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

                                   FORM N-Q

                   QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
    OF REGISTERED MANAGEMENT INVESTMENT COMPANY



  Investment Company Act file number 811-21043


                         Pioneer Pioneer High Income Trust
               (Exact name of registrant as specified in charter)


                       60 State Street, Boston, MA 02109
              (Address of principal executive offices) (ZIP code)


            Terrence J. Cullen, Pioneer Investment Management, Inc.,
                       60 State Street, Boston, MA 02109
                    (Name and address of agent for service)


Registrant's telephone number, including area code:  (617) 742-7825


Date of fiscal year end:  March 31

Date of reporting period:  June 30, 2014

Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5).  The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609.  The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.


<PAGE>
ITEM 1. Schedule of Investments.

File the schedules as of the close of the reporting period as set forth in
ss. 210.12-12  12-14 of Regulation S-X [17 CFR 210.12-12  12-14]. The
schedules need not be audited.


 






 
 

 

Pioneer High
                     Income  Trust
                               NQ      | June 30, 2014

 
Ticker Symbol:  PHT
 

 
 

 
Schedule of Investments | 6/30/14 (unaudited)


 
   
Principal
Amount
USD ($)
S&P/Moody's
Rating           
 
Value
 
 
       
ASSET BACKED SECURITIES -  1.3% of Net Assets
 
 
       
BANKS - 0.2%
 
       
Thrifts & Mortgage Finance - 0.2%
 
   
  83,371(a)(m)
CCC/Caa3
Amortizing Residential Collateral Trust, Series 2002-BC1, Class M1, 1.427%, 1/25/32   
$ 58,465 
   
  125,000(m)
BB/NR
CarNow Autso Receivables Trust, Series 2012-1A, Class D, 6.9%, 11/15/16 (144A) 
  125,210 
   
  412,000(b)(m)
CCC/C
Citicorp Residential Mortgage Trust, Series 2006-2, Class M1, 5.918%, 9/25/36   
  372,347 
   
  250,000(c)(m)
NR/WR
Security National Mortgage Loan Trust, Series 2007-1A, Class 1A3, 6.55%, 4/25/37 (144A) 
  246,117 
       
Total Banks 
$ 802,139 
           
 
       
CONSUMER SERVICES - 0.4%
 
       
Hotels, Resorts, Cruise Lines - 0.4%
 
   
  218,961(m)
BB/NR
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A) 
$ 226,012 
   
  1,389,175(m)
NR/NR
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A) 
  1,411,263 
   
  164,590(m)
NR/NR
Westgate Resorts LLC, Series 2013-1A, Class B, 3.75%, 8/20/25 (144A) 
  166,732 
       
Total Consumer Services 
$ 1,804,007 
           
 
       
DIVERSIFIED FINANCIALS - 0.2%
 
       
Thrifts & Mortgage Finance - 0.2%
 
   
  660,000(c)(m)
NR/NR
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A) 
$ 631,028 
           
       
Total Diversified Financials 
$ 631,028 
           
 
       
MATERIALS - 0.1%
 
       
Steel - 0.1%
 
   
  303,340(b)(m)
B+/B3
Accredited Mortgage Loan Trust, Series 2003-3, Class A1, 5.21%, 1/25/34   
$ 294,731 
           
       
Total Materials 
$ 294,731 
           
 
       
TRANSPORTATION - 0.4%
 
       
Airlines - 0.4%
 
   
  1,270,237(a)(m)
CCC-/Caa3
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.632%, 5/15/24 (144A) 
$ 495,393 
   
  592,526(a)(m)
CCC+/Caa2
Aviation Capital Group Trust, Series 2000-1A, Class A1, 1.132%, 11/15/25 (144A) 
  290,338 
   
  1,362,025(a)(m)
CCC/Caa2
Lease Investment Flight Trust, Series 1, Class A1, 0.542%, 7/15/31   
  980,658 
       
Total Transportation 
$ 1,766,389 
           
       
TOTAL ASSET BACKED SECURITIES
 
       
(Cost  $5,432,214)
$ 5,298,294 
 
       
COLLATERALIZED MORTGAGE OBLIGATIONS -  1.6% of Net Assets
 
 
       
BANKS - 0.9%
 
       
Thrifts & Mortgage Finance - 0.9%
 
   
  1,352,063(a)(m)
CCC/Caa2
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A2, 0.352%, 2/25/37   
$ 1,222,001 
   
  135,185(m)
NR/NR
Extended Stay America Trust, Series 2013-ESHM, Class M, 7.625%, 12/5/19 (144A) 
  138,512 


Pioneer High Income Trust | NQ|6/30/14

 
 

 
Schedule of Investments | 6/30/14 (unaudited) (continued)


   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
Thrifts & Mortgage Finance (continued)
 
   
  300,000(c)
BB+/Ba2
GS Mortgage Securities Corp. II Commercial Mortgage Pass Through Certificates, Series 2004-GG2, Class E, 6.053%, 8/10/38   
$ 299,706 
   
  265,633(m)
NR/NR
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A) 
  260,081 
   
  250,000(c)(m)
BB/NR
Springleaf Mortgage Loan Trust, Series 2013-1A, Class B1, 5.58%, 6/25/58 (144A) 
  249,976 
   
  498,000(c)(m)
BB-/Ba3
Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class AJ, 5.658%, 3/15/45   
  513,485 
   
  900,000(c)(m)
B-/B1
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class AJ, 6.163%, 5/15/46   
  946,492 
       
Total Banks 
$ 3,630,253 
           
 
       
DIVERSIFIED FINANCIALS - 0.7%
 
       
Other Diversified Financial Services - 0.2%
 
   
  700,000(c)(m)
NR/B1
LB-UBS Commercial Mortgage Trust, Series 2005-C2, Class C, 5.375%, 4/15/40 
$ 718,102 
           
       
Thrifts & Mortgage Finance - 0.5%
 
   
  725,000(b)(m)
NR/NR
CAM Mortgage Trust, Series 2014-1, Class M, 5.5%, 12/15/53 (144A) 
$ 723,852 
   
  200,000(m)
B/B3
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45   
  205,299 
   
  650,000(c)(m)
B-/NR
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ, 6.218%, 2/15/51   
  674,872 
   
  375,000(a)(m)
BB/NR
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-FL3, Class E, 3.107%, 4/15/28 (144A) 
  377,326 
         
$ 1,981,349 
       
Total Diversified Financials 
$ 2,699,451 
           
       
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 
       
(Cost  $6,153,461)
$ 6,329,704 
 
       
SENIOR SECURED FLOATING RATE LOAN INTERESTS -  6.3% of Net Assets * (a)
 
 
       
COMMERCIAL & PROFESSIONAL SERVICES - 0.3%
 
       
Research & Consulting Services - 0.3%
 
   
  1,000,000 
CCC+/Caa1
Sourcehov LLC, Second Lien Term Loan, 8.75%, 4/30/19   
$ 1,013,333 
           
       
Total Commercial & Professional Services 
$ 1,013,333 
           
 
       
CONSUMER DISCRETIONARY - 1.2%
 
       
Automobiles & Components - 0.4%
 
   
  1,629,375 
B+/B2
CWGS Group LLC, Term Loan, 5.75%, 2/20/20   
$ 1,645,669 
       
Education Services - 0.7%
 
   
  2,885,500 
B+/B2
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19   
$ 2,921,569 
       
Publishing - 0.1%
 
   
  410,080 
B-/B3
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19   
$ 411,105 
       
Total Consumer Discretionary 
$ 4,978,343 
           
 
       
ENERGY - 1.0%
 
       
Coal & Consumable Fuels - 0.1%
 
   
  587,500 
Cc/Ca
PT Bumi Resources Tbk, Term Loan, 18.152%, 11/7/14   
$ 352,500 
       
Oil & Gas Drilling - 0.3%
 
   
  1,050,500 
NR/NR
Jonah Energy LLC, Second Lien Initial Loan, 7.5%, 5/12/21   
$ 1,064,944 

 
   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
       
Oil & Gas Exploration & Production - 0.6%
 
   
  2,500,000 
B-/B2
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20   
$ 2,585,260 
       
Total Energy 
$ 4,002,704 
           
 
       
FOOD, BEVERAGE & TOBACCO - 0.8%
 
       
Agricultural Products - 0.3%
 
   
  1,046,525 
CCC+/Caa1
Arysta LifeScience SPC LLC, Initial Second Lien Term Loan, 8.25%, 11/20/20   
$ 1,071,380 
       
Packaged Foods & Meats - 0.5%
 
   
  2,174,550 
B-/NR
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20   
$ 2,261,532 
       
Total Food, Beverage & Tobacco 
$ 3,332,912 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 0.8%
 
       
Health Care Equipment & Services - 0.2%
 
   
  875,000 
CCC+/Caa2
Accellent, Inc., Initial Second Lien Term Loan, 7.5%, 3/11/22   
$ 871,354 
       
Health Care Services - 0.3%
 
   
  1,342,876 
B/B2
Gentiva Health Services, Inc., Initial Term Loan B, 6.5%, 10/18/19   
$ 1,345,394 
       
Health Care Technology - 0.3%
 
   
  1,181,418 
CCC/Caa3
Medical Card System, Inc., Term Loan, 12.0%, 9/17/15   
$ 1,163,697 
       
Total Health Care Equipment & Services 
$ 3,380,445 
           
 
       
INDUSTRIALS - 0.3%
 
       
Industrial Conglomerates - 0.3%
 
   
  1,240,000 
B-/Caa1
Filtration Group Co., Initial Second Lien Term, 8.25%, 11/22/21   
$ 1,264,800 
           
       
Total Industrials 
$ 1,264,800 
           
 
       
INSURANCE - 0.4%
 
       
Property & Casualty Insurance - 0.4%
 
   
  1,385,452 
CCC/Caa2
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19   
$ 1,397,575 
           
