|
|
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
|
SECTION II - POLICY
|
||
SERVICE CATEGORY
|
SERVICE CATEGORY DESCRIPTION
|
SPECIFIC PRE-APPROVED SERVICE SUBCATEGORIES
|
I. AUDIT SERVICES
|
Services that are directly
|
o Accounting research assistance
|
related to performing the
|
o SEC consultation, registration
|
|
independent audit of the Funds
|
statements, and reporting
|
|
o Tax accrual related matters
|
||
o Implementation of new accounting standards
|
||
o Compliance letters (e.g. rating agency letters)
|
||
o Regulatory reviews and assistance
|
||
regarding financial matters
|
||
o Semi-annual reviews (if requested)
|
||
o Comfort letters for closed end offerings
|
||
II. AUDIT-RELATED
|
Services which are not
|
o AICPA attest and agreed-upon procedures
|
SERVICES
|
prohibited under Rule
|
o Technology control assessments
|
210.2-01(C)(4) (the “Rule”)
|
o Financial reporting control assessments
|
|
and are related extensions of
|
o Enterprise security architecture
|
|
the audit services support the
|
assessment
|
|
audit, or use the knowledge/expertise
|
||
gained from the audit procedures as a
|
||
foundation to complete the project.
|
||
In most cases, if the Audit-Related
|
||
Services are not performed by the
|
||
Audit firm, the scope of the Audit
|
||
Services would likely increase.
|
||
The Services are typically well-defined
|
||
and governed by accounting
|
||
professional standards (AICPA,
|
||
SEC, etc.)
|
||
AUDIT COMMITTEE APPROVAL POLICY
|
AUDIT COMMITTEE REPORTING POLICY
|
|
o “One-time” pre-approval
|
o A summary of all such
|
|
for the audit period for all
|
services and related fees
|
|
pre-approved specific service
|
reported at each regularly
|
|
subcategories. Approval of the
|
scheduled Audit Committee
|
|
independent auditors as
|
meeting.
|
|
auditors for a Fund shall
|
||
constitute pre approval for
|
||
these services.
|
||
o “One-time” pre-approval
|
o A summary of all such
|
|
for the fund fiscal year within
|
services and related fees
|
|
a specified dollar limit
|
(including comparison to
|
|
for all pre-approved
|
specified dollar limits)
|
|
specific service subcategories
|
reported quarterly.
|
o Specific approval is
|
|
needed to exceed the
|
|
pre-approved dollar limit for
|
|
these services (see general
|
|
Audit Committee approval policy
|
|
below for details on obtaining
|
|
specific approvals)
|
|
o Specific approval is
|
|
needed to use the Fund’s
|
|
auditors for Audit-Related
|
|
Services not denoted as
|
|
“pre-approved”, or
|
|
to add a specific service
|
|
subcategory as “pre-approved”
|
SERVICE CATEGORY
|
SERVICE CATEGORY DESCRIPTION
|
SPECIFIC PRE-APPROVED SERVICE
|
SUBCATEGORIES
|
||
III. TAX SERVICES
|
Services which are not
|
o Tax planning and support
|
prohibited by the Rule,
|
o Tax controversy assistance
|
|
if an officer of the Fund
|
o Tax compliance, tax returns, excise
|
|
determines that using the
|
tax returns and support
|
|
Fund’s auditor to provide
|
o Tax opinions
|
|
these services creates
|
||
significant synergy in
|
||
the form of efficiency,
|
||
minimized disruption, or
|
||
the ability to maintain a
|
||
desired level of
|
||
confidentiality.
|
AUDIT COMMITTEE APPROVAL POLICY
|
AUDIT COMMITTEE REPORTING POLICY
|
o “One-time” pre-approval
|
o A summary of
|
for the fund fiscal year
|
all such services and
|
within a specified dollar limit
|
related fees
|
(including comparison
|
|
to specified dollar
|
|
limits) reported
|
|
quarterly.
