OAKTREE DIVERSIFIED INCOME FUND INC
|
|||||||
Consolidated Schedule of Investments
|
|||||||
March 31, 2022 (Unaudited)
|
|
|
|
|
|
|
|
Description
|
Country
|
Spread Above Index
|
Rate
|
Maturity
Date |
Principal
Amount (000s) |
|
Value (a)
|
SENIOR LOANS - 30.4% (b) (v)
|
|||||||
Aerospace & Defense - 1.7%
|
|||||||
AI Convoy Luxembourg Sarl
First Lien Tranche B Term Loan |
Luxembourg
|
6M EURIBOR + 3.50%
|
3.50%
|
01/18/27
|
EUR 240
|
$ 261,810
|
|
Cobham Ultra US Co-Borrower LLC
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 3.75%
|
4.25%
|
11/16/28
|
1,000
|
990,835
|
|
Vertex Aerospace Services Corp.
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 4.00%
|
4.75%
|
11/30/28
|
750
|
748,598
|
|
WP CPP Holdings LLC
First Lien Tranche B Term Loan |
United States
|
3M US LIBOR + 3.75%
|
4.75%
|
04/30/25
|
498
|
472,661
|
|
Total Aerospace & Defense
|
2,473,904
|
||||||
Beverages - 0.5%
|
|||||||
Triton Water Holdings, Inc.
First Lien Tranche B Term Loan |
United States
|
3M US LIBOR + 3.50%
|
4.51%
|
03/31/28
|
746
|
729,316
|
|
Chemicals - 0.8%
|
|||||||
INEOS Enterprises Holdings II Ltd.
First Lien Tranche B Term Loan |
United Kingdom
|
3M EURIBOR + 3.25%
|
3.25%
|
08/28/26
|
EUR 250
|
273,249
|
|
INEOS Finance PLC
First Lien Tranche B Term Loan |
Luxembourg
|
3M EURIBOR + 2.00%
|
2.50%
|
04/01/24
|
EUR 250
|
274,681
|
|
INEOS Quattro
First Lien Tranche B Term Loan |
United Kingdom
|
1M EURIBOR + 2.75%
|
2.75%
|
01/29/26
|
EUR 250
|
268,769
|
|
Timber Servicios Empresariales SA
First Lien Tranche B Term Loan |
Spain
|
6M EURIBOR + 4.75%
|
4.25%
|
02/19/29
|
EUR 300
|
322,855
|
|
Total Chemicals
|
1,139,554
|
||||||
Commercial Services & Supplies - 3.2%
|
|||||||
Access CIG LLC
First Lien Term Loan |
United States
|
1M US LIBOR + 3.75%
|
3.96%
|
02/27/25
|
995
|
981,466
|
|
Allied Universal Holdco LLC
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 3.75%
|
4.25%
|
05/12/28
|
995
|
981,050
|
|
Broom Holdings Bidco Ltd.
First Lien Tranche B Term Loan |
Ireland
|
6M EURIBOR + 3.75%
|
3.75%
|
08/24/28
|
EUR 250
|
274,274
|
|
Filtration Group Corp.
First Lien Tranche B Term Loan |
United States
|
3M EURIBOR + 3.50%
|
3.50%
|
03/31/25
|
EUR 249
|
271,798
|
|
Freshworld Holding IV GmbH
First Lien Tranche B Term Loan |
Germany
|
6M EURIBOR + 3.75%
|
3.75%
|
10/02/26
|
EUR 250
|
274,382
|
|
Garda World Security Corp.
First Lien Tranche B Term Loan |
Canada
|
1M US LIBOR + 4.25%
|
4.71%
|
10/30/26
|
1,000
|
990,360
|
|
PECF USS Intermediate Holding III Corp.
First Lien Tranche B Term Loan |
United States
|
3M US LIBOR + 4.25%
|
4.76%
|
11/30/28
|
998
|
989,934
|
|
Total Commercial Services & Supplies
|
4,763,264
|
||||||
Construction & Engineering - 1.4%
|
|||||||
ADB Companies LLC
First Lien Term Loan (f) |
United States
|
3M US LIBOR + 6.25%
|
7.25%
|
12/18/25
|
1,324
|
1,311,074
|
|
Tiger Acquisition LLC
First Lien Tranche B Term Loan |
United States
|
3M US LIBOR + 3.25%
|
3.75%
|
06/01/28
|
750
|
721,875
|
|
Total Construction & Engineering
|
2,032,949
|
||||||
Construction Materials - 0.3%
|
|||||||
Hunter Douglas, Inc.
First Lien Tranche B Term Loan |
Netherlands
|
3M SOFR + 3.50%
|
4.00%
|
02/09/29
|
500
|
490,783
|
|
Consumer Finance - 0.3%
|
|||||||
American Auto Auction Group LLC
Second Lien Term Loan |
United States
|
3M SOFR + 8.75%
|
9.65%
|
12/30/28
|
483
|
475,755
|
|
Containers & Packaging - 0.9%
|
|||||||
Clydesdale Acquisition Holdings, Inc.
First Lien Term Loan |
United States
|
1M SOFR + 4.25%
|
5.05%
|
04/13/29
|
350
|
344,750
|
|
Proampac PG Borrower LLC
First Lien Tranche B Term Loan |
United States
|
3M US LIBOR + 3.75%
|
4.50%
|
11/03/25
|
995
|
975,349
|
|
Total Containers & Packaging
|
1,320,099
|
||||||
Diversified Consumer Services - 1.6%
|
|||||||
AI Aqua Merger Sub, Inc.
First Lien Tranche B Term Loan |
United States
|
1M SOFR + 4.00%
|
4.50%
|
07/31/28
|
407
|
403,716
|
|
AI Aqua Merger Sub, Inc.
First Lien Delay Draw Term Loan |
United States
|
1M SOFR + 4.00%
|
4.50%
|
07/31/28
|
93
|
91,754
|
|
Obol France 3 SAS
First Lien Tranche B Term Loan |
France
|
3M EURIBOR + 4.75%
|
4.75%
|
12/09/25
|
EUR 250
|
262,365
|
|
PetVet Care Centers LLC
First Lien Tranche B3 Term Loan |
United States
|
1M US LIBOR + 3.50%
|
4.25%
|
02/14/25
|
497
|
495,740
|
|
PetVet Care Centers LLC
Second Lien Term Loan |
United States
|
1M US LIBOR + 6.25%
|
6.46%
|
01/30/26
|
500
|
498,440
|
|
Springer Nature Deutschland GmbH
First Lien Tranche B17 Term Loan |
Germany
|
1M EURIBOR + 2.75%
|
3.25%
|
08/14/26
|
EUR 250
|
273,431
|
|
Verisure Holding AB
First Lien Tranche B Term Loan |
Sweden
|
6M EURIBOR + 3.25%
|
3.25%
|
03/27/28
|
EUR 250
|
270,734
|
|
Total Diversified Consumer Services
|
2,296,180
|
||||||
Diversified Financial Services - 0.9%
|
|||||||
Apex Group Treasury Ltd.
First Lien Tranche B Term Loan |
Bermuda
|
3M EURIBOR + 4.00%
|
4.00%
|
07/27/28
|
EUR 250
|
275,131
|
|
Apex Group Treasury LLC
First Lien Tranche B Term Loan |
United States
|
1M LIBOR + 3.75%
|
4.25%
|
07/27/28
|
750
|
744,848
|
|
Nexus Buyer LLC
Second Lien Term Loan |
United States
|
1M US LIBOR + 6.25%
|
6.75%
|
11/01/29
|
376
|
373,180
|
|
Total Diversified Financial Services
|
1,393,159
|
||||||
Diversified Telecommunication Services - 0.5%
|
|||||||
Altice France SA
First Lien Tranche B Term Loan |
France
|
3M EURIBOR + 3.00%
|
3.00%
|
01/06/26
|
EUR 239
|
259,035
|
|
Intelsat Jackson Holdings SA
First Lien Tranche EXIT Term Loan |
Luxembourg
|
6M SOFR + 4.25%
|
4.75%
|
12/08/28
|
499
|
491,463
|
|
Total Diversified Telecommunication Services
|
750,498
|
||||||
Electronic Equipment, Instruments & Components - 0.7%
|
|||||||
LTI Holdings, Inc.
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 3.50%
|
3.96%
|
09/06/25
|
995
|
974,118
|
|
Energy Equipment & Services - 0.5%
|
|||||||
Artera Services LLC
First Lien Term Loan |
United States
|
3M US LIBOR + 3.50%
|
4.51%
|
03/06/25
|
746
|
701,653
|
|
Food & Staples Retailing - 0.2%
|
|||||||
Bellis Acquisition Company PLC
First Lien Tranche B Term Loan |
United Kingdom
|
3M EURIBOR + 3.50%
|
2.75%
|
02/16/26
|
EUR 250
|
273,139
|
|
Food Products - 0.7%
|
|||||||
Shearer's Foods LLC
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 3.50%
|
4.25%
|
09/23/27
|
995
|
968,287
|
|
Health Care Equipment & Supplies - 0.2%
|
|||||||
Auris Luxembourg III Sarl
First Lien Tranche B1 Term Loan |
Denmark
|
6M EURIBOR + 4.00%
|
4.00%
|
07/24/25
|
EUR 250
|
275,701
|
|
Health Care Providers & Services - 1.5%
|
|||||||
Baart Programs, Inc.
First Lien Delay Draw Term Loan |
United States
|
1M US LIBOR + 5.00%
|
6.00%
|
06/11/27
|
722
|
372,698
|
|
Baart Programs, Inc.
Second Lien Delay Draw Term Loan |
United States
|
3M US LIBOR + 8.50%
|
9.50%
|
06/11/28
|
1,246
|
398,139
|
|
HomeVi SASU
First Lien Tranche B Term Loan |
France
|
3M EURIBOR + 4.00%
|
4.00%
|
10/31/26
|
EUR 250
|
272,157
|
|
Nidda Healthcare Holding GmbH
First Lien Tranche F Term Loan |
Germany
|
3M EURIBOR + 3.50%
|
3.50%
|
08/21/26
|
EUR 250
|
265,443
|
|
US Renal Care, Inc.
