Pioneer High Yield Fund | ||
Schedule of Investments | January 31, 2020 | ||
Ticker Symbols: Class A TAHYX Class C PYICX Class R TYHRX Class Y TYHYX | ||
| Shares | Value | ||||
| UNAFFILIATED ISSUERS - 101.2% | |||||
| COMMON STOCKS - 0.3% of Net Assets | |||||
Health Care Providers & Services - 0.2% | |||||
| 257,047(a) | Option Care Health, Inc. | $1,074,456 | |||
| Total Health Care Providers & Services | $1,074,456 | ||||
Oil, Gas & Consumable Fuels - 0.1% | |||||
| 23 | Amplify Energy Corp. | $124 | |||
| 6,967,063^(a) | Ascent CNR Corp. | 1,045,059 | |||
| Total Oil, Gas & Consumable Fuels | $1,045,183 | ||||
Transportation Infrastructure - 0.0%† | |||||
| 11,203(a) | Syncreon Group | $140,038 | |||
| Total Transportation Infrastructure | $140,038 | ||||
| TOTAL COMMON STOCKS | |||||
(Cost $2,007,593) | $2,259,677 | ||||
| CONVERTIBLE PREFERRED STOCK - 0.3% of Net Assets | |||||
Banks - 0.3% | |||||
| 1,561(b) | Wells Fargo & Co., 7.5% | $2,412,619 | |||
| Total Banks | $2,412,619 | ||||
| TOTAL CONVERTIBLE PREFERRED STOCK | |||||
(Cost $1,767,832) | $2,412,619 | ||||
| Principal Amount USD ($) | Value | ||||
| ASSET BACKED SECURITY - 0.1% of Net Assets | |||||
| 750,000 | InSite Issuer LLC, Series 2016-1A, Class C, 6.414%, 11/15/46 (144A) | $787,208 | |||
| TOTAL ASSET BACKED SECURITY | |||||
(Cost $750,000) | $787,208 | ||||
| COLLATERALIZED MORTGAGE OBLIGATIONS - 0.5% of Net Assets | |||||
| 1,922,722(c) | Banc of America Commercial Mortgage Trust, Series 2007-4, Class H, 6.058%, 2/10/51 (144A) | $1,888,571 | |||
| 248,197 | Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A) | 146,015 | |||
| 2,513,900(c) | GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A) | 1,467,641 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||||
(Cost $4,567,273) | $3,502,227 | ||||
| CONVERTIBLE CORPORATE BONDS - 3.1% of Net Assets | |||||
Biotechnology - 0.4% | |||||
| 3,275,000 | Insmed, Inc., 1.75%, 1/15/25 | $3,082,925 | |||
| Total Biotechnology | $3,082,925 | ||||
Commercial Services - 0.2% | |||||
| 1,248,750 | Macquarie Infrastructure Corp., 2.0%, 10/1/23 | $1,197,301 | |||
| Total Commercial Services | $1,197,301 | ||||
Computers - 0.4% | |||||
| 2,635,000 | Pure Storage, Inc., 0.125%, 4/15/23 | $2,645,684 | |||
| Total Computers | $2,645,684 | ||||
Internet - 0.4% | |||||
| 2,871,000 | Palo Alto Networks, Inc., 0.75%, 7/1/23 | $3,189,750 | |||
| Total Internet | $3,189,750 | ||||
Media - 0.4% | |||||
| 3,351,000 | DISH Network Corp., 2.375%, 3/15/24 | $3,076,679 | |||
| Total Media | $3,076,679 | ||||
Oil & Gas - 0.3% | |||||
| 3,270,000 | Oasis Petroleum, Inc., 2.625%, 9/15/23 | $2,298,253 | |||
| Total Oil & Gas | $2,298,253 | ||||
Pharmaceuticals - 0.2% | |||||
| 1,970,000 | Teva Pharmaceutical Finance Co. LLC, 0.25%, 2/1/26 | $1,882,447 | |||
| Total Pharmaceuticals | $1,882,447 | ||||
Software - 0.5% | |||||
| 1,714,000 | Akamai Technologies, Inc., 0.125%, 5/1/25 | $1,975,177 | |||
| 2,025,000 | Workiva, Inc., 1.125%, 8/15/26 (144A) | 1,888,460 | |||
| Total Software | $3,863,637 | ||||
Transportation - 0.3% | |||||
| 2,170,000 | SEACOR Holdings, Inc., 3.0%, 11/15/28 | $2,140,162 | |||
| Total Transportation | $2,140,162 | ||||
| TOTAL CONVERTIBLE CORPORATE BONDS | |||||
(Cost $24,118,377) | $23,376,838 | ||||
| CORPORATE BONDS - 83.5% of Net Assets | |||||
Advertising - 1.0% | |||||
| 775,000 | Lamar Media Corp., 3.75%, 2/15/28 (144A) | $780,177 | |||
| 495,000 | Lamar Media Corp., 4.0%, 2/15/30 (144A) | 498,713 | |||
| 6,166,000 | MDC Partners, Inc., 6.5%, 5/1/24 (144A) | 5,580,230 | |||
| Total Advertising | $6,859,120 | ||||
Aerospace & Defense - 1.2% | |||||
| 3,850,000 | Bombardier, Inc., 6.0%, 10/15/22 (144A) | $3,773,000 | |||
| 3,010,000 | Bombardier, Inc., 7.5%, 3/15/25 (144A) | 2,893,362 | |||
| 500,000 | Bombardier, Inc., 7.875%, 4/15/27 (144A) | 473,725 | |||
| Principal Amount USD ($) | Value | ||||
| Aerospace & Defense - (continued) | |||||
| 1,511,000 | F-Brasile S.p.A./F-Brasile US LLC, 7.375%, 8/15/26 (144A) | $1,605,438 | |||
| Total Aerospace & Defense | $8,745,525 | ||||
Auto Manufacturers - 0.6% | |||||
| 3,916,000 | JB Poindexter & Co., Inc., 7.125%, 4/15/26 (144A) | $4,209,700 | |||
| Total Auto Manufacturers | $4,209,700 | ||||
Auto Parts & Equipment - 1.7% | |||||
| 6,675,000 | American Axle & Manufacturing, Inc., 6.25%, 3/15/26 | $6,791,812 | |||
| 2,628,000 | Dealer Tire LLC/DT Issuer LLC, 8.0%, 2/1/28 (144A) | 2,660,850 | |||
| 3,599,000 | Titan International, Inc., 6.5%, 11/30/23 | 3,140,128 | |||
| Total Auto Parts & Equipment | $12,592,790 | ||||
Banks - 3.6% | |||||
| 5,770,000(b)(c) | Barclays Plc, 7.75% (5 Year USD Swap Rate + 484 bps) | $6,318,150 | |||
| 1,575,000(b)(c) | Citigroup, Inc., 4.7% (SOFRRATE + 323 bps) | 1,604,531 | |||
| 405,000(b)(c) | Credit Suisse Group AG, 5.1% (5 Year CMT Index + 329 bps) (144A) | 409,050 | |||
| 4,000,000 | Freedom Mortgage Corp., 8.125%, 11/15/24 (144A) | 3,980,000 | |||
| 4,135,000 | Freedom Mortgage Corp., 8.25%, 4/15/25 (144A) | 4,098,819 | |||
| 1,600,000(b)(c) | Intesa Sanpaolo S.p.A., 7.7% (5 Year USD Swap Rate + 546 bps) (144A) | 1,794,000 | |||
| 2,195,000(b)(c) | JPMorgan Chase & Co., 4.6% (SOFRRATE + 313 bps) | 2,237,144 | |||
| 3,538,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/25 (144A) | 3,502,620 | |||
| 1,500,000(b)(c) | UBS Group AG, 7.0% (5 Year USD Swap Rate + 434 bps) (144A) | 1,651,665 | |||
| 1,141,000(b)(c) | UBS Group AG, 7.125% (5 Year USD Swap Rate + 588 bps) | 1,206,434 | |||
| Total Banks | $26,802,413 | ||||
Building Materials - 2.2% | |||||
| 2,372,000 | Builders FirstSource, Inc., 5.625%, 9/1/24 (144A) | $2,460,238 | |||
| 1,993,000 | Builders FirstSource, Inc., 6.75%, 6/1/27 (144A) | 2,182,734 | |||
