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 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, 2015 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 Diversified
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High Income Trust
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NQ | January 31, 2015
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Ticker Symbol: HNW
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Principal
Amount
USD ($)
|
Value
|
||
ASSET BACKED SECURITIES - 1.7% of Net Assets
|
|||
746,556(a)
|
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.647%, 5/15/24 (144A)
|
$ 261,295
|
|
81,268
|
Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 3/15/17
|
85,177
|
|
250,000
|
Delta Air Lines Pass Through Trust, Series 2010-1, Class B, 6.375%, 1/2/16 (144A)
|
259,375
|
|
290,000(b)
|
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
|
275,940
|
|
414,974
|
Monty Parent Issuer LLC, Series 2013-LTR, Class B, 4.25%, 11/20/28 (144A)
|
413,107
|
|
940,000
|
Nations Equipment Finance Funding I LLC, Series 2013-1A, Class C, 5.5%, 5/20/21 (144A)
|
959,975
|
|
72,921
|
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)
|
74,210
|
|
176,943
|
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A)
|
183,261
|
|
TOTAL ASSET BACKED SECURITIES
|
|||
(Cost $2,621,800)
|
$ 2,512,340
|
||
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.4% of Net Assets
|
|||
375,000(a)
|
BAMLL Commercial Mortgage Securities Trust, Series 2014-INLD, Class F, 2.695%, 12/15/29 (144A)
|
$ 339,637
|
|
175,443(c)
|
CAM Mortgage Trust, Series 2014-1, Class M, 5.5%, 12/15/53 (144A)
|
175,585
|
|
200,000(b)
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C4, Class E, 5.135%, 10/15/39 (144A)
|
206,799
|
|
125,000(a)
|
EQTY Mezzanine Trust, Series 2014-INMZ, Class M, 4.918%, 5/8/31 (144A)
|
122,715
|
|
170,000(a)
|
EQTY Mortgage Trust, Series 2014-INNS, Class E, 3.618%, 5/8/31 (144A)
|
170,408
|
|
97,008
|
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A)
|
93,374
|
|
169,738
|
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32
|
127,645
|
|
173,236
|
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
|
170,049
|
|
709,437(a)
|
Impac CMB Trust, Series 2004-9, Class 1A1, 0.928%, 1/25/35
|
641,420
|
|
150,000
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45
|
154,001
|
|
150,000(a)
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-FL3, Class E, 3.514%, 4/15/28 (144A)
|
149,996
|
|
300,000(b)
|
LB-UBS Commercial Mortgage Trust, Series 2005-C2, Class C, 5.274%, 4/15/40
|
301,527
|
|
556,571(b)
|
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41
|
566,456
|
|
400,000(b)
|
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class AJ, 5.951%, 5/15/46
|
416,250
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
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|||
(Cost $3,592,724)
|
$ 3,635,862
|
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COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.5% of Net Assets
|
|||
150,000(b)
|
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41
|
$ 150,091
|
|
250,000(b)
|
COMM Mortgage Trust, Series 2012-CR2, Class E, 4.857%, 8/15/45 (144A)
|
260,402
|
|
200,000(a)
|
COMM Mortgage Trust, Series 2013-FL3, Class RGC2, 4.5%, 10/13/28 (144A)
|
200,118
|
|
150,600(a)
|
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-FL2A, Class G, 0.527%, 11/15/18 (144A)
