As filed with the Securities and Exchange Commission on February 26, 2019
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number 811-22791
DoubleLine Income Solutions Fund
(Exact name of registrant as specified in charter)
333 South Grand Avenue, Suite 1800
Los Angeles, CA 90071
(Address of principal executive offices) (Zip code)
Ronald R. Redell
c/o DoubleLine Capital LP
333 South Grand Avenue, Suite 1800
Los Angeles, CA 90071
(Name and address of agent for service)
(213) 633-8200
Registrant’s telephone number, including area code
Date of fiscal year end: September 30, 2019
Date of reporting period: December 31, 2018
Item 1. Schedule of Investments.
DoubleLine Income Solutions Fund
Schedule of Investments
December 31, 2018 (Unaudited)
| Principal Amount $/Shares |
Security Description |
Rate | Maturity |
Value $ | ||||||||
| Asset Backed Obligations - 0.4% |
||||||||||||
| 1,477,500 | Coinstar Funding LLC, Series 2017-1A-A2 | 5.22% | ^ | 04/25/2047 | 1,495,002 | |||||||
| 5,403,750 | Harley Marine Financing LLC, Series 2018-1A-A2 | 5.68% | ^¥ | 05/15/2043 | 3,840,283 | |||||||
| 1,000,000 | Horizon Aircraft Finance Ltd., Series 2018-1-C | 6.66% | ^ | 12/15/2038 | 1,008,885 | |||||||
| 935,480 | Sapphire Aviation Finance Ltd., Series 2018-1A-B | 5.93% | ^ | 03/15/2040 | 947,394 | |||||||
|
|
|
|||||||||||
| Total Asset Backed Obligations (Cost $8,822,805) |
7,291,564 | |||||||||||
|
|
|
|||||||||||
| Bank Loans - 11.4% |
||||||||||||
| 200,000 | 8th Avenue Food & Provisions, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) | 6.10% | 10/01/2025 | 196,417 | ||||||||
| 755,000 | Achilles Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 6.56% | ¥ | 10/13/2025 | 745,563 | |||||||
| 159,200 | Acrisure, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) | 6.27% | 11/22/2023 | 150,842 | ||||||||
| 751,660 | Acrisure, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor) | 6.77% | 11/22/2023 | 730,524 | ||||||||
| 2,368,100 | Airxcel, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 7.02% | ¥ | 04/28/2025 | 2,237,855 | |||||||
| 623,688 | Alera Group Intermediate Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 7.02% | ¥ | 08/01/2025 | 617,451 | |||||||
| 1,895,475 | Aleris International, Inc., Senior Secured First Lien Term Loan (2 Month LIBOR USD + 4.75%) | 7.25% | 02/27/2023 | 1,883,334 | ||||||||
| 2,315,000 | Allied Universal Holdco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor) | 6.77% | 07/28/2022 | 2,216,613 | ||||||||
| 3,000,000 | Almonde, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor) | 10.05% | 06/16/2025 | 2,779,290 | ||||||||
| 6,572,025 | American Tire Distributors Inc, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor) | 6.64% | 08/30/2024 | 5,410,978 | ||||||||
| 4,653,195 | Applied Systems, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.00%, 1.00% Floor) | 9.39% | 09/19/2025 | 4,577,581 | ||||||||
| 6,330,000 | Asurion, LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%) | 9.02% | 08/04/2025 | 6,278,600 | ||||||||
| 1,805,000 | Auris Luxembourg III Sarl, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) | 6.09% | 07/25/2025 | 1,763,268 | ||||||||
| 1,355,000 | Bass Pro Group, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor) | 7.52% | 09/25/2024 | 1,302,155 | ||||||||
| 6,969,987 | BI-LO, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.00% Floor) | 10.78% | 05/31/2024 | 6,696,973 | ||||||||
| 2,255,000 | Brookfield WEC Holdings Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) | 6.27% | 08/01/2025 | 2,191,781 | ||||||||
| 7,591,498 | Capital Automotive L.P., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) | 8.52% | 03/24/2025 | 7,520,366 | ||||||||
| 3,500,000 | Cologix Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 1.00% Floor) | 9.34% | ¥ | 03/21/2025 | 3,412,500 | |||||||
| 1,989,963 | CONSOL Mining Corporation, Guaranteed Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor) | 8.74% | 10/31/2022 | 2,013,593 | ||||||||
| 1,850,363 | Covia Holdings Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 6.55% | 06/02/2025 | 1,350,765 | ||||||||
| 625,000 | CP VI Bella Topco LLC, Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.75%, 1.00% Floor) | 9.55% | ¥ | 01/23/2026 | 614,063 | |||||||
| 2,000,000 | CSM Bakery Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 1.00% Floor) | 6.41% | ¥ | 07/03/2020 | 1,857,500 | |||||||
| 2,900,000 | CSM Bakery Solutions LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.75%, 1.00% Floor) | 10.16% | ¥ | 07/02/2021 | 2,660,750 | |||||||
| 420,000 | CVS Holdings LP, Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.75%, 1.00% Floor) | 9.34% | ¥ | 02/06/2026 | 396,900 | |||||||
| 4,995,000 | Cyxtera DC Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%, 1.00% Floor) | 9.63% | 05/01/2025 | 4,620,375 | ||||||||
| 1,532,300 | EnergySolutions, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 6.55% | ¥ | 05/09/2025 | 1,425,039 | |||||||
| 1,250,000 | Excelitas Technologies Corporation, Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.50%, 1.00% Floor) | 9.85% | 11/15/2025 | 1,196,875 | ||||||||
| 1,103,598 | Explorer Holdings Inc, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 6.55% | 05/02/2023 | 1,070,032 | ||||||||
| 3,015,000 | Financial & Risk US Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%) | 6.27% | 10/01/2025 | 2,883,094 | ||||||||
| 9,515,838 | Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor) | 8.28% | 03/28/2022 | 9,365,155 | ||||||||
| 4,066,129 | Gavilan Resources, LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) | 8.50% | 03/01/2024 | 3,130,919 | ||||||||
| 1,890,000 | Gentiva Health Services, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%) | 9.56% | 07/02/2026 | 1,890,000 | ||||||||
| 333,325 | Genworth Holdings Inc, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) | 6.96% | 02/28/2023 | 329,158 | ||||||||
| 1,925,000 | Go Wireless, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.50%, 1.00% Floor) | 9.02% | 12/22/2024 | 1,872,861 | ||||||||
| 7,871,824 | Gulf Finance, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 1.00% Floor) | 7.78% | 08/25/2023 | 6,071,145 | ||||||||
| 7,700,000 | Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.75% Floor) | 9.52% | 07/07/2025 | 7,623,000 | ||||||||
| 6,830,951 | Jo-Ann Stores, LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.00%, 1.00% Floor) | 7.48% | 10/20/2023 | 6,532,097 | ||||||||
| 1,855,350 | Keane Group Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 1.00% Floor) | 6.31% | ¥ | 05/26/2025 | 1,716,199 | |||||||
| 4,329,150 | Kestrel Acquisition LLC, Senior Secured 1st Lien Term Loan (1 Month LIBOR USD + 4.25%, 1.00% Floor) | 6.60% | 06/02/2025 | 4,280,447 | ||||||||
| 2,260,000 | Kindred Healthcare, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) | 7.56% | ¥ | 06/23/2025 | 2,124,400 | |||||||
| 4,500,000 | Kronos, Inc., Secured 2nd Lien Term Loan (3 Month LIBOR USD + 8.25%, 1.00% Floor) | 10.83% | 11/01/2024 | 4,462,740 | ||||||||
| 5,805,000 | Longview Power LLC, Senior Secured 1st Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor) | 8.44% | 04/13/2021 | 4,919,737 | ||||||||
| 3,293,750 | LSF9 Atlantis Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) | 8.38% | 05/01/2023 | 3,144,164 | ||||||||
| 3,077,143 | Masergy Communications, Inc., Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.50%, 1.00% Floor) | 10.18% | ¥ | 12/14/2024 | 3,025,862 | |||||||