First Lien Tranche B Term Loan |
United States
|
3M US LIBOR + 5.00%
|
6.00%
|
06/26/26
|
997
|
920,147
|
|
Total Health Care Providers & Services
|
2,228,584
|
||||||
Health Care Technology - 2.2%
|
|||||||
Azalea Topco, Inc.
First Lien Term Loan |
United States
|
3M SOFR + 3.75%
|
4.50%
|
07/24/26
|
500
|
495,938
|
|
MedAssets Software Intermediate Holdings, Inc.
Second Lien Term Loan |
United States
|
6M US LIBOR + 6.75%
|
7.25%
|
11/19/29
|
2,082
|
2,057,016
|
|
Polaris Newco LLC
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 4.00%
|
4.50%
|
06/02/28
|
399
|
396,653
|
|
Solera LLC
First Lien Tranche B Term Loan |
United States
|
3W EURIBOR + 4.00%
|
4.00%
|
06/02/28
|
EUR 249
|
274,302
|
|
Total Health Care Technology
|
3,223,909
|
||||||
Hotels, Restaurants & Leisure - 1.4%
|
|||||||
Alterra Mountain Co
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 3.50%
|
4.00%
|
08/17/28
|
937
|
931,288
|
|
Flynn Restaurant Group LP
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 4.25%
|
4.75%
|
11/22/28
|
998
|
987,111
|
|
Hurtigruten Group AS
First Lien Tranche B Term Loan |
Norway
|
6M EURIBOR + 4.00%
|
4.00%
|
02/07/25
|
EUR 200
|
199,987
|
|
Total Hotels, Restaurants & Leisure
|
2,118,386
|
||||||
Insurance - 0.7%
|
|||||||
HUB International Ltd.
First Lien Tranche B3 Term Loan |
United States
|
3M US LIBOR + 3.25%
|
4.00%
|
04/25/25
|
995
|
989,987
|
|
Leisure Products - 0.3%
|
|||||||
Gibson Brands, Inc.
First Lien Term Loan |
United States
|
3M US LIBOR + 5.00%
|
5.75%
|
08/11/28
|
399
|
392,516
|
|
Machinery - 0.4%
|
|||||||
Delachaux Group SA
First Lien Tranche B1 Term Loan |
France
|
3M EURIBOR + 3.75%
|
3.75%
|
04/16/26
|
EUR 241
|
266,211
|
|
Restaurant Technologies, Inc.
First Lien Tranche B Term Loan |
United States
|
3M SOFR + 4.25%
|
4.25%
|
03/17/29
|
350
|
347,813
|
|
Total Machinery
|
614,024
|
||||||
Media - 0.6%
|
|||||||
Directv Financing LLC
First Lien Term Loan |
United States
|
1M US LIBOR + 5.00%
|
5.75%
|
08/02/27
|
955
|
955,186
|
|
Metals & Mining - 1.1%
|
|||||||
PMHC II, Inc.
First Lien Term Loan |
United States
|
3M SOFR + 4.25%
|
4.75%
|
03/30/29
|
750
|
717,499
|
|
SCIH Salt Holdings, Inc.
First Lien Tranche B Term Loan |
United States
|
6M US LIBOR + 4.00%
|
4.75%
|
03/16/27
|
994
|
979,540
|
|
Total Metals & Mining
|
1,697,039
|
||||||
Multiline Retail - 0.2%
|
|||||||
Amer Sports Holding Oy
First Lien Tranche B Term Loan |
Finland
|
6M EURIBOR + 4.50%
|
4.50%
|
03/30/26
|
EUR 250
|
276,780
|
|
Oil, Gas & Consumable Fuels - 0.7%
|
|||||||
Parkway Generation LLC
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 4.75%
|
5.50%
|
11/06/28
|
877
|
860,746
|
|
Parkway Generation LLC
First Lien Tranche C Term Loan |
United States
|
1M US LIBOR + 4.75%
|
5.50%
|
11/06/28
|
123
|
120,504
|
|
Total Oil, Gas & Consumable Fuels
|
981,250
|
||||||
Personal Products - 0.2%
|
|||||||
Olaplex, Inc.
First Lien Tranche B Term Loan |
United States
|
1M SOFR + 3.75%
|
4.80%
|
02/07/28
|
250
|
249,688
|
|
Pharmaceuticals - 0.4%
|
|||||||
Antigua Bidco Ltd.
First Lien Tranche B Term Loan |
United Kingdom
|
3M EURIBOR + 4.00%
|
4.00%
|
08/07/26
|
EUR 250
|
273,511
|
|
Cheplapharm Arzneimittel GmbH
First Lien Tranche B Term Loan |
Germany
|
6M EURIBOR + 4.00%
|
4.00%
|
02/09/29
|
EUR 250
|
275,082
|
|
Total Pharmaceuticals
|
548,593
|
||||||
Software - 5.4%
|
|||||||
BYJU's Alpha, Inc.
First Lien Tranche B Term Loan |
India
|
3M US LIBOR + 5.50%
|
6.25%
|
11/05/26
|
449
|
445,089
|
|
ION Corporate Solutions Finance Sarl
First Lien Tranche B Term Loan |
Luxembourg
|
3M EURIBOR + 3.75%
|
3.75%
|
03/13/28
|
EUR 250
|
274,750
|
|
Ivanti Software, Inc.
First Lien Tranche B Term Loan |
United States
|
3M US LIBOR + 4.00%
|
4.25%
|
12/01/27
|
2,000
|
1,976,250
|
|
LogMeIn, Inc.
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 4.75%
|
5.21%
|
08/31/27
|
1,767
|
1,739,597
|
|
McAfee Corp.
First Lien Tranche B Term Loan |
United States
|
1M SOFR + 4.00%
|
4.50%
|
02/02/29
|
500
|
497,188
|
|
Mitchell International, Inc.
First Lien Tranche B Term Loan |
United States
|
3M US LIBOR + 3.75%
|
4.25%
|
10/02/28
|
1,000
|
985,400
|
|
McAfee Corp.
First Lien Tranche B Term Loan |
United States
|
1M EURIBOR + 4.25%
|
4.25%
|
02/02/29
|
EUR 250
|
275,814
|
|
Sitel Group SA
First Lien Tranche B Term Loan |
United States
|
3M EURIBOR + 3.75%
|
3.75%
|
08/28/28
|
EUR 250
|
275,502
|
|
Skopima Consilio Parent LLC
First Lien Term Loan |
United States
|
1M US LIBOR + 4.00%
|
4.50%
|
05/31/28
|
995
|
985,204
|
|
UKG, Inc.,
Second Lien Term Loan |
United States
|
1M US LIBOR + 5.25%
|
5.75%
|
05/03/27
|
500
|
497,735
|
|
Total Software
|
7,952,529
|
||||||
Technology Hardware, Storage & Peripherals - 0.9%
|
|||||||
Castle US Holding Corp.
First Lien Tranche B Term Loan |
United States
|
3M EURIBOR + 3.75%
|
3.75%
|
01/29/27
|
EUR 249
|
270,733
|
|
Castle US Holding Corp.
First Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 4.00%
|
4.75%
|
01/29/27
|
998
|
990,419
|
|
Total Technology Hardware, Storage & Peripherals
|
1,261,152
|
||||||
Total SENIOR LOANS
(Cost $45,136,877) |
|
|
|
|
|
|
44,547,982
|
CORPORATE BONDS - 32.3%
|
|||||||
Aerospace & Defense - 0.5%
|
|||||||
Bombardier, Inc. (e)
|
Canada
|
7.13%
|
06/15/26
|
240
|
235,492
|
||
TransDigm, Inc.
|
United States
|
5.50%
|
11/15/27
|
360
|
357,748
|
||
TransDigm, Inc. (e)
|
United States
|
6.25%
|
03/15/26
|
95
|
97,648
|
||
Total Aerospace & Defense
|
690,888
|
||||||
Airlines - 0.4%
|
|||||||
Azul Investments LLP
|
Brazil
|
7.25%
|
06/15/26
|
510
|
430,557
|
||
Hawaiian Brand Intellectual Property Ltd. (e)
|
United States
|
5.75%
|
01/20/26
|
150
|
150,284
|
||
Total Airlines
|
580,841
|
||||||
Auto Components - 0.2%
|
|||||||
Dana Financing Luxembourg Sarl
|
United States
|
3.00%
|
07/15/29
|
EUR 100
|
101,065
|
||
Grupo Antolin-Irausa SA
|
Spain
|
3.38%
|
04/30/26
|
EUR 100
|
97,139
|
||
Renk AG/Frankfurt am Main
|
Germany
|
5.75%
|
07/15/25
|
EUR 100
|
111,533
|
||
Total Auto Components
|
309,737
|
||||||
Beverages - 0.1%
|
|||||||
Primo Water Holdings, Inc.
|
Canada
|
3.88%
|
10/31/28
|
EUR 100
|
103,346
|
||
Building Products - 0.1%
|
|||||||
Standard Industries, Inc.
