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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: June 30, 2012
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
Rating
|
Value
|
|||
|
ASSET BACKED SECURITIES - 1.2% of Net Assets
|
|||||
|
BANKS - 0.6%
|
|||||
|
Thrifts & Mortgage Finance - 0.6%
|
|||||
|
531,442(a)
|
AA+/Baa3
|
ACE Securities Corp., Series 2004-HE4, Class M1, 1.145%, 12/25/34
|
$ 405,618
|
||
|
221,181(a)
|
CCC/Caa3
|
Amortizing Residential Collateral Trust, Series 2002-BC1, Class M1, 1.52%, 1/25/32
|
97,322
|
||
|
280,000(a)
|
CCC/B2
|
Bear Stearns Asset Backed Securities Trust, Series 2007-2, Class A3, 0.695%, 1/25/47
|
100,617
|
||
|
125,000
|
BB/NR
|
CarNow Auto Receivables Trust, Series 2012-1A, Class D, 6.9%, 11/15/16 (144A)
|
124,996
|
||
|
434,340(a)
|
CCC/Caa1
|
Citigroup Mortgage Loan Trust, Inc., Series 2007-AHL3, Class A3A, 0.305%, 7/25/45
|
282,508
|
||
|
152,037(a)
|
AAA/Caa2
|
FBR Securitization Trust, Series 2005-4, Class AV24, 0.945%, 10/25/35
|
83,071
|
||
|
815,479(a)
|
CCC/B2
|
Home Equity Asset Trust, Series 2006-8, Class 2A2, 0.355%, 3/25/37
|
752,279
|
||
|
250,000(b)
|
CCC/B3
|
Security National Mortgage Loan Trust, Series 2007-1A, Class 1A3, 6.55%, 4/25/37 (144A)
|
220,066
|
||
|
Total Banks
|
$ 2,066,477
|
||||
|
TRANSPORTATION - 0.6%
|
|||||
|
Airlines - 0.6%
|
|||||
|
1,571,466(a)
|
B-/Caa1
|
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.722%, 5/15/24 (144A)
|
$ 722,874
|
||
|
6,920(a)
|
B-/Ba3
|
Aircraft Finance Trust, Series 1999-1A, Class A2, 0.742%, 5/15/24 (144A)
|
6,436
|
||
|
840,218(a)
|
B-/Caa2
|
Aviation Capital Group Trust, Series 2000-1A, Class A1, 0.722%, 11/15/25 (144A)
|
403,304
|
||
|
1,803,706(a)
|
CCC+/Caa2
|
Lease Investment Flight Trust, Series 1, Class A1, 0.632%, 7/15/31
|
1,167,900
|
||
|
Total Transportation
|
$ 2,300,514
|
||||
|
TOTAL ASSET BACKED SECURITIES
|
|||||
|
(Cost $4,239,180)
|
$ 4,366,991
|
||||
|
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.5% of Net Assets
|
|||||
|
BANKS - 0.4%
|
|||||
|
Thrifts & Mortgage Finance - 0.4%
|
|||||
|
1,504,000(a)
|
CCC/Caa2
|
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A2, 0.445%, 2/25/37
|
$ 894,803
|
||
|
80,924(a)
|
CCC/B1
|
JPMorgan Mortgage Trust, Series 2005-A8, Class 2A1, 2.563%, 11/25/35
|
80,204
|
||
|
336,631(a)
|
CCC/NR
|
WaMu Mortgage Pass Through Certificates, Series 2006-AR16, Class 3A1, 5.065%, 12/25/36
|
268,699
|
||
|
Total Banks
|
$ 1,243,706
|
||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
DIVERSIFIED FINANCIALS - 0.1%
|
|||||
|
Investment Banking & Brokerage - 0.1%
|
|||||
|
500,000(b)
|
BBB-/NR
|
Bear Stearns Commercial Mortgage Securities, Series 2001-TOP2, Class D, 6.94%, 2/15/35 (144A)
|
$ 494,738
|
||
|
Total Diversified Financials
|
$ 494,738
|
||||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|||||
|
(Cost $2,139,941)
|
$ 1,738,444
|
||||
|
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 6.7% of Net Assets *
|
|||||
|
AUTOMOBILES & COMPONENTS - 0.5%
|
|||||
|
Auto Parts & Equipment - 0.5%
|
|||||
|
1,866,375
|
B+/B1
|
Metaldyne LLC, Term Loan, 5.25%, 5/18/17
|
$ 1,852,377
|
||
|
Total Automobiles & Components
|
$ 1,852,377
|
||||
|
CAPITAL GOODS - 0.8%
|
|||||
|
Aerospace & Defense - 0.8%
|
|||||
|
3,088,099
|
B+/B3
|
API Technologies Corp., Term Loan, 8.75%, 6/27/16
|
$ 3,088,099
|
||
|
Total Capital Goods
|
$ 3,088,099
|
||||
|
DIVERSIFIED FINANCIALS - 0.4%
|
|||||
|
Other Diversified Financial Services - 0.4%
|
|||||
|
443,368
|
B-/B2
|
BNY ConvergEX Group LLC, Second Lien (EZE) Term Loan, 8.75%, 12/18/17
|
$ 418,982
|
||
|
1,056,633
|
B-/B2
|
BNY ConvergEX Group LLC, Second Lien (TOP) Term Loan, 8.75%, 12/18/17
|
998,518
|
||
|
126,444
|
NR/NR
|
Long Haul Holdings, Ltd., Facility Term Loan A, 0.0%, 1/12/13
|
111,270
|
||
|
100,918
|
NR/NR
|
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/12/13
|
88,808
|
||
|
Total Diversified Financials
|
$ 1,617,578
|
||||
|
ENERGY - 0.8%
|
|||||
|
Coal & Consumable Fuels - 0.2%
|
|||||
|
750,000
|
NR/NR
|
PT Bumi Resources Tbk, Term Loan, 11.241%, 8/7/13
|
$ 750,000
|
||
|
Oil & Gas Equipment & Services - 0.2%
|
|||||
|
670,072
|
NR/NR
|
Aquilex Holdings LLC, Term Loan, 8.75%, 4/1/16
|
$ 666,721
|
||
|
Oil & Gas Exploration & Production - 0.4%
|
|||||
|
1,540,000
|
BB-/NR
|
Chesapeake Energy Corp., Term Loan, 8.5%, 12/2/17
|
$ 1,528,450
|
||
|
Total Energy
|
$ 2,945,171
|
||||
|
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
|
$ 1,305,688
|
||
|
Total Food, Beverage & Tobacco
|
$ 1,305,688
|
||||
|
HEALTH CARE EQUIPMENT & SERVICES - 0.5%
|
|||||
|
Health Care Services - 0.2%
|
|||||
|
777,828
|
B/B2
|
National Specialty Hospitals, Inc., Initial Term Loan, 8.25%, 2/3/17
|
$ 758,382
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Health Care Technology - 0.3%
|
|||||
|
1,295,000
|
CCC/Caa3
|
Medical Card System, Inc., Term Loan, 12.0%, 9/17/15
|
$ 1,068,375
|
||
|
Total Health Care Equipment & Services
|
$ 1,826,757
|
||||
|
INSURANCE - 1.1%
|
|||||
|
Insurance Brokers - 1.1%
|
|||||
|
4,175,000
|
CCC+/B3
|
AmWINS Group, Inc., Second Lien, Term Loan, 8.0%, 12/6/19
|
$ 4,122,813
|
||
|
Total Insurance
|
$ 4,122,813
|
||||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.5%
|
|||||
|
Biotechnology - 0.5%
|
|||||
|
1,580,000
|
B/Caa1
|
Alkermes, Inc., Second Lien Term Loan, 9.5%, 9/16/18
|
$ 1,619,500
|
||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 1,619,500
|
||||
|
RETAILING - 0.4%
|
|||||
|
Computer & Electronics Retail - 0.4%
|
|||||
|
1,485,000
|
B/B2
|
Targus Group International, Inc., Term Loan, 11.0%, 5/24/16
|
$ 1,481,287
|
||
|
Total Retailing
|
$ 1,481,287
|
||||
|
SOFTWARE & SERVICES - 1.1%
|
|||||
|
Application Software - 1.1%
|
|||||
|
1,700,000
|
B+/B1
|
Applied Systems, Inc., Second Lien Term Loan, 9.25%, 6/8/17
|
$ 1,700,000
|
||
|
2,500,000
|
CCC+/Caa1
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
|
2,487,500
|
||
|
Total Software & Services
|
$ 4,187,500
|
||||
|
UTILITIES - 0.2%
|
|||||
|
Electric Utilities - 0.2%
|
|||||
|
1,316,443
|
CCC/B2
|
Texas Competitive Electric Holdings Co. LLC, 2017 Term Loan, 4.741%, 10/10/17
|
$ 789,740
|