| 2,991,578 | McDermott International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 1.00% Floor) | 7.52% | 05/12/2025 | 2,800,864 | ||||||||
| 5,333,333 | Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%) | 9.77% | 12/01/2025 | 5,203,360 | ||||||||
| 3,025,000 | MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 7.02% | 11/28/2025 | 2,939,937 | ||||||||
| 2,920,000 | MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.75%) | 11.27% | 11/30/2026 | 2,859,162 | ||||||||
| 3,590,000 | Monitronics International, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.50%, 1.00% Floor) | 8.30% | 09/30/2022 | 3,219,781 | ||||||||
| 905,000 | NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%) | 9.52% | 10/19/2026 | 855,225 | ||||||||
| 1,550,000 | Peak 10 Holding Corporation, Guaranteed Secured 2nd Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor) | 9.83% | 08/01/2025 | 1,398,875 | ||||||||
| 3,845,000 | Pearl Intermediate Parent LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%) | 8.75% | 02/13/2026 | 3,806,550 | ||||||||
| 640,000 | Pelican Products, Inc., Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.75%) | 10.33% | 05/01/2026 | 620,800 | ||||||||
| 580,000 | Polar US Borrower, LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) | 7.19% | 10/15/2025 | 559,700 | ||||||||
| 2,000,000 | PowerTeam Services, LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor) | 10.06% | ¥ | 03/06/2026 | 1,950,000 | |||||||
| 2,500,000 | Quest Software US Holdings Inc, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%) | 6.78% | 05/16/2025 | 2,425,000 | ||||||||
| 2,683,333 | Rack Merger Sub, Inc., Guaranteed Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.25%, 1.00% Floor) | 10.05% | ¥ | 10/01/2022 | 2,676,625 | |||||||
| 3,818,596 | RentPath, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 1.00% Floor) | 7.28% | ¥ | 12/17/2021 | 3,081,130 | |||||||
| 645,000 | Restaurant Technologies, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.50%) | 8.90% | ¥ | 10/01/2026 | 641,775 | |||||||
| 2,833,888 | Solenis International, L.P., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 6.71% | 12/26/2023 | 2,748,871 | ||||||||
| 1,275,000 | Solenis International, L.P., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.50%) | 11.21% | ¥ | 06/26/2026 | 1,211,250 | |||||||
| 1,477,905 | Solera, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) | 5.27% | 03/03/2023 | 1,398,475 | ||||||||
| 1,770,000 | Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) | 9.27% | ¥ | 06/26/2026 | 1,712,475 | |||||||
| 3,125,000 | Southern Graphics, Inc., Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.50%) | 10.27% | ¥ | 11/22/2023 | 3,000,000 | |||||||
| 548,625 | SRS Distribution Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) | 5.77% | 05/23/2025 | 513,395 | ||||||||
| 3,636,208 | Summit Midstream Partners Holdings, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 6.00%, 1.00% Floor) | 8.52% | 05/13/2022 | 3,578,629 | ||||||||
| 4,744,460 | Syncreon Global Finance (US) Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.25%, 1.00% Floor) | 6.78% | 10/28/2020 | 4,191,445 | ||||||||
| 900,000 | The Edelman Financial Center, LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%) | 9.19% | 07/20/2026 | 859,500 | ||||||||
| 3,820,000 | TKC Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.00%, 1.00% Floor) | 10.53% | 02/01/2024 | 3,767,819 | ||||||||
| 1,184,050 | Travel Leaders Group, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%) | 6.46% | 01/25/2024 | 1,177,638 | ||||||||
| 3,235,000 | Ultra Clean Holdings, Inc., Senior Secured First Lien Term Loan (Prime Rate + 3.50%) | 9.00% | ¥ | 08/27/2025 | 3,089,425 | |||||||
| 2,840,000 | US Renal Care, Inc., Senior Secured 2nd Lien Term Loan (3 Month LIBOR USD + 8.00%, 1.00% Floor) | 10.80% | ¥ | 12/31/2023 | 2,726,400 | |||||||
| 4,000,000 | Vantage Specialty Chemicals, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%, 1.00% Floor) | 10.78% | ¥ | 10/27/2025 | 3,926,660 | |||||||
| 2,125,000 | VeriFone Systems, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%) | 6.64% | 08/20/2025 | 2,061,250 | ||||||||
| 2,620,000 | Verscend Holding Corp., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%) | 7.02% | 08/27/2025 | 2,541,400 | ||||||||
| 289,141 | WASH Multifamily Laundry Systems LLC, Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.00%, 1.00% Floor) | 9.64% | ¥ | 05/15/2023 | 279,744 | |||||||
| 1,650,859 | WASH Multifamily Laundry Systems LLC, Secured 2nd Lien Term Loan (1 Month LIBOR USD + 7.00%, 1.00% Floor) | 9.64% | ¥ | 05/15/2023 | 1,597,206 | |||||||
| 905,000 | Web.Com Group, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) | 6.17% | 10/10/2025 | 873,325 | ||||||||
| 5,591,131 | Web.Com Group, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.75%) | 10.17% | 10/09/2026 | 5,549,197 | ||||||||
| 1,395,000 | WeddingWire, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%) | 7.29% | 12/19/2025 | 1,374,075 | ||||||||
| 2,725,000 | WeddingWire, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%) | 10.65% | ¥ | 11/06/2026 | 2,711,375 | |||||||
| 1,340,000 | Wink Holdco, Inc., Secured 2nd Lien Term Loan (1 Month LIBOR USD + 6.75%, 1.00% Floor) | 9.49% | ¥ | 12/01/2025 | 1,275,238 | |||||||
| 1,358,655 | Yak Access, LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%) | 7.52% | ¥ | 07/11/2025 | 1,141,270 | |||||||
|
|
|
|||||||||||
| Total Bank Loans (Cost $228,069,069) |
219,633,807 | |||||||||||
|
|
|
|||||||||||
| Collateralized Loan Obligations - 10.8% |
||||||||||||
| 2,000,000 | Adams Mill Ltd., Series 2014-1A-D2 (3 Month LIBOR USD + 4.25%) | 6.69% | ^ | 07/15/2026 | 2,002,427 | |||||||
| 6,000,000 | Adams Mill Ltd., Series 2014-1A-E2 (3 Month LIBOR USD + 6.25%) | 8.69% | ^ | 07/15/2026 | 5,849,925 | |||||||
| 1,000,000 | ALM LLC, Series 2016-19A-C (3 Month LIBOR USD + 4.35%) | 6.79% | ^ | 07/15/2028 | 1,001,837 | |||||||
| 5,000,000 | ALM LLC, Series 2016-19A-D (3 Month LIBOR USD + 7.35%) | 9.79% | ^ | 07/15/2028 | 5,011,213 | |||||||
| 2,000,000 | Apidos Ltd., Series 2015-21A-ER (3 Month LIBOR USD + 8.25%, 8.25% Floor) | 10.69% | ^ | 07/18/2027 | 1,886,880 | |||||||
| 3,000,000 | Apidos Ltd., Series 2016-24A-DR (3 Month LIBOR USD + 5.80%) | 8.27% | ^ | 10/20/2030 | 2,671,707 | |||||||
| 2,500,000 | Atrium XV, Series 15A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor) | 8.63% | ^ | 01/23/2031 | 2,290,817 | |||||||
| 2,250,000 | Babson Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 6.45%) | 8.92% | ^ | 10/20/2030 | 2,132,802 | |||||||
| 4,000,000 | Barings Ltd., Series 2016-3A-D (3 Month LIBOR USD + 7.25%, 7.25% Floor) | 9.69% | ^ | 01/15/2028 | 3,997,793 | |||||||
| 1,500,000 | Barings Ltd., Series 2018-4A-E (3 Month LIBOR USD + 5.82%, 5.82% Floor) | 8.24% | ^ | 10/15/2030 | 1,388,765 | |||||||
| 2,500,000 | BlueMountain Ltd., Series 2015-2A-F (3 Month LIBOR USD + 6.80%, 6.80% Floor) | 9.24% | ^ | 07/18/2027 | 2,217,317 | |||||||
| 3,000,000 | BlueMountain Ltd., Series 2016-2A-D (3 Month LIBOR USD + 7.00%) | 9.64% | ^ | 08/20/2028 | 2,947,522 | |||||||
| 5,000,000 | Bristol Park Ltd., Series 2016-1A-E (3 Month LIBOR USD + 7.25%) | 9.69% | ^ | 04/15/2029 | 4,967,947 | |||||||
| 6,500,000 | Buttermilk Park Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 8.09% | ^ | 10/15/2031 | 5,931,848 | |||||||
| 8,050,000 | Canyon Capital Ltd., Series 2015-1A-ER (3 Month LIBOR USD + 6.85%) | 9.29% | ^ | 04/15/2029 | 7,960,958 | |||||||
