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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)
Terrence J. Cullen, Pioneer Investment Management, Inc.,
60 State Street, Boston, MA 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 742-7825
Date of fiscal year end: March 31
Date of reporting period: December 31, 2014
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
<PAGE>
ITEM 1. Schedule of Investments.
File the schedules as of the close of the reporting period as set forth in
ss. 210.12-12 12-14 of Regulation S-X [17 CFR 210.12-12 12-14]. The
schedules need not be audited.
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Pioneer High
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Income Trust
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NQ | December 31, 2014
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Ticker Symbol: PHT
|
|
Principal
Amount
USD ($)
|
Value
|
||
|
ASSET BACKED SECURITIES - 1.2% of Net Assets
|
|||
|
BANKS - 0.2%
|
|||
|
Thrifts & Mortgage Finance - 0.2%
|
|||
|
412,000(a)
|
Citicorp Residential Mortgage Trust, Series 2006-2, Class M1, 5.918%, 9/25/36
|
$ 369,934
|
|
|
242,692(b)
|
Security National Mortgage Loan Trust, Series 2007-1A, Class 1A3, 6.55%, 4/25/37 (144A)
|
245,832
|
|
|
Total Banks
|
$ 615,766
|
||
|
CONSUMER SERVICES - 0.4%
|
|||
|
Hotels, Resorts, Cruise Lines - 0.4%
|
|||
|
155,581
|
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)
|
$ 158,596
|
|
|
946,729
|
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A)
|
984,040
|
|
|
134,007
|
Westgate Resorts LLC, Series 2013-1A, Class B, 3.75%, 8/20/25 (144A)
|
134,796
|
|
|
Total Consumer Services
|
$ 1,277,432
|
||
|
DIVERSIFIED FINANCIALS - 0.2%
|
|||
|
Thrifts & Mortgage Finance - 0.2%
|
|||
|
660,000(b)
|
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
|
$ 625,425
|
|
|
Total Diversified Financials
|
$ 625,425
|
||
|
TRANSPORTATION - 0.4%
|
|||
|
Airlines - 0.4%
|
|||
|
1,215,688(c)
|
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.641%, 5/15/24 (144A)
|
$ 474,118
|
|
|
566,186(c)
|
Aviation Capital Group Trust, Series 2000-1A, Class A1, 0.641%, 11/15/25 (144A)
|
232,136
|
|
|
1,348,890(c)
|
Lease Investment Flight Trust, Series 1, Class A1, 0.551%, 7/15/31
|
876,779
|
|
|
Total Transportation
|
$ 1,583,033
|
||
|
TOTAL ASSET BACKED SECURITIES
|
|||
|
(Cost $4,459,340)
|
$ 4,101,656
|
||
|
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.5% of Net Assets
|
|||
|
BANKS - 0.8%
|
|||
|
Thrifts & Mortgage Finance - 0.8%
|
|||
|
850,000(c)
|
BAMLL Commercial Mortgage Securities Trust, Series 2014-INLD, Class F, 2.693%, 12/15/29 (144A)
|
$ 755,049
|
|
|
252,015
|
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
|
246,118
|
|
|
250,000(b)
|
Springleaf Mortgage Loan Trust, Series 2013-1A, Class B1, 5.58%, 6/25/58 (144A)
|
258,159
|
|
|
498,000(b)
|
Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class AJ, 5.658%, 3/15/45
|
508,062
|
|
|
900,000(b)
|
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class AJ, 5.95%, 5/15/46
|
930,631
|
|
|
Total Banks
|
$ 2,698,019
|
||
|
DIVERSIFIED FINANCIALS - 0.7%
|
|||
|
Other Diversified Financial Services - 0.2%
|
|||
|
700,000(b)
|
LB-UBS Commercial Mortgage Trust, Series 2005-C2, Class C, 5.256%, 4/15/40
|
$ 704,992
|
|
|
Thrifts & Mortgage Finance - 0.5%
|
|||
|
586,769(a)
|
CAM Mortgage Trust, Series 2014-1, Class M, 5.5% , 12/15/53 (144A)
|
$ 587,156
|
|
|
200,000
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45
|
204,955
|
|
|
650,000(b)
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ, 6.011%, 2/15/51
|
658,325
|
|
|
375,000(c)
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-FL3, Class E, 2.952%, 4/15/28 (144A)
|
374,860
|
|
|
$ 1,825,296
|
|||
|
Total Diversified Financials
|
$ 2,530,288
|
||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|||
|
(Cost $5,136,587)
|
$ 5,228,307
|
||
|
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 7.2% of Net Assets * (c)
|
|||
|
CAPITAL GOODS - 0.4%
|
|||
|
Industrial Conglomerates - 0.4%
|
|||
|
1,240,000
|
Filtration Group Corp., Second Lien Initial Term Loan, 8.25%, 11/22/21
|
$ 1,244,650
|
|
|
Total Capital Goods
|
$ 1,244,650
|
||
|
Principal
Amount
USD ($)
|
Value
|
||
|
CONSUMER SERVICES - 0.8%
|
|||
|
Education Services - 0.8%
|
|||
|
2,871,000
|
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19
|
$ 2,869,803
|
|
|
Total Consumer Services
|
$ 2,869,803
|
||
|
ENERGY - 1.3%
|
|||
|
Coal & Consumable Fuels - 0.1%
|
|||
|
587,500
|
PT Bumi Resources Tbk, Term Loan, 18.0%, 8/15/14
|
$ 235,000
|
|
|
Oil & Gas Drilling - 0.2%
|
|||
|
1,050,500
|
Jonah Energy LLC, Second Lien Initial Loan, 7.5%, 5/12/21
|
$ 908,683
|
|
|
Oil & Gas Equipment & Services - 0.4%
|
|||
|
1,950,000
|
Templar Energy LLC, Second Lien New Term Loan, 8.5%, 11/25/20
|
$ 1,408,875
|
|
|
Oil & Gas Exploration & Production - 0.6%
|
|||
|
2,664,204
|
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20
|
$ 1,962,186
|
|
|
Total Energy
|
$ 4,514,744
|
||
|
FOOD, BEVERAGE & TOBACCO - 0.9%
|
|||
|
Agricultural Products - 0.3%
|
|||
|
1,046,525
|
Arysta LifeScience SPC LLC, Initial Second Lien Term Loan, 8.25%, 11/30/20
|
$ 1,045,871
|
|
|
Packaged Foods & Meats - 0.6%
|
|||
|
2,163,650
|
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20
|
$ 2,206,923
|
|
|
Total Food, Beverage & Tobacco
|
$ 3,252,794
|
||
|
HEALTH CARE EQUIPMENT & SERVICES - 1.0%
|
|||
|
Health Care Equipment & Services - 0.3%
|
|||
|
875,000
|
Accellent, Inc. (Medical Device/UTI), Second Lien Term Loan, 7.5%, 3/11/22
|
$ 826,875
|
|
|
Health Care Services - 0.4%
|
|||
|
1,336,128
|
Gentiva Health Services, Inc., Initial Term Loan B, 6.5%, 10/18/19
|
$ 1,337,798
|
|
|
Health Care Technology - 0.3%
|
|||
|
1,146,654
|
Medical Card System, Inc., Term Loan, 10.0%, 3/17/17
|
$ 1,100,788
|
|
|
Total Health Care Equipment & Services
|
$ 3,265,461
|
||
|
INSURANCE - 0.6%
|
|||
|
Property & Casualty Insurance - 0.6%
|
|||
|
1,885,452
|
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
|
$ 1,884,666
|
|
|
Total Insurance
|
$ 1,884,666
|
||
|
MATERIALS - 0.2%
|
|||
|
Diversified Metals & Mining - 0.0%†
|
|||
|
100,918(d)
|
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/20/13
|
$ 34,312
|
|
|
Steel - 0.2%
|
|||
|
588,525
|
Essar Steel Algoma Inc., Initial Term Loan, 7.5%, 8/16/19
|
$ 586,318
|
|
|
Total Materials
|
$ 620,630
|
||
|
MEDIA - 0.3%
|
|||
|
Publishing - 0.3%
|
|||
|
483,348
|
Cengage Learning Acquisitions, Inc. (fka TL Acquisitions, Inc.), Term Loan, 7.0%, 3/31/20
|
$ 479,118
|
|
|
379,280
|
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
|
378,332
|
|
|
Total Media
|
$ 857,450
|
||
|
RETAILING - 0.8%
|
|||
|
Automotive Retail - 0.5%
|
|||
|
1,608,750
|
CWGS Group LLC, Term Loan, 5.75%, 2/20/20
|
$ 1,602,717
|
|
|
Computer & Electronics Retail - 0.3%
|
|||
|
1,354,709
