Ticker Symbol: HNW |
2 | |
4 | |
13 | |
14 | |
15 | |
17 | |
46 | |
51 | |
73 | |
76 | |
81 |
Head of the Americas, President and CEO of US
Amundi Asset Management US, Inc.
December 2023
Q | How did the Fund perform during the six-month period ended October 31, 2023? |
A | Pioneer Diversified High Income Fund, Inc. returned 3.62% at net asset value (NAV) and 4.47% at market price during the six-month period ended October 31, 2023. During the same six-month period, the Fund’s composite benchmark returned 2.18% 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 Index and the Morningstar/Loan Syndications & Trading Association (Morningstar/LSTA) Leveraged Loan Index. |
Individually, during the six-month period ended October 31, 2023, the ICE BofA Global High Yield and Crossover Country Corporate and Government Index returned -1.16%, and the Morningstar/LSTA Leveraged Loan Index returned 5.59%. 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 six-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 1.09%, while the same closed end fund Morningstar category’s average return at market price was -0.27%. | |
The shares of the Fund were selling at a 13.88% discount to NAV on October 31, 2023. Comparatively, the shares of the Fund were selling at a 14.58% discount to NAV on April 30, 2023. |
As of October 31, 2023, the 30-day SEC yield on the Fund’s shares was 10.79%*. | |
Q | How would you describe the investment environment in the global fixed-income markets during the six-month period ended October 31, 2023? |
A | After increasing the target range for the federal funds rate by 475 basis points (bps) between March 2022 and April 2023, the US Federal Reserve System (“Fed”) enacted additional 25 bps increases to the federal funds rate target range at its meetings in May and July of 2023. (A basis point is equal to 1/100th of a percentage point.) In addition, the Fed signaled its determination to maintain a tighter monetary policy until inflation reaches its 2% target. Against that messaging backdrop, an uptick in inflation data late in the six-month period, along with a spike in oil prices, led the markets to begin factoring in a “higher for longer” scenario by the Fed with respect to interest rates. By the end of October 2023, investors’ expectations as reflected in the interest-rate futures market were that the process of reducing interest rates would not begin until late 2024. |
Through September and October, driven by the Fed’s higher-for-longer messaging as well as increasing concerns about both higher US Treasury issuance and the US budget deficit, most asset classes sold off as US bond yields rose notably. To illustrate, the yield on the 10-year Treasury finished the period at 4.93% versus 3.44% six months earlier. | |
Returns for high-yield corporate bonds were essentially flat for the six-month period, but the asset class still fared better than the more interest rate-sensitive investment-grade corporate bonds. Returns for floating-rate bank loans were well into positive territory for the period, benefiting from the outlook for rising interest rates. Securitized assets in aggregate finished the period notably lower in price, primarily due to the negative performance of residential mortgage-backed securities (RMBS), as the outlook for an extended period of higher interest rates (and corresponding higher mortgage rates) weighed on the segment. |
* | 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. |
Q | What factors affected the Fund’s benchmark-relative performance during the six-month period ended October 31, 2023? |
A | Within the portfolio’s allocation to high-yield corporate bonds, a tilt toward lower-quality securities aided the Fund's benchmark-relative performance, as non-rated issues and issues in the “CCC” ratings category outperformed higher-rated “BB” issues, to which the Fund was underweight. At the sector allocation level, the Fund’s positioning in the health care, energy, basic industry, leisure, and consumer goods sectors contributed positively to benchmark-relative returns, while positioning within the transportation sector was the only material detractor from relative results within high yield. |
The portfolio’s non-benchmark holdings of securitized assets are primarily comprised of commercial mortgage-backed securities (CMBS), but also include collateralized loan obligations (CLOs) and credit-risk-transfer securities within the RMBS segment. In order of magnitude, the CMBS allocation broadly comprises single asset/single borrower issues, Freddie Mac issued non-guaranteed deals, and traditional conduit deals (diverse, fixed-rate pools). The portfolio’s securitized holdings, overall, made a positive contribution to the Fund’s benchmark-relative returns for the six-month period, with RMBS leading the way. It is important to note that credit-risk-transfer securities, which make up virtually all the Fund’s RMBS exposure, performed much better during the period than the other types of RMBS that account for the vast majority of outstanding RMBS in the market. (Credit-risk-transfer securities transfer a portion of the risk associated with credit losses within pools of conventional residential mortgage loans from the government-sponsored entities – Fannie Mae and Freddie Mac – to the private sector.) | |
Elsewhere within the securitized sectors, the Fund’s CLO and ABS (asset-backed securities) exposures generated solid returns for the six-month period. The allocation to CMBS also had a positive return and outperformed the broader CMBS segment, but did act as a modest drag on the Fund’s relative results. We slightly decreased the Fund’s exposure to securitized assets over the course of the six-month period. |
The portfolio’s bank-loan allocation continued to benefit from rising interest rates during the period and aided the Fund’s benchmark-relative performance. Economic fundamentals for the loan sector have remained in check, with the percentage of defaults by issuer remaining below the long-term average of slightly under 3% as of period-end. The portfolio’s bank-loan holdings outperformed the broader loan market for the period, primarily due to a rally in lower-quality positions. Individual loans that performed well for the Fund during the period included TeamHealth, as the physician staffing firm resolved a near-term refinancing issue, and Patagonia, which has continued to benefit from increased telecommunications buildout activity in Latin America. Those positives offset performance weakness from loan positions in US Renal, which restructured its loan due to dialysis-related revenue losses incurred during the pandemic, and in kitchen products company Instant Brands, which experienced a liquidity squeeze driven by the culmination of previous supply-chain disruptions. | |
The portfolio’s allocation to insurance-linked securities (ILS) aided the Fund’s benchmark-relative performance during the six-month period. One of the main value propositions of ILS, in our view, continues to be that the sources of risk and return for the asset class have remained structurally uncorrelated to the performance of the vast majority of other asset classes. That characteristic was a factor in the positive performance for ILS during the six-month period, especially when considering the volatility experienced in the markets for nearly all of the more traditional asset classes. ILS investments have tended to feature shorter-term maturities and floating interest rates, and, as a result, they have often benefited from rising short-term rates. | |
Q | How did the level of leverage in the Fund change over the six-month period ended October 31, 2023? |
A | The Fund employs leverage through a credit agreement. (See Note 8 to the Financial Statements.) |
As of October 31, 2023, 31.1% of the Fund’s total managed assets were financed by leverage (or borrowed funds), compared with 30.3% of the Fund’s total managed assets financed by leverage at the start of the six-month period on May 1, 2023. |
During the six-month period, the Fund increased the absolute amount of funds borrowed by a total of $750,000 to $43.3 million as of October 31, 2023. The percentage of the Fund’s managed assets financed by leverage increased during the six-month period due to the increase in the amount of funds borrowed by the Fund. The interest rate on the Fund's leverage increased by 40 basis points from May 1, 2023 to October 31, 2023. | |
Q | Did the Fund’s distributions** to stockholders change during the six-month period ended October 31, 2023? |
A | The Fund’s monthly distribution rate remained stable at $0.09000 per share/per month during the six-month period. 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 these reserves 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 six-month period ended October 31, 2023? If so, did the derivatives have a notable effect on performance? |
A | We invested the portfolio in forward foreign currency contracts (currency forwards) during the period, as part of our efforts to help manage the risk associated with the Fund’s having exposures to foreign currencies. The 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 six-month period. |
Q | What is your investment outlook? |
A | While recent economic data may show signs consistent with a domestic “soft landing,” in which growth slows but remains positive while inflation is brought under control, we are wary of extrapolating the current growth signals too far into the future. Consumer spending has been waning after a summer boost, business sentiment has been softening, and the still-tight US labor market has been cooling. In addition, higher interest rates |
** | Distributions are not guaranteed. |
and tighter lending conditions are just starting to take their toll on businesses. In a higher-for-longer interest-rate environment, businesses may encounter increasing difficulty with regard to carrying higher interest expenses and eventually rolling over maturing loans. We expect economic growth will slow in the coming quarters, and while it may take into early 2024 to know if the economy has a soft or hard landing, we continue to view the odds of a soft landing as relatively low. | |
