05/08/2024 | Press release | Distributed by Public on 05/08/2024 07:21
(a)
|
|
1.
|
Yield as defined here refers to the indices mentioned. One cannot invest directly in an index.
|
|
2.
|
Sources: ICE BofA BBB US Corporate Index, ICE BofA BB-B US High Yield Index, J.P. Morgan CLOIE BBB Index, J.P. Morgan CLOIE BB Index (2/29/2024)
|
|
3.
|
Source: S&P Global - "CLO Spotlight: U.S. CLO Tranche Defaults As Of July 27, 2023" (8/9/2023)
|
|
4.
|
Source: S&P Global - "Default, Transition, and Recovery: 2022 Annual Global Corporate Default and Rating Transition Study" (4/25/2023)
|
|
5.
|
Source: Citi Research - "Cross Asset Correlation" (12/31/2022). Based on data between January 2013 and December 2022.
|
|
Past performance is not indicative of, or a guarantee of, future results. The information shown here is for background purposes only.
|
•
|
As of February 29, 2024, The Fund's Net Asset Value ("NAV") reached $217.8 million, from $83.2 million at the beginning of the six-month period.
|
•
|
The Fund's investment composition is 47.1% CLO BB bonds, 48.2% in CLO BBB bonds, and 4.7% cash and cash equivalents.
|
|
•
|
For the six-month period ended February 29, 2024, CLOZ issued 5 million new shares at a weighted average price of $26.15 per share, raising $130.8 million in equity.
|
|
•
|
For the six-month period ended February 29, 2024, the Fund's NAV was $26.57 per share, which was up from $25.99 per share at the beginning of the six-month period.
|
|
•
|
For the six-month period, CLOZ returned 7.00% on an NAV basis and 6.95% on a market price basis. Comparatively, the Fund's benchmark, the JP Morgan High Quality Index, had a return of 8.05% for the same period.
|
|
•
|
From inception through February 29, 2024, the Fund returned 15.66% on an NAV basis and 16.08% on a market price basis. This compares to the benchmark return of 16.78% over the same period.
|
|
•
|
The six-month and inception to date returns were a result of interest income on the CLO bonds and increases in bond prices during the periods.
|
John E. Kim
|
Timothy P. Wickstrom Jr.
|
Portfolio Manager
|
Portfolio Manager
|
One Year
|
Since Inception(1)
|
|
Panagram BBB-B CLO ETF - NAV
|
16.00%
|
15.66%
|
Panagram BBB-B CLO ETF - Market
|
15.26%
|
16.08%
|
J.P. Morgan CLO High Quality Mezzanine Index(2)
|
17.26%
|
16.78%
|
(1)
|
Inception date of the Fund was January 23, 2023.
|
(2)
|
The J.P. Morgan CLO High Quality Mezzanine Index is designed to track the performance of broadly-syndicated, arbitrage US CLO debt from high-quality mezzanine tranches in the flagship J.P. Morgan CLO Index ("CLOIE"), representing 90% BBB's and 10% BB/B's.
|
Expenses Paid
|
||||
Annualized Net
|
Beginning
|
Ending
|
During Period(1)
|
|
Expense Ratio
|
Account Value
|
Account Value
|
(9/01/2023 to
|
|
(2/29/2024)
|
(9/01/2023)
|
(2/29/2024)
|
2/29/2024)
|
|
Actual(2)
|
0.50%
|
$1,000.00
|
$1,070.00
|
$2.57
|
Hypothetical (5% annual return before expenses)
|
0.50%
|
$1,000.00
|
$1,022.38
|
$2.51
|
(1)
|
Expenses are equal to the Fund's annualized expense ratio for the period multiplied by the average account value over the period, multiplied by 182/366 to reflect its six-month period.
|
(2)
|
Based on the actual NAV returns for the period from September 1, 2023 through February 29, 2024, of 7.00%.
|
OHA Credit Partners VII Ltd.
|
|||||
Series 2012-7A Class D1R3, 8.48%, 2/20/2034
|
2.63
|
%
|
|||
Bain Capital Credit CLO 2022-6 Ltd.
|
|||||
Series 2022-6A Class E, 14.07%, 10/22/2035
|
2.33
|
%
|
|||
Elmwood CLO XII Ltd. Series 2021-5A Class E, 11.93%, 1/20/2035
|
2.26
|
%
|
|||
Elmwood CLO 19 Ltd. Series 2022-6A Class DR, 9.47%, 10/17/2036
|
2.21
|
%
|
|||
Octagon 62 Ltd. Series 2022-1A Class E, 13.07%, 1/20/2036
|
2.08
|
%
|
|||
OHA Credit Funding 8 Ltd. Series 2021-8A Class D, 8.41%, 1/18/2034
|
2.07
|
%
|
|||
Apidos CLO XXXVI Ltd. Series 2021-36A Class E, 11.53%, 7/20/2034
|
2.05
|
%
|
|||
Goldentree Loan Management US CLO 16 Ltd.
|
|||||
Series 2022-16A Class ER, 11.86%, 1/20/2034
|
1.86
|
%
|
|||
Magnetite XXXVII Ltd. Series 2023-37A Class D, 9.43%, 10/20/2036
|
1.85
|
%
|
|||
Barings Clo 2019-IV, 2019-IV Series 2019-4A Class E, 12.97%, 1/15/2033
|
1.61
|
%
|
(1)
|
Fund Holdings are subject to change at any time and are not recommendations to buy or sell any security.
|
(2)
|
Money Market Funds are not included in the Top 10 holdings.