|
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16
|
$ 1,104,088
|
|
|
Total Retailing
|
$ 2,706,805
|
||
|
SOFTWARE & SERVICES - 0.7%
|
|||
|
Application Software - 0.7%
|
|||
|
2,500,000
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17
|
$ 2,514,582
|
|
|
Total Software & Services
|
$ 2,514,582
|
||
|
Principal
Amount
USD ($)
|
Value
|
||
|
UTILITIES - 0.2%
|
|||
|
Electric Utilities - 0.2%
|
|||
|
1,316,443
|
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.648%, 10/10/17
|
$ 852,397
|
|
|
Total Utilities
|
$ 852,397
|
||
|
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||
|
(Cost $26,801,435)
|
$ 24,583,982
|
||
|
CORPORATE BONDS & NOTES - 108.9% of Net Assets
|
|||
|
AUTOMOBILES & COMPONENTS - 3.1%
|
|||
|
Auto Parts & Equipment - 1.1%
|
|||
|
1,140,000(e)
|
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
|
$ 1,188,450
|
|
|
580,000
|
Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A)
|
611,900
|
|
|
2,035,000(e)
|
Stackpole International Intermediate / Stackpole International Powder, 7.75%, 10/15/21 (144A)
|
2,035,000
|
|
|
$ 3,835,350
|
|||
|
Automobile Manufacturers - 2.0%
|
|||
|
6,000,000(e)
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.0%, 6/15/19
|
$ 6,307,500
|
|
|
500,000(e)
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21
|
553,750
|
|
|
$ 6,861,250
|
|||
|
Total Automobiles & Components
|
$ 10,696,600
|
||
|
BANKS - 1.2%
|
|||
|
Regional Banks - 0.4%
|
|||
|
1,225,000(b)(e)(f)
|
PNC Financial Services Group, Inc., 4.451%, 5/29/49
|
$ 1,225,000
|
|
|
Thrifts & Mortgage Finance - 0.8%
|
|||
|
2,925,000(e)
|
Provident Funding Associates LP / PFG Finance Corp., 6.75%, 6/15/21 (144A)
|
$ 2,837,250
|
|
|
Total Banks
|
$ 4,062,250
|
||
|
CAPITAL GOODS - 6.9%
|
|||
|
Aerospace & Defense - 1.8%
|
|||
|
2,200,000
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$ 2,134,000
|
|
|
3,084,000(e)
|
DynCorp International, Inc., 10.375%, 7/1/17
|
2,621,400
|
|
|
1,025,000
|
LMI Aerospace, Inc., 7.375%, 7/15/19 (144A)
|
999,375
|
|
|
525,000
|
Triumph Group, Inc., 5.25%, 6/1/22
|
523,687
|
|
|
$ 6,278,462
|
|||
|
Building Products - 0.1%
|
|||
|
400,000
|
Griffon Corp., 5.25%, 3/1/22
|
$ 374,500
|
|
|
Construction & Engineering - 0.4%
|
|||
|
1,500,000(e)
|
Abengoa Finance SAU, 8.875%, 11/1/17 (144A)
|
$ 1,425,000
|
|
|
Construction & Farm Machinery & Heavy Trucks - 0.6%
|
|||
|
2,000,000
|
Navistar International Corp., 8.25%, 11/1/21
|
$ 1,972,500
|
|
|
Electrical Components & Equipment - 0.6%
|
|||
|
2,000,000(e)
|
WireCo WorldGroup, Inc., 9.5%, 5/15/17
|
$ 2,015,000
|
|
|
Industrial Conglomerates - 0.4%
|
|||
|
253,000(e)
|
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)
|
$ 263,120
|
|
|
605,000
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
653,400
|
|
|
415,000
|
Waterjet Holdings, Inc., 7.625%, 2/1/20 (144A)
|
427,450
|
|
|
$ 1,343,970
|
|||
|
Industrial Machinery - 2.2%
|
|||
|
1,075,000
|
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)
|
$ 919,125
|
|
|
1,040,000(e)
|
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
|
1,094,600
|
|
|
1,080,000(e)
|
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
|
899,100
|
|
|
4,500,000(e)
|
Xerium Technologies, Inc., 8.875%, 6/15/18
|
4,727,813
|
|
|
$ 7,640,638
|
|||
|
Trading Companies & Distributors - 0.8%
|
|||
|
2,510,000
|
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19
|
$ 2,710,800
|
|
|
Total Capital Goods
|
$ 23,760,870
|
||
|
COMMERCIAL & PROFESSIONAL SERVICES - 1.9%
|
|||
|
Commercial Printing - 0.7%
|
|||
|
1,675,000
|
Multi-Color Corp., 6.125%, 12/1/22 (144A)
|
$ 1,675,000
|
|
|
700,000
|
Mustang Merger Corp., 8.5%, 8/15/21 (144A)
|
665,000
|
|
|
$ 2,340,000
|
|||
|
Diversified Support Services - 1.2%
|
|||
|
3,900,000(e)
|
NANA Development Corp., 9.5%, 3/15/19 (144A)
|
$ 3,510,000
|
|
Principal
Amount
USD ($)
|
Value
|
||
|
Diversified Support Services (continued)
|
|||
|
660,000
|
Transfield Services, Ltd., 8.375%, 5/15/20 (144A)
|
$ 702,900
|
|
|
$ 4,212,900
|
|||
|
Environmental & Facilities Services - 0.0%†
|
|||
|
2,180,000(d)(g)
|
Old AII, Inc., 10.0%, 12/15/16
|
$ 22
|
|
|
Total Commercial & Professional Services
|
$ 6,552,922
|
||
|
CONSUMER DURABLES & APPAREL - 4.3%
|
|||
|
Homebuilding - 0.8%
|
|||
|
750,000(e)
|
Beazer Homes USA, Inc., 9.125%, 5/15/19
|
$ 783,750
|
|
|
1,975,000(e)
|
Rialto Holdings LLC / Rialto Corp., 7.0%, 12/1/18 (144A)
|
2,004,625
|
|
|
200,000(d)(g)
|
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A)
|
20,000
|
|
|
$ 2,808,375
|
|||
|
Housewares & Specialties - 1.8%
|
|||
|
1,435,000(e)
|
Jarden Corp., 7.5%, 5/1/17
|
$ 1,571,325
|
|
|
3,000,000(e)
|
Reynolds Group Issuer, Inc., 9.0%, 4/15/19
|
3,105,000
|
|
|
1,430,000(e)
|
Reynolds Group Issuer, Inc., 9.875%, 8/15/19
|
1,515,800
|
|
|
$ 6,192,125
|
|||
|
Leisure Products - 1.6%
|
|||
|
EUR
|
800,000
|
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
|
$ 743,093
|
|
4,000,000
|
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)
|
3,760,000
|
|
|
880,000
|
PC Nextco Holdings LLC / PC Nextco Finance, Inc., 8.75%, 8/15/19
|
884,400
|
|
|
$ 5,387,493
|
|||
|
Textiles - 0.1%
|
|||
|
460,000
|
Polymer Group, Inc., 6.875%, 6/1/19 (144A)
|
$ 441,600
|
|
|
Total Consumer Durables & Apparel
|
$ 14,829,593
|
||
|
CONSUMER SERVICES - 4.1%
|
|||
|
Business Services - 0.7%
|
|||
|
1,750,000(e)
|
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A)
|
$ 1,741,250
|
|
|
1,000,000
|
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18
|
785,000
|
|
|
$ 2,526,250
|
|||
|
Casinos & Gaming - 2.4%
|
|||
|
643,728(d)(g)(h)
|
Mashantucket Western Pequot Tribe, 6.5% (6.5% PIK 1.0% cash), 7/1/36
|
$ 6,437
|
|
|
1,700,000(e)
|
MGM Resorts International, 6.0%, 3/15/23
|
1,708,500
|
|
|
1,225,000
|
Scientific Games International, Inc., 6.25%, 9/1/20
|
857,500
|
|
|
3,000,000(e)
|
Scientific Games International, Inc., 6.625%, 5/15/21 (144A)
|
2,092,500
|
|
|
3,800,000(e)
|
Scientific Games International, Inc., 10.0%, 12/1/22 (144A)
|
3,481,750
|
|
|
$ 8,146,687
|
|||
|
Education Services - 0.2%
|
|||
|
555,000
|
Cambium Learning Group, Inc., 9.75%, 2/15/17
|
$ 543,900
|
|
|
Restaurants - 0.6%
|
|||
|
2,000,000(e)
|
PF Chang's China Bistro, Inc., 10.25%, 6/30/20 (144A)
|
$ 1,995,000
|
|
|
Specialized Consumer Services - 0.2%
|
|||
|
740,000(e)
|
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21
|
$ 754,800
|
|
|
Total Consumer Services
|
$ 13,966,637
|
||
|
DIVERSIFIED FINANCIALS - 6.1%
|
|||
|
Asset Management & Custody Banks - 0.3%
|
|||
|
975,000(e)
|
Janus Capital Group, Inc., 6.7%, 6/15/17
|
$ 1,078,765
|
|
|
Consumer Finance - 0.7%
|
|||
|
1,030,000(e)
|
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
|
$ 957,900
|
|
|
1,720,000(e)
|
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
|
1,444,800
|
|
|
$ 2,402,700
|
|||
|
Diversified Banks - 0.3%
|
|||
|
