NPORT-EX 2 ILS_Int.htm SOI


     
     
   
Pioneer ILS
Interval Fund
     
     
     
     
     
     
     
     
   
Schedule of Investments | January 31, 2020
     
     
   
Ticker Symbol:     XILSX
 
     



Schedule of Investments | 1/31/20 (unaudited)


 
Principal
      

 
Amount
        
 
USD ($)
      
Value
     
UNAFFILIATED ISSUERS - 98.3%
  
     
INSURANCE-LINKED SECURITIES - 98.3% of Net Assets(a)
  
     
Event Linked Bonds - 14.0%
    
     
Earthquakes - California - 0.3%
    
 
1,000,000(b)
  
Ursa Re, 5.046% (3 Month U.S. Treasury Bill + 350 bps), 5/27/20 (144A)
$991,000
 
250,000(b)
  
Ursa Re, 6.916% (3 Month U.S. Treasury Bill + 537 bps), 12/10/20 (144A)
  247,150
 
300,000(b)
  
Ursa Re, 7.296% (3 Month U.S. Treasury Bill + 575 bps), 12/10/22 (144A)
  299,340
 
250,000(b)
  
Ursa Re, 7.546% (3 Month U.S. Treasury Bill + 600 bps), 5/27/20 (144A)
  247,700
         
$1,785,190
     
Earthquakes - Chile - 0.1%
    
 
500,000(b)
  
International Bank for Reconstruction & Development, 4.21% (3 Month USD LIBOR + 250 bps), 2/15/21 (144A)
$492,800
     
Earthquakes - Colombia - 0.1%
    
 
500,000(b)
  
International Bank for Reconstruction & Development, 4.71% (3 Month USD LIBOR + 300 bps), 2/15/21 (144A)
$496,750
     
Earthquakes - Japan - 0.6%
    
 
1,250,000(b)
  
Kizuna Re II, 3.421% (3 Month U.S. Treasury Bill + 188 bps), 4/11/23 (144A)
$1,241,250
 
750,000(b)
  
Kizuna Re II, 4.046% (3 Month U.S. Treasury Bill + 250 bps), 4/11/23 (144A)
  743,700
 
800,000(b)
  
Nakama Re, 3.805% (6 Month USD LIBOR + 220 bps), 10/13/21 (144A)
  796,080
 
1,750,000(b)
  
Nakama Re, 4.74% (3 Month USD LIBOR + 300 bps), 4/13/23 (144A)
  1,726,025
         
$4,507,055
     
Earthquakes - Mexico - 0.1%
    
 
500,000(b)
  
International Bank for Reconstruction & Development, 9.96% (3 Month USD LIBOR + 825 bps), 2/14/20 (144A)
$500,100
     
Earthquakes - Peru - 0.1%
    
 
700,000(b)
  
International Bank for Reconstruction & Development, 7.71% (3 Month USD LIBOR + 600 bps), 2/15/21 (144A)
$694,050
     
Earthquakes - U.S. Regional - 0.2%
    
 
1,500,000(b)
  
Merna Re, 3.546% (3 Month U.S. Treasury Bill + 200 bps), 4/8/21 (144A)
$1,496,400
     
Multiperil - Japan - 0.3%
    
 
750,000(b)
  
Akibare Re, 3.79% (3 Month USD LIBOR + 190 bps), 4/7/22 (144A)
$684,975
 
2,250,000(b)
  
Akibare Re, 3.79% (3 Month USD LIBOR + 190 bps), 4/7/22 (144A)
  2,148,750
         
$2,833,725
     
Multiperil - U.S. - 6.6%
    
 
2,750,000(b)
  
Bowline Re, 6.041% (3 Month U.S. Treasury Bill + 450 bps), 5/23/22 (144A)
$2,740,375
 
2,500,000(b)
  
Buffalo Re, 4.988% (6 Month USD LIBOR + 342 bps), 4/7/20 (144A)
  2,481,250
 
1,000,000(b)
  
