Pioneer High
|
||
Income Fund, Inc.
|
||
Schedule of Investments | June 30, 2021
|
||
Ticker Symbol: PHT
|
Shares
|
Value
|
||||||
UNAFFILIATED ISSUERS - 141.0%
|
|||||||
COMMON STOCKS - 1.3% of Net Assets
|
|||||||
Energy Equipment & Services - 0.9%
|
|||||||
89,191(a)
|
FTS International, Inc.
|
$2,523,213
|
|||||
Total Energy Equipment & Services
|
$2,523,213
|
||||||
Oil, Gas & Consumable Fuels - 0.4%
|
|||||||
21(a)
|
Amplify Energy Corp.
|
$ 85
|
|||||
802,650(a)
|
PetroQuest Energy, Inc.
|
341,126
|
|||||
12,271(a)
|
Summit Midstream Partners LP
|
372,793
|
|||||
7,997
|
Superior Energy Services, Inc.
|
253,905
|
|||||
Total Oil, Gas & Consumable Fuels
|
$ 967,909
|
||||||
Specialty Retail - 0.0%†
|
|||||||
68,241^+
|
Targus Cayman SubCo, Ltd.
|
$ 104,409
|
|||||
Total Specialty Retail
|
$ 104,409
|
||||||
TOTAL COMMON STOCKS
|
|||||||
(Cost $3,827,469)
|
$3,595,531
|
||||||
CONVERTIBLE PREFERRED STOCK - 0.9% of Net Assets
|
|||||||
Banks - 0.9%
|
|||||||
1,600(b)
|
Wells Fargo & Co., 7.5%
|
$2,441,936
|
|||||
Total Banks
|
$2,441,936
|
||||||
TOTAL CONVERTIBLE PREFERRED STOCK
|
|||||||
(Cost $2,022,424)
|
$2,441,936
|
||||||
PREFERRED STOCKS - 1.3% of Net Assets
|
|||||||
Banks - 0.1%
|
|||||||
9,421(c)
|
GMAC Capital Trust I, 5.941% (3 Month USD LIBOR + 579 bps), 2/15/40
|
$ 238,445
|
|||||
Total Banks
|
$ 238,445
|
||||||
Diversified Financial Services - 1.2%
|
|||||||
3,000(a)(b)(c)
|
Compeer Financial ACA, 6.75% (USD LIBOR + 458 bps) (144A)
|
$3,292,500
|
|||||
Total Diversified Financial Services
|
$3,292,500
|
||||||
Internet - 0.0%†
|
|||||||
129,055
|
MYT Holding LLC
|
$ 131,959
|
|||||
Total Internet
|
$ 131,959
|
||||||
TOTAL PREFERRED STOCKS
|
|||||||
(Cost $3,456,406)
|
$3,662,904
|
||||||
Principal
Amount USD ($) |
|||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.6% of Net Assets
|
|||||||
4,100,000(d)
|
Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1, 9.342% (1 Month USD LIBOR + 925 bps), 11/25/39 (144A)
|
$4,347,839
|
|||||
300,000(d)
|
Freddie Mac Stacr Remic Trust, Series 2021-DNA1, Class B2, 4.768% (SOFR30A + 475 bps), 1/25/51 (144A)
|
307,555
|
|||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|||||||
(Cost $4,384,307)
|
$4,655,394
|
||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.5% of Net Assets
|
|||||||
500,000(d)
|
Capital Funding Mortgage Trust, Series 2020-9, Class B, 15.9% (1 Month USD LIBOR + 1,490 bps), 11/19/22 (144A)
|
$ 500,000
|
|||||
605,000(d)
|
Capital Funding Mortgage Trust, Series 2021-8, Class B, 14.35% (1 Month USD LIBOR + 1,310 bps), 6/22/23 (144A)
|
605,000
|
|||||
1,500,000(d)
|
Capital Funding Mortgage Trust, Series 2021-19, Class B, 16.46% (1 Month USD LIBOR + 1,521 bps), 11/6/23 (144A)
|
1,504,365
|
|||||
1,693,081(c)
|
FREMF Mortgage Trust, Series 2019-KJ24, Class B, 7.6%, 10/25/27 (144A)
|
1,464,797
|
|||||
1,500,000(d)
|
FREMF Mortgage Trust, Series 2019-KS12, Class C, 6.986% (1 Month USD LIBOR + 690 bps), 8/25/29
|
1,220,448
|
|||||
1,139,934(d)
|
FREMF Mortgage Trust, Series 2020-KF74, Class C, 6.336% (1 Month USD LIBOR + 625 bps), 1/25/27 (144A)
|
1,126,260
|
|||||
1,500,000(d)
|
FREMF Mortgage Trust, Series 2020-KF83, Class C, 9.086% (1 Month USD LIBOR + 900 bps), 7/25/30 (144A)
|
1,522,026
|
|||||
161,261
|
L1C 3/8L1 LLC, Series 2019-1, Class B, 8.5%, 11/1/22 (144A)
|
161,293
|
|||||
2,500,000
|
Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.0%, 5/15/48 (144A)
|
1,750,681
|
|||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|||||||
(Cost $10,461,441)
|
$9,854,870
|
||||||
CONVERTIBLE CORPORATE BONDS - 3.1% of Net Assets
|
|||||||
Banks - 0.0%†
|
|||||||
|
IDR 1,422,679,000^
|
PT Bakrie & Brothers Tbk, 12/22/22
|
$ 9,812
|
||||
Total Banks
|
$ 9,812
|
||||||
Chemicals - 1.4%
|
|||||||
4,000,000(e)
|
Hercules LLC, 6.5%, 6/30/29
|
$4,015,000
|
|||||
Total Chemicals
|
$4,015,000
|
||||||
Entertainment - 0.5%
|
|||||||
732,000(f)
|
DraftKings, Inc., 3/15/28 (144A)
|
$ 659,532
|
|||||
849,000
|
IMAX Corp., 0.5%, 4/1/26 (144A)
|
885,082
|
|||||
Total Entertainment
|
$1,544,614
|
||||||
Mining - 0.5%
|
|||||||
1,050,000
|
Ivanhoe Mines, Ltd., 2.5%, 4/15/26 (144A)
|
$1,290,240
|
|||||
Total Mining
|
$1,290,240
|
||||||
Pharmaceuticals - 0.2%
|
|||||||
1,300,000
|
Tricida, Inc., 3.5%, 5/15/27
|
$ 489,263
|
|||||
Total Pharmaceuticals
|
$ 489,263
|
||||||
Principal
Amount USD ($) |
Value
|
||||||
REITs - 0.1%
|
|||||||
235,000
|
Summit Hotel Properties, Inc., 1.5%, 2/15/26
|
$ 242,168
|
|||||
Total REITs
|
$ 242,168
|
||||||
Retail - 0.2%
|
|||||||
305,000
|
Cheesecake Factory, Inc., 0.375%, 6/15/26
|
$ 300,234
|
|||||
265,000
|
Vroom, Inc., 0.75%, 7/1/26 (144A)
|
273,745
|
|||||
Total Retail
|
$ 573,979
|
||||||
Software - 0.2%
|
|||||||
675,000(f)
|
Everbridge, Inc., 3/15/26 (144A)
|
$ 689,344
|
|||||
Total Software
|
$ 689,344
|
||||||
TOTAL CONVERTIBLE CORPORATE BONDS
|
|||||||
(Cost $7,959,116)
|
$8,854,420
|
||||||
CORPORATE BONDS - 123.7% of Net Assets
|
|||||||
Advertising - 2.6%
|
|||||||
200,000
|
Clear Channel International BV, 6.625%, 8/1/25 (144A)
|
$ 210,166
|
|||||
2,090,000
|
Clear Channel Outdoor Holdings, Inc., 7.5%, 6/1/29 (144A)
|
2,163,853
|
|||||
900,000
|
Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28 (144A)
|
942,768
|
|||||
3,940,000(g)
|
MDC Partners, Inc., 7.5%, 5/1/24 (144A)
|
3,989,250
|
|||||
Total Advertising
|
$7,306,037
|
||||||
Aerospace & Defense - 0.9%
|
|||||||
1,210,000
|
Howmet Aerospace, Inc., 6.875%, 5/1/25
|
$1,408,416
|
|||||
745,000
|
Kratos Defense & Security Solutions, Inc., 6.5%, 11/30/25 (144A)
|
779,456
|
|||||
228,000
|
Triumph Group, Inc., 8.875%, 6/1/24 (144A)
|
253,650
|
|||||
Total Aerospace & Defense
|
$2,441,522
|
||||||
Airlines - 3.3%
|
|||||||
1,455,000
|
Delta Air Lines, Inc., 3.75%, 10/28/29
