HTML
Calamos Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
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PRINCIPAL
AMOUNT |
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VALUE |
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CORPORATE BONDS (33.5%) |
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Airlines (0.6%) |
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25,884
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Air Canada Pass Through Trust
Series 2013-1, Class B*
5.375%, 11/15/22 |
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$ |
25,997 |
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278,399
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Air Canada Pass Through Trust
Series 2015-2, Class B*
5.000%, 06/15/25 |
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276,353 |
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1,150,000
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Alaska Airlines Pass Through
Trust Series 2020-1, Class A*µ
4.800%, 02/15/29 |
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1,283,780 |
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893,000
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Alaska Airlines Pass Through
Trust Series 2020-1, Class B*µ
8.000%, 02/15/27 |
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990,069 |
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914,000
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JetBlue Pass Through Trust
Series 2020-1, Class Bµ
7.750%, 05/15/30 |
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1,040,169 |
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585,000
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Spirit Loyalty Cayman, Ltd. / Spirit
IP Cayman, Ltd.*µ
8.000%, 09/20/25 |
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664,531 |
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386,442
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UAL Pass Through Trust Series 2007-1
6.636%, 01/02/24 |
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396,234 |
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971,562
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United Airlines Pass Through
Trust Series 2014-2, Class Bµ
4.625%, 03/03/24 |
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979,567 |
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568,812
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United Airlines Pass Through
Trust Series 2019-2, Class Bµ
3.500%, 11/01/29 |
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537,999 |
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6,194,699 |
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Communication Services (4.5%) |
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1,630,000
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Altice France, SA*
7.375%, 05/01/26 |
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1,709,577 |
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1,490,000
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Arrow Bidco, LLC*
9.500%, 03/15/24 |
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1,313,122 |
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980,000
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Ashtead Capital, Inc.*^
4.000%, 05/01/28 |
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1,043,749 |
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717,000
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Beasley Mezzanine Holdings,
LLC* 8.625%, 02/01/26 |
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721,474 |
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705,000 |
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Brinks Company*
5.500%, 07/15/25 |
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752,016 |
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382,000
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Cable One, Inc.*^
4.000%, 11/15/30 |
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392,173 |
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1,145,000
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CenturyLink, Inc.*µ^
4.000%, 02/15/27 |
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1,185,899 |
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1,740,000
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Cincinnati Bell, Inc.*
8.000%, 10/15/25 |
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1,863,244 |
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590,000
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Consolidated Communications,
Inc.*^ 6.500%, 10/01/28 |
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642,421 |
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CSC Holdings, LLC* |
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3,100,000 |
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5.500%, 04/15/27^ |
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3,274,406 |
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2,100,000 |
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5.750%, 01/15/30 |
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2,256,870 |
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1,522,000 |
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5.500%, 05/15/26 |
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1,579,958 |
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200,000 |
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4.625%, 12/01/30 |
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204,280 |
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2,175,000
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Cumulus Media New Holdings,
Inc.*^ 6.750%, 07/01/26 |
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2,211,127 |
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PRINCIPAL
AMOUNT |
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VALUE |
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Diamond Sports Group, LLC /
Diamond Sports Finance Company*^ |
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750,000 |
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6.625%, 08/15/27 |
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$ |
477,788 |
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540,000 |
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5.375%, 08/15/26 |
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437,114 |
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3,826,000
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Embarq Corp.
7.995%, 06/01/36 |
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4,694,234 |
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Entercom Media Corp.* |
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822,000 |
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7.250%, 11/01/24^ |
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838,522 |
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683,000 |
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6.500%, 05/01/27 |
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701,093 |
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Frontier Communications Corp. |
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1,425,000 |
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11.000%, 09/15/25@ |
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758,413 |
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1,347,000 |
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7.625%, 04/15/24@ |
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697,988 |
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351,000 |
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5.875%, 10/15/27*^ |
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376,448 |
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250,000
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Go Daddy Operating Company,
LLC / GD Finance Company, Inc.*
5.250%, 12/01/27 |
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263,930 |
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270,000
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Hughes Satellite Systems Corp.^
5.250%, 08/01/26 |
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299,746 |
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Intelsat Jackson Holdings, SA@ |
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1,206,000 |
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9.750%, 07/15/25* |
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889,907 |
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985,000 |
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8.000%, 02/15/24* |
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1,010,226 |
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475,000 |
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5.500%, 08/01/23 |
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332,614 |
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850,000
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LCPR Senior Secured Financing
DAC* 6.750%, 10/15/27 |
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915,118 |
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475,000
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Ligado Networks, LLC*
15.500%, 11/01/23 15.500% PIK
rate |
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480,273 |
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Netflix, Inc.^ |
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725,000 |
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4.875%, 06/15/30* |
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881,723 |
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525,000 |
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4.875%, 04/15/28 |
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615,405 |
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Scripps Escrow II, Inc.* |
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477,000 |
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3.875%, 01/15/29µ |
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478,269 |
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239,000 |
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5.375%, 01/15/31 |
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241,818 |
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1,275,000
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Scripps Escrow, Inc.*^
5.875%, 07/15/27 |
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1,330,399 |
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477,000
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Shift4 Payments, LLC / Shift4
Payments Finance Sub, Inc.*
4.625%, 11/01/26 |
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496,843 |
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Sirius XM Radio, Inc.*^ |
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1,250,000 |
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5.500%, 07/01/29 |
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1,363,362 |
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1,250,000 |
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4.625%, 07/15/24 |
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1,293,300 |
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855,000
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Sprint Capital Corp.
6.875%, 11/15/28 |
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1,099,710 |
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Sprint Corp. |
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2,430,000 |
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7.125%, 06/15/24 |
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2,836,029 |
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1,300,000 |
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7.625%, 03/01/26^ |
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1,603,940 |
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755,000
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Telecom Italia Capital, SA^
6.000%, 09/30/34 |
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905,781 |
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812,000
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Telesat Canada / Telesat, LLC*µ
4.875%, 06/01/27 |
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843,376 |
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1,340,000
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United States Cellular Corp.^
6.700%, 12/15/33 |
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1,735,849 |
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392,000
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Windstream Services, LLC /
Windstream Finance Corp.@
7.750%, 10/01/21 |
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4,214 |
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48,053,748 |
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Consumer Discretionary (5.5%) |
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1,004,000
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American Axle & Manufacturing,
Inc.^ 6.875%, 07/01/28 |
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1,057,292 |
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See accompanying Notes to
Schedule of Investments
1
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
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PRINCIPAL
AMOUNT |
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VALUE |
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Ashton Woods USA, LLC / Ashton
Woods Finance Company* |
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705,000 |
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6.625%, 01/15/28 |
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$ |
752,954 |
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572,000 |
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9.875%, 04/01/27^ |
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648,522 |
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1,250,000
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BorgWarner, Inc.*^
5.000%, 10/01/25 |
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1,472,988 |
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1,185,000
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Boyd Gaming Corp.
6.000%, 08/15/26 |
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1,228,264 |
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Caesars Entertainment, Inc.* |
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472,000 |
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8.125%, 07/01/27^ |
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517,845 |
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472,000 |
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6.250%, 07/01/25 |
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497,974 |
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1,460,000
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Caesars Resort Collection, LLC /
CRC Finco, Inc.*^
5.250%, 10/15/25 |
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1,454,846 |
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Carnival Corp.*^ |
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488,000 |
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10.500%, 02/01/26 |
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566,631 |
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|
239,000 |
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7.625%, 03/01/26 |
|
|
253,268 |
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710,000
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Carvana Company*^
5.625%, 10/01/25 |
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734,694 |
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CCO Holdings, LLC / CCO
Holdings Capital Corp.* |
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3,130,000 |
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5.125%, 05/01/27 |
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3,293,230 |
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1,175,000 |
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5.750%, 02/15/26 |
|
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1,212,882 |
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|
565,000 |
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5.000%, 02/01/28 |
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|
594,035 |
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476,000 |
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4.250%, 02/01/31 |
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|
488,490 |
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750,000
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Cedar Fair, LP^
5.250%, 07/15/29 |
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751,950 |
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Century Communities, Inc. |
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1,250,000 |
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6.750%, 06/01/27 |
|
|
1,339,200 |
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|
1,095,000 |
|
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5.875%, 07/15/25 |
|
|
1,140,990 |
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|
2,075,000
|
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Dana Financing Luxembourg Sarl*
6.500%, 06/01/26 |
|
|
2,170,409 |
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DISH DBS Corp.^ |
|
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|
|
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|
|
763,000 |
|
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|
7.750%, 07/01/26 |
|
|
828,763 |
|
|
|
|
|
|
250,000 |
|
|
|
|
7.375%, 07/01/28 |
|
|
260,663 |
|
|
|
|
|
|
|
|
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|
ESH Hospitality, Inc.* |
|
|
|
|
|
|
|
|
|
680,000 |
|
|
|
|
5.250%, 05/01/25^ |
|
|
694,171 |
|
|
|
|
|
|
500,000 |
|
|
|
|
4.625%, 10/01/27 |
|
|
511,685 |
|
|
|
|
|
|
|
|
|
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|
Expedia Group, Inc.* |
|
|
|
|
|
|
|
|
|
570,000 |
|
|
|
|
7.000%, 05/01/25µ |
|
|
626,396 |
|
|
|
|
|
|
361,000 |
|
|
|
|
6.250%, 05/01/25^ |
|
|
417,803 |
|
|
|
|
|
|
600,000
|
|
|
|
|
Ford Motor Company
8.500%, 04/21/23 |
|
|
672,624 |
|
|
|
|
|
|
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|
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|
Ford Motor Credit Company, LLC^ |
|
|
|
|
|
|
|
|
|
1,300,000 |
|
|
|
|
4.063%, 11/01/24 |
|
|
1,355,510 |
|
|
|
|
|
|
1,140,000 |
|
|
|
|
3.664%, 09/08/24 |
|
|
1,176,594 |
|
|
|
|
|
|
1,120,000 |
|
|
|
|
4.134%, 08/04/25 |
|
|
1,177,456 |
|
|
|
|
|
|
600,000 |
|
|
|
|
4.000%, 11/13/30 |
|
|
615,000 |
|
|
|
|
|
|
500,000 |
|
|
|
|
4.389%, 01/08/26 |
|
|
532,235 |
|
|
|
|
|
|
2,000,000
|
|
|
|
|
goeasy, Ltd.*
5.375%, 12/01/24 |
|
|
2,094,820 |
|
|
|
|
|
|
477,000 |
|
|
|
|
Guitar Center, Inc.* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8.500%, 01/15/26 |
|
|
501,069 |
|
|
|
|
|
|
250,000
|
|
|
|
|
Installed Building Products, Inc.*
5.750%, 02/01/28 |
|
|
267,600 |
|
|
|
|
|
|
|
|
|
|
|
International Game Technology,
PLC* |
|
|
|
|
|
|
|
|
|
1,260,000 |
|
|
|
|
6.250%, 01/15/27µ^ |
|
|
1,445,220 |
|
|
|
|
|
|
301,000 |
|
|
|
|
5.250%, 01/15/29 |
|
|
321,751 |
|
|
|
|
|
|
|
|
|
|
|
L Brands, Inc. |
|
|
|
|
|
|
|
|
|
1,413,000 |
|
|
|
|
6.875%, 11/01/35 |
|
|
1,640,677 |
|
|
|
|
|
|
789,000 |
|
|
|
|
6.694%, 01/15/27^ |
|
|
884,248 |
|
|
|
|
|
|
238,000 |
|
|
|
|
6.875%, 07/01/25*^ |
|
|
259,670 |
|
|
|
|
|
|
1,200,000
|
|
|
|
|
Lennar Corp.µ
5.250%, 06/01/26 |
|
|
1,417,356 |
|
|
|
|
|
|
|
|
|
|
|
Life Time, Inc.* |
|
|
|
|
|
|
|
|
|
717,000 |
|
|
|
|
5.750%, 01/15/26 |
|
|
725,389 |
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
478,000 |
|
|
|
|
8.000%, 04/15/26 |
|
$ |
479,530 |
|
|
|
|
|
|
|
|
|
|
|
M/I Homes, Inc. |
|
|
|
|
|
|
|
|
|
1,335,000 |
|
|
|
|
5.625%, 08/01/25µ^ |
|
|
1,388,974 |
|
|
|
|
|
|
705,000 |
|
|
|
|
4.950%, 02/01/28 |
|
|
744,706 |
|
|
|
|
|
|
|
|
|
|
|
Macys Retail Holdings, LLC |
|
|
|
|
|
|
|
|
|
475,000 |
|
|
|
|
6.700%, 07/15/34* |
|
|
452,979 |
|
|
|
|
|
|
250,000 |
|
|
|
|
5.125%, 01/15/42 |
|
|
204,233 |
|
|
|
|
|
|
472,000
|
|
|
|
|
Macys, Inc.*µ^
8.375%, 06/15/25 |
|
|
523,184 |
|
|
|
|
|
|
|
|
|
|
|
Mattel, Inc.*^ |
|
|
|
|
|
|
|
|
|
1,250,000 |
|
|
|
|
5.875%, 12/15/27 |
|
|
1,379,150 |
|
|
|
|
|
|
1,145,000 |
|
|
|
|
6.750%, 12/31/25 |
|
|
1,204,471 |
|
|
|
|
|
|
1,155,000
|
|
|
|
|
Mclaren Finance, PLC*
5.750%, 08/01/22 |
|
|
1,097,597 |
|
|
|
|
|
|
|
|
|
|
|
Meredith Corp.^ |
|
|
|
|
|
|
|
|
|
472,000 |
|
|
|
|
6.500%, 07/01/25* |
|
|
502,977 |
|
|
|
|
|
|
235,000 |
|
|
|
|
6.875%, 02/01/26 |
|
|
238,111 |
|
|
|
|
|
|
1,908,000
|
|
|
|
|
Meritage Homes Corp.
