DoubleLine Income Solutions Fund

Schedule of Investments

June 30, 2023 (Unaudited)

 

 

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          

Asset Backed Obligations - 2.2%

 

10,000,000   Air Canada Class C Pass Through Trust, Series 2020-1-C     10.50 % (a)            07/15/2026     10,775,000  
1,150,000   Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A-D     5.83 % (a)    01/18/2028     1,035,841  
2,000,000   Blue Stream Issuer LLC, Series 2023-1A-C     8.90 % (a)    05/20/2053     1,815,881  
444,531   Castlelake Aircraft Securitization Trust, Series 2018-1-C     6.63 % (a)(b)    06/15/2043     166,944  
1,901,763   Castlelake Aircraft Structured Trust, Series 2021-1A-C     7.00 % (a)(b)    01/15/2046     1,411,848  
4,715   Pagaya AI Debt Selection Trust, Series 2020-2-NOTE     7.50 % (a)    12/15/2027     4,734  
1,859,725   Pagaya AI Debt Selection Trust, Series 2020-3-C     6.43 % (a)    05/17/2027     1,854,999  
2,750,000   Pagaya AI Debt Selection Trust, Series 2021-3-CERT     0.00 % (a)(b)(c)    05/15/2029     326,956  
502,765   Pagaya AI Debt Selection Trust, Series 2022-1-A     2.03 % (a)    10/15/2029     489,511  
879,235   Pagaya Al Debt Trust, Series 2022-2-AB     5.31 % (a)(d)    01/15/2030     863,519  
55,000   SoFi Alternative Consumer Loan Program, Series 2021-2-R1     0.00 % (a)(b)(c)    08/15/2030     905,409  
50,000   SoFi Professional Loan Program LLC, Series 2018-A-R1     0.00 % (b)(c)    02/25/2042     775,266  
14,827   SoFi Professional Loan Program LLC, Series 2018-A-R2     0.00 % (b)(c)    02/25/2042     229,897  
100,000   SoFi Professional Loan Program Trust, Series 2018-C-R1     0.00 % (a)(b)(c)    01/25/2048     1,048,086  
1,725,177   START Ireland, Series 2019-1-C     6.41 % (a)(b)    03/15/2044     649,498  
4,300,000   Summit Issuer LLC, Series 2020-1A-C     5.10 % (a)    12/20/2050     3,740,498  
       

 

 

  

Total Asset Backed Obligations (Cost $29,943,745)

     26,093,887  
       

 

 

  

Bank Loans - 15.0%

 

3,165,000   AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)     10.00 %    04/20/2028     3,236,782  
950,000   Acuris Finance, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.10%, 0.50% Floor)     9.05 %    02/16/2028     940,415  
3,000,000   Almonde, Inc., Senior Secured Second Lien Term Loan (2 Month LIBOR USD + 7.25%, 1.00% Floor)     12.08 %    06/16/2025     2,734,320  
3,954,938   American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.51%, 0.75% Floor)     10.61 %    10/20/2028     3,450,228  
63,801   Applied Systems, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 5.50%, 0.75% Floor)     9.17 %    09/17/2027     63,980  
4,591,199   (3 Month Secured Overnight Financing Rate + 6.75%, 0.75% Floor)     11.99 %    09/17/2027     4,604,124  
2,000,000   Artera Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)     11.98 %    03/06/2026     1,367,500  
2,165,000   Ascend Learning LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.85%, 0.50% Floor)     10.66 %    12/10/2029     1,853,781  
1,506,559   Astra Acquisition Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.50% Floor)     10.40 %    10/25/2028     1,061,657  
9,662,677   Astra Acquisition Corporation, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 8.99%, 0.75% Floor)     13.72 %    10/25/2029     5,386,942  
905,000   Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.35%)     10.40 %    01/31/2028     773,494  
4,225,000   Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.35%)     10.27 %    01/19/2029     3,555,042  
160,282   Athenahealth Group, Inc., Senior Secured First Lien Delayed-Draw Term Loan (1 Month Secured Overnight Financing Rate, 0.50% Floor)     8.59 % (e)            02/15/2029     154,672  
1,304,718   Athenahealth Group, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.50%, 0.50% Floor)     8.60 %    02/15/2029     1,259,053  
3,998,400   Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor)     8.68 %    05/08/2028     2,713,294  
7,855,000   Aveanna Healthcare LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.00%, 0.50% Floor)     11.95 %    12/10/2029     4,899,556  
900,452   Bausch & Lomb Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.35%, 0.50% Floor)     8.59 %    05/10/2027     875,690  
942,560   BCPE Empire Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor)     9.84 %    12/11/2028     941,532  
5,408,663   Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%, 1.00% Floor)     9.88 %    07/14/2026     5,311,658  
940,116   Clear Channel Outdoor Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.76%)     8.81 %    08/21/2026     899,654  
1,895,850   Clydesdale Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.28%, 0.50% Floor)     9.43 %    04/13/2029     1,869,223  
1,988,213   Connect US Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)     8.66 %    12/11/2026     1,989,455  
530,000   Corelogic, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.50% Floor)     8.69 %    06/02/2028     479,783  
1,435,000   Cornerstone Building Brands, Inc, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.35%, 0.50% Floor)     8.41 %    04/12/2028     1,379,401  
1,759,590   Cross Financial Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor)     9.19 %    09/15/2027     1,759,590  
1,645,000   Delta Topco, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor)     12.16 %    12/01/2028     1,516,147  
832,913   DexKo Global, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.50%, 0.50% Floor)     11.40 %    10/04/2028     818,861  
2,425,000   DG Investment Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.86%, 0.75% Floor)     12.02 %    03/29/2029     2,159,766  
1,489,182   DirectTV Financing LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.00%, 0.75% Floor)     10.15 %    08/02/2027     1,459,189  
279,542   Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.60%)     8.75 %    04/06/2026     277,620  
519,948   Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.60%)     8.75 %    04/06/2026     516,373  
2,780,501   Eisner Advisory Group LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.36%, 0.75% Floor)     10.52 %    07/28/2028     2,780,501  
196,382   Element Materials Technology Group US Holdings, Inc., Senior Secured First Lien Delayed-Draw Term Loan (3 Month Secured Overnight Financing Rate + 4.35%, 0.50% Floor)     9.25 %    06/22/2029     192,945  
425,493   Element Materials Technology Group US Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.35%, 0.50% Floor)     9.25 %    06/22/2029     418,047  
1,293,246   EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)     8.91 %    05/09/2025     1,273,240  
1,355,000   Fertitta Entertainment LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 0.50% Floor)     9.15 %    01/29/2029     1,339,899  
3,330,250   Flynn Canada Ltd., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.61%, 0.50% Floor)     9.38 %    07/21/2028     3,088,807  
1,904,652   Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.10%, 1.50% Floor)     12.73 % (b)            06/30/2027     1,904,652  
  Getty Images, Inc., Senior Secured First Lien Term Loan      
978,737   (3 Month Secured Overnight Financing Rate + 4.50%)     9.84 %    02/19/2026     979,961  
30,481   (1 Month Secured Overnight Financing Rate + 4.50%)     9.75 %    02/19/2026     30,519  
