UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-8A/A
AMENDMENT TO AND ADOPTION OF
NOTIFICATION OF REGISTRATION FILED PURSUANT TO
SECTION 8(a) OF THE INVESTMENT COMPANY ACT OF 1940
The undersigned investment company, a Maryland corporation (the Registrant), hereby notifies the U.S. Securities and Exchange Commission that it is adopting as its own the registration of Pioneer High Income Trust, a Delaware statutory trust (the Predecessor Registrant), under and pursuant to the provisions of Section 8(a) of the Investment Company Act of 1940, as amended, in connection with the reorganization transaction between the Predecessor Registrant and the Registrant (the Reorganization) pursuant to which the Predecessor Registrant will merge with and into the Registrant, and the Predecessor Registrant will cease to exist and the Registrant will become the surviving entity. In connection with such amended notification of registration, the Registrant submits the following information:
Name: Pioneer High Income Fund, Inc.
Address of Principal Business Office (No. & Street, City, State, Zip Code)):
60 State Street, Boston, MA 02109
Telephone Number (including area code): (617) 742-7825
Name and address of agent for service of process:
Terrence J. Cullen, Esq.
Amundi Asset Management, Inc.
60 State Street
Boston, MA 02109-1820
Check Appropriate Box:
Registrant is filing a Registration Statement pursuant to Section 8(b) of the Investment Company Act of 1940 concurrently with the filing of Form N-8A: Yes ☐ No ☒
Item 1. Exact name of registrant.
Pioneer High Income Fund, Inc.
Item 2. Name of state under the laws of which registrant was organized or created and the date of such organization or creation.
The Registrant is a Maryland corporation. The Registrant filed its Articles of Incorporation with the Secretary of State of the State of Maryland on April 5, 2021.
Item 3. Form of organization of registrant.
Maryland corporation.
Item 4. Classification of registrant.
Management company.
Item 5. If registrant is a management company:
(a) State whether registrant is a closed-end company or an open-end company.
The Registrant is a closed-end management company.
(b) State whether registrant is registering as a diversified company or a non-diversified company.
The Registrant is registered as a diversified investment company for purposes of the Investment Company Act of 1940, as amended.
Item 6. Name and address of each investment adviser of registrant.
Amundi Asset Management US, Inc.
60 State Street
Boston, MA 02109-1820
Item 7. If registrant is an investment company having a board of directors, state the name and address of each officer and director of the registrant.
Directors
The address of each director is 60 State Street, Boston, MA 02109-1820.
Name |
Position with Registrant |
|
Thomas J. Perna | Chairman of the Board and Director | |
John E. Baumgardner, Jr. | Director | |
Diane Durnin | Director | |
Benjamin M. Friedman | Director | |
Lisa M. Jones | Director | |
Craig C. MacKay | Director | |
Lorraine H. Monchak | Director | |
Marguerite A. Piret | Director | |
Fred J. Ricciardi | Director | |
Kenneth J. Taubes | Director |
Officers
The address of each officer is 60 State Street, Boston, MA 02109-1820.
Name |
Position with Registrant |
|
Lisa M. Jones | President and Chief Executive Officer | |
Christopher J. Kelley | Secretary and Chief Legal Officer | |
Mark E. Bradley | Treasurer and Chief Financial and Accounting Officer | |
John Malone | Chief Compliance Officer | |
Anthony J. Koenig, Jr. | Assistant Treasurer | |
Luis I. Presutti | Assistant Treasurer | |
Gary Sullivan | Assistant Treasurer | |
Antonio Furtado | Assistant Treasurer | |
Carol B. Hannigan | Assistant Secretary | |
Thomas Reyes | Assistant Secretary | |
Kelly ODonnell | Anti-Money Laundering Officer |
Item 8. If registrant is an unincorporated investment company not having a board of directors.
Not applicable.
Item 9.
(a) State whether registrant is currently issuing and offering its securities directly to the public (yes or no).
No. Registrant is not currently issuing and offering its securities directly to the public.
(b) If registrant is currently issuing and offering its securities to the public through an underwriter, state the name and address of each such underwriter.
Not applicable.
(c) If the answer to Item 9(a) is no and the answer to Item 9(b) is not applicable, state whether registrant presently proposes to make a public offering of its securities (yes or no).
No. Registrant does not intend to make a public offering at an undetermined time in the future.
(d) State whether registrant has any securities currently issued and outstanding (yes or no).
Yes. As of the date hereof, Registrant has one share of common stock, $0.001 par value per share (the Common Stock), currently issued and outstanding.
(e) If the answer to Item 9(d) is yes, state as of a date not to exceed ten days prior to the filing of this notification of registration the number of beneficial owners of registrants outstanding securities (other than short-term paper) and the name of any company owning 10 percent or more of registrants outstanding voting securities.
As April 15, 2021, the number of beneficial owners of Registrants outstanding securities is 1. The name of the sole stockholder of the Registrants outstanding Common Stock is Amundi US, Inc.
Item 10. State the current value of registrants total assets.
The current value of Registrants total assets is $0. The Registrant was formed for the purpose of effecting the Reorganization and does not intend to commence operations prior to the consummation of the Reorganization.
Item 11. State whether registrant has applied or intends to apply for a license to operate as a small business investment company under the Small Business Investment Company Act of 1958 (yes or no).
No. Registrant has not applied and does not intend to apply for a license to operate as a small business investment company.
Item 12. Attach as an exhibit a copy of registrants last regular periodic report to its security holders, if any.
Please find attached as an exhibit to this amended Form N-8A, the Predecessor Registrants semi-annual report for the period ended September 30, 2020.
SIGNATURES
Pursuant to the requirements of the Investment Company Act of 1940, the Registrant has caused this notification of registration to be duly signed on its behalf in the City of Boston, Commonwealth of Massachusetts, on the 21st day of April, 2021.
Pioneer High Income Fund, Inc. | ||
By: |
/s/ Christopher Kelley |
|
Name: Christopher Kelley | ||
Title: Secretary |
Attest: |
/s/ Thomas J. Reyes |
|
Name: Thomas J. Reyes | ||
Title: Assistant Secretary |
|
|
2
|
|
4
|
|
10
|
|
11
|
|
12
|
|
13
|
|
36
|
|
42
|
|
63
|
|
64
|
|
69
|
10 Largest Holdings
|
|
|
(As a percentage of total investments)*
|
|
|
1.
|
Meritor, Inc., 7.875%, 3/1/26
|
1.37%
|
2.
|
Hanover Insurance Group, Inc., 7.625%, 10/15/25
|
1.35
|
3.
|
Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A)
|
1.32
|
4.
|
West Street Merger Sub, Inc., 6.375%, 9/1/25 (144A)
|
1.27
|
5.
|
Liberty Mutual Group, Inc., 10.75% (3 Month USD LIBOR + 712 bps),
|
|
|
6/15/58 (144A)
|
1.21
|
6.
|
Prime Security Services Borrower LLC/Prime Finance, Inc.,
|
|
|
6.25%, 1/15/28 (144A)
|
1.20
|
7.
|
Hercules LLC, 6.5%, 6/30/29
|
1.15
|
8.
|
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC,
|
|
|
7.875%, 2/15/25 (144A)
|
1.11
|
9.
|
Cardtronics, Inc./Cardtronics USA, Inc., 5.5%, 5/1/25 (144A)
|
1.10
|
10.
|
Enterprise Development Authority, 12.0%, 7/15/24 (144A)
|
1.07
|
*
|
Excludes temporary cash investments and all derivative contracts except for options purchased. The Trust is actively managed, and current holdings may be different. The holdings listed should
not be considered recommendations to buy or sell any securities.
|
Market Value per Share^
|
|
|
|
||
|
9/30/20
|
3/31/20
|
Market Value
|
$7.96
|
$6.42
|
Discount
|
(8.6)%
|
(11.4)%
|
Net Asset Value per Share^
|
|
|
|
||
|
9/30/20
|
3/31/20
|
Net Asset Value
|
$8.71
|
$7.25
|
Distributions per Share*: 4/1/20–9/30/20
|
|
|
|
||
Net Investment
|
Short-Term
|
Long-Term
|
Income
|
Capital Gains
|
Capital Gains
|
$0.4050
|
$ —
|
$ —
|
Yields
|
|
|
|
||
|
9/30/20
|
3/31/20
|
30-Day SEC Yield
|
9.08%
|
16.06%
|
^
|
Net asset value and market value are published in Barron’s on Saturday, The Wall Street Journal
on Monday and The New York Times on Monday and Saturday. Net asset value and market value are published daily on the Trust’s website at www.amundipioneer.com/us.
|
*
|
The amount of distributions made to shareowners during the period was in excess of the net investment income earned by the Trust during the period.
|
Average Annual Total Returns
|
|
||
(As of September 30, 2020)
|
|
||
|
|||
|
Net
|
|
ICE BofA
|
|
Asset
|
|
U.S. High
|
|
Value
|
Market
|
Yield
|
Period
|
(NAV)
|
Price
|
Index
|
10 years
|
5.67%
|
2.89%
|
6.28%
|
5 years
|
5.92
|
4.39
|
6.61
|
1 year
|
-3.61
|
-4.64
|
2.30
|
Shares
|
|
Value
|
|
|
UNAFFILIATED ISSUERS — 137.4%
|
|
|
COMMON STOCKS — 0.3% of Net Assets
|
|||
|
Automobiles & Components — 0.0%†
|
|
|
827
|
Lear Corp.
|
$ 90,185
|
|
|
Total Automobiles & Components
|
$ 90,185
|
|
|
Construction & Engineering — 0.0%†
|
|
|
1,307,384(a)
|
Abengoa SA, Class B
|
$ 9,498
|
|
|
Total Construction & Engineering
|
$ 9,498
|
|
|
Entertainment — 0.0%†
|
|
|
6,200
|
AMC Entertainment Holdings, Inc.
|
$ 29,202
|
|
|
Total Entertainment
|
$ 29,202
|
|
|
Oil, Gas & Consumable Fuels — 0.2%
|
|
|
21
|
Amplify Energy Corp.
|
$ 18
|
|
65,597^(a)
|
PetroQuest Energy, Inc.
|
36,078
|
|
20,000(a)
|
Whiting Petroleum Corp.
|
345,800
|
|
|
Total Oil, Gas & Consumable Fuels
|
$ 381,896
|
|
|
Pharmaceuticals — 0.1%
|
|
|
19,026(a)
|
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
|
$ 171,424
|
|
|
Total Pharmaceuticals
|
$ 171,424
|
|
|
Specialty Retail — 0.0%†
|
|
|
68,241+^(a)
|
Targus Cayman SubCo., Ltd.
|
$ 90,078
|
|
|
Total Specialty Retail
|
$ 90,078
|
|
|
TOTAL COMMON STOCKS
|
|
|
|
(Cost $2,856,294)
|
$ 772,283
|
|
|
CONVERTIBLE PREFERRED STOCK — 0.8% of
|
|
|
|
Net Assets
|
|
|
|
Banks — 0.8%
|
|
|
1,600(b)
|
Wells Fargo & Co., 7.5%
|
$ 2,147,280
|
|
|
Total Banks
|
$ 2,147,280
|
|
|
TOTAL CONVERTIBLE PREFERRED STOCK
|
|
|
|
(Cost $2,022,424)
|
$ 2,147,280
|
|
|
PREFERRED STOCKS — 2.6% of Net Assets
|
|
|
|
Banks — 1.3%
|
|
|
132,750(c)
|
GMAC Capital Trust I, 6.065% (3 Month USD LIBOR +
|
|
|
|
579 bps), 2/15/40
|
$ 3,314,767
|
|
|
Total Banks
|
$ 3,314,767
|
|
|
Diversified Financial Services — 1.2%
|
|
|
3,000(b)(c)
|
Compeer Financial ACA, 6.75% (3 Month USD LIBOR +
|
|
|
|
458 bps) (144A)
|
$ 3,195,000
|
|
|
Total Diversified Financial Services
|
$ 3,195,000
|
Shares
|
|
Value
|
||
|
Internet — 0.1%
|
|
|
|
152,183(a)
|
MYT Holding Co.
