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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Oxford Lane Capital Corporation | NASDAQ:OXLC | NASDAQ | Common Stock |
Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.0494 | 0.97% | 5.1194 | 5.08 | 5.12 | 5.10 | 5.0799 | 5.08 | 1,203,106 | 01:00:00 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM NPORT-P Monthly Portfolio Investments Report |
Confidential | ☐ |
Filer CIK | 0001495222 |
Filer CCC | ******** |
Filer Investment Company Type | |
Is this a LIVE or TEST Filing? | ☐ LIVE ☐ TEST |
Would you like a Return Copy? | ☐ |
Is this an electronic copy of an official filing submitted in paper format? | ☐ |
Name | |
Phone | |
E-Mail Address |
Notify via Filing Website only? | ☐ |
Notification E-mail Address | |
Series ID |
Class (Contract) ID |
a. Name of Registrant | Oxford Lane Capital Corp. |
b. Investment Company Act file number for Registrant: (e.g., 811-______) | 811-22432 |
c. CIK number of Registrant | 0001495222 |
d. LEI of Registrant | 549300G3KO4JNQQD7Z72 |
e. Address and telephone number of Registrant: |
i. Street Address 1 | 8 Sound Shore Drive |
ii. Street Address 2 | Suite 255 |
iii. City | Greenwich |
iv. State, if applicable | |
v. Foreign country, if applicable | |
vi. Zip / Postal Code | 06830 |
vii. Telephone number | 203-983-5275 |
a. Name of Series. | Oxford Lane Capital Corp. |
b. EDGAR series identifier (if any). | |
c. LEI of Series. | 549300G3KO4JNQQD7Z72 |
a. Date of fiscal year-end. | 2021-03-31 |
b. Date as of which information is reported. | 2020-06-30 |
a. Does the Fund anticipate that this will be its final filing on Form N PORT? | ☐ Yes ☒ No |
Report the following information for the Fund and its consolidated subsidiaries. |
a. Total assets, including assets attributable to miscellaneous securities reported in Part D. | 487797859.990000000000 |
b. Total liabilities. | 218214603.460000000000 |
c. Net assets. | 269583256.530000000000 |
a. Assets attributable to miscellaneous securities reported in Part D. | 0.000000000000 |
b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities. | 0.000000000000 |
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)]. |
Amounts payable within one year. | |
Banks or other financial institutions for borrowings. | 0.000000000000 |
Controlled companies. | 0.000000000000 |
Other affiliates. | 0.000000000000 |
Others. | 0.000000000000 |
Amounts payable after one year. | |
Banks or other financial institutions for borrowings. | 0.000000000000 |
Controlled companies. | 0.000000000000 |
Other affiliates. | 0.000000000000 |
Others. | 0.000000000000 |
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis. |
(i) On a delayed delivery, when-issued, or other firm commitment basis: | 0.000000000000 |
(ii) On a standby commitment basis: | 0.000000000000 |
e. Liquidation preference of outstanding preferred stock issued by the Fund. | 213280400.000000000000 |
f. Cash and cash equivalents not reported in Parts C and D. | 17461336.040000000000 |
If the average value of the Fund's debt securities positions for the previous three months, in the aggregate, exceeds 25% or more of the Fund's net asset value, provide: |
a. Interest Rate Risk (DV01). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
b. Interest Rate Risk (DV100). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
Currency Metric Record | ISO Currency code | 3 month | 1 year | 5 years | 10 years | 30 years | — | — | — | — | — | — | — |
---|
c. Credit Spread Risk (SDV01, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
Credit Spread Risk | 3 month | 1 year | 5 years | 10 years | 30 years | — | — | — | — | — | — |
---|
For purposes of Item B.3., calculate value as the sum of the absolute values of: (i) the value of each debt security, (ii) the notional value of each swap, including, but not limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying reference asset or assets are debt securities or an interest rate; (iii) the notional value of each futures contract for which the underlying reference asset or assets are debt securities or an interest rate; and (iv) the delta-adjusted notional value of any option for which the underlying reference asset is an asset described in clause (i),(ii), or (iii). Report zero for maturities to which the Fund has no exposure. For exposures that fall between any of the listed maturities in (a) and (b), use linear interpolation to approximate exposure to each maturity listed above. For exposures outside of the range of maturities listed above, include those exposures in the nearest maturity. |
a. For each borrower in any securities lending transaction, provide the following information: |
Borrower Information Record | Name of borrower | LEI (if any) of borrower | Aggregate value of all securities on loan to the borrower |
---|---|---|---|
— | — | — | — |
b. Did any securities lending counterparty provide any non-cash collateral? | ☐ Yes ☒ No |
a. Monthly total returns of the Fund for each of the preceding three months. If the Fund is a Multiple Class Fund, report returns for each class. Such returns shall be calculated in accordance with the methodologies outlined in Item 26(b) (1) of Form N-1A, Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b) (i) of Form N-3, as applicable. |
Monthly Total Return Record | Monthly total returns of the Fund for each of the preceding three months | Class identification number(s) (if any) of the Class(es) for which returns are reported | ||
Month 1 | Month 2 | Month 3 | ||
#1 | 22.42 | -35.35 | 21.64 |
b. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to derivatives for each of the following categories: commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts, and other contracts. Within each such asset category, further report the same information for each of the following types of derivatives instrument: forward, future, option, swaption, swap, warrant, and other. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
i. Asset category. |
c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
Month | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) |
---|---|---|
Month 1 | -2042197.64 | -74654693.77 |
Month 2 | -21649911.59 | 47006542.88 |
Month 3 | -3584439.80 | 39219815.03 |
a. Provide the aggregate dollar amounts for sales and redemptions/repurchases of Fund shares during each of the preceding three months. If shares of the Fund are held in omnibus accounts, for purposes of calculating the Fund's sales, redemptions, and repurchases, use net sales or redemptions/repurchases from such omnibus accounts. The amounts to be reported under this Item should be after any front-end sales load has been deducted and before any deferred or contingent deferred sales load or charge has been deducted. Shares sold shall include shares sold by the Fund to a registered unit investment trust. For mergers and other acquisitions, include in the value of shares sold any transaction in which the Fund acquired the assets of another investment company or of a personal holding company in exchange for its own shares. For liquidations, include in the value of shares redeemed any transaction in which the Fund liquidated all or part of its assets. Exchanges are defined as the redemption or repurchase of shares of one Fund or series and the investment of all or part of the proceeds in shares of another Fund or series in the same family of investment companies. |
Month | Total net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions) | Total net asset value of shares sold in connection with reinvestments of dividends and distributions | Total net asset value of shares redeemed or repurchased, including exchanges |
---|---|---|---|
Month 1 | 0 | 1314206.46 | 0 |
Month 2 | 10167147.84 | 1246653.80 | 0 |
Month 3 | 16542122.09 | 1404065.82 | 0 |
a. If applicable, provide the Fund's current Highly Liquid Investment Minimum. |
—
|
b. If applicable, provide the number of days that the Fund's holdings in Highly Liquid Investments fell below the Fund's Highly Liquid Investment Minimum during the reporting period. |
—
|
c. Did the Fund's Highly Liquid Investment Minimum change during the reporting period? | ☐ Yes ☐ No ☐ N/A |
For portfolio investments of open-end management investment companies, provide the percentage of the Fund's Highly Liquid Investments that it has segregated to cover or pledged to satisfy margin requirements in connection with derivatives transactions that are classified among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]: |
(1) Moderately Liquid Investments | |
(2) Less Liquid Investments | |
(3) Illiquid Investments | |
Classification |
—
|
For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Schedule of Portfolio Investments Record: 1 |
a. Name of issuer (if any). | Anchorage Capital CLO LTD |
b. LEI (if any) of issuer. (1) | 549300687XYK5L55VX28 |
c. Title of the issue or description of the investment. | Anchorage Capital CLO 5-R Ltd |
d. CUSIP (if any). | 03329YAC7 |
At least one of the following other identifiers: |
- ISIN | US03329YAC75 |
- Ticker (if ISIN is not available). | ANCHC |
Balance. (2) |
a. Balance | 20000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 10895533.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 4.0416208114 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 2 |
a. Name of issuer (if any). | Apex Credit CLO LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Apex Credit CLO 2019 LTD |
d. CUSIP (if any). | 03754BAC1 |
At least one of the following other identifiers: |
- ISIN | US03754BAC19 |
- Ticker (if ISIN is not available). | APEXC |
Balance. (2) |
a. Balance | 16000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 8104498.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.0063061424 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 3 |
a. Name of issuer (if any). | Apex Credit CLO LLC |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Apex Credit Clo 2018-I Ltd |
d. CUSIP (if any). | 03754MAE3 |
At least one of the following other identifiers: |
- ISIN | US03754MAE30 |
- Ticker (if ISIN is not available). | APEXC |
Balance. (2) |
a. Balance | 9750000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3696621.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.3712353829 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 4 |
a. Name of issuer (if any). | Arch Street CLO, Ltd. |
b. LEI (if any) of issuer. (1) | 5493005A489KGIV6GS45 |
c. Title of the issue or description of the investment. | Arch Street CLO Ltd |
d. CUSIP (if any). | 03940BAC6 |
At least one of the following other identifiers: |
- ISIN | US03940BAC63 |
- Ticker (if ISIN is not available). | ARCHS |
Balance. (2) |
a. Balance | 5250000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 262500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0973725161 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 5 |
a. Name of issuer (if any). | ARES CLO Ltd |
b. LEI (if any) of issuer. (1) | 635400YF4AHA6NB2CU53 |
c. Title of the issue or description of the investment. | Ares XXXVII CLO Ltd |
d. CUSIP (if any). | 04015QAD9 |
At least one of the following other identifiers: |
- ISIN | US04015QAD97 |
- Ticker (if ISIN is not available). | ARES |
Balance. (2) |
a. Balance | 25000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 11927103.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 4.4242743980 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 6 |
a. Name of issuer (if any). | ARES CLO Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Ares XL CLO Ltd |
d. CUSIP (if any). | 04016HAB2 |
At least one of the following other identifiers: |
- ISIN | US04016HAB24 |
- Ticker (if ISIN is not available). | ARES |
Balance. (2) |
a. Balance | 37433000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 12054190.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 4.4714164207 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 7 |