7.000%, 04/01/22 |
|
|
2,026,048 |
|
|
|
|
|
|
717,000
|
|
|
|
|
Mohegan Gaming &
Entertainment* 8.000%, 02/01/26 |
|
|
708,654 |
|
|
|
|
|
|
931,000
|
|
|
|
|
Newell Brands, Inc.
4.700%, 04/01/26 |
|
|
1,025,189 |
|
|
|
|
|
|
|
|
|
|
|
Rite Aid Corp. |
|
|
|
|
|
|
|
|
|
1,885,000 |
|
|
|
|
8.000%, 11/15/26* |
|
|
2,028,844 |
|
|
|
|
|
|
474,000 |
|
|
|
|
7.700%, 02/15/27 |
|
|
473,592 |
|
|
|
|
|
|
|
|
|
|
|
Royal Caribbean Cruises, Ltd.*µ |
|
|
|
|
|
|
|
|
|
465,000 |
|
|
|
|
11.500%, 06/01/25 |
|
|
536,643 |
|
|
|
|
|
|
233,000 |
|
|
|
|
10.875%, 06/01/23 |
|
|
263,083 |
|
|
|
|
|
|
1,250,000
|
|
|
|
|
Speedway Motorsports, LLC /
Speedway Funding II, Inc.*
4.875%, 11/01/27 |
|
|
1,248,025 |
|
|
|
|
|
|
750,000
|
|
|
|
|
Taylor Morrison Communities,
Inc.*µ 5.750%, 01/15/28 |
|
|
850,005 |
|
|
|
|
|
|
1,250,000
|
|
|
|
|
Twin River Worldwide Holdings,
Inc.* 6.750%, 06/01/27 |
|
|
1,342,788 |
|
|
|
|
|
|
388,660
|
|
|
|
|
US Airways Pass Through Trust
Series 2012-2, Class B
6.750%, 12/03/22 |
|
|
386,581 |
|
|
|
|
|
|
238,000
|
|
|
|
|
Viking Cruises, Ltd.*
13.000%, 05/15/25 |
|
|
277,429 |
|
|
|
|
|
|
1,000,000
|
|
|
|
|
VOC Escrow, Ltd.*
5.000%, 02/15/28 |
|
|
974,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58,960,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (1.6%) |
|
|
|
|
|
|
|
|
|
477,000
|
|
|
|
|
Central Garden & Pet Company^
4.125%, 10/15/30 |
|
|
499,553 |
|
|
|
|
|
|
750,000
|
|
|
|
|
Dean Foods Company*@
6.500%, 03/15/23 |
|
|
14,565 |
|
|
|
|
|
|
482,000
|
|
|
|
|
Edgewell Personal Care
Company* 5.500%, 06/01/28 |
|
|
516,343 |
|
|
|
|
|
|
716,000
|
|
|
|
|
Energizer Holdings, Inc.*^
4.375%, 03/31/29 |
|
|
731,867 |
|
|
|
|
|
|
680,000
|
|
|
|
|
Fresh Market, Inc.*
9.750%, 05/01/23 |
|
|
702,209 |
|
|
|
|
|
|
1,275,000
|
|
|
|
|
JBS USA LUX, SA / JBS USA
Finance, Inc.*µ
6.750%, 02/15/28 |
|
|
1,415,556 |
|
See accompanying Notes to
Schedule of Investments
2
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
403,000
|
|
|
|
|
JBS USA LUX, SA / JBS USA
Food Company / JBS USA Finance,
Inc.*µ 6.500%, 04/15/29 |
|
$ |
458,751 |
|
|
|
|
|
|
|
|
|
|
|
Kraft Heinz Foods Company |
|
|
|
|
|
|
|
|
|
1,470,000 |
|
|
|
|
4.375%, 06/01/46µ |
|
|
1,567,917 |
|
|
|
|
|
|
237,000 |
|
|
|
|
4.250%, 03/01/31^ |
|
|
267,220 |
|
|
|
|
|
|
237,000 |
|
|
|
|
3.875%, 05/15/27^ |
|
|
259,418 |
|
|
|
|
|
|
|
|
|
|
|
New Albertsons, Inc. |
|
|
|
|
|
|
|
|
|
621,000 |
|
|
|
|
7.750%, 06/15/26 |
|
|
722,664 |
|
|
|
|
|
|
248,000 |
|
|
|
|
8.000%, 05/01/31 |
|
|
308,596 |
|
|
|
|
|
|
|
|
|
|
|
Pilgrims Pride Corp.* |
|
|
|
|
|
|
|
|
|
1,450,000 |
|
|
|
|
5.875%, 09/30/27 |
|
|
1,546,497 |
|
|
|
|
|
|
505,000 |
|
|
|
|
5.750%, 03/15/25 |
|
|
516,772 |
|
|
|
|
|
|
|
|
|
|
|
Post Holdings, Inc.* |
|
|
|
|
|
|
|
|
|
1,250,000 |
|
|
|
|
5.750%, 03/01/27 |
|
|
1,314,137 |
|
|
|
|
|
|
375,000 |
|
|
|
|
5.500%, 12/15/29 |
|
|
407,606 |
|
|
|
|
|
|
250,000 |
|
|
|
|
5.625%, 01/15/28 |
|
|
265,680 |
|
|
|
|
|
|
245,000 |
|
|
|
|
4.625%, 04/15/30 |
|
|
254,192 |
|
|
|
|
|
|
995,000 |
|
|
|
|
Simmons Foods, Inc.* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7.750%, 01/15/24 |
|
|
1,039,666 |
|
|
|
|
|
|
1,050,000
|
|
|
|
|
United Natural Foods, Inc.*^
6.750%, 10/15/28 |
|
|
1,111,771 |
|
|
|
|
|
|
|
|
|
|
|
Vector Group, Ltd.* |
|
|
|
|
|
|
|
|
|
1,320,000 |
|
|
|
|
6.125%, 02/01/25 |
|
|
1,340,209 |
|
|
|
|
|
|
1,320,000 |
|
|
|
|
5.750%, 02/01/29 |
|
|
1,364,378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,625,567 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (3.3%) |
|
|
|
|
|
|
|
|
|
355,000
|
|
|
|
|
Antero Resources Corp.*^
7.625%, 02/01/29 |
|
|
362,483 |
|
|
|
|
|
|
|
|
|
|
|
Apache Corp. |
|
|
|
|
|
|
|
|
|
958,000 |
|
|
|
|
5.100%, 09/01/40 |
|
|
969,295 |
|
|
|
|
|
|
538,000 |
|
|
|
|
4.875%, 11/15/27^ |
|
|
553,629 |
|
|
|
|
|
|
478,000 |
|
|
|
|
4.625%, 11/15/25^ |
|
|
489,152 |
|
|
|
|
|
|
738,000
|
|
|
|
|
Bruin E&P Partners, LLC*@
8.875%, 08/01/23 |
|
|
1,292 |
|
|
|
|
|
|
|
|
|
|
|
Buckeye Partners, LP^ |
|
|
|
|
|
|
|
|
|
750,000 |
|
|
|
|
3.950%, 12/01/26 |
|
|
756,997 |
|
|
|
|
|
|
500,000 |
|
|
|
|
5.850%, 11/15/43 |
|
|
499,575 |
|
|
|
|
|
|
720,000
|
|
|
|
|
ChampionX Corp.
6.375%, 05/01/26 |
|
|
755,568 |
|
|
|
|
|
|
1,000,000
|
|
|
|
|
Cheniere Energy Partners, LP^
5.625%, 10/01/26 |
|
|
1,042,710 |
|
|
|
|
|
|
477,000
|
|
|
|
|
Cheniere Energy, Inc.*
4.625%, 10/15/28 |
|
|
497,459 |
|
|
|
|
|
|
595,000
|
|
|
|
|
Chesapeake Energy Corp.*@
11.500%, 01/01/25 |
|
|
177,533 |
|
|
|
|
|
|
240,000
|
|
|
|
|
CNX Resources Corp.*^
7.250%, 03/14/27 |
|
|
258,024 |
|
|
|
|
|
|
|
|
|
|
|
Continental Resources, Inc.^ |
|
|
|
|
|
|
|
|
|
965,000 |
|
|
|
|
3.800%, 06/01/24 |
|
|
991,016 |
|
|
|
|
|
|
725,000 |
|
|
|
|
4.375%, 01/15/28 |
|
|
740,471 |
|
|
|
|
|
|
1,490,000
|
|
|
|
|
DCP Midstream Operating, LP*^
5.850%, 05/21/43 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3 mo. USD LIBOR + 3.85% |
|
|
1,341,358 |
|
|
|
|
|
|
540,000
|
|
|
|
|
Diamond Offshore Drilling, Inc.@
7.875%, 08/15/25 |
|
|
84,208 |
|
|
|
|
|
|
2,215,000
|
|
|
|
|
Energy Transfer Operating, LP
3.223%, 11/01/66 3 mo. USD LIBOR +
3.02% |
|
|
1,542,238 |
|
|
|
|
|
|
|
|
|
|
|
EnLink Midstream Partners, LP |
|
|
|
|
|
|
|
|
|
1,235,000
|
|
|
|
|
6.000%, 12/15/22
3 mo. USD LIBOR + 4.11% |
|
|
682,659 |
|
|
|
|
|
|
1,015,000 |
|
|
|
|
4.850%, 07/15/26 |
|
|
986,783 |
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
|
|
|
|
|
EQT Corp.^ |
|
|
|
|
|
|
|
|
|
550,000 |
|
|
|
|
8.750%, 02/01/30 |
|
$ |
702,009 |
|
|
|
|
|
|
385,000 |
|
|
|
|
7.875%, 02/01/25 |
|
|
454,350 |
|
|
|
|
|
|
235,000 |
|
|
|
|
5.000%, 01/15/29 |
|
|
255,943 |
|
|
|
|
|
|
978,000
|
|
|
|
|
Genesis Energy, LP / Genesis
Energy Finance Corp.
6.250%, 05/15/26 |
|
|
878,655 |
|
|
|
|
|
|
|
|
|
|
|
Gulfport Energy Corp.@ |
|
|
|
|
|
|
|
|
|
1,200,000 |
|
|
|
|
6.375%, 05/15/25 |
|
|
926,460 |
|
|
|
|
|
|
720,000 |
|
|
|
|
6.000%, 10/15/24 |
|
|
556,452 |
|
|
|
|
|
|
250,000
|
|
|
|
|
Hess Midstream Operations, LP*^
5.125%, 06/15/28 |
|
|
260,215 |
|
|
|
|
|
|
282,000
|
|
|
|
|
HighPoint Operating Corp.
