PIONEER VARIABLE CONTRACTS TRUST
Pioneer High Yield VCT Portfolio — Class I and II Shares
Schedule of Investments
March 31, 2020
Shares | Value | |||||||
UNAFFILIATED ISSUERS - 89.6% | ||||||||
COMMON STOCKS - 0.1% of Net Assets | ||||||||
Health Care Providers & Services - 0.1% | ||||||||
2,499(a) | Option Care Health, Inc. | $23,666 | ||||||
Total Health Care Providers & Services | $23,666 | |||||||
Transportation Infrastructure - 0.0%† | ||||||||
640(a) | Syncreon Group | $3,413 | ||||||
Total Transportation Infrastructure | $3,413 | |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $74,545) | $27,079 | |||||||
CONVERTIBLE PREFERRED STOCK - 0.3% of Net Assets | ||||||||
Banks - 0.3% | ||||||||
95(b) | Wells Fargo & Co., 7.5% | $121,032 | ||||||
Total Banks | $121,032 | |||||||
TOTAL CONVERTIBLE PREFERRED STOCK | ||||||||
(Cost $125,547) | $121,032 | |||||||
Principal Amount USD ($) | Value | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITY - 0.3% of Net Assets | ||||||||
108,994(c) | Banc of America Commercial Mortgage Trust, Series 2007-4, Class H, 5.864%, 2/10/51 (144A) | $104,671 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITY | ||||||||
(Cost $107,264) | $104,671 | |||||||
CONVERTIBLE CORPORATE BONDS - 3.9% of Net Assets | ||||||||
Biotechnology - 0.8% | ||||||||
174,000 | Exact Sciences Corp., 0.375%, 3/1/28 | $136,512 | ||||||
162,000 | Insmed, Inc., 1.75%, 1/15/25 | 135,280 | ||||||
Total Biotechnology | $271,792 | |||||||
Commercial Services - 0.2% | ||||||||
64,935 | Macquarie Infrastructure Corp., 2.0%, 10/1/23 | $51,948 | ||||||
Total Commercial Services | $51,948 | |||||||
Computers - 0.4% | ||||||||
160,000 | Pure Storage, Inc., 0.125%, 4/15/23 | $137,775 | ||||||
Total Computers | $137,775 | |||||||
Engineering & Construction - 0.3% | ||||||||
115,000 | Dycom Industries, Inc., 0.75%, 9/15/21 | $97,031 | ||||||
Total Engineering & Construction | $97,031 | |||||||
Healthcare-Products - 0.1% | ||||||||
45,000 | Integra LifeSciences Holdings Corp., 0.5%, 8/15/25 (144A) | $39,761 | ||||||
Total Healthcare-Products | $39,761 | |||||||
Internet - 0.5% | ||||||||
171,000 | Palo Alto Networks, Inc., 0.75%, 7/1/23 | $165,048 | ||||||
Total Internet | $165,048 | |||||||
Media - 0.4% | ||||||||
178,000 | DISH Network Corp., 2.375%, 3/15/24 | $141,065 | ||||||
Total Media | $141,065 | |||||||
Oil & Gas - 0.0%† | ||||||||
185,000 | Oasis Petroleum, Inc., 2.625%, 9/15/23 | $21,252 | ||||||
Total Oil & Gas | $21,252 | |||||||
Pharmaceuticals - 0.4% | ||||||||
55,000 | Revance Therapeutics, Inc., 1.75%, 2/15/27 (144A) | $43,116 | ||||||
117,000 | Teva Pharmaceutical Finance Co. LLC, 0.25%, 2/1/26 | 108,288 | ||||||
Total Pharmaceuticals | $151,404 | |||||||
Software - 0.6% | ||||||||
103,000 | Akamai Technologies, Inc., 0.125%, 5/1/25 | $114,951 | ||||||
135,000 | Workiva, Inc., 1.125%, 8/15/26 (144A) | 107,147 | ||||||
Total Software | $222,098 | |||||||
Transportation - 0.2% | ||||||||
85,000 | SEACOR Holdings, Inc., 3.0%, 11/15/28 | $83,726 | ||||||
Total Transportation | $83,726 | |||||||
TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||
(Cost $1,695,977) | $1,382,900 | |||||||
CORPORATE BONDS - 80.0% of Net Assets | ||||||||
Advertising - 1.0% | ||||||||
50,000 | Lamar Media Corp., 3.75%, 2/15/28 (144A) | $46,869 | ||||||
30,000 | Lamar Media Corp., 4.0%, 2/15/30 (144A) | 27,900 | ||||||
372,000 | MDC Partners, Inc., 6.5%, 5/1/24 (144A) | 279,000 | ||||||
Total Advertising | $353,769 | |||||||
Aerospace & Defense - 0.8% | ||||||||
225,000 | Bombardier, Inc., 6.0%, 10/15/22 (144A) | $168,750 | ||||||
99,000 | Bombardier, Inc., 7.5%, 3/15/25 (144A) | 70,735 | ||||||
50,000 | Bombardier, Inc., 7.875%, 4/15/27 (144A) | 33,367 | ||||||
Total Aerospace & Defense | $272,852 | |||||||
Airlines - 0.8% | ||||||||
163,000 | American Airlines Group, Inc., 3.75%, 3/1/25 (144A) | $114,100 | ||||||
110,000 | American Airlines Group, Inc., 5.0%, 6/1/22 (144A) | 88,275 | ||||||
150,000 | Delta Air Lines, Inc., 3.75%, 10/28/29 | 120,754 | ||||||
Total Airlines | $323,129 | |||||||
Principal Amount USD ($) | Value | |||||||