| 2,866,000 | Patrick Industries, Inc., 7.5%, 10/15/27 (144A) | 3,116,775 | |||
| 5,552,000 | Standard Industries, Inc., 4.75%, 1/15/28 (144A) | 5,694,270 | |||
| 2,918,000 | Summit Materials LLC/Summit Materials Finance Corp., 6.5%, 3/15/27 (144A) | 3,158,735 | |||
| Total Building Materials | $16,612,752 | ||||
Chemicals - 2.7% | |||||
| 1,437,000 | CF Industries, Inc., 4.95%, 6/1/43 | $1,537,590 | |||
| 2,607,000 | CF Industries, Inc., 5.375%, 3/15/44 | 2,932,354 | |||
| 3,125,000 | NOVA Chemicals Corp., 4.875%, 6/1/24 (144A) | 3,171,875 | |||
| 471,000 | NOVA Chemicals Corp., 5.0%, 5/1/25 (144A) | 472,177 | |||
| 284,000 | NOVA Chemicals Corp., 5.25%, 6/1/27 (144A) | 288,970 | |||
| 425,000 | Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.75%, 4/30/26 (144A) | 412,250 | |||
| 960,000 | OCI NV, 5.25%, 11/1/24 (144A) | 988,800 | |||
| 2,134,000 | OCI NV, 6.625%, 4/15/23 (144A) | 2,215,092 | |||
| 3,765,000 | Olin Corp., 5.0%, 2/1/30 | 3,832,394 | |||
| 1,000,000 | Olin Corp., 5.625%, 8/1/29 | 1,055,000 | |||
| 4,347,000 | Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.375%, 9/1/25 (144A) | 4,074,443 | |||
| Total Chemicals | $20,980,945 | ||||
Coal - 0.6% | |||||
| 4,474,000 | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 (144A) | $4,295,040 | |||
| Total Coal | $4,295,040 | ||||
Commercial Services - 6.6% | |||||
| 1,110,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26 (144A) | $1,180,069 | |||
| 1,814,000 | Ashtead Capital, Inc., 4.125%, 8/15/25 (144A) | 1,863,885 | |||
| 525,000 | Ashtead Capital, Inc., 4.25%, 11/1/29 (144A) | 546,000 | |||
| 3,141,000 | Brink's Co., 4.625%, 10/15/27 (144A) | 3,203,820 | |||
| 4,515,000 | Cardtronics, Inc./Cardtronics USA, Inc., 5.5%, 5/1/25 (144A) | 4,673,025 | |||
| 5,985,000 | GW B-CR Security Corp., 9.5%, 11/1/27 (144A) | 6,388,988 | |||
| 3,973,000 | Herc Holdings, Inc., 5.5%, 7/15/27 (144A) | 4,150,593 | |||
| 1,950,000 | Hertz Corp., 7.125%, 8/1/26 (144A) | 2,071,875 | |||
| 1,275,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 5.25%, 4/15/24 (144A) | 1,329,188 | |||
| 1,870,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, 4/15/26 (144A) | 1,972,850 | |||
| 4,165,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 4,113,979 | |||
| 3,535,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (144A) | 3,702,913 | |||
| 4,570,000 | Sotheby's, 7.375%, 10/15/27 (144A) | 4,655,230 | |||
| 1,235,000 | United Rentals North America, Inc., 3.875%, 11/15/27 | 1,247,350 | |||
| 450,000 | United Rentals North America, Inc., 5.25%, 1/15/30 | 483,075 | |||
| 2,020,000 | United Rentals North America, Inc., 5.5%, 5/15/27 | 2,145,846 | |||
| 1,276,000 | United Rentals North America, Inc., 6.5%, 12/15/26 | 1,386,055 | |||
| 3,249,000 | Verscend Escrow Corp., 9.75%, 8/15/26 (144A) | 3,533,288 | |||
| Total Commercial Services | $48,648,029 | ||||
Distribution & Wholesale - 0.9% | |||||
| 6,350,000 | Wolverine Escrow LLC, 8.5%, 11/15/24 (144A) | $6,529,896 | |||
| Total Distribution & Wholesale | $6,529,896 | ||||
Diversified Finance Services - 2.1% | |||||
| 2,360,000 | Alliance Data Systems Corp., 4.75%, 12/15/24 (144A) | $2,353,038 | |||
| 2,550,000 | Avation Capital SA, 6.5%, 5/15/21 (144A) | 2,632,875 | |||
| 3,190,000(d) | Global Aircraft Leasing Co., Ltd., 6.5%, (7.25% PIK 6.50% cash), 9/15/24 (144A) | 3,263,530 | |||
| 515,000 | Nationstar Mortgage Holdings, Inc., 6.0%, 1/15/27 (144A) | 524,100 | |||
| 470,000 | Nationstar Mortgage Holdings, Inc., 8.125%, 7/15/23 (144A) | 497,025 | |||
| 4,065,000 | Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/26 (144A) | 4,513,979 | |||
| Principal Amount USD ($) | Value | ||||
| Diversified Finance Services - (continued) | |||||
| 1,150,000 | Springleaf Finance Corp., 5.375%, 11/15/29 | $1,195,885 | |||
| Total Diversified Finance Services | $14,980,432 | ||||
Electric - 1.4% | |||||
| 995,000 | Clearway Energy Operating LLC, 4.75%, 3/15/28 (144A) | $1,023,706 | |||
| 2,546,000 | Clearway Energy Operating LLC, 5.75%, 10/15/25 | 2,675,846 | |||
| 283,775 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25 (144A) | 317,118 | |||
| 860,000 | Talen Energy Supply LLC, 6.625%, 1/15/28 (144A) | 860,000 | |||
| 1,155,000 | Talen Energy Supply LLC, 7.25%, 5/15/27 (144A) | 1,183,875 | |||
| 4,102,000 | Vistra Operations Co. LLC, 5.625%, 2/15/27 (144A) | 4,266,080 | |||
| Total Electric | $10,326,625 | ||||
Electrical Components & Equipment - 0.2% | |||||
EUR | 1,530,000 | Belden, Inc., 3.875%, 3/15/28 (144A) | $1,799,080 | ||
| Total Electrical Components & Equipment | $1,799,080 | ||||
Energy-Alternate Sources - 0.4% | |||||
| 2,625,000 | TerraForm Power Operating LLC, 4.75%, 1/15/30 (144A) | $2,766,120 | |||
| Total Energy-Alternate Sources | $2,766,120 | ||||
Entertainment - 2.6% | |||||
| 2,445,000 | AMC Entertainment Holdings, Inc., 5.75%, 6/15/25 | $2,176,050 | |||
| 942,000 | Cirsa Finance International S.a.r.l., 7.875%, 12/20/23 (144A) | 990,577 | |||
| 3,514,000 | Enterprise Development Authority, 12.0%, 7/15/24 (144A) | 4,029,398 | |||
| 903,000 | Penn National Gaming, Inc., 5.625%, 1/15/27 (144A) | 947,793 | |||
| 1,450,000 | Scientific Games International, Inc., 5.0%, 10/15/25 (144A) | 1,491,267 | |||
| 1,580,000 | Scientific Games International, Inc., 7.0%, 5/15/28 (144A) | 1,667,358 | |||
| 1,580,000 | Scientific Games International, Inc., 7.25%, 11/15/29 (144A) | 1,694,550 | |||
| 6,000,000 | Scientific Games International, Inc., 8.25%, 3/15/26 (144A) | 6,510,000 | |||
| Total Entertainment | $19,506,993 | ||||
Environmental Control - 2.1% | |||||
| 4,182,000 | Covanta Holding Corp., 6.0%, 1/1/27 | $4,335,500 | |||
| 605,000 | GFL Environmental, Inc., 5.125%, 12/15/26 (144A) | 623,059 | |||