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Collateralized Loan Obligations - 94.12% (a)(b)
|
||||||||
Bermuda - 0.12%
|
||||||||
OHA Credit Funding 13 Ltd.
|
||||||||
Series 2022-13A, Class D, 10.51% (CME Term SOFR 3 Month + 5.19%),
|
||||||||
07/20/2035 (c)
|
$
|
250,000
|
$
|
252,254
|
||||
Cayman Islands - 75.30%
|
||||||||
AGL CLO 10 Ltd.
|
||||||||
Series 2021-10A, Class E, 11.58% (CME Term SOFR 3 Month + 6.26%),
|
||||||||
04/15/2034 (c)
|
1,250,000
|
1,231,328
|
||||||
AGL CLO 17 Ltd.
|
||||||||
Series 2022-17A, Class D, 8.42% (CME Term SOFR 3 Month + 3.10%),
|
||||||||
01/21/2035 (c)
|
1,500,000
|
1,473,165
|
||||||
Aimco CLO 15 Ltd.
|
||||||||
Series 2021-15A, Class E, 11.53% (CME Term SOFR 3 Month + 6.21%),
|
||||||||
10/17/2034 (c)
|
250,000
|
246,303
|
||||||
Aimco CLO 16 Ltd.
|
||||||||
Series 2021-16A, Class E, 11.78% (CME Term SOFR 3 Month + 6.46%),
|
||||||||
01/17/2035 (c)
|
2,000,000
|
1,991,408
|
||||||
Apidos CLO XI Ltd.
|
||||||||
Series 2012-11A, Class DR3, 9.33% (CME Term SOFR 3 Month + 4.01%),
|
||||||||
04/17/2034 (c)
|
3,250,000
|
3,257,449
|
||||||
Apidos CLO XXXVI Ltd
|
||||||||
Series 2021-36A, Class D, 8.48% (CME Term SOFR 3 Month + 3.16%),
|
||||||||
07/20/2034 (c)
|
1,000,000
|
990,963
|
||||||
Apidos CLO XXXVI Ltd.
|
||||||||
Series 2021-36A, Class E, 11.53% (CME Term SOFR 3 Month + 6.21%),
|
||||||||
07/20/2034 (c)
|
4,500,000
|
4,472,856
|
||||||
Bain Capital Credit CLO 2021-3 Ltd.
|
||||||||
Series 2021-3A, Class E, 12.08% (CME Term SOFR 3 Month + 6.76%),
|
||||||||
07/24/2034 (c)
|
250,000
|
240,938
|
||||||
Bain Capital Credit CLO 2021-7 Ltd.
|
||||||||
Series 2021-7A, Class D, 8.83% (CME Term SOFR 3 Month + 3.51%),
|
||||||||
01/22/2035 (c)
|
1,000,000
|
983,291
|
||||||
Ballyrock CLO 15 Ltd.
|
||||||||
Series 2021-1A, Class D, 11.80% (CME Term SOFR 3 Month + 6.48%),
|
||||||||
04/15/2034 (c)
|
3,000,000
|
2,930,520
|
||||||
Barings CLO 2018-IV Ltd.
|
||||||||
Series 2018-4A, Class D, 8.48% (CME Term SOFR 3 Month + 3.16%),
|
||||||||
10/15/2030 (c)
|
1,000,000
|
1,001,185
|
||||||
Barings CLO 2019-IV Ltd.
|
||||||||
Series 2019-4A, Class E, 12.97% (CME Term SOFR 3 Month + 7.65%),
|
||||||||
01/15/2033 (c)
|
3,500,000
|
3,517,231
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Cayman Islands - 75.30% (Continued)
|
||||||||
Barings CLO 2020-IV Ltd.
|
||||||||
Series 2020-4A, Class D2, 11.08% (CME Term SOFR 3 Month + 5.76%),
|
||||||||
01/20/2032 (c)
|
$
|
1,000,000
|
$
|
977,125
|
||||
Barings CLO 2021-I Ltd.
|
||||||||
Series 2021-1A, Class D, 8.49% (CME Term SOFR 3 Month + 3.16%),
|
||||||||
04/25/2034 (c)
|
1,000,000
|
965,387
|
||||||
Benefit Street Partners CLO XIX Ltd.
|
||||||||
Series 2019-19A, Class D, 9.38% (CME Term SOFR 3 Month + 4.06%),
|
||||||||
01/15/2033 (c)
|
1,500,000
|
1,501,989
|
||||||
Benefit Street Partners CLO XXVI Ltd.
|
||||||||
Series 2022-26A, Class D, 9.07% (CME Term SOFR 3 Month + 3.75%),
|
||||||||
07/20/2034 (c)
|
3,250,000
|
3,259,198
|
||||||
Bethpage Park CLO Ltd.
|
||||||||
Series 2021-1A, Class D, 8.53% (CME Term SOFR 3 Month + 3.21%),
|
||||||||
10/15/2036 (c)
|
2,000,000
|
1,958,552
|
||||||
Carlyle US CLO 2020-2 Ltd.
|
||||||||
Series 2020-2A, Class DR, 12.29% (CME Term SOFR 3 Month + 6.96%),
|
||||||||
01/25/2035 (c)
|
2,064,420
|
2,061,266
|
||||||
Carlyle US CLO 2021-4 Ltd.