Buffalo Re, 8.738% (6 Month USD LIBOR + 717 bps), 4/7/20 (144A)
  996,500
 
250,000(b)
  
Caelus Re IV, 6.791% (3 Month U.S. Treasury Bill + 525 bps), 3/6/20 (144A)
  250,000
 
250,000(b)
  
Caelus Re V, 4.671% (3 Month U.S. Treasury Bill + 313 bps), 6/5/20 (144A)
  245,900
 
750,000(b)
  
Caelus Re V, 12.441% (3 Month U.S. Treasury Bill + 1,090 bps), 6/7/21 (144A)
  532,500
 
1,000,000(b)
  
Fortius Re, 4.913% (6 Month USD LIBOR + 342 bps), 7/7/21 (144A)
  997,500
 
16,500,000(b)
  
Kilimanjaro Re, 6.64% (3 Month USD LIBOR + 494 bps), 5/6/22 (144A)
  16,282,200
 
250,000(b)
  
Kilimanjaro Re, 6.66% (3 Month USD LIBOR + 494 bps), 5/5/23 (144A)
  247,125
 
500,000(b)
  
Kilimanjaro Re, 15.31% (3 Month USD LIBOR + 1,361 bps), 5/6/22 (144A)
  492,250
 
2,000,000(b)
  
Kilimanjaro II Re, 7.909% (6 Month USD LIBOR + 600 bps), 4/20/21 (144A)
  1,998,800
 
1,050,000(b)
  
Kilimanjaro II Re, 7.929% (6 Month USD LIBOR + 630 bps), 4/21/22 (144A)
  1,036,350
 
2,000,000(b)
  
Kilimanjaro II Re, 9.519% (6 Month USD LIBOR + 791 bps), 4/20/21 (144A)
  2,000,000
 
1,000,000(b)
  
Kilimanjaro II Re, 9.539% (6 Month USD LIBOR + 791 bps), 4/21/22 (144A)
  990,500
 
3,300,000(b)
  
Kilimanjaro II Re, 12.219% (6 Month USD LIBOR + 1,061 bps), 4/20/21 (144A)
  3,276,900
 
650,000(b)
  
Residential Reinsurance 2016, 5.516% (3 Month U.S. Treasury Bill + 397 bps), 12/6/20 (144A)
  646,880
 
2,500,000(b)
  
Residential Reinsurance 2016, 6.976% (3 Month U.S. Treasury Bill + 543 bps), 12/6/20 (144A)
  2,456,750
 
1,250,000(b)
  
Residential Reinsurance 2016, 13.066% (3 Month U.S. Treasury Bill + 1,152 bps), 6/6/20 (144A)
  62,500
 
250,000(b)
  
Residential Reinsurance 2017, 4.716% (3 Month U.S. Treasury Bill + 317 bps), 6/6/21 (144A)
  248,250
 
1,000,000(b)
  
Residential Reinsurance 2017, 7.306% (3 Month U.S. Treasury Bill + 576 bps), 12/6/21 (144A)
  974,400
 
250,000(b)
  
Residential Reinsurance 2017, 14.266% (3 Month U.S. Treasury Bill + 1,272 bps), 12/6/21 (144A)
  244,500
 
250,000(c)
  
Residential Reinsurance 2018, 3/6/20 (144A)
  2,000
 
1,000,000(b)
  
Residential Reinsurance 2018, 12.546% (3 Month U.S. Treasury Bill + 1,100 bps), 12/6/22 (144A)
  979,300
 
250,000(c)
  
Residential Reinsurance 2019, 12/6/20 (144A)
  194,500
 
2,250,000(b)
  
Residential Reinsurance 2019, 13.046% (3 Month U.S. Treasury Bill + 1,150 bps), 12/6/23 (144A)
  2,252,475
 
10,050,000(b)
  
Sanders Re, 4.591% (6 Month USD LIBOR + 299 bps), 12/6/21 (144A)
  9,794,730
 
1,500,000(b)
  