|
$1,454,052
|
|||||
355,000
|
Delta Air Lines, Inc., 7.375%, 1/15/26
|
416,688
|
|||||
1,380,000
|
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.5%, 6/20/27 (144A)
|
1,519,380
|
|||||
3,960,000
|
Pegasus Hava Tasimaciligi AS, 9.25%, 4/30/26 (144A)
|
4,162,752
|
|||||
|
EUR 2,000,000
|
Transportes Aereos Portugueses SA, 5.625%, 12/2/24 (144A)
|
1,960,327
|
||||
Total Airlines
|
$9,513,199
|
||||||
Auto Manufacturers - 2.0%
|
|||||||
1,650,000
|
Ford Motor Credit Co. LLC, 3.815%, 11/2/27
|
$1,718,676
|
|||||
1,399,000
|
General Motors Co., 6.125%, 10/1/25
|
1,656,736
|
|||||
2,260,000
|
JB Poindexter & Co., Inc., 7.125%, 4/15/26 (144A)
|
2,389,950
|
|||||
Total Auto Manufacturers
|
$5,765,362
|
||||||
Auto Parts & Equipment - 1.9%
|
|||||||
2,000,000
|
American Axle & Manufacturing, Inc., 6.5%, 4/1/27
|
$2,118,160
|
|||||
1,798,000
|
Dealer Tire LLC/DT Issuer LLC, 8.0%, 2/1/28 (144A)
|
1,939,089
|
|||||
1,195,000
|
Goodyear Tire & Rubber Co., 9.5%, 5/31/25
|
1,337,241
|
|||||
Total Auto Parts & Equipment
|
$5,394,490
|
||||||
Banks - 4.5%
|
|||||||
825,000
|
Access Bank Plc, 10.5%, 10/19/21 (144A)
|
$ 837,375
|
|||||
600,000(b)(c)
|
Bank of America Corp., 6.5% (3 Month USD LIBOR + 417 bps)
|
679,500
|
|||||
1,800,000(b)(c)
|
Barclays Plc, 7.75% (5 Year USD Swap Rate + 484 bps)
|
1,977,750
|
|||||
700,000(b)(c)
|
Credit Suisse Group AG, 7.5% (5 Year USD Swap Rate + 460 bps) (144A)
|
776,538
|
|||||
815,000
|
Freedom Mortgage Corp., 6.625%, 1/15/27 (144A)
|
820,094
|
|||||
1,931,000
|
Freedom Mortgage Corp., 8.125%, 11/15/24 (144A)
|
1,996,171
|
|||||
1,680,000
|
Freedom Mortgage Corp., 8.25%, 4/15/25 (144A)
|
1,753,500
|
|||||
675,000(b)(c)
|
Intesa Sanpaolo S.p.A., 7.7% (5 Year USD Swap Rate + 546 bps) (144A)
|
773,293
|
|||||
2,250,000(b)(c)
|
Natwest Group Plc, 8.625% (5 Year USD Swap Rate + 760 bps)
|
2,268,563
|
|||||
980,000(b)(c)
|
Societe Generale SA, 7.375% (5 Year USD Swap Rate + 624 bps) (144A)
|
988,624
|
|||||
Total Banks
|
$12,871,408
|
||||||
Building Materials - 1.9%
|
|||||||
1,333,000
|
Builders FirstSource, Inc., 6.75%, 6/1/27 (144A)
|
$1,427,976
|
|||||
470,000
|
Cornerstone Building Brands, Inc., 6.125%, 1/15/29 (144A)
|
504,075
|
|||||
745,000
|
CP Atlas Buyer, Inc., 7.0%, 12/1/28 (144A)
|
772,006
|
|||||
424,000
|
Koppers, Inc., 6.0%, 2/15/25 (144A)
|
437,568
|
|||||
2,062,000
|
Patrick Industries, Inc., 7.5%, 10/15/27 (144A)
|
2,229,476
|
|||||
150,000
|
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 1/15/29 (144A)
|
159,365
|
|||||
Total Building Materials
|
$5,530,466
|
||||||
Chemicals - 4.3%
|
|||||||
1,455,000
|
Hexion, Inc., 7.875%, 7/15/27 (144A)
|
$1,569,581
|
|||||
2,250,000
|
LYB Finance Co. BV, 8.1%, 3/15/27 (144A)
|
2,995,720
|
|||||
470,000
|
Olin Corp., 9.5%, 6/1/25 (144A)
|
585,150
|
|||||
2,316,000
|
Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 4/1/25 (144A)
|
2,391,270
|
|||||
1,340,000
|
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.125%, 4/1/29 (144A)
|
1,370,150
|
|||||
2,030,000
|
Tronox, Inc., 4.625%, 3/15/29 (144A)
|
2,052,797
|
|||||
1,290,000
|
Tronox, Inc., 6.5%, 5/1/25 (144A)
|
1,365,194
|
|||||
Total Chemicals
|
$12,329,862
|
||||||
Coal - 0.9%
|
|||||||
2,429,000
|
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 (144A)
|
$2,522,638
|
|||||
Total Coal
|
$2,522,638
|
||||||
Commercial Services - 6.0%
|
|||||||
495,000
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.0%, 6/1/29 (144A)
|
$ 501,826
|
|||||
350,000
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26 (144A)
|
371,081
|
|||||
1,905,000
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 7/15/27 (144A)
|
2,097,881
|
|||||
950,000
|
APX Group, Inc., 6.75%, 2/15/27 (144A)
|
1,011,436
|
|||||
Principal
Amount USD ($) |
Value
|
||||||
Commercial Services - (continued)
|
|||||||
790,000
|
Atento Luxco 1 SA, 8.0%, 2/10/26 (144A)
|
$ 859,575
|
|||||
2,116,000
|
Garda World Security Corp., 6.0%, 6/1/29 (144A)
|
2,100,130
|
|||||
2,059,000
|
Garda World Security Corp., 9.5%, 11/1/27 (144A)
|
2,280,343
|
|||||
319,000
|
Herc Holdings, Inc., 5.5%, 7/15/27 (144A)
|
336,296
|
|||||
915,000
|
NESCO Holdings II, Inc., 5.5%, 4/15/29 (144A)
|
955,031
|
|||||
4,155,000
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A)
|
4,419,881
|
|||||
1,093,000
|
Sotheby's, 7.375%, 10/15/27 (144A)
|
1,179,074
|
|||||
862,000
|
Verscend Escrow Corp., 9.75%, 8/15/26 (144A)
|
908,333
|
|||||
Total Commercial Services
|
$17,020,887
|
||||||
Computers - 1.2%
|
|||||||
555,000
|
Dell International LLC/EMC Corp., 7.125%, 6/15/24 (144A)
|
$ 569,263
|
|||||
1,810,000
|
Diebold Nixdorf, Inc., 8.5%, 4/15/24
|
1,852,988
|
|||||
175,000
|
Diebold Nixdorf, Inc., 9.375%, 7/15/25 (144A)
|
194,031
|
|||||
730,000
|
NCR Corp., 5.0%, 10/1/28 (144A)
|
754,871
|
|||||
155,000
|
NCR Corp., 8.125%, 4/15/25 (144A)
|
169,493
|
|||||
Total Computers
|
$3,540,646
|
||||||
Diversified Financial Services - 9.7%
|
|||||||
4,055,000
|
Alliance Data Systems Corp., 7.0%, 1/15/26 (144A)
|
$4,343,919
|
|||||
2,150,000
|
ASG Finance Designated Activity Co., 7.875%, 12/3/24 (144A)
|
2,090,203
|
|||||
1,240,000(h)
|
Avation Capital SA, 8.25% (9.0% PIK or 8.25% cash), 10/31/26 (144A)
|
1,027,650
|
|||||
340,000
|
Credito Real SAB de CV SOFOM ER, 8.0%, 1/21/28 (144A)
|
291,553
|
|||||
3,105,000
|
Credito Real SAB de CV SOFOM ER, 9.5%, 2/7/26 (144A)
|
2,887,681
|
|||||
|
EUR 480,000
|
Garfunkelux Holdco 3 SA, 6.75%, 11/1/25 (144A)
|
592,235
|
||||
|
GBP 820,000
|
Garfunkelux Holdco 3 SA, 7.75%, 11/1/25 (144A)
|
1,178,294
|
||||
2,147,628(h)
|
Global Aircraft Leasing Co., Ltd., 6.5% (7.25% PIK or 6.50% cash), 9/15/24 (144A)
|
2,159,193
|
|||||
1,020,000
|
Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/30 (144A)
|
1,014,900
|
|||||
845,000