| 2,500,000 | Canyon Capital Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 5.75%) | 8.19% | ^ | 07/15/2031 | 2,195,469 | |||||||
| 4,650,000 | Canyon Capital Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.25%) | 8.69% | ^ | 07/15/2030 | 4,272,749 | |||||||
| 2,500,000 | Canyon Capital Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 8.19% | ^ | 07/15/2031 | 2,246,940 | |||||||
| 2,000,000 | Carlyle Global Market Strategies Ltd., Series 2013-3A-DR (3 Month LIBOR USD + 5.50%) | 7.94% | ^ | 10/15/2030 | 1,803,420 | |||||||
| 1,500,000 | Chenango Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.80%, 5.80% Floor) | 8.24% | ^ | 04/15/2030 | 1,358,315 | |||||||
| 2,500,000 | Dryden Ltd., Series 2018-55A-F (3 Month LIBOR USD + 7.20%) | 9.64% | ^ | 04/15/2031 | 2,167,844 | |||||||
| 3,000,000 | Dryden Senior Loan Fund, Series 2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor) | 7.59% | ^ | 01/15/2031 | 2,603,928 | |||||||
| 1,250,000 | Galaxy Ltd., Series 2017-24A-E (3 Month LIBOR USD + 5.50%) | 7.94% | ^ | 01/15/2031 | 1,110,534 | |||||||
| 1,000,000 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A-C (3 Month LIBOR USD + 3.50%) | 6.01% | ^ | 04/28/2025 | 987,005 | |||||||
| 1,000,000 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%) | 7.51% | ^ | 04/28/2025 | 936,697 | |||||||
| 1,000,000 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E (3 Month LIBOR USD + 5.75%) | 8.26% | ^ | 04/28/2025 | 864,114 | |||||||
| 3,500,000 | LCM LP, Series 14A-FR (3 Month LIBOR USD + 7.61%) | 10.08% | ^ | 07/20/2031 | 3,109,925 | |||||||
| 5,000,000 | LCM LP, Series 17A-ER (3 Month LIBOR USD + 6.00%, 6.00% Floor) | 8.43% | ^ | 10/15/2031 | 4,576,072 | |||||||
| 7,000,000 | LCM LP, Series 19A-E1 (3 Month LIBOR USD + 6.45%, 6.45% Floor) | 8.89% | ^ | 07/15/2027 | 6,864,165 | |||||||
| 6,500,000 | LCM LP, Series 26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor) | 7.77% | ^ | 01/20/2031 | 5,702,554 | |||||||
| 2,000,000 | LCM LP, Series 28A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 8.20% | ^ | 10/20/2030 | 1,814,521 | |||||||
| 11,000,000 | Madison Park Funding Ltd., Series 2014-14A-ER (3 Month LIBOR USD + 5.80%, 5.80% Floor) | 8.27% | ^ | 10/22/2030 | 10,000,016 | |||||||
| 7,100,000 | Madison Park Funding Ltd., Series 2015-18A-ER (3 Month LIBOR USD + 6.35%) | 8.82% | ^ | 10/21/2030 | 6,728,562 | |||||||
| 1,500,000 | Madison Park Funding Ltd., Series 2016-22A-E (3 Month LIBOR USD + 6.65%) | 9.14% | ^ | 10/25/2029 | 1,453,204 | |||||||
| 3,000,000 | Madison Park Funding Ltd., Series 2017-25A-D (3 Month LIBOR USD + 6.10%) | 8.59% | ^ | 04/25/2029 | 2,824,924 | |||||||
| 10,000,000 | Magnetite Ltd., Series 2012-7A-DR2 (3 Month LIBOR USD + 4.50%) | 6.94% | ^ | 01/15/2028 | 9,084,328 | |||||||
| 7,500,000 | Magnetite Ltd., Series 2015-16A-ER (3 Month LIBOR USD + 5.00%) | 7.44% | ^ | 01/18/2028 | 7,035,225 | |||||||
| 2,000,000 | Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-E (3 Month LIBOR USD + 5.40%) | 7.84% | ^ | 01/15/2028 | 1,855,335 | |||||||
| 5,000,000 | Octagon Investment Partners Ltd., Series 2012-1A-DR (3 Month LIBOR USD + 7.15%) | 9.59% | ^ | 07/15/2029 | 4,936,671 | |||||||
| 8,250,000 | Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 8.09% | ^ | 07/17/2030 | 7,408,601 | |||||||
| 5,460,000 | Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 7.00%) | 9.45% | ^ | 07/19/2030 | 5,463,036 | |||||||
| 2,000,000 | Octagon Investment Partners Ltd., Series 2014-1A-D (3 Month LIBOR USD + 6.60%) | 9.21% | ^ | 11/14/2026 | 1,996,990 | |||||||
| 2,000,000 | Octagon Investment Partners Ltd., Series 2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor) | 10.53% | ^ | 07/15/2030 | 1,838,849 | |||||||
| 4,000,000 | Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%) | 8.67% | ^ | 03/17/2030 | 3,833,869 | |||||||
| 7,500,000 | Stewart Park Ltd., Series 2015-1A-ER (3 Month LIBOR USD + 5.28%, 5.28% Floor) | 7.72% | ^ | 01/15/2030 | 6,563,331 | |||||||
| 2,000,000 | TCI-Cent Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.30%) | 8.79% | ^ | 07/25/2030 | 1,878,455 | |||||||
| 7,200,000 | Venture Ltd., Series 2016-24A-E (3 Month LIBOR USD + 6.72%) | 9.19% | ^ | 10/20/2028 | 6,971,366 | |||||||
| 5,000,000 | Venture Ltd., Series 2017-26A-E (3 Month LIBOR USD + 6.80%) | 9.27% | ^ | 01/20/2029 | 4,884,305 | |||||||
| 4,000,000 | Venture Ltd., Series 2017-27A-E (3 Month LIBOR USD + 6.35%) | 8.82% | ^ | 07/20/2030 | 3,730,376 | |||||||
| 3,050,000 | Voya Ltd., Series 2016-4A-E2 (3 Month LIBOR USD + 6.65%) | 9.12% | ^ | 07/20/2029 | 3,054,015 | |||||||
| 1,500,000 | Voya Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.10%) | 8.55% | ^ | 04/17/2030 | 1,413,470 | |||||||
| 1,000,000 | Voya Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.25%, 5.25% Floor) | 7.62% | ^¥ | 07/15/2031 | 925,259 | |||||||
| 1,000,000 | Voya Ltd., Series 2018-2A-F (3 Month LIBOR USD + 7.29%, 7.29% Floor) | 9.66% | ^¥ | 07/15/2031 | 878,533 | |||||||
| 3,250,000 | WhiteHorse Ltd., Series 2013-1A-B1L (3 Month LIBOR USD + 3.70%) | 6.38% | ^ | 11/24/2025 | 3,247,030 | |||||||
| 2,000,000 | Wind River Ltd., Series 2013-2A-E1R (3 Month LIBOR USD + 6.75%) | 9.19% | ^ | 10/18/2030 | 1,948,757 | |||||||
| 3,500,000 | Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) | 8.19% | ^ | 01/15/2031 | 3,148,596 | |||||||
| 2,000,000 | Wind River Ltd., Series 2014-3A-ER2 (3 Month LIBOR USD + 6.22%, 6.22% Floor) | 8.62% | ^ | 10/22/2031 | 1,864,854 | |||||||
| 5,000,000 | Wind River Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.42%) | 8.86% | ^ | 04/18/2029 | 4,755,508 | |||||||
| 3,000,000 | Wind River Ltd., Series 2017-3A-E (3 Month LIBOR USD + 6.40%) | 8.84% | ^ | 10/15/2030 | 2,933,303 | |||||||
| 1,000,000 | Wind River Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.50%) | 7.84% | ^¥ | 07/15/2030 | 919,079 | |||||||
| 1,000,000 | Wind River Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.75%) | 7.86% | ^¥ | 07/15/2030 | 934,764 | |||||||
|
|
|
|||||||||||
| Total Collateralized Loan Obligations (Cost $221,436,785) |
209,384,621 | |||||||||||
|
|
|
|||||||||||
| Foreign Corporate Bonds - 63.1% |
||||||||||||
| 10,200,000 | Adecoagro S.A. | 6.00% | ^ | 09/21/2027 | 8,695,500 | |||||||
| 4,800,000 | Adecoagro S.A. | 6.00% | z | 09/21/2027 | 4,092,000 | |||||||
| 3,850,000 | Aeropuerto Argentina S.A. | 6.88% | ^ | 02/01/2027 | 3,570,875 | |||||||
| 11,272,000 | Aeropuerto Argentina S.A. | 6.88% | z | 02/01/2027 | 10,454,780 | |||||||
| 3,500,000 | Aeropuertos Dominicanos Siglo S.A. | 6.75% | ^ | 03/30/2029 | 3,377,500 | |||||||
| 25,000,000 | AES Andres B.V. | 7.95% | ^ | 05/11/2026 | 25,375,000 | |||||||
| 2,000,000 | AES El Salvador Trust | 6.75% | ^ | 03/28/2023 | 1,792,500 | |||||||
| 19,000,000 | AES El Salvador Trust | 6.75% | 03/28/2023 | 17,028,750 | ||||||||
| 7,000,000 | AI Candelaria Spain SLU | 7.50% | 12/15/2028 | 6,764,590 | ||||||||
| 27,000,000 | Ajecorp B.V. | 6.50% | 05/14/2022 | 17,280,000 | ||||||||
| 78,713 | Autopistas del Nordeste Ltd. | 9.39% | 04/15/2024 | 82,255 | ||||||||
| 4,557,840 | Autopistas del Sol S.A. | 7.38% | ^ | 12/30/2030 | 4,170,424 | |||||||
| 20,000,000 | Avianca Holdings S.A. | 8.38% | ^ | 05/10/2020 | 19,375,000 | |||||||
| 10,500,000 | Avianca Holdings S.A. | 8.38% | 05/10/2020 | 10,171,875 | ||||||||
| 11,750,000 | Axtel S.A.B. de C.V. | 6.38% | ^z | 11/14/2024 | 11,188,820 | |||||||
| 8,541,000 | Banco BTG Pactual S.A. (5 Year CMT Rate + 6.98%) | 8.75% | † | 09/18/2019 | 8,670,823 | |||||||