|
|
o Specific approval is
|
|
needed to exceed the
|
|
pre-approved dollar limits for
|
|
these services (see general
|
|
Audit Committee approval policy
|
|
below for details on obtaining
|
|
specific approvals)
|
|
o Specific approval is
|
|
needed to use the Fund’s
|
|
auditors for tax services not
|
|
denoted as pre-approved, or to
|
|
add a specific service subcategory as
|
|
“pre-approved”
|
SERVICE CATEGORY
|
SERVICE CATEGORY DESCRIPTION
|
SPECIFIC PRE-APPROVED SERVICE
|
SUBCATEGORIES
|
||
IV. OTHER SERVICES
|
Services which are not
|
o Business Risk Management support
|
prohibited by the Rule,
|
o Other control and regulatory
|
|
A. SYNERGISTIC,
|
if an officer of the Fund
|
compliance projects
|
UNIQUE QUALIFICATIONS
|
determines that using the
|
|
Fund’s auditor to provide
|
||
these services creates
|
||
significant synergy in
|
||
the form of efficiency,
|
||
minimized disruption,
|
||
the ability to maintain a
|
||
desired level of
|
||
confidentiality, or where
|
||
the Fund’s auditors
|
||
posses unique or superior
|
||
qualifications to provide
|
||
these services, resulting
|
||
in superior value and
|
||
results for the Fund.
|
AUDIT COMMITTEE APPROVAL POLICY
|
AUDIT COMMITTEE REPORTING POLICY
|
o “One-time” pre-approval
|
o A summary of
|
for the fund fiscal year within
|
all such services and
|
a specified dollar limit
|
related fees
|
(including comparison
|
|
to specified dollar
|
|
limits) reported
|
|
quarterly.
|
|
o Specific approval is
|
|
needed to exceed the
|
|
pre-approved dollar limits for
|
|
these services (see general
|
|
Audit Committee approval policy
|
|
below for details on obtaining
|
|
specific approvals)
|
|
o Specific approval is
|
|
needed to use the Fund’s
|
|
auditors for “Synergistic” or
|
|
“Unique Qualifications” Other
|
|
Services not denoted as
|
|
pre-approved to the left, or to
|
|
add a specific service
|
|
subcategory as “pre-approved”
|
SERVICE CATEGORY
|
SERVICE CATEGORY DESCRIPTION
|
SPECIFIC PROHIBITED SERVICE
|
SUBCATEGORIES
|
||
PROHIBITED SERVICES
|
Services which result
|
1. Bookkeeping or other services
|
in the auditors losing
|
related to the accounting records or
|
|
independence status
|
financial statements of the audit
|
|
under the Rule.
|
client*
|
|
2. Financial information systems design
|
||
and implementation*
|
||
3. Appraisal or valuation services,
|
||
fairness* opinions, or
|
||
contribution-in-kind reports
|
||
4. Actuarial services (i.e., setting
|
||
actuarial reserves versus actuarial
|
||
audit work)*
|
||
5. Internal audit outsourcing services*
|
||
6. Management functions or human
|
||
resources
|
||
7. Broker or dealer, investment
|
||
advisor, or investment banking services
|
||
8. Legal services and expert services
|
||
unrelated to the audit
|
||
9. Any other service that the Public
|
||
Company Accounting Oversight Board
|
||
determines, by regulation, is
|
||
impermissible
|
AUDIT COMMITTEE APPROVAL POLICY
|
AUDIT COMMITTEE REPORTING POLICY
|
o These services are not to be
|
o A summary of all
|
performed with the exception of the(*)
|
services and related
|
services that may be permitted
|
fees reported at each
|
if they would not be subject to audit
|
regularly scheduled
|
procedures at the audit client (as
|
Audit Committee meeting
|
defined in rule 2-01(f)(4)) level
|
will serve as continual
|
the firm providing the service.
|
confirmation that has
|
not provided any
|
|
restricted services.
|