|
Nationstar Mortgage Holdings, Inc., 6.0%, 1/15/27 (144A)
|
875,657
|
|||||
1,240,000
|
OneMain Finance Corp., 3.5%, 1/15/27
|
1,249,300
|
|||||
160,000
|
OneMain Finance Corp., 6.625%, 1/15/28
|
183,418
|
|||||
460,000
|
OneMain Finance Corp., 8.875%, 6/1/25
|
509,997
|
|||||
1,290,000
|
Oxford Finance LLC/Oxford Finance Co.-Issuer II, Inc., 6.375%, 12/15/22 (144A)
|
1,299,675
|
|||||
755,000
|
PHH Mortgage Corp., 7.875%, 3/15/26 (144A)
|
779,537
|
|||||
3,415,000
|
Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/25 (144A)
|
3,457,688
|
|||||
1,225,000
|
United Wholesale Mortgage LLC, 5.5%, 4/15/29 (144A)
|
1,224,718
|
|||||
2,395,000
|
VistaJet Malta Finance Plc/XO Management Holding, Inc., 10.5%, 6/1/24 (144A)
|
2,611,029
|
|||||
Total Diversified Financial Services
|
$27,776,647
|
||||||
Electric - 3.1%
|
|||||||
825,000
|
Cemig Geracao e Transmissao SA, 9.25%, 12/5/24 (144A)
|
$ 952,058
|
|||||
1,010,000(c)
|
Enel S.p.A., 8.75% (5 Year USD Swap Rate + 588 bps), 9/24/73 (144A)
|
1,174,125
|
|||||
2,240,000
|
NRG Energy, Inc., 6.625%, 1/15/27
|
2,318,893
|
|||||
950,000
|
NRG Energy, Inc., 7.25%, 5/15/26
|
984,775
|
|||||
1,001,273
|
NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25 (144A)
|
1,066,356
|
|||||
1,520,000
|
Talen Energy Supply LLC, 7.625%, 6/1/28 (144A)
|
1,422,279
|
|||||
1,100,000
|
Talen Energy Supply LLC, 10.5%, 1/15/26 (144A)
|
805,750
|
|||||
6,000
|
Vistra Operations Co. LLC, 5.625%, 2/15/27 (144A)
|
6,225
|
|||||
Total Electric
|
$8,730,461
|
||||||
Electrical Components & Equipment - 0.5%
|
|||||||
750,000
|
WESCO Distribution, Inc., 7.125%, 6/15/25 (144A)
|
$ 810,525
|
|||||
520,000
|
WESCO Distribution, Inc., 7.25%, 6/15/28 (144A)
|
579,202
|
|||||
Total Electrical Components & Equipment
|
$1,389,727
|
||||||
Electronics - 0.1%
|
|||||||
380,000
|
TTM Technologies, Inc., 4.0%, 3/1/29 (144A)
|
$ 382,303
|
|||||
Total Electronics
|
$ 382,303
|
||||||
Energy-Alternate Sources - 0.6%
|
|||||||
1,575,000
|
Renewable Energy Group, Inc., 5.875%, 6/1/28 (144A)
|
$1,648,742
|
|||||
Total Energy-Alternate Sources
|
$1,648,742
|
||||||
Engineering & Construction - 1.4%
|
|||||||
475,000
|
Brundage-Bone Concrete Pumping Holdings, Inc., 6.0%, 2/1/26 (144A)
|
$ 500,032
|
|||||
3,010,000
|
PowerTeam Services LLC, 9.033%, 12/4/25 (144A)
|
3,311,000
|
|||||
704,038(i)
|
Stoneway Capital Corp., 10.0%, 3/1/27 (144A)
|
200,651
|
|||||
Total Engineering & Construction
|
$4,011,683
|
||||||
Entertainment - 5.9%
|
|||||||
768,000
|
AMC Entertainment Holdings, Inc., 10.5%, 4/24/26 (144A)
|
$ 833,280
|
|||||
2,264,138(h)
|
AMC Entertainment Holdings, Inc., 12.0% (12.0% PIK or 10.0% cash), 6/15/26 (144A)
|
2,317,911
|
|||||
455,000
|
Boyne USA, Inc., 4.75%, 5/15/29 (144A)
|
469,437
|
|||||
1,085,000
|
Caesars Entertainment, Inc., 8.125%, 7/1/27 (144A)
|
1,206,737
|
|||||
|
EUR 1,025,000
|
Cirsa Finance International S.a.r.l., 6.25%, 12/20/23 (144A)
|
1,231,509
|
||||
854,000
|
Cirsa Finance International S.a.r.l., 7.875%, 12/20/23 (144A)
|
869,458
|
|||||
37,050(h)
|
Codere Finance 2 Luxembourg SA, 11.625% (7.125% PIK or 4.50% cash), 11/1/23 (144A)
|
26,858
|
|||||
380,000
|
International Game Technology Plc, 4.125%, 4/15/26 (144A)
|
395,675
|
|||||
395,000
|
International Game Technology Plc, 6.25%, 1/15/27 (144A)
|
450,300
|
|||||
656,000
|
International Game Technology Plc, 6.5%, 2/15/25 (144A)
|
735,540
|
|||||
1,265,000
|
Lions Gate Capital Holdings LLC, 5.5%, 4/15/29 (144A)
|
1,329,831
|
|||||
1,880,000
|
Mohegan Gaming & Entertainment, 8.0%, 2/1/26 (144A)
|
1,964,412
|
|||||
1,910,000
|
Scientific Games International, Inc., 7.0%, 5/15/28 (144A)
|
2,086,675
|
|||||
1,910,000
|
Scientific Games International, Inc., 7.25%, 11/15/29 (144A)
|
2,154,480
|
|||||
571,000
|
Scientific Games International, Inc., 8.25%, 3/15/26 (144A)
|
612,386
|
|||||
208,000
|
SeaWorld Parks & Entertainment, Inc., 9.5%, 8/1/25 (144A)
|
223,080
|
|||||
Total Entertainment
|
$16,907,569
|
||||||
Principal
Amount USD ($) |
Value
|
||||||
Environmental Control - 1.1%
|
|||||||
1,691,000
|
Covanta Holding Corp., 6.0%, 1/1/27
|
$1,758,640
|
|||||
1,280,000
|
Tervita Corp., 11.0%, 12/1/25 (144A)
|
1,433,254
|
|||||
Total Environmental Control
|
$3,191,894
|
||||||
Food - 1.4%
|
|||||||
531,000
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 7.5%, 3/15/26 (144A)
|
$ 582,772
|
|||||
1,412,000
|
FAGE International SA/FAGE USA Dairy Industry, Inc., 5.625%, 8/15/26 (144A)
|
1,454,360
|
|||||
775,000
|
JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 2/15/28 (144A)
|
851,531
|
|||||
625,000
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.5%, 4/15/29 (144A)
|
702,350
|
|||||
460,000
|
United Natural Foods, Inc., 6.75%, 10/15/28 (144A)
|
495,034
|
|||||
Total Food
|
$4,086,047
|
||||||
Forest Products & Paper - 1.0%
|
|||||||
2,035,000
|
Mercer International, Inc., 5.125%, 2/1/29 (144A)
|
$2,094,015
|
|||||
831,000
|
Schweitzer-Mauduit International, Inc., 6.875%, 10/1/26 (144A)
|
879,821
|
|||||
Total Forest Products & Paper
|
$2,973,836
|
||||||
Healthcare-Products - 0.9%
|
|||||||
2,235,000
|
Varex Imaging Corp., 7.875%, 10/15/27 (144A)
|
$2,503,200
|
|||||
Total Healthcare-Products
|
$2,503,200
|
||||||
Healthcare-Services - 4.9%
|
|||||||
610,000
|
AHP Health Partners, Inc., 5.75%, 7/15/29 (144A)
|
$ 618,387
|
|||||
1,425,000
|
Auna SAA, 6.5%, 11/20/25 (144A)
|
1,471,327
|
|||||
1,340,000
|
Centene Corp., 4.625%, 12/15/29
|
1,473,692
|
|||||
580,000
|
CHS/Community Health Systems, Inc., 5.625%, 3/15/27 (144A)
|
617,700
|
|||||
265,000
|
CHS/Community Health Systems, Inc., 6.0%, 1/15/29 (144A)
|
283,550
|
|||||
580,000
|
Legacy LifePoint Health LLC, 6.75%, 4/15/25 (144A)
|
616,975
|
|||||
385,000
|
LifePoint Health, Inc., 5.375%, 1/15/29 (144A)
