Ticker Symbol: PHT |
Principal Amount USD ($) | Value | |||||
UNAFFILIATED ISSUERS — 143.7% | ||||||
Senior Secured Floating Rate Loan Interests — 1.9% of Net Assets*(a) | ||||||
Airlines — 0.6% | ||||||
1,140,000 | Grupo Aeromexico, SAB de CV, DIP Tranche 1 Term Loan, 9.00% (LIBOR + 800 bps), 3/31/22 | $ 1,148,550 | ||||
523,589(b) | Grupo Aeromexico, SAB de CV, DIP Tranche 2 Term Loan, (15.5% PIK 0.00% Cash), 3/31/22 | 517,934 | ||||
Total Airlines | $1,666,484 | |||||
Auto Parts & Equipment — 0.5% | ||||||
1,414,830 | First Brands Group LLC, 2021 First Lien Term Loan, 6.00% (LIBOR + 500 bps), 3/30/27 | $ 1,424,026 | ||||
Total Auto Parts & Equipment | $1,424,026 | |||||
Human Resources — 0.4% | ||||||
1,069,542 | Team Health Holdings, Inc., Initial Term Loan, 3.75% (LIBOR + 275 bps), 2/6/24 | $ 1,027,143 | ||||
Total Human Resources | $1,027,143 | |||||
Metal Processors & Fabrication — 0.4% | ||||||
1,137,150 | Grinding Media, Inc. (Molycop, Ltd.), First Lien Term Loan, 4.75% (LIBOR + 400 bps), 10/12/28 | $ 1,137,861 | ||||
Total Metal Processors & Fabrication | $1,137,861 | |||||
Total Senior Secured Floating Rate Loan Interests (Cost $5,118,214) | $5,255,514 | |||||
Shares | ||||||
Common Stocks — 0.3% of Net Assets | ||||||
Oil, Gas & Consumable Fuels — 0.2% | ||||||
21(c) | Amplify Energy Corp. | $ 66 | ||||
802,650(c)+^ | PetroQuest Energy, Inc. | 341,126 | ||||
12,271(c) | Summit Midstream Partners LP | 272,416 | ||||
Total Oil, Gas & Consumable Fuels | $613,608 | |||||
Specialty Retail — 0.1% | ||||||
68,241(c)+^ | Targus Cayman SubCo., Ltd. | $ 104,409 | ||||
Total Specialty Retail | $104,409 | |||||
Total Common Stocks (Cost $1,022,484) | $718,017 | |||||
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—2.7% of Net Assets | ||||||
4,100,000(a) | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1, 9.358% (1 Month USD LIBOR + 925 bps), 11/25/39 (144A) | $ 4,346,528 | ||||
710,000(a) | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B2, 6.05% (SOFR30A + 600 bps), 10/25/41 (144A) | 725,966 | ||||
120,000(a) | Fannie Mae Connecticut Avenue Securities, Series 2021-R02, Class 2B2, 6.25% (SOFR30A + 620 bps), 11/25/41 (144A) | 124,058 | ||||
450,000(a) | Freddie Mac STACR REMIC Trust, Series 2021-HQA3, Class B2, 6.30% (SOFR30A + 625 bps), 9/25/41 (144A) | 443,539 | ||||
430,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2021-DNA7, Class B2, 7.85% (SOFR30A + 780 bps), 11/25/41 (144A) | 452,026 | ||||
1,350,000(a) | STACR Trust, Series 2018-HRP2, Class B2, 10.608% (1 Month USD LIBOR + 1050 bps), 2/25/47 (144A) | 1,538,787 | ||||
Total Collateralized Mortgage Obligations (Cost $7,362,901) | $7,630,904 | |||||
Commercial Mortgage-Backed Securities—3.7% of Net Assets | ||||||
500,000(a) | Capital Funding Mortgage Trust, Series 2020-9, Class B, 15.90% (1 Month USD LIBOR + 1490 bps), 11/19/22 (144A) | $ 500,000 | ||||
605,000(a) | Capital Funding Mortgage Trust, Series 2021-18, Class B, 14.35% (1 Month USD LIBOR + 1310 bps), 6/22/23 (144A) | 605,000 | ||||
1,500,000(a) | Capital Funding Mortgage Trust, Series 2021-19, Class B, 16.46% (1 Month USD LIBOR + 1521 bps), 11/6/23 (144A) | 1,498,916 | ||||
1,435,233(d) | FREMF Mortgage Trust, Series 2019-KJ24, Class B, 7.60% , 10/25/27 (144A) | 1,236,291 | ||||
1,500,000(a) | FREMF Mortgage Trust, Series 2019-KS12, Class C, 6.994% (1 Month USD LIBOR + 690 bps), 8/25/29 | 1,320,260 | ||||
1,139,036(a) | FREMF Mortgage Trust, Series 2020-KF74, Class C, 6.344% (1 Month USD LIBOR + 625 bps), 1/25/27 (144A) | 1,139,338 | ||||
978,146(a) | FREMF Mortgage Trust, Series 2020-KF83, Class C, 9.094% (1 Month USD LIBOR + 900 bps), 7/25/30 (144A) | 986,081 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
49,149 | L1C 3/8L1 LLC, Series 2019-1, Class B, 8.50% , 11/1/22 (144A) | $ 49,500 | ||||
1,175,000(a) | Med Trust, Series 2021-MDLN, Class G, 5.36% (1 Month USD LIBOR + 525 bps), 11/15/38 (144A) | 1,163,336 | ||||
2,500,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.00% , 5/15/48 (144A) | 1,843,140 | ||||
Total Commercial Mortgage-Backed Securities (Cost $10,759,938) | $10,341,862 | |||||
Convertible Corporate Bonds — 2.2% of Net Assets | ||||||
Banks — 0.0%† | ||||||
IDR1,422,679,000^ | PT Bakrie & Brothers Tbk, 12/22/22 | $ 9,982 | ||||
Total Banks | $9,982 | |||||
Chemicals — 1.4% | ||||||
4,000,000(e) | Hercules LLC, 6.50%, 6/30/29 | $ 4,015,000 | ||||
Total Chemicals | $4,015,000 | |||||
Entertainment — 0.3% | ||||||
655,000(f) | DraftKings, Inc., 3/15/28 (144A) | $ 493,215 | ||||
449,000 | IMAX Corp., 0.50%, 4/1/26 (144A) | 431,797 | ||||
Total Entertainment | $925,012 | |||||
Internet — 0.1% | ||||||
135,000 | Perficient, Inc., 0.125%, 11/15/26 (144A) | $ 127,751 | ||||
Total Internet | $127,751 | |||||
Pharmaceuticals — 0.3% | ||||||
1,300,000 | Tricida, Inc., 3.50%, 5/15/27 | $ 715,910 | ||||
Total Pharmaceuticals | $715,910 | |||||
REITs — 0.1% | ||||||
235,000 | Summit Hotel Properties, Inc., 1.50%, 2/15/26 | $ 245,105 | ||||
Total REITs | $245,105 | |||||
Total Convertible Corporate Bonds (Cost $5,387,846) | $6,038,760 | |||||
Principal Amount USD ($) | Value | |||||
Corporate Bonds — 127.4% of Net Assets | ||||||
Advertising — 2.7% | ||||||
200,000 | Clear Channel International BV, 6.625%, 8/1/25 (144A) | $ 207,500 | ||||
2,090,000 | Clear Channel Outdoor Holdings, Inc., 7.50%, 6/1/29 (144A) | 2,231,075 | ||||
900,000 | Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28 (144A) | 963,000 | ||||
2,485,000 | Midas OpCo Holdings LLC, 5.625%, 8/15/29 (144A) | 2,544,019 | ||||
1,445,000 | Summer BC Bidco B LLC, 5.50%, 10/31/26 (144A) | 1,479,275 | ||||
