Ticker Symbol: HNW |
Principal Amount USD ($) | Value | |||||
UNAFFILIATED ISSUERS — 141.5% | ||||||
Senior Secured Floating Rate Loan Interests — 3.3% of Net Assets*(a) | ||||||
Airlines — 0.3% | ||||||
265,000 | LATAM Airlines Group SA, Tranche A Facility, 9.666% (Term SOFR + 750 bps), 8/8/22 | $ 265,662 | ||||
Total Airlines | $265,662 | |||||
Consumer Products — 0.3% | ||||||
356,125 | Instant Brands Holdings, Inc., Initial Loan, 7.076% (LIBOR + 500 bps), 4/12/28 | $ 285,494 | ||||
Total Consumer Products | $285,494 | |||||
Dialysis Centers — 0.3% | ||||||
486,250 | US Renal Care, Inc., Initial Term Loan, 6.688% (LIBOR + 500 bps), 6/26/26 | $ 351,142 | ||||
Total Dialysis Centers | $351,142 | |||||
Electronic Composition — 0.1% | ||||||
123,739 | Natel Engineering Co., Inc., Initial Term Loan, 7.743% (LIBOR + 625 bps), 4/30/26 | $ 115,077 | ||||
Total Electronic Composition | $115,077 | |||||
Human Resources — 0.2% | ||||||
323,021 | Team Health Holdings, Inc., Extended Term Loan, 7.577% (Term SOFR + 525 bps), 3/2/27 | $ 264,878 | ||||
Total Human Resources | $264,878 | |||||
Medical Labs & Testing Services — 0.1% | ||||||
313,287 | Envision Healthcare Corp., Initial Term Loan, 6.122% (LIBOR + 375 bps), 10/10/25 | $ 87,671 | ||||
Total Medical Labs & Testing Services | $87,671 | |||||
Oil-Field Services — 1.8% | ||||||
1,917,443 | ProFrac Holdings II, LLC, Term Loan, 10.007% (Term SOFR + 850 bps), 3/4/25 | $ 1,867,110 | ||||
Total Oil-Field Services | $1,867,110 | |||||
Recreational Centers — 0.2% | ||||||
191,703 | Fitness International LLC, Term B Loan, 5.622% (LIBOR + 325 bps), 4/18/25 | $ 176,367 | ||||
Total Recreational Centers | $176,367 | |||||
Total Senior Secured Floating Rate Loan Interests (Cost $3,924,810) | $3,413,401 | |||||
Shares | Value | |||||
Common Stocks — 0.5% of Net Assets | ||||||
Airlines — 0.2% | ||||||
24,166(b) | Grupo Aeromexico SAB de CV | $ 234,719 | ||||
Total Airlines | $234,719 | |||||
Household Durables — 0.0%† | ||||||
89,094(b) | Desarrolladora Homex SAB de CV | $ 136 | ||||
Total Household Durables | $136 | |||||
Oil, Gas & Consumable Fuels — 0.2% | ||||||
6(b) | Amplify Energy Corp. | $ 41 | ||||
218,823(b) | PetroQuest Energy, Inc. | 93,000 | ||||
5,709(b) | Summit Midstream Partners LP | 85,349 | ||||
Total Oil, Gas & Consumable Fuels | $178,390 | |||||
Specialty Retail — 0.1% | ||||||
42,088(b)+^ | Targus Cayman SubCo., Ltd. | $ 51,768 | ||||
Total Specialty Retail | $51,768 | |||||
Total Common Stocks (Cost $791,295) | $465,013 | |||||
Principal Amount USD ($) | ||||||
Asset Backed Securities — 3.3% of Net Assets | ||||||
500,000 | ACC Auto Trust, Series 2022-A, Class D, 10.07%, 3/15/29 (144A) | $ 496,390 | ||||
500,000(a) | Goldentree Loan Management US CLO 2, Ltd., Series 2017-2A, Class E, 7.41% (3 Month USD LIBOR + 470 bps), 11/28/30 (144A) | 420,384 | ||||
1,000,000 | JPMorgan Chase Bank NA - CACLN, Series 2021-3, Class G, 9.812%, 2/26/29 (144A) | 935,824 | ||||
1,000,000(a) | MCF CLO VII LLC, Series 2017-3A, Class ER, 11.86% (3 Month USD LIBOR + 915 bps), 7/20/33 (144A) | 899,706 | ||||
650,000 | Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class E, 12.662%, 5/15/32 (144A) | 645,888 | ||||
Total Asset Backed Securities (Cost $3,610,194) | $3,398,192 | |||||
Collateralized Mortgage Obligations—2.4% of Net Assets | ||||||
330,000(a) | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B2, 7.514% (SOFR30A + 600 bps), 10/25/41 (144A) | $ 291,190 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
150,000(a) | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1B2, 11.014% (SOFR30A + 950 bps), 3/25/42 (144A) | $ 144,834 | ||||
10,609(a) | DSLA Mortgage Loan Trust, Series 2005-AR6, Class 2A1C, 2.96% (1 Month USD LIBOR + 84 bps), 10/19/45 | 10,440 | ||||
100,000(a) | Fannie Mae Connecticut Avenue Securities, Series 2021-R02, Class 2B2, 7.714% (SOFR30A + 620 bps), 11/25/41 (144A) | 85,566 | ||||
200,000(a) | Freddie Mac Stacr Remic Trust, Series 2021-DNA7, Class B2, 9.314% (SOFR30A + 780 bps), 11/25/41 (144A) | 169,213 | ||||
450,000(a) | Freddie Mac Stacr Remic Trust, Series 2021-HQA3, Class B2, 7.764% (SOFR30A + 625 bps), 9/25/41 (144A) | 377,307 | ||||
280,000(a) | Freddie Mac Stacr Remic Trust, Series 2022-DNA2, Class B2, 10.014% (SOFR30A + 850 bps), 2/25/42 (144A) | 249,497 | ||||
20,784 | Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A) | 14,787 | ||||
500,000(c) | RMF Buyout Issuance Trust, Series 2022-HB1, Class M5, 4.50%, 4/25/32 (144A) | 395,000 | ||||
640,000(a) | STACR Trust, Series 2018-HRP2, Class B2, 12.759% (1 Month USD LIBOR + 1,050 bps), 2/25/47 (144A) | 699,314 | ||||
Total Collateralized Mortgage Obligations (Cost $2,636,578) | $2,437,148 | |||||
Commercial Mortgage-Backed Securities—11.2% of Net Assets | ||||||
1,000,000(c) | Benchmark Mortgage Trust, Series 2020-B18, Class AGNG, 4.388%, 7/15/53 (144A) | $ 823,744 | ||||
500,000(a) | BPR Trust, Series 2021-WILL, Class E, 8.749% (1 Month USD LIBOR + 675 bps), 6/15/38 (144A) | 464,784 | ||||
588,625(a) | Capital Funding Mortgage Trust, Series 2020-9, Class B, 16.613% (1 Month USD LIBOR + 1,490 bps), 11/19/22 (144A) | 588,625 | ||||
288,017(a) | Capital Funding Mortgage Trust, Series 2021-8, Class B, 14.81% (1 Month USD LIBOR + 1,310 bps), 6/22/23 (144A) | 288,017 | ||||
1,000,000(a) | Capital Funding Mortgage Trust, Series 2021-19, Class B, 16.92% (1 Month USD LIBOR + 1,521 bps), 11/6/23 (144A) | 977,517 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
70,000(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN1, Class B1, 9.264% (SOFR30A + 775 bps), 1/25/51 (144A) | $ 68,263 | ||||
180,000(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN3, Class B1, 8.364% (SOFR30A + 685 bps), 11/25/51 (144A) | 163,531 | ||||
627,395(c) | FREMF Mortgage Trust, Series 2019-KJ24, Class B, 7.60%, 10/25/27 (144A) | 591,917 | ||||
1,000,000(a) | FREMF Mortgage Trust, Series 2019-KS12, Class C, 8.687% (1 Month USD LIBOR + 690 bps), 8/25/29 | 889,569 | ||||
434,092(a) | FREMF Mortgage Trust, Series 2020-KF74, Class C, 8.037% (1 Month USD LIBOR + 625 bps), 1/25/27 (144A) | 422,348 | ||||
527,183(a) | FREMF Mortgage Trust, Series 2020-KF83, Class C, 10.787% (1 Month USD LIBOR + 900 bps), 7/25/30 (144A) | 508,776 | ||||
1,000,000(d) | FREMF Mortgage Trust, Series 2021-KG05, Class C, 0.000%, 1/25/31 (144A) | 506,734 | ||||
12,333,286(e) | FREMF Mortgage Trust, Series 2021-KG05, Class X2A, 0.10%, 1/25/31 (144A) | 79,109 | ||||
1,000,000(e) | FREMF Mortgage Trust, Series 2021-KG05, Class X2B, 0.10%, 1/25/31 (144A) | 5,769 | ||||
7,917,344(c) | FRESB Mortgage Trust, Series 2020-SB79, Class X1, 1.094%, 7/25/40 | 444,419 | ||||
