N-Q 1 d295772.htm N-Q

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811- 22441

John Hancock Hedged Equity & Income Fund
(Exact name of registrant as specified in charter)

601 Congress Street, Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)

Salvatore Schiavone

Treasurer

601 Congress Street

Boston, Massachusetts 02210
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-663-4497

Date of fiscal year end: December 31
   
Date of reporting period: September 30, 2015

 


 

 

ITEM 1. SCHEDULE OF INVESTMENTS

 


 


John Hancock

Hedged Equity & Income Fund


Quarterly portfolio holdings 9/30/15

jhnq_logo.jpg


Fund's investments Hedged Equity & Income Fund



                                               
  As of 9-30-15 (unaudited)  
        Shares     Value  
  Common stocks 81.0%     $169,959,097  
  (Cost $179,451,507)  
  Consumer discretionary 5.0%     10,498,575  
  Auto components 0.9%  
  Aisan Industry Company, Ltd.     13,900     127,546  
  Delphi Automotive PLC     5,217     396,701  
  Exedy Corp.     7,500     166,390  
  Keihin Corp.     16,800     237,913  
  Nissin Kogyo Company, Ltd.     13,500     202,243  
  Sumitomo Riko Company, Ltd.     17,600     153,471  
  Takata Corp.     10,900     119,758  
  Tokai Rika Company, Ltd.     8,100     167,240  
  Toyoda Gosei Company, Ltd.     11,600     227,996  
  Toyota Boshoku Corp.     11,600     196,962  
  Automobiles 0.3%  
  Honda Motor Company, Ltd.     13,900     414,869  
  Peugeot SA (I)     9,418     142,707  
  Renault SA     2,233     161,100  
  Diversified consumer services 0.1%  
  Allstar Co-Invest LLC     236,300     139,417  
  Benesse Holdings, Inc.     2,800     74,861  
  Household durables 1.1%  
  Funai Electric Company, Ltd.     18,463     170,863  
  Newell Rubbermaid, Inc.     19,587     777,800  
  Nikon Corp.     20,500     247,914  
  Pioneer Corp. (I)     101,200     219,903  
  PulteGroup, Inc.     46,799     883,097  
  Internet and catalog retail 0.1%  
  Home Retail Group PLC     49,422     101,817  
  Qliro Group AB (I)     49,556     62,274  
  Media 0.4%  
  Avex Group Holdings, Inc.     7,200     81,817  
  Gendai Agency, Inc.     5,200     27,257  
  Metropole Television SA     9,649     184,519  
  Proto Corp.     3,000     37,553  
  Sky Group Finance PLC     28,541     451,548  
  Multiline retail 0.2%  
  Dollar General Corp.     5,250     380,310  
  New World Department Store China, Ltd.     343,000     58,072  
  Specialty retail 1.7%  
  Adastria Company, Ltd.     3,500     209,675  
  Honeys Company, Ltd.     12,030     101,391  
  Nishimatsuya Chain Company, Ltd.     17,800     164,830  
  Pal Company, Ltd.     4,700     136,115  
  Ross Stores, Inc.     6,568     318,351  
  Shimamura Company, Ltd.     1,800     193,886  
  The Home Depot, Inc.     19,066     2,201,932  
  Xebio Company, Ltd.     9,500     170,448  
  Textiles, apparel and luxury goods 0.2%  
  Daphne International Holdings, Ltd. (I)     524,000     119,333  
  Ralph Lauren Corp.     2,274     268,696  

2SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Consumer staples 5.8%     $12,129,788  
  Beverages 1.5%  
  The Coca-Cola Company     77,501     3,109,340  
  Food and staples retailing 0.3%  
  Cawachi, Ltd.     7,100     116,434  
  J Sainsbury PLC     88,666     350,661  
  Metro AG     6,194     171,375  
  Food products 1.2%  
  Ebro Foods SA     20,993     412,325  
  Ingredion, Inc.     12,273     1,071,556  
  Pinnacle Foods, Inc.     19,823     830,187  
  Suedzucker AG     13,437     244,351  
  Household products 0.2%  
  The Procter & Gamble Company     6,420     461,855  
  Personal products 0.1%  
  Oriflame Holding AG (I)     10,701     132,979  
  Tobacco 2.5%  
  British American Tobacco PLC     94,765     5,228,725  
  Energy 6.4%     13,507,589  
  Energy equipment and services 0.2%  
  Ensco PLC, Class A     14,177     199,612  
  Helmerich & Payne, Inc.     5,212     246,319  
  Oil, gas and consumable fuels 6.2%  
  BP PLC     127,772     648,234  
  Canadian Natural Resources, Ltd.     11,758     228,693  
  Chevron Corp. (C)     34,405     2,713,866  
  Encana Corp.     9,900     63,725  
  Eni SpA     26,311     413,881  
  Gazprom OAO, ADR     48,927     198,644  
  Harum Energy Tbk PT     450,400     26,010  
  Indo Tambangraya Megah Tbk PT     96,400     65,300  
  Inpex Corp.     20,000     178,815  
  Japan Petroleum Exploration Company, Ltd.     7,000     184,926  
  Lukoil OAO, ADR     5,850     199,251  
  Marathon Oil Corp.     57,114     879,556  
  Occidental Petroleum Corp.     26,542     1,755,753  
  Painted Pony Petroleum, Ltd. (I)     12,700     51,961  
  Petro Rio SA (I)     2,930     1,293  
  PetroChina Company, Ltd., H Shares     928,000     646,262  
  Petroleo Brasileiro SA, ADR     28,392     123,505  
  Royal Dutch Shell PLC, B Shares     39,915     943,800  
  Statoil ASA     6,144     89,574  
  Suncor Energy, Inc.     81,173     2,168,943  
  Total SA     32,894     1,479,666  
  Financials 21.2%     44,470,422  
  Banks 9.9%  
  Allahabad Bank     61,017     71,736  
  Alpha Bank AE (I)     264,837     31,772  
  Banca Popolare dell'Emilia Romagna SC     19,413     160,099  
  BNP Paribas SA     7,559     445,029  
  CaixaBank SA (I)     2,098     8,075  
  CaixaBank SA     194,313     749,902  

