Ticker Symbol: HNW |
Head of the Americas, President and CEO of US
Amundi Asset Management US, Inc.
June 2023
Q | How did the Fund perform during the 12-month period ended April 30, 2023? |
A | Pioneer Diversified High Income Fund, Inc. returned -3.46% at net asset value (NAV) and -8.96% at market price during the 12-month period ended April 30, 2023. During the same 12-month period, the Fund’s composite benchmark returned 2.20% at NAV. The Fund’s composite benchmark is based on equal weights of the ICE Bank of America (ICE BofA) Global High Yield and Crossover Country Corporate and Government (GHY/CCC & G) Index and the Morningstar/Loan Syndications & Trading Association (Morningstar/LSTA) Leveraged Loan Index. |
Individually, during the 12-month period ended April 30, 2023, the ICE BofA GHY/CCC & G Index returned 0.80%, and the Morningstar/LSTA Leveraged Loan Index returned 3.39%. Unlike the Fund, the composite benchmark and its component indices do not use leverage. While the use of leverage increases investment opportunity, it also increases investment risk. | |
During the same 12-month period, the average return at NAV of the 41 closed end funds in Morningstar’s High Yield Bond Closed End Funds category (which may or may not be leveraged) was -1.92%, while the same closed end fund Morningstar category’s average return at market price was -2.27%. | |
The shares of the Fund were selling at a -14.58% discount to NAV on April 30, 2023. Comparatively, the shares of the Fund were selling at a -9.43% discount to NAV on April 30, 2022. |
As of April 30, 2023, the 30-day SEC yield on the Fund’s shares was 12.70%*. | |
Q | How would you describe the investment environment in the global fixed-income markets during the 12-month period ended April 30, 2023? |
A | Returns for all major segments of the fixed-income market were muted for the 12-month period, as Treasury yields ended the period higher, while credit spreads widened. (Credit spreads are commonly defined as the differences in yield between Treasuries and other types of fixed-income securities with similar maturities.) |
Entering the reporting period in May of 2022, geopolitical developments weighed heavily on investors’ appetites for riskier assets, such as stocks and corporate bonds. These included Russia’s ongoing war against Ukraine and the shuttering of China’s economy as the government there had implemented strict lockdowns in major cities as part of its “Zero-COVID” policy. Both crises served to exacerbate ongoing supply-chain pressures and threaten the global economic growth outlook. | |
At the same time, policymakers of many central banks were confronted with historically high inflation numbers. The US consumer price index (CPI) began to post year-over-year increases in excess of 8% beginning with the March 2022 readout, and peaked at over 9% in June 2022. By the late spring of 2022, market speculation had become heightened over whether the US Federal Reserve System (Fed) would be able to achieve a “soft landing,” in which economic growth slows yet remains positive as inflation is brought under control. With market participants concerned about rising inflation, the Fed’s response, and economic growth, returns for riskier assets turned significantly negative. | |
The Fed would aggressively increase the target range for the federal funds rate between May and September 2022, bringing the target to a range of 3.00% ‒ 3.25%, versus the 0.00% ‒ 0.25% |
* | The 30-day SEC yield is a standardized formula that is based on the hypothetical annualized earning power (investment income only) of the Fund’s portfolio securities during the period indicated. |
target range at the beginning of 2022. US Treasury yields moved sharply higher in response to the Fed’s determined stance to tighten monetary policy, and the yield curve became inverted as the market began anticipating a recession. (A yield curve is a line that plots the interest rates, at a set point in time, of bonds having equal credit quality but differing maturity dates. An inverted yield curve represents a situation where longer-term rates along the curve are lower than shorter-term rates.) | |
Towards the end of 2022, with inflation beginning to show signs of modest easing, investors began to anticipate a pivot by the Fed to a more “dovish” stance on monetary policy, despite another increase to the federal funds rate target range of 75 basis points (bps) in early November. (A basis point is equal to 1/100th of a percentage point.). This led to a rebound for riskier asset classes in the fourth quarter of 2022. However, the market soon turned its attention to the potential recessionary effects of the higher interest-rate regime already put in place by the Fed, leading riskier assets to give back some of their fourth-quarter gains over the month of December. The Fed then implemented a more modest 50 bps increase to the federal funds target range at its December meeting, leaving the target range at 4.25% ‒ 4.50% at the end of 2022. | |
Entering 2023, riskier assets continued to rally amid increasing investor optimism that the Fed and other leading central banks were poised to stop raising interest rates. January 2023 saw Treasury yields pull back from their more recent highs on the outlook for a potential easing of monetary policy. In addition, the reopening of China’s economy as the government unwound its “Zero-COVID” policy helped ease concerns about slowing global economic growth. Against this backdrop, areas of the market that had lagged during the 2022 sell-offs, such as growth stocks and corporate credit, outperformed. On February 1, 2023, the Fed once again raised the federal funds target range, this time by a less aggressive 25 bps, bringing the target to 4.50% ‒ 4.75%. | |
In March, however, the failure of two regional US banks and the collapse of European banking giant Credit Suisse raised fears of a financial crisis. In response, the Fed implemented a new lending program to support bank liquidity, while market participants began to anticipate interest-rate cuts by the Fed over the second |
half of the year. The prospect of a more dovish stance on monetary policy and a “flight to safety” by investors in the wake of the banking-system issues drove Treasury yields sharply lower, which in turn lent support to bond-market returns. At its March 23 meeting, the Fed went forward with another modest 25 bps increase to the federal funds target, bringing the range to 4.75% ‒ 5.00%. The financial markets viewed the latest rate increase as an indication that the Fed believed the financial system, overall, remained on solid footing. As of April 30, 2023, the yield on the 10-year Treasury note had declined from its earlier high of more than 4.00%, and stood at 3.44%, versus 2.89% 12 months earlier. | |
High-yield corporate bonds posted a positive, albeit modest, return for the 12-month period, while marginally outperforming their more interest-rate-sensitive investment-grade counterparts. Returns for floating-rate bank loans were somewhat higher, as the asset class benefited from the outlook for rising interest rates. Securitized assets finished the 12-month period with a positive return, led by non-agency residential mortgage-backed securities (RMBS). | |
Q | What factors affected the Fund’s benchmark-relative performance during the 12-month period ended April 30, 2023? |
A | The Fund’s underperformance relative to its composite benchmark was primarily the result of carrying leveraged exposure to credit-oriented sectors as market sentiment weakened over the period. (The use of leverage exacerbates the effects of market moves, in either direction.) Conversely, the portfolio’s below-benchmark (short) duration stance was the largest positive contributor to the Fund’s benchmark-relative returns as Treasury yields moved higher during the 12-month period. (Duration is a measure of the sensitivity of the price, or the value of principal, of a fixed-income investment to a change in interest rates, expressed as a number of years.) |
With respect to ratings categories, the portfolio’s tilt towards owning lower-quality issues within the high-yield corporate segment detracted from the Fund’s relative results for the period, as non-rated issues and issues in the “B” and “CCC” ratings |
categories underperformed “BB” rated issues, where the Fund was underweight versus the benchmark. | |
In sector terms, Fund’s overweight exposures to energy and transportation contributed positively to relative performance, while underweights to the insurance, automotive, and utility sectors detracted. Security selection results were positive for the Fund within the insurance, energy, and real estate sectors, but lagged significantly within the health care, services, and media segments. | |
The Fund’s non-benchmark holdings of securitized assets are comprised primarily of commercial MBS (CMBS), but also include collateralized loan obligations (CLOs) and credit-risk transfer securities within RMBS. (Credit-risk transfers are securities that transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the government-sponsored entities, or GSEs, Fannie Mae and Freddie Mac, to the private sector.) In order of magnitude, the Fund’s CMBS allocation broadly comprises single asset/single borrower issues, Freddie Mac-issued non-guaranteed deals, and the traditional conduit deals (diverse, fixed-rate pools). The Fund’s securitized holdings generated a slight, positive total return for the 12-month period, outperforming high-yield corporates as well as the broader securitized market, with the RMBS allocation leading positive contributions to benchmark-relative returns among the portfolio’s securitized exposures. CMBS exposures also had a positive effect on the Fund’s relative performance, though the portfolio’s holdings of asset-backed securities (ABS) generated a negative return, driven by the bankruptcy of a servicer backing a consumer lending deal. Issuance in both the CMBS and RMBS sectors has plummeted in 2023 as higher interest rates have kicked in, while ABS issuance has declined more modestly. | |
We increased the Fund’s bank-loan exposures by a modest amount during the 12-month period, in an attempt to take advantage of higher short-term reference rates for loans resulting from the Fed’s rate increases. Relative performance for the Fund’s bank loans benefited during the period from their floating-rate features and low duration. The loan asset class recovered its earlier losses (driven by investors' concerns over |
credit fundamentals) over the second half of the 12-month period, as recession fears were pushed out into late 2023, and loans benefited from sharp increases in London Interbank Offered/ Secured Overnight Financing (LIBOR/SOFR) rates, and generated a positive performance contribution for the full 12-month period. The loans held in the portfolio did lag the larger loan universe, however, as most of the borrowers to which the Fund is exposed also have high-yield bonds in their capital structures, and so the sell-off in the high-yield segment during the period affected investors' sentiment toward those borrowers, in general. The Fund’s overweight to such loan borrowers is based on their history of better recovery values in the event of default, relative to loan-only borrowers. After reaching a period low in February 2023 (just over 2% of invested assets), as noted previously, we had modestly increased the Fund's exposure to bank loans by period-end, as we sought to take advantage of higher LIBOR rates. The Fund’s loan allocation at period-end stood at just over 3% of invested assets, below the average for the last several quarters, as loan yields did not reach parity with high-yield bonds until late in the 12-month period. | |
The Fund’s allocation to insurance-linked securities (ILS) performed as we had expected during the period. While the broader markets sold off, the Fund's ILS exposures benefited benchmark-relative returns. One of the favorable characteristics of ILS is the structurally uncorrelated nature of the asset class to the performance of other assets. We continue to view having exposure to ILS as helping to bolster the income and risk-reward profile of the portfolio over the long term. | |
Q | How did the level of leverage in the Fund change over the 12-month period ended April 30, 2023? |
A | The Trust employs leverage through a credit agreement. (See Note 8 to the Financial Statements.) |
As of April 30, 2023, 30.3% of the Fund’s total managed assets were financed by leverage (or borrowed funds), compared with 32.7% of the Fund’s total managed assets financed by leverage at the start of the 12-month period on May 1, 2022. During the 12-month period, the Fund decreased the absolute amount of funds borrowed by a total of $12 million to $43 million as of April 30, |
2023. The percentage of the Fund’s managed assets financed by leverage decreased during the 12-month period due to the decrease in the amount of funds borrowed by the Fund. The interest rate on the Fund's leverage increased by 442 basis points from April 30, 2022 to April 30, 2023. | |
Q | Did the Fund’s distributions** to stockholders change during the 12-month period ended April 30, 2023? |
A | The Fund’s monthly distribution rate declined from $0.11000 cents per share/per month, to $0.09000 cents per share/per month, during the 12-month period. The Fund’s distributions during the reporting period included returns of capital totaling $0.04 per share. The decrease reflected the combination of higher-coupon bonds held in the portfolio being called, and a shift out of higher-yielding, higher-risk emerging markets issues, due to concerns about a potential recession. The Fund has accumulated undistributed net investment income which is part of the Fund's NAV. A portion of this accumulated net investment income was distributed to stockholders during the period, and may be depleted over time. A decrease in distributions may have a negative effect on the market value of the Fund's shares. |
Q | Did the Fund have exposure to any derivative securities during the 12-month period ended April 30, 2023? If so, did the derivatives have a notable effect on performance? |
A | We invested the Fund in forward foreign currency contracts (currency forwards) during the period to help manage the risk of the portfolio’s exposures to foreign currencies. The use of currency forwards had a small, positive effect on the Fund’s benchmark-relative results, given the decline in the euro relative to the US dollar over the 12-month period. |
Q | What is your investment outlook? |
A | With elevated inflation proving to be sticky and the Fed committed to bringing inflation down to its 2% long-term target, we believe the federal funds rate target range will remain “higher for longer,” contrary to current market expectations, which have continued to price in rate cuts for the latter part of 2023. We |
** | Distributions are not guaranteed. |
believe financial conditions will become more restrictive, and that the likelihood of a recession has risen, particularly as banks tighten lending standards and as the Fed maintains higher interest rates. Consequently, we expect to retain a somewhat defensive posture in the Fund’s portfolio as recession risk increases over the course of the year. | |
As has typically been the case during recessions, should one occur, we believe some high-yield bond issuers will end up in trouble, leading to increased defaults. However, we do not expect a deep recession, such as during the global financial crisis (GFC) of 2008. In our view, the economy will likely be on the upswing and the default rate headed lower at some point in 2024. | |
In this scenario, we would expect the default rate to remain lower than it was after the GFC. We predicate our view on the significant weighting of “BB” rated issuers in the high-yield universe, strong fundamentals (in our opinion) in many sectors such as autos and energy, and the relative strength of many US consumers. In addition, within the below-investment-grade universe, we expect the high-yield bond default rate to be substantially lower than the default rate for their floating-rate, leveraged-loan counterparts. | |
Within securitized assets, we expect that higher interest rates should keep issuance relatively low in both the CMBS and RMBS markets for the near-to-medium terms. The current interest-rate environment has slowed prepayments in the RMBS market as well as refinancings in the CMBS market, which has inhibited us from deploying funds into those categories. While further increases in short-term loan reference rates could potentially lead to an increase in the Fund’s loan exposures going forward, that is dependent upon the depth of any potential recession we may see as 2023 progresses. |
proceeds of leverage will not be sufficient to cover the cost of the leverage, which may adversely affect the return for shareholders.
(As a percentage of total investments)* | ||
1. | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | 3.95% |
2. | Hercules LLC, 6.50%, 6/30/29 | 1.45 |
3. | ABRA Global Finance, 11.50% (5.50% PIK or 6.00% Cash), 3/2/28 (144A) | 1.41 |
4. | ProFrac Holdings II LLC, Term Loan, 12.42% (Term SOFR + 725 bps), 3/4/25 | 1.37 |
5. | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | 1.29 |
6. | McGraw-Hill Education, Inc., 8.00%, 8/1/29 (144A) | 1.06 |
7. | Energean Plc, 6.50%, 4/30/27 (144A) | 1.02 |
8. | Grupo Aeromexico SAB de CV, 8.50%, 3/17/27 (144A) | 1.01 |
9. | Williams Cos., Inc., 5.75%, 6/24/44 | 0.87 |
10. | Aethon United BR LP/Aethon United Finance Corp., 8.25%, 2/15/26 (144A) | 0.84 |
* | Excludes short-term investments and all derivative contracts except for options purchased. The Fund is actively managed, and current holdings may be different. The holdings listed should not be considered recommendations to buy or sell any securities. |
4/30/23 | 4/30/22 | |
Market Value | $10.02 | $12.30 |
Discount | (14.58)% | (9.43)% |
4/30/23 | 4/30/22 | |
Net Asset Value | $11.73 | $13.58 |
Net Investment Income | Short-Term Capital Gains | Long-Term Capital Gains | Tax Return of Capital | |
5/1/22 – 4/30/23 | $1.1573 | $— | $— | $0.0427 |
4/30/23 | 4/30/22 | |
30-Day SEC Yield | 12.70% | 9.52% |
Average Annual Total Return (As of April 30, 2023) | |||||
Period | Net Asset Value (NAV) | Market Price | 50% ICE BofA Global High Yield/CCC & G Index/50% Morningstar/ LSTA Leveraged Loan Index | Morningstar/LSTA Leveraged Loan Index | ICE BofA Global High Yield/ CCC & G Index |
10 Years | 3.80% | 1.64% | 3.07% | 3.81% | 2.26% |
5 Years | 1.74 | 1.21 | 2.24 | 3.76 | 0.63 |
1 Year | -3.46 | -8.96 | 2.20 | 3.39 | 0.80 |
Principal Amount USD ($) | Value | |||||
UNAFFILIATED ISSUERS — 142.1% | ||||||
Senior Secured Floating Rate Loan Interests — 4.6% of Net Assets*(a) | ||||||
Chemicals-Diversified — 0.1% | ||||||
125,000 | LSF11 A5 Holdco LLC, Fourth Amendment Incremental Term Loan, 9.332% (Term SOFR + 425 bps), 10/15/28 | $ 122,500 | ||||
Total Chemicals-Diversified | $122,500 | |||||
Consumer Products — 0.1% | ||||||
334,469 | Instant Brands Holdings, Inc., Initial Loan, 9.953% (LIBOR + 500 bps), 4/12/28 | $ 128,352 | ||||
Total Consumer Products | $128,352 | |||||
Dialysis Centers — 0.3% | ||||||
482,500 | US Renal Care, Inc., Initial Term Loan, 9.84% (LIBOR + 500 bps), 6/26/26 | $ 319,154 | ||||
Total Dialysis Centers | $319,154 | |||||
Electronic Composition — 0.1% | ||||||
122,689 | Natel Engineering Co., Inc., Initial Term Loan, 11.275% (LIBOR + 625 bps), 4/30/26 | $ 107,966 | ||||
Total Electronic Composition | $107,966 | |||||
Investment Companies — 0.8% | ||||||
726,144 | Diebold Nixdorf Holding Germany GmbH, Term Loan, 11.629% (Term SOFR + 650 bps), 7/15/25 | $ 780,605 | ||||
Total Investment Companies | $780,605 | |||||
Medical Labs & Testing Services — 0.0%† | ||||||
206,740(b) | Envision Healthcare Corp., 2018 Third Out Term Loan, 8.648% (Term SOFR + 375 bps), 3/31/27 | $ 13,093 | ||||
Total Medical Labs & Testing Services | $13,093 | |||||
Oil-Field Services — 1.9% | ||||||
1,846,434 | ProFrac Holdings II LLC, Term Loan, 12.42% (Term SOFR + 725 bps), 3/4/25 | $ 1,834,894 | ||||
Total Oil-Field Services | $1,834,894 | |||||
Physical Practice Management — 0.2% | ||||||
320,304 | Team Health Holdings, Inc., Extended Term Loan, 10.232% (Term SOFR + 525 bps), 3/2/27 | $ 210,600 | ||||
Total Physical Practice Management | $210,600 | |||||
Principal Amount USD ($) | Value | |||||
Recreational Centers — 0.2% | ||||||
191,703 | Fitness International LLC, Term B Loan, 8.445% (Term SOFR + 325 bps), 4/18/25 | $ 185,233 | ||||
Total Recreational Centers | $185,233 | |||||
Telecom Services — 0.9% | ||||||
1,019,875 | Patagonia Holdco LLC, Amendment No.1 Term Loan, 10.473% (Term SOFR + 575 bps), 8/1/29 | $ 832,473 | ||||
Total Telecom Services | $832,473 | |||||
Total Senior Secured Floating Rate Loan Interests (Cost $5,136,725) | $4,534,870 | |||||
Shares | ||||||
Common Stocks — 0.3% of Net Assets | ||||||
Household Durables — 0.0%† | ||||||
89,094(c) | Desarrolladora Homex SAB de CV | $ 94 | ||||
Total Household Durables | $94 | |||||
Oil, Gas & Consumable Fuels — 0.0%† | ||||||
6(c) | Amplify Energy Corp. | $ 42 | ||||
2,189(c) | Petroquest Energy, Inc. | 109 | ||||
Total Oil, Gas & Consumable Fuels | $151 | |||||
Passenger Airlines — 0.3% | ||||||
24,166(c)+ | Grupo Aeromexico SAB de CV | $ 268,817 | ||||
Total Passenger Airlines | $268,817 | |||||
Total Common Stocks (Cost $619,487) | $269,062 | |||||
Principal Amount USD ($) | ||||||
Asset Backed Securities — 3.5% of Net Assets | ||||||
500,000 | ACC Auto Trust, Series 2022-A, Class D, 10.07%, 3/15/29 (144A) | $ 482,533 | ||||
500,000(a) | Goldentree Loan Management US CLO 2, Ltd., Series 2017-2A, Class E, 9.95% (3 Month USD LIBOR + 470 bps), 11/28/30 (144A) | 443,909 | ||||
1,000,000 | JPMorgan Chase Bank NA - CACLN, Series 2021-3, Class G, 9.812%, 2/26/29 (144A) | 941,441 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
1,000,000(a) | MCF CLO VII LLC, Series 2017-3A, Class ER, 14.40% (3 Month USD LIBOR + 915 bps), 7/20/33 (144A) | $ 944,605 | ||||
650,000 | Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class E, 12.662%, 5/15/32 (144A) | 603,139 | ||||
Total Asset Backed Securities (Cost $3,614,143) | $3,415,627 | |||||
Collateralized Mortgage Obligations—2.6% of Net Assets | ||||||
330,000(a) | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B2, 10.815% (SOFR30A + 600 bps), 10/25/41 (144A) | $ 305,680 | ||||
10,370(a) | DSLA Mortgage Loan Trust, Series 2005-AR6, Class 2A1C, 5.791% (1 Month USD LIBOR + 84 bps), 10/19/45 | 10,135 | ||||
100,000(a) | Fannie Mae Connecticut Avenue Securities, Series 2021-R02, Class 2B2, 11.015% (SOFR30A + 620 bps), 11/25/41 (144A) | 92,755 | ||||
200,000(a) | Freddie Mac STACR REMIC Trust, Series 2021-DNA7, Class B2, 12.615% (SOFR30A + 780 bps), 11/25/41 (144A) | 185,330 | ||||
450,000(a) | Freddie Mac STACR REMIC Trust, Series 2021-HQA3, Class B2, 11.065% (SOFR30A + 625 bps), 9/25/41 (144A) | 387,747 | ||||
280,000(a) | Freddie Mac STACR REMIC Trust, Series 2022-DNA2, Class B2, 13.315% (SOFR30A + 850 bps), 2/25/42 (144A) | 260,081 | ||||
545,000(a) | Freddie Mac STACR Trust, Series 2019-DNA3, Class B2, 13.17% (1 Month USD LIBOR + 815 bps), 7/25/49 (144A) | 563,767 | ||||
19,339 | Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A) | 12,242 | ||||
500,000(d) | RMF Buyout Issuance Trust, Series 2022-HB1, Class M5, 4.50%, 4/25/32 (144A) | 55,625 | ||||
640,000(a) | STACR Trust, Series 2018-HRP2, Class B2, 15.52% (1 Month USD LIBOR + 1,050 bps), 2/25/47 (144A) | 703,134 | ||||
Total Collateralized Mortgage Obligations (Cost $3,045,167) | $2,576,496 | |||||
Commercial Mortgage-Backed Securities—11.8% of Net Assets | ||||||
1,000,000(d) | Benchmark Mortgage Trust, Series 2020-B18, Class AGNG, 4.535%, 7/15/53 (144A) | $ 846,837 | ||||
