Pioneer Flexible Opportunities Fund | ||
Schedule of Investments | January 31, 2020 | ||
Ticker Symbols: Class A PMARX Class C PRRCX Class K FLEKX Class R MUARX Class Y PMYRX | ||
Schedule of Investments | 1/31/20 (Consolidated) (unaudited)
Shares | Value | ||||
UNAFFILIATED ISSUERS - 95.7% | |||||
COMMON STOCKS - 83.7% of Net Assets | |||||
Aerospace & Defense - 6.9% | |||||
25,495 | Airbus SE | $3,766,202 | |||
34,868 | Arconic, Inc. | 1,044,297 | |||
12,175 | Curtiss-Wright Corp. | 1,770,610 | |||
85,318(a) | Kratos Defense & Security Solutions, Inc. | 1,564,732 | |||
48,048 | L3Harris Technologies, Inc. | 10,634,464 | |||
282,862 | Leonardo S.p.A. | 3,506,150 | |||
13,087 | Safran SA | 2,117,670 | |||
8,054(a) | Teledyne Technologies, Inc. | 2,940,193 | |||
34,549 | Thales SA | 3,800,570 | |||
19,877 | United Technologies Corp. | 2,985,525 | |||
Total Aerospace & Defense | $34,130,413 | ||||
Air Freight & Logistics - 0.3% | |||||
67,341 | Cia de Distribucion Integral Logista Holdings SA | $1,512,631 | |||
Total Air Freight & Logistics | $1,512,631 | ||||
Auto Components - 0.4% | |||||
1,462,000 | Xinyi Glass Holdings, Ltd. | $1,844,546 | |||
Total Auto Components | $1,844,546 | ||||
Automobiles - 1.5% | |||||
1,209,000 | Geely Automobile Holdings, Ltd. | $1,951,820 | |||
109,600 | Subaru Corp. | 2,791,455 | |||
21,600 | Toyota Motor Corp. | 1,525,245 | |||
5,270 | Volkswagen AG | 967,576 | |||
Total Automobiles | $7,236,096 | ||||
Banks - 7.0% | |||||
470,959 | Banco BPM S.p.A. | $965,981 | |||
583,970 | BDO Unibank, Inc. | 1,693,994 | |||
3,128,000 | China Construction Bank Corp., Class H | 2,396,071 | |||
353,009 | FinecoBank Banca Fineco S.p.A. | 4,138,855 | |||
1,460,000 | Industrial & Commercial Bank of China, Ltd., Class H | 981,159 | |||
1,486,186 | Intesa Sanpaolo S.p.A. | 3,699,987 | |||
15,042 | JPMorgan Chase & Co. | 1,990,959 | |||
50,040 | KBC Group NV | 3,676,061 | |||
368,762 | Sberbank of Russia PJSC (A.D.R.) | 5,878,804 | |||
113,250 | Standard Chartered Plc | 943,211 | |||
135,946 | TCS Group Holding Plc (G.D.R.) | 3,235,515 | |||
378,871 | UniCredit S.p.A. | 5,075,096 | |||
Total Banks | $34,675,693 | ||||
Biotechnology - 2.0% | |||||
60,749 | AbbVie, Inc. | $4,921,884 | |||
3,332 | Amgen, Inc. | 719,879 | |||
7,145(a) | Biogen, Inc. | 1,920,933 | |||
10,923(a) | Vertex Pharmaceuticals, Inc. | 2,480,067 | |||
Total Biotechnology | $10,042,763 | ||||
Capital Markets - 7.7% | |||||
54,609 | AllianceBernstein Holding LP | $1,788,445 | |||
598,595 | Anima Holding S.p.A. (144A) | 2,843,129 | |||
79,329 | Banca Generali S.p.A. | 2,525,983 | |||
87,819 | Blackstone Group, Inc. | 5,363,106 | |||
214,562 | Carlyle Group, Inc. | 6,968,974 | |||
195,521 | KKR & Co., Inc. | 6,237,120 | |||
35,508 | Macquarie Group, Ltd. | 3,442,074 | |||
62,142 | Morgan Stanley | 3,247,541 | |||
858,650 | Moscow Exchange MICEX-RTS PJSC | 1,476,442 | |||
15,369 | S&P Global, Inc. | 4,514,336 | |||
Total Capital Markets | $38,407,150 | ||||
Commercial Services & Supplies - 1.5% | |||||
