Pioneer Global High Yield Fund | ||
Schedule of Investments | July 31, 2021 | ||
Ticker Symbols: Class A PGHYX Class C PGYCX Class Y GHYYX | ||
Shares | Value | ||||
UNAFFILIATED ISSUERS - 94.5% | |||||
COMMON STOCKS - 0.5% of Net Assets | |||||
Energy Equipment & Services - 0.4% | |||||
29,749(a) | FTS International, Inc. | $581,295 | |||
11,730+^(a) | Superior Energy Services, Inc. | 372,428 | |||
Total Energy Equipment & Services | $953,723 | ||||
Household Durables - 0.0%† | |||||
1,443,476(a) | Desarrolladora Homex SAB de CV | $2,103 | |||
Total Household Durables | $2,103 | ||||
Oil, Gas & Consumable Fuels - 0.1% | |||||
25(a) | Amplify Energy Corp. | $82 | |||
5,735,146+^(a) | Ascent CNR Corp. | 172,054 | |||
Total Oil, Gas & Consumable Fuels | $172,136 | ||||
Paper & Forest Products - 0.0%† | |||||
459,481 | Emerald Plantation Holdings, Ltd. | $7,352 | |||
Total Paper & Forest Products | $7,352 | ||||
TOTAL COMMON STOCKS | |||||
(Cost $1,797,550) | $1,135,314 | ||||
Principal Amount USD ($) | Value | ||||
CONVERTIBLE CORPORATE BONDS - 3.8% of Net Assets | |||||
Airlines - 1.1% | |||||
513,000 | Air Canada, 4.0%, 7/1/25 | $782,562 | |||
700,000 | GOL Equity Finance SA, 3.75%, 7/15/24 (144A) | 621,250 | |||
1,078,000 | Spirit Airlines, Inc., 1.0%, 5/15/26 | 1,008,577 | |||
Total Airlines | $2,412,389 | ||||
Banks - 0.0%† | |||||
IDR | 11,178,198,000^ | PT Bakrie & Brothers Tbk, 0.0%, 12/22/22 | $77,291 | ||
Total Banks | $77,291 | ||||
Biotechnology - 0.3% | |||||
265,000 | Insmed, Inc., 0.75%, 6/1/28 | $268,975 | |||
458,000 | Insmed, Inc., 1.75%, 1/15/25 | 459,145 | |||
Total Biotechnology | $728,120 | ||||
Energy-Alternate Sources - 0.4% | |||||
928,000(b) | Enphase Energy, Inc., 3/1/28 (144A) | $938,208 | |||
Total Energy-Alternate Sources | $938,208 | ||||
Entertainment - 0.5% | |||||
735,000(b) | DraftKings, Inc., 3/15/28 (144A) | $644,228 | |||
520,000 | IMAX Corp., 0.5%, 4/1/26 (144A) | 481,676 | |||
Total Entertainment | $1,125,904 | ||||
Media - 0.0%† | |||||
112,000 | DISH Network Corp., 3.375%, 8/15/26 | $114,800 | |||
Total Media | $114,800 | ||||
Mining - 0.2% | |||||
375,000 | Ivanhoe Mines, Ltd., 2.5%, 4/15/26 (144A) | $468,919 | |||
Total Mining | $468,919 | ||||
Pharmaceuticals - 0.3% | |||||
455,000 | Revance Therapeutics, Inc., 1.75%, 2/15/27 | $525,330 | |||
523,000 | Tricida, Inc., 3.5%, 5/15/27 | 200,780 | |||
Total Pharmaceuticals | $726,110 | ||||
REITs - 0.2% | |||||
354,000 | Summit Hotel Properties, Inc., 1.5%, 2/15/26 | $360,195 | |||
Total REITs | $360,195 | ||||
Software - 0.8% | |||||
795,000 | Bentley Systems, Inc., 0.375%, 7/1/27 (144A) | $795,795 | |||
446,000 | Ceridian HCM Holding, Inc., 0.25%, 3/15/26 (144A) | 453,448 | |||
540,000 | Verint Systems, Inc., 0.25%, 4/15/26 (144A) | 520,324 | |||
Total Software | $1,769,567 | ||||
TOTAL CONVERTIBLE CORPORATE BONDS | |||||
(Cost $9,440,005) | $8,721,503 | ||||
CORPORATE BONDS - 83.5% of Net Assets | |||||
Advertising - 1.8% | |||||
200,000 | Clear Channel International BV, 6.625%, 8/1/25 (144A) | $209,750 | |||
890,000 | Clear Channel Outdoor Holdings, Inc., 7.5%, 6/1/29 (144A) | 922,574 | |||
465,000 | Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28 (144A) | 484,911 | |||
2,082,000(c) | MDC Partners, Inc., 7.5%, 5/1/24 (144A) | 2,120,101 | |||
325,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.25%, 1/15/29 (144A) | 326,625 | |||
Total Advertising | $4,063,961 | ||||
Airlines - 3.5% | |||||
965,000 | Aerovias de Mexico SA de CV, 7.0%, 2/5/25 (144A) | $805,775 | |||
160,000 | Air Canada, 3.875%, 8/15/26 (144A) | 160,042 | |||
360,000 | American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.5%, 4/20/26 (144A) | 376,650 | |||
300,000 | American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.75%, 4/20/29 (144A) | 323,682 | |||
675,000 | Gol Finance SA, 7.0%, 1/31/25 (144A) | 626,464 | |||
2,090,000 | Gol Finance SA, 8.0%, 6/30/26 (144A) | 2,079,550 | |||
2,375,000 | Pegasus Hava Tasimaciligi AS, 9.25%, 4/30/26 (144A) | 2,510,038 | |||
Principal Amount USD ($) | Value | ||||
Airlines - (continued) | |||||
EUR | 1,200,000 | Transportes Aereos Portugueses SA, 5.625%, 12/2/24 (144A) | $1,160,939 | ||
Total Airlines | $8,043,140 | ||||
Auto Manufacturers - 2.6% | |||||
800,000 | Ford Motor Credit Co. LLC, 3.625%, 6/17/31 | $829,000 | |||
595,000 | Ford Motor Credit Co. LLC, 3.815%, 11/2/27 | 624,750 | |||
2,545,000 | Ford Motor Credit Co. LLC, 4.125%, 8/17/27 | 2,723,150 | |||
240,000 | Ford Motor Credit Co. LLC, 5.113%, 5/3/29 | 271,738 | |||
1,327,000 | JB Poindexter & Co., Inc., 7.125%, 4/15/26 (144A) | 1,398,326 | |||
Total Auto Manufacturers | $5,846,964 | ||||
Auto Parts & Equipment - 1.4% | |||||
809,000 | American Axle & Manufacturing, Inc., 6.25%, 3/15/26 | $836,008 | |||
1,243,000 | Dealer Tire LLC/DT Issuer LLC, 8.0%, 2/1/28 (144A) | 1,337,916 | |||
EUR | 915,000 | Grupo Antolin-Irausa SA, 3.5%, 4/30/28 (144A) | 1,071,849 | ||
Total Auto Parts & Equipment | $3,245,773 | ||||
Banks - 1.8% | |||||
700,000 | Akbank T.A.S., 5.125%, 3/31/25 | $706,160 | |||
