OMB APPROVAL OMB Number: 3235-0578 Expires: April 30, 2013 Estimated average burden hours per response..... 5.6 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, 2013 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 (unaudited)
|
Value
|
|||
ASSET BACKED SECURITIES - 1.5% of Net Assets
|
|||||
BANKS - 0.2%
|
|||||
Thrifts & Mortgage Finance - 0.2%
|
|||||
148,922(a)
|
CCC/Caa3
|
Amortizing Residential Collateral Trust, Series 2002-BC1, Class M1, 1.468%, 1/25/32
|
$ 93,190
|
||
125,000
|
BB/NR
|
CarNow Auto Receivables Trust, Series 2012-1A, Class D, 6.9%, 11/15/16 (144A)
|
130,057
|
||
412,000(b)
|
CCC/C
|
Citicorp Residential Mortgage Trust, Series 2006-2, Class M1, 5.918%, 9/25/36
|
369,291
|
||
250,000(c)
|
B-/B3
|
Security National Mortgage Loan Trust, Series 2007-1A, Class 1A3, 6.55%, 4/25/37 (144A)
|
244,158
|
||
Total Banks
|
$ 836,696
|
||||
CONSUMER SERVICES - 0.7%
|
|||||
Hotels, Resorts, Cruise Lines - 0.7%
|
|||||
364,416
|
BB/NR
|
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)
|
$ 376,488
|
||
2,129,328
|
NR/NR
|
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A)
|
2,122,834
|
||
234,337
|
NR/NR
|
Westgate Resorts LLC, Series 2013-1A, Class B, 3.75%, 8/20/25 (144A)
|
235,069
|
||
Total Consumer Services
|
$ 2,734,391
|
||||
MATERIALS - 0.1%
|
|||||
Steel - 0.1%
|
|||||
351,793(b)
|
B+/B3
|
Accredited Mortgage Loan Trust, Series 2003-3, Class A1, 5.21%, 1/25/34
|
$ 332,012
|
||
Total Materials
|
$ 332,012
|
||||
TRANSPORTATION - 0.5%
|
|||||
Airlines - 0.5%
|
|||||
1,411,766(a)
|
CCC/Caa1
|
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.673%, 5/15/24 (144A)
|
$ 649,412
|
||
118(a)
|
B-/Ba3
|
Aircraft Finance Trust, Series 1999-1A, Class A2, 0.693%, 5/15/24 (144A)
|
106
|
||
694,148(a)
|
CCC+/Caa2
|
Aviation Capital Group Trust, Series 2000-1A, Class A1, 0.673%, 11/15/25 (144A)
|
354,016
|
||
1,533,262(a)
|
CCC+/Caa2
|
Lease Investment Flight Trust, Series 1, Class A1, 0.583%, 7/15/31
|
1,096,282
|
||
Total Transportation
|
$ 2,099,816
|
||||
TOTAL ASSET BACKED SECURITIES
|
|||||
(Cost $5,881,019)
|
$ 6,002,915
|
||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.8% of Net Assets
|
|||||
BANKS - 0.8%
|
|||||
Thrifts & Mortgage Finance - 0.8%
|
|||||
1,504,000(a)
|
CCC/Caa2
|
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A2, 0.393%, 2/25/37
|
$ 1,307,922
|
||
400,000
|
NR/NR
|
Extended Stay America Trust, Series 2013-ESHM, Class M, 7.625%, 12/5/19 (144A)
|
400,208
|
||
300,000(c)
|
BB+/Ba2
|
GS Mortgage Securities Corp. II Commercial Mortgage Pass Through Certificates, Series 2004-GG2, Class E, 5.83%, 8/10/38
|
294,378
|
||
349,896
|
NR/NR
|
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
|
339,836
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Thrifts & Mortgage Finance (continued)
|
|||||
250,000(c)
|
BB/NR
|
Springleaf Mortgage Loan Trust, Series 2013-1A, Class B1, 5.58%, 6/25/58 (144A)
|
$260,770
|
||
498,000(c)
|
BB-/Ba3
|
Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class AJ, 5.658%, 3/15/45
|
467,121
|
||
Total Banks
|
$ 3,070,235
|
||||
DIVERSIFIED FINANCIALS - 0.0%+
|
|||||
Investment Banking & Brokerage - 0.0%+
|
|||||
301,438(c)
|
BBB-/NR
|
Bear Stearns Commercial Mortgage Securities, Series 2001-TOP2, Class D, 6.94%, 2/15/35 (144A)
|
$ 301,276
|
||
Total Diversified Financials
|
$ 301,276
|
||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|||||
(Cost $3,397,749)
|
$ 3,371,511
|
||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 5.0% of Net Assets *
|
|||||
COMMERCIAL & PROFESSIONAL SERVICES - 0.3%
|
|||||
Research & Consulting Services - 0.3%
|
|||||
1,000,000
|
CCC+/Caa1
|
Sourcehov LLC, Second Lien Term Loan, 8.75%, 4/30/19
|
$ 1,015,833
|
||
Total Commercial & Professional Services
|
$ 1,015,833
|
||||
ENERGY - 0.2%
|
|||||
Coal & Consumable Fuels - 0.2%
|
|||||
750,000
|
NR/NR
|
PT Bumi Resources Tbk, Term Loan, 11.19%, 8/7/13
|
$ 735,750
|
||
Total Energy
|
$ 735,750
|
||||
FOOD, BEVERAGE & TOBACCO - 0.8%
|
|||||
Agricultural Products - 0.2%
|
|||||
1,046,525
|
B/NR
|
Arysta LifeScience SPC LLC, Initial Second Lien Term Loan, 7.0%, 11/30/20
|
$ 1,042,260
|
||
Packaged Foods & Meats - 0.6%
|
|||||
2,180,000
|
B-/NR
|
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20
|
$ 2,220,875
|
||
Total Food, Beverage & Tobacco
|
$ 3,263,135
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 0.5%
|
|||||
Health Care Services - 0.2%
|
|||||
750,141
|
B/B2
|
National Specialty Hospitals, Inc., Initial Term Loan, 8.25%, 2/3/17
|
$ 750,141
|
||
Health Care Technology - 0.3%
|
|||||
1,263,869
|
CCC/Caa3
|
Medical Card System, Inc., Term Loan, 12.0%, 9/17/15
|
$ 1,270,188
|
||
Total Health Care Equipment & Services
|
$ 2,020,329
|
||||
INSURANCE - 0.4%
|
|||||
Property & Casualty Insurance - 0.4%
|
|||||
1,385,452
|
CCC/Caa2
|
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
|
$ 1,385,452
|
||
Total Insurance
|
$ 1,385,452
|
||||
MATERIALS - 0.4%
|
|||||
Diversified Metals & Mining - 0.0%+
|
|||||
126,444
|
NR/NR
|
Long Haul Holdings, Ltd., Facility Term Loan A, 0.0%, 1/12/13
|
$ 55,635
|
||
100,918
|
NR/NR
|
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/12/13
|
44,404
|
||
$ 100,039
|
|||||
Specialty Chemicals - 0.2%
|
|||||
850,765
|
NR/NR
|
Macdermid, Inc., Second Lien Term Loan, 6.75%, 12/7/20
|
$ 863,526
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Steel - 0.2%
|
|||||
794,000
|
B/B1
|
Essar Steel Algoma, Inc., Term Loan, 8.75%, 9/19/14
|
$ 807,234
|
||
Total Materials
|
$ 1,770,799
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.7%
|
|||||
Pharmaceuticals - 0.7%
|
|||||
2,715,296(d)
|
NR/NR
|
K-V Pharmaceutical Co., DIP Facility, 11.0%, 12/27/13
|
$ 2,633,837
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 2,633,837
|
||||
RETAILING - 0.4%
|
|||||
Computer & Electronics Retail - 0.4%
|
|||||
1,470,004
|
B/B2
|
Targus Group International, Inc., Term Loan, 11.0%, 5/24/16
|
$ 1,477,354
|
||
Total Retailing
|
$ 1,477,354
|
||||
SOFTWARE & SERVICES - 1.1%
|
|||||
Application Software - 1.1%
|
|||||
1,700,000
|
B+/B1
|
Applied Systems, Inc., Second Lien Term Loan, 8.25%, 6/8/17
|
$ 1,713,812
|
||
2,500,000
|
CCC+/Caa1
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
|
2,551,563
|
||
Total Software & Services
|
$ 4,265,375
|
||||
UTILITIES - 0.2%
|
|||||
Electric Utilities - 0.2%