279,500 | A-Living Services Co., Ltd., Class H (144A) | $937,358 | |||
10,498 | Republic Services, Inc. | 997,835 | |||
14,700 | Secom Co., Ltd. | 1,317,594 | |||
34,534 | Waste Management, Inc. | 4,202,788 | |||
Total Commercial Services & Supplies | $7,455,575 | ||||
Construction & Engineering - 1.5% | |||||
570,000 | China State Construction International Holdings, Ltd. | $455,704 | |||
191,400 | Obayashi Corp. | 2,142,465 | |||
35,900 | Taisei Corp. | 1,460,979 | |||
31,279 | Vinci SA | 3,474,838 | |||
Total Construction & Engineering | $7,533,986 | ||||
Construction Materials - 0.6% | |||||
127,280 | Buzzi Unicem S.p.A. | $2,977,534 | |||
Total Construction Materials | $2,977,534 | ||||
Diversified Consumer Services - 0.5% | |||||
3,170,000 | China Yuhua Education Corp., Ltd. (144A) | $2,216,027 | |||
Total Diversified Consumer Services | $2,216,027 | ||||
Electric Utilities - 3.3% | |||||
188,963 | Endesa SA | $5,189,396 | |||
719,961 | Enel S.p.A. | 6,270,024 |
Shares | Value | ||||
Electric Utilities - (continued) | |||||
465,660 | Iberdrola SA | $5,095,656 | |||
Total Electric Utilities | $16,555,076 | ||||
Electronic Equipment, Instruments & Components - 0.6% | |||||
10,457 | Amphenol Corp. | $1,040,158 | |||
37,700 | Hitachi, Ltd. | 1,471,610 | |||
4,500 | TDK Corp. | 492,917 | |||
Total Electronic Equipment, Instruments & Components | $3,004,685 | ||||
Equity Real Estate Investment Trusts (REITs) - 3.8% | |||||
26,503 | alstria office REIT-AG | $526,265 | |||
223,100 | Ascendas Real Estate Investment Trust | 514,903 | |||
562,800 | Axis Real Estate Investment Trust | 244,576 | |||
1,242,500 | ESR-REIT | 496,144 | |||
241,600 | Frasers Centrepoint Trust | 509,805 | |||
523,100 | Frasers Commercial Trust | 624,723 | |||
559,700 | Frasers Logistics & Industrial Trust | 500,300 | |||
1,012 | GLP J-Reit | 1,356,929 | |||
651 | Hankyu Hanshin REIT, Inc. | 1,047,704 | |||
339 | Hoshino Resorts REIT, Inc. | 1,745,601 | |||
7,107 | ICADE | 794,257 | |||
1,654 | Industrial & Infrastructure Fund Investment Corp. | 2,545,907 | |||
1,027 | Invincible Investment Corp. | 520,300 | |||
783,300 | Mapletree Industrial Trust | 1,595,467 | |||
385,800 | Mapletree Logistics Trust | 520,110 | |||
59,383 | Medical Properties Trust, Inc. | 1,315,333 | |||
462 | Nippon Prologis REIT, Inc. | 1,330,171 | |||
439 | Nomura Real Estate Master Fund, Inc. | 772,954 | |||
222,000 | Parkway Life Real Estate Investment Trust | 582,306 | |||
18,315 | Ryman Hospitality Properties, Inc. | 1,557,324 | |||
Total Equity Real Estate Investment Trusts (REITs) | $19,101,079 | ||||
Financials - 0.2% | |||||
493,301(a) | Alpha Bank AE | $992,118 | |||
Total Financials | $992,118 | ||||
Food Products - 1.6% | |||||
35,497 | Archer-Daniels-Midland Co. | $1,588,846 | |||
1,145,000(a) | China Feihe, Ltd. (144A) | 1,379,740 | |||
71,404 | Mondelez International, Inc. | 4,097,161 | |||
242,550 | Universal Robina Corp. | 689,333 | |||
Total Food Products | $7,755,080 | ||||
Gas Utilities - 1.3% | |||||
