UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811- 22441

 

John Hancock Hedged Equity & Income Fund
(Exact name of registrant as specified in charter)

 

601 Congress Street, Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)

 

Salvatore Schiavone

 

Treasurer

 

601 Congress Street

 

Boston, Massachusetts 02210
(Name and address of agent for service)

 

Registrant's telephone number, including area code: 617-663-4497

 

Date of fiscal year end: December 31
   
Date of reporting period: March 31, 2016

 

 

ITEM 1. SCHEDULE OF INVESTMENTS

 

 


John Hancock

Hedged Equity & Income Fund


Quarterly portfolio holdings 3/31/16

jhnq_logo.jpg 

Fund's investmentsHedged Equity & Income Fund



                                               
  As of 3-31-16 (unaudited)  
        Shares     Value  
  Common stocks 82.0%     $166,632,069  
  (Cost $170,920,302)  
  Consumer discretionary 5.1%     10,395,627  
  Auto components 0.7%  
  Aisan Industry Company, Ltd.     11,200     88,034  
  Delphi Automotive PLC     3,151     236,388  
  Exedy Corp.     8,100     178,942  
  Keihin Corp.     14,200     212,257  
  Nissin Kogyo Company, Ltd.     13,000     175,183  
  NOK Corp.     6,100     104,069  
  Sumitomo Riko Company, Ltd.     14,500     126,263  
  Tokai Rika Company, Ltd.     6,900     129,685  
  Toyoda Gosei Company, Ltd.     11,200     215,997  
  Automobiles 0.5%  
  Honda Motor Company, Ltd.     15,700     429,255  
  Mitsubishi Motors Corp.     30,300     226,187  
  Peugeot SA (I)     3,952     67,611  
  Renault SA     2,158     214,457  
  Diversified consumer services 0.1%  
  Allstar Co-Invest LLC (I)(R)     236,300     153,595  
  Benesse Holdings, Inc.     2,800     80,618  
  Household durables 1.5%  
  Alpine Electronics, Inc.     12,300     137,542  
  Funai Electric Company, Ltd.     17,863     156,576  
  Newell Rubbermaid, Inc.     9,783     433,289  
  Nikon Corp.     18,200     278,298  
  Persimmon PLC     36,457     1,089,380  
  Pioneer Corp. (I)     73,900     195,908  
  PulteGroup, Inc.     39,871     745,986  
  Internet and catalog retail 0.1%  
  Home Retail Group PLC     54,185     128,939  
  Qliro Group AB (I)     49,556     54,266  
  Media 0.8%  
  Avex Group Holdings, Inc.     7,000     91,160  
  Gendai Agency, Inc.     5,200     26,036  
  Metropole Television SA     9,326     169,908  
  Proto Corp.     3,000     36,926  
  SES SA     44,362     1,297,803  
  Multiline retail 0.2%  
  Dollar General Corp.     5,068     433,821  
  New World Department Store China, Ltd.     343,000     45,133  
  Specialty retail 1.1%  
  Adastria Company, Ltd.     4,800     145,641  
  Honeys Company, Ltd.     9,830     102,807  
  Nishimatsuya Chain Company, Ltd.     10,500     105,158  
  Pal Company, Ltd.     4,500     112,670  
  Ross Stores, Inc.     3,709     214,751  
  Shimamura Company, Ltd.     1,000     124,831  
  The Home Depot, Inc.     10,256     1,368,458  
  Xebio Company, Ltd.     9,200     146,896  
  Textiles, apparel and luxury goods 0.1%  
  Daphne International Holdings, Ltd. (I)     506,000     67,277  

2SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Consumer discretionary  (continued)        
  Textiles, apparel and luxury goods  (continued)  
  Sanyo Shokai, Ltd.     21,000     $47,626  
  Consumer staples 5.6%     11,454,834  
  Beverages 1.3%  
  PepsiCo, Inc.     12,900     1,321,992  
  The Coca-Cola Company     26,409     1,225,114  
  Food and staples retailing 0.3%  
  Cawachi, Ltd.     6,900     124,510  
  J Sainsbury PLC     85,701     339,606  
  Metro AG     7,785     240,816  
  Food products 1.1%  
  Ebro Foods SA     17,942     391,047  
  Ingredion, Inc.     9,776     1,043,979  
  Pinnacle Foods, Inc.     13,352     596,567  
  Suedzucker AG     9,322     164,035  
  Household products 0.3%  
  The Procter & Gamble Company     7,610     626,379  
  Personal products 0.1%  
  Oriflame Holding AG (I)     10,343     205,379  
  Tobacco 2.5%  
  British American Tobacco PLC     88,505     5,175,410  
  Energy 6.9%     13,971,117  
  Energy equipment and services 0.1%  
  Ensco PLC, Class A     14,177     147,015  
  Oil, gas and consumable fuels 6.8%  
  BP PLC     145,429     727,622  
  California Resources Corp.     1     1  
  Canadian Natural Resources, Ltd.     8,678     234,306  
  Chevron Corp. (C)     30,511     2,910,749  
  Encana Corp.     9,900     60,372  
  Eni SpA     29,320     442,811  
  Gazprom OAO, ADR     68,377     294,705  
  Harum Energy Tbk PT (I)     450,400     29,872  
  Indo Tambangraya Megah Tbk PT     96,400     48,085  
  Inpex Corp.     19,300     146,157  
  Japan Petroleum Exploration Company, Ltd.     6,800     152,018  
  Lukoil PJSC, ADR     7,220     276,719  
  Marathon Oil Corp.     62,722     698,723  
  Occidental Petroleum Corp.     17,407     1,191,161  
  Painted Pony Petroleum, Ltd. (I)     12,700     41,755  
  Petro Rio SA (I)     2,930     2,942  
  Petroleo Brasileiro SA, ADR     27,443     160,267  
  Royal Dutch Shell PLC, B Shares     78,395     1,907,723  
  Statoil ASA     8,657     135,208  
  Suncor Energy, Inc.     71,098     1,977,235  
  Total SA     39,946     1,817,595  
  TransCanada Corp.     12,931     508,318  
  TransCanada Corp., Subscription Receipt (I)     1,600     59,758  