Auto Manufacturers - 0.6% | ||||||||
229,000 | JB Poindexter & Co., Inc., 7.125%, 4/15/26 (144A) | $211,920 | ||||||
Total Auto Manufacturers | $211,920 | |||||||
Auto Parts & Equipment - 1.5% | ||||||||
408,000 | American Axle & Manufacturing, Inc., 6.25%, 3/15/26 | $314,160 | ||||||
192,000 | Dealer Tire LLC/DT Issuer LLC, 8.0%, 2/1/28 (144A) | 153,600 | ||||||
141,000 | Titan International, Inc., 6.5%, 11/30/23 | 63,450 | ||||||
Total Auto Parts & Equipment | $531,210 | |||||||
Banks - 3.3% | ||||||||
400,000(b)(c) | Barclays Plc, 7.75% (5 Year USD Swap Rate + 484 bps) | $350,800 | ||||||
100,000(b)(c) | Citigroup, Inc., 4.7% (SOFRRATE + 323 bps) | 85,660 | ||||||
182,000 | Freedom Mortgage Corp., 8.125%, 11/15/24 (144A) | 146,617 | ||||||
152,000 | Freedom Mortgage Corp., 8.25%, 4/15/25 (144A) | 119,320 | ||||||
200,000(b)(c) | Intesa Sanpaolo S.p.A., 7.7% (5 Year USD Swap Rate + 546 bps) (144A) | 170,000 | ||||||
140,000(b)(c) | JPMorgan Chase & Co., 4.6% (SOFRRATE + 313 bps) | 122,528 | ||||||
237,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/25 (144A) | 199,080 | ||||||
Total Banks | $1,194,005 | |||||||
Building Materials - 1.0% | ||||||||
20,000 | Builders FirstSource, Inc., 5.0%, 3/1/30 (144A) | $18,000 | ||||||
113,000 | Builders FirstSource, Inc., 6.75%, 6/1/27 (144A) | 110,740 | ||||||
230,000 | Patrick Industries, Inc., 7.5%, 10/15/27 (144A) | 225,400 | ||||||
Total Building Materials | $354,140 | |||||||
Chemicals - 2.3% | ||||||||
157,000 | CF Industries, Inc., 5.375%, 3/15/44 | $149,547 | ||||||
151,000 | NOVA Chemicals Corp., 4.875%, 6/1/24 (144A) | 132,502 | ||||||
94,000 | NOVA Chemicals Corp., 5.25%, 6/1/27 (144A) | 79,195 | ||||||
134,000 | Olin Corp., 5.0%, 2/1/30 | 115,093 | ||||||
59,000 | Olin Corp., 5.625%, 8/1/29 | 54,295 | ||||||
86,000 | Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.375%, 9/1/25 (144A) | 72,455 | ||||||
175,000 | Tronox, Inc., 6.5%, 4/15/26 (144A) | 157,500 | ||||||
85,000 | Valvoline, Inc., 4.25%, 2/15/30 (144A) | 79,679 | ||||||
Total Chemicals | $840,266 | |||||||
Coal - 0.8% | ||||||||
400,000 | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 (144A) | $288,000 | ||||||
Total Coal | $288,000 | |||||||
Commercial Services - 5.3% | ||||||||
70,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26 (144A) | $68,775 | ||||||
215,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 7/15/27 (144A) | 202,616 | ||||||
105,000 | APX Group, Inc., 6.75%, 2/15/27 (144A) | 87,150 | ||||||
200,000 | Ashtead Capital, Inc., 4.125%, 8/15/25 (144A) | 183,500 | ||||||
20,000 | Ashtead Capital, Inc., 4.25%, 11/1/29 (144A) | 16,941 | ||||||
85,000 | Cardtronics, Inc./Cardtronics USA, Inc., 5.5%, 5/1/25 (144A) | 80,750 | ||||||
380,000 | Garda World Security Corp., 9.5%, 11/1/27 (144A) | 339,682 | ||||||
68,000 | Hertz Corp., 7.125%, 8/1/26 (144A) | 36,020 | ||||||
120,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, 4/15/26 (144A) | 117,600 | ||||||
260,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 224,250 | ||||||
280,000 | Sotheby's, 7.375%, 10/15/27 (144A) | 222,950 | ||||||
75,000 | United Rentals North America, Inc., 3.875%, 11/15/27 | 70,875 | ||||||
124,000 | United Rentals North America, Inc., 5.25%, 1/15/30 | 123,963 | ||||||
175,000 | Verscend Escrow Corp., 9.75%, 8/15/26 (144A) | 174,671 | ||||||
Total Commercial Services | $1,949,743 | |||||||
Computers - 0.5% | ||||||||
185,000 | Western Digital Corp., 4.75%, 2/15/26 | $187,775 | ||||||
Total Computers | $187,775 | |||||||
Distribution/Wholesale - 0.9% | ||||||||
395,000 | Wolverine Escrow LLC, 8.5%, 11/15/24 (144A) | $315,009 | ||||||
Total Distribution/Wholesale | $315,009 | |||||||
Diversified Financial Services - 2.3% | ||||||||
145,000 | Alliance Data Systems Corp., 4.75%, 12/15/24 (144A) | $110,200 | ||||||
360,000 | Avation Capital SA, 6.5%, 5/15/21 (144A) | 327,600 | ||||||
195,000(d) | Global Aircraft Leasing Co., Ltd., 6.5% (7.25% PIK or 6.5% cash), 9/15/24 (144A) | 125,580 | ||||||
30,000 | Nationstar Mortgage Holdings, Inc., 6.0%, 1/15/27 (144A) | 25,500 | ||||||
