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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 High Income Trust
(Exact name of registrant as specified in charter)
60 State Street, Boston, MA 02109
(Address of principal executive offices) (ZIP code)
Dorothy E. Bourassa, 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: December 31, 2011
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.
|
Principal
Amount
USD $
|
S&P / Moody's
Ratings
|
Value
|
|||||||||||||||
|
ASSET-BACKED SECURITIES — 2.7% OF NET ASSETS
|
|||||||||||||||||
|
TRANSPORTATION — 0.9%
|
|||||||||||||||||
|
Airlines — 0.9%
|
|||||||||||||||||
|
1,667,805
|
(a)
|
B-/Caa1
|
Aircraft Finance Trust, 0.758%, 5/15/24 (144A)
|
$
|
783,868
|
||||||||||||
|
22,913
|
(a)
|
B-/Ba3
|
Aircraft Finance Trust, 0.778%, 5/15/24 (144A)
|
21,080
|
|||||||||||||
|
874,814
|
(a)
|
B-/Caa2
|
Aviation Capital Group Trust, 0.758%, 11/15/25 (144A)
|
419,911
|
|||||||||||||
|
1,944,203
|
(a)
|
CCC+/Caa2
|
Lease Investment Flight Trust, 0.668%, 7/15/31
|
1,249,151
|
|||||||||||||
|
2,302,212
|
(a)
|
CC/Ca
|
Long Beach Mortgage Loan Trust, 0.484%, 3/25/46
|
726,329
|
|||||||||||||
|
Total Transportation
|
$
|
3,200,339
|
|||||||||||||||
|
BANKS — 0.5%
|
|||||||||||||||||
|
Thrifts & Mortgage Finance — 0.5%
|
|||||||||||||||||
|
531,442
|
(a)
|
AA+/Baa2
|
ACE Securities Corp., 1.194%, 12/25/34
|
$
|
369,864
|
||||||||||||
|
234,572
|
(a)
|
CC/Caa3
|
Amortizing Residential Collateral Trust, 1.569%, 1/25/32
|
93,851
|
|||||||||||||
|
280,000
|
(a)
|
CC/B2
|
Bear Stearns Asset Backed Securities Trust, 0.744%, 1/25/47
|
95,534
|
|||||||||||||
|
487,301
|
(a)
|
CC/Caa1
|
Citigroup Mortgage Loan Trust, Inc., 0.354%, 7/25/45
|
333,203
|
|||||||||||||
|
163,201
|
(a)
|
AAA/Caa2
|
FBR Securitization Trust, 0.994%, 10/25/35
|
86,608
|
|||||||||||||
|
946,290
|
(a)
|
CC/B2
|
Home Equity Asset Trust, 0.404%, 3/25/37
|
764,792
|
|||||||||||||
|
250,000
|
(a)
|
CC/B3
|
Security National Mortgage Loan Trust, 6.55%, 4/25/37 (144A)
|
173,750
|
|||||||||||||
|
Total Banks
|
$
|
1,917,602
|
|||||||||||||||
|
DIVERSIFIED FINANCIALS — 0.4%
|
|||||||||||||||||
|
Investment Banking & Brokerage — 0.1%
|
|||||||||||||||||
|
500,000
|
BBB-/NR
|
Bear Stearns Commercial Mortgage Securities, 6.94%, 2/15/35 (144A)
|
$
|
496,568
|
|||||||||||||
|
Specialized Finance — 0.3%
|
|||||||||||||||||
|
850,000
|
BBB-/Baa3
|
Dominos Pizza Master Issuer LLC, 5.261%, 4/25/37 (144A)
|
$
|
853,400
|
|||||||||||||
|
Total Diversified Financials
|
$
|
1,349,968
|
|||||||||||||||
|
UTILITIES — 0.9%
|
|||||||||||||||||
|
Multi-Utilities — 0.9%
|
|||||||||||||||||
|
3,305,095
|
NR/NR
|
Ormat Funding Corp., 8.25%, 12/30/20
|
$
|
3,090,264
|
|||||||||||||
|
Total Utilities
|
$
|
3,090,264
|
|||||||||||||||
|
TOTAL ASSET-BACKED SECURITIES
(Cost $9,755,702)
|
$
|
9,558,173
|
|||||||||||||||
|
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.4% OF NET ASSETS
|
|||||||||||||||||
|
BANKS — 0.4%
|
|||||||||||||||||
|
Thrifts & Mortgage Finance — 0.4%
|
|||||||||||||||||
|
1,504,000
|
(a)
|
CC/Caa2
|
Carrington Mortgage Loan Trust, 0.494%, 2/25/37
|
$
|
820,134
|
||||||||||||
|
163,301
|
(a)
|
BB/Ba3
|
Carrington Mortgage Loan Trust, 0.414%, 2/25/37
|
158,583
|
|||||||||||||
|
146,199
|
(a)
|
NR/NR
|
JPMorgan Mortgage Trust, 2.592%, 11/25/35
|
141,300
|
|||||||||||||
|
366,441
|
(a)
|
CC/NR
|
WaMu Mortgage Pass-Through Certificates, 5.329%, 12/25/36
|
284,387
|
|||||||||||||
|
Total Banks
|
$
|
1,404,404
|
|||||||||||||||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $1,901,041)
|
$
|
1,404,404
|
|||||||||||||||
|
CORPORATE BONDS & NOTES — 109.8% OF NET ASSETS
|
|||||||||||||||||
|
ENERGY — 13.7%
|
|||||||||||||||||
|
Coal & Consumable Fuels — 2.7%
|
|||||||||||||||||
|
1,350,000
|
BB/Ba3
|
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
|
$
|
1,363,500
|
|||||||||||||
|
3,890,000
|
B/Caa1
|
Foresight Energy Corp., 9.625%, 8/15/17 (144A)
|
3,987,250
|
||||||||||||||
|
2,125,000
|
B+/B2
|
James River Coal Co., 7.875%, 4/1/19
|
1,604,375
|
||||||||||||||
|
1,166,000
|
B/B3
|
Murray Energy Corp., 10.25%, 10/15/15 (144A)
|
1,157,255
|
||||||||||||||
|
1,900,000
|
B-/Caa1
|
Xinergy Corp., 9.25%, 5/15/19 (144A)
|
1,605,500
|
||||||||||||||
|
$
|
9,717,880
|
||||||||||||||||
|
Integrated Oil & Gas — 0.8%
|
|||||||||||||||||
|
2,740,000
|
BB-/B1
|
Northern Tier Energy LLC, 10.5%, 12/1/17 (144A)
|
$
|
2,931,800
|
|||||||||||||
|
Oil & Gas Drilling — 3.0%
|
|||||||||||||||||
|
NOK
|
2,000,000
|
(a)
|
NR/NR
|
Aker Drilling ASA, 10.33%, 2/24/16
|
$
|
351,880
|
|||||||||||
|
NOK
|
3,500,000
|
NR/NR
|
Aker Drilling ASA, 11.0%, 2/24/16
|
615,789
|
|||||||||||||
|
2,462,564
|
NR/NR
|
DDI Holding AS, 9.3%, 1/19/12 (144A)
|
2,425,626
|
||||||||||||||
|
2,000,000
|
NR/NR
|
Deep Drilling 1 Pte, Ltd., 12.0%, 12/21/15
|
1,920,000
|
||||||||||||||
|
500,000
|
B-/Caa1
|
Hercules Offshore, Inc., 10.5%, 10/15/17 (144A)
|
486,250
|
||||||||||||||
|
1,700,000
|
CCC+/Caa2
|
Ocean Rig UDW, Inc., 9.5%, 4/27/16
|
1,551,250
|
||||||||||||||
|
1,085,000
|
B-/B3
|
Offshore Group Investments, Ltd., 11.5%, 8/1/15
|
1,173,156
|
||||||||||||||
|
1,900,000
|
B/NR
|
Pioneer Drilling Co., 9.875%, 3/15/18
|
1,985,500
|
||||||||||||||
|
$
|
10,509,451
|
||||||||||||||||
|
Oil & Gas Equipment & Services — 2.4%
|
|||||||||||||||||
|
4,073,000
|
B+/B1
|
American Petroleum Tankers LLC, 10.25%, 5/1/15
|
$
|
4,154,460
|
|||||||||||||
|
408,000
|
(b)
|
NR/NR
|
DP Producer AS, 5.93%, 12/5/11 (144A)
|
8,160
|
|||||||||||||
|
3,015,000
|
B-/B3
|
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A)
|
2,653,200
|
||||||||||||||
|
1,260,000
|
B-/Caa1
|
Forbes Energy Services, Ltd., 9.0%, 6/15/19
|
1,178,100
|
||||||||||||||
|
650
|
(c)
|
CCC+/Caa2
|
Green Field Energy Services, Inc., 13.0%, 11/15/16 (144A)
|
630,500
|
|||||||||||||
|
238,581
|
(b)
|
NR/NR
|
Nexus 1 Pte., Ltd., 10.5%, 3/7/12 (144A)
|
239
|
|||||||||||||
|
385,386
|
(b)
|
NR/NR
|
PetroProd, Ltd., 6.303%, 1/12/12 (144A)
|
385
|
|||||||||||||
|
$
|
8,625,044
|
||||||||||||||||
|
Oil & Gas Exploration & Production — 3.3%
|
|||||||||||||||||
|
775,000
|
BB-/B2
|
Berry Petroleum Co., 10.25%, 6/1/14
|
$
|
876,719
|
|||||||||||||
|
390,000
|
BB-/B1
|
Denbury Resources, Inc., 9.75%, 3/1/16
|
429,975
|
||||||||||||||
|
678,000
|
B/B2
|
Linn Energy LLC, 11.75%, 5/15/17
|
769,530
|
||||||||||||||
|
2,400,000
|
B+/NR
|
MIE Holdings Corp., 9.75%, 5/12/16 (144A)
|
2,136,000
|
||||||||||||||
|
2,125,000
|
(d)
|
NR/NR
|
Norse Energy Corp., ASA, 13.5%, 7/14/13 (144A)
|
1,062,500
|
|||||||||||||
|
NOK
|
2,000,000
|
NR/NR
|
Norwegian Energy Co., AS, 10.25%, 4/27/16
|
298,260
|
|||||||||||||
|
NOK
|
5,000,000
|
NR/NR
|
Norwegian Energy Co., AS, 12.9%, 11/20/14