420,000 | Akbank T.A.S., 6.8%, 2/6/26 (144A) | 444,759 | |||
ARS | 8,000,000(d) | Banco de la Ciudad de Buenos Aires, 38.117% (BADLARPP + 399 bps), 12/5/22 | 72,740 | ||
226,000(e)(f) | Banco Mercantil del Norte SA, 6.75% (5 Year CMT Index + 497 bps) (144A) | 242,159 | |||
380,000(e)(f) | Banco Mercantil del Norte SA, 8.375% (5 Year CMT Index + 776 bps) (144A) | 458,284 | |||
530,000 | Freedom Mortgage Corp., 6.625%, 1/15/27 (144A) | 514,762 | |||
892,000 | Freedom Mortgage Corp., 8.25%, 4/15/25 (144A) | 925,450 | |||
750,000(e)(f) | Sovcombank Via SovCom Capital DAC, 7.75% (5 Year CMT Index + 638 bps) (144A) | 774,225 | |||
9,000(e) | Turkiye Vakiflar Bankasi TAO, 8.0% (5 Year USD Swap Rate + 585 bps), 11/1/27 (144A) | 9,157 | |||
Total Banks | $4,147,696 | ||||
Biotechnology - 0.7% | |||||
EUR | 790,000 | Cidron Aida Finco S.a.r.l., 5.0%, 4/1/28 (144A) | $943,649 | ||
GBP | 220,000 | Cidron Aida Finco S.a.r.l., 6.25%, 4/1/28 | 310,999 | ||
430,000 | HCRX Investments Holdco LP, 4.5%, 8/1/29 (144A) | 438,600 | |||
Total Biotechnology | $1,693,248 | ||||
Building Materials - 0.9% | |||||
770,000 | Builders FirstSource, Inc., 4.25%, 2/1/32 (144A) | $786,370 | |||
601,000 | Koppers, Inc., 6.0%, 2/15/25 (144A) | 616,025 | |||
570,000 | Patrick Industries, Inc., 4.75%, 5/1/29 (144A) | 581,799 | |||
Total Building Materials | $1,984,194 | ||||
Chemicals - 2.5% | |||||
537,000 | Hexion, Inc., 7.875%, 7/15/27 (144A) | $577,275 | |||
794,000 | OCI NV, 4.625%, 10/15/25 (144A) | 820,797 | |||
1,108,000 | Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 4/1/25 (144A) | 1,141,240 | |||
1,072,000 | Sasol Financing USA LLC, 5.5%, 3/18/31 | 1,117,560 | |||
815,000 | Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.125%, 4/1/29 (144A) | 829,263 | |||
1,105,000 | Tronox, Inc., 4.625%, 3/15/29 (144A) | 1,122,956 | |||
Total Chemicals | $5,609,091 | ||||
Coal - 0.3% | |||||
605,000 | SunCoke Energy, Inc., 4.875%, 6/30/29 (144A) | $610,306 | |||
Total Coal | $610,306 | ||||
Commercial Services - 6.5% | |||||
400,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.0%, 6/1/29 (144A) | $400,500 | |||
1,110,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 7/15/27 (144A) | 1,216,671 | |||
EUR | 275,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l., 3.625%, 6/1/28 | 324,160 | ||
400,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l., 4.625%, 6/1/28 (144A) | 401,500 | |||
EUR | 520,000 | APCOA Parking Holdings GmbH, 4.625%, 1/15/27 (144A) | 620,365 | ||
1,680,000 | APX Group, Inc., 5.75%, 7/15/29 (144A) | 1,686,754 | |||
680,000 | APX Group, Inc., 6.75%, 2/15/27 (144A) | 720,800 | |||
1,746,000 | Atento Luxco 1 SA, 8.0%, 2/10/26 (144A) | 1,925,539 | |||
1,435,000 | CoreLogic, Inc., 4.5%, 5/1/28 (144A) | 1,429,619 | |||
1,582,000 | Garda World Security Corp., 6.0%, 6/1/29 (144A) | 1,548,382 | |||
750,000 | Garda World Security Corp., 9.5%, 11/1/27 (144A) | 817,500 | |||
EUR | 705,000 | Loxam SAS, 6.0%, 4/15/25 (144A) | 848,511 | ||
1,330,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 1,388,054 | |||
525,000 | Sotheby’s, 7.375%, 10/15/27 (144A) | 560,779 | |||
205,000 | United Rentals, Inc., 3.75%, 1/15/32 | 205,000 | |||
EUR | 605,000 | Verisure Holding AB, 3.25%, 2/15/27 (144A) | 719,846 | ||
Total Commercial Services | $14,813,980 | ||||
Computers - 0.8% | |||||
595,000 | Diebold Nixdorf, Inc., 8.5%, 4/15/24 | $606,373 | |||
110,000 | Diebold Nixdorf, Inc., 9.375%, 7/15/25 (144A) | 120,862 | |||
705,000 | NCR Corp., 5.0%, 10/1/28 (144A) | 726,150 | |||
225,000 | NCR Corp., 5.25%, 10/1/30 (144A) | 236,813 | |||
110,000 | NCR Corp., 8.125%, 4/15/25 (144A) | 119,488 | |||
Total Computers | $1,809,686 | ||||
Diversified Financial Services - 5.9% | |||||
1,765,000 | ASG Finance Designated Activity Co., 7.875%, 12/3/24 (144A) | $1,703,225 | |||
401,388(g) | Avation Capital SA, 8.25% (9.0% PIK 8.25% Cash), 10/31/26 (144A) | 327,131 | |||
Principal Amount USD ($) | Value | ||||
Diversified Financial Services - (continued) | |||||
1,381,000 | Credito Real SAB de CV SOFOM ER, 8.0%, 1/21/28 (144A) | $1,186,555 | |||
665,000 | Financiera Independencia SAB de CV SOFOM ENR, 8.0%, 7/19/24 (144A) | 623,444 | |||
EUR | 300,000 | Garfunkelux Holdco 3 SA, 6.75%, 11/1/25 (144A) | 369,002 | ||
GBP | 510,000 | Garfunkelux Holdco 3 SA, 7.75%, 11/1/25 (144A) | 735,182 | ||
1,374,482(g) | Global Aircraft Leasing Co., Ltd., 6.5% (7.25% PIK 6.5% Cash), 9/15/24 (144A) | 1,381,355 | |||
630,000 | Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.0%, 8/15/28 (144A) | 642,600 | |||
GBP | 785,000 | Jerrold Finco Plc, 5.25%, 1/15/27 (144A) | 1,135,839 | ||
710,000 | OneMain Finance Corp., 3.5%, 1/15/27 | 722,425 | |||
1,122,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/25 (144A) | 1,144,440 | |||
1,416,000 | Unifin Financiera SAB de CV, 8.375%, 1/27/28 (144A) | 1,327,500 | |||
740,000 | United Wholesale Mortgage LLC, 5.5%, 4/15/29 (144A) | 734,450 | |||
1,248,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 10.5%, 6/1/24 (144A) | 1,355,078 | |||