       
Total Insurance 
$ 1,397,575 
           
 
       
MATERIALS - 0.2%
 
       
Diversified Metals & Mining - 0.0%
 
   
  100,918(d)
NR/NR
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/20/13   
$ 40,367 
       
Steel - 0.2%
 
   
  786,000 
B/B1
Essar Steel Algoma, Inc., Term Loan, 9.25%, 9/19/14   
$ 789,930 
       
Total Materials 
$ 830,297 
           
 
       
MEDIA - 0.1%
 
       
Publishing - 0.1%
 
   
  485,783 
B/B2
Cengage Learning Acquisitions, Inc., Term Loan, 7.0%, 3/31/20   
$ 492,715 
           
       
Total Media 
$ 492,715 
           
 
       
RETAILING - 0.3%
 
       
Computer & Electronics Retail - 0.3%
 
   
  1,369,506 
B/B2
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16   
$ 1,174,351 
           
       
Total Retailing 
$ 1,174,351 
           
 
       
SOFTWARE & SERVICES - 0.6%
 
       
Application Software - 0.6%
 
   
  2,500,000 
CCC+/Caa1
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17   
$ 2,550,782 
           
       
Total Software & Services 
$ 2,550,782 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
UTILITIES - 0.3%
 
       
Electric Utilities - 0.3%
 
   
  1,316,443 
D/Caa3
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.651%, 10/10/17  
$ 1,092,648 
           
       
Total Utilities 
$ 1,092,648 
           
       
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
 
       
(Cost  $25,526,283)
$ 25,510,905 
 
       
CORPORATE BONDS & NOTES -  109.4% of Net Assets
 
 
       
AUTOMOBILES & COMPONENTS - 2.1%
 
       
Auto Parts & Equipment - 0.4%
 
   
  229,000 
BB-/B1
Gates Investments LLC / Gates Investments, Inc., 9.0%, 10/1/18   
$ 243,839 
   
  1,140,000 
B/Caa1
International Automotive Components Group SA, 9.125%, 6/1/18 (144A) 
  1,211,250 
         
$ 1,455,089 
       
Automobile Manufacturers - 1.7%
 
   
  6,000,000 
B/B1
Chrysler Group LLC/CG Co-Issuer, Inc., 8.0%, 6/15/19   
$ 6,517,500 
   
  500,000 
B/B1
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21   
  565,000 
         
$ 7,082,500 
       
Total Automobiles & Components 
$ 8,537,589 
           
 
       
BANKS - 1.0%
 
       
Regional Banks - 0.3%
 
   
  1,225,000(c)(e)(m)
BBB/Baa3
PNC Financial Services Group, Inc., 4.447%, 5/29/49   
$ 1,225,000 
           
       
Thrifts & Mortgage Finance - 0.7%
 
   
  2,925,000 
B+/Ba3
Provident Funding Associates LP / PFG Finance Corp., 6.75%, 6/15/21 (144A) 
$ 2,961,563 
           
       
Total Banks 
$ 4,186,563 
           
 
       
CAPITAL GOODS - 7.3%
 
       
Aerospace & Defense - 1.3%
 
   
  2,200,000(m)
B-/Caa1
ADS Tactical, Inc., 11.0%, 4/1/18 (144A) 
$ 2,106,500 
   
  2,984,000(m)
B-/B3
DynCorp International, Inc., 10.375%, 7/1/17   
  3,118,280 
         
$ 5,224,780 
       
Construction & Engineering - 0.4%
 
   
  1,500,000 
B/B2
Abengoa Finance SAU, 8.875%, 11/1/17 (144A) 
$ 1,695,000 
           
       
Construction & Farm Machinery & Heavy Trucks - 0.5%
 
   
  2,000,000(m)
CCC-/B3
Navistar International Corp., 8.25%, 11/1/21   
$ 2,087,500 
           
       
Electrical Components & Equipment - 0.5%
 
   
  2,000,000 
B-/B3
WireCo WorldGroup, Inc., 9.5%, 5/15/17   
$ 2,055,000 
           
       
Industrial Conglomerates - 0.7%
 
   
  1,710,000 
CCC+/Caa2
Boart Longyear Management Pty, Ltd., 7.0%, 4/1/21 (144A) 
$ 1,282,500 
   
  770,000 
B/B3
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A) 
  804,650 
   
  605,000(m)
B+/B2
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A) 
  673,062 
         
$ 2,760,212 
       
Industrial Machinery - 3.2%
 
   
  1,040,000 
B/B2
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A) 
$ 1,163,500 
   
  1,080,000 
B-/Caa2
Liberty Tire Recycling, 11.0%, 10/1/16 (144A) 
  1,001,700 
   
  5,170,000 
B/Caa1
Mueller Water Products, Inc., 7.375%, 6/1/17   
  5,254,013 
   
  1,590,000(m)
CCC-/NR
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A) 
  834,750 
   
  4,500,000 
B/B3
Xerium Technologies, Inc., 8.875%, 6/15/18   
 4,781,250 
         
$ 13,035,213 

 
   
Principal
Amount
USD ($)
S&P/Moody's
Ratings 
 
Value
       
Trading Companies & Distributors - 0.7%
 
   
  2,510,000(m)
B-/B3
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19   
$ 2,873,950 
           
       
Total Capital Goods 
$ 29,731,655 
           
 
       
COMMERCIAL & PROFESSIONAL SERVICES - 1.1%
 
       
Commercial Printing - 0.2%
 
   
  700,000(m)
B-/Caa1
Mustang Merger Corp., 8.5%, 8/15/21 (144A) 
$ 763,000 
           
       
Diversified Support Services - 0.9%
 
   
  3,900,000(m)
B/Caa2
NANA Development Corp., 9.5%, 3/15/19 (144A) 
$ 3,802,500 
           
       
Environmental & Facilities Services - 0.0%
 
   
  2,180,000(d)(f)(m)
NR/WR
Old AII, Inc., 10.0%, 12/15/16   
$ 22 
           
       
Total Commercial & Professional Services 
$ 4,565,522 
           
 
       
CONSUMER DISCRETIONARY - 2.3%
 
       
Auto Parts & Equipment - 0.6%
 
   
  645,000(m)
B/B3
Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A) 
$ 701,438 
   
  1,585,000(m)
B+/B2
Stackpole International Intermediate / Stackpole International Powder, 7.75%, 10/15/21 (144A) 
  1,656,325 
         
$ 2,357,763 
       
Automotive Retail - 0.4%
 
   
  1,550,000(m)
B/B3
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A) 
$ 1,581,000 
           
       
Casinos & Gaming - 0.7%
 
   
  3,000,000(m)
B/B3
Scientific Games International, Inc., 6.625%, 5/15/21 (144A) 
$ 2,970,000 
           
       
Department Stores - 0.3%
 
   
  900,000 
CCC+/Caa2
Neiman Marcus Group, Ltd. LLC, 8.0%, 10/15/21 (144A) 
$ 969,750 
           
       
Movies & Entertainment - 0.3%
 
   
  1,275,000 
B-/Caa1
SFX Entertainment, Inc., 9.625%, 2/1/19 (144A) 
$ 1,338,750 
           
       
Total Consumer Discretionary 
$ 9,217,263 
           
 
       
CONSUMER DURABLES & APPAREL - 3.9%
 
       
Homebuilding - 0.7%
 
   
  750,000 
CCC/Caa2
Beazer Homes USA, Inc., 9.125%, 5/15/19 
$ 799,687 
   
  1,975,000 
B/B2
Rialto Holdings LLC / Rialto Corp., 7.0%, 12/1/18 (144A) 
  2,073,750 
   
  400,000(d)(f)(m)
NR/WR
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A) 
  44,000 
         
$ 2,917,437 
       
Housewares & Specialties - 1.6%
 
   
  1,435,000 
BB-/B1
Jarden Corp., 7.5%, 5/1/17   
$ 1,628,725 
   
  3,000,000 
CCC+/Caa2
Reynolds Group Issuer, Inc., 9.0%, 4/15/19 
  3,176,250 
   
  1,430,000 
CCC+/Caa2
Reynolds Group Issuer, Inc., 9.875%, 8/15/19   
  1,583,725 
         
$ 6,388,700 
       
Leisure Products - 1.5%
 
 
EUR
  800,000(m)
CCC+/Caa2
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A) 
$ 1,149,018 
   
  4,000,000(m)
CCC+/Caa1
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A) 
  3,940,000 
   
  880,000(g)(m)
CCC+/Caa2
PC Nextco Holdings LLC / PC Nextco Finance, Inc., 8.75%, (9.5% PIK 8.75% cash), 8/15/19 (144A) 
  898,700 
         
$ 5,987,718 
       
Textiles - 0.1%
 
   
  460,000(m)
NR/Caa1
Polymer Group, Inc., 6.875%, 6/1/19 (144A) 
$ 467,475 
           
       
Total Consumer Durables & Apparel 
$ 15,761,330 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
CONSUMER SERVICES - 3.7%
 
       
Business Services - 0.7%
 
   
  1,750,000(m)
B/B2
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A) 
$ 1,863,750 
   
  1,000,000 
B-/Caa2
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18   
  985,000 
         
$ 2,848,750 
       
Casinos & Gaming - 0.0%
 
   
  623,466(g)(m)
NR/NR
Mashantucket Western Pequot Tribe, 6.5%, (5.5% PIK 1.0% cash), 7/1/36   
$ 87,285 
           
       
Education Services - 0.2%
 
   
  555,000(m)
CCC+/Caa1
Cambium Learning Group, Inc., 9.75%, 2/15/17   
$ 567,488 
           
       
Hotels, Resorts, Cruise Lines - 0.8%
 
   
  1,680,000(g)(m)
B-/B3
MISA Investments, Ltd., 8.625%, (0.0% PIK 8.625% cash),8/15/18 (144A) 
$ 1,719,900 
   
