UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File number: 811-23889

Jackson Credit Opportunities Fund

(Exact name of registrant as specified in charter)

1 Corporate Way, Lansing, Michigan 48951

(Address of principal executive offices) (Zip code)

225 West Wacker Drive, Suite 1200, Chicago, Illinois 60606

(Mailing address)

Andrew Tedeschi

Jackson National Asset Management, LLC

225 West Wacker Drive, Suite 1200

Chicago, Illinois 60606

(Name and address of agent for service)

Registrant's telephone number, including area code: (517) 381-5500

Date of fiscal year end: March 31

Date of reporting period: December 1, 2023 – March 31, 2024

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.

Item 1. Report to Shareholders.



  

Jackson Credit Opportunities Fund

Neuberger Berman Investment Advisers LLC (Unaudited)

For the period December 1, 2023 through March 31, 2024, Jackson Credit Opportunities Fund underperformed its primary benchmark by posting a return of 5.16% for Class I shares compared to 5.26% for the ICE BofA U.S. High Yield Constrained Index.

The Fund’s exposure across the credit spectrum was additive during the period given a general “risk-on” tone to end the year and to start 2024. More specifically for the period the top three contributors to performance were high yield, emerging markets debt, and senior floating rate loans. Investment grade credit, global government bonds, and collateralized loan obligations saw more muted returns during the period.

The Fund’s strategy is to allocate to opportunities across both the liquid and less liquid credit markets to seek to build the optimal credit investment portfolio. The experienced management team for the Fund can leverage resources from the broad fixed income organization of over 195 investment professionals. Within the strategy there is no permanent sector bias as the Fund uses a relative value asset allocation framework to make significant shifts in the Fund risk profile to seek to take advantage of various market conditions. Investment decisions are driven by the team’s view of estimated excess return relative to anticipated volatility.

    

Total Return

 

Class I†

 

 

Since Inception

5.16

%

†Inception date December 1, 2023

 

Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.

   

Composition as of March 31, 2024:

 

Industrials

17.2

%

Non-U.S. Government Agency ABS

11.7

 

Catastrophe Bonds

10.3

 

Consumer Discretionary

9.8

 

Government Securities

9.7

 

Energy

6.8

 

Materials

6.1

 

Communication Services

5.6

 

Information Technology

4.5

 

Consumer Staples

4.0

 

Health Care

3.9

 

U.S. Government Agency MBS

3.3

 

Financials

3.2

 

Utilities

2.4

 

Real Estate

0.9

 

Other Short Term Investments

0.6

 

 Total Investments

100.0

%

1


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

        
  

Shares/Par1

 

Value ($)

 

Jackson Credit Opportunities Fund

SENIOR FLOATING RATE INSTRUMENTS 34.2%

Industrials 14.1%

 

Artera Services, LLC

     
 

2024 Term Loan, 9.81%, (3 Month Term SOFR + 4.50%), 02/07/31 (a)

 

2,000

 

2,006

 
 

Brown Group Holding, LLC

     
 

Term Loan B, 8.18%, (SOFR + 2.75%), 12/31/24 (a)

 

1,989

 

1,987

 
 

Calpine Construction Finance Company, L.P.

     
 

2023 Refinancing Term Loan B, 7.58%, (SOFR + 2.25%), 07/20/30 (a)

 

1,990

 

1,987

 
 

Carnival Corporation

     
 

2021 Incremental Term Loan B, 8.69%, (SOFR + 3.25%), 10/08/28 (a)

 

1,990

 

1,990

 
 

Constant Contact Inc

     
 

Second Lien Term Loan, 12.83%, (3 Month Term SOFR + 7.50%), 02/10/29 (a)

 

1,000

 

911

 
 

Crash Champions, LLC

     
 

2024 Term Loan B, 10.07%, (SOFR + 4.75%), 02/23/29 (a)

 

705

 

707

 
 

2024 Term Loan B, 10.07%, (3 Month Term SOFR + 4.75%), 02/23/29 (a)

 

795

 

797

 
 

Deerfield Dakota Holding, LLC

     
 

2021 USD 2nd Lien Term Loan, 12.36%, (SOFR + 6.75%), 04/07/28 (a)

 

1,000

 

996

 
 

DS Parent Inc

     
 

Term Loan B, 10.81%, (SOFR + 5.50%), 12/13/30 (a)

 

2,000

 

1,968

 
 

Edelman Financial Center, LLC

     
 

2018 2nd Lien Term Loan, 12.19%, (SOFR + 6.75%), 06/26/26 (a)

 

1,000

 

1,003

 
 

Engineered Machinery Holdings, Inc.

     
 

2021 USD 2nd Lien Incremental Term Loan, 12.11%, (SOFR + 6.50%), 05/21/29 (a)

 

2,012

 

1,987

 
 

Foundational Education Group, Inc.

     
 

Term Loan, 0.00%, (3 Month USD LIBOR + 6.50%), 12/31/49 (a) (b) (c)

 

1,000

 

930

 
 

Garda World Security Corporation

     
 

2022 Term Loan B, 9.58%, (3 Month Term SOFR + 4.25%), 02/10/29 (a)

 

2,000

 

2,001

 
 

GTCR W Merger Sub LLC

     
 

USD Term Loan B, 8.33%, (SOFR + 3.00%), 09/21/30 (a)

 

2,000

 

2,005

 
 

Hayward Industries, Inc.

     
 

2021 Term Loan, 8.19%, (SOFR + 2.75%), 05/14/28 (a)

 

1,995

 

1,996

 
 

Hertz Corporation, (The)

     
 

2023 Incremental Term Loan B, 9.08%, (1 Month Term SOFR + 3.75%), 06/30/28 (a)

 

2,000

 

1,941

 
 

HireRight, Inc.

     
 

Term Loan, 0.00%, 12/31/49 (a) (c) (d)

 

2,000

 

1,984

 
 

LSF12 Badger Bidco LLC

     
 

Term Loan B, 11.32%, (SOFR + 6.00%), 07/25/30 (a)

 

1,995

 

1,999

 
 

Maverick Bidco Inc

     
 

2021 2nd Lien Term Loan, 12.21%, (SOFR + 6.75%), 05/18/29 (a)

 

1,000

 

945

 
 

Star Parent, Inc.

     
 

Term Loan B, 9.35%, (3 Month Term SOFR + 4.00%), 09/19/30 (a)

 

2,000

 

1,986

 
 

Star US Bidco LLC

     
 

Term Loan B, 9.68%, (SOFR + 4.25%), 03/17/27 (a)

 

1,995

 

2,000

 
 

Summer (BC) Bidco B LLC

     
 

Term Loan, 0.00%, (SOFR + 5.00%), 02/05/29 (a) (c)

 

2,000

 

1,990

 
 

Swissport International AG

     
 

Term Loan, 0.00%, (SOFR + 4.25%), 03/27/31 (a) (c)

 

2,000

 

1,997

 
 

Trulite Holding Corp.

     
 

Term Loan, 11.33%, (3 Month Term SOFR + 6.00%), 02/15/31 (a) (b)

 

2,000

 

1,992

 
 

USIC Holdings, Inc.

     
 

2021 2nd Lien Term Loan, 12.11%, (SOFR + 6.50%), 05/14/29 (a)

 

1,247

 

1,234

 
 

Veritiv Corporation

     
 

Term Loan B, 10.35%, (3 Month Term SOFR + 5.00%), 11/30/30 (a)

 

2,000

 

1,986

 
 

43,325

 

Information Technology 3.8%

 

Ahead DB Holdings, LLC

     
 

2024 Incremental Term Loan B, 9.57%, (SOFR + 4.25%), 01/24/31 (a)

 

2,000

 

2,005

 
 

Athenahealth Group, Inc.

     
 

2022 Term Loan B, 8.58%, (1 Month Term SOFR + 3.25%), 01/27/29 (a)

 

1,990

 

1,968

 
 

Cloudera, Inc.

     
 

2021 Second Lien Term Loan, 0.00%, (SOFR + 6.00%), 10/01/29 (a) (c)

 

1,000

 

990

 
 

2021 Second Lien Term Loan, 11.43%, (SOFR + 6.00%), 10/01/29 (a)

 

1,000

 

990

 
 

ION Trading Finance Limited

     
 

2021 USD Term Loan, 10.20%, (SOFR + 4.75%), 03/26/28 (a)

 

2,000

 

1,996

 
 

McAfee, LLC

     
 

2022 USD Term Loan B, 9.18%, (SOFR + 3.75%), 02/03/29 (a)

 

1,990

 

1,984

 
 

Peraton Corp.

     
 

Term Loan, 0.00%, (3 Month USD LIBOR + 7.75%), 12/31/49 (a) (c)

 

1,000

 

1,002

 
 

Vision Solutions, Inc.

     
 

2021 2nd Lien Term Loan, 12.84%, (SOFR + 7.25%), 04/23/29 (a)

 

949

 

879

 
 

11,814

 

Consumer Discretionary 3.3%

 

First Brands Group, LLC

     
 

2022 Incremental Term Loan, 10.57%, (3 Month Term SOFR + 5.00%), 03/30/27 (a)

 

500

 

500

 
 

2021 2nd Lien Term Loan, 14.07%, (3 Month Term SOFR + 8.50%), 03/30/28 (a)

 

1,000

 

988

 
 

Jack Ohio Finance, LLC

     
 

Term Loan, 0.00%, (LIBOR + 4.75%), 09/30/28 (a) (c)

 

2,000

 

1,999

 
 

LIDS Holdings, Inc.

     
 

Term Loan, 10.98%, (3 Month Term SOFR + 5.50%), 12/03/26 (a) (b)

 

397

 

395

 
 

S&S Holdings LLC

     
 

Term Loan, 10.42%, (SOFR + 5.00%), 03/11/28 (a)

 

1,995

 

1,984

 
 

SRAM, LLC

     
 

2021 Term Loan B, 8.19%, (SOFR + 1.75%), 05/12/28 (a)

 

1,901

 

1,899

 
 

Tailored Brands Inc

     
 

Term Loan, 11.82%, (SOFR + 6.50%), 02/16/29 (a) (b)

 

2,500

 

2,475

 
 

10,240

 

Health Care 2.8%

 

Auris Luxembourg III Sarl

     
 

Term Loan, 0.00%, (SOFR + 4.25%), 12/31/49 (a) (c)

 

2,000

 

2,002

 
 

Aveanna Healthcare, LLC

     
 

2021 2nd Lien Term Loan, 12.49%, (SOFR + 7.00%), 12/08/29 (a)

 

900

 

765

 
 

Bausch & Lomb Corporation

     
 

2023 Incremental Term Loan, 9.33%, (SOFR + 4.00%), 09/14/28 (a)

 

1,990

 

1,986

 
 

Natl Mentor Hldgs Inc

     
 

Term Loan, 0.00%, (3 Month USD LIBOR + 7.25%), 03/02/29 (a) (c)

 

1,000

 

818

 
 

Summit Behavioral Healthcare LLC

     
 

1st Lien Term Loan, 10.35%, (SOFR + 4.75%), 11/24/28 (a)

 

1,990

 

1,990

 
 

Team Services Group

     
 

Second Lien Term Loan, 14.58%, (3 Month Term SOFR + 9.00%), 12/18/28 (a) (b)

 

1,000

 

950

 
 

8,511

 

Materials 2.6%

 

Mauser Packaging Solutions Holding Company

     
 

Term Loan B, 9.33%, (SOFR + 4.00%), 08/15/26 (a)

 

5

 

5

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

2


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

        
  

Shares/Par1

 

Value ($)

 
 

Term Loan B, 9.33%, (1 Month Term SOFR + 4.00%), 08/15/26 (a)

 

1,990

 

1,995

 
 

SupplyOne, Inc.

     
 

Term Loan, 0.00%, (SOFR + 4.25%), 03/27/31 (a) (c)

 

2,000

 

1,989

 
 

Trident TPI Holdings, Inc.

     
 

2022 USD Incremental Term Loan, 10.60%, (3 Month Term SOFR + 5.25%), 09/15/28 (a)

 

1,990

 

1,993

 
 

Windsor Holdings III, LLC

     
 

USD Term Loan B, 9.82%, (SOFR + 4.50%), 06/21/30 (a) (b)

 

2,000

 

1,997

 
 

7,979

 

Communication Services 2.6%

 

888 Acquisitions Limited

     
 

USD Term Loan B, 10.82%, (6 Month Term SOFR + 5.25%), 07/18/28 (a)

 

1,991

 

1,975

 
 

Cengage Learning, Inc.

     
 

2024 Term Loan B, 9.58%, (SOFR + 4.25%), 03/24/31 (a)

 

2,000

 

1,996

 
 

Charter Communications Operating, LLC

     
 

2023 Term Loan B4, 7.33%, (SOFR + 2.00%), 12/02/30 (a)

 

2,000

 

1,979

 
 

Great Outdoors Group, LLC

     
 

2021 Term Loan B1, 9.19%, (SOFR + 3.75%), 02/26/28 (a)

 

1,990

 

1,990

 
 

7,940

 

Energy 1.8%

 

NGL Energy Partners LP

     
 

2024 Term Loan B, 9.83%, (SOFR + 4.50%), 01/25/31 (a)

 

2,000

 

2,004

 
 

Parkway Generation, LLC

     
 

Term Loan, 0.00%, (SOFR + 4.75%), 02/18/29 (a) (c)

 

176

 

175

 
 

Term Loan, 0.00%, (LIBOR + 4.75%), 02/18/29 (a) (c)

 

1,325

 

1,320

 
 

Prairie ECI Acquiror LP

     
 

2024 Term Loan, 10.07%, (3 Month Term SOFR + 4.75%), 02/22/29 (a)

 

2,000

 

1,991

 
 

5,490

 

Utilities 1.3%

 

Granite Generation LLC

     
 

Term Loan B, 9.19%, (SOFR + 3.75%), 10/22/26 (a)

 

2,000

 

2,001

 
 

Lightstone Holdco LLC

     
 

2022 Extended Term Loan B, 11.06%, (3 Month Term SOFR + 5.75%), 02/01/27 (a) (e)

 

1,882

 

1,825

 
 

2022 Extended Term Loan C, 11.06%, (3 Month Term SOFR + 5.75%), 02/01/27 (a) (e)

 

106

 

103

 
 

3,929

 

Consumer Staples 1.1%

 

Cardenas Markets, Inc.

     
 

2022 Term Loan, 12.20%, (SOFR + 6.75%), 07/20/29 (a)

 

1,422

 

1,427

 
 

Northeast Grocery, Inc.

     
 

Term Loan B, 12.83%, (3 Month Term SOFR + 7.50%), 12/05/28 (a)

 

2,000

 

1,997

 
 

3,424

 

Financials 0.7%

 

Aretec Group, Inc.

     
 

2023 Incremental Term Loan, 9.93%, (SOFR + 4.50%), 03/08/30 (a)

 

1,995

 

2,005

 

Real Estate 0.1%

 

Brand Industrial Services Inc

     
 

2023 Term Loan B, 10.81%, (3 Month Term SOFR + 5.50%), 07/25/30 (a)

 

257

 

258

 
 

Total Senior Floating Rate Instruments (cost $103,894)

104,915

 

CORPORATE BONDS AND NOTES 33.4%

Consumer Discretionary 7.0%

 

888 Acquisitions Limited

     
 

7.56%, 07/15/27, EUR (f)

 

206

 

215

 
 

Accor

     
 

7.25%, (100, 01/11/29), EUR (f) (g)

 

200

 

237

 
 

Adient Global Holdings Ltd

     
 

8.25%, 04/15/31 (h)

 

1,110

 

1,173

 
 

Allwyn Entertainment Financing (UK) PLC

     
 

7.25%, 04/30/30, EUR (f)

 

259

 

293

 
 

B&M European Value Retail S.A.

     
 

8.13%, 11/15/30, GBP (f)

 

200

 

270

 
 

Banijay Entertainment

     
 

7.00%, 05/01/29, EUR (f)

 

300

 

339

 
 

Bath & Body Works, Inc.

     
 

6.63%, 10/01/30 (h)

 

610

 

624

 
 

BCPE Empire Holdings, Inc.

     
 

7.63%, 05/01/27 (h)

 

535

 

522

 
 

Beazer Homes USA, Inc.

     
 

7.50%, 03/15/31 (h)

 

140

 

141

 
 

BK LC Lux Finco 1 S.a r.l.

     
 

5.25%, 04/30/29, EUR (f)

 

278

 

301

 
 

Caesars Entertainment, Inc.

     
 

4.63%, 10/15/29 (h)

 

350

 

320

 
 

Carnival Corporation

     
 

6.00%, 05/01/29 (h)

 

495

 

489

 
 

CDI Escrow Issuer, Inc.

     
 

5.75%, 04/01/30 (h)

 

745

 

719

 
 

Ceconomy AG

     
 

1.75%, 06/24/26, EUR (f)

 

500

 

511

 
 

Cirsa Finance International S.a r.l.

     
 

10.38%, 11/30/27, EUR (f)

 

450

 

523

 
 

Constellation Automotive Financing PLC

     
 

4.88%, 07/15/27, GBP (f)

 

101

 

104

 
 

CPUK Mortgage Finance Limited

     
 

6.50%, 08/28/50, GBP (f)

 

400

 

499

 
 

Dana Financing Luxembourg S.a r.l.

     
 

8.50%, 07/15/31, EUR (f)

 

300

 

356

 
 

Dana Incorporated

     
 

4.25%, 09/01/30

 

725

 

641

 
 

Dealer Tire, LLC

     
 

8.00%, 02/01/28 (h)

 

525

 

524

 
 

Deuce Finco PLC

     
 

5.50%, 06/15/27, GBP (f)

 

250

 

298

 
 

Dornoch Debt Merger Subordinated Incorporated

     
 

6.63%, 10/15/29 (h)

 

145

 

130

 
 

Douglas GmbH

     
 

6.00%, 04/08/26, EUR (f)

 

300

 

328

 
 

Elior Group

     
 

3.75%, 07/15/26, EUR (f)

 

149

 

151

 
 

Eroski Sociedad Cooperativa

     
 

10.63%, 04/30/29, EUR (f)

 

300

 

345

 
 

Food Service Project SL

     
 

5.50%, 01/21/27, EUR (f)

 

163

 

175

 
 

Forvia

     
 

7.25%, 06/15/26, EUR (f)

 

168

 

190

 
 

Grupo Antolin-Irausa SA

     
 

3.50%, 04/30/28, EUR (f)

 

102

 

87

 
 

IHO Verwaltungs GmbH

     
 

8.75%, 05/15/28, EUR (e) (f)

 

300

 

350

 
 

Jaguar Land Rover Automotive PLC

     
 

4.50%, 07/15/28, EUR (f)

 

285

 

305

 
 

KB Home

     
 

7.25%, 07/15/30

 

555

 

575

 
 

Light & Wonder, Inc.

     
 

6.63%, 03/01/30 (h)

 

330

 

319

 
 

Lottomatica S.P.A.

     
 

7.13%, 06/01/28, EUR (f)

 

153

 

174

 
 

Macys Retail Holdings

     
 

5.88%, 03/15/30 (h)

 

410

 

399

 
 

MCE Finance Limited

     
 

5.75%, 07/21/28 (f)

 

580

 

549

 
 

Merlin Entertainments Group U.S. Holdings Inc.

     
 

7.38%, 02/15/31 (h)

 

365

 

368

 
 

Midwest Gaming Borrower, LLC

     
 

4.88%, 05/01/29 (h)

 

1,210

 

1,120

 
 

Miller Homes Group (Finco) PLC

     
 

7.00%, 05/15/29, GBP (f)

 

259

 

304

 
 

Motion Bondco Designated Activity Company

     
 

6.63%, 11/15/27 (h)

 

140

 

135

 
 

Motion Finco S.a r.l.

     
 

7.38%, 06/15/30, EUR (f)

 

249

 

280

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

3


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

        
  

Shares/Par1

 

Value ($)

 
 

PetSmart, LLC

     
 

7.75%, 02/15/29 (h)

 

1,090

 

1,061

 
 

Peu (Fin) PLC

     
 

7.25%, 07/01/28, EUR (f)

 

200

 

221

 
 

Pinewood Finco PLC

     
 

3.25%, 09/30/25, GBP (f)

 

300

 

372

 
 

Pinnacle Bidco PLC

     
 

10.00%, 10/11/28, GBP (f)

 

200

 

263

 
 

Playtech PLC

     
 

5.88%, 06/28/28, EUR (f)

 

300

 

320

 
 

Prosus N.V.

     
 

3.83%, 02/08/51 (f)

 

790

 

488

 
 

Royal Caribbean Cruises Ltd.

     
 

7.25%, 01/15/30 (h)

 

385

 

400

 
 

Schaeffler AG

     
 

3.38%, 10/12/28, EUR (f)

 

100

 

104

 
 

SRS Distribution Inc.

     
 

6.13%, 07/01/29 (h)

 

540

 

551

 
 

Stonegate Pub Company Financing PLC

     
 

8.25%, 07/31/25, GBP (f)

 

181

 

221

 
 

TVL Finance PLC

     
 

10.25%, 04/28/28, GBP (f)

 

230

 

302

 
 

United Parks And Resorts Inc.

     
 

5.25%, 08/15/29 (h)

 

325

 

307

 
 

Windsor Holdings III, LLC

     
 

8.50%, 06/15/30 (h)

 

680

 

714

 
 

WMG Acquisition Corp.

     
 

2.25%, 08/15/31, EUR (f)

 

108

 

101

 
 

ZF Friedrichshafen AG

     
 

3.75%, 09/21/28, EUR (f)

 

400

 

416

 
 

ZF North America Capital, Inc.

     
 

4.75%, 04/29/25 (h)

 

165

 

163

 
 

21,387

 

Energy 5.3%

 

3R Lux

     
 

9.75%, 02/05/31 (h)

 

238

 

249

 
 

Ascent Resources - Utica, LLC

     
 

7.00%, 11/01/26 (h)

 

1,290

 

1,293

 
 

Bip-V Chinook

     
 

5.50%, 06/15/31 (h)

 

1,960

 

1,852

 
 

Borr IHC Limited

     
 

10.00%, 11/15/28 (h)

 

620

 

647

 
 

Civitas Resources, Inc.

     
 

8.63%, 11/01/30 (h)

 

910

 

977

 
 

Comstock Resources, Inc.

     
 

6.75%, 03/01/29 (h)

 

825

 

787

 
 

DT Midstream, Inc.

     
 

4.38%, 06/15/31 (h)

 

985

 

892

 
 

EQM Midstream Partners, LP

     
 

4.50%, 01/15/29 (h)

 

530

 

497

 
 

FS Luxembourg S.a r.l.

     
 

8.88%, 02/12/31 (h)

 

582

 

576

 
 

Galaxy Pipeline Assets Bidco Limited

     
 

2.63%, 03/31/36 (f)

 

630

 

512

 
 

Genesis Energy, L.P.

     
 

7.75%, 02/01/28

 

335

 

337

 
 

Greenko Solar (Mauritius) Limited

     
 

5.95%, 07/29/26 (f)

 

570

 

555

 
 

ITT Holdings LLC

     
 

6.50%, 08/01/29 (h)

 

560

 

511

 
 

Joint Stock Company National Company Kazmunaygas

     
 

3.50%, 04/14/33 (f)

 

790

 

658

 
 

Kinetik Holdings LP

     
 

5.88%, 06/15/30 (h)

 

655

 

641

 
 

Medco Bell PTE. LTD.

     
 

6.38%, 01/30/27 (f)

 

450

 

438

 
 

Northern Oil and Gas Incorporated

     
 

8.75%, 06/15/31 (h)

 

455

 

481

 
 

Seplat Energy PLC

     
 

7.75%, 04/01/26 (f)

 

580

 

563

 
 

Shelf Drilling Management Services DMCC

     
 

9.63%, 04/15/29 (f)

 

440

 

425

 
 

Sierracol Energy Andina, LLC

     
 

6.00%, 06/15/28 (f)

 

550

 

483

 
 

Tallgrass Energy Partners, LP

     
 

6.00%, 09/01/31 (h)

 

1,030

 

960

 
 

Thaioil Treasury Center Company Limited

     
 

3.75%, 06/18/50 (f)

 

630

 

450

 
 

Venture Global LNG, Inc.

     
 

9.50%, 02/01/29 (h)

 

450

 

485

 
 

Wintershall Dea AG

     
 

3.00%, (100, 07/20/28), EUR (f) (g)

 

300

 

284

 
 

YPF S.A.

     
 

9.50%, 01/17/31 (h)

 

778

 

795

 
 

16,348

 

Industrials 4.0%

 

Abertis Infraestructuras Finance B.V.

     
 

3.25%, (100, 11/24/25), EUR (f) (g)

 

300

 

313

 
 

Ardagh Packaging Finance Public Limited Company

     
 

5.25%, 04/30/25 (h)

 

150

 

145

 
 

2.13%, 08/15/26, EUR (f)

 

193

 

179

 
 

Bombardier Inc.

