Semi Annual Report by Investment Company (Form N CSRS)
is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule
under the Investment Company Act of 1940 (17 CFR
Commission may use the information provided on Form
in its regulatory, disclosure review, inspection, and policymaking roles.
and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form
unless the Form displays a currently valid
Ticker Symbol: HNW
|
2 | |
11 | |
12 | |
13 | |
15 | |
45 | |
50 | |
72 | |
74 | |
79 |
|
Q
|
How did the Fund perform during the six-month period ended
|
A
|
|
During the six-month period ended |
|
During the same six-month period, the average retuat NAV of the 24 closed end funds in Morningstar's High Yield Bond Closed End Funds category (which may or may not be leveraged) was 9.02%, while the same closed end fund Morningstar category's average retuat market price was 12.77%. | |
The shares of the Fund were selling at a 5.60% discount to NAV on |
On |
|
Q
|
Which of the Fund's investment strategies contributed positively to the Fund's benchmark-relative performance during the six-month period?
|
A
|
The Fund is leveraged, which magnifies market movements. This proved additive to benchmark-relative returns during the six-month period, driven by the market's positive performance during the period. With respect to ratings categories, the Fund's tilt toward lower quality issues within the high yield corporate bond market benefited benchmark relative results during the six-month period, as non-rated issues outperformed the higher-rated "BB" issues in which the Fund was underweight. |
The Fund's allocation to insurance-linked securities (ILS) aided the Fund's benchmark-relative performance during the six-month period. During the period we increased the Fund's allocation from 19.0% to 22.2% of Fund AUM. One of the main value propositions of ILS, in our view, continues to be that the sources of risk and retufor 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. The continued elevated pricing trends associated with underwriting catastrophe risk along with increased loss retention levels by insurance companies helped drive the Fund allocation's positive performance during the period. As of |
|
A top performing loan within the Fund's allocation was |
* | The 30-day |
|
negatively during the COVID pandemic, but have had recent positive performance following a restructuring of the balance sheet. | |
Q
|
Which investment strategies detracted from the Fund's benchmark-relative performance results during the six-month period ended
|
A
|
Within the high yield allocation, underweight exposures to the sovereign, cable satellite and technology sectors were the largest detractors from the Fund's benchmark-relative performance during the six-month period. The individual securities that detracted most from the benchmark-relative performance during the period were within the consumer non-cyclical, energy and basic industries sectors. |
The securitized allocation detracted slightly from the Fund's returns, with the asset-backed securities (ABS) portion of the Fund's portfolio being the most significant negative contributor. The primary driver of the ABS underperformance was position in a servicing advance deal. The residential mortgage-backed security (RMBS) portion of the Fund's portfolio was a slight drag on relative returns, despite each security in that sector achieving positive absolute performance as housing credit remains very strong. | |
Within the loans allocation, loans issued by |
|
Q
|
Did the Fund's distributions
**
to stockholders change during the six-month period ended
|
A
|
The Fund's monthly distribution rate increased in May from |
**
|
Dividends/Distributions are not guaranteed.
|
Q
|
How did the level of leverage in the Fund change during the six-month period ended
|
A
|
The Fund employs leverage through a credit agreement. As of |
Q
|
Did the Fund have any exposure to derivatives during the six- month period ended
|
A
|
Yes, we invested the Fund's portfolio in forward foreign currency exchange contracts (currency forwards) and other currency related derivatives during the period, which had a positive effect on benchmark-relative performance. These investments were made to hedge positions bought in non-dollar securities. In addition, the Fund's small position in credit default swaps contributed modestly to relative returns. |
Q
|
What is your investment outlook, and how is the Fund positioned heading into the second half of its fiscal year?
|
A
|
The US economy has experienced stronger growth than anticipated this year, but our expectation is that growth will decelerate in the futuere. The once-overheated labor market has cooled, with companies reducing their hiring rates, yet layoffs have remained relatively low thus far. To trigger a recession in the US, an increase in layoffs is likely necessary. Although the |
|
aggressive trajectory for Fed rate cuts over the next year. We expect defaults to decline as we do not see a significant sector or driver that would increase defaults to levels seen in past periods of volatility such as the 2008 financial crisis. | |
We do not believe that the high yield market will perform as poorly as it has historically performed in a recession. First, credit quality is currently higher than it has been historically, featuring more BB-rated (higher quality) credits and a reduced number of CCC-rated (lower quality) credits. Secondly, issuance has been focused on refinancing debt, rather than adding debt for acquisitions or other purposes. | |
The very tight levels of spreads are a concern. Yields remain attractive, but spreads are in the tightest decile historically. The market is pricing a default rate lower than 2% which is less than historical non-recessionary levels of 2-3%. We believe that while defaults are recovering from the shock of rising interest rates, the market expectations of a decline in defaults are ahead of our expectations. We have sought to reduce risk in the Fund's |
portfolio relative to recent periods, and sought to maintain a high level of yield. This will allow us to add risk to the Fund's portfolio if the market sells off to levels that price in some margin of error. | |
With respect to ILS, the rate-on-line (premium) for private insurance-linked securities formats and the event-linked (catastrophe) bond market spread remain elevated and provide attractive total yield potential. The majority of the calendar year retustream in the ILS marketplace has tended to occur in the second half of the year, driven by seasonality (in years with normal loss activity, historically around 60% to 70% of the annual return). Of course, past performance is no guarantee of future results. | |
Overall, we have slightly reduced the allocation to commercial mortgage-backed securities (CMBS). There is very little exposure to the office sector in the Fund's allocation to CMBS, as we remain cautious towards this subsector of the securitized market. The office sector must be delineated between the haves and have nots of the sector. While older sub-standard buildings are struggling to retain and attract tenants, much of the newer stock has attracted tenants that are willing to pay up for the newest product on the block. Offices built since 2010 have had positive absorption over the past year. Older non-renovated buildings have seen their values plummet over the past year and will continue to struggle to re-finance. We believe there will be more pain to come in the office sector as loans come up to their maturity dates. | |
Over the near-term, we believe loans could continue to provide attractive yields relative to many other fixed income assets under the "higher for longer" theme. This theme is still relevant, despite the recent Fed cuts, as we believe future cuts may not be as rapid as once believed a year earlier. Spreads have tightened and loan prices have appreciated, but we believe there is still room for continued price appreciation. We believe default rates may have peaked, and while they remain elevated, they are below the historical average. The reduced likelihood of a recession has provided some breathing room for lower rated single B loans. It has been a strong year for collateralized loan obligation (CLO) creation. As spreads have tightened, CLO |
|
refinancing has increased and the new issuance has stabilized the market. This is a trend we may see continued. | |
The main focus of the Fund continues to be income and the higher level of interest rates has helped. Our cost of leverage has declined slightly as the Fed has begun the process of easing. This should allow some flexibility, although it might be accompanied by a more difficult environment for high yield bonds. While the market has been "risk on" in the last year, we believe security selection will be more important going forward, and we've seen distressed securities struggle lately. Our team of analysts will focus on identifying mispriced securities to help the Fund perform. |