  1,500,000 
B-/B2
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19   
  1,636,875 
         
$ 3,356,775 
       
Restaurants - 1.8%
 
   
  4,055,000(b)
B-/Caa1
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A) 
$ 3,750,875 
   
  1,400,000 
B+/B3
Burger King Corp., 9.875%, 10/15/18   
  1,501,500 
   
  2,000,000 
CCC/Caa1
PF Chang's China Bistro, Inc., 10.25%, 6/30/20 (144A) 
  2,040,000 
         
$ 7,292,375 
       
Specialized Consumer Services - 0.2%
 
   
  740,000 
B-/B3
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21 (144A) 
$ 777,000 
           
       
Total Consumer Services 
$ 14,929,673 
           
 
       
CONSUMER STAPLES - 0.6%
 
       
Packaged Foods & Meats - 0.6%
 
   
  2,300,000(m)
B/B2
Post Holdings, Inc., 6.0%, 12/15/22 (144A) 
$ 2,346,000 
           
       
Total Consumer Staples 
$ 2,346,000 
           
 
       
DIVERSIFIED FINANCIALS - 5.1%
 
       
Asset Management & Custody Banks - 0.3%
 
   
  975,000 
BBB-/Baa3
Janus Capital Group, Inc., 6.7%, 6/15/17   
$ 1,103,644 
           
       
Consumer Finance - 0.7%
 
   
  1,030,000 
B/B1
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A) 
$ 1,081,500 
   
  1,720,000(m)
B/B3
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A) 
  1,823,200 
         
$ 2,904,700 
       
Diversified Banks - 0.3%
 
   
  1,200,000(c)(m)
B/NR
Access Bank Plc, 9.25%, 6/24/21 (144A) 
$ 1,188,276 
           
       
Diversified Capital Markets - 0.2%
 
   
  700,000(c)(e)
BB/NR
Credit Suisse Group AG, 7.5%, 12/11/49 (144A) 
$ 774,830 
           
       
Investment Banking & Brokerage - 0.4%
 
   
  2,325,000(c)(e)
BB+/Ba2
Goldman Sachs Capital II, 4.0%, 12/29/49  
$ 1,860,000 
           
       
Multi-Sector Holdings - 0.5%
 
   
  2,200,000 
B/B3
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A) 
$ 2,035,000 
           
       
Other Diversified Financial Services - 0.5%
 
   
  3,000,000(b)(f)(h)
BBB/NR
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A) 
$ 1,874,219 
           
       
Specialized Finance - 2.2%
 
   
  845,000(g)
NR/NR
AAF Holdings LLC / AAF Finance Co., 12.0%, (6.0% PIK 6.75% cash), 7/1/19 (144A) 
$ 867,181 
   
  1,645,000(m)
B/B2e
DFC Finance Corp., 10.5%, 6/15/20 (144A) 
  1,679,956 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
Specialized Finance (continued)
 
   
  1,410,000(m)
B+/B2
Global Partners LP / GLP Finance Corp., 6.25%, 7/15/22 (144A) 
$ 1,410,000 
   
  695,000(m)
B/B2
National Money Mart Co., 10.375%, 12/15/16   
  732,356 
   
  425,000(m)
B+/B2
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21   
  426,063 
   
  2,500,000(m)
B+/B2
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 6/1/22   
  2,500,000 
   
  1,325,000(m)
B/B2
Ocwen Financial Corp., 6.625%, 5/15/19 (144A) 
 1,368,063 
         
$ 8,983,619 
       
Total Diversified Financials 
$ 20,724,288 
           
 
       
ENERGY - 22.3%
 
       
Coal & Consumable Fuels - 1.2%
 
   
  670,000(m) 
B/B2
Alpha Natural Resources, Inc., 7.5%, 8/1/20 (144A) 
$ 648,225 
   
  950,000(d)(m)
CC/Ca
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A) 
  475,000 
   
  2,125,000(d)(m)
NR/WR
James River Coal Co., 7.875%, 4/1/19   
  260,312 
   
  800,000 
B-/Caa1
Murray Energy Corp., 8.625%, 6/15/21 (144A) 
  866,000 
   
  2,485,000 
B-/Caa1
Penn Virginia Corp., 8.5%, 5/1/20   
  2,776,988 
         
$ 5,026,525 
       
Integrated Oil & Gas - 0.7%
 
   
  1,735,000(m)
B/B3
Energy XXI Gulf Coast, Inc., 6.875%, 3/15/24 (144A) 
$ 1,769,700 
   
  350,000(m)
B-/B3
Jones Energy Holdings LLC / Jones Energy Finance Corp., 6.75%, 4/1/22 (144A) 
  369,250 
   
  750,000(m)
NR/Caa1
YPF SA, 8.875%, 12/19/18 (144A) 
  791,250 
         
$ 2,930,200 
       
Oil & Gas Drilling - 1.9%
 
   
  1,500,000 
B/B3
Hercules Offshore, Inc., 8.75%, 7/15/21 (144A) 
$ 1,586,250 
   
  2,500,000(m)
CCC+/Caa1
Ocean Rig UDW, Inc., 7.25%, 4/1/19 (144A) 
  2,475,000 
   
  1,025,000 
B-/B3
Offshore Group Investments, Ltd., 7.125%, 4/1/23   
  1,040,375 
   
  728,000 
B+/B2
Pioneer Energy Services Corp., 9.875%, 3/15/18   
  764,400 
   
  1,800,000 
B+/B1
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A) 
  1,926,000 
         
$ 7,792,025 
       
Oil & Gas Equipment & Services - 2.7%
 
   
  408,000(i)
NR/NR
DP Producer AS, 0.0%, 12/31/49 (144A) 
$ 8,164 
   
  1,847,000 
B/B1
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A) 
  1,930,115 
   
  3,100,000(m)
B/Caa1
Forbes Energy Services, Ltd., 9.0%, 6/15/19   
  3,216,250 
   
  920,000(m)
B-/B2
FTS International, Inc., 6.25%, 5/1/22 (144A) 
  940,700 
   
  16,000(d)(f)
NR/NR
Green Field Energy Services, Inc., 13.0%, 11/15/16 (144A) 
  1,280 
   
  1,020,000(m)
BB/B1
McDermott International, Inc., 8.0%, 5/1/21 (144A) 
  1,048,050 
   
  1,500,000(m)
NR/NR
Sanjel Corp., 7.5%, 6/19/19 (144A) 
  1,500,000 
   
  2,000,000 
B/B3
Seitel, Inc., 9.5%, 4/15/19   
  2,150,000 
         
$ 10,794,559 
       
Oil & Gas Exploration & Production - 13.8%
 
   
  1,435,000(m)
B-/B3
Approach Resources, Inc., 7.0%, 6/15/21   
$ 1,495,987 
   
  1,200,000(m)
CCC+/B3
Athlon Holdings LP / Athlon Finance Corp., 7.375%, 4/15/21 (144A) 
  1,308,000 
   
  500,000 
B-/B3
Comstock Resources, Inc., 7.75%, 4/1/19  
  532,500 
   
  1,830,000 
B-/B3
Comstock Resources, Inc., 9.5%, 6/15/20  
  2,086,200 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
Oil & Gas Exploration & Production (continued)
 
   
  3,450,000 
B/B2
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20   
$ 3,950,250 
   
  1,295,000 
B/B3
EPL Oil & Gas, Inc., 8.25%, 2/15/18   
  1,385,650 
   
  3,000,000(m)
CCC/Caa1
Goodrich Petroleum Corp., 8.875%, 3/15/19   
  3,195,000 
   
  785,000 
CCC+/Caa1
Halcon Resources Corp., 8.875%, 5/15/21 
  843,875 
   
  1,205,000 
CCC+/Caa1
Halcon Resources Corp., 9.25%, 2/15/22   
  1,316,463 
   
  3,360,000 
CCC+/Caa1
Halcon Resources Corp., 9.75%, 7/15/20   
  3,666,600 
   
  1,050,000(m)
B/NR
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.625%, 12/1/21 (144A) 
  1,065,750 
   
  900,000(m)
B/Caa1
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.625%, 12/1/21   
  913,500 
   
  2,235,000 
B-/Caa1
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A) 
  2,346,750 
   
  1,480,000 
B-/Caa1
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21   
  1,548,450 
   
  2,000,000 
CCC+/Caa1
Midstates Petroleum Co., Inc., 9.25%, 6/1/21   
  2,195,000 
   
  1,050,000 
CCC+/Caa1
Midstates Petroleum Co., Inc., 10.75%, 10/1/20   
  1,191,750 
   
  1,050,000(m)
B+/NR
MIE Holdings Corp., 7.5%, 4/25/19 (144A) 
  1,111,236 
   
  590,000(m)
CCC/Caa2
Parsley Energy LLC / Parsley Finance Corp., 7.5%, 2/15/22 (144A) 
  629,825 
   
  2,750,000(m)
B/Caa1
PetroQuest Energy, Inc., 10.0%, 9/1/17   
  2,901,525 
   
  1,110,000 
B-/Caa1
QR Energy LP / QRE Finance Corp., 9.25%, 8/1/20   
  1,212,675 
   
  3,380,000(m)
CCC-/Caa3
Quicksilver Resources, Inc., 7.125%, 4/1/16   
  3,016,650 
   
  2,200,000(m)
CCC+/B3
Resolute Energy Corp., 8.5%, 5/1/20   
  2,293,500 
   
  900,000(m)
CCC+/B3
Rice Energy, Inc., 6.25%, 5/1/22 (144A) 
  922,500 
   
  2,035,000(m)
B-/B3
RKI Exploration & Production LLC / RKI Finance Corp., 8.5%, 8/1/21 (144A) 
  2,207,975 
   