|
766,595
|
|||||||||||||
|
3,660,000
|
B-/B3
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
3,641,700
|
||||||||||||||
|
1,497,000
|
B+/Caa1
|
Rosetta Resources, Inc., 9.5%, 4/15/18
|
1,616,760
|
||||||||||||||
|
$
|
11,598,039
|
||||||||||||||||
|
Oil & Gas Refining & Marketing — 1.0%
|
|||||||||||||||||
|
1,000,000
|
B+/B1
|
Coffeyville Resources LLC, 10.875%, 4/1/17 (144A)
|
$
|
1,120,000
|
|||||||||||||
|
2,215,000
|
BB+/Ba1
|
Tesoro Corp., 9.75%, 6/1/19
|
2,486,337
|
||||||||||||||
|
$
|
3,606,337
|
||||||||||||||||
|
Oil & Gas Storage & Transportation — 0.5%
|
|||||||||||||||||
|
350,000
|
(a)
|
BB/Ba1
|
Enterprise Products Operating LLC, 8.375%, 8/1/66
|
$
|
374,500
|
||||||||||||
|
1,524,000
|
(a)
|
BB/Ba1
|
Southern Union Co., 3.447%, 11/1/66
|
1,421,130
|
|||||||||||||
|
$
|
1,795,630
|
||||||||||||||||
|
Total Energy
|
$
|
48,784,181
|
|||||||||||||||
|
MATERIALS — 21.6%
|
|||||||||||||||||
|
Aluminum — 0.3%
|
|||||||||||||||||
|
1,031,694
|
(a)(e)
|
B/B2
|
Noranda Aluminum Acquisition Corp., 4.659%, 5/15/15
|
$
|
943,017
|
||||||||||||
|
Commodity Chemicals — 2.9%
|
|||||||||||||||||
|
3,250,000
|
NR/NR
|
Basell Finance Co., 8.1%, 3/15/27 (144A)
|
$
|
3,542,500
|
|||||||||||||
|
2,600,000
|
CCC+/NR
|
Hexion US Finance Corp., 9.0%, 11/15/20
|
2,145,000
|
||||||||||||||
|
4,500,000
|
BBB-/Ba1
|
Methanex Corp., 8.75%, 8/15/12
|
4,628,988
|
||||||||||||||
|
$
|
10,316,488
|
||||||||||||||||
|
Construction Materials — 1.5%
|
|||||||||||||||||
|
5,690,000
|
C/Caa3
|
AGY Holding Corp., 11.0%, 11/15/14
|
$
|
2,845,000
|
|||||||||||||
|
3,000,000
|
B-/Caa2
|
Texas Industries, Inc., 9.25%, 8/15/20
|
2,685,000
|
||||||||||||||
|
$
|
5,530,000
|
||||||||||||||||
|
Diversified Chemicals — 1.4%
|
|||||||||||||||||
|
EURO
|
350,000
|
CC/Caa1
|
Ineos Group Holdings Plc, 7.875%, 2/15/16 (144A)
|
$
|
336,221
|
||||||||||||
|
2,625,000
|
CC/Caa1
|
Ineos Group Holdings Plc, 8.5%, 2/15/16 (144A)
|
2,086,875
|
||||||||||||||
|
1,775,000
|
B/B2
|
Kinove German Bondco GmbH, 9.625%, 6/15/18 (144A)
|
1,686,250
|
||||||||||||||
|
EURO
|
950,000
|
NR/Caa1
|
Momentive Performance Materials, Inc., 9.5%, 1/15/21
|
900,267
|
|||||||||||||
|
$
|
5,009,613
|
||||||||||||||||
|
Diversified Metals & Mining — 2.2%
|
|||||||||||||||||
|
2,180,000
|
(b)
|
NR/NR
|
Aleris International, Inc., 10.0%, 12/15/16
|
$
|
22
|
||||||||||||
|
2,250,000
|
B-/B3
|
Midwest Vanadium Pty, Ltd., 11.5%, 2/15/18 (144A)
|
1,642,500
|
||||||||||||||
|
1,725,000
|
B-/B2
|
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A)
|
1,548,187
|
||||||||||||||
|
4,070,000
|
BBB/Baa2
|
Teck Resources, Ltd., 10.25%, 5/15/16
|
4,680,500
|
||||||||||||||
|
$
|
7,871,209
|
||||||||||||||||
|
Forest Products — 0.9%
|
|||||||||||||||||
|
4,000,000
|
B-/B3
|
Millar Western Forest Products, Ltd., 8.5%, 4/1/21 (144A)
|
$
|
3,040,000
|
|||||||||||||
|
Metal & Glass Containers — 2.2%
|
|||||||||||||||||
|
1,589,463
|
(e)
|
B-/Caa1
|
Ardagh Finance SA, 11.125%, 6/1/18 (144A)
|
$
|
1,382,833
|
||||||||||||
|
EURO
|
2,250,000
|
B-/B3
|
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A)
|
2,526,524
|
|||||||||||||
|
1,450,000
|
CCC+/B3
|
BWAY Holdings Co., 10.0%, 6/15/18
|
1,544,250
|
||||||||||||||
|
2,671,916
|
(e)
|
CCC+/Caa1
|
BWAY Parent Co., Inc., 10.125%, 11/1/15
|
2,546,670
|
|||||||||||||
|
$
|
8,000,277
|
||||||||||||||||
|
Paper Packaging — 4.0%
|
|||||||||||||||||
|
2,000,000
|
CC/Caa1
|
Berry Plastics Corp., 9.5%, 5/15/18
|
$
|
2,010,000
|
|||||||||||||
|
2,657,034
|
(d)(e)
|
NR/NR
|
Corp Durango SAB de CV, 7.0%, 8/27/16
|
1,913,064
|
|||||||||||||
|
2,220,000
|
CCC+/Caa1
|
Exopack Holdings Corp., 10.0%, 6/1/18 (144A)
|
2,220,000
|
||||||||||||||
|
2,795,000
|
B-/Caa1
|
Graham Packaging Co., Inc., 9.875%, 10/15/14
|
2,840,419
|
||||||||||||||
|
2,500,000
|
NR/B3
|
Pretium Packaging LLC, 11.5%, 4/1/16
|
2,450,000
|
||||||||||||||
|
500,000
|
BB/B1
|
Sealed Air Corp., 8.125%, 9/15/19 (144A)
|
547,500
|
||||||||||||||
|
2,250,000
|
NR/NR
|
U.S. Corrugated, Inc., 10.0%, 6/1/13
|
2,306,250
|
||||||||||||||
|
$
|
14,287,233
|
||||||||||||||||
|
Paper Products — 1.5%
|
|||||||||||||||||
|
1,469,000
|
BB-/B1
|
ABI Escrow Corp., 10.25%, 10/15/18 (144A)
|
$
|
1,619,573
|
|||||||||||||
|
600,000
|
CCC+/B3
|
Appleton Papers, Inc., 11.25%, 12/15/15
|
540,000
|
||||||||||||||
|
2,000,000
|
B+/B1
|
Appleton Papers, Inc., 10.5%, 6/15/15 (144A)
|
1,972,500
|
||||||||||||||
|
405,000
|
BB/Ba3
|
Clearwater Paper Corp., 10.625%, 6/15/16
|
451,575
|
||||||||||||||
|
776,000
|
B+/B3
|
Mercer International, Inc., 9.5%, 12/1/17
|
793,460
|
||||||||||||||
|
$
|
5,377,108
|
||||||||||||||||
|
Specialty Chemicals — 0.1%
|
|||||||||||||||||
|
575,000
|
B/B2
|
Vertellus Specialties, Inc., 9.375%, 10/1/15 (144A)
|
$
|
439,875
|
|||||||||||||
|
Steel — 4.6%
|
|||||||||||||||||
|
4,660,000
|
CCC+/Caa2
|
Algoma Acquisition Corp., 9.875%, 6/15/15 (144A)
|
$
|
4,007,600
|
|||||||||||||
|
2,450,000
|
NR/B3
|
AM Castle & Co., 12.75%, 12/15/16 (144A)
|
2,462,250
|
||||||||||||||
|
1,200,000
|
BB/B2
|
APERAM, 7.375%, 4/1/16 (144A)
|
1,026,000
|
||||||||||||||
|
1,960,000
|
B/B3
|
Atkore International, Inc., 9.875%, 1/1/18
|
1,876,700
|
||||||||||||||
|
2,400,000
|
BBB-/Ba1
|
CSN Islands VIII Corp., 9.75%, 12/16/13 (144A)
|
2,690,400
|
||||||||||||||
|
2,915,000
|
NR/B2
|
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
|
2,893,138
|
||||||||||||||
|
1,250,000
|
B/B3
|
Severstal Columbus LLC, 10.25%, 2/15/18
|
1,309,375
|
||||||||||||||
|
$
|
16,265,463
|
||||||||||||||||
|
Total Materials
|
$
|
77,080,283
|
|||||||||||||||
|
CAPITAL GOODS — 9.6%
|
|||||||||||||||||
|
Aerospace & Defense — 2.5%
|
|||||||||||||||||
|
3,300,000
|
B/B3
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$
|
3,300,000
|
|||||||||||||
|
1,465,000
|
BB/Ba2
|
BE Aerospace, Inc., 8.5%, 7/1/18
|
1,604,175
|
||||||||||||||
|
4,139,000
|
B-/B2
|
DynCorp International, Inc., 10.375%, 7/1/17 (144A)
|
3,600,930
|
||||||||||||||
|
295,000
|
BB-/Ba3
|
GeoEye, Inc., 9.625%, 10/1/15
|
323,025
|
||||||||||||||
|
$
|
8,828,130
|
||||||||||||||||
|
Building Products — 1.0%
|
|||||||||||||||||
|
1,935,000
|
(b)
|
NR/NR
|
Industrias Unidas SA de CV, 11.5%, 11/15/16 (144A)
|
$
|
1,741,500
|
||||||||||||
|
2,375,000
|
B-/Caa2
|
New Enterprise Stone & Lime Co., 11.0%, 9/1/18 (144A)
|
1,947,500
|
||||||||||||||
|
$
|
3,689,000
|
||||||||||||||||
|
Construction & Engineering — 0.4%
|
|||||||||||||||||
|
1,500,000
|
B+/Ba3
|
Abengoa Finance SAU, 8.875%, 11/1/17 (144A)
|
$
|
1,500,000
|
|||||||||||||
|
Construction & Farm Machinery & Heavy Trucks — 0.4%
|
|||||||||||||||||
|
570,000
|
B+/Caa1
|
American Railcar Industries, Inc., 7.5%, 3/1/14
|
$
|
570,000
|
|||||||||||||
|
774,000
|