| 30,000,000 | Banco de Galicia y Buenos Aires S.A. (5 Year CMT Rate + 7.16%) | 8.25% | z | 07/19/2026 | 27,675,300 | |||||||
| 22,000,000 | Banco de Reservas de la Republica Dominicana | 7.00% | 02/01/2023 | 22,110,000 | ||||||||
| 10,390,000 | Banco do Brasil S.A. (10 Year CMT Rate + 7.33%) | 9.25% | † | 04/15/2023 | 10,909,604 | |||||||
| 25,000,000 | Banco do Brasil S.A. (10 Year CMT Rate + 4.40%) | 6.25% | †z | 04/15/2024 | 21,531,250 | |||||||
| 15,000,000 | Banco Macro S.A. (5 Year Swap Rate USD + 5.46%) | 6.75% | ^ | 11/04/2026 | 12,187,500 | |||||||
| 18,550,000 | Banco Macro S.A. (5 Year Swap Rate USD + 5.46%) | 6.75% | 11/04/2026 | 15,071,875 | ||||||||
| 8,000,000 | Banco Mercantil de Norte (10 Year CMT Rate + 5.35%) | 7.63% | ^†z | 01/10/2028 | 7,780,080 | |||||||
| 27,000,000 | Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.35%) | 7.63% | †z | 01/10/2028 | 26,257,770 | |||||||
| 12,301,000 | Banco Votorantim S.A. (5 Year CMT Rate + 6.11%) | 8.25% | †z | 12/07/2022 | 12,285,747 | |||||||
| 2,258,000 | Bantrab Senior Trust | 9.00% | 11/14/2020 | 2,280,580 | ||||||||
| 10,000,000 | Bantrab Senior Trust | 9.00% | ^ | 11/14/2020 | 10,100,000 | |||||||
| 10,000,000 | BBVA Bancomer S.A. (5 Year CMT Rate + 2.65%) | 5.13% | z | 01/18/2033 | 8,712,600 | |||||||
| 7,000,000 | Braskem Finance Ltd. | 7.38% | †z | 01/08/2019 | 7,035,070 | |||||||
| 12,000,000 | C&W Senior Financing DAC | 7.50% | ^z | 10/15/2026 | 11,565,000 | |||||||
| 18,000,000 | C&W Senior Financing DAC | 6.88% | z | 09/15/2027 | 16,699,500 | |||||||
| 5,026,000 | C10 Capital SPV Ltd. (3 Month LIBOR USD + 4.71%) | 7.51% | † | 03/31/2019 | 4,867,681 | |||||||
| 10,150,000 | C5 Capital Ltd. (3 Month LIBOR USD + 4.28%) | 7.08% | † | 03/31/2019 | 9,982,525 | |||||||
| 7,345,000 | Camelot Finance S.A. | 7.88% | ^z | 10/15/2024 | 7,141,176 | |||||||
| 15,500,000 | Camposol S.A. | 10.50% | ^ | 07/15/2021 | 16,236,250 | |||||||
| 310,000 | Canacol Energy Ltd. | 7.25% | 05/03/2025 | 286,750 | ||||||||
| 20,000,000 | Canacol Energy Ltd. | 7.25% | ^ | 05/03/2025 | 18,500,000 | |||||||
| 16,200,000 | Capex S.A. | 6.88% | z | 05/15/2024 | 13,527,000 | |||||||
| 3,800,000 | Capex S.A. | 6.88% | ^ | 05/15/2024 | 3,173,000 | |||||||
| 18,230,000 | CFG Investment S.A.C. | 9.75% | ¥W | 07/30/2019 | 18,230,000 | |||||||
| 3,500,000 | Cia General de Combustibles S.A. | 9.50% | ^ | 11/07/2021 | 3,290,000 | |||||||
| 11,297,000 | Cia General de Combustibles S.A. | 9.50% | z | 11/07/2021 | 10,619,180 | |||||||
| 30,000,000 | CIMPOR Financial Operations B.V. | 5.75% | z | 07/17/2024 | 25,012,500 | |||||||
| 1,000,000 | Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%) | 8.50% | † | 03/30/2020 | 1,032,500 | |||||||
| 26,000,000 | Colombia Telecomunicaciones S.A. (5 Year Swap Rate USD + 6.96%) | 8.50% | ^† | 03/30/2020 | 26,845,000 | |||||||
| 20,000,000 | CorpGroup Banking S.A. | 6.75% | 03/15/2023 | 19,549,600 | ||||||||
| 31,000,000 | Cosan Overseas Ltd. | 8.25% | † | 02/05/2019 | 31,348,750 | |||||||
| 9,400,000 | Credito Real S.A.B. de C.V. (10 Year CMT Rate + 7.03%) | 9.13% | ^† | 11/29/2022 | 8,883,094 | |||||||
| 20,600,000 | Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%) | 9.13% | † | 11/29/2022 | 19,467,206 | |||||||
| 30,000,000 | CSN Islands Corporation | 7.00% | †z | 03/23/2019 | 22,425,000 | |||||||
| 38,600,000 | Digicel Ltd. | 8.25% | ¥z | 09/30/2020 | 26,248,000 | |||||||
| 5,000,000 | Digicel Ltd. | 7.13% | ¥ | 04/01/2022 | 2,362,500 | |||||||
| 5,000,000 | Digicel Ltd. | 7.13% | ^¥ | 04/01/2022 | 2,362,500 | |||||||
| 5,260,000 | Docuformas SAPI de C.V. | 9.25% | 10/11/2022 | 4,707,700 | ||||||||
| 4,000,000 | Eldorado International Finance GMBH | 8.63% | z | 06/16/2021 | 4,160,000 | |||||||
| 16,080,000 | Eldorado International Finance GMBH | 8.63% | ^z | 06/16/2021 | 16,723,200 | |||||||
| 7,900,000 | Energuate Trust | 5.88% | z | 05/03/2027 | 7,337,125 | |||||||
| 20,000,000 | Financiera Independencia S.A.B. de C.V. SOFOM ENR | 8.00% | ^ | 07/19/2024 | 14,725,000 | |||||||
| 3,228,000 | Gilex Holding Sarl | 8.50% | 05/02/2023 | 3,276,452 | ||||||||
| 10,000,000 | Gilex Holding Sarl | 8.50% | ^ | 05/02/2023 | 10,150,100 | |||||||
| 14,400,000 | Gran Tierra Energy International Holdings Ltd. | 6.25% | ^ | 02/15/2025 | 13,428,000 | |||||||
| 5,600,000 | Grupo Famsa S.A.B. de C.V. | 7.25% | ^ | 06/01/2020 | 5,096,000 | |||||||
| 1,680,000 | Grupo Famsa S.A.B. de C.V. | 7.25% | 06/01/2020 | 1,528,800 | ||||||||
| 14,700,000 | Grupo Idesa S.A. de C.V. | 7.88% | ^z | 12/18/2020 | 10,418,625 | |||||||
| 12,300,000 | Grupo Idesa S.A. de C.V. | 7.88% | z | 12/18/2020 | 8,717,625 | |||||||
| 26,000,000 | Grupo Posadas S.A.B. de C.V. | 7.88% | ^z | 06/30/2022 | 25,169,404 | |||||||
| 4,000,000 | Grupo Posadas S.A.B. de C.V. | 7.88% | z | 06/30/2022 | 3,872,216 | |||||||
| 5,000,000 | GTL Trade Finance, Inc. | 7.25% | z | 04/16/2044 | 5,225,000 | |||||||
| 13,447,000 | GW Honos Security Corporation | 8.75% | ^ | 05/15/2025 | 12,304,005 | |||||||
| 11,857,000 | Inkia Energy Ltd. | 5.88% | ^ | 11/09/2027 | 11,027,129 | |||||||
| 11,800,000 | Instituto Costarricense de Electricidad | 6.38% | z | 05/15/2043 | 8,614,000 | |||||||
| 15,000,000 | Instituto Costarricense de Electricidad | 6.38% | ^z | 05/15/2043 | 10,950,000 | |||||||
| 7,300,000 | Intelsat Jackson Holdings S.A. | 8.50% | ^z | 10/15/2024 | 7,117,500 | |||||||
| 7,715,000 | Intelsat Jackson Holdings S.A. | 9.75% | ^ | 07/15/2025 | 7,775,177 | |||||||
| 3,800,000 | Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.86%) | 6.50% | ^†z | 03/19/2023 | 3,601,450 | |||||||
| 6,000,000 | JBS Investments GmbH | 7.25% | z | 04/03/2024 | 6,070,560 | |||||||
| 19,555,000 | Kronos Acquisition Holdings, Inc. | 9.00% | ^z | 08/15/2023 | 15,057,350 | |||||||
| 15,000,000 | MARB BondCo PLC | 7.00% | ^ | 03/15/2024 | 14,227,650 | |||||||
| 15,000,000 | Marfrig Holdings Europe B.V. | 8.00% | ^ | 06/08/2023 | 15,093,750 | |||||||
| 7,760,000 | MEG Energy Corporation | 7.00% | ^z | 03/31/2024 | 7,449,600 | |||||||
| 5,000,000 | Mexichem S.A.B de C.V. | 5.50% | 01/15/2048 | 4,312,500 | ||||||||
| 10,500,000 | Minerva Luxembourg S.A. | 5.88% | z | 01/19/2028 | 9,187,605 | |||||||
| 4,784,000 | OAS Financial Ltd. (5 Year CMT Rate + 8.19%) | 8.88% | †¥W | 01/30/2019 | 71,760 | |||||||
| 29,000,000 | OAS Financial Ltd. (5 Year CMT Rate + 8.19%) | 8.88% | ^†¥W | 01/31/2019 | 435,000 | |||||||
| 6,000,000 | Odebrecht Finance Ltd. | 5.25% | ¥W | 06/27/2029 | 846,000 | |||||||
| 26,500,000 | Odebrecht Finance Ltd. | 7.13% | ¥W | 06/26/2042 | 3,842,500 | |||||||
| 4,700,000 | Pampa Energia S.A. | 7.50% | z | 01/24/2027 | 3,960,690 | |||||||
| 10,000,000 | Pampa Energia S.A. | 7.50% | ^z | 01/24/2027 | 8,427,000 | |||||||
| 11,900,000 | Pesquera Exalmar S.A.A. | 7.38% | 01/31/2020 | 11,855,375 | ||||||||
| 4,800,000 | Petra Diamonds PLC | 7.25% | ^ | 05/01/2022 | 4,452,000 | |||||||
| 15,300,000 | Petrobras Argentina S.A. | 7.38% | ^ | 07/21/2023 | 13,818,960 | |||||||
| 25,000,000 | Petrobras Global Finance B.V. | 6.75% | z | 01/27/2041 | 23,640,625 | |||||||
| 10,500,000 | Petrobras Global Finance B.V. | 7.25% | z | 03/17/2044 | 10,380,667 | |||||||
| 11,000,000 | Rio Energy S.A. | 6.88% | 02/01/2025 | 8,195,000 | ||||||||
| 9,000,000 | Rio Energy S.A. | 6.88% | ^ | 02/01/2025 | 6,705,000 | |||||||
| 7,500,000 | Sappi Papier Holding GMBH | 7.50% | 06/15/2032 | 7,050,000 | ||||||||
| 21,119,000 | Sappi Papier Holding GMBH | 7.50% | ^ | 06/15/2032 | 19,851,860 | |||||||