|
United States
|
2.25%
|
11/21/26
|
EUR 100
|
103,912
|
||
Chemicals - 1.3%
|
|||||||
Braskem Idesa SAPI
|
Mexico
|
6.99%
|
02/20/32
|
400
|
392,512
|
||
Ctec II GmbH, Series Reg S (g)
|
Germany
|
5.25%
|
02/15/30
|
EUR 130
|
132,846
|
||
Diamond BC BV (e)
|
United States
|
4.63%
|
10/01/29
|
245
|
220,355
|
||
EverArc Escrow Sarl (e)
|
United States
|
5.00%
|
10/30/29
|
225
|
206,016
|
||
INEOS Finance PLC
|
Luxembourg
|
2.88%
|
05/01/26
|
EUR 100
|
105,664
|
||
INEOS Quattro Finance 1 PLC
|
United Kingdom
|
3.75%
|
07/15/26
|
EUR 100
|
104,312
|
||
Nufarm Australia Ltd. (e)
|
Australia
|
5.00%
|
01/27/30
|
445
|
439,317
|
||
Olympus Water US Holding Corp. (e)
|
United States
|
4.25%
|
10/01/28
|
280
|
254,856
|
||
Olympus Water US Holding Corp. (e)
|
United States
|
6.25%
|
10/01/29
|
60
|
53,215
|
||
Total Chemicals
|
1,909,093
|
||||||
Commercial Services & Supplies - 1.9%
|
|||||||
Allied Universal Holdco LLC (e)
|
United States
|
4.63%
|
06/01/28
|
405
|
383,225
|
||
GFL Environmental, Inc. (e)
|
Canada
|
4.75%
|
06/15/29
|
265
|
252,407
|
||
Hurricane Finance PLC
|
United Kingdom
|
8.00%
|
10/15/25
|
GBP 100
|
133,434
|
||
Iron Mountain, Inc. (e)
|
United States
|
5.00%
|
07/15/28
|
435
|
424,858
|
||
LABL, Inc. (e)
|
United States
|
5.88%
|
11/01/28
|
445
|
418,022
|
||
Paprec Holding SA
|
France
|
3.50%
|
07/01/28
|
EUR 100
|
105,670
|
||
Prime Security Services Borrower LLC (e)
|
United States
|
6.25%
|
01/15/28
|
485
|
475,407
|
||
TMS International Corp. (e)
|
United States
|
6.25%
|
04/15/29
|
165
|
157,065
|
||
WASH Multifamily Acquisition, Inc. (e)
|
United States
|
5.75%
|
04/15/26
|
430
|
431,778
|
||
Total Commercial Services & Supplies
|
2,781,866
|
||||||
Communications Equipment - 0.3%
|
|||||||
CommScope Technologies LLC (e)
|
United States
|
6.00%
|
06/15/25
|
260
|
246,555
|
||
CommScope, Inc. (e)
|
United States
|
4.75%
|
09/01/29
|
75
|
69,179
|
||
CommScope, Inc. (e)
|
United States
|
6.00%
|
03/01/26
|
95
|
96,216
|
||
Total Communications Equipment
|
411,950
|
||||||
Construction & Engineering - 0.5%
|
|||||||
Great Lakes Dredge & Dock Corp. (e)
|
United States
|
5.25%
|
06/01/29
|
340
|
325,122
|
||
Pike Corp. (e)
|
United States
|
5.50%
|
09/01/28
|
440
|
415,461
|
||
Total Construction & Engineering
|
740,583
|
||||||
Construction Materials - 0.1%
|
|||||||
Cemex SAB de CV (v)
|
Mexico
|
5 Year CMT Rate + 4.53%
|
5.13%
|
09/08/70
|
200
|
196,579
|
|
Consumer Finance - 0.1%
|
|||||||
FirstCash, Inc. (e)
|
United States
|
5.63%
|
01/01/30
|
220
|
211,638
|
||
Containers & Packaging - 0.7%
|
|||||||
ARD Finance SA (e)
|
Luxembourg
|
6.50%
|
06/30/27
|
260
|
238,209
|
||
Graham Packaging Company, Inc. (e)
|
United States
|
7.13%
|
08/15/28
|
285
|
259,193
|
||
Intelligent Packaging Limited Finco, Inc. (e)
|
Canada
|
6.00%
|
09/15/28
|
EUR 435
|
429,563
|
||
Trivium Packaging Finance BV
|
Netherlands
|
3.75%
|
08/15/26
|
EUR 100
|
108,663
|
||
Total Containers & Packaging
|
1,035,628
|
||||||
Diversified Consumer Services - 0.2%
|
|||||||
AA Bond Company Ltd.
|
United Kingdom
|
6.50%
|
01/31/26
|
GBP 100
|
129,038
|
||
Verisure Midholding AB
|
Sweden
|
5.25%
|
02/15/29
|
EUR 100
|
102,405
|
||
Total Diversified Consumer Services
|
231,443
|
||||||
Diversified Telecommunication Services - 1.9%
|
|||||||
Altice Financing SA
|
Luxembourg
|
3.00%
|
01/15/28
|
EUR 100
|
97,771
|
||
Altice France SA
|
France
|
4.13%
|
01/15/29
|
EUR 100
|
100,631
|
||
Consolidated Communications, Inc. (e)
|
United States
|
6.50%
|
10/01/28
|
380
|
351,082
|
||
eircom Finance DAC
|
Ireland
|
3.50%
|
05/15/26
|
EUR 100
|
109,373
|
||
Frontier Communications Holdings LLC (e)
|
United States
|
5.00%
|
05/01/28
|
290
|
278,755
|
||
Frontier Communications Holdings LLC (e)
|
United States
|
6.75%
|
05/01/29
|
155
|
149,014
|
||
Iliad Holding SASU
|
France
|
5.63%
|
10/15/28
|
EUR 200
|
221,295
|
||
Iliad Holding SASU (e)
|
France
|
6.50%
|
10/15/26
|
360
|
361,444
|
||
Lorca Telecom Bondco SA
|
Spain
|
4.00%
|
09/18/27
|
EUR 100
|
106,935
|
||
Telecom Argentina SA
|
Argentina
|
8.00%
|
07/18/26
|
1,000
|
954,000
|
||
Ziggo Bond Company BV
|
Netherlands
|
3.38%
|
02/28/30
|
EUR 100
|
98,109
|
||
Total Diversified Telecommunication Services
|
2,828,409
|
||||||
Electric Utilities - 0.1%
|
|||||||
PG&E Corp.
|
United States
|
5.00%
|
07/01/28
|
235
|
227,410
|
||
Electrical Equipment - 0.3%
|
|||||||
APX Group, Inc. (e)
|
United States
|
6.75%
|
02/15/27
|
425
|
435,209
|
||
Electronic Equipment, Instruments & Components - 0.1%
|
|||||||
Centurion Bidco SpA
|
Italy
|
5.88%
|
09/30/26
|
EUR 100
|
107,905
|
||
Energy Equipment & Services - 0.2%
|
|||||||
Precision Drilling Corp. (e)
|
Canada
|
7.13%
|
01/15/26
|
245
|
250,184
|
||
Entertainment - 0.1%
|
|||||||
Banijay Entertainment SASU
|
France
|
3.50%
|
03/01/25
|
EUR 100
|
110,725
|
||
Equity Real Estate Investment Trusts (REITs) - 0.2%
|
|||||||
American Finance Trust, Inc. (e)
|
United States
|
4.50%
|
09/30/28
|
395
|
356,312
|
||
Food & Staples Retailing - 0.2%
|
|||||||
Performance Food Group, Inc. (e)
|
United States
|
5.50%
|
10/15/27
|
335
|
333,799
|
||
Food Products - 0.3%
|
|||||||
Post Holdings, Inc. (e)
|
United States
|
5.63%
|
01/15/28
|
430
|
422,772
|
||
Gas Utilities - 0.2%
|
|||||||
CQP Holdco LP (e)
|
United States
|
5.50%
|
06/15/31
|
165
|
162,319
|
||
Suburban Propane Partners LP (e)
|
United States
|
5.00%
|
06/01/31
|
220
|
206,547
|
||
Total Gas Utilities
|
368,866
|
||||||
Health Care Equipment & Supplies - 0.2%
|
|||||||
Mozart Debt Merger Sub, Inc. (e)
|
United States
|
5.25%
|
10/01/29
|
395
|
367,725
|
||
Health Care Providers & Services - 2.2%
|
|||||||
Acadia Healthcare Company, Inc. (e)
|
United States
|
5.00%
|
04/15/29
|
245
|
242,167
|
||
Acadia Healthcare Company, Inc. (e)
|
United States
|
5.50%
|
07/01/28
|
215
|
216,344
|
||
Avantor Funding, Inc.
