159  
  8,400,000     0.000%, 01/01/2050(3)(4)(5)     469,670  
              818,450  
        SINGAPORE – 0.8%        
  506,431     Teide Pte, Ltd. 1L, 10.000%, 08/01/2026(4)(6)     397,808  
  1,081,900     Teide Pte, Ltd. 2L, 8.000%, 12/31/2026(4)(6)     495,743  
              893,551  
        SPAIN – 3.3%        
        Celsa Group:        
  401,546     5.912%, 12/31/2024     408,145  
  3,027,796     5.680%, 06/30/2025(6)     632,189  
  3,111,061     5.280%, 06/30/2025(2)(6)     2,879,361  
              3,919,695  
        UNITED ARAB EMIRATES – 2.5%        
        Gulf Marine Middle East FZE:        
  2,667,727     0.000%, 06/09/2025(2)(3)(7)     2,300,915  
  722,273     0.000%, 06/09/2025(2)(3)(7)     622,960  
              2,923,875  
        UNITED KINGDOM – 2.7%        
  4,784,211     Praesidiad, Ltd., 4.000% (3-Month Euribor + 400 basis points), 10/04/2024(1)(2)     3,149,118  
                 
        TOTAL BANK LOANS
(Cost $18,813,940)		     17,083,063  
                 
        COMMON STOCK – 2.6%        
        MARSHALL ISLANDS – 2.6%        
  64,263     Scorpio Tankers, Inc.      3,035,141  
                 
        TOTAL COMMON STOCK
(Cost $2,579,139)		     3,035,141  
Shares or
Principal
Amounts		     Description   Value  
        CORPORATE DEBT SECURITIES – 6.2%
        CAYMAN ISLANDS – 1.9%        
  2,384,000     Shelf Drilling Holdings, Ltd., 8.250%, 02/15/2025(8)   $ 2,228,151  
                 
        FRANCE – 2.7%        
  3,384,000     Iliad Holding SASU, 7.000%, 10/15/2028(8)     3,124,985  
                 
        UNITED STATES – 1.6%        
  1,826,000     Coty, Inc., 5.000%, 04/15/2026(8)     1,751,649  
  138,000     Voyager Aviation Holdings LLC, 8.500%, 05/09/2026(3)(8)     111,320  
              1,862,969  
        TOTAL CORPORATE DEBT SECURITIES
(Cost $7,174,097)		     7,216,105  
                 
        INTERNATIONAL DEBT SECURITIES – 53.4%
        BERMUDA – 12.3%        
  4,600,000     Borr Drilling, Ltd., 9.500%, 02/09/2026     4,634,500  
        Floatel International, Ltd.:        
  2,200,000     11.250%, 03/23/2026(8)     2,224,860  
  2,066,552     10.000%, 09/24/2026(6)     1,549,914  
  1,924,072     6.000%, 09/24/2026     1,443,054  
  452,355     0.000%, 09/24/2026(7)     339,266  
  4,200,000     Odfjell Rig III, Ltd., 9.250%, 05/31/2028     4,247,460  
              14,439,054  
        CANADA – 2.6%        
  3,300,000     International Petroleum Corp., 7.250%, 02/01/2027(8)     3,092,760  
                 
        ITALY – 4.5%        
  3,508,000     Moby SpA, 7.750%, 07/19/2023(7)(9)     2,296,312  
  2,930,000     Rekeep SpA, 7.250%, 02/01/2026     3,012,009  
              5,308,321  
        JERSEY – 2.9%        
  4,287,000     Petrofac, Ltd., 9.750%, 11/15/2026     3,401,606  
                 
        LUXEMBOURG – 10.9%        
  3,564,000     Avation Capital SA, 9.000%, 10/31/2026(6)(8)     3,106,215  
  2,818,125     Mangrove Luxco III Sarl, 7.775%, 10/09/2025(6)     2,336,437  
  15,700,000     Metalcorp Group SA, 8.500%, 06/28/2026     1,070,532  
  557,384     Paper Industries Intermediate Financing Sarl, 10.474% (3-Month Euribor + 700 basis points), 03/01/2025(1)(8)     521,445  

 

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Bluebay Destra International Event-Driven Credit Fund
Schedule of Investments (continued)
As of June 30, 2023 (unaudited)

 