     
 

7.25%, 07/01/31 (h)

 

55

 

55

 
 

Chart Industries, Inc.

     
 

7.50%, 01/01/30 (h)

 

955

 

992

 
 

Cornerstone Building Brands, Inc.

     
 

8.75%, 08/01/28 (h)

 

1,240

 

1,273

 
 

6.13%, 01/15/29 (h)

 

385

 

344

 
 

CTEC II GmbH

     
 

5.25%, 02/15/30, EUR (f)

 

200

 

195

 
 

Emerald Debt Merger Sub LLC

     
 

6.63%, 12/15/30 (h)

 

95

 

96

 
 

Fiber Bidco S.P.A.

     
 

11.00%, 10/25/27, EUR (f)

 

280

 

328

 
 

Hillenbrand, Inc.

     
 

6.25%, 02/15/29

 

185

 

186

 
 

International Consolidated Airlines Group, S.A.

     
 

3.75%, 03/25/29, EUR (f)

 

200

 

212

 
 

Madison IAQ LLC

     
 

5.88%, 06/30/29 (h)

 

360

 

330

 
 

Mauser Packaging Solutions Holding Company

     
 

7.88%, 08/15/26 (h)

 

815

 

830

 
 

9.25%, 04/15/27 (h)

 

345

 

342

 
 

Mobico Group PLC

     
 

4.25%, (100, 11/26/25), GBP (f) (g)

 

400

 

462

 
 

Pactiv Evergreen Group Issuer LLC

     
 

4.38%, 10/15/28 (h)

 

510

 

476

 
 

SPX Flow, Inc.

     
 

8.75%, 04/01/30 (h)

 

600

 

606

 
 

Standard Building Solutions Inc.

     
 

3.38%, 01/15/31 (h)

 

740

 

620

 
 

Titan Holdings II B.V.

     
 

5.13%, 07/15/29, EUR (f)

 

209

 

200

 
 

TK Elevator Holdco GmbH

     
 

6.63%, 07/15/28, EUR (f)

 

270

 

282

 
 

TransDigm Inc.

     
 

6.75%, 08/15/28 (h)

 

1,365

 

1,385

 
 

6.38%, 03/01/29 (h)

 

170

 

171

 
 

6.63%, 03/01/32 (h)

 

205

 

207

 
 

Trident TPI Holdings, Inc.

     
 

12.75%, 12/31/28 (h)

 

240

 

256

 
 

Trivium Packaging Finance B.V.

     
 

8.50%, 08/15/27 (h)

 

475

 

469

 
 

Vertical Midco GmbH

     
 

4.38%, 07/15/27, EUR (f)

 

300

 

311

 
 

WESCO Distribution, Inc.

     
 

6.38%, 03/15/29 (h)

 

110

 

111

 
 

XPO, Inc.

     
 

7.13%, 02/01/32 (h)

 

615

 

633

 
 

Zenith Finco PLC

     
 

6.50%, 06/30/27, GBP (f)

 

324

 

302

 
 

12,311

 

Materials 3.8%

 

Arsenal AIC Parent LLC

     
 

11.50%, 10/01/31 (h)

 

1,200

 

1,336

 
 

ATI Inc.

     
 

7.25%, 08/15/30

 

1,055

 

1,093

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

4


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

        
  

Shares/Par1

 

Value ($)

 
 

Avient Corporation

     
 

7.13%, 08/01/30 (h)

 

370

 

380

 
 

Braskem Netherlands Finance B.V.

     
 

8.50%, 01/12/31 (f)

 

300

 

311

 
 

CEMEX S.A.B. de C.V.

     
 

9.13%, (100, 03/14/28) (f) (g)

 

790

 

857

 
 

Compania de Minas Buenaventura S.A.A.

     
 

5.50%, 07/23/26 (f)

 

200

 

192

 
 

Consolidated Energy Finance S.A.

     
 

12.00%, 02/15/31 (h)

 

335

 

350

 
 

Constellium SE

     
 

3.13%, 07/15/29, EUR (f)

 

191

 

190

 
 

Diamond Escrow Issuer, LLC

     
 

9.63%, 11/15/28, EUR (f)

 

200

 

231

 
 

9.75%, 11/15/28 (h)

 

1,150

 

1,226

 
 

First Quantum Minerals Ltd

     
 

8.63%, 06/01/31 (f)

 

350

 

340

 
 

Guala Closures S.p.A.

     
 

3.25%, 06/15/28, EUR (f)

 

188

 

191

 
 

Hudbay Minerals Inc.

     
 

6.13%, 04/01/29 (h)

 

1,130

 

1,117

 
 

INEOS Finance PLC

     
 

7.50%, 04/15/29 (h)

 

50

 

50

 
 

INEOS Quattro Finance 1 plc

     
 

3.75%, 07/15/26, EUR (f)

 

400

 

417

 
 

Italmatch Chemicals S.p.A.

     
 

10.00%, 02/06/28, EUR (f)

 

158

 

180

 
 

Kronos International, Inc.

     
 

9.50%, 03/15/29, EUR

 

144

 

165

 
 

Olympus Water US Holding Corporation

     
 

6.25%, 10/01/29 (h)

 

460

 

420

 
 

Samarco Mineracao S/A

     
 

9.05%, 06/30/31 (e) (h) (i)

 

155

 

140

 
 

Sasol Financing USA LLC

     
 

6.50%, 09/27/28

 

690

 

658

 
 

Synthomer PLC

     
 

3.88%, 07/01/25, EUR (f)

 

150

 

160

 
 

Vedanta Resources Limited

     
 

13.88%, 12/09/28 (f) (i)

 

462

 

421

 
 

Vibrantz Technologies Inc.

     
 

9.00%, 02/15/30 (h)

 

110

 

102

 
 

W. R. Grace Holdings LLC

     
 

5.63%, 08/15/29 (h)

 

445

 

398

 
 

We Soda Investments Holding PLC

     
 

9.50%, 10/06/28 (f)

 

300

 

311

 
 

Wepa Hygieneprodukte GmbH

     
 

2.88%, 12/15/27, EUR (f)

 

177

 

179

 
 

White Cap Buyer, LLC

     
 

6.88%, 10/15/28 (h)

 

285

 

280

 
 

11,695

 

Communication Services 3.3%

 

Altice Financing S.A.

     
 

5.00%, 01/15/28 (h)

 

665

 

547

 
 

4.25%, 08/15/29, EUR (f)

 

300

 

263

 
 

Altice France Holding S.A.

     
 

8.13%, 02/01/27 (h)

 

375

 

293

 
 

British Telecommunications Public Limited Company

     
 

8.38%, 12/20/83, GBP (f)

 

427

 

575

 
 

CCO Holdings, LLC

     
 

5.38%, 06/01/29 (h)

 

1,040

 

952

 
 

6.38%, 09/01/29 (h)

 

165

 

157

 
 

4.25%, 02/01/31 (h)

 

180

 

147

 
 

CSC Holdings, LLC

     
 

5.38%, 02/01/28 (h)

 

1,095

 

942

 
 

Equipmentshare.Com Inc

     
 

9.00%, 05/15/28 (h)

 

705

 

726

 
 

Frontier Communications Parent, Inc.

     
 

5.88%, 10/15/27 (h)

 

1,010

 

978

 
 

IHS Holding Limited

     
 

6.25%, 11/29/28 (f)

 

450

 

394

 
 

Iliad Holding

     
 

5.13%, 10/15/26, EUR (f)

 

300

 

320

 
 

Lorca Telecom Bondco SA.

     
 

4.00%, 09/18/27, EUR (f)

 

600

 

629

 
 

MVC Acquisition Corp.

     
 

8.00%, 08/01/29 (h)

 

330

 

311

 
 

Northwest Fiber, LLC

     
 

6.00%, 02/15/28 (h)

 

150

 

155

 
 

Odido Group Holding B.V.

     
 

5.50%, 01/15/30, EUR (f)

 

133

 

132

 
 

PLT VII Finance S.a r.l.

     
 

4.63%, 01/05/26, EUR (f)

 

164

 

176

 
 

SES

     
 

2.88%, (100, 05/27/26), EUR (f) (g)

 

350

 

356

 
 

Summer (BC) Holdco B S.a r.l.

     
 

5.75%, 10/31/26, EUR (f)

 

150

 

158

 
 

Telecom Italia SPA

     
 

7.88%, 07/31/28, EUR (f)

 

400

 

473

 
 

Telefonica Europe B.V.

     
 

6.75%, (100, 06/07/31), EUR (f) (g)

 

300

 

350

 
 

United Group B.V.

     
 

5.25%, 02/01/30, EUR (f)

 

300

 

316

 
 

Virgin Media Vendor Financing Notes III Designated Activity Company

     
 

4.88%, 07/15/28, GBP (f)

 

400

 

452

 
 

Vodafone Group Public Limited Company

     
 

3.00%, 08/27/80, EUR (f)

 

103

 

100

 
 

Ziggo Bond Company B.V.

     
 

3.38%, 02/28/30, EUR (f)

 

400

 

367

 
 

10,269

 

Consumer Staples 3.0%

 

Allied Universal Holdco LLC

     
 

6.00%, 06/01/29 (h)

 

180

 

155

 
 

7.88%, 02/15/31 (h)

 

215

 

218

 
 

APX Group, Inc.

     
 

5.75%, 07/15/29 (h)

 

1,605

 

1,543

 
 

BCP V Modular Services Finance II PLC

     
 

4.75%, 11/30/28, EUR (f)

 

100

 

101

 
 

BCP V Modular Services Finance PLC

     
 

6.75%, 11/30/29, EUR (f)

 

200

 

189

 
 

Bellis Acquisition Company PLC

     
 

3.25%, 02/16/26, GBP (f)

 

300

 

357

 
 

Bimbo Bakeries USA, Inc.

     
 

5.38%, 01/09/36 (h)

 

233

 

232

 
 

Boels Topholding B.V.

     
 

6.25%, 02/15/29, EUR (f)

 

125

 

139

 
 

Co-operative Group Limited

     
 

7.50%, 07/08/26, GBP (f) (i) (j)

 

400

 

501

 
 

Coty Inc.

     
 

6.63%, 07/15/30 (h)

 

485

 

492

 
 

GW B-CR Security Corporation

     
 

9.50%, 11/01/27 (h)

 

315

 

316

 
 

Iceland Bondco PLC

     
 

10.88%, 12/15/27, GBP (f)

 

225

 

299

 
 

Kapla Holding

     
 

3.38%, 12/15/26, EUR (f)

 

176

 

183

 
 

Loxama

     
 

6.38%, 05/31/29, EUR (f)

 

100

 

112

 
 

Minerva Luxembourg S.A.

     
 

8.88%, 09/13/33 (f)

 

530

 

557

 
 

Neptune BidCo US Inc.

     
 

9.29%, 04/15/29 (h)

 

330

 

312

 
 

Picard Groupe

     
 

3.88%, 07/01/26, EUR (f)

 

202

 

213

 
 

Prime Security Services Borrower, LLC

     
 

3.38%, 08/31/27 (h)

 

540

 

496

 
 

Primo Water Holdings Inc.

     
 

3.88%, 10/31/28, EUR (f)

 

167

 

173

 
 

RAC Bond Co PLC

     
 

5.25%, 11/04/27, GBP (f) (i)

 

300

 

355

 
 

Ritchie Bros. Holdings Inc.

     
 

7.75%, 03/15/31 (h)

 

850

 

889

 
 

Techem Verwaltungsgesellschaft 674 mbH

     
 

6.00%, 07/30/26, EUR (f)

 

528

 

567

 
 

U.S. Foods Inc.

     
 

4.75%, 02/15/29 (h)

 

320

 

304

 
 

Verisure Holding AB

     
 

3.88%, 07/15/26, EUR (f)

 

300

 

318

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

5


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

        
  

Shares/Par1

 

Value ($)

 
 

Verisure Midholding AB

     
 

5.25%, 02/15/29, EUR (f)

 

300

 

314

 
 

9,335

 

Financials 2.7%

 

Alliant Holdings Intermediate, LLC

     
 

6.75%, 10/15/27 (h)

 

835

 

821

 
 

AmWINS Group, Inc.

     
 

6.38%, 02/15/29 (h)

 

705

 

708

 
 

4.88%, 06/30/29 (h)

 

425

 

396

 
 

AssuredPartners, Inc.

     
 

7.50%, 02/15/32 (h)

 

485

 

477

 
 

Axis Bank Limited

     
 

4.10%, (100, 09/08/26) (f) (g)

 

500

 

464

 
 

Banco Davivienda S A

     
 

6.65%, (100, 04/22/31) (f) (g)

 

750

 

528

 
 

Banco De Credito E Inversiones S.A.

     
 

8.75%, (100, 02/08/29) (g) (h)

 

505

 

521

 
 

Banco Mercantil Del Norte S.A

     
 

6.63%, (100, 01/24/32) (f) (g)

 

790

 

719

 
 

Banque Ouest Africaine De Developpement

     
 

4.70%, 10/22/31 (f)

 

690

 

596

 
 

Benteler International Aktiengesellschaft

     
 

9.38%, 05/15/28, EUR (f)

 

100

 

116

 
 

BroadStreet Partners, Inc.

     
 

5.88%, 04/15/29 (h)

 

515

 

477

 
 

Grupo Aval Acciones y Valores S.A.

     
 

4.38%, 02/04/30 (f)

 

300

 

252

 
 

GTCR W-2 Merger Sub LLC

     
 

7.50%, 01/15/31 (h)

 

1,285

 

1,346

 
 

HUB International Limited

     
 

7.25%, 06/15/30 (h)

 

175

 

180

 
 

Panther Escrow Issuer LLC

     
 

7.13%, 06/01/31 (h)

 

150

 

153

 
 

Starwood Property Trust, Inc.

     
 

7.25%, 04/01/29 (h)

 

120

 

121

 
 

Turkiye Vakiflar Bankasi T.A.O.

     
 

9.00%, 10/12/28 (f)

 

340

 

358

 
 

8,233

 

Health Care 1.3%

 

Avantor, Inc.

     
 

3.88%, 07/15/28, EUR (f)

 

173

 

181

 
 

Bayer Aktiengesellschaft

     
 

7.00%, 09/25/83, EUR (f)

 

100

 

108

 
 

Cheplapharm Arzneimittel GmbH

     
 

7.50%, 05/15/30, EUR (f)

 

300

 

341

 
 

Community Health Systems, Inc.

     
 

5.63%, 03/15/27 (h)

 

150

 

138

 
 

5.25%, 05/15/30 (h)

 

170

 

139

 
 

10.88%, 01/15/32 (h)

 

135

 

139

 
 

Grifols, S.A.

     
 

3.20%, 05/01/25, EUR (f)

 

100

 

99

 
 

Lifepoint Health, Inc.

     
 

9.75%, 12/01/26 (h)

 

130

 

130

 
 

Nidda Healthcare Holding GmbH

     
 

7.50%, 08/21/26, EUR (f)

 

300

 

333

 
 

Rede D'Or Finance

     
 

4.50%, 01/22/30 (f)

 

320

 

289

 
 

Surgery Center Holdings, Inc.

     
 

7.25%, 04/15/32 (h)

 

170

 

171

 
 

Tenet Healthcare Corporation

     
 

6.88%, 11/15/31

 

535

 

559

 
 

Teva Pharmaceutical Finance Netherlands II B.V.

     
 

7.38%, 09/15/29, EUR

 

600

 

719

 
 

Teva Pharmaceutical Finance Netherlands III B.V.

     
 

7.88%, 09/15/29

 

570

 

611

 
 

3,957

 

Utilities 1.3%

 

Adani Green Energy Limited

     
 

4.38%, 09/08/24 (f)

 

550

 

543

 
 

Calpine Corporation

     
 

5.00%, 02/01/31 (h)

 

870

 

800

 
 

EDP - Energias de Portugal, S.A.

     
 

5.94%, 04/23/83, EUR (f)

 

200

 

225

 
 

Electricite de France

     
 

2.63%, (100, 12/01/27), EUR (f) (g)

 

200

 

194

 
 

7.50%, (100, 09/06/28), EUR (f) (g)

 

400

 

467

 
 

9.13%, (100, 03/15/33) (g) (h)

 

155

 

171

 
 

NGG Finance PLC

     
 

5.63%, 06/18/73, GBP (f)

 

128

 

160

 
 

NRG Energy, Inc.

     
 

10.25%, (100, 03/15/28) (g) (h)

 

540

 

577

 
 

UGI International, LLC

     
 

2.50%, 12/01/29, EUR (f)

 

364

 

351

 
 

Vistra Corp.

     
 

7.00%, (100, 12/15/26) (g) (h)

 

220

 

218

 
 

Vistra Operations Company LLC

     
 

7.75%, 10/15/31 (h)

 

205

 

215

 
 

3,921

 

Real Estate 0.9%

 

CPI Property Group

     
 

1.75%, 01/14/30, EUR (f)

 

260

 

202

 
 

Cushman & Wakefield U.S. Borrower, LLC

     
 

8.88%, 09/01/31 (h)

 

585

 

620

 
 

Franshion Brilliant Limited

     
 

4.25%, 07/23/29 (f)

 

730

 

499

 
 

Heimstaden Bostad AB

     
 

3.63%, (100, 10/13/26), EUR (f) (g)

 

200

 

141

 
 

1.63%, 10/13/31, EUR (f)

 

200

 

151

 
 

Iron Mountain Europe Limited

     
 

3.88%, 11/15/25, GBP (f)

 

149

 

182

 
 

MPT Operating Partnership, L.P.

     
 

5.25%, 08/01/26

 

735

 

673

 
 

Summit Properties Limited

     
 

2.00%, 01/31/25, EUR (f)

 

278

 

284

 
 

2,752

 

Information Technology 0.8%

 

McAfee Corp.

     
 

7.38%, 02/15/30 (h)

 

570

 

526

 
 

Minerva Merger Sub Inc

     
 

6.50%, 02/15/30 (h)

 

440

 

403

 
 

Presidio Holdings, Inc.

     
 

8.25%, 02/01/28 (h)

 

305

 

304

 
 

UKG Inc.

     
 

6.88%, 02/01/31 (h)

 

1,170

 

1,192

 
 

ViaSat, Inc.

     
 

5.63%, 04/15/27 (h)

 

130

 

123

 
 

2,548

 
 

Total Corporate Bonds And Notes (cost $100,483)

102,756

 

GOVERNMENT AND AGENCY OBLIGATIONS 13.6%

Sovereign 10.1%

 

Angola, Government of

     
 

8.75%, 04/14/32 (f)

 

750

 

688

 
 

9.38%, 05/08/48 (f)

 

750

 

645

 
 

Departamento Administrativo De La Presidencia De La Republica

     
 

4.50%, 03/15/29

 

630

 

578

 
 

7.50%, 02/02/34

 

1,140

 

1,156

 
 

8.75%, 11/14/53

 

1,270

 

1,381

 
 

Ghana, Government of

     
 

REMIC, 10.75%, 10/14/30 (f)

 

1,620

 

1,102

 
 

Gobierno de la Republica de Guatemala

     
 

7.05%, 10/04/32 (f)

 

440

 

466

 
 

6.60%, 06/13/36 (f)

 

770

 

785

 
 

Gobierno de la Republica del Ecuador

     
 

3.50%, 07/31/35 (f) (i)

 

1,240

 

651

 
 

Government of Commonwealth of the Bahamas

     
 

6.00%, 11/21/28 (f)

 

670

 

601

 
 

Government of the Republic of Panama

     
 

6.85%, 03/28/54

 

1,340

 

1,218

 
 

Government of the Republic of Serbia

     
 

2.05%, 09/23/36, EUR (f)

 

3,580

 

2,698

 
 

Government of the Republic of Zambia

     
 

0.00%, 07/30/27 (f) (k) (l)

 

1,870

 

1,374

 
 

Nigeria, Federal Government of

     
 

8.75%, 01/21/31 (f)

 

540

 

520

 
 

8.25%, 09/28/51 (f)

 

200

 

164

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

6


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

        
  

Shares/Par1

 

Value ($)

 
 

People's Government of Inner Mongolia Autonomous Region

     
 

7.88%, 06/05/29 (f)

 

510

 

526

 
 

Presidence de la Republique de Cote d'Ivoire

     
 

4.88%, 01/30/32, EUR (f)

 

1,340

 

1,243

 
 

6.63%, 03/22/48, EUR (f)

 

1,500

 

1,316

 
 

Presidencia da Republica

     
 

6.00%, 10/20/33

 

630

 

624

 
 

Presidencia De La Nacion

     
 

1.00%, 07/09/29

 

290

 

155

 
 

0.75%, 07/09/30 (i)

 

1,250

 

652

 
 

3.63%, 07/09/35 - 07/09/46 (i)

 

2,270

 

965

 
 

Presidencia de la Republica de El Salvador

     
 

9.50%, 07/15/52 (f)

 

1,640

 

1,361

 
 

Presidencia de la Republica Dominicana

     
 

7.05%, 02/03/31 (f)

 

540

 

558

 
 

6.85%, 01/27/45 (f)

 

1,360

 

1,348

 
 

Romania, Government of

     
 

6.38%, 09/18/33, EUR (f)

 

2,370

 

2,734

 
 

3.75%, 02/07/34, EUR (f)

 

840

 

795

 
 

Senegal, Government of

     
 

5.38%, 06/08/37, EUR (f)

 

200

 

156

 
 

South Africa, Parliament of

     
 

5.75%, 09/30/49

 

1,980

 

1,433

 
 

The Arab Republic of Egypt

     
 

8.70%, 03/01/49 (f)

 

1,160

 

935

 
 

The Democratic Socialist Republic of Sri Lanka

     
 

0.00%, 03/14/29 (f) (k) (l)

 

2,840

 

1,676

 
 

The Republic of Kazakhstan, Government of

     
 

1.50%, 09/30/34, EUR (f)

 

410

 

361

 
 

Turkiye Cumhuriyeti Basbakanlik

     
 

7.63%, 05/15/34

 

275

 

276

 
 

31,141

 

Collateralized Mortgage Obligations 3.5%

 

Connecticut Avenue Securities Trust 2021-R01

     
 

Series 2021-1B1-R01, REMIC, 8.42%, (SOFR 30-Day Average + 3.10%), 10/25/41 (a)

 

890

 

916

 
 

Series 2022-1B1-R01, REMIC, 8.47%, (SOFR 30-Day Average + 3.15%), 12/26/41 (a)

 

900

 

925

 
 

Connecticut Avenue Securities Trust 2021-R03

     
 

Series 2021-1B1-R03, REMIC, 8.07%, (SOFR 30-Day Average + 2.75%), 12/25/41 (a)

 

900

 

915

 
 

Connecticut Avenue Securities Trust 2022-R02

     
 

Series 2022-2B1-R02, REMIC, 9.82%, (SOFR 30-Day Average + 4.50%), 01/27/42 (a)

 

440

 

463

 
 

Connecticut Avenue Securities Trust 2022-R08

     
 

Series 2022-1B1-R08, REMIC, 10.92%, (SOFR 30-Day Average + 5.60%), 07/25/42 (a)

 

825

 

909

 
 

Connecticut Avenue Securities Trust 2024-R01

     
 

Series 2024-1B1-R01, REMIC, 8.02%, (SOFR 30-Day Average + 2.70%), 01/25/44 (a)

 

491

 

493

 
 

Federal Home Loan Mortgage Corporation

     
 

Series 2022-M2-DNA1, REMIC, 7.82%, (SOFR 30-Day Average + 2.50%), 01/25/29 (a)

 

900

 

913

 
 

Series 2021-B1-HQA4, REMIC, 9.07%, (SOFR 30-Day Average + 3.75%), 12/25/30 (a)

 

745

 

767

 
 

Series 2021-B1-HQA3, REMIC, 8.67%, (SOFR 30-Day Average + 3.35%), 09/25/41 (a)

 

890

 

917

 
 

Series 2021-B1-DNA7, REMIC, 8.97%, (SOFR 30-Day Average + 3.65%), 11/25/41 (a)

 

730

 

760

 
 

Series 2022-M2-DNA6, REMIC, 11.07%, (SOFR 30-Day Average + 5.75%), 09/25/42 (a)

 

894

 

1,006

 
 

Series 2024-M2-HQA1, REMIC, 7.32%, (SOFR 30-Day Average + 2.00%), 03/25/44 (a)

 

722

 

722

 
 

Federal National Mortgage Association, Inc.