a. Name of issuer (if any). | Atrium CDO Corp |
b. LEI (if any) of issuer. (1) | 549300O252OCTN35RH57 |
c. Title of the issue or description of the investment. | Atrium XII |
d. CUSIP (if any). | 04964YAE1 |
At least one of the following other identifiers: |
- ISIN | US04964YAE14 |
- Ticker (if ISIN is not available). | ATRM |
Balance. (2) |
a. Balance | 34762500.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 12514500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 4.6421651556 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 8 |
a. Name of issuer (if any). | Atrium CDO Corp |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Atrium XV |
d. CUSIP (if any). | 04965EAC8 |
At least one of the following other identifiers: |
- ISIN | US04965EAC84 |
- Ticker (if ISIN is not available). | ATRM |
Balance. (2) |
a. Balance | 21000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 12180000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 4.5180847493 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 9 |
a. Name of issuer (if any). | B&M CLO LTD |
b. LEI (if any) of issuer. (1) | 549300501PWQXBETQS11 |
c. Title of the issue or description of the investment. | B&M CLO 2014-1 Ltd |
d. CUSIP (if any). | 05509TAE1 |
At least one of the following other identifiers: |
- ISIN | US05509TAE10 |
- Ticker (if ISIN is not available). | BANDM |
Balance. (2) |
a. Balance | 22000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 660000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2448223263 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 10 |
a. Name of issuer (if any). | BATTALION CLO VI LTD |
b. LEI (if any) of issuer. (1) | 549300AT48HRIOSN5F59 |
c. Title of the issue or description of the investment. | Battalion CLO VI Ltd |
d. CUSIP (if any). | 07131K201 |
At least one of the following other identifiers: |
- ISIN | US07131K2015 |
- Ticker (if ISIN is not available). | BATLN |
Balance. (2) |
a. Balance | 50000.000000000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 55000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0204018605 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 11 |
a. Name of issuer (if any). | Battalion CLO LTD |
b. LEI (if any) of issuer. (1) | 5493000R542V1ZNEEG67 |
c. Title of the issue or description of the investment. | Battalion CLO VII Ltd |
d. CUSIP (if any). | 07131YAC6 |
At least one of the following other identifiers: |
- ISIN | US07131YAC66 |
- Ticker (if ISIN is not available). | BATLN |
Balance. (2) |
a. Balance | 26900000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6456000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.3948074829 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 12 |
a. Name of issuer (if any). | BENEFIT ST PARTNERS CLO |
b. LEI (if any) of issuer. (1) | 549300E7VMVNVKXVY242 |
c. Title of the issue or description of the investment. | Benefit Street Partners CLO V Ltd |
d. CUSIP (if any). | 08180M205 |
At least one of the following other identifiers: |
- ISIN | US08180M2052 |
- Ticker (if ISIN is not available). | BSP |
Balance. (2) |
a. Balance | 11500.000000000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 172500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0639876535 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 13 |
a. Name of issuer (if any). | Bluemountain CLO Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BlueMountain Fuji US Clo II Ltd |
d. CUSIP (if any). | 09629HAC8 |
At least one of the following other identifiers: |
- ISIN | US09629HAC88 |
- Ticker (if ISIN is not available). | BLUEM |
Balance. (2) |
a. Balance | 5000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2350000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8717158589 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 14 |
a. Name of issuer (if any). | Bluemountain CLO Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BlueMountain CLO 2018-1 Ltd |
d. CUSIP (if any). | 09629UAC9 |
At least one of the following other identifiers: |
- ISIN | US09629UAC99 |
- Ticker (if ISIN is not available). | BLUEM |
Balance. (2) |
a. Balance | 8714421.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5449127.230000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.0213151589 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-07-30 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.478250000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 15 |
a. Name of issuer (if any). | Bluemountain CLO Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BlueMountain CLO 2018-1 Ltd |
d. CUSIP (if any). | 09629UAE5 |
At least one of the following other identifiers: |
- ISIN | US09629UAE55 |
- Ticker (if ISIN is not available). | BLUEM |
Balance. (2) |
a. Balance | 13000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3510000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.3020096445 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 16 |
a. Name of issuer (if any). | Bluemountain CLO Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BlueMountain CLO 2018-2 Ltd |
d. CUSIP (if any). | 09629WAE1 |
At least one of the following other identifiers: |
- ISIN | US09629WAE12 |
- Ticker (if ISIN is not available). | BLUEM |
Balance. (2) |
a. Balance | 6675000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2136000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7923340743 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 17 |
a. Name of issuer (if any). | Bristol Park CLO, Ltd. |
b. LEI (if any) of issuer. (1) | 549300XRS6MFERKEPO61 |
c. Title of the issue or description of the investment. | Bristol Park CLO LTD |
d. CUSIP (if any). | 11015TAA4 |
At least one of the following other identifiers: |
- ISIN | US11015TAA43 |
- Ticker (if ISIN is not available). | BRIST |
Balance. (2) |
a. Balance | 3000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1410000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5230295153 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 18 |
a. Name of issuer (if any). | CIFC Funding Ltd |
b. LEI (if any) of issuer. (1) | 549300JZARV9CBLL1S14 |
c. Title of the issue or description of the investment. | CIFC Funding 2013-III-R Ltd |
d. CUSIP (if any). | 12549EAC6 |
At least one of the following other identifiers: |
- ISIN | US12549EAC66 |
- Ticker (if ISIN is not available). | CIFC |
Balance. (2) |
a. Balance | 4900000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1470000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5452860904 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 19 |
a. Name of issuer (if any). | CIFC Funding Ltd |
b. LEI (if any) of issuer. (1) | 54930034H2IEPBE5Q044 |
c. Title of the issue or description of the investment. | CIFC Funding 2014 Ltd |
d. CUSIP (if any). | 12549LAE6 |
At least one of the following other identifiers: |
- ISIN | US12549LAE65 |
- Ticker (if ISIN is not available). | CIFC |
Balance. (2) |
a. Balance | 4500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1485000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5508502342 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 20 |
a. Name of issuer (if any). | CIFC Funding Ltd |
b. LEI (if any) of issuer. (1) | 54930034H2IEPBE5Q044 |
c. Title of the issue or description of the investment. | CIFC Funding 2014 Ltd |
d. CUSIP (if any). | 12549LAJ5 |
At least one of the following other identifiers: |
- ISIN | US12549LAJ52 |
- Ticker (if ISIN is not available). | CIFC |
Balance. (2) |
a. Balance | 4000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2494000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9251316391 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-01-18 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.171750000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 21 |
a. Name of issuer (if any). | CIFC Funding Ltd |
b. LEI (if any) of issuer. (1) | 54930034H2IEPBE5Q044 |
c. Title of the issue or description of the investment. | CIFC Funding 2014 Ltd |
d. CUSIP (if any). | 12549MAA2 |
At least one of the following other identifiers: |
- ISIN | US12549MAA27 |
- Ticker (if ISIN is not available). | CIFC |
Balance. (2) |
a. Balance | 1500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 495000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1836167447 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 22 |
a. Name of issuer (if any). | CIFC Funding Ltd |
b. LEI (if any) of issuer. (1) | 549300KEIUMRD7WX5J42 |
c. Title of the issue or description of the investment. | CIFC Funding 2014-III Ltd |
d. CUSIP (if any). | 12549TAA7 |
At least one of the following other identifiers: |
- ISIN | US12549TAA79 |
- Ticker (if ISIN is not available). | CIFC |
Balance. (2) |
a. Balance | 8225000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2632000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9763217619 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 23 |
a. Name of issuer (if any). | Carlyle Global Market Strategi |
b. LEI (if any) of issuer. (1) | 635400XFOCOSFVGDN267 |
c. Title of the issue or description of the investment. | Carlyle Global Market Strategies CLO 2013-2 Ltd |
d. CUSIP (if any). | 14310EAG0 |
At least one of the following other identifiers: |
- ISIN | US14310EAG08 |
- Ticker (if ISIN is not available). | CGMS |
Balance. (2) |
a. Balance | 8848067.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2534329.900000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9400917300 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 24 |
a. Name of issuer (if any). | Carlyle Global Market Strategi |
b. LEI (if any) of issuer. (1) | 549300ODZUR61VZRRZ07 |
c. Title of the issue or description of the investment. | Carlyle Global Market Strategies CLO 2014-5 Ltd |
d. CUSIP (if any). | 14311BAE0 |
At least one of the following other identifiers: |
- ISIN | US14311BAE02 |
- Ticker (if ISIN is not available). | CGMS |
Balance. (2) |
a. Balance | 7134333.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1712239.920000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6351432734 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 25 |
a. Name of issuer (if any). | Cathedral Lake LTD |
b. LEI (if any) of issuer. (1) | 549300V711IFCX6W8E15 |
c. Title of the issue or description of the investment. | Cathedral Lake CLO 2013 Ltd |
d. CUSIP (if any). | 14918DAC7 |
At least one of the following other identifiers: |
- ISIN | US14918DAC74 |
- Ticker (if ISIN is not available). | CATLK |
Balance. (2) |
a. Balance | 6350000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1143000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4239877560 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 26 |
a. Name of issuer (if any). | Cathedral Lake LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Cathedral Lake CLO 2015-2 Ltd |
d. CUSIP (if any). | 14918LAE5 |
At least one of the following other identifiers: |
- ISIN | US14918LAE56 |
- Ticker (if ISIN is not available). | CATLK |
Balance. (2) |
a. Balance | 14862200.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2229330.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8269541769 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 27 |
a. Name of issuer (if any). | Cathedral Lake LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Cathedral Lake CLO 2015-2 Ltd |
d. CUSIP (if any). | 14918LAG0 |
At least one of the following other identifiers: |
- ISIN | US14918LAG05 |
- Ticker (if ISIN is not available). | CATLK |
Balance. (2) |
a. Balance | 4500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3285000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.2185474878 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-07-16 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.525000000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 28 |