| 3,582,000 | GFL Environmental, Inc., 5.375%, 3/1/23 (144A) | 3,658,118 | |||
| 565,000 | GFL Environmental, Inc., 7.0%, 6/1/26 (144A) | 588,843 | |||
| 2,155,000 | GFL Environmental, Inc., 8.5%, 5/1/27 (144A) | 2,348,950 | |||
| 3,668,000 | Tervita Corp., 7.625%, 12/1/21 (144A) | 3,732,190 | |||
| Total Environmental Control | $15,286,660 | ||||
Food - 3.9% | |||||
| 1,055,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.875%, 2/15/30 (144A) | $1,082,936 | |||
| 3,765,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 5.75%, 3/15/25 | 3,896,850 | |||
| 1,994,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 5.875%, 2/15/28 (144A) | 2,128,595 | |||
| 1,178,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 7.5%, 3/15/26 (144A) | 1,304,635 | |||
| 4,217,000 | FAGE International SA/FAGE USA Dairy Industry, Inc., 5.625%, 8/15/26 (144A) | 3,911,268 | |||
| 1,362,000 | Ingles Markets, Inc., 5.75%, 6/15/23 | 1,385,263 | |||
| 3,750,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.5%, 1/15/30 (144A) | 4,050,000 | |||
| 1,740,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.5%, 4/15/29 (144A) | 1,948,800 | |||
| 2,738,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.75%, 2/15/28 (144A) | 3,032,335 | |||
| 1,838,000 | Pilgrim's Pride Corp., 5.875%, 9/30/27 (144A) | 1,949,567 | |||
| 4,265,000 | Simmons Foods, Inc., 5.75%, 11/1/24 (144A) | 4,307,650 | |||
| Total Food | $28,997,899 | ||||
Forest Products & Paper - 0.7% | |||||
| 2,114,000 | Mercer International, Inc., 7.375%, 1/15/25 | $2,236,443 | |||
| 3,018,000 | Schweitzer-Mauduit International, Inc., 6.875%, 10/1/26 (144A) | 3,244,350 | |||
| Total Forest Products & Paper | $5,480,793 | ||||
Healthcare-Services - 3.6% | |||||
| 4,515,000 | BCPE Cycle Merger Sub II, Inc., 10.625%, 7/15/27 (144A) | $4,652,956 | |||
| 4,075,000 | Centene Corp., 5.25%, 4/1/25 (144A) | 4,222,719 | |||
| 990,000 | CHS/Community Health Systems, Inc., 6.625%, 2/15/25 (144A) | 1,000,078 | |||
| 3,733,000 | HCA, Inc., 5.375%, 2/1/25 | 4,172,001 | |||
| 563,000 | HCA, Inc., 5.875%, 2/1/29 | 664,396 | |||
| 2,355,000 | Select Medical Corp., 6.25%, 8/15/26 (144A) | 2,540,645 | |||
| 4,893,000 | Surgery Center Holdings, Inc., 10.0%, 4/15/27 (144A) | 5,443,463 | |||
| 2,335,000 | Tenet Healthcare Corp., 4.875%, 1/1/26 (144A) | 2,421,103 | |||
| 1,945,000 | Tenet Healthcare Corp., 5.125%, 11/1/27 (144A) | 2,047,113 | |||
| Total Healthcare-Services | $27,164,474 | ||||
Holding Companies-Diversified - 0.4% | |||||
| 2,900,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 10.5%, 6/1/24 (144A) | $2,747,750 | |||
| Total Holding Companies-Diversified | $2,747,750 | ||||
Home Builders - 3.1% | |||||
| 2,000,000 | Beazer Homes USA, Inc., 5.875%, 10/15/27 | $2,075,000 | |||
| 4,325,000 | Beazer Homes USA, Inc., 6.75%, 3/15/25 | 4,541,250 | |||
| 1,405,000 | Beazer Homes USA, Inc., 7.25%, 10/15/29 (144A) | 1,534,962 | |||
| 3,699,000 | Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.25%, 9/15/27 (144A) | 3,957,930 | |||
| 4,767,000 | KB Home, 6.875%, 6/15/27 | 5,607,184 | |||
| 3,165,000 | M/I Homes, Inc., 4.95%, 2/1/28 (144A) | 3,259,950 | |||
| 2,578,000 | Taylor Morrison Communities, Inc., 5.875%, 6/15/27 (144A) | 2,868,025 | |||
| Total Home Builders | $23,844,301 | ||||
| Principal Amount USD ($) | Value | ||||
Insurance - 0.4% | |||||
| 2,468,000 | CNO Financial Group, Inc., 5.25%, 5/30/29 | $2,782,670 | |||
| Total Insurance | $2,782,670 | ||||
Internet - 0.6% | |||||
| 3,907,000 | Netflix, Inc., 5.375%, 11/15/29 (144A) | $4,252,535 | |||
| Total Internet | $4,252,535 | ||||
Iron & Steel - 0.7% | |||||
| 1,230,000 | Commercial Metals Co., 5.375%, 7/15/27 | $1,282,275 | |||
| 4,310,000 | Commercial Metals Co., 5.75%, 4/15/26 | 4,536,275 | |||
| Total Iron & Steel | $5,818,550 | ||||
Leisure Time - 0.9% | |||||
| 4,640,000 | Viking Cruises, Ltd., 5.875%, 9/15/27 (144A) | $4,756,232 | |||
| 2,285,000 | Viking Cruises, Ltd., 6.25%, 5/15/25 (144A) | 2,345,941 | |||
| Total Leisure Time | $7,102,173 | ||||
Lodging - 0.9% | |||||
| 2,486,000 | MGM Resorts International, 5.5%, 4/15/27 | $2,734,600 | |||
| 3,685,000 | Station Casinos LLC, 4.5%, 2/15/28 (144A) | 3,679,325 | |||
| Total Lodging | $6,413,925 | ||||
Machinery-Diversified - 0.6% | |||||
| 4,329,000 | Cloud Crane LLC, 10.125%, 8/1/24 (144A) | $4,613,069 | |||
| Total Machinery-Diversified | $4,613,069 | ||||
Media - 3.3% | |||||
| 3,450,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/1/30 (144A) | $3,547,031 | |||
| 2,290,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.0%, 2/1/28 (144A) | 2,395,912 | |||
| 2,598,000 | Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/24 (144A) | 2,828,572 | |||
| 2,000,000 | CSC Holdings LLC, 5.375%, 2/1/28 (144A) | 2,120,000 | |||
| 2,672,000 | CSC Holdings LLC, 7.5%, 4/1/28 (144A) | 3,039,934 | |||
| 5,533,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/27 (144A) | 5,173,355 | |||
| 1,700,000 | LCPR Senior Secured Financing DAC, 6.75%, 10/15/27 (144A) | 1,797,818 | |||
| 3,690,000 | Sinclair Television Group, Inc., 5.5%, 3/1/30 (144A) | 3,773,025 | |||
| Total Media | $24,675,647 | ||||
Mining - 2.7% | |||||
| 806,000 | Coeur Mining, Inc., 5.875%, 6/1/24 | $803,751 | |||
| 1,689,000 | First Quantum Minerals, Ltd., 6.875%, 3/1/26 (144A) | 1,629,885 | |||
| 1,140,000 | First Quantum Minerals, Ltd., 7.25%, 4/1/23 (144A) | 1,132,163 | |||
| 375,000 | First Quantum Minerals, Ltd., 7.5%, 4/1/25 (144A) | 369,375 | |||
| 4,323,000 | Freeport-McMoRan, Inc., 5.25%, 9/1/29 | 4,582,380 | |||
| 2,096,000 | Hudbay Minerals, Inc., 7.25%, 1/15/23 (144A) | 2,119,580 | |||
| 2,008,000 | Hudbay Minerals, Inc., 7.625%, 1/15/25 (144A) | 2,028,080 | |||