B+/B3
|
Manitowoc Co., Inc., 9.5%, 2/15/18
|
824,310
|
||||||||||||||
|
$
|
1,394,310
|
||||||||||||||||
|
Electrical Components & Equipment — 0.6%
|
|||||||||||||||||
|
2,000,000
|
B/B2
|
WireCo WorldGroup, 10.0%, 5/15/17 (144A)
|
$
|
2,010,000
|
|||||||||||||
|
Industrial Machinery — 3.3%
|
|||||||||||||||||
|
3,180,000
|
(b)
|
NR/NR
|
Indalex Holding Corp., 11.5%, 2/1/14
|
$
|
11,925
|
||||||||||||
|
1,080,000
|
B/Caa1
|
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
|
1,077,300
|
||||||||||||||
|
5,170,000
|
CCC+/Caa2
|
Mueller Water Products, Inc., 7.375%, 6/1/17
|
4,704,700
|
||||||||||||||
|
2,440,000
|
B+/NR
|
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A)
|
2,171,600
|
||||||||||||||
|
4,000,000
|
B/B3
|
Xerium Technologies, Inc., 8.875%, 6/15/18 (144A)
|
3,620,000
|
||||||||||||||
|
$
|
11,585,525
|
||||||||||||||||
|
Trading Companies & Distributors — 1.4%
|
|||||||||||||||||
|
1,790,000
|
B-/B3
|
Intcomex, Inc., 13.25%, 12/15/14
|
$
|
1,709,450
|
|||||||||||||
|
3,370,000
|
B/B1
|
Wesco Distribution, Inc., 7.5%, 10/15/17
|
3,441,612
|
||||||||||||||
|
$
|
5,151,062
|
||||||||||||||||
|
Total Capital Goods
|
$
|
34,158,027
|
|||||||||||||||
|
COMMERCIAL & PROFESSIONAL SERVICES — 1.4%
|
|||||||||||||||||
|
Diversified Support Services — 1.0%
|
|||||||||||||||||
|
4,450
|
(c)
|
NR/Caa2
|
MSX International, Ltd., UK, 12.5%, 4/1/12 (144A)
|
$
|
3,726,875
|
||||||||||||
|
Environmental & Facilities Services — 0.4%
|
|||||||||||||||||
|
892,000
|
CCC+/B3
|
Brickman Group Holdings, Inc., 9.125%, 11/1/18 (144A)
|
$
|
793,880
|
|||||||||||||
|
315,000
|
BB/B2
|
Casella Waste Systems, Inc., 11.0%, 7/15/14
|
341,775
|
||||||||||||||
|
1,275,000
|
(a)(b)(f)
|
NR/NR
|
Ohio Air Quality Development Authority Revenue, 7.29%, 6/8/22 (144A)
|
133,492
|
|||||||||||||
|
$
|
1,269,147
|
||||||||||||||||
|
Total Commercial & Professional Services
|
$
|
4,996,022
|
|||||||||||||||
|
TRANSPORTATION — 2.3%
|
|||||||||||||||||
|
Air Freight & Logistics — 1.5%
|
|||||||||||||||||
|
720,000
|
CCC+/Caa1
|
CEVA Group Plc, 11.625%, 10/1/16 (144A)
|
$
|
714,600
|
|||||||||||||
|
EURO
|
272,000
|
CC/Caa3
|
CEVA Group Plc, 10.0%, 12/1/16 (144A)
|
220,686
|
|||||||||||||
|
3,351,000
|
CCC+/Caa1
|
CEVA Group Plc, 11.5%, 4/1/18 (144A)
|
3,024,277
|
||||||||||||||
|
1,430,000
|
B/B3
|
Syncreon Global Ireland, Ltd., 9.5%, 5/1/18 (144A)
|
1,319,175
|
||||||||||||||
|
$
|
5,278,738
|
||||||||||||||||
|
Airlines — 0.2%
|
|||||||||||||||||
|
779,000
|
BB-/Ba2
|
Delta Air Lines, Inc., 9.5%, 9/15/14 (144A)
|
$
|
802,370
|
|||||||||||||
|
Railroads — 0.2%
|
|||||||||||||||||
|
947,812
|
(e)
|
CC/Caa3
|
Florida East Coast Holdings, 10.5%, 8/1/17 (144A)
|
$
|
700,196
|
||||||||||||
|
Trucking — 0.4%
|
|||||||||||||||||
|
1,375,000
|
B-/Caa1
|
Swift Services Holdings, Inc., 10.0%, 11/15/18
|
$
|
1,445,469
|
|||||||||||||
|
Total Transportation
|
$
|
8,226,773
|
|||||||||||||||
|
AUTOMOBILES & COMPONENTS — 4.9%
|
|||||||||||||||||
|
Auto Parts & Equipment — 3.0%
|
|||||||||||||||||
|
1,107,000
|
B-/Caa1
|
Allison Transmission, Inc., 11.0%, 11/1/15 (144A)
|
$
|
1,167,885
|
|||||||||||||
|
1,140,000
|
B/Caa1
|
International Automotive Components Group S.L., 9.125%, 6/1/18 (144A)
|
1,020,300
|
||||||||||||||
|
4,760,000
|
CC/Caa1
|
Stanadyne Corp., 10.0%, 8/15/14
|
4,046,000
|
||||||||||||||
|
1,500,000
|
CCC-/Caa3
|
Stanadyne Corp., 12.0%, 2/15/15
|
1,400,625
|
||||||||||||||
|
855,000
|
B+/B1
|
Tomkins LLC / Tomkins, Inc., 9.0%, 10/1/18
|
947,981
|
||||||||||||||
|
1,879,000
|
B+/B1
|
Tower Automotive Holdings USA LLC, 10.625%, 9/1/17 (144A)
|
1,888,395
|
||||||||||||||
|
$
|
10,471,186
|
||||||||||||||||
|
Automobile Manufacturers — 1.7%
|
|||||||||||||||||
|
6,000,000
|
B/B2
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.0%, 6/15/19 (144A)
|
$
|
5,490,000
|
|||||||||||||
|
500,000
|
B/B2
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21 (144A)
|
455,000
|
||||||||||||||
|
$
|
5,945,000
|
||||||||||||||||
|
Tires & Rubber — 0.2%
|
|||||||||||||||||
|
756,000
|
B+/B1
|
Goodyear Tire & Rubber Co., 10.5%, 5/15/16
|
$
|
833,490
|
|||||||||||||
|
Total Automobiles & Components
|
$
|
17,249,676
|
|||||||||||||||
|
CONSUMER DURABLES & APPAREL — 6.1%
|
|||||||||||||||||
|
Homebuilding — 1.6%
|
|||||||||||||||||
|
3,115,000
|
CC/Caa3
|
Beazer Homes USA, Inc., 9.125%, 6/15/18
|
$
|
2,141,563
|
|||||||||||||
|
750,000
|
CC/Caa3
|
Beazer Homes USA, Inc., 9.125%, 5/15/19 (144A)
|
511,875
|
||||||||||||||
|
3,060,000
|
B+/B1
|
Meritage Homes Corp., 6.25%, 3/15/15
|
3,014,100
|
||||||||||||||
|
$
|
5,667,538
|
||||||||||||||||
|
Housewares & Specialties — 3.3%
|
|||||||||||||||||
|
1,435,000
|
B/B2
|
Jarden Corp., 7.5%, 5/1/17
|
$
|
1,521,100
|
|||||||||||||
|
3,000,000
|
B-/Caa1
|
Reynolds Group Holdings, Ltd, 9.0%, 4/15/19 (144A)
|
2,850,000
|
||||||||||||||
|
3,690,000
|
B/B2
|
Yankee Acquisition Corp., 8.5%, 2/15/15
|
3,726,900
|
||||||||||||||
|
2,500,000
|
CCC+/B3
|
Yankee Acquisition Corp., 9.75%, 2/15/17
|
2,437,500
|
||||||||||||||
|
1,425,000
|
(e)
|
CCC+/Caa1
|
YCC Holdings LLC, 10.25%, 2/15/16 (144A)
|
1,246,875
|
|||||||||||||
|
$
|
11,782,375
|
||||||||||||||||
|
Leisure Products — 1.2%
|
|||||||||||||||||
|
EURO
|
1,000,000
|
CC/Caa1
|
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
|
$
|
824,325
|
||||||||||||
|
4,000,000
|
B/B2
|
Icon Health & Fitness, 11.875%, 10/15/16 (144A)
|
3,250,000
|
||||||||||||||
|
$
|
4,074,325
|
||||||||||||||||
|
Total Consumer Durables & Apparel
|
$
|
21,524,238
|
|||||||||||||||
|
CONSUMER SERVICES — 4.3%
|
|||||||||||||||||
|
Business Services — 0.7%
|
|||||||||||||||||
|
400,000
|
B-/Caa1
|
Interactive Data Corp., 10.25%, 8/1/18
|
$
|
438,000
|
|||||||||||||
|
2,600,000
|
B-/Caa2
|
Sitel LLC/Sitel Finance Corp., 11.5%, 4/1/18
|
1,917,500
|
||||||||||||||
|
$
|
2,355,500
|
||||||||||||||||
|
Casinos & Gaming — 1.0%
|
|||||||||||||||||
|
1,650,000
|
(b)
|
NR/NR
|
Buffalo Thunder Development Authority, 9.375%, 12/15/14 (144A)
|
$
|
528,000
|
||||||||||||
|
975,000
|
B+/B2
|
FireKeepers Development Authority, 13.875%, 5/1/15 (144A)
|
1,106,625
|
||||||||||||||
|
1,475,000
|
NR/NR
|
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A)
|
1,224,250
|
||||||||||||||
|
1,375,000
|
(b)
|
NR/NR
|
Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (144A)
|
61,875
|
|||||||||||||
|
740,000
|
CC/Caa2
|
Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (144A)
|
418,100
|
||||||||||||||
|
$
|
3,338,850
|
||||||||||||||||
|
Education Services — 0.2%
|
|||||||||||||||||
|
555,000
|
B/B2
|
Cambium Learning Group, Inc., 9.75%, 2/15/17 (144A)
|
$
|
538,350
|
|||||||||||||
|
Hotels, Resorts & Cruise Lines — 0.4%
|
|||||||||||||||||
|
1,500,000
|
