Six Months Ended April 30, 2024 |
||||
Cohen & Steers Tax-Advantaged Preferred Securities and Income Fund at Net Asset Value (a ) |
15.00 |
% | ||
Cohen & Steers Tax-Advantaged Preferred Securities and Income Fund at Market Value (a) |
15.13 |
% | ||
ICE BofA 7% Constrained DRD Eligible Preferred Securities Index (b) |
13.41 |
% | ||
Blended Benchmark—50% ICE BofA 7% Constrained DRD Eligible Preferred Securities Index/35% ICE BofA U.S. IG Institutional Capital Securities Index/15% Bloomberg Developed Market USD Contingent Capital Index (b) |
12.13 |
% | ||
Bloomberg U.S. Aggregate Bond Index (b) |
4.97 |
% |
(a ) |
As a closed-end investment company, the price of the Fund’s exchange-traded shares will be set by market forces and can deviate from the net asset value (NAV) per share of the Fund. |
(b ) |
ICE BofA 7% Constrained DRD Eligible Preferred Securities Index contains all securities in the ICE BofA Fixed Rate Preferred Securities Index that are DRD (dividends received deduction) eligible, but caps issuer exposure at 7%. The ICE BofA U.S. IG Institutional Capital Securities Index tracks the performance of U.S. dollar denominated investment grade hybrid capital corporate and preferred securities publicly issued in the U.S. domestic market. The Bloomberg Developed Market USD Contingent Capital Index includes hybrid capital securities in developed markets with explicit equity conversion or write down loss absorption mechanisms that are based on an issuer’s regulatory capital ratio or other explicit solvency-based triggers. The Bloomberg U.S. Aggregate Bond Index is a broad market measure of the U.S. dollar-denominated investment-grade fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage-backed securities, asset-backed securities, and commercial mortgage-backed securities. |
The comparative indexes are not adjusted to reflect expenses or other fees that the U.S. Securities and Exchange Commission (SEC) requires to be reflected in the Fund’s performance. Index performance does not reflect the deduction of any fees, taxes or expenses. An investor cannot invest directly in an index. The Fund’s performance assumes dividends and distributions are reinvested at prices obtained under the Fund’s dividend reinvestment plan. |
W ILLIAM F. SCAPELL Portfolio Manager |
E LAINE ZAHARIS -NIKAS Portfolio Manager |
J ERRY DOROST Portfolio Manager |
R OBERT KASTOFF Portfolio Manager |
1 Year |
5 Years |
10 Years |
Since Inception (a) |
|||||||||||||
Fund at NAV |
16.37 |
% |
— |
— |
1.69 |
% | ||||||||||
Fund at Market Value |
18.32 |
% |
— |
— |
-0.85 |
% |
(a) |
Commencement of investment operations was October 28, 2020. |
Leverage (as a % of managed assets) |
35% | |
% Variable Rate Financing |
3% | |
Variable Rate |
6.0% | |
% Fixed Rate Financing (c ) |
97% | |
Weighted Average Rate on Fixed Financing |
1.2% | |
Weighted Average Term on Fixed Financing |
1.9 years |
(a) |
Data as of April 30, 2024. Information is subject to change. |
(b) |
See Note 7 in Notes to Financial Statements. |
(c) |
Represents fixed payer interest rate swap contracts on variable rate borrowing. |
Security |
Value |
% of Managed Assets |
||||||
Wells Fargo & Co., 7.625% |
$ |
38,525,140 |
2.2 |
|||||
Stichting AK Rabobank Certificaten, 6.50% (Netherlands) |
34,604,344 |
2.0 |
||||||
JPMorgan Chase & Co., 6.875%, Series NN |
34,229,794 |
2.0 |
||||||
Charles Schwab Corp., 5.375%, Series G |
31,520,816 |
1.8 |
||||||
Wells Fargo & Co., 3.90%, Series BB |
27,367,675 |
1.6 |
||||||
Citigroup, Inc., 7.625%, Series AA |
26,891,672 |
1.6 |
||||||
Goldman Sachs Group, Inc., 7.50%, Series X |
26,356,056 |
1.5 |
||||||
Charles Schwab Corp., 4.00%, Series I |
24,632,982 |
1.4 |
||||||
Bank of America Corp., 6.10%, Series AA |
23,131,964 |
1.4 |
||||||
BNP Paribas SA, 7.75% (France) |
20,824,808 |
1.2 |
(a) |
Top ten holdings (excluding short-term investments and derivative instruments) are determined on the basis of the value of individual securities held. The Fund may also hold positions in other securities issued by the companies listed above. See the Schedule of Investments for additional details on such other positions. |
(b) |
Excludes derivative instruments. |
Shares |
Value |
|||||||||||
P REFERRED SECURITIES —EXCHANGE -TRADED |
27.1% |
|||||||||||
B ANKING |
6.6% |
|||||||||||
Federal Agricultural Mortgage Corp., 4.875%, Series G (a) |
410,836 |
$ |
7,949,677 |
|||||||||
First Horizon Corp., 6.50% (a)(b) |
226,999 |
5,379,876 |
||||||||||
Morgan Stanley, 4.25%, Series O (a)(b) |
74,599 |
1,385,303 |
||||||||||
Morgan Stanley, 5.85% to 4/15/27, Series K (a)(b) |
294,081 |
7,046,181 |
||||||||||
Morgan Stanley, 6.375% to 10/15/24, Series I (a)(b) |
289,449 |
7,213,069 |
||||||||||
Morgan Stanley, 6.875% to 7/15/24, Series F (a)(b) |
680,397 |
17,118,789 |
||||||||||
Morgan Stanley, 7.125% to 7/15/24, Series E (a)(b) |
350,000 |
8,830,500 |
||||||||||
Regions Financial Corp., 5.70% to 5/15/29, Series C (a)(b)(c) |
164,750 |
3,601,435 |
||||||||||
Texas Capital Bancshares, Inc., 5.75%, Series B (a)(b) |
103,308 |
1,970,084 |
||||||||||
Wells Fargo & Co., 4.375%, Series CC (a)(b) |
117,864 |
2,245,309 |
||||||||||
Wells Fargo & Co., 4.70%, Series AA (a)(b) |
288,351 |
5,813,156 |
||||||||||
Wells Fargo & Co., 4.75%, Series Z (a)(b) |
268,039 |
5,459,954 |
||||||||||
74,013,333 |
||||||||||||
C ONSUMER STAPLE PRODUCTS |
0.7% |
|||||||||||
CHS, Inc., 7.50%, Series 4 (a) |
299,435 |
7,680,508 |
||||||||||
F INANCIAL SERVICES |
3.0% |
|||||||||||
Affiliated Managers Group, Inc., 6.75%, due 3/30/64 (b)(d) |
