|
Pioneer Diversified
|
||
|
High Income Trust
|
||
|
NQ| January 31, 2019
|
||
|
Ticker Symbol: HNW
|
|
Shares
|
Value
|
||||
|
UNAFFILIATED ISSUERS – 144.0%
|
|||||
|
COMMON STOCKS - 0.1% of Net Assets
|
|||||
|
Health Care Technology - 0.0%†
|
|||||
|
69,875^(a)
|
Medical Card System, Inc.
|
$699
|
|||
|
Total Health Care Technology
|
$699
|
||||
|
Household Durables - 0.0%†
|
|||||
|
89,094(a)
|
Desarrolladora Homex SAB de CV
|
$759
|
|||
|
Total Household Durables
|
$759
|
||||
|
Oil, Gas & Consumable Fuels - 0.0%†
|
|||||
|
11,059(a)
|
PetroQuest Energy, Inc.
|
$110
|
|||
|
Total Oil, Gas & Consumable Fuels
|
$110
|
||||
|
Specialty Retail - 0.1%
|
|||||
|
42,088^(a)
|
Targus Cayman SubCo., Ltd.
|
$87,543
|
|||
|
Total Specialty Retail
|
$87,543
|
||||
|
TOTAL COMMON STOCKS
|
|||||
|
(Cost $218,612)
|
$89,111
|
||||
|
CONVERTIBLE PREFERRED STOCK - 0.7% of Net Assets
|
|||||
|
Banks - 0.7%
|
|||||
|
770(b)
|
Bank of America Corp., 7.25%
|
$995,733
|
|||
|
Total Banks
|
$995,733
|
||||
|
TOTAL CONVERTIBLE PREFERRED STOCK
|
|||||
|
(Cost $739,352)
|
$995,733
|
||||
|
PREFERRED STOCKS - 1.2% of Net Assets
|
|||||
|
Banks - 0.8%
|
|||||
|
40,675(c)
|
GMAC Capital Trust I, 8.401% (3 Month USD LIBOR + 579 bps), 2/15/40
|
$1,062,024
|
|||
|
Total Banks
|
$1,062,024
|
||||
|
Chemicals - 0.0%†
|
|||||
|
455,230^(a)
|
Pinnacle Agriculture
|
$45,523
|
|||
|
Total Chemicals
|
$45,523
|
||||
|
Diversified Financial Services - 0.4%
|
|||||
|
500(b)(c)
|
Compeer Financial ACA, 6.75% (3 Month USD LIBOR + 458 bps) (144A)
|
$512,500
|
|||
|
Total Diversified Financial Services
|
$512,500
|
||||
|
TOTAL PREFERRED STOCKS
|
|||||
|
(Cost $1,810,580)
|
$1,620,047
|
||||
|
Principal
Amount USD ($) |
Value
|
||||
|
ASSET BACKED SECURITIES - 0.5% of Net Assets
|
|||||
|
290,000(c)
|
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
|
$200,540
|
|||
|
500,000
|
VB-S1 Issuer LLC, Series 2016-1A, Class F, 6.901%, 6/15/46 (144A)
|
518,669
|
|||
|
TOTAL ASSET BACKED SECURITIES
|
|||||
|
(Cost $780,571)
|
$719,209
|
||||
|
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.0%† of Net Assets
|
|||||
|
34,251
|
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A)
|
$24,298
|
|||
|
66,151
|
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32 (144A)
|
358
|
|||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|||||
|
(Cost $94,939)
|
$24,656
|
||||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.5% of Net Assets
|
|||||
|
200,000+(c)
|
BAMLL Commercial Mortgage Securities Trust, Series 2016-FR14, Class C, 1.354%, 2/27/48 (144A)
|
$179,000
|
|||
|
102,395(c)
|
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41
|
101,852
|
|||
|
500,000(c)
|
COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class C, 5.646%, 4/15/47
|
491,875
|
|||
|
64,693(c)
|
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class C, 5.657%, 5/15/46
|
64,750
|
|||
|
250,000(d)
|
COMM Mortgage Trust, Series 2014-FL5, Class D, 3.842% (1 Month USD LIBOR + 400 bps), 10/15/31 (144A)
|
244,812
|
|||
|
400,000(c)
|
COMM Mortgage Trust, Series 2014-UBS4, Class D, 4.687%, 8/10/47 (144A)
|
354,164
|
|||
|
500,000(c)
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D, 4.169%, 4/15/46
|
431,301
|
|||
|
300,000(c)
|
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class D, 4.891%, 1/15/47 (144A)
|
296,793
|
|||
|
250,000(c)
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class D, 4.703%, 8/15/47 (144A)
|
229,601
|
|||
|
288,824(c)
|
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49
|
292,001
|
|||
|
250,000
|
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class D, 3.0%, 8/15/49 (144A)
|
208,017
|
|||
|
400,000(c)
|
WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 5.231%, 6/15/44 (144A)
|
389,418
|
|||
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|||||
|
(Cost $3,235,087)
|
$3,283,584
|
||||
|
CONVERTIBLE CORPORATE BOND - 1.4% of Net Assets
|
|||||
|
Chemicals - 1.4%
|
|||||
|
1,900,000(e)
|
Hercules LLC, 6.5%, 6/30/29
|
$1,914,250
|
|||
|
Total Chemicals
|
$1,914,250
|
||||
|
TOTAL CONVERTIBLE CORPORATE BOND
|
|||||
|
(Cost $1,286,302)
|
$1,914,250
|
||||
|
CORPORATE BONDS - 71.8% of Net Assets
|
|||||
|
Advertising - 1.0%
|
|||||
|
1,448,000
|
MDC Partners, Inc., 6.5%, 5/1/24 (144A)
|
$1,318,115
|
|||
|
Total Advertising
|
$1,318,115
|
||||
|
Principal
Amount USD ($) |
Value
|
||||
|
Airlines - 0.2%
|
|||||
|
300,000
|
Latam Finance, Ltd., 6.875%, 4/11/24 (144A)
|
$302,700
|
|||
|
Total Airlines
|
$302,700
|
||||
|
Auto Parts & Equipment - 0.8%
|
|||||
|
EUR
|
395,000(f)
|
IHO Verwaltungs GmbH, 3.75% (4.5% PIK 0.0% cash), 9/15/26 (144A)
|
$425,956
|
||
|
712,000
|
Titan International, Inc., 6.5%, 11/30/23
|
653,260
|
|||
|
Total Auto Parts & Equipment
|
$1,079,216
|
||||
|
Banks – 6.0%
|
|||||
|
200,000
|
Access Bank Plc, 10.5%, 10/19/21 (144A)
|
$215,790
|
|||
|
300,000(c)
|
Banco de Galicia y Buenos Aires SA, 8.25% (5 Year CMT Index + 716 bps), 7/19/26 (144A)
|
288,678
|
|||
|
200,000(b)(c)
|
Banco Santander SA, 6.375% (5 Year USD Swap Rate + 479 bps)
|
195,946
|
|||
|
1,000,000(b)(c)
|
Barclays Plc, 7.75% (5 Year USD Swap Rate + 484 bps)
|
997,080
|
|||
|
950,000(b)(c)
|
BNP Paribas SA, 7.625% (5 Year USD Swap Rate + 631 bps) (144A)
|
1,000,093
|
|||
|
480,000
|
Freedom Mortgage Corp., 8.125%, 11/15/24 (144A)
|
440,400
|
|||
|
1,310,000
|
Freedom Mortgage Corp., 8.25%, 4/15/25 (144A)
|
1,198,650
|
|||
|
240,000(b)(c)
|
Goldman Sachs Capital II, 4.0% (3 Month USD LIBOR + 77 bps)
|
177,000
|
|||
|
350,000(b)(c)
|
ING Groep NV, 6.5% (5 Year USD Swap Rate + 445 bps)
|
342,405
|
|||
|
225,000(b)(c)
|
Intesa Sanpaolo S.p.A., 7.7% (5 Year USD Swap Rate + 546 bps) (144A)
|
206,156
|
|||
|
IDR
|
812,959,000^
|
PT Bakrie & Brothers Tbk, 0.0%, 12/22/22
|
5,818
|
||
|
250,000(b)(c)
|
Royal Bank of Scotland Group Plc, 8.0% (5 Year USD Swap Rate + 572 bps)
|
261,500
|
|||
|
400,000(b)(c)
|
Royal Bank of Scotland Group Plc, 8.625% (5 Year USD Swap Rate + 760 bps)
|
425,880
|
|||
|
200,000
|
Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (144A)
|
199,994
|
|||
|
460,000(b)(c)
|
Societe Generale SA, 7.375% (5 Year USD Swap Rate + 624 bps) (144A)
|
475,180
|
|||
|
344,000(c)
|
Turkiye Vakiflar Bankasi TAO, 8.0% (5 Year USD Swap Rate + 585 bps), 11/1/27 (144A)
|
294,656
|
|||
|
750,000
|
UBS AG, 7.625%, 8/17/22
|
822,188
|
|||
|
450,000
|
Vnesheconombank Via VEB Finance Plc, 6.902%, 7/9/20 (144A)
|
460,575
|
|||
|
Total Banks
|
$8,007,989
|
||||
|
Building Materials - 0.2%
|
|||||
|
215,000
|
Cemex SAB de CV, 7.75%, 4/16/26 (144A)
|
$232,200
|
|||
|
Total Building Materials
|
$232,200
|
||||
|
Chemicals - 1.3%
|
|||||
|
300,000
|
Basell Finance Co. BV, 8.1%, 3/15/27 (144A)
|
$360,724
|
|||
|
55,000
|
Blue Cube Spinco LLC, 9.75%, 10/15/23
|
61,325
|
|||
|
55,000
|
Blue Cube Spinco LLC, 10.0%, 10/15/25
|
62,837
|
|||
|
200,000
|
CVR Partners LP/CVR Nitrogen Finance Corp., 9.25%, 6/15/23 (144A)
|
209,000
|
|||
|
375,000
|
Kraton Polymers LLC/Kraton Polymers Capital Corp., 7.0%, 4/15/25 (144A)
|
365,625
|
|||
|
444,769
|
Pinnacle Operating Corp., 9.0%, 5/15/23 (144A)
|
240,175
|
|||
|
336,000
|
Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 4/1/25 (144A)
|
297,568
|
|||
|
Total Chemicals
|
$1,597,254
|
||||
|
Coal - 0.4%
|
|||||
|
497,000
|
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 (144A)
|
$482,090
|
|||
|
Total Coal
|
$482,090
|
||||
|
Commercial Services – 0.9%
|
|||||
|
MXN
|
4,500,000
|
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A)
|
$221,090
|
||
|
540,000
|
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary, 7.875%, 6/1/21
|
480,600
|
|||
|
411,000
|
Verscend Escrow Corp., 9.75%, 8/15/26 (144A)
|
413,795
|
|||
|
Total Commercial Services
|
$1,115,485
|
||||
|
Computers - 0.1%
|
|||||
|
130,000
|
Dell International LLC/EMC Corp., 7.125%, 6/15/24 (144A)
|
$137,157
|
|||
|
Total Computers
|
$137,157
|
||||
|
Distribution & Wholesale - 0.4%
|
|||||
|
480,000
|
Global Partners LP/GLP Finance Corp., 7.0%, 6/15/23
|
$468,000
|
|||
|
Total Distribution & Wholesale
|
$468,000
|
||||
|
Diversified Financial Services - 9.3%
|
|||||
|
588,000
|
Avation Capital SA, 6.5%, 5/15/21 (144A)
|
$585,795
|
|||
|
600,000
|
Credito Real SAB de CV SOFOM ER, 7.25%, 7/20/23 (144A)
|
590,250
|
|||
|
880,000
|
Financiera Independencia SAB de CV SOFOM ENR, 8.0%, 7/19/24 (144A)
|
607,200
|
|||
|
6,000,000^(g)
|
Fixed Income Trust, 0.0%, 10/15/97 (144A)
|
7,651,154
|
|||
|
445,000
|
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
|
446,113
|
|||
|
500,000
|