SEE NOTES TO FUND'S INVESTMENTS3

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Financials 19.6%     $39,773,457  
  Banks 7.9%  
  Allahabad Bank     61,017     50,735  
  Alpha Bank AE (I)     29,314     64,619  
  Banca Popolare dell'Emilia Romagna SC     18,764     89,177  
  Banco Popular Espanol SA     62,825     163,050  
  BNP Paribas SA     7,306     367,058  
  CaixaBank SA (I)     4,679     13,792  
  CaixaBank SA     351,958     1,037,420  
  Canara Bank     27,195     78,211  
  China Construction Bank Corp., H Shares     1,496,218     957,810  
  Corp. Bank     60,024     35,144  
  Dah Sing Financial Holdings, Ltd.     15,200     93,536  
  HSBC Holdings PLC     203,177     1,263,549  
  ING Groep NV     28,223     337,739  
  JPMorgan Chase & Co. (C)     48,364     2,864,116  
  KB Financial Group, Inc.     8,092     224,692  
  M&T Bank Corp.     4,861     539,571  
  Mitsubishi UFJ Financial Group, Inc.     86,249     399,644  
  Mizuho Financial Group, Inc.     187,900     280,024  
  Nordea Bank AB     121,319     1,163,680  
  OTP Bank PLC     3,634     91,168  
  Sberbank of Russia PJSC, ADR     14,300     99,242  
  Shinhan Financial Group Company, Ltd.     3,089     108,732  
  Societe Generale SA     7,474     276,179  
  Standard Chartered PLC     39,884     269,736  
  Sumitomo Mitsui Financial Group, Inc.     10,800     327,863  
  The Eighteenth Bank, Ltd.     10,000     22,199  
  The Oita Bank, Ltd.     14,000     43,606  
  The PNC Financial Services Group, Inc.     37,527     3,173,658  
  The Tochigi Bank, Ltd.     15,000     56,882  
  The Yamanashi Chuo Bank, Ltd.     12,000     44,002  
  UniCredit SpA     54,127     195,127  
  Wells Fargo & Company (C)     28,303     1,368,733  
  Capital markets 1.9%  
  BlackRock, Inc. (C)     5,849     1,991,994  
  Henderson Group PLC     329,117     1,217,428  
  Julius Baer Group, Ltd. (I)     3,845     164,785  
  UBS Group AG     28,376     456,457  
  Uranium Participation Corp. (I)     29,800     104,630  
  Consumer finance 0.1%  
  Manappuram Finance, Ltd.     213,888     112,657  
  Diversified financial services 0.9%  
  Intercontinental Exchange, Inc. (C)     3,909     919,162  
  MSCI, Inc.     11,193     829,177  
  Insurance 6.2%  
  Ageas     8,979     355,356  
  Assicurazioni Generali SpA     67,327     996,646  
  Chubb, Ltd.     12,049     1,435,638  
  CNO Financial Group, Inc.     27,893     499,843  
  Coface SA     18,620     153,543  
  Delta Lloyd NV     73,598     341,148  
  FNF Group     25,872     877,061  
  Marsh & McLennan Companies, Inc.     16,040     975,072  

4SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Financials  (continued)        
  Insurance  (continued)  
  MetLife, Inc.     44,699     $1,964,074  
  Primerica, Inc.     4,832     215,169  
  Storebrand ASA (I)     59,283     230,925  
  T&D Holdings, Inc.     37,000     345,618  
  The Dai-ichi Life Insurance Company, Ltd.     16,300     197,547  
  Tongyang Life Insurance     9,537     98,642  
  Torchmark Corp.     4,842     262,243  
  Willis Towers Watson PLC     12,431     1,475,062  
  Zurich Insurance Group AG (I)     9,120     2,115,031  
  Real estate investment trusts 1.0%  
  ICADE     13,290     1,015,632  
  STORE Capital Corp.     9,380     242,754  
  Weyerhaeuser Company     28,184     873,140  
  Real estate management and development 1.6%  
  Castellum AB     60,449     959,629  
  Sumitomo Real Estate Sales Company, Ltd.     4,400     84,608  
  Vonovia SE     60,224     2,162,092  
  Health care 9.1%     18,542,250  
  Biotechnology 0.1%  
  Sinovac Biotech, Ltd. (I)     21,350     136,427  
  Health care equipment and supplies 0.3%  
  Baxter International, Inc.     9,524     391,246  
  Zimmer Biomet Holdings, Inc.     3,167     337,697  
  Health care providers and services 0.3%  
  Quest Diagnostics, Inc.     9,037     645,694  
  Suzuken Company, Ltd.     990     33,602  
  Health care technology 0.1%  
  AGFA-Gevaert NV (I)     27,196     120,987  
  Life sciences tools and services 0.0%  
  CMIC Holdings Company, Ltd.     6,200     78,287  
  Pharmaceuticals 8.3%  
  Almirall SA     10,263     172,148  
  AstraZeneca PLC     44,169     2,466,033  
  Bristol-Myers Squibb Company     41,647     2,660,410  
  Eisai Company, Ltd.     28,546     1,716,234  
  H Lundbeck A/S (I)     7,198     237,397  
  Johnson & Johnson     13,699     1,482,232  
  Merck & Company, Inc. (C)     88,312     4,672,588  
  Ono Pharmaceutical Company, Ltd.     9,600     406,105  
  Roche Holding AG     9,494     2,331,159  
  Takeda Pharmaceutical Company, Ltd.     8,900     405,756  
  Zoetis, Inc.     5,600     248,248  
  Industrials 9.4%     19,166,487  
  Aerospace and defense 0.7%  
  Raytheon Company     1,936     237,412  
  Thales SA     2,466     215,491  
  United Technologies Corp.     9,998     1,000,800  
  Air freight and logistics 0.7%  
  Deutsche Post AG     37,446     1,039,271  
  PostNL NV (I)     82,933     337,316  