| 1,942,000 | Joseph T Ryerson & Son, Inc., 11.0%, 5/15/22 (144A) | 2,039,100 | |||
| 2,070,000 | Novelis Corp., 4.75%, 1/30/30 (144A) | 2,079,108 | |||
| 3,235,000 | Novelis Corp., 5.875%, 9/30/26 (144A) | 3,429,100 | |||
| Total Mining | $20,212,522 | ||||
Miscellaneous Manufacturers - 0.7% | |||||
| 1,500,000 | Amsted Industries, Inc., 4.625%, 5/15/30 (144A) | $1,518,750 | |||
| 3,280,000 | EnPro Industries, Inc., 5.75%, 10/15/26 | 3,460,400 | |||
| Total Miscellaneous Manufacturers | $4,979,150 | ||||
Oil & Gas - 8.5% | |||||
| 4,790,000 | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | $4,664,262 | |||
| 2,449,000 | Great Western Petroleum LLC/Great Western Finance Corp., 9.0%, 9/30/21 (144A) | 2,314,305 | |||
| 2,060,000 | Gulfport Energy Corp., 6.0%, 10/15/24 | 1,135,472 | |||
| 5,198,000 | Indigo Natural Resources LLC, 6.875%, 2/15/26 (144A) | 4,756,170 | |||
| 3,276,000 | Jagged Peak Energy LLC, 5.875%, 5/1/26 | 3,374,280 | |||
| 853,000 | MEG Energy Corp., 6.5%, 1/15/25 (144A) | 893,518 | |||
| 1,788,000 | MEG Energy Corp., 7.0%, 3/31/24 (144A) | 1,801,410 | |||
| 1,245,000 | MEG Energy Corp., 7.125%, 2/1/27 (144A) | 1,232,936 | |||
| 895,000 | Nabors Industries, Ltd., 7.25%, 1/15/26 (144A) | 893,971 | |||
| 4,499,000 | Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A) | 4,431,515 | |||
| 3,141,000 | Oasis Petroleum, Inc., 6.875%, 3/15/22 | 3,015,360 | |||
| 1,790,000 | Parkland Fuel Corp., 5.875%, 7/15/27 (144A) | 1,896,863 | |||
| 540,000 | Parsley Energy LLC/Parsley Finance Corp., 5.25%, 8/15/25 (144A) | 553,500 | |||
| 1,900,000 | Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/27 (144A) | 1,999,750 | |||
| 2,888,000 | Parsley Energy LLC/Parsley Finance Corp., 6.25%, 6/1/24 (144A) | 2,989,080 | |||
| 4,690,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.0%, 2/15/28 (144A) | 4,795,994 | |||
| 1,965,000 | PBF Holding Co. LLC/PBF Finance Corp., 7.0%, 11/15/23 | 2,035,937 | |||
| 4,172,000 | Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A) | 3,879,960 | |||
| 265,000 | SM Energy Co., 6.125%, 11/15/22 | 262,350 | |||
| 4,606,000 | SM Energy Co., 6.75%, 9/15/26 | 4,182,501 | |||
| 4,052,000 | Transocean Sentry, Ltd., 5.375%, 5/15/23 (144A) | 4,062,130 | |||
| 3,450,000 | Transocean, Inc., 7.25%, 11/1/25 (144A) | 3,251,625 | |||
| 1,125,000 | Transocean, Inc., 8.0%, 2/1/27 (144A) | 1,047,150 | |||
| 4,003,000 | Whiting Petroleum Corp., 6.625%, 1/15/26 | 2,249,186 | |||
| 1,900,000 | WPX Energy, Inc., 5.25%, 9/15/24 | 1,990,250 | |||
| 420,000 | WPX Energy, Inc., 5.25%, 10/15/27 | 438,900 | |||
| 383,000 | WPX Energy, Inc., 8.25%, 8/1/23 | 441,886 | |||
| Total Oil & Gas | $64,590,261 | ||||
| Principal Amount USD ($) | Value | ||||
Oil & Gas Services - 1.6% | |||||
| 2,635,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.0%, 10/1/22 | $2,638,294 | |||
| 1,270,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.25%, 4/1/28 (144A) | 1,306,512 | |||
| 2,700,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.875%, 4/1/27 (144A) | 2,880,103 | |||
| 1,448,000 | Exterran Energy Solutions LP/EES Finance Corp., 8.125%, 5/1/25 | 1,434,128 | |||
| 1,961,000 | FTS International, Inc., 6.25%, 5/1/22 | 1,088,355 | |||
| 1,920,000 | SESI LLC, 7.75%, 9/15/24 | 1,195,411 | |||
| 1,300,000 | USA Compression Partners LP/USA Compression Finance Corp., 6.875%, 9/1/27 | 1,355,120 | |||
| Total Oil & Gas Services | $11,897,923 | ||||
Packaging & Containers - 1.8% | |||||
| 2,160,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.0%, 2/15/25 (144A) | $2,257,200 | |||
| 4,453,000 | Crown Cork & Seal Co., Inc., 7.375%, 12/15/26 | 5,265,672 | |||
| 4,756,000 | Greif, Inc., 6.5%, 3/1/27 (144A) | 5,121,594 | |||
| 1,060,000 | Plastipak Holdings, Inc., 6.25%, 10/15/25 (144A) | 932,800 | |||
| Total Packaging & Containers | $13,577,266 | ||||
Pharmaceuticals - 3.0% | |||||
| 2,087,000 | Bausch Health Americas, Inc., 8.5%, 1/31/27 (144A) | $2,360,919 | |||
| 530,000 | Bausch Health Cos., Inc., 5.0%, 1/30/28 (144A) | 536,625 | |||
| 370,000 | Bausch Health Cos., Inc., 5.25%, 1/30/30 (144A) | 376,937 | |||
| 2,470,000 | Bausch Health Cos., Inc., 5.5%, 11/1/25 (144A) | 2,558,500 | |||
| 396,000 | Bausch Health Cos., Inc., 5.875%, 5/15/23 (144A) | 399,465 | |||
| 935,000 | Bausch Health Cos., Inc., 6.5%, 3/15/22 (144A) | 952,353 | |||
| 1,250,000 | Bausch Health Cos., Inc., 7.0%, 3/15/24 (144A) | 1,295,875 | |||
| 893,000 | Bausch Health Cos., Inc., 7.0%, 1/15/28 (144A) | 967,244 | |||
| 893,000 | Bausch Health Cos., Inc., 7.25%, 5/30/29 (144A) | 1,006,599 | |||
| 1,460,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.0%, 2/1/25 (144A) | 1,011,050 | |||
| 3,552,000 | Horizon Therapeutics USA, Inc., 5.5%, 8/1/27 (144A) | 3,787,498 | |||
| 2,483,000 | Par Pharmaceutical, Inc., 7.5%, 4/1/27 (144A) | 2,526,453 | |||
| 5,598,000 | Teva Pharmaceutical Finance Netherlands III BV, 2.8%, 7/21/23 | 5,205,188 | |||
| Total Pharmaceuticals | $22,984,706 | ||||
Pipelines - 5.7% | |||||
| 4,663,000 | American Midstream Partners LP/American Midstream Finance Corp., 9.5%, 12/15/21 (144A) | $4,651,342 | |||
| 2,175,000 | Cheniere Energy Partners LP, 4.5%, 10/1/29 (144A) | 2,213,062 | |||
| 913,000 | DCP Midstream Operating LP, 3.875%, 3/15/23 | 931,260 | |||
| 3,400,000 | DCP Midstream Operating LP, 5.6%, 4/1/44 | 3,306,500 | |||
| 2,800,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75%, 5/15/25 | 2,814,000 | |||
| 3,520,000(b)(c) | Energy Transfer Operating LP, 7.125% (5 Year CMT Index + 531 bps) | 3,599,200 | |||
| 68,000 | EnLink Midstream LLC, 5.375%, 6/1/29 | 61,540 | |||
| 685,000 | EnLink Midstream Partners LP, 5.05%, 4/1/45 | 513,750 | |||
| 1,973,000 | EnLink Midstream Partners LP, 5.6%, 4/1/44 | 1,548,805 | |||