7.000%, 10/15/22 |
|
|
113,649 |
|
|
|
|
|
|
235,000
|
|
|
|
|
Holly Energy Partners, LP / Holly
Energy Finance Corp.*^
5.000%, 02/01/28 |
|
|
236,763 |
|
|
|
|
|
|
807,000
|
|
|
|
|
Laredo Petroleum, Inc.^
10.125%, 01/15/28 |
|
|
703,494 |
|
|
|
|
|
|
1,485,000
|
|
|
|
|
Magnolia Oil & Gas Operating,
LLC / Magnolia Oil & Gas Finance
Corp.*^ 6.000%, 08/01/26 |
|
|
1,536,515 |
|
|
|
|
|
|
|
|
|
|
|
Moss Creek Resources Holdings,
Inc.* |
|
|
|
|
|
|
|
|
|
500,000 |
|
|
|
|
10.500%, 05/15/27 |
|
|
445,105 |
|
|
|
|
|
|
455,000 |
|
|
|
|
7.500%, 01/15/26 |
|
|
382,259 |
|
|
|
|
|
|
500,000
|
|
|
|
|
Murphy Oil Corp.^
5.875%, 12/01/27 |
|
|
475,940 |
|
|
|
|
|
|
477,000
|
|
|
|
|
New Fortress Energy, Inc.*
6.750%, 09/15/25 |
|
|
494,110 |
|
|
|
|
|
|
245,000
|
|
|
|
|
Newfield Exploration Companyµ
5.750%, 01/30/22 |
|
|
254,496 |
|
|
|
|
|
|
450,000
|
|
|
|
|
Nine Energy Service, Inc.*
8.750%, 11/01/23 |
|
|
187,817 |
|
|
|
|
|
|
|
|
|
|
|
Occidental Petroleum Corp.^ |
|
|
|
|
|
|
|
|
|
2,930,000 |
|
|
|
|
4.300%, 08/15/39 |
|
|
2,568,643 |
|
|
|
|
|
|
2,142,000 |
|
|
|
|
2.900%, 08/15/24 |
|
|
2,081,167 |
|
|
|
|
|
|
1,816,000 |
|
|
|
|
2.700%, 08/15/22 |
|
|
1,823,300 |
|
|
|
|
|
|
494,000 |
|
|
|
|
5.875%, 09/01/25 |
|
|
518,552 |
|
|
|
|
|
|
245,000
|
|
|
|
|
Ovintiv, Inc.^
6.500%, 08/15/34 |
|
|
299,689 |
|
|
|
|
|
|
464,000
|
|
|
|
|
Par Petroleum, LLC / Par
Petroleum Finance Corp.*
7.750%, 12/15/25 |
|
|
452,966 |
|
|
|
|
|
|
750,000
|
|
|
|
|
Parkland Fuel Corp.*^
5.875%, 07/15/27 |
|
|
802,717 |
|
|
|
|
|
|
960,000
|
|
|
|
|
Plains All American Pipeline,
LPµ 6.125%, 11/15/22
3 mo. USD LIBOR + 4.11% |
|
|
805,814 |
|
|
|
|
|
|
360,000
|
|
|
|
|
Range Resources Corp.*^
8.250%, 01/15/29 |
|
|
378,731 |
|
|
|
|
|
|
1,050,000
|
|
|
|
|
SESI, LLC@
7.750%, 09/15/24 |
|
|
408,880 |
|
|
|
|
|
|
304,000
|
|
|
|
|
SM Energy Company*^
10.000%, 01/15/25 |
|
|
337,838 |
|
|
|
|
|
|
243,000
|
|
|
|
|
Southwestern Energy Companyµ
8.375%, 09/15/28 |
|
|
260,491 |
|
|
|
|
|
|
536,000
|
|
|
|
|
Transocean, Inc.*
11.500%, 01/30/27 |
|
|
423,376 |
|
|
|
|
|
|
1,300,000
|
|
|
|
|
Vine Oil & Gas, LP / Vine Oil &
Gas Finance Corp.*
8.750%, 04/15/23 |
|
|
1,210,742 |
|
|
|
|
|
|
500,000
|
|
|
|
|
Viper Energy Partners, LP*^
5.375%, 11/01/27 |
|
|
525,490 |
|
See accompanying Notes to
Schedule of Investments
3
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
905,000
|
|
|
|
|
W&T Offshore, Inc.*
9.750%, 11/01/23 |
|
$ |
717,149 |
|
|
|
|
|
|
460,000
|
|
|
|
|
Weatherford International, Ltd.*
11.000%, 12/01/24 |
|
|
394,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,607,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (5.9%) |
|
|
|
|
|
|
|
|
|
3,175,000
|
|
|
|
|
Acrisure, LLC / Acrisure Finance,
Inc.*^ 7.000%, 11/15/25 |
|
|
3,278,664 |
|
|
|
|
|
|
485,000
|
|
|
|
|
Aethon United BR, LP / Aethon
United Finance Corp.*
8.250%, 02/15/26 |
|
|
496,524 |
|
|
|
|
|
|
945,000
|
|
|
|
|
AG Issuer, LLC*
6.250%, 03/01/28 |
|
|
991,135 |
|
|
|
|
|
|
2,065,000
|
|
|
|
|
Alliant Holdings Intermediate, LLC
/ Alliant Holdings Co-Issuer*^
6.750%, 10/15/27 |
|
|
2,187,124 |
|
|
|
|
|
|
1,597,000
|
|
|
|
|
Ally Financial, Inc.
8.000%, 11/01/31 |
|
|
2,325,823 |
|
|
|
|
|
|
1,975,000
|
|
|
|
|
AmWINS Group, Inc.*
7.750%, 07/01/26 |
|
|
2,117,674 |
|
|
|
|
|
|
2,200,000
|
|
|
|
|
AssuredPartners, Inc.*
7.000%, 08/15/25 |
|
|
2,270,048 |
|
|
|
|
|
|
|
|
|
|
|
Aviation Capital Group, LLC*µ |
|
|
|
|
|
|
|
|
|
1,069,000 |
|
|
|
|
3.500%, 11/01/27^ |
|
|
1,129,880 |
|
|
|
|
|
|
250,000 |
|
|
|
|
6.750%, 04/06/21 |
|
|
252,730 |
|
|
|
|
|
|
2,720,000
|
|
|
|
|
Brookfield Property REIT, Inc. /
BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI
Sellco, LLC*^
5.750%, 05/15/26 |
|
|
2,825,754 |
|
|
|
|
|
|
|
|
|
|
|
Credit Acceptance Corp.^ |
|
|
|
|
|
|
|
|
|
1,250,000 |
|
|
|
|
6.625%, 03/15/26 |
|
|
1,327,438 |
|
|
|
|
|
|
869,000 |
|
|
|
|
5.125%, 12/31/24* |
|
|
901,544 |
|
|
|
|
|
|
297,000
|
|
|
|
|
Cushman & Wakefield US
Borrower, LLC* 6.750%, 05/15/28 |
|
|
323,587 |
|
|
|
|
|
|
1,250,000
|
|
|
|
|
Donnelley Financial Solutions, Inc.
8.250%, 10/15/24 |
|
|
1,316,963 |
|
|
|
|
|
|
1,005,000
|
|
|
|
|
Genworth Mortgage Holdings,
Inc.*^ 6.500%, 08/15/25 |
|
|
1,076,737 |
|
|
|
|
|
|
839,362
|
|
|
|
|
Global Aircraft Leasing Company,
Ltd.* 6.500%, 09/15/24
7.250% PIK rate |
|
|
753,755 |
|
|
|
|
|
|
923,000
|
|
|
|
|
Global Net Lease, Inc. / Global
Net Lease Operating Partnership, LP*^
3.750%, 12/15/27 |
|
|
941,848 |
|
|
|
|
|
|
1,563,000
|
|
|
|
|
Greystar Real Estate Partners,
LLC* 5.750%, 12/01/25 |
|
|
1,615,704 |
|
|
|
|
|
|
4,250,000
|
|
|
|
|
HUB International, Ltd.*
7.000%, 05/01/26 |
|
|
4,411,627 |
|
|
|
|
|
|
|
|
|
|
|
Icahn Enterprises, LP / Icahn
Enterprises Finance Corp. |
|
|
|
|
|
|
|
|
|
1,180,000 |
|
|
|
|
5.250%, 05/15/27 |
|
|
1,242,269 |
|
|
|
|
|
|
238,000 |
|
|
|
|
4.375%, 02/01/29* |
|
|
236,729 |
|
|
|
|
|
|
1,825,000
|
|
|
|
|
ILFC E-Capital Trust II*
3.480%, 12/21/65 3 mo. USD LIBOR +
1.80% |
|
|
1,475,731 |
|
|
|
|
|
|
2,195,000
|
|
|
|
|
Iron Mountain, Inc.*^
5.250%, 03/15/28 |
|
|
2,310,435 |
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
2,000,000
|
|
|
|
|
Jefferies Finance, LLC / JFIN Co-
Issuer Corp.*µ
6.250%, 06/03/26 |
|
$ |
2,102,500 |
|
|
|
|
|
|
|
|
|
|
|
Ladder Capital Finance Holdings
LLLP / Ladder Capital Finance Corp.* |
|
|
|
|
|
|
|
|
|
2,114,000 |
|
|
|
|
5.250%, 10/01/25 |
|
|
2,116,537 |
|
|
|
|
|
|
237,000 |
|
|
|
|
4.250%, 02/01/27^ |
|
|
227,657 |
|
|
|
|
|
|
1,040,000
|
|
|
|
|
Level 3 Financing, Inc.µ
5.375%, 05/01/25 |
|
|
1,068,933 |
|
|
|
|
|
|
2,168,000
|
|
|
|
|
LPL Holdings, Inc.*
5.750%, 09/15/25 |
|
|
2,241,300 |
|
|
|
|
|
|
2,085,000
|
|
|
|
|
MetLife, Inc.µ
6.400%, 12/15/66 |
|
|
2,700,033 |
|
|
|
|
|
|
480,000
|
|
|
|
|
MGIC Investment Corp.
5.250%, 08/15/28 |
|
|
513,754 |
|
|
|
|
|
|
|
|
|
|
|
Navient Corp. |
|
|
|
|
|
|
|
|
|
2,113,000 |
|
|
|
|
5.000%, 03/15/27^ |
|
|
2,144,315 |
|
|
|
|
|
|
550,000 |
|
|
|
|
6.750%, 06/25/25^ |
|
|
603,394 |
|
|
|
|
|
|
478,000 |
|
|
|
|
4.875%, 03/15/28 |
|
|
475,323 |
|
|
|
|
|
|
540,000
|
|
|
|
|
NexBank Capital, Inc.*&
6.375%, 09/30/27 3 mo. USD LIBOR +
4.59% |
|
|
531,970 |
|
|
|
|
|
|
|
|
|
|
|
OneMain Finance Corp. |
|
|
|
|
|
|
|
|
|
1,230,000 |
|
|
|
|
7.125%, 03/15/26 |
|
|
1,444,327 |
|
|
|
|
|
|
925,000 |
|
|
|
|
6.875%, 03/15/25^ |
|
|
1,061,262 |
|
|
|
|
|
|
|
|
|
|
|
Park Intermediate Holdings, LLC /
PK Domestic Property, LLC / PK Finance
Co-Issuer* |
|
|
|
|
|
|
|
|
|
578,000 |
|
|
|
|
7.500%, 06/01/25 |
|
|
625,384 |
|
|
|
|
|
|
476,000 |
|
|
|
|
5.875%, 10/01/28 |
|
|
503,275 |
|
|
|
|
|
|
1,100,000
|
|
|
|
|
Prospect Capital Corp.µ
3.706%, 01/22/26 |
|
|
1,089,165 |
|
|
|
|
|
|
1,250,000
|
|
|
|
|
Radian Group, Inc.µ^
4.875%, 03/15/27 |
|
|
1,353,188 |
|
|
|
|
|
|
580,000
|
|
|
|
|
SLM Corp.µ^
4.200%, 10/29/25 |
|
|
616,076 |
|
|
|
|
|
|
1,250,000
|
|
|
|
|
Starwood Property Trust, Inc.
4.750%, 03/15/25 |
|
|
1,259,725 |
|
|
|
|
|
|
943,000
|
|
|
|
|
StoneX Group, Inc.*µ
8.625%, 06/15/25 |
|
|
1,026,446 |
|
|
|
|
|
|
440,000
|
|
|
|
|
Tronox Finance, PLC*^
5.750%, 10/01/25 |
|
|
457,547 |
|
|
|
|
|
|
716,000
|
|
|
|
|
United Shore Financial Services,
LLC*^ 5.500%, 11/15/25 |
|
|
754,471 |
|
|
|
|
|
|
940,000
|
|
|
|
|
VICI Properties, LP / VICI Note
Company, Inc.*^ 3.750%, 02/15/27 |
|
|
958,386 |
|
|
|
|
|
|
1,017,000
|
|
|
|
|
XHR, LP*
6.375%, 08/15/25 |
|
|
1,068,521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,753,212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (3.3%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Acadia Healthcare Company, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Inc.^ |
|
|
|
|
|
|
|
|
|
2,300,000 |
|
|
|
|
5.625%, 02/15/23 |
|
|
2,308,372 |
|
|
|
|
|
|
477,000 |
|
|
|
|
5.000%, 04/15/29* |
|
|
502,586 |
|
|
|
|
|
|
2,730,000
|
|
|
|
|
Bausch Health Americas, Inc.*
8.500%, 01/31/27 |
|
|
3,022,902 |
|
|
|
|
|
|
|
|
|
|
|
Bausch Health Companies, Inc.* |
|
|
|
|
|
|
|
|
|
1,050,000 |
|
|
|
|
5.000%, 01/30/28 |
|
|
1,083,033 |
|
|
|
|
|
|
413,000 |
|
|
|
|
5.000%, 02/15/29 |
|
|
423,569 |
|
|
|
|
|
|
239,000 |
|
|
|
|
5.250%, 02/15/31 |
|
|
246,256 |
|
|
|
|
|
|
|
|
|
|
|
Centene Corp. |
|
|
|
|
|
|
|
|
|
1,000,000 |
|
|
|
|
4.250%, 12/15/27^ |
|
|
1,060,060 |
|
See accompanying Notes to
Schedule of Investments
4
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
477,000 |
|
|
|
|
3.000%, 10/15/30 |
|
$ |
499,686 |
|
|
|
|
|
|
|
|
|
|
|
CHS/Community Health Systems,
Inc.* |
|
|
|
|
|
|
|
|
|
3,793,000 |
|
|
|
|
8.125%, 06/30/24 |
|
|
3,997,822 |
|
|
|
|
|
|
1,100,000 |
|
|
|
|
8.000%, 03/15/26^ |
|
|
1,183,930 |
|
|
|
|
|
|
538,000 |
|
|
|
|
6.875%, 04/15/29 |
|
|
544,951 |
|
|
|
|
|
|
|
|
|
|
|
DaVita, Inc.* |
|
|
|
|
|
|
|
|
|
1,206,000 |
|
|
|
|
4.625%, 06/01/30 |
|
|
1,267,554 |
|
|
|
|
|
|
237,000 |
|
|
|
|
3.750%, 02/15/31 |
|
|
235,592 |
|
|
|
|
|
|
|
|
|
|
|
Encompass Health Corp. |
|
|
|
|
|
|
|
|
|
470,000 |
|
|
|
|
4.750%, 02/01/30 |
|
|
504,808 |
|
|
|
|
|
|
470,000 |
|
|
|
|
4.500%, 02/01/28 |
|
|
492,616 |
|
|
|
|
|
|
1,175,000
|
|
|
|
|
HCA, Inc.
