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1
Schedule of Investments (Item 7)
25
Statement of Assets and Liabilities (Item 7)
26
Statement of Operations (Item 7)
27
Statements of Changes in Net Assets (Item 7)
28
Financial Highlights (Item 7)
30
Notes to Financial Statements (Item 7)
45
Changes in and Disagreements with Accountants (Item 8)
45
Proxy Disclosures (Item 9)
45
Remuneration Paid to Directors, Officers, and Others (Item 10)
45
Statement Regarding Basis for Approval of Investment
Advisory Contract (Item 11)
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June 30, 2024
Interest
Maturity Principal
Fair
Investments
Rate
Date
Amount
Value
LONG-TERM INVESTMENTS 112.13%
ASSET-BACKED SECURITIES 18.42%
Automobiles 6.00%
Bank of America Auto Trust Series
2023-1A Class A3
†
5.53%
2/15/2028 $1,640,000 $
1,644,121
BofA Auto Trust Series 2024-1A Class A3
†
5.35% 11/15/2028 1,225,000
1,229,477
CarMax Auto Owner Trust Series 2023-1 Class B 4.98%
1/16/2029 2,130,000
2,111,999
Carmax Select Receivables Trust Series 2024-A
Class A3
5.40% 11/15/2028 1,215,000
1,215,903
Carvana Auto Receivables Trust Series NP1
2020-N1A Class E
†
5.20%
7/15/2027 1,272,335
1,251,025
Chase Auto Owner Trust Series 2024-1A Class A3
†
5.13%
5/25/2029 2,675,000
2,675,094
Citizens Auto Receivables Trust Series 2023-2
Class A3
†
5.83%
2/15/2028 3,575,000
3,598,874
Citizens Auto Receivables Trust Series 2024-2
Class A4
†
5.26%
4/15/2031 1,675,000
1,680,337
Exeter Automobile Receivables Trust Series
2020-2A Class E
†
7.19%
9/15/2027 2,380,000
2,394,458
Exeter Automobile Receivables Trust Series
2023-3A Class D
6.68%
4/16/2029 870,000
883,101
Flagship Credit Auto Trust Series 2022-3 Class A3
†
4.55%
4/15/2027 1,375,421
1,368,490
Ford Credit Auto Lease Trust Series 2023-A
Class A3
4.94%
3/15/2026 2,439,563
2,433,743
GLS Auto Receivables Issuer Trust Series 2024-2A
Class D
†
6.19%
2/15/2030 890,000
898,589
GLS Auto Select Receivables Trust Series 2024-2A
Class A2
†
5.58%
6/17/2030 1,745,000
1,746,269
GM Financial Automobile Leasing Trust Series
2023-1 Class B
5.51%
1/20/2027 1,300,000
1,298,773
Santander Consumer Auto Receivables Trust Series
2021-AA Class E
†
3.28%
3/15/2027 1,386,000
1,324,895
Santander Drive Auto Receivables Trust Series
2020-3 Class D
1.64% 11/16/2026 555,238
550,712
Santander Drive Auto Receivables Trust Series
2022-7 Class C
6.69%
3/17/2031 2,470,000
2,516,861
Santander Drive Auto Receivables Trust Series
2024-1 Class A3
5.25%
4/17/2028 1,755,000
1,748,359
Santander Drive Auto Receivables Trust Series
2024-2 Class D
6.28%
8/15/2031 1,655,000
1,680,773
SBNA Auto Receivables Trust Series 2024-A
Class A3
†
5.32% 12/15/2028 1,980,000
1,975,746
2
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June 30, 2024
Interest
Maturity Principal
Fair
Investments
Rate
Date
Amount
Value
Automobiles (continued)
Westlake Automobile Receivables Trust Series
2020-3A Class E
†
3.34%
6/15/2026 $1,450,000 $
1,441,177
Westlake Automobile Receivables Trust Series
2023-1A Class C
†
5.74%
8/15/2028 885,000
884,448
Total
38,553,224
Credit Card 2.55%
American Express Credit Account Master Trust
Series 2024-2 Class A
5.24%
4/15/2031 1,380,000
1,407,865
Capital One Multi-Asset Execution Trust Series
2022-A1 Class A1
2.80%
3/15/2027 9,540,000
9,361,626
First National Master Note Trust Series 2024-1
Class A
5.34%
5/15/2030 2,530,000
2,542,513
Mercury Financial Credit Card Master Trust Series
2024-2A Class A
†
6.56%
7/20/2029 1,150,000
1,154,993
World Financial Network Credit Card Master Trust
Series 2024-A Class A
5.47%
2/17/2031 1,860,000
1,873,065
Total
16,340,062
Other 9.87%
Affirm Asset Securitization Trust Series 2023-A
Class 1A
†
6.61%
1/18/2028 1,000,000
1,003,881
Affirm Asset Securitization Trust Series 2023-B
Class A
†
6.82%
9/15/2028 2,510,000
2,541,218
Affirm Asset Securitization Trust Series 2024-A
Class 1A
†
5.61%
2/15/2029 1,130,000
1,129,133
Affirm Asset Securitization Trust Series 2024-A
Class A
†
5.61%
2/15/2029 485,000
483,750
Arbor Realty Commercial Real Estate Notes Ltd.