|
375,375
|
|||||
2,640,000
|
Prime Healthcare Services, Inc., 7.25%, 11/1/25 (144A)
|
2,844,600
|
|||||
2,396,000
|
Surgery Center Holdings, Inc., 10.0%, 4/15/27 (144A)
|
2,629,610
|
|||||
425,000
|
US Acute Care Solutions LLC, 6.375%, 3/1/26 (144A)
|
439,153
|
|||||
2,500,000
|
US Renal Care, Inc., 10.625%, 7/15/27 (144A)
|
2,621,875
|
|||||
Total Healthcare-Services
|
$13,992,244
|
||||||
Home Builders - 1.9%
|
|||||||
475,000
|
Beazer Homes USA, Inc., 6.75%, 3/15/25
|
$ 490,437
|
|||||
1,155,000
|
Beazer Homes USA, Inc., 7.25%, 10/15/29
|
1,282,420
|
|||||
1,680,000
|
Brookfield Residential Properties, Inc./Brookfield Residential US LLC, 4.875%, 2/15/30 (144A)
|
1,663,704
|
|||||
790,000
|
KB Home, 7.5%, 9/15/22
|
845,300
|
|||||
1,035,000
|
KB Home, 7.625%, 5/15/23
|
1,125,221
|
|||||
Total Home Builders
|
$5,407,082
|
||||||
Housewares - 0.1%
|
|||||||
250,000
|
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25 (144A)
|
$ 267,970
|
|||||
Total Housewares
|
$ 267,970
|
||||||
Insurance - 5.5%
|
|||||||
3,800,000
|
Hanover Insurance Group, Inc., 7.625%, 10/15/25
|
$4,692,104
|
|||||
3,075,000(c)
|
Liberty Mutual Group, Inc., 10.75% (3 Month USD LIBOR + 712 bps), 6/15/58 (144A)
|
4,401,189
|
|||||
3,000,000
|
Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A)
|
4,667,719
|
|||||
1,100,000
|
MetLife, Inc., 10.75%, 8/1/39
|
1,903,026
|
|||||
Total Insurance
|
$15,664,038
|
||||||
Internet - 0.1%
|
|||||||
205,000
|
Expedia Group, Inc., 6.25%, 5/1/25 (144A)
|
$ 238,344
|
|||||
Total Internet
|
$ 238,344
|
||||||
Iron & Steel - 2.0%
|
|||||||
1,840,000
|
Cleveland-Cliffs, Inc., 6.75%, 3/15/26 (144A)
|
$1,984,900
|
|||||
155,000
|
Cleveland-Cliffs, Inc., 9.875%, 10/17/25 (144A)
|
181,662
|
|||||
1,470,000
|
Commercial Metals Co., 5.375%, 7/15/27
|
1,554,525
|
|||||
1,860,000
|
TMS International Corp., 6.25%, 4/15/29 (144A)
|
1,953,000
|
|||||
Total Iron & Steel
|
$5,674,087
|
||||||
Leisure Time - 2.7%
|
|||||||
215,000
|
Carnival Corp., 7.625%, 3/1/26 (144A)
|
$ 233,544
|
|||||
|
EUR 280,000
|
Carnival Corp., 7.625%, 3/1/26 (144A)
|
367,219
|
||||
285,000
|
Carnival Corp., 10.5%, 2/1/26 (144A)
|
331,811
|
|||||
1,295,000
|
NCL Corp., Ltd., 5.875%, 3/15/26 (144A)
|
1,356,513
|
|||||
360,000
|
NCL Finance, Ltd., 6.125%, 3/15/28 (144A)
|
377,262
|
|||||
|
EUR 350,000
|
Pinnacle Bidco Plc, 5.5%, 2/15/25 (144A)
|
424,993
|
||||
745,000
|
Royal Caribbean Cruises, Ltd., 5.5%, 4/1/28 (144A)
|
780,239
|
|||||
270,000
|
Royal Caribbean Cruises, Ltd., 9.125%, 6/15/23 (144A)
|
296,325
|
|||||
638,000
|
Royal Caribbean Cruises, Ltd., 11.5%, 6/1/25 (144A)
|
735,295
|
|||||
2,790,000
|
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)
|
2,776,050
|
|||||
165,000
|
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29 (144A)
|
166,650
|
|||||
Total Leisure Time
|
$7,845,901
|
||||||
Lodging - 2.7%
|
|||||||
535,000
|
Boyd Gaming Corp., 4.75%, 6/15/31 (144A)
|
$ 555,881
|
|||||
880,000
|
Boyd Gaming Corp., 8.625%, 6/1/25 (144A)
|
970,085
|
|||||
950,000
|
Hilton Domestic Operating Co., Inc., 3.75%, 5/1/29 (144A)
|
957,315
|
|||||
910,000
|
Hilton Domestic Operating Co., Inc., 4.0%, 5/1/31 (144A)
|
918,072
|
|||||
815,000
|
Hyatt Hotels Corp., 5.375%, 4/23/25
|
920,477
|
|||||
390,000
|
Hyatt Hotels Corp., 5.75%, 4/23/30
|
473,859
|
|||||
325,000
|
Marriott International, Inc., 5.75%, 5/1/25
|
375,271
|
|||||
1,700,000
|
MGM Resorts International, 6.0%, 3/15/23
|
1,818,490
|
|||||
Principal
Amount USD ($) |
Value
|
||||||
Lodging - (continued)
|
|||||||
725,000
|
Travel + Leisure Co., 6.625%, 7/31/26 (144A)
|
$ 821,425
|
|||||
Total Lodging
|
$7,810,875
|
||||||
Machinery-Construction & Mining - 0.3%
|
|||||||
955,000
|
Terex Corp., 5.0%, 5/15/29 (144A)
|
$ 995,588
|
|||||
Total Machinery-Construction & Mining
|
$ 995,588
|
||||||
Machinery-Diversified - 0.5%
|
|||||||
1,517,000
|
Maxim Crane Works Holdings Capital LLC, 10.125%, 8/1/24 (144A)
|
$1,564,406
|
|||||
Total Machinery-Diversified
|
$1,564,406
|
||||||
Media - 3.4%
|
|||||||
480,000
|
Audacy Capital Corp., 6.75%, 3/31/29 (144A)
|
$ 498,055
|
|||||
1,255,000
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 6/1/33 (144A)
|
1,284,191
|
|||||
2,050,000
|
Cengage Learning, Inc., 9.5%, 6/15/24 (144A)
|
2,098,688
|
|||||
825,000
|
CSC Holdings LLC, 5.0%, 11/15/31 (144A)
|
828,960
|
|||||
1,404,000
|
Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/27 (144A)
|
687,960
|
|||||
303,000
|
Gray Television, Inc., 5.875%, 7/15/26 (144A)
|
312,848
|
|||||
1,057,000
|
Gray Television, Inc., 7.0%, 5/15/27 (144A)
|
1,142,881
|
|||||
1,445,000
|
Summer BC Bidco B LLC, 5.5%, 10/31/26 (144A)
|
1,469,637
|
|||||
|
GBP 890,000
|
Virgin Media Vendor Financing Notes III, DAC, 4.875%, 7/15/28 (144A)
|
1,246,730
|
||||
Total Media
|
$9,569,950
|
||||||
Mining - 3.4%
|
|||||||
940,000
|
Arconic Corp., 6.125%, 2/15/28 (144A)
|
$1,008,357
|
|||||
1,240,000
|
Coeur Mining, Inc., 5.125%, 2/15/29 (144A)
|
1,227,600
|
|||||
375,000
|
First Quantum Minerals, Ltd., 6.875%, 3/1/26 (144A)
|
392,812
|
|||||
705,000
|
First Quantum Minerals, Ltd., 6.875%, 10/15/27 (144A)
|
768,238
|
|||||
1,750,000
|
First Quantum Minerals, Ltd., 7.25%, 4/1/23 (144A)
|
1,783,915
|
|||||
692,000
|
Hudbay Minerals, Inc., 6.125%, 4/1/29 (144A)
|
736,980
|
|||||
2,548,000
|
Joseph T Ryerson & Son, Inc., 8.5%, 8/1/28 (144A)
|
2,828,280
|
|||||
1,000,000
|
Novelis Corp., 5.875%, 9/30/26 (144A)
|
1,040,255
|
|||||
Total Mining
|
$9,786,437
|
||||||
Miscellaneous Manufacturers - 0.4%
|
|||||||
960,000
|
Bombardier, Inc., 7.125%, 6/15/26 (144A)
|
$1,000,800
|
|||||
Total Miscellaneous Manufacturers
|
$1,000,800
|
||||||
Multi-National - 0.3%
|
|||||||
|
IDR 10,330,000,000
|
Inter-American Development Bank, 7.875%, 3/14/23
|
$ 749,602