500,000(a) | BPR Trust, Series 2021-WILL, Class E, 11.698% (1 Month USD LIBOR + 675 bps), 6/15/38 (144A) | 454,534 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
668,314(a) | BX Trust, Series 2022-PSB, Class F, 12.223% (1 Month Term SOFR + 733 bps), 8/15/39 (144A) | $ 665,007 | ||||
570,966(a) | Capital Funding Mortgage Trust, Series 2020-9, Class B, 19.748% (1 Month USD LIBOR + 1,490 bps), 11/15/23 (144A) | 563,210 | ||||
288,017(a) | Capital Funding Mortgage Trust, Series 2021-8, Class B, 17.95% (1 Month USD LIBOR + 1,310 bps), 6/22/23 (144A) | 288,017 | ||||
1,000,000(a) | Capital Funding Mortgage Trust, Series 2021-19, Class B, 20.06% (1 Month USD LIBOR + 1,521 bps), 11/6/23 (144A) | 971,384 | ||||
21,820,372(d)(e) | COMM Mortgage Trust, Series 2015-LC21, Class XA, 0.797%, 7/10/48 | 247,474 | ||||
702,000(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN1, Class B1, 12.31% (SOFR30A + 775 bps), 1/25/51 (144A) | 649,157 | ||||
180,000(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN3, Class B1, 11.665% (SOFR30A + 685 bps), 11/25/51 (144A) | 149,249 | ||||
579,126(d) | FREMF Mortgage Trust, Series 2019-KJ24, Class B, 7.60%, 10/25/27 (144A) | 533,628 | ||||
1,000,000(a) | FREMF Mortgage Trust, Series 2019-KS12, Class C, 11.758% (1 Month USD LIBOR + 690 bps), 8/25/29 | 945,902 | ||||
142,525(a) | FREMF Mortgage Trust, Series 2020-KF74, Class C, 11.108% (1 Month USD LIBOR + 625 bps), 1/25/27 (144A) | 135,962 | ||||
394,124(a) | FREMF Mortgage Trust, Series 2020-KF83, Class C, 13.858% (1 Month USD LIBOR + 900 bps), 7/25/30 (144A) | 382,456 | ||||
1,000,000(f) | FREMF Mortgage Trust, Series 2021-KG05, Class C, 0.000%, 1/25/31 (144A) | 505,762 | ||||
12,333,286(e) | FREMF Mortgage Trust, Series 2021-KG05, Class X2A, 0.10%, 1/25/31 (144A) | 69,176 | ||||
1,000,000(e) | FREMF Mortgage Trust, Series 2021-KG05, Class X2B, 0.10%, 1/25/31 (144A) | 5,193 | ||||
7,651,641(d)(e) | FRESB Mortgage Trust, Series 2020-SB79, Class X1, 1.193%, 7/25/40 | 313,883 | ||||
500,000(d) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D, 4.423%, 4/15/46 | 325,004 | ||||
750,000(a) | Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 8.77% (1 Month USD LIBOR + 375 bps), 3/25/50 (144A) | 705,047 | ||||
900,000(d) | Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class E, 4.544%, 8/15/36 (144A) | 656,204 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
290,000 | Palisades Center Trust, Series 2016-PLSD, Class A, 2.713%, 4/13/33 (144A) | $ 174,000 | ||||
235,864(d) | Velocity Commercial Capital Loan Trust, Series 2020-1, Class M5, 4.29%, 2/25/50 (144A) | 178,872 | ||||
1,100,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.00%, 5/15/48 (144A) | 740,958 | ||||
1,660,500(d) | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class E, 4.749%, 11/15/48 (144A) | 1,004,660 | ||||
Total Commercial Mortgage-Backed Securities (Cost $13,048,446) | $11,511,576 | |||||
Convertible Corporate Bonds — 2.3% of Net Assets | ||||||
Banks — 0.0%† | ||||||
IDR812,959,000 | PT Bakrie & Brothers Tbk, 7/31/23 | $ 6,318 | ||||
Total Banks | $6,318 | |||||
Chemicals — 2.0% | ||||||
1,900,000(g) | Hercules LLC, 6.50%, 6/30/29 | $ 1,948,930 | ||||
Total Chemicals | $1,948,930 | |||||
Entertainment — 0.2% | ||||||
312,000(f) | DraftKings Holdings, Inc., 3/15/28 | $ 223,392 | ||||
Total Entertainment | $223,392 | |||||
Pharmaceuticals — 0.1% | ||||||
300,000(b) | Tricida, Inc., 3.50%, 5/15/27 | $ 32,250 | ||||
Total Pharmaceuticals | $32,250 | |||||
Total Convertible Corporate Bonds (Cost $2,053,667) | $2,210,890 | |||||
Corporate Bonds — 87.2% of Net Assets | ||||||
Advertising — 1.3% | ||||||
645,000 | Clear Channel Outdoor Holdings, Inc., 7.50%, 6/1/29 (144A) | $ 477,296 | ||||
535,000 | Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28 (144A) | 405,956 | ||||
400,000 | Summer BC Bidco B LLC, 5.50%, 10/31/26 (144A) | 335,733 | ||||
Total Advertising | $1,218,985 | |||||
Principal Amount USD ($) | Value | |||||
Aerospace & Defense — 0.6% | ||||||
315,000 | Spirit AeroSystems, Inc., 9.375%, 11/30/29 (144A) | $ 338,597 | ||||
270,000 | Triumph Group, Inc., 9.00%, 3/15/28 (144A) | 273,705 | ||||
Total Aerospace & Defense | $612,302 | |||||
Agriculture — 1.0% | ||||||
1,310,000 | Frigorifico Concepcion SA, 7.70%, 7/21/28 (144A) | $ 937,069 | ||||
Total Agriculture | $937,069 | |||||
Airlines — 6.5% | ||||||
488,869(h) | ABRA Global Finance, 5.00% (5.00% PIK), 3/2/28 (144A) | $ 405,761 | ||||
2,374,757(h) | ABRA Global Finance, 11.50% (5.50% PIK or 6.00% Cash), 3/2/28 (144A) | 1,900,145 | ||||
1,510,000 | Grupo Aeromexico SAB de CV, 8.50%, 3/17/27 (144A) | 1,350,965 | ||||
285,000 | Latam Airlines Group SA, 13.375%, 10/15/29 (144A) | 299,216 | ||||
1,059,000 | Pegasus Hava Tasimaciligi AS, 9.25%, 4/30/26 (144A) | 1,055,145 | ||||
585,000 | Spirit Loyalty Cayman, Ltd./Spirit IP Cayman, Ltd., 8.00%, 9/20/25 (144A) | 590,896 | ||||
EUR700,000 | Transportes Aereos Portugueses SA, 5.625%, 12/2/24 (144A) | 750,293 | ||||
Total Airlines | $6,352,421 | |||||
Apparel — 0.4% | ||||||
370,000 | Hanesbrands, Inc., 9.00%, 2/15/31 (144A) | $ 378,750 | ||||
Total Apparel | $378,750 | |||||
Auto Manufacturers — 0.5% | ||||||
545,000 | JB Poindexter & Co., Inc., 7.125%, 4/15/26 (144A) | $ 525,920 | ||||
Total Auto Manufacturers | $525,920 | |||||
Auto Parts & Equipment — 1.0% | ||||||
1,046,000 | Dealer Tire LLC/DT Issuer LLC, 8.00%, 2/1/28 (144A) | $ 970,165 | ||||
Total Auto Parts & Equipment | $970,165 | |||||
Banks — 3.5% | ||||||
300,000(d) | Banco de Galicia y Buenos Aires SAU, 7.962% (5 Year CMT Index + 716 bps), 7/19/26 (144A) | $ 267,210 | ||||
1,135,000(d) | Banco GNB Sudameris SA, 7.50% (5 Year CMT Index + 666 bps), 4/16/31 (144A) | 839,900 | ||||
685,000(d)(i) | Banco Mercantil del Norte SA, 8.375% (10 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 776 bps) (144A) | 648,010 |
Principal Amount USD ($) | Value | |||||
Banks — (continued) | ||||||
247,000 | Freedom Mortgage Corp., 8.125%, 11/15/24 (144A) | $ 237,863 | ||||
911,000 | Freedom Mortgage Corp., 8.25%, 4/15/25 (144A) | 846,930 | ||||
350,000(d)(i) | ING Groep NV, 6.50% (5 Year USD Swap Rate + 445 bps) | 323,475 | ||||
225,000(d)(i) | Intesa Sanpaolo S.p.A., 7.70% (5 Year USD Swap Rate + 546 bps) (144A) | 204,722 | ||||
200,000(b) | Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (144A) | 10,000 | ||||
865,000(b)(d)(i) | Sovcombank Via SovCom Capital DAC, 7.60% (5 Year CMT Index + 636 bps) (144A) | 31,248 | ||||
Total Banks | $3,409,358 | |||||
Biotechnology — 0.4% | ||||||
EUR345,000 | Cidron Aida Finco S.a.r.l., 5.00%, 4/1/28 (144A) | $ 339,380 | ||||
Total Biotechnology | $339,380 | |||||
Building Materials — 0.4% | ||||||
464,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/29 (144A) | $ 349,160 | ||||
Total Building Materials | $349,160 | |||||
Chemicals — 2.4% | ||||||
425,000 | Braskem Idesa SAPI, 6.99%, 2/20/32 (144A) | $ 304,088 | ||||
425,000 | LSF11 A5 HoldCo LLC, 6.625%, 10/15/29 (144A) | 366,031 | ||||
EUR420,000 | Lune Holdings S.a.r.l., 5.625%, 11/15/28 (144A) | 395,486 | ||||
300,000 | LYB Finance Co. BV, 8.10%, 3/15/27 (144A) | 331,225 | ||||
379,000 | Mativ Holdings, Inc., 6.875%, 10/1/26 (144A) | 345,374 | ||||
280,000 | Olin Corp., 9.50%, 6/1/25 (144A) | 295,134 | ||||
336,000 | Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 4/1/25 (144A) | 325,631 | ||||
Total Chemicals | $2,362,969 | |||||
Commercial Services — 5.4% | ||||||
245,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26 (144A) | $ 236,168 | ||||
585,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 7/15/27 (144A) | 544,186 | ||||
1,384,000 | Atento Luxco 1 SA, 8.00%, 2/10/26 (144A) | 354,304 | ||||
473,000 | Garda World Security Corp., 6.00%, 6/1/29 (144A) | 389,043 | ||||
958,000 | Garda World Security Corp., 9.50%, 11/1/27 (144A) | 918,042 | ||||
625,000 | Neptune Bidco US, Inc., 9.29%, 4/15/29 (144A) | 588,281 | ||||
350,000 | PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29 (144A) | 228,434 | ||||
935,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 875,661 |
Principal Amount USD ($) | Value | |||||
Commercial Services — (continued) | ||||||
MXN3,375,000 | Red de Carreteras de Occidente SAB de CV, 9.00%, 6/10/28 (144A) | $ 175,982 | ||||
558,000 | Sotheby's, 7.375%, 10/15/27 (144A) | 523,143 | ||||
411,000 | Verscend Escrow Corp., 9.75%, 8/15/26 (144A) | 414,793 | ||||
Total Commercial Services | $5,248,037 | |||||
Computers — 0.0%† | ||||||
1(h) | Diebold Nixdorf, Inc., 8.50% (8.50% PIK or 12.50% PIK or 8.50% Cash), 10/15/26 (144A) | $ 0 | ||||
Total Computers | $0 | |||||
Diversified Financial Services — 7.1% | ||||||
1,000,000 | ASG Finance Designated Activity Co., 7.875%, 12/3/24 (144A) | $ 965,000 | ||||
380,624(h) | Avation Capital SA, 8.25% (9.00% PIK or 8.25% Cash), 10/31/26 (144A) | 330,191 | ||||
1,110,000 | Bread Financial Holdings, Inc., 7.00%, 1/15/26 (144A) | 935,427 | ||||
275,000(b) | Credito Real SAB de CV SOFOM ER, 8.00%, 1/21/28 (144A) | 18,290 | ||||
EUR235,000 | Garfunkelux Holdco 3 SA, 6.75%, 11/1/25 (144A) | 196,138 | ||||
GBP400,000 | Garfunkelux Holdco 3 SA, 7.75%, 11/1/25 (144A) | 377,186 | ||||
1,112,739(h) | Global Aircraft Leasing Co., Ltd., 6.50% (7.25% PIK or 6.50% Cash), 9/15/24 (144A) | 993,364 | ||||
EUR840,000 | Intrum AB, 9.25%, 3/15/28 (144A) | 881,630 | ||||
355,000 | PHH Mortgage Corp., 7.875%, 3/15/26 (144A) | 319,053 | ||||
1,174,000(b) | Unifin Financiera SAB de CV, 8.375%, 1/27/28 (144A) | 29,350 | ||||
865,000 | United Wholesale Mortgage LLC, 5.75%, 6/15/27 (144A) | 788,139 | ||||
465,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 6.375%, 2/1/30 (144A) | 402,288 | ||||
745,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 7.875%, 5/1/27 (144A) | 707,750 | ||||
Total Diversified Financial Services | $6,943,806 | |||||
Electric — 1.0% | ||||||
400,000 | Cemig Geracao e Transmissao SA, 9.25%, 12/5/24 (144A) | $ 410,000 | ||||
63,574 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25 (144A) | 63,262 | ||||
445,000 | Talen Energy Supply LLC, 8.625%, 6/1/30 (144A) | 445,000 | ||||
7,000 | Vistra Operations Co. LLC, 5.625%, 2/15/27 (144A) | 6,827 | ||||
Total Electric | $925,089 | |||||
Principal Amount USD ($) | Value | |||||
Electrical Components & Equipments — 0.6% | ||||||
350,000 | WESCO Distribution, Inc., 7.125%, 6/15/25 (144A) | $ 355,916 | ||||
245,000 | WESCO Distribution, Inc., 7.25%, 6/15/28 (144A) | 251,485 | ||||
Total Electrical Components & Equipments | $607,401 | |||||
Energy-Alternate Sources — 0.1% | ||||||
94,702(h) | SCC Power Plc, 4.00% (4.00% PIK or 4.00% Cash), 5/17/32 (144A) | $ 8,530 | ||||
174,835(h) | SCC Power Plc, 8.00% (4.00% PIK or 4.00% Cash or 8.00% Cash), 12/31/28 (144A) | 59,007 | ||||
Total Energy-Alternate Sources | $67,537 | |||||
Engineering & Construction — 2.0% | ||||||
200,000 | Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 3/30/29 (144A) | $ 196,500 | ||||
998,816 | Artera Services LLC, 9.033%, 12/4/25 (144A) | 857,848 | ||||
230,000 | IHS Holding, Ltd., 6.25%, 11/29/28 (144A) | 182,275 | ||||
EUR360,000 | Promontoria Holding 264 BV, 6.375%, 3/1/27 (144A) | 398,271 | ||||
280,000 | Promontoria Holding 264 BV, 7.875%, 3/1/27 (144A) | 283,150 | ||||
Total Engineering & Construction | $1,918,044 | |||||
Entertainment — 1.6% | ||||||
EUR325,000 | Lottomatica S.p.A./Roma, 9.75%, 9/30/27 (144A) | $ 383,519 | ||||
700,000 | Mohegan Tribal Gaming Authority, 8.00%, 2/1/26 (144A) | 626,500 | ||||
295,000 | Scientific Games International, Inc., 7.00%, 5/15/28 (144A) | 294,280 | ||||
295,000 | Scientific Games International, Inc., 7.25%, 11/15/29 (144A) | 295,000 | ||||
Total Entertainment | $1,599,299 | |||||
Environmental Control — 0.4% | ||||||
367,000 | Tervita Corp., 11.00%, 12/1/25 (144A) | $ 391,154 | ||||
Total Environmental Control | $391,154 | |||||
Food — 0.4% | ||||||
555,000 | Aragvi Finance International DAC, 8.45%, 4/29/26 (144A) | $ 377,400 | ||||
Total Food | $377,400 | |||||
Healthcare-Products — 0.2% | ||||||
239,000 | Varex Imaging Corp., 7.875%, 10/15/27 (144A) | $ 236,610 | ||||
Total Healthcare-Products | $236,610 | |||||
Healthcare-Services — 2.7% | ||||||
445,000 | Auna SAA, 6.50%, 11/20/25 (144A) | $ 350,438 |
Principal Amount USD ($) | Value | |||||
Healthcare-Services — (continued) | ||||||
550,000 | Prime Healthcare Services, Inc., 7.25%, 11/1/25 (144A) | $ 496,515 | ||||
357,000 | RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26 (144A) | 296,886 | ||||
626,000 | Surgery Center Holdings, Inc., 10.00%, 4/15/27 (144A) | 641,646 | ||||
765,000 | US Acute Care Solutions LLC, 6.375%, 3/1/26 (144A) | 682,762 | ||||
1,165,000 | US Renal Care, Inc., 10.625%, 7/15/27 (144A) | 206,788 | ||||
Total Healthcare-Services | $2,675,035 | |||||
Home Builders — 0.9% | ||||||
885,000 | Beazer Homes USA, Inc., 7.25%, 10/15/29 | $ 843,846 | ||||
Total Home Builders | $843,846 | |||||
Home Furnishings — 1.0% | ||||||
EUR930,000 | International Design Group S.p.A., 6.50%, 11/15/25 (144A) | $ 979,933 | ||||
Total Home Furnishings | $979,933 | |||||
Insurance — 5.4% | ||||||
4,600,000 | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | $ 5,313,314 | ||||
Total Insurance | $5,313,314 | |||||
Iron & Steel — 1.9% | ||||||
845,000 | Carpenter Technology Corp., 7.625%, 3/15/30 | $ 864,271 | ||||
613,000 | Metinvest BV, 7.75%, 10/17/29 (144A) | 349,410 | ||||
870,000 | TMS International Corp., 6.25%, 4/15/29 (144A) | 672,317 | ||||
Total Iron & Steel | $1,885,998 | |||||
Leisure Time — 2.1% | ||||||
100,000 | Carnival Corp., 7.625%, 3/1/26 (144A) | $ 91,438 | ||||
EUR130,000 | Carnival Corp., 7.625%, 3/1/26 (144A) | 127,657 | ||||
135,000 | Carnival Corp., 10.50%, 2/1/26 (144A) | 140,930 | ||||
120,000 | Carnival Holdings Bermuda, Ltd., 10.375%, 5/1/28 (144A) | 129,010 | ||||
400,000 | NCL Corp., Ltd., 5.875%, 3/15/26 (144A) | 344,547 | ||||
170,000 | NCL Finance, Ltd., 6.125%, 3/15/28 (144A) | 137,275 | ||||
178,000 | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25 (144A) | 188,903 | ||||
595,000 | Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27 (144A) | 632,952 | ||||
245,000 | Viking Cruises, Ltd., 6.25%, 5/15/25 (144A) | 232,618 | ||||
Total Leisure Time | $2,025,330 | |||||
Principal Amount USD ($) | Value | |||||
Media — 1.8% | ||||||
400,000 | CSC Holdings LLC, 5.375%, 2/1/28 (144A) | $ 328,079 | ||||
1,660,000 | McGraw-Hill Education, Inc., 8.00%, 8/1/29 (144A) | 1,427,600 | ||||
Total Media | $1,755,679 | |||||
Metal Fabricate/Hardware — 0.3% | ||||||
385,000 | Park-Ohio Industries, Inc., 6.625%, 4/15/27 | $ 306,075 | ||||
Total Metal Fabricate/Hardware | $306,075 | |||||
Mining — 1.0% | ||||||
633,000 | Eldorado Gold Corp., 6.25%, 9/1/29 (144A) | $ 588,690 | ||||
400,000 | First Quantum Minerals, Ltd., 6.875%, 10/15/27 (144A) | 388,340 | ||||
Total Mining | $977,030 | |||||
Oil & Gas — 16.1% | ||||||
1,160,000 | Aethon United BR LP/Aethon United Finance Corp., 8.25%, 2/15/26 (144A) | $ 1,126,437 | ||||
910,000 | Baytex Energy Corp., 8.50%, 4/30/30 (144A) | 914,842 | ||||
1,685,000 | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | 1,733,403 | ||||
294,000 | Cenovus Energy, Inc., 6.75%, 11/15/39 | 319,235 | ||||
1,510,000 | Energean Plc, 6.50%, 4/30/27 (144A) | 1,367,154 | ||||
383,000 | International Petroleum Corp., 7.25%, 2/1/27 (144A) | 360,925 | ||||
405,000 | Kosmos Energy, Ltd., 7.75%, 5/1/27 (144A) | 349,993 | ||||
590,000 | Matador Resources Co., 6.875%, 4/15/28 (144A) | 593,699 | ||||
1,309,271 | MC Brazil Downstream Trading S.a.r.l, 7.25%, 6/30/31 (144A) | 1,006,134 | ||||
605,000 | Murphy Oil Corp., 6.375%, 7/15/28 | 602,742 | ||||
515,000 | Nabors Industries, Ltd., 7.50%, 1/15/28 (144A) | 468,640 | ||||
603,000 | Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A) | 594,416 | ||||
175,000 | Noble Finance II LLC, 8.00%, 4/15/30 (144A) | 179,204 | ||||
955,000 | Occidental Petroleum Corp., 4.40%, 4/15/46 | 769,152 | ||||
674,000 | Petroleos Mexicanos, 6.70%, 2/16/32 | 518,827 | ||||
271,000 | Precision Drilling Corp., 6.875%, 1/15/29 (144A) | 248,643 | ||||
395,000 | Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A) | 359,450 | ||||
480,000 | Shelf Drilling Holdings, Ltd., 8.875%, 11/15/24 (144A) | 480,000 | ||||
900,000 | SierraCol Energy Andina LLC, 6.00%, 6/15/28 (144A) | 666,450 | ||||
860,000 | Strathcona Resources, Ltd., 6.875%, 8/1/26 (144A) | 727,273 | ||||
120,000 | Transocean Titan Financing, Ltd., 8.375%, 2/1/28 (144A) | 122,308 | ||||
785,000 | Tullow Oil Plc, 10.25%, 5/15/26 (144A) | 613,085 |
Principal Amount USD ($) | Value | |||||
Oil & Gas — (continued) | ||||||
725,000 | Valaris, Ltd., 8.375%, 4/30/30 (144A) | $ 725,312 | ||||
1,195,000 | YPF SA, 6.95%, 7/21/27 (144A) | 860,451 | ||||
Total Oil & Gas | $15,707,775 | |||||
Oil & Gas Services — 1.2% | ||||||
521,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.875%, 4/1/27 (144A) | $ 511,914 | ||||
630,000 | Enerflex, Ltd., 9.00%, 10/15/27 (144A) | 627,732 | ||||
Total Oil & Gas Services | $1,139,646 | |||||
Packaging & Containers — 0.5% | ||||||
EUR425,000 | Fiber Bidco S.p.A., 11.00%, 10/25/27 (144A) | $ 504,367 | ||||
Total Packaging & Containers | $504,367 | |||||
Pharmaceuticals — 1.0% | ||||||
234,000(b) | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 7/31/27 (144A) | $ 13,163 | ||||
790,000 | P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (144A) | 632,000 | ||||
381,000 | Par Pharmaceutical, Inc., 7.50%, 4/1/27 (144A) | 269,959 | ||||
93,000 | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | 92,258 | ||||
Total Pharmaceuticals | $1,007,380 | |||||
Pipelines — 6.0% | ||||||
810,012 | Acu Petroleo Luxembourg S.a.r.l., 7.50%, 1/13/32 (144A) | $ 706,446 | ||||
555,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75%, 5/15/25 | 543,900 | ||||
510,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.125%, 6/1/28 (144A) | 464,526 | ||||
450,000(a) | Energy Transfer LP, 8.317% (3 Month USD LIBOR + 302 bps), 11/1/66 | 335,250 | ||||
915,000(d)(i) | Energy Transfer LP, 7.125% (5 Year CMT Index + 531 bps) | 770,888 | ||||
118,000 | EnLink Midstream Partners LP, 5.05%, 4/1/45 | 93,642 | ||||
145,000 | EnLink Midstream Partners LP, 5.45%, 6/1/47 | 121,075 | ||||
344,000 | EnLink Midstream Partners LP, 5.60%, 4/1/44 | 285,889 | ||||
365,000 | Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 1/15/27 | 364,240 | ||||
197,000 | Global Partners LP/GLP Finance Corp., 7.00%, 8/1/27 | 190,408 |
Principal Amount USD ($) | Value | |||||
Pipelines — (continued) | ||||||
845,000 | Harvest Midstream I LP, 7.50%, 9/1/28 (144A) | $ 826,791 | ||||
1,175,000 | Williams Cos., Inc., 5.75%, 6/24/44 | 1,164,300 | ||||
Total Pipelines | $5,867,355 | |||||
REITs — 0.9% | ||||||
890,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 1/15/30 (144A) | $ 525,020 | ||||
10,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 2/15/29 (144A) | 6,037 | ||||
410,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 2/15/28 (144A) | 392,327 | ||||
Total REITs | $923,384 | |||||
Retail — 0.3% | ||||||
389,000 | Staples, Inc., 7.50%, 4/15/26 (144A) | $ 328,058 | ||||
Total Retail | $328,058 | |||||
Software — 0.4% | ||||||
505,000 | AthenaHealth Group, Inc., 6.50%, 2/15/30 (144A) | $ 414,776 | ||||
Total Software | $414,776 | |||||
Telecommunications — 4.0% | ||||||
695,000 | Altice France Holding SA, 6.00%, 2/15/28 (144A) | $ 427,961 | ||||
607,000 | Altice France Holding SA, 10.50%, 5/15/27 (144A) | 448,257 | ||||
200,000 | Altice France SA, 8.125%, 2/1/27 (144A) | 178,583 | ||||
750,000(b) | Digicel, Ltd., 6.75%, 3/1/24 | 150,000 | ||||
836,000 | Kenbourne Invest SA, 6.875%, 11/26/24 (144A) | 551,760 | ||||
850,000 | Sprint LLC, 7.625%, 3/1/26 | 900,076 | ||||
850,000 | Total Play Telecomunicaciones SA de CV, 6.375%, 9/20/28 (144A) | 560,015 | ||||
875,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28 (144A) | 720,675 | ||||
Total Telecommunications | $3,937,327 | |||||
Transportation — 2.6% | ||||||
1,245,000 | Carriage Purchaser, Inc., 7.875%, 10/15/29 (144A) | $ 914,189 | ||||
655,000 | Danaos Corp., 8.50%, 3/1/28 (144A) | 648,281 | ||||
400,000 | Simpar Europe SA, 5.20%, 1/26/31 (144A) | 295,984 | ||||
575,000 | Watco Cos. LLC/Watco Finance Corp., 6.50%, 6/15/27 (144A) | 557,569 | ||||
965,000 | Western Global Airlines LLC, 10.375%, 8/15/25 (144A) | 125,450 | ||||
Total Transportation | $2,541,473 | |||||
Principal Amount USD ($) | Value | |||||
Trucking & Leasing — 0.3% | ||||||
325,000 | Fortress Transportation and Infrastructure Investors LLC, 9.75%, 8/1/27 (144A) | $ 338,466 | ||||
Total Trucking & Leasing | $338,466 | |||||
Total Corporate Bonds (Cost $96,356,573) | $85,243,103 | |||||
Shares | ||||||
Preferred Stock — 0.6% of Net Assets | ||||||
Capital Markets — 0.0%† | ||||||
1,322 | B Riley Financial, Inc., 6.75%, 5/31/24 | $ 32,654 | ||||
Total Capital Markets | $32,654 | |||||
Financial Services — 0.5% | ||||||
500(d)(i) | Compeer Financial ACA, 6.75% (3 Month USD LIBOR + 458 bps) (144A) | $ 501,258 | ||||
Total Financial Services | $501,258 | |||||
Internet — 0.1% | ||||||
50,188 | MYT Holding LLC, 10.00%, 6/6/29 | $ 41,405 | ||||
Total Internet | $41,405 | |||||
Total Preferred Stock (Cost $624,106) | $575,317 | |||||
Right/Warrant — 0.0%† of Net Assets | ||||||
Aerospace & Defense — 0.0%† | ||||||
GBP6,475(c) | Avation Plc, 1/1/59 | $ 4,923 | ||||
Total Aerospace & Defense | $4,923 | |||||
Total Right/Warrant (Cost $—) | $4,923 | |||||
Principal Amount USD ($) | ||||||
Insurance-Linked Securities — 22.7% of Net Assets# | ||||||
Event Linked Bonds — 10.2% | ||||||
Earthquakes – U.S. — 0.3% | ||||||
250,000(a) | Ursa Re, 10.53%, (3 Month U.S. Treasury Bill + 550 bps), 12/6/25 (144A) | $ 249,875 | ||||
Flood – U.S. — 0.7% | ||||||
250,000(a) | FloodSmart Re, 16.28%, (3 Month U.S. Treasury Bill + 1,125 bps), 2/25/25 (144A) | $ 234,100 |
Principal Amount USD ($) | Value | |||||
Flood – U.S. — (continued) | ||||||
250,000(a) | FloodSmart Re, 18.61%, (3 Month U.S. Treasury Bill + 1,358 bps), 3/1/24 (144A) | $ 234,850 | ||||
250,000(a) | FloodSmart Re, 21.28%, (1 Month U.S. Treasury Bill + 1,625 bps), 3/11/26 (144A) | 249,800 | ||||
$718,750 | ||||||
Multiperil – U.S. — 2.3% | ||||||
400,000(a) | Caelus Re V, 5.125%, (1 Month USD LIBOR + 10 bps), 6/5/24 (144A) | $ 32,000 | ||||
250,000(a) | Caelus Re V, 5.13%, (3 Month U.S. Treasury Bill + 10 bps), 6/9/25 (144A) | 25 | ||||
250,000(a) | Four Lakes Re, 12.33%, (3 Month U.S. Treasury Bill + 730 bps), 1/5/24 (144A) | 233,900 | ||||
250,000(a) | Four Lakes Re, 15.19%, (3 Month U.S. Treasury Bill + 1,016 bps), 1/5/24 (144A) | 231,350 | ||||
500,000(a) | Matterhorn Re, 12.59%, (SOFR + 775 bps), 3/24/25 (144A) | 457,250 | ||||
375,000(a) | Residential Re, 12.03%, (3 Month U.S. Treasury Bill + 700 bps), 12/6/26 (144A) | 374,212 | ||||
250,000(a) | Residential Reinsurance Re 2019, 17.42%, (3 Month U.S. Treasury Bill + 1,239 bps), 12/6/23 (144A) | 239,850 | ||||
500,000(a) | Residential Reinsurance Re 2021, 16.94%, (3 Month U.S. Treasury Bill + 1,191 bps), 12/6/25 (144A) | 449,150 | ||||
250,000(a) | Sanders Re III, 10.78%, (3 Month U.S. Treasury Bill + 575 bps), 4/7/27 (144A) | 251,000 | ||||
$2,268,737 | ||||||
Multiperil – U.S. & Canada — 2.6% | ||||||
250,000(a) | Hypatia, 12.355%, (3 Month U.S. Treasury Bill + 733 bps), 6/7/23 (144A) | $ 248,625 | ||||
750,000(a) | Hypatia, 15.305%, (3 Month U.S. Treasury Bill + 1,028 bps), 6/7/23 (144A) | 749,625 | ||||
250,000(a) | Kilimanjaro III Re, 17.39%, (3 Month U.S. Treasury Bill + 1,236 bps), 4/21/25 (144A) | 207,500 | ||||
250,000(a) | Kilimanjaro III Re, 17.39%, (3 Month U.S. Treasury Bill + 1,236 bps), 4/20/26 (144A) | 191,875 | ||||
250,000(a) | Matterhorn Re, 10.541%, (SOFR + 575 bps), 12/8/25 (144A) | 219,825 | ||||
250,000(a) | Mona Lisa Re, 17.53%, (3 Month U.S. Treasury Bill + 1,250 bps), 1/8/26 (144A) | 254,225 |
Principal Amount USD ($) | Value | |||||
Multiperil – U.S. & Canada — (continued) | ||||||