| 2,760,000 | Genesis Energy LP/Genesis Energy Finance Corp., 6.25%, 5/15/26 | 2,635,469 | |||
| 2,190,000 | Genesis Energy LP/Genesis Energy Finance Corp., 6.5%, 10/1/25 | 2,135,250 | |||
| 4,115,000 | Genesis Energy LP/Genesis Energy Finance Corp., 7.75%, 2/1/28 | 4,149,072 | |||
| 3,950,000 | Global Partners LP/GLP Finance Corp., 7.0%, 6/15/23 | 4,048,750 | |||
| 1,812,000 | Global Partners LP/GLP Finance Corp., 7.0%, 8/1/27 (144A) | 1,955,239 | |||
| 2,305,000 | Hess Midstream Operations LP, 5.125%, 6/15/28 (144A) | 2,379,290 | |||
| 1,545,000 | Hess Midstream Operations LP, 5.625%, 2/15/26 (144A) | 1,617,159 | |||
| 2,200,000 | PBF Logistics LP/PBF Logistics Finance Corp., 6.875%, 5/15/23 | 2,260,500 | |||
| 552,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.5%, 7/15/27 | 601,680 | |||
| 1,204,000 | Williams Cos., Inc., 5.75%, 6/24/44 | 1,432,190 | |||
| Total Pipelines | $42,854,058 | ||||
REITs - 1.7% | |||||
| 6,000,000 | Iron Mountain, Inc., 4.875%, 9/15/27 (144A) | $6,180,000 | |||
| 1,780,000 | iStar, Inc., 4.25%, 8/1/25 | 1,788,900 | |||
| 3,190,000 | iStar, Inc., 4.75%, 10/1/24 | 3,317,600 | |||
| 2,453,000 | MPT Operating Partnership LP/MPT Finance Corp., 4.625%, 8/1/29 | 2,563,385 | |||
| Total REITs | $13,849,885 | ||||
Retail - 1.5% | |||||
| 2,660,000 | AAG FH LP/AAG FH Finco, Inc., 9.75%, 7/15/24 (144A) | $2,447,200 | |||
| 2,735,000 | Golden Nugget, Inc., 8.75%, 10/1/25 (144A) | 2,873,856 | |||
| 900,000 | JC Penney Corp., Inc., 5.875%, 7/1/23 (144A) | 785,250 | |||
| 5,165,000 | Michaels Stores, Inc., 8.0%, 7/15/27 (144A) | 4,616,219 | |||
| 600,000 | QVC, Inc., 4.75%, 2/15/27 | 605,537 | |||
| Total Retail | $11,328,062 | ||||
Telecommunications - 7.0% | |||||
| 1,395,000 | CenturyLink, Inc., 4.0%, 2/15/27 (144A) | $1,406,439 | |||
| 1,996,000 | CenturyLink, Inc., 5.8%, 3/15/22 | 2,103,844 | |||
| 1,510,000 | CommScope Technologies LLC, 5.0%, 3/15/27 (144A) | 1,370,325 | |||
| 1,081,000 | CommScope, Inc., 8.25%, 3/1/27 (144A) | 1,110,727 | |||
| 2,000,000 | Frontier Communications Corp., 8.5%, 4/1/26 (144A) | 2,050,000 | |||
| 2,500,000 | Frontier Communications Corp., 8.75%, 4/15/22 | 1,156,250 | |||
| 3,600,000 | Frontier Communications Corp., 11.0%, 9/15/25 | 1,649,250 | |||
| 4,515,000 | Intelsat Jackson Holdings SA, 5.5%, 8/1/23 | 3,623,288 | |||
| 5,850,000 | Level 3 Financing, Inc., 4.625%, 9/15/27 (144A) | 6,010,992 | |||
| 475,000 | Level 3 Financing, Inc., 5.375%, 5/1/25 | 490,438 | |||
| 12,003,000 | Sprint Corp., 7.25%, 9/15/21 | 12,588,146 | |||
| 2,678,000 | Sprint Corp., 7.625%, 3/1/26 | 2,794,895 | |||
| Principal Amount USD ($) | Value | ||||
| Telecommunications - (continued) | |||||
| 3,445,000 | T-Mobile USA, Inc., 5.125%, 4/15/25 | $3,547,695 | |||
| 700,000 | T-Mobile USA, Inc., 6.0%, 4/15/24 | 720,563 | |||
| 860,000 | T-Mobile USA, Inc., 6.5%, 1/15/26 | 917,147 | |||
| 5,460,000 | Windstream Services LLC/Windstream Finance Corp., 8.625%, 10/31/25 (144A) | 5,323,500 | |||
| 4,975,000 | Ypso Finance Bis SA, 6.0%, 2/15/28 (144A) | 4,975,000 | |||
| Total Telecommunications | $51,838,499 | ||||
Transportation - 0.3% | |||||
| 2,310,000 | Cargo Aircraft Management, Inc., 4.75%, 2/1/28 (144A) | $2,344,742 | |||
| Total Transportation | $2,344,742 | ||||
| TOTAL CORPORATE BONDS | |||||
(Cost $611,223,196) | $625,292,980 | ||||
| INSURANCE-LINKED SECURITIES - 2.4% of Net Assets(e) | |||||
Event Linked Bonds - 0.7% | |||||
| Earthquakes - California - 0.1% | |||||
| 800,000(f) | Ursa Re, 7.546% (3 Month U.S. Treasury Bill + 600 bps), 5/27/20 (144A) | $792,640 | |||
| Earthquakes - Mexico - 0.1% | |||||
| 350,000(f) | International Bank for Reconstruction & Development, 9.96% (3 Month USD LIBOR + 825 bps), 2/14/20 (144A) | $350,070 | |||
| Earthquakes - Peru - 0.0%† | |||||
| 245,000(f) | International Bank for Reconstruction & Development, 7.71% (3 Month USD LIBOR + 600 bps), 2/15/21 (144A) | $242,918 | |||
| Multiperil - U.S. - 0.3% | |||||
| 750,000(f) | Caelus Re V, 2.041% (1 Month U.S. Treasury Bill + 50 bps), 6/5/20 (144A) | $150 | |||
| 450,000(f) | Caelus Re V, 9.361% (3 Month U.S. Treasury Bill + 782 bps), 6/7/21 (144A) | 402,795 | |||
| 1,000,000(f) | Kilimanjaro II Re, 12.219% (6 Month USD LIBOR + 1,061 bps), 4/20/21 (144A) | 993,000 | |||
| 1,000,000(f) | Residential Reinsurance 2016, 6.976% (3 Month U.S. Treasury Bill + 543 bps), 12/6/20 (144A) | 982,700 | |||
| $2,378,645 | |||||
| Multiperil - Worldwide - 0.1% | |||||
| 600,000(f) | Galilei Re, 7.254% (6 Month USD LIBOR + 568 bps), 1/8/21 (144A) | $598,800 | |||
| 250,000(f) | Galilei Re, 10.204% (6 Month USD LIBOR + 863 bps), 1/8/21 (144A) | 247,875 | |||
| $846,675 | |||||
| Pandemic - Worldwide - 0.1% | |||||
| 400,000(f) | International Bank for Reconstruction & Development, 12.973% (6 Month USD LIBOR + 1,150 bps), 7/15/20 (144A) | $250,000 | |||
| Total Event Linked Bonds | $4,860,948 | ||||
| Face Amount USD ($) | Value | ||||
Collateralized Reinsurance - 0.7% | |||||
| Multiperil - U.S. - 0.1% | |||||
| 500,000+(a)(g) | Kingsbarns Re 2017, 5/19/20 | $500 | |||
| 400,000+(a)(g) | Riviera Re 2019, 5/31/20 | 404,933 | |||
| $405,433 | |||||
| Multiperil - Worldwide - 0.4% | |||||
| 1,000,000+(a)(g) | Cypress Re 2017, 1/10/21 | $18,200 | |||
| 555,123+(a)(g) | Dartmouth Re 2018, 1/15/21 | 182,636 | |||
| 138,698+(a)(g) | Dartmouth Re 2019, 1/31/21 | 138,698 | |||
| 250,000+(a)(g) | Dingle Re 2019, 2/1/21 | 255,131 | |||
| 584,814+(a)(g) | Gloucester Re 2018, 2/28/20 | 254,394 | |||
| 225,000+(a)(g) | Gloucester Re 2019, 2/28/20 | 229,951 | |||
| 553,354+(a)(g) | Kilarney Re 2018, 4/15/20 | 279,333 | |||
| 24,000+(g) | Limestone Re 2016-1, 8/31/21 | 19,346 | |||
| 24,000+(g) | Limestone Re 2016-1, 8/31/21 | 19,346 | |||