|
|||||
1,316,443
|
CCC/Caa3
|
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.77%, 10/10/17
|
$ 925,460
|
||
Total Utilities
|
$ 925,460
|
||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||
(Cost $19,568,521)
|
$ 19,493,324
|
||||
CORPORATE BONDS & NOTES - 108.6% of Net Assets
|
|||||
AUTOMOBILES & COMPONENTS - 2.8%
|
|||||
Auto Parts & Equipment - 1.0%
|
|||||
2,000,000(d)
|
B/Caa1
|
Cooper-Standard Holding, Inc., 7.375%, 4/1/18 (144A)
|
$ 1,985,000
|
||
1,140,000
|
B/Caa1
|
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
|
1,140,000
|
||
309,000
|
BB-/B1
|
Tomkins LLC/Tomkins, Inc., 9.0%, 10/1/18
|
336,810
|
||
427,000
|
B+/B1
|
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc., 10.625%, 9/1/17 (144A)
|
452,620
|
||
$ 3,914,430
|
|||||
Automobile Manufacturers - 1.8%
|
|||||
6,000,000
|
B/B1
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.0%, 6/15/19
|
$ 6,547,500
|
||
500,000
|
B/B1
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21
|
551,875
|
||
$ 7,099,375
|
|||||
Total Automobiles & Components
|
$ 11,013,805
|
||||
BANKS - 1.1%
|
|||||
Regional Banks - 0.3%
|
|||||
1,225,000(c)(e)
|
BBB/Baa3
|
PNC Financial Services Group, Inc., 4.494%, 5/29/49
|
$ 1,218,262
|
||
Thrifts & Mortgage Finance - 0.8%
|
|||||
2,925,000
|
B+/Ba3
|
Provident Funding Associates LP / PFG Finance Corp., 6.75%, 6/15/21 (144A)
|
$ 2,917,688
|
||
Total Banks
|
$ 4,135,950
|
||||
CAPITAL GOODS - 10.0%
|
|||||
Aerospace & Defense - 1.8%
|
|||||
3,300,000
|
B-/Caa1
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$ 3,184,500
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Aerospace & Defense (continued)
|
|||||
3,889,000
|
B-/B2
|
DynCorp International, Inc., 10.375%, 7/1/17
|
$ 3,908,445
|
||
$ 7,092,945
|
|||||
Building Products - 0.4%
|
|||||
2,375,000
|
CC/Caa3
|
New Enterprise Stone & Lime Co., Inc., 11.0%, 9/1/18
|
$ 1,698,125
|
||
Construction & Engineering - 0.4%
|
|||||
1,500,000
|
B/B2
|
Abengoa Finance SAU, 8.875%, 11/1/17 (144A)
|
$ 1,395,000
|
||
Construction & Farm Machinery & Heavy Trucks - 2.1%
|
|||||
774,000
|
B+/B3
|
Manitowoc Co., Inc., 9.5%, 2/15/18
|
$ 832,050
|
||
2,000,000
|
CCC/B3
|
Navistar International Corp., 8.25%, 11/1/21
|
1,965,000
|
||
4,760,000
|
CCC/Caa2
|
Stanadyne Holdings, Inc., 10.0%,
8/15/14
|
4,403,000
|
||
1,500,000(b)
|
CCC-/Ca
|
Stanadyne Holdings, Inc., 12.0%,
2/15/15
|
900,000
|
||
$ 8,100,050
|
|||||
Electrical Components & Equipment - 0.5%
|
|||||
2,000,000
|
B-/B3
|
WireCo WorldGroup, Inc., 9.5%,
5/15/17
|
$ 2,070,000
|
||
Industrial Conglomerates - 0.2%
|
|||||
605,000
|
B+/B2
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
$ 635,250
|
||
Industrial Machinery - 3.5%
|
|||||
1,040,000
|
B/B2
|
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
|
$ 1,092,000
|
||
3,180,000(f)
|
NR/WR
|
Indalex Holding Corp., 11.5%, 2/1/14
|
23,850
|
||
1,080,000
|
B/Caa2
|
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
|
1,080,000
|
||
5,170,000
|
B/Caa2
|
Mueller Water Products, Inc., 7.375%, 6/1/17
|
5,299,250
|
||
2,440,000
|
B/NR
|
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A)
|
1,903,200
|
||
4,500,000
|
B/B3
|
Xerium Technologies, Inc., 8.875%, 6/15/18
|
4,522,500
|
||
$ 13,920,800
|
|||||
Trading Companies & Distributors - 1.1%
|
|||||
1,727,000
|
CCC/Caa1
|
INTCOMEX, Inc., 13.25%, 12/15/14
|
$ 1,727,000
|
||
2,510,000
|
B-/B3
|
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19 (144A)
|
2,761,000
|
||
$ 4,488,000
|
|||||
Total Capital Goods
|
$ 39,400,170
|
||||
COMMERCIAL & PROFESSIONAL SERVICES - 1.1%
|
|||||
Diversified Support Services - 0.9%
|
|||||
3,400,000
|
B+/B3
|
NANA Development Corp., 9.5%, 3/15/19 (144A)
|
$ 3,400,000
|
||
Environmental & Facilities Services - 0.2%
|
|||||
892,000
|
CCC+/B3
|
Brickman Group Holdings, Inc., 9.125%, 11/1/18 (144A)
|
$ 954,440
|
||
2,180,000(f)
|
NR/WR
|
Old AII, Inc., 10.0%, 12/15/16
|
22
|
||
$ 954,462
|
|||||
Total Commercial & Professional Services
|
$ 4,354,462
|
||||
CONSUMER DURABLES & APPAREL - 5.1%
|
|||||
Home Furnishings - 0.2%
|
|||||
850,000
|
B/B2
|
SIWF Merger Sub, Inc. / Springs Industries, Inc., 6.25%, 6/1/21 (144A)
|
$ 833,000
|
||
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Homebuilding - 1.1%
|
|||||
3,115,000
|
CCC/Caa2
|
Beazer Homes USA, Inc., 9.125%, 6/15/18
|
$ 3,239,600
|
||
750,000
|
CCC/Caa2
|
Beazer Homes USA, Inc., 9.125%, 5/15/19
|
785,625
|
||
400,000
|
NR/Ca
|
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A)
|
88,000
|
||
$ 4,113,225
|
|||||
Housewares & Specialties - 2.7%
|
|||||
1,435,000
|
B/B1
|
Jarden Corp., 7.5%, 5/1/17
|
$ 1,573,119
|
||
3,000,000
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 9.0%, 4/15/19
|
3,097,500
|
||
1,430,000
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 9.875%, 8/15/19
|
1,530,100
|
||
2,905,000
|
CCC+/B3
|
Yankee Candle Co., Inc., 9.75%,
2/15/17
|
3,003,044
|
||
1,425,000(d)
|
CCC+/Caa1
|
YCC Holdings LLC / Yankee Finance, Inc., 10.25%, 2/15/16
|
1,464,187
|
||
$ 10,667,950
|
|||||
Leisure Products - 1.1%
|
|||||
EUR
|
800,000
|
CCC+/Caa2
|
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
|
$ 932,017
|
|
4,000,000
|
CCC+/B3
|
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)
|
3,280,000
|
||
$ 4,212,017
|
|||||
Total Consumer Durables & Apparel
|
$ 19,826,192
|
||||
CONSUMER SERVICES - 4.2%
|
|||||
Business Services - 0.7%
|
|||||
1,750,000
|
B/B2
|
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A)
|
$ 1,863,750
|
||
1,000,000
|
B-/Caa2
|
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18
|
745,000
|
||
$ 2,608,750
|
|||||
Casinos & Gaming - 1.0%
|
|||||
1,650,000(f)(g)
|
NR/WR
|
Buffalo Thunder Development Authority, 9.375%, 12/15/14 (144A)
|
$ 515,625
|
||
2,255,000
|
CCC-/Ca
|
Codere Finance Luxembourg SA, 9.25%, 2/15/19 (144A)
|
1,240,250
|
||
1,475,000
|
NR/NR
|
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A)
|
1,445,500
|
||
1,375,000(f)(g)
|
NR/WR
|
Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (144A)
|
82,500
|
||
740,000
|
CCC/Caa2
|
Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (144A)
|
732,600
|
||
$ 4,016,475
|
|||||
Education Services - 0.1%
|
|||||
555,000
|
CCC-/Caa1
|
Cambium Learning Group, Inc., 9.75%, 2/15/17
|
$ 488,400
|
||
Hotels, Resorts & Cruise Lines - 0.4%
|
|||||
1,500,000
|
CCC+/B2
|
