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: January 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 - 2.1% of Net Assets
|
|||||
802,178(a)
|
CCC/Caa3
|
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.64%, 5/15/24 (144A)
|
$ 312,850
|
||
100,000
|
BB/NR
|
CarNow Auto Receivables Trust, Series 2012-1A, Class D, 6.9%, 11/15/16 (144A)
|
102,005
|
||
81,268
|
BB+/Ba2
|
Continental Airlines 1998-1 Class B Pass Through Trust, 6.748%, 3/15/17
|
86,957
|
||
250,000
|
BBB/Ba2
|
Delta Air Lines 2010-1 Class B Pass Through Trust, 6.375%, 1/2/16 (144A)
|
267,500
|
||
290,000(b)
|
NR/NR
|
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
|
278,828
|
||
76,649(a)
|
B-/Caa1
|
GSAMP Trust, Series 2006-HE8, Class A2B, 0.288%, 1/25/37
|
73,236
|
||
939,719
|
NR/NR
|
Monty Parent Issuer LLC, Series 2013-LTR, 4.25%, 10/20/15
|
940,454
|
||
940,000
|
NR/Ba2
|
Nations Equipment Finance Funding I LLC, Series 2013-1A, Class C, 5.5%, 5/20/21 (144A)
|
940,000
|
||
137,549
|
BB/NR
|
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)
|
141,241
|
||
346,510
|
NR/NR
|
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A)
|
353,440
|
||
TOTAL ASSET BACKED SECURITIES
|
|||||
(Cost $3,506,048)
|
$ 3,496,511
|
||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.4% of Net Assets
|
|||||
275,000
|
NR/NR
|
CAM Mortgage Trust, Series 2014-1, Class M, 5.5%, 12/15/53 (144A)
|
$ 273,716
|
||
662,185(a)
|
CCC/Caa2
|
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A2, 0.358%, 2/25/37
|
595,023
|
||
200,000(b)
|
CCC/B3
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C4, Class E, 5.135%, 10/15/39 (144A)
|
178,178
|
||
101,389
|
NR/NR
|
Extended Stay America Trust, Series 2013-ESHM, Class M, 7.625%, 12/5/19 (144A)
|
101,793
|
||
124,911
|
BBB+/Ba3
|
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A)
|
119,958
|
||
205,788
|
CCC/Caa3
|
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32
|
164,302
|
||
375,000(a)
|
NR/Ba2
|
GS Mortgage Securities Corp. II, Series 2013-KYO, Class E, 3.763%, 11/8/29 (144A)
|
377,827
|
||
159,933(b)
|
B/NR
|
GSR Mortgage Loan Trust, Series 2004-3F, Class B1, 5.714%, 2/25/34
|
142,344
|
||
213,269
|
NR/NR
|
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
|
208,534
|
||
793,195(a)
|
B/Ba3
|
Impac CMB Trust, Series 2004-9, Class 1A1, 0.918%, 1/25/35
|
705,228
|
||
150,000(a)
|
BB/NR
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-FL3, Class E, 3.122%, 4/15/28 (144A)
|
149,268
|
||
556,571(b)
|
BB/NR
|
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41
|
560,596
|
||
400,000(b)
|
B-/B1
|
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class AJ, 5.969%, 5/15/46
|
409,543
|
||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|||||
(Cost $3,974,555)
|
$ 3,986,310
|
||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.5% of Net Assets
|
|||||
150,000(b)
|
NR/Ba1
|
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41
|
$ 151,887
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
250,000(b)
|
NR/Baa3
|
COMM 2012-CCRE2 Mortgage Trust, Series 2012-CR2, Class E, 4.858%, 8/15/45 (144A)
|
$ 236,271
|
||
200,000(a)
|
BB-/NR
|
COMM 2013-FL3 Mortgage Trust, Series 2013-FL3, Class RGC2, 4.5%, 10/13/28 (144A)
|
200,188
|
||
150,600(a)
|
NR/Ba1
|
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-FL2A, Class G, 0.52%, 11/15/18 (144A)
|
142,726
|
||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|||||
(Cost $687,536)
|
$ 731,072
|
||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 23.9% of Net Assets *(a)
|
|||||
AUTOMOBILES & COMPONENTS - 2.5%
|
|||||
Auto Parts & Equipment - 1.2%
|
|||||
118,388
|
B/B1
|
Federal-Mogul Corp., Tranche B Term Loan, 2.108%, 12/29/14
|
$ 117,796
|
||
69,670
|
B/B1
|
Federal-Mogul Corp., Tranche C Term Loan, 2.108%, 12/28/15
|
69,322
|
||
247,500
|
B+/B1
|
Metaldyne LLC, USD Term Loan, 5.0%, 12/18/18
|
249,913
|
||
280,741
|
B+/B1
|
TI Group Automotive Systems LLC, Additional Term Loan, 5.5%, 3/28/19
|
282,496
|
||
213,927
|
BB/Ba2
|
Tomkins LLC, Term Loan B-2, 3.75%, 9/29/16
|
215,379
|
||
972,662
|
B+/B1
|
Tower Automotive Holdings USA, LLC, Refinancing First Lien Term Loan, 4.0%, 4/23/20
|
980,962
|
||
140,650
|
B/Ba3
|
UCI International, Inc., (United Components), Term Loan, 5.5%, 7/26/17
|
141,617
|
||
$ 2,057,485
|
|||||
Automobile Manufacturers - 0.9%
|
|||||
1,462,500
|
BB/Ba1
|
Chrysler Group LLC, Tranche B Term Loan, 3.5%, 5/24/17
|
$ 1,472,425
|
||
Tires & Rubber - 0.4%
|
|||||
575,000
|
BB/Ba1
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19
|
$ 582,367
|
||
Total Automobiles & Components
|
$ 4,112,277
|
||||
CAPITAL GOODS - 2.5%
|
|||||
Aerospace & Defense - 1.2%
|
|||||
320,000
|
CCC+/Caa1
|
Consolidated Precision Products Corp., Second Lien Term Loan, 8.75%, 4/30/21
|
$ 325,200
|
||
831,525
|
B/B2
|
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 6.25%, 11/2/18
|
839,494
|
||
186,560
|
B/Caa1
|
Hunter Defense Technologies, Inc., Term Loan, 3.49%, 8/22/14
|
176,765
|
||
376,959
|
B/B2
|
Standard Aero, Ltd., Tranche B-2 Loan, 6.25%, 11/2/18
|
380,571
|
||
321,180
|
BB-/B1
|
TASC, Inc., New Tranche B Term Loan, 4.5%, 12/18/15
|
306,125
|
||
$ 2,028,155
|
|||||
Construction & Farm Machinery & Heavy Trucks - 0.5%
|
|||||
390,000
|
B/Ba3
|
Navistar, Inc., Tranche B, Term Loan, 5.75%, 8/17/17
|
$ 397,800
|
||
457,481
|
B+/B2
|
Waupaca Foundry, Inc. Term Loan, 4.5%, 6/29/17
|
458,625
|
||
$ 856,425
|
|||||
Electrical Components & Equipment - 0.4%
|
|||||
557,938
|
BB+/Ba2
|
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
|
$ 563,168
|
||
Trading Companies & Distributors - 0.4%
|
|||||
416,698
|
BBB/Ba2
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18
|
$ 419,476
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Trading Companies & Distributors (continued)
|
|||||
284,593
|
B+/Ba3
|
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19
|
$ 285,660
|
||
$ 705,136
|
|||||
Total Capital Goods
|
$ 4,152,884
|
||||
COMMERCIAL & PROFESSIONAL SERVICES - 0.2%
|
|||||
Commercial Printing - 0.1%
|
|||||
121,889
|
NR/Caa3
|
Cenveo Corp., Term Loan B, 6.25%, 2/13/17
|
$ 123,717
|
||
Security & Alarm Services - 0.1%
|
|||||
204,785
|
B+/B1
|
Protection One, Inc., 2012 Term Loan, 4.25%, 3/21/19
|
$ 205,553
|
||
Total Commercial & Professional Services
|
$ 329,270
|
||||
CONSUMER DISCRETIONARY - 1.0%
|
|||||
Automobiles & Components - 0.4%
|
|||||
700,000
|
B+/B2
|
CWGS Group LLC, Term Loan, 5.75%, 2/20/20
|
$ 705,250
|
||
Education Services - 0.6%
|
|||||
950,000
|
B+/B2
|
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19
|
$ 963,260
|
||
Total Consumer Discretionary
|
$ 1,668,510
|
||||
CONSUMER DURABLES & APPAREL - 0.1%
|
|||||
Textiles - 0.1%
|
|||||
109,819
|
NR/Ba3
|
Klockner Pentaplast of America, Inc., Term Loan B-1, 5.75%, 12/21/16
|
$ 111,100
|
||
Total Consumer Durables & Apparel
|
$ 111,100
|
||||
CONSUMER SERVICES - 1.2%
|
|||||
Hotels, Resorts & Cruise Lines - 0.5%
|
|||||
864,063
|
BB-/Ba2
|
Seven Sea Cruises S. DE R.L., Term B-1 Loan, 4.75%, 12/21/18
|
$ 868,923
|
||
Restaurants - 0.7%
|
|||||
526,650
|
B+/B1
|
