DoubleLine Income Solutions Fund

Schedule of Investments

December 31, 2023 (Unaudited)

 

 

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    

Asset Backed Obligations - 1.9%

 

10,000,000   Air Canada, Series 2020-1-C     10.50 % (a)    07/15/2026     10,909,000  
1,150,000   Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A-D     5.83 % (a)    01/18/2028     1,099,468  
2,000,000   Blue Stream Issuer LLC, Series 2023-1A-C     8.90 % (a)    05/20/2053     1,878,213  
459,460   Castlelake Aircraft Securitization Trust, Series 2018-1-C     6.63 % (a)(b)    06/15/2043     142,873  
1,969,303   Castlelake Aircraft Structured Trust, Series 2021-1A-C     7.00 % (a)(b)    01/15/2046     1,405,442  
447,094   Pagaya AI Debt Selection Trust, Series 2020-3-C     6.43 % (a)    05/17/2027     446,389  
2,750,000   Pagaya AI Debt Selection Trust, Series 2021-3-CERT     0.00 % (a)(b)(c)    05/15/2029     73,194  
262,615   Pagaya AI Debt Selection Trust, Series 2022-1-A     2.03 % (a)    10/15/2029     258,668  
587,213   Pagaya Al Debt Trust, Series 2022-2-AB     5.47 % (a)(h)    01/15/2030     583,706  
902,047   Sierra Timeshare Receivable Funding LLC, Series 2023-2A-D     9.72 % (a)    04/20/2040     930,364  
55,000   SoFi Alternative Consumer Loan Program, Series 2021-2-R1     0.00 % (a)(b)(c)    08/15/2030     584,136  
50,000   SoFi Professional Loan Program LLC, Series 2018-A-R1, Series 2018-A-R1     0.00 % (a)(b)(c)    02/25/2042     559,646  
14,827   SoFi Professional Loan Program LLC, Series 2018-A-R2, Series 2018-A-R2     0.00 % (a)(b)(c)    02/25/2042     165,957  
100,000   SoFi Professional Loan Program Trust, Series 2018-C-R1     0.00 % (a)(b)(c)    01/25/2048     879,898  
546,228   START Ltd., Series 2019-1-C     6.41 % (a)(b)    03/15/2044     202,140  
4,300,000   Summit Issuer LLC, Series 2020-1A-C     5.10 % (a)    12/20/2050     3,862,068  
       

 

 

  

Total Asset Backed Obligations (Cost $24,862,113)

        23,981,162  
       

 

 

  

Bank Loans - 14.8%

 

2,848,500   AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor)     10.43 %    04/20/2028     2,930,622  
3,391,500   Access CIG LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.00%, 0.50% Floor)     10.39 %    08/15/2028     3,401,403  
950,000   Acuris Finance, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%, 0.50% Floor)     9.50 %    02/16/2028     951,040  
1,985,000   AI Aqua Merger Sub, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.75%, 0.50% Floor)     9.09 %    07/31/2028     1,988,990  
3,944,925   American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.25%, 0.75% Floor)     11.91 %    10/20/2028     3,320,641  
4,655,000   Applied Systems, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.75%, 0.75% Floor)     12.10 %    09/17/2027     4,692,822  
2,000,000   Artera Services LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 1.00% Floor)     12.74 %    03/06/2026     1,376,570  
2,165,000   Ascend Learning LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.75%, 0.50% Floor)     11.21 %    12/10/2029     1,877,748  
2,076,527   Aspen Dental Management, Inc.     11.11 % (d)    12/23/2027     2,050,570  
1,506,559   Astra Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.50% Floor)     10.86 %    10/25/2028     982,404  
9,662,677   Astra Acquisition Corporation, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.88%, 0.75% Floor)     14.48 %    10/25/2029     4,686,398  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
905,000   Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%)     10.72 %        01/31/2028     865,026  
4,225,000   Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%)     10.72 %    01/22/2029     3,997,568  
1,294,859   Athenahealth Group, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.25%, 0.50% Floor)     8.60 %    02/15/2029     1,290,975  
3,988,200   Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor)     10.88 %    05/08/2028     2,381,294  
7,855,000   Aveanna Healthcare LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.00%, 0.50% Floor)     12.54 %    12/10/2029     5,838,896  
895,905   Bausch & Lomb Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.25%, 0.50% Floor)     8.76 %    05/10/2027     888,630  
2,239,388   Bausch & Lomb Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%)     9.36 %    09/29/2028     2,242,187  
937,847   BCPE Empire Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor)     10.10 %    12/11/2028     941,542  
3,855,000   Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.25%)     9.60 %    12/29/2028         3,888,249  
2,019,693   BYJU’s Alpha, Inc. (Prime Rate + 7.00%, 0.75% Floor)     15.50 %    11/24/2026     738,875  
472,625   Carnival Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.00%, 0.75% Floor)     8.32 %    08/09/2027     474,397  
5,381,138   Cengage Learning, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%, 1.00% Floor)     10.41 %    07/14/2026     5,405,003  
940,116   Clear Channel Outdoor Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.50%)     9.14 %    08/21/2026     932,083  
1,886,275   Clydesdale Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.18%, 0.50% Floor)     9.63 %    04/13/2029     1,896,885  
1,977,938   Connect US Finco LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 1.00% Floor)     8.85 %    12/11/2026     1,981,102  
525,964   Corelogic, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 0.50% Floor)     8.97 %    06/02/2028     513,255  
1,424,018   Cornerstone Building Brands, Inc, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.25%, 0.50% Floor)     8.67 %    04/12/2028     1,426,837  
1,750,613   Cross Financial Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor)     9.46 %    09/15/2027     1,754,989  
1,973,676   Deerfield Dakota Holding LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.75%, 1.00% Floor)     9.10 %    04/09/2027     1,958,873  
1,645,000   Delta Topco, Inc., Senior Secured Second Lien Term Loan (6 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor)     12.62 %    12/01/2028     1,650,552  
1,630,000   DexKo Global, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%)     9.60 %    10/04/2028     1,630,000  
2,425,000   DG Investment Intermediate Holdings 2, Inc. (1 Month Secured Overnight Financing Rate + 6.75%, 0.75% Floor)     12.22 %    03/29/2029     2,198,663  
3,845,906   DirectTV Financing LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.00%, 0.75% Floor)     10.65 %    08/02/2027     3,852,886  
686,899   Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%)     9.35 %    08/24/2028     689,533  
2,766,361   Eisner Advisory Group LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor)     10.72 %    07/28/2028     2,775,587  
195,395   Element Materials Technology Group US Holdings, Inc., Senior Secured First Lien Delayed-Draw Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.74 %    06/22/2029     194,174  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
423,355   Element Materials Technology Group US Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.74 %    06/22/2029     420,709  
573,563   EnergySolutions LLC (3 Month Secured Overnight Financing Rate + 4.00%, 0.50% Floor)     9.38 %    09/18/2030     574,280  
1,344,735   Fertitta Entertainment LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 0.50% Floor)     9.36 %    01/29/2029     1,347,048  
2,205,000   FinThrive Software Intermediate Holdings, Inc. (1 Month Secured Overnight Financing Rate + 6.75%, 0.50% Floor)     12.22 %    12/17/2029     1,330,166  
