OMB APPROVAL OMB Number: 3235-0578 Expires: January 31, 2016 Estimated average burden hours per response..... 10.5 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 811-22014 Pioneer Pioneer Diversified 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: April 30 Date of reporting period: July 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.
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
ASSET BACKED SECURITIES - 1.8% of Net Assets
|
|||||
770,545(a)
|
CCC-/Caa3
|
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.632%, 5/15/24 (144A)
|
$ 300,513
|
||
81,268
|
BBB-/Ba2
|
Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 3/15/17
|
89,038
|
||
250,000
|
BBB/Ba1
|
Delta Air Lines Pass Through Trust, Series 2010-1, Class B, 6.375%, 1/2/16 (144A)
|
265,000
|
||
290,000(b)
|
NR/NR
|
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
|
276,577
|
||
764,994
|
NR/NR
|
Monty Parent Issuer LLC, Series 2013-LTR, 4.25%, 11/20/28
|
765,920
|
||
940,000
|
NR/Ba2
|
Nations Equipment Finance Funding I LLC, Series 2013-1A, Class C, 5.5%, 5/20/21 (144A)
|
948,930
|
||
104,249
|
BB/NR
|
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)
|
107,838
|
||
262,726
|
NR/NR
|
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A)
|
266,903
|
||
TOTAL ASSET BACKED SECURITIES
|
|||||
(Cost $3,065,607)
|
$ 3,020,719
|
||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.4% of Net Assets
|
|||||
275,000(c)
|
NR/NR
|
CAM Mortgage Trust, Series 2014-1, Class M, 5.5%, 12/15/53 (144A)
|
$ 274,599
|
||
621,091(a)
|
CCC/Caa2
|
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A2, 0.355%, 2/25/37
|
563,709
|
||
200,000(b)
|
B-/Ba2
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C4, Class E, 5.135%, 10/15/39 (144A)
|
178,909
|
||
125,000(a)
|
NR/NR
|
EQTY Mezzanine Trust, Series 2014-INMZ, Class M, 4.904%, 5/8/31 (144A)
|
125,234
|
||
170,000(a)
|
BB-/NR
|
EQTY Mortgage Trust, Series 2014-INNS, Class E, 3.604%, 5/8/31 (144A)
|
170,081
|
||
110,679
|
B-/Ba3
|
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A)
|
106,532
|
||
187,545
|
CCC/Caa3
|
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32
|
142,593
|
||
189,548
|
NR/NR
|
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
|
185,587
|
||
771,068(a)
|
B/Ba3
|
Impac CMB Trust, Series 2004-9, Class 1A1, 0.915%, 1/25/35
|
703,627
|
||
150,000
|
B/B3
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45
|
153,395
|
||
150,000(a)
|
BB/NR
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-FL3, Class E, 3.048%, 4/15/28 (144A)
|
151,009
|
||
300,000(b)
|
NR/B1
|
LB-UBS Commercial Mortgage Trust, Series 2005-C2, Class C, 5.203%, 4/15/40
|
307,755
|
||
556,571(b)
|
BB/NR
|
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41
|
572,573
|
||
400,000(b)
|
B/B1
|
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class AJ, 5.966%, 5/15/46
|
419,790
|
||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|||||
(Cost $3,996,597)
|
$ 4,055,393
|
||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.4% of Net Assets
|
|||||
150,000(b)
|
NR/Baa2
|
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41
|
$ 151,291
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating (unaudited)
|
Value
|
|||
250,000(b)
|
NR/Baa3
|
COMM 2012-CCRE2 Mortgage Trust, Series 2012-CR2, Class E, 4.858%, 8/15/45 (144A)
|
249,456
|
||
200,000(a)
|
BB-/NR
|
COMM 2013-FL3 Mortgage Trust, Series 2013-FL3, Class RGC2, 4.402%, 10/13/28 (144A)
|
200,234
|
||
150,600(a)
|
NR/Ba1
|
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-FL2A, Class G, 0.512%, 11/15/18 (144A)
|
142,016
|
||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|||||
(Cost $690,332)
|
$ 742,997
|
||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 21.0% of Net Assets *
|
|||||
AUTOMOBILES & COMPONENTS - 2.3%
|
|||||
Auto Parts & Equipment - 1.1%
|
|||||
187,873
|
B/B1
|
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21
|
$ 188,014
|
||
243,245
|
B+/B1
|
Metaldyne LLC, USD Term Loan, 4.25%, 12/18/18
|
244,563
|
||
279,327
|
BB-/B1
|
TI Group Automotive Systems LLC, Facility Term Loan, 4.25%, 7/2/21
|
279,938
|
||
967,799
|
B+/B2
|
Tower Automotive Holdings USA, LLC, Refinancing Term Loan, 4.0%, 4/23/20
|
964,775
|
||
139,925
|
B/Ba3
|
UCI International, Inc., (United Components), Term Loan, 5.5%, 7/26/17
|
140,391
|
||
$ 1,817,681
|
|||||
Automobile Manufacturers - 0.9%
|
|||||
1,455,000
|
BB+/Ba1
|
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17
|
$ 1,457,267
|
||
Tires & Rubber - 0.3%
|
|||||
575,000
|
BB/Ba1
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19
|
$ 580,031
|
||
Total Automobiles & Components
|
$ 3,854,979
|
||||
CAPITAL GOODS - 2.6%
|
|||||
Aerospace & Defense - 1.1%
|
|||||
824,732
|
B/B3
|
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 5.0%, 11/2/18
|
$ 832,468
|
||
373,879
|
B/B2
|
DAE Aviation Holdings, Inc., Tranche B-2 Loan, 5.0%, 11/2/18
|
376,099
|
||
167,333
|
B-/Caa1
|
Hunter Defense Technologies, Inc., Term Loan, 3.48%, 8/22/14
|
161,058
|
||
133,603
|
B+/B1
|
TASC, Inc., First Lien Term Loan, 6.5%, 5/22/20
|
130,931
|
||
320,000
|
NR/NR
|
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21
|
323,500
|
||
$ 1,824,056
|
|||||
Construction & Farm Machinery & Heavy Trucks - 0.5%
|
|||||
390,000
|
B/Ba3
|
Navistar, Inc., Tranche B, Term Loan, 5.75%, 8/17/17
|
$ 394,631
|
||
449,982
|
B+/B2
|
Waupaca Foundry, Inc., Term Loan, 4.0%, 6/29/17
|
450,967
|
||
$ 845,598
|
|||||
Electrical Components & Equipment - 0.6%
|
|||||
400,000
|
B+/B1
|
Grede Holdings LLC, Initial Term Loan, 4.75%, 6/2/21
|
$ 402,167
|
||
549,857
|
BB+/Ba2
|
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
|
554,897
|
||
$ 957,064
|
|||||
Trading Companies & Distributors - 0.4%
|
|||||
401,389
|
BBB/Ba2
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18
|
$ 401,891
|
||
284,593
|
B+/Ba3
|
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19
|
285,305
|
||
$ 687,196
|
|||||
Total Capital Goods
|
$ 4,313,914
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
COMMERCIAL & PROFESSIONAL SERVICES - 0.3%
|
|||||
Research & Consulting Services - 0.2%
|
|||||
300,000
|
CCC+/Caa1
|
Sourcehov, LLC, Second Lien Term Loan, 8.75%, 4/30/19
|
$ 304,500
|
||
Security & Alarm Services - 0.1%
|
|||||
203,747
|
B+/B1
|
Protection One, Inc., 2012 Term Loan, 4.25%, 3/21/19
|
$ 203,874
|
||
Total Commercial & Professional Services
|
$ 508,374
|
||||
CONSUMER DISCRETIONARY - 1.2%
|
|||||
Automobiles & Components - 0.4%
|
|||||
691,250
|
B+/B2
|
CWGS Group LLC, Term Loan, 5.75%, 2/20/20
|
$ 698,163
|
||
Education Services - 0.6%
|
|||||
945,250
|
B+/B2
|
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19
|
$ 955,293
|
||
Leisure Facilities - 0.1%
|
|||||
132,787
|
B/B1
|
Fitness International LLC, Term B Loan, 5.5%, 7/1/20
|
$ 132,372
|
||
Publishing - 0.1%
|
|||||
163,260
|
B-/B3
|
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
|
$ 166,117
|
||
Total Consumer Discretionary
|
$ 1,951,945
|
||||
CONSUMER DURABLES & APPAREL - 0.1%
|
|||||
Textiles - 0.1%
|
|||||
109,069
|
NR/NR
|
Klockner Pentaplast of America, Inc., Term Loan B-1, 4.75%, 12/21/16
|
$ 109,751
|
||
Total Consumer Durables & Apparel
|
$ 109,751
|
||||
CONSUMER SERVICES - 1.0%
|
|||||
