Pioneer Global High Yield Fund | ||
Schedule of Investments | January 31, 2021 | ||
Ticker Symbols: Class A PGHYX Class C PGYCX Class Y GHYYX | ||
Schedule of Investments | 1/31/21 (unaudited)
Shares | Value | ||||
UNAFFILIATED ISSUERS - 100.5% | |||||
COMMON STOCKS - 0.4% of Net Assets | |||||
Energy Equipment & Services - 0.3% | |||||
44,927(a) | FTS International, Inc. | $757,469 | |||
Total Energy Equipment & Services | $757,469 | ||||
Household Durables - 0.0%† | |||||
1,443,476(a) | Desarrolladora Homex SAB de CV | $2,531 | |||
Total Household Durables | $2,531 | ||||
Oil, Gas & Consumable Fuels - 0.1% | |||||
25 | Amplify Energy Corp. | $45 | |||
5,735,146+^(a) | Ascent CNR Corp. | 172,055 | |||
Total Oil, Gas & Consumable Fuels | $172,100 | ||||
Paper & Forest Products - 0.0%† | |||||
459,481 | Emerald Plantation Holdings, Ltd. | $18,379 | |||
Total Paper & Forest Products | $18,379 | ||||
TOTAL COMMON STOCKS | |||||
(Cost $1,898,390) | $950,479 | ||||
Principal Amount USD ($) | Value | ||||
CONVERTIBLE CORPORATE BONDS - 2.4% of Net Assets | |||||
Airlines - 0.7% | |||||
820,000 | Air Canada, 4.0%, 7/1/25 (144A) | $1,113,150 | |||
700,000 | GOL Equity Finance SA, 3.75%, 7/15/24 (144A) | 581,168 | |||
Total Airlines | $1,694,318 | ||||
Banks - 0.0%† | |||||
IDR | 11,178,198,000^ | PT Bakrie & Brothers Tbk, 0.0%, 12/22/22 | $39,837 | ||
Total Banks | $39,837 | ||||
Biotechnology - 0.3% | |||||
631,000 | Insmed, Inc., 1.75%, 1/15/25 | $762,824 | |||
Total Biotechnology | $762,824 | ||||
Computers - 0.2% | |||||
473,000 | Pure Storage, Inc., 0.125%, 4/15/23 | $533,038 | |||
Total Computers | $533,038 | ||||
Healthcare-Products - 0.2% | |||||
425,000 | Integra LifeSciences Holdings Corp., 0.5%, 8/15/25 (144A) | $476,685 | |||
Total Healthcare-Products | $476,685 | ||||
Leisure Time - 0.2% | |||||
315,000 | Royal Caribbean Cruises, Ltd., 4.25%, 6/15/23 (144A) | $382,600 | |||
Total Leisure Time | $382,600 | ||||
Media - 0.1% | |||||
347,000 | DISH Network Corp., 3.375%, 8/15/26 | $319,966 | |||
Total Media | $319,966 | ||||
Pharmaceuticals - 0.3% | |||||
455,000 | Revance Therapeutics, Inc., 1.75%, 2/15/27 (144A) | $485,591 | |||
523,000 | Tricida, Inc., 3.5%, 5/15/27 (144A) | 253,526 | |||
Total Pharmaceuticals | $739,117 | ||||
REITs - 0.1% | |||||
172,000 | Summit Hotel Properties, Inc., 1.5%, 2/15/26 | $169,204 | |||
Total REITs | $169,204 | ||||
Transportation - 0.3% | |||||
725,000 | Golar LNG, Ltd., 2.75%, 2/15/22 | $697,484 | |||
Total Transportation | $697,484 | ||||
TOTAL CONVERTIBLE CORPORATE BONDS | |||||
(Cost $6,244,428) | $5,815,073 | ||||
CORPORATE BONDS - 84.8% of Net Assets | |||||
Advertising - 1.4% | |||||
200,000 | Clear Channel International BV, 6.625%, 8/1/25 (144A) | $210,500 | |||
2,082,000(b) | MDC Partners, Inc., 7.5%, 5/1/24 (144A) | 2,123,640 | |||
325,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.25%, 1/15/29 (144A) | 322,563 | |||
720,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 6.25%, 6/15/25 (144A) | 762,300 | |||
Total Advertising | $3,419,003 | ||||
Agriculture - 1.1% | |||||
1,535,000 | Amaggi Luxembourg International S.a.r.l, 5.25%, 1/28/28 (144A) | $1,558,915 | |||
1,095,000 | Kernel Holding SA, 6.5%, 10/17/24 (144A) | 1,162,748 | |||
Total Agriculture | $2,721,663 | ||||
Airlines - 1.9% | |||||
765,000 | Aerovias de Mexico SA de CV, 7.0%, 2/5/25 (144A) | $313,573 | |||
727,000 | Delta Air Lines, Inc., 3.75%, 10/28/29 | 712,881 | |||
220,000 | Delta Air Lines, Inc., 7.375%, 1/15/26 | 252,607 | |||
675,000 | Gol Finance SA, 7.0%, 1/31/25 (144A) | 595,519 | |||
540,000 | Gol Finance SA, 8.0%, 6/30/26 (144A) | 529,200 | |||
240,000 | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 1/20/26 (144A) | 248,850 | |||
654,519 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.5%, 6/20/27 (144A) | 715,880 | |||
EUR | 1,300,000 | Transportes Aereos Portugueses SA, 5.625%, 12/2/24 (144A) | 1,054,403 | ||
225,000 | United Airlines Holdings, Inc., 4.875%, 1/15/25 | 217,716 | |||
Total Airlines | $4,640,629 | ||||
Principal Amount USD ($) | Value | ||||
Auto Manufacturers - 2.7% | |||||
600,000 | Allison Transmission, Inc., 3.75%, 1/30/31 (144A) | $598,875 | |||
870,000 | Ford Motor Credit Co. LLC, 3.815%, 11/2/27 | 894,730 | |||
2,545,000 | Ford Motor Credit Co. LLC, 4.125%, 8/17/27 | 2,678,612 | |||
375,000 | Ford Motor Credit Co. LLC, 4.542%, 8/1/26 | 401,250 | |||
240,000 | Ford Motor Credit Co. LLC, 5.113%, 5/3/29 | 264,153 | |||
1,545,000 | JB Poindexter & Co., Inc., 7.125%, 4/15/26 (144A) | 1,645,425 | |||
Total Auto Manufacturers | $6,483,045 | ||||
Auto Parts & Equipment - 0.9% | |||||
809,000 | American Axle & Manufacturing, Inc., 6.25%, 3/15/26 | $827,202 | |||
1,243,000 | Dealer Tire LLC/DT Issuer LLC, 8.0%, 2/1/28 (144A) | 1,320,688 | |||
Total Auto Parts & Equipment | $2,147,890 | ||||
Banks - 3.9% | |||||
700,000 | Akbank T.A.S., 5.125%, 3/31/25 | $713,418 | |||
420,000 | Akbank T.A.S., 6.8%, 2/6/26 (144A) | 447,441 | |||
ARS | 8,000,000(c) | Banco de la Ciudad de Buenos Aires, 38.084% (BADLARPP + 399 bps), 12/5/22 | 89,168 | ||
1,026,000(d)(e) | Banco Mercantil del Norte SA, 6.75% (5 Year CMT Index + 497 bps) (144A) | 1,089,099 | |||
380,000(d)(e) | Banco Mercantil del Norte SA, 8.375% (5 Year CMT Index + 776 bps) (144A) | 442,700 | |||
643,000 | Freedom Mortgage Corp., 8.125%, 11/15/24 (144A) | 667,113 | |||
1,392,000 | Freedom Mortgage Corp., 8.25%, 4/15/25 (144A) | 1,454,640 | |||
550,000(d)(e) | Intesa Sanpaolo S.p.A., 7.7% (5 Year USD Swap Rate + 546 bps) (144A) | 617,375 | |||
562,000(d)(e) | JPMorgan Chase & Co., 4.6% (SOFRRATE + 313 bps) | 578,298 | |||
1,122,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/25 (144A) | 1,144,440 | |||
750,000(d)(e) | Sovcombank Via SovCom Capital DAC, 7.75% (5 Year CMT Index + 638 bps) (144A) | 777,000 | |||