Total Advertising | $7,424,869 | |||||
Aerospace & Defense — 2.0% | ||||||
2,150,000 | Bombardier, Inc., 6.00%, 2/15/28 (144A) | $ 2,156,514 | ||||
960,000 | Bombardier, Inc., 7.125%, 6/15/26 (144A) | 995,914 | ||||
1,210,000 | Howmet Aerospace, Inc., 6.875%, 5/1/25 | 1,390,175 | ||||
745,000 | Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25 (144A) | 765,488 | ||||
218,000 | Triumph Group, Inc., 8.875%, 6/1/24 (144A) | 237,620 | ||||
Total Aerospace & Defense | $5,545,711 | |||||
Airlines — 3.4% | ||||||
1,455,000 | Delta Air Lines, Inc., 3.75%, 10/28/29 | $ 1,492,493 | ||||
355,000 | Delta Air Lines, Inc., 7.375%, 1/15/26 | 417,892 | ||||
1,380,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, 6/20/27 (144A) | 1,473,150 | ||||
3,960,000 | Pegasus Hava Tasimaciligi AS, 9.25%, 4/30/26 (144A) | 3,965,940 | ||||
EUR2,000,000 | Transportes Aereos Portugueses SA, 5.625%, 12/2/24 (144A) | 2,047,464 | ||||
Total Airlines | $9,396,939 | |||||
Auto Manufacturers — 1.8% | ||||||
1,150,000 | Ford Motor Credit Co. LLC, 3.815%, 11/2/27 | $ 1,215,907 | ||||
1,399,000 | General Motors Co., 6.125%, 10/1/25 | 1,607,777 | ||||
2,260,000 | JB Poindexter & Co., Inc., 7.125%, 4/15/26 (144A) | 2,364,683 | ||||
Total Auto Manufacturers | $5,188,367 | |||||
Auto Parts & Equipment — 1.9% | ||||||
2,000,000 | American Axle & Manufacturing, Inc., 6.50%, 4/1/27 | $ 2,077,500 |
Principal Amount USD ($) | Value | |||||
Auto Parts & Equipment — (continued) | ||||||
1,798,000 | Dealer Tire LLC/DT Issuer LLC, 8.00%, 2/1/28 (144A) | $ 1,871,574 | ||||
1,195,000 | Goodyear Tire & Rubber Co., 9.50%, 5/31/25 | 1,291,783 | ||||
Total Auto Parts & Equipment | $5,240,857 | |||||
Banks — 3.1%† | ||||||
600,000(d)(g) | Bank of America Corp. Series Z, 6.50% (3 Month USD LIBOR + 417 bps) | $ 656,982 | ||||
1,800,000(d)(g) | Barclays Plc, 7.75% (5 Year USD Swap Rate + 484 bps) | 1,931,616 | ||||
700,000(d)(g) | Credit Suisse Group AG, 7.50% (5 Year USD Swap Rate + 460 bps) (144A) | 756,000 | ||||
815,000 | Freedom Mortgage Corp., 6.625%, 1/15/27 (144A) | 796,663 | ||||
1,931,000 | Freedom Mortgage Corp., 8.125%, 11/15/24 (144A) | 1,955,137 | ||||
1,680,000 | Freedom Mortgage Corp., 8.25%, 4/15/25 (144A) | 1,719,900 | ||||
675,000(d)(g) | Intesa Sanpaolo S.p.A., 7.70% (5 Year USD Swap Rate + 546 bps) (144A) | 756,000 | ||||
Total Banks | $8,572,298 | |||||
Building Materials — 1.8% | ||||||
1,175,000 | Builders FirstSource, Inc., 6.75%, 6/1/27 (144A) | $ 1,239,625 | ||||
470,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/29 (144A) | 502,359 | ||||
745,000 | CP Atlas Buyer, Inc., 7.00%, 12/1/28 (144A) | 741,275 | ||||
424,000 | Koppers, Inc., 6.00%, 2/15/25 (144A) | 431,416 | ||||
2,062,000 | Patrick Industries, Inc., 7.50%, 10/15/27 (144A) | 2,196,030 | ||||
Total Building Materials | $5,110,705 | |||||
Chemicals — 6.0% | ||||||
910,000 | Braskem Idesa SAPI, 6.99%, 2/20/32 (144A) | $ 913,413 | ||||
1,455,000 | Hexion, Inc., 7.875%, 7/15/27 (144A) | 1,535,025 | ||||
1,355,000 | LSF11 A5 HoldCo LLC, 6.625%, 10/15/29 (144A) | 1,334,675 | ||||
EUR885,000 | Lune Holdings S.a.r.l., 5.625%, 11/15/28 (144A) | 1,007,451 | ||||
2,250,000 | LYB Finance Co. BV, 8.10%, 3/15/27 (144A) | 2,883,267 | ||||
470,000 | Olin Corp., 9.50%, 6/1/25 (144A) | 575,750 | ||||
440,000 | Olympus Water US Holding Corp., 6.25%, 10/1/29 (144A) | 429,000 |
Principal Amount USD ($) | Value | |||||
Chemicals — (continued) | ||||||
2,316,000 | Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 4/1/25 (144A) | $ 2,367,739 | ||||
920,000 | SCIL IV LLC/SCIL USA Holdings LLC, 5.375%, 11/1/26 (144A) | 944,150 | ||||
1,340,000 | Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.125%, 4/1/29 (144A) | 1,366,800 | ||||
2,030,000 | Tronox, Inc., 4.625%, 3/15/29 (144A) | 2,027,463 | ||||
1,290,000 | Tronox, Inc., 6.50%, 5/1/25 (144A) | 1,363,401 | ||||
Total Chemicals | $16,748,134 | |||||
Commercial Services — 6.6% | ||||||
495,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.00%, 6/1/29 (144A) | $ 481,388 | ||||
350,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26 (144A) | 366,907 | ||||
1,905,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 7/15/27 (144A) | 2,035,350 | ||||
950,000 | APX Group, Inc., 6.75%, 2/15/27 (144A) | 997,500 | ||||
790,000 | Atento Luxco 1 SA, 8.00%, 2/10/26 (144A) | 841,855 | ||||
2,116,000 | Garda World Security Corp., 6.00%, 6/1/29 (144A) | 2,020,780 | ||||
2,059,000 | Garda World Security Corp., 9.50%, 11/1/27 (144A) | 2,219,983 | ||||
319,000 | Herc Holdings, Inc., 5.50%, 7/15/27 (144A) | 331,760 | ||||
915,000 | NESCO Holdings II, Inc., 5.50%, 4/15/29 (144A) | 944,737 | ||||
1,760,000 | PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29 (144A) | 1,822,480 | ||||
4,155,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 4,331,587 | ||||
1,093,000 | Sotheby's, 7.375%, 10/15/27 (144A) | 1,164,045 | ||||
862,000 | Verscend Escrow Corp., 9.75%, 8/15/26 (144A) | 916,254 | ||||
Total Commercial Services | $18,474,626 | |||||
Computers — 1.1% | ||||||
1,810,000 | Diebold Nixdorf, Inc., 8.50%, 4/15/24 | $ 1,810,000 | ||||
175,000 | Diebold Nixdorf, Inc., 9.375%, 7/15/25 (144A) | 188,430 | ||||
980,000 | NCR Corp., 5.00%, 10/1/28 (144A) | 1,009,400 | ||||
Total Computers | $3,007,830 | |||||
Diversified Financial Services — 9.7% | ||||||
4,055,000 | Alliance Data Systems Corp., 7.00%, 1/15/26 (144A) | $ 4,257,750 | ||||
2,150,000 | ASG Finance Designated Activity Co., 7.875%, 12/3/24 (144A) | 2,107,000 |
Principal Amount USD ($) | Value | |||||
Diversified Financial Services — (continued) | ||||||
1,259,858(b) | Avation Capital SA, 8.25% (9.00% PIK or 8.25% cash), 10/31/26 (144A) | $ 1,058,281 | ||||