     
 

Series 2020-2B1-R02, REMIC, 8.43%, (SOFR 30-Day Average + 3.11%), 01/25/40 (a)

 

875

 

899

 
 

10,605

 
 

Total Government And Agency Obligations (cost $39,234)

41,746

 

NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 12.3%

 

1211 Avenue of The Americas

     
 

Series 2015-C-1211, REMIC, 4.14%, 08/10/25 (a)

 

355

 

335

 
 

37 Capital Clo 1 Ltd

     
 

Series 2021-E-1A, REMIC, 12.78%, (3 Month Term SOFR + 7.46%), 10/16/34 (a)

 

2,500

 

2,481

 
 

Apidos CLO XVIII

     
 

Series 2018-E-18A, 11.28%, (3 Month Term SOFR + 5.96%), 10/22/30 (a)

 

2,175

 

2,095

 
 

Barings CLO Ltd 2024-I

     
 

Series 2024-E-1A, 12.22%, (3 Month Term SOFR + 6.95%), 01/20/37 (a)

 

2,000

 

2,012

 
 

BBCMS Mortgage Trust 2024-5C25

     
 

Series 2024-D-5C25, REMIC, 4.00%, 03/15/29

 

415

 

337

 
 

BBCMS Mortgage Trust 2024-C24

     
 

Series 2024-B-C24, REMIC, 5.72%, 01/18/34

 

186

 

185

 
 

Series 2024-C-C24, REMIC, 6.00%, 01/18/34

 

239

 

231

 
 

Benchmark 2019-B10 Mortgage Trust

     
 

Series 2019-B-B10, REMIC, 4.18%, 03/15/29 (a)

 

548

 

462

 
 

Benchmark 2020-B16 Mortgage Trust

     
 

Series 2020-B-B16, REMIC, 3.18%, 01/17/30 (a)

 

373

 

308

 
 

Series 2020-C-B16, REMIC, 3.53%, 01/17/30 (a)

 

595

 

481

 
 

Benchmark 2020-B17 Mortgage Trust

     
 

Series 2020-C-B17, REMIC, 3.37%, 03/15/30 (a)

 

620

 

463

 
 

Benchmark 2020-B19 Mortgage Trust

     
 

Series 2020-AS-B19, REMIC, 2.15%, 09/17/30

 

405

 

320

 
 

Series 2020-B-B19, REMIC, 2.35%, 09/17/30

 

156

 

107

 
 

Benchmark 2020-IG2 Mortgage Trust

     
 

Series 2020-UBRC-IG2, REMIC, 3.51%, 03/17/25 (a)

 

277

 

254

 
 

Benchmark 2023-B40 Mortgage Trust

     
 

Series 2023-D-B40, REMIC, 4.00%, 12/16/33

 

238

 

167

 
 

Series 2023-C-B40, REMIC, 7.39%, 12/16/33 (a)

 

96

 

103

 
 

Benchmark 2024-V5 Mortgage Trust

     
 

Series 2024-D-V5, REMIC, 4.00%, 01/12/29

 

37

 

30

 
 

Series 2024-C-V5, REMIC, 6.97%, 01/12/29 (a)

 

55

 

56

 
 

Benchmark 2024-V6 Mortgage Trust

     
 

Series 2024-E-V6, REMIC, 4.00%, 03/16/29

 

409

 

312

 
 

BMO 2024-5C3 Mortgage Trust

     
 

Series 2024-B-5C3, REMIC, 6.56%, 02/16/29 (a)

 

148

 

152

 
 

Series 2024-C-5C3, REMIC, 6.86%, 02/16/29 (a)

 

496

 

500

 
 

BMO 2024-C8 Mortgage Trust

     
 

Series 2024-C-C8, REMIC, 6.23%, 03/17/34 (a)

 

360

 

363

 
 

BX Commercial Mortgage Trust 2021-VOLT

     
 

Series 2021-D-VOLT, REMIC, 7.09%, (1 Month Term SOFR + 1.76%), 09/15/36 (a)

 

462

 

455

 
 

Series 2021-F-VOLT, REMIC, 7.84%, (1 Month Term SOFR + 2.51%), 09/15/36 (a)

 

575

 

579

 
 

BX Commercial Mortgage Trust 2023-XL3

     
 

Series 2023-B-XL3, REMIC, 7.52%, (1 Month Term SOFR + 2.19%), 12/15/25 (a)

 

185

 

186

 
 

Series 2023-D-XL3, REMIC, 8.91%, (1 Month Term SOFR + 3.59%), 12/15/25 (a)

 

295

 

297

 
 

BX Commercial Mortgage Trust 2024-XL4

     
 

Series 2024-B-XL4, REMIC, 7.18%, (1 Month Term SOFR + 1.85%), 02/17/26 (a)

 

204

 

204

 
 

Series 2024-C-XL4, REMIC, 7.58%, (1 Month Term SOFR + 2.25%), 02/17/26 (a)

 

185

 

185

 
 

BX Commercial Mortgage Trust 2024-XL5

     
 

Series 2024-D-XL5, REMIC, 7.99%, (1 Month Term SOFR + 2.69%), 03/15/26 (a)

 

558

 

557

 
 

BX Trust

     
 

Series 2024-C-MF, REMIC, 7.24%, 02/17/26 (a)

 

168

 

167

 
 

Series 2024-D-MF, REMIC, 7.99%, 02/17/26 (a)

 

384

 

384

 
 

Series 2024-C-BIO, REMIC, 7.97%, (1 Month Term SOFR + 2.64%), 02/15/29 (a)

 

632

 

632

 
 

COMM 2013-CCRE8 Mortgage Trust

     
 

Series 2013-D-CR8, REMIC, 3.57%, 06/10/46 (a)

 

320

 

304

 
 

Compass Datacenters Issuer II, LLC

     
 

Series 2024-A1-1A, 5.25%, 02/26/29 (d)

 

365

 

358

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

7


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

        
  

Shares/Par1

 

Value ($)

 
 

Series 2024-A2-1A, 5.75%, 02/26/29

 

353

 

345

 
 

Series 2024-B-1A, 7.00%, 02/26/29

 

216

 

203

 
 

Eaton Vance CLO 2013-1 Ltd

     
 

Series 2013-D3R-1A, 12.38%, (3 Month Term SOFR + 7.06%), 01/17/34 (a)

 

1,250

 

1,250

 
 

Frontier Issuer LLC

     
 

Series 2023-A2-1, 6.60%, 07/20/28

 

815

 

823

 
 

Gracie Point International Funding 2024-1, LLC

     
 

Series 2024-A-1A, 7.06%, (SOFR 90-Day Average + 1.70%), 03/02/26 (a)

 

610

 

611

 
 

Series 2024-D-1A, 12.51%, (SOFR 90-Day Average + 7.15%), 03/02/26 (a)

 

100

 

100

 
 

Great Wolf Trust 2024-WOLF

     
 

Series 2024-D-WOLF, REMIC, 2.89%, (1 Month Term SOFR + 2.95%), 03/16/26 (a)

 

371

 

372

 
 

GS Mortgage Securities Trust 2016-GS2

     
 

Series 2016-C-GS2, REMIC, 4.70%, 05/12/26 (a)

 

415

 

387

 
 

GS Mortgage Securities Trust 2017-GS6

     
 

Series 2017-B-GS6, REMIC, 3.87%, 05/12/27

 

415

 

362

 
 

Halseypoint Clo 4, Ltd

     
 

Series 2021-E-4A, REMIC, 12.29%, (3 Month Term SOFR + 6.97%), 04/20/34 (a)

 

1,500

 

1,476

 
 

Hilton USA Trust 2016-HHV

     
 

Series 2016-E-HHV, REMIC, 4.19%, 11/05/26 (a)

 

820

 

765

 
 

J.P. Morgan Mortgage Trust 2024-HE1

     
 

Series 2024-M1-HE1, REMIC, 7.32%, 04/21/31 (a)

 

160

 

160

 
 

Series 2024-M2-HE1, REMIC, 7.72%, 04/21/31 (a)

 

122

 

122

 
 

KKR CLO 43 Ltd

     
 

Series 2022-ER-43A, 13.32%, (3 Month Term SOFR + 7.97%), 01/15/36 (a)

 

1,500

 

1,517

 
 

Manhattan West 2020-1MW Mortgage Trust

     
 

Series 2020-B-1MW, REMIC, 2.41%, 09/10/27 (a)

 

510

 

451

 
 

Series 2020-D-OMW, REMIC, 2.41%, 09/10/27 (a)

 

705

 

608

 
 

MCR 2024-HTL MORTGAGE TRUST

     
 

Series 2024-C-HTL, REMIC, 8.41%, 02/17/26 (a)

 

215

 

215

 
 

Series 2024-D-HTL, REMIC, 9.21%, 02/17/26 (a)

 

245

 

245

 
 

MED Trust 2021-MDLN

     
 

Series 2021-D-MDLN, REMIC, 7.44%, (1 Month Term SOFR + 2.11%), 11/15/38 (a)

 

453

 

451

 
 

Series 2021-F-MDLN, REMIC, 9.44%, (1 Month Term SOFR + 4.11%), 11/15/38 (a)

 

766

 

765

 
 

MSWF Commercial Mortgage Trust 2023-2

     
 

Series 2023-D-2, REMIC, 4.00%, 12/16/33

 

34

 

24

 
 

Series 2023-C-2, REMIC, 7.02%, 12/16/33 (a)

 

105

 

106

 
 

OBX 2023-NQM7 Trust

     
 

Series 2023-A1-NQM7, REMIC, 6.84%, 04/25/63 (i)

 

181

 

184

 
 

OCP CLO 2023-30 LTD

     
 

Series 2023-E-30A, 12.41%, (3 Month Term SOFR + 7.09%), 01/26/37 (a)

 

2,000

 

2,016

 
 

ONE 2021-PARK Mortgage Trust

     
 

Series 2021-E-PARK, REMIC, 7.19%, (1 Month Term SOFR + 1.86%), 03/15/28 (a)

 

495

 

457

 
 

ORL Trust 2023-GLKS

     
 

Series 2023-D-GLKS, REMIC, 9.63%, (1 Month Term SOFR + 4.30%), 10/21/25 (a)

 

450

 

452

 
 

Palmer Square Loan Funding 2022-1 Ltd

     
 

Series 2022-E-1A, 12.51%, (3 Month Term SOFR + 7.20%), 04/15/30 (a)

 

1,000

 

1,004

 
 

Regatta XII Funding Ltd

     
 

Series 2019-ER-1A, 11.93%, (3 Month Term SOFR + 6.61%), 10/15/32 (a)

 

1,250

 

1,238

 
 

Regatta XX Funding Ltd

     
 

Series 2021-E-2A, 11.91%, (3 Month Term SOFR + 6.51%), 10/16/34 (a)

 

1,000

 

1,000

 
 

Sierra Timeshare 2022-2 Receivables Funding LLC

     
 

Series 2022-D-2A, 9.22%, 06/20/40

 

591

 

594

 
 

TIF Funding III LLC

     
 

Series 2024-B-1A, 5.58%, 05/22/34

 

375

 

376

 
 

WB Commercial Mortgage Trust 2024-HQ

     
 

Series 2024-C-HQ, REMIC, 7.13%, 03/17/28 (a)

 

465

 

470

 
 

Wellman Park CLO, Ltd.

     
 

Series 2021-E-1A, 11.83%, (3 Month Term SOFR + 6.51%), 07/17/34 (a)

 

2,000

 

2,000

 
 

Wells Fargo Commercial Mortgage Trust 2017-C39

     
 

Series 2017-C-C39, REMIC, 4.12%, 08/17/27

 

283

 

248

 
 

Ziply Fiber Issuer LLC

     
 

Series 2024-B-1A, 7.81%, 03/20/29

 

361

 

361

 
 

Total Non-U.S. Government Agency Asset-Backed Securities (cost $37,460)

37,820

 

CATASTROPHE BONDS 10.8%

 

Blue Halo Re Ltd.

     
 

15.12%, (3 Month Treasury + 9.75%), 02/24/25 (a) (h)

 

1,500

 

1,482

 
 

Cape Lookout Re Ltd.

     
 

13.37%, (1 Month Treasury + 8.00%), 04/05/27 (a) (d) (h)

 

850

 

850

 
 

Easton Re Pte. Ltd.

     
 

12.85%, (3 Month Treasury + 7.50%), 01/08/27 (a) (h)

 

1,250

 

1,306

 
 

FloodSmart Re Ltd.

     
 

19.37%, (3 Month Treasury + 14.00%), 03/12/27 (a) (h)

 

500

 

498

 
 

Foundation Re IV Ltd.

     
 

11.61%, (3 Month Treasury + 6.25%), 01/08/27 (a) (h)

 

1,000

 

991

 
 

Herbie Re Ltd.

     
 

12.07%, (3 Month Treasury + 6.73%), 01/08/25 (a) (h)

 

500

 

498

 
 

15.06%, (3 Month Treasury + 9.72%), 01/08/25 (a) (h)

 

1,000

 

987

 
 

Hestia Re Ltd

     
 

14.71%, (1 Month Treasury + 9.37%), 04/22/25 (a) (h)

 

1,000

 

981

 
 

15.09%, (1 Month Treasury + 9.75%), 04/07/26 (a) (h)

 

1,000

 

1,013

 
 

Kendall Re Ltd.

     
 

9.36%, (3 Month Treasury + 4.00%), 05/02/24 (a) (h)

 

1,000

 

999

 
 

Kilimanjaro III Re Limited

     
 

15.28%, (3 Month Treasury + 9.91%), 12/19/24 (a) (h)

 

1,250

 

1,237

 
 

5.25%, (3 Month Treasury + 5.25%), 06/25/25 (a) (h)

 

1,500

 

1,530

 
 

9.93%, (3 Month Treasury + 4.56%), 04/20/26 (a) (h)

 

500

 

501

 
 

10.23%, (3 Month Treasury + 4.86%), 04/20/26 (a) (h)

 

500

 

498

 
 

17.73%, (3 Month Treasury + 12.36%), 04/20/26 (a) (h)

 

275

 

270

 
 

Mona Lisa RE Ltd.

     
 

12.34%, (3 Month Treasury + 7.00%), 07/08/25 (a) (h)

 

1,500

 

1,510

 
 

Montoya Re Ltd.

     
 

12.48%, (1 Month Treasury + 7.11%), 04/07/25 (a) (h)

 

1,500

 

1,511

 
 

16.87%, (1 Month Treasury + 11.50%), 04/07/27 (a) (h)

 

1,000

 

1,041

 
 

Mystic Re IV Ltd.

     
 

17.37%, (3 Month Treasury + 12.00%), 01/08/27 (a) (h)

 

750

 

765

 
 

Northshore Re II Limited

     
 

13.34%, (3 Month Treasury + 8.00%), 07/08/25 (a) (h)

 

1,000

 

1,041

 
 

Ocelot Re Ltd.

     
 

13.09%, (3 Month Treasury + 7.75%), 01/07/31 (a) (h)

 

1,250

 

1,284

 
 

Queen Street 2023 Re Designated Activity Company

     
 

12.87%, (3 Month Treasury + 7.50%), 12/08/25 (a) (h)

 

1,000

 

1,044

 
 

Sanders Re III Ltd.

     
 

11.09%, (3 Month Treasury + 5.75%), 04/07/28 (a) (h)

 

1,000

 

1,015

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

8


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

        
  

Shares/Par1

 

Value ($)

 
 

Solomon Re Ltd.

     
 

10.62%, (3 Month Treasury + 5.25%), 06/08/26 (a) (h)

 

1,250

 

1,297

 
 

Stabilitas Re Ltd.

     
 

13.85%, (3 Month Treasury + 8.50%), 06/05/26 (a) (h)

 

1,500

 

1,566

 
 

Sutter Re Ltd.

     
 

12.12%, (3 Month Treasury + 6.75%), 06/19/26 (a) (h)

 

1,000

 

1,018

 
 

Tailwind Re Ltd.

     
 

17.61%, (3 Month Treasury + 12.28%), 01/08/25 (a) (h)

 

1,500

 

1,490

 
 

Torrey Pines Resort, Ltd., A California Limited Partnership

     
 

10.37%, (3 Month Treasury + 5.00%), 06/05/26 (a) (h)

 

1,000

 

1,015

 
 

Ursa Re II Ltd.

     
 

10.37%, (3 Month Treasury + 5.00%), 06/16/25 (a) (h)

 

750

 

752

 
 

Veraison Re Ltd.

     
 

10.13%, (3 Month Treasury + 4.75%), 03/08/27 (a) (h)

 

1,000

 

1,011

 
 

Vista Re Ltd.

     
 

12.10%, (3 Month Treasury + 6.75%), 05/21/24 (a) (h)

 

1,500

 

1,503

 
 

Winston Re Ltd.

     
 

15.60%, (3 Month Treasury + 10.25%), 02/26/27 (a) (h)

 

800

 

794

 
 

Total Catastrophe Bonds (cost $32,952)

33,298

 

SHORT TERM INVESTMENTS 0.7%

Investment Companies 0.7%

 

JNL Government Money Market Fund - Class I, 5.19% (m) (n)

 

2,039

 

2,039

 
 

Total Short Term Investments (cost $2,039)

2,039

 

Total Investments 105.0% (cost $316,062)

 

322,574

 

Other Derivative Instruments0.3%

 

955

 

Other Assets and Liabilities, Net (5.3)%

 

(16,301)

 

Total Net Assets 100.0%

 

307,228

 

(a) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of March 31, 2024. For securities based on a published reference rate and spread, the reference rate and spread are presented. Certain variable rate securities do not indicate a reference rate and spread because they are determined by the issuer, remarketing agent, or offering documents and are based on current market conditions. The coupon rate for securities with certain features outlined in the offering documents may vary from the stated reference rate and spread. This includes, but is not limited to, securities with deferred rates, contingent distributions, caps, floors, and fixed-rate to float-rate features. In addition, variable rates for government and agency collateralized mortgage obligations (“CMO”) and mortgage-backed securities (“MBS”) are determined by tranches of underlying mortgage-backed security pools’ cash flows into securities and pass-through rates which reflect the rate earned on the asset pool after management and guarantee fees are paid to the securitizing corporation. CMO and MBS variable rates are determined by a formula set forth in the security’s offering documents.

(b) Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the Board of Trustees. Good faith fair valued securities are classified based on the applicable valuation inputs. See "Fair Value Measurement" in the Notes to Financial Statements.

(c) This senior floating rate interest will settle after March 31, 2024. If a reference rate and spread is presented, it will go into effect upon settlement.

(d) Security fair valued in good faith as a Level 2 security in accordance with the procedures approved by the Board of Trustees. Good faith fair valued securities are classified based on the applicable valuation inputs. See "Fair Value Measurement" in the Notes to Financial Statements.

(e) Pay-in-kind security. Stated coupon is the pay-in-kind rate. The interest earned by the security may be paid in cash or additional par.

(f) Security is restricted to resale to institutional investors or subject to trading restrictions due to sanctions on foreign issuers. See Restricted Securities table following the Schedule of Investments.

(g) Perpetual security. Next contractual call price and date are presented in parentheses, if applicable.

(h) Security is exempt from registration under the Securities Act of 1933, as amended. As of March 31, 2024, the value and the percentage of net assets of these securities was $91,491 and 29.8% of the Fund.

(i) Security is a step-up bond where the coupon may increase or step up at a future date or as the result of an upgrade or downgrade to the credit rating of the issuer. Rate stated was the coupon as of March 31, 2024.

(j) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer. Rate stated was the coupon as of March 31, 2024.

(k) Non-income producing security.

(l) As of March 31, 2024, issuer was in bankruptcy and/or was in default relating to principal and/or interest. Partial or no payments were paid on the last interest or dividend date. The aggregate value of these securities represented 1.0% of the Fund’s net assets.

(m) Investment in affiliate.

(n) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of March 31, 2024.

                   

Jackson Credit Opportunities Fund — Investments in Affiliates

Affiliated Investment

 

Value Beginning of Period($)

 

Purchases($)

 

Sales Proceeds($)

 

Dividend Income/ Distributions from Funds($)

 

Realized Gain (Loss)($)

 

Change in Unrealized Appreciation (Depreciation) ($)

 

Value End of Period($)

 

Percentage of Net Assets(%)

 
 

JNL Government Money Market Fund, 5.19% - Class I

 

 

350,283

 

348,244

 

453

 

 

 

2,039

 

0.7

 
                   
   

Summary of Investments by Country^

Total Long Term Investments

 

United States of America

63.3

%

Bermuda

6.7

 

Cayman Islands

3.9

 

United Kingdom

3.3

 

Germany

1.9

 

Colombia

1.4

 

France

1.2

 

Jersey

1.2

 

Romania

1.1

 

Brazil

0.9

 

Serbia

0.8

 

Argentina

0.8

 

Cote D'Ivoire

0.8

 

Canada

0.7

 

Spain

0.7

 

Netherlands

0.7

 

South Africa

0.6

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

9


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

   

Summary of Investments by Country^

Total Long Term Investments

 

India

0.6

 

Mexico

0.6

 

Dominican Republic

0.6

 

Zambia

0.5

 

Sri Lanka

0.5

 

Nigeria

0.5

 

El Salvador

0.4

 

Angola

0.4

 

Israel

0.4

 

Guatemala

0.4

 

Panama

0.4

 

Italy

0.4

 

Ghana

0.3

 

Kazakhstan

0.3

 

United Arab Emirates

0.3

 

Egypt

0.3

 

Sweden

0.3

 

Ecuador

0.2

 

Norway

0.2

 

Turkey

0.2

 

Bahamas

0.2

 

Multi-National

0.2

 

Macau

0.2

 

Mongolia

0.2

 

Chile

0.2

 

China

0.2

 

Czech Republic

0.2

 

Thailand

0.1

 

Indonesia

0.1

 

Luxembourg

0.1

 

Switzerland

0.1

 

Ireland

0.1

 

Portugal

0.1

 

Peru

0.1

 

Lithuania

0.1

 

Senegal

 

Austria

 
 

100.0

%

^A country table is presented as a percentage of the Fund’s total long term investments because its strategy includes investment in non-U.S. securities as deemed significant by the Fund’s Adviser.