22,000 | Nationstar Mortgage Holdings, Inc., 8.125%, 7/15/23 (144A) | 21,512 | ||||||
254,000 | Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/26 (144A) | 229,870 | ||||||
Total Diversified Financial Services | $840,262 | |||||||
Electric - 1.7% | ||||||||
65,000 | Clearway Energy Operating LLC, 4.75%, 3/15/28 (144A) | $60,288 | ||||||
137,000 | Clearway Energy Operating LLC, 5.75%, 10/15/25 | 135,630 | ||||||
22,000 | Talen Energy Supply LLC, 6.625%, 1/15/28 (144A) | 18,480 | ||||||
333,000 | Vistra Operations Co. LLC, 5.625%, 2/15/27 (144A) | 343,406 | ||||||
Total Electric | $557,804 | |||||||
Electrical Components & Equipment - 0.3% | ||||||||
EUR | 100,000 | Belden, Inc., 3.875%, 3/15/28 (144A) | $99,690 | |||||
Total Electrical Components & Equipment | $99,690 | |||||||
Entertainment - 1.8% | ||||||||
157,000 | AMC Entertainment Holdings, Inc., 5.75%, 6/15/25 | $65,940 | ||||||
200,000 | Enterprise Development Authority, 12.0%, 7/15/24 (144A) | 174,000 | ||||||
Principal Amount USD ($) | Value | |||||||
Entertainment - (continued) | ||||||||
35,000 | Penn National Gaming, Inc., 5.625%, 1/15/27 (144A) | $25,550 | ||||||
100,000 | Scientific Games International, Inc., 7.0%, 5/15/28 (144A) | 61,500 | ||||||
100,000 | Scientific Games International, Inc., 7.25%, 11/15/29 (144A) | 62,500 | ||||||
351,000 | Scientific Games International, Inc., 8.25%, 3/15/26 (144A) | 224,679 | ||||||
Total Entertainment | $614,169 | |||||||
Environmental Control - 1.7% | ||||||||
330,000 | Covanta Holding Corp., 6.0%, 1/1/27 | $274,862 | ||||||
50,000 | GFL Environmental, Inc., 5.125%, 12/15/26 (144A) | 48,750 | ||||||
27,000 | GFL Environmental, Inc., 7.0%, 6/1/26 (144A) | 26,134 | ||||||
120,000 | GFL Environmental, Inc., 8.5%, 5/1/27 (144A) | 120,564 | ||||||
189,000 | Tervita Corp., 7.625%, 12/1/21 (144A) | 132,300 | ||||||
Total Environmental Control | $602,610 | |||||||
Food - 3.8% | ||||||||
70,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.875%, 2/15/30 (144A) | $69,825 | ||||||
182,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 5.75%, 3/15/25 | 183,893 | ||||||
119,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 5.875%, 2/15/28 (144A) | 121,118 | ||||||
253,000 | FAGE International SA/FAGE USA Dairy Industry, Inc., 5.625%, 8/15/26 (144A) | 199,870 | ||||||
156,000 | Ingles Markets, Inc., 5.75%, 6/15/23 | 155,220 | ||||||
211,000 | JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 2/15/28 (144A) | 225,243 | ||||||
138,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.5%, 1/15/30 (144A) | 142,485 | ||||||
65,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.5%, 4/15/29 (144A) | 69,726 | ||||||
250,000 | Simmons Foods, Inc., 5.75%, 11/1/24 (144A) | 226,950 | ||||||
Total Food | $1,394,330 | |||||||
Forest Products & Paper - 0.9% | ||||||||
132,000 | Mercer International, Inc., 7.375%, 1/15/25 | $109,891 | ||||||
199,000 | Schweitzer-Mauduit International, Inc., 6.875%, 10/1/26 (144A) | 198,005 | ||||||
Total Forest Products & Paper | $307,896 | |||||||
Healthcare-Services - 2.4% | ||||||||
145,000 | Centene Corp., 4.75%, 1/15/25 (144A) | $145,361 | ||||||
226,000 | Centene Corp., 5.25%, 4/1/25 (144A) | 227,130 | ||||||
38,000 | Centene Corp., 5.375%, 6/1/26 (144A) | 39,144 | ||||||
57,000 | Surgery Center Holdings, Inc., 6.75%, 7/1/25 (144A) | 41,040 | ||||||
293,000 | Surgery Center Holdings, Inc., 10.0%, 4/15/27 (144A) | 205,100 | ||||||
265,000 | US Renal Care, Inc., 10.625%, 7/15/27 (144A) | 223,925 | ||||||
Total Healthcare-Services | $881,700 | |||||||
Holding Companies-Diversified - 0.4% | ||||||||
170,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 10.5%, 6/1/24 (144A) | $137,488 | ||||||
Total Holding Companies-Diversified | $137,488 | |||||||
Home Builders - 3.1% | ||||||||
125,000 | Beazer Homes USA, Inc., 5.875%, 10/15/27 | $94,375 | ||||||
182,000 | Beazer Homes USA, Inc., 6.75%, 3/15/25 | 146,510 | ||||||
85,000 | Beazer Homes USA, Inc., 7.25%, 10/15/29 | 64,600 | ||||||
55,000 | Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 4.875%, 2/15/30 (144A) | 41,783 | ||||||
