OMB APPROVAL OMB Number: 3235-0578 Expires: January 31, 2016 Estimated average burden hours per response..... 10.5 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.
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
|
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.
|
(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
|
|||
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.
|
|||||||
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).
|