B-/B3
|
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19 (144A)
|
$
|
1,533,750
|
|||||||||||||
|
Restaurants — 1.1%
|
|||||||||||||||||
|
4,055,000
|
(d)
|
CCC+/Caa1
|
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A)
|
$
|
2,524,237
|
||||||||||||
|
1,400,000
|
B-/B3
|
Burger King Corp., 9.875%, 10/15/18
|
1,524,250
|
||||||||||||||
|
$
|
4,048,487
|
||||||||||||||||
|
Specialized Consumer Services — 0.9%
|
|||||||||||||||||
|
500,000
|
B/B2
|
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.625%, 3/15/18
|
$
|
517,500
|
|||||||||||||
|
3,000,000
|
CCC+/B3
|
StoneMor Operating LLC, 10.25%, 12/1/17
|
2,797,500
|
||||||||||||||
|
$
|
3,315,000
|
||||||||||||||||
|
Total Consumer Services
|
$
|
15,129,937
|
|||||||||||||||
|
MEDIA — 5.9%
|
|||||||||||||||||
|
Advertising — 1.6%
|
|||||||||||||||||
|
2,900,000
|
NR/B3
|
Good Sam Enterprises LLC, 11.5%, 12/1/16
|
$
|
2,842,000
|
|||||||||||||
|
2,690,000
|
B+/B2
|
MDC Partners, Inc., 11.0%, 11/1/16
|
2,878,300
|
||||||||||||||
|
$
|
5,720,300
|
||||||||||||||||
|
Broadcasting — 1.8%
|
|||||||||||||||||
|
3,638,075
|
(e)
|
CCC+/Caa3
|
Intelsat Bermuda, Ltd., 11.5%, 2/4/17
|
$
|
3,510,742
|
||||||||||||
|
EURO
|
1,200,000
|
B/B1
|
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
|
1,370,847
|
|||||||||||||
|
535,000
|
B-/Caa1
|
Telesat Canada, 11.0%, 11/1/15
|
574,456
|
||||||||||||||
|
800,000
|
B-/Caa1
|
Telesat Canada, 12.5%, 11/1/17
|
894,000
|
||||||||||||||
|
$
|
6,350,045
|
||||||||||||||||
|
Cable — 0.8%
|
|||||||||||||||||
|
1,096,054
|
B/B2
|
CCH II LLC/CCH II Capital Corp., 13.5%, 11/30/16
|
$
|
1,265,942
|
|||||||||||||
|
1,500,000
|
CCC+/Caa1
|
Ono Finance II PLC, 10.875%, 7/15/19 (144A)
|
1,335,000
|
||||||||||||||
|
EURO
|
350,000
|
CCC+/Caa1
|
Ono Finance II PLC, 11.125%, 7/15/19 (144A)
|
349,852
|
|||||||||||||
|
$
|
2,950,794
|
||||||||||||||||
|
Movies & Entertainment — 0.9%
|
|||||||||||||||||
|
2,765,000
|
CCC+/Caa1
|
AMC Entertainment, Inc., 9.75%, 12/1/20 (144A)
|
$
|
2,626,750
|
|||||||||||||
|
600,000
|
B-/B3
|
Production Resource Group, Inc., 8.875%, 5/1/19 (144A)
|
547,500
|
||||||||||||||
|
$
|
3,174,250
|
||||||||||||||||
|
Publishing — 0.8%
|
|||||||||||||||||
|
1,400,000
|
CCC+/Caa2
|
Cengage Learning Acquisitions, Inc., 10.5%, 1/15/15 (144A)
|
$
|
1,004,500
|
|||||||||||||
|
2,200,000
|
B/B3
|
MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A)
|
1,925,000
|
||||||||||||||
|
$
|
2,929,500
|
||||||||||||||||
|
Total Media
|
$
|
21,124,889
|
|||||||||||||||
|
RETAILING — 2.0%
|
|||||||||||||||||
|
Distributors — 0.7%
|
|||||||||||||||||
|
2,862,000
|
B/B2
|
Minerva Overseas II, Ltd., 10.875%, 11/15/19 (144A)
|
$
|
2,525,715
|
|||||||||||||
|
Internet Retail — 1.3%
|
|||||||||||||||||
|
4,340,000
|
B/B3
|
Ticketmaster Entertainment, Inc., 10.75%, 8/1/16
|
$
|
4,622,100
|
|||||||||||||
|
Total Retailing
|
$
|
7,147,815
|
|||||||||||||||
|
FOOD, BEVERAGE & TOBACCO — 4.3%
|
|||||||||||||||||
|
Agricultural Products — 1.6%
|
|||||||||||||||||
|
5,622,000
|
B+/B3
|
Southern States Cooperative, Inc., 11.25%, 5/15/15 (144A)
|
$
|
5,903,100
|
|||||||||||||
|
Packaged Foods & Meats — 1.8%
|
|||||||||||||||||
|
775,000
|
NR/B1
|
Bertin, Ltd., 10.25%, 10/5/16 (144A)
|
$
|
776,937
|
|||||||||||||
|
1,500,000
|
B-/B3
|
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
|
1,327,500
|
||||||||||||||
|
500,000
|
B+/B1
|
Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A)
|
437,500
|
||||||||||||||
|
4,000,000
|
B-/Caa1
|
Pilgrim's Pride Corp., 7.875%, 12/15/18
|
3,760,000
|
||||||||||||||
|
$
|
6,301,937
|
||||||||||||||||
|
Tobacco — 0.9%
|
|||||||||||||||||
|
3,450,000
|
B/B2
|
Alliance One International, Inc., 10.0%, 7/15/16
|
$
|
3,105,000
|
|||||||||||||
|
Total Food, Beverage & Tobacco
|
$
|
15,310,037
|
|||||||||||||||
|
HOUSEHOLD & PERSONAL PRODUCTS — 0.3%
|
|||||||||||||||||
|
Personal Products — 0.3%
|
|||||||||||||||||
|
1,050,000
|
B/B2
|
Revlon Consumer Products Corp, 9.75%, 11/15/15
|
$
|
1,116,938
|
|||||||||||||
|
Total Household & Personal Products
|
$
|
1,116,938
|
|||||||||||||||
|
HEALTH CARE EQUIPMENT & SERVICES — 7.3%
|
|||||||||||||||||
|
Health Care Equipment & Services — 1.5%
|
|||||||||||||||||
|
3,000,000
|
CCC+/Caa2
|
Accellent, Inc., 10.0%, 11/1/17
|
$
|
2,422,500
|
|||||||||||||
|
3,000,000
|
B-/Caa1
|
IVD Acquisition Corp., 11.125%, 8/15/19 (144A)
|
3,105,000
|
||||||||||||||
|
$
|
5,527,500
|
||||||||||||||||
|
Health Care Facilities — 1.0%
|
|||||||||||||||||
|
535,000
|
B-/B3
|
HCA, Inc., 6.25%, 2/15/13
|
$
|
545,700
|
|||||||||||||
|
84,000
|
BB/B2
|
HCA, Inc., 9.875%, 2/15/17
|
91,770
|
||||||||||||||
|
3,475,000
|
B-/B3
|
Kindred Healthcare, Inc., 8.25%, 6/1/19
|
2,919,000
|
||||||||||||||
|
62,000
|
CCC+/Caa1
|
Vanguard Health Systems, Inc., 2/1/16
|
38,750
|
||||||||||||||
|
$
|
3,595,220
|
||||||||||||||||
|
Health Care Services — 3.0%
|
|||||||||||||||||
|
1,987,000
|
B-/Caa1
|
BioScrip, Inc., 10.25%, 10/1/15
|
$
|
1,962,163
|
|||||||||||||
|
2,527,000
|
CC/Caa2
|
Gentiva Health Services, Inc., 11.5%, 9/1/18
|
2,075,299
|
||||||||||||||
|
3,725,000
|
CCC+/Caa1
|
Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)
|
3,576,000
|
||||||||||||||
|
3,175,000
|
CCC+/Caa1
|
WP Rocket Merger Sub, Inc., 10.125%, 7/15/19 (144A)
|
2,992,437
|
||||||||||||||
|
$
|
10,605,899
|
||||||||||||||||
|
Health Care Supplies — 1.5%
|
|||||||||||||||||
|
1,000,000
|
B/Caa1
|
Bausch & Lomb, Inc., 9.875%, 11/1/15
|
$
|
1,050,000
|
|||||||||||||
|
4,085,000
|
(e)
|
B-/B3
|
Biomet, Inc., 10.375%, 10/15/17
|
4,422,012
|
|||||||||||||
|
$
|
5,472,012
|
||||||||||||||||
|
Health Care Technology — 0.3%
|
|||||||||||||||||
|
900,000
|
NR/Caa1
|
Emdeon, Inc., 11.0%, 12/31/19 (144A)
|
$
|
941,625
|
|||||||||||||
|
Total Health Care Equipment & Services
|
$
|
26,142,256
|
|||||||||||||||
|
PHARMACEUTICALS & BIOTECHNOLOGY & LIFE SCIENCES — 2.7%
|
|||||||||||||||||
|
Biotechnology — 1.3%
|
|||||||||||||||||
|
1,400,000
|
B/Caa1
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$
|
1,249,500
|
|||||||||||||
|
4,104,000
|
B+/Caa1
|
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
|
3,252,420
|
||||||||||||||
|
$
|
4,501,920
|
||||||||||||||||
|
Life Sciences Tools & Services — 1.0%
|
|||||||||||||||||
|
3,461,893
|
(e)
|
B/Caa1
|
Catalent Pharma Solutions, Inc., 9.5%, 4/15/15
|
$
|
3,557,095
|
||||||||||||
|
Pharmaceuticals — 0.4%
|
|||||||||||||||||
|
2,020,000
|
NR/NR
|
KV Pharmaceutical Co., 12.0%, 3/15/15 (144A)
|
$
|
1,383,700
|
|||||||||||||
|
Total Pharmaceuticals & Biotechnology & Life Sciences
|
$
|
9,442,715
|
|||||||||||||||
|
BANKS — 1.2%
|
|||||||||||||||||
|
Diversified Banks — 0.3%
|
|||||||||||||||||
|
1,265,000
|
(a)(g)
|
BB+/Ba3
|