Hotels, Resorts & Cruise Lines - 0.4%
|
|||||
733,428
|
BB-/B2
|
Seven Sea Cruises S. DE R.L., Term B2 Loan, 3.75%, 12/21/18
|
$ 732,970
|
||
Restaurants - 0.6%
|
|||||
453,870
|
B+/Ba3
|
Landry's, Inc., (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18
|
$ 455,458
|
||
542,513
|
B/Ba3
|
NPC International, Inc., Term Loan, 4.0%, 12/28/18
|
542,400
|
||
$ 997,858
|
|||||
Total Consumer Services
|
$ 1,730,828
|
||||
CONSUMER STAPLES - 0.0%†
|
|||||
Personal Products - 0.0%†
|
|||||
100,000
|
CCC+/Caa2
|
Altrium Innovations, Inc., Second Lien Term Loan, 7.75%, 8/13/21
|
$ 99,562
|
||
Total Consumer Staples
|
$ 99,562
|
||||
ENERGY - 1.9%
|
|||||
Coal & Consumable Fuels - 0.1%
|
|||||
352,500
|
CC/Ca
|
PT Bumi Resources Tbk, Term Loan, 18.156%, 11/7/14
|
$ 211,500
|
||
Integrated Oil & Gas - 0.3%
|
|||||
500,000
|
NR/NR
|
Chief Exploration & Development, LLC, Second Lien Term Loan, 7.5%, 5/16/21
|
$ 507,500
|
||
Oil & Gas Drilling - 0.5%
|
|||||
444,680
|
B/B3
|
Jonah Energy LLC, Initial Second Lien Term Loan, 7.5%, 5/12/21
|
$ 446,903
|
||
299,242
|
B-/B3
|
Offshore Group Investment, Ltd., (Vantage Drilling Co.), Second Term Loan, 5.75%, 3/28/19
|
298,432
|
||
$ 745,335
|
|||||
Oil & Gas Equipment & Services - 0.2%
|
|||||
299,248
|
B+/B3
|
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20
|
$ 300,994
|
||
Oil & Gas Exploration & Production - 0.8%
|
|||||
685,000
|
B-/B2
|
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20
|
$ 702,767
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Oil & Gas Exploration & Production (continued)
|
|||||
650,000
|
B/B1
|
Samson Investment Co., Second Lien Term Loan, 5.0%, 9/25/18
|
649,304
|
||
$ 1,352,071
|
|||||
Total Energy
|
$ 3,117,400
|
||||
FOOD, BEVERAGE & TOBACCO - 0.7%
|
|||||
Packaged Foods & Meats - 0.7%
|
|||||
153,486
|
B/B2
|
Del Monte Corp., Initial Term Loan, 3.5%, 3/9/20
|
$ 151,695
|
||
937,650
|
B-/NR
|
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20
|
969,296
|
||
Total Food, Beverage & Tobacco
|
$ 1,120,991
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 3.5%
|
|||||
Health Care Equipment & Services - 0.4%
|
|||||
366,000
|
CCC+/Caa2
|
Accellent, Inc., Initial Second Lien Term Loan, 7.5%, 3/11/22
|
$ 363,102
|
||
238,927
|
BB-/Ba3
|
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.0%, 5/4/18
|
239,183
|
||
$ 602,285
|
|||||
Health Care Facilities - 0.9%
|
|||||
267,100
|
BB/Ba2
|
CHS/Community Health Systems, Inc., Term D Loan, 3.478%, 1/25/17
|
$ 267,620
|
||
711,897
|
BB/Ba2
|
CHS/Community Health Systems, Inc.,Term B Loan, 4.25%, 1/27/21
|
714,566
|
||
196,555
|
BB/NR
|
HCA, Inc., Tranche B-5 Term Loan, 2.905%, 3/31/17
|
196,923
|
||
321,756
|
B+/B1
|
Kindred Healthcare, Inc., Incremental Term Loan, 4.0%, 4/9/21
|
321,455
|
||
$ 1,500,564
|
|||||
Health Care Services - 1.7%
|
|||||
374,931
|
B+/B3
|
AccentCare, Inc., Term Loan, 6.5%, 12/22/16
|
$ 271,825
|
||
208,835
|
B/B2
|
Bioscrip, Inc., Delayed Term Loan, 6.5%, 7/31/20
|
211,706
|
||
348,058
|
B/B2
|
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20
|
352,844
|
||
716,201
|
B/B2
|
Gentiva Health Services, Inc., Initial Term Loan B, 6.5%, 10/18/19
|
717,875
|
||
204,488
|
B/B1
|
National Mentor Holdings, Inc., Tranche B Term Loan, 4.75%, 1/31/21
|
205,425
|
||
460,350
|
B/NR
|
Surgical Care Affiliates LLC, Class C Term Loan, 4.0%, 6/29/18
|
460,062
|
||
283,225
|
B-/B2
|
Valitas Health Services, Inc., Term Loan B, 6.0%, 6/2/17
|
272,250
|
||
485,000(d)
|
NR/B3
|
Virtual Radiologic Corp., Term Loan B, 7.25%, 12/22/16
|
358,093
|
||
$ 2,850,080
|
|||||
Health Care Supplies - 0.1%
|
|||||
237,066
|
B+/NR
|
Alere, Inc., Term Loan B, 5.5%, 6/30/17
|
$ 237,866
|
||
Health Care Technology - 0.4%
|
|||||
240,051
|
BB-/Ba3
|
IMS Health, Inc., Tranche B-1 Dollar Term Loan, 3.5%, 3/17/21
|
$ 238,823
|
||
337,548
|
CCC/Caa3
|
Medical Card System, Inc., Term Loan, 0.0%, 9/17/15
|
332,485
|
||
$ 571,308
|
|||||
Total Health Care Equipment & Services
|
$ 5,762,103
|
||||
HOUSEHOLD & PERSONAL PRODUCTS - 0.7%
|
|||||
Household Products - 0.4%
|
|||||
409,231
|
BB-/B1
|
SRAM LLC, First Lien Term Loan, 4.0%, 4/10/20
|
$ 406,588
|
||
214,361
|
B-/B2
|
Wash MultiFamily Laundry Systems LLC, U.S. Term Loan, 4.5%, 2/21/19
|
214,629
|
||
$ 621,217
|
|||||
Personal Products - 0.1%
|
|||||
215,357
|
BB-/NR
|
NBTY, Inc., B-2 Term Loan, 3.5%, 10/1/17
|
$ 215,330
|
||
Security & Alarm Services - 0.2%
|
|||||
268,840
|
B/Ba3
|
Monitronics International, Inc., 2013 Term Loan B, 4.25%, 3/23/18
|
$ 269,050
|
||
Total Household & Personal Products
|
$ 1,105,597
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
INDUSTRIALS - 0.3%
|
|||||
Aerospace & Defense - 0.1%
|
|||||
234,042
|
B+/Ba3
|
SI Organization, Inc., The Initial First Lien Term Loan, 5.75%, 11/23/19
|
$ 235,505
|
||
Industrial Conglomerates - 0.2%
|
|||||
355,000
|
B-/Caa1
|
Filtration Group Co., Initial Second Lien Term Loan, 8.25%, 11/22/21
|
$ 361,804
|
||
Total Industrials
|
$ 597,309
|
||||
INSURANCE - 1.0%
|
|||||
Multi-Line Insurance - 0.4%
|
|||||
564,787
|
B/B1
|
Alliant Holdings I LLC, Initial Term Loan, 4.25%, 12/20/19
|
$ 566,076
|
||
Property & Casualty Insurance - 0.6%
|
|||||
593,765
|
CCC/Caa2
|
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
|
$ 600,198
|
||
448,201
|
B/B1
|
USI, Inc., Initial Term Loan, 4.25%, 12/27/19
|
448,854
|
||
$ 1,049,052
|
|||||
Total Insurance
|
$ 1,615,128
|
||||
MATERIALS - 0.6%
|
|||||
Diversified Chemicals - 0.2%
|
|||||
297,876
|
B+/B3
|
Univar, Inc., Term Loan B, 5.0%, 6/30/17
|
$ 298,621
|
||
Diversified Metals & Mining - 0.0%†
|
|||||
57,668(e)
|
NR/NR
|
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/20/13
|
$ 25,950
|
||
Metal & Glass Containers - 0.2%
|
|||||
431,239
|
B/B1
|
Tank Holding Corp., Initial Term Loan, 5.5%, 7/9/19
|
$ 431,105
|
||
Paper Products - 0.1%
|
|||||
99,500
|
NR/NR
|
Exopack Holdings SA, USD Term Loan, 5.25%, 5/8/19
|
$ 100,889
|
||
Specialty Chemicals - 0.1%
|
|||||
123,694
|
BB+/Ba1
|
Chemtura Corp., New Term Loan, 3.5%, 8/29/16
|
$ 124,055
|
||
Total Materials
|
$ 980,620
|
||||
MEDIA - 1.4%
|
|||||
Advertising - 0.6%
|
|||||
957,654
|
B/B1
|
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18
|
$ 951,170
|
||
Broadcasting - 0.5%
|
|||||
315,000
|
CCC+/Caa2
|
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21
|
$ 319,725
|
||
465,839
|
B+/B2
|
Univision Communications, Inc., Replacement First-Lien Term Loan, 4.0%, 3/1/20
|
463,509
|
||
$ 783,234
|
|||||
Cable & Telecommunications - 0.2%
|
|||||
340,913
|
B/B1
|
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/1/19
|
$ 342,485
|
||
Movies & Entertainment - 0.0%†
|
|||||
85,818
|
NR/Baa3
|
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18
|
$ 85,979
|
||
Publishing - 0.1%
|
|||||
203,490
|
B/B2
|
Cengage Learning Acquisitions, Inc., Term Loan, 7.0%, 3/31/20
|
$ 205,220
|
||
Total Media
|
$ 2,368,088
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.3%
|
|||||
Life Sciences Tools & Services - 0.3%
|
|||||
433,173
|
BB-/Ba3
|
Catalent Pharma Solutions, Inc., Dollar Term Loan, 4.5%, 5/20/21
|
$ 435,508
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 435,508
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
RETAILING - 0.4%
|
|||||
Computer & Electronics Retail - 0.4%