108,000 | Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.25%, 9/15/27 (144A) | 93,679 | ||||||
307,000 | KB Home, 6.875%, 6/15/27 | 307,000 | ||||||
195,000 | M/I Homes, Inc., 4.95%, 2/1/28 (144A) | 165,506 | ||||||
45,000 | Mattamy Group Corp., 4.625%, 3/1/30 (144A) | 38,700 | ||||||
70,000 | Shea Homes LP/Shea Homes Funding Corp., 4.75%, 2/15/28 (144A) | 59,763 | ||||||
22,000 | Taylor Morrison Communities, Inc., 5.875%, 6/15/27 (144A) | 20,433 | ||||||
Total Home Builders | $1,032,349 | |||||||
Internet - 1.3% | ||||||||
97,000 | Netflix, Inc., 4.875%, 4/15/28 | $99,910 | ||||||
340,000 | Netflix, Inc., 5.375%, 11/15/29 (144A) | 352,801 | ||||||
Total Internet | $452,711 | |||||||
Investment Companies - 1.0% | ||||||||
400,000 | Altice France Holding SA, 6.0%, 2/15/28 (144A) | $351,872 | ||||||
Total Investment Companies | $351,872 | |||||||
Iron & Steel - 1.5% | ||||||||
285,000 | Cleveland-Cliffs, Inc., 6.75%, 3/15/26 (144A) | $253,650 | ||||||
55,000 | Commercial Metals Co., 5.375%, 7/15/27 | 50,600 | ||||||
270,000 | Commercial Metals Co., 5.75%, 4/15/26 | 252,017 | ||||||
Total Iron & Steel | $556,267 | |||||||
Leisure Time - 0.6% | ||||||||
109,000 | Viking Cruises, Ltd., 5.875%, 9/15/27 (144A) | $63,777 | ||||||
235,000 | Viking Cruises, Ltd., 6.25%, 5/15/25 (144A) | 150,400 | ||||||
Total Leisure Time | $214,177 | |||||||
Lodging - 0.3% | ||||||||
137,000 | Station Casinos LLC, 4.5%, 2/15/28 (144A) | $110,970 | ||||||
Total Lodging | $110,970 | |||||||
Machinery-Diversified - 0.3% | ||||||||
133,000 | Cloud Crane LLC, 10.125%, 8/1/24 (144A) | $104,738 | ||||||
Total Machinery-Diversified | $104,738 | |||||||
Principal Amount USD ($) | Value | |||||||
Media - 4.8% | ||||||||
515,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.5%, 5/1/26 (144A) | $522,725 | ||||||
146,000 | Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/24 (144A) | 125,195 | ||||||
200,000 | CSC Holdings LLC, 5.375%, 2/1/28 (144A) | 204,000 | ||||||
208,000 | CSC Holdings LLC, 5.5%, 5/15/26 (144A) | 215,145 | ||||||
200,000 | CSC Holdings LLC, 7.5%, 4/1/28 (144A) | 213,084 | ||||||
352,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/27 (144A) | 235,400 | ||||||
230,000 | Sinclair Television Group, Inc., 5.5%, 3/1/30 (144A) | 190,325 | ||||||
Total Media | $1,705,874 | |||||||
Mining - 3.0% | ||||||||
39,000 | Coeur Mining, Inc., 5.875%, 6/1/24 | $35,100 | ||||||
200,000 | First Quantum Minerals, Ltd., 7.25%, 4/1/23 (144A) | 168,375 | ||||||
210,000 | Freeport-McMoRan, Inc., 4.25%, 3/1/30 | 182,700 | ||||||
130,000 | Hecla Mining Co., 7.25%, 2/15/28 | 114,465 | ||||||
112,000 | Hudbay Minerals, Inc., 7.25%, 1/15/23 (144A) | 97,440 | ||||||
110,000 | Hudbay Minerals, Inc., 7.625%, 1/15/25 (144A) | 95,700 | ||||||
65,000 | Joseph T Ryerson & Son, Inc., 11.0%, 5/15/22 (144A) | 60,450 | ||||||
130,000 | Novelis Corp., 4.75%, 1/30/30 (144A) | 115,700 | ||||||
200,000 | Novelis Corp., 5.875%, 9/30/26 (144A) | 196,273 | ||||||
Total Mining | $1,066,203 | |||||||
Miscellaneous Manufacturers - 0.0%† | ||||||||
18,000 | Amsted Industries, Inc., 5.625%, 7/1/27 (144A) | $17,512 | ||||||
Total Miscellaneous Manufacturers | $17,512 | |||||||
Oil & Gas - 4.7% | ||||||||
305,000 | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | $116,357 | ||||||
149,000 | Great Western Petroleum LLC/Great Western Finance Corp., 9.0%, 9/30/21 (144A) | 95,360 | ||||||
235,000 | Gulfport Energy Corp., 6.0%, 10/15/24 | 57,575 | ||||||
65,000 | Gulfport Energy Corp., 6.625%, 5/1/23 | 18,200 | ||||||
296,000 | Indigo Natural Resources LLC, 6.875%, 2/15/26 (144A) | 195,360 | ||||||
42,000 | MEG Energy Corp., 6.5%, 1/15/25 (144A) | 26,565 | ||||||
163,000 | MEG Energy Corp., 7.0%, 3/31/24 (144A) | 75,184 | ||||||
25,000 | MEG Energy Corp., 7.125%, 2/1/27 (144A) | 12,353 | ||||||
219,000 | Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A) | 122,640 | ||||||
246,000 | Oasis Petroleum, Inc., 6.875%, 3/15/22 | 48,585 | ||||||
104,000 | Parkland Fuel Corp., 5.875%, 7/15/27 (144A) | 97,490 | ||||||
30,000 | Parsley Energy LLC/Parsley Finance Corp., 5.25%, 8/15/25 (144A) | 22,800 | ||||||