3,287,000   Flynn Canada Ltd., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.50%, 0.50% Floor)     9.97 %    07/21/2028     3,213,043  
1,892,797   Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.00%, 1.50% Floor)     13.45 % (b)       06/30/2027     1,892,798  
6,272,983   Gainwell Acquisition Corporation (3 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor)     9.45 %    10/01/2027     6,116,158  
970,813   Getty Images, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.50%)     9.95 %    02/19/2026     976,516  
531,241   GIP II Blue Holding LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.50%, 1.00% Floor)     9.96 %    09/29/2028     534,378  
3,333,890   Grab Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.50%, 1.00% Floor)     9.97 %    01/29/2026     3,352,644  
3,658,846   Greystone Select Financial LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.00%, 0.75% Floor)     10.66 %    06/16/2028     3,640,552  
2,918,195   Groupe Solmax, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor)     10.36 %    07/23/2028     2,810,586  
5,009,781   Gulf Finance LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.75%, 1.00% Floor)     12.22 %    08/25/2026     5,022,306  
2,230,000   Helios Software Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%)     9.70 %    07/18/2030     2,231,628  
1,024,540   Hexion Holdings Corporation, Term Loan (3 Month Secured Overnight Financing Rate + 4.50%, 0.50% Floor)     10.02 %    03/15/2029     987,037  
1,087,125   ION Trading Technologies SARL (3 Month Secured Overnight Financing Rate + 4.75%)     10.20 %    03/31/2028     1,089,761  
713,575   Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor)     10.39 %    07/07/2028     49,440  
1,328,325   Kenan Advantage Group, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor)     9.47 %    03/24/2026         1,327,083  
1,188,919   LaserShip, Inc., Senior Secured First Lien Term Loan (6 Month Secured Overnight Financing Rate + 4.50%, 0.75% Floor)     10.40 %    05/08/2028     1,095,291  
1,025,000   LaserShip, Inc., Senior Secured Second Lien Term Loan (6 Month Secured Overnight Financing Rate + 7.50%, 0.75% Floor)     13.40 %    04/30/2029     861,000  
1,925,144   LBM Acquisition LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.75%, 0.75% Floor)     9.21 %    12/17/2027     1,906,798  
728,873   Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 1.00%)     6.47 %    06/30/2025     304,913  
52,939   Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.00%)     8.47 %    06/30/2024     36,793  
1,110,101   Lereta LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor)     10.72 %    07/27/2028     852,003  
3,065,000   LifePoint Health, Inc., Term Loan (3 Month Secured Overnight Financing Rate + 5.50%)     11.17 %    11/16/2028     3,061,552  
1,489,250   LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor)     12.60 %    03/31/2029     1,457,603  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
605,500   Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 1.00% Floor)     10.77 %        06/21/2027     627,125  
5,766,219   Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%)     10.21 %    03/27/2026     5,774,954  
1,920,000   Mitchell International, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.50%, 0.50% Floor)     12.15 %    10/15/2029     1,890,605  
2,920,000   MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.75%)     14.22 %    11/30/2026     255,500  
905,000   NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 7.00%)     12.47 %    10/19/2026     728,525  
992,506   Nouryon Finance B.V., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%)     9.35 %    04/03/2028     997,623  
2,698,238   Olympus Water US Holding Corporation, Term Loan (3 Month Secured Overnight Financing Rate + 5.00%, 0.50% Floor)     10.35 %    11/09/2028     2,717,355  
1,686,565   OMNIA Partners LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%)     9.63 %    07/25/2030         1,699,223  
2,410,000   Ontario Gaming GTA LP, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.64 %    08/01/2030     2,423,339  
679,031   OYO Hospitality Netherlands B.V., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.25%, 0.75% Floor)     13.88 %    06/23/2026     633,763  
2,774,038   Par Petroleum, LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.74 %    02/28/2030     2,778,892  
1,850,558   PECF USS Intermediate Holding Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.89 %    12/15/2028     1,453,743  
680,750   Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor)     9.45 %    12/14/2027     683,943  
2,260,595   Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%)     10.21 %    03/11/2026     2,265,998  
2,860,000   Pretium PKG Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.75%, 0.50% Floor)     12.21 %    10/01/2029     1,137,865  
4,716,747   Pug LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.72 %    02/16/2027     4,693,163  
1,297,809   Riverbed Technology, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.50% + 2.00% PIK, 1.00% Floor)     9.85 %    07/01/2028     895,488  
165,000   Simon & Schuster, Term Loan (3 Month Secured Overnight Financing Rate + 4.00%)     9.39 %    10/30/2030     165,722  
1,337,359   Skillsoft Finance II, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.25%, 0.75% Floor)     10.69 %    07/14/2028     1,263,804  
3,771,145   Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.75%)     12.39 %    06/26/2026     309,234  
937,749   Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 1.00% Floor)     9.46 %    10/05/2027     935,991  
457,659   SRS Distribution, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 0.50% Floor)     8.97 %    06/02/2028     458,995  
294,385   Standard Aero Ltd. (1 Month Secured Overnight Financing Rate + 4.00%)     9.35 %    08/24/2028     295,514  
1,286,751   Tekni-Plex, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.50% Floor)     10.64 %    09/15/2028     1,292,863  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
2,144,391   The Edelman Financial Engines Centre LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 0.75% Floor)     8.97 %    04/07/2028     2,150,095  
4,200,000   The Edelman Financial Engines Centre LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.75%)     12.22 %    07/20/2026     4,207,875  
4,548,752   Travelport Finance (Luxembourg) SARL (3 Month Secured Overnight Financing Rate + 7.00%, 1.00% Floor)     12.65 %    02/28/2025     4,414,814  
860,000   UKG, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.25%, 0.50% Floor)     10.76 %    05/03/2027     863,302  
618,251   Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor)     10.11 %    10/26/2026     598,158  
1,418,503   Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%)     9.47 %    08/27/2025     1,425,000  
3,643,696   Viad Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.00%, 0.50% Floor)     10.47 %    07/31/2028     3,639,142  
2,059,785   Vibrantz Technologies, Inc. (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.81 %    04/23/2029     1,978,898  
1,960,000   VT Topco, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor)     9.66 %    08/09/2030     1,972,250  
3,374,877   WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.75%, 1.00% Floor)     11.39 %    06/22/2026     3,384,174  
490,000   WWEX UNI TopCo Holdings LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.00%, 0.75% Floor)     12.61 %    07/26/2029     421,400  
       