1,175,000 | Turkiye Vakiflar Bankasi TAO, 6.5%, 1/8/26 (144A) | 1,213,775 | |||
9,000(d) | Turkiye Vakiflar Bankasi TAO, 8.0% (5 Year USD Swap Rate + 585 bps), 11/1/27 (144A) | 9,008 | |||
Total Banks | $9,243,475 | ||||
Beverages - 0.3% | |||||
EUR | 550,000 | Primo Water Corp., 3.875%, 10/31/28 (144A) | $682,301 | ||
Total Beverages | $682,301 | ||||
Building Materials - 1.1% | |||||
535,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/29 (144A) | $559,075 | |||
450,000 | CP Atlas Buyer, Inc., 7.0%, 12/1/28 (144A) | 460,971 | |||
575,000 | JELD-WEN, Inc., 6.25%, 5/15/25 (144A) | 616,687 | |||
865,000 | Patrick Industries, Inc., 7.5%, 10/15/27 (144A) | 945,013 | |||
Total Building Materials | $2,581,746 | ||||
Chemicals - 2.2% | |||||
537,000 | Hexion, Inc., 7.875%, 7/15/27 (144A) | $573,919 | |||
205,000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/26 (144A) | 205,769 | |||
625,000 | Ingevity Corp., 3.875%, 11/1/28 (144A) | 626,631 | |||
275,000 | Kraton Polymers LLC/Kraton Polymers Capital Corp., 4.25%, 12/15/25 (144A) | 276,375 | |||
880,000 | OCI NV, 4.625%, 10/15/25 (144A) | 910,646 | |||
1,108,000 | Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 4/1/25 (144A) | 1,141,240 | |||
250,000 | Tronox, Inc., 6.5%, 5/1/25 (144A) | 268,125 | |||
1,100,000 | Tronox, Inc., 6.5%, 4/15/26 (144A) | 1,134,375 | |||
Total Chemicals | $5,137,080 | ||||
Coal - 0.6% | |||||
1,420,000 | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 (144A) | $1,451,950 | |||
Total Coal | $1,451,950 | ||||
Commercial Services - 4.0% | |||||
505,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26 (144A) | $540,956 | |||
1,345,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 7/15/27 (144A) | 1,466,050 | |||
680,000 | APX Group, Inc., 6.75%, 2/15/27 (144A) | 724,200 | |||
1,666,000 | Garda World Security Corp., 9.5%, 11/1/27 (144A) | 1,828,435 | |||
EUR | 705,000 | Loxam SAS, 6.0%, 4/15/25 (144A) | 853,203 | ||
335,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 5.25%, 4/15/24 (144A) | 356,356 | |||
915,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, 4/15/26 (144A) | 1,001,742 | |||
1,480,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 1,576,200 | |||
525,000 | Sotheby’s, 7.375%, 10/15/27 (144A) | 569,625 | |||
EUR | 605,000 | Verisure Holding AB, 3.25%, 2/15/27 (144A) | 737,494 | ||
Total Commercial Services | $9,654,261 | ||||
Computers - 0.7% | |||||
784,000 | Diebold Nixdorf, Inc., 8.5%, 4/15/24 | $799,680 | |||
110,000 | Diebold Nixdorf, Inc., 9.375%, 7/15/25 (144A) | 121,687 | |||
455,000 | NCR Corp., 5.0%, 10/1/28 (144A) | 467,513 | |||
225,000 | NCR Corp., 5.25%, 10/1/30 (144A) | 235,125 | |||
110,000 | NCR Corp., 8.125%, 4/15/25 (144A) | 120,450 | |||
Total Computers | $1,744,455 | ||||
Diversified Financial Services - 4.7% | |||||
1,018,000 | Alliance Data Systems Corp., 7.0%, 1/15/26 (144A) | $1,079,080 | |||
1,765,000 | ASG Finance Designated Activity Co., 7.875%, 12/3/24 (144A) | 1,552,648 | |||
400,000 | Avation Capital SA, 6.5%, 5/15/21 (144A) | 294,000 | |||
1,381,000 | Credito Real SAB de CV SOFOM ER, 8.0%, 1/21/28 (144A) | 1,423,053 | |||
1,740,000 | Financiera Independencia SAB de CV SOFOM ENR, 8.0%, 7/19/24 (144A) | 1,465,967 | |||
EUR | 300,000 | Garfunkelux Holdco 3 SA, 6.75%, 11/1/25 (144A) | 372,368 | ||
GBP | 510,000 | Garfunkelux Holdco 3 SA, 7.75%, 11/1/25 (144A) | 714,065 | ||
1,326,400(f) | Global Aircraft Leasing Co., Ltd., (7.25% PIK 6.5% Cash), 9/15/24 (144A) | 1,187,128 | |||
Principal Amount USD ($) | Value | ||||
Diversified Financial Services - (continued) | |||||
GBP | 785,000 | Jerrold Finco PLC, 5.25%, 1/15/27 (144A) | $1,065,930 | ||
680,000 | Nationstar Mortgage Holdings, Inc., 5.5%, 8/15/28 (144A) | 702,100 | |||
1,416,000 | Unifin Financiera SAB de CV, 8.375%, 1/27/28 (144A) | 1,334,155 | |||
Total Diversified Financial Services | $11,190,494 | ||||
Electric - 2.6% | |||||
470,000 | Calpine Corp., 4.625%, 2/1/29 (144A) | $474,700 | |||
470,000 | Calpine Corp., 5.0%, 2/1/31 (144A) | 482,925 | |||
1,150,000 | Cemig Geracao e Transmissao SA, 9.25%, 12/5/24 (144A) | 1,331,700 | |||
EUR | 560,000 | ContourGlobal Power Holdings SA, 2.75%, 1/1/26 (144A) | 679,964 | ||
EUR | 280,000 | ContourGlobal Power Holdings SA, 3.125%, 1/1/28 (144A) | 343,440 | ||
465,000 | NRG Energy, Inc., 3.625%, 2/15/31 (144A) | 484,181 | |||
390,000 | Oryx Funding Ltd., 5.8%, 2/3/31 (144A) | 398,775 | |||
1,120,000 | Pampa Energia SA, 7.5%, 1/24/27 (144A) | 918,400 | |||
970,000 | Talen Energy Supply LLC, 7.625%, 6/1/28 (144A) | 1,045,175 | |||
Total Electric | $6,159,260 | ||||
Electrical Components & Equipment - 0.6% | |||||
EUR | 802,000 | Belden, Inc., 3.875%, 3/15/28 (144A) | $1,014,867 | ||
335,000 | WESCO Distribution, Inc., 7.25%, 6/15/28 (144A) | 376,327 | |||
Total Electrical Components & Equipment | $1,391,194 | ||||
Engineering & Construction - 2.0% | |||||
288,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.0%, 2/1/26 (144A) | $293,040 | |||
445,000 | IHS Netherlands Holdco BV, 7.125%, 3/18/25 (144A) | 465,025 | |||
800,000 | IHS Netherlands Holdco BV, 8.0%, 9/18/27 (144A) | 857,000 | |||
750,000 | KBR, Inc., 4.75%, 9/30/28 (144A) | 776,250 | |||
1,845,000 | PowerTeam Services LLC, 9.033%, 12/4/25 (144A) | 2,043,337 | |||
1,000,709(g) | Stoneway Capital Corp., 10.0%, 3/1/27 (144A) | 395,290 | |||
Total Engineering & Construction | $4,829,942 | ||||
Entertainment - 3.5% | |||||
609,000 | AMC Entertainment Holdings, Inc., 10.5%, 4/24/26 (144A) | $609,000 | |||
1,716,935(f) | AMC Entertainment Holdings, Inc., 12.0% (12.0% PIK 10.0% Cash) 6/15/26 (144A) | 1,261,947 | |||
840,000 | Caesars Entertainment, Inc., 8.125%, 7/1/27 (144A) | 921,900 | |||