|
$ 146,857
|
||
|
Total Internet
|
$ 146,857
|
||
|
TOTAL PREFERRED STOCKS
|
|
|
|
|
(Cost $6,600,252)
|
$ 6,656,624
|
Principal
|
|
|
|
|
Amount
|
|
|
|
|
USD ($)
|
|
|
|
|
ASSET BACKED SECURITY — 0.1% of
|
||||
|
Net Assets
|
|
|
|
300,000
|
InSite Issuer LLC, Series 2016-1A, Class C, 6.414%,
|
|
|
|
|
11/15/46 (144A)
|
$ 306,295
|
||
|
TOTAL ASSET BACKED SECURITY
|
|
|
|
|
(Cost $300,000)
|
$ 306,295
|
||
|
COLLATERALIZED MORTGAGE OBLIGATIONS —
|
|
|
|
|
1.5% of Net Assets
|
|
|
|
4,100,000(d)
|
Connecticut Avenue Securities Trust, Series 2019-HRP1,
|
|
|
|
|
Class B1, 9.398% (1 Month USD LIBOR +
|
|
|
|
|
925 bps), 11/25/39 (144A)
|
$ 3,185,569
|
||
790,000(d)
|
Connecticut Avenue Securities Trust, Series 2019-R04,
|
|
|
|
|
Class 2B1, 5.398% (1 Month USD LIBOR +
|
|
|
|
|
525 bps), 6/25/39 (144A)
|
|
711,149
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|
|
|
|
(Cost $4,890,000)
|
$ 3,896,718
|
||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
|
|
||
|
3.6% of Net Assets
|
|
|
|
710,000(d)
|
Freddie Mac Stacr Trust, Series 2019-HQA1, Class B2,
|
|
|
|
|
12.398% (1 Month USD LIBOR +
|
|
|
|
|
1,225 bps), 2/25/49 (144A)
|
$ 685,180
|
||
530,000(d)
|
Freddie Mac Stacr Trust, Series 2019-HQA2, Class B2,
|
|
|
|
|
11.398% (1 Month USD LIBOR +
|
|
|
|
|
1,125 bps), 4/25/49 (144A)
|
|
496,910
|
|
1,941,646(c)
|
FREMF Mortgage Trust, Series 2019-KJ24, Class B, 7.6%,
|
|
|
|
|
10/25/27 (144A)
|
|
1,627,857
|
|
1,500,000(d)
|
FREMF Mortgage Trust, Series 2019-KS12, Class C,
|
|
|
|
|
7.045% (1 Month USD LIBOR + 690 bps), 8/25/29
|
|
1,005,000
|
|
1,499,492(d)
|
FREMF Mortgage Trust, Series 2020-KF74, Class C,
|
|
|
|
|
6.387% (1 Month USD LIBOR + 623 bps), 1/25/27 (144A)
|
|
1,442,647
|
|
1,500,000(d)
|
FREMF Mortgage Trust, Series 2020-KF83, Class C,
|
|
|
|
|
9.157% (1 Month USD LIBOR + 900 bps), 7/25/30 (144A)
|
|
1,450,969
|
|
991,215
|
L1C 3/8L1 LLC, Series 2019-1, Class B, 8.5%,
|
|
|
|
|
11/1/22 (144A)
|
|
953,528
|
|
2,500,000
|
Wells Fargo Commercial Mortgage Trust, Series
|
|
|
|
|
2015-C28, Class E, 3.0%, 5/15/48 (144A)
|
|
1,386,241
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|
|
|
|
(Cost $10,503,901)
|
$ 9,048,332
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Airlines — (continued)
|
|
|
1,380,000
|
Mileage Plus Holdings LLC/Mileage Plus Intellectual
|
|
|
|
Property Assets, Ltd., 6.5%, 6/20/27 (144A)
|
$ 1,436,925
|
|
EUR 1,400,000
|
Transportes Aereos Portugueses SA, 5.625%,
|
|
|
|
12/2/24 (144A)
|
1,000,737
|
|
|
Total Airlines
|
$ 4,050,666
|
|
|
Auto Manufacturers — 1.9%
|
|
|
1,399,000
|
General Motors Co., 6.125%, 10/1/25
|
$ 1,625,161
|
|
1,895,000
|
JB Poindexter & Co., Inc., 7.125%, 4/15/26 (144A)
|
2,009,420
|
|
1,190,000
|
Navistar International Corp., 9.5%, 5/1/25 (144A)
|
1,340,856
|
|
|
Total Auto Manufacturers
|
$ 4,975,437
|
|
|
Auto Parts & Equipment — 2.0%
|
|
|
2,000,000
|
American Axle & Manufacturing, Inc., 6.5%, 4/1/27
|
$ 1,935,000
|
|
1,683,000
|
Dealer Tire LLC/DT Issuer LLC, 8.0%, 2/1/28 (144A)
|
1,716,660
|
|
1,195,000
|
Goodyear Tire & Rubber Co., 9.5%, 5/31/25
|
1,296,575
|
|
|
Total Auto Parts & Equipment
|
$ 4,948,235
|
|
|
Banks — 6.1%
|
|
|
825,000
|
Access Bank Plc, 10.5%, 10/19/21 (144A)
|
$ 849,750
|
|
600,000(b)(c)
|
Bank of America Corp., 6.5% (3 Month USD LIBOR +
|
|
|
|
417 bps)
|
666,900
|
|
1,800,000(b)(c)
|
Barclays Plc, 7.75% (5 Year USD Swap Rate + 484 bps)
|
1,859,940
|
|
700,000(b)(c)
|
Credit Suisse Group AG, 7.5% (5 Year USD Swap Rate +
|
|
|
|
460 bps) (144A)
|
763,000
|
|
1,931,000
|
Freedom Mortgage Corp., 8.125%, 11/15/24 (144A)
|
1,926,173
|
|
2,147,000
|
Freedom Mortgage Corp., 8.25%, 4/15/25 (144A)
|
2,189,478
|
|
675,000(b)(c)
|
Intesa Sanpaolo S.p.A., 7.7% (5 Year USD Swap Rate +
|
|
|
|
546 bps) (144A)
|
708,750
|
|
2,250,000(b)(c)
|
Natwest Group Plc, 8.625% (5 Year USD Swap Rate +
|
|
|
|
760 bps)
|
2,306,250
|
|
3,415,000
|
Provident Funding Associates LP/PFG Finance Corp.,
|
|
|
|
6.375%, 6/15/25 (144A)
|
3,304,012
|
|
980,000(b)(c)
|
Societe Generale SA, 7.375% (5 Year USD Swap Rate +
|
|
|
|
624 bps) (144A)
|
1,004,500
|
|
|
Total Banks
|
$ 15,578,753
|
|
|
Building Materials — 1.9%
|
|
|
1,491,000
|
Builders FirstSource, Inc., 6.75%, 6/1/27 (144A)
|
$ 1,597,234
|
|
470,000
|
Cornerstone Building Brands, Inc., 6.125%,
|
|
|
|
1/15/29 (144A)
|
476,058
|
|
2,062,000
|
Patrick Industries, Inc., 7.5%, 10/15/27 (144A)
|
2,237,270
|
|
140,000
|
Summit Materials LLC/Summit Materials Finance Corp.,
|
|
|
|
5.125%, 6/1/25 (144A)
|
141,925
|
|
150,000
|
Summit Materials LLC/Summit Materials Finance Corp.,
|
|
|
|
5.25%, 1/15/29 (144A)
|
156,188
|
|
|
Total Building Materials
|
$ 4,608,675
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Chemicals — 4.5%
|
|
|
36,000
|
Blue Cube Spinco LLC, 9.75%, 10/15/23
|
$ 37,125
|
|
210,000
|
Blue Cube Spinco LLC, 10.0%, 10/15/25
|
222,075
|
|
1,272,000
|
Hexion, Inc., 7.875%, 7/15/27 (144A)
|
1,271,618
|
|
1,330,000
|
Kraton Polymers LLC/Kraton Polymers Capital Corp.,
|
|
|
|
7.0%, 4/15/25 (144A)
|
1,356,600
|
|
2,250,000
|
LYB Finance Co. BV, 8.1%, 3/15/27 (144A)
|
2,974,030
|
|
470,000
|
Olin Corp., 9.5%, 6/1/25 (144A)
|
547,832
|
|
2,316,000
|
Rain CII Carbon LLC/CII Carbon Corp., 7.25%,
|
|
|
|
4/1/25 (144A)
|
2,211,780
|
|
1,290,000
|
Tronox, Inc., 6.5%, 5/1/25 (144A)
|
1,344,825
|
|
1,634,000
|
Tronox, Inc., 6.5%, 4/15/26 (144A)
|
1,634,000
|
|
|
Total Chemicals
|
$ 11,599,885
|
|
|
Coal — 0.9%
|
|
|
2,429,000
|
SunCoke Energy Partners LP/SunCoke Energy Partners
|
|
|
|
Finance Corp., 7.5%, 6/15/25 (144A)
|
$ 2,191,006
|
|
|
Total Coal
|
$ 2,191,006
|
|
|
Commercial Services — 7.2%
|
|
|
350,000
|
Allied Universal Holdco LLC/Allied Universal Finance
|
|
|
|
Corp., 6.625%, 7/15/26 (144A)
|
$ 372,750
|
|
1,905,000
|
Allied Universal Holdco LLC/Allied Universal Finance
|
|
|
|
Corp., 9.75%, 7/15/27 (144A)
|
2,069,821
|
|
950,000
|
APX Group, Inc., 6.75%, 2/15/27 (144A)
|
985,625
|
|
3,850,000
|
Cardtronics, Inc./Cardtronics USA, Inc., 5.5%,
|
|
|
|
5/1/25 (144A)
|
3,850,000
|
|
1,025,000
|
Carriage Services, Inc., 6.625%, 6/1/26 (144A)
|
1,071,125
|
|
3,226,000
|
Garda World Security Corp., 9.5%, 11/1/27 (144A)
|
3,387,300
|
|
319,000
|
Herc Holdings, Inc., 5.5%, 7/15/27 (144A)
|
330,053
|
|
4,155,000
|
Prime Security Services Borrower LLC/Prime Finance,
|
|
|
|
Inc., 6.25%, 1/15/28 (144A)
|
4,206,938
|
|
1,093,000
|
Sotheby’s, 7.375%, 10/15/27 (144A)
|
1,093,000
|
|
862,000
|
Verscend Escrow Corp., 9.75%, 8/15/26 (144A)
|
937,244
|
|
|
Total Commercial Services
|
$ 18,303,856
|
|
|
Computers — 0.7%
|
|
|
555,000
|
Dell International LLC/EMC Corp., 7.125%,
|
|
|
|
6/15/24 (144A)
|
$ 577,305
|
|
175,000
|
Diebold Nixdorf, Inc., 9.375%, 7/15/25 (144A)
|
184,625
|
|
730,000
|
NCR Corp., 5.0%, 10/1/28 (144A)
|
730,584
|
|
155,000
|
NCR Corp., 8.125%, 4/15/25 (144A)
|
171,314
|
|
|
Total Computers
|
$ 1,663,828
|
|
|
Diversified Financial Services — 5.0%
|
|
|
2,305,000
|
Alliance Data Systems Corp., 7.0%, 1/15/26 (144A)
|
$ 2,293,705
|
|
2,150,000
|
ASG Finance Designated Activity Co., 7.875%,
|
|
|
|
12/3/24 (144A)
|
1,537,250
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