Mongolian Mortgage Corp. Hfc LLC, 9.75%, 1/29/22 (144A)
|
500,625
|
|||
|
499,000
|
Nationstar Mortgage Holdings, Inc., 8.125%, 7/15/23 (144A)
|
505,088
|
|||
|
175,000
|
Nationstar Mortgage LLC/Nationstar Capital Corp., 6.5%, 7/1/21
|
174,562
|
|||
|
580,000
|
Nationstar Mortgage LLC/Nationstar Capital Corp., 6.5%, 6/1/22
|
571,300
|
|||
|
615,000
|
Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 12/15/22 (144A)
|
622,688
|
|||
|
Total Diversified Financial Services
|
$12,254,775
|
||||
|
Electric - 4.0%
|
|||||
|
400,000
|
Cemig Geracao e Transmissao SA, 9.25%, 12/5/24 (144A)
|
$437,300
|
|||
|
575,000
|
Centrais Eletricas Brasileiras SA, 5.75%, 10/27/21
|
587,075
|
|||
|
460,000(c)
|
Enel S.p.A., 8.75% (5 Year USD Swap Rate + 588 bps), 9/24/73 (144A)
|
492,200
|
|||
|
1,275,000
|
Light Servicos de Eletricidade SA/Light Energia SA, 7.25%, 5/3/23 (144A)
|
1,277,802
|
|||
|
570,000
|
NRG Energy, Inc., 6.625%, 1/15/27
|
600,050
|
|||
|
320,000
|
NRG Energy, Inc., 7.25%, 5/15/26
|
345,856
|
|||
|
209,547
|
NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25 (144A)
|
223,167
|
|||
|
Principal
Amount USD ($) |
Value
|
||||
|
Electric - (continued)
|
|||||
|
361,356
|
Stoneway Capital Corp., 10.0%, 3/1/27 (144A)
|
$339,675
|
|||
|
13,000
|
Talen Energy Supply LLC, 4.6%, 12/15/21
|
11,895
|
|||
|
633,000
|
Vistra Energy Corp., 8.0%, 1/15/25 (144A)
|
675,728
|
|||
|
357,000
|
Vistra Operations Co. LLC, 5.625%, 2/15/27 (144A)
|
358,785
|
|||
|
Total Electric
|
$5,349,533
|
||||
|
Energy-Alternate Sources - 0.5%
|
|||||
|
585,000(g)
|
TerraForm Power Operating LLC, 6.625%, 6/15/25 (144A)
|
$614,250
|
|||
|
Total Energy-Alternate Sources
|
$614,250
|
||||
|
Engineering & Construction - 0.3%
|
|||||
|
455,000
|
Tutor Perini Corp., 6.875%, 5/1/25 (144A)
|
$450,004
|
|||
|
Total Engineering & Construction
|
$450,004
|
||||
|
Entertainment - 2.3%
|
|||||
|
200,000
|
Cirsa Finance International S.a.r.l., 7.875%, 12/20/23 (144A)
|
$202,950
|
|||
|
755,000
|
Enterprise Development Authority, 12.0%, 7/15/24 (144A)
|
711,587
|
|||
|
305,000
|
International Game Technology Plc, 6.25%, 1/15/27 (144A)
|
309,194
|
|||
|
EUR
|
750,000
|
Intralot Capital Luxembourg SA, 6.75%, 9/15/21 (144A)
|
693,537
|
||
|
100,000
|
Scientific Games International, Inc., 6.25%, 9/1/20
|
98,500
|
|||
|
1,050,000
|
Scientific Games International, Inc., 10.0%, 12/1/22
|
1,103,812
|
|||
|
Total Entertainment
|
$3,119,580
|
||||
|
Environmental Control - 0.8%
|
|||||
|
506,000
|
Covanta Holding Corp., 6.0%, 1/1/27
|
$484,495
|
|||
|
581,000
|
Tervita Escrow Corp., 7.625%, 12/1/21 (144A)
|
570,832
|
|||
|
Total Environmental Control
|
$1,055,327
|
||||
|
Food - 3.5%
|
|||||
|
300,000
|
Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertson's LLC, 7.5%, 3/15/26 (144A)
|
$300,750
|
|||
|
200,000
|
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A)
|
197,000
|
|||
|
655,000
|
JBS Investments GmbH, 7.25%, 4/3/24 (144A)
|
677,316
|
|||
|
975,000
|
Marfrig Holdings Europe BV, 8.0%, 6/8/23 (144A)
|
1,004,835
|
|||
|
700,000
|
Marfrig Holdings Europe BV, 11.25%, 9/20/21 (144A)
|
715,750
|
|||
|
580,000
|
Minerva Luxembourg SA, 6.5%, 9/20/26 (144A)
|
555,350
|
|||
|
600,000
|
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)
|
595,575
|
|||
|
652,000
|
Pilgrim's Pride Corp., 5.875%, 9/30/27 (144A)
|
629,180
|
|||
|
Total Food
|
$4,675,756
|
||||
|
Forest Products & Paper - 0.9%
|
|||||
|
390,000
|
Eldorado International Finance GmbH, 8.625%, 6/16/21 (144A)
|
$406,286
|
|||
|
150,000
|
Koppers, Inc., 6.0%, 2/15/25 (144A)
|
133,500
|
|||
|
754,000
|
Schweitzer-Mauduit International, Inc., 6.875%, 10/1/26 (144A)
|
723,840
|
|||
|
Total Forest Products & Paper
|
$1,263,626
|
||||
|
Healthcare-Products - 0.1%
|
|||||
|
167,000
|
Agiliti Health, Inc., 7.625%, 8/15/20
|
$167,000
|
|||
|
Total Healthcare-Products
|
$167,000
|
||||
|
Healthcare-Services - 1.0%
|
|||||
|
810,000
|
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/1/23 (144A)
|
$854,550
|
|||
|
455,000
|
Team Health Holdings, Inc., 6.375%, 2/1/25 (144A)
|
370,825
|
|||
|
Total Healthcare-Services
|
$1,225,375
|
||||
|
Home Builders - 0.8%
|
|||||
|
135,000
|
Beazer Homes USA, Inc., 8.75%, 3/15/22
|
$141,142
|
|||
|
350,000
|
Brookfield Residential Properties, Inc., 6.375%, 5/15/25 (144A)
|
329,000
|
|||
|
250,000
|
KB Home, 7.0%, 12/15/21
|
262,813
|
|||
|
340,000
|
KB Home, 7.625%, 5/15/23
|
357,425
|
|||
|
Total Home Builders
|
$1,090,380
|
||||
|
Home Furnishings - 0.8%
|
|||||
|
EUR
|
930,000
|
International Design Group S.p.A., 6.5%, 11/15/25 (144A)
|
$1,013,782
|
||
|
Total Home Furnishings
|
$1,013,782
|
||||
|
Hotels, Restaurants & Leisure - 0.7%
|
|||||
|
495,000
|
Golden Nugget, Inc., 6.75%, 10/15/24 (144A)
|
$495,000
|
|||
|
470,000
|
Golden Nugget, Inc., 8.75%, 10/1/25 (144A)
|
481,750
|
|||
|
Total Hotels, Restaurants & Leisure
|
$976,750
|
||||
|
Internet - 1.4%
|
|||||
|
EUR
|
1,730,000
|
eDreams ODIGEO SA, 5.5%, 9/1/23 (144A)
|
$1,911,077
|
||
|
Total Internet
|
$1,911,077
|
||||
|
Iron & Steel - 0.8%
|
|||||
|
1,093,000
|
Metinvest BV, 7.75%, 4/23/23 (144A)
|
$1,041,083
|
|||
|
48,000
|
United States Steel Corp., 6.25%, 3/15/26
|
43,500
|
|||
|
Total Iron & Steel
|
$1,084,583
|
||||
|
Leisure Time - 0.4%
|
|||||
|
250,000
|
Silversea Cruise Finance, Ltd., 7.25%, 2/1/25 (144A)
|
$267,813
|
|||
|
245,000
|
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)
|
245,000
|
|||
|
Total Leisure Time
|
$512,813
|
||||
|
Media - 1.7%
|
|||||
|
250,000
|
Altice Finco SA, 8.125%, 1/15/24 (144A)
|
$246,250
|
|||
|
425,000
|
Altice France SA, 6.25%, 5/15/24 (144A)
|
416,627
|
|||
|
200,000
|
Altice France SA, 8.125%, 2/1/27 (144A)
|
196,480
|
|||
|
300,000
|
Altice Luxembourg SA, 7.75%, 5/15/22 (144A)
|
291,000
|
|||
|
315,000
|
CSC Holdings LLC, 5.5%, 4/15/27 (144A)
|
307,906
|
|||
|
Principal
Amount USD ($) |
Value
|
||||
|
Media - (continued)
|
|||||
|
855,000
|
TEGNA, Inc., 6.375%, 10/15/23
|
$867,825
|
|||
|
Total Media
|
$2,326,088
|
||||
|
Metal Fabricate & Hardware - 0.4%
|
|||||
|
615,000
|
Novelis Corp., 5.875%, 9/30/26 (144A)
|
$593,475
|
|||
|
Total Metal Fabricate & Hardware
|
$593,475
|
||||
|
Mining - 2.1%
|
|||||
|
210,000
|
Alcoa Nederland Holding BV, 6.125%, 5/15/28 (144A)
|
$212,625
|
|||
|
330,000
|
Aleris International, Inc., 10.75%, 7/15/23 (144A)
|
341,550
|
|||
|
141,763(f)
|
Boart Longyear Management Pty, Ltd., 10.0% (12.0% PIK 10.0% cash), 12/31/22
|
127,587
|
|||
|
500,000
|
First Quantum Minerals, Ltd., 6.875%, 3/1/26 (144A)
|
453,125
|
|||
|
425,000
|
First Quantum Minerals, Ltd., 7.25%, 4/1/23 (144A)
|
406,942
|
|||
|
200,000
|
Hudbay Minerals, Inc., 7.25%, 1/15/23 (144A)
|
206,000
|
|||
|
589,000
|
Hudbay Minerals, Inc., 7.625%, 1/15/25 (144A)
|
605,198
|
|||
|
70,000
|
Teck Resources, Ltd., 8.5%, 6/1/24 (144A)
|
75,424
|
|||
|
375,000
|
Vedanta Resources Plc, 6.375%, 7/30/22 (144A)
|
362,063
|
|||
|
Total Mining
|
$2,790,514
|
||||
|
Multi-National - 0.3%
|
|||||
|
200,000
|
Banque Ouest Africaine de Developpement, 5.0%, 7/27/27 (144A)
|
$195,500
|
|||
|
IDR
|
2,730,000,000
|
European Investment Bank, 7.2%, 7/9/19 (144A)
|
194,426
|
||
|
Total Multi-National
|
$389,926
|
||||
|
Oil & Gas - 11.4%
|
|||||
|
95,000
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.0%, 4/1/22 (144A)
|
$101,531
|
|||
|
669,000
|
Calumet Specialty Products Partners LP/Calumet Finance Corp., 6.5%, 4/15/21
|
627,187
|
|||
|
460,000
|
Chaparral Energy, Inc., 8.75%, 7/15/23 (144A)
|
354,200
|
|||
|
308,000
|
Comstock Resources, Inc., 9.75%, 8/15/26 (144A)
|
284,900
|
|||
|
795,000
|
Covey Park Energy LLC/Covey Park Finance Corp., 7.5%, 5/15/25 (144A)
|
735,375
|
|||
|
410,000
|
Great Western Petroleum LLC/Great Western Finance Corp., 9.0%, 9/30/21 (144A)
|
365,925
|
|||
|
740,000
|
Gulfport Energy Corp., 6.0%, 10/15/24
|
695,600
|
|||
|
450,000
|
Gulfport Energy Corp., 6.375%, 5/15/25
|
426,375
|
|||
|
402,000
|
Halcon Resources Corp., 6.75%, 2/15/25
|
309,540
|
|||
|
585,000
|
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.625%, 2/15/26 (144A)
|
579,150
|
|||
|
950,000
|
Indigo Natural Resources LLC, 6.875%, 2/15/26 (144A)
|
831,250
|
|||
|
420,000
|
MEG Energy Corp., 6.5%, 1/15/25 (144A)
|
412,650
|
|||
|
603,000
|
Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A)
|
582,649
|
|||
|
701,750(f)
|
Northern Oil & Gas, Inc., 9.5% (1.0% PIK 8.5% cash), 5/15/23
|
717,540
|
|||
|
1,045,000
|
Nostrum Oil & Gas Finance BV, 8.0%, 7/25/22 (144A)
|
701,874
|
|||
|
450,000
|
Novatek OAO via Novatek Finance, DAC, 4.422%, 12/13/22 (144A)
|