|
(As a percentage of total investments)* | ||
1. | 3.12% | |
2. | 1.30 | |
3. | 1.03 | |
4. | ABRA Global Finance, 14.00% (8.00% PIK or 6.00% Cash), |
1.02 |
5. | 0.99 | |
6. | Limak Cimento Sanayi ve Ticaret AS, 9.75%, |
0.97 |
7. | 0.96 | |
8. | 0.91 | |
9. | +
1,050 bps), |
0.89 |
10. | 0.88 |
|
|
|
|
Market Value | ||
Discount | (5.60)% | (8.47)% |
|
|
|
Net Asset Value |
Net Investment
Income |
Short-Term
Capital Gains |
Long-Term
Capital Gains |
|
$- | $- |
|
|
|
30-Day SEC Yield | 7.92% | 6.79% |
Average Annual Total Return
(As of
|
|||||
Period
|
Net
Asset Value (NAV) |
Market
Price |
50% ICE BofA
Yield/CCC & G Index/50% Morningstar/ LSTA Leveraged Loan Index |
Morningstar/LSTA
Leveraged Loan Index |
ICE
Global High Yield/ CCC & G Index |
10 Years | 5.50% | 4.35% | 4.11% | 4.92% | 3.22% |
5 Years | 5.93 | 6.34 | 4.15 | 6.02 | 2.19 |
1 Year | 24.44 | 36.39 | 14.01 | 10.56 | 17.45 |
|
Principal
Amount USD ($) |
Value
|
|||||
UNAFFILIATED ISSUERS - 141.2%
|
||||||
Senior Secured Floating Rate Loan
Interests - 6.6% of Net Assets*(a)
|
||||||
|
||||||
192,659 | +
500 bps), |
$ 187,553 | ||||
691,049 | +
500 bps), |
673,600 | ||||
|
$
861,153
|
|||||
Auto Repair Centers - 0.4%
|
||||||
473,827 | +
475 bps), |
$ 460,796 | ||||
Total Auto Repair Centers
|
$
460,796
|
|||||
Building & Construction - 0.5%
|
||||||
496,186 | +
350 bps), |
$ 498,046 | ||||
|
$
498,046
|
|||||
Chemicals-Diversified - 0.7%
|
||||||
398,000 | +
425 bps), |
$ 397,005 | ||||
395,655 | +
350 bps), |
397,881 | ||||
Total Chemicals-Diversified
|
$
794,886
|
|||||
Chemicals-Specialty - 0.1%
|
||||||
123,543 | +
375 bps), |
$ 123,698 | ||||
Total Chemicals-Specialty
|
$
123,698
|
|||||
Commercial Services - 0.4%
|
||||||
384,037 | +
550 bps), |
$ 367,716 | ||||
Total Commercial Services
|
$
367,716
|
|||||
Computer Services - 0.2%
|
||||||
160,000 | +
225 bps), |
$ 160,150 | ||||
Total Computer Services
|
$
160,150
|
|||||
|
Principal
Amount USD ($) |
Value
|
|||||
Cruise Lines - 0.3%
|
||||||
355,000 | +
300 bps), |
$ 356,997 | ||||
Total Cruise Lines
|
$
356,997
|
|||||
Dialysis Centers - 0.4%
|
||||||
403,947 | +
500 bps), |
$ 373,651 | ||||
Total Dialysis Centers
|
$
373,651
|
|||||
Distribution & Wholesale - 0.3%
|
||||||
309,385 | +
350 bps), |
$ 310,932 | ||||
Total Distribution & Wholesale
|
$
310,932
|
|||||
Electric-Generation - 0.5%
|
||||||
575,000 | +
275 bps), |
$ 575,616 | ||||
Total Electric-Generation
|
$
575,616
|
|||||
Electronic Composition - 0.1%
|
||||||
120,939 | +
625 bps), |
$ 108,845 | ||||
Total Electronic Composition
|
$
108,845
|
|||||
Medical-Drugs - 1.2%
|
||||||
786,890(b) | $ 772,464 | |||||
165,000 | +
450 bps), |
165,371 | ||||
402,975 | +
325 bps), |
405,914 | ||||
Total Medical-Drugs
|
$
1,343,749
|
|||||
Pipelines - 0.1%
|
||||||
148,485 | +
450 bps), |
$ 148,798 | ||||
Total Pipelines
|
$
148,798
|
|||||
Recreational Centers - 0.5%
|
||||||
538,994 | +
525 bps), |
$ 539,752 | ||||
Total Recreational Centers
|
$
539,752
|
|||||
Principal
Amount USD ($) |
Value
|
|||||
Schools - 0.1%
|
||||||
98,749 | +
400 bps), |
$ 99,356 | ||||
Total Schools
|
$
99,356
|
|||||
Total Senior Secured Floating Rate Loan Interests
(Cost
|
$
7,124,141
|
|||||
Shares
|
||||||
Common Stocks - 0.6%
of Net Assets
|
||||||
Communications Equipment - 0.0%
†
|
||||||
16,729(c)
+
|
$ 41,823 | |||||
Total Communications Equipment
|
$
41,823
|
|||||
Financial Services - 0.0%
†
|
||||||
152,704(c)
+
|
$ 9,158 | |||||
|
$
9,158
|
|||||
Household Durables - 0.0%
†
|
||||||
89,094(c) | $ 4 | |||||
Total Household Durables
|
$
4
|
|||||
Oil,
†
|
||||||
6(c) | $ 40 | |||||
2,189(c) | 383 | |||||
Total Oil,
|
$
423
|
|||||
|
||||||
24,166(c) | $ 528,380 | |||||
|
$
528,380
|
|||||
Pharmaceuticals - 0.1%
|
||||||
1,957(c) | $ 49,923 | |||||
|
$
49,923
|
|||||
Professional Services - 0.0%
†
|
||||||
441,379(c)
+
|
$ 14 | |||||
Total Professional Services
|
$
14
|
|||||
Total Common Stocks
(Cost
|
$
629,725
|
|||||
|
Principal
Amount USD ($) |
Value
|
|||||
Asset Backed Securities - 4.9%
of Net
Assets |
||||||
500,000 | $ 492,374 | |||||
505,414 | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class G, 12.748%, |
513,050 | ||||
800,000(d) | Ally Bank Auto Credit-Linked Notes Series, Series 2024-B, Class G, 11.395%, |
799,614 | ||||
1,000,000 | 1,018,629 | |||||
1,000,000(a) | MCF CLO VII LLC, Series 2017-3A, Class ER, 14.029% (3 Month Term SOFR
+
941 bps), |
997,325 | ||||
500,000(e)
+
|
46,000 | |||||
650,000 | Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class E, 12.662%, |
692,214 | ||||
788,684 | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class F, 12.24%, |
812,881 | ||||
(Cost
|
$
5,372,087
|
|||||
Collateralized Mortgage
Obligations-2.6% of Net Assets
|
||||||
330,000(a) | +
600 bps), |
$ 346,851 | ||||
14,148(a) | +
95 bps), |
13,741 | ||||
200,000(a) | +
780 bps), |
216,011 | ||||
450,000(a) | +
625 bps), |
471,487 | ||||
280,000(a) | +
850 bps), |
307,715 | ||||
545,000(a) | +
826 bps), |
621,981 | ||||
100,000(a) | +
620 bps), |
105,487 |
Principal
Amount USD ($) |
Value
|
|||||
Collateralized Mortgage
Obligations- (continued)
|
||||||
17,235 | $ 7,504 | |||||
640,000(a) | +
1,061 bps), |
779,666 | ||||
Total Collateralized Mortgage Obligations
(Cost
|
$
2,870,443
|
|||||
Commercial Mortgage-Backed
Securities-9.7% of Net Assets
|
||||||
1,000,000(e) | $ 929,627 | |||||
500,000(a) | +
686 bps), |
483,903 | ||||
578,543(a) | +
733 bps), |
583,756 | ||||
6,946,971(e)(f) | 95,201 | |||||
19,431,079(e)(f) | 23,242 | |||||
750,000(a) | +
775 bps), |
812,316 | ||||
444,547(e) | 415,819 | |||||
998,634(a) | +
701 bps), |
959,036 | ||||
111,356(a) | +
636 bps), |
100,820 | ||||
211,873(a) | +
911 bps), |
200,863 | ||||
1,000,000(g) | 574,048 | |||||
12,327,061(f) | 56,475 | |||||
1,000,000(f) | 4,367 | |||||
418,988(e)(f) | 4 | |||||
500,000(a) | +
694 bps), |
499,117 | ||||
1,000,000(e) | 1,027,969 |
|
Principal
Amount USD ($) |
Value
|
|||||
Commercial Mortgage-Backed
Securities- (continued)
|
||||||
500,000(e) | $ 175,038 | |||||
1,096,616(e)(f) | 11 | |||||
5,721,586(e)(f) | 57,473 | |||||
725,137(a) | +
386 bps), |
736,921 | ||||
900,000(e) | 387,128 | |||||
290,000 | 188,137 | |||||
195,131(e) | 154,359 | |||||
1,100,000 | 865,235 | |||||
1,660,500(e) | 1,201,689 | |||||
(Cost
|
$
10,532,554
|
|||||
Convertible Corporate Bonds - 2.1%
of Net Assets
|
||||||
Banks - 0.0%
†
|
||||||
IDR
812,959,000
|
$ 5,180 | |||||
Total Banks
|
$
5,180
|
|||||
Chemicals - 1.8%
|
||||||
1,900,000(h) | $ 1,974,286 | |||||
Total Chemicals
|
$
1,974,286
|
|||||
Entertainment - 0.3%
|
||||||
312,000(g) | $ 262,548 | |||||
|
$
262,548
|
|||||
Total Convertible Corporate Bonds
(Cost
|
$
2,242,014
|
|||||
Principal
Amount USD ($) |
Value
|
|||||
Corporate Bonds - 81.7%
of Net Assets
|
||||||
Advertising - 1.9%
|
||||||
645,000 | $ 551,222 | |||||
535,000 | 476,156 | |||||
625,000 | 584,080 | |||||
400,000 | 394,221 | |||||
|
$
2,005,679
|
|||||
Aerospace & Defense - 0.2%
|
||||||
214,000 | $ 222,950 | |||||
|
$
222,950
|
|||||
Airlines - 6.6%
|
||||||
1,535,000(i) | ABRA Global Finance, 14.00% (8.00% PIK or 6.00% Cash), |
$ 1,553,383 | ||||
1,304,298(a) | +
1,050 bps), |
1,362,422 | ||||
505,000(d) | Grupo Aeromexico S.A. |
503,738 | ||||
1,090,000(d) | Grupo Aeromexico S.A. |
1,087,002 | ||||
1,510,000 | 1,574,515 | |||||
285,000 | 328,162 | |||||
EUR
700,000
|
761,577 | |||||
|
$
7,170,799
|
|||||
Auto Manufacturers - 0.4%
|
||||||
440,000 | $ 461,645 | |||||
Total Auto Manufacturers
|
$
461,645
|
|||||
Banks - 4.4%
|
||||||
1,135,000(e) | +
666 bps), |
$ 1,076,946 | ||||
685,000(e)(j) | +
776 bps) (144A) |
702,207 | ||||
EUR
1,200,000
(e)(j)
|
+
386 bps) |
1,163,349 | ||||
155,000 | 170,718 |
|
Principal
Amount USD ($) |
Value
|
|||||
Banks - (continued)
|
||||||
350,000(e)(j) | +
445 bps) |
$ 350,203 | ||||
225,000(e)(j) | +
546 bps) (144A) |
224,684 | ||||
865,000(e)(j)(k)
+
|
Sovcombank Via SovCom Capital DAC, 7.60% (5 Year CMT Index
+
636 bps) (144A) |
- | ||||
350,000(e) | +
298 bps), |
358,211 | ||||
230,000(e)(j) | UBS Group AG, 9.25% (5 Year CMT Index
+
476 bps) (144A) |
266,292 | ||||
490,000(e)(j) | +
550 bps) (144A) |
506,534 | ||||
Total Banks
|
$
4,819,144
|
|||||
Biotechnology - 0.3%
|
||||||
EUR
345,000
|
Cidron Aida Finco S.a.r.l., 5.00%, |
$ 365,704 | ||||
Total Biotechnology
|
$
365,704
|
|||||
Building Materials - 2.6%
|
||||||
846,000 | $ 890,152 | |||||
464,000 | 414,710 | |||||
1,520,000 | Limak Cimento Sanayi ve Ticaret AS, 9.75%, |