|
||||
Total Multi-National
|
$ 749,602
|
||||||
Oil & Gas - 11.9%
|
|||||||
2,430,000
|
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 2/15/26 (144A)
|
$2,630,961
|
|||||
1,105,000
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/29 (144A)
|
1,105,000
|
|||||
4,000,000
|
Baytex Energy Corp., 8.75%, 4/1/27 (144A)
|
4,030,000
|
|||||
1,402,000
|
Cenovus Energy, Inc., 6.75%, 11/15/39
|
1,904,450
|
|||||
2,085,000
|
Colgate Energy Partners III LLC, 7.75%, 2/15/26 (144A)
|
2,285,681
|
|||||
330,000
|
Endeavor Energy Resources LP/EER Finance, Inc., 6.625%, 7/15/25 (144A)
|
353,100
|
|||||
830,000
|
Hilcorp Energy I LP/Hilcorp Finance Co., 6.0%, 2/1/31 (144A)
|
879,053
|
|||||
1,010,000
|
MEG Energy Corp., 5.875%, 2/1/29 (144A)
|
1,052,925
|
|||||
250,000
|
MEG Energy Corp., 6.5%, 1/15/25 (144A)
|
258,842
|
|||||
1,535,000
|
MEG Energy Corp., 7.125%, 2/1/27 (144A)
|
1,635,274
|
|||||
1,280,000
|
Murphy Oil Corp., 6.375%, 7/15/28
|
1,349,568
|
|||||
2,000,000
|
Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A)
|
2,053,400
|
|||||
2,010,000
|
Occidental Petroleum Corp., 4.4%, 4/15/46
|
1,930,605
|
|||||
1,331,000
|
PBF Holding Co. LLC/PBF Finance Corp., 6.0%, 2/15/28
|
911,735
|
|||||
1,145,000
|
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25 (144A)
|
1,153,462
|
|||||
1,245,000
|
Petroleos Mexicanos, 6.875%, 10/16/25 (144A)
|
1,378,215
|
|||||
1,100,000
|
Precision Drilling Corp., 6.875%, 1/15/29 (144A)
|
1,133,000
|
|||||
2,269,000
|
Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A)
|
1,802,720
|
|||||
1,015,000
|
Shelf Drilling Holdings, Ltd., 8.875%, 11/15/24 (144A)
|
1,047,988
|
|||||
2,075,000
|
Tullow Oil Plc, 10.25%, 5/15/26 (144A)
|
2,177,298
|
|||||
2,015,000
|
Vine Energy Holdings LLC, 6.75%, 4/15/29 (144A)
|
2,122,732
|
|||||
1,000,000
|
YPF SA, 6.95%, 7/21/27 (144A)
|
704,400
|
|||||
|
ARS 15,750,000
|
YPF SA, 16.5%, 5/9/22 (144A)
|
148,080
|
||||
Total Oil & Gas
|
$34,048,489
|
||||||
Oil & Gas Services - 2.4%
|
|||||||
385,000
|
Archrock Partners LP/Archrock Partners Finance Corp., 6.25%, 4/1/28 (144A)
|
$ 401,905
|
|||||
2,583,000
|
Archrock Partners LP/Archrock Partners Finance Corp., 6.875%, 4/1/27 (144A)
|
2,741,209
|
|||||
1,940,000
|
Exterran Energy Solutions LP/EES Finance Corp., 8.125%, 5/1/25
|
1,716,900
|
|||||
1,175,000
|
TechnipFMC Plc, 6.5%, 2/1/26 (144A)
|
1,268,908
|
|||||
703,000
|
USA Compression Partners LP/USA Compression Finance Corp., 6.875%, 9/1/27
|
751,001
|
|||||
Total Oil & Gas Services
|
$6,879,923
|
||||||
Packaging & Containers - 0.9%
|
|||||||
1,087,000
|
Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.0%, 2/15/25 (144A)
|
$1,121,241
|
|||||
1,500,000
|
Greif, Inc., 6.5%, 3/1/27 (144A)
|
1,582,050
|
|||||
Total Packaging & Containers
|
$2,703,291
|
||||||
Pharmaceuticals - 3.4%
|
|||||||
1,005,000
|
Bausch Health Americas, Inc., 8.5%, 1/31/27 (144A)
|
$1,092,335
|
|||||
535,000
|
Bausch Health Cos., Inc., 7.0%, 1/15/28 (144A)
|
551,050
|
|||||
535,000
|
Bausch Health Cos., Inc., 7.25%, 5/30/29 (144A)
|
546,722
|
|||||
1,970,000
|
Endo, DAC/Endo Finance LLC/Endo Finco, Inc., 6.0%, 6/30/28 (144A)
|
1,328,479
|
|||||
1,376,000
|
Endo, DAC/Endo Finance LLC/Endo Finco, Inc., 9.5%, 7/31/27 (144A)
|
1,403,520
|
|||||
1,000,000
|
Jazz Securities, DAC, 4.375%, 1/15/29 (144A)
|
1,036,800
|
|||||
965,000
|
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (144A)
|
1,013,250
|
|||||
Principal
Amount USD ($) |
Value
|
||||||
Pharmaceuticals - (continued)
|
|||||||
579,000
|
Par Pharmaceutical, Inc., 7.5%, 4/1/27 (144A)
|
$ 592,027
|
|||||
2,080,000
|
Teva Pharmaceutical Finance Netherlands III BV, 2.8%, 7/21/23
|
2,072,699
|
|||||
Total Pharmaceuticals
|
$9,636,882
|
||||||
Pipelines - 7.3%
|
|||||||
910,000
|
DCP Midstream Operating LP, 5.6%, 4/1/44
|
$1,001,000
|
|||||
1,175,000(c)
|
DCP Midstream Operating LP, 5.85% (3 Month USD LIBOR + 385 bps), 5/21/43 (144A)
|
1,086,875
|
|||||
1,210,000
|
Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75%, 5/15/25
|
1,243,275
|
|||||
1,060,000
|
Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.125%, 6/1/28 (144A)
|
1,118,300
|
|||||
1,524,000(d)
|
Energy Transfer LP, 3.193% (3 Month USD LIBOR + 302 bps), 11/1/66
|
1,224,298
|
|||||
1,965,000(b)(c)
|
Energy Transfer LP, 7.125% (5 Year CMT Index + 531 bps)
|
2,028,862
|
|||||
925,000
|
EnLink Midstream Partners LP, 4.15%, 6/1/25
|
968,790
|
|||||
248,000
|
EnLink Midstream Partners LP, 5.05%, 4/1/45
|
213,280
|
|||||
270,000
|
EnLink Midstream Partners LP, 5.45%, 6/1/47
|
239,625
|
|||||
717,000
|
EnLink Midstream Partners LP, 5.6%, 4/1/44
|
648,885
|
|||||
770,000
|
Genesis Energy LP/Genesis Energy Finance Corp., 8.0%, 1/15/27
|
808,981
|
|||||
421,000
|
Global Partners LP/GLP Finance Corp., 7.0%, 8/1/27
|
446,260
|
|||||
1,760,000
|
Harvest Midstream I LP, 7.5%, 9/1/28 (144A)
|
1,911,360
|
|||||
1,150,000
|
NuStar Logistics LP, 6.375%, 10/1/30
|
1,270,635
|
|||||
1,850,000
|
ONEOK, Inc., 6.875%, 9/30/28
|
2,349,754
|
|||||
1,885,000
|
PBF Logistics LP/PBF Logistics Finance Corp., 6.875%, 5/15/23
|
1,852,013
|
|||||
1,801,000
|
Williams Cos., Inc., 5.75%, 6/24/44
|
2,362,851
|
|||||
Total Pipelines
|
$20,775,044
|
||||||
Real Estate - 0.2%
|
|||||||
655,000
|
Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 1/15/29 (144A)
|
$ 684,730
|
|||||
Total Real Estate
|
$ 684,730
|
||||||
REITs - 1.9%
|
|||||||
1,363,000
|
MPT Operating Partnership LP/MPT Finance Corp., 4.625%, 8/1/29
|
$1,459,037
|
|||||
3,676,000
|
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/25 (144A)
|
3,928,725
|
|||||
Total REITs
|
$5,387,762
|
||||||
Retail - 4.1%
|
|||||||
1,240,000
|
AAG FH LP/AAG FH Finco, Inc., 9.75%, 7/15/24 (144A)
|
$1,227,600
|
|||||
320,000
|
Ambience Merger Sub, Inc., 4.875%, 7/15/28 (144A)