||
|
Total Utilities
|
$ 789,740
|
||||
|
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||
|
(Cost $25,173,917)
|
$ 24,836,510
|
||||
|
CORPORATE BONDS & NOTES - 110.1% of Net Assets
|
|||||
|
AUTOMOBILES & COMPONENTS - 4.3%
|
|||||
|
Auto Parts & Equipment - 2.5%
|
|||||
|
1,140,000
|
B/Caa1
|
International Automotive Components Group S.A., 9.125%, 6/1/18 (144A)
|
$ 1,040,250
|
||
|
4,535,000(c)
|
NR/NR
|
Lear Corp., 0.0%,
|
–
|
||
|
4,760,000
|
CCC/Caa1
|
Stanadyne Holdings, Inc., 10.0%, 8/15/14
|
4,159,050
|
||
|
1,500,000(d)
|
CCC-/Caa3
|
Stanadyne Holdings, Inc., 12.0%, 2/15/15
|
1,059,375
|
||
|
855,000
|
B+/B1
|
Tomkins LLC/Tomkins, Inc., 9.0%, 10/1/18
|
951,188
|
||
|
1,879,000
|
B+/B1
|
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc., 10.625%, 9/1/17 (144A)
|
1,991,740
|
||
|
$ 9,201,603
|
|||||
|
Automobile Manufacturers - 1.8%
|
|||||
|
6,000,000
|
B/B2
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.0%, 6/15/19
|
$ 6,165,000
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Automobile Manufacturers (continued)
|
|||||
|
500,000
|
B/B2
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21
|
513,750
|
||
|
$ 6,678,750
|
|||||
|
Total Automobiles & Components
|
$ 15,880,353
|
||||
|
BANKS - 1.1%
|
|||||
|
Diversified Banks - 0.3%
|
|||||
|
1,265,000(b)(e)
|
BB+/B1
|
ABN Amro North American Holding Preferred Capital Repackage Trust I, 6.523%, (144A)
|
$ 1,117,944
|
||
|
Regional Banks - 0.8%
|
|||||
|
1,225,000(b)(e)
|
BBB/Baa3
|
PNC Financial Services Group, Inc., 8.25%,
|
$ 1,265,387
|
||
|
1,790,000(b)(e)
|
BBB+/Baa1
|
State Street Capital Trust III, 5.458%,
|
1,794,976
|
||
|
$ 3,060,363
|
|||||
|
Total Banks
|
$ 4,178,307
|
||||
|
CAPITAL GOODS - 9.2%
|
|||||
|
Aerospace & Defense - 2.4%
|
|||||
|
3,300,000
|
B/B3
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$ 3,366,000
|
||
|
1,465,000
|
BB/Ba2
|
BE Aerospace, Inc., 8.5%, 7/1/18
|
1,602,344
|
||
|
4,139,000
|
B-/B2
|
DynCorp International, Inc., 10.375%, 7/1/17
|
3,538,845
|
||
|
295,000
|
B/B1
|
GeoEye, Inc., 9.625%, 10/1/15
|
309,012
|
||
|
$ 8,816,201
|
|||||
|
Building Products - 0.8%
|
|||||
|
2,212,130
|
NR/NR
|
Industrias Unidas SA de C.V., 11.5%, 11/15/16
|
$ 1,592,734
|
||
|
2,375,000
|
CCC- /Caa3
|
New Enterprise Stone & Lime Co., Inc., 11.0%, 9/1/18
|
1,502,187
|
||
|
$ 3,094,921
|
|||||
|
Construction & Engineering - 0.4%
|
|||||
|
1,500,000
|
B+/Ba3
|
Abengoa Finance SAU, 8.875%, 11/1/17 (144A)
|
$ 1,327,500
|
||
|
Construction & Farm Machinery & Heavy Trucks - 0.4%
|
|||||
|
570,000
|
B+/Caa1
|
American Railcar Industries, Inc., 7.5%, 3/1/14
|
$ 577,125
|
||
|
774,000
|
B+/B3
|
Manitowoc Co., Inc., 9.5%, 2/15/18
|
847,530
|
||
|
$ 1,424,655
|
|||||
|
Electrical Components & Equipment - 0.5%
|
|||||
|
2,000,000
|
B/B3
|
WireCo WorldGroup, Inc., 9.5%, 5/15/17
|
$ 2,020,000
|
||
|
Industrial Conglomerates - 0.2%
|
|||||
|
605,000
|
B/B2
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
$ 605,000
|
||
|
Industrial Machinery - 3.1%
|
|||||
|
3,180,000(f)
|
NR/WR
|
Indalex Holding Corp., 11.5%, 2/1/14
|
$ 15,900
|
||
|
1,080,000
|
B/Caa2
|
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
|
993,600
|
||
|
5,170,000
|
CCC+/Caa2
|
Mueller Water Products, Inc., 7.375%, 6/1/17
|
5,170,000
|
||
|
2,440,000
|
B+/NR
|
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A)
|
1,927,600
|
||
|
4,500,000
|
B/B3
|
Xerium Technologies, Inc., 8.875%, 6/15/18
|
3,543,750
|
||
|
$ 11,650,850
|
|||||
|
Trading Companies & Distributors - 1.4%
|
|||||
|
1,790,000
|
B-/B3
|
INCOMEX, Inc., 13.25%, 12/15/14
|
$ 1,790,000
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Trading Companies & Distributors (continued)
|
|||||
|
3,370,000
|
B/B1
|
WESCo Distribution, Inc., 7.5%, 10/15/17
|
3,445,825
|
||
|
$ 5,235,825
|
|||||
|
Total Capital Goods
|
$ 34,174,952
|
||||
|
COMMERCIAL & PROFESSIONAL SERVICES - 0.3%
|
|||||
|
Environmental & Facilities Services - 0.3%
|
|||||
|
892,000
|
CCC+/B3
|
Brickman Group Holdings, Inc., 9.125%, 11/1/18 (144A)
|
$ 869,700
|
||
|
315,000
|
BB-/B3
|
Casella Waste Systems, Inc., 11.0%, 7/15/14
|
333,506
|
||
|
Total Commercial & Professional Services
|
$ 1,203,206
|
||||
|
CONSUMER DURABLES & APPAREL - 4.9%
|
|||||
|
Homebuilding - 1.0%
|
|||||
|
3,115,000
|
CCC/Caa3
|
Beazer Homes USA, Inc., 9.125%, 6/15/18
|
$ 2,748,988
|
||
|
750,000
|
CCC/Caa3
|
Beazer Homes USA, Inc., 9.125%, 5/15/19
|
654,375
|
||
|
400,000
|
NR/Ba3
|
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A)
|
422,000
|
||
|
$ 3,825,363
|
|||||
|
Housewares & Specialties - 2.8%
|
|||||
|
1,435,000
|
B/B2
|
Jarden Corp., 7.5%, 5/1/17
|
$ 1,607,200
|
||
|
3,000,000
|
B-/Caa1
|
Reynolds Group Holdings, Ltd., 9.0%, 4/15/19 (144A)
|
2,992,500
|
||
|
1,430,000
|
B-/Caa1
|
Reynolds Group Holdings, Ltd., 9.875%, 8/15/19 (144A)
|
1,483,625
|
||
|
107,000
|
CCC+/B3
|
Yankee Candle Co., Inc., 8.5%, 2/15/15
|
109,140
|
||
|
2,500,000
|
CCC+/B3
|
Yankee Candle Co., Inc., 9.75%, 2/15/17
|
2,593,750
|
||
|
1,425,000(g)
|
CCC+/Caa1
|
YCC Holdings LLC/Yankee Finance, Inc., 10.25%, 2/15/16
|
1,449,937
|
||
|
$ 10,236,152
|
|||||
|
Leisure Products - 1.1%
|
|||||
|
EUR
|
800,000
|
CCC/Caa2
|
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
|
$ 739,198
|
|
|
4,000,000
|
B /B2
|
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)
|
3,490,000
|
||
|
$ 4,229,198
|
|||||
|
Total Consumer Durables & Apparel
|
$ 18,290,713
|
||||
|
CONSUMER SERVICES - 5.1%
|
|||||
|
Business Services - 0.7%
|
|||||
|
1,750,000
|
B/B1
|
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A)
|
$ 1,697,500
|
||
|
1,100,000
|
B-/Caa2
|
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18
|
783,750
|
||
|
$ 2,481,250
|
|||||
|
Casinos & Gaming - 1.1%
|
|||||
|
1,650,000(f)
|
NR/WR
|
Buffalo Thunder Development Authority, 9.375%, 12/15/14 (144A)
|
$ 585,750
|
||
|
2,255,000
|
B/B3
|
Codere Finance Luxembourg S.A., 9.25%, 2/15/19 (144A)
|
1,589,775
|
||
|
1,475,000
|
NR/NR
|
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A)
|
1,342,250
|
||
|
1,375,000(f)(h)
|
NR/WR
|
Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (144A)
|
110,000