                

Jackson Credit Opportunities Fund — Futures Contracts

Reference Entity

 

Contracts1

 

Expiration

 

Notional1

 

Variation

Margin

Receivable

(Payable) ($)

 

Value/

Unrealized

Appreciation

(Depreciation) ($)

Long Contracts

United States 10 Year Note

 

41

 

June 2024

  

4,511

 

(3)

  

31

 

United States 10 Year Ultra Bond

 

17

 

June 2024

  

1,965

 

  

(16)

 

United States 2 Year Note

 

31

 

July 2024

  

6,343

 

(6)

  

(4)

 

United States 5 Year Note

 

320

 

July 2024

  

34,238

 

(38)

  

7

 
         

(47)

  

18

 

Short Contracts

United States Ultra Bond

 

(26)

 

June 2024

  

(3,273)

 

(12)

  

(81)

 
              
                     

Jackson Credit Opportunities Fund — Forward Foreign Currency Contracts

Purchased/Sold

 

Counterparty

 

Expiration

 

Notional1

 

Value ($)

 

Unrealized

Appreciation

(Depreciation) ($)

EUR/USD

 

GSC

 

04/18/24

 

EUR

7,326

   

7,908

   

(41)

 

EUR/USD

 

SCB

 

04/18/24

 

EUR

24,697

   

26,663

   

(182)

 

EUR/USD

 

SCB

 

04/18/24

 

EUR

3,749

   

4,047

   

24

 

GBP/EUR

 

SSB

 

04/18/24

 

EUR

(2,027)

   

(2,188)

   

6

 

GBP/USD

 

GSC

 

04/18/24

 

GBP

948

   

1,197

   

(3)

 

GBP/USD

 

SCB

 

04/18/24

 

GBP

3,000

   

3,787

   

(7)

 

GBP/USD

 

SCB

 

04/18/24

 

GBP

1,236

   

1,560

   

 

USD/EUR

 

GSC

 

04/18/24

 

EUR

(8,337)

   

(9,000)

   

57

 

USD/EUR

 

SCB

 

04/18/24

 

EUR

(875)

   

(945)

   

(4)

 

USD/EUR

 

SSB

 

04/18/24

 

EUR

(52,585)

   

(56,768)

   

1,030

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

10


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

                      

Jackson Credit Opportunities Fund — Forward Foreign Currency Contracts (continued)

Purchased/Sold

 

Counterparty

 

Expiration

 

Notional1

 

Value ($)

 

Unrealized

Appreciation

(Depreciation) ($)

USD/GBP

 

SSB

 

04/18/24

 

GBP

(11,795)

   

(14,889)

   

134

 
           

(38,628)

   

1,014

 
          

Jackson Credit Opportunities Fund — Restricted Securities

  

Initial Acquisition

 

Cost ($)

 

Value ($)

 

Percent of

Net Assets (%)

 
 

888 Acquisitions Limited, 7.56%, 07/15/27

12/04/23

 

210

 

215

 

0.1

 
 

Abertis Infraestructuras Finance B.V., 3.25% (callable at 100, 11/24/25)

12/04/23

 

309

 

313

 

0.1

 
 

Accor, 7.25% (callable at 100, 01/11/29)

12/05/23

 

230

 

237

 

0.1

 
 

Adani Green Energy Limited, 4.38%, 09/08/24

12/04/23

 

537

 

543

 

0.2

 
 

Allwyn Entertainment Financing (UK) PLC, 7.25%, 04/30/30

12/05/23

 

289

 

293

 

0.1

 
 

Altice Financing S.A., 4.25%, 08/15/29

12/05/23

 

272

 

263

 

0.1

 
 

Angola, Government of, 8.75%, 04/14/32

12/01/23

 

634

 

688

 

0.2

 
 

Angola, Government of, 9.38%, 05/08/48

12/01/23

 

584

 

645

 

0.2

 
 

Ardagh Packaging Finance Public Limited Company, 2.13%, 08/15/26

12/04/23

 

188

 

179

 

0.1

 
 

Avantor, Inc., 3.88%, 07/15/28

12/05/23

 

180

 

181

 

0.1

 
 

Axis Bank Limited, 4.10% (callable at 100, 09/08/26)

01/10/24

 

461

 

464

 

0.1

 
 

B&M European Value Retail S.A., 8.13%, 11/15/30

01/09/24

 

270

 

270

 

0.1

 
 

Banco Davivienda S A, 6.65% (callable at 100, 04/22/31)

12/04/23

 

510

 

528

 

0.2

 
 

Banco Mercantil Del Norte S.A, 6.63% (callable at 100, 01/24/32)

12/04/23

 

659

 

719

 

0.2

 
 

Banijay Entertainment, 7.00%, 05/01/29

12/05/23

 

332

 

339

 

0.1

 
 

Banque Ouest Africaine De Developpement, 4.70%, 10/22/31

12/04/23

 

572

 

596

 

0.2

 
 

Bayer Aktiengesellschaft, 7.00%, 09/25/83

12/04/23

 

109

 

108

 

 
 

BCP V Modular Services Finance II PLC, 4.75%, 11/30/28

12/05/23

 

98

 

101

 

 
 

BCP V Modular Services Finance PLC, 6.75%, 11/30/29

12/04/23

 

174

 

189

 

0.1

 
 

Bellis Acquisition Company PLC, 3.25%, 02/16/26

12/04/23

 

350

 

357

 

0.1

 
 

Benteler International Aktiengesellschaft, 9.38%, 05/15/28

12/04/23

 

114

 

116

 

 
 

BK LC Lux Finco 1 S.a r.l., 5.25%, 04/30/29

12/04/23

 

301

 

301

 

0.1

 
 

Boels Topholding B.V., 6.25%, 02/15/29

12/05/23

 

137

 

139

 

 
 

Braskem Netherlands Finance B.V., 8.50%, 01/12/31

02/14/24

 

295

 

311

 

0.1

 
 

British Telecommunications Public Limited Company, 8.38%, 12/20/83

12/04/23

 

560

 

575

 

0.2

 
 

Ceconomy AG, 1.75%, 06/24/26

12/05/23

 

454

 

511

 

0.2

 
 

CEMEX S.A.B. de C.V., 9.13% (callable at 100, 03/14/28)

12/01/23

 

827

 

857

 

0.3

 
 

Cheplapharm Arzneimittel GmbH, 7.50%, 05/15/30

12/04/23

 

336

 

341

 

0.1

 
 

Cirsa Finance International S.a r.l., 10.38%, 11/30/27

12/04/23

 

522

 

523

 

0.2

 
 

Compania de Minas Buenaventura S.A.A., 5.50%, 07/23/26

12/21/23

 

193

 

192

 

0.1

 
 

Constellation Automotive Financing PLC, 4.88%, 07/15/27

12/04/23

 

103

 

104

 

 
 

Constellium SE, 3.13%, 07/15/29

12/05/23

 

186

 

190

 

0.1

 
 

Co-operative Group Limited, 7.50%, 07/08/26

12/04/23

 

499

 

501

 

0.2

 
 

CPI Property Group, 1.75%, 01/14/30

12/04/23

 

164

 

202

 

0.1

 
 

CPUK Mortgage Finance Limited, 6.50%, 08/28/50

12/05/23

 

484

 

499

 

0.2

 
 

CTEC II GmbH, 5.25%, 02/15/30

03/18/24

 

199

 

195

 

0.1

 
 

Dana Financing Luxembourg S.a r.l., 8.50%, 07/15/31

12/04/23

 

350

 

356

 

0.1

 
 

Deuce Finco PLC, 5.50%, 06/15/27

01/26/24

 

302

 

298

 

0.1

 
 

Diamond Escrow Issuer, LLC, 9.63%, 11/15/28

12/05/23

 

225

 

231

 

0.1

 
 

Douglas GmbH, 6.00%, 04/08/26

12/04/23

 

318

 

328

 

0.1

 
 

EDP - Energias de Portugal, S.A., 5.94%, 04/23/83

12/04/23

 

222

 

225

 

0.1

 
 

Electricite de France, 2.63% (callable at 100, 12/01/27)

12/04/23

 

191

 

194

 

0.1

 
 

Electricite de France, 7.50% (callable at 100, 09/06/28)

12/04/23

 

464

 

467

 

0.1

 
 

Elior Group, 3.75%, 07/15/26

12/04/23

 

146

 

151

 

 
 

Eroski Sociedad Cooperativa, 10.63%, 04/30/29

01/26/24

 

349

 

345

 

0.1

 
 

Fiber Bidco S.P.A., 11.00%, 10/25/27

12/04/23

 

326

 

328

 

0.1

 
 

First Quantum Minerals Ltd, 8.63%, 06/01/31

02/27/24

 

335

 

340

 

0.1

 
 

Food Service Project SL, 5.50%, 01/21/27

12/05/23

 

175

 

175

 

0.1

 
 

Forvia, 7.25%, 06/15/26

12/05/23

 

190

 

190

 

0.1

 
 

Franshion Brilliant Limited, 4.25%, 07/23/29

12/04/23

 

477

 

499

 

0.2

 
 

Galaxy Pipeline Assets Bidco Limited, 2.63%, 03/31/36

12/04/23

 

509

 

512

 

0.2

 
 

Ghana, Government of REMIC, 10.75%, 10/14/30

12/01/23

 

1,038

 

1,102

 

0.4

 
 

Gobierno de la Republica de Guatemala, 7.05%, 10/04/32

12/01/23

 

446

 

466

 

0.1

 
 

Gobierno de la Republica de Guatemala, 6.60%, 06/13/36

12/01/23

 

745

 

785

 

0.3

 
 

Gobierno de la Republica del Ecuador, 3.50%, 07/31/35

12/15/23

 

428

 

651

 

0.2

 
 

Government of Commonwealth of the Bahamas, 6.00%, 11/21/28

12/01/23

 

580

 

601

 

0.2

 
 

Government of the Republic of Serbia, 2.05%, 09/23/36

12/04/23

 

2,566

 

2,698

 

0.9

 
 

Government of the Republic of Zambia, 0.00%, 07/30/27

12/01/23

 

1,131

 

1,374

 

0.4

 
 

Greenko Solar (Mauritius) Limited, 5.95%, 07/29/26

12/04/23

 

547

 

555

 

0.2

 
 

Grifols, S.A., 3.20%, 05/01/25

01/19/24

 

103

 

99

 

 
 

Grupo Antolin-Irausa SA, 3.50%, 04/30/28

12/04/23

 

80

 

87

 

 
 

Grupo Aval Acciones y Valores S.A., 4.38%, 02/04/30

12/20/23

 

254

 

252

 

0.1

 
 

Guala Closures S.p.A., 3.25%, 06/15/28

12/04/23

 

186

 

191

 

0.1

 
 

Heimstaden Bostad AB, 3.63% (callable at 100, 10/13/26)

12/04/23

 

80

 

141

 

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

11


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

          

Jackson Credit Opportunities Fund — Restricted Securities (continued)

  

Initial Acquisition

 

Cost ($)

 

Value ($)

 

Percent of

Net Assets (%)

 
 

Heimstaden Bostad AB, 1.63%, 10/13/31

12/05/23

 

133

 

151

 

 
 

Iceland Bondco PLC, 10.88%, 12/15/27

12/04/23

 

299

 

299

 

0.1

 
 

IHO Verwaltungs GmbH, 8.75%, 05/15/28

12/05/23

 

348

 

350

 

0.1

 
 

IHS Holding Limited, 6.25%, 11/29/28

12/04/23

 

364

 

394

 

0.1

 
 

Iliad Holding, 5.13%, 10/15/26

12/04/23

 

322

 

320

 

0.1

 
 

INEOS Quattro Finance 1 plc, 3.75%, 07/15/26

12/05/23

 

413

 

417

 

0.1

 
 

International Consolidated Airlines Group, S.A., 3.75%, 03/25/29

12/04/23

 

204

 

212

 

0.1

 
 

Iron Mountain Europe Limited, 3.88%, 11/15/25

12/04/23

 

182

 

182

 

0.1

 
 

Italmatch Chemicals S.p.A., 10.00%, 02/06/28

12/04/23

 

173

 

180

 

0.1

 
 

Jaguar Land Rover Automotive PLC, 4.50%, 07/15/28

12/04/23

 

302

 

305

 

0.1

 
 

Joint Stock Company National Company Kazmunaygas, 3.50%, 04/14/33

12/04/23

 

628

 

658

 

0.2

 
 

Kapla Holding, 3.38%, 12/15/26

12/04/23

 

182

 

183

 

0.1

 
 

Lorca Telecom Bondco SA., 4.00%, 09/18/27

12/04/23

 

623

 

629

 

0.2

 
 

Lottomatica S.P.A., 7.13%, 06/01/28

12/04/23

 

173

 

174

 

0.1

 
 

Loxama, 6.38%, 05/31/29

03/18/24

 

113

 

112

 

 
 

MCE Finance Limited, 5.75%, 07/21/28

12/04/23

 

520

 

549

 

0.2

 
 

Medco Bell PTE. LTD., 6.38%, 01/30/27

12/04/23

 

427

 

438

 

0.1

 
 

Miller Homes Group (Finco) PLC, 7.00%, 05/15/29

02/16/24

 

301

 

304

 

0.1

 
 

Minerva Luxembourg S.A., 8.88%, 09/13/33

12/01/23

 

536

 

557

 

0.2

 
 

Mobico Group PLC, 4.25% (callable at 100, 11/26/25)

12/04/23

 

444

 

462

 

0.1

 
 

Motion Finco S.a r.l., 7.38%, 06/15/30

12/04/23

 

270

 

280

 

0.1

 
 

NGG Finance PLC, 5.63%, 06/18/73

12/04/23

 

159

 

160

 

 
 

Nidda Healthcare Holding GmbH, 7.50%, 08/21/26

12/04/23

 

332

 

333

 

0.1

 
 

Nigeria, Federal Government of, 8.75%, 01/21/31

12/01/23

 

492

 

520

 

0.2

 
 

Nigeria, Federal Government of, 8.25%, 09/28/51

03/27/24

 

165

 

164

 

0.1

 
 

Odido Group Holding B.V., 5.50%, 01/15/30

12/06/23

 

128

 

132

 

 
 

People's Government of Inner Mongolia Autonomous Region, 7.88%, 06/05/29

12/06/23

 

512

 

526

 

0.2

 
 

Peu (Fin) PLC, 7.25%, 07/01/28

03/18/24

 

224

 

221

 

0.1

 
 

Picard Groupe, 3.88%, 07/01/26

12/05/23

 

210

 

213

 

0.1

 
 

Pinewood Finco PLC, 3.25%, 09/30/25

12/05/23

 

367

 

372

 

0.1

 
 

Pinnacle Bidco PLC, 10.00%, 10/11/28

12/04/23

 

253

 

263

 

0.1

 
 

Playtech PLC, 5.88%, 06/28/28

12/04/23

 

321

 

320

 

0.1

 
 

PLT VII Finance S.a r.l., 4.63%, 01/05/26

12/04/23

 

176

 

176

 

0.1

 
 

Presidence de la Republique de Cote d'Ivoire, 4.88%, 01/30/32

12/04/23

 

1,177

 

1,243

 

0.4

 
 

Presidence de la Republique de Cote d'Ivoire, 6.63%, 03/22/48

12/04/23

 

1,207

 

1,316

 

0.4

 
 

Presidencia de la Republica de El Salvador, 9.50%, 07/15/52

12/01/23

 

1,315

 

1,361

 

0.4

 
 

Presidencia de la Republica Dominicana, 7.05%, 02/03/31

12/01/23

 

549

 

558

 

0.2

 
 

Presidencia de la Republica Dominicana, 6.85%, 01/27/45

12/01/23

 

1,281

 

1,348

 

0.4

 
 

Primo Water Holdings Inc., 3.88%, 10/31/28

12/04/23

 

170

 

173

 

0.1

 
 

Prosus N.V., 3.83%, 02/08/51

12/04/23

 

475

 

488

 

0.2

 
 

RAC Bond Co PLC, 5.25%, 11/04/27

12/04/23

 

329

 

355

 

0.1

 
 

Rede D'Or Finance, 4.50%, 01/22/30

12/01/23

 

276

 

289

 

0.1

 
 

Romania, Government of, 6.38%, 09/18/33

12/04/23

 

2,615

 

2,734

 

0.9

 
 

Romania, Government of, 3.75%, 02/07/34

12/04/23

 

755

 

795

 

0.3

 
 

Schaeffler AG, 3.38%, 10/12/28

12/06/23

 

104

 

104

 

 
 

Senegal, Government of, 5.38%, 06/08/37

03/20/24

 

157

 

156

 

 
 

Seplat Energy PLC, 7.75%, 04/01/26

12/04/23

 

534

 

563

 

0.2

 
 

SES, 2.88% (callable at 100, 05/27/26)

12/04/23

 

344

 

356

 

0.1

 
 

Shelf Drilling Management Services DMCC, 9.63%, 04/15/29

12/04/23

 

426

 

425

 

0.1

 
 

Sierracol Energy Andina, LLC, 6.00%, 06/15/28

12/04/23

 

453

 

483

 

0.2

 
 

Stonegate Pub Company Financing PLC, 8.25%, 07/31/25

12/04/23

 

218

 

221

 

0.1

 
 

Summer (BC) Holdco B S.a r.l., 5.75%, 10/31/26

12/05/23

 

154

 

158

 

 
 

Summit Properties Limited, 2.00%, 01/31/25

12/04/23

 

288

 

284

 

0.1

 
 

Synthomer PLC, 3.88%, 07/01/25

02/06/24

 

160

 

160

 

 
 

Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26

12/04/23

 

570

 

567

 

0.2

 
 

Telecom Italia SPA, 7.88%, 07/31/28

12/04/23

 

466

 

473

 

0.2

 
 

Telefonica Europe B.V., 6.75% (callable at 100, 06/07/31)

12/04/23

 

336

 

350

 

0.1

 
 

Thaioil Treasury Center Company Limited, 3.75%, 06/18/50

01/31/24

 

437

 

450

 

0.1

 
 

The Arab Republic of Egypt, 8.70%, 03/01/49

12/01/23

 

666

 

935

 

0.3

 
 

The Democratic Socialist Republic of Sri Lanka, 0.00%, 03/14/29

12/01/23

 

1,430

 

1,676

 

0.5

 
 

The Republic of Kazakhstan, Government of, 1.50%, 09/30/34

12/04/23

 

344

 

361

 

0.1

 
 

Titan Holdings II B.V., 5.13%, 07/15/29

12/04/23

 

195

 

200

 

0.1

 
 

TK Elevator Holdco GmbH, 6.63%, 07/15/28

12/06/23

 

272

 

282

 

0.1

 
 

Turkiye Vakiflar Bankasi T.A.O., 9.00%, 10/12/28

12/04/23

 

347

 

358

 

0.1

 
 

TVL Finance PLC, 10.25%, 04/28/28

12/04/23

 

297

 

302

 

0.1

 
 

UGI International, LLC, 2.50%, 12/01/29

12/04/23

 

337

 

351

 

0.1

 
 

United Group B.V., 5.25%, 02/01/30

12/04/23

 

296

 

316

 

0.1

 
 

Vedanta Resources Limited, 13.88%, 12/09/28

12/04/23

 

339

 

421

 

0.1

 
 

Verisure Holding AB, 3.88%, 07/15/26

12/04/23

 

316

 

318

 

0.1

 
 

Verisure Midholding AB, 5.25%, 02/15/29

12/04/23

 

303

 

314

 

0.1

 
 

Vertical Midco GmbH, 4.38%, 07/15/27

12/04/23

 

313

 

311

 

0.1

 
 

Virgin Media Vendor Financing Notes III Designated Activity Company, 4.88%, 07/15/28

12/04/23

 

451

 

452

 

0.1

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

12


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

          

Jackson Credit Opportunities Fund — Restricted Securities (continued)

  

Initial Acquisition

 

Cost ($)

 

Value ($)

 

Percent of

Net Assets (%)

 
 

Vodafone Group Public Limited Company, 3.00%, 08/27/80

12/04/23

 

97

 

100

 

 
 

We Soda Investments Holding PLC, 9.50%, 10/06/28

12/04/23

 

304

 

311

 

0.1

 
 

Wepa Hygieneprodukte GmbH, 2.88%, 12/15/27

12/04/23

 

181

 

179

 

0.1

 
 

Wintershall Dea AG, 3.00% (callable at 100, 07/20/28)

12/04/23

 

284

 

284

 

0.1

 
 

WMG Acquisition Corp., 2.25%, 08/15/31

12/05/23

 

100

 

101

 

 
 

Zenith Finco PLC, 6.50%, 06/30/27

12/04/23

 

341

 

302

 

0.1

 
 

ZF Friedrichshafen AG, 3.75%, 09/21/28

12/04/23

 

415

 

416

 

0.1

 
 

Ziggo Bond Company B.V., 3.38%, 02/28/30

12/04/23

 

352

 

367

 

0.1

 
    

58,177

 

61,049

 

19.9

 

See accompanying Notes to Financial Statements.

Abbreviations, counterparties and additional footnotes are defined on page 14.

13


Jackson Credit Opportunities Fund

Schedule of Investments (in thousands)

March 31, 2024

1 Rounded par and notional amounts are listed in USD unless otherwise noted. Futures are quoted in unrounded number of contracts.

Currency Abbreivations:

EUR - European Currency Unit (Euro)

GBP - British Pound

USD - United States Dollar

Abbreviations:

 

"-" Amount rounds to less than one thousand or 0.05%

CLO - Collateralized Loan Obligation

LLC/L.L.C - Limited Liability Company

PLC/P.L.C. - Public Limited Company

REMIC - Real Estate Mortgage Investment Conduit

SOFR - Secured Overnight Financing Rates

US/U.S. - United States

Counterparty Abbreviations:

 

GSC - Goldman Sachs & Co.

SCB - Standard Chartered Bank

SSB - State Street Brokerage Services, Inc.

See accompanying Notes to Financial Statements.

14


Jackson Credit Opportunities Fund

Statement of Assets and Liabilities (in thousands, except net asset value per share)

March 31, 2024

      

 

 

Jackson Credit Opportunities Fund

 

 

Assets

 

 

 

 

Investments - unaffiliated, at value

$

320,535

 

 

Investments - affiliated, at value

 

2,039

 

 

Forward foreign currency contracts

 

1,251

 

 

Cash

 

972

 

 

Foreign currency

 

470

 

 

Receivable from:

 

 

 

 

 

Investment securities sold

 

3,102

 

 

 

Dividends and interest

 

3,913

 

 

 

Deposits with brokers and counterparties

 

520

 

 

Other assets

 

2

 

 

Total assets

 

332,804

 

 

Liabilities

 

 

 

 

Forward foreign currency contracts

 

237

 

 

Variation margin on futures/futures options contracts

 

59

 

 

Payable for:

 

 

 

 

 

Investment securities purchased

 

18,386

 

 

 

Advisory fees

 

415

 

 

 

Administrative fees

 

65

 

 

 

Dividends

 

6,413

 

 

 

Other expenses

 

1

 

 

Total liabilities

 

25,576

 

 

Net assets

$

307,228

 

 

Net assets consist of:

 

 

 

 

Paid-in capital

$

298,313

 

 

Total distributable earnings (loss)

 

8,915

 

 

Net assets

$

307,228

 

 

Net assets - Class I

$

307,228

 

 

Shares outstanding - Class I

 

29,831

 

 

Net asset value per share - Class I

$

10.30

 

 

Investments - unaffiliated, at cost

$

314,023

 

 

Investments - affiliated, at cost

 

2,039

 

 

Foreign currency cost

 

470

 

 

 

See accompanying Notes to Financial Statements.

15


Jackson Credit Opportunities Fund

Statement of Operations (in thousands)

For the Period Ended March 31, 2024

       

 

 

 

Jackson Credit Opportunities Fund(b)

 

 

Investment income

 

 

 

 

Dividends (a)

$

650

 

 

Foreign taxes withheld

 

(3

)

 

Interest

 

8,238

 

 

Total investment income

 

8,885

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

Advisory fees

 

1,619

 

 

Administrative fees

 

253

 

 

Legal fees

 

1

 

 

Board of trustee fees

 

1

 

 

Other expenses

 

2

 

 

Total expenses

 

1,876

 

 

Net investment income (loss)

 

7,009

 

 

 

 

 

 

 

 

 

Realized and unrealized gain (loss)

 

 

 

 

Net realized gain (loss) on:

 

 

 

 

 

Investments - unaffiliated

 

1,823

 

 

 

Foreign currency

 

(8

)

 

 

Forward foreign currency contracts

 

(669

)

 

 

Futures/futures options contracts

 

(285

)

 

Net change in unrealized appreciation

 

 

 

 

 

(depreciation) on:

 

 

 

 

 

Investments - unaffiliated

 

6,512

 

 

 

Foreign currency

 

(5

)

 

 

Forward foreign currency contracts

 

1,014

 

 

 

Futures/futures options contracts

 

(63

)

 

Net realized and unrealized gain (loss)

 

8,319

 

 

Change in net assets from operations

$

15,328

 

 

(a)

Affiliated income

$

453

 

 

 

  

(b)

Period from commencement of operations December 1, 2023.

See accompanying Notes to Financial Statements.

16


Jackson Credit Opportunities Fund

Statement of Changes in Net Assets (in thousands)

For the Period Ended March 31, 2024

      

 

 

Jackson Credit Opportunities Fund(a)

 

 

Operations

 

 

 

 

Net investment income (loss)

$

7,009

 

 

Net realized gain (loss)

 

861

 

 

Net change in unrealized appreciation

 

 

 

 

 

(depreciation)

 

7,458

 

 

Change in net assets from operations

 

15,328

 

 

Distributions to shareholders

 

 

 

 

From distributable earnings

 

 

 

 

 

Class I

 

(6,413

)

 

Total distributions to shareholders

 

(6,413

)

 

Share transactions1

 

 

 

 

Proceeds from the sale of shares

 

 

 

 

 

Class I

 

298,211

 

 

Reinvestment of distributions

 

 

 

 

 

Class I

 

2

 

 

Change in net assets from

 

 

 

 

 

share transactions

 

298,213

 

 

Change in net assets

 

307,128

 

 

Net assets beginning of period

 

100

 

 

Net assets end of period

$

307,228

 

 

 

 

 

 

 

 

1Share transactions

 

 

 

 

Shares sold

 

 

 

 

 

Class I

 

29,821

 

 

Change in shares

 

 

 

 

 

Class I

 

29,821

 

 

Purchases and sales of long term

 

 

 

 

 

investments

 

 

 

 

Purchase of securities

$

435,700

 

 

Proceeds from sales of securities

$

124,334

 

 

 

  

(a)

Period from commencement of operations December 1, 2023.

See accompanying Notes to Financial Statements.

17


Jackson Credit Opportunities Fund

Financial Highlights

For a Share Outstanding

Net Investment Income (Loss). Net investment income(loss) is calculated using the average shares method.

Total Return. Total return assumes reinvestment of all distributions for the period. Total return is not annualized for periods less than one year.

Income and Expense Ratios. Ratios are annualized for periods less than one year. The annualized expense ratios do not include expenses of any underlying investment companies.

                              

 

 

 

 

Increase (decrease) from
investment operations

 

Distributions from

 

 

 

 

Supplemental data

 

 

 

Ratios

 

 

Period ended

Net asset value, beginning of period($)

Net investment income (loss)($)

Net realized & unrealized gains (losses)($)

Total from investment operations($)

 

Net investment income($)

Net realized gains on investment transactions($)

Net asset value, end of period($)

Total return(%)

Net assets,end of period (in thousands)($)

Portfolio turnover (%)

 

Net expenses to average net assets(%)

Total expenses to average net assets(%)

Net investment income (loss) to average net assets(%)

 

Jackson Credit Opportunities Fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class I

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

03/31/24

(a)

10.00

 

0.23

 

0.28

 

0.51

 

 

(0.21)

 

 

10.30

 

5.16

 

307,228

 

39

 

 

1.86

 

1.86

 

6.93

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

(a)

The Fund commenced operations on December 1, 2023.

See accompanying Notes to Financial Statements.