1,200,000(b)
|
Access Bank Plc, 9.25%, 6/24/21 (144A)
|
$ 1,104,000
|
|
|
Diversified Capital Markets - 0.2%
|
|||
|
700,000(b)(e)(f)
|
Credit Suisse Group AG, 7.5%, 12/29/49 (144A)
|
$ 728,000
|
|
|
Investment Banking & Brokerage - 0.5%
|
|||
|
2,325,000(b)(e)(f)
|
Goldman Sachs Capital II, 4.0%, 12/29/49
|
$ 1,708,875
|
|
|
Multi-Sector Holdings - 0.5%
|
|||
|
2,200,000(e)
|
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A)
|
$ 1,727,000
|
|
|
Other Diversified Financial Services - 1.3%
|
|||
|
2,250,000(b)(e)(f)
|
Bank of America Corp., 6.25%, 9/29/49
|
$ 2,223,984
|
|
|
3,000,000(a)(e)(g)(i)
|
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A)
|
2,158,604
|
|
|
$ 4,382,588
|
|
Principal
Amount
USD ($)
|
Value
|
||
|
Specialized Finance - 2.3%
|
|||
|
845,000(h)
|
AAF Holdings LLC / AAF Finance Co., 12.0% (12.5% PIK 12.0% cash), 7/1/19 (144A)
|
$ 819,650
|
|
|
1,645,000(e)
|
DFC Finance Corp., 10.5%, 6/15/20 (144A)
|
1,394,137
|
|
|
1,410,000
|
Global Partners LP / GLP Finance Corp., 6.25%, 7/15/22 (144A)
|
1,367,700
|
|
|
425,000
|
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
|
386,750
|
|
|
2,845,000
|
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 6/1/22
|
2,596,063
|
|
|
1,325,000
|
Ocwen Financial Corp., 6.625%, 5/15/19 (144A)
|
1,212,375
|
|
|
$ 7,776,675
|
|||
|
Total Diversified Financials
|
$ 20,908,603
|
||
|
ENERGY - 16.6%
|
|||
|
Coal & Consumable Fuels - 0.4%
|
|||
|
670,000
|
Alpha Natural Resources, Inc., 7.5%, 8/1/20 (144A)
|
$ 422,100
|
|
|
2,125,000(d)
|
James River Coal Co., 7.875%, 4/1/19
|
5,312
|
|
|
800,000(e)
|
Murray Energy Corp., 8.625%, 6/15/21 (144A)
|
764,000
|
|
|
$ 1,191,412
|
|||
|
Integrated Oil & Gas - 0.5%
|
|||
|
380,000
|
American Energy-Permian Basin LLC / AEPB Finance Corp., 7.375%, 11/1/21 (144A)
|
$ 279,300
|
|
|
1,214,000
|
Energy XXI Gulf Coast, Inc., 6.875%, 3/15/24 (144A)
|
655,560
|
|
|
750,000
|
YPF SA, 8.875%, 12/19/18 (144A)
|
775,575
|
|
|
$ 1,710,435
|
|||
|
Oil & Gas Drilling - 1.1%
|
|||
|
1,500,000(e)
|
Hercules Offshore, Inc., 8.75%, 7/15/21 (144A)
|
$ 690,000
|
|
|
2,500,000
|
Ocean Rig UDW, Inc., 7.25%, 4/1/19 (144A)
|
1,750,000
|
|
|
1,800,000(e)
|
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)
|
1,476,000
|
|
|
$ 3,916,000
|
|||
|
Oil & Gas Equipment & Services - 1.0%
|
|||
|
1,020,000
|
McDermott International, Inc., 8.0%, 5/1/21 (144A)
|
$ 714,000
|
|
|
1,500,000
|
Sanjel Corp., 7.5%, 6/19/19 (144A)
|
1,125,000
|
|
|
1,750,000
|
Seitel, Inc., 9.5%, 4/15/19
|
1,452,500
|
|
|
$ 3,291,500
|
|||
|
Oil & Gas Exploration & Production - 11.5%
|
|||
|
1,435,000
|
Approach Resources, Inc., 7.0%, 6/15/21
|
$ 1,061,900
|
|
|
4,332,000(e)
|
Comstock Resources, Inc., 7.75%, 4/1/19
|
3,075,720
|
|
|
3,850,000(e)
|
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20
|
3,888,500
|
|
|
1,295,000(e)
|
EPL Oil & Gas, Inc., 8.25%, 2/15/18
|
984,200
|
|
|
2,015,000
|
Gulfport Energy Corp., 7.75%, 11/1/20
|
1,969,662
|
|
|
785,000(e)
|
Halcon Resources Corp., 8.875%, 5/15/21
|
590,712
|
|
|
1,205,000(e)
|
Halcon Resources Corp., 9.25%, 2/15/22
|
888,688
|
|
|
3,360,000(e)
|
Halcon Resources Corp., 9.75%, 7/15/20
|
2,520,000
|
|
|
1,140,000
|
Jupiter Resources, Inc., 8.5%, 10/1/22 (144A)
|
857,850
|
|
|
1,050,000
|
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.625%, 12/1/21 (144A)
|
855,750
|
|
|
900,000
|
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.625%, 12/1/21
|
733,500
|
|
|
2,235,000(e)
|
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A)
|
1,564,500
|
|
|
800,000
|
Linn Energy LLC / Linn Energy Finance Corp., 6.5%, 9/15/21
|
648,000
|
|
|
2,610,000
|
Memorial Production Partners LP / Memorial Production Finance Corp., 6.875%, 8/1/22 (144A)
|
1,983,600
|
|
|
2,000,000(e)
|
Midstates Petroleum Co., Inc., 9.25%, 6/1/21
|
1,000,000
|
|
|
1,050,000(e)
|
Midstates Petroleum Co., Inc., 10.75%, 10/1/20
|
556,500
|
|
|
1,050,000
|
MIE Holdings Corp., 7.5%, 4/25/19 (144A)
|
792,750
|
|
|
590,000
|
Parsley Energy LLC / Parsley Finance Corp., 7.5%, 2/15/22 (144A)
|
559,025
|
|
|
2,485,000
|
Penn Virginia Corp., 7.25%, 4/15/19
|
1,938,300
|
|
|
2,750,000
|
PetroQuest Energy, Inc., 10.0%, 9/1/17
|
2,406,250
|
|
|
3,380,000
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
270,400
|
|
|
900,000
|
Rice Energy, Inc., 6.25%, 5/1/22 (144A)
|
837,000
|
|
|
735,000
|
RSP Permian, Inc., 6.625%, 10/1/22 (144A)
|
683,550
|
|
|
5,500,000(e)
|
Samson Investment Co., 9.75%, 2/15/20
|
2,279,063
|
|
|
4,035,000(e)
|
Sanchez Energy Corp., 7.75%, 6/15/21
|
3,752,550
|
|
|
2,770,000(e)
|
Talos Production LLC / Talos Production Finance, Inc., 9.75%, 2/15/18 (144A)
|
2,520,700
|
|
|
$ 39,218,670
|
|||
|
Oil & Gas Refining & Marketing - 1.6%
|
|||
|
3,100,000
|
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21 (144A)
|
$ 2,759,000
|
|
|
3,000,000(e)
|
Seven Generations Energy, Ltd., 8.25%, 5/15/20 (144A)
|
2,880,000
|
|
|
$ 5,639,000
|
|
Principal
Amount
USD ($)
|
Value
|
||
|
Oil & Gas Storage & Transportation - 0.5%
|
|||
|
1,524,000(c)(e)
|
Energy Transfer Partners LP, 3.25%, 11/1/66
|
$ 1,363,980
|
|
|
350,000(b)(e)
|
Enterprise Products Operating LLC, 8.375%, 8/1/66
|
375,813
|
|
|
$ 1,739,793
|
|||
|
Total Energy
|
$ 56,706,810
|
||
|
FOOD, BEVERAGE & TOBACCO - 6.7%
|
|||
|
Agricultural Products - 1.2%
|
|||
|
2,100,000(e)
|
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)
|
$ 2,163,000
|
|
|
1,215,000
|
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)
|
1,038,825
|
|
|
1,100,000
|
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A)
|
610,500
|
|
|
575,000
|
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)
|
431,250
|
|
|
$ 4,243,575
|
|||
|
Packaged Foods & Meats - 4.5%
|
|||
|
775,000
|
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)
|
$ 840,875
|
|
|
1,250,000
|
CFG Investment SAC, 9.75%, 7/30/19 (144A)
|
1,087,500
|
|
|
388,000(e)
|
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21
|
417,100
|
|
|
3,500,000(e)
|
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
|
3,657,500
|
|
|
1,240,000
|
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)
|
1,153,200
|
|
|
1,000,000
|
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
|
985,000
|
|
|
1,200,000
|
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)
|
1,249,200
|
|
|
3,400,000(e)
|
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
|
3,332,000
|
|
|
400,000
|
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
|
460,400
|
|
|
2,100,000
|
Post Holdings, Inc., 7.375%, 2/15/22
|
2,100,000
|
|
|
$ 15,282,775
|
|||
|
Tobacco - 1.0%
|
|||
|
3,835,000(e)
|
Alliance One International, Inc., 9.875%, 7/15/21
|
$ 3,422,738
|
|
|
Total Food, Beverage & Tobacco
|
$ 22,949,088
|
||
|
HEALTH CARE EQUIPMENT & SERVICES - 6.9%
|
|||
|
Health Care Equipment & Services - 1.2%
|
|||
|
3,799,000(e)
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