Total Diversified Financial Services | $13,388,226 | ||||
Electric - 2.5% | |||||
610,000 | Clearway Energy Operating LLC, 3.75%, 2/15/31 (144A) | $610,000 | |||
EUR | 280,000 | ContourGlobal Power Holdings SA, 3.125%, 1/1/28 (144A) | 338,212 | ||
335,000 | Leeward Renewable Energy Operations LLC, 4.25%, 7/1/29 (144A) | 341,700 | |||
1,425,000 | Light Servicos de Eletricidade SA/Light Energia SA, 4.375%, 6/18/26 (144A) | 1,447,515 | |||
1,120,000 | Pampa Energia SA, 7.5%, 1/24/27 (144A) | 999,600 | |||
1,650,000 | Talen Energy Supply LLC, 7.625%, 6/1/28 (144A) | 1,505,328 | |||
350,000 | Vistra Operations Co. LLC, 4.375%, 5/1/29 (144A) | 358,750 | |||
Total Electric | $5,601,105 | ||||
Electrical Components & Equipment - 0.9% | |||||
EUR | 1,135,000 | Belden, Inc., 3.38%, 7/15/31 (144A) | $1,363,311 | ||
EUR | 675,000 | Energizer Gamma Acquisition BV, 3.5%, 6/30/29 (144A) | 801,280 | ||
Total Electrical Components & Equipment | $2,164,591 | ||||
Electronics - 0.1% | |||||
340,000 | Atkore, Inc., 4.25%, 6/1/31 (144A) | $347,650 | |||
Total Electronics | $347,650 | ||||
Energy-Alternate Sources - 0.5% | |||||
200,000 | Atlantica Sustainable Infrastructure Plc, 4.125%, 6/15/28 (144A) | $207,500 | |||
920,000 | Renewable Energy Group, Inc., 5.875%, 6/1/28 (144A) | 959,100 | |||
Total Energy-Alternate Sources | $1,166,600 | ||||
Engineering & Construction - 1.4% | |||||
967,000 | Dycom Industries, Inc., 4.5%, 4/15/29 (144A) | $979,088 | |||
1,845,000 | PowerTeam Services LLC, 9.033%, 12/4/25 (144A) | 2,031,972 | |||
1,000,709(h) | Stoneway Capital Corp., 10.0%, 3/1/27 (144A) | 270,191 | |||
Total Engineering & Construction | $3,281,251 | ||||
Entertainment - 2.8% | |||||
509,000 | AMC Entertainment Holdings, Inc., 10.5%, 4/24/26 (144A) | $540,176 | |||
298,851(g) | AMC Entertainment Holdings, Inc., 12.0% (12.0% PIK 10.0% Cash), 6/15/26 (144A) | 264,483 | |||
840,000 | Caesars Entertainment, Inc., 8.125%, 7/1/27 (144A) | 923,731 | |||
EUR | 800,000 | Gamma Bidco S.p.A., 5.125%, 7/15/25 (144A) | 972,192 | ||
EUR | 516,000 | International Game Technology Plc, 2.375%, 4/15/28 (144A) | 597,255 | ||
245,000 | International Game Technology Plc, 4.125%, 4/15/26 (144A) | 255,173 | |||
1,145,000 | Mohegan Gaming & Entertainment, 8.0%, 2/1/26 (144A) | 1,192,128 | |||
EUR | 412,000 | Scientific Games International, Inc., 5.5%, 2/15/26 (144A) | 499,458 | ||
955,000 | Scientific Games International, Inc., 7.25%, 11/15/29 (144A) | 1,070,918 | |||
Total Entertainment | $6,315,514 | ||||
Environmental Control - 0.3% | |||||
627,000 | Tervita Corp., 11.0%, 12/1/25 (144A) | $719,483 | |||
Total Environmental Control | $719,483 | ||||
Food - 2.8% | |||||
710,000 | Aragvi Finance International DAC, 8.45%, 4/29/26 (144A) | $736,440 | |||
GBP | 490,000 | Boparan Finance Plc, 7.625%, 11/30/25 (144A) | 602,584 | ||
875,000 | FAGE International SA/FAGE USA Dairy Industry, Inc., 5.625%, 8/15/26 (144A) | 900,323 | |||
1,550,000 | Frigorifico Concepcion SA, 7.7%, 7/21/28 (144A) | 1,610,063 | |||
1,030,000 | Minerva Luxembourg SA, 4.375%, 3/18/31 (144A) | 1,011,975 | |||
EUR | 655,000 | Quatrim SASU, 5.875%, 1/15/24 (144A) | 801,806 | ||
675,000 | US Foods, Inc., 4.75%, 2/15/29 (144A) | 688,500 | |||
Total Food | $6,351,691 | ||||
Forest Products & Paper - 1.5% | |||||
469,000 | Clearwater Paper Corp., 4.75%, 8/15/28 (144A) | $474,253 | |||
1,690,000 | Mercer International, Inc., 5.125%, 2/1/29 | 1,721,687 | |||
809,000 | Schweitzer-Mauduit International, Inc., 6.875%, 10/1/26 (144A) | 858,042 | |||
EUR | 350,000 | Spa Holdings, 3.625%, 2/4/28 | 419,815 | ||
Total Forest Products & Paper | $3,473,797 | ||||
Healthcare-Services - 2.4% | |||||
860,000 | Auna SAA, 6.5%, 11/20/25 (144A) | $883,659 | |||
1,145,000 | LifePoint Health, Inc., 5.375%, 1/15/29 (144A) | 1,139,275 | |||
690,000 | Prime Healthcare Services, Inc., 7.25%, 11/1/25 (144A) | 740,618 | |||
1,484,000 | Surgery Center Holdings, Inc., 10.0%, 4/15/27 (144A) | 1,617,560 | |||
250,000 | US Acute Care Solutions LLC, 6.375%, 3/1/26 (144A) | 260,000 | |||
786,000 | US Renal Care, Inc., 10.625%, 7/15/27 (144A) | 853,478 | |||
Total Healthcare-Services | $5,494,590 | ||||
Principal Amount USD ($) | Value | ||||
Home Builders - 1.6% | |||||
575,000 | Beazer Homes USA, Inc., 5.875%, 10/15/27 | $598,000 | |||
579,000 | Beazer Homes USA, Inc., 6.75%, 3/15/25 | 597,088 | |||
155,000 | Beazer Homes USA, Inc., 7.25%, 10/15/29 | 169,539 | |||
1,220,000 | KB Home, 4.0%, 6/15/31 | 1,268,800 | |||
1,009,000 | Taylor Morrison Communities, Inc., 5.875%, 6/15/27 (144A) | 1,138,656 | |||
Total Home Builders | $3,772,083 | ||||
Home Furnishings - 0.4% | |||||
EUR | 735,000 | International Design Group S.p.A., 6.5%, 11/15/25 (144A) | $908,451 | ||
Total Home Furnishings | $908,451 | ||||
Insurance - 0.4% | |||||
GBP | 585,000 | Galaxy Bidco, Ltd., 6.5%, 7/31/26 (144A) | $854,517 | ||
Total Insurance | $854,517 | ||||
Iron & Steel - 1.9% | |||||
1,097,000 | Cleveland-Cliffs, Inc., 6.75%, 3/15/26 (144A) | $1,183,389 | |||
670,000 | Commercial Metals Co., 3.875%, 2/15/31 | 673,350 | |||