7.500%, 11/06/33 |
|
|
1,613,440 |
|
|
|
|
|
|
1,650,000
|
|
|
|
|
Mallinckrodt International Finance,
SA / Mallinckrodt CB, LLC*@
5.625%, 10/15/23 |
|
|
682,473 |
|
|
|
|
|
|
1,025,000
|
|
|
|
|
Team Health Holdings, Inc.*
6.375%, 02/01/25 |
|
|
924,222 |
|
|
|
|
|
|
|
|
|
|
|
Tenet Healthcare Corp. |
|
|
|
|
|
|
|
|
|
2,250,000 |
|
|
|
|
6.250%, 02/01/27*^ |
|
|
2,373,570 |
|
|
|
|
|
|
1,405,000 |
|
|
|
|
4.625%, 07/15/24 |
|
|
1,431,569 |
|
|
|
|
|
|
1,315,000 |
|
|
|
|
6.875%, 11/15/31 |
|
|
1,427,406 |
|
|
|
|
|
|
1,250,000 |
|
|
|
|
4.875%, 01/01/26* |
|
|
1,305,725 |
|
|
|
|
|
|
2,382,000
|
|
|
|
|
Teva Pharmaceutical Finance
Company, BVµ
2.950%, 12/18/22 |
|
|
2,391,242 |
|
|
|
|
|
|
|
|
|
|
|
Teva Pharmaceutical Finance
Netherlands III, BV^ |
|
|
|
|
|
|
|
|
|
2,050,000 |
|
|
|
|
6.000%, 04/15/24µ |
|
|
2,160,167 |
|
|
|
|
|
|
1,950,000 |
|
|
|
|
2.800%, 07/21/23 |
|
|
1,935,316 |
|
|
|
|
|
|
1,696,000
|
|
|
|
|
West Street Merger Sub, Inc.*
6.375%, 09/01/25 |
|
|
1,748,780 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,367,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (5.1%) |
|
|
|
|
|
|
|
|
|
960,000
|
|
|
|
|
Abercrombie & Fitch Management
Company*^ 8.750%, 07/15/25 |
|
|
1,068,000 |
|
|
|
|
|
|
1,020,000
|
|
|
|
|
ACCO Brands Corp.*^
5.250%, 12/15/24 |
|
|
1,049,264 |
|
|
|
|
|
|
|
|
|
|
|
Albertsons Companies, Inc. /
Safeway, Inc. / New Albertsons, LP /
Albertsons, LLC* |
|
|
|
|
|
|
|
|
|
1,175,000 |
|
|
|
|
4.625%, 01/15/27 |
|
|
1,233,198 |
|
|
|
|
|
|
703,000 |
|
|
|
|
4.875%, 02/15/30 |
|
|
752,266 |
|
|
|
|
|
|
477,000 |
|
|
|
|
3.500%, 03/15/29 |
|
|
471,553 |
|
|
|
|
|
|
|
|
|
|
|
Allison Transmission, Inc.*^ |
|
|
|
|
|
|
|
|
|
825,000 |
|
|
|
|
4.750%, 10/01/27 |
|
|
864,385 |
|
|
|
|
|
|
240,000 |
|
|
|
|
3.750%, 01/30/31 |
|
|
239,155 |
|
|
|
|
|
|
|
|
|
|
|
American Airlines Group, Inc.* |
|
|
|
|
|
|
|
|
|
789,000 |
|
|
|
|
5.000%, 06/01/22 |
|
|
742,836 |
|
|
|
|
|
|
240,000 |
|
|
|
|
3.750%, 03/01/25^ |
|
|
184,380 |
|
|
|
|
|
|
2,450,000
|
|
|
|
|
ARD Finance, SA*
6.500%, 06/30/27 7.250% PIK rate |
|
|
2,587,322 |
|
|
|
|
|
|
500,000
|
|
|
|
|
Avolon Holdings Funding, Ltd.*µ^
5.250%, 05/15/24 |
|
|
547,810 |
|
|
|
|
|
|
1,245,000
|
|
|
|
|
Beacon Roofing Supply, Inc.*
4.875%, 11/01/25 |
|
|
1,260,189 |
|
|
|
|
|
|
|
|
|
|
|
Cascades, Inc. / Cascades USA,
Inc.* |
|
|
|
|
|
|
|
|
|
750,000 |
|
|
|
|
5.125%, 01/15/26 |
|
|
798,202 |
|
|
|
|
|
|
500,000 |
|
|
|
|
5.375%, 01/15/28^ |
|
|
529,335 |
|
|
|
|
|
|
|
|
|
|
|
Delta Air Lines, Inc.^ |
|
|
|
|
|
|
|
|
|
239,000 |
|
|
|
|
7.375%, 01/15/26 |
|
|
274,817 |
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
236,000 |
|
|
|
|
3.800%, 04/19/23 |
|
$ |
242,164 |
|
|
|
|
|
|
|
|
|
|
|
Delta Air Lines, Inc. / SkyMiles IP,
Ltd.*µ |
|
|
|
|
|
|
|
|
|
239,000 |
|
|
|
|
4.750%, 10/20/28 |
|
|
264,972 |
|
|
|
|
|
|
119,000 |
|
|
|
|
4.500%, 10/20/25 |
|
|
127,303 |
|
|
|
|
|
|
478,000
|
|
|
|
|
Endurance Acquisition Merger
Sub* 6.000%, 02/15/29 |
|
|
472,044 |
|
|
|
|
|
|
475,000
|
|
|
|
|
EnerSys*
4.375%, 12/15/27 |
|
|
507,062 |
|
|
|
|
|
|
2,045,000
|
|
|
|
|
Fly Leasing, Ltd.^
5.250%, 10/15/24 |
|
|
1,995,020 |
|
|
|
|
|
|
477,000
|
|
|
|
|
GFL Environmental, Inc.*^
3.750%, 08/01/25 |
|
|
488,658 |
|
|
|
|
|
|
|
|
|
|
|
Golden Nugget, Inc.* |
|
|
|
|
|
|
|
|
|
725,000 |
|
|
|
|
6.750%, 10/15/24 |
|
|
726,682 |
|
|
|
|
|
|
505,000 |
|
|
|
|
8.750%, 10/01/25^ |
|
|
525,357 |
|
|
|
|
|
|
533,000
|
|
|
|
|
Graham Packaging Company,
Inc.*^ 7.125%, 08/15/28 |
|
|
579,675 |
|
|
|
|
|
|
500,000
|
|
|
|
|
Granite US Holdings Corp.*^
11.000%, 10/01/27 |
|
|
561,985 |
|
|
|
|
|
|
625,000
|
|
|
|
|
Graphic Packaging International,
LLC* 4.750%, 07/15/27 |
|
|
690,862 |
|
|
|
|
|
|
1,215,000
|
|
|
|
|
Great Lakes Dredge & Dock Corp.
8.000%, 05/15/22 |
|
|
1,236,384 |
|
|
|
|
|
|
1,099,000
|
|
|
|
|
H&E Equipment Services, Inc.*
3.875%, 12/15/28 |
|
|
1,095,989 |
|
|
|
|
|
|
110,000
|
|
|
|
|
Hawaiian Brand Intellectual
Property Ltd. / HawaiianMiles Loyalty Ltd.*
5.750%, 01/20/26 |
|
|
114,290 |
|
|
|
|
|
|
1,250,000
|
|
|
|
|
Herc Holdings, Inc.*^
5.500%, 07/15/27 |
|
|
1,319,437 |
|
|
|
|
|
|
|
|
|
|
|
Howmet Aerospace, Inc.^ |
|
|
|
|
|
|
|
|
|
1,450,000 |
|
|
|
|
5.125%, 10/01/24 |
|
|
1,596,943 |
|
|
|
|
|
|
429,000 |
|
|
|
|
6.875%, 05/01/25 |
|
|
500,403 |
|
|
|
|
|
|
1,250,000
|
|
|
|
|
Jeld-Wen, Inc.*
4.625%, 12/15/25 |
|
|
1,277,775 |
|
|
|
|
|
|
865,000
|
|
|
|
|
KeHE Distributors, LLC / KeHE
Finance Corp.* 8.625%, 10/15/26 |
|
|
967,952 |
|
|
|
|
|
|
716,000
|
|
|
|
|
Ken Garff Automotive, LLC*
4.875%, 09/15/28 |
|
|
737,215 |
|
|
|
|
|
|
474,000
|
|
|
|
|
MasTec, Inc.*^
4.500%, 08/15/28 |
|
|
499,786 |
|
|
|
|
|
|
|
|
|
|
|
Meritor, Inc.^ |
|
|
|
|
|
|
|
|
|
1,903,000 |
|
|
|
|
6.250%, 02/15/24 |
|
|
1,930,993 |
|
|
|
|
|
|
143,000 |
|
|
|
|
4.500%, 12/15/28* |
|
|
145,780 |
|
|
|
|
|
|
588,000
|
|
|
|
|
Moog, Inc.*
4.250%, 12/15/27 |
|
|
613,507 |
|
|
|
|
|
|
1,175,000
|
|
|
|
|
Nationstar Mortgage Holdings,
Inc.* 6.000%, 01/15/27 |
|
|
1,244,290 |
|
|
|
|
|
|
|
|
|
|
|
Navistar International Corp.* |
|
|
|
|
|
|
|
|
|
1,625,000 |
|
|
|
|
6.625%, 11/01/25 |
|
|
1,694,420 |
|
|
|
|
|
|
480,000 |
|
|
|
|
9.500%, 05/01/25 |
|
|
535,171 |
|
|
|
|
|
|
940,000
|
|
|
|
|
Novelis Corp.*
4.750%, 01/30/30 |
|
|
990,563 |
|
|
|
|
|
|
1,120,000
|
|
|
|
|
Park-Ohio Industries, Inc.^
6.625%, 04/15/27 |
|
|
1,128,702 |
|
|
|
|
|
|
505,000
|
|
|
|
|
Patrick Industries, Inc.*
7.500%, 10/15/27 |
|
|
554,429 |
|
See accompanying Notes to
Schedule of Investments
5
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
1,050,000
|
|
|
|
|
Peninsula Pacific Entertainment,
LLC / Peninsula Pacific Entertainment Finance
In* 8.500%, 11/15/27 |
|
$ |
1,126,702 |
|
|
|
|
|
|
236,000
|
|
|
|
|
Picasso Finance Sub, Inc.*
6.125%, 06/15/25 |
|
|
252,520 |
|
|
|
|
|
|
935,000
|
|
|
|
|
QVC, Inc.µ
4.375%, 09/01/28 |
|
|
974,981 |
|
|
|
|
|
|
790,000
|
|
|
|
|
Scientific Games International,
Inc.*^ 5.000%, 10/15/25 |
|
|
814,672 |
|
|
|
|
|
|
823,000
|
|
|
|
|
SEG Holding, LLC / SEG Finance
Corp.*^ 5.625%, 10/15/28 |
|
|
878,059 |
|
|
|
|
|
|
479,000
|
|
|
|
|
Sensata Technologies, Inc.*µ
3.750%, 02/15/31 |
|
|
492,206 |
|
|
|
|
|
|
|
|
|
|
|
Sinclair Television Group, Inc.*^ |
|
|
|
|
|
|
|
|
|
477,000 |
|
|
|
|
4.125%, 12/01/30 |
|
|
476,218 |
|
|
|
|
|
|
475,000 |
|
|
|
|
5.500%, 03/01/30 |
|
|
490,267 |
|
|
|
|
|
|
|
|
|
|
|
Standard Industries, Inc.* |
|
|
|
|
|
|
|
|
|
475,000 |
|
|
|
|
5.000%, 02/15/27µ |
|
|
495,819 |
|
|
|
|
|
|
236,000 |
|
|
|
|
4.375%, 07/15/30^ |
|
|
250,497 |
|
|
|
|
|
|
|
|
|
|
|
Station Casinos, LLC* |
|
|
|
|
|
|
|
|
|
1,435,000 |
|
|
|
|
4.500%, 02/15/28 |
|
|
1,410,878 |
|
|
|
|
|
|
647,000 |
|
|
|
|
5.000%, 10/01/25 |
|
|
651,840 |
|
|
|
|
|
|
477,000
|
|
|
|
|
Stericycle, Inc.*µ
3.875%, 01/15/29 |
|
|
490,366 |
|
|
|
|
|
|
717,000
|
|
|
|
|
STL Holding Company, LLC*
7.500%, 02/15/26 |
|
|
747,042 |
|
|
|
|
|
|
785,000
|
|
|
|
|
Tennant Company
5.625%, 05/01/25 |
|
|
816,989 |
|
|
|
|
|
|
1,000,000
|
|
|
|
|
TransDigm UK Holdings, PLC
6.875%, 05/15/26 |
|
|
1,057,170 |
|
|
|
|
|
|
|
|
|
|
|
TransDigm, Inc. |
|
|
|
|
|
|
|
|
|
1,260,000 |
|
|
|
|
6.250%, 03/15/26* |
|
|
1,334,479 |
|
|
|
|
|
|
700,000 |
|
|
|
|
7.500%, 03/15/27 |
|
|
749,546 |
|
|
|
|
|
|
|
|
|
|
|
United Rentals North America,
Inc. |
|
|
|
|
|
|
|
|
|
450,000 |
|
|
|
|
5.875%, 09/15/26 |
|
|
474,440 |
|
|
|
|
|
|
239,000 |
|
|
|
|
3.875%, 02/15/31^ |
|
|
249,920 |
|
|
|
|
|
|
615,000
|
|
|
|
|
Waste Pro USA, Inc.*
5.500%, 02/15/26 |
|
|
634,108 |
|
|
|
|
|
|
|
|
|
|
|
WESCO Distribution, Inc.* |
|
|
|
|
|
|
|
|
|
470,000 |
|
|
|
|
7.125%, 06/15/25 |
|
|
511,910 |
|
|
|
|
|
|
235,000 |
|
|
|
|
7.250%, 06/15/28 |
|
|
264,344 |
|
|
|
|
|
|
1,250,000
|
|
|
|
|
XPO Logistics, Inc.*^
6.750%, 08/15/24 |
|
|
1,323,087 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,936,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (1.0%) |
|
|
|
|
|
|
|
|
|
500,000
|
|
|