1,477,136 | ||||
Total
|
$
2,781,998
|
|||||
Chemicals - 3.3%
|
||||||
EUR
420,000
|
Lune Holdings S.a.r.l., 5.625%, |
$ 377,636 | ||||
300,000 | 318,057 | |||||
415,000 | 422,286 | |||||
280,000 | 282,784 | |||||
EUR
580,000
|
673,274 | |||||
985,000 | 1,044,995 | |||||
EUR
420,000
|
491,119 | |||||
Total Chemicals
|
$
3,610,151
|
|||||
Commercial Services - 4.6%
|
||||||
230,000 | $ 234,065 |
Principal
Amount USD ($) |
Value
|
|||||
Commercial Services - (continued)
|
||||||
585,000 | $ 586,409 | |||||
500,000 | 510,811 | |||||
730,000 | 737,036 | |||||
473,000 | 443,275 | |||||
660,000 | 659,946 | |||||
958,000 | 958,774 | |||||
558,000 | Sotheby's, 7.375%, |
543,057 | ||||
295,000 | 299,476 | |||||
Total Commercial Services
|
$
4,972,849
|
|||||
Computers - 0.2%
|
||||||
155,000 | $ 160,544 | |||||
Total Computers
|
$
160,544
|
|||||
|
||||||
500,000(e)(j) | +
315 bps) |
$ 469,548 | ||||
960,000 | 960,000 | |||||
275,000(k) | Credito Real SAB de CV SOFOM ER, 8.00%, |
28,902 | ||||
640,000 | 648,299 | |||||
540,000 | 553,025 | |||||
EUR
235,000
|
161,680 | |||||
GBP
400,000
|
326,489 | |||||
1,295,000 | 1,338,171 | |||||
685,000 | 725,755 | |||||
355,000 | 362,093 | |||||
1,030,000 | 1,053,264 | |||||
1,475,000 | 1,460,563 | |||||
1,174,000
+
|
- | |||||
|
$
8,087,789
|
|||||
Electric - 1.5%
|
||||||
200,000 | Cemig Geracao e |
$ 200,179 |
|
Principal
Amount USD ($) |
Value
|
|||||
Electric - (continued)
|
||||||
1,030,000 | GDZ Elektrik Dagitim AS, 9.00%, |
$ 983,131 | ||||
445,000 | 480,035 | |||||
7,000 | 6,982 | |||||
|
$
1,670,327
|
|||||
Engineering & Construction - 0.2%
|
||||||
230,000 | $ 213,680 | |||||
Total Engineering & Construction
|
$
213,680
|
|||||
Entertainment - 0.6%
|
||||||
295,000 | $ 301,619 | |||||
EUR
310,000
|
354,817 | |||||
|
$
656,436
|
|||||
Food - 1.2%
|
||||||
555,000 | Aragvi Finance International DAC, 8.45%, |
$ 551,559 | ||||
215,000(i) | 221,804 | |||||
520,000 | 543,531 | |||||
Total Food
|
$
1,316,894
|
|||||
|
||||||
800,800 | $ 848,118 | |||||
1,365,000 | 1,387,188 | |||||
1,177,000 | 1,200,512 | |||||
Total
|
$
3,435,818
|
|||||
|
||||||
885,000 | $ 899,612 | |||||
|
$
899,612
|
|||||
Insurance - 4.4%
|
||||||
4,106,000 | $ 4,758,388 | |||||
|
$
4,758,388
|
|||||
Principal
Amount USD ($) |
Value
|
|||||
Internet - 1.4%
|
||||||
1,285,000 | $ 1,259,557 | |||||
265,000 | ION Trading Technologies S.a.r.l., 9.50%, |
269,298 | ||||
Total Internet
|
$
1,528,855
|
|||||
Iron & Steel - 2.2%
|
||||||
845,000 | $ 873,204 | |||||
325,000 | 327,405 | |||||
613,000 | 391,171 | |||||
870,000 | 841,708 | |||||
Total Iron & Steel
|
$
2,433,488
|
|||||
Leisure Time - 0.8%
|
||||||
100,000 | $ 100,699 | |||||
120,000 | 128,822 | |||||
400,000 | 409,922 | |||||
245,000 | 244,961 | |||||
Total Leisure Time
|
$
884,404
|
|||||
Lodging - 0.7%
|
||||||
800,000(l) | $ 727,244 | |||||
Total Lodging
|
$
727,244
|
|||||
Machinery-Diversified - 0.8%
|
||||||
EUR
760,000
(a)
|
Mangrove Luxco III S.a.r.l., 8.179% (3 Month EURIBOR
+
500 bps), |
$ 835,370 | ||||
Total Machinery-Diversified
|
$
835,370
|
|||||
Media - 2.3%
|
||||||
400,000 | $ 342,340 | |||||
300,000 | 292,662 | |||||
655,000 | 680,369 | |||||
1,210,000 | 1,217,959 | |||||
Total Media
|
$
2,533,330
|
|||||
Mining - 1.7%
|
||||||
400,000 | $ 397,312 |
|
Principal
Amount USD ($) |
Value
|
|||||
Mining - (continued)
|
||||||
1,260,000 | $ 1,274,659 | |||||
200,000 | 212,631 | |||||
Total Mining
|
$
1,884,602
|
|||||
Oil & Gas - 12.7%
|
||||||
290,000 | 3R Lux S.a.r.l., 9.75%, |
$ 300,058 | ||||
910,000 | 925,944 | |||||
322,744 | 330,043 | |||||
234,175 | 241,668 | |||||
85,000 | 92,666 | |||||
520,000 | 537,404 | |||||
370,000 | 388,710 | |||||
520,000 | 544,627 | |||||
1,510,000 | 1,500,487 | |||||
405,000 | 396,684 | |||||
410,000 | 405,070 | |||||
1,268,001 | MC Brazil Downstream Trading S.a.r.l, 7.25%, |
1,074,292 | ||||
515,000 | 489,929 | |||||
955,000 | 733,664 | |||||
800,000 | 689,330 | |||||
970,000 | 877,787 | |||||
900,000 | 818,229 | |||||
860,000 | 853,578 | |||||
440,000 | 365,059 | |||||
280,000 | 281,290 | |||||
280,000 | 282,149 | |||||
785,000 | 717,996 | |||||
620,000 | 601,315 | |||||
281,000 | 274,135 | |||||
110,000 | 112,145 | |||||
|
$
13,834,259
|
|||||
Principal
Amount USD ($) |
Value
|
|||||
Oil & Gas Services - 1.0%
|
||||||
521,000 | $ 522,558 | |||||
566,000 | 587,538 | |||||
Total Oil & Gas Services
|
$
1,110,096
|
|||||
Packaging & Containers - 0.5%
|
||||||
EUR
500,000
|
$ 543,875 | |||||
|
$
543,875
|
|||||
Pharmaceuticals - 0.1%
|
||||||
110,000 | $ 117,615 | |||||
381,000
+
|
- | |||||
300,000
+
|
- | |||||
|
$
117,615
|
|||||
Pipelines - 4.2%
|
||||||
770,007 | Acu Petroleo Luxembourg S.a.r.l., 7.50%, |
$ 773,419 | ||||
510,000 | 505,229 | |||||
450,000(a) | +
328 bps), |
443,314 | ||||
915,000(e)(j) | +
531 bps) |
930,107 | ||||
145,000 | 132,331 | |||||
344,000 | 321,641 | |||||
540,000 | 557,908 | |||||
575,000 | 597,244 | |||||
215,000 | 237,641 | |||||
Total Pipelines
|
$
4,498,834
|
|||||
REITs - 1.5%
|
||||||
EUR
210,000
|
$ 247,524 | |||||
890,000 | 745,610 | |||||
10,000 | Uniti Group LP/Uniti Group Finance 2019, Inc./ |
8,609 |
|
Principal
Amount USD ($) |
Value
|
|||||
REITs - (continued)
|
||||||
410,000 | Uniti Group LP/Uniti Group Finance 2019, Inc./ |
$ 436,719 | ||||
140,000 | Uniti Group LP/Uniti Group Finance 2019, Inc./ |
149,124 | ||||
Total REITs
|
$
1,587,586
|
|||||
Retail - 1.2%
|
||||||
GBP
555,000
|
$ 753,216 | |||||
510,000 | 533,160 | |||||
Total Retail
|
$
1,286,376
|
|||||
Telecommunications - 4.7%
|
||||||
695,000 | $ 188,364 | |||||
607,000 | 184,545 | |||||
200,000 | 165,657 | |||||
445,000 | 422,683 | |||||
200,000 | Iliad Holding SASU, 8.50%, |
213,054 | ||||
836,000(k) | 507,845 | |||||
850,000 | 871,569 | |||||
850,000 | 475,865 | |||||
875,000 | 879,842 | |||||
EUR
560,000
|
640,359 | |||||
500,000 | 528,125 | |||||
|
$
5,077,908
|
|||||
Transportation - 2.0%
|
||||||
1,245,000 | $ 1,168,667 | |||||
655,000 | 673,323 | |||||
400,000 | 328,029 | |||||
Total Transportation
|
$
2,170,019
|
|||||
Total Corporate Bonds
(Cost
|
$
88,664,268
|
|||||
Shares
|
Value
|
|||||
Preferred Stock - 0.0%
†
of Net Assets
|
||||||
Internet - 0.0%
†
|
||||||
50,188 | $ 17,566 | |||||
Total Internet
|
$
17,566
|
|||||
Total Preferred Stock
(Cost
|
$
17,566
|
|||||
Right/Warrant - 0.0%
†
of Net Assets
|
||||||
Trading Companies & Distributors - 0.0%
†
|
||||||
GBP
6,475
(c)
|
$ 4,592 | |||||
Total Trading Companies & Distributors
|
$
4,592
|
|||||
Total Right/Warrant
(Cost $-)
|
$
4,592
|
|||||
Principal
Amount USD ($) |
||||||
of
Net Assets# |
||||||
Event Linked Bonds - 17.8%
|
||||||
Earthquakes -
|
||||||
250,000(a) | Sutter Re, 14.313%, (3 Month +
975 bps), |
$ 262,125 | ||||
300,000(a) | Torrey Pines Re, 9.758%, (3 Month +
522 bps), |
309,210 | ||||
$571,335 | ||||||
Earthquakes -
|
||||||
250,000(a) | Ursa Re, 10.061%, (3 Month +
550 bps), |
$ 255,800 | ||||
Flood -
|
||||||
250,000(a) | FloodSmart Re, 16.383%, (3 Month +
1,183 bps), |
$ 255,975 | ||||
500,000(a) | FloodSmart Re, 18.553%, (3 Month +
1,400 bps), |
526,300 | ||||
250,000(a) | FloodSmart Re, 21.70%, (1 Month +
1,715 bps), |
263,950 | ||||
$1,046,225 | ||||||
Multiperil -
|
||||||
500,000(a) | Sanders Re, 12.701%, (3 Month +
814 bps), |
$ 532,500 | ||||
Multiperil -
|
||||||
500,000(a) | Foundation Re, 10.80%, (3 Month +
625 bps), |
$ 514,500 |
|
Principal
Amount USD ($) |
Value
|
|||||
Multiperil -
|
||||||
250,000(a) | Four Lakes Re, 10.303%, (3 Month +
575 bps), |
$ 256,525 | ||||
250,000(a) | Four Lakes Re, 14.042%, (3 Month +
950 bps), |
262,325 | ||||
250,000(a) | High Point Re, 10.30%, (3 Month +
575 bps), |
256,050 | ||||
500,000(a) | MatterhoRe, 12.603%, (SOFR
+
775 bps), |
510,250 | ||||
250,000(a) | Merna Re II, 11.816%, (3 Month +
725 bps), |
257,661 | ||||
250,000(a) | Merna Re II, 13.066%, (3 Month +
850 bps), |
262,944 | ||||
500,000(a) | Mystic Re, 16.553%, (3 Month +
1,200 bps), |
512,300 | ||||
375,000(a) | Residential Re, 12.232%, (3 Month +
769 bps), |
391,875 | ||||
500,000(a) | Residential Re, 12.981%, (1 Month +
842 bps), |
517,150 | ||||
500,000(a) | Residential Re, 16.562%, (3 Month +
1,202 bps), |
496,500 | ||||
250,000(a) | Sanders Re, 10.313%, (3 Month +
575 bps), |
259,500 | ||||
250,000(a) | Sanders Re III, 10.116%, (3 Month +
555 bps), |
259,650 | ||||
250,000(a) | Solomon Re, 10.062%, (3 Month +
552 bps), |
256,900 | ||||
250,000(a) | Stabilitas Re, 13.056%, (3 Month +
849 bps), |
257,700 | ||||
250,000(a) | Topanga Re, 9.611%, (3 Month +
505 bps), |
248,625 | ||||
$5,520,455 | ||||||
Multiperil -
|
||||||
250,000(a) | Atlas Re, 17.475%, (SOFR
+
1,250 bps), |
$ 278,625 | ||||
500,000(a) | Galileo Re, 11.542%, (3 Month +
700 bps), |
516,050 | ||||