140,000 | Credito Real SAB de CV SOFOM ER, 8.00%, 1/21/28 (144A) | 84,001 | ||||
1,500,000 | Credito Real SAB de CV SOFOM ER, 9.50%, 2/7/26 (144A) | 969,390 | ||||
EUR480,000 | Garfunkelux Holdco 3 SA, 6.75%, 11/1/25 (144A) | 566,427 | ||||
GBP820,000 | Garfunkelux Holdco 3 SA, 7.75%, 11/1/25 (144A) | 1,152,920 | ||||
2,147,628(b) | Global Aircraft Leasing Co., Ltd., 6.50% (7.25% PIK or 6.50% cash), 9/15/24 (144A) | 2,072,461 | ||||
1,130,000 | Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 8/15/28 (144A) | 1,158,250 | ||||
1,020,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/30 (144A) | 1,007,250 | ||||
845,000 | Nationstar Mortgage Holdings, Inc., 6.00%, 1/15/27 (144A) | 880,237 | ||||
160,000 | OneMain Finance Corp., 6.625%, 1/15/28 | 179,200 | ||||
460,000 | OneMain Finance Corp., 8.875%, 6/1/25 | 492,200 | ||||
1,290,000 | Oxford Finance LLC/Oxford Finance Co.-Issuer II, Inc., 6.375%, 12/15/22 (144A) | 1,291,613 | ||||
755,000 | PHH Mortgage Corp., 7.875%, 3/15/26 (144A) | 780,602 | ||||
3,415,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/25 (144A) | 3,474,762 | ||||
1,225,000 | United Wholesale Mortgage LLC, 5.50%, 4/15/29 (144A) | 1,202,031 | ||||
1,860,000 | United Wholesale Mortgage LLC, 5.75%, 6/15/27 (144A) | 1,864,650 | ||||
2,395,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 10.50%, 6/1/24 (144A) | 2,562,650 | ||||
Total Diversified Financial Services | $27,161,675 | |||||
Electric — 1.4% | ||||||
825,000 | Cemig Geracao e Transmissao SA, 9.25%, 12/5/24 (144A) | $ 923,868 | ||||
1,010,000(d) | Enel S.p.A., 8.75% (5 Year USD Swap Rate + 588 bps), 9/24/73 (144A) | 1,124,887 | ||||
676,000 | NRG Energy, Inc., 6.625%, 1/15/27 | 702,726 | ||||
976,700 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25 (144A) | 1,043,848 | ||||
6,000 | Vistra Operations Co. LLC, 5.625%, 2/15/27 (144A) | 6,180 | ||||
Total Electric | $3,801,509 |
Principal Amount USD ($) | Value | |||||
Electrical Components & Equipments — 0.5% | ||||||
750,000 | WESCO Distribution, Inc., 7.125%, 6/15/25 (144A) | $ 795,000 | ||||
520,000 | WESCO Distribution, Inc., 7.25%, 6/15/28 (144A) | 570,050 | ||||
Total Electrical Components & Equipments | $1,365,050 | |||||
Energy-Alternate Sources — 0.6% | ||||||
1,575,000 | Renewable Energy Group, Inc., 5.875%, 6/1/28 (144A) | $ 1,618,313 | ||||
Total Energy-Alternate Sources | $1,618,313 | |||||
Engineering & Construction — 1.4% | ||||||
3,010,000 | Artera Services LLC, 9.033%, 12/4/25 (144A) | $ 3,184,384 | ||||
475,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26 (144A) | 494,000 | ||||
704,038(h) | Stoneway Capital Corp., 10.00%, 3/1/27 (144A) | 213,859 | ||||
Total Engineering & Construction | $3,892,243 | |||||
Entertainment — 5.2% | ||||||
2,264,138 | AMC Entertainment Holdings, Inc., 10.00%, 6/15/26 (144A) | $ 2,238,100 | ||||
768,000 | AMC Entertainment Holdings, Inc., 10.50%, 4/24/26 (144A) | 816,000 | ||||
EUR870,400 | Cirsa Finance International S.a.r.l., 6.25%, 12/20/23 (144A) | 1,001,801 | ||||
380,000 | International Game Technology Plc, 4.125%, 4/15/26 (144A) | 391,427 | ||||
395,000 | International Game Technology Plc, 6.25%, 1/15/27 (144A) | 442,400 | ||||
656,000 | International Game Technology Plc, 6.50%, 2/15/25 (144A) | 711,760 | ||||
1,880,000 | Mohegan Gaming & Entertainment, 8.00%, 2/1/26 (144A) | 1,973,793 | ||||
1,910,000 | Scientific Games International, Inc., 7.00%, 5/15/28 (144A) | 2,034,150 | ||||
1,910,000 | Scientific Games International, Inc., 7.25%, 11/15/29 (144A) | 2,129,650 | ||||
571,000 | Scientific Games International, Inc., 8.25%, 3/15/26 (144A) | 600,978 | ||||
2,035,000 | SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29 (144A) | 2,072,149 | ||||
Total Entertainment | $14,412,208 |
Principal Amount USD ($) | Value | |||||
Environmental Control — 0.9% | ||||||
1,691,000 | Covanta Holding Corp., 6.00%, 1/1/27 | $ 1,745,957 | ||||
766,000 | Tervita Corp., 11.00%, 12/1/25 (144A) | 881,858 | ||||
Total Environmental Control | $2,627,815 | |||||
Food — 2.3% | ||||||
531,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 7.50%, 3/15/26 (144A) | $ 566,843 | ||||
1,043,000 | FAGE International SA/FAGE USA Dairy Industry, Inc., 5.625%, 8/15/26 (144A) | 1,069,075 | ||||
2,795,000 | Frigorifico Concepcion SA, 7.70%, 7/21/28 (144A) | 2,815,990 | ||||
775,000 | JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 2/15/28 (144A) | 836,039 | ||||
625,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 4/15/29 (144A) | 687,506 | ||||
460,000 | United Natural Foods, Inc., 6.75%, 10/15/28 (144A) | 492,568 | ||||
Total Food | $6,468,021 | |||||
Forest Products & Paper — 2.3% | ||||||
2,035,000 | Mercer International, Inc., 5.125%, 2/1/29 | $ 2,078,488 | ||||
831,000 | Schweitzer-Mauduit International, Inc., 6.875%, 10/1/26 (144A) | 869,434 | ||||
3,290,000 | Sylvamo Corp., 7.00%, 9/1/29 (144A) | 3,437,260 | ||||
Total Forest Products & Paper | $6,385,182 | |||||
Healthcare-Products — 1.0% | ||||||
520,000 | Mozart Debt Merger Sub, Inc., 5.25%, 10/1/29 (144A) | $ 527,093 | ||||
2,011,000 | Varex Imaging Corp., 7.875%, 10/15/27 (144A) | 2,234,422 | ||||
Total Healthcare-Products | $2,761,515 | |||||
Healthcare-Services — 4.1% | ||||||
975,000 | Auna SAA, 6.50%, 11/20/25 (144A) | $ 1,004,211 | ||||
580,000 | CHS/Community Health Systems, Inc., 5.625%, 3/15/27 (144A) | 613,831 | ||||
265,000 | CHS/Community Health Systems, Inc., 6.00%, 1/15/29 (144A) | 282,556 | ||||
580,000 | Legacy LifePoint Health LLC, 6.75%, 4/15/25 (144A) | 604,650 | ||||
385,000 | LifePoint Health, Inc., 5.375%, 1/15/29 (144A) | 383,075 | ||||