$ 4,026,940
|
|
|
Health Care Facilities - 1.8%
|
|||
|
2,560,000(e)
|
CHS/Community Health Systems, Inc., 6.875%, 2/1/22
|
$ 2,712,000
|
|
|
2,400,000
|
Kindred Healthcare, Inc., 6.375%, 4/15/22 (144A)
|
2,286,000
|
|
|
600,000(e)
|
United Surgical Partners International, Inc., 9.0%, 4/1/20
|
644,250
|
|
|
835,000
|
Universal Hospital Services, Inc., 7.625%, 8/15/20
|
718,100
|
|
|
$ 6,360,350
|
|||
|
Health Care Services - 2.0%
|
|||
|
2,250,000(e)
|
BioScrip, Inc., 8.875%, 2/15/21 (144A)
|
$ 2,025,000
|
|
|
2,527,000(e)
|
Gentiva Health Services, Inc., 11.5%, 9/1/18
|
2,688,728
|
|
|
2,000,000
|
Kindred Escrow Corp. II, 8.0%, 1/15/20 (144A)
|
2,125,000
|
|
|
$ 6,838,728
|
|||
|
Health Care Supplies - 0.9%
|
|||
|
3,000,000(e)
|
Immucor, Inc., 11.125%, 8/15/19
|
$ 3,240,000
|
|
|
Health Care Technology - 0.3%
|
|||
|
900,000(e)
|
Emdeon, Inc., 11.0%, 12/31/19
|
$ 978,750
|
|
|
IT Consulting & Other Services - 0.7%
|
|||
|
2,380,000(e)
|
Truven Health Analytics, Inc., 10.625%, 6/1/20
|
$ 2,320,500
|
|
|
Total Health Care Equipment & Services
|
$ 23,765,268
|
||
|
HOUSEHOLD & PERSONAL PRODUCTS - 1.5%
|
|||
|
Household Products - 0.3%
|
|||
|
1,160,000
|
Springs Industries, Inc., 6.25%, 6/1/21
|
$ 1,154,200
|
|
|
Personal Products - 1.2%
|
|||
|
1,745,000
|
Albea Beauty Holdings SA, 8.375%, 11/1/19 (144A)
|
$ 1,832,250
|
|
|
2,315,000(e)
|
Monitronics International, Inc., 9.125%, 4/1/20
|
2,186,228
|
|
|
$ 4,018,478
|
|||
|
Total Household & Personal Products
|
$ 5,172,678
|
||
|
INSURANCE - 10.6%
|
|||
|
Insurance Brokers - 0.5%
|
|||
|
GBP
|
1,625,000(e)
|
Towergate Finance Plc, 10.5%, 2/15/19 (144A)
|
$ 721,780
|
|
1,000,000(e)
|
USI, Inc., 7.75%, 1/15/21 (144A)
|
975,000
|
|
|
$ 1,696,780
|
|||
|
Multi-Line Insurance - 1.9%
|
|||
|
3,075,000(b)(e)
|
Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A)
|
$ 4,746,622
|
|
Principal
Amount
USD ($)
|
Value
|
||
|
Multi-Line Insurance (continued)
|
|||
|
1,100,000(e)
|
MetLife, Inc., 10.75%, 8/1/39
|
$ 1,787,500
|
|
|
$ 6,534,122
|
|||
|
Property & Casualty Insurance - 2.0%
|
|||
|
5,300,000(e)
|
Hanover Insurance Corp., 7.625%, 10/15/25
|
$ 6,391,487
|
|
|
265,000(b)(e)(f)
|
White Mountains Insurance Group, Ltd., 7.506%, 5/29/49 (144A)
|
275,865
|
|
|
$ 6,667,352
|
|||
|
Reinsurance - 6.2%
|
|||
|
400,000(g)
|
Arlington Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 8/1/15
|
$ 432,560
|
|
|
250,000(c)
|
Atlas Reinsurance VII, Ltd., 8.125%, 1/7/16 (144A) (Cat Bond)
|
256,750
|
|
|
500,000(c)
|
Blue Danube II, Ltd., 4.279%, 5/23/16 (144A) (Cat Bond)
|
503,800
|
|
|
400,000(c)
|
Caelus Re 2013, Ltd., 6.88%, 4/7/17 (144A) (Cat Bond)
|
416,440
|
|
|
500,000(c)
|
Caelus Re, Ltd., 5.28%, 3/7/16 (144A) (Cat Bond)
|
506,400
|
|
|
560,000
|
Carnoustie Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 2/19/16
|
560,000
|
|
|
250,000(c)
|
Combine Re, Ltd., 10.03%, 1/7/15 (144A) (Cat Bond)
|
249,975
|
|
|
1,000,000(c)
|
Combine Re, Ltd., 17.78%, 1/7/15 (144A) (Cat Bond)
|
1,000,100
|
|
|
250,000(c)
|
Compass Re, Ltd., 10.28%, 1/8/15 (144A) (Cat Bond)
|
250,000
|
|
|
250,000(c)
|
Compass Re, Ltd., 11.28%, 1/8/15 (144A) (Cat Bond)
|
250,025
|
|
|
250,000(c)
|
East Lane Re V, Ltd., 9.03%, 3/16/16 (144A) (Cat Bond)
|
265,425
|
|
|
250,000(b)
|
Embarcadero Re, Ltd., 7.412%, 2/13/15 (144A) (Cat Bond)
|
249,925
|
|
|
913,500
|
Exeter Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/7/16
|
913,500
|
|
|
600,000
|
Fairfield Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 2/2/16
|
548,220
|
|
|
500,000(c)
|
Galileo Re, Ltd., 7.43%, 1/9/17 (144A) (Cat Bond)
|
514,950
|
|
|
750,000(g)
|
Gloucester Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 0.0%, 6/12/15
|
711,075
|
|
|
750,000(c)
|
Kilimanjaro Re, Ltd., 4.78%, 4/30/18 (144A) (Cat Bond)
|
764,625
|
|
|
750,000(c)
|
Mystic Re, Ltd., 12.03%, 3/12/15 (144A) (Cat Bond)
|
761,400
|
|
|
1,000,000(g)
|
Pangaea Re, 0.0%, 7/1/18 (Cat Bond)
|
1,064,300
|
|
|
250,000(c)(e)
|
Queen Street V Re, Ltd., 8.53%, 4/9/15 (144A) (Cat Bond)
|
252,650
|
|
|
250,000(c)
|
Queen Street VI Re, Ltd., 10.38%, 4/9/15 (144A) (Cat Bond)
|
253,125
|
|
|
725,000(c)
|
Residential Reinsurance 2011, Ltd., 8.78%, 6/6/15 (144A) (Cat Bond)
|
741,820
|
|
|
250,000(c)
|
Residential Reinsurance 2011, Ltd., 8.93%, 12/6/15 (144A) (Cat Bond)
|
257,875
|
|
|
250,000(c)
|
Residential Reinsurance 2011, Ltd., 9.03%, 6/6/15 (144A) (Cat Bond)
|
256,600
|
|
|
250,000(c)
|
Residential Reinsurance 2012, Ltd., 8.03%, 6/6/16 (144A) (Cat Bond)
|
267,350
|
|
|
250,000(c)
|
Residential Reinsurance 2012, Ltd., 10.03%, 6/6/16 (144A) (Cat Bond)
|
271,675
|
|
|
400,000(c)
|
Residential Reinsurance 2012, Ltd., 12.78%, 12/6/16 (144A) (Cat Bond)
|
436,160
|
|
|
250,000(c)
|
Residential Reinsurance 2012, Ltd., 19.03%, 12/6/16 (144A) (Cat Bond)
|
280,075
|
|
|
400,000(c)
|
Residential Reinsurance 2012, Ltd., 22.03%, 6/6/16 (144A) (Cat Bond)
|
461,640
|
|
|
250,000(c)
|
Residential Reinsurance 2013, Ltd., 9.28%, 6/6/17 (144A) (Cat Bond)
|
265,900
|
|
|
500,000(c)
|
Sanders Re, Ltd., 4.03%, 5/5/17 (144A) (Cat Bond)
|
498,800
|
|
|
3,600(g)(j)
|
Sector Re V, Ltd., Series 2, Class C, 12/1/17 (144A) (Cat Bond)
|
–
|
|
|
924(g)(j)
|
Sector Re V, Ltd., Series 3, Class A, 3/1/18 (144A) (Cat Bond)
|
23,335
|
|
|
3,439(g)(j)
|
Sector Re V, Ltd., Series 3, Class C, 12/1/17 (144A) (Cat Bond)
|
143,820
|
|
|
850,000(j)
|
Sector Re V, Ltd., Series 4, Class A, 3/30/19 (144A) (Cat Bond)
|
993,735
|
|
|
800,000(j)
|
Sector Re V, Ltd., Series 4, Class C, 12/1/19 (144A) (Cat Bond)
|
804,160
|
|
|
800,000(j)
|
Silverton RE, Ltd., 9/18/17 (144A) (Cat Bond)
|
800,000
|
|
|
600,000(g)(j)
|
Silverton RE, Ltd., 9/16/16 (144A) (Cat Bond)
|
743,580
|
|
|
500,000
|
St. Andrews Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/22/16
|
500,000
|
|
|
250,000(c)
|
Successor X, Ltd., 16.53%, 1/27/15 (144A) (Cat Bond)
|
250,750
|
|
|
300,000(c)
|
Tar Heel Re, Ltd., 8.53%, 5/9/16 (144A) (Cat Bond)
|
317,220
|
|
|
1,012,000
|
Turnberry Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/15/16
|
1,012,000
|
|
|
1,250,000
|
Versutus, Ltd., Series 2015-A, Variable Rate Notes, 12/31/2017 (Cat Bond)
|
1,250,000
|
|
|
$ 21,301,740
|
|||
|
Total Insurance
|
$ 36,199,994
|
||
|
MATERIALS - 12.9%
|
|||
|
Commodity Chemicals - 1.6%
|
|||
|
3,250,000(e)
|
Basell Finance Co. BV, 8.1%, 3/15/27 (144A)
|
$ 4,355,211
|
|
|
1,100,000
|
Rain CII Carbon LLC / CII Carbon Corp., 8.25%, 1/15/21 (144A)
|
1,124,750
|
|
|
$ 5,479,961
|
|||
|
Construction Materials - 0.2%
|
|||
|
1,635,000
|
OAS Finance, Ltd., 8.0%, 7/2/21 (144A)
|
$ 523,200
|
|
|
Diversified Metals & Mining - 1.6%
|
|||
|
2,000,000(e)
|
Global Brass & Copper, Inc., 9.5%, 6/1/19
|
$ 2,160,000
|
|
|
3,000,000(d)
|
Midwest Vanadium Pty, Ltd., 11.5%, 2/15/18 (144A)
|
450,000
|
|
Principal
Amount
USD ($)
|
Value
|
||
|