Series 2021-FL4 Class A
†
6.793%
(1 mo. USD Term SOFR + 1.46%)
#
11/15/2036 1,173,500
1,172,584
Avant Loans Funding Trust Series 2022-REV1
Class A
†
6.54%
9/15/2031 1,359,529
1,359,002
Bain Capital Credit CLO Ltd. Series 2023-4A
Class C
†
8.225%
(3 mo. USD Term SOFR + 2.90%)
#
10/21/2036 710,000
721,092
Bain Capital Credit CLO Ltd. Series 2023-4A
Class D
†
10.325%
(3 mo. USD Term SOFR + 5.00%)
#
10/21/2036 1,330,000
1,379,873
Ballyrock CLO 22 Ltd. Series 2024-22A
Class A1A
†
6.863%
(3 mo. USD Term SOFR + 1.54%)
#
4/15/2037 2,080,000
2,089,169
Ballyrock CLO 23 Ltd. Series 2023-23A Class A1
†
7.304%
(3 mo. USD Term SOFR + 1.98%)
#
4/25/2036 1,950,000
1,968,483
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June 30, 2024
Interest
Maturity Principal
Fair
Investments
Rate
Date
Amount
Value
Other (continued)
Ballyrock CLO 25 Ltd. Series 2023-25A Class A2
†
7.774%
(3 mo. USD Term SOFR + 2.45%)
#
1/25/2036 $1,270,000 $
1,271,032
Barings CLO Ltd. Series 2019-3A Class A1R
†
6.656%
(3 mo. USD Term SOFR + 1.33%)
#
4/20/2031 1,000,000
1,000,592
Benefit Street Partners CLO V-B Ltd. Series
2018-5BA Class A1R
†
6.862%
(3 mo. USD Term SOFR + 1.53%)
#
7/20/2037 2,780,000
2,779,837
BlueMountain CLO XXXI Ltd. Series 2021-31A
Class A1
†
6.738%
(3 mo. USD Term SOFR + 1.41%)
#
4/19/2034 1,370,000
1,372,658
BSPRT Issuer Ltd. Series 2022-FL8 Class A
†
6.833%
(30 day USD SOFR Average + 1.50%)
#
2/15/2037 576,346
574,905
(a)
Carlyle Global Market Strategies CLO Ltd. Series
2012-3A Class A1A2
†
6.77%
(3 mo. USD Term SOFR + 1.44%)
#
1/14/2032 706,453
706,896
Carlyle U.S. CLO Ltd. Series 2021-1A Class A1
†
6.73%
(3 mo. USD Term SOFR + 1.40%)
#
4/15/2034 2,860,000
2,866,568
Carlyle U.S. CLO Ltd. Series 2023-2A Class C
†
8.325%
(3 mo. USD Term SOFR + 3.00%)
#
7/20/2036 1,100,000
1,117,270
Carlyle U.S. CLO Ltd. Series 2024-1A Class B
†
7.294%
(3 mo. USD Term SOFR + 2.00%)
#
4/15/2037 1,290,000
1,293,250
CIFC Funding Ltd. Series 2014-5A Class A1R2
†
6.779%
(3 mo. USD Term SOFR + 1.46%)
#
10/17/2031 604,593
605,129
Driven Brands Funding LLC Series 2020-1A
Class A2
†
3.786%
7/20/2050 697,813
654,135
Dryden 107 CLO Ltd. Series 2023-107A Class C
†
8.322%
(3 mo. USD Term SOFR + 3.00%)
#
8/15/2035 820,000
831,258
Elmwood CLO 24 Ltd. Series 2023-3A Class B
†
7.683%
(3 mo. USD Term SOFR + 2.35%)
#
12/11/2033 1,210,000
1,214,590
GoldenTree Loan Management U.S. CLO 19 Ltd.
Series 2014-19A Class C
†
7.671%
(3 mo. USD Term SOFR + 2.35%)
#
4/20/2037 940,000
949,162
GoldenTree Loan Management U.S. CLO Ltd.