18


Jackson Credit Opportunities Fund

Notes to Financial Statements

March 31, 2024

NOTE 1. ORGANIZATION

Jackson Credit Opportunities Fund (“Fund”) is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified, closed-end management investment company organized as a Massachusetts business trust on June 8, 2023. The Fund has elected to operate as an interval fund. The Fund engages in a continuous offering of shares and will offer to make quarterly repurchases of shares at net asset value ("NAV"), reduced by any applicable repurchase fee.

Jackson National Asset Management, LLC (“JNAM”, “Adviser” or “Administrator”), an indirect, wholly owned subsidiary of Jackson Financial Inc. (“Jackson”), serves as investment adviser and administrator to the Fund.

Neuberger Berman Investment Advisers LLC ("Sub-Adviser") serves as Sub-Adviser for the Fund.

Pursuant to exemptive relief, the Fund is authorized to offer two share classes, Class A and Class I. As of March 31, 2024, only Class I shares are available for purchase. Class A shares and Class I shares differ primarily due to the Shareholder Servicing Fee attributable to Class A shares. Shareholders bear the common expenses of the Fund and earn income and realized gains/losses from the Fund pro rata based on the average daily net assets of each class. From time to time, the Fund may have significant subscription and redemption activity which, when executed at the NAV rounded to two decimals, can impact the NAV per share of either class and cause a divergence in the NAV between each class. Each share class also has different voting rights on matters affecting a single class. No class has preferential dividend rights.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”).

Security Valuation. Under the Fund's valuation policy and procedures (“Valuation Policies and Procedures”), the Fund’s Board of Trustees ("Board" or "Trustees") has designated to the Adviser the responsibility for carrying out certain functions relating to the valuation of portfolio securities for the purpose of determining the NAV of the Fund. The Adviser has established a Valuation Committee (the “Valuation Committee”) that is charged with the responsibilities set forth in the Valuation Policies and Procedures. The Valuation Committee is responsible for determining fair valuations for any security for which market quotations are not readily available. For those securities fair valued under procedures approved by the Board, the Valuation Committee reviews and affirms the reasonableness of the fair valuation determinations after considering all relevant information that is reasonably available. The Valuation Committee’s fair valuation determinations are subject to review by the Board.

The NAV of the Fund’s shares is generally determined once each day on which the New York Stock Exchange (“NYSE”) is open, at the close of the regular trading session of the NYSE (normally, 4:00 PM Eastern Time, Monday through Friday). The NAV of the Fund’s shares may also not be determined on days designated by the Board or on days designated by the SEC. However, consistent with legal requirements, calculation of the Fund’s NAV may be suspended on days determined by the Board during times of NYSE market closure, which may include times during which the SEC issues policies or protocols associated with such closure pursuant to Section 22(e) of the 1940 Act. In the event that the NYSE is closed unexpectedly or opens for trading but closes earlier than scheduled, the Fund’s Valuation Committee will evaluate if trading activity on other U.S. exchanges and markets for equity securities is considered reflective of normal market activity. To the extent an NYSE closure is determined to be accompanied by a disruption of normal market activity, the Valuation Committee may utilize the time the NYSE closed for purposes of measuring and calculating the Fund's NAV. To the extent an NYSE closure is determined to not have resulted in a disruption of normal market activity, the valuation committee may utilize the time the NYSE was scheduled to close for purposes of measuring and calculating the Fund's NAV.

Equity securities are generally valued at the official closing price of the exchange where the security is principally traded. If there is no official closing price for the security on the valuation date, the security may be valued at the most recent sale or quoted bid price prior to close. Stocks not listed on a national or foreign stock exchange may be valued at the closing bid price on the over the counter (“OTC”) market. Investments in mutual funds are valued at the NAV per share determined as of the close of the NYSE on each valuation date.The Adviser has retained an independent statistical fair value pricing service to assist in the fair valuation process for equities traded in foreign markets in order to adjust for possible changes in value that may occur between the close of the foreign exchange and the time at which the NAVs are determined. When fair valuing foreign equity securities, the Adviser adjusts the closing prices of foreign portfolio equity securities (except foreign equity securities traded in North America and South America) based upon pricing models provided by a third-party vendor in order to reflect the “fair value” of such securities for purposes of determining the Fund's NAV. Foreign equity securities traded in North America and South America may be fair valued utilizing international adjustment factors in response to local market holidays, exchange closures, or other events as deemed necessary in order to reflect the “fair value” of such securities for purposes of determining the Fund's NAV. Debt obligations with remaining maturities of 60 days or less, and that did not receive a price from a third-party pricing service, or it is determined that such valuation from the pricing service does not approximate fair value, may be valued at their amortized cost, unless it is determined that such practice does not approximate fair value. Debt and derivative securities are generally valued by independent pricing services approved by the Board. Pricing services utilized to value debt and derivative instruments may use various pricing techniques which take into account appropriate factors such as: yield; credit quality; coupon rate; maturity; type of issue; trading characteristics; call features; credit ratings; broker quotes; tranche seniority, catastrophe perils and loss estimates, maturity extensions; and other relevant data. Term loans are generally valued at the composite bid prices provided by approved pricing services. Private Investment Funds (Private Funds) are generally valued using the latest NAV reported by the third-party fund manager or General Partner as a practical expedient to estimate the fair value of such interests. Private debt is generally fair valued according to procedures approved by the Board, which take into account factors such as the size of the holding, the nature and duration of the securities and the volume and depth of trading, among others. Futures contracts traded on an exchange are generally valued at the exchange’s settlement price. If the settlement price is not available, exchange traded futures are valued at the last sales price as of the close of business on the primary exchange. Options traded on an exchange are generally valued

19


Jackson Credit Opportunities Fund

Notes to Financial Statements

March 31, 2024

at the last traded price as of the close of business on the local exchange. If the last trade is determined to not be representative of fair value, exchange traded options are valued at the current day’s mid-price. Forward foreign currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE. If pricing services are unable to provide valuations, OTC derivatives are valued at the most recent bid quotation or evaluated price, as applicable, obtained from a broker/dealer or by pricing models using observable inputs. Swap agreements that clear on exchanges are valued at the most recent bid quotation or evaluated price, as applicable, obtained from pricing models or by the clearing exchange using observable inputs.

Market quotations may not be readily available for certain investments or it may be determined that a quotation of an investment does not represent fair value. In such instances, the investment is valued as determined in good faith using procedures approved by the Board. Situations that may require an investment to be fair valued may include instances where a security is thinly traded, halted or restricted as to resale. In addition, investments may be fair valued based on the occurrence of a significant event. Significant events may be specific to a particular issuer, such as mergers, restructurings or defaults. Alternatively, significant events may affect an entire market, such as natural disasters, government actions, and significant changes in the value of U.S. securities markets. Securities are fair valued based on observable and unobservable inputs, including the Adviser’s or Valuation Committee’s own assumptions in determining the fair value of an investment. Under the procedures approved by the Board, the Adviser may utilize pricing services or other sources, including the Fund’s Sub-Adviser, to assist in determining the fair value of an investment. Factors considered to determine fair value may include fundamental analytical data relating to the security; the nature and duration of restrictions, if any, on the disposition of the security; trading volume on markets, exchanges, or among dealers; evaluation of the forces which influence the market in which the security is traded; the type of security; the financial statements of the issuer, or other financial information about the issuer; the cost of the security at its date of purchase; the size of the Fund’s holding; the discount from market value of unrestricted securities of the same class, if applicable, at the time of purchase or at a later date; reports prepared by analysts; information as to any transactions in or offers for the security; the existence of any merger proposal, tender offer or other extraordinary event relating to the security; the price and extent of public or dealer trading in similar securities or derivatives of the issuer or of comparable companies; trading in depositary receipts; foreign currency exchange activity; changes in the interest rate environment; trading prices of financial products that are tied to baskets of foreign securities; and any other matters considered relevant.

If an investment is valued at a fair value for purposes of calculating the Fund’s NAV, the value may be different from the last quoted price for the investment depending on the source and method used to determine the value. Although there can be no assurance, in general, the fair value of the investment is the amount the owner of such investment might reasonably expect to receive in an orderly transaction between market participants upon its current sale.

Distributions to Shareholders. The Fund intends to qualify as and be eligible to be treated each year as a Regulated Investment Company (“RIC”) under the Internal Revenue Code of 1986, as amended (the “Code”). The Fund intends to distribute at least 90% of the sum of its investment company taxable income (as the term is defined in the Code) and any net tax-exempt interest income for such year. Dividends from net investment income are accrued daily and paid quarterly. Distributions of net realized capital gains, if any, are distributed at least annually, to the extent they exceed available capital loss carryforwards. Nevertheless, there can be no assurance that the Fund will pay distributions to Shareholders at any particular rate or at all. Each year, a statement on Internal Revenue Service (“IRS”) Form 1099-DIV identifying the amount and character of the Fund’s distributions will be mailed to Shareholders.

Other Service Providers. State Street Bank and Trust Company (“State Street” or "Custodian") acts as custodian and securities lending agent for the Fund. The Custodian has custody of all securities and cash of the Fund maintained in the United States and attends to the collection of principal and income and payment for and collection of proceeds of securities bought and sold by the Fund.

The Fund has entered into a Transfer Agency Agreement with UMB Fund Services, Inc. UMB Fund Services, Inc. is the transfer agent and dividend disbursing agent of all shares.

Security Transactions and Investment Income. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses are determined on the specific identification basis. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date.

Corporate actions involving foreign securities, including dividends, are recorded when the information becomes available. Income received in lieu of dividends for securities loaned is included in Dividends in the Statement of Operations. Interest income, including effective-yield amortization of discounts and premiums on debt securities and convertible bonds, is accrued daily. The Fund may place a debt obligation on non-accrual status and reduce related interest income, and value, by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Distributions from Private Funds that represent returns of capital in excess of cumulative profits and losses are credited to cost of investments rather than investment income.

Expenses. Expenses are recorded on an accrual basis. Expenses of the Fund are allocated to the classes based on the average daily net assets of each class. Expenses attributable to a specific class of shares are charged to that class.

Foreign Taxes. The Fund may be subject to foreign taxes on income, gains on investments or foreign currency purchases and repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon the current interpretations of tax rules and regulations that exist in the markets in which the Fund invests. When a capital gains tax is determined to apply, the Fund will record an estimated tax liability in an amount that may be payable if the securities were disposed of on the valuation date.

Foreign Currency Translations. The accounting records of the Fund are maintained in U.S. dollars. Each business day, the fair values of foreign securities, currency holdings and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars based on current exchange

20


Jackson Credit Opportunities Fund

Notes to Financial Statements

March 31, 2024

rates. Purchases and sales of investment securities, income receipts and expense payments are translated into U.S. dollars based on the respective exchange rates prevailing on the dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of foreign securities. Such fluctuations are included in Net realized gain (loss) on Investments - unaffiliated and Net change in unrealized appreciation (depreciation) on Investments - unaffiliated, respectively, in the Statement of Operations.

Net realized gains and losses on foreign currency related items are considered ordinary income for tax purposes and arise from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar amounts actually received or paid; and the realized gains or losses resulting from portfolio and transaction hedges. Net unrealized gain or loss on foreign currency related items include gains and losses from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in currency exchange rates.

Guarantees and Indemnifications. In the normal course of business, the Fund may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. Under the Fund’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. However, since the commencement of operations, the Fund has not had claims or losses pursuant to its contracts and expects the risk of loss to be remote. The Fund's maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined and the Fund has no historical basis for predicting the likelihood of any such claims.

Use of Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Recent Accounting Pronouncements. In March 2020, FASB issued Accounting Standards Update (“ASU”) 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The guidance provides optional expedients and exceptions for applying GAAP to contract modifications and hedging relationships, subject to meeting certain criteria, that reference the London Interbank Offered Rate (LIBOR) or another reference rate expected to be discontinued due to reference rate reform. The amendments in this update are elective and may be applied through December 31, 2024. Management has evaluated the amendments and determined that they will not have a significant impact on the Fund's financial statements.

In June 2022, FASB issued ASU 2022-03, Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. The amendments in the ASU clarify guidance in Topic 820 when measuring the fair value of equity securities subject to contractual restrictions prohibiting their sale and introduce new disclosure requirements for these securities. The amendments in this update are effective for fiscal years beginning after December 15, 2023. Management has evaluated the amendments and determined that they will not have a significant impact on the Fund's financial statements.

NOTE 3. FAIR VALUE MEASUREMENT

FASB ASC Topic 820 establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. Various inputs are used in determining the value of the Fund’s investments under this guidance. The inputs are summarized into three broad categories:

Level 1 includes valuations based on quoted prices of identical securities in active markets, including valuations for securities listed on national or foreign stock exchanges, futures and options contracts listed on derivatives exchanges or investments in mutual funds.

Level 2 includes valuations determined from significant direct or indirect observable inputs. Direct observable inputs include broker quotes, third-party prices, closing prices of similar securities in active markets, closing prices for identical or similar securities in non-active markets or corporate action or reorganization entitlement values. Indirect significant observable inputs include factors such as interest rates, yield curves, prepayment speeds or credit ratings. Level 2 includes valuations for fixed income securities, including certain term loans, OTC derivatives, centrally cleared swap agreements, broker quotes in active markets, securities subject to corporate actions, securities valued at amortized cost, international equity securities priced by an independent statistical fair value pricing service, swap agreements valued by pricing services, ADRs and GDRs for which quoted prices in active markets are not available or securities limited by foreign ownership.

Level 3 includes valuations determined from significant unobservable inputs including the Adviser's own assumptions in determining the fair value of the investment. Inputs used to determine the fair value of Level 3 securities include security specific inputs such as: credit quality, credit rating spreads, issuer news, trading characteristics, call features, maturity or anticipated cash flows; tranche seniority, catastrophe perils and loss estimates, maturity extensions; or industry specific inputs such as: trading activity of similar markets or securities, changes in the security’s underlying index or changes in comparable securities’ models. Level 3 valuations include securities, currency exchange rates and forward foreign currency contracts where forward rates are not available; term loans that do not meet certain liquidity thresholds; securities where prices may be unavailable due to halted trading, restricted to resale due to market events, or newly issued; private placements; or investments for which reliable quotes are otherwise not available.

Inputs used in the determination of the fair value level of Level 3 securities, which were deemed to be material, are disclosed within the notes below and are not necessarily an indication of the risk associated with investing in those securities.

21


Jackson Credit Opportunities Fund

Notes to Financial Statements

March 31, 2024

The following table summarizes the Fund’s investments in securities and other financial instruments (in thousands) as of March 31, 2024 by valuation level.

         
 

. Level 1 ($) .

 

. Level 2 ($) .

 

. Level 3 ($) .

 

. Total ($) .

 

Jackson Credit Opportunities Fund

Assets - Securities

        

Senior Floating Rate Instruments

 

96,176

 

8,739

 

104,915

 

Corporate Bonds And Notes

 

102,756

 

 

102,756

 

Government And Agency Obligations

 

41,746

 

 

41,746

 

Non-U.S. Government Agency Asset-Backed Securities

 

37,820

 

 

37,820

 

Catastrophe Bonds

 

33,298

 

 

33,298

 

Short Term Investments

2,039

 

 

 

2,039

 
 

2,039

 

311,796

 

8,739

 

322,574

 

Assets - Investments in Other Financial Instruments1

        

Futures Contracts

38

 

 

 

38

 

Open Forward Foreign Currency Contracts

 

1,251

 

 

1,251

 
 

38

 

1,251

 

 

1,289

 

Liabilities - Investments in Other Financial Instruments1

        

Futures Contracts

(101

)

 

 

(101

)

Open Forward Foreign Currency Contracts

 

(237

)

 

(237

)

 

(101

)

(237

)

 

(338

)

1 All derivatives are reflected at the unrealized appreciation (depreciation) on the instrument.

The following table is a rollforward of individually significant securities Level 3 valuations (in thousands) and transfers by category for which significant unobservable inputs were used to determine fair value during the period ended March 31, 2024:

                          
  

Balance at Beginning of Period ($)

Transfers into Level 3 During the Period1 ($)

Transfers out of Level 3 During the Period1 ($)

Total Realized and Change in Unrealized Gain/(Loss) ($)

Purchases ($)

(Sales) ($)

Balance at End of

Period ($)

Net Change in Unrealized Appreciation/

(Depreciation) on Investments Held at End of Period2 ($)

 

Jackson Credit Opportunities Fund

                   
 

Senior Floating Rate Instruments

 

  

  

  

73

  

8,712

  

(46)

  

8,739

  

73

                         

1 During the Period, there were no significant transfers from Level 3 and Level 2 valuations.

2 Reflects the change in unrealized appreciation/(depreciation) for Level 3 investments held at March 31, 2024.

The table below provides additional information about the Level 3 Fair Value Measurements as of March 31, 2024. 

     

Asset Class

Fair Value ($)

Valuation Technique

Unobservable Input

Range (Weighted Average†)

Senior Floating Rate Instruments

930

Market Approach 

Bid Price

93 (93)

Senior Floating Rate Instruments

2,475

Market Approach

Bid Price

99 (99)

Senior Floating Rate Instruments

1,997

Market Approach 

Bid Price

99.88 (99.88)

Senior Floating Rate Instruments

395

Market Approach

Bid Price

99.5 (99.5)

Senior Floating Rate Instruments

1,992

Market Approach

Bid Price

99.63 (99.63)

Senior Floating Rate Instruments

950

Market Approach

Bid Price

95 (95)

 

8,739

   

Unobservable inputs were weighted by the relative fair value of the instruments.

Significant changes in unobservable valuation inputs to a different amount might result in a significantly higher or lower fair value measurement than the one used in a security’s valuation.

NOTE 4. SECURITIES AND OTHER INVESTMENTS

Unregistered Securities. The Fund may own certain investment securities that are unregistered and thus restricted to resale. These securities may also be referred to as “private placements”. Unregistered securities may be classified as “illiquid” because there is no readily available market for sale of the securities. Where future dispositions of the securities require registration under the Securities Act of 1933, as amended, the Fund has the right to include those securities in such registration generally without cost to the Fund. The Fund has no right to require registration of unregistered securities.

Senior and Junior Loans. The Fund may invest in Senior loans or secured and unsecured subordinated loans, second lien loans and subordinated bridge loans (“Junior loans”) which are purchased or sold on a when-issued or delayed-delivery basis and may be settled a month or more after the trade date. Interest income on these loans is accrued based on the terms of the securities. Senior and Junior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan.

NOTE 5. PRINCIPAL RISKS

Unlisted Closed-End Structure and Liquidity Limited to Quarterly Repurchases of Shares Risk. The Fund has been organized as a non-diversified, closed-end management investment company. Closed-end funds differ from open-end management investment companies in that investors in a closed-end fund do not have the right to redeem their shares on a daily basis. Unlike most closed-end funds, which typically list their shares on a

22


Jackson Credit Opportunities Fund

Notes to Financial Statements

March 31, 2024

securities exchange, the Fund does not intend to list the shares for trading on any securities exchange, and the Fund does not expect any secondary market to develop for the shares. The Fund will offer only a limited degree of liquidity by conducting quarterly repurchase offers, which are generally expected to be for 5% of the Fund’s outstanding shares. There is no assurance that the Fund will repurchase shares in the amount desired. In addition, with very limited exceptions, shares are not transferable, and liquidity will be provided only through repurchase offers made quarterly by the Fund. Shares are considerably less liquid than shares of funds that trade on a stock exchange or shares of open-end registered investment companies.

There will be a substantial period of time between the date as of which shareholders must submit a request to have their shares repurchased and the date they can expect to receive payment for their shares from the Fund. Shareholders whose shares are accepted for repurchase bear the risk that the Fund’s net asset value may fluctuate significantly between the time that they submit their repurchase requests and the date as of which such shares are valued for purposes of such repurchase.

Repurchase Offers Risk. The Fund currently expects to conduct quarterly repurchase offers for no less than 5% of its outstanding shares. Substantial requests for the Fund to repurchase shares could require the Fund to liquidate certain of its investments more rapidly than otherwise desirable. In the event that a repurchase offer is oversubscribed, the Fund will repurchase tendered shares on a pro rata basis. Shareholders may be unable to liquidate all or a given percentage of their investment in the Fund during a particular repurchase offer.

Credit and Counterparty Risk. In the normal course of business, the Fund trades financial instruments and enters into financial transactions where the risk of potential loss exists due to failure of the other party to a transaction to perform (“credit risk”). Bonds and other debt securities are subject to credit risk, which is the possibility that the credit strength of an issuer will weaken and/or an issuer of a debt security will fail to make timely payments of principal or interest and the security will go into default. Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled, or open transactions will default. Financial assets, which potentially expose the Fund to credit risk, consist principally of investments and cash due from counterparties (“counterparty risk”). The extent of the Fund's exposure to credit and counterparty risks in respect to these financial assets is incorporated within its carrying value as recorded in the Fund's Statement of Assets and Liabilities. For certain derivative contracts (including futures and certain swaps), the potential loss could exceed the value of the financial assets recorded in the financial statements for the Fund.

Interest Rate Risk. When interest rates increase, fixed-income securities generally will decline in value. A wide variety of factors can cause interest rates to rise such as central bank monetary policies, inflation rates and general economic conditions. Fixed-income securities with longer durations tend to be more sensitive to changes in interest rates than those with shorter durations. Recently, there have been inflationary price movements, which have caused the fixed income securities markets to experience heightened levels of interest rate volatility and liquidity risk.

Senior and Junior Loan Risk. When the Fund invests in a loan or participation, the Fund is subject to the risk that an intermediate participant between the Fund and the borrower will fail to meet its obligations to the Fund, in addition to the risk that the borrower under the loan may default on its obligations. Senior and Junior loans typically are of below investment grade quality and have below investment grade credit ratings, which ratings are associated with securities having high risk and speculative characteristics. The Fund is also subject to the risk that the agent bank administering the loan may fail to meet its obligations.

Inflation Risk. Inflation risk is the risk that the value of assets or income from investments will be worth less in the future as inflation decreases the value of money. As inflation increases, the real value of the Fund’s shares and distributions thereon can decline. Inflation risk is linked to increases in the prices of goods and services and a decrease in the purchasing power of money. Recently, inflation has risen at its highest rate in four decades in the U.S. Inflation may reduce the intrinsic value of an investment in the Fund.

Catastrophe Bonds Risk. A Catastrophe ("CAT") Bond is a form of insurance-linked security that is sold in the capital markets. An investment in CAT Bonds is subject to special risks, including limited resources of issuers, regulation, subordination and lower or no credit rating. CAT Bonds are a way for insurers, reinsurers, corporations and government entities that have risks associated with natural catastrophe events and disasters to transfer those risks to the capital market in securities format.

Liquidity and Valuation Risk. The securities in which the Fund invests will often be illiquid and may include other funds that will typically hold one or just a few investments. Valuations reported by other fund managers, which will form the basis for the Fund’s NAV, may be subject to later adjustment or revision. Valuations of Private Funds are inherently uncertain, may fluctuate over short periods of time, and may be based on estimates. The Adviser has engaged the services of a third-party pricing service to assist its valuations of Fund investments in certain circumstances.

Convertible Securities Risk. A convertible security tends to perform more like a stock when the underlying stock price is high and more like a debt security when the underlying stock price is low. A convertible security is not as sensitive to interest rate changes as a similar non-convertible debt security, and generally has less potential for gain or loss than the underlying stock.

Market and Volatility Risk. In the normal course of business, the Fund trades financial instruments and enters into financial transactions where the risk of potential loss exists due to changes in the market (“market risk”). Additionally, prices of financial instruments may fluctuate over short periods or extended periods of time in response to company, market, economic or political news (“volatility risk”). Equity securities generally have more price volatility than fixed-income securities, and long term fixed-income securities normally have more price volatility than short term fixed-income securities. The Fund may invest in derivatives to hedge the Fund's portfolio as well as for investment purposes which may increase volatility. Volatility may cause the Fund's NAV to experience significant appreciation or depreciation in value over short periods of time.

Foreign Securities Risk. Investments in, or exposure to, foreign securities involve risks not typically associated with U.S. investments. These risks include, among others, adverse fluctuations in foreign currency values, possible imposition of foreign withholding or other taxes on income payable on the

23


Jackson Credit Opportunities Fund

Notes to Financial Statements

March 31, 2024

securities, as well as adverse political, social and economic developments, such as political upheaval, acts of terrorism, financial troubles, sanctions or the threat of new or modified sanctions, or natural disasters. Many foreign securities markets, especially those in emerging market countries, are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the costs of trading in those markets is often higher than in U.S. securities markets. There may also be less publicly available information about issuers of foreign securities compared to issuers of U.S. securities. In addition, the economies of certain foreign markets may not compare favorably with the economy of the United States with respect to issues such as growth of gross national product, reinvestment of capital, resources and balance of payments position.

Emerging Market Securities Risk. Investing in securities of emerging market countries generally involves greater risk than investing in foreign securities in developed markets. Emerging market countries typically have economic and political systems that are less fully developed and are likely to be less stable than those in more advanced countries. These risks include the potential for government intervention, adverse changes in earnings and business prospects, liquidity, credit and currency risks, and price volatility. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the SEC, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.