|
145,318
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|||
(Cost $692,935)
|
$ 755,929
|
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SENIOR SECURED FLOATING RATE LOAN INTERESTS -
28.3% of Net Assets * (a)
|
|||
AUTOMOBILES & COMPONENTS - 3.4%
|
|||
Auto Parts & Equipment - 1.7%
|
|||
500,000
|
Crowne Group LLC, First Lien Initial Term Loan, 6.0%, 9/30/20
|
$ 492,500
|
|
186,934
|
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21
|
185,615
|
|
163,750
|
Key Safety Systems, Inc., Initial Term Loan, 4.75%, 8/29/21
|
163,273
|
|
319,241
|
MPG Holdco I, Inc. Initial Term Loan, 4.25%, 10/20/21
|
319,212
|
|
277,930
|
TI Group Automotive Systems LLC, Facility Term Loan, 4.25%, 7/2/21
|
277,105
|
|
962,936
|
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.0%, 4/23/20
|
950,297
|
|
139,200
|
UCI International, Inc. (United Components), Term Loan, 5.5%, 7/26/17
|
138,794
|
|
$ 2,526,796
|
|||
Automobile Manufacturers - 0.9%
|
1,447,500
|
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17
|
$ 1,443,076
|
|
Principal
Amount
USD ($)
|
Value
|
||
Tires & Rubber - 0.8%
|
|||
600,000
|
American Tire Distributors, Inc., Term Loan, 5.75%, 6/1/18
|
$ 599,250
|
|
575,000
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19
|
575,719
|
|
$ 1,174,969
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|||
Total Automobiles & Components
|
$ 5,144,841
|
||
CAPITAL GOODS - 3.5%
|
|||
Aerospace & Defense - 1.3%
|
|||
808,980
|
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 5.0%, 11/2/18
|
$ 809,231
|
|
366,733
|
DAE Aviation Holdings, Inc., Tranche B-2 Loan, 5.0%, 11/2/18
|
366,427
|
|
132,935
|
TASC, Inc., First Lien Term Loan, 6.5%, 5/22/20
|
130,387
|
|
232,872
|
Vencore, Inc. (fka SI Organization, Inc.), Initial First Lien Term Loan, 5.75%, 11/23/19
|
232,581
|
|
15,479
|
Vencore, Inc. (fka SI Organization, Inc.), Delayed Draw Term Loan, 5.75%, 11/23/19
|
15,459
|
|
320,000
|
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21
|
308,800
|
|
$ 1,862,885
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Building Products - 0.3%
|
|||
500,000
|
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
|
$ 496,042
|
|
Construction & Farm Machinery & Heavy Trucks - 0.2%
|
|||
390,000
|
Navistar, Inc., Tranche B, Term Loan, 5.75%, 8/17/17
|
$ 390,244
|
|
Electrical Components & Equipment - 0.4%
|
|||
547,059
|
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
|
$ 548,084
|
|
Industrial Conglomerates - 0.9%
|
|||
500,000
|
Doosan Infracore International, Inc. (Doosan Holdings Europe Ltd.), Tranche B Term Loan, 4.5%, 5/28/21
|
$ 500,000
|
|
106,901
|
Faenza Acquisition GmbH (CeramTec Acquisition Acquisition Corp.), Dollar Term B-3 Loan, 4.25%, 8/30/20
|
106,233
|
|
357,622
|
Faenza Acquisition GmbH (CeramTec Acquisition Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.25%, 8/30/20
|
355,387
|
|
35,477
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.25%, 8/30/20
|
35,255
|
|
355,000
|
Filtration Group Corp., Initial Second Lien Term Loan, 8.25%, 11/22/21
|
355,000
|
|
$ 1,351,875
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|||
Trading Companies & Distributors - 0.4%
|
|||
349,774
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5% , 7/16/18
|
$ 347,124
|
|
284,593
|
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19
|
284,237
|
|
$ 631,361
|
|||
Total Capital Goods
|
$ 5,280,491