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19
|
$ 1,590,000
|
||
Restaurants - 1.8%
|
|||||
4,055,000(b)
|
B-/Caa1
|
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A)
|
$ 3,441,681
|
||
1,400,000
|
B/B3
|
Burger King Corp., 9.875%, 10/15/18
|
1,561,000
|
||
2,000,000
|
CCC+/Caa1
|
Wok Acquisition Corp., 10.25%, 6/30/20 (144A)
|
2,200,000
|
||
$ 7,202,681
|
|||||
Specialized Consumer Services - 0.2%
|
|||||
740,000
|
B-/B3
|
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21 (144A)
|
$ 725,200
|
||
Total Consumer Services
|
$ 16,631,506
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
DIVERSIFIED FINANCIALS - 2.2%
|
|||||
Asset Management & Custody Banks - 0.3%
|
|||||
975,000
|
BBB-/Baa3
|
Janus Capital Group, Inc., 6.7%,
6/15/17
|
$ 1,088,664
|
||
Consumer Finance - 0.2%
|
|||||
1,030,000
|
B+/B1
|
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
|
$ 999,100
|
||
Investment Banking & Brokerage - 0.5%
|
|||||
2,325,000(a)
|
BB+/Ba2
|
Goldman Sachs Capital II, 4.0%, 6/1/43
|
$ 1,848,375
|
||
Multi-Sector Holdings - 0.6%
|
|||||
2,200,000
|
B/B2
|
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A)
|
$ 2,255,000
|
||
Other Diversified Financial Services - 0.4%
|
|||||
3,000,000(b)(g)(h)
|
BBB/NR
|
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A)
|
$ 1,697,587
|
||
Specialized Finance - 0.2%
|
|||||
695,000
|
B+/B2
|
National Money Mart Co., 10.375%, 12/15/16
|
$ 736,700
|
||
Total Diversified Financials
|
$ 8,625,426
|
||||
ENERGY - 19.8%
|
|||||
Coal & Consumable Fuels - 2.4%
|
|||||
1,350,000
|
B-/B3
|
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
|
$ 1,012,500
|
||
3,890,000
|
B/Caa1
|
Foresight Energy LLC / Foresight Energy Corp., 9.625%, 8/15/17 (144A)
|
4,084,500
|
||
2,125,000
|
CCC/Caa2
|
James River Coal Co., 7.875%, 4/1/19
|
945,625
|
||
800,000
|
B-/Caa1
|
Murray Energy Corp., 8.625%, 6/15/21 (144A)
|
800,000
|
||
1,115,000
|
B-/Caa1
|
Penn Virginia Corp., 8.5%, 5/1/20 (144A)
|
1,081,550
|
||
1,550,000
|
B-/B2
|
Penn Virginia Resource Partners LP / Penn Virginia Resource Finance Corp. II, 8.375%, 6/1/20
|
1,635,250
|
||
$ 9,559,425
|
|||||
Oil & Gas Drilling - 2.2%
|
|||||
1,500,000
|
NR/NR
|
Hercules Offshore, Inc., 8.75%, 7/15/21 (144A)
|
$ 1,500,000
|
||
500,000
|
B/B3
|
Hercules Offshore, Inc., 10.5%, 10/15/17 (144A)
|
533,750
|
||
1,700,000
|
CCC+/Caa3
|
Ocean Rig UDW, Inc., 9.5%, 4/27/16 (144A)
|
1,763,750
|
||
1,025,000
|
B-/B3
|
Offshore Group Investments, Ltd., 7.125%, 4/1/23 (144A)
|
1,007,063
|
||
1,900,000
|
B+/B2
|
Pioneer Energy Services Corp., 9.875%, 3/15/18
|
2,037,750
|
||
1,800,000
|
B/B1
|
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)
|
1,872,000
|
||
$ 8,714,313
|
|||||
Oil & Gas Equipment & Services - 1.7%
|
|||||
408,000(i)
|
NR/NR
|
DP Producer AS, 0.0%, 12/31/49 (144A)
|
$ 8,160
|
||
1,847,000
|
B/B3
|
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A)
|
1,939,350
|
||
2,100,000
|
B/Caa1
|
Forbes Energy Services, Ltd., 9.0%, 6/15/19
|
2,068,500
|
||
–
|
666,000(j)
|
CCC/Caa2
|
Green Field Energy Services, Inc., 13.25%, 11/15/16 (144A)
|
689,310
|
|
2,000,000
|
B/B3
|
Seitel, Inc., 9.5%, 4/15/19 (144A)
|
2,005,000
|
||
$ 6,710,320
|
|||||
Oil & Gas Exploration & Production - 11.7%
|
|||||
1,200,000
|
CCC+/Caa1
|
Athlon Holdings LP / Athlon Finance Corp., 7.375%, 4/15/21 (144A)
|
$ 1,185,000
|
||
775,000
|
BB-/B1
|
Berry Petroleum Co., 10.25%, 6/1/14
|
817,625
|
||
500,000
|
B-/B3
|
Comstock Resources, Inc., 7.75%, 4/1/19
|
510,000
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Oil & Gas Exploration & Production (continued)
|
|||||
1,830,000
|
B-/B3
|
Comstock Resources, Inc., 9.5%,
6/15/20
|
$1,976,400
|
||
3,450,000
|
B/B2
|
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20
|
3,898,500
|
||
1,407,909(d)
|
B/B3
|
EPE Holdings LLC / EP Energy Bond Co., Inc., 8.125%, 12/15/17 (144A)
|
1,436,067
|
||
1,295,000
|
B-/Caa1
|
EPL Oil & Gas, Inc., 8.25%, 2/15/18
|
1,333,850
|
||
3,000,000
|
CCC/Caa1
|
Goodrich Petroleum Corp., 8.875%, 3/15/19
|
2,955,000
|
||
785,000
|
CCC+/Caa1
|
Halcon Resources Corp., 8.875%, 5/15/21
|
761,450
|
||
1,475,000
|
CCC+/Caa1
|
Halcon Resources Corp., 9.75%,
7/15/20
|
1,471,313
|
||
900,000
|
B-/Caa1
|
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.625%, 12/1/21 (144A)
|
866,250
|
||
2,000,000
|
CCC+/Caa1
|
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A)
|
1,900,000
|
||
950,000
|
B-/Caa1
|
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21 (144A)
|
935,750
|
||
2,000,000
|
B-/Caa1
|
Midstates Petroleum Co., Inc., 9.25%, 6/1/21 (144A)
|
1,880,000
|
||
1,050,000
|
B-/Caa1
|
Midstates Petroleum Co., Inc., 10.75%, 10/1/20 (144A)
|
1,055,250
|
||
2,400,000
|
B+/NR
|
MIE Holdings Corp., 9.75%, 5/12/16 (144A)
|
2,484,000
|
||
NOK
|
2,000,000
|
NR/NR
|
Norwegian Energy Co., AS, 10.25%, 4/27/16
|
331,019
|
|
NOK
|
5,000,000
|
NR/NR
|
Norwegian Energy Co., AS, 12.9%, 11/20/14
|
831,449
|
|
2,750,000
|
NR/NR
|
PetroQuest Energy, Inc., 10.0%, 9/1/17 (144A)
|
2,750,000
|
||
1,110,000
|
B-/Caa1
|
QR Energy LP / QRE Finance Corp., 9.25%, 8/1/20
|
1,140,525
|
||
3,380,000
|
CCC-/Caa3
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
2,974,400
|
||
2,200,000
|
B-/B3
|
Resolute Energy Corp., 8.5%, 5/1/20
|
2,238,500
|
||
1,497,000
|
B+/B2
|
Rosetta Resources, Inc., 9.5%, 4/15/18
|
1,616,760
|
||
5,500,000
|
B-/B3
|
Samson Investment Co., 10.0%, 2/15/20 (144A)
|
5,795,625
|
||
2,770,000
|
CCC+/Caa1
|
Talos Production LLC / Talos Production Finance, Inc., 9.75%, 2/15/18 (144A)
|
2,631,500
|
||
$ 45,776,233
|
|||||
Oil & Gas Refining & Marketing - 1.4%
|
|||||
3,000,000
|
CCC/B3
|
Seven Generations Energy, Ltd., 8.25%, 5/15/20 (144A)
|
$ 2,985,000
|
||
2,215,000
|
BB+/Ba2
|
Tesoro Corp., 9.75%, 6/1/19
|
2,447,575
|
||
$ 5,432,575
|
|||||
Oil & Gas Storage & Transportation - 0.4%
|
|||||
1,524,000(a)
|
NR/NR
|
Energy Transfer Partners LP, 3.292%, 11/1/66 (144A)
|
$ 1,371,600
|
||
350,000(c)
|
BBB-/Baa2
|
Enterprise Products Operating LLC, 8.375%, 8/1/66
|
390,250
|
||
$ 1,761,850
|
|||||
Total Energy
|
$ 77,954,716
|
||||
FOOD, BEVERAGE & TOBACCO - 6.7%
|
|||||
Agricultural Products - 1.7%
|
|||||
5,622,000
|
B/B3
|
Southern States Cooperative, Inc., 11.25%, 5/15/15 (144A)
|
$ 5,818,770
|
||
1,100,000
|
B/NR
|
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A)
|
1,023,000
|
||