2,640,000 | Prime Healthcare Services, Inc., 7.25%, 11/1/25 (144A) | 2,798,400 |
Principal Amount USD ($) | Value | |||||
Healthcare-Services — (continued) | ||||||
2,396,000 | Surgery Center Holdings, Inc., 10.00%, 4/15/27 (144A) | $ 2,545,750 | ||||
725,000 | US Acute Care Solutions LLC, 6.375%, 3/1/26 (144A) | 759,438 | ||||
2,500,000 | US Renal Care, Inc., 10.625%, 7/15/27 (144A) | 2,537,500 | ||||
Total Healthcare-Services | $11,529,411 | |||||
Home Builders — 1.9% | ||||||
475,000 | Beazer Homes USA, Inc., 6.75%, 3/15/25 | $ 487,469 | ||||
1,155,000 | Beazer Homes USA, Inc., 7.25%, 10/15/29 | 1,287,478 | ||||
1,680,000 | Brookfield Residential Properties, Inc./Brookfield Residential US LLC, 4.875%, 2/15/30 (144A) | 1,718,321 | ||||
790,000 | KB Home, 7.50%, 9/15/22 | 823,575 | ||||
1,035,000 | KB Home, 7.625%, 5/15/23 | 1,088,044 | ||||
Total Home Builders | $5,404,887 | |||||
Housewares — 0.1% | ||||||
250,000 | CD&R Smokey Buyer, Inc., 6.75%, 7/15/25 (144A) | $ 262,500 | ||||
Total Housewares | $262,500 | |||||
Insurance — 5.6% | ||||||
3,800,000 | Hanover Insurance Group, Inc., 7.625%, 10/15/25 | $ 4,533,015 | ||||
3,075,000(d) | Liberty Mutual Group, Inc., 10.75% (3 Month USD LIBOR + 712 bps), 6/15/58 (144A) | 4,397,254 | ||||
3,000,000 | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | 4,730,129 | ||||
1,100,000 | MetLife, Inc., 10.75%, 8/1/39 | 1,856,523 | ||||
250,000(a) | Residential Reinsurance 2021, Ltd., 11.907% (3 Month U.S. Treasury Bill + 1175 bps), 12/6/25 (144A) | 249,075 | ||||
Total Insurance | $15,765,996 | |||||
Internet — 0.1% | ||||||
205,000 | Expedia Group, Inc., 6.25%, 5/1/25 (144A) | $ 231,360 | ||||
Total Internet | $231,360 | |||||
Iron & Steel — 2.2% | ||||||
485,000 | Allegheny Technologies, Inc., 4.875%, 10/1/29 | $ 485,485 | ||||
270,000 | Allegheny Technologies, Inc., 5.125%, 10/1/31 | 272,025 | ||||
1,840,000 | Cleveland-Cliffs, Inc., 6.75%, 3/15/26 (144A) | 1,948,100 | ||||
155,000 | Cleveland-Cliffs, Inc., 9.875%, 10/17/25 (144A) | 175,427 |
Principal Amount USD ($) | Value | |||||
Iron & Steel — (continued) | ||||||
1,470,000 | Commercial Metals Co., 5.375%, 7/15/27 | $ 1,528,800 | ||||
1,860,000 | TMS International Corp., 6.25%, 4/15/29 (144A) | 1,850,700 | ||||
Total Iron & Steel | $6,260,537 | |||||
Leisure Time — 2.6% | ||||||
215,000 | Carnival Corp., 7.625%, 3/1/26 (144A) | $ 225,374 | ||||
EUR280,000 | Carnival Corp., 7.625%, 3/1/26 (144A) | 334,719 | ||||
285,000 | Carnival Corp., 10.50%, 2/1/26 (144A) | 325,326 | ||||
EUR731,000 | Carnival Plc, 1.00%, 10/28/29 | 624,183 | ||||
1,295,000 | NCL Corp., Ltd., 5.875%, 3/15/26 (144A) | 1,289,263 | ||||
360,000 | NCL Finance, Ltd., 6.125%, 3/15/28 (144A) | 354,600 | ||||
745,000 | Royal Caribbean Cruises, Ltd., 5.50%, 4/1/28 (144A) | 753,612 | ||||
270,000 | Royal Caribbean Cruises, Ltd., 9.125%, 6/15/23 (144A) | 285,525 | ||||
380,000 | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25 (144A) | 425,600 | ||||
2,790,000 | Viking Cruises, Ltd., 6.25%, 5/15/25 (144A) | 2,762,100 | ||||
Total Leisure Time | $7,380,302 | |||||
Lodging — 2.5% | ||||||
535,000 | Boyd Gaming Corp., 4.75%, 6/15/31 (144A) | $ 545,700 | ||||
440,000 | Boyd Gaming Corp., 8.625%, 6/1/25 (144A) | 471,469 | ||||
950,000 | Hilton Domestic Operating Co., Inc., 3.75%, 5/1/29 (144A) | 957,125 | ||||
910,000 | Hilton Domestic Operating Co., Inc., 4.00%, 5/1/31 (144A) | 931,567 | ||||
815,000 | Hyatt Hotels Corp., 5.375%, 4/23/25 | 903,743 | ||||
390,000 | Hyatt Hotels Corp., 5.75%, 4/23/30 | 465,637 | ||||
35,000 | Marriott International, Inc., 5.75%, 5/1/25 | 39,413 | ||||
1,700,000 | MGM Resorts International, 6.00%, 3/15/23 | 1,776,500 | ||||
725,000 | Travel + Leisure Co., 6.625%, 7/31/26 (144A) | 803,909 | ||||
Total Lodging | $6,895,063 | |||||
Machinery-Construction & Mining — 0.3% | ||||||
955,000 | Terex Corp., 5.00%, 5/15/29 (144A) | $ 981,263 | ||||
Total Machinery-Construction & Mining | $981,263 | |||||
Machinery-Diversified — 0.4% | ||||||
1,113,000 | Maxim Crane Works Holdings Capital LLC, 10.125%, 8/1/24 (144A) | $ 1,139,434 | ||||
Total Machinery-Diversified | $1,139,434 |
Principal Amount USD ($) | Value | |||||
Media — 3.6% | ||||||
480,000 | Audacy Capital Corp., 6.75%, 3/31/29 (144A) | $ 468,943 | ||||
1,255,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 6/1/33 (144A) | 1,280,389 | ||||
2,050,000 | Cengage Learning, Inc., 9.50%, 6/15/24 (144A) | 2,062,813 | ||||
825,000 | CSC Holdings LLC, 5.00%, 11/15/31 (144A) | 795,094 | ||||
1,404,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/27 (144A) | 393,120 | ||||
303,000 | Gray Television, Inc., 5.875%, 7/15/26 (144A) | 313,038 | ||||
1,057,000 | Gray Television, Inc., 7.00%, 5/15/27 (144A) | 1,129,669 | ||||
3,530,000 | McGraw-Hill Education, Inc., 8.00%, 8/1/29 (144A) | 3,502,995 | ||||
Total Media | $9,946,061 | |||||
Mining — 4.2% | ||||||
940,000 | Arconic Corp., 6.125%, 2/15/28 (144A) | $ 1,000,348 | ||||
1,665,000 | Coeur Mining, Inc., 5.125%, 2/15/29 (144A) | 1,525,890 | ||||
3,440,000 | Eldorado Gold Corp., 6.25%, 9/1/29 (144A) | 3,498,067 | ||||
415,000 | Endeavour Mining Plc, 5.00%, 10/14/26 (144A) | 410,850 | ||||
375,000 | First Quantum Minerals, Ltd., 6.875%, 3/1/26 (144A) | 389,531 | ||||
705,000 | First Quantum Minerals, Ltd., 6.875%, 10/15/27 (144A) | 758,756 | ||||
1,150,000 | First Quantum Minerals, Ltd., 7.25%, 4/1/23 (144A) | 1,163,225 | ||||
692,000 | Hudbay Minerals, Inc., 6.125%, 4/1/29 (144A) | 733,520 | ||||
2,184,000 | Joseph T Ryerson & Son, Inc., 8.50%, 8/1/28 (144A) | 2,375,100 | ||||
Total Mining | $11,855,287 | |||||
Multi-National — 0.3% | ||||||