|
United States
|
3.88%
|
07/15/28
|
EUR 100
|
111,314
|
||
CAB Selas
|
France
|
3.38%
|
02/01/28
|
EUR 100
|
105,493
|
||
Chrome Bidco SASU
|
France
|
3.50%
|
05/31/28
|
EUR 100
|
106,154
|
||
CHS/Community Health Systems, Inc. (e)
|
United States
|
5.63%
|
03/15/27
|
335
|
341,603
|
||
MEDNAX, Inc. (e)
|
United States
|
5.38%
|
02/15/30
|
295
|
285,222
|
||
ModivCare Escrow Issuer, Inc. (e)
|
United States
|
5.00%
|
10/01/29
|
345
|
322,266
|
||
Nidda Healthcare Holding GmbH
|
Germany
|
3.50%
|
09/30/24
|
EUR 100
|
106,220
|
||
Ortho-Clinical Diagnostics, Inc. (e)
|
United States
|
7.25%
|
02/01/28
|
350
|
360,946
|
||
Radiology Partners, Inc. (e)
|
United States
|
9.25%
|
02/01/28
|
800
|
801,588
|
||
Tenet Healthcare Corp. (e)
|
United States
|
6.13%
|
10/01/28
|
285
|
289,946
|
||
Total Health Care Providers & Services
|
3,289,263
|
||||||
Health Care Technology - 0.1%
|
|||||||
MPH Acquisition Holdings LLC (e)
|
United States
|
5.50%
|
09/01/28
|
160
|
153,710
|
||
Hotels, Restaurants & Leisure - 1.6%
|
|||||||
Bloomin' Brands, Inc. (e)
|
United States
|
5.13%
|
04/15/29
|
220
|
207,997
|
||
Carnival Corp. (e)
|
United States
|
5.75%
|
03/01/27
|
490
|
467,950
|
||
Cirsa Finance International Sarl
|
Spain
|
4.50%
|
03/15/27
|
EUR 100
|
104,975
|
||
Everi Holdings, Inc. (e)
|
United States
|
5.00%
|
07/15/29
|
345
|
327,258
|
||
Fertitta Entertainment LLC (e)
|
United States
|
6.75%
|
01/15/30
|
160
|
147,398
|
||
Gamma Bidco SpA
|
Italy
|
5.13%
|
07/15/25
|
EUR 100
|
109,520
|
||
Grupo Posadas SAB de CV
|
Mexico
|
4.00%
|
12/30/27
|
20
|
15,000
|
||
Hilton Grand Vacations Borrower Escrow LLC (e)
|
United States
|
5.00%
|
06/01/29
|
215
|
205,441
|
||
Legends Hospitality Holding Company LLC (e)
|
United States
|
5.00%
|
02/01/26
|
440
|
422,963
|
||
SeaWorld Parks & Entertainment, Inc. (e)
|
United States
|
5.25%
|
08/15/29
|
265
|
253,287
|
||
TUI Cruises GmbH
|
Germany
|
6.50%
|
05/15/26
|
EUR 100
|
105,094
|
||
Total Hotels, Restaurants & Leisure
|
2,366,883
|
||||||
Household Durables - 0.4%
|
|||||||
Shea Homes LP (e)
|
United States
|
4.75%
|
02/15/28
|
345
|
325,278
|
||
Victoria PLC
|
United Kingdom
|
3.63%
|
08/24/26
|
EUR 100
|
106,737
|
||
Weekley Homes LLC (e)
|
United States
|
4.88%
|
09/15/28
|
185
|
170,838
|
||
Total Household Durables
|
602,853
|
||||||
Household Products - 0.1%
|
|||||||
Energizer Gamma Acquisition BV
|
United States
|
3.50%
|
06/30/29
|
EUR 100
|
97,770
|
||
Independent Power and Renewable Electricity Producers - 0.9%
|
|||||||
Calpine Corp. (e)
|
United States
|
5.13%
|
03/15/28
|
350
|
334,045
|
||
Genneia SA
|
Argentina
|
8.75%
|
09/02/27
|
1,000
|
942,480
|
||
Genneia SA (e)
|
Argentina
|
8.75%
|
09/02/27
|
40
|
37,699
|
||
Total Independent Power and Renewable Electricity Producers
|
1,314,224
|
||||||
Insurance - 0.3%
|
|||||||
AssuredPartners, Inc. (e)
|
United States
|
5.63%
|
01/15/29
|
250
|
230,581
|
||
HUB International Ltd. (e)
|
United States
|
7.00%
|
05/01/26
|
190
|
192,436
|
||
Total Insurance
|
423,017
|
||||||
IT Services - 0.6%
|
|||||||
Ahead DB Holdings LLC (e)
|
United States
|
6.63%
|
05/01/28
|
340
|
304,456
|
||
Sabre GLBL, Inc. (e)
|
United States
|
7.38%
|
09/01/25
|
150
|
156,880
|
||
VM Consolidated, Inc. (e)
|
United States
|
5.50%
|
04/15/29
|
440
|
413,857
|
||
Total IT Services
|
875,193
|
||||||
Leisure Products - 0.2%
|
|||||||
Vista Outdoor, Inc. (e)
|
United States
|
4.50%
|
03/15/29
|
295
|
271,969
|
||
Machinery - 0.3%
|
|||||||
IMA Industria Macchine Automatiche SpA
|
Italy
|
3.75%
|
01/15/28
|
EUR 100
|
103,975
|
||
Redwood Star Merger Sub, Inc. (e)
|
United States
|
8.75%
|
04/01/30
|
400
|
383,496
|
||
Total Machinery
|
487,471
|
||||||
Media - 1.4%
|
|||||||
Cablevision Lightpath LLC (e)
|
United States
|
5.63%
|
09/15/28
|
415
|
379,455
|
||
Directv Financing LLC (e)
|
United States
|
5.88%
|
08/15/27
|
435
|
428,508
|
||
DISH DBS Corp. (e)
|
United States
|
5.25%
|
12/01/26
|
195
|
186,103
|
||
DISH DBS Corp. (e)
|
United States
|
5.75%
|
12/01/28
|
25
|
23,703
|
||
Gray Television, Inc. (e)
|
United States
|
4.75%
|
10/15/30
|
160
|
148,816
|
||
iHeartCommunications, Inc.
|
United States
|
6.38%
|
05/01/26
|
95
|
97,767
|
||
iHeartCommunications, Inc. (e)
|
United States
|
5.25%
|
08/15/27
|
360
|
356,587
|
||
Scripps Escrow II, Inc. (e)
|
United States
|
5.38%
|
01/15/31
|
130
|
124,654
|
||
Univision Communications, Inc. (e)
|
United States
|
6.63%
|
06/01/27
|
145
|
152,056
|
||
Virgin Media Vendor Financing Notes III DAC
|
United Kingdom
|
4.88%
|
07/15/28
|
GBP 100
|
124,221
|
||
Total Media
|
2,021,870
|
||||||
Metals & Mining - 1.6%
|
|||||||
Arconic Corp. (e)
|
United States
|
6.13%
|
02/15/28
|
425
|
427,210
|
||
Constellium SE (e)
|
United States
|
5.63%
|
06/15/28
|
260
|
261,418
|
||
Mineral Resources Ltd. (e)
|
Australia
|
8.13%
|
05/01/27
|
60
|
62,119
|
||
Vedanta Resources Finance II PLC
|
India
|
13.88%
|
01/21/24
|
1,600
|
1,676,000
|
||
Total Metals & Mining
|
2,426,747
|
||||||
Oil, Gas & Consumable Fuels - 2.0%
|
|||||||
CITGO Holding, Inc.
|
United States
|
9.25%
|
08/01/24
|
460
|
465,138
|
||
CITGO Petroleum Corp. (e)
|
United States
|
7.00%
|
06/15/25
|
360
|
362,650
|
||
Colgate Energy Partners III LLC (e)
|
United States
|
5.88%
|
07/01/29
|
195
|
201,380
|
||
CrownRock LP (e)
|
United States
|
5.63%
|
10/15/25
|
240
|
244,872
|
||
CVR Energy, Inc. (e)
|
United States
|
5.25%
|
02/15/25
|
305
|
296,577
|
||
Hess Midstream Operations LP (e)
|
United States
|
5.13%
|
06/15/28
|
235
|
235,306
|
||
Hess Midstream Operations LP (e)
|
United States
|
5.63%
|
02/15/26
|
140
|
143,847
|
||
Strathcona Resources Ltd. (e)
|
Canada
|
6.88%
|
08/01/26
|
195
|
196,737
|
||
Vine Energy Holdings LLC (e)
|
United States
|
6.75%
|
04/15/29
|
230
|
243,940
|
||
YPF SA (s)
|
Argentina
|
2.50%
|
06/30/29
|
758
|
558,726
|
||
Total Oil, Gas & Consumable Fuels
|
2,949,173
|
||||||
Paper & Forest Products - 0.3%
|
|||||||
Mercer International, Inc.
|
Germany
|
5.50%
|
01/15/26
|
440
|
443,828
|
||
Personal Products - 0.5%
|
|||||||
BellRing Brands, Inc. (e)
|
United States
|
7.00%
|
03/15/30
|
115
|
117,588
|
||
Coty, Inc. (e)
|
United States
|
5.00%
|
04/15/26
|
215
|
209,751
|
||
Edgewell Personal Care Co. (e)
|
United States
|
5.50%
|
06/01/28
|
355
|
353,798
|
||
Total Personal Products
|
681,137
|
||||||
Pharmaceuticals - 0.5%
|
|||||||
Bausch Health Companies, Inc. (e)
|
United States
|
4.88%
|
06/01/28
|
270
|
258,891
|
||
Bausch Health Cos, Inc. (e)
|
United States
|
6.13%
|
02/01/27
|
190
|
191,434
|
||
Cheplapharm Arzneimittel GmbH
|
Germany
|
4.38%
|
01/15/28
|
EUR 100
|
109,658
|
||
Gruenenthal GmbH
|
Germany
|
4.13%
|
05/15/28
|
EUR 100
|
107,998
|
||
Total Pharmaceuticals
|
667,981
|
||||||
Professional Services - 0.1%
|
|||||||
Summer BC Holdco B SARL
|
Luxembourg
|
5.75%
|
10/31/26
|
EUR 100
|
112,580
|
||
Real Estate Management & Development - 5.7%
|
|||||||
CIFI Holdings Group Company Ltd.
|
China
|
6.00%
|
07/16/25
|
400
|
334,000
|
||
CIFI Holdings Group Company Ltd.
|
China
|
6.45%
|
11/07/24
|
200
|
179,000
|
||
CIFI Holdings Group Company Ltd. (v)
|
China
|
5 Year CMT Rate + 8.57%
|
5.38%
|
02/24/23
|
450
|
380,475
|
|
Country Garden Holdings Company Ltd.
|
China
|
4.80%
|
08/06/30
|
200
|
139,500
|
||
Country Garden Holdings Company Ltd.
|
China
|
7.25%
|
04/08/26
|
600
|
466,500
|
||
Crystal Idea Group Ltd.
|
China
|
2.25%
|
10/31/22
|
HKD 2,000
|
220,852
|
||
Cushman & Wakefield US Borrower LLC (e)
|
United States
|
6.75%
|
05/15/28
|
210
|
219,799
|
||
Huarong Universe Investment Holding Ltd.
|
China
|
1.63%
|
12/05/22
|
EUR 1,000
|
1,037,391
|
||
Hunt Companies, Inc. (e)
|
United States
|
5.25%
|
04/15/29
|
360
|
343,656
|
||
Kennedy-Wilson, Inc.
|
United States
|
4.75%
|
03/01/29
|
155
|
149,746
|
||
Logan Group Company Ltd.