 

 

  

Total Bank Loans (Cost $207,842,807)

       188,593,690  
       

 

 

  

Collateralized Loan Obligations - 12.5%

 

3,000,000   Apidos, Series 2016-24A-DR (Secured Overnight Financing Rate 3 Month + 6.06%)     11.48 % (a)       10/20/2030     2,837,810  
2,500,000   Atrium Corporation, Series 15A-E (Secured Overnight Financing Rate 3 Month + 6.11%, 5.85% Floor)     11.52 % (a)    01/23/2031     2,449,729  
3,000,000   Bain Capital Credit Ltd., Series 2017-2A-ER2 (Secured Overnight Financing Rate 3 Month + 7.12%, 6.86% Floor)     12.50 % (a)    07/25/2034     2,844,558  
2,250,000   Barings Ltd., Series 2015-2A-ER (Secured Overnight Financing Rate 3 Month + 6.71%)     12.13 % (a)    10/20/2030     2,105,402  
1,500,000   Barings Ltd., Series 2018-4A-E (Secured Overnight Financing Rate 3 Month + 6.08%, 5.82% Floor)     11.48 % (a)    10/15/2030     1,421,228  
5,000,000   Barings Ltd., Series 2019-2A-DR (Secured Overnight Financing Rate 3 Month + 7.04%, 6.78% Floor)     12.44 % (a)    04/15/2036     4,972,444  
1,000,000   Barings Ltd., Series 2020-1A-ER (Secured Overnight Financing Rate 3 Month + 6.91%, 6.65% Floor)     12.31 % (a)    10/15/2036     999,831  
6,500,000   Buttermilk Park Ltd., Series 2018-1A-E (Secured Overnight Financing Rate 3 Month + 6.01%, 5.75% Floor)     11.41 % (a)    10/15/2031     6,134,965  
2,500,000   Canyon Capital Ltd., Series 2016-1A-ER (Secured Overnight Financing Rate 3 Month + 6.01%)     11.41 % (a)    07/15/2031     2,335,440  
6,650,000   Canyon Capital Ltd., Series 2017-1A-E (Secured Overnight Financing Rate 3 Month + 6.51%)     11.91 % (a)    07/15/2030     6,026,798  
2,500,000   Canyon Capital Ltd., Series 2018-1A-E (Secured Overnight Financing Rate 3 Month + 6.01%, 5.75% Floor)     11.41 % (a)    07/15/2031     2,342,177  
1,000,000   Canyon Capital Ltd., Series 2021-1A-E (Secured Overnight Financing Rate 3 Month + 6.67%, 6.41% Floor)     12.07 % (a)    04/15/2034     951,894  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
6,000,000   Canyon Capital Ltd., Series 2021-2A-E (Secured Overnight Financing Rate 3 Month + 6.96%, 6.96% Floor)     12.36 % (a)    04/15/2034     5,753,074  
2,000,000   Carlyle Global Market Strategies Ltd., Series 2013-3A-DR (Secured Overnight Financing Rate 3 Month + 5.76%)     11.16 % (a)    10/15/2030     1,871,895  
3,000,000   Carlyle Global Market Strategies Ltd., Series 2019-1A-D (Secured Overnight Financing Rate 3 Month + 6.96%, 6.70% Floor)     12.38 % (a)    04/20/2031     2,920,690  
1,500,000   Chenango Park Ltd., Series 2018-1A-D (Secured Overnight Financing Rate 3 Month + 6.06%, 5.80% Floor)     11.46 % (a)    04/15/2030     1,401,970  
750,000   CIFC Funding Ltd., Series 2013-1A-DR (Secured Overnight Financing Rate 3 Month + 6.91%)     12.31 % (a)    07/16/2030     721,882  
2,500,000   Dryden Ltd., Series 2018-55A-F (Secured Overnight Financing Rate 3 Month + 7.46%)     12.86 % (a)(b)    04/15/2031     1,960,286  
3,000,000   Dryden Senior Loan Fund, Series 2015-37A-ER (Secured Overnight Financing Rate 3 Month + 5.41%, 5.15% Floor)     10.81 % (a)    01/15/2031     2,509,261  
1,250,000   Galaxy Ltd., Series 2017-24A-E (Secured Overnight Financing Rate 3 Month + 5.76%)     11.16 % (a)    01/15/2031     1,191,885  
1,232,417   Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (Secured Overnight Financing Rate 3 Month + 5.26%)     10.65 % (a)(b)    04/28/2025     282,467  
1,416,435   Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E (Secured Overnight Financing Rate 3 Month + 6.01%)     11.40 % (a)(b)      04/28/2025     154  
3,500,000   LCM LP, Series 14A-FR (Secured Overnight Financing Rate 3 Month + 7.87%)     13.29 % (a)(b)    07/20/2031     1,781,214  
5,000,000   LCM LP, Series 17A-ER (Secured Overnight Financing Rate 3 Month + 6.26%, 6.00% Floor)     11.66 % (a)(b)    10/15/2031     3,626,588  
6,500,000   LCM LP, Series 26A-E (Secured Overnight Financing Rate 3 Month + 5.56%, 5.30% Floor)     10.98 % (a)    01/20/2031     5,070,447  
2,000,000   LCM LP, Series 28A-E (Secured Overnight Financing Rate 3 Month + 6.01%, 5.75% Floor)     11.43 % (a)    10/20/2030     1,561,677  
11,000,000   Madison Park Funding Ltd., Series 2014-14A-ER (Secured Overnight Financing Rate 3 Month + 6.06%, 5.80% Floor)     11.47 % (a)    10/22/2030        10,584,605  
1,000,000   Madison Park Funding Ltd., Series 2019-34A-ER (Secured Overnight Financing Rate 3 Month + 6.91%, 6.65% Floor)     12.29 % (a)    04/25/2032     1,014,344  
2,000,000   Madison Park Funding Ltd., Series 2019-37A-ER (Secured Overnight Financing Rate 3 Month + 6.41%, 6.15% Floor)     11.81 % (a)    07/15/2033     1,981,182  
500,000   Magnetite Ltd., Series 2020-26A-ER (Secured Overnight Financing Rate 3 Month + 6.21%, 5.95% Floor)     11.59 % (a)    07/25/2034     490,957  
500,000   Marble Point Ltd., Series 2018-1A-D (Secured Overnight Financing Rate 3 Month + 3.26%)     8.66 % (a)    07/16/2031     448,482  
2,000,000   Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (Secured Overnight Financing Rate 3 Month + 6.51%, 6.25% Floor)     11.91 % (a)    04/15/2034     1,946,613  
1,000,000   Neuberger Berman Loan Advisers Ltd., Series 2019-31A-ER (Secured Overnight Financing Rate 3 Month + 6.76%, 6.50% Floor)     12.18 % (a)    04/20/2031     988,160  
1,750,000   Neuberger Berman Loan Advisers Ltd., Series 2019-32A-ER (Secured Overnight Financing Rate 3 Month + 6.36%, 6.10% Floor)     11.76 % (a)    01/20/2032     1,708,723  
2,250,000   Neuberger Berman Loan Advisers Ltd., Series 2019-33A-ER (Secured Overnight Financing Rate 3 Month + 6.51%, 6.25% Floor)     11.91 % (a)    10/16/2033     2,204,949  
2,000,000   Newark BSL Ltd., Series 2017-1A-D (Secured Overnight Financing Rate 3 Month + 6.56%)     11.94 % (a)    07/25/2030     1,859,514  
5,000,000   Octagon Investment Partners Ltd., Series 2012-1A-DR (Secured Overnight Financing Rate 3 Month + 7.41%)     12.81 % (a)    07/15/2029     4,064,103  
8,750,000   Octagon Investment Partners Ltd., Series 2013-1A-ER (Secured Overnight Financing Rate 3 Month + 6.01%, 5.75% Floor)     11.41 % (a)    07/17/2030     7,884,998  
5,460,000   Octagon Investment Partners Ltd., Series 2013-1A-ER (Secured Overnight Financing Rate 3 Month + 7.26%)     12.66 % (a)    07/19/2030     5,046,377  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
3,000,000   Octagon Investment Partners Ltd., Series 2016-1A-ER (Secured Overnight Financing Rate 3 Month + 7.51%)     12.91 % (a)    01/24/2033     2,805,838  
2,000,000   Octagon Investment Partners Ltd., Series 2016-1A-FR (Secured Overnight Financing Rate 3 Month + 8.35%, 8.35% Floor)     13.75 % (a)(b)    07/15/2030     1,478,359  
4,000,000   Octagon Investment Partners Ltd., Series 2017-1A-D (Secured Overnight Financing Rate 3 Month + 6.46%)     11.88 % (a)(b)    03/17/2030     3,607,224  
500,000   Octagon Investment Partners Ltd., Series 2019-1A-DR (Secured Overnight Financing Rate 3 Month + 3.51%, 3.25% Floor)     8.91 % (a)    10/15/2034     473,129  
2,000,000   Octagon Investment Partners Ltd., Series 2019-3A-ER (Secured Overnight Financing Rate 3 Month + 7.01%, 6.75% Floor)     12.41 % (a)    07/15/2034     1,962,061  
1,000,000   Octagon Investment Partners Ltd., Series 2020-2A-ER (Secured Overnight Financing Rate 3 Month + 6.86%, 6.60% Floor)     12.26 % (a)    07/15/2036     896,319  
500,000   Point Au Roche Park Ltd., Series 2021-1A-E (Secured Overnight Financing Rate 3 Month + 6.36%, 6.10% Floor)     11.78 % (a)    07/20/2034     474,681  
2,400,000   Sound Point Ltd., Series 2019-2A-ER (Secured Overnight Financing Rate 3 Month + 6.73%, 6.47% Floor)     12.13 % (a)    07/15/2034     1,975,746  
500,000   Sound Point Ltd., Series 2020-2A-ER (Secured Overnight Financing Rate 3 Month + 6.82%, 6.56% Floor)     12.20 % (a)    10/25/2034     443,120  
2,000,000   Sound Point Ltd., Series 2021-3A-E (Secured Overnight Financing Rate 3 Month + 6.87%, 6.61% Floor)     12.25 % (a)    10/25/2034     1,651,490  
7,500,000   Steward Park Ltd., Series 2015-1A-ER (Secured Overnight Financing Rate 3 Month + 5.54%, 5.28% Floor)     10.94 % (a)    01/15/2030     6,759,828  
2,000,000   THL Credit Wind River Ltd., Series 2013-2A-E1R (Secured Overnight Financing Rate 3 Month + 7.01%)     12.41 % (a)(b)      10/18/2030     1,741,844  
3,500,000   THL Credit Wind River Ltd., Series 2014-2A-ER (Secured Overnight Financing Rate 3 Month + 6.01%, 5.75% Floor)     11.41 % (a)(b)    01/15/2031         2,818,912  
2,000,000   THL Credit Wind River Ltd., Series 2014-3A-ER2 (Secured Overnight Financing Rate 3 Month + 6.48%, 6.22% Floor)     11.89 % (a)    10/22/2031     1,495,828  
5,000,000   THL Credit Wind River Ltd., Series 2017-1A-ER (Secured Overnight Financing Rate 3 Month + 7.32%, 7.06% Floor)     12.72 % (a)    04/18/2036     4,496,967  
3,000,000   THL Credit Wind River Ltd., Series 2017-3A-ER (Secured Overnight Financing Rate 3 Month + 7.31%, 7.05% Floor)     12.71 % (a)    04/15/2035     2,799,380  
1,000,000   THL Credit Wind River Ltd., Series 2018-1A-E (Secured Overnight Financing Rate 3 Month + 5.76%)     11.16 % (a)    07/15/2030     925,298  
1,000,000   THL Credit Wind River Ltd., Series 2018-2A-E (Secured Overnight Financing Rate 3 Month + 6.01%)     11.41 % (a)    07/15/2030     914,491  
7,200,000   Venture Ltd., Series 2016-24A-E (Secured Overnight Financing Rate 3 Month + 6.98%)     12.40 % (a)    10/20/2028     5,740,656  
5,000,000   Venture Ltd., Series 2017-26A-E (Secured Overnight Financing Rate 3 Month + 7.06%)     12.48 % (a)    01/20/2029     3,081,209  
4,000,000   Venture Ltd., Series 2017-27A-E (Secured Overnight Financing Rate 3 Month + 6.61%)     12.03 % (a)    07/20/2030     2,530,063  
1,500,000   Voya Ltd., Series 2017-1A-D (Secured Overnight Financing Rate 3 Month + 6.36%)     11.76 % (a)    04/17/2030     1,336,233  
1,000,000   Voya Ltd., Series 2018-2A-E (Secured Overnight Financing Rate 3 Month + 5.51%, 5.25% Floor)     10.91 % (a)    07/15/2031     906,562  
1,000,000   Voya Ltd., Series 2018-2A-F (Secured Overnight Financing Rate 3 Month + 7.55%, 7.29% Floor)     12.95 % (a)    07/15/2031     733,936  
       

 

 

  

Total Collateralized Loan Obligations (Cost $181,608,954)

     158,347,947  
       

 

 

  

Foreign Corporate Bonds - 37.5%

 