| 835,550 | Star Energy Geothermal Wayang Windu Ltd. | 6.75% | 04/24/2033 | 766,468 | ||||||||
| 2,195,000 | Starfruit Finco B.V. | 8.00% | ^z | 10/01/2026 | 2,035,862 | |||||||
| 19,272,340 | Stoneway Capital Corporation | 10.00% | 03/01/2027 | 17,417,377 | ||||||||
| 10,000,000 | Tecnoglass, Inc. | 8.20% | 01/31/2022 | 10,450,000 | ||||||||
| 14,930,000 | Telesat LLC | 8.88% | ^ | 11/15/2024 | 15,564,525 | |||||||
| 13,644,000 | Tervita Escrow Corporation | 7.63% | ^ | 12/01/2021 | 13,064,130 | |||||||
| 5,000,000 | Teva Pharmaceutical Finance Netherlands B.V. | 4.10% | z | 10/01/2046 | 3,320,285 | |||||||
| 6,400,000 | Transportadora de Gas del Sur S.A. | 6.75% | ^ | 05/02/2025 | 5,840,064 | |||||||
| 4,200,000 | Unifin Financiera S.A.B. de C.V. | 7.00% | ^ | 01/15/2025 | 3,606,792 | |||||||
| 4,000,000 | Unifin Financiera S.A.B. de C.V. | 7.00% | z | 01/15/2025 | 3,435,040 | |||||||
| 11,000,000 | Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) | 8.88% | ^† | 01/29/2025 | 9,130,000 | |||||||
| 15,800,000 | Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%) | 8.88% | †z | 01/29/2025 | 13,114,000 | |||||||
| 10,000,000 | Unigel Luxembourg S.A. | 10.50% | ^ | 01/22/2024 | 10,450,000 | |||||||
| 2,700,000 | Unigel Luxembourg S.A. | 10.50% | 01/22/2024 | 2,821,500 | ||||||||
| 30,000,000 | Vedanta Resources PLC | 6.13% | z | 08/09/2024 | 25,019,610 | |||||||
| 9,000,000 | Votorantim Cimentos S.A. | 7.25% | 04/05/2041 | 9,236,250 | ||||||||
| 1,000,000 | Votorantim Cimentos S.A. | 7.25% | z | 04/05/2041 | 1,026,250 | |||||||
| 2,500,000 | YPF S.A. | 8.50% | z | 07/28/2025 | 2,253,125 | |||||||
| 25,000,000 | YPF S.A. | 6.95% | ^z | 07/21/2027 | 20,468,750 | |||||||
| 2,500,000 | YPF S.A. | 7.00% | 12/15/2047 | 1,800,000 | ||||||||
|
|
|
|||||||||||
| Total Foreign Corporate Bonds (Cost $1,355,318,096) |
1,217,358,768 | |||||||||||
|
|
|
|||||||||||
| Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 3.5% |
||||||||||||
| 9,400,000 | Argentine Republic Government International Bond | 7.13% | z | 07/06/2036 | 6,773,875 | |||||||
| 25,000,000 | Argentine Republic Government International Bond | 7.63% | z | 04/22/2046 | 18,221,875 | |||||||
| 21,900,000 | Dominican Republic International Bond | 6.85% | z | 01/27/2045 | 21,626,250 | |||||||
| 30,000,000 | Provincia de Buenos Aires | 7.88% | ^ | 06/15/2027 | 21,750,300 | |||||||
|
|
|
|||||||||||
| Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored
Corporations |
68,372,300 | |||||||||||
|
|
|
|||||||||||
| Municipal Bonds - 1.3% |
||||||||||||
| 45,000,000 | Commonwealth of Puerto Rico General Obligation | 8.00% | ¥W | 07/01/2035 | 24,300,000 | |||||||
|
|
|
|||||||||||
| Total Municipal Bonds (Cost $37,990,594) |
24,300,000 | |||||||||||
|
|
|
|||||||||||
| Non-Agency Commercial Mortgage Backed Obligations - 15.1% |
||||||||||||
| 10,000,000 | Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor) | 5.86% | ^ | 06/15/2035 | 9,960,866 | |||||||
| 9,948,000 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-T26-AJ | 5.46% | # | 01/12/2045 | 9,119,123 | |||||||
| 30,524,109 | Citigroup Commercial Mortgage Trust, Series 2014-GC25-XG | 1.23% | #^I/O | 10/10/2047 | 1,470,395 | |||||||
| 8,902,000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27-D | 4.43% | #^ | 02/10/2048 | 8,039,527 | |||||||
| 6,465,000 | Commercial Mortgage Pass-Through Certificates, Series 2012-CR4-E | 4.57% | #^Þ¥ | 10/15/2045 | 909,626 | |||||||
| 3,438,112 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-E | 3.75% | ^Þ¥ | 08/10/2047 | 2,395,212 | |||||||
| 3,929,315 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F | 3.75% | ^Þ¥ | 08/10/2047 | 2,147,536 | |||||||
| 7,367,549 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G | 3.75% | ^Þ¥ | 08/10/2047 | 2,034,306 | |||||||
| 14,000 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V | 0.00% | #^Þ¥ | 08/10/2047 | - | |||||||
| 17,394,000 | Commercial Mortgage Pass-Through Certificates, Series 2015-CR23-E | 3.23% | ^Þ¥ | 05/10/2048 | 12,150,126 | |||||||
| 6,400,000 | Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-E | 3.25% | ^Þ¥ | 10/10/2048 | 4,398,362 | |||||||
| 5,800,000 | Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-F | 3.25% | ^Þ¥ | 10/10/2048 | 3,401,340 | |||||||
| 18,438,000 | Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XD | 1.23% | #^I/O | 10/10/2048 | 1,287,981 | |||||||
| 30,000,000 | CSMC Trust, Series 2017-PFHP-G (1 Month LIBOR USD + 6.15%, 6.15% Floor) | 8.61% | ^ | 12/15/2030 | 30,031,656 | |||||||
| 38,532,600 | Great Wolf Trust, Series 2017-WFMZ-MC (1 Month LIBOR USD + 10.47%, 10.47% Floor) | 13.08% | ^¥ | 09/15/2019 | 39,483,654 | |||||||
| 17,730,000 | GS Mortgage Securities Corporation, Series 2014-GC20-E | 4.47% | #^Þ¥ | 04/10/2047 | 10,035,713 | |||||||
| 65,010,362 | GS Mortgage Securities Corporation, Series 2014-GC20-XD | 1.29% | #^I/O | 04/10/2047 | 3,417,227 | |||||||
| 279,132 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX-AM | 5.46% | # | 01/15/2049 | 277,525 | |||||||
| 3,760,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C5-E | 4.00% | #^Þ¥ | 08/15/2046 | 3,521,266 | |||||||
| 5,689,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1-F | 4.74% | #^Þ¥ | 01/15/2049 | 4,538,508 | |||||||
| 57,259,829 | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC | 0.97% | #^I/O | 08/15/2046 | 2,365,796 | |||||||
| 14,113,175 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E | 4.00% | #^Þ¥ | 04/15/2047 | 9,979,398 | |||||||
| 7,840,900 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F | 3.75% | #^Þ¥ | 04/15/2047 | 4,510,274 | |||||||
| 25,090,332 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR | 3.75% | #^Þ¥ | 04/15/2047 | 8,650,896 | |||||||
| 47,829,706 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XD | 0.75% | #^I/O | 08/15/2047 | 1,814,606 | |||||||
| 12,020,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-E | 2.81% | #^Þ¥ | 02/15/2048 | 8,612,258 | |||||||
| 24,531,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-XE | 1.54% | #^I/O | 02/15/2048 | 1,902,840 | |||||||
| 3,570,000 | Monarch Beach Resort Trust, Series 2018-MBR-G (1 Month LIBOR USD + 3.15%, 3.15% Floor) | 5.61% | ^ | 07/15/2035 | 3,533,784 | |||||||
| 16,250,000 | Monarch Beach Resort Trust, Series 2018-MBMZ-M (1 Month LIBOR USD + 4.96%, 4.96% Floor) | 7.42% | ^ | 07/15/2025 | 15,963,815 | |||||||
| 850,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26 | 4.41% | #Þ¥ | 10/19/2048 | 628,578 | |||||||
| 8,150,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26-E | 4.41% | #^Þ¥ | 10/15/2048 | 6,026,949 | |||||||
| 11,453,000 | Morgan Stanley Capital Trust, Series 2017-ASHF-G (1 Month LIBOR USD + 6.90%, 6.90% Floor) | 9.36% | ^ | 11/15/2034 | 11,276,040 | |||||||
| 14,085,000 | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-E | 4.08% | #^Þ¥ | 03/10/2046 | 12,241,696 | |||||||
| 4,870,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-E | 3.25% | ^Þ¥ | 08/15/2050 | 3,033,309 | |||||||
| 4,870,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XC | 1.64% | #^I/O¥ | 08/15/2050 | 356,393 | |||||||
| 12,175,807 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XD | 1.64% | #^I/O¥ | 08/15/2050 | 819,087 | |||||||
| 18,361,980 | Wells Fargo Commercial Mortgage Trust, Series 2015-C29-E | 4.22% | #^Þ¥ | 06/15/2048 | 14,035,640 | |||||||
| 9,180,600 | Wells Fargo Commercial Mortgage Trust, Series 2015-C29-F | 4.22% | #^Þ¥ | 06/15/2048 | 4,899,291 | |||||||