190,780 | Enagas SA | $5,144,112 | |||
276,377 | Snam S.p.A. | 1,482,150 | |||
Total Gas Utilities | $6,626,262 | ||||
Health Care Equipment & Supplies - 4.8% | |||||
56,144 | Abbott Laboratories | $4,892,388 | |||
56,733(a) | Boston Scientific Corp. | 2,375,411 | |||
20,466 | Danaher Corp. | 3,292,366 | |||
6,447(a) | Edwards Lifesciences Corp. | 1,417,437 | |||
11,526(a) | IDEXX Laboratories, Inc. | 3,123,661 | |||
47,573 | Medtronic Plc | 5,491,827 | |||
14,873 | Stryker Corp. | 3,133,741 | |||
Total Health Care Equipment & Supplies | $23,726,831 | ||||
Health Care Providers & Services - 1.4% | |||||
11,388 | Anthem, Inc. | $3,021,008 | |||
10,506 | HCA Healthcare, Inc. | 1,458,233 | |||
7,854 | Humana, Inc. | 2,640,829 | |||
Total Health Care Providers & Services | $7,120,070 | ||||
Hotels, Restaurants & Leisure - 0.6% | |||||
177,000 | Galaxy Entertainment Group, Ltd. | $1,173,536 | |||
29,919 | Las Vegas Sands Corp. | 1,954,010 | |||
Total Hotels, Restaurants & Leisure | $3,127,546 | ||||
Household Durables - 0.7% | |||||
85,095 | Persimmon Plc | $3,429,035 | |||
Total Household Durables | $3,429,035 | ||||
Industrial Conglomerates - 0.4% | |||||
19,747 | Rheinmetall AG | $2,117,539 | |||
Total Industrial Conglomerates | $2,117,539 | ||||
Industrials - 0.4% | |||||
7,401 | Teleperformance | $1,861,005 | |||
Total Industrials | $1,861,005 | ||||
Insurance - 4.9% | |||||
11,752 | Allianz SE | $2,812,405 | |||
151,091 | AXA SA | 4,033,751 | |||
100,720 | NN Group NV | 3,506,383 | |||
212,000 | Ping An Insurance Group Co. of China, Ltd., Class H | 2,420,892 | |||
422,549 | Poste Italiane S.p.A. (144A) | 4,848,769 | |||
7,571 | Swiss Life Holding AG | 3,813,785 | |||
54,600 | Tokio Marine Holdings, Inc. | 3,015,558 | |||
Total Insurance | $24,451,543 |
Shares | Value | ||||
Interactive Media & Services - 0.8% | |||||
41,100 | Tencent Holdings, Ltd. | $1,973,634 | |||
44,646(a) | Yandex NV | 2,000,587 | |||
Total Interactive Media & Services | $3,974,221 | ||||
Internet & Direct Marketing Retail - 2.1% | |||||
26,117(a) | Alibaba Group Holding, Ltd. (A.D.R.) | $5,395,511 | |||
130,313(a) | JD.com, Inc. (A.D.R.) | 4,911,497 | |||
Total Internet & Direct Marketing Retail | $10,307,008 | ||||
IT Services - 3.9% | |||||
90,676 | Booz Allen Hamilton Holding Corp. | $7,076,355 | |||
55,871 | Leidos Holdings, Inc. | 5,613,360 | |||
17,248 | Mastercard, Inc. | 5,449,333 | |||
16,749 | Science Applications International Corp. | 1,470,060 | |||
Total IT Services | $19,609,108 | ||||
Life Sciences Tools & Services - 1.6% | |||||
43,946 | Agilent Technologies, Inc. | $3,628,182 | |||
13,732 | Thermo Fisher Scientific, Inc. | 4,300,725 | |||
Total Life Sciences Tools & Services | $7,928,907 | ||||
Machinery - 0.3% | |||||
11,667 | Ingersoll-Rand Plc | $1,554,395 | |||
Total Machinery | $1,554,395 | ||||
Media - 0.2% | |||||
12,614 | Stroeer SE & Co. KGaA | $1,005,532 | |||
Total Media | $1,005,532 | ||||
Metals & Mining - 0.3% | |||||
44,908 | MMC Norilsk Nickel PJSC (A.D.R.) | $1,448,732 | |||