558,839   GIP II Blue Holding LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.61%, 1.00% Floor)     9.66 %    09/29/2028     561,435  
3,401,033   Grab Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)     9.66 %    01/29/2026     3,404,587  
3,670,461   Greystone Select Financial LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 0.75% Floor)     9.80 %    06/16/2028     3,486,938  
  Groupe Solmax, Inc., Senior Secured First Lien Term Loan      
1,356,224   (1 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor)     9.86 %    05/30/2028     1,283,544  
1,576,936   (3 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor)     9.86 %    05/30/2028     1,492,428  
7,231,814   Gulf Finance LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.86%, 1.00% Floor)     12.00 %    08/25/2026     7,052,032  
480,000   Hexion Holdings Corporation, Term Loan (3 Month Secured Overnight Financing Rate, 0.50% Floor)     9.78 % (e)    03/15/2029     454,274  
7,396,000   Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.25%, 0.75% Floor)     11.27 %    07/07/2025     7,146,385  
1,092,700   ION Trading Technologies SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%)     9.91 %    03/31/2028     1,073,971  
717,225   Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)     10.02 %    07/07/2028     377,138  
1,771,650   Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)     8.38 %    05/26/2025     1,776,823  
1,335,000   Kenan Advantage Group, Inc., Senior Secured First Lien Term Loan (6 Month Secured Overnight Financing Rate + 4.43%, 0.75% Floor)     8.55 %    03/24/2026     1,335,834  
1,025,000   LaserShip, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.50%, 0.75% Floor)     12.66 %    04/30/2029     768,750  
1,935,000   LBM Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor)     8.90 %    12/17/2027     1,863,444  
719,651   Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%)     9.22 %    06/30/2025     419,797  
52,939   Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)     8.15 %    06/30/2024     42,352  
1,115,779   Lereta LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.36%, 0.75% Floor)     10.52 %    07/27/2028     1,026,517  
1,509,375   LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor)     12.15 %    03/31/2029     1,496,168  
2,205,000   MedAssets Software Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.50% Floor)     11.90 %    12/17/2029     1,324,378  
6,305,318   Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.10%, 0.75% Floor)     9.00 %    10/01/2027     6,218,620  
692,000   Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor)     10.76 %    06/21/2027     720,112  
3,796,487   Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.85%)     9.66 %    03/27/2026     3,743,109  
1,920,000   Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%, 0.50% Floor)     11.65 %    10/15/2029     1,704,000  
2,920,000   MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.85%)     12.50 %    11/30/2026     554,800  
905,000   NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 7.11%)     12.27 %    10/19/2026     663,293  
2,705,000   Olympus Water US Holding Corporation, Term Loan (1 Month Secured Overnight Financing Rate, 0.50% Floor)     10.09 % (e)            11/09/2028     2,622,159  
1,048,600   OYO Hospitality Netherlands B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor)     13.27 %    06/23/2026     899,175  
2,788,013   Par Petroleum, LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.35%, 0.50% Floor)     8.82 %    02/28/2030     2,749,677  
5,895,000   PetVet Care Centers LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%)     11.40 %    02/13/2026     5,416,031  
910,308   PG&E Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.00%, 0.50% Floor)     7.88 %    06/23/2025     911,282  
684,250   Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor)     8.73 %    12/14/2027     685,749  
2,266,724   Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)     9.90 %    03/11/2026     2,241,223  
  Pretium PKG Holdings, Inc., Senior Secured Second Lien Term Loan      
1,430,000   (3 Month LIBOR USD + 6.75%, 0.50% Floor)     11.97 %    09/30/2029     773,995  
1,430,000   (3 Month LIBOR USD + 6.75%, 0.50% Floor)     12.26 %    09/30/2029     773,994  
4,740,873   Pug LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.35%, 0.50% Floor)     9.27 %    02/13/2027     4,302,343  
2,933,270   RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%)     8.58 %    11/14/2025     2,723,878  
255,700   Rentpath, Inc., Senior Secured First Lien Term Loan (Prime Rate)     3.25 %    04/25/2024     3,836  
3,205,464   Riverbed Technology, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor)     11.33 % (f)    12/07/2026     870,283  
1,344,541   Skillsoft Finance, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.36%, 0.75% Floor)     10.42 %    07/14/2028     1,184,178  
3,771,145   Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%)     11.58 %    06/26/2026     2,036,418  
945,000   Southern Veterinary Partners LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.00%, 1.00% Floor)     9.02 %    10/05/2027     931,217  
460,000   SRS Distribution, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.50% Floor)     8.65 %    06/02/2028     447,960  
1,375,000   Sunshine Luxembourg SARL, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.75%, 0.75% Floor)     8.91 %    10/01/2026     1,369,851  
2,155,387   The Edelman Financial Engines Centre LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor)     8.90 %    04/07/2028     2,105,415  
4,200,000   The Edelman Financial Engines Centre LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)     11.90 %    07/20/2026     4,069,275  
1,767,642   Think & Learn Private Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 0.75% Floor)     12.93 %    11/24/2026     1,126,872  
925,118   Titan Acquisition Ltd., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%)     8.15 %    03/28/2025     905,265  
1,365,000   TK Elevator Midco GMBH, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.50%, 0.50% Floor)     8.60 %    07/30/2027     1,356,134  
1,396,500   Transdigm, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.25%)     8.15 %    08/24/2028     1,397,310  
5,097,647   Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 1.10%, 1.00% Floor)     12.54 %    02/28/2025     5,027,580  
860,000   UKG, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.35%, 0.50% Floor)     10.03 %    05/03/2027     836,350  
619,808   Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor)     9.81 %    10/26/2026     603,383  
1,425,778   Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.11%)     9.15 %    08/27/2025     1,427,111  
4,460,974   Viad Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.11%, 0.50% Floor)     10.27 %    07/31/2028     4,349,450  
1,530,000   VT Topco, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.86%, 0.75% Floor)     12.02 %    07/31/2026     1,461,150  
2,887,500   WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor)     11.01 %    06/22/2026     2,874,651  
490,000   WWEX UNI TopCo Holdings LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.26%, 0.75% Floor)     12.16 %    07/26/2029     394,450  
       