Diversified Metals & Mining (continued)
|
|||
|
1,668,667(g)
|
Mirabela Nickel, Ltd., 9.5% (9.5% PIK 0.0% cash), 6/20/19
|
$ 1,334,934
|
|
|
1,410,000
|
Prince Mineral Holding Corp., 12.5%, 12/15/19 (144A)
|
1,438,200
|
|
|
$ 5,383,134
|
|||
|
Forest Products - 1.2%
|
|||
|
4,000,000(e)
|
Millar Western Forest Products, Ltd., 8.5%, 4/1/21
|
$ 4,140,000
|
|
|
Gold - 0.7%
|
|||
|
3,255,000(e)
|
IAMGOLD Corp., 6.75%, 10/1/20 (144A)
|
$ 2,451,666
|
|
|
Metal & Glass Containers - 1.4%
|
|||
|
1,565,765(h)
|
Ardagh Finance Holdings SA, 8.625% (8.625% PIK 0.0% cash), 6/15/19 (144A)
|
$ 1,542,278
|
|
|
EUR
|
2,250,000(e)
|
Ardagh Glass Finance Plc, 8.75% , 2/1/20 (144A)
|
2,804,918
|
|
500,000
|
Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II Is, 6.0%, 6/15/17 (144A)
|
487,500
|
|
|
$ 4,834,696
|
|||
|
Paper Packaging - 1.4%
|
|||
|
2,150,057(a)
|
Bio Pappel SAB de CV, 10.0%, 8/27/16
|
$ 2,130,707
|
|
|
2,220,000(e)
|
Exopack Holding Corp., 10.0%, 6/1/18 (144A)
|
2,353,200
|
|
|
445,000
|
Exopack Holding SA, 7.875%, 11/1/19 (144A)
|
458,350
|
|
|
$ 4,942,257
|
|||
|
Paper Products - 1.0%
|
|||
|
1,590,000(e)
|
Appvion, Inc., 9.0%, 6/1/20 (144A)
|
$ 1,089,150
|
|
|
1,800,000
|
Mercer International, Inc., 7.0%, 12/1/19 (144A)
|
1,818,000
|
|
|
595,000(e)
|
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)
|
586,075
|
|
|
$ 3,493,225
|
|||
|
Specialty Chemicals - 0.8%
|
|||
|
3,330,000
|
Hexion US Finance Corp., 9.0%, 11/15/20
|
$ 2,380,950
|
|
|
190,000
|
Rentech Nitrogen Partners LP / Rentech Nitrogen Finance Corp., 6.5%, 4/15/21 (144A)
|
169,100
|
|
|
$ 2,550,050
|
|||
|
Steel - 3.0%
|
|||
|
700,000
|
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A)
|
$ 532,000
|
|
|
1,900,000
|
Metinvest BV, 8.75%, 2/14/18 (144A)
|
1,045,000
|
|
|
2,915,000
|
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
|
3,031,600
|
|
|
1,578,000(e)
|
Permian Holdings, Inc., 10.5%, 1/15/18 (144A)
|
1,183,500
|
|
|
3,750,000(e)
|
Ryerson, Inc., 9.0%, 10/15/17
|
3,853,125
|
|
|
720,000
|
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp., 7.375%, 2/1/20 (144A)
|
747,900
|
|
|
$ 10,393,125
|
|||
|
Total Materials
|
$ 44,191,314
|
||
|
MEDIA - 5.9%
|
|||
|
Broadcasting - 1.5%
|
|||
|
1,000,000(e)
|
Intelsat Luxembourg SA, 7.75%, 6/1/21
|
$ 1,002,500
|
|
|
3,805,000(e)
|
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A)
|
4,052,325
|
|
|
$ 5,054,825
|
|||
|
Cable - 0.6%
|
|||
|
1,500,000(e)
|
Ono Finance II Plc, 10.875%, 7/15/19 (144A)
|
$ 1,590,000
|
|
|
EUR
|
350,000
|
Ono Finance II Plc, 11.125%, 7/15/19 (144A)
|
449,037
|
|
$ 2,039,037
|
|||
|
Movies & Entertainment - 3.1%
|
|||
|
2,765,000(e)
|
AMC Entertainment, Inc., 9.75%, 12/1/20
|
$ 3,006,937
|
|
|
1,400,000(e)
|
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)
|
1,344,000
|
|
|
1,900,000
|
Production Resource Group, Inc., 8.875%, 5/1/19
|
1,396,500
|
|
|
1,890,000(e)
|
SFX Entertainment, Inc., 9.625%, 2/1/19 (144A)
|
1,743,525
|
|
|
3,575,000(e)
|
WMG Acquisition Corp., 6.75%, 4/15/22 (144A)
|
3,253,250
|
|
|
$ 10,744,212
|
|||
|
Publishing - 0.7%
|
|||
|
2,200,000(e)(g)
|
MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A)
|
$ 2,365,000
|
|
|
Total Media
|
$ 20,203,074
|
||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.9%
|
|||
|
Biotechnology - 1.6%
|
|||
|
1,400,000(e)
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$ 1,477,000
|
|
|
4,104,000(e)
|
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
|
3,939,840
|
|
|
$ 5,416,840
|
|||
|
Pharmaceuticals - 0.3%
|
|||
|
1,240,000(e)
|
JLL/Delta Dutch Newco BV, 7.5%, 2/1/22 (144A)
|
$ 1,258,600
|
|
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 6,675,440
|
||
|
Principal
Amount
USD ($)
|
Value
|
||
|
REAL ESTATE - 0.5%
|
|||
|
Diversified Real Estate Activities - 0.1%
|
|||
|
330,000
|
Alam Synergy Pte, Ltd., 9.0%, 1/29/19 (144A)
|
$ 336,270
|
|
|
Diversified REIT - 0.4%
|
|||
|
1,500,000(e)
|
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19
|
$ 1,522,500
|
|
|
Total Real Estate
|
$ 1,858,770
|
||
|
RETAILING - 3.1%
|
|||
|
Automotive Retail - 1.2%
|
|||
|
1,385,000
|
Asbury Automotive Group, Inc., 6.0%, 12/15/24 (144A)
|
$ 1,409,238
|
|
|
2,860,000(e)
|
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A)
|
2,570,425
|
|
|
$ 3,979,663
|
|||
|
Computer & Electronics Retail - 0.9%
|
|||
|
3,305,000
|
Rent-A-Center, Inc., 6.625%, 11/15/20
|
$ 3,172,800
|
|
|
Department Stores - 0.3%
|
|||
|
900,000(e)
|
Neiman Marcus Group Ltd. LLC, 8.0%, 10/15/21 (144A)
|
$ 951,750
|
|
|
Speciality Stores - 0.7%
|
|||
|
1,635,000
|
Outerwall, Inc., 5.875%, 6/15/21 (144A)
|
$ 1,524,637
|
|
|
200,000
|
Outerwall, Inc., 6.0%, 3/15/19
|
197,000
|
|
|
685,000
|
Radio Systems Corp., 8.375%, 11/1/19 (144A)
|
734,663
|
|
|
$ 2,456,300
|
|||
|
Total Retailing
|
$ 10,560,513
|
||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.1%
|
|||
|
Semiconductors - 1.1%
|
|||
|
995,000
|
Advanced Micro Devices, Inc., 7.0%, 7/1/24
|
$ 843,262
|
|
|
3,250,000
|
Advanced Micro Devices, Inc., 7.5%, 8/15/22
|
2,925,000
|
|
|
Total Semiconductors & Semiconductor Equipment
|
$ 3,768,262
|
||
|
SOFTWARE & SERVICES - 2.1%
|
|||
|
Application Software - 0.3%
|
|||
|
955,000
|
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18
|
$ 964,550
|
|
|
Data Processing & Outsourced Services - 1.8%
|
|||
|
1,783,000(e)
|
First Data Corp., 8.25%, 1/15/21 (144A)
|
$ 1,907,810
|
|
|
422,000
|
First Data Corp., 10.625%, 6/15/21
|
477,915
|
|
|
1,783,000(e)
|
First Data Corp., 12.625%, 1/15/21
|
2,117,313
|
|
|
1,650,000(e)(h)
|
Igloo Holdings Corp., 8.25% (9.0% PIK 8.25% cash), 12/15/17 (144A)
|
1,666,500
|
|
|
$ 6,169,538
|
|||
|
Total Software & Services
|
$ 7,134,088
|
||
|
TECHNOLOGY HARDWARE & EQUIPMENT - 1.4%
|
|||
|
Communications Equipment - 0.9%
|
|||
|
1,350,000(e)(h)
|
CommScope Holding Co., Inc., 6.625% (7.375% PIK 6.625% cash), 6/1/20 (144A)
|
$ 1,390,500
|
|
|
1,500,000
|
CPI International, Inc., 8.75%, 2/15/18
|
1,541,250
|
|
|
$ 2,931,750
|
|||
|
Electronic Equipment & Instruments - 0.5%
|
|||
|
880,000(e)
|
Viasystems, Inc., 7.875%, 5/1/19 (144A)
|
$ 928,400
|
|
|
745,000
|
Zebra Technologies Corp., 7.25%, 10/15/22 (144A)
|
782,250
|
|
|
$ 1,710,650
|
|||
|
Total Technology Hardware & Equipment
|
$ 4,642,400
|
||
|
TELECOMMUNICATION SERVICES - 3.6%
|
|||
|
Alternative Carriers - 0.2%
|
|||
|
600,000
|
PAETEC Holding Corp., 9.875%, 12/1/18
|
$ 630,000
|
|
|
Integrated Telecommunication Services - 2.1%
|
|||
|
1,695,000
|
Cincinnati Bell, Inc., 8.75%, 3/15/18
|
$ 1,741,612
|
|
|
300,000
|
Frontier Communications Corp., 6.25%, 9/15/21
|
301,500
|
|
|
1,400,000(e)
|
Frontier Communications Corp., 7.625%, 4/15/24
|
1,442,000
|
|
|
1,650,000(e)
|
GCI, Inc., 6.75%, 6/1/21
|
1,621,125
|
|
|
2,200,000
|
Windstream Corp., 7.5%, 6/1/22
|
2,194,500
|
|
|
$ 7,300,737
|
|||
|
Wireless Telecommunication Services - 1.3%
|
|||