Landry's, Inc., (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18
|
$ 532,575
|
||
544,825
|
B/Ba3
|
NPC International, Inc., Term Loan, 4.0%, 12/28/18
|
551,295
|
||
$ 1,083,870
|
|||||
Total Consumer Services
|
$ 1,952,793
|
||||
CONSUMER STAPLES - 0.1%
|
|||||
Personal Products - 0.1%
|
|||||
100,000
|
NR/NR
|
Altrium Innovations, Inc., Second Lien Term Loan, 0.0%, 7/29/21
|
$ 102,188
|
||
Total Consumer Staples
|
$ 102,188
|
||||
ENERGY - 1.3%
|
|||||
Coal & Consumable Fuels - 0.2%
|
|||||
352,500
|
NR/NR
|
PT Bumi Resources Tbk, Term Loan, 18.165%, 11/7/14
|
$ 352,500
|
||
Oil & Gas Exploration & Production - 1.1%
|
|||||
400,000
|
BB-/Ba3
|
Chesapeake Energy Corp., Term Loan, 5.75%, 12/2/17
|
$ 409,833
|
||
685,000
|
B-/B2
|
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20
|
705,061
|
||
650,000
|
CCC+/B3
|
Samson Investment Co., Second Initial Term Loan, 5.0%, 9/25/18
|
657,475
|
||
$ 1,772,369
|
|||||
Total Energy
|
$ 2,124,869
|
||||
FOOD, BEVERAGE & TOBACCO - 0.7%
|
|||||
Packaged Foods & Meats - 0.7%
|
|||||
232,449
|
B/B1
|
Del Monte Foods Co., Initial Term Loan, 4.0%, 3/8/18
|
$ 233,960
|
||
940,000
|
B-/NR
|
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20
|
977,600
|
||
Total Food, Beverage & Tobacco
|
$ 1,211,560
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
HEALTH CARE EQUIPMENT & SERVICES - 3.6%
|
|||||
Health Care Equipment & Services - 0.1%
|
|||||
240,128
|
BB-/Ba2
|
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.0%, 5/4/18
|
$ 242,614
|
||
Health Care Facilities - 1.0%
|
|||||
268,442
|
BB/Ba2
|
CHS/Community Health Systems, Inc., Extended Term Loan, 3.487%, 1/25/17
|
$ 270,812
|
||
715,474
|
BB/Ba2
|
CHS/Community Health Systems, Inc., Term B Loan, 4.25%, 1/27/21
|
723,778
|
||
82,372
|
BB/Ba3
|
HCA, Inc., Tranche B-4 Term Loan, 2.997%, 5/1/18
|
82,611
|
||
197,545
|
BB/NR
|
HCA, Inc., Tranche B-5 Term Loan, 2.91%, 3/31/17
|
198,149
|
||
322,567
|
B+/Ba3
|
Kindred Healthcare, Inc., Term B-1 Loan, 4.25%, 6/1/18
|
325,770
|
||
$ 1,601,120
|
|||||
Health Care Services - 2.0%
|
|||||
377,708
|
B+/B2
|
AccentCare, Inc., Term Loan, 6.5%, 12/22/16
|
$ 201,130
|
||
370,313
|
B/B2
|
Bioscrip, Inc., Delayed Term Loan, 6.5%, 7/31/20
|
368,461
|
||
617,188
|
B/B2
|
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20
|
614,102
|
||
800,000
|
B/B2
|
Gentiva Health Services, Inc., Initial Term Loan B, 6.5%, 10/18/19
|
805,500
|
||
341,123
|
B-/B2
|
Inventiv Health, Inc., Consolidated Term Loan, 7.5%, 8/4/16
|
339,951
|
||
462,675
|
B/NR
|
Surgical Care Affiliates LLC, Class C Term Loan, 4.25%, 6/29/18
|
465,277
|
||
283,225
|
B/B2
|
Valitas Health Services, Inc., Term Loan B, 5.75%, 6/2/17
|
275,791
|
||
487,500
|
NR/B3
|
Virtual Radiologic Corp., Term Loan B, 7.25%, 12/22/16
|
292,012
|
||
$ 3,362,224
|
|||||
Health Care Supplies - 0.1%
|
|||||
238,284
|
B+/NR
|
Alere, Inc., Term Loan B, 5.5%, 6/30/17
|
$ 240,394
|
||
Health Care Technology - 0.4%
|
|||||
240,653
|
BB-/Ba3
|
IMS Health, Inc., Tranche B-1 Dollar Term Loan, 3.75%, 9/1/17
|
$ 242,507
|
||
347,416
|
CCC/Caa3
|
Medical Card System, Inc., Term Loan, 0.0%, 9/17/15
|
331,783
|
||
$ 574,290
|
|||||
Total Health Care Equipment & Services
|
$ 6,020,642
|
||||
HOUSEHOLD & PERSONAL PRODUCTS - 0.8%
|
|||||
Household Products - 0.4%
|
|||||
423,777
|
BB-/B1
|
SRAM LLC, First Lien Term Loan, 4.0%, 4/10/20
|
$ 426,425
|
||
215,446
|
B-/B2
|
Wash MultiFamily Laundry Systems LLC, U.S. Term Loan, 4.5%, 2/21/19
|
216,793
|
||
$ 643,218
|
|||||
Personal Products - 0.2%
|
|||||
215,357
|
BB-/NR
|
NBTY, Inc., B-2 Term Loan, 3.5%, 10/1/17
|
$ 217,165
|
||
208,828
|
B+/Ba2
|
Revlon Consumer Products Corp., Replacement Term Loan, 4.0%, 11/20/17
|
211,047
|
||
$ 428,212
|
|||||
Security & Alarm Services - 0.2%
|
|||||
270,204
|
B/Ba3
|
Monitronics International, Inc., Term Loan B, 4.25%, 3/23/18
|
$ 272,569
|
||
Total Household & Personal Products
|
$ 1,343,999
|
||||
INDUSTRIALS - 0.2%
|
|||||
Industrial Conglomerates - 0.2%
|
|||||
355,000
|
B-/Caa1
|
Filtration Group Co., Initial Second Lien Term Loan, 8.25%, 11/22/21
|
$ 364,911
|
||
Total Industrials
|
$ 364,911
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
INSURANCE - 1.0%
|
|||||
Multi-Line Insurance - 0.4%
|
|||||
574,200
|
B-/B1
|
Alliant Holdings I LLC, Initial Term Loan, 4.25%, 12/20/19
|
$ 577,160
|
||
Property & Casualty Insurance - 0.6%
|
|||||
593,765
|
CCC/Caa2
|
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
|
$ 598,961
|
||
450,459
|
NR/B1
|
USI, Inc., Initial Term Loan, 4.25%, 12/27/19
|
453,837
|
||
$ 1,052,798
|
|||||
Total Insurance
|
$ 1,629,958
|
||||
MATERIALS - 1.2%
|
|||||
Commodity Chemicals - 0.1%
|
|||||
196,515
|
BB-/B1
|
Taminco Global Chemical Corp., Tranche B-2 Dollar Term Loan, 4.25%, 2/15/19
|
$ 197,579
|
||
Diversified Chemicals - 0.2%
|
|||||
299,417
|
B+/B2
|
Univar, Inc., Term Loan B, 5.0%, 6/30/17
|
$ 298,160
|
||
Diversified Metals & Mining - 0.3%
|
|||||
72,253(c)
|
NR/NR
|
Long Haul Holdings, Ltd., Facility Term Loan A, 0.0%, 1/12/13
|
$ 28,179
|
||
566,375(c)
|
B+/Caa1
|
Preferred Proppants LLC, Initial Term Loan B, 11.75%, 12/15/16
|
448,381
|
||
57,668(c)
|
NR/NR
|
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/20/13
|
22,490
|
||
$ 499,050
|
|||||
Metal & Glass Containers - 0.3%
|
|||||
469,690
|
B/B1
|
Tank Holding Corp., Initial Term Loan, 4.25%, 7/9/19
|
$ 469,984
|
||
Paper Products - 0.0%
|
|||||
100,000
|
B/B2
|
Exopack LLC/Cello-Foil Products, Inc., USD Term Loan, 5.25%, 5/8/19
|
$ 101,969
|
||
Specialty Chemicals - 0.3%
|
|||||
123,694
|
BB+/Ba1
|
Chemtura Corp., New Term Loan, 3.5%, 8/29/16
|
$ 124,622
|
||
344,239
|
BB+/Ba2
|
Huntsman International LLC, Extended Term B Loan, 2.712%, 4/19/17
|
346,031
|
||
$ 470,653
|
|||||
Total Materials
|
$ 2,037,395
|
||||
MEDIA - 1.6%
|
|||||
Advertising - 0.6%
|
|||||
962,550
|
B-/B1
|
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 10/9/16
|
$ 957,081
|
||
Broadcasting - 0.7%
|
|||||
315,000
|
CCC+/Caa2
|
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21
|
$ 322,875
|
||
404,700
|
B+/Ba3
|
TWCC Holding Corp., Term Loan, 3.5%, 2/13/17
|
405,523
|
||
468,180
|
B+/B2
|
Univision Communications, Inc., Converted Extended First-Lien Term Loan, 4.0%, 3/1/20
|
471,313
|
||
$ 1,199,711
|
|||||
Cable & Telecommunications - 0.2%
|
|||||
422,842
|
B/B1
|
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/1/19
|
$ 426,775
|
||
Movies & Entertainment - 0.1%
|
|||||
100,450
|
NR/Baa3
|
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18
|
$ 100,827
|
||
Total Media
|
$ 2,684,394
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.8%
|
|||||
Life Sciences Tools & Services - 0.8%
|
|||||
1,293,360
|
BB-/B3
|
Catalent Pharma, Inc., Dollar Term Loan, 3.66%, 9/15/16
|
$ 1,302,386
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 1,302,386
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
RETAILING - 0.5%
|
|||||
Computer & Electronics Retail - 0.5%
|
|||||
839,012
|
B/B2
|
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16
|
$ 755,111
|
||
Total Retailing
|
$ 755,111
|
||||