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Casinos & Gaming (continued)
|
|||||
|
740,000
|
CCC/Caa2
|
Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (144A)
|
566,100
|
||
|
$ 4,193,875
|
|||||
|
Education Services - 0.1%
|
|||||
|
555,000
|
CCC+/B2
|
Cambium Learning Group, Inc., 9.75%, 2/15/17
|
$ 507,825
|
||
|
Hotels, Resorts & Cruise Lines - 0.4%
|
|||||
|
1,500,000
|
B-/B2
|
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19
|
$ 1,548,750
|
||
|
Restaurants - 1.9%
|
|||||
|
4,055,000(d)
|
CCC+/Caa1
|
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A)
|
$ 3,188,244
|
||
|
1,400,000
|
B-/B3
|
Burger King Corp., 9.875%, 10/15/18
|
1,594,250
|
||
|
2,000,000
|
NR/Caa1
|
Wok Acquisition Corp., 10.25%, 6/30/20 (144A)
|
2,060,000
|
||
|
$ 6,842,494
|
|||||
|
Specialized Consumer Services - 0.9%
|
|||||
|
500,000
|
B/B2
|
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 9.625%, 3/15/18
|
$ 547,500
|
||
|
3,000,000
|
B-/B3
|
StoneMor Operating LLC, 10.25%, 12/1/17
|
2,932,500
|
||
|
$ 3,480,000
|
|||||
|
Total Consumer Services
|
$ 19,054,194
|
||||
|
DIVERSIFIED FINANCIALS - 1.8%
|
|||||
|
Asset Management & Custody Banks - 0.3%
|
|||||
|
975,000
|
BBB-/Baa3
|
Janus Capital Group, Inc., 6.7%, 6/15/17
|
$ 1,045,856
|
||
|
Investment Banking & Brokerage - 0.4%
|
|||||
|
2,325,000(b)
|
BB+/Ba2
|
Goldman Sachs Capital II, 4.0%, 6/1/43
|
$ 1,574,071
|
||
|
Multi-Sector Holdings - 0.6%
|
|||||
|
2,200,000
|
B/B2
|
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A)
|
$ 2,222,000
|
||
|
Other Diversified Financial Services - 0.1%
|
|||||
|
250,000(a)
|
BB/NR
|
East Lane Re V Ltd., 9.081%, 3/16/16 (144A)
|
$ 259,625
|
||
|
Specialized Finance - 0.4%
|
|||||
|
500,000
|
BB+/Baa3
|
Capital One Capital V, 10.25%, 8/15/39
|
$ 510,000
|
||
|
450,000(a)
|
BB+/NR
|
Kibou, Ltd., 5.331%, 2/16/15 (144A)
|
454,635
|
||
|
695,000
|
B+/B2
|
National Money Mart Co., 10.375%, 12/15/16
|
766,238
|
||
|
$ 1,730,873
|
|||||
|
Total Diversified Financials
|
$ 6,832,425
|
||||
|
ENERGY - 14.6%
|
|||||
|
Coal & Consumable Fuels - 2.5%
|
|||||
|
350,000
|
B-/B3
|
Arch Coal, Inc., 7.0%, 6/15/19
|
$ 295,750
|
||
|
1,350,000
|
BB/Ba3
|
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
|
1,407,375
|
||
|
3,890,000
|
B/Caa1
|
Foresight Energy LLC/ Foresight Energy Corp., 9.625%, 8/15/17 (144A)
|
3,894,863
|
||
|
2,125,000
|
B-/B2
|
James River Coal Co., 7.875%, 4/1/19
|
1,073,125
|
||
|
1,166,000
|
B/B3
|
Murray Energy Corp., 10.25%, 10/15/15 (144A)
|
1,023,165
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Coal & Consumable Fuels (continued)
|
|||||
|
1,550,000
|
B/B2
|
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.375%, 6/1/20 (144A)
|
1,573,250
|
||
|
$ 9,267,528
|
|||||
|
Integrated Oil & Gas - 0.8%
|
|||||
|
2,740,000
|
BB-/B1
|
Northern Tier Energy LLC/Northern Tier Finance Corp., 10.5%, 12/1/17
|
$ 2,931,800
|
||
|
Oil & Gas Drilling - 1.9%
|
|||||
|
2,000,000
|
NR/NR
|
Deep Drilling 1 Pte, Ltd., 12.0%, 12/21/15
|
$ 1,840,409
|
||
|
500,000
|
B-/Caa1
|
Hercules Offshore, Inc., 10.5%, 10/15/17 (144A)
|
500,000
|
||
|
1,700,000
|
CCC+/Caa2
|
Ocean Rig UDW, Inc., 9.5%, 4/27/16
|
1,640,500
|
||
|
1,085,000
|
B-/B3
|
Offshore Group Investments, Ltd., 11.5%, 8/1/15
|
1,177,225
|
||
|
1,900,000
|
B+/NR
|
Pioneer Drilling Co., 9.875%, 3/15/18
|
1,995,000
|
||
|
$ 7,153,134
|
|||||
|
Oil & Gas Equipment & Services - 2.4%
|
|||||
|
4,073,000
|
B+/B1
|
American Petroleum Tankers Parent LLC/AP Tankers Co., 10.25%, 5/1/15
|
$ 4,246,102
|
||
|
408,000(i)
|
NR/NR
|
DP Producer AS, 0.0%, 12/5/11
|
8,160
|
||
|
1,847,000
|
B/B3
|
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A)
|
1,768,502
|
||
|
1,260,000
|
B/Caa1
|
Forbes Energy Services, Ltd., 9.0%, 6/15/19
|
1,190,700
|
||
|
650,000(j)
|
CCC/Caa2
|
Green Field Energy Services, Inc., 13.0%, 11/15/16 (144A)
|
559,000
|
||
|
238,581(f)
|
NR/NR
|
Nexus 1 Pte., Ltd., 10.5%, 4/9/12 (144A)
|
239
|
||
|
NOK
|
3,000,000(a)
|
NR/NR
|
Transocean Drilling Norway AS, 9.34%, 2/24/16
|
531,433
|
|
|
NOK
|
3,500,000
|
NR/NR
|
Transocean Norway Drilling AS, 11.0%, 2/24/16
|
622,943
|
|
|
$ 8,927,079
|
|||||
|
Oil & Gas Exploration & Production - 4.6%
|
|||||
|
775,000
|
B+/B1
|
Berry Petroleum Co., 10.25%, 6/1/14
|
$ 868,000
|
||
|
500,000
|
B-/B3
|
Comstock Resources, Inc., 7.75%, 4/1/19
|
460,000
|
||
|
1,830,000
|
B-/B3
|
Comstock Resources, Inc., 9.5%, 6/15/20
|
1,802,550
|
||
|
390,000
|
BB/B1
|
Denbury Resources, Inc., 9.75%, 3/1/16
|
428,512
|
||
|
1,475,000
|
NR/NR
|
Halcon Resources Corp., 9.75%, 7/15/20
|
1,455,029
|
||
|
678,000
|
B /B2
|
Linn Energy LLC/Linn Energy Finance Corp., 11.75%, 5/15/17
|
759,360
|
||
|
2,400,000
|
B+/NR
|
MIE Holdings Corp., 9.75%, 5/12/16 (144A)
|
2,322,000
|
||
|
NOK
|
2,000,000
|
NR/NR
|
Norwegian Energy Co., AS, 10.25%, 4/27/16
|
325,868
|
|
|
NOK
|
5,000,000
|
NR/NR
|
Norwegian Energy Co., AS, 12.9%, 11/20/14
|
799,088
|
|
|
3,380,000
|
CCC/B3
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
2,602,600
|
||
|
2,200,000
|
B-/B3
|
Resolute Energy Corp., 8.5%, 5/1/20 (144A)
|
2,183,500
|
||
|
1,497,000
|
BB-/Caa1
|
Rosetta Resources, Inc., 9.5%, 4/15/18
|
1,631,730
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Oil & Gas Exploration & Production (continued)
|
|||||
|
1,500,000
|
B/B1
|
Samson Investment Co., 9.75%, 2/15/20 (144A)
|
1,492,500
|
||
|
$ 17,130,737
|
|||||
|
Oil & Gas Refining & Marketing - 1.0%
|
|||||
|
1,000,000
|
B+/B1
|
Coffeyville Resources LLC, 10.875%, 4/1/17 (144A)
|
$ 1,115,000
|
||
|
2,215,000
|
BB+/Ba1
|
Tesoro Corp., 9.75%, 6/1/19
|
2,502,950
|
||
|
$ 3,617,950
|
|||||
|
Oil & Gas Storage & Transportation - 1.4%
|
|||||
|
350,000(b)
|
BB+/Baa3
|
Enterprise Products Operating LLC, 8.375%, 8/1/66
|
$ 379,313
|
||
|
3,450,000
|
B/B2
|
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20 (144A)
|
3,575,062
|
||
|
1,524,000(b)
|
BB/Ba1
|
Southern Union Co., 3.483%, 11/1/66
|
1,240,155
|
||
|
$ 5,194,530
|
|||||
|
Total Energy
|
$ 54,222,758
|
||||
|
FOOD, BEVERAGE & TOBACCO - 4.4%
|
|||||
|
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 - 1.9%
|
|||||
|
775,000
|
BB/B1
|
Bertin S.A. / Bertin Finance Ltd., 10.25%, 10/5/16 (144A)
|