The recent rise in yields has been rapid and significant. Since the Fed’s last rate increase on July 26, 10-year Treasury yields have moved from 3.86% to 4.93% (as of October 31, 2023). The rise in long-term Treasury rates is likely not due to higher expected inflation, in our view. Rather, it appears the bond market is currently discounting a “higher for forever” scenario, in which the Fed’s “neutral” federal funds target has increased substantially. | |
Should there be a recession, we anticipate 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 2007-2008. In the event of a recession, we believe the default rate could remain lower than it was after the GFC. Our view is predicated on the significant weighting of “BB” rated issuers in the high-yield universe (relative to prior periods), strong fundamentals 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 (as measured by Moody's) might be substantially lower than the default rate for floating-rate leveraged loans. | |
Within securitized assets, we expect CMBS and RMBS issuance to pick up, particularly if interest rates begin to ease. ABS issuance has been strong, and we expect the trend to continue until the typical year-end lull. The current interest-rate environment has slowed prepayments in the RMBS market as well as refinancings in the CMBS market. While we remain generally positive with respect to non-agency RMBS, we are very cautious on the CMBS market. However, we believe opportunities within CMBS will ultimately arise, given the current dislocation in that market. |
(As a percentage of total investments)* | ||
1. | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | 3.15% |
2. | Hercules LLC, 6.50%, 6/30/29 | 1.41 |
3. | ABRA Global Finance, 11.50% (5.50% PIK or 6.00% Cash), 3/2/28 (144A) | 1.36 |
4. | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | 1.24 |
5. | Grupo Aeromexico SAB de CV, 8.50%, 3/17/27 (144A) | 1.03 |
6. | Energean Plc, 6.50%, 4/30/27 (144A) | 0.92 |
7. | Gullane Re 2023, 12/31/28 | 0.89 |
8. | Pangaea Re 2023-1, 12/31/28 | 0.87 |
9. | Bantry Re 2023, 12/31/28 | 0.87 |
10. | Aethon United BR LP/Aethon United Finance Corp., 8.25%, 2/15/26 (144A) | 0.84 |
10/31/23 | 4/30/23 | |
Market Value | $9.93 | $10.02 |
Discount | (13.88)% | (14.58)% |
10/31/23 | 4/30/23 | |
Net Asset Value | $11.53 | $11.73 |
Net Investment Income | Short-Term Capital Gains | Long-Term Capital Gains | |
5/1/23 – 10/31/23 | $0.5400 | $— | $— |
10/31/23 | 4/30/23 | |
30-Day SEC Yield | 10.79% | 12.70% |
Average Annual Total Return (As of October 31, 2023) | |||||
Period | Net Asset Value (NAV) | Market Price | 50% ICE BofA Global High Yield/CCC & G Index/50% Morningstar/ LSTA Leveraged Loan Index | Morningstar/LSTA Leveraged Loan Index | ICE BofA Global High Yield/ CCC & G Index |
10 Years | 3.87% | 1.79% | 3.16% | 4.22% | 2.03% |
5 Years | 2.42 | 2.83 | 2.70 | 4.46 | 0.85 |
1 Year | 11.99 | 8.08 | 10.76 | 11.92 | 9.50 |
Principal Amount USD ($) | Value | |||||
UNAFFILIATED ISSUERS — 143.3% | ||||||
Senior Secured Floating Rate Loan Interests — 4.9% of Net Assets*(a) | ||||||
Auto Parts & Equipment — 0.9% | ||||||
194,510 | First Brands Group LLC, 2022-II Incremental Term Loan, 10.881% (Term SOFR + 500 bps), 3/30/27 | $ 191,997 | ||||
698,210 | First Brands Group LLC, First Lien 2021 Term Loan, 10.881% (Term SOFR + 500 bps), 3/30/27 | 690,064 | ||||
Total Auto Parts & Equipment | $ 882,061 | |||||
Chemicals-Diversified — 0.4% | ||||||
399,687(b) | LSF11 A5 Holdco LLC, Fourth Amendment Incremental Term Loan, 9.674% (Term SOFR + 425 bps), 10/15/28 | $ 392,818 | ||||
Total Chemicals-Diversified | $ 392,818 | |||||
Dialysis Centers — 0.3% | ||||||
481,248 | U.S. Renal Care, Inc., Closing Date Term Loan, 10.439% (Term SOFR + 500 bps), 6/20/28 | $ 297,571 | ||||
Total Dialysis Centers | $ 297,571 | |||||
Distribution & Wholesale — 0.3% | ||||||
312,500 | Windsor Holdings III LLC, Dollar Term B Loan, 9.815% (Term SOFR + 450 bps), 8/1/30 | $ 311,928 | ||||
Total Distribution & Wholesale | $ 311,928 | |||||
Electric-Generation — 0.3% | ||||||
308,872 | Generation Bridge Northeast LLC, Term Loan B, 9.574% (Term SOFR + 425 bps), 8/22/29 | $ 309,644 | ||||
Total Electric-Generation | $ 309,644 | |||||
Electronic Composition — 0.1% | ||||||
121,989 | Natel Engineering Co., Inc., Initial Term Loan, 11.691% (Term SOFR + 625 bps), 4/30/26 | $ 106,131 | ||||
Total Electronic Composition | $ 106,131 | |||||
Medical Labs & Testing Services — 0.0% † | ||||||
206,740(c) | Envision Healthcare Corp., 2018 Third Out Term Loan, 9.13% (Term SOFR + 375 bps), 3/31/27 | $ 3,101 | ||||
Total Medical Labs & Testing Services | $ 3,101 | |||||
Medical-Drugs — 0.4% | ||||||
405,000(b) | Financiere Mendel, Term Loan B, 11/29/30 | $ 405,506 | ||||
Total Medical-Drugs | $ 405,506 | |||||
Principal Amount USD ($) | Value | |||||
Oil-Field Services — 0.5% | ||||||
415,775 | ProFrac Holdings II LLC, Term Loan, 12.926% (Term SOFR + 725 bps), 3/4/25 | $ 417,854 | ||||
Total Oil-Field Services | $ 417,854 | |||||
Physical Practice Management — 0.3% | ||||||
318,493 | Team Health Holdings, Inc., Extended Term Loan, 10.574% (Term SOFR + 525 bps), 3/2/27 | $ 230,377 | ||||
Total Physical Practice Management | $ 230,377 | |||||
Pipelines — 0.2% | ||||||
150,000(b) | M6 ETX Holdings II MidCo LLC, Initial Term Loan, 9/19/29 | $ 149,330 | ||||
Total Pipelines | $ 149,330 | |||||
Recreational Centers — 0.2% | ||||||
191,703 | Fitness International LLC, Term B Loan, 8.674% (Term SOFR + 325 bps), 4/18/25 | $ 191,124 | ||||
Total Recreational Centers | $ 191,124 | |||||
Schools — 0.1% | ||||||
99,749 | Fugue Finance LLC, Existing Term Loan, 9.386% (Term SOFR + 400 bps), 1/31/28 | $ 99,749 | ||||
Total Schools | $ 99,749 | |||||
Telecom Services — 0.9% | ||||||
1,014,750 | Patagonia Holdco LLC, Amendment No.1 Term Loan, 11.117% (Term SOFR + 575 bps), 8/1/29 | $ 886,638 | ||||
Total Telecom Services | $ 886,638 | |||||
Total Senior Secured Floating Rate Loan Interests (Cost $5,102,189) | $ 4,683,832 | |||||
Shares | ||||||
Common Stocks — 0.3% of Net Assets | ||||||
Household Durables — 0.0% † | ||||||
89,094(d) | Desarrolladora Homex SAB de CV | $ 64 | ||||
Total Household Durables | $ 64 | |||||
Oil, Gas & Consumable Fuels — 0.0% † | ||||||
6(d) | Amplify Energy Corp. | $ 42 | ||||
2,189(d) | Petroquest Energy, Inc. | 111 | ||||
Total Oil, Gas & Consumable Fuels | $ 153 | |||||
Shares | Value | |||||
Passenger Airlines — 0.3% | ||||||
24,166(d) + | Grupo Aeromexico SAB de CV | $ 301,589 | ||||
Total Passenger Airlines | $ 301,589 | |||||
Total Common Stocks (Cost $619,487) | $ 301,806 | |||||
Principal Amount USD ($) | ||||||
Asset Backed Securities — 3.7% of Net Assets | ||||||
500,000 | ACC Auto Trust, Series 2022-A, Class D, 10.07%, 3/15/29 (144A) | $ 482,016 | ||||
500,000(a) | Goldentree Loan Management US CLO 2, Ltd., Series 2017-2A, Class E, 10.377% (3 Month Term SOFR + 496 bps), 11/28/30 (144A) | 465,349 | ||||
1,000,000 | JPMorgan Chase Bank NA - CACLN, Series 2021-3, Class G, 9.812%, 2/26/29 (144A) | 939,754 | ||||
1,000,000(a) | MCF CLO VII LLC, Series 2017-3A, Class ER, 14.827% (3 Month Term SOFR + 941 bps), 7/20/33 (144A) | 950,032 | ||||
500,000(e) | RMF Buyout Issuance Trust, Series 2022-HB1, Class M5, 4.50%, 4/25/32 (144A) | 55,650 | ||||
650,000 | Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class E, 12.662%, 5/15/32 (144A) | 644,548 | ||||
Total Asset Backed Securities (Cost $4,036,817) | $ 3,537,349 | |||||
Collateralized Mortgage Obligations—2.8% of Net Assets | ||||||
330,000(a) | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B2, 11.321% (SOFR30A + 600 bps), 10/25/41 (144A) | $ 327,938 | ||||
11,136(a) | DSLA Mortgage Loan Trust, Series 2005-AR6, Class 2A1C, 6.288% (1 Month Term SOFR + 95 bps), 10/19/45 | 10,690 | ||||
100,000(a) | Fannie Mae Connecticut Avenue Securities, Series 2021-R02, Class 2B2, 11.521% (SOFR30A + 620 bps), 11/25/41 (144A) | 99,314 | ||||
200,000(a) | Freddie Mac STACR REMIC Trust, Series 2021-DNA7, Class B2, 13.121% (SOFR30A + 780 bps), 11/25/41 (144A) | 202,873 | ||||
450,000(a) | Freddie Mac STACR REMIC Trust, Series 2021-HQA3, Class B2, 11.571% (SOFR30A + 625 bps), 9/25/41 (144A) | 434,642 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations— (continued) | ||||||
280,000(a) | Freddie Mac STACR REMIC Trust, Series 2022-DNA2, Class B2, 13.821% (SOFR30A + 850 bps), 2/25/42 (144A) | $ 286,270 | ||||
545,000(a) | Freddie Mac STACR Trust, Series 2019-DNA3, Class B2, 13.585% (SOFR30A + 826 bps), 7/25/49 (144A) | 603,096 | ||||
18,597 | Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A) | 8,140 | ||||
640,000(a) | STACR Trust, Series 2018-HRP2, Class B2, 15.935% (SOFR30A + 1,061 bps), 2/25/47 (144A) | 737,151 | ||||
Total Collateralized Mortgage Obligations (Cost $2,631,488) | $ 2,710,114 | |||||
Commercial Mortgage-Backed Securities—10.3% of Net Assets | ||||||
1,000,000(e) | Benchmark Mortgage Trust, Series 2020-B18, Class AGNG, 4.388%, 7/15/53 (144A) | $ 822,821 | ||||
500,000(a) | BPR Trust, Series 2021-WILL, Class E, 12.199% (1 Month Term SOFR + 686 bps), 6/15/38 (144A) | 452,144 | ||||
642,182(a) | BX Trust, Series 2022-PSB, Class F, 12.668% (1 Month Term SOFR + 733 bps), 8/15/39 (144A) | 642,565 | ||||
85,730(a) | Capital Funding Mortgage Trust, Series 2020-9, Class A, 8.565% (1 Month Term SOFR + 325 bps), 11/15/23 (144A) | 82,786 | ||||
504,632(a) | Capital Funding Mortgage Trust, Series 2020-9, Class B, 20.215% (1 Month Term SOFR + 1,490 bps), 11/15/23 (144A) | 500,099 | ||||
7,224,365(e)(f) | CD Mortgage Trust, Series 2016-CD1, Class XA, 1.363%, 8/10/49 | 188,690 | ||||
641,224(e)(f) | Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class XA, 0.893%, 7/10/47 | 2,419 | ||||
21,019,610(e)(f) | COMM Mortgage Trust, Series 2015-LC21, Class XA, 0.635%, 7/10/48 | 162,908 | ||||
750,000(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN1, Class B1, 13.071% (SOFR30A + 775 bps), 1/25/51 (144A) | 744,175 | ||||
180,000(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN3, Class B1, 12.171% (SOFR30A + 685 bps), 11/25/51 (144A) | 165,438 | ||||