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
|
$ 567,516
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 567,516
|
||||
SOFTWARE & SERVICES - 2.2%
|
|||||
Application Software - 1.5%
|
|||||
617,369
|
B-/Ba3
|
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18
|
$ 614,153
|
||
427,388
|
NR/B2
|
Houghton Mifflin Co., Term Loan, 0.0%, 5/22/18
|
429,792
|
||
940,531
|
BB+/NR
|
Nuance Communications, Inc., Term Loan C, 2.91%, 8/7/19
|
939,747
|
||
500,000
|
CCC+/Caa1
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
|
510,000
|
||
$ 2,493,692
|
|||||
Internet Software & Services - 0.2%
|
|||||
243,125
|
BB+/Ba3
|
Autotrader.com, Inc., Tranche B-1 Term Loan, 4.0%, 12/15/16
|
$ 244,645
|
||
IT Consulting & Other Services - 0.5%
|
|||||
823,970
|
BB/Ba3
|
SunGuard Data Systems, Inc., Tranche C Term Loan, 3.918%, 2/28/17
|
$ 829,037
|
||
Total Software & Services
|
$ 3,567,374
|
||||
TECHNOLOGY HARDWARE & EQUIPMENT - 0.4%
|
|||||
Communications Equipment - 0.1%
|
|||||
86,182
|
BB+/Ba2
|
CommScope, Inc., Tranche 2 Term Loan, 2.739%, 1/21/17
|
$ 86,613
|
||
129,273
|
BB+/Ba2
|
CommScope, Inc., Tranche 4 Term Loan, 3.25%, 1/14/18
|
130,323
|
||
$ 216,936
|
|||||
Electronic Components - 0.3%
|
|||||
477,897
|
B/B2
|
Scitor Corp., Term Loan, 5.0%, 2/15/17
|
$ 473,217
|
||
Total Technology Hardware & Equipment
|
$ 690,153
|
||||
TELECOMMUNICATION SERVICES - 0.5%
|
|||||
Integrated Telecommunication Services - 0.5%
|
|||||
782,433
|
BB/Ba3
|
West Corp., Term B-8 Loan, 3.25%, 6/30/18
|
$ 785,204
|
||
Total Telecommunication Services
|
$ 785,204
|
||||
TRANSPORTATION - 0.9%
|
|||||
Air Freight & Logistics - 0.9%
|
|||||
439,482
|
B/B1
|
Ceva Group Plc, Dollar Tranche B Pre-Funded L/C, 0.147%, 8/31/16
|
$ 438,658
|
||
919,588
|
CCC+/B2
|
Ceva Group Plc, U.S. Tranche B Term Loan, 5.247%, 8/31/16
|
917,864
|
||
194,025
|
B-/B2
|
Ozburn-Hessey Holding Co., LLC, Term Loan, 6.75%, 5/23/19
|
196,208
|
||
Total Transportation
|
$ 1,552,730
|
||||
UTILITIES - 0.3%
|
|||||
Electric Utilities - 0.3%
|
|||||
629,720
|
CCC-/Caa3
|
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.739%, 10/10/17
|
$ 439,342
|
||
Total Utilities
|
$ 439,342
|
||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||
(Cost $39,667,086)
|
$ 39,506,565
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
CORPORATE BONDS & NOTES - 96.4% 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)
|
$ 364,875
|
||
275,000
|
B/B3
|
Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A)
|
297,000
|
||
290,000
|
B+/B2
|
Stackpole International Intermediate Co. SA / Stackpole International Powder, 7.75%, 10/15/21 (144A)
|
302,325
|
||
Total Automobiles & Components
|
$ 964,200
|
||||
BANKS - 1.5%
|
|||||
Diversified Banks - 1.1%
|
|||||
525,000
|
CCC+/B3
|
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A)
|
$ 466,975
|
||
500,000(b)
|
NR/Caa3
|
Banco Macro SA, 9.75%, 12/18/36
|
400,000
|
||
200,000
|
NR/Ba1
|
Turkiye IS Bankasi AS, 6.0%, 10/24/22 (144A)
|
173,500
|
||
750,000
|
BBB-/NR
|
UBS AG/Stamford CT, 7.625%, 8/17/22
|
862,009
|
||
$ 1,902,484
|
|||||
Regional Banks - 0.4%
|
|||||
600,000(b)(d)
|
BBB/Baa3
|
PNC Financial Services Group, Inc., 4.459%, 5/29/49
|
$ 600,750
|
||
Total Banks
|
$ 2,503,234
|
||||
CAPITAL GOODS - 6.9%
|
|||||
Aerospace & Defense - 0.9%
|
|||||
600,000
|
B-/Caa1
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$ 570,000
|
||
870,000
|
B-/B2
|
DynCorp International, Inc., 10.375%, 7/1/17
|
895,013
|
||
$ 1,465,013
|
|||||
Building Products - 0.4%
|
|||||
300,000
|
BB-/B2
|
USG Corp., 7.875%, 3/30/20 (144A)
|
$ 339,000
|
||
365,000
|
BB-/B2
|
USG Corp., 9.75%, 8/1/14 (144A)
|
380,969
|
||
$ 719,969
|
|||||
Construction & Engineering - 1.1%
|
|||||
900,000
|
B/B2
|
Empresas ICA S.A.B. de C.V., 8.9%, 2/4/21 (144A)
|
$ 909,000
|
||
1,000,000
|
BB-/B1
|
OAS Investments GMBH, 8.25%, 10/19/19 (144A)
|
963,750
|
||
$ 1,872,750
|
|||||
Construction & Farm Machinery & Heavy Trucks - 1.0%
|
|||||
360,000
|
B-/B3
|
Meritor, Inc., 6.75%, 6/15/21
|
$ 376,200
|
||
660,000
|
CCC-/B3
|
Navistar International Corp., 8.25%, 11/1/21
|
679,800
|
||
160,000
|
CCC-/Caa2
|
Stanadyne Holdings, Inc., 10.0%, 8/15/14
|
157,200
|
||
500,000(e)
|
CC/Ca
|
Stanadyne Holdings, Inc., 12.0%, 2/15/15
|
350,625
|
||
$ 1,563,825
|
|||||
Electrical Components & Equipment - 0.5%
|
|||||
750,000
|
B-/B3
|
WireCo WorldGroup, Inc., 9.5%, 5/15/17
|
$ 776,250
|
||
Industrial Conglomerates - 0.3%
|
|||||
455,000
|
B+/B2
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
$ 489,125
|
||
Industrial Machinery - 1.4%
|
|||||
450,000
|
B/B2
|
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
|
$ 495,000
|
||
500,000(c)(f)
|
NR/WR
|
Indalex Holding Corp., 11.5%, 2/1/14
|
3,750
|
||
335,000
|
B-/Caa2
|
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
|
328,300
|
||
875,000
|
B/Caa1
|
Mueller Water Products, Inc., 7.375%, 6/1/17
|
899,062
|
||
665,000
|
CCC+/NR
|
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A)
|
414,794
|
||
150,000
|
B/B3
|
Xerium Technologies, Inc., 8.875%, 6/15/18
|
159,000
|
||
$ 2,299,906
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Trading Companies & Distributors - 1.3%
|
|||||
956,000
|
NR/Caa1
|
INTCOMEX, Inc., 13.25%, 12/15/14
|
$ 958,103
|
||
1,090,000
|
B-/B3
|
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19
|
1,242,600
|
||
$ 2,200,703
|
|||||
Total Capital Goods
|
$ 11,387,541
|
||||
COMMERCIAL & PROFESSIONAL SERVICES - 0.6%
|
|||||
Diversified Support Services - 0.6%
|
|||||
750,000
|
B+/B3
|
NANA Development Corp., 9.5%, 3/15/19 (144A)
|
$ 778,125
|
||
260,000
|
B-/B3
|
TMS International Corp., 7.625%, 10/15/21 (144A)
|
276,250
|
||
$ 1,054,375
|
|||||
Environmental & Facilities Services - 0.0%†
|
|||||
700,000(c)(f)
|
NR/WR
|
Old AII, Inc., 10.0%, 12/15/16
|
$ 70
|
||
Total Commercial & Professional Services
|
$ 1,054,445
|
||||
CONSUMER DURABLES & APPAREL - 1.8%
|
|||||
Home Furnishings - 0.4%
|
|||||
535,000
|
B+/B3
|
Tempur Sealy International, Inc., 6.875%, 12/15/20
|
$ 585,156
|
||
Homebuilding - 0.4%
|
|||||
530,000
|
CCC/Caa2
|
Beazer Homes USA, Inc., 9.125%, 6/15/18
|
$ 564,450
|
||
605,000(c)(f)
|
NR/C
|
Desarrolladora Homex SAB de CV, 9.5%, 12/11/19 (144A)
|
72,600
|
||
500,000(c)(f)
|
NR/Ca
|
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A)
|
65,000
|
||
$ 702,050
|
|||||
Leisure Products - 1.0%
|
|||||
EUR
|
275,000
|
CCC+/Caa2
|
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
|
$ 380,193
|
|
1,000,000
|
CCC+/Caa1
|
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)
|
895,000
|
||
375,000(g)
|
CCC+/Caa2
|
PC Nextco Holdings LLC / PC Nextco Finance, Inc., 8.75%, 8/15/19 (144A)
|
386,250
|
||
$ 1,661,443
|
|||||
Total Consumer Durables & Apparel
|
$ 2,948,649
|
||||
CONSUMER SERVICES - 4.7%
|
|||||
Business Services - 0.8%
|
|||||
750,000
|
B/B2
|
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A)
|
$ 795,000
|
||
500,000
|
B-/Caa2
|
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18
|
472,500
|
||
$ 1,267,500
|
|||||
Casinos & Gaming - 1.2%
|
|||||
EUR
|
1,155,000(c)
|
D/Ca
|
Codere Finance Luxembourg SA, 8.25%, 6/15/15 (144A)