Investments in Other Companies Risk. Investments in other investment companies, including exchange-traded funds, are subject to market risk. In addition, if the Fund acquires shares of investment companies, including ones affiliated with the Fund, shareholders bear both their proportionate share of expenses in the Fund (including management and advisory fees) and, indirectly, the expenses of the investment companies in which the Fund invests. To the extent that shares of the Fund are held by an affiliated fund, the ability of the Fund itself to invest in other investment companies may be limited.

Cybersecurity Risk. Cyber-attacks could disrupt daily operations related to trading and portfolio management. In addition, technology disruptions and cyber-attacks may impact the operations or securities prices of an issuer or a group of issuers, and thus may have an adverse impact on the value of the Fund’s investments. Cyber-attacks on the Fund and service providers could cause business failures or delays in daily processing and the Fund may need to delay transactions, consistent with regulatory requirements, as a result and could impact the performance of the Fund.

Leverage Risk. The Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Fund may purchase for investment. Taking short positions may involve leverage of the Fund’s assets. If the value of the underlying instrument or market in which the Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited.

Private Funds Risk. The Private Funds will not be subject to the 1940 Act, nor will they be publicly traded. As a result, the Fund’s investments in the Private Funds will not be subject to the protections afforded to shareholders under the 1940 Act. By investing in the Private Funds indirectly through the Fund, a shareholder bears two layers of asset-based fees and expenses – at the Fund level and the Private Fund level – in addition to indirectly bearing any performance fees charged by the Private Fund. Given the limited liquidity of the Private Funds, the Fund may not be able to alter its portfolio allocation in sufficient time to respond to any such changes, resulting in substantial losses from risks of Private Funds.

Currency Risk. Investing directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, involves the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time or currencies may become illiquid for a number of reasons, including changes in interest rates, general economics of a country, actions (or inaction) of the U.S. Government or banks, foreign governments, central banks or supranational entities such as the International Monetary Fund, or the imposition of currency controls or other political developments in the U.S. or abroad.

NOTE 6. INVESTMENT TRANSACTION AGREEMENTS AND COLLATERAL

Under various agreements, certain investment transactions require collateral to be pledged to or from the Fund and a counterparty or segregated at the custodian and the collateral is managed pursuant to the terms of the agreement. U.S. Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other forms of high quality or sovereign securities may be used. Securities held by the Fund that are used as collateral are identified as such within the Schedule of Investments.

Master Netting Agreements (“Master Agreements”). The Fund is subject to various Master Agreements, which govern the terms of certain transactions and mitigate the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Because different types of financial transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, potentially resulting in the need for multiple agreements with a single counterparty. The Fund may net exposure and collateralize multiple transaction types governed by the same Master Agreement with the same counterparty and may close out and net its total exposure to a counterparty in the event of a default and/or termination event with respect to all the transactions governed under a single agreement with a counterparty. Each Master Agreement defines whether the Fund is contractually able to net settle daily payments. Additionally, certain circumstances, such as laws of a particular jurisdiction or settlement of amounts due in different currencies, may prohibit or restrict the right of offset as defined in the Master Agreements.

Master Agreements also help limit credit and counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral) governed under the relevant master agreement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Agreement. The Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to

24


Jackson Credit Opportunities Fund

Notes to Financial Statements

March 31, 2024

the relevant Master Agreement. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Fund's Sub-Adviser attempts to limit counterparty risk by only entering into Master Agreements with counterparties that the Sub-Adviser believes to have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Customer Account Agreements. Customer Account Agreements and related addendums govern exchange traded or centrally cleared derivative transactions such as futures, options on futures and centrally cleared derivatives. If the Fund transacts in exchange traded or centrally cleared derivatives, the Sub-Adviser is a party to agreements with (1) a Futures Commissions Merchant (“FCM”) in which the FCM facilitates the execution of the exchange traded and centrally cleared derivative with the DCO and (2) with an executing broker/swap dealer to agree to the terms of the swap and resolution process in the event the centrally cleared swap is not accepted for clearing by the designated DCO. Exchange traded and centrally cleared derivatives transactions require posting an amount of cash or cash equivalents equal to a certain percentage of the contract amount known as the “initial margin” as determined by each relevant clearing agency and is segregated at an FCM which is registered with the Commodity Futures Trading Commission (“CFTC”) or the applicable regulator. The Fund receives from, or pays to, the counterparty an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments are known as the “variation margin”. For certain exchanges or DCOs, variation margin may include more than one day’s fluctuation in the value of the contracts. Variation margin on the Statement of Assets and Liabilities may include variation margin on closed unsettled derivative transactions. Variation margin received may not be netted between exchange traded and centrally cleared derivatives. In the event of default, counterparty risk is significantly reduced as creditors to the FCM do not have claim to the Fund’s assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk.

International Swaps and Derivatives Association Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”). ISDA Master Agreements govern OTC financial derivative transactions entered into by the Fund’s Sub-Adviser and select counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, events of default, termination and maintenance of collateral. Termination includes conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to early termination could be material to the financial statements. In the event of default, the total financial derivative value exposure will be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty. The amount of collateral exchanged is based on provisions within the ISDA Master Agreements and is determined by the net exposure with the counterparty and is not identified for a specific OTC derivative instrument.

NOTE 7. DERIVATIVE FINANCIAL INSTRUMENTS

Futures Contracts. A futures contract is a standardized contract obligating two parties to exchange a specified asset at an agreed upon price and date. Variation margin is recorded by the Fund until the contracts are terminated at which time realized gains and losses are recognized. Futures contracts involve to varying degrees, risk of loss in excess of the variation margin recorded by the Fund. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in value of the securities held by the Fund or the change in the value of an underlying entity and the prices of the futures contracts and the possibility the Fund may not be able to enter into a closing transaction because of an illiquid market. With futures, counterparty risk to the Fund is reduced because futures contracts are exchange traded and the exchange’s clearinghouse, acting as counterparty to all exchange traded futures, guarantees the futures contracts against default.

Forward Foreign Currency Contracts. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of the Fund’s investment securities, but it does establish a fixed rate of currency exchange that can be achieved in the future. The value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss and as a receivable or payable from forward foreign currency contracts. Upon settlement, or delivery or receipt of the currency, a realized gain or loss is recorded which is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Forward foreign currency contracts involve market risk in excess of the receivable or payable related to forward foreign currency contracts recorded by the Fund. Although contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. Additionally, the Fund could be exposed to the risk of a previously hedged position becoming unhedged if the counterparty to a contract is unable to meet the terms of the contract or if the currency changes unfavorably to the value of the offsetting currency.

Derivatives and Hedging and Financial Instruments Eligible for Offset. FASB ASC Topic 815 includes the requirement for enhanced qualitative disclosures about objectives and strategies for using derivative instruments and disclosures regarding credit related contingent features in derivative instruments, as well as quantitative disclosures in the semi-annual and annual financial statements about fair value, gains and losses, and volume of activity for derivative instruments. Information about these instruments is disclosed in the context of each instrument’s primary underlying risk exposure which is categorized as credit, commodity, equity price, interest rate and foreign currency exchange rate risk. The following disclosures include: (1) Objectives and strategies for the Fund’s derivative investments during the period; (2) A summary table (in thousands) of the fair valuations of the Fund’s derivative instruments categorized by risk exposure, which references the location on the Statement of Assets and Liabilities and the realized and unrealized gain or loss on the Statement of Operations for each derivative instrument as of March 31, 2024; (3) A summary table (in thousands) of derivative instruments and certain investments of the Fund, which are subject to master netting agreements or a similar agreement and are eligible for offset in the Statement of Assets and Liabilities as of March 31, 2024; and (4) A table reflecting the Fund’s average monthly derivative volume (in thousands) for the period ended March 31, 2024.

25


Jackson Credit Opportunities Fund

Notes to Financial Statements

March 31, 2024

Jackson Credit Opportunities Fund Derivative Strategies - The Fund entered into futures contracts as a means of risk management/hedging and as an efficient means of obtaining exposure to certain markets as part of its investments strategy. The Fund entered into foreign currency contracts as a means of risk management/hedging.

              

Jackson Credit Opportunities Fund - Derivative Instruments Categorized by Risk Exposure

 

 

 

Commodity($)

 

Credit($)

 

Equity($)

 

Foreign Exchange($)

 

Interest Rate($)

 

Total($)

 

Fair values of derivative instruments on the Statement of Assets and Liabilities as of March 31, 2024

 

Derivative instruments assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward foreign currency contracts

 

 

 

1,251

 

 

1,251

 

Total derivative instruments assets

 

 

 

1,251

 

 

1,251

 

Derivative instruments liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward foreign currency contracts

 

 

 

237

 

 

237

 

 

Variation margin on futures/futures options contracts

 

 

 

 

59

 

59

 

Total derivative instruments liabilities

 

 

 

237

 

59

 

296

 

The effect of derivative instruments on the Statement of Operations for the period ended March 31, 2024

 

Net realized gain (loss) on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward foreign currency contracts

 

 

 

(669

)

 

(669

)

 

Futures/futures options contracts

 

 

 

 

(285

)

(285

)

Net change in unrealized appreciation (depreciation) on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward foreign currency contracts

 

 

 

1,014

 

 

1,014

 

 

Futures/futures options contracts

 

 

 

 

(63

)

(63

)


Jackson Credit Opportunities Fund – Derivative and Financial Instruments Eligible for Offset

             
 

Gross Amount Presented in the Statement of

       

Total Collateral 5

 
 

Assets and Liabilities1($)

 

Financial Instruments2($)

 

Collateral3($)

 

Net Amount4($)

 

Cash($)

 

Security($)

 

Derivative Assets by Counterparty*

GSC

57

 

(44

)

 

13

 

 

 

SCB

24

 

(24

)

 

 

 

 

SSB

1,170

 

 

 

1,170

 

 

 

Derivatives eligible for offset

1,251

 

(68

)

 

1,183

     

Derivatives not eligible for offset

       

 

 
 

1,251

           

Derivative Liabilities by Counterparty*

GSC

44

 

(44

)

 

 

 

 

SCB

193

 

(24

)

 

169

 

 

 

Derivatives eligible for offset

237

 

(68

)

 

169

     

Derivatives not eligible for offset

59

       

520

 

 
 

296

           

Jackson Credit Opportunities Fund – Average Derivative Volume6

        

 

 

 

Notional Value at Purchase of Futures Contracts ($)

 

Cost of Forward Foreign Currency Contracts ($)

 

 

Average monthly volume

 

31,134

 

96,031

 

 

1 Amounts eligible for offset are presented on a gross basis in the Statement of Assets and Liabilities.

2 Financial instruments eligible for offset, but not offset in the Statement of Assets and Liabilities.

3 Cash and security collateral not offset in the Statement of Assets and Liabilities. For derivative assets and liabilities, amounts do not reflect over-collateralization.

4 For assets, net amount represents the amount payable by the counterparty to the Fund in the event of default. For liabilities, net amount represents the amount payable by the Fund to the counterparty in the event of default.

5 Cash and security collateral pledged or segregated for derivative investments. For assets, amount reflects collateral received from or segregated by the counterparty. For liabilities, amount reflects collateral pledged or segregated by the Fund. Collateral for derivatives not eligible for offset includes amounts pledged for margin purposes.

6 The derivative instruments outstanding as of March 31, 2024, as disclosed in the Schedule of Investments and the amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period ended March 31, 2024, as disclosed in the Statement of Operations, also serve as indicators of the derivative volume for the Fund.

* Counterparties are defined on page 14 in the Schedule of Investments.

NOTE 8. INVESTMENT ADVISORY FEES AND TRANSACTIONS WITH AFFILIATES

Advisory Fees. The Fund has entered into an Investment Advisory and Management Agreement (“Investment Management Agreement”) with JNAM. Subject to the oversight of the Fund’s Board of Trustees, JNAM provides investment management services. Pursuant to the Investment Management Agreement, JNAM will receive an annual fee, accrued daily and payable monthly, at an annual rate of 1.60% on net assets between $0 - $1 billion and 1.55% on net assets over $1 billion.

26


Jackson Credit Opportunities Fund

Notes to Financial Statements

March 31, 2024

Administrative Fee. JNAM also serves as the Administrator to the Fund. JNAM provides or procures most of the necessary administrative functions and services for the operations of the Fund. The Fund pays JNAM an annual fee, accrued daily and paid monthly, at an annual rate of 0.25% on net assets between $0 - $3 billion and 0.22% on net assets over $3 billion. In accordance with the administration agreement, JNAM, at its own expense, arranges for legal, audit, fund accounting, transfer agency, custody (except overdraft and interest expense), printing and mailing, a portion of the Chief Compliance Officer costs, and other services necessary for the operation of the Fund. The Fund is responsible for trading expenses including brokerage commissions, interest and taxes, other non-operating expenses, licensing costs, directors and officers insurance, the fees and expenses of the disinterested Trustees (“Independent Trustees”) and independent legal counsel to the Independent Trustees, a portion of the costs associated with the Chief Compliance Officer, and other services necessary for the operation of the Fund, except those specifically allocated to the Administrator under the administration agreement.

Distribution Agreement. Jackson National Life Distributors LLC (the “Distributor”), an affiliate of the Adviser, serves as distributor of the Fund’s shares on a best-efforts basis pursuant to a distribution agreement (the “Distribution Agreement”) between the Fund and the Distributor.

Deferred Compensation Plan. The Fund adopted a Deferred Compensation Plan whereby an Independent Trustee may defer the receipt of all or a portion of their compensation. These deferred amounts, which remain as liabilities of the Fund, are treated as if invested and reinvested in shares of one or more funds at the discretion of the applicable Independent Trustee. These amounts represent general, unsecured liabilities of the Fund and vary according to the total returns of the selected funds. Liabilities related to deferred balances are included in Payable for Board of trustees fees in the Statement of Assets and Liabilities. Increases or decreases related to the changes in value of deferred balances are included in Board of trustees fees set forth in the Statement of Operations.

NOTE 9. REPURCHASE OFFERS

The Fund is a closed-end interval fund and, in order to provide liquidity to Shareholders, the Fund, subject to applicable law, will conduct quarterly repurchase offers of the Fund’s outstanding Shares at the applicable NAV per Share, subject to approval of the Board. In all cases such repurchases will be for at least 5% and not more than 25% of the Fund’s outstanding Shares at the applicable NAV per Share, pursuant to Rule 23c-3 under the 1940 Act. The Fund currently expects to conduct quarterly repurchase offers for no less than 5% of its outstanding Shares under ordinary circumstances. The Fund believes that these repurchase offers are generally beneficial to Shareholders, and repurchases generally will be funded from available cash or sales of portfolio securities. However, repurchase offers and the need to fund repurchase obligations may affect the ability of the Fund to be fully invested or force the Fund to maintain a higher percentage of its assets in liquid investments, which may harm the Fund’s investment performance. Moreover, diminution in the size of the Fund through repurchases may result in untimely sales of portfolio securities (with associated imputed transaction costs, which may be significant), and may limit the ability of the Fund to participate in new investment opportunities or to achieve its investment objective. The Fund may accumulate cash by holding back (i.e., not reinvesting) payments received in connection with the Fund’s investments. The Fund believes that payments received in connection with the Fund’s investments will generate sufficient cash to meet the maximum potential amount of the Fund’s repurchase obligations. If at any time cash and other liquid assets held by the Fund are not sufficient to meet the Fund’s repurchase obligations, the Fund intends, if necessary, to sell investments. If, as expected, the Fund employs investment leverage, repurchases of Shares would compound the adverse effects of leverage in a declining market. In addition, if the Fund borrows to finance repurchases, interest on that borrowing will negatively affect Shareholders who do not tender their Shares by increasing the Fund’s expenses and reducing any net investment income.

If a repurchase offer is oversubscribed, the Board may determine to increase the amount repurchased by up to 2% of the Fund’s outstanding Shares as of the date of the Repurchase Request Deadline. In the event that the Board determines not to repurchase more than the repurchase offer amount, or if Shareholders tender more than the repurchase offer amount plus 2% of the Fund’s outstanding Shares as of the date of the Repurchase Request Deadline, the Fund will repurchase the Shares tendered on a pro rata basis, and Shareholders will have to wait until the next repurchase offer to make another repurchase request. As a result, Shareholders may be unable to liquidate all or a given percentage of their investment in the Fund during a particular repurchase offer. Some Shareholders, in anticipation of proration, may tender more Shares than they wish to have repurchased in a particular quarter, thereby increasing the likelihood that proration will occur. A Shareholder may be subject to market and other risks, and the NAV per Share of Shares tendered in a repurchase offer may decline between the Repurchase Request Deadline and the date on which the NAV per Share for tendered Shares is determined. In addition, the repurchase of Shares by the Fund may be a taxable event to Shareholders.

During the period ended March 31, 2024, the Fund did not engage in any repurchase offers.

NOTE 10. INCOME TAX MATTERS

The Fund is treated as a separate tax payer for federal income tax purposes. The Fund intends to qualify as a RIC and to distribute substantially all net investment income and net capital gains, if any, to its shareholders and otherwise comply with Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to RICs. Therefore, no federal income tax provision is required.

The following information is presented on an income tax basis (in thousands). Differences between amounts for financial statements and federal income tax purposes are primarily due to timing and character differences in recognizing certain gains and losses on investment transactions. Permanent differences between financial statement and federal income tax reporting are reclassified within the capital accounts based on their federal income tax treatment. Temporary differences do not require reclassification. Permanent differences may include but are not limited to the following: foreign currency reclassifications, premium amortization and paydown reclassifications, and adjustments related to complex securities. These reclassifications have no impact on net assets.

As of March 31, 2024, the cost of investments and the components of net unrealized appreciation (depreciation) (in thousands) for federal income tax purposes were as follows:

27


Jackson Credit Opportunities Fund

Notes to Financial Statements

March 31, 2024

          

 

 

Tax Cost of Investments($)

 

Gross Unrealized Appreciation($)

 

Gross Unrealized Depreciation($)

 

Net Unrealized Appreciation (Depreciation)($)

 

Jackson Credit Opportunities Fund

316,642

 

6,252

 

(320

)

5,932

 

As of March 31, 2024, the components of net unrealized appreciation (depreciation) (in thousands) for derivatives held were as follows:

          

 

 

Tax Cost/Premiums/Adjustment($)

 

Gross Unrealized Appreciation($)

 

Gross Unrealized Depreciation($)

 

Net Unrealized Appreciation (Depreciation)($)

 

Jackson Credit Opportunities Fund

 

 

 

 

 

 

 

 

 

Futures/Futures Options Contracts

(63

)

 

 

 

 

Forward Foreign Currency Contracts

1,014

 

 

 

 

As of March 31, 2024, the components of distributable taxable earnings (in thousands) for U.S. federal income tax purposes were as follows:

         

 

Undistributed Net Ordinary Income*($)

 

Undistributed Net Long-Term Capital Gain($)

 

Unrealized Gains (Losses)**($)

 

Capital Loss Carryforward($)

 

Jackson Credit Opportunities Fund

9,417

 

 

(502

)

 

*  Undistributed net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

** Unrealized gains (losses) are adjusted for certain tax basis adjustments.

The Fund files U.S. federal and various state and local tax returns. The Fund’s federal tax returns are generally subject to examination for a period of three fiscal years after the date they are filed. State and local tax returns may be subject to examination for an additional period of time depending on the jurisdiction. Management completed an evaluation of the Fund's tax positions taken for all open tax years and based on that evaluation, determined that no provision for federal income tax was required in the Fund's financial statements during the period ended March 31, 2024.

NOTE 11. SUBSEQUENT EVENTS

Management has evaluated subsequent events for the Fund through the date the financial statements are issued and has concluded there were no events that require adjustments to the financial statements or disclosure in the notes to financial statements.

28


Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees
Jackson Credit Opportunities Fund:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Jackson Credit Opportunities Fund (the Fund), including the schedule of investments, as of March 31, 2024, the related statements of operations and changes in net assets for the period from December 1, 2023 (commencement of operations) to March 31, 2024, and the related notes (collectively, the financial statements) and the financial highlights for the period from December 1, 2023 to March 31, 2024. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of March 31, 2024, the results of its operations and changes in its net assets for the period from December 1, 2023 to March 31, 2024, and the financial highlights for the period from December 1, 2023 to March 31, 2024, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audit included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of March 31, 2024, by correspondence with the custodian and brokers or by other appropriate auditing procedures. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audit provides a reasonable basis for our opinion.

/s/ KPMG LLP

We have served as the auditor of one or more JNL investment companies since 2001.

Chicago, Illinois
May 16, 2024

29


Jackson Credit Opportunities Fund

Additional Disclosures (Unaudited)

March 31, 2024

Disclosure of Fund Expenses. Shareholders incur ongoing costs, which include costs for portfolio management, administrative services, shareholder services and other operating expenses. Operating expenses such as these are deducted from the Fund’s gross income and directly reduce the final investment return. These expenses are expressed as a percentage of the Fund’s average net assets; this percentage is known as the Fund’s expense ratio. The examples below use the expense ratio and are intended to help the investor understand the ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

Expenses Using Actual Fund Return. This section provides information about the actual account values and actual expenses incurred by the Fund. Use the information in this section, together with the amount invested, to estimate the expenses paid over the period. Simply divide the account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading titled “Expenses Paid During Period” to estimate the expenses paid during this period.

Expenses Using Hypothetical 5% Return. This section provides information that can be used to compare the Fund’s costs with those of other mutual funds. It assumes that the Fund’s expense ratio for the period is unchanged and assumes an annual 5% return before expenses, which is not the Fund’s actual return. This example is useful in making comparisons because the SEC requires all mutual funds to make the 5% calculation.

               

 

 

 

 

Expenses Using Actual Fund Return

 

Expenses Using Hypothetical 5% Return

 

 

Annualized Expense Ratios(%)

 

Beginning Account Value 12/01/23($)

 

Ending Account Value 03/31/24($)

 

Expenses Paid During Period($)†

 

Beginning Account Value 10/01/23($)

 

Ending Account Value 03/31/24($)

 

Expenses Paid During Period($)††

Jackson Credit Opportunities Fund

 

 

 

 

 

 

 

 

 

 

 

Class I*

1.86

 

1,000.00

 

1,051.60

 

6.36

 

1,000.00

 

1,015.70

 

9.37

† Expenses paid during the period are equal to the annualized net expense ratio, multiplied by the average account value over the period, then multiplied by 122/366 (to reflect the period since the Class’ inception).

* Class has less than 6-month’s operating history and the amounts of reported in Expenses Using Actual Fund Return are not comparable to Expenses Using Hypothetical 5% Return.

††Expenses paid during the period are equal to the annualized net expense ratio, multiplied by the average account value over the period, then multiplied by 183/366.

Other Federal Income Tax Information. The information reported below is for the period ended March 31, 2024. Qualified dividend information will be provided on each shareholder’s 2023 Form 1099-DIV.

For the period ended March 31, 2024, the Fund hereby designates the following percentages, or the maximum amount allowable under the Internal Revenue Code ("Code"), as qualified dividends:

  

Jackson Credit Opportunities Fund

0.00%

For the period ended March 31, 2024, the Fund hereby designates the following percentages, or the maximum amount allowable under the Code, as distributions eligible for the dividends received deduction for corporations:

  

Jackson Credit Opportunities Fund

0.00%

Quarterly Portfolio Holdings. The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund's Form N-PORT reports are available on the SEC’s website at www.sec.gov. The information on Form N-PORT is also available upon request by calling the Fund's toll-free at 1-877-545-0041.

Proxy Voting Policies and Procedures and Proxy Voting Record. A description of the Policy that the Fund’s Adviser (and Sub-Adviser) used to vote proxies relating to portfolio securities and additional information on how the Fund voted any proxies relating to portfolio securities during the 12-month period ended June 30, 2024, will be available without charge after competion of the 12-month period (1) by calling 1-877-545-0041; (2) on Jackson National Life Insurance Company's or Jackson National Life Insurance Company of New York's website at www.jackson.com; and (3) by visiting the SEC’s website at www.sec.gov.