500,000(c) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D, 4.159%, 4/15/46 | 382,479 | ||||
172,230(c) | Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49 | 129,172 | ||||
750,000(a) | Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 6.009% (1 Month USD LIBOR + 375 bps), 3/25/50 (144A) | 693,750 | ||||
900,000(c) | Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class E, 4.398%, 8/15/36 (144A) | 764,631 | ||||
290,000 | Palisades Center Trust, Series 2016-PLSD, Class A, 2.713%, 4/13/33 (144A) | 258,100 | ||||
192,353(a) | Slide, Series 2018-FUN, Class E, 4.549% (1 Month USD LIBOR + 255 bps), 6/15/31 (144A) | 184,050 | ||||
319,727(c) | Velocity Commercial Capital Loan Trust, Series 2020-1, Class M6, 5.69%, 2/25/50 (144A) | 282,123 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
1,100,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.00%, 5/15/48 (144A) | $ 775,402 | ||||
1,660,500(c) | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class E, 4.60%, 11/15/48 (144A) | 1,184,258 | ||||
Total Commercial Mortgage-Backed Securities (Cost $12,488,539) | $11,477,087 | |||||
Convertible Corporate Bonds — 2.3% of Net Assets | ||||||
Airlines — 0.1% | ||||||
225,000 | GOL Equity Finance SA, 3.75%, 7/15/24 (144A) | $ 120,980 | ||||
Total Airlines | $120,980 | |||||
Banks — 0.0%† | ||||||
IDR812,959,000^ | PT Bakrie & Brothers Tbk, 0.00%, 12/22/22 | $ 5,481 | ||||
Total Banks | $5,481 | |||||
Chemicals — 1.9% | ||||||
1,900,000(f) | Hercules LLC, 6.50%, 6/30/29 | $ 1,925,688 | ||||
Total Chemicals | $1,925,688 | |||||
Entertainment — 0.2% | ||||||
312,000(d) | DraftKings Holdings, Inc., 3/15/28 | $ 187,512 | ||||
Total Entertainment | $187,512 | |||||
Pharmaceuticals — 0.1% | ||||||
300,000 | Tricida, Inc., 3.50%, 5/15/27 | $ 154,909 | ||||
Total Pharmaceuticals | $154,909 | |||||
Total Convertible Corporate Bonds (Cost $2,214,266) | $2,394,570 | |||||
Corporate Bonds — 93.2% of Net Assets | ||||||
Advertising — 0.9% | ||||||
645,000 | Clear Channel Outdoor Holdings, Inc., 7.50%, 6/1/29 (144A) | $ 519,225 | ||||
535,000 | Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28 (144A) | 430,311 | ||||
Total Advertising | $949,536 | |||||
Aerospace & Defense — 0.8% | ||||||
450,000 | Bombardier, Inc., 7.125%, 6/15/26 (144A) | $ 417,780 |
Principal Amount USD ($) | Value | |||||
Aerospace & Defense — (continued) | ||||||
280,000 | Howmet Aerospace, Inc., 6.875%, 5/1/25 | $ 294,700 | ||||
101,000 | Triumph Group, Inc., 8.875%, 6/1/24 (144A) | 104,471 | ||||
Total Aerospace & Defense | $816,951 | |||||
Agriculture — 0.3% | ||||||
815,000 | Kernel Holding SA, 6.50%, 10/17/24 (144A) | $ 318,632 | ||||
Total Agriculture | $318,632 | |||||
Airlines — 5.6% | ||||||
500,000 | Gol Finance SA, 7.00%, 1/31/25 (144A) | $ 267,500 | ||||
2,115,000 | Gol Finance SA, 8.00%, 6/30/26 (144A) | 1,397,759 | ||||
1,510,000 | Grupo Aeromexico SAB de CV, 8.50%, 3/17/27 (144A) | 1,436,010 | ||||
1,915,000 | Pegasus Hava Tasimaciligi AS, 9.25%, 4/30/26 (144A) | 1,736,445 | ||||
EUR1,000,000 | Transportes Aereos Portugueses SA, 5.625%, 12/2/24 (144A) | 898,671 | ||||
Total Airlines | $5,736,385 | |||||
Auto Manufacturers — 0.5% | ||||||
545,000 | JB Poindexter & Co., Inc., 7.125%, 4/15/26 (144A) | $ 531,773 | ||||
Total Auto Manufacturers | $531,773 | |||||
Auto Parts & Equipment — 0.7% | ||||||
840,000 | Dealer Tire LLC/DT Issuer LLC, 8.00%, 2/1/28 (144A) | $ 753,816 | ||||
Total Auto Parts & Equipment | $753,816 | |||||
Banks — 3.7% | ||||||
300,000(c) | Banco de Galicia y Buenos Aires SAU, 7.962% (5 Year CMT Index + 716 bps), 7/19/26 (144A) | $ 268,500 | ||||
1,135,000(c) | Banco GNB Sudameris SA, 7.50% (5 Year CMT Index + 666 bps), 4/16/31 (144A) | 928,668 | ||||
685,000(c)(g) | Banco Mercantil del Norte SA, 8.375% (5 Year CMT Index + 776 bps) (144A) | 650,928 | ||||
247,000 | Freedom Mortgage Corp., 8.125%, 11/15/24 (144A) | 221,065 | ||||
911,000 | Freedom Mortgage Corp., 8.25%, 4/15/25 (144A) | 815,345 | ||||
350,000(c)(g) | ING Groep NV, 6.50% (5 Year USD Swap Rate + 445 bps) | 344,327 | ||||
225,000(c)(g) | Intesa Sanpaolo S.p.A., 7.70% (5 Year USD Swap Rate + 546 bps) (144A) | 210,375 | ||||
200,000 | Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (144A) | 25,000 |
Principal Amount USD ($) | Value | |||||
Banks — (continued) | ||||||
865,000(c)(g) | Sovcombank Via SovCom Capital DAC, 7.60% (5 Year CMT Index + 636 bps) (144A) | $ 17,300 | ||||
344,000(c) | Turkiye Vakiflar Bankasi TAO, 8.00% (5 Year USD Swap Rate + 585 bps), 11/1/27 (144A) | 323,353 | ||||
Total Banks | $3,804,861 | |||||
Biotechnology — 0.3% | ||||||
EUR345,000 | Cidron Aida Finco S.a.r.l., 5.00%, 4/1/28 (144A) | $ 310,224 | ||||
Total Biotechnology | $310,224 | |||||
Building Materials — 1.4% | ||||||
199,000 | Koppers, Inc., 6.00%, 2/15/25 (144A) | $ 189,593 | ||||
375,000 | Oscar AcquisitionCo LLC/Oscar Finance, Inc., 9.50%, 4/15/30 (144A) | 305,783 | ||||
1,001,000 | Patrick Industries, Inc., 7.50%, 10/15/27 (144A) | 927,362 | ||||
Total Building Materials | $1,422,738 | |||||
Chemicals — 2.3% | ||||||
425,000 | Braskem Idesa SAPI, 6.99%, 2/20/32 (144A) | $ 366,435 | ||||
425,000 | LSF11 A5 HoldCo LLC, 6.625%, 10/15/29 (144A) | 364,399 | ||||
EUR420,000 | Lune Holdings S.a.r.l., 5.625%, 11/15/28 (144A) | 374,201 | ||||
300,000 | LYB Finance Co. BV, 8.10%, 3/15/27 (144A) | 346,561 | ||||
379,000 | Mativ, Inc., 6.875%, 10/1/26 (144A) | 333,482 | ||||
280,000 | Olin Corp., 9.50%, 6/1/25 (144A) | 302,834 | ||||
336,000 | Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 4/1/25 (144A) | 317,520 | ||||
Total Chemicals | $2,405,432 | |||||
Commercial Services — 5.5% | ||||||
245,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26 (144A) | $ 237,398 | ||||
585,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 7/15/27 (144A) | 535,603 | ||||
450,000 | APX Group, Inc., 6.75%, 2/15/27 (144A) | 445,727 | ||||
1,384,000 | Atento Luxco 1 SA, 8.00%, 2/10/26 (144A) | 858,618 | ||||
473,000 | Garda World Security Corp., 6.00%, 6/1/29 (144A) | 372,428 | ||||
958,000 | Garda World Security Corp., 9.50%, 11/1/27 (144A) | 902,085 | ||||
410,000 | PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29 (144A) | 329,025 | ||||
935,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 857,096 | ||||
MXN3,600,000 | Red de Carreteras de Occidente SAB de CV, 9.00%, 6/10/28 (144A) | 174,272 |
Principal Amount USD ($) | Value | |||||
Commercial Services — (continued) | ||||||
558,000 | Sotheby's, 7.375%, 10/15/27 (144A) | $ 536,929 | ||||
411,000 | Verscend Escrow Corp., 9.75%, 8/15/26 (144A) | 412,831 | ||||
Total Commercial Services | $5,662,012 | |||||
Computers — 0.5% | ||||||
865,000 | Diebold Nixdorf, Inc., 8.50%, 4/15/24 | $ 415,442 | ||||