176,252 |
4,512,051 |
||||||||||
Apollo Global Management, Inc., 7.625% to 9/15/28, due 9/15/53 (b)(c) |
147,108 |
3,886,593 |
||||||||||
Brookfield Oaktree Holdings LLC, 6.55%, Series B (a)(b) |
633,858 |
13,627,947 |
||||||||||
Brookfield Oaktree Holdings LLC, 6.625%, Series A (a)(b) |
214,812 |
4,682,902 |
||||||||||
TPG Operating Group II LP, 6.95%, due 3/15/64 (b)(d) |
266,478 |
6,872,468 |
||||||||||
33,581,961 |
||||||||||||
I NDUSTRIAL SERVICES |
1.4% |
|||||||||||
WESCO International, Inc., 10.625% to 6/22/25, Series A (a)(c) |
600,807 |
15,855,297 |
||||||||||
I NSURANCE |
8.7% |
|||||||||||
Allstate Corp., 7.375%, Series J (a)(b) |
174,600 |
4,658,328 |
||||||||||
Arch Capital Group Ltd., 4.55%, Series G (a)(b) |
172,499 |
3,329,231 |
||||||||||
Arch Capital Group Ltd., 5.45%, Series F (a)(b) |
351,086 |
7,871,348 |
Shares |
Value |
|||||||||||
Assurant, Inc., 5.25%, due 1/15/61 (b) |
75,306 |
$ |
1,555,069 |
|||||||||
Athene Holding Ltd., 4.875%, Series D (a)(b) |
243,569 |
4,311,171 |
||||||||||
Athene Holding Ltd., 5.625%, Series B (a)(b) |
911 |
18,839 |
||||||||||
Athene Holding Ltd., 6.35% to 6/30/29, Series A (a)(b)(c) |
439,968 |
10,343,648 |
||||||||||
Athene Holding Ltd., 6.375% to 6/30/25, Series C (a)(b)(c) |
276,112 |
6,911,083 |
||||||||||
Athene Holding Ltd., 7.25% to 3/30/29, due 3/30/64 (b)(c)(d) |
247,750 |
6,171,453 |
||||||||||
Athene Holding Ltd., 7.75% to 12/30/27, Series E (a)(b)(c) |
337,144 |
8,971,402 |
||||||||||
Brighthouse Financial, Inc., 5.375%, Series C (a)(b) |
154,477 |
2,843,922 |
||||||||||
Enstar Group Ltd., 7.00% to 9/1/28, Series D (a)(b)(c) |
332,363 |
8,475,256 |
||||||||||
Equitable Holdings, Inc., 4.30%, Series C (a)(b) |
98,173 |
1,725,881 |
||||||||||
Equitable Holdings, Inc., 5.25%, Series A (a)(b) |
286,202 |
6,239,204 |
||||||||||
F&G Annuities & Life, Inc., Senior Debt, 7.95%, due 12/15/53 (b) |
333,885 |
8,681,010 |
||||||||||
Lincoln National Corp., 9.00%, Series D (a)(b) |
321,052 |
8,652,351 |
||||||||||
MetLife, Inc., 5.625%, Series E (a)(b) |
96,332 |
2,260,912 |
||||||||||
Reinsurance Group of America, Inc., 7.125% to 10/15/27, due 10/15/52 (b)(c) |
96,288 |
2,521,783 |
||||||||||
RenaissanceRe Holdings Ltd., 4.20%, Series G (Bermuda) (a) |
103,152 |
1,800,002 |
||||||||||
97,341,893 |
||||||||||||
P IPELINES |
0.6% |
|||||||||||
Enbridge, Inc., 2.983% to 9/1/25, Series 15 (Canada) (a)(b)(c) |
300,000 |
3,687,212 |
||||||||||
TC Energy Corp., 3.762% to 10/30/24, Series 9 (Canada) (a)(b)(c) |
200,000 |
2,601,968 |
||||||||||
6,289,180 |
||||||||||||
R EAL ESTATE |
0.9% |
|||||||||||
Chatham Lodging Trust, 6.625%, Series A (a) |
85,000 |
1,733,150 |
||||||||||
DigitalBridge Group, Inc., 7.125%, Series H (a) |
206,801 |
4,628,206 |
||||||||||
DigitalBridge Group, Inc., 7.125%, Series J (a) |
167,076 |
3,792,625 |
||||||||||
10,153,981 |
||||||||||||
Shares |
Value |
|||||||||||
T ELECOMMUNICATIONS |
0.9% |
|||||||||||
AT&T, Inc., 4.75%, Series C (a)(b) |
169,358 |
$ |
3,326,191 |
|||||||||
AT&T, Inc., 5.00%, Series A (a)(b) |
145,001 |
3,008,771 |
||||||||||
U.S. Cellular Corp., Senior Debt, 5.50%, due 3/1/70 (b) |
20,905 |
371,482 |
||||||||||
U.S. Cellular Corp., Senior Debt, 5.50%, due 6/1/70 (b) |
47,855 |
844,641 |
||||||||||
U.S. Cellular Corp., Senior Debt, 6.25%, due 9/1/69 (b) |
134,648 |
2,593,320 |
||||||||||
10,144,405 |
||||||||||||
U TILITIES |
4.3% |
|||||||||||
Algonquin Power & Utilities Corp., 6.20% to 7/1/24, due 7/1/79, Series 19-A (Canada)(b)(c) |
140,000 |
3,493,000 |
||||||||||
BIP Bermuda Holdings I Ltd., 5.125% (Canada) (a)(b) |
47,070 |
835,022 |
||||||||||
Brookfield BRP Holdings Canada, Inc., 4.625% (Canada) (a)(b) |
208,034 |
3,234,929 |
||||||||||
Brookfield BRP Holdings Canada, Inc., 4.875% (Canada) (a)(b) |
168,056 |
2,714,104 |
||||||||||
Brookfield Infrastructure Finance ULC, 5.00%, due 5/24/81 (Canada) (b) |
214,600 |
3,656,784 |
||||||||||
CMS Energy Corp., 5.875%, due 10/15/78 (b) |
120,000 |
2,889,600 |
||||||||||
SCE Trust V, 5.45% to 3/15/26, Series K (TruPS) (a)(b)(c) |
453,764 |
11,144,444 |
||||||||||
SCE Trust VI, 5.00% (TruPS) (a)(b) |
394,659 |
7,822,141 |
||||||||||
SCE Trust VII, 7.50%, Series M (TruPS) (a)(b) |
466,136 |
12,166,150 |
||||||||||
47,956,174 |
||||||||||||
T OTAL PREFERRED SECURITIES —EXCHANGE -TRADED (Identified cost—$330,348,764) |
303,016,732 |
|||||||||||
Principal Amount* |
||||||||||||
P REFERRED SECURITIES —OVER - THE -C OUNTER |
123.3% |
|||||||||||
B ANKING |
77.3% |
|||||||||||
Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain) (a)(c)(e)(f) |
EUR |
4,000,000 |
4,124,854 |
|||||||||
ABN AMRO Bank NV, 6.875% to 9/22/31 (Netherlands) (a)(c)(e)(f) |
EUR |
3,600,000 |
3,899,551 |
Principal Amount* |
Value |
|||||||||
AIB Group PLC, 7.125% to 10/30/29 (Ireland) (a)(c)(e)(f) |
EUR |
6,000,000 |
$ |
6,437,761 |
||||||
Banco Bilbao Vizcaya Argentaria SA, 9.375% to 3/19/29 (Spain) (a)(c)(e) |
5,900,000 |
6,211,018 |
||||||||
Banco de Sabadell SA, 5.75% to 3/15/26 (Spain) (a)(c)(e)(f) |
EUR |
1,000,000 |
1,041,881 |
|||||||
Banco de Sabadell SA, 9.375% to 7/18/28 (Spain) (a)(c)(e)(f) |
EUR |
4,000,000 |
4,683,260 |
|||||||
Banco Santander SA, 9.625% to 11/21/28 (Spain) (a)(c)(e) |
4,000,000 |
4,202,464 |
||||||||
Banco Santander SA, 9.625% to 5/21/33 (Spain) (a)(c)(e) |
9,000,000 |
9,630,810 |
||||||||
Bank of America Corp., 5.875% to 3/15/28, Series FF (a)(b)(c) |
12,042,000 |
11,564,719 |
||||||||
Bank of America Corp., 6.10% to 3/17/25, Series AA (a)(b)(c) |
23,115,000 |
23,131,964 |
||||||||