Series 2022-16A Class BR
†
7.825%
(3 mo. USD Term SOFR + 2.50%)
#
1/20/2034 1,430,000
1,440,067
HPEFS Equipment Trust Series 2024-2A Class A3
†
5.36% 10/20/2031 1,345,000
1,348,157
Kubota Credit Owner Trust Series 2024-2A
Class A3
†
5.26% 11/15/2028 2,565,000
2,570,776
Lending Funding Trust Series 2020-2A
Class A
†
2.32%
4/21/2031 1,840,000
1,725,668
Lendmark Funding Trust Series 2021-1A Class A
†
1.90% 11/20/2031 1,400,000
1,284,810
LoanCore Issuer Ltd. Series 2022-CRE7 Class A
†
6.883%
(30 day USD SOFR Average + 1.55%)
#
1/17/2037 1,196,067
1,197,936
4
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June 30, 2024
Interest
Maturity Principal
Fair
Investments
Rate
Date
Amount
Value
Other (continued)
Madison Park Funding LVIII Ltd. Series 2024-58A
Class D
†
8.973%
(3 mo. USD Term SOFR + 3.65%)
#
4/25/2037 $ 960,000 $
957,996
Magnetite XXXVIII Ltd. Series 2024-38A Class B
†
7.294%
(3 mo. USD Term SOFR + 2.00%)
#
4/15/2037 1,210,000
1,216,315
Marble Point CLO XVII Ltd. Series 2020-1A
Class A
†
6.886%
(3 mo. USD Term SOFR + 1.56%)
#
4/20/2033 1,134,614
1,134,005
Marlette Funding Trust Series 2020-2A Class D
†
4.65%
9/16/2030 313,773
313,571
MF1 LLC Series 2024-FL14 Class A
†
7.076%
(1 mo. USD Term SOFR + 1.74%)
#
3/19/2039 1,430,000
1,428,656
Mountain View CLO LLC Series 2017-1A
Class AR
†
6.679%
(3 mo. USD Term SOFR + 1.35%)
#
10/16/2029 232,434
232,492
OCP CLO Ltd. Series 2014-7A Class A1RR
†
6.706%
(3 mo. USD Term SOFR + 1.38%)
#
7/20/2029 551,024
551,634
OneMain Financial Issuance Trust Series 2020-2A
Class C
†
2.76%
9/14/2035 2,745,000
2,476,896
Palmer Square CLO Ltd. Series 2023-1A
Class D
†
10.625%
(3 mo. USD Term SOFR + 5.30%)
#
1/20/2036 750,000
768,829
Palmer Square CLO Ltd. Series 2023-IA
Class A1
†(b)
6.746%
(3 mo. USD Term SOFR + 1.40%)
#
7/20/2037 1,680,000
1,680,000
(a)
Peebles Park CLO Ltd. Series 2024-1A Class B1
†
7.304%
(3 mo. USD Term SOFR + 2.00%)
#
4/21/2037 990,000
992,495
Rad CLO 24 Ltd. Series 2024-24A Class B
†
2.053%
(3 mo. USD Term SOFR + 2.00%)
#
7/20/2037 1,190,000
1,189,754
Regatta XXVII Funding Ltd. Series 2024-1A
Class B
†
7.296%
(3 mo. USD Term SOFR + 2.00%)
#
4/26/2037 1,020,000
1,022,580
RR Ltd. Series 2022-24A Class A2R
†
7.729%
(3 mo. USD Term SOFR + 2.40%)
#
1/15/2036 1,410,000
1,411,375
SCF Equipment Leasing LLC Series 2019-2A Class C
†
3.11%
6/21/2027 196,413
196,042
SEB Funding LLC Series 2021-1A Class A2
†
4.969%
1/30/2052 1,052,363
1,005,860
Signal Peak CLO 8 Ltd. Series 2020-8A Class A
†
6.856%
(3 mo. USD Term SOFR + 1.53%)
#
4/20/2033 2,004,915
2,008,374
Sunrun Demeter Issuer LLC Series 2021-2A Class A
†
2.27%
1/30/2057 696,145
570,495
Texas Debt Capital CLO Ltd.
Series 2024-1A Class B
†
7.22%
(3 mo. USD Term SOFR + 1.95%)
#
4/22/2037 1,610,000
1,614,838
Valley Stream Park CLO Ltd. Series 2022-1A Class BR
†
7.575%
(3 mo. USD Term SOFR + 2.25%)
#
10/20/2034 1,180,000
1,182,193