2,165,000 | Metinvest BV, 7.75%, 10/17/29 (144A) | 2,381,500 | |||
Total Iron & Steel | $4,238,239 | ||||
Leisure Time - 1.7% | |||||
180,000 | Carnival Corp., 10.5%, 2/1/26 (144A) | $206,096 | |||
GBP | 545,000 | Deuce FinCo Plc, 5.5%, 6/15/27 (144A) | 754,842 | ||
780,000 | NCL Corp., Ltd., 5.875%, 3/15/26 (144A) | 785,850 | |||
220,000 | NCL Finance, Ltd., 6.125%, 3/15/28 (144A) | 222,200 | |||
EUR | 225,000 | Pinnacle Bidco Plc, 5.5%, 2/15/25 (144A) | 273,104 | ||
410,000 | Royal Caribbean Cruises, Ltd., 5.5%, 4/1/28 (144A) | 418,077 | |||
817,000 | Viking Cruises, Ltd., 5.875%, 9/15/27 (144A) | 776,150 | |||
520,000 | Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29 (144A) | 520,000 | |||
Total Leisure Time | $3,956,319 | ||||
Lodging - 0.8% | |||||
590,000 | Grupo Posadas SAB de CV, 7.875%, 6/30/22 (144A) | $422,629 | |||
670,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 5.0%, 6/1/29 (144A) | 676,043 | |||
EUR | 430,000 | NH Hotel Group SA, 4.0%, 7/2/26 (144A) | 508,853 | ||
GBP | 140,000 | Wheel Bidco, Ltd., 6.75%, 7/15/26 (144A) | 195,331 | ||
Total Lodging | $1,802,856 | ||||
Media - 3.2% | |||||
1,000,000 | CSC Holdings LLC, 4.625%, 12/1/30 (144A) | $985,000 | |||
560,000 | CSC Holdings LLC, 5.0%, 11/15/31 (144A) | 563,724 | |||
635,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/27 (144A) | 251,619 | |||
1,975,000 | Mav Acquisition Corp., 8.0%, 8/1/29 (144A) | 1,933,031 | |||
425,000 | News Corp., 3.875%, 5/15/29 (144A) | 432,637 | |||
879,000 | Summer BC Bidco B LLC, 5.5%, 10/31/26 (144A) | 892,185 | |||
EUR | 575,000 | Virgin Media Finance Plc, 3.75%, 7/15/30 (144A) | 682,523 | ||
GBP | 425,000 | Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28 (144A) | 600,752 | ||
EUR | 855,000 | Ziggo Bond Co. BV, 3.375%, 2/28/30 (144A) | 1,008,474 | ||
Total Media | $7,349,945 | ||||
Mining - 2.7% | |||||
730,000 | Coeur Mining, Inc., 5.125%, 2/15/29 (144A) | $708,574 | |||
EUR | 1,270,000 | Constellium SE, 3.13%, 7/15/29 (144A) | 1,496,301 | ||
705,000 | First Quantum Minerals, Ltd., 6.875%, 3/1/26 (144A) | 735,738 | |||
665,000 | First Quantum Minerals, Ltd., 6.875%, 10/15/27 (144A) | 720,694 | |||
200,000 | First Quantum Minerals, Ltd., 7.5%, 4/1/25 (144A) | 207,280 | |||
424,000 | Hudbay Minerals, Inc., 6.125%, 4/1/29 (144A) | 456,860 | |||
811,000 | IAMGOLD Corp., 5.75%, 10/15/28 (144A) | 833,303 | |||
365,000 | Joseph T Ryerson & Son, Inc., 8.5%, 8/1/28 (144A) | 403,325 | |||
205,000 | Novelis Corp., 3.25%, 11/15/26 (144A) | 208,075 | |||
315,000 | Novelis Corp., 3.875%, 8/15/31 (144A) | 318,226 | |||
Total Mining | $6,088,376 | ||||
Miscellaneous Manufacturers - 0.3% | |||||
560,000 | Bombardier, Inc., 7.125%, 6/15/26 (144A) | $581,000 | |||
Total Miscellaneous Manufacturers | $581,000 | ||||
Oil & Gas - 8.2% | |||||
640,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/29 (144A) | $630,400 | |||
1,800,000 | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | 1,800,000 | |||
1,015,000 | Colgate Energy Partners III LLC, 7.75%, 2/15/26 (144A) | 1,088,628 | |||
1,137,000 | MC Brazil Downstream Trading S.A.R.L., 7.25%, 6/30/31 (144A) | 1,179,524 | |||
590,000 | MEG Energy Corp., 5.875%, 2/1/29 (144A) | 609,175 | |||
550,000 | MEG Energy Corp., 7.125%, 2/1/27 (144A) | 577,098 | |||
1,060,000 | Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A) | 1,077,225 | |||
1,255,000 | Occidental Petroleum Corp., 4.4%, 4/15/46 | 1,231,243 | |||
200,000 | Occidental Petroleum Corp., 5.5%, 12/1/25 | 220,000 | |||
805,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.0%, 2/15/28 | 420,443 | |||
357,000 | PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25 (144A) | 327,548 | |||
510,000 | Petroleos Mexicanos, 6.875%, 10/16/25 (144A) | 562,066 | |||
640,000 | Precision Drilling Corp., 6.875%, 1/15/29 (144A) | 657,600 | |||
651,000 | Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A) | 489,767 | |||
615,000 | Shelf Drilling Holdings, Ltd., 8.875%, 11/15/24 (144A) | 630,375 | |||
Principal Amount USD ($) | Value | ||||
Oil & Gas - (continued) | |||||
1,340,000 | SierraCol Energy Andina LLC, 6.0%, 6/15/28 (144A) | $1,341,675 | |||
1,920,000 | Strathcona Resources, Ltd., 6.875%, 8/1/26 (144A) | 1,900,550 | |||
211,364 | Transocean Sentry, Ltd., 5.375%, 5/15/23 (144A) | 199,210 | |||
1,215,000 | Tullow Oil Plc, 10.25%, 5/15/26 (144A) | 1,266,638 | |||
1,070,000 | Vine Energy Holdings LLC, 6.75%, 4/15/29 (144A) | 1,115,475 | |||
1,800,000 | YPF SA, 6.95%, 7/21/27 (144A) | 1,255,860 | |||
ARS | 22,125,000 | YPF SA, 16.5%, 5/9/22 (144A) | 217,383 | ||
Total Oil & Gas | $18,797,883 | ||||
Oil & Gas Services - 0.7% | |||||
875,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.875%, 4/1/27 (144A) | $918,750 | |||
788,000 | Exterran Energy Solutions LP/EES Finance Corp., 8.125%, 5/1/25 | 693,440 | |||
Total Oil & Gas Services | $1,612,190 | ||||
Packaging & Containers - 1.4% | |||||
EUR | 340,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 2.125%, 8/15/26 (144A) | $403,709 | ||