135,000 | Parsley Energy LLC/Parsley Finance Corp., 5.375%, 1/15/25 (144A) | 104,285 | ||||||
20,000 | Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/27 (144A) | 14,100 | ||||||
300,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.0%, 2/15/28 (144A) | 198,000 | ||||||
350,000 | Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A) | 167,300 | ||||||
271,000 | Transocean Sentry, Ltd., 5.375%, 5/15/23 (144A) | 227,640 | ||||||
185,000 | Transocean, Inc., 7.25%, 11/1/25 (144A) | 93,018 | ||||||
37,000 | Transocean, Inc., 8.0%, 2/1/27 (144A) | 17,575 | ||||||
232,000 | Whiting Petroleum Corp., 6.625%, 1/15/26 | 15,660 | ||||||
Total Oil & Gas | $1,726,047 | |||||||
Oil & Gas Services - 1.6% | ||||||||
186,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.0%, 10/1/22 | $186,000 | ||||||
80,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.25%, 4/1/28 (144A) | 55,200 | ||||||
152,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.875%, 4/1/27 (144A) | 107,935 | ||||||
89,000 | Exterran Energy Solutions LP/EES Finance Corp., 8.125%, 5/1/25 | 58,740 | ||||||
296,000 | FTS International, Inc., 6.25%, 5/1/22 | 102,860 | ||||||
120,000 | SESI LLC, 7.75%, 9/15/24 | 29,701 | ||||||
74,000 | USA Compression Partners LP/USA Compression Finance Corp., 6.875%, 9/1/27 | 45,880 | ||||||
Total Oil & Gas Services | $586,316 | |||||||
Packaging & Containers - 2.3% | ||||||||
276,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.0%, 2/15/25 (144A) | $276,773 | ||||||
254,000 | Crown Cork & Seal Co., Inc., 7.375%, 12/15/26 | 260,350 | ||||||
300,000 | Greif, Inc., 6.5%, 3/1/27 (144A) | 287,730 | ||||||
Total Packaging & Containers | $824,853 | |||||||
Pharmaceuticals - 4.2% | ||||||||
197,000 | Bausch Health Americas, Inc., 8.5%, 1/31/27 (144A) | $205,865 | ||||||
75,000 | Bausch Health Cos., Inc., 5.0%, 1/30/28 (144A) | 71,002 | ||||||
50,000 | Bausch Health Cos., Inc., 5.25%, 1/30/30 (144A) | 47,278 | ||||||
80,000 | Bausch Health Cos., Inc., 5.5%, 11/1/25 (144A) | 80,824 | ||||||
96,000 | Bausch Health Cos., Inc., 7.0%, 1/15/28 (144A) | 98,534 | ||||||
96,000 | Bausch Health Cos., Inc., 7.25%, 5/30/29 (144A) | 99,629 | ||||||
200,000 | Endo, Dac/Endo Finance LLC/Endo Finco, Inc., 6.0%, 2/1/25 (144A) | 136,000 | ||||||
209,000 | Horizon Therapeutics USA, Inc., 5.5%, 8/1/27 (144A) | 209,815 | ||||||
114,000 | Par Pharmaceutical, Inc., 7.5%, 4/1/27 (144A) | 113,430 | ||||||
456,000 | Teva Pharmaceutical Finance Netherlands III BV, 2.8%, 7/21/23 | 416,095 | ||||||
Total Pharmaceuticals | $1,478,472 | |||||||
Pipelines - 5.3% | ||||||||
285,000 | American Midstream Partners LP/American Midstream Finance Corp., 9.5%, 12/15/21 (144A) | $267,900 | ||||||
130,000 | Cheniere Energy Partners LP, 4.5%, 10/1/29 (144A) | 113,100 | ||||||
30,000 | DCP Midstream Operating LP, 3.875%, 3/15/23 | 23,991 | ||||||
49,000 | DCP Midstream Operating LP, 4.95%, 4/1/22 | 40,180 | ||||||
200,000 | DCP Midstream Operating LP, 5.375%, 7/15/25 | 136,560 | ||||||
Principal Amount USD ($) | Value | |||||||
Pipelines - (continued) | ||||||||
165,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75%, 5/15/25 | $160,464 | ||||||
220,000(b)(c) | Energy Transfer Operating LP, 7.125% (5 Year CMT Index + 531 bps) | 132,403 | ||||||
5,000 | EnLink Midstream LLC, 5.375%, 6/1/29 | 2,600 | ||||||
40,000 | EnLink Midstream Partners LP, 5.05%, 4/1/45 | 14,588 | ||||||
116,000 | EnLink Midstream Partners LP, 5.6%, 4/1/44 | 39,150 | ||||||
93,000 | Genesis Energy LP/Genesis Energy Finance Corp., 6.5%, 10/1/25 | 67,220 | ||||||
162,000 | Genesis Energy LP/Genesis Energy Finance Corp., 7.75%, 2/1/28 | 112,784 | ||||||
167,000 | Global Partners LP/GLP Finance Corp., 7.0%, 6/15/23 | 136,940 | ||||||
111,000 | Global Partners LP/GLP Finance Corp., 7.0%, 8/1/27 | 83,250 | ||||||
140,000 | Hess Midstream Operations LP, 5.125%, 6/15/28 (144A) | 98,392 | ||||||
167,000 | Hess Midstream Operations LP, 5.625%, 2/15/26 (144A) | 117,913 | ||||||
135,000 | PBF Logistics LP/PBF Logistics Finance Corp., 6.875%, 5/15/23 | 83,700 | ||||||