|
|
CDK Global, Inc.*
5.250%, 05/15/29 |
|
|
542,475 |
|
|
|
|
|
|
1,114,000
|
|
|
|
|
CommScope Technologies, LLC*^
6.000%, 06/15/25 |
|
|
1,139,221 |
|
|
|
|
|
|
|
|
|
|
|
Dell International, LLC / EMC
Corp.* |
|
|
|
|
|
|
|
|
|
1,155,000 |
|
|
|
|
6.020%, 06/15/26µ |
|
|
1,394,559 |
|
|
|
|
|
|
750,000 |
|
|
|
|
6.100%, 07/15/27^ |
|
|
928,807 |
|
|
|
|
|
|
425,000 |
|
|
|
|
5.850%, 07/15/25µ |
|
|
505,087 |
|
|
|
|
|
|
480,000
|
|
|
|
|
Fair Isaac Corp.*
4.000%, 06/15/28 |
|
|
496,142 |
|
|
|
|
|
|
1,050,000
|
|
|
|
|
KBR, Inc.*
4.750%, 09/30/28 |
|
|
1,091,695 |
|
|
|
|
|
|
1,050,000
|
|
|
|
|
MPH Acquisition Holdings, LLC*^
5.750%, 11/01/28 |
|
|
1,042,324 |
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
750,000
|
|
|
|
|
MTS Systems Corp.*^
5.750%, 08/15/27 |
|
$ |
816,390 |
|
|
|
|
|
|
723,000
|
|
|
|
|
ON Semiconductor Corp.*^
3.875%, 09/01/28 |
|
|
751,971 |
|
|
|
|
|
|
705,000
|
|
|
|
|
Open Text Corp.*
3.875%, 02/15/28 |
|
|
723,161 |
|
|
|
|
|
|
646,000
|
|
|
|
|
PTC, Inc.*µ
4.000%, 02/15/28 |
|
|
674,056 |
|
|
|
|
|
|
478,000
|
|
|
|
|
ZoomInfo Technologies, LLC /
ZoomInfo Finance Corp.*
3.875%, 02/01/29 |
|
|
483,832 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,589,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (1.8%) |
|
|
|
|
|
|
|
|
|
1,625,000
|
|
|
|
|
Alcoa Nederland Holding, BV*
7.000%, 09/30/26 |
|
|
1,718,762 |
|
|
|
|
|
|
534,000
|
|
|
|
|
Allegheny Technologies, Inc.^
5.875%, 12/01/27 |
|
|
561,864 |
|
|
|
|
|
|
725,000
|
|
|
|
|
ArcelorMittal, SA^
7.250%, 10/15/39 |
|
|
1,048,067 |
|
|
|
|
|
|
412,000
|
|
|
|
|
Ardagh Packaging Finance, PLC /
Ardagh Holdings USA, Inc.*
6.000%, 02/15/25 |
|
|
424,690 |
|
|
|
|
|
|
1,040,000
|
|
|
|
|
Clearwater Paper Corp.*^
4.750%, 08/15/28 |
|
|
1,078,033 |
|
|
|
|
|
|
650,000
|
|
|
|
|
First Quantum Minerals, Ltd.*
7.250%, 04/01/23 |
|
|
665,347 |
|
|
|
|
|
|
|
|
|
|
|
Freeport-McMoRan, Inc.^ |
|
|
|
|
|
|
|
|
|
645,000 |
|
|
|
|
5.000%, 09/01/27 |
|
|
687,422 |
|
|
|
|
|
|
475,000 |
|
|
|
|
5.450%, 03/15/43 |
|
|
595,470 |
|
|
|
|
|
|
425,000 |
|
|
|
|
5.400%, 11/14/34 |
|
|
529,920 |
|
|
|
|
|
|
716,000
|
|
|
|
|
HB Fuller Company^
4.250%, 10/15/28 |
|
|
734,022 |
|
|
|
|
|
|
740,000
|
|
|
|
|
Hudbay Minerals, Inc.*^
6.125%, 04/01/29 |
|
|
785,517 |
|
|
|
|
|
|
725,000
|
|
|
|
|
JW Aluminum Continuous Cast
Company*^ 10.250%, 06/01/26 |
|
|
770,958 |
|
|
|
|
|
|
|
|
|
|
|
Kaiser Aluminum Corp.* |
|
|
|
|
|
|
|
|
|
505,000 |
|
|
|
|
4.625%, 03/01/28^ |
|
|
522,114 |
|
|
|
|
|
|
449,000 |
|
|
|
|
6.500%, 05/01/25 |
|
|
480,973 |
|
|
|
|
|
|
538,000
|
|
|
|
|
Mercer International, Inc.*^
5.125%, 02/01/29 |
|
|
548,254 |
|
|
|
|
|
|
250,000
|
|
|
|
|
Mineral Resources, Ltd.*
8.125%, 05/01/27 |
|
|
277,933 |
|
|
|
|
|
|
|
|
|
|
|
New Gold, Inc.* |
|
|
|
|
|
|
|
|
|
628,000 |
|
|
|
|
6.375%, 05/15/25 |
|
|
651,883 |
|
|
|
|
|
|
237,000 |
|
|
|
|
7.500%, 07/15/27 |
|
|
256,166 |
|
|
|
|
|
|
250,000
|
|
|
|
|
Norbord, Inc.*
5.750%, 07/15/27 |
|
|
269,190 |
|
|
|
|
|
|
1,040,000
|
|
|
|
|
OCI, NV*
4.625%, 10/15/25 |
|
|
1,078,511 |
|
|
|
|
|
|
475,000
|
|
|
|
|
Owens-Brockway Glass
Container, Inc.* 6.625%, 05/13/27 |
|
|
515,518 |
|
|
|
|
|
|
|
|
|
|
|
PBF Holding Company, LLC /
PBF Finance Corp. |
|
|
|
|
|
|
|
|
|
2,050,000 |
|
|
|
|
7.250%, 06/15/25 |
|
|
1,362,286 |
|
|
|
|
|
|
240,000 |
|
|
|
|
9.250%, 05/15/25*^ |
|
|
231,900 |
|
|
|
|
|
|
1,105,000
|
|
|
|
|
Silgan Holdings, Inc.^
4.125%, 02/01/28 |
|
|
1,147,852 |
|
|
|
|
|
|
1,000,000
|
|
|
|
|
Taseko Mines, Ltd.*
7.000%, 02/15/26 |
|
|
997,800 |
|
|
|
|
|
|
750,000
|
|
|
|
|
Univar Solutions USA, Inc.*
5.125%, 12/01/27 |
|
|
789,742 |
|
See accompanying Notes to
Schedule of Investments
6
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
239,000
|
|
|
|
|
Valvoline, Inc.*
3.625%, 06/15/31 |
|
$ |
240,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,970,922 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate (0.4%) |
|
|
|
|
|
|
|
|
|
1,225,000
|
|
|
|
|
CBL & Associates, LP@
5.250%, 12/01/23 |
|
|
459,730 |
|
|
|
|
|
|
289,000
|
|
|
|
|
EPR Properties^
3.750%, 08/15/29 |
|
|
282,882 |
|
|
|
|
|
|
|
|
|
|
|
Forestar Group, Inc.* |
|
|
|
|
|
|
|
|
|
1,250,000 |
|
|
|
|
8.000%, 04/15/24 |
|
|
1,315,975 |
|
|
|
|
|
|
750,000 |
|
|
|
|
5.000%, 03/01/28 |
|
|
781,927 |
|
|
|
|
|
|
240,000
|
|
|
|
|
iStar, Inc.µ
5.500%, 02/15/26 |
|
|
244,620 |
|
|
|
|
|
|
|
|
|
|
|
Service Properties Trustµ |
|
|
|
|
|
|
|
|
|
1,250,000 |
|
|
|
|
4.350%, 10/01/24 |
|
|
1,229,275 |
|
|
|
|
|
|
465,000 |
|
|
|
|
5.250%, 02/15/26 |
|
|
458,774 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,773,183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.5%) |
|
|
|
|
|
|
|
|
|
705,000
|
|
|
|
|
Calpine Corp.*
4.500%, 02/15/28 |
|
|
725,149 |
|
|
|
|
|
|
755,000
|
|
|
|
|
NRG Energy, Inc.
6.625%, 01/15/27 |
|
|
792,909 |
|
|
|
|
|
|
1,449,000
|
|
|
|
|
PPL Capital Funding, Inc.µ
2.905%, 03/30/67 3 mo. USD LIBOR +
2.67% |
|
|
1,350,816 |
|
|
|
|
|
|
|
|
|
|
|
Talen Energy Supply, LLC*^ |
|
|
|
|
|
|
|
|
|
500,000 |
|
|
|
|
10.500%, 01/15/26 |
|
|
460,640 |
|
|
|
|
|
|
250,000 |
|
|
|
|
7.250%, 05/15/27 |
|
|
264,712 |
|
|
|
|
|
|
1,250,000
|
|
|
|
|
TerraForm Power Operating,
LLC*µ 5.000%, 01/31/28 |
|
|
1,391,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,985,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS (Cost $348,714,354) |
|
|
357,818,871 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE BONDS (84.2%) |
|
|
|
|
|
|
|
|
|
|
|
Communication Services (6.8%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liberty Media Corp. |
|
|
|
|
|
|
|
|
|
9,000,000 |
|
|
|
|
0.500%, 12/01/50* |
|
|
9,290,970 |
|
|
|
|
|
|
8,550,000 |
|
|
|
|
1.375%, 10/15/23 |
|
|
10,505,556 |
|
|
|
|
|
|
5,350,000 |
|
|
|
|
2.250%, 09/30/46 |
|
|
2,533,706 |
|
|
|
|
|
|
4,500,000
|
|
|
|
|
Liberty Media Corp. / Liberty
Formula One 1.000%, 01/30/23 |
|
|
5,541,840 |
|
|
|
|
|
|
5,250,000
|
|
|
|
|
Match Group FinanceCo 3, Inc.*^
2.000%, 01/15/30 |
|
|
9,533,055 |
|
|
|
|
|
|
4,500,000
|
|
|
|
|
Sea, Ltd.*
2.375%, 12/01/25 |
|
|
11,166,660 |
|
|
|
|
|
|
5,750,000
|
|
|
|
|
Snap, Inc.
0.750%, 08/01/26 |
|
|
13,785,280 |
|
|
|
|
|
|
7,400,000
|
|
|
|
|
Zynga, Inc.
0.250%, 06/01/24 |
|
|
9,981,638 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,338,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (21.7%) |
|
|
|
|
|
|
|
|
|
9,000,000
|
|
|
|
|
Booking Holdings, Inc.*^
0.750%, 05/01/25 |
|
|
12,178,980 |
|
|
|
|
|
|
6,250,000
|
|
|
|
|
Burlington Stores, Inc.*
2.250%, 04/15/25 |
|
|
8,413,000 |
|
|
|
|
|
|
2,645,000
|
|
|
|
|
Carnival Corp.*
5.750%, 04/01/23 |
|
|
5,572,036 |
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
8,500,000
|
|
|
|
|
Chegg, Inc.*
0.000%, 09/01/26 |
|
$ |
9,856,260 |
|
|
|
|
|
|
2,500,000
|
|
|
|
|
Dicks Sporting Goods, Inc.*^
3.250%, 04/15/25 |
|
|
5,126,025 |
|
|
|
|
|
|
2,752,000
|
|
|
|
|
DISH Network Corp.~
2.375%, 03/15/24 |
|
|
2,524,134 |
|
|
|
|
|
|
12,750,000
|
|
|
|
|
Etsy, Inc.*^
0.125%, 09/01/27 |
|
|
16,955,970 |
|
|
|
|
|
|
4,396,000
|
|
|
|
|
Fiverr International, Ltd.*
0.000%, 11/01/25 |
|
|
5,542,741 |
|
|
|
|
|
|
1,416,000
|
|
|
|
|
Guess, Inc.^
2.000%, 04/15/24 |
|
|
1,615,288 |
|
|
|
|
|
|
13,000,000
|
|
|
|
|
Liberty Broadband Corp.*
2.750%, 09/30/50 |
|
|
13,424,970 |
|
|
|
|
|
|
|
|
|
|
|
Liberty Interactive, LLC |
|
|
|
|
|
|
|
|
|
1,220,000 |
|
|
|
|
4.000%, 11/15/29 |
|
|
950,563 |
|
|
|
|
|
|
615,000 |
|
|
|
|
3.750%, 02/15/30 |
|
|
475,094 |
|
|
|
|
|
|
11,250,000
|
|
|
|
|
Marriott Vacations Worldwide
Corp.* 0.000%, 01/15/26 |
|
|
11,340,000 |
|
|
|
|
|
|
|
|
|
|
|
NCL Corp., Ltd.* |
|
|
|
|
|
|
|
|
|
4,255,000 |
|
|
|
|
5.375%, 08/01/25 |
|
|
6,597,292 |
|
|
|
|
|
|
3,000,000 |
|
|
|
|
6.000%, 05/15/24 |
|
|
5,796,870 |
|
|
|
|
|
|
4,500,000
|
|
|
|
|
RH*
0.000%, 09/15/24 |
|
|
10,332,450 |
|
|
|
|
|
|
15,250,000
|
|
|
|
|
Royal Caribbean Cruises, Ltd.*~
4.250%, 06/15/23 |
|
|
18,495,200 |
|
|
|
|
|
|
4,340,000
|
|
|
|
|
Tesla, Inc.