830,000(f) | Codere Finance 2 Luxembourg SA, 11.625% (7.125% PIK 4.5% Cash), 11/1/23 (144A) | 531,200 | |||
1,011,000 | Enterprise Development Authority, 12.0%, 7/15/24 (144A) | 1,137,375 | |||
EUR | 516,000 | International Game Technology Plc, 2.375%, 4/15/28 (144A) | 608,558 | ||
1,145,000 | Mohegan Gaming & Entertainment, 8.0%, 2/1/26 (144A) | 1,146,008 | |||
EUR | 712,000 | Scientific Games International, Inc., 5.5%, 2/15/26 (144A) | 848,371 | ||
955,000 | Scientific Games International, Inc., 7.25%, 11/15/29 (144A) | 1,029,013 | |||
344,000 | Scientific Games International, Inc., 8.25%, 3/15/26 (144A) | 363,740 | |||
Total Entertainment | $8,457,112 | ||||
Environmental Control - 1.3% | |||||
965,000 | Covanta Holding Corp., 5.0%, 9/1/30 | $1,013,250 | |||
957,000 | Covanta Holding Corp., 6.0%, 1/1/27 | 999,634 | |||
310,000 | GFL Environmental, Inc., 4.0%, 8/1/28 (144A) | 307,039 | |||
785,000 | Tervita Corp., 11.0%, 12/1/25 (144A) | 853,688 | |||
Total Environmental Control | $3,173,611 | ||||
Food - 2.1% | |||||
GBP | 490,000 | Boparan Finance PLC, 7.625%, 11/30/25 (144A) | $684,926 | ||
875,000 | FAGE International SA/FAGE USA Dairy Industry, Inc., 5.625%, 8/15/26 (144A) | 899,063 | |||
1,063,000 | Minerva Luxembourg SA, 5.875%, 1/19/28 (144A) | 1,131,627 | |||
EUR | 655,000 | Quatrim SASU, 5.875%, 1/15/24 (144A) | 826,631 | ||
555,000 | Simmons Foods, Inc., 5.75%, 11/1/24 (144A) | 569,569 | |||
280,000 | United Natural Foods, Inc., 6.75%, 10/15/28 (144A) | 296,156 | |||
675,000 | US Foods, Inc., 4.75%, 2/15/29 (144A) | 677,531 | |||
Total Food | $5,085,503 | ||||
Forest Products & Paper - 1.4% | |||||
725,000 | Clearwater Paper Corp., 4.75%, 8/15/28 (144A) | $750,158 | |||
1,690,000 | Mercer International, Inc., 5.125%, 2/1/29 (144A) | 1,716,922 | |||
809,000 | Schweitzer-Mauduit International, Inc., 6.875%, 10/1/26 (144A) | 857,847 | |||
Total Forest Products & Paper | $3,324,927 | ||||
Healthcare-Products - 0.9% | |||||
EUR | 1,440,000 | Avantor Funding, Inc., 2.625%, 11/1/25 (144A) | $1,782,989 | ||
375,000 | Varex Imaging Corp., 7.875%, 10/15/27 (144A) | 401,250 | |||
Total Healthcare-Products | $2,184,239 | ||||
Healthcare-Services - 2.7% | |||||
860,000 | Auna SAA, 6.5%, 11/20/25 (144A) | $904,720 | |||
EUR | 420,000 | CAB SELAS, 3.375%, 2/1/28 (144A) | 509,565 | ||
EUR | 170,000 | Laboratoire Eimer Selarl, 5.0%, 2/1/29 (144A) | 206,253 | ||
1,145,000 | Lifepoint Health, Inc., 5.375%, 1/15/29 (144A) | 1,153,587 | |||
550,000 | Prime Healthcare Services, Inc., 7.25%, 11/1/25 (144A) | 589,875 | |||
1,484,000 | Surgery Center Holdings, Inc., 10.0%, 4/15/27 (144A) | 1,639,820 | |||
786,000 | US Renal Care, Inc., 10.625%, 7/15/27 (144A) | 860,670 | |||
614,000 | West Street Merger Sub, Inc., 6.375%, 9/1/25 (144A) | 632,420 | |||
Total Healthcare-Services | $6,496,910 | ||||
Principal Amount USD ($) | Value | ||||
Holding Companies-Diversified - 0.9% | |||||
2,110,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 10.5%, 6/1/24 (144A) | $2,157,475 | |||
Total Holding Companies-Diversified | $2,157,475 | ||||
Home Builders - 2.5% | |||||
575,000 | Beazer Homes USA, Inc., 5.875%, 10/15/27 | $607,344 | |||
579,000 | Beazer Homes USA, Inc., 6.75%, 3/15/25 | 597,817 | |||
155,000 | Beazer Homes USA, Inc., 7.25%, 10/15/29 | 173,987 | |||
300,000 | Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 4.875%, 2/15/30 (144A) | 307,686 | |||
659,000 | Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.25%, 9/15/27 (144A) | 695,245 | |||
495,000 | Empire Communities Corp., 7.0%, 12/15/25 (144A) | 522,572 | |||
550,000 | M/I Homes, Inc., 4.95%, 2/1/28 | 579,288 | |||
1,259,000 | Taylor Morrison Communities, Inc., 5.875%, 6/15/27 (144A) | 1,422,317 | |||
630,000 | TRI Pointe Homes, Inc., 5.7%, 6/15/28 | 707,175 | |||
265,000 | Williams Scotsman International, Inc., 4.625%, 8/15/28 (144A) | 272,950 | |||
Total Home Builders | $5,886,381 | ||||
Home Furnishings - 0.7% | |||||
EUR | 1,235,000 | International Design Group S.p.A., 6.5%, 11/15/25 (144A) | $1,559,200 | ||
Total Home Furnishings | $1,559,200 | ||||
Housewares - 0.1% | |||||
160,000 | CD&R Smokey Buyer, Inc., 6.75%, 7/15/25 (144A) | $171,600 | |||
Total Housewares | $171,600 | ||||
Insurance - 0.4% | |||||
GBP | 585,000 | Galaxy Bidco, Ltd., 6.5%, 7/31/26 (144A) | $841,860 | ||
Total Insurance | $841,860 | ||||
Iron & Steel - 2.5% | |||||
1,050,000 | Carpenter Technology Corp., 6.375%, 7/15/28 | $1,148,081 | |||
1,397,000 | Cleveland-Cliffs, Inc., 6.75%, 3/15/26 (144A) | 1,503,228 | |||
670,000 | Commercial Metals Co., 3.875%, 2/15/31 | 685,912 | |||
223,000 | Metinvest BV, 7.75%, 4/23/23 (144A) | 236,710 | |||
2,165,000 | Metinvest BV, 7.75%, 10/17/29 (144A) | 2,327,635 | |||
Total Iron & Steel | $5,901,566 | ||||
Leisure Time - 1.4% | |||||
130,000 | Carnival Corp., 7.625%, 3/1/26 (144A) | $137,475 | |||
EUR | 170,000 | Carnival Corp., 7.625%, 3/1/26 (144A) | 216,596 | ||
180,000 | Carnival Corp., 10.5%, 2/1/26 (144A) | 209,025 | |||
465,000 | NCL Corp., Ltd., 5.875%, 3/15/26 (144A) | 460,350 | |||
EUR | 225,000 | Pinnacle Bidco Plc, 5.5%, 2/15/25 (144A) | 268,646 | ||
175,000 | Royal Caribbean Cruises, Ltd., 9.125%, 6/15/23 (144A) | 189,438 | |||
407,000 | Royal Caribbean Cruises, Ltd., 11.5%, 6/1/25 (144A) | 471,357 | |||
817,000 | Viking Cruises, Ltd., 5.875%, 9/15/27 (144A) | 790,153 | |||
520,000 | Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29 (144A) | 520,000 | |||
Total Leisure Time | $3,263,040 | ||||
Lodging - 1.2% | |||||
325,000 | Genting New York LLC/GENNY Capital, Inc., 3.3%, 2/15/26 (144A) | $327,075 | |||
590,000 | Grupo Posadas SAB de CV, 7.875%, 6/30/22 (144A) | 292,050 | |||
550,000 | Hilton Domestic Operating Co., Inc., 4.0%, 5/1/31 (144A) | 565,084 | |||
1,231,000 | Station Casinos LLC, 4.5%, 2/15/28 (144A) | 1,206,380 | |||