444,433
|
|||
|
369,000
|
Oasis Petroleum, Inc., 6.875%, 3/15/22
|
368,078
|
|||
|
200,000
|
PBF Holding Co. LLC/PBF Finance Corp., 7.0%, 11/15/23
|
200,440
|
|||
|
410,000
|
Petrobras Global Finance BV, 6.25%, 3/17/24
|
431,422
|
|||
|
650,000
|
Petrobras Global Finance BV, 7.375%, 1/17/27
|
705,153
|
|||
|
390,000
|
Petroleum Co. of Trinidad & Tobago, Ltd., 9.75%, 8/14/19 (144A)
|
368,550
|
|||
|
571,627(f)
|
PetroQuest Energy, Inc., 10.0% (9.0% PIK 1.0% cash), 2/15/21
|
165,772
|
|||
|
600,000
|
Precision Drilling Corp., 7.125%, 1/15/26 (144A)
|
549,000
|
|||
|
707,000
|
SEPLAT Petroleum Development Co. Plc, 9.25%, 4/1/23 (144A)
|
721,140
|
|||
|
815,000
|
Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A)
|
739,613
|
|||
|
860,000
|
Transocean, Inc., 7.25%, 11/1/25 (144A)
|
812,700
|
|||
|
120,000
|
Transocean, Inc., 7.5%, 1/15/26 (144A)
|
114,150
|
|||
|
160,000
|
Trinidad Drilling, Ltd., 6.625%, 2/15/25 (144A)
|
161,600
|
|||
|
480,000
|
Whiting Petroleum Corp., 5.75%, 3/15/21
|
480,000
|
|||
|
100,000
|
Whiting Petroleum Corp., 6.625%, 1/15/26
|
98,000
|
|||
|
150,000
|
WPX Energy, Inc., 8.25%, 8/1/23
|
166,875
|
|||
|
995,000
|
YPF SA, 6.95%, 7/21/27 (144A)
|
890,973
|
|||
|
ARS
|
7,750,000
|
YPF SA, 16.5%, 5/9/22 (144A)
|
131,468
|
||
|
Total Oil & Gas
|
$15,275,113
|
||||
|
Oil & Gas Services - 1.6%
|
|||||
|
540,000
|
Archrock Partners LP/Archrock Partners Finance Corp., 6.0%, 10/1/22
|
$526,500
|
|||
|
1,168,000
|
Calfrac Holdings LP, 8.5%, 6/15/26 (144A)
|
876,000
|
|||
|
750,000
|
KCA Deutag UK Finance Plc, 9.625%, 4/1/23 (144A)
|
566,250
|
|||
|
170,000
|
SESI LLC, 7.75%, 9/15/24
|
133,025
|
|||
|
Total Oil & Gas Services
|
$2,101,775
|
||||
|
Packaging & Containers - 0.8%
|
|||||
|
100,000(f)
|
ARD Finance SA, 7.125% (7.875% PIK 0.0% cash), 9/15/23
|
$96,500
|
|||
|
320,000
|
Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 7.25%, 5/15/24 (144A)
|
330,800
|
|||
|
630,000
|
Intertape Polymer Group, Inc., 7.0%, 10/15/26 (144A)
|
630,000
|
|||
|
Total Packaging & Containers
|
$1,057,300
|
||||
|
Pharmaceuticals - 2.4%
|
|||||
|
EUR
|
345,000
|
Bausch Health Cos., Inc., 4.5%, 5/15/23 (144A)
|
$390,442
|
||
|
EUR
|
450,000
|
Bausch Health Cos., Inc., 4.5%, 5/15/23
|
509,273
|
||
|
494,000
|
Bausch Health Cos., Inc., 5.875%, 5/15/23 (144A)
|
483,502
|
|||
|
430,000
|
Bausch Health Cos., Inc., 7.0%, 3/15/24 (144A)
|
451,758
|
|||
|
425,000
|
BioScrip, Inc., 8.875%, 2/15/21
|
411,187
|
|||
|
Principal
Amount USD ($) |
Value
|
||||
|
Pharmaceuticals - (continued)
|
|||||
|
650,000
|
Endo, Dac/Endo Finance LLC/Endo Finco, Inc., 6.0%, 7/15/23 (144A)
|
$531,128
|
|||
|
240,000
|
Endo, Dac/Endo Finance LLC/Endo Finco, Inc., 6.0%, 2/1/25 (144A)
|
185,400
|
|||
|
225,000
|
Horizon Pharma USA, Inc., 6.625%, 5/1/23
|
223,875
|
|||
|
70,000
|
Horizon Pharma USA, Inc., 8.75%, 11/1/24 (144A)
|
73,990
|
|||
|
Total Pharmaceuticals
|
$3,260,555
|
||||
|
Pipelines - 4.4%
|
|||||
|
500,000
|
American Midstream Partners LP/American Midstream Finance Corp., 9.5%, 12/15/21 (144A)
|
$465,000
|
|||
|
220,000
|
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/22 (144A)
|
222,200
|
|||
|
310,000
|
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.625%, 7/15/26 (144A)
|
304,963
|
|||
|
200,000
|
Cheniere Corpus Christi Holdings LLC, 7.0%, 6/30/24
|
219,250
|
|||
|
230,000
|
DCP Midstream Operating LP, 5.6%, 4/1/44
|
208,725
|
|||
|
555,000
|
Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75%, 5/15/25
|
549,450
|
|||
|
450,000(d)
|
Energy Transfer Operating LP, 5.754% (3 Month USD LIBOR + 302 bps), 11/1/66
|
360,000
|
|||
|
118,000
|
EnLink Midstream Partners LP, 5.05%, 4/1/45
|
97,055
|
|||
|
344,000
|
EnLink Midstream Partners LP, 5.6%, 4/1/44
|
294,120
|
|||
|
950,000
|
Genesis Energy LP/Genesis Energy Finance Corp., 6.75%, 8/1/22
|
953,990
|
|||
|
935,000
|
PBF Logistics LP/PBF Logistics Finance Corp., 6.875%, 5/15/23
|
952,531
|
|||
|
1,175,000
|
Williams Cos., Inc., 5.75%, 6/24/44
|
1,238,665
|
|||
|
Total Pipelines
|
$5,865,949
|
||||
|
REITS - 1.1%
|
|||||
|
1,520,000
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23
|
$1,406,000
|
|||
|
Total REITS
|
$1,406,000
|
||||
|
Retail - 0.5%
|
|||||
|
350,000
|
Neiman Marcus Group, Ltd. LLC, 8.0%, 10/15/21 (144A)
|
$158,375
|
|||
|
677,000
|
PetSmart, Inc., 5.875%, 6/1/25 (144A)
|
531,648
|
|||
|
Total Retail
|
$690,023
|
||||
|
Semiconductors - 0.2%
|
|||||
|
200,000
|
Micron Technology, Inc., 5.5%, 2/1/25
|
$202,818
|
|||
|
Total Semiconductors
|
$202,818
|
||||
|
Software - 0.4%
|
|||||
|
601,000
|
Rackspace Hosting, Inc., 8.625%, 11/15/24 (144A)
|
$504,840
|
|||
|
Total Software
|
$504,840
|
||||
|
Telecommunications - 5.0%
|
|||||
|
300,000
|
Cincinnati Bell, Inc., 7.0%, 7/15/24 (144A)
|
$258,000
|
|||
|
325,000
|
Cincinnati Bell, Inc., 8.0%, 10/15/25 (144A)
|
281,937
|
|||
|
280,000
|
CommScope Technologies LLC, 6.0%, 6/15/25 (144A)
|
263,900
|
|||
|
115,805
|
Digicel Group One, Ltd., 8.25%, 12/30/22 (144A)
|
95,539
|
|||
|
109,194
|
Digicel Group Two, Ltd., 8.25%, 9/30/22 (144A)
|
58,419
|
|||
|
750,000
|
Digicel, Ltd., 6.75%, 3/1/23
|
612,900
|
|||
|
500,000
|
Frontier Communications Corp., 8.5%, 4/1/26 (144A)
|
453,625
|
|||
|
1,165,000
|
Frontier Communications Corp., 8.75%, 4/15/22
|
780,550
|
|||
|
290,000
|
Frontier Communications Corp., 11.0%, 9/15/25
|
186,869
|
|||
|
200,000
|
Mobile Telesystems OJSC via MTS International Funding, Ltd., 5.0%, 5/30/23 (144A)
|
199,094
|
|||
|
340,000
|
Sprint Corp., 7.125%, 6/15/24
|
347,862
|
|||
|
485,000
|
Sprint Corp., 7.25%, 9/15/21
|
509,250
|
|||
|
850,000
|
Sprint Corp., 7.625%, 3/1/26
|
882,938
|
|||
|
250,000
|
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
|
248,229
|
|||
|
1,300,000
|
Windstream Services LLC/Windstream Finance Corp., 8.625%, 10/31/25 (144A)
|
1,225,250
|
|||
|
529,000
|
Windstream Services LLC/Windstream Finance Corp., 8.75%, 12/15/24 (144A)
|
259,210
|
|||
|
Total Telecommunications
|
$6,663,572
|
||||
|
Textiles - 0.2%
|
|||||
|
455,000
|
Grupo Kaltex SA de CV, 8.875%, 4/11/22 (144A)
|
$300,305
|
|||
|
Total Textiles
|
$300,305
|
||||
|
Transportation - 0.4%
|
|||||
|
200,000
|
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 3/30/29 (144A)
|
$199,300
|
|||
|
375,000
|
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)
|
350,625
|
|||
|
Total Transportation
|
$549,925
|
||||
|
TOTAL CORPORATE BONDS
|
|||||
|
(Cost $94,705,704)
|
$95,482,995
|
||||
|
FOREIGN GOVERNMENT BONDS - 4.0% of Net Assets
|
|||||
|
Angola - 0.3%
|
|||||
|
448,000
|
Angolan Government International Bond, 8.25%, 5/9/28 (144A)
|
$461,332
|
|||
|
Total Angola
|
$461,332
|
||||
|
Argentina - 1.4%
|
|||||
|
153,040
|
Province of Salta Argentina, 9.5%, 3/16/22 (144A)
|
$150,936
|
|||
|
360,000
|
Provincia de Buenos Aires, 9.125%, 3/16/24 (144A)
|
326,884
|
|||
|
230,000
|
Provincia de Buenos Aires, 9.95%, 6/9/21 (144A)
|
224,597
|
|||
|
670,000
|
Provincia de Entre Rios Argentina, 8.75%, 2/8/25 (144A)
|
524,409
|
|||
|
785,000
|
Provincia del Chubut Argentina, 7.75%, 7/26/26 (144A)
|
682,950
|
|||
|
Total Argentina
|
$1,909,776
|
||||
|
Bahrain - 0.2%
|
|||||
|
300,000
|
Bahrain Government International Bond, 7.0%, 10/12/28 (144A)
|
$309,924
|
|||
|
Total Bahrain
|
$309,924
|
||||
|
Principal
Amount USD ($) |
Value
|
||||
|
Kenya - 0.4%
|
|||||
|
500,000
|
Kenya Government International Bond, 6.875%, 6/24/24 (144A)
|
$498,950
|
|||
|
Total Kenya
|
$498,950
|
||||
|
Mexico - 0.8%
|
|||||
|
MXN
|
970,000
|
Mexican Bonos, 7.75%, 11/13/42
|
$45,488
|
||
|
MXN
|
18,385,500
|
Mexican Bonos, 8.0%, 12/7/23
|
952,587
|
||
|
Total Mexico
|
$998,075
|
||||
|
Turkey - 0.3%
|
|||||
|
475,000
|
Turkey Government International Bond, 3.25%, 3/23/23
|
$432,250
|
|||
|
Total Turkey
|
$432,250
|
||||
|
Ukraine - 0.6%
|
|||||
|
750,000
|
Ukraine Government International Bond, 8.994%, 2/1/24 (144A)
|
$736,875
|
|||
|
Total Ukraine
|
$736,875
|
||||
|
TOTAL FOREIGN GOVERNMENT BONDS
|
|||||
|
(Cost $5,503,333)
|
$5,347,182
|
||||
|
INSURANCE-LINKED SECURITIES - 24.0% of Net Assets(1)
|
|||||
|
Catastrophe Linked Bonds - 9.7%
|
|||||
|
Earthquakes - California - 0.5%
|
|||||
|
400,000(d)
|
Ursa Re, 5.25% (3 Month U.S. Treasury Bill + 525 bps), 12/10/20 (144A)
|
$395,640
|
|||
|
250,000(d)
|
Ursa Re, 7.507% (3 Month U.S. Treasury Bill + 510 bps), 9/24/21 (144A)
|
244,925
|
|||
|
$640,565
|
|||||
|
Earthquakes - Japan - 0.7%
|
|||||
|
500,000(d)
|
Kizuna Re II, 4.902% (3 Month U.S. Treasury Bill + 250 bps), 4/11/23 (144A)
|
$495,100
|
|||
|
500,000(d)
|