| 39,018,814 | Wells Fargo Commercial Mortgage Trust, Series 2015-C29-G | 4.22% | #^Þ¥ | 06/15/2048 | 12,435,413 | |||||||
| 6,500,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C30-E | 3.25% | ^Þ¥ | 09/15/2058 | 4,607,278 | |||||||
| 1,420,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-E | 3.36% | ^Þ¥ | 09/15/2058 | 1,020,906 | |||||||
| 11,973,000 | WF-RBS Commercial Mortgage Trust, Series 2014-LC14-E | 3.50% | #^Þ¥ | 03/15/2047 | 8,781,585 | |||||||
| 87,892,034 | WF-RBS Commercial Mortgage Trust, Series 2014-LC14-XC | 1.57% | #^I/O | 03/15/2047 | 6,337,174 | |||||||
|
|
|
|||||||||||
| Total Non-Agency Commercial Mortgage Backed Obligations (Cost $305,023,772) |
292,452,955 | |||||||||||
|
|
|
|||||||||||
| Non-Agency Residential Collateralized Mortgage Obligations - 3.2% |
||||||||||||
| 30,000,000 | CIM Trust, Series 2016-1RR-B2 | 8.02% | #^Þ | 07/26/2055 | 30,036,777 | |||||||
| 15,000,000 | CIM Trust, Series 2016-2RR-B2 | 7.40% | #^Þ | 02/25/2056 | 15,228,069 | |||||||
| 15,000,000 | CIM Trust, Series 2016-3RR-B2 | 7.54% | #^Þ | 02/27/2056 | 15,188,400 | |||||||
| 1,868,509 | Wachovia Mortgage Loan Trust, Series 2007-A-4A1 | 4.28% | # | 03/20/2037 | 1,692,524 | |||||||
|
|
|
|||||||||||
| Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $53,851,906) |
62,145,770 | |||||||||||
|
|
|
|||||||||||
| US Corporate Bonds - 28.5% |
||||||||||||
| 15,310,000 | AMC Merger, Inc. | 8.00% | ^ | 05/15/2025 | 8,190,850 | |||||||
| 5,717,000 | American Tire Distributors, Inc. | 10.25% | ^¥W | 03/01/2022 | 901,171 | |||||||
| 7,988,000 | Argos Merger Sub, Inc. | 7.13% | ^z | 03/15/2023 | 4,692,950 | |||||||
| 11,036,000 | AssuredPartners, Inc. | 7.00% | ^ | 08/15/2025 | 10,001,706 | |||||||
| 18,315,000 | Avantor, Inc. | 9.00% | ^z | 10/01/2025 | 18,360,787 | |||||||
| 8,000,000 | Banff Merger Sub, Inc. | 9.75% | ^z | 09/01/2026 | 7,340,000 | |||||||
| 11,565,000 | BCD Acquisition, Inc. | 9.63% | ^ | 09/15/2023 | 11,940,862 | |||||||
| 2,960,000 | Boyne USA, Inc. | 7.25% | ^ | 05/01/2025 | 3,071,000 | |||||||
| 7,750,000 | Bruin E&P Partners LLC | 8.88% | ^ | 08/01/2023 | 6,926,562 | |||||||
| 7,250,000 | Calfrac Holdings LP | 8.50% | ^z | 06/15/2026 | 5,183,750 | |||||||
| 14,080,000 | CB Escrow Corporation | 8.00% | ^ | 10/15/2025 | 11,686,400 | |||||||
| 16,160,000 | Cengage Learning, Inc. | 9.50% | ^z | 06/15/2024 | 11,069,600 | |||||||
| 3,815,000 | Constellation Merger Sub, Inc. | 8.50% | ^z | 09/15/2025 | 3,443,037 | |||||||
| 5,160,000 | CSI Compressco LP | 7.50% | ^z | 04/01/2025 | 4,824,600 | |||||||
| 12,000,000 | Deck Chassis Acquisition, Inc. | 10.00% | ^z | 06/15/2023 | 11,580,000 | |||||||
| 15,365,000 | DJO Finance LLC | 8.13% | ^z | 06/15/2021 | 15,864,362 | |||||||
| 3,975,000 | EES Finance Corporation | 8.13% | 05/01/2025 | 3,825,937 | ||||||||
| 15,745,000 | Embarq Corporation | 8.00% | 06/01/2036 | 14,327,950 | ||||||||
| 7,375,000 | Engility Corporation | 8.88% | z | 09/01/2024 | 7,900,469 | |||||||
| 19,615,000 | Ensemble S Merger Sub, Inc. | 9.00% | ^ | 09/30/2023 | 19,713,075 | |||||||
| 1,550,000 | Enterprise Merger Sub, Inc. | 8.75% | ^z | 10/15/2026 | 1,344,625 | |||||||
| 3,710,000 | EP Energy LLC | 7.75% | ^z | 05/15/2026 | 3,297,262 | |||||||
| 760,000 | Financial & Risk US Holdings, Inc. | 8.25% | ^z | 11/15/2026 | 696,350 | |||||||
| 7,660,000 | Flex Acquisition Company, Inc. | 6.88% | ^z | 01/15/2025 | 6,855,700 | |||||||
| 1,255,000 | Flex Acquisition Company, Inc. | 7.88% | ^z | 07/15/2026 | 1,132,637 | |||||||
| 9,200,000 | Foresight Energy LLC | 11.50% | ^z | 04/01/2023 | 7,866,000 | |||||||
| 6,170,000 | Frontier Communications Corporation | 8.50% | 04/15/2020 | 5,491,300 | ||||||||
| 11,253,000 | FTS International, Inc. | 6.25% | z | 05/01/2022 | 10,071,435 | |||||||
| 13,540,000 | Genesys Telecommunications Laboratories, Inc. | 10.00% | ^z | 11/30/2024 | 14,217,000 | |||||||
| 7,000,000 | GTT Communications, Inc. | 7.88% | ^z | 12/31/2024 | 6,090,000 | |||||||
| 4,415,000 | Hexion, Inc. | 13.75% | ^ | 02/01/2022 | 2,141,275 | |||||||
| 18,755,000 | Hexion, Inc. | 10.38% | ^z | 02/01/2022 | 15,050,888 | |||||||
| 5,759,000 | Hillman Group, Inc. | 6.38% | ^ | 07/15/2022 | 4,722,380 | |||||||
| 7,500,000 | Indigo Natural Resources LLC | 6.88% | ^z | 02/15/2026 | 6,487,500 | |||||||
| 7,000,000 | Informatica LLC | 7.13% | ^ | 07/15/2023 | 6,852,230 | |||||||
| 10,770,000 | Iridium Communications, Inc. | 10.25% | ^ | 04/15/2023 | 11,416,200 | |||||||
| 11,890,000 | JBS USA Finance, Inc. | 7.25% | ^z | 06/01/2021 | 12,008,900 | |||||||
| 5,970,000 | JBS USA Finance, Inc. | 6.75% | ^z | 02/15/2028 | 5,843,138 | |||||||
| 7,850,000 | Legacy Reserves LP | 6.63% | 12/01/2021 | 3,179,250 | ||||||||
| 3,615,000 | Matterhorn Merger Sub LLC | 8.50% | ^z | 06/01/2026 | 2,892,000 | |||||||
| 11,425,000 | Moss Creek Resources Holdings, Inc. | 7.50% | ^ | 01/15/2026 | 9,939,750 | |||||||
| 11,350,000 | Onex York Acquisition Corporation | 8.50% | ^ | 10/01/2022 | 7,945,000 | |||||||
| 7,264,000 | OPE KAG Finance Sub, Inc. | 7.88% | ^z | 07/31/2023 | 6,991,600 | |||||||
| 7,455,000 | Par Petroleum Finance Corporation | 7.75% | ^ | 12/15/2025 | 6,672,225 | |||||||
| 4,000,000 | Peabody Securities Finance Corporation | 6.00% | ^z | 03/31/2022 | 3,895,000 | |||||||
| 6,800,000 | PetSmart, Inc. | 8.88% | ^z | 06/01/2025 | 3,978,000 | |||||||
| 10,825,000 | Polaris Intermediate Corporation (PIK 9.25%) | 8.50% | ^ | 12/01/2022 | 9,914,293 | |||||||
| 8,195,000 | Prime Security Services Borrower LLC | 9.25% | ^z | 05/15/2023 | 8,471,581 | |||||||
| 12,328,000 | Pyxus International, Inc. | 8.50% | ^z | 04/15/2021 | 12,235,540 | |||||||
| 7,140,000 | Radiate Finance, Inc. | 6.63% | ^z | 02/15/2025 | 6,193,950 | |||||||
| 12,280,000 | Riverbed Technology, Inc. | 8.88% | ^z | 03/01/2023 | 9,117,900 | |||||||
| 9,970,000 | Solera Finance, Inc. | 10.50% | ^z | 03/01/2024 | 10,667,900 | |||||||
| 11,385,000 | Sprint Corporation | 7.63% | z | 03/01/2026 | 11,271,150 | |||||||
| 7,296,000 | SunCoke Energy Partners Finance Corporation | 7.50% | ^ | 06/15/2025 | 6,931,200 | |||||||
| 12,833,000 | Tapstone Energy Finance Corporation | 9.75% | ^z | 06/01/2022 | 10,202,235 | |||||||
| 8,145,000 | Team Health Holdings, Inc. | 6.38% | ^z | 02/01/2025 | 6,689,081 | |||||||
| 15,500,000 | Tempo Acquisition Finance Corporation | 6.75% | ^z | 06/01/2025 | 14,415,000 | |||||||
| 5,195,000 | Tenet Healthcare Corporation | 8.13% | z | 04/01/2022 | 5,227,469 | |||||||
| 9,397,000 | Tenet Healthcare Corporation | 7.00% | z | 08/01/2025 | 8,727,464 | |||||||
| 7,709,000 | Trident Merger Sub, Inc. | 6.63% | ^z | 11/01/2025 | 6,899,555 | |||||||
| 10,280,000 | Triumph Group, Inc. | 7.75% | z | 08/15/2025 | 9,097,800 | |||||||
| 6,475,000 | Uber Technologies, Inc. | 8.00% | ^z | 11/01/2026 | 6,264,563 | |||||||
| 12,956,000 | Universal Hospital Services, Inc. | 7.63% | z | 08/15/2020 | 12,875,025 | |||||||
| 7,645,000 | Valeant Pharmaceuticals International, Inc. | 9.25% | ^ | 04/01/2026 | 7,664,113 | |||||||
| 2,585,000 | Valeant Pharmaceuticals International, Inc. | 8.50% | ^z | 01/31/2027 | 2,513,913 | |||||||
| 11,790,000 | Verscend Escrow Corporation | 9.75% | ^z | 08/15/2026 | 11,126,813 | |||||||
| 7,675,000 | Vine Oil & Gas Finance Corporation | 8.75% | ^z | 04/15/2023 | 6,101,625 | |||||||
| 9,120,000 | Vizient, Inc. | 10.38% | ^ | 03/01/2024 | 9,690,000 | |||||||
| 5,500,000 | Wand Merger Corporation | 9.13% | ^ | 07/15/2026 | 5,362,500 | |||||||
| 7,390,000 | Weatherford International Ltd. | 9.88% | z | 02/15/2024 | 4,581,800 | |||||||