267,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.0%, 3/1/27 (144A) | 141,510 | ||||||
75,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.0%, 1/15/28 | 60,455 | ||||||
26,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.5%, 7/15/27 | 22,165 | ||||||
Total Pipelines | $1,855,265 | |||||||
REITs – 2.2% | ||||||||
155,000 | Iron Mountain US Holdings, Inc., 5.375%, 6/1/26 (144A) | $156,550 | ||||||
200,000 | Iron Mountain, Inc., 5.75%, 8/15/24 | 199,000 | ||||||
105,000 | iStar, Inc., 4.25%, 8/1/25 | 86,352 | ||||||
195,000 | iStar, Inc., 4.75%, 10/1/24 | 163,800 | ||||||
146,000 | MPT Operating Partnership LP/MPT Finance Corp., 4.625%, 8/1/29 | 135,780 | ||||||
Total REITs | $741,482 | |||||||
Retail - 2.5% | ||||||||
150,000 | AAG FH LP/AAG FH Finco, Inc., 9.75%, 7/15/24 (144A) | $130,500 | ||||||
63,000 | Asbury Automotive Group, Inc., 4.5%, 3/1/28 (144A) | 53,550 | ||||||
67,000 | Asbury Automotive Group, Inc., 4.75%, 3/1/30 (144A) | 56,950 | ||||||
220,000 | Beacon Roofing Supply, Inc., 4.875%, 11/1/25 (144A) | 198,550 | ||||||
147,000 | Golden Nugget, Inc., 8.75%, 10/1/25 (144A) | 74,970 | ||||||
50,000 | JC Penney Corp., Inc., 5.875%, 7/1/23 (144A) | 18,500 | ||||||
304,000 | Michaels Stores, Inc., 8.0%, 7/15/27 (144A) | 224,960 | ||||||
35,000 | QVC, Inc., 4.75%, 2/15/27 | 30,958 | ||||||
91,000 | Staples, Inc., 7.5%, 4/15/26 (144A) | 80,421 | ||||||
Total Retail | $869,359 | |||||||
Telecommunications - 7.1% | ||||||||
80,000 | CenturyLink, Inc., 4.0%, 2/15/27 (144A) | $77,600 | ||||||
150,000 | CenturyLink, Inc., 6.45%, 6/15/21 | 152,250 | ||||||
90,000 | CommScope Technologies LLC, 6.0%, 6/15/25 (144A) | 82,368 | ||||||
63,000 | CommScope, Inc., 8.25%, 3/1/27 (144A) | 60,726 | ||||||
451,000 | Frontier Communications Corp., 8.75%, 4/15/22 | 116,132 | ||||||
75,000 | Frontier Communications Corp., 11.0%, 9/15/25 | 19,687 | ||||||
254,000 | Intelsat Jackson Holdings SA, 5.5%, 8/1/23 | 166,370 | ||||||
300,000 | Level 3 Financing, Inc., 5.25%, 3/15/26 | 299,813 | ||||||
435,000 | Sprint Corp., 7.125%, 6/15/24 | 477,478 | ||||||
102,000 | Sprint Corp., 7.25%, 9/15/21 | 105,131 | ||||||
280,000 | Sprint Corp., 7.625%, 2/15/25 | 309,400 | ||||||
75,000 | T-Mobile USA, Inc., 6.0%, 3/1/23 | 75,413 | ||||||
155,000 | T-Mobile USA, Inc., 6.0%, 4/15/24 | 158,023 | ||||||
215,000 | T-Mobile USA, Inc., 6.5%, 1/15/26 | 225,750 | ||||||
339,000 | Windstream Services LLC/Windstream Finance Corp., 8.625%, 10/31/25 (144A) | 203,400 | ||||||
Total Telecommunications | $2,529,541 | |||||||
Transportation - 0.1% | ||||||||
33,000 | Cargo Aircraft Management, Inc., 4.75%, 2/1/28 (144A) | $30,608 | ||||||
Total Transportation | $30,608 | |||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $34,635,335) | $28,512,383 | |||||||
Face Amount USD ($) | Value | |||||||
INSURANCE-LINKED SECURITIES - 0.1% of Net Assets(e) | ||||||||
Reinsurance Sidecars - 0.1% | ||||||||
Multiperil - Worldwide - 0.1% | ||||||||
50,000+(a)(f) | Lorenz Re 2018, 7/1/21 | $3,585 | ||||||
25,723+(a)(f) | Lorenz Re 2019, 6/30/22 | 23,261 | ||||||
Total Reinsurance Sidecars | $26,846 | |||||||
TOTAL INSURANCE-LINKED SECURITIES | ||||||||
(Cost $40,945) | $26,846 | |||||||
Principal Amount USD ($) | Value | |||||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 3.5% of Net Assets*(g) | ||||||||
Beverage, Food & Tobacco - 0.2% | ||||||||
85,000 | Froneri International, Ltd., First Lien Facility B2, 3.239% (LIBOR + 225 bps), 1/29/27 | $81,600 | ||||||
Total Beverage, Food & Tobacco | $81,600 | |||||||
Principal Amount USD ($) | Value | |||||||
Buildings & Real Estate - 0.1% | ||||||||
14,700 | Builders FirstSource, Inc., Refinancing Term Loan, 4.613% (LIBOR + 300 bps), 2/29/24 | $13,377 | ||||||
Total Buildings & Real Estate | $13,377 | |||||||
Diversified & Conglomerate Service - 0.6% | ||||||||
117,000 | DynCorp International, Inc., Term Loan, 7.0% (LIBOR + 600 bps), 8/18/25 | $105,593 | ||||||
154,602 | Team Health Holdings, Inc., Initial Term Loan, 3.75% (LIBOR + 275 bps), 2/6/24 | 99,718 | ||||||
Total Diversified & Conglomerate Service | $205,311 | |||||||