Nakama Re, 4.429% (6 Month USD LIBOR + 220 bps), 10/13/21 (144A)
|
497,400
|
|||
|
$992,500
|
|||||
|
Earthquakes - U.S. Regional - 0.4%
|
|||||
|
500,000(d)
|
Merna Re, 4.402% (3 Month U.S. Treasury Bill + 200 bps), 4/8/20 (144A)
|
$497,700
|
|||
|
Flood - U.S. - 0.2%
|
|||||
|
250,000(d)
|
FloodSmart Re, 13.657% (3 Month U.S. Treasury Bill + 1,125 bps), 8/6/21 (144A)
|
$249,750
|
|||
|
Health - U.S. - 0.8%
|
|||||
|
1,000,000(d)
|
Vitality Re VII, 5.057% (3 Month U.S. Treasury Bill + 265 bps), 1/7/20 (144A)
|
$1,006,100
|
|||
|
Multiperil - Europe - 0.4%
|
|||||
|
EUR
|
500,000(d)
|
Lion II Re, 3.17% (3 Month EURIBOR + 317 bps), 7/15/21 (144A)
|
$570,737
|
||
|
Multiperil - U.S. - 2.0%
|
|||||
|
375,000(d)
|
Caelus Re V, 2.907% (1 Month U.S. Treasury Bill + 50 bps), 6/5/20 (144A)
|
$38
|
|||
|
400,000(d)
|
Caelus Re V, 2.907% (1 Month U.S. Treasury Bill + 50 bps), 6/5/20 (144A)
|
40
|
|||
|
250,000(d)
|
Caelus Re V, 9.907% (3 Month U.S. Treasury Bill + 750 bps), 6/7/21 (144A)
|
188,625
|
|||
|
500,000(d)
|
Kilimanjaro II Re, 9.713% (6 Month USD LIBOR + 714 bps), 4/20/21 (144A)
|
506,300
|
|||
|
500,000(d)
|
Kilimanjaro II Re, 12.063% (6 Month USD LIBOR + 949 bps), 4/20/21 (144A)
|
507,500
|
|||
|
750,000(d)
|
Northshore Re II, 9.609% (3 Month U.S. Treasury Bill + 721 bps), 7/6/20 (144A)
|
754,350
|
|||
|
250,000(d)
|
Residential Reinsurance 2018 Re, 13.899% (3 Month U.S. Treasury Bill + 1,150 bps), 12/6/22 (144A)
|
247,325
|
|||
|
500,000(d)
|
Spectrum Capital Re, 8.335% (6 Month USD LIBOR + 575 bps), 6/8/21 (144A)
|
493,500
|
|||
|
$2,697,678
|
|||||
|
Multiperil - Worldwide - 0.9%
|
|||||
|
250,000(d)
|
Galilei Re, 11.166% (6 Month USD LIBOR + 863 bps), 1/8/21 (144A)
|
$248,225
|
|||
|
250,000(d)
|
Galilei Re, 16.376% (6 Month USD LIBOR + 1,386 bps), 1/8/20 (144A)
|
248,950
|
|||
|
250,000(d)
|
Galilei Re, 16.396% (6 Month USD LIBOR + 1,386 bps), 1/8/21 (144A)
|
248,425
|
|||
|
500,000(d)
|
Galileo Re, 9.912% (3 Month USD LIBOR + 750 bps), 11/6/20 (144A)
|
501,100
|
|||
|
$1,246,700
|
|||||
|
Pandemic - Worldwide - 0.4%
|
|||||
|
300,000(d)
|
International Bank for Reconstruction & Development, 9.365% (6 Month USD LIBOR + 690 bps), 7/15/20 (144A)
|
$300,990
|
|||
|
300,000(d)
|
International Bank for Reconstruction & Development, 13.965% (6 Month USD LIBOR + 1,150 bps), 7/15/20 (144A)
|
217,500
|
|||
|
$518,490
|
|||||
|
Wildfire - California - 0.0%†
|
|||||
|
250,000(d)
|
Cal Phoenix Re, 9.918% (3 Month USD LIBOR + 750 bps), 8/13/21 (144A)
|
$12,500
|
|||
|
Windstorm - Florida - 1.3%
|
|||||
|
750,000(d)
|
Integrity Re, 5.693% (6 Month USD LIBOR + 324 bps), 6/10/20 (144A)
|
$750,000
|
|||
|
500,000(d)
|
Integrity Re, 6.573% (6 Month USD LIBOR + 412 bps), 6/10/20 (144A)
|
499,050
|
|||
|
500,000(d)
|
Sanders Re, 5.624% (6 Month USD LIBOR + 311 bps), 6/5/20 (144A)
|
497,200
|
|||
|
$1,746,250
|
|||||
|
Windstorm - Japan - 0.4%
|
|||||
|
500,000(d)
|
Aozora Re, 4.954% (6 Month USD LIBOR + 224 bps), 4/7/20 (144A)
|
$495,850
|
|||
|
Windstorm - Massachusetts - 0.6%
|
|||||
|
750,000(d)
|
Cranberry Re, 4.46% (6 Month USD LIBOR + 200 bps), 7/13/20 (144A)
|
$748,800
|
|||
|
Windstorm - Mexico - 0.4%
|
|||||
|
250,000(d)
|
International Bank for Reconstruction & Development, 8.034% (6 Month USD LIBOR + 590 bps), 12/20/19 (144A)
|
$249,950
|
|||
|
250,000(d)
|
International Bank for Reconstruction & Development, 11.434% (6 Month USD LIBOR + 930 bps), 12/20/19 (144A)
|
248,975
|
|||
|
$498,925
|
|||||
|
Windstorm - Texas - 0.4%
|
|||||
|
500,000(d)
|
Alamo Re, 7.254% (3 Month U.S. Treasury Bill + 485 bps), 6/8/20 (144A)
|
$501,900
|
|||
|
Principal
Amount USD ($) |
Value
|
||||
|
Windstorm - U.S. Multistate - 0.3%
|
|||||
|
750,000(d)
|
Citrus Re, 10.257% (3 Month U.S. Treasury Bill + 785 bps), 2/25/19 (144A)
|
$450,000
|
|||
|
Total Catastrophe Linked Bonds
|
$12,874,445
|
||||
|
Collateralized Reinsurance - 3.6%
|
|||||
|
Multiperil - Massachusetts - 0.3%
|
|||||
|
416,087+(a)
|
Denning Re 2018, 7/15/19
|
$414,678
|
|||
|
Multiperil - U.S. Regional - 0.2%
|
|||||
|
250,000+(a)
|
EC0012 Re, 6/15/19
|
$244,725
|
|||
|
Multiperil - Worldwide - 2.5%
|
|||||
|
575,641+
|
Clarendon Re 2018, 1/15/20
|
$512,505
|
|||
|
650,000+(a)
|
Cypress Re 2017, 1/10/20
|
56,290
|
|||
|
300,766+
|
Dartmouth Re 2018, 1/15/20
|
162,534
|
|||
|
115,581+(a)
|
Dartmouth Re 2019, 1/31/20
|
91,402
|
|||
|
389,876+
|
Gloucester Re 2018, 1/15/20
|
302,520
|
|||
|
368,836+
|
Kilarney Re 2018, 4/15/19
|
332,690
|
|||
|
350,000+
|
Merion Re 2018, 12/31/21
|
22,225
|
|||
|
363,501+
|
Merion Re 2019-1, 12/31/22
|
287,929
|
|||
|
250,000+
|
Old Head Re 2019, 12/31/22
|
206,800
|
|||
|
333,342+
|
Oyster Bay Re 2018, 1/15/20
|
302,541
|
|||
|
700,000+(a)
|
Resilience Re, 12/31/19
|
155,400
|
|||
|
567,400+
|
Seminole Re 2018, 1/15/20
|
504,248
|
|||
|
500,000+(a)
|
Wentworth Re 2017, 7/13/19
|
123,150
|
|||
|
297,355+(a)
|
Wentworth Re 2019-1, 12/31/22
|
255,131
|
|||
|
$3,315,365
|
|||||
|
Windstorm - Florida - 0.4%
|
|||||
|
750,000+(a)
|
Portrush Re 2017, 6/15/19
|
$497,175
|
|||
|
Windstorm - U.S. Regional - 0.2%
|
|||||
|
250,000+(a)
|
Promissum Re 2018, 6/15/19
|
$18,300
|
|||
|
250,000+(a)
|
Resilience Re, 6/15/19
|
259,475
|
|||
|
$277,775
|
|||||
|
Total Collateralized Reinsurance
|
$4,749,718
|
||||
|
Industry Loss Warranties - 0.4%
|
|||||
|
Multiperil - U.S. - 0.4%
|
|||||
|
532,200+
|
Cypress Re 2018, 4/15/19
|
$497,554
|
|||
|
Total Industry Loss Warranties
|
$497,554
|
||||
|
Reinsurance Sidecars - 10.3%
|
|||||
|
All Natural Peril - Worldwide - 0.9%
|
|||||
|
712,500+(a)
|
Eden Re II, 3/22/23 (144A)
|
$718,129
|
|||
|
441,274+(a)
|
Versutus Re 2019-A, 12/31/21
|
443,436
|
|||
|
$1,161,565
|
|||||
|
Multiperil - U.S. - 1.4%
|
|||||
|
800,000+
|
Carnoustie Re 2015, 7/1/19
|
$2,560
|
|||
|
1,000,000+
|
Carnoustie Re 2016, 11/30/20
|
27,000
|
|||
|
1,000,000+(a)
|
Carnoustie Re 2017, 11/30/21
|
254,200
|
|||
|
250,000+(a)
|
Carnoustie Re 2018, 12/31/21
|
47,475
|
|||
|
400,000+(a)
|
Castle Stuart Re 2018, 12/1/21
|
337,360
|
|||
|
1,000,000+(a)
|
Harambee Re 2018, 12/31/21
|
901,700
|
|||
|
304,651+(a)
|
Harambee Re 2019, 12/31/22
|
305,565
|
|||
|
$1,875,860
|
|||||
|
Multiperil - U.S. Regional - 0.1%
|
|||||
|
250,000+(a)
|
EC0009 Re, 12/31/20
|
$220,750
|
|||
|
Multiperil - Worldwide - 7.9%
|
|||||
|
250,000+(a)
|
Alturas Re 2019-2, 3/10/22
|
$250,725
|
|||
|
1,579,039+
|
Berwick Re 2018-1, 12/31/21
|
260,699
|
|||
|
1,215,671+(a)
|
Berwick Re 2019-1, 12/31/22
|
1,215,671
|
|||
|
400,000+(a)
|
Blue Lotus Re 2018, 12/31/21
|
419,000
|
|||
|
250,000+
|
Eden Re II, 3/22/21 (144A)
|
67,775
|
|||
|
37,500+(a)
|
Eden Re II, 3/22/22 (144A)
|
116,164
|
|||
|
12,500+(a)
|
Eden Re II, 3/22/22 (144A)
|
39,379
|
|||
|
2,400,000+
|
Gleneagles Re 2016, 11/30/20
|
148,800
|
|||
|
1,500,000+(a)
|
Gleneagles Re 2017, 11/30/21
|
677,100
|
|||
|
250,000+(a)
|
Gleneagles Re 2018, 12/31/21
|
29,575
|
|||
|
221,708+(a)
|
Gleneagles Re 2019, 12/31/22
|
223,282
|
|||
|
1,059,157+
|
Gullane Re 2018, 12/31/21
|
953,241
|
|||
|
250,000+(a)
|
Limestone Re 2018, 3/1/22
|
256,875
|
|||
|
1,000,000+(a)
|
Lorenz Re 2017, 3/31/20
|
149,900
|
|||
|
750,000+(a)
|
Lorenz Re 2018, 7/1/21
|
538,875
|
|||
|
500,000+(a)
|
Madison Re 2018, 12/31/21
|
396,500
|
|||
|
500,000+(a)
|
Merion Re 2018-2, 12/31/21
|
487,635
|
|||
|
250,000+(a)
|
NCM Re 2018, 12/31/21
|
215,300
|
|||
|
3,000,000+
|
Pangaea Re 2015-1, 2/1/20
|
5,400
|
|||
|
2,000,000+
|
Pangaea Re 2016-1, 11/30/20
|
9,800
|
|||
|
2,000,000+
|
Pangaea Re 2017-1, 11/30/21
|
--
|
|||
|
1,000,000+(a)
|
Pangaea Re 2018-1, 12/31/21
|
58,800
|
|||
|
1,000,000+(a)
|
Pangaea Re 2018-3, 7/1/22
|
853,300
|
|||
|
819,247+(a)
|
Pangaea Re 2019-1, 2/1/23
|
823,219
|
|||
|
1,000,000+(a)
|
Silverton Re 2017, 9/16/19 (144A)
|
40,800
|
|||
|
Principal
Amount USD ($) |
Value
|
||||
|
Multiperil - Worldwide - (continued)
|
|||||
|
1,000,000+(a)
|
St. Andrews Re 2017-1, 2/1/20
|
$67,800
|
|||
|
500,000+(a)
|
Thopas Re 2018, 12/31/21
|
443,300
|
|||
|
500,000+(a)
|
Versutus Re 2018, 12/31/21
|
493,750
|
|||
|
58,727+(a)
|
Versutus Re 2019-B, 12/31/21
|
58,727
|
|||
|
500,000+(a)
|
Viribus Re 2018, 12/31/21
|
465,000
|
|||
|
507,289+
|
Woburn Re 2018, 12/31/21
|
365,248
|
|||
|
350,000+(a)
|
Woburn Re 2019, 12/31/22
|
350,000
|
|||
|
$10,481,640
|
|||||
|
Total Reinsurance Sidecars
|
$13,739,815
|
||||
|
TOTAL INSURANCE-LINKED SECURITIES
|
|||||
|
(Cost $35,057,660)
|
$31,861,532
|
||||
|
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 35.4% of Net Assets*(d)
|
|||||
|
Advertising - 0.3%
|
|||||
|
407,728
|