$ 780,038
|
||
|
1,500,000
|
B /B3
|
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
|
1,320,000
|
||
|
500,000
|
B+/B1
|
Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A)
|
443,000
|
||
|
400,000
|
B+/B2
|
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
|
416,000
|
||
|
4,000,000
|
B-/Caa1
|
Pilgrim's Pride Corp., 7.875%, 12/15/18
|
4,055,000
|
||
|
$ 7,014,038
|
|||||
|
Tobacco - 0.9%
|
|||||
|
3,450,000
|
B/B3
|
Alliance One International, Inc., 10.0%, 7/15/16
|
$ 3,458,625
|
||
|
Total Food, Beverage & Tobacco
|
$ 16,375,763
|
||||
|
HEALTH CARE EQUIPMENT & SERVICES - 8.9%
|
|||||
|
Health Care Equipment & Services - 1.8%
|
|||||
|
3,000,000
|
CCC+/Caa2
|
Accellent, Inc., 10.0%, 11/1/17
|
$ 2,520,000
|
||
|
4,000,000
|
B+/B2
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
4,260,000
|
||
|
$ 6,780,000
|
|||||
|
Health Care Facilities - 1.2%
|
|||||
|
535,000
|
B-/B3
|
HCA, Inc., 6.25%, 2/15/13
|
$ 547,038
|
||
|
84,000
|
BB/B2
|
HCA, Inc., 9.875%, 2/15/17
|
91,140
|
||
|
3,475,000
|
B-/B3
|
Kindred Healthcare, Inc., 8.25%, 6/1/19
|
3,223,062
|
||
|
600,000
|
CCC+/(P)Caa1
|
United Surgical Partners International, Inc., 9.0%, 4/1/20 (144A)
|
636,000
|
||
|
62,000(k)
|
CCC+/Caa1
|
Vanguard Health Systems, Inc., 0.0%, 2/1/16
|
41,230
|
||
|
$ 4,538,470
|
|||||
|
Health Care Services - 3.2%
|
|||||
|
1,987,000
|
B-/Caa1
|
BioScrip, Inc., 10.25%, 10/1/15
|
$ 2,155,895
|
||
|
2,527,000
|
CCC/Caa2
|
Gentiva Health Services, Inc., 11.5%, 9/1/18
|
2,198,490
|
||
|
–
|
3,925,000
|
CCC+/Caa1
|
Rural / Metro Corp., 10.125%, 7/15/19 (144A)
|
3,799,750
|
|
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Health Care Services (continued)
|
|||||
|
3,725,000
|
CCC+/Caa1
|
Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)
|
3,734,312
|
||
|
$ 11,888,447
|
|||||
|
Health Care Supplies - 2.4%
|
|||||
|
1,000,000
|
B/Caa1
|
Bausch & Lomb, Inc., 9.875%, 11/1/15
|
$ 1,045,000
|
||
|
4,085,000(g)
|
B-/B3
|
Biomet, Inc., 10.375%, 10/15/17
|
4,365,844
|
||
|
3,000,000
|
B-/Caa1
|
Immucor, Inc., 11.125%, 8/15/19
|
3,285,000
|
||
|
$ 8,695,844
|
|||||
|
Health Care Technology - 0.3%
|
|||||
|
900,000
|
CCC+/Caa1
|
Emdeon, Inc., 11.0%, 12/31/19 (144A)
|
$ 1,008,000
|
||
|
Total Health Care Equipment & Services
|
$ 32,910,761
|
||||
|
HOUSEHOLD & PERSONAL PRODUCTS - 0.5%
|
|||||
|
Personal Products - 0.5%
|
|||||
|
700,000
|
CCC+/Caa1
|
Monitronics International, Inc., 9.125%, 4/1/20 (144A)
|
$ 672,000
|
||
|
1,050,000
|
B/B2
|
Revlon Consumer Products Corp., 9.75%, 11/15/15
|
1,123,500
|
||
|
Total Household & Personal Products
|
$ 1,795,500
|
||||
|
INSURANCE - 9.6%
|
|||||
|
Insurance Brokers - 4.1%
|
|||||
|
3,305,000
|
CCC/Caa2
|
Alliant Holdings I, Inc., 11.0%, 5/1/15 (144A)
|
$ 3,428,938
|
||
|
100,000
|
CCC+/Caa1
|
HUB International Holdings, Inc., 9.0%, 12/15/14 (144A)
|
101,375
|
||
|
5,455,000
|
CCC+/Caa2
|
HUB International Holdings, Inc., 10.25%, 6/15/15 (144A)
|
5,557,281
|
||
|
GBP
|
1,625,000
|
NR/Caa1
|
Towergate Finance PLC, 10.5%, 2/15/19 (144A)
|
2,216,901
|
|
|
2,286,000(a)
|
CCC/Caa1
|
USI Holdings Corp., 4.342%, 11/15/14 (144A)
|
2,120,265
|
||
|
1,610,000
|
CCC/Caa2
|
USI Holdings Corp., 9.75%, 5/15/15 (144A)
|
1,616,037
|
||
|
$ 15,040,797
|
|||||
|
Multi-Line Insurance - 1.5%
|
|||||
|
3,075,000(b)
|
BB/Baa3
|
Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A)
|
$ 4,182,000
|
||
|
1,100,000
|
BBB/Baa2
|
MetLife, Inc., 10.75%, 8/1/39
|
1,537,250
|
||
|
$ 5,719,250
|
|||||
|
Property & Casualty Insurance - 1.7%
|
|||||
|
5,300,000
|
BBB-/Baa3
|
Allmerican Financial Corp., 7.625%, 10/15/25
|
$ 5,960,470
|
||
|
265,000(b)(e)
|
BB+/Ba2
|
White Mountains Insurance Group, Ltd., 7.506%, (144A)
|
254,154
|
||
|
$ 6,214,624
|
|||||
|
Reinsurance - 2.3%
|
|||||
|
250,000(a)
|
B-/NR
|
Blue Fin, Ltd., 14.081%, 5/28/13 (144A)
|
$ 251,350
|
||
|
250,000(a)
|
NR/Ba3
|
Combine Re, Ltd., 10.081%, 1/7/15 (144A)
|
255,975
|
||
|
250,000(a)
|
NR/NR
|
Combine Re, Ltd., 17.831%, 1/7/15 (144A)
|
255,500
|
||
|
250,000(a)
|
BB-/NR
|
Compass Re, Ltd., 10.331%, 1/8/15 (144A)
|
250,425
|
||
|
250,000(a)
|
B+/NR
|
Compass Re, Ltd., 11.331%, 1/8/15 (144A)
|
248,375
|
||
|
350,000(a)
|
BB+/NR
|
Foundation Re III, Ltd., 5.081%, 2/25/15
|
344,295
|
||
|
250,000(a)
|
BB-/NR
|
Ibis Re II, Ltd., 8.431%, 2/5/15 (144A)
|
245,700
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Reinsurance (continued)
|
|||||
|
400,000(a)
|
B-/NR
|
Ibis Re II, Ltd., 13.581%, 2/5/15 (144A)
|
399,320
|
||
|
800,000(a)
|
BB/NR
|
Lodestone Re, Ltd., 7.331%, 1/8/14 (144A)
|
791,920
|
||
|
700,000(b)
|
BB-/NR
|
Loma Reinsurance, Ltd., 9.967%, 12/21/12 (144A)
|
698,880
|
||
|
300,000(a)
|
CCC+/NR
|
Montana Re, Ltd., 13.718%, 12/7/12 (144A)
|
286,740
|
||
|
500,000(a)(f)
|
B/NR
|
Mystic Re, Ltd., 12.081%, 3/12/15 (144A)
|
504,250
|
||
|
600,000(a)
|
NR/B2
|
Mythen, Ltd., 11.407%, 5/7/15 (144A)
|
620,040
|
||
|
500,000(a)
|
BB-/NR
|
Queen Street II Capital, Ltd., 7.581%, 4/9/14 (144A)
|
491,000
|
||
|
250,000(a)
|
B+/NR
|
Queen Street V Re, Ltd., 8.581%, 4/9/15 (144A)
|
248,150
|
||
|
250,000(a)
|
NR/NR
|
Residential Reinsurance 2011, Ltd., 8.981%, 12/6/15 (144A)
|
235,750
|
||
|
450,000(a)
|
B-/NR
|
Residential Reinsurance 2011, Ltd., 12.081%, 6/6/15 (144A)
|
432,675
|
||
|
250,000(a)
|
NR/NR
|
Residential Reinsurance 2011, Ltd., 13.331%, 12/6/15 (144A)
|
238,900
|
||
|
250,000(a)
|
BB/NR
|
Residential Reinsurance 2012, Ltd., 8.081%, 6/6/16 (144A)
|
251,225
|
||
|
250,000(a)
|
BB-/NR
|
Residential Reinsurance 2012, Ltd., 10.081%, 6/6/16 (144A)
|
253,675
|
||
|
400,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 22.081%, 6/6/16 (144A)
|
397,440
|
||
|
500,000(a)
|
NR/NR
|
Successor X, Ltd., 13.0%, 2/25/14 (144A)
|
479,150
|
||
|
250,000(a)
|
NR/NR
|
Successor X, Ltd., 16.581%, 1/27/15 (144A)
|
246,550
|
||
|
$ 8,427,285
|
|||||
|
Total Insurance
|
$ 35,401,956
|
||||
|
MATERIALS - 20.9%
|
|||||
|
Aluminum - 0.0%
|
|||||
|
694(g)
|
B-/B3
|
Noranda Aluminum Acquisition Corp., 4.73%, 5/15/15
|
$ 663
|
||
|
Commodity Chemicals - 2.9%
|
|||||
|
3,250,000
|
NR/WR
|
Basell Finance Co. BV, 8.1%, 3/15/27 (144A)
|
$ 3,875,625
|
||
|
2,600,000
|
CCC+/NR
|