 

 

  

Total Bank Loans (Cost $203,497,950)

     181,185,727  
       

 

 

  

Collateralized Loan Obligations - 12.1%

 

3,000,000   Apidos, Series 2016-24A-DR (3 Month LIBOR USD + 5.80%)     11.05 % (a)            10/20/2030     2,611,434  
2,500,000   Atrium Corporation, Series 15A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor)         11.12 % (a)    01/23/2031     2,317,735  
3,000,000   Bain Capital Credit Ltd., Series 2017-2A-ER2 (3 Month LIBOR USD + 6.86%, 6.86% Floor)     12.12 % (a)    07/25/2034     2,719,090  
2,250,000   Barings Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 6.45%)     11.70 % (a)    10/20/2030     1,840,354  
1,500,000   Barings Ltd., Series 2018-4A-E (3 Month LIBOR USD + 5.82%, 5.82% Floor)     11.08 % (a)    10/15/2030     1,331,470  
5,000,000   Barings Ltd., Series 2019-2A-DR (3 Month LIBOR USD + 6.78%, 6.78% Floor)     12.04 % (a)    04/15/2036     4,432,284  
1,000,000   Barings Ltd., Series 2020-1A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor)     11.91 % (a)    10/15/2036     914,763  
2,500,000   Canyon Capital Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 5.75%)     11.01 % (a)    07/15/2031     1,966,262  
6,650,000   Canyon Capital Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.25%)     11.51 % (a)    07/15/2030     5,532,348  
2,500,000   Canyon Capital Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)     11.01 % (a)    07/15/2031     2,000,946  
1,000,000   Canyon Capital Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.41%, 6.41% Floor)     11.67 % (a)    04/15/2034     890,952  
6,000,000   Canyon Capital Ltd., Series 2021-2A-E (3 Month LIBOR USD + 6.70%, 6.70% Floor)     11.96 % (a)    04/15/2034     5,377,270  
2,000,000   Carlyle Global Market Strategies Ltd., Series 2013-3A-DR (3 Month LIBOR USD + 5.50%)     10.76 % (a)    10/15/2030     1,647,667  
3,000,000   Carlyle Global Market Strategies Ltd., Series 2019-1A-D (3 Month LIBOR USD + 6.70%, 6.70% Floor)     11.95 % (a)    04/20/2031     2,696,660  
1,500,000   Chenango Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.80%, 5.80% Floor)     11.06 % (a)    04/15/2030     1,222,880  
750,000   CIFC Funding Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 6.65%)     11.91 % (a)    07/16/2030     647,075  
2,500,000   Dryden Ltd., Series 2018-55A-F (3 Month LIBOR USD + 7.20%)     12.46 % (a)(b)    04/15/2031     1,700,579  
3,000,000   Dryden Senior Loan Fund, Series 2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor)     10.41 % (a)            01/15/2031     2,360,572  
1,250,000   Galaxy Ltd., Series 2017-24A-E (3 Month LIBOR USD + 5.50%)     10.76 % (a)    01/15/2031     1,068,748  
1,183,298   Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%)     10.27 % (a)(b)    04/28/2025     277,193  
1,338,283   Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E (3 Month LIBOR USD + 5.75%)     11.02 % (a)(b)    04/28/2025     268  
3,500,000   LCM LP, Series 14A-FR (3 Month LIBOR USD + 7.61%)     12.86 % (a)(b)    07/20/2031     2,454,222  
5,000,000   LCM LP, Series 17A-ER (3 Month LIBOR USD + 6.00%, 6.00% Floor)     11.26 % (a)    10/15/2031     3,331,880  
6,500,000   LCM LP, Series 26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor)     10.55 % (a)    01/20/2031     4,193,239  
2,000,000   LCM LP, Series 28A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)     11.00 % (a)    10/20/2030     1,323,339  
11,000,000   Madison Park Funding Ltd., Series 2014-14A-ER (3 Month LIBOR USD + 5.80%, 5.80% Floor)     11.07 % (a)    10/22/2030     9,667,448  
6,500,000   Madison Park Funding Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)     11.01 % (a)    10/15/2031     5,487,661  
1,000,000   Madison Park Funding Ltd., Series 2019-34A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor)     11.91 % (a)    04/25/2032     966,506  
2,000,000   Madison Park Funding Ltd., Series 2019-37A-ER (3 Month LIBOR USD + 6.15%, 6.15% Floor)     11.41 % (a)    07/15/2033     1,879,467  
500,000   Magnetite Ltd., Series 2020-26A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor)     11.21 % (a)    07/25/2034     465,337  
500,000   Marble Point Ltd., Series 2018-1A-D (3 Month LIBOR USD + 3.00%)     8.26 % (a)    07/16/2031     419,096  
2,000,000   Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor)     11.51 % (a)    04/15/2034     1,805,783  
1,000,000   Neuberger Berman Loan Advisers Ltd., Series 2019-31A-ER (3 Month LIBOR USD + 6.50%, 6.50% Floor)     11.75 % (a)    04/20/2031     915,764  
1,750,000   Neuberger Berman Loan Advisers Ltd., Series 2019-32A-ER (3 Month LIBOR USD + 6.10%, 6.10% Floor)     11.37 % (a)    01/20/2032     1,617,813  
2,250,000   Neuberger Berman Loan Advisers Ltd., Series 2019-33A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor)     11.51 % (a)    10/16/2033     2,065,823  
2,000,000   Newark BSL Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.30%)     11.56 % (a)    07/25/2030     1,760,955  
5,000,000   Octagon Investment Partners Ltd., Series 2012-1A-DR (3 Month LIBOR USD + 7.15%)     12.41 % (a)    07/15/2029     4,058,764  
8,750,000   Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)     11.01 % (a)    07/17/2030     7,091,348  
5,460,000   Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 7.00%)     12.27 % (a)    07/19/2030     4,610,301  
3,000,000   Octagon Investment Partners Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 7.25%)         12.52 % (a)    01/24/2033     2,694,965  
2,000,000   Octagon Investment Partners Ltd., Series 2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor)     13.35 % (a)(b)    07/15/2030     1,544,136  
4,000,000   Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%)     11.45 % (a)    03/17/2030     3,333,051  
500,000   Octagon Investment Partners Ltd., Series 2019-1A-DR (3 Month LIBOR USD + 3.25%, 3.25% Floor)     8.51 % (a)    10/15/2034     455,146  
2,000,000   Octagon Investment Partners Ltd., Series 2019-3A-ER (3 Month LIBOR USD + 6.75%, 6.75% Floor)     12.01 % (a)    07/15/2034     1,811,728  
1,000,000   Octagon Investment Partners Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.60%, 6.60% Floor)     11.86 % (a)            07/15/2036     829,855  
500,000   Point Au Roche Park Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.10%, 6.10% Floor)     11.35 % (a)    07/20/2034     442,069  
2,400,000   Sound Point Ltd., Series 2019-2A-ER (3 Month LIBOR USD + 6.47%, 6.47% Floor)     11.73 % (a)    07/15/2034     1,917,192  
500,000   Sound Point Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.56%, 6.56% Floor)     11.82 % (a)    10/25/2034     408,438  
2,000,000   Sound Point Ltd., Series 2021-3A-E (3 Month LIBOR USD + 6.61%, 6.61% Floor)     11.87 % (a)    10/25/2034     1,635,891  
7,500,000   Steward Park Ltd., Series 2015-1A-ER (3 Month LIBOR USD + 5.28%, 5.28% Floor)     10.54 % (a)    01/15/2030     5,958,947  
2,000,000   THL Credit Wind River Ltd., Series 2013-2A-E1R (3 Month LIBOR USD + 6.75%)     12.01 % (a)(b)    10/18/2030     1,527,413  
3,500,000   THL Credit Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)     11.01 % (a)(b)    01/15/2031     2,419,342  
2,000,000   THL Credit Wind River Ltd., Series 2014-3A-ER2 (3 Month LIBOR USD + 6.22%, 6.22% Floor)     11.49 % (a)    10/22/2031     1,497,424  
5,000,000   THL Credit Wind River Ltd., Series 2017-1A-ER (3 Month LIBOR USD + 7.06%, 7.06% Floor)     12.32 % (a)    04/18/2036     4,236,299  
3,000,000   THL Credit Wind River Ltd., Series 2017-3A-ER (3 Month LIBOR USD + 7.05%, 7.05% Floor)     12.31 % (a)    04/15/2035     2,661,490  
1,000,000   THL Credit Wind River Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.50%)     10.76 % (a)    07/15/2030     809,855  
1,000,000   THL Credit Wind River Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.75%)     11.01 % (a)    07/15/2030     798,813  
7,200,000   Venture Ltd., Series 2016-24A-E (3 Month LIBOR USD + 6.72%)     11.97 % (a)    10/20/2028     5,716,547  
5,000,000   Venture Ltd., Series 2017-26A-E (3 Month LIBOR USD + 6.80%)     12.05 % (a)    01/20/2029     2,829,928  
4,000,000   Venture Ltd., Series 2017-27A-E (3 Month LIBOR USD + 6.35%)     11.60 % (a)    07/20/2030     2,667,371  
1,500,000   Voya Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.10%)     11.36 % (a)    04/17/2030     1,229,570  
1,000,000   Voya Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.25%, 5.25% Floor)     10.51 % (a)    07/15/2031     777,642  
1,000,000   Voya Ltd., Series 2018-2A-F (3 Month LIBOR USD + 7.29%, 7.29% Floor)     12.55 % (a)    07/15/2031     650,411  
       

 

 

  

Total Collateralized Loan Obligations (Cost $181,449,169)

     146,524,819  
       

 

 

  

Foreign Corporate Bonds - 35.7%

 