Red Ventures LLC (New Imagitas, Inc.), First Lien Term B-1 Loan, 5.499% (LIBOR + 300 bps), 11/8/24
|
$404,500
|
|||
|
Total Advertising
|
$404,500
|
||||
|
Aerospace & Defense - 0.9%
|
|||||
|
292,443
|
DAE Aviation Holdings, Inc., Initial Term Loan, 6.25% (LIBOR + 375 bps), 7/7/22
|
$292,329
|
|||
|
488,731
|
MACOM Technology Solutions Holdings, Inc. (fka M/A-COM Technology Solutions Holdings, Inc.), Initial Term Loan, 4.749% (LIBOR + 225 bps), 5/17/24
|
467,960
|
|||
|
492,500
|
Peraton Corp. (fka MHVC Acquisition Corp.), First Lien Initial Term Loan, 8.06% (LIBOR + 525 bps), 4/29/24
|
481,419
|
|||
|
Total Aerospace & Defense
|
$1,241,708
|
||||
|
Automobile - 2.1%
|
|||||
|
228,538
|
American Axle & Manufacturing, Inc., Tranche B Term Loan, 4.76% (LIBOR + 225 bps), 4/6/24
|
$221,015
|
|||
|
358,238
|
Bombardier Recreational Products, Inc., Term B Loan, 4.5% (LIBOR + 200 bps), 5/23/25
|
352,566
|
|||
|
481,250
|
Commercial Vehicle Group, Inc. (CVG), Initial Term Loan, 8.499% (LIBOR + 600 bps), 4/12/23
|
476,437
|
|||
|
625,838
|
CWGS Group LLC (aka Camping World, Inc.), Term Loan, 5.257% (LIBOR + 275 bps), 11/8/23
|
593,503
|
|||
|
379,343
|
Navistar, Inc., Tranche B Term Loan, 6.02% (LIBOR + 350 bps), 11/6/24
|
374,118
|
|||
|
143,248
|
TI Group Automotive Systems LLC, Initial US Term Loan, 4.999% (LIBOR + 250 bps), 6/30/22
|
138,831
|
|||
|
657,671
|
Tower Automotive Holdings USA LLC, Initial Term Loan, 5.313% (LIBOR + 275 bps), 3/7/24
|
632,186
|
|||
|
Total Automobile
|
$2,788,656
|
||||
|
Beverage, Food & Tobacco - 0.2%
|
|||||
|
345,625
|
Give and Go Prepared Foods Corp. (fka GG Foods Acquisition Corp.), First Lien 2017 Term Loan, 7.053% (LIBOR + 425 bps), 7/29/23
|
$308,183
|
|||
|
Total Beverage, Food & Tobacco
|
$308,183
|
||||
|
Broadcasting & Entertainment - 0.6%
|
|||||
|
524,562
|
Creative Artists Agency LLC, Refinancing Term Loan, 5.503% (LIBOR + 300 bps), 2/15/24
|
$518,880
|
|||
|
214,384
|
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 8.547% (LIBOR + 575 bps), 8/13/21
|
210,135
|
|||
|
Total Broadcasting & Entertainment
|
$729,015
|
||||
|
Building Materials - 0.5%
|
|||||
|
295,488
|
Summit Materials LLC, New Term Loan, 4.499% (LIBOR + 200 bps), 11/21/24
|
$288,286
|
|||
|
394,000
|
WKI Holding Co., Inc. (aka World Kitchen), Initial Term Loan, 6.541% (LIBOR + 400 bps), 5/1/24
|
387,105
|
|||
|
Total Building Materials
|
$675,391
|
||||
|
Buildings & Real Estate – 2.0%
|
|||||
|
490,031
|
American Bath Group LLC, First Lien Replacement Term Loan, 7.053% (LIBOR + 425 bps), 9/30/23
|
$486,356
|
|||
|
496,250
|
Beacon Roofing Supply, Inc., Initial Term Loan, 4.769% (LIBOR + 225 bps), 1/2/25
|
484,287
|
|||
|
861,368
|
Builders FirstSource, Inc., Refinancing Term Loan, 5.803% (LIBOR + 300 bps), 2/29/24
|
825,405
|
|||
|
485,091
|
Uniti Group, Inc., Shortfall Term Loan, 5.499% (LIBOR + 300 bps), 10/24/22
|
455,379
|
|||
|
409,166
|
WireCo WorldGroup, Inc., (WireCo WorldGroup Finance LP), First Lien Initial Term Loan, 7.499% (LIBOR + 500 bps), 9/29/23
|
408,144
|
|||
|
Total Buildings & Real Estate
|
$2,659,571
|
||||
|
Chemicals, Plastics & Rubber - 2.0%
|
|||||
|
288,571
|
Chemours Co., Tranche B-2 US Dollar Term Loan, 4.25% (LIBOR + 175 bps), 4/3/25
|
$284,120
|
|||
|
562,391
|
Omnova Solutions, Inc., Term B-2 Loan, 5.749% (LIBOR + 325 bps), 8/25/23
|
555,361
|
|||
|
250,000
|
Starfruit Finco BV (Starfruit US Holdco LLC) (aka AkzoNobel), Initial Dollar Term Loan, 5.753% (LIBOR + 325 bps), 10/1/25
|
245,125
|
|||
|
473,204
|
Tank Holding Corp. (Roto Acquisition Corp.), Replacement Term Loan, 5.763% (LIBOR + 325 bps), 3/16/22
|
466,697
|
|||
|
366,686
|
Tata Chemicals North America, Term Loan, 5.563% (LIBOR + 275 bps), 8/7/20
|
363,936
|
|||
|
127,203
|
Tronox Blocked Borrower LLC, First Lien Blocked Dollar Term Loan, 5.499% (LIBOR + 300 bps), 9/23/24
|
125,719
|
|||
|
293,547
|
Tronox Finance LLC, First Lien Initial Dollar Term Loan, 5.499% (LIBOR + 300 bps), 9/23/24
|
290,122
|
|||
|
206,295
|
Univar USA, Inc., Term B-3 Loan, 4.749% (LIBOR + 225 bps), 7/1/24
|
202,556
|
|||
|
Total Chemicals, Plastics & Rubber
|
$2,533,636
|
||||
|
Commercial Services – 0.2%
|
|||||
|
241,117
|
Infiltrator Water Technologies LLC, First Lien Term B-2 Loan, 5.803% (LIBOR + 300 bps), 5/27/22
|
$ 237,501
|
|||
|
Total Commercial Services
|
$237,501
|
||||
|
Computers & Electronics – 0.9%
|
|||||
|
249,375
|
Cohu, Inc., Initial Term B Loan, 5.813% (LIBOR + 300 bps), 10/1/25
|
$ 246,258
|
|||
|
179,160
|
Energy Acquisition LP (aka Electrical Components International), First Lien Initial Term Loan, 7.053% (LIBOR + 425 bps), 6/26/25
|
174,681
|
|||
|
Principal
Amount USD ($) |
Value
|
||||
|
Computers & Electronics - (continued)
|
|||||
|
819,844
|
Ultra Clean Holdings, Inc., Term Loan B, 7.013% (LIBOR + 450 bps), 8/27/25
|
$799,347
|
|||
|
Total Computers & Electronics
|
$1,220,286
|
||||
|
Diversified & Conglomerate Manufacturing - 0.9%
|
|||||
|
536,586
|
Commercial Barge Line Co., Initial Term Loan, 11.249% (LIBOR + 875 bps), 11/12/20
|
$380,082
|
|||
|
99,500
|
Pelican Products, Inc., First Lien Term Loan, 6.013% (LIBOR + 350 bps), 5/1/25
|
97,634
|
|||
|
161,060
|
Ranpak Corp., Second Lien Initial Term Loan, 9.758% (LIBOR + 725 bps), 10/3/22
|
160,658
|
|||
|
500,000
|
STG-Fairway Acquisitions, Inc. (aka First Advantage), First Lien Term Loan, 7.749% (LIBOR + 525 bps), 6/30/22
|
497,500
|
|||
|
Total Diversified & Conglomerate Manufacturing
|
$1,135,874
|
||||
|
Diversified & Conglomerate Service - 2.4%
|
|||||
|
500,000
|
Allied Universal Holdco LLC (f/k/a USAGM Holdco, LLC), First Lien Incremental Term Loan, 6.749% (LIBOR + 425 bps), 7/28/22
|
$486,250
|
|||
|
244,416
|
CB Poly Investments LLC, First Lien Closing Date Term Loan, 6.249% (LIBOR + 375 bps), 8/16/23
|
244,110
|
|||
|
240,625
|
Change Healthcare Holdings, Inc. (fka Emdeon, Inc.), Closing Date Term Loan, 5.249% (LIBOR + 275 bps), 3/1/24
|
236,028
|
|||
|
738,750
|
Constellis Holdings LLC, First Lien Term B Loan, 7.744% (LIBOR + 500 bps), 4/21/24
|
711,047
|
|||
|
240,625
|
DBRS, Ltd., Initial Term Loan, 7.957% (LIBOR + 525 bps), 3/4/22
|
239,422
|
|||
|
566,820
|
DTI Holdco, Inc., Replacement B-1 Term Loan, 7.494% (LIBOR + 475 bps), 9/29/23
|
533,283
|
|||
|
167,630
|
Filtration Group Corp., Initial Dollar Term Loan, 5.499% (LIBOR + 300 bps), 3/29/25
|
166,513
|
|||
|
75,792
|
Iqvia, Inc. (Quintiles IMS), Term B-1 Dollar Loan, 4.803% (LIBOR + 200 bps), 3/7/24
|
75,242
|
|||
|
195,263
|
National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), Tranche B Term Loan, 5.803% (LIBOR + 300 bps), 1/31/21
|
195,059
|
|||
|
97,761
|
NVA Holdings, Inc., First Lien Term B3 Loan, 5.249% (LIBOR + 275 bps), 2/2/25
|
93,851
|
|||
|
246,250
|
Tempo Acquisition LLC, Initial Term Loan, 5.499% (LIBOR + 300 bps), 5/1/24
|
242,248
|
|||
|
Total Diversified & Conglomerate Service
|
$3,223,053
|
||||
|
Diversified Natural Resources & Precious Metals - 0.1%
|
|||||
|
111,000
|
84 Lumber Co., Term B-1 Loan, 7.76% (LIBOR + 525 bps), 10/25/23
|
$110,584
|
|||
|
Total Diversified Natural Resources & Precious Metals
|
$110,584
|
||||
|
Educational Services - 0.6%
|
|||||
|
245,622
|
ExamWorks Group, Inc. (fka Gold Merger Co., Inc.), Term B-1 Loan, 5.749% (LIBOR + 325 bps), 7/27/23
|
$244,394
|
|||
|
466,667
|
Laureate Education, Inc., Series 2024 Term Loan, 6.548% (PRIME + 250 bps/LIBOR + 350 bps), 4/26/24
|
465,307
|
|||
|
Total Educational Services
|
$709,701
|
||||
|
Electric & Electrical - 0.1%
|
|||||
|
92,228
|
Rackspace Hosting, Inc., First Lien Term B Loan, 5.582% (LIBOR + 300 bps), 11/3/23
|
$85,823
|
|||
|
Total Electric & Electrical
|
$85,823
|
||||
|
Electronics - 0.9%
|
|||||
|
169,338
|
Avast Software BV, 2018 Refinancing Dollar Term Loan, 5.303% (LIBOR + 250 bps), 9/29/23
|
$167,750
|
|||
|
230,733
|
First Data Corp., 2024A New Dollar Term Loan, 4.519% (LIBOR + 200 bps), 4/26/24
|
230,132
|
|||
|
540,964
|
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.), First Lien Initial Term Loan, 7.553% (LIBOR + 475 bps), 3/31/22
|
533,526
|
|||
|
195,980
|
nThrive, Inc. (fka Precyse Acquisition Corp.), Additional Term B-2 Loan, 6.999% (LIBOR + 450 bps), 10/20/22
|
189,427
|
|||
|
Total Electronics
|
$1,120,835
|
||||
|
Entertainment - 0.4%
|
|||||
|
552,225
|
Scientific Games International, Inc., Initial Term B-5 Loan, 5.249% (LIBOR + 275 bps), 8/14/24
|
$536,003
|
|||
|
Total Entertainment
|
$536,003
|
||||
|
Farming & Agriculture - 0.7%
|
|||||
|
509,429
|
Caraustar Industries, Inc., Refinancing Term Loan, 8.303% (LIBOR + 550 bps), 3/14/22