|
$ 701,039
|
|
90,000
|
NR/NR
|
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A)
|
81,900
|
||
712,691
|
NR/NR
|
Mashantucket Western Pequot Tribe, 6.5%, 7/1/36
|
114,030
|
||
EUR
|
500,000
|
CCC/Caa1
|
Peermont Global, Ltd., 7.75%, 4/30/14 (144A)
|
675,412
|
|
450,000
|
B/B2
|
Scientific Games International, Inc., 9.25%, 6/15/19
|
478,125
|
||
$ 2,050,506
|
|||||
Hotels, Resorts & Cruise Lines - 0.9%
|
|||||
720,000(g)
|
B-/B3
|
MISA Investments, Ltd., 8.625%, 8/15/18 (144A)
|
$ 744,300
|
||
400,000
|
B-/B2
|
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19
|
442,000
|
||
325,000
|
B+/B3
|
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)
|
368,063
|
||
$ 1,554,363
|
|||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Leisure Facilities - 0.7%
|
|||||
EUR
|
800,000
|
B+/B3
|
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A)
|
$ 1,089,830
|
|
Restaurants - 0.9%
|
|||||
1,235,000(e)
|
B-/Caa1
|
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A)
|
$ 1,111,500
|
||
400,000
|
B/B3
|
Burger King Corp., 9.875%, 10/15/18
|
440,000
|
||
$ 1,551,500
|
|||||
Specialized Consumer Services - 0.2%
|
|||||
315,000
|
B-/B3
|
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21 (144A)
|
$ 327,600
|
||
Total Consumer Services
|
$ 7,841,299
|
||||
DIVERSIFIED FINANCIALS - 2.1%
|
|||||
Asset Management & Custody Banks - 0.4%
|
|||||
590,000
|
BBB-/Baa3
|
Janus Capital Group, Inc., 6.7%, 6/15/17
|
$ 660,343
|
||
Consumer Finance - 0.9%
|
|||||
445,000
|
B+/B1
|
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
|
$ 466,137
|
||
610,000
|
NR/NR
|
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)
|
612,867
|
||
440,000
|
B+/B3
|
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
|
470,800
|
||
$ 1,549,804
|
|||||
Investment Banking & Brokerage - 0.2%
|
|||||
450,000(a)(d)
|
BB+/Ba2
|
Goldman Sachs Capital II, 4.0%, 12/1/49
|
$ 336,937
|
||
Multi-Sector Holdings - 0.3%
|
|||||
600,000
|
B/B3
|
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A)
|
$ 528,000
|
||
Specialized Finance - 0.3%
|
|||||
425,000
|
B/B2
|
National Money Mart Co., 10.375%, 12/15/16
|
$ 419,688
|
||
Total Diversified Financials
|
$ 3,494,772
|
||||
ENERGY - 15.1%
|
|||||
Coal & Consumable Fuels - 1.2%
|
|||||
650,000
|
CC/Ca
|
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
|
$ 433,062
|
||
400,000
|
CCC/Caa2
|
James River Coal Co., 7.875%, 4/1/19
|
108,000
|
||
400,000
|
B-/Caa2
|
Mongolian Mining Corp., 8.875%, 3/29/17 (144A)
|
284,500
|
||
300,000
|
B-/Caa1
|
Murray Energy Corp., 8.625%, 6/15/21 (144A)
|
314,250
|
||
715,000
|
B-/Caa1
|
Penn Virginia Corp., 8.5%, 5/1/20
|
779,350
|
||
$ 1,919,162
|
|||||
Integrated Oil & Gas - 0.2%
|
|||||
325,000
|
NR/B3
|
YPF SA, 8.875%, 12/19/18 (144A)
|
$ 305,500
|
||
Oil & Gas Drilling - 1.6%
|
|||||
645,000
|
B/B3
|
Hercules Offshore, Inc., 8.75%, 7/15/21 (144A)
|
$ 719,175
|
||
1,000,000
|
CCC+/Caa3
|
Ocean Rig UDW, Inc., 9.5%, 4/27/16 (144A)
|
1,057,250
|
||
500,000
|
B+/B2
|
Pioneer Energy Services Corp., 9.875%, 3/15/18
|
529,375
|
||
320,000
|
B+/B1
|
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)
|
344,800
|
||
$ 2,650,600
|
|||||
Oil & Gas Equipment & Services - 0.9%
|
|||||
448,000
|
B/B1
|
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A)
|
$ 468,160
|
||
690,000
|
B/Caa1
|
Forbes Energy Services, Ltd., 9.0%, 6/15/19
|
674,475
|
||
330,000
|
B/B3
|
Seitel, Inc., 9.5%, 4/15/19
|
334,950
|
||
$ 1,477,585
|
|||||
Oil & Gas Exploration & Production - 11.0%
|
|||||
520,000
|
CCC+/Caa1
|
Athlon Holdings LP / Athlon Finance Corp., 7.375%, 4/15/21 (144A)
|
$ 544,700
|
||
505,000
|
BB-/B1
|
Berry Petroleum Co., 10.25%, 6/1/14
|
516,362
|
||
100,000
|
B-/B3
|
Comstock Resources, Inc., 7.75%, 4/1/19
|
106,500
|
||
500,000
|
B-/B3
|
Comstock Resources, Inc., 9.5%, 6/15/20
|
565,000
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Oil & Gas Exploration & Production (continued)
|
|||||
515,000
|
B+/B3
|
Energy XXI Gulf Coast, Inc., 7.5%, 12/15/21 (144A)
|
$ 534,312
|
||
600,000
|
B/B2
|
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20
|
690,000
|
||
304,967(g)
|
B/B3
|
EPE Holdings LLC / EP Energy Bond Co., Inc., 8.875%, 12/15/17 (144A)
|
315,580
|
||
920,000
|
B-/B3
|
Forest Oil Corp., 7.5%, 9/15/20
|
906,200
|
||
360,000
|
B/NR
|
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A)
|
370,800
|
||
570,000
|
CCC+/B3
|
Gulfport Energy Corp., 7.75%, 11/1/20
|
612,750
|
||
165,000
|
CCC+/Caa1
|
Halcon Resources Corp., 9.25%, 2/15/22 (144A)
|
166,237
|
||
890,000
|
CCC+/Caa1
|
Halcon Resources Corp., 9.75%, 7/15/20
|
923,375
|
||
680,000
|
B-/Caa1
|
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A)
|
690,200
|
||
220,000
|
B-/Caa1
|
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21 (144A)
|
227,700
|
||
410,000
|
B-/Caa1
|
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21
|
424,350
|
||
600,000
|
B-/Caa1
|
Midstates Petroleum Co., Inc., 9.25%, 6/1/21
|
624,000
|
||
455,000
|
B-/Caa1
|
Midstates Petroleum Co., Inc., 10.75%, 10/1/20
|
492,538
|
||
800,000
|
B+/NR
|
MIE Holdings Corp., 9.75%, 5/12/16 (144A)
|
838,000
|
||
200,000
|
NR/NR
|
National JSC Naftogaz of Ukraine, 9.5%, 9/30/14
|
190,000
|
||
1,440,000
|
B-/Caa1
|
Northern Oil & Gas, Inc., 8.0%, 6/1/20
|
1,519,200
|
||
535,000
|
B-/B3
|
PDC Energy, Inc., 7.75%, 10/15/22
|
576,463
|
||
750,000
|
B/Caa1
|
PetroQuest Energy, Inc., 10.0%, 9/1/17
|
785,625
|
||
480,000
|
B-/Caa1
|
QR Energy LP / QRE Finance Corp., 9.25%, 8/1/20
|
504,000
|
||
240,000
|
CCC-/Caa3
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
230,400
|
||
700,000
|
B-/B3
|
Resolute Energy Corp., 8.5%, 5/1/20
|
731,500
|
||
870,000
|
B-/B3
|
RKI Exploration & Production LLC / RKI Finance Corp., 8.5%, 8/1/21 (144A)
|
922,200
|
||
472,000
|
BB-/B2
|
Rosetta Resources, Inc., 9.5%, 4/15/18
|
500,320
|
||
700,000
|
CCC+/B3
|
Samson Investment Co., 10.5%, 2/15/20 (144A)
|
770,000
|
||
1,170,000
|
CCC+/Caa1
|
Sanchez Energy Corp., 7.75%, 6/15/21 (144A)
|
1,208,025
|
||
335,000
|
CCC+/Caa1
|
Talos Production LLC / Talos Production Finance, Inc., 9.75%, 2/15/18 (144A)
|
344,213
|
||
CAD
|
315,000
|
B/NR
|
Trilogy Energy Corp., 7.25%, 12/13/19 (144A)
|
295,848
|
|
$ 18,126,398
|
|||||
Oil & Gas Storage & Transportation - 0.2%
|
|||||
450,000(a)
|
NR/Ba1e
|
Energy Transfer Partners LP, 3.255%, 11/1/66
|
$ 409,500
|
||
Total Energy
|
$ 24,888,745
|
||||
FOOD, BEVERAGE & TOBACCO - 7.4%
|
|||||
Agricultural Products - 1.1%
|
|||||
900,000
|
CCC+/Caa1
|
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)
|
$ 969,750
|
||
520,000
|
B/B2
|
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)
|
512,200
|
||
500,000
|
B/NR
|
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A)
|
381,875
|
||
$ 1,863,825
|
|||||
Packaged Foods & Meats - 5.3%
|
|||||
225,000
|
B/B2
|
Agrokor DD, 8.875%, 2/1/20 (144A)
|
$ 241,897
|
||
EUR
|
200,000
|
B/B2
|
Agrokor DD, 9.875%, 5/1/19 (144A)
|
302,806
|
|
650,000
|
BB/Ba3
|
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)
|
715,000
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Packaged Foods & Meats (continued)