Hexion US Finance Corp., 9.0%, 11/15/20
|
2,242,500
|
||
|
4,500,000
|
BBB-/Ba1
|
Methanex Corp., 8.75%, 8/15/12
|
4,516,663
|
||
|
$ 10,634,788
|
|||||
|
Construction Materials - 1.5%
|
|||||
|
5,690,000
|
CC/Caa3
|
AGY Holding Corp., 11.0%, 11/15/14
|
$ 2,532,050
|
||
|
3,000,000
|
B-/Caa2
|
Texas Industries, Inc., 9.25%, 8/15/20
|
3,000,000
|
||
|
$ 5,532,050
|
|||||
|
Diversified Chemicals - 1.5%
|
|||||
|
2,625,000
|
CCC+/Caa1
|
Ineos Group Holdings Plc, 8.5%, 2/15/16 (144A)
|
$ 2,408,437
|
||
|
EUR
|
550,000
|
CCC+/Caa1
|
INEOS Group Holdings S.A., 7.875%, 2/15/16 (144A)
|
603,921
|
|
|
1,597,000
|
B/B2
|
Kinove German Bondco GmbH, 9.625%, 6/15/18 (144A)
|
1,644,910
|
||
|
EUR
|
950,000
|
NR/Caa1
|
Momentive Performance Materials, Inc., 9.5%, 1/15/21
|
841,724
|
|
|
$ 5,498,992
|
|||||
|
Diversified Metals & Mining - 3.3%
|
|||||
|
2,180,000(f)
|
NR/WR
|
Aleris International, Inc., 10.0%, 12/15/16
|
$ 218
|
||
|
2,000,000
|
B/B3
|
Global Brass and Copper, Inc., 9.5%, 6/1/19 (144A)
|
2,005,000
|
||
|
3,000,000
|
CCC+/Caa1
|
Midwest Vanadium Pty, Ltd., 11.5%, 2/15/18 (144A)
|
1,860,000
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Diversified Metals & Mining (continued)
|
|||||
|
2,775,000
|
CCC+/Caa1
|
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A)
|
1,900,875
|
||
|
1,200,000
|
NR/B2
|
Molycorp, Inc., 10.0%, 6/1/20 (144A)
|
1,188,000
|
||
|
900,000
|
B+/B1
|
Mongolian Mining Corp., 8.875%, 3/29/17 (144A)
|
907,541
|
||
|
4,070,000
|
BBB/Baa2
|
Teck Resources, Ltd., 10.25%, 5/15/16
|
4,543,138
|
||
|
$ 12,404,772
|
|||||
|
Forest Products - 0.8%
|
|||||
|
4,000,000
|
B-/B3
|
Millar Western Forest Products, Ltd., 8.5%, 4/1/21
|
$ 3,060,000
|
||
|
Metal & Glass Containers - 2.4%
|
|||||
|
1,677,876(g)
|
B-/Caa1
|
Ardagh Finance SA, 11.125%, 6/1/18 (144A)
|
$ 1,560,425
|
||
|
EUR
|
2,250,000
|
B-/B3
|
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A)
|
2,762,499
|
|
|
1,450,000
|
CCC+/B3
|
BWAY Holdings Co., 10.0%, 6/15/18
|
1,595,000
|
||
|
2,817,201(g)
|
CCC+/Caa1
|
BWAY Parent Co., Inc., 10.125%, 11/1/15
|
2,859,459
|
||
|
$ 8,777,383
|
|||||
|
Paper Packaging - 2.6%
|
|||||
|
2,000,000
|
CCC/Caa1
|
Berry Plastics Corp., 9.5%, 5/15/18
|
$ 2,130,000
|
||
|
2,657,034(d)
|
NR/NR
|
Bio Pappal SAB de CV, 7.0%, 8/27/16
|
2,072,487
|
||
|
2,220,000
|
CCC+/Caa2
|
Exopack Holdings Corp., 10.0%, 6/1/18
|
2,225,550
|
||
|
2,500,000
|
B-/Caa1
|
Pretium Packaging LLC / Pretium Finance, Inc., 11.5%, 4/1/16
|
2,525,000
|
||
|
500,000
|
BB/B1
|
Sealed Air Corp., 8.125%, 9/15/19 (144A)
|
557,500
|
||
|
$ 9,510,537
|
|||||
|
Paper Products - 1.5%
|
|||||
|
2,000,000
|
B+ /B1
|
Appleton Papers, Inc., 10.5%, 6/15/15 (144A)
|
$ 2,140,000
|
||
|
600,000
|
CCC+ /B3
|
Appleton Papers, Inc., 11.25%, 12/15/15
|
640,500
|
||
|
405,000
|
BB/Ba3
|
Clearwater Paper Corp., 10.625%, 6/15/16
|
449,550
|
||
|
776,000
|
B+/B3
|
Mercer International, Inc., 9.5%, 12/1/17
|
805,100
|
||
|
1,469,000
|
BB-/B1
|
Resolute Forest Products, 10.25%, 10/15/18
|
1,630,590
|
||
|
$ 5,665,740
|
|||||
|
Steel - 4.4%
|
|||||
|
2,450,000
|
B+/B3
|
AM Castle & Co., 12.75%, 12/15/16 (144A)
|
$ 2,621,500
|
||
|
1,200,000
|
BB-/B2
|
APERAM, 7.375%, 4/1/16 (144A)
|
1,032,000
|
||
|
1,960,000
|
B/Caa1
|
Atkore International, Inc., 9.875%, 1/1/18
|
1,901,200
|
||
|
2,400,000
|
BBB-/Ba1
|
CSN Islands VIII Corp., 9.75%, 12/16/13 (144A)
|
2,634,000
|
||
|
4,660,000
|
CCC- /Caa2
|
Essar Steel Algoma, Inc., 9.875%, 6/15/15 (144A)
|
3,949,350
|
||
|
2,915,000
|
B/B2
|
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
|
3,009,737
|
||
|
1,250,000
|
B/B3
|
Severstal Columbus LLC, 10.25%, 2/15/18
|
1,251,563
|
||
|
$ 16,399,350
|
|||||
|
Total Materials
|
$ 77,484,275
|
||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
MEDIA - 7.9%
|
|||||
|
Advertising - 1.6%
|
|||||
|
2,900,000
|
NR/B3
|
Good Sam Enterprises LLC, 11.5%, 12/1/16
|
$ 3,019,625
|
||
|
2,690,000
|
B+/B3
|
MDC Partners, Inc., 11.0%, 11/1/16
|
2,864,850
|
||
|
$ 5,884,475
|
|||||
|
Broadcasting - 3.7%
|
|||||
|
4,638,075(g)
|
CCC+/Caa3
|
Intelsat Bermuda, Ltd., 11.5%, 2/4/17
|
$ 4,788,812
|
||
|
375,000(g)
|
CCC+/Caa3
|
Intelsat Luxembourg SA, 11.5%, 2/4/17 (144A)
|
387,188
|
||
|
EUR
|
1,200,000
|
B+/B1
|
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
|
1,321,443
|
|
|
800,000
|
B-/B3
|
Telesat Canada, 12.5%, 11/1/17
|
892,000
|
||
|
3,805,000
|
B/B3
|
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A)
|
3,976,225
|
||
|
2,380,000
|
CCC+/Caa1
|
Truven Health Analytics, Inc., 10.625%, 6/1/20 (144A)
|
2,475,200
|
||
|
$ 13,840,868
|
|||||
|
Cable - 0.8%
|
|||||
|
1,096,054
|
B/B2
|
CCH II LLC / CCH II Capital Corp., 13.5%, 11/30/16
|
$ 1,222,100
|
||
|
1,500,000
|
B-/Caa1
|
Ono Finance II PLC, 10.875%, 7/15/19 (144A)
|
1,162,500
|
||
|
EUR
|
350,000
|
B-/Caa1
|
Ono Finance II PLC, 11.125%, 7/15/19 (144A)
|
345,550
|
|
|
$ 2,730,150
|
|||||
|
Movies & Entertainment - 0.9%
|
|||||
|
2,765,000
|
CCC+ /Caa1
|
AMC Entertainment, Inc., 9.75%, 12/1/20
|
$ 2,986,200
|
||
|
600,000
|
CCC+/B3
|
Production Resource Group, Inc., 8.875%, 5/1/19
|
453,000
|
||
|
$ 3,439,200
|
|||||
|
Publishing - 0.9%
|
|||||
|
1,400,000
|
CCC/Caa2
|
Cengage Learning Acquisitions, Inc., 10.5%, 1/15/15 (144A)
|
$ 1,064,000
|
||
|
400,000
|
B-/Caa1
|
Interactive Data Corp., 10.25%, 8/1/18
|
445,000
|
||
|
2,200,000(h)
|
B/B3
|
MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A)
|
1,831,500
|
||
|
$ 3,340,500
|
|||||
|
Total Media
|
$ 29,235,193
|
||||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 2.5%
|
|||||
|
Biotechnology - 1.4%
|
|||||
|
1,400,000
|
B/Caa1
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$ 1,407,000
|
||
|
4,104,000
|
B+ /Caa2
|
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
|
3,652,560
|
||
|
$ 5,059,560
|
|||||
|
Life Sciences Tools & Services - 0.9%
|
|||||
|
3,432,664
|
B/Caa1
|
Catalent Pharma Solutions, Inc., 9.5%, 4/15/15
|
$ 3,514,190
|
||
|
Pharmaceuticals - 0.2%
|
|||||
|
2,020,000
|
NR/NR
|
KV Pharmaceutical Co., 12.0%, 3/15/15
|
$ 626,200
|
||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 9,199,950
|
||||
|
REAL ESTATE - 1.7%
|
|||||
|
Diversified REIT's - 0.4%
|
|||||