Total Metals & Mining | $1,448,732 | ||||
Mortgage Real Estate Investment Trusts (REITs) - 3.2% | |||||
164,779 | Chimera Investment Corp. | $3,493,315 | |||
258,052 | Invesco Mortgage Capital, Inc. | 4,513,330 | |||
200,250 | Redwood Trust, Inc. | 3,530,408 | |||
70,014 | Starwood Property Trust, Inc. | 1,796,559 | |||
164,594 | Two Harbors Investment Corp. | 2,511,704 | |||
Total Mortgage Real Estate Investment Trusts (REITs) | $15,845,316 | ||||
Oil, Gas & Consumable Fuels - 4.3% | |||||
431,699 | BP Plc | $2,602,274 | |||
58,195 | ConocoPhillips | 3,458,529 | |||
246,692 | Eni S.p.A. | 3,462,057 | |||
135,120 | Equinor ASA | 2,456,380 | |||
53,710 | LUKOIL PJSC (A.D.R.) | 5,485,402 | |||
84,844 | TOTAL SA | 4,152,567 | |||
Total Oil, Gas & Consumable Fuels | $21,617,209 | ||||
Paper & Forest Products - 0.2% | |||||
32,089 | Holmen AB, Class B | $951,872 | |||
Total Paper & Forest Products | $951,872 | ||||
Pharmaceuticals - 3.3% | |||||
38,282 | AstraZeneca Plc | $3,751,229 | |||
11,314(a) | Jazz Pharmaceuticals Plc | 1,621,862 | |||
40,465 | Novartis AG | 3,828,553 | |||
5,453 | Roche Holding AG | 1,835,210 | |||
39,889 | Zoetis, Inc. | 5,353,503 | |||
Total Pharmaceuticals | $16,390,357 | ||||
Real Estate Management & Development - 5.7% | |||||
1,333,200 | Ascendas India Trust | $1,543,361 | |||
3,280,000 | China Jinmao Holdings Group, Ltd. | 2,221,138 | |||
1,038,000 | China Resources Land, Ltd. | 4,369,795 | |||
1,757,000 | China SCE Group Holdings, Ltd. | 931,933 | |||
422,000 | CK Asset Holdings, Ltd. | 2,727,295 | |||
45,239 | Deutsche Wohnen SE | 1,915,978 | |||
63,800 | Hulic Co., Ltd. | 785,394 | |||
194,100 | Ichigo, Inc. | 745,126 | |||
2,395,500(a) | KWG Group Holdings, Ltd. | 3,139,496 | |||
933,000 | Longfor Group Holdings, Ltd. (144A) | 3,975,809 | |||
126,400 | Nomura Real Estate Holdings, Inc. | 3,155,188 | |||
4,196 | PSP Swiss Property AG | 634,887 | |||
88,000 | Sun Hung Kai Properties, Ltd. | 1,238,280 | |||
133,347 | Vinhomes JSC (144A) | 502,427 | |||
75,000 | Wheelock & Co., Ltd. | 460,087 | |||
Total Real Estate Management & Development | $28,346,194 | ||||
Semiconductors & Semiconductor Equipment - 0.1% | |||||
2,100 | Disco Corp. | $500,752 | |||
Total Semiconductors & Semiconductor Equipment | $500,752 | ||||
Software - 2.2% | |||||
11,391(a) | Adobe, Inc. | $3,999,836 | |||
37,671 | Microsoft Corp. | 6,412,734 | |||
7,483(a) | Zendesk, Inc. | 646,531 | |||
Total Software | $11,059,101 |
Shares | Value | ||||
Specialty Retail - 1.0% | |||||
980,000 | China Meidong Auto Holdings, Ltd. | $1,209,931 | |||
2,016,000 | China Yongda Automobiles Services Holdings, Ltd. | 2,159,384 | |||
94,956 | Pets at Home Group Plc | 353,437 | |||
329,500 | Zhongsheng Group Holdings, Ltd. | 1,221,698 | |||
Total Specialty Retail | $4,944,450 | ||||
Textiles, Apparel & Luxury Goods - 0.3% | |||||
3,367 | LVMH Moet Hennessy Louis Vuitton SE | $1,475,652 | |||
Total Textiles, Apparel & Luxury Goods | $1,475,652 | ||||