619,000 | Greif, Inc., 6.5%, 3/1/27 (144A) | 651,497 | |||
EUR | 1,330,000 | Guala Closures S.p.A., 3.25%, 6/15/28 (144A) | 1,582,998 | ||
650,000 | Intertape Polymer Group, Inc., 4.375%, 6/15/29 (144A) | 664,329 | |||
Total Packaging & Containers | $3,302,533 | ||||
Pharmaceuticals - 1.3% | |||||
EUR | 455,000 | Gruenenthal GmbH, 4.125%, 5/15/28 (144A) | $554,337 | ||
600,000 | P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (144A) | 627,000 | |||
808,000 | Par Pharmaceutical, Inc., 7.5%, 4/1/27 (144A) | 824,160 | |||
EUR | 895,000 | Teva Pharmaceutical Finance Netherlands II BV, 1.625%, 10/15/28 | 959,988 | ||
Total Pharmaceuticals | $2,965,485 | ||||
Pipelines - 3.3% | |||||
1,715,000 | CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.5%, 6/15/31 (144A) | $1,779,312 | |||
1,500,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75%, 5/15/25 | 1,526,250 | |||
150,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.125%, 6/1/28 (144A) | 155,943 | |||
1,165,000(e)(f) | Energy Transfer LP, 7.125% (5 Year CMT Index + 531 bps) | 1,204,319 | |||
665,000 | EnLink Midstream Partners LP, 5.45%, 6/1/47 | 645,050 | |||
460,000 | Genesis Energy LP/Genesis Energy Finance Corp., 8.0%, 1/15/27 | 472,650 | |||
1,040,000 | Harvest Midstream I LP, 7.5%, 9/1/28 (144A) | 1,112,051 | |||
205,000 | Venture Global Calcasieu Pass LLC, 3.875%, 8/15/29 (144A) | 209,613 | |||
310,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/31 (144A) | 320,850 | |||
Total Pipelines | $7,426,038 | ||||
Real Estate - 0.4% | |||||
EUR | 400,000 | AEDAS Homes OpCo SLU, 4.0%, 8/15/26 (144A) | $485,427 | ||
EUR | 270,000 | Neinor Homes SA, 4.5%, 10/15/26 (144A) | 327,571 | ||
Total Real Estate | $812,998 | ||||
REITs - 1.7% | |||||
975,000 | HAT Holdings I LLC/HAT Holdings II LLC, 3.375%, 6/15/26 (144A) | $988,046 | |||
735,000 | iStar, Inc., 4.25%, 8/1/25 | 762,055 | |||
741,000 | iStar, Inc., 4.75%, 10/1/24 | 785,460 | |||
431,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/25 (144A) | 459,015 | |||
780,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.5%, 2/15/29 (144A) | 790,577 | |||
Total REITs | $3,785,153 | ||||
Retail - 2.7% | |||||
970,000 | AAG FH LP/AAG FH Finco, Inc., 9.75%, 7/15/24 (144A) | $960,300 | |||
670,000 | Beacon Roofing Supply, Inc., 4.125%, 5/15/29 (144A) | 668,325 | |||
GBP | 850,000 | Constellation Automotive Financing Plc, 4.85%, 7/15/27 (144A) | 1,181,099 | ||
310,000 | Ken Garff Automotive LLC, 4.875%, 9/15/28 (144A) | 318,138 | |||
EUR | 810,000 | Mobilux Finance SAS., 4.25%, 7/15/28 (144A) | 961,824 | ||
527,000 | Party City Holdings, Inc., 8.75%, 2/15/26 (144A) | 557,945 | |||
945,000 | Penske Automotive Group, Inc., 3.75%, 6/15/29 | 957,994 | |||
557,000 | Staples, Inc., 7.5%, 4/15/26 (144A) | 565,355 | |||
Total Retail | $6,170,980 | ||||
Telecommunications - 4.0% | |||||
1,065,000 | Altice France Holding SA, 6.0%, 2/15/28 (144A) | $1,050,356 | |||
280,000 | Altice France SA, 5.125%, 1/15/29 (144A) | 282,100 | |||
1,165,000 | Altice France SA, 5.125%, 7/15/29 (144A) | 1,173,633 | |||
749,421(g) | Digicel International Finance, Ltd./Digicel international Holdings, Ltd., 13.0% (7.0% PIK 6.0% Cash), 12/31/25 (144A) | 747,547 | |||
1,090,000 | LogMeIn, Inc., 5.5%, 9/1/27 (144A) | 1,129,949 | |||
1,055,000 | Lumen Technologies, Inc., 4.5%, 1/15/29 (144A) | 1,035,799 | |||
765,000 | Plantronics, Inc., 4.75%, 3/1/29 (144A) | 745,875 | |||
765,000 | T-Mobile USA, Inc., 3.5%, 4/15/31 (144A) | 802,337 | |||
1,085,000 | Total Play Telecomunicaciones SA de CV, 7.5%, 11/12/25 (144A) | 1,158,889 | |||
970,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28 (144A) | 989,400 | |||
Total Telecommunications | $9,115,885 | ||||
Transportation - 2.9% | |||||
825,000 | Danaos Corp., 8.5%, 3/1/28 (144A) | $888,938 | |||
620,000 | Hidrovias International Finance S.A.R.L., 4.95%, 2/8/31 (144A) | 629,300 | |||
EUR | 860,000 | PeopleCert Wisdom Issuer Plc, 5.75%, 9/15/26 (144A) | 1,049,164 | ||
445,000 | Seaspan Corp., 5.5%, 8/1/29 (144A) | 443,758 | |||
900,000 | Seaspan Corp., 6.5%, 4/29/26 (144A) | 965,250 | |||
1,115,000 | Simpar Europe SA, 5.2%, 1/26/31 (144A) | 1,137,300 | |||
Principal Amount USD ($) | Value | ||||
Transportation - (continued) | |||||
1,285,000 | Western Global Airlines LLC, 10.375%, 8/15/25 (144A) | $1,447,026 | |||
Total Transportation | $6,560,736 | ||||
TOTAL CORPORATE BONDS | |||||
(Cost $188,250,461) | $190,274,204 | ||||
FOREIGN GOVERNMENT BONDS - 3.5% of Net Assets | |||||
Argentina - 0.9% | |||||
118,980 | Argentine Republic Government International Bond, 1.0%, 7/9/29 | $45,629 | |||
2,000,000 | Ciudad Autonoma De Buenos Aires, 7.5%, 6/1/27 (144A) | 1,770,020 | |||
125,812 | Province of Salta Argentina, 9.5%, 3/16/22 (144A) | 115,747 | |||
Total Argentina | $1,931,396 | ||||
Bahrain - 0.2% | |||||
505,000 | Bahrain Government International Bond, 7.0%, 10/12/28 (144A) | $560,032 | |||
Total Bahrain | $560,032 | ||||
Egypt - 0.5% | |||||
1,095,000 | Egypt Government International Bond, 5.875%, 2/16/31 (144A) | $1,053,390 | |||
Total Egypt | $1,053,390 | ||||