|
1,500,000
|
B+/Ba3
|
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19
|
$ 1,380,000
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Real Estate Operating Companies - 1.3%
|
|||||
|
5,000,000
|
B-/B3
|
Forest City Enterprises, Inc., 7.625%, 6/1/15
|
$ 4,962,500
|
||
|
Total Real Estate
|
$ 6,342,500
|
||||
|
RETAILING - 2.0%
|
|||||
|
Distributors - 0.8%
|
|||||
|
2,862,000
|
B+/B2
|
Minerva Overseas II, Ltd., 10.875%, 11/15/19 (144A)
|
$ 2,869,155
|
||
|
Internet Retail - 1.2%
|
|||||
|
4,340,000
|
B/B3
|
Ticketmaster Entertainment, LLC/Ticketmaster Note Co., Inc, 10.75%, 8/1/16
|
$ 4,600,400
|
||
|
Total Retailing
|
$ 7,469,555
|
||||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.4%
|
|||||
|
Semiconductor Equipment - 0.4%
|
|||||
|
1,895,000
|
B+/Caa1
|
MEMC Electronic Materials, Inc., 7.75%, 4/1/19
|
$ 1,497,050
|
||
|
Semiconductors - 0.0%
|
|||||
|
CNH
|
1,000,000
|
NR/NR
|
LDK Solar Co., Ltd., 10.0%, 2/28/14
|
$ 55,440
|
|
|
Total Semiconductors & Semiconductor Equipment
|
$ 1,552,490
|
||||
|
SOFTWARE & SERVICES - 2.8%
|
|||||
|
Application Software - 0.7%
|
|||||
|
2,960,000
|
B/Caa1
|
Allen Systems Group, Inc., 10.5%, 11/15/16 (144A)
|
$ 2,427,200
|
||
|
Data Processing & Outsourced Services - 1.1%
|
|||||
|
1,783,000
|
B-/Caa1
|
First Data Corp., 8.25%, 1/15/21 (144A)
|
$ 1,783,000
|
||
|
399,000
|
B-/Caa1
|
First Data Corp., 9.875%, 9/24/15
|
403,987
|
||
|
1,783,000
|
B-/Caa1
|
First Data Corp., 12.625%, 1/15/21
|
1,785,229
|
||
|
$ 3,972,216
|
|||||
|
Systems Software - 1.0%
|
|||||
|
4,560,951(g)(h)
|
NR/NR
|
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A)
|
$ 3,876,809
|
||
|
Total Software & Services
|
$ 10,276,225
|
||||
|
TECHNOLOGY HARDWARE & EQUIPMENT - 0.2%
|
|||||
|
Computer Storage & Peripherals - 0.2%
|
|||||
|
580,000
|
BBB/Baa3
|
Seagate Technology International, Inc., 10.0%, 5/1/14 (144A)
|
$ 643,800
|
||
|
Total Technology Hardware & Equipment
|
$ 643,800
|
||||
|
TELECOMMUNICATION SERVICES - 1.6%
|
|||||
|
Alternative Carriers - 0.5%
|
|||||
|
1,000,000
|
BB-/WR
|
PAETEC Holding Corp., 8.875%, 6/30/17
|
$ 1,077,500
|
||
|
600,000
|
NR/WR
|
PAETEC Holding Corp., 9.875%, 12/1/18
|
670,500
|
||
|
$ 1,748,000
|
|||||
|
Integrated Telecommunication Services - 0.9%
|
|||||
|
3,539,000
|
CCC+/B3
|
Cincinnati Bell, Inc., 8.75%, 3/15/18
|
$ 3,406,288
|
||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
Wireless Telecommunication Services - 0.2%
|
|||||
|
725,000
|
BB/Ba3
|
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A)
|
$ 770,312
|
||
|
Total Telecommunication Services
|
$ 5,924,600
|
||||
|
TRANSPORTATION - 2.8%
|
|||||
|
Air Freight & Logistics - 1.7%
|
|||||
|
4,601,000
|
B-/Caa1
|
CEVA Group Plc, 11.5%, 4/1/18 (144A)
|
$ 4,209,915
|
||
|
720,000
|
B-/B3
|
CEVA Group Plc, 11.625%, 10/1/16 (144A)
|
750,600
|
||
|
1,430,000
|
B/B3
|
Syncreon Global Ireland, Ltd., 9.5%, 5/1/18 (144A)
|
1,422,850
|
||
|
$ 6,383,365
|
|||||
|
Airlines - 0.4%
|
|||||
|
779,000
|
BB-/Ba2
|
Delta Air Lines, Inc., 9.5%, 9/15/14 (144A)
|
$ 822,819
|
||
|
500,000
|
B/NR
|
Gol Finance, 9.25%, 7/20/20 (144A)
|
431,500
|
||
|
$ 1,254,319
|
|||||
|
Marine - 0.1%
|
|||||
|
295,000
|
B+/B3
|
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc., 9.25%, 4/15/19
|
$ 271,400
|
||
|
Railroads - 0.2%
|
|||||
|
1,001,126(g)
|
CCC/Caa3
|
Florida East Coast Holdings Corp., 10.5%, 8/1/17
|
$ 850,957
|
||
|
Trucking - 0.4%
|
|||||
|
1,375,000
|
B+/Caa1
|
Swift Services Holdings, Inc., 10.0%, 11/15/18
|
$ 1,491,875
|
||
|
Total Transportation
|
$ 10,251,916
|
||||
|
UTILITIES - 2.6%
|
|||||
|
Electric Utilities - 0.9%
|
|||||
|
310,000
|
NR/B3
|
Empresa Distribuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
|
$ 110,050
|
||
|
885,000(d)
|
B-/Caa3
|
Energy Future Holdings Corp., 10.0%, 1/15/20
|
944,737
|
||
|
1,000,000
|
BB+/Ba1
|
PNM Resources, Inc., 9.25%, 5/15/15
|
1,141,250
|
||
|
2,105,000
|
CC/Caa3
|
Texas Competitive Electric Holdings Co. LLC / TCEH Finance, Inc., 15.0%, 4/1/21
|
715,700
|
||
|
350,000
|
CCC/B2
|
Texas Competitive Electric Holdings LLC, 11.5%, 10/1/20 (144A)
|
238,875
|
||
|
$ 3,150,612
|
|||||
|
Independent Power Producers & Energy Traders - 0.9%
|
|||||
|
1,800,000
|
BB-/Ba3
|
Intergen NV, 9.0%, 6/30/17 (144A)
|
$ 1,764,000
|
||
|
1,500,000
|
NR/B2
|
Star Energy Geothermal (Wayang Windu), Ltd., 11.5%, 2/12/15 (144A)
|
1,623,750
|
||
|
$ 3,387,750
|
|||||
|
Multi-Utilities - 0.8%
|
|||||
|
3,305,095
|
NR/NR
|
Ormat Funding Corp., 8.25%, 12/30/20
|
$ 3,040,688
|
||
|
Total Utilities
|
$ 9,579,050
|
||||
|
TOTAL CORPORATE BONDS & NOTES
|
|||||
|
(Cost $411,447,102)
|
$ 408,280,442
|
||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
CONVERTIBLE BONDS & NOTES - 6.1% of Net Assets
|
|||||
|
DIVERSIFIED FINANCIALS - 0.1%
|
|||||
|
Asset Management & Custody Banks - 0.1%
|
|||||
|
400,000
|
BBB/NR
|
Apollo Investment Corp., 5.75%, 1/15/16
|
$ 393,000
|
||
|
Total Diversified Financials
|
$ 393,000
|
||||
|
ENERGY - 1.3%
|
|||||
|
Coal & Consumable Fuels - 0.4%
|
|||||
|
1,905,000
|
BB-/NR
|
Massey Energy Co., 3.25%, 8/1/15
|
$ 1,643,062
|
||
|
Oil & Gas Drilling - 0.6%
|
|||||
|
2,265,000(d)
|
NR/NR
|
Hercules Offshore, Inc., 3.375%, 6/1/38
|
$ 2,242,350
|
||
|
Oil & Gas Exploration & Production - 0.3%
|
|||||
|
1,340,000
|
BB-/Ba3
|
Chesapeake Energy Corp., 2.5%, 5/15/37
|
$ 1,147,375
|
||
|
Total Energy
|
$ 5,032,787
|
||||
|
HEALTH CARE EQUIPMENT & SERVICES - 1.7%
|
|||||
|
Health Care Equipment & Services - 0.8%
|
|||||
|
2,837,000(d)
|
B+/NR
|
Hologic, Inc., 2.0%, 12/15/37
|
$ 2,985,943
|
||
|
Health Care Facilities - 0.8%
|
|||||
|
1,985,000
|
B/B2
|
LifePoint Hospitals, Inc., 3.25%, 8/15/25
|
$ 1,997,406
|
||
|
780,000
|
B/NR
|
LifePoint Hospitals, Inc., 3.5%, 5/15/14
|
833,625
|
||
|
$ 2,831,031
|
|||||
|
Health Care Services - 0.1%
|
|||||
|
361,000
|
B+/B2
|
Omnicare, Inc., 3.25%, 12/15/35
|
$ 343,401
|
||
|
Total Health Care Equipment & Services
|
$ 6,160,375
|
||||
|
MATERIALS - 0.9%
|
|||||
|
Diversified Chemicals - 0.9%
|
|||||
|
4,000,000(j)
|
B+/NR
|
Hercules, Inc., 6.5%, 6/30/29
|
$ 3,280,000
|
||
|
Total Materials
|
$ 3,280,000
|
||||
|
MEDIA - 0.5%
|
|||||