IDR10,330,000,000 | Inter-American Development Bank, 7.875%, 3/14/23 | $ 751,385 | ||||
Total Multi-National | $751,385 | |||||
Oil & Gas — 14.9% | ||||||
2,430,000 | Aethon United BR LP/Aethon United Finance Corp., 8.25%, 2/15/26 (144A) | $ 2,610,306 | ||||
1,105,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/29 (144A) | 1,063,220 | ||||
4,000,000 | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | 4,190,000 | ||||
1,402,000 | Cenovus Energy, Inc., 6.75%, 11/15/39 | 1,906,578 | ||||
2,015,000 | Chesapeake Energy Corp., 6.75%, 4/15/29 (144A) | 2,186,275 | ||||
2,085,000 | Colgate Energy Partners III LLC, 7.75%, 2/15/26 (144A) | 2,251,800 |
Principal Amount USD ($) | Value | |||||
Oil & Gas — (continued) | ||||||
330,000 | Endeavor Energy Resources LP/EER Finance, Inc., 6.625%, 7/15/25 (144A) | $ 349,150 | ||||
2,135,000 | Harbour Energy Plc, 5.50%, 10/15/26 (144A) | 2,118,988 | ||||
830,000 | Hilcorp Energy I LP/Hilcorp Finance Co., 6.00%, 2/1/31 (144A) | 854,900 | ||||
870,000 | Kosmos Energy, Ltd., 7.75%, 5/1/27 (144A) | 828,675 | ||||
1,010,000 | MEG Energy Corp., 5.875%, 2/1/29 (144A) | 1,058,834 | ||||
1,535,000 | MEG Energy Corp., 7.125%, 2/1/27 (144A) | 1,634,652 | ||||
1,280,000 | Murphy Oil Corp., 6.375%, 7/15/28 | 1,360,422 | ||||
305,000 | Nabors Industries, Inc., 7.375%, 5/15/27 (144A) | 315,617 | ||||
1,109,000 | Nabors Industries, Ltd., 7.50%, 1/15/28 (144A) | 1,003,645 | ||||
2,000,000 | Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A) | 2,042,500 | ||||
2,010,000 | Occidental Petroleum Corp., 4.40%, 4/15/46 | 2,060,250 | ||||
2,560,000 | Parkland Corp., 4.625%, 5/1/30 (144A) | 2,544,000 | ||||
300,000 | PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25 (144A) | 285,375 | ||||
692,000 | Petroleos Mexicanos, 6.70%, 2/16/32 (144A) | 698,920 | ||||
579,000 | Precision Drilling Corp., 6.875%, 1/15/29 (144A) | 590,128 | ||||
1,010,000 | Rockcliff Energy II LLC, 5.50%, 10/15/29 (144A) | 1,040,300 | ||||
2,269,000 | Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A) | 1,656,370 | ||||
1,015,000 | Shelf Drilling Holdings, Ltd., 8.875%, 11/15/24 (144A) | 1,040,375 | ||||
885,000 | Southwestern Energy Co., 4.75%, 2/1/32 | 931,657 | ||||
2,120,000 | Tap Rock Resources LLC, 7.00%, 10/1/26 (144A) | 2,204,800 | ||||
2,075,000 | Tullow Oil Plc, 10.25%, 5/15/26 (144A) | 2,096,559 | ||||
1,000,000 | YPF SA, 6.95%, 7/21/27 (144A) | 654,700 | ||||
ARS15,750,000 | YPF SA, 16.50%, 5/9/22 (144A) | 73,291 | ||||
Total Oil & Gas | $41,652,287 | |||||
Oil & Gas Services — 2.4% | ||||||
385,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.25%, 4/1/28 (144A) | $ 401,447 | ||||
2,583,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.875%, 4/1/27 (144A) | 2,712,150 |
Principal Amount USD ($) | Value | |||||
Oil & Gas Services — (continued) | ||||||
3,140,000 | Exterran Energy Solutions LP/EES Finance Corp., 8.125%, 5/1/25 | $ 2,920,200 | ||||
703,000 | USA Compression Partners LP/USA Compression Finance Corp., 6.875%, 9/1/27 | 742,544 | ||||
Total Oil & Gas Services | $6,776,341 | |||||
Packaging & Containers — 1.5% | ||||||
1,500,000 | Greif, Inc., 6.50%, 3/1/27 (144A) | $ 1,556,250 | ||||
2,500,000 | OI European Group BV, 4.75%, 2/15/30 (144A) | 2,533,700 | ||||
Total Packaging & Containers | $4,089,950 | |||||
Pharmaceuticals — 3.1% | ||||||
1,005,000 | Bausch Health Americas, Inc., 8.50%, 1/31/27 (144A) | $ 1,055,250 | ||||
535,000 | Bausch Health Cos., Inc., 7.00%, 1/15/28 (144A) | 532,325 | ||||
535,000 | Bausch Health Cos., Inc., 7.25%, 5/30/29 (144A) | 529,650 | ||||
1,970,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.00%, 6/30/28 (144A) | 1,467,650 | ||||
1,376,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 7/31/27 (144A) | 1,400,658 | ||||
965,000 | P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (144A) | 966,206 | ||||
579,000 | Par Pharmaceutical, Inc., 7.50%, 4/1/27 (144A) | 591,697 | ||||
2,080,000 | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | 2,087,207 | ||||
Total Pharmaceuticals | $8,630,643 | |||||
Pipelines — 7.3% | ||||||
910,000 | DCP Midstream Operating LP, 5.60%, 4/1/44 | $ 1,132,040 | ||||
1,175,000(d) | DCP Midstream Operating LP, 5.85% (3 Month USD LIBOR + 385 bps), 5/21/43 (144A) | 1,139,750 | ||||
1,210,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75%, 5/15/25 | 1,237,225 | ||||
1,060,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.125%, 6/1/28 (144A) | 1,102,400 | ||||
1,524,000(a) | Energy Transfer LP, 3.149% (3 Month USD LIBOR + 302 bps), 11/1/66 | 1,219,200 | ||||
1,965,000(d)(g) | Energy Transfer LP, 7.125% (5 Year CMT Index + 531 bps) | 1,994,475 | ||||
925,000 | EnLink Midstream Partners LP, 4.15%, 6/1/25 | 959,687 | ||||
248,000 | EnLink Midstream Partners LP, 5.05%, 4/1/45 | 239,320 | ||||
270,000 | EnLink Midstream Partners LP, 5.45%, 6/1/47 | 272,402 | ||||
717,000 | EnLink Midstream Partners LP, 5.60%, 4/1/44 | 723,148 |
Principal Amount USD ($) | Value | |||||
Pipelines — (continued) | ||||||
770,000 | Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 1/15/27 | $ 793,531 | ||||
421,000 | Global Partners LP/GLP Finance Corp., 7.00%, 8/1/27 | 436,788 | ||||
1,375,000 | Golar LNG, Ltd., 7.00%, 10/20/25 (144A) | 1,353,000 | ||||
1,760,000 | Harvest Midstream I LP, 7.50%, 9/1/28 (144A) | 1,883,200 | ||||
1,150,000 | NuStar Logistics LP, 6.375%, 10/1/30 | 1,276,500 | ||||
1,850,000 | ONEOK, Inc., 6.875%, 9/30/28 | 2,257,995 | ||||
1,801,000 | Williams Cos., Inc., 5.75%, 6/24/44 | 2,344,115 | ||||
Total Pipelines | $20,364,776 | |||||
REITs — 1.4% | ||||||
230,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 1/15/30 (144A) | $ 221,339 | ||||