|
|||||
821,703
|
B/B2
|
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16
|
$ 698,448
|
||
Total Retailing
|
$ 698,448
|
||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.3%
|
|||||
Semiconductor Equipment - 0.3%
|
|||||
561,549
|
BB-/B1
|
Aeroflex, Inc., Tranche B-1 Term Loan, 4.5%, 11/9/19
|
$ 563,772
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 563,772
|
||||
SOFTWARE & SERVICES - 1.4%
|
|||||
Application Software - 0.9%
|
|||||
607,894
|
B-/B1
|
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18
|
$ 607,799
|
||
425,213
|
NR/NR
|
Houghton Mifflin Holdings, Inc., Term Loan, 4.25%, 5/22/18
|
427,339
|
||
500,000
|
CCC+/Caa1
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17
|
509,531
|
||
$ 1,544,669
|
|||||
IT Consulting & Other Services - 0.5%
|
|||||
772,637
|
BB/Ba3
|
SunGuard Data Systems, Inc., Tranche C Term Loan, 3.906%, 2/28/17
|
$ 775,534
|
||
Total Software & Services
|
$ 2,320,203
|
||||
TECHNOLOGY HARDWARE & EQUIPMENT - 0.4%
|
|||||
Communications Equipment - 0.1%
|
|||||
85,750
|
BB+/Ba2
|
CommScope, Inc., Tranche 3 Term Loan, 2.728%, 1/21/17
|
$ 85,857
|
||
128,625
|
BB+/Ba2
|
CommScope, Inc., Tranche 4 Term Loan, 3.25%, 1/14/18
|
128,865
|
||
$ 214,722
|
|||||
Electronic Components - 0.3%
|
|||||
477,897
|
B/B2
|
Scitor Corp., Term Loan, 5.0%, 2/15/17
|
$ 473,213
|
||
Total Technology Hardware & Equipment
|
$ 687,935
|
||||
TRANSPORTATION - 0.1%
|
|||||
Air Freight & Logistics - 0.1%
|
|||||
193,050
|
B-/B2
|
Ozburn-Hessey Holding Co., LLC, Term Loan, 6.75%, 5/23/19
|
$ 193,653
|
||
Total Transportation
|
$ 193,653
|
||||
UTILITIES - 0.5%
|
|||||
Electric Utilities - 0.5%
|
|||||
292,929
|
BB-/Ba3
|
Star West Generation LLC, Advance Term Loan B, 4.25%, 3/13/20
|
$ 293,967
|
||
629,720
|
D/Caa3
|
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.646%, 10/10/17
|
480,161
|
||
Total Utilities
|
$ 774,128
|
||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||
(Cost $35,061,651)
|
$ 34,910,236
|
||||
CORPORATE BONDS & NOTES - 101.7% of Net Assets
|
|||||
AUTOMOBILES & COMPONENTS - 0.6%
|
|||||
Auto Parts & Equipment - 0.6%
|
|||||
350,000
|
B/Caa1
|
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
|
$ 371,000
|
||
275,000
|
B/B3
|
Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A)
|
294,938
|
||
290,000
|
B+/B2
|
Stackpole International Intermediate Co. SA / Stackpole International Powder, 7.75%, 10/15/21 (144A)
|
290,000
|
||
Total Automobiles & Components
|
$ 955,938
|
||||
BANKS - 1.5%
|
|||||
Diversified Banks - 1.2%
|
|||||
525,000
|
CCC-/Caa1
|
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A)
|
$ 519,750
|
||
400,000(b)
|
NR/Ca
|
Banco Macro SA, 9.75%, 12/18/36
|
356,000
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Diversified Banks (continued)
|
|||||
200,000
|
NR/Ba2
|
Turkiye IS Bankasi AS, 6.0%, 10/24/22 (144A)
|
202,500
|
||
750,000
|
BBB/NR
|
UBS AG / Stamford CT, 7.625%, 8/17/22
|
891,711
|
||
$ 1,969,961
|
|||||
Regional Banks - 0.3%
|
|||||
600,000(b)(f)
|
BBB/Baa3
|
PNC Financial Services Group, Inc., 4.447%, 5/29/49
|
$ 598,950
|
||
Total Banks
|
$ 2,568,911
|
||||
CAPITAL GOODS - 5.6%
|
|||||
Aerospace & Defense - 0.6%
|
|||||
400,000
|
B-/Caa1
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$ 371,000
|
||
630,000
|
CCC+/B3
|
DynCorp International, Inc., 10.375%, 7/1/17
|
640,237
|
||
$ 1,011,237
|
|||||
Building Products - 0.4%
|
|||||
300,000
|
BB/B2
|
USG Corp., 7.875%, 3/30/20 (144A)
|
$ 325,875
|
||
365,000
|
BB/B2
|
USG Corp., 9.75%, 8/1/14 (144A)
|
365,000
|
||
$ 690,875
|
|||||
Construction & Engineering - 1.2%
|
|||||
900,000
|
B/B2
|
Empresas ICA S.A.B. de CV, 8.9%, 2/4/21 (144A)
|
$ 945,000
|
||
1,000,000
|
BB-/B1
|
OAS Investments GmbH, 8.25%, 10/19/19 (144A)
|
1,020,000
|
||
$ 1,965,000
|
|||||
Construction & Farm Machinery & Heavy Trucks - 0.7%
|
|||||
360,000
|
B-/B3
|
Meritor, Inc., 6.75%, 6/15/21
|
$ 381,600
|
||
660,000
|
CCC-/B3
|
Navistar International Corp., 8.25%, 11/1/21
|
681,450
|
||
$ 1,063,050
|
|||||
Electrical Components & Equipment - 0.5%
|
|||||
750,000
|
B-/B3
|
WireCo WorldGroup, Inc., 9.5%, 5/15/17
|
$ 761,250
|
||
Industrial Conglomerates - 0.3%
|
|||||
455,000
|
B+/B2
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
$ 503,344
|
||
Industrial Machinery - 1.2%
|
|||||
450,000
|
B/B2
|
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
|
$ 499,500
|
||
335,000
|
B-/Caa2
|
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
|
317,413
|
||
761,000
|
B/Caa1
|
Mueller Water Products, Inc., 7.375%, 6/1/17
|
770,512
|
||
665,000
|
CCC-/NR
|
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A)
|
299,250
|
||
150,000
|
B/B3
|
Xerium Technologies, Inc., 8.875%, 6/15/18
|
159,000
|
||
$ 2,045,675
|
|||||
Trading Companies & Distributors - 0.7%
|
|||||
1,090,000
|
B-/B3
|
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19
|
$ 1,209,900
|
||
Total Capital Goods
|
$ 9,250,331
|
||||
COMMERCIAL & PROFESSIONAL SERVICES - 0.7%
|
|||||
Diversified Support Services - 0.7%
|
|||||
950,000
|
B/Caa2
|
NANA Development Corp., 9.5%, 3/15/19 (144A)
|
$ 922,094
|
||
260,000
|
B-/B3
|
TMS International Corp., 7.625%, 10/15/21 (144A)
|
275,600
|
||
$ 1,197,694
|
|||||
Environmental & Facilities Services - 0.0%†
|
|||||
700,000(d)(e)
|
NR/WR
|
Old AII, Inc., 10.0%, 12/15/16
|
$ 7
|
||
Total Commercial & Professional Services
|
$ 1,197,701
|
||||
CONSUMER DISCRETIONARY - 0.5%
|
|||||
Automotive Retail - 0.4%
|
|||||
625,000
|
B/B3
|
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A)
|
$ 628,906
|
||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Textiles - 0.1%
|
|||||
195,000
|
CCC+/Caa1
|
Polymer Group, Inc., 6.875%, 6/1/19 (144A)
|
$ 196,463
|
||
Total Consumer Discretionary
|
$ 825,369
|
||||
CONSUMER DURABLES & APPAREL - 1.5%
|
|||||
Home Furnishings - 0.4%
|
|||||
535,000
|
B+/B3
|
Tempur Sealy International, Inc., 6.875%, 12/15/20
|
$ 569,106
|
||
Homebuilding - 0.1%
|
|||||
605,000(d)(e)
|
NR/WR
|
Desarrolladora Homex SAB de CV, 9.5%, 12/11/19 (144A)
|
$ 93,775
|
||
500,000(d)(e)
|
NR/WR
|
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A)
|
65,000
|
||
$ 158,775
|
|||||
Leisure Products - 1.0%
|
|||||
EUR
|
275,000
|
CCC+/Caa2
|
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
|
$ 368,842
|
|
1,000,000
|
CCC+/Caa1
|
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)
|
965,000
|
||
375,000(g)
|
CCC+/Caa2
|
PC Nextco Holdings LLC / PC Nextco Finance, Inc., 8.75%, (9.5% PIK 8.75 cash), 8/15/19 (144A)
|
378,750
|
||
$ 1,712,592
|
|||||
Total Consumer Durables & Apparel
|
$ 2,440,473
|
||||
CONSUMER SERVICES - 3.5%
|
|||||
Business Services - 0.8%
|
|||||
750,000
|
B/B2
|
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A)
|
$ 791,250
|
||
500,000
|
B-/Caa2
|
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18
|
490,000
|
||
$ 1,281,250
|
|||||
Casinos & Gaming - 0.0%†
|
|||||
732,290(g)
|
NR/NR
|
Mashantucket Western Pequot Tribe, 6.5%, (5.5% PIK 1.0% cash), 7/1/36
|
$ 91,536
|
||
Hotels, Resorts & Cruise Lines - 0.9%
|
|||||
720,000(g)
|
B-/B3
|
MISA Investments, Ltd., 8.625%, (0.0% PIK 8.625% cash), 8/15/18 (144A)
|
$ 736,560
|
||
400,000
|
B-/B2
|
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19
|
432,000
|
||
325,000
|
B+/B3