|
$509,557
|
|||
|
453,588
|
Dole Food Co., Inc., Tranche B Term Loan, 5.259% (PRIME + 175 bps/LIBOR + 275 bps), 4/6/24
|
439,413
|
|||
|
Total Farming & Agriculture
|
$948,970
|
||||
|
Financial Services - 0.2%
|
|||||
|
239,063
|
Freedom Mortgage Corp., Initial Term Loan, 7.249% (LIBOR + 475 bps), 2/23/22
|
$238,465
|
|||
|
Total Financial Services
|
$238,465
|
||||
|
Healthcare Technology – 0.2%
|
|||||
|
248,125
|
Chloe OX Parent LLC, Initial Term Loan, 7.303% (LIBOR + 450 bps), 12/23/24
|
$246,264
|
|||
|
Total Healthcare Technology
|
$246,264
|
||||
|
Healthcare & Pharmaceuticals - 2.7%
|
|||||
|
345,625
|
Alphabet Holding Co., Inc. (aka Nature's Bounty), First Lien Initial Term Loan, 5.999% (LIBOR + 350 bps), 9/26/24
|
$315,527
|
|||
|
361,239
|
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan, 5.957% (LIBOR + 325 bps), 1/27/21
|
355,770
|
|||
|
231,041
|
Gentiva Health Services, Inc., First Lien Closing Date Initial Term Loan, 6.25% (LIBOR + 375 bps), 7/2/25
|
229,886
|
|||
|
605,000
|
Gentiva Health Services, Inc., Second Lien Initial Term Loan, 9.5% (LIBOR + 700 bps), 7/2/26
|
614,831
|
|||
|
338,625
|
HC Group Holdings III, Inc., First Lien Refinancing Term Loan, 6.249% (LIBOR + 375 bps), 4/7/22
|
334,392
|
|||
|
481,192
|
Horizon Pharma, Inc., Fourth Amendment Refinanced Term Loan, 5.563% (LIBOR + 300 bps), 3/29/24
|
479,688
|
|||
|
330,000
|
NMN Holdings III Corp., First Lien Closing Date Term Loan, 6.264% (LIBOR + 375 bps), 11/13/25
|
326,700
|
|||
|
488,806
|
Prospect Medical Holdings, Inc., Term B-1 Loan, 8.063% (LIBOR + 550 bps), 2/22/24
|
486,362
|
|||
|
Principal
Amount USD ($) |
Value
|
||||
|
Healthcare & Pharmaceuticals - (continued)
|
|||||
|
491,250
|
Sterigenics-Nordion Holdings LLC, Incremental Term Loan, 5.499% (LIBOR + 300 bps), 5/15/22
|
$480,197
|
|||
|
Total Healthcare & Pharmaceuticals
|
$3,623,353
|
||||
|
Healthcare, Education & Childcare - 1.7%
|
|||||
|
234,092
|
Bausch Health Co., Inc. (fka Valeant Pharmaceuticals International, Inc.), Initial Term Loan, 5.513% (LIBOR + 300 bps), 6/2/25
|
$231,989
|
|||
|
228,141
|
Catalent Pharma Solutions, Inc. (fka Cardinal Health 409, Inc.), Dollar Term Loan, 4.749% (LIBOR + 225 bps), 5/20/24
|
226,875
|
|||
|
182,225
|
Kinetic Concepts, Inc., Dollar Term Loan, 6.053% (LIBOR + 325 bps), 2/2/24
|
181,371
|
|||
|
725,859
|
KUEHG Corp. (fka KC MergerSub, Inc.) (aka KinderCare), Term B-3 Loan, 6.553% (LIBOR + 375 bps), 2/21/25
|
712,551
|
|||
|
920,398
|
Regionalcare Hospital Partners Holdings, Inc., First Lien Term B Loan, 7.129% (LIBOR + 450 bps), 11/16/25
|
900,552
|
|||
|
Total Healthcare, Education & Childcare
|
$2,253,338
|
||||
|
Home Builders - 0.4%
|
|||||
|
515,000(h)
|
Thor Industries, Inc., Term Loan B, 2/1/26
|
$495,044
|
|||
|
Total Home Builders
|
$495,044
|
||||
|
Home & Office Furnishings - 0.3%
|
|||||
|
522,133
|
Serta Simmons Bedding LLC, Second Lien Initial Term Loan, 10.514% (LIBOR + 800 bps), 11/8/24
|
$373,325
|
|||
|
Total Home & Office Furnishings
|
$373,325
|
||||
|
Hotels, Gaming & Leisure - 0.3%
|
|||||
|
343,875
|
1011778 BC Unlimited Liability Co. (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-3 Loan, 4.749% (LIBOR + 225 bps), 2/16/24
|
$338,543
|
|||
|
164,957
|
Eldorado Resorts, Inc., Term Loan, 4.813% (LIBOR + 225 bps), 4/17/24
|
163,307
|
|||
|
Total Hotel, Gaming & Leisure
|
$501,850
|
||||
|
Hotels, Restaurants & Leisure - 0.2%
|
|||||
|
227,688
|
Golden Nugget, Inc. (aka Landry’s, Inc.), Initial Term Loan B, 5.253% (LIBOR + 275 bps), 10/4/23
|
$224,527
|
|||
|
Total Hotels,Restaurants & Leisure
|
$224,527
|
||||
|
Insurance - 1.7%
|
|||||
|
162,731
|
Alliant Holdings Intermediate LLC, Initial Term Loan, 5.258% (LIBOR + 275 bps), 5/9/25
|
$156,832
|
|||
|
102,067
|
Asurion LLC (fka Asurion Corp.), New B-7 Term Loan, 5.499% (LIBOR + 300 bps), 11/3/24
|
100,625
|
|||
|
325,000
|
Asurion LLC (fka Asurion Corp.), Second Lien Replacement B-2 Term Loan, 8.999% (LIBOR + 650 bps), 8/4/25
|
328,047
|
|||
|
490,116
|
Confie Seguros Holding II Co., Term B Loan, 7.457% (LIBOR + 475 bps), 4/19/22
|
489,120
|
|||
|
485,142
|
Integro Parent, Inc., First Lien Initial Term Loan, 8.481% (LIBOR + 575 bps), 10/31/22
|
482,717
|
|||
|
355,258^
|
Medical Card System, Inc., Term Loan, 5.5% (LIBOR + 450 bps), 9/2/19
|
230,918
|
|||
|
493,750
|
USI, Inc. (fka Compass Investors, Inc.), 2017 New Term Loan, 5.803% (LIBOR + 300 bps), 5/16/24
|
474,926
|
|||
|
Total Insurance
|
$2,263,185
|
||||
|
Leisure & Entertainment - 0.3%
|
|||||
|
400,139
|
Fitness International LLC, Term B Loan, 5.749% (LIBOR + 325 bps), 4/18/25
|
$393,637
|
|||
|
Total Leisure & Entertainment
|
$393,637
|
||||
|
Machinery - 1.0%
|
|||||
|
186,220
|
Blount International, Inc., New Refinancing Term Loan, 6.249% (LIBOR + 375 bps), 4/12/23
|
$186,104
|
|||
|
288,911
|
Clark Equipment Co. (aka Doosan Bobcat, Inc.), Repriced Term Loan, 4.803% (LIBOR + 200 bps), 5/18/24
|
284,577
|
|||
|
182,857
|
CTC AcquiCo GmbH, Facility B2, 5.707% (LIBOR + 300 bps), 3/7/25
|
180,114
|
|||
|
166,330
|
NN, Inc., Tranche B Term Loan, 6.249% (LIBOR + 375 bps), 10/19/22
|
163,004
|
|||
|
495,202
|
Shape Technologies Group, Inc., Initial Term Loan, 5.776% (LIBOR + 300 bps), 4/21/25
|
487,773
|
|||
|
Total Machinery
|
$1,301,572
|
||||
|
Media - 0.5%
|
|||||
|
196,500
|
CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), March 2017 Refinancing Term Loan, 4.759% (LIBOR + 225 bps), 7/17/25
|
$190,911
|
|||
|
125,819
|
CSC Holdings, LLC (fka CSC Holdings Inc. (Cablevision)), October 2018 Incremental Term Loan, 4.759% (LIBOR + 225 bps), 1/15/26
|
121,363
|
|||
|
444,005
|
Univision Communications, Inc., First Lien 2017 Replacement Repriced Term Loan, 5.249% (LIBOR + 275 bps), 3/15/24
|
415,422
|
|||
|
Total Media
|
$727,696
|
||||
|
Metals & Mining - 1.3%
|
|||||
|
761,175
|
Aleris International, Inc., Initial Term Loan, 7.249% (LIBOR + 475 bps), 2/27/23
|
$763,078
|
|||
|
488,750
|
Global Brass and Copper, Inc., Initial Term Loan, 5.0% (LIBOR + 250 bps), 5/29/25
|
484,461
|
|||
|
480,236
|
Zekelman Industries, Inc. (fka JMC Steel Group, Inc.), Term Loan, 4.862% (LIBOR + 225 bps), 6/14/21
|
472,312
|
|||
|
Total Metals & Mining
|
$1,719,851
|
||||
|
Oil & Gas - 2.6%
|
|||||
|
800,000
|
BCP Raptor II LLC, Initial Term Loan, 7.37% (LIBOR + 475 bps), 11/3/25
|
$768,000
|
|||
|
250,000
|
California Resources Corp., Term Loan, 12.874% (LIBOR + 1,038 bps), 12/31/21
|
262,812
|
|||
|
625,000
|
Encino Acquisition Partners Holdings LLC, Second Lien Initial Term Loan, 9.249% (LIBOR + 675 bps), 10/29/25
|
603,125
|
|||
|
79,468
|
Gavilan Resources LLC, Second Lien Initial Term Loan, 8.519% (LIBOR + 600 bps), 3/1/24
|
63,773
|
|||
|
646,813
|
Gulf Finance LLC, Tranche B Term Loan, 7.867% (LIBOR + 525 bps), 8/25/23
|
513,570
|
|||
|
199,000
|
Keane Group Holdings LLC, Initial Term Loan, 6.25% (LIBOR + 375 bps), 5/25/25
|
190,045
|
|||
|
187,500
|
Natgasoline LLC, Initial Term Loan, 6.25% (LIBOR + 350 bps), 11/14/25
|
187,730
|
|||
|
479,954
|
Summit Midstream Partners Holdings LLC, Term Loan Credit Facility, 8.499% (LIBOR + 600 bps), 5/13/22
|
472,355
|
|||
|
Principal
Amount USD ($) |
Value
|
||||
|
Oil & Gas - (continued)
|
|||||
|
448,875
|
Traverse Midstream Partners LLC, Advance Term Loan, 6.6% (LIBOR + 400 bps), 9/27/24
|
$449,433
|
|||
|
Total Oil & Gas
|
$3,510,843
|
||||
|
Packaging & Containers - 0.4%
|
|||||
|
592,523
|
Twist Beauty International Holdings SA, Facility B2, 5.886% (LIBOR + 300 bps), 4/22/24
|
$576,969
|
|||
|
Total Packaging & Containers
|
$576,969
|
||||
|
Personal, Food & Miscellaneous Services - 0.6%
|
|||||
|
147,758
|
Parfums Holding Co., Inc., First Lien Initial Term Loan, 6.957% (LIBOR + 425 bps), 6/30/24
|
$145,264
|
|||
|
124,403
|
Prime Security Services Borrower LLC (aka Protection 1 Security Solutions), First Lien December 2018 Incremental Term B-1 Loan, 5.249% (LIBOR + 275 bps), 5/2/22
|
122,870
|
|||
|
760,389
|
Revlon Consumer Products Corp., Initial Term B Loan, 6.207% (LIBOR + 350 bps), 9/7/23
|
543,678
|
|||
|
Total Personal, Food & Miscellaneous Services
|
$811,812
|
||||
|
Printing & Publishing - 0.1%
|
|||||
|
161,307
|
Learfield Communications LLC, First Lien Initial Term Loan, 5.75% (LIBOR + 325 bps), 12/1/23
|
$160,097
|
|||
|
Total Printing & Publishing
|
$160,097
|
||||
|
Professional & Business Services - 0.2%
|
|||||
|
249,375
|
Interior Logic Group Holdings IV LLC, Initial Term Loan, 6.803% (LIBOR + 400 bps), 5/30/25
|
$247,193
|
|||
|
Total Professional & Business Services