250,000(a) | Kilimanjaro II Re, 11.792%, (3 Month +
725 bps), |
260,450 | ||||
250,000(a) | Kilimanjaro III Re, 16.91%, (3 Month +
1,236 bps), |
259,250 | ||||
250,000(a) | Kilimanjaro III Re, 16.91%, (3 Month +
1,236 bps), |
251,350 |
Principal
Amount USD ($) |
Value
|
|||||
Multiperil -
|
||||||
250,000(a) | MatterhoRe, 10.669%, (SOFR
+
575 bps), |
$ 231,250 | ||||
250,000(a) | +
975 bps), |
273,825 | ||||
250,000(a) | +
1,250 bps), |
262,975 | ||||
250,000(a) | Mystic Re IV, 10.642%, (3 Month +
610 bps), |
251,000 | ||||
500,000(a) | Mystic Re IV, 16.253%, (3 Month +
1,169 bps), |
505,250 | ||||
$3,090,025 | ||||||
Multiperil -
|
||||||
250,000(a) | Aquila Re, 12.833%, (3 Month +
827 bps), |
$ 264,200 | ||||
250,000(a) | Aquila Re, 13.748%, (3 Month +
918 bps), |
266,500 | ||||
$530,700 | ||||||
Multiperil - Worldwide - 0.7%
|
||||||
250,000(a) | +
772 bps), |
$ 255,675 | ||||
250,000(a) | Cat Re 2001, 17.053%, (3 Month +
1,250 bps), |
255,050 | ||||
250,000(a) | Kendall Re, 12.303%, (3 Month +
775 bps), |
254,000 | ||||
$764,725 | ||||||
Windstorm -
|
||||||
250,000(a) | Integrity Re, 11.393%, (3 Month +
683 bps), |
$ 25,000 | ||||
250,000(a) | Marlon Re, 11.566%, (3 Month +
700 bps), |
251,625 | ||||
250,000(a) | Merna Re II, 13.316%, (3 Month +
875 bps), |
249,375 | ||||
250,000(a) | Purple Re, 13.561%, (1 Month +
900 bps), |
258,800 | ||||
$784,800 | ||||||
|
Principal
Amount USD ($) |
Value
|
|||||
Windstorm -
|
||||||
250,000(a) | +
1,222 bps), |
$ 258,500 | ||||
250,000(a) | +
1,372 bps), |
263,225 | ||||
$521,725 | ||||||
Windstorm -
|
||||||
500,000(a) | Blue Ridge Re, 12.553%, (1 Month +
800 bps), |
$ 519,500 | ||||
250,000(a) | +
959 bps), |
254,750 | ||||
$774,250 | ||||||
Windstorm -
|
||||||
250,000(a) | Alamo Re, 6.00%, (1 Month +
600 bps), |
$ 261,125 | ||||
250,000(a) | Alamo Re, 15.813%, (1 Month +
1,125 bps), |
265,175 | ||||
$526,300 | ||||||
Windstorm -
|
||||||
250,000(a) | Alamo Re, 12.945%, (1 Month +
839 bps), |
$ 262,225 | ||||
250,000(a) | Bonanza Re, 10.173%, (3 Month +
562 bps), |
249,250 | ||||
250,000(a) | Bonanza Re, 13.016%, (3 Month +
845 bps), |
260,200 | ||||
250,000(a) | +
842 bps), |
261,575 | ||||
250,000(a) | Gateway Re, 18.502%, (1 Month +
1,396 bps), |
271,225 | ||||
250,000(a) | Gateway Re II, 13.461%, (3 Month +
890 bps), |
267,700 | ||||
250,000(a) | Merna Re II, 14.811%, (3 Month +
1,025 bps), |
264,975 | ||||
250,000(a) | Purple Re, 17.548%, (1 Month Term SOFR
+
1,281 bps), |
245,000 | ||||
500,000(a) | Queen Street Re, 12.076%, (3 Month +
750 bps), |
514,250 | ||||
$2,596,400 | ||||||
Principal
Amount USD ($) |
Value
|
||||||
Windstorm -
|
|||||||
250,000(a) | Gateway Re, 4.542%, (1 Month +
0 bps), |
$ 249,225 | |||||
250,000(a) | Gateway Re, 4.542%, (1 Month +
0 bps), |
249,225 | |||||
$498,450 | |||||||
Windstorm -
|
|||||||
250,000(a) | Citrus Re, 11.143%, (3 Month +
659 bps), |
$ 260,925 | |||||
250,000(a) | Citrus Re, 13.323%, (3 Month +
877 bps), |
261,175 | |||||
250,000(a) | Citrus Re, 13.811%, (3 Month +
925 bps), |
259,425 | |||||
$781,525 | |||||||
Winterstorm -
|
|||||||
250,000(a) | Integrity Re, 17.426%, (1 Month +
1,286 bps), |
$ 250,000 | |||||
250,000(a) | Lightning Re, 15.561%, (3 Month +
1,100 bps), |
266,250 | |||||
$516,250 | |||||||
Total Event Linked Bonds
|
$19,311,465
|
||||||
Face
Amount USD ($) |
||||||
Collateralized Reinsurance - 4.6%
|
||||||
Multiperil -
|
||||||
250,000(c)(m)
+
|
Portsalon Re 2022, |
$ 229,230 | ||||
Multiperil -
|
||||||
264,839(m)
+
|
Ballybunion Re 2022, |
$ - | ||||
250,000(c)(m)
+
|
228,390 | |||||
250,000(c)(m)
+
|
237,040 | |||||
878,691(c)(m)
+
|
PI0047 2024-1, |
949,312 | ||||
$1,414,742 | ||||||
Multiperil - Worldwide - 1.7%
|
||||||
100,000(c)(m)
+
|
Dartmouth Re 2021, |
$ 15,000 | ||||
500,000(c)(m)
+
|
Gamboge Re, |
487,815 | ||||
750,000(c)(m)
+
|
Merion Re 2024-1, |
763,988 | ||||
250,000(c)(m)
+
|
Old Head Re 2024, |
246,132 | ||||
250,000(c)(m)
+
|
243,170 |
|
Face
Amount USD ($) |
Value
|
|||||
Multiperil - Worldwide - (continued)
|
||||||
250,000(c)(m)
+
|
Walton Health Re 2019, |
$ 45,079 | ||||
250,000(c)(m)
+
|
Walton Health Re 2022, |
36,438 | ||||
$1,837,622 | ||||||
Windstorm -
|
||||||
250,000(c)(m)
+
|
$ 251,300 | |||||
Windstorm -
|
||||||
250,000(c)(m)
+
|
Aberystwyth-PI0049, |
$ 245,575 | ||||
250,000(c)(m)
+
|
PI0048 Re 2024, |
245,725 | ||||
$491,300 | ||||||
Windstorm -
|
||||||
350,000(c)
+
|
Dover-PI0052 Re 2024, |
$ 346,753 | ||||
Windstorm -
|
||||||
1,015,734(c)(m)
+
|
Oakmont Re 2020, |
$ - | ||||
500,000(c)(m)
+
|
Oakmont Re 2024, |
500,552 | ||||
$500,552 | ||||||
Total Collateralized Reinsurance
|
$
5,071,499
|
|||||
Reinsurance Sidecars - 8.6%
|
||||||
Multiperil -
†
|
||||||
226,387(c)(m)
+
|
Carnoustie Re 2023, |
$ 16,953 | ||||
1,000,000(c)(n)
+
|
Harambee Re 2018, |
500 | ||||
1,000,000(n)
+
|
Harambee Re 2019, |
- | ||||
500,000(c)(n)
+
|
Harambee Re 2020, |
- | ||||
$17,453 | ||||||
Multiperil -
†
|
||||||
250,000(c)(m)
+
|
Brotherhood Re, |
$ - | ||||
Multiperil - Worldwide - 8.6%
|
||||||
225,450(n)
+
|
Alturas Re 2020-3, |
$ - | ||||
213,682(n)
+
|
Alturas Re 2021-3, |
9,039 | ||||
376,048(c)(n)
+
|
Alturas Re 2022-2, |
23,992 | ||||
500,000(c)
+
|
Banbury-PI0050 Re 2024, |
522,819 | ||||
1,000,000(c)(m)
+
|
Bantry Re 2024, |
1,134,099 | ||||
993,323(c)(m)
+
|
Berwick Re 2020-1, |
7,128 | ||||
1,000,000(c)(m)
+
|
Berwick Re 2024-1, |
1,102,027 | ||||
500,000(c)(m)
+
|
Carnoustie Re 2024, |
550,969 | ||||
500,000(m)
+
|
Eccleston Re 2023, |
31,574 | ||||
49,927(c)(m)
+
|
Eden Re II, |
2,686 | ||||
80,000(c)(m)
+
|
Eden Re II, |
1,489 | ||||
3,000(m)
+
|
Eden Re II, |
16,516 |
Face
Amount USD ($) |
Value
|
|||||
Multiperil - Worldwide - (continued)
|
||||||
250,000(c)(m)
+
|
Gleneagles Re 2021, |
$ 25 | ||||
250,000(c)(m)
+
|
Gleneagles Re 2022, |
37,500 | ||||
1,000,000(c)(m)
+
|
Gullane Re 2024, |
1,076,245 | ||||
498,977(c)(n)
+
|
Lorenz Re 2019, |
4,092 | ||||
500,000(c)(m)
+
|
Merion Re 2021-2, |
30,000 | ||||
363,953(c)(m)
+
|
Merion Re 2022-2, |
345,068 | ||||
500,000(c)(m)
+
|
Pangaea Re 2024-1, |
562,247 | ||||
500,000(c)(m)
+
|
Pangaea Re 2024-3, |
529,499 | ||||
250,000(c)(m)
+
|
266,850 | |||||
1,179(m)
+
|
Sector Re V, |
28,170 | ||||
500,000(c)(m)
+
|
Sector Re V, |
641,568 | ||||
500,000(c)(m)
+
|
Sector Re V, |
641,568 | ||||
250,000(m)
+
|
Sussex Re 2021-1, |
250 | ||||
500,000(m)
+
|
Sussex Re 2022, |
400 | ||||
300,000(c)(n)
+
|
Thopas Re 2020, |
60 | ||||
250,000(c)(n)
+
|
Thopas Re 2021, |
2,600 | ||||
250,000(c)(n)
+
|
Thopas Re 2022, |
- | ||||
766,025(c)(n)
+
|
Thopas Re 2023, |
- | ||||
766,025(c)(n)
+
|
Thopas Re 2024, |
939,376 | ||||
375,860(n)
+
|
Torricelli Re 2021, |
1,879 | ||||
500,000(n)
+
|
Torricelli Re 2022, |
450 | ||||
750,000(n)
+
|
Torricelli Re 2023, |
9,975 | ||||
750,000(c)(n)
+
|
Torricelli Re 2024, |
780,000 | ||||
500,000(c)(n)
+
|
Viribus Re 2018, |
- | ||||
212,306(n)
+
|
Viribus Re 2019, |
- | ||||
240,783(c)(n)
+
|
Viribus Re 2020, |
8,162 | ||||
221,888(c)(n)
+
|
Viribus Re 2022, |
- | ||||
$9,308,322 | ||||||
Total Reinsurance Sidecars
|
$
9,325,775
|
|||||
(Cost
|
$
33,708,739
|
|||||
|
Principal
Amount USD ($) |
Value
|
|||||
Foreign Government Bonds - 1.1%
of
Net Assets |
||||||
|
||||||
448,000 | Angolan Government International Bond, 8.250%, |
$ 427,732 | ||||
Total
|
$
427,732
|
|||||
|
||||||
10,240(g) | Ghana Government International Bond, 0.000%, |
$ 9,498 | ||||
20,213(g) | Ghana Government International Bond, 0.000%, |
15,298 | ||||
16,000(g) | Ghana Government International Bond, 0.000%, |
14,840 | ||||
32,987(g) | Ghana Government International Bond, 0.000%, |
24,965 | ||||
77,440(l) | Ghana Government International Bond, 5.000%, |
66,405 | ||||
111,360(l) | Ghana Government International Bond, 5.000%, |
77,423 | ||||
121,000(l) | Ghana Government International Bond, 5.000%, |
103,758 | ||||
174,000(l) | Ghana Government International Bond, 5.000%, |
120,973 | ||||
Total
|
$
433,160
|
|||||
|
||||||
20,419(l) | Ukraine Government International Bond, 0.000%, |
$ 9,850 | ||||
76,302(l) | Ukraine Government International Bond, 0.000%, |
28,613 | ||||
64,481(l) | Ukraine Government International Bond, 0.000%, |
31,434 | ||||
53,734(l) | Ukraine Government International Bond, 0.000%, |
25,927 | ||||
149,521(l) | Ukraine Government International Bond, 1.750%, |
89,712 | ||||
130,830(l) | Ukraine Government International Bond, 1.750%, |
62,471 | ||||
93,450(l) | Ukraine Government International Bond, 1.750%, |
43,436 | ||||
Total
|
$
291,443
|
|||||
Total Foreign Government Bonds
(Cost
|
$
1,152,335
|
|||||
Shares
|
Value
|
|||||
SHORT TERM INVESTMENTS - 0.9%
of Net
Assets |
||||||
|
||||||
941,235(o) | Dreyfus Government Cash Management, Institutional Shares, 4.76% |
$ 941,235 | ||||
$941,235 | ||||||