|
|||||
500,000
|
B+/B1
|
CFG Investment SAC, 9.75%, 7/30/19 (144A)
|
$ 489,500
|
||
297,000
|
B/B1
|
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21 (144A)
|
320,389
|
||
491,000
|
B+/B2
|
Corporacion Pesquera Inca SAC, 9.0%, 2/10/17 (144A)
|
482,407
|
||
1,100,000
|
B/B3
|
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
|
1,160,500
|
||
224,421(c)(f)
|
NR/NR
|
Independencia International, Ltd., 12.0%, 12/30/16 (144A)
|
561
|
||
800,000
|
B/B2
|
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
|
736,000
|
||
700,000
|
B/B2
|
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)
|
683,375
|
||
475,000
|
B/B2
|
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A)
|
451,250
|
||
700,000
|
B-/NR
|
MHP SA, 8.25%, 4/2/20 (144A)
|
577,640
|
||
1,600,000
|
BB-/B1
|
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
|
1,556,000
|
||
200,000
|
BB-/B1
|
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
|
222,000
|
||
600,000
|
B+/B2
|
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)
|
545,250
|
||
300,000
|
BB-/B3
|
Pilgrim's Pride Corp., 7.875%, 12/15/18
|
325,125
|
||
$ 8,809,700
|
|||||
Tobacco - 1.0%
|
|||||
1,645,000
|
B-/Caa1
|
Alliance One International, Inc., 9.875%, 7/15/21
|
$ 1,583,313
|
||
Total Food, Beverage & Tobacco
|
$ 12,256,838
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 2.5%
|
|||||
Health Care Equipment & Services - 1.2%
|
|||||
915,000
|
CCC+/Caa2
|
Accellent, Inc., 10.0%, 11/1/17
|
$ 976,762
|
||
831,000
|
B+/B2
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
931,759
|
||
$ 1,908,521
|
|||||
Health Care Facilities - 0.5%
|
|||||
600,000
|
B-/B3
|
Kindred Healthcare, Inc., 8.25%, 6/1/19
|
$ 643,500
|
||
200,000
|
CCC+/Caa1
|
United Surgical Partners International, 9.0%, 4/1/20
|
223,500
|
||
$ 867,000
|
|||||
Health Care Services - 0.3%
|
|||||
476,000
|
CCC+/Caa2
|
Gentiva Health Services, Inc., 11.5%, 9/1/18
|
$ 500,990
|
||
Health Care Supplies - 0.3%
|
|||||
500,000
|
B-/Caa2
|
Immucor, Inc., 11.125%, 8/15/19
|
$ 561,875
|
||
Health Care Technology - 0.2%
|
|||||
275,000
|
CCC+/Caa1
|
Emdeon, Inc., 11.0%, 12/31/19
|
$ 316,594
|
||
Total Health Care Equipment & Services
|
$ 4,154,980
|
||||
HOUSEHOLD & PERSONAL PRODUCTS - 0.2%
|
|||||
Personal Products - 0.2%
|
|||||
345,000
|
CCC+/Caa1
|
Monitronics International, Inc., 9.125%, 4/1/20
|
$ 367,425
|
||
Total Household & Personal Products
|
$ 367,425
|
||||
INFORMATION TECHNOLOGY - 0.2%
|
|||||
Internet Software & Services - 0.2%
|
|||||
420,000(g)
|
NR/NR
|
First Data Holdings, Inc., 14.5%, 9/24/19 (144A)
|
$ 388,500
|
||
Total Information Technology
|
$ 388,500
|
||||
INSURANCE - 24.1%
|
|||||
Insurance Brokers - 0.5%
|
|||||
GBP
|
475,000
|
NR/Caa2
|
Towergate Finance Plc, 10.5%, 2/15/19 (144A)
|
$ 807,299
|
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Multi-Line Insurance - 0.6%
|
|||||
1,000,000(b)
|
BB/Baa3
|
Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A)
|
$ 1,040,000
|
||
Property & Casualty Insurance - 2.2%
|
|||||
6,000,000(e)(f)(i)
|
BBB/NR
|
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A)
|
$ 3,499,682
|
||
80,000(b)(d)
|
BB+/Ba2
|
White Mountains Insurance Group, Ltd., 7.506%, 5/29/49
|
83,060
|
||
$ 3,582,742
|
|||||
Reinsurance - 20.8%
|
|||||
EUR
|
750,000(a)
|
BB/NR
|
ATLAS Reinsurance VII, 3.65%, 1/7/16 (144A)
|
$ 1,034,260
|
|
EUR
|
500,000(a)
|
B-/NR
|
ATLAS VI Capital, Ltd., 10.548%, 4/7/14 (144A)
|
675,479
|
|
1,000,000(a)
|
BB+/NR
|
Bosphorus 1 Re, Ltd., 2.51%, 5/3/16 (144A)
|
999,400
|
||
750,000(a)
|
NR/NR
|
Combine Re, Ltd., 17.76%, 1/7/15 (144A)
|
814,575
|
||
500,000(a)
|
BB-/NR
|
Compass Re, Ltd., 10.26%, 1/8/15 (144A)
|
521,900
|
||
500,000(a)
|
B+/NR
|
Compass Re, Ltd., 11.26%, 1/8/15 (144A)
|
521,800
|
||
1,000,000(a)
|
BB+/NR
|
Foundation Re III, Ltd., 5.01%, 2/25/15
|
1,024,100
|
||
750,000(a)
|
BB/NR
|
Foundation Re III, Ltd., 5.76%, 2/3/14 (144A)
|
750,000
|
||
1,300,000(a)
|
B-/NR
|
Ibis Re II, Ltd., 13.51%, 2/5/15 (144A)
|
1,371,240
|
||
2,006,000(f)
|
NR/NR
|
Kane SAC, Ltd., 0.0%, 7/8/16
|
2,018,437
|
||
500,000(a)
|
BB+/NR
|
Kibou, Ltd., 5.26%, 2/16/15 (144A)
|
514,400
|
||
250,000(a)
|
NR/NR
|
Loma Reinsurance, Ltd., 12.01%, 1/8/18 (144A)
|
253,150
|
||
500,000(a)
|
NR/NR
|
Loma Reinsurance, Ltd., 17.01%, 1/8/18 (144A)
|
507,250
|
||
1,750,000(a)
|
BB-/NR
|
MetroCat Re, Ltd., 4.51%, 8/5/16 (144A)
|
1,793,750
|
||
975,000(a)
|
B-/NR
|
Mythen Re, Ltd., 11.779%, 11/10/16 (144A)
|
1,033,207
|
||
500,000(a)
|
B+/NR
|
Mythen Re, Ltd. Series 2012-2 Class A, 8.549%, 1/5/17 (144A)
|
528,850
|
||
1,500,000(a)
|
NR/B2
|
Mythen, Ltd., 11.032%, 5/7/15 (144A)
|
1,616,250
|
||
1,250,000(a)
|
NR/NR
|
Pelican Re, Ltd., 6.01%, 5/15/17 (144A)
|
1,276,250
|
||
1,200,000(a)
|
BB-/NR
|
Queen Street II Capital, Ltd., 7.51%, 4/9/14 (144A)
|
1,209,480
|
||
2,000,000(a)
|
BB-/NR
|
Queen Street IV Capital, Ltd., 7.51%, 4/9/15 (144A)
|
2,057,400
|
||
500,000(a)
|
B/NR
|
Queen Street VII Re, Ltd., 8.61%, 4/8/16 (144A)
|
522,200
|
||
1,250,000(a)
|
B-/NR
|
Residential Reinsurance 2011, Ltd., 12.01%, 6/6/15 (144A)
|
1,330,625
|
||
250,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 12.76%, 12/6/16 (144A)
|
272,700
|
||
1,250,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 19.01%, 12/6/16 (144A)
|
1,401,000
|
||
1,000,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 22.01%, 6/6/16 (144A)
|
1,184,200
|
||
500,000(a)
|
NR/NR
|
Residential Reinsurance 2013 Ltd., 20.01%, 12/6/17 (144A)
|
504,250
|
||
1,005,999(f)(h)
|
NR/NR
|
Sector Re V, Ltd., 0.0%, 12/1/17 (144A)
|
1,011,300
|
||
1,500,000(f)(h)
|
NR/NR
|
Sector Re V, Ltd., 0.0%, 3/1/18 (144A)
|
1,776,900
|
||
1,000,000(f)(h)
|
NR/NR
|
Silverton RE, Ltd., 0.0%, 9/16/16 (144A)
|
1,014,300
|
||
500,000(a)
|
NR/B2
|
Successor X, Ltd., 11.01%, 1/27/15 (144A)
|
520,150
|
||
1,500,000(a)
|
B-/NR
|
Successor X, Ltd., 11.26%, 11/10/15 (144A)
|
1,598,100
|
||
500,000(a)
|
NR/NR
|
Successor X, Ltd., 16.26%, 11/10/15 (144A)
|
523,250
|
||
1,000,000(a)
|
NR/NR
|
Successor X, Ltd., 16.51%, 1/27/15 (144A)
|
1,063,100
|
||
1,000,000(a)
|
B+/NR
|
Tar Heel Re, Ltd., 8.51%, 5/9/16 (144A)
|
1,077,900
|
||
$ 34,321,153
|
|||||
Total Insurance
|
$ 39,751,194
|
||||
MATERIALS - 12.5%
|
|||||
Commodity Chemicals - 0.5%
|
|||||
300,000
|
BBB/WR
|
Basell Finance Co. BV, 8.1%, 3/15/27 (144A)
|
$ 383,732
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Commodity Chemicals - (continued)
|
|||||
EUR
|
250,000
|
CCC/B3
|
KP Germany Erste GmbH, 11.625%, 7/15/17 (144A)
|
$ 384,421
|
|
$ 768,153
|
|||||
Construction Materials - 0.5%
|
|||||
389,000
|
B+/NR
|
Cemex Espana Luxembourg, 9.875%, 4/30/19 (144A)
|
$ 437,625
|
||
100,000
|
B+/NR
|
Cemex SAB de CV, 9.0%, 1/11/18 (144A)
|
108,000
|
||
300,000(d)
|
BB/NR
|
Magnesita Finance, Ltd., 8.625%, 4/29/49 (144A)
|
288,000
|
||
$ 833,625
|
|||||
Diversified Chemicals - 0.9%
|
|||||
EUR
|
926,278
|
B-/Caa1
|
INEOS Group Holdings SA, 7.875%, 2/15/16 (144A)
|
$ 1,250,089
|
|
275,000
|
CC/Caa2
|
Momentive Performance Materials, Inc., 9.0%, 1/15/21
|
249,562
|
||
$ 1,499,651
|
|||||
Diversified Metals & Mining - 1.8%