250,000(a) | Mystic Re IV, 11.16%, (3 Month U.S. Treasury Bill + 613 bps), 1/8/25 (144A) | $ 227,600 | ||||
500,000(a) | Mystic Re IV, 11.69%, (3 Month U.S. Treasury Bill + 1,160 bps), 1/8/25 (144A) | 433,800 | ||||
$2,533,075 | ||||||
Pandemic – U.S — 0.2% | ||||||
250,000(a) | Vitality Re XI, 6.83%, (3 Month U.S. Treasury Bill + 180 bps), 1/9/24 (144A) | $ 245,450 | ||||
Windstorm – Florida — 0.2% | ||||||
250,000(a) | Integrity Re, 12.03%, (3 Month U.S. Treasury Bill + 700 bps), 6/6/25 (144A) | $ 225,000 | ||||
Windstorm – Jamaica — 0.3% | ||||||
250,000(a) | International Bank for Reconstruction & Development, 9.217%, (SOFR + 440 bps), 12/29/23 (144A) | $ 246,500 | ||||
Windstorm – North Carolina — 0.5% | ||||||
250,000(a) | Cape Lookout Re, 8.25%, (1 Month U.S. Treasury Bill + 322 bps), 3/22/24 (144A) | $ 242,700 | ||||
250,000(a) | Cape Lookout Re, 10.03%, (3 Month U.S. Treasury Bill + 500 bps), 3/28/25 (144A) | 238,675 | ||||
$481,375 | ||||||
Windstorm – Texas — 0.3% | ||||||
250,000(a) | Alamo Re II, 10.55%, (1 Month U.S. Treasury Bill + 552 bps), 6/8/23 (144A) | $ 250,000 | ||||
Windstorm – U.S. — 1.8% | ||||||
250,000(a) | Alamo Re, 13.53%, (1 Month U.S. Treasury Bill + 850 bps), 6/7/26 (144A) | $ 249,875 | ||||
250,000(a) | Bonanza Re, 13.28%, (3 Month U.S. Treasury Bill + 825 bps), 1/8/26 (144A) | 249,550 | ||||
250,000(a) | Cape Lookout Re, 11.53%, (1 Month U.S. Treasury Bill + 650 bps), 4/28/26 (144A) | 249,875 | ||||
250,000(a) | Gateway Re, 18.03%, (1 Month U.S. Treasury Bill + 1,300 bps), 2/24/26 (144A) | 259,225 | ||||
250,000(a) | Gateway Re II, 14.53%, (3 Month U.S. Treasury Bill + 950 bps), 4/27/26 (144A) | 249,875 | ||||
250,000(a) | Merna Re II, 10.25%, (3 Month U.S. Treasury Bill + 1,025 bps), 7/7/26 (144A) | 249,875 | ||||
250,000(a) | Purple Re, 17.28%, (1 Month U.S. Treasury Bill + 1,225 bps), 4/24/26 (144A) | 249,875 | ||||
$1,758,150 | ||||||
Principal Amount USD ($) | Value | ||||||
Windstorm – U.S. Regional — 0.5% | |||||||
250,000(a) | Citrus Re, 11.965%, (3 Month U.S. Treasury Bill + 675 bps), 6/7/26 (144A) | $ 250,000 | |||||
250,000(a) | Citrus Re, 14.215%, (3 Month U.S. Treasury Bill + 900 bps), 6/7/26 (144A) | 250,000 | |||||
$500,000 | |||||||
Winterstorm – Florida — 0.5% | |||||||
250,000(a) | Integrity Re, 17.03%, (1 Month U.S. Treasury Bill + 1,200 bps), 6/6/25 (144A) | $ 249,800 | |||||
250,000(a) | Lightning Re, 16.03%, (3 Month U.S. Treasury Bill + 1,100 bps), 3/31/26 (144A) | 253,600 | |||||
$503,400 | |||||||
Total Event Linked Bonds | $9,980,312 | ||||||
Face Amount USD ($) | ||||||
Collateralized Reinsurance — 3.9% | ||||||
Multiperil – Massachusetts — 0.2% | ||||||
250,000(c)(j)+ | Portsalon Re 2022, 5/31/28 | $ 229,230 | ||||
Multiperil – U.S. — 1.1% | ||||||
250,000(c)(j)+ | Ballybunion Re 2020, 2/29/24 | $ 28,244 | ||||
100,000(c)(j)+ | Ballybunion Re 2021-3, 7/31/25 | 2,236 | ||||
264,839(c)(j)+ | Ballybunion Re 2022, 12/31/27 | 5,019 | ||||
250,000(c)(j)+ | Ballybunion Re 2022-2, 5/31/28 | 253,878 | ||||
97,898(c)(j)+ | Ballybunion Re 2022-3, 6/30/28 | 100,742 | ||||
264,416(c)(j)+ | Ballybunion Re 2023, 12/31/28 | 265,843 | ||||
500,000(c)+ | Gamboge Re, 3/31/29 | 428,552 | ||||
$1,084,514 | ||||||
Multiperil – Worldwide — 1.8% | ||||||
250,000(c)(j)+ | Amaranth Re 2023, 12/31/28 | $ 222,269 | ||||
650,000(c)(j)+ | Cypress Re 2017, 1/31/24 | 65 | ||||
462,683(c)(j)+ | Dartmouth Re 2018, 1/31/24 | 82,739 | ||||
100,000(c)(j)+ | Dartmouth Re 2021, 12/31/24 | 56,920 | ||||
27,000(c)(j)+ | Limestone Re 2019-2, 10/1/23 (144A) | 902 | ||||
500,000(c)(j)+ | Merion Re 2023-1, 12/31/28 | 463,912 | ||||
250,000(c)(j)+ | Old Head Re 2022, 12/31/27 | 125,000 | ||||
250,000(c)(j)+ | Old Head Re 2023, 12/31/28 | 195,220 | ||||
250,000(c)(j)+ | Porthcawl Re 2023, 12/31/28 | 214,724 | ||||
700,000(c)(j)+ | Resilience Re, 5/1/23 | — |
Face Amount USD ($) | Value | |||||
Multiperil – Worldwide — (continued) | ||||||
250,000(c)(j)+ | Walton Health Re 2019, 6/30/23 | $ 135,667 | ||||
250,000(c)(j)+ | Walton Health Re 2022, 12/15/27 | 243,948 | ||||
$1,741,366 | ||||||
Windstorm – Florida — 0.6% | ||||||
383,000(c)(j)+ | Isosceles Re 2022, 5/31/28 | $ 382,540 | ||||
750,000(c)(j)+ | Portrush Re 2017, 6/15/23 | 159,525 | ||||
$542,065 | ||||||
Windstorm – U.S. Regional — 0.2% | ||||||
1,015,734(j)+ | Oakmont Re 2020, 4/30/24 | $ — | ||||
750,000(c)(j)+ | Oakmont Re 2022, 4/1/28 | 235,879 | ||||
$235,879 | ||||||
Total Collateralized Reinsurance | $3,833,054 | |||||
Reinsurance Sidecars — 8.6% | ||||||
Multiperil – U.S. — 0.3% | ||||||
250,000(c)(j)+ | Carnoustie Re 2020, 12/31/23 | $ 28,832 | ||||
226,387(c)(j)+ | Carnoustie Re 2023, 12/31/28 | 234,440 | ||||
1,000,000(c)(k)+ | Harambee Re 2018, 12/31/24 | — | ||||
1,000,000(k)+ | Harambee Re 2019, 12/31/24 | 1,600 | ||||
500,000(k)+ | Harambee Re 2020, 12/31/23 | 7,050 | ||||
$271,922 | ||||||
Multiperil – U.S. Regional — 0.0%† | ||||||
250,000(c)(j)+ | Brotherhood Re, 1/31/24 | $ — | ||||
Multiperil – Worldwide — 8.3% | ||||||
3,037(k)+ | Alturas Re 2019-2, 3/10/24 | $ 1,033 | ||||
24,550(k)+ | Alturas Re 2019-3, 9/12/23 | 307 | ||||
60,078(k)+ | Alturas Re 2020-2, 3/10/24 | 1,184 | ||||
225,450(k)+ | Alturas Re 2020-3, 9/30/24 | — | ||||
439,922(c)(k)+ | Alturas Re 2021-2, 12/31/24 | — | ||||
213,682(c)(k)+ | Alturas Re 2021-3, 7/31/25 | 34,510 | ||||
376,048(c)(k)+ | Alturas Re 2022-2, 12/31/27 | 141,507 | ||||
492,000(j)+ | Bantry Re 2019, 12/31/24 | 8,373 | ||||
500,000(c)(j)+ | Bantry Re 2021, 12/31/24 | 44,696 | ||||
417,157(c)(j)+ | Bantry Re 2022, 12/31/27 | 48,749 | ||||
386,213(c)(j)+ | Bantry Re 2023, 12/31/28 | 401,382 | ||||
1,128,124(c)(j)+ | Berwick Re 2019-1, 12/31/24 | 179,936 | ||||
993,323(c)(j)+ | Berwick Re 2020-1, 12/31/23 | 99 | ||||
750,000(c)(j)+ | Berwick Re 2022, 12/31/27 | 47,819 | ||||
1,000,000(c)(j)+ | Berwick Re 2023, 12/31/28 | 1,029,279 | ||||
70,000(c)(j)+ | Eden Re II, 3/22/24 (144A) | 18,970 | ||||
49,927(c)(j)+ | Eden Re II, 3/21/25 (144A) | 25,912 |
Face Amount USD ($) | Value | |||||
Multiperil – Worldwide — (continued) | ||||||
80,000(c)(j)+ | Eden Re II, 3/20/26 (144A) | $ 59,184 | ||||
300,000(c)(j)+ | Eden Re II, 3/19/27 (144A) | 308,790 | ||||
250,000(c)(j)+ | Gleneagles Re 2021, 12/31/24 | 25 | ||||
250,000(c)(j)+ | Gleneagles Re 2022, 12/31/27 | 130,196 | ||||
1,059,157(j)+ | Gullane Re 2018, 12/31/24 | 50,018 | ||||
1,000,000(c)(j)+ | Gullane Re 2023, 12/31/28 | 1,048,244 | ||||
250,000(c)(k)+ | Lion Rock Re 2020, 1/31/24 | — | ||||
250,000(c)(k)+ | Lion Rock Re 2021, 12/31/24 | 52,325 | ||||
498,977(c)(k)+ | Lorenz Re 2019, 6/30/23 | 5,439 | ||||
500,000(j)+ | Merion Re 2018-2, 12/31/24 | 37,944 | ||||
500,000(c)(j)+ | Merion Re 2021-2, 12/31/24 | 98,250 | ||||
363,953(c)(j)+ | Merion Re 2022-2, 12/31/27 | 345,068 | ||||
735,313(c)(j)+ | Pangaea Re 2019-3, 7/1/23 | 26,450 | ||||
746,905(j)+ | Pangaea Re 2022-1, 12/31/27 | 24,815 | ||||
250,000(c)(j)+ | Pangaea Re 2022-3, 5/31/28 | 258,750 | ||||
1,000,000(c)(j)+ | Pangaea Re 2023-1, 12/31/28 | 1,043,474 | ||||
250,000(c)(j)+ | Phoenix 3 Re 2023-3, 1/4/29 | 262,400 | ||||
200,000(j)+ | Sector Re V, 3/1/24 (144A) | 98,064 | ||||
25,000(j)+ | Sector Re V, 12/1/24 (144A) | 41,862 | ||||
15,000(a)(c)(j)+ | Sector Re V, 12/1/26 (144A) | 70,308 | ||||
4,500(a)(c)(j)+ | Sector Re V, 12/1/26 (144A) | 21,093 | ||||
500,000(c)(j)+ | Sector Re V, 12/1/27 (144A) | 537,143 | ||||
515,671(j)+ | Sussex Re 2020-1, 12/31/24 | 1,083 | ||||
250,000(j)+ | Sussex Re 2021-1, 12/31/24 | 10,100 | ||||
500,000(c)(j)+ | Sussex Re 2022, 12/31/27 | 85,200 | ||||
313,499(k)+ | Thopas Re 2019, 12/31/24 | 1,035 | ||||
300,000(k)+ | Thopas Re 2020, 12/31/23 | — | ||||
250,000(k)+ | Thopas Re 2021, 12/31/24 | 4,025 | ||||
250,000(k)+ | Thopas Re 2022, 12/31/27 | 4,150 | ||||
766,025(c)(k)+ | Thopas Re 2023, 12/31/28 | 810,071 | ||||
375,860(k)+ | Torricelli Re 2021, 7/31/25 | 15,599 | ||||
500,000(c)(k)+ | Torricelli Re 2022, 6/30/28 | 543,281 | ||||
500,000(j)+ | Versutus Re 2018, 12/31/24 | 2,800 | ||||
441,274(j)+ | Versutus Re 2019-A, 12/31/24 | 1,765 | ||||
58,727(j)+ | Versutus Re 2019-B, 12/31/24 | 235 | ||||
500,000(c)(k)+ | Viribus Re 2018, 12/31/24 | — | ||||
212,306(k)+ | Viribus Re 2019, 12/31/24 | 1,507 | ||||
240,783(c)(k)+ | Viribus Re 2020, 12/31/23 | 8,307 | ||||
221,888(k)+ | Viribus Re 2022, 12/31/27 | 10,917 |
Face Amount USD ($) | Value | |||||
Multiperil – Worldwide — (continued) | ||||||
507,289(c)(j)+ | Woburn Re 2018, 12/31/24 | $ 11,199 | ||||
499,829(c)(j)+ | Woburn Re 2019, 12/31/24 | 86,511 | ||||
$8,101,383 | ||||||
Total Reinsurance Sidecars | $8,373,305 | |||||
Total Insurance-Linked Securities (Cost $23,428,768) | $22,186,671 | |||||
Principal Amount USD ($) | ||||||
Foreign Government Bonds — 1.8% of Net Assets | ||||||
Angola — 0.4% | ||||||
448,000 | Angolan Government International Bond, 8.250%, 5/9/28 (144A) | $ 391,749 | ||||
Total Angola | $391,749 | |||||
Ghana — 0.3% | ||||||
320,000(b) | Ghana Government International Bond, 7.875%, 2/11/35 (144A) | $ 118,144 | ||||
500,000(b) | Ghana Government International Bond, 8.627%, 6/16/49 | 175,000 | ||||
Total Ghana | $293,144 | |||||
Mexico — 1.0% | ||||||
MXN18,385,500 | Mexican Bonos, 8.000%, 12/7/23 | $ 1,001,435 | ||||
Total Mexico | $1,001,435 | |||||
Ukraine — 0.1% | ||||||
750,000(b) | Ukraine Government International Bond, 8.994%, 2/1/26 (144A) | $ 130,218 | ||||
Total Ukraine | $130,218 | |||||
Total Foreign Government Bonds (Cost $2,989,965) | $1,816,546 | |||||
Shares | Value | |||||
SHORT TERM INVESTMENTS — 4.7% of Net Assets | ||||||
Open-End Fund — 4.7% | ||||||
4,647,486(l) | Dreyfus Government Cash Management, Institutional Shares, 4.76% | $ 4,647,486 | ||||
$4,647,486 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $4,647,486) | $4,647,486 | |||||
Number of Contracts | Description | Counterparty | Amount | Strike Price | Expiration Date | |
Over The Counter (OTC) Currency Put Option Purchased — 0.0%† | ||||||
1,350,000 | Put EUR Call USD | Goldman Sachs & Co. | EUR 28,531 | EUR 1.02 | 11/28/23 | $4,244 |
Total Over The Counter (OTC) Currency Put Option Purchased (Premiums paid $ 28,531) | $4,244 | |||||
TOTAL OPTIONS PURCHASED (Premiums paid $ 28,531) | $4,244 | |||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS — 142.1% (Cost $155,593,064) | $138,996,811 | |||||
Over The Counter (OTC) Currency Call Option Written — (0.0%)† | ||||||
(1,350,000) | Call EUR Put USD | Goldman Sachs & Co. | EUR 28,531 | EUR 1.10 | 11/28/23 | $(43,271) |
Total Over The Counter (OTC) Currency Call Option Written (Premiums received $(28,531)) | $(43,271) | |||||
OTHER ASSETS AND LIABILITIES — (42.1)% | $(41,183,353) | |||||
net assets — 100.0% | $97,770,187 | |||||
bps | Basis Points. |
CMT | Constant Maturity Treasury Index. |
FREMF | Freddie Mac Multifamily Fixed-Rate Mortgage Loans. |
FRESB | Freddie Mac Multifamily Small Balance Certificates. |
LIBOR | London Interbank Offered Rate. |
REIT | Real Estate Investment Trust. |
SOFR | Secured Overnight Financing Rate. |
SOFR30A | Secured Overnight Financing Rate 30 Day Average. |
(144A) | The resale of such security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers. At April 30, 2023, the value of these securities amounted to $103,648,764, or 106.0% of net assets. |
(a) | Floating rate note. Coupon rate, reference index and spread shown at April 30, 2023. |
(b) | Security is in default. |
(c) | Non-income producing security. |
(d) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at April 30, 2023. |
(e) | Security represents the interest-only portion payments on a pool of underlying mortgages or mortgage-backed securities. |
(f) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(g) | Security is priced as a unit. |
(h) | Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount. |
(i) | Security is perpetual in nature and has no stated maturity date. |
(j) | Issued as participation notes. |
(k) | Issued as preference shares. |
(l) | Rate periodically changes. Rate disclosed is the 7-day yield at April 30, 2023. |
* | Senior secured floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically re-determined 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 or SOFR, (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 April 30, 2023. |
† | Amount rounds to less than 0.1%. |
+ | Security is valued using significant unobservable inputs (Level 3). |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
Alamo Re | 4/12/2023 | $250,000 | $249,875 |
Alamo Re II | 5/29/2020 | 250,000 | 250,000 |
Alturas Re 2019-2 | 12/19/2018 | 2,656 | 1,033 |
Alturas Re 2019-3 | 6/26/2019 | 24,550 | 307 |
Alturas Re 2020-2 | 1/1/2020 | 53,484 | 1,184 |
Alturas Re 2020-3 | 8/3/2020 | — | — |
Alturas Re 2021-2 | 2/16/2021 | 22,989 | — |
Alturas Re 2021-3 | 8/16/2021 | 60,508 | 34,510 |
Alturas Re 2022-2 | 1/18/2022 | 175,265 | 141,507 |
Amaranth Re 2023 | 1/27/2023 | 208,962 | 222,269 |
Ballybunion Re 2020 | 12/31/2019 | 17,156 | 28,244 |
Ballybunion Re 2021-3 | 8/2/2021 | 2,102 | 2,236 |
Restricted Securities | Acquisition date | Cost | Value |
Ballybunion Re 2022 | 3/9/2022 | $423 | $5,019 |
Ballybunion Re 2022-2 | 8/9/2022 | 250,000 | 253,878 |
Ballybunion Re 2022-3 | 8/9/2022 | 97,898 | 100,742 |
Ballybunion Re 2023 | 3/21/2023 | 264,416 | 265,843 |
Bantry Re 2019 | 2/1/2019 | — | 8,373 |
Bantry Re 2021 | 1/11/2021 | 51,839 | 44,696 |
Bantry Re 2022 | 2/2/2022 | 30,944 | 48,749 |
Bantry Re 2023 | 1/12/2023 | 386,213 | 401,382 |
Berwick Re 2019-1 | 12/31/2018 | 134,801 | 179,936 |
Berwick Re 2020-1 | 9/24/2020 | — | 99 |
Berwick Re 2022 | 12/31/2021 | 46,769 | 47,819 |
Berwick Re 2023 | 2/1/2023 | 1,000,000 | 1,029,279 |
Bonanza Re | 1/6/2023 | 250,000 | 249,550 |
Brotherhood Re | 1/22/2018 | 40,341 | — |
Caelus Re V | 4/27/2017 | 400,000 | 32,000 |
Caelus Re V | 5/4/2018 | 250,000 | 25 |
Cape Lookout Re | 3/9/2021 | 250,000 | 242,700 |
Cape Lookout Re | 3/16/2022 | 250,000 | 238,675 |
Cape Lookout Re | 4/14/2023 | 250,000 | 249,875 |
Carnoustie Re 2020 | 7/16/2020 | 6,309 | 28,832 |
Carnoustie Re 2023 | 3/22/2023 | 226,387 | 234,440 |
Citrus Re | 4/27/2023 | 250,000 | 250,000 |
Citrus Re | 4/27/2023 | 250,000 | 250,000 |
Cypress Re 2017 | 1/24/2017 | 2,185 | 65 |
Dartmouth Re 2018 | 1/18/2018 | 173,152 | 82,739 |
Dartmouth Re 2021 | 1/19/2021 | 37,395 | 56,920 |
Eden Re II | 12/23/2019 | 57,847 | 18,970 |
Eden Re II | 1/25/2021 | 49,927 | 25,912 |
Eden Re II | 1/21/2022 | 80,000 | 59,184 |
Eden Re II | 1/17/2023 | 300,000 | 308,790 |
FloodSmart Re | 2/8/2022 | 248,569 | 234,850 |
FloodSmart Re | 2/14/2022 | 250,000 | 234,100 |
FloodSmart Re | 2/23/2023 | 250,000 | 249,800 |
Four Lakes Re | 11/5/2020 | 250,000 | 233,900 |
Four Lakes Re | 11/5/2020 | 250,000 | 231,350 |
Gamboge Re | 4/20/2023 | 422,596 | 428,552 |
Gateway Re | 2/3/2023 | 250,000 | 259,225 |
Gateway Re II | 4/13/2023 | 250,000 | 249,875 |
Gleneagles Re 2021 | 1/13/2021 | 4,575 | 25 |
Gleneagles Re 2022 | 1/18/2022 | 122,384 | 130,196 |
Gullane Re 2018 | 3/26/2018 | — | 50,018 |
Gullane Re 2023 | 1/10/2023 | 1,000,000 | 1,048,244 |
Harambee Re 2018 | 12/19/2017 | 21,232 | — |
Harambee Re 2019 | 12/20/2018 | — | 1,600 |
Harambee Re 2020 | 2/27/2020 | — | 7,050 |
Hypatia | 7/10/2020 | 751,633 | 749,625 |
Restricted Securities | Acquisition date | Cost | Value |
Hypatia | 4/9/2021 | $250,590 | $248,625 |
Integrity Re | 5/9/2022 | 250,000 | 225,000 |
Integrity Re | 3/23/2023 | 250,000 | 249,800 |
International Bank for Reconstruction & Development | 7/19/2021 | 250,000 | 246,500 |
Isosceles Re 2022 | 8/11/2022 | 358,351 | 382,540 |
Kilimanjaro III Re | 4/8/2021 | 250,000 | 207,500 |
Kilimanjaro III Re | 4/8/2021 | 250,000 | 191,875 |
Lightning Re | 3/20/2023 | 250,000 | 253,600 |
Limestone Re 2019-2 | 6/20/2018 | 230 | 902 |
Lion Rock Re 2020 | 12/30/2019 | — | — |
Lion Rock Re 2021 | 3/1/2021 | 107,115 | 52,325 |
Lorenz Re 2019 | 6/26/2019 | 95,628 | 5,439 |
Matterhorn Re | 12/15/2021 | 250,000 | 219,825 |
Matterhorn Re | 3/10/2022 | 500,000 | 457,250 |
Merion Re 2018-2 | 12/28/2017 | — | 37,944 |
Merion Re 2021-2 | 12/28/2020 | 136,047 | 98,250 |
Merion Re 2022-2 | 3/1/2022 | 363,953 | 345,068 |
Merion Re 2023-1 | 1/11/2023 | 441,808 | 463,912 |
Merna Re II | 4/5/2023 | 250,000 | 249,875 |
Mona Lisa Re | 12/30/2022 | 250,000 | 254,225 |
Mystic Re IV | 6/9/2021 | 500,000 | 433,800 |
Mystic Re IV | 10/26/2021 | 249,100 | 227,600 |
Oakmont Re 2020 | 12/3/2020 | — | — |
Oakmont Re 2022 | 5/9/2022 | 172,533 | 235,879 |
Old Head Re 2022 | 1/6/2022 | 188,288 | 125,000 |
Old Head Re 2023 | 1/11/2023 | 168,991 | 195,220 |
Pangaea Re 2019-3 | 7/25/2019 | 22,059 | 26,450 |
Pangaea Re 2022-1 | 1/11/2022 | — | 24,815 |
Pangaea Re 2022-3 | 6/15/2022 | 250,000 | 258,750 |
Pangaea Re 2023-1 | 1/23/2023 | 1,000,000 | 1,043,474 |
Phoenix 3 Re 2023-3 | 12/21/2020 | 224,140 | 262,400 |
Porthcawl Re 2023 | 1/23/2023 | 197,811 | 214,724 |
Portrush Re 2017 | 6/12/2017 | 575,239 | 159,525 |
Portsalon Re 2022 | 7/15/2022 | 202,158 | 229,230 |
Purple Re | 4/6/2023 | 250,000 | 249,875 |
Residential Re | 11/22/2022 | 375,000 | 374,212 |
Residential Reinsurance Re 2019 | 11/5/2019 | 250,000 | 239,850 |
Residential Reinsurance Re 2021 | 10/28/2021 | 500,000 | 449,150 |
Resilience Re | 2/8/2017 | 338 | — |
Sanders Re III | 3/24/2023 | 250,000 | 251,000 |
Sector Re V | 4/23/2019 | 136,505 | 98,064 |
Sector Re V | 12/4/2019 | 480 | 41,862 |
Sector Re V | 12/6/2021 | 15,000 | 70,308 |
Sector Re V | 1/5/2022 | 4,500 | 21,093 |
Sector Re V | 12/30/2022 | 500,000 | 537,143 |
Restricted Securities | Acquisition date | Cost | Value |
Sussex Re 2020-1 | 1/21/2020 | $— | $1,083 |
Sussex Re 2021-1 | 1/26/2021 | 7,671 | 10,100 |
Sussex Re 2022 | 1/5/2022 | 47,654 | 85,200 |
Thopas Re 2019 | 2/13/2019 | — | 1,035 |
Thopas Re 2020 | 12/30/2019 | — | — |
Thopas Re 2021 | 1/22/2021 | — | 4,025 |
Thopas Re 2022 | 2/15/2022 | — | 4,150 |
Thopas Re 2023 | 2/13/2023 | 766,025 | 810,071 |
Torricelli Re 2021 | 7/2/2021 | — | 15,599 |
Torricelli Re 2022 | 7/26/2022 | 500,000 | 543,281 |
Ursa Re | 4/12/2023 | 250,000 | 249,875 |
Versutus Re 2018 | 12/20/2017 | — | 2,800 |
Versutus Re 2019-A | 1/28/2019 | — | 1,765 |
Versutus Re 2019-B | 12/24/2018 | — | 235 |
Viribus Re 2018 | 12/22/2017 | 10,559 | — |
Viribus Re 2019 | 3/25/2019 | — | 1,507 |
Viribus Re 2020 | 3/12/2020 | 24,541 | 8,307 |
Viribus Re 2022 | 4/18/2022 | — | 10,917 |
Vitality Re XI | 1/23/2020 | 250,000 | 245,450 |
Walton Health Re 2019 | 7/18/2019 | 79,818 | 135,667 |
Walton Health Re 2022 | 7/13/2022 | 208,375 | 243,948 |
Woburn Re 2018 | 3/20/2018 | 153,507 | 11,199 |
Woburn Re 2019 | 1/30/2019 | 69,247 | 86,511 |
Total Restricted Securities | $22,186,671 | ||
% of Net assets | 22.7% |
Currency Purchased | In Exchange for | Currency Sold | Deliver | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
EUR | 660,000 | USD | 711,158 | Brown Brothers Harriman & Co. | 5/25/23 | $17,337 |
USD | 503,417 | EUR | 469,000 | Brown Brothers Harriman & Co. | 5/25/23 | (14,256) |
USD | 396,659 | GBP | 324,000 | Brown Brothers Harriman & Co. | 6/26/23 | (11,028) |
USD | 5,397,433 | EUR | 4,890,000 | JPMorgan Chase Bank NA | 7/25/23 | (17,457) |
EUR | 2,368,000 | USD | 2,566,172 | State Street Bank & Trust Co. | 6/27/23 | 52,192 |
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | $26,788 |
EUR | — Euro |
GBP | — Great British Pound |
IDR | — Indonesian Rupiah |
MXN | — Mexican Peso |
USD | — United States Dollar |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $6,044,273 |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (23,791,699) |
Net unrealized depreciation | $(17,747,426) |
Level 1 | – | unadjusted quoted prices in active markets for identical securities. |
Level 2 | – | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). See Notes to Financial Statements — Note 1A. |
Level 3 | – | significant unobservable inputs (including the Adviser's own assumptions in determining fair value of investments). See Notes to Financial Statements — Note 1A. |
Level 1 | Level 2 | Level 3 | Total | |
Senior Secured Floating Rate Loan Interests | $— | $4,534,870 | $— | $4,534,870 |
Common Stocks | ||||
Household Durables | 94 | — | — | 94 |
Oil, Gas & Consumable Fuels | 42 | 109 | — | 151 |
Passenger Airlines | — | — | 268,817 | 268,817 |
Asset Backed Securities | — | 3,415,627 | — | 3,415,627 |
Collateralized Mortgage Obligations | — | 2,576,496 | — | 2,576,496 |
Commercial Mortgage-Backed Securities | — | 11,511,576 | — | 11,511,576 |
Convertible Corporate Bonds | — | 2,210,890 | — | 2,210,890 |
Corporate Bonds | — | 85,243,103 | — | 85,243,103 |
Preferred Stock | ||||
Capital Markets | 32,654 | — | — | 32,654 |
All Other Preferred Stock | — | 542,663 | — | 542,663 |
Right/Warrant | 4,923 | — | — | 4,923 |
Level 1 | Level 2 | Level 3 | Total | |
Insurance-Linked Securities | ||||
Collateralized Reinsurance | ||||
Multiperil – Massachusetts | $— | $— | $229,230 | $229,230 |
Multiperil – U.S. | — | — | 1,084,514 | 1,084,514 |
Multiperil – Worldwide | — | — | 1,741,366 | 1,741,366 |
Windstorm – Florida | — | — | 542,065 | 542,065 |
Windstorm – U.S. Regional | — | — | 235,879 | 235,879 |
Reinsurance Sidecars | ||||
Multiperil – U.S. | — | — | 271,922 | 271,922 |
Multiperil – U.S. Regional | — | — | —* | —* |
Multiperil – Worldwide | — | — | 8,101,383 | 8,101,383 |
All Other Insurance-Linked Securities | — | 9,980,312 | — | 9,980,312 |
Foreign Government Bonds | — | 1,816,546 | — | 1,816,546 |
Open-End Fund | 4,647,486 | — | — | 4,647,486 |
Over The Counter (OTC) Currency Put Option Purchased | — | 4,244 | — | 4,244 |
Total Investments in Securities | $4,685,199 | $121,836,436 | $12,475,176 | $138,996,811 |
Other Financial Instruments | ||||
Credit Agreement(a) | $— | $(42,575,000) | $— | $(42,575,000) |
Over The Counter (OTC) Currency Call Option Written | — | (43,271) | — | (43,271) |
Net unrealized appreciation on forward foreign currency exchange contracts | — | 26,788 | — | 26,788 |
Total Other Financial Instruments | $— | $(42,591,483) | $— | $(42,591,483) |
(a) | The Fund may hold liabilities in which the fair value approximates the carrying amount for financial statement purposes. |
* | Securities valued at $0. |
Common Stocks | Insurance- Linked Securities | Total | |
Balance as of 4/30/22 | $64,395 | $13,798,572 | $13,862,967 |
Realized gain (loss)(1) | (48,176) | (1,081,657) | (1,129,833) |
Changed in unrealized appreciation (depreciation)(2) | (115,267) | 683,058 | 567,791 |
Return of capital | — | (6,096,799) | (6,096,799) |
Purchases | — | 10,781,347 | 10,781,347 |
Sales | (58,813) | (5,878,162) | (5,936,975) |
Transfers in to Level 3* | 426,678 | — | 426,678 |
Transfers out of Level 3* | — | — | — |
Balance as of 4/30/23 | $268,817 | $12,206,359 | $12,475,176 |
(1) | Realized gain (loss) on these securities is included in the realized gain (loss) from investments on the Statement of Operations. | ||
(2) | Unrealized appreciation (depreciation) on these securities is included in the change in unrealized appreciation (depreciation) from investments on the Statement of Operations. | ||
* | Transfers are calculated on the beginning of period values. For the year ended April 30, 2023, a security valued at $426,678 was transferred from Level 1 to Level 3 due to valuing the security using unobservable inputs. There were no other transfers into or out of Level 3 during the period. | ||
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at April 30, 2023: | $(12,480) |
ASSETS: | |
Investments in unaffiliated issuers, at value (cost $155,593,064) | $138,996,811 |
Cash | 8,348 |
Foreign currencies, at value (cost $424,782) | 423,821 |
Unrealized appreciation on forward foreign currency exchange contracts | 69,529 |
Distribution paid in advance | 750,128 |
Receivables — | |
Investment securities sold | 53,446 |
Dividends | 17,319 |
Interest | 2,103,335 |
Other assets | 51 |
Total assets | $142,422,788 |
LIABILITIES: | |
Payables — | |
Credit agreement | $42,575,000 |
Investment securities purchased | 1,067,329 |