TOTAL SHORT TERM INVESTMENTS
(Cost
|
$
941,235
|
|||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 141.2%
(Cost
|
|
|||||
OTHER ASSETS AND LIABILITIES - (41.2)%
|
||||||
net assets - 100.0%
|
|
|||||
bps | Basis Points. |
CMT | Constant Maturity Treasury Index. |
EURIBOR | Euro Interbank Offered Rate. |
FREMF | Freddie Mac Multifamily Fixed-Rate Mortgage Loans. |
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 |
(a) | Floating rate note. Coupon rate, reference index and spread shown at |
(b) | All or a portion of this senior loan position has not settled. Rates do not take effect until settlement date. Rates shown, if any, are for the settled portion. |
(c) | Non-income producing security. |
(d) | Securities purchased on a when-issued basis. Rates do not take effect until settlement date. |
(e) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at |
(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) | Security is in default. |
(l) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at |
(m) | Issued as participation notes. |
(n) | Issued as preference shares. |
(o) | Rate periodically changes. Rate disclosed is the 7-day yield at |
* | 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 SOFR, (ii) the prime rate offered by one or more major |
+ | Security is valued using significant unobservable inputs (Level 3). |
† | Amount rounds to less than 0.1%. |
# | Securities are restricted as to resale. |
|
Acquisition date
|
Cost
|
Value
|
Aberystwyth-PI0049 | |||
Alamo Re | 250,000 | 262,225 | |
Alamo Re | 250,000 | 261,125 | |
Alamo Re | 250,000 | 265,175 | |
Alturas Re 2020-3 | - | - | |
Alturas Re 2021-3 | 20,769 | 9,039 | |
Alturas Re 2022-2 | 761 | 23,992 | |
Aquila Re | 250,000 | 264,200 | |
Aquila Re | 250,000 | 266,500 | |
250,000 | 255,675 | ||
Atlas Re | 250,000 | 278,625 | |
Ballybunion Re 2022 | - | - | |
Banbury-PI0050 Re 2024 | 500,000 | 522,819 | |
Bantry Re 2024 | 988,243 | 1,134,099 | |
Berwick Re 2020-1 | - | 7,128 | |
Berwick Re 2024-1 | 1,000,000 | 1,102,027 | |
Blue Ridge Re | 500,000 | 519,500 | |
Bonanza Re | 250,000 | 260,200 | |
Bonanza Re | 238,951 | 249,250 | |
Brotherhood Re | 39,767 | - | |
250,000 | 254,750 | ||
250,000 | 261,575 | ||
Carnoustie Re 2023 | - | 16,953 | |
Carnoustie Re 2024 | 500,000 | 550,969 | |
Cat Re 2001 | 250,000 | 255,050 | |
196,626 | 228,390 | ||
Citrus Re | 250,000 | 261,175 |
|
Acquisition date
|
Cost
|
Value
|
Citrus Re | |||
Citrus Re | 250,000 | 259,425 | |
Dartmouth Re 2021 | 11,466 | 15,000 | |
Dover-PI0052 Re 2024 | 330,794 | 346,753 | |
Eccleston Re 2023 | - | 31,574 | |
Eden Re II | 16,575 | 2,686 | |
Eden Re II | 1,569 | 1,489 | |
Eden Re II | - | 16,516 | |
FloodSmart Re | 250,000 | 255,975 | |
FloodSmart Re | 250,000 | 263,950 | |
FloodSmart Re | 500,000 | 526,300 | |
Foundation Re | 500,000 | 514,500 | |
Four Lakes Re | 250,000 | 256,525 | |
Four Lakes Re | 250,000 | 262,325 | |
Galileo Re | 501,101 | 516,050 | |
Gamboge Re | 436,328 | 487,815 | |
Gateway Re | 250,000 | 271,225 | |
Gateway Re | 246,289 | 249,225 | |
Gateway Re | 235,288 | 249,225 | |
Gateway Re II | 250,000 | 267,700 | |
Gleneagles Re 2021 | 4,575 | 25 | |
Gleneagles Re 2022 | 104,409 | 37,500 | |
Gullane Re 2024 | 969,259 | 1,076,245 | |
Harambee Re 2018 | 17,375 | 500 | |
Harambee Re 2019 | - | - | |
Harambee Re 2020 | - | - | |
High Point Re | 250,000 | 256,050 | |
Integrity Re | 250,000 | 25,000 | |
Integrity Re | 250,000 | 250,000 | |
250,000 | 258,500 | ||
242,415 | 263,225 | ||
Kendall Re | 250,000 | 254,000 | |
Kilimanjaro II Re | 250,000 | 260,450 | |
Kilimanjaro III Re | 250,000 | 259,250 | |
Kilimanjaro III Re | 250,000 | 251,350 | |
Lightning Re | 250,000 | 266,250 | |
Lorenz Re 2019 | 75,879 | 4,092 | |
224,653 | 237,040 | ||
231,766 | 251,300 | ||
Marlon Re | 250,000 | 251,625 | |
MatterhoRe | 250,000 | 231,250 | |
MatterhoRe | 500,000 | 510,250 |
|
|
Acquisition date
|
Cost
|
Value
|
Merion Re 2021-2 | |||
Merion Re 2022-2 | 363,953 | 345,068 | |
Merion Re 2024-1 | 632,676 | 763,988 | |
Merna Re II | 250,000 | 264,975 | |
Merna Re II | 250,000 | 257,661 | |
Merna Re II | 250,000 | 249,375 | |
Merna Re II | 250,000 | 262,944 | |
250,000 | 262,975 | ||
250,000 | 273,825 | ||
Mystic Re | 499,254 | 512,300 | |
Mystic Re IV | 500,000 | 505,250 | |
Mystic Re IV | 249,880 | 251,000 | |
Oakmont Re 2020 | - | - | |
Oakmont Re 2024 | 443,679 | 500,552 | |
Old Head Re 2024 | 183,891 | 246,132 | |
Pangaea Re 2024-1 | 500,000 | 562,247 | |
Pangaea Re 2024-3 | 500,000 | 529,499 | |
194,948 | 266,850 | ||
PI0047 2024-1 | 872,164 | 949,312 | |
PI0048 Re 2024 | 210,613 | 245,725 | |
207,298 | 243,170 | ||
Portsalon Re 2022 | 202,158 | 229,230 | |
Purple Re | 250,000 | 245,000 | |
Purple Re | 250,000 | 258,800 | |
500,000 | 514,250 | ||
Residential Re | 500,000 | 496,500 | |
Residential Re | 375,000 | 391,875 | |
Residential Re | 500,000 | 517,150 | |
Sanders Re | 500,000 | 532,500 | |
Sanders Re | 250,000 | 259,500 | |
Sanders Re III | 250,000 | 259,650 | |
Sector Re V | - | 28,170 | |
Sector Re V | 500,000 | 641,568 | |
Sector Re V | 500,000 | 641,568 | |
Solomon Re | 250,000 | 256,900 | |
Stabilitas Re | 250,000 | 257,700 | |
Sussex Re 2021-1 | - | 250 | |
Sussex Re 2022 | - | 400 | |
Sutter Re | 250,000 | 262,125 | |
Thopas Re 2020 | - | 60 | |
Thopas Re 2021 | - | 2,600 | |
Thopas Re 2022 | - | - | |
Thopas Re 2023 | - | - | |
Thopas Re 2024 | 766,025 | 939,376 |
|
Acquisition date
|
Cost
|
Value
|
Topanga Re | |||
Torrey Pines Re | 300,000 | 309,210 | |
Torricelli Re 2021 | - | 1,879 | |
Torricelli Re 2022 | - | 450 | |
Torricelli Re 2023 | - | 9,975 | |
Torricelli Re 2024 | 743,994 | 780,000 | |
Ursa Re | 250,000 | 255,800 | |
Viribus Re 2018 | 8,294 | - | |
Viribus Re 2019 | - | - | |
Viribus Re 2020 | 24,541 | 8,162 | |
Viribus Re 2022 | - | - | |
Walton Health Re 2019 | - | 45,079 | |
Walton Health Re 2022 | 875 | 36,438 | |
|
|||
% of Net assets
|
31.0% |
Currency
Purchased |
In
Exchange for |
Currency
Sold |
Deliver
|
Counterparty
|
Settlement
Date |
Unrealized
Appreciation (Depreciation) |
EUR | 191,000 | USD | 214,123 | |||
EUR | 2,370,000 | USD | 2,652,172 | (68,515) | ||
USD | 414,995 | GBP | 310,000 | 15,307 | ||
USD | 6,698,500 | EUR | 6,185,950 | (55,051) | ||
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
|
|
FIXED INCOME INDEX FUTURES CONTRACTS
Number of
Contracts Long |
Description
|
Expiration
Date |
Notional
Amount |
Market
Value |
Unrealized
(Depreciation) |
4 | |||||
TOTAL FUTURES CONTRACTS
|
|
|
|
||
CBT |
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 | |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (9,716,732) |
Net unrealized depreciation |
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 | $- | $- | ||
Common Stocks | ||||
Communications Equipment | - | - | 41,823 | 41,823 |
Financial Services | - | - | 9,158 | 9,158 |
Oil, |
40 | 383 | - | 423 |
- | 528,380 | - | 528,380 | |
Professional Services | - | - | 14 | 14 |
All Other Common Stocks | 49,927 | - | - | 49,927 |
Asset Backed Securities | - | 5,326,087 | 46,000 | 5,372,087 |
Collateralized Mortgage Obligations | - | 2,870,443 | - | 2,870,443 |
- | 10,532,554 | - | 10,532,554 | |
Convertible Corporate Bonds | - | 2,242,014 | - | 2,242,014 |
Corporate Bonds | ||||
Banks | - | 4,819,144 | - * | 4,819,144 |
Level 1
|
Level 2
|
Level 3
|
Total
|
|
$- | $-* | |||
Pharmaceuticals | - | 117,615 | -* | 117,615 |
All Other Corporate Bonds | - | 75,639,720 | - | 75,639,720 |
Preferred Stock | - | 17,566 | - | 17,566 |
Right/Warrant | 4,592 | - | - | 4,592 |
Collateralized Reinsurance | ||||
Multiperil - |
- | - | 229,230 | 229,230 |
Multiperil - |
- | - | 1,414,742 | 1,414,742 |
Multiperil - Worldwide | - | - | 1,837,622 | 1,837,622 |
Windstorm - |
- | - | 251,300 | 251,300 |
Windstorm - |
- | - | 491,300 | 491,300 |
Windstorm - |
- | - | 346,753 | 346,753 |
Windstorm - |
- | - | 500,552 | 500,552 |
Reinsurance Sidecars | ||||
Multiperil - |
- | - | 17,453 | 17,453 |
Multiperil - |
- | - | -* | -* |
Multiperil - Worldwide | - | - | 9,308,322 | 9,308,322 |
All |
- | 19,311,465 | - | 19,311,465 |
Foreign Government Bonds | - | 1,152,335 | - | 1,152,335 |
941,235 | - | - | 941,235 | |
Total Investments in Securities
|
|
|
|
|
Other Financial Instruments
|
||||
Credit Agreement
(a)
|
$- | $- | ||
Net unrealized depreciation on forward foreign currency exchange contracts | - | (114,439) | - | (114,439) |
Net unrealized depreciation on futures contracts | (35,198) | - | - | (35,198) |
Total Other Financial Instruments
|
|
|
$-
|
|
(a) | The Fund may hold liabilities in which the fair value approximates the carrying amount for financial statement purposes. |
* | Securities valued at |
Common
Stocks |
Asset
Backed Securities |
Corporate
Bonds |