80,000 | Diebold Nixdorf, Inc., 9.375%, 7/15/25 (144A) | 62,200 | ||||
Total Computers | $477,642 | |||||
Diversified Financial Services — 6.8% | ||||||
1,000,000 | ASG Finance Designated Activity Co., 7.875%, 12/3/24 (144A) | $ 925,000 | ||||
375,925(h) | Avation Capital SA, 8.25% (9.00% PIK or 8.25% Cash), 10/31/26 (144A) | 282,830 | ||||
1,110,000 | Bread Financial Holdings, Inc., 7.00%, 1/15/26 (144A) | 1,045,162 | ||||
275,000(i) | Credito Real SAB de CV SOFOM ER, 8.00%, 1/21/28 (144A) | 8,938 | ||||
530,000 | Financiera Independencia SAB de CV SOFOM ENR, 8.00%, 7/19/24 (144A) | 384,720 | ||||
EUR235,000 | Garfunkelux Holdco 3 SA, 6.75%, 11/1/25 (144A) | 206,232 | ||||
GBP400,000 | Garfunkelux Holdco 3 SA, 7.75%, 11/1/25 (144A) | 422,333 | ||||
1,073,814(h) | Global Aircraft Leasing Co., Ltd., 6.50% (7.25% PIK or 6.50% Cash), 9/15/24 (144A) | 826,837 | ||||
75,000 | OneMain Finance Corp., 6.625%, 1/15/28 | 70,322 | ||||
355,000 | PHH Mortgage Corp., 7.875%, 3/15/26 (144A) | 331,375 | ||||
1,174,000(i) | Unifin Financiera SAB de CV, 8.375%, 1/27/28 (144A) | 598,647 | ||||
865,000 | United Wholesale Mortgage LLC, 5.75%, 6/15/27 (144A) | 752,706 | ||||
465,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 6.375%, 2/1/30 (144A) | 404,792 | ||||
745,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 7.875%, 5/1/27 (144A) | 684,990 | ||||
Total Diversified Financial Services | $6,944,884 | |||||
Electric — 1.0% | ||||||
400,000 | Cemig Geracao e Transmissao SA, 9.25%, 12/5/24 (144A) | $ 421,500 | ||||
460,000(c) | Enel S.p.A., 8.75% (5 Year USD Swap Rate + 588 bps), 9/24/73 (144A) | 473,869 |
Principal Amount USD ($) | Value | |||||
Electric — (continued) | ||||||
92,678 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25 (144A) | $ 89,667 | ||||
7,000 | Vistra Operations Co. LLC, 5.625%, 2/15/27 (144A) | 7,022 | ||||
Total Electric | $992,058 | |||||
Electrical Components & Equipments — 0.6% | ||||||
350,000 | WESCO Distribution, Inc., 7.125%, 6/15/25 (144A) | $ 361,760 | ||||
245,000 | WESCO Distribution, Inc., 7.25%, 6/15/28 (144A) | 253,822 | ||||
Total Electrical Components & Equipments | $615,582 | |||||
Energy-Alternate Sources — 0.1% | ||||||
91,636(h) | SCC Power Plc, 4.00% (4.00% PIK or 4.00% Cash), 5/17/32 (144A) | $ 9,164 | ||||
169,173(h) | SCC Power Plc, 8.00% (4.00% PIK or 8.00% Cash), 12/31/28 (144A) | 67,669 | ||||
Total Energy-Alternate Sources | $76,833 | |||||
Engineering & Construction — 2.0% | ||||||
200,000 | Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 3/30/29 (144A) | $ 183,140 | ||||
1,425,000 | Artera Services LLC, 9.033%, 12/4/25 (144A) | 1,157,812 | ||||
230,000 | IHS Holding, Ltd., 6.25%, 11/29/28 (144A) | 188,526 | ||||
EUR360,000 | Promontoria Holding 264 BV, 6.375%, 3/1/27 (144A) | 311,975 | ||||
280,000 | Promontoria Holding 264 BV, 7.875%, 3/1/27 (144A) | 256,022 | ||||
Total Engineering & Construction | $2,097,475 | |||||
Entertainment — 2.2% | ||||||
510,000 | Caesars Entertainment, Inc., 8.125%, 7/1/27 (144A) | $ 510,000 | ||||
305,000 | International Game Technology Plc, 6.25%, 1/15/27 (144A) | 310,337 | ||||
900,000 | Mohegan Gaming & Entertainment, 8.00%, 2/1/26 (144A) | 805,500 | ||||
295,000 | Scientific Games International, Inc., 7.00%, 5/15/28 (144A) | 300,077 | ||||
295,000 | Scientific Games International, Inc., 7.25%, 11/15/29 (144A) | 300,163 | ||||
Total Entertainment | $2,226,077 | |||||
Environmental Control — 0.4% | ||||||
367,000 | Tervita Corp., 11.00%, 12/1/25 (144A) | $ 399,113 | ||||
Total Environmental Control | $399,113 |
Principal Amount USD ($) | Value | |||||
Food — 1.4% | ||||||
555,000 | Aragvi Finance International DAC, 8.45%, 4/29/26 (144A) | $ 398,545 | ||||
1,310,000 | Frigorifico Concepcion SA, 7.70%, 7/21/28 (144A) | 1,054,550 | ||||
Total Food | $1,453,095 | |||||
Forest Products & Paper — 1.1% | ||||||
1,175,000 | Sylvamo Corp., 7.00%, 9/1/29 (144A) | $ 1,085,482 | ||||
Total Forest Products & Paper | $1,085,482 | |||||
Healthcare-Products — 0.2% | ||||||
239,000 | Varex Imaging Corp., 7.875%, 10/15/27 (144A) | $ 238,403 | ||||
Total Healthcare-Products | $238,403 | |||||
Healthcare-Services — 3.5% | ||||||
445,000 | Auna SAA, 6.50%, 11/20/25 (144A) | $ 396,227 | ||||
550,000 | Prime Healthcare Services, Inc., 7.25%, 11/1/25 (144A) | 483,703 | ||||
357,000 | RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26 (144A) | 335,580 | ||||
1,066,000 | Surgery Center Holdings, Inc., 10.00%, 4/15/27 (144A) | 1,084,794 | ||||
765,000 | US Acute Care Solutions LLC, 6.375%, 3/1/26 (144A) | 711,450 | ||||
1,165,000 | US Renal Care, Inc., 10.625%, 7/15/27 (144A) | 535,900 | ||||
Total Healthcare-Services | $3,547,654 | |||||
Home Builders — 1.3% | ||||||
885,000 | Beazer Homes USA, Inc., 7.25%, 10/15/29 | $ 807,023 | ||||
390,000 | Empire Communities Corp., 7.00%, 12/15/25 (144A) | 340,275 | ||||
211,000 | KB Home, 6.875%, 6/15/27 | 218,259 | ||||
Total Home Builders | $1,365,557 | |||||
Home Furnishings — 0.9% | ||||||
EUR930,000 | International Design Group S.p.A., 6.50%, 11/15/25 (144A) | $ 869,713 | ||||
Total Home Furnishings | $869,713 | |||||
Housewares — 0.1% | ||||||
120,000 | CD&R Smokey Buyer, Inc., 6.75%, 7/15/25 (144A) | $ 112,608 | ||||
Total Housewares | $112,608 | |||||
Insurance — 5.5% | ||||||
4,600,000 | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | $ 5,645,028 | ||||
Total Insurance | $5,645,028 |
Principal Amount USD ($) | Value | |||||
Internet — 0.1% | ||||||
95,000 | Expedia Group, Inc., 6.25%, 5/1/25 (144A) | $ 98,539 | ||||
Total Internet | $98,539 | |||||
Iron & Steel — 2.7% | ||||||
845,000 | Carpenter Technology Corp., 7.625%, 3/15/30 | $ 769,381 | ||||
200,000 | Metinvest BV, 7.75%, 4/23/23 (144A) | 90,000 | ||||
1,345,000 | Metinvest BV, 7.75%, 10/17/29 (144A) | 524,550 | ||||
375,000 | Mineral Resources, Ltd., 8.00%, 11/1/27 (144A) | 381,009 | ||||
395,000 | Mineral Resources, Ltd., 8.50%, 5/1/30 (144A) | 399,938 | ||||
870,000 | TMS International Corp., 6.25%, 4/15/29 (144A) | 579,943 | ||||
Total Iron & Steel | $2,744,821 | |||||
Leisure Time — 1.0% | ||||||
100,000 | Carnival Corp., 7.625%, 3/1/26 (144A) | $ 86,025 | ||||
EUR130,000 | Carnival Corp., 7.625%, 3/1/26 (144A) | 116,056 | ||||
135,000 | Carnival Corp., 10.50%, 2/1/26 (144A) | 141,753 | ||||
170,000 | NCL Finance, Ltd., 6.125%, 3/15/28 (144A) | 131,415 | ||||
125,000 | Royal Caribbean Cruises, Ltd., 9.125%, 6/15/23 (144A) | 126,889 | ||||
178,000 | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25 (144A) | 190,672 | ||||
245,000 | Viking Cruises, Ltd., 6.25%, 5/15/25 (144A) | 219,275 | ||||
Total Leisure Time | $1,012,085 | |||||
Media — 1.5% | ||||||