9,400,000   ABM Investama Tbk PT     9.50 % (a)    08/05/2026     9,004,079  
5,400,000   Adani Electricity Mumbai Ltd.     3.87 %    07/22/2031     4,199,902  
3,372,500   Adani International Container Terminal Private Ltd.     3.00 %    02/16/2031     2,768,354  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
4,200,000   Adani Ports & Special Economic Zone Ltd.     3.10 %    02/02/2031     3,208,716  
17,580,000   Adani Ports & Special Economic Zone Ltd.     5.00 %    08/02/2041     13,003,130  
12,357,470   Adani Transmission Step-One Ltd.     4.25 %    05/21/2036     9,973,343  
2,000,000   AI Candelaria Spain S.A.     5.75 % (a)    06/15/2033     1,552,880  
23,092,000   AI Candelaria Spain S.A.     5.75 %    06/15/2033     17,929,552  
1,500,000   Alibaba Group Holding Ltd.     3.25 %    02/09/2061     944,525  
376,662   Alpha Holdings S.A. de C.V.     10.00 % (a)(b)(f)    12/19/2024     5,650  
14,407,320   Alpha Holdings S.A. de C.V.     10.00 % (b)(f)    12/19/2024     216,110  
12,208,365   Alpha Holdings S.A. de C.V.     9.00 % (a)(b)(f)    02/10/2025     183,125  
5,939,205   Alpha Holdings S.A. de C.V.     9.00 % (b)(f)    02/10/2025     89,088  
3,300,000   ARD Finance S.A. (7.25% PIK)     6.50 % (a)    06/30/2027     1,545,341  
14,697,000   Aris Mining Corporation     6.88 %    08/09/2026     12,778,821  
18,331,000   Banco Davivienda S.A. (10 Year CMT Rate + 5.10%)     6.65 % (g)    04/22/2031     13,129,579  
16,800,000   Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%)     7.50 % (a)    04/16/2031     14,101,080  
8,805,000   Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%)     7.50 %    04/16/2031     7,390,477  
9,700,000   Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%)     6.63 % (g)    01/24/2032     8,264,400  
3,000,000   Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%)     6.63 % (a)(g)    01/24/2032     2,556,000  
17,700,000   Braskem Idesa SAPI     6.99 % (a)    02/20/2032        10,378,144  
20,000,000   Braskem Idesa SAPI     6.99 %    02/20/2032     11,726,717  
4,300,000   Braskem Netherlands Finance B.V.     8.50 %    01/12/2031     4,004,375  
7,200,000   Braskem Netherlands Finance B.V.     5.88 %    01/31/2050     4,997,403  
22,400,000   BRF S.A.     5.75 %    09/21/2050     16,758,491  
1,958,000   Calfrac Holdings LP     10.88 % (a)    03/15/2026     1,762,161  
4,648,000   Camposol S.A.     6.00 %    02/03/2027     3,239,920  
16,400,000   Canacol Energy Ltd.     5.75 %    11/24/2028     11,975,880  
550,000   CAP S.A.     3.90 %    04/27/2031     428,450  
300,000   CEMEX, S.A.B de C.V. (5 Year CMT Rate + 4.53%)     5.13 % (g)    06/08/2026     284,754  
6,547,775   CFG Investment S.A.C     10.00 %    11/07/2032     2,782,804  
4,413,196   CFG Investment S.A.C     13.98 % (b)(h)    11/07/2032     4,831,126  
2,800,000   Connect Finco LLC     6.75 % (a)    10/01/2026     2,785,677  
16,100,000   Coruripe Netherlands B.V.     10.00 %    02/10/2027     12,376,875  
17,286,000   Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)     9.13 % (f)(g)    11/29/2027     319,791  
9,150,000   Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)     9.13 % (a)(f)(g)    11/29/2027     169,275  
4,200,000   CSN Resources S.A.     4.63 %    06/10/2031     3,438,144  
300,000   CT Trust     5.13 %    02/03/2032     262,517  
9,508,709   Digicel Group Holdings Ltd.     0.00 % (a)(b)    12/31/2030     794,843  
91,218   Digicel Group Holdings Ltd.     0.00 % (a)(b)    12/31/2030     81,039  
2,983,048   Digicel Group Holdings Ltd.     0.00 % (a)(b)    12/31/2030     2,733,543  
4,135,902   Digicel Group Holdings Ltd.     0.00 % (a)(b)    12/31/2030     —   
1,375,000   eG Global Finance PLC     12.00 % (a)    11/30/2028     1,465,523  
8,450,000   Empresas Publicas de Medellin ESP     4.38 %    02/15/2031     6,920,799  
17,011,000   Frigorifico Concepcion S.A.     7.70 % (a)    07/21/2028     14,417,248  
6,160,000   Frigorifico Concepcion S.A.     7.70 %    07/21/2028     5,220,754  
3,000,000   Garda World Security Corporation     9.50 % (a)    11/01/2027     3,027,852  
4,205,000   Garda World Security Corporation     6.00 % (a)    06/01/2029     3,773,789  
25,500,000   Gran Tierra Energy, Inc.     9.50 % (a)    10/15/2029     22,412,843  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
10,700,000   IAMGOLD Corporation     5.75 %    10/15/2028     9,216,574  
1,500,000   Interpipe Holdings PLC     8.38 % (a)    05/13/2026     1,087,140  
5,925,566   Invepar Holdings     0.00 % (b)(f)    12/30/2028     —   
4,000,000   Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.22%)     4.63 % (g)    02/27/2025     3,521,695  
5,100,000   JBS USA Luxembourg S.A.     4.38 %    02/02/2052     3,801,688  
9,652,000   Kawasan Industri Jababeka Tbk PT     7.50 % (a)(e)    12/15/2027     8,011,160  
2,600,000   Kronos Acquisition Holdings, Inc.     7.00 % (a)    12/31/2027     2,485,834  
2,600,000   MARB BondCo PLC     3.95 %    01/29/2031     2,113,602  
25,025,916   MC Brazil Downstream Trading SARL     7.25 %    06/30/2031     19,643,843  
6,300,000   Metinvest B.V.     7.75 %    10/17/2029     3,861,113  
7,600,000   Mexarrend SAPI de C.V.     10.25 % (f)    07/24/2024     1,692,900  
17,360,000   Mexarrend SAPI de C.V.     10.25 % (a)(f)    07/24/2024     3,866,940  
4,100,000   Millicom International Cellular S.A.     4.50 %    04/27/2031     3,413,263  
23,000,000   Oi S.A.     10.00 % (f)    07/27/2025     1,150,000  
1,576,943   Oi S.A. (6.00% PIK)     14.00 % (a)    09/07/2024     1,576,943  
570,474   Oi S.A. (6.00% PIK)     14.00 % (a)(b)    09/07/2024     570,474  
1,740,000   Ontario Gaming GTA LP     8.00 % (a)    08/01/2030     1,795,628  
14,325,000   Operadora de Servicios Mega S.A. de C.V.     8.25 % (a)    02/11/2025     7,538,531  
7,665,000   Operadora de Servicios Mega S.A. de C.V.     8.25 %    02/11/2025     4,033,706  
13,400,000   Prime Energia S.p.A.     5.38 %    12/30/2030        10,480,586  
11,596,000   RKP Overseas Finance Ltd.     7.95 % (g)    02/17/2024     2,268,757  
2,650,000   Ronshine China Holdings Ltd.     6.75 % (f)    08/05/2024     62,275  
19,350,000   Ronshine China Holdings Ltd.     7.35 % (f)    12/15/2024     449,888  
10,200,000   Sasol Financing USA LLC     5.50 %    03/18/2031     8,602,262  
1,330,000   Seaspan Corporation     5.50 % (a)    08/01/2029     1,113,808  
5,400,000   SierraCol Energy Andina LLC     6.00 % (a)    06/15/2028     4,549,175  
11,103,000   SierraCol Energy Andina LLC     6.00 %    06/15/2028     9,353,610  
14,500,000   Simpar Europe S.A.     5.20 %    01/26/2031     12,576,213  
3,935,000   Telesat LLC     5.63 % (a)    12/06/2026     2,416,938  
3,021,000   Tervita Corporation     11.00 % (a)    12/01/2025     3,185,690  
4,229,000   Thaioil Treasury Center Company Ltd.     3.75 %    06/18/2050     2,983,702  
18,804,000   Tullow Oil PLC     10.25 % (a)    05/15/2026     16,797,613  
8,496,103   UEP Penonome S.A.     6.50 %    10/01/2038     6,481,008  
11,000,000   Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)     8.88 % (a)(f)(g)    01/29/2025     56,100  
24,000,000   Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)     8.88 % (f)(g)    01/29/2025     122,400  
13,400,000   Unigel Luxembourg S.A.     8.75 % (f)    10/01/2026     3,685,134  
16,183,000   UPL Corporation Ltd. (5 Year CMT Rate + 3.87%)     5.25 % (g)    02/27/2025     12,299,080  
18,200,000   Vedanta Resources Finance PLC     9.25 %    04/23/2026     11,179,679  
15,300,000   Vedanta Resources Ltd.     6.13 %    08/09/2024     10,188,332  
1,700,000   VTR Comunicaciones SpA     4.38 %    04/15/2029     851,454  
2,587,000   VTR Finance NV     6.38 %    07/15/2028     677,305  
       

 

 

  

Total Foreign Corporate Bonds (Cost $714,965,837)

     475,976,932  
     

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 13.8%

 

3,000,000   Brazilian Government International Bond     4.75 %    01/14/2050     2,317,867  
500,000   Colombia Government International Bond     4.13 %    02/22/2042     358,972  
16,000,000   Colombia Government International Bond     5.00 % (i)    06/15/2045     12,469,840  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
6,300,000   Colombia Government International Bond     5.20 %    05/15/2049     4,942,142  
12,000,000   Colombia Government International Bond     4.13 %    05/15/2051     8,015,274  
5,400,000   Comision Federal de Electricidad     4.68 %    02/09/2051     3,850,353  
10,750,000   Dominican Republic International Bond     5.88 %    01/30/2060     9,325,625  
6,500,000   Ecopetrol S.A.     5.88 %    05/28/2045     5,141,597  
25,000,000   Ecopetrol S.A.     5.88 %    11/02/2051     18,943,375  
10,000,000   Mexico City Airport Trust     5.50 %    07/31/2047     8,643,350  
8,000,000   Mexico Government International Bond     3.77 %    05/24/2061     5,448,763  
22,000,000   OCP S.A.     5.13 %    06/23/2051     16,756,938  
4,500,000   Panama Government International Bond     3.87 %    07/23/2060     2,706,421  
800,000   Petrobras Global Finance B.V.     5.50 %    06/10/2051     675,173  
29,500,000   Petroleos del Peru S.A.     5.63 %    06/19/2047     18,200,762  
17,200,000   Petroleos Mexicanos     6.38 % (i)    01/23/2045     11,226,340  
10,200,000   Petroleos Mexicanos     6.75 %    09/21/2047     6,686,875  
13,000,000   Republic of South Africa Government Bond     5.65 % (i)    09/27/2047     10,431,850  
3,500,000   Telecommunications Services of Trinidad & Tobago Ltd.     8.88 %    10/18/2029     3,193,348  
5,150,000   Ukraine Government International Bond     9.75 % (f)    11/01/2030     1,493,500  
15,000,000   Ukraine Government International Bond     7.25 % (f)    03/15/2035     3,647,565  
3,450,000   YPF S.A.     8.50 %    06/27/2029     3,198,623  
22,407,000   YPF S.A.     7.00 %    12/15/2047     16,950,376  
       

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $211,218,118)