568,002(e) | FREMF Mortgage Trust, Series 2019-KJ24, Class B, 7.60%, 10/25/27 (144A) | 502,625 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities— (continued) | ||||||
1,000,000(a) | FREMF Mortgage Trust, Series 2019-KS12, Class C, 12.331% (SOFR30A + 701 bps), 8/25/29 | $ 954,904 | ||||
141,987(a) | FREMF Mortgage Trust, Series 2020-KF74, Class C, 11.681% (SOFR30A + 636 bps), 1/25/27 (144A) | 137,044 | ||||
229,353(a) | FREMF Mortgage Trust, Series 2020-KF83, Class C, 14.431% (SOFR30A + 911 bps), 7/25/30 (144A) | 216,486 | ||||
1,000,000(g) | FREMF Mortgage Trust, Series 2021-KG05, Class C, 0.000%, 1/25/31 (144A) | 495,231 | ||||
12,333,286(f) | FREMF Mortgage Trust, Series 2021-KG05, Class X2A, 0.10%, 1/25/31 (144A) | 62,763 | ||||
1,000,000(f) | FREMF Mortgage Trust, Series 2021-KG05, Class X2B, 0.10%, 1/25/31 (144A) | 4,761 | ||||
7,597,529(e)(f) | FRESB Mortgage Trust, Series 2020-SB79, Class X1, 1.085%, 7/25/40 | 278,798 | ||||
3,803,056(e)(f) | GS Mortgage Securities Trust, Series 2014-GC24, Class XA, 0.683%, 9/10/47 | 12,617 | ||||
500,000(e) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D, 4.167%, 4/15/46 | 224,000 | ||||
6,691,699(e)(f) | JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class XA, 0.844%, 11/15/47 | 27,998 | ||||
5,846,124(e)(f) | Morgan Stanley Capital I Trust, Series 2016-UB12, Class XA, 0.649%, 12/15/49 | 93,244 | ||||
748,201(a) | Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 9.185% (SOFR30A + 386 bps), 3/25/50 (144A) | 714,582 | ||||
900,000(e) | Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class E, 4.398%, 8/15/36 (144A) | 410,449 | ||||
290,000 | Palisades Center Trust, Series 2016-PLSD, Class A, 2.713%, 4/13/33 (144A) | 150,800 | ||||
216,125(e) | Velocity Commercial Capital Loan Trust, Series 2020-1, Class M5, 4.29%, 2/25/50 (144A) | 161,348 | ||||
1,100,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.00%, 5/15/48 (144A) | 768,834 | ||||
1,660,500(e) | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class E, 4.595%, 11/15/48 (144A) | 979,610 | ||||
Total Commercial Mortgage-Backed Securities (Cost $11,861,465) | $ 9,960,139 | |||||
Principal Amount USD ($) | Value | |||||
Convertible Corporate Bonds — 2.2% of Net Assets | ||||||
Banks — 0.0% † | ||||||
IDR 812,959,000 | PT Bakrie & Brothers Tbk, 4/28/24 | $ 5,118 | ||||
Total Banks | $ 5,118 | |||||
Chemicals — 2.0% | ||||||
1,900,000(h) | Hercules LLC, 6.50%, 6/30/29 | $ 1,928,191 | ||||
Total Chemicals | $ 1,928,191 | |||||
Entertainment — 0.2% | ||||||
312,000(g) | DraftKings Holdings, Inc., 3/15/28 | $ 231,816 | ||||
Total Entertainment | $ 231,816 | |||||
Total Convertible Corporate Bonds (Cost $1,857,037) | $ 2,165,125 | |||||
Corporate Bonds — 87.8% of Net Assets | ||||||
Advertising — 1.3% | ||||||
645,000 | Clear Channel Outdoor Holdings, Inc., 7.50%, 6/1/29 (144A) | $ 469,486 | ||||
535,000 | Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28 (144A) | 408,997 | ||||
400,000 | Summer BC Bidco B LLC, 5.50%, 10/31/26 (144A) | 348,340 | ||||
Total Advertising | $ 1,226,823 | |||||
Aerospace & Defense — 0.6% | ||||||
315,000 | Spirit AeroSystems, Inc., 9.375%, 11/30/29 (144A) | $ 323,483 | ||||
270,000 | Triumph Group, Inc., 9.00%, 3/15/28 (144A) | 262,235 | ||||
Total Aerospace & Defense | $ 585,718 | |||||
Agriculture — 1.1% | ||||||
1,310,000 | Frigorifico Concepcion S.A., 7.70%, 7/21/28 (144A) | $ 1,061,856 | ||||
Total Agriculture | $ 1,061,856 | |||||
Airlines — 7.1% | ||||||
2,417,568(i) | ABRA Global Finance, 11.50% (5.50% PIK or 6.00% Cash), 3/2/28 (144A) | $ 1,857,735 | ||||
430,000 | Azul Secured Finance LLP, 11.93%, 8/28/28 (144A) | 417,798 | ||||
1,510,000 | Grupo Aeromexico SAB de CV, 8.50%, 3/17/27 (144A) | 1,400,780 | ||||
285,000 | Latam Airlines Group S.A., 13.375%, 10/15/29 (144A) | 307,160 | ||||
1,059,000 | Pegasus Hava Tasimaciligi AS, 9.25%, 4/30/26 (144A) | 1,061,287 |
Principal Amount USD ($) | Value | |||||
Airlines — (continued) | ||||||
EUR 700,000 | Transportes Aereos Portugueses S.A., 5.625%, 12/2/24 (144A) | $ 731,233 | ||||
465,000 | VistaJet Malta Finance Plc/Vista Management Holding, Inc., 6.375%, 2/1/30 (144A) | 310,105 | ||||
745,000 | VistaJet Malta Finance Plc/Vista Management Holding, Inc., 7.875%, 5/1/27 (144A) | 572,965 | ||||
260,000 | VistaJet Malta Finance Plc/Vista Management Holding, Inc., 9.50%, 6/1/28 (144A) | 199,205 | ||||
Total Airlines | $ 6,858,268 | |||||
Apparel — 0.4% | ||||||
370,000 | Hanesbrands, Inc., 9.00%, 2/15/31 (144A) | $ 343,451 | ||||
Total Apparel | $ 343,451 | |||||
Auto Parts & Equipment — 1.0% | ||||||
1,046,000 | Dealer Tire LLC/DT Issuer LLC, 8.00%, 2/1/28 (144A) | $ 981,111 | ||||
Total Auto Parts & Equipment | $ 981,111 | |||||
Banks — 2.6% | ||||||
300,000(e) | Banco de Galicia y Buenos Aires SAU, 7.962% (5 Year CMT Index + 716 bps), 7/19/26 (144A) | $ 275,700 | ||||
1,135,000(e) | Banco GNB Sudameris S.A., 7.50% (5 Year CMT Index + 666 bps), 4/16/31 (144A) | 872,247 | ||||
685,000(e)(j) | Banco Mercantil del Norte S.A., 8.375% (10 Year US Treasury Yield Curve Rate T Note Constant Maturity + 776 bps) (144A) | 622,925 | ||||
155,000 | Freedom Mortgage Corp., 12.25%, 10/1/30 (144A) | 155,051 | ||||
350,000(e)(j) | ING Groep NV, 6.50% (5 Year USD Swap Rate + 445 bps) | 327,477 | ||||
225,000(e)(j) | Intesa Sanpaolo S.p.A., 7.70% (5 Year USD Swap Rate + 546 bps) (144A) | 210,121 | ||||
865,000(c)(e)(j)# | Sovcombank Via SovCom Capital DAC, 7.60% (5 Year CMT Index + 636 bps) (144A) | 31,248 | ||||
Total Banks | $ 2,494,769 | |||||
Biotechnology — 0.3% | ||||||
EUR 345,000 | Cidron Aida Finco S.a.r.l., 5.00%, 4/1/28 (144A) | $ 326,715 | ||||
Total Biotechnology | $ 326,715 | |||||
Principal Amount USD ($) | Value | |||||
Building Materials — 1.3% | ||||||
1,000,000 | AmeriTex HoldCo Intermediate LLC, 10.25%, 10/15/28 (144A) | $ 945,500 | ||||
464,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/29 (144A) | 339,231 | ||||
Total Building Materials | $ 1,284,731 | |||||
Chemicals — 4.8% | ||||||
425,000 | LSF11 A5 HoldCo LLC, 6.625%, 10/15/29 (144A) | $ 344,785 | ||||
EUR 420,000 | Lune Holdings S.a.r.l., 5.625%, 11/15/28 (144A) | 362,188 | ||||
300,000 | LYB Finance Co. BV, 8.10%, 3/15/27 (144A) | 315,123 | ||||
379,000 | Mativ Holdings, Inc., 6.875%, 10/1/26 (144A) | 341,100 | ||||
280,000 | Olin Corp., 9.50%, 6/1/25 (144A) | 288,035 | ||||
EUR 580,000 | Olympus Water US Holding Corp., 9.625%, 11/15/28 (144A) | 608,475 | ||||
985,000 | Olympus Water US Holding Corp., 9.75%, 11/15/28 (144A) | 962,050 | ||||
920,000 | Rain Carbon, Inc., 12.25%, 9/1/29 (144A) | 936,100 | ||||
EUR 420,000 | SCIL IV LLC/SCIL USA Holdings LLC, 9.50%, 7/15/28 (144A) | 449,384 | ||||
Total Chemicals | $ 4,607,240 | |||||
Commercial Services — 4.2% | ||||||
585,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 7/15/27 (144A) | $ 508,146 | ||||
1,384,000(c) | Atento Luxco 1 S.A., 8.00%, 2/10/26 (144A) | 139 | ||||
473,000 | Garda World Security Corp., 6.00%, 6/1/29 (144A) | 360,574 | ||||
958,000 | Garda World Security Corp., 9.50%, 11/1/27 (144A) | 870,532 | ||||
625,000 | Neptune Bidco US, Inc., 9.29%, 4/15/29 (144A) | 551,593 | ||||
935,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 867,028 | ||||
558,000 | Sotheby's, 7.375%, 10/15/27 (144A) | 498,342 | ||||
411,000 | Verscend Escrow Corp., 9.75%, 8/15/26 (144A) | 407,973 | ||||
Total Commercial Services | $ 4,064,327 | |||||
Diversified Financial Services — 7.0% | ||||||
500,000(e)(j) | Air Lease Corp., 4.125% (5 Year CMT Index + 315 bps) | $ 359,797 | ||||
1,000,000 | ASG Finance Designated Activity Co., 7.875%, 12/3/24 (144A) | 967,500 | ||||
385,381(i) | Avation Capital S.A., 8.25% (9.00% PIK or 8.25% Cash), 10/31/26 (144A) | 328,537 | ||||
1,110,000 | Bread Financial Holdings, Inc., 7.00%, 1/15/26 (144A) | 1,010,327 |
Principal Amount USD ($) | Value | |||||
Diversified Financial Services — (continued) | ||||||
275,000(c) | Credito Real SAB de CV SOFOM ER, 8.00%, 1/21/28 (144A) | $ 31,625 | ||||
EUR 235,000 | Garfunkelux Holdco 3 S.A., 6.75%, 11/1/25 (144A) | 186,413 | ||||
GBP 400,000 | Garfunkelux Holdco 3 S.A., 7.75%, 11/1/25 (144A) | 358,237 | ||||
1,112,739(i) | Global Aircraft Leasing Co., Ltd., 6.50% (7.25% PIK or 6.50% Cash), 9/15/24 (144A) | 1,005,599 | ||||
EUR 840,000 | Intrum AB, 9.25%, 3/15/28 (144A) | 758,950 | ||||
610,000 | OneMain Finance Corp., 9.00%, 1/15/29 | 593,629 | ||||
355,000 | PHH Mortgage Corp., 7.875%, 3/15/26 (144A) | 306,187 | ||||
1,174,000(c) | Unifin Financiera SAB de CV, 8.375%, 1/27/28 (144A) | 23,544 | ||||
865,000 | United Wholesale Mortgage LLC, 5.75%, 6/15/27 (144A) | 787,089 | ||||
Total Diversified Financial Services | $ 6,717,434 | |||||
Electric — 0.9% | ||||||
400,000 | Cemig Geracao e Transmissao S.A., 9.25%, 12/5/24 (144A) | $ 397,940 | ||||
38,701 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25 (144A) | 38,411 | ||||
445,000 | Talen Energy Supply LLC, 8.625%, 6/1/30 (144A) | 452,168 | ||||
7,000 | Vistra Operations Co. LLC, 5.625%, 2/15/27 (144A) | 6,587 | ||||
Total Electric | $ 895,106 | |||||
Electrical Components & Equipments — 0.6% | ||||||
350,000 | WESCO Distribution, Inc., 7.125%, 6/15/25 (144A) | $ 349,797 | ||||
245,000 | WESCO Distribution, Inc., 7.25%, 6/15/28 (144A) | 243,444 | ||||
Total Electrical Components & Equipments | $ 593,241 | |||||
Energy-Alternate Sources — 0.1% | ||||||
96,604(i) | SCC Power Plc, 4.00% (4.00% PIK or 4.00% Cash), 5/17/32 (144A) | $ 11,854 | ||||
178,348(i) | SCC Power Plc, 8.00% (4.00% PIK or 4.00% Cash or 8.00% Cash), 12/31/28 (144A) | 66,470 | ||||
Total Energy-Alternate Sources | $ 78,324 | |||||
Engineering & Construction — 0.2% | ||||||
230,000 | IHS Holding, Ltd., 6.25%, 11/29/28 (144A) | $ 169,183 | ||||
Total Engineering & Construction | $ 169,183 | |||||
Entertainment — 2.0% | ||||||
295,000 | Light & Wonder International, Inc., 7.00%, 5/15/28 (144A) | $ 287,563 |
Principal Amount USD ($) | Value | |||||
Entertainment — (continued) | ||||||
295,000 | Light & Wonder International, Inc., 7.25%, 11/15/29 (144A) | $ 286,082 | ||||
EUR 325,000 | Lottomatica S.p.A., 9.75%, 9/30/27 (144A) | 367,486 | ||||