|
China
|
5.75%
|
01/14/25
|
200
|
48,500
|
||
Logan Group Company Ltd.
|
China
|
6.90%
|
06/09/24
|
200
|
47,500
|
||
OWS Cre Funding I LLC (e) (v)
|
United States
|
1M US LIBOR + 4.90%
|
5.36%
|
09/15/23
|
2,500
|
2,496,273
|
|
RKPF Overseas Ltd.
|
China
|
5.90%
|
03/05/25
|
500
|
397,625
|
||
RKPF Overseas Ltd.
|
China
|
6.00%
|
09/04/25
|
500
|
400,000
|
||
Samhallsbyggnadsbolaget i Norden AB (v)
|
Sweden
|
5 Year Swap Rate EUR + 3.22%
|
2.88%
|
01/30/71
|
EUR 100
|
91,248
|
|
Shimao Group Holdings Ltd.
|
China
|
4.60%
|
07/13/30
|
200
|
53,500
|
||
Shimao Group Holdings Ltd.
|
China
|
5.20%
|
01/16/27
|
1,210
|
338,800
|
||
Shimao Group Holdings Ltd.
|
China
|
5.60%
|
07/15/26
|
400
|
116,000
|
||
Shimao Group Holdings Ltd.
|
China
|
6.13%
|
02/21/24
|
370
|
114,885
|
||
Shui On Development Holding Ltd. (v)
|
China
|
5 Year CMT Rate + 7.63%
|
6.40%
|
06/20/71
|
200
|
195,300
|
|
Sino-Ocean Land Treasure IV Ltd.
|
China
|
4.75%
|
08/05/29
|
410
|
271,625
|
||
Sino-Ocean Land Treasure IV Ltd.
|
China
|
4.75%
|
01/14/30
|
400
|
263,000
|
||
Total Real Estate Management & Development
|
8,305,175
|
||||||
Road & Rail - 0.1%
|
|||||||
The Hertz Corp. (e)
|
United States
|
4.63%
|
12/01/26
|
200
|
187,044
|
||
Software - 1.3%
|
|||||||
Acuris Finance US, Inc. (e)
|
United States
|
5.00%
|
05/01/28
|
395
|
363,752
|
||
Brunello Bidco SpA
|
Italy
|
3.50%
|
02/15/28
|
EUR 100
|
104,567
|
||
Castor SpA (g) (v)
|
Italy
|
3M EURIBOR + 5.25%
|
5.25%
|
02/15/29
|
EUR 200
|
220,643
|
|
Cedacri Mergeco SPA (v)
|
Italy
|
3M EURIBOR + 4.63%
|
4.63%
|
05/15/28
|
EUR 100
|
110,114
|
|
NCR Corp. (e)
|
United States
|
5.13%
|
04/15/29
|
15
|
14,438
|
||
NCR Corp. (e)
|
United States
|
6.13%
|
09/01/29
|
405
|
406,912
|
||
Uber Technologies, Inc. (e)
|
United States
|
7.50%
|
09/15/27
|
610
|
651,178
|
||
Total Software
|
1,871,604
|
||||||
Specialty Retail - 0.5%
|
|||||||
Academy Ltd. (e)
|
United States
|
6.00%
|
11/15/27
|
420
|
430,500
|
||
At Home Group, Inc. (e)
|
United States
|
4.88%
|
07/15/28
|
220
|
196,243
|
||
At Home Group, Inc. (e)
|
United States
|
7.13%
|
07/15/29
|
65
|
56,351
|
||
eG Global Finance PLC
|
United Kingdom
|
6.25%
|
10/30/25
|
EUR 100
|
110,678
|
||
Total Specialty Retail
|
793,772
|
||||||
Technology Hardware, Storage & Peripherals - 0.3%
|
|||||||
Xerox Holdings Corp. (e)
|
United States
|
5.50%
|
08/15/28
|
390
|
380,749
|
||
Textiles, Apparel & Luxury Goods - 0.1%
|
|||||||
Afflelou SAS
|
France
|
4.25%
|
05/19/26
|
EUR 100
|
108,439
|
||
Thrifts & Mortgage Finance - 0.2%
|
|||||||
Nationstar Mortgage Holdings, Inc. (e)
|
United States
|
5.75%
|
11/15/31
|
120
|
114,658
|
||
Nationstar Mortgage Holdings, Inc. (e)
|
United States
|
6.00%
|
01/15/27
|
140
|
142,705
|
||
Total Thrifts & Mortgage Finance
|
257,363
|
||||||
Trading Companies & Distributors - 0.7%
|
|||||||
Fortress Transportation and Infrastructure Investors LLC (e)
|
United States
|
5.50%
|
05/01/28
|
350
|
318,672
|
||
Fortress Transportation and Infrastructure Investors LLC (e)
|
United States
|
6.50%
|
10/01/25
|
20
|
19,880
|
||
Loxam SAS
|
France
|
3.75%
|
07/15/26
|
EUR 100
|
109,745
|
||
Loxam SAS
|
France
|
5.75%
|
07/15/27
|
EUR 100
|
108,482
|
||
Unifrax Escrow Issuer Corp. (e)
|
United States
|
5.25%
|
09/30/28
|
450
|
418,604
|
||
Total Trading Companies & Distributors
|
975,383
|
||||||
Wireless Telecommunication Services - 0.1%
|
|||||||
Matterhorn Telecom SA
|
Luxembourg
|
4.00%
|
11/15/27
|
EUR 100
|
108,313
|
||
Vodafone Group PLC (v)
|
United Kingdom
|
5 Year Swap Rate EUR + 3.23%
|
3.00%
|
08/27/80
|
EUR 100
|
101,510
|
|
Total Wireless Telecommunication Services
|
209,823
|
||||||
Total CORPORATE BONDS
(Cost $51,883,232) |
|
|
|
|
|
|
47,391,841
|
CONVERTIBLE BONDS - 1.3%
|
|||||||
Aerospace & Defense - 0.0%
|
|||||||
Safran SA
|
France
|
0.88%
|
05/15/27
|
EUR 8
|
11,962
|
||
Airlines - 0.4%
|
|||||||
JetBlue Airways Corp. (e)
|
United States
|
0.50%
|
04/01/26
|
24
|
22,451
|
||
United Airlines, Inc.
|
United States
|
3M US LIBOR + 3.75%
|
4.50%
|
04/21/28
|
499
|
493,718
|
|
Total Entertainment
|
516,169
|
||||||
Auto Components - 0.1%
|
|||||||
Pirelli & C SpA
|
Italy
|
0.00%
|
12/22/25
|
EUR 100
|
119,696
|
||
Automobiles - 0.0%
|
|||||||
Ford Motor Company
|
United States
|
0.00%
|
03/15/26
|
27
|
32,049
|
||
Banks - 0.0%
|
|||||||
JPMorgan Chase Financial Company LLC (e)
|
United States
|
0.25%
|
05/01/23
|
20
|
22,000
|
||
Biotechnology - 0.1%
|
|||||||
Ascendis Pharma A/S (e)
|
Denmark
|
2.25%
|
04/01/28
|
4
|
4,113
|
||
Exact Sciences Corp.
|
United States
|
0.38%
|
03/15/27
|
21
|
19,911
|
||
Halozyme Therapeutics, Inc.
|
United States
|
0.25%
|
03/01/27
|
19
|
16,649
|
||
Insmed, Inc.
|
United States
|
0.75%
|
06/01/28
|
19
|
18,411
|
||
Ionis Pharmaceuticals, Inc. (e)
|
United States
|
0.00%
|
04/01/26
|
7
|
6,546
|
||
Travere Therapeutics, Inc.
|
United States
|
2.50%
|
09/15/25
|
16
|
16,720
|
||
Total Biotechnology
|
82,350
|
||||||
Communications Equipment - 0.0%
|
|||||||
Lumentum Holdings, Inc. (e)
|
United States
|
0.50%
|
06/15/28
|
10
|
9,830
|
||
Electrical Equipment - 0.0%
|
|||||||
Array Technologies, Inc. (e)
|
United States
|
1.00%
|
12/01/28
|
33
|
25,196
|
||
Electronic Equipment, Instruments & Components - 0.0%
|
|||||||
Vishay Intertechnology, Inc.
|
United States
|
2.25%
|
06/15/25
|
17
|
16,980
|
||
Entertainment - 0.0%
|
|||||||
Sea Ltd.
|
Taiwan
|
0.25%
|
09/15/26
|
10
|
8,031
|
||
Spotify USA, Inc.
|
United States
|
0.00%
|
03/15/26
|
13
|
11,143
|
||
Total Entertainment
|
19,174
|
||||||
Equity Real Estate Investment Trusts (REITs) - 0.0%
|
|||||||
Pebblebrook Hotel Trust
|
United States
|
1.75%
|
12/15/26
|
17
|
19,576
|
||
Health Care Equipment & Supplies - 0.0%
|
|||||||
Dexcom, Inc.
|
United States
|
0.25%
|
11/15/25
|
25
|
28,672
|
||
Health Care Providers & Services - 0.0%
|
|||||||
Guardant Health, Inc.
|
United States
|
0.00%
|
11/15/27
|
19
|
15,335
|
||
Health Care Technology - 0.0%
|
|||||||
Health Catalyst, Inc.
|
United States
|
2.50%
|
04/15/25
|
3
|
3,414
|
||
Hotels, Restaurants & Leisure - 0.0%
|
|||||||
Airbnb, Inc.
|
United States
|
0.00%
|
03/15/26
|
14
|
13,604
|
||
Vail Resorts, Inc.
|
United States
|
0.00%
|
01/01/26
|
32
|
31,152
|
||
Total Hotels, Restaurants & Leisure
|
44,756
|
||||||
Independent Power and Renewable Electricity Producers - 0.0%
|
|||||||
NextEra Energy Partners LP (e)
|
United States
|
0.00%
|
11/15/25
|
24
|
27,273
|
||
Interactive Media & Services - 0.0%
|
|||||||
Snap, Inc. (e)
|
United States
|
0.13%
|
03/01/28
|
12
|
11,982
|
||
Twitter, Inc.