|
|
|
|||||||||||
| Total US Corporate Bonds (Cost $618,487,433) |
550,165,183 | |||||||||||
|
|
|
|||||||||||
| US Government and Agency Mortgage Backed Obligations - 6.2% |
||||||||||||
| 10,700,734 | Federal Home Loan Mortgage Corporation, Series 3631-SJ (-1 x 1 Month LIBOR USD + 6.24%, 6.24% Cap) | 3.78% | I/FI/O | 02/15/2040 | 1,582,184 | |||||||
| 8,813,685 | Federal Home Loan Mortgage Corporation, Series 3770-SP (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | 4.04% | I/FI/O | 11/15/2040 | 668,643 | |||||||
| 27,396,361 | Federal Home Loan Mortgage Corporation, Series 3980-SX (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) | 4.04% | I/FI/O | 01/15/2042 | 4,667,992 | |||||||
| 14,643,578 | Federal Home Loan Mortgage Corporation, Series 4212-NS (-1 x 1 Month LIBOR USD + 5.40%, 5.40% Cap) | 2.45% | I/F | 06/15/2043 | 12,608,034 | |||||||
| 5,329,583 | Federal National Mortgage Association, Series 2006-83-SH (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap) | 4.05% | I/FI/O | 09/25/2036 | 840,546 | |||||||
| 9,742,772 | Federal National Mortgage Association, Series 2007-22-S (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap) | 4.24% | I/FI/O | 03/25/2037 | 1,622,701 | |||||||
| 20,884,853 | Federal National Mortgage Association, Series 2010-123-SK (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) | 3.54% | I/FI/O | 11/25/2040 | 3,266,441 | |||||||
| 26,465,668 | Federal National Mortgage Association, Series 2012-52-PS (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap) | 4.07% | I/FI/O | 05/25/2042 | 4,575,025 | |||||||
| 21,621,450 | Federal National Mortgage Association, Series 2013-55-US (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 2.24% | I/F | 06/25/2043 | 17,780,596 | |||||||
| 34,852,144 | Federal National Mortgage Association, Series 2013-58-KS (-2 x 1 Month LIBOR USD + 5.93%, 5.93% Cap) | 2.17% | I/F | 06/25/2043 | 26,794,178 | |||||||
| 20,843,792 | Federal National Mortgage Association, Series 2013-58-SC (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 2.24% | I/F | 06/25/2043 | 16,516,512 | |||||||
| 35,319,561 | Federal National Mortgage Association, Series 2013-64-SH (-2 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) | 2.24% | I/F | 06/25/2043 | 28,430,654 | |||||||
|
|
|
|||||||||||
| Total US Government and Agency Mortgage Backed Obligations (Cost $142,645,131) |
119,353,506 | |||||||||||
|
|
|
|||||||||||
| Exchange Traded Funds and Common Stocks - 0.3% |
||||||||||||
| 591,135 | Frontera Energy Corporation * | 5,758,722 | ||||||||||
|
|
|
|||||||||||
| Total Exchange Traded Funds and Common Stocks (Cost $51,207,449) |
5,758,722 | |||||||||||
|
|
|
|||||||||||
| Short Term Investments - 1.3% |
||||||||||||
| 8,223,627 | BlackRock Liquidity Funds FedFund - Institutional Shares | 2.25% | ◆ | 8,223,627 | ||||||||
| 8,193,606 | Fidelity Institutional Money Market Government Portfolio - Class I | 2.22% | ◆ | 8,193,606 | ||||||||
| 8,165,329 | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | 2.28% | ◆ | 8,165,329 | ||||||||
|
|
|
|||||||||||
| Total Short Term Investments (Cost $24,582,562) |
24,582,562 | |||||||||||
|
|
|
|||||||||||
| Total Investments - 145.1% (Cost $3,131,448,954) ‡ |
|
2,800,799,758 | ||||||||||
| Liabilities in Excess of Other Assets - (45.1)% | (870,821,901 | ) | ||||||||||
|
|
|
|||||||||||
| NET ASSETS - 100.0% |
1,929,977,857 | |||||||||||
|
|
|
|||||||||||
| ^ | 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. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund’s Board of Trustees. At December 31, 2018, the value of these securities amounted to $1,574,668,696 or 81.6% of net assets. |
| Þ | Value determined using significant unobservable inputs. |
| # | 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 December 31, 2018. |
| † | Perpetual Maturity |
| I/O | Interest only security |
| I/F | 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. |
| * | Non-income producing security |
| ◆ | Seven-day yield as of December 31, 2018 |
| ‡ | Under the Fund’s Liquidity Agreement, the Lender, through their agent, have been granted a security interest in all of the Fund’s investments in consideration of the Fund’s borrowings under the line of credit with the Lender. |
| ¥ | Illiquid security |
| 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. |
| z | Security, or portion of security, is on loan as of December 31, 2018 pursuant to the Liquidity Agreement. |
| W | Security is in default or has failed to make a scheduled payment. Income is not being accrued. |
SECURITY TYPE BREAKDOWN as a % of Net Assets:
| Foreign Corporate Bonds |
63.1% | |||
| US Corporate Bonds |
28.5% | |||
| Non-Agency Commercial Mortgage Backed Obligations |
15.1% | |||
| Bank Loans |
11.4% | |||
| Collateralized Loan Obligations |
10.8% | |||
| US Government and Agency Mortgage Backed Obligations |
6.2% | |||
| Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
3.5% | |||
| Non-Agency Residential Collateralized Mortgage Obligations |
3.2% | |||
| Short Term Investments |
1.3% | |||
| Municipal Bonds |
1.3% | |||
| Asset Backed Obligations |
0.4% | |||
| Exchange Traded Funds and Common Stocks |
0.3% | |||
| Other Assets and Liabilities |
(45.1)% | |||
|
|
|
|||
| 100.0% | ||||
|
|
|
INVESTMENT BREAKDOWN as a % of Net Assets:
| Non-Agency Commercial Mortgage Backed Obligations |
15.1% | |||
| Energy |
13.7% | |||
| Collateralized Loan Obligations |
10.8% | |||
| Banking |
9.8% | |||
| Telecommunications |
8.8% | |||
| Consumer Products |
7.8% | |||
| Utilities |
6.4% | |||
| US Government and Agency Mortgage Backed Obligations |
6.2% | |||
| Healthcare |
6.1% | |||
| Finance |
6.0% | |||
| Technology |
5.2% | |||
| Building and Development (including Steel/Metals) |
4.8% | |||
| Transportation |
4.5% | |||
| Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
3.5% | |||
| Non-Agency Residential Collateralized Mortgage Obligations |
3.2% | |||
| Media |
2.8% | |||
| Mining |
2.5% | |||
| Pulp & Paper |
2.5% | |||
| Chemical Products |
2.3% | |||
| Electronics/Electric |
2.1% | |||
| Containers and Glass Products |
1.8% | |||
| Hotels/Motels/Inns and Casinos |
1.5% | |||
| Retailers (other than Food/Drug) |
1.5% | |||
| Chemicals/Plastics |
1.4% | |||
| Insurance |
1.4% | |||
| Commercial Services |
1.4% | |||
| Food Products |
1.4% | |||
| Automotive |
1.3% | |||
| Short Term Investments |
1.3% | |||
| Municipal Bonds |
1.3% | |||
| Business Equipment and Services |
1.2% | |||
| Aerospace & Defense |
0.9% | |||
| Environmental Control |
0.8% | |||
| Pharmaceuticals |
0.7% | |||
| Beverage and Tobacco |
0.6% | |||
| Conglomerates |
0.5% | |||
| Leisure |
0.4% | |||
| Industrial Equipment |
0.4% | |||
| Asset Backed Obligations |
0.4% | |||
| Food/Drug Retailers |
0.3% | |||
| Construction |
0.3% | |||
| Food Service |
0.2% | |||
| Financial Intermediaries |
0.0% | ~ | ||
| Other Assets and Liabilities |
(45.1)% | |||
|
|
|
|||
| 100.0% | ||||
|
|
|
COUNTRY BREAKDOWN as a % of Net Assets:
| United States |
77.9% | |||
| Brazil |
14.3% | |||
| Argentina |
12.9% | |||
| Mexico |
10.6% | |||
| Colombia |
6.5% | |||
| Peru |
3.9% | |||
| Dominican Republic |
3.8% | |||
| Canada |
3.3% | |||
| Jamaica |
1.6% | |||
| Panama |
1.5% | |||
| South Africa |
1.4% | |||
| India |
1.3% | |||
| Luxembourg |
1.2% | |||
| Costa Rica |
1.2% | |||
| Guatemala |
1.0% | |||
| Chile |
1.0% | |||
| El Salvador |
1.0% | |||
| Netherlands |
0.3% | |||
| United Kingdom |