EUR 310,000 | Lottomatica S.p.A./Roma, 7.125%, 6/1/28 (144A) | 332,755 | ||||
700,000 | Mohegan Tribal Gaming Authority, 8.00%, 2/1/26 (144A) | 643,125 | ||||
Total Entertainment | $ 1,917,011 | |||||
Environmental Control — 0.4% | ||||||
367,000 | Tervita Corp., 11.00%, 12/1/25 (144A) | $ 381,669 | ||||
Total Environmental Control | $ 381,669 | |||||
Food — 0.4% | ||||||
555,000 | Aragvi Finance International DAC, 8.45%, 4/29/26 (144A) | $ 376,079 | ||||
Total Food | $ 376,079 | |||||
Healthcare-Services — 2.9% | ||||||
770,000 | Auna SAA, 6.50%, 11/20/25 (144A) | $ 704,559 | ||||
550,000 | Prime Healthcare Services, Inc., 7.25%, 11/1/25 (144A) | 500,500 | ||||
357,000 | RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26 (144A) | 333,790 | ||||
626,000 | Surgery Center Holdings, Inc., 10.00%, 4/15/27 (144A) | 624,858 | ||||
765,000 | US Acute Care Solutions LLC, 6.375%, 3/1/26 (144A) | 650,834 | ||||
Total Healthcare-Services | $ 2,814,541 | |||||
Home Builders — 0.8% | ||||||
885,000 | Beazer Homes USA, Inc., 7.25%, 10/15/29 | $ 807,389 | ||||
Total Home Builders | $ 807,389 | |||||
Home Furnishings — 1.0% | ||||||
EUR 930,000 | International Design Group S.p.A., 6.50%, 11/15/25 (144A) | $ 934,831 | ||||
Total Home Furnishings | $ 934,831 | |||||
Insurance — 4.5% | ||||||
4,600,000 | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | $ 4,300,946 | ||||
Total Insurance | $ 4,300,946 | |||||
Iron & Steel — 2.0% | ||||||
845,000 | Carpenter Technology Corp., 7.625%, 3/15/30 | $ 834,184 |
Principal Amount USD ($) | Value | |||||
Iron & Steel — (continued) | ||||||
613,000 | Metinvest BV, 7.75%, 10/17/29 (144A) | $ 363,202 | ||||
870,000 | TMS International Corp., 6.25%, 4/15/29 (144A) | 686,389 | ||||
Total Iron & Steel | $ 1,883,775 | |||||
Leisure Time — 1.5% | ||||||
100,000 | Carnival Corp., 7.625%, 3/1/26 (144A) | $ 97,239 | ||||
EUR 130,000 | Carnival Corp., 7.625%, 3/1/26 (144A) | 134,835 | ||||
120,000 | Carnival Holdings Bermuda, Ltd., 10.375%, 5/1/28 (144A) | 127,946 | ||||
170,000 | NCL Finance, Ltd., 6.125%, 3/15/28 (144A) | 142,160 | ||||
64,000 | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25 (144A) | 67,638 | ||||
595,000 | Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27 (144A) | 645,316 | ||||
245,000 | Viking Cruises, Ltd., 6.25%, 5/15/25 (144A) | 238,344 | ||||
Total Leisure Time | $ 1,453,478 | |||||
Lodging — 0.7% | ||||||
800,000(k) | Grupo Posadas S.A.B de CV, 5.00%, 12/30/27 (144A) | $ 674,000 | ||||
Total Lodging | $ 674,000 | |||||
Media — 1.4% | ||||||
400,000 | CSC Holdings LLC, 5.375%, 2/1/28 (144A) | $ 318,534 | ||||
1,210,000 | McGraw-Hill Education, Inc., 8.00%, 8/1/29 (144A) | 996,992 | ||||
Total Media | $ 1,315,526 | |||||
Metal Fabricate/Hardware — 0.4% | ||||||
385,000 | Park-Ohio Industries, Inc., 6.625%, 4/15/27 | $ 333,988 | ||||
Total Metal Fabricate/Hardware | $ 333,988 | |||||
Mining — 2.0% | ||||||
633,000 | Eldorado Gold Corp., 6.25%, 9/1/29 (144A) | $ 542,791 | ||||
400,000 | First Quantum Minerals, Ltd., 6.875%, 10/15/27 (144A) | 340,690 | ||||
1,260,000 | First Quantum Minerals, Ltd., 8.625%, 6/1/31 (144A) | 1,063,568 | ||||
Total Mining | $ 1,947,049 | |||||
Oil & Gas — 17.2% | ||||||
1,160,000 | Aethon United BR LP/Aethon United Finance Corp., 8.25%, 2/15/26 (144A) | $ 1,152,274 | ||||
910,000 | Baytex Energy Corp., 8.50%, 4/30/30 (144A) | 901,307 | ||||
1,685,000 | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | 1,698,264 |
Principal Amount USD ($) | Value | |||||
Oil & Gas — (continued) | ||||||
335,000(l) | Borr IHC, Ltd./Borr Finance LLC, 10.00%, 11/15/28 (144A) | $ 333,403 | ||||
240,000(l) | Borr IHC, Ltd./Borr Finance LLC, 10.375%, 11/15/30 (144A) | 237,960 | ||||
85,000 | Cenovus Energy, Inc., 6.75%, 11/15/39 | 82,155 | ||||
520,000 | Civitas Resources, Inc., 8.375%, 7/1/28 (144A) | 523,204 | ||||
370,000 | Civitas Resources, Inc., 8.625%, 11/1/30 (144A) | 376,595 | ||||
520,000 | Civitas Resources, Inc., 8.75%, 7/1/31 (144A) | 524,819 | ||||
1,510,000 | Energean Plc, 6.50%, 4/30/27 (144A) | 1,256,169 | ||||
383,000 | International Petroleum Corp., 7.25%, 2/1/27 (144A) | 354,466 | ||||
405,000 | Kosmos Energy, Ltd., 7.75%, 5/1/27 (144A) | 363,898 | ||||
1,309,271 | MC Brazil Downstream Trading S.a.r.l, 7.25%, 6/30/31 (144A) | 931,546 | ||||
515,000 | Nabors Industries, Ltd., 7.50%, 1/15/28 (144A) | 454,848 | ||||
603,000 | Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A) | 596,924 | ||||
955,000 | Occidental Petroleum Corp., 4.40%, 4/15/46 | 681,268 | ||||
800,000 | Petroleos Mexicanos, 5.95%, 1/28/31 | 572,400 | ||||
271,000 | Precision Drilling Corp., 6.875%, 1/15/29 (144A) | 250,920 | ||||
455,000 | Seadrill Finance, Ltd., 8.375%, 8/1/30 (144A) | 455,146 | ||||
970,000 | Shelf Drilling Holdings, Ltd., 9.625%, 4/15/29 (144A) | 922,250 | ||||
900,000 | SierraCol Energy Andina LLC, 6.00%, 6/15/28 (144A) | 696,700 | ||||
860,000 | Strathcona Resources, Ltd., 6.875%, 8/1/26 (144A) | 793,350 | ||||
120,000 | Transocean Titan Financing, Ltd., 8.375%, 2/1/28 (144A) | 120,486 | ||||
785,000 | Tullow Oil Plc, 10.25%, 5/15/26 (144A) | 674,315 | ||||
725,000 | Valaris, Ltd., 8.375%, 4/30/30 (144A) | 711,406 | ||||
1,195,000 | YPF S.A., 6.95%, 7/21/27 (144A) | 903,152 | ||||
Total Oil & Gas | $16,569,225 | |||||
Oil & Gas Services — 1.1% | ||||||
521,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.875%, 4/1/27 (144A) | $ 500,867 | ||||
630,000 | Enerflex, Ltd., 9.00%, 10/15/27 (144A) | 573,300 | ||||
Total Oil & Gas Services | $ 1,074,167 | |||||
Principal Amount USD ($) | Value | |||||
Packaging & Containers — 1.1% | ||||||
EUR 425,000 | Fiber Bidco S.p.A., 11.00%, 10/25/27 (144A) | $ 476,674 | ||||
580,000 | Owens-Brockway Glass Container, Inc., 7.25%, 5/15/31 (144A) | 530,700 | ||||
Total Packaging & Containers | $ 1,007,374 | |||||
Pharmaceuticals — 0.8% | ||||||
790,000 | P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (144A) | $ 530,643 | ||||
381,000 | Par Pharmaceutical, Inc., 7.50%, 4/1/27 (144A) | 258,360 | ||||
300,000 + | Tricida, Inc., 3.50%, 5/15/27 | — | ||||
300,000 + | Tricida, Inc., 3.50%, 5/15/27 | — | ||||
Total Pharmaceuticals | $ 789,003 | |||||
Pipelines — 5.9% | ||||||
800,020 | Acu Petroleo Luxembourg S.a.r.l., 7.50%, 1/13/32 (144A) | $ 721,982 | ||||
555,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75%, 5/15/25 | 545,767 | ||||
510,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.125%, 6/1/28 (144A) | 464,100 | ||||
450,000(a) | Energy Transfer LP, 8.656% (3 Month Term SOFR + 328 bps), 11/1/66 | 367,209 | ||||
915,000(e)(j) | Energy Transfer LP, 7.125% (5 Year CMT Index + 531 bps) | 759,841 | ||||
145,000 | EnLink Midstream Partners LP, 5.45%, 6/1/47 | 108,998 | ||||
344,000 | EnLink Midstream Partners LP, 5.60%, 4/1/44 | 270,470 | ||||
365,000 | Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 1/15/27 | 350,492 | ||||
197,000 | Global Partners LP/GLP Finance Corp., 7.00%, 8/1/27 | 185,684 | ||||
310,000 | Venture Global LNG, Inc., 8.125%, 6/1/28 (144A) | 300,955 | ||||
575,000 | Venture Global LNG, Inc., 8.375%, 6/1/31 (144A) | 548,697 | ||||
1,175,000 | Williams Cos., Inc., 5.75%, 6/24/44 | 1,024,357 | ||||
Total Pipelines | $ 5,648,552 | |||||
REITs — 1.0% | ||||||
890,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 1/15/30 (144A) | $ 539,592 | ||||
10,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 2/15/29 (144A) | 6,494 | ||||
410,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 2/15/28 (144A) | 394,811 | ||||
Total REITs | $ 940,897 | |||||
Principal Amount USD ($) | Value | |||||
Retail — 0.3% | ||||||
389,000 | Staples, Inc., 7.50%, 4/15/26 (144A) | $ 317,305 | ||||
Total Retail | $ 317,305 | |||||
Software — 0.4% | ||||||
505,000 | AthenaHealth Group, Inc., 6.50%, 2/15/30 (144A) | $ 412,709 | ||||
Total Software | $ 412,709 | |||||
Telecommunications — 3.6% | ||||||
695,000 | Altice France Holding S.A., 6.00%, 2/15/28 (144A) | $ 304,796 | ||||
607,000 | Altice France Holding S.A., 10.50%, 5/15/27 (144A) | 330,269 | ||||
200,000 | Altice France S.A., 8.125%, 2/1/27 (144A) | 168,593 | ||||
750,000(c) | Digicel, Ltd., 6.75%, 3/1/24 | 18,750 | ||||
836,000 | Kenbourne Invest S.A., 6.875%, 11/26/24 (144A) | 631,573 | ||||
850,000 | Sprint LLC, 7.625%, 3/1/26 | 873,063 | ||||
850,000 | Total Play Telecomunicaciones SA de CV, 6.375%, 9/20/28 (144A) | 407,013 | ||||
875,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28 (144A) | 693,863 | ||||
Total Telecommunications | $ 3,427,920 | |||||
Transportation — 2.5% | ||||||
1,245,000 | Carriage Purchaser, Inc., 7.875%, 10/15/29 (144A) | $ 915,914 | ||||
655,000 | Danaos Corp., 8.50%, 3/1/28 (144A) | 650,998 | ||||
400,000 | Simpar Europe S.A., 5.20%, 1/26/31 (144A) | 312,000 | ||||
575,000 | Watco Cos. LLC/Watco Finance Corp., 6.50%, 6/15/27 (144A) | 535,741 | ||||
965,000(c) | Western Global Airlines LLC, 10.375%, 8/15/25 (144A) | 7,238 | ||||
Total Transportation | $ 2,421,891 | |||||
Trucking & Leasing — 0.4% | ||||||
325,000 | Fortress Transportation and Infrastructure Investors LLC, 9.75%, 8/1/27 (144A) | $ 334,344 | ||||
Total Trucking & Leasing | $ 334,344 | |||||
Total Corporate Bonds (Cost $97,127,715) | $84,371,966 | |||||
Shares | Value | |||||
Preferred Stock — 0.6% of Net Assets | ||||||
Capital Markets — 0.1% | ||||||
1,322 | B Riley Financial, Inc., 6.75%, 5/31/24 | $ 32,521 | ||||
Total Capital Markets | $ 32,521 | |||||
Financial Services — 0.5% | ||||||
500(e)(j) | Compeer Financial ACA, 10.206% (3 Month USD LIBOR + 484 bps) (144A) | $ 502,049 | ||||
Total Financial Services | $ 502,049 | |||||
Internet — 0.0% † | ||||||
50,188 | MYT Holding LLC, 10.00%, 6/6/29 | $ 23,840 | ||||
Total Internet | $ 23,840 | |||||
Total Preferred Stock (Cost $624,106) | $ 558,410 | |||||
Right/Warrant — 0.0% † of Net Assets | ||||||
Trading Companies & Distributors — 0.0% † | ||||||
GBP 6,475 (d) | Avation Plc, 1/1/59 | $ 2,361 | ||||
Total Trading Companies & Distributors | $ 2,361 | |||||
Total Right/Warrant (Cost $—) | $ 2,361 | |||||
Principal Amount USD ($) | ||||||
Insurance-Linked Securities — 28.4% of Net Assets# | ||||||
Event Linked Bonds — 13.0% | ||||||