Healthcare, Education & Childcare - 0.4% | ||||||||
148,952 | LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.), First Lien Term B Loan, 4.739% (LIBOR + 375 bps), 11/16/25 | $137,036 | ||||||
Total Healthcare, Education & Childcare | $137,036 | |||||||
Machinery - 0.5% | ||||||||
233,383 | Shape Technologies Group, Inc., Initial Term Loan, 4.806% (LIBOR + 300 bps), 4/21/25 | $169,203 | ||||||
Total Machinery | $169,203 | |||||||
Media - 0.3% | ||||||||
124,375 | Diamond Sports Group LLC, Term Loan, 4.18% (LIBOR + 325 bps), 8/24/26 | $97,634 | ||||||
Total Media | $97,634 | |||||||
Metals & Mining - 0.3% | ||||||||
127,725 | Aleris International, Inc., Initial Term Loan, 5.739% (LIBOR + 475 bps), 2/27/23 | $116,868 | ||||||
Total Metals & Mining | $116,868 | |||||||
Oil & Gas - 0.1% | ||||||||
53,731 | Encino Acquisition Partners Holdings LLC, Second Lien Initial Term Loan, 7.75% (LIBOR + 675 bps), 10/29/25 | $25,522 | ||||||
Total Oil & Gas | $25,522 | |||||||
Securities & Trusts - 0.5% | ||||||||
215,400 | Spectacle Gary Holdings LLC, Closing Date Term Loan (LIBOR + 900 bps), 12/23/25 | $184,167 | ||||||
Total Securities & Trusts | $184,167 | |||||||
Telecommunications - 0.5% | ||||||||
209,945 | Commscope, Inc., Initial Term Loan, 4.239% (LIBOR + 325 bps), 4/6/26 | $199,448 | ||||||
Total Telecommunications | $199,448 | |||||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS | ||||||||
(Cost $1,426,105) | $1,230,166 | |||||||
U.S. GOVERNMENT AND AGENCY OBLIGATION - 1.4% of Net Assets | ||||||||
500,000(g) | U.S. Treasury Note, 0.2% (3 Month U.S. Treasury Bill Money Market Yield + 12 bps), 1/31/21 | $500,148 | ||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATION | ||||||||
(Cost $499,674) | $500,148 | |||||||
Shares | Value | |||||||
RIGHTS/WARRANTS - 0.0%† of Net Assets | ||||||||
Health Care Providers & Services - 0.0%† | ||||||||
80^(a)(h) | Option Care Health, Inc., 6/30/25 | $145 | ||||||
80^(a)(h) | Option Care Health, Inc., 6/30/25 | 110 | ||||||
Total Health Care Providers & Services | $255 | |||||||
TOTAL RIGHTS/WARRANTS | ||||||||
(Cost $-) | $255 | |||||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 89.6% | ||||||||
(Cost $38,605,392) | $31,905,480 | |||||||
Shares | Dividend Income | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) | Value | ||||
AFFILIATED ISSUER - 2.9% | ||||||||
CLOSED-END FUND - 2.9% of Net Assets | ||||||||
122,642(i) | Pioneer ILS Interval Fund | $– | $– | $14,717 | $1,035,094 | |||
TOTAL CLOSED-END FUND | ||||||||
(Cost $1,300,000) | $1,035,094 | |||||||
TOTAL INVESTMENTS IN AFFILIATED ISSUER - 2.9% | ||||||||
(Cost $1,300,000) | $1,035,094 | |||||||
OTHER ASSETS AND LIABILITIES - 7.5% | $2,677,951 | |||||||
NET ASSETS - 100.0% | $35,618,525 |
bps | Basis Points. |
CMT | Constant Maturity Treasury. |
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 March 31, 2020, the value of these securities amounted to $19,698,032, or 55.3% of net assets. |
† | Amount rounds to less than 0.1%. |
* | Senior secured floating rate loan interests in which the Portfolio invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at March 31, 2020. |
+ | Security that used significant unobservable inputs to determine its value. |
^ | Security is valued using fair value methods (other than supplied by independent pricing services). |
(a) | Non-income producing security. |
(b) | Security is perpetual in nature and has no stated maturity date. |
(c) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2020. |
(d) | Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount. |
(e) | Securities are restricted as to resale. |
(f) | Issued as preference shares. |
(g) | Floating rate note. Coupon rate, reference index and spread shown at March 31, 2020. |
(h) | Option Care Health, Inc. warrants are exercisable into 160 shares. |
(i) | Pioneer ILS Interval Fund is an affiliated closed-end fund managed by Amundi Pioneer Asset Management, Inc., (the "Adviser”). |
SWAP CONTRACTS | ||||||||
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | ||||||||