Distributions | 750,128 |
Directors' fees | 645 |
Interest expense | 24,096 |
Written options outstanding (net premiums received $(28,531)) | 43,271 |
Unrealized depreciation on forward foreign currency exchange contracts | 42,741 |
Reserve for repatriation taxes | 1,035 |
Management fees | 16,303 |
Administrative expenses | 10,391 |
Accrued expenses | 121,662 |
Total liabilities | $44,652,601 |
NET ASSETS: | |
Paid-in capital | $170,531,878 |
Distributable earnings (loss) | (72,761,691) |
Net assets | $97,770,187 |
NET ASSET VALUE PER SHARE: | |
No par value | |
Based on $97,770,187/8,334,759 shares | $11.73 |
INVESTMENT INCOME: | ||
Interest from unaffiliated issuers (net of foreign taxes withheld $25,738) | $11,951,682 | |
Dividends from unaffiliated issuers | 901,042 | |
Total Investment Income | $12,852,724 | |
EXPENSES: | ||
Management fees | $1,237,309 | |
Administrative expenses | 52,628 | |
Transfer agent fees | 15,820 | |
Stockholder communications expense | 54,271 | |
Custodian fees | 1,081 | |
Professional fees | 142,101 | |
Printing expense | 23,835 | |
Officers' and Directors' fees | 9,563 | |
Insurance expense | 1,587 | |
Interest expense | 1,836,800 | |
Miscellaneous | 59,690 | |
Total expenses | $3,434,685 | |
Net investment income | $9,418,039 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||
Net realized gain (loss) on: | ||
Investments in unaffiliated issuers (net of foreign capital gains tax of $1,029) | $(6,038,504) | |
Forward foreign currency exchange contracts | (346,427) | |
Written options | 50,405 | |
Other assets and liabilities denominated in foreign currencies | 317,412 | $(6,017,114) |
Change in net unrealized appreciation (depreciation) on: | ||
Investments in unaffiliated issuers (net of foreign capital gains tax of ($793)) | $(8,845,827) | |
Forward foreign currency exchange contracts | 63,657 | |
Written options | (39,744) | |
Other assets and liabilities denominated in foreign currencies | 10,656 | $(8,811,258) |
Net realized and unrealized gain (loss) on investments | $(14,828,372) | |
Net decrease in net assets resulting from operations | $(5,410,333) |
Year Ended 4/30/23 | Year Ended 4/30/22 | |
FROM OPERATIONS: | ||
Net investment income (loss) | $9,418,039 | $10,691,993 |
Net realized gain (loss) on investments | (6,017,114) | (697,850) |
Change in net unrealized appreciation (depreciation) on investments | (8,811,258) | (16,436,823) |
Net decrease in net assets resulting from operations | $(5,410,333) | $(6,442,680) |
DISTRIBUTIONS TO STOCKHOLDERS: | ||
Net investment income | ||
($1.16 and $1.32 per share, respectively) | $(9,645,645) | $(11,000,310) |
Tax return of capital | ||
($0.04 and $— per share, respectively) | (356,066) | — |
Total distributions to stockholders | $(10,001,711) | $(11,000,310) |
FROM FUND SHARE TRANSACTIONS: | ||
Reinvestment of distributions | $— | $30,948 |
Net increase in net assets resulting from Fund share transactions | $— | $30,948 |
Net decrease in net assets | $(15,412,044) | $(17,412,042) |
NET ASSETS: | ||
Beginning of year | $113,182,231 | $130,594,273 |
End of year | $97,770,187 | $113,182,231 |
Year Ended 4/30/23 Shares | Year Ended 4/30/23 Amount | Year Ended 4/30/22 Shares | Year Ended 4/30/22 Amount | |
Fund Share Transactions | ||||
Shares sold | — | $— | — | $— |
Reinvestment of distributions | — | — | 1,969 | 30,948 |
Net increase | — | $— | 1,969 | $30,948 |
Cash Flows From Operating Activities | |
Net decrease in net assets resulting from operations | $(5,410,333) |
Adjustments to reconcile net decrease in net assets resulting from operations to net cash, restricted cash and foreign currencies from operating activities: | |
Purchases of investment securities | $(32,737,408) |
Proceeds from disposition and maturity of investment securities | 51,486,681 |
Net purchases of short term investments | (4,415,320) |
Net accretion and amortization of discount/premium on investment securities | (503,428) |
Net realized loss on investments in unaffiliated issuers | 6,038,504 |
Change in unrealized depreciation on investments in unaffiliated issuers | 8,845,827 |
Change in unrealized appreciation on forward foreign currency exchange contracts | (63,657) |
Change in unrealized depreciation on written options | 39,744 |
Increase in dividends receivable | (7,530) |
Decrease in interest receivable | 361,609 |
Decrease in distributions paid in advance | 166,695 |
Decrease in other assets | 24 |
Increase in management fees payable | 572 |
Increase in directors' fees payable | 645 |
Increase in administrative expenses payable | 1,887 |
Increase in accrued expenses payable | 26,494 |
Proceeds from sale of written options | 52,812 |
Net realized gain on written options | (50,405) |
Net cash, restricted cash and foreign currencies from operating activities | $23,833,413 |
Cash Flows Used In Financing Activities: | |
Decrease in due to custodian | $(900,698) |
Borrowings repaid | (12,375,000) |
Increase in interest expense payable | 24,096 |
Distributions to stockholders | (10,168,406) |
Net cash flows used in financing activities | $(23,420,008) |
NET INCREASE (DECREASE) IN CASH, RESTRICTED CASH AND FOREIGN CURRENCIES | $413,405 |
Cash, Restricted Cash and Foreign Currencies: | |
Beginning of year* | $18,764 |
End of year* | $432,169 |
Cash Flow Information: | |
Cash paid for interest | $1,812,704 |
* | The following table provides a reconciliation of cash, restricted cash and foreign currencies reported Assets and Liabilities that sum to the total of the same such amounts shown in the Statement of Cash Flows: |
Year Ended 4/30/23 | Year Ended 4/30/22 | |
Cash | $8,348 | $— |
Foreign currenices, at value | 423,821 | 18,764 |
Year Ended 4/30/23 | Year Ended 4/30/22 | |
Total cash, restricted cash and foreign currencies shown in the Statement of Cash Flows | $432,169 | $18,764 |
Year Ended 4/30/23 | Year Ended 4/30/22 | Year Ended 4/30/21 | Year Ended 4/30/20 | Year Ended 4/30/19 | |
Per Share Operating Performance | |||||
Net asset value, beginning of period | $13.58 | $15.67 | $12.60 | $16.18 | $17.09 |
Increase (decrease) from investment operations: | |||||
Net investment income (loss)(a) | $1.13 | $1.28 | $1.25 | $1.19 | $1.21 |
Net realized and unrealized gain (loss) on investments | (1.78) | (2.05) | 3.16 | (3.59) | (0.98) |
Net increase (decrease) from investment operations | $(0.65) | $(0.77) | $4.41 | $(2.40) | $0.23 |
Distributions to stockholders: | |||||
Net investment income and previously undistributed net investment income | $(1.16)* | $(1.32)* | $(1.34)* | $(1.18)* | $(1.14)* |
Tax return of capital | (0.04) | — | — | — | — |
Total distributions | $(1.20) | $(1.32) | $(1.34) | $(1.18) | $(1.14) |
Net increase (decrease) in net asset value | $(1.85) | $(2.09) | $3.07 | $(3.58) | $(0.91) |
Net asset value, end of period | $11.73 | $13.58 | $15.67 | $12.60 | $16.18 |
Market value end of period | $10.02 | $12.30 | $14.95 | $10.99 | $14.39 |
Total return at net asset value(b) | (3.46)% | (5.19)% | 37.08% | (15.21)% | 2.58% |
Total return at market value(b) | (8.96)% | (9.99)% | 49.94% | (16.84)% | 3.95% |
Ratios to average net assets of stockholders: | |||||
Total expenses plus interest expense(c) | 3.42% | 2.11% | 2.06% | 2.88% | 2.95% |
Net investment income available to stockholders | 9.39% | 8.42% | 8.49% | 7.64% | 7.37% |
Portfolio turnover rate | 25% | 46% | 57% | 52% | 37% |
Net assets, end of period (in thousands) | $97,770 | $113,182 | $130,594 | $104,985 | $134,853 |
Total amount of debt outstanding (in thousands) | $42,575 | $54,950 | $61,000 | $45,000 | $61,000 |
Asset coverage per $1,000 of indebtedness | $3,296 | $3,060 | $3,141 | $3,333 | $3,211 |
* | The amount of distributions made to stockholders during the year was in excess of the net investment income earned by the Fund during the year. The Fund has accumulated undistributed net investment income which is part of the Fund’s net asset value (“NAV’). A portion of the accumulated net investment income was distributed to stockholders during the year. A decrease in distributions may have a negative effect on the market value of the Fund's shares. |
(a) | The per common 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 Fund’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions. Past performance is not a guarantee of future results. |
(c) | Includes interest expense of 1.83%, 0.52%, 0.46%, 1.35%, 1.48% and 1.06%, respectively. |
A. | Security Valuation |
The net asset value of the Fund is computed once daily, on each day the New York Stock Exchange (“NYSE”) is open, as of the close of regular trading on the NYSE. | |
Fixed-income securities are valued by using prices supplied by independent pricing services, which consider such factors as market prices, market events, quotations from one or more brokers, Treasury spreads, yields, maturities and ratings, or may use a pricing matrix or other fair value methods or techniques to provide an estimated value of the security or instrument. A pricing matrix is a means of valuing a debt security on the basis of current market prices for other debt securities, historical trading patterns in the market for fixed-income securities and/or other factors. Non-U.S. debt securities that are listed on an exchange will be valued at the bid price obtained from an independent third party pricing service. When independent third party pricing services are unable to supply prices, or when prices or market quotations are considered to be unreliable, the value of that security may be determined using quotations from one or more broker-dealers. | |
Loan interests are valued at the mean between the last available bid and asked prices from one or more brokers or dealers as obtained from Loan Pricing Corporation, an independent third party pricing service. If price information is not available from Loan Pricing Corporation, or if the price information is deemed to be unreliable, price information will be obtained from an alternative loan interest pricing service. If no reliable price quotes are available from either the primary or alternative pricing service, broker quotes will be solicited. |
Event-linked bonds are valued at the bid price obtained from an independent third party pricing service. Other insurance-linked securities (including reinsurance sidecars, collateralized reinsurance and industry loss warranties) may be valued at the bid price obtained from an independent pricing service, or through a third party using a pricing matrix, insurance valuation models, or other fair value methods or techniques to provide an estimated value of the instrument. | |
Equity securities that have traded on an exchange are valued by using the last sale price on the principal exchange where they are traded. Equity securities that have not traded on the date of valuation, or securities for which sale prices are not available, generally are valued using the mean between the last bid and asked prices or, if both last bid and asked prices are not available, at the last quoted bid price. Last sale and bid and asked prices are provided by independent third party pricing services. In the case of equity securities not traded on an exchange, prices are typically determined by independent third party pricing services using a variety of techniques and methods. | |
The value of foreign securities is translated into U.S. dollars based on foreign currency exchange rate quotations supplied by a third party pricing source. Trading in non-U.S. equity securities is substantially completed each day at various times prior to the close of the NYSE. The values of such securities used in computing the net asset value of the Fund's shares are determined as of such times. The Adviser may use a fair value model developed by an independent pricing service to value non-U.S. equity securities. | |
Options contracts are generally valued at the mean between the last bid and ask prices on the principal exchange where they are traded. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued using prices supplied by independent pricing services, which consider such factors as market prices, market events, quotations from one or more brokers, Treasury spreads, yields, maturities and ratings, or may use a pricing matrix or other fair value methods or techniques to provide an estimated value of the security or instrument. | |
Forward foreign currency exchange contracts are valued daily using the foreign exchange rate or, for longer term forward contract positions, the spot currency rate and the forward points on a daily basis, in each case provided by a third party pricing service. Contracts whose forward settlement date falls between two quoted days are valued by interpolation. | |
Swap contracts, including interest rate swaps, caps and floors (other than centrally cleared swap contracts), are valued at the dealer |
quotations obtained from reputable International Swap Dealers Association members. Centrally cleared swaps are valued at the daily settlement price provided by the central clearing counterparty. | |
Shares of open-end registered investment companies (including money market mutual funds) are valued at such funds’ net asset value. Shares of exchange-listed closed-end funds are valued by using the last sale price on the principal exchange where they are traded. | |
Securities or loan interests for which independent pricing services or broker-dealers are unable to supply prices or for which market prices and/or quotations are not readily available or are considered to be unreliable are valued by a fair valuation team comprised of certain personnel of the Adviser. The Adviser is designated as the valuation designee for the Fund pursuant to Rule 2a-5 under the 1940 Act. The Adviser’s fair valuation team is responsible for monitoring developments that may impact fair valued securities. | |
Inputs used when applying fair value methods to value a security may include credit ratings, the financial condition of the company, current market conditions and comparable securities. The Adviser may use fair value methods if it is determined that a significant event has occurred after the close of the exchange or market on which the security trades and prior to the determination of the Fund's net asset value. Examples of a significant event might include political or economic news, corporate restructurings, natural disasters, terrorist activity or trading halts. Thus, the valuation of the Fund's securities may differ significantly from exchange prices, and such differences could be material. | |
B. | Investment Income and Transactions |
Dividend income is recorded on the ex-dividend date, except that certain dividends from foreign securities where the ex-dividend date may have passed are recorded as soon as the Fund becomes aware of the ex-dividend data in the exercise of reasonable diligence. | |
Interest income, including interest on income-bearing cash accounts, is recorded on the accrual basis. Dividend and interest income are reported net of unrecoverable foreign taxes withheld at the applicable country rates and net of income accrued on defaulted securities. | |
Interest and dividend income payable by delivery of additional shares is reclassified as PIK (payment-in-kind) income upon receipt and is included in interest and dividend income, respectively. |
Principal amounts of mortgage-backed securities are adjusted for monthly paydowns. Premiums and discounts related to certain mortgage-backed securities are amortized or accreted in proportion to the monthly paydowns. All discounts/premiums on purchase prices of debt securities are accreted/amortized for financial reporting purposes over the life of the respective securities, and such accretion/amortization is included in interest income. | |
Security transactions are recorded as of trade date. Gains and losses on sales of investments are calculated on the identified cost method for both financial reporting and federal income tax purposes. | |
C. | Foreign Currency Translation |
The books and records of the Fund are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars using current exchange rates. | |
Net realized gains and losses on foreign currency transactions, if any, represent, among other things, the net realized gains and losses on foreign currency exchange contracts, disposition of foreign currencies and the difference between the amount of income accrued and the U.S. dollars actually received. Further, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statement of Operations from the effects of changes in the market prices of those securities, but are included with the net realized and unrealized gain or loss on investments. | |
D. | Federal Income Taxes |
It is the Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income and net realized capital gains, if any, to its stockholders. Therefore, no provision for federal income taxes is required. As of April 30, 2023, the Fund did not accrue any interest or penalties with respect to uncertain tax positions, which, if applicable, would be recorded as an income tax expense on the Statement of Operations. Tax returns filed within the prior three years remain subject to examination by federal and state tax authorities. | |
The amount and character of income and capital gain distributions to stockholders are determined in accordance with federal income tax rules, which may differ from U.S. GAAP. Distributions in excess of net investment income or net realized gains are temporary over distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial |
statement and tax purposes. Capital accounts within the financial statements are adjusted for permanent book/tax differences to reflect tax character, but are not adjusted for temporary differences. | |
At April 30, 2023, the Fund reclassified $33,877 to increase distributable earnings and $33,877 to decrease paid-in capital to reflect permanent book/tax differences. These adjustments have no impact on net assets or the results of operations. | |
At April 30, 2023, the Fund was permitted to carry forward indefinitely $4,408,029 of short-term losses and $49,856,108 of long-term losses. | |
The tax character of distributions paid during the years ended April 30, 2023 and April 30, 2022, was as follows: |
2023 | 2022 | |
Distributions paid from: | ||
Ordinary income | $9,645,645 | $10,083,487 |
Tax return of capital | 356,066 | — |
Total | $10,001,711 | $10,083,487 |
2023 | |
Distributable earnings/(losses): | |
Capital loss carryforward | $(54,264,137) |
Other book/tax temporary differences | (750,128) |
Net unrealized depreciation | (17,747,426) |
Total | $(72,761,691) |
E. | Risks |
The value of securities held by the Fund may go up or down, sometimes rapidly or unpredictably, due to general market conditions, such as real or perceived adverse economic, political or regulatory conditions, recessions, the spread of infectious illness or other public health issues, inflation, changes in interest rates, armed conflict including Russia's military invasion of Ukraine, sanctions against Russia, other nations or |
individuals or companies and possible countermeasures, lack of liquidity in the bond markets or adverse investor sentiment. In the past several years, financial markets have experienced increased volatility, depressed valuations, decreased liquidity and heightened uncertainty. These conditions may continue, recur, worsen or spread. Recently, inflation and interest rates have increased and may rise further. These circumstances could adversely affect the value and liquidity of the Fund's investments and negatively impact the Fund's performance. | |
The global pandemic of the novel coronavirus respiratory disease designated COVID-19 has resulted in major disruption to economies and markets around the world, including the United States. Global financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some sectors of the economy and individual issuers have experienced particularly large losses. These circumstances may continue to affect adversely the value and liquidity of the Fund’s investments. Following Russia’s invasion of Ukraine, Russian securities have lost all, or nearly all, their market value. Other securities or markets could be similarly affected by past or future geopolitical or other events or conditions. | |
Governments and central banks, including the U.S. Federal Reserve, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. These actions have resulted in significant expansion of public debt, including in the U.S. The consequences of high public debt, including its future impact on the economy and securities markets, may not be known for some time. | |
The U.S. and other countries are periodically involved in disputes over trade and other matters, which may result in tariffs, investment restrictions and adverse impacts on affected companies and securities. For example, the U.S. has imposed tariffs and other trade barriers on Chinese exports, has restricted sales of certain categories of goods to China, and has established barriers to investments in China. Trade disputes may adversely affect the economies of the U.S. and its trading partners, as well as companies directly or indirectly affected and financial markets generally. If the political climate between the U.S. and China does not improve or continues to deteriorate, if China were to attempt unification of Taiwan by force, or if other geopolitical conflicts develop or get worse, economies, markets and individual securities may be severely affected both regionally and globally, and the value of the Fund's assets may go down. |
At times, the Fund’s investments may represent industries or industry sectors that are interrelated or have common risks, making the Fund more susceptible to any economic, political, or regulatory developments or other risks affecting those industries and sectors. | |
The market prices of the Fund's fixed income securities may fluctuate significantly when interest rates change. The value of your investment will generally go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. For example, if interest rates increase by 1%, the value of a Fund's portfolio with a portfolio duration of ten years would be expected to decrease by 10%, all other things being equal. In recent years interest rates and credit spreads in the U.S. have been at historic lows. The U.S. Federal Reserve has raised certain interest rates, and interest rates may continue to go up. A general rise in interest rates could adversely affect the price and liquidity of fixed income securities. The maturity of a security may be significantly longer than its effective duration. A security's maturity and other features may be more relevant than its effective duration in determining the security's sensitivity to other factors affecting the issuer or markets generally, such as changes in credit quality or in the yield premium that the market may establish for certain types of securities (sometimes called "credit spread"). In general, the longer its maturity the more a security may be susceptible to these factors. When the credit spread for a fixed income security goes up, or "widens," the value of the security will generally go down. | |
If an issuer or guarantor of a security held by the Fund or a counterparty to a financial contract with the Fund defaults on its obligation to pay principal and/or interest, has its credit rating downgraded or is perceived to be less creditworthy, or the credit quality or value of any underlying assets declines, the value of your investment will typically decline. Changes in actual or perceived creditworthiness may occur quickly. The Fund could be delayed or hindered in its enforcement of rights against an issuer, guarantor or counterparty. | |