455,000 | Wyndham Destinations, Inc., 6.625%, 7/31/26 (144A) | 508,144 | |||
Total Lodging | $2,898,733 | ||||
Machinery-Diversified - 1.1% | |||||
EUR | 1,317,000 | Platin 1426 GmbH, 5.375%, 6/15/23 (144A) | $1,597,850 | ||
EUR | 790,000 | Sofima Holding SpA, 3.75%, 1/15/28 (144A) | 962,158 | ||
Total Machinery-Diversified | $2,560,008 | ||||
Media - 2.8% | |||||
650,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/1/27 (144A) | $682,383 | |||
749,000 | Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/24 | 778,260 | |||
1,000,000 | CSC Holdings LLC, 4.625%, 12/1/30 (144A) | 1,020,000 | |||
1,187,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/27 (144A) | 753,745 | |||
597,000 | Gray Television, Inc., 5.875%, 7/15/26 (144A) | 619,387 | |||
EUR | 575,000 | Virgin Media Finance Plc, 3.75%, 7/15/30 (144A) | 713,315 | ||
GBP | 750,000 | Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28 (144A) | 1,054,813 | ||
EUR | 855,000 | Ziggo Bond Co. BV, 3.375%, 2/28/30 (144A) | 1,033,989 | ||
Total Media | $6,655,892 | ||||
Mining - 1.5% | |||||
705,000 | First Quantum Minerals, Ltd., 6.875%, 3/1/26 (144A) | $734,081 | |||
665,000 | First Quantum Minerals, Ltd., 6.875%, 10/15/27 (144A) | 717,322 | |||
200,000 | First Quantum Minerals, Ltd., 7.5%, 4/1/25 (144A) | 206,756 | |||
424,000 | Hudbay Minerals, Inc., 6.125%, 4/1/29 (144A) | 449,440 | |||
811,000 | IAMGOLD Corp., 5.75%, 10/15/28 (144A) | 831,032 | |||
549,000 | Joseph T Ryerson & Son, Inc., 8.5%, 8/1/28 (144A) | 619,245 | |||
Total Mining | $3,557,876 | ||||
Miscellaneous Manufacturer - 0.2% | |||||
426,000 | Koppers, Inc., 6.0%, 2/15/25 (144A) | $437,715 | |||
Total Miscellaneous Manufacturer | $437,715 | ||||
Oil & Gas - 8.3% | |||||
1,475,000 | Aethon United BR LP/Aethon United Finance Corp., 8.25%, 2/15/26 (144A) | $1,508,188 | |||
Principal Amount USD ($) | Value | ||||
Oil & Gas - (continued) | |||||
1,800,000 | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | $1,417,500 | |||
905,000 | Cenovus Energy, Inc., 6.75%, 11/15/39 | 1,172,322 | |||
1,265,000 | Colgate Energy Partners III LLC, 7.75%, 2/15/26 (144A) | 1,208,075 | |||
490,000 | Hilcorp Energy I LP/Hilcorp Finance Co., 6.0%, 2/1/31 (144A) | 497,350 | |||
1,035,000 | Indigo Natural Resources LLC, 5.375%, 2/1/29 (144A) | 1,022,063 | |||
901,000 | Indigo Natural Resources LLC, 6.875%, 2/15/26 (144A) | 933,616 | |||
645,000 | Medco Oak Tree Pte, Ltd., 7.375%, 5/14/26 (144A) | 684,506 | |||
590,000 | MEG Energy Corp., 5.875%, 2/1/29 (144A) | 585,575 | |||
588,000 | MEG Energy Corp., 7.0%, 3/31/24 (144A) | 595,997 | |||
1,100,000 | MEG Energy Corp., 7.125%, 2/1/27 (144A) | 1,135,750 | |||
1,260,000 | Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A) | 1,231,650 | |||
1,255,000 | Occidental Petroleum Corp., 4.4%, 4/15/46 | 1,103,145 | |||
200,000 | Occidental Petroleum Corp., 5.5%, 12/1/25 | 209,000 | |||
1,405,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.0%, 2/15/28 | 815,216 | |||
486,000 | PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25 (144A) | 468,820 | |||
760,000 | Petroleos Mexicanos, 6.875%, 10/16/25 (144A) | 828,107 | |||
1,523,000 | SEPLAT Petroleum Development Co. Plc, 9.25%, 4/1/23 (144A) | 1,568,690 | |||
1,820,000 | Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A) | 991,900 | |||
220,952 | Transocean Sentry, Ltd., 5.375%, 5/15/23 (144A) | 202,171 | |||
472,000 | Transocean, Inc., 8.0%, 2/1/27 (144A) | 243,080 | |||
1,800,000 | YPF SA, 6.95%, 7/21/27 (144A) | 1,107,000 | |||
ARS | 22,125,000 | YPF SA, 16.5%, 5/9/22 (144A) | 177,385 | ||
Total Oil & Gas | $19,707,106 | ||||
Oil & Gas Services - 1.1% | |||||
875,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.875%, 4/1/27 (144A) | $918,444 | |||
788,000 | Exterran Energy Solutions LP/EES Finance Corp., 8.125%, 5/1/25 | 700,418 | |||
770,000 | SESI LLC, 7.75%, 9/15/24 | 300,300 | |||
715,000 | TechnipFMC PLC, 6.5%, 2/1/26 (144A) | 746,753 | |||
Total Oil & Gas Services | $2,665,915 | ||||
Packaging & Containers - 0.4% | |||||
EUR | 340,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 2.125%, 8/15/26 (144A) | $413,586 | ||
619,000 | Greif, Inc., 6.5%, 3/1/27 (144A) | 660,009 | |||
Total Packaging & Containers | $1,073,595 | ||||
Pharmaceuticals - 2.5% | |||||
368,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.0%, 6/30/28 (144A) | $311,880 | |||
391,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.5%, 7/31/27 (144A) | 446,718 | |||
600,000 | P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (144A) | 642,000 | |||
1,008,000 | Par Pharmaceutical, Inc., 7.5%, 4/1/27 (144A) | 1,084,175 | |||
EUR | 1,315,000 | Rossini S.a.r.l., 6.75%, 10/30/25 (144A) | 1,697,607 | ||
EUR | 1,345,000 | Teva Pharmaceutical Finance Netherlands II BV, 1.625%, 10/15/28 | 1,466,909 | ||
EUR | 255,000 | Teva Pharmaceutical Finance Netherlands II BV, 6.0%, 1/31/25 | 338,745 | ||
Total Pharmaceuticals | $5,988,034 | ||||
Pipelines - 4.4% | |||||
1,690,000 | American Midstream Partners LP/American Midstream Finance Corp., 9.5%, 12/15/21 (144A) | $1,683,240 | |||
783,000 | DCP Midstream Operating LP, 5.6%, 4/1/44 | 818,235 | |||
1,500,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75%, 5/15/25 | 1,477,500 | |||
1,415,000(d)(e) | Energy Transfer Operating LP, 7.125% (5 Year CMT Index + 531 bps) | 1,329,534 | |||
810,000 | EnLink Midstream Partners LP, 4.15%, 6/1/25 | 787,725 | |||
665,000 | EnLink Midstream Partners LP, 5.45%, 6/1/47 | 531,584 | |||
460,000 | Genesis Energy LP/Genesis Energy Finance Corp., 8.0%, 1/15/27 | 437,000 | |||
327,000 | Global Partners LP/GLP Finance Corp., 7.0%, 8/1/27 | 345,394 | |||
1,040,000 | Harvest Midstream I LP, 7.5%, 9/1/28 (144A) | 1,092,260 | |||
1,130,000 | Northriver Midstream Finance LP, 5.625%, 2/15/26 (144A) | 1,156,871 | |||