Wireless Telecommunication Services - 0.3% | |||||
44,500 | NTT Docomo, Inc. | $1,275,887 | |||
Total Wireless Telecommunication Services | $1,275,887 | ||||
TOTAL COMMON STOCKS | |||||
(Cost $369,664,457) | $416,134,976 | ||||
PREFERRED STOCK - 0.0%† of Net Assets | |||||
Equity Real Estate Investment Trusts (REITs) - 0.0%† | |||||
204^(a) | Wheeler Real Estate Investment Trust, Inc. | $92,882 | |||
Total Equity Real Estate Investment Trusts (REITs) | $92,882 | ||||
TOTAL PREFERRED STOCK | |||||
(Cost $195,245) | $92,882 |
Principal | |||||
Amount | |||||
USD ($) | Value | ||||
CORPORATE BONDS - 4.8% of Net Assets | |||||
Banks - 1.5% | |||||
2,000,000(b) | Banco do Brasil SA, 3.875%, 10/10/22 | $2,052,500 | |||
3,216,000(c)(d) | Intesa Sanpaolo S.p.A., 7.7% (5 Year USD Swap Rate + 546 bps) (144A) | 3,605,940 | |||
1,828,000 | UniCredit S.p.A., 4.625%, 4/12/27 (144A) | 1,979,371 | |||
Total Banks | $7,637,811 | ||||
Chemicals - 0.4% | |||||
1,800,000(b) | Braskem Finance, Ltd., 6.45%, 2/3/24 | $2,006,550 | |||
Total Chemicals | $2,006,550 | ||||
Mining - 1.2% | |||||
1,142,000 | Gold Fields Orogen Holdings BVI, Ltd., 5.125%, 5/15/24 (144A) | $1,227,650 | |||
3,170,000 | Gold Fields Orogen Holdings BVI, Ltd., 6.125%, 5/15/29 (144A) | 3,613,895 | |||
1,039,000 | Teck Resources, Ltd., 6.125%, 10/1/35 | 1,242,891 | |||
Total Mining | $6,084,436 | ||||
Packaging & Containers - 0.7% | |||||
3,000,000 | Sealed Air Corp., 5.125%, 12/1/24 (144A) | $3,240,000 | |||
Total Packaging & Containers | $3,240,000 | ||||
Telecommunications - 1.0% | |||||
4,400,000 | CenturyLink, Inc., 7.65%, 3/15/42 | $4,770,612 | |||
Total Telecommunications | $4,770,612 | ||||
TOTAL CORPORATE BONDS | |||||
(Cost $21,445,755) | $23,739,409 | ||||
FOREIGN GOVERNMENT BOND - 0.5% of Net Assets | |||||
Indonesia - 0.5% | |||||
IDR | 31,701,000,000 | Indonesia Treasury Bond, 8.375%, 3/15/24 | $2,523,543 | ||
Total Indonesia | $2,523,543 | ||||
TOTAL FOREIGN GOVERNMENT BOND | |||||
(Cost $2,250,617) | $2,523,543 | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 2.0% of Net Assets | |||||
5,000,000(e) | U.S. Treasury Bills, 3/3/20 | $4,993,827 | |||
5,000,000(e) | U.S. Treasury Bills, 3/10/20 | 4,992,431 | |||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS | |||||
(Cost $9,985,690) | $9,986,258 |
Shares | Value | ||||
INVESTMENT COMPANIES - 4.0% of Net Assets | |||||
11,822(b) | Aberdeen Standard Physical Palladium Shares ETF | $2,554,025 | |||
368,722 | ETFMG Prime Cyber Security ETF | 15,729,680 | |||
78,957 | VanEck Vectors Vietnam ETF | 1,175,670 | |||
GBP | 85,063(a) | Vietnam Enterprise Investments, Ltd., Class C | 511,973 | ||
TOTAL INVESTMENT COMPANIES | |||||
(Cost $18,664,607) | $19,971,348 | ||||
EXCHANGE-TRADED COMMODITY – 0.6% of Net Assets | |||||
3,411(a)(b) | Xtrackers Physical Rhodium ETC | $2,882,295 | |||
TOTAL EXCHANGE-TRADED COMMODITY | |||||
(Cost $534,086) | $2,882,295 | ||||
RIGHT/WARRANT - 0.0%† of Net Assets | |||||
Pharmaceuticals - 0.0%† | |||||