The Fund invests in below-investment grade (“high yield”) debt securities, floating rate loans and insurance-linked securities. The Fund may invest in securities and other obligations of any credit quality, including those that are rated below investment grade, or are unrated but are determined by the Adviser to be of equivalent credit quality. Below investment grade securities are commonly referred to as “junk bonds” and are considered speculative with respect to the issuer’s capacity to pay interest and repay principal. Below investment grade securities, including floating rate loans, involve greater risk of loss, are subject to greater price volatility, and may be less liquid and more |
difficult to value, especially during periods of economic uncertainty or change, than higher rated debt securities. | |
Certain securities in which the Fund invests, including floating rate loans, once sold, may not settle for an extended period (for example, several weeks or even longer). The Fund will not receive its sale proceeds until that time, which may constrain the Fund’s ability to meet its obligations. The Fund may invest in securities of issuers that are in default or that are in bankruptcy. The value of collateral, if any, securing a floating rate loan can decline or may be insufficient to meet the issuer’s obligations or may be difficult to liquidate. No active trading market may exist for many floating rate loans, and many loans are subject to restrictions on resale. Any secondary market may be subject to irregular trading activity and extended settlement periods. There is less readily available, reliable information about most floating rate loans than is the case for many other types of securities. Normally, the Adviser will seek to avoid receiving material, nonpublic information about the issuer of a loan either held by, or considered for investment by, the Fund, and this decision could adversely affect the Fund’s investment performance. Loans may not be considered “securities,” and purchasers, such as the Fund, therefore may not be entitled to rely on the anti-fraud protections afforded by federal securities laws. | |
The Fund may invest in insurance-linked securities (“ILS”). ILS may include event-linked bonds (also known as insurance-linked bonds or catastrophe bonds), quota share instruments (also known as “reinsurance sidecars”), collateralized reinsurance investments, industry loss warranties, eventlinked swaps, securities of companies in the insurance or reinsurance industries, and other insurance and reinsurance-related securities. The Fund could lose a portion or all of the principal it has invested in an ILS, and the right to additional interest or dividend payments with respect to the security, upon the occurrence of one or more trigger events, as defined within the terms of an insurance-linked security. ILS carry significant risk. See note 1.G. | |
The Fund may invest in mortgage-related and asset-backed securities. The value of mortgage-related and asset-backed securities will be influenced by factors affecting the assets underlying such securities. As a result, during periods of declining asset value, difficult or frozen credit markets, swings in interest rates, or deteriorating economic conditions, mortgage-related and asset-backed securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid. Mortgage-backed securities tend to be more sensitive to changes in interest rate than other types of debt securities. These securities are also subject to prepayment and extension risks. Some of these securities may |
receive little or no collateral protection from the underlying assets and are thus subject to the risk of default. The risk of such defaults is generally higher in the case of mortgage-backed investments offered by non-governmental issuers and those that include so-called "sub-prime" mortgages. The structure of some of these securities may be complex and there may be less available information than for other types of debt securities. Upon the occurrence of certain triggering events or defaults, the Fund may become the holder of underlying assets at a time when those assets may be difficult to sell or may be sold only at a loss. | |
The Fund may invest in credit risk transfer securities. Credit risk transfer securities are unguaranteed and unsecured debt securities issued by government sponsored enterprises and therefore are not directly linked to or backed by the underlying mortgage loans. As a result, in the event that a government sponsored enterprise fails to pay principal or interest on its credit risk transfer securities or goes through a bankruptcy, insolvency or similar proceeding, holders of such credit risk transfer securities have no direct recourse to the underlying mortgage loans and will generally receive recovery on par with other unsecured note holders in such a scenario. The risks associated with an investment in credit risk transfer securities are different than the risks associated with an investment in mortgage-backed securities issued by Fannie Mae and Freddie Mac, or other government sponsored enterprise or issued by a private issuer, because some or all of the mortgage default or credit risk associated with the underlying mortgage loans is transferred to investors. As a result, investors in these securities could lose some or all of their investment in these securities if the underlying mortgage loans default. | |
The Fund’s investments in foreign markets and countries with limited developing markets may subject the Fund to a greater degree of risk than investments in a developed market. These risks include disruptive political or economic conditions, military conflicts and sanctions, terrorism, sustained economic downturns, financial instability, reduction of government or central bank support, inadequate accounting standards, tariffs, tax disputes or other tax burdens, nationalization or expropriation of assets, and the imposition of adverse governmental laws, arbitrary application of laws and regulations or lack of rule of law, or currency exchange restrictions. Lack of information and less market regulation also may affect the value of these securities. Withholding and other non-U.S. taxes may decrease the Fund’s return. Non-U.S. issuers may be located in parts of the world that have historically been prone to natural disasters. Investing in depositary receipts is subject to many of the same risks as investing directly in non-U.S. issuers. Depositary |
receipts may involve higher expenses and may trade at a discount (or premium) to the underlying security. | |
Russia launched a large-scale invasion of Ukraine on February 24, 2022. In response to the military action by Russia, various countries, including the U.S., the United Kingdom, and European Union issued broad-ranging economic sanctions against Russia and Belarus and certain companies and individuals. Since then, Russian securities have lost all, or nearly all, their market value, and many other issuers, securities and markets have been adversely affected. The United States and other countries may impose sanctions on other countries, companies and individuals in light of Russia’s military invasion. The extent and duration of the impact of existing and future sanctions, market disruptions and volatility, and the result of any diplomatic negotiations cannot be predicted. These and any related events could have a significant impact on the value and liquidity of certain Fund investments, on Fund performance and the value of an investment in the Fund, particularly with respect to securities and commodities, such as oil, natural gas and food commodities, as well as other sectors with exposure to Russian issuers or issuers in other countries affected by the invasion, and are likely to have collateral impacts on market sectors globally. | |
The Fund’s investments, payment obligations and financing terms may be based on floating rates, such as LIBOR (London Interbank Offered Rate) or SOFR (Secured Overnight Financing Rate). ICE Benchmark Administration, the administrator of LIBOR, has ceased publication of most LIBOR settings on a representative basis and is expected to cease publication of the remaining U.S. dollar LIBOR settings on a representative basis after September 30, 2024. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. Markets are developing in response to these new rates, but questions around liquidity in these rates and how to appropriately adjust these rates to eliminate any economic value transfer at the time of transition remain a significant concern. The effect of any changes to - or discontinuation of - LIBOR on the Fund will vary depending on, among other things, existing fallback provisions in individual contracts and whether, how, and when industry participants develop and widely adopt new reference rates and fallbacks for both legacy and new products and instruments. The transition process may involve, among other things, increased volatility or illiquidity in markets for instruments that rely on LIBOR. The transition may also result in a reduction in the value of certain LIBOR-based investments held by the |
Fund or reduce the effectiveness of related transactions such as hedges. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses for the Fund. Because the usefulness of LIBOR as a benchmark may deteriorate during the transition period, these effects could occur at any time. | |
The Fund may invest a significant amount of its total assets in illiquid securities. Illiquid securities are securities that the Fund reasonably expects cannot be sold or disposed of in the current market in seven calendar days or less without the sale or disposition significantly changing the market value of the securities. | |
The Fund may invest in REIT securities, the value of which can fall for a variety of reasons, such as declines in rental income, fluctuating interest rates, poor property management, environmental liabilities, uninsured damage, increased competition, or changes in real estate tax laws. | |
With the increased use of technologies such as the Internet to conduct business, the Fund is susceptible to operational, information security and related risks. While the Fund’s Adviser has established business continuity plans in the event of, and risk management systems to prevent, limit or mitigate, such cyber-attacks, there are inherent limitations in such plans and systems, including the possibility that certain risks have not been identified. Furthermore, the Fund cannot control the cybersecurity plans and systems put in place by service providers to the Fund such as the Fund’s custodian and accounting agent, and the Fund’s transfer agent. In addition, many beneficial owners of Fund shares hold them through accounts at broker-dealers, retirement platforms and other financial market participants over which neither the Fund nor the Adviser exercises control. Each of these may in turn rely on service providers to them, which are also subject to the risk of cyber-attacks. Cybersecurity failures or breaches at the Adviser or the Fund’s service providers or intermediaries have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, interference with the Fund’s ability to calculate its net asset value, impediments to trading, the inability of Fund stockholders to effect share purchases or sales or receive distributions, loss of or unauthorized access to private stockholder information and violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, or additional compliance costs. Such costs and losses may not be covered under any insurance. In addition, maintaining vigilance against cyber-attacks may involve substantial costs over time, and system enhancements may themselves be subject to cyber-attacks. |
F. | Restricted Securities |
Restricted Securities are subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. | |
Disposal of restricted investments may involve negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Fund at April 30, 2023 are listed in the Schedule of Investments. | |
G. | Insurance-Linked Securities (“ILS”) |
The Fund invests in ILS. The Fund could lose a portion or all of the principal it has invested in an ILS, and the right to additional interest or dividend payments with respect to the security, upon the occurrence of one or more trigger events, as defined within the terms of an insurance-linked security. Trigger events, generally, are hurricanes, earthquakes, or other natural events of a specific size or magnitude that occur in a designated geographic region during a specified time period, and/or that involve losses or other metrics that exceed a specific amount. There is no way to accurately predict whether a trigger event will occur, and accordingly, ILS carry significant risk. The Fund is entitled to receive principal, and interest and/or dividend payments so long as no trigger event occurs of the description and magnitude specified by the instrument. In addition to the specified trigger events, ILS may expose the Fund to other risks, including but not limited to issuer (credit) default, adverse regulatory or jurisdictional interpretations and adverse tax consequences. | |
The Fund’s investments in ILS may include event-linked bonds. ILS also may include special purpose vehicles (“SPVs”) or similar instruments structured to comprise a portion of a reinsurer’s catastrophe-oriented business, known as quota share instruments (sometimes referred to as reinsurance sidecars), or to provide reinsurance relating to specific risks to insurance or reinsurance companies through a collateralized instrument, known as collateralized reinsurance. Structured reinsurance investments also may include industry loss warranties (“ILWs”). A traditional ILW takes the form of a bilateral reinsurance contract, but there are also products that take the form of derivatives, collateralized structures, or exchange-traded instruments. |
Where the ILS are based on the performance of underlying reinsurance contracts, the Fund has limited transparency into the individual underlying contracts, and therefore must rely upon the risk assessment and sound underwriting practices of the issuer. Accordingly, it may be more difficult for the Adviser to fully evaluate the underlying risk profile of the Fund’s structured reinsurance investments, and therefore the Fund’s assets are placed at greater risk of loss than if the Adviser had more complete information. Structured reinsurance instruments generally will be considered illiquid securities by the Fund. These securities may be difficult to purchase, sell or unwind. Illiquid securities also may be difficult to value. If the Fund is forced to sell an illiquid asset, the Fund may be forced to sell at a loss. | |
H. | Purchased Options |
The Fund may purchase put and call options to seek to increase total return. Purchased call and put options entitle the Fund to buy and sell a specified number of shares or units of a particular security, currency or index at a specified price at a specific date or within a specific period of time. Upon the purchase of a call or put option, the premium paid by the Fund is included on the Statement of Assets and Liabilities as an investment. All premiums are marked-to-market daily, and any unrealized appreciation or depreciation is recorded on the Fund’s Statement of Operations. As the purchaser of an index option, the Fund has the right to receive a cash payment equal to any depreciation in the value of the index below the strike price of the option (in the case of a put) or equal to any appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. Premiums paid for purchased call and put options which have expired are treated as realized losses on investments on the Statement of Operations. Upon the exercise or closing of a purchased put option, the premium is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on investments. Upon the exercise or closing of a purchased call option, the premium is added to the cost of the security or financial instrument. The risk associated with purchasing options is limited to the premium originally paid. | |
The average market value of purchased options contracts open during the year ended April 30, 2023 was $80,658. Open purchased options at April 30, 2023 are listed in the Schedule of Investments. |
I. | Option Writing |
The Fund may write put and covered call options to seek to increase total return. When an option is written, the Fund receives a premium and becomes obligated to purchase or sell the underlying security at a fixed price, upon the exercise of the option. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as “Written options outstanding” on the Statement of Assets and Liabilities and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains from investments on the Statement of Operations. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain on the Statement of Operations, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss on the Statement of Operations. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has realized a gain or loss. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option. | |
The average market value of written options for the year ended April 30, 2023 was $(23,061). Open written options contracts at April 30, 2023 are listed in the Schedule of Investments. | |
J. | Forward Foreign Currency Exchange Contracts |
The Fund may enter into forward foreign currency exchange contracts (“contracts”) for the purchase or sale of a specific foreign currency at a fixed price on a future date. All contracts are marked-to-market daily at the applicable exchange rates, and any resulting unrealized appreciation or depreciation is recorded in the Fund’s financial statements. The Fund records realized gains and losses at the time a contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of the contract and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar (see Note 5). | |
During the year ended April 30, 2023, the Fund had entered into various forward foreign currency exchange contracts that obligated the Fund to deliver or take delivery of currencies at specified future maturity dates. Alternatively, prior to the settlement date of a forward foreign currency exchange contract, the Fund may close out such contract by entering into an offsetting contract. |
The average market value of forward foreign currency exchange contracts open during the year ended April 30, 2023, was $3,318,771 and $4,688,696 for buys and sells, respectively. Open forward foreign currency exchange contracts outstanding at April 30, 2023 are listed in the Schedule of Investments. | |
K. | Automatic Dividend Reinvestment Plan |
All stockholders whose shares are registered in their own names automatically participate in the Automatic Dividend Reinvestment Plan (the “Plan”), under which participants receive all dividends and capital gain distributions (collectively, dividends) in full and fractional shares of the Fund in lieu of cash. Stockholders may elect not to participate in the Plan. Stockholders not participating in the Plan receive all dividends and capital gain distributions in cash. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by notifying American Stock Transfer & Trust Company, the agent for stockholders in administering the Plan (the “Plan Agent”), in writing prior to any dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution. | |
If a stockholder’s shares are held in the name of a brokerage firm, bank or other nominee, the stockholder can ask the firm or nominee to participate in the Plan on the stockholder’s behalf. If the firm or nominee does not offer the Plan, dividends will be paid in cash to the stockholder of record. A firm or nominee may reinvest a stockholder’s cash dividends in shares of the Fund on terms that differ from the terms of the Plan. | |
Whenever the Fund declares a dividend on shares payable in cash, participants in the Plan will receive the equivalent in shares acquired by the Plan Agent either (i) through receipt of additional unissued but authorized shares from the Fund or (ii) by purchase of outstanding shares on the New York Stock Exchange or elsewhere. If, on the payment date for any dividend, the net asset value per share is equal to or less than the market price per share plus estimated brokerage trading fees (market premium), the Plan Agent will invest the dividend amount in newly issued shares. The number of newly issued shares to be credited to each account will be determined by dividing the dollar amount of the dividend by the net asset value per share on the date the shares are issued, provided that the maximum discount from the then current market price per share on the date of issuance does not exceed 5%. If, on the payment date for any dividend, the net asset value per share is greater than the market value (market discount), the Plan Agent will |
invest the dividend amount in shares acquired in open-market purchases. There are no brokerage charges with respect to newly issued shares. However, each participant will pay a pro rata share of brokerage trading fees incurred with respect to the Plan Agent’s open-market purchases. Participating in the Plan does not relieve stockholders from any federal, state or local taxes which may be due on dividends paid in any taxable year. Stockholders holding Plan shares in a brokerage account may be able to transfer the shares to another broker and continue to participate in the Plan. | |
L. | Statement of Cash Flows |
Information on financial transactions which have been settled through the receipt or disbursement of cash or restricted cash is presented in the Statement of Cash Flows. Cash as presented in the Fund's Statement of Assets and Liabilities includes cash on hand at the Fund's custodian bank and does not include any short-term investments. As of and for the year ended April 30, 2023, the Fund had no restricted cash presented on the Statement of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-Cash Collateral Received (a) | Cash Collateral Received (a) | Net Amount of Derivative Assets (b) |
Brown Brothers Harriman & Co. | $17,337 | $(17,337) | $— | $— | $— |
Goldman Sachs & Co. | 4,244 | (4,244) | — | — | — |
JPMorgan Chase Bank NA | — | — | — | — | — |
State Street Bank & Trust Co. | 52,192 | — | — | — | 52,192 |
Total | $73,773 | $(21,581) | $— | $— | $52,192 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-Cash Collateral Pledged (a) | Cash Collateral Pledged (a) | Net Amount of Derivative Liabilities (c) |
Brown Brothers Harriman & Co. | $25,284 | $(17,337) | $— | $— | $7,947 |
Goldman Sachs & Co. | 43,271 | (4,244) | — | — | 39,027 |
JPMorgan Chase Bank NA | 17,457 | — | — | — | 17,457 |
State Street Bank & Trust Co. | — | — | — | — | — |
Total | $86,012 | $(21,581) | $— | $— | $64,431 |
Statement of Assets and Liabilities | Interest Rate Risk | Credit Risk | Foreign Exchange Rate Risk | Equity Risk | Commodity Risk |
Assets | |||||
Unrealized appreciation on forward foreign currency exchange contracts | $— | $— | $69,529 | $— | $— |
Options purchased* | — | — | 4,244 | — | — |
Total Value | $— | $— | $73,773 | $— | $— |
Liabilities | |||||
Call options written | $— | $— | $43,271 | $— | $— |
Unrealized depreciation on forward foreign currency exchange contracts | — | — | 42,741 | — | — |
Total Value | $— | $— | $86,012 | $— | $— |
* | Reflects the market value of purchased option contracts (see Note 1H). These amounts are included in investments in unaffiliated issuers, at value, on the Statement of Assets and Liabilities. |
Statement of Operations / Statement of Cash Flows | Interest Rate Risk | Credit Risk | Foreign Exchange Rate Risk | Equity Risk | Commodity Risk |
Net Realized Gain (Loss) on | |||||
Forward foreign currency exchange contracts | $— | $— | $(346,427) | $— | $— |
Options purchased* | — | — | (50,405) | — | — |
Options written | — | — | 50,405 | — | — |
Total Value | $— | $— | $(346,427) | $— | $— |