a. Name of issuer (if any). | East West Investment Managemen |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | East West Investment Management CLO 2019-1 Ltd |
d. CUSIP (if any). | 27581MAC5 |
At least one of the following other identifiers: |
- ISIN | US27581MAC55 |
- Ticker (if ISIN is not available). | EWIM |
Balance. (2) |
a. Balance | 13970000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 12293600.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 4.5602238649 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 29 |
a. Name of issuer (if any). | Elevation CLO Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Elevation CLO 2020-11 Ltd |
d. CUSIP (if any). | 28622CAA0 |
At least one of the following other identifiers: |
- ISIN | US28622CAA09 |
- Ticker (if ISIN is not available). | AWPT |
Balance. (2) |
a. Balance | 6181818.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5439999.840000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.0179294182 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-04-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.842950000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 30 |
a. Name of issuer (if any). | Elevation CLO Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Elevation CLO 2020-11 Ltd |
d. CUSIP (if any). | 28622CAC6 |
At least one of the following other identifiers: |
- ISIN | US28622CAC64 |
- Ticker (if ISIN is not available). | AWPT |
Balance. (2) |
a. Balance | 24000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 19200000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 7.1221040383 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 31 |
a. Name of issuer (if any). | Ellington CLO LTD |
b. LEI (if any) of issuer. (1) | 254900YE647HYXEP3N43 |
c. Title of the issue or description of the investment. | Ellington Clo II Ltd |
d. CUSIP (if any). | 28852FAC0 |
At least one of the following other identifiers: |
- ISIN | US28852FAC05 |
- Ticker (if ISIN is not available). | ECLO |
Balance. (2) |
a. Balance | 6000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 600.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0002225658 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 32 |
a. Name of issuer (if any). | Highbridge Loan Management Ltd |
b. LEI (if any) of issuer. (1) | 2549009NI8GVCM3ROT27 |
c. Title of the issue or description of the investment. | HPS Loan Management 10-2016 Ltd |
d. CUSIP (if any). | 40436UAC7 |
At least one of the following other identifiers: |
- ISIN | US40436UAC71 |
- Ticker (if ISIN is not available). | HLM |
Balance. (2) |
a. Balance | 10000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3200000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.1870173397 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 33 |
a. Name of issuer (if any). | Halcyon Loan Advisors Funding |
b. LEI (if any) of issuer. (1) | 549300SL5F4XH94OUB49 |
c. Title of the issue or description of the investment. | Halcyon Loan Advisors Funding 2015-1 Ltd |
d. CUSIP (if any). | 40538JAG0 |
At least one of the following other identifiers: |
- ISIN | US40538JAG04 |
- Ticker (if ISIN is not available). | HLA |
Balance. (2) |
a. Balance | 7000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 700.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0002596600 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 34 |
a. Name of issuer (if any). | Halcyon Loan Advisors Funding |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Halcyon Loan Advisors Funding 2018-1 Ltd |
d. CUSIP (if any). | 40539HAC2 |
At least one of the following other identifiers: |
- ISIN | US40539HAC25 |
- Ticker (if ISIN is not available). | HLA |
Balance. (2) |
a. Balance | 7750000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3797500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.4086557336 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 35 |
a. Name of issuer (if any). | Apex Credit CLO LLC |
b. LEI (if any) of issuer. (1) | 254900VJGL23NNLC3592 |
c. Title of the issue or description of the investment. | Apex Credit CLO 2015-II Ltd |
d. CUSIP (if any). | 46618PAC5 |
At least one of the following other identifiers: |
- ISIN | US46618PAC59 |
- Ticker (if ISIN is not available). | APEXC |
Balance. (2) |
a. Balance | 5750000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 287500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1066460891 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 36 |
a. Name of issuer (if any). | Jamestown CLO Ltd |
b. LEI (if any) of issuer. (1) | 2549008V3F2S2MZWTX88 |
c. Title of the issue or description of the investment. | Jamestown CLO IV Ltd |
d. CUSIP (if any). | 47047UAE9 |
At least one of the following other identifiers: |
- ISIN | US47047UAE91 |
- Ticker (if ISIN is not available). | JTWN |
Balance. (2) |
a. Balance | 2000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 200.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0000741886 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 37 |
a. Name of issuer (if any). | Jamestown CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300UY2VE3PHVMFV71 |
c. Title of the issue or description of the investment. | Jamestown CLO VII Ltd |
d. CUSIP (if any). | 47048AAC6 |
At least one of the following other identifiers: |
- ISIN | US47048AAC62 |
- Ticker (if ISIN is not available). | JTWN |
Balance. (2) |
a. Balance | 13912500.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 556500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2064297342 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 38 |
a. Name of issuer (if any). | Longfellow Place CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300FY38ZCUKZQU403 |
c. Title of the issue or description of the investment. | Longfellow Place CLO Ltd |
d. CUSIP (if any). | 54303NAH3 |
At least one of the following other identifiers: |
- ISIN | US54303NAH35 |
- Ticker (if ISIN is not available). | LONGF |
Balance. (2) |
a. Balance | 795239.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 160479.270000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0595286488 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-04-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.775000000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 39 |
a. Name of issuer (if any). | Madison Park Funding Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Madison Park Funding XXXII Ltd |
d. CUSIP (if any). | 55817CAC4 |
At least one of the following other identifiers: |
- ISIN | US55817CAC47 |
- Ticker (if ISIN is not available). | MDPK |
Balance. (2) |
a. Balance | 12250000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 7472500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.7718709597 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 40 |
a. Name of issuer (if any). | Madison Park Funding Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Madison Park Funding XIII Ltd |
d. CUSIP (if any). | 55818NAE5 |
At least one of the following other identifiers: |
- ISIN | US55818NAE58 |
- Ticker (if ISIN is not available). | MDPK |
Balance. (2) |
a. Balance | 20000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 8200000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.0417319330 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 41 |
a. Name of issuer (if any). | Madison Park Funding Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Madison Park Funding XVII Ltd |
d. CUSIP (if any). | 55819AAE2 |
At least one of the following other identifiers: |
- ISIN | US55819AAE29 |
- Ticker (if ISIN is not available). | MDPK |
Balance. (2) |
a. Balance | 5000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1850000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6862443995 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 42 |
a. Name of issuer (if any). | Madison Park Funding Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Madison Park Funding XXII Ltd |
d. CUSIP (if any). | 55819VAC0 |
At least one of the following other identifiers: |
- ISIN | US55819VAC00 |
- Ticker (if ISIN is not available). | MDPK |
Balance. (2) |
a. Balance | 15000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 9000000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.3384862680 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 43 |
a. Name of issuer (if any). | Madison Park Funding Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Madison Park Funding XXIX LTD |
d. CUSIP (if any). | 55820EAE1 |
At least one of the following other identifiers: |
- ISIN | US55820EAE14 |
- Ticker (if ISIN is not available). | MDPK |
Balance. (2) |
a. Balance | 17000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 10710000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.9727986589 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 44 |
a. Name of issuer (if any). | Madison Park Funding Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Madison Park Funding XXV Ltd |
d. CUSIP (if any). | 55820MAE3 |
At least one of the following other identifiers: |
- ISIN | US55820MAE30 |
- Ticker (if ISIN is not available). | MDPK |
Balance. (2) |
a. Balance | 1300000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 614250.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2278516878 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 45 |
a. Name of issuer (if any). | Madison Park Funding Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Madison Park Funding XXIV Ltd |
d. CUSIP (if any). | 55820QAC8 |
At least one of the following other identifiers: |
- ISIN | US55820QAC87 |
- Ticker (if ISIN is not available). | MDPK |
Balance. (2) |
a. Balance | 3568750.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1463187.500000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5427590418 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 46 |
a. Name of issuer (if any). | Madison Park Funding Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Madison Park Funding XXX LTD |
d. CUSIP (if any). | 55822HAE2 |
At least one of the following other identifiers: |
- ISIN | US55822HAE27 |
- Ticker (if ISIN is not available). | MDPK |
Balance. (2) |
a. Balance | 17550000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 9417963.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.4935266831 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 47 |
a. Name of issuer (if any). | Marble Point CLO XI Ltd |
b. LEI (if any) of issuer. (1) | 549300DBVCVH5X7MO467 |
c. Title of the issue or description of the investment. | Marble Point CLO XI Ltd |
d. CUSIP (if any). | 56606RAA8 |
At least one of the following other identifiers: |
- ISIN | US56606RAA86 |
- Ticker (if ISIN is not available). | MP11 |
Balance. (2) |
a. Balance | 6000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2100000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7789801292 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 48 |
a. Name of issuer (if any). | MidOcean Credit CLO |
b. LEI (if any) of issuer. (1) | 549300XSCUX0ONI5KZ96 |
c. Title of the issue or description of the investment. | MidOcean Credit CLO III |
d. CUSIP (if any). | 59802VAE7 |
At least one of the following other identifiers: |
- ISIN | US59802VAE74 |
- Ticker (if ISIN is not available). | MIDO |
Balance. (2) |
a. Balance | 16650000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 832500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3088099798 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 49 |
a. Name of issuer (if any). | MidOcean Credit CLO |
b. LEI (if any) of issuer. (1) | 549300YUUBR2C1GYW366 |
c. Title of the issue or description of the investment. | MidOcean Credit CLO VI |
d. CUSIP (if any). | 59802WAC9 |
At least one of the following other identifiers: |
- ISIN | US59802WAC91 |
- Ticker (if ISIN is not available). | MIDO |
Balance. (2) |