|
||||||||
Series 2021-4A, Class E, 12.18% (CME Term SOFR 3 Month + 6.86%),
|
||||||||
04/20/2034 (c)
|
1,000,000
|
1,001,370
|
||||||
Carlyle US CLO 2021-5 Ltd.
|
||||||||
Series 2021-5A, Class E, 11.83% (CME Term SOFR 3 Month + 6.51%),
|
||||||||
07/20/2034 (c)
|
1,500,000
|
1,485,942
|
||||||
Carlyle US CLO 2022-3 Ltd.
|
||||||||
Series 2022-3A, Class D1R, 9.17% (CME Term SOFR 3 Month + 3.85%),
|
||||||||
04/20/2037 (c)
|
3,000,000
|
3,005,928
|
||||||
Carlyle US CLO 2022-5 Ltd.
|
||||||||
Series 2022-5A, Class E, 13.77% (CME Term SOFR 3 Month + 8.46%),
|
||||||||
10/15/2035 (c)
|
2,400,000
|
2,433,132
|
||||||
Carlyle US CLO 2023-1 Ltd.
|
||||||||
Series 2023-1A, Class E, 13.78% (CME Term SOFR 3 Month + 8.46%),
|
||||||||
07/20/2035 (c)
|
1,000,000
|
1,018,745
|
||||||
Carlyle US CLO 2023-4 Ltd.
|
||||||||
Series 2023-4A, Class D, 9.47% (CME Term SOFR 3 Month + 4.10%),
|
||||||||
10/25/2036 (c)
|
3,000,000
|
3,006,132
|
||||||
Cayuga Park CLO Ltd.
|
||||||||
Series 2020-1A, Class DR, 8.68% (CME Term SOFR 3 Month + 3.36%),
|
||||||||
07/17/2034 (c)
|
3,000,000
|
2,991,162
|
||||||
CIFC Funding 2019-I Ltd.
|
||||||||
Series 2019-1A, Class DR, 8.68% (CME Term SOFR 3 Month + 3.36%),
|
||||||||
04/20/2032 (c)
|
1,750,000
|
1,753,736
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Cayman Islands - 75.30% (Continued)
|
||||||||
CIFC Funding 2019-III Ltd.
|
||||||||
Series 2019-3A, Class CR, 8.63% (CME Term SOFR 3 Month + 3.31%),
|
||||||||
10/16/2034 (c)
|
$
|
2,480,000
|
$
|
2,482,108
|
||||
CIFC Funding 2020-I Ltd.
|
||||||||
Series 2020-1A, Class ER, 11.83% (CME Term SOFR 3 Month + 6.51%),
|
||||||||
07/15/2036 (c)
|
2,000,000
|
2,005,572
|
||||||
CIFC Funding 2020-IV Ltd.
|
||||||||
Series 2020-4A, Class D, 8.98% (CME Term SOFR 3 Month + 3.66%),
|
||||||||
01/15/2034 (c)
|
500,000
|
500,958
|
||||||
CIFC Funding 2021-II Ltd.
|
||||||||
Series 2021-2A, Class E, 11.78% (CME Term SOFR 3 Month + 6.46%),
|
||||||||
04/15/2034 (c)
|
1,500,000
|
1,496,682
|
||||||
CIFC Funding 2021-III Ltd.
|
||||||||
Series 2021-3A, Class D, 8.58% (CME Term SOFR 3 Month + 3.26%),
|
||||||||
07/15/2036 (c)
|
3,000,000
|
2,951,232
|
||||||
CIFC Funding 2021-VI Ltd.
|
||||||||
Series 2021-6A, Class D, 8.68% (CME Term SOFR 3 Month + 3.36%),
|
||||||||
10/15/2034 (c)
|
2,000,000
|
1,984,830
|
||||||
Clover CLO 2018-1 Ltd.
|
||||||||
Series 2018-1A, Class DR, 8.68% (CME Term SOFR 3 Month + 3.36%),
|
||||||||
04/20/2032 (c)
|
2,000,000
|
1,998,218
|
||||||
Dryden 87 CLO Ltd.
|
||||||||
Series 2021-87A, Class D, 8.53% (CME Term SOFR 3 Month + 3.21%),
|
||||||||
05/20/2034 (c)
|
1,000,000
|
970,158
|
||||||
Elmwood CLO 14 Ltd.
|
||||||||
Series 2022-1A, Class E, 11.67% (CME Term SOFR 3 Month + 6.35%),
|
||||||||
04/20/2035 (c)
|
1,000,000
|
989,955
|
||||||
Elmwood CLO 16 Ltd.
|
||||||||
Series 2022-3A, Class D, 8.92% (CME Term SOFR 3 Month + 3.60%),
|
||||||||
04/20/2034 (c)
|
1,000,000
|
1,001,436
|
||||||
Series 2022-3A, Class DR, 9.12% (CME Term SOFR 3 Month + 3.80%),
|
||||||||
04/20/2037 (c)
|
1,000,000
|
1,004,288
|
||||||
Elmwood CLO 18 Ltd.
|
||||||||
Series 2022-5A, Class D, 9.57% (CME Term SOFR 3 Month + 4.25%),
|
||||||||
07/17/2033 (c)
|
3,000,000
|
3,020,817
|
||||||
Elmwood CLO 19 Ltd.