10,404,000   ABM Investama Tbk PT     9.50 % (a)    08/05/2026     9,457,252  
1,700,000   Adani Electricity Mumbai Ltd.     3.87 %    07/22/2031     1,201,771  
3,477,000   Adani International Container Terminal Private Ltd.     3.00 %    02/16/2031     2,735,285  
4,200,000   Adani Ports & Special Economic Zone Ltd.     3.10 %    02/02/2031     2,942,609  
17,580,000   Adani Ports & Special Economic Zone Ltd.     5.00 %    08/02/2041     11,737,490  
1,589,250   Adani Transmission Step-One Ltd.     4.25 %    05/21/2036     1,203,270  
9,000,000   Agile Group Holdings Ltd. (5 Year CMT Rate + 11.08%)     7.75 % (f)(g)    05/25/2025     966,224  
20,863,000   AI Candelaria Spain S.A.     5.75 %    06/15/2033     15,482,119  
2,000,000   AI Candelaria Spain S.A.     5.75 % (a)    06/15/2033     1,484,170  
1,500,000   Alibaba Group Holding Ltd.     3.25 %    02/09/2061     929,048  
14,407,320   Alpha Holdings S.A. de C.V.     10.00 % (b)(f)    12/19/2024     88,605  
376,662   Alpha Holdings S.A. de C.V.     10.00 % (a)(b)(f)    12/19/2024     2,316  
12,208,365   Alpha Holdings S.A. de C.V.     9.00 % (a)(b)(f)    02/10/2025     167,865  
5,939,205   Alpha Holdings S.A. de C.V.     9.00 % (b)(f)    02/10/2025     81,664  
6,000,000   AMS AG     7.00 % (a)            07/31/2025     5,303,517  
11,302,000   Aris Mining Corporation     6.88 %    08/09/2026     8,315,107  
18,331,000   Banco Davivienda S.A. (10 Year CMT Rate + 5.10%)     6.65 % (g)    04/22/2031     13,507,535  
8,805,000   Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%)     7.50 %    04/16/2031     7,236,304  
16,800,000   Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%)     7.50 % (a)    04/16/2031     13,806,917  
9,700,000   Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%)     6.63 % (g)    01/24/2032     7,507,800  
3,000,000   Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%)     6.63 % (a)(g)    01/24/2032     2,322,000  
20,000,000   Braskem Idesa SAPI     6.99 % (h)    02/20/2032     12,973,746  
17,700,000   Braskem Idesa SAPI     6.99 % (a)    02/20/2032     11,481,765  
22,400,000   BRF S.A.     5.75 % (h)    09/21/2050     14,981,922  
1,958,000   Calfrac Holdings LP     10.88 % (a)    03/15/2026     1,762,102  
2,376,000   Camposol S.A.     6.00 %    02/03/2027     1,641,931  
550,000   CAP S.A.     3.90 %    04/27/2031     400,868  
500,000   Cemex S.A.B. de C.V. (5 Year CMT Rate + 4.91%)     9.13 % (a)(g)    03/14/2028     506,999  
6,547,775   CFG Investment S.A.C     10.00 %    11/07/2032     5,369,176  
4,413,196   CFG Investment S.A.C     13.98 % (b)(d)    11/07/2032     6,068,145  
2,800,000   Connect Finco LLC     6.75 % (a)    10/01/2026     2,722,206  
16,100,000   Coruripe Netherlands B.V.     10.00 %    02/10/2027     10,250,870  
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     125,812  
17,286,000   Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)     9.13 % (f)(g)    11/29/2027     237,683  
300,000   CT Trust     5.13 %    02/03/2032     241,047  
4,330,529   Digicel Group Holdings Ltd. (7.00% PIK)     7.00 % (a)(f)(g)    07/17/2023     503,121  
16,748,352   Digicel Group Holdings Ltd. (5.00% + 3.00% PIK or 8.00% PIK)     8.00 % (a)(f)    04/01/2025     7,285,533  
4,400,000   Empresas Publicas de Medellin ESP     4.38 %    02/15/2031     3,301,232  
17,011,000   Frigorifico Concepcion S.A.     7.70 % (a)    07/21/2028     13,270,730  
6,160,000   Frigorifico Concepcion S.A.     7.70 %    07/21/2028     4,805,578  
4,205,000   Garda World Security Corporation     6.00 % (a)    06/01/2029     3,450,023  
16,000,000   Gran Tierra Energy, Inc.     7.75 % (a)    05/23/2027     12,126,587  
9,000,000   Gran Tierra Energy, Inc.     7.75 %    05/23/2027     6,821,205  
5,600,000   Interpipe Holdings PLC     8.38 % (a)    05/13/2026     3,054,016  
5,925,566   Invepar Holdings     0.00 % (b)(f)    12/30/2028     —    
5,100,000   JBS USA Finance, Inc.     4.38 %    02/02/2052     3,581,959  
9,652,000   Kawasan Industri Jababeka Tbk PT     7.00 % (a)(p)    12/15/2027     6,473,058  
2,600,000   Kronos Acquisition Holdings, Inc.     7.00 % (a)    12/31/2027     2,304,419  
1,538,000   MARB BondCo PLC     3.95 %    01/29/2031     1,102,145  
19,904,783   MC Brazil Downstream Trading SARL     7.25 % (h)    06/30/2031     13,463,442  
6,300,000   Metinvest B.V.     7.75 %    10/17/2029     3,811,500  
7,600,000   Mexarrend SAPI de C.V.     10.25 % (f)    07/24/2024     1,713,306  
17,360,000   Mexarrend SAPI de C.V.     10.25 % (a)(f)    07/24/2024     3,913,552  
11,005,000   Movida Europe S.A.     5.25 %    02/08/2031     8,948,171  
8,200,000   NGD Holdings B.V.     6.75 %    12/31/2026     6,027,000  
1,536,109   Oi S.A.     14.00 % (a)(b)    09/07/2024     1,571,951  
23,000,000   Oi S.A. (8.00% + 4.00% PIK)     10.00 % (f)    07/27/2025     1,662,860  
14,325,000   Operadora de Servicios Mega S.A. de C.V.     8.25 % (a)    02/11/2025     7,173,960  
7,665,000   Operadora de Servicios Mega S.A. de C.V.     8.25 %    02/11/2025     3,838,632  
7,550,000   Pampa Energia S.A.     9.13 %    04/15/2029     7,217,272  
800,000   Pampa Energia S.A.     9.13 % (a)            04/15/2029     764,744  
13,400,000   Prime Energia S.p.A.     5.38 %    12/30/2030     8,720,050  
2,200,000   RKI Overseas Finance Ltd.     7.00 % (g)    12/23/2023     594,869  
17,796,000   RKP Overseas Finance Ltd.     7.95 % (g)    08/17/2023     4,899,123  
5,000,000   RKPF Overseas Ltd. (5 Year CMT Rate + 6.00%)     7.75 % (g)    11/18/2024     1,522,167  
19,350,000   Ronshine China Holdings Ltd.     7.35 % (f)    12/15/2023     906,824  
2,650,000   Ronshine China Holdings Ltd.     6.75 % (f)    08/05/2024     159,939  
2,000,000   Sasol Financing USA LLC     5.50 %    03/18/2031     1,576,753  
1,330,000   Seaspan Corporation     5.50 % (a)    08/01/2029     1,043,146  
11,103,000   SierraCol Energy Andina LLC     6.00 %    06/15/2028     8,174,861  
5,400,000   SierraCol Energy Andina LLC     6.00 % (a)    06/15/2028     3,975,885  
14,800,000   Simpar Europe S.A.     5.20 % (h)    01/26/2031     11,762,404  
7,900,000   Telesat LLC     5.63 % (a)    12/06/2026     4,882,437  
3,021,000   Tervita Corporation     11.00 % (a)    12/01/2025     3,217,151  
4,229,000   Thaioil Treasury Center Company Ltd.     3.75 %    06/18/2050     2,830,945  
18,804,000   Tullow Oil PLC     10.25 % (a)    05/15/2026     14,309,844  
8,351,355   UEP Penonome S.A.     6.50 %    10/01/2038     6,281,328  
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     60,500  
24,000,000   Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)     8.88 % (f)(g)    01/29/2025     132,000  
13,400,000   Unigel Luxembourg S.A.     8.75 %    10/01/2026     4,405,250  
16,183,000   UPL Corporation Ltd. (5 Year CMT Rate + 3.87%)     5.25 % (g)    02/27/2025     13,416,516  
20,000,000   Vedanta Resources Finance PLC     9.25 %    04/23/2026     14,862,220  
13,000,000   Vedanta Resources Finance PLC     9.25 % (a)(h)    04/23/2026     9,660,443  
500,000   Vedanta Resources Ltd.     6.13 % (h)    08/09/2024     374,726  
1,700,000   VTR Comunicaciones SpA     4.38 %    04/15/2029     868,411  
2,587,000   VTR Finance NV     6.38 %    07/15/2028     995,914  
8,000,000   YPF Energia Electrica S.A.     10.00 % (a)    07/25/2026     7,447,405  
       

 

 

  

Total Foreign Corporate Bonds (Cost $711,798,111)

     430,510,247  
       

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 16.1%

 

14,300,000   Brazilian Government International Bond     4.75 % (h)    01/14/2050     10,563,453  
500,000   Colombia Government International Bond     4.13 %    02/22/2042     320,094  
16,000,000   Colombia Government International Bond     5.00 % (h)    06/15/2045     11,178,707  
6,300,000   Colombia Government International Bond     5.20 %    05/15/2049     4,343,850  
12,000,000   Colombia Government International Bond     4.13 %    05/15/2051     7,211,279  
2,500,000   Dominican Republic International Bond     5.30 % (h)    01/21/2041     1,964,933  
10,750,000   Dominican Republic International Bond     5.88 % (h)    01/30/2060     8,357,481  
6,500,000   Ecopetrol S.A.     5.88 %    05/28/2045     4,459,551  
25,000,000   Ecopetrol S.A.     5.88 % (h)    11/02/2051     16,568,060  
14,000,000   Mexico City Airport Trust     5.50 % (h)    07/31/2047     12,247,484  
8,000,000   Mexico Government International Bond     3.77 %    05/24/2061     5,459,363  
22,000,000   OCP S.A.     5.13 %    06/23/2051     16,087,280  
4,500,000   Panama Government International Bond     3.87 %    07/23/2060     2,993,963  
23,200,000   Petrobras Global Finance B.V.     5.50 % (h)    06/10/2051     18,281,484  
29,500,000   Petroleos del Peru S.A.     5.63 % (h)    06/19/2047     19,055,019  
17,200,000   Petroleos Mexicanos     6.38 % (h)    01/23/2045     10,581,416  
10,200,000   Petroleos Mexicanos     6.75 %    09/21/2047     6,414,507  
13,000,000   Republic of South Africa Government Bond     5.65 % (h)            09/27/2047     9,227,842  
4,100,000   Telecommunications Services of Trinidad & Tobago Ltd.     8.88 %    10/18/2029     3,368,253  
5,150,000   Ukraine Government International Bond     9.75 % (f)    11/01/2030     1,289,483  
15,000,000   Ukraine Government International Bond     7.25 % (f)    03/15/2035     3,525,000  
850,000   YPF S.A.     8.50 % (a)    06/27/2029     724,541  
5,000,000   YPF S.A.     8.50 %    06/27/2029     4,262,007  
22,407,000   YPF S.A.     7.00 % (h)    12/15/2047     15,257,374  
       