Bank of America Corp., 6.125% to 4/27/27, Series TT (a)(b)(c) |
1,700,000 |
1,684,144 |
||||||||
Bank of America Corp., 6.25% to 9/5/24, Series X (a)(b)(c) |
8,320,000 |
8,313,738 |
||||||||
Bank of America Corp., 6.30% to 3/10/26, Series DD (a)(b)(c) |
3,318,000 |
3,315,856 |
||||||||
Bank of America Corp., 6.50% to 10/23/24, Series Z (a)(b)(c) |
5,567,000 |
5,589,006 |
||||||||
Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland) (a)(c)(e)(f) |
EUR |
7,675,000 |
8,335,503 |
|||||||
Bank of Nova Scotia, 8.00% to 1/27/29, due 1/27/84 (Canada) (b)(c) |
4,200,000 |
4,232,798 |
||||||||
Bank of Nova Scotia, 8.625% to 10/27/27, due 10/27/82 (Canada) (b)(c) |
10,250,000 |
10,578,410 |
||||||||
Barclays Bank PLC, 6.278% to 12/15/34, Series 1 (United Kingdom) (a)(c) |
4,220,000 |
4,156,556 |
||||||||
Barclays PLC, 6.125% to 12/15/25 (United Kingdom) (a)(c)(e) |
1,200,000 |
1,154,995 |
||||||||
Barclays PLC, 7.125% to 6/15/25 (United Kingdom) (a)(c)(e) |
GBP |
800,000 |
986,520 |
|||||||
Barclays PLC, 8.00% to 3/15/29 (United Kingdom) (a)(c)(e) |
2,700,000 |
2,661,806 |
Principal Amount* |
Value |
|||||||||
Barclays PLC, 8.875% to 9/15/27 (United Kingdom) (a)(c)(e)(f) |
GBP |
6,400,000 |
$ |
8,086,641 |
||||||
Barclays PLC, 9.625% to 12/15/29 (United Kingdom) (a)(b)(c)(e) |
11,700,000 |
12,257,259 |
||||||||
BNP Paribas SA, 7.375% to 8/19/25 (France) (a)(c)(e)(g) |
3,200,000 |
3,206,124 |
||||||||
BNP Paribas SA, 7.75% to 8/16/29 (France) (a)(c)(e)(g) |
20,600,000 |
20,824,808 |
||||||||
BNP Paribas SA, 8.00% to 8/22/31 (France) (a)(b)(c)(e)(g) |
1,400,000 |
1,394,717 |
||||||||
BNP Paribas SA, 8.50% to 8/14/28 (France) (a)(c)(e)(g) |
13,600,000 |
14,094,578 |
||||||||
BNP Paribas SA, 9.25% to 11/17/27 (France) (a)(c)(e)(g) |
8,800,000 |
9,344,579 |
||||||||
CaixaBank SA, 7.50% to 1/16/30 (Spain) (a)(c)(e)(f) |
EUR |
1,800,000 |
1,995,583 |
|||||||
CaixaBank SA, 8.25% to 3/13/29 (Spain) (a)(c)(e)(f) |
EUR |
8,400,000 |
9,508,136 |
|||||||
Charles Schwab Corp., 4.00% to 6/1/26, Series I (a)(b)(c) |
26,699,000 |
24,632,982 |
||||||||
Charles Schwab Corp., 4.00% to 12/1/30, Series H (a)(b)(c) |
10,317,000 |
8,409,626 |
||||||||
Charles Schwab Corp., 5.00% to 6/1/27, Series K (a)(b)(c) |
1,973,000 |
1,848,693 |
||||||||
Charles Schwab Corp., 5.375% to 6/1/25, Series G (a)(b)(c) |
31,795,000 |
31,520,816 |
||||||||
Citigroup, Inc., 3.875% to 2/18/26, Series X (a)(c) |
4,370,000 |
4,112,974 |
||||||||
Citigroup, Inc., 5.95% to 5/15/25, Series P (a)(b)(c) |
15,756,000 |
15,697,355 |
||||||||
Citigroup, Inc., 6.25% to 8/15/26, Series T (a)(c) |
10,030,000 |
10,009,528 |
||||||||
Citigroup, Inc., 6.30% to 8/15/24, Series M (a)(c) |
2,020,000 |
2,026,658 |
||||||||
Citigroup, Inc., 7.625% to 11/15/28, Series AA (a)(c) |
25,995,000 |
26,891,672 |
||||||||
Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F (a)(c) |
7,053,000 |
6,910,052 |
||||||||
CoBank ACB, 6.45% to 10/1/27, Series K (a)(b)(c) |
6,590,000 |
6,523,425 |
||||||||
Commerzbank AG, 7.00% to 4/9/25 (Germany) (a)(b)(c)(e)(f) |
2,800,000 |
2,758,773 |
||||||||
Credit Agricole SA, 4.75% to 3/23/29 (France) (a)(b)(c)(e)(g) |
600,000 |
511,340 |
||||||||
Credit Agricole SA, 6.50% to 9/23/29, Series EMTN (France) (a)(b)(c)(e)(f) |
EUR |
5,200,000 |
5,605,492 |
Principal Amount* |
Value |
|||||||||
Credit Agricole SA, 7.25% to 9/23/28, Series EMTN (France) (a)(b)(c)(e)(f) |
EUR |
5,600,000 |
$ |
6,259,153 |
||||||
Credit Agricole SA, 8.125% to 12/23/25 (France) (a)(b)(c)(e)(g) |
3,260,000 |
3,309,193 |
||||||||
Credit Suisse Group AG, 6.375% to 8/21/26, Claim (Switzerland) (a)(d)(e)(g)(h) |
2,200,000 |
253,000 |
||||||||
Credit Suisse Group AG, 7.50%, Claim (Switzerland) (a)(d)(e)(g)(h) |
7,600,000 |
874,000 |
||||||||
Danske Bank AS, 7.00% to 6/26/25 (Denmark) (a)(b)(c)(e)(f) |
1,800,000 |
1,784,396 |
||||||||
Deutsche Bank AG, 6.00% to 10/30/25, Series 2020 (Germany) (a)(c)(e) |
1,800,000 |
1,679,124 |
||||||||
Deutsche Bank AG, 7.50% to 4/30/25 (Germany) (a)(c)(e) |
2,600,000 |
2,542,397 |
||||||||
Deutsche Bank AG, 10.00% to 12/1/27 (Germany) (a)(c)(e)(f) |
EUR |
10,000,000 |
11,458,532 |
|||||||
Farm Credit Bank of Texas, 9.601% (3 Month USD Term SOFR + 4.01%) (a)(g)(i) |
7,000 |
† |
700,000 |
|||||||
Goldman Sachs Group, Inc., 3.65% to 8/10/26, Series U (a)(c) |
3,284,000 |
2,994,372 |
||||||||
Goldman Sachs Group, Inc., 7.50% to 2/10/29, Series W (a)(c) |
17,139,000 |
17,779,553 |
||||||||
Goldman Sachs Group, Inc., 7.50% to 5/10/29, Series X (a)(c) |
26,008,000 |
26,356,056 |
||||||||
HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, Series 2 (United Kingdom) (a)(c)(g) |
13,735,000 |
16,632,481 |
||||||||
HSBC Holdings PLC, 6.00% to 5/22/27 (United Kingdom) (a)(b)(c)(e) |
2,200,000 |
2,098,528 |
||||||||
HSBC Holdings PLC, 8.00% to 3/7/28 (United Kingdom) (a)(b)(c)(e) |
7,400,000 |
7,656,240 |
||||||||
Huntington Bancshares, Inc., 4.45% to 10/15/27, Series G (a)(c) |
1,820,000 |
1,617,088 |
||||||||
Huntington Bancshares, Inc., 5.625% to 7/15/30, Series F (a)(c) |
7,141,000 |
6,413,454 |
||||||||
ING Groep NV, 4.875% to 5/16/29 (Netherlands) (a)(b)(c)(e)(f) |
1,200,000 |
1,006,500 |
||||||||
ING Groep NV, 5.75% to 11/16/26 (Netherlands) (a)(c)(e) |
2,200,000 |
2,078,250 |
Principal Amount* |
Value |
|||||||||
ING Groep NV, 7.50% to 5/16/28 (Netherlands) (a)(b)(c)(e)(f) |
5,000,000 |
$ |
4,912,500 |
|||||||
ING Groep NV, 8.00% to 5/16/30 (Netherlands) (a)(b)(c)(e)(f) |
4,200,000 |
4,195,380 |
||||||||
Intesa Sanpaolo SpA, 7.70% to 9/17/25 (Italy) (a)(c)(e)(g) |
8,000,000 |
7,949,754 |