|
United States
|
0.00%
|
03/15/26
|
9
|
7,601
|
||
Twitter, Inc.
|
United States
|
0.25%
|
06/15/24
|
5
|
5,100
|
||
Total Interactive Media & Services
|
24,683
|
||||||
Internet & Direct Marketing Retail - 0.0%
|
|||||||
Etsy, Inc. (e)
|
United States
|
0.25%
|
06/15/28
|
13
|
11,616
|
||
IT Services - 0.1%
|
|||||||
Akamai Technologies, Inc.
|
United States
|
0.38%
|
09/01/27
|
39
|
45,026
|
||
Cloudflare, Inc. (e)
|
United States
|
0.00%
|
08/15/26
|
4
|
4,000
|
||
DigitalOcean Holdings, Inc. (e)
|
United States
|
0.00%
|
12/01/26
|
13
|
10,342
|
||
Okta, Inc.
|
United States
|
0.38%
|
06/15/26
|
8
|
7,840
|
||
Perficient, Inc. (e)
|
United States
|
0.13%
|
11/15/26
|
6
|
5,391
|
||
Shift4 Payments, Inc.
|
United States
|
0.00%
|
12/15/25
|
24
|
25,248
|
||
Total IT Services
|
97,847
|
||||||
Machinery - 0.0%
|
|||||||
John Bean Technologies Corp. (e)
|
United States
|
0.25%
|
05/15/26
|
16
|
15,448
|
||
Metals & Mining - 0.1%
|
|||||||
Nippon Steel Corp.
|
Japan
|
0.00%
|
10/05/26
|
JPY 10,000
|
88,673
|
||
Multi-Utilities - 0.0%
|
|||||||
Veolia Environnement SA
|
France
|
0.00%
|
01/01/25
|
EUR 20
|
7,579
|
||
Other - 0.2%
|
|||||||
Wells Fargo Commercial Mortgage Trust 2017-C41 (e)
|
United States
|
2.60%
|
11/17/50
|
316
|
232,651
|
||
Personal Products - 0.0%
|
|||||||
The Beauty Health Co. (e)
|
United States
|
1.25%
|
10/01/26
|
18
|
16,420
|
||
Pharmaceuticals - 0.0%
|
|||||||
Jazz Investments I Ltd.
|
United States
|
2.00%
|
06/15/26
|
21
|
25,566
|
||
Semiconductors & Semiconductor Equipment - 0.1%
|
|||||||
Canadian Solar, Inc. (e)
|
United States
|
0.25%
|
02/15/28
|
13
|
14,763
|
||
Enphase Energy, Inc. (e)
|
Canada
|
2.50%
|
10/01/25
|
5
|
5,925
|
||
Jazz Investments I Ltd.
|
United States
|
0.00%
|
03/01/28
|
10
|
10,440
|
||
SCREEN Holdings Company Ltd.
|
Japan
|
0.00%
|
06/11/25
|
JPY 10,000
|
98,571
|
||
Wolfspeed, Inc. (e)
|
United States
|
0.25%
|
03/15/26
|
24
|
24,495
|
||
Total Semiconductors & Semiconductor Equipment
|
154,194
|
||||||
Software - 0.2%
|
|||||||
Alarm.com Holdings, Inc.
|
United States
|
0.00%
|
01/15/26
|
10
|
8,500
|
||
Avalara, Inc. (e)
|
United States
|
0.25%
|
08/01/26
|
25
|
21,450
|
||
Bentley Systems, Inc. (e)
|
United States
|
0.38%
|
07/01/27
|
21
|
18,333
|
||
Bill.com Holdings, Inc. (e)
|
United States
|
0.00%
|
04/01/27
|
5
|
4,794
|
||
Coupa Software, Inc.
|
United States
|
0.38%
|
06/15/26
|
11
|
9,284
|
||
Dropbox, Inc.
|
United States
|
0.00%
|
03/01/26
|
11
|
10,318
|
||
LivePerson, Inc.
|
United States
|
0.00%
|
12/15/26
|
9
|
7,178
|
||
Nice Ltd.
|
Israel
|
0.00%
|
09/15/25
|
21
|
22,142
|
||
Nutanix, Inc. (e)
|
United States
|
0.25%
|
10/01/27
|
18
|
15,086
|
||
Progress Software Corp. (e)
|
United States
|
1.00%
|
04/15/26
|
20
|
19,980
|
||
Splunk, Inc.
|
United States
|
1.13%
|
09/15/25
|
25
|
30,000
|
||
Tyler Technologies, Inc.
|
United States
|
0.25%
|
03/15/26
|
13
|
14,371
|
||
Unity Software, Inc. (e)
|
United States
|
0.00%
|
11/15/26
|
10
|
8,243
|
||
Total Software
|
189,679
|
||||||
Specialty Retail - 0.0%
|
|||||||
Burlington Stores, Inc.
|
United States
|
2.25%
|
04/15/25
|
4
|
4,588
|
||
Total CONVERTIBLE BONDS
(Cost $1,938,231) |
|
|
|
|
|
|
1,863,376
|
STRUCTURED CREDIT - 24.9% (b)
|
|||||||
Collateralized Loan Obligations - 15.8%
|
|||||||
Anchorage Capital CLO Ltd.
Series 2020-16A, Class DR (e) (v) |
Cayman Islands
|
3M US LIBOR + 3.72%
|
3.84%
|
01/19/35
|
1,500
|
1,501,275
|
|
Anchorage Capital CLO Ltd.
Series 2020-16A, Class ER (e) (v) |
Cayman Islands
|
3M US LIBOR + 7.35%
|
7.47%
|
01/19/35
|
1,000
|
980,003
|
|
Anchorage Capital CLO Ltd.
Series 2020-8A, Class ER2 (e) (v) |
Cayman Islands
|
3M US LIBOR + 7.35%
|
7.48%
|
10/27/34
|
1,500
|
1,464,830
|
|
Anchorage Credit Funding 3 Ltd. (e)
Series 2019-7A, Class E |
Cayman Islands
|
6.85%
|
04/27/37
|
1,000
|
906,183
|
||
Columbia Cent CLO Ltd.
Series 2018-28A, Class D (e) (v) |
Cayman Islands
|
3M US LIBOR + 6.17%
|
6.49%
|
11/07/30
|
1,000
|
881,359
|
|
Elevation CLO Ltd.
Series 2021-14A, Class E (e) (v) |
Cayman Islands
|
3M US LIBOR + 7.20%
|
7.32%
|
10/20/34
|
2,000
|
1,882,396
|
|
ICG US CLO Ltd.
Series 2020-1A, Class DR (e) (v) |
Cayman Islands
|
3M US LIBOR + 3.60%
|
3.72%
|
01/22/35
|
1,000
|
1,001,690
|
|
ICG US CLO Ltd.
Series 2020-1A, Class ER (e) (v) |
Cayman Islands
|
3M US LIBOR + 7.45%
|
7.57%
|
01/22/35
|
1,000
|
973,751
|
|
Marble Point CLO Ltd.
Series 2021-4A, Class E (e) (v) |
Cayman Islands
|
3M US LIBOR + 7.29%
|
7.38%
|
01/22/35
|
2,000
|
1,927,598
|
|
Monroe Capital MML CLO XIII Ltd.
Series 2022-1A, Class E (e) (v) |
United States
|
3M SOFR + 8.32%
|
8.77%
|
02/24/34
|
1,000
|
997,898
|
|
OAK Hill European Credit Partners V Designated Activity Co.
Series 2016-5A, Class ER (e) (v) |
Ireland
|
3M EURIBOR + 6.37%
|
6.37%
|
01/21/35
|
EUR 1,750
|
1,857,848
|
|
OAK Hill European Credit Partners V Designated Activity Co.
Series 2016-5A, Class FR (e) (v) |
Ireland
|
3M EURIBOR + 8.87%
|
8.87%
|
01/21/35
|
EUR 1,000
|
1,033,362
|
|
Palmer Square European CLO
Series 2022-1A, Class E (e) (v) |
Ireland
|
3M EURIBOR + 6.36%
|
6.36%
|
01/21/35
|
EUR 1,200
|
1,247,835
|
|
Palmer Square European CLO
Series 2020-1A, Class F (e) (v) |
Ireland
|
3M EURIBOR + 8.35%
|
8.85%
|
01/21/35
|
EUR 1,750
|
1,792,542
|
|
Toro European CLO (v)
Series 3X, Class ERR |
Ireland
|
3M EURIBOR + 6.30%
|
6.30%
|
07/15/34
|
EUR 1,500
|
1,576,879
|
|
Trimaran Cavu Ltd.