Spectrum Capital, 7.345% (6 Month USD LIBOR + 575 bps), 6/8/21 (144A)
  1,495,500
 
250,000(b)
  
Tailwind Re 2017-1, 8.906% (3 Month U.S. Treasury Bill + 736 bps), 1/8/22 (144A)
  251,125
 
250,000(b)
  
Tailwind Re 2017-1, 10.646% (3 Month U.S. Treasury Bill + 910 bps), 1/8/22 (144A)
  252,250
         
$54,423,310
     
Multiperil - U.S. & Canada - 0.6%
    
 
5,000,000(b)
  
Mona Lisa Re, Series B, 9.546% (3 Month U.S. Treasury Bill + 800 bps), 1/9/23 (144A)
$4,991,500
     
Multiperil - U.S. Regional - 0.9%
    
 
3,350,000(b)
  
Long Point Re III, 4.296% (3 Month U.S. Treasury Bill + 275 bps), 6/1/22 (144A)
$3,309,800
 
4,000,000(b)
  
Matterhorn Re, 5.0% (3 Month U.S. Treasury Bill + 500 bps), 1/8/24 (144A)
  4,000,000
         
$7,309,800
     
Multiperil - Worldwide - 0.6%
    
 
1,000,000(b)
  
Galilei Re, 7.254% (6 Month USD LIBOR + 568 bps), 1/8/21 (144A)
$998,000

 
Principal
      

 
Amount
        
 
USD ($)
      
Value
     
Multiperil - Worldwide - (continued)
  
 
250,000(b)
  
Galilei Re, 7.454% (6 Month USD LIBOR + 588 bps), 1/8/21 (144A)
$   250,125
 
500,000(b)
  
Galilei Re, 10.204% (6 Month USD LIBOR + 863 bps), 1/8/21 (144A)
495,750
 
500,000(b)
  
Galilei Re, 15.414% (6 Month USD LIBOR + 1,384 bps), 1/8/21 (144A)
  498,950
 
250,000(b)
  
Galileo Re, 9.228% (3 Month USD LIBOR + 750 bps), 11/6/20 (144A)
  246,050
 
2,250,000(b)
  
Kendall Re, 6.998% (3 Month USD LIBOR + 525 bps), 5/6/21 (144A)
  2,202,750
         
$4,691,625
     
Pandemic - Worldwide - 0.5%
    
 
2,050,000(b)
  
International Bank for Reconstruction & Development, 8.373% (6 Month USD LIBOR + 690 bps), 7/15/20 (144A)
$2,039,750
 
3,050,000(b)
  
International Bank for Reconstruction & Development, 12.973% (6 Month USD LIBOR + 1,150 bps), 7/15/20 (144A)
  1,906,250
         
$3,946,000
     
Wildfire - California - 0.0%†
    
 
2,000,000(b)
  
Cal Phoenix Re, 2.205% (3 Month USD LIBOR + 750 bps), 8/13/21 (144A)
$40,000
     
Windstorm - Florida - 0.6%
    
 
1,750,000(b)
  
Casablanca Re, 6.623% (6 Month USD LIBOR + 486 bps), 6/4/20 (144A)
$1,767,500
 
750,000(b)
  
Integrity Re, 4.754% (6 Month USD LIBOR + 328 bps), 6/10/20 (144A)
  746,025
 
750,000(b)
  
Integrity Re, 5.564% (3 Month USD LIBOR + 401 bps), 6/10/22 (144A)
  738,750
 
1,950,000(b)
  
Sanders Re, 4.824% (6 Month USD LIBOR + 314 bps), 6/5/20 (144A)
  1,951,560
         
$5,203,835
     
Windstorm - Massachusetts - 0.3%
  
 
2,600,000(b)
  
Cranberry Re, 3.46% (6 Month USD LIBOR + 198 bps), 7/13/20 (144A)
$2,596,100
     
Windstorm - Texas - 0.8%
    
 
3,750,000(b)
  
Alamo Re, 5.021% (3 Month U.S. Treasury Bill + 348 bps), 6/7/21 (144A)
$3,727,125
 