3,676,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/25 (144A) | 3,836,825 | ||||
Total REITs | $4,058,164 | |||||
Retail — 4.5% | ||||||
1,240,000 | AAG FH LP/AAG FH Finco, Inc., 9.75%, 7/15/24 (144A) | $ 1,224,537 | ||||
895,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/29 (144A) | 911,781 | ||||
520,000 | At Home Group, Inc., 7.125%, 7/15/29 (144A) | 510,900 | ||||
1,625,000 | Bath & Body Works, Inc., 6.625%, 10/1/30 (144A) | 1,840,312 | ||||
1,045,000 | Golden Nugget, Inc., 6.75%, 10/15/24 (144A) | 1,045,000 | ||||
470,000 | IRB Holding Corp., 7.00%, 6/15/25 (144A) | 497,246 | ||||
1,365,000 | LCM Investments Holdings II LLC, 4.875%, 5/1/29 (144A) | 1,402,783 | ||||
615,000 | Macy's Retail Holdings LLC, 5.875%, 4/1/29 (144A) | 655,744 | ||||
880,000 | Party City Holdings, Inc., 8.75%, 2/15/26 (144A) | 908,600 | ||||
475,000 | PetSmart, Inc./PetSmart Finance Corp., 7.75%, 2/15/29 (144A) | 515,969 | ||||
EUR1,715,000 | Shiba Bidco S.p.A., 4.50%, 10/31/28 (144A) | 1,972,053 | ||||
275,000 | SRS Distribution, Inc., 6.125%, 7/1/29 (144A) | 277,750 | ||||
798,000 | Staples, Inc., 7.50%, 4/15/26 (144A) | 819,945 | ||||
Total Retail | $12,582,620 | |||||
Software — 0.5% | ||||||
1,350,000 | Rackspace Technology Global, Inc., 5.375%, 12/1/28 (144A) | $ 1,316,250 | ||||
Total Software | $1,316,250 |
Principal Amount USD ($) | Value | |||||
Telecommunications — 4.3% | ||||||
1,495,000 | Altice France Holding SA, 6.00%, 2/15/28 (144A) | $ 1,427,725 | ||||
1,169,000 | Altice France Holding SA, 10.50%, 5/15/27 (144A) | 1,256,675 | ||||
270,000 | Altice France SA, 5.125%, 1/15/29 (144A) | 263,250 | ||||
559,000 | CommScope Technologies LLC, 6.00%, 6/15/25 (144A) | 559,000 | ||||
910,000 | CommScope, Inc., 4.75%, 9/1/29 (144A) | 904,367 | ||||
119,296 | Digicel International Finance Ltd/Digicel international Holdings, Ltd., 8.00%, 12/31/26 (144A) | 116,314 | ||||
298,833 | Digicel International Finance Ltd/Digicel international Holdings, Ltd., 8.75%, 5/25/24 (144A) | 306,680 | ||||
169,706(b) | Digicel International Finance Ltd/Digicel international Holdings, Ltd., 13.00% (7.0% PIK or 6.0% cash), 12/31/25 (144A) | 174,373 | ||||
1,050,000 | LogMeIn, Inc., 5.50%, 9/1/27 (144A) | 1,062,600 | ||||
3,080,000 | Sprint Corp., 7.125%, 6/15/24 | 3,457,777 | ||||
41,000 | Sprint Corp., 7.625%, 3/1/26 | 49,225 | ||||
2,385,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28 (144A) | 2,529,197 | ||||
Total Telecommunications | $12,107,183 | |||||
Transportation — 3.6% | ||||||
2,640,000 | Carriage Purchaser, Inc., 7.875%, 10/15/29 (144A) | $ 2,534,400 | ||||
1,375,000 | Danaos Corp., 8.50%, 3/1/28 (144A) | 1,505,625 | ||||
820,000 | Seaspan Corp., 5.50%, 8/1/29 (144A) | 828,200 | ||||
1,500,000 | Seaspan Corp., 6.50%, 4/29/26 (144A) | 1,606,711 | ||||
1,240,000 | Watco Cos. LLC/Watco Finance Corp., 6.50%, 6/15/27 (144A) | 1,289,600 | ||||
2,055,000 | Western Global Airlines LLC, 10.375%, 8/15/25 (144A) | 2,286,187 | ||||
Total Transportation | $10,050,723 | |||||
Trucking & Leasing — 0.3% | ||||||
690,000 | Fortress Transportation and Infrastructure Investors LLC, 9.75%, 8/1/27 (144A) | $ 772,800 | ||||
Total Trucking & Leasing | $772,800 | |||||
Total Corporate Bonds (Cost $335,403,401) | $356,009,090 | |||||
Shares | Value | |||||
Convertible Preferred Stock — 0.8% of Net Assets | ||||||
Banks — 0.8% | ||||||
1,600(g) | Wells Fargo & Co., 7.50% | $ 2,384,848 | ||||
Total Banks | $2,384,848 | |||||
Total Convertible Preferred Stock (Cost $2,022,424) | $2,384,848 | |||||
Preferred Stock — 1.2% of Net Assets | ||||||
Diversified Financial Services — 1.1% | ||||||
3,000(d)(g) | Compeer Financial ACA, 6.75% (3 Month USD LIBOR + 458 bps) (144A) | $ 3,183,750 | ||||
Total Diversified Financial Services | $3,183,750 | |||||
Internet — 0.1% | ||||||
129,055 | MYT Holding LLC, 10.00%, 6/6/29 | $ 139,379 | ||||
Total Internet | $139,379 | |||||
Total Preferred Stock (Cost $3,235,605) | $3,323,129 | |||||
Warrants — 0.1% of Net Assets | ||||||
Health Care Providers & Services — 0.0%† | ||||||
1,819,798(i) | ANR, Inc.,3/31/23 | $ 10,919 | ||||
Total Health Care Providers & Services | $10,919 | |||||
Oil, Gas & Consumable Fuels — 0.0%† | ||||||
354(c)(j) | Alpha Metallurgical Resources, Inc.,7/25/23 | $ 8,577 | ||||
Total Oil, Gas & Consumable Fuels | $8,577 | |||||
Transportation — 0.1% | ||||||
10,071(c)(k)^ | Syncreon Group,10/1/24 | $ 218,793 | ||||
Transportation | $218,793 | |||||
Total Warrants (Cost $308,610) | $238,289 | |||||
Face Amount USD ($) | ||||||
Insurance-Linked Securities — 1.2% of Net Assets# | ||||||
Collateralized Reinsurance — 0.1% | ||||||
Multiperil – Worldwide — 0.1% | ||||||
500,000(c)(l)+ | Cypress 2017, 1/31/23 | $ 50 |
Face Amount USD ($) | Value | ||||||
Multiperil – Worldwide — (continued) | |||||||
54,000(l)+ | Limestone Re, 3/1/23 (144A) | $ 6,993 | |||||
277,770(c)(l)+ | Oyster Bay Re 2018, 1/31/23 | 252,104 | |||||
$259,147 | |||||||
Total Collateralized Reinsurance | $259,147 | ||||||
Reinsurance Sidecars — 1.1% | |||||||
Multiperil – U.S. — 0.0%† | |||||||
500,000(c)(m)+ | Harambee Re 2018, 12/31/22 | $ 900 | |||||
600,000(m)+ | Harambee Re 2019, 12/31/22 | 660 | |||||
$1,560 | |||||||
Multiperil – Worldwide — 1.1% | |||||||
3,037(m)+ | Alturas Re 2019-2, 3/10/23 | $ 4,276 | |||||
24,550(m)+ | Alturas Re 2019-3, 9/12/23 | 11,953 | |||||
162,311(l)+ | Alturas Re 2020-1A, 3/10/23 (144A) | 14,559 | |||||
29,558(m)+ | Alturas Re 2020-2, 3/10/23 | 24,705 | |||||
1,167,977(c)(l)+ | Berwick Re 2018-1, 12/31/22 | 90,285 | |||||
834,446(c)(l)+ | Berwick Re 2019-1, 12/31/22 | 99,716 | |||||