       174,624,929  
     

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 13.7%

 

5,000,000   ACREC LLC, Series 2023-FL2-C (Secured Overnight Financing Rate 1 Month + 4.28%, 4.28% Floor)     9.64 % (a)    02/19/2038     4,986,910  
13,000,000   Alen Mortgage Trust, Series 2021-ACEN-F (Secured Overnight Financing Rate 1 Month + 5.11%, 5.00% Floor)     10.48 % (a)    04/15/2034     5,281,036  
81,197,613   BANK5, Series 2023-5YR4-XA     1.20 % (h)(j)    12/15/2056     3,293,383  
3,318,000   BDS Ltd., Series 2021-FL8-C (Secured Overnight Financing Rate 1 Month + 1.66%, 1.55% Floor)     7.02 % (a)    01/18/2036     3,217,717  
6,325,000   Beast Mortgage Trust, Series 2021-1818-G (Secured Overnight Financing Rate 1 Month + 6.11%, 6.25% Floor)     11.48 % (a)    03/15/2036     3,293,941  
121,775,000   Benchmark Mortgage Trust, Series 2020-B18-AGNX     0.47 % (a)(h)(j)    07/15/2053     807,015  
6,757,145   BSREP Commercial Mortgage Trust, Series 2021-DC-G (Secured Overnight Financing Rate 1 Month + 3.96%, 3.85% Floor)     9.33 % (a)    08/15/2038     3,908,608  
3,650,000   BX Commercial Mortgage Trust, Series 2019-IMC-D (Secured Overnight Financing Rate 1 Month + 1.95%, 1.90% Floor)     7.31 % (a)    04/15/2034     3,602,836  
10,200,000   Cantor Commercial Real Estate Lending, Series 2019-CF2-SWX1     1.28 % (a)(h)(j)    11/15/2052     615,260  
12,080,000   Cantor Commercial Real Estate Lending, Series 2019-CF2-SWX2     1.01 % (a)(h)(j)    11/15/2052     571,008  
8,095,225   Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (Secured Overnight Financing Rate 1 Month + 2.96%, 2.85% Floor)     8.33 % (a)    10/15/2035     7,183,173  
30,511,115   Citigroup Commercial Mortgage Trust, Series 2014-GC25-XG     1.20 % (a)(h)(j)    10/10/2047     203,387  
4,484,000   Citigroup Commercial Mortgage Trust, Series 2015-GC27-D     4.42 % (a)(h)    02/10/2048     3,760,826  
2,260,000   COMM Mortgage Trust, Series 2013-CR12-AM     4.30 %    10/10/2046     1,874,570  
3,929,315   Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-F     3.75 % (a)(b)    08/10/2047     491,290  
6,758,730   Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-G     3.75 % (a)(b)    08/10/2047     64,803  
14,000   Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-V     0.00 % (a)(b)(h)    08/10/2047     1  
18,438,000   Commercial Mortgage Pass-Through Trust, Series 2015-CR26-XD     1.21 % (a)(h)(j)    10/10/2048     343,883  
4,875,000   DOLP Trust, Series 2021-NYC-G     3.70 % (a)(h)    05/10/2041     2,137,422  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
1,433,000   FIVE Mortgage Trust, Series 2023-V1-D     6.40 % (a)(h)    02/10/2056     1,210,392  
10,000,000   Great Wolf Trust, Series 2019-WOLF-F (Secured Overnight Financing Rate 1 Month + 3.25%, 3.13% Floor)     8.81 % (a)    12/15/2036     9,828,078  
4,651,000   GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (Secured Overnight Financing Rate 1 Month + 5.11%, 5.00% Floor)     10.48 % (a)    11/15/2036     4,338,774  
7,896,000   GS Mortgage Securities Corporation Trust, Series 2021-ARDN-H (Secured Overnight Financing Rate 1 Month + 6.05%, 5.93% Floor)     11.41 % (a)    11/15/2026     7,339,071  
2,535,131   GS Mortgage Securities Trust, Series 2014-GC20-E     4.49 % (a)(b)(h)    04/10/2047     339,893  
6,273,000   GS Mortgage Securities Trust, Series 2015-GC28-D     4.31 % (a)(h)    02/10/2048     5,556,299  
43,855,609   JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC     0.55 % (a)(h)(j)    08/15/2046     1,493  
14,113,175   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E     4.00 % (a)(b)(h)    04/15/2047     12,163,412  
7,840,900   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F     3.75 % (a)(b)(h)    04/15/2047     5,674,676  
20,909,813   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR     3.75 % (a)(b)(h)    04/15/2047     1,805,546  
33,207,401   JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XD     0.72 % (a)(h)(j)    08/15/2047     122,834  
1,600,000   JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-D     3.87 % (a)(h)    01/15/2048     1,302,005  
5,000,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-E     2.81 % (a)(b)(h)    02/15/2048     1,679,042  
24,531,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-XE     1.50 % (a)(h)(j)    02/15/2048     306,733  
3,000,000   LoanCore Issuer Ltd., Series 2021-CRE5-C (Secured Overnight Financing Rate 1 Month + 2.46%, 2.46% Floor)     7.83 % (a)    07/15/2036     2,839,614  
2,379,000   LSTAR Commercial Mortgage Trust, Series 2017-5-C     4.67 % (a)(h)    03/10/2050     1,900,959  
14,928,355   Med Trust, Series 2021-MDLN-G (Secured Overnight Financing Rate 1 Month + 5.36%, 5.25% Floor)     10.73 % (a)    11/15/2038        14,340,898  
4,550,000   MF1 LLC, Series 2022-FL10-C (Secured Overnight Financing Rate 1 Month + 4.48%, 4.48% Floor)     9.84 % (a)    09/17/2037     4,558,782  
29,828,097   Morgan Stanley Capital Trust, Series 2016-UB11-XA     1.44 % (h)(j)    08/15/2049     873,468  
3,357,000   Morgan Stanley Capital Trust, Series 2019-PLND-F (Secured Overnight Financing Rate 1 Month + 2.91%, 2.80% Floor)     8.28 % (a)    05/15/2036     1,633,344  
13,000,000   Morgan Stanley Capital Trust, Series 2019-PLND-G (Secured Overnight Financing Rate 1 Month + 3.76%, 3.65% Floor)     9.13 % (a)    05/15/2036     3,160,638  
5,000,000   Natixis Commercial Mortgage Securities Trust, Series 2022-JERI-G (Secured Overnight Financing Rate 1 Month + 7.46%, 7.46% Floor)     12.82 % (a)    01/15/2039     4,418,905  
500,000,000   SCOTT Trust, Series 2023-SFS-X     0.12 % (a)(h)(j)    03/15/2040     3,378,500  
24,352,775   SMR Mortgage Trust, Series 2022-INDI-HRR (Secured Overnight Financing Rate 1 Month + 10.50%, 10.50% Floor)     15.86 % (b)    02/15/2039     20,102,680  
7,458,000   UBS Commercial Mortgage Trust, Series 2017-C6-D     2.50 % (a)(h)    12/15/2050     4,705,215  
4,870,000   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-E     3.25 % (a)(b)    08/15/2050     38,385  
4,870,000   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XC     1.58 % (a)(h)(j)    08/15/2050     13,460  
4,179,759   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XD     1.58 % (a)(h)(j)    08/15/2050     11,168  
9,180,600   Wells Fargo Commercial Mortgage Trust, Series 2015-C29-F     4.22 % (a)(b)(h)    06/15/2048     5,399,028  
38,737,225   Wells Fargo Commercial Mortgage Trust, Series 2015-C29-G     4.22 % (a)(b)(h)    06/15/2048     6,999,081  
23,520,000   Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-XEF     1.77 % (a)(h)(j)    10/15/2049     895,536  
2,200,000   Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D     3.25 % (a)    01/15/2060     1,602,857  
78,814,809   WF-RBS Commercial Mortgage Trust, Series 2014-LC14-XC     1.78 % (a)(h)(j)    03/15/2047     53,038  
       

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $251,118,397)

     174,230,873  
     

 

 

  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    

Non-Agency Residential Collateralized Mortgage Obligations - 2.6%

 

2,000,000   Connecticut Avenue Securities Trust, Series 2021-R02-2B2 (Secured Overnight Financing Rate 30 Day Average + 6.20%)     11.54 % (a)    11/25/2041     2,065,539  
3,000,000   Connecticut Avenue Securities Trust, Series 2021-R03-1B2 (Secured Overnight Financing Rate 30 Day Average + 5.50%, 5.50% Floor)     10.84 % (a)    12/25/2041     3,037,434  
5,000,000   Connecticut Avenue Securities Trust, Series 2022-R01-1B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%)     11.34 % (a)    12/25/2041     5,120,933  
4,500,000   Connecticut Avenue Securities Trust, Series 2022-R02-2B1 (Secured Overnight Financing Rate 30 Day Average + 4.50%)     9.84 % (a)    01/25/2042     4,643,577  
4,000,000   Connecticut Avenue Securities Trust, Series 2023-R05-1B2 (Secured Overnight Financing Rate 30 Day Average + 6.85%, 6.85% Floor)     12.19 % (a)    06/25/2043     4,181,493  
3,000,000   Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-HQA2-B2 (Secured Overnight Financing Rate 30 Day Average + 5.45%)     10.79 % (a)    12/25/2033     3,119,024  
5,130,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA1-B2 (Secured Overnight Financing Rate 30 Day Average + 4.75%)     10.09 % (a)    01/25/2051     5,253,520  
2,000,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA2-B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%)     11.34 % (a)    08/25/2033     2,242,964  
2,000,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-HQA1-B2 (Secured Overnight Financing Rate 30 Day Average + 5.00%)     10.34 % (a)    08/25/2033     2,030,060  
1,500,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2022-DNA2-B1 (Secured Overnight Financing Rate 30 Day Average + 4.75%)     10.09 % (a)    02/25/2042     1,555,517  
       

