phtnq.htm
                                                             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 811-21823


                         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, 2013

Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5).  The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609.  The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.


<PAGE>
ITEM 1. Schedule of Investments.

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.







Pioneer High


                     Income Trust






                                       NQ      | December 31, 2013

 
Ticker Symbol:  PHT
 



 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings              
 
Value
 
 
       
ASSET BACKED SECURITIES -  1.5% of Net Assets
 
 
       
BANKS - 0.2%
 
       
Thrifts & Mortgage Finance - 0.2%
 
   
  102,910(a)
CCC/Caa3
Amortizing Residential Collateral Trust, Series 2002-BC1, Class M1, 1.44%, 1/25/32   
$ 67,783 
   
  125,000 
BB/NR
CarNow Auto Receivables Trust, Series 2012-1A, Class D, 6.9%, 11/15/16 (144A) 
  127,493 
   
  412,000(b)
CCC/C
Citicorp Residential Mortgage Trust, Series 2006-2, Class M1, 5.918%, 9/25/36   
  374,045 
   
  250,000(c)
B-/B3
Security National Mortgage Loan Trust, Series 2007-1A, Class 1A3, 6.55%, 4/25/37 (144A) 
  245,124 
       
Total Banks 
$ 814,445 
           
 
       
CONSUMER SERVICES - 0.6%
 
       
Hotels, Resorts, Cruise Lines - 0.6%
 
   
  286,036 
BB/NR
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A) 
$ 295,333 
   
  1,785,614 
NR/NR
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A) 
  1,828,469 
   
  197,988 
NR/NR
Westgate Resorts LLC, Series 2013-1A, Class B, 3.75%, 8/20/25 (144A) 
  195,444 
       
Total Consumer Services 
$ 2,319,246 
           
 
       
FINANCIALS - 0.1%
 
       
Thrifts & Mortgage Finance - 0.1%
 
   
  660,000(c)
NR/NR
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A) 
$ 638,034 
           
       
Total Financials 
$ 638,034 
           
 
       
MATERIALS - 0.1%
 
       
Steel - 0.1%
 
   
  318,145(b)
B+/B3
Accredited Mortgage Loan Trust, Series 2003-3, Class A1, 5.21%, 1/25/34
$ 303,851 
           
       
Total Materials 
$ 303,851 
           
 
       
TRANSPORTATION - 0.5%
 
       
Airlines - 0.5%
 
   
  1,314,302(a)
CCC/Caa3
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.647%, 5/15/24 (144A) 
$ 538,864 
   
  627,550(a)
CCC+/Caa2
Aviation Capital Group Trust, Series 2000-1A, Class A1, 0.648%, 11/15/25 (144A) 
  320,050 
   
  1,390,804(a)
CCC/Caa2
Lease Investment Flight Trust, Series 1, Class A1, 0.557%, 7/15/31   
  1,001,379 
       
Total Transportation 
$ 1,860,293 
           
       
TOTAL ASSET BACKED SECURITIES
 
       
(Cost  $5,922,078)
$ 5,935,869 
 
       
COLLATERALIZED MORTGAGE OBLIGATIONS -  0.9% of Net Assets
 
 
       
BANKS - 0.7%
 
       
Thrifts & Mortgage Finance - 0.7%
 
   
  1,435,184(a)
CCC/Caa2
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A2, 0.365%, 2/25/37   
$ 1,285,109 
   
  300,000 
NR/NR
Extended Stay America Trust, Series 2013-ESHM, Class M, 7.625%, 12/5/19 (144A) 
  298,289 
   
  300,000(c)
BB+/Ba2
GS Mortgage Securities Corp. II Commercial Mortgage Pass Through Certificates, Series 2004-GG2, Class E, 5.737%, 8/10/38   
  298,170 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings             
 
Value
 
       
Thrifts & Mortgage Finance (continued)
 
   
  300,750 
NR/NR
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A) 
$ 293,622 
   
  250,000(c)
BB/NR
Springleaf Mortgage Loan Trust, Series 2013-1A, Class B1, 5.58%, 6/25/58 (144A) 
  248,713 
   
  498,000(c)
BB-/Ba3
Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class AJ, 5.658%, 3/15/45   
  494,270 
       
Total Banks 
$ 2,918,173 
           
 
       
FINANCIALS - 0.2%
 
       
Thrifts & Mortgage Finance - 0.2%
 
   
  650,000(c)
B-/NR
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12, Series 2007-LD12, Class AJ, 5.999%, 2/15/51   
$ 624,408 
           
       
Total Financials 
$ 624,408 
           
       
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 
       
(Cost  $3,501,157)
$ 3,542,581 
 
       
SENIOR SECURED FLOATING RATE LOAN INTERESTS -  6.2% of Net Assets *(a)
 
 
       
COMMERCIAL & PROFESSIONAL SERVICES - 0.3%
 
       
Research & Consulting Services - 0.3%
 
   
  1,000,000 
CCC+/Caa1
Sourcehov LLC, Second Lien Term Loan, 8.75%, 4/30/19   
$ 1,015,000 
           
       
Total Commercial & Professional Services 
$ 1,015,000 
           
 
       
CONSUMER DISCRETIONARY - 1.1%
 
       
Automobiles & Components - 0.4%
 
   
  1,650,000 
B+/NR
CWGS Group LLC, Term Loan, 5.75%, 2/20/20   
$ 1,662,375 
       
Education Services - 0.7%
 
   
  2,900,000 
NR/B2
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19   
$ 2,896,375 
       
Total Consumer Discretionary 
$ 4,558,750 
           
 
       
ENERGY - 0.8%
 
       
Coal & Consumable Fuels - 0.2%
 
   
  625,000 
NR/NR
PT Bumi Resources Tbk, Term Loan, 18.169%, 11/7/14   
$ 625,000 
       
Oil & Gas Exploration & Production - 0.6%
 
   
  2,500,000 
BB-/Ba2
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20   
$ 2,558,035 
       
Total Energy 
$ 3,183,035 
           
 
       
FOOD, BEVERAGE & TOBACCO - 0.8%
 
       
Agricultural Products - 0.2%
 
   
  1,046,525 
CCC+/Caa1
Arysta LifeScience SPC LLC, Initial Second Lien Term Loan, 8.25%, 11/30/20   
$ 1,065,807 
       
Packaged Foods & Meats - 0.6%
 
   
  2,180,000 
B-/NR
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20   
$ 2,261,750 
       
Total Food, Beverage & Tobacco 
$ 3,327,557 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 0.7%
 
       
Health Care Services - 0.4%
 
   
  1,500,000 
B/B2
Gentiva Health Services, Inc., Initial Term Loan B, 6.5%, 10/18/19   
$ 1,498,125 
       
Health Care Technology - 0.3%
 
   
  1,206,701 
CCC/Caa3
Medical Card System, Inc., Term Loan, 12.0%, 9/17/15   
$ 1,152,399 
       
Total Health Care Equipment & Services 
$ 2,650,524 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings             
 
Value
 
       
INDUSTRIALS - 0.3%
 
       
Industrial Conglomerates - 0.3%
 
   
  1,240,000 
NR/NR
Filtration Group Co., Initial Second Lien Term Loan, 8.25%, 11/22/21   
$ 1,267,900 
           
       
Total Industrials 
$ 1,267,900 
           
 
       
INSURANCE - 0.4%
 
       
Property & Casualty Insurance - 0.4%
 
   
  1,385,452 
B-/B2
Confie Seguros Holding II  Co., Second Lien Term Loan, 10.25%, 5/8/19   
$ 1,399,307 
           
       
Total Insurance 
$ 1,399,307 
           
 
       
MATERIALS - 0.2%
 
       
Diversified Metals & Mining - 0.0%
 
   
  126,444(d)
NR/NR
Long Haul Holdings, Ltd., Facility Term Loan A, 0.0%, 1/12/13   
$ 49,313 
   
  100,918(d)
NR/NR
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/20/13   
  39,358 
         
$ 88,671 
       
Steel - 0.2%
 
   
  790,000 
B/B1
Essar Steel Algoma, Inc., Term Loan, 9.25%, 9/19/14   
$ 797,900 
       
Total Materials 
$ 886,571 
           
 
       
RETAILING - 0.3%
 
       
Computer & Electronics Retail - 0.3%
 
   
  1,398,354 
B/B2
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16   
$ 1,258,519 
           
       
Total Retailing 
$ 1,258,519 
           
 
       
SOFTWARE & SERVICES - 1.1%
 
       
Application Software - 1.1%
 
   
  1,700,000 
NR/NR
Applied Systems, Inc., Second Lien Term Loan, 8.25%, 6/8/17   
$ 1,717,532 
   
  2,500,000 
CCC+/Caa1
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17   
  2,549,375 
       
Total Software & Services 
$ 4,266,907 
           
 
       