|
300,000
|
Altice Finco SA, 8.125%, 1/15/24 (144A)
|
$ 292,500
|
|
|
1,580,000(e)
|
Sprint Corp., 7.125%, 6/15/24
|
1,469,400
|
|
|
1,500,000
|
Sprint Corp., 7.25%, 9/15/21
|
1,486,875
|
|
Principal
Amount
USD ($)
|
Value
|
||
|
Wireless Telecommunication Services (continued)
|
|||
|
400,000
|
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
|
$ 397,049
|
|
|
725,000(e)
|
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A)
|
681,500
|
|
|
$ 4,327,324
|
|||
|
Total Telecommunication Services
|
$ 12,258,061
|
||
|
TRANSPORTATION - 3.7%
|
|||
|
Air Freight & Logistics - 0.3%
|
|||
|
1,005,000
|
XPO Logistics, Inc., 7.875%, 9/1/19 (144A)
|
$ 1,050,225
|
|
|
Airlines - 1.1%
|
|||
|
1,295,000
|
Gol LuxCo SA, 8.875%, 1/24/22 (144A)
|
$ 1,217,300
|
|
|
360,000
|
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)
|
349,200
|
|
|
1,500,000(e)
|
United Continental Holdings, Inc., 6.0%, 7/15/26
|
1,443,750
|
|
|
600,000(e)
|
United Continental Holdings, Inc., 6.375%, 6/1/18
|
634,500
|
|
|
$ 3,644,750
|
|||
|
Marine - 0.3%
|
|||
|
1,025,000
|
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)
|
$ 1,014,750
|
|
|
Railroads - 0.4%
|
|||
|
1,520,000
|
Florida East Coast Holdings Corp., 9.75%, 5/1/20 (144A)
|
$ 1,512,400
|
|
|
Trucking - 1.6%
|
|||
|
3,500,000(e)
|
Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A)
|
$ 3,622,500
|
|
|
2,000,000
|
Syncreon Group BV / Syncreon Global Finance US, Inc., 8.625%, 11/1/21 (144A)
|
1,880,000
|
|
|
$ 5,502,500
|
|||
|
Total Transportation
|
$ 12,724,625
|
||
|
UTILITIES - 2.8%
|
|||
|
Electric Utilities - 1.0%
|
|||
|
895,000
|
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A)
|
$ 895,000
|
|
|
310,000
|
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
|
216,690
|
|
|
1,010,000(b)(e)
|
Enel S.p.A., 8.75%, 9/24/73 (144A)
|
1,172,862
|
|
|
1,000,000(e)
|
PNM Resources, Inc., 9.25%, 5/15/15
|
1,027,900
|
|
|
$ 3,312,452
|
|||
|
Independent Power Producers & Energy Traders - 1.1%
|
|||
|
3,675,000(e)
|
NRG Energy, Inc., 6.25%, 5/1/24 (144A)
|
$ 3,739,313
|
|
|
Multi-Utilities - 0.7%
|
|||
|
2,342,663
|
Ormat Funding Corp., 8.25%, 12/30/20
|
$ 2,366,089
|
|
|
Total Utilities
|
$ 9,417,854
|
||
|
TOTAL CORPORATE BONDS & NOTES
|
|||
|
(Cost $392,626,525)
|
$ 373,005,714
|
||
|
CONVERTIBLE BONDS & NOTES - 5.7% of Net Assets
|
|||
|
CAPITAL GOODS - 1.3%
|
|||
|
Construction & Farm Machinery & Heavy Trucks - 1.3%
|
|||
|
2,625,000(e)
|
Meritor, Inc., 7.875%, 3/1/26
|
$ 4,323,047
|
|
|
Total Capital Goods
|
$ 4,323,047
|
||
|
DIVERSIFIED FINANCIALS - 0.1%
|
|||
|
Asset Management & Custody Banks - 0.1%
|
|||
|
400,000
|
Apollo Investment Corp., 5.75%, 1/15/16
|
$ 409,750
|
|
|
Total Diversified Financials
|
$ 409,750
|
||
|
ENERGY - 1.7%
|
|||
|
Coal & Consumable Fuels - 0.5%
|
|||
|
1,905,000
|
Massey Energy Co., 3.25%, 8/1/15
|
$ 1,828,800
|
|
|
Oil & Gas Drilling - 0.7%
|
|||
|
2,265,000(a)(e)
|
Hercules Offshore, Inc., 0.0%, 6/1/38
|
$ 2,259,338
|
|
|
Oil & Gas Exploration & Production - 0.5%
|
|||
|
1,340,000(e)
|
Chesapeake Energy Corp., 2.5%, 5/15/37
|
$ 1,301,475
|
|
|
1,175,000
|
Energy & Exploration Partners, Inc., 8.0%, 7/1/19 (144A)
|
411,250
|
|
|
$ 1,712,725
|
|||
|
Total Energy
|
$ 5,800,863
|
||
|
Principal
Amount
USD ($)
|
Value
|
||
|
HEALTH CARE EQUIPMENT & SERVICES - 1.1%
|
|||
|
Health Care Equipment & Services - 1.0%
|
|||
|
2,837,000(a)(e)
|
Hologic, Inc., 2.0%, 12/15/37
|
$ 3,537,384
|
|
|
Health Care Services - 0.1%
|
|||
|
361,000
|
Omnicare, Inc., 3.25%, 12/15/35
|
$ 388,075
|
|
|
Total Health Care Equipment & Services
|
$ 3,925,459
|
||
|
MATERIALS - 1.1%
|
|||
|
Diversified Chemicals - 1.1%
|
|||
|
4,000,000(k)
|
Hercules, Inc., 6.5% (6.5% PIK 0.0% cash), 6/30/29
|
$ 3,705,200
|
|
|
Total Materials
|
$ 3,705,200
|
||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.3%
|
|||
|
Biotechnology - 0.3%
|
|||
|
1,400,000
|
Corsicanto, Ltd., 3.5%, 1/15/32
|
$ 869,750
|
|
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 869,750
|
||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1%
|
|||
|
Semiconductors - 0.1%
|
|||
|
161,900(h)
|
LDK Solar Co. Ltd., 5.535% (5.535% PIK 0.0% cash), 12/31/18
|
$ –
|
|
|
750,000
|
ReneSola, Ltd., 4.125%, 3/15/18 (144A)
|
427,500
|
|
|
42,000(d)(g)
|
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13
|
420
|
|
|
Total Semiconductors & Semiconductor Equipment
|
$ 427,920
|
||
|
TOTAL CONVERTIBLE BONDS & NOTES
|
|||
|
(Cost $16,377,608)
|
$ 19,461,989
|
||
|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 2.5% of Net Assets
|
|||
|
2,780,000(c)
|
U.S. Treasury Notes, 0.11%, 7/31/16
|
$ 2,779,942
|
|
|
2,780,000(c)
|
U.S. Treasury Notes, 0.09%, 1/31/16
|
2,779,241
|
|
|
2,780,000(c)
|
U.S. Treasury Notes, 0.11%, 4/30/16
|
2,779,869
|
|
|
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
|
|||
|
(Cost $8,342,122)
|
$ 8,339,052
|
||
|
SOVEREIGN DEBT OBLIGATIONS - 1.0% of Net Assets
|
|||
|
Argentina - 0.3%
|
|||
|
1,200,000
|
City of Buenos Aires, 12.5%, 4/6/15 (144A)
|
$ 1,218,000
|
|
|
Ecuador - 0.2%
|
|||
|
870,000
|
Ecuador Government International Bond, 7.95%, 6/20/24 (144A)
|
$ 743,850
|
|
|
Russia - 0.5%
|
|||
|
1,519,600(a)
|
Russian Government International Bond, 7.5%, 3/31/30
|
$ 1,575,825
|
|
|
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
|||
|
(Cost $3,164,167)
|
$ 3,537,675
|
||
|
TAX EXEMPT OBLIGATION - 1.0% of Net Assets
|
|||
|
New York - 1.0%
|
|||
|
3,475,000
|
New York City Industrial Development Agency Revenue, 7.625%, 12/1/32
|
$ 3,494,217
|
|
|
TOTAL TAX EXEMPT OBLIGATION
|
|||
|
(Cost $3,124,868)
|
$ 3,494,217
|
||
|
MUNICIPAL COLLATERALIZED DEBT OBLIGATION - 0.1% of Net Assets
|
|||
|
3,300,000(b)(g)
|
Non-Profit Preferred Funding Trust I, 0.0%, 9/15/37 (144A)
|
$ 413,622
|
|
|
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
|
|||
|
(Cost $3,293,723)
|
$ 413,622
|
||
|
Shares
|
Value
|
||
|
COMMON STOCKS - 2.2% of Net Assets
|
|||
|
CAPITAL GOODS - 0.2%
|
|||
|
Building Products - 0.2%
|
|||
|
894(g)(i)(l)
|
Panolam Holdings Co.
|
$ 657,984
|
|
|
Total Capital Goods
|
$ 657,984
|
||
|
Shares
|
Value
|
||
|
INSURANCE - 0.1%
|
|||
|
Reinsurance - 0.1%
|
|||
|
320,000(l)
|
Altair Re III, Ltd. (Cat Bond)
|
$ 320,000
|
|
|
Total Insurance
|
$ 320,000
|
||
|
MATERIALS - 0.1%
|
|||
|
Diversified Metals & Mining - 0.1%
|
|||
|
3,402
|
Freeport-McMoRan, Inc.
|
$ 79,471
|
|
|
AUD
|
6,776,723(g)(l)
|
Mirabela Nickel, Ltd.
|
160,649
|
|
$ 240,120
|
|||
|
Total Materials
|
$ 240,120
|
||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
|
|||
|
Pharmaceuticals - 0.2%
|
|||
|
15,900
|
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
|
$ 914,409
|
|
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 914,409
|
||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0%†
|
|||
|
Semiconductors - 0.0%†
|
|||
|
11,342(l)
|
LDK Solar Co. Ltd. (A.D.R.)