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $30,162,538)

        33,250,061  
     

 

 

  

US Corporate Bonds - 23.0%

 

3,770,000   Allied Universal Holdco LLC     9.75 % (a)    07/15/2027     3,698,433  
8,175,000   Artera Services LLC     9.03 % (a)    12/04/2025     7,741,112  
4,038,000   ASP Unifrax Holdings, Inc.     7.50 % (a)    09/30/2029     2,059,501  
3,245,000   Bausch & Lomb Escrow Corporation     8.38 % (a)    10/01/2028     3,427,336  
5,215,000   BCPE Empire Holdings, Inc.     7.63 % (a)    05/01/2027     5,034,045  
750,000   Boxer Parent Company, Inc.     7.13 % (a)    10/02/2025     754,822  
3,500,000   Brand Industrial Services, Inc.     10.38 % (a)    08/01/2030     3,705,730  
3,000,000   Caesars Entertainment, Inc.     8.13 % (a)    07/01/2027     3,077,352  
5,800,000   Carnival Corporation     7.63 % (a)(i)      03/01/2026     5,908,495  
3,000,000   Carnival Corporation     10.50 % (a)    06/01/2030     3,283,590  
8,280,000   Castle US Holding Corporation     9.50 % (a)    02/15/2028     4,313,673  
1,136,000   Clarios Global LP     6.75 % (a)    05/15/2025     1,146,707  
6,440,000   Clarios Global LP     8.50 % (a)    05/15/2027     6,474,525  
5,110,000   Clear Channel Outdoor Holdings, Inc.     7.50 % (a)(i)    06/01/2029     4,253,693  
3,815,000   ClubCorp Holdings, Inc.     8.50 % (a)(i)    09/15/2025     3,398,726  
4,665,000   Cobra AcquisitionCo LLC     6.38 % (a)    11/01/2029     3,601,147  
1,680,000   Community Health Systems, Inc.     6.00 % (a)    01/15/2029     1,514,134  
1,310,000   Community Health Systems, Inc.     10.88 % (a)    01/15/2032     1,370,758  
10,160,000   CSI Compressco LP     7.50 % (a)(i)    04/01/2025     10,159,187  
7,695,000   CVR Nitrogen Finance Corporation     6.13 % (a)    06/15/2028     7,187,861  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
6,120,000   Dealer Tire LLC     8.00 % (a)    02/01/2028     6,065,930  
2,140,000   DISH DBS Corporation     5.75 % (a)    12/01/2028     1,710,876  
15,745,000   Embarq Corporation     8.00 %    06/01/2036     9,859,913  
2,425,000   Endo Luxembourg Finance Company SARL     6.13 % (a)    04/01/2029     1,554,231  
4,820,000   Ferrellgas LP     5.88 % (a)    04/01/2029     4,558,312  
1,375,000   Frontier Communications Holdings LLC     5.88 % (a)    10/15/2027     1,329,530  
3,255,000   Full House Resorts, Inc.     8.25 % (a)(i)    02/15/2028     3,062,695  
2,780,000   GoTo Group, Inc.     5.50 % (a)    09/01/2027     1,347,390  
665,000   GrafTech Global Enterprises, Inc.     9.88 % (a)(i)    12/15/2028     513,712  
3,615,000   H-Food Holdings LLC     8.50 % (a)    06/01/2026     361,500  
1,325,000   Hightower Holding LLC     6.75 % (a)(i)    04/15/2029     1,204,836  
4,247,000   Illuminate Buyer LLC     9.00 % (a)    07/01/2028     4,066,076  
4,000,000   IRB Holding Corporation     7.00 % (a)    06/15/2025     4,003,120  
3,300,000   Level 3 Financing, Inc.     10.50 % (a)    05/15/2030     3,203,095  
4,785,000   LifePoint Health, Inc.     11.00 % (a)    10/15/2030     5,045,314  
2,595,000   Lions Gate Capital Holdings LLC     5.50 % (a)(i)    04/15/2029     1,943,850  
6,330,000   LSF9 Atlantis Holdings LLC     7.75 % (a)    02/15/2026     6,076,610  
5,100,000   McGraw-Hill Education, Inc.     5.75 % (a)    08/01/2028     4,922,877  
3,850,000   Metis Merger Sub LLC     6.50 % (a)    05/15/2029     3,485,867  
2,000,000   Michaels Companies, Inc.     5.25 % (a)    05/01/2028     1,582,660  
2,500,000   ModivCare Escrow Issuer, Inc.     5.00 % (a)    10/01/2029     2,046,675  
1,385,000   ModivCare, Inc.     5.88 % (a)    11/15/2025     1,369,239  
5,425,000   Moss Creek Resources Holdings, Inc.     7.50 % (a)    01/15/2026     5,418,876  
11,420,000   NGL Energy Operating LLC     7.50 % (a)    02/01/2026        11,543,325  
1,295,000   NGL Energy Partners LP     7.50 %    04/15/2026     1,288,624  
550,000   Olympus Water US Holding Corporation     6.25 % (a)(i)      10/01/2029     489,110  
1,970,000   OneMain Finance Corporation     9.00 %    01/15/2029     2,084,416  
3,580,000   PECF USS Intermediate Holding Corporation     8.00 % (a)    11/15/2029     1,829,326  
5,450,000   PetSmart, Inc.     7.75 % (a)    02/15/2029     5,306,381  
4,395,000   Premier Entertainment Sub LLC     5.88 % (a)(i)    09/01/2031     3,433,528  
9,555,470   Pyxus Holdings, Inc.     8.50 % (a)    12/31/2027     6,115,501  
9,880,000   Radiology Partners, Inc.     9.25 % (a)    02/01/2028     5,077,777  
5,050,000   Realogy Group LLC     5.75 % (a)    01/15/2029     3,930,284  
270,000   Royal Caribbean Cruises Ltd.     7.25 % (a)    01/15/2030     282,151  
6,655,000   Sabre GLBL, Inc.     8.63 % (a)    06/01/2027     6,061,868  
1,930,000   Spirit AeroSystems, Inc.     9.75 % (a)    11/15/2030     2,077,112  
8,340,000   SWF Escrow Issuer Corporation     6.50 % (a)(i)    10/01/2029     6,002,757  
1,500,000   Tallgrass Energy Partners LP     7.50 % (a)    10/01/2025     1,509,067  
6,568,000   Team Health Holdings, Inc.     6.38 % (a)    02/01/2025     5,508,023  
5,300,000   TKC Holdings, Inc.     10.50 % (a)    05/15/2029     4,801,879  
1,930,000   TMS International Corporation     6.25 % (a)    04/15/2029     1,594,865  
2,675,000   Townsquare Media, Inc.     6.88 % (a)(i)    02/01/2026     2,622,931  
2,695,000   Trident TPI Holdings, Inc.     12.75 % (a)    12/31/2028     2,887,019  
5,070,000   Triton Water Holdings, Inc.     6.25 % (a)    04/01/2029     4,421,902  
3,278,000   Triumph Group, Inc.     7.75 % (i)    08/15/2025     3,269,905  
9,485,000   United Natural Foods, Inc.     6.75 % (a)(i)    10/15/2028     7,691,007  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
5,005,000   Univision Communications, Inc.     6.63 % (a)    06/01/2027     4,994,978  
1,605,000   Univision Communications, Inc.     7.38 % (a)    06/30/2030     1,602,267  
3,915,000   Upbound Group, Inc.     6.38 % (a)    02/15/2029     3,678,397  
6,685,000   Venture Global LNG, Inc.     8.38 % (a)    06/01/2031     6,691,600  
2,355,000   Venture Global LNG, Inc.     9.88 % (a)    02/01/2032     2,454,532  
2,110,000   Vibrantz Technologies, Inc.     9.00 % (a)(i)    02/15/2030     1,675,806  
9,170,000   Viking Cruises Ltd.     9.13 % (a)    07/15/2031     9,777,850  
5,205,000   WASH Multifamily Acquisition, Inc.     5.75 % (a)    04/15/2026     5,014,533  
2,830,000   Weatherford International Ltd.     8.63 % (a)    04/30/2030     2,957,248  
1,490,000   Wheel Pros, Inc.     6.50 % (a)    05/15/2029     456,312  
6,210,000   XHR LP     6.38 % (a)    08/15/2025     6,199,785  
       

 

 

  

Total US Corporate Bonds (Cost $330,847,022)

     292,176,077  
     

 

 

  

US Government and Agency Mortgage Backed Obligations - 3.8%

 