Series 2021-3A, Class E (e) (v) |
Cayman Islands
|
3M EURIBOR + 7.37%
|
7.47%
|
01/18/35
|
1,200
|
1,147,433
|
|
Trinitas CLO Ltd. (e) (v)
Series 2021-18A, Class E |
Cayman Islands
|
3M EURIBOR + 3.60%
|
3.85%
|
01/22/35
|
2,000
|
1,959,590
|
|
Total Collateralized Loan Obligations
|
23,132,472
|
||||||
Mortgage-Backed Securities - 9.1% (e)
|
|||||||
Benchmark Mortgage Trust
2018-B6, Class E (v) |
United States
|
3.11%
|
10/12/51
|
225
|
179,735
|
||
BWAY Mortgage Trust
Series 2022-26BW Class E |
United States
|
4.87%
|
02/10/44
|
677
|
591,559
|
||
BX Commercial Mortgage Trust
Series 2019-IMC Class G (v) |
United States
|
1M US LIBOR + 3.60%
|
4.00%
|
04/17/34
|
1,000
|
975,128
|
|
BX Trust
Series 2021-SDMF Class J (v) |
United States
|
1M US LIBOR + 4.03%
|
4.43%
|
09/15/34
|
470
|
466,730
|
|
CD Mortgage Trust
Series 2017-CD4 Class D |
United States
|
3.30%
|
05/12/50
|
305
|
257,001
|
||
CD Mortgage Trust
Series 2017-CD5 Class D |
United States
|
3.35%
|
08/15/50
|
489
|
407,417
|
||
CFCRE Commercial Mortgage
2018-TAN Class E |
United States
|
6.45%
|
02/17/33
|
225
|
224,162
|
||
Citigroup Commercial Mortgage Trust
Series 2021-KEYS Class F (v) |
United States
|
1M US LIBOR + 3.70%
|
4.10%
|
10/15/36
|
741
|
737,747
|
|
CSAIL Commercial Mortgage Trust
Series 2017-CX9 Class D (v) |
United States
|
4.14%
|
09/16/50
|
190
|
163,713
|
||
DBGS Mortgage Trust
Series 2021-W52 Class F (v) |
United States
|
1M US LIBOR + 4.15%
|
4.55%
|
10/15/36
|
1,000
|
998,438
|
|
DBUBS Mortgage Trust
Series 2017-BRBK Class F (v) |
United States
|
3.53%
|
10/12/34
|
258
|
243,070
|
||
Deephaven Residential Mortgage Trust
Series 2022-2 Class B1 (v) |
United States
|
4.34%
|
03/25/67
|
229
|
207,364
|
||
GCAT
Series 2022-NQM1 Class B1 (v) |
United States
|
4.00%
|
02/25/67
|
476
|
427,800
|
||
Great Wolf Trust
Series 2019-WOLF, Class F (s) (v) |
United States
|
1M US LIBOR + 3.13%
|
3.53%
|
12/15/36
|
1,298
|
1,247,595
|
|
Hilton USA Trust
Series 2016-SFP 6 Class F |
United States
|
6.16%
|
11/05/35
|
1,000
|
994,022
|
||
J.P. Morgan Chase Commercial Mortgage Securities Trust
Series 2021-HTL5 Class F (v) |
United States
|
1M US LIBOR + 4.27%
|
4.66%
|
11/15/38
|
1,084
|
1,054,129
|
|
LAQ 2022-LAQ Mortgage Trust
Series 2022-LAQ Class E (v) |
United States
|
1M SOFR + 4.87%
|
5.13%
|
03/15/39
|
552
|
557,226
|
|
MFA 2022-NQM1 Trust
Series 2022-NQM1 Class B1 (v) |
United States
|
4.34%
|
12/25/66
|
251
|
230,044
|
||
MTN Commercial Mortgage Trust 2022-LPFL
Series 2022-LPFL Class F (v) |
United States
|
1M SOFR + 5.29%
|
5.34%
|
03/15/39
|
571
|
575,480
|
|
PRPM LLC
Series 2021-10 Class A2 (s) |
United States
|
4.83%
|
10/25/26
|
1,000
|
958,972
|
||
SREIT Trust
Series 2021-MFP2 Class J (v) |
United States
|
1M US LIBOR + 3.92%
|
4.31%
|
11/17/36
|
1,000
|
991,997
|
|
Western Mortgage Reference Notes
Series 2021-CL2 Class M4 (v) |
United States
|
30-Day Average SOFR + 5.35%
|
5.45%
|
07/25/59
|
956
|
954,073
|
|
Total Mortgage-Backed Securities
|
13,443,402
|
||||||
Total STRUCTURED CREDIT
(Cost $37,397,014) |
|
|
|
|
|
|
36,575,874
|
PRIVATE ASSET-BACKED DEBT - 17.0% (b) (f)
|
|||||||
Biotechnology - 1.0%
|
|||||||
Mesoblast, Inc.,
First Lien Term Loan (h) (v) |
United States
|
9.75%
|
11/19/26
|
1,585
|
1,426,270
|
||
Mesoblast, Inc.,
First Lien Tranche B Delay Draw Term Loan (h) (v) |
United States
|
9.75%
|
11/19/26
|
262
|
–
|
||
Mesoblast, Inc.,
First Lien Tranche C Delay Draw Term Loan (h) (v) |
United States
|
9.75%
|
11/19/26
|
525
|
–
|
||
Total Biotechnology
|
1,426,270
|
||||||
Commercial Services & Supplies - 1.6%
|
|||||||
Kings Buyer LLC
First Lien Term Loan (v) |
United States
|
1M US LIBOR + 6.50%
|
7.50%
|
10/29/27
|
2,276
|
2,241,382
|
|
Kings Buyer LLC
First Lien Revolver Facility (v) |
United States
|
1M US LIBOR + 6.50%
|
6.50%
|
10/29/27
|
310
|
107,856
|
|
Total Commercial Services & Supplies
|
2,349,238
|
||||||
Containers & Packaging - 1.2%
|
|||||||
ASP-r-pac Acquisition Company LLC
First Lien Term Loan (v) |
United States
|
1M US LIBOR + 6.00%
|
6.00%
|
12/29/27
|
1,728
|
1,698,875
|
|
ASP-r-pac Acquisition Company LLC
First Lien Revolver Facility (v) |
United States
|
1M US LIBOR + 6.00%
|
6.00%
|
12/29/27
|
206
|
–
|
|
Total Containers & Packaging
|
1,698,875
|
||||||
Distributors - 1.3%
|
|||||||
RelaDyne
Second Lien Term Loan (v) |
United States
|
SOFR + 7.75%
|
7.75%
|
12/23/29
|
1,996
|
1,956,080
|
|
Energy Equipment & Services - 1.9%
|
|||||||
ProFrac Holdings LLC
First Lien Term Loan (v) |
United States
|
1M SOFR + 8.50T
|
0.40%
|
03/04/27
|
2,860
|
2,802,800
|
|
Health Care Equipment & Supplies - 2.0%
|
|||||||
Touchstone Acquisition, Inc.
First Lien Term Loan (v) |
United States
|
3M LIBOR US + 6.00%
|
6.75%
|
12/29/28
|
3,014
|
2,953,720
|
|
Total Health Care Equipment & Supplies
|
2,953,720
|
||||||
Health Care Providers & Services - 1.6%
|
|||||||
LSL Holdco LLC
First Lien Term Loan (v) |
United States
|
1M US LIBOR + 6.00%
|
6.00%
|
01/31/28
|
2,398
|
2,349,755
|
|
LSL Holdco LLC
First Lien Revolver Facility (v) |
United States
|
1M US LIBOR + 6.00%
|
6.00%
|
01/31/28
|
266
|
52,217
|
|
Total Health Care Providers & Services
|
2,401,972
|
||||||
Health Care Technology - 2.3%
|
|||||||
Impel Neuropharma, Inc.
First Lien Revenue Interest Financing Term Loan (l) (v) |
United States
|
0.00%
|
02/15/31
|
1,001
|
1,001,000
|
||
Impel Neuropharma, Inc.
First Lien Term Loan (v) |
United States
|
1M SOFR + 8.75%
|
9.75%
|
03/17/27
|
1,001
|
980,980
|
|
Innocoll Pharmaceuticals Ltd
First Lien Term Loan |
United States
|
11.00%
|
01/26/27
|
1,510
|
1,447,649
|
||
Innocoll Pharmaceuticals Ltd
First Lien Tranche B Delay Draw Term Loan (v) |
United States
|
11.00%
|
01/26/27
|
465
|
–
|
||
Innocoll Pharmaceuticals Ltd
First Lien Tranche C Delay Draw Term Loan (v) |
United States
|
11.00%
|
01/26/27
|
465
|
–
|
||
Innocoll Pharmaceuticals Ltd
First Lien Tranche D Delay Draw Term Loan (v) |
United States
|
11.00%
|
01/26/27
|
465
|
–
|
||
Total Health Care Technology
|
3,429,629
|
||||||
Hotels, Restaurants & Leisure - 2.4%
|
|||||||
PFNY Holdings LLC
First Lien Term Loan (v) |
United States
|
1M US LIBOR + 7.00%
|
7.00%
|
12/31/26
|
3,640
|
3,567,580
|
|
PFNY Holdings LLC
First Lien Delay Draw Term Loan (v) |
United States
|
1M US LIBOR + 7.00%
|
7.00%
|
12/31/26
|
347
|
–
|
|
PFNY Holdings LLC
First Lien Revolver Facility (v) |
United States
|
1M US LIBOR + 7.00%
|
7.00%
|
12/31/26
|
173
|
–
|
|
Total Hotels, Restaurants & Leisure
|
3,567,580
|
||||||
Software - 1.7%
|
|||||||
OEConnection LLC
Second Lien Tranche B Term Loan |
United States
|
1M US LIBOR + 7.00%
|
7.00%
|
09/25/27
|
2,499
|
2,436,525
|
|
Total PRIVATE ASSET-BACKED DEBT
(Cost $25,021,385) |
|
|
|
|
|
|
25,022,689
|
|
|
|
|
|
Shares
|
|
Value (a)
|
COMMON STOCK - 0.1%
|
|||||||
Distributors - 0.1%
|
|||||||
RelaDyne
(Acquired 12/23/21, Cost $187,703) (f) (n) (r) |
United States
|
|
|
|
2,000
|
|
189,480
|
Total COMMON STOCK
(Cost $187,703) |
|
|
|
|
|
|
189,480
|
PREFERRED STOCK - 1.4%
|
|||||||
Health Care Technology - 1.4%
|
|||||||
athenahealth, Inc. Series A
(Acquired 02/15/22, Cost $1,992,289) (f) (r) |
United States
|
10.75%
|
2,033
|
2,015,801
|
|||
Total PREFERRED STOCK
(Cost $1,992,289) |
|
|
|
|
|
|
2,015,801
|
WARRANTS - 0.1%
|
|||||||
Biotechnology - 0.1%
|
|||||||
Mesoblast, Inc.,
Exercise Price: $7.26, Expiration: 11/19/28 (Acquired 12/20/21, Cost $106,354) (f) (r) |
United States
|
46,443
|
88,242
|
||||
Health Care Technology - 0.0%
|
|||||||
Innocoll Pharmaceuticals Ltd.,
Exercise Price: $4.23, Expiration: 01/26/29 (Acquired 01/26/22, Cost $29,807) (f) (r) |
United States
|
12,630
|
31,196
|
||||
Total WARRANTS
(Cost $136,161) |
|
|
|
|
|
|
119,438
|
MONEY MARKET FUND - 4.9%
|
|||||||
First American Government Obligations Fund, X Class (y)
|
United States
|
0.22%
|
12/01/31
|
7,223,950
|
7,223,950
|
||
Total MONEY MARKET FUND
(Cost $7,223,950) |
|
|
|
|
|
|
7,223,950
|
Total Investments - 112.4% (c)
|
|
|
|
|
|
|
|
(Cost $170,916,842)
|
164,950,431
|
||||||
Liabilities in Excess of Other Assets - (12.4)%
|
|
|
|
|
|
|
(18,252,272)
|
TOTAL NET ASSETS - 100.0%
|
|
|
|
|
|
|
$ 146,698,159
|
(a) |
Investment holdings denominated in foreign currencies are converted to U.S. Dollars using period end spot rates.