225,000 | Audacy Capital Corp., 6.75%, 3/31/29 (144A) | $ 108,563 | ||||
1,660,000 | McGraw-Hill Education, Inc., 8.00%, 8/1/29 (144A) | 1,394,400 | ||||
25,000 | Univision Communications, Inc., 7.375%, 6/30/30 (144A) | 25,315 | ||||
Total Media | $1,528,278 | |||||
Metal Fabricate/Hardware — 0.3% | ||||||
385,000 | Park-Ohio Industries, Inc., 6.625%, 4/15/27 | $ 307,038 | ||||
Total Metal Fabricate/Hardware | $307,038 | |||||
Mining — 1.5% | ||||||
883,000 | Eldorado Gold Corp., 6.25%, 9/1/29 (144A) | $ 704,334 | ||||
500,000 | First Quantum Minerals, Ltd., 6.875%, 3/1/26 (144A) | 482,433 | ||||
400,000 | First Quantum Minerals, Ltd., 6.875%, 10/15/27 (144A) | 381,000 | ||||
Total Mining | $1,567,767 |
Principal Amount USD ($) | Value | |||||
Oil & Gas — 15.1% | ||||||
1,160,000 | Aethon United BR LP/Aethon United Finance Corp., 8.25%, 2/15/26 (144A) | $ 1,198,918 | ||||
1,685,000 | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | 1,716,593 | ||||
660,000 | Cenovus Energy, Inc., 6.75%, 11/15/39 | 732,450 | ||||
995,000 | Colgate Energy Partners III LLC, 7.75%, 2/15/26 (144A) | 976,180 | ||||
1,510,000 | Energean Plc, 6.50%, 4/30/27 (144A) | 1,329,114 | ||||
383,000 | International Petroleum Corp., 7.25%, 2/1/27 (144A) | 360,020 | ||||
405,000 | Kosmos Energy, Ltd., 7.75%, 5/1/27 (144A) | 342,355 | ||||
1,355,000 | MC Brazil Downstream Trading S.a.r.l, 7.25%, 6/30/31 (144A) | 1,085,369 | ||||
605,000 | Murphy Oil Corp., 6.375%, 7/15/28 | 603,893 | ||||
140,000 | Nabors Industries, Inc., 7.375%, 5/15/27 (144A) | 138,600 | ||||
515,000 | Nabors Industries, Ltd., 7.50%, 1/15/28 (144A) | 447,998 | ||||
603,000 | Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A) | 582,739 | ||||
955,000 | Occidental Petroleum Corp., 4.40%, 4/15/46 | 811,647 | ||||
674,000 | Petroleos Mexicanos, 6.70%, 2/16/32 | 539,874 | ||||
271,000 | Precision Drilling Corp., 6.875%, 1/15/29 (144A) | 242,730 | ||||
395,000 | Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A) | 308,100 | ||||
480,000 | Shelf Drilling Holdings, Ltd., 8.875%, 11/15/24 (144A) | 472,800 | ||||
900,000 | SierraCol Energy Andina LLC, 6.00%, 6/15/28 (144A) | 652,500 | ||||
860,000 | Strathcona Resources, Ltd., 6.875%, 8/1/26 (144A) | 789,480 | ||||
785,000 | Tullow Oil Plc, 10.25%, 5/15/26 (144A) | 734,956 | ||||
805,000 | Vermilion Energy, Inc., 6.875%, 5/1/30 (144A) | 776,728 | ||||
1,195,000 | YPF SA, 6.95%, 7/21/27 (144A) | 665,284 | ||||
Total Oil & Gas | $15,508,328 | |||||
Oil & Gas Services — 1.2% | ||||||
521,000 | Archrock Partners LP/Archrock Partners Finance Corp., 6.875%, 4/1/27 (144A) | $ 486,250 | ||||
750,000 | Exterran Energy Solutions LP/EES Finance Corp., 8.125%, 5/1/25 | 716,125 | ||||
Total Oil & Gas Services | $1,202,375 | |||||
Pharmaceuticals — 1.4% | ||||||
547,000 | Bausch Health Cos., Inc., 7.00%, 1/15/28 (144A) | $ 302,836 | ||||
234,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 7/31/27 (144A) | 56,160 |
Principal Amount USD ($) | Value | |||||
Pharmaceuticals — (continued) | ||||||
465,000 | P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (144A) | $ 311,550 | ||||
381,000 | Par Pharmaceutical, Inc., 7.50%, 4/1/27 (144A) | 307,021 | ||||
493,000 | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | 483,140 | ||||
Total Pharmaceuticals | $1,460,707 | |||||
Pipelines — 6.5% | ||||||
815,000 | Acu Petroleo Luxembourg S.a.r.l., 7.50%, 1/13/32 (144A) | $ 680,525 | ||||
230,000 | DCP Midstream Operating LP, 5.60%, 4/1/44 | 199,035 | ||||
555,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 6.75%, 5/15/25 | 528,637 | ||||
510,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.125%, 6/1/28 (144A) | 465,375 | ||||
450,000(a) | Energy Transfer LP, 5.80% (3 Month USD LIBOR + 302 bps), 11/1/66 | 313,875 | ||||
915,000(c)(g) | Energy Transfer LP, 7.125% (5 Year CMT Index + 531 bps) | 823,500 | ||||
118,000 | EnLink Midstream Partners LP, 5.05%, 4/1/45 | 86,996 | ||||
145,000 | EnLink Midstream Partners LP, 5.45%, 6/1/47 | 110,502 | ||||
344,000 | EnLink Midstream Partners LP, 5.60%, 4/1/44 | 267,561 | ||||
365,000 | Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 1/15/27 | 357,700 | ||||
197,000 | Global Partners LP/GLP Finance Corp., 7.00%, 8/1/27 | 180,139 | ||||
645,000 | Golar LNG, Ltd., 7.00%, 10/20/25 (144A) | 596,625 | ||||
845,000 | Harvest Midstream I LP, 7.50%, 9/1/28 (144A) | 807,245 | ||||
1,175,000 | Williams Cos., Inc., 5.75%, 6/24/44 | 1,209,383 | ||||
Total Pipelines | $6,627,098 | |||||
REITs — 1.0% | ||||||
890,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 1/15/30 (144A) | $ 635,527 | ||||
386,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/25 (144A) | 388,413 | ||||
10,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 2/15/29 (144A) | 7,698 | ||||
Total REITs | $1,031,638 | |||||
Retail — 1.3% | ||||||
575,000 | AAG FH LP/AAG FH Finco, Inc., 9.75%, 7/15/24 (144A) | $ 572,125 | ||||
245,000 | At Home Group, Inc., 7.125%, 7/15/29 (144A) | 163,172 |
Principal Amount USD ($) | Value | |||||
Retail — (continued) | ||||||
418,000 | Party City Holdings, Inc., 8.75%, 2/15/26 (144A) | $ 253,123 | ||||
389,000 | Staples, Inc., 7.50%, 4/15/26 (144A) | 344,265 | ||||
Total Retail | $1,332,685 | |||||
Software — 0.4% | ||||||
505,000 | Minerva Merger Sub, Inc., 6.50%, 2/15/30 (144A) | $ 457,025 | ||||
Total Software | $457,025 | |||||
Telecommunications — 6.1% | ||||||
695,000 | Altice France Holding SA, 6.00%, 2/15/28 (144A) | $ 536,491 | ||||
607,000 | Altice France Holding SA, 10.50%, 5/15/27 (144A) | 573,251 | ||||
200,000 | Altice France SA, 8.125%, 2/1/27 (144A) | 197,494 | ||||
56,934(h) | Digicel International Finance Ltd/Digicel international Holdings, Ltd., 13.00% (7.00% PIK or 6.00% Cash), 12/31/25 (144A) | 48,394 | ||||
750,000 | Digicel, Ltd., 6.75%, 3/1/23 | 482,617 | ||||
1,345,000 | Kenbourne Invest SA, 6.875%, 11/26/24 (144A) | 1,259,727 | ||||
740,000 | Maxar Technologies, Inc., 7.75%, 6/15/27 (144A) | 757,419 | ||||
850,000 | Sprint Corp., 7.625%, 3/1/26 | 926,601 | ||||
850,000 | Total Play Telecomunicaciones SA de CV, 6.375%, 9/20/28 (144A) | 665,788 | ||||
875,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28 (144A) | 783,475 | ||||
Total Telecommunications | $6,231,257 | |||||
Transportation — 3.2% | ||||||
1,245,000 | Carriage Purchaser, Inc., 7.875%, 10/15/29 (144A) | $ 867,321 | ||||
655,000 | Danaos Corp., 8.50%, 3/1/28 (144A) | 654,707 | ||||
400,000 | Simpar Europe SA, 5.20%, 1/26/31 (144A) | 336,000 | ||||
575,000 | Watco Cos. LLC/Watco Finance Corp., 6.50%, 6/15/27 (144A) | 550,379 | ||||
965,000 | Western Global Airlines LLC, 10.375%, 8/15/25 (144A) | 902,024 | ||||
Total Transportation | $3,310,431 | |||||
Trucking & Leasing — 0.3% | ||||||