|
$247,193
|
||||
|
Retail - 1.7%
|
|||||
|
345,625
|
Bass Pro Group LLC, Initial Term Loan, 7.499% (LIBOR + 500 bps), 9/25/24
|
$342,515
|
|||
|
297,503
|
Dhanani Group, Inc., Term Loan, 6.249% (LIBOR + 375 bps), 7/20/25
|
291,181
|
|||
|
478,803
|
Global Appliance, Inc. (aka SharkNinja Operating LLC), Tranche B Term Loan, 6.5% (LIBOR + 400 bps), 9/29/24
|
474,613
|
|||
|
493,507
|
Neiman Marcus Group, Ltd., LLC, Other Term Loan, 5.763% (LIBOR + 325 bps), 10/25/20
|
439,015
|
|||
|
152,541
|
PetSmart, Inc., Tranche B-2 Term Loan, 5.52% (LIBOR + 300 bps), 3/11/22
|
128,270
|
|||
|
750,000
|
United Natural Foods, Inc., Initial Term Loan, 6.749% (LIBOR + 425 bps), 10/22/25
|
649,688
|
|||
|
Total Retail
|
$2,325,282
|
||||
|
Securities & Trusts - 0.1%
|
|||||
|
173,688
|
Deerfield Dakota Holding LLC (fka Dakota Holding Corp.) (aka Duff & Phelps), Initial Term Loan, 5.749% (LIBOR + 325 bps), 2/13/25
|
$168,097
|
|||
|
Total Securities & Trusts
|
$168,097
|
||||
|
Telecommunications - 1.4%
|
|||||
|
742,500
|
CenturyLink, Inc., Initial Term B Loan, 5.249% (LIBOR + 275 bps), 1/31/25
|
$711,254
|
|||
|
344,374
|
Go Daddy Operating Co., LLC (GD Finance Co., Inc.), Tranche B-1 Term Loan, 4.749% (LIBOR + 225 bps), 2/15/24
|
340,685
|
|||
|
486,811
|
Level 3 Financing, Inc., Tranche B 2024 Term Loan, 4.756% (LIBOR + 225 bps), 2/22/24
|
479,074
|
|||
|
343,875
|
Sprint Communications, Inc., Initial Term Loan, 5.0% (LIBOR + 250 bps), 2/2/24
|
336,559
|
|||
|
Total Telecommunications
|
$1,867,572
|
||||
|
Transportation - 1.2%
|
|||||
|
195,781
|
DynCorp International, Inc., Term Loan B2, 8.513% (LIBOR + 600 bps), 7/7/20
|
$194,802
|
|||
|
325,000
|
Envision Healthcare Corp., Initial Term Loan, 6.249% (LIBOR + 375 bps), 10/10/25
|
306,962
|
|||
|
456,251
|
Navios Maritime Partners LP (Navios Partners Finance (US), Inc.), Initial Term Loan, 7.78% (LIBOR + 500 bps), 9/14/20
|
453,970
|
|||
|
637,367
|
YRC Worldwide, Inc., Tranche B-1 Term Loan, 11.244% (LIBOR + 850 bps), 7/26/22
|
620,636
|
|||
|
Total Transportation
|
$1,576,370
|
||||
|
Utilities - 0.5%
|
|||||
|
448,810
|
APLP Holdings, Ltd. Partnership, Term Loan, 5.249% (LIBOR + 275 bps), 4/13/23
|
$447,127
|
|||
|
278,983
|
Eastern Power LLC (Eastern Covert Midco, LLC) (aka TPF II LC, LLC), Term Loan, 6.249% (LIBOR + 375 bps), 10/2/23
|
273,011
|
|||
|
Total Utilities
|
$720,138
|
||||
|
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||
|
(Cost $48,471,069)
|
$46,995,770
|
||||
|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 2.3% of Net Assets
|
|||||
|
960,000(i)
|
U.S. Treasury Bills, 2/12/19
|
$959,322
|
|||
|
2,015,000(i)
|
U.S. Treasury Bills, 2/19/19
|
2,012,632
|
|||
|
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
|
|||||
|
(Cost $2,971,989)
|
$2,971,954
|
||||
|
Shares
|
Value
|
||||
|
RIGHTS/WARRANTS – 0.0% of Net Assets
|
|||||
|
Machinery - 0.0%
|
|||||
|
49^(a)(j)
|
LTR Intermediate Holdings, Inc.
|
$–
|
|||
|
Total Machinery
|
$–
|
||||
|
Oil, Gas & Consumable Fuels - 0.0%
|
|||||
|
1,981^(a)(k)
|
Midstates Petroleum Co., Inc.
|
$–
|
|||
|
Total Oil, Gas & Consumable Fuels
|
$–
|
||||
|
TOTAL RIGHTS/WARRANTS
|
|||||
|
(Cost $1)
|
$–
|
||||
|
Number of
Contracts |
Description
|
Counterparty
|
Notional
|
Strike Price
|
Expiration Date
|
Value
|
||
|
OVER THE COUNTER (OTC) CALL OPTIONS PURCHASED - 0.0%
|
||||||||
|
18,332^(l)
|
Desarrolladora Homex
SAB de CV |
Brown Brothers Harriman & Co. MXN
|
18,332 USD
|
–(m)
|
10/23/22
|
$–
|
||
|
Number of
Contracts |
Description
|
Counterparty
|
Notional
|
Strike Price
|
Expiration Date
|
Value
|
||
|
OVER THE COUNTER (OTC) CALL OPTIONS PURCHASED - (continued)
|
||||||||
|
18,332^(n)
|
Desarrolladora Homex
SAB de CV |
Brown Brothers Harriman & Co. MXN
|
18,332 USD
|
–(m)
|
10/23/22
|
$–
|
||
|
$–
|
||||||||
|
TOTAL OVER THE COUNTER (OTC) CALL OPTIONS PURCHASED
|
||||||||
|
(Premiums paid $–)
|
$–
|
|||||||
|
OVER THE COUNTER (OTC) CURRENCY PUT OPTIONS PURCHASED - 0.1%
|
||||||||
|
3,522,000
|
Put EUR Call USD
|
Bank of America EUR
|
50,168 EUR
|
1.15
|
5/27/19
|
$47,550
|
||
|
2,035,000
|
Put EUR Call USD
|
Bank of America EUR
|
30,498 EUR
|
1.15
|
9/23/19
|
36,353
|
||
|
$83,903
|
||||||||
|
TOTAL OVER THE COUNTER (OTC) CURRENCY PUT OPTIONS PURCHASED
|
||||||||
|
(Premiums paid $80,666)
|
$83,903
|
|||||||
|
TOTAL OPTIONS PURCHASED
|
||||||||
|
(Premiums paid $80,666)
|
$83,903
|
|||||||
|
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS – 144.0%
|
||||||||
|
(Cost $194,955,865)(o)
|
$191,389,926
|
|||||||
|
Number of
Contracts |
Description
|
Counterparty
|
Notional
|
Strike Price
|
Expiration Date
|
Value
|
||
|
OVER THE COUNTER (OTC) CURRENCY CALL OPTIONS WRITTEN - (0.1)%
|
||||||||
|
(3,522,000)
|
Call EUR Put USD
|
Bank of America EUR
|
(50,168) EUR
|
1.27
|
5/27/19
|
$(763)
|
||
|
(2,035,000)
|
Call EUR Put USD
|
Bank of America EUR
|
(30,498) EUR
|
1.27
|
9/23/19
|
(5,270)
|
||
|
$(6,033)
|
||||||||
|
TOTAL OVER THE COUNTER (OTC) CURRENCY CALL OPTIONS WRITTEN
|
||||||||
|
(Premiums received $(80,666))
|
$(6,033)
|
|||||||
|
OTHER ASSETS AND LIABILITIES - (43.9)%
|
$(58,431,033)
|
|||||||
|
NET ASSETS - 100.0%
|
$132,952,860
|
|||||||
|
|
||||||||
|
(1)
|
Securities are restricted as to resale.
|
|
(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, 2019, the value of these securities amounted to $88,420,723, or 66.5% of net assets.
|
|
bps
|
Basis Points.
|
|
CMT
|
Constant Maturity Treasury Index.
|
|
EURIBOR
|
Euro Interbank Offered Rate.
|
|
LIBOR
|
London Interbank Offered Rate.
|
|
PRIME
|
U.S. Federal Funds Rate.
|
|
REIT
|
Real Estate Investment Trust.
|
|
†
|
Amount rounds to less than 0.1%.
|
|
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at January 31, 2019
|
|
|
+
|
Securities that used significant unobservable inputs to determine their value.
|
|
|
^
|
Security is valued using fair value methods (other than supplied by independent pricing services).
|
|
|
(a)
|
Non-income producing security.
|
|
|
(b)
|
Security is perpetual in nature and has no stated maturity date.
|
|
|
(c)
|
The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at January 31, 2019.
|
|
|
(d)
|
Floating rate note. Coupon rate, reference index and spread shown at January 31, 2019.
|
|
|
(e)
|
Security is priced as a unit.
|
|
|
(f)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
|
|
(g)
|
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at January 31, 2019.
|
|
|
(h)
|
This term loan will settle after January 31, 2019, at which time the interest rate will be determined.
|
|
|
(i)
|
Security issued with a zero coupon. Income is recognized through accretion of discount.
|
|
|
(j)
|
LTR Intermediate Holdings, Inc. is exercisable into 49 shares.
|
|
|
(k)
|
Midstates Petroleum Co., Inc. is exercisable into 1,981 shares.
|
|
|
(l)
|
Option does not become effective until underlying company’s outstanding common shares reach a market capitalization of MXN 12.5 Billion.
|
|
|
(m)
|
Strike price is 1 Mexican Peso (MXN).
|
|
|
(n)
|
Option does not become effective until underlying company’s outstanding common shares reach a market capitalization of MXN 15.5 Billion.
|
|
|
(o)
|
Distributions of investments by country of issue, as a percentage of total Investments based on country of domicile, is as follows:
|
|
|
United States
|
59.6%
|
|
|
Bermuda
|
15.0
|
|
|
Netherlands
|
3.3
|
|
|
Canada
|
2.8
|
|
|
Luxembourg
|
1.9
|
|
|
Argentina
|
1.9
|
|
|
Mexico
|
1.5
|
|
|
United Kingdom
|
1.5
|
|
|
Ireland
|
1.4
|
|
|
Brazil
|
1.2
|
|
|
Cayman Islands
|
1.2
|
|
|
Spain
|
1.1
|
|
|
France
|
1.1
|
|
|
Other (individually less than 1%)
|
6.5
|
|
|
100.0%
|
||
|
|
||
|
Currency Purchased
|
In Exchange for
|
Currency Sold
|
Deliver
|
Counterparty
|
Settlement Date
|
Unrealized Appreciation (Depreciation)
|
|
USD
|
243,845
|
MXN
|
(4,671,279)
|
Bank of America
|
3/27/19
|
$1,530
|
|
USD
|
2,002,682
|
EUR
|
(1,758,801)
|
Bank of New York Mellon Corp.
|
2/1/19
|
(10,178)
|
|
USD
|
2,016,385
|
EUR
|
(1,754,704)
|
Brown Brothers Harriman & Co.
|
3/27/19
|
(433)
|
|
USD
|
188,686
|
IDR
|
(2,758,670,000)
|
Citibank NA
|
2/25/19
|
(8,278)
|
|
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
|
$(17,359)
|
|||||
|
SWAP CONTRACTS
|
|
OVER THE COUNTER (OTC) CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION
|
|
Notional
Amount ($)(1) |
Counterparty
|
Obligation Reference/
Index
|
Pay/
Receive(2)
|
Annual
Fixed
Rate
|
Expiration Date
|
Premiums
Received |
Unrealized
Appreciation |
Market
Value
|
|
80,000
|
Goldman Sachs International
|
Chesapeake Energy Corp.