Insurance-
Linked Securities |
Total
|
|
Balance as of |
$-* | ||||
Realized gain (loss)
(1)
|
- | - | - | (851,136) | (851,136) |
Changed in unrealized appreciation (depreciation)
(2)
|
(9,313) | (65,467) | (32,417) | 1,205,533 | 1,098,336 |
|
Common
Stocks |
Asset
Backed Securities |
Corporate
Bonds |
Insurance-
Linked Securities |
Total
|
|
Amortization Premium/Discount | - | 7,467 | -* | (1,487,497) | (1,480,030) |
Purchases | 10,107 | - | 1,169 | 4,360,953 | 4,372,229 |
Sales | - | - | - | (427,034) | (427,034) |
Transfers in to Level 3** | 13 | - | 31,248 | - | 31,261 |
Transfers out of Level 3** | - | - | - | - | - |
Balance as of
|
|
|
$-*
|
|
|
(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. |
* | Securities valued at |
** | Transfers are calculated on the beginning of period values. During the six months ended |
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at |
ASSETS:
|
|
Investments in unaffiliated issuers, at value (cost |
|
Cash | 16,942 |
Foreign currencies, at value (cost |
78,238 |
Futures collateral | 58,009 |
Variation margin for futures contracts | 250 |
Unrealized appreciation on forward foreign currency exchange contracts | 15,307 |
Receivables - | |
Investment securities sold | 182,580 |
Dividends | 17,096 |
Interest | 1,930,322 |
Other assets | 1,815 |
Total assets
|
|
LIABILITIES:
|
|
Due to broker for futures | |
Payables - | |
Credit agreement | 43,325,000 |
Investment securities purchased | 3,156,316 |
Directors' fees | 756 |
Interest expense | 230,400 |
Unrealized depreciation on forward foreign currency exchange contracts | 129,746 |
Management fees | 10,597 |
Administrative expenses | 10,987 |
Accrued expenses | 128,300 |
Total liabilities
|
|
NET ASSETS:
|
|
Paid-in capital | |
Distributable earnings (loss) | (61,945,918) |
Net assets
|
|
NET ASSET VALUE PER SHARE:
|
|
No par value | |
Based on |
|
INVESTMENT INCOME:
|
||
Interest from unaffiliated issuers (net of foreign taxes withheld |
||
Dividends from unaffiliated issuers | 894,942 | |
Total Investment Income |
|
|
EXPENSES:
|
||
Management fees | ||
Administrative expenses | 24,771 | |
Transfer agent fees | 7,956 | |
Stockholder communications expense | 31,636 | |
Custodian fees | 1,592 | |
Professional fees | 73,371 | |
Printing expense | 5,822 | |
Officers' and Directors' fees | 4,487 | |
Insurance expense | 1,800 | |
Interest expense | 1,437,205 | |
Miscellaneous | 28,163 | |
Total expenses | ||
Net investment income |
|
|
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
|
||
Net realized gain (loss) on: | ||
Investments in unaffiliated issuers | ||
Forward foreign currency exchange contracts | 17,163 | |
Futures contracts | 23,176 | |
Other assets and liabilities denominated in foreign currencies | 11,067 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investments in unaffiliated issuers | ||
Forward foreign currency exchange contracts | (59,194) | |
Futures contracts | (3,750) | |
Other assets and liabilities denominated in foreign currencies | 6,102 | |
Net realized and unrealized gain (loss) on investments |
|
|
Net increase in net assets resulting from operations |
|
Six Months
Ended (unaudited) |
Year
Ended |
|
FROM OPERATIONS:
|
||
Net investment income (loss) | ||
Net realized gain (loss) on investments | (2,411,886) | (6,239,385) |
Change in net unrealized appreciation (depreciation) on investments | 6,264,676 | 11,315,388 |
Net increase in net assets resulting from operations |
|
|
DISTRIBUTIONS TO COMMON STOCKHOLDERS:
|
||
Net investment income
|
||
( |
||
Total distributions to common stockholders | ||
Net increase in net assets
|
|
|
NET ASSETS:
|
||
Beginning of period | ||
End of period |
|
|
|
Cash Flows From Operating Activities
|
|
Net increase in net assets resulting from operations | |
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 | |
Proceeds from disposition and maturity of investment securities | 36,318,278 |
Net purchases of short term investments | (1,326,250) |
Net accretion and amortization of discount/premium on investment securities | (223,860) |
Net realized loss on investments in unaffiliated issuers | 2,463,292 |
Change in unrealized appreciation on investments in unaffiliated issuers | (6,321,518) |
Change in unrealized depreciation on forward foreign currency exchange contracts | 59,194 |
Decrease in due from broker for futures | 4,125 |
Increase in dividends receivable | (323) |
Decrease in interest receivable | 51,165 |
Increase in other assets | (1,764) |
Decrease in variation margin for futures contracts | (4,375) |
Decrease in management fees payable | (6,276) |
Decrease in directors' fees payable | (122) |
Increase in due to broker for futures | 250 |
Increase in administrative expenses payable | 1,632 |
Increase in accrued expenses payable | 8,967 |
Net cash, restricted cash and foreign currencies from operating activities | |
Cash Flows Used In Financing Activities:
|
|
Borrowings received | 2,000,000 |
Increase in interest expense payable | 18,609 |
Distributions to stockholders | (4,875,834) |
Net cash flows used in financing activities | |
NET INCREASE (DECREASE) IN CASH, RESTRICTED CASH AND FOREIGN CURRENCIES
|
|
Cash, Restricted Cash and Foreign Currencies:
|
|
Beginning of period* | |
End of period* | |
Cash Flow Information:
|
|
Cash paid for interest |
* | 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 |
Year Ended
|
|
Cash | ||
Foreign currenices, at value | 78,238 | 1,389,222 |
Restricted cash | 58,009 | 36,816 |
Total cash and foreign currencies shown in the Statement of Cash Flows
|
|
|
Six Months
Ended (unaudited) |
Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
|
Per Share Operating Performance
|
||||||
Net asset value, beginning of period | ||||||
Increase (decrease) from investment operations: | ||||||
Net investment income (loss)(a) | ||||||
Net realized and unrealized gain (loss) on investments | 0.47 | 0.61 | (1.78) | (2.05) | 3.16 | (3.59) |
Net increase (decrease) from investment operations
|
|
|
|
|
|
|
Distributions to stockholders: | ||||||
Net investment income and previously undistributed net investment income | ||||||
Tax retuof capital | - | - | (0.04) | - | - | - |
Total distributions
|
|
|
|
|
|
|
Net increase (decrease) in net asset value
|
|
|
|
|
|
|
Net asset value, end of period | ||||||
Market value, end of period | ||||||
Total retuat net asset value(b)
|
9.30%(c)
|
17.95%
|
(3.46)%
|
(5.19)%
|
37.08%
|
(15.21)%
|
Total retuat market value(b)
|
12.73%(c)
|
26.38%
|
(8.96)%
|
(9.99)%
|
49.94%
|
(16.84)%
|
Ratios to average net assets of stockholders: | ||||||
Total expenses plus interest expense(d) | 4.20%(e) | 4.54% | 3.42% | 2.11% | 2.06% | 2.88% |
Net investment income available to stockholders | 9.88%(e) | 10.42% | 9.39% | 8.42% | 8.49% | 7.64% |
Portfolio turnover rate | 23%(c) | 31% | 25% | 46% | 57% | 52% |
Net assets, end of period (in thousands) | ||||||
Total amount of debt outstanding (in thousands) | ||||||
Asset coverage per |
* | 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 retuis 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 retudoes not reflect brokerage commissions. Past performance is not a guarantee of future results. |
(c) | Not annualized. |
(d) | Includes interest expense of 2.67%, 2.72%, 1.83%, 0.52%, 0.46% and 1.35%, respectively. |
(e) | Annualized. |
|
A.
|
Security Valuation
|
The net asset value of the Fund is computed once daily, on each day the |
|
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, |
|
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 |
|
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 |
|
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, |
|
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 |
|
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 |
|
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 |
|
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 |
|
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 |
|
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 |
2024
|
|
Distributions paid from:
|
|
Ordinary income | |
Total
|
|
2024
|
|
Distributable earnings/(losses):
|
|
Undistributed ordinary income | |
Capital loss carryforward | (60,930,393) |
Net unrealized depreciation | (7,100,254) |
Total
|
|
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 such as between |
|
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 |
|
Governments and central banks, including the |
|
The |
|
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. 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 |
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- |
|
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, poor property management, environmental liabilities, uninsured damage, increased competition, or changes in real estate tax laws. | |