325,000 | Fortress Transportation and Infrastructure Investors LLC, 9.75%, 8/1/27 (144A) | $ 328,123 | ||||
Total Trucking & Leasing | $328,123 | |||||
Total Corporate Bonds (Cost $107,465,464) | $95,607,759 | |||||
Shares | Value | |||||
Preferred Stock — 0.6% of Net Assets | ||||||
Diversified Financial Services — 0.5% | ||||||
500(c)(g) | Compeer Financial ACA, 6.75% (3 Month USD LIBOR + 458 bps) (144A) | $ 510,000 | ||||
Total Diversified Financial Services | $510,000 | |||||
Internet — 0.1% | ||||||
50,188 | MYT Holding LLC, 10.00%, 6/6/29 | $ 55,709 | ||||
Total Internet | $55,709 | |||||
Total Preferred Stock (Cost $591,625) | $565,709 | |||||
Right/Warrant — 0.0%† of Net Assets | ||||||
Aerospace & Defense — 0.0%† | ||||||
6,475(b) | Avation Plc, 1/1/59 | $ — | ||||
Total Aerospace & Defense | $— | |||||
Total Right/Warrant (Cost $—) | $— | |||||
Principal Amount USD ($) | ||||||
Insurance-Linked Securities — 21.1% of Net Assets# | ||||||
Event Linked Bonds — 6.9% | ||||||
Inland Flood – U.S. — 0.5% | ||||||
250,000(a) | FloodSmart Re, 13.721%, (3 Month U.S. Treasury Bill + 1,125 bps), 2/25/25 (144A) | $ 239,800 | ||||
250,000(a) | FloodSmart Re, 15.897%, (3 Month U.S. Treasury Bill + 1,358 bps), 3/1/24 (144A) | 226,650 | ||||
$466,450 | ||||||
Multiperil – U.S. — 1.9% | ||||||
400,000(a) | Caelus Re V, 2.571%, (1 Month U.S. Treasury Bill + 10 bps), 6/5/24 (144A) | $ 20,000 | ||||
375,000(a) | Caelus Re V, 2.571%, (1 Month U.S. Treasury Bill + 10 bps), 6/5/24 (144A) | 33 | ||||
250,000(a) | Caelus Re V, 2.571%, (3 Month U.S. Treasury Bill + 10 bps), 6/9/25 (144A) | 25 | ||||
250,000(a) | Four Lakes Re, 9.617%, (3 Month U.S. Treasury Bill + 700 bps), 1/5/24 (144A) | 246,675 | ||||
250,000(a) | Four Lakes Re, 12.477%, (3 Month U.S. Treasury Bill + 1,106 bps), 1/5/24 (144A) | 246,650 | ||||
500,000(a) | Matterhorn Re, 9.757%, (SOFR + 775 bps), 3/24/25 (144A) | 482,700 |
Principal Amount USD ($) | Value | |||||
Multiperil – U.S. — (continued) | ||||||
250,000(a) | Residential Reinsurance 2018 Re, 14.281%, (3 Month U.S. Treasury Bill + 1,181 bps), 12/6/22 (144A) | $ 240,350 | ||||
250,000(a) | Residential Reinsurance 2019 Re, 14.861%, (3 Month U.S. Treasury Bill + 1,239 bps), 12/6/23 (144A) | 237,800 | ||||
500,000(a) | Residential Reinsurance 2021 Re, 14.227%, (3 Month U.S. Treasury Bill + 1,175 bps), 12/6/25 (144A) | 480,750 | ||||
$1,954,983 | ||||||
Multiperil – U.S. & Canada — 3.1% | ||||||
250,000(a) | Hypatia, Ltd., 9.796%, (3 Month U.S. Treasury Bill + 728 bps), 6/7/23 (144A) | $ 247,550 | ||||
750,000(a) | Hypatia, Ltd., 12.746%, (3 Month U.S. Treasury Bill + 1,038 bps), 6/7/23 (144A) | 741,450 | ||||
250,000(a) | Kilimanjaro III Re, 13.567%, (3 Month U.S. Treasury Bill + 1,125 bps), 4/21/25 (144A) | 238,500 | ||||
250,000(a) | Kilimanjaro III Re, 13.567%, (3 Month U.S. Treasury Bill + 1,125 bps), 4/20/26 (144A) | 239,350 | ||||
250,000(a) | Matterhorn Re, 7.517%, (SOFR + 575 bps), 12/8/25 (144A) | 239,625 | ||||
750,000(a) | Mona Lisa Re, 10.471%, (3 Month U.S. Treasury Bill + 800 bps), 1/9/23 (144A) | 733,275 | ||||
250,000(a) | Mystic Re IV, 8.127%, (3 Month U.S. Treasury Bill + 581 bps), 1/8/25 (144A) | 239,750 | ||||
500,000(a) | Mystic Re IV, 11.69%, (3 Month U.S. Treasury Bill + 1,169 bps), 1/8/25 (144A) | 474,800 | ||||
$3,154,300 | ||||||
Pandemic – U.S — 0.2% | ||||||
250,000(a) | Vitality Re XI, 4.117%, (3 Month U.S. Treasury Bill + 180 bps), 1/9/24 (144A) | $ 243,925 | ||||
Windstorm – Florida — 0.2% | ||||||
250,000(a) | Integrity Re, 9.471%, (3 Month U.S. Treasury Bill + 700 bps), 6/6/25 (144A) | $ 245,900 | ||||
Windstorm - Jamaica — 0.2% | ||||||
250,000(a) | International Bank for Reconstruction & Development, 6.596%, (SOFRINDX + 445 bps), 12/29/23 (144A) | $ 244,350 | ||||
Windstorm - North Carolina — 0.5% | ||||||
250,000(a) | Cape Lookout Re, 5.537%, (1 Month U.S. Treasury Bill + 325 bps), 3/22/24 (144A) | $ 245,750 | ||||
250,000(a) | Cape Lookout Re, 7.471%, (3 Month U.S. Treasury Bill + 500 bps), 3/28/25 (144A) | 247,400 | ||||
$493,150 |
Principal Amount USD ($) | Value | |||||
Windstorm - Texas — 0.3% | ||||||
250,000(a) | Alamo Re II, 7.991%, (1 Month U.S. Treasury Bill + 552 bps), 6/8/23 (144A) | $ 246,125 | ||||
Total Event Linked Bonds | $7,049,183 |
Face Amount USD ($) | ||||||
Collateralized Reinsurance — 3.9% | ||||||
Multiperil – Massachusetts — 0.2% | ||||||
250,000(j)+ | Portsalon Re 2022, 5/31/28 | $ 209,912 | ||||
Multiperil – U.S. — 0.9% | ||||||
250,000(b)(j)+ | Ballybunion Re 2020, 2/28/23 | $ 28,244 | ||||
500,000(b)(j)+ | Ballybunion Re 2021-2, 6/30/25 | 525,000 | ||||
100,000(b)(j)+ | Ballybunion Re 2021-3, 7/31/25 | 102,370 | ||||
264,839(j)+ | Ballybunion Re 2022, 12/31/27 | 267,487 | ||||
$923,101 | ||||||
Multiperil – Worldwide — 1.6% | ||||||
250,000(b)(j)+ | Amaranth Re 2022, 12/31/27 | $ 237,783 | ||||
250,000(j)+ | Aureolin Re 2022, 3/31/28 | 232,925 | ||||
650,000(b)(j)+ | Cypress Re 2017, 1/31/23 | 65 | ||||
462,683(b)(j)+ | Dartmouth Re 2018, 1/31/23 | 82,739 | ||||
100,000(b)(j)+ | Dartmouth Re 2021, 12/31/24 | 56,920 | ||||
250,000(j)+ | Gamboge Re 2022, 3/31/28 | 233,142 | ||||
27,000(b)(j)+ | Limestone Re, 3/1/23 (144A) | — | ||||
250,000(b)(j)+ | Merion Re 2022-1, 12/31/27 | 231,010 | ||||
250,000(b)(j)+ | Old Head Re 2022, 12/31/27 | 223,818 | ||||
333,342(b)(j)+ | Oyster Bay Re 2018, 1/31/23 | 41,039 | ||||
700,000(b)(j)+ | Resilience Re, 5/1/23 | — | ||||
250,000(b)(j)+ | Walton Health Re 2019, 6/30/23 | 137,597 | ||||
250,000(j)+ | Walton Health Re 2022, 12/15/27 | 215,123 | ||||
$1,692,161 | ||||||
Windstorm – Florida — 0.5% | ||||||
750,000(b)(j)+ | Portrush Re 2017, 6/15/23 | $ 478,575 | ||||
Windstorm – U.S. Multistate — 0.0%† | ||||||
250,000(b)(j)+ | White Heron Re 2021, 6/30/25 | $ 5,350 |
Face Amount USD ($) | Value | |||||
Windstorm – U.S. Regional — 0.7% | ||||||
1,015,734(b)(j)+ | Oakmont Re 2020, 4/30/24 | $ 37,915 | ||||
750,000(j)+ | Oakmont Re 2022, 4/1/28 | 709,986 | ||||
$747,901 | ||||||
Total Collateralized Reinsurance | $4,057,000 | |||||
Reinsurance Sidecars — 9.4% | ||||||
Multiperil – U.S. — 0.3% | ||||||
250,000(b)(j)+ | Carnoustie Re 2020, 12/31/23 | $ 33,900 | ||||
231,715(b)(j)+ | Carnoustie Re 2021, 12/31/24 | 10,983 | ||||
223,952(b)(j)+ | Carnoustie Re 2022, 12/31/27 | 235,084 | ||||
1,000,000(b)(k)+ | Harambee Re 2018, 12/31/22 | — | ||||
1,000,000(k)+ | Harambee Re 2019, 12/31/22 | 500 | ||||
500,000(b)(k)+ | Harambee Re 2020, 12/31/23 | 8,950 | ||||
$289,417 | ||||||
Multiperil – U.S. Regional — 0.0%† | ||||||
250,000(b)(j)+^ | Brotherhood Re, 1/31/23 | $ — | ||||
Multiperil – Worldwide — 9.1% | ||||||
3,037(k)+ | Alturas Re 2019-2, 3/10/23 | $ 1,030 | ||||