2.000%, 05/15/24 |
|
|
55,422,451 |
|
|
|
|
|
|
3,500,000
|
|
|
|
|
Under Armour, Inc.*
1.500%, 06/01/24 |
|
|
5,786,060 |
|
|
|
|
|
|
15,000,000
|
|
|
|
|
Vail Resorts, Inc.*^
0.000%, 01/01/26 |
|
|
15,126,600 |
|
|
|
|
|
|
12,500,000
|
|
|
|
|
Wayfair, Inc.*
0.625%, 10/01/25 |
|
|
12,760,250 |
|
|
|
|
|
|
6,000,000
|
|
|
|
|
Winnebago Industries, Inc.
1.500%, 04/01/25 |
|
|
7,853,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
232,145,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (2.1%) |
|
|
|
|
|
|
|
|
|
2,734,000
|
|
|
|
|
Helix Energy Solutions Group, Inc.
4.125%, 09/15/23 |
|
|
2,580,568 |
|
|
|
|
|
|
9,000,000
|
|
|
|
|
Integra LifeSciences Holdings
Corp.* 0.500%, 08/15/25 |
|
|
10,119,510 |
|
|
|
|
|
|
7,000,000
|
|
|
|
|
Pioneer Natural Resources
Company*^~ 0.250%, 05/15/25 |
|
|
9,692,480 |
|
|
|
|
|
|
|
|
|
|
|
SunEdison, Inc.@ |
|
|
|
|
|
|
|
|
|
9,411,000 |
|
|
|
|
0.250%, 01/15/20* |
|
|
118,579 |
|
|
|
|
|
|
898,000 |
|
|
|
|
2.000%, 10/01/18 |
|
|
11,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,522,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.1%) |
|
|
|
|
|
|
|
|
|
1,250,000
|
|
|
|
|
Prospect Capital Corp.
4.950%, 07/15/22 |
|
|
1,284,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (14.5%) |
|
|
|
|
|
|
|
|
|
4,500,000
|
|
|
|
|
BioMarin Pharmaceutical, Inc.*^
1.250%, 05/15/27 |
|
|
4,724,415 |
|
|
|
|
|
|
5,750,000
|
|
|
|
|
Bridgebio Pharma, Inc.*
2.250%, 02/01/29 |
|
|
5,560,825 |
|
|
|
|
|
|
2,750,000
|
|
|
|
|
CONMED Corp.^
2.625%, 02/01/24 |
|
|
3,864,300 |
|
|
|
|
|
|
14,000,000
|
|
|
|
|
DexCom, Inc.*^
0.250%, 11/15/25 |
|
|
14,291,200 |
|
See accompanying Notes to
Schedule of Investments
7
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
2,426,000
|
|
|
|
|
Envista Holdings Corp.*^
2.375%, 06/01/25 |
|
$ |
4,451,298 |
|
|
|
|
|
|
6,750,000
|
|
|
|
|
Exact Sciences Corp.^
0.375%, 03/15/27 |
|
|
9,666,135 |
|
|
|
|
|
|
9,000,000
|
|
|
|
|
Guardant Health, Inc.*^
0.000%, 11/15/27 |
|
|
12,031,920 |
|
|
|
|
|
|
13,500,000
|
|
|
|
|
Insulet Corp.^
0.375%, 09/01/26 |
|
|
18,668,745 |
|
|
|
|
|
|
9,950,000
|
|
|
|
|
Jazz Investments I, Ltd.*
2.000%, 06/15/26 |
|
|
12,986,242 |
|
|
|
|
|
|
10,250,000
|
|
|
|
|
NeoGenomics, Inc.^
0.250%, 01/15/28 |
|
|
11,078,303 |
|
|
|
|
|
|
2,100,000
|
|
|
|
|
Neurocrine Biosciences, Inc.^
2.250%, 05/15/24 |
|
|
3,141,558 |
|
|
|
|
|
|
4,000,000
|
|
|
|
|
NuVasive, Inc.*^
0.375%, 03/15/25 |
|
|
3,887,160 |
|
|
|
|
|
|
8,500,000
|
|
|
|
|
Omnicell, Inc.*
0.250%, 09/15/25 |
|
|
11,370,960 |
|
|
|
|
|
|
8,000,000
|
|
|
|
|
Pacira BioSciences, Inc.*
0.750%, 08/01/25 |
|
|
9,585,680 |
|
|
|
|
|
|
6,470,000
|
|
|
|
|
Repligen Corp.
0.375%, 07/15/24 |
|
|
11,773,847 |
|
|
|
|
|
|
1,675,000
|
|
|
|
|
Sarepta Therapeutics, Inc.^
1.500%, 11/15/24 |
|
|
2,468,615 |
|
|
|
|
|
|
3,500,000
|
|
|
|
|
Tandem Diabetes Care, Inc.*
1.500%, 05/01/25 |
|
|
4,043,970 |
|
|
|
|
|
|
6,750,000
|
|
|
|
|
Teladoc Health, Inc.*^
1.250%, 06/01/27 |
|
|
9,650,273 |
|
|
|
|
|
|
3,268,000
|
|
|
|
|
Tricida, Inc.*
3.500%, 05/15/27 |
|
|
1,599,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
154,844,674 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (6.4%) |
|
|
|
|
|
|
|
|
|
7,250,000
|
|
|
|
|
Air Canada*
4.000%, 07/01/25 |
|
|
9,883,635 |
|
|
|
|
|
|
3,750,000
|
|
|
|
|
Air Transport Services Group, Inc.
1.125%, 10/15/24 |
|
|
3,976,838 |
|
|
|
|
|
|
3,650,000
|
|
|
|
|
Atlas Air Worldwide Holdings, Inc.
1.875%, 06/01/24 |
|
|
4,108,038 |
|
|
|
|
|
|
4,250,000
|
|
|
|
|
Middleby Corp.*
1.000%, 09/01/25 |
|
|
5,348,710 |
|
|
|
|
|
|
13,380,000
|
|
|
|
|
Southwest Airlines Company^~
1.250%, 05/01/25 |
|
|
18,812,815 |
|
|
|
|
|
|
5,750,000
|
|
|
|
|
Sunrun, Inc.*
0.000%, 02/01/26 |
|
|
5,859,710 |
|
|
|
|
|
|
20,000,000
|
|
|
|
|
Uber Technologies, Inc.*^
0.000%, 12/15/25 |
|
|
20,960,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68,950,546 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (31.8%) |
|
|
|
|
|
|
|
|
|
505,000
|
|
|
|
|
Advanced Micro Devices, Inc.
2.125%, 09/01/26 |
|
|
5,425,260 |
|
|
|
|
|
|
7,750,000
|
|
|
|
|
Akamai Technologies, Inc.
0.375%, 09/01/27 |
|
|
8,872,665 |
|
|
|
|
|
|
11,500,000
|
|
|
|
|
Bentley Systems, Inc.*
0.125%, 01/15/26 |
|
|
11,584,985 |
|
|
|
|
|
|
5,207,000
|
|
|
|
|
Bill.com Holdings, Inc.*
0.000%, 12/01/25 |
|
|
5,660,790 |
|
|
|
|
|
|
3,500,000
|
|
|
|
|
Cloudflare, Inc.*
0.750%, 05/15/25 |
|
|
7,533,680 |
|
|
|
|
|
|
14,000,000
|
|
|
|
|
Coupa Software, Inc.*^
0.375%, 06/15/26 |
|
|
18,039,560 |
|
|
|
|
|
|
7,250,000
|
|
|
|
|
Datadog, Inc.*
0.125%, 06/15/25 |
|
|
9,745,160 |
|
|
|
|
|
|
|
|
|
|
|
Envestnet, Inc. |
|
|
|
|
|
|
|
|
|
3,000,000 |
|
|
|
|
1.750%, 06/01/23^ |
|
|
3,821,580 |
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
1,928,000 |
|
|
|
|
0.750%, 08/15/25* |
|
$ |
1,988,848 |
|
|
|
|
|
|
2,500,000
|
|
|
|
|
Everbridge, Inc.
0.125%, 12/15/24 |
|
|
3,413,625 |
|
|
|
|
|
|
3,500,000
|
|
|
|
|
Five9, Inc.*
0.500%, 06/01/25 |
|
|
4,933,740 |
|
|
|
|
|
|
4,500,000 |
|
|
|
|
II-VI, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.250%, 09/01/22 |
|
|
8,309,385 |
|
|
|
|
|
|
13,250,000
|
|
|
|
|
Inphi Corp.*~
0.750%, 04/15/25 |
|
|
19,277,160 |
|
|
|
|
|
|
4,750,000
|
|
|
|
|
LivePerson, Inc.*
0.000%, 12/15/26 |
|
|
5,280,955 |
|
|
|
|
|
|
7,000,000
|
|
|
|
|
Lumentum Holdings, Inc.^
0.500%, 12/15/26 |
|
|
8,623,300 |
|
|
|
|
|
|
18,705,000
|
|
|
|
|
Microchip Technology, Inc.^
0.125%, 11/15/24 |
|
|
21,192,204 |
|
|
|
|
|
|
6,750,000
|
|
|
|
|
MongoDB, Inc.
0.250%, 01/15/26 |
|
|
12,510,315 |
|
|
|
|
|
|
4,250,000
|
|
|
|
|
Nice, Ltd.*^
0.000%, 09/15/25 |
|
|
4,830,933 |
|
|
|
|
|
|
5,645,000
|
|
|
|
|
Nova Measuring Instruments,
Ltd.* 0.000%, 10/15/25 |
|
|
6,381,052 |
|
|
|
|
|
|
|
|
|
|
|
Okta, Inc. |
|
|
|
|
|
|
|
|
|
7,500,000 |
|
|
|
|
0.125%, 09/01/25^ |
|
|
11,396,250 |
|
|
|
|
|
|
4,000,000 |
|
|
|
|
0.375%, 06/15/26* |
|
|
5,230,480 |
|
|
|
|
|
|
3,250,000
|
|
|
|
|
ON Semiconductor Corp.
1.625%, 10/15/23 |
|
|
5,755,360 |
|
|
|
|
|
|
8,500,000
|
|
|
|
|
Palo Alto Networks, Inc.
0.750%, 07/01/23 |
|
|
12,069,745 |
|
|
|
|
|
|
6,750,000
|
|
|
|
|
Proofpoint, Inc.
0.250%, 08/15/24 |
|
|
7,407,113 |
|
|
|
|
|
|
2,000,000
|
|
|
|
|
Q2 Holdings, Inc.
0.750%, 06/01/26 |
|
|
3,097,980 |
|
|
|
|
|
|
11,250,000
|
|
|
|
|
Repay Holdings Corp.*
0.000%, 02/01/26 |
|
|
11,252,137 |
|
|
|
|
|
|
8,250,000
|
|
|
|
|
RingCentral, Inc.*^
0.000%, 03/01/25 |
|
|
10,361,422 |
|
|
|
|
|
|
13,750,000
|
|
|
|
|
Shift4 Payments, Inc.*^
0.000%, 12/15/25 |
|
|
15,738,937 |
|
|
|
|
|
|
1,824,000
|
|
|
|
|
Shopify, Inc.^
0.125%, 11/01/25 |
|
|
2,162,060 |
|
|
|
|
|
|
7,750,000
|
|
|
|
|
Silicon Laboratories, Inc.*^
0.625%, 06/15/25 |
|
|
10,040,668 |
|
|
|
|
|
|
18,000,000
|
|
|
|
|
Splunk, Inc.*^
1.125%, 06/15/27 |
|
|
18,963,360 |
|
|
|
|
|
|
|
|
|
|
|
Square, Inc.*^ |
|
|
|
|
|
|
|
|
|
9,000,000 |
|
|
|
|
0.250%, 11/01/27 |
|
|
10,151,550 |
|
|
|
|
|
|
9,000,000 |
|
|
|
|
0.000%, 05/01/26 |
|
|
10,119,420 |
|
|
|
|
|
|
3,000,000
|
|
|
|
|
Viavi Solutions, Inc.