ABN Amro North American Holding Preferred Capital Repackage Trust I, 6.523% (144A)
|
$
|
861,781
|
||||||||||||
|
400,000
|
(a)
|
NR/Ba2
|
Banco Macro SA, 10.75%, 6/7/12
|
272,000
|
|||||||||||||
|
$
|
1,133,781
|
||||||||||||||||
|
Regional Banks — 0.9%
|
|||||||||||||||||
|
1,225,000
|
(a)(g)
|
BBB/Baa3
|
PNC Financial Services Group, Inc., 8.25%
|
$
|
1,253,426
|
||||||||||||
|
1,790,000
|
(a)(g)
|
BBB+/Baa1
|
State Street Capital Trust III, 5.536%
|
1,760,877
|
|||||||||||||
|
$
|
3,014,303
|
||||||||||||||||
|
Total Banks
|
$
|
4,148,084
|
|||||||||||||||
|
DIVERSIFIED FINANCIALS — 3.5%
|
|||||||||||||||||
|
Asset Management & Custody Banks — 0.3%
|
|||||||||||||||||
|
975,000
|
(d)
|
BBB-/Baa3
|
Janus Capital Group, Inc., 6.7%, 6/15/17
|
$
|
1,034,656
|
||||||||||||
|
Investment Banking & Brokerage — 0.4%
|
|||||||||||||||||
|
2,325,000
|
(a)(g)
|
BB+/Baa2
|
Goldman Sachs Capital II, 5.793%
|
$
|
1,429,875
|
||||||||||||
|
Multi-Sector Holdings — 0.6%
|
|||||||||||||||||
|
2,200,000
|
B/B2
|
Constellation Enterprises, 10.625%, 2/1/16 (144A)
|
$
|
2,068,000
|
|||||||||||||
|
Specialized Finance — 2.2%
|
|||||||||||||||||
|
500,000
|
BB+/Baa3
|
Capital One Capital V, 10.25%, 8/15/39
|
$
|
518,750
|
|||||||||||||
|
695,000
|
B+/B2
|
National Money Mart Co., 10.375%, 12/15/16
|
741,913
|
||||||||||||||
|
7,140,000
|
CCC-/Caa3
|
NCO Group, Inc., 11.875%, 11/15/14
|
6,747,300
|
||||||||||||||
|
$
|
8,007,963
|
||||||||||||||||
|
Total Diversified Financials
|
$
|
12,540,494
|
|||||||||||||||
|
INSURANCE — 8.8%
|
|||||||||||||||||
|
Insurance Brokers — 4.1%
|
|||||||||||||||||
|
3,305,000
|
(a)
|
CC/Caa1
|
Alliant Holdings I, Inc., 11.0%, 5/1/15 (144A)
|
$
|
3,404,150
|
||||||||||||
|
100,000
|
(a)
|
CCC+/B3
|
HUB International Holdings, Inc., 9.0%, 12/15/14 (144A)
|
100,250
|
|||||||||||||
|
5,455,000
|
(a)
|
CCC+/Caa1
|
HUB International Holdings, Inc., 10.25%, 6/15/15 (144A)
|
5,414,088
|
|||||||||||||
|
GBP
|
1,625,000
|
(a)
|
NR/B3
|
Towergate Finance PLC, 10.5%, 2/15/19 (144A)
|
2,032,958
|
||||||||||||
|
2,286,000
|
(a)
|
CC/B3
|
U.S.I. Holdings Corp., 4.332%, 11/15/14 (144A)
|
2,085,975
|
|||||||||||||
|
1,610,000
|
CC/Caa1
|
U.S.I. Holdings Corp., 9.75%, 5/15/15 (144A)
|
1,541,575
|
||||||||||||||
|
$
|
14,578,996
|
||||||||||||||||
|
Multi-Line Insurance — 1.5%
|
|||||||||||||||||
|
3,075,000
|
(a)
|
BB/Baa3
|
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (144A)
|
$
|
3,859,125
|
||||||||||||
|
1,100,000
|
BBB/Baa2
|
MetLife, Inc., 10.75%, 8/1/69
|
1,452,000
|
||||||||||||||
|
$
|
5,311,125
|
||||||||||||||||
|
Property & Casualty Insurance — 1.7%
|
|||||||||||||||||
|
5,300,000
|
BBB-/Baa3
|
Allmerica Financial Corp., 7.625%, 10/15/25
|
$
|
6,033,085
|
|||||||||||||
|
120,000
|
(a)(g)
|
BB+/Ba2
|
White Mountains Insurance Group, Ltd., 7.506% (144A)
|
109,325
|
|||||||||||||
|
$
|
6,142,410
|
||||||||||||||||
|
Reinsurance — 1.5%
|
|||||||||||||||||
|
375,000
|
(a)
|
BB+/NR
|
Blue Fin, Ltd., 4.791%, 4/10/12 (144A)
|
$
|
372,675
|
||||||||||||
|
250,000
|
BB-/NR
|
Compass Re, Ltd., 10.255%, 1/8/15 - Series CL2 (144A)
|
249,325
|
||||||||||||||
|
250,000
|
B+/NR
|
Compass Re, Ltd., 11.255%, 1/8/15 - Series CL3 (144A)
|
249,200
|
||||||||||||||
|
350,000
|
(a)
|
BB+/NR
|
Foundation Re III, Ltd., 5.01%, 2/25/15
|
348,110
|
|||||||||||||
|
250,000
|
(a)
|
BB/NR
|
Ibis Re, Ltd., 10.796%, 5/10/12 (144A)
|
256,025
|
|||||||||||||
|
800,000
|
(a)
|
BB/NR
|
Lodestone Re, Ltd., 7.255%, 1/8/14 (144A)
|
795,840
|
|||||||||||||
|
700,000
|
(a)
|
BB-/NR
|
LOMA Reinsurance, Ltd., 10.027%, 12/21/14 (144A)
|
718,900
|
|||||||||||||
|
300,000
|
(a)
|
CCC+/NR
|
Montana Re, Ltd., 13.784%, 12/7/12 (144A)
|
297,690
|
|||||||||||||
|
500,000
|
(a)
|
BB-/NR
|
Queen Street II Capital, Ltd., 7.505%, 4/9/14 (144A)
|
498,500
|
|||||||||||||
|
450,000
|
(a)
|
B-/NR
|
Residential Reinsurance 2010, Ltd., 12.005%, 12/6/16 (144A)
|
449,100
|
|||||||||||||
|
250,000
|
(a)
|
NR/NR
|
Residential Reinsurance 2011, Ltd., 8.905%, 12/6/15 (144A)
|
247,000
|
|||||||||||||
|
250,000
|
(a)
|
NR/NR
|
Residential Reinsurance 2011, Ltd., 13.255%, 12/6/15 (144A)
|
247,350
|
|||||||||||||
|
500,000
|
(a)
|
NR/NR
|
Successor X, Ltd., 13.0%, 2/25/14 (144A)
|
509,100
|
|||||||||||||
|
$
|
5,238,815
|
||||||||||||||||
|
Total Insurance
|
$
|
31,271,346
|
|||||||||||||||
|
REAL ESTATE — 1.8%
|
|||||||||||||||||
|
Real Estate Operating Companies — 1.4%
|
|||||||||||||||||
|
98,266
|
(a)
|
B/NR
|
Alto Palermo SA, 11.0%, 6/11/12 (144A)
|
$
|
29,951
|
||||||||||||
|
5,000,000
|
B-/B3
|
Forest City Enterprises, Inc., 7.625%, 6/1/15
|
4,912,500
|
||||||||||||||
|
$
|
4,942,451
|
||||||||||||||||
|
Specialized Real Estate Investment Trusts — 0.4%
|
|||||||||||||||||
|
1,500,000
|
BB-/Ba3
|
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19
|
$
|
1,387,500
|
|||||||||||||
|
Total Real Estate
|
$
|
6,329,951
|
|||||||||||||||
|
SOFTWARE & SERVICES — 2.8%
|
|||||||||||||||||
|
Application Software — 0.7%
|
|||||||||||||||||
|
2,960,000
|
B/B3
|
Allen Systems Group, Inc., 10.5%, 11/15/16 (144A)
|
$
|
2,575,200
|
|||||||||||||
|
Data Processing & Outsourced Services — 1.0%
|
|||||||||||||||||
|
1,783,000
|
B-/Caa1
|
First Data Corp., 8.25%, 1/15/21 (144A)
|
$
|
1,595,785
|
|||||||||||||
|
399,000
|
B-/Caa1
|
First Data Corp., 9.875%, 9/24/15
|
375,060
|
||||||||||||||
|
1,783,000
|
NR/NR
|
First Data Corp., 12.625%, 1/15/21
|
1,551,210
|
||||||||||||||
|
$
|
3,522,055
|
||||||||||||||||
|
Systems Software — 1.1%
|
|||||||||||||||||
|
4,282,584
|
(e)(h)
|
NR/NR
|
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A)
|
$
|
4,025,629
|
||||||||||||
|
Total Software & Services
|
$
|
10,122,884
|
|||||||||||||||
|
TECHNOLOGY HARDWARE & EQUIPMENT — 0.2%
|
|||||||||||||||||
|
Computer Storage & Peripherals — 0.2%
|
|||||||||||||||||
|
580,000
|
BBB/Baa3
|
Seagate Technology International, Inc., 10.0%, 5/1/14 (144A)
|
$
|
656,125
|
|||||||||||||
|
Total Technology Hardware & Equipment
|
$
|
656,125
|
|||||||||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0%
|
|||||||||||||||||
|
Semiconductors — 0.0%
|
|||||||||||||||||
|
CNY
|
1,000,000
|
NR/NR
|
LDK Solar Co., Ltd., 10.0%, 2/28/14
|
$
|
80,161
|
||||||||||||
|
Total Semiconductors & Semiconductor Equipment
|
$
|
80,161
|
|||||||||||||||
|
TELECOMMUNICATION SERVICES — 3.1%
|
|||||||||||||||||
|
Alternative Carriers — 1.0%
|
|||||||||||||||||
|
1,932,000
|
B+/NR
|
PAETEC Holding Corp., 9.5%, 7/15/15
|
$
|
2,023,770
|
|||||||||||||
|
1,000,000
|
BB-/NR
|
PAETEC Holding Corp., 8.875%, 6/30/17
|
1,080,000
|
||||||||||||||
|
600,000
|
NR/NR
|
PAETEC Holding Corp., 9.875%, 12/1/18
|
660,000
|
||||||||||||||
|
$
|
3,763,770
|
||||||||||||||||
|
Integrated Telecommunication Services — 2.1%