||||||||
Intesa Sanpaolo SpA, 9.125% to 9/7/29 (Italy) (a)(c)(e)(f) |
EUR |
5,400,000 |
6,400,534 |
|||||||
JPMorgan Chase & Co., 6.10% to 10/1/24, Series X (a)(b)(c) |
3,400,000 |
3,409,561 |
||||||||
JPMorgan Chase & Co., 6.875% to 6/1/29, Series NN (a)(b)(c) |
33,323,000 |
34,229,794 |
||||||||
JPMorgan Chase & Co., 8.868% (3 Month USD Term SOFR + 3.562%), Series R (a)(b)(i) |
2,331,000 |
2,331,000 |
||||||||
JPMorgan Chase & Co., 9.348% (3 Month USD Term SOFR + 4.042%), Series S (a)(b)(i) |
20,595,000 |
20,595,000 |
||||||||
Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom) (a)(c)(e) |
5,800,000 |
5,755,911 |
||||||||
Lloyds Banking Group PLC, 8.00% to 9/27/29 (United Kingdom) (a)(c)(e) |
2,300,000 |
2,277,133 |
||||||||
Lloyds Banking Group PLC, 8.50% to 9/27/27 (United Kingdom) (a)(c)(e) |
GBP |
2,000,000 |
2,524,141 |
|||||||
Nationwide Building Society, 10.25% (United Kingdom) |
GBP |
11,560,000 |
19,247,696 |
|||||||
NatWest Group PLC, 8.00% to 8/10/25 (United Kingdom) (a)(c)(e) |
9,400,000 |
9,422,259 |
||||||||
PNC Financial Services Group, Inc., 6.00% to 5/15/27, Series U (a)(b)(c) |
4,081,000 |
3,935,700 |
||||||||
PNC Financial Services Group, Inc., 6.20% to 9/15/27, Series V (a)(b)(c) |
13,976,000 |
13,735,674 |
||||||||
PNC Financial Services Group, Inc., 6.25% to 3/15/30, Series W (a)(b)(c) |
20,238,000 |
19,076,379 |
||||||||
Regions Financial Corp., 5.75% to 6/15/25, Series D (a)(c) |
10,429,000 |
10,248,140 |
||||||||
Skandinaviska Enskilda Banken AB, 6.875% to 6/30/27 (Sweden) (a)(b)(c)(e)(f) |
1,600,000 |
1,561,000 |
||||||||
Societe Generale SA, 6.75% to 4/6/28 (France) (a)(c)(e)(g) |
2,400,000 |
2,145,893 |
Principal Amount* |
Value |
|||||||||||
Societe Generale SA, 7.875% to 1/18/29, Series EMTN (France) (a)(c)(e)(f) |
EUR |
2,900,000 |
$ |
3,193,144 |
||||||||
Societe Generale SA, 8.00% to 9/29/25 (France) (a)(c)(e)(g) |
3,200,000 |
3,209,779 |
||||||||||
Societe Generale SA, 9.375% to 11/22/27 (France) (a)(c)(e)(g) |
8,200,000 |
8,366,575 |
||||||||||
Societe Generale SA, 10.00% to 11/14/28 (France) (a)(c)(e)(g) |
7,400,000 |
7,771,613 |
||||||||||
State Street Corp., 6.70% to 3/15/29, Series I (a)(c) |
15,730,000 |
15,782,559 |
||||||||||
Stichting AK Rabobank Certificaten, 6.50% (Netherlands) (a)(f) |
EUR |
30,500,000 |
34,604,344 |
|||||||||
Swedbank AB, 7.625% to 3/17/28 (Sweden) (a)(b)(c)(e)(f) |
1,800,000 |
1,768,001 |
||||||||||
Swedbank AB, 7.75% to 3/17/30 (Sweden) (a)(c)(e)(f) |
4,200,000 |
4,126,706 |
||||||||||
Toronto-Dominion Bank, 8.125% to 10/31/27, due 10/31/82 (Canada) (b)(c) |
13,775,000 |
14,199,311 |
||||||||||
Truist Financial Corp., 4.95% to 9/1/25, Series P (a)(b)(c) |
8,735,000 |
8,509,985 |
||||||||||
Truist Financial Corp., 5.10% to 3/1/30, Series Q (a)(b)(c) |
11,568,000 |
10,508,009 |
||||||||||
Truist Financial Corp., 5.125% to 12/15/27, Series M (a)(b)(c) |
2,239,000 |
2,010,601 |
||||||||||
UBS Group AG, 6.875% to 8/7/25 (Switzerland) (a)(c)(e)(f) |
10,100,000 |
9,950,439 |
||||||||||
UBS Group AG, 9.25% to 11/13/28 (Switzerland) (a)(c)(e)(g) |
9,800,000 |
10,483,344 |
||||||||||
UBS Group AG, 9.25% to 11/13/33 (Switzerland) (a)(c)(e)(g) |
12,600,000 |
13,859,836 |
||||||||||
U.S. Bancorp, 3.70% to 1/15/27, Series N (a)(b)(c) |
5,452,000 |
4,705,509 |
||||||||||
U.S. Bancorp, 5.30% to 4/15/27, Series J (a)(b)(c) |
6,162,000 |
5,791,390 |
||||||||||
Wells Fargo & Co., 3.90% to 3/15/26, Series BB (a)(c) |
28,835,000 |
27,367,675 |
||||||||||
Wells Fargo & Co., 5.90% to 6/15/24, Series S (a)(c) |
16,000 |
15,972 |
||||||||||
Wells Fargo & Co., 7.625% to 9/15/28 (a)(c) |
36,756,000 |
38,525,140 |
||||||||||
866,305,123 |
||||||||||||
Principal Amount* |
Value |
|||||||||||
C ONSUMER DISCRETIONARY PRODUCTS |
0.2% |
|||||||||||
Volkswagen International Finance NV, 7.50% to 9/6/28, Series PNC5 (Germany) (a)(b)(c)(f) |
EUR |
1,900,000 |
$ |
2,186,621 |
||||||||
E NERGY |
2.2% |
|||||||||||
BP Capital Markets PLC, 3.625% to 3/22/29 (a)(b)(c)(f) |
EUR |
8,000,000 |
8,132,965 |
|||||||||
BP Capital Markets PLC, 4.875% to 3/22/30 (a)(b)(c) |
5,492,000 |
5,146,940 |
||||||||||
BP Capital Markets PLC, 6.45% to 12/1/33 (a)(b)(c) |
10,950,000 |
11,074,620 |
||||||||||
24,354,525 |
||||||||||||
F INANCIAL SERVICES |
2.7% |
|||||||||||
American Express Co., 3.55% to 9/15/26, Series D (a)(c) |
3,381,000 |
3,093,231 |
||||||||||
Apollo Management Holdings LP, 4.95% to 12/17/24, due 1/14/50 (b)(c)(g) |
5,000,000 |
4,804,525 |
||||||||||
ARES Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51 (b)(c)(g) |
3,950,000 |
3,649,631 |
||||||||||
Discover Financial Services, 5.50% to 10/30/27, Series C (a)(c) |
6,776,000 |
5,695,258 |
||||||||||
Discover Financial Services, 6.125% to 6/23/25, Series D (a)(c) |
8,394,000 |
8,414,543 |
||||||||||
ILFC E-Capital Trust II, 7.395% (3 Month USD Term SOFR + 2.062%), due 12/21/65 (TruPS)(g)(i) |
5,352,000 |
4,330,726 |
||||||||||
29,987,914 |
||||||||||||
I NSURANCE |
14.5% |
|||||||||||
Argentum Netherlands BV for Swiss Re Ltd., 5.625% to 8/15/27, due 8/15/52 (Switzerland) (b)(c)(f) |
10,900,000 |
10,699,712 |
||||||||||
Argentum Netherlands BV for Swiss Re Ltd., 5.75% to 8/15/25, due 8/15/50 (Netherlands) (b)(c)(f) |
6,350,000 |
6,271,044 |
||||||||||
Athora Netherlands NV, 7.00% to 6/19/25 (Netherlands) (a)(c)(e)(f) |
EUR |
5,030,000 |
5,337,475 |
|||||||||
Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52 (b)(c) |
7,175,000 |
7,105,286 |
||||||||||
Enstar Finance LLC, 5.50% to 1/15/27, due 1/15/42 (b)(c) |
5,970,000 |
5,665,083 |
||||||||||
Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40 (b)(c) |
6,300,000 |
6,157,586 |
||||||||||
Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51 (c)(g) |
7,910,000 |
6,992,869 |
Principal Amount* |
Value |
|||||||||||
Lancashire Holdings Ltd., 5.625% to 3/18/31, due 9/18/41 (United Kingdom) (b)(c)(f) |
7,100,000 |
$ |
6,321,968 |
|||||||||
Liberty Mutual Group, Inc., 4.125% to 9/15/26, due 12/15/51 (c)(g) |
2,023,000 |
1,846,200 |
||||||||||
Lincoln National Corp., 9.25% to 12/1/27, Series C (a)(c) |
14,850,000 |
15,860,468 |
||||||||||
Markel Group, Inc., 6.00% to 6/1/25 (a)(c) |
3,007,000 |
2,987,417 |
||||||||||
MetLife Capital Trust IV, 7.875%, due 12/15/37 (TruPS) (b)(g) |
7,800,000 |
8,271,229 |
||||||||||
MetLife, Inc., 9.25%, due 4/8/38 (b)(g) |
5,500,000 |
6,333,630 |
||||||||||
Nippon Life Insurance Co., 5.95% to 4/16/34, due 4/16/54 (Japan) (b)(c)(g) |
9,200,000 |
8,951,336 |
||||||||||
Phoenix Group Holdings PLC, 5.625% to 1/29/25 (United Kingdom) (a)(c)(e)(f) |
3,000,000 |
2,921,220 |
||||||||||
Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52 (b)(c) |
7,936,000 |
7,686,581 |
||||||||||
Prudential Financial, Inc., 6.50% to 12/15/33, due 3/15/54 (b)(c) |
9,405,000 |
9,289,826 |
||||||||||
Prudential Financial, Inc., 6.75% to 12/1/32, due 3/1/53 (b)(c) |
5,785,000 |
5,910,297 |
||||||||||
Rothesay Life PLC, 4.875% to 4/13/27, Series NC6 (United Kingdom) (a)(c)(e)(f) |
5,200,000 |
4,442,214 |
||||||||||
SBL Holdings, Inc., 6.50% to 11/13/26 (a)(c)(g) |
6,190,000 |
4,859,006 |
||||||||||
SBL Holdings, Inc., 7.00% to 5/13/25 (a)(c)(g) |
5,013,000 |
4,231,941 |
||||||||||
Sumitomo Life Insurance Co., 5.875% to 1/18/34 (Japan) (a)(b)(c)(g) |
11,400,000 |
10,946,049 |
||||||||||
Voya Financial, Inc., 7.758% to 9/15/28, Series A (a)(c) |
9,575,000 |
9,755,671 |
||||||||||
Zurich Finance Ireland Designated Activity Co., 3.00% to 1/19/31, due 4/19/51, Series EMTN (Switzerland) (b)(c)(f) |
4,600,000 |
3,740,518 |
||||||||||
162,584,626 |
||||||||||||
Principal Amount* |
Value |
|||||||||||
P IPELINES |
9.4% |
|||||||||||
Enbridge, Inc., 5.50% to 7/15/27, due 7/15/77, Series 2017-A (Canada)(c) |
1,900,000 |
$ |
1,753,640 |
|||||||||
Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series 20-A (Canada)(c) |
4,772,000 |
4,377,692 |
||||||||||
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(c) |
2,421,000 |
2,294,438 |
||||||||||
Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada) (c) |
8,605,000 |
8,044,651 |
||||||||||
Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada )(c) |
3,512,000 |
3,452,391 |
||||||||||
Enbridge, Inc., 7.625% to 10/15/32, due 1/15/83 (Canada) (c) |
10,208,000 |
10,188,645 |
||||||||||
Enbridge, Inc., 8.25% to 10/15/28, due 1/15/84, Series NC5 (Canada) (c) |
15,005,000 |
15,395,160 |
||||||||||
Enbridge, Inc., 8.50% to 10/15/33, due 1/15/84 (Canada) (c) |
13,710,000 |
14,498,983 |
||||||||||
Energy Transfer LP, 6.50% to 11/15/26, Series H (a) (c) |
5,355,000 |
5,209,600 |
||||||||||
Energy Transfer LP, 6.625% to 2/15/28, Series B (a)(c) |
573,000 |
528,491 |
||||||||||
Energy Transfer LP, 7.125% to 5/15/30, Series G (a)(c) |
9,896,000 |
9,526,034 |
||||||||||
Energy Transfer LP, 8.00% to 2/15/29, due 5/15/54 (c) |
5,230,000 |
5,390,263 |
||||||||||
Enterprise Products Operating LLC, 8.38% (3 Month USD Term SOFR + 3.039%), due 6/1/67 (b)(i) |
1,500,000 |
1,477,290 |
||||||||||
Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada) (c) |
7,972,000 |
7,219,943 |
||||||||||
Transcanada Trust, 5.60% to 12/7/31, due 3/7/82 (Canada) (c) |
16,505,000 |
14,456,269 |
||||||||||
Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(c) |
1,219,000 |
1,171,644 |
||||||||||
104,985,134 |
||||||||||||
Principal Amount* |
Value |
|||||||||||
R EAL ESTATE |
1.9% |
|||||||||||
Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80 (Australia) (b)(c)(g) |
9,600,000 |
$ |
8,766,279 |
|||||||||
Unibail - Rodamco-Westfield SE, 7.25% to 7/3/28 (France) (a)(c)(f) |
EUR |
11,100,000 |
12,396,075 |
|||||||||
21,162,354 |
||||||||||||
R ETAIL & WHOLESALE —STAPLES |
0.3% |
|||||||||||
Land O’ Lakes, Inc., 7.00% (a)(g) |
3,600,000 |
2,799,000 |
||||||||||
Land O’ Lakes, Inc., 7.25% (a)(g) |
1,600,000 |
1,288,000 |
||||||||||
4,087,000 |
||||||||||||
T ELECOMMUNICATIONS |
0.7% |
|||||||||||
Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom) (c) |
2,875,000 |
2,921,506 |
||||||||||
Vodafone Group PLC, 8.00% to 5/30/31, due 8/30/86, Series EMTN (United Kingdom) (c)(f) |
GBP |
3,500,000 |
4,665,558 |
|||||||||
7,587,064 |
||||||||||||
U TILITIES |
14.1% |
|||||||||||
Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82 (Canada) (c) |
14,372,000 |
12,479,062 |
||||||||||
APA Infrastructure Ltd., 7.125% to 11/9/28, due 11/9/83, Series EMTN (Australia) (c)(f) |
EUR |
5,200,000 |
5,927,499 |
|||||||||
CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50 (c) |
2,000,000 |
1,808,904 |
||||||||||
Dominion Energy, Inc., 4.35% to 1/15/27, Series C (a)(c) |
16,640,000 |
15,319,461 |
||||||||||
Edison International, 5.00% to 12/15/26, Series B (a)(c) |
3,459,000 |
3,259,085 |
||||||||||
Edison International, 7.875% to 3/15/29, due 6/15/54 (c) |
5,020,000 |
5,113,954 |
||||||||||
Electricite de France SA, 5.375% to 1/29/25, Series EMTN (France) (a)(b)(c)(f) |
EUR |
6,000,000 |
6,408,454 |
|||||||||
Electricite de France SA, 6.00% to 1/29/26, Series EMTN (France) (a)(b)(c)(f) |
GBP |
13,400,000 |
16,390,340 |
|||||||||
Electricite de France SA, 7.50% to 9/6/28, Series EMTN (France) (a)(b)(c)(f) |
EUR |
4,400,000 |