1.750%, 06/01/23 |
|
|
3,814,200 |
|
|
|
|
|
|
4,250,000
|
|
|
|
|
Wix.com, Ltd.*^
0.000%, 08/15/25 |
|
|
4,334,533 |
|
|
|
|
|
|
5,250,000
|
|
|
|
|
Workday, Inc.^
0.250%, 10/01/22 |
|
|
8,419,950 |
|
|
|
|
|
|
7,750,000
|
|
|
|
|
Zendesk, Inc.*
0.625%, 06/15/25 |
|
|
11,498,675 |
|
|
|
|
|
|
7,250,000
|
|
|
|
|
Zscaler, Inc.*
0.125%, 07/01/25 |
|
|
10,838,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
340,077,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate (0.8%) |
|
|
|
|
|
|
|
|
|
3,600,000
|
|
|
|
|
IH Merger Sub, LLC
3.500%, 01/15/22 |
|
|
4,778,748 |
|
See accompanying Notes to
Schedule of Investments
8
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
2,879,000 |
|
|
|
|
Redfin Corp.* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.000%, 10/15/25 |
|
$ |
3,548,972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,327,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS (Cost $713,235,070) |
|
|
900,491,503 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BANK LOANS (4.2%) ¡ |
|
|
|
|
|
|
|
|
|
|
|
Communication Services (0.9%) |
|
|
|
|
|
|
|
|
|
1,283,750
|
|
|
|
|
Clear Channel Outdoor Holdings,
Inc. 3.711%, 08/21/26
3 mo. LIBOR + 3.50% |
|
|
1,255,264 |
|
|
|
|
|
|
814,688
|
|
|
|
|
CommScope, Inc.
3.371%, 04/06/26 1 mo. LIBOR +
3.25% |
|
|
815,005 |
|
|
|
|
|
|
493,763
|
|
|
|
|
Consolidated Communications,
Inc.! 0.000%, 10/02/27 |
|
|
498,644 |
|
|
|
|
|
|
369,075
|
|
|
|
|
Consolidated Communications,
Inc. 5.750%, 10/02/27
1 mo. LIBOR + 4.75% |
|
|
372,723 |
|
|
|
|
|
|
543,139
|
|
|
|
|
CSC Holdings, LLC
2.627%, 04/15/27 1 mo. LIBOR +
2.50% |
|
|
541,612 |
|
|
|
|
|
|
1,490,000
|
|
|
|
|
Frontier Communications Corp.
5.750%, 10/08/21 1 mo. LIBOR +
4.75% |
|
|
1,493,628 |
|
|
|
|
|
|
960,300
|
|
|
|
|
iHeartCommunications, Inc.
3.121%, 05/01/26 1 mo. LIBOR +
3.00% |
|
|
950,217 |
|
|
|
|
|
|
2,297,500
|
|
|
|
|
Intelsat Jackson Holdings, SA
8.625%, 01/02/24 1 mo. LIBOR +
8.63% |
|
|
2,341,118 |
|
|
|
|
|
|
1,775,000
|
|
|
|
|
Intelsat Jackson Holdings, SA
8.750%, 01/02/24 3 mo. PRIME +
5.50% |
|
|
1,804,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,072,916 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (0.9%) |
|
|
|
|
|
|
|
|
|
594,198
|
|
|
|
|
Meredith Corp.
5.250%, 01/31/25 3 mo. LIBOR +
4.25% |
|
|
606,640 |
|
|
|
|
|
|
555,000
|
|
|
|
|
Meredith Corp.!
0.000%, 01/31/25 |
|
|
566,622 |
|
|
|
|
|
|
1,100,000
|
|
|
|
|
Petco Animal Supplies, Inc.!
0.000%, 01/26/23 |
|
|
1,100,313 |
|
|
|
|
|
|
3,351,614
|
|
|
|
|
PetSmart, Inc.
4.500%, 03/11/22 3 mo. LIBOR +
3.50% |
|
|
3,355,284 |
|
|
|
|
|
|
955,000
|
|
|
|
|
PetSmart, Inc.!
0.000%, 03/11/22 |
|
|
956,046 |
|
|
|
|
|
|
480,000
|
|
|
|
|
PetSmart, Inc.!
0.000%, 01/27/28 |
|
|
480,000 |
|
|
|
|
|
|
200,000
|
|
|
|
|
United Natural Foods, Inc.!
0.000%, 10/22/25 |
|
|
200,726 |
|
|
|
|
|
|
1,962,662
|
|
|
|
|
Weight Watchers International,
Inc. 5.500%, 11/29/24
1 mo. LIBOR + 4.75% |
|
|
1,969,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,235,045 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
|
|
|
|
|
Energy (0.1%) |
|
|
|
|
|
|
|
|
|
202,967
|
|
|
|
|
Lealand Finance Company, BV
1.121%, 06/30/25 1 mo. LIBOR +
1.00% |
|
$ |
135,988 |
|
|
|
|
|
|
16,010
|
|
|
|
|
McDermott Technology Americas,
Inc. 3.121%, 06/30/24
1 mo. LIBOR + 3.00% |
|
|
13,208 |
|
|
|
|
|
|
1,065,789
|
|
|
|
|
Par Pacific Holdings, Inc.
7.000%, 01/12/26 3 mo. LIBOR +
6.75% |
|
|
1,050,692 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,199,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.1%) |
|
|
|
|
|
|
|
|
|
1,260,475
|
|
|
|
|
Connect Finco Sarl
5.500%, 12/11/26 1 mo. LIBOR +
4.50% |
|
|
1,265,649 |
|
|
|
|
|
|
269,862
|
|
|
|
|
Level 3 Financing, Inc.
1.871%, 03/01/27 1 mo. LIBOR +
1.75% |
|
|
268,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,534,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.0%) |
|
|
|
|
|
|
|
|
|
2,436,922
|
|
|
|
|
Amneal Pharmaceuticals, LLC
3.625%, 05/04/25 1 mo. LIBOR +
3.50% |
|
|
2,420,168 |
|
|
|
|
|
|
1,722,154
|
|
|
|
|
Endo Luxembourg Finance
Company I Sarl 5.000%, 04/29/24
3 mo. LIBOR + 4.25% |
|
|
1,713,543 |
|
|
|
|
|
|
1,450,878
|
|
|
|
|
Gentiva Health Services, Inc.
3.375%, 07/02/25 1 mo. LIBOR +
3.25% |
|
|
1,454,055 |
|
|
|
|
|
|
1,107,945
|
|
|
|
|
Mallinckrodt International Finance,
SA 5.500%, 09/24/24
3 mo. LIBOR + 4.75% |
|
|
1,047,080 |
|
|
|
|
|
|
1,541,990
|
|
|
|
|
Ortho Clinical Diagnostics, SA
3.394%, 06/30/25 1 mo. LIBOR +
3.25% |
|
|
1,540,062 |
|
|
|
|
|
|
2,195,259
|
|
|
|
|
Team Health Holdings, Inc.
3.750%, 02/06/24 1 mo. LIBOR +
2.75% |
|
|
2,057,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,232,053 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.7%) |
|
|
|
|
|
|
|
|
|
1,773,000
|
|
|
|
|
Berry Global, Inc.
2.133%, 07/01/26 1 mo. LIBOR +
2.00% |
|
|
1,772,663 |
|
|
|
|
|
|
1,100,710
|
|
|
|
|
BW Gas & Convenience Holdings,
LLC 6.380%, 11/18/24
1 mo. LIBOR + 6.25% |
|
|
1,118,596 |
|
|
|
|
|
|
1,017,313
|
|
|
|
|
Dun & Bradstreet Corp.
3.878%, 02/06/26 1 mo. LIBOR +
3.75% |
|
|
1,021,310 |
|
|
|
|
|
|
745,563
|
|
|
|
|
Granite US Holdings Corp.
5.504%, 09/30/26 3 mo. LIBOR +
5.25% |
|
|
740,437 |
|
|
|
|
|
|
797,215
|
|
|
|
|
Navistar International Corp.
3.630%, 11/06/24 1 mo. LIBOR +
3.50% |
|
|
798,311 |
|
See accompanying Notes to
Schedule of Investments
9
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
569,422
|
|
|
|
|
RegionalCare Hospital Partners
Holdings, Inc. 3.871%, 11/16/25
1 mo. LIBOR + 3.75% |
|
$ |
569,815 |
|
|
|
|
|
|
1,588,664
|
|
|
|
|
Scientific Games International,
Inc. 2.871%, 08/14/24
1 mo. LIBOR + 2.75% |
|
|
1,564,588 |
|
|
|
|
|
|
270,188
|
|
|
|
|
TransDigm, Inc.
2.371%, 12/09/25 1 mo. LIBOR +
2.25% |
|
|
266,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,851,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.4%) |
|
|
|
|
|
|
|
|
|
1,127,000
|
|
|
|
|
BMC Software Finance, Inc.
4.371%, 10/02/25 1 mo. LIBOR +
4.25% |
|
|
1,127,530 |
|
|
|
|
|
|
1,188,000
|
|
|
|
|
Camelot U.S. Acquisition 1
Company 3.121%, 10/30/26
1 mo. LIBOR + 3.00% |
|
|
1,192,206 |
|
|
|
|
|
|
640,000
|
|
|
|
|
Camelot U.S. Acquisition 1
Company 4.000%, 10/30/26
1 mo. LIBOR + 3.00% |
|
|
643,200 |
|
|
|
|
|
|
1,028,684
|
|
|
|
|
VFH Parent, LLC
3.129%, 03/01/26 1 mo. LIBOR +
3.00% |
|
|
1,028,467 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,991,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.1%) |
|
|
|
|
|
|
|
|
|
724,525
|
|
|
|
|
Innophos, Inc.
3.621%, 02/07/27 1 mo. LIBOR +
3.50% |
|
|
726,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL BANK LOANS (Cost $45,110,380) |
|
|
44,843,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
SHARES |
|
|
|
|
|
|
VALUE |
|
|
CONVERTIBLE PREFERRED STOCKS (15.6%) |
|
|
|
|
|
|
|
|
|
|
|
Communication Services (0.8%) |
|
|
|
|
|
|
|
|
|
7,750
|
|
|
|
|
2020 Cash Mandatory
Exchangeable Trust*
5.250%, 06/01/23 |
|
|
8,960,651 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (1.2%) |
|
|
|
|
|
|
|
|
|
78,610
|
|
|
|
|
Aptiv, PLC^
5.500%, 06/15/23 |
|
|
12,219,925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.3%) |
|
|
|
|
|
|
|
|
|
35,755
|
|
|
|
|
Energizer Holdings, Inc.
7.500%, 01/15/22 |
|
|
3,287,672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (2.6%) |
|
|
|
|
|
|
|
|
|
32,300
|
|
|
|
|
Assurant, Inc.^
6.500%, 03/15/21 |
|
|
4,144,413 |
|
|
|
|
|
|
4,600
|
|
|
|
|
Bank of America Corp.
7.250% |
|
|
6,728,788 |
|
|
|
|
|
|
83,355
|
|
|
|
|
KKR & Company, Inc.^
6.000%, 09/15/23 |
|
|
4,848,760 |
|
|
|
|
|
|
8,100
|
|
|
|
|
Wells Fargo & Company
7.500% |
|
|
11,696,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,418,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
SHARES |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
|
|
|
|
|
Health Care (3.1%) |
|
|
|
|
|
|
|
|
|
113,945
|
|
|
|
|
Avantor, Inc.
6.250%, 05/15/22 |
|
$ |
10,552,446 |
|
|
|
|
|
|
70,970
|
|
|
|
|
Boston Scientific Corp.^
5.500%, 06/01/23 |
|
|
7,754,182 |
|
|
|
|
|
|
9,125
|
|
|
|
|
Danaher Corp.^
4.750%, 04/15/22 |
|
|
14,785,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,091,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (1.7%) |
|
|
|
|
|
|
|
|
|
10,855
|
|
|
|
|
Fortive Corp.
5.000%, 07/01/21 |
|
|
10,424,057 |
|
|
|
|
|
|
73,760
|
|
|
|
|
Stanley Black & Decker, Inc.^
5.250%, 11/15/22 |
|
|
8,037,627 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,461,684 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (2.1%) |
|
|
|
|
|
|
|
|
|
15,360
|
|
|
|
|
Broadcom, Inc.~
8.000%, 09/30/22 |
|
|
22,560,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (3.8%) |
|
|
|
|
|
|
|
|
|
151,970
|
|
|
|
|
Dominion Energy, Inc.