a. Balance | 29700000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 10395000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.8559516395 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 50 |
a. Name of issuer (if any). | Mountain Hawk CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300X4VFRMZJ7T1U89 |
c. Title of the issue or description of the investment. | Mountain Hawk II CLO Ltd |
d. CUSIP (if any). | 62405TAQ0 |
At least one of the following other identifiers: |
- ISIN | US62405TAQ04 |
- Ticker (if ISIN is not available). | MHAWK |
Balance. (2) |
a. Balance | 8000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3269600.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.2128349669 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-07-22 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.071750000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 51 |
a. Name of issuer (if any). | Mountain Hawk CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300X4VFRMZJ7T1U89 |
c. Title of the issue or description of the investment. | Mountain Hawk II CLO Ltd |
d. CUSIP (if any). | 62405UAA2 |
At least one of the following other identifiers: |
- ISIN | US62405UAA25 |
- Ticker (if ISIN is not available). | MHAWK |
Balance. (2) |
a. Balance | 25670000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2567.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0009522105 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 52 |
a. Name of issuer (if any). | Mountain View CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300XBX1AOMDRAHZ12 |
c. Title of the issue or description of the investment. | Mountain View CLO 2014-1 Ltd |
d. CUSIP (if any). | 62431WAE8 |
At least one of the following other identifiers: |
- ISIN | US62431WAE84 |
- Ticker (if ISIN is not available). | MVW |
Balance. (2) |
a. Balance | 7900000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 790.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0002930449 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 53 |
a. Name of issuer (if any). | Mountain View CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300XBX1AOMDRAHZ12 |
c. Title of the issue or description of the investment. | Mountain View CLO 2014-1 Ltd |
d. CUSIP (if any). | 62431YAA2 |
At least one of the following other identifiers: |
- ISIN | US62431YAA29 |
- Ticker (if ISIN is not available). | MVW |
Balance. (2) |
a. Balance | 7100000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 710.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0002633695 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 54 |
a. Name of issuer (if any). | Nassau 2017-II LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Nassau 2017-II Ltd |
d. CUSIP (if any). | 631710AB6 |
At least one of the following other identifiers: |
- ISIN | US631710AB67 |
- Ticker (if ISIN is not available). | NCC |
Balance. (2) |
a. Balance | 24400000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6100000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.2627518038 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 55 |
a. Name of issuer (if any). | Northwoods Capital Ltd |
b. LEI (if any) of issuer. (1) | 549300R06FSYRU75ZW78 |
c. Title of the issue or description of the investment. | Northwoods Capital XII-B Ltd |
d. CUSIP (if any). | 66858EAE3 |
At least one of the following other identifiers: |
- ISIN | US66858EAE32 |
- Ticker (if ISIN is not available). | WOODS |
Balance. (2) |
a. Balance | 10000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4000000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.4837716747 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 56 |
a. Name of issuer (if any). | Northwoods Capital Ltd |
b. LEI (if any) of issuer. (1) | 549300QQDSTCZ860F679 |
c. Title of the issue or description of the investment. | Northwoods Capital XIV-B Ltd |
d. CUSIP (if any). | 66860DAE1 |
At least one of the following other identifiers: |
- ISIN | US66860DAE13 |
- Ticker (if ISIN is not available). | WOODS |
Balance. (2) |
a. Balance | 4250000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1572500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5833077396 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 57 |
a. Name of issuer (if any). | OFSI Fund LTD |
b. LEI (if any) of issuer. (1) | 5493003TQHS9OKKCKV08 |
c. Title of the issue or description of the investment. | OFSI Fund VII Ltd |
d. CUSIP (if any). | 67107GAC9 |
At least one of the following other identifiers: |
- ISIN | US67107GAC96 |
- Ticker (if ISIN is not available). | OFSBS |
Balance. (2) |
a. Balance | 28840000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2018800.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7488595642 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 58 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OZLM VIII Ltd |
d. CUSIP (if any). | 67107HAE3 |
At least one of the following other identifiers: |
- ISIN | US67107HAE36 |
- Ticker (if ISIN is not available). | OZLM |
Balance. (2) |
a. Balance | 10000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1000000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3709429187 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 59 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OZLM VIII Ltd |
d. CUSIP (if any). | 67107HAG8 |
At least one of the following other identifiers: |
- ISIN | US67107HAG83 |
Balance. (2) |
a. Balance | 1000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 741700.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2751283628 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-10-17 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.352880000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 60 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OZLM VIII Ltd |
d. CUSIP (if any). | 67107HAJ2 |
At least one of the following other identifiers: |
- ISIN | US67107HAJ23 |
Balance. (2) |
a. Balance | 1435411.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 857514.280000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3180888498 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-10-17 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.442880000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 61 |
a. Name of issuer (if any). | OZLM Funding Ltd |
b. LEI (if any) of issuer. (1) | 549300ZESL6JPBECIU07 |
c. Title of the issue or description of the investment. | OZLM Funding III Ltd |
d. CUSIP (if any). | 67108GAC8 |
At least one of the following other identifiers: |
- ISIN | US67108GAC87 |
- Ticker (if ISIN is not available). | OZLMF |
Balance. (2) |
a. Balance | 12000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2160000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8012367043 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 62 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OZLM VII Ltd |
d. CUSIP (if any). | 67108XAE7 |
At least one of the following other identifiers: |
- ISIN | US67108XAE76 |
- Ticker (if ISIN is not available). | OZLM |
Balance. (2) |
a. Balance | 21224026.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 848961.040000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3149160860 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 63 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OZLM VII Ltd |
d. CUSIP (if any). | 67108XAF4 |
At least one of the following other identifiers: |
- ISIN | US67108XAF42 |
- Ticker (if ISIN is not available). | OZLM |
Balance. (2) |
a. Balance | 667647.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 26705.880000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0099063571 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 64 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OZLM VII Ltd |
d. CUSIP (if any). | 67108XAG2 |
At least one of the following other identifiers: |
- ISIN | US67108XAG25 |
Balance. (2) |
a. Balance | 1785151.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1106793.370000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4105571630 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-07-17 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.382880000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 65 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | 549300HQQ42NFL2R0S17 |
c. Title of the issue or description of the investment. | OZLM XIII Ltd |
d. CUSIP (if any). | 67110CAA7 |
At least one of the following other identifiers: |
- ISIN | US67110CAA71 |
- Ticker (if ISIN is not available). | OZLM |
Balance. (2) |
a. Balance | 9500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 6578750.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.4403407262 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-07-30 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.718250000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 66 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | 549300HQQ42NFL2R0S17 |
c. Title of the issue or description of the investment. | OZLM XIII Ltd |
d. CUSIP (if any). | 67110CAE9 |
At least one of the following other identifiers: |
- ISIN | US67110CAE93 |
- Ticker (if ISIN is not available). | OZLM |
Balance. (2) |
a. Balance | 23000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1380000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5119012278 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 67 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | 549300Y1XB6AVMQY8652 |
c. Title of the issue or description of the investment. | OZLM XIV Ltd |
d. CUSIP (if any). | 67110JAE4 |
At least one of the following other identifiers: |
- ISIN | US67110JAE47 |
- Ticker (if ISIN is not available). | OZLM |
Balance. (2) |
a. Balance | 36920000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 9026533.010000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.3483285001 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 68 |
a. Name of issuer (if any). | OFSI Fund LTD |
b. LEI (if any) of issuer. (1) | 254900VR4BMP1BVIS878 |
c. Title of the issue or description of the investment. | OFSI BSL VIII Ltd |
d. CUSIP (if any). | 67111JAC7 |
At least one of the following other identifiers: |
- ISIN | US67111JAC71 |
- Ticker (if ISIN is not available). | OFSBS |
Balance. (2) |
a. Balance | 4820896.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1687313.600000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6258970315 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 69 |
a. Name of issuer (if any). | OFSI Fund LTD |
b. LEI (if any) of issuer. (1) | 254900VR4BMP1BVIS878 |
c. Title of the issue or description of the investment. | OFSI BSL VIII Ltd |
d. CUSIP (if any). | 67111PAA7 |
At least one of the following other identifiers: |
- ISIN | US67111PAA75 |
- Ticker (if ISIN is not available). | OFSBS |
Balance. (2) |
a. Balance | 3679104.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1287686.400000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4776581515 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 70 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | 549300SDDOLWC85Q9Q65 |
c. Title of the issue or description of the investment. | OZLM XXII Ltd |
d. CUSIP (if any). | 67111XAC6 |
At least one of the following other identifiers: |
- ISIN | US67111XAC65 |
- Ticker (if ISIN is not available). | OZLM |
Balance. (2) |
a. Balance | 2670000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1404954.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5211577373 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-01-17 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.662880000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 71 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | 5493002SZMQH8ZTTHX49 |
c. Title of the issue or description of the investment. | OZLM XVIII Ltd |
d. CUSIP (if any). | 67112HAE6 |
At least one of the following other identifiers: |