|
||||||||
Series 2022-6A, Class DR, 9.47% (CME Term SOFR 3 Month + 4.15%),
|
||||||||
10/17/2036 (c)
|
4,800,000
|
4,814,375
|
||||||
Elmwood CLO VII Ltd.
|
||||||||
Series 2020-4A, Class DR, 9.47% (CME Term SOFR 3 Month + 4.15%),
|
||||||||
01/17/2034 (c)
|
3,490,000
|
3,495,371
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Cayman Islands - 75.30% (Continued)
|
||||||||
Elmwood CLO XII Ltd.
|
||||||||
Series 2021-5A, Class E, 11.93% (CME Term SOFR 3 Month + 6.61%),
|
||||||||
01/20/2035 (c)
|
$
|
4,900,000
|
$
|
4,919,677
|
||||
Goldentree Loan Management US CLO 1 Ltd.
|
||||||||
Series 2017-1A, Class ER2, 12.08% (CME Term SOFR 3 Month + 6.76%),
|
||||||||
04/20/2034 (c)
|
2,000,000
|
2,005,408
|
||||||
Goldentree Loan Management US CLO 3 Ltd.
|
||||||||
Series 2018-3A, Class D, 8.43% (CME Term SOFR 3 Month + 3.11%),
|
||||||||
04/20/2030 (c)
|
1,500,000
|
1,501,979
|
||||||
KKR CLO 41 Ltd.
|
||||||||
Series 2022-41A, Class D, 8.57% (CME Term SOFR 3 Month + 3.25%),
|
||||||||
04/15/2035 (c)
|
1,000,000
|
980,294
|
||||||
Series 2022-41A, Class E, 12.02% (CME Term SOFR 3 Month + 6.70%),
|
||||||||
04/15/2035 (c)
|
250,000
|
239,149
|
||||||
Madison Park Funding LXII Ltd.
|
||||||||
Series 2022-62A, Class DR, 11.17% (CME Term SOFR 3 Month + 5.85%),
|
||||||||
07/17/2036 (c)
|
1,000,000
|
1,026,253
|
||||||
Madison Park Funding XLVI Ltd.
|
||||||||
Series 2020-46A, Class DR, 8.73% (CME Term SOFR 3 Month + 3.41%),
|
||||||||
10/15/2034 (c)
|
2,000,000
|
2,002,102
|
||||||
Madison Park Funding XLVII Ltd.
|
||||||||
Series 2020-47A, Class ER, 11.97% (CME Term SOFR 3 Month + 6.65%),
|
||||||||
04/19/2037 (c)
|
2,000,000
|
2,009,848
|
||||||
Madison Park Funding XLVIII Ltd.
|
||||||||
Series 2021-48A, Class E, 11.82% (CME Term SOFR 3 Month + 6.51%),
|
||||||||
04/19/2033 (c)
|
1,500,000
|
1,507,323
|
||||||
Madison Park Funding XXXIV Ltd.
|
||||||||
Series 2019-34A, Class DR, 8.94% (CME Term SOFR 3 Month + 3.61%),
|
||||||||
04/25/2032 (c)
|
1,500,000
|
1,503,906
|
||||||
Magnetite CLO XXVI Ltd.
|
||||||||
Series 2020-26A, Class DR, 8.44% (CME Term SOFR 3 Month + 3.11%),
|
||||||||
07/25/2034 (c)
|
2,500,000
|
2,484,775
|
||||||
Magnetite CLO XXXV Ltd.
|
||||||||
Series 2022-35A, Class DR, 9.33% (CME Term SOFR 3 Month + 4.00%),
|
||||||||
10/25/2036 (c)
|
2,000,000
|
2,002,408
|
||||||
Magnetite CLO XXXVII Ltd.
|
||||||||
Series 2023-37A, Class D, 9.43% (CME Term SOFR 3 Month + 4.00%),
|
||||||||
10/20/2036 (c)
|
4,000,000
|
4,024,704
|
||||||
Myers Park CLO Ltd.
|
||||||||
Series 2018-1A, Class D, 8.63% (CME Term SOFR 3 Month + 3.31%),
|
||||||||
10/20/2030 (c)
|
1,000,000
|
1,001,976
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Cayman Islands - 75.30% (Continued)
|
||||||||
Neuberger Berman Loan Advisers CLO 32 Ltd.
|
||||||||
Series 2019-32A, Class ER, 11.67% (CME Term SOFR 3 Month + 6.36%),
|
||||||||
01/20/2032 (c)
|
$
|
850,000
|
$
|
849,291
|
||||
Neuberger Berman Loan Advisers CLO 36 Ltd.
|
||||||||
Series 2020-36A, Class ER2, 12.62% (CME Term SOFR 3 Month + 7.30%),
|
||||||||
04/20/2033 (c)
|
2,650,000
|
2,664,676
|
||||||
Series 2020-36A, Class ER, 12.33% (CME Term SOFR 3 Month + 7.01%),
|
||||||||
04/20/2033 (c)
|
2,650,000
|
2,656,625
|
||||||
Neuberger Berman Loan Advisers CLO 37 Ltd.
|
||||||||
Series 2020-37A, Class ER, 11.33% (CME Term SOFR 3 Month + 6.01%),
|
||||||||
07/20/2031 (c)
|
2,250,000
|
2,240,910
|
||||||
Octagon 62 Ltd.