With the increased use of technologies such as the Internet to conduct business, the Fund is susceptible to operational, information security and related risks. While the Fund's Adviser has established business continuity plans in the event of, and risk management systems to prevent, limit or mitigate, such cyber-attacks, there are inherent limitations in such plans and systems, including the possibility that certain risks have not been identified. Furthermore, the Fund cannot control the cybersecurity plans and systems put in place by service providers to the Fund such as the Fund's custodian and accounting agent, and the Fund's transfer agent. In addition, many beneficial owners of Fund shares hold them through accounts at broker-dealers, retirement platforms and other financial market participants over which neither the Fund nor the Adviser exercises control. Each of these may in turely 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.
|
|
1933.
Private place
ment
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 |
|
G.
|
|
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.
|
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 |
|
During the six months ended |
|
The average market value of forward foreign currency exchange contracts open during the six months ended |
|
I.
|
Futures Contracts
|
The Fund may enter into futures transactions in order to attempt to hedge against changes in interest rates, securities prices and currency exchange rates or to seek to increase total return. Futures contracts are types of derivatives. | |
All futures contracts entered into by the Fund are traded on a futures exchange. Upon entering into a futures contract, the Fund is required to deposit with a broker an amount of cash or securities equal to the minimum "initial margin" requirements of the associated futures exchange. The amount of cash deposited with the broker as collateral at |
Subsequent payments for futures contracts ("variation margin") are paid or received by the Fund, depending on the daily fluctuation in the value of the contracts, and are recorded by the Fund as unrealized appreciation or depreciation. Cash received from or paid to the broker related to previous margin movement is held in a segregated account at the broker and is recorded as either "Due from broker for futures" or "Due to broker for futures" on the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the opening and closing value of the contract as well as any fluctuation in foreign currency exchange rates where applicable. Futures contracts are subject to market risk, interest rate risk and currency exchange rate risk. Changes in value of the contracts may not directly correlate to the changes in value of the underlying securities. With futures, there is reduced counterparty credit risk to the Fund since futures are exchange-traded and the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. | |
The average notional values of long position and short position futures contracts during the six months ended |
|
J.
|
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 |
|
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 |
|
K.
|
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 |
|
Counterparty
|
Derivative
Assets Subject to |
Derivatives
Available for Offset |
Non-Cash
Collateral Received(a) |
Cash
Collateral Received(a) |
Net Amount
of Derivative Assets(b) |
Bank of |
$- | $- | $- | $- | $- |
Brown Brothers |
- | - | - | - | - |
State Street |
15,307 | (15,307) | - | - | - |
Total
|
|
|
$-
|
$-
|
$-
|
Counterparty
|
Derivative
Liabilities Subject to |
Derivatives
Available for Offset |
Non-Cash
Collateral Pledged(a) |
Cash
Collateral Pledged(a) |
Net Amount
of Derivative Liabilities(c) |
Bank of |
$- | $- | $- | ||
Brown Brothers |
68,515 | - | - | - | 68,515 |
State Street |
55,051 | (15,307) | - | - | 39,744 |
Total
|
|
|
$-
|
$-
|
|
|
Statement of Assets
and Liabilities |
Interest
Rate Risk |
Credit
Risk |
Foreign
Exchange Rate Risk |
Equity
Risk |
Commodity
Risk |
Assets
|
|||||
Unrealized appreciation on forward foreign currency exchange contracts | $- | $- | $- | $- | |
Total Value
|
$-
|
$-
|
|
$-
|
$-
|
Liabilities
|
|||||
Net unrealized depreciation on futures contracts^ | $- | $- | $- | $- | |
Unrealized depreciation on forward foreign currency exchange contracts | - | - | 129,746 | - | - |
Total Value
|
|
$-
|
|
$-
|
$-
|
^ | Includes cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only net variation margin is reported within the assets and/or liabilities 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
|
|||||
Futures contracts | $- | $- | $- | $- | |
Forward foreign currency exchange contracts | - | - | 17,163 | - | - |
Total Value
|
|
$-
|
|
$-
|
$-
|
Change in Net Unrealized Appreciation (Depreciation) on
|
|||||
Futures contracts | $- | $- | $- | $- | |
Forward foreign currency exchange contracts | - | - | (59,194) | - | - |
Total Value
|
|
$-
|
|
$-
|
$-
|
|
|
|
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
|
4,039,479 | 1,595,753 | 91,957 | |
4,058,462 | 1,582,705 | 86,018 | |
4,035,046 | 1,613,822 | 78,319 |
|
|
|
Chief Executive Officer
and Chief Financial and
Accounting Officer
Chief Legal Officer
|
change of address, lost stock certificates,
stock transferOperations Center
P.O. Box 922
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 19(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 19(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-CSRto 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 19(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.
(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-approvalpolicies and procedures described in paragraph (c)(7) of Rule 2-01of 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
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-approvalis required pursuant to Rule 210.2-01(c)(7)(ii).
In addition to the procedures set forth in this policy, any non-auditservices that may be provided consistently with Rule 210.2-01may be approved by the Audit Committee itself and any pre-approvalthat 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-RELATEDSERVICES |
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, |
• 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 |
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• "One-time"pre-approvalfor the audit period for all pre-approvedspecific 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-approvalfor the fund fiscal year within a specified dollar limit for all pre-approvedspecific 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-approveddollar 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 SERVICE SUBCATEGORIES |
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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-approvalfor the fund fiscal year within a specified dollar limit |
• 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-approveddollar 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" |
SECTION III - POLICY DETAIL, CONTINUED
SERVICE CATEGORY |
SERVICE CATEGORY DESCRIPTION |
SPECIFIC PRE-APPROVED SERVICE SUBCATEGORIES |
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IV. OTHER SERVICES |
Services which are not prohibited by the Rule, |
• Business Risk Management support |
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A. SYNERGISTIC, UNIQUE QUALIFICATIONS | 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. |
• Other control and regulatory compliance projects |
AUDIT COMMITTEE APPROVAL POLICY |
AUDIT COMMITTEE REPORTING POLICY |
|
• "One-time"pre-approvalfor the fund fiscal year within a specified dollar limit |
• 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-approveddollar 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-approvedto the left, or to add a specific service subcategory as "pre-approved" |
SECTION III - POLICY DETAIL, CONTINUED
SERVICE CATEGORY |
SERVICE CATEGORY DESCRIPTION |
SPECIFIC PROHIBITED SERVICE SUBCATEGORIES |
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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-kindreports | ||||
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 |
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:
o 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.
o Potential services will be classified into the four non-restrictedservice categories and the "Approval of Audit, Audit-Related, Tax and Other Services" Policy above will be applied. Any services outside the specific pre-approvedservice subcategories set forth above must be specifically approved by the Audit Committee.
o 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 2-01of Regulation S-X.