30


Trustees and Officers of Jackson Credit Opportunities Fund (“Trust”)

   

Name, Address, and (Age)

Position(s) Held with Trust

(Length of Time Served)

Number of Portfolios in Fund Complex Overseen by Trustee

Interested Trustee

Mark D. Nerud (57) 1

1 Corporate Way

Lansing, MI 48951

Trustee 2 

(6/2023 to present)

President and Chief Executive Officer

(6/2023 to present)

135

Principal Occupation(s) During Past 5 Years:

Chief Executive Officer of JNAM (1/2010 to present); President of JNAM (1/2007 to present); Managing Board Member of JNAM (5/2015 to present); President and Chief Executive Officer of other investment companies advised by JNAM (12/2023 to present, 12/2006 to present, 12/2006 to 12/2020, and 8/2014 to 12/2020); Principal Executive Officer of an investment company advised by PPM America, Inc. (11/2017 to present)

Other Directorships Held by Trustee During Past 5 Years:

Interested Trustee/Manager of other investment companies advised by JNAM (4/2015 to 12/2020, and 1/2007 to 12/2020)

Independent Trustees

Eric O. Anyah (56)

1 Corporate Way

Lansing, MI 48951

Trustee 2

(8/2023 to present)

135

Principal Occupation(s) During Past 5 Years:

Chief Financial Officer, The Museum of Fine Arts, Houston (10/2013 to present)

Other Directorships Held by Trustee During Past 5 Years:

Trustee/Manager of other investment companies advised by JNAM (1/2018 to 12/2020 and 12/2013 to 12/2020)

Michael J. Bouchard (68)

1 Corporate Way

Lansing, MI 48951

Trustee 2

(8/2023 to present)

135

Principal Occupation(s) During Past 5 Years:

Sheriff, Oakland County, Michigan (1/1999 to present)

Other Directorships Held by Trustee During Past 5 Years:

Trustee/Manager of other investment companies advised by JNAM (1/2018 to 12/2020 and 4/2000 to 12/2020)

Ellen Carnahan (68)

1 Corporate Way

Lansing, MI 48951

Trustee 2

(8/2023 to present)

135

Principal Occupation(s) During Past 5 Years:

Principal, Machrie Enterprises LLC (venture capital firm) (7/2007 to present); Board Member of various corporate boards (see below)

Other Directorships Held by Trustee During Past 5 Years:

Director and Audit Committee Member (11/2016 to present) and Compensation Committee Chair (3/2018 to present), Paylocity Holding Corporation; Director, Audit Committee Member, and Governance Committee Member (5/2015 to present) and Audit Committee Chair (3/2019 to present), ENOVA International Inc.; Trustee/Manager of other investment companies advised by JNAM (1/2018 to 12/2020 and 12/2013 to 12/2020)

John W. Gillespie (70)

1 Corporate Way

Lansing, MI 48951

Trustee 2

(8/2023 to present)

135

Principal Occupation(s) During Past 5 Years:

Entrepreneur-in-Residence, UCLA Office of Intellectual Property (2/2013 to present); Investor, Business Writer, and Advisor (10/2006 to present)

Other Directorships Held by Trustee During Past 5 Years:

Trustee/Manager of other investment companies advised by JNAM (1/2018 to 12/2020 and 12/2013 to 12/2020)

William R. Rybak (73)

1 Corporate Way

Lansing, MI 48951

Trustee 2 

(8/2023 to present)

135

Principal Occupation(s) During Past 5 Years:

Private investor (5/2000 to present); Board Member of various corporate boards (see below)

Other Directorships Held by Trustee During Past 5 Years:

Director (2/2010 to present) and Board Chair (2/2016 to present), Christian Brothers Investment Services, Inc.; Trustee (10/2012 to present) and Chair Emeritus (5/2009 to present), Lewis University; Director (2002 to present), Governance Committee Chair (2004 to 7/2019), and Audit Committee Chair (7/2019 to present), each of the Calamos Mutual Funds and Closed-End Funds; Trustee/Manager of other investment companies advised by JNAM (1/2018 to 12/2020 and 1/2007 to 12/2020)

Mark S. Wehrle (67)

1 Corporate Way

Lansing, MI 48951

Trustee 2 

(8/2023 to present)

135

31


Trustees and Officers of Jackson Credit Opportunities Fund (“Trust”)

    

Name, Address, and (Age)

Position(s) Held with Trust

(Length of Time Served)

Number of Portfolios in Fund Complex Overseen by Trustee

Principal Occupation(s) During Past 5 Years:

Real Estate Broker, Broker’s Guild (4/2011 to 12/2019); Retired Certified Public Accountant (1/2011 to present)

Other Directorships Held by Trustee During Past 5 Years:

Trustee, Delta Dental of Colorado (1/2012 to 12/2020); Trustee/Manager of other investment companies advised by JNAM and/or an affiliate of JNAM (1/2018 to 12/2020 and 7/2013 to 12/2020)

Edward C. Wood (68)

1 Corporate Way

Lansing, MI 48951

Chair of the Board 3 

(8/2023 to present)

 

Trustee 2 

(8/2023 to present)

135

Principal Occupation(s) During Past 5 Years:

None

Other Directorships Held by Trustee During Past 5 Years:

Trustee/Manager of other investment companies advised by JNAM (1/2018 to 12/2020 and 12/2013 to 12/2020)

Patricia A. Woodworth (69)

1 Corporate Way

Lansing, MI 48951

Trustee 2

(8/2023 to present)

135

Principal Occupation(s) During Past 5 Years:

Chief Financial Officer, National Trust for Historic Preservation (3/2019 to 8/2020 and 11/2023 to present)

Other Directorships Held by Trustee During Past 5 Years:

Trustee/Manager of other investment companies advised by JNAM (1/2018 to 12/2020, 1/2007 to 12/2020)

1  Mr. Nerud is an “interested person” of the Trust due to his position with JNAM, the Adviser.

2 The Interested Trustee and the Independent Trustees are elected to serve for an indefinite term.

3  The Board Chairperson may be reelected for a second three-year term. If the Board Chairperson has served two consecutive terms, he or she may not serve again as the Board Chairperson, unless at least one year has elapsed since the end of his or her second consecutive term as Board Chairperson.

   

Name, Address, and (Age)

Position(s) Held with Trust

(Length of Time Served)

Officers

Emily J. Bennett (40)

1 Corporate Way

Lansing, MI 48951

 

Vice President

(6/2023 to present)

Assistant Secretary

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Vice President of JNAM (8/2022 to present); Deputy General Counsel of JNAM (8/2021 to present); Assistant Vice President of JNAM (2/2018 to 8/2022); Associate General Counsel of JNAM (3/2016 to 8/2021); Vice President of other investment companies advised by JNAM (11/2023 to present and 11/2022 to present); Assistant Secretary of other investment companies advised by JNAM (11/2023 to present, 3/2016 to present, 3/2016 to 12/2020, and 5/2012 to 12/2020); Assistant Secretary (1/2021 to 5/2022), Vice President (11/2017 to present), and Secretary (11/2017 to 2/2021 and 5/2022 to present) of an investment company advised by PPM America, Inc.

Garett J. Childs (44)

1 Corporate Way

Lansing, MI 48951

 

Vice President

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Chief Financial Officer of JNAM (8/2021 to present); Vice President, Finance and Risk of JNAM (2/2019 to present); Controller of JNAM (11/2007 to 8/2021); Vice President of other investment companies advised by JNAM (11/2023 to present, 2/2019 to present, and 2/2019 to 12/2020); Chief Risk Officer of JNAM (7/2016 to 2/2019); Assistant Vice President, Corporate Finance of JNAM (12/2013 to 2/2019)

Kelly L. Crosser (51)

1 Corporate Way

Lansing, MI 48951

 

Assistant Secretary

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Director, Legal of JNAM (12/2021 to present); Manager, Legal Regulatory Filings and Print of JNAM (1/2018 to 12/2021); Assistant Secretary of other investment companies advised by JNAM (11/2023 to present, 9/2007 to present, 9/2007 to 12/2020, and 10/2011 to 12/2020)

32


Trustees and Officers of Jackson Credit Opportunities Fund (“Trust”)

   

Name, Address, and (Age)

Position(s) Held with Trust

(Length of Time Served)

Richard J. Gorman (58)

1 Corporate Way

Lansing, MI 48951

 

Chief Compliance Officer

(6/2023 to present)

Anti-Money Laundering Officer

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Senior Vice President and Chief Compliance Officer of JNAM (8/2018 to present); Chief Compliance Officer and Anti-Money Laundering Officer of other investment companies advised by JNAM (11/2023 to present, 8/2018 to present, and 8/2018 to 12/2020)

William P. Harding (49)

1 Corporate Way

Lansing, MI 48951

 

Vice President

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Senior Vice President and Chief Investment Officer of JNAM (6/2014 to present); Vice President of other investment companies advised by JNAM (11/2023 to present, 11/2012 to present, 11/2012 to 12/2020, and 5/2014 to 12/2020)

Daniel W. Koors (53)

1 Corporate Way

Lansing, MI 48951

 

Vice President

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Senior Vice President of JNAM (1/2009 to present); Chief Operating Officer of JNAM (4/2011 to present); Vice President of other investment companies advised by JNAM (11/2023 to present, 12/2006 to present, 12/2006 to 12/2020, and 1/2018 to 12/2020); Treasurer and Chief Financial Officer of other investment companies advised by JNAM (9/2016 to 6/2020, 9/2016 to 12/2020, and 10/2011 to 12/2020); Principal Financial Officer (11/2017 to 1/2021), Treasurer (11/2017 to 1/2021), and Vice President (11/2017 to present) of an investment company advised by PPM America, Inc.

Kristen K. Leeman (48)

1 Corporate Way

Lansing, MI 48951

 

Assistant Secretary

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Senior Project Manager of JNAM (10/2023 to present); Senior Regulatory Analyst of JNAM (5/2021 to 10/2023); Regulatory Analyst of JNAM (1/2018 to 5/2021); Assistant Secretary of other investment companies advised by JNAM (11/2023 to present, 6/2012 to present, 6/2012 to 12/2020, and 1/2018 to 12/2020)

Adam C. Lueck (41)

1 Corporate Way

Lansing, MI 48951

 

Assistant Secretary

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Associate General Counsel of JNAM (12/2021 to present); Senior Attorney of JNAM (2/2018 to 12/2021); Assistant Secretary of other investment companies advised by JNAM (11/2023 to present, 3/2018 to present, 3/2018 to 12/2020, and 12/2015 to 12/2020)

Mia K. Nelson (41)

1 Corporate Way

Lansing, MI 48951

 

Vice President

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Vice President, Tax of JNAM (8/2022 to present); Assistant Vice President, Tax of JNAM (3/2017 to 8/2022); Vice President of other investment companies advised by JNAM (11/2023 to present and 11/2022 to present); Assistant Vice President of other investment companies advised by JNAM (8/2017 to 11/2022, 8/2017 to 12/2020, and 9/2017 to 12/2020)

Joseph B. O’Boyle (61)

1 Corporate Way

Lansing, MI 48951

 

Vice President

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Vice President of JNAM (8/2015 to present); Vice President of other investment companies advised by JNAM (11/2023 to present, 1/2018 to present, and 1/2018 to 12/2020); Chief Compliance Officer and Anti-Money Laundering Officer of an investment company advised by PPM America, Inc. (2/2018 to present)

33


Trustees and Officers of Jackson Credit Opportunities Fund (“Trust”)

     

Name, Address, and (Age)

Position(s) Held with Trust

(Length of Time Served)

Susan S. Rhee (52)

1 Corporate Way

Lansing, MI 48951

 

Vice President, Chief Legal Officer, and Secretary

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Senior Vice President and General Counsel of JNAM (1/2010 to present); Secretary of JNAM (11/2000 to present); Vice President, Chief Legal Officer, and Secretary of other investment companies advised by JNAM (11/2023 to present, 2/2004 to present, 2/2004 to 12/2020, and 10/2011 to 12/2020); Vice President and Assistant Secretary of an investment company advised by PPM America, Inc. (11/2017 to 7/2022)

Andrew Tedeschi (59)

1 Corporate Way

Lansing, MI 48951

 

Treasurer & Chief Financial Officer

(6/2023 to present)

Principal Occupation(s) During Past 5 Years:

Vice President, JNAM (1/2019 to present); Treasurer and Chief Financial Officer of other investment companies advised by JNAM (11/2023 to present and 6/2020 to present); Principal Financial Officer, Treasurer, and Vice President of an investment company advised by PPM America, Inc. (1/2021 to present)

34


Jackson Credit Opportunities Fund

(the “Trust”)

APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”) oversees the management of the Trust and, as required by law, determines whether to approve the Trust’s advisory agreements (“Advisory Agreement”) with Jackson National Asset Management, LLC (“JNAM” or the “Adviser”) and the Trust’s Sub-Adviser(s) (“Sub-Advisory Agreement” or “Sub-Advisory Agreements,” as applicable, and, collectively with the Advisory Agreement, the “Agreements”).

 

At a meeting on August 29 - 31, 2023, the Board, including all of the independent trustees, who are not interested persons of the Trust (as defined in the Investment Company Act of 1940, as amended) (the “Independent Trustees”), considered information relating to the proposed Advisory Agreement with JNAM and the proposed Sub-Advisory Agreement between JNAM and Neuberger Berman Investment Advisers LLC (“Neuberger Berman” or the “Sub-Adviser”).

In advance of the meeting, independent legal counsel for the Independent Trustees requested that certain information be provided to the Board relating to the Agreements.  The Board received, and had the opportunity to review, this and other materials, ask questions and request further information in connection with its consideration of the Agreements.  At the conclusion of the Board’s discussions, the Board approved the Agreements.

 

In reviewing the Agreements and considering the information, the Board was advised by independent legal counsel.  The Board considered the factors it deemed relevant and the information provided by the Adviser and Sub-Adviser, including: (1) the nature, quality and extent of the services to be provided; (2) the investment performance of the Trust; (3) cost of services of the Trust; (4) profitability data; (5) whether economies of scale may be realized and shared, in some measure, with investors as the Trust grows; and (6) other benefits that may accrue to the Adviser or Sub-Adviser through its relationship with the Trust.  In its deliberations, the Board, in exercising its business judgment did not identify any single factor that alone was responsible for the Board’s decision to approve the Agreements. Some of the factors that figured particularly in the Board's deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors.

 

Before approving the Agreements, the Independent Trustees met in executive session with their independent legal counsel to consider the materials provided by JNAM and the Sub-Adviser and to consider the terms of the Agreements. The Board, including the Independent Trustees, considered the data provided by the Adviser and concluded that sufficient information had been provided to allow them to evaluate the terms of the Agreements and the Trust’s proposed investment advisory fee. Based on its evaluation of those materials, the Board, including the interested and Independent Trustees, concluded that the Agreements are in the best interests of the potential shareholders of the Trust.  In reaching its conclusions, the Board considered numerous factors, including the following:

 

Nature, Quality and Extent of Services

 

The Board examined the nature, quality and extent of the services provided and to be provided by JNAM and Neuberger Berman.

 

The Board considered the services to be provided by JNAM, including, but not limited to, the oversight of the Sub-Adviser, as well as the provision of recordkeeping and compliance services to the Trust.  The Board also took into account that JNAM would monitor the performance of the various organizations that would provide services to the Trust, including the Trust’s distributor, transfer agent, and custodian.  With respect to JNAM’s oversight of the Sub-Adviser, the Board noted that JNAM would be responsible for screening and recommending new sub-advisers when appropriate, as well as monitoring and reporting to the Board on a regular basis as to the performance and operations of the Trust’s Sub-Adviser.

The Board also considered the investment sub-advisory services to be provided by Neuberger Berman.  The Board noted JNAM’s evaluation of the Sub-Adviser, as well as JNAM’s recommendations, based on its review of the Sub-Adviser, in connection with its approval of the Sub-Advisory Agreement. The Board also considered the various business-related risks JNAM faces as a result of managing the Trust, including entrepreneurial, legal and litigation risks, some of which may be significant.

The Board reviewed the qualifications, backgrounds and responsibilities of JNAM’s senior management that would be responsible for oversight of the Trust and the Sub-Adviser, and also reviewed the qualifications, backgrounds and responsibilities of the Sub-Adviser’s portfolio managers who would be responsible for the day-to-day management of the Trust. The Board reviewed information pertaining to the Sub-Adviser’s organizational structure, senior management, financial condition, investment operations, and other relevant information pertaining to the Sub-Adviser. The Board considered compliance reports about JNAM and the Sub-Adviser from the Trust’s Chief Compliance Officer.

Based on the foregoing, the Board concluded that the Trust is likely to benefit from the nature, extent and quality of the services provided and to be provided, as applicable, by JNAM under the Advisory Agreement and the Sub-Adviser under the Sub-Advisory Agreement.

 

35


Investment Performance of the Trust

  

The Board took into account that the Trust had not commenced operations and there was no portfolio performance data to review. The Board reviewed the performance of the proposed Sub-Adviser’s investment mandate in the public credit market as compared to its benchmark index and peer group.

Costs of Services

  The Board reviewed the fees to be paid to the Adviser and Sub-Adviser.  The Board noted that the Trust’s sub-advisory fees would be paid by JNAM (not the Trust), therefore, would be neither a direct shareholder expense nor a direct influence on the Trust’s total expense ratio.

 

Further detail considered by the Board regarding the advisory and sub-advisory fees of the Trust is set forth below:

The Board considered that the Trust’s sub-advisory fee and total expense ratio are lower than their respective peer group averages, though the Trust’s advisory fee is higher. The Board further considered the Adviser’s statement that it believes the Trust’s proposed expenses are reasonable compared to similarly managed interval funds in the marketplace. The Board concluded that the fees are in the best interests of the Trust and its potential shareholders in light of the services to be provided.

Profitability

 

The Board considered information concerning the costs to be incurred and profits expected to be realized by JNAM and the Sub-Adviser. The Board determined that profits expected to be realized by JNAM and the Sub-Adviser were not unreasonable.

Economies of Scale

 

The Board considered whether the Trust’s proposed fees reflect the potential for economies of scale for the benefit of Trust shareholders.  Based on information provided by JNAM and Neuberger Berman, the Board noted that the proposed advisory fee arrangements for the Trust contains breakpoints that decrease the fee rate as assets increase. The Board also noted that Neuberger Berman has agreed to breakpoints in the proposed sub-advisory fee rate. The Board also noted that the sub-advisory fee for the Trust will be paid by JNAM (not the Trust).

The Board concluded that the Trust’s fee schedules in some measure share economies of scale with potential shareholders.

 

Other Benefits to the Adviser and Sub-Adviser

 

In evaluating the benefits that may accrue to JNAM through its relationship with the Trust, the Board noted that JNAM and certain of its affiliates would serve the Trust in various capacities, including as adviser, administrator, and distributor, and receive compensation from the Trust in connection with providing services to the Trust.  The Board noted that each service to be provided to the Trust by JNAM or one of its affiliates would be pursuant to a written agreement, which the Board would evaluate periodically as required by law.  Lastly, the Board noted that certain affiliates of JNAM may receive benefits under the federal income tax laws with respect to tax deductions and credits.

In evaluating the benefits that may accrue to the Sub-Adviser through its relationships with the Trust, the Board noted that Neuberger Berman may receive indirect benefits in the form of soft dollar arrangements for portfolio securities trades placed with the Trust’s assets and may also develop additional investment advisory business with JNAM, the Trust or other clients of the Sub-Adviser as a result of its relationship with the Trust.

36



Item 2. Code of Ethics.

As of the end of the period covered by this report, the registrant had adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no substantive amendments or any waivers to this code of ethics during the period covered by this report. A copy of this code of ethics is filed as exhibit 13(a)(1) to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The registrant has named Mark Wehrle as an Audit Committee financial expert serving on its Audit Committee. Mark Wehrle is not an “interested person” of the Trust, as that term is defined by Section 2(a)(19) of the Investment Company Act of 1940, as amended, and is considered “independent” for purposes of this Item.

An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or Board of Trustees.

Item 4. Principal Accountant Fees and Services.

(a)-(d)

The administrator of the registrant is responsible for payment of all expenses associated with the annual audit and other required services of the independent registered accounting firm, and all expenses associated with the preparation and filing of the tax returns.

KPMG LLP (“KPMG”) was appointed by the Board of Trustees as the independent registered public accounting firm of the registrant for the fiscal year ended March 31, 2024. The following table sets forth aggregate fees billed by KPMG for the respective period for professional services rendered to the registrant.

Fees for Services Rendered to the Registrant by KPMG

     

Fiscal Year

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

2024

$95,000

$0

$0

$0

Fees for Services Rendered to Adviser Entities by KPMG

The following table sets forth the amount of fees that were billed by KPMG for the respective period to any entity controlling, controlled by, or under common control with the investment adviser that provided ongoing services to the registrant (“Adviser Entities”) that were directly related to the registrant’s operations and financial reporting.

    

Fiscal Year

Audit-Related Fees

Tax Fees

All Other Fees

2024

$0

$0

$0

(e)(1) The Audit Committee is authorized to pre-approve non-audit services provided by the registrant’s auditors, if they find it appropriate in light of their fiduciary duties and in the exercise of their good faith business judgment and compatible with the auditors' independence. The Chairman of the Audit Committee is authorized to approve


audit and non-audit services for newly established Funds of the registrant on the same terms as the full Audit Committee previously had approved for the then existing Funds.

(e)(2) 0%

(f) Not applicable.

(g) The aggregate fees billed for all non-audit fees to the registrant and Adviser Entities for the fiscal year ended March 31, 2024, was $0

(h) For the fiscal year ended March 31, 2024, the Audit Committee of the registrant’s Board of Trustees considered the provision of non-audit services that were rendered to the Adviser Entities that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, and concluded that such services were compatible with maintaining KPMG’s independence.

(i) Not applicable.

(j) Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Included as a part of the report to shareholders filed under Item 1.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

The Board has delegated responsibility for decisions regarding proxy voting for securities held by the Fund to the Sub-Adviser. The Sub-Adviser will vote such proxies in accordance with its proxy policies and procedures. The Board will periodically review the Fund’s proxy voting record.

Proxy Voting Policies and Procedures

I. Introduction and General Principles

A. Certain subsidiaries of Neuberger Berman Group LLC ("NB") have been delegated the authority and responsibility to vote the proxies of their respective investment advisory clients and exercise such responsibility according to these policies and procedures.

B. NB understands that proxy voting is an integral aspect of investment management. Accordingly, proxy voting must be conducted with the same degree of prudence and loyalty accorded any fiduciary or other obligation of an investment manager.

C. NB believes that the following policies and procedures are reasonably expected to ensure that proxy matters are conducted in the best interest of clients, in accordance with NB's fiduciary duties, applicable rules under the Investment Advisers Act of 1940, fiduciary standards and responsibilities for ERISA clients set out in Department of Labor interpretations, the UK Stewardship Code, the Japan Stewardship Code and other applicable laws and regulations.

D. In instances where NB does not have authority to vote client proxies, it is the responsibility of the client to instruct the relevant custody bank or banks to mail proxy material directly to such client.


E. In all circumstances, NB will comply with specific client directions to vote proxies, whether or not such client directions specify voting proxies in a manner that is different from NB's proxy votes for other client accounts.

F. NB will seek to vote all shares under its authority so long as that action is not in conflict with client instructions. There may be circumstances under which NB may abstain from voting a client proxy, such as when NB believes voting would not be in clients' best interests (e.g., not voting in countries with share blocking or meetings in which voting would entail additional costs). NB understands that it must weigh the costs and benefits of voting proxy proposals relating to foreign securities and make an informed decision with respect to whether voting a given proxy proposal is prudent and solely in the interests of the clients and, in the case of an ERISA client and other accounts and clients subject to similar local laws, a plan's participants and beneficiaries. NB's decision in such circumstances will take into account the effect that the proxy vote, either by itself or together with other votes, is expected to have on the value of the client's investment and whether this expected effect would outweigh the cost of voting.

II. Responsibility and Oversight

A. NB has designated a Governance & Proxy Committee (“Proxy Committee”) with the responsibility for:

(i) developing, authorizing, implementing and updating NB’s policies and procedures;

(ii) administering and overseeing the governance and proxy voting processes; and

(iii) engaging and overseeing any third-party vendors as voting delegates to review, monitor and/or vote proxies. NB, at the recommendation of the Proxy Committee, has retained Glass, Lewis & Co., LLC (“Glass Lewis”) as its voting delegate.

B. The Proxy Committee will meet as frequently and in such manner as necessary or appropriate to fulfill its responsibilities.

C. The members of the Proxy Committee will be appointed from time to time and will include the Chief Investment Officer (Equities), the Director of Global Equity Research, the Head of ESG Investing, and certain portfolio managers. A senior member of the Legal and Compliance Department will advise the Proxy Committee and may vote as a full member of the Committee if a vote is needed to establish a quorum or in the event that a vote is needed to break a tie. The Director of Investment Stewardship serves in an advisory role to the Proxy Committee but may also vote as a full member of the Committee if a vote is needed to establish a quorum or in the event that a vote is needed to break a tie.

D. In the event that one or more members of the Proxy Committee are not independent with respect to a particularmatter, the remaining members of the Proxy Committee shall constitute an ad hoc independent subcommittee of the Proxy Committee, which will have full authority to act upon such matter.

III. Proxy Voting Guidelines

A. The Proxy Committee developed the Governance and Proxy Voting Guidelines (“Voting Guidelines”) based on our Governance and Engagement Principles. These Guidelines are updated as appropriate and generally at least on an annual basis. With input from certain of our investment professionals, the modifications are intended to reflect emerging corporate governance issues and themes. The Proxy Committee recognizes that in certain circumstances it may be in the interests of our clients to deviate from our Voting Guidelines.