- ISIN | US67112HAE62 |
Balance. (2) |
a. Balance | 3500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1415436.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5250459610 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 72 |
a. Name of issuer (if any). | OFSI Fund LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OFSI Fund IX Ltd |
d. CUSIP (if any). | 67112NAC7 |
At least one of the following other identifiers: |
- ISIN | US67112NAC74 |
- Ticker (if ISIN is not available). | OFSBS |
Balance. (2) |
a. Balance | 11480000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5699820.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.1143078667 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 73 |
a. Name of issuer (if any). | Octagon Investment Partners XX |
b. LEI (if any) of issuer. (1) | 549300MQ9W5DWZ8QX450 |
c. Title of the issue or description of the investment. | Octagon Investment Partners XXII Ltd |
d. CUSIP (if any). | 67574QAG2 |
At least one of the following other identifiers: |
- ISIN | US67574QAG29 |
- Ticker (if ISIN is not available). | OCT22 |
Balance. (2) |
a. Balance | 10568750.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3804750.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.4113450698 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 74 |
a. Name of issuer (if any). | Octagon Investment Partners XX |
b. LEI (if any) of issuer. (1) | 549300MQ9W5DWZ8QX450 |
c. Title of the issue or description of the investment. | Octagon Investment Partners XXII Ltd |
d. CUSIP (if any). | 67574QAH0 |
At least one of the following other identifiers: |
- ISIN | US67574QAH02 |
- Ticker (if ISIN is not available). | OCT22 |
Balance. (2) |
a. Balance | 1000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 360000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1335394507 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 75 |
a. Name of issuer (if any). | Octagon Investment Partners 33 |
b. LEI (if any) of issuer. (1) | 549300IDWDG12HO3TO90 |
c. Title of the issue or description of the investment. | Octagon Investment Partners 33 Ltd |
d. CUSIP (if any). | 67579NAC3 |
At least one of the following other identifiers: |
- ISIN | US67579NAC39 |
- Ticker (if ISIN is not available). | OCT33 |
Balance. (2) |
a. Balance | 10000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5000000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.8547145933 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 76 |
a. Name of issuer (if any). | OCTAGON LOAN FUNDING LTD |
b. LEI (if any) of issuer. (1) | 549300HJJWTCMWFILG24 |
c. Title of the issue or description of the investment. | Octagon Loan Funding Ltd |
d. CUSIP (if any). | 67590TAC5 |
At least one of the following other identifiers: |
- ISIN | US67590TAC53 |
- Ticker (if ISIN is not available). | OCTLF |
Balance. (2) |
a. Balance | 1774526.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 656574.620000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2435517059 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 77 |
a. Name of issuer (if any). | Octagon Investment Partners 38 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Octagon Investment Partners 38 Ltd |
d. CUSIP (if any). | 67591XAC5 |
At least one of the following other identifiers: |
- ISIN | US67591XAC56 |
- Ticker (if ISIN is not available). | OCT38 |
Balance. (2) |
a. Balance | 5000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2400000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.8902630048 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 78 |
a. Name of issuer (if any). | OCTAGON INVESTMENT PARTNERS 40 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Octagon Investment Partners 40 Ltd |
d. CUSIP (if any). | 67592EAC6 |
At least one of the following other identifiers: |
- ISIN | US67592EAC66 |
- Ticker (if ISIN is not available). | OCT40 |
Balance. (2) |
a. Balance | 47250000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 29767500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 11.0420433313 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 79 |
a. Name of issuer (if any). | Saranac CLO LTD |
b. LEI (if any) of issuer. (1) | 5493002KTJG5M0SYTB50 |
c. Title of the issue or description of the investment. | Saranac Clo VIII Ltd |
d. CUSIP (if any). | 80316RAA9 |
At least one of the following other identifiers: |
- ISIN | US80316RAA95 |
- Ticker (if ISIN is not available). | SRANC |
Balance. (2) |
a. Balance | 4000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3052400.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.1322661649 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
JERSEY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-02-20 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 9.749310000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 80 |
a. Name of issuer (if any). | Seneca Park CLO Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Seneca Park CLO Ltd 2014-1 |
d. CUSIP (if any). | 817174AE5 |
At least one of the following other identifiers: |
- ISIN | US817174AE50 |
- Ticker (if ISIN is not available). | SPARK |
Balance. (2) |
a. Balance | 6000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 90000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0333848627 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 81 |
a. Name of issuer (if any). | Shackleton CLO LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Shackleton 2014-V-R CLO Ltd |
d. CUSIP (if any). | 81881NAE3 |
At least one of the following other identifiers: |
- ISIN | US81881NAE31 |
- Ticker (if ISIN is not available). | SHACK |
Balance. (2) |
a. Balance | 19500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 8385000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.1103563730 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 82 |
a. Name of issuer (if any). | Shackleton CLO LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Shackleton 2015-VII-R CLO Ltd |
d. CUSIP (if any). | 81882CAC0 |
At least one of the following other identifiers: |
- ISIN | US81882CAC01 |
- Ticker (if ISIN is not available). | SHACK |
Balance. (2) |
a. Balance | 12500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3295667.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.2225043359 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 83 |
a. Name of issuer (if any). | Shackleton CLO LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Shackleton 2013-IV-R CLO Ltd |
d. CUSIP (if any). | 81882GAE7 |
At least one of the following other identifiers: |
- ISIN | US81882GAE70 |
- Ticker (if ISIN is not available). | SHACK |
Balance. (2) |
a. Balance | 24500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5767342.010000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.1393546781 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 84 |
a. Name of issuer (if any). | Shackleton CLO LTD |
b. LEI (if any) of issuer. (1) | 549300IM8C0HSUTXDD32 |
c. Title of the issue or description of the investment. | Shackleton 2017-X CLO Ltd |
d. CUSIP (if any). | 81883CAA3 |
At least one of the following other identifiers: |
- ISIN | US81883CAA36 |
- Ticker (if ISIN is not available). | SHACK |
Balance. (2) |
a. Balance | 6000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4113600.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.5259107902 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-04-20 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.486750000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 85 |
a. Name of issuer (if any). | Shackleton CLO LTD |
b. LEI (if any) of issuer. (1) | 549300IM8C0HSUTXDD32 |
c. Title of the issue or description of the investment. | Shackleton 2017-X CLO Ltd |
d. CUSIP (if any). | 81883CAC9 |
At least one of the following other identifiers: |
- ISIN | US81883CAC91 |
- Ticker (if ISIN is not available). | SHACK |
Balance. (2) |
a. Balance | 25538000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 7916780.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.9366734796 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 86 |
a. Name of issuer (if any). | Sound Point CLO LTD |
b. LEI (if any) of issuer. (1) | 549300Q00FJ0WHHYC788 |
c. Title of the issue or description of the investment. | Sound Point CLO II Ltd |
d. CUSIP (if any). | 83608FAF5 |
At least one of the following other identifiers: |
- ISIN | US83608FAF53 |
Balance. (2) |
a. Balance | 2750000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 852500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3162288382 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 87 |
a. Name of issuer (if any). | Sound Point CLO LTD |
b. LEI (if any) of issuer. (1) | 5493001FKRL3V2YW2890 |
c. Title of the issue or description of the investment. | Sound Point CLO VI-R LTD |
d. CUSIP (if any). | 83608YAE7 |
At least one of the following other identifiers: |
- ISIN | US83608YAE77 |
- Ticker (if ISIN is not available). | SNDPT |
Balance. (2) |
a. Balance | 24656983.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3698547.450000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.3719499859 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 88 |
a. Name of issuer (if any). | Sound Point CLO LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | SOUND POINT CLO XXII LTD |
d. CUSIP (if any). | 83610FAG9 |
At least one of the following other identifiers: |
- ISIN | US83610FAG90 |
- Ticker (if ISIN is not available). | SNDPT |
Balance. (2) |
a. Balance | 4880000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2147200.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7964886350 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 89 |
a. Name of issuer (if any). | Symphony CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300JQYSBIW1AM8R32 |
c. Title of the issue or description of the investment. | Symphony CLO XVIII Ltd |
d. CUSIP (if any). | 87154FAC1 |
At least one of the following other identifiers: |
- ISIN | US87154FAC14 |
- Ticker (if ISIN is not available). | SYMP |
Balance. (2) |
a. Balance | 14750000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4720000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.7508505761 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 90 |
a. Name of issuer (if any). | Wind River CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300H4V7OE3OL7II20 |
c. Title of the issue or description of the investment. | THL Credit Wind River 2015-1 CLO Ltd |
d. CUSIP (if any). | 87246LAB0 |
At least one of the following other identifiers: |
- ISIN | US87246LAB09 |
- Ticker (if ISIN is not available). | WINDR |
Balance. (2) |
a. Balance | 1300000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 559000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2073570915 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 91 |
a. Name of issuer (if any). | Wind River CLO Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | THL Credit Wind River 2017-4 Clo Ltd |
d. CUSIP (if any). | 87249MAC3 |
At least one of the following other identifiers: |
- ISIN | US87249MAC38 |
- Ticker (if ISIN is not available). | WINDR |
Balance. (2) |
a. Balance | 7000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4620000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.7137562842 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 92 |
a. Name of issuer (if any). | Telos CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300S94NIRW4K03T89 |
c. Title of the issue or description of the investment. | Telos CLO 2014-6 Ltd |
d. CUSIP (if any). | 87970XAA8 |
At least one of the following other identifiers: |
- ISIN | US87970XAA81 |
- Ticker (if ISIN is not available). | TELOS |
Balance. (2) |
a. Balance | 21400000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2140.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0007938178 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 93 |