24,550(k)+ | Alturas Re 2019-3, 9/12/23 | 679 | ||||
60,078(k)+ | Alturas Re 2020-2, 3/10/23 | 16,969 | ||||
225,450(b)(k)+ | Alturas Re 2020-3, 9/30/24 | — | ||||
439,922(b)(k)+ | Alturas Re 2021-2, 12/31/24 | — | ||||
213,682(b)(k)+ | Alturas Re 2021-3, 7/31/25 | 197,015 | ||||
416,933(b)(k)+ | Alturas Re 2022-2, 12/31/27 | 427,315 | ||||
492,000(b)(j)+ | Bantry Re 2019, 12/31/22 | 16,710 | ||||
470,033(b)(j)+ | Bantry Re 2020, 12/31/23 | 30,589 | ||||
500,000(b)(j)+ | Bantry Re 2021, 12/31/24 | 64,975 | ||||
417,157(j)+ | Bantry Re 2022, 12/31/27 | 433,834 | ||||
1,579,039(b)(j)+ | Berwick Re 2018-1, 12/31/22 | 122,060 | ||||
1,128,124(b)(j)+ | Berwick Re 2019-1, 12/31/22 | 134,811 | ||||
993,323(j)+ | Berwick Re 2020-1, 12/31/23 | 99 | ||||
750,000(b)(j)+ | Berwick Re 2022, 12/31/27 | 775,751 | ||||
7,125(j)+ | Eden Re II, 3/22/23 (144A) | 18,117 | ||||
70,000(b)(j)+ | Eden Re II, 3/22/24 (144A) | 38,080 | ||||
180,000(b)(j)+ | Eden Re II, 3/21/25 (144A) | 149,400 | ||||
400,000(b)(j)+ | Eden Re II, 3/20/26 (144A) | 400,000 | ||||
250,000(b)(j)+ | Gleneagles Re 2018, 12/31/22 | 29,575 | ||||
243,580(b)(j)+ | Gleneagles Re 2020, 12/31/23 | 24,344 | ||||
250,000(b)(j)+ | Gleneagles Re 2021, 12/31/24 | 55,571 | ||||
250,000(b)(j)+ | Gleneagles Re 2022, 12/31/27 | 256,853 | ||||
1,059,157(b)(j)+ | Gullane Re 2018, 12/31/22 | 65,567 |
Face Amount USD ($) | Value | |||||
Multiperil – Worldwide — (continued) | ||||||
793,800(j)+ | Gullane Re 2022, 12/31/27 | $ 861,476 | ||||
250,000(k)+ | Lion Rock Re 2020, 1/31/23 | — | ||||
250,000(b)(k)+ | Lion Rock Re 2021, 12/31/24 | 107,125 | ||||
498,977(b)(k)+ | Lorenz Re 2019, 6/30/23 | 57,881 | ||||
63,338(b)(k)+ | Lorenz Re 2020, 6/30/23 | 4,339 | ||||
336,662(b)(k)+ | Lorenz Re 2020, 6/30/23 | 23,095 | ||||
500,000(b)(j)+ | Merion Re 2018-2, 12/31/22 | 82,750 | ||||
500,000(b)(j)+ | Merion Re 2021-2, 12/31/24 | 108,550 | ||||
363,953(j)+ | Merion Re 2022-2, 12/31/27 | 368,850 | ||||
1,000,000(b)(j)+ | Pangaea Re 2018-1, 12/31/22 | 21,054 | ||||
1,000,000(b)(j)+ | Pangaea Re 2018-3, 7/1/23 | 20,743 | ||||
819,247(b)(j)+ | Pangaea Re 2019-1, 2/1/23 | 17,071 | ||||
735,313(b)(j)+ | Pangaea Re 2019-3, 7/1/23 | 26,450 | ||||
810,646(j)+ | Pangaea Re 2020-1, 2/1/24 | 17,203 | ||||
620,500(b)(j)+ | Pangaea Re 2020-3, 7/1/24 | 8,735 | ||||
790,000(b)(j)+ | Pangaea Re 2021-1, 12/31/24 | 22,792 | ||||
746,905(b)(j)+ | Pangaea Re 2022-1, 12/31/27 | 792,840 | ||||
250,000(j)+ | Pangaea Re 2022-3, 5/31/28 | 254,632 | ||||
250,000(b)(j)+ | Phoenix One Re, 1/4/27 (144A) | 274,675 | ||||
200,000(b)(j)+ | Sector Re V, 3/1/24 (144A) | 150,180 | ||||
25,000(b)(j)+ | Sector Re V, 12/1/24 (144A) | 71,213 | ||||
499(b)(j)+ | Sector Re V, 12/1/25 (144A) | 25,092 | ||||
750,000(a)(j)+ | Sector Re V, 2.471%, (3 Month U.S. Treasury Bill + 0 bps), 12/1/26 (144A) | 776,136 | ||||
225,000(a)(j)+ | Sector Re V, 2.471%, (3 Month U.S. Treasury Bill + 0 bps), 12/1/26 (144A) | 232,841 | ||||
515,671(j)+ | Sussex Re 2020-1, 12/31/22 | 3,816 | ||||
250,000(b)(j)+ | Sussex Re 2021-1, 12/31/24 | 24,675 | ||||
500,000(b)(j)+ | Sussex Re 2022, 12/31/27 | 530,000 | ||||
313,499(b)(k)+ | Thopas Re 2019, 12/31/22 | 502 | ||||
300,000(b)(k)+ | Thopas Re 2020, 12/31/23 | — | ||||
250,000(b)(k)+ | Thopas Re 2021, 12/31/24 | — | ||||
250,000(k)+ | Thopas Re 2022, 12/31/27 | 261,725 | ||||
375,860(b)(k)+ | Torricelli Re 2021, 7/31/25 | 383,340 | ||||
158,212(k)+ | Torricelli Re 2022, 6/30/28 | 158,212 | ||||
500,000(b)(j)+ | Versutus Re 2018, 12/31/22 | 550 | ||||
441,274(b)(j)+ | Versutus Re 2019-A, 12/31/22 | 1,897 | ||||
58,727(b)(j)+ | Versutus Re 2019-B, 12/31/22 | 176 | ||||
500,000(b)(k)+ | Viribus Re 2018, 12/31/22 | — | ||||
212,306(b)(k)+ | Viribus Re 2019, 12/31/22 | 1,911 | ||||
240,783(b)(k)+ | Viribus Re 2020, 12/31/23 | 10,594 | ||||
221,888(k)+ | Viribus Re 2022, 12/31/27 | 254,395 |
Face Amount USD ($) | Value | ||||||
Multiperil – Worldwide — (continued) | |||||||
507,289(b)(j)+ | Woburn Re 2018, 12/31/22 | $ 26,675 | |||||
499,829(b)(j)+ | Woburn Re 2019, 12/31/22 | 106,587 | |||||
$9,350,122 | |||||||
Total Reinsurance Sidecars | $9,639,539 | ||||||
Industry Loss Warranties — 0.9% | |||||||
Windstorm – U.S — 0.2% | |||||||
250,000(j)+ | Ballylifin Re 2022, 5/31/28 | $ 211,888 | |||||
Windstorm – U.S. Regional — 0.7% | |||||||
250,000(j)+ | Streamsong Re 2022, 12/15/27 | $ 234,347 | |||||
500,000(j)+ | Flavescent Re 2022, 11/30/27 | 451,250 | |||||
$685,597 | |||||||
Total Industry Loss Warranties | $897,485 | ||||||
Total Insurance-Linked Securities (Cost $23,181,106) | $21,643,207 | ||||||
Principal Amount USD ($) | ||||||
Foreign Government Bonds — 2.9% of Net Assets | ||||||
Angola — 0.4% | ||||||
448,000 | Angolan Government International Bond, 8.250%, 5/9/28 (144A) | $ 375,254 | ||||
Total Angola | $375,254 | |||||
Gabon — 0.3% | ||||||
475,000 | Gabon Government International Bond, 7.000%, 11/24/31 (144A) | $ 337,203 | ||||
Total Gabon | $337,203 | |||||
Ghana — 0.3% | ||||||
320,000 | Ghana Government International Bond, 7.875%, 2/11/35 (144A) | $ 139,731 | ||||
500,000 | Ghana Government International Bond, 8.627%, 6/16/49 | 217,500 | ||||
Total Ghana | $357,231 | |||||
Mexico — 0.9% | ||||||
MXN18,385,500 | Mexican Bonos, 8.000%, 12/7/23 | $ 884,773 | ||||
Total Mexico | $884,773 |
Principal Amount USD ($) | Value | |||||
Nigeria — 0.8% | ||||||
675,000 | Nigeria Government International Bond, 7.375%, 9/28/33 (144A) | $ 447,201 | ||||
530,000 | Nigeria Government International Bond, 8.375%, 3/24/29 (144A) | 410,209 | ||||
Total Nigeria | $857,410 | |||||
Ukraine — 0.2% | ||||||
750,000 | Ukraine Government International Bond, 8.994%, 2/1/24 (144A) | $ 161,250 | ||||
Total Ukraine | $161,250 | |||||
Total Foreign Government Bonds (Cost $4,670,524) | $2,973,121 | |||||
Shares | ||||||
SHORT TERM INVESTMENTS — 0.5% of Net Assets | ||||||
Open-End Fund — 0.5% | ||||||
508,756(l) | Dreyfus Government Cash Management, Institutional Shares, 1.83% | $ 508,756 | ||||
$508,756 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $508,756) | $508,756 |
Number of Contracts | Description | Counterparty | Amount | Strike Price | Expiration Date | |
Over The Counter (OTC) Call Option Purchased — 0.0%† | ||||||
18,332(m)^ | Desarrolladora Homex SAB de CV | Bank of New York Mellon Corp. | MXN — | MXN 0.01(n) | 10/23/22 | $— |
18,332(o)^ | Desarrolladora Homex SAB de CV | Bank of New York Mellon Corp. | MXN — | MXN 0.01(n) | 10/23/22 | — |
Total Over The Counter (OTC) Call Option Purchased (Premiums paid $ 0) | $— | |||||
Number of Contracts | Description | Counterparty | Amount | Strike Price | Expiration Date | Value |