|
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)
|
356,688
|
||
$ 1,525,248
|
|||||
Leisure Facilities - 0.7%
|
|||||
EUR
|
800,000
|
B+/B3
|
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A)
|
$ 1,095,220
|
|
Restaurants - 0.9%
|
|||||
1,235,000(c)
|
B-/Caa1
|
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A)
|
$ 1,138,052
|
||
400,000
|
B+/B3
|
Burger King Corp., 9.875%, 10/15/18
|
423,000
|
||
$ 1,561,052
|
|||||
Specialized Consumer Services - 0.2%
|
|||||
315,000
|
B-/B3
|
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21 (144A)
|
$ 330,750
|
||
Total Consumer Services
|
$ 5,885,056
|
||||
CONSUMER STAPLES - 1.0%
|
|||||
Food Distributors - 0.6%
|
|||||
900,000
|
BB/NR
|
JBS Investments GmbH, 7.25%, 4/3/24 (144A)
|
$ 929,250
|
||
Packaged Foods & Meats - 0.4%
|
|||||
640,000
|
B/B2
|
Post Holdings, Inc., 6.75%, 12/1/21 (144A)
|
$ 664,800
|
||
Total Consumer Staples
|
$ 1,594,050
|
||||
DIVERSIFIED FINANCIALS - 1.9%
|
|||||
Asset Management & Custody Banks - 0.4%
|
|||||
590,000
|
BBB-/Baa3
|
Janus Capital Group, Inc., 6.7%, 6/15/17
|
$ 663,771
|
||
Consumer Finance - 1.0%
|
|||||
445,000
|
B/B1
|
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
|
$ 466,138
|
||
610,000
|
NR/NR
|
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)
|
606,944
|
||
440,000
|
B/B3
|
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
|
466,950
|
||
$ 1,540,032
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Investment Banking & Brokerage - 0.2%
|
|||||
450,000(b)(f)
|
BB+/Ba2
|
Goldman Sachs Capital II, 4.0%, 12/29/49
|
$ 356,625
|
||
Multi-Sector Holdings - 0.3%
|
|||||
600,000
|
B-/B3
|
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A)
|
$ 540,000
|
||
Total Diversified Financials
|
$ 3,100,428
|
||||
ENERGY - 14.6%
|
|||||
Coal & Consumable Fuels - 1.0%
|
|||||
285,000
|
B/B2
|
Alpha Natural Resources, Inc., 7.5%, 8/1/20 (144A)
|
$ 262,913
|
||
650,000(e)
|
CCC-/Ca
|
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
|
302,250
|
||
400,000(e)
|
NR/WR
|
James River Coal Co., 7.875%, 4/1/19
|
44,000
|
||
300,000
|
B-/Caa1
|
Murray Energy Corp., 8.625%, 6/15/21 (144A)
|
318,000
|
||
715,000
|
B-/Caa1
|
Penn Virginia Corp., 8.5%, 5/1/20
|
791,862
|
||
$ 1,719,025
|
|||||
Integrated Oil & Gas - 0.3%
|
|||||
150,000
|
B-/B3
|
Jones Energy Holdings LLC / Jones Energy Finance Corp., 6.75%, 4/1/22 (144A)
|
$ 156,000
|
||
325,000
|
NR/Caa1
|
YPF SA, 8.875%, 12/19/18 (144A)
|
336,375
|
||
$ 492,375
|
|||||
Oil & Gas Drilling - 1.1%
|
|||||
645,000
|
B/B3
|
Hercules Offshore, Inc., 8.75%, 7/15/21 (144A)
|
$ 656,288
|
||
730,000
|
CCC+/Caa1
|
Ocean Rig UDW, Inc., 7.25%, 4/1/19 (144A)
|
702,625
|
||
190,000
|
B+/B2
|
Pioneer Energy Services Corp., 9.875%, 3/15/18
|
200,450
|
||
320,000
|
B+/B1
|
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)
|
339,200
|
||
$ 1,898,563
|
|||||
Oil & Gas Equipment & Services - 1.4%
|
|||||
448,000
|
B/Ba3
|
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A)
|
$ 462,000
|
||
690,000
|
B/Caa1
|
Forbes Energy Services, Ltd., 9.0%, 6/15/19
|
700,350
|
||
395,000
|
B-/B2
|
FTS International, Inc., 6.25%, 5/1/22 (144A)
|
401,912
|
||
425,000
|
BB/B1
|
McDermott International, Inc., 8.0%, 5/1/21 (144A)
|
433,500
|
||
330,000
|
B/B3
|
Seitel, Inc., 9.5%, 4/15/19
|
347,325
|
||
$ 2,345,087
|
|||||
Oil & Gas Exploration & Production - 10.3%
|
|||||
520,000
|
CCC+/B3
|
Athlon Holdings LP / Athlon Finance Corp., 7.375%, 4/15/21 (144A)
|
$ 553,800
|
||
100,000
|
B-/B3
|
Comstock Resources, Inc., 7.75%, 4/1/19
|
105,250
|
||
500,000
|
B-/B3
|
Comstock Resources, Inc., 9.5%, 6/15/20
|
558,750
|
||
515,000
|
B/B3
|
Energy XXI Gulf Coast, Inc., 7.5%, 12/15/21
|
538,175
|
||
600,000
|
B/B2
|
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20
|
664,500
|
||
920,000
|
CCC/Caa1
|
Forest Oil Corp., 7.5%, 9/15/20
|
914,296
|
||
360,000
|
B/NR
|
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A)
|
388,350
|
||
570,000
|
B-/B3
|
Gulfport Energy Corp., 7.75%, 11/1/20
|
618,450
|
||
165,000
|
CCC+/Caa1
|
Halcon Resources Corp., 9.25%, 2/15/22
|
173,456
|
||
890,000
|
CCC+/Caa1
|
Halcon Resources Corp., 9.75%, 7/15/20
|
952,300
|
||
680,000
|
B-/Caa1
|
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A)
|
703,800
|
||
630,000
|
CCC+/Caa1
|
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21
|
647,325
|
||
600,000
|
CCC+/Caa1
|
Midstates Petroleum Co., Inc., 9.25%, 6/1/21
|
619,500
|
||
455,000
|
CCC+/Caa1
|
Midstates Petroleum Co., Inc., 10.75%, 10/1/20
|
490,263
|
||
350,000
|
B+/NR
|
MIE Holdings Corp., 7.5%, 4/25/19 (144A)
|
369,688
|
||
200,000
|
NR/NR
|
National JSC Naftogaz of Ukraine, 9.5%, 9/30/14
|
194,500
|
||
1,440,000
|
B-/Caa1
|
Northern Oil & Gas, Inc., 8.0%, 6/1/20
|
1,519,200
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Oil & Gas Exploration & Production (continued)
|
|||||
535,000
|
B-/B3
|
PDC Energy, Inc., 7.75%, 10/15/22
|
593,850
|
||
750,000
|
B/Caa1
|
PetroQuest Energy, Inc., 10.0%, 9/1/17
|
781,875
|
||
480,000
|
B-/Caa1
|
QR Energy LP / QRE Finance Corp., 9.25%, 8/1/20
|
549,600
|
||
240,000
|
CCC-/Caa3
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
208,800
|
||
700,000
|
CCC+/B3
|
Resolute Energy Corp., 8.5%, 5/1/20
|
714,000
|
||
375,000
|
CCC+/B3
|
Rice Energy, Inc., 6.25%, 5/1/22 (144A)
|
371,250
|
||
870,000
|
B-/B3
|
RKI Exploration & Production LLC / RKI Finance Corp., 8.5%, 8/1/21 (144A)
|
930,900
|
||
285,000
|
B+/B1
|
Rosetta Resources, Inc., 5.875%, 6/1/24
|
290,700
|
||
700,000
|
CCC+/B3
|
Samson Investment Co., 10.75%, 2/15/20 (144A)
|
708,750
|
||
1,170,000
|
B-/B3
|
Sanchez Energy Corp., 7.75%, 6/15/21
|
1,269,450
|
||
335,000
|
CCC+/Caa1
|
Talos Production LLC / Talos Production Finance, Inc., 9.75%, 2/15/18 (144A)
|
347,562
|
||
CAD
|
315,000
|
B/NR
|
Trilogy Energy Corp., 7.25%, 12/13/19 (144A)
|
306,288
|
|
$ 17,084,628
|
|||||
Oil & Gas Refining & Marketing - 0.2%
|
|||||
300,000
|
B+/B2
|
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21 (144A)
|
$ 306,000
|
||
Oil & Gas Storage & Transportation - 0.3%
|
|||||
450,000(a)
|
BB/Ba1
|
Energy Transfer Partners LP, 3.257%, 11/1/66
|
$ 418,500
|
||
Total Energy
|
$ 24,264,178
|
||||
FINANCIALS - 0.5%
|
|||||
Specialized Finance - 0.5%
|
|||||
695,000
|
B/B2
|
DFC Finance Corp., 10.5%, 6/15/20 (144A)
|
$ 691,525
|
||
175,000
|
B+/B2
|
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
|
169,750
|
||
Total Financials
|
$ 861,275
|
||||
FOOD, BEVERAGE & TOBACCO - 8.2%
|
|||||
Agricultural Products - 1.3%
|
|||||
900,000
|
CCC+/Caa1
|
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)
|
$ 967,500
|
||
520,000
|
B/B2
|
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)
|
527,800
|
||
500,000
|
B-/NR
|
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A)
|
458,750
|
||
225,000
|
B/NR
|
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)
|
230,625
|
||
$ 2,184,675
|
|||||
Packaged Foods & Meats - 5.9%
|
|||||
225,000
|
B/B2
|
Agrokor DD, 8.875%, 2/1/20 (144A)
|
$ 248,906
|
||
EUR
|
200,000
|
B/B2
|
Agrokor DD, 9.875%, 5/1/19 (144A)
|
297,236
|
|
650,000
|
BB/Ba3
|
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)
|
747,500
|
||
500,000
|
B+/B2
|
CFG Investment SAC, 9.75%, 7/30/19 (144A)
|
487,500
|
||
297,000
|
B/B1
|