a. Name of issuer (if any). | Telos CLO Ltd |
b. LEI (if any) of issuer. (1) | 25490083G97ZZN6SR263 |
c. Title of the issue or description of the investment. | Telos Clo 2013-3 Ltd |
d. CUSIP (if any). | 87974GAB9 |
At least one of the following other identifiers: |
- ISIN | US87974GAB95 |
- Ticker (if ISIN is not available). | TELOS |
Balance. (2) |
a. Balance | 3998876.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 399.890000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0001483364 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 94 |
a. Name of issuer (if any). | Telos CLO Ltd |
b. LEI (if any) of issuer. (1) | 635400UODWAQKOLDKL79 |
c. Title of the issue or description of the investment. | Telos CLO 2013-4 Ltd |
d. CUSIP (if any). | 87974JAA5 |
At least one of the following other identifiers: |
- ISIN | US87974JAA51 |
- Ticker (if ISIN is not available). | TELOS |
Balance. (2) |
a. Balance | 14350000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1148000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4258424706 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 95 |
a. Name of issuer (if any). | Thacher Park CLO |
b. LEI (if any) of issuer. (1) | 549300XMM86G232BM362 |
c. Title of the issue or description of the investment. | Thacher Park CLO Ltd |
d. CUSIP (if any). | 88322VAE7 |
At least one of the following other identifiers: |
- ISIN | US88322VAE74 |
- Ticker (if ISIN is not available). | THRPK |
Balance. (2) |
a. Balance | 4500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 450000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1669243134 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 96 |
a. Name of issuer (if any). | Wind River CLO Ltd |
b. LEI (if any) of issuer. (1) | 254900W8N6WOFX1LSH24 |
c. Title of the issue or description of the investment. | THL Credit Wind River 2017-1 CLO Ltd |
d. CUSIP (if any). | 88432QAC9 |
At least one of the following other identifiers: |
- ISIN | US88432QAC96 |
- Ticker (if ISIN is not available). | WINDR |
Balance. (2) |
a. Balance | 12000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4080000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.5134471081 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 97 |
a. Name of issuer (if any). | Tralee CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300TO44EYB43F5661 |
c. Title of the issue or description of the investment. | Tralee CLO IV Ltd |
d. CUSIP (if any). | 89300EAA7 |
At least one of the following other identifiers: |
- ISIN | US89300EAA73 |
- Ticker (if ISIN is not available). | TRAL |
Balance. (2) |
a. Balance | 13270000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2654000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.9844825061 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 98 |
a. Name of issuer (if any). | Trinitas CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300F3XEPDOX3FOP69 |
c. Title of the issue or description of the investment. | Trinitas Clo VII Ltd |
d. CUSIP (if any). | 89641EAC1 |
At least one of the following other identifiers: |
- ISIN | US89641EAC12 |
- Ticker (if ISIN is not available). | TRNTS |
Balance. (2) |
a. Balance | 2000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 760000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2819166182 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 99 |
a. Name of issuer (if any). | Venture CDO Ltd |
b. LEI (if any) of issuer. (1) | 549300UP09C89Q3HWD39 |
c. Title of the issue or description of the investment. | Venture 32 CLO Ltd |
d. CUSIP (if any). | 92325RAE5 |
At least one of the following other identifiers: |
- ISIN | US92325RAE53 |
- Ticker (if ISIN is not available). | VENTR |
Balance. (2) |
a. Balance | 3500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1400000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5193200861 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 100 |
a. Name of issuer (if any). | Venture CDO Ltd |
b. LEI (if any) of issuer. (1) | 5493002O60L75PP6F022 |
c. Title of the issue or description of the investment. | Venture XIV CLO Ltd |
d. CUSIP (if any). | 92328HAC8 |
At least one of the following other identifiers: |
- ISIN | US92328HAC88 |
- Ticker (if ISIN is not available). | VENTR |
Balance. (2) |
a. Balance | 9250000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 740000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2744977598 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 101 |
a. Name of issuer (if any). | Venture CDO Ltd |
b. LEI (if any) of issuer. (1) | 549300UYHZCJPN3LMT03 |
c. Title of the issue or description of the investment. | Venture XV CLO Ltd |
d. CUSIP (if any). | 92328LAB1 |
At least one of the following other identifiers: |
- ISIN | US92328LAB18 |
- Ticker (if ISIN is not available). | VENTR |
Balance. (2) |
a. Balance | 9450126.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 567007.560000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2103274392 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 102 |
a. Name of issuer (if any). | Venture CDO Ltd |
b. LEI (if any) of issuer. (1) | 549300UYHZCJPN3LMT03 |
c. Title of the issue or description of the investment. | Venture XV CLO Ltd |
d. CUSIP (if any). | 92328LAH8 |
At least one of the following other identifiers: |
- ISIN | US92328LAH87 |
- Ticker (if ISIN is not available). | VENTR |
Balance. (2) |
a. Balance | 2250000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1281150.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4752335202 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2032-07-15 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 7.465000000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 103 |
a. Name of issuer (if any). | Venture CDO Ltd |
b. LEI (if any) of issuer. (1) | 549300SNYYGJ2M6QEK53 |
c. Title of the issue or description of the investment. | Venture XVII CLO Ltd |
d. CUSIP (if any). | 92330CAB7 |
At least one of the following other identifiers: |
- ISIN | US92330CAB72 |
- Ticker (if ISIN is not available). | VENTR |
Balance. (2) |
a. Balance | 13000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 910000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3375580560 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 104 |
a. Name of issuer (if any). | Venture CDO Ltd |
b. LEI (if any) of issuer. (1) | 549300LQ92YS70N4PB21 |
c. Title of the issue or description of the investment. | Venture XX CLO Ltd |
d. CUSIP (if any). | 92330KAE3 |
At least one of the following other identifiers: |
- ISIN | US92330KAE38 |
- Ticker (if ISIN is not available). | VENTR |
Balance. (2) |
a. Balance | 6000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 420000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1557960258 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 105 |
a. Name of issuer (if any). | Venture XXI CLO |
b. LEI (if any) of issuer. (1) | 5493001C8B2BF8JNTO68 |
c. Title of the issue or description of the investment. | Venture XXI CLO Ltd |
d. CUSIP (if any). | 92330LAE1 |
At least one of the following other identifiers: |
- ISIN | US92330LAE11 |
- Ticker (if ISIN is not available). | VENTR |
Balance. (2) |
a. Balance | 9750000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 975000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3616693457 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 106 |
a. Name of issuer (if any). | Venture CDO Ltd |
b. LEI (if any) of issuer. (1) | 549300IW5Q3C6JHMIU22 |
c. Title of the issue or description of the investment. | Venture 37 CLO Ltd |
d. CUSIP (if any). | 92332JAC8 |
At least one of the following other identifiers: |
- ISIN | US92332JAC80 |
- Ticker (if ISIN is not available). | VENTR |
Balance. (2) |
a. Balance | 9000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4140000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.5357036833 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 107 |
a. Name of issuer (if any). | Vibrant CLO Ltd |
b. LEI (if any) of issuer. (1) | 54930073XIEUISQCY218 |
c. Title of the issue or description of the investment. | Vibrant Clo III Ltd |
d. CUSIP (if any). | 92557TAC4 |
At least one of the following other identifiers: |
- ISIN | US92557TAC45 |
- Ticker (if ISIN is not available). | VIBR |
Balance. (2) |
a. Balance | 5000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1200000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4451315024 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 108 |
a. Name of issuer (if any). | Wellfleet CLO Ltd |
b. LEI (if any) of issuer. (1) | 254900SGJWAIVC8ISP96 |
c. Title of the issue or description of the investment. | Wellfleet CLO 2016-2 Ltd |
d. CUSIP (if any). | 94949MAC2 |
At least one of the following other identifiers: |
- ISIN | US94949MAC29 |
- Ticker (if ISIN is not available). | WELF |
Balance. (2) |
a. Balance | 10000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1700000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6306029617 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 109 |
a. Name of issuer (if any). | West CLO Ltd |
b. LEI (if any) of issuer. (1) | 2549008FQ6ZWGP8NJZ96 |
c. Title of the issue or description of the investment. | West CLO 2014-1 Ltd |
d. CUSIP (if any). | 95168TAC8 |
At least one of the following other identifiers: |
- ISIN | US95168TAC80 |
- Ticker (if ISIN is not available). | WSTC |
Balance. (2) |
a. Balance | 17250000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1035000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3839259208 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 110 |
a. Name of issuer (if any). | Zais CLO 9, Limited |
b. LEI (if any) of issuer. (1) | 549300GT2U4OLB9UL559 |
c. Title of the issue or description of the investment. | Zais Clo 9 Ltd |
d. CUSIP (if any). | 98875PAC4 |
At least one of the following other identifiers: |
- ISIN | US98875PAC41 |
- Ticker (if ISIN is not available). | ZAIS9 |
Balance. (2) |
a. Balance | 10700000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1926000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7144360613 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 111 |
a. Name of issuer (if any). | Zais CLO 8, Limited |
b. LEI (if any) of issuer. (1) | 549300XI7G6FVIEXZ367 |
c. Title of the issue or description of the investment. | Zais CLO 8 Ltd |
d. CUSIP (if any). | 98885HAC0 |
At least one of the following other identifiers: |
- ISIN | US98885HAC07 |
- Ticker (if ISIN is not available). | ZAIS8 |
Balance. (2) |
a. Balance | 3000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 480000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1780526010 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 112 |
a. Name of issuer (if any). | ARES 2017-43A SUB 10/15/2029 - Fee Letter |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ARES 2017-43A SUB 10/15/2029 - Fee Letter |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | ARES_Feeletter_OXFORD |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 855502.000000000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 350184.390000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1298984197 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 113 |
a. Name of issuer (if any). | OHA Loan Funding Ltd |
b. LEI (if any) of issuer. (1) | 549300D9EWW78J2IM387 |
c. Title of the issue or description of the investment. | OHA Loan Funding 2012-1 Ltd |
d. CUSIP (if any). | BCC20DM11 |
At least one of the following other identifiers: |
- ISIN | USG6722JAB10 |
- Ticker (if ISIN is not available). | OHALF |
Balance. (2) |
a. Balance | 7400000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 495800.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1839134991 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 114 |
a. Name of issuer (if any). | Telos CLO Ltd |