$ 6,841,770
|
|||||
Packaged Foods & Meats - 4.1%
|
|||||
775,000
|
BB/Ba3
|
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)
|
$ 827,312
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Packaged Foods & Meats (continued)
|
|||||
1,250,000
|
B+/B1
|
CFG Investment SAC, 9.75%, 7/30/19 (144A)
|
$1,118,750
|
||
705,000
|
B/B1
|
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21 (144A)
|
738,488
|
||
3,500,000
|
B/B3
|
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
|
3,771,250
|
||
1,000,000
|
B/B2
|
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
|
940,000
|
||
500,000
|
B/B2
|
Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A)
|
490,000
|
||
3,400,000
|
BB-/B1
|
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
|
3,383,000
|
||
400,000
|
BB-/B1
|
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
|
478,000
|
||
4,000,000
|
B/Caa1
|
Pilgrim's Pride Corp., 7.875%, 12/15/18
|
4,260,000
|
||
$ 16,006,800
|
|||||
Tobacco - 0.9%
|
|||||
3,450,000
|
B-/B3
|
Alliance One International, Inc., 10.0%, 7/15/16
|
$ 3,527,625
|
||
Total Food, Beverage & Tobacco
|
$ 26,376,195
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 8.1%
|
|||||
Health Care Equipment & Services - 2.0%
|
|||||
4,000,000
|
CCC+/Caa2
|
Accellent, Inc., 10.0%, 11/1/17
|
$ 3,680,000
|
||
4,000,000
|
B+/B2
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
4,400,000
|
||
$ 8,080,000
|
|||||
Health Care Facilities - 1.1%
|
|||||
3,475,000
|
B-/B3
|
Kindred Healthcare, Inc., 8.25%, 6/1/19
|
$ 3,561,875
|
||
600,000
|
CCC+/Caa1
|
United Surgical Partners, 9.0%, 4/1/20
|
648,000
|
||
$ 4,209,875
|
|||||
Health Care Services - 3.0%
|
|||||
1,987,000
|
B-/Caa1
|
BioScrip, Inc., 10.25%, 10/1/15
|
$ 2,101,252
|
||
2,527,000
|
CCC+/Caa2
|
Gentiva Health Services, Inc., 11.5%, 9/1/18
|
2,602,810
|
||
–
|
3,925,000
|
CC/Caa3
|
Rural / Metro Corp., 10.125%, 7/15/19 (144A)
|
3,325,000
|
|
3,725,000
|
CCC+/Caa1
|
Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)
|
3,836,750
|
||
$ 11,865,812
|
|||||
Health Care Supplies - 1.0%
|
|||||
608,000
|
B/Caa1
|
Bausch & Lomb, Inc., 9.875%, 11/1/15
|
$ 624,720
|
||
3,000,000
|
B-/Caa2
|
Immucor, Inc., 11.125%, 8/15/19
|
3,255,000
|
||
$ 3,879,720
|
|||||
Health Care Technology - 0.3%
|
|||||
900,000
|
CCC+/Caa1
|
Emdeon, Inc., 11.0%, 12/31/19
|
$ 1,014,750
|
||
IT Consulting & Other Services - 0.7%
|
|||||
2,380,000
|
CCC+/Caa1
|
Truven Health Analytics, Inc., 10.625%, 6/1/20 (144A)
|
$ 2,618,000
|
||
Total Health Care Equipment & Services
|
$ 31,668,157
|
||||
HOUSEHOLD & PERSONAL PRODUCTS - 0.6%
|
|||||
Personal Products - 0.6%
|
|||||
1,745,000
|
B+/B2
|
Albea Beauty Holdings SA, 8.375%, 11/1/19 (144A)
|
$ 1,710,100
|
||
700,000
|
CCC+/Caa1
|
Monitronics International, Inc., 9.125%, 4/1/20
|
724,500
|
||
Total Household & Personal Products
|
$ 2,434,600
|
||||
INSURANCE - 10.1%
|
|||||
Insurance Brokers - 2.2%
|
|||||
4,900,000
|
CCC+/Caa2
|
HUB International, Ltd., 8.125%, 10/15/18 (144A)
|
$ 5,096,000
|
||
1,000,000
|
CCC/Caa2
|
Onex USI Acquisition Corp., 7.75%, 1/15/21 (144A)
|
985,000
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Insurance Brokers (continued)
|
|||||
GBP
|
1,625,000
|
NR/Caa2
|
Towergate Finance Plc, 10.5%, 2/15/19 (144A)
|
$ 2,521,057
|
|
$ 8,602,057
|
|||||
Multi-Line Insurance - 1.6%
|
|||||
3,075,000(c)
|
BB/Baa3
|
Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A)
|
$ 4,689,375
|
||
1,100,000
|
BBB/Baa2
|
MetLife, Inc., 10.75%, 8/1/39
|
1,699,500
|
||
$ 6,388,875
|
|||||
Property & Casualty Insurance - 1.9%
|
|||||
500,000(a)
|
BB+/NR
|
Blue Danube II, Ltd., 4.368%, 5/23/16 (144A)
|
$ 497,200
|
||
5,300,000
|
BBB-/Baa3
|
Hanover Insurance Corp., 7.625%, 10/15/25
|
6,571,406
|
||
265,000(c)(e)
|
BB+/Ba2
|
White Mountains Insurance Group, Ltd., 7.506%, 5/29/49 (144A)
|
273,403
|
||
$ 7,342,009
|
|||||
Reinsurance - 4.4%
|
|||||
250,000(a)
|
BB-/NR
|
Atlas Reinsurance VII, Ltd., 8.144%, 1/7/16 (144A)
|
$ 252,650
|
||
400,000(a)
|
NR/NR
|
Caelus Re 2013, Ltd., 6.896%, 4/7/17 (144A)
|
397,680
|
||
500,000(a)
|
BB-/NR
|
Caelus Re, Ltd., 5.296%, 3/7/16 (144A)
|
493,850
|
||
250,000(a)
|
NR/Ba2
|
Combine Re, Ltd., 10.046%, 1/7/15 (144A)
|
270,475
|
||
1,000,000(a)
|
NR/NR
|
Combine Re, Ltd., 17.796%, 1/7/15 (144A)
|
1,110,900
|
||
250,000(a)
|
BB-/NR
|
Compass Re, Ltd., 10.296%, 1/8/15 (144A)
|
257,600
|
||
250,000(a)
|
B+/NR
|
Compass Re, Ltd., 11.296%, 1/8/15 (144A)
|
257,725
|
||
250,000(a)
|
BB/NR
|
East Lane Re V, Ltd., 9.046%, 3/16/16 (144A)
|
268,275
|
||
400,000(a)
|
BB/NR
|
East Lane Re, Ltd., 6.696%, 3/13/15 (144A)
|
413,240
|
||
350,000(c)
|
BB-/NR
|
Embarcadero Re, Ltd., 6.646%, 8/4/14 (144A)
|
357,630
|
||
250,000(c)
|
BB-/NR
|
Embarcadero Re, Ltd., 7.394%, 2/13/15 (144A)
|
258,375
|
||
350,000(a)
|
BB+/NR
|
Foundation Re III, Ltd., 5.046%,
2/25/15
|
357,910
|
||
250,000(a)
|
BB-/NR
|
Ibis Re II, Ltd., 8.396%, 2/5/15 (144A)
|
258,875
|
||
400,000(a)
|
B-/NR
|
Ibis Re II, Ltd., 13.546%, 2/5/15 (144A)
|
413,600
|
||
450,000(a)
|
BB+/NR
|
Kibou, Ltd., 5.296%, 2/16/15 (144A)
|
467,910
|
||
800,000(a)
|
BB/NR
|
Lodestone Re, Ltd., 7.296%, 1/8/14 (144A)
|
800,160
|
||
400,000(a)
|
BB/NR
|
Longpoint Re, Ltd. III, 4.046%, 5/18/16 (144A)
|
398,320
|
||
500,000(a)
|
B/NR
|
Mystic Re, Ltd., 12.046%, 3/12/15 (144A)
|
530,200
|
||
250,000(a)
|
B+/NR
|
Mythen Re, Ltd. Series 2012-2 Class A, 8.913%, 1/5/17 (144A)
|
255,725
|
||
250,000
|
NR/NR
|
Mythen Re, Ltd. Series 2013-1 Class B, 8.113%, 7/9/15 (144A)
|
250,000
|
||
600,000(a)
|
NR/B2
|
Mythen, Ltd., 11.105%, 5/7/15 (144A)
|
643,260
|
||
500,000(a)
|
BB-/NR
|
Queen Street II Capital, Ltd., 7.546%, 4/9/14 (144A)
|
502,850
|
||
250,000(a)
|
B+/NR
|
Queen Street V Re, Ltd., 8.546%, 4/9/15 (144A)
|
257,650
|
||
250,000(a)
|
B/NR
|
Queen Street VI Re, Ltd., 10.396%, 4/9/15 (144A)
|
259,525
|
||
250,000(a)
|
B/NR
|
Queen Street VII Capital, Ltd., 8.646%, 4/8/16 (144A)
|
253,675
|
||
725,000(a)
|
B+/NR
|
Residential Reinsurance 2011, Ltd., 8.796%, 6/6/15 (144A)
|
753,348
|
||
250,000(a)
|
NR/NR
|
Residential Reinsurance 2011, Ltd., 8.946%, 12/6/15 (144A)
|
252,825
|
||
250,000(a)
|
BB-/NR
|
Residential Reinsurance 2011, Ltd., 9.046%, 6/6/15 (144A)
|
256,925
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Reinsurance (continued)
|
|||||
450,000(a)
|
B-/NR
|
Residential Reinsurance 2011, Ltd., 12.046%, 6/6/15 (144A)
