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

                                   FORM N-Q

                   QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
    OF REGISTERED MANAGEMENT INVESTMENT COMPANY



  Investment Company Act file number 811-21043


                      Pioneer 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.






Pioneer High


Income  Trust






                                       NQ      | June 30, 2013





 


Ticker Symbol:  PHT


 





 









   
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.