b. LEI (if any) of issuer. (1) | 25490083G97ZZN6SR263 |
c. Title of the issue or description of the investment. | Telos Clo 2013-3 Ltd |
d. CUSIP (if any). | BCC20UM21 |
At least one of the following other identifiers: |
- ISIN | USG87562AA56 |
- Ticker (if ISIN is not available). | TELOS |
Balance. (2) |
a. Balance | 5666667.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 566.670000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0002102022 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 115 |
a. Name of issuer (if any). | Carlyle Global Market Strategi |
b. LEI (if any) of issuer. (1) | 635400XFOCOSFVGDN267 |
c. Title of the issue or description of the investment. | Carlyle Global Market Strategies CLO 2013-2 Ltd |
d. CUSIP (if any). | BCC2201L6 |
At least one of the following other identifiers: |
- ISIN | USG19129AD03 |
- Ticker (if ISIN is not available). | CGMS |
Balance. (2) |
a. Balance | 7250000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2076599.530000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7702998906 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 116 |
a. Name of issuer (if any). | Tralee CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300KVMYUNBMVPNK19 |
c. Title of the issue or description of the investment. | Tralee CLO II Ltd |
d. CUSIP (if any). | BCC223K13 |
At least one of the following other identifiers: |
- ISIN | USG9010XAA75 |
- Ticker (if ISIN is not available). | TRAL |
Balance. (2) |
a. Balance | 6300000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 63000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0233694039 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 117 |
a. Name of issuer (if any). | Figueroa CLO LTD |
b. LEI (if any) of issuer. (1) | 5493001NPRHSX8R16822 |
c. Title of the issue or description of the investment. | Figueroa CLO 2013-2 Ltd |
d. CUSIP (if any). | BCC25L723 |
At least one of the following other identifiers: |
- ISIN | USG34735AB91 |
- Ticker (if ISIN is not available). | FIG |
Balance. (2) |
a. Balance | 8500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 17000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0063060296 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 118 |
a. Name of issuer (if any). | Venture CDO Ltd |
b. LEI (if any) of issuer. (1) | 549300SNYYGJ2M6QEK53 |
c. Title of the issue or description of the investment. | Venture XVII CLO Ltd |
d. CUSIP (if any). | BCC26ZBV2 |
At least one of the following other identifiers: |
- ISIN | USG93472AB78 |
- Ticker (if ISIN is not available). | VENTR |
Balance. (2) |
a. Balance | 4000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 280000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1038640172 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 119 |
a. Name of issuer (if any). | Jamestown CLO Ltd |
b. LEI (if any) of issuer. (1) | 2549008V3F2S2MZWTX88 |
c. Title of the issue or description of the investment. | Jamestown CLO IV Ltd |
d. CUSIP (if any). | BCC274HM4 |
At least one of the following other identifiers: |
- ISIN | USG8228KAC11 |
- Ticker (if ISIN is not available). | JTWN |
Balance. (2) |
a. Balance | 7500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 750.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0002782072 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 120 |
a. Name of issuer (if any). | CIFC Funding Ltd |
b. LEI (if any) of issuer. (1) | 549300KEIUMRD7WX5J42 |
c. Title of the issue or description of the investment. | CIFC Funding 2014-III Ltd |
d. CUSIP (if any). | BCC277UU4 |
At least one of the following other identifiers: |
- ISIN | USG2206CAA20 |
- Ticker (if ISIN is not available). | CIFC |
Balance. (2) |
a. Balance | 10000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3200000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.1870173397 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 121 |
a. Name of issuer (if any). | West CLO Ltd |
b. LEI (if any) of issuer. (1) | 2549008FQ6ZWGP8NJZ96 |
c. Title of the issue or description of the investment. | West CLO 2014-1 Ltd |
d. CUSIP (if any). | BCC279W79 |
At least one of the following other identifiers: |
- ISIN | USG9553KAB64 |
- Ticker (if ISIN is not available). | WSTC |
Balance. (2) |
a. Balance | 3000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 180000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0667697254 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 122 |
a. Name of issuer (if any). | Madison Park Funding Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Madison Park Funding XV Ltd |
d. CUSIP (if any). | BCC28EI40 |
At least one of the following other identifiers: |
- ISIN | USG5747PAB07 |
- Ticker (if ISIN is not available). | MDPK |
Balance. (2) |
a. Balance | 7000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1243900.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4614158965 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 123 |
a. Name of issuer (if any). | Elevation CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300FXZU8M44ED2J89 |
c. Title of the issue or description of the investment. | Elevation CLO 2015-4 Ltd |
d. CUSIP (if any). | BCC28YC75 |
At least one of the following other identifiers: |
- ISIN | USG0509NAC23 |
- Ticker (if ISIN is not available). | AWPT |
Balance. (2) |
a. Balance | 19350000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1935000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7177745476 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 124 |
a. Name of issuer (if any). | Venture XXI CLO |
b. LEI (if any) of issuer. (1) | 5493001C8B2BF8JNTO68 |
c. Title of the issue or description of the investment. | Venture XXI CLO Ltd |
d. CUSIP (if any). | BCC29EY09 |
At least one of the following other identifiers: |
- ISIN | USG93505AC29 |
- Ticker (if ISIN is not available). | VENTR |
Balance. (2) |
a. Balance | 20250000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2025000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7511594103 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 125 |
a. Name of issuer (if any). | Ocean Trails CLO |
b. LEI (if any) of issuer. (1) | 549300PZUK1YI58H0Z29 |
c. Title of the issue or description of the investment. | Ocean Trails CLO VI |
d. CUSIP (if any). | BCC2B73L9 |
At least one of the following other identifiers: |
- ISIN | USG6704TAD75 |
- Ticker (if ISIN is not available). | OCTR |
Balance. (2) |
a. Balance | 4000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 840000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3115920517 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 126 |
a. Name of issuer (if any). | ICG US CLO Ltd |
b. LEI (if any) of issuer. (1) | 635400A7LQADQPBLJB50 |
c. Title of the issue or description of the investment. | ICG US CLO 2016-1 Ltd |
d. CUSIP (if any). | BCC2BKQC5 |
At least one of the following other identifiers: |
- ISIN | USG4709FAB16 |
- Ticker (if ISIN is not available). | ICG |
Balance. (2) |
a. Balance | 4750000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1437540.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.5332452833 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 127 |
a. Name of issuer (if any). | Bristol Park CLO, Ltd. |
b. LEI (if any) of issuer. (1) | 549300XRS6MFERKEPO61 |
c. Title of the issue or description of the investment. | Bristol Park CLO LTD |
d. CUSIP (if any). | BCC2C6GW2 |
At least one of the following other identifiers: |
- ISIN | USG13823AA08 |
- Ticker (if ISIN is not available). | BRIST |
Balance. (2) |
a. Balance | 7000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3290000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.2204022024 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 128 |
a. Name of issuer (if any). | Marble Point CLO XI Ltd |
b. LEI (if any) of issuer. (1) | 549300DBVCVH5X7MO467 |
c. Title of the issue or description of the investment. | Marble Point CLO XI Ltd |
d. CUSIP (if any). | BCC2EXTX5 |
At least one of the following other identifiers: |
- ISIN | USG58082AA90 |
- Ticker (if ISIN is not available). | MP11 |
Balance. (2) |
a. Balance | 2500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 875000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3245750538 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 129 |
a. Name of issuer (if any). | Anchorage Capital CLO LTD |
b. LEI (if any) of issuer. (1) | 549300MP4QPQUMB6AD63 |
c. Title of the issue or description of the investment. | Anchorage Capital CLO 4-R Ltd |
d. CUSIP (if any). | BCC2FF5G6 |
At least one of the following other identifiers: |
- ISIN | USG0420PAB51 |
- Ticker (if ISIN is not available). | ANCHC |
Balance. (2) |
a. Balance | 6000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3606600.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.3378427305 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 130 |
a. Name of issuer (if any). | Hayfin Kingsland IX Ltd |
b. LEI (if any) of issuer. (1) | 5493007TDTFGTUF8ZZ81 |
c. Title of the issue or description of the investment. | Hayfin Kingsland IX Ltd |
d. CUSIP (if any). | BCC2GCDG3 |
At least one of the following other identifiers: |
- ISIN | USG52762AC80 |
- Ticker (if ISIN is not available). | KING |
Balance. (2) |
a. Balance | 22877075.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 10065913.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 3.7338791472 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 131 |
a. Name of issuer (if any). | Trinitas CLO Ltd |
b. LEI (if any) of issuer. (1) | 5493000JXST1RIX07H55 |
c. Title of the issue or description of the investment. | Trinitas Clo VIII Ltd |
d. CUSIP (if any). | BCC2H1J96 |
At least one of the following other identifiers: |
- ISIN | USG90627AB94 |
- Ticker (if ISIN is not available). | TRNTS |
Balance. (2) |
a. Balance | 8050000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 4105500.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.5229061526 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 132 |
a. Name of issuer (if any). | Anchorage Capital CLO LTD |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Anchorage Capital CLO Ltd |
d. CUSIP (if any). | BCC2H7N80 |
At least one of the following other identifiers: |
- ISIN | USG0419UAF87 |
- Ticker (if ISIN is not available). | ANCHC |
Balance. (2) |
a. Balance | 6000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3161400.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.1726989431 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 133 |
a. Name of issuer (if any). | Allegro CLO Ltd |
b. LEI (if any) of issuer. (1) | 635400R1GOVCHJ4SNX58 |
c. Title of the issue or description of the investment. | Allegro CLO II-S Ltd |
d. CUSIP (if any). | BCC2HJW35 |
At least one of the following other identifiers: |
- ISIN | USG01763AC86 |
- Ticker (if ISIN is not available). | ALLEG |
Balance. (2) |
a. Balance | 20800000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 5616000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 2.0832154312 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 134 |
a. Name of issuer (if any). | Park Avenue Institutional Advi |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Park Avenue Institutional Advisers CLO Ltd 2018-1 |
d. CUSIP (if any). | BCC2HZ5U9 |
At least one of the following other identifiers: |
- ISIN | USG69368AB75 |
- Ticker (if ISIN is not available). | PAIA |
Balance. (2) |
a. Balance | 6000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3180000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.1795984813 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 135 |
a. Name of issuer (if any). | OFSI Fund LTD |
b. LEI (if any) of issuer. (1) | 5493003TQHS9OKKCKV08 |
c. Title of the issue or description of the investment. | OFSI Fund VII Ltd |
d. CUSIP (if any). | BCC27MWM7 |