UTILITIES - 0.2%
 
       
Electric Utilities - 0.2%
 
   
  1,316,443 
CCC-/Caa3
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.739%, 10/10/17
$ 909,333 
           
       
Total Utilities 
$ 909,333 
           
       
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
 
       
(Cost  $24,824,146)
$ 24,723,403 
 
       
CORPORATE BONDS & NOTES -  106.3% of Net Assets
 
 
       
AUTOMOBILES & COMPONENTS - 2.7%
 
       
Auto Parts & Equipment - 0.9%
 
   
  2,000,000(e)
B/Caa1
Cooper-Standard Holding, Inc., 7.375%, 4/1/18 (144A) 
$ 2,010,000 
   
  1,140,000 
B/Caa1
International Automotive Components Group SA, 9.125%, 6/1/18 (144A) 
  1,188,450 
   
  229,000 
BB-/B1
Tomkins LLC/Tomkins, Inc., 9.0%, 10/1/18
  250,755 
         
$ 3,449,205 
       
Automobile Manufacturers - 1.8%
 
   
  6,000,000 
B/B1
Chrysler Group LLC/CG Co-Issuer, Inc., 8.0%, 6/15/19   
$ 6,630,000 
   
  500,000 
B/B1
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21   
  568,750 
         
$ 7,198,750 
       
Total Automobiles & Components 
$ 10,647,955 
           
 
       
BANKS - 1.0%
 
       
Regional Banks - 0.3%
 
   
  1,225,000(c)(f)
BBB/Baa3
PNC Financial Services Group, Inc., 4.459%, 5/29/49   
$ 1,221,938 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings             
 
Value
 
       
Thrifts & Mortgage Finance - 0.7%
 
   
  2,925,000 
B+/Ba3
Provident Funding Associates LP / PFG Finance Corp., 6.75%, 6/15/21 (144A) 
$ 2,910,375
           
       
Total Banks 
$ 4,132,313
           
 
       
CAPITAL GOODS - 10.2%
 
       
Aerospace & Defense - 1.8%
 
   
  3,300,000 
B-/Caa1
ADS Tactical, Inc., 11.0%, 4/1/18 (144A) 
$ 3,069,000
   
  3,889,000 
B-/B2
DynCorp International, Inc., 10.375%, 7/1/17   
3,976,502
         
$ 7,045,502
       
Construction & Engineering - 0.4%
 
   
  1,500,000 
B/B2
Abengoa Finance SAU, 8.875%, 11/1/17 (144A) 
$ 1,612,500
           
       
Construction & Farm Machinery & Heavy Trucks - 2.3%
 
   
  774,000 
B+/B2
Manitowoc Co., Inc., 9.5%, 2/15/18   
$ 815,603
   
  2,000,000 
CCC-/B3
Navistar International Corp., 8.25%, 11/1/21   
2,070,000
   
  4,760,000 
CCC-/Caa2
Stanadyne Holdings, Inc., 10.0%, 8/15/14
4,617,200
   
  2,500,000(b)
CC/Ca
Stanadyne Holdings, Inc., 12.0%, 2/15/15
1,562,500
         
$ 9,065,303
       
Electrical Components & Equipment - 0.5%
 
   
  2,000,000 
B-/B3
WireCo WorldGroup, Inc., 9.5%, 5/15/17   
$ 2,072,500
           
       
Industrial Conglomerates - 0.7%
 
   
  1,710,000 
B/B3
Boart Longyear Management Pty, Ltd., 7.0%, 4/1/21 (144A) 
$ 1,278,225
   
  770,000 
BB-/B1
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A) 
800,800
   
  605,000 
B+/B2
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A) 
645,837
         
$ 2,724,862
       
Industrial Machinery - 3.4%
 
   
  1,040,000 
B/B2
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A) 
$ 1,128,400
   
  3,180,000(d)
NR/WR
Indalex Holding Corp., 11.5%, 2/1/14   
23,850
   
  1,080,000 
B-/Caa2
Liberty Tire Recycling, 11.0%, 10/1/16 (144A) 
1,082,700
   
  5,170,000 
B/Caa1
Mueller Water Products, Inc., 7.375%, 6/1/17   
5,299,250
   
  1,840,000 
CCC+/NR
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A) 
1,191,400
   
  4,500,000 
B/B3
Xerium Technologies, Inc., 8.875%, 6/15/18   
4,725,000
         
$ 13,450,600
       
Trading Companies & Distributors - 1.1%
 
   
  1,570,000 
CCC/Caa1
INTCOMEX, Inc., 13.25%, 12/15/14   
$ 1,524,863
   
  2,510,000 
B-/B3
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19   
2,867,675
         
$ 4,392,538
       
Total Capital Goods 
$ 40,363,805
           
 
       
COMMERCIAL & PROFESSIONAL SERVICES - 1.1%
 
       
Commercial Printing - 0.2%
 
   
  700,000 
B-/Caa1
Mustang Merger Corp., 8.5%, 8/15/21 (144A) 
$ 756,000
           
       
Diversified Support Services - 0.9%
 
   
  3,400,000 
B+/B3
NANA Development Corp., 9.5%, 3/15/19 (144A) 
$ 3,527,500
           
       
Environmental & Facilities Services - 0.0%
 
   
  2,180,000(d)
NR/WR
Old AII, Inc., 10.0%, 12/15/16   
$ 218
           
       
Total Commercial & Professional Services 
$ 4,283,718
           

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings             
 
Value
 
       
CONSUMER DISCRETIONARY - 0.6%
 
       
Auto Parts & Equipment - 0.4%
 
   
  645,000 
B/B3
Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A) 
$ 678,862 
   
  675,000 
B+/B2
Stackpole International Intermediate / Stackpole International Powder, 7.75%, 10/15/21 (144A) 
  702,000 
         
$ 1,380,862 
       
Department Stores - 0.2%
 
   
  900,000 
CCC+/Caa2
Neiman Marcus Group, Ltd, Inc., 8.0%, 10/15/21 (144A) 
$ 940,500 
           
       
Total Consumer Discretionary 
$ 2,321,362 
           
 
       
CONSUMER DURABLES & APPAREL - 4.3%
 
       
Home Furnishings - 0.2%
 
   
  850,000 
B/B2
SIWF Merger Sub, Inc., 6.25%, 6/1/21 (144A) 
$ 857,438 
           
       
Homebuilding - 1.1%
 
   
  3,115,000 
CCC/Caa2
Beazer Homes USA, Inc., 9.125%, 6/15/18
$ 3,333,050 
   
  750,000 
CCC/Caa2
Beazer Homes USA, Inc., 9.125%, 5/15/19
  802,500 
   
  400,000(d)
NR/Ca
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A) 
  58,000 
         
$ 4,193,550 
       
Housewares & Specialties - 1.6%
 
   
  1,435,000 
BB-/B1
Jarden Corp., 7.5%, 5/1/17   
$ 1,661,012 
   
  3,000,000 
CCC+/Caa2
Reynolds Group Issuer, Inc., 9.0%, 4/15/19
  3,217,500 
   
  1,430,000 
CCC+/Caa2
Reynolds Group Issuer, Inc., 9.875%, 8/15/19   
  1,590,875 
         
$ 6,469,387 
       
Leisure Products - 1.4%
 
 
EUR
  800,000 
CCC+/Caa2
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A) 
$ 1,108,250 
   
  4,000,000 
CCC+/Caa1
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A) 
  3,540,000 
   
  880,000(e)
CCC+/Caa2
PC Nextco Holdings LLC / PC Nextco Finance, Inc., 8.75%, 8/15/19 (144A) 
  903,100 
         
$ 5,551,350 
       
Total Consumer Durables & Apparel 
$ 17,071,725 
           
 
       
CONSUMER SERVICES - 4.1%
 
       
Business Services - 0.7%
 
   
  1,750,000 
B/B2
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A) 
$ 1,868,125 
   
  1,000,000 
B-/Caa2
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18   
  880,000 
         
$ 2,748,125 
       
Casinos & Gaming - 0.4%
 
   
  1,475,000 
NR/NR
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A) 
$ 1,371,750 
   
  606,780 
NR/NR
Mashantucket Western Pequot Tribe, 6.5%, 7/1/36   
  83,432 
         
$ 1,455,182 
       
Education Services - 0.1%
 
   
  555,000 
CCC/Caa1
Cambium Learning Group, Inc., 9.75%, 2/15/17   
$ 527,250 
           
       
Hotels, Resorts, Cruise Lines - 0.8%
 
   
  1,680,000(e)
B-/B3
MISA Investments, Ltd., 8.625%, 8/15/18 (144A) 
$ 1,738,800 
   
  1,500,000 
CCC+/B2
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19   
  1,651,875 
         
$ 3,390,675 
       
Restaurants - 1.9%
 
   
  4,055,000(b)
B-/Caa1
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A) 
$ 3,649,500 
   