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $245,672,074)

     193,742,424  
       

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 15.7%

 

5,000,000   ACREC LLC, Series 2023-FL2-C (Secured Overnight Financing Rate 1 Month + 4.28%, 4.28% Floor)     9.37 % (a)    02/19/2038     4,987,405  
13,000,000   Alen Mortgage Trust, Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor)     10.19 % (a)(i)    04/15/2034     7,245,930  
6,325,000   Beast Mortgage Trust, Series 2021-1818-G (Secured Overnight Financing Rate 1 Month + 6.11%, 6.25% Floor)     11.19 % (a)    03/15/2036     4,038,977  
121,775,000   Benchmark Mortgage Trust, Series 2020-B18-AGNX     0.62 % (a)(d)(j)    07/15/2053     1,102,039  
7,130,000   BSREP Commercial Mortgage Trust, Series 2021-DC-G (1 Month LIBOR USD + 3.85%, 3.85% Floor)     9.04 % (a)    08/15/2038     5,505,415  
3,650,000   BX Trust, Series 2019-IMC-D (1 Month LIBOR USD + 1.90%, 1.90% Floor)     7.09 % (a)    04/15/2034     3,569,598  
10,200,000   Cantor Commercial Real Estate Lending, Series 2019-CF2-SWX1     1.45 % (a)(d)(j)    11/15/2052     655,186  
12,080,000   Cantor Commercial Real Estate Lending, Series 2019-CF2-SWX2     1.19 % (a)(d)(j)    11/15/2052     607,403  
8,095,225   Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor)     8.04 % (a)    10/15/2035     6,878,525  
30,511,177   Citigroup Commercial Mortgage Trust, Series 2014-GC25-XG     1.35 % (a)(d)(j)    10/10/2047     370,467  
4,484,000   Citigroup Commercial Mortgage Trust, Series 2015-GC27-D     4.57 % (a)(d)    02/10/2048     3,617,906  
3,929,315   Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-F     3.75 % (a)(b)    08/10/2047     787,458  
6,594,652   Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-G     3.75 % (a)(b)    08/10/2047     237,342  
14,000   Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-V     0.00 % (a)(b)(d)    08/10/2047     1  
18,438,000   Commercial Mortgage Pass-Through Trust, Series 2015-CR26-XD     1.36 % (a)(d)(j)    10/10/2048     443,510  
4,875,000   DOLP Trust, Series 2021-NYC-G     3.70 % (a)(d)    05/10/2041     2,113,066  
1,433,000   FIVE Mortgage Trust, Series 2023-V1-D     6.62 % (a)(d)    02/10/2056     1,165,872  
10,000,000   Great Wolf Trust, Series 2019-WOLF-F (Secured Overnight Financing Rate 1 Month + 3.25%, 3.13% Floor)     8.39 % (a)(i)    12/15/2036     9,573,954  
8,000,000   GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (1 Month LIBOR USD + 5.00%, 5.00% Floor)     10.19 % (a)    11/15/2036     7,418,565  
7,896,000   GS Mortgage Securities Corporation Trust, Series 2021-ARDN-H (1 Month LIBOR USD + 5.93%, 5.93% Floor)     11.13 % (a)(i)    11/15/2026     7,243,263  
2,535,131   GS Mortgage Securities Trust, Series 2014-GC20-E     4.67 % (a)(b)(d)    04/10/2047     393,371  
6,273,000   GS Mortgage Securities Trust, Series 2015-GC28-D     4.45 % (a)(d)    02/10/2048     5,245,968  
44,234,657   JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC     0.83 % (a)(d)(j)    08/15/2046     829  
14,113,175   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E     4.00 % (a)(b)(d)    04/15/2047     11,322,045  
7,840,900   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F     3.75 % (a)(b)(d)    04/15/2047     5,196,498  
20,864,916   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR     3.75 % (a)(b)(d)    04/15/2047     1,820,873  
33,207,401   JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XD     0.90 % (a)(d)(j)    08/15/2047     231,236  
1,600,000   JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-D     4.01 % (a)(d)    01/15/2048     1,211,182  
5,000,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-E     2.81 % (a)(b)(d)    02/15/2048     2,429,868  
24,531,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-XE     1.64 % (a)(d)(j)    02/15/2048     474,996  
3,000,000   LoanCore Issuer Ltd., Series 2021-CRE5-C (1 Month LIBOR USD + 2.35%, 2.35% Floor)     7.54 % (a)    07/15/2036     2,722,287  
2,379,000   LSTAR Commercial Mortgage Trust, Series 2017-5-C     4.83 % (a)(d)    03/10/2050     1,821,425  
14,928,355   Med Trust, Series 2021-MDLN-G (1 Month LIBOR USD + 5.25%, 5.25% Floor)     10.44 % (a)(i)    11/15/2038     14,047,857  
30,306,100   Morgan Stanley Capital Trust, Series 2016-UB11-XA     1.58 % (d)(j)    08/15/2049     1,062,671  
11,453,000   Morgan Stanley Capital Trust, Series 2017-ASHF-G (1 Month LIBOR USD + 7.03%, 6.90% Floor)     12.22 % (a)    11/15/2034     10,347,614  
3,357,000   Morgan Stanley Capital Trust, Series 2019-PLND-F (1 Month LIBOR USD + 2.80%, 2.80% Floor)     7.99 % (a)            05/15/2036     2,242,745  
13,000,000   Morgan Stanley Capital Trust, Series 2019-PLND-G (1 Month LIBOR USD + 3.65%, 3.65% Floor)     8.84 % (a)    05/15/2036     6,730,291  
5,000,000   Natixis Commercial Mortgage Securities Trust, Series 2022-JERI-G (Secured Overnight Financing Rate 1 Month + 7.46%, 7.46% Floor)     12.60 % (a)    01/15/2039     4,516,170  
500,000,000   SCOTT Trust, Series 2023-SFS-X     0.32 % (a)(d)(j)    03/15/2040     3,876,650  
24,352,775   SMR Mortgage Trust, Series 2022-INDI-HRR (Secured Overnight Financing Rate 1 Month + 10.50%, 10.50% Floor)     15.65 % (b)    02/15/2039     21,608,193  
7,458,000   UBS Commercial Mortgage Trust, Series 2017-C6-D     2.50 % (a)(d)    12/15/2050     4,529,679  
4,870,000   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-E     3.25 % (a)(b)    08/15/2050     99,835  
4,870,000   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XC     1.74 % (a)(d)(j)    08/15/2050     52,331  
6,363,981   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XD     1.74 % (a)(d)(j)    08/15/2050     67,590  
9,180,600   Wells Fargo Commercial Mortgage Trust, Series 2015-C29-F     4.36 % (a)(b)(d)    06/15/2048     6,012,843  
38,737,225   Wells Fargo Commercial Mortgage Trust, Series 2015-C29-G     4.36 % (a)(b)(d)    06/15/2048     10,124,439  
23,520,000   Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-XEF     1.77 % (a)(d)(j)    10/15/2049     1,048,270  
2,200,000   Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D     3.25 % (a)    01/15/2060     1,521,451  
78,812,214   WF-RBS Commercial Mortgage Trust, Series 2014-LC14-XC     1.93 % (a)(d)(j)    03/15/2047     709,432  
       

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $253,469,455)

     189,030,521  
       

 

 

  