Over The Counter (OTC) Currency Put Option Purchased — 0.2% | ||||||
1,700,000 | Put EUR Call USD | Bank of America NA | EUR 26,125 | EUR 1.15 | 10/19/22 | $198,388 |
1,450,000 | Put EUR Call USD | JPMorgan Chase Bank NA | EUR 24,280 | EUR 0.99 | 1/23/23 | 21,050 |
Total Over The Counter (OTC) Currency Put Option Purchased (Premiums paid $ 50,405) | $219,438 | |||||
TOTAL OPTIONS PURCHASED (Premiums paid $ 50,405) | $219,438 | |||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS — 141.5% (Cost $162,133,562) | $145,103,401 | |||||
Over The Counter (OTC) Currency Call Option Written — (0.0%)† | ||||||
1,700,000 | Call EUR Put USD | Bank of America NA | EUR 26,125 | EUR 1.20 | 10/19/22 | $(10) |
1,450,000 | Call EUR Put USD | JPMorgan Chase Bank NA | EUR 24,280 | EUR 1.07 | 1/23/23 | (23,297) |
Total Over The Counter (OTC) Currency Call Option Written (Premiums received $(50,405)) | $(23,307) | |||||
OTHER ASSETS AND LIABILITIES — (41.5)% | $(42,545,673) | |||||
net assets — 100.0% | $102,534,421 | |||||
bps | Basis Points. |
CMT | Constant Maturity Treasury Index. |
FREMF | Freddie Mac Multifamily Fixed-Rate Mortgage Loans. |
FRESB | Freddie Mac Multifamily Small Balance Certificates. |
LIBOR | London Interbank Offered Rate. |
REIT | Real Estate Investment Trust. |
SOFR | Secured Overnight Financing Rate. |
SOFR30A | Secured Overnight Financing Rate 30 Day Average. |
(144A) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At July 31, 2022, the value of these securities amounted to $110,150,685, or 107.4% of net assets. |
(a) | Floating rate note. Coupon rate, reference index and spread shown at July 31, 2022. |
(b) | Non-income producing security. |
(c) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at July 31, 2022. |
(d) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(e) | Security represents the interest-only portion payments on a pool of underlying mortgages or mortgage-backed securities. |
(f) | Security is priced as a unit. |
(g) | Security is perpetual in nature and has no stated maturity date. |
(h) | Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount. |
(i) | Security is in default. |
(j) | Issued as participation notes. |
(k) | Issued as preference shares. |
(l) | Rate periodically changes. Rate disclosed is the 7-day yield at July 31, 2022. |
(m) | Option does not become effective until underlying company’s outstanding common shares reach a market capitalization of MXN 12.5 billion. |
(n) | Strike price is 1 Mexican Peso (MXN). |
(o) | Option does not become effective until underlying company’s outstanding common shares reach a market capitalization of MXN 15.5 billion. |
* | 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, (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 July 31, 2022. |
† | Amount rounds to less than 0.1%. |
+ | Security that used significant unobservable inputs to determine its value. |
^ | Security is valued using fair value methods (other than prices supplied by independent pricing services or broker dealers). |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
Alamo Re II | 5/29/2020 | $250,000 | $246,125 |
Alturas Re 2019-2 | 12/19/2018 | 3,037 | 1,030 |
Alturas Re 2019-3 | 6/26/2019 | 24,550 | 679 |
Alturas Re 2020-2 | 1/1/2020 | 60,078 | 16,969 |
Alturas Re 2020-3 | 8/3/2020 | — | — |
Alturas Re 2021-2 | 2/16/2021 | 22,989 | — |
Alturas Re 2021-3 | 8/16/2021 | 213,682 | 197,015 |
Alturas Re 2022-2 | 1/18/2022 | 416,933 | 427,315 |
Amaranth Re 2022 | 1/21/2022 | 221,062 | 237,783 |
Aureolin Re 2022 | 5/5/2022 | 224,500 | 232,925 |
Ballybunion Re 2020 | 12/31/2019 | 17,156 | 28,244 |
Ballybunion Re 2021-2 | 8/2/2021 | 500,000 | 525,000 |
Ballybunion Re 2021-3 | 8/2/2021 | 100,000 | 102,370 |
Ballybunion Re 2022 | 3/9/2022 | 264,839 | 267,487 |
Ballylifin Re 2022 | 7/15/2022 | 203,625 | 211,888 |
Restricted Securities | Acquisition date | Cost | Value |
Bantry Re 2019 | 2/1/2019 | $— | $16,710 |
Bantry Re 2020 | 2/4/2020 | — | 30,589 |
Bantry Re 2021 | 1/11/2021 | 72,117 | 64,975 |
Bantry Re 2022 | 2/2/2022 | 417,157 | 433,834 |
Berwick Re 2018-1 | 1/10/2018 | 230,646 | 122,060 |
Berwick Re 2019-1 | 12/31/2018 | 134,801 | 134,811 |
Berwick Re 2020-1 | 9/24/2020 | — | 99 |
Berwick Re 2022 | 12/31/2021 | 750,000 | 775,751 |
Brotherhood Re | 1/22/2018 | 40,341 | — |
Caelus Re V | 4/27/2017 | 400,000 | 20,000 |
Caelus Re V | 4/27/2017 | 375,000 | 33 |
Caelus Re V | 5/4/2018 | 250,000 | 25 |
Cape Lookout Re | 3/9/2021 | 250,000 | 245,750 |
Cape Lookout Re | 3/16/2022 | 250,000 | 247,400 |
Carnoustie Re 2020 | 7/16/2020 | 11,377 | 33,900 |
Carnoustie Re 2021 | 1/25/2021 | 7,764 | 10,983 |
Carnoustie Re 2022 | 1/20/2022 | 223,952 | 235,084 |
Cypress Re 2017 | 1/24/2017 | 2,185 | 65 |
Dartmouth Re 2018 | 1/18/2018 | 173,152 | 82,739 |
Dartmouth Re 2021 | 1/19/2021 | 37,395 | 56,920 |
Eden Re II | 1/22/2019 | 836 | 18,117 |
Eden Re II | 12/23/2019 | 66,962 | 38,080 |
Eden Re II | 1/25/2021 | 180,000 | 149,400 |
Eden Re II | 1/21/2022 | 400,000 | 400,000 |
Flavescent Re 2022 | 7/26/2022 | 451,250 | 451,250 |
FloodSmart Re | 2/8/2022 | 247,419 | 226,650 |
FloodSmart Re | 2/14/2022 | 250,000 | 239,800 |
Four Lakes Re | 11/5/2020 | 250,000 | 246,675 |
Four Lakes Re | 11/5/2020 | 250,000 | 246,650 |
Gamboge Re 2022 | 4/11/2022 | 224,823 | 233,142 |
Gleneagles Re 2018 | 1/11/2018 | 20,068 | 29,575 |
Gleneagles Re 2020 | 6/24/2020 | 1,917 | 24,344 |
Gleneagles Re 2021 | 1/13/2021 | 60,146 | 55,571 |
Gleneagles Re 2022 | 1/18/2022 | 250,000 | 256,853 |
Gullane Re 2018 | 3/26/2018 | — | 65,567 |
Gullane Re 2022 | 2/17/2022 | 793,800 | 861,476 |
Harambee Re 2018 | 12/19/2017 | 21,232 | — |
Harambee Re 2019 | 12/20/2018 | — | 500 |
Harambee Re 2020 | 2/27/2020 | — | 8,950 |
Hypatia, Ltd. | 4/9/2021 | 254,915 | 247,550 |
Hypatia, Ltd. | 7/10/2020 | 763,519 | 741,450 |
Integrity Re | 5/9/2022 | 250,000 | 245,900 |
International Bank for Reconstruction & Development | 7/19/2021 | 250,000 | 244,350 |
Restricted Securities | Acquisition date | Cost | Value |
Kilimanjaro III Re | 4/8/2021 | $250,000 | $238,500 |
Kilimanjaro III Re | 4/8/2021 | 250,000 | 239,350 |
Limestone Re | 6/20/2018 | 230 | — |
Lion Rock Re 2020 | 12/30/2019 | — | — |
Lion Rock Re 2021 | 3/1/2021 | 161,914 | 107,125 |
Lorenz Re 2019 | 6/26/2019 | 156,459 | 57,881 |
Lorenz Re 2020 | 8/11/2020 | 3,822 | 4,339 |
Lorenz Re 2020 | 8/12/2020 | 20,317 | 23,095 |
Matterhorn Re | 12/15/2021 | 250,000 | 239,625 |
Matterhorn Re | 3/10/2022 | 500,000 | 482,700 |
Merion Re 2018-2 | 12/28/2017 | 20,576 | 82,750 |
Merion Re 2021-2 | 12/28/2020 | 136,047 | 108,550 |
Merion Re 2022-1 | 1/25/2022 | 214,942 | 231,010 |
Merion Re 2022-2 | 3/1/2022 | 363,953 | 368,850 |
Mona Lisa Re | 12/30/2019 | 751,000 | 733,275 |