|
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COMMERCIAL & PROFESSIONAL SERVICES - 0.7%
|
|||
Environmental & Facilities Services - 0.3%
|
|||
500,000
|
Granite Acquisition, Inc. Second Lien Term B Loan, 7.25%, 12/19/22
|
$ 506,250
|
|
Research & Consulting Services - 0.3%
|
|||
400,000
|
Wyle Services Corp., Term Loan, 5.0%, 5/23/21
|
$ 399,875
|
|
Security & Alarm Services - 0.1%
|
|||
202,708
|
Protection One, Inc., 2012 Term Loan, 4.25%, 3/21/19
|
$ 201,188
|
|
Total Commercial & Professional Services
|
$ 1,107,313
|
||
CONSUMER DURABLES & APPAREL - 0.3%
|
|||
Leisure Products - 0.2%
|
|||
300,000
|
Bombardier Recreational Products Inc., Term B Loan, 4.0%, 1/30/19
|
$ 293,875
|
|
Textiles - 0.1%
|
|||
108,319
|
Klockner Pentaplast of America, Inc., Term Loan B-1, 4.75%, 12/21/16
|
$ 108,319
|
|
Total Consumer Durables & Apparel
|
$ 402,194
|
||
CONSUMER SERVICES - 0.9%
|
|||
Casinos & Gaming - 0.2%
|
|||
300,000
|
Scientific Games International, Inc., Initial Term B-2 Loan, 6.0%, 10/1/21
|
$ 296,813
|
|
Leisure Facilities - 0.1%
|
|||
132,123
|
Fitness International LLC, Term B Loan, 5.5%, 7/1/20
|
$ 126,012
|
|
Principal
Amount
USD ($)
|
Value
|
||
Restaurants - 0.6%
|
|||
429,750
|
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18
|
$ 428,854
|
|
539,738
|
NPC International, Inc., Term Loan, 3.0%, 12/28/18
|
528,943
|
|
$ 957,797
|
|||
Total Consumer Services
|
$ 1,380,622
|
||
DIVERSIFIED FINANCIALS - 0.1%
|
|||
Consumer Finance - 0.1%
|
|||
216,807
|
Trans Union LLC, Replacement Term Loan, 4.0%, 4/9/21
|
$ 214,130
|
|
Total Diversified Financials
|
$ 214,130
|
||
ENERGY - 1.2%
|
|||
Coal & Consumable Fuels - 0.1%
|
|||
352,500
|
PT Bumi Resources Tbk, Term Loan, 18.0%, 8/15/14
|
$ 119,850
|
|
Integrated Oil & Gas - 0.3%
|
|||
500,000
|
Chief Exploration & Development LLC, Second Lien Term Loan, 7.5%, 5/16/21
|
$ 442,500
|
|
Oil & Gas Drilling - 0.3%
|
|||
444,680
|
Jonah Energy LLC, Initial Second Lien Initial Loan, 7.5%, 5/12/21
|
$ 373,809
|
|
96,233
|
Offshore Group Investment, Ltd. (Vantage Delaware Holdings LLC), Second Lien Term Loan, 5.75%, 3/28/19
|
61,349
|
|
$ 435,158
|
|||
Oil & Gas Equipment & Services - 0.1%
|
|||
297,744
|
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20
|
$ 245,639
|
|
Oil & Gas Exploration & Production - 0.4%
|
|||
849,204
|
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20
|
$ 520,562
|
|
115,754
|
Samson Investment Co., Second Lien Term Loan, 5.0%, 9/25/18
|
73,041
|
|
$ 593,603
|
|||
Total Energy
|
$ 1,836,750
|
||
FOOD, BEVERAGE & TOBACCO - 1.1%
|
|||
Packaged Foods & Meats - 1.1%
|
|||
152,717
|
Del Monte Corp., Initial Term Loan, 3.5%, 3/9/20
|
$ 147,529
|
|
500,000
|
Dole Food Company, Inc., Tranche B Term Loan, 4.5%, 11/1/18
|
496,094
|
|
932,950
|
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20
|
952,775
|
|
Total Food, Beverage & Tobacco
|
$ 1,596,398
|
||
HEALTH CARE EQUIPMENT & SERVICES - 4.1%
|
|||
Health Care Equipment & Services - 0.7%
|
|||
500,000
|
Accellent, Inc., Initial First Lien Term Loan, 4.5%, 3/12/21
|
$ 487,500
|
|
366,000
|
Accellent, Inc., Initial Second Lien Term Loan, 7.5%, 3/11/22
|
344,040
|
|
237,727
|
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.0%, 5/4/18
|
235,519
|
|
$ 1,067,059
|
|||
Health Care Facilities - 1.0%
|
|||
708,319
|
CHS/Community Health Systems, Inc., Term D Loan, 4.25%, 1/27/21
|
$ 708,872
|
|
265,757
|