|
|||||||||||||||||
|
1,100,000
|
B/NR
|
Bakrie Telecom Tbk PT, 11.5%, 5/7/15 (144A)
|
$
|
682,000
|
|||||||||||||
|
4,295,000
|
CC/Caa1
|
Broadview Networks Holdings, Inc., 11.375%, 9/1/12
|
3,436,000
|
||||||||||||||
|
3,539,000
|
CCC+/B3
|
Cincinnati Bell, Inc., 8.75%, 3/15/18
|
3,286,846
|
||||||||||||||
|
$
|
7,404,846
|
||||||||||||||||
|
Total Telecommunication Services
|
$
|
11,168,616
|
|||||||||||||||
|
UTILITIES — 2.0%
|
|||||||||||||||||
|
Electric Utilities — 1.0%
|
|||||||||||||||||
|
310,000
|
NR/B2
|
Empresa Distribuidora Y Comercializadora Note SA, 9.75%, 10/25/22 (144A)
|
$
|
254,200
|
|||||||||||||
|
885,000
|
B-/Caa3
|
Energy Future Holdings Corp., 10.0%, 1/15/20
|
929,250
|
||||||||||||||
|
1,000,000
|
BB/Ba1
|
PNM Resources, Inc., 9.25%, 5/15/15
|
1,105,000
|
||||||||||||||
|
2,105,000
|
C/Caa3
|
Texas Competitive Electric Holdings LLC, 15.0%, 4/1/21
|
1,157,750
|
||||||||||||||
|
350,000
|
CC/B2
|
Texas Competitive Electric Holdings LLC, 11.5%, 10/1/20 (144A)
|
297,063
|
||||||||||||||
|
$
|
3,743,263
|
||||||||||||||||
|
Independent Power Producers & Energy Traders — 1.0%
|
|||||||||||||||||
|
1,800,000
|
BB-/Ba3
|
Intergen NV, 9.0%, 6/30/17 (144A)
|
$
|
1,894,500
|
|||||||||||||
|
1,500,000
|
NR/B2
|
Star Energy Geothermal (Wayang Windu), Ltd., 11.5%, 2/12/15 (144A)
|
1,612,562
|
||||||||||||||
|
$
|
3,507,062
|
||||||||||||||||
|
Total Utilities
|
$
|
7,250,325
|
|||||||||||||||
|
TOTAL CORPORATE BONDS & NOTES
(Cost $402,982,426)
|
$
|
391,001,773
|
|||||||||||||||
|
CONVERTIBLE BONDS & NOTES — 6.5% OF NET ASSETS
|
|||||||||||||||||
|
ENERGY — 1.4%
|
|||||||||||||||||
|
Coal & Consumable Fuels — 0.5%
|
|||||||||||||||||
|
1,905,000
|
BB-/NR
|
Massey Energy Co., 3.25%, 8/1/15
|
$
|
1,759,744
|
|||||||||||||
|
Oil & Gas Drilling — 0.6%
|
|||||||||||||||||
|
2,265,000
|
(d)
|
NR/NR
|
Hercules Offshore, Inc., 3.375%, 6/1/38
|
$
|
2,030,006
|
||||||||||||
|
Oil & Gas Exploration & Production — 0.3%
|
|||||||||||||||||
|
1,340,000
|
BB+/Ba3
|
Chesapeake Energy Corp., 2.5%, 5/15/37
|
$
|
1,194,275
|
|||||||||||||
|
Total Energy
|
$
|
4,984,025
|
|||||||||||||||
|
MATERIALS — 0.9%
|
|||||||||||||||||
|
Diversified Chemicals — 0.9%
|
|||||||||||||||||
|
4,000
|
(c)
|
B+/NR
|
Hercules, Inc., 6.5%, 6/30/29
|
$
|
3,192,500
|
||||||||||||
|
Total Materials
|
$
|
3,192,500
|
|||||||||||||||
|
TRANSPORTATION — 0.6%
|
|||||||||||||||||
|
Marine — 0.6%
|
|||||||||||||||||
|
1,915,090
|
NR/NR
|
Horizon Lines, Inc., Series A, 6.0%, 4/15/17
|
$
|
1,465,044
|
|||||||||||||
|
1,063,939
|
NR/NR
|
Horizon Lines, Inc., Series B, 6.0%, 4/15/17
|
766,036
|
||||||||||||||
|
Total Transportation
|
$
|
2,231,080
|
|||||||||||||||
|
MEDIA — 0.5%
|
|||||||||||||||||
|
Movies & Entertainment — 0.5%
|
|||||||||||||||||
|
1,832,000
|
B-/NR
|
Live Nation, Inc., 2.875%, 7/15/27
|
$
|
1,619,030
|
|||||||||||||
|
Total Media
|
$
|
1,619,030
|
|||||||||||||||
|
HEALTH CARE EQUIPMENT & SERVICES — 1.7%
|
|||||||||||||||||
|
Health Care Equipment & Services — 0.8%
|
|||||||||||||||||
|
2,837,000
|
(d)
|
BB+/NR
|
Hologic, Inc., 2.0%, 12/15/37
|
$
|
3,102,969
|
||||||||||||
|
Health Care Facilities — 0.8%
|
|||||||||||||||||
|
780,000
|
B/NR
|
LifePoint Hospitals, Inc., 3.5%, 5/15/14
|
$
|
797,550
|
|||||||||||||
|
1,985,000
|
B/B2
|
LifePoint Hospitals, Inc., 3.25%, 8/15/25
|
2,017,256
|
||||||||||||||
|
$
|
2,814,806
|
||||||||||||||||
|
Health Care Services — 0.1%
|
|||||||||||||||||
|
361,000
|
B+/B2
|
Omnicare, Inc., 3.25%, 12/15/35
|
$
|
331,217
|
|||||||||||||
|
Total Health Care Equipment & Services
|
$
|
6,248,992
|
|||||||||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.4%
|
|||||||||||||||||
|
Semiconductors — 0.4%
|
|||||||||||||||||
|
500,000
|
NR/NR
|
JA Solar Holdings Co., Ltd., 4.5%, 5/15/13
|
$
|
367,500
|
|||||||||||||
|
750,000
|
NR/NR
|
Renesola, Ltd., 4.125%, 3/15/18 (144A)
|
355,313
|
||||||||||||||
|
1,569,000
|
NR/NR
|
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13
|
655,057
|
||||||||||||||
|
Total Semiconductors & Semiconductor Equipment
|
$
|
1,377,870
|
|||||||||||||||
|
TELECOMMUNICATION SERVICES — 1.0%
|
|||||||||||||||||
|
Alternative Carriers — 1.0%
|
|||||||||||||||||
|
3,025,000
|
B/B2
|
Time Warner Telecom, Inc., 2.375%, 4/1/26
|
$
|
3,561,938
|
|||||||||||||
|
Total Telecommunication Services
|
$
|
3,561,938
|
|||||||||||||||
|
TOTAL CONVERTIBLE BONDS & NOTES
(Cost $18,498,074)
|
$
|
23,215,435
|
|||||||||||||||
|
MUNICIPAL BONDS — 4.7% OF NET ASSETS
|
|||||||||||||||||
|
Indiana — 0.4%
|
|||||||||||||||||
|
1,650,000
|
NR/Baa3
|
East Chicago Indiana Exempt Facilities Revenue, 7.0%, 1/1/14
|
$
|
1,612,446
|
|||||||||||||
|
New Jersey — 1.3%
|
|||||||||||||||||
|
4,525,000
|
B/B3
|
New Jersey Economic Development Authority Revenue, 7.0%, 11/15/30
|
$
|
4,524,547
|
|||||||||||||
|
New York — 1.0%
|
|||||||||||||||||
|
3,475,000
|
BB-/B1
|
New York City Industrial Development Agency, 7.625%, 12/1/32
|
$
|
3,437,123
|
|||||||||||||
|
North Carolina — 2.0%
|
|||||||||||||||||
|
6,300,000
|
NR/NR
|
Charlotte North Carolina Special Facilities Revenue, 5.6%, 7/1/27
|
$
|
5,489,757
|
|||||||||||||
|
1,670,000
|
NR/NR
|
Charlotte North Carolina Special Facilities Revenue, 7.75%, 2/1/28
|
1,672,204
|
||||||||||||||
|
$
|
7,161,961
|
||||||||||||||||
|
TOTAL MUNICIPAL BONDS
(Cost $12,735,602)
|
$
|
16,736,077
|
|||||||||||||||
|
MUNICIPAL COLLATERALIZED DEBT OBLIGATION — 0.6%
|
|||||||||||||||||
|
3,300,000
|
(a)(h)
|
NR/NR
|
Non-Profit Preferred Funding Trust I, 12.0%, 9/15/37 (144A)
|
$
|
2,265,450
|
||||||||||||
|
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
(Cost $3,293,400)
|
$
|
2,265,450
|
|||||||||||||||
|
SOVEREIGN DEBT OBLIGATIONS — 1.0% OF NET ASSETS
|
|||||||||||||||||
|
Argentina — 0.4%
|
|||||||||||||||||
|
1,200,000
|
B/B2
|
City of Buenos Aires, 12.5%, 4/6/15 (144A)
|
$
|
1,254,000
|
|||||||||||||
|
Russia — 0.6%
|
|||||||||||||||||
|
1,937,200
|
BBB/Baa1
|
Russia Government International Bond, 7.5%, 3/31/30
|
$
|
2,249,574
|
|||||||||||||
|
TOTAL SOVEREIGN DEBT OBLIGATIONS
(Cost $2,559,954)
|
$
|
3,503,574
|
|||||||||||||||
|
SENIOR FLOATING RATE LOAN INTERESTS — 6.6% OF NET ASSETS*
|
|||||||||||||||||
|
ENERGY — 0.2%
|
|||||||||||||||||
|
Coal & Consumable Fuels — 0.2%
|
|||||||||||||||||
|
750,000
|
NR/NR
|
PT Bumi Resources Tbk, Term Loan, 11.274%, 8/7/13
|
$
|
750,000
|
|||||||||||||
|
Total Energy
|
$
|
750,000
|
|||||||||||||||
|
MATERIALS — 0.2%
|
|||||||||||||||||
|
Diversified Chemicals — 0.2%
|
|||||||||||||||||
|
EUR
|
92,817
|
B/Ba3
|
Ineos Holdings, Ltd., Facility Term Loan B-1, 7.5%, 12/16/13
|
$
|
121,469
|
||||||||||||
|
EUR
|
102,027
|
B/Ba3
|
Ineos Holdings, Ltd., Facility Term Loan C-1, 8.0%, 12/16/14