Earthquakes – California — 0.6% | ||||||
250,000(a) | Sutter Re, 15.195%, (3 Month U.S. Treasury Bill + 975 bps), 6/19/26 (144A) | $ 251,875 | ||||
300,000(a) | Torrey Pines Re, 10.445%, (3 Month U.S. Treasury Bill + 500 bps), 6/5/26 (144A) | 302,490 | ||||
$554,365 | ||||||
Earthquakes – U.S. — 0.3% | ||||||
250,000(a) | Ursa Re, 10.945%, (3 Month U.S. Treasury Bill + 550 bps), 12/6/25 (144A) | $ 252,100 | ||||
Flood – U.S. — 0.8% | ||||||
250,000(a) | FloodSmart Re, 17.275%, (3 Month U.S. Treasury Bill + 1,183 bps), 2/25/25 (144A) | $ 246,975 |
Principal Amount USD ($) | Value | |||||
Flood – U.S. — (continued) | ||||||
250,000(a) | FloodSmart Re, 19.025%, (3 Month U.S. Treasury Bill + 1,358 bps), 3/1/24 (144A) | $ 249,750 | ||||
250,000(a) | FloodSmart Re, 21.695%, (1 Month U.S. Treasury Bill + 1,625 bps), 3/11/26 (144A) | 255,350 | ||||
$752,075 | ||||||
Multiperil – Florida — 0.5% | ||||||
500,000(a) | Sanders Re, 13.447%, (3 Month U.S. Treasury Bill + 800 bps), 6/5/26 (144A) | $ 514,300 | ||||
Multiperil – U.S. — 3.8% | ||||||
250,000(a) | Aquila Re, 12.945%, (3 Month U.S. Treasury Bill + 750 bps), 6/8/26 (144A) | $ 255,725 | ||||
250,000(a) | Aquila Re, 14.695%, (3 Month U.S. Treasury Bill + 925 bps), 6/8/26 (144A) | 260,625 | ||||
400,000(a) | Caelus Re V, 5.539%, (1 Month USD LIBOR + 10 bps), 6/5/24 (144A) | 32,000 | ||||
250,000(a) | Four Lakes Re, 12.745%, (3 Month U.S. Treasury Bill + 730 bps), 1/5/24 (144A) | 246,750 | ||||
250,000(a) | Four Lakes Re, 15.605%, (3 Month U.S. Treasury Bill + 1,016 bps), 1/5/24 (144A) | 250,375 | ||||
500,000(a) | Matterhorn Re, 13.095%, (SOFR + 775 bps), 3/24/25 (144A) | 497,000 | ||||
375,000(a) | Residential Re, 12.447%, (3 Month U.S. Treasury Bill + 700 bps), 12/6/26 (144A) | 378,375 | ||||
250,000(a) | Residential Re, 17.675%, (3 Month U.S. Treasury Bill + 1,223 bps), 12/6/23 (144A) | 249,500 | ||||
500,000(a) | Residential Re , 17.355%, (3 Month U.S. Treasury Bill + 1,191 bps), 12/6/25 (144A) | 480,750 | ||||
250,000(a) | Sanders Re III, 11.195%, (3 Month U.S. Treasury Bill + 575 bps), 4/7/27 (144A) | 246,325 | ||||
250,000(a) | Solomon Re, 10.695%, (3 Month U.S. Treasury Bill + 525 bps), 6/8/26 (144A) | 254,450 | ||||
250,000(a) | Stabilitas Re, 13.945%, (3 Month U.S. Treasury Bill + 850 bps), 6/5/26 (144A) | 255,375 | ||||
250,000(a) | Topanga Re, 10.435%, (3 Month U.S. Treasury Bill + 499 bps), 1/8/26 (144A) | 227,500 | ||||
$3,634,750 | ||||||
Multiperil – U.S. & Canada — 1.8% | ||||||
250,000(a) | Kilimanjaro III Re, 17.805%, (3 Month U.S. Treasury Bill + 1,236 bps), 4/20/26 (144A) | $ 239,625 | ||||
250,000(a) | Kilimanjaro III Re, 17.807%, (3 Month U.S. Treasury Bill + 1,236 bps), 4/21/25 (144A) | 244,125 |
Principal Amount USD ($) | Value | |||||
Multiperil – U.S. & Canada — (continued) | ||||||
250,000(a) | Matterhorn Re, 11.094%, (SOFR + 575 bps), 12/8/25 (144A) | $ 230,600 | ||||
250,000(a) | Mona Lisa Re, 17.945%, (3 Month U.S. Treasury Bill + 1,250 bps), 1/8/26 (144A) | 267,500 | ||||
250,000(a) | Mystic Re IV, 11.575%, (3 Month U.S. Treasury Bill + 613 bps), 1/8/25 (144A) | 242,125 | ||||
500,000(a) | Mystic Re IV, 11.69%, (3 Month U.S. Treasury Bill + 1,160 bps), 1/8/25 (144A) | 490,200 | ||||
$1,714,175 | ||||||
Multiperil – Worldwide — 0.3% | ||||||
250,000(a) | Atlas Capital, 12.56%, (SOFR + 725 bps), 6/5/26 (144A) | $ 252,700 | ||||
Pandemic – U.S — 0.2% | ||||||
250,000(a) | Vitality Re XI, 7.245%, (3 Month U.S. Treasury Bill + 180 bps), 1/9/24 (144A) | $ 249,500 | ||||
Windstorm – Florida — 0.2% | ||||||
250,000(a) | Integrity Re, 12.515%, (3 Month U.S. Treasury Bill + 707 bps), 6/6/25 (144A) | $ 225,000 | ||||
Windstorm – Jamaica — 0.3% | ||||||
250,000(a) | International Bank for Reconstruction & Development, 9.72%, (SOFR + 440 bps), 12/29/23 (144A) | $ 250,375 | ||||
Windstorm – North Carolina — 0.8% | ||||||
250,000(a) | Cape Lookout Re, 9.145%, (1 Month U.S. Treasury Bill + 370 bps), 3/22/24 (144A) | $ 248,750 | ||||
250,000(a) | Cape Lookout Re, 10.795%, (3 Month U.S. Treasury Bill + 535 bps), 3/28/25 (144A) | 243,750 | ||||
250,000(a) | Cape Lookout Re, 11.945%, (1 Month U.S. Treasury Bill + 650 bps), 4/28/26 (144A) | 255,075 | ||||
$747,575 | ||||||
Windstorm – Texas — 0.3% | ||||||
250,000(a) | Alamo Re, 13.945%, (1 Month U.S. Treasury Bill + 850 bps), 6/7/26 (144A) | $ 250,675 | ||||
Windstorm – U.S. — 2.6% | ||||||
250,000(a) | Bonanza Re, 11.195%, (3 Month U.S. Treasury Bill + 575 bps), 3/16/25 (144A) | $ 238,000 | ||||
250,000(a) | Bonanza Re, 13.697%, (3 Month U.S. Treasury Bill + 825 bps), 1/8/26 (144A) | 252,250 | ||||
250,000(a) | Citrus Re, 12.195%, (3 Month U.S. Treasury Bill + 675 bps), 6/7/26 (144A) | 255,850 |
Principal Amount USD ($) | Value | ||||||
Windstorm – U.S. — (continued) | |||||||
250,000(a) | Citrus Re, 14.445%, (3 Month U.S. Treasury Bill + 900 bps), 6/7/26 (144A) | $ 252,150 | |||||
250,000(a) | Gateway Re, 18.445%, (1 Month U.S. Treasury Bill + 1,300 bps), 2/24/26 (144A) | 263,925 | |||||
250,000(a) | Gateway Re II, 14.945%, (3 Month U.S. Treasury Bill + 950 bps), 4/27/26 (144A) | 254,725 | |||||
250,000(a) | Merna Re II, 15.695%, (3 Month U.S. Treasury Bill + 1,025 bps), 7/7/26 (144A) | 260,375 | |||||
250,000(a) | Purple Re, 17.695%, (1 Month U.S. Treasury Bill + 1,225 bps), 4/24/26 (144A) | 252,250 | |||||
500,000(a) | Queen Street Re, 12.945%, (3 Month U.S. Treasury Bill + 750 bps), 12/8/25 (144A) | 512,050 | |||||
$2,541,575 | |||||||
Winterstorm – Florida — 0.5% | |||||||
250,000(a) | Integrity Re, 17.445%, (1 Month U.S. Treasury Bill + 1,200 bps), 6/6/25 (144A) | $ 263,475 | |||||
250,000(a) | Lightning Re, 16.447%, (3 Month U.S. Treasury Bill + 1,100 bps), 3/31/26 (144A) | 262,200 | |||||
$525,675 | |||||||
Total Event Linked Bonds | $12,464,840 | ||||||
Face Amount USD ($) | ||||||
Collateralized Reinsurance — 4.6% | ||||||
Multiperil – U.S. — 1.2% | ||||||
250,000(d)(m) + | Ballybunion Re 2020, 2/29/24 | $ 28,244 | ||||
100,000(d)(m) + | Ballybunion Re 2021-3, 7/31/25 | 2,236 | ||||
264,839(d)(m) + | Ballybunion Re 2022, 12/31/27 | 5,019 | ||||
250,000(d)(m) + | Ballybunion Re 2022-2, 5/31/28 | 253,877 | ||||
97,898(d)(m) + | Ballybunion Re 2022-3, 6/30/28 | 101,286 | ||||
264,416(d)(m) + | Ballybunion Re 2023, 12/31/28 | 289,535 | ||||
500,000(d)(m) + | Gamboge Re, 3/31/29 | 482,500 | ||||
$1,162,697 | ||||||
Multiperil – Worldwide — 2.0% | ||||||
250,000(d)(m) + | Amaranth Re 2023, 12/31/28 | $ 252,500 | ||||
650,000(d)(m) + | Cypress Re 2017, 1/31/24 | 65 | ||||
462,683(d)(m) + | Dartmouth Re 2018, 1/31/24 | 69,360 | ||||
100,000(d)(m) + | Dartmouth Re 2021, 12/31/24 | 30,991 | ||||
27,000(m) + | Limestone Re 2019-2B, 12/31/23 (144A) | 229 |
Face Amount USD ($) | Value | |||||
Multiperil – Worldwide — (continued) | ||||||
500,000(d)(m) + | Merion Re 2023-1, 12/31/28 | $ 522,000 | ||||
250,000(d)(m) + | Old Head Re 2022, 12/31/27 | 125,000 | ||||
250,000(d)(m) + | Old Head Re 2023, 12/31/28 | 245,000 | ||||
250,000(d)(m) + | Porthcawl Re 2023, 12/31/28 | 250,000 | ||||
250,000(d)(m) + | Portsalon Re 2022, 5/31/28 | 229,230 | ||||
700,000(d)(m) + | Resilience Re, 5/1/24 | — | ||||
250,000(d)(m) + | Walton Health Re 2019, 6/30/24 | 130,396 | ||||
250,000(d)(m) + | Walton Health Re 2022, 12/15/27 | 48,003 | ||||
$1,902,774 | ||||||
Windstorm – Florida — 0.0% † | ||||||
750,000(d)(m) + | Portrush Re 2017, 6/15/24 | $ 75 | ||||
Windstorm – North Carolina — 0.7% | ||||||
250,000(d)(m) + | Isosceles Re, 4/30/29 | $ 249,425 | ||||
375,000(d)(m) + | Isosceles Re 2023, 4/30/29 | 374,362 | ||||
�� $623,787 | ||||||
Windstorm – U.S. — 0.5% | ||||||
500,000(d)(m) + | White Heron Re, 5/31/29 | $ 502,500 | ||||
Windstorm – U.S. Regional — 0.2% | ||||||
1,015,734(d)(m) + | Oakmont Re 2020, 4/30/24 | $ — | ||||
750,000(d)(m) + | Oakmont Re 2022, 4/1/28 | 235,879 | ||||
$235,879 | ||||||
Total Collateralized Reinsurance | $ 4,427,712 | |||||
Reinsurance Sidecars — 10.8% | ||||||
Multiperil – U.S. — 0.3% | ||||||
250,000(d)(m) + | Carnoustie Re 2020, 12/31/23 | $ 28,832 | ||||
226,387(d)(m) + | Carnoustie Re 2023, 12/31/28 | 264,873 | ||||
1,000,000(d)(n) + | Harambee Re 2018, 12/31/24 | — | ||||
1,000,000(n) + | Harambee Re 2019, 12/31/24 | 1,300 | ||||
500,000(d)(n) + | Harambee Re 2020, 12/31/23 | 7,750 | ||||
$302,755 | ||||||
Multiperil – U.S. Regional — 0.0% † | ||||||
250,000(d)(m) + | Brotherhood Re, 1/31/24 | $ — | ||||
Multiperil – Worldwide — 10.5% | ||||||
225,450(n) + | Alturas Re 2020-3, 9/30/24 | $ — | ||||
439,922(d)(n) + | Alturas Re 2021-2, 12/31/24 | — | ||||
213,682(d)(n) + | Alturas Re 2021-3, 7/31/25 | 18,654 | ||||
376,048(d)(n) + | Alturas Re 2022-2, 12/31/27 | 85,664 | ||||
500,000(d)(m) + | Bantry Re 2021, 12/31/24 | 1,000 |
Face Amount USD ($) | Value | |||||
Multiperil – Worldwide — (continued) | ||||||
417,157(m) + | Bantry Re 2022, 12/31/27 | $ 17,311 | ||||
1,000,000(d)(m) + | Bantry Re 2023, 12/31/28 | 1,190,000 | ||||
1,128,124(d)(m) + | Berwick Re 2019-1, 12/31/24 | 179,936 | ||||
993,323(d)(m) + | Berwick Re 2020-1, 12/31/23 | 99 | ||||
750,000(d)(m) + | Berwick Re 2022, 12/31/27 | 14,460 | ||||
1,000,000(d)(m) + | Berwick Re 2023, 12/31/28 | 1,110,000 | ||||
500,000(d)(m) + | Eccleston Re 2023, 11/30/28 | 595,000 | ||||
70,000(d)(m) + | Eden Re II, 3/22/24 (144A) | 27,300 | ||||
49,927(d)(m) + | Eden Re II, 3/21/25 (144A) | 7,659 | ||||
80,000(d)(m) + | Eden Re II, 3/20/26 (144A) | 52,182 | ||||
300,000(d)(m) + | Eden Re II, 3/19/27 (144A) | 344,550 | ||||
250,000(d)(m) + | Gleneagles Re 2021, 12/31/24 | 25 | ||||
250,000(d)(m) + | Gleneagles Re 2022, 12/31/27 | 123,581 | ||||
1,059,157(d)(m) + | Gullane Re 2018, 12/31/24 | 50,018 | ||||
1,000,000(d)(m) + | Gullane Re 2023, 12/31/28 | 1,210,000 | ||||
250,000(d)(n) + | Lion Rock Re 2020, 1/31/24 | — | ||||
250,000(d)(n) + | Lion Rock Re 2021, 12/31/24 | 47,350 | ||||
498,977(d)(n) + | Lorenz Re 2019, 6/30/24 | 4,890 | ||||
500,000(m) + | Merion Re 2018-2, 12/31/24 | 24,992 | ||||
500,000(d)(m) + | Merion Re 2021-2, 12/31/24 | 98,250 | ||||
363,953(d)(m) + | Merion Re 2022-2, 12/31/27 | 345,068 | ||||
1,000,000(d)(m) + | Pangaea Re 2023-1, 12/31/28 | 1,190,000 | ||||