|
321,200
|
|||||
520,000
|
Ambience Merger Sub, Inc., 7.125%, 7/15/29 (144A)
|
524,550
|
|||||
589,000
|
Asbury Automotive Group, Inc., 4.75%, 3/1/30
|
615,505
|
|||||
400,000
|
Bloomin' Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/29 (144A)
|
411,000
|
|||||
1,045,000
|
Golden Nugget, Inc., 6.75%, 10/15/24 (144A)
|
1,055,680
|
|||||
470,000
|
IRB Holding Corp., 7.0%, 6/15/25 (144A)
|
507,445
|
|||||
1,625,000
|
L Brands, Inc., 6.625%, 10/1/30 (144A)
|
1,876,875
|
|||||
1,365,000
|
LCM Investments Holdings II LLC, 4.875%, 5/1/29 (144A)
|
1,399,125
|
|||||
615,000
|
Macy's Retail Holdings LLC, 5.875%, 4/1/29 (144A)
|
661,389
|
|||||
405,000
|
Park River Holdings, Inc., 5.625%, 2/1/29 (144A)
|
393,812
|
|||||
880,000
|
Party City Holdings, Inc., 8.75%, 2/15/26 (144A)
|
939,400
|
|||||
475,000
|
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/29 (144A)
|
522,391
|
|||||
275,000
|
SRS Distribution, Inc., 6.125%, 7/1/29 (144A)
|
283,005
|
|||||
798,000
|
Staples, Inc., 7.5%, 4/15/26 (144A)
|
827,925
|
|||||
Total Retail
|
$11,566,902
|
||||||
Software - 0.5%
|
|||||||
1,350,000
|
Rackspace Technology Global, Inc., 5.375%, 12/1/28 (144A)
|
$1,385,438
|
|||||
Total Software
|
$1,385,438
|
||||||
Telecommunications - 5.0%
|
|||||||
1,495,000
|
Altice France Holding SA, 6.0%, 2/15/28 (144A)
|
$1,483,381
|
|||||
1,169,000
|
Altice France Holding SA, 10.5%, 5/15/27 (144A)
|
1,299,051
|
|||||
270,000
|
Altice France SA, 5.125%, 1/15/29 (144A)
|
271,350
|
|||||
1,075,000
|
Cincinnati Bell, Inc., 8.0%, 10/15/25 (144A)
|
1,130,094
|
|||||
559,000
|
CommScope Technologies LLC, 6.0%, 6/15/25 (144A)
|
570,879
|
|||||
119,296
|
Digicel International Finance, Ltd./Digicel international Holdings, Ltd., 8.0%, 12/31/26 (144A)
|
116,910
|
|||||
298,833
|
Digicel International Finance, Ltd./Digicel international Holdings, Ltd., 8.75%, 5/25/24 (144A)
|
311,160
|
|||||
163,968(h)
|
Digicel International Finance, Ltd./Digicel international Holdings, Ltd., 13.0% (7.0% PIK or 6.0% cash), 12/31/25 (144A)
|
164,378
|
|||||
1,050,000
|
LogMeIn, Inc., 5.5%, 9/1/27 (144A)
|
1,086,802
|
|||||
1,700,000
|
Lumen Technologies, Inc., 5.625%, 4/1/25
|
1,840,250
|
|||||
3,080,000
|
Sprint Corp., 7.125%, 6/15/24
|
3,553,550
|
|||||
41,000
|
Sprint Corp., 7.625%, 3/1/26
|
50,020
|
|||||
2,385,000
|
Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28 (144A)
|
2,456,550
|
|||||
Total Telecommunications
|
$14,334,375
|
||||||
Transportation - 2.4%
|
|||||||
1,375,000
|
Danaos Corp., 8.5%, 3/1/28 (144A)
|
$1,507,784
|
|||||
1,500,000
|
Seaspan Corp., 6.5%, 4/29/26 (144A)
|
1,580,625
|
|||||
1,240,000
|
Watco Cos., LLC/Watco Finance Corp., 6.5%, 6/15/27 (144A)
|
1,326,800
|
|||||
2,055,000
|
Western Global Airlines LLC, 10.375%, 8/15/25 (144A)
|
2,349,666
|
|||||
Total Transportation
|
$6,764,875
|
||||||
Trucking & Leasing - 0.3%
|
|||||||
690,000
|
Fortress Transportation & Infrastructure Investors LLC, 9.75%, 8/1/27 (144A)
|
$ 797,813
|
|||||
Total Trucking & Leasing
|
$ 797,813
|
||||||
TOTAL CORPORATE BONDS
|
|||||||
(Cost $326,636,079)
|
$353,371,474
|
||||||
Principal
Amount USD ($) |
Value
|
||||||
FOREIGN GOVERNMENT BONDS - 1.3% of Net Assets
|
|||||||
Bahrain - 0.4%
|
|||||||
1,055,000
|
Bahrain Government International Bond, 5.625%, 9/30/31 (144A)
|
$1,068,188
|
|||||
Total Bahrain
|
$1,068,188
|
||||||
Mexico - 0.7%
|
|||||||
|
MXN 38,420,700
|
Mexican Bonos, 8.0%, 12/7/23
|
$2,019,659
|
||||
Total Mexico
|
$2,019,659
|
||||||
Russia - 0.2%
|
|||||||
522,000(g)
|
Russian Government International Bond, 7.5%, 3/31/30
|
$ 600,300
|
|||||
Total Russia
|
$ 600,300
|
||||||
TOTAL FOREIGN GOVERNMENT BONDS
|
|||||||
(Cost $3,490,661)
|
$3,688,147
|
||||||
Face
Amount USD ($) |
|||||||
INSURANCE-LINKED SECURITIES - 0.4% of Net Assets#
|
|||||||
Collateralized Reinsurance - 0.1%
|
|||||||
Multiperil - U.S. - 0.0%†
|
|||||||
500,000+(j)
|
Dingle Re 2019, 2/1/22
|
$ 10,263
|
|||||
Multiperil - Worldwide - 0.1%
|
|||||||
500,000+(a)(j)
|
Cypress Re 2017, 1/31/22
|
$ 50
|
|||||
324,897+(a)(j)
|
Gloucester Re 2018, 2/28/22
|
57,182
|
|||||
54,000+(j)
|
Limestone Re, 3/1/23 (144A)
|
32,065
|
|||||
12,000+(j)
|
Limestone Re 2016-1, 8/31/21
|
675
|
|||||
12,000+(j)
|
Limestone Re 2016-1, 8/31/21
|
675
|
|||||
277,770+(a)(j)
|
Oyster Bay Re 2018, 1/31/22
|
252,104
|
|||||
400,000+(a)(j)
|
Resilience Re, 10/6/21 (144A)
|
–
|
|||||
$ 342,751
|
|||||||
Total Collateralized Reinsurance
|
$ 353,014
|
||||||
Reinsurance Sidecars - 0.3%
|
|||||||
Multiperil - U.S. - 0.0%†
|
|||||||
1,000,000+(a)(j)
|
Carnoustie Re 2017, 11/30/21
|
$ 131,800
|
|||||
500,000+(a)(k)
|
Harambee Re 2018, 12/31/21
|
1,400
|
|||||
600,000+(k)
|
Harambee Re 2019, 12/31/22
|
3,060
|
|||||
$ 136,260
|
|||||||
Multiperil - Worldwide - 0.3%
|
|||||||
3,037+(k)
|
Alturas Re 2019-2, 3/10/22
|
$ 4,170
|
|||||
24,550+(k)
|
Alturas Re 2019-3, 9/12/23
|
19,876
|
|||||
162,311+(a)(j)
|
Alturas Re 2020-1A, 3/10/23 (144A)
|
65,703
|
|||||
29,558+(k)
|
Alturas Re 2020-2, 3/10/23
|
35,529
|
|||||
1,167,977+(a)(j)
|
Berwick Re 2018-1, 12/31/21
|
112,222
|
|||||
834,446+(a)(j)
|
Berwick Re 2019-1, 12/31/22
|
99,716
|
|||||
1,000+(j)
|
Limestone Re 2018, 3/1/22
|
–
|
|||||
500,000+(a)(k)
|
Lorenz Re 2018, 7/1/22
|
2,550
|
|||||
499,318+(a)(k)
|
Lorenz Re 2019, 6/30/22
|
54,775
|
|||||
500,000+(a)(j)
|
Merion Re 2018-2, 12/31/21
|
82,750
|
|||||
1,000,000+(j)
|
Pangaea Re 2016-2, 11/30/21
|
1,783
|
|||||
500,000+(a)(j)
|
Pangaea Re 2018-1, 12/31/21
|
10,527
|
|||||
1,000,000+(a)(j)
|
Pangaea Re 2018-3, 7/1/22
|
20,743
|
|||||
409,624+(a)(j)
|
Pangaea Re 2019-1, 2/1/23
|
8,535
|
|||||
735,313+(a)(j)
|
Pangaea Re 2019-3, 7/1/23
|
26,450
|
|||||
300,000+(a)(j)
|
Sector Re V, 12/1/23 (144A)
|
62,863
|
|||||
20,000+(a)(j)