|
133,523
|
|||||||||||||
|
216,917
|
B/Ba3
|
Ineos US Finance LLC, Senior Credit Facility Term Loan B-2, 7.5%, 12/16/13
|
222,068
|
||||||||||||||
|
213,665
|
B/Ba3
|
Ineos US Finance LLC, Senior Credit Facility Term Loan C-2, 8.0%, 12/16/14
|
218,740
|
||||||||||||||
|
Total Materials
|
$
|
695,800
|
|||||||||||||||
|
CAPITAL GOODS — 0.8%
|
|||||||||||||||||
|
Aerospace & Defense — 0.8%
|
|||||||||||||||||
|
3,103,024
|
BB-/B2
|
API Technologies Corp., Term Loan, 7.75%, 6/27/16
|
$
|
2,963,388
|
|||||||||||||
|
Total Capital Goods
|
$
|
2,963,388
|
|||||||||||||||
|
AUTOMOBILES & COMPONENTS — 0.5%
|
|||||||||||||||||
|
Auto Parts & Equipment — 0.5%
|
|||||||||||||||||
|
1,875,825
|
B+/NR
|
Metaldyne LLC, Term Loan, 5.25%, 5/18/17
|
$
|
1,857,067
|
|||||||||||||
|
Total Automobiles & Components
|
$
|
1,857,067
|
|||||||||||||||
|
RETAILING — 0.4%
|
|||||||||||||||||
|
Specialty Stores — 0.4%
|
|||||||||||||||||
|
1,492,500
|
B/B2
|
Targus Group International, Inc., Term Loan, 11.0%, 5/24/16
|
$
|
1,440,262
|
|||||||||||||
|
Total Retailing
|
$
|
1,440,262
|
|||||||||||||||
|
FOOD, BEVERAGE & TOBACCO — 0.4%
|
|||||||||||||||||
|
Packaged Foods & Meats — 0.4%
|
|||||||||||||||||
|
1,300,000
|
BB-/B2
|
Pierre Foods, Inc., Second Lien Term Loan, 11.25%, 9/29/17
|
$
|
1,291,875
|
|||||||||||||
|
Total Food, Beverage & Tobacco
|
$
|
1,291,875
|
|||||||||||||||
|
HEALTH CARE EQUIPMENT & SERVICES — 1.0%
|
|||||||||||||||||
|
Health Care Services — 0.6%
|
|||||||||||||||||
|
360,127
|
B+/B1
|
Aveta Inc., NAMM Term Loan, 8.5%, 4/14/15
|
$
|
357,426
|
|||||||||||||
|
781,731
|
B/B2
|
National Specialty Hospitals, Inc., Initial Term Loan, 8.25%, 2/3/17
|
730,919
|
||||||||||||||
|
1,007,417
|
NR/B1
|
Prime Healthcare Services, Inc., Term Loan B, 7.25%, 4/28/15
|
972,157
|
||||||||||||||
|
$
|
2,060,502
|
||||||||||||||||
|
Health Care Technology — 0.3%
|
|||||||||||||||||
|
1,330,000
|
B/B2
|
Medical Card System, Inc., Term Loan, 12.0%, 9/17/15
|
$
|
1,110,550
|
|||||||||||||
|
Managed Health Care — 0.1%
|
|||||||||||||||||
|
360,127
|
NR/B1
|
Aveta Inc., MMM Term Loan, 8.5%, 4/14/15
|
$
|
357,426
|
|||||||||||||
|
Total Health Care Equipment & Services
|
$
|
3,528,478
|
|||||||||||||||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.4%
|
|||||||||||||||||
|
Biotechnology — 0.4%
|
|||||||||||||||||
|
1,580,000
|
B/Caa1
|
Alkermes, Inc., Second Lien Term Loan, 9.5%, 7/6/18
|
$
|
1,564,200
|
|||||||||||||
|
Total Pharmaceuticals & Biotechnology & Life Sciences
|
$
|
1,564,200
|
|||||||||||||||
|
DIVERSIFIED FINANCIALS — 0.6%
|
|||||||||||||||||
|
Other Diversified Financial Services — 0.6%
|
|||||||||||||||||
|
443,368
|
B-/B2
|
BNY ConvergEX Group LLC, Second Lien (EZE) Term Loan, 8.75%, 12/18/17
|
$
|
436,717
|
|||||||||||||
|
1,056,633
|
B-/B2
|
BNY ConvergEX Group LLC, Second Lien (TOP) Term Loan, 8.75%, 12/18/17
|
1,040,783
|
||||||||||||||
|
389,294
|
NR/NR
|
Long Haul Holdings, Ltd. and PT Bakrie & Brothers Tbk, Tranche A Vallar Loan, 0.0%, 3/2/12
|
340,632
|
||||||||||||||
|
310,706
|
B/B2
|
Long Haul Holdings, Ltd. and PT Bakrie & Brothers Tbk, Tranche B Vallar Loan, 0.0%, 3/2/12
|
271,868
|
||||||||||||||
|
Total Diversified Financials
|
$
|
2,090,000
|
|||||||||||||||
|
INSURANCE — 0.7%
|
|||||||||||||||||
|
Multi-Line Insurance — 0.7%
|
|||||||||||||||||
|
370,522
|
B/B2
|
AmWINS Group, Inc., Initial Term Loan, 4.737%, 6/8/13
|
$
|
361,259
|
|||||||||||||
|
2,250,000
|
CCC+/B3
|
AmWINS Group, Inc., Second Lien Initial Term Loan, 6.07%, 6/9/14
|
2,131,875
|
||||||||||||||
|
Total Insurance
|
$
|
2,493,134
|
|||||||||||||||
|
SOFTWARE & SERVICES — 1.2%
|
|||||||||||||||||
|
Application Software — 1.2%
|
|||||||||||||||||
|
1,700,000
|
NR/NR
|
Applied Systems, Inc., Second Lien Term Loan, 9.25%, 6/8/17
|
$
|
1,648,470
|
|||||||||||||
|
2,500,000
|
CCC+/Caa1
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
|
2,431,250
|
||||||||||||||
|
Total Software & Services
|
$
|
4,079,720
|
|||||||||||||||
|
UTILITIES — 0.2%
|
|||||||||||||||||
|
Electric Utilities — 0.2%
|
|||||||||||||||||
|
1,316,443
|
CCC/B2
|
Texas Competitive Electric Holdings Co. LLC, 2017 Term Loan, 4.776%, 10/10/17
|
$
|
838,136
|
|||||||||||||
|
Total Utilities
|
$
|
838,136
|
|||||||||||||||
|
TOTAL SENIOR FLOATING RATE LOAN INTERESTS
(Cost $24,380,715)
|
$
|
23,592,060
|
|||||||||||||||
|
Shares
|
Value
|
||||||||||||||||
|
COMMON STOCKS — 2.4% OF NET ASSETS
|
|||||||||||||||||
|
ENERGY — 0.2%
|
|||||||||||||||||
|
Oil & Gas Drilling — 0.1%
|
|||||||||||||||||
|
13,045
|
(i)
|
Rowan Companies, Inc.
|
$
|
395,655
|
|||||||||||||
|
Oil & Gas Equipment & Services — 0.1%
|
|||||||||||||||||
|
45,097
|
(i)
|
Sevan Marine ASA
|
$
|
62,946
|
|||||||||||||
|
45,079
|
(i)
|
Sevan Marine ASA (New)
|
61,939
|
||||||||||||||
|
$
|
124,885
|
||||||||||||||||
|
Total Energy
|
$
|
520,540
|
|||||||||||||||
|
MATERIALS — 1.3%
|
|||||||||||||||||
|
Commodity Chemicals — 0.1%
|
|||||||||||||||||
|
26,430
|
(i)
|
Georgia Gulf Corp.
|
$
|
515,121
|
|||||||||||||
|
Diversified Chemicals — 0.9%
|
|||||||||||||||||
|
94,230
|
Lyondell Basell Industries NV, Class A
|
$
|
3,061,533
|
||||||||||||||
|
Diversified Metals & Mining — 0.3%
|
|||||||||||||||||
|
1,391,615
|
(f)(h)(i)
|
Blaze Recycling and Metals LLC Class A Units
|
$
|
918,466
|
|||||||||||||
|
3,402
|
Freeport-McMoRan Copper & Gold, Inc., Class B
|
125,159
|
|||||||||||||||
|
$
|
1,043,625
|
||||||||||||||||
|
Total Materials
|
$
|
4,620,279
|
|||||||||||||||
|
CAPITAL GOODS — 0.1%
|
|||||||||||||||||
|
Building Products — 0.1%
|
|||||||||||||||||
|
894
|
(f)(h)(i)
|
Panolam Holdings Co.
|
$
|
438,060
|
|||||||||||||
|
Total Capital Goods
|
$
|
438,060
|
|||||||||||||||
|
TRANSPORTATION — 0.3%
|
|||||||||||||||||
|
Airlines — 0.2%
|
|||||||||||||||||
|
97,564
|
(i)
|
Delta Air Lines, Inc.
|
$
|
789,293
|
|||||||||||||
|
Marine — 0.1%
|
|||||||||||||||||
|
21,278
|
Horizon Lines, Inc., Class A
|
$
|
92,559
|
||||||||||||||
|
Total Transportation
|
$
|
881,852
|
|||||||||||||||
|
AUTOMOBILES & COMPONENTS — 0.3%
|
|||||||||||||||||
|
Auto Parts & Equipment — 0.3%
|
|||||||||||||||||
|
29,909
|
Lear Corp.
|
$
|
1,190,378
|
||||||||||||||
|
Total Automobiles & Components
|
$
|
1,190,378
|
|||||||||||||||
|
PHARMACEUTICALS & BIOTECHNOLOGY & LIFE SCIENCES — 0.2%
|
|||||||||||||||||
|
Pharmaceuticals — 0.2%
|
|||||||||||||||||
|
17,818
|
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
|
$
|
719,134
|
||||||||||||||
|
Total Pharmaceuticals & Biotechnology & Life Sciences
|
$
|
719,134
|
|||||||||||||||
|
SOFTWARE & SERVICES — 0.0%
|
|||||||||||||||||
|
Systems Software — 0.0%
|
|||||||||||||||||
|
10,942
|
(f)(h)(i)
|
Perseus Holding Corp.