SEE NOTES TO FUND'S INVESTMENTS5

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Industrials  (continued)        
  Airlines 0.3%  
  American Airlines Group, Inc.     7,066     $289,777  
  Deutsche Lufthansa AG     22,666     365,816  
  Building products 0.4%  
  Cie de Saint-Gobain     10,544     463,137  
  Fortune Brands Home & Security, Inc.     6,152     344,758  
  Commercial services and supplies 0.0%  
  Relia, Inc.     6,600     61,045  
  Construction and engineering 0.1%  
  Raubex Group, Ltd.     56,566     70,072  
  Toyo Engineering Corp.     63,000     163,863  
  Electrical equipment 2.4%  
  Eaton Corp. PLC     52,371     3,276,330  
  Schneider Electric SE     22,176     1,397,542  
  Ushio, Inc.     12,200     161,959  
  Zumtobel Group AG     6,736     112,471  
  Industrial conglomerates 1.4%  
  3M Company     7,223     1,203,568  
  Koninklijke Philips NV     7,327     208,697  
  Rheinmetall AG     4,419     352,363  
  Siemens AG     9,301     983,680  
  Machinery 0.9%  
  Caterpillar, Inc.     14,747     1,128,735  
  Deere & Company     3,101     238,746  
  Hisaka Works, Ltd.     8,900     65,041  
  Sumitomo Heavy Industries, Ltd.     42,000     173,360  
  The Japan Steel Works, Ltd.     51,000     160,756  
  Toshiba Machine Company, Ltd.     47,000     144,610  
  Marine 0.1%  
  D/S Norden A/S (I)     7,728     112,555  
  Pacific Basin Shipping, Ltd.     494,000     72,708  
  Professional services 0.3%  
  Adecco SA     3,428     222,995  
  en-japan, Inc.     8,800     148,627  
  Hays PLC     103,548     179,754  
  Road and rail 0.7%  
  Kansas City Southern     6,448     550,982  
  Union Pacific Corp.     11,665     927,951  
  Trading companies and distributors 0.4%  
  Fastenal Company     5,398     264,502  
  Kuroda Electric Company, Ltd.     9,100     136,116  
  Rexel SA     16,723     238,382  
  SIG PLC     79,498     166,451  
  Transportation infrastructure 1.0%  
  Hamburger Hafen und Logistik AG     5,362     78,959  
  Jiangsu Expressway Company, Ltd., H Shares     1,388,519     1,869,889  
  Information technology 10.9%     22,167,393  
  Communications equipment 1.5%  
  Cisco Systems, Inc. (C)     106,385     3,028,781  
  Electronic equipment, instruments and components 0.5%  
  Avnet, Inc.     10,800     478,440  

6SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Information technology  (continued)        
  Electronic equipment, instruments and components  (continued)  
  Hosiden Corp.     26,200     $156,571  
  Kingboard Laminates Holdings, Ltd.     311,500     145,033  
  Mitsumi Electric Company, Ltd. (I)     7,200     33,444  
  Nichicon Corp.     24,600     171,214  
  Internet software and services 0.2%  
  DeNa Company, Ltd.     13,200     227,213  
  Dropbox, Inc., Class B (I)(R)     7,248     102,632  
  Gree, Inc.     30,400     166,757  
  IT services 0.8%  
  Alten SA     1,737     106,448  
  Booz Allen Hamilton Holding Corp.     17,695     535,805  
  Devoteam SA     1,452     70,481  
  Fujitsu, Ltd.     97,000     358,684  
  Itochu Techno-Solutions Corp.     7,800     147,176  
  NET One Systems Company, Ltd.     25,800     139,287  
  Sopra Steria Group     2,408     284,417  
  Semiconductors and semiconductor equipment 4.4%  
  Intel Corp.     95,708     3,096,154  
  Kontron AG (I)     14,745     53,335  
  Lam Research Corp.     5,567     459,834  
  Maxim Integrated Products, Inc. (C)     70,084     2,577,690  
  Mimasu Semiconductor Industry Company, Ltd.     7,500     68,800  
  Miraial Company, Ltd.     6,500     48,156  
  QUALCOMM, Inc.     32,898     1,682,404  
  Rohm Company, Ltd.     3,500     147,199  
  SCREEN Holdings Company, Ltd.     28,000     221,112  
  Shinkawa, Ltd. (I)     14,900     60,544  
  Shinko Electric Industries Company, Ltd.     31,500     177,074  
  Skyworks Solutions, Inc.     1,400     109,060  
  Tokyo Seimitsu Company, Ltd.     10,100     198,148  
  Software 3.0%  
  Alpha Systems, Inc.     1,700     26,102  
  Microsoft Corp.     88,948     4,912,598  
  Nintendo Company, Ltd.     1,500     213,222  
  SS&C Technologies Holdings, Inc.     14,672     930,498  
  Technology hardware, storage and peripherals 0.5%  
  Canon, Inc.     11,400     339,981  
  Compal Electronics, Inc.     323,000     202,672  
  Japan Digital Laboratory Company, Ltd.     6,200     88,736  
  Melco Holdings, Inc.     8,300     169,270  
  Western Digital Corp.     4,920     232,421  
  Materials 4.9%     9,847,272  
  Chemicals 1.6%  
  Agrium, Inc.     3,036     268,056  
  Agrium, Inc.     12,430     1,097,445  
  E.I. du Pont de Nemours & Company     10,994     696,140  
  Fujimi, Inc.     4,300     57,240  
  Hitachi Chemical Company, Ltd.     8,000     143,758  
  JSR Corp.     17,900     257,390  
  Methanex Corp.     6,857     220,247  
  Mitsui Chemicals, Inc.     30,000     99,859  