715,000 | NuStar Logistics LP, 6.375%, 10/1/30 | 788,288 | |||
Total Pipelines | $10,447,631 | ||||
Real Estate - 0.2% | |||||
385,000 | Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 1/15/29 (144A) | $393,181 | |||
Total Real Estate | $393,181 | ||||
REITs - 1.9% | |||||
735,000 | iStar, Inc., 4.25%, 8/1/25 | $722,137 | |||
741,000 | iStar, Inc., 4.75%, 10/1/24 | 760,055 | |||
1,155,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.5%, 3/15/31 | 1,170,714 | |||
780,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.5%, 2/15/29 (144A) | 778,237 | |||
531,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/25 (144A) | 572,155 | |||
590,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23 | 598,026 | |||
Total REITs | $4,601,324 | ||||
Retail - 2.2% | |||||
970,000 | AAG FH LP/AAG FH Finco, Inc., 9.75%, 7/15/24 (144A) | $921,500 | |||
568,000 | Beacon Roofing Supply, Inc., 4.875%, 11/1/25 (144A) | 575,219 | |||
310,000 | Ken Garff Automotive LLC, 4.875%, 9/15/28 (144A) | 318,541 | |||
325,000 | L Brands, Inc., 6.625%, 10/1/30 (144A) | 365,623 | |||
1,343,000 | Michaels Stores, Inc., 8.0%, 7/15/27 (144A) | 1,439,293 | |||
630,000 | Murphy Oil USA, Inc., 3.75%, 2/15/31 (144A) | 630,000 | |||
245,000 | Park River Holdings, Inc., 5.625%, 2/1/29 (144A) | 243,469 | |||
275,000 | Petsmart, Inc., 7.75%, 2/15/29 (144A) | 275,000 | |||
Principal Amount USD ($) | Value | ||||
Retail - (continued) | |||||
557,000 | Staples, Inc., 7.5%, 4/15/26 (144A) | $568,190 | |||
Total Retail | $5,336,835 | ||||
Software - 0.4% | |||||
815,000 | Rackspace Technology Global, Inc., 5.375%, 12/1/28 (144A) | $849,638 | |||
165,000 | ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.875%, 2/1/29 (144A) | 166,650 | |||
Total Software | $1,016,288 | ||||
Sovereign - 0.1% | |||||
313,568(h) | Ecuador Social Bond S.a.r.l, 1/30/35 (144A) | $207,739 | |||
Total Sovereign | $207,739 | ||||
Telecommunications - 3.3% | |||||
1,065,000 | Altice France Holding SA, 6.0%, 2/15/28 (144A) | $1,072,987 | |||
280,000 | Altice France SA, 5.125%, 1/15/29 (144A) | 288,750 | |||
346,000 | CommScope Technologies LLC, 6.0%, 6/15/25 (144A) | 352,920 | |||
724,079(f) | Digicel Holdings Bermuda, Ltd./Digicel International Finance, Ltd., 13.0% (7.0% PIK 6.0% Cash), 12/31/25 (144A) | 727,699 | |||
779,000 | Kenbourne Invest SA, 6.875%, 11/26/24 (144A) | 841,125 | |||
310,000 | Level 3 Financing, Inc., 3.75%, 7/15/29 (144A) | 311,707 | |||
1,090,000 | LogMeIn, Inc., 5.5%, 9/1/27 (144A) | 1,140,413 | |||
1,055,000 | Lumen Technologies, Inc., 4.5%, 1/15/29 (144A) | 1,082,915 | |||
985,000 | Total Play Telecomunicaciones SAB de CV, 7.5%, 11/12/25 (144A) | 973,279 | |||
970,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28 (144A) | 982,125 | |||
Total Telecommunications | $7,773,920 | ||||
Transportation - 1.9% | |||||
781,997(c) | Golar LNG Partners LP, 8.321% (3 Month USD LIBOR + 810 bps), 11/15/22 (144A) | $770,267 | |||
1,089,000 | Hidrovias International Finance S.a.r.l., 5.95%, 1/24/25 (144A) | 1,148,906 | |||
1,115,000 | Simpar Europe SA, 5.2%, 1/26/31 (144A) | 1,118,233 | |||
1,285,000 | Western Global Airlines LLC, 10.375%, 8/15/25 (144A) | 1,432,775 | |||
Total Transportation | $4,470,181 | ||||
Trucking & Leasing - 0.2% | |||||
435,000 | Fortress Transportation & Infrastructure Investors LLC, 9.75%, 8/1/27 (144A) | $491,855 | |||
Total Trucking & Leasing | $491,855 | ||||
TOTAL CORPORATE BONDS | |||||
(Cost $199,812,056) | $202,265,640 | ||||
FOREIGN GOVERNMENT BONDS - 4.5% of Net Assets | |||||
Angola - 0.4% | |||||
932,000 | Angolan Government International Bond, 8.25%, 5/9/28 (144A) | $929,778 | |||
Total Angola | $929,778 | ||||
Argentina - 1.0% | |||||
1,794,500(b) | Argentine Republic Government International Bond, 0.125%, 7/9/35 | $613,288 | |||
118,980 | Argentine Republic Government International Bond, 1.0%, 7/9/29 | 49,377 | |||
2,000,000 | Ciudad Autonoma De Buenos Aires, 7.5%, 6/1/27 (144A) | 1,570,000 | |||
209,308 | Province of Salta Argentina, 9.5%, 3/16/22 (144A) | 185,238 | |||
Total Argentina | $2,417,903 | ||||
Bahrain - 0.4% | |||||
780,000 | Bahrain Government International Bond, 7.0%, 10/12/28 (144A) | $902,120 | |||
Total Bahrain | $902,120 | ||||
Ghana - 0.6% | |||||
385,000 | Ghana Government International Bond, 7.875%, 2/11/35 (144A) | $388,850 | |||
1,000,000 | Ghana Government International Bond, 8.627%, 6/16/49 | 1,003,700 | |||
Total Ghana | $1,392,550 | ||||
Ivory Coast - 0.3% | |||||
EUR | 495,000 | Ivory Coast Government International Bond, 5.875%, 10/17/31 (144A) | $658,176 | ||
Total Ivory Coast | $658,176 | ||||
Morocco - 0.4% | |||||
900,000 | Morocco Government International Bond, 4.0%, 12/15/50 (144A) | $917,100 | |||
Total Morocco | $917,100 | ||||
Oman - 0.2% | |||||
555,000 | Oman Government International Bond, 6.25%, 1/25/31 (144A) | $588,318 | |||
Total Oman | $588,318 | ||||
Tunisia - 0.4% | |||||
EUR | 797,000 | Banque Centrale de Tunisie International Bond, 6.375%, 7/15/26 (144A) | $882,274 | ||
Total Tunisia | $882,274 | ||||
Ukraine - 0.8% | |||||
EUR | 855,000 | Ukraine Government International Bond, 4.375%, 1/27/30 (144A) | $985,151 | ||
875,000 | Ukraine Government International Bond, 8.994%, 2/1/24 (144A) | 983,281 | |||
Total Ukraine | $1,968,432 | ||||
TOTAL FOREIGN GOVERNMENT BONDS | |||||
(Cost $10,978,487) | $10,656,651 | ||||
INSURANCE-LINKED SECURITIES - 0.9% of Net Assets# | |||||
Event Linked Bonds - 0.2% | |||||
Earthquakes - Peru - 0.1% | |||||
175,000(c) | International Bank for Reconstruction & Development, 6.021% (3 Month USD LIBOR + 600 bps), 2/15/21 (144A) | $175,000 | |||
Principal Amount USD ($) | Value | ||||
Multiperil - U.S. - 0.1% | |||||
500,000+(c) | Caelus Re V, 0.553% (1 Month U.S. Treasury Bill + 50 bps), 6/5/24 (144A) | $44 | |||