Diversified Financial Services — (continued)
|
|||
1,240,000
|
Avation Capital SA, 6.5%, 5/15/21 (144A)
|
$ 840,100
|
|
3,105,000
|
Credito Real SAB de CV SOFOM ER, 9.5%, 2/7/26 (144A)
|
3,006,416
|
|
2,072,500(f)
|
Global Aircraft Leasing Co., Ltd., 6.5% (7.25% PIK or 6.5%
|
|
|
|
cash), 9/15/24 (144A)
|
1,155,419
|
|
845,000
|
Nationstar Mortgage Holdings, Inc., 6.0%, 1/15/27 (144A)
|
861,359
|
|
1,000,000
|
Nationstar Mortgage Holdings, Inc., 9.125%,
|
|
|
|
7/15/26 (144A)
|
1,072,500
|
|
160,000
|
OneMain Finance Corp., 6.625%, 1/15/28
|
177,568
|
|
460,000
|
OneMain Finance Corp., 8.875%, 6/1/25
|
509,450
|
|
1,290,000
|
Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc.,
|
|
|
|
6.375%, 12/15/22 (144A)
|
1,257,750
|
|
|
Total Diversified Financial Services
|
$ 12,711,517
|
|
|
Electric — 3.3%
|
|
|
825,000
|
Cemig Geracao e Transmissao SA, 9.25%, 12/5/24 (144A)
|
$ 911,584
|
|
1,010,000(c)
|
Enel S.p.A., 8.75% (5 Year USD Swap Rate +
|
|
|
|
588 bps), 9/24/73 (144A)
|
1,178,852
|
|
2,240,000
|
NRG Energy, Inc., 6.625%, 1/15/27
|
2,368,800
|
|
950,000
|
NRG Energy, Inc., 7.25%, 5/15/26
|
1,011,057
|
|
1,251,784
|
NSG Holdings LLC/NSG Holdings, Inc., 7.75%,
|
|
|
|
12/15/25 (144A)
|
1,326,891
|
|
1,520,000
|
Talen Energy Supply LLC, 7.625%, 6/1/28 (144A)
|
1,520,000
|
|
6,000
|
Vistra Operations Co. LLC, 5.625%, 2/15/27 (144A)
|
6,331
|
|
|
Total Electric
|
$ 8,323,515
|
|
Electrical Components & Equipment — 0.5%
|
|||
750,000
|
WESCO Distribution, Inc., 7.125%, 6/15/25 (144A)
|
$ 816,975
|
|
520,000
|
WESCO Distribution, Inc., 7.25%, 6/15/28 (144A)
|
569,751
|
|
|
Total Electrical Components & Equipment
|
$ 1,386,726
|
|
|
Engineering & Construction — 1.1%
|
|
|
2,510,000
|
PowerTeam Services LLC, 9.033%, 12/4/25 (144A)
|
$ 2,644,913
|
|
635,968(g)
|
Stoneway Capital Corp., 10.0%, 3/1/27 (144A)
|
253,751
|
|
|
Total Engineering & Construction
|
$ 2,898,664
|
|
|
Entertainment — 6.6%
|
|
|
768,000
|
AMC Entertainment Holdings, Inc., 10.5%,
|
|
|
|
4/24/26 (144A)
|
$ 552,960
|
|
2,044,000(f)
|
AMC Entertainment Holdings, Inc., 12.0% (12.0% PIK
|
|
|
|
or 10.0% cash), 6/15/26 (144A)
|
572,320
|
|
1,085,000
|
Caesars Entertainment, Inc., 8.125%, 7/1/27 (144A)
|
1,150,100
|
|
2,250,000
|
Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%,
|
|
|
|
10/15/25 (144A)
|
2,176,875
|
|
EUR 1,025,000
|
Cirsa Finance International S.a.r.l., 6.25%,
|
|
|
|
12/20/23 (144A)
|
1,087,707
|
|
854,000
|
Cirsa Finance International S.a.r.l., 7.875%,
|
|
|
|
12/20/23 (144A)
|
787,815
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Entertainment — (continued)
|
|
|
1,040,000
|
Codere Finance 2 Luxembourg SA, 7.625%,
|
|
|
|
11/1/21 (144A)
|
$ 572,000
|
|
3,369,000
|
Enterprise Development Authority, 12.0%,
|
|
|
|
7/15/24 (144A)
|
3,756,435
|
|
395,000
|
International Game Technology Plc, 6.25%,
|
|
|
|
1/15/27 (144A)
|
423,637
|
|
656,000
|
International Game Technology Plc, 6.5%,
|
|
|
|
2/15/25 (144A)
|
697,820
|
|
1,910,000
|
Scientific Games International, Inc., 7.0%,
|
|
|
|
5/15/28 (144A)
|
1,914,675
|
|
1,910,000
|
Scientific Games International, Inc., 7.25%,
|
|
|
|
11/15/29 (144A)
|
1,938,650
|
|
571,000
|
Scientific Games International, Inc., 8.25%,
|
|
|
|
3/15/26 (144A)
|
596,175
|
|
230,000
|
SeaWorld Parks & Entertainment, Inc.,
|
|
|
|
9.5%, 8/1/25 (144A)
|
238,961
|
|
|
Total Entertainment
|
$ 16,466,130
|
|
|
Environmental Control — 1.9%
|
|
|
815,000
|
Covanta Holding Corp., 5.0%, 9/1/30
|
$ 822,579
|
|
1,691,000
|
Covanta Holding Corp., 6.0%, 1/1/27
|
1,758,640
|
|
2,521,000
|
Tervita Corp., 7.625%, 12/1/21 (144A)
|
2,300,412
|
|
|
Total Environmental Control
|
$ 4,881,631
|
|
|
Food — 3.8%
|
|
|
531,000
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons
|
|
|
|
LP/Albertsons LLC, 7.5%, 3/15/26 (144A)
|
$ 582,528
|
|
1,412,000
|
FAGE International SA/FAGE USA Dairy Industry, Inc.,
|
|
|
|
5.625%, 8/15/26 (144A)
|
1,355,520
|
|
775,000
|
JBS USA LUX SA/JBS USA Finance, Inc., 6.75%,
|
|
|
|
2/15/28 (144A)
|
842,750
|
|
625,000
|
JBS USA LUX SA/JBS USA Food Co./JBS USA
|
|
|
|
Finance, Inc., 6.5%,
|
|
|
|
4/15/29 (144A)
|
693,731
|
|
1,240,000
|
Minerva Luxembourg SA, 6.5%, 9/20/26 (144A)
|
1,286,500
|
|
2,310,000
|
Simmons Foods, Inc., 5.75%, 11/1/24 (144A)
|
2,312,402
|
|
2,618,000
|
Simmons Foods, Inc., 7.75%, 1/15/24 (144A)
|
2,742,355
|
|
|
Total Food
|
$ 9,815,786
|
|
|
Forest Products & Paper — 1.8%
|
|
|
1,655,000
|
Eldorado International Finance GmbH, 8.625%,
|
|
|
|
6/16/21 (144A)
|
$ 1,665,344
|
|
1,770,000
|
Mercer International, Inc., 7.375%, 1/15/25
|
1,792,125
|
|
831,000
|
Schweitzer-Mauduit International, Inc., 6.875%,
|
|
|
|
10/1/26 (144A)
|
876,705
|
|
|
Total Forest Products & Paper
|
$ 4,334,174
|
Principal
|
|
|
||
Amount
|
|
|
||
USD ($)
|
|
Value
|
||
|
|
Healthcare-Products — 0.5%
|
|
|
|
EUR 450,000
|
Avantor, Inc., 4.75%, 10/1/24 (144A)
|
$ 545,086
|
|
|
610,000
|
Varex Imaging Corp., 7.875%, 10/15/27 (144A)
|
631,350
|
|
|
|
Total Healthcare-Products
|
$ 1,176,436
|
|
|
|
Healthcare-Services — 4.5%
|
|
|
|
1,340,000
|
Centene Corp., 4.625%, 12/15/29
|
$ 1,445,404
|
|
|
580,000
|
LifePoint Health, Inc., 6.75%, 4/15/25 (144A)
|
610,450
|
|
|
2,396,000
|
Surgery Center Holdings, Inc., 10.0%, 4/15/27 (144A)
|
2,551,740
|
|
|
2,500,000
|
US Renal Care, Inc., 10.625%, 7/15/27 (144A)
|
2,650,000
|
|
|
4,357,000
|
West Street Merger Sub, Inc., 6.375%, 9/1/25 (144A)
|
4,443,225
|
|
|
|
Total Healthcare-Services
|
$ 11,700,819
|
|
|
|
Holding Companies-Diversified — 0.6%
|
|
|
|
1,580,000
|
VistaJet Malta Finance Plc/XO Management Holding,
|
|
|
|
|
Inc., 10.5%, 6/1/24 (144A)
|
$ 1,482,356
|
|
|
|
Total Holding Companies-Diversified
|
$ 1,482,356
|
|
|
|
Home Builders — 2.2%
|
|
|
|
475,000
|
Beazer Homes USA, Inc., 6.75%, 3/15/25
|
$ 490,437
|
|
|
1,155,000
|
Beazer Homes USA, Inc., 7.25%, 10/15/29
|
1,238,737
|
|
|
970,000
|
Brookfield Residential Properties, Inc./Brookfield
|
|
|
|
|
Residential US Corp., 4.875%, 2/15/30 (144A)
|
907,930
|
|
|
800,000
|
Brookfield Residential Properties, Inc./Brookfield
|
|
|
|
|
Residential US Corp., 6.375%, 5/15/25 (144A)
|
800,000
|
|
|
790,000
|
KB Home, 7.5%, 9/15/22
|
864,062
|
|
|
1,035,000
|
KB Home, 7.625%, 5/15/23
|
1,135,913
|
|
|
|
Total Home Builders
|
$ 5,437,079
|
|
|
|
Housewares — 0.1%
|
|
|
|
250,000
|
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25 (144A)
|
$ 263,750
|
|
|
|
Total Housewares
|
$ 263,750
|
|
|
|
Insurance — 6.0%
|
|
|
|
3,800,000
|
Hanover Insurance Group, Inc., 7.625%, 10/15/25
|
$ 4,732,013
|
|
|
3,075,000(c)
|
Liberty Mutual Group, Inc., 10.75% (3 Month USD LIBOR +
|
|
|
|
|
712 bps), 6/15/58 (144A)
|
4,253,421
|
|
|
3,000,000
|
Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A)
|
4,630,090
|
|
|
1,100,000
|
MetLife, Inc., 10.75%, 8/1/39
|
1,788,888
|
|
|
|
Total Insurance
|
$ 15,404,412
|
|
|
|
Internet — 0.3%
|
|
|
|
465,000
|
Expedia Group, Inc., 6.25%, 5/1/25 (144A)
|
$ 512,853
|
|
|
235,000
|
Expedia Group, Inc., 7.0%, 5/1/25 (144A)
|
254,168
|
|
|
|
Total Internet
|
$ 767,021
|
Principal
|
|
|
||
Amount
|
|
|
||
USD ($)
|
|
Value
|
||
|
|
Iron & Steel — 1.4%