|
||||||||
Series 2022-1A, Class E, 13.07% (CME Term SOFR 3 Month + 7.75%),
|
||||||||
01/20/2036 (c)
|
4,500,000
|
4,533,407
|
||||||
OHA Credit Funding 8 Ltd.
|
||||||||
Series 2021-8A, Class D, 8.41% (CME Term SOFR 3 Month + 3.11%),
|
||||||||
01/18/2034 (c)
|
4,500,000
|
4,506,548
|
||||||
Series 2021-8A, Class E, 11.56% (CME Term SOFR 3 Month + 6.26%),
|
||||||||
01/18/2034 (c)
|
2,000,000
|
2,007,932
|
||||||
OHA Credit Funding 9 Ltd.
|
||||||||
Series 2021-9A, Class E, 11.82% (CME Term SOFR 3 Month + 6.51%),
|
||||||||
07/19/2035 (c)
|
1,000,000
|
1,004,785
|
||||||
OHA Credit Funding VII Ltd.
|
||||||||
Series 2012-7A, Class D1R3, 8.48% (CME Term SOFR 3 Month + 3.16%),
|
||||||||
02/20/2034 (c)
|
5,720,000
|
5,727,538
|
||||||
OHA Credit Funding XIII Ltd.
|
||||||||
Series 2016-13A, Class DR, 8.78% (CME Term SOFR 3 Month + 3.46%),
|
||||||||
10/25/2034 (c)
|
1,125,000
|
1,126,126
|
||||||
Series 2016-13A, Class ER, 11.83% (CME Term SOFR 3 Month + 6.51%),
|
||||||||
10/25/2034 (c)
|
1,000,000
|
1,004,833
|
||||||
OHA Loan Funding 2015-1 Ltd.
|
||||||||
Series 2015-1A, Class ER3, 12.22% (CME Term SOFR 3 Month + 6.91%),
|
||||||||
01/19/2037 (c)
|
540,000
|
542,365
|
||||||
Palmer Square CLO 2021-1 Ltd.
|
||||||||
Series 2021-1A, Class C, 8.28% (CME Term SOFR 3 Month + 2.96%),
|
||||||||
04/20/2034 (c)
|
1,000,000
|
977,449
|
||||||
Palmer Square CLO 2021-3 Ltd.
|
||||||||
Series 2021-3A, Class E, 11.73% (CME Term SOFR 3 Month + 6.41%),
|
||||||||
01/15/2035 (c)
|
2,400,000
|
2,411,558
|
||||||
Palmer Square CLO 2021-4 Ltd.
|
||||||||
Series 2021-4A, Class D, 8.53% (CME Term SOFR 3 Month + 3.21%),
|
||||||||
10/15/2034 (c)
|
2,000,000
|
1,969,580
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Cayman Islands - 75.30% (Continued)
|
||||||||
Palmer Square CLO 2022-1 Ltd.
|
||||||||
Series 2022-1A, Class E, 11.67% (CME Term SOFR 3 Month + 6.35%),
|
||||||||
04/20/2035 (c)
|
$
|
2,000,000
|
$
|
2,001,846
|
||||
Palmer Square CLO 2023-4 Ltd.
|
||||||||
Series 2023-4A, Class D, 9.66% (CME Term SOFR 3 Month + 4.25%),
|
||||||||
10/20/2033 (c)
|
2,500,000
|
2,513,608
|
||||||
Palmer Square Loan Funding 2022-4 Ltd.
|
||||||||
Series 2022-4A, Class C, 9.82% (CME Term SOFR 3 Month + 4.50%),
|
||||||||
07/24/2031 (c)
|
3,000,000
|
3,004,662
|
||||||
Rad CLO 15 Ltd.
|
||||||||
Series 2021-15A, Class D, 8.63% (CME Term SOFR 3 Month + 3.31%),
|
||||||||
01/20/2034 (c)
|
1,000,000
|
990,372
|
||||||
Regatta XX Funding Ltd.
|
||||||||
Series 2021-2A, Class E, 11.83% (CME Term SOFR 3 Month + 6.51%),
|
||||||||
10/15/2034 (c)
|
2,250,000
|
2,233,899
|
||||||
RR 14 Ltd.
|
||||||||
Series 2021-14A, Class C, 8.48% (CME Term SOFR 3 Month + 3.16%),
|
||||||||
04/15/2036 (c)
|
2,000,000
|
1,933,424
|
||||||
RR 15 Ltd.
|
||||||||
Series 2021-15A, Class C, 8.48% (CME Term SOFR 3 Month + 3.16%),
|
||||||||
04/15/2036 (c)
|
1,000,000
|
967,242
|
||||||
Sixth Street CLO XVII Ltd.
|
||||||||
Series 2021-17A, Class E, 11.78% (CME Term SOFR 3 Month + 6.46%),
|
||||||||
01/20/2034 (c)
|
1,500,000
|
1,504,227
|
||||||
Sixth Street CLO XVIII Ltd.
|
||||||||
Series 2021-18A, Class E, 12.08% (CME Term SOFR 3 Month + 6.76%),
|
||||||||
04/20/2034 (c)
|
1,000,000
|
998,353
|
||||||
Symphony Static CLO I Ltd.
|
||||||||
Series 2021-1A, Class E1, 10.94% (CME Term SOFR 3 Month + 5.61%),
|
||||||||
10/25/2029 (c)
|
2,500,000
|
2,475,155
|
||||||
TICP CLO V 2016-1 Ltd.