|
|||||
590,000
|
B/B3
|
Boart Longyear Management Pty, Ltd., 7.0%, 4/1/21 (144A)
|
$ 443,975
|
||
330,000
|
BB-/B1
|
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)
|
344,850
|
||
300,000
|
CCC/Caa2
|
Midwest Vanadium Pty., Ltd., 11.5%, 2/15/18 (144A)
|
246,000
|
||
146,667(f)(g)(i)
|
NR/NR
|
Mirabela Nickel, Ltd., 3.5%, 3/28/14 (144A)
|
143,000
|
||
650,000(c)(f)
|
D/WR
|
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A)
|
143,000
|
||
550,000
|
CCC+/B3
|
Molycorp, Inc., 10.0%, 6/1/20
|
554,125
|
||
180,000
|
B/Caa1
|
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)
|
202,050
|
||
750,000
|
BB/Ba3
|
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)
|
825,000
|
||
$ 2,902,000
|
|||||
Metal & Glass Containers - 0.7%
|
|||||
625,015(g)
|
CCC+/Caa2
|
Ardagh Finance SA, 11.125%, 6/1/18 (144A)
|
$ 667,203
|
||
EUR
|
250,000
|
CCC+/Caa1
|
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A)
|
358,302
|
|
175,000
|
CCC+/Caa1
|
BWAY Holdings Co., 10.0%, 6/15/18
|
189,000
|
||
$ 1,214,505
|
|||||
Paper Packaging - 1.7%
|
|||||
606,510(e)
|
NR/NR
|
Bio Pappel SAB de CV, 10.0%, 8/27/16
|
$ 608,784
|
||
580,000
|
B-/NR
|
Exopack Holding Corp., 10.0%, 6/1/18 (144A)
|
632,200
|
||
500,000
|
B-/Caa1
|
Pretium Packaging LLC / Pretium Finance, Inc., 11.5%, 4/1/16
|
533,750
|
||
500,000
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 9.0%, 4/15/19
|
533,125
|
||
475,000
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 9.875%, 8/15/19
|
524,875
|
||
$ 2,832,734
|
|||||
Paper Products - 1.8%
|
|||||
675,000
|
CCC+/B2
|
Appvion, Inc., 9.0%, 6/1/20 (144A)
|
$ 693,563
|
||
186,000
|
B+/B1
|
Grupo Papelero Scribe SA de CV, 8.875%, 4/7/20 (144A)
|
182,280
|
||
344,000
|
B/B3
|
Mercer International, Inc., 9.5%, 12/1/17
|
374,960
|
||
840,000
|
BB-/Ba3
|
Resolute Forest Products, Inc., 5.875%, 5/15/23 (144A)
|
802,200
|
||
545,000
|
BB/Ba2
|
Sappi Papier Holding GmbH, 8.375%, 6/15/19 (144A)
|
602,225
|
||
255,000
|
B-/Caa1
|
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)
|
267,750
|
||
$ 2,922,978
|
|||||
Precious Metals & Minerals - 0.3%
|
|||||
500,000
|
BB-/Ba3
|
ALROSA Finance SA, 8.875%, 11/17/14 (144A)
|
$ 527,350
|
||
Steel - 4.3%
|
|||||
750,000
|
B-/Caa1
|
AM Castle & Co., 12.75%, 12/15/16
|
$ 840,000
|
||
250,000
|
B+/B3
|
APERAM, 7.375%, 4/1/16 (144A)
|
259,375
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Steel - (continued)
|
|||||
315,000
|
B/Caa1
|
Atkore International, Inc., 9.875%, 1/1/18
|
$ 339,412
|
||
450,000
|
B/B3
|
Essar Steel Algoma, Inc., 9.375%, 3/15/15 (144A)
|
441,000
|
||
950,000
|
CCC/Caa2
|
Essar Steel Algoma, Inc., 9.875%, 6/15/15 (144A)
|
665,000
|
||
250,000
|
B+/B1
|
Evraz Group SA, 9.5%, 4/24/18 (144A)
|
269,063
|
||
900,000
|
B-/Caa1
|
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A)
|
823,932
|
||
900,000
|
NR/Caa1
|
Metinvest BV, 8.75%, 2/14/18 (144A)
|
823,500
|
||
600,000
|
NR/Caa1
|
Metinvest BV, 10.25%, 5/20/15 (144A)
|
596,496
|
||
585,000
|
B/B2
|
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
|
642,038
|
||
677,000
|
B-/B3
|
Permian Holdings, Inc., 10.5%, 1/15/18 (144A)
|
670,230
|
||
750,000
|
CCC+/NR
|
Ryerson, Inc., 9.0%, 10/15/17
|
811,875
|
||
$ 7,181,921
|
|||||
Total Materials
|
$ 20,682,917
|
||||
MEDIA - 4.9%
|
|||||
Broadcasting - 2.3%
|
|||||
400,000
|
B-/Caa2
|
Intelsat Luxembourg SA, 7.75%, 6/1/21 (144A)
|
$ 429,000
|
||
EUR
|
150,000
|
B+/B1
|
Nara Cable Funding II, Ltd., 8.5%, 3/1/20 (144A)
|
239,761
|
|
200,000
|
B+/B1
|
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
|
217,000
|
||
1,655,000
|
B/B3
|
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A)
|
1,812,225
|
||
990,000
|
CCC+/Caa1
|
Truven Health Analytics, Inc., 10.625%, 6/1/20
|
1,121,175
|
||
$ 3,819,161
|
|||||
Cable - 0.2%
|
|||||
EUR
|
200,000
|
B+/B1
|
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
|
$ 292,420
|
|
Movies & Entertainment - 1.7%
|
|||||
1,710,000
|
CCC+/Caa1
|
AMC Entertainment, Inc., 9.75%, 12/1/20
|
$ 1,962,225
|
||
600,000
|
B/B2
|
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)
|
637,500
|
||
200,000
|
CCC+/Caa1
|
Production Resource Group, Inc., 8.875%, 5/1/19
|
155,000
|
||
$ 2,754,725
|
|||||
Publishing - 0.7%
|
|||||
855,000
|
BB/Ba1
|
Gannett Co., Inc., 6.375%, 10/15/23 (144A)
|
$ 876,375
|
||
245,000
|
B/B3
|
Interactive Data Corp., 10.25%, 8/1/18
|
269,500
|
||
$ 1,145,875
|
|||||
Total Media
|
$ 8,012,181
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.8%
|
|||||
Biotechnology - 0.8%
|
|||||
300,000
|
B/B3
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$ 333,750
|
||
1,043,000
|
B-/Caa2
|
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
|
964,775
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 1,298,525
|
||||
REAL ESTATE - 0.4%
|
|||||
Diversified REIT's - 0.1%
|
|||||
200,000
|
B/Ba3
|
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19
|
$ 207,500
|
||
Real Estate Operating Companies - 0.3%
|
|||||
410,000
|
CCC+/NR
|
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A)
|
$ 380,788
|
||
Total Real Estate
|
$ 588,288
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
RETAILING - 0.6%
|
|||||
Department Stores - 0.6%
|
|||||
625,000
|
B/NR
|
Grupo Famsa SAB de CV, 7.25%, 6/1/20 (144A)
|
$ 633,594
|
||
350,000
|
CCC+/Caa2
|
Neiman Marcus Group, Inc., 8.0%, 10/15/21 (144A)
|
366,625
|
||
Total Retailing
|
$ 1,000,219
|
||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.3%
|
|||||
Semiconductors - 0.3%
|
|||||
500,000
|
B/B2
|
Advanced Micro Devices, Inc., 7.5%, 8/15/22
|
$ 482,500
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 482,500
|
||||
SOFTWARE & SERVICES - 1.3%
|
|||||
Application Software - 0.3%
|
|||||
415,000
|
B-/B3
|
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18 (144A)
|
$ 415,000
|
||
Data Processing & Outsourced Services - 0.4%
|
|||||
404,000
|
B-/Caa1
|
First Data Corp., 8.25%, 1/15/21 (144A)
|
$ 428,240
|
||
250,000
|
B-/Caa1
|
First Data Corp., 10.625%, 6/15/21 (144A)
|
272,500
|
||
$ 700,740
|
|||||
Systems Software - 0.6%
|
|||||
1,064,473(f)(g)
|
NR/NR
|
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A)
|
$ 989,960
|
||
Total Software & Services
|
$ 2,105,700
|
||||
TELECOMMUNICATION SERVICES - 2.5%
|
|||||
Integrated Telecommunication Services - 0.7%
|
|||||
388,000
|
CCC+/Caa1
|
Cincinnati Bell, Inc., 8.75%, 3/15/18
|
$ 406,430
|
||
300,000
|
BB-/Ba2
|
Frontier Communications Corp., 8.75%, 4/15/22
|
327,375
|
||
350,000
|
NR/WR
|
PAETEC Holding Corp., 9.875%, 12/1/18
|
386,750
|
||
$ 1,120,555
|
|||||
Wireless Telecommunication Services - 1.8%
|
|||||
250,000
|
B-/B3
|
Altice Finco SA, 8.125%, 1/15/24 (144A)
|
$ 261,250
|
||
300,000
|
NR/Caa1
|
Digicel Group, Ltd., 10.5%, 4/15/18 (144A)
|
318,900
|
||
750,000
|
CCC-/Caa2
|
NII Capital Corp., 10.0%, 8/15/16
|
468,750
|
||
250,000
|
NR/NR
|
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
|
240,547
|
||
1,115,000
|
BB/Ba3
|
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A)
|
1,278,069
|
||
RUB
|
14,400,000
|
BB/Ba3
|
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)
|
401,251
|
|
$ 2,968,767
|