19,289(a) | Bristol-Myers Squibb Co., 3/31/21 | $67,126 | |||
Total Pharmaceuticals | $67,126 | ||||
TOTAL RIGHT/WARRANT | |||||
(Cost $2) | $67,126 |
Number of Contracts | Description | Counterparty | Notional | Strike Price | Expiration Date | Value | ||||
OVER THE COUNTER (OTC) CALL OPTIONS PURCHASED - 0.1% | ||||||||||
100,000 | Boeing Co. | Citibank NA | USD | 1,193,000 | USD | 400 | 2/21/20 | $50 | ||
8,952 | S&P 500 Index | Citibank NA | USD | 484,214 | USD | 3,314 | 4/17/20 | 383,240 | ||
4,717 | S&P 500 Index | Citibank NA | USD | 260,001 | USD | 3,307 | 4/17/20 | 215,897 | ||
$599,187 | ||||||||||
TOTAL OVER THE COUNTER (OTC) CALL OPTIONS PURCHASED | ||||||||||
(Premiums paid $1,937,215) | $599,187 | |||||||||
TOTAL OPTIONS PURCHASED | ||||||||||
(Premiums paid $1,937,215) | $599,187 | |||||||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS – 95.7% | ||||||||||
(Cost $424,677,674) | $475,997,024 | |||||||||
OTHER ASSETS AND LIABILITIES - 4.3% | $21,167,693 | |||||||||
NET ASSETS - 100.0% | $497,164,717 |
bps | Basis Points. |
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 January 31, 2020, the value of these securities amounted to $30,370,115, or 6.1% of net assets. |
(A.D.R.) | American Depositary Receipts. |
(G.D.R.) | Global Depository Receipt. |
† | Amount rounds to less than 0.1%. |
^ | Security is valued using fair value methods (other than supplied by independent pricing services). |
(a) | Non-income producing security. |
(b) | All or a portion of this security is held by Flexible Opportunities Commodity Fund Ltd. (formerly, Pioneer Cayman Commodity Fund Ltd.). |
(c) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at January 31, 2020. |
(d) | Security is perpetual in nature and has no stated maturity date. |
(e) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
FUTURES CONTRACTS | ||||||
CURRENCY FUTURES CONTRACT | ||||||
Number of Contracts Short | Description | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation | |
253 | Euro | 3/16/20 | $35,267,747 | $35,162,256 | $105,491 | |
$35,267,747 | $35,162,256 | $105,491 | ||||
INDEX FUTURES CONTRACTS | ||||||
Number of Contracts Short | Description | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation (Depreciation) | |
24 | DAX | 3/20/20 | $8,685,626 | $8,643,869 | $ 41,757 | |
704 | Euro Stoxx 50 | 3/20/20 | 28,837,658 | 28,403,297 | 434,361 | |
304 | FTSE/JSE Top 40 | 3/19/20 | 10,159,853 | 10,173,494 | (13,641) | |
43 | IBEX 35 | 2/21/20 | 4,555,022 | 4,470,543 | 84,479 | |
539 | MSCI China | 3/20/20 | 24,026,385 | 23,088,065 | 938,320 | |
11 | Nikkei 225 | 3/12/20 | 1,307,350 | 1,250,150 | 57,200 | |
6 | Nikkei 225 | 3/12/20 | 1,324,136 | 1,280,672 | 43,464 | |
150 | S&P 500 E-MINI | 3/20/20 | 23,990,960 | 24,180,000 | (189,040) | |
$102,886,990 | $101,490,090 | $1,396,900 | ||||
TOTAL FUTURES CONTRACTS | $(138,154,737) | $(136,652,346) | $1,502,391 |
SWAPS CONTRACTS | |||||||
OVER THE COUNTER (OTC) TOTAL RETURN SWAPS CONTRACTS - SELL PROTECTION | |||||||