4,474,834   Federal Home Loan Mortgage Corporation REMICS, Series 3631-SJ (-1 x Secured Overnight Financing Rate 30 Day Average + 6.13%, 6.24% Cap)     0.79 % (j)(k)    02/15/2040     371,698  
844,646   Federal Home Loan Mortgage Corporation REMICS, Series 3770-SP (-1 x Secured Overnight Financing Rate 30 Day Average + 6.39%, 6.50% Cap)     1.05 % (j)(k)    11/15/2040     16,620  
9,996,191   Federal Home Loan Mortgage Corporation REMICS, Series 3980-SX (-1 x Secured Overnight Financing Rate 30 Day Average + 6.39%, 6.50% Cap)     1.05 % (j)(k)    01/15/2042         1,251,634  
23,731,487   Federal Home Loan Mortgage Corporation REMICS, Series 5129-S (-1 x Secured Overnight Financing Rate 30 Day Average + 2.70%, 0.00% Floor, 2.70% Cap)     0.00 % (j)(k)    12/25/2044     100,902  
50,596,795   Federal Home Loan Mortgage Corporation, Series 2021-P009-X     1.37 % (h)(j)    01/25/2031     2,018,261  
2,149,178   Federal National Mortgage Association REMICS, Series 2006-83-SH (-1 x Secured Overnight Financing Rate 30 Day Average + 6.45%, 6.56% Cap)     1.11 % (j)(k)      09/25/2036     170,980  
7,694,655   Federal National Mortgage Association REMICS, Series 2010-123-SK (-1 x Secured Overnight Financing Rate 30 Day Average + 5.94%, 6.05% Cap)     0.60 % (j)(k)    11/25/2040     843,323  
5,548,789   Federal National Mortgage Association REMICS, Series 2012-60-SN (-1 x Secured Overnight Financing Rate 30 Day Average + 6.49%, 6.60% Cap)     1.15 % (j)(k)    06/25/2042     581,827  
9,524,865   Federal National Mortgage Association REMICS, Series 2019-46-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 5.99%, 6.10% Cap)     0.65 % (j)(k)    08/25/2049     903,920  
41,909,063   Federal National Mortgage Association REMICS, Series 2021-17-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 0.00% Floor, 2.50% Cap)     0.00 % (j)(k)    04/25/2051     477,428  
2,033,929   FREMF Mortgage Trust, Series 2017-KF27-B (Secured Overnight Financing Rate 30 Day Average + 4.46%, 4.35% Floor)     9.80 % (a)    12/25/2026     2,008,573  
6,152,066   FREMF Mortgage Trust, Series 2018-KF56-C (Secured Overnight Financing Rate 30 Day Average + 5.91%, 5.80% Floor)     11.25 % (a)    11/25/2028     5,321,375  
16,599,005   FREMF Mortgage Trust, Series 2019-KF71-C (Secured Overnight Financing Rate 30 Day Average + 6.11%, 6.00% Floor)     11.45 % (a)    10/25/2029     15,820,540  
8,506,429   Government National Mortgage Association, Series 2011-128-TS (-1 x Secured Overnight Financing Rate 1 Month + 5.94%, 6.05% Cap)     0.58 % (j)(k)    05/16/2041     882,169  
25,180,237   Government National Mortgage Association, Series 2015-64-SG (-1 x Secured Overnight Financing Rate 1 Month + 5.49%, 5.60% Cap)     0.13 % (j)(k)    05/20/2045     2,369,279  
3,422,533   Government National Mortgage Association, Series 2018-145-IA     4.00 % (j)    10/20/2045     292,503  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    
4,039,797   Government National Mortgage Association, Series 2020-129-SE (-1 x Secured Overnight Financing Rate 1 Month + 3.64%, 0.00% Floor, 3.75% Cap)     0.00 % (j)(k)    09/20/2050     76,744  
15,645,806   Government National Mortgage Association, Series 2020-146-SH (-1 x Secured Overnight Financing Rate 1 Month + 6.19%, 6.30% Cap)     0.83 % (j)(k)    10/20/2050     2,245,184  
5,689,629   Government National Mortgage Association, Series 2020-187-SB (-1 x Secured Overnight Financing Rate 1 Month + 6.19%, 6.30% Cap)     0.83 % (j)(k)    12/20/2050     800,313  
22,154,923   Government National Mortgage Association, Series 2020-47-SL (-1 x Secured Overnight Financing Rate 1 Month + 5.26%, 0.00% Floor, 5.37% Cap)     0.00 % (j)(k)    07/20/2044     1,837,875  
11,868,230   Government National Mortgage Association, Series 2020-61-SU (-1 x Secured Overnight Financing Rate 1 Month + 5.49%, 5.60% Cap)     0.13 % (j)(k)    07/16/2045     1,172,049  
34,556,752   Government National Mortgage Association, Series 2021-107-SA (-1 x Secured Overnight Financing Rate 1 Month + 3.64%, 0.00% Floor, 3.75% Cap)     0.00 % (j)(k)    06/20/2051     1,508,019  
19,266,219   Government National Mortgage Association, Series 2021-125-AS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.25%, 0.00% Floor, 3.25% Cap)     0.00 % (j)(k)    07/20/2051     236,123  
43,065,645   Government National Mortgage Association, Series 2021-139-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 0.00% Floor, 3.20% Cap)     0.00 % (j)(k)      08/20/2051     937,388  
44,481,161   Government National Mortgage Association, Series 2021-77-SG (-1 x Secured Overnight Financing Rate 1 Month + 3.64%, 0.00% Floor, 3.75% Cap)     0.00 % (j)(k)    05/20/2051     1,705,168  
17,781,061   Government National Mortgage Association, Series 2021-7-IQ     2.50 % (j)    01/20/2051     2,256,507  
38,675,575   Government National Mortgage Association, Series 2021-96-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 0.00% Floor, 3.20% Cap)     0.00 % (j)(k)    06/20/2051     858,528  
57,226,048   Government National Mortgage Association, Series 2021-97-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 0.00% Floor, 2.60% Cap)     0.00 % (j)(k)    06/20/2051     780,489  
33,225,128   Government National Mortgage Association, Series 2021-97-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 0.00% Floor, 2.60% Cap     0.00 % (j)(k)    06/20/2051     409,723  
       

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $72,097,924)

        48,255,142  
     

 

 

  

Common Stocks - 0.7%

 

51,725   ATD Holdings, Inc. (b)(i)(l)         1,551,750  
212,801   CFG Investment S.A.C (b)(l)         1,540,679  
8,608   GTT Communications, Inc. (b)(l)         133,424  
105,426   Intelsat Emergence S.A. (b)(l)         3,030,998  
26,458   Legacy Notes (b)(l)         234,947  
183,948   Longview Equity (b)(l)         2,575,272  
34,608   Riverbed - Class B (b)(l)         4,499  
       

 

 

  

Total Common Stocks (Cost $37,838,807)

     9,071,569  
     

 

 

  

Escrow Notes - 0.0% (m)

 

15,700,000   Alpha Holdings S.A. de C.V. (b)(l)         —   
15,700,000   Alpha Holdings S.A. de C.V. (b)(l)         —   
19,250,000   Alpha Holdings S.A. de C.V. (b)(l)         —   
19,250,000   Alpha Holdings S.A. de C.V. (b)(l)         —   
       

 

 

  

Total Escrow Notes (Cost $-)

     —   
     

 

 

  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

     Value $    

Rights - 0.2%

 

333,957   Legacy Backstop (b)(l)         2,965,538  
       

 

 

  

Total Rights (Cost $829,210)

     2,965,538  
       

 

 

  

Warrants - 0.0% (m)

  
27,621   GTT Communications, Inc., Expiration 12/30/2027, Strike Price $0.00 (b)(l)         10,358  
       

 

 

  

Total Warrants (Cost $386,878)

     10,358  
     

 

 

  

Short Term Investments - 0.7%

 

3,075,633   BlackRock Liquidity Funds FedFund - Institutional Shares     5.25 % (n)                 3,075,633  
3,075,597   Fidelity Institutional Money Market Government Portfolio - Class I     5.24 % (n)        3,075,597  
3,075,947   Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class     5.27 % (n)        3,075,947  
       

 

 

  

Total Short Term Investments (Cost $9,227,177)

     9,227,177  
     

 

 

  

Total Investments - 125.2% (Cost $2,073,005,782) (o)

     1,590,711,455  
Liabilities in Excess of Other Assets - (25.2)%     (320,418,053 ) 
 

 

 

  

NET ASSETS - 100.0%

   $ 1,270,293,402  
       

 

 

  

  (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)

Value determined using significant unobservable inputs.

 

 

  (c)

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 period end.

 

 

  (d)

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.

 

 

  (e)

Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.

 

 

  (f)

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

 

 

  (g)

Perpetual maturity. The date disclosed is the next call date of the security.

 

 

  (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)

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

 

 

  (j)

Interest only security

 

 

  (k)

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.

 

 

  (l)

Non-income producing security

 

 

  (m)

Represents less than 0.05% of net assets

 

 

  (n)

Seven-day yield as of period end

 

 

  (o)

Under the Fund’s Liquidity Agreement, the lender, through its agent, has been granted a security interest in substantially all of the Fund’s investments in consideration of the Fund’s borrowings under the line of credit with the lender.