3,100,000(b)
  
Alamo Re, 5.351% (3 Month U.S. Treasury Bill + 381 bps), 6/8/20 (144A)
  3,113,950
         
$6,841,075
     
Windstorm - U.S. Multistate - 0.0%†
  
 
1,000,000(b)
  
Citrus Re, 1.641% (3 Month U.S. Treasury Bill + 10 bps), 2/25/21 (144A)
$300,000
     
Windstorm - U.S. Regional - 1.3%
    
 
2,250,000(b)
  
Cape Lookout Re, 5.791% (1 Month U.S. Treasury Bill + 425 bps), 2/25/22 (144A)
$2,243,250
EUR
500,000(b)
  
Hexagon II, 4.751% (3 Month EURIBOR + 515 bps), 1/17/24 (144A)
  555,625
 
4,000,000(b)
  
Matterhorn Re, 9.046% (3 Month U.S. Treasury Bill + 750 bps), 12/7/21 (144A)
  4,004,000
 
4,000,000(b)
  
Matterhorn Re 2020-2, 6.25% (3 Month U.S. Treasury Bill + 625 bps), 12/7/21 (144A)
  4,000,000
         
$10,802,875
     
Total Event Linked Bonds
  
$113,952,190

 
Face
      

 
Amount
        
 
USD ($)
      
Value
     
Collateralized Reinsurance - 21.3%
  
     
Earthquakes - California - 0.3%
    
 
2,500,000+(d)
  
Adare Re 2020, 1/31/21
  
$2,511,076
     
Multiperil - Australia - 0.0%
    
AUD
3,000,000+(d)
  
EC0015 Re, 7/31/20
  
$ –
     
Multiperil - U.S. - 2.6%
    
 
10,000,000+(d)
  
Kingsbarn Re 2017, 5/19/20
  
$10,000
 
15,703,476+(d)
  
Kingsbarn Re 2018, 5/19/20
  
  15,704
 
14,900,000+(d)
  
Kingsbarn Re 2019, 5/31/20
  
  15,079,349
 
4,994,779+(d)
  
Maidstone Re 2018, 1/15/21
  
  1,667,257
 
3,062,750+(d)
  
Riviera Re 2017, 4/15/20
  
  393,257
 
11,084,286+(d)
  
Riviera Re 2018-2, 4/15/20
  
  3,640,271
         
$20,805,838
     
Multiperil - U.S. Regional - 0.3%
    
 
8,916,652+(d)
  
Ailsa Re 2018, 6/15/20
  
$431,566
 
2,500,000+(d)
  
Ocean View Re 2019, 6/30/20
  
  2,522,729
         
$2,954,295
     
Multiperil - Worldwide - 16.5%
    
 
10,000,000+(d)
  
Cerulean Re 2018-B1, 7/31/20
$2,767,000
 
2,150,000+(d)
  
Cerulean Re 2019-C1, 7/31/20
  
  2,040,780
 
4,600,000+(d)
  
Claredon Re 2019, 1/31/20
  
  4,701,200
 
4,537,500+(d)
  
Cyprus Re 2017, 1/10/21
  
  82,583
 
11,935,217+(d)
  
Dartmouth Re 2018, 1/15/21
  
  3,926,686
 
7,030,140+(d)
  
Dartmouth Re 2019, 1/31/20
  
  7,030,140
 
269,860+(d)
  
Dartmouth Re 2020, 2/28/21
  
  211,886
 
1,250,000+(d)
  
Dingle Re 2019, 2/1/21
  
  1,275,657
 
10,240,739+(d)
  
Gloucester Re 2018, 2/28/20
  
  4,454,721
 
3,940,000+(d)
  
Gloucester Re 2019, 2/28/20
  
  4,026,690
 
4,587,652+(d)
  
Kilarney Re 2018, 4/15/20
  
  2,315,847
 
5,400,000+(d)
  