CHS/Community Health Systems, Inc., Term E Loan, 4.25%, 1/25/17
|
264,699
|
|
195,565
|
HCA, Inc., Tranche B-5 Term Loan, 2.75%, 3/31/17
|
195,580
|
|
320,147
|
Kindred Healthcare, Inc., Incremental Term Loan, 4.25%, 4/9/21
|
316,146
|
|
$ 1,485,297
|
|||
Health Care Services - 1.9%
|
|||
365,903
|
AccentCare, Inc., Term Loan, 6.5%, 12/22/16
|
$ 325,654
|
|
208,835
|
Bioscrip, Inc., Delayed Term Loan, 6.5%, 7/31/20
|
208,661
|
|
348,058
|
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20
|
347,768
|
|
712,602
|
Gentiva Health Services, Inc., Initial Term Loan B, 6.5%, 10/18/19
|
713,381
|
|
203,463
|
National Mentor Holdings, Inc., Tranche B Term Loan, 4.75%, 1/31/21
|
200,919
|
|
458,025
|
Surgical Care Affiliates LLC, Class C Term Loan, 4.0%, 6/29/18
|
454,590
|
|
283,225
|
Valitas Health Services, Inc., Term Loan B, 6.0%, 6/2/17
|
271,188
|
|
482,500(d)
|
Virtual Radiologic Corp., Term Loan B, 7.25%, 12/22/16
|
371,525
|
|
$ 2,893,686
|
|||
Health Care Supplies - 0.1%
|
|||
185,959
|
Alere, Inc., Term Loan B, 4.25%, 6/30/17
|
$ 186,036
|
|
Health Care Technology - 0.4%
|
|||
238,848
|
IMS Health, Inc., Tranche B-1 Dollar Term Loan, 3.5%, 3/17/21
|
$ 234,867
|
Principal
Amount
USD ($)
|
Value
|
||
Health Care Technology (continued)
|
|||
327,615
|
Medical Card System, Inc., Term Loan, 12.0%, 3/17/17
|
$ 314,511
|
|
$ 549,378
|
|||
Total Health Care Equipment & Services
|
$ 6,181,456
|
||
HOUSEHOLD & PERSONAL PRODUCTS - 0.8%
|
|||
Household Products - 0.4%
|
|||
381,800
|
SRAM LLC, First Lien Term Loan, 4.0%, 4/10/20
|
$ 374,880
|
|
213,275
|
Wash MultiFamily Laundry Systems LLC, U.S. Term Loan, 4.5%, 2/21/19
|
210,876
|
|
$ 585,756
|
|||
Personal Products - 0.2%
|
|||
100,000
|
Atrium Innovations, Inc., Second Lien Term Loan, 7.75%, 8/13/21
|
$ 93,500
|
|
215,357
|
NBTY, Inc., B-2 Term Loan, 2.5%, 10/1/17
|
209,468
|
|
$ 302,968
|
|||
Security & Alarm Services - 0.2%
|
|||
267,475
|
Monitronics International, Inc., 2013 Term Loan B, 3.25%, 3/23/18
|
$ 266,695
|
|
Total Household & Personal Products
|
$ 1,155,419
|
||
INSURANCE - 1.4%
|
|||
Multi-Line Insurance - 0.4%
|
|||
562,479
|
Alliant Holdings I LLC, Initial Term Loan, 4.25%, 12/20/19
|
$ 554,569
|
|
Property & Casualty Insurance - 1.0%
|
|||
593,765
|
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25, 5/8/19
|
$ 593,765
|
|
945,943
|
USI, Inc., Initial Term Loan, 4.25%, 12/27/19
|
932,936
|
|
$ 1,526,701
|
|||
Total Insurance
|
$ 2,081,270
|
||
MATERIALS - 1.7%
|
|||
Commodity Chemicals - 0.1%
|
|||
102,000
|
Citadel Plastics Holdings, Inc., First Lien Initial Term Loan, 5.25%, 11/5/20
|
$ 101,363
|
|
Diversified Chemicals - 0.2%
|
|||
296,335
|
Univar, Inc., Term Loan B, 5.0%, 6/30/17
|
$ 286,927
|
|
Diversified Metals & Mining - 0.0%†
|
|||
57,668(e)
|
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.0%, 1/20/13
|
$ 19,607
|
|
Metal & Glass Containers - 0.3%
|
|||
413,493
|
Tank Holding Corp., Initial Term Loan, 5.5%, 7/9/19
|
$ 406,601
|
|
Paper Packaging - 0.3%
|
|||
500,000
|
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19
|
$ 485,000
|
|
Paper Products - 0.5%
|
|||
598,481
|
Appvion, Inc., Term Commitment, 5.75%, 6/28/19
|
$ 586,137
|
|
99,000
|
Exopack Holdings SA, USD Term Loan, 5.25%, 5/8/19
|
98,897
|
|
$ 685,034
|
|||
Specialty Chemicals - 0.0%†
|
|||
48,810
|
Chemtura Corp., New Term Loan, 3.5%, 8/29/16
|
$ 48,830
|
|
Steel - 0.3%
|
|||
498,750
|