|
Receive
|
5.00%
|
6/20/22
|
$ (9,000)
|
$ 11,631
|
$ 2,631
|
|
45,000
|
Goldman Sachs International
|
Chesapeake Energy Corp.
|
Receive
|
5.00%
|
6/20/22
|
(5,512)
|
6,993
|
1,481
|
|
75,000
|
Goldman Sachs International
|
Chesapeake Energy Corp.
|
Receive
|
5.00%
|
6/20/22
|
(9,188)
|
11,654
|
2,466
|
|
TOTAL OVER THE COUNTER (OTC) CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION
|
$ (23,700)
|
$ 30,278
|
$ 6,578
|
|||||
|
TOTAL SWAP CONTRACTS
|
$ (23,700)
|
$ 30,278
|
$ 6,578
|
|||||
|
(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
|
|
IDR
|
-
|
Indonesian Rupiah
|
|
MXN
|
-
|
Mexican Peso
|
|
|
||
|
Various inputs are used in determining the value of the Trust'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 Trust's own assumptions in determining fair value of investments).
|
||||||||||||||||
|
The following is a summary of the inputs used as of January 31, 2019, in valuing the Trust's investments.
|
||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Common Stocks
|
||||||||||||||||
|
Health Care Technology
|
$
|
–
|
$
|
–
|
$
|
699
|
$
|
699
|
||||||||
|
Specialty Retail
|
–
|
–
|
87,543
|
87,543
|
||||||||||||
|
All Other Common Stocks
|
869
|
–
|
–
|
869
|
||||||||||||
|
Convertible Preferred Stock
|
995,733
|
–
|
–
|
995,733
|
||||||||||||
|
Preferred Stocks
|
||||||||||||||||
|
Chemicals
|
–
|
–
|
45,523
|
45,523
|
||||||||||||
|
Diversified Financial Services
|
–
|
512,500
|
–
|
512,500
|
||||||||||||
|
All Other Preferred Stocks
|
1,062,024
|
–
|
–
|
1,062,024
|
||||||||||||
|
Asset Backed Securities
|
–
|
719,209
|
–
|
719,209
|
||||||||||||
|
Collateralized Mortgage Obligations
|
–
|
24,656
|
–
|
24,656
|
||||||||||||
|
Commercial Mortgage-Backed Securities
|
–
|
3,104,584
|
179,000
|
3,283,584
|
||||||||||||
|
Convertible Corporate Bond
|
–
|
1,914,250
|
–
|
1,914,250
|
||||||||||||
|
Corporate Bonds
|
||||||||||||||||
|
Diversified Financial Services
|
–
|
–
|
7,651,154
|
7,651,154
|
||||||||||||
|
All Other Corporate Bonds
|
–
|
87,831,841
|
–
|
87,831,841
|
||||||||||||
|
Foreign Government Bonds
|
–
|
5,347,182
|
–
|
5,347,182
|
||||||||||||
|
Insurance-Linked Securities
|
||||||||||||||||
|
Collateralized Reinsurance
|
||||||||||||||||
|
Multiperil - Massachusetts
|
–
|
–
|
414,678
|
414,678
|
||||||||||||
|
Multiperil - U.S. Regional
|
–
|
–
|
244,725
|
244,725
|
||||||||||||
|
Multiperil - Worldwide
|
–
|
–
|
3,315,365
|
3,315,365
|
||||||||||||
|
Windstorm - Florida
|
–
|
–
|
497,175
|
497,175
|
||||||||||||
|
Windstorm - U.S. Regional
|
–
|
–
|
277,775
|
277,775
|
||||||||||||
|
Industry Loss Warranties
|
||||||||||||||||
|
Multiperil - U.S.
|
–
|
–
|
497,554
|
497,554
|
||||||||||||
|
Reinsurance Sidecars
|
||||||||||||||||
|
All Natural Peril - Worldwide
|
–
|
–
|
1,161,565
|
1,161,565
|
||||||||||||
|
Multiperil - U.S.
|
–
|
–
|
1,875,860
|
1,875,860
|
||||||||||||
|
Multiperil - U.S. Regional
|
–
|
–
|
220,750
|
220,750
|
||||||||||||
|
Multiperil - Worldwide
|
–
|
–
|
10,481,640
|
10,481,640
|
||||||||||||
|
All Other Insurance-Linked Securities
|
–
|
12,874,445
|
–
|
12,874,445
|
||||||||||||
|
Senior Secured Floating Rate Loan Interests
|
||||||||||||||||
|
Insurance
|
–
|
2,032,267
|
230,918
|
2,263,185
|
||||||||||||
|
All Other Senior Secured Floating Rate Loan Interests
|
–
|
44,732,585
|
–
|
44,732,585
|
||||||||||||
|
U.S. Governement and Agency Obligations
|
–
|
2,971,954
|
–
|
2,971,954
|
||||||||||||
|
Rights/Warrants
|
||||||||||||||||
|
Machinery
|
–
|
–
|
–
|
*
|
–
|
*
|
||||||||||
|
Oil, Gas & Consumable Fuels
|
–
|
–
|
–
|
*
|
–
|
*
|
||||||||||
|
Currency Put Options Purchased
|
–
|
83,903
|
–
|
83,903
|
||||||||||||
|
Total Investments in Securities
|
$
|
2,058,626
|
$
|
162,149,376
|
$
|
27,181,924
|
$
|
191,389,926
|
||||||||
|
Other Financial Instruments
|
||||||||||||||||
|
Currency Call Options Written
|
$
|
–
|
$
|
(6,033
|
)
|
$
|
–
|
$
|
(6,033
|
)
|
||||||
|
Net unrealized depreciation
on forward foreign currency contracts |
–
|
(17,359
|
)
|
–
|
(17,359
|
)
|
||||||||||
|
Swap contracts, at value
|
–
|
6,578
|
–
|
6,578
|
||||||||||||
|
Total Other
Financial Instruments |
$
|
–
|
$
|
(16,814
|
)
|
$
|
–
|
$
|
(16,814
|
)
|
||||||
|
Balance
as of
4/30/18
|
Realized
gain
(loss)
|
Change in
unrealized
appreciation
(depreciation)
|
Purchases
|
Sales
|
Accrued
discounts/
premiums
|
Transfers
in and out
of Level 3 categories*
|
Balance
as of
1/31/19
|
|||||||||||||||||||||||||
|
Common Stocks
|
||||||||||||||||||||||||||||||||
|
Capital Goods
|
||||||||||||||||||||||||||||||||
|
Industrial Machinery
|
$
|
103
|
$
|
(103
|
)
|
$
|
--
|
$
|
--
|
$
|
$ --
|
$
|
--
|
$
|
--
|
$
|
--
|
|||||||||||||||
|
Health Care Equipment &
Services
|
||||||||||||||||||||||||||||||||
|
Health Care Technology
|
699
|
--
|
--
|
--
|
--
|
--
|
--
|
699
|
||||||||||||||||||||||||
|
Retailing
|
||||||||||||||||||||||||||||||||
|
Specialty Retail
|
82,913(a
|
)
|
--
|
4,630
|
--
|
--
|
--
|
--
|
87,543
|
|||||||||||||||||||||||
|
Preferred Stocks
|
||||||||||||||||||||||||||||||||
|
Materials
|
||||||||||||||||||||||||||||||||
|
Chemicals
|
45,523(b
|
)
|
--
|
--
|
--
|
--
|
--
|
--
|
45,523
|
|||||||||||||||||||||||
|
Commercial Mortgage-Backed Securities
|
--
|
--
|
1,782
|
--
|
--
|
1,218
|
176,000
|
179,000
|
||||||||||||||||||||||||
|
Corporate Bonds
|
||||||||||||||||||||||||||||||||
|
Diversified Financials
|
||||||||||||||||||||||||||||||||
|
Diversified Financial Services
|
6,816,404(c
|
)
|
--
|
816,166
|
--
|
--
|
18,584
|
--
|
7,651,154
|
|||||||||||||||||||||||
|
Insurance-Linked Securities
|
||||||||||||||||||||||||||||||||
|
Collateralized Reinsurance
|
||||||||||||||||||||||||||||||||
|
Multiperil - Australia
|
186,782(d
|
)
|
(9,867
|
)
|
(25,482
|
)
|
--
|
(151,433
|
)
|
--
|
--
|
--
|
||||||||||||||||||||
|
Multiperil - Massachusetts
|
399,880(d
|
)
|
--
|
1,707
|
407,649
|
(394,558
|
)
|
--
|
--
|
414,678
|
||||||||||||||||||||||
|
Multiperil - U.S. Regional
|
499,600(d
|
)
|
--
|
(963
|
)
|
243,500
|
(476,563
|
)
|
(20,849
|
)
|
--
|
244,725
|
||||||||||||||||||||
|
Multiperil - Worldwide
|
4,109,313(d
|
)
|
(3,651
|
)
|
14,075
|
1,875,666
|
(2,681,011
|
)
|
973
|
--
|
3,315,365
|
|||||||||||||||||||||
|
Windstorm - Florida
|
698,550(d
|
)
|
--
|
(100,907
|
)
|
--
|
(100,468
|
)
|
--
|
--
|
497,175
|
|||||||||||||||||||||
|
Windstorm - North Carolina
|
25,125(d
|
)
|
--
|
(18,354
|
)
|
--
|
(6,771
|
)
|
--
|
--
|
--
|
|||||||||||||||||||||
|
Windstorm – U.S. Regional
|
1,499,625(d
|
)
|
--
|
(53,060
|
)
|
477,899
|
(1,646,689
|
)
|
--
|
--
|
277.775
|
|||||||||||||||||||||
|
Industry Loss Warranties
|
||||||||||||||||||||||||||||||||
|
Multiperil - U.S.
|
471,850(d
|
)
|
--
|
(6,338
|
)
|
32,042
|
--
|
--
|
--
|
497,554
|
||||||||||||||||||||||
|
Reinsurance Sidecars
|
||||||||||||||||||||||||||||||||
|
All Natural Peril – Worldwide
|
--
|
--
|
7,791
|
1,153,774
|
--
|
--
|
--
|
1,161,565
|
||||||||||||||||||||||||
|
Multiperil - U.S.
|
2,087,500(d
|
)
|
--
|
(268,979
|
)
|
304,651
|
(247,312
|
)
|
--
|
--
|
1,875,860
|
|||||||||||||||||||||
|
Multiperil - U.S. Regional
|
261,000(d
|
)
|
--
|
(40,250
|
)
|
--
|
--
|
--
|
--
|
220,750
|
||||||||||||||||||||||
|
Multiperil - Wordwide
|
11,605,042(d
|
)
|
(8,816
|
)
|
(1,191,958
|
)
|
5,109,481
|
(5,034,017
|
)
|
1,908
|
--
|
10,481,640
|
||||||||||||||||||||
|
Senior Secured Floating
Rate Loan Interests
|
||||||||||||||||||||||||||||||||
|
Capital Goods
|
||||||||||||||||||||||||||||||||
|
Aerospace & Defense
|
1,007,250
|
26,517
|
(27,035
|
)
|
--
|
(1,007,200
|
)
|
468
|
--
|
--
|
||||||||||||||||||||||
|
Health Care Equipment & Services
|
||||||||||||||||||||||||||||||||
|
Insurance
|
243,918(e
|
)
|
715
|
(4,262
|
)
|
--
|
(20,000
|
)
|
10,547
|
--
|
230,918
|
|||||||||||||||||||||
|
Total
|
$
|
30,041,077
|
$
|
4,795
|
$
|
(891,437
|
)
|
$
|
9,604,662
|
$
|
(11,766,022
|
)
|
$
|
12,849
|
$
|
176,000
|
$
|
27,181,924
|
||||||||||||||
|
Asset Type
|
Fair Value
1/31/19
|
Valuation
Technique
|
Unobservable
Input
|
Value/
Range |
|
Common Stocks
|
$88,242
|
Market Comparables
|
EBITDA Multiples(1)
|
4x-6x
|
|
Preferred Stocks
|
$45,523
|
Market Comparables
|
EBITDA Multiples(1)
|
7x-8.5x
|
|
Corporate Bonds & Notes
|
$7,651,154
|
Market Comparables
|
Yield Premiums(2)
|
1.05%
|
|
Senior Secured Floating Rate Loan Interests
|
$230,918
|
Market Comparables
|
EBITDA Multiples(1)
Yield Comparables |
4-7x
6.54%-9.03%
|
| (1) |
An increase in this unobservable input would result in a higher fair value measurement, while a decrease would result in a lower fair value measurement.
|
| (2) |
An increase in this unobservable input would result in a lower fair value measurement, while a decrease would result in a higher fair value measurement.
|
|
Date:
|
[Signature] [Title]
|