 

 

  PIK

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

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Foreign Corporate Bonds

     37.5%  

US Corporate Bonds

     23.0%  

Bank Loans

     14.8%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     13.8%  

Non-Agency Commercial Mortgage Backed Obligations

     13.7%  

Collateralized Loan Obligations

     12.5%  

US Government and Agency Mortgage Backed Obligations

     3.8%  

Non-Agency Residential Collateralized Mortgage Obligations

     2.6%  

Asset Backed Obligations

     1.9%  

Short Term Investments

     0.7%  

Common Stocks

     0.7%  

Rights

     0.2%  

Warrants

     0.0%  (m) 

Escrow Notes

     0.0%  (m) 

Other Assets and Liabilities

     (25.2)%  
 

 

 

  
       100.0%  
 

 

 

  

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     13.8%  

Non-Agency Commercial Mortgage Backed Obligations

     13.7%  

Collateralized Loan Obligations

     12.5%  

Energy

     12.3%  

Consumer Products

     5.9%  

Mining

     4.6%  

Transportation

     4.4%  

Banking

     3.9%  

US Government and Agency Mortgage Backed Obligations

     3.8%  

Chemicals/Plastics

     3.7%  

Healthcare

     3.3%  

Media

     3.2%  

Utilities

     3.0%  

Electronics/Electric

     2.9%  

Chemical Products

     2.7%  

Non-Agency Residential Collateralized Mortgage Obligations

     2.6%  

Commercial Services

     2.4%  

Telecommunications

     2.3%  

Retailers (other than Food/Drug)

     2.2%  

Leisure

     2.1%  

Finance

     2.0%  

Asset Backed Obligations

     1.9%  

Business Equipment and Services

     1.7%  

Automotive

     1.6%  

Real Estate

     1.3%  

Technology

     1.3%  

Financial Intermediaries

     1.3%  

Hotels/Motels/Inns and Casinos

     1.3%  

Building and Development (including Steel/Metals)

     1.2%  

Industrial Equipment

     1.1%  

Food Products

     1.0%  

Aerospace & Defense

     0.8%  

Short Term Investments

     0.7%  

Containers and Glass Products

     0.6%  

Insurance

     0.5%  

Beverage and Tobacco

     0.5%  

Food Service

     0.5%  

Environmental Control

     0.3%  

Construction

     0.1%  

Pharmaceuticals

     0.1%  

Cosmetics/Toiletries

     0.1%  

Other Assets and Liabilities

     (25.2)%  
 

 

 

  
       100.0%  
 

 

 

  

COUNTRY BREAKDOWN as a % of Net Assets:

 

United States

     71.7%  

Colombia

     14.4%  

Brazil

     7.3%  

Mexico

     6.9%  

India

     5.3%  

Canada

     2.7%  

Peru

     2.4%  

Argentina

     1.6%  

Paraguay

     1.5%  

South Africa

     1.5%  

Indonesia

     1.3%  

Ghana

     1.3%  

Morocco

     1.3%  

Ukraine

     0.8%  

Dominican Republic

     0.7%  

Burkina Faso

     0.7%  

Panama

     0.7%  

United Kingdom

     0.5%  

Luxembourg

     0.5%  

Singapore

     0.3%  

Guatemala

     0.3%  

Jamaica

     0.3%  

Hong Kong

     0.3%  

Trinidad And Tobago

     0.3%  

Thailand

     0.2%  

Chile

     0.2%  

China

     0.1%  

Ireland

     0.1%  

Other Assets and Liabilities

     (25.2)%  
 

 

 

  
       100.0%  
 

 

 

  

FUTURES CONTRACTS

 

Description   Long/Short     Contract
Quantity		     Expiration
Date		     Notional
Amount(1)		     Unrealized
Appreciation
(Depreciation)/
Value		  

US Treasury Ultra Long Bond Future

     Long       300       03/19/2024     $ 40,078,125     $ 3,613,397  

10-Year US Treasury Ultra Note Future

     Long       660       03/19/2024       77,890,313       3,372,895  
         

 

 

  
          $ 6,986,292  
         

 

 

  

 

(1) 

Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.

Notes to Schedule of Investments

December 31, 2023 (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)

Valuations for domestic and foreign fixed income securities are normally determined on the basis of evaluations 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. Due to custodian as recorded on the Statement of Assets and Liabilities is recorded at cost and approximates fair value; it is classified as level 2 under the fair value hierarchy.

Over-the-counter financial derivative instruments, such as forward currency exchange contracts, options contracts, or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of valuations obtained from counterparties, published index closing levels or evaluated prices supplied by independent pricing services, some or all of which may be based on market data from trading on exchanges that closed significantly before the time as of which the Fund calculates its NAV. Forward foreign currency contracts are generally valued based on rates provided by independent data providers. Exchange

traded futures and options on futures are generally valued at the settlement price determined by the relevant exchange on which they principally trade, and exchange traded options are generally valued at the last trade price on the exchange on which they principally trade. The Fund does not normally take into account trading, clearances or settlements that take place after the close of the principal exchange or market on which such securities are traded. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.

The Fund’s holdings in whole loans, securitizations and certain other types of alternative lending-related instruments may be valued based on prices provided by a third-party pricing service.

Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by an independent pricing service. Where an active secondary market does not exist to a reliable degree in the judgment of DoubleLine Capital LP (the “Adviser” or “DoubleLine Capital”), such loans will be valued at fair value based on certain factors.

In respect of certain commercial real estate-related, residential real estate-related and certain other investments for which a limited market may exist, the Valuation Designee (as defined below) may value such investments based on appraisals conducted by an independent valuation advisor or a similar pricing agent. However, an independent valuation firm may not be retained to undertake an evaluation of an asset unless the NAV, market price and other aspects of an investment exceed certain significance thresholds.

The Board of Trustees has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated the Adviser as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of December 31, 2023:

 

Category

  

 

  

Investments in Securities

  

Level 1

  

Short Term Investments

   $ 9,227,177  

 

  

 

 

  

Total Level 1

     9,227,177  

Level 2

  

Foreign Corporate Bonds

     466,471,934  

US Corporate Bonds

     292,176,077  

Bank Loans

     186,700,892  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     174,624,929  

Collateralized Loan Obligations

     141,050,899  

Non-Agency Commercial Mortgage Backed Obligations

     119,473,036  

US Government and Agency Mortgage Backed Obligations

     48,255,142  

Non-Agency Residential Collateralized Mortgage Obligations

     33,250,061  

Asset Backed Obligations

     19,967,876  

 

  

 

 

  

Total Level 2

     1,482,970,846  

Level 3

  

Non-Agency Commercial Mortgage Backed Obligations

     54,757,837  

Collateralized Loan Obligations

     17,297,048  

Foreign Corporate Bonds

     9,504,998  

Common Stocks

     9,071,569  

Asset Backed Obligations

     4,013,286  

Rights

     2,965,538  

Bank Loans

     1,892,798  

Warrants

     10,358  

Escrow Notes

     —   

 

  

 

 

  

Total Level 3

     99,513,432  

 

  

 

 

  

Total

   $   1,590,711,455  

 

  

 

 

  

Category

  

 

  

Other Financial Instruments

  

Level 1

  

Futures Contracts

   $ 6,986,292  

 

  

 

 

  

Total Level 1

     6,986,292  

Level 2

  

Unfunded Loan Commitments

     1,189  

 

  

 

 

  

Total Level 2

     1,189  

 

  

 

 

  

Level 3

     —  

 

  

 

 

  

Total

   $       6,987,481  

 

  

 

 

  

See the Schedules 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
September 30,
2023		     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
December 31,
2023		     Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
December 31,
2023(c)		  

Investments in Securities

                    

Non-Agency Commercial Mortgage Backed Obligations

   $ 54,348,647       —      $ (3,212 )    $ 412,402     $ —      $ —      $ —      $ —      $ 54,757,837     $ (3,212 ) 

Collateralized Loan Obligations

     13,955,148       —        (340,887 )      7,401       68,162       —        3,607,224       —        17,297,048       (279,282 ) 

Foreign Corporate Bonds

     5,698,051       509,937       (2,513,268 )      3,105       7,045,120       (1,237,947 )      —        —        9,504,998       194,165  

Common Stocks

     12,265,338       (613,336 )      819,830       —        —        (3,400,263 )      —        —        9,071,569       530,911  

Asset Backed Obligations

     4,848,996       (578 )      (101,962 )      (50 )      41,592       (774,712 )      —        —        4,013,286       (541,089 ) 

Rights

     5,522,270       206,758       (536,292 )      —        —        (2,227,198 )      —        —        2,965,538       (370,692 ) 

Bank Loans

     1,898,725       1,663       (23,675 )      22,012       —        (5,927 )      —        —        1,892,798       (21,945 ) 

Warrants

     10,358       —        —        —        —        —        —        —        10,358       —   

Escrow Notes

     —        —        —        —        —        —        —        —        —        —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 98,547,533     $ 104,444     $ (2,699,466 )    $ 444,870     $ 7,154,874     $ (7,646,047 )    $ 3,607,224     $ —      $ 99,513,432     $ (491,144 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(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 December 31, 2023 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
December 31,
2023		     Valuation
Techniques		   Unobservable
Input		   Unobservable Input Values
(Weighted Average)(e)		     Impact to valuation from
an increase to input

Non-Agency Commercial Mortgage Backed Obligations

   $ 54,757,837     Market Comparables   Market Quotes     $0.01 - $86.18 ($66.57)     Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Collateralized Loan Obligations

   $ 17,297,048     Market Comparables   Market Quotes     $0.01 - $90.18 ($76.73)     Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Foreign Corporate Bonds

   $ 9,504,998     Market Comparables   Market Quotes     $0.00 - $109.47 ($89.53)     Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Common Stocks

   $ 9,071,569     Market Comparables   Market Quotes     $0.13 - $30.00 ($20.71)     Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security
    Market Transaction Approach  

EV Multiple

     6.45x (6.45x)    

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

    Comparable Company Approach   EV Multiples     5.40x (5.40x)     Significant changes in EV multiples would have resulted in direct changes in the fair value of the security
      Illiquidity Discounts     10% (10%)     Significant changes in illiquidity discounts would have resulted in indirect changes in the fair value of the security

Asset Backed Obligations

   $ 4,013,286     Market Comparables   Market Quotes     $2.66 - $1,119.29 ($577.88)     Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Rights

   $ 2,965,538     Market Comparables   Market Quotes     $8.88 ($8.88)     Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Bank Loans

   $ 1,892,798     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

   $ 10,358     Market Comparables   Market Quotes     $0.38 ($0.38)     Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Escrow Notes

   $ —      Income Approach   Expected Value     $0.00 ($0.00)     Significant changes in the expected value 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.

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