|
|
|
|
1,840,000
|
Cleveland-Cliffs, Inc., 6.75%, 3/15/26 (144A)
|
$ 1,872,200
|
|
|
235,000
|
Cleveland-Cliffs, Inc., 9.875%, 10/17/25 (144A)
|
262,319
|
|
|
1,470,000
|
Commercial Metals Co., 5.375%, 7/15/27
|
1,550,409
|
|
|
|
Total Iron & Steel
|
$ 3,684,928
|
|
|
|
Leisure Time — 1.6%
|
|
|
|
285,000
|
Carnival Corp., 10.5%, 2/1/26 (144A)
|
$ 315,637
|
|
|
270,000
|
Royal Caribbean Cruises, Ltd., 9.125%, 6/15/23 (144A)
|
286,200
|
|
|
638,000
|
Royal Caribbean Cruises, Ltd., 11.5%, 6/1/25 (144A)
|
740,116
|
|
|
708,000
|
Viking Cruises, Ltd., 5.875%, 9/15/27 (144A)
|
550,470
|
|
|
2,790,000
|
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)
|
2,190,150
|
|
|
|
Total Leisure Time
|
$ 4,082,573
|
|
|
|
Lodging — 2.0%
|
|
|
|
880,000
|
Boyd Gaming Corp., 8.625%, 6/1/25 (144A)
|
$ 964,726
|
|
|
815,000
|
Hyatt Hotels Corp., 5.375%, 4/23/25
|
877,392
|
|
|
390,000
|
Hyatt Hotels Corp., 5.75%, 4/23/30
|
447,822
|
|
|
325,000
|
Marriott International, Inc., 5.75%, 5/1/25
|
362,707
|
|
|
1,700,000
|
MGM Resorts International, 6.0%, 3/15/23
|
1,763,589
|
|
|
725,000
|
Wyndham Destinations, Inc., 6.625%, 7/31/26 (144A)
|
759,517
|
|
|
|
Total Lodging
|
$ 5,175,753
|
|
|
|
Machinery-Diversified — 0.6%
|
|
|
|
1,517,000
|
Maxim Crane Works Holdings Capital LLC, 10.125%,
|
|
|
|
|
8/1/24 (144A)
|
$ 1,537,859
|
|
|
|
Total Machinery-Diversified
|
$ 1,537,859
|
|
|
|
Media — 2.6%
|
|
|
|
833,000
|
Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/24
|
$ 807,510
|
|
|
3,727,000
|
Diamond Sports Group LLC/Diamond Sports Finance
|
|
|
|
|
Co., 6.625%, 8/15/27 (144A)
|
1,940,369
|
|
|
303,000
|
Gray Television, Inc., 5.875%, 7/15/26 (144A)
|
314,362
|
|
|
1,057,000
|
Gray Television, Inc., 7.0%, 5/15/27 (144A)
|
1,145,933
|
|
|
EUR 890,000
|
Virgin Media Finance Plc, 3.75%, 7/15/30 (144A)
|
995,777
|
|
|
GBP 890,000
|
Virgin Media Vendor Financing Notes III DAC, 4.875%,
|
|
|
|
|
7/15/28 (144A)
|
1,156,283
|
|
|
|
Total Media
|
$ 6,360,234
|
|
|
|
Mining — 3.6%
|
|
|
|
1,500,000
|
Coeur Mining, Inc., 5.875%, 6/1/24
|
$ 1,496,250
|
|
|
375,000
|
First Quantum Minerals, Ltd., 6.875%, 3/1/26 (144A)
|
361,406
|
|
|
705,000
|
First Quantum Minerals, Ltd., 6.875%, 10/15/27 (144A)
|
679,444
|
|
|
1,750,000
|
First Quantum Minerals, Ltd., 7.25%, 4/1/23 (144A)
|
1,747,813
|
|
|
830,000
|
Hudbay Minerals, Inc., 6.125%, 4/1/29 (144A)
|
821,700
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Mining — (continued)
|
|
|
600,000
|
Hudbay Minerals, Inc., 7.25%, 1/15/23 (144A)
|
$ 611,280
|
|
1,236,000
|
Hudbay Minerals, Inc., 7.625%, 1/15/25 (144A)
|
1,257,630
|
|
1,140,000
|
Joseph T Ryerson & Son, Inc., 8.5%, 8/1/28 (144A)
|
1,199,850
|
|
1,000,000
|
Novelis Corp., 5.875%, 9/30/26 (144A)
|
1,027,500
|
|
|
Total Mining
|
$ 9,202,873
|
|
|
Miscellaneous Manufacturers — 0.2%
|
|
|
424,000
|
Koppers, Inc., 6.0%, 2/15/25 (144A)
|
$ 429,830
|
|
|
Total Miscellaneous Manufacturers
|
$ 429,830
|
|
|
Multi-National — 0.3%
|
|
|
IDR 10,330,000,000
|
Inter-American Development Bank, 7.875%, 3/14/23
|
$ 728,168
|
|
|
Total Multi-National
|
$ 728,168
|
|
|
Oil & Gas — 6.9%
|
|
|
199,000
|
Ascent Resources Utica Holdings LLC/ARU Finance
|
|
|
|
Corp., 10.0%, 4/1/22 (144A)
|
$ 196,015
|
|
2,430,000
|
Baytex Energy Corp., 8.75%, 4/1/27 (144A)
|
1,096,537
|
|
1,400,000
|
Cenovus Energy, Inc., 5.375%, 7/15/25
|
1,347,412
|
|
1,402,000
|
Cenovus Energy, Inc., 6.75%, 11/15/39
|
1,409,499
|
|
330,000
|
Endeavor Energy Resources LP/EER Finance, Inc.,
|
|
|
|
6.625%, 7/15/25 (144A)
|
339,075
|
|
3,779,000
|
Indigo Natural Resources LLC, 6.875%, 2/15/26 (144A)
|
3,678,025
|
|
250,000
|
MEG Energy Corp., 6.5%, 1/15/25 (144A)
|
245,230
|
|
561,000
|
MEG Energy Corp., 7.0%, 3/31/24 (144A)
|
521,730
|
|
1,535,000
|
MEG Energy Corp., 7.125%, 2/1/27 (144A)
|
1,376,634
|
|
2,000,000
|
Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A)
|
1,783,840
|
|
1,965,000
|
PBF Holding Co. LLC/PBF Finance Corp., 6.0%,
|
|
|
|
2/15/28 (144A)
|
1,318,613
|
|
805,000
|
PBF Holding Co. LLC/PBF Finance Corp., 9.25%,
|
|
|
|
5/15/25 (144A)
|
825,141
|
|
683,849(f)
|
PetroQuest Energy, Inc., 10.0% (10.0% PIK or 0.0%
|
|
|
|
cash), 2/15/24
|
627,972
|
|
2,819,000
|
Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A)
|
1,113,505
|
|
1,173,000
|
Transocean, Inc., 6.8%, 3/15/38
|
155,423
|
|
1,785,000
|
Transocean, Inc., 7.25%, 11/1/25 (144A)
|
499,800
|
|
1,470,000
|
Transocean, Inc., 7.5%, 1/15/26 (144A)
|
323,400
|
|
1,000,000
|
YPF SA, 6.95%, 7/21/27 (144A)
|
667,500
|
|
ARS 15,750,000
|
YPF SA, 16.5%, 5/9/22 (144A)
|
133,361
|
|
|
Total Oil & Gas
|
$ 17,658,712
|
|
|
Oil & Gas Services — 2.5%
|
|
|
385,000
|
Archrock Partners LP/Archrock Partners Finance Corp.,
|
|
|
|
6.25%, 4/1/28 (144A)
|
$ 362,862
|
|
2,583,000
|
Archrock Partners LP/Archrock Partners Finance Corp.,
|
|
|
|
6.875%, 4/1/27 (144A)
|
2,474,204
|
|
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Pipelines — (continued)
|
|
|
925,000
|
EnLink Midstream Partners LP, 4.15%, 6/1/25
|
$ 796,453
|
|
248,000
|
EnLink Midstream Partners LP, 5.05%, 4/1/45
|
157,480
|
|
717,000
|
EnLink Midstream Partners LP, 5.6%, 4/1/44
|
460,672
|
|
2,175,000
|
Global Partners LP/GLP Finance Corp., 7.0%, 6/15/23
|
2,218,500
|
|
421,000
|
Global Partners LP/GLP Finance Corp., 7.0%, 8/1/27
|
429,054
|
|
1,600,000
|
Harvest Midstream I LP, 7.5%, 9/1/28 (144A)
|
1,592,000
|
|
1,240,000
|
Hess Midstream Operations LP, 5.625%, 2/15/26 (144A)
|
1,263,225
|
|
1,150,000
|
NuStar Logistics LP, 6.375%, 10/1/30
|
1,193,125
|
|
1,850,000
|
ONEOK, Inc., 6.875%, 9/30/28
|
2,190,264
|
|
1,885,000
|
PBF Logistics LP/PBF Logistics Finance Corp.,
|
|
|
|
6.875%, 5/15/23
|
1,771,900
|
|
1,801,000
|
Williams Cos., Inc., 5.75%, 6/24/44
|
2,121,496
|
|
|
Total Pipelines
|
$ 22,364,263
|
|
|
REITs — 2.4%
|
|
|
814,000
|
Iron Mountain, Inc., 4.5%, 2/15/31 (144A)
|
$ 821,652
|
|
1,363,000
|
MPT Operating Partnership LP/MPT Finance Corp.,
|
|
|
|
4.625%, 8/1/29
|
1,418,161
|
|
3,676,000
|
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital
|
|
|
|
LLC, 7.875%, 2/15/25 (144A)
|
3,895,476
|
|
|
Total REITs
|
$ 6,135,289
|
|
|
Retail — 2.9%
|
|
|
1,240,000
|
AAG FH LP/AAG FH Finco, Inc., 9.75%, 7/15/24 (144A)
|
$ 1,168,700
|
|
589,000
|
Asbury Automotive Group, Inc., 4.75%, 3/1/30 (144A)
|
593,417
|
|
1,045,000
|
Golden Nugget, Inc., 6.75%, 10/15/24 (144A)
|
872,575
|
|
470,000
|
IRB Holding Corp., 7.0%, 6/15/25 (144A)
|
501,138
|
|
525,000
|
L Brands, Inc., 6.625%, 10/1/30 (144A)
|
534,188
|
|
2,859,000
|
Michaels Stores, Inc., 8.0%, 7/15/27 (144A)
|
2,987,655
|
|
798,000
|
Staples, Inc., 7.5%, 4/15/26 (144A)
|
737,480
|
|
|
Total Retail
|
$ 7,395,153
|
|
|
Software — 0.4%
|
|
|
1,050,000
|
Logan Merger Sub, Inc., 5.5%, 9/1/27 (144A)
|
$ 1,062,128
|
|
|
Total Software
|
$ 1,062,128
|
|
|
Telecommunications — 5.2%
|
|
|
1,495,000
|
Altice France Holding SA, 6.0%, 2/15/28 (144A)
|
$ 1,425,916
|
|
1,169,000
|
Altice France Holding SA, 10.5%, 5/15/27 (144A)
|
1,299,051
|
|
270,000
|
Altice France SA, 5.125%, 1/15/29 (144A)
|
268,987
|
|
1,700,000
|
CenturyLink, Inc., 5.625%, 4/1/25
|
1,816,216
|
|
1,075,000
|