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(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.
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(g) Disclose the aggregate non-auditfees billed by the registrants accountant for services rendered to the registrant, and rendered to the registrants investment adviser (not including any sub-adviserwhose 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.
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(h) Disclose whether the registrants audit committee of the Board of Directors has considered whether the provision of non-auditservices 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-approvedpursuant to paragraph (c)(7)(ii) of Rule 2-01of Regulation S-Xis 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-auditservices that were rendered to the Affiliates (as defined) that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01of Regulation S-Xis 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
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
(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;
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(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;
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(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;
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(4) The name of each official of the
N/A
(5) Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the
N/A
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
(a) If the registrant is a listed issuer as defined in Rule 10A-3under 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.
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(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. FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR CLOSED-ENDMANAGEMENT INVESTMENT COMPANIES
Included in Item 1
ITEM 8. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR CLOSED-ENDMANAGEMENT INVESTMENT COMPANIES.
Included in Item 1
N/A
Item 10. REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF CLOSED-ENDMANAGEMENT INVESTMENT COMPANIES. (Unaudited)
Each Board Member also serves as a Board Member of other Funds in the Pioneer Family of Funds complex. Annual retainer fees and attendance fees are allocated to each Fund based on net assets. Directors' fees paid by the Fund are within Item 1. Statement of Operations as Directors' fees and expenses.
Item 11. STATEMENT REGARDING BASIS FOR APPROVAL OF INVESMENT ADVISORY CONTRACT. (Unaudited)
Approval of Renewal of Investment Management Agreement
The contract review process began in January 2024 as the Directors of the Fund agreed on, among other things, an overall approach and timeline for the process. Contract review materials were provided to the Directors in March 2024, July 2024 and September 2024. In addition, the Directors reviewed and discussed the Fund's performance at regularly scheduled meetings throughout the year, and took into account other information related to the Fund provided to the Directors at regularly scheduled meetings, in connection with the review of the Fund's investment management agreement.
In March 2024, the Directors, among other things, discussed the memorandum provided by Fund counsel that summarized the legal standards and other considerations that are relevant to the Directors in their deliberations regarding the renewal of the investment management agreement, and reviewed and discussed the qualifications of the investment management teams for the Fund, as well as the level of investment by the Fund's portfolio managers in the Fund. In July 2024, the Directors, among other things, reviewed the Fund's management fees and total expense ratios, the financial statements of Amundi US and its parent companies, profitability analyses provided by Amundi US, and analyses from Amundi US as to possible economies of scale. The Directors also reviewed the profitability of the institutional business of Amundi US as compared to that of Amundi US's fund management business, and considered the differences between the fees and expenses of the Fund and the fees and expenses of Amundi US's institutional accounts, as well as the different services provided by Amundi US to the Fund and to the institutional accounts. The Directors further considered contract review materials, including additional materials received in response to the Directors' request, in September 2024.
At a meeting held on September 17, 2024, based on their evaluation of the information provided by Amundi US and third parties, the Directors of the Fund, including the Independent Directors voting separately advised by independent counsel, unanimously approved the renewal of the investment management agreement for another year. In approving the renewal of the investment management agreement, the Directors considered various factors that they determined were relevant, including the factors described below. The Directors did not identify any single factor as the controlling factor in determining to approve the renewal of the agreement.
Nature, Extent and Quality of Services. The Directors considered the nature, extent and quality of the services that had been provided by Amundi US to the Fund, taking into account the investment objective and strategy of the Fund. The Directors also reviewed Amundi US's investment approach for the Fund and its research process. The Directors considered the resources of Amundi US and the personnel of Amundi US who provide investment management services to the Fund. They also reviewed the amount of non-Fundassets managed by the portfolio managers of the Fund. They considered the non-investmentresources and personnel of Amundi US that are involved in Amundi US's services to the Fund, including Amundi US's compliance, risk management, and legal resources and personnel. The Directors considered the compliance services being provided to the Fund by Amundi US and how Amundi US has addressed any compliance issues during the past year. The Directors noted the substantial attention and high priority given by Amundi US's senior management to the Pioneer Fund complex, including with respect to the increasing regulation to which the Pioneer Funds are subject.
The Directors considered that Amundi US supervises and monitors the performance of the Fund's service providers and provides the Fund with personnel (including Fund officers) and other resources that are necessary for the Fund's business management and operations. The Directors also considered that, as administrator, Amundi US is responsible for the administration of the Fund's business and other affairs. The Directors considered that the Fund reimburses Amundi US its pro rata share of Amundi US's costs of providing administration services to the Pioneer Funds.
Based on these considerations, the Directors concluded that the nature, extent and quality of services that had been provided by Amundi US to the Fund were satisfactory and consistent with the terms of the investment management agreement.
Performance of the Fund. In considering the Fund's performance, the Directors regularly review and discuss throughout the year data prepared by Amundi US and information comparing the Fund's performance with the performance of its peer group of funds, as classified by
Management Fee and Expenses. The Directors considered information showing the fees and expenses of the Fund in comparison to the management fees and expense ratios of a peer group of funds selected on the basis of criteria determined by the Independent Directors for this purpose using data provided by Strategic Insight Mutual Fund Research and Consulting, LLC (Strategic Insight), an independent third party. The peer group comparisons referred to below are organized in quintiles. Each quintile represents one-fifthof the peer group. In all peer group comparisons referred to below, first quintile is most favorable to the Fund's shareowners.
The Directors considered that the Fund's management fee (based on managed assets) for the most recent fiscal year was in the third quintile relative to the management fees paid by other funds in its Strategic Insight peer group for the comparable period. The Directors considered that the expense ratio (based on managed assets) of the Fund's common shares for the most recent fiscal year was in the third quintile (both including and excluding investment-related expenses) relative to its Strategic Insight peer group for the comparable period.
The Directors reviewed management fees charged by Amundi US to institutional and other clients, including publicly offered European funds sponsored by Amundi US's affiliates, unaffiliated
other client accounts. The Directors noted that, in some instances, the fee rates for those clients were lower than the management fee for the Fund and considered that, under the investment management and administration agreements with the Fund, Amundi US performs additional services for the Fund that it does not provide to those other clients or services that are broader in scope, including oversight of the Fund's other service providers and activities related to compliance and the extensive regulatory and tax regimes to which the Fund is subject. The Directors also considered the entrepreneurial risks associated with Amundi US's management of the Fund.
The Directors concluded that the management fee payable by the Fund to Amundi US was reasonable in relation to the nature and quality of the services provided by Amundi US.
Profitability. The Directors considered information provided by Amundi US regarding the profitability of Amundi US with respect to the advisory services provided by Amundi US to the Fund, including the methodology used by Amundi US in allocating certain of its costs to the management of the Fund. The Directors also considered Amundi US's profit margin in connection with the overall operation of the Fund. They further reviewed the financial results, including the profit margins, realized by Amundi US from non-fundbusinesses. The Directors considered Amundi US's profit margins in comparison to the limited industry data available and noted that the profitability of any adviser was affected by numerous factors, including its organizational structure and method for allocating expenses. The Directors concluded that Amundi US's profitability with respect to the management of the Fund was not unreasonable.
Economies of Scale. The Directors considered the extent to which Amundi US may realize economies of scale or other efficiencies in managing and supporting the Fund. Since the Fund is a closed-endfund that has not raised additional capital, the Directors concluded that economies of scale were not a relevant consideration in the renewal of the investment advisory agreement.
Other Benefits. The Directors considered the other benefits that Amundi US enjoys from its relationship with the Fund. The Directors considered the character and amount of fees paid or to be paid by the Fund, other than under the investment management agreement, for services provided by Amundi US and its affiliates. The Directors further considered the revenues and profitability of Amundi US's businesses other than the Fund business. To the extent applicable, the Directors also considered the benefits to the Fund and to Amundi US and its affiliates from the use of "soft" commission dollars generated by the Fund to pay for research and brokerage services.
The Directors considered that Amundi US is the principal
Conclusion. After consideration of the factors described above as well as other factors, the Directors, including the Independent Directors, concluded that the investment management agreement for the Fund, including the fees payable thereunder, was fair and reasonable and voted to approve the proposed renewal of the investment management agreement.
ITEM 12. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-ENDMANAGEMENT INVESTMENT COMPANIES. (Unaudited)
A closed-endmanagement investment company that is filing an annual report on this Form N-CSRmust, unless it invests exclusively in non-votingsecurities, 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 13. PORTFOLIO MANAGERS OF CLOSED-ENDMANAGEMENT INVESTMENT COMPANIES.
(a) If the registrant is a closed-endmanagement 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-daymanagement of the registrant's portfolio ("Portfolio Manager"). Also state each Portfolio Manager's business experience during the past 5 years.
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ITEM 14. PURCHASES OF EQUITY SECURITIES BY CLOSED-ENDMANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-endmanagement 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 15. 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-Rof Schedule 14(A) in its definitive proxy statement, or this item.
ITEM 16. 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 17. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-ENDMANAGEMENT INVESTMENT COMPANIES.
(a) If the registrant is a closed-endmanagement 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:
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(1) Gross income from securities lending activities;
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(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
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(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.
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(b) If the registrant is a closed-endmanagement investment company, describe the services provided to the registrant by the securities lending agent in the registrants most recent fiscal year.
N/A
Item 18. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.
N/A
ITEM 19. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule30a-2(a)under the Act (17 CFR270.30a-2(a)), exactly as set forth below:
Filed herewith.
(b) Certifications pursuant to Rule30a-2(b)under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(3) Not applicable.
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)
By (Signature and Title)* /s/
Date January 3, 2025
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/
Date January 3, 2025
By (Signature and Title)* /s/
Date January 3, 2025
* |
Print the name and title of each signing officer under his or her signature. |
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