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%)     11.27 % (a)    11/25/2041     1,916,823  
3,000,000   Connecticut Avenue Securities Trust, Series 2021-R03-1B2 (Secured Overnight Financing Rate 30 Day Average + 5.50%, 5.50% Floor)     10.57 % (a)    12/25/2041     2,920,870  
5,000,000   Connecticut Avenue Securities Trust, Series 2022-R01-1B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%)     11.07 % (a)    12/25/2041     4,919,075  
4,500,000   Connecticut Avenue Securities Trust, Series 2022-R02-2B1 (Secured Overnight Financing Rate 30 Day Average + 4.50%)     9.57 % (a)    01/25/2042     4,526,699  
4,000,000   Connecticut Avenue Securities Trust, Series 2023-R05-1B2 (Secured Overnight Financing Rate 30 Day Average + 6.85%, 6.85% Floor)     11.92 % (a)    06/25/2043     4,100,000  
3,000,000   Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-HQA2-B2 (Secured Overnight Financing Rate 30 Day Average + 5.45%)     10.52 % (a)    12/25/2033     2,755,149  
5,130,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA1-B2 (Secured Overnight Financing Rate 30 Day Average + 4.75%)     9.82 % (a)            01/25/2051     4,706,240  
2,000,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA2-B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%)     11.07 % (a)    08/25/2033     1,972,531  
2,000,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-HQA1-B2 (Secured Overnight Financing Rate 30 Day Average + 5.00%)     10.07 % (a)    08/25/2033     1,803,806  
1,500,000   Federal Home Loan Mortgage Corporation STACR REMICS, Series 2022-DNA2-B1 (Secured Overnight Financing Rate 30 Day Average + 4.75%)     9.82 % (a)    02/25/2042     1,496,552  
       

 

 

  

Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $30,045,681)

     31,117,745  
       

 

 

  

US Corporate Bonds - 22.0%

 

15,310,000   Air Methods Corporation     8.00 % (a)(f)    05/15/2025     133,962  
3,770,000   Allied Universal Holdco LLC     9.75 % (a)    07/15/2027     3,337,914  
1,695,000   Arconic Corporation     6.13 % (a)    02/15/2028     1,717,550  
8,175,000   Artera Services LLC     9.03 % (a)    12/04/2025     7,164,570  
4,038,000   ASP Unifrax Holdings, Inc.     7.50 % (a)(h)    09/30/2029     2,504,461  
5,215,000   BCPE Empire Holdings, Inc.     7.63 % (a)    05/01/2027     4,855,630  
750,000   Boxer Parent Company, Inc.     7.13 % (a)    10/02/2025     751,642  
5,800,000   Carnival Corporation     7.63 % (a)(h)    03/01/2026     5,685,879  
8,280,000   Castle US Holding Corporation     9.50 % (a)    02/15/2028     4,695,133  
1,660,000   Cengage Learning, Inc.     9.50 % (a)(h)    06/15/2024     1,668,145  
1,136,000   Clarios Global LP     6.75 % (a)    05/15/2025     1,137,985  
6,440,000   Clarios Global LP     8.50 % (a)(h)    05/15/2027     6,462,611  
5,110,000   Clear Channel Outdoor Holdings, Inc.     7.50 % (a)(h)    06/01/2029     3,787,181  
4,665,000   Cobra AcquisitionCo LLC     6.38 % (a)    11/01/2029     3,293,607  
1,680,000   Community Health Systems, Inc.     6.00 % (a)(h)    01/15/2029     1,415,106  
3,815,000   Constellation Merger Sub, Inc.     8.50 % (a)(h)    09/15/2025     3,134,652  
1,880,000   Coty, Inc.     6.50 % (a)(h)    04/15/2026     1,865,524  
10,160,000   CSI Compressco LP     7.50 % (a)(h)    04/01/2025     9,742,729  
7,695,000   CVR Nitrogen Finance Corporation     6.13 % (a)    06/15/2028     6,700,644  
6,120,000   Dealer Tire LLC     8.00 % (a)    02/01/2028     5,582,625  
2,140,000   DISH DBS Corporation     5.75 % (a)    12/01/2028     1,595,709  
15,745,000   Embarq Corporation     8.00 %    06/01/2036     9,537,691  
2,425,000   Endo Luxembourg Finance Company SARL     6.13 % (a)    04/01/2029     1,796,913  
8,335,000   Ferrellgas LP     5.88 % (a)    04/01/2029     6,991,610  
1,375,000   Frontier Communications Holdings LLC     5.88 % (a)    10/15/2027     1,263,276  
3,255,000   Full House Resorts, Inc.     8.25 % (a)(h)    02/15/2028     3,049,544  
665,000   GrafTech Global Enterprises, Inc.     9.88 % (a)    12/15/2028     660,844  
3,615,000   H-Food Holdings LLC     8.50 % (a)    06/01/2026     1,432,896  
1,325,000   Hightower Holding LLC     6.75 % (a)(h)    04/15/2029     1,147,325  
4,247,000   Illuminate Buyer LLC     9.00 % (a)    07/01/2028     3,706,630  
4,000,000   IRB Holding Corporation     7.00 % (a)    06/15/2025     4,025,260  
2,595,000   Lions Gate Capital Holdings LLC     5.50 % (a)    04/15/2029     1,882,283  
2,780,000   LogMeIn, Inc.     5.50 % (a)    09/01/2027     1,533,584  
6,330,000   LSF9 Atlantis Holdings LLC     7.75 % (a)    02/15/2026     5,900,521  
5,100,000   McGraw-Hill Education, Inc.     5.75 % (a)            08/01/2028     4,424,862  
3,850,000   Metis Merger Sub LLC     6.50 % (a)    05/15/2029     3,325,493  
1,385,000   ModivCare, Inc.     5.88 % (a)(h)    11/15/2025     1,284,291  
5,425,000   Moss Creek Resources Holdings, Inc.     7.50 % (a)    01/15/2026     4,987,316  
11,420,000   NGL Energy Operating LLC     7.50 % (a)    02/01/2026     11,259,169  
1,295,000   NGL Energy Partners LP     7.50 % (h)    04/15/2026     1,220,727  
550,000   Olympus Water US Holding Corporation     6.25 % (a)(h)    10/01/2029     398,311  
3,580,000   PECF USS Intermediate Holding Corporation     8.00 % (a)    11/15/2029     2,017,795  
3,060,000   Premier Entertainment Sub LLC     5.88 % (a)(h)    09/01/2031     2,260,957  
13,815,470   Pyxus Holdings, Inc.     8.50 % (a)    12/31/2027     8,427,437  
9,880,000   Radiology Partners, Inc.     9.25 % (a)    02/01/2028     3,611,011  
5,050,000   Realogy Group LLC     5.75 % (a)    01/15/2029     3,784,205  
3,915,000   Rent-A-Center, Inc.     6.38 % (a)(h)    02/15/2029     3,478,380  
270,000   Royal Caribbean Cruises Ltd.     7.25 % (a)    01/15/2030     273,711  
25,000   Sabre Global, Inc.     9.25 % (a)    04/15/2025     23,341  
6,630,000   Sabre Global, Inc.     7.38 % (a)    09/01/2025     5,892,777  
4,220,000   SEG Holding LLC     5.63 % (a)    10/15/2028     4,002,034  
8,340,000   SWF Escrow Issuer Corporation     6.50 % (a)    10/01/2029     5,015,078  
1,500,000   Tallgrass Energy Partners LP     7.50 % (a)    10/01/2025     1,498,582  
8,145,000   Team Health Holdings, Inc.     6.38 % (a)    02/01/2025     4,331,488  
5,300,000   TKC Holdings, Inc.     10.50 % (a)(h)    05/15/2029     4,033,724  
1,930,000   TMS International Corporation     6.25 % (a)    04/15/2029     1,623,188  
2,675,000   Townsquare Media, Inc.     6.88 % (a)(h)    02/01/2026     2,560,528  
2,695,000   Trident TPI Holdings, Inc.     12.75 % (a)    12/31/2028     2,798,084  
5,070,000   Triton Water Holdings, Inc.     6.25 % (a)(h)    04/01/2029     4,356,448  
6,723,000   Triumph Group, Inc.     7.75 % (h)    08/15/2025     6,543,429  
3,435,000   Uber Technologies, Inc.     8.00 % (a)    11/01/2026     3,504,686  
5,525,000   Uber Technologies, Inc.     7.50 % (a)    09/15/2027     5,657,838  
2,500,000   Unisys Corporation     6.88 % (a)(h)    11/01/2027     1,803,375  
9,485,000   United Natural Foods, Inc.     6.75 % (a)(h)    10/15/2028     7,873,736  
5,005,000   Univision Communications, Inc.     6.63 % (a)    06/01/2027     4,845,235  
1,605,000   Univision Communications, Inc.     7.38 % (a)    06/30/2030     1,529,593  
1,685,000   Venture Global LNG, Inc.     8.38 % (a)    06/01/2031     1,701,020  
2,110,000   Vibrantz Technologies, Inc.     9.00 % (a)(h)    02/15/2030     1,619,362  
2,995,000   Viking Cruises Ltd.     13.00 % (a)    05/15/2025     3,146,822  
5,915,000   Viking Cruises Ltd.     9.13 % (a)(h)    07/15/2031     5,979,947  
5,205,000   WASH Multifamily Acquisition, Inc.     5.75 % (a)    04/15/2026     4,865,024  
2,590,000   Weatherford International Ltd.     6.50 % (a)    09/15/2028     2,603,468  
820,000   Weatherford International Ltd.     8.63 % (a)    04/30/2030     833,265  
1,490,000   Wheel Pros, Inc.     6.50 % (a)    05/15/2029     450,948  
6,210,000   XHR LP     6.38 % (a)    08/15/2025     6,102,350  
       