Ghana - 0.6% | |||||
385,000 | Ghana Government International Bond, 7.875%, 2/11/35 (144A) | $369,275 | |||
1,000,000 | Ghana Government International Bond, 8.627%, 6/16/49 | 947,976 | |||
Total Ghana | $1,317,251 | ||||
Ivory Coast - 0.5% | |||||
EUR | 952,000 | Ivory Coast Government International Bond, 4.875%, 1/30/32 (144A) | $1,139,527 | ||
Total Ivory Coast | $1,139,527 | ||||
Ukraine - 0.8% | |||||
EUR | 855,000 | Ukraine Government International Bond, 4.375%, 1/27/30 (144A) | $942,730 | ||
875,000 | Ukraine Government International Bond, 8.994%, 2/1/24 (144A) | 963,042 | |||
Total Ukraine | $1,905,772 | ||||
TOTAL FOREIGN GOVERNMENT BONDS | |||||
(Cost $8,215,052) | $7,907,368 | ||||
INSURANCE-LINKED SECURITIES - 0.6% of Net Assets# | |||||
Event Linked Bonds - 0.0%† | |||||
Multiperil - U.S. - 0.0%† | |||||
500,000+(d) | Caelus Re V, 0.543% (1 Month U.S. Treasury Bill + 50 bps), 6/5/24 (144A) | $44 | |||
250,000(d) | Caelus Re V, 2.543% (3 Month U.S. Treasury Bill + 250 bps), 6/9/25 (144A) | 25 | |||
$69 | |||||
Total Event Linked Bonds | $69 | ||||
Face Amount USD ($) | Value | ||||
Collateralized Reinsurance - 0.3% | |||||
Multiperil - U.S. - 0.0%† | |||||
250,000+(i) | Dingle Re 2019, 2/1/22 | $5,132 | |||
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 | |||
12,000+(i) | Limestone Re 2016-1, 8/31/21 | 675 | |||
12,000+(i) | Limestone Re 2016-1, 8/31/22 | 675 | |||
277,770+(a)(i) | Oyster Bay Re 2018, 1/31/22 | 252,104 | |||
400,000+(a)(i) | Resilience Re, 10/6/21 | – | |||
283,700+(a)(i) | Seminole Re 2018, 1/31/22 | 7,010 | |||
276,582+(a)(i) | Walton Health Re 2018, 6/15/22 | 86,881 | |||
$445,009 | |||||
Windstorm - Florida - 0.1% | |||||
250,000+(a)(i) | Formby Re 2018, 2/28/22 | $34,798 | |||
300,000+(a)(i) | Portrush Re 2017, 6/15/22 | 191,430 | |||
$226,228 | |||||
Windstorm - U.S. Regional - 0.0%† | |||||
250,000+(a)(i) | Oakmont Re 2017, 4/30/22 | $7,350 | |||
Total Collateralized Reinsurance | $683,719 | ||||
Reinsurance Sidecars - 0.3% | |||||
Multiperil - U.S. - 0.0%† | |||||
800,000+(a)(i) | Carnoustie Re 2017, 11/30/21 | $105,440 | |||
1,000,000+(a)(j) | Harambee Re 2018, 12/31/21 | 2,700 | |||
695,349+(j) | Harambee Re 2019, 12/31/22 | 3,546 | |||
$111,686 | |||||
Multiperil - Worldwide - 0.3% | |||||
3,037+(j) | Alturas Re 2019-2, 3/10/22 | $4,170 | |||
490,000+(a)(i) | Bantry Re 2016, 3/31/22 | 39,494 | |||
300,000+(a)(i) | Bantry Re 2017, 3/31/22 | 17,532 | |||
250,000+(a)(i) | Bantry Re 2018, 12/31/21 | 2,850 | |||
250,000+(a)(i) | Bantry Re 2019, 12/31/22 | 8,491 | |||
1,422,258+(a)(i) | Berwick Re 2018-1, 12/31/21 | 136,654 | |||
556,791+(a)(i) | Berwick Re 2019-1, 12/31/22 | 66,537 | |||
12,500+(i) | Eden Re II, 3/22/22 (144A) | 3,717 | |||
22,500+(i) | Eden Re II, 3/22/22 (144A) | 7,076 | |||
Face Amount USD ($) | Value | ||||
Multiperil - Worldwide - (continued) | |||||
250,000+(a)(i) | Gleneagles Re 2018, 12/31/21 | $29,575 | |||
450,000+(a)(j) | Lorenz Re 2018, 7/1/22 | 2,295 | |||
231,508+(a)(j) | Lorenz Re 2019, 6/30/22 | 25,396 | |||
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 | |||
521,395+(a)(i) | St. Andrews Re 2017-4, 6/1/22 | 51,305 | |||
250,000+(a)(j) | Thopas Re 2018, 12/31/21 | 1,250 | |||
250,000+(a)(j) | Thopas Re 2019, 12/31/22 | 11,275 | |||
300,000+(a)(i) | Versutus Re 2018, 12/31/21 | – | |||
264,763+(i) | Versutus Re 2019-A, 12/31/21 | 6,778 | |||
35,236+(i) | Versutus Re 2019-B, 12/31/21 | 860 | |||
250,000+(a)(j) | Viribus Re 2018, 12/31/21 | – | |||
106,153+(a)(j) | Viribus Re 2019, 12/31/22 | 4,437 | |||
253,645+(a)(i) | Woburn Re 2018, 12/31/21 | 18,567 | |||
244,914+(a)(i) | Woburn Re 2019, 12/31/22 | 68,919 | |||
$633,856 | |||||
Total Reinsurance Sidecars | $745,542 | ||||
TOTAL INSURANCE-LINKED SECURITIES | |||||
(Cost $2,790,746) | $1,429,330 | ||||
Principal Amount USD ($) | Value | ||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 2.6% of Net Assets*(d) | |||||
Aerospace & Defense - 0.4% | |||||
715,000 | Grupo Aeromexico, SAB de CV, DIP Tranche 1 Term Loan, 9.0% (LIBOR + 800 bps), 12/31/21 | $720,362 | |||
303,979 | Grupo Aeromexico, SAB de CV, DIP Tranche 2 Term Loan, 15.5% (LIBOR + 1,450 bps), 12/31/21 | 311,959 | |||
Total Aerospace & Defense | $1,032,321 | ||||
Diversified & Conglomerate Service - 0.7% | |||||
507,527 | First Brands Group LLC, 2021 First Lien Term Loan, 6.0% (LIBOR + 500 bps), 3/30/27 | $514,293 | |||
1,067,280 | Team Health Holdings, Inc., Initial Term Loan, 3.75% (LIBOR + 275 bps), 2/6/24 | 1,034,373 | |||
Total Diversified & Conglomerate Service | $1,548,666 | ||||
Entertainment & Leisure - 0.7% | |||||
1,584,938 | Enterprise Development Authority, Term B Loan, 5.0% (LIBOR + 425 bps), 2/28/28 | $1,592,862 | |||
Total Entertainment & Leisure | $1,592,862 | ||||
Healthcare, Education & Childcare - 0.3% | |||||
601,913 | Alliance HealthCare Services, Inc., First Lien Initial Term Loan, 5.5% (LIBOR + 450 bps), 10/24/23 | $602,666 | |||
Total Healthcare, Education & Childcare | $602,666 | ||||
Hotel, Gaming & Leisure - 0.0%† | |||||