SEE NOTES TO FUND'S INVESTMENTS3

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Financials  (continued)        
  Banks  (continued)  
  Canara Bank     28,136     $120,452  
  China Construction Bank Corp., H Shares     1,262,000     842,173  
  Comerica, Inc.     7,826     321,649  
  Corp. Bank     60,024     40,343  
  Dah Sing Financial Holdings, Ltd.     15,600     85,444  
  HSBC Holdings PLC     183,629     1,385,244  
  ING Groep NV     29,199     413,677  
  JPMorgan Chase & Co. (C)     58,675     3,577,415  
  KB Financial Group, Inc.     5,733     170,412  
  M&T Bank Corp.     3,389     413,289  
  Mitsubishi UFJ Financial Group, Inc.     279,300     1,687,597  
  Mizuho Financial Group, Inc.     221,900     415,086  
  Nordea Bank AB     102,350     1,141,869  
  OTP Bank PLC     9,581     184,948  
  Piraeus Bank SA (I)     217,523     19,042  
  Shinhan Financial Group Company, Ltd.     3,196     111,771  
  Societe Generale SA     7,733     345,595  
  Standard Chartered PLC     30,636     297,320  
  Sumitomo Mitsui Financial Group, Inc.     11,200     424,707  
  Svenska Handelsbanken AB, A Shares     45,001     645,533  
  The Eighteenth Bank, Ltd.     10,000     30,897  
  The Oita Bank, Ltd.     15,000     62,374  
  The PNC Financial Services Group, Inc. (C)     41,502     3,701,978  
  The Tochigi Bank, Ltd.     16,000     87,887  
  The Yamanashi Chuo Bank, Ltd.     12,000     62,645  
  UniCredit SpA     38,724     241,413  
  Wells Fargo & Company (C)     46,296     2,377,300  
  Capital markets 2.0%  
  BlackRock, Inc. (C)     7,677     2,283,677  
  Henderson Group PLC     277,659     1,094,342  
  Julius Baer Group, Ltd. (I)     3,978     180,649  
  UBS Group AG     29,358     542,774  
  Uranium Participation Corp. (I)     30,800     114,245  
  Consumer finance 0.0%  
  Manappuram Finance, Ltd.     221,288     81,979  
  Diversified financial services 0.7%  
  Intercontinental Exchange, Inc. (C)     3,010     707,320  
  MSCI, Inc.     10,803     642,346  
  Insurance 6.4%  
  ACE, Ltd.     20,522     2,121,975  
  Ageas     9,290     381,785  
  Assicurazioni Generali SpA     54,126     990,300  
  CNO Financial Group, Inc.     56,976     1,071,719  
  Delta Lloyd NV     74,054     622,253  
  FNF Group     17,051     604,799  
  Marsh & McLennan Companies, Inc.     13,160     687,215  
  MetLife, Inc.     41,683     1,965,353  
  Primerica, Inc.     8,278     373,089  
  Sony Financial Holdings, Inc.     18,300     300,357  
  Storebrand ASA (I)     61,334     201,179  
  T&D Holdings, Inc.     31,000     366,167  
  The Dai-ichi Life Insurance Company, Ltd.     16,900     269,045  

4SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Financials  (continued)        
  Insurance  (continued)  
  Tongyang Life Insurance     9,867     $118,622  
  Willis Group Holdings PLC     37,315     1,528,796  
  Zurich Insurance Group AG (I)     7,694     1,888,925  
  Real estate investment trusts 0.8%  
  ICADE     9,793     664,434  
  Weyerhaeuser Company     38,076     1,040,998  
  Real estate management and development 1.4%  
  Castellum AB     50,998     717,869  
  Deutsche Annington Immobilien SE     53,437     1,719,924  
  The Unite Group PLC     51,948     513,613  
  Health care 9.0%     18,928,644  
  Biotechnology 0.1%  
  Sinovac Biotech, Ltd. (I)     22,089     112,212  
  Health care equipment and supplies 0.1%  
  Zimmer Biomet Holdings, Inc.     3,497     328,473  
  Health care providers and services 0.6%  
  Aetna, Inc.     2,778     303,941  
  AmerisourceBergen Corp.     2,523     239,660  
  Quest Diagnostics, Inc.     11,103     682,501  
  Suzuken Company, Ltd.     2,390     79,699  
  Health care technology 0.1%  
  AGFA-Gevaert NV (I)     35,093     126,890  
  Life sciences tools and services 0.0%  
  CMIC Holdings Company, Ltd.     6,400     90,943  
  Pharmaceuticals 8.1%  
  Almirall SA     11,948     213,337  
  AstraZeneca PLC     34,295     2,174,940  
  Bristol-Myers Squibb Company     50,653     2,998,658  
  Daiichi Sankyo Company, Ltd.     10,400     180,460  
  Eisai Company, Ltd.     25,100     1,480,939  
  H. Lundbeck A/S (I)     9,865     263,018  
  Johnson & Johnson     22,615     2,111,110  
  Merck & Company, Inc. (C)     93,749     4,630,263  
  Ono Pharmaceutical Company, Ltd.     2,700     320,127  
  Roche Holding AG     8,010     2,126,427  
  Takeda Pharmaceutical Company, Ltd.     10,600     465,046  
  Industrials 9.5%     19,871,592  
  Aerospace and defense 1.0%  
  Raytheon Company     4,107     448,731  
  Thales SA     3,756     261,887  
  United Technologies Corp.     16,366     1,456,410  
  Air freight and logistics 0.4%  
  Deutsche Post AG     20,287     562,010  
  PostNL NV (I)     76,237     278,684  
  Airlines 0.4%  
  American Airlines Group, Inc.     8,513     330,560  
  Deutsche Lufthansa AG (I)     23,450     326,442  
  Qantas Airways, Ltd. (I)     45,608     119,738  