  1,400,000 
B/B3
Burger King Corp., 9.875%, 10/15/18   
  1,554,000 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings            
 
Value
 
       
Restaurants (continued)
 
   
  2,000,000 
CCC/Caa1
Wok Acquisition Corp., 10.25%, 6/30/20 (144A) 
$ 2,172,500 
         
$ 7,376,000 
       
Specialized Consumer Services - 0.2%
 
   
  740,000 
B-/B3
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21 (144A) 
$ 769,600 
           
       
Total Consumer Services 
$ 16,266,832 
           
 
       
DIVERSIFIED FINANCIALS - 2.3%
 
       
Asset Management & Custody Banks - 0.3%
 
   
  975,000 
BBB-/Baa3
Janus Capital Group, Inc., 6.7%, 6/15/17  
$ 1,085,737 
           
       
Consumer Finance - 0.5%
 
   
  1,030,000 
B+/B1
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A) 
$ 1,071,200 
   
  1,035,000 
B+/B3
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A) 
  1,102,275 
         
$ 2,173,475 
       
Investment Banking & Brokerage - 0.4%
 
   
  2,325,000(a)(f)
BB+/Ba2
Goldman Sachs Capital II, 4.0%, 12/1/49   
$ 1,634,475 
           
       
Multi-Sector Holdings - 0.5%
 
   
  2,200,000 
B/B3
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A) 
$ 1,903,000 
           
       
Other Diversified Financial Services - 0.4%
 
   
  3,000,000(b)(g)(h)
BBB/NR
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A) 
$ 1,652,730 
           
       
Specialized Finance - 0.2%
 
   
  695,000 
B/B2
National Money Mart Co., 10.375%, 12/15/16   
$ 705,425 
           
       
Total Diversified Financials 
$ 9,154,842 
           
 
       
ENERGY - 21.3%
 
       
Coal & Consumable Fuels - 1.3%
 
   
  1,350,000 
CC/Ca
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A) 
$ 911,250 
   
  2,125,000 
CCC/Caa2
James River Coal Co., 7.875%, 4/1/19   
  573,750 
   
  800,000 
B-/Caa1
Murray Energy Corp., 8.625%, 6/15/21 (144A) 
  828,000 
   
  2,485,000 
B-/Caa1
Penn Virginia Corp., 8.5%, 5/1/20   
  2,671,375 
         
$ 4,984,375 
       
Integrated Oil & Gas - 0.2%
 
   
  750,000 
NR/B3
YPF SA, 8.875%, 12/19/18 (144A) 
$ 778,125 
           
       
Oil & Gas Drilling - 2.1%
 
   
  1,500,000 
B/B3
Hercules Offshore, Inc., 8.75%, 7/15/21 (144A) 
$ 1,672,500 
   
  1,700,000 
CCC+/Caa3
Ocean Rig UDW, Inc., 9.5%, 4/27/16 (144A) 
  1,804,125 
   
  1,025,000 
B-/B3
Offshore Group Investments, Ltd., 7.125%, 4/1/23   
  1,045,500 
   
  1,900,000 
B+/B2
Pioneer Energy Services Corp., 9.875%, 3/15/18   
  2,014,000 
   
  1,800,000 
B+/B1
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A) 
  1,944,000 
         
$ 8,480,125 
       
Oil & Gas Equipment & Services - 1.8%
 
   
  408,000(i)
NR/NR
DP Producer AS, 0.0%, 12/31/49 (144A) 
$ 8,160 
   
  1,847,000 
B/B1
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A) 
  1,925,497 
   
  3,100,000 
B/Caa1
Forbes Energy Services, Ltd., 9.0%, 6/15/19   
  3,038,000 
   
  666,000(d)(j)
NR/WR
Green Field Energy Services, Inc., 13.0%, 11/15/16 (144A) 
  113,220 
   
  2,000,000 
B/B3
Seitel, Inc., 9.5%, 4/15/19   
  2,020,000 
         
$ 7,104,877 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings           
 
Value
 
       
Oil & Gas Exploration & Production - 14.0%
 
   
  1,200,000 
CCC+/Caa1
Athlon Holdings LP / Athlon Finance Corp., 7.375%, 4/15/21 (144A) 
$ 1,260,000 
   
  775,000 
BB-/B1
Berry Petroleum Co., 10.25%, 6/1/14   
  801,156 
   
  500,000 
B-/B3
Comstock Resources, Inc., 7.75%, 4/1/19
  531,250 
   
  1,830,000 
B-/B3
Comstock Resources, Inc., 9.5%, 6/15/20
  2,049,600 
   
  3,450,000 
B/B2
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20   
  3,980,437 
   
  1,470,384(e)
B/B3
EPE Holdings LLC / EP Energy Bond Co., Inc., 8.875%, 12/15/17 (144A) 
  1,510,820 
   
  1,295,000 
B-/Caa1
EPL Oil & Gas, Inc., 8.25%, 2/15/18   
  1,392,125 
   
  3,000,000 
CCC/Caa1
Goodrich Petroleum Corp., 8.875%, 3/15/19   
  3,120,000 
   
  785,000 
CCC+/Caa1
Halcon Resources Corp., 8.875%, 5/15/21
  792,850 
   
  1,205,000 
CCC+/Caa1
Halcon Resources Corp., 9.25%, 2/15/22 (144A) 
  1,226,088 
   
  2,035,000 
CCC+/Caa1
Halcon Resources Corp., 9.75%, 7/15/20  
  2,121,487 
   
  1,325,000 
CCC+/Caa1
Halcon Resources Corp., 9.75%, 7/15/20 (144A) 
  1,379,656 
   
  900,000 
B-/Caa1
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.625%, 12/1/21 (144A) 
  870,750 
   
  2,235,000 
B-/Caa1
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A) 
  2,257,350 
   
  530,000 
B-/Caa1
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21 (144A) 
  544,575 
   
  950,000 
B-/Caa1
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21   
  976,125 
   
  2,000,000 
B-/Caa1
Midstates Petroleum Co., Inc., 9.25%, 6/1/21   
  2,090,000 
   
  1,050,000 
B-/Caa1
Midstates Petroleum Co., Inc., 10.75%, 10/1/20   
  1,141,875 
   
  2,400,000 
B+/NR
MIE Holdings Corp., 9.75%, 5/12/16 (144A) 
  2,544,000 
   
  2,750,000 
B/Caa1
PetroQuest Energy, Inc., 10.0%, 9/1/17   
  2,853,125 
   
  1,110,000 
B-/Caa1
QR Energy LP / QRE Finance Corp., 9.25%, 8/1/20   
  1,148,850 
   
  3,380,000 
CCC-/Caa3
Quicksilver Resources, Inc., 7.125%, 4/1/16   
  3,303,950 
   
  2,200,000 
B-/B3
Resolute Energy Corp., 8.5%, 5/1/20   
  2,321,000 
   
  2,035,000 
B-/B3
RKI Exploration & Production LLC / RKI Finance Corp., 8.5%, 8/1/21 (144A) 
  2,141,838 
   
  1,497,000 
BB-/B2
Rosetta Resources, Inc., 9.5%, 4/15/18   
  1,601,790 
   
  5,500,000 
CCC+/B3
Samson Investment Co., 10.5%, 2/15/20 (144A) 
  5,995,000 
   
  2,735,000 
CCC+/Caa1
Sanchez Energy Corp., 7.75%, 6/15/21 (144A) 
  2,796,538 
   
  2,770,000 
CCC+/Caa1
Talos Production LLC / Talos Production Finance, Inc., 9.75%, 2/15/18 (144A) 
  2,832,325 
         
$ 55,584,560 
       
Oil & Gas Refining & Marketing - 1.4%
 
   
  3,000,000 
CCC/Caa1
Seven Generations Energy, Ltd., 8.25%, 5/15/20 (144A) 
$ 3,240,000 
   
  2,215,000 
BB+/Ba2
Tesoro Corp., 9.75%, 6/1/19   
  2,397,738 
         
$ 5,637,738 
       
Oil & Gas Storage & Transportation - 0.5%
 
   
  1,524,000(a)
NR/Ba1e
Energy Transfer Partners LP, 3.259%, 11/1/66   
$ 1,386,840 
   
  350,000(c)
BBB-/Baa2
Enterprise Products Operating LLC, 8.375%, 8/1/66   
  387,800 
         
$ 1,774,640 
       
Total Energy 
$ 84,344,440 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings           
 
Value
 
       
FINANCIALS - 0.6%
 
       
Diversified Capital Markets - 0.2%
 
   
  700,000(c)(f)
NR/NR
Credit Suisse Group AG, 7.5%, 12/11/49 (144A)   
$ 739,375 
           
       
Real Estate - 0.2%
 
   
  1,000,000 
B/B2
Rialto Holdings LLC / Rialto Corp., 7.0%, 12/1/18 (144A) 
$ 1,010,000 
           