Cincinnati Bell, Inc., 8.0%, 10/15/25 (144A)
|
1,135,469
|
|
603,000
|
CommScope Technologies LLC, 6.0%, 6/15/25 (144A)
|
611,171
|
Face
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
INSURANCE-LINKED SECURITIES — 1.4% of
|
|
|
|
Net Assets#
|
|
|
|
Collateralized Reinsurance — 0.5%
|
|
|
|
Multiperil – U.S. — 0.2%
|
|
|
500,000+(a)(i)
|
Dingle Re 2019, 2/1/21
|
$ 510,263
|
|
|
Multiperil – Worldwide — 0.3%
|
|
|
500,000+(a)(i)
|
Cypress Re 2017, 1/10/21
|
$ 9,100
|
|
324,897+(a)(i)
|
Gloucester Re 2018, 2/28/21
|
57,182
|
|
12,000+(i)
|
Limestone Re 2016-1, 8/31/21
|
34
|
|
12,000+(i)
|
Limestone Re 2016-1, 8/31/21
|
35
|
|
54,000+(a)(i)
|
Limestone Re 2019-2, 3/1/23 (144A)
|
94,176
|
|
277,770+(a)(i)
|
Oyster Bay Re 2018, 1/15/21
|
252,104
|
|
400,000+(a)(i)
|
Resilience Re, 4/6/21 (144A)
|
40
|
|
300,000+(a)(i)
|
Wentworth Re 2020-1, 12/31/23
|
290,097
|
|
|
|
$ 702,768
|
|
|
Total Collateralized Reinsurance
|
$ 1,213,031
|
|
|
Reinsurance Sidecars — 0.9%
|
|
|
|
Multiperil – U.S. — 0.0%†
|
|
|
1,000,000+(a)(i)
|
Carnoustie Re 2017, 11/30/21
|
$ 131,800
|
|
500,000+(a)(j)
|
Harambee Re 2018, 12/31/21
|
5,600
|
|
600,000+(j)
|
Harambee Re 2019, 12/31/22
|
6,900
|
|
|
|
$ 144,300
|
|
|
Multiperil – Worldwide — 0.9%
|
|
|
3,037+(i)
|
Alturas Re 2019-2, 3/10/22
|
$ 16,206
|
|
24,550+(a)(i)
|
Alturas Re 2019-3, 9/12/23
|
51,801
|
|
250,000+(a)(i)
|
Alturas Re 2020-1A, 3/10/23 (144A)
|
211,975
|
|
246,000+(a)(i)
|
Alturas Re 2020-2, 3/10/23
|
271,953
|
|
1,167,977+(a)(i)
|
Berwick Re 2018-1, 12/31/21
|
142,143
|
|
834,446+(a)(i)
|
Berwick Re 2019-1, 12/31/22
|
99,716
|
|
1,000+(i)
|
Limestone Re 2018, 3/1/22
|
34,177
|
|
500,000+(a)(j)
|
Lorenz Re 2018, 7/1/21
|
13,700
|
|
499,318+(a)(j)
|
Lorenz Re 2019, 6/30/22
|
48,284
|
|
500,000+(a)(i)
|
Merion Re 2018-2, 12/31/21
|
538,750
|
|
1,000,000+(i)
|
Pangaea Re 2016-2, 11/30/20
|
1,783
|
|
500,000+(a)(i)
|
Pangaea Re 2018-1, 12/31/21
|
10,527
|
|
1,000,000+(a)(i)
|
Pangaea Re 2018-3, 7/1/22
|
20,743
|
|
409,624+(a)(i)
|
Pangaea Re 2019-1, 2/1/23
|
8,536
|
|
735,313+(a)(i)
|
Pangaea Re 2019-3, 7/1/23
|
26,450
|
|
300,000+(a)(i)
|
Sector Re V, 12/1/23 (144A)
|
100,157
|
|
200,000+(a)(i)
|
Sector Re V, 12/1/24 (144A)
|
210,250
|
|
500,000+(a)(i)
|
St. Andrews Re 2017-1, 2/1/21
|
33,900
|
|
250,000+(a)(i)
|
Sussex Re 2020-1, 12/31/22
|
265,500
|
Principal
|
|
|
|
Amount
|
|
|
|
USD ($)
|
|
Value
|
|
|
Machinery — 0.1%
|
|
|
366,840
|
Blount International, Inc., New Refinancing Term
|
|
|
|
Loan, 4.75% (LIBOR + 375 bps), 4/12/23
|
$ 364,948
|
|
|
Total Machinery
|
$ 364,948
|
|
|
Oil & Gas — 0.1%
|
|
|
825,530
|
Summit Midstream Partners Holdings LLC, Term Loan
|
|
|
|
Credit Facility, 7.0% (LIBOR + 600 bps), 5/13/22
|
$ 181,617
|
|
|
Total Oil & Gas
|
$ 181,617
|
|
|
Securities & Trusts — 0.5%
|
|
|
1,381,300
|
Spectacle Gary Holdings LLC, Closing Date Term Loan,
|
|
|
|
11.0% (LIBOR + 900 bps), 12/23/25
|
$ 1,312,235
|
|
|
Total Securities & Trusts
|
$ 1,312,235
|
|
|
Telecommunications — 0.8%
|
|
|
1,980,000
|
Commscope, Inc., Initial Term Loan, 3.397% (LIBOR +
|
|
|
|
325 bps), 4/6/26
|
$ 1,934,213
|
|
|
Total Telecommunications
|
$ 1,934,213
|
|
|
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|
|
|
(Cost $12,094,673)
|
$ 11,381,890
|
|
|
|||
Shares
|
|
|
|
|
RIGHTS/WARRANTS — 0.0%† of Net Assets
|
|
|
|
Construction & Engineering — 0.0%†
|
|
|
499,469(a)(k)
|
Abengoa Abenewco 2 SA, 4/26/24 (144A)
|
$ 4,690
|
|
499,469(a)(k)
|
Abengoa Abenewco 2 SA, 4/26/24 (144A)
|
300
|
|
|
Total Construction & Engineering
|
$ 4,990
|
|
Health Care Providers & Services — 0.0%†
|
|||
1,819,798(l)
|
ANR, Inc., 3/31/23
|
$ 5,459
|
|
|
Total Health Care Providers & Services
|
$ 5,459
|
|
|
Oil, Gas & Consumable Fuels — 0.0%†
|
|
|
354(a)(m)
|
Contura Energy, Inc., 7/26/23
|
$ 106
|
|
|
Total Oil, Gas & Consumable Fuels
|
$ 106
|
|
|
TOTAL RIGHTS/WARRANTS
|
|
|
|
(Cost $853,869)
|
$ 10,555
|
Number of
|
|
|
|
Strike
|
Expiration
|
|
|
Contracts
|
Description
|
Counterparty
|
Amount
|
Price
|
Date
|
Value
|
|
|
OVER THE COUNTER (OTC) CURRENCY PUT
|
|
|
||||
|
OPTIONS PURCHASED — 0.0%†
|
|
|
|
|||
5,690,000
|
Put EUR
|
Bank of
|
USD 88,626
|
USD 1.11
|
3/8/21
|
$ 17,639
|
|
|
Call USD
|
America NA
|
|
|
|
|
|
773,000
|
Put EUR
|
Bank of
|
EUR 12,793
|
EUR 1.11
|
6/4/21
|
|
4,707
|
|
Call USD
|
America NA
|
|
|
|
|
|
1,550,000
|
Put EUR
|
Goldman Sachs
|
EUR 12,484
|
EUR 1.13
|
12/18/20
|
|
4,096
|
|
Call USD
|
International
|
|
|
|
|
|
|
|
|
|
|
|
$ 26,442
|
|
|
TOTAL OVER THE COUNTER (OTC) CURRENCY PUT
|
|
|
||||
|
OPTIONS PURCHASED
|
|
|
|
|
|
|
|
(Premiums paid $113,903)
|
|
|
$ 26,442
|
|||
|
TOTAL INVESTMENTS IN UNAFFILIATED
|
|
|
|
|||
|
ISSUERS — 137.4%
|
|
|
|
|
|
|
|
(Cost $352,141,989) (n)
|
|
|
$ 350,115,505
|
|||
|
OVER THE COUNTER (OTC) CURRENCY CALL
|
|
|
||||
|
OPTIONS WRITTEN — (0.0)%†
|
|
|
|
|
||
(773,000)
|
Call EUR
|
Bank of
|
EUR 12,793
|
EUR 1.17
|
6/4/21
|
$ (23,102)
|
|
|
Put USD
|
America NA
|
|
|
|
|
|
(1,550,000)
|
Call EUR
|
Goldman Sachs
|
EUR 12,484
|
EUR 1.20
|
12/18/20
|
|
(13,014)
|
|
Put USD
|
International
|
|
|
|
|
|
(5,690,000)
|
Call EUR
|
Bank of
|
USD 88,626
|
USD 1.20
|
3/8/21 |
|
(62,527)
|
|
Put USD
|
America NA
|
|
|
|
|
|
|
|
|
|
|
|
$ (98,643)
|
|
|
TOTAL OVER THE COUNTER (OTC) CURRENCY CALL
|
|
|
||||
|
OPTIONS WRITTEN
|
|
|
|
|
|
|
|
(Premiums received $(113,903))
|
|
|
$ (98,643)
|
|||
|
OTHER ASSETS AND LIABILITIES —
(37.4)%
|
|
$ (95,335,218)
|
||||
|
NET ASSETS — 100.0%
|
|
|
|
$ 254,681,644
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium.
These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other
base lending rates used by commercial lenders. The interest rate shown is the rate accruing at September 30, 2020.
|
+
|
Security that used significant unobservable inputs to determine its value.
|
^
|
Security is valued using fair value methods (other than supplied by independent pricing services).
|
(a)
|
Non-income producing security.
|
(b)
|
Security is perpetual in nature and has no stated maturity date.
|
(c)
|
The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at September 30, 2020.
|
(d)
|
Floating rate note. Coupon rate, reference index and spread shown at September 30, 2020.
|
(e)
|
Security is priced as a unit.
|
(f)
|
Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount.
|
(g)
|
Security is in default.
|
(h)
|
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at September 30, 2020.
|
(i)
|
Issued as participation notes.
|
(j)
|
Issued as preference shares.
|
(k)
|
Abengoa Abenewco 2 SA warrants are exercisable into 499,469 shares.
|
(l)
|
ANR, Inc. warrants are exercisable into 1,819,798 shares.
|
(m)
|
Contura Energy, Inc. warrants are exercisable into 354 shares.
|
(n)
|
Distributions of investments by country of issue, as a percentage of long-term holdings based on country of domicile, is as follows:
|
|
United States
|
77.5%
|
|
|
Canada
|
7.0
|
|
|
Luxembourg
|
2.5
|
|
|
United Kingdom
|
1.7
|
|
|
Mexico
|
1.6
|
|
|
Netherlands
|
1.5
|
|
|
Ireland
|
1.1
|
|
|
Bermuda
|
1.0
|
|
|
Other (individually less than 1%)
|
6.1
|
|
|
|
100.0%
|
|
|
|||
#
|
Securities are restricted as to resale.