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21
|
317,790
|
||
491,000
|
B+/B2
|
Corporacion Pesquera Inca SAC, 9.0%, 2/10/17 (144A)
|
469,985
|
||
1,100,000
|
B/B3
|
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
|
1,177,000
|
||
515,000
|
B/B2
|
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)
|
515,000
|
||
800,000
|
B/B2
|
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
|
842,000
|
||
700,000
|
B/B2
|
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)
|
803,250
|
||
475,000
|
B/B2
|
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A)
|
503,358
|
||
700,000
|
CCC/NR
|
MHP SA, 8.25%, 4/2/20 (144A)
|
647,640
|
||
1,600,000
|
BB-/B1
|
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
|
1,714,000
|
||
200,000
|
BB-/B1
|
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
|
230,000
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Packaged Foods & Meats (continued)
|
|||||
600,000
|
B+/B2
|
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)
|
546,000
|
||
300,000
|
BB/B3
|
Pilgrim's Pride Corp., 7.875%, 12/15/18
|
315,000
|
||
$ 9,862,165
|
|||||
Tobacco - 1.0%
|
|||||
1,645,000
|
B-/Caa1
|
Alliance One International, Inc., 9.875%, 7/15/21
|
$ 1,615,184
|
||
Total Food, Beverage & Tobacco
|
$ 13,662,024
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 2.0%
|
|||||
Health Care Equipment & Services - 0.6%
|
|||||
831,000
|
B+/B2
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
$ 912,023
|
||
Health Care Facilities - 0.4%
|
|||||
500,000
|
B-/B3
|
Kindred Healthcare, Inc., 6.375%, 4/15/22 (144A)
|
$ 495,000
|
||
200,000
|
CCC+/Caa1
|
United Surgical Partners International, 9.0%, 4/1/20
|
217,000
|
||
$ 712,000
|
|||||
Health Care Services - 0.5%
|
|||||
425,000
|
CCC/Caa2
|
BioScrip, Inc., 8.875%, 2/15/21 (144A)
|
$ 434,562
|
||
426,000
|
CCC+/Caa2
|
Gentiva Health Services, Inc., 11.5%, 9/1/18
|
451,560
|
||
$ 886,122
|
|||||
Health Care Supplies - 0.3%
|
|||||
500,000
|
CCC+/Caa2
|
Immucor, Inc., 11.125%, 8/15/19
|
$ 550,000
|
||
Health Care Technology - 0.2%
|
|||||
275,000
|
CCC+/Caa1
|
Emdeon, Inc., 11.0%, 12/31/19
|
$ 309,375
|
||
Total Health Care Equipment & Services
|
$ 3,369,520
|
||||
HOUSEHOLD & PERSONAL PRODUCTS - 0.5%
|
|||||
Household Products - 0.3%
|
|||||
EUR
|
350,000(a)
|
B/B2
|
Hydra Dutch Holdings 2BV, 5.703%, 4/15/19 (144A)
|
$ 463,929
|
|
Personal Products - 0.2%
|
|||||
345,000
|
CCC+/Caa1
|
Monitronics International, Inc., 9.125%, 4/1/20
|
$ 362,250
|
||
Total Household & Personal Products
|
$ 826,179
|
||||
INDUSTRIALS - 0.6%
|
|||||
Aerospace & Defense - 0.3%
|
|||||
435,000
|
B/B3
|
LMI Aerospace, Inc., 7.375%, 7/15/19 (144A)
|
$ 439,894
|
||
Diversified Support Services - 0.2%
|
|||||
280,000
|
B+/Ba3
|
Transfield Services, Ltd., 8.375%, 5/15/20 (144A)
|
$ 288,050
|
||
Industrial Machinery - 0.1%
|
|||||
250,000
|
B-/Caa1
|
BC Mountain LLC / BC Mountain Finance, Inc., 7.0%, 2/1/21 (144A)
|
$ 240,000
|
||
Total Industrials
|
$ 967,944
|
||||
INFORMATION TECHNOLOGY - 0.0%†
|
|||||
Internet Software & Services - 0.0%†
|
|||||
63,950(g)
|
NR/NR
|
First Data Holdings, Inc., 14.5%, (14.5% PIK 0.0% cash), 9/24/19 (144A)
|
$ 72,264
|
||
Total Information Technology
|
$ 72,264
|
||||
INSURANCE - 32.3%
|
|||||
Insurance Brokers - 0.5%
|
|||||
GBP
|
475,000
|
NR/Caa2
|
Towergate Finance Plc, 10.5%, 2/15/19 (144A)
|
$ 741,775
|
|
Multi-Line Insurance - 0.6%
|
|||||
1,000,000(b)
|
BB+/Baa3
|
Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A)
|
$ 1,060,000
|
||
Property & Casualty Insurance - 2.3%
|
|||||
6,000,000(c)(d)
|
BBB+/NR
|
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A)
|
$ 3,793,525
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Property & Casualty Insurance (continued)
|
|||||
80,000(b)(f)
|
BB+/Ba2
|
White Mountains Insurance Group, Ltd., 7.506%, 5/29/49 (144A)
|
84,400
|
||
$ 3,877,925
|
|||||
Reinsurance - 28.9%
|
|||||
EUR
|
750,000(a)
|
BB/NR
|
ATLAS Reinsurance VII, 3.65%, 1/7/16 (144A)
|
$ 1,016,928
|
|
1,000,000(a)
|
BB+/NR
|
Bosphorus 1 Re, Ltd., 2.52%, 5/3/16 (144A)
|
997,900
|
||
750,000(a)
|
NR/NR
|
Combine Re, Ltd., 17.77%, 1/7/15 (144A)
|
781,725
|
||
500,000(a)
|
BB-/NR
|
Compass Re, Ltd., 10.27%, 1/8/15 (144A)
|
502,350
|
||
500,000(a)
|
B+/NR
|
Compass Re, Ltd., 11.27%, 1/8/15 (144A)
|
502,800
|
||
1,750,000(a)
|
BB+/NR
|
East Lane Re VI, Ltd., 2.77%, 3/14/18 (144A)
|
1,725,850
|
||
2,000,000(a)
|
NR/NR
|
Gator Re, Ltd., 6.52%, 1/9/17 (144A)
|
1,982,600
|
||
1,300,000(a)
|
B-/NR
|
Ibis Re II, Ltd., 13.52%, 2/5/15 (144A)
|
1,299,610
|
||
–
|
4,008,000(d)
|
NR/NR
|
Kane SAC, Ltd., 0.0%, 6/12/15
|
3,817,074
|
|
1,018,720(d)
|
NR/NR
|
Kane SAC, Ltd., 0.0%, 7/14/15
|
966,765
|
||
1,500,000(d)
|
NR/NR
|
Kane SAC, Ltd., 0.0%, 8/1/15
|
1,524,600
|
||
2,004,948(d)
|
NR/NR
|
Kane SAC, Ltd., 0.0%, 7/7/16
|
1,994,121
|
||
2,006,000(d)
|
NR/NR
|
Kane SAC, Ltd., 0.0%, 7/18/16
|
2,092,459
|
||
2,011,000(d)
|
NR/NR
|
Kane SAC, Ltd., 0.0%, 7/30/16
|
2,065,699
|
||
1,000,000(a)
|
BB-/NR
|
Kilimanjaro Re, Ltd., 4.52%, 4/30/18 (144A)
|
993,700
|
||
1,000,000(a)
|
BB-/NR
|
Kilimanjaro Re, Ltd., 4.77%, 4/30/18 (144A)
|
1,001,200
|
||
2,000,000(a)
|
NR/NR
|
Kizuna II Re, Ltd., 2.27%, 4/6/18 (144A)
|
2,004,800
|
||
EUR
|
1,500,000(a)
|
NR/NR
|
Lion I Re, Ltd., 1.594%, 4/28/17 (144A)
|
2,009,555
|
|
1,000,000(a)
|
NR/NR
|
Merna Reinsurance V, Ltd., 2.02%, 4/7/17 (144A)
|
1,000,600
|
||
1,750,000(a)
|
BB-/NR
|
MetroCat Re, Ltd., 4.52%, 8/5/16 (144A)
|
1,791,125
|
||
975,000(a)
|
B-/NR
|
Mythen Re, Ltd., 11.756%, 11/10/16 (144A)
|
1,017,802
|
||
500,000(a)
|
B+/NR
|
Mythen Re, Ltd. Series 2012-2 Class A, 8.526%, 1/5/17 (144A)
|
527,550
|
||
1,250,000(a)
|
NR/NR
|
Pelican Re, Ltd., 6.02%, 5/15/17 (144A)
|
1,279,500
|
||
2,000,000(a)
|
BB-/NR
|
Queen Street IV Capital, Ltd., 7.52%, 4/9/15 (144A)
|
2,016,200
|
||
500,000(a)
|
B/NR
|
Queen Street VII Re, Ltd., 8.62%, 4/8/16 (144A)
|
513,850
|
||
1,250,000(a)
|
B-/NR
|
Residential Reinsurance 2011, Ltd., 12.02%, 6/6/15 (144A)
|
1,291,625
|
||
250,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 12.77%, 12/6/16 (144A)
|
270,175
|
||
1,250,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 19.02%, 12/6/16 (144A)
|
1,393,125
|
||
1,000,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 22.02%, 6/6/16 (144A)
|
1,176,300
|
||
500,000(a)
|
NR/NR
|
Residential Reinsurance 2013, Ltd., 20.02%, 12/6/17 (144A)
|
504,200
|
||
1,500,000(h)
|
NR/NR
|
Sector Re V, Ltd., 0.0%, 3/30/19 (144A)
|
1,544,550
|
||
–
|
1,005,999(d)(h)
|
NR/NR
|
Sector Re V, Ltd., 0.0%, 12/1/17 (144A)
|
1,067,100
|
|
1,630(d)(h)
|
NR/NR
|
Sector Re V, Ltd., 0.0%, 3/1/18 (144A)
|
102,113
|
||
1,000,000(d)(h)
|
NR/NR
|
Silverton RE, Ltd., 0.0%, 9/16/16 (144A)
|
1,165,800
|
||
1,500,000(a)
|
B-/NR
|
Successor X, Ltd., 11.27%, 11/10/15 (144A)
|
1,551,600
|
||
500,000(a)
|
NR/NR
|
Successor X, Ltd., 16.27%, 11/10/15 (144A)
|
506,250
|
||
1,000,000(a)
|
NR/NR
|
Successor X, Ltd., 16.52%, 1/27/15 (144A)
|
1,008,200
|
||
1,000,000(a)
|
B+/NR
|
Tar Heel Re, Ltd., 8.52%, 5/9/16 (144A)
|
1,030,400
|
||
$ 48,037,801
|
|||||
Total Insurance
|
$ 53,717,501
|
||||
MATERIALS - 9.9%
|
|||||
Commodity Chemicals - 0.5%
|
|||||
300,000
|
BBB/WR
|
Basell Finance Co. BV, 8.1%, 3/15/27 (144A)
|
$ 401,806
|
||
EUR
|
250,000