       
Reinsurance - 0.1%
 
   
  250,000(a)
NR/NR
Loma Reinsurance, Ltd., 17.061%, 1/8/18 (144A) 
$ 250,050 
           
       
Specialized Finance - 0.1%
 
   
  500,000(a)
NR/NR
Galileo Re, Ltd., 7.4%, 1/9/17 (144A) 
$ 512,950 
           
       
Total Financials 
$ 2,512,375 
           
 
       
FOOD, BEVERAGE & TOBACCO - 6.2%
 
       
Agricultural Products - 1.1%
 
   
  2,100,000 
CCC+/Caa1
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A) 
$ 2,228,625 
   
  1,215,000 
B/B2
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A) 
  1,175,513 
   
  1,100,000 
B/NR
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A) 
  924,000 
         
$ 4,328,138 
       
Packaged Foods & Meats - 4.2%
 
   
  775,000 
BB/Ba3
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A) 
$ 864,125 
   
  1,250,000 
B+/B1
CFG Investment SAC, 9.75%, 7/30/19 (144A) 
  1,200,000 
   
  688,000 
B/B1
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21 (144A) 
  744,760 
   
  3,500,000 
B/B3
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A) 
  3,657,500 
   
  1,000,000 
B/B2
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A) 
  930,000 
   
  1,200,000 
B/B2
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A) 
  1,146,000 
   
  3,400,000 
BB-/B1
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A) 
  3,374,500 
   
  400,000 
BB-/B1
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A) 
  460,000 
   
  4,000,000 
BB-/B3
Pilgrim's Pride Corp., 7.875%, 12/15/18   
  4,360,000 
         
$ 16,736,885 
       
Tobacco - 0.9%
 
   
  3,835,000 
NR/Caa1
Alliance One International, Inc., 9.875%, 7/15/21   
$ 3,595,312 
           
       
Total Food, Beverage & Tobacco 
$ 24,660,335 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 5.7%
 
       
Health Care Equipment & Services - 2.1%
 
   
  4,000,000 
CCC+/Caa2
Accellent, Inc., 10.0%, 11/1/17   
$ 4,130,000 
   
  3,799,000 
B+/B2
Physio-Control International, Inc., 9.875%, 1/15/19 (144A) 
  4,254,880 
         
$ 8,384,880 
       
Health Care Facilities - 1.1%
 
   
  3,475,000 
B-/B3
Kindred Healthcare, Inc., 8.25%, 6/1/19   
$ 3,700,875 
   
  600,000 
CCC+/Caa1
United Surgical Partners, 9.0%, 4/1/20   
  672,000 
         
$ 4,372,875 
       
Health Care Services - 0.7%
 
   
  2,527,000 
CCC+/Caa2
Gentiva Health Services, Inc., 11.5%, 9/1/18   
$ 2,609,127 
           
       
Health Care Supplies - 0.8%
 
   
  3,000,000 
B-/Caa2
Immucor, Inc., 11.125%, 8/15/19   
$ 3,375,000 
           
       
Health Care Technology - 0.3%
 
   
  900,000 
CCC+/Caa1
Emdeon, Inc., 11.0%, 12/31/19   
$ 1,039,500 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings            
 
Value
 
       
IT Consulting & Other Services - 0.7%
 
   
  2,380,000 
CCC+/Caa1
Truven Health Analytics, Inc., 10.625%, 6/1/20   
$ 2,692,375 
           
       
Total Health Care Equipment & Services 
$ 22,473,757 
           
 
       
HOUSEHOLD & PERSONAL PRODUCTS - 1.1%
 
       
Personal Products - 1.1%
 
   
  1,745,000 
B+/B2
Albea Beauty Holdings SA, 8.375%, 11/1/19 (144A) 
$ 1,814,800 
   
  2,315,000 
CCC+/Caa1
Monitronics International, Inc., 9.125%, 4/1/20   
  2,453,900 
       
Total Household & Personal Products 
$ 4,268,700 
           
 
       
INDUSTRIALS - 0.2%
 
       
Aerospace & Defense - 0.2%
 
   
  600,000(k)
NR/NR
Silverton RE, Ltd., 0.0%, 9/16/16 (144A) 
$ 600,960 
           
       
Total Industrials 
$ 600,960 
           
 
       
INSURANCE - 8.7%
 
       
Insurance Brokers - 1.0%
 
   
  1,000,000 
CCC+/Caa2
Onex USI Acquisition Corp., 7.75%, 1/15/21 (144A) 
$ 1,022,500 
 
GBP
  1,625,000 
NR/Caa2
Towergate Finance Plc, 10.5%, 2/15/19 (144A) 
  2,830,783 
         
$ 3,853,283 
       
Multi-Line Insurance - 1.5%
 
   
  3,075,000(c)
BB/Baa3
Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A) 
$ 4,597,125 
   
  1,100,000 
BBB/Baa2
MetLife, Inc., 10.75%, 8/1/39   
  1,622,500 
         
$ 6,219,625 
       
Property & Casualty Insurance - 1.6%
 
   
  5,300,000 
BBB-/Baa3
Hanover Insurance Corp., 7.625%, 10/15/25   
$  6,223,276 
   
  265,000(c)(f)
BB+/Ba2
White Mountains Insurance Group, Ltd., 7.506%, 5/29/49 (144A) 
  273,074 
         
$ 6,496,350 
       
Reinsurance - 4.6%
 
   
  250,000(a)
BB-/NR
Atlas Reinsurance VII, Ltd., 8.117%, 1/7/16 (144A) 
$ 258,550 
   
  500,000(a)
BB+/NR
Blue Danube II, Ltd., 4.297%, 5/23/16 (144A) 
 505,050 
   
  400,000(a)
NR/NR
Caelus Re 2013, Ltd., 6.911%, 4/7/17 (144A) 
  413,400 
   
  500,000(a)
BB-/NR
Caelus Re, Ltd., 5.311%, 3/7/16 (144A) 
  506,900 
   
  250,000(a)
NR/Ba2
Combine Re, Ltd., 10.061%, 1/7/15 (144A) 
  267,475 
   
  1,000,000(a)
NR/NR
Combine Re, Ltd., 17.811%, 1/7/15 (144A) 
  1,098,700 
   
  250,000(a)
BB-/NR
Compass Re, Ltd., 10.311%, 1/8/15 (144A) 
  262,775 
   
  250,000(a)
B+/NR
Compass Re, Ltd., 11.311%, 1/8/15 (144A) 
  262,900 
   
  250,000(a)
BB/NR
East Lane Re V, Ltd., 9.061%, 3/16/16 (144A) 
  271,600 
   
  400,000(a)
BB/NR
East Lane Re, Ltd., 6.711%, 3/13/15 (144A) 
  415,200 
   
  350,000(c)
BB-/NR
Embarcadero Re, Ltd., 6.695%, 8/4/14 (144A) 
  355,495 
   
  250,000(c)
BB-/NR
Embarcadero Re, Ltd., 7.409%, 2/13/15 (144A) 
  258,125 
   
  350,000(a)
BB+/NR
Foundation Re III, Ltd., 5.061%, 2/25/15  
  358,785 
   
  250,000(a)
BB-/NR
Ibis Re II, Ltd., 8.411%, 2/5/15 (144A) 
  259,250 
   
  400,000(a)
B-/NR
Ibis Re II, Ltd., 13.561%, 2/5/15 (144A) 
  421,440 
   
  800,000(a)
BB/NR
Lodestone Re, Ltd., 7.311%, 1/8/14 (144A) 
  800,160 
   
  400,000(a)
BB/NR
Longpoint Re, Ltd. III, 4.061%, 5/18/16 (144A) 
  404,560 
   
  750,000(a)
B/NR
Mystic Re, Ltd., 12.061%, 3/12/15 (144A) 
  799,800 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings             
 
Value
 
       
Reinsurance (continued)
 
   
  250,000(a)
B+/NR
Mythen Re, Ltd. Series 2012-2 Class A, 8.549%, 1/5/17 (144A) 
  260,800 
   
  250,000(a)
NR/NR
Mythen Re, Ltd. Series 2013-1 Class B, 8.061%, 7/9/15 (144A) 
  260,525 
   
  600,000(a)
NR/B2
Mythen, Ltd., 11.032%, 5/7/15 (144A) 
  647,460 
   
  500,000(a)
BB-/NR
Queen Street II Capital, Ltd., 7.561%, 4/9/14 (144A) 
  504,850 
   
  250,000(a)
BB-/NR
Queen Street V Re, Ltd., 8.561%, 4/9/15 (144A) 
  259,050 
   
  250,000(a)
B/NR
Queen Street VI Re, Ltd., 10.411%, 4/9/15 (144A) 
  263,025 
   
  250,000(a)
B/NR
Queen Street VII Re, Ltd., 8.661%, 4/8/16 (144A) 
  258,850 
   
  725,000(a)
B+/NR
Residential Reinsurance 2011, Ltd., 8.811%, 6/6/15 (144A) 
  772,777 
   