Mystic Re IV | 10/26/2021 | 248,729 | 239,750 |
Mystic Re IV | 6/9/2021 | 500,000 | 474,800 |
Oakmont Re 2020 | 12/3/2020 | 9,584 | 37,915 |
Oakmont Re 2022 | 5/9/2022 | 679,940 | 709,986 |
Old Head Re 2022 | 1/6/2022 | 188,288 | 223,818 |
Oyster Bay Re 2018 | 1/17/2018 | 36,022 | 41,039 |
Pangaea Re 2018-1 | 1/11/2018 | 143,008 | 21,054 |
Pangaea Re 2018-3 | 5/31/2018 | 240,861 | 20,743 |
Pangaea Re 2019-1 | 1/9/2019 | 8,601 | 17,071 |
Pangaea Re 2019-3 | 7/25/2019 | 22,059 | 26,450 |
Pangaea Re 2020-1 | 1/21/2020 | — | 17,203 |
Pangaea Re 2020-3 | 9/15/2020 | — | 8,735 |
Pangaea Re 2021-1 | 1/28/2021 | 43,095 | 22,792 |
Pangaea Re 2022-1 | 1/11/2022 | 746,905 | 792,840 |
Pangaea Re 2022-3 | 6/15/2022 | 250,000 | 254,632 |
Phoenix One Re | 12/21/2020 | 250,000 | 274,675 |
Portrush Re 2017 | 6/12/2017 | 575,239 | 478,575 |
Portsalon Re 2022 | 7/15/2022 | 202,159 | 209,912 |
Residential Reinsurance 2018 Re | 11/15/2018 | 250,000 | 240,350 |
Residential Reinsurance 2019 Re | 11/5/2019 | 250,000 | 237,800 |
Residential Reinsurance 2021 Re | 10/28/2021 | 500,000 | 480,750 |
Resilience Re | 2/8/2017 | 338 | — |
Sector Re V | 4/23/2019 | 200,000 | 150,180 |
Sector Re V | 12/4/2019 | 25,000 | 71,213 |
Sector Re V | 12/21/2020 | 499 | 25,092 |
Sector Re V | 12/6/2021 | 750,000 | 776,136 |
Sector Re V | 1/5/2022 | 225,000 | 232,841 |
Streamsong Re 2022 | 6/9/2022 | 230,937 | 234,347 |
Sussex Re 2020-1 | 1/21/2020 | — | 3,816 |
Restricted Securities | Acquisition date | Cost | Value |
Sussex Re 2021-1 | 1/26/2021 | $25,674 | $24,675 |
Sussex Re 2022 | 1/5/2022 | 500,000 | 530,000 |
Thopas Re 2019 | 2/13/2019 | — | 502 |
Thopas Re 2020 | 12/30/2019 | — | — |
Thopas Re 2021 | 1/22/2021 | — | — |
Thopas Re 2022 | 2/15/2022 | 250,000 | 261,725 |
Torricelli Re 2021 | 7/2/2021 | 375,860 | 383,340 |
Torricelli Re 2022 | 7/26/2022 | 158,212 | 158,212 |
Versutus Re 2018 | 12/20/2017 | — | 550 |
Versutus Re 2019-A | 1/28/2019 | — | 1,897 |
Versutus Re 2019-B | 12/24/2018 | — | 176 |
Viribus Re 2018 | 12/22/2017 | 35,793 | — |
Viribus Re 2019 | 3/25/2019 | — | 1,911 |
Viribus Re 2020 | 3/12/2020 | 24,541 | 10,594 |
Viribus Re 2022 | 4/18/2022 | 221,888 | 254,395 |
Vitality Re XI | 1/23/2020 | 250,000 | 243,925 |
Walton Health Re 2019 | 7/18/2019 | 81,749 | 137,597 |
Walton Health Re 2022 | 7/13/2022 | 208,375 | 215,123 |
White Heron Re 2021 | 6/9/2021 | — | 5,350 |
Woburn Re 2018 | 3/20/2018 | 168,958 | 26,675 |
Woburn Re 2019 | 1/30/2019 | 89,307 | 106,587 |
Total Restricted Securities | $21,643,207 | ||
% of Net assets | 21.1% |
Currency Purchased | In Exchange for | Currency Sold | Deliver | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
EUR | 3,445,000 | USD | 3,662,896 | Brown Brothers Harriman & Co. | 9/23/22 | $(128,110) |
USD | 635,134 | EUR | 589,000 | Goldman Sachs & Co. | 8/26/22 | 31,986 |
USD | 865,458 | GBP | 706,000 | Goldman Sachs & Co. | 9/23/22 | 4,589 |
USD | 1,377,594 | EUR | 1,335,000 | State Street Bank & Trust Co. | 10/27/22 | 4,168 |
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | $(87,367) |
EUR | — Euro |
GBP | — Great British Pound |
IDR | — Indonesian Rupiah |
MXN | — Mexican Peso |
USD | — United States Dollar |
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.). |
Level 3 | – | significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments). |
Level 1 | Level 2 | Level 3 | Total | |
Senior Secured Floating Rate Loan Interests | $— | $3,413,401 | $— | $3,413,401 |
Common Stocks | ||||
Oil, Gas & Consumable Fuels | 85,390 | 93,000 | — | 178,390 |
Specialty Retail | — | — | 51,768 | 51,768 |
All Other Common Stocks | 234,855 | — | — | 234,855 |
Asset Backed Securities | — | 3,398,192 | — | 3,398,192 |
Collateralized Mortgage Obligations | — | 2,437,148 | — | 2,437,148 |
Commercial Mortgage-Backed Securities | — | 11,477,087 | — | 11,477,087 |
Convertible Corporate Bonds | — | 2,394,570 | — | 2,394,570 |
Corporate Bonds | — | 95,607,759 | — | 95,607,759 |
Preferred Stock | 565,709 | — | — | 565,709 |
Right/Warrant | — | — | — | — |
Insurance-Linked Securities | ||||
Collateralized Reinsurance | ||||
Multiperil – Massachusetts | — | — | 209,912 | 209,912 |
Multiperil – U.S. | — | — | 923,101 | 923,101 |
Multiperil – Worldwide | — | — | 1,692,161 | 1,692,161 |
Windstorm – Florida | — | — | 478,575 | 478,575 |
Windstorm – U.S. Multistate | — | — | 5,350 | 5,350 |
Windstorm – U.S. Regional | — | — | 747,901 | 747,901 |
Reinsurance Sidecars | ||||
Multiperil – U.S. | — | — | 289,417 | 289,417 |
Multiperil – U.S. Regional | — | — | — | — |
Multiperil – Worldwide | — | — | 9,350,122 | 9,350,122 |
Industry Loss Warranties | ||||
Windstorm – U.S | — | — | 211,888 | 211,888 |
Windstorm – U.S. Regional | — | — | 685,597 | 685,597 |
All Other Insurance-Linked Securities | — | 7,049,183 | — | 7,049,183 |
Foreign Government Bonds | — | 2,973,121 | — | 2,973,121 |
Open-End Fund | 508,756 | — | — | 508,756 |
Level 1 | Level 2 | Level 3 | Total | |
Over The Counter (OTC) Call Option Purchased | $— | $—* | $— | $—* |
Over The Counter (OTC) Currency Put Option Purchased | — | 219,438 | — | 219,438 |
Total Investments in Securities | $1,394,710 | $129,062,899 | $14,645,792 | $145,103,401 |
Other Financial Instruments | ||||
Credit Agreement(a) | $— | $(46,575,000) | $— | $(46,575,000) |
Over The Counter (OTC) Currency Call Option Written | — | (23,307) | — | (23,307) |
Net unrealized depreciation on forward foreign currency exchange contracts | — | (87,367) | — | (87,367) |
Total Other Financial Instruments | $— | $(46,685,674) | $— | $(46,685,674) |
(a) | The Fund may hold liabilities in which the fair value approximates the carrying amount for financial statement purposes. |
* | Securities valued at $0. |
Common Stocks | Insurance- Linked Securities | Total | |
Balance as of 4/30/22 | $64,395 | $13,798,572 | $13,862,967 |
Realized gain (loss) | — | — | — |
Changed in unrealized appreciation (depreciation) | (12,627) | 209,108 | 196,481 |
Accrued discounts/premiums | — | (961,337) | (961,337) |
Purchases | — | 2,608,994 | 2,608,994 |
Sales | — | (1,061,280) | (1,061,280) |
Transfers in to Level 3* | — | — | — |
Transfers out of Level 3* | — | (33) | (33) |
Balance as of 7/31/22 | $51,768 | $14,594,024 | $14,645,792 |
* | Transfers are calculated on the beginning of period values. During the three months ended July 31, 2022 investments having aggregate value of $33 were transferred out of Level 3 to Level 2, as there were significant observable inputs available to determine their value. There were no other transfers into or out of Level 3 during the period. | ||
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at July 31, 2022: | $258,421 |