Change in Net Unrealized Appreciation (Depreciation) on | |||||
Forward foreign currency exchange contracts | $— | $— | $63,657 | $— | $— |
Options purchased** | — | — | (137,538) | — | — |
Options written | — | — | (39,744) | — | — |
Total Value | $— | $— | $(113,625) | $— | $— |
* | Reflects the net realized gain (loss) on purchased option contracts (see Note 1H). 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 1H). These amounts are included in change in net unrealized appreciation (depreciation) on investments in unaffiliated issuers, on the Statement of Operations. |
4/30/23 | 4/30/22 | |
Shares outstanding at beginning of year | 8,334,759 | 8,332,790 |
Shares outstanding at end of year | 8,334,759 | 8,334,759 |
June 27, 2023
• | In an attempt to hedge against adverse changes in the market prices of securities, interest rates or currency exchange rates |
• | As a substitute for purchasing or selling securities |
• | To attempt to increase the Fund’s return as a non-hedging strategy that may be considered speculative |
• | To manage portfolio characteristics (for example, the duration or credit quality of the Fund’s portfolio) |
• | As a cash flow management technique |
(1) | Issue senior securities, other than as permitted by the 1940 Act. |
(2) | Borrow money, other than as permitted by the 1940 Act. |
(3) | Invest in real estate, except the Fund may invest in securities of issuers that invest in real estate or interests therein, securities that are secured by real estate or interests therein, securities of real estate investment trusts, mortgage-backed securities and other securities that represent a similar indirect interest in real estate, and the Fund may acquire real estate or interests therein through exercising rights or remedies with regard to an instrument. |
(4) | Make loans, except that the Fund may (i) lend portfolio securities, (ii) enter into repurchase agreements, (iii) purchase all or a portion of an issue of publicly distributed debt securities, loans, loan participation interests, bank certificates of deposit, acceptances, debentures or other securities, whether or not the purchase is made upon the original issuance of the securities, (iv) participate in a credit facility whereby the Fund may directly lend to and borrow money from other affiliated funds to the extent permitted under the 1940 Act or an exemption therefrom and (v) make loans in any other |
manner consistent with applicable law, as amended and interpreted or modified from time to time by any regulatory authority having jurisdiction. | |
(5) | Invest in commodities or commodity contracts, except that the Fund may invest in currency instruments and contracts and financial instruments and contracts that might be deemed to be commodities and commodity contracts. |
(6) | Make any investment inconsistent with its classification as a diversified open-end investment company under the 1940 Act. Currently, diversification means that, with respect to 75% of its total assets, the Fund may not purchase securities of an issuer (other than the U.S. government, its agencies or instrumentalities and securities of investment companies), if (a) such purchase would cause more than 5% of the Fund’s total assets, taken at market value, to be invested in the securities of such issuer, or (b) such purchase would at the time result in more than 10% of the outstanding voting securities of such issuer being held by the Fund. |
(7) | Act as an underwriter, except insofar as the Fund technically may be deemed to be an underwriter in connection with the purchase or sale of its portfolio securities. |
(8) | Invest 25% or more of the value of its total assets in any one industry, except that (a) the Fund will invest more than 25% of its total assets in securities or other instruments issued or structured by companies in the financial services group of industries, such as banks, broker-dealers and insurance and reinsurance companies, and (b) this limitation does not apply to the purchase of obligations issued or guaranteed by the U.S. government, its agencies or instrumentalities. |
Borrowings under credit agreement as a percentage of total managed assets (including assets attributable to borrowings) | 30.34% |
Annual effective interest rate payable by Fund on borrowings | 4.01% |
Annual return Fund portfolio must experience (net of expenses) to cover interest rate on borrowings | 1.86% |
Common share total return for (10.00)% assumed portfolio total return | (17.02)% |
Common share total return for (5.00)% assumed portfolio total return | (9.85)% |
Common share total return for 0.00% assumed portfolio total return | (2.67)% |
Common share total return for 5.00% assumed portfolio total return | 4.51% |
Common share total return for 10.00% assumed portfolio total return | 11.69% |
Amundi Asset Management US, Inc.
The Bank of New York Mellon Corporation
Ernst & Young LLP
Morgan, Lewis & Bockius LLP
American Stock Transfer & Trust Company
Name, Age and Position Held With the Fund | Term of Office and Length of Service | Principal Occupation(s) During At Least The Past Five Years | Other Directorships Held by Director During At Least The Past Five Years |
Thomas J. Perna (72) Chairman of the Board and Director | Class II Director since 2007. Term expires in 2024. | Private investor (2004 – 2008 and 2013 – present); Chairman (2008 – 2013) and Chief Executive Officer (2008 – 2012), Quadriserv, Inc. (technology products for securities lending industry); and Senior Executive Vice President, The Bank of New York (financial and securities services) (1986 – 2004) | Director, Broadridge Financial Solutions, Inc. (investor communications and securities processing provider for financial services industry) (2009 – present); Director, Quadriserv, Inc. (2005 – 2013); and Commissioner, New Jersey State Civil Service Commission (2011 – 2015) |
John E. Baumgardner, Jr. (72)* Director | Class III Director since 2019. Term expires in 2025. | Of Counsel (2019 – present), Partner (1983-2018), Sullivan & Cromwell LLP (law firm). | Chairman, The Lakeville Journal Company, LLC, (privately-held community newspaper group) (2015-present) |
Diane Durnin (66) Director | Class I Director since 2020. Term expires in 2023. | Managing Director - Head of Product Strategy and Development, BNY Mellon Investment Management (investment management firm) (2012-2018); Vice Chairman – The Dreyfus Corporation (2005 – 2018): Executive Vice President Head of Product, BNY Mellon Investment Management (2007-2012); Executive Director- Product Strategy, Mellon Asset Management (2005-2007); Executive Vice President Head of Products, Marketing and Client Service, Dreyfus Corporation (investment management firm) (2000-2005); Senior Vice President Strategic Product and Business Development, Dreyfus Corporation (1994-2000) | None |
Name, Age and Position Held With the Fund | Term of Office and Length of Service | Principal Occupation(s) During At Least The Past Five Years | Other Directorships Held by Director During At Least The Past Five Years |
Benjamin M. Friedman (78) Director | Class I Director since 2008. Term expires in 2023. | William Joseph Maier Professor of Political Economy, Harvard University (1972 – present) | Trustee, Mellon Institutional Funds Investment Trust and Mellon Institutional Funds Master Portfolio (oversaw 17 portfolios in fund complex) (1989 - 2008) |
Craig C. MacKay (60) Director | Class II Director since 2021. Term expires in 2024. | Partner, England & Company, LLC (advisory firm) (2012 – present); Group Head – Leveraged Finance Distribution, Oppenheimer & Company (investment bank) (2006 – 2012); Group Head – Private Finance & High Yield Capital Markets Origination, SunTrust Robinson Humphrey (investment bank) (2003 – 2006); and Founder and Chief Executive Officer, HNY Associates, LLC (investment bank) (1996 – 2003) | Director, Equitable Holdings, Inc. (financial services holding company) (2022 – present); Board Member of Carver Bancorp, Inc. (holding company) and Carver Federal Savings Bank, NA (2017 – present); Advisory Council Member, MasterShares ETF (2016 – 2017); Advisory Council Member, The Deal (financial market information publisher) (2015 – 2016); Board Co-Chairman and Chief Executive Officer, Danis Transportation Company (privately-owned commercial carrier) (2000 – 2003); Board Member and Chief Financial Officer, Customer Access Resources (privately-owned teleservices company) (1998 – 2000); Board Member, Federation of Protestant Welfare Agencies (human services agency) (1993 – present); and Board Treasurer, Harlem Dowling Westside Center (foster care agency) (1999 – 2018) |
Name, Age and Position Held With the Fund | Term of Office and Length of Service | Principal Occupation(s) During At Least The Past Five Years | Other Directorships Held by Director During At Least The Past Five Years |
Lorraine H. Monchak (67) Director | Class III Director since 2015. Term expires in 2025. | Chief Investment Officer, 1199 SEIU Funds (healthcare workers union pension funds) (2001 – present); Vice President – International Investments Group, American International Group, Inc. (insurance company) (1993 – 2001); Vice President – Corporate Finance and Treasury Group, Citibank, N.A. (1980 – 1986 and 1990 – 1993); Vice President – Asset/Liability Management Group, Federal Farm Funding Corporation (government-sponsored issuer of debt securities) (1988 – 1990); Mortgage Strategies Group, Shearson Lehman Hutton, Inc. (investment bank) (1987 – 1988); Mortgage Strategies Group, Drexel Burnham Lambert, Ltd. (investment bank) (1986 – 1987) | None |
Marguerite A. Piret (74) Director | Class II Director since 2007. Term expires in 2024. | Chief Financial Officer, American Ag Energy, Inc. (controlled environment and agriculture company) (2016 – present); President and Chief Executive Officer, Metric Financial Inc. (formerly known as Newbury Piret Company) (investment banking firm) (1981 – 2019) | Director of New America High Income Fund, Inc. (closed-end investment company) (2004 – present); and Member, Board of Governors, Investment Company Institute (2000 – 2006) |
Name, Age and Position Held With the Fund | Term of Office and Length of Service | Principal Occupation(s) During At Least The Past Five Years | Other Directorships Held by Director During At Least The Past Five Years |
Fred J. Ricciardi (76) Director | Class II Director since 2014. Term expires in 2024. | Private investor (2020 – present); Consultant (investment company services) (2012 – 2020); Executive Vice President, BNY Mellon (financial and investment company services) (1969 – 2012); Director, BNY International Financing Corp. (financial services) (2002 – 2012); Director, Mellon Overseas Investment Corp. (financial services) (2009 – 2012); Director, Financial Models (technology) (2005-2007); Director, BNY Hamilton Funds, Ireland (offshore investment companies) (2004-2007); Chairman/Director, AIB/BNY Securities Services, Ltd., Ireland (financial services) (1999-2006); Chairman, BNY Alternative Investment Services, Inc. (financial services) (2005-2007) | None |
* Mr. Baumgardner is Of Counsel to Sullivan & Cromwell LLP, which acts as counsel to the Independent Directors of each Pioneer Fund. |
Name, Age and Position Held With the Fund | Term of Office and Length of Service | Principal Occupation(s) During At Least The Past Five Years | Other Directorships Held by Director During At Least The Past Five Years |
Lisa M. Jones (60)** Director, President and Chief Executive Officer | Class III Director since 2014. Term expires in 2025. | Director, CEO and President of Amundi US, Inc. (investment management firm) (since September 2014); Director, CEO and President of Amundi Asset Management US, Inc. (since September 2014); Director, CEO and President of Amundi Distributor US, Inc. (since September 2014); Director, CEO and President of Amundi Asset Management US, Inc. (since September 2014); Chair, Amundi US, Inc., Amundi Distributor US, Inc. and Amundi Asset Management US, Inc. (September 2014 – 2018); Managing Director, Morgan Stanley Investment Management (investment management firm) (2010 – 2013); Director of Institutional Business, CEO of International, Eaton Vance Management (investment management firm) (2005 – 2010); Director of Amundi Holdings US, Inc. (since 2017) | Director of Clearwater Analytics (provider of web-based investment accounting software for reporting and reconciliation services) (November 2022 – present) |
Kenneth J. Taubes (65)** Director | Class I Director since 2014. Term expires in 2023. | Director and Executive Vice President (since 2008) and Chief Investment Officer, U.S. (since 2010) of Amundi US, Inc. (investment management firm); Director and Executive Vice President and Chief Investment Officer, U.S. of Amundi US (since 2008); Executive Vice President and Chief Investment Officer, U.S. of Amundi Asset Management US, Inc. (since 2009); Portfolio Manager of Amundi US (since 1999); Director of Amundi Holdings US, Inc. (since 2017) | None |
** Ms. Jones and Mr. Taubes are Interested Directors because they are officers or directors of the Fund’s investment adviser and certain of its affiliates. |
Name, Age and Position Held With the Fund | Term of Office and Length of Service | Principal Occupation(s) During At Least The Past Five Years | Other Directorships Held by Officer During At Least The Past Five Years |
Christopher J. Kelley (58) Secretary and Chief Legal Officer | Since 2004. Serves at the discretion of the Board | Vice President and Associate General Counsel of Amundi US since January 2008; Secretary and Chief Legal Officer of all of the Pioneer Funds since June 2010; Assistant Secretary of all of the Pioneer Funds from September 2003 to May 2010; Vice President and Senior Counsel of Amundi US from July 2002 to December 2007 | None |
Thomas Reyes (60) Assistant Secretary | Since 2010. Serves at the discretion of the Board | Assistant General Counsel of Amundi US since May 2013 and Assistant Secretary of all the Pioneer Funds since June 2010; Counsel of Amundi US from June 2007 to May 2013 | None |
Heather L. Melito-Dezan (46) Assistant Treasurer | Since March 2022. Serves at the discretion of the BoardSince 2022. Serves at the discretion of the Board | Director - Trustee and Board Relationships of Amundi US since September 2019; Private practice from 2017 – 2019. | None |
Anthony J. Koenig, Jr. (59) Treasurer and Chief Financial and Accounting Officer | Since 2021. Serves at the discretion of the Board | Managing Director, Chief Operations Officer and Fund Treasurer of Amundi US since May 2021; Treasurer of all of the Pioneer Funds since May 2021; Assistant Treasurer of all of the Pioneer Funds from January 2021 to May 2021; and Chief of Staff, US Investment Management of Amundi US from May 2008 to January 2021 | None |
Luis I. Presutti (58) Assistant Treasurer | Since 2007. Serves at the discretion of the Board | Director – Fund Treasury of Amundi US since 1999; and Assistant Treasurer of all of the Pioneer Funds since 1999 | None |
Gary Sullivan (65) Assistant Treasurer | Since 2007. Serves at the discretion of the Board | Senior Manager – Fund Treasury of Amundi US since 2012; and Assistant Treasurer of all of the Pioneer Funds since 2002 | None |
Name, Age and Position Held With the Fund | Term of Office and Length of Service | Principal Occupation(s) During At Least The Past Five Years | Other Directorships Held by Officer During At Least The Past Five Years |
Antonio Furtado (41) Assistant Treasurer | Since 2020. Serves at the discretion of the Board | Fund Oversight Manager – Fund Treasury of Amundi US since 2020; Assistant Treasurer of all of the Pioneer Funds since 2020; and Senior Fund Treasury Analyst from 2012 - 2020 | None |
Michael Melnick (52) Assistant Treasurer | Since 2021. Serves at the discretion of the Board | Vice President - Deputy Fund Treasurer of Amundi US since May 2021; Assistant Treasurer of all of the Pioneer Funds since July 2021; Director of Regulatory Reporting of Amundi US from 2001 – 2021; and Director of Tax of Amundi US from 2000 - 2001 | None |
John Malone (52) Chief Compliance Officer | Since 2018. Serves at the discretion of the Board | Managing Director, Chief Compliance Officer of Amundi US Asset Management; Amundi Asset Management US, Inc.; and the Pioneer Funds since September 2018; Chief Compliance Officer of Amundi Distributor US, Inc. since January 2014. | None |
Brandon Austin (51) Anti-Money Laundering Officer | Since March 2022. Serves at the discretion of the Board | Director, Financial Security – Amundi Asset Management; Anti-Money Laundering Officer of all the Pioneer Funds since March 2022: Director of Financial Security of Amundi US since July 2021; Vice President, Head of BSA, AML and OFAC, Deputy Compliance Manager, Crédit Agricole Indosuez Wealth Management (investment management firm) (2013 – 2021) | None |
change of address, lost stock certificates,Transfer & Trust
stock transferOperations Center
6201 15th Ave.
Brooklyn, NY 11219
Transfer & Trust
Wall Street Station
P.O. Box 922
New York, NY 10269-0560
ITEM 2. CODE OF ETHICS.
(a) Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant has adopted, as of the end of the period covered by this report, a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer and controller.
(b) For purposes of this Item, the term “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:
(1) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
(2) Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant;
(3) Compliance with applicable governmental laws, rules, and regulations;
(4) The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and
(5) Accountability for adherence to the code.
(c) The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 10(a), unless the registrant has elected to satisfy paragraph (f) of this Item by posting its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
The registrant has made no amendments to the code of ethics during the period covered by this report.
(d) If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
Not applicable.
(e) If the registrant intends to satisfy the disclosure requirement under paragraph (c) or (d) of this Item regarding an amendment to, or a waiver from, a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item by posting such information on its Internet website, disclose the registrant’s Internet address and such intention.
Not applicable.
(f) The registrant must:
(1) File with the Commission, pursuant to Item 12(a)(1), a copy of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, as an exhibit to its annual report on this Form N-CSR (see attachment);
(2) Post the text of such code of ethics on its Internet website and disclose, in its most recent report on this Form N-CSR, its Internet address and the fact that it has posted such code of ethics on its Internet website; or
(3) Undertake in its most recent report on this Form N-CSR to provide to any person without charge, upon request, a copy of such code of ethics and explain the manner in which such request may be made. See Item 10(2)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s Board of Directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The registrant’s Board of Directors has determined that the registrant has at least one audit committee financial expert.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the Board of Directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
Mr. Fred J. Ricciardi, an independent Director, is such an audit committee financial expert.
(3) If the registrant provides the disclosure required by paragraph (a)(1) (ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
The audit fees for the Fund were $42,215 payable to Ernst & Young LLP for the year ended April 30, 2023 and $39,270 for the year ended April 30, 2022.
(b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
The audit-related services fees for the Fund were $757 payable to Ernst & Young LLP for the year ended April 30, 2023 and $272 for the year ended April 30, 2022.
(c) Disclose, under the caption TAX FEES, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
The Fund paid aggregate non-audit fees to Ernst & Young LLP for tax services of $10,213 and $10,317 during the fiscal years ended April 30, 2023 and 2022, respectively.
(d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
There were no audit-related services in 2023 or 2022.
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
PIONEER FUNDS
APPROVAL OF AUDIT, AUDIT-RELATED, TAX AND OTHER SERVICES
PROVIDED BY THE INDEPENDENT AUDITOR
SECTION I - POLICY PURPOSE AND APPLICABILITY
The Pioneer Funds recognize the importance of maintaining the independence of their outside auditors. Maintaining independence is a shared responsibility involving Amundi Asset Management US, Inc., the audit committee and the independent auditors.
The Funds recognize that a Fund’s independent auditors: 1) possess knowledge of the Funds, 2) are able to incorporate certain services into the scope of the audit, thereby avoiding redundant work, cost and disruption of Fund personnel and processes, and 3) have expertise that has value to the Funds. As a result, there are situations where it is desirable to use the Fund’s independent auditors for services in addition to the annual audit and where the potential for conflicts of interests are minimal. Consequently, this policy, which is intended to comply with Rule 210.2-01(C)(7), sets forth guidelines and procedures to be followed by the Funds when retaining the independent audit firm to perform audit, audit-related tax and other services under those circumstances, while also maintaining independence.
Approval of a service in accordance with this policy for a Fund shall also constitute approval for any other Fund whose pre-approval is required pursuant to Rule 210.2-01(c)(7)(ii).
In addition to the procedures set forth in this policy, any non-audit services that may be provided consistently with Rule 210.2-01 may be approved by the Audit Committee itself and any pre-approval that may be waived in accordance with Rule 210.2-01(c)(7)(i)(C) is hereby waived.
Selection of a Fund’s independent auditors and their compensation shall be determined by the Audit Committee and shall not be subject to this policy.
SECTION II - POLICY
| ||||
SERVICE CATEGORY | SERVICE CATEGORY DESCRIPTION | SPECIFIC PRE-APPROVED SERVICE SUBCATEGORIES | ||
I. AUDIT SERVICES | Services that are directly related to performing the independent audit of the Funds | • Accounting research assistance
• SEC consultation, registration statements, and reporting
• Tax accrual related matters
• Implementation of new accounting standards
• Compliance letters (e.g. rating agency letters)
• Regulatory reviews and assistance regarding financial matters
• Semi-annual reviews (if requested)
• Comfort letters for closed end offerings | ||
II. AUDIT-RELATED SERVICES | Services which are not prohibited under Rule 210.2-01(C)(4) (the “Rule”) and are related extensions of the audit services support the 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.) | • AICPA attest and agreed-upon procedures
• Technology control assessments
• Financial reporting control assessments
• Enterprise security architecture assessment |
AUDIT COMMITTEE APPROVAL POLICY | AUDIT COMMITTEE REPORTING POLICY | |
• “One-time” pre-approval for the audit period for all pre-approved specific service subcategories. Approval of the independent auditors as auditors for a Fund shall constitute pre approval for these services.
• “One-time” pre-approval for the fund fiscal year within a specified dollar limit for all pre-approved specific service subcategories
• 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) | • A summary of all such services and related fees reported at each regularly scheduled Audit Committee meeting.