Kingston Heath Re 2020, 2/28/21
  
  4,638,389
 
36,000+(d)
  
Limestone Re 2016-1, 8/31/21
  
  29,020
 
82,000+(d)
  
Limestone Re 2016-1, 8/31/21
  
  66,100
 
23,200,000+(d)
  
Limestone Re 2019-2, 3/1/23 (144A)
  23,856,560
 
1,539,000+(d)
  
Limestone Re 2020-1, 3/1/24 (144A)
  1,545,156
 
5,273,540+(d)
  
Lindrick Re 2018, 6/15/20
  
  4,908,430
 
10,380,000+(d)
  
Merion Re 2018-1, 12/31/21
  
  659,130
 
10,780,416+(d)
  
Merion Re 2019-1, 12/31/22
  
  11,017,585

 
Face
      

 
Amount
        
 
USD ($)
      
Value
     
Multiperil - Worldwide - (continued)
  
 
5,701,152+(d)
  
Mid Ocean Re 2019, 7/31/20
  
$5,631,503
 
12,000,000+(d)
  
Old Head Re 2020, 12/31/23
  
  9,370,620
 
7,333,436+(d)
  
Oyster Bay Re 2018, 1/15/21
  
  6,655,827
 
4,100,000+(d)
  
Resilience Re, 4/6/20 (144A)
  
  410
 
5,000,000+(d)
  
Resilience Re, 5/1/20
  
  500
 
15,658,450+(d)
  
Seminole Re 2018, 1/15/21
  
  3,045,569
 
3,942,857+(d)
  
Seminole Re 2019, 1/31/21
  
  4,023,676
 
15,546,234+(d)
  
Walton Health Re 2018, 6/15/20
  
  7,773,117
 
8,050,000+(d)
  
Walton Health Re 2019, 6/30/20
  
  7,530,160
 
4,300,000+(d)
  
Wentworth Re 2019-2, 7/31/20
  
  4,087,354
 
7,800,000+(d)
  
Wentworth Re 2020-1, 12/31/23
  
  6,542,566
         
$134,214,862
     
Windstorm - Florida - 0.8%
    
 
2,921,065+(d)
  
Formby Re 2018, 3/31/20
  
$23,953
 
8,569,000+(d)
  
Formby Re 2018, 2/28/21
  
  2,715,210
 
5,500,405+(d)
  
Portrush Re 2017, 6/15/20
  
  3,509,808
 
8,260,350+(d)
  
Portrush Re 2019, 7/1/20
  
  13,983
         
$6,262,954
     
Windstorm - U.S. Regional - 0.8%
    
 
2,350,000+(d)
  
Oakmont Re 2017, 4/15/20
  
$69,090
 
1,017,500+(d)
  
Oakmont Re 2019, 4/30/20
  
  704,427
 
12,500,000+(d)
  
Resilience Re, 6/8/20 (144A)
  
  6,062,500
         
$6,836,017
     
Total Collateralized Reinsurance
  
$173,585,042
     
Industry Loss Warranties - 0.6%
  
     
Multiperil - U.S. - 0.6%
    
 
5,500,000+(d)
  
Scotscraig Re 2020, 1/31/21
  
$4,965,813
     
Total Industry Loss Warranties
  
$4,965,813
     
Reinsurance Sidecars - 62.4%
  
     
Multiperil - U.S. - 8.0%
    
 
2,000,000+(d)
  
Carnoustie Re 2015, 7/31/20
  
$6,400
 
5,000,000+(d)
  
Carnoustie Re 2016, 11/30/20
  
  135,000
 
12,500,000+(d)
  
Carnoustie Re 2017, 11/30/21
  
  1,698,125
 
19,406,338+(d)
  
Carnoustie Re 2018, 12/31/21
  
  217,351
 
15,128,863+(d)
  
Carnoustie Re 2019, 12/31/22
  
  17,487,453
 
14,673,432+(d)
  
Castle Stuart Re 2018, 12/1/21
  
  12,375,573
 
33,700,000+(e)
  