1,000,000(c)(l)+ | Berwick Re 2022, 12/31/27 | 1,000,000 | |||||
849(l)+ | Limestone Re 2018, 3/1/23 | — | |||||
500,000(c)(m)+ | Lorenz Re 2018, 7/1/22 | — | |||||
499,318(c)(m)+ | Lorenz Re 2019, 6/30/22 | 16,378 | |||||
500,000(c)(l)+ | Merion Re 2018-2, 12/31/22 | 82,750 | |||||
1,000,000(c)(l)+ | Pangaea Re 2016-2, 11/30/22 | 1,783 | |||||
500,000(c)(l)+ | Pangaea Re 2018-1, 12/31/22 | 10,527 | |||||
1,000,000(c)(l)+ | Pangaea Re 2018-3, 7/1/22 | 20,743 | |||||
409,624(c)(l)+ | Pangaea Re 2019-1, 2/1/23 | 8,536 | |||||
735,313(c)(l)+ | Pangaea Re 2019-3, 7/1/23 | 26,450 | |||||
300,000(c)(l)+ | Sector Re V, 12/1/23 (144A) | 44,160 | |||||
20,000(l)+ | Sector Re V, 12/1/24 (144A) | 58,846 | |||||
1,500,000(l)+ | Sector Re V, 12/1/26 (144A) | 1,500,000 | |||||
250,000(l)+ | Sussex Re 2020-1, 12/31/22 | 8,000 | |||||
500,000(l)+ | Versutus Re 2018, 12/31/22 | — | |||||
441,274(l)+ | Versutus Re 2019-A, 12/31/22 | — | |||||
58,727(l)+ | Versutus Re 2019-B, 12/31/22 | — | |||||
253,645(c)(l)+ | Woburn Re 2018, 12/31/22 | 16,844 | |||||
244,914(c)(l)+ | Woburn Re 2019, 12/31/22 | 62,299 | |||||
$3,102,810 | |||||||
Total Reinsurance Sidecars | $3,104,370 | ||||||
Total Insurance-Linked Securities (Cost $4,100,986) | $3,363,517 | ||||||
Principal Amount USD ($) | Value | |||||
Foreign Government Bonds — 1.0% of Net Assets | ||||||
Mexico — 0.7% | ||||||
MXN38,420,700 | Mexican Bonos, 8.000%, 12/7/23 | $ 1,901,773 | ||||
Total Mexico | $1,901,773 | |||||
Nigeria — 0.1% | ||||||
475,000 | Nigeria Government International Bond, 7.375%, 9/28/33 (144A) | $ 452,010 | ||||
Total Nigeria | $452,010 | |||||
Russia — 0.2% | ||||||
452,400(n) | Russian Government International Bond, 7.500%, 3/31/30 | $ 511,909 | ||||
Total Russia | $511,909 | |||||
Total Foreign Government Bonds (Cost $2,858,540) | $2,865,692 | |||||
Shares | ||||||
SHORT TERM INVESTMENTS — 1.2% of Net Assets | ||||||
Open-End Mutual Funds — 1.2% | ||||||
3,284,076 | Dreyfus Government Cash Management, Institutional Shares, 0.03% | $ 3,284,076 | ||||
$3,284,076 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,284,076) | $3,284,076 |
Number of Contracts | Description | Counterparty | Notional | Strike Price | Expiration Date | |
Over The Counter (OTC) Currency Put Option Purchased — 0.0%† | ||||||
3,500,000 | Put EUR Call USD | Bank of America NA | EUR 31,099 | EUR 1.15 | 2/15/22 | $53,682 |
3,620,000 | Put EUR Call USD | Goldman Sachs & Co. | EUR 24,494 | EUR 1.13 | 2/14/22 | 17,252 |
1,650,000 | Put EUR Call USD | JPMorgan Chase Bank NA | EUR 23,405 | EUR 1.17 | 2/4/22 | 45,905 |
Total Over The Counter (OTC) Currency Put Option Purchased (Premiums paid $ 78,998) | $116,839 | |||||
Number of Contracts | Description | Counterparty | Notional | Strike Price | Expiration Date | Value |
Over The Counter (OTC) Currency Call Options Purchased — 0.0%† | ||||||
3,625,000 | Call EUR Put USD | Bank of America NA | EUR 55,707 | EUR 1.20 | 10/19/22 | $78,990 |
TOTAL OPTIONS PURCHASED (Premiums paid $ 134,705) | $195,829 | |||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS — 143.7% (Cost $380,999,730) | $401,649,527 | |||||
Over The Counter (OTC) Currency Call Option Written — (0.0%)† | ||||||
(3,500,000) | Call EUR Put USD | Bank of America NA | EUR 31,099 | EUR 1.20 | 2/15/22 | $(144) |
(3,620,000) | Call EUR Put USD | Goldman Sachs & Co. | EUR 24,494 | EUR 1.16 | 2/14/22 | (5,526) |
(1,650,000) | Call EUR Put USD | JPMorgan Chase Bank NA | EUR 23,405 | EUR 1.25 | 2/4/22 | — |
Total Over The Counter (OTC) Currency Call Option Written (Premiums paid $ (78,998)) | $(5,670) | |||||
Over The Counter (OTC) Currency Put Option Written — (0.0%)† | ||||||
(3,625,000) | Put EUR Call USD | Bank of America NA | EUR 55,707 | EUR 1.15 | 10/19/22 | $(19,739) |
TOTAL OPTIONS WRITTEN (Premiums received $ (134,705)) | $(25,409) | |||||
OTHER ASSETS AND LIABILITIES — (43.7)% | $(122,206,962) | |||||
Net Assets — 100.0% | $279,417,156 |
bps | Basis Points |
CMT | Constant Maturity Treasury Index |
FREMF | Freddie Mac Multifamily Fixed-Rate Mortgage Loans |
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-kind |
REIT | Real Estate Investment Trust |
SOFR30A | Secured Overnight Financing Rate 30 Day Average |
(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 December 31, 2021, the value of these securities amounted to $312,558,420, or 111.9% of net assets. |
(a) | Floating rate note. Coupon rate, reference index and spread shown at December 31, 2021. |
(b) | Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount. |
(c) | Non-income producing security. |
(d) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at December 31, 2021. |
(e) | Security is priced as a unit. |
(f) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(g) | Security is perpetual in nature and has no stated maturity date. |
(h) | Security is in default. |
(i) | ANR, Inc., 3/31/23 warrants are exercisable into 1,819,798 shares. |
(j) | Alpha Metallurgical Resources, Inc., 7/26/23 warrants are exercisable into 354 shares. |
(k) | Syncreon Group, 10/1/24 warrants are exercisable into 10,071 shares. |
(l) | Issued as participation notes. |
(m) | Issued as preference shares. |
(n) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at December 31, 2021. |
* | Senior secured floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically re-determined 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 December 31, 2021. |
+ | Security that used significant unobservable inputs to determine its value. |
^ | Security is valued using fair value methods (other than prices supplied by independent pricing services or brokerdealers). |