|
||||||||
Series 2016-5A, Class DR, 8.73% (CME Term SOFR 3 Month + 3.41%),
|
||||||||
07/17/2031 (c)
|
1,000,000
|
1,001,455
|
||||||
Trestles CLO VI Ltd.
|
||||||||
Series 2023-6A, Class E, 11.86% (CME Term SOFR 3 Month + 6.50%),
|
||||||||
01/25/2036 (c)
|
2,500,000
|
2,473,985
|
||||||
Wellman Park CLO Ltd.
|
||||||||
Series 2021-1A, Class E, 11.83% (CME Term SOFR 3 Month + 6.51%),
|
||||||||
07/15/2034 (c)
|
2,000,000
|
2,009,804
|
||||||
164,013,758
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Jersey - 18.01%
|
||||||||
AGL CLO 21 Ltd.
|
||||||||
Series 2022-21A, Class E, 13.94% (CME Term SOFR 3 Month + 8.62%),
|
||||||||
07/27/2035 (c)
|
$
|
1,750,000
|
$
|
1,771,224
|
||||
AGL CLO 23 Ltd.
|
||||||||
Series 2022-23A, Class E, 14.07% (CME Term SOFR 3 Month + 8.75%),
|
||||||||
01/20/2036 (c)
|
3,000,000
|
3,052,548
|
||||||
Apidos CLO XL Ltd.
|
||||||||
Series 2022-40A, Class E, 13.00% (CME Term SOFR 3 Month + 7.69%),
|
||||||||
07/15/2035 (c)
|
1,000,000
|
1,006,079
|
||||||
Apidos CLO XLIII Ltd.
|
||||||||
Series 2023-43A, Class E, 13.08% (CME Term SOFR 3 Month + 7.75%),
|
||||||||
04/25/2035 (c)
|
3,000,000
|
3,034,326
|
||||||
Apidos CLO XXXIX Ltd.
|
||||||||
Series 2022-39A, Class D, 8.67% (CME Term SOFR 3 Month + 3.35%),
|
||||||||
04/21/2035 (c)
|
1,500,000
|
1,491,341
|
||||||
Ares Loan Funding IV Ltd.
|
||||||||
Series 2023-ALF4A, Class D, 10.03% (CME Term SOFR 3 Month + 4.68%),
|
||||||||
10/15/2036 (c)
|
3,000,000
|
3,024,582
|
||||||
Bain Capital Credit CLO 2022-3 Ltd.
|
||||||||
Series 2022-3A, Class D, 9.02% (CME Term SOFR 3 Month + 3.70%),
|
||||||||
07/17/2035 (c)
|
500,000
|
491,073
|
||||||
Bain Capital Credit CLO 2022-6 Ltd.
|
||||||||
Series 2022-6A, Class E, 14.07% (CME Term SOFR 3 Month + 8.75%),
|
||||||||
10/22/2035 (c)
|
5,000,000
|
5,075,144
|
||||||
Bain Capital Credit CLO 2023-1 Ltd.
|
||||||||
Series 2023-1A, Class D, 10.21% (CME Term SOFR 3 Month + 4.90%),
|
||||||||
04/16/2036 (c)
|
2,000,000
|
2,031,946
|
||||||
Benefit Street Partners CLO XXIX Ltd.
|
||||||||
Series 2022-29A, Class E, 13.14% (CME Term SOFR 3 Month + 7.81%),
|
||||||||
01/25/2036 (c)
|
2,000,000
|
2,018,010
|
||||||
Dryden 108 CLO Ltd.
|
||||||||
Series 2022-108A, Class D, 9.55% (CME Term SOFR 3 Month + 4.25%),
|
||||||||
07/18/2035 (c)
|
1,000,000
|
1,004,663
|
||||||
Dryden 112 CLO Ltd.
|
||||||||
Series 2022-112A, Class DR, 9.81% (CME Term SOFR 3 Month + 4.50%),
|
||||||||
11/15/2036 (c)
|
1,000,000
|
1,002,847
|
||||||
Elmwood CLO 15 Ltd.
|
||||||||
Series 2022-2A, Class D, 8.99% (CME Term SOFR 3 Month + 3.67%),
|
||||||||
04/22/2035 (c)
|
250,000
|
250,293
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Jersey - 18.01% (Continued)
|
||||||||
Goldentree Loan Management US CLO 15 Ltd.
|
||||||||
Series 2022-15A, Class ER, 11.82% (CME Term SOFR 3 Month + 6.50%),
|
||||||||
10/20/2036 (c)
|
$
|
2,500,000
|
$
|
2,482,720
|
||||
Goldentree Loan Management US CLO 16 Ltd.
|
||||||||
Series 2022-16A, Class ER, 11.86% (CME Term SOFR 3 Month + 6.50%),
|
||||||||
01/20/2034 (c)
|
4,000,000
|
4,050,348
|
||||||
Neuberger Berman Loan Advisers CLO 49 Ltd.
|
||||||||
Series 2022-49A, Class E, 12.33% (CME Term SOFR 3 Month + 7.00%),
|
||||||||
07/25/2034 (c)
|
1,000,000
|
1,002,676
|
||||||
Neuberger Berman Loan Advisers CLO 50 Ltd.