  5,500,000 
CCC+/B3
Samson Investment Co., 10.75%, 2/15/20 (144A) 
  5,795,625 
   
  1,300,000(m)
B-/B3
Sanchez Energy Corp., 6.125%, 1/15/23 (144A) 
  1,342,250 
   
  2,735,000 
B-/B3
Sanchez Energy Corp., 7.75%, 6/15/21 (144A) 
  2,967,475 
   
  2,770,000 
CCC+/Caa1
Talos Production LLC / Talos Production Finance, Inc., 9.75%, 2/15/18 (144A) 
  2,936,200 
         
$ 56,379,161 
       
Oil & Gas Refining & Marketing - 1.6%
 
   
  3,100,000(m)
B+/B2
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21 (144A) 
$ 3,162,000 
   
  3,000,000 
CCC/Caa1
Seven Generations Energy, Ltd., 8.25%, 5/15/20 (144A) 
  3,300,000 
         
$ 6,462,000 
       
Oil & Gas Storage & Transportation - 0.4%
 
   
  1,524,000(a)
BB/Ba1
Energy Transfer Partners LP, 3.243%, 11/1/66   
$ 1,400,556 
   
  350,000(c)
BBB-/Baa2
Enterprise Products Operating LLC, 8.375%, 8/1/66   
  393,960 
         
$ 1,794,516 
       
Total Energy 
$ 91,178,986 
           
 
       
FOOD, BEVERAGE & TOBACCO - 6.8%
 
       
Agricultural Products - 1.3%
 
   
  2,100,000 
CCC+/Caa1
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A) 
$ 2,278,500 
   
  1,215,000(m)
B/B2
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A) 
  1,233,225 
   
  1,100,000(m)
B-/NR
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A) 
  1,036,750 
   
  575,000(m)
B/NR
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A) 
  603,750 
         
$ 5,152,225 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
Packaged Foods & Meats - 4.6%
 
   
  775,000(m)
BB/Ba3
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A) 
$ 891,250 
   
  1,250,000(m)
B+/B2
CFG Investment SAC, 9.75%, 7/30/19 (144A) 
  1,203,125 
   
  688,000 
B/B1
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21   
  749,060 
   
  3,500,000 
B/B3
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A) 
  3,745,000 
   
  1,240,000(m)
B/B2
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A) 
  1,254,260 
   
  1,000,000(m)
B/B2
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A) 
  1,063,450 
   
  1,200,000(m)
B/B2
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A) 
  1,392,000 
   
  3,400,000(m)
BB-/B1
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A) 
  3,638,000 
   
  400,000 
BB-/B1
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A) 
  452,000 
   
  4,000,000 
BB/B3
Pilgrim's Pride Corp., 7.875%, 12/15/18   
  4,235,200 
         
$ 18,623,345 
       
Tobacco - 0.9%
 
   
  3,835,000 
B-/Caa1
Alliance One International, Inc., 9.875%, 7/15/21   
$ 3,911,700 
           
       
Total Food, Beverage & Tobacco 
$ 27,687,270 
           
 
       
HEALTH CARE - 0.3%
 
       
Pharmaceuticals - 0.3%
 
   
  1,240,000 
CCC+/Caa2
JLL/Delta Dutch Newco BV, 7.5%, 2/1/22 (144A) 
$ 1,283,400 
           
       
Total Health Care 
$ 1,283,400 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 5.3%
 
       
Health Care Equipment & Services - 1.0%
 
   
  3,799,000 
B+/B2
Physio-Control International, Inc., 9.875%, 1/15/19 (144A) 
$ 4,197,895 
           
       
Health Care Facilities - 1.4%
 
   
  2,560,000 
B-/B3
CHS/Community Health Systems, Inc., 6.875%, 2/1/22 (144A) 
$ 2,713,600 
   
  2,400,000(m)
B-/B3
Kindred Healthcare, Inc., 6.375%, 4/15/22 (144A) 
  2,412,000 
   
  600,000 
CCC+/Caa1
United Surgical Partners International, Inc., 9.0%, 4/1/20   
  662,250 
         
$ 5,787,850 
       
Health Care Services - 1.2%
 
   
  2,000,000(m)
CCC/Caa2
BioScrip, Inc., 8.875%, 2/15/21 (144A) 
$ 2,090,000 
   
  2,527,000 
CCC+/Caa2
Gentiva Health Services, Inc., 11.5%, 9/1/18   
  2,697,572 
         
$ 4,787,572 
       
Health Care Supplies - 0.8%
 
   
  3,000,000 
CCC+/Caa2
Immucor, Inc., 11.125%, 8/15/19   
$ 3,345,000 
           
       
Health Care Technology - 0.3%
 
   
  900,000 
CCC+/Caa1
Emdeon, Inc., 11.0%, 12/31/19   
$ 1,035,000 
           
       
IT Consulting & Other Services - 0.6%
 
   
  2,380,000 
CCC+/Caa2
Truven Health Analytics, Inc., 10.625%, 6/1/20   
$ 2,612,050 
           
       
Total Health Care Equipment & Services 
$ 21,765,367 
           
 
       
HOUSEHOLD & PERSONAL PRODUCTS - 1.3%
 
       
Household Products - 0.2%
 
   
  850,000(m)
B/B2
Springs Industries, Inc., 6.25%, 6/1/21   
$ 867,000 
           
       
Personal Products - 1.1%
 
   
  1,745,000(m)
B+/B2
Albea Beauty Holdings SA, 8.375%, 11/1/19 (144A) 
$ 1,897,687 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
Personal Products (continued)
 
   
  2,315,000 
CCC+/Caa1
Monitronics International, Inc., 9.125%, 4/1/20   
$ 2,471,263 
         
$ 4,368,950 
       
Total Household & Personal Products 
$ 5,235,950 
           
 
       
INDUSTRIALS - 0.8%
 
       
Aerospace & Defense - 0.4%
 
   
  1,025,000(m)
B/B3
LMI Aerospace, Inc., 7.375%, 7/15/19 (144A) 
$ 1,048,062 
   
  525,000(m)
BB-/Ba3
Triumph Group, Inc., 5.25%, 6/1/22 (144A) 
  526,313 
         
$ 1,574,375 
       
Diversified Support Services - 0.2%
 
   
  660,000(m)
B+/Ba3
Transfield Services, Ltd., 8.375%, 5/15/20 (144A) 
$ 678,150 
           
       
Industrial Machinery - 0.2%
 
   
  1,075,000(m)
B-/Caa1
BC Mountain LLC / BC Mountain Finance, Inc., 7.0%, 2/1/21 (144A) 
$ 1,040,062 
           
       
Total Industrials 
$ 3,292,587 
           
 
       
INSURANCE - 8.5%
 
       
Insurance Brokers - 0.9%
 
 
GBP
  1,625,000 
NR/Caa2
Towergate Finance Plc, 10.5%, 2/15/19 (144A) 
$ 2,683,069 
   
  1,000,000 
CCC+/Caa2
USI, Inc., 7.75%, 1/15/21 (144A) 
  1,027,500 
         
$ 3,710,569 
       
Multi-Line Insurance - 1.6%
 
   
  3,075,000(c)
BB/Baa3
Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A) 
$ 4,697,062 
   
  1,100,000 
BBB/Baa2
MetLife, Inc., 10.75%, 8/1/39   
  1,747,625 
         
$ 6,444,687 
       
Property & Casualty Insurance - 1.6%
 
   
  5,300,000 
BBB-/Baa3
Hanover Insurance Corp., 7.625%, 10/15/25   
$ 6,484,995 
   
  265,000(c)(e)
BB+/Ba2
White Mountains Insurance Group, Ltd., 7.506%, 5/29/49 (144A) 
  278,250 
         
$ 6,763,245 
       
Reinsurance - 4.4%
 
   
  250,000(a)(m)
BB-/NR
Atlas Reinsurance VII, Ltd., 8.105%, 1/7/16 (144A) 
$ 259,050 
   
  500,000(a)(m)
BB+/NR
Blue Danube II, Ltd., 4.273%, 5/23/16 (144A) 
  504,600 
   
  400,000(a)(m)
NR/NR
Caelus Re 2013, Ltd., 6.87%, 4/7/17 (144A) 
  414,800 
   
  500,000(a)(m)
BB-/NR
Caelus Re, Ltd., 5.27%, 3/7/16 (144A) 
  504,650 
   
  250,000(a)(m)
NR/Ba2
Combine Re, Ltd., 10.02%, 1/7/15 (144A) 
  258,750 
   
  1,000,000(a)(m)
NR/NR
Combine Re, Ltd., 17.77%, 1/7/15 (144A) 
  1,053,900 
   
  250,000(a)(m)
BB-/NR
Compass Re, Ltd., 10.27%, 1/8/15 (144A) 
  253,150 
   
  250,000(a)(m)
B+/NR
Compass Re, Ltd., 11.27%, 1/8/15 (144A) 
  253,650 
   
  250,000(a)(m)
BB/NR
East Lane Re V, Ltd., 9.02%, 3/16/16 (144A) 
  265,600 
   
  250,000(c)(m)
BB-/NR
Embarcadero Re, Ltd., 7.401%, 2/13/15 (144A) 
  253,375 
   
  350,000(a)(m)
BB+/NR
Foundation Re III, Ltd., 5.02%, 2/25/15 (144A) 
  351,120 
   
  500,000(a)(m)
NR/NR
Galileo Re, Ltd., 7.42%, 1/9/17 (144A) 
  509,650 
   
  250,000(a)(m)
BB-/NR
Ibis Re II, Ltd., 8.37%, 2/5/15 (144A) 
  251,300 
   
  400,000(a)(m)
B-/NR
Ibis Re II, Ltd., 13.52%, 2/5/15 (144A) 
  402,760 
   
  750,000(f)(m)(j)
NR/NR
Kane Sac, Ltd., 0.0%, 6/12/15   
  663,675 
   
  400,000(f)(m)(j)
NR/NR
Kane Sac, Ltd., 0.0%, 8/1/15   
  403,240 
   
  750,000(a)(m)
BB-/NR
Kilimanjaro Re, Ltd., 4.77%, 4/30/18 (144A) 
 739,800 
   
  250,000(a)(m)
NR/NR
Loma Reinsurance, Ltd., 17.02%, 1/8/18 (144A) 
  251,525 
   
  400,000(a)(m)
BB/NR
Longpoint Re, Ltd. III, 3.98%, 5/18/16 (144A) 
  403,480 
   
  750,000(a)(m)
B/NR
Mystic Re, Ltd., 12.02%, 3/12/15 (144A) 
  772,725 
   
  250,000(a)(m)
B+/NR
Mythen Re, Ltd. Series 2012-2 Class A, 8.526%, 1/5/17 (144A) 
  264,050 
   