250,000(c) | Caelus Re V, 7.24% (3 Month U.S. Treasury Bill + 724 bps), 6/7/21 (144A) | 62,500 | |||
250,000(c) | Tailwind Re 2017-1, 11.136% (3 Month U.S. Treasury Bill + 1,155 bps), 1/8/22 (144A) | 253,450 | |||
$315,994 | |||||
Total Event Linked Bonds | $490,994 | ||||
Face Amount USD ($) | Value | ||||
Collateralized Reinsurance - 0.3% | |||||
Multiperil - U.S. - 0.0%† | |||||
250,000+(i) | Dingle Re 2019, 2/1/22 | $5,131 | |||
Multiperil - Worldwide - 0.2% | |||||
600,000+(a)(i) | Cypress Re 2017, 1/31/22 | $60 | |||
462,359+(a)(i) | Dartmouth Re 2018, 1/31/22 | 97,604 | |||
389,876+(a)(i) | Gloucester Re 2018, 2/28/22 | 68,618 | |||
12,000+(i) | Limestone Re 2016-1, 8/31/21 | 600 | |||
12,000+(i) | Limestone Re 2016-1, 8/31/21 | 600 | |||
277,770+(a)(i) | Oyster Bay Re 2018, 1/31/22 | 252,104 | |||
400,000+(a)(i) | Resilience Re, 4/6/21 | 40 | |||
283,700+(a)(i) | Seminole Re 2018, 1/31/22 | 7,010 | |||
276,582+(a)(i) | Walton Health Re 2018, 6/15/21 | 86,881 | |||
$513,517 | |||||
Windstorm - Florida - 0.1% | |||||
250,000+(a)(i) | Formby Re 2018, 2/28/22 | $44,229 | |||
300,000+(a)(i) | Portrush Re 2017, 6/15/21 | 191,430 | |||
$235,659 | |||||
Windstorm - U.S. Regional - 0.0%† | |||||
250,000+(a)(i) | Oakmont Re 2017, 4/30/21 | $7,350 | |||
Total Collateralized Reinsurance | $761,657 | ||||
Reinsurance Sidecars - 0.4% | |||||
Multiperil - U.S. - 0.1% | |||||
800,000+(a)(i) | Carnoustie Re 2017, 11/30/21 | $105,440 | |||
1,000,0006+(a)(j) | Harambee Re 2018, 12/31/21 | 18,600 | |||
695,349+(j) | Harambee Re 2019, 12/31/22 | 6,397 | |||
$130,437 | |||||
Multiperil - Worldwide - 0.3% | |||||
3,037+(j) | Alturas Re 2019-2, 3/10/22 | $14,103 | |||
490,000+(a)(i) | Bantry Re 2016, 3/31/21 | 39,494 | |||
300,000+(a)(i) | Bantry Re 2017, 3/31/21 | 17,532 | |||
250,000+(a)(i) | Bantry Re 2018, 12/31/21 | 2,850 | |||
250,000+(i) | Bantry Re 2019, 12/31/22 | 8,491 | |||
1,422,258+(a)(i) | Berwick Re 2018-1, 12/31/21 | 173,089 | |||
556,791+(a)(i) | Berwick Re 2019-1, 12/31/22 | 66,537 | |||
250,000+(j) | Blue Lotus Re 2018, 12/31/21 | 3,600 | |||
12,500+(i) | Eden Re II, 3/22/22 (144A) | 8,607 | |||
22,500+(i) | Eden Re II, 3/22/22 (144A) | 14,946 | |||
1,600,000+(a)(i) | Gleneagles Re 2016, 11/30/21 | 49,920 | |||
250,000+(a)(i) | Gleneagles Re 2018, 12/31/21 | 29,575 | |||
450,000+(a)(j) | Lorenz Re 2018, 7/1/21 | 5,355 | |||
231,508+(a)(j) | Lorenz Re 2019, 6/30/22 | 15,256 | |||
600,000+(a)(i) | Merion Re 2018-2, 12/31/21 | 99,300 | |||
1,000,000+(i) | Pangaea Re 2016-2, 11/30/21 | 1,783 | |||
300,000+(a)(i) | Pangaea Re 2018-1, 12/31/21 | 6,316 | |||
300,000+(a)(i) | Pangaea Re 2018-3, 7/1/22 | 6,223 | |||
245,774+(a)(i) | Pangaea Re 2019-1, 2/1/23 | 5,121 | |||
220,594+(a)(i) | Pangaea Re 2019-3, 7/1/23 | 7,935 | |||
500,000+(a)(i) | St. Andrews Re 2017-1, 2/1/22 | 33,900 | |||
521,395+(a)(i) | St. Andrews Re 2017-4, 6/1/21 | 51,305 | |||
250,000+(a)(j) | Thopas Re 2018, 12/31/21 | – | |||
250,000+(a)(j) | Thopas Re 2019, 12/31/22 | 9,875 | |||
600,000+(a)(i) | Versutus Re 2017, 11/30/21 | 8,340 | |||
300,000+(a)(i) | Versutus Re 2018, 12/31/21 | 840 | |||
264,763+(i) | Versutus Re 2019-A, 12/31/21 | 10,643 | |||
35,236+(i) | Versutus Re 2019-B, 12/31/21 | 1,417 | |||
250,000+(a)(j) | Viribus Re 2018, 12/31/21 | – | |||
106,153+(j) | Viribus Re 2019, 12/31/22 | 4,352 | |||
253,645+(a)(i) | Woburn Re 2018, 12/31/21 | 23,370 | |||
244,914+(a)(i) | Woburn Re 2019, 12/31/22 | 82,465 | |||
$802,540 | |||||
Total Reinsurance Sidecars | $932,977 | ||||
TOTAL INSURANCE-LINKED SECURITIES | |||||
(Cost $3,458,610) | $2,185,628 | ||||
Principal Amount USD ($) | Value | ||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 2.0% of Net Assets*(c) | |||||
Aerospace & Defense - 0.4% | |||||
68,472 | Grupo Aeromexico, SAB de CV, DIP Tranche 2 Term Loan, 3.9% (LIBOR + 1450 bps) 12/31/21 | $70,269 | |||
715,000 | Grupo Aeromexico, SAB de CV, Senior Secured Tranche 1, 9.0% (LIBOR + 450 bps), 12/31/21 | 728,406 | |||
Total Aerospace & Defense | $798,675 | ||||
Automobile - 0.2% | |||||
523,364 | First Brands Group LLC, First Lien Tranche B-3 Term Loan, 8.5% (LIBOR + 750 bps), 2/2/24 | $532,687 | |||
Total Automobile | $532,687 | ||||
Diversified & Conglomerate Service - 0.4% | |||||
1,072,853 | Team Health Holdings, Inc., Initial Term Loan, 3.75% (LIBOR + 275 bps), 2/6/24 | $1,006,471 | |||
Total Diversified & Conglomerate Service | $1,006,471 | ||||
Healthcare, Education & Childcare - 0.4% | |||||
616,124 | Alliance HealthCare Services, Inc., First Lien Initial Term Loan, 5.5% (LIBOR + 450 bps), 10/24/23 | $564,780 | |||
317,600 | Surgery Center Holdings, Inc., 2020 Incremental Term Loan, 9.0% (LIBOR + 800 bps), 9/3/24 | 326,652 | |||
Total Healthcare, Education & Childcare | $891,432 | ||||
Hotel, Gaming & Leisure - 0.0%† | |||||
74,600 | Spectacle Gary Holdings LLC, Delayed Draw Term Loan, (LIBOR + 900 bps/PRIME + 800 bps) 11.0%, 12/23/25 | $75,952 | |||
Total Hotel, Gaming & Leisure | $75,952 | ||||
Securities & Trusts - 0.5% | |||||
1,030,100 | Spectacle Gary Holdings LLC, Closing Date Term Loan, 11.0% (LIBOR + 900 bps), 12/23/25 | $1,048,771 | |||
Total Securities & Trusts | $1,048,771 | ||||
Utilities - 0.1% | |||||
313,425 | PG&E Corp., Term Loan, 5.5% (PRIME + 350 bps), 6/23/25 | $317,016 | |||
Total Utilities | $317,016 | ||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS | |||||
(Cost $4,512,078) | $4,671,004 | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATION - 5.5% of Net Assets | |||||
13,000,000(h) | U.S. Treasury Bills, 2/23/21 | $12,999,642 | |||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATION | |||||
(Cost $12,999,467) | $12,999,642 | ||||
Shares | Value | ||||
RIGHTS/WARRANTS - 0.0%† of Net Assets | |||||
Metals & Mining - 0.0%† | |||||
318,254(k) | ANR, Inc., 3/31/23 | $1,496 | |||