SEE NOTES TO FUND'S INVESTMENTS5

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Industrials  (continued)        
  Building products 0.4%  
  Cie de Saint-Gobain     10,909     $473,454  
  Fortune Brands Home & Security, Inc.     8,005     379,997  
  Commercial services and supplies 0.1%  
  Aeon Delight Company, Ltd.     2,300     66,424  
  Moshi Moshi Hotline, Inc.     8,500     87,821  
  Construction and engineering 0.1%  
  Raubex Group, Ltd.     58,523     74,036  
  Toyo Engineering Corp.     65,000     156,876  
  Electrical equipment 2.1%  
  Eaton Corp. PLC     52,618     2,699,303  
  OSRAM Licht AG     1,283     66,470  
  Schneider Electric SE     23,970     1,342,296  
  Ushio, Inc.     14,600     175,396  
  Zumtobel Group AG     1,496     32,896  
  Industrial conglomerates 1.7%  
  3M Company     11,813     1,674,729  
  General Electric Company     27,615     696,450  
  Koninklijke Philips NV     7,580     178,333  
  Rheinmetall AG     5,864     360,570  
  Siemens AG     7,847     701,027  
  Machinery 0.6%  
  Caterpillar, Inc.     10,500     686,280  
  Fuji Machine Manufacturing Company, Ltd.     4,600     40,466  
  Hisaka Works, Ltd.     9,200     68,826  
  Joy Global, Inc.     19,100     285,163  
  The Japan Steel Works, Ltd.     53,000     167,924  
  Toshiba Machine Company, Ltd.     41,000     128,675  
  Marine 0.2%  
  D/S Norden A/S (I)     7,995     176,546  
  Pacific Basin Shipping, Ltd.     503,000     153,038  
  Professional services 0.4%  
  Adecco SA (I)     3,547     259,767  
  en-japan, Inc.     6,200     165,608  
  Hays PLC     85,030     197,644  
  USG People NV     10,621     145,429  
  Road and rail 0.9%  
  Kansas City Southern     2,700     245,376  
  Union Pacific Corp.     18,822     1,664,053  
  Trading companies and distributors 0.4%  
  Fastenal Company     9,071     332,089  
  Kuroda Electric Company, Ltd.     10,900     202,315  
  Mitsubishi Corp.     17,300     283,574  
  SIG PLC     48,162     126,621  
  Transportation infrastructure 0.8%  
  Hamburger Hafen und Logistik AG     5,548     90,388  
  Jiangsu Expressway Company, Ltd., H Shares     1,172,000     1,501,270  
  Information technology 10.5%     21,961,201  
  Communications equipment 2.1%  
  Cisco Systems, Inc. (C)     114,698     3,010,823  
  QUALCOMM, Inc.     24,965     1,341,369  

6SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Information technology  (continued)        
  Electronic equipment, instruments and components 0.5%  
  Avnet, Inc.     12,324     $525,988  
  Hosiden Corp.     27,100     143,477  
  Kingboard Laminates Holdings, Ltd.     322,500     131,378  
  Mitsumi Electric Company, Ltd.     9,300     51,517  
  Nichicon Corp.     25,500     183,271  
  Internet software and services 0.2%  
  DeNa Company, Ltd.     13,700     254,265  
  Dropbox, Inc. (I)     7,248     113,721  
  Gree, Inc.     31,400     140,641  
  IT services 1.0%  
  Alten SA     3,532     181,410  
  Booz Allen Hamilton Holding Corp.     27,127     710,999  
  Cap Gemini SA     2,222     198,431  
  Devoteam SA     1,502     49,255  
  Fujitsu, Ltd.     74,000     321,885  
  GFI Informatique SA     3,780     24,662  
  Itochu Techno-Solutions Corp.     10,200     217,537  
  NET One Systems Company, Ltd.     20,400     115,404  
  Sopra Steria Group     2,928     324,923  
  Semiconductors and semiconductor equipment 3.4%  
  Intel Corp.     106,964     3,223,895  
  Kontron AG (I)     14,745     41,755  
  Lam Research Corp.     5,003     326,846  
  Maxim Integrated Products, Inc. (C)     74,326     2,482,488  
  Micronas Semiconductor Holding AG (I)     15,030     57,714  
  Mimasu Semiconductor Industry Company, Ltd.     7,500     68,673  
  Miraial Company, Ltd.     6,500     59,083  
  Rohm Company, Ltd.     3,600     160,093  
  SCREEN Holdings Company, Ltd.     37,000     180,949  
  Shinkawa, Ltd. (I)     15,400     84,563  
  Shinko Electric Industries Company, Ltd.     32,600     183,797  
  Tokyo Seimitsu Company, Ltd.     10,400     193,118  
  Software 2.3%  
  Alpha Systems, Inc.     1,700     26,166  
  Microsoft Corp. (C)     100,329     4,440,562  
  Nintendo Company, Ltd.     1,600     269,683  
  Technology hardware, storage and peripherals 1.0%  
  Apple, Inc. (C)     5,830     643,049  
  Canon, Inc.     11,800     341,344  
  Compal Electronics, Inc.     263,000     149,393  
  Japan Digital Laboratory Company, Ltd.     3,500     48,236  
  Melco Holdings, Inc.     8,300     135,891  
  SanDisk Corp.     5,756     312,723  
  Western Digital Corp.     6,171     490,224  
  Materials 4.7%     9,934,009  
  Chemicals 1.7%  
  Agrium, Inc.     10,444     935,120  
  Akzo Nobel NV     9,891     643,303  
  E.I. du Pont de Nemours & Company     15,075     726,615  
  Fujimi, Inc.     4,300     58,164  
  Hitachi Chemical Company, Ltd.     8,300     114,517  

SEE NOTES TO FUND'S INVESTMENTS7

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Materials  (continued)        
  Chemicals  (continued)  
  JSR Corp.     15,900     $229,197  
  Methanex Corp.     7,916     262,495  
  Mitsui Chemicals, Inc.     54,000     173,069  
  Nitto Denko Corp.     2,600     155,721  
  Sumitomo Bakelite Company, Ltd.     47,000     172,677  
  Construction materials 0.3%  
  Buzzi Unicem SpA     15,028     251,206  
  Holcim, Ltd. (I)     6,524     341,988  
  Vicat SA     2,254     140,799  
  Containers and packaging 0.5%  
  AMVIG Holdings, Ltd.     230,000     95,810  
  Bemis Company, Inc.     7,197     284,785  
  Graphic Packaging Holding Company     24,272     310,439  
  Packaging Corp. of America     7,093     426,715  
  Metals and mining 1.1%  
  Aichi Steel Corp.     11,000     41,540  
  Anglo American Platinum, Ltd. (I)     6,840     113,323  
  Anglo American PLC     22,731     189,874  
  Aquarius Platinum, Ltd. (I)     240,444     23,832  
  Barrick Gold Corp.     14,100     89,703  
  Centerra Gold, Inc.     30,200     170,632  
  Chubu Steel Plate Company, Ltd.     8,500     34,463  
  CST Mining Group, Ltd. (I)     1,440,000     14,961  
  Eldorado Gold Corp.     36,404     117,221  
  G-Resources Group, Ltd.     4,227,000     110,097  
  Impala Platinum Holdings, Ltd. (I)     35,290     98,010  
  Ivanhoe Mines, Ltd., Class A (I)     109,000     53,091  
  Kinross Gold Corp. (I)     75,897     130,543  
  Kyoei Steel, Ltd.     9,900     155,448  
  Lonmin PLC (I)     62,570     15,419  
  Maruichi Steel Tube, Ltd.     7,200     162,981  
  Neturen Company, Ltd.     11,800     84,742  
  Northern Dynasty Minerals, Ltd. (I)     16,000     4,796  
  NV Bekaert SA     5,662     149,181  
  Resolute Mining, Ltd. (I)     361,784     79,324  
  Salzgitter AG     5,965     148,167  
  Tokyo Steel Manufacturing Company, Ltd.     25,700     140,534  
  Yamato Kogyo Company, Ltd.     7,600     152,360  
  Yodogawa Steel Works, Ltd.     5,400     100,879  
  Paper and forest products 1.1%  
  International Paper Company     48,060     1,816,187  
  Norbord, Inc.     28,871     414,081  
  Telecommunication services 4.0%     8,359,345  
  Diversified telecommunication services 3.3%  
  Hellenic Telecommunications Organization SA     21,297     187,129  
  KT Corp. (I)     12,791     332,393  
  Magyar Telekom Telecommunications PLC (I)     119,805     166,826  
  Nippon Telegraph & Telephone Corp.     72,700     2,560,756  
  Orange SA     19,424     294,453  
  Telefonica SA     26,116     316,839  
  Telenor ASA     61,149     1,142,664  

8SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Telecommunication services  (continued)        
  Diversified telecommunication services  (continued)  
  Verizon Communications, Inc.     44,903     $1,953,730  
  Wireless telecommunication services 0.7%  
  Mobistar SA (I)     9,759     210,368  
  NTT DOCOMO, Inc.     70,800     1,194,187  
  Utilities 4.9%     10,297,932  
  Electric utilities 2.0%  
  Edison International     13,475     849,868  
  Power Assets Holdings, Ltd.     113,000     1,069,303  
  Xcel Energy, Inc.     64,858     2,296,622  
  Gas utilities 0.4%  
  Gas Natural SDG SA     41,948     818,494  
  Independent power and renewable electricity producers 0.1%  
  NTPC, Ltd.     81,336     153,630  
  Multi-utilities 2.4%  
  Centrica PLC     281,787     978,935  
  Dominion Resources, Inc.     30,032     2,113,652  
  E.ON SE     15,563     133,553  
  Engie     18,391     297,575  
  National Grid PLC     51,268     714,016  
  PG&E Corp.     14,791     780,965  
  RWE AG     8,036     91,319  
        Rate (% )    Maturity date     Par value^     Value  
  Corporate bonds 15.1%     $31,738,755  
  (Cost $34,429,784)  
  Consumer discretionary 2.9%     6,183,757  
  Auto components 0.1%  
  ZF North America Capital, Inc. (S)     4.500     04-29-22           150,000     141,750  
  Automobiles 0.2%  
  FCA US LLC     8.250     06-15-21           230,000     244,076  
  General Motors Company     4.875     10-02-23           85,000     86,297  
  General Motors Company     6.250     10-02-43           65,000     68,717  
  Diversified consumer services 0.1%  
  Service Corp. International     7.625     10-01-18           125,000     140,938  
  Hotels, restaurants and leisure 0.3%  
  CEC Entertainment, Inc.     8.000     02-15-22           130,000     128,050  
  Cirsa Funding Luxembourg SA     5.875     05-15-23         EUR 100,000     98,901  
  Cirsa Funding Luxembourg SA (S)     5.875     05-15-23         EUR 115,000     113,736  
  NH Hotel Group SA (S)     6.875     11-15-19         EUR 235,000     284,252  
  Household durables 0.4%  
  Argos Merger Sub, Inc. (S)     7.125     03-15-23           205,000     207,306  
  DR Horton, Inc.     4.000     02-15-20           25,000     25,125  
  DR Horton, Inc.     5.750     08-15-23           20,000     21,650  
  K Hovnanian Enterprises, Inc. (S)     8.000     11-01-19           105,000     75,338  
  KB Home     7.000     12-15-21           375,000     375,938  
  Lennar Corp.     4.750     11-15-22           125,000     121,350  
  Media 1.4%  
  Altice Financing SA (S)     6.500     01-15-22         EUR 100,000     116,629  
  CCO Holdings LLC     5.125     02-15-23           5,000     4,613  
  CCO Holdings LLC     5.250     09-30-22           5,000     4,688  