  250,000(a)(m)
NR/NR
Mythen Re, Ltd. Series 2013-1 Class B, 8.02%, 7/9/15 (144A) 
  254,450 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
Reinsurance (continued)
 
   
  250,000(a)
BB-/NR
  Queen Street V Re, Ltd., 8.52%, 4/9/15      (144A) 
 $  254,350 
   
  250,000(a)(m)
B/NR
Queen Street VI Re, Ltd., 10.37%, 4/9/15 (144A) 
 256,875 
   
  250,000(a)(m)
B/NR
Queen Street VII Re, Ltd., 8.62%, 4/8/16 (144A) 
  259,100 
   
  725,000(a)(m)
B+/NR
Residential Reinsurance 2011, Ltd., 8.77%, 6/6/15 (144A) 
  757,045 
   
  250,000(a)(m)
NR/NR
Residential Reinsurance 2011, Ltd., 8.92%, 12/6/15 (144A) 
  259,075 
   
  250,000(a)(m)
BB-/NR
Residential Reinsurance 2011, Ltd., 9.02%, 6/6/15 (144A) 
  259,325 
   
  450,000(a)(m)
B-/NR
Residential Reinsurance 2011, Ltd., 12.02%, 6/6/15 (144A) 
  467,100 
   
  250,000(a)(m)
NR/NR
Residential Reinsurance 2011, Ltd., 13.27%, 12/6/15 (144A) 
  261,175 
   
  250,000(a)(m)
BB/NR
Residential Reinsurance 2012, Ltd., 5.77%, 12/6/16 (144A) 
  259,125 
   
  250,000(a)(m)
BB/NR
Residential Reinsurance 2012, Ltd., 8.02%, 6/6/16 (144A) 
  271,550 
   
  250,000(a)(m)
BB-/NR
Residential Reinsurance 2012, Ltd., 10.02%, 6/6/16 (144A) 
  274,300 
   
  400,000(a)(m)
NR/NR
Residential Reinsurance 2012, Ltd., 12.77%, 12/6/16 (144A) 
  433,760 
   
  250,000(a)(m)
NR/NR
Residential Reinsurance 2012, Ltd., 19.02%, 12/6/16 (144A) 
  279,775 
   
  400,000(a)(m)
NR/NR
Residential Reinsurance 2012, Ltd., 22.02%, 6/6/16 (144A) 
  478,000 
   
  250,000(a)(m)
B-/NR
Residential Reinsurance 2013, Ltd., 9.27%, 6/6/17 (144A) 
  260,550 
   
  500,000(a)(m)
BB/NR
Sanders Re, Ltd., 4.02%, 5/5/17 (144A) 
  495,300 
   
  850,000(j)(m)
NR/NR
Sector Re V, Ltd., 0.0%, 3/30/19 (144A) 
  860,965 
 
  603,600(f)(j)(m)
NR/NR
Sector Re V, Ltd., 0.0%, 12/1/17 (144A) 
  633,120 
   
  924(f)(j)(m)
NR/NR
Sector Re V, Ltd., 0.0%, 3/1/18 (144A) 
  57,331 
   
  600,000(f)(j)(m)
NR/NR
Silverton RE, Ltd., 0.0%, 9/16/16 (144A) 
  690,360 
   
  250,000(a)(m)
NR/NR
Successor X, Ltd., 16.27%, 11/10/15 (144A) 
  253,925 
   
  250,000(a)(m)
NR/NR
Successor X, Ltd., 16.52%, 1/27/15 (144A) 
  254,575 
   
  300,000(a)(m)
B+/NR
Tar Heel Re, Ltd., 8.52%, 5/9/16 (144A) 
  310,530 
         
$ 17,876,511 
       
Total Insurance 
$ 34,795,012 
           
 
       
MATERIALS - 16.1%
 
       
Commodity Chemicals - 1.4%
 
   
  3,250,000 
BBB/WR
Basell Finance Co. BV, 8.1%, 3/15/27 (144A) 
$ 4,366,115 
   
  1,100,000(m)
BB-/B2
Rain CII Carbon LLC / CII Carbon Corp., 8.25%, 1/15/21 (144A) 
  1,155,000 
         
$ 5,521,115 
       
Construction Materials - 1.2%
 
   
  1,635,000 
BB-/B1
OAS Finance, Ltd., 8.0%, 7/2/21 (144A) 
$ 1,651,350 
   
  3,000,000 
B-/Caa2
Texas Industries, Inc., 9.25%, 8/15/20   
  3,397,500 
         
$ 5,048,850 
       
Diversified Chemicals - 0.4%
 
   
  1,420,000(m)
B/B2
Kinove German Bondco GmbH, 9.625%, 6/15/18 (144A) 
$ 1,530,050 
           
       
Diversified Metals & Mining - 2.3%
 
   
  2,000,000(m)
(P)CCC+/Caa1
Essar Steel Minnesota LLC, 11.5%, 5/15/20 (144A) 
$ 2,022,500 
   
  570,000(m)
B+/B1
First Quantum Minerals, Ltd., 7.25%, 5/15/22 (144A) 
  594,225 
   
  2,000,000 
B/B3
Global Brass & Copper, Inc., 9.5%, 6/1/19  
  2,280,000 
   
  3,000,000(d)(m)
D/WR
Midwest Vanadium Pty, Ltd., 11.5%, 2/15/18 (144A) 
  1,290,000 
   
  1,593,000(f)(g)(h)(m)
NR/NR
Mirabela Nickel, Ltd., 9.5%, (9.5% PIK 0.0% cash),6/20/19   
  1,593,000 
   
  1,200,000 
CCC+/B3
Molycorp, Inc., 10.0%, 6/1/20   
  1,104,000 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
Diversified Metals & Mining (continued)
 
   
  410,000(m)
B/Caa1
Prince Mineral Holding Corp., 12.0%, 12/15/19 (144A) 
$ 462,275 
         
$ 9,346,000 
       
Forest Products - 1.1%
 
   
  4,000,000 
B-/B3
Millar Western Forest Products, Ltd., 8.5%, 4/1/21   
$ 4,270,000 
           
       
Gold - 0.7%
 
   
  3,255,000(m)
BB-/B1
IAMGOLD Corp., 6.75%, 10/1/20 (144A) 
$ 3,010,875 
           
       
Metal & Glass Containers - 2.2%
 
   
  1,500,000(g)(m)
CCC+/Caa2
Ardagh Finance Holdings SA, 8.625%, (8.625% PIK 0.0% cash), 6/15/19 (144A) 
$ 1,545,000 
   
  1,973,733(g)
CCC+/WR
Ardagh Finance SA, 11.125%, (11.125% PIK 0.0%cash), 6/1/18 (144A) 
  2,089,196 
 
EUR
  2,250,000 
CCC+/Caa1
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A) 
  3,266,496 
   
  500,000(m)
CCC+/Caa2
Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II Is, 6.0%, 6/15/17 (144A) 
  512,500 
   
  1,450,000 
CCC+/Caa1
BWAY Holdings Co., 10.0%, 6/15/18   
  1,527,938 
         
$ 8,941,130 
       
Paper Packaging - 1.4%
 
   
  2,150,057(b)(m)
NR/NR
Bio Pappel SAB de CV, 10.0%, 8/27/16   
$ 2,171,557 
   
  2,220,000 
B-/NR
Exopack Holding Corp., 10.0%, 6/1/18 (144A) 
  2,386,500 
   
  445,000(m)
B-/Caa2
Exopack Holdings SA, 7.875%, 11/1/19 (144A) 
  476,150 
   
  500,000(m)
BB/B1
Sealed Air Corp., 8.125%, 9/15/19 (144A) 
  550,625 
         
$ 5,584,832 
       
Paper Products - 0.7%
 
   
  1,590,000 
CCC+/B2
Appvion, Inc., 9.0%, 6/1/20 (144A) 
$ 1,582,050 
   
  776,000 
B/B3
Mercer International, Inc., 9.5%, 12/1/17   
  828,380 
   
  595,000 
B-/Caa1
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A) 
  621,775 
         
$ 3,032,205 
       
Specialty Chemicals - 0.8%
 
   
  3,330,000(m)
CCC+/Caa2
Hexion US Finance Corp., 9.0%, 11/15/20   
$ 3,396,600 
           
       
Steel - 3.9%
 
   
  2,450,000 
B-/Caa1
AM Castle & Co., 12.75%, 12/15/16   
$ 2,698,062 
   
  1,200,000(m)
B+/B3
APERAM, 7.375%, 4/1/16 (144A) 
  1,236,000 
   
  700,000(m)
CCC+/Caa2
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A) 
  672,000 
   
  1,900,000(m)
NR/Caa2
Metinvest BV, 8.75%, 2/14/18 (144A) 
  1,653,000 
   
  2,915,000(m)
B/B2
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A) 
  3,199,213 
   