  250,000(a)
NR/NR
Residential Reinsurance 2011, Ltd., 8.961%, 12/6/15 (144A) 
  265,300 
   
  250,000(a)
BB-/NR
Residential Reinsurance 2011, Ltd., 9.061%, 6/6/15 (144A) 
  267,200 
   
  450,000(a)
B-/NR
Residential Reinsurance 2011, Ltd., 12.061%, 6/6/15 (144A) 
  481,365 
   
  250,000(a)
NR/NR
Residential Reinsurance 2011, Ltd., 13.311%, 12/6/15 (144A) 
  267,350 
   
  250,000(a)
BB/NR
Residential Reinsurance 2012, Ltd., 5.811%, 12/6/16 (144A) 
  260,600 
   
  250,000(a)
BB/NR
Residential Reinsurance 2012, Ltd., 8.061%, 6/6/16 (144A) 
  276,650 
   
  250,000(a)
BB-/NR
Residential Reinsurance 2012, Ltd., 10.061%, 6/6/16 (144A) 
  281,050 
   
  400,000(a)
NR/NR
Residential Reinsurance 2012, Ltd., 12.811%, 12/6/16 (144A) 
  436,360 
   
  250,000(a)
NR/NR
Residential Reinsurance 2012, Ltd., 19.061%, 12/6/16 (144A) 
  281,200 
   
  400,000(a)
NR/NR
Residential Reinsurance 2012, Ltd., 22.061%, 6/6/16 (144A) 
  469,680 
   
  250,000(a)
B-/NR
Residential Reinsurance 2013, Ltd., 9.311%, 6/6/17 (144A) 
  258,475 
   
  500,000(a)
BB/NR
Sanders Re, Ltd., 4.061%, 5/5/17 (144A) 
  496,300 
   
  603,600(k)
NR/NR
Sector Re V, Ltd., 0.0%, 12/1/17 (144A) 
  602,820 
   
  850,000(k)
NR/NR
Sector Re V, Ltd., 0.0%, 3/1/18 (144A) 
  998,240 
   
  500,000(a)
NR/NR
Successor X, Ltd., 13.061%, 2/25/14 (144A) 
  506,900 
   
  250,000(a)
NR/NR
Successor X, Ltd., 16.311%, 11/10/15 (144A) 
  260,975 
   
  250,000(a)
NR/NR
Successor X, Ltd., 16.561%, 1/27/15 (144A) 
  264,775 
   
  300,000(a)
B+/NR
Tar Heel Re, Ltd., 8.561%, 5/9/16 (144A) 
  319,170 
         
$ 18,141,912 
       
Total Insurance 
$ 34,711,170 
           
 
       
MATERIALS - 17.9%
 
       
Commodity Chemicals - 1.3%
 
   
  3,250,000 
BBB-/WR
Basell Finance Co. BV, 8.1%, 3/15/27 (144A) 
$ 4,103,739 
   
  1,100,000 
BB-/B2
Rain CII Carbon LLC / CII Carbon Corp., 8.25%, 1/15/21 (144A) 
  1,122,000 
         
$ 5,225,739 
       
Construction Materials - 0.8%
 
   
  3,000,000 
B-/Caa2
Texas Industries, Inc., 9.25%, 8/15/20   
$ 3,341,250 
           
       
Diversified Chemicals - 0.8%
 
 
EUR
  370,511 
B-/Caa1
INEOS Group Holdings SA, 7.875%, 2/15/16 (144A) 
$ 513,274 
   
  1,597,000 
B/B2
Kinove German Bondco GmbH, 9.625%, 6/15/18 (144A) 
  1,764,685 
 
EUR
  950,000 
NR/Caa2
Momentive Performance Materials, Inc., 9.5%, 1/15/21   
  1,086,800 
         
$ 3,364,759 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings              
 
Value
 
       
Diversified Metals & Mining - 2.1%
 
   
  2,000,000 
B/B3
Global Brass & Copper, Inc., 9.5%, 6/1/19
$ 2,280,000 
   
  3,000,000 
CCC/Caa2
Midwest Vanadium Pty, Ltd., 11.5%, 2/15/18 (144A) 
  2,490,000 
   
  600,000(e)
NR/NR
Mirabela Nickel, Ltd., 3.5%, 3/28/14 (144A) 
  600,000 
   
  2,775,000(d)
D/WR
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A) 
  693,750 
   
  1,200,000 
CCC+/B3
Molycorp, Inc., 10.0%, 6/1/20   
  1,191,000 
   
  650,000 
B-/Caa2
Mongolian Mining Corp., 8.875%, 3/29/17 (144A) 
  513,500 
   
  410,000 
B/Caa1
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A) 
  456,125 
         
$ 8,224,375 
       
Forest Products - 1.0%
 
   
  4,000,000 
B-/B3
Millar Western Forest Products, Ltd., 8.5%, 4/1/21   
$ 4,110,000 
           
       
Gold - 0.7%
 
   
  3,055,000 
BB-/B1
IAMGOLD Corp., 6.75%, 10/1/20 (144A) 
$ 2,627,300 
           
       
Metal & Glass Containers - 1.9%
 
   
  1,973,733(e)
CCC+/Caa2
Ardagh Finance SA, 11.125%, 6/1/18 (144A) 
$ 2,111,894 
 
EUR
  2,250,000 
CCC+/Caa1
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A) 
  3,279,375 
   
  500,000 
CCC+/Caa2
Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II Is, 6.0%, 6/15/17 (144A) 
  506,250 
   
  1,450,000 
CCC+/Caa1
BWAY Holdings Co., 10.0%, 6/15/18   
  1,573,250 
         
$ 7,470,769 
       
Paper Packaging - 2.6%
 
   
  2,000,000 
CCC+/Caa1
Berry Plastics Corp., 9.5%, 5/15/18   
$ 2,145,000 
   
  2,150,057(b)
NR/NR
Bio Pappel SAB de CV, 10.0%, 8/27/16   
  2,155,432 
   
  2,220,000 
B-/Caa2e
Exopack Holding Corp., 10.0%, 6/1/18 (144A) 
  2,408,700 
   
  445,000 
B-/Caa2
Exopack Holdings SA, 7.875%, 11/1/19 (144A) 
  453,900 
   
  2,500,000 
B-/Caa1
Pretium Packaging LLC / Pretium Finance, Inc., 11.5%, 4/1/16   
  2,668,750 
   
  500,000 
BB/B1
Sealed Air Corp., 8.125%, 9/15/19 (144A) 
  561,250 
         
$ 10,393,032 
       
Paper Products - 0.8%
 
   
  1,590,000 
CCC+/B2
Appvion, Inc., 9.0%, 6/1/20 (144A) 
$ 1,605,900 
   
  776,000 
B/B3
Mercer International, Inc., 9.5%, 12/1/17  
  845,840 
   
  595,000 
B-/Caa1
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A) 
  615,825 
         
$ 3,067,565 
       
Specialty Chemicals - 0.7%
 
   
  2,600,000 
CCC+/NR
Hexion US Finance Corp., 9.0%, 11/15/20
$ 2,593,500 
           
       
Steel - 5.2%
 
   
  2,450,000 
B-/Caa1
AM Castle & Co., 12.75%, 12/15/16   
$ 2,744,000 
   
  1,200,000 
B+/B3
APERAM, 7.375%, 4/1/16 (144A) 
  1,233,000 
   
  1,764,000 
B/Caa1
Atkore International, Inc., 9.875%, 1/1/18
  1,896,300 
   
  3,550,000 
CCC/Caa2
Essar Steel Algoma, Inc., 9.875%, 6/15/15 (144A) 
  2,165,500 
   
  700,000 
B-/Caa1
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A) 
  679,000 
   
  1,900,000 
NR/Caa1
Metinvest BV, 8.75%, 2/14/18 (144A) 
  1,786,000 
   
  2,915,000 
B/B2
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A) 
  3,199,213 
   
  1,804,000 
B-/B3
Permian Holdings, Inc., 10.5%, 1/15/18 (144A) 
  1,776,940 
   
  3,750,000 
CCC+/NR
Ryerson, Inc., 9.0%, 10/15/17   
  3,975,000 

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings           
 
Value
 
       
Steel (continued)
 
   
  1,250,000 
B/B3
Severstal Columbus LLC, 10.25%, 2/15/18
  1,325,000 
         
$ 20,779,953 
       
Total Materials 
$ 71,198,242 
           
 
       
MEDIA - 4.5%
 
       
Broadcasting - 1.3%
 
   
  1,000,000 
B-/Caa2
Intelsat Luxembourg SA, 7.75%, 6/1/21 (144A) 
$ 1,072,500 
   
  3,805,000 
B/B3
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A) 
  4,118,912 
         