|
CCC+/B3
|
KP Germany Erste GmbH, 11.625%, 7/15/17 (144A)
|
372,382
|
|
$ 774,188
|
|||||
Construction Materials - 0.4%
|
|||||
389,000
|
B+/NR
|
Cemex Espana Luxembourg, 9.875%, 4/30/19 (144A)
|
$ 435,680
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Construction Materials (continued)
|
|||||
300,000(f)
|
BB/NR
|
Magnesita Finance, Ltd., 8.625%, 4/29/49 (144A)
|
299,100
|
||
$ 734,780
|
|||||
Diversified Metals & Mining - 1.6%
|
|||||
150,000
|
CCC/Caa2
|
Boart Longyear Management Pty, Ltd., 7.0%, 4/1/21 (144A)
|
$ 109,500
|
||
330,000
|
B-/B3
|
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)
|
345,675
|
||
400,000
|
(P)CCC+/Caa1
|
Essar Steel Minnesota LLC, 11.5%, 5/15/20 (144A)
|
411,000
|
||
245,000
|
B+/B1
|
First Quantum Minerals, Ltd., 7.25%, 5/15/22 (144A)
|
252,044
|
||
300,000(e)
|
D/WR
|
Midwest Vanadium Pty, Ltd., 11.5%, 2/15/18 (144A)
|
126,000
|
||
373,000
|
NR/NR
|
Mirabela Nickel, Ltd., 9.5%, 6/20/19
|
373,000
|
||
180,000
|
B/Caa1
|
Prince Mineral Holding Corp., 12.0%, 12/15/19 (144A)
|
201,712
|
||
750,000
|
BB/Ba3
|
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)
|
866,250
|
||
$ 2,685,181
|
|||||
Gold - 0.1%
|
|||||
85,000
|
BB-/B1
|
IAMGOLD Corp., 6.75%, 10/1/20 (144A)
|
$ 78,200
|
||
Metal & Glass Containers - 0.5%
|
|||||
240,000(g)
|
CCC+/Caa2
|
Ardagh Finance Holdings SA, 8.625%, (8.625% PIK 0.0% cash), 6/15/19 (144A)
|
$ 241,800
|
||
EUR
|
250,000
|
CCC+/Caa1
|
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A)
|
353,135
|
|
175,000
|
CCC+/Caa1
|
BWAY Holdings Co., 10.0%, 6/15/18
|
183,750
|
||
$ 778,685
|
|||||
Paper Packaging - 1.4%
|
|||||
606,510(c)
|
NR/NR
|
Bio Pappel SAB de CV, 10.0%, 8/27/16
|
$ 612,575
|
||
580,000
|
B-/NR
|
Exopack Holding Corp., 10.0%, 6/1/18 (144A)
|
625,466
|
||
500,000
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 9.0%, 4/15/19
|
521,250
|
||
475,000
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 9.875%, 8/15/19
|
511,813
|
||
$ 2,271,104
|
|||||
Paper Products - 1.6%
|
|||||
675,000
|
CCC+/B2
|
Appvion, Inc., 9.0%, 6/1/20 (144A)
|
$ 644,625
|
||
344,000
|
B/B3
|
Mercer International, Inc., 9.5%, 12/1/17
|
364,640
|
||
840,000
|
BB-/Ba3
|
Resolute Forest Products, Inc., 5.875%, 5/15/23
|
798,000
|
||
545,000
|
BB/Ba2
|
Sappi Papier Holding GmbH, 8.375%, 6/15/19 (144A)
|
596,775
|
||
255,000
|
B-/Caa1
|
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)
|
265,200
|
||
$ 2,669,240
|
|||||
Precious Metals & Minerals - 0.3%
|
|||||
500,000
|
BB-/Ba3
|
ALROSA Finance SA, 8.875%, 11/17/14 (144A)
|
$ 508,915
|
||
Steel - 3.5%
|
|||||
750,000
|
B-/Caa1
|
AM Castle & Co., 12.75%, 12/15/16
|
$ 791,250
|
||
250,000
|
B+/B3
|
APERAM, 7.375%, 4/1/16 (144A)
|
255,625
|
||
450,000
|
CCC+/Caa2
|
Essar Steel Algoma, Inc., 9.375%, 3/15/15 (144A)
|
450,562
|
||
250,000
|
B+/B1
|
Evraz Group SA, 9.5%, 4/24/18 (144A)
|
260,000
|
||
900,000
|
CCC+/Caa2
|
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A)
|
864,000
|
||
900,000
|
NR/Caa2
|
Metinvest BV, 8.75%, 2/14/18 (144A)
|
753,930
|
||
600,000
|
NR/Caa2
|
Metinvest BV, 10.25%, 5/20/15 (144A)
|
549,000
|
||
585,000
|
B/B2
|
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
|
636,919
|
||
507,000
|
B-/B3
|
Permian Holdings, Inc., 10.5%, 1/15/18 (144A)
|
514,605
|
||
750,000
|
CCC+/Caa2
|
Ryerson, Inc., 9.0%, 10/15/17
|
794,062
|
||
$ 5,869,953
|
|||||
Total Materials
|
$ 16,370,246
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
MEDIA - 4.9%
|
|||||
Broadcasting - 2.2%
|
|||||
400,000
|
B-/Caa2
|
Intelsat Luxembourg SA, 7.75%, 6/1/21
|
$ 409,000
|
||
EUR
|
150,000
|
B+/B1
|
Nara Cable Funding II, Ltd., 8.5%, 3/1/20 (144A)
|
238,492
|
|
200,000
|
B+/B1
|
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
|
212,000
|
||
1,655,000
|
B/B3
|
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A)
|
1,795,675
|
||
990,000
|
CCC+/Caa2
|
Truven Health Analytics, Inc., 10.625%, 6/1/20
|
1,074,150
|
||
$ 3,729,317
|
|||||
Cable - 0.2%
|
|||||
EUR
|
200,000
|
B+/B1
|
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
|
$ 285,405
|
|
Movies & Entertainment - 2.0%
|
|||||
1,710,000
|
B-/B3
|
AMC Entertainment, Inc., 9.75%, 12/1/20
|
$ 1,910,925
|
||
600,000
|
B-/B3
|
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)
|
606,000
|
||
200,000
|
CCC-/Caa2
|
Production Resource Group, Inc., 8.875%, 5/1/19
|
160,000
|
||
625,000
|
B/Caa1
|
WMG Acquisition Corp., 6.75%, 4/15/22 (144A)
|
607,812
|
||
$ 3,284,737
|
|||||
Publishing - 0.5%
|
|||||
855,000
|
BB+/Ba1
|
Gannett Co., Inc., 6.375%, 10/15/23 (144A)
|
$ 902,025
|
||
Total Media
|
$ 8,201,484
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.8%
|
|||||
Biotechnology - 0.8%
|
|||||
300,000
|
B/B3
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$ 321,750
|
||
1,043,000
|
B-/Caa1
|
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
|
1,040,393
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 1,362,143
|
||||
REAL ESTATE - 0.4%
|
|||||
Diversified REIT's - 0.1%
|
|||||
200,000
|
B/Ba3
|
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19
|
$ 204,000
|
||
Real Estate Operating Companies - 0.3%
|
|||||
410,000
|
CCC-/NR
|
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A)
|
$ 393,600
|
||
Total Real Estate
|
$ 597,600
|
||||
RETAILING - 0.6%
|
|||||
Department Stores - 0.6%
|
|||||
625,000
|
B/NR
|
Grupo Famsa SAB de CV, 7.25%, 6/1/20 (144A)
|
$ 640,625
|
||
350,000
|
CCC+/Caa2
|
Neiman Marcus Group, Inc., 8.0%, 10/15/21 (144A)
|
369,250
|
||
Total Retailing
|
$ 1,009,875
|
||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.6%
|
|||||
Semiconductors - 0.6%
|
|||||
210,000
|
B/B2
|
Advanced Micro Devices, Inc., 6.75%, 3/1/19 (144A)
|
$ 215,250
|
||
285,000
|
B/B2
|
Advanced Micro Devices, Inc., 7.0%, 7/1/24 (144A)
|
277,875
|
||
500,000
|
B/B2
|
Advanced Micro Devices, Inc., 7.5%, 8/15/22
|
517,500
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 1,010,625
|
||||
SOFTWARE & SERVICES - 1.4%
|
|||||
Application Software - 0.3%
|
|||||
415,000
|
B-/B3
|
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18 (144A)
|
$ 425,375
|
||
Data Processing & Outsourced Services - 0.5%
|
|||||
404,000
|
B-/Caa1
|
First Data Corp., 8.25%, 1/15/21 (144A)
|
$ 432,280
|
||
162,000
|
B-/Caa1
|
First Data Corp., 10.625%, 6/15/21
|
183,971
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Data Processing & Outsourced Services (continued)
|
|||||
225,000
|
BB-/B2
|
NeuStar, Inc., 4.5%, 1/15/23
|
191,250
|
||
$ 807,501
|
|||||
Systems Software - 0.6%
|
|||||
1,144,999(d)
|
NR/NR
|
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A)
|
$ 1,064,849
|
||
Total Software & Services
|
$ 2,297,725
|
||||
TELECOMMUNICATION SERVICES - 2.1%
|
|||||
Integrated Telecommunication Services - 0.5%
|
|||||
186,000
|
CCC+/Caa1
|
Cincinnati Bell, Inc., 8.75%, 3/15/18
|
$ 194,742
|
||
300,000
|
BB-/Ba2
|
Frontier Communications Corp., 8.75%, 4/15/22
|
342,000
|
||
350,000
|
NR/WR
|
PAETEC Holding Corp., 9.875%, 12/1/18
|
372,312
|
||
$ 909,054
|
|||||
Wireless Telecommunication Services - 1.6%
|
|||||
250,000
|
B-/B3
|
Altice Finco SA, 8.125%, 1/15/24 (144A)
|
$ 265,625
|
||
300,000
|
(P)B/(P)B3
|
Altice SA, 7.75%, 5/15/22 (144A)
|
306,750
|
||
750,000
|
CC/Caa2
|
NII Capital Corp., 10.0%, 8/15/16
|
202,500
|
||