 

 

  

Total US Corporate Bonds (Cost $336,011,505)

     266,110,671  
       

 

 

  

US Government and Agency Mortgage Backed Obligations - 4.3%

 

4,779,948   Federal Home Loan Mortgage Corporation REMICS, Series 3631-SJ (-1 x 1 Month LIBOR USD + 6.24%, 6.24% Cap)     1.05 % (j)(k)    02/15/2040     329,018  
1,174,748   Federal Home Loan Mortgage Corporation REMICS, Series 3770-SP (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)     1.31 % (j)(k)    11/15/2040     19,185  
10,621,222   Federal Home Loan Mortgage Corporation REMICS, Series 3980-SX (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)     1.31 % (j)(k)    01/15/2042     1,114,038  
24,991,530   Federal Home Loan Mortgage Corporation REMICS, Series 5129-S (-1 x Secured Overnight Financing Rate 30 Day Average + 2.70%, 2.70% Cap)     0.00 % (j)(k)    12/25/2044     72,333  
52,297,546   Federal Home Loan Mortgage Corporation, Series 2021-P009-X     1.50 % (d)(j)    01/25/2031     2,327,957  
2,337,703   Federal National Mortgage Association REMICS, Series 2006-83-SH (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap)     1.41 % (j)(k)    09/25/2036     152,458  
8,145,135   Federal National Mortgage Association REMICS, Series 2010-123-SK (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)     0.90 % (j)(k)    11/25/2040     704,549  
5,800,369   Federal National Mortgage Association REMICS, Series 2012-60-SN (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap)     1.45 % (j)(k)    06/25/2042     516,940  
10,117,989   Federal National Mortgage Association REMICS, Series 2019-46-SG (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)     0.95 % (j)(k)    08/25/2049     759,234  
43,569,846   Federal National Mortgage Association REMICS, Series 2021-17-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 2.50% Cap)     0.00 % (j)(k)    04/25/2051     522,198  
3,358,354   FREMF Mortgage Trust, Series 2016-KF23-B (1 Month LIBOR USD + 5.15%)     10.34 % (a)            09/25/2023     3,352,739  
2,033,929   FREMF Mortgage Trust, Series 2017-KF27-B (1 Month LIBOR USD + 4.35%, 4.35% Floor)     9.54 % (a)    12/25/2026     1,999,281  
8,865,019   FREMF Mortgage Trust, Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor)     10.99 % (a)    11/25/2028     7,523,584  
17,037,541   FREMF Mortgage Trust, Series 2019-KF71-C (1 Month LIBOR USD + 6.00%, 6.00% Floor)     11.19 % (a)    10/25/2029     16,212,852  
9,077,510   Government National Mortgage Association, Series 2011-128-TS (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)     0.89 % (j)(k)    05/16/2041     769,787  
26,590,772   Government National Mortgage Association, Series 2015-64-SG (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)     0.45 % (j)(k)    05/20/2045     1,853,260  
3,739,223   Government National Mortgage Association, Series 2018-145-IA     4.00 % (j)    10/20/2045     328,546  
4,343,338   Government National Mortgage Association, Series 2020-129-SE (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap)     0.00 % (j)(k)    09/20/2050     60,702  
16,355,173   Government National Mortgage Association, Series 2020-146-SH (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap)     1.14 % (j)(k)    10/20/2050     1,627,510  
6,057,718   Government National Mortgage Association, Series 2020-187-SB (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap)     1.14 % (j)(k)    12/20/2050     617,540  
23,418,877   Government National Mortgage Association, Series 2020-47-SL (-1 x 1 Month LIBOR USD + 5.37%, 5.37% Cap)     0.21 % (j)(k)    07/20/2044     1,367,627  
12,751,463   Government National Mortgage Association, Series 2020-61-SU (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)     0.44 % (j)(k)    07/16/2045     956,957  
36,011,431   Government National Mortgage Association, Series 2021-107-SA (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap)     0.00 % (j)(k)    06/20/2051     1,338,880  
20,125,927   Government National Mortgage Association, Series 2021-125-AS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.25%, 3.25% Cap)     0.00 % (j)(k)    07/20/2051     183,462  
44,984,785   Government National Mortgage Association, Series 2021-139-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 3.20% Cap)     0.00 % (j)(k)    08/20/2051     881,328  
46,748,142   Government National Mortgage Association, Series 2021-77-SG (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap)     0.00 % (j)(k)    05/20/2051     1,360,142  
18,856,981   Government National Mortgage Association, Series 2021-7-IQ     2.50 % (j)    01/20/2051     2,390,754  
40,638,741   Government National Mortgage Association, Series 2021-96-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 3.20% Cap)     0.00 % (j)(k)        06/20/2051     769,730  
60,061,407   Government National Mortgage Association, Series 2021-97-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap)     0.00 % (j)(k)    06/20/2051     797,297  
34,814,666   Government National Mortgage Association, Series 2021-97-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap)     0.00 % (j)(k)    06/20/2051     414,709  
       

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $88,524,290)

     51,324,597  
       

 

 

  

Common Stocks - 1.8%

 

51,725   ATD Holdings, Inc. (b)(h)(l)         2,340,556  
288,460   Calfrac Well Services Ltd. (l)         833,649  
212,801   CFG Investment S.A.C (b)(l)         2,660,013  
283,355   Foresight Equity (b)(l)         3,346,426  
8,608   GTT Communications, Inc. (b)(l)         129,120  
105,190   Intelsat Emergence S.A. (b)(l)         2,419,370  
26,458   Legacy Notes (b)(l)         405,601  
183,948   Longview Equity (b)(l)         2,391,324  
808,534   Petra Diamonds Ltd. (l)         687,983  
59,296   Riverbed Technology (b)(l)         —    
33,058   Summit Midstream Partners LP (l)         537,193  
97,836   Weatherford International PLC (l)         6,498,267  
       

 

 

  

Total Common Stocks (Cost $52,275,623)

     22,249,502  
       

 

 

  

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)         1  
19,250,000   Alpha Holdings S.A. de C.V. (b)(l)         —    
3,300,000   GCB Intelsat Jackson (a)(b)(l)         —    
7,715,000   GCB Intelsat Jackson (a)(b)(l)         —    
       

 

 

  

Total Escrow Notes (Cost $-)

     1  
       

 

 

  

Preferred Stocks - 0.0% (m)

 

27,516   Riverbed Technologies, Inc. (b)(l)         —    
       

 

 

  

Total Preferred Stocks (Cost $586,574)

     —    
       

 

 

  

Rights - 0.4%

 

11,016   Intelsat Jackson Holdings Ltd. - Series A (b)(l)         79,866  
11,016   Intelsat Jackson Holdings Ltd. - Series B (b)(l)         52,326  
333,957   Legacy Backstop (b)(l)         5,119,561  
       

 

 

  

Total Rights (Cost $2,849,650)

     5,251,753  
       

 

 

  

Warrants - 0.0% (m)

 

27,621   GTT Communications, Inc., Expiration 12/30/2027, Strike Price $0.00 (b)(l)         13,810  
       

 

 

  

Total Warrants (Cost $386,878)

     13,810  
       

 

 

  

Short Term Investments - 0.6%

 

2,376,161   BlackRock Liquidity Funds FedFund - Institutional Shares     4.99 % (n)                2,376,161  
2,376,160   Fidelity Institutional Money Market Government Portfolio - Class I     4.98 % (n)        2,376,160  
2,376,160   Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class     5.03 % (n)        2,376,160  
       

 

 

  

Total Short Term Investments (Cost $7,128,481)

     7,128,481  
       

 

 

  

Total Investments - 128.5% (Cost $2,143,639,186) (o)

     1,550,284,185  
Liabilities in Excess of Other Assets - (28.5)%     (343,498,194 ) 
       

 

 

  

NET ASSETS - 100.0%

   $ 1,206,785,991  
       

 

 

  

 

  (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 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.