$ 5,191,412 
       
Cable - 1.0%
 
 
EUR
  1,200,000 
B+/B1
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 
$ 1,788,732 
   
  1,500,000 
B-/Caa1
Ono Finance II Plc, 10.875%, 7/15/19 (144A) 
  1,642,500 
 
EUR
  350,000 
B-/Caa1
Ono Finance II Plc, 11.125%, 7/15/19 (144A) 
  530,578 
         
$ 3,961,810 
       
Movies & Entertainment - 1.5%
 
   
  2,765,000 
CCC+/Caa1
AMC Entertainment, Inc., 9.75%, 12/1/20
$ 3,162,469 
   
  1,400,000 
B/B2
Gibson Brands, Inc., 8.875%, 8/1/18 (144A) 
  1,477,000 
   
  1,900,000 
CCC+/Caa1
Production Resource Group, Inc., 8.875%, 5/1/19   
  1,372,750 
         
$ 6,012,219 
       
Publishing - 0.7%
 
   
  400,000 
B/B3
Interactive Data Corp., 10.25%, 8/1/18   
$ 438,500 
   
  2,200,000(g)
B-/B3
MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A) 
  2,299,000 
         
$ 2,737,500 
       
Total Media 
$ 17,902,941 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.3%
 
       
Biotechnology - 1.3%
 
   
  1,400,000 
B/B3
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A) 
$ 1,573,250 
   
  4,104,000 
B-/Caa2
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17   
  3,652,560 
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 5,225,810 
           
 
       
REAL ESTATE - 0.4%
 
       
Diversified REIT's - 0.4%
 
   
  1,500,000 
B/Ba3
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19   
$ 1,545,000 
           
       
Total Real Estate 
$ 1,545,000 
           
 
       
RETAILING - 0.2%
 
       
Speciality Stores - 0.2%
 
   
  685,000 
B/B3
Radio Systems Corp., 8.375%, 11/1/19 (144A) 
$ 751,788 
           
       
Total Retailing 
$ 751,788 
           
 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.8%
 
       
Semiconductors - 0.8%
 
   
  3,250,000 
B/B2
Advanced Micro Devices, Inc., 7.5%, 8/15/22   
$ 3,152,500 
 
CNH
  1,000,000(d)
NR/NR
LDK Solar Co., Ltd., 10.0%, 2/28/14   
  37,153 
       
Total Semiconductors & Semiconductor Equipment 
$ 3,189,653 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings             
 
Value
 
       
SOFTWARE & SERVICES - 3.2%
 
       
Application Software - 0.3%
 
   
  955,000 
B-/B3
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18 (144A) 
$ 988,425 
           
       
Data Processing & Outsourced Services - 1.6%
 
   
  1,783,000 
B-/Caa1
First Data Corp., 8.25%, 1/15/21 (144A) 
$ 1,896,666 
   
  650,000 
B-/Caa1
First Data Corp., 10.625%, 6/15/21 (144A) 
  704,438 
   
  1,783,000 
B-/Caa1
First Data Corp., 12.625%, 1/15/21   
  2,092,796 
   
  1,650,000(e)
B-/Caa1
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) 
  1,680,938 
         
$ 6,374,838 
       
Systems Software - 1.3%
 
   
  5,509,397(e)(g)
NR/NR
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A) 
$ 5,123,739 
           
       
Total Software & Services 
$ 12,487,002 
           
 
       
TECHNOLOGY HARDWARE & EQUIPMENT - 0.8%
 
       
Communications Equipment - 0.7%
 
   
  1,350,000(e)
B/B3
CommScope Holding Co., Inc., 6.625%, 6/1/20 (144A) 
$ 1,404,000 
   
  1,500,000 
CCC+/B3
CPI International, Inc., 8.0%, 2/15/18   
  1,567,500 
         
$ 2,971,500 
       
Electronic Equipment & Instruments - 0.1%
 
   
  350,000 
BB-/B1
Viasystems, Inc., 7.875%, 5/1/19 (144A) 
$ 378,437 
           
       
Total Technology Hardware & Equipment 
$ 3,349,937 
           
 
       
TELECOMMUNICATION SERVICES - 1.8%
 
       
Alternative Carriers - 0.1%
 
   
  600,000 
NR/WR
PAETEC Holding Corp., 9.875%, 12/1/18   
$ 670,500 
           
       
Integrated Telecommunication Services - 1.3%
 
   
  3,539,000 
CCC+/Caa1
Cincinnati Bell, Inc., 8.75%, 3/15/18   
$ 3,715,950 
   
  1,400,000 
BB-/Ba2
Frontier Communications Corp., 7.625%, 4/15/24   
  1,396,500 
         
$ 5,112,450 
       
Wireless Telecommunication Services - 0.4%
 
   
  300,000 
B-/(P)B3
Altice Finco S.A., 8.125%, 1/15/24 (144A) 
$ 311,250 
   
  400,000 
NR/NR
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A) 
  379,091 
   
  725,000 
BB/Ba3
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A) 
  850,063 
         
$ 1,540,404 
       
Total Telecommunication Services 
$ 7,323,354 
           
 
       
TRANSPORTATION - 3.7%
 
       
Air Freight & Logistics - 0.2%
 
   
  720,000 
CCC-/Caa2
CEVA Group Plc, 11.625%, 10/1/16 (144A) 
$ 752,400 
           
       
Airlines - 1.1%
 
   
  500,000 
B-/NR
Gol Finance, 9.25%, 7/20/20 (144A) 
$ 440,000 
   
  600,000 
B/B2
United Continental Holdings, Inc., 6.375%, 6/1/18   
  627,000 
   
  3,500,000 
B/B2
United Continental Holdings, Inc., 8.0%, 7/15/24   
  3,510,500 
         
$ 4,577,500 
       
Airport Services - 0.1%
 
   
  575,000 
BB-/Ba3
Aeropuertos Dominicanos Siglo XXI SA, 9.25%, 11/13/19 (144A) 
$ 566,375 
       
Marine - 0.1%
 
   
  295,000 
B+/B3
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc., 9.25%, 4/15/19   
$ 318,231 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings             
 
Value
 
       
Railroads - 0.3%
 
   
  1,116,919(e)
CCC/Caa3
Florida East Coast Holdings Corp., 10.5%, 8/1/17   
$ 1,150,427 
       
Trucking - 1.9%
 
   
  3,500,000 
B-/B2
Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A) 
  3,771,250 
   
  1,375,000 
B+/B3
Swift Services Holdings, Inc., 10.0%, 11/15/18   
  1,529,687 
   
  2,000,000 
CCC+/Caa1
Syncreon Group BV / Syncreon Global Finance US, Inc., 8.625%, 11/1/21 (144A) 
  2,070,000 
         
$ 7,370,937 
       
Total Transportation 
$ 14,735,870 
           
 
       
UTILITIES - 1.6%
 
       
Electric Utilities - 0.9%
 
   
  310,000 
NR/Caa3
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A) 
$ 210,025 
   
  1,010,000(c)
BB+/Ba1
Enel SpA, 8.75%, 9/24/73 (144A) 
  1,098,241 
   
  885,000 
CCC+/B3
Energy Future Intermediate Holding Co., LLC / EFIH Finance, Inc., 10.0%, 12/1/20 (144A) 
  938,100 
   
  1,000,000 
BBB-/Ba1
PNM Resources, Inc., 9.25%, 5/15/15   
  1,112,500 
   
  350,000 
CCC-/Caa3
Texas Competitive Electric Holdings Co., LLC / TCEH Finance, Inc., 11.5%, 10/1/20 (144A) 
  257,250 
         
$ 3,616,116 
       
Multi-Utilities - 0.7%
 
   
  2,704,905 
NR/NR
Ormat Funding Corp., 8.25%, 12/30/20   
$ 2,596,709 
           
       
Total Utilities 
$ 6,212,825 
           
       
TOTAL CORPORATE BONDS & NOTES
 
       
(Cost  $404,402,933)
$ 421,736,711 
 
       
CONVERTIBLE BONDS & NOTES -  5.3% of Net Assets
 
 
       
CAPITAL GOODS - 0.9%
 
       
Construction & Farm Machinery & Heavy Trucks - 0.9%
 
   
  2,625,000 
B-/NR
Meritor, Inc., 7.875%, 3/1/26 (144A) 
$ 3,768,516 
           
       
Total Capital Goods 
$ 3,768,516 
           
 
       
DIVERSIFIED FINANCIALS - 0.1%
 
       
Asset Management & Custody Banks - 0.1%
 
   
  400,000 
BBB/NR
Apollo Investment Corp., 5.75%, 1/15/16  
$ 425,500 
           
       
Total Diversified Financials 
$ 425,500 
           
 
       