Shares or
Principal
Amounts		     Description   Value  
        INTERNATIONAL DEBT SECURITIES (Continued)
        LUXEMBOURG (Continued)        
  7,266,000     Takko Luxembourg 2 SCA, 8.698% (3-Month Euribor + 538 basis points), 11/15/2023(1)   $ 5,747,163  
              12,781,792  
        NETHERLANDS – 1.7%        
  2,837,000     Metinvest BV, 8.500%, 04/23/2026   1,944,792  
                 
        NORWAY – 2.0%        
  990,129     BOA OCV AS, 2.000%, 12/31/2024(6)(8)     97,039  
  34,915     DOF Subsea ASA, 6.370% (3-Month Nibor + 200 basis points), 12/17/2027(1)(6)     2,770  
  1,373,057     Jacktel AS, 10.000%, 12/04/2023(6)(8)     1,373,057  
  10,203,843     REM Saltire Holding AS, 7.000%, 12/31/2024(8)     871,464  
              2,344,330  
        SWEDEN – 1.6%        
  1,569,000     Verisure Holding AB, 9.250%, 10/15/2027     1,825,165  
                 
        UKRAINE – 2.5%        
        Ukraine Government International Bond:        
  3,900,000     7.750%, 09/01/2029     944,654  
  8,060,000     9.750%, 11/01/2030     2,018,103  
              2,962,757  
        UNITED KINGDOM – 12.4%        
  4,500,000     Agps Bondco PLC, 6.000%, 08/05/2025     2,148,080  
        Frigo Debtco PLC:        
  1,632,403     11.000%, 04/20/2026(3)(6)(8)     1,742,536  
  3,293,102     10.000%, 04/20/2028(3)(6)     1,781,207  
  5,810,000     House of Fraser Funding PLC, 0.000% (3-Month GBP Libor + 575 basis points), 07/19/2023(1)(3)(7)(9)     44,317  
  5,050,000     KCA Deutag UK Finance PLC, 9.875%, 12/01/2025     5,018,437  
  1,300,000     Waldorf Energy Finance PLC, 12.000%, 03/02/2026     1,228,500  
  2,579,911     Waldorf Production UK, Ltd., 9.750%, 10/01/2024     2,590,231  
              14,553,308  
        TOTAL INTERNATIONAL DEBT SECURITIES
(Cost $60,996,066)		     62,653,885  
                 
        INTERNATIONAL EQUITIES – 10.6%
        CAYMAN ISLANDS – 1.2%        
  765,283     Shelf Drilling, Ltd.(7)(8)   1,405,762  
Shares or
Principal
Amounts		     Description   Value  
        INTERNATIONAL EQUITIES (Continued)
        NORWAY – 6.4%        
  396,244     DOF Group ASA, B Shares(3)   $ 1,294,480  
  570,764     DOF Group ASA, Common Shares(7)     1,875,270  
  5,260,901     Jacktel AS(3)(7)     1,104,860  
  1,925,192     MPC Container Ships AS     3,290,235  
              7,564,845  
        SINGAPORE – 0.2%        
  24,603,214     Teide, Ltd.(3)     268,418  
                 
        UNITED KINGDOM – 2.8%        
  2,789,648     Gym Group PLC(7)(8)     3,234,375  
                 
        TOTAL INTERNATIONAL EQUITIES
(Cost $13,190,628)		     12,473,400  
                 
        PRIVATE COMPANIES – 1.8%        
        AUSTRALIA – 0.0%        
  65,000     Quintis Australia Pty, Ltd., Common Shares(3)(10)     -  
        Quintis Australia Pty, Ltd., Corporate Debt:        
  8,538     7.500%, 10/01/2026(3)(6)(8)(10)     4,209  
  117,000     0.000%, 10/01/2028(3)(6)(8)(10)     -  
              4,209  
        BERMUDA – 0.2%        
  695,358     Floatel International, Ltd., Common Shares(3)(10)     213,823  
  436,438     Floatel International, Ltd., Warrants, 03/16/2025(3)(7)(10)     4  
              213,827  
        LUXEMBOURG – 0.7%        
  3,500     Avation PLC, Warrants, 10/31/2026(7)(10)     1,446  
  28,205,068     Paper Industries TopCo, Ltd., Common Shares(3)(10)     769,285  
              770,731  
        UNITED KINGDOM – 0.9%        
  6,137     Frigo Debtco PLC, Common Shares(3)     200,862  
  15,874     KCA Deutag, Common Shares(3)     888,944  
              1,089,806  
        UNITED STATES – 0.0%        
  64     Voyager Aviation Holdings LLC, Common Shares(3)(10)     -  
  384     Voyager Aviation Holdings LLC, Preferred Shares(3)     47,136  
              47,136  
        TOTAL PRIVATE COMPANIES
(Cost $2,045,869)		     2,125,709  