250,000(d)(m) + | Pangaea Re 2023-3, 5/31/29 | 277,500 | ||||
250,000(d)(m) + | Phoenix 3 Re 2023-3, 1/4/27 | 275,325 | ||||
200,000(d)(m) + | Sector Re V, 3/1/24 (144A) | 103,180 | ||||
25,000(d)(m) + | Sector Re V, 12/1/24 (144A) | 43,655 | ||||
15,000(m) + | Sector Re V, (0), 12/1/26 (144A) | 70,053 | ||||
4,500(m) + | Sector Re V, (0), 12/1/26 (144A) | 21,016 | ||||
500,000(d)(m) + | Sector Re V, 12/1/27 (144A) | 620,350 | ||||
515,671(m) + | Sussex Re 2020-1, 12/31/24 | 619 | ||||
250,000(m) + | Sussex Re 2021-1, 12/31/24 | 925 | ||||
500,000(m) + | Sussex Re 2022, 12/31/27 | 36,500 | ||||
313,499(d)(n) + | Thopas Re 2019, 12/31/24 | 4,326 | ||||
300,000(d)(n) + | Thopas Re 2020, 12/31/23 | — | ||||
250,000(d)(n) + | Thopas Re 2021, 12/31/24 | 4,025 | ||||
250,000(n) + | Thopas Re 2022, 12/31/27 | — | ||||
766,025(d)(n) + | Thopas Re 2023, 12/31/28 | 928,499 | ||||
375,860(n) + | Torricelli Re 2021, 7/31/25 | 16,237 | ||||
500,000(n) + | Torricelli Re 2022, 6/30/28 | 7,452 | ||||
750,000(d)(n) + | Torricelli Re 2023, 6/30/29 | 834,645 | ||||
500,000(d)(n) + | Viribus Re 2018, 12/31/24 | — |
Face Amount USD ($) | Value | |||||
Multiperil – Worldwide — (continued) | ||||||
212,306(d)(n) + | Viribus Re 2019, 12/31/24 | $ 658 | ||||
240,783(d)(n) + | Viribus Re 2020, 12/31/23 | 7,994 | ||||
221,888(d)(n) + | Viribus Re 2022, 12/31/27 | 8,143 | ||||
499,829(d)(m) + | Woburn Re 2019, 12/31/24 | 83,681 | ||||
$10,082,772 | ||||||
Total Reinsurance Sidecars | $10,385,527 | |||||
Total Insurance-Linked Securities (Cost $26,305,777) | $27,278,079 | |||||
Principal Amount USD ($) | ||||||
Foreign Government Bonds — 1.0% of Net Assets | ||||||
Angola — 0.4% | ||||||
448,000 | Angolan Government International Bond, 8.250%, 5/9/28 (144A) | $ 378,560 | ||||
Total Angola | $ 378,560 | |||||
Ghana — 0.4% | ||||||
320,000(c) | Ghana Government International Bond, 7.875%, 2/11/35 (144A) | $ 136,467 | ||||
500,000(c) | Ghana Government International Bond, 8.627%, 6/16/49 | 206,325 | ||||
Total Ghana | $ 342,792 | |||||
Ukraine — 0.2% | ||||||
750,000(c) | Ukraine Government International Bond, 8.994%, 2/1/26 (144A) | $ 228,900 | ||||
Total Ukraine | $ 228,900 | |||||
Total Foreign Government Bonds (Cost $2,022,419) | $ 950,252 | |||||
Shares | Value | |||||
SHORT TERM INVESTMENTS — 1.3% of Net Assets | ||||||
Open-End Fund — 1.3% | ||||||
1,206,672(o) | Dreyfus Government Cash Management, Institutional Shares, 5.23% | $ 1,206,672 | ||||
$1,206,672 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,206,672) | $ 1,206,672 | |||||
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 | $302 |
Total Over The Counter (OTC) Currency Put Option Purchased (Premiums paid $ 28,531) | $302 | |||||
TOTAL OPTIONS PURCHASED (Premiums paid $ 28,531) | $302 | |||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS — 143.3% (Cost $153,423,703) | $137,726,407 | |||||
Over The Counter (OTC) Currency Call Option Written — (0.0)% † | ||||||
(1,350,000) | Call EUR Put USD | Citibank NA | EUR 28,531 | EUR 1.10 | 11/28/23 | $(241) |
Total Over The Counter (OTC) Currency Call Option Written (Premiums received $28,531) | $(241) | |||||
OTHER ASSETS AND LIABILITIES — (43.3)% | $(41,588,521) | |||||
net assets — 100.0% | $96,137,645 | |||||
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. |
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 October 31, 2023, the value of these securities amounted to $104,527,372, or 108.7% of net assets. |
(a) | Floating rate note. Coupon rate, reference index and spread shown at October 31, 2023. |
(b) | This term loan will settle after October 31, 2023, at which time the interest rate will be determined. |
(c) | Security is in default. |
(d) | Non-income producing security. |
(e) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at October 31, 2023. |
(f) | Security represents the interest-only portion payments on a pool of underlying mortgages or mortgage-backed securities. |
(g) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(h) | Security is priced as a unit. |
(i) | Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount. |
(j) | Security is perpetual in nature and has no stated maturity date. |
(k) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at October 31, 2023. |
(l) | Securities purchased on a when-issued basis. Rates do not take effect until settlement date. |
(m) | Issued as participation notes. |
(n) | Issued as preference shares. |
(o) | Rate periodically changes. Rate disclosed is the 7-day yield at October 31, 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 October 31, 2023. |
+ | Security is valued using significant unobservable inputs (Level 3). |
† | Amount rounds to less than 0.1%. |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
Alamo Re | 4/12/2023 | $250,000 | $250,675 |
Alturas Re 2020-3 | 8/3/2020 | — | — |
Alturas Re 2021-2 | 2/16/2021 | 22,989 | — |
Alturas Re 2021-3 | 8/16/2021 | 39,872 | 18,654 |
Alturas Re 2022-2 | 1/18/2022 | 81,133 | 85,664 |
Restricted Securities | Acquisition date | Cost | Value |
Amaranth Re 2023 | 1/27/2023 | $208,962 | $252,500 |
Aquila Re | 5/10/2023 | 250,000 | 255,725 |
Aquila Re | 5/10/2023 | 250,000 | 260,625 |
Atlas Capital | 5/17/2023 | 250,000 | 252,700 |
Ballybunion Re 2020 | 12/31/2019 | 17,156 | 28,244 |
Ballybunion Re 2021-3 | 8/2/2021 | 2,102 | 2,236 |
Ballybunion Re 2022 | 3/9/2022 | 423 | 5,019 |
Ballybunion Re 2022-2 | 8/9/2022 | 250,000 | 253,877 |
Ballybunion Re 2022-3 | 8/9/2022 | 97,898 | 101,286 |
Ballybunion Re 2023 | 3/21/2023 | 264,416 | 289,535 |
Bantry Re 2021 | 1/11/2021 | 8,143 | 1,000 |
Bantry Re 2022 | 2/2/2022 | — | 17,311 |
Bantry Re 2023 | 1/12/2023 | 1,000,000 | 1,190,000 |
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 | 13,409 | 14,460 |
Berwick Re 2023 | 2/1/2023 | 921,704 | 1,110,000 |
Bonanza Re | 1/6/2023 | 250,000 | 252,250 |
Bonanza Re | 7/25/2023 | 213,611 | 238,000 |
Brotherhood Re | 1/22/2018 | 39,767 | — |
Caelus Re V | 4/27/2017 | 400,000 | 32,000 |
Cape Lookout Re | 3/9/2021 | 250,000 | 248,750 |
Cape Lookout Re | 3/16/2022 | 250,000 | 243,750 |
Cape Lookout Re | 4/14/2023 | 250,000 | 255,075 |
Carnoustie Re 2020 | 7/16/2020 | 6,309 | 28,832 |
Carnoustie Re 2023 | 3/22/2023 | 226,387 | 264,873 |
Citrus Re | 4/27/2023 | 250,000 | 252,150 |
Citrus Re | 4/27/2023 | 250,000 | 255,850 |
Cypress Re 2017 | 1/24/2017 | 2,185 | 65 |
Dartmouth Re 2018 | 1/18/2018 | 159,773 | 69,360 |
Dartmouth Re 2021 | 1/19/2021 | 11,466 | 30,991 |
Eccleston Re 2023 | 7/13/2023 | 500,000 | 595,000 |
Eden Re II | 12/23/2019 | 57,847 | 27,300 |
Eden Re II | 1/25/2021 | 39,921 | 7,659 |
Eden Re II | 1/21/2022 | 69,182 | 52,182 |
Eden Re II | 1/17/2023 | 300,000 | 344,550 |
FloodSmart Re | 2/8/2022 | 249,364 | 249,750 |
FloodSmart Re | 2/14/2022 | 250,000 | 246,975 |
FloodSmart Re | 2/23/2023 | 250,000 | 255,350 |
Four Lakes Re | 11/5/2020 | 250,000 | 246,750 |
Four Lakes Re | 11/5/2020 | 250,000 | 250,375 |
Gamboge Re | 4/20/2023 | 422,595 | 482,500 |
Gateway Re | 2/3/2023 | 250,000 | 263,925 |
Gateway Re II | 4/13/2023 | 250,000 | 254,725 |
Restricted Securities | Acquisition date | Cost | Value |
Gleneagles Re 2021 | 1/13/2021 | $4,575 | $25 |
Gleneagles Re 2022 | 1/18/2022 | 115,769 | 123,581 |
Gullane Re 2018 | 3/26/2018 | — | 50,018 |
Gullane Re 2023 | 1/10/2023 | 1,000,000 | 1,210,000 |
Harambee Re 2018 | 12/19/2017 | 21,232 | — |
Harambee Re 2019 | 12/20/2018 | — | 1,300 |
Harambee Re 2020 | 2/27/2020 | — | 7,750 |
Integrity Re | 5/9/2022 | 250,000 | 225,000 |
Integrity Re | 3/23/2023 | 250,000 | 263,475 |
International Bank for Reconstruction & Development | 7/19/2021 | 250,000 | 250,375 |
Isosceles Re | 8/7/2023 | 234,356 | 249,425 |
Isosceles Re 2023 | 8/7/2023 | 355,706 | 374,362 |
Kilimanjaro III Re | 4/8/2021 | 250,000 | 244,125 |
Kilimanjaro III Re | 4/8/2021 | 250,000 | 239,625 |
Lightning Re | 3/20/2023 | 250,000 | 262,200 |
Limestone Re 2019-2B | 6/20/2018 | 230 | 229 |
Lion Rock Re 2020 | 12/30/2019 | — | — |
Lion Rock Re 2021 | 3/1/2021 | 102,134 | 47,350 |
Lorenz Re 2019 | 6/26/2019 | 83,037 | 4,890 |
Matterhorn Re | 12/15/2021 | 250,000 | 230,600 |
Matterhorn Re | 3/10/2022 | 500,000 | 497,000 |
Merion Re 2018-2 | 12/28/2017 | — | 24,992 |
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 | 522,000 |
Merna Re II | 4/5/2023 | 250,000 | 260,375 |
Mona Lisa Re | 12/30/2022 | 250,000 | 267,500 |
Mystic Re IV | 6/9/2021 | 500,000 | 490,200 |
Mystic Re IV | 10/26/2021 | 249,259 | 242,125 |
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 | 245,000 |
Pangaea Re 2023-1 | 1/23/2023 | 1,000,000 | 1,190,000 |
Pangaea Re 2023-3 | 7/5/2023 | 250,000 | 277,500 |
Phoenix 3 Re 2023-3 | 12/21/2020 | 224,140 | 275,325 |
Porthcawl Re 2023 | 1/23/2023 | 197,811 | 250,000 |
Portrush Re 2017 | 6/12/2017 | 575,239 | 75 |
Portsalon Re 2022 | 7/15/2022 | 202,158 | 229,230 |
Purple Re | 4/6/2023 | 250,000 | 252,250 |
Queen Street Re | 5/12/2023 | 500,000 | 512,050 |
Residential Re | 11/5/2019 | 250,000 | 249,500 |
Residential Re | 11/22/2022 | 375,000 | 378,375 |
Restricted Securities | Acquisition date | Cost | Value |
Residential Re | 10/28/2021 | $500,000 | $480,750 |
Resilience Re | 2/8/2017 | 339 | — |
Sanders Re | 5/24/2023 | 500,000 | 514,300 |
Sanders Re III | 3/24/2023 | 250,000 | 246,325 |
Sector Re V | 4/23/2019 | 135,839 | 103,180 |
Sector Re V | 12/4/2019 | 347 | 43,655 |
Sector Re V | 12/6/2021 | — | 70,053 |
Sector Re V | 1/5/2022 | — | 21,016 |
Sector Re V | 12/30/2022 | 500,000 | 620,350 |
Solomon Re | 6/12/2023 | 250,000 | 254,450 |
Sovcombank Via SovCom Capital DAC | 865,000 | 31,248 | |
Stabilitas Re | 6/7/2023 | 250,000 | 255,375 |
Sussex Re 2020-1 | 1/21/2020 | — | 619 |
Sussex Re 2021-1 | 1/26/2021 | — | 925 |
Sussex Re 2022 | 1/5/2022 | — | 36,500 |
Sutter Re | 6/6/2023 | 250,000 | 251,875 |
Thopas Re 2019 | 2/13/2019 | — | 4,326 |
Thopas Re 2020 | 12/30/2019 | — | — |
Thopas Re 2021 | 1/22/2021 | — | 4,025 |
Thopas Re 2022 | 2/15/2022 | — | — |
Thopas Re 2023 | 2/13/2023 | 766,025 | 928,499 |
Topanga Re | 10/5/2023 | 226,091 | 227,500 |
Torrey Pines Re | 5/18/2023 | 300,000 | 302,490 |
Torricelli Re 2021 | 7/2/2021 | — | 16,237 |
Torricelli Re 2022 | 7/26/2022 | — | 7,452 |