|
|
Restricted Securities
|
Acquisition date
|
Cost
|
Value
|
Alturas Re 2019-2
|
12/19/2018
|
$ 3,037
|
$ 16,206
|
Alturas Re 2019-3
|
6/26/2019
|
24,550
|
51,801
|
Alturas Re 2020-1A
|
12/27/2019
|
250,000
|
211,975
|
Alturas Re 2020-2
|
1/1/2020
|
246,000
|
271,953
|
Berwick Re 2018-1
|
1/10/2018
|
222,517
|
142,143
|
Berwick Re 2019-1
|
12/31/2018
|
99,709
|
99,716
|
Carnoustie Re 2017
|
1/3/2017
|
237,757
|
131,800
|
Cypress Re 2017
|
1/24/2017
|
1,681
|
9,100
|
Dingle Re 2019
|
3/4/2019
|
455,946
|
510,263
|
Gloucester Re 2018
|
1/2/2018
|
52,650
|
57,182
|
Harambee Re 2018
|
12/19/2017
|
39,023
|
5,600
|
Harambee Re 2019
|
12/20/2018
|
—
|
6,900
|
Limestone Re 2016-1
|
12/15/2016
|
990
|
34
|
Limestone Re 2016-1
|
12/15/2016
|
990
|
35
|
Limestone Re 2018
|
6/20/2018
|
1,000
|
34,177
|
Limestone Re 2019-2
|
6/20/2018
|
54,000
|
94,176
|
Lorenz Re 2018
|
6/26/2018
|
134,141
|
13,700
|
Lorenz Re 2019
|
6/26/2019
|
162,426
|
48,284
|
Merion Re 2018-2
|
12/28/2017
|
500,000
|
538,750
|
Oyster Bay Re 2018
|
1/17/2018
|
247,921
|
252,104
|
Pangaea Re 2016-2
|
5/31/2016
|
—
|
1,783
|
Pangaea Re 2018-1
|
12/26/2017
|
71,503
|
10,527
|
Pangaea Re 2018-3
|
5/31/2018
|
240,861
|
20,743
|
Pangaea Re 2019-1
|
1/9/2019
|
4,301
|
8,536
|
Pangaea Re 2019-3
|
7/25/2019
|
22,059
|
26,450
|
Resilience Re
|
4/13/2017
|
1,307
|
40
|
Sector Re V
|
1/1/2020
|
200,000
|
210,250
|
Sector Re V
|
12/4/2018
|
163,942
|
100,157
|
St. Andrews Re 2017-1
|
1/5/2017
|
33,874
|
33,900
|
Sussex Re 2020-1
|
1/23/2020
|
250,000
|
265,500
|
Versutus Re 2017
|
1/5/2017
|
66,241
|
—
|
Versutus Re 2018
|
1/31/2018
|
16,982
|
9,500
|
Versutus Re 2019-A
|
1/28/2019
|
—
|
19,725
|
Versutus Re 2019-B
|
12/24/2018
|
—
|
2,625
|
Wentworth Re 2020-1
|
1/28/2020
|
246,731
|
290,097
|
Woburn Re 2018
|
3/20/2018
|
94,515
|
23,370
|
Woburn Re 2019
|
1/30/2019
|
75,003
|
83,452
|
Total Restricted Securities
|
|
|
$3,602,554
|
% of Net assets
|
|
|
1.4%
|
SWAP CONTRACT
|
|
|
|
|
|
|
|
|
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACT
|
|
|
|
|||||
|
|
Annual
|
|
|
|
|
|
|
Notional
|
Pay/
|
Fixed
|
Pay/
|
Floating
|
Expiration
|
Premiums
|
Unrealized
|
Market
|
Amount ($)
|
Receive(1)
|
Rate |
Receive(2)
|
Rate |
Date
|
Paid
|
(Depreciation)
|
Value
|
22,500,000
|
Pay
|
1.59%
|
Receive
|
3 Month |
11/9/20
|
$101
|
$(165,994)
|
$(165,893)
|
|
|
|
|
LIBOR USD
|
|
|
|
|
TOTAL CENTRALLY CLEARED INTEREST RATE SWAP CONTRACT
|
$101
|
$(165,994)
|
$(165,893)
|
|||||
TOTAL SWAP CONTRACT
|
|
|
|
|
$101
|
$(165,994)
|
$(165,893)
|
(1)
|
Pays semiannually.
|
(2)
|
Receives quarterly.
|
Aggregate gross unrealized appreciation for all investments in which
|
|
there is an excess of value over tax cost
|
$ 24,373,081
|
Aggregate gross unrealized depreciation for all investments in which
|
|
there is an excess of tax cost over value
|
(25,979,386)
|
Net unrealized depreciation
|
$ (1,606,305)
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Common Stocks
|
|
|
|
|
Construction &
|
|
|
|
|
Engineering
|
$ —
|
$ 9,498
|
$ —
|
$ 9,498
|
Oil, Gas & Consumable
|
|
|
|
|
Fuels
|
345,818
|
36,078
|
—
|
381,896
|
Specialty Retail
|
—
|
—
|
90,078
|
90,078
|
All Other Common Stocks
|
290,811
|
—
|
—
|
290,811
|
Convertible Preferred Stock
|
2,147,280
|
—
|
—
|
2,147,280
|
Preferred Stocks
|
|
|
|
|
Diversified Financial
|
|
|
|
|
Services
|
—
|
3,195,000
|
—
|
3,195,000
|
Internet
|
—
|
146,857
|
—
|
146,857
|
All Other Preferred Stock
|
3,314,767
|
—
|
—
|
3,314,767
|
Asset Backed Security
|
—
|
306,295
|
—
|
306,295
|
Collateralized Mortgage
|
|
|
|
|
Obligations
|
—
|
3,896,718
|
—
|
3,896,718
|
Commercial Mortgage-Backed
|
|
|
|
|
Securities
|
—
|
9,048,332
|
—
|
9,048,332
|
Convertible Corporate Bonds
|
—
|
11,800,462
|
—
|
11,800,462
|
Corporate Bonds
|
—
|
296,847,112
|
—
|
296,847,112
|
Foreign Government Bonds
|
—
|
3,618,958
|
—
|
3,618,958
|
Insurance-Linked Securities
|
—
|
—
|
—
|
—
|
Collateralized Reinsurance
|
|
|
|
|
Multiperil – U.S.
|
—
|
—
|
510,263
|
510,263
|
Multiperil – Worldwide
|
—
|
—
|
702,768
|
702,768
|
Reinsurance Sidecars
|
|
|
|
|
Multiperil – U.S.
|
—
|
—
|
144,300
|
144,300
|
Multiperil – Worldwide
|
—
|
—
|
2,245,223
|
2,245,223
|
Senior Secured Floating Rate
|
|
|
|
|
Loan Interests
|
—
|
11,381,890
|
—
|
11,381,890
|
Rights/Warrants
|
|
|
|
|
Construction & Engineering
|
—
|
4,990
|
—
|
4,990
|
Health Care Providers &
|
|
|
|
|
Services
|
—
|
5,459
|
—
|
5,459
|
Oil, Gas & Consumable
|
|
|
|
|
Fuels
|
—
|
106
|
—
|
106
|
Over The Counter (OTC)
|
|
|
|
|
Currency Put Option
|
|
|
|
|
Purchased
|
—
|
26,442
|
—
|
26,442
|
Total Investments
|
|
|
|
|
in Securities
|
$ 6,098,676
|
$ 340,324,197
|
$ 3,692,632
|
$ 350,115,505
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||
Other Financial Instruments
|
|
|
|
|
|
|
Credit agreement(a)
|
$ —
|
$(103,000,000)
|
$ —
|
$(103,000,000)
|
||
Over The Counter (OTC)
|
|
|
|
|
|
|
Currency Call
|
|
|
|
|
|
|
Option Written
|
|
—
|
(98,643)
|
|
—
|
(98,643)
|
Net unrealized
|
|
|
|
|
|
|
depreciation on
|
|
|
|
|
|
|
forward foreign
|
|
|
|
|
|
|
currency exchange
|
|
|
|
|
|
|
contracts
|
|
—
|
(16,315)
|
|
—
|
(16,315)
|
Swap contracts, at value
|
|
—
|
(165,893)
|
|
—
|
(165,893)
|
Total Other
|
|
|
|
|
|
|
Financial Instruments
|
$ —
|
$(103,280,851)
|
$ —
|
$(103,280,851)
|
(a)
|
The Trust may hold liabilities in which the fair value approximates the carrying amount for financial statement purposes.
|
|
|
|
Change in
|
|
|
|
|
|
|
|
Balance
|
Realized
|
unrealized
|
|
|
Accrued
|
Transfers
|
Transfers
|
Balance
|
|
as of
|
gain
|
appreciation
|
|
|
discounts/
|
into
|
out of
|
as of
|
|
3/31/20
|
(loss)(1)
|
(depreciation)(2)
|
Purchases
|
Sales
|
premiums
|
Level 3*
|
Level 3*
|
9/30/20
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
Oil, Gas &
|
|
|
|
|
|
|
|
|
|
Consumable
|
|
|
|
|
|
|
|
|
|
Fuels
|
$ 81,996
|
$ —
|
$ —
|
$ —
|
$ —
|
$ —
|
$ —
|
$(81,996)
|
$ —
|
Specialty
|
|
|
|
|
|
|
|
|
|
Retail
|
81,207
|
—
|
8,871
|
—
|
—
|
—
|
—
|
—
|
90,078
|
Insurance-Linked
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
Collateralized
|
|
|
|
|
|
|
|
|
|
Reinsurance
|
|
|
|
|
|
|
|
|
|
Multiperil –
|
|
|
|
|
|
|
|
|
|
U.S.
|
510,263
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
510,263
|
Multiperil –
|
|
|
|
|
|
|
|
|
|
U.S.
|
|
|
|
|
|
|
|
|
|
Regional
|
256,041
|
—
|
(19,156)
|
—
|
(236,885)
|
—
|
—
|
—
|
—
|
Multiperil –
|
|
|
|
|
|
|
|
|
|
Worldwide
|
1,257,279
|
(32,920)
|
75,565
|
—
|
(597,156)
|
—
|
—
|
—
|
702,768
|
Reinsurance
|
|
|
|
|
|
|
|
|
|
Sidecars
|
|
|
|
|
|
|
|
|
|
Multiperil –
|
|
|
|
|
|
|
|
|
|
U.S.
|
282,565
|
(67,456)
|
(12,047)
|
—
|
(58,762)
|
—
|
—
|
—
|
144,300
|
Multiperil –
|
|
|
|
|
|
|
|
|
|
Worldwide
|
4,664,477
|
(87,820)
|
(55,129)
|
—
|
(2,276,305)
|
—
|
—
|
—
|
2,245,223
|
Total
|
$7,133,828
|
$(188,196)
|
$ (1,896)
|
$ —
|
$(3,169,108)
|
$ —
|
$ —
|
$(81,996)
|
$3,692,632
|
(1)
|
Realized gain (loss) on these securities is included in the realized gain (loss) from investments in unaffiliated issuers on the Statement of Operations.
|
(2)
|
Unrealized appreciation (depreciation) on these securities is included in the change in unrealized appreciation (depreciation) from investments in unaffiliated issuers on the Statement of
Operations.
|
*
|
Transfers are calculated on the beginning of period value. For the six months ended September 30, 2020, security valued at $81,996 was transferred from Level 3 to Level 2.
|
|
The change in the level designation within the fair value hierarchy was due to valuing a security using observable inputs. There were no other transfers between Levels 1, 2 and 3.