  1,804,000 
B-/B3
Permian Holdings, Inc., 10.5%, 1/15/18 (144A) 
  1,853,610 
   
  3,750,000 
CCC+/NR
Ryerson, Inc., 9.0%, 10/15/17   
  4,012,500 
   
  720,000(m)
B+/B1
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp., 7.375%, 2/1/20 (144A) 
  768,600 
         
$ 16,092,985 
       
Total Materials 
$ 65,774,642 
           
 
       
MEDIA - 5.2%
 
       
Broadcasting - 1.3%
 
   
  1,000,000 
B-/Caa2
Intelsat Luxembourg SA, 7.75%, 6/1/21   
$ 1,058,750 
   
  3,805,000 
B/B3
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A) 
  4,214,037 
         
$ 5,272,787 
       
Cable - 0.9%
 
 
EUR
  1,200,000(m)
B+/B1
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 
$ 1,754,491 
   
  1,500,000 
B-/Caa1
Ono Finance II Plc, 10.875%, 7/15/19 (144A) 
  1,638,750 
 
EUR
  350,000(m)
B-/Caa1
Ono Finance II Plc, 11.125%, 7/15/19 (144A) 
  528,015 
         
$ 3,921,256 
       
Movies & Entertainment - 2.4%
 
   
  2,765,000 
B-/B3
AMC Entertainment, Inc., 9.75%, 12/1/20   
$ 3,152,100 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings 
 
Value
 
       
Movies & Entertainment (continued)
 
   
  1,400,000 
B-/B3
Gibson Brands, Inc., 8.875%, 8/1/18 (144A) 
$ 1,440,250 
   
  1,900,000(m)
CCC-/Caa2
Production Resource Group, Inc., 8.875%, 5/1/19   
  1,577,000 
   
  3,575,000(m)
B/Caa1
WMG Acquisition Corp., 6.75%, 4/15/22 (144A) 
  3,575,000 
         
$ 9,744,350 
       
Publishing - 0.6%
 
   
  2,200,000(f)
B-/B3
MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A) 
$ 2,370,500 
           
       
Total Media 
$ 21,308,893 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.4%
 
       
Biotechnology - 1.4%
 
   
  1,400,000(m)
B/B3
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A) 
$ 1,515,500 
   
  4,104,000 
B-/Caa1
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17   
  4,263,030 
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 5,778,530 
           
 
       
REAL ESTATE - 1.0%
 
       
Diversified Real Estate Activities - 0.1%
 
   
  330,000(m)
B+/B1
Alam Synergy Pte, Ltd., 9.0%, 1/29/19 (144A) 
$ 352,275 
           
       
Diversified REIT's - 0.4%
 
   
  1,500,000 
B/Ba3
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19   
$ 1,576,875 
           
       
Mortgage REITs - 0.5%
 
   
  2,230,000(m)
NR/NR
NorthStar Realty Finance Corp., 3.0%, 9/30/14   
$ 2,225,727 
           
       
Total Real Estate 
$ 4,154,877 
           
 
       
RETAILING - 0.2%
 
       
Speciality Stores - 0.2%
 
   
  685,000(m)
B/B3
Radio Systems Corp., 8.375%, 11/1/19 (144A) 
$ 756,069 
           
       
Total Retailing 
$ 756,069 
           
 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.0%
 
       
Semiconductors - 1.0%
 
   
  680,000(m)
B/B2
Advanced Micro Devices, Inc., 7.0%, 7/1/24 (144A) 
$ 694,450 
   
  3,250,000 
B/B2
Advanced Micro Devices, Inc., 7.5%, 8/15/22   
  3,505,938 
 
CNH
  1,000,000(d)(m)
NR/NR
LDK Solar Co., Ltd., 10.0%, 2/28/14   
  21,751 
       
Total Semiconductors & Semiconductor Equipment 
$ 4,222,139 
           
 
       
SOFTWARE & SERVICES - 3.4%
 
       
Application Software - 0.2%
 
   
  955,000(m)
B-/B3
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18 (144A) 
$ 981,263 
           
       
Data Processing & Outsourced Services - 1.9%
 
   
  1,783,000 
B-/Caa1
First Data Corp., 8.25%, 1/15/21 (144A) 
$ 1,952,385 
   
  422,000(m)
B-/Caa1
First Data Corp., 10.625%, 6/15/21   
  491,630 
   
  1,783,000 
B-/Caa1
First Data Corp., 12.625%, 1/15/21   
  2,195,319 
   
  1,157,963(g)
NR/NR
First Data Holdings, Inc., 14.5%, (14.5% PIK 0.0% cash), 9/24/19 (144A) 
  1,286,786 
   
  1,650,000(g)
CCC+/Caa2
Igloo Holdings Corp., 8.25%, (9.0% PIK 8.25% cash) 12/15/17 (144A) 
  1,683,000 
         
$ 7,609,120 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
Systems Software - 1.3%
 
   
  5,926,182(f)(m)
NR/NR
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A) 
$ 5,511,349 
           
       
Total Software & Services 
$ 14,101,732 
           
 
       
TECHNOLOGY HARDWARE & EQUIPMENT - 1.0%
 
       
Communications Equipment - 0.8%
 
   
  1,350,000(g)
B/B3
CommScope Holding Co., Inc., 6.625%, (7.375% PIK 6.625% cash), 6/1/20 (144A) 
$ 1,441,125 
   
  1,500,000(m)
CCC+/Caa1
CPI International, Inc., 8.75%, 2/15/18   
  1,571,250 
         
$ 3,012,375 
       
Electronic Equipment & Instruments - 0.2%
 
   
  880,000(m)
B+/B1
Viasystems, Inc., 7.875%, 5/1/19 (144A) 
$ 930,600 
           
       
Total Technology Hardware & Equipment 
$ 3,942,975 
           
 
       
TELECOMMUNICATION SERVICES - 2.2%
 
       
Alternative Carriers - 0.1%
 
   
  600,000(m)
NR/WR
PAETEC Holding Corp., 9.875%, 12/1/18   
$ 646,500 
           
       
Integrated Telecommunication Services - 1.7%
 
   
  3,539,000(m)
CCC+/Caa1
Cincinnati Bell, Inc., 8.75%, 3/15/18   
$ 3,711,526 
   
  1,400,000 
BB-/Ba2
Frontier Communications Corp., 7.625%, 4/15/24   
  1,506,750 
   
  1,650,000 
B+/B3
GCI, Inc., 6.75%, 6/1/21   
  1,670,625 
         
$ 6,888,901 
       
Wireless Telecommunication Services - 0.4%
 
   
  300,000(m)
B-/B3
Altice Finco SA, 8.125%, 1/15/24 (144A) 
$ 330,750 
   
  400,000(m)
NR/NR
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A) 
  411,330 
   
  725,000 
BB/Ba3
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A) 
  824,325 
         
$ 1,566,405 
       
Total Telecommunication Services 
$ 9,101,806 
           
 
       
TRANSPORTATION - 3.1%
 
       
Airlines - 0.6%
 
   
  500,000(m)
B-/NR
Gol Finance, 9.25%, 7/20/20 (144A) 
$ 518,750 
   
  1,500,000(m)
B/B2
United Continental Holdings, Inc., 6.0%, 7/15/26   
  1,462,500 
   
  600,000 
B/B2
United Continental Holdings, Inc., 6.375%, 6/1/18   
  648,000 
         
$ 2,629,250 
       
Marine - 0.3%
 
   
  1,025,000(m)
B+/B2
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A) 
$ 1,066,000 
           
       
Railroads - 0.4%
 
   
  1,520,000(m)
CCC/Caa3
Florida East Coast Holdings Corp., 9.75%, 5/1/20 (144A) 
$ 1,605,500 
           
       
Trucking - 1.8%
 
   
  3,500,000 
CCC+/B2
Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A) 
$ 3,850,000 
   
  1,375,000 
B+/B1
Swift Services Holdings, Inc., 10.0%, 11/15/18   
  1,471,250 
   
  2,000,000(m)
CCC+/Caa1
Syncreon Group BV / Syncreon Global Finance US, Inc., 8.625%, 11/1/21 (144A) 
  2,030,000 
         
$ 7,351,250 
       
Total Transportation 
$ 12,652,000 
           
 
       
UTILITIES - 2.4%
 
       
Electric Utilities - 0.8%
 
   
  895,000(m)
BB-/B3
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A) 
$ 893,210 
   
  310,000(m)
CCC-/Caa3
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A) 
  238,700 
   
  1,010,000(c)
BB+/Ba1
Enel SpA, 8.75%, 9/24/73 (144A) 
  1,189,275 
   
  1,000,000 
BBB-/Baa3
PNM Resources, Inc., 9.25%, 5/15/15   
  1,073,760 
         
$ 3,394,945 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings 
 
Value
 
       
Independent Power Producers & Energy Traders - 1.0%
 
   
  3,675,000(m)
BB-/B1
NRG Energy, Inc., 6.25%, 5/1/24 (144A) 
$ 3,840,375 
           
       
Multi-Utilities - 0.6%
 
   
  2,527,134(m)
NR/NR
Ormat Funding Corp., 8.25%, 12/30/20   
$ 2,514,498 
           
       
Total Utilities 
$ 9,749,818 
           
       
TOTAL CORPORATE BONDS & NOTES
 
       
(Cost  $418,943,944)
$ 446,781,936 
 
       
CONVERTIBLE BONDS & NOTES -  5.2% of Net Assets
 
 
       
CAPITAL GOODS - 1.0%
 
       
Construction & Farm Machinery & Heavy Trucks - 1.0%
 
   
  2,625,000 
B-/NR
Meritor, Inc., 7.875%, 3/1/26   
$ 4,224,609 
           
       
Total Capital Goods 
$ 4,224,609 
           
 
       