Harambee Re 2018, 12/31/21
  
  2,190,500
 
27,831,163+(e)
  
Harambee Re 2019, 12/31/22
  
  30,906,506
 
425,004+(d)
  
Sector Re V, Series 7, Class F, 3/1/22 (144A)
  61,228
 
1,900,011+(d)
  
Sector Re V, Series 7, Class G, 3/1/22 (144A)
  303,160
         
$65,381,296
     
Multiperil - U.S. Regional - 0.2%
    
 
5,110,275+(d)
  
EC0009 Re, 12/31/20
  
$1,344,002
     
Multiperil - Worldwide - 54.2%
    
 
1,050,000+(d)
  
Alturas Re 2019-1, 3/10/23 (144A)
 $  1,198,575
 
7,000,000+(d)
  
Alturas Re 2019-2, 3/10/22
  
  7,655,900
 
1,900,000+(d)
  
Alturas Re 2019-3, 9/12/23
  
  2,078,980
 
530,000+(d)
  
Alturas Re 2020-1, 3/10/23 (144A)
  
533,127
 
2,244,000+(d)
  
Alturas Re 2020-2, 3/10/23
  
  2,258,586
 
2,100,000+(d)
  
Arlington Re 2015, 2/1/20
  
  102,060
 
4,000,000+(d)
  
Bantry Re 2016, 3/31/20
  
  322,400
 
9,006,108+(d)
  
Bantry Re 2017, 3/31/20
  
  2,126,342
 
20,980,295+(d)
  
Bantry Re 2018, 12/31/21
  
  239,175
 
22,000,000+(d)
  
Bantry Re 2019, 12/31/22
  
  23,289,200
 
4,874,067+(d)
  
Bantry Re 2020, 12/31/23
  
  4,911,599
 
5,299,000+(d)
  
Berwick Re 2017-1, 2/1/20
  
  175,397
 
53,833,776+(d)
  
Berwick Re 2018-1, 12/31/21
  
  6,551,571
 
38,460,846+(d)
  
Berwick Re 2019-1, 12/31/22
  
  40,053,665
 
12,600,000+(e)
  
Blue Lotus Re 2018, 12/31/21
  
  13,831,020
 
3,000,000+(d)
  
EC0016 Re, 6/20/20
  
  2,991,000
 
400,000+(d)
  
Eden Re II, 3/22/22 (144A)
  
  525,204
 
845,567+(d)
  
Eden Re II, 3/22/22 (144A)
  
  952,626
 
236,658+(d)
  
Eden Re II, 3/22/23 (144A)
  
  773,872
 
23,400,000+(d)
  
Eden Re II, 3/22/24 (144A)
  
  23,634,000
 
7,000,000+(d)
  
Gleneagles Re 2016, 11/30/20
  
  218,400
 
19,900,000+(d)
  
Gleneagles Re 2017, 11/30/21
  
  3,950,150
 
21,917,000+(d)
  
Gleneagles Re 2018, 12/31/21
  
  2,592,781
 
19,436,692+(d)
  
Gleneagles Re 2019, 12/31/22
  
  21,156,824
 
47,710,184+(d)
  
Gullane Re 2018, 12/31/21
  
  44,776,139
 
1,439,000+(d)
  
Limestone Re 2018, 3/1/22
  
  3,155,151
 
3,250,000+(e)
  
Lion Rock Re 2019, 1/31/20
  
  3,585,725
 
19,500,000+(e)
  
Lorenz Re 2018, 7/1/21
  
  1,979,250
 
13,577,448+(e)
  
Lorenz Re 2019, 6/30/22
  
  12,010,611
 
44,514,882+(d)
  
Merion Re 2018-2, 12/31/21
  
  45,770,202

 
Face
      

 
Amount
        
 
USD ($)
      
Value
     
Multiperil - Worldwide - (continued)
  
 
4,700,000+(e)
  
NCM Re 2018, 12/31/21
  
$299,672
 
1,941,681+(e)
  