| 350,000+(a)(g) | Limestone Re 2019-2, 3/1/23 (144A) | 359,905 | |||
| 400,000+(a)(g) | Merion Re 2018, 12/31/21 | 25,400 | |||
| 415,430+(g) | Merion Re 2019-1, 12/31/22 | 424,570 | |||
| 333,342+(a)(g) | Oyster Bay Re 2018, 1/15/21 | 302,541 | |||
| 800,000+(a)(g) | Resilience Re, 4/6/20 | 80 | |||
| 340,299+(a)(g) | Seminole Re 2018, 1/15/21 | 66,188 | |||
| 85,714+(a)(g) | Seminole Re 2019, 1/31/21 | 87,471 | |||
| 442,599+(a)(g) | Walton Health Re 2018, 6/15/20 | 221,300 | |||
| $2,884,490 | |||||
| Windstorm - Florida - 0.1% | |||||
| 138,027+(a)(g) | Formby Re 2018, 3/31/20 | $1,132 | |||
| 400,000+(a)(g) | Formby Re 2018, 2/28/21 | 126,745 | |||
| 750,000+(a)(g) | Portrush Re 2017, 6/15/20 | 478,575 | |||
| $606,452 | |||||
| Windstorm - U.S. Regional - 0.1% | |||||
| 500,000+(a)(g) | Oakmont Re 2017, 4/15/20 | $14,700 | |||
| 350,000+(a)(g) | Oakmont Re 2019, 4/30/20 | 242,309 | |||
| $257,009 | |||||
| Total Collateralized Reinsurance | $4,153,384 | ||||
Reinsurance Sidecars - 1.0% | |||||
| Multiperil - U.S. - 0.2% | |||||
| 4,500,000+(a)(g) | Carnoustie Re 2015, 7/1/20 | $14,400 | |||
| Face Amount USD ($) | Value | ||||
| Multiperil - U.S. - (continued) | |||||
| 3,600,000+(a)(g) | Carnoustie Re 2016, 11/30/20 | $97,200 | |||
| 1,500,000+(a)(g) | Carnoustie Re 2017, 11/30/21 | 203,775 | |||
| 300,000+(g) | Carnoustie Re 2018, 12/31/21 | 3,360 | |||
| 1,400,000+(a)(h) | Harambee Re 2018, 12/31/21 | 91,000 | |||
| 973,488+(a)(h) | Harambee Re 2019, 12/31/22 | 1,081,058 | |||
| $1,490,793 | |||||
| Multiperil - Worldwide - 0.8% | |||||
| 700,000+(a)(g) | Alturas Re 2019-2, 3/10/22 | $765,590 | |||
| 1,000,000+(a)(g) | Arlington Re 2015, 2/1/21 | 48,600 | |||
| 1,000,000+(a)(g) | Bantry Re 2016, 3/31/20 | 80,600 | |||
| 500,000+(a)(g) | Bantry Re 2017, 3/31/20 | 118,050 | |||
| 400,000+(a)(g) | Bantry Re 2018, 12/31/21 | 4,560 | |||
| 400,000+(a)(g) | Bantry Re 2019, 12/31/22 | 423,440 | |||
| 2,152,482+(a)(g) | Berwick Re 2018-1, 12/31/21 | 261,957 | |||
| 1,067,182+(a)(g) | Berwick Re 2019-1, 12/31/22 | 1,111,378 | |||
| 400,000+(a)(h) | Blue Lotus Re 2018, 12/31/21 | 439,080 | |||
| 15,000+(g) | Eden Re II, 3/22/22 (144A) | 19,695 | |||
| 37,500+(g) | Eden Re II, 3/22/22 (144A) | 42,248 | |||
| 7,850+(a)(g) | Eden Re II, 3/22/23 (144A) | 25,670 | |||
| 2,400,000+(g) | Gleneagles Re 2016, 11/30/20 | 74,880 | |||
| 400,000+(a)(g) | Gleneagles Re 2018, 12/31/21 | 47,320 | |||
| 12,000+(g) | Limestone Re 2018, 3/1/22 | 26,311 | |||
| 800,000+(a)(h) | Lorenz Re 2018, 7/1/21 | 81,200 | |||
| 411,569+(a)(h) | Lorenz Re 2019, 6/30/22 | 364,074 | |||
| 900,000+(a)(g) | Merion Re 2018-2, 12/31/21 | 925,380 | |||
| 4,500,000+(g) | Pangaea Re 2015-1, 2/28/20 | 5,887 | |||
| 5,800,000+(g) | Pangaea Re 2015-2, 5/29/20 | 8,647 | |||
| 4,200,000+(g) | Pangaea Re 2016-1, 11/30/20 | 9,323 | |||
| 2,000,000+(g) | Pangaea Re 2016-2, 11/30/20 | 5,952 | |||
| 1,100,000+(a)(g) | Pangaea Re 2017-1, 11/30/21 | 17,710 | |||
| 500,000+(a)(g) | Pangaea Re 2018-1, 12/31/21 | 29,400 | |||
| 500,000+(a)(g) | Pangaea Re 2018-3, 7/1/22 | 10,372 | |||
| 409,624+(a)(g) | Pangaea Re 2019-1, 2/1/23 | 8,536 | |||
| 367,657+(a)(g) | Pangaea Re 2019-3, 7/1/23 | 357,620 | |||
| 1,000,000+(a)(g) | St. Andrews Re 2017-1, 2/1/21 | 67,800 | |||
| 868,992+(a)(g) | St. Andrews Re 2017-4, 6/1/20 | 85,509 | |||
| 250,000+(a)(h) | Thopas Re 2018, 12/31/21 | 18,525 | |||
| 600,000+(a)(h) | Thopas Re 2019, 12/31/22 | 603,720 | |||
| 1,100,000+(a)(g) | Versutus Re 2017, 11/30/21 | 18,700 | |||
| 450,000+(a)(g) | Versutus Re 2018, 12/31/21 | – | |||
| 397,146+(g) | Versutus Re 2019-A, 12/31/21 | 34,711 | |||
| 52,853+(g) | Versutus Re 2019-B, 12/31/21 | 4,619 | |||
| 300,000+(a)(h) | Viribus Re 2018, 12/31/21 | 16,590 | |||
| 127,384+(a)(h) | Viribus Re 2019, 12/31/22 | 157,281 | |||
| 405,831+(a)(g) | Woburn Re 2018, 12/31/21 | 81,247 | |||
| 419,863+(a)(g) | Woburn Re 2019, 12/31/22 | 434,348 | |||
| $6,836,530 | |||||
| Total Reinsurance Sidecars | $8,327,323 | ||||
| TOTAL INSURANCE-LINKED SECURITIES | |||||
(Cost $18,960,274) | $17,341,655 | ||||
| Principal Amount USD ($) | Value | ||||
| SENIOR SECURED FLOATING RATE LOAN INTERESTS - 4.1% of Net Assets*(f) | |||||
Beverage, Food & Tobacco - 0.2% | |||||
| 1,310,000(i) | Froneri International Plc, Term Loan, 1/29/27 | $1,314,913 | |||
| Total Beverage, Food & Tobacco | $1,314,913 | ||||
Buildings & Real Estate - 0.0%† | |||||
| 266,969 | Builders FirstSource, Inc., Refinancing Term Loan, 4.645% (LIBOR + 300 bps), 2/29/24 | $268,686 | |||
| Total Buildings & Real Estate | $268,686 | ||||
Computers & Electronics - 0.3% | |||||
| 2,053,565 | ON Semiconductor Corp., 2019 New Replacement Term B-4 Loan, 3.645% (LIBOR + 200 bps), 9/19/26 | $2,067,962 | |||
| Total Computers & Electronics | $2,067,962 | ||||
Diversified & Conglomerate Service - 0.5% | |||||
| 1,960,188 | DynCorp International, Inc., Term Loan, 7.67% (LIBOR + 600 bps), 8/18/25 | $1,940,586 | |||
| 2,971 | National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), First Lien Initial Term C Loan, 5.65% (LIBOR + 400 bps), 3/9/26 | 2,996 | |||
| 44,692 | National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), First Lien Initial Term Loan, 5.65% (LIBOR + 400 bps), 3/9/26 | 45,077 | |||
| 1,928,000 | Team Health Holdings, Inc., Initial Term Loan, 4.395% (LIBOR + 275 bps), 2/6/24 | 1,543,605 | |||
| Total Diversified & Conglomerate Service | $3,532,264 | ||||
Healthcare, Education & Childcare - 0.5% | |||||
| 1,045,000 | Alliance HealthCare Services, Inc., First Lien Initial Term Loan, 6.145% (LIBOR + 450 bps), 10/24/23 | $1,008,425 | |||
| Principal Amount USD ($) | Value | ||||
| Healthcare, Education & Childcare - (continued) | |||||