DIVERSIFIED FINANCIALS - 0.1%
 
       
Asset Management & Custody Banks - 0.1%
 
   
  400,000(m)
BBB/NR
Apollo Investment Corp., 5.75%, 1/15/16   
$ 423,000 
           
       
Total Diversified Financials 
$ 423,000 
           
 
       
ENERGY - 1.4%
 
       
Coal & Consumable Fuels - 0.5%
 
   
  1,905,000(m)
CCC+/NR
Massey Energy Co., 3.25%, 8/1/15   
$ 1,932,384 
           
       
Oil & Gas Drilling - 0.6%
 
   
  2,265,000(b)
NR/NR
Hercules Offshore, Inc., 0.0%, 6/1/38   
$ 2,259,338 
           
       
Oil & Gas Exploration & Production - 0.3%
 
   
  1,340,000 
BB+/Ba1
Chesapeake Energy Corp., 2.5%, 5/15/37   
$ 1,435,475 
           
       
Total Energy 
$ 5,627,197 
           
 
       
HEALTH CARE - 0.3%
 
       
Biotechnology - 0.3%
 
   
  1,400,000(m)
NR/NR
Corsicanto, Ltd., 3.5%, 1/15/32   
$ 1,142,750 
           
       
Total Health Care 
$ 1,142,750 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 1.0%
 
       
Health Care Equipment & Services - 0.9%
 
   
  2,837,000(b)(m)
B+/NR
Hologic, Inc., 2.0%, 12/15/37   
$ 3,558,662 
           
       
Health Care Services - 0.1%
 
   
  361,000(m)
B+/B2
Omnicare, Inc., 3.25%, 12/15/35   
$ 384,014 
           
       
Total Health Care Equipment & Services 
$ 3,942,676 
           
 
       
MATERIALS - 0.9%
 
       
Diversified Chemicals - 0.9%
 
   
  4,000,000(k)(m)
B+/NR
Hercules, Inc., 6.5%, 6/30/29   
$ 3,497,500 
           
       
Total Materials 
$ 3,497,500 
           
 
       
MEDIA - 0.4%
 
       
Movies & Entertainment - 0.4%
 
   
  1,832,000 
B/NR
Live Nation Entertainment, Inc., 2.875%, 7/15/27   
$ 1,828,565 
           
       
Total Media 
$ 1,828,565 
           
 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1%
 
       
Semiconductors - 0.1%
 
   
  750,000(m)
NR/NR
ReneSola, Ltd., 4.125%, 3/15/18 (144A) 
$ 600,937 
   
  42,000(d)(f)(m)
NR/NR
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13   
  2,586 
       
Total Semiconductors & Semiconductor Equipment 
$ 603,523 
           
       
TOTAL CONVERTIBLE BONDS & NOTES
 
       
(Cost  $16,648,702)
$ 21,289,820 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings  
 
Value
 
       
SOVEREIGN DEBT OBLIGATIONS -  1.5% of Net Assets
 
       
Argentina - 0.3%
 
   
  1,200,000(m)
CCC-/Caa2
City of Buenos Aires, 12.5%, 4/6/15 (144A) 
$ 1,221,000 
           
       
Ecuador - 0.2%
 
   
  870,000(m)
B/NR
Ecuador Government International Bond, 7.95%, 6/20/24 (144A) 
$ 899,145 
           
       
Kenya - 0.6%
 
   
  755,000(m)
B+/NR
Kenya Government International Bond, 5.875%, 6/24/19 (144A) 
$ 770,478 
   
  1,510,000(m)
NR/NR
Kenya Government International Bond, 6.875%, 6/24/24 (144A) 
  1,570,400 
         
$ 2,340,878 
       
Russia - 0.4%
 
   
  1,589,200(b)(m)
BBB-/Baa1
Russian Government International Bond, 7.5%, 3/31/30   
$ 1,840,516 
           
       
TOTAL SOVEREIGN DEBT OBLIGATIONS
 
       
(Cost  $5,473,816)
$ 6,301,539 
           
       
TAX EXEMPT OBLIGATIONS -  2.8% of Net Assets
 
       
New York - 0.8%
 
   
  3,475,000(m)
BB/B1
New York City Industrial Development Agency Revenue, 7.625%, 12/1/32   
$ 3,493,105 
           
       
North Carolina - 2.0%
 
   
  1,670,000(m)
NR/NR
Charlotte North Carolina Special Facilities Revenue, 7.75%, 2/1/28   
$ 1,681,606 
   
  6,300,000(m)
NR/NR
Charlotte Special Facilities Revenue, 5.6%, 7/1/27   
  6,330,996 
         
$ 8,012,602 
       
TOTAL TAX EXEMPT OBLIGATIONS
 
       
(Cost $7,967,992)
$ 11,505,707 
           
       
MUNICIPAL COLLATERALIZED DEBT OBLIGATIONS -  0.2% of Net Assets
 
   
  3,300,000(c)(f)(m)
NR/NR
Non-Profit Preferred Funding Trust I, 0.0%, 9/15/37 (144A) 
$ 795,597 
           
       
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATIONS
 
       
(Cost  $3,293,665)
$ 795,597 
           
           
   
Shares
     
 
 
       
COMMON STOCKS -  2.1% of Net Assets
 
 
       
CAPITAL GOODS - 0.2%
 
       
Building Products - 0.2%
 
   
  894(f)(h)(l)(m)
 
Panolam Holdings Co.
$ 700,002 
           
       
Total Capital Goods 
$ 700,002 
           
 
       
ENERGY - 0.0%
 
       
Oil & Gas Exploration & Production - 0.0%
 
   
  7,331(l)(m)
 
Halcon Resources Corp.
$ 53,443 
           
       
Total Energy 
$ 53,443 
           
 
       
MATERIALS - 0.3%
 
       
Diversified Metals & Mining - 0.3%
 
   
  3,402(m)
 
Freeport-McMoRan Copper & Gold, Inc. Class B
$ 124,173 
   
  6,265(m)
 
Lyondell Basell Industries NV, Class A
  611,777 
 
AUD
   6,776,723(l)
 
Mirabela Nickel, Ltd.
  255,469 
         
$ 991,419 
       
Total Materials 
$ 991,419 
           

   
Shares
   
Value
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
 
       
Pharmaceuticals - 0.2%
 
   
  17,818(m)
 
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
$ 934,020 
           
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 934,020 
           
 
       
SOFTWARE & SERVICES - 0.0%
 
       
Systems Software - 0.0%
 
   
  10,942(f)(l)(m)
 
Perseus Holding Corp.
$ 16,413 
           
       
Total Software & Services 
$ 16,413 
           
 
       
TRANSPORTATION - 1.4%
 
       
Air Freight & Logistics - 0.9%
 
   
  3,266(l)(m)
 
CEVA Holdings LLC
$ 3,592,314 
           
       
Airlines - 0.4%
 
   
  49,785(m)
 
Delta Air Lines, Inc.
$ 1,927,675 
           
       
Marine - 0.1%
 
   
  877,784(f)(l)(m)
 
Horizon Lines, Inc., Class A
$ 351,026 
           
       
Total Transportation 
$ 5,871,015 
           
       
TOTAL COMMON STOCKS
 
       
(Cost  $7,972,939)
$ 8,566,312 
           
 
       
CONVERTIBLE PREFERRED STOCKS -  0.8% of Net Assets
 
 
       
DIVERSIFIED FINANCIALS - 0.5%
 
       
Other Diversified Financial Services - 0.5%
 
   
  1,880(e)(m)
 
Bank of America Corp., 7.25% 
$ 2,193,960 
           
       
Total Diversified Financials 
$ 2,193,960 
           
 
       
ENERGY - 0.3%
 
       
Oil & Gas Exploration & Production - 0.3%
 
   
  1,100(e)(l)(m)
 
Halcon Resources Corp., 5.75% 
$ 1,334,850 
           
       
Total Energy 
$ 1,334,850 
           
       
TOTAL CONVERTIBLE PREFERRED STOCKS
 
       
(Cost  $2,164,242)
$ 3,528,810 
           
 
       
PREFERRED STOCKS -  2.7% of Net Assets
 
 
       
BANKS - 0.8%
 
       
Diversified Banks - 0.8%
 
   
  3,000(c)(e)(m)
 
AgStar Financial Services ACA, 6.75% 
$ 3,071,062 
           
       
Total Banks 
$ 3,071,062 
           
 
       
DIVERSIFIED FINANCIALS - 0.9%
 
       
Other Diversified Financial Services - 0.9%
 
   
  132,750(c)(m)
 
GMAC Capital Trust I, 8.125% 
$ 3,624,075 
           
       
Total Diversified Financials 
$ 3,624,075 
           
 
       
ENERGY - 0.2%
 
       
Oil & Gas Storage & Transportation - 0.2%
 
   
  33,350(c)(m)
 
NuStar Logistics LP, 7.625% 
$ 897,782 
           
       
Total Energy 
$ 897,782 
           
 
       
INSURANCE - 0.7%
 
       
Reinsurance - 0.7%
 
   
  404,063(f)(l)
 
Altair Re, 0.0% 
$ 506,978 
   
  1,400,000(f)(l)(m)
 
Altair Re II, Ltd., 0.0% 
  1,449,420 
   
  8,500(f)(l)(m)
 
Lorenz Re, Ltd., 0.0% 
  873,630 
         
$ 2,830,028 
       
Total Insurance 
$ 2,830,028 
           
 
       
SOFTWARE & SERVICES - 0.1%
 
       
Systems Software - 0.1%
 
   
  5,745(f)(l)(m)
 
Perseus Holding Corp., 14.0% 
$ 471,090 
           
       
Total Software & Services 
$ 471,090 
           
       
TOTAL PREFERRED STOCKS
 
       
(Cost  $9,805,337)
$ 10,894,037 
           

   
Shares
   
Value
 
       
RIGHTS/WARRANTS -  0.0% of Net Assets
 
 
       
AUTOMOBILES & COMPONENTS - 0.0%
 
       
Auto Parts & Equipment - 0.0%
 
   
  344(l)(m)
 
Lear Corp., Expires 11/9/14   
$ 60,960 
           
       
Total Automobiles & Components 
$ 60,960 
           
 
       
ENERGY - 0.0%
 
       
Oil & Gas Equipment & Services - 0.0%
 
   
  650(f)(l)(m)
 
Green Field Energy Services, Inc., Expires 11/15/21 (144A) 
$ 653 
           
       
Total Energy 
$ 653 
           
       
TOTAL RIGHTS/WARRANTS
 
       
(Cost  $42,353)
$ 61,613 
           
       
TOTAL INVESTMENTS IN SECURITIES - 133.9%
 
       
(Cost - $509,424,948) (n)(o)
$ 546,864,274 
       
OTHER ASSETS AND LIABILITIES - (33.9)%
$ (138,490,669)
       
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
$ 408,373,605 
 


REIT
 
Real Estate Investment Trust.