|
Movies & Entertainment - 0.5%
|
|||||
|
1,832,000
|
B-/NR
|
Live Nation Entertainment, Inc., 2.875%, 7/15/27
|
$ 1,744,980
|
||
|
Total Media
|
$ 1,744,980
|
||||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.5%
|
|||||
|
Semiconductors - 0.5%
|
|||||
|
500,000
|
NR/NR
|
JA Solar Holdings Co., Ltd., 4.5%, 5/15/13
|
$ 457,500
|
||
|
750,000
|
NR/NR
|
Renesola, Ltd., 4.125%, 3/15/18 (144A)
|
361,875
|
||
|
1,569,000
|
NR/NR
|
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13
|
1,062,997
|
||
|
Total Semiconductors & Semiconductor Equipment
|
$ 1,882,372
|
||||
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
|
TELECOMMUNICATION SERVICES - 1.1%
|
|||||
|
Alternative Carriers - 1.1%
|
|||||
|
3,025,000
|
B/B2
|
Time Warner Telecom, Inc., 2.375%, 4/1/26
|
$ 4,242,563
|
||
|
Total Telecommunication Services
|
$ 4,242,563
|
||||
|
TOTAL CONVERTIBLE BONDS & NOTES
|
|||||
|
(Cost $16,887,537)
|
$ 22,736,077
|
||||
|
SOVEREIGN DEBT OBLIGATIONS - 0.9% of Net Assets
|
|||||
|
Argentina - 0.3%
|
|||||
|
1,200,000
|
B/B2
|
City of Buenos Aires, 12.5%, 4/6/15 (144A)
|
$ 1,014,000
|
||
|
Russia - 0.6%
|
|||||
|
1,867,600(d)
|
BBB/Baa1
|
Russian Government International Bond, 7.5%, 3/31/30
|
$ 2,242,222
|
||
|
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
|||||
|
(Cost $2,516,103)
|
$ 3,256,222
|
||||
|
TAX EXEMPT OBLIGATIONS - 4.6% of Net Assets
|
|||||
|
Indiana - 0.4%
|
|||||
|
1,650,000
|
NR/Baa3
|
East Chicago Indiana Exempt Facilities Revenue, 7.0%, 1/1/14
|
$ 1,655,990
|
||
|
New Jersey - 1.2%
|
|||||
|
4,525,000
|
B/B3
|
New Jersey Economic Development Authority Revenue, 7.0%, 11/15/30
|
$ 4,542,104
|
||
|
New York - 1.0%
|
|||||
|
3,475,000
|
BB-/B2
|
New York City Industrial Development Agency, 7.625%, 12/1/32
|
$ 3,585,088
|
||
|
North Carolina - 2.0%
|
|||||
|
6,300,000
|
NR/NR
|
Charlotte Special Facilities Refunding Revenue, 5.6%, 7/1/27
|
$ 5,560,695
|
||
|
1,670,000
|
NR/NR
|
Charlotte Special Facilities Refunding Revenue, 7.75%, 2/1/28
|
1,672,639
|
||
|
$ 7,233,334
|
|||||
|
TOTAL TAX EXEMPT OBLIGATIONS
|
|||||
|
(Cost $12,879,918)
|
$ 17,016,516
|
||||
|
MUNICIPAL COLLATERALIZED DEBT OBLIGATION - 0.5% of Net Assets
|
|||||
|
3,300,000(b)(h)
|
NR/NR
|
Non-Profit Preferred Funding Trust I, 6.75%, 9/15/37 (144A)
|
$ 2,091,705
|
||
|
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
|
|||||
|
(Cost $3,293,451)
|
$ 2,091,705
|
||||
|
Shares
|
Value
|
||||
|
COMMON STOCKS - 3.2% of Net Assets
|
|||||
|
AUTOMOBILES & COMPONENTS - 0.3%
|
|||||
|
Auto Parts & Equipment - 0.3%
|
|||||
|
29,909
|
Lear Corp.
|
$ 1,128,466
|
|||
|
Total Automobiles & Components
|
$ 1,128,466
|
||||
|
CAPITAL GOODS - 0.1%
|
|||||
|
Building Products - 0.1%
|
|||||
|
894(c)(h)(l)
|
Panolam Holdings Co.
|
$ 438,060
|
|||
|
Total Capital Goods
|
$ 438,060
|
||||
|
Shares
|
Value
|
||||
|
ENERGY - 0.5%
|
|||||
|
Oil & Gas Drilling - 0.1%
|
|||||
|
13,045(l)
|
Rowan Cos PLC, Class A
|
$ 421,745
|
|||
|
Oil & Gas Equipment & Services - 0.0%
|
|||||
|
NOK
|
45,178(f)(l)
|
Sevan Marine ASA
|
$ 87,237
|
||
|
Oil & Gas Exploration & Production - 0.4%
|
|||||
|
NOK
|
3,117,858(l)
|
Norse Energy Corp. ASA
|
$ 1,230,265
|
||
|
Total Energy
|
$ 1,739,247
|
||||
|
MATERIALS - 1.4%
|
|||||
|
Commodity Chemicals - 0.2%
|
|||||
|
26,430
|
Georgia Gulf Corp.
|
$ 678,458
|
|||
|
Diversified Chemicals - 1.0%
|
|||||
|
94,230
|
Lyondell Basell Industries NV, Class A
|
$ 3,794,642
|
|||
|
Diversified Metals & Mining - 0.2%
|
|||||
|
1,391,615(c)(h)(l)
|
Blaze Recycling and Metals LLC Class A Units
|
$ 626,227
|
|||
|
3,402
|
Freeport-McMoRan Copper & Gold, Inc. (Class B)
|
115,906
|
|||
|
$ 742,133
|
|||||
|
Total Materials
|
$ 5,215,233
|
||||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
|
|||||
|
Pharmaceuticals - 0.2%
|
|||||
|
17,818
|
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
|
$ 702,742
|
|||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 702,742
|
||||
|
SOFTWARE & SERVICES - 0.0%
|
|||||
|
Systems Software - 0.0%
|
|||||
|
10,942(h)(l)
|
Perseus Holding Corp.
|
$ 27,355
|
|||
|
Total Software & Services
|
$ 27,355
|
||||
|
TRANSPORTATION - 0.7%
|
|||||
|
Airlines - 0.3%
|
|||||
|
97,564(l)
|
Delta Air Lines, Inc.
|
$ 1,068,326
|
|||
|
Marine - 0.4%
|
|||||
|
877,784(l)
|
Horizon Lines, Inc., Class A
|
$ 1,650,234
|
|||
|
Total Transportation
|
$ 2,718,560
|
||||
|
TOTAL COMMON STOCKS
|
|||||
|
(Cost $11,310,406)
|
$ 11,969,663
|
||||
|
CONVERTIBLE PREFERRED STOCK - 0.5% of Net Assets
|
|||||
|
DIVERSIFIED FINANCIALS - 0.5%
|
|||||
|
Other Diversified Financial Services - 0.5%
|
|||||
|
1,880(e)
|
Bank of America Corp., 7.25
|
$ 1,833,000
|
|||
|
Total Diversified Financials
|
$ 1,833,000
|
||||
|
TOTAL CONVERTIBLE PREFERRED STOCK
|
|||||
|
(Cost $1,383,242)
|
$ 1,833,000
|
||||
|
PREFERRED STOCKS - 0.9% of Net Assets
|
|||||
|
CONSUMER SERVICES - 0.0%
|
|||||
|
Systems Software - 0.0%
|
|||||
|
5,745(h)(l)
|
Perseus Holding Corp., 14.0
|
$ 100,538
|
|||
|
Total Consumer Services
|
$ 100,538
|
||||
|
Shares
|
Value
|
||||
|
DIVERSIFIED FINANCIALS - 0.9%
|
|||||
|
Other Diversified Financial Services - 0.9%
|
|||||
|
132,750(b)
|
GMAC Capital Trust I, 8.125
|
$ 3,192,637
|
|||
|
Total Diversified Financials
|
$ 3,192,637
|
||||
|
TOTAL PREFERRED STOCKS
|
|||||
|
(Cost $3,322,424)
|
$ 3,293,175
|
||||
|
RIGHTS/WARRANTS - 0.0% of Net Assets
|
|||||
|
ENERGY - 0.0%+
|
|||||
|
Oil & Gas Equipment & Services - 0.0%+
|
|||||
|
650(h)(l)
|
Green Field Energy Services, Expires 11/15/21
|
$ 13,650
|
|||
|
Oil & Gas Exploration & Production - 0.0%+
|
|||||
|
NOK
|
131,055(l)
|
Norse Energy Corp. ASA, Expires 6/16/15
|
$ 33,008
|
||
|
Total Energy
|
$ 46,658
|
||||
|
TOTAL RIGHTS/WARRANTS
|
|||||
|
(Cost $23,773)
|
$ 46,658
|
||||
|
Principal
Amount
|
Value
|
||||
|
TEMPORARY CASH INVESTMENTS - 4.1% - of Net Assets
|
|||||
|
REPURCHASE AGREEMENT: 3.3%
|
|||||
|
12,150,000
|
Deutschebank AG, .2%, dated 7/2/12, repurchase price of $12,150,000 plus accrued interest on 7/2/12 collateralized by the following: $371,394 U.S. Treasury Bond, 2.0 - 3.375%, 11/15/26-4/15/32, and $12,021,606 U.S. Treasury Strip, 0.0 - 2.625%, 8/5/12-2/15/42 .