| 3,229,949 | Regionalcare Hospital Partners Holdings, Inc., First Lien Term B Loan, 8.25% (PRIME + 350 bps), 11/16/25 | $3,251,651 | |||
| Total Healthcare, Education & Childcare | $4,260,076 | ||||
Machinery - 0.5% | |||||
| 3,813,264 | Shape Technologies Group, Inc., Initial Term Loan, 4.806% (LIBOR + 300 bps), 4/21/25 | $3,489,136 | |||
| Total Machinery | $3,489,136 | ||||
Media - 0.3% | |||||
| 2,044,875 | Diamond Sports Group LLC, Term Loan, 4.91% (LIBOR + 325 bps), 8/24/26 | $2,042,319 | |||
| Total Media | $2,042,319 | ||||
Metals & Mining - 0.3% | |||||
| 2,413,250 | Aleris International, Inc., Initial Term Loan, 6.395% (LIBOR + 475 bps), 2/27/23 | $2,418,530 | |||
| Total Metals & Mining | $2,418,530 | ||||
Oil & Gas - 0.1% | |||||
| 1,002,879 | Encino Acquisition Partners Holdings LLC, Second Lien Initial Term Loan, 8.395% (LIBOR + 675 bps), 10/29/25 | $712,044 | |||
| Total Oil & Gas | $712,044 | ||||
Securities & Trusts - 0.5% | |||||
| 3,538,286 | Spectacle Gary Holdings LLC, Closing Date Term Loan, 11.0% (LIBOR + 900 bps), 12/23/25 | $3,715,200 | |||
| Total Securities & Trusts | $3,715,200 | ||||
Telecommunications - 0.9% | |||||
| 3,715,688 | Commscope, Inc., Initial Term Loan, 4.895% (LIBOR + 325 bps), 4/6/26 | $3,726,816 | |||
| 3,373,278 | Level 3 Financing, Inc., Tranche B 2027 Term Loan, 3.395% (LIBOR + 175 bps), 3/1/27 | 3,375,387 | |||
| Total Telecommunications | $7,102,203 | ||||
Utilities - 0.0%† | |||||
| 272,774 | Vistra Operations Co. LLC (fka Tex Operations Co. LLC), 2018 Incremental Term Loan, 3.4% (LIBOR + 175 bps), 12/31/25 | $274,734 | |||
| Total Utilities | $274,734 | ||||
| TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS | |||||
(Cost $31,087,510) | $31,198,067 | ||||
| U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 5.0% of Net Assets | |||||
| 11,000,000(j) | U.S. Treasury Bills, 2/18/20 | $10,993,320 | |||
| 26,000,000(f) | U.S. Treasury Floating Rate Notes, 1.836% (3 Month U.S. Treasury Bill Money Market Yield + 30 bps), 10/31/21 | 26,076,792 | |||
| TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS | |||||
(Cost $37,043,158) | $37,070,112 | ||||
| Shares | Value | ||||
| RIGHTS/WARRANTS - 0.0%† of Net Assets | |||||
Health Care Providers & Services - 0.0%† | |||||
| 2,136^(a)(k) | Option Care Health, Inc., 6/30/25 | $3,225 | |||
| 2,136^(a)(l) | Option Care Health, Inc., 6/30/25 | 2,670 | |||
| Total Health Care Providers & Services | $5,895 | ||||
Oil, Gas & Consumable Fuels - 0.0%† | |||||
| 7,402^(a)(m) | Amplify Energy Corp., 4/21/20 | $– | |||
| 4,728,525(n) | ANR, Inc., 3/31/23 | 42,084 | |||
| 921(a)(o) | Contura Energy, Inc., 7/25/23 | 737 | |||
| Total Oil, Gas & Consumable Fuels | $42,821 | ||||
Transportation - 0.0% | |||||
| 17,624^(a)(p) | Syncreon Group, 10/01/24 | $– | |||
| Total Transportation | $– | ||||
| TOTAL RIGHTS/WARRANTS | |||||
(Cost $598,120) | $48,716 | ||||
| Principal Amount USD ($) | Value | ||||
| TEMPORARY CASH INVESTMENTS - 1.9% of Net Assets | |||||
| REPURCHASE AGREEMENTS - 1.9% | |||||
| 1,500,000 | $1,500,000 Merrill Lynch, Pierce, Fenner & Smith, Inc., 1.59%, dated 1/31/20 plus accrued interest on 2/3/20 collateralized by $1,530,000 Government National Mortgage Association, 3.0% - 4.5%, 5/20/32 - 1/20/50. | $1,500,000 | |||
| 6,000,000 | $6,000,000 RBC Capital Markets LLC, 1.59%, dated 1/31/20 plus accrued interest on 2/3/20 collateralized by $6,120,811 Federal National Mortgage Association, 3.5% - 4.0%, 8/1/42 - 5/1/47. | 6,000,000 | |||
| 3,500,000 | $3,500,000 ScotiaBank, 1.58%, dated 1/31/20 plus accrued interest on 2/3/20 collateralized by $3,605,553 U.S. Treasury Notes, 3.4%, 5/15/44. | 3,500,000 | |||
| 1,750,000 | $1,750,000 TD Securities USA LLC, 1.57%, dated 1/31/20 plus accrued interest on 2/3/20 collateralized by $1,785,137 U.S. Treasury Notes, 4.5% - 5.5%, 8/15/28 - 2/15/36. | 1,750,000 | |||
| 1,750,000 | $1,750,000 TD Securities USA LLC, 1.58%, dated 1/31/20 plus accrued interest on 2/3/20 collateralized by $1,785,000 Federal National Mortgage Association, 3.5%, 8/1/49. | 1,750,000 | |||
| $14,500,000 | |||||
| TOTAL TEMPORARY CASH INVESTMENTS | |||||
(Cost $14,500,000) | $14,500,000 | ||||
| Principal Amount USD ($) | Value | ||||
| TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 101.2% | |||||
(Cost $746,623,333) | $757,790,099 | ||||
| OTHER ASSETS AND LIABILITIES - (1.2)% | $(8,751,267) | ||||
| NET ASSETS - 100.0% | $749,038,832 | ||||
bps | Basis Points. |
CMT | Constant Maturity Rate Index. |
LIBOR | London Interbank Offered Rate. |
PRIME | U.S. Federal Funds Rate. |
REIT | Real Estate Investment Trust. |
SOFRRATE | Secured Overnight Financing Rate. |
(144A) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At January 31, 2020, the value of these securities amounted to $440,504,265, or 58.8% of net assets. |
† | Amount rounds to less than 0.1%. |
* | Senior secured floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at January 31, 2020. |
+ | Security that used significant unobservable inputs to determine its value. |
^ | Security is valued using fair value methods (other than supplied by independent pricing services). |
(a) | Non-income producing security. |
(b) | Security is perpetual in nature and has no stated maturity date. |
(c) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at January 31, 2020. |
(d) | Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount. |
(e) | Securities are restricted as to resale. |
(f) | Floating rate note. Coupon rate, reference index and spread shown at January 31, 2020. |
(g) | Issued as participation notes. |
(h) | Issued as preference shares. |
(i) | This term loan will settle after January 31, 2020, at which time the interest rate will be determined. |