SEE NOTES TO FUND'S INVESTMENTS9

Hedged Equity & Income Fund

<
                                               
        Rate (% )    Maturity date     Par value^     Value  
  Consumer discretionary  (continued)        
  Media  (continued)  
  CCO Holdings LLC     5.750     09-01-23           35,000     $33,294  
  CCO Holdings LLC     7.375     06-01-20           255,000     264,869  
  CCO Safari II LLC (S)     4.908     07-23-25           95,000     94,583  
  Cequel Communications Holdings I LLC (S)     5.125     12-15-21           340,000     299,200  
  DISH DBS Corp.     6.750     06-01-21           170,000     162,350  
  DISH DBS Corp.     7.875     09-01-19           320,000     335,466  
  Gray Television, Inc.     7.500     10-01-20           75,000     76,875  
  Harron Communications LP (S)     9.125     04-01-20           90,000     95,625  
  LIN Television Corp. (S)     5.875     11-15-22           155,000     153,838  
  TEGNA, Inc. (S)     4.875     09-15-21           115,000     112,700  
  TEGNA, Inc.     5.125     10-15-19           345,000     350,175  
  TEGNA, Inc. (S)     5.500     09-15-24           20,000     19,450  
  TEGNA, Inc.     6.375     10-15-23           55,000     57,750  
  Tribune Media Company (S)     5.875     07-15-22           295,000     286,150  
  TVN Finance Corp. III AB     7.375     12-15-20         EUR 117,000     140,549  
  Unitymedia Hessen GmbH & Company KG     5.500     09-15-22         EUR 324,000     378,329  
  Unitymedia Hessen GmbH & Company KG     5.750     01-15-23         EUR 112,500     131,686  
  Multiline retail 0.0%  
  Dollar Tree, Inc. (S)     5.250     03-01-20           20,000     20,508  
  Dollar Tree, Inc. (S)     5.750     03-01-23           75,000     77,813  
  Specialty retail 0.4%  
  Autonation Inc (S)     6.000     10-15-22           180,000     180,450  
  Chinos Intermediate Holdings A, Inc., PIK (S)     7.750     05-01-19           130,000     49,725  
  Michaels Stores, Inc. (S)     5.875     12-15-20           195,000     203,288  
  New Look Secured Issuer PLC (S)     6.500     07-01-22         GBP 180,000     258,680  
  Party City Holdings, Inc. (S)     6.125     08-15-23           140,000     141,050  
  Consumer staples 0.5%     938,512  
  Food and staples retailing 0.2%  
  Albertsons Holdings LLC (S)     7.750     10-15-22           64,000     68,579  
  Aramark Services, Inc.     5.750     03-15-20           280,000     290,633  
  Household products 0.1%  
  The Sun Products Corp. (S)     7.750     03-15-21           315,000     267,750  
  Personal products 0.2%  
  Hypermarcas SA     6.500     04-20-21           310,000     311,550  
  Energy 1.3%     2,644,174  
  Energy equipment and services 0.0%  
  Paragon Offshore PLC (S)     6.750     07-15-22           280,000     36,400  
  Oil, gas and consumable fuels 1.3%  
  Antero Resources Corp. (S)     5.625     06-01-23