NCM Re 2019, 12/31/22
  
  428,723
 
2,000,000+(d)
  
Pangaea Re 2015-1, 2/1/20
  
  2,616
 
6,000,000+(d)
  
Pangaea Re 2015-2, 5/29/20
  
  8,945
 
5,220,000+(d)
  
Pangaea Re 2016-1, 11/30/20
  
  11,587
 
20,000,000+(d)
  
Pangaea Re 2016-2, 11/30/20
  
  59,522
 
17,000,000+(d)
  
Pangaea Re 2017-1, 11/30/21
  
  273,700
 
33,250,000+(d)
  
Pangaea Re 2017-3, 5/31/22
  
  1,695,437
 
12,750,000+(d)
  
Pangaea Re 2018-1, 12/31/21
  
  749,700
 
17,500,000+(d)
  
Pangaea Re 2018-3, 7/1/22
  
  363,010
 
12,750,000+(d)
  
Pangaea Re 2019-1, 2/1/23
  
  265,678
 
16,380,464+(d)
  
Pangaea Re 2019-3, 7/1/23
  
  15,933,277
 
17,538,941+(d)
  
Pangaea Re 2020-1, 2/1/24
  
  17,661,375
 
1,755,061+(d)
  
Sector Re V, Series 8, Class A, 3/1/23 (144A)
   679,118
 
2,632,556+(d)
  
Sector Re V, Series 8, Class B, 3/1/23 (144A)
  1,031,774
 
4,320,248+(d)
  
Sector Re V, Series 8, Class D, 12/1/23 (144A)
  2,968,887
 
13,114+(d)
  
Sector Re V, Series 8, Class F, 3/1/23 (144A)
  802,420
 
4,953+(d)
  
Sector Re V, Series 8, Class G, 3/1/23 (144A)
  218,247
 
5,137,617+(d)
  
Sector Re V, Series 9, Class A, 3/1/24 (144A)
  4,157,933
 
2,362,383+(d)
  
Sector Re V, Series 9, Class B, 3/1/24 (144A)
  1,911,425
 
1,000,000+(d)
  
Sector Re V, Series 9, Class C, 12/1/24 (144A)
  1,019,858
 
2,879,752+(d)
  
Sector Re V, Series 9, Class D, 12/1/24 (144A)
  2,936,939
 
8,650,072+(d)
  
Sector Re V, Series 9, Class G, 3/1/24 (144A)
  10,006,168
 
5,000,000+(d)
  
St. Andrews Re 2017-1, 2/1/20
  
  339,000
 
7,760,968+(d)
  
St. Andrews Re 2017-4, 6/1/20
  
  763,679
 
33,083,230+(d)
  
Sussex Re 2020-1, 12/31/22
  
  33,364,437
 
24,000,000+(e)
  
Thopas Re 2018, 12/31/21
  
  1,778,400
 
16,586,501+(e)
  
Thopas Re 2019, 12/31/22
  
  16,689,337
 
5,908,556+(e)
  
Thopas Re 2020, 12/31/23
  
  5,908,556
 
20,000,000+(d)
  
Versutus Re 2017, 11/30/21
  
  340,000
 
35,000,000+(d)
  
Versutus Re 2018, 12/31/21
  
  –
 
30,889,158+(d)
  
Versutus Re 2019-A, 12/31/21
  
  2,699,712
 
1,188,665+(d)
  
Versutus Re 2019-B, 12/31/21
  
  103,889
 
27,500,000+(e)
  
Viribus Re 2018, 12/31/21
  
  1,520,750
 
11,676,844+(e)
  
Viribus Re 2019, 12/31/22
  
  14,417,399
 
2,549,923+(e)
  
Viribus Re 2020, 12/31/23
  
  2,582,052
 
40,641,287+(d)
  
Woburn Re 2018, 12/31/21
  
  8,136,386
 
17,003,469+(d)
  
Woburn Re 2019, 12/31/22
  
  17,590,089
         
$443,119,229
     
Total Reinsurance Sidecars
  
$509,844,527
     
TOTAL INSURANCE-LINKED SECURITIES
  
     
(Cost $846,154,463)
  