|
Sector Re V, 12/1/24 (144A)
|
54,101
|
|||||
250,000+(j)
|
Sussex Re 2020-1, 12/31/22
|
12,575
|
|||||
500,000+(a)(j)
|
Versutus Re 2018, 12/31/21
|
–
|
|||||
441,274+(j)
|
Versutus Re 2019-A, 12/31/21
|
11,297
|
|||||
58,727+(j)
|
Versutus Re 2019-B, 12/31/21
|
1,433
|
|||||
253,645+(a)(j)
|
Woburn Re 2018, 12/31/21
|
18,618
|
|||||
244,914+(a)(j)
|
Woburn Re 2019, 12/31/22
|
72,421
|
|||||
$ 778,637
|
|||||||
Total Reinsurance Sidecars
|
$ 914,897
|
||||||
TOTAL INSURANCE-LINKED SECURITIES
|
|||||||
(Cost $1,982,341)
|
$1,267,911
|
||||||
Principal
Amount USD ($) |
|||||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 3.8% of Net Assets*(d)
|
|||||||
Aerospace & Defense - 0.6%
|
|||||||
1,140,000
|
Grupo Aeroméxico, SAB De CV, DIP Tranche 1 Term Loan, 9.0% (LIBOR + 800 bps), 12/31/21
|
$1,148,550
|
|||||
484,166
|
Grupo Aeroméxico, SAB De CV, DIP Tranche 2 Term Loan, 15.5% (LIBOR + 1,450 bps), 12/31/21
|
496,876
|
|||||
Total Aerospace & Defense
|
$1,645,426
|
||||||
Airlines - 0.1%
|
|||||||
375,000
|
AAdvantage Loyality IP, Ltd., Initial Term Loan, 5.5% (LIBOR + 475 bps), 4/20/28
|
$ 391,406
|
|||||
Total Airlines
|
$ 391,406
|
||||||
Diversified & Conglomerate Service - 0.9%
|
|||||||
1,421,958
|
First Brands Group LLC, First Lien 2021 Term Loan, 6.0% (LIBOR + 500 bps), 3/30/27
|
$1,440,621
|
|||||
Principal
Amount USD ($) |
Value
|
||||||
Diversified & Conglomerate Service - (continued)
|
|||||||
1,075,157
|
Team Health Holdings, Inc., Initial Term Loan, 3.75% (LIBOR + 275 bps), 2/6/24
|
$1,046,357
|
|||||
Total Diversified & Conglomerate Service
|
$2,486,978
|
||||||
Entertainment & Leisure - 0.9%
|
|||||||
2,681,063
|
Enterprise Development Authority, Term B Loan, 5.0% (LIBOR + 425 bps), 2/28/28
|
$2,694,468
|
|||||
Total Entertainment & Leisure
|
$2,694,468
|
||||||
Healthcare, Education & Childcare - 0.1%
|
|||||||
199,500
|
Surgery Center Holdings, Inc. 2021 New Term Loan, 4.5% (LIBOR + 375 bps), 8/31/26
|
$ 200,607
|
|||||
Total Healthcare, Education & Childcare
|
$ 200,607
|
||||||
Securities & Trusts - 0.5%
|
|||||||
1,377,847
|
Spectacle Gary Holdings LLC, Closing Date Term Loan, 11.0% (LIBOR + 900 bps), 12/23/25
|
$1,501,853
|
|||||
99,850
|
Spectacle Gary Holdings LLC, Delayed Draw Term Loan, 11.0% (LIBOR + 900 bps), 12/23/25
|
108,836
|
|||||
Total Securities & Trusts
|
$1,610,689
|
||||||
Telecommunications - 0.7%
|
|||||||
1,965,000
|
Commscope, Inc., Initial Term Loan, 3.354% (LIBOR + 325 bps), 4/6/26
|
$1,958,859
|
|||||
Total Telecommunications
|
$1,958,859
|
||||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||||
(Cost $10,549,487)
|
$10,988,433
|
||||||
Shares
|
|||||||
RIGHTS/WARRANTS - 0.1% of Net Assets
|
|||||||
Health Care Providers & Services - 0.0%†
|
|||||||
1,819,798(l)
|
ANR, Inc., 3/31/23
|
$ 7,461
|
|||||
Total Health Care Providers & Services
|
$ 7,461
|
||||||
Oil, Gas & Consumable Fuels - 0.0%†
|
|||||||
354(a)(m)
|
Alpha Metallurgical Resources, Inc., 7/26/23
|
$ 1,190
|
|||||
Total Oil, Gas & Consumable Fuels
|
$ 1,190
|
||||||
Transportation - 0.1%
|
|||||||
10,071^(n)
|
Syncreon Group, 10/1/24
|
$ 254,494
|
|||||
Total Transportation
|
$ 254,494
|
||||||
TOTAL RIGHTS/WARRANTS
|
|||||||
(Cost $308,610)
|
$ 263,145
|
Number of
Contracts |
Description
|
Counterparty
|
Amount
|
Strike
Price
|
Expiration
Date
|
Value
|
OVER THE COUNTER (OTC) CURRENCY PUT OPTION PURCHASED - 0.0%†
|
|||||||||
1,650,000
|
Put EUR
Call USD
|
JPMorgan Chase Bank NA
|
EUR
|
23,405
|
EUR
|
1.17
|
2/4/22
|
$ 18,345
|
|
TOTAL OVER THE COUNTER (OTC) CURRENCY PUT OPTION PURCHASED
|
|||||||||
(Premiums paid $23,405)
|
$ 18,345
|
||||||||
TOTAL OPTIONS PURCHASED
|
|||||||||
(Premiums paid $23,405)
|
$ 18,345
|
||||||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 141.0%
|
|||||||||
(Cost $375,101,746)
|
$402,662,510
|
||||||||
OVER THE COUNTER (OTC) CURRENCY CALL OPTION WRITTEN - (0.0)%†
|
|||||||||
(1,650,000)
|
Call EUR
Put USD
|
JPMorgan Chase Bank NA
|
EUR
|
23,405
|
EUR
|
1.25
|
2/4/22
|
$ (7,507)
|
|
TOTAL OVER THE COUNTER (OTC) CURRENCY CALL OPTION WRITTEN
|
|||||||||
(Premiums received $(23,405))
|
$ (7,507)
|
||||||||
OTHER ASSETS AND LIABILITIES - (41.0)%
|
$(117,116,326)
|
||||||||
NET ASSETS - 100.0%
|
$285,538,677
|
||||||||
|
bps
|
Basis Points.
|
CMT
|
Constant Maturity Treasury Index.
|
FREMF
|
Freddie Mac Multifamily Fixed-Rate Mortgage Loans.
|
LIBOR
|
London Interbank Offered Rate.
|
REIT
|
Real Estate Investment Trust.
|
(144A)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction
exempt from registration. At June 30, 2021, the value of these securities amounted to $298,622,607, or 104.6% of net assets.
|
†
|
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 June 30, 2021.
|
+
|
Security that used significant unobservable inputs to determine its value.
|
^
|
Security is valued using fair value methods (other than supplied by independent pricing services).
|
(a)
|
Non-income producing security.
|
(b)
|
Security 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 June 30, 2021.
|
(d)
|
Floating rate note. Coupon rate, reference index and spread shown at June 30, 2021.
|
(e)
|
Security is priced as a unit.
|
(f)
|
Security issued with a zero coupon. Income is recognized through accretion of discount.
|
(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 June 30, 2021.
|
(h)
|
Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount.
|
(i)
|
Security is in default.
|
(j)
|
Issued as participation notes.
|
(k)
|
Issued as preference shares.
|
(l)
|
ANR, Inc., 3/31/23 warrants are exercisable into 1,819,798 shares.
|
(m)
|
Alpha Metallurgical Resources, Inc., 7/26/23 warrants are exercisable into 354 shares.
|
(n)
|
Syncreon Group, 10/1/24 warrants are exercisable into 10,071 shares.