74,600 | Spectacle Gary Holdings LLC, Delayed Draw Term Loan, 11.0% (LIBOR + 900 bps), 12/23/25 | $81,314 | |||
Total Hotel, Gaming & Leisure | $81,314 | ||||
Securities & Trusts - 0.5% | |||||
1,030,100 | Spectacle Gary Holdings LLC, Closing Date Term Loan, 11.0% (LIBOR + 900 bps), 12/23/25 | $1,122,809 | |||
Total Securities & Trusts | $1,122,809 | ||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS | |||||
(Cost $5,694,729) | $5,980,638 | ||||
Shares | Value | ||||
RIGHTS/WARRANTS - 0.0%† of Net Assets | |||||
Metals & Mining - 0.0%† | |||||
318,254(k) | ANR, Inc., 3/31/23 | $1,432 | |||
Total Metals & Mining | $1,432 | ||||
Oil, Gas & Consumable Fuels - 0.0%† | |||||
61(a)(l) | Alpha Metallurgical Resources, Inc., 7/25/23 | $267 | |||
Total Oil, Gas & Consumable Fuels | $267 | ||||
Real Estate Management & Development - 0.0%† | |||||
17(a)(m) | Fujian Thai Hot Investment Co., Ltd., 10/13/27 | $7,650 | |||
Total Real Estate Management & Development | $7,650 | ||||
TOTAL RIGHTS/WARRANTS | |||||
(Cost $36,831) | $9,349 |
Number of Contracts | Description | Counterparty | Amount | Strike Price | Expiration Date | Value | ||
OVER THE COUNTER (OTC) CALL OPTIONS PURCHASED - 0.0% | ||||||||
297,012^(n) | Desarrolladora Homex SAB de CV | Bank of New York Mellon Corp. MXN | – MXN | –(p) | 10/23/22 | $– | ||
297,012^(o) | Desarrolladora Homex SAB de CV | Bank of New York Mellon Corp. MXN | – MXN | –(p) | 10/23/22 | – | ||
$– | ||||||||
TOTAL OVER THE COUNTER (OTC) CALL OPTIONS PURCHASED | ||||||||
(Premiums paid $0) | $– | |||||||
Number of Contracts | Description | Counterparty | Amount | Strike Price | Expiration Date | Value | ||
OVER THE COUNTER (OTC) CURRENCY PUT OPTION PURCHASED - 0.0%† | ||||||||
2,000,000 | Put EUR Call USD | JPMorgan Chase Bank NA EUR | 28,370 EUR | 1.17 | 2/4/22 | $18,364 | ||
TOTAL OVER THE COUNTER (OTC) CURRENCY PUT OPTION PURCHASED | ||||||||
(Premiums paid $28,370) | $18,364 | |||||||
TOTAL OPTIONS PURCHASED | ||||||||
(Premiums paid $28,370) | $18,364 | |||||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 94.5% | ||||||||
(Cost $216,253,744) | $215,476,070 | |||||||
OVER THE COUNTER (OTC) CURRENCY CALL OPTION WRITTEN - (0.0)%† | ||||||||
(2,000,000) | Call EUR Put USD | JPMorgan Chase Bank NA EUR | 28,370 EUR | 1.25 | 2/4/22 | $(6,779) | ||
TOTAL OVER THE COUNTER (OTC) CURRENCY CALL OPTION WRITTEN | ||||||||
(Premiums received $(28,370)) | $(6,779) | |||||||
OTHER ASSETS AND LIABILITIES - 5.5% | $12,598,223 | |||||||
NET ASSETS - 100.0% | $228,067,514 |
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. |
(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 July 31, 2021, the value of these securities amounted to $177,445,443, or 77.8% of net assets. |
c
† | 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 July 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) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(c) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at July 31, 2021. |
(d) | Floating rate note. Coupon rate, reference index and spread shown at July 31, 2021. |
(e) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at July 31, 2021. |
(f) | Security is perpetual in nature and has no stated maturity date. |
(g) | Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount. |
(h) | Security is in default. |
(i) | Issued as participation notes. |
(j) | Issued as preference shares. |
(k) | ANR, Inc. warrants are exercisable into 318,254 shares. |
(l) | Alpha Metallurgical Resources, Inc. warrants are exercisable into 61 shares. |
(m) | Fujian Thai Hot Investment Co., Ltd. warrants are exercisable into 17 shares. |
(n) | Option does not become effective until underlying company’s outstanding common shares reach a market capitalization of MXN 12.5 Billion. |
(o) | Option does not become effective until underlying company’s outstanding common shares reach a market capitalization of MXN 15.0 Billion. |
(p) | 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 | $ 4,170 |
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 | 234,526 | 136,654 |
Berwick Re 2019-1 | 12/31/2018 | 66,532 | 66,537 |
Caelus Re V | 5/4/2018 | 250,000 | 25 |
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 | – | 5,132 |
Eden Re II | 12/15/2017 | 747 | 3,717 |
Eden Re II | 1/23/2018 | 520 | 7,076 |
Formby Re 2018 | 7/9/2018 | 27,581 | 34,798 |
Gleneagles Re 2018 | 12/27/2017 | 20,068 | 29,575 |
Harambee Re 2018 | 12/19/2017 | 50,410 | 2,700 |
Harambee Re 2019 | 4/24/2019 | – | 3,546 |
Limestone Re 2016-1 | 12/15/2016 | 990 | 675 |
Limestone Re 2016-1 | 12/15/2016 | 990 | 675 |
Lorenz Re 2018 | 6/26/2018 | 96,602 | 2,295 |
Lorenz Re 2019 | 7/10/2019 | 73,454 | 25,396 |
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 | 42,902 | 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 | – |
Seminole Re 2018 | 1/2/2018 | 2,466 | 7,010 |
St. Andrews Re 2017-4 | 3/31/2017 | – | 51,305 |
Thopas Re 2018 | 12/12/2017 | 32,702 | 1,250 |
Thopas Re 2019 | 12/21/2018 | 9,473 | 11,275 |
Versutus Re 2018 | 1/31/2018 | 199 | – |