|
||||||||
Series 2022-50A, Class E, 13.06% (CME Term SOFR 3 Month + 7.74%),
|
||||||||
07/23/2036 (c)
|
2,000,000
|
2,015,190
|
||||||
Palmer Square CLO 2020-3 Ltd.
|
||||||||
Series 2020-3A, Class DR2, 12.56% (CME Term SOFR 3 Month + 7.25%),
|
||||||||
11/15/2036 (c)
|
925,000
|
929,508
|
||||||
Regatta XXVII Funding Ltd.
|
||||||||
Series 2024-1A, Class E, 11.80% (CME Term SOFR 3 Month + 6.50%),
|
||||||||
04/26/2037 (c)
|
2,000,000
|
2,010,346
|
||||||
Valley Stream Park CLO Ltd.
|
||||||||
Series 2022-1A, Class DR, 9.47% (CME Term SOFR 3 Month + 4.15%),
|
||||||||
10/20/2034 (c)
|
1,500,000
|
1,511,042
|
||||||
39,255,906
|
||||||||
United States - 0.69%
|
||||||||
Clover CLO 2019-2 Ltd.
|
||||||||
Series 2019-2A, Class ER, 11.99% (CME Term SOFR 3 Month + 6.66%),
|
||||||||
10/25/2033 (c)
|
1,500,000
|
1,507,370
|
||||||
Total Collateralized Loan Obligations
|
||||||||
(Cost $201,567,130)
|
205,029,288
|
Shares
|
Value
|
|||||||
Money Market Funds - 9.82%
|
||||||||
First American Treasury Obligations Fund, Class X, 5.23% (d)
|
21,390,400
|
$
|
21,390,400
|
|||||
Total Money Market Funds
|
||||||||
(Cost $21,390,400)
|
21,390,400
|
|||||||
Total Investments - 103.94%
|
||||||||
(Cost $222,957,530)
|
226,419,688
|
|||||||
Liabilities in Excess of Other Assets - (3.94)%
|
(8,586,684
|
)
|
||||||
Total Net Assets - 100.00%
|
$
|
217,833,004
|
(a)
|
Variable rate securities. The coupon is based on a reference index and spread. The rate reported is the rate in effect as of February 29, 2024.
|
(b)
|
To the extent the Fund invests more heavily in particular sectors or asset classes, its performance will be especially sensitive to developments that significantly affect those sectors or asset classes.
|
(c)
|
Securities exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. The value of these securities total $205,029,288, which represents 94.12% of total net assets.
|
(d)
|
The rate quoted is the annualized seven-day effective yield as of February 29, 2024.
|
ASSETS:
|
||||
Investments, at value (Cost $222,957,530)
|
$
|
226,419,688
|
||
Interest receivable
|
2,688,376
|
|||
Total assets
|
229,108,064
|
|||
LIABILITIES:
|
||||
Payable for investments purchased
|
11,201,689
|
|||
Payable to Adviser
|
73,371
|
|||
Total liabilities
|
11,275,060
|
|||
NET ASSETS
|
$
|
217,833,004
|
||
NET ASSETS CONSIST OF:
|
||||
Paid-in capital
|
$
|
212,593,948
|
||
Total distributable earnings
|
5,239,056
|
|||
Total net assets
|
$
|
217,833,004
|
||
Net assets
|
$
|
217,833,004
|
||
Shares issued and outstanding(1)
|
8,200,000
|
|||
Net asset value
|
$
|
26.57
|
(1)
|
Unlimited shares authorized without par value.
|
INVESTMENT INCOME:
|
||||
Interest income
|
$
|
8,304,471
|
||
Total investment income
|
8,304,471
|
|||
EXPENSES:
|
||||
Investment advisory fees (See Note 3)
|
380,051
|
|||
Total expenses
|
380,051
|
|||
NET INVESTMENT INCOME
|
7,924,420
|
|||
REALIZED AND CHANGE IN UNREALIZED
|
||||
GAIN (LOSS) ON INVESTMENTS:
|
||||
Net realized gain (loss) on:
|
||||
Investments
|
58,932
|
|||
Net realized gain
|
58,932
|
|||
Net change in unrealized appreciation on:
|
||||
Investments
|
2,141,638
|
|||
Net change in unrealized appreciation
|
2,141,638
|
|||
Net realized and change in unrealized gain on investments
|
2,200,570
|
|||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$
|
10,124,990
|
For the
|
For the
|
|||||||
Six Months Ended
|
Period Inception
|
|||||||
February 29, 2024
|
through
|
|||||||
(Unaudited)
|
August 31, 2023(1)
|
|||||||
OPERATIONS:
|
||||||||
Net investment income
|
$
|
7,924,420
|
$
|
4,321,161
|
||||
Net realized gain (loss) on investments
|
58,932
|
(576
|
)
|
|||||
Change in net unrealized appreciation on investments
|
2,141,638
|
1,320,520
|
||||||
Net increase in net assets resulting from operations
|
10,124,990
|
5,641,105
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
From distributable earnings (See Note 4)
|
(6,746,199
|
)
|
(3,780,840
|
)
|
||||
Total distributions to shareholders
|
(6,746,199
|
)
|
(3,780,840
|
)
|
||||
CAPITAL SHARE TRANSACTIONS:
|
||||||||
Proceeds from shares sold
|
130,769,420
|
80,977,540
|
||||||
Transaction fees
|
523,078
|
323,910
|
||||||
Net increase in net assets resulting from capital share transactions(2)
|
131,292,498
|
81,301,450
|
||||||
NET INCREASE IN NET ASSETS
|
134,671,289
|
83,161,715
|
||||||
NET ASSETS:
|
||||||||
Beginning of period
|
83,161,715
|
-
|
||||||
End of period
|
$
|
217,833,004
|
$
|
83,161,715
|
(1)
|
Inception date of the Fund was January 23, 2023.