|
$ 1,134
|
|
|
Total Semiconductors & Semiconductor Equipment
|
$ 1,134
|
||
|
SOFTWARE & SERVICES - 0.0%†
|
|||
|
Systems Software - 0.0%†
|
|||
|
10,942(g)(l)
|
Perseus Holding Corp.
|
$ –
|
|
|
Total Software & Services
|
$ –
|
||
|
TRANSPORTATION - 1.6%
|
|||
|
Air Freight & Logistics - 0.7%
|
|||
|
3,266(g)(l)
|
CEVA Holdings LLC
|
$ 2,530,949
|
|
|
Airlines - 0.7%
|
|||
|
48,108
|
Delta Air Lines, Inc.
|
$ 2,366,433
|
|
|
Marine - 0.2%
|
|||
|
877,784(g)(l)
|
Horizon Lines, Inc., Class A
|
$ 553,969
|
|
|
Total Transportation
|
$ 5,451,351
|
||
|
TOTAL COMMON STOCKS
|
|||
|
(Cost $8,077,202)
|
$ 7,584,998
|
||
|
CONVERTIBLE PREFERRED STOCKS - 0.8% of Net Assets
|
|||
|
DIVERSIFIED FINANCIALS - 0.7%
|
|||
|
Other Diversified Financial Services - 0.7%
|
|||
|
1,880(f)
|
Bank of America Corp., 7.25%
|
$ 2,186,384
|
|
|
Total Diversified Financials
|
$ 2,186,384
|
||
|
ENERGY - 0.1%
|
|||
|
Oil & Gas Exploration & Production - 0.1%
|
|||
|
1,100(f)
|
Halcon Resources Corp., 5.75%
|
$ 358,462
|
|
|
Total Energy
|
$ 358,462
|
||
|
TOTAL CONVERTIBLE PREFERRED STOCKS
|
|||
|
(Cost $2,164,242)
|
$ 2,544,846
|
||
|
PREFERRED STOCKS - 2.7% of Net Assets
|
|||
|
BANKS - 0.9%
|
|||
|
Diversified Banks - 0.9%
|
|||
|
3,000(b)(f)
|
AgStar Financial Services ACA, 6.75% (144A)
|
$ 3,091,687
|
|
|
Total Banks
|
$ 3,091,687
|
||
|
DIVERSIFIED FINANCIALS - 1.0%
|
|||
|
Other Diversified Financial Services - 1.0%
|
|||
|
132,750(b)
|
GMAC Capital Trust I, 8.125%
|
$ 3,501,945
|
|
|
Total Diversified Financials
|
$ 3,501,945
|
||
|
ENERGY - 0.2%
|
|||
|
Oil & Gas Storage & Transportation - 0.2%
|
|||
|
33,215(b)
|
NuStar Logistics LP, 7.625%
|
$ 856,947
|
|
|
Total Energy
|
$ 856,947
|
||
|
INSURANCE - 0.6%
|
|||
|
Reinsurance - 0.6%
|
|||
|
875,402(g)(l)
|
Altair Re II, Ltd. (Cat Bond)
|
$ 959,178
|
|
Shares
|
Value
|
||
|
Reinsurance - (continued)
|
|||
|
8,500(g)(l)
|
Lorenz Re, Ltd. (Cat Bond)
|
$964,495
|
|
|
$ 1,923,673
|
|||
|
Total Insurance
|
$ 1,923,673
|
||
|
SOFTWARE & SERVICES - 0.0%†
|
|||
|
Systems Software - 0.0%†
|
|||
|
5,745(g)(l)
|
Perseus Holding Corp., 14.0%
|
$ –
|
|
|
Total Software & Services
|
$ –
|
||
|
TOTAL PREFERRED STOCKS
|
|||
|
(Cost $8,875,136)
|
$ 9,374,252
|
||
|
Principal
Amount
USD ($)
|
Value
|
||
|
TEMPORARY CASH INVESTMENTS - 0.3% - of Net Assets
|
|||
|
REPURCHASE AGREEMENT - 0.3%
|
|||
|
980,000
|
Bank of Nova Scotia, 0.09%, repurchase price of $980,000 plus accrued interest on 1/2/15 collateralized by the following: $853,476 Federal National Mortgage Association, 2.9%, 5/1/44 and $146,131 Freddie Mac Giant, 3.5%, 12/1/44
|
$ 980,000
|
|
|
TOTAL TEMPORARY CASH INVESTMENTS
|
|||
|
(Cost $980,000)
|
$ 980,000
|
||
|
TOTAL INVESTMENTS IN SECURITIES - 135.1%
|
|||
|
(Cost - $483,422,955) (m)(n)
|
462,650,310
|
||
|
OTHER ASSETS AND LIABILITIES - (35.1)%
|
$ (120,092,437)
|
||
|
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
|
$ 342,557,873
|
||
|
REIT
|
Real Estate Investment Trust.
|
|
|
(Cat Bond)
|
Catastrophe bond is a high-yield debt instrument that is usually insurance linked and meant to raise money in case of a catastrophe.
|
|
|
(144A)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At December 31, 2014, the value of these securities amounted to $215,863,967, or 63.0% of total net assets applicable to common shareowners.
|
|
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at December 31, 2014.
|
|
(a)
|
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at December 31, 2014.
|
|
(b)
|
The interest rate is subject to change periodically. The interest rate shown is the rate at December 31, 2014.
|
|
(c)
|
Floating rate note. The rate shown is the coupon rate at December 31, 2014.
|
|
(d)
|
Security is in default and is non income producing.
|
|
(e)
|
Denotes security pledged and segregated as collateral for the margin-loan financing agreement.
|
|
(f)
|
Security is perpetual in nature and has no stated maturity date.
|
|
(g)
|
Indicates a security that has been deemed illiquid. As of December 31, 2014 the aggregate cost of illiquid securities in the Trust's portfolio was $21,619,984. As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $15,244,933 represented 4.5% of total net assets applicable to common shareowners.
|
|
(h)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
|
(i)
|
Security is valued using fair value methods (other than prices supplied by independent pricing services or broker-dealers.
|
|
(j)
|
Security issued with a zero coupon. Income is recognized through accretion of discount.
|
|
(k)
|
Security is priced as a unit.
|
|
(l)
|
Non-income producing.
|
|
(m)
|
At December 31, 2014, the net unrealized depreciation on investments based on cost for federal tax purposes of $485,324,915 was as follows:
|
||
|
Aggregate gross unrealized appreciation for all investments in which there
|
|||
|
is an excess of value over tax cost
|
$ 27,979,499
|
||
|
Aggregate gross unrealized depreciation for all investments in which there
|
|||
|
is an excess of tax cost over value
|
(50,654,104)
|
||
|
Net unrealized depreciation
|
$ (22,674,605)
|
||
|
(n)
|
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
|
|
|
United States
|
77.9%
|
|
|
Canada
|
3.5
|
|
|
Luxembourg
|
2.8
|
|
|
Netherlands
|
2.6
|
|
|
Bermuda
|
2.4
|
|
|
Cayman Islands
|
1.4
|
|
|
Ireland
|
1.4
|
|
|
Other (individually less than 1%)
|
8.0
|
|
|
100.0%
|
||
|
Unrealized
|
||||
|
Appreciation
|
||||
|
Borrower
|
Par
|
Cost
|
Value
|
(Depreciation)
|
|
Kindred Healthcare, Inc., Bridge Loan
|
$ 2,245,000
|
$ 2,245,000
|
$ 2,245,000
|
$ –
|
|
Net
|
|||||
|
Unrealized
|
|||||
|
Security
|
Quantity/
|
Settlement
|
US$ Value
|
Appreciation/
|
|
|
Description
|
Shares
|
Book Value
|
Date
|
at 12/31/14
|
(Depreciation)
|
|
EUR
|
(5,128,699)
|
$ (7,076,235)
|
4/24/15
|
$ (6,213,397)
|
$ 862,839
|
|
GBP
|
(1,500,688)
|
(2,478,229)
|
3/30/15
|
(2,337,207)
|
141,021
|
|
GBP
|
797,815
|
1,252,067
|
3/30/15
|
1,242,536
|
(9,531)
|
|
Total
|
$ 994,329
|
||||
|
Glossary of Terms:
|
|
|
(A.D.R.)
|
American Depositary Receipt
|
|
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
|
EUR
|
-
|
Euro
|
|
GBP
|
-
|
Great British Pound
|
|
CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION
|
|||||||
|
Notional
Principal ($) (1)
|
Counterparty
|
Obligation Entity/Index
|
Coupon
|
Credit Rating (2)
|
Expiration Date
|
Premiums (Received)
|
Net Unrealized Appreciation
|
|
2,000,000
|
JPMorgan Chase & Co.
|
Goodyear Tire & Rubber Co.
|
5.00%
|
B+
|
12/20/17
|
$(65,000)
|
$303,175
|
|
(1)
|
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event.
|
||||||
|
(2)
|
Based on Standard & Poor's rating of the issuer.
|
||||||
|
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
|
||||||||||||||||
|
Level 1 - quoted prices in active markets for identical securities.
|
||||||||||||||||
|
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment
|
||||||||||||||||
|
speeds, credit risks, etc.).
|
||||||||||||||||
|
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
|
||||||||||||||||
|
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2, and securities valued using fair value methods (other than prices supplied by independent pricing services or broker dealers) as Level 3.
|
||||||||||||||||
|
The following is a summary of the inputs used as of December 31, 2014, in valuing the Trust's investments.