|
(o)
|
Distributions of investments by country of issue, as a percentage of long-term holdings based on country of domicile, is as follows:
|
|
United States
|
73.1%
|
|
Canada
|
7.3
|
|
Luxembourg
|
2.8
|
|
United Kingdom
|
2.0
|
|
Mexico
|
1.8
|
|
Bermuda
|
1.5
|
|
Ireland
|
1.4
|
|
Netherlands
|
1.3
|
|
Turkey
|
1.0
|
|
Other (individually less than 1%)
|
7.8
|
|
100.0%
|
Restricted Securities
|
Acquisition date
|
Cost
|
Value
|
Alturas Re 2019-2
|
12/19/2018
|
$ 3,037
|
$ 4,170
|
Alturas Re 2019-3
|
6/26/2019
|
24,550
|
19,876
|
Alturas Re 2020-1A
|
12/27/2019
|
162,311
|
65,703
|
Alturas Re 2020-2
|
1/1/2020
|
29,558
|
35,529
|
Berwick Re 2018-1
|
1/29/2018
|
192,596
|
112,222
|
Berwick Re 2019-1
|
12/31/2018
|
99,709
|
99,716
|
Carnoustie Re 2017
|
1/3/2017
|
237,757
|
131,800
|
Cypress Re 2017
|
1/24/2017
|
1,681
|
50
|
Dingle Re 2019
|
3/4/2019
|
–
|
10,263
|
Gloucester Re 2018
|
1/2/2018
|
52,650
|
57,182
|
Harambee Re 2018
|
12/19/2017
|
25,201
|
1,400
|
Harambee Re 2019
|
12/20/2018
|
–
|
3,060
|
Limestone Re
|
6/20/2018
|
359
|
32,065
|
Limestone Re 2016-1
|
12/15/2016
|
990
|
675
|
Limestone Re 2016-1
|
12/15/2016
|
990
|
675
|
Limestone Re 2018
|
6/20/2018
|
1,000
|
–
|
Lorenz Re 2018
|
6/26/2018
|
107,335
|
2,550
|
Lorenz Re 2019
|
6/26/2019
|
158,424
|
54,775
|
Merion Re 2018-2
|
12/28/2017
|
20,576
|
82,750
|
Oyster Bay Re 2018
|
1/17/2018
|
247,922
|
252,104
|
Pangaea Re 2016-2
|
5/31/2016
|
–
|
1,783
|
Pangaea Re 2018-1
|
12/26/2017
|
71,503
|
10,527
|
Pangaea Re 2018-3
|
5/31/2018
|
240,861
|
20,743
|
Pangaea Re 2019-1
|
1/9/2019
|
4,301
|
8,535
|
Pangaea Re 2019-3
|
7/25/2019
|
22,059
|
26,450
|
Resilience Re
|
4/13/2017
|
1,307
|
–
|
Sector Re V
|
12/4/2018
|
101,639
|
62,863
|
Sector Re V
|
1/1/2020
|
20,000
|
54,101
|
Sussex Re 2020-1
|
1/23/2020
|
–
|
12,575
|
Versutus Re 2018
|
1/31/2018
|
330
|
–
|
Versutus Re 2019-A
|
1/28/2019
|
–
|
11,297
|
Versutus Re 2019-B
|
12/24/2018
|
–
|
1,433
|
Woburn Re 2018
|
3/20/2018
|
89,763
|
18,618
|
Woburn Re 2019
|
2/14/2019
|
63,932
|
72,421
|
Total Restricted Securities
|
$1,267,911
|
||
% of Net assets
|
0.4%
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
|
||||||
Currency Purchased
|
In
Exchange
for
|
Currency
Sold
|
Deliver
|
Counterparty
|
Settlement
Date |
Unrealized
Appreciation (Depreciation) |
NOK
|
2,944
|
EUR
|
(293)
|
Goldman Sachs International
|
7/6/21
|
$ (6)
|
USD
|
1,419,307
|
EUR
|
(1,160,000)
|
Goldman Sachs International
|
8/26/21
|
43,539
|
EUR
|
6,050,000
|
USD
|
(7,320,622)
|
HSBC Bank USA NA
|
7/27/21
|
(149,699)
|
EUR
|
2,900,000
|
USD
|
(3,468,593)
|
HSBC Bank USA NA
|
9/28/21
|
(26,673)
|
NOK
|
7,297,056
|
EUR
|
(724,885)
|
HSBC Bank USA NA
|
7/6/21
|
(12,497)
|
USD
|
941,764
|
EUR
|
(773,000)
|
HSBC Bank USA NA
|
8/26/21
|
24,980
|
USD
|
63,230
|
EUR
|
(52,000)
|
State Street Bank & Trust Co.
|
7/27/21
|
1,595
|
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
|
$(118,761)
|
Principal amounts are denominated in U.S. dollars ("USD") unless otherwise noted.
|
||
ARS
|
-
|
Argentine Peso
|
EUR
|
-
|
Euro
|
GBP
|
-
|
Great British Pound
|
IDR
|
-
|
Indonesian Rupiah
|
MXN
|
-
|
Mexican Peso
|
NOK
|
-
|
Norwegian Krone
|
|
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
|
||||||||||||||||
Level 1 - unadjusted quoted prices in active markets for identical securities.
|
||||||||||||||||
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
|
||||||||||||||||
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
|
||||||||||||||||
The following is a summary of the inputs used as of June 30, 2021, in valuing the Trust's investments:
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Common Stocks
|
||||||||||||||||
Oil, Gas & Consumable Fuels
|
$
|
372,878
|
$
|
595,031
|
$
|
–
|
$
|
967,909
|
||||||||
Specialty Retail
|
–
|
–
|
104,409
|
104,409
|
||||||||||||
All Other Common Stock
|
2,523,213
|
–
|
–
|
2,523,213
|
||||||||||||
Convertible Preferred Stock
|
2,441,936
|
–
|
–
|
2,441,936
|
||||||||||||
Preferred Stocks
|
||||||||||||||||
Diversified Financial Services
|
–
|
3,292,500
|
–
|
3,292,500
|
||||||||||||
Internet
|
–
|
131,959
|
–
|
131,959
|
||||||||||||
All Other Preferred Stock
|
238,445
|
–
|
–
|
238,445
|
||||||||||||
Collateralized Mortgage Obligations
|
–
|
4,655,394
|
–
|
4,655,394
|
||||||||||||
Commercial Mortgage-Backed Securities
|
–
|
9,854,870
|
–
|
9,854,870
|
||||||||||||
Convertible Corporate Bonds
|
–
|
8,854,420
|
–
|
8,854,420
|
||||||||||||
Corporate Bonds
|
–
|
353,371,474
|
–
|
353,371,474
|
||||||||||||
Foreign Government Bonds
|
–
|
3,688,147
|
–
|
3,688,147
|
||||||||||||
Insurance-Linked Securities
|
||||||||||||||||
Collateralized Reinsurance
|
||||||||||||||||
Multiperil - U.S.
|
–
|
–
|
10,263
|
10,263
|
||||||||||||
Multiperil - Worldwide
|
–
|
–
|
342,751
|
342,751
|
||||||||||||
Reinsurance Sidecars
|
||||||||||||||||
Multiperil - U.S.
|
–
|
–
|
136,260
|
136,260
|
||||||||||||
Multiperil - Worldwide
|
–
|
–
|
778,637
|
778,637
|
||||||||||||
Senior Secured Floating Rate Loan Interests
|
–
|
10,988,433
|
–
|
10,988,433
|
||||||||||||
Rights/Warrants
|
||||||||||||||||
Health Care Providers & Services
|
–
|
7,461
|
–
|
7,461
|
||||||||||||
Transportation
|
–
|
254,494
|
–
|
254,494
|
||||||||||||
All Other Right/Warrant
|
1,190
|
–
|
–
|
1,190
|
||||||||||||
Over The Counter (OTC) Currency Put Option Purchased
|
–
|
18,345
|
–
|
18,345
|
||||||||||||
Total Investments in Securities
|
$
|
5,577,662
|
$
|
395,712,528
|
$
|
1,372,320
|
$
|
402,662,510
|
||||||||
Other Financial Instruments
|
||||||||||||||||
Credit agreement(a)
|
$
|
–
|
$
|
(125,000,000
|
)
|
$
|
–
|
$
|
(125,000,000
|
)
|
||||||
Over The Counter (OTC) Currency Call Option Written
|
–
|
(7,507
|
)
|
–
|
(7,507
|
)
|
||||||||||
Net unrealized depreciation
on forward foreign currency exchange contracts |
–
|
(118,761
|
)
|
–
|
(118,761
|
)
|
||||||||||
Total Other Financial Instruments
|
$
|
–
|
$
|
(125,126,268
|
)
|
$
|
–
|
$
|
(125,126,268
|
)
|
||||||
Balance
as of
3/31/21
|
Realized
gain
(loss)
|
Change in
unrealized
appreciation
(depreciation)
|
Purchases
|
Sales
|
Accrued
discounts/
premiums
|
Transfers
in and out
of Level 3
categories*
|
Balance
as of
6/30/21
|
||
Common Stocks
|
|||||||||
Oil, Gas & Consumable
Fuels
|
$ 599,029
|
$ --
|
$ 60,199
|
$ --
|
$ --
|
$ --
|
$ (659,228)
|
$ --
|
|
Specialty Retail
|
104,409
|
--
|
--
|
--
|
--
|
--
|
--
|
104,409
|
|
Insurance-Linked Securities
|
|||||||||
Collateralized Reinsurance
|
|||||||||
Multiperil – U.S.
|
10,263
|
--
|
--
|
--
|
--
|
--
|
--
|
10,263
|
|
Multiperil - Worldwide
|
385,906
|
--
|
5,570
|
--
|
(48,725)
|
--
|
--
|
342,751
|
|
Reinsurance Sidecars
|
|||||||||
Multiperil - U.S.
|
138,640
|
--
|
(2,154)
|
--
|
(226)
|
--
|
--
|
136,260
|
|
Multiperil - Worldwide
|
815,472
|
(33,874)
|
19,171
|
--
|
(22,132)
|
--
|
--
|
778,637
|
|
Total
|
$ 2,053,719
|
$ (33,874)
|
$ 82,786
|
$ --
|
$ (71,083)
|
$ --
|
$ (659,228)
|
$ 1,372,320
|
*
|
Transfers are calculated on the beginning of period values. During the three months ended June 30, 2021, an investment having a value of $659,228 was transferred from Level 3
to Level 2, due to valuing the security using observable inputs. There were no other transfers in or out of Level 3.
|