0.2% | |||
| Israel |
0.2% | |||
| Indonesia |
0.0% | ~ | ||
| Other Assets and Liabilities |
(45.1)% | |||
|
|
|
|||
| 100.0% | ||||
|
|
|
| ~ | Represents less than 0.05% of net assets |
Notes to Schedule of Investments
December 31, 2018 (Unaudited)
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.
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”).
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)
Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations 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 foreign currency exchange contracts, options contracts, futures, 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. As of December 31, 2018, the Fund has no derivative instruments.
The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security may decline below the repurchase price of the security. The Fund will segregate assets determined to be liquid by the Adviser or otherwise cover its obligations under reverse repurchase agreements. Securities pledged as collateral are reflected as a component of Investments in Securities, at Value on the Statement of Assets and Liabilities and are noted on the Schedule of Investments. Typically, the counterparty under the terms of the agreement is able to rehypothecate, resell or repledge the security. The value of reverse repurchase agreements entered into are recorded in Payable for Reverse Repurchase Agreements on the Statement of Assets and Liabilities. Interest is accrued daily and an appropriate payment reflecting the interest due for reverse repurchase agreements held at period end is recorded in Interest Payable for Reverse Repurchase Agreements on the Statement of Assets and Liabilities. The cumulative interest paid during the period is recorded in Interest Expense for Reverse Repurchase Agreements on the Statement of Operations. As of December 31, 2018, the Fund had no outstanding reverse repurchase agreements.
Securities may be fair valued by the Adviser in accordance with the fair valuation procedures approved by the Board of Trustees (the “Board”). The Adviser’s valuation committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Adviser’s valuation committee and the pricing group are authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations or third party vendor prices are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market or fair value.
The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of December 31, 20181:
| Category |
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| Investments in Securities |
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| Level 1 |
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| Money Market Funds |
$ | 24,582,562 | ||
| Exchange Traded Funds and Common Stocks |
5,758,722 | |||
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| Total Level 1 |
30,341,284 | |||
| Level 2 |
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| Foreign Corporate Bonds |
1,217,358,768 | |||
| US Corporate Bonds |
550,165,183 | |||
| Bank Loans |
219,633,807 | |||
| Collateralized Loan Obligations |
209,384,621 | |||
| Non-Agency Commercial Mortgage Backed Obligations |
147,457,489 | |||
| US Government and Agency Mortgage Backed Obligations |
119,353,506 | |||
| Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |
68,372,300 | |||
| Municipal Bonds |
24,300,000 | |||
| Asset Backed Obligations |
7,291,564 | |||
| Non-Agency Residential Collateralized Mortgage Obligations |
1,692,524 | |||
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| Total Level 2 |
2,565,009,762 | |||
| Level 3 |
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| Non-Agency Commercial Mortgage Backed Obligations |
144,995,466 | |||
| Non-Agency Residential Collateralized Mortgage Obligations |
60,453,246 | |||
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| Total Level 3 |
205,448,712 | |||
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| Total |
$ | 2,800,799,758 | ||
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See the Schedule of Investments for further disaggregation of investment categories.
1 There were no transfers into or out of Level 1 during the period ended December 31, 2018.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
| Fair Value as of 9/30/2018 |
Net Realized Gain (Loss) |
Net Change in Unrealized Appreciation (Depreciation)3 |
Net Accretion (Amortization) |
Purchases 1 | Sales 2 | Transfers Into Level 34 |
Transfers Out of Level 34 |
Fair Value as of 12/31/2018 |
Net Change in Unrealized held at |
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| Investments in Securities |
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| Non-Agency Commercial Mortgage Backed Obligations |
$ | 142,848,071 | $ | - | $ | 1,104,672 | $ | 1,042,723 | $ | - | $ | - | $ | - | $ | - | $ | 144,995,466 | $ | 1,104,672 | ||||||||||||||||||||
| Non-Agency Residential Collateralized Mortgage Obligations |
57,993,475 | - | 2,184,892 | 274,879 | - | - | - | - | 60,453,246 | 2,184,892 | ||||||||||||||||||||||||||||||
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| Total |
$ | 200,841,546 | $ | - | $ | 3,289,564 | $ | 1,317,602 | $ | - | $ | - | $ | - | $ | - | $ | 205,448,712 | $ | 3,289,564 | ||||||||||||||||||||
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1 Purchases include all purchases of securities and payups.
2 Sales include all sales of securities, maturities, and paydowns.
3 Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on securities held at December 31, 2018 may be due to a security that was not held or categorized as Level 3 at either period end.
4 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 12/31/2018 * |
Valuation Techniques |
Unobservable Input |
Unobservable Input Values (Weighted Average)+ |
Impact to valuation from an increase to input | ||||||||||
| Non-Agency Commercial Mortgage Backed Obligations |
$ | 144,995,466 | Market Comparables | Yields | 6.78% - 77.69% (14.19%) | Increase in yields would have resulted in the decrease in the fair value of the security | ||||||||
| Non-Agency Residential Collateralized Mortgage Obligations |
$ | 60,453,246 | Market Comparables | Market Quotes | $100.12 - $101.52 ($100.76) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security | ||||||||
* Level 3 securities are typically valued by pricing vendors. The appropriateness of fair values for these securities is monitored on an ongoing basis by the Adviser, which may include back testing, results of vendor due diligence, unchanged price review and consideration of market and/or sector events.
+ Unobservable inputs were weighted by the relative fair value of the instruments.
Item 2. Controls and Procedures.
| (a) | The Registrant’s principal executive and principal financial officers have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of this Form N-Q based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)). |
| (b) | There were no changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 3. Exhibits.
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) DoubleLine Income Solutions Fund
By (Signature and Title) /s/ Ronald R. Redell
Ronald R. Redell, President and Chief Executive Officer
Date 2/26/2019
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) /s/ Ronald R. Redell
Ronald R. Redell, President and Chief Executive Officer
Date 2/26/2019
By (Signature and Title) /s/ Susan Nichols
Susan Nichols, Treasurer and Principal Financial and Accounting Officer
Date 2/26/2019