|
(b) |
These investments may be subject to legal restrictions on sales, which as of March 31, 2022, represented 72.4% of the Fund's net assets.
|
(c) |
These securities are pledged as collateral for credit facility.
|
(d) |
As of March 31, 2022, the Fund had entered into the following commitments to fund various revolving and delayed draw senior secured and
subordinated loans. Such commitments are subject to the satisfaction of certain conditions set forth in the documents governing these loans and there can be no assurance that such conditions will be satisfied.
|
Company
|
Investment Type
|
Total revolving
and delayed draw loan
commitments
(000s)
|
Less: funded
commitments (000s)
|
Total unfunded
commitments (000s)
|
ASP-r-pac Acquisition Company LLC
|
First Lien Revolver Facility
|
$ 206
|
$ -
|
206
|
Baart Programs, Inc.
|
First Lien Delay Draw Term Loan
|
722
|
(377)
|
344
|
Baart Programs, Inc.
|
Second Lien Delay Draw Term Loan
|
1,246
|
(404)
|
842
|
Innocoll Pharmaceuticals Ltd
|
First Lien Tranche B Delay Draw Term Loan
|
465
|
-
|
465
|
Innocoll Pharmaceuticals Ltd
|
First Lien Tranche C Delay Draw Term Loan
|
465
|
-
|
465
|
Innocoll Pharmaceuticals Ltd
|
First Lien Tranche D Delay Draw Term Loan
|
465
|
-
|
465
|
Kings Buyer LLC
|
First Lien Revolver Facility
|
310
|
(109)
|
201
|
LSL Holdco LLC
|
First Lien Revolver Facility
|
266
|
(53)
|
213
|
Mesoblast, Inc.
|
First Lien Tranche B Delay Draw Term Loan
|
262
|
-
|
262
|
Mesoblast, Inc.
|
First Lien Tranche C Delay Draw Term Loan
|
525
|
-
|
525
|
PFNY Holdings LLC
|
First Lien Delay Draw Term Loan
|
347
|
-
|
347
|
PFNY Holdings LLC
|
First Lien Revolver Facility
|
173
|
-
|
173
|
Total
|
|
$ 5,452
|
$ (943)
|
$ 4,508
|
(e) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration,
normally to qualified institutional buyers. As of March 31, 2022, the total value of all such securities was $65,960,001 or 45.0% of net assets.
|
(f) |
Security fair valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of March 31, 2022, the total value of all such
securities was $28,658,482 or 19.5% of net assets. These securities are characterized as Level 3 securities within the disclosure hierarchy. Level 3 security values are determined using significant unobservable inputs.
|
(g) |
These assets are held in the Oaktree Diversified Income Fund (Cayman) Ltd., a Cayman Islands exempted company and wholly-owned subsidiary of the Fund.
|
(h) |
Paid in kind security which may pay interest in additional par.
|
(l) |
Loan or bond was on non-accrual status as of March 31, 2022.
|
(n) |
Non-income producing security
|
(r) |
Securities may be deemed to be “restricted securities” under the Securities Act. As of March 31, 2022.
|
(s) |
Security is a “step up” bond where the coupon increases or steps up at a predetermined date. Interest rate shown is the rate in effect as of March 31, 2022.
|
(v) |
Variable rate security – Interest rate is based on reference rate and spread or based on the underlying assets. Interest rate may also be subject to a cap or floor.
|
(y) |
The rate quoted is the annualized seven-day yield as of March 31, 2022.
|
Abbreviations:
|
|
CLO
|
Collateralized Loan Obligation |
CMT
|
Constant Maturity Treasury Rate |
EURIBOR
|
Euro Interbank Offered Rate
|
LIBOR
|
London Interbank Offered Rate |
LLC
|
Limited Liability Company |
LP
|
Limited Partnership |
PIK
|
Payment in-kind security |
Reg S
|
Regulation S |
SOFR
|
Secured Overnight Financing Rate |
Currencies:
|
|
EUR
|
Euro Currency |
GBP
|
British Pounds |
JPY
|
Japanese Yen |
HKD
|
Hong Kong Dollar |
USD
|
U.S. Dollar |
1.
|
Organization
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Senior Loans
|
$
|
-
|
$
|
43,236,908
|
$
|
1,311,074
|
$
|
44,547,982
|
||||||||
Corporate Bonds
|
-
|
47,391,841
|
-
|
47,391,841
|
||||||||||||
Convertible Bonds
|
-
|
1,863,376
|
-
|
1,863,376
|
||||||||||||
Structured Credit
|
-
|
36,575,874
|
-
|
36,575,874
|
||||||||||||
Private Asset-Backed Debt
|
-
|
-
|
25,022,689
|
25,022,689
|
||||||||||||
Common Stocks
|
-
|
-
|
189,480
|
189,480
|
||||||||||||
Preferred Stock
|
-
|
-
|
2,015,801
|
2,015,801
|
||||||||||||
Warrants
|
-
|
-
|
119,438
|
119,438
|
||||||||||||
Money Market Fund
|
7,223,950
|
-
|
-
|
7,223,950
|
||||||||||||
Total Investments
|
$
|
7,223,950
|
$
|
129,067,999
|
$
|
28,658,482
|
$
|
164,950,431
|
||||||||
Other Financial Instruments(1)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Forward currency contracts
|
$
|
-
|
$
|
446,262
|
$
|
-
|
$
|
446,262
|
||||||||
Swap contracts
|
-
|
(106,739
|
)
|
-
|
(106,739
|
)
|
||||||||||
Total
|
$
|
-
|
$
|
339,523
|
$
|
-
|
$
|
339,523
|
Quantitative Information about Level 3 Fair Value Measurements
|
||||||
Value as of
March 31, 2022
|
Valuation
Approach
|
Valuation
Methodology
|
Unobservable
Input
|
Amount or
Range/
(Weighted Average)
|
Impact to
Valuation
from an
Increase
in Input(1)
|
|
Senior Loans
|
$ 1,311,074
|
Income
Approach
|
Discounted
Cash Flow
|
Yield (Discount
Rate of
Cash Flows)
|
9.0%-10.0%
(9.5%)
|
Decrease
|
Private Asset-Backed Debt
|
25,022,689
|
Income
Approach
|
Discounted
Cash Flow
|
Yield (Discount
Rate of
Cash Flows)
|
8.7%-14.5%
(11.0%)
|
Decrease
|
Common Stock
|
189,480
|
Market
Approach
|
Comparable
Companies
|
Earnings Multiple
|
10x - 12x
(11x)
|
Increase
|
Preferred Stock
|
2,015,801
|
Income
Approach
|
Discounted
Cash Flow
|
Yield (Discount
Rate of
Cash Flows)
|
11.3% - 11.8%
(11.6%)
|
Decrease
|
Warrants
|
119,438
|
Other
|
Black Scholes
|
Volatility
|
65% - 75%
(70%)
|
Increase
|
Total
|
$28,658,482
|
|||||
(1) The impact represents the expected directional change in the fair value of the Level 3 investments that would result
from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements.
|
Senior
Loans
|
Private
Asset-Backed
Debt
|
Common
Stock
|
Preferred
Stock
|
Warrants
|
Total
|
|||||||||||||||||||
Balance as of December 31, 2021
|
$
|
1,327,206
|
$
|
11,238,378
|
$
|
200,000
|
$
|
-
|
$
|
-
|
$
|
12,765,584
|
||||||||||||
Accrued discounts (premiums)
|
590
|
18,999
|
-
|
-
|
-
|
19,589
|
||||||||||||||||||
Realized gain (loss)
|
169
|
7,240
|
-
|
-
|
-
|
7,409
|
||||||||||||||||||
Change in unrealized appreciation (depreciation)
|
59
|
(10,722
|
)
|
1,777
|
23,512
|
(16,723
|
)
|
(2,097
|
)
|
|||||||||||||||
Purchases at cost
|
-
|
13,828,193
|
(12,297
|
)
|
1,992,289
|
136,161
|
15,944,346
|
|||||||||||||||||
Sales proceeds
|
(16,950
|
)
|
(59,399
|
)
|
-
|
-
|
-
|
(76,349
|
)
|
|||||||||||||||
Balance as of March 31, 2022
|
$
|
1,311,074
|
$
|
25,022,689
|
$
|
189,480
|
$
|
2,015,801
|
$
|
119,438
|
$
|
28,658,482
|
||||||||||||
Change in unrealized gains or losses relating
to assets still held at the reporting
|
$
|
59
|
$
|
(10,722
|
)
|
$
|
1,777
|
$
|
23,512
|
$
|
(16,723
|
)
|
$
|
(2,098
|
)
|
3.
|
Credit Facility
|