250,000
|
NR/NR
|
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
|
256,922
|
||
1,115,000
|
BB/Ba3
|
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A)
|
1,215,350
|
||
RUB
|
14,400,000
|
BB/Ba3
|
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)
|
375,307
|
|
$ 2,622,454
|
|||||
Total Telecommunication Services
|
$ 3,531,508
|
||||
TRANSPORTATION - 3.4%
|
|||||
Airlines - 0.9%
|
|||||
1,000,000
|
B-/NR
|
Gol Finance, 9.25%, 7/20/20 (144A)
|
$ 1,025,000
|
||
500,000
|
BB-/NR
|
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)
|
542,500
|
||
$ 1,567,500
|
|||||
Airport Services - 0.4%
|
|||||
571,040
|
CCC-/Caa1
|
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)
|
$ 599,592
|
||
Highways & Railtracks - 0.2%
|
|||||
MXN
|
4,500,000
|
BBB/NR
|
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A)
|
$ 320,191
|
|
Marine - 0.5%
|
|||||
500,000
|
B+/NR
|
Far East Capital, Ltd. SA, 8.0%, 5/2/18 (144A)
|
$ 360,000
|
||
375,000
|
B+/B2
|
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)
|
382,500
|
||
$ 742,500
|
|||||
Railroads - 0.5%
|
|||||
355,000(g)
|
NR/NR
|
AAF Holdings LLC/AAF Finance Co., 12.0% , (6.0% PIK 6.75% cash), 7/1/19 (144A)
|
$ 362,987
|
||
485,000
|
B/B3
|
Florida East Coast Holdings Corp., 6.75%, 5/1/19 (144A)
|
501,975
|
||
$ 864,962
|
|||||
Trucking - 0.9%
|
|||||
1,000,000
|
CCC+/B2
|
Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A)
|
$ 1,095,000
|
||
425,000
|
B+/B1
|
Swift Services Holdings, Inc., 10.0%, 11/15/18
|
453,687
|
||
$ 1,548,687
|
|||||
Total Transportation
|
$ 5,643,432
|
||||
UTILITIES - 2.1%
|
|||||
Electric Utilities - 1.5%
|
|||||
750,000
|
CCC-/NR
|
Cia de Energia Electrica en Alta Tension Transener SA, 9.75%, 8/15/21 (144A)
|
$ 592,500
|
||
375,000
|
BB-/B3
|
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A)
|
371,250
|
||
625,000
|
NR/Caa2
|
DTEK Finance Plc, 7.875%, 4/4/18 (144A)
|
465,750
|
||
419,000
|
CCC-/Caa3
|
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
|
322,630
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Electric Utilities (continued)
|
|||||
460,000(b)
|
BB+/Ba1
|
Enel SpA, 8.75%, 9/24/73 (144A)
|
542,800
|
||
225,000
|
BBB-/Baa3
|
PNM Resources, Inc., 9.25%, 5/15/15
|
239,339
|
||
$ 2,534,269
|
|||||
Gas Utilities - 0.6%
|
|||||
867,450
|
CCC-/Caa1
|
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A)
|
$ 886,968
|
||
Total Utilities
|
$ 3,421,237
|
||||
TOTAL CORPORATE BONDS & NOTES
|
|||||
(Cost $165,368,025)
|
$ 169,005,017
|
||||
CONVERTIBLE BONDS & NOTES - 2.2% of Net Assets
|
|||||
DIVERSIFIED FINANCIALS - 0.1%
|
|||||
Asset Management & Custody Banks - 0.1%
|
|||||
120,000
|
BBB/NR
|
Apollo Investment Corp., 5.75%, 1/15/16
|
$ 126,300
|
||
Total Diversified Financials
|
$ 126,300
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 0.8%
|
|||||
Health Care Equipment & Services - 0.8%
|
|||||
1,040,000(c)
|
B+/NR
|
Hologic, Inc., 2.0%, 12/15/37
|
$ 1,313,650
|
||
Health Care Services - 0.0%†
|
|||||
15,000
|
B+/B2
|
Omnicare, Inc., 3.25%, 12/15/35
|
$ 15,760
|
||
Total Health Care Equipment & Services
|
$ 1,329,410
|
||||
MATERIALS - 1.1%
|
|||||
Diversified Chemicals - 1.0%
|
|||||
1,900,000(i)
|
B+/NR
|
Hercules, Inc., 6.5%, 6/30/29
|
$ 1,738,500
|
||
Diversified Metals & Mining - 0.1%
|
|||||
100,000
|
BB/NR
|
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16
|
$ 102,250
|
||
Total Materials
|
$ 1,840,750
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.1%
|
|||||
Biotechnology - 0.1%
|
|||||
250,000
|
NR/NR
|
Corsicanto, Ltd., 3.5%, 1/15/32
|
$ 197,656
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 197,656
|
||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1%
|
|||||
Semiconductors - 0.1%
|
|||||
250,000
|
NR/NR
|
ReneSola, Ltd., 4.125%, 3/15/18 (144A)
|
$ 199,375
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 199,375
|
||||
TOTAL CONVERTIBLE BONDS & NOTES
|
|||||
(Cost $2,705,970)
|
$ 3,693,491
|
||||
SOVEREIGN DEBT OBLIGATIONS - 1.7% of Net Assets
|
|||||
Argentina - 0.2%
|
|||||
364,720
|
CCC-/NR
|
Province of Salta Argentina, 9.5%, 3/16/22 (144A)
|
$ 359,249
|
||
Brazil - 0.1%
|
|||||
BRL
|
500,000
|
BBB-/Baa2
|
Brazilian Government International Bond, 10.25%, 1/10/28
|
$ 224,828
|
|
Ghana - 0.4%
|
|||||
GHS
|
600,000
|
NR/NR
|
Ghana Government Bond, 19.24%, 5/30/16
|
$ 159,867
|
|
GHS
|
150,000
|
NR/NR
|
Ghana Government Bond, 26.0%, 6/5/17
|
43,429
|
|
500,000
|
B/B2
|
Republic of Ghana, 7.875%, 8/7/23 (144A)
|
484,060
|
||
$ 687,356
|
|||||
Mexico - 0.5%
|
|||||
MXN
|
500,000
|
A/A3
|
Mexican Bonos, 7.5%, 6/3/27
|
$ 42,341
|
|
MXN
|
8,870,000
|
A/A3
|
Mexican Bonos, 7.75%, 11/13/42
|
745,028
|
|
MXN
|
308,408
|
A/A3
|
Mexican Udibonos, 3.5%, 12/14/17
|
25,437
|
|
812,806
|
|||||
Nigeria - 0.4%
|
|||||
NGN
|
79,000,000
|
NR/NR
|
Nigeria Government Bond, 16.0%, 6/29/19
|
$ 575,802
|
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Ukraine - 0.1%
|
|||||
100,000
|
CCC/Caa3
|
Ukraine Government International Bond, 6.75%, 11/14/17 (144A)
|
$ 95,050
|
||
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
|||||
(Cost $2,964,525)
|
$ 2,755,091
|
||||
Shares
|
Value
|
||||
COMMON STOCKS - 0.8% of Net Assets
|
|||||
DIVERSIFIED FINANCIALS - 0.0%†
|
|||||
Other Diversified Financial Services - 0.0%†
|
|||||
731(j)
|
BTA Bank JSC (G.D.R.)
|
$ 439
|
|||
Total Diversified Financials
|
$ 439
|
||||
ENERGY - 0.0%†
|
|||||
Oil & Gas Exploration & Production - 0.0%†
|
|||||
1,333(j)
|
Halcon Resources Corp.
|
$ 7,931
|
|||
Total Energy
|
$ 7,931
|
||||
MATERIALS - 0.1%
|
|||||
Diversified Metals & Mining - 0.1%
|
|||||
AUD
|
1,587,442(j)
|
Mirabela Nickel, Ltd.
|
$ 162,273
|
||
Total Materials
|
$ 162,273
|
||||
SOFTWARE & SERVICES - 0.0%†
|
|||||
Systems Software - 0.0%†
|
|||||
2,114(j)
|
Perseus Holding Corp.
|
$ 3,171
|
|||
Total Software & Services
|
$ 3,171
|
||||
TRANSPORTATION - 0.7%
|
|||||
Air Freight & Logistics - 0.6%
|
|||||
–
|
943(j)
|
CEVA Holdings LLC
|
$ 1,037,641
|
||
Marine - 0.1%
|
|||||
247,509(d)(j)
|
Horizon Lines, Inc., Class A
|
$ 91,578
|
|||
Total Transportation
|
$ 1,129,219
|
||||
TOTAL COMMON STOCKS
|
|||||
(Cost $1,600,634)
|
$ 1,303,033
|
||||
CONVERTIBLE PREFERRED STOCKS - 0.5% of Net Assets
|
|||||
DIVERSIFIED FINANCIALS - 0.3%
|
|||||
Other Diversified Financial Services - 0.3%
|
|||||
470(f)
|
Bank of America Corp., 7.25
|
$ 542,850
|
|||
Total Diversified Financials
|
$ 542,850
|
||||
ENERGY - 0.2%
|
|||||
Oil & Gas Exploration & Production - 0.2%
|
|||||
200(f)(j)
|
Halcon Resources Corp., 5.75
|
$ 220,000
|
|||
Total Energy
|
$ 220,000
|
||||
TOTAL CONVERTIBLE PREFERRED STOCKS
|
|||||
(Cost $524,900)
|
$ 762,850
|
||||
PREFERRED STOCKS - 4.0% of Net Assets
|
|||||
BANKS - 0.3%
|
|||||
Diversified Banks - 0.3%
|
|||||
500(b)(f)
|
AgStar Financial Services ACA, 6.75
|
$ 510,125
|
|||
Total Banks
|
$ 510,125
|
||||
DIVERSIFIED FINANCIALS - 0.7%
|
|||||
Other Diversified Financial Services - 0.7%
|
|||||
40,675(b)
|
GMAC Capital Trust I, 8.125
|
$ 1,105,547
|
|||
Total Diversified Financials
|
$ 1,105,547
|
||||
Shares
|
Value
|
||||
INSURANCE - 3.0%
|
|||||
Reinsurance - 3.0%
|
|||||
673,438 (d)(k)
|
Altair Re
|
$ 841,393
|
|||
2,500,00(d)(k)
|
Altair Re II, Ltd.
|
2,603,250
|
|||
15,000(d)(k)
|
Lorenz Re, Ltd.