SEE NOTES TO FUND'S INVESTMENTS7

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Materials  (continued)        
  Chemicals  (continued)  
  Nitto Denko Corp.     2,500     $139,309  
  Sumitomo Bakelite Company, Ltd.     38,000     148,718  
  Construction materials 0.4%  
  Buzzi Unicem SpA     12,484     215,207  
  LafargeHolcim, Ltd. (I)     8,644     405,919  
  Vicat SA     2,631     170,538  
  Containers and packaging 1.5%  
  AMVIG Holdings, Ltd.     222,000     92,706  
  Graphic Packaging Holding Company     22,603     290,449  
  International Paper Company     56,967     2,337,926  
  Packaging Corp. of America     3,851     232,600  
  Metals and mining 1.3%  
  Aichi Steel Corp.     11,000     43,002  
  Anglo American Platinum, Ltd. (I)     6,611     161,673  
  Anglo American PLC     21,971     173,226  
  Barrick Gold Corp.     10,900     148,047  
  Centerra Gold, Inc.     29,200     135,573  
  Chubu Steel Plate Company, Ltd.     8,500     38,056  
  CST Mining Group, Ltd. (I)     1,440,000     19,123  
  Eldorado Gold Corp.     47,244     149,291  
  G-Resources Group, Ltd.     4,086,000     80,873  
  Impala Platinum Holdings, Ltd. (I)     47,583     151,064  
  Ivanhoe Mines, Ltd., Class A (I)     105,500     68,235  
  Kinross Gold Corp. (I)     64,380     218,892  
  Kyoei Steel, Ltd.     10,900     163,610  
  Lonmin PLC (I)     15,069     28,583  
  Neturen Company, Ltd.     11,400     77,299  
  Northern Dynasty Minerals, Ltd. (I)     16,000     5,174  
  NV Bekaert SA     2,978     120,817  
  Pacific Metals Company, Ltd. (I)     40,000     116,919  
  Resolute Mining, Ltd. (I)     295,581     121,024  
  Salzgitter AG     5,766     162,932  
  Tokyo Steel Manufacturing Company, Ltd.     24,800     147,496  
  Western Areas, Ltd.     61,179     101,679  
  Yamato Kogyo Company, Ltd.     7,300     158,163  
  Yodogawa Steel Works, Ltd.     5,200     110,321  
  Paper and forest products 0.1%  
  KapStone Paper and Packaging Corp.     19,689     272,693  
  Telecommunication services 5.1%     10,338,305  
  Diversified telecommunication services 3.4%  
  Hellenic Telecommunications Organization SA     23,494     211,459  
  KT Corp.     12,363     321,175  
  Magyar Telekom Telecommunications PLC     115,799     191,384  
  Nippon Telegraph & Telephone Corp.     61,912     2,674,443  
  Telefonica SA     25,243     282,131  
  Telenor ASA     72,482     1,171,965  
  Verizon Communications, Inc.     36,105     1,952,558  
  Wireless telecommunication services 1.7%  
  Millicom International Cellular SA     25,943     1,415,180  
  Mobistar SA (I)     9,433     210,935  
  NTT DOCOMO, Inc.     83,896     1,907,075  

8SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        Shares     Value  
  Utilities 5.4%     $10,975,327  
  Electric utilities 2.2%  
  Edison International     15,972     1,148,227  
  NextEra Energy, Inc.     11,300     1,337,242  
  Power Assets Holdings, Ltd.     205,413     2,102,321  
  Gas utilities 0.7%  
  Gas Natural SDG SA     56,586     1,142,397  
  UGI Corp.     5,408     217,888  
  Independent power and renewable electricity producers 0.1%  
  NTPC, Ltd.     78,616     152,492  
  Multi-utilities 2.4%  
  Centrica PLC     379,242     1,238,930  
  Dominion Resources, Inc.     21,288     1,599,155  
  E.ON SE     15,043     143,841  
  Engie SA     17,776     275,414  
  National Grid PLC     60,769     859,842  
  PG&E Corp.     10,448     623,955  
  RWE AG     10,387     133,623  
  Preferred securities 0.1%     $267,522  
  (Cost $190,884)  
  Telecommunication services 0.0%     123,302  
  Telefonica Brasil SA     9,800     123,302  
  Utilities 0.1%     144,220  
  Cia Paranaense de Energia, B Shares (I)     18,100     144,220  
        Rate (% )    Maturity date     Par value^     Value  
  Corporate bonds 14.9%     $30,179,842  
  (Cost $31,786,518)  
  Consumer discretionary 3.6%     7,198,914  
  Auto components 0.1%  
  ZF North America Capital, Inc. (S)     4.500     04-29-22           150,000     153,000  
  Automobiles 0.1%  
  General Motors Company     4.875     10-02-23           85,000     89,108  
  General Motors Company     6.250     10-02-43           65,000     69,440  
  Distributors 0.0%  
  HD Supply, Inc.     5.750     04-15-24           30,000     30,825  
  Diversified consumer services 0.1%  
  Service Corp. International     7.625     10-01-18           125,000     141,406  
  Hotels, restaurants and leisure 0.4%  
  Boyd Gaming Corp. (S)     6.375     04-01-26           85,000     88,188  
  CEC Entertainment, Inc.     8.000     02-15-22           190,000     162,925  
  Cirsa Funding Luxembourg SA     5.875     05-15-23         EUR 100,000     110,972  
  Cirsa Funding Luxembourg SA (S)     5.875     05-15-23         EUR 115,000     127,618  
  NH Hotel Group SA (S)     6.875     11-15-19         EUR 235,000     292,359  
  Household durables 0.6%  
  Argos Merger Sub, Inc. (S)     7.125     03-15-23           205,000     217,300  
  DR Horton, Inc.     4.000     02-15-20           25,000     25,750  
  DR Horton, Inc.     4.375     09-15-22           80,000     80,200  
  DR Horton, Inc.     5.750     08-15-23           20,000     21,600  
  KB Home     7.000     12-15-21           375,000     375,000  
  Lennar Corp.     4.750     11-15-22           125,000     125,313  
  Lennar Corp.     4.875     12-15-23           40,000     40,000  