5,132,264 |
|||||||||
Electricite de France SA, 9.125% to 3/15/33 (France) (a)(b)(c)(g) |
4,600,000 |
5,006,424 |
Principal Amount* |
Value |
|||||||||||
Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(b)(c) |
17,966,000 |
$ |
17,828,526 |
|||||||||
Enel SpA, 6.625% to 4/16/31, Series EMTN (Italy) (a)(c)(f) |
EUR |
4,600,000 |
5,311,194 |
|||||||||
NextEra Energy Capital Holdings, Inc., 3.80% to 3/15/27, due 3/15/82 (b)(c) |
1,250,000 |
1,137,041 |
||||||||||
NextEra Energy Capital Holdings, Inc., 6.70% to 6/1/29, due 9/1/54 (b)(c) |
12,720,000 |
12,606,811 |
||||||||||
Sempra, 4.125% to 1/1/27, due 4/1/52 (b)(c) |
10,653,000 |
9,686,436 |
||||||||||
Sempra, 4.875% to 10/15/25 (a)(c) |
10,985,000 |
10,714,809 |
||||||||||
Sempra, 6.875% to 7/1/29, due 10/1/54 (b)(c) |
12,190,000 |
12,067,062 |
||||||||||
Southern California Edison Co., 9.767% (3 Month USD Term SOFR + 4.461%), Series E (a)(i) |
12,175,000 |
12,231,867 |
||||||||||
158,429,193 |
||||||||||||
T OTAL PREFERRED SECURITIES —OVER - THE -C OUNTER (Identified cost—$1,404,928,968) |
1,381,669,554 |
|||||||||||
Shares |
||||||||||||
S HORT -TERM INVESTMENTS |
0.2% |
|||||||||||
M ONEY MARKET FUNDS |
||||||||||||
State Street Institutional Treasury Plus Money Market Fund, Premier Class, 5.24% (j) |
1,163,519 |
1,163,519 |
||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 5.25% (j) |
1,164,000 |
1,164,000 |
||||||||||
T OTAL SHORT -TERM INVESTMENTS (Identified cost—$2,327,519) |
2,327,519 |
|||||||||||
T OTAL INVESTMENTS IN SECURITIES (Identified cost—$1,737,605,251) |
150.6% |
1,687,013,805 |
||||||||||
L IABILITIES IN EXCESS OF OTHER ASSETS |
(50.6) |
(566,830,774 |
) | |||||||||
N ET ASSETS (Equivalent to $20.27 per share based on 55,273,457 shares of common stock outstanding) |
100.0% |
$ |
1,120,183,031 |
|||||||||
Notional Amount |
Fixed Rate Payable |
Fixed Payment Frequency |
Floating Rate Receivable (resets monthly) |
Floating Payment Frequency |
Maturity Date |
Value |
Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
$ |
125,000,000 |
0.270% |
Monthly |
5.434% (k) |
Monthly |
12/20/24 |
$ |
4,223,629 |
$ |
10,068 |
$ |
4,233,697 |
||||||||||||||||||||
35,000,000 |
0.249% |
Monthly |
5.434% (k) |
Monthly |
12/20/24 |
1,187,403 |
2,615 |
1,190,018 |
||||||||||||||||||||||||
125,000,000 |
0.360% |
Monthly |
5.434% (k) |
Monthly |
12/20/25 |
9,586,241 |
18,697 |
9,604,938 |
||||||||||||||||||||||||
35,000,000 |
0.349% |
Monthly |
5.434% (k) |
Monthly |
12/20/25 |
2,690,297 |
4,334 |
2,694,631 |
||||||||||||||||||||||||
160,000,000 |
0.464% |
Monthly |
5.434% (k) |
Monthly |
12/20/26 |
17,711,441 |
28,363 |
17,739,804 |
||||||||||||||||||||||||
70,000,000 |
0.930% |
Monthly |
5.434% (k) |
Monthly |
9/15/27 |
8,465,294 |
12,856 |
8,478,150 |
||||||||||||||||||||||||
GBP |
28,000,000 |
0.900% |
Monthly |
5.200% (l) |
Monthly |
9/15/27 |
3,853,447 |
— |
3,853,447 |
|||||||||||||||||||||||
$ |
47,717,752 |
$ |
76,933 |
$ |
47,794,685 |
|||||||||||||||||||||||||||
Counterparty |
Notional Amount |
Fixed Payable Rate |
Fixed Payment Frequency |
Underlying Reference Entity |
Position |
Maturity Date |
Value |
Premiums Paid |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||
BNP Paribas |
$ |
15,033,251 |
0.25% |
Monthly |
BNPXCHY5 Index (m) |
Short |
5/15/24 |
$ |
(46,517 |
) |
$ |
— |
$ |
(46,517 |
) | |||||||||||||||||||||
BNP Paribas |
EUR |
13,779,417 |
0.30% |
Monthly |
BNPXCEX5 Index (n) |
Short |
5/15/24 |
(53,869 |
) |
— |
(53,869 |
) | ||||||||||||||||||||||||
$ |
(100,386 |
) |
$ |
— |
$ |
(100,386 |
) | |||||||||||||||||||||||||||||
Counterparty |
Contracts to Deliver |
In Exchange For |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
Brown Brothers Harriman |
CAD |
8,506,000 |
USD |
6,287,142 |
5/2/24 |
$ |
108,274 |
|||||||||||||
Brown Brothers Harriman |
EUR |
149,167,080 |
USD |
161,292,872 |
5/2/24 |
2,101,682 |
||||||||||||||
Brown Brothers Harriman |
GBP |
12,411,535 |
USD |
15,681,912 |
5/2/24 |
173,077 |
||||||||||||||
Brown Brothers Harriman |
USD |
6,188,387 |
CAD |
8,506,000 |
5/2/24 |
(9,520 |
) | |||||||||||||
Brown Brothers Harriman |
USD |
159,361,158 |
EUR |
149,167,080 |
5/2/24 |
(169,968 |
) | |||||||||||||
Brown Brothers Harriman |
USD |
15,532,788 |
GBP |
12,411,535 |
5/2/24 |
(23,952 |
) | |||||||||||||
Brown Brothers Harriman |
CAD |
8,622,000 |
USD |
6,275,749 |
6/4/24 |
9,459 |
||||||||||||||
Brown Brothers Harriman |
EUR |
151,560,092 |
USD |
162,118,829 |
6/4/24 |
167,016 |
||||||||||||||
Brown Brothers Harriman |
GBP |
12,476,049 |
USD |
15,615,023 |
6/4/24 |
22,956 |
||||||||||||||
$ |
2,379,024 |
|||||||||||||||||||
CAD |
Canada Dollar | |
EMTN |
Euro Medium Term Note | |
EUR |
Euro Currency | |
GBP |
British Pound | |
OIS |
Overnight Indexed Swap | |
SOFR |
Secured Overnight Financing Rate | |
TruPS |
Trust Preferred Securities | |
USD |
United States Dollar |
* |
Amount denominated in U.S. dollars unless otherwise indicated. |
† |
Represents shares. |
(a) |
Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. |
(b) |
All or a portion of the security is pledged as collateral in connection with the Fund’s revolving credit agreement. $531,905,999 in aggregate has been pledged as collateral. |
(c) |
Security converts to floating rate after the indicated fixed–rate coupon period. |
(d) |
Non–income producing security. |
(e) |
Contingent Capital security (CoCo). CoCos are debt or preferred securities with loss absorption characteristics built into the terms of the security for the benefit of the issuer. Aggregate holdings amounted to $306,532,617 which represents 27.4% of the net assets of the Fund (17.8% of the managed assets of the Fund). |