|
1,575,750
|
|||
$ 5,020,393
|
|||||
Total Insurance
|
$ 5,020,393
|
||||
SOFTWARE & SERVICES - 0.0%†
|
|||||
Data Processing & Outsourced Services - 0.0%†
|
|||||
1,110(d)(k)
|
Perseus Holding Corp., 14.0 (144A)
|
$ 91,020
|
|||
Total Software & Services
|
$ 91,020
|
||||
TOTAL PREFERRED STOCKS
|
|||||
(Cost $6,098,684)
|
$ 6,727,085
|
||||
RIGHT/WARRANT - 0.0% of Net Assets
|
|||||
AUTOMOBILES & COMPONENTS – 0.0%†
|
|||||
Auto Parts & Equipment - 0.0%†
|
|||||
86(d)(j)
|
Lear Corp., Expires 11/9/14
|
$ 16,237
|
|||
Total Automobiles & Components
|
$ 16,237
|
||||
TOTAL RIGHT/WARRANT
|
|||||
(Cost $4,645)
|
$ 16,237
|
||||
TOTAL INVESTMENTS IN SECURITIES - 136.5%
|
|||||
(Cost - $222,081,570) (l)(m)
|
$ 226,992,150
|
||||
WRITTEN PUT OPTION - 0.0%†
|
|||||
(672,138)
|
U.S. Dollar versus Turkish Lira
|
$ (649)
|
|||
TOTAL WRITTEN PUT OPTION
|
|||||
(Cost $(11,073))
|
$ (649)
|
||||
OTHER ASSETS AND LIABILITIES -(36.5)%
|
$ (60,729,187)
|
||||
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
|
$ 166,262,314
|
||||
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 July 31, 2014, the value of these securities amounted to $121,098,804, or 72.8% of total net assets applicable to common shareowners.
|
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at July 31, 2014.
|
(a)
|
Floating rate note. The rate shown is the coupon rate at July 31, 2014.
|
(b)
|
The interest rate is subject to change periodically. The interest is shown is the rate at July 31, 2014.
|
(c)
|
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at July 31, 2014.
|
(d)
|
Indicates a security that has been deemed as illiquid. As of July 31, 2014 the aggregate cost of illiquid securities in the Trust's portfolio was $26,288,386. As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $25,393,378 represented 15.3% of total net assets applicable to common shareowners.
|
(e)
|
Security is in default and is non income producing.
|
(f)
|
Security is perpetual in nature and has no stated maturity date.
|
(g)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
(h)
|
Security issued with a zero coupon. Income is recognized through accretion of discount.
|
(i)
|
Security is priced as a unit.
|
(j)
|
Non-income producing.
|
(k)
|
At July 31, 2014, the net unrealized appreciation on investments based on cost for federal tax purposes of $224,480,788 was as follows:
|
|
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost
|
$ 11,630,225
|
|
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value
|
(9,118,863)
|
|
Net unrealized appreciation
|
$ 2,511,362
|
|
For financial reporting purposes net unrealized appreciation on investments was
$ 4,910,580 and cost of investments aggregated $222,081,570.
|
||
(m)
|
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
|
||
United States
|
62.7
|
%
|
|
Bermuda
|
7.2
|
||
Cayman Islands
|
7.0
|
||
Luxembourg
|
3.6
|
||
Ireland
|
3.3
|
||
Argentina
|
2.2
|
||
Netherlands
|
2.2
|
||
Mexico
|
1.5
|
||
United Kingdom
|
1.4
|
||
Canada
|
1.3
|
||
Austria
|
1.2
|
||
Brazil
|
1.1
|
||
Other (individually less than 1%)
|
5.3
|
||
100.0
|
%
|
||
Glossary of Terms:
(G.D.R.) Global Depository Receipt
|
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
AUD
|
-
|
Australian Dollar
|
BRL
|
-
|
Brazilian Real
|
CAD
|
-
|
Canadian Dollar
|
EUR
|
-
|
Euro
|
GBP
|
-
|
Great British Pound
|
GHS
|
-
|
Ghananian Cedis
|
MXN
|
-
|
Mexican Peso
|
NGN
|
-
|
Nigerian Naira
|
RUB
|
-
|
Russian Ruble
|
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.
|
||||||||||||||||
The following is a summary of the inputs used as of July 31, 2014, in valuing the Trust's investments.
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Asset Backed Securities
|
$ | – | $ | 2,753,816 | $ | 266,903 | $ | 3,020,719 | ||||||||
Collateralized Mortgage Obligations
|
– | 4,055,393 | – | 4,055,393 | ||||||||||||
Commercial Mortgage-Backed Securities
|
– | 742,997 | – | 742,997 | ||||||||||||
Senior Secured Floating Rate Loan Interests
|
– | 34,910,236 | – | 34,910,236 | ||||||||||||
Corporate Bonds & Notes
|
||||||||||||||||
Insurance
|
||||||||||||||||
Reinsurance
|
– | 31,697,520 | 16,340,281 | 48,037,801 | ||||||||||||
Materials
|
||||||||||||||||
Diversified Metals & Mining
|
– | 2,312,181 | 373,000 | 2,685,181 | ||||||||||||
All Other Corporate Bonds & Notes
|
– | 118,282,036 | – | 118,282,036 | ||||||||||||
Convertible Bonds & Notes
|
– | 3,693,491 | – | 3,693,491 | ||||||||||||
Sovereign Debt Obligations
|
– | 2,755,091 | – | 2,755,091 | ||||||||||||
Common Stocks
|
||||||||||||||||
Software & Services
|
||||||||||||||||
Systems Software
|
– | 3,171 | – | 3,171 | ||||||||||||
Transportation
|
||||||||||||||||
Air Freight & Logistics
|
– | 1,037,641 | – | 1,037,641 | ||||||||||||
All Other Common Stocks
|
262,221 | – | – | 262,221 | ||||||||||||
Convertible Preferred Stocks
|
762,850 | – | – | 762,850 | ||||||||||||
Preferred Stocks
|
||||||||||||||||
Banks
|
||||||||||||||||
Diversified Banks
|
– | 510,125 | – | 510,125 | ||||||||||||
Insurance
|
||||||||||||||||
Reinsurance
|
– | 2,603,250 | 2,417,143 | 5,020,393 | ||||||||||||
Software & Services
|
||||||||||||||||
Data Processing & Outsourced Services
|
– | 91,020 | – | 91,020 | ||||||||||||
All Other Preferred Stocks
|
1,105,547 | – | – | 1,105,547 | ||||||||||||
Right/Warrant:
|
16,237 | – | – | 16,237 | ||||||||||||
Total Investments in Securities
|
$ | 2,146,855 | $ | 205,447,968 | $ | 19,397,327 | $ | 226,992,150 | ||||||||
Other Financial Instruments
|
||||||||||||||||
Net appreciation on Forward Foreign Currency Contracts
|
$ | – | $ | 104,579 | $ | – | $ | 104,579 | ||||||||
Written Put Option
|
– | (649 | ) | – | (649 | ) | ||||||||||
Total Other Financial Instruments
|
$ | – | $ | 103,930 | $ | – | $ | 103,930 | ||||||||
The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
|
||||||||||||||||||||||||||||||||||||
Balance
as of
4/30/14
|
Realized
gain (loss)
|
Change in
Unrealized appreciation
(depreciation)
|
Purchases
|
Sales
|
Accrued
discounts/ premiums
|
Transfers
in to
Level 3*
|
Transfers
out of
Level 3*
|
Balance
as of
7/31/14
|
||||||||||||||||||||||||||||
Asset Backed Securities
|
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 266,903 | $ | – | $ | 266,903 | ||||||||||||||||||
Corporate Bonds & Notes
|
||||||||||||||||||||||||||||||||||||
Insurance
|
||||||||||||||||||||||||||||||||||||
Reinsurance
|
8,046,566 | - | 21,345 | 8,227,125 | - | 45,245 | - | - | 16,340,281 | |||||||||||||||||||||||||||
Property & Casualty Insurance
|
3,588,313 | - | 205,212 | - | - | - | - | (3,793,525 | ) | - | ||||||||||||||||||||||||||
Materials
|
||||||||||||||||||||||||||||||||||||
Diversified Metals & Mining
|
146,250 | - | 3,750 | 423,000 | (200,000 | ) | - | - | - | 373,000 | ||||||||||||||||||||||||||
Preferred
Stocks
|
||||||||||||||||||||||||||||||||||||
Insurance
|
||||||||||||||||||||||||||||||||||||
Reinsurance
|
6,852,231 | 152,745 | (331,838 | ) | - | (1,652,745 | ) | - | - | (2,603,250 | ) | 2,417,143 | ||||||||||||||||||||||||
Total
|
$ | 18,633,360 | $ | 152,745 | $ | (101,531 | ) | $ | 8,650,125 | $ | (1,852,745 | ) | $ | 45,245 | $ | 266,903 | $ | (6,396,775 | ) | $ | 19,397,327 | |||||||||||||||
* Transfers are calculated on the end of period value
|
||||||||||||||||||||||||||||||||||||
Net change in unrealized depreciation of Level 3 investments still held and considered
Level 3 at 7/31/14: $(188,878).
|
||||||||||||||||||||||||||||||||||||
Net
|
Net
|
|||||
Contracts
|
In
|
Unrealized
|
||||
to Receive/
|
Exchange
|
Settlement
|
Appreciation/
|
|||
Currency
|
(Deliver)
|
for US$
|
Date
|
US$ Value
|
(Depreciation)
|
|
EUR
|
(4,652,994)
|
$ (6,305,672)
|
10/28/14
|
$ (6,231,777)
|
$ 73,895
|
|
EUR
|
(1,383,642)
|
(1,909,057)
|
04/24/15
|
(1,854,785)
|
54,271
|
|
EUR
|
490,058
|
679,364
|
04/24/15
|
656,927
|
(22,436)
|
|
GBP
|
(459,060)
|
(773,629)
|
09/08/14
|
(774,780)
|
(1,151)
|
|
Total
|
$ 104,579
|
|||||
Number of Contracts
|
Premiums Received
|
||||
Options open at beginning of period
|
$ 672,138
|
$ 11,073
|
|||
Options written
|
-
|
-
|
|||
Options terminated in closing transactions
|
-
|
-
|
|||
Options expired
|
-
|
-
|
|||
Options open at end of period
|
$ 672,138
|
$ 11,073
|
|||
Unrealized
|
||||||||||||||||
Borrower
|
Par
|
Cost
|
Value
|
Appreciation
|
||||||||||||
SI Organization, Inc.
|
||||||||||||||||
Delayed Draw Term Loan
|
$ | 30,958 | $ | 30,656 | $ | 31,151 | $ | 495 | ||||||||
Unrealized
|
||||||||||||||||
Appreciation
|
||||||||||||||||
Borrower
|
Par
|
Cost
|
Value
|
(Depreciation)
|
||||||||||||
Level 3 Financing Inc.
|
||||||||||||||||
Bridge Loan
|
$ | 700,000 | $ | 700,000 | $ | 700,000 | $ | - |