|
$468,405
|
||
250,000(a)
|
NR/NR
|
Residential Reinsurance 2011, Ltd., 13.296%, 12/6/15 (144A)
|
260,800
|
||
250,000(a)
|
BB/NR
|
Residential Reinsurance 2012, Ltd., 5.796%, 12/6/16 (144A)
|
257,650
|
||
250,000(a)
|
BB/NR
|
Residential Reinsurance 2012, Ltd., 8.046%, 6/6/16 (144A)
|
273,550
|
||
250,000(a)
|
BB-/NR
|
Residential Reinsurance 2012, Ltd., 10.046%, 6/6/16 (144A)
|
269,250
|
||
400,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 12.796%, 12/6/16 (144A)
|
424,000
|
||
250,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 19.046%, 12/6/16 (144A)
|
259,500
|
||
400,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 22.046%, 6/6/16 (144A)
|
428,080
|
||
250,000(a)
|
B-/NR
|
Residential Reinsurance 2013, Ltd., 9.296%, 6/6/17 (144A)
|
247,625
|
||
500,000(a)
|
BB/NR
|
Sanders Re, Ltd., 4.046%, 5/5/17 (144A)
|
494,750
|
||
600,000(h)(k)
|
NR/NR
|
Sector Re V, Ltd., 0.0%, 12/1/17 (144A)
|
634,140
|
||
850,000(h)(k)
|
NR/NR
|
Sector Re V, Ltd., 0.0%, 3/1/18 (144A)
|
834,700
|
||
500,000(a)
|
NR/NR
|
Successor X, Ltd., 13.0%, 2/25/14 (144A)
|
499,400
|
||
250,000(a)
|
NR/NR
|
Successor X, Ltd., 16.546%, 1/27/15 (144A)
|
255,125
|
||
300,000(a)
|
B+/NR
|
Tar Heel Re, Ltd., 8.546%, 5/9/16 (144A)
|
305,820
|
||
$ 17,163,953
|
|||||
Total Insurance
|
$ 39,496,894
|
||||
MATERIALS - 18.6%
|
|||||
Commodity Chemicals - 1.3%
|
|||||
3,250,000
|
BBB-/WR
|
Basell Finance Co. BV, 8.1%, 3/15/27 (144A)
|
$ 4,113,993
|
||
1,100,000
|
BB-/B1
|
Rain CII Carbon LLC / CII Carbon Corp., 8.25%, 1/15/21 (144A)
|
1,100,000
|
||
$ 5,213,993
|
|||||
Construction Materials - 0.8%
|
|||||
3,000,000
|
B-/Caa2
|
Texas Industries, Inc., 9.25%, 8/15/20
|
$ 3,232,500
|
||
Diversified Chemicals - 0.8%
|
|||||
EUR
|
368,154
|
B-/Caa1
|
INEOS Group Holdings SA, 7.875%, 2/15/16 (144A)
|
$ 479,801
|
|
1,597,000
|
B/B2
|
Kinove German Bondco GmbH, 9.625%, 6/15/18 (144A)
|
1,728,753
|
||
EUR
|
950,000
|
NR/Caa1
|
Momentive Performance Materials, Inc., 9.5%, 1/15/21
|
989,292
|
|
$ 3,197,846
|
|||||
Diversified Metals & Mining - 2.3%
|
|||||
2,000,000
|
B/B3
|
Global Brass and Copper, Inc., 9.5%, 6/1/19 (144A)
|
$ 2,140,000
|
||
3,000,000
|
CCC/Caa2
|
Midwest Vanadium Pty., Ltd., 11.5%, 2/15/18 (144A)
|
2,190,000
|
||
2,775,000
|
B-/Caa1
|
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A)
|
2,192,250
|
||
1,200,000
|
CCC+/B3
|
Molycorp, Inc., 10.0%, 6/1/20
|
1,164,000
|
||
900,000
|
B/B2
|
Mongolian Mining Corp., 8.875%, 3/29/17 (144A)
|
765,000
|
||
410,000
|
B/Caa1
|
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)
|
438,700
|
||
$ 8,889,950
|
|||||
Forest Products - 1.0%
|
|||||
4,000,000
|
B-/B3
|
Millar Western Forest Products, Ltd., 8.5%, 4/1/21
|
$ 3,950,000
|
||
Gold - 0.6%
|
|||||
3,055,000
|
BB-/B1
|
IAMGOLD Corp., 6.75%, 10/1/20 (144A)
|
$ 2,581,475
|
||
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||||
Metal & Glass Containers - 1.7%
|
|||||||
1,869,730(d)
|
CCC+/Caa1
|
Ardagh Finance SA, 11.125%, 6/1/18 (144A)
|
$ 1,981,914
|
||||
EUR
|
2,250,000
|
CCC+/B3
|
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A)
|
2,987,401
|
|||
1,450,000
|
CCC+/Caa1
|
BWAY Holdings Co., 10.0%, 6/15/18
|
1,587,750
|
||||
$ 6,557,065
|
|||||||
Paper Packaging - 2.0%
|
|||||||
2,000,000
|
CCC+/Caa1
|
Berry Plastics Corp., 9.5%, 5/15/18
|
$ 2,175,000
|
||||
2,657,034(b)
|
NR/NR
|
Bio Pappel SAB de CV, 7.0%, 8/27/16
|
2,597,251
|
||||
2,500,000
|
B-/Caa1
|
Pretium Packaging LLC / Pretium Finance, Inc., 11.5%, 4/1/16
|
2,675,000
|
||||
500,000
|
BB-/B1
|
Sealed Air Corp., 8.125%, 9/15/19 (144A)
|
557,500
|
||||
$ 8,004,751
|
|||||||
Paper Products - 1.1%
|
|||||||
600,000
|
CCC+/B3
|
Appvion, Inc., 11.25%, 12/15/15 (144A)
|
$ 666,000
|
||||
2,220,000
|
CCC+/Caa2
|
Exopack Holdings Corp., 10.0%, 6/1/18
|
2,247,750
|
||||
776,000
|
B/B3
|
Mercer International, Inc., 9.5%, 12/1/17
|
830,320
|
||||
595,000
|
B-/Caa1
|
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)
|
606,900
|
||||
$ 4,350,970
|
|||||||
Specialty Chemicals - 0.6%
|
|||||||
2,600,000
|
CCC+/NR
|
Hexion US Finance Corp., 9.0%, 11/15/20
|
$2,483,000
|
||||
Steel - 6.3%
|
|||||||
2,450,000
|
B/B3
|
AM Castle & Co., 12.75%, 12/15/16
|
$ 2,817,500
|
||||
1,200,000
|
B+/B3
|
APERAM, 7.375%, 4/1/16 (144A)
|
1,164,000
|
||||
1,960,000
|
B/Caa1
|
Atkore International, Inc., 9.875%,
1/1/18
|
2,077,600
|
||||
2,400,000
|
BBB-/Ba1
|
CSN Islands VIII Corp., 9.75%, 12/16/13 (144A)
|
2,457,000
|
||||
4,660,000
|
CCC/Caa2
|
Essar Steel Algoma, Inc., 9.875%, 6/15/15 (144A)
|
3,588,200
|
||||
700,000
|
B/Caa1
|
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A)
|
646,009
|
||||
1,900,000
|
NR/B3
|
Metinvest BV, 8.75%, 2/14/18 (144A)
|
1,767,000
|
||||
2,915,000
|
B/B2
|
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
|
3,031,600
|
||||
2,000,000
|
B-/B3
|
Permian Holdings, Inc., 10.5%, 1/15/18 (144A)
|
1,940,000
|
||||
3,750,000
|
CCC+/Caa2
|
Ryerson, Inc., 9.0%, 10/15/17 (144A)
|
3,806,250
|
||||
1,250,000
|
B/B3
|
Severstal Columbus LLC, 10.25%, 2/15/18
|
1,295,312
|
||||
$ 24,590,471
|
|||||||
Total Materials
|
$ 73,052,021
|
||||||
MEDIA - 4.6%
|
|||||||
Advertising - 0.8%
|
|||||||
2,900,000
|
B-/B3
|
Good Sam Enterprises LLC, 11.5%, 12/1/16
|
$ 3,088,500
|
||||
Broadcasting - 1.3%
|
|||||||
1,000,000
|
CCC+/Caa2
|
Intelsat Luxembourg SA, 7.75%, 6/1/21 (144A)
|
$ 1,010,000
|
||||
3,805,000
|
B/B3
|
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A)
|
4,052,325
|
||||
$ 5,062,325
|
|||||||
Cable - 0.9%
|
|||||||
EUR
|
1,200,000
|
B+/B1
|
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
|
$ 1,628,426
|
|||
1,500,000
|
B-/Caa1
|
Ono Finance II Plc, 10.875%, 7/15/19 (144A)
|
1,560,000
|
||||
EUR
|
350,000
|
B-/Caa1
|
Ono Finance II Plc, 11.125%, 7/15/19 (144A)
|
473,819
|
|||
$ 3,662,245
|
|||||||
Movies & Entertainment - 0.9%
|
|||||||
2,765,000
|
CCC+/Caa1
|
AMC Entertainment, Inc., 9.75%, 12/1/20
|
$ 3,131,363
|
||||
600,000
|
CCC+/Caa1
|
Production Resource Group, Inc., 8.875%, 5/1/19
|
463,500
|
||||
$ 3,594,863
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Publishing - 0.7%
|
|||||
400,000
|
B-/B3
|
Interactive Data Corp., 10.25%, 8/1/18
|
$ 443,000
|
||
2,200,000(g)
|
B-/B3
|
MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A)
|
2,183,500
|
||
$ 2,626,500
|
|||||
Total Media
|
$ 18,034,433