(f) |
Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $253,983,185 which represents 22.7% of the net assets of the Fund, of which 0.0% are illiquid. |
(g) |
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold to qualified institutional buyers. Aggregate holdings amounted to $208,008,459 which represents 18.6% of the net assets of the Fund, of which 0.0% are illiquid. |
(h) |
Security is in default. |
(i) |
Variable rate. Rate shown is in effect at April 30, 2024. |
(j) |
Rate quoted represents the annualized seven–day yield. |
(k) |
Based on USD-SOFR-OIS. |
(l) |
Based on 1–Month GBP SONIA. Represents rates in effect at April 30, 2024. |
(m) |
The index intends to track the performance of the CDX.NA HY. The two constituent investments held within the index at April 30, 2024 were as follows: |
Investment |
Receive |
Frequency |
Payment |
Frequency |
Maturity Date |
Total Weight |
3/31/24 Price |
3/31/24 Value |
||||||||||||||||||||
Credit Default Swaps (CDS)—MARKIT CDX.NA.HY.42 Index |
5.00% per annum |
Quarterly |
Performance of CDS |
Semiannually |
12/20/28 |
100.30 |
% |
$ |
106.06 |
$ |
15,123,542 |
|||||||||||||||||
Cash |
— |
— |
— |
— |
— |
(0.30 |
) |
— |
(45,235 |
) |
(n) |
The index intends to track the performance of the iTraxx Crossover CDS. The two constituent investments held within the index at April 30, 2024 were as follows: |
Investment |
Receive |
Frequency |
Payment |
Frequency |
Maturity Date |
Total Weight |
3/31/24 Price |
3/31/24 Value |
||||||||||||||||||||
Credit Default Swaps (CDS)—MARKIT ITRX EUR XOVER Index |
5.00% per annum |
Quarterly |
Performance of CDS |
Semiannually |
12/20/28 |
100.83 |
% |
EUR 327.50 |
$ |
14,880,041 |
||||||||||||||||||
Cash |
— |
— |
— |
— |
(0.83 |
) |
— |
(122,488 |
) |
Country Summary |
% of Managed Assets |
|||
United States |
59.0 |
|||
Canada |
9.4 |
|||
France |
7.8 |
|||
United Kingdom |
6.7 |
|||
Netherlands |
3.6 |
|||
Switzerland |
2.9 |
|||
Spain |
2.4 |
|||
Germany |
1.2 |
|||
Japan |
1.2 |
|||
Italy |
1.1 |
|||
Ireland |
0.9 |
|||
Australia |
0.9 |
|||
Other (includes short-term investments) |
2.9 |
|||
100.0 |
||||
ASSETS: |
||||
Investments in securities, at value (Identified cost—$1,737,605,251) |
$ |
1,687,013,805 |
||
Cash |
111,201 |
|||
Cash collateral pledged for interest rate swap contracts |
7,304,683 |
|||
Foreign currency, at value (Identified cost—$1,534,181) |
1,533,206 |
|||
Receivable for: |
||||
Dividends and interest |
20,786,380 |
|||
Investment securities sold |
9,539,287 |
|||
Variation margin on interest rate swap contracts |
727,908 |
|||
Unrealized appreciation on forward foreign currency exchange contracts |
2,582,464 |
|||
Other assets |
92,299 |
|||
Total Assets |
1,729,691,233 |
|||
LIABILITIES: |
||||
Total return swap contracts, at value |
100,386 |
|||
Unrealized depreciation on forward foreign currency exchange contracts |
203,440 |
|||
Payable for: |
||||
Credit agreement (See Note 7) |
601,235,155 |
|||
Interest expense |
3,009,887 |
|||
Investment securities purchased |
2,093,473 |
|||
Investment management fees |
1,559,053 |
|||
Dividends and distributions declared |
1,001,660 |
|||
Administration fees |
93,543 |
|||
Trustees’ fees |
3,246 |
|||
Other liabilities |
208,359 |
|||
Total Liabilities |
609,508,202 |
|||
NET ASSETS applicable to 55,273,457 shares of $0.001 par value of common stock outstanding |
$ |
1,120,183,031 |
||
NET ASSETS consist of: |
||||
Paid-in capital |
$ |
1,358,462,941 |
||
Total distributable earnings/(accumulated loss) |
(238,279,910 |
) | ||
$ |
1,120,183,031 |
|||
NET ASSET VALUE PER SHARE: |
||||
($1,120,183,031 ÷ 55,273,457 shares outstanding) |
$ |
20.27 |
||
MARKET PRICE PER SHARE |
$ |
18.55 |
||
MARKET PRICE PREMIUM (DISCOUNT) TO NET ASSET VALUE PER SHARE |
(8.49 |
)% | ||
Investment Income: |
||||
Interest income |
$ |
39,277,147 |
||
Dividend income (net of $30,816 of foreign withholding tax) |
11,807,043 |
|||
Total Investment Income |
51,084,190 |
|||
Expenses: |
||||
Interest expense |
18,382,578 |
|||
Investment management fees |
8,482,265 |
|||
Administration fees |
580,336 |
|||
Professional fees |
54,601 |
|||
Shareholder reporting expenses |
47,266 |
|||
Trustees’ fees and expenses |
24,647 |
|||
Custodian fees and expenses |
20,504 |
|||
Transfer agent fees and expenses |
9,605 |
|||
Miscellaneous |
7,373 |
|||
Total Expenses |
27,609,175 |
|||
Net Investment Income (Loss) |
23,475,015 |
|||
Net Realized and Unrealized Gain (Loss): |
||||
Net realized gain (loss) on: |
||||
Investments in securities |
(26,492,160 |
) | ||
Interest rate swap contracts |
14,998,447 |
|||
Total return swap contracts |
(2,034,007 |
) | ||
Forward foreign currency exchange contracts |
(636,073 |
) | ||
Foreign currency transactions |
(69,387 |
) | ||
Net realized gain (loss) |
(14,233,180 |
) | ||
Net change in unrealized appreciation (depreciation) on: |
||||
Investments in securities |
148,627,402 |
|||
Interest rate swap contracts |
(10,773,114 |
) | ||
Total return swap contracts |
(206,244 |
) | ||
Forward foreign currency exchange contracts |
2,129,251 |
|||
Foreign currency translations |
(1,073,936 |
) | ||
Net change in unrealized appreciation (depreciation) |
138,703,359 |
|||
Net Realized and Unrealized Gain (Loss) |
124,470,179 |
|||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ |
147,945,194 |
||
For the Six Months Ended April 30, 2024 |
For the Year Ended October 31, 2023 |