• A summary of all such services and related fees (including comparison to specified dollar limits) reported quarterly. |
• 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” |
SECTION III - POLICY DETAIL, CONTINUED
SERVICE CATEGORY | SERVICE CATEGORY DESCRIPTION | SPECIFIC PRE-APPROVED | ||
III. TAX SERVICES | Services which are not prohibited by the Rule, if an officer of the Fund determines that using the Fund’s auditor to provide these services creates significant synergy in the form of efficiency, minimized disruption, or the ability to maintain a desired level of confidentiality. | • Tax planning and support
• Tax controversy assistance
• Tax compliance, tax returns, excise tax returns and support
• Tax opinions |
AUDIT COMMITTEE APPROVAL POLICY | AUDIT COMMITTEE REPORTING POLICY | |
• “One-time” pre-approval for the fund fiscal year within a specified dollar limit
• 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)
• 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” | • A summary of all such services and related fees (including comparison to specified dollar limits) reported quarterly. |
SECTION III - POLICY DETAIL, CONTINUED
SERVICE CATEGORY | SERVICE CATEGORY DESCRIPTION | SPECIFIC PRE-APPROVED | ||
IV. OTHER SERVICES
A. SYNERGISTIC, UNIQUE QUALIFICATIONS | Services which are not prohibited by the Rule, if an officer of the Fund 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. | • Business Risk Management support
• Other control and regulatory compliance projects |
AUDIT COMMITTEE APPROVAL POLICY | AUDIT COMMITTEE REPORTING POLICY | |
• “One-time” pre-approval for the fund fiscal year within a specified dollar limit
• 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)
• 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” | • A summary of all such services and related fees (including comparison to specified dollar limits) reported quarterly. |
SECTION III - POLICY DETAIL, CONTINUED
SERVICE CATEGORY | SERVICE CATEGORY DESCRIPTION | SPECIFIC PROHIBITED | ||
PROHIBITED SERVICES | Services which result in the auditors losing independence status under the Rule. | 1. Bookkeeping or other services related to the accounting records or financial statements of the audit 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 | |
• These services are not to be performed with the exception of the(*) services that may be permitted if they would not be subject to audit procedures at the audit client (as defined in rule 2-01(f)(4)) level the firm providing the service. | • A summary of all services and related fees reported at each regularly scheduled Audit Committee meeting will serve as continual confirmation that has not provided any restricted services. |
GENERAL AUDIT COMMITTEE APPROVAL POLICY:
• | For all projects, the officers of the Funds and the Fund’s auditors will each make an assessment to determine that any proposed projects will not impair independence. |
• | Potential services will be classified into the four non-restricted service categories and the “Approval of Audit, Audit-Related, Tax and Other Services” Policy above will be applied. Any services outside the specific pre-approved service subcategories set forth above must be specifically approved by the Audit Committee. |
• | At least quarterly, the Audit Committee shall review a report summarizing the services by service category, including fees, provided by the Audit firm as set forth in the above policy. |
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
Non-Audit Services
Beginning with non-audit service contracts entered into on or after May 6, 2003, the effective date of the new SEC pre-approval rules, the Fund’s audit committee is required to pre-approve services to affiliates defined by SEC rules to the extent that the services are determined to have a direct impact on the operations or financial reporting of the Fund. For the years ended April 30, 2023 and 2022, there were no services provided to an affiliate that required the Fund’s audit committee pre-approval.
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountants engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
N/A
(g) Disclose the aggregate non-audit fees billed by the registrants accountant for services rendered to the registrant, and rendered to the registrants investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The Fund paid aggregate non-audit fees to Ernst & Young LLP for tax services of $10,213 and $10,317 during the fiscal years ended April 30, 2023 and 2022, respectively.
(h) Disclose whether the registrants audit committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrants investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Fund’s audit committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the Affiliates (as defined) that were not pre- approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17 CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire Board of Directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
N/A
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17 CFR 240.10A-3(d)) regarding an exemption from the listing standards for audit committees.
N/A
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in 210.1212 of Regulation S-X [17 CFR 210.12-12], unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Proxy voting policies and procedures
Policy
Each of the Pioneer Funds and certain other clients of Amundi Asset Management US, Inc. (“Amundi US”) have delegated responsibility to vote proxies related to portfolio holdings to Amundi US. Amundi US is a fiduciary that owes each of its clients the duties of care and loyalty with respect to all services undertaken on the client’s behalf, including voting proxies for securities held by the client. When Amundi US has been delegated proxy-voting authority for a client, the duty of care requires Amundi US to monitor corporate events and to vote the proxies. To satisfy its duty of loyalty, Amundi US must place the client’s interests ahead of its own and must cast proxy votes in a manner consistent with the best interest of the client. It is Amundi US’s policy to vote proxies presented to Amundi US in a timely manner in accordance with these principles.
Amundi US’s sole concern in voting proxies is the economic effect of the proposal on the value of portfolio holdings, considering both the short- and long-term impact. In many instances, Amundi US believes that supporting the company’s strategy and voting “for” management’s proposals builds portfolio value. In other cases, however, proposals set forth by management may have a negative effect on that value, while some shareholder proposals may hold the best prospects for enhancing it. Amundi US monitors developments in the proxy voting arena and will revise this policy as needed.
Amundi US believes that environmental, social and governance (ESG) factors can affect companies’ long-term prospects for success and the sustainability of their business models. Since ESG factors that may affect corporate performance and economic value are considered by our investment professionals as part of the investment management process, Amundi US also considers these factors when reviewing proxy proposals. This approach is consistent with the stated investment objectives and policies of funds and investment strategies.
It should be noted that the proxy voting guidelines below are guidelines, not rules, and Amundi US reserves the right in all cases to vote contrary to guidelines where doing so is determined to represent the best economic interests of our clients. Further, the Pioneer Funds or other clients of Amundi US may direct Amundi US to vote contrary to guidelines.
Amundi US’s clients may request copies of their proxy voting records and of Amundi US’s proxy voting policies and procedures by either sending a written request to Amundi US’s Proxy Coordinator, or clients may review Amundi US’s proxy voting policies and procedures on-line at amundi.com/usinvestors. Amundi US may describe to clients its proxy voting policies and procedures by delivering a copy of Amundi US’s Form ADV (Part II), by separate notice to the client or by other means.
Applicability
This Proxy Voting policy and the procedures set forth below are designed to complement Amundi US’s investment policies and procedures regarding its general responsibility to monitor the performance and/or corporate events of companies that are issuers of securities held in accounts managed by Amundi US. This policy sets forth Amundi US’s position on a number of issues for which proxies may be solicited but it does not include all potential voting scenarios or proxy events. Furthermore, because of the special issues associated with proxy solicitations by closed-end Funds, Amundi US will vote shares of closed-end Funds on a case-by-case basis.
Purpose
The purpose of this policy is to ensure that proxies for United States (“US”) and non-US companies that are received in a timely manner will be voted in accordance with the principles stated above. Unless the Proxy Voting Oversight Group (as described below) specifically determines otherwise, all shares in a company held by Amundi US-managed accounts for which Amundi US has proxy-voting authority will be voted alike, unless a client has given specific voting instructions on an issue.
Amundi US does not delegate the authority to vote proxies relating to securities held by its clients to any of its affiliates. Any questions about this policy should be directed to Amundi US’s Chief of Staff, US Investment Management (the “Proxy Coordinator”).
Procedures
Proxy Voting Service
Amundi US has engaged an independent proxy voting service to assist in the voting of proxies. The proxy voting service works with custodians to ensure that all proxy materials are received by the custodians and are processed in a timely fashion. The proxy voting service votes all proxies in accordance with the proxy voting guidelines established by Amundi US and set forth herein, to the extent applicable. The proxy voting service will refer proxy questions to the Proxy Coordinator (described below) for instructions under circumstances where: (1) the application of the proxy voting guidelines is unclear; (2) a particular proxy question is not covered by the guidelines; or (3) the guidelines call for specific instructions on a case-by-case basis. The proxy voting service is also requested to call to the Proxy Coordinator’s attention specific proxy questions that, while governed by a guideline, appear to involve unusual or controversial issues. Amundi US reserves the right to attend a meeting in person and may do so when it determines that the company or the matters to be voted on at the meeting are strategically important to its clients.
To supplement its own research and analysis in determining how to vote on a particular proxy proposal, Amundi US may utilize research, analysis or recommendations provided by the proxy voting service on a case-by-case basis. Amundi US does not, as a policy, follow the assessments or recommendations provided by the proxy voting service without its own analysis and determination.
Proxy Coordinator
The Proxy Coordinator coordinates the voting, procedures and reporting of proxies on behalf of Amundi US’s clients. The Proxy Coordinator will deal directly with the proxy voting service and, in the case of proxy questions referred by the proxy voting service, will solicit voting recommendations and instructions from the Portfolio Management Group, or, to the extent applicable, investment sub-advisers. The Proxy Coordinator is responsible for ensuring that these questions and referrals are responded to in a timely fashion and for transmitting appropriate voting instructions to the proxy voting service. The Proxy Coordinator is responsible for verifying with the General Counsel or his or her designee whether Amundi US’s voting power is subject to any limitations or guidelines issued by the client (or in the case of an employee benefit plan, the plan’s director or other fiduciaries).
Referral Items
The proxy voting service will refer proxy questions to the Proxy Coordinator or his or her designee that are described by Amundi US’s proxy voting guidelines as to be voted on a case-by-case basis, that are not covered by Amundi US’s guidelines or where Amundi US’s guidelines may be unclear with respect to the matter to be voted on. Under such circumstances, the Proxy Coordinator will seek a written voting recommendation from the Chief Investment Officer, U.S. or his or her designated equity portfolio-management representative. Any such recommendation will include: (i) the manner in which the proxies should be voted; (ii) the rationale underlying any such decision; and (iii) the disclosure of any contacts or communications made between Amundi US and any outside parties concerning the proxy proposal prior to the time that the voting instructions are provided.
Securities Lending
In accordance with industry standards, proxies are not available to be voted when the shares are out on loan through either Amundi US’s lending program or a client’s managed security lending program. However, Amundi US will reserve the right to recall lent securities so that they may be voted according to Amundi US’s instructions. If a portfolio manager would like to vote a block of previously lent shares, the Proxy Coordinator will work with the portfolio manager and Investment Operations to recall the security, to the extent possible, to facilitate the vote on the entire block of shares. Certain clients participate in securities lending programs. Although such programs allow for the recall of securities for any reason, Amundi US may determine not to vote securities on loan and it may not always be possible for securities on loan to be recalled in time to be voted.
Share-Blocking
“Share-blocking” is a market practice whereby shares are sent to a custodian (which may be different than the account custodian) for record keeping and voting at the general meeting. The shares are unavailable for sale or delivery until the end of the blocking period (typically the day after general meeting date).
Amundi US will vote in those countries with “share-blocking.” In the event a manager would like to sell a security with “share-blocking”, the Proxy Coordinator will work with the Portfolio Manager and Investment Operations Department to recall the shares (as allowable within the market time-frame and practices) and/or communicate with executing brokerage firm. A list of countries with “share-blocking” is available from the Investment Operations Department upon request.
Proxy Voting Oversight Group
The members of the Proxy Voting Oversight Group include Amundi US’s Chief Investment Officer, U.S. or his or her designated equity portfolio management representative, the Chief of Staff, U.S., and the Chief Compliance Officer of the Adviser and Funds. Other members of Amundi US will be invited to attend meetings and otherwise participate as necessary. The Chief of Staff, U.S. will chair the Proxy Voting Oversight Group.
The Proxy Voting Oversight Group is responsible for developing, evaluating, and changing (when necessary) Amundi US’s proxy voting policies and procedures. The Group meets at least annually to evaluate and review this policy and the services of its third-party proxy voting service. In addition, the Proxy Voting Oversight Group will meet as necessary to vote on referral items and address other business as necessary.
Amendments
Amundi US may not amend this policy without the prior approval of the Proxy Voting Oversight Group.
Form N-PX
The Proxy Coordinator and the Director of Regulatory Reporting are responsible for ensuring that Form N-PX documents receive the proper review by a member of the Proxy Voting Oversight Group prior to a Fund officer signing the forms.
The Investment Operations department will provide the Compliance department with a copy of each Form N-PX filing prepared by the proxy voting service.
Compliance files N-PX. The Compliance department will ensure that a corresponding Form N-PX exists for each Amundi US registered investment company.
Following this review, each Form N-PX is formatted for public dissemination via the EDGAR system.
Prior to submission, each Form N-PX is to be presented to the Fund officer for a final review and signature.
Copies of the Form N-PX filings and their submission receipts are maintained according to Amundi US record keeping policies.
Proxy Voting Guidelines
Administrative
While administrative items appear infrequently in U.S. issuer proxies, they are quite common in non-U.S. proxies.
We will generally support these and similar management proposals:
• | Corporate name change. |
• | A change of corporate headquarters. |
• | Stock exchange listing. |
• | Establishment of time and place of annual meeting. |
• | Adjournment or postponement of annual meeting. |
• | Acceptance/approval of financial statements. |
• | Approval of dividend payments, dividend reinvestment plans and other dividend-related proposals. |
• | Approval of minutes and other formalities. |
• | Authorization of the transferring of reserves and allocation of income. |
• | Amendments to authorized signatories. |
• | Approval of accounting method changes or change in fiscal year-end. |
• | Acceptance of labor agreements. |
• | Appointment of internal auditors. |
Amundi US will vote on a case-by-case basis on other routine administrative items; however, Amundi US will oppose any routine proposal if insufficient information is presented in advance to allow Amundi US to judge the merit of the proposal. Amundi US has also instructed its proxy voting service to inform Amundi US of its analysis of any administrative items that may be inconsistent, in its view, with Amundi US’s goal of supporting the value of its clients’ portfolio holdings so that Amundi US may consider and vote on those items on a case-by-case basis in its discretion.
Auditors
We normally vote for proposals to:
Ratify the auditors. We will consider a vote against if we are concerned about the auditors’ independence or their past work for the company. Specifically, we will oppose the ratification of auditors and withhold votes for audit committee members if non-audit fees paid by the company to the auditing firm exceed the sum of audit fees plus audit-related fees plus permissible tax fees according to the disclosure categories proposed by the Securities and Exchange Commission.
• | Restore shareholder rights to ratify the auditors. |
We will normally oppose proposals that require companies to:
• | Seek bids from other auditors. |
• | Rotate auditing firms, except where the rotation is statutorily required or where rotation would demonstrably strengthen financial disclosure. |
• | Indemnify auditors. |
• | Prohibit auditors from engaging in non-audit services for the company. |
Board of Directors
On issues related to the board of directors, Amundi US normally supports management. We will, however, consider a vote against management in instances where corporate performance has been poor or where the board appears to lack independence.
General Board Issues
Amundi US will vote for:
• | Audit, compensation and nominating committees composed of independent directors exclusively. |
• | Indemnification for directors for actions taken in good faith in accordance with the business judgment rule. We will vote against proposals for broader indemnification. |
• | Changes in board size that appear to have a legitimate business purpose and are not primarily for anti-takeover reasons. |
• | Election of an honorary director. |
We will vote against:
• | Minimum stock ownership by directors. |
• | Term limits for directors. Companies benefit from experienced directors, and shareholder control is better achieved through annual votes. |
• | Requirements for union or special interest representation on the board. |
• | Requirements to provide two candidates for each board seat. |
We will vote on a case-by case basis on these issues:
• | Separate chairman and CEO positions. We will consider voting with shareholders on these issues in cases of poor corporate performance. |
Elections of Directors
In uncontested elections of directors we will vote against:
• | Individual directors with absenteeism above 25% without valid reason. We support proposals that require disclosure of director attendance. |
• | Insider directors and affiliated outsiders who sit on the audit, compensation, stock option or nominating committees. For the purposes of our policy, we use the definition of affiliated directors provided by our proxy voting service. |
We will also vote against:
• | Directors who have failed to act on a takeover offer where the majority of shareholders have tendered their shares. |
• | Directors who appear to lack independence or are associated with poor corporate or governance performance. |
We will vote on a case-by case basis on these issues:
Re-election of directors who have implemented or renewed a dead hand or modified dead-hand poison pill (a “dead-hand poison pill” is a shareholder rights plan that may be altered only by incumbent or “dead” directors. These plans prevent a potential acquirer from disabling a poison pill by obtaining control of the board through a proxy vote).
• | Contested election of directors. |
• | Election of a greater number of independent directors (in order to move closer to a majority of independent directors) in cases of poor performance. |
• | Mandatory retirement policies. |
• | Directors who have ignored a shareholder proposal that has been approved by shareholders for two consecutive years. |
We will vote for:
• | Precatory and binding resolutions requesting that the board changes the company’s bylaws to stipulate that directors need to be elected with affirmative majority of votes cast, provided that the resolutions allow for plurality voting in cases of contested elections. |
Takeover-Related Measures
Amundi US is generally opposed to proposals that may discourage takeover attempts. We believe that the potential for a takeover helps ensure that corporate performance remains high.
Amundi US will vote for:
• | Cumulative voting. |
• | Increasing the ability for shareholders to call special meetings. |
• | Increasing the ability for shareholders to act by written consent. |
• | Restrictions on the ability to make greenmail payments. |
• | Submitting rights plans to shareholder vote. |
• | Rescinding shareholder rights plans (“poison pills”). |
• | Opting out of the following state takeover statutes: |
• | Control share acquisition statutes, which deny large holders voting rights on holdings over a specified threshold. |
• | Control share cash-out provisions, which require large holders to acquire shares from other holders. |
• | Freeze-out provisions, which impose a waiting period on large holders before they can attempt to gain control. |
• | Stakeholder laws, which permit directors to consider interests of non-shareholder constituencies. |
• | Disgorgement provisions, which require acquirers to disgorge profits on purchases made before gaining control. |
• | Fair price provisions. |
• | Authorization of shareholder rights plans. |
• | Labor protection provisions. |
• | Mandatory classified boards. |
We will vote on a case-by-case basis on the following issues:
• | Fair price provisions. We will vote against provisions requiring supermajority votes to approve takeovers. We will also consider voting against proposals that require a supermajority vote to repeal or amend the provision. Finally, we will consider the mechanism used to determine the fair price; we are generally opposed to complicated formulas or requirements to pay a premium. |
• | Opting out of state takeover statutes regarding fair price provisions. We will use the criteria used for fair price provisions in general to determine our vote on this issue. |
• | Proposals that allow shareholders to nominate directors. |
We will vote against:
• | Classified boards, except in the case of closed-end funds, where we shall vote on a case-by-case basis. |
• | Limiting shareholder ability to remove or appoint directors. We will support proposals to restore shareholder authority in this area. We will review on case-by-case basis proposals that authorize the board to make interim appointments. |
• | Classes of shares with unequal voting rights. |
• | Supermajority vote requirements. |
• | Severance packages (“golden” and “tin” parachutes). We will support proposals to put these packages to shareholder vote. |
• | Reimbursement of dissident proxy solicitation expenses. While we ordinarily support measures that encourage takeover bids, we believe that management should have full control over corporate funds. |
• | Extension of advance notice requirements for shareholder proposals. |
• | Granting board authority normally retained by shareholders, particularly the right to amend the corporate charter. |
• | Shareholder rights plans (“poison pills”). These plans generally allow shareholders to buy additional shares at a below-market price in the event of a change in control and may deter some bids. |
Capital Structure
Managements need considerable flexibility in determining the company’s financial structure, and Amundi US normally supports managements’ proposals in this area. We will, however, reject proposals that impose high barriers to potential takeovers.
Amundi US will vote for:
• | Changes in par value. |
• | Reverse splits, if accompanied by a reduction in number of shares. |
• | Shares repurchase programs, if all shareholders may participate on equal terms. |
• | Bond issuance. |
• | Increases in “ordinary” preferred stock. |
• | Proposals to have blank-check common stock placements (other than shares issued in the normal course of business) submitted for shareholder approval. |
• | Cancellation of company treasury shares. |
We will vote on a case-by-case basis on the following issues:
• | Reverse splits not accompanied by a reduction in number of shares, considering the risk of delisting. |
• | Increase in authorized common stock. We will make a determination considering, among other factors: |
• | Number of shares currently available for issuance; |
• | Size of requested increase (we would normally approve increases of up to 100% of current authorization); |
• | Proposed use of the proceeds from the issuance of additional shares; and |
• | Potential consequences of a failure to increase the number of shares outstanding (e.g., delisting or bankruptcy). |
• | Blank-check preferred. We will normally oppose issuance of a new class of blank-check preferred, but may approve an increase in a class already outstanding if the company has demonstrated that it uses this flexibility appropriately. |
• | Proposals to submit private placements to shareholder vote. |
• | Other financing plans. |
We will vote against preemptive rights that we believe limit a company’s financing flexibility.
Compensation
Amundi US supports compensation plans that link pay to shareholder returns and believes that management has the best understanding of the level of compensation needed to attract and retain qualified people. At the same time, stock-related compensation plans have a significant economic impact and a direct effect on the balance sheet. Therefore, while we do not want to micromanage a company’s compensation programs, we place limits on the potential dilution these plans may impose.
Amundi US will vote for:
• | 401(k) benefit plans. |
• | Employee stock ownership plans (ESOPs), as long as shares allocated to ESOPs are less than 5% of outstanding shares. Larger blocks of stock in ESOPs can serve as a takeover defense. We will support proposals to submit ESOPs to shareholder vote. |
• | Various issues related to the Omnibus Budget and Reconciliation Act of 1993 (OBRA), including: |
• | Amendments to performance plans to conform with OBRA; |
• | Caps on annual grants or amendments of administrative features; |
• | Adding performance goals; and |
• | Cash or cash-and-stock bonus plans. |
• | Establish a process to link pay, including stock-option grants, to performance, leaving specifics of implementation to the company. |
• | Require that option repricing be submitted to shareholders. |
• | Require the expensing of stock-option awards. |
• | Require reporting of executive retirement benefits (deferred compensation, split-dollar life insurance, SERPs, and pension benefits). |
• | Employee stock purchase plans where the purchase price is equal to at least 85% of the market price, where the offering period is no greater than 27 months and where potential dilution (as defined below) is no greater than 10%. |
We will vote on a case-by-case basis on the following issues:
• | Shareholder proposals seeking additional disclosure of executive and director pay information. |
• | Executive and director stock-related compensation plans. We will consider the following factors when reviewing these plans: |
• | The program must be of a reasonable size. We will approve plans where the combined employee and director plans together would generate less than 15% dilution. We will reject plans with 15% or more potential dilution. |
• | Dilution = (A + B + C) / (A + B + C + D), where |
• | A = Shares reserved for plan/amendment, |
• | B = Shares available under continuing plans, |
• | C = Shares granted but unexercised and |
• | D = Shares outstanding. |
• | The plan must not: |
• | Explicitly permit unlimited option repricing authority or have allowed option repricing in the past without shareholder approval. |
• | Be a self-replenishing “evergreen” plan or a plan that grants discount options and tax offset payments. |
• | We are generally in favor of proposals that increase participation beyond executives. |
• | We generally support proposals asking companies to adopt rigorous vesting provisions for stock option plans such as those that vest incrementally over, at least, a three- or four-year period with a pro rata portion of the shares becoming exercisable on an annual basis following grant date. |
• | We generally support proposals asking companies to disclose their window period policies for stock transactions. Window period policies ensure that employees do not exercise options based on insider information contemporaneous with quarterly earnings releases and other material corporate announcements. |
• | We generally support proposals asking companies to adopt stock holding periods for their executives. |
• | All other employee stock purchase plans. |
• | All other compensation-related proposals, including deferred compensation plans, employment agreements, loan guarantee programs and retirement plans. |
• | All other proposals regarding stock compensation plans, including extending the life of a plan, changing vesting restrictions, repricing options, lengthening exercise periods or accelerating distribution of awards and pyramiding and cashless exercise programs. |
We will vote against:
• | Pensions for non-employee directors. We believe these retirement plans reduce director objectivity. |
• | Elimination of stock option plans. |
We will vote on a case-by case basis on these issues:
• | Limits on executive and director pay. |
• | Stock in lieu of cash compensation for directors. |
Corporate Governance
Amundi US will vote for:
• | Confidential voting. |
• | Equal access provisions, which allow shareholders to contribute their opinions to proxy materials. |
• | Proposals requiring directors to disclose their ownership of shares in the company. |
We will vote on a case-by-case basis on the following issues:
• | Change in the state of incorporation. We will support reincorporations supported by valid business reasons. We will oppose those that appear to be solely for the purpose of strengthening takeover defenses. |
• | Bundled proposals. We will evaluate the overall impact of the proposal. |
• | Adopting or amending the charter, bylaws or articles of association. |
• | Shareholder appraisal rights, which allow shareholders to demand judicial review of an acquisition price. |
We will vote against:
• | Shareholder advisory committees. While management should solicit shareholder input, we prefer to leave the method of doing so to management’s discretion. |
• | Limitations on stock ownership or voting rights. |
• | Reduction in share ownership disclosure guidelines. |
Mergers and Restructurings
Amundi US will vote on the following and similar issues on a case-by-case basis:
• | Mergers and acquisitions. |
• | Corporate restructurings, including spin-offs, liquidations, asset sales, joint ventures, conversions to holding company and conversions to self-managed REIT structure. |
• | Debt restructurings. |
• | Conversion of securities. |
• | Issuance of shares to facilitate a merger. |
• | Private placements, warrants, convertible debentures. |
• | Proposals requiring management to inform shareholders of merger opportunities. |
We will normally vote against shareholder proposals requiring that the company be put up for sale.