7.250%, 06/01/22 |
|
|
14,999,439 |
|
|
|
|
|
|
68,440
|
|
|
|
|
DTE Energy Company^
6.250%, 11/01/22 |
|
|
3,174,247 |
|
|
|
|
|
|
|
|
|
|
|
NextEra Energy, Inc. |
|
|
|
|
|
|
|
|
|
177,495 |
|
|
|
|
6.219%, 09/01/23 |
|
|
9,446,284 |
|
|
|
|
|
|
138,185 |
|
|
|
|
4.872%, 09/01/22^ |
|
|
8,451,395 |
|
|
|
|
|
|
77,785 |
|
|
|
|
5.279%, 03/01/23^ |
|
|
4,156,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,228,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $149,616,910) |
|
|
166,228,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS (0.8%) |
|
|
|
|
|
|
|
|
|
|
|
Communication Services (0.0%) |
|
|
|
|
|
|
|
|
|
6,663 |
|
|
|
|
Cumulus Media, Inc. - Class A# |
|
|
57,835 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.7%) |
|
|
|
|
|
|
|
|
|
40,024 |
|
|
|
|
Calfrac Well Services, Ltd.# |
|
|
117,547 |
|
|
|
|
|
|
1,875 |
|
|
|
|
Chevron Corp.^ |
|
|
159,750 |
|
|
|
|
|
|
54,408 |
|
|
|
|
Denbury, Inc.^# |
|
|
1,556,613 |
|
|
|
|
|
|
58,950 |
|
|
|
|
Energy Transfer, LP |
|
|
369,617 |
|
|
|
|
|
|
64,780 |
|
|
|
|
Enterprise Products Partners, LP~ |
|
|
1,310,499 |
|
|
|
|
|
|
6,644 |
|
|
|
|
EP Energy Corp.# |
|
|
272,404 |
|
|
|
|
|
|
13,550 |
|
|
|
|
GasLog, Ltd.^ |
|
|
55,555 |
|
|
|
|
|
|
62,208 |
|
|
|
|
Lonestar Resources US, Inc.# |
|
|
310,418 |
|
|
|
|
|
|
17,855 |
|
|
|
|
Magellan Midstream Partners, LP |
|
|
793,833 |
|
|
|
|
|
|
110,308 |
|
|
|
|
Mcdermott International, Ltd.^# |
|
|
112,514 |
|
|
|
|
|
|
6,835 |
|
|
|
|
Oasis Petroleum, Inc.^# |
|
|
256,107 |
|
|
|
|
|
|
6,925 |
|
|
|
|
Schlumberger, Ltd. |
|
|
153,804 |
|
|
|
|
|
|
224,673 |
|
|
|
|
Southwestern Energy Company^# |
|
|
847,017 |
|
|
|
|
|
|
25,965 |
|
|
|
|
Targa Resources Corp.^ |
|
|
710,662 |
|
|
|
|
|
|
20,897 |
|
|
|
|
Tidewater, Inc.# |
|
|
198,313 |
|
|
|
|
|
|
15,224 |
|
|
|
|
Weatherford International, PLC# |
|
|
103,523 |
|
|
|
|
|
|
14,631 |
|
|
|
|
Whiting Petroleum Corp.# |
|
|
297,595 |
|
|
|
|
|
|
8,500 |
|
|
|
|
Williams Companies, Inc.^ |
|
|
180,455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,806,226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.1%) |
|
|
|
|
|
|
|
|
|
13,850 |
|
|
|
|
American International Group, Inc. |
|
|
518,544 |
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to
Schedule of Investments
10
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
SHARES |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
|
|
|
|
|
Industrials (0.0%) |
|
|
|
|
|
|
|
|
|
159,459 |
|
|
|
|
McDermott International, Inc.# |
|
$ |
162,648 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS (Cost $18,601,522) |
|
|
8,545,253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS (0.5%) |
|
|
|
|
|
|
|
|
|
|
|
Communication Services (0.1%) |
|
|
|
|
|
|
|
|
|
42,000
|
|
|
|
|
United States Cellular Corp.
6.250%, 09/01/69 |
|
|
1,124,340 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (0.1%) |
|
|
|
|
|
|
|
|
|
6,123 |
|
|
|
|
Guitar Center, Inc. |
|
|
691,843 |
|
|
|
|
|
|
7,763
|
|
|
|
|
Qurate Retail, Inc.
8.000%, 03/15/31 |
|
|
776,766 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,468,609 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.3%) |
|
|
|
|
|
|
|
|
|
62,620
|
|
|
|
|
NuStar Energy, LP
7.625%, 06/15/22 3 mo. USD LIBOR +
5.64% |
|
|
1,075,185 |
|
|
|
|
|
|
37,094
|
|
|
|
|
NuStar Energy, LP
8.500%, 12/15/21 3 mo. USD LIBOR +
6.77% |
|
|
743,735 |
|
|
|
|
|
|
43,000
|
|
|
|
|
NuStar Logistics, LP^
6.975%, 01/15/43 3 mo. USD LIBOR +
6.73% |
|
|
953,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,772,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS (Cost $6,210,493) |
|
|
5,365,179 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WARRANTS (0.0%) # |
|
|
|
|
|
|
|
|
|
|
|
Energy (0.0%) |
|
|
|
|
|
|
|
|
|
4,875
|
|
|
|
|
Denbury, Inc. 09/18/25,
Strike $32.59 |
|
|
42,169 |
|
|
|
|
|
|
1,776
|
|
|
|
|
Denbury, Inc. 09/18/23,
Strike $35.41 |
|
|
7,210 |
|
|
|
|
|
|
47,739
|
|
|
|
|
Mcdermott International, Ltd.
06/30/27, Strike $15.98 |
|
|
5 |
|
|
|
|
|
|
42,965
|
|
|
|
|
Mcdermott International, Ltd.
06/30/27, Strike $12.33 |
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WARRANTS (Cost $284,064) |
|
|
49,388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS/ NOTIONAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
PURCHASED OPTIONS (1.6%) # |
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (0.6%) |
|
|
|
|
|
|
|
|
|
540 |
|
|
|
|
Alibaba Group Holding, Ltd. |
|
|
|
|
|
|
|
|
|
13,706,820 |
|
|
|
|
Call, 03/19/21, Strike $270.00 |
|
|
549,450 |
|
|
|
|
|
|
350 |
|
|
|
|
Tesla, Inc. |
|
|
|
|
|
|
|
|
|
27,773,550 |
|
|
|
|
Put, 01/21/22, Strike $700.00 |
|
|
6,237,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,786,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.2%) |
|
|
|
|
|
|
|
|
|
3,325 |
|
|
|
|
Bank of America Corp. |
|
|
|
|
|
|
|
|
|
9,858,625 |
|
|
|
|
Call, 01/21/22, Strike $35.00 |
|
|
673,313 |
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS/ NOTIONAL
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
4,235 |
|
|
|
|
Wells Fargo & Company |
|
|
|
|
|
|
|
|
|
12,654,180 |
|
|
|
|
Call, 04/16/21, Strike $30.00 |
|
$ |
948,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,621,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.2%) |
|
|
|
|
|
|
|
|
|
1,885 |
|
|
|
|
Micron Technology, Inc. |
|
|
|
|
|
|
|
|
|
14,753,895 |
|
|
|
|
Call, 06/18/21, Strike $75.00 |
|
|
2,092,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other (0.6%) |
|
|
|
|
|
|
|
|
|
1,350 |
|
|
|
|
Invesco QQQ Trust Series |
|
|
|
|
|
|
|
|
|
42,465,600 |
|
|
|
|
Put, 01/21/22, Strike $275.00 |
|
|
2,997,000 |
|
|
|
|
|
|
1,200 |
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
|
|
|
|
|
|
|
44,408,400 |
|
|
|
|
Put, 01/21/22, Strike $340.00 |
|
|
3,199,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,196,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS (Cost $15,157,524) |
|
|
16,696,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
SHARES |
|
|
|
|
|
|
VALUE |
|
|
SHORT TERM INVESTMENTS (4.6%) |
|
|
|
|
|
|
24,731,318
|
|
|
|
|
JPMorgan Prime Money Market
Fund - Capital Class, 0.110%*** |
|
|
24,743,684 |
|
|
|
|
|
|
24,741,052
|
|
|
|
|
Morgan Stanley Institutional
Liquidity Funds - Government Portfolio,
0.030%*** |
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24,741,052 |
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TOTAL SHORT TERM INVESTMENTS
(Cost $49,484,736) |
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49,484,736 |
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TOTAL INVESTMENTS (145.0%) (Cost $1,346,415,053) |
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1,549,523,848 |
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MANDATORY REDEEMABLE PREFERRED SHARES, AT LIQUIDATION VALUE (-9.4%) |
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(100,000,000) |
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LIABILITIES, LESS OTHER ASSETS (-35.6%) |
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(380,625,520) |
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NET ASSETS (100.0%) |
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$ |
1,068,898,328 |
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NOTES TO SCHEDULE OF INVESTMENTS
* |
Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the
Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (QIBs), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act
or otherwise exempted from such registration requirements. |
µ |
Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value
of $41,850,709. |
^ |
Security, or portion of security, is on loan. |
@ |
In default status and considered non-income producing. |
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Variable rate security. The rate shown is the rate in effect at January 31, 2021. |
See accompanying Notes to
Schedule of Investments
11
Convertible Opportunities and Income Fund
SCHEDULE OF INVESTMENTS
JANUARY 31, 2021 (UNAUDITED)
~ |
Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for
written options. The aggregate value of such securities is $7,991,945. |
¡ |
Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of
bank loans may be substantially less than the stated maturities shown. |
! |
This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not
known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.
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# |
Non-income producing security. |
*** |
The rate disclosed is the 7 day net yield as of January 31, 2021. |
Note: The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
See accompanying Notes to
Schedule of Investments
12
Note 1 Organization and Significant Accounting Policies
Organization. Calamos Convertible Opportunities and Income Fund (the Fund) was organized as a Delaware statutory trust on April 17, 2002 and is
registered under the Investment Company Act of 1940 (the 1940 Act) as a diversified, closed-end management investment company. The Fund commenced operations on June 26, 2002.
Significant Accounting Policies. The Schedules of Investments have been prepared in conformity with accounting principles generally accepted in the United States
of America (U.S. GAAP). The Fund is considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:
In March 2017, the Financial Accounting Standards Board (FASB) issued ASU No. 2017-08, Receivables Nonrefundable Fees and Other Costs
(Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (ASU 2017-08). ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted ASU2017-08 as of
January 1, 2020, with no material impact on the Funds financial statements.
In October 2020, FASB issued ASU No. 2020-08, Codification
Improvements to Subtopic 310-20, ReceivablesNonrefundable Fees and Other Costs (ASU 2020-08). ASU 2020-08 was issued to clarify how to amortize premiums for debt securities where there are bonds with multiple call dates. The
amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. Management has evaluated the impact of this guidance within the Funds financial statements and has determined the
adoption of ASU 2020-08 will have no impact on the Funds financial statements.
Fund Valuation. The valuation of the Funds investments is in
accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Fund securities that are traded on U.S. securities
exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value (NAV). Securities traded in the
over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund
determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at
the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the
consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent
pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or
by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of
comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the
New York Stock Exchange (NYSE) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of
trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the
criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the
most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on
Saturdays or on other days when the NYSE is not open and on which the Funds NAV is not calculated.
If the pricing committee determines that the valuation of a
security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the
guidelines and/or procedures adopted by the board of trustees.
The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and
under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Funds pricing time but after the close of the primary
market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various
relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those
securities.
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or
official closing prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Funds net asset value (NAV).
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a
rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For
hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears
the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Note 2 Investments
The
cost basis of investments for federal income tax purposes at January 31, 2021 was as follows:*
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Cost basis of investments |
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$ |
1,346,415,053 |
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Gross unrealized appreciation |
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248,470,311 |
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Gross unrealized depreciation |
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(45,361,516) |
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Net unrealized appreciation (depreciation) |
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$ |
203,108,795 |
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* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal years
federal income tax information, please refer to the Notes to Financial Statements section in the Funds most recent semi-annual or annual report.
Note 3
Mandatory Redeemable Preferred Shares
On September 6, 2017, the Fund issued 4,000,000 mandatory redeemable preferred shares (MRPS) with
an aggregate liquidation preference of $100.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering
costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations.
The MRPS are divided into
three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at January 31, 2021.
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Series |
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Term
Redemption Date |
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Dividend Rate |
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Shares (000s) |
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Liquidation Preference Per Share |
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Aggregate Liquidation Preference |
Series A |
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9/06/22 |
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3.70% |
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1,330 |
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$25 |
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$33,250,000 |
Series B |
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9/06/24 |
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4.00% |
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1,330 |
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$25 |
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$33,250,000 |
Series C |
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9/06/27 |
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4.24% |
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1,340 |
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$25 |
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$33,500,000 |
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Total |
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$100,000,000 |
The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the
liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.
Previously, the MRPS had been assigned a rating of AA by Fitch Ratings, Inc. (Fitch). As of December 17, 2020, Kroll Bond Rating Agency LLC
(Kroll) replaced Fitch as the rating agency for the MRPS. The MRPS have been assigned a rating of `AA- by Kroll. If the ratings of the MRPS are downgraded, the Funds dividend expense may increase, as described below.
Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated AA- by
Kroll. If on the first day of a monthly dividend period the MRPS of any class are rated lower than A by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund,
such as Kroll), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS dividend rate is also subject to increase during periods when the Fund has not made timely payments to
MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in Interest expense and amortization of offering costs on Mandatory
Redeemable Preferred Shares within the Statement of Operations.
The MRPS rank junior to the Funds borrowings under the SSB Agreement and senior to the
Funds outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole
premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization
test based on applicable rating agency criteria (the OC Test) and an asset coverage test with respect to its outstanding senior securities (the AC Test). The Fund may be required to redeem MRPS before their term redemption
date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has satisfied
the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction
have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions.
Except as otherwise required pursuant to the Funds governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the
holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund,
voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of
trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.