Torricelli Re 2023 | 7/19/2023 | 750,000 | 834,645 |
Ursa Re | 4/12/2023 | 250,000 | 252,100 |
Viribus Re 2018 | 12/22/2017 | 10,559 | — |
Viribus Re 2019 | 3/25/2019 | — | 658 |
Viribus Re 2020 | 3/12/2020 | 24,541 | 7,994 |
Viribus Re 2022 | 4/18/2022 | — | 8,143 |
Vitality Re XI | 1/23/2020 | 250,000 | 249,500 |
Walton Health Re 2019 | 7/18/2019 | 74,547 | 130,396 |
Walton Health Re 2022 | 7/13/2022 | 12,439 | 48,003 |
White Heron Re | 8/30/2023 | 464,951 | 502,500 |
Woburn Re 2019 | 1/30/2019 | 66,418 | 83,681 |
Total Restricted Securities | $27,309,327 | ||
% of Net assets | 28.4% |
Currency Purchased | In Exchange for | Currency Sold | Deliver | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
EUR | 191,000 | USD | 207,868 | Brown Brothers Harriman & Co. | 11/21/23 | $(5,592) |
USD | 380,974 | GBP | 310,000 | Brown Brothers Harriman & Co. | 12/14/23 | 4,055 |
EUR | 2,370,000 | USD | 2,517,651 | HSBC Bank USA NA | 12/18/23 | (4,240) |
USD | 5,194,667 | EUR | 4,890,000 | State Street Bank & Trust Co. | 1/24/24 | (436) |
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | $(6,213) |
EUR | — Euro |
GBP | — Great British Pound |
IDR | — Indonesian Rupiah |
USD | — United States Dollar |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $5,822,971 |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (22,661,411) |
Net unrealized depreciation | $(16,838,440) |
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 | $— | $4,683,832 | $— | $4,683,832 |
Common Stocks | ||||
Household Durables | 64 | — | — | 64 |
Oil, Gas & Consumable Fuels | 42 | 111 | — | 153 |
Passenger Airlines | — | — | 301,589 | 301,589 |
Asset Backed Securities | — | 3,537,349 | — | 3,537,349 |
Collateralized Mortgage Obligations | — | 2,710,114 | — | 2,710,114 |
Commercial Mortgage-Backed Securities | — | 9,960,139 | — | 9,960,139 |
Convertible Corporate Bonds | — | 2,165,125 | — | 2,165,125 |
Corporate Bonds | — | 84,371,966 | — | 84,371,966 |
Preferred Stock | ||||
Capital Markets | 32,521 | — | — | 32,521 |
All Other Preferred Stock | — | 525,889 | — | 525,889 |
Right/Warrant | 2,361 | — | — | 2,361 |
Insurance-Linked Securities | ||||
Collateralized Reinsurance | ||||
Multiperil – U.S. | — | — | 1,162,697 | 1,162,697 |
Multiperil – Worldwide | — | — | 1,902,774 | 1,902,774 |
Windstorm – Florida | — | — | 75 | 75 |
Windstorm – North Carolina | — | — | 623,787 | 623,787 |
Windstorm – U.S. | — | — | 502,500 | 502,500 |
Windstorm – U.S. Regional | — | — | 235,879 | 235,879 |
Reinsurance Sidecars | ||||
Multiperil – U.S. | — | — | 302,755 | 302,755 |
Multiperil – U.S. Regional | — | — | —* | —* |
Multiperil – Worldwide | — | — | 10,082,772 | 10,082,772 |
All Other Insurance-Linked Securities | — | 12,464,840 | — | 12,464,840 |
Level 1 | Level 2 | Level 3 | Total | |
Foreign Government Bonds | $— | $950,252 | $— | $950,252 |
Open-End Fund | 1,206,672 | — | — | 1,206,672 |
Over The Counter (OTC) Currency Put Option Purchased | — | 302 | — | 302 |
Total Investments in Securities | $1,241,660 | $121,369,919 | $15,114,828 | $137,726,407 |
Other Financial Instruments | ||||
Credit Agreement (a) | $— | $(43,325,000) | $— | $(43,325,000) |
Over The Counter (OTC) Currency Call Option Written | — | (241) | — | (241) |
Net unrealized depreciation on forward foreign currency exchange contracts | — | (6,213) | — | (6,213) |
Total Other Financial Instruments | $— | $(43,331,454) | $— | $(43,331,454) |
(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 4/30/23 | $268,817 | $12,206,359 | $12,475,176 |
Realized gain (loss) (1) | — | (221,134) | (221,134) |
Changed in unrealized appreciation (depreciation) (2) | 32,772 | 1,468,304 | 1,501,076 |
Return of capital | — | (1,157,967) | (1,157,967) |
Purchases | — | 3,168,800 | 3,168,800 |
Sales | — | (651,123) | (651,123) |
Transfers in to Level 3* | — | — | — |
Transfers out of Level 3* | — | — | — |
Balance as of 10/31/23 | $301,589 | $14,813,239 | $15,114,828 |
(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. During the six months ended October 31, 2023, there were no transfers in or out of Level 3. | ||
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at October 31, 2023: | $1,355,920 |
ASSETS: | |
Investments in unaffiliated issuers, at value (cost $153,423,703) | $137,726,407 |
Foreign currencies, at value (cost $109,112) | 108,277 |
Unrealized appreciation on forward foreign currency exchange contracts | 4,055 |
Receivables — | |
Investment securities sold | 1,180,000 |
Dividends | 16,630 |
Interest | 2,164,047 |
Other assets | 1,906 |
Total assets | $141,201,322 |
LIABILITIES: | |
Payables — | |
Credit agreement | $43,325,000 |
Investment securities purchased | 1,571,181 |
Directors' fees | 1,042 |
Interest expense | 30,770 |
Due to custodian | 4,076 |
Written options outstanding (net premiums received $28,531) | 241 |
Unrealized depreciation on forward foreign currency exchange contracts | 10,268 |
Reserve for repatriation taxes | 957 |
Management fees | 16,176 |
Administrative expenses | 11,987 |
Accrued expenses | 91,979 |
Total liabilities | $45,063,677 |
NET ASSETS: | |
Paid-in capital | $170,531,878 |
Distributable earnings (loss) | (74,394,233) |
Net assets | $96,137,645 |
NET ASSET VALUE PER SHARE: | |
No par value | |
Based on $96,137,645/8,334,759 shares | $11.53 |
INVESTMENT INCOME: | ||
Interest from unaffiliated issuers (net of foreign taxes withheld $(5,531)) | $6,383,119 | |
Dividends from unaffiliated issuers | 219,683 | |
Total Investment Income | $6,602,802 | |
EXPENSES: | ||
Management fees | $602,653 | |
Administrative expenses | 23,660 | |
Transfer agent fees | 7,247 | |
Stockholder communications expense | 22,898 | |
Custodian fees | 926 | |
Professional fees | 88,476 | |
Printing expense | 8,305 | |
Officers' and Directors' fees | 4,992 | |
Insurance expense | 1,850 | |
Interest expense | 1,365,700 | |
Miscellaneous | 59,126 | |
Total expenses | $2,185,833 | |
Net investment income | $4,416,969 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||
Net realized gain (loss) on: | ||
Investments in unaffiliated issuers | $(2,611,312) | |
Forward foreign currency exchange contracts | 164,541 | |
Other assets and liabilities denominated in foreign currencies | (2,544) | $(2,449,315) |
Change in net unrealized appreciation (depreciation) on: | ||
Investments in unaffiliated issuers | $898,957 | |
Forward foreign currency exchange contracts | (33,001) | |
Written options | 43,030 | |
Other assets and liabilities denominated in foreign currencies | (8,412) | $900,574 |
Net realized and unrealized gain (loss) on investments | $(1,548,741) | |
Net increase in net assets resulting from operations | $2,868,228 |
Six Months Ended 10/31/23 (unaudited) | Year Ended 4/30/23 | |
FROM OPERATIONS: | ||
Net investment income (loss) | $4,416,969 | $9,418,039 |
Net realized gain (loss) on investments | (2,449,315) | (6,017,114) |
Change in net unrealized appreciation (depreciation) on investments | 900,574 | (8,811,258) |
Net increase (decrease) in net assets resulting from operations | $2,868,228 | $(5,410,333) |
DISTRIBUTIONS TO STOCKHOLDERS: | ||
Net investment income | ||
($0.54 and $1.16 per share, respectively) | $(4,500,770) | $(9,645,645) |
Tax return of capital | ||
($— and $0.04 per share, respectively) | $— | $(356,066) |
Total distributions to stockholders | $(4,500,770) | $(10,001,711) |
Net decrease in net assets | $(1,632,542) | $(15,412,044) |
NET ASSETS: | ||
Beginning of period | $97,770,187 | $113,182,231 |
End of period | $96,137,645 | $97,770,187 |
Cash Flows From Operating Activities | |
Net increase in net assets resulting from operations | $2,868,228 |
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 | $(22,905,169) |
Proceeds from disposition and maturity of investment securities | 18,603,677 |
Net sales of short term investments | 3,363,156 |
Net accretion and amortization of discount/premium on investment securities | (126,395) |
Net realized loss on investments in unaffiliated issuers | 2,611,312 |
Change in unrealized appreciation on investments in unaffiliated issuers | (898,957) |
Change in unrealized depreciation on forward foreign currency exchange contracts | 33,001 |
Change in unrealized appreciation on written options | (43,030) |
Increase in dividends receivable | 689 |
Increase in interest receivable | (60,712) |
Decrease in distributions paid in advance | 750,128 |
Increase in other assets | (1,855) |
Decrease in management fees payable | (127) |
Increase in directors' fees payable | 397 |
Increase in administrative expenses payable | 1,596 |
Decrease in accrued expenses payable | (29,683) |
Net cash, restricted cash and foreign currencies from operating activities | $4,166,256 |
Cash Flows Used In Financing Activities: | |
Borrowings received | 750,000 |
Increase in custodian fees payable | 4,076 |
Increase in interest expense payable | 6,674 |
Distributions to stockholders | (5,250,898) |
Net cash flows used in financing activities | $(4,490,148) |
NET INCREASE (DECREASE) IN CASH, RESTRICTED CASH AND FOREIGN CURRENCIES | $(323,892) |
Cash and Foreign Currencies: | |
Beginning of period* | $432,169 |
End of period* | $108,277 |
Cash Flow Information: | |
Cash paid for interest | $1,359,026 |
* | The following table provides a reconciliation of cash and foreign currencies reported in the Statement of Assets and Liabilities that sum to the total of the same such amounts shown in the Statement of Cash Flows: |
Six Months Ended 10/31/23 | Year Ended 4/30/23 | |
Cash | $— | $8,348 |
Foreign currenices, at value | 108,277 | 423,821 |
Total cash and foreign currencies shown in the Statement of Cash Flows | $108,277 | $432,169 |
Six Months Ended 10/31/23 (unaudited) | 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 | $11.73 | $13.58 | $15.67 | $12.60 | $16.18 | $17.09 |
Increase (decrease) from investment operations: | ||||||
Net investment income (loss)(a) | $0.53 | $1.13 | $1.28 | $1.25 | $1.19 | $1.21 |
Net realized and unrealized gain (loss) on investments | (0.19) | (1.78) | (2.05) | 3.16 | (3.59) | (0.98) |
Net increase (decrease) from investment operations | $0.34 | $(0.65) | $(0.77) | $4.41 | $(2.40) | $0.23 |