ENERGY - 1.4%
 
       
Coal & Consumable Fuels - 0.5%
 
   
  1,905,000 
CCC+/NR
Massey Energy Co., 3.25%, 8/1/15   
$ 1,897,856 
           
       
Oil & Gas Drilling - 0.6%
 
   
  2,265,000(b)
NR/NR
Hercules Offshore, Inc., 0.0%, 6/1/38   
$ 2,242,350 
           
       
Oil & Gas Exploration & Production - 0.3%
 
   
  1,340,000 
BB-/Ba3
Chesapeake Energy Corp., 2.5%, 5/15/37
$ 1,360,100 
           
       
Total Energy 
$ 5,500,306 
           
 
       
HEALTH CARE - 0.2%
 
       
Biotechnology - 0.2%
 
   
  1,400,000 
NR/NR
Corsicanto, Ltd., 3.5%, 1/15/32   
$ 987,875 
           
       
Total Health Care 
$ 987,875 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 1.1%
 
       
Health Care Equipment & Services - 0.8%
 
   
  2,837,000(b)
B+/NR
Hologic, Inc., 2.0%, 12/15/37   
$ 3,306,878 
           
       
Health Care Facilities - 0.2%
 
   
  780,000 
B/NR
LifePoint Hospitals, Inc., 3.5%, 5/15/14   
$ 847,762 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Ratings             
 
Value
 
       
Health Care Services - 0.1%
 
   
  361,000 
B+/B2
Omnicare, Inc., 3.25%, 12/15/35   
$ 385,819 
           
       
Total Health Care Equipment & Services 
$ 4,540,459 
           
 
       
MATERIALS - 0.9%
 
       
Diversified Chemicals - 0.9%
 
   
  4,000,000(j)
B+/NR
Hercules, Inc., 6.5%, 6/30/29   
$ 3,480,000 
           
       
Total Materials 
$ 3,480,000 
           
 
       
MEDIA - 0.5%
 
       
Movies & Entertainment - 0.5%
 
   
  1,832,000 
B/NR
Live Nation Entertainment, Inc., 2.875%, 7/15/27   
$ 1,859,480 
           
       
Total Media 
$ 1,859,480 
           
 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.2%
 
       
Semiconductors - 0.2%
 
   
  750,000 
NR/NR
ReneSola, Ltd., 4.125%, 3/15/18 (144A) 
$ 592,500 
   
  42,000(d)
NR/NR
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13   
  4,200 
       
Total Semiconductors & Semiconductor Equipment 
$ 596,700 
           
       
TOTAL CONVERTIBLE BONDS & NOTES
 
       
(Cost  $16,858,386)
$ 21,158,836 
       
SOVEREIGN DEBT OBLIGATIONS -  0.8% of Net Assets
 
       
Argentina - 0.3%
 
   
  1,200,000 
CCC+/Caa1
City of Buenos Aires, 12.5%, 4/6/15 (144A) 
$ 1,254,000 
           
       
Russia - 0.5%
 
   
  1,658,800(b)
BBB/Baa1
Russian Government International Bond, 7.5%, 3/31/30   
$ 1,932,834 
           
       
TOTAL SOVEREIGN DEBT OBLIGATIONS
 
       
(Cost  $2,383,384)
$ 3,186,834 
           
       
TAX EXEMPT OBLIGATIONS -  4.3% of Net Assets
 
       
Indiana - 0.4%
 
   
  1,650,000 
NR/Baa3
East Chicago Indiana Exempt Facilities Revenue, 7.0%, 1/1/14   
$ 1,650,000 
           
       
New Jersey - 1.1%
 
   
  4,525,000(c)
B/B2
New Jersey Economic Development Authority Revenue, 7.0%, 11/15/30   
$ 4,520,475 
           
       
New York - 0.9%
 
   
  3,475,000 
BB/B2
New York City Industrial Development Agency Revenue, 7.625%, 12/1/32   
$ 3,491,124 
           
       
North Carolina - 1.9%
 
   
  1,670,000 
NR/NR
Charlotte North Carolina Special Facilities Revenue, 7.75%, 2/1/28   
$ 1,671,236 
   
  6,300,000 
NR/NR
Charlotte Special Facilities Revenue, 5.6%, 7/1/27   
  5,930,253 
         
$ 7,601,489 
       
TOTAL TAX EXEMPT OBLIGATIONS
 
       
(Cost $13,098,222)
$ 17,263,088 
           
       
MUNICIPAL COLLATERALIZED DEBT OBLIGATION -  0.2% of Net Assets
 
   
  3,300,000(c)(g)
NR/NR
Non-Profit Preferred Funding Trust I, 0.0%, 9/15/37 (144A) 
$ 657,855 
           
       
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
 
       
(Cost  $3,293,609)
$ 657,855 
           
           

   
Shares
   
Value
 
 
       
COMMON STOCKS -  2.5% of Net Assets
 
 
       
CAPITAL GOODS - 0.2%
 
       
Building Products - 0.2%
 
   
  894(g)(h)(l)
 
Panolam Holdings Co.
$ 715,200 
           
       
Total Capital Goods 
$ 715,200 
           
 
           
 
       
MATERIALS - 0.5%
 
       
Diversified Metals & Mining - 0.5%
 
   
  3,402 
 
Freeport-McMoRan Copper & Gold, Inc. Class B
$ 128,392 
   
  22,908 
 
Lyondell Basell Industries NV, Class A
  1,839,054 
         
$ 1,967,446 
       
Total Materials 
$ 1,967,446 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
 
       
Pharmaceuticals - 0.2%
 
   
  17,818 
 
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
$ 714,145 
           
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 714,145 
           
 
       
SOFTWARE & SERVICES - 0.0%
 
       
Systems Software - 0.0%
 
   
  10,942(g)(l)
 
Perseus Holding Corp.
$ 27,355 
           
       
Total Software & Services 
$ 27,355 
           
 
       
TRANSPORTATION - 1.6%
 
       
Air Freight & Logistics - 0.8%
 
   
  3,266(l)
 
CEVA Holdings LLC
$ 3,102,453 
           
       
Airlines - 0.6%
 
   
  95,830 
 
Delta Air Lines, Inc.
$ 2,632,450 
           
       
Marine - 0.2%
 
   
  877,784(g)(l)
 
Horizon Lines, Inc., Class A
$ 737,339 
           
       
Total Transportation 
$ 6,472,242 
           
       
TOTAL COMMON STOCKS
 
       
(Cost  $8,977,408)
$ 9,896,388 
           
 
       
CONVERTIBLE PREFERRED STOCK -  0.5% of Net Assets
 
 
       
DIVERSIFIED FINANCIALS - 0.5%
 
       
Other Diversified Financial Services - 0.5%
 
   
  1,880(f)
 
Bank of America Corp., 7.25% 
$ 1,994,680 
           
       
Total Diversified Financials 
$ 1,994,680 
           
       
TOTAL CONVERTIBLE PREFERRED STOCK
 
       
(Cost  $1,383,242)
$ 1,994,680 
           
 
       
PREFERRED STOCKS -  3.0% of Net Assets
 
 
       
BANKS - 0.8%
 
       
Diversified Banks - 0.8%
 
   
  3,000(c)(f)
 
AgStar Financial Services ACA, 6.75% (144A) 
$ 2,958,562 
           
       
Total Banks 
$ 2,958,562 
           
 
       
DIVERSIFIED FINANCIALS - 0.9%
 
       
Other Diversified Financial Services - 0.9%
 
   
  132,750(c)
 
GMAC Capital Trust I, 8.125% 
$ 3,549,735 
           
       
Total Diversified Financials 
$ 3,549,735 
           
 
       
ENERGY - 0.2%
 
       
Oil & Gas Storage & Transportation - 0.2%
 
   
  33,350(c)
 
NuStar Logistics LP, 7.625% 
$ 849,424 
           
       
Total Energy 
$ 849,424 
           

   
Shares
   
Value
 
       
INSURANCE - 1.0%
 
       
Reinsurance - 1.0%
 
   
  1,200,000(l)
 
Altair Re
$ 1,320,240 
   
  840,000(l)
 
Altair Re II Ltd.
 840,000 
   
  8,500(l)
 
Lorenz Re, Ltd.
  947,920 
   
  950,000(l)
 
Pangaea Re
  1,020,994 
         
$ 4,129,154 
       
Total Insurance 
$ 4,129,154 
           
 
       
SOFTWARE & SERVICES - 0.1%
 
       
Systems Software - 0.1%
 
   
  5,745(g)(l)
 
Perseus Holding Corp., 14.0% (144A) 
$ 471,090 
           
       
Total Software & Services 
$ 471,090 
           
       
TOTAL PREFERRED STOCKS
 
       
(Cost  $10,993,234)
$ 11,957,965 
           
 
       
RIGHTS/WARRANTS -  0.0% of Net Assets
 
 
       