|
ASSETS:
|
||||
Investments in unaffiliated issuers, at value (cost $352,141,989)
|
$
|
350,115,505
|
||
Cash
|
2,329,108
|
|||
Foreign currencies, at value (cost $265)
|
267
|
|||
Swaps collateral
|
7,778
|
|||
Due from broker for swaps
|
163,371
|
|||
Receivables —
|
||||
Investment securities sold
|
739,160
|
|||
Interest
|
6,214,444
|
|||
Other assets
|
143,172
|
|||
Total assets
|
$
|
359,712,805
|
||
LIABILITIES:
|
||||
Payables —
|
||||
Credit agreement
|
$
|
103,000,000
|
||
Investment securities purchased
|
1,451,485
|
|||
Trustees’ fees
|
858
|
|||
Forwards collateral
|
20,000
|
|||
Swaps collateral
|
7,625
|
|||
Unrealized depreciation on unfunded loan commitments
|
2,440
|
|||
Written options outstanding (net premiums received $(113,903))
|
98,643
|
|||
Net unrealized depreciation on forward foreign currency exchange contracts
|
16,315
|
|||
Swap contracts, at value (net premiums paid $101)
|
165,893
|
|||
Due to affiliates
|
187,641
|
|||
Accrued expenses
|
80,261
|
|||
Total liabilities
|
$
|
105,031,161
|
||
NET ASSETS:
|
||||
Paid-in capital
|
$
|
371,680,871
|
||
Distributable earnings (loss)
|
(116,999,227
|
)
|
||
Net assets
|
$
|
254,681,644
|
||
NET ASSET VALUE PER SHARE:
|
||||
No par value
|
||||
Based on $254,681,644/29,231,771 shares
|
$
|
8.71
|
Statement of Operations
|
|
|
FOR THE SIX MONTHS ENDED 9/30/20
|
|
|
INVESTMENT INCOME:
|
||||||||
Interest from unaffiliated issuers
|
$
|
12,793,508
|
||||||
Dividends from unaffiliated issuers
|
410,539
|
|||||||
Total investment income
|
$
|
13,204,047
|
||||||
EXPENSES:
|
||||||||
Management fees
|
$
|
1,036,213
|
||||||
Administrative expense
|
29,420
|
|||||||
Transfer agent fees
|
6,715
|
|||||||
Shareowner communications expense
|
16,716
|
|||||||
Custodian fees
|
6,102
|
|||||||
Professional fees
|
50,430
|
|||||||
Printing expense
|
8,366
|
|||||||
Pricing fees
|
9,277
|
|||||||
Trustees’ fees
|
6,632
|
|||||||
Insurance expense
|
2,687
|
|||||||
Interest expense
|
613,036
|
|||||||
Miscellaneous
|
167,779
|
|||||||
Total expenses
|
$
|
1,953,373
|
||||||
Net investment income
|
$
|
11,250,674
|
||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
|
||||||||
Net realized gain (loss) on:
|
||||||||
Investments in unaffiliated issuers
|
$
|
(18,808,508
|
)
|
|||||
Written options
|
39,386
|
|||||||
Forward foreign currency exchange contracts
|
107,860
|
|||||||
Swap contracts
|
(1,144,387
|
)
|
||||||
Other assets and liabilities denominated in
|
||||||||
foreign currencies
|
46,081
|
$
|
(19,759,568
|
)
|
||||
Change in net unrealized appreciation (depreciation) on:
|
||||||||
Investments in unaffiliated issuers
|
$
|
62,132,171
|
||||||
Written options
|
(23,652
|
)
|
||||||
Forward foreign currency exchange contracts
|
96,383
|
|||||||
Swap contracts
|
943,989
|
|||||||
Unfunded loan commitments
|
9,257
|
|||||||
Other assets and liabilities denominated in
|
||||||||
foreign currencies
|
9,879
|
$
|
63,168,027
|
|||||
Net realized and unrealized gain (loss) on investments
|
$
|
43,408,459
|
||||||
Net increase in net assets resulting from operations
|
$
|
54,659,133
|
|
Six Months
|
|||||||
|
Ended
|
Year
|
||||||
|
9/30/20
|
Ended
|
||||||
|
(unaudited)
|
3/31/20
|
||||||
FROM OPERATIONS:
|
||||||||
Net investment income (loss)
|
$
|
11,250,674
|
$
|
23,595,916
|
||||
Net realized gain (loss) on investments
|
(19,759,568
|
)
|
(9,406,642
|
)
|
||||
Change in net unrealized appreciation (depreciation)
|
||||||||
on investments
|
63,168,027
|
(68,206,549
|
)
|
|||||
Net increase (decrease) in net assets resulting
|
||||||||
from operations
|
$
|
54,659,133
|
$
|
(54,017,275
|
)
|
|||
DISTRIBUTIONS TO SHAREOWNERS:
|
||||||||
($0.41 and $0.81 per share, respectively)
|
$
|
(11,838,867
|
)
|
$
|
(23,677,735
|
)
|
||
Total distributions to shareowners
|
$
|
(11,838,867
|
)
|
$
|
(23,677,735
|
)
|
||
Net increase (decrease) in net assets
|
$
|
42,820,266
|
$
|
(77,695,010
|
)
|
|||
NET ASSETS:
|
||||||||
Beginning of period
|
$
|
211,861,378
|
$
|
289,556,388
|
||||
End of period
|
$
|
254,681,644
|
$
|
211,861,378
|
Statement of Cash Flows
|
FOR THE SIX MONTHS ENDED 9/30/20
|
Cash Flows From Operating Activities:
|
||||
Net increase in net assets resulting from operations
|
$
|
54,659,133
|
||
Adjustments to reconcile net increase in net assets resulting from operations
|
||||
to net cash, restricted cash and foreign currencies from operating
activities:
|
||||
Purchases of investment securities
|
$
|
(99,912,307
|
)
|
|
Proceeds from disposition and maturity of investment securities
|
96,828,394
|
|||
Net (accretion) and amortization of discount/premium on investment securities
|
(652,592
|
)
|
||
Change in unrealized appreciation on investments in unaffiliated issuers
|
(62,132,171
|
)
|
||
Change in unrealized appreciation on unfunded loan commitments
|
(9,257
|
)
|
||
Change in unrealized appreciation on swap contracts
|
(943,989
|
)
|
||
Change in unrealized appreciation on forward foreign currency exchange contracts
|
(96,383
|
)
|
||
Change in unrealized appreciation on other assets and liabilities denominated
|
||||
in foreign currencies
|
(2
|
)
|
||
Change in unrealized depreciation on written options
|
23,652
|
|||
Net realized loss on investments
|
18,808,508
|
|||
Net premiums paid on swap contracts
|
(155,325
|
)
|
||
Forwards collateral received
|
20,000
|
|||
Swap collateral received
|
1,153,828
|
|||
Decrease in interest receivable
|
721,871
|
|||
Decrease in due from the Adviser
|
1,900
|
|||
Increase in other assets
|
(142,980
|
)
|
||
Increase in due to affiliates
|
187,461
|
|||
Increase in trustees’ fees payable
|
149
|
|||
Increase in accrued expenses payable
|
3,742
|
|||
Increase in premiums received on written options
|
25,277
|
|||
Realized gains on written options
|
(39,386
|
)
|
||
Decrease in cash due from broker
|
176,836
|
|||
Change in variation margin for centrally cleared swap contracts
|
(2,401
|
)
|
||
Net cash, restricted cash and foreign currencies from operating
activities
|
$
|
8,523,958
|
||
Cash Flows Used in Financing Activities:
|
||||
Payments on borrowings
|
$
|
4,000,000
|
||
Distributions to shareowners
|
(11,838,867
|
)
|
||
Net cash, restricted cash and foreign currencies used in financing
activities
|
$
|
(7,838,867
|
)
|
|
Effect of Foreign Exchange Fluctuations on Cash:
|
||||
Effect of foreign exchange fluctuations on cash
|
$
|
2
|
||
Cash, restricted cash and foreign currencies:
|
||||
Beginning of the period*
|
$
|
1,815,431
|
||
End of the period*
|
$
|
2,500,524
|
||
Cash Flow Information:
|
||||
Cash paid for interest
|
$
|
470,736
|
*
|
The following table provides a reconciliation of cash, restricted cash and foreign currencies reported within Statement of Assets and Liabilities that sum to the total of the same such amounts
shown in the Statement of Cash Flows:
|
|
Six Months
|
|||||||
|
Ended 9/30/20
|
Year Ended
|
||||||
|
(unaudited)
|
3/31/20
|
||||||
Cash
|
$
|
2,329,108
|
$
|
1,815,431
|
||||
Foreign currencies, at value
|
267
|
—
|
||||||
Swaps collateral
|
7,778
|
1,146,203
|
||||||
Due from broker for swaps
|
163,371
|
176,836
|
||||||
Total cash, restricted cash and foreign currencies
|
||||||||
shown in the Statement of
Cash Flows
|
$
|
2,500,524
|
$
|
3,138,470
|
Financial Highlights
|
|
|
|
|
|
|
|
|
|
|
Six Months
|
||||||||||||||||||||||||
|
Ended
|
Year
|
Year
|
Year
|
Year
|
Year
|
||||||||||||||||||
|
9/30/20
|
Ended
|
Ended
|
Ended
|
Ended
|
Ended
|
||||||||||||||||||
|
(unaudited)
|
3/31/20
|
3/31/19
|
3/31/18
|
3/31/17*
|
3/31/16*
|
||||||||||||||||||
Per Share Operating Performance
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$
|
7.25
|
$
|
9.91
|
$
|
10.52
|
$
|
10.70
|
$
|
9.34
|
$
|
11.89
|
||||||||||||
Increase (decrease) from investment operations: (a)
|
||||||||||||||||||||||||
Net investment income
|
$
|
0.38
|
$
|
0.81
|
$
|
0.80
|
$
|
0.85
|
$
|
0.95
|
$
|
1.19
|
||||||||||||
Net realized and unrealized gain (loss) on investments
|
1.49
|
(2.66
|
)
|
(0.62
|
)
|
(0.25
|
)
|
1.38
|
(2.40
|
)
|
||||||||||||||
Net increase (decrease) from investment operations
|
$
|
1.87
|
$
|
(1.85
|
)
|
$
|
0.18
|
$
|
0.60
|
$
|
2.33
|
$
|
(1.21
|
)
|
||||||||||
Distributions to shareowners from:
|
, | |||||||||||||||||||||||
Net investment income and previously undistributed net investment
income
|
$
|
(0.41
|
)**
|
$
|
(0.81
|
)
|
$
|
(0.79
|
)
|
$
|
(0.78
|
)
|
$
|
(0.97
|
)**
|
$
|
(1.34
|
)**
|
||||||
Net increase (decrease) in net asset value
|
$
|
1.46
|
$
|
(2.66
|
)
|
$
|
(0.61
|
)
|
$
|
(0.18
|
)
|
$
|
1.36
|
$
|
(2.55
|
)
|
||||||||
Net asset value, end of period
|
$
|
8.71
|
$
|
7.25
|
$
|
9.91
|
$
|
10.52
|
$
|
10.70
|
$
|
9.34
|
||||||||||||
Market value, end of period
|
$
|
7.96
|
$
|
6.42
|
$
|
8.95
|
$
|
9.39
|
$
|
9.87
|
$
|
10.04
|
||||||||||||
Total return at net asset value (b)
|
26.68
|
%(c)
|
(19.93
|
)%
|
2.79
|
%
|
6.38
|
%
|
26.13
|
%
|
(10.54
|
)%
|
||||||||||||
Total return at market value (b)
|
30.74
|
%(c)
|
(21.49
|
)%
|
4.00
|
%
|
2.94
|
%
|
8.23
|
%
|
(11.37
|
)%
|
||||||||||||
Ratios to average net assets of shareowners:
|
||||||||||||||||||||||||
Total expenses plus interest expense (d)(e)
|
1.60
|
%(f)
|
2.35
|
%
|
2.41
|
%
|
2.14
|
%
|
2.10
|
%
|
1.67
|
%
|
||||||||||||
Net investment income available to shareowners
|
9.23
|
%(f)
|
8.17
|
%
|
7.93
|
%
|
7.88
|
%
|
9.36
|
%
|
11.23
|
%
|
||||||||||||
Portfolio turnover rate
|
28
|
%(c)
|
36
|
%
|
33
|
%
|
29
|
%
|
48
|
%
|
24
|
%
|
||||||||||||
Net assets, end of period (in thousands)
|
$
|
254,682
|
$
|
211,861
|
$
|
289,556
|
$
|
307,410
|
$
|
312,757
|
$
|
271,900
|
Six Months
|
||||||||||||||||||||||||
|
Ended
|
Year
|
Year
|
Year
|
Year
|
Year
|
||||||||||||||||||
|
9/30/20
|
Ended
|
Ended
|
Ended
|
Ended
|
Ended
|
||||||||||||||||||
|
(unaudited)
|
3/31/20
|
3/31/19
|
3/31/18
|
3/31/17*
|
3/31/16*
|
||||||||||||||||||
Total amount of debt outstanding (in thousands)
|
$
|
103,000
|
$
|
99,000
|
$
|
125,000
|
$
|
125,000
|
$
|
125,000
|
$
|
125,000
|
||||||||||||
Asset coverage per $1,000 of indebtedness
|
$
|
3,473
|
$
|
3,140
|
$
|
3,316
|
$
|
3,459
|
$
|
3,502
|
$
|
3,175
|
*
|
The Trust was audited by an independent registered public accounting firm other than Ernst & Young LLP.