Notional Amount(1) | Counterparty | Reference Obligation/Index | Pay/ Receive(2) | Coupon | Expiration Date | Unrealized Appreciation (Depreciation) | Market Value |
18,221,751 | Goldman Sachs International | Goldman Sachs Total Cash Return Index* | Pay | 3M LIBOR + 39bps | 5/1/20 | $287,785 | $287,785 |
4,574,746 | Goldman Sachs International | Goldman Sachs Total Cash Return Index* | Pay | 3M LIBOR + 39bps | 6/29/20 | (110,101) | (110,101) |
5,404,909 | Goldman Sachs International | Goldman Sachs Total Cash Return Index* | Pay | 3M LIBOR + 39bps | 9/10/20 | (42,150) | (42,150) |
5,672,015 | Goldman Sachs International | Goldman Sachs Total Cash Return Index* | Pay | 3M LIBOR + 39bps | 11/26/20 | (80,584) | (80,584) |
TOTAL SWAPS CONTRACTS | $54,950 | $54,950 |
(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) | Pays quarterly. |
Principal amounts are denominated in U.S. dollars ("USD") unless otherwise noted. | ||
GBP | - | Great British Pound |
IDR | - | Indonesian Rupiah |
* The following table shows the individual positions and related values of the securities underlying each total return swap with Goldman Sachs International, as of January 31, 2020.
Index Description | Shares | Value | % of basket | |||||||||
AbbVie, Inc. | 13 | $ | 1,085 | 1.96 | % | |||||||
AES Corp. | 78 | 1,552 | 2.82 | % | ||||||||
American Airlines Group, Inc. | 21 | 557 | 1.01 | % | ||||||||
American International Group, Inc. | 15 | 729 | 1.33 | % | ||||||||
Ameriprise Financial, Inc. | 7 | 1,143 | 2.08 | % | ||||||||
AmerisourceBergen Corp. | 11 | 922 | 1.68 | % | ||||||||
Apple, Inc. | 6 | 1,904 | 3.47 | % | ||||||||
Applied Materials, Inc. | 22 | 1,262 | 2.30 | % | ||||||||
Archer-Daniels-Midland Co. | 19 | 865 | 1.57 | % | ||||||||
Assurant, Inc. | 9 | 1,199 | 2.18 | % | ||||||||
Boeing Co. | 5 | 1,522 | 2.77 | % | ||||||||
Capital One Financial Corp. | 11 | 1,097 | 2.00 | % | ||||||||
Capri Holdings, Ltd. | 24 | 709 | 1.29 | % | ||||||||
CenturyLink, Inc. | 34 | 470 | 0.86 | % | ||||||||
Cigna Corp. | 4 | 675 | 1.23 | % | ||||||||
Corning, Inc. | 31 | 818 | 1.49 | % | ||||||||
DENTSPLY SIRONA, Inc. | 14 | 783 | 1.42 | % | ||||||||
Discover Financial Services | 14 | 1,061 | 1.93 | % | ||||||||
eBay, Inc. | 26 | 888 | 1.62 | % | ||||||||
Equity Residential | 14 | 1,137 | 2.07 | % | ||||||||
F5 Networks, Inc. | 7 | 836 | 1.52 | % | ||||||||
General Electric Co. | 30 | 380 | 0.69 | % | ||||||||
Gilead Sciences, Inc. | 13 | 815 | 1.48 | % | ||||||||
HCA Healthcare, Inc. | 10 | 1,457 | 2.65 | % | ||||||||
HP, Inc. | 47 | 1,001 | 1.82 | % | ||||||||
LyondellBasell Industries NV | 10 | 812 | 1.48 | % | ||||||||
McDonald's Corp. | 6 | 1,351 | 2.46 | % | ||||||||
Monster Beverage Corp. | 19 | 1,297 | 2.36 | % | ||||||||
Motorola Solutions, Inc. | 10 | 1,820 | 3.31 | % | ||||||||
Navient Corp. | 58 | 836 | 1.52 | % | ||||||||
NetApp, Inc. | 22 | 1,184 | 2.16 | % | ||||||||
NRG Energy, Inc. | 52 | 1,929 | 3.51 | % | ||||||||
ONEOK, Inc. | 17 | 1,258 | 2.29 | % | ||||||||
Procter & Gamble Co. | 10 | 1,261 | 2.30 | % | ||||||||