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.8%
|
|||||
Biotechnology - 1.3%
|
|||||
1,400,000
|
B/Caa1
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$ 1,529,500
|
||
4,104,000
|
B/Caa2
|
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
|
3,621,780
|
||
$ 5,151,280
|
|||||
Pharmaceuticals - 0.5%
|
|||||
2,020,000(f)
|
NR/NR
|
KV Pharmaceutical Co., 12.0%, 3/15/15
|
$ 2,020,000
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 7,171,280
|
||||
REAL ESTATE - 0.4%
|
|||||
Diversified REIT's - 0.4%
|
|||||
1,500,000
|
B/Ba3
|
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19
|
$ 1,496,250
|
||
Total Real Estate
|
$ 1,496,250
|
||||
RETAILING - 0.2%
|
|||||
Speciality Stores - 0.2%
|
|||||
685,000
|
B-/B3
|
Radio Systems Corp., 8.375%, 11/1/19 (144A)
|
$ 729,525
|
||
Total Retailing
|
$ 729,525
|
||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.3%
|
|||||
Semiconductor Equipment - 0.5%
|
|||||
1,895,000
|
B+/Caa1
|
SunEdison, Inc., 7.75%, 4/1/19
|
$ 1,795,512
|
||
Semiconductors - 0.8%
|
|||||
3,250,000
|
B/NR
|
Advanced Micro Devices, Inc., 7.5%, 8/15/22
|
$ 3,144,375
|
||
CNH
|
1,000,000
|
NR/NR
|
LDK Solar Co., Ltd., 10.0%, 2/28/14
|
47,721
|
|
$ 3,192,096
|
|||||
Total Semiconductors & Semiconductor Equipment
|
$ 4,987,608
|
||||
SOFTWARE & SERVICES - 3.0%
|
|||||
Application Software - 0.2%
|
|||||
955,000
|
B-/B3
|
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18 (144A)
|
$ 974,100
|
||
Data Processing & Outsourced Services - 1.5%
|
|||||
1,783,000
|
B-/Caa1
|
First Data Corp., 8.25%, 1/15/21 (144A)
|
$ 1,818,660
|
||
650,000
|
B-/Caa1
|
First Data Corp., 10.625%, 6/15/21 (144A)
|
641,875
|
||
1,783,000
|
B-/Caa1
|
First Data Corp., 12.625%, 1/15/21
|
1,885,523
|
||
1,650,000(d)
|
CCC+/Caa1
|
Igloo Holdings Corp., 8.25%, 12/15/17 (144A)
|
1,683,000
|
||
$ 6,029,058
|
|||||
Systems Software - 1.3%
|
|||||
5,173,143(d)(g)
|
NR/NR
|
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A)
|
$ 4,966,217
|
||
Total Software & Services
|
$ 11,969,375
|
||||
TECHNOLOGY HARDWARE & EQUIPMENT - 0.8%
|
|||||
Communications Equipment - 0.7%
|
|||||
1,350,000(d)
|
B-/Caa1
|
CommScope Holding Co., Inc., 6.625%, 6/1/20 (144A)
|
$ 1,289,250
|
||
1,500,000
|
CCC+/B3
|
CPI International, Inc., 8.0%, 2/15/18
|
1,545,000
|
||
$ 2,834,250
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Electronic Equipment & Instruments - 0.1%
|
|||||
350,000
|
BB-/B1
|
Viasystems, Inc., 7.875%, 5/1/19 (144A)
|
$ 369,250
|
||
Total Technology Hardware & Equipment
|
$ 3,203,500
|
||||
TELECOMMUNICATION SERVICES - 1.7%
|
|||||
Alternative Carriers - 0.2%
|
|||||
600,000
|
NR/WR
|
PAETEC Holding Corp., 9.875%,
12/1/18
|
$ 663,000
|
||
Integrated Telecommunication Services - 1.2%
|
|||||
3,539,000
|
CCC+/B3
|
Cincinnati Bell, Inc., 8.75%, 3/15/18
|
$ 3,543,424
|
||
1,400,000
|
BB-/Ba2
|
Frontier Communications Corp., 7.625%, 4/15/24
|
1,403,500
|
||
$ 4,946,924
|
|||||
Wireless Telecommunication Services - 0.3%
|
|||||
400,000
|
NR/NR
|
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
|
$ 384,038
|
||
725,000
|
BB/Ba3
|
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A)
|
824,687
|
||
$ 1,208,725
|
|||||
Total Telecommunication Services
|
$ 6,818,649
|
||||
TRANSPORTATION - 3.1%
|
|||||
Air Freight & Logistics - 0.2%
|
|||||
720,000
|
CCC-/Caa2
|
CEVA Group Plc, 11.625%, 10/1/16 (144A)
|
$ 727,200
|
||
Airlines - 0.2%
|
|||||
500,000
|
B-/NR
|
Gol Finance, 9.25%, 7/20/20 (144A)
|
$ 410,000
|
||
600,000
|
B/B2
|
United Continental Holdings, Inc., 6.375%, 6/1/18
|
589,500
|
||
$ 999,500
|
|||||
Marine - 0.1%
|
|||||
295,000
|
B+/B3
|
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc., 9.25%, 4/15/19
|
$ 316,388
|
||
Railroads - 0.3%
|
|||||
1,116,919(d)
|
CCC/Caa3
|
Florida East Coast Holdings Corp., 10.5%, 8/1/17
|
$ 1,172,765
|
||
Trucking - 2.3%
|
|||||
575,000
|
BB-/Ba3
|
Aeropuertos Dominicanos Siglo XXI SA, 9.25%, 11/13/19
|
$ 576,437
|
||
3,500,000
|
B-/B2
|
Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A)
|
3,500,000
|
||
1,375,000
|
B+/B3
|
Swift Services Holdings, Inc., 10.0%, 11/15/18
|
1,519,375
|
||
–
|
3,130,000
|
B/B3
|
Syncreon Global Ireland, Ltd., 9.5%, 5/1/18 (144A)
|
3,317,800
|
|
$ 8,913,612
|
|||||
Total Transportation
|
$ 12,129,465
|
||||
UTILITIES - 1.3%
|
|||||
Electric Utilities - 0.6%
|
|||||
310,000
|
NR/Caa1
|
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
|
$ 151,125
|
||
885,000
|
B-/NR
|
Energy Future Intermediate Holding Co., LLC / EFIH Finance, Inc., 10.0%, 12/1/20 (144A)
|
966,863
|
||
1,000,000
|
BBB-/Ba1
|
PNM Resources, Inc., 9.25%, 5/15/15
|
1,130,000
|
||
350,000
|
CCC/Caa3
|
Texas Competitive Electric Holdings Co., LLC / TCEH Finance, Inc., 11.5%, 10/1/20 (144A)
|
261,625
|
||
$ 2,509,613
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Multi-Utilities - 0.7%
|
|||||
3,017,321
|
NR/NR
|
Ormat Funding Corp., 8.25%, 12/30/20
|
$ 2,715,589
|
||
Total Utilities
|
$ 5,225,202
|
||||
TOTAL CORPORATE BONDS & NOTES
|
|||||
(Cost $416,762,089)
|
$ 426,735,381
|
||||
CONVERTIBLE BONDS & NOTES - 6.0% of Net Assets
|
|||||
CAPITAL GOODS - 0.8%
|
|||||
Construction & Farm Machinery & Heavy Trucks - 0.8%
|
|||||
2,625,000
|
B-/NR
|
Meritor, Inc., 7.875%, 3/1/26 (144A)
|
$ 3,191,016
|
||
Total Capital Goods
|
$ 3,191,016
|
||||
DIVERSIFIED FINANCIALS - 0.1%
|
|||||
Asset Management & Custody Banks - 0.1%
|
|||||
400,000
|
BBB/NR
|
Apollo Investment Corp., 5.75%,
1/15/16
|
$ 421,250
|
||
Total Diversified Financials
|
$ 421,250
|
||||
ENERGY - 1.3%
|
|||||
Coal & Consumable Fuels - 0.4%
|
|||||
1,905,000
|
B/NR
|
Massey Energy Co., 3.25%, 8/1/15
|
$ 1,724,025
|
||
Oil & Gas Drilling - 0.6%
|
|||||
2,265,000(b)
|
NR/NR
|
Hercules Offshore, Inc., 0.0%, 6/1/38
|
$ 2,250,844
|
||
Oil & Gas Exploration & Production - 0.3%
|
|||||
1,340,000
|
BB-/Ba3
|
Chesapeake Energy Corp., 2.5%,
5/15/37
|
$ 1,262,112
|
||
Total Energy
|
$ 5,236,981
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 1.1%
|
|||||
Health Care Equipment & Services - 0.8%
|
|||||
2,837,000(b)
|
B+/NR
|
Hologic, Inc., 2.0%, 12/15/37
|
$ 3,161,482
|
||
Health Care Facilities - 0.2%
|
|||||
780,000
|
B/NR
|
LifePoint Hospitals, Inc., 3.5%, 5/15/14
|
$ 843,375
|
||
Health Care Services - 0.1%
|
|||||
361,000
|
B+/B2
|
Omnicare, Inc., 3.25%, 12/15/35
|
$ 371,830
|
||