SEE NOTES TO FUND'S INVESTMENTS9

Hedged Equity & Income Fund

                                               
        Rate (% )    Maturity date     Par value^     Value  
  Consumer discretionary  (continued)        
  Household durables  (continued)  
  M/I Homes, Inc.     6.750     01-15-21           195,000     $191,588  
  PulteGroup, Inc.     4.250     03-01-21           40,000     40,600  
  Toll Brothers Finance Corp.     4.875     11-15-25           45,000     44,550  
  Internet and catalog retail 0.2%  
  Liberty Interactive LLC     8.250     02-01-30           250,000     256,250  
  Netflix, Inc.     5.875     02-15-25           95,000     99,988  
  Media 1.6%  
  Altice Financing SA (S)     6.500     01-15-22         EUR 100,000     120,760  
  CCO Holdings LLC     5.125     02-15-23           5,000     5,100  
  CCO Holdings LLC     5.250     09-30-22           5,000     5,150  
  CCO Holdings LLC     5.750     09-01-23           35,000     36,313  
  CCO Holdings LLC (S)     5.875     04-01-24           20,000     20,950  
  CCO Holdings LLC     7.375     06-01-20           255,000     265,359  
  CCO Safari II LLC (S)     4.908     07-23-25           95,000     100,245  
  CCOH Safari LLC (S)     5.750     02-15-26           120,000     124,200  
  Cequel Communications Holdings I LLC (S)     5.125     12-15-21           360,000     334,938  
  DISH DBS Corp.     6.750     06-01-21           170,000     175,525  
  DISH DBS Corp.     7.875     09-01-19           320,000     352,000  
  Gray Television, Inc.     7.500     10-01-20           75,000     79,125  
  Lamar Media Corp. (S)     5.750     02-01-26           15,000     15,750  
  Neptune Finco Corp. (S)     10.875     10-15-25           200,000     218,500  
  Sinclair Television Group, Inc. (S)     5.875     03-15-26           75,000     76,969  
  TEGNA, Inc. (S)     4.875     09-15-21           115,000     118,450  
  TEGNA, Inc.     5.125     10-15-19           310,000     323,640  
  TEGNA, Inc. (S)     5.500     09-15-24           20,000     20,600  
  TEGNA, Inc.     6.375     10-15-23           55,000     59,125  
  Tribune Media Company (S)     5.875     07-15-22           295,000     287,625  
  TVN Finance Corp. III AB     7.375     12-15-20         EUR 104,000     127,399  
  Unitymedia Hessen GmbH & Company KG     5.500     09-15-22         EUR 210,600     255,516  
  Unitymedia Hessen GmbH & Company KG     5.750     01-15-23         EUR 101,250     123,326  
  Multiline retail 0.0%  
  Dollar Tree, Inc. (S)     5.250     03-01-20           20,000     20,925  
  Dollar Tree, Inc. (S)     5.750     03-01-23           75,000     79,453  
  Specialty retail 0.5%  
  Chinos Intermediate Holdings A, Inc., PIK (S)     7.750     05-01-19           130,000     64,025  
  Dufry Finance SCA (S)     4.500     08-01-23