At least one of the following other identifiers: |
- ISIN | USG67209AB56 |
- Ticker (if ISIN is not available). | OFSBS |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BR17V94 |
Description of other unique identifier. | SEDOL |
Balance. (2) |
a. Balance | 1400000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 910000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3375580560 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-10-18 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.921750000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 136 |
a. Name of issuer (if any). | ELEV2011 - FEELTR |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ELEV2011 - FEELTR |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | ELEV2011FLTR_OXFORD |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 26545455.000000000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 308016.730000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1142566248 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 137 |
a. Name of issuer (if any). | Mountain Hawk CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300X4VFRMZJ7T1U89 |
c. Title of the issue or description of the investment. | Mountain Hawk II CLO Ltd |
d. CUSIP (if any). | BCC233GR0 |
At least one of the following other identifiers: |
- ISIN | USG63016AH52 |
- Ticker (if ISIN is not available). | MHAWK |
Balance. (2) |
a. Balance | 1000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 408700.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1516043709 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-07-22 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 5.071750000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 138 |
a. Name of issuer (if any). | OZLM Ltd |
b. LEI (if any) of issuer. (1) | 549300HQQ42NFL2R0S17 |
c. Title of the issue or description of the investment. | OZLM XIII Ltd |
d. CUSIP (if any). | BCC29K6F3 |
At least one of the following other identifiers: |
- ISIN | USG68680AB60 |
- Ticker (if ISIN is not available). | OZLM |
Balance. (2) |
a. Balance | 2041807.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1062556.320000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3941477426 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-07-30 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 6.768250000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 139 |
a. Name of issuer (if any). | Halcyon 2018-1 - Fee Letter |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Halcyon 2018-1 - Fee Letter |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | HLA_Feeletter_OX |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 838412.000000000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 546508.010000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2027232763 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 140 |
a. Name of issuer (if any). | OFSI IX- Fee Letter |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OFSI IX- Fee Letter |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | OFSIIX_Feeletter_OX |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 460017.000000000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 277621.120000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1029815885 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 141 |
a. Name of issuer (if any). | OFS VII Fee Letter |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OFS VII Fee Letter |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | OFSVIIFeeletter_OXFORD |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 2047447.000000000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 73255.210000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0271735014 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 142 |
a. Name of issuer (if any). | OZLMF3- Fee Letter |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | OZLMF3- Fee Letter |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | OZLMF3_Feeletter_OX |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 12000000.000000000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 102290.300000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0379438624 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 143 |
a. Name of issuer (if any). | TRAL 2017-4A SUB 01/20/2030 - Fee Letter |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TRAL 2017-4A SUB 01/20/2030 - Fee Letter |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TRAL_Feeletter_OXFORD |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 286377.000000000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 14434.790000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0053544831 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 144 |
a. Name of issuer (if any). | AMMC CLO XII Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | AMMC 2013-12A SUB 05/10/2025 |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | US00176EAE77_TICC |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 11428571.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3314285.590000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.2294107700 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 145 |
a. Name of issuer (if any). | Anchorage Capital CLO 7 Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | ANCHC 2015-7A SUB 01/28/2031 |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | US03328UAE29_OX |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 7750000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3720000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.3799076574 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 146 |
a. Name of issuer (if any). | BlueMountain CLO 2018-3 Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | BLUEM 2018-3A SUB 10/25/2030 |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | US09629YAE77_OX |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 10000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3800000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.4095830909 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 147 |
a. Name of issuer (if any). | US42983LAE65_OX |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | US42983LAE65_OX |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | US42983LAE65_OX |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 3000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 861000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.3193818530 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 148 |
a. Name of issuer (if any). | Ivy Hill Middle Market Credit Fund VII Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | IVYH 7A SUB 10/20/2025 |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | US46602YAC49_TICC |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 5400000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 2014103.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.7471172453 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 149 |
a. Name of issuer (if any). | LONGF 2013-1A SUB 0.0% 1/15/24 |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | LONGF 2013-1A SUB 0.0% 1/15/24 |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | US54303NAD21_TICC |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 19640000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 392800.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1457063785 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 150 |
a. Name of issuer (if any). | Parallel 2018-1 Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | PARL 2018-1A SUB 04/20/2031 |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | US69916CAC55_OX |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 1500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 525000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.1947450323 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 151 |
a. Name of issuer (if any). | Telos Clo 2013-3 Ltd |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | TELOS 2013-3A SUB 01/17/2024 |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | US87974GAA13_TICC |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 4666667.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 466.670000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0001731079 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 152 |
a. Name of issuer (if any). | Windriver 2017-1 - Fee Letter |
b. LEI (if any) of issuer. (1) | N/A |
c. Title of the issue or description of the investment. | Windriver 2017-1 - Fee Letter |
d. CUSIP (if any). | N/A |
At least one of the following other identifiers: |
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | Wind2017-1_Feeletter_OXFORD |
Description of other unique identifier. | USER DEFINED |
Balance. (2) |
a. Balance | 563637.000000000000 |
b. Units |
Number of shares
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 175876.300000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.0652400680 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 153 |
a. Name of issuer (if any). | American Money Management Corp |
b. LEI (if any) of issuer. (1) | 5493004OOK6VXHQ8DQ60 |
c. Title of the issue or description of the investment. | AMMC CLO XI Ltd |
d. CUSIP (if any). | 001747AE4 |
At least one of the following other identifiers: |
- ISIN | US001747AE42 |
- Ticker (if ISIN is not available). | AMMC |
Balance. (2) |
a. Balance | 2100000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 693000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.2570634426 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 154 |
a. Name of issuer (if any). | ARES CLO Ltd |
b. LEI (if any) of issuer. (1) | 549300BC3E2Y44TL8536 |
c. Title of the issue or description of the investment. | Ares XXVII CLO Ltd |
d. CUSIP (if any). | 00191CAC6 |
At least one of the following other identifiers: |
- ISIN | US00191CAC64 |
- Ticker (if ISIN is not available). | ARES |
Balance. (2) |
a. Balance | 17000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 3903068.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 1.4478154357 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 155 |
a. Name of issuer (if any). | Allegro CLO Ltd |
b. LEI (if any) of issuer. (1) | 635400R1GOVCHJ4SNX58 |
c. Title of the issue or description of the investment. | Allegro CLO II-S Ltd |
d. CUSIP (if any). | 01751FAC9 |
At least one of the following other identifiers: |
- ISIN | US01751FAC95 |
Balance. (2) |
a. Balance | 2000000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1192200.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.4422381476 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-10-21 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 8.091380000000 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 156 |
a. Name of issuer (if any). | ALM Loan Funding |
b. LEI (if any) of issuer. (1) | 54930081ZGXPKB4CYI89 |
c. Title of the issue or description of the investment. | ALM XVII Ltd |
d. CUSIP (if any). | 02014Q201 |
At least one of the following other identifiers: |
- ISIN | US02014Q2012 |
- Ticker (if ISIN is not available). | ALM |
Balance. (2) |
a. Balance | 6500000.000000000000 |
b. Units |
Principal amount
|
c. Description of other units. | |
d. Currency. (3) |
United States Dollar
|
e. Value. (4) | 1885000.000000000000 |
f. Exchange rate. | |
g. Percentage value compared to net assets of the Fund. | 0.6992274017 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) | |
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable. |
The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. |
Registrant: | Oxford Lane Capital Corp. |
By (Signature): | /s/ Bruce L. Rubin |
Name: | Bruce L. Rubin |
Title: | Chief Financial Officer, Corporate Secretary and Treasurer |
Date: | 2020-08-06 |
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