 

 

  (e)

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.

 

 

  (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)

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

 

 

  (i)

All or a portion of this security has been pledged as collateral.

 

 

  (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.

 

 

  (p)

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.

 

 

  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

     35.7%  

US Corporate Bonds

     22.0%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     16.1%  

Non-Agency Commercial Mortgage Backed Obligations

     15.7%  

Bank Loans

     15.0%  

Collateralized Loan Obligations

     12.1%  

US Government and Agency Mortgage Backed Obligations

     4.3%  

Non-Agency Residential Collateralized Mortgage Obligations

     2.6%  

Asset Backed Obligations

     2.2%  

Common Stocks

     1.8%  

Short Term Investments

     0.6%  

Rights

     0.4%  

Warrants

     0.0%  (m) 

Escrow Notes

     0.0%  (m) 

Preferred Stocks

     0.0%  (m) 

Other Assets and Liabilities

     (28.5)%  
 

 

 

  
                100.0%  
 

 

 

  

 

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     16.1%  

Non-Agency Commercial Mortgage Backed Obligations

     15.7%  

Collateralized Loan Obligations

     12.1%  

Energy

     11.9%  

Consumer Products

     6.1%  

Transportation

     4.8%  

Mining

     4.6%  

US Government and Agency Mortgage Backed Obligations

     4.3%  

Banking

     3.7%  

Media

     3.3%  

Utilities

     3.1%  

Electronics/Electric

     3.0%  

Chemicals/Plastics

     2.8%  

Commercial Services

     2.8%  

Non-Agency Residential Collateralized Mortgage Obligations

     2.6%  

Healthcare

     2.6%  

Chemical Products

     2.4%  

Telecommunications

     2.2%  

Asset Backed Obligations

     2.2%  

Technology

     2.0%  

Leisure

     1.9%  

Real Estate

     1.8%  

Finance

     1.8%  

Automotive

     1.7%  

Retailers (other than Food/Drug)

     1.6%  

Business Equipment and Services

     1.6%  

Building and Development (including Steel/Metals)

     1.2%  

Financial Intermediaries

     1.2%  

Aerospace & Defense

     1.1%  

Food Products

     1.1%  

Industrial Equipment

     0.9%  

Beverage and Tobacco

     0.7%  

Hotels/Motels/Inns and Casinos

     0.6%  

Short Term Investments

     0.6%  

Insurance

     0.5%  

Containers and Glass Products

     0.4%  

Environmental Control

     0.4%  

Food Service

     0.3%  

Food/Drug Retailers

     0.3%  

Construction

     0.2%  

Pharmaceuticals

     0.2%  

Cosmetics/Toiletries

     0.1%  

Other Assets and Liabilities

     (28.5)%  
 

 

 

  
                100.0%  
 

 

 

  

 

COUNTRY BREAKDOWN as a % of Net Assets:

 

United States

     73.8%  

Colombia

     12.2%  

Brazil

     8.3%  

Mexico

     7.2%  

India

     4.9%  

Argentina

     3.0%  

Peru

     2.9%  

Canada

     2.6%  

Paraguay

     1.5%  

Ukraine

     1.5%  

Morocco

     1.3%  

Indonesia

     1.3%  

Ghana

     1.2%  

South Africa

     1.0%  

Dominican Republic

     0.9%  

Panama

     0.8%  

Hong Kong

     0.7%  

Jamaica

     0.6%  

Luxembourg

     0.5%  

Austria

     0.4%  

United Kingdom

     0.4%  

Singapore

     0.4%  

Trinidad And Tobago

     0.3%  

China

     0.2%  

Thailand

     0.2%  

Chile

     0.2%  

Germany

     0.1%  

Ireland

     0.1%  

Guatemala

     0.0%  (m) 

Other Assets and Liabilities

     (28.5)%  
 

 

 

  
                100.0%  
 

 

 

  

 

Notes to Schedule of Investments

June 30, 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.

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 evaluations provided by independent pricing services or broker dealer quotations. 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 Fund 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 (as defined below) 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 June 30, 2023:

 

Category

  

 

  

Investments in Securities

  

Level 1

  

Common Stocks

   $ 8,557,092  

Money Market Funds

     7,128,481  

 

  

 

 

  

Total Level 1

     15,685,573  

Level 2

  

Foreign Corporate Bonds

   $ 422,529,701  

US Corporate Bonds

     266,110,671  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     193,742,424  

Bank Loans

     179,281,075  

Collateralized Loan Obligations

     136,601,666  

Non-Agency Commercial Mortgage Backed Obligations

     128,997,755  

US Government and Agency Mortgage Backed Obligations

     51,324,597  

Non-Agency Residential Collateralized Mortgage Obligations

     31,117,745  

Asset Backed Obligations

     20,579,983  

 

  

 

 

  

Total Level 2

     1,430,285,617  

Level 3

  

Non-Agency Commercial Mortgage Backed Obligations

   $ 60,032,766  

Common Stocks

     13,692,410  

Collateralized Loan Obligations

     9,923,153  

Foreign Corporate Bonds

     7,980,546  

Asset Backed Obligations

     5,513,904  

Rights

     5,251,753  

Bank Loans

     1,904,652  

Warrants

     13,810  

Escrow Notes

     1  

Preferred Stocks

     —    

 

  

 

 

  

Total Level 3

     104,312,995  

 

  

 

 

  

Total

   $         1,550,284,185  

 

  

 

 

  

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

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

 

    

Fair Value

as of
September 30,

2022

    

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

June 30,

2023

    

Net

Change in

Unrealized

Appreciation

(Depreciation)

on securities

held at

June 30,

2023(c)

  

Investments in Securities

                    

Non-Agency Commercial Mortgage Backed Obligations

   $ 65,017,770     $ 114,429     $ (4,546,214 )    $ 569,045     $ 690     $ (1,122,954 )    $ —       $  —       $ 60,032,766     $ (4,635,472 ) 

Common Stocks

     16,545,799       (505,199 )      (1,820,251 )      —         —         (527,939 )      —         —         13,692,410       (5,138,282 ) 

Collateralized Loan Obligations

     6,311,066       —         (516,935 )      25,486       156,781       —         3,946,755       —         9,923,153       (377,045 ) 

Foreign Corporate Bonds

     —         47,443       4,232,108       7,250       5,686,324       (1,992,579 )      —         —         7,980,546       420,623  

Asset Backed Obligations

     13,862,107       (4,053,451 )      (2,503,479 )      (212 )      437,563       (2,228,624 )      —         —         5,513,904       (4,680,614 ) 

Rights

     5,266,282       —         (14,529 )      —         —         —         —         —         5,251,753       (14,529 ) 

Bank Loans

     1,922,434       5,584       (66,256 )      60,672       —         (17,782 )      —         —         1,904,652       (60,302 ) 

Warrants

     1       (1 )      13,810       —         —         —         —         —         13,810       —    

Escrow Notes

     13,974,408       (5,348,501 )      2,212,384       —         —         (10,838,290 )      —         —         1       —    

Preferred Stocks

     27,516       —         (27,516 )      —         —         —         —         —         —         (27,516 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 122,927,383     $ (9,739,696 )    $ (3,036,878 )    $ 662,241     $ 6,281,358     $ (16,728,168 )    $ 3,946,755     $ —       $ 104,312,995     $ (14,933,760 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) 

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

(b)

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

(c)

Any difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation) on securities held at June 30, 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

June 30,
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

    $ 60,032,766      Market Comparables    Market Quotes      $0.01 - $88.73 ($66.39)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Common Stocks

    $ 13,692,410      Market Comparables    Market Quotes      $0.00 - $42.25 ($19.98)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Collateralized Loan Obligations

    $ 9,923,153      Market Comparables    Market Quotes      $0.02 - $77.21 ($70.28)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Foreign Corporate Bonds

    $ 7,980,546      Market Comparables    Market Quotes      $0.00 - $137.50 ($124.76)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Asset Backed Obligations

    $ 5,513,904      Market Comparables    Market Quotes      $11.89 - $1,646.20 ($777.48)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Rights

    $ 5,251,753      Market Comparables    Market Quotes      $4.75 - $15.33 ($15.10)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Bank Loans

    $ 1,904,652      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

    $ 13,810      Market Comparables    Market Quotes      $0.00 ($0.00)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Escrow Notes

    $ 1      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

Preferred Stocks

    $ —        Market Comparables    Market Quotes      $0.00 ($0.00)      Significant changes in the market quotes would have resulted in direct and proportional 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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