Distributions to stockholders: | ||||||
Net investment income and previously undistributed net investment income | $(0.54)* | $(1.16)* | $(1.32)* | $(1.34)* | $(1.18)* | $(1.14)* |
Tax return of capital | — | (0.04) | — | — | — | — |
Total distributions | $(0.54) | $(1.20) | $(1.32) | $(1.34) | $(1.18) | $(1.14) |
Net increase (decrease) in net asset value | $(0.20) | $(1.85) | $(2.09) | $3.07 | $(3.58) | $(0.91) |
Net asset value, end of period | $11.53 | $11.73 | $13.58 | $15.67 | $12.60 | $16.18 |
Market value end of period | $9.93 | $10.02 | $12.30 | $14.95 | $10.99 | $14.39 |
Total return at net asset value(b) | 3.71%(c) | (3.46)% | (5.19)% | 37.08% | (15.21)% | 2.58% |
Total return at market value(b) | 4.47%(c) | (8.96)% | (9.99)% | 49.94% | (16.84)% | 3.95% |
Ratios to average net assets of stockholders: | ||||||
Total expenses plus interest expense(d) | 4.44%(e) | 3.42% | 2.11% | 2.06% | 2.88% | 2.95% |
Net investment income available to stockholders | 8.96%(e) | 9.39% | 8.42% | 8.49% | 7.64% | 7.37% |
Portfolio turnover rate | 14%(c) | 25% | 46% | 57% | 52% | 37% |
Net assets, end of period (in thousands) | $96,138 | $97,770 | $113,182 | $130,594 | $104,985 | $134,853 |
Total amount of debt outstanding (in thousands) | $43,325 | $42,575 | $54,950 | $61,000 | $45,000 | $61,000 |
Asset coverage per $1,000 of indebtedness | $3,219 | $3,296 | $3,060 | $3,141 | $3,333 | $3,211 |
* | The amount of distributions made to stockholders during the year were in excess of the net investment income earned by the Fund during the period. 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 period. 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) | Not annualized. |
(d) | Includes interest expense of 2.77%, 1.83%, 0.52%, 0.46%, 1.35% and 1.48%, respectively. |
(e) | Annualized. |
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. 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 October 31, 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. | |
The tax character of current year distributions payable will be determined at the end of the current taxable year. The tax character of distributions paid during the year ended April 30, 2023 was as follows: |
2023 | |
Distributions paid from: | |
Ordinary income | $9,645,645 |
Tax return of capital | 356,066 |
Total | $10,001,711 |
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. 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 long-term impact of the COVID-19 pandemic and its subsequent variants on economies, markets, industries and individual issuers, are not known. Some sectors of the economy and individual issuers have experienced or may experience particularly large losses. Periods of extreme volatility in the financial markets, reduced liquidity of many instruments, increased government debt, inflation, and disruptions to supply chains, consumer demand and employee availability, may continue for some time. Following Russia's invasion of Ukraine, Russian securities lost all, or nearly all, their market value. Other securities or markets could be similarly affected by past or future political, 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 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, event-linked 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, less liquid trading markets, extreme price volatility, currency risks, 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 and investment and repatriation 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 military action or future escalation of such hostilities, the extent and 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. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. In the U.S., a common benchmark replacement is based on the SOFR published by the Federal Reserve Bank of New York, including certain spread adjustments and benchmark replacement conforming changes, although other benchmark replacements (without or without spread adjustments) may be used in certain transactions. The impact of the transition from LIBOR on the Fund's transactions and financial markets generally cannot yet be determined. The transition away from LIBOR may lead to increased volatility and illiquidity in markets for instruments that have relied on LIBOR and may adversely affect the Fund's performance. | |
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 current market conditions 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, poo r 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 October 31, 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 six months ended October 31, 2023 was $1,881. Open purchased options contracts at October 31, 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 six months ended October 31, 2023 was $(23,367). Open written options contracts at October 31, 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 six months ended October 31, 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 six months ended October 31, 2023, was $2,962,061 and $5,903,033 for buys and sells, respectively. Open forward foreign currency exchange contracts outstanding at October 31, 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 Equiniti 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. For the six |
months ended October 31, 2023, the Fund had no restricted cash presented on the Statement of Assets and Liabilities. |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement (a) | Derivatives Available for Offset | Non-Cash Collateral Pledged | Cash Collateral Pledged (a) | Net Amount of Derivative Liabilities (b) |
Brown Brothers Harriman & Co. | $4,055 | $(4,055) | $— | $— | $— |
Citibank NA | — | — | — | — | — |
Goldman Sachs & Co. | 302 | — | — | — | 302 |
HSBC Bank USA NA | — | — | — | — | — |
State Street Bank & Trust Co. | — | — | — | — | — |
Total | $4,357 | $(4,055) | $— | $— | $302 |
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. | $5,592 | $(4,055) | $— | $— | $1,537 |
Citibank NA | 241 | — | — | — | 241 |
Goldman Sachs & Co. | — | — | — | — | — |
HSBC Bank USA NA | 4,240 | — | — | — | 4,240 |
State Street Bank & Trust Co. | 436 | — | — | — | 436 |
Total | $10,509 | $(4,055) | $— | $— | $6,454 |
Statement of Assets and Liabilities | Interest Rate Risk | Credit Risk | Foreign Exchange Rate Risk | Equity Risk | Commodity Risk |
Assets | |||||
Options purchased* | $— | $— | $302 | $— | $— |
Unrealized appreciation on forward foreign currency exchange contracts | — | — | 4,055 | — | — |
Total Value | $— | $— | $4,357 | $— | $— |
Liabilities | |||||
Options written | $— | $— | $241 | $— | $— |
Unrealized depreciation on forward foreign currency exchange contracts | — | — | 10,268 | — | — |
Total Value | $— | $— | $10,509 | $— | $— |
* | 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 | $— | $— | $164,541 | $— | $— |
Total Value | $— | $— | $164,541 | $— | $— |
Change in Net Unrealized Appreciation (Depreciation) on | |||||
Forward foreign currency exchange contracts | $— | $— | $(33,001) | $— | $— |
Options purchased | — | — | (3,942) | — | — |
Options written | — | — | 43,030 | — | — |
Total Value | $— | $— | $6,087 | $— | $— |
10/31/23 | 4/30/23 | |
Shares outstanding at beginning of period | 8,334,759 | 8,334,759 |
Shares outstanding at end of period | 8,334,759 | 8,334,759 |
Nominee | Votes For | Votes Against | Votes Abstained |
Diane Durnin | 4,514,972 | 1,409,279 | 127,172 |
Benjamin M. Friedman | 4,552,145 | 1,382,753 | 116,525 |
Kenneth J. Taubes | 4,595,272 | 1,341,232 | 114,921 |
Chief Executive Officer
and Chief Financial and
Accounting Officer
Chief Legal Officer
change of address, lost stock certificates,Company, LLC
stock transferOperations Center
6201 15th Ave.
Brooklyn, NY 11219
Company, LLC
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.
N/A
(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.
N/A
(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.
N/A
(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.
N/A
(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. | • A summary of all such services and related fees reported at each regularly scheduled Audit Committee meeting. | |
• “One-time” pre-approval for the fund fiscal year within a specified dollar limit for all pre-approved specific service subcategories | • A summary of all such services and related fees (including comparison to specified dollar limits) reported quarterly. |
• 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)
• 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.
N/A
(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.
N/A
(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.
(i) A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form NCSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation.
N/A
(j) A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must provide the below disclosures. Also, any such identified foreign issuer that uses a variable-interest entity or any similar structure that results in additional foreign entities being consolidated in the financial statements of the registrant is required to provide the below disclosures for itself and its consolidated foreign operating entity or entities. A registrant must disclose:
(1) That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant;
N/A
(2) The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized;
N/A
(3) Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant;
N/A
(4) The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant;
N/A
(5) Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter.
N/A
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.
N/A
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.
N/A
.
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).
N/A
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 January 3, 2024
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 January 3, 2024
By (Signature and Title)* /s/ Anthony J. Koenig, Jr.
Anthony J. Koenig, Jr., Managing Director, Chief Operations Officer & Treasurer of the Funds
Date January 3, 2024
* | Print the name and title of each signing officer under his or her signature. |