Total Health Care Equipment & Services
|
$ 4,376,687
|
||||
MATERIALS - 0.9%
|
|||||
Diversified Chemicals - 0.9%
|
|||||
4,000,000(j)
|
B+/NR
|
Hercules, Inc., 6.5%, 6/30/29
|
$ 3,372,500
|
||
Total Materials
|
$ 3,372,500
|
||||
MEDIA - 0.5%
|
|||||
Movies & Entertainment - 0.5%
|
|||||
1,832,000
|
B-/NR
|
Live Nation Entertainment, Inc., 2.875%, 7/15/27
|
$ 1,851,465
|
||
Total Media
|
$ 1,851,465
|
||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1%
|
|||||
Semiconductors - 0.1%
|
|||||
750,000
|
NR/NR
|
ReneSola, Ltd., 4.125%, 3/15/18 (144A)
|
$ 368,437
|
||
397,000
|
NR/NR
|
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13
|
101,235
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 469,672
|
||||
TELECOMMUNICATION SERVICES - 1.2%
|
|||||
Alternative Carriers - 1.2%
|
|||||
3,025,000
|
B/B2
|
Tw Telecom, Inc., 2.375%, 4/1/26
|
$ 4,562,078
|
||
Total Telecommunication Services
|
$ 4,562,078
|
||||
TOTAL CONVERTIBLE BONDS & NOTES
|
|||||
(Cost $18,668,054)
|
$ 23,481,649
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings (unaudited)
|
Value
|
|||
Alternative Carriers (continued)
|
|||||
SOVEREIGN DEBT OBLIGATIONS - 0.8% of Net Assets
|
|||||
Argentina - 0.3%
|
|||||
1,200,000
|
B-/Caa1
|
City of Buenos Aires, 12.5%, 4/6/15 (144A)
|
$ 1,194,000
|
||
Russia - 0.5%
|
|||||
1,728,400(b)
|
BBB/Baa1
|
Russian Government International Bond, 7.5%, 3/31/30
|
$ 2,024,389
|
||
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
|||||
(Cost $2,427,718)
|
$ 3,218,389
|
||||
TAX EXEMPT OBLIGATIONS - 4.4% of Net Assets
|
|||||
Indiana - 0.4%
|
|||||
1,650,000
|
NR/Baa3
|
East Chicago Indiana Exempt Facilities Revenue, 7.0%, 1/1/14
|
$ 1,648,878
|
||
New Jersey - 1.2%
|
|||||
4,525,000 (c)
|
B/B2
|
New Jersey Economic Development Authority Revenue, 7.0%, 11/15/30
|
$ 4,527,986
|
||
New York - 0.9%
|
|||||
3,475,000
|
BB/B2
|
New York City Industrial Development Agency Revenue, 7.625%, 12/1/32
|
$ 3,509,264
|
||
North Carolina - 1.9%
|
|||||
1,670,000
|
NR/NR
|
Charlotte North Carolina Special Facilities Revenue, 7.75%, 2/1/28
|
$ 1,671,720
|
||
6,300,000
|
NR/NR
|
Charlotte Special Facilities Revenue, 5.6%, 7/1/27
|
5,893,524
|
||
$ 7,565,244
|
|||||
TOTAL TAX EXEMPT OBLIGATIONS
|
|||||
(Cost $13,021,529)
|
$ 17,251,372
|
||||
MUNICIPAL COLLATERALIZED DEBT OBLIGATION - 0.5% of Net Assets
|
|||||
3,300,000(c)(g)
|
NR/NR
|
Non-Profit Preferred Funding Trust I, 6.75%, 9/15/37 (144A)
|
$ 1,853,346
|
||
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
|
|||||
(Cost $3,293,554)
|
$ 1,853,346
|
||||
Shares
|
Value
|
||||
COMMON STOCKS - 2.6% of Net Assets
|
|||||
CAPITAL GOODS - 0.2%
|
|||||
Building Products - 0.2%
|
|||||
894(g)(h)(l)
|
Panolam Holdings Co.
|
$ 715,200
|
|||
Total Capital Goods
|
$ 715,200
|
||||
ENERGY - 0.1%
|
|||||
Oil & Gas Drilling - 0.1%
|
|||||
13,045(l)
|
Rowan Companies, Plc, Class A
|
$ 444,443
|
|||
Oil & Gas Exploration & Production - 0.0%+
|
|||||
NOK
|
1(l)
|
Norse Energy Corp., ASA
|
$ –
|
||
Total Energy
|
$ 444,443
|
||||
MATERIALS - 0.6%
|
|||||
Diversified Metals & Mining - 0.6%
|
|||||
3,402
|
Freeport-McMoRan Copper & Gold, Inc. Class B
|
$ 93,929
|
|||
36,284
|
Lyondell Basell Industries NV, Class A
|
2,404,178
|
|||
$ 2,498,107
|
|||||
Total Materials
|
$ 2,498,107
|
||||
Shares
|
Value
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
|
|||||
Pharmaceuticals - 0.2%
|
|||||
17,818
|
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
|
$ 698,466
|
|||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 698,466
|
||||
SOFTWARE & SERVICES - 0.0%+
|
|||||
Systems Software - 0.0%+
|
|||||
10,942(g)(l)
|
Perseus Holding Corp.
|
$ 27,355
|
|||
Total Software & Services
|
$ 27,355
|
||||
TRANSPORTATION - 1.5%
|
|||||
Air Frieght & Logistics - 0.7%
|
|||||
–
|
3,266(l)
|
CEVA Holdings LLC
|
$ 2,835,974
|
||
Airlines - 0.5%
|
|||||
97,564(l)
|
Delta Air Lines, Inc.
|
$ 1,825,423
|
|||
Marine - 0.3%
|
|||||
877,784(g)(l)
|
Horizon Lines, Inc., Class A
|
$ 1,185,008
|
|||
Total Transportation
|
$ 5,846,405
|
||||
TOTAL COMMON STOCKS
|
|||||
(Cost $9,567,929)
|
$ 10,229,976
|
||||
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
|
$ 2,087,740
|
|||
Total Diversified Financials
|
$ 2,087,740
|
||||
TOTAL CONVERTIBLE PREFERRED STOCK
|
|||||
(Cost $1,383,242)
|
$ 2,087,740
|
||||
PREFERRED STOCKS - 2.8% of Net Assets
|
|||||
BANKS - 0.8%
|
|||||
Diversified Banks - 0.8%
|
|||||
3,000(c)(e)(l)
|
AgStar Financial Services ACA, 6.75
|
$ 2,952,000
|
|||
Total Banks
|
$ 2,952,000
|
||||
DIVERSIFIED FINANCIALS - 0.9%
|
|||||
Other Diversified Financial Services - 0.9%
|
|||||
132,750(c)
|
GMAC Capital Trust I, 8.125
|
$ 3,458,138
|
|||
Total Diversified Financials
|
$ 3,458,138
|
||||
ENERGY - 0.2%
|
|||||
Oil & Gas Storage & Transportation - 0.2%
|
|||||
33,350(c)
|
NuStar Logistics LP, 7.625
|
$ 873,770
|
|||
Total Energy
|
$ 873,770
|
||||
INSURANCE - 0.8%
|
|||||
Reinsurance - 0.8%
|
|||||
1,200,000(h)(l)
|
Altair Re, 0.0
|
$ 1,228,200
|
|||
8,500(h)(l)
|
Lorenz Re, Ltd., 0.0
|
860,115
|
|||
950,000(h)(l)
|
Pangaea Re, 0.0
|
962,160
|
|||
$ 3,050,475
|
|||||
Total Insurance
|
$ 3,050,475
|
||||
SOFTWARE & SERVICES - 0.1%
|
|||||
Data Processing & Outsourced Services - 0.1%
|
|||||
5,745(g)(l)
|
Perseus Holding Corp., 14.0
|
$ 473,962
|
|||
Total Software & Services
|
$ 473,962
|
||||
TOTAL PREFERRED STOCKS
|
|||||
(Cost $10,156,174)
|
$ 10,808,345
|
||||
Shares
|
Value
|
||||
RIGHTS/WARRANTS - 0.0%+ of Net Assets
|
|||||
AUTOMOBILES & COMPONENTS - 0.0%+
|
|||||
Auto Parts & Equipment - 0.0%+
|
|||||
344(l)
|
Lear Corp., Expires 11/9/14
|
$ 39,990
|
|||
Total Automobiles & Components
|
$ 39,990
|
||||
ENERGY - 0.0%
|
|||||
Oil & Gas Equipment & Services - 0.0%+
|
|||||
650(g)(l)
|
Green Field Energy Services, Inc., Expires 11/15/21 (144A)
|
$ 39,000
|
|||
Oil & Gas Exploration & Production - 0.0%+
|
|||||
–
|
131,057(l)
|
Norse Energy Corp., ASA, Expires 6/16/15
|
$ 431
|
||
Total Energy
|
$ 39,431
|
||||
TOTAL RIGHTS/WARRANTS
|
|||||
(Cost $42,352)
|
$ 79,421
|
||||
Principal
Amount
|
Value
|
||||
TEMPORARY CASH INVESTMENTS - 3.4% - of Net Assets
|
|||||
REPURCHASE AGREEMENT: 3.4%
|
|||||
13,250,000
|
Bank of Nova Scotia, .15%, dated 7/1/13, repurchase price of $13,250,000 plus accrued interest on 7/1/13 collateralized by $13,515,169 Freddie Mac Giant, 4.0%, 1/1/42.