AUTOMOBILES & COMPONENTS - 0.0%
 
       
Auto Parts & Equipment - 0.0%
 
   
  344(l)
 
Lear Corp., Expires 11/9/14   
$ 56,089 
           
       
Total Automobiles & Components 
$ 56,089 
           
 
       
ENERGY - 0.0%
 
       
Oil & Gas Equipment & Services - 0.0%
 
   
  650(d)(g)(l)
 
Green Field Energy Services, Inc., Expires 11/15/21 (144A) 
$ 657 
           
       
Total Energy 
$ 657 
           
       
TOTAL RIGHTS/WARRANTS
 
       
(Cost  $42,353)
$ 56,746 
           
       
TOTAL INVESTMENTS IN SECURITIES - 131.5%
 
       
(Cost - $495,680,152) (m) (n)
$ 522,110,956 
       
OTHER ASSETS AND LIABILITIES -6.5%
$ 25,789,391 
       
PREFERRED SHARES AT REDEMPTION VALUE, INCLUDING DIVIDENDS PAYABLE - (38.0)%
$ (151,002,319)
       
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
$ 396,898,028 
 

 
Notional
Principal 
 
Credit Default Swap Agreement
Unrealized          Appreciation
         
 
$ 2,000,000 
 
JPMorgan Chase & Co., Goodyear Tire & Rubber Co., 5.0%, 12/20/2017 
$ 326,425 
     
TOTAL CREDIT DEFAULT SWAP AGREEMENT
 
     
(Cost $(65,000)
$ 326,425 
 


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 December 31, 2013, the value of these securities amounted to $229,341,964, or 57.8% of total net assets applicable to common shareowners.
 

 
  Amount rounds to less than 0.1%.

 *
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium.  These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit or (iv) other base lending rates used by commercial lenders.  The interest rate shown is the rate accruing at December 31, 2013.
(a)
Floating rate note.  The rate shown is the coupon rate at December 31, 2013.
(b)
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date.  The rate shown is the rate at December 31, 2013.
(c)
The interest rate is subject to change periodically. The interest is shown is the rate at December 31, 2013.
(d)
Security is in default and is non income producing.
(e)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
(f)
Security is perpetual in nature and has no stated maturity date.
(g)
Indicates a security that has been deemed as illiquid.  As of December 31, 2013 the aggregate cost of illiquid securities in the Trust's portfolio was $15,934,984.  As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $11,684,965 represented 2.9% of total net assets applicable to common shareowners.
(h)
Security is valued using fair value methods (other than prices supplied by independent pricing services).  
(i)
The company is scheduled for approval of a reorganization plan.
(j)
Security is priced as a unit.
(k)
Security issued with a zero coupon.  Income is recognized through accretion of discount.
(l)
Non-income producing.


(m)
At December 31, 2013, the net unrealized appreciation on investments based on cost for federal tax purposes of $498,013,019 was as follows:
 
   
 
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost
$ 49,221,531 
 
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value
  (25,123,594)
   
 
Net unrealized appreciation
$ 24,097,937 
     
For financial reporting purposes net unrealized appreciation on investments was $26,430,804
and cost of investments aggregated  $495,680,152.
 
 

(n)
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
 
 
United States
76.9
%
 
Canada
3.5
 
 
Luxembourg
3.0
 
 
Cayman Islands
2.4
 
 
Netherlands
2.2
 
 
Ireland
1.9
 
 
United Kingdom
1.4
 
 
Bermuda
1.3
 
 
Australia
1.1
 
 
Other (individually less than 1%)
6.3
 
   
100.0
%
 
 
 
Glossary of Terms:
(A.D.R.)
 
American Depositary Receipt
 

Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
EUR
-
Euro
CNH
-
New Chinese Yuan
GBP
-
Great British Pound
 


 
 

 


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 December 31, 2013, in valuing the Trust's investments.
 
   
                         
   
Level 1
   
Level 2
   
Level 3
   
Total
 
   
                         
                         
Asset Backed Securities
  $     $ 5,935,869     $     $ 5,935,869  
                                 
                                 
Collateralized Mortgage Obligations
          3,542,581             3,542,581  
                                 
                                 
Senior Secured Floating Rate Loan Interests
          24,723,403             24,723,403  
                                 
                                 
Tax Exempt Obligations
          17,263,088             17,263,088  
                                 
Corporate Bonds & Notes
                               
                                 
Other Diversified Financial Services
                1,652,730       1,652,730  
Reinsurance
          16,540,852       1,601,060       18,141,912  
    All Other
          401,942,069             401,942,069  
                                 
                                 
Convertible Bonds & Notes
          21,158,836             21,158,836  
                                 
                                 
Municipal Collateralized Debt Obligation
          657,855             657,855  
                                 
                                 
Sovereign Debt Obligations
          3,186,834             3,186,834  
                                 
Common Stocks
                               
                                 
Air Freight & Logistics
          3,102,453             3,102,453  
Building Products
                715,200       715,200  
Systems Software
          27,355             27,355  
    All Other
    6,051,380                   6,051,380  
                                 
                                 
Convertible Preferred Stock:
    1,994,680                   1,994,680  
                                 
Preferred Stocks
                               
                                 
Reinsurance
                4,129,154       4,129,154  
Diversified Banks
          2,958,562             2,958,562  
Systems Software
          471,090             471,090  
    All Other
    4,399,159                   4,399,159  
                                 
Rights/Warrants
                               
                                 
Oil & Gas Equipment & Services
          657             657  
    All Other
    56,089                   56,089  
Total Investments in Securities
  $ 12,501,308     $ 501,511,504     $ 8,098,144     $ 522,110,956  
Other Financial Instruments
                               
Forward Foreign Currency Contracts
  $     $ (492,932 )   $     $ (492,932 )
Credit Default Swap Agreement
          326,425             326,425  
Total Other Financial Instruments
  $     $ (166,507 )   $     $ (166,507 )
   


 
 

 


The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
 
   
Balance
as of
3/31/13
   
Realized
gain
(loss)
   
Change in
Unrealized appreciation
(depreciation)
   
Purchases
   
Sales
   
Accrued
discounts/ premiums
   
Transfers  in to
Level 3*
   
Transfers  out of
Level 3*
   
Balance
as of
12/31/13
 
   
                                                       
                                                       
                                                       
                                                       
                                                       
Corporate Bonds & Notes
                                                     
Other Diversified Financial Services
  $ 1,772,245     $     $ (119,977 )   $     $     $ 462     $     $     $ 1,652,730  
Reinsurance
          3,600       111,640       600,000       (600,000 )           1,485,820             1,601,060  
                                                                         
                                                                         
                                                                         
                                                                         
Common Stocks
                                                                       
Building Products
    522,096             193,104                                     715,200  
                                                                         
                                                                         
Preferred Stocks
                                                                       
Reinsurance
                292,094       3,837,060                               4,129,154  
                                                                         
Total
  $ 2,294,341     $ 3,600     $ 476,861     $ 4,437,060     $ (600,000 )   $ 462     $ 1,485,820     $     $ 8,098,144  
       
*  Transfers are calculated on the beginning of period value
 
Net change in unrealized appreciation of Level 3 investments still held and considered
Level 3 at 12/31/13: 476,861
 
   

Open portfolio hedges at December 31, 2013, were as follows:

Currency
Net Contracts
To Receive/
(Deliver)
In
Exchange
for US$
Settlement
Date
US$ Value
Net
Unrealized
Appreciation/
Depreciation
           
EUR (European Dollar)
(1,400,000)
$(1,932,756)
04/24/14
$ (1,925,028)
$ 7,728
EUR (European Dollar)
(1,500,000)
 (1,991,658)
04/24/14
  (2,062,530)
(70,872)
EUR (European Dollar)
(3,694,000)
 (4,814,069)
04/24/14
  (5,079,325)
(265,256)
GBP (Pound Sterling)
(700,000)
 (1,119,837)
03/28/14
  (1,158,994)
(39,157)
GBP (Pound Sterling)
(886,000)
 (1,341,581)
03/28/14
  (1,466,956)
(125,375)
Total
       
(492,932)
 

As of December 31, 2013, the Trust had no unfunded loan commitments.  The Trust had the following bridge loan outstanding at December 31, 2013.

Borrower
Par
Cost
Value
Unrealized
Appreciation (Depreciation)
Delta Patheon Holdings
$2,900,000
$2,900,000
$2,900,000
$–


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/ Daniel K. Kingsbury ----------------------- Daniel K. Kingsbury, President Date February 28, 2014 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/ Daniel K. Kingsbury ----------------------- Daniel K. Kingsbury, President Date February 28, 2014 By (Signature and Title)* /s/ Mark Bradley ----------------- Mark Bradley, Treasurer Date February 28, 2014 * Print the name and title of each signing officer under his or her signature.