|
||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Asset Backed Securities
|
||||||||||||||||
|
Transportation
|
||||||||||||||||
|
Airlines
|
$ | – | $ | 706,254 | $ | 876,779 | $ | 1,583,033 | ||||||||
|
All Other Asset Backed Securities
|
– | 2,518,623 | – | 2,518,623 | ||||||||||||
|
Collateralized Mortgage Obligations
|
– | 5,228,307 | – | 5,228,307 | ||||||||||||
|
Senior Secured Floating Rate Loan Interests
|
– | 24,583,982 | – | 24,583,982 | ||||||||||||
|
Corporate Bonds & Notes
|
||||||||||||||||
|
Diversified Financials
|
||||||||||||||||
|
Other Diversified Financial Services
|
– | 2,223,984 | 2,158,604 | 4,382,588 | ||||||||||||
|
Insurance
|
||||||||||||||||
|
Reinsurance
|
– | 12,051,455 | 9,250,285 | 21,301,740 | ||||||||||||
|
All Other Corporate Bonds & Notes
|
– | 347,321,386 | – | 347,321,386 | ||||||||||||
|
Convertible Bonds & Notes
|
||||||||||||||||
|
Semiconductors & Semiconductor Equipment
|
||||||||||||||||
|
Semiconductors
|
– | 427,920 | – | * | 427,920 | |||||||||||
|
All Other Convertible Bonds & Notes
|
– | 19,034,069 | – | 19,034,069 | ||||||||||||
|
U.S. Government and Agency Obligations
|
– | 8,339,052 | – | 8,339,052 | ||||||||||||
|
Sovereign Debt Obligations
|
– | 3,537,675 | – | 3,537,675 | ||||||||||||
|
Tax Exempt Obligation
|
– | 3,494,217 | – | 3,494,217 | ||||||||||||
|
Municipal Collateralized Debt Obligation
|
– | 413,622 | – | 413,622 | ||||||||||||
|
Common Stocks
|
||||||||||||||||
|
Capital Goods
|
||||||||||||||||
|
Building Products
|
– | – | 657,984 | 657,984 | ||||||||||||
|
Insurance
|
||||||||||||||||
|
Reinsurance
|
– | – | 320,000 | 320,000 | ||||||||||||
|
Software & Services
|
||||||||||||||||
|
Systems Software
|
– | – | * | – | – | * | ||||||||||
|
Transportation
|
||||||||||||||||
|
Air Freight & Logistics
|
– | 2,530,949 | – | 2,530,949 | ||||||||||||
|
All Other Common Stocks
|
4,076,065 | – | – | 4,076,065 | ||||||||||||
|
Convertible Preferred Stocks
|
2,544,846 | – | – | 2,544,846 | ||||||||||||
|
Preferred Stocks
|
||||||||||||||||
|
Insurance
|
||||||||||||||||
|
Reinsurance
|
– | – | 1,923,673 | 1,923,673 | ||||||||||||
|
Software & Services
|
||||||||||||||||
|
Systems Software
|
– | – | * | – | – | * | ||||||||||
|
All Other Preferred Stocks
|
7,450,579 | – | – | 7,450,579 | ||||||||||||
|
Repurchase Agreement
|
– | 980,000 | – | 980,000 | ||||||||||||
|
Total Investments in Securities
|
$ | 14,071,490 | $ | 433,391,495 | $ | 15,187,325 | $ | 462,650,310 | ||||||||
|
Other Financial Instruments
|
||||||||||||||||
|
Net unrealized appreciation on swap contracts
|
$ | – | $ | 303,175 | $ | – | $ | 303,175 | ||||||||
|
Net unrealized appreciation on forward foreign currency contracts
|
– | 994,329 | – | 994,329 | ||||||||||||
|
Total Other Financial Instruments
|
$ | – | $ | 1,297,504 | $ | – | $ | 1,297,504 | ||||||||
|
* Securities in this category are valued at $0.
|
|
The following is a summary of the fair valuation of certain of the Trust's assets and liabilities as of December 31, 2014:
|
||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
|
Assets:
|
||||
|
Foreign currencies, at value
|
$ –
|
$5,469,561
|
$ –
|
$ 5,469,561
|
|
Liabilities:
|
(151,000,000)
|
–
|
–
|
(151,000,000)
|
|
Swap collateral
|
–
|
(200,000)
|
–
|
(200,000)
|
|
Outstanding borrowings
|
–
|
(151,000,000)
|
–
|
(151,000,000)
|
|
Total
|
$ –
|
$ (145,730,439)
|
$ –
|
$ (145,730,439)
|
|
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
|
||||||||||||||||||||||||||||||||||||
|
Change in
|
||||||||||||||||||||||||||||||||||||
|
Balance
|
Realized
|
unrealized
|
Accrued
|
Transfers
|
Transfers
|
Balance
|
||||||||||||||||||||||||||||||
|
as of
|
gain
|
appreciation
|
discounts/
|
in to
|
out of
|
as of
|
||||||||||||||||||||||||||||||
|
3/31/14
|
(loss)
|
(depreciation)
|
Purchases
|
Sales
|
premiums
|
Level 3*
|
Level 3*
|
12/31/14
|
||||||||||||||||||||||||||||
|
Asset Backed Securities
|
||||||||||||||||||||||||||||||||||||
|
Transportation
|
||||||||||||||||||||||||||||||||||||
|
Airlines
|
$ | – | $ | 7,783 | $ | (125,255 | ) | $ | – | $ | (26,374 | ) | $ | 30,435 | $ | 990,190 | $ | – | $ | 876,779 | ||||||||||||||||
|
Corporate Bonds & Notes
|
||||||||||||||||||||||||||||||||||||
|
Diversified Financials
|
||||||||||||||||||||||||||||||||||||
|
Other Diversified Financial Services
|
1,748,033 | – | 410,571 | – | – | – | – | – | 2,158,604 | |||||||||||||||||||||||||||
|
Materials
|
||||||||||||||||||||||||||||||||||||
|
Diversified Metals & Mining
|
626,708 | – | 16,070 | 210,555 | (853,333 | ) | – | – | – | – | ||||||||||||||||||||||||||
|
Insurance
|
||||||||||||||||||||||||||||||||||||
|
Reinsurance
|
1,470,812 | 3,439 | 283,663 | 8,037,450 | (600,000 | ) | 54,921 | – | – | 9,250,285 | ||||||||||||||||||||||||||
|
Convertible Bonds & Notes
|
||||||||||||||||||||||||||||||||||||
|
Semiconductors &
Semiconductor Equipment
|
||||||||||||||||||||||||||||||||||||
|
Semiconductors
|
– | – | – | – | – | – | – | – | – | ** | ||||||||||||||||||||||||||
|
Common Stocks
|
||||||||||||||||||||||||||||||||||||
|
Capital Goods
|
||||||||||||||||||||||||||||||||||||
|
Building Products
|
700,002 | – | (42,018 | ) | – | – | – | – | – | 657,984 | ||||||||||||||||||||||||||
|
Insurance
|
||||||||||||||||||||||||||||||||||||
|
Reinsurance
|
– | – | 1,120 | 318,880 | – | – | – | – | 320,000 | |||||||||||||||||||||||||||
|
Preferred Stocks
|
||||||||||||||||||||||||||||||||||||
|
Insurance
|
||||||||||||||||||||||||||||||||||||
|
Reinsurance
|
3,527,053 | 98,575 | (148,674 | ) | 558,040 | (2,111,321 | ) | – | – | – | 1,923,673 | |||||||||||||||||||||||||
|
Total
|
$ | 8,072,608 | $ | 109,797 | $ | 395,477 | $ | 9,124,925 | $ | (3,591,028 | ) | $ | 85,356 | $ | 990,190 | $ | – | $ | 15,187,325 | |||||||||||||||||
|
* Transfers are calculated on the beginning of period value.
|
||||||||||||||||||||||||||||||||||||
|
** Securities in this category are valued at $0.
|
||||||||||||||||||||||||||||||||||||
|
Net change in unrealized appreciation of Level 3 investments still held and considered Level 3 at 12/31/14: $541,860.
|
||||||||||||||||||||||||||||||||||||
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.
File as exhibits as part of this Form 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)), exactly as set forth below:
CERTIFICATIONS
I, [identify the certifying individual], certify that:
1. I have reviewed this report on Form N-Q of [identify registrant];
2. Based on my knowledge, this report does not contain any untrue statement of
a material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report
fairly present in all material respects the investments of the registrant as of
the end of the fiscal quarter for which the report is filed;
4. The registrants other certifying officer(s) and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, to
ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities,
particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such
internal control over financial reporting to be designed under our supervision,
to provide reasonable assurance regarding the reliability of financial
reporting and the preparation of financial statements for external purposes
in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and
procedures and presented in this report our conclusions about the effectiveness
of the disclosure controls and procedures, as of a date within 90 days prior to
the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control
over financial reporting that occurred during the registrants most recent
fiscal quarter that has materially affected, or is reasonably likely to
materially affect, the registrants internal control over financial reporting;
and
5. The registrants other certifying officer(s) and I have disclosed to the
registrants auditors and the audit committee of the registrants board of
directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation
of internal control over financial reporting which are reasonably likely to adversely
affect the registrants ability to record, process, summarize, and report financial
information; and
(b) Any fraud, whether or not material, that involves management or other employees
who have a significant role in the registrants internal control over financial
reporting.
Date: [Signature] [Title]
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/ Lisa M.Jones
-----------------------
Lisa M.Jones, President and Chief Executive Officer
Date February 27, 2015
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/ Lisa M.Jones
-----------------------
Lisa M.Jones, President and Chief Executive Officer
Date February 27, 2015
By (Signature and Title)* /s/ Mark E. Bradley
-----------------
Mark E. Bradley, Treasurer and Chief Accounting
and Financial Officer
Date February 27, 2015
* Print the name and title of each signing officer under his or her signature.