Investment Companies
Many of our portfolios may invest in shares of closed-end funds or open-end funds (including exchange-traded funds). The non-corporate structure of these investments raises several unique proxy voting issues.
Amundi US will vote for:
• | Establishment of new classes or series of shares. |
• | Establishment of a master-feeder structure. |
Amundi US will vote on a case-by-case basis on:
• | Changes in investment policy. We will normally support changes that do not affect the investment objective or overall risk level of the fund. We will examine more fundamental changes on a case-by-case basis. |
• | Approval of new or amended advisory contracts. |
• | Changes from closed-end to open-end format. |
• | Election of a greater number of independent directors. |
• | Authorization for, or increase in, preferred shares. |
• | Disposition of assets, termination, liquidation, or mergers. |
��� | Classified boards of closed-end funds, but will typically support such proposals. |
In general, business development companies (BDCs) are not considered investment companies for these purposes but are treated as corporate issuers.
Environmental and Social Issues
Amundi US believes that environmental and social issues may influence corporate performance and economic return. Indeed, by analyzing all of a company’s risks and opportunities, Amundi US can better assess its intrinsic value and long-term economic prospects.
When evaluating proxy proposals relating to environmental or social issues, decisions are made on a case-by-case basis. We consider each of these proposals based on the impact to the company’s shareholders and economic return, the specific circumstances at each individual company, any potentially adverse economic concerns, and the current policies and practices of the company.
For example, shareholder proposals relating to environmental and social issues, and on which we will vote on a base-by-case basis, may include those seeking that a company:
• | Conduct studies regarding certain environmental or social issues; |
• | Study the feasibility of the company taking certain actions with regard to such issues; or |
• | Take specific action, including adopting or ceasing certain behavior and adopting company standards and principles, in relation to such issues. |
In general, Amundi US believes these issues are important and should receive management attention.
Amundi US will support proposals where we believe the proposal, if implemented, would improve the prospects for the long-term success of the business and would provide value to the company and its shareholders. Amundi US may abstain on shareholder proposals with regard to environmental and social issues in cases where we believe the proposal, if implemented, would not be in the economic interests of the company, or where implementing the proposal would constrain management flexibility or would be unduly difficult, burdensome or costly.
When evaluating proxy proposals relating to environmental or social issues, Amundi US may consider the following factors or other factors deemed relevant, given such weight as deemed appropriate:
• | approval of the proposal helps improve the company’s practices; |
• | approval of the proposal can improve shareholder value; |
• | the company’s current stance on the topic is likely to have negative effects on its business position or reputation in the short, medium, or long term; |
• | the company has already put appropriate action in place to respond to the issue contained in the proposal; |
• | the company’s reasoning against approving the proposal responds appropriately to the various points mentioned by the shareholder when the proposal was presented; |
• | the solutions recommended in the proposal are relevant and appropriate, and if the topic of the proposal would not be better addressed through another means. |
In the event of failures in risk management relating to environmental and social issues, Amundi US may vote against the election of directors responsible for overseeing these areas.
Amundi US will vote against proposals calling for substantial changes in the company’s business or activities. We will also normally vote against proposals with regard to contributions, believing that management should control the routine disbursement of funds.
Conflicts of interest
Amundi US recognizes that in certain circumstances a conflict of interest may arise when Amundi US votes a proxy.
A conflict of interest occurs when Amundi US’s interests interfere, or appear to interfere, with the interests of Amundi US’s clients.
A conflict may be actual or perceived and may exist, for example, when the matter to be voted on concerns:
• | An affiliate of Amundi US, such as another company belonging to the Credit Agricole banking group ( “Credit Agricole Affiliate”); |
• | An issuer of a security for which Amundi US acts as a sponsor, advisor, manager, custodian, distributor, underwriter, broker, or other similar capacity (including those securities specifically declared by its parent Amundi to present a conflict of interest for Amundi US); |
• | An issuer of a security for which Amundi has informed Amundi US that a Credit Agricole Affiliate acts as a sponsor, advisor, manager, custodian, distributor, underwriter, broker, or other similar capacity; or |
• | A person with whom Amundi US (or any of its affiliates) has an existing, material contract or business relationship. |
Any member of the Proxy Voting Oversight Group and any other associate involved in the proxy voting process with knowledge of any apparent or actual conflict of interest must disclose such conflict to the Proxy Coordinator and the Chief Compliance Officer of Amundi US and the Funds. If any associate is lobbied or pressured with respect to any voting decision, whether within or outside of Amundi US, he or she should contact a member of the Proxy Voting Oversight Group or Amundi US’s Chief Compliance Officer.
The Proxy Voting Oversight Group will review each item referred to Amundi US by the proxy voting service to determine whether an actual or potential conflict of interest exists in connection with the proposal(s) to be voted upon. The review will be conducted by comparing the apparent parties affected by the proxy proposal being voted upon against the Controller’s and Compliance Department’s internal list of interested persons and, for any matches found, evaluating the anticipated magnitude and possible probability of any conflict of interest being present. The Proxy Voting Oversight Group may cause any of the following actions to be taken when a conflict of interest is present:
• | Vote the proxy in accordance with the vote indicated under “Voting Guidelines,” if a vote is indicated, or |
• | Direct the independent proxy voting service to vote the proxy in accordance with its independent assessment or that of another independent adviser appointed by Amundi US or the applicable client for this purpose. |
If the Proxy Voting Oversight Group perceives a material conflict of interest, the Group may also choose to disclose the conflict to the affected clients and solicit their consent to proceed with the vote or their direction (including through a client’s fiduciary or other adviser), or may take such other action in good faith (in consultation with counsel) that would protect the interests of clients.
For each referral item, the determination regarding the presence or absence of any actual or potential conflict of interest will be documented in a Conflicts of Interest Report prepared by the Proxy Coordinator.
The Proxy Voting Oversight Group will review periodically the independence of the proxy voting service. This may include a review of the service’s conflict management procedures and other documentation and an evaluation as to whether the service continues to have the competency and capacity to vote proxies.
Decisions Not to Vote Proxies
Although it is Amundi US’s general policy to vote all proxies in accordance with the principles set forth in this policy, there may be situations in which the Proxy Voting Oversight Group does not vote a proxy referred to it. For example, because of the potential conflict of interest inherent in voting shares of a Credit Agricole Affiliate, Amundi US will abstain from voting the shares unless otherwise directed by a client. In such a case, the Proxy Coordinator will inform Amundi Compliance before exercising voting rights.
There exist other situations in which the Proxy Voting Oversight Group may refrain from voting a proxy. For example, if the cost of voting a foreign security outweighs the benefit of voting, the Group may not vote the proxy. The Group may not be given enough time to process a vote, perhaps because it receives a meeting notice too late or it cannot obtain a translation of the agenda in the time available. If Amundi US has outstanding “sell” orders, the proxies for shares subject to the order may not be voted to facilitate the sale. Although Amundi US may hold shares on a company’s record date, if the shares are sold prior to the meeting date the Group may decide not to vote those shares.
Supervision
Escalation
It is each associate’s responsibility to contact his or her business unit head, the Proxy Coordinator, a member of the Proxy Voting Oversight Group or Amundi US’s Chief Compliance Officer if he or she becomes aware of any possible noncompliance with this policy.
Training
Amundi US will conduct periodic training regarding proxy voting and this policy. It is the responsibility of the business line policy owner and the applicable Compliance Department to coordinate and conduct such training.
Related policies and procedures
Amundi US’s Books and Records Policy and the Books and Records of the Pioneer Funds’ Policy.
Record Keeping
The Proxy Coordinator shall ensure that Amundi US’s proxy voting service:
• | Retains a copy of each proxy statement received (unless the proxy statement is available from the SEC’s Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system); |
• | Retains a record of the vote cast; |
• | Prepares Form N-PX for filing on behalf of each client that is a registered investment company; and |
• | Is able to promptly provide Amundi US with a copy of the voting record upon its request. |
The Proxy Coordinator shall ensure that for those votes that may require additional documentation (i.e. conflicts of interest, exception votes and case-by-case votes) the following records are maintained:
• | A record memorializing the basis for each referral vote cast; |
• | A copy of any document created by Amundi US that was material in making the decision on how to vote the subject proxy; |
• | A copy of any recommendation or analysis furnished by the proxy voting service; and |
• | A copy of any conflict notice, conflict consent or any other written communication (including emails or other electronic communications) to or from the client (or in the case of an employee benefit plan, the plan’s director or other fiduciaries) regarding the subject proxy vote cast by, or the vote recommendation of, Amundi US. |
Amundi US shall maintain the above records in the client’s file in accordance with applicable regulations.
Related regulations
Form N-1A, Form N-PX, ICA Rule 30b1-4, Rule 31a1-3, Rule 38a-1 and IAA 206(4) -6, Rule 204 -2
Adopted by the Pioneer Funds’ Boards of Directors
October 5, 2004
Effective Date:
October 5, 2004
Revision Dates:
September 2009, December 2015, August 2017, February 2019, and January 2021
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a) If the registrant is a closed-end management investment company that is filing an annual report on this Form N-CSR, provide the following information:
(1) State the name, title, and length of service of the person or persons employed by or associated with the registrant or an investment adviser of the registrant who are primarily responsible for the day-to-day management of the registrant’s portfolio (“Portfolio Manager”). Also state each Portfolio Manager’s business experience during the past 5 years.
Additional information about the portfolio managers
Other accounts managed by the portfolio managers
The table below indicates, for the portfolio managers of the fund, information about the accounts other than the fund over which the portfolio manager has day-to-day investment responsibility. All information on the number of accounts and total assets in the table is as of April 30, 2023. For purposes of the table, “Other Pooled Investment Vehicles” may include investment partnerships, undertakings for collective investments in transferable securities (“UCITS”) and other non-U.S. investment funds and group trusts, and “Other Accounts” may include separate accounts for institutions or individuals, insurance company general or separate accounts, pension funds and other similar institutional accounts but generally do not include the portfolio manager’s personal investment accounts or those which the manager may be deemed to own beneficially under the code of ethics. Certain funds and other accounts managed by the portfolio manager may have substantially similar investment strategies.
Name of | Type of Account | Number of Accounts Managed | Total Assets Managed (000’s) | Number of | Assets | |||||||||
Andrew Feltus | Other Registered Investment Companies | 8 | $ | 4,634,882 | N/A | N/A | ||||||||
Other Pooled Investment Vehicles | 28 | $ | 7,531,370 | 10 | $4,342,178 | |||||||||
Other Accounts | 7 | $ | 1,322,127 | 1 | $715,681 | |||||||||
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Jonathan Sharkey | Other Registered Investment Companies | 3 | $ | 4,784,246 | N/A | N/A | ||||||||
Other Pooled Investment Vehicles | 1 | $ | 211,925 | N/A | N/A | |||||||||
Other Accounts | 1 | $ | 367,348 | N/A | N/A | |||||||||
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Chin Liu | Other Registered Investment Companies | 4 | $ | 744,390 | N/A | N/A | ||||||||
Other Pooled Investment Vehicles | 1 | $ | 14,880 | N/A | N/A | |||||||||
Other Accounts | 0 | $ | 0 | N/A | N/A | |||||||||
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Lawrence Zeno | Other Registered Investment Companies | 1 | $ | 395,557 | N/A | N/A | ||||||||
Other Pooled Investment Vehicles | 3 | $ | 132,101 | N/A | N/A | |||||||||
Other Accounts | 0 | $ | 0 | N/A | N/A | |||||||||
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Potential conflicts of interest
When a portfolio manager is responsible for the management of more than one account, the potential arises for the portfolio manager to favor one account over another. The principal types of potential conflicts of interest that may arise are discussed below. For the reasons outlined below, Amundi US does not believe that any material conflicts are likely to arise out of a portfolio manager’s responsibility for the management of the fund as well as one or more other accounts. Although Amundi US has adopted procedures that it believes are reasonably designed to detect and prevent violations of the federal securities laws and to mitigate the potential for conflicts of interest to affect its portfolio management decisions, there can be no assurance that all conflicts will be identified or that all procedures will be effective in mitigating the potential for such risks. Generally, the risks of such conflicts of interest are increased to the extent that a
portfolio manager has a financial incentive to favor one account over another. Amundi US has structured its compensation arrangements in a manner that is intended to limit such potential for conflicts of interest. See “Compensation of Portfolio Managers” below.
• | A portfolio manager could favor one account over another in allocating new investment opportunities that have limited supply, such as initial public offerings and private placements. If, for example, an initial public offering that was expected to appreciate in value significantly shortly after the offering was allocated to a single account, that account may be expected to have better investment performance than other accounts that did not receive an allocation of the initial public offering. Generally, investments for which there is limited availability are allocated based upon a range of factors including available cash and consistency with the accounts’ investment objectives and policies. This allocation methodology necessarily involves some subjective elements but is intended over time to treat each client in an equitable and fair manner. Generally, the investment opportunity is allocated among participating accounts on a pro rata basis. Although Amundi US believes that its practices are reasonably designed to treat each client in an equitable and fair manner, there may be instances where a fund may not participate, or may participate to a lesser degree than other clients, in the allocation of an investment opportunity. |
• | A portfolio manager could favor one account over another in the order in which trades for the accounts are placed. If a portfolio manager determines to purchase a security for more than one account in an aggregate amount that may influence the market price of the security, accounts that purchased or sold the security first may receive a more favorable price than accounts that made subsequent transactions. The less liquid the market for the security or the greater the percentage that the proposed aggregate purchases or sales represent of average daily trading volume, the greater the potential for accounts that make subsequent purchases or sales to receive a less favorable price. When a portfolio manager intends to trade the same security on the same day for more than one account, the trades typically are “bunched,” which means that the trades for the individual accounts are aggregated and each account receives the same price. There are some types of accounts as to which bunching may not be possible for contractual reasons (such as directed brokerage arrangements). Circumstances may also arise where the trader believes that bunching the orders may not result in the best possible price. Where those accounts or circumstances are involved, Amundi US will place the order in a manner intended to result in as favorable a price as possible for such client. |
• | A portfolio manager could favor an account if the portfolio manager’s compensation is tied to the performance of that account to a greater degree than other accounts managed by the portfolio manager. If, for example, the portfolio manager receives a bonus based upon the performance of certain accounts relative to a benchmark while other accounts are disregarded for this purpose, the portfolio manager will have a financial incentive to seek to have the accounts that determine the portfolio manager’s bonus achieve the best possible performance to the possible detriment of other accounts. Similarly, if Amundi US receives a performance-based advisory fee, the portfolio manager may favor that account, whether or not the performance of that account directly determines the portfolio manager’s compensation. |
• | A portfolio manager could favor an account if the portfolio manager has a beneficial interest in the account, in order to benefit a large client or to compensate a client that had poor returns. For example, if the portfolio manager held an interest in an investment partnership that was one of the accounts managed by the portfolio manager, the portfolio manager would have an economic incentive to favor the account in which the portfolio manager held an interest. |
• | If the different accounts have materially and potentially conflicting investment objectives or strategies, a conflict of interest could arise. For example, if a portfolio manager purchases a security for one account and sells the same security for another account, such trading pattern may disadvantage either the account that is long or short. In making portfolio manager assignments, Amundi US seeks to avoid such potentially conflicting situations. However, where a portfolio manager is responsible for accounts with differing investment objectives and policies, it is possible that the portfolio manager will conclude that it is in the best interest of one account to sell a portfolio security while another account continues to hold or increase the holding in such security. |
Compensation of portfolio managers
Amundi US has adopted a system of compensation for portfolio managers that seeks to align the financial interests of the portfolio managers with those of shareholders of the accounts (including Pioneer funds) the portfolio managers manage, as well as with the financial performance of Amundi US. The compensation program for all Amundi US portfolio managers includes a base salary (determined by the rank and tenure of the employee) and an annual bonus program, as well as customary benefits that are offered generally to all full-time employees. Base compensation is fixed and normally reevaluated on an annual basis. Amundi US seeks to set base compensation at market rates, taking into account the experience and responsibilities of the portfolio manager. The bonus plan is intended to provide a competitive level of annual bonus compensation that is tied to the portfolio manager achieving superior investment performance and align the interests of the investment professional with those of shareholders, as well as with the financial performance of Amundi US. Any bonus under the plan is completely discretionary, with a maximum annual bonus that may be in excess of base salary. The annual bonus is based upon a combination of the following factors:
• | Quantitative investment performance. The quantitative investment performance calculation is based on pre-tax investment performance of all of the accounts managed by the portfolio manager (which includes the fund and any other accounts managed by the portfolio manager) over a one-year period (20% weighting) and four-year period (80% weighting), measured for periods ending on December 31. The accounts, which include the fund, are ranked against a group of mutual funds with similar investment objectives and investment focus (60%) and a broad-based securities market index measuring the performance of the same type of securities in which the accounts invest (40%), which, in the case of the fund, is the ICE BofA Global High Yield & Crossover Country Corporate & Government Index and S&P/LSTA Leveraged Loan Index. As a result of these two benchmarks, the performance of the portfolio manager for compensation purposes is measured against the criteria that are relevant to the portfolio manager’s competitive universe. |
• | Qualitative performance. The qualitative performance component with respect to all of the accounts managed by the portfolio manager includes objectives, such as effectiveness in the areas of teamwork, leadership, communications and marketing, that are mutually established and evaluated by each portfolio manager and management. |
• | Amundi US results and business line results. Amundi US’s financial performance, as well as the investment performance of its investment management group, affect a portfolio manager’s actual bonus by a leverage factor of plus or minus (+/–) a predetermined percentage. |
The quantitative and qualitative performance components comprise 80% and 20%, respectively, of the overall bonus calculation (on a pre-adjustment basis). A portion of the annual bonus is deferred for a specified period and may be invested in one or more Pioneer funds.
Certain portfolio managers participate in other programs designed to reward and retain key contributors. Portfolio managers also may participate in a deferred compensation program, whereby deferred amounts are invested in one or more Pioneer funds or collective investment trusts or other unregistered funds with similar investment objectives, strategies and policies.
Share ownership by portfolio managers
The following table indicates as of April 30, 2023 the value, within the indicated range, of shares beneficially owned by the portfolio managers of the fund.
Name of Portfolio Manager | Beneficial Ownership | |||
Andrew Feltus | E | |||
Jonathan Sharkey | B | |||
Chin Liu | A | |||
Lawrence Zeno | C |
* | Key to Dollar Ranges |
A. | None |
B. | $1 – $10,000 |
C. | $10,001 – $50,000 |
D. | $50,001 – $100,000 |
E. | $100,001 – $500,000 |
F. | $500,001 – $1,000,000 |
G. | Over $1,000,000 |
• | The significant investment strategies for Pioneer Diversified High Income Trust (a closed-end fund) and certain other similarly managed accounts with investment objectives of a high level of current income, with a potential for capital appreciation as a secondary objective. The fund invests in a unique blend of higher yielding asset classes, including global high yield bonds, leveraged bank loans and event-linked bonds (cat bonds). |
Under normal market conditions, the fund invests at least 80% of its managed assets (net assets plus borrowings or other leverage for investment purposes) in diversified portfolio of below investment grade (high yield) debt securities, loans and preferred stocks. The fund allocates its investments principally among three sectors of the fixed income securities markets: (i) below investment grade debt securities and preferred stocks of U.S. and non-U.S. issuers, including governmental and corporate issuers in emerging markets (“global high yield debt securities”), (ii) floating rate loans and (iii) “event-linked” bonds, which sometimes are referred to as “insurance-linked” or “catastrophe” bonds.
PIM believes that this actively managed, diversified portfolio of asset classes – global high yield debt securities, floating rate loans and event-linked bonds – may provide investors with a range of potential benefits across various market cycles and under various market conditions. These benefits include, among others, the potential to provide investors with a relatively high level of current income without undue risk as a result of the low correlation among these asset classes, reduced volatility due to limited exposure to interest rate and duration risk, as well as a favorable risk return profile. Specifically, the floating rate feature of both floating rate loans and event-linked bonds serves to reduce sensitivity to changes in prevailing interest rates. In addition, the introduction of event-linked bonds to the diversified portfolio enhances these benefits by reducing volatility, while providing the potential for above average returns. Moreover, the fund’s investments in event-linked bonds offer investors access to a unique asset class that otherwise may be unavailable to them.
The fund does not have a policy of maintaining a specific average credit quality or a targeted maturity range for its portfolio. The fund may invest any portion of its assets in securities and other instruments of non-U.S. issuers, including emerging market issuers, and may engage in certain strategic transactions.
PIM is responsible for managing the fund’s overall investment program, including allocating the fund’s investments among the different asset classes and managing the fund’s investments in global high income debt securities and floating rate loans. PIM considers both broad economic and issuer specific factors in selecting a portfolio designed to achieve the fund’s investment objectives. PIM selects individual securities based upon the terms of the securities (such as yields compared to U.S. Treasuries or comparable issues), liquidity and rating, sector and issuer diversification. PIM also employs due diligence and fundamental quantitative and qualitative research to assess an issuer’s credit quality, taking into account financial condition and profitability, future capital needs, potential for change in rating, industry outlook, the competitive environment and management ability. PIM may sell a portfolio security when it believes the security no longer will contribute to meeting the fund’s investment objectives. PIM makes that determination based on the same criteria it uses to select portfolio securities. In making these portfolio decisions, PIM relies on the knowledge, experience and judgment of its staff and the staff of its affiliates who have access to a wide variety of research.
The fund may use financial leverage on an ongoing basis for investment purposes by borrowing from banks through a revolving credit facility. Leverage creates special risks not associated with unleveraged funds having a similar investment objectives and policies. These include the possibility of higher volatility of both the net asset value of the fund and the value of assets serving as asset coverage for the preferred shares.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, in the following tabular format, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any affiliated purchaser, as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
During the period covered by this report, there were no purchases made by or on behalf of the registrant or any affiliated purchaser as defined in Rule 10b-18(a)(3) under the Securities Exchange Act of 1934 (the Exchange Act), of shares of the registrants equity securities that are registered by the registrant pursuant to Section 12 of the Exchange Act.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-R(17 CFR 229.407)(as required by Item 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s Board of Directors since the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-R of Schedule 14(A) in its definitive proxy statement, or this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financials officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30(a)-3(b) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are effective based on the evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) If the registrant is a closed-end management investment company, provide the following dollar amounts of income and compensation related to the securities lending activities of the registrant during its most recent fiscal year:
N/A
(1) Gross income from securities lending activities;
N/A
(2) All fees and/or compensation for each of the following securities lending activities and related services: any share of revenue generated by the securities lending program paid to the securities lending agent(s) (revenue split); fees paid for cash collateral management services (including fees deducted from a pooled cash collateral reinvestment vehicle) that are not included in the revenue split; administrative fees that are not included in the revenue split; fees for indemnification that are not included in the revenue split; rebates paid to borrowers; and any other fees relating to the securities lending program that are not included in the revenue split, including a description of those other fees;
N/A
(3) The aggregate fees/compensation disclosed pursuant to paragraph (2); and
N/A
(4) Net income from securities lending activities (i.e., the dollar amount in paragraph (1) minus the dollar amount in paragraph (3)).
If a fee for a service is included in the revenue split, state that the fee is included in the revenue split.
N/A
(b) If the registrant is a closed-end management investment company, describe the services provided to the registrant by the securities lending agent in the registrants most recent fiscal year.
N/A
ITEM 13. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Pioneer Diversified High Income Fund, Inc. |
By (Signature and Title)* /s/ Lisa M. Jones |
Lisa M. Jones, President and Chief Executive Officer |
Date July 7, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Lisa M. Jones |
Lisa M. Jones, President and Chief Executive Officer |
Date July 7, 2023
By (Signature and Title)* /s/ Anthony J. Koenig, Jr. |
Anthony J. Koenig, Jr., Managing Director, Chief Operations Officer & Treasurer of the Funds |
Date July 7, 2023
* | Print the name and title of each signing officer under his or her signature. |