 

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Bluebay Destra International Event-Driven Credit Fund
Schedule of Investments (continued)
As of June 30, 2023 (unaudited)

 

Shares, Principal
Amounts or
Number of
Contracts		     Description   Value  
        PURCHASED OPTIONS CONTRACTS – 0.1%
        PUT OPTIONS – 0.1%        
  601     STOXX Europe 600 Construction & Materials Index
Exercise Price: $550, Notional Amount: $16,527,500, Expiration Date: 09/15/2023(7)		   $ 137,694  
                 
        TOTAL PURCHASED OPTIONS CONTRACTS
(Cost $640,362)		     137,694  
                 
        U.S. TREASURY NOTES – 5.9%        
        UNITED STATES – 5.9%        
  5,860,000     United States Treasury Note, 0.125%, 10/15/2023   5,775,388  
  1,102,000     United States Treasury Note, 0.125%, 7/31/2023     1,097,756  
              6,873,144  
        TOTAL U.S. TREASURY NOTES
(Cost $6,884,925)		     6,873,144  
                 
        SHORT-TERM INVESTMENTS – 7.2%
        UNITED STATES – 7.2%        
  8,396,486     BlackRock Liquidity Funds FedFund Portfolio – Institutional Class, 4.988%(11)   8,396,486  
        TOTAL SHORT-TERM INVESTMENTS
(Cost $8,396,486)		     8,396,486  
                 
        TOTAL INVESTMENTS – 102.4%
      (Cost $120,721,512)     119,994,627  
        Liabilities in Excess of Other Assets – (2.4)%     (2,786,246 )
        TOTAL NET ASSETS – 100.0%   $ 117,208,381  
Number of
Contracts		     Description   Value  
        SHORT SECURITIES – (0.0)%
        WRITTEN OPTIONS CONTRACT – (0.0)%
        PUT OPTIONS – (0.0)%        
  (601 )   STOXX Europe 600 Construction & Materials Index
Exercise Price: $460,
Notional Amount: $(13,823,000),
Expiration Date: 09/15/2023(7)		   $ (9,835 )
        TOTAL WRITTEN OPTIONS CONTRACT
(Proceeds $(110,562))		     (9,835 )
                 
        TOTAL SHORT SECURITIES
(Proceeds $(110,562))		   $ (9,835 )

 

(1)  Floating rate security. Rate as of June 30, 2023 is disclosed.
(2)  When-issued security that has not settled as of June 30, 2023. Rate is not in effect at June 30, 2023.
(3)  Fair valued using significant unobservable inputs.
(4)  Principal amount shown in Euro; value shown in U.S. Dollars.
(5)  Investment made through a participation.
(6)  Payment-in-kind interest is generally paid by issuing additional par/shares of the security rather than paying cash.
(7)  Non-income producing security.
(8)  Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. These securities have been determined to be liquid under guidelines established by management. At June 30, 2023 the total value of these securities is $24,889,827 representing 21.2% of net assets.
(9)  Security is in default.
(10)  Restricted investment as to resale.
(11)  The rate is the annualized seven-day yield as of June 30, 2023.

 

3

 

 

Bluebay Destra International Event-Driven Credit Fund
Schedule of Investments (continued)
As of June 30, 2023 (unaudited)

 

At June 30, 2023, the BlueBay Destra International Event-Driven Credit Fund had outstanding forward foreign exchange contracts as set forth below:

 