Total Metals & Mining | $1,496 | ||||
Oil, Gas & Consumable Fuels - 0.0%† | |||||
61(a)(l) | Contura Energy, Inc., 6/26/23 | $67 | |||
Total Oil, Gas & Consumable Fuels | $67 | ||||
TOTAL RIGHTS/WARRANTS | |||||
(Cost $36,831) | $1,563 |
Number of Contracts | Description | Counterparty | Amount | Strike Price | Expiration Date | Value | ||||
OVER THE COUNTER (OTC) CALL OPTIONS PURCHASED - 0.0%† | ||||||||||
297,012^(m) | Desarrolladora Homex SAB de CV | Bank of New York Mellon Corp. | MXN | – | MXN | –(o) | 10/23/22 | $– | ||
297,012^(n) | Desarrolladora Homex SAB de CV | Bank of New York Mellon Corp. | MXN | – | MXN | –(o) | 10/23/22 | – | ||
$– | ||||||||||
TOTAL OVER THE COUNTER (OTC) CALL OPTIONS PURCHASED | ||||||||||
(Premiums paid $0) | $– | |||||||||
OVER THE COUNTER (OTC) CURRENCY PUT OPTIONS PURCHASED - 0.0%† | ||||||||||
3,910,000 | Put EUR Call USD | Bank of America NA | USD | 60,901 | USD | 1.11 | 3/8/21 | $4 | ||
1,973,500 | Put EUR Call USD | Bank of America NA | EUR | 32,660 | EUR | 1.11 | 6/4/21 | 752 | ||
3,850,000 | Put EUR Call USD | JPMorgan Chase Bank NA | EUR | 24,986 | EUR | 1.15 | 5/17/21 | 5,082 | ||
$5,838 | ||||||||||
TOTAL OVER THE COUNTER (OTC) CURRENCY PUT OPTIONS PURCHASED | ||||||||||
(Premiums paid $118,547) | $5,838 | |||||||||
TOTAL OPTIONS PURCHASED | ||||||||||
(Premiums paid $118,547) | $5,838 | |||||||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 100.5% | ||||||||||
(Cost $240,058,894) | $239,551,518 |
Number of Contracts | Description | Counterparty | Amount | Strike Price | Expiration Date | Value | |||
OVER THE COUNTER (OTC) CURRENCY CALL OPTIONS WRITTEN - (0.1%) | |||||||||
(3,910,000) | Call EUR Put USD | Bank of America NA | USD | 60,901 | USD | 1.20 | 3/8/21 | $ (63,135) | |
(1,973,500) | Call EUR Put USD | Bank of America NA | EUR | 32,660 | EUR | 1.17 | 6/4/21 | (95,328) | |
(3,850,000) | Call EUR Put USD | JPMorgan Chase Bank NA | EUR | 24,986 | EUR | 1.24 | 5/17/21 | (27,634) | |
$(186,097) | |||||||||
TOTAL OVER THE COUNTER (OTC) CURRENCY CALL OPTIONS WRITTEN | |||||||||
(Premiums received $(118,547)) | $(186,097) | ||||||||
OTHER ASSETS AND LIABILITIES - (0.4)% | $(899,307) | ||||||||
NET ASSETS - 100.0% | $238,466,114 | ||||||||
BADLARPP | Argentine Deposit Rate Badlar Private Banks 30 – 35 Days. |
bps | Basis Points. |
CMT | Constant Maturity Treasury Index. |
LIBOR | London Interbank Offered 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, 2021, the value of these securities amounted to $183,470,483, or 76.9% 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, 2021. |
+ | 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) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at January 31, 2021. |
(c) | Floating rate note. Coupon rate, reference index and spread shown at January 31, 2021. |
(d) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at January 31, 2021. |
(e) | Security is perpetual in nature and has no stated maturity date. |
(f) | Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount. |
(g) | Security is in default. |
(h) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(i) | Issued as participation notes. |
(j) | Issued as preference shares. |
(k) | ANR, Inc., 3/31/23 warrants are exercisable into 318,254 shares. |
(l) | Contura Energy, Inc. warrants are exercisable into 61 shares. |
(m) | Option does not become effective until underlying company’s outstanding common shares reach a market capitalization of MXN 12.5 Billion. |
(n) | Option does not become effective until underlying company’s outstanding common shares reach a market capitalization of MXN 15.0 Billion. |
(o) | Strike price is 1 Mexican Peso (MXN). |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
Alturas Re 2019-2 | 12/19/2018 | $ 3,037 | $ 14,103 |
Bantry Re 2016 | 2/6/2019 | 39,494 | 39,494 |
Bantry Re 2017 | 2/6/2019 | 17,539 | 17,532 |
Bantry Re 2018 | 2/6/2019 | 2,845 | 2,850 |
Bantry Re 2019 | 2/1/2019 | – | 8,491 |
Berwick Re 2018-1 | 1/10/2018 | 270,961 | 173,089 |
Berwick Re 2019-1 | 12/31/2018 | 66,532 | 66,537 |
Blue Lotus Re 2018 | 12/20/2017 | – | 3,600 |
Caelus Re V | 5/4/2018 | 250,000 | 62,500 |
Caelus Re V | 4/27/2017 | 500,000 | 44 |
Carnoustie Re 2017 | 1/5/2017 | 190,205 | 105,440 |
Cypress Re 2017 | 1/24/2017 | 2,017 | 60 |
Dartmouth Re 2018 | 1/18/2018 | 187,807 | 97,604 |
Dingle Re 2019 | 3/4/2019 | – | 5,131 |
Eden Re II | 12/15/2017 | 747 | 8,607 |
Eden Re II | 1/23/2018 | 520 | 14,946 |
Formby Re 2018 | 7/9/2018 | 37,012 | 44,229 |
Gleneagles Re 2016 | 1/14/2016 | – | 49,920 |
Gleneagles Re 2018 | 12/27/2017 | 20,068 | 29,575 |
Gloucester Re 2018 | 1/2/2018 | 63,180 | 68,618 |
Harambee Re 2018 | 12/19/2017 | 78,048 | 18,600 |
Harambee Re 2019 | 4/24/2019 | – | 6,397 |
International Bank for Reconstruction & Development | 2/2/2018 | 175,000 | 175,000 |
Limestone Re 2016-1 | 12/15/2016 | 990 | 600 |
Limestone Re 2016-1 | 12/15/2016 | 990 | 600 |
Lorenz Re 2018 | 6/26/2018 | 103,477 | 5,355 |
Lorenz Re 2019 | 7/10/2019 | 75,309 | 15,256 |
Restricted Securities | Acquisition date | Cost | Value |
Merion Re 2018-2 | 12/28/2017 | $ 24,691 | $ 99,300 |
Oakmont Re 2017 | 5/10/2017 | – | 7,350 |
Oyster Bay Re 2018 | 1/17/2018 | 247,921 | 252,104 |
Pangaea Re 2016-2 | 5/31/2016 | – | 1,783 |
Pangaea Re 2018-1 | 12/26/2017 | 42,903 | 6,316 |
Pangaea Re 2018-3 | 5/31/2018 | 72,258 | 6,223 |
Pangaea Re 2019-1 | 1/9/2019 | 2,580 | 5,121 |
Pangaea Re 2019-3 | 7/25/2019 | 6,618 | 7,935 |
Portrush Re 2017 | 6/12/2017 | 230,096 | 191,430 |
Resilience Re | 4/13/2017 | 1,307 | 40 |
Seminole Re 2018 | 1/2/2018 | 2,466 | 7,010 |
St. Andrews Re 2017-1 | 1/5/2017 | 33,874 | 33,900 |
St. Andrews Re 2017-4 | 3/31/2017 | – | 51,305 |
Tailwind Re 2017-1 | 12/20/2017 | 250,000 | 253,450 |