|||||
Total Telecommunication Services
|
$ 4,089,322
|
||||
TRANSPORTATION - 3.4%
|
|||||
Airlines - 0.9%
|
|||||
1,000,000
|
B-/NR
|
Gol Finance, 9.25%, 7/20/20 (144A)
|
$ 917,500
|
||
500,000
|
BB-/NR
|
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)
|
516,875
|
||
$ 1,434,375
|
|||||
Airport Services - 0.6%
|
|||||
584,320
|
CCC+/B3
|
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)
|
$ 552,182
|
||
650,000
|
B+/Ba3
|
Aeropuertos Dominicanos Siglo XXI SA, 9.25%, 11/13/19 (144A)
|
513,500
|
||
$ 1,065,682
|
|||||
Highways & Railtracks - 0.2%
|
|||||
MXN
|
4,500,000
|
BBB/NR
|
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A)
|
$ 295,293
|
|
Marine - 0.6%
|
|||||
500,000
|
BB-/NR
|
Far East Capital, Ltd. SA, 8.0%, 5/2/18 (144A)
|
$ 446,250
|
||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Marine – (continued)
|
|||||
525,000
|
B+/B3
|
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc., 9.25%, 4/15/19
|
$ 562,406
|
||
$ 1,008,656
|
|||||
Railroads - 0.2%
|
|||||
310,254(g)
|
CCC/Caa3
|
Florida East Coast Holdings Corp., 10.5%, 8/1/17
|
$ 318,786
|
||
Trucking - 0.9%
|
|||||
1,000,000
|
B-/B2
|
Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A)
|
$ 1,092,500
|
||
425,000
|
B+/B3
|
Swift Services Holdings, Inc., 10.0%, 11/15/18
|
468,563
|
||
$ 1,561,063
|
|||||
Total Transportation
|
$ 5,683,855
|
||||
UTILITIES - 2.0%
|
|||||
Electric Utilities - 1.3%
|
|||||
750,000
|
CCC/NR
|
Cia de Energia Electrica en Alta Tension Transener SA, 9.75%, 8/15/21 (144A)
|
$ 471,563
|
||
625,000
|
NR/Caa1
|
DTEK Finance Plc, 7.875%, 4/4/18 (144A)
|
554,688
|
||
419,000
|
NR/Caa3
|
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
|
250,876
|
||
460,000(b)
|
BB+/Ba1
|
Enel SpA, 8.75%, 9/24/73 (144A)
|
499,100
|
||
225,000
|
BBB-/Baa3
|
PNM Resources, Inc., 9.25%, 5/15/15
|
248,627
|
||
240,000
|
CCC-/Caa3
|
Texas Competitive Electric Holdings Co., LLC / TCEH Finance, Inc., 11.5%, 10/1/20 (144A)
|
177,000
|
||
$ 2,201,854
|
|||||
Gas Utilities - 0.7%
|
|||||
1,135,000
|
CCC+/B3
|
Transportadora de Gas del Sur SA, 7.875%, 5/14/17 (144A)
|
$ 1,055,550
|
||
Total Utilities
|
$ 3,257,404
|
||||
TOTAL CORPORATE BONDS & NOTES
|
|||||
(Cost $157,690,550)
|
$ 159,202,733
|
||||
CONVERTIBLE BONDS & NOTES - 2.7% 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
|
$ 127,200
|
||
Total Diversified Financials
|
$ 127,200
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 1.0%
|
|||||
Health Care Equipment & Services - 0.7%
|
|||||
1,040,000(e)
|
B+/NR
|
Hologic, Inc., 2.0%, 12/15/37
|
$ 1,183,650
|
||
Health Care Facilities - 0.3%
|
|||||
405,000
|
B/NR
|
LifePoint Hospitals, Inc., 3.5%, 5/15/14
|
$ 431,578
|
||
Health Care Services - 0.0%†
|
|||||
15,000
|
B+/B2
|
Omnicare, Inc., 3.25%, 12/15/35
|
$ 16,069
|
||
Total Health Care Equipment & Services
|
$ 1,631,297
|
||||
MATERIALS - 1.0%
|
|||||
Diversified Chemicals - 1.0%
|
|||||
1,900,000(j)
|
B+/NR
|
Hercules, Inc., 6.5%, 6/30/29
|
$ 1,603,125
|
||
Diversified Metals & Mining - 0.0%†
|
|||||
100,000
|
BB/NR
|
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16
|
$ 100,450
|
||
Total Materials
|
$ 1,703,575
|
||||
MEDIA - 0.4%
|
|||||
Movies & Entertainment - 0.4%
|
|||||
659,000
|
B/NR
|
Live Nation Entertainment, Inc., 2.875%, 7/15/27
|
$ 670,533
|
||
Total Media
|
$ 670,533
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.1%
|
|||||
Biotechnology - 0.1%
|
|||||
250,000
|
NR/NR
|
Corsicanto, Ltd., 3.5%, 1/15/32
|
$ 169,062
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 169,062
|
||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1%
|
|||||
Semiconductors - 0.1%
|
|||||
250,000
|
NR/NR
|
ReneSola, Ltd., 4.125%, 3/15/18 (144A)
|
$ 196,406
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 196,406
|
||||
TOTAL CONVERTIBLE BONDS & NOTES
|
|||||
(Cost $3,659,122)
|
$ 4,498,073
|
||||
SOVEREIGN DEBT OBLIGATIONS - 2.1% of Net Assets
|
|||||
Argentina - 0.2%
|
|||||
388,240
|
CCC+/NR
|
Province of Salta Argentina, 9.5%, 3/16/22 (144A)
|
$ 364,946
|
||
Brazil - 0.2%
|
|||||
BRL
|
750,000
|
BBB/Baa2
|
Brazilian Government International Bond, 10.25%, 1/10/28
|
$ 295,300
|
|
Ghana - 0.6%
|
|||||
GHS
|
600,000
|
NR/NR
|
Ghana Government Bond, 19.24%, 5/30/16
|
$ 249,759
|
|
GHS
|
300,000
|
NR/NR
|
Ghana Government Bond, 21.0%, 10/26/15
|
128,493
|
|
GHS
|
150,000
|
NR/NR
|
Ghana Government Bond, 26.0%, 6/5/17
|
72,370
|
|
500,000
|
B/B1
|
Republic of Ghana, 7.875%, 8/7/23 (144A)
|
465,000
|
||
$ 915,622
|
|||||
Mexico - 0.4%
|
|||||
MXN
|
500,000
|
A/Baa1
|
Mexican Bonos, 7.5%, 6/3/27
|
$ 39,030
|
|
MXN
|
8,870,000
|
A/Baa1
|
Mexican Bonos, 7.75%, 11/13/42
|
664,457
|
|
MXN
|
306,154
|
A/Baa1
|
Mexican Udibonos, 3.5%, 12/14/17
|
24,688
|
|
728,175
|
|||||
Nigeria - 0.7%
|
|||||
NGN
|
79,000,000
|
NR/NR
|
Nigeria Government Bond, 16.0%, 6/29/19
|
$ 526,472
|
|
NGN
|
7,970,000
|
NR/NR
|
Nigeria Treasury Bill, 11.814%, 4/24/14
|
47,749
|
|
NGN
|
57,000,000(h)
|
NR/NR
|
Nigeria Treasury Bill, 11.852%, 2/6/14
|
350,317
|
|
NGN
|
28,000,000(h)
|
NR/NR
|
Nigeria Treasury Bill, 12.017%, 4/10/14
|
168,534
|
|
1,093,072
|
|||||
Ukraine - 0.0%†
|
|||||
100,000
|
CCC+/Caa1
|
Ukraine Government International Bond, 6.75%, 11/14/17 (144A)
|
$ 86,375
|
||
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
|||||
(Cost $3,876,235)
|
$ 3,483,490
|
||||
Shares
|
Value
|
||||
COMMON STOCKS - 0.7% of Net Assets
|
|||||
DIVERSIFIED FINANCIALS - 0.0%†
|
|||||
Other Diversified Financial Services - 0.0%†
|
|||||
731(k)
|
BTA Bank JSC (G.D.R.) (144A)
|
$ 470
|
|||
Total Diversified Financials
|
$ 470
|
||||
SOFTWARE & SERVICES - 0.0%†
|
|||||
Systems Software - 0.0%†
|
|||||
2,114(f)(k)
|
Perseus Holding Corp.
|
$ 5,285
|
|||
Total Software & Services
|
$ 5,285
|
||||
TRANSPORTATION - 0.7%
|
|||||
Air Freight & Logistics - 0.6%
|
|||||
943(k)
|
CEVA Holdings LLC
|
$ 943,310
|
|||
Shares
|
Value
|
||||
Marine - 0.1%
|
|||||
247,509(f)(k)
|
Horizon Lines, Inc., Class A
|
$ 173,256
|
|||
Total Transportation
|
$ 1,116,566
|
||||
TOTAL COMMON STOCKS
|
|||||
(Cost $1,555,677)
|
$ 1,122,321
|
||||
CONVERTIBLE PREFERRED STOCKS - 0.4% of Net Assets
|
|||||
DIVERSIFIED FINANCIALS - 0.3%
|
|||||
Other Diversified Financial Services - 0.3%
|
|||||
470(d)
|
Bank of America Corp., 7.25
|
$ 525,747
|
|||
Total Diversified Financials
|
$ 525,747
|
||||
ENERGY - 0.1%
|
|||||
Oil & Gas Exploration & Production - 0.1%
|
|||||
200(d)(k)
|
Halcon Resources Corp., 5.75
|
$ 141,675
|
|||
Total Energy
|
$ 141,675
|
||||
TOTAL CONVERTIBLE PREFERRED STOCKS
|
|||||
(Cost $524,900)
|
$ 667,422
|
||||
PREFERRED STOCKS - 4.6% of Net Assets
|
|||||
Banks - 0.4%
|
|||||
Diversified Banks - 0.4%
|
|||||
500(b)(d)
|
AgStar Financial Services ACA, 6.75 (144A)
|
$ 496,375
|
|||
Total Banks
|
$ 496,375
|
||||
DIVERSIFIED FINANCIALS - 0.7%
|
|||||
Other Diversified Financial Services - 0.7%
|
|||||
40,675(b)
|
GMAC Capital Trust I, 8.125
|
$ 1,113,681
|
|||
Total Diversified Financials
|
$ 1,113,681
|
||||
INSURANCE - 3.5%
|
|||||
Reinsurance - 3.5%
|
|||||
899,973(f)(k)
|
Altair Re
|
$ 990,871
|
|||
1,500,000(k)
|
Altair Re II, Ltd.
