| Borrower | Principal Amount | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
| Grupo Aeromexico 13.5% (LIBOR03M + 12.5%) 8/19/22 | $2,033,874 | $2,033,874 | $2,033,874 | $— | ||||
| Grupo Aeromexico 9% (LIBOR03M + 8%) 12/31/21 | 2,500,000 | 2,500,000 | 2,500,000 | — | ||||
| Peraton TBD 2/24/28 | 1,364,611 | 1,357,788 | 1,365,180 | 7,392 | ||||
| TricorBraun 0.50% (LIBOR04M + 0.50%) 3/3/28 | 175,731 | 175,731 | 174,399 | (1,332) |
| Foreign Currency Exchange Contracts | ||||||||||||
| Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
| CITI | TRY | (36,230,000) | USD | 4,327,261 | 4/1/21 | $— | $(57,116) | |||||
| JPMCB | EUR | (2,765,000) | USD | 3,299,831 | 4/28/21 | 55,432 | — | |||||
| Total Foreign Currency Exchange Contracts | $55,432 | $(57,116) | ||||||||||
| Futures Contracts Exchange-Traded | |||||||||||
| Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Variation Margin Due from (Due to) Brokers | ||||||
| (21) | US Treasury 10 yr Ultra Notes | $(3,017,437) | $(3,123,534) | 6/21/21 | $106,097 | $7,219 | |||||
| (293) | US Treasury 10 yr Notes | (38,364,688) | (38,643,231) | 6/21/21 | 278,543 | 73,250 | |||||
| Total Futures Contracts | $(41,766,765) | $384,640 | $80,469 | ||||||||
| CDS Contracts1 | ||||||||||||
| Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | ||||||
| Over-The-Counter: | ||||||||||||
| Protection Purchased/Moody’s Ratings: | ||||||||||||
| JPMCB-Mexico 10.375% Baa2 6/20/26-Quarterly | 3,881,000 | 1.000% | $27,243 | $30,329 | $(3,086) | $— | ||||||
| JPMCB-Republic of Colombia 3.6% Baa2 6/20/26-Quarterly | 3,868,000 | 1.000% | 68,296 | 68,296 | — | — | ||||||
| $95,539 | $98,625 | $(3,086) | $— | |||||||||
| 1 | A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the CDS agreement. |
| 2 | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
| 3 | Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(7,693). |
| Summary of abbreviations: |
| BB – Barclays Bank |
| CITI – Citigroup |
| CLO – Collateralized Loan Obligation |
| DAC – Designated Activity Company |
| DB – Deutsche Bank |
| DIFC – Dubai International Financial Centre |
| FREMF – Freddie Mac Multifamily |
| GNMA – Government National Mortgage Association |
| GS – Goldman Sachs |
| ICE – Intercontinental Exchange, Inc. |
| JPM – JPMorgan |
| JPMCB – JPMorgan Chase Bank |
| JSC – Joint Stock Company |
| LIBOR – London interbank offered rate |
| LIBOR01M – ICE LIBOR USD 1 Month |
| LIBOR03M – ICE LIBOR USD 3 Month |
| LIBOR06M – ICE LIBOR USD 6 Month |
| PIK – Payment-in-kind |
| REMIC – Real Estate Mortgage Investment Conduit |
| S.F. – Single Family |
| SOFR – Secured Overnight Financing Rate |
| TBD – To be determined |
| yr – Year |
| Summary of currencies: |
| EUR – European Monetary Unit |
| IDR – Indonesia Rupiah |
| MYR – Malaysia Ringgit |
| TRY – Turkish Lira |
| USD – US Dollar |