Thopas Re 2018 | 12/12/2017 | 33,941 | – |
Thopas Re 2019 | 12/21/2018 | 9,473 | 9,875 |
Versutus Re 2017 | 1/5/2017 | 39,744 | 8,340 |
Versutus Re 2018 | 1/31/2018 | 3,788 | 840 |
Versutus Re 2019-A | 1/28/2019 | – | 10,643 |
Versutus Re 2019-B | 12/24/2018 | – | 1,417 |
Viribus Re 2018 | 12/22/2017 | 20,388 | – |
Viribus Re 2019 | 3/25/2019 | – | 4,352 |
Walton Health Re 2018 | 6/25/2018 | 182,302 | 86,881 |
Woburn Re 2018 | 3/20/2018 | 94,515 | 23,370 |
Woburn Re 2019 | 1/30/2019 | 73,967 | 82,465 |
Total Restricted Securities | $2,185,628 | ||
% of Net assets | 0.9% | ||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | ||||||||
Currency Purchased | In Exchange for | Currency Sold | Deliver | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 575,361 | EUR | (470,000) | Bank of America NA | 3/26/21 | $4,450 | ||
EUR | 1,320,000 | USD | (1,599,624) | Citibank NA | 4/28/21 | 4,904 | ||
USD | 1,544,269 | EUR | (1,260,000) | Citibank NA | 3/26/21 | 13,740 | ||
EUR | 8,590,000 | USD | (10,478,331) | HSBC Bank USA NA | 4/28/21 | (36,746) | ||
NOK | 20,938,362 | EUR | (1,996,283) | HSBC Bank USA NA | 4/6/21 | 16,710 | ||
GBP | 32,825 | USD | (44,181) | State Street Bank & Trust Co. | 2/26/21 | 812 | ||
USD | 604,371 | EUR | (495,000) | State Street Bank & Trust Co. | 3/26/21 | 3,092 | ||
USD | 1,044,613 | GBP | (765,000) | State Street Bank & Trust Co. | 2/26/21 | (3,968) | ||
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | $2,994 | |||||||
SWAP CONTRACTS | |||||||
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | |||||||
Notional Amount ($)(1) | Reference Obligation/Index | Pay/ Receive(2) | Annual Fixed Rate | Expiration Date | Premiums (Received) | Unrealized Appreciation | Market Value |
1,520,000 | Markit CDX North America High Yield Index Series 25 | Receive | 5.00% | 12/20/25 | $ (12,033) | $ 142,348 | $ 130,315 |
1,909,200 | Markit CDX North America High Yield Index Series 26 | Receive | 5.00% | 6/20/21 | (18,297) | 59,278 | 40,981 |
TOTAL SWAP CONTRACTS | $ (30,330) | $ 201,626 | $ 171,296 | ||||
(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. | ||
ARS | - | Argentine Peso |
EUR | - | Euro |
GBP | - | Great British Pound |
IDR | - | Indonesian Rupiah |
MXN | - | Mexican Peso |
NOK | - | Norwegian Krone |
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 - unadjusted 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, 2021, in valuing the Fund’s investments: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Oil, Gas & Consumable Fuels | $ | 45 | $ | – | $ | 172,055 | $ | 172,100 | ||||||||
Paper & Forest Products | – | 18,379 | – | 18,379 | ||||||||||||
All Other Common Stocks | 760,000 | – | – | 760,000 | ||||||||||||
Convertible Corporate Bonds | – | 5,815,073 | – | 5,815,073 | ||||||||||||
Corporate Bonds | – | 202,265,640 | – | 202,265,640 | ||||||||||||
Foreign Government Bonds | – | 10,656,651 | – | 10,656,651 | ||||||||||||
Insurance-Linked Securities | ||||||||||||||||
Event Linked Bonds | ||||||||||||||||
Multiperil - U.S. | – | 315,950 | 44 | 315,994 | ||||||||||||
Collateralized Reinsurance | ||||||||||||||||
Multiperil - U.S. | – | – | 5,131 | 5,131 | ||||||||||||
Multiperil - Worldwide | – | – | 513,517 | 513,517 | ||||||||||||
Windstorm - Florida | – | – | 235,659 | 235,659 | ||||||||||||
Windstorm - U.S. Regional | – | – | 7,350 | 7,350 | ||||||||||||
Reinsurance Sidecars | ||||||||||||||||
Multiperil - U.S. | – | – | 130,437 | 130,437 | ||||||||||||
Multiperil - Worldwide | – | – | 802,540 | 802,540 | ||||||||||||
All Other Insurance-Linked Security | – | 175,000 | – | 175,000 | ||||||||||||
Senior Secured Floating Rate Loan Interests | – | 4,671,004 | – | 4,671,004 | ||||||||||||
U.S. Government and Agency Obligation | – | 12,999,642 | – | 12,999,642 | ||||||||||||
Rights/Warrants | ||||||||||||||||
Metals & Mining | – | 1,496 | – | 1,496 | ||||||||||||
All Other Right/Warrant | 67 | – | – | 67 | ||||||||||||
Over The Counter (OTC) Call Option Purchased | – | – | * | – | – | * | ||||||||||
Over The Counter (OTC) Currency Put Option Purchased | – | 5,838 | – | 5,838 | ||||||||||||
Total Investments in Securities | $ | 760,112 | $ | 236,924,673 | $ | 1,866,733 | $ | 239,551,518 | ||||||||
Other Financial Instruments | ||||||||||||||||
Over The Counter (OTC) Currency Call Option Written | $ | – | $ | (186,097 | ) | $ | – | $ | (186,097 | ) | ||||||
Net unrealized appreciation on forward foreign currency exchange contracts | – | 2,994 | – | 2,994 | ||||||||||||
Swap contracts, at value | – | 171,296 | – | 171,296 | ||||||||||||
Total Other Financial Instruments | $ | – | $ | (11,807 | ) | $ | – | $ | (11,807 | ) |
* Security valued at $0.
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
Common Stocks | Convertible Corporate Bonds | �� | Insurance- Linked Securities | Total | ||||||||||||
Balance as of 10/31/20 | $ | 172,055 | $ | 38,216 | $ | 2,438,370 | $ | 2,648,641 | ||||||||
Realized gain (loss) | -- | -- | -- | -- | ||||||||||||
Change in unrealized appreciation (depreciation) | -- | -- | 9,730 | 9,730 | ||||||||||||
Accrued discounts/premiums | -- | -- | -- | -- | ||||||||||||
Purchases | -- | -- | -- | -- | ||||||||||||
Sales | -- | -- | (753,422 | ) | (753,422 | ) | ||||||||||
Transfers in to Level 3* | -- | -- | -- | – | ||||||||||||
Transfers out of Level 3* | -- | (38,216 | ) | -- | (38,216 | ) | ||||||||||
Balance as of 1/31/21 | $ | 172,055 | $ | -- | $ | 1,694,678 | $ | 1,866,733 |
* | Transfers are calculated on the beginning of period values. For the three months ended January 31, 2021, securities with an aggregate market value of $38,216 transferred from Level 3 to Level 2 as there were observable inputs available to determine their value. |
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at January 31, 2021: $6,137.