B. Our views regarding corporate governance and engagement, and the related stewardship actions, are informed by our ESG Investing group, in consultation with professionals in the Legal & Compliance and Global Equity Research groups, among others. These insightful, experienced and dedicated groups enable us to think strategically about engagement and stewardship priorities.

C. We believe NB’s Voting Guidelines generally represent the voting positions most likely to support our clients’ best economic interests across a range of sectors and contexts. These guidelines are not intended to constrain our consideration of the specific issues facing a particular company on a particular vote, and so there will be times when we deviate from the Voting Guidelines.

D. In the event that a portfolio manager or other investment professional at Neuberger Berman believes that it is in the best interest of a client or clients to vote proxies other than as provided in NB’s Voting Guidelines,


the portfolio manager or other investment professional will submit in writing to the Proxy Committee the basis for his or her recommendation. The Proxy Committee will review this recommendation in the context of the specific circumstances of the proxy vote being considered and with the intention of voting in the best interest of our clients.

IV. Proxy Voting Procedures

A. NB will vote client proxies in accordance with a client’s specific request even if it is in a manner inconsistent with NB’s proxy votes for other client accounts. Such specific requests should be made in writing by the individual client or by an authorized officer, representative or named fiduciary of a client.

B. NB has engaged Glass Lewis as its advisor and voting agent to:

(i) provide research on proxy matters;

(ii) in a timely manner, notify NB of and provide additional solicitation materials made available reasonably in advance of a vote deadline;

(iii) vote proxies in accordance with NB’s Voting Guidelines or as otherwise instructed and submit such proxies in a timely manner;

(iv) handle other administrative functions of proxy voting;

(v) maintain records of proxy statements and additional solicitation materials received in connection with proxy votes and provide copies of such proxy statements promptly upon request; and

(vi) maintain records of votes cast.

C. Except in instances where clients have retained voting authority, NB will instruct custodians of client accounts to forward all proxy statements and materials received in respect of client accounts to Glass Lewis.

D. NB retains final authority and fiduciary responsibility for proxy voting.

V. Conflicts of Interest

A. Glass Lewis will vote proxies in accordance with the Voting Guidelines described in Section III or, in instances where a material conflict has been determined to exist, as Glass Lewis recommends. NB believes that this process is reasonably designed to address material conflicts of interest that may arise in conjunction with proxy voting decisions. Potential conflicts considered by the Proxy Committee when it is determining whether to deviate from NB’s Voting Guidelines include, among others: a material client relationship with the corporate issuer being considered; personal or business relationships between the portfolio managers and an executive officer; director, or director nominee of the issuer; joint business ventures; or a direct transactional relationship between the issuer and senior executives of NB.

B. In the event that an NB Investment Professional believes that it is in the best interest of a client or clients to vote proxies in a manner inconsistent with the Voting Guidelines described in Section III, such NB Investment Professional will contact a member of the Legal & Compliance Department advising the Proxy Committee and complete and sign a questionnaire in the form adopted from time to time. Such questionnaires will require specific information, including the reasons the NB Investment Professional believes a proxy vote in this manner is in the best interest of a client or clients and disclosure of specific ownership, business or personal relationship, or other matters that may raise a potential material conflict of interest with respect to the voting of the proxy. The Proxy Committee will meet with the NB Investment Professional to review the completed questionnaire and consider such other matters as it deems appropriate to determine that there is no material conflict of interest with respect to the voting of the proxy in the requested manner. The Proxy Committee shall document its consideration of such other matters. In the event that the Proxy Committee determines that such vote will not present a material conflict, the Proxy Committee will make a determination whether to vote such proxy as recommended by the NB Investment Professional. In the event of a determination to vote the proxy as recommended by the NB Investment Professional, an authorized member of the Proxy Committee will instruct Glass Lewis to vote in such manner with respect to the client or clients. In the event that the Proxy Committee determines that the voting of a proxy as recommended by the NB Investment Professional would not be appropriate, the Proxy Committee will:

(i) take no further action, in which case the Committee shall vote such proxy in accordance with the Voting Guidelines;


(ii) disclose such conflict to the client or clients and obtain written direction from the client with respect to voting the proxy;

(iii) suggest that the client or clients engage another party to determine how to vote the proxy; or

(iv) engage another independent third party to determine how to vote the proxy. A record of the Proxy Committee’s determinations shall be prepared and maintained in accordance with applicable policies.

C. In the event that the Voting Guidelines described in Section III do not address how a proxy should be voted the Proxy Committee will make a determination as to how the proxy should be voted. The Proxy Committee will consider such matters as it deems appropriate to determine how such proxy should be voted, including whether there is a material conflict of interest with respect to the voting of the proxy in accordance with its decision. The Proxy Committee shall document its consideration of such matters, and an authorized member of the Proxy Committee will instruct Glass Lewis to vote in such manner with respect to such client or clients.

D. Material conflicts cannot be resolved by simply abstaining from voting.

VI. Recordkeeping

NB will maintain records relating to the implementation of the Voting Guidelines and these procedures, including:

(i) a copy of the Voting Guidelines and these procedures, which shall be made available to clients upon request;

(ii) proxy statements received regarding client securities (which will be satisfied by relying on EDGAR or Glass Lewis);

(iii) a record of each vote cast (which Glass Lewis maintains on NB’s behalf);

(iv) a copy of each questionnaire completed by any NB Investment Professional under Section V above; and

(v) any other document created by NB that was material to a determination regarding the voting of proxies on behalf of clients or that memorializes the basis for that decision. Such proxy voting books and records shall be maintained in an easily accessible place, which may include electronic means, for a period of five years, the first two by the Legal & Compliance Department. Material conflicts cannot be resolved by simply abstaining from voting.

VII. Engagement and Monitoring

Consistent with the firm’s active management strategies, NB portfolio managers and members of the Global Equity Research team continuously monitor material investment factors at portfolio companies. NB professionals remain informed of trends and best practices related to the effective fiduciary administration of proxy voting. NB will make revisions to its Voting Guidelines and related procedures document when it determines it is appropriate or when we observe the opportunity to materially improve outcomes for our clients. Additionally, we will regularly undertake a review of selected voting and engagement cases to better learn how to improve the monitoring of our portfolio companies and the effectiveness of our stewardship activities.

VIII. Securities Lending

Some NB products or client accounts where NB has authority and responsibility to vote the proxies may participate in a securities lending program administered by NB. Where a security is currently on loan ahead of a shareholder meeting, NB will generally attempt to terminate the loan in time to vote those shares. Where a security that is potentially subject to being loaned is eligible to be voted in a stockholder meeting a portfolio manager may restrict the security from lending. NB maintains the list of securities restricted from lending and receives daily updates on upcoming proxy events from the custodian.

IX. Disclosure

Neuberger Berman will publicly disclose all voting records of its co-mingled funds (Undertakings for Collective Investment in Transferable Securities [UCITS] and mutual funds), which can be found at [https://www.nb.com/en/us/esg/nb-votes -- Neuberger Berman cannot publicly disclose vote level records for


separate accounts without express permission of the client. Neuberger Berman will publicly disclose aggregate reporting on at least an annual basis for all votes cast across co- mingled and separate accounts. Neuberger Berman welcomes the opportunity to discuss the rationale for a given vote with investee companies as part of our ongoing engagement activities. Neuberger Berman may also choose to provide broad explanations for certain voting positions on important or topical issues in advance of the vote. Additionally, our proxy voting guidelines can be found on our website: https://www.nb.com/en/us/esg/nb-votes.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Portfolio Managers

Ashok Bhatia, CFA is a Managing Director and joined Neuberger Berman in 2017. Ashok is the Co-Chief Investment Officer for Fixed Income, Co-Head of Multi-Sector Fixed Income, and a member of Neuberger Berman’s Partnership and Asset Allocation Committees and Fixed Income’s Investment Strategy Committee. Previously, Mr. Bhatia has held senior investment and leadership positions in several asset management firms and hedge funds, including Wells Fargo Asset Management, Balyasny Asset Management and Stark Investments. Mr. Bhatia has had investment responsibilities across global fixed income and currency markets. Ashok began his career in 1993 as an investment analyst at Morgan Stanley. Mr. Bhatia received a BA with high honors in Economics from the University of Michigan, Ann Arbor, and an MBA with high honors from the University of Chicago. He has been awarded the Chartered Financial Analyst designation.

David Brown, CFA is a Managing Director and rejoined Neuberger Berman in 2003. Mr. Brown is Global Co-Head of Investment Grade, Co-Head of Multi-Sector Fixed Income, and a member of the Fixed Income Investment Strategy Committee, and acts as Senior Portfolio Manager on both Global Investment Grade and Multi-Sector Fixed Income strategies. He is a member of the Fixed Income Investment Strategy Committee and the Fixed Income Multi-Sector Group. Mr. Brown also leads the Investment Grade Credit team in determining credit exposures across both Global Investment Grade and Multi-Sector Fixed Income strategies. He initially joined the firm in 1991 after graduating from the University of Notre Dame with a BA in Government and subsequently received his MBA in Finance from Northwestern University. Prior to his return, he was a senior credit analyst at Zurich Scudder Investments and later a credit analyst and portfolio manager at Deerfield Capital. Mr. Brown has been awarded the Chartered Financial Analyst designation.

Adam Grotzinger, CFA is a Managing Director and joined the Neuberger Berman in 2015. Mr. Grotzinger is a Senior Fixed Income Portfolio Manager based in Chicago. Prior to joining Neuberger Berman, he worked in the Fixed Income teams at Franklin Templeton in Singapore, London and California. Mr. Grotzinger graduated cum laude from the University of Vermont with a BS in International Business and a minor in Political Science. He is a Chartered Financial Analyst (CFA) Charterholder and member of the Chicago CFA society.

David Kupperman, PhD is a Managing Director and is Co-head of the NB Alternative Investment Management team and a member of its Investment Committee. He is also on the Investment Committee of the Specialty Finance Group which he co-founded, as well as Chairman of the NB Insurance-Linked Strategies Underwriting Committee and a Director of NB Reinsurance Ltd. Dr. Kupperman also sits on the firm’s Asset Allocation Committee and the Investment Risk Committee. Prior to joining Neuberger Berman in 2011, he was a partner and member of the investment committee at Alternative Investment Management, LLC. Before that, he was a managing director and member of the executive committee at Paloma Partners Management Company, a multi-strategy hedge fund focused on relative value trading strategies. Previously, Dr. Kupperman was a principal at The Carlyle Group, one of the world’s largest alternative investment managers. Prior to joining Carlyle, he was a vice president in both the private equity and portfolio strategy groups at Goldman, Sachs & Co. David is on The Johns Hopkins Physics & Astronomy Advisory Council and the Krieger School Advisory Board. Dr. Kupperman holds an MA and a PhD in physics from Johns Hopkins University and a BA and an ME from Cornell University.

Joe Lynch is a Managing Director and joined Neuberger Berman in 2002. He is the Global Head of Non-Investment Grade Credit and a Senior Portfolio Manager for Non- Investment Grade Credit focusing on loan


portfolios. In addition, he sits on the Credit Committee for Non-Investment Grade Credit and serves on Neuberger Berman’s Partnership Committee. Mr. Lynch was a founding partner of LightPoint Capital Management LLC, which was acquired by Neuberger Berman in 2007. Prior to joining LightPoint, he was employed at ABN AMRO, where he was responsible for structuring highly leveraged transactions. Mr. Lynch earned a BS from the University of Illinois and an MBA from DePaul University.

Louay Mikdashi is a Managing Director and joined Neuberger Berman in June 2022 as a Head of Multi-Sector Private Credit. He leads the portfolio management/construction effort as well as the business and strategic activities for multi-sector private credit opportunities. In his role, Mr. Mikdashi works in close partnership with senior leaders across the Global Fixed Income and Alternatives divisions. Prior to joining the firm, Mr. Mikdashi was the head of an opportunistic alternative division at BlackRock in EMEA, where he helped build and expand an investment franchise that invests globally across alternative asset classes and across the capital structure. Prior to that, he was the Global CIO of the Alternative division of Santander Asset Management and co-ran the Global Investment Committee of the firm as Chief Investment Strategist. Mr. Mikdashi is an alumni of Harvard Business School (GMP), Boston College (Ms Finance), Babson College (MBA Entrepreneurship), HEC (Ms Economics).

Portfolio Manager Compensation Structure

Neuberger Berman’s compensation philosophy is one that focuses on rewarding performance and incentivizing Neuberger Berman’s employees. Neuberger Berman is also focused on creating a compensation process that it believes is fair, transparent, and competitive with the market.

Compensation for portfolio managers consists of either (i) fixed (salary) and variable (discretionary bonus) compensation but is more heavily weighted on the variable portion of total compensation (ii) on a production model, whereby formulaic compensation is paid from the team compensation pool on a fixed schedule (typically monthly) or (iii) a combination of salary, bonus and/or production compensation. Compensation is paid from a team compensation pool made available to the portfolio management team with which the portfolio manager is associated. The size of the team compensation pool is determined based on a formula that takes into consideration a number of factors including the pre-tax revenue that is generated by that particular portfolio management team, less certain adjustments. The amount allocated to individual Portfolio Managers is determined on the basis of a variety of criteria, including investment performance (including the aggregate multi-year track record), utilization of central resources (including research, sales and operations/support), business building to further the longer-term sustainable success of the investment team, effective team/people management, and overall contribution to the success of Neuberger Berman. Certain portfolio managers may manage products other than mutual funds, such as high net worth separate accounts. The share of pre-tax revenue a portfolio manager receives pursuant to any such arrangement will vary based on certain revenue thresholds.

The terms of Neuberger Berman’s long-term retention incentives are as follows:

Employee-Owned Equity. Certain employees (primarily senior leadership and investment professionals) participated in Neuberger Berman’s equity ownership structure, which was launched as part of the firm’s management buyout in 2009 and designed to incentivize and retain key personnel. Neuberger Berman also offers an equity acquisition program which allows employees a more direct opportunity to invest in Neuberger Berman. For confidentiality and privacy reasons, Neuberger Berman cannot disclose individual equity holdings or program participation.

Contingent Compensation. Certain employees may participate in Neuberger Berman’s Contingent Compensation Plan (the “CCP”) to serve as a means to further align the interests of Neuberger Berman’s employees with the success of the firm and the interests of Neuberger Berman’s clients, and to reward continued employment. Under the CCP, up to 20% of a participant’s annual total compensation in excess of $500,000 is contingent and subject to vesting. The contingent amounts are maintained in a notional account that is tied to the performance of a portfolio of Neuberger Berman investment strategies as specified by the firm on an employee-by-employee basis.


By having a participant’s contingent compensation tied to Neuberger Berman investment strategies, each employee is given further incentive to operate as a prudent risk manager and to collaborate with colleagues to maximize performance across all business areas. In the case of members of investment teams, including portfolio managers, the CCP is currently structured so that such employees have exposure to the investment strategies of their respective teams as well as the broader Neuberger Berman portfolio.

Restrictive Covenants. Most investment professionals, including portfolio managers, are subject to notice periods and restrictive covenants which include employee and client non-solicit restrictions as well as restrictions on the use of confidential information. In addition, depending on participation levels, certain senior professionals who have received equity grants have also agreed to additional notice and transition periods and, in some cases, non-compete restrictions. For confidentiality and privacy reasons, Neuberger Berman cannot disclose individual restrictive covenant arrangements.

Other Accounts Managed by the Portfolio Managers and Potential Conflicts of Interest

The following table reflects information as of March 31, 2024:

      
 

 

 

 

Performance Fee Accounts

Portfolio Manager

Category of Account

# of Accounts

AUM

# of Accounts

AUM

Ashok Bhatia, CFA

Other Registered Investment Companies

6

$5.66 billion

0

$0

Other Pooled Vehicles

24

$11.85 billion

1

$1.73 billion

Other Accounts

41

$11.15 billion

2

$151.02 million

      

David Brown, CFA

Other Registered Investment Companies

21

$6.12 billion

10

$209.10 million

Other Pooled Vehicles

104

$30.35 billion

1

$1.73 billion

Other Accounts

353

$43.32 billion

3

$340.44 million

 

 

    

Adam Grotzinger, CFA

Other Registered Investment Companies

4

$5.41 billion

0

$0

Other Pooled Vehicles

23

$11.71 billion

1

$1.73 billion

Other Accounts

34

$8.31 billion

2

$151.02 billion

 

 

    

David Kupperman, PhD

Other Registered Investment Companies

1

$99.44 million

0

$0

Other Pooled Vehicles

12

$1.76 billion

2

$1.36 billion

Other Accounts

5

$5.77 billion

1

$6.10 million

 

 

    

Joe Lynch

Other Registered Investment Companies

2

$484.72 million

0

$0

Other Pooled Vehicles

107

$30.21 billion

38

$20.45 billion

Other Accounts

 

$6.47 billion

  


      
 

 

 

 

Performance Fee Accounts

Portfolio Manager

Category of Account

# of Accounts

AUM

# of Accounts

AUM

  

36

 

1

$29.69 million

 

 

    

Louay Mikdashi

Other Registered Investment Companies

0

$0

0

$0

Other Pooled Vehicles

0

$0

0

$0

Other Accounts

0

$0

0

$0

Conflicts of Interest

Actual or apparent conflicts of interest may arise when a portfolio manager for Neuberger Berman has day-to-day management responsibilities with respect to more than one fund or other account. The management of multiple funds and accounts (including proprietary accounts) may give rise to actual or potential conflicts of interest if the funds and accounts have different or similar objectives, benchmarks, time horizons, and fees, as the portfolio manager must allocate his or her time and investment ideas across multiple funds and accounts. The portfolio manager may execute transactions for another fund or account that may adversely impact the value of securities or instruments held by a fund, and which may include transactions that are directly contrary to the positions taken by a fund. For example, a portfolio manager may engage in short sales of securities or instruments for another account that are the same type of securities or instruments in which a fund it manages also invests. In such a case, the portfolio manager could be seen as harming the performance of the fund for the benefit of the account engaging in short sales if the short sales cause the market value of the securities or instruments to fall. Additionally, if a portfolio manager identifies a limited investment opportunity that may be suitable for more than one fund or other account, a fund may not be able to take full advantage of that opportunity. There may also be regulatory limitations that prevent a fund from participating in a transaction that another account or fund managed by the same portfolio manager will invest. For example, the Investment Company Act of 1940, as amended, prohibits the mutual funds from participating in certain transactions with certain of its affiliates and from participating in “joint” transactions alongside certain of its affiliates. The prohibition on “joint” transactions may limit the ability of the funds to participate alongside its affiliates in privately negotiated transactions unless the transaction is otherwise permitted under existing regulatory guidance if granted, and may reduce the amount of privately negotiated transactions that the funds may participate in. Further, Neuberger Berman may take an investment position or action for a fund or account that may be different from, inconsistent with, or have different rights than (e.g., voting rights, dividend or repayment priorities or other features that may conflict with one another), an action or position taken for one or more other funds or accounts, including a fund, having similar or different objectives. A conflict may also be created by investing in different parts of an issuer’s capital structure (e.g., equity or debt, or different positions in the debt structure). Those positions and actions may adversely impact, or in some instances benefit, one or more affected accounts, including the funds. Potential conflicts may also arise because portfolio decisions and related actions regarding a position held for a fund or another account may not be in the best interests of a position held by another fund or account having similar or different objectives. If one account were to buy or sell portfolio securities or instruments shortly before another account bought or sold the same securities or instruments, it could affect the price paid or received by the second account. Securities selected for funds or accounts other than a fund may outperform the securities selected for the fund. Finally, a conflict of interest may arise if Neuberger Berman and a portfolio manager have a financial incentive to favor one account over another, such as a performance-based management fee that applies to one account but not all funds or accounts for which the portfolio manager is responsible. In the ordinary course of operations certain businesses within Neuberger Berman organization (the “Firm”) will seek access to material non-public information. For instance, Neuberger Berman portfolio managers may obtain and utilize material non-public information in purchasing loans and other debt instruments and certain privately placed or restricted equity instruments. From time to time, Neuberger Berman portfolio managers will be offered the opportunity on behalf of applicable clients to participate on a creditors or other similar committee in connection with restructuring or other “work-out” activity, which participation could provide access to material non-public information.


Neuberger Berman maintains procedures that address the process by which material non-public information may be acquired intentionally by Neuberger Berman. When considering whether to acquire material non-public information, Neuberger Berman will attempt to balance the interests of all clients, taking into consideration relevant factors, including the extent of the prohibition on trading that would occur, the size of Neuberger Berman’s existing position in the issuer, if any, and the value of the information as it relates to the investment decision-making process. The acquisition of material non-public information would likely give rise to a conflict of interest since Neuberger Berman may be prohibited from rendering investment advice to clients regarding the securities or instruments of such issuer and thereby potentially limiting the universe of securities or instruments that Neuberger Berman, including a fund, may purchase or potentially limiting the ability of Neuberger Berman, including a fund, to sell such securities or instruments. Similarly, where Neuberger Berman declines access to (or otherwise does not receive or share within Neuberger Berman) material non-public information regarding an issuer, the portfolio managers could potentially base investment decisions with respect to assets of such issuer solely on public information, thereby limiting the amount of information available to the portfolio managers in connection with such investment decisions. In determining whether or not to elect to receive material non-public information, Neuberger Berman will endeavor to act fairly to its clients as a whole. Neuberger Berman reserves the right to decline access to material non-public information, including declining to join a creditors or similar committee.

Neuberger Berman and the Fund have adopted certain compliance procedures which are designed to address these types of conflicts. However, there is no guarantee that such procedures will detect each and every situation in which a conflict arises.

Security Ownership of Portfolio Managers for the Jackson Credit Opportunities Fund as of March 31, 2024

        

Security Ownership of Portfolio Managers

None

$1-

$10,000

$10,001-

$50,000

$50,001-

$100,000

$100,001-

$500,000

$500,001-

$1,000,000

Over $1,000,000

Ashok Bhatia, CFA

X

      

David Brown, CFA

X

      

Adam Grotzinger, CFA

X

      

David Kupperman, PhD

X

      

Joe Lynch

X

      

Louay Mikdashi

X

      

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

     

Period

(a)

Total Number of Shares (or Units) Purchased

(b)

Average Price Paid per Share (or Unit)

(c)

Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs

(d)

Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs

Month #1 (12/01/23 – 12/31/23) (1)

29,821,000

$10.00

Month #2 (01/01/24 – 01/31/24)

Month #3 (02/01/24 – 02/29/24)

Month #4 (03/01/24 – 03/31/24)

Total

29,821,000

(1) On December 1, 2023, other Funds managed by the Advisor purchased 29,821,000 shares of the registrant.


Item 10. Submission of Matters to a Vote of Security Holders.

No material changes have been made.

Item 11. Controls and Procedures.

(a) The registrant maintains disclosure controls and procedures that are designed to ensure that information required to be disclosed in the registrant's filings under the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, is recorded, processed, summarized, and reported within the periods specified in the rules and forms of the U.S. Securities and Exchange Commission. Such information is accumulated and communicated to the registrant's management, including its principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosure. The registrant's management, including the principal executive officer and the principal financial officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives.

Within ninety (90) days prior to the filing date of this report on Form N-CSR, the registrant had carried out an evaluation, under the supervision and with the participation of the registrant's management, including the registrant's principal executive officer and the registrant's principal financial officer, of the effectiveness of the design and operation of the registrant's disclosure controls and procedures. Based on such evaluation, the registrant's principal executive officer and principal financial officer concluded that the registrant's disclosure controls and procedures are effective.

(b) There have been no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal controls over financial reporting. There have been no significant changes in the registrant's internal controls or in other factors that could significantly affect the internal controls subsequent to the date of their evaluation in connection with the preparation of this report on Form N-CSR.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

The registrant did not engage in securities lending activities during the fiscal period reported on this Form N-CSR.

Item 13. Exhibits.

(a) (1) Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (as defined in Item 2(b) of Form N-CSR) is attached hereto.

(2) The certifications required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.

(3) Not applicable.

(b) The certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, is attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

  

Jackson Credit Opportunities Fund

  
  

By:

/s/ Mark D. Nerud

 

Mark D. Nerud

 

Principal Executive Officer

  

Date:

May 23, 2024

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

  

By:

/s/ Mark D. Nerud

 

Mark D. Nerud

 

Principal Executive Officer

  

Date:

May 23, 2024

  
  

By:

/s/ Andrew Tedeschi

 

Andrew Tedeschi

 

Principal Financial Officer

  

Date:

May 23, 2024


EXHIBIT LIST

  

Exhibit 13(a)(1)

Registrant's Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002.

  

Exhibit 13(a)(2)

Certification of the Principal Executive Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended.

  
 

Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended.

  

Exhibit 13(b)

Certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended.



ATTACHMENTS / EXHIBITS

ATTACHMENTS / EXHIBITS

ex99codeeth-13a1.htm

ex99cert-13a2.htm

ex99906cert-13b.htm