                                      Unrealized  
        Currency   Currency     Contract Amount           Appreciation  
Settlement Date   Counterparty   Purchased   Sold     Buy     Sell     Value     (Depreciation)  
July 20, 2023   Brown Brothers Harriman   U.S. Dollar   Norwegian Krone     $ 4,611     NOK 50,000     $ 4,665     $ (54 ) 
September 12, 2023   Brown Brothers Harriman   Norwegian Krone   U.S. Dollar     NOK 3,218,896     $ 305,911       300,761       (5,150 )
September 12, 2023   Brown Brothers Harriman   Norwegian Krone   U.S. Dollar     NOK 4,463,230     $ 417,186       417,027       (159 )
September 12, 2023   Brown Brothers Harriman   U.S. Dollar   Norwegian Krone     $ 493,018     NOK 5,266,642       492,095       923  
September 12, 2023   Brown Brothers Harriman   U.S. Dollar   Pound Sterling     $ 4,728,961     GBP 3,785,761       4,809,498       (80,537 ) 
September 12, 2023   Citibank, N.A.   U.S. Dollar   Euro Currency     $ 23,441,687     EUR 21,724,575       23,794,321       (352,634 ) 
September 12, 2023   Citibank, N.A.   U.S. Dollar   Euro Currency     $ 4,398,636     EUR 4,000,000       4,381,089       17,547  
September 12, 2023   JP Morgan   U.S. Dollar   Euro Currency     $ 1,096,504     EUR 1,000,000       1,095,272       1,232  
September 12, 2023   Morgan Stanley & Co. LLC   U.S. Dollar   Poland Zloty     $ 596,822     PLN 2,499,525       612,572       (15,750 ) 
September 12, 2023   State Street   U.S. Dollar   Euro Currency     $ 1,354,085     EUR 1,250,000       1,369,090       (15,005 )
September 12, 2023   State Street   U.S. Dollar   Euro Currency     $ 1,089,113     EUR 1,000,000       1,095,272       (6,159 )
September 12, 2023   Toronto-Dominion Bank   U.S. Dollar   Norwegian Krone     $ 11,200,512     NOK 122,161,916       11,414,337       (213,825 ) 
                                          $ (669,571 )

 

4

 

 

Bluebay Destra International Event-Driven Credit Fund
Schedule of Investments (continued)
As of June 30, 2023 (unaudited)

 

At June 30, 2023, the BlueBay Destra International Event-Driven Credit Fund had swap contracts as set forth below:

 

Credit Default Swap Contracts:

 

Underlying Instrument   Counterparty   Pay Rate/
Frequency		   Maturity
Date		   Notional
Amount at
Value(1)		     Premium
(Paid)
Received		     Unrealized
Appreciation
(Depreciation)		     Value  
Markit iTraxx Europe Crossover Index Swap(2)   HSBC Securities   5.000% / Quarterly   12/20/2027   EUR 3,350,000     $ (109,504 )   $ (74,191 )   $ (183,695 )
Markit iTraxx Europe Crossover Index Swap(3)   Merrill Lynch   5.000% / Quarterly   6/20/2028   EUR 4,180,000       (38,797 )     (148,783 )     (187,580 )
Next PLC Credit Default Swap(4)   Citigroup, Inc.   1.000% / Quarterly   6/20/2027   EUR 1,100,000       59,888       (64,705 )     (4,817 )
                                $ (287,679 )   $ (376,092 )

 

(1)  The maximum potential amount the Fund may pay or receive should a credit event take place as defined under the terms of the contract.
(2)  The underlying issuer is ITRX XOVER CDSI S38 5Y Corp.
(3)  The underlying issuer is ITRX XOVER CDSI S39 5Y Corp.
(4)  The underlying issuer is NXTLN CDS EUR SR 5Y D14

 

5

 

 

Bluebay Destra International Event-Driven Credit Fund
Schedule of Investments (continued)
As of June 30, 2023 (unaudited)

 

Restricted Securities – Restricted securities are securities that may be resold only upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer’s expense either upon demand by the BlueBay Destra International Event-Driven Credit Fund or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid under criteria established by the Board of Trustees. The restricted securities may be valued at the price provided by dealers in the secondary market or, if no market prices are available, the fair value as determined in good faith using methods approved by the Board of Trustees.

 

Additional information on each illiquid and restricted investment held by the BlueBay Destra International Event-Driven Credit Fund at June 30, 2023 is as follows:

 

    Acquisition               Percentage of  
Security   Date   Cost     Value     Net Assets  
Avation PLC, Warrants   3/16/2021   $ -     $ 1,446       0.00 %
Floatel International, Ltd., Common Shares   3/31/2021     4       213,823       0.18  
Floatel International, Ltd., Warrants   1/13/2021     27,075       4       0.00  
Paper Industries TopCo, Ltd., Common Shares   5/20/2019     620,317       769,285       0.66  
Quintis Australia Pty, Ltd., Common Shares   10/30/2019     -       -       0.00  
Quintis Australia Pty, Ltd., Corporate Debt, 7.500%   9/11/2019     7,351       4,209       0.00  
Quintis Australia Pty, Ltd., Corporate Debt, 0.000%   9/11/2019     108,881       -       0.00  
Voyager Aviation Holdings LLC, Common Shares   3/25/2019     -       -       0.00  
        $ 763,628     $ 988,767       0.84 %

 

6