|
$ 12,150,000
|
|||
|
TIME DEPOSITS: 0.8%
|
|||||
|
EUR
|
414
|
BBH Grand Cayman, .04%, 7/2/12
|
$ 525
|
||
|
GBP
|
925
|
BBH Grand Cayman, .07%, 7/2/12
|
1,451
|
||
|
NOK
|
7,300,737
|
JPMorgan Chase London, 0.411%, 7/2/12
|
1,228,377
|
||
|
1,850,757
|
HSBC Bank Grand Cayman, .03%, 7/2/12
|
1,850,757
|
|||
|
$ 15,231,110
|
|||||
|
TOTAL TEMPORARY CASH INVESTMENTS
|
|||||
|
(Cost $15,231,110)
|
15,231,110
|
||||
|
TOTAL INVESTMENTS IN SECURITIES - 139.3%
|
|||||
|
(Cost - $509,848,104) (m)(n)
|
516,696,513
|
||||
|
OTHER ASSETS AND LIABILITIES -1.4%
|
$ 5,221,302
|
||||
|
PREFERRED SHARES AT REDEMPTION VALUE,
INCLUDING DIVIDENDS PAYABLE - (40.7)%
|
$ (151,008,438)
|
||||
|
NET ASSETS APPLICABLE TO
COMMON SHAREHOLDERS -100.0%
|
$ 370,909,377
|
||||
|
NR
|
Security not rated by S&P or Moody's.
|
|
|
WR
|
Rating Withdrawn.
|
|
|
(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, 2012, the value of these securities amounted to $188,306,226, or 50.8% of total net assets applicable to common shareowners.
|
|
|
*
|
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, 2012.
|
|
(a)
|
Floating Rate Note. The rate shown is the coupon rate at June 30, 2012.
|
|
(b)
|
The interest rate is subject to change periodically. The interest is shown is the rate at June 30, 2012.
|
|
(c)
|
Security is fair valued.
|
|
(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 June 30, 2012.
|
|
(e)
|
Security is perpetual in nature and has no stated maturity date.
|
|
(f)
|
Security is in default and is non income producing.
|
|
(g)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
|
(h)
|
Indicates a security that has been deemed as illiquid. The aggregate cost of illiquid securities is $13,689,212. The aggregate fair value of $9,115,844 represents 2.5% of total net assets applicable to common shareholders.
|
|
(i)
|
The company is scheduled for approval of a reorganization plan.
|
|
(j)
|
Security is priced as a unit.
|
|
(k)
|
Security issued with a zero coupon. Income is recognized through accretion of discount.
|
|
(l)
|
Non-income Producing.
|
|
(m)
|
At June 30, 2012, the net unrealized gain on investments based on cost for federal tax purposes of $509,848,104 was as follows:
|
|
|
Aggregate gross unrealized gain for all investments in which there is an excess of value over tax cost
|
$ 40,201,002
|
|
|
Aggregate gross unrealized loss for all investments in which there is an excess of tax cost over value
|
(33,352,593)
|
|
|
Net unrealized gain
|
$ 6,848,409
|
|
|
For financial reporting purposes net unrealized gain on investments was
$ 6,848,409 and cost of investments aggregated $509,848,104.
|
||
|
(n)
|
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
|
||
|
United States
|
76.8
|
%
|
|
|
Canada
|
4.5
|
||
|
Cayman Islands
|
4.0
|
||
|
Luxembourg
|
2.8
|
||
|
Netherlands
|
2.3
|
||
|
United Kingdom
|
2.0
|
||
|
Ireland
|
1.4
|
||
|
Other (individually less than 1%)
|
6.2
|
||
|
100.0
|
%
|
||
|
Glossary of Terms:
|
||
|
(A.D.R.)
|
American Depositary Receipt
|
|
|
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
|
EUR
|
-
|
Euro
|
|
GBP
|
-
|
Great 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 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) as level 3.
|
||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Investments in Securities - Assets
|
||||||||||||||||
|
ASSET BACKED SECURITIES
|
$ | – | $ | 4,366,991 | $ | – | $ | 4,366,991 | ||||||||
|
COLLATERALIZED MORTGAGE OBLIGATIONS
|
– | 1,738,444 | – | 1,738,444 | ||||||||||||
|
SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
– | 24,836,510 | – | 24,836,510 | ||||||||||||
|
TAX EXEMPT OBLIGATIONS
|
– | 17,016,516 | – | 17,016,516 | ||||||||||||
|
CORPORATE BONDS & NOTES
|
||||||||||||||||
|
Auto Parts & Equipment
|
– | 9,201,603 | – | 9,201,603 | ||||||||||||
|
All Other
|
– | 399,078,839 | – | 399,078,839 | ||||||||||||
|
CONVERTIBLE BONDS & NOTES
|
– | 22,736,077 | – | 22,736,077 | ||||||||||||
|
MUNICIPAL COLLATERALIZED DEBT OBLIGATION
|
– | 2,091,705 | – | 2,091,705 | ||||||||||||
|
SOVEREIGN DEBT OBLIGATIONS
|
– | 3,256,222 | – | 3,256,222 | ||||||||||||
|
COMMON STOCKS
|
||||||||||||||||
|
Diversified Metals & Mining
|
115,906 | – | 626,227 | 742,133 | ||||||||||||
|
Building Products
|
– | – | 438,060 | 438,060 | ||||||||||||
|
Systems Software
|
– | 27,355 | – | 27,355 | ||||||||||||
|
All Other
|
10,762,115 | – | – | 10,878,021 | ||||||||||||
|
CONVERTIBLE PREFERRED STOCK:
|
1,833,000 | – | – | 1,833,000 | ||||||||||||
|
PREFERRED STOCKS
|
||||||||||||||||
|
Systems Software
|
– | 100,538 | – | 100,538 | ||||||||||||
|
All Other
|
3,192,637 | – | – | 3,192,637 | ||||||||||||
|
RIGHTS/WARRANTS:
|
46,658 | – | – | 46,658 | ||||||||||||
|
TEMPORARY CASH INVESTMENTS
|
||||||||||||||||
|
TIME DEPOSITS
|
– | 3,081,110 | – | 3,081,110 | ||||||||||||
|
REPURCHASE AGREEMENT
|
– | 12,150,000 | – | 12,150,000 | ||||||||||||
|
Total Investments in Securities - Assets
|
$ | 15,950,316 | $ | 499,681,910 | $ | 1,064,287 | $ | 516,696,513 | ||||||||
|
Other Financial Instruments
|
– | (66,583 | ) | – | (66,583 | ) | ||||||||||
|
* Other Financial Instruments include foreign exchange contracts and unrealized depreciation on unfunded loan commitments
|
||||||||||||||||
|
The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
|
||||||||||||||||||||||||||||||||||||
|
Balance as of 3/31/12
|
Realized
gain (loss)(1)
|
Change in
Unrealized appreciation
(depreciation)(1)
|
Purchases
|
Sales
|
Accrued
discounts/ premiums
|
Transfers in to
Level 3*
|
Transfers out of
Level 3*
|
Balance as of 6/30/12
|
||||||||||||||||||||||||||||
|
Investments in Securities - Assets
|
||||||||||||||||||||||||||||||||||||
|
CORPORATE BONDS & NOTES
|
||||||||||||||||||||||||||||||||||||
|
Environmental & Facilities Services
|
$ | 133,492 | $ | (1,220,357 | ) | $ | 1,141,508 | $ | – | $ | (54,643 | ) | $ | – | $ | – | $ | – | $ | – | ||||||||||||||||
|
COMMON STOCKS
|
||||||||||||||||||||||||||||||||||||
|
Building Products
|
438,060 | – | – | – | – | – | – | – | 438,060 | |||||||||||||||||||||||||||
|
Diversified Metals & Mining
|
920,214 | – | (333,987 | ) | – | – | – | – | – | 626,227 | ||||||||||||||||||||||||||
|
Total Investment
in Securities - Assets
|
$ | 1,531,766 | $ | (1,220,357 | ) | $ | 807,521 | $ | – | $ | (56,643 | ) | $ | - | $ | – | $ | - | $ | 1,064,287 | ||||||||||||||||
|
* 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 06/30/12: $(807,521)
|
||||||||||||||||||||||||||||||||||||