|||||||
Change in Net Assets: |
||||||||
From Operations: |
||||||||
Net investment income (loss) |
$ |
23,475,015 |
$ |
43,545,877 |
||||
Net realized gain (loss) |
(14,233,180 |
) |
(92,417,891 |
) | ||||
Net change in unrealized appreciation (depreciation) |
138,703,359 |
45,262,342 |
||||||
Net increase (decrease) in net assets resulting from operations |
147,945,194 |
(3,609,672 |
) | |||||
Distributions to shareholders |
(44,439,859 |
) |
(81,766,289 |
) | ||||
Tax return of capital to shareholders |
— |
(6,671,242 |
) | |||||
Total distributions |
(44,439,859 |
) |
(88,437,531 |
) | ||||
Total increase (decrease) in net assets |
103,505,335 |
(92,047,203 |
) | |||||
Net Assets: |
||||||||
Beginning of period |
1,016,677,696 |
1,108,724,899 |
||||||
End of period |
$ |
1,120,183,031 |
$ |
1,016,677,696 |
||||
Increase (Decrease) in Cash: |
||||
Cash Flows from Operating Activities: |
||||
Net increase (decrease) in net assets resulting from operations |
$ |
147,945,194 |
||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: |
||||
Purchases of long-term investments |
(546,358,770 |
) | ||
Proceeds from sales and maturities of long-term investments |
505,333,245 |
|||
Net purchases, sales and maturities of short-term investments |
55,901,345 |
|||
Net amortization of premium on investments in securities |
4,652,883 |
|||
Net increase in dividends and interest receivable and other assets |
(1,449,151 |
) | ||
Net decrease in payable for collateral on option contracts |
(270,000 |
) | ||
Net increase in interest expense payable, accrued expenses and other liabilities |
7,668 |
|||
Net decrease in payable for variation margin on interest rate swap contracts |
(475,475 |
) | ||
Net change in unrealized appreciation on investments in securities |
(148,627,402 |
) | ||
Net change in unrealized depreciation on total return swap contracts |
206,244 |
|||
Net change in unrealized appreciation on forward foreign currency exchange contracts |
(2,129,251 |
) | ||
Net realized loss on investments in securities |
26,492,160 |
|||
Cash provided by operating activities |
41,228,690 |
|||
Cash Flows from Financing Activities: |
||||
Net increase in payable for revolving credit agreement* |
1,125,327 |
|||
Dividends and distributions paid |
(44,461,611 |
) | ||
Cash used for financing activities |
(43,336,284 |
) | ||
Increase (decrease) in cash and restricted cash |
(2,107,594 |
) | ||
Cash and restricted cash at beginning of period (including foreign currency) |
11,056,684 |
|||
Cash and restricted cash at end of period (including foreign currency) |
$ |
8,949,090 |
||
Cash |
$ |
111,201 |
||
Restricted cash |
7,304,683 |
|||
Foreign currency |
1,533,206 |
|||
Total cash and restricted cash shown on the Statement of Cash Flows |
$ |
8,949,090 |
||
* |
Amount represents mark-to-market increase on GBP portion of the credit agreement. |
For the Six Months Ended April 30, 2024 |
For the Year Ended October 31, |
For the Period October 28, 2020 (a) through October 31, 2020 |
||||||||||||||||||
Per Share Operating Data: |
2023 |
2022 |
2021 |
|||||||||||||||||
Net asset value, beginning of period |
$18.39 |
$20.06 |
$25.93 |
$24.99 |
$25.00 |
|||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||
Net investment income (loss) (b) |
0.42 |
0.79 |
1.04 |
1.02 |
(0.01 |
) | ||||||||||||||
Net realized and unrealized gain (loss) |
2.26 |
(0.86 |
) |
(5.20 |
) |
1.35 |
(0.00 |
) (c) | ||||||||||||
Total from investment operations |
2.68 |
(0.07 |
) |
(4.16 |
) |
2.37 |
(0.01 |
) | ||||||||||||
Less dividends and distributions to shareholders from: |
||||||||||||||||||||
Net investment income |
(0.80 |
) |
(1.48 |
) |
(1.51 |
) |
(1.42 |
) |
— |
|||||||||||
Net realized gain |
— |
— |
(0.11 |
) |
(0.01 |
) |
— |
|||||||||||||
Tax return of capital |
— |
(0.12 |
) |
(0.09 |
) |
— |
— |
|||||||||||||
Total dividends and distributions to shareholders |
(0.80 |
) |
(1.60 |
) |
(1.71 |
) |
(1.43 |
) |
— |
|||||||||||
Net increase (decrease) in net asset value |
1.88 |
(1.67 |
) |
(5.87 |
) |
0.94 |
(0.01 |
) | ||||||||||||
Net asset value, end of period |
$20.27 |
$18.39 |
$20.06 |
$25.93 |
$24.99 |
|||||||||||||||
Market value, end of period |
$18.55 |
$16.81 |
$17.59 |
$24.97 |
$25.00 |
|||||||||||||||
Total net asset value return (d) |
15.00 |
% (e) |
0.15 |
% |
-16.09 |
% |
9.77 |
% |
-0.04 |
% (e) | ||||||||||
Total market value return (d) |
15.13 |
% (e) |
4.40 |
% |
-23.59 |
% |
5.66 |
% |
0.00 |
% (e) | ||||||||||
For the Six Months Ended April 30, 2024 |
For the Year Ended October 31, |
For the Period October 28, 2020 (a) through October 31, 2020 |
||||||||||||||||||
Ratios/Supplemental Data: |
2023 |
2022 |
2021 |
|||||||||||||||||
Net assets, end of period (in millions) |
$1,120.2 |
$1,016.7 |
$1,108.7 |
$1,433.5 |
$1,249.6 |
|||||||||||||||
Ratios to average daily net assets: |
||||||||||||||||||||
Expenses |
5.03 |
% (f) |
4.99 |
% |
2.71 |
% |
2.01 |
% |
1.24 |
% (g) | ||||||||||
Expenses (excluding interest expense) |
1.68 |
% (f) |
1.73 |
% |
1.67 |
% |
1.61 |
% |
1.24 |
% (g) | ||||||||||
Net investment income (loss) |
4.28 |
% (f) |
4.02 |
% |
4.52 |
% |
3.97 |
% |
(1.22 |
)% (g) | ||||||||||
Ratio of expenses to average daily managed assets (h) |
3.25 |
% (f) |
3.15 |
% |
1.75 |
% |
1.40 |
% |
1.24 |
% (g) | ||||||||||
Portfolio turnover rate |
31 |
% (e) |
35 |
% |
41 |
% |
47 |
% |
0 |
% (e) | ||||||||||
Revolving Credit Agreement |
||||||||||||||||||||
Asset coverage ratio for revolving credit agreement |
286 |
% |
269 |
% |
262 |
% |
308 |