|
$
|
—
|
|||||||||||||
|
Total Software & Services
|
$
|
—
|
|||||||||||||||
|
TOTAL COMMON STOCKS
(Cost $7,425,951)
|
$
|
8,370,243
|
|||||||||||||||
|
CONVERTIBLE PREFERRED STOCK — 0.4%
|
|||||||||||||||||
|
DIVERSIFIED FINANCIALS — 0.4%
|
|||||||||||||||||
|
Other Diversified Financial Services — 0.4%
|
|||||||||||||||||
|
1,880
|
Bank of America Corp., 7.25%
|
$
|
1,481,478
|
||||||||||||||
|
Total Diversified Financials
|
$
|
1,481,478
|
|||||||||||||||
|
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $1,383,242)
|
$
|
1,481,478
|
|||||||||||||||
|
PREFERRED STOCKS — 0.7% OF NET ASSETS
|
|||||||||||||||||
|
DIVERSIFIED FINANCIALS — 0.6%
|
|||||||||||||||||
|
Other Diversified Financial Services — 0.6%
|
|||||||||||||||||
|
117,000
|
(c)
|
GMAC Capital Trust I, 8.125%
|
$
|
2,232,413
|
|||||||||||||
|
Total Diversified Financials
|
$
|
2,232,413
|
|||||||||||||||
|
SOFTWARE & SERVICES — 0.1%
|
|||||||||||||||||
|
Systems Software — 0.1%
|
|||||||||||||||||
|
5,745
|
(h)(i)
|
Perseus Holding Corp., 14.0%, 4/15/14 (144A)
|
$
|
198,203
|
|||||||||||||
|
Total Software & Services
|
$
|
198,203
|
|||||||||||||||
|
TOTAL PREFERRED STOCKS
(Cost $2,952,857)
|
$
|
2,430,616
|
|||||||||||||||
|
RIGHTS/WARRANTS — 0.0% OF NET ASSETS
|
|||||||||||||||||
|
ENERGY — 0.0%
|
|||||||||||||||||
|
Oil & Gas Equipment & Services — 0.0%
|
|||||||||||||||||
|
650
|
Green Field Energy Services, Expires 11/15/21 (144A)
|
$
|
29,250
|
||||||||||||||
|
Oil & Gas Exploration & Production — 0.0%
|
|||||||||||||||||
|
1,310,558
|
Norse Energy Corp. ASA, Expires 6/16/15
|
$
|
17,568
|
||||||||||||||
|
Total Energy
|
$
|
46,818
|
|||||||||||||||
|
TOTAL RIGHTS/WARRANTS
(Cost $23,773)
|
$
|
46,818
|
|||||||||||||||
|
TOTAL INVESTMENTS IN SECURITIES — 135.8%
(Cost $487,892,737)(j)(k)
|
$
|
483,606,101
|
|||||||||||||||
|
OTHER ASSETS AND LIABILITIES — 6.6%
|
$
|
23,603,622
|
|||||||||||||||
|
PREFERRED SHARES AT REDEMPTION VALUE, INCLUDING DIVIDENDS PAYABLE — (42.4)%
|
$
|
(151,001,097)
|
|||||||||||||||
|
NET ASSETS APPLICABLE TO COMMON SHAREOWNERS — 100.0%
|
$
|
356,208,626
|
|||||||||||||||
|
(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 December 31, 2011, the value of these securities amounted to $198,851,427 or 55.8% of total net assets applicable to common shareowners.
|
||||||||||||||||
|
NR
|
Security not rated by S&P or Moody's
|
||||||||||||||||
|
*
|
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 rate 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 December 31, 2011.
|
||||||||||||||||
|
(a)
|
Floating rate note. The ratio shown is the coupon rate at December 31, 2011.
|
||||||||||||||||
|
(b)
|
Security is in default and is non-income producing.
|
||||||||||||||||
|
(c)
|
Security is priced as a unit.
|
||||||||||||||||
|
(d)
|
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at December 31, 2011.
|
||||||||||||||||
|
(e)
|
Payment-in-Kind (PIK) security which may pay interest in the form of additional principal.
|
||||||||||||||||
|
(f)
|
Security is valued using fair value methods (other than prices supplied by independent pricing services).
|
||||||||||||||||
|
(g)
|
Security is perpetual in nature and has no stated maturity date.
|
||||||||||||||||
|
(h)
|
Indicates a security that has been deemed illiquid. The aggregate cost of illiquid securities is $10,336,073. The aggregate fair value of $7,845,808 represents 2.2% of the total net assets applicable to common shareowners.
|
||||||||||||||||
|
(i)
|
Non-income producing.
|
||||||||||||||||
|
(j)
|
At December 31, 2011, the net unrealized gain on investments based on cost for federal income tax purposes of $490,402,721 was as follows:
|
||||||||||||||||
|
Aggregate gross unrealized gain in which there is an excess of value over tax cost
|
$
|
35,594,261
|
|||||||||||||||
|
Aggregate gross unrealized loss in which there is an excess of tax cost over value
|
(42,390,881)
|
||||||||||||||||
|
Net unrealized gain
|
$
|
(6,796,620)
|
|||||||||||||||
|
(k)
|
Distributions of investments by country of issue, as a percentage of total investments in securities, is as follows:
|
||||||||||||||||
|
United States
|
78.4
|
%
|
|||||||||||||||
|
Canada
|
4.8
|
%
|
|||||||||||||||
|
Cayman Islands
|
2.8
|
%
|
|||||||||||||||
|
Netherlands
|
2.2
|
%
|
|||||||||||||||
|
United Kingdom
|
1.8
|
%
|
|||||||||||||||
|
Luxembourg
|
1.5
|
%
|
|||||||||||||||
|
Ireland
|
1.3
|
%
|
|||||||||||||||
|
Norway
|
1.2
|
%
|
|||||||||||||||
|
Bermuda
|
1.0
|
%
|
|||||||||||||||
|
Other (Individually less than 1%)
|
5.0
|
%
|
|||||||||||||||
|
100.0
|
%
|
||||||||||||||||
|
For financial reporting purposes net unrealized loss on investments was $(4,286,636) and cost of investments aggregated $487,892,737.
|
|||||||||||||||||
|
Purchases and sales of securities (excluding temporary cash investments) for the period ended December 31, 2011 aggregated $112,456,083 and $117,540,810, respectively.
|
|||||||||||||||||
|
Glossary of Terms:
|
|||||||||||||||||
|
(A.D.R.) American Depository Receipt
|
|||||||||||||||||
|
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
|||||||||||||||||
|
CNY
|
- Chinese Yuan
|
||||||||||||||||
|
EURO
|
- Euro
|
||||||||||||||||
|
GBP
|
- British Pound
|
||||||||||||||||
|
NOK
|
- Norwegian Krone
|
||||||||||||||||
|
Various inputs are used in determining the value of the Trust’s investments. These inputs are summarized in the three broad levels listed 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 risk, 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 are categorized as Level 3.
|
|||||||||||||||||
|
The following is a summary of the inputs used as of December 31, 2011, in valuing the Trust’s investments:
|
|||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
|
Asset backed securities
|
$
|
—
|
$
|
9,558,173
|
$
|
—
|
$
|
9,558,173
|
|||||||||
|
Collateralized mortgage obligations
|
—
|
1,404,404
|
—
|
1,404,404
|
|||||||||||||
|
Corporate bonds & notes (environmental & facilities services)
|
—
|
1,135,655
|
133,492
|
1,269,147
|
|||||||||||||
|
Corporate bonds & notes (other industries)
|
—
|
389,732,626
|
—
|
389,732,626
|
|||||||||||||
|
Convertible bonds & notes
|
—
|
23,215,435
|
—
|
23,215,435
|
|||||||||||||
|
Municipal bonds
|
—
|
16,736,077
|
—
|
16,736,077
|
|||||||||||||
|
Municipal collateralized debt obligation
|
—
|
2,265,450
|
—
|
2,265,450
|
|||||||||||||
|
Sovereign debt obligations
|
—
|
3,503,574
|
—
|
3,503,574
|
|||||||||||||
|
Floating rate loan interests
|
—
|
23,592,060
|
—
|
23,592,060
|
|||||||||||||
|
Common stocks (diversified metals & mining)
|
125,159
|
—
|
918,466
|
1,043,625
|
|||||||||||||
|
Common stocks (building products)
|
—
|
—
|
438,060
|
438,060
|
|||||||||||||
|
Common stocks (other industries)
|
6,888,558
|
—
|
—
|
6,888,558
|
|||||||||||||
|
Convertible preferred stock
|
1,481,478
|
—
|
—
|
1,481,478
|
|||||||||||||
|
Preferred stock
|
—
|
2,430,616
|
—
|
2,430,616
|
|||||||||||||
|
Rights/Warrants
|
46,818
|
—
|
—
|
46,818
|
|||||||||||||
|
Total
|
$
|
8,542,013
|
$
|
473,574,070
|
$
|
1,490,018
|
$
|
483,606,101
|
|||||||||
|
Other Financial Instruments*
|
$
|
—
|
$
|
126,673
|
$
|
—
|
$
|
126,673
|
|||||||||
|
*Other financial instruments include foreign exchange contracts and net unrealized loss on unfunded loan commitments.
|
|||||||||||||||||
|
The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
|
|||||||||||||||||
|
Balance as
|
Realized
|
Change in
|
Net
|
Transfer in
|
Balance as
|
||||||||||||
|
of 3/31/11
|
gain (loss)
|
unrealized
|
purchase
|
and out of
|
of 12/31/11
|
||||||||||||
|
appreciation
|
(sales)
|
Level 3*
|
|||||||||||||||
|
(depreciation)
|
|||||||||||||||||
|
Corporate bonds & notes (environmental & facilities services)
|
$
|
133,492
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
133,492
|
|||||
|
Common stocks (diversified metals & mining)
|
960,214
|
—
|
(41,748)
|
—
|
—
|
918,466
|
|||||||||||
|
Common stocks (steel)
|
183,244
|
247,462
|
20,184
|
(450,890)
|
—
|
—
|
|||||||||||
|
Common stocks (building products)
|
438,060
|
—
|
—
|
—
|
—
|
438,060
|
|||||||||||
|
Ending balance
|
$
|
1,715,010
|
$
|
247,462
|
$
|
(21,564)
|
$
|
(450,890)
|
$
|
—
|
$
|
1,490,018
|
|||||
|
* Transfers are calculated beginning of period.
|
|||||||||||||||||
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. (a) 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)). 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/ John F. Cogan, Jr. John F. Cogan, Jr, President Date February 29, 2012 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/ John F. Cogan, Jr. John F. Cogan, Jr., President Date February 29, 2012 By (Signature and Title)* /s/ Mark Bradley Mark Bradley, Treasurer Date February 29, 2012 * Print the name and title of each signing officer under his or her signature.