$802,347,572
     
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 98.3%
     
(Cost $846,154,463)
  
$802,347,572
     
OTHER ASSETS AND LIABILITIES - 1.7%  
$14,264,038
     
NET ASSETS - 100.0%
  
$816,611,610

bps
Basis Points.
EURIBOR
Euro Interbank Offered Rate.
LIBOR
London Interbank Offered Rate.
(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 January 31, 2020, the value of these securities amounted to $199,131,377, or 24.4% of net assets.
†
Amount rounds to less than 0.1%.
+
Security that used significant unobservable inputs to determine its value.
(a)
Securities are restricted as to resale.
(b)
Floating rate note. Coupon rate, reference index and spread shown at January 31, 2020.
(c)
Security issued with a zero coupon. Income is recognized through accretion of discount.
(d)
Issued as participation notes.
(e)
Issued as preference shares.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
 
Currency Purchased
In
Exchange
for
Currency
Sold
Deliver
Counterparty
Settlement
Date
Unrealized
Appreciation
USD
556,682
EUR
  (500,000)
JPMorgan Chase Bank NA
2/12/20
$2,065
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
$2,065

Principal amounts are denominated in U.S. dollars ("USD") unless otherwise noted.
 
AUD
-
Australian Dollar
EUR
-
Euro

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels below.
 
Level 1 - 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).
 
The following is a summary of the inputs used as of January 31, 2020, in valuing the Fund's investments:

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Insurance-Linked Securities
                        
Collateralized Reinsurance
                        
Earthquakes - California
  
$
–
    
$
–
    
$
2,511,076
    
$
2,511,076
  
Multiperil - Australia
    
–
      
–
      
–
*
    
–
*
Multiperil - U.S.
    
–
      
–
      
20,805,838
      
20,805,838
  
Multiperil - U.S. Regional
    
–
      
–
      
2,954,295
      
2,954,295
  
Multiperil - Worldwide
    
–
      
–
      
134,214,862
      
134,214,862
  
Windstorm - Florida
    
–
      
–
      
6,262,954
      
6,262,954
  
Windstorm - U.S. Regional
    
–
      
–
      
6,836,017
      
6,836,017
  
Industry Loss Warranties
                                
Multiperil - U.S.
    
–
      
–
      
4,965,813
      
4,965,813
  
Reinsurance Sidecars
                                
Multiperil - U.S.
    
–
      
–
      
65,381,296
      
65,381,296
  
Multiperil - U.S. Regional
    
–
      
–
      
1,344,002
      
1,344,002
  
Multiperil - Worldwide
    
–
      
–
      
443,119,229
      
443,119,229
  
All Other Insurance-Linked Securities
    
–
      
113,952,190
      
–
      
113,952,190
  
Total Investments in Securities
  
$
–
    
$
113,952,190
    
$
688,395,382
    
$
802,347,572
  
Other Financial Instruments
                                
Net unrealized appreciation
on forward foreign currency
exchange contracts
  
$
–
    
$
2,065
    
$
–
    
$
2,065
  
Total Other Financial Instruments
  
$
–
    
$
2,065
    
$
–
    
$
2,065
  

* Security valued at $0.

The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):

   
Insurance- Linked
Securities
  
Balance as of 10/31/19
  
$
712,374,496
  
Realized gain (loss)
    
(4,762,313
)
Change in unrealized appreciation (depreciation)
    
9,810,561
  
Accrued discounts/premiums
    
(1,975
)
Purchases
    
131,262,373
  
Sales
    
(160,287,760
)
Transfers in to Level 3*
    
--
  
Transfers out of Level 3*
    
--
  
Balance as of 1/31/20
  
$
688,395,382
  

*
Transfers are calculated on the beginning of period value. During the three months ended January 31, 2020, there were no transfers between Levels 1, 2 and 3.

Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at January 31, 2020: $8,563,799.