PulteGroup, Inc. | 39 | 1,741 | 3.17 | % | ||||||||
Qorvo, Inc. | 13 | 1,375 | 2.50 | % | ||||||||
Quest Diagnostics, Inc. | 8 | 927 | 1.69 | % | ||||||||
Seagate Technology Plc | 21 | 1,196 | 2.18 | % | ||||||||
Sysco Corp. | 17 | 1,373 | 2.50 | % | ||||||||
Target Corp. | 16 | 1,752 | 3.19 | % | ||||||||
TransDigm Group, Inc. | 4 | 2,304 | 4.19 | % | ||||||||
Tyson Foods, Inc. | 14 | 1,136 | 2.07 | % | ||||||||
United Airlines Holdings, Inc. | 13 | 942 | 1.71 | % | ||||||||
Valero Energy Corp. | 14 | 1,153 | 2.10 | % | ||||||||
Viacom CBS, Inc. | 13 | 453 | 0.82 | % | ||||||||
Western Union Co. | 45 | 1,197 | 2.18 | % | ||||||||
Westinghouse Air Brake Technologies Corp. | - | 12 | 0.02 | % | ||||||||
Weyerhaeuser Co. | 26 | 755 | 1.37 | % | ||||||||
Williams Cos., Inc. | 29 | 597 | 1.09 | % | ||||||||
Yum! Brands, Inc. | 13 | 1,422 | 2.59 | % | ||||||||
Totals | $ | 54,950 | 100.00 | % |
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels below. |
Level 1 - quoted prices in active markets for identical securities. |
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments). |
The following is a summary of the inputs used as of January 31, 2020, in valuing the Fund's investments: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | $ | 416,134,976 | $ | – | $ | – | $ | 416,134,976 | ||||||||
Preferred Stock | ||||||||||||||||
Equity Real Estate Investment Trusts (REITs) | – | – | 92,882 | 92,882 | ||||||||||||
Corporate Bonds | – | 23,739,409 | – | 23,739,409 | ||||||||||||
Foreign Government Bond | – | 2,523,543 | – | 2,523,543 | ||||||||||||
U.S. Government and Agency Obligations | – | 9,986,258 | – | 9,986,258 | ||||||||||||
Investment Companies | 19,971,348 | – | – | 19,971,348 | ||||||||||||
Exchange-Traded Commodity | 2,882,295 | – | – | 2,882,295 | ||||||||||||
Right/Warrant | 67,126 | – | – | 67,126 | ||||||||||||
Over The Counter (OTC) Call Options Purchased | – | 599,187 | – | 599,187 | ||||||||||||
Total Investments in Securities | $ | 439,055,745 | $ | 36,848,397 | $ | 92,882 | $ | 475,997,024 | ||||||||
Other Financial Instruments | ||||||||||||||||
Net unrealized appreciation on futures contracts | $ | 1,502,391 | $ | – | $ | – | $ | 1,502,391 | ||||||||
Swaps contracts, at value | – | 54,950 | – | 54,950 | ||||||||||||
Total Other Financial Instruments | $ | 1,502,391 | $ | 54,950 | $ | – | $ | 1,557,341 |
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
Preferred Stock | ||||
Balance as of 10/31/19 | $ | 95,372 | ||
Realized gain (loss) | – | |||
Changed in unrealized appreciation (depreciation) | (2,490 | ) | ||
Accrued discounts/premiums | – | |||
Purchases | – | |||
Sales | – | |||
Transfers in to Level 3* | -- | |||
Transfers out of Level 3* | -- | |||
Balance as of 1/31/20 | $ | 92,882 |
* | Transfers are calculated on the beginning of period values. During the three months ended January 31, 2020, there were no transfers between Levels 1, 2 and 3. |
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at January 31, 2020: $(2,490).