|
**
|
The amount of distributions made to shareowners during the period was in excess of the net investment income earned by the Trust during the period. The Trust has accumulated undistributed net
investment income which is part of the Trust’s NAV. A portion of this accumulated net investment income was distributed to shareowners during the period. A decrease in distributions may have a negative effect on the market value of the
Trust’s shares.
|
(a)
|
The per-share data presented above is based upon the average common shares outstanding for the periods presented.
|
(b)
|
Total investment return is calculated assuming a purchase of common shares at the current net asset value or market value on the first day and a sale at the current net asset value or market
value on the last day of the periods reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment return does not
reflect brokerage commissions. Past performance is not a guarantee of future results.
|
(c)
|
Not annualized.
|
(d)
|
Expense ratios do not reflect the effect of distribution payments to preferred shareowners.
|
(e)
|
Includes interest expense of 0.50% (annualized), 1.37%, 1.42%, 1.05%, 1.11% and 0.63%, respectively.
|
(f)
|
Annualized.
|
|
2020
|
Distributions paid from:
|
|
Ordinary income
|
$23,677,735
|
Total
|
$23,677,735
|
|
2020
|
Distributable earnings:
|
|
Undistributed ordinary income
|
$ 2,800,144
|
Capital loss carryforward
|
(97,560,208)
|
Unrealized depreciation
|
(65,059,429)
|
Total
|
$(159,819,493)
|
|
Derivative
|
|||||||||||||||||||
|
Assets
|
|||||||||||||||||||
|
Subject to
|
Derivatives
|
Non-Cash
|
Cash
|
Net Amount
|
|||||||||||||||
|
Master Netting
|
Available
|
Collateral
|
Collateral
|
of Derivative
|
|||||||||||||||
Counterparty
|
Agreement
|
for Offset
|
Received (a)
|
Received (a)
|
Assets (b)
|
|||||||||||||||
Bank of America NA
|
$
|
22,346
|
$
|
(22,346
|
)
|
$
|
—
|
$
|
—
|
$
|
—
|
|||||||||
Bank of New York
|
||||||||||||||||||||
Mellon Corp.
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Citibank N.A.
|
292
|
—
|
—
|
—
|
292
|
|||||||||||||||
Goldman Sachs
|
||||||||||||||||||||
International
|
4,096
|
(4,096
|
)
|
—
|
—
|
—
|
||||||||||||||
Total
|
$
|
26,734
|
$
|
(26,442
|
)
|
$
|
—
|
$
|
—
|
$
|
292
|
|
Derivative
|
|||||||||||||||||||
|
Liabilities
|
|||||||||||||||||||
|
Subject to
|
Derivatives
|
Non-Cash
|
Cash Net
|
Amount
|
|||||||||||||||
|
Master Netting
|
Available
|
Collateral
|
Collateral
|
of Derivative
|
|||||||||||||||
Counterparty
|
Agreement
|
for Offset
|
Pledged (a)
|
Pledged (a)
|
Liabilities (c)
|
|||||||||||||||
Bank of America NA
|
$
|
100,591
|
$
|
(22,346
|
)
|
$
|
—
|
$
|
—
|
$
|
78,245
|
|||||||||
Bank of New York
|
||||||||||||||||||||
Mellon Corp.
|
1,645
|
—
|
—
|
—
|
1,645
|
|||||||||||||||
Citibank N.A.
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Goldman Sachs
|
||||||||||||||||||||
International
|
13,014
|
(4,096
|
)
|
—
|
—
|
8,918
|
||||||||||||||
Total
|
$
|
115,250
|
$
|
(26,442
|
)
|
$
|
—
|
$
|
—
|
$
|
88,808
|
Statement of
|
Foreign
|
|||||||||||||||||||
Assets and
|
Interest
|
Credit
|
Exchange
|
Equity
|
Commodity
|
|||||||||||||||
Liabilities
|
Rate Risk
|
Risk
|
Rate Risk
|
Risk
|
Risk
|
|||||||||||||||
Assets:
|
||||||||||||||||||||
Options purchased*
|
$
|
—
|
$
|
—
|
$
|
26,442
|
$
|
—
|
$
|
—
|
||||||||||
Total Value
|
$
|
—
|
$
|
—
|
$
|
26,442
|
$
|
—
|
$
|
—
|
||||||||||
Liabilities:
|
||||||||||||||||||||
Written options
|
||||||||||||||||||||
outstanding
|
$
|
—
|
$
|
—
|
$
|
98,643
|
$
|
—
|
$
|
—
|
||||||||||
Net unrealized
|
||||||||||||||||||||
depreciation on
|
||||||||||||||||||||
forward foreign
|
||||||||||||||||||||
currency exchange
|
||||||||||||||||||||
contracts
|
—
|
—
|
16,315
|
—
|
—
|
|||||||||||||||
Swap contracts,
|
||||||||||||||||||||
at value
|
165,893
|
—
|
—
|
—
|
—
|
|||||||||||||||
Total
Value
|
$
|
165,893
|
$
|
—
|
$
|
114,958
|
$
|
—
|
$
|
—
|
*
|
Reflects the market value of purchased option contracts (see Note 1G). These amounts are included in Investment in unaffiliated issuers, at value, on the Statement of Assets and
Liabilities.
|
|
Foreign
|
|||||||||||||||||||
Statement of
|
Interest
|
Credit
|
Exchange
|
Equity
|
Commodity
|
|||||||||||||||
Operations
|
Rate Risk
|
Risk
|
Rate Risk
|
Risk
|
Risk
|
|||||||||||||||
Net realized gain
|
||||||||||||||||||||
(loss) on:
|
||||||||||||||||||||
Options purchased*
|
$
|
—
|
$
|
—
|
$
|
(39,386
|
)
|
$
|
—
|
$
|
—
|
|||||||||
Written options
|
—
|
—
|
39,386
|
—
|
—
|
|||||||||||||||
Forward foreign
|
||||||||||||||||||||
currency exchange
|
||||||||||||||||||||
contracts
|
—
|
—
|
107,860
|
—
|
—
|
|||||||||||||||
Swap contracts
|
(54,216
|
)
|
(1,090,171
|
)
|
—
|
—
|
—
|
|||||||||||||
Total Value
|
$
|
(54,216
|
)
|
$
|
(1,090,171
|
)
|
$
|
107,860
|
$
|
—
|
$
|
—
|
||||||||
Change in net
|
||||||||||||||||||||
unrealized
|
||||||||||||||||||||
appreciation
|
||||||||||||||||||||
(depreciation) on:
|
||||||||||||||||||||
Options purchased**
|
$
|
—
|
$
|
—
|
$
|
(84,700
|
)
|
$
|
—
|
$
|
—
|
|||||||||
Written options
|
—
|
—
|
(23,652
|
)
|
—
|
—
|
||||||||||||||
Forward foreign
|
||||||||||||||||||||
currency exchange
|
||||||||||||||||||||
contracts
|
—
|
—
|
96,383
|
—
|
—
|
|||||||||||||||
Swap contracts
|
19,311
|
924,678
|
—
|
—
|
—
|
|||||||||||||||
Total Value
|
$
|
19,311
|
$
|
924,678
|
$
|
(11,969
|
)
|
$
|
—
|
$
|
—
|
*
|
Reflects the net realized gain (loss) on purchased option contracts (see Note 1G). These amounts are included in Net realized gain (loss) on investments in unaffiliated issuers, on the
Statement of Operations.
|
**
|
Reflects the change in net unrealized appreciation (depreciation) on purchased option contracts (see Note 1G). These amounts are included in change in net unrealized appreciation
(depreciation) on Investments in unaffiliated issuers, on the Statement of Operations.
|
|
|
|
|
Unrealized
|
Loan
|
Principal
|
Cost
|
Value
|
Depreciation
|
Spectacle Gary
|
|
|
|
|
Holdings LLC
|
$ 100,100
|
$ 97,535
|
$ 95,095
|
$ (2,440)
|
|
9/30/20
|
3/31/20
|
Shares outstanding at beginning of period
|
29,231,771
|
29,231,771
|
Shares outstanding at end of period
|
29,231,771
|
29,231,771
|
Nominee
|
For
|
Withhold
|
Diane Durnin
|
24,765,321
|
679,394
|
Benjamin M. Friedman
|
24,006,006
|
1,438,709
|
Kenneth J. Taubes
|
24,764,686
|
680,029
|
Trustees
|
Officers
|
Thomas J. Perna, Chairman
|
Lisa M. Jones, President and
|
John E. Baumgardner, Jr.
|
Chief Executive Officer
|
Diane Durnin
|
Mark E. Bradley, Treasurer and
|
Benjamin M. Friedman
|
Chief Financial and
|
Lisa M. Jones
|
Accounting Officer
|
Lorraine H. Monchak
|
Christopher J. Kelley, Secretary and
|
Marguerite A. Piret
|
Chief Legal Officer
|
Fred J. Ricciardi
|
|
Kenneth J. Taubes
|
|
Account Information
|
1-800-710-0935
|
|
|
Or write to AST:
|
|
For
|
Write to
|
|
|
General inquiries, lost dividend checks,
|
American Stock
|
change of address, lost stock certificates,
|
Transfer & Trust
|
stock transfer
|
Operations Center
|
|
6201 15th Ave.
|
|
Brooklyn, NY 11219
|
|
|
Dividend reinvestment plan (DRIP)
|
American Stock
|
|
Transfer & Trust
|
|
Wall Street Station
|
|
P.O. Box 922
|
|
New York, NY 10269-0560
|
|
|
Website
|
www.amstock.com
|