NR
 
Security not rated by S&P or Moody's.
WR
 
Rating withdrawn by either S&P or Moody's.
(144A)
 
Security is exempt from registration under Rule 144A of the Securities Act of 1933.  Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At June 30, 2014, the value of these securities amounted to $269,405,509, or 66.0% of total net assets applicable to common shareowners.
 

 
  Amount rounds to less than 0.1%.

 *
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit or (iv) other base lending rates used by commercial lenders.The interest rate shown is the rate accruing at June 30, 2014.
(a)
Floating rate note.The rate shown is the coupon rate at June 30, 2014.
(b)
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date.The rate shown is the rate at June 30, 2014.
(c)
The interest rate is subject to change periodically. The interest rate shown is the rate at June 30, 2014.
(d)
Security is in default and is non income producing.
(e)
Security is perpetual in nature and has no stated maturity date.
(f)
Indicates a security that has been deemed as illiquid. As of June 30, 2014 the aggregate cost of illiquid securities in the Trust's portfolio was $25,065,559. As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $19,264,960 represented 4.7% of total net assets applicable to common shareowners.
(g)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
(h)
Security is valued using fair value methods (other than prices supplied by independent pricing services).
(i)
The company is scheduled for approval of a reorganization plan.
(j)
Security issued with a zero coupon. Income is recognized through accretion of discount.
(k)
Security is priced as a unit.
(l)
Non-income producing.
(m)
Denotes security pledged and segregated as collateral for the margin-loan financing agreement.

Pioneer High Income Trust | NQ|6/30/14
 
 

 
Schedule of Investments | 6/30/14 (unaudited)


(n)
At June 30, 2014, the net unrealized appreciation on investments based on cost for federal tax purposes of $511,326,908 was as follows:
 
     
   
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost
$ 51,897,170 
   
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value
  (16,359,804 )
     
   
Net unrealized appreciation
$ 35,537,366 
       
 
For financial reporting purposes net unrealized appreciation on investments was $37,439,326 and cost of investment aggregated $509,424,948.
 
   


(o)
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
 
 
United States
76.1
%
 
Luxembourg
3.5
 
 
Canada
3.5
 
 
Netherlands
2.5
 
 
Ireland
1.7
 
 
Cayman Islands
2.0
 
 
United Kingdom
1.3
 
 
Bermuda
1.3
 
 
Other (individually less than 1%)
8.1
 
   
100.0
%
 
 
 
Glossary of Terms:
 
(A.D.R.)
 
American Depositary Receipt
 
   
Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
AUD
-
Australian Dollar
CNH
-
New Chinese Yuan
EUR
-
Euro
GBP
-
Great British Pound
 

As of June 30, 2014, the Trust had following bridge loans outstanding:
Borrower
Par
Cost
Value
Unrealized
Appreciation
AmSurg Corp.,
$1,080,000
$1,080,000
$1,085,400
$5,400
American Energy
$2,460,000
$2,460,000
$2,460,000
$–
 


CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION
 
 
Notional
Principal ($) (1)
 
 
Counterparty
Obligation Entity/Index
Coupon
Expiration
Date
Premiums
(Paid)
Net Unrealized
Appreciation 
 
 2,000,000 
JPMorgan Chase & Co.
Goodyear Tire & Rubber Co.
5.00% 
12/20/17
$(65,000)
  $315,365 
               
(1) The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event.
     
 

Pioneer High Income Trust | NQ|6/30/14

 
 

 
Schedule of Investments | 6/30/14 (unaudited)



Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
 
   
Level 1 - quoted prices in active markets for identical securities.
 
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds
 
credit risks, etc.)
 
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
 
   
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2, and securities valued using fair value methods (other than prices supplied by independent pricing services or broker dealers) as Level 3.
 
   
The following is a summary of the inputs used as of June 30, 2014, in valuing the Trust's investments.
 
   
                         
   
Level 1
   
Level 2
   
Level 3
   
Total
 
   
                         
                         
Asset Backed Securities
  $     $ 5,298,294     $     $ 5,298,294  
                                 
                                 
Collateralized Mortgage Obligations
          6,329,704             6,329,704  
                                 
                                 
Senior Secured Floating Rate Loan Interests
          25,510,905             25,510,905  
                                 
                                 
Corporate Bonds & Notes
                               
                                 
Diversified Financials
                               
    Other Diversified Financial Services
                1,874,219       1,874,219  
Insurance
                               
    Reinsurance
          14,567,820       3,308,691       17,876,511  
    Property & Casualty Insurance
          6,763,245             6,763,245  
Materials
                               
    Diversified Metals & Mining
          7,753,000       1,593,000       9,346,000  
All Other Corporate Bonds & Notes
          410,921,961             410,921,961  
                                 
                                 
Convertible Bonds & Notes
          21,289,820             21,289,820  
                                 
Sovereign Debt Obligations
          6,301,539             6,301,539  
                                 
Tax Exempt Obligations
          11,505,707             11,505,707  
                                 
Municipal Collateralized Debt Obligation
          795,597             795,597  
                                 
                                 
Common Stocks
                               
                                 
Capital Goods
                               
    Building Products
                700,002       700,002  
Software & Services
                               
    Systems Software
          16,413             16,413  
Transportation
                               
    Air Freight & Logistics
          3,592,314             3,592,314  
All Other Common Stocks
    4,257,583                   4,257,583  
                                 
                                 
Convertible Preferred Stocks:
    3,528,810                   3,528,810  
                                 
Preferred Stocks
                               
                                 
Banks
                               
    Diversified Banks
          3,071,062             3,071,062  
Insurance
                               
    Reinsurance
                2,830,028       2,830,028  
Software & Services
                               
    Systems Software
          471,090             471,090  
All Other Preferred Stocks
    4,521,857                   4,521,857  
                                 
Rights/Warrants
                               
                                 
Energy
                               
    Oil & Gas Equipment & Services
          653             653  
All Other Rights/Warrants
    60,960                   60,960  
Total Investments in Securities
  $ 12,369,210     $ 524,189,124     $ 10,305,940     $ 546,864,274  
Other Financial Instruments
                               
Credit Default Swap Agreements
  $     $ 315,365     $     $ 315,365  
Forward Foreign Currency Contracts
          (36,320           (38,320 )
Total Other Financial
   Instruments
  $     $ 277,045     $     $ 277,045  
   
 
At June 30, 2014 a security valued at $1,344,850 was transferred from level 2 to level 1.



The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
 
   
Balance
as of
3/31/14
   
Realized
gain
(loss)
   
Change in
Unrealized appreciation
(depreciation)
   
Purchases
   
Sales
   
Accrued
discounts/ premiums
   
Transfers 
in to 
Level 3*
   
Transfers 
out of
Level 3*
   
Balance
as of
6/30/14
 
                                                       
Corporate Bonds & Notes
                                                     
Diversified Financials
                                                     
Other Diversified Financial Services
  $ 1,748,033     $     $ 126,186     $     $     $     $     $     $ 1,874,219  
Insurance
                                                                       
Reinsurance
    1,470,812             (73,968 )     1,906,250             5,597                   3,308,691  
Materials
                                                                       
Diversified Metals & Mining
    626,708             16,069       1,803,556       (853,333 )                       1,593,000  
                                                                         
                                                                         
                                                                         
                                                                         
Common Stocks
                                                                       
Capital Goods
                                                                       
Building Products
    700,002                                                 700,002  
                                                                         
                                                                         
Preferred Stocks
                                                                       
Insurance
                                                                       
Reinsurance
    3,527,053       96,739       (169,144 )     558,040       (1,182,660 )                       2,830,028  
                                                                         
Total
  $ 8,072,608     $ 96,739     $ (100,857 )   $ 4,267,846     $ (2,035,993 )   $ 5,597     $     $     $ 10,305,940  
       
*  Transfers are calculated on the beginning of period value.
 
Net change in unrealized appreciation of Level 3 investments still held and considered
Level 3 at 6/30/14: $(16,546).
 


ITEM 2. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial 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 270.30a-3(b))) and Rule 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 their 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 controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter 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 second fiscal quarter of 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 3. EXHIBITS. File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below: CERTIFICATIONS I, [identify the certifying individual], certify that: 1. I have reviewed this report on Form N-Q of [identify registrant]; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and 5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. Date: [Signature] [Title] Filed herewith. <PAGE> SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Pioneer High Income Trust By (Signature and Title)* /s/ Mark Goodwin ----------------------- Mark Goodwin, Executive Vice President Date August 28, 2014 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/ Mark Goodwin ----------------------- Mark Goodwin, Executive Vice President Date August 28, 2014 By (Signature and Title)* /s/ Mark Bradley ----------------- Mark Bradley, Treasurer Date August 28, 2014 * Print the name and title of each signing officer under his or her signature.