Versutus Re 2019-A | 1/28/2019 | – | 6,778 |
Versutus Re 2019-B | 12/24/2018 | – | 860 |
Viribus Re 2018 | 12/22/2017 | 19,725 | – |
Viribus Re 2019 | 3/25/2019 | – | 4,437 |
Walton Health Re 2018 | 6/25/2018 | 182,302 | 86,881 |
Woburn Re 2018 | 3/20/2018 | 89,700 | 18,567 |
Woburn Re 2019 | 1/30/2019 | 60,442 | 68,919 |
Total Restricted Securities | $1,429,330 | ||
% of Net assets | 0.6% | ||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | ||||||
Currency Purchased | In Exchange for | Currency Sold | Deliver | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
USD | 153,218 | GBP | (110,000) | Brown Brothers Harriman & Co. | 8/24/21 | $393 |
USD | 581,525 | EUR | (475,000) | Goldman Sachs International | 8/26/21 | 18,111 |
EUR | 408,000 | USD | (482,495) | HSBC Bank USA NA | 9/28/21 | 1,785 |
USD | 2,404,362 | EUR | (1,973,500) | HSBC Bank USA NA | 8/26/21 | 63,523 |
USD | 2,748,645 | EUR | (2,310,000) | HSBC Bank USA NA | 9/28/21 | 6,766 |
USD | 1,394,420 | GBP | (985,000) | HSBC Bank USA NA | 8/24/21 | 25,942 |
EUR | 13,015,000 | USD | (15,334,484) | JPMorgan Chase Bank NA | 10/27/21 | 122,632 |
NOK | 20,950,000 | EUR | (2,047,478) | JPMorgan Chase Bank NA | 10/5/21 | (59,378) |
USD | 304,486 | EUR | (250,000) | JPMorgan Chase Bank NA | 8/26/21 | 7,952 |
USD | 1,670,951 | EUR | (1,400,000) | JPMorgan Chase Bank NA | 9/28/21 | 9,206 |
USD | 1,174,392 | GBP | (850,000) | State Street Bank & Trust Co. | 8/24/21 | (6,528) |
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | $190,404 | |||||
SWAP CONTRACT | |||||||
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT - BUY PROTECTION | |||||||
Notional Amount ($)(1) | Reference Obligation/ Index | Pay/ Receive(2) | Annual Fixed Rate | Expiration Date | Premiums Paid | Unrealized (Depreciation) | Market Value |
13,480,000 | Markit CDX North America High Yield Index Series 36 | Receive | 5.00% | 6/20/26 | $ 20,594 | $ (1,338,863) | $ (1,318,269) |
TOTAL CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT - BUY PROTECTION | $ 20,594 | $ (1,338,863) | $ (1,318,269) | ||||
TOTAL SWAP CONTRACT | $ 20,594 | $ (1,338,863) | $ (1,318,269) |
(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 July 31, 2021, in valuing the Fund’s investments: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Energy Equipment & Services | $ | 581,295 | $ | – | $ | 372,428 | $ | 953,723 | ||||||||
Oil, Gas & Consumable Fuels | 82 | – | 172,054 | 172,136 | ||||||||||||
Paper & Forest Products | – | 7,352 | – | 7,352 | ||||||||||||
All Other Common Stock | 2,103 | – | – | 2,103 | ||||||||||||
Convertible Corporate Bonds | – | 8,721,503 | – | 8,721,503 | ||||||||||||
Corporate Bonds | – | 190,274,204 | – | 190,274,204 | ||||||||||||
Foreign Government Bonds | – | 7,907,368 | – | 7,907,368 | ||||||||||||
Insurance-Linked Securities | ||||||||||||||||
Event Linked Bonds | ||||||||||||||||
Multiperil - U.S. | – | 25 | 44 | 69 | ||||||||||||
Collateralized Reinsurance | ||||||||||||||||
Multiperil - U.S. | – | – | 5,132 | 5,132 | ||||||||||||
Multiperil - Worldwide | – | – | 445,009 | 445,009 | ||||||||||||
Windstorm - Florida | – | – | 226,228 | 226,228 | ||||||||||||
Windstorm - U.S. Regional | – | – | 7,350 | 7,350 | ||||||||||||
Reinsurance Sidecars | ||||||||||||||||
Multiperil - U.S. | – | – | 111,686 | 111,686 | ||||||||||||
Multiperil - Worldwide | – | – | 633,856 | 633,856 | ||||||||||||
Senior Secured Floating Rate Loan Interests | – | 5,980,638 | – | 5,980,638 | ||||||||||||
Rights/Warrants | – | 9,349 | – | 9,349 | ||||||||||||
Over The Counter (OTC) Call Option Purchased | – | – | * | – | – | * | ||||||||||
Over The Counter (OTC) Currency Put Option Purchased | – | 18,364 | – | 18,364 | ||||||||||||
Total Investments in Securities | $ | 583,480 | $ | 212,918,803 | $ | 1,973,787 | $ | 215,476,070 | ||||||||
Other Financial Instruments | ||||||||||||||||
Over The Counter (OTC) Currency Call Option Written | $ | – | $ | (6,779 | ) | $ | – | $ | (6,779 | ) | ||||||
Net unrealized appreciation on forward foreign currency exchange contracts | – | 190,404 | – | 190,404 | ||||||||||||
Swap contracts, at value | – | (1,318,269 | ) | – | (1,318,269 | ) | ||||||||||
Total Other Financial Instruments | $ | – | $ | (1,134,644 | ) | $ | – | $ | (1,134,644 | ) |
* Securities 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) | -- | -- | (62,483 | ) | (62,483 | ) | ||||||||||
Change in unrealized appreciation (depreciation) | 20,527 | -- | (12,780 | ) | 7,747 | |||||||||||
Accrued discounts/premiums | -- | -- | -- | -- | ||||||||||||
Purchases | 351,900 | -- | -- | 351,900 | ||||||||||||
Sales | -- | -- | (933,802 | ) | (933,802 | ) | ||||||||||
Transfers in to Level 3* | -- | -- | -- | – | ||||||||||||
Transfers out of Level 3* | -- | (38,216 | ) | -- | (38,216 | ) | ||||||||||
Balance as of 7/31/21 | $ | 544,482 | $ | -- | $ | 1,429,305 | $ | 1,973,787 |
* | Transfers are calculated on the beginning of period values. For the nine months ended July 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 July 31, 2021: $25,803.