Notional Amount ($)(1) | Reference Obligation/Index | Pay/ Receive(2) | Annual Fixed Rate | Expiration Date | Premiums Paid/ (Received) | Unrealized (Depreciation) | Market Value | |
454,714 | Markit CDX North America High Yield Index Series 27 | Receive | 5.00% | 12/20/21 | $ (2,147) | $(11,026) | $(13,173) | |
190,000 | Markit CDX North America High Yield Index Series 31 | Receive | 5.00% | 12/20/23 | 10,764 | (19,001) | (8,237) | |
252,200 | Markit CDX North America High Yield Index Series 32 | Receive | 5.00% | 6/20/24 | 12,759 | (23,851) | (11,092) | |
TOTAL CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | $ 21,376 | $(53,878) | $(32,502) | |||||
OVER THE COUNTER (OTC) CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | ||||||||
Notional Amount ($)(1) | Counterparty | Obligation Reference/Index | Pay/ Receive(2) | Annual Fixed Rate | Expiration Date | Premiums (Received) | Unrealized (Depreciation) | Market Value |
40,000 | Goldman Sachs International | Chesapeake Energy Corp. | Receive | 5.00% | 6/20/22 | $ (4,500) | $ (28,477) | $ (32,977) |
25,000 | Goldman Sachs International | Chesapeake Energy Corp. | Receive | 5.00% | 6/20/22 | (3,062) | (17,549) | (20,611) |
40,000 | Goldman Sachs International | Chesapeake Energy Corp. | Receive | 5.00% | 6/20/22 | (4,900) | (28,077) | (32,977) |
TOTAL OVER THE COUNTER (OTC) CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION | $ (12,462) | $ (74,103) | $ (86,565) | |||||
TOTAL SWAP CONTRACTS | $ 8,914 | $(127,981) | $(119,067) |
(1) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event. |
(2) | Receives Quarterly. |
Principal amounts are denominated in U.S. dollars ("USD") unless otherwise noted. | ||
EUR | - | Euro |
Various inputs are used in determining the value of the Portfolio'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 Portfolio's own assumptions in determining fair value of investments). |
The following is a summary of the inputs used as of March 31, 2020, in valuing the Portfolio's investments: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Transportation Infrastructure | $ | – | $ | 3,413 | $ | – | $ | 3,413 | ||||||||
All Other Common Stock | 23,666 | – | – | 23,666 | ||||||||||||
Convertible Preferred Stock | 121,032 | – | – | 121,032 | ||||||||||||
Commercial Mortgage-Backed Security | – | 104,671 | – | 104,671 | ||||||||||||
Convertible Corporate Bonds | – | 1,382,900 | – | 1,382,900 | ||||||||||||
Corporate Bonds | – | 28,512,383 | – | 28,512,383 | ||||||||||||
Insurance-Linked Securities | ||||||||||||||||
Reinsurance Sidecars | ||||||||||||||||
Multiperil - Worldwide | – | – | 26,846 | 26,846 | ||||||||||||
Senior Secured Floating Rate Loan Interests | – | 1,230,166 | – | 1,230,166 | ||||||||||||
U.S. Government and Agency Obligation | – | 500,148 | – | 500,148 | ||||||||||||
Rights/Warrants | ||||||||||||||||
Health Care Providers & Services | – | – | 255 | 255 | ||||||||||||
Affiliated Closed-End Fund | – | 1,035,094 | – | 1,035,094 | ||||||||||||
Total Investments in Securities | $ | 144,698 | $ | 32,768,775 | $ | 27,101 | $ | 32,940,574 | ||||||||
Other Financial Instruments | ||||||||||||||||
Swap contracts, at value | $ | – | $ | (119,067 | ) | $ | – | $ | (119,067 | ) | ||||||
Total Other Financial Instruments | $ | – | $ | (119,067 | ) | $ | – | $ | (119,067 | ) |
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
Insurance-Linked Securities | Warrants | Total | ||||||||||
Balance as of 12/31/19 | $ | 27,503 | $ | 185 | $ | 27,688 | ||||||
Realized gain (loss) | – | -- | – | |||||||||
Change in unrealized appreciation (depreciation) | 2,687 | 70 | 2,757 | |||||||||
Accrued discounts/premiums | – | -- | -- | |||||||||
Purchases | – | -- | – | |||||||||
Sales | (3,344 | ) | -- | (3,344 | ) | |||||||
Transfers in to Level 3* | – | -- | -- | |||||||||
Transfers out of Level 3* | -- | – | -- | |||||||||
Balance as of 3/31/20 | $ | 26,846 | $ | 255 | $ | 27,101 |
* Transfers are calculated on the beginning of period value. For the three months ended March 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 March 31, 2020: $2,757.