|
1,508,850
|
|||
15,000(k)
|
Lorenz Re, Ltd.
|
1,689,300
|
|||
1,500,000(k)
|
Pangaea Re
|
1,626,570
|
|||
Total Insurance
|
$ 5,815,591
|
||||
SOFTWARE & SERVICES - 0.0%†
|
|||||
Data Processing & Outsourced Services - 0.0%†
|
|||||
1,110(f)(k)
|
Perseus Holding Corp., 14.0% (144A)
|
$ 91,020
|
|||
TOTAL PREFERRED STOCKS
|
|||||
(Cost $5,333,969)
|
$ 7,516,667
|
||||
RIGHT/WARRANT - 0.0%† of Net Assets
|
|||||
AUTOMOBILES & COMPONENTS - 0.0%†
|
|||||
Auto Parts & Equipment - 0.0%†
|
|||||
86(k)
|
Lear Corp., Expires 11/9/14
|
$ 12,529
|
|||
Total Automobiles & Components
|
$ 12,529
|
||||
TOTAL RIGHT/WARRANT
|
|||||
(Cost $4,645)
|
$ 12,529
|
||||
PURCHASED OPTIONS - 0.0%†
|
|||||
672,138
|
U.S. Dollar versus Turkish lira
|
$ 5,535
|
|||
TOTAL PURCHASED OPTIONS
|
|||||
(Cost $11,073)
|
$ 5,535
|
||||
TOTAL INVESTMENTS IN SECURITIES - 135.8%
|
|||||
(Cost - $221,986,140)
|
$ 224,229,228
|
||||
WRITTEN PUT OPTIONS - 0.0%†
|
|||||
(672,138)
|
U.S. Dollar versus Turkish lira
|
$ (18,722)
|
|||
TOTAL WRITTEN PUT OPTIONS
|
|||||
(Premiums received $(11,073))
|
$ (18,722)
|
||||
OTHER ASSETS AND LIABILITIES - (35.8)%
|
$ (59,040,428)
|
||||
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
|
$ 165,170,078
|
||||
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 January 31, 2014, the value of these securities amounted to $116,228,303, or 70.4% 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 January 31, 2014.
|
(a)
|
Floating rate note. The rate shown is the coupon rate at January 31, 2014.
|
(b)
|
The interest rate is subject to change periodically. The interest is shown is the rate at January 31, 2014.
|
(c)
|
Security is in default and is non income producing.
|
(d)
|
Security is perpetual in nature and has no stated maturity date.
|
(e)
|
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at January 31, 2014.
|
(f)
|
Indicates a security that has been deemed as illiquid. As of January 31, 2014 the aggregate cost of illiquid securities in the Trust's portfolio was $19,301,093. As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $16,823,712 represented 10.2% of total net assets applicable to common shareowners.
|
(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 valued using fair value methods (other than prices supplied by independent pricing services).
|
(j)
|
Security is priced as a unit.
|
(k)
|
Non-income producing.
|
(l)
|
At January 31, 2014, the net unrealized appreciation on investments based on cost for federal tax purposes of $224,090,563 was as follows:
|
|
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost
|
$ 11,954,325
|
|
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value
|
(11,815,660)
|
|
Net unrealized appreciation
|
$ 138,665
|
|
For financial reporting purposes net unrealized appreciation on investments was $2,243,088 and cost of investments aggregated $221,986,140.
|
||
Borrower
|
Par
|
Cost
|
Value
|
Unrealized
Gain and /(Loss)
|
JLL/Delta Patheon Holdings
|
$1,250,000
|
$1,250,000
|
$1,250,000
|
$-
|
(m)
|
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
|
||
United States
|
62.2
|
%
|
|
Cayman Islands
|
8.2
|
||
Bermuda
|
4.4
|
||
Luxembourg
|
4.3
|
||
Ireland
|
3.3
|
||
Argentina
|
2.2
|
||
United Kingdom
|
1.9
|
||
Netherlands
|
1.8
|
||
Canada
|
1.6
|
||
Mexico
|
1.6
|
||
Brazil
|
1.2
|
||
Other (individually less than 1%)
|
7.3
|
||
100.0
|
%
|
||
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
BRL
|
-
|
Brazilian Real
|
CAD
|
-
|
Canadian Dollar
|
EUR
|
-
|
Euro
|
GBP
|
-
|
Great British Pound
|
GHS
|
-
|
Ghanaian Cedis
|
MXN
|
-
|
Mexican Peso
|
NGN
|
-
|
Nigeria Naira
|
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 January 31, 2014, in valuing the Trust's investments.
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Asset Backed Securities
|
$ | – | $ | 3,496,511 | $ | – | $ | 3,496,511 | ||||||||
Collateralized Mortgage Obligations
|
– | 3,986,310 | – | 3,986,310 | ||||||||||||
Commercial Mortgage-Backed Securities
|
– | 731,072 | – | 731,072 | ||||||||||||
Senior Secured Floating Rate Loan Interests
|
– | 39,506,565 | – | 39,506,565 | ||||||||||||
Corporate Bonds & Notes
|
||||||||||||||||
Diversified Metals & Mining
|
– | 2,759,000 | 143,000 | 2,902,000 | ||||||||||||
Reinsurance
|
– | 29,514,516 | 4,806,637 | 34,321,153 | ||||||||||||
Property & Casualty Insurance
|
– | 83,060 | 3,499,682 | 3,582,742 | ||||||||||||
All Other
|
– | 118,396,838 | – | 118,396,838 | ||||||||||||
Convertible Bonds & Notes
|
– | 4,498,073 | – | 4,498,073 | ||||||||||||
Sovereign Debt Obligations
|
– | 3,483,490 | – | 3,483,490 | ||||||||||||
Common Stocks
|
||||||||||||||||
Air Freight & Logistics
|
– | 943,310 | – | 943,310 | ||||||||||||
Systems Software
|
– | 5,285 | – | 5,285 | ||||||||||||
All Other
|
173,726 | – | – | 173,726 | ||||||||||||
Convertible Preferred Stocks
|
||||||||||||||||
Oil & Gas Exploration & Production
|
– | 141,675 | – | 141,675 | ||||||||||||
All Other
|
525,747 | – | – | 525,747 | ||||||||||||
Preferred Stocks
|
||||||||||||||||
Reinsurance
|
– | – | 5,815,591 | 5,815,591 | ||||||||||||
Diversified Banks
|
– | 496,375 | – | 496,375 | ||||||||||||
Data Processing & Outsourced Services
|
– | 91,020 | – | 91,020 | ||||||||||||
All Other
|
1,113,681 | – | – | 1,113,681 | ||||||||||||
Right/Warrant:
|
12,529 | – | – | 12,529 | ||||||||||||
Purchased Options
|
5,535 | – | – | 5,535 | ||||||||||||
Total Investments in Securities
|
$ | 1,831,218 | $ | 208,133,100 | $ | 14,264,910 | $ | 224,229,228 | ||||||||
Other Financial Instruments
|
||||||||||||||||
Written Put Option
|
$ | (18,722 | ) | $ | – | $ | – | $ | (18,722 | ) | ||||||
Forward Foreign Currency Contracts
|
– | (29,155 | ) | – | (29,155 | ) | ||||||||||
Total Other Financial Instruments
|
$ | (18,722 | ) | $ | (29,155 | ) | $ | – | $ | (42,877 | ) | |||||
The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
|
||||||||||||||||||||||||||||||||||||
Balance
as of
4/30/13
|
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
1/31/14
|
||||||||||||||||||||||||||||
Corporate Bonds & Notes
|
||||||||||||||||||||||||||||||||||||
Diversified Metals & Mining
|
$ | – | $ | – | $ | (3,667 | ) | $ | 146,667 | $ | – | $ | – | $ | – | $ | – | $ | 143,000 | |||||||||||||||||
Property & Casualty Insurance
|
3,754,107 | – | (254,425 | ) | – | – | – | – | – | 3,499,682 | ||||||||||||||||||||||||||
Reinsurance
|
2,588,700 | 5,999 | 205,938 | 3,006,000 | (1,000,000 | ) | – | – | – | 4,806,637 | ||||||||||||||||||||||||||
Preferred Stocks
|
||||||||||||||||||||||||||||||||||||
Reinsurance
|
3,509,600 | – | 411,268 | 2,994,750 | (1,100,027 | ) | – | – | – | 5,815,591 | ||||||||||||||||||||||||||
Total
|
$ | 9,852,407 | $ | 5,999 | $ | 359,114 | $ | 6,147,417 | $ | (2,100,027 | ) | $ | – | $ | – | $ | – | $ | 14,264,910 | |||||||||||||||||
* Transfers are calculated on the beginning of period value
** Lorenz Re was a common stock at 4/30/13.
|
||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation of Level 3 investments still held and considered
Level 3 at 01/31/14: $438,393.
|
||||||||||||||||||||||||||||||||||||
Currency
|
Contracts to
Receive/(Deliver)
|
In Exchange
for USD
|
Settlement
Date
|
Value
|
Net
Unrealized
appreciation
/(depreciation)
|
BRL
|
550,000
|
$229,837
|
03/17/14
|
$ 225,532
|
$ (4,305)
|
EUR
|
(800,000)
|
(1,104,432)
|
04/24/14
|
(1,079,079)
|
25,353
|
EUR
|
(4,729,308)
|
(6,349,075)
|
04/25/14
|
(6,379,129)
|
(30,055)
|
GBP
|
(459,062)
|
(737,467)
|
02/06/14
|
(754,457)
|
(16,989)
|
PHP
|
46,000,000
|
1,016,687
|
02/18/14
|
1,013,528
|
(3,159)
|
Total
|
$(29,155)
|
||||