|
(2)
|
A summary of capital share transactions is as follows:
|
For the Six Months Ended
|
For the Period Inception through
|
|||||||||||||||
February 29, 2024 (Unaudited)
|
August 31, 2023
|
|||||||||||||||
SHARE TRANSACTIONS:
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
5,000,000
|
$
|
131,292,498
|
3,200,000
|
$
|
81,301,450
|
||||||||||
Net increase in shares outstanding
|
5,000,000
|
$
|
131,292,498
|
3,200,000
|
$
|
81,301,450
|
For the
|
For the
|
|||||||
Six Months Ended
|
Period Inception
|
|||||||
February 29, 2024
|
through
|
|||||||
(Unaudited)
|
August 31, 2023(1)
|
|||||||
PER SHARE DATA:
|
||||||||
Net asset value, beginning of period
|
$
|
25.99
|
$
|
25.00
|
||||
INVESTMENT OPERATIONS:
|
||||||||
Net investment income(2)
|
1.36
|
1.66
|
||||||
Net realized and unrealized gain on investments
|
0.32
|
0.56
|
(3)
|
|||||
Total from investment operations
|
1.68
|
2.22
|
||||||
LESS DISTRIBUTIONS:
|
||||||||
From net investment income
|
(1.19
|
)
|
(1.35
|
)
|
||||
Total distributions paid
|
(1.19
|
)
|
(1.35
|
)
|
||||
CAPITAL SHARE TRANSACTIONS:
|
||||||||
Transaction fees (see Note 5)
|
0.09
|
0.12
|
||||||
Total transaction fees
|
0.09
|
0.12
|
||||||
Net Asset Value, end of period
|
$
|
26.57
|
$
|
25.99
|
||||
Total return, at NAV(4)(5)
|
7.00
|
%
|
9.66
|
%
|
||||
Total return, at Market(4)(5)
|
6.95
|
%
|
10.14
|
%
|
||||
SUPPLEMENTAL DATA AND RATIOS:
|
||||||||
Net assets, end of period (in thousands)
|
$
|
217,833
|
$
|
83,162
|
||||
Ratio of expenses to average net assets(6)
|
0.50
|
%
|
0.50
|
%
|
||||
Ratio of net investment income to average net assets(6)
|
10.43
|
%
|
10.87
|
%
|
||||
Portfolio turnover rate(5)(7)(8)
|
9
|
%
|
0
|
%
|
(1)
|
Inception date of the Fund was January 23, 2023.
|
(2)
|
Calculated based on average shares outstanding during the period.
|
(3)
|
Due to timing of capital share transactions, the per share amount of net realized and unrealized gain (loss) on investments varies from the amounts shown in the Statement of Operations.
|
(4)
|
Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of distributions.
|
(5)
|
Not annualized for periods less than one year.
|
(6)
|
Annualized for periods less that one year.
|
(7)
|
Excludes in-kind transactions associated with creations of the Fund.
|
(8)
|
The numerator for the portfolio turnover rate includes the lesser of purchases or sales (excluding short-term investments and securities sold short). The denominator includes the average fair value of long positions throughout the period.
|
Level 1 -
|
Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
|
Level 2 -
|
Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
|
Level 3 -
|
Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund's own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
|
Investments at Fair Value
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Collateralized Loan Obligations
|
$
|
-
|
$
|
205,029,288
|
$
|
-
|
$
|
205,029,288
|
||||||||
Money Market Funds
|
21,390,400
|
-
|
-
|
21,390,400
|
||||||||||||
Total
|
$
|
21,390,400
|
$
|
205,029,288
|
$
|
-
|
$
|
226,419,688
|
Tax Cost of Investments
|
$
|
80,790,476
|
||
Gross unrealized appreciation
|
$
|
1,320,520
|
||
Gross unrealized depreciation
|
-
|
|||
Net unrealized appreciation
|
1,320,520
|
|||
Undistributed ordinary income
|
540,321
|
|||
Undistributed long-term capital gains
|
-
|
|||
Distributable earnings
|
540,321
|
|||
Other accumulated gains (loss)
|
(576
|
)
|
||
Total distributable earnings
|
$
|
1,860,265
|
Ordinary Income
|
Total Distributions Paid
|
||
2024
|
$6,746,199
|
$6,746,199
|
|
2023
|
$3,780,840
|
$3,780,840
|
Purchases
|
Sales
|
Creations In-Kind
|
Redemptions In-Kind
|
|||||||||||||
U.S. Government
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
||||||||
Other
|
$
|
137,220,980
|
$
|
12,563,474
|
$
|
-
|
$
|
-
|
•
|
Information we receive about you on applications or other forms;
|
|
•
|
Information you give us orally; and/or
|
|
•
|
Information about your transactions with us or others
|
(b)
|
Not applicable.
|
(a)
|
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
|
(b)
|
Not applicable.
|
(a)
|
The Registrant's President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant's service provider.
|
(b)
|
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|
(a)
|
(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable.
|
(b)
|
Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.
|