(j) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(k) | Option Care Health, Inc. warrants are exercisable into 2,136 shares. |
(l) | Option Care Health, Inc. warrants are exercisable into 2,136 shares. |
(m) | Amplify Energy Corp. warrants are exercisable into 7,402 shares. |
(n) | ANR, Inc. warrants are exercisable into 4,728,525 shares. |
(o) | Contura Energy, Inc. warrants are exercisable into 921 shares. |
(p) | Syncreon Group warrants are exercisable into 17,624 shares. |
| SWAP CONTRACTS | |||||||
| CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | |||||||
Notional Amount ($)(1) | Reference Obligation/Index | Pay/ Receive(2) | Annual Fixed Rate | Expiration Date | Premiums Paid/ (Received) | Unrealized Appreciation | Market Value |
6,009,600 | Markit CDX North America High Yield Index Series 31 | Receive | 5.00% | 12/20/23 | $ (28,379) | $ 538,210 | $ 509,831 |
7,457,800 | Markit CDX North America High Yield Index Series 32 | Receive | 5.00% | 6/20/24 | 377,298 | 306,005 | 683,303 |
| TOTAL CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | $348,919 | $ 844,215 | $ 1,193,134 | ||||
| OVER THE COUNTER (OTC) CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | ||||||||
Notional Amount ($)(1) | Counterparty | Obligation Reference/Index | Pay/ Receive(2) | Annual Fixed Rate | Expiration Date | Premiums (Received) | Unrealized (Depreciation) | Market Value |
690,000 | Goldman Sachs International | Chesapeake Energy Corp. | Receive | 5.00% | 6/20/22 | $ (77,625) | $ (155,651) | $(233,276) |
415,000 | Goldman Sachs International | Chesapeake Energy Corp. | Receive | 5.00% | 6/20/22 | (50,837) | (89,466) | (140,303) |
655,000 | Goldman Sachs International | Chesapeake Energy Corp. | Receive | 5.00% | 6/20/22 | (80,238) | (141,206) | (221,444) |
| TOTAL OVER THE COUNTER (OTC) CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | $(208,700) | $ (386,323) | $(595,023) | |||||
| TOTAL SWAP CONTRACTS | $ 140,219 | $ 457,892 | $ 598,111 | |||||
(1) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event. | |||||||
(2) | Receives quarterly. | |||||||
Principal amounts are denominated in U.S. dollars ("USD") unless otherwise noted. | ||
EUR | - | Euro |
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels below. |
| Level 1 - quoted prices in active markets for identical securities. |
| Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments). |
The following is a summary of the inputs used as of January 31, 2020, in valuing the Fund's investments: |
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
| Oil, Gas & Consumable Fuels | $ | 124 | $ | 1,045,059 | $ | – | $ | 1,045,183 | ||||||||
| Transportation Infrastructure | – | 140,038 | – | 140,038 | ||||||||||||
| All Other Common Stock | 1,074,456 | – | – | 1,074,456 | ||||||||||||
Convertible Preferred Stock | 2,412,619 | – | – | 2,412,619 | ||||||||||||
Asset Backed Security | – | 787,208 | – | 787,208 | ||||||||||||
Collateralized Mortgage Obligations | – | 3,502,227 | – | 3,502,227 | ||||||||||||
Convertible Corporate Bonds | – | 23,376,838 | – | 23,376,838 | ||||||||||||
Corporate Bonds | – | 625,292,980 | – | 625,292,980 | ||||||||||||
Insurance-Linked Securities | ||||||||||||||||
| Collateralized Reinsurance | ||||||||||||||||
| Multiperil - U.S. | – | – | 405,433 | 405,433 | ||||||||||||
| Multiperil - Worldwide | – | – | 2,884,490 | 2,884,490 | ||||||||||||
| Windstorm - Florida | – | – | 606,452 | 606,452 | ||||||||||||
| Windstorm - U.S. Regional | – | – | 257,009 | 257,009 | ||||||||||||
| Reinsurance Sidecars | ||||||||||||||||
| Multiperil - U.S. | – | – | 1,490,793 | 1,490,793 | ||||||||||||
| Multiperil - Worldwide | – | – | 6,836,530 | 6,836,530 | ||||||||||||
| All Other Insurance-Linked Securities | – | 4,860,948 | – | 4,860,948 | ||||||||||||
Senior Secured Floating Rate Loan Interests | – | 31,198,067 | – | 31,198,067 | ||||||||||||
U.S. Government and Agency Obligations | – | 37,070,112 | – | 37,070,112 | ||||||||||||
Rights/Warrants | ||||||||||||||||
| Health Care Providers & Services | – | – | 5,895 | 5,895 | ||||||||||||
| Oil, Gas & Consumable Fuels | – | 42,821 | – | 42,821 | ||||||||||||
| Transportation | – | – | – | * | – | * | ||||||||||
Repurchase Agreements | – | 14,500,000 | – | 14,500,000 | ||||||||||||
| Total Investments in Securities | $ | 3,487,199 | $ | 741,816,298 | $ | 12,486,602 | $ | 757,790,099 | ||||||||
| Other Financial Instruments | ||||||||||||||||
| Swap contracts, at value | $ | – | $ | 598,111 | $ | – | $ | 598,111 | ||||||||
| Total Other Financial Instruments | $ | – | $ | 598,111 | $ | – | $ | 598,111 | ||||||||
Common Stocks | Insurance- Linked Securities | Rights/ Warrants | Total | |||||||||||||
Balance as of 10/31/19 | $ | 1,045,059 | $ | 15,557,184 | $ | 4,486 | $ | 16,606,729 | ||||||||
Realized gain (loss) | -- | -- | -- | -- | ||||||||||||
Change in unrealized appreciation (depreciation) | -- | (69,713 | ) | 1,410 | (68,303 | ) | ||||||||||
Accrued discounts/premiums | -- | -- | -- | -- | ||||||||||||
Purchases | -- | -- | -- | -- | ||||||||||||
Sales | -- | (3,006,764 | ) | -- | (3,006,764 | ) | ||||||||||
Transfers in to Level 3* | -- | -- | -- | – | ||||||||||||
Transfers out of Level 3* | (1,045,059 | ) | -- | -- | (1,045,059 | ) | ||||||||||
| Balance as of 1/31/20 | $ | -- | $ | 12,480,707 | $ | 5,895 | $ | 12,486,602 | ||||||||
| * | Transfers are calculated on the beginning of period values. During the three months ended January 31, 2020 an investment having value of $1,045,059 was transferred out of Level 3 to Level 2, as there were observable inputs available to determine its value. There were no other transfers between Levels 1, 2 and 3. |