|
$ 13,250,000
|
|||
TOTAL TEMPORARY CASH INVESTMENTS
|
|||||
(Cost $13,250,000)
|
$ 13,250,000
|
||||
TOTAL INVESTMENTS IN SECURITIES - 136.9%
|
|||||
(Cost - $517,419,930) (m) (n)
|
537,863,369
|
||||
OTHER ASSETS AND LIABILITIES -1.5%
|
$ 5,935,525
|
||||
PREFERRED SHARES AT REDEMPTION VALUE,
INCLUDING DIVIDENDS PAYABLE - (38.4)%
|
$ (151,004,745)
|
||||
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
|
$ 392,794,149
|
||||
Notional
Principal
|
Swap Counterparty/Referenced Obligation
|
Unrealized
Gain
|
||
5,000,000
|
JPMorgan Chase & Co., MARKIT CDX.NA.HY19., 5.0%, 12/20/2017
|
$ 264,235
|
||
2,000,000
|
JPMorgan Chase & Co., Goodyear Tire & Rubber Co., 5.0%, 12/20/2017
|
150,564
|
||
TOTAL CREDIT DEFAULT SWAP AGREEMENTS
|
||||
(Cost $(111,875))
|
$ 414,799
|
|||
NR
|
Security not rated by S&P or Moody's.
|
|
WR
|
Rating withdrawn by either S&P or Moody's.
|
|
(144A)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At June 30, 2013, the value of these securities amounted to $249,930,940, or 63.6% of total net assets applicable to common shareowners.
|
|
†
|
Amount rounds to less than 0.1%.
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at June 30, 2013.
|
(a)
|
Floating rate note. The rate shown is the coupon rate at June 30, 2013.
|
(b)
|
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at June 30, 2013.
|
(c)
|
The interest rate is subject to change periodically. The interest is shown is the rate at June 30, 2013.
|
(d)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
(e)
|
Security is perpetual in nature and has no stated maturity date.
|
(f)
|
Security is in default and is non income producing.
|
(g)
|
Indicates a security that has been deemed as illiquid. As of June 30, 2013 the aggregate cost of illiquid securities in the Trust's portfolio was $18,536,993. As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $13,739,300 represented 3.5% of total net assets applicable to common shareowners.
|
(h)
|
Security is valued using fair value methods.
|
(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, 2013, the net unrealized gain on investments based on cost for federal tax purposes of $519,752,793 was as follows:
|
|
Aggregate gross unrealized gain for all investments in which there is an excess of value over tax cost
|
$ 42,684,279
|
|
Aggregate gross unrealized loss for all investments in which there is an excess of tax cost over value
|
(24,573,703)
|
|
Net unrealized gain
|
$ 18,110,576
|
|
For financial reporting purposes net unrealized gain on investments was
$20,858,242 and cost of investments aggregated $520,508,052.
|
||
(n)
|
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
|
||
United States
|
79.1
|
%
|
|
Cayman Islands
|
3.9
|
||
Canada
|
3.3
|
||
Luxembourg
|
3.0
|
||
Netherlands
|
2.1
|
||
Ireland
|
1.6
|
||
United Kingdom
|
1.2
|
||
Other (individually less than 1%)
|
5.8
|
||
100.0
|
%
|
||
Glossary of Terms:
|
||
(A.D.R.)
|
American Depositary Receipt
|
|
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
EUR
|
-
|
Euro
|
CNH
|
-
|
New Chinese Yuan
|
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. See Notes to Financial Statements - Note 1A
|
The following is a summary of the inputs used as of June 30, 2013, in valuing the Trust's investments.
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Asset Backed Securities
|
$ | – | $ | 6,002,915 | $ | – | $ | 6,002,915 | ||||||||
Collateralized Mortgage Obligations
|
– | 3,371,511 | – | 3,371,511 | ||||||||||||
Senior Secured Floating Rate Loan Interests
|
– | 19,493,324 | – | 19,493,324 | ||||||||||||
Tax Exempt Obligations
|
– | 17,251,372 | – | 17,251,372 | ||||||||||||
Corporate Bonds & Notes
|
||||||||||||||||
Other Diversified Financial Services
|
– | 1,088,178 | 1,697,587 | 2,785,765 | ||||||||||||
Reinsurance
|
– | 14,496,223 | 1,468,840 | 15,965,063 | ||||||||||||
All Other
|
– | 407,984,553 | – | 407,984,553 | ||||||||||||
Convertible Bonds & Notes
|
– | 23,481,649 | – | 23,481,649 | ||||||||||||
Municipal Collateralized Debt Obligation
|
– | 1,853,346 | – | 1,853,346 | ||||||||||||
Sovereign Debt Obligations
|
– | 3,218,389 | – | 3,218,389 | ||||||||||||
Common Stocks
|
||||||||||||||||
Air Frieght & Logistics
|
– | 2,835,974 | – | 2,835,974 | ||||||||||||
Building Products
|
– | – | 715,200 | 715,200 | ||||||||||||
Systems Software
|
– | 27,355 | – | 27,355 | ||||||||||||
All Other
|
6,651,447 | – | – | 6,651,447 | ||||||||||||
Convertible Preferred Stock:
|
2,087,740 | – | – | 2,087,740 | ||||||||||||
Preferred Stocks
|
||||||||||||||||
Reinsurance
|
– | – | 3,050,475 | 3,050,475 | ||||||||||||
Data Processing & Outsourced Services
|
– | 473,962 | – | 473,962 | ||||||||||||
All Other
|
7,283,908 | – | – | 7,283,908 | ||||||||||||
Rights/Warrants:
|
79,421 | – | – | 79,421 | ||||||||||||
Temporary Cash Investments
|
||||||||||||||||
Repurchase Agreement
|
– | 13,250,000 | – | 13,250,000 | ||||||||||||
Total
|
$ | 16,102,516 | $ | 514,828,751 | $ | 6,932,102 | $ | 537,863,369 | ||||||||
Other Financial Instruments
|
||||||||||||||||
Forward Foreign Currency Contracts
|
$ | – | $ | (3,872 | ) | $ | – | $ | (3,872 | ) | ||||||
Credit Default Swap Agreements
|
– | 414,799 | – | 414,799 | ||||||||||||
Total Other Financial Instruments
|
$ | – | $ | 410,927 | $ | – | $ | 410,927 |
The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
|
||||||||||||||||||||||||||||||||||||
Balance
as of
3/31/13
|
Realized
gain
(loss)
|
Change in
Unrealized appreciation
(depreciation)(1)
|
Purchases
|
Sales
|
Accrued
discounts/ premiums
|
Transfers
in to
Level 3*
|
Transfers
out of
Level 3*
|
Balance
as of
6/30/13
|
||||||||||||||||||||||||||||
Corporate Bonds & Notes
|
||||||||||||||||||||||||||||||||||||
Other Diversified Financial Services
|
1,772,245 | – | (75,120 | ) | – | – | 462 | – | – | 1,697,587 | ||||||||||||||||||||||||||
Reinsurance
|
– | – | – | – | – | – | 1,468,840 | – | 1,468,840 | |||||||||||||||||||||||||||
Common Stocks
|
||||||||||||||||||||||||||||||||||||
Building Products
|
522,096 | – | 193,104 | – | – | – | – | – | 715,200 | |||||||||||||||||||||||||||
Preferred Stocks
|
||||||||||||||||||||||||||||||||||||
Reinsurance
|
– | – | 50,475 | 3,000,000 | – | – | – | – | 3,050,475 | |||||||||||||||||||||||||||
Total
|
$ | 2,294,341 | $ | – | $ | 168,459 | $ | 3,000,000 | $ | - | $ | 462 | $ | 1,468,840 | $ | – | $ | 6,932,102 |
* Transfers are calculated on the end of period value
|
Net change in unrealized appreciation of Level 3 investments still held and considered
Level 3 at 06/30/13
|
Currency
|
Net Contracts to
Receive/(Deliver)
|
In Exchange
for US$
|
Settlement
Date
|
US$ Value
|
Net
Unrealized
(Loss)
|
||||||||||||
GBP
|
(886,000 | ) | $ | (1,341,581 | ) |
03/28/14
|
$ | (1,345,453 | ) | $ | (3,872 | ) | |||||
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 August 29, 2013 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 August 29, 2013 By (Signature and Title)* /s/ Mark Bradley Mark Bradley, Treasurer Date August 29, 2013 * Print the name and title of each signing officer under his or her signature.