† | Amount rounds to less than 0.1%. |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
Alturas Re 2019-2 | 12/19/2018 | $3,037 | $4,276 |
Alturas Re 2019-3 | 6/26/2019 | 24,550 | 11,953 |
Alturas Re 2020-1A | 12/27/2019 | 162,311 | 14,559 |
Alturas Re 2020-2 | 1/1/2020 | 29,558 | 24,705 |
Berwick Re 2018-1 | 10/19/2018 | 170,602 | 90,285 |
Berwick Re 2019-1 | 12/31/2018 | 99,709 | 99,716 |
Berwick Re 2022 | 12/28/2021 | 1,000,000 | 1,000,000 |
Cypress 2017 | 1/24/2017 | 1,681 | 50 |
Harambee Re 2018 | 12/19/2017 | 10,612 | 900 |
Harambee Re 2019 | 12/20/2018 | — | 660 |
Limestone Re | 6/20/2018 | 359 | 6,993 |
Limestone Re 2018 | 6/20/2018 | 849 | — |
Lorenz Re 2018 | 6/26/2018 | 95,484 | — |
Lorenz Re 2019 | 6/26/2019 | 157,040 | 16,378 |
Merion Re 2018-2 | 12/28/2017 | 20,576 | 82,750 |
Oyster Bay Re 2018 | 10/19/2018 | 247,921 | 252,104 |
Pangaea Re 2016-2 | 5/31/2016 | — | 1,783 |
Pangaea Re 2018-1 | 1/11/2018 | 71,503 | 10,527 |
Restricted Securities | Acquisition date | Cost | Value |
Pangaea Re 2018-3 | 5/31/2018 | $240,861 | $20,743 |
Pangaea Re 2019-1 | 1/9/2019 | 4,301 | 8,536 |
Pangaea Re 2019-3 | 7/25/2019 | 22,059 | 26,450 |
Sector Re V | 12/4/2018 | 76,162 | 44,160 |
Sector Re V | 1/1/2020 | 20,000 | 58,846 |
Sector Re V | 12/6/2021 | 1,500,000 | 1,500,000 |
Sussex Re 2020-1 | 1/23/2020 | — | 8,000 |
Versutus Re 2018 | 1/31/2018 | — | — |
Versutus Re 2019-A | 1/28/2019 | — | — |
Versutus Re 2019-B | 12/24/2018 | — | — |
Woburn Re 2018 | 10/19/2018 | 87,980 | 16,844 |
Woburn Re 2019 | 2/14/2019 | 53,831 | 62,299 |
Total Restricted Securities | $3,363,517 | ||
% of Net assets | 1.2% |
United States | 74.1% |
Canada | 8.1% |
Luxembourg | 2.7% |
United Kingdom | 2.2% |
Netherlands | 1.9% |
Mexico | 1.6% |
Ireland | 1.2% |
Turkey | 1.0% |
Italy | 1.0% |
Other (individually less than 1%) | 6.2% |
100.0% |
Currency Purchased | In Exchange for | Currency Sold | Deliver | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
NOK | 7,300,000 | EUR | 719,559 | Bank of America NA | 1/10/22 | $9,395 |
EUR | 495,000 | USD | 561,747 | Brown Brothers Harriman & Co. | 2/24/22 | 2,432 |
USD | 1,525,327 | EUR | 1,345,000 | Brown Brothers Harriman & Co. | 1/27/22 | (6,783) |
USD | 2,196,229 | EUR | 1,933,000 | Citibank NA | 2/24/22 | (6,919) |
EUR | 6,045,000 | USD | 7,032,938 | Goldman Sachs International | 1/27/22 | (146,988) |
EUR | 2,370,000 | USD | 2,682,749 | HSBC Bank USA NA | 3/25/22 | 20,296 |
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | $(128,567) |
ARS | — Argentina Peso |
EUR | — Euro |
GBP | — United Kingdom Pound |
IDR | — Indonesia Rupiah |
MXN | — Mexico Peso |
NOK | — Norway Krone |
USD | — United States Dollar |
Level 1 | – | unadjusted quoted prices in active markets for identical securities. |
Level 2 | – | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
Level 3 | – | significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments). |
Level 1 | Level 2 | Level 3 | Total | |
Senior Secured Floating Rate Loan Interests | $— | $5,255,514 | $— | $5,255,514 |
Common Stocks | ||||
Oil, Gas & Consumable Fuels | 272,482 | — | 341,126 | 613,608 |
Specialty Retail | — | — | 104,409 | 104,409 |
Collateralized Mortgage Obligations | — | 7,630,904 | — | 7,630,904 |
Commercial Mortgage-Backed Securities | — | 10,341,862 | — | 10,341,862 |
Convertible Corporate Bonds | — | 6,038,760 | — | 6,038,760 |
Corporate Bonds | — | 356,009,090 | — | 356,009,090 |
Convertible Preferred Stock | 2,384,848 | — | — | 2,384,848 |
Preferred Stock | 3,323,129 | — | — | 3,323,129 |
Warrants | 238,289 | — | — | 238,289 |
Insurance-Linked Securities | ||||
Collateralized Reinsurance | ||||
Multiperil – Worldwide | — | — | 259,147 | 259,147 |
Reinsurance Sidecars | ||||
Multiperil – U.S. | — | — | 1,560 | 1,560 |
Level 1 | Level 2 | Level 3 | Total | |
Multiperil – Worldwide | $— | $— | $3,102,810 | $3,102,810 |
Foreign Government Bonds | — | 2,865,692 | — | 2,865,692 |
Open-End Mutual Funds | 3,284,076 | — | — | 3,284,076 |
Over The Counter (OTC) Currency Call Options Purchased | — | 78,990 | — | 78,990 |
Over The Counter (OTC) Currency Put Option Purchased | — | 116,839 | — | 116,839 |
Total Investments in Securities | $9,502,824 | $388,337,651 | $3,809,052 | $401,649,527 |
Other Financial Instruments | ||||
Credit Agreement(a) | $— | $(128,000,000) | $— | $(128,000,000) |
Over The Counter (OTC) Currency Call Option Written | — | (5,670) | — | (5,670) |
Over The Counter (OTC) Currency Put Option Written | — | (19,739) | — | (19,739) |
Net unrealized depreciation on forward foreign currency exchange contracts | — | (128,567) | — | (128,567) |
Total Other Financial Instruments | $— | $(128,153,976) | $— | $(128,153,976) |
(a) | The Fund may hold liabilities in which the fair value approximates the carrying amount for financial statement purposes. |
Common Stocks | Insurance- Linked Securities | Total | |
Balance as of 3/31/21 | $703,438 | $1,350,281 | $2,053,719 |
Realized gain (loss)(1) | 100,664 | (273,394) | (172,730) |
Changed in unrealized appreciation (depreciation)(2) | (17,993) | (9,639) | (27,632) |
Accrued discounts/premiums | — | (149,406) | (149,406) |
Purchases | — | 2,500,000 | 2,500,000 |
Sales | (340,574) | (54,325) | (394,899) |
Transfers in to Level 3* | — | — | — |
Transfers out of Level 3* | — | — | — |
Balance as of 12/31/21 | $445,535 | $3,363,517 | $3,809,052 |
* | Transfers are calculated on the beginning of period value. During the nine months ended December 31, 2021, there were no transfers in or out of Level 3. | |||
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at December 31, 2021: | $(125,002) |