Essar Steel Algoma, Inc., Initial Term Loan, 7.5%, 8/16/19
|
$ 486,281
|
|
Total Materials
|
$ 2,519,643
|
||
MEDIA - 3.4%
|
|||
Advertising - 0.7%
|
|||
952,854
|
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18
|
$ 893,301
|
|
150,000
|
Getty Images, Inc., Initial Term Loan, 4.75%, 10/18/19
|
136,281
|
|
$ 1,029,582
|
|||
Broadcasting - 0.7%
|
|||
296,690
|
Hubbard Radio LLC, Tranche 1 Term Loan, 4.5%, 4/29/19
|
$ 293,908
|
|
315,000
|
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21
|
312,638
|
|
463,454
|
Univision Communications, Inc., Replacement First-Lien Term Loan, 4.0%, 3/1/20
|
457,154
|
|
$ 1,063,700
|
Principal
Amount
USD ($)
|
Value
|
||
Cable & Satellite - 0.2%
|
|||
299,250
|
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 6.75%, 8/13/21
|
$ 296,070
|
|
Cable & Telecommunications - 0.2%
|
|||
339,187
|
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/1/19
|
$ 337,576
|
|
Movies & Entertainment - 0.0%†
|
|||
69,063
|
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18
|
$ 69,149
|
|
Publishing - 1.6%
|
|||
527,470
|
Cengage Learning Acquisitions, Inc., Term Loan, 7.0%, 3/31/20
|
$ 524,942
|
|
748,120
|
Interactive Data Corp., Term Loan, 4.75%, 5/2/21
|
746,952
|
|
149,220
|
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
|
148,847
|
|
940,500
|
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19
|
941,284
|
|
$ 2,362,025
|
|||
Total Media
|
$ 5,158,102
|
||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.4%
|
|||
Life Sciences Tools & Services - 0.3%
|
|||
431,007
|
Catalent Pharma Solutions, Inc., Dollar Term Loan, 4.5%, 5/20/21
|
$ 430,361
|
|
Pharmaceuticals - 0.1%
|
|||
250,000
|
Par Pharmaceutical Co., Inc. (Par Pharmaceutical, Inc.), Term B-2 Loan, 4.0%, 9/30/19
|
$ 245,687
|
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 676,048
|
||
RETAIL REIT - 0.2%
|
|||
Retail REIT - 0.2%
|
|||
278,771
|
DTZ U.S. Borrower LLC, Delayed Draw Term Loan, 5.5%, 11/4/21
|
$ 279,293
|
|
Total Retail REIT
|
$ 279,293
|
||
RETAILING - 0.9%
|
|||
Automotive Retail - 0.5%
|
|||
682,500
|
CWGS Group LLC, Term Loan, 5.75%, 2/20/20
|
$ 679,941
|
|
Computer & Electronics Retail - 0.4%
|
|||
711,994
|
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16
|
$ 567,815
|
|
Total Retailing
|
$ 1,247,756
|
||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.4%
|
|||
Semiconductor Equipment - 0.4%
|
|||
600,000
|
VAT Lux III S.a.r.l. (fka Polyusus Lux 2 S.a.r.l.), Initial Term Loan, 4.75%, 2/11/21
|
$ 590,625
|
|
Total Semiconductors & Semiconductor Equipment
|
$ 590,625
|
||
SOFTWARE & SERVICES - 1.4%
|
|||
Application Software - 0.7%
|
|||
210,670
|
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18
|
$ 209,968
|
|
423,038
|
Houghton Mifflin Holdings, Inc., Term Loan, 4.25%, 5/22/18
|
421,451
|
|
500,000
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17
|
502,916
|
|
$ 1,134,335
|
|||
IT Consulting & Other Services - 0.7%
|
|||
249,375
|
Evergreen Skills Lux S.a r.l., First Lien Initial Term Loan, 5.75%, 4/28/21
|
$ 242,413
|
|
772,637
|
SunGuard Data Systems, Inc., Tranche C Term Loan, 3.75%, 2/28/17
|
770,860
|
|
$ 1,013,273
|
|||
Total Software & Services
|
$ 2,147,608
|
||
TECHNOLOGY HARDWARE & EQUIPMENT - 0.5%
|
|||
Communications Equipment - 0.2%
|
|||
85,318
|
CommScope, Inc., Tranche 3 Term Loan, 2.735%, 1/21/17
|
$ 84,927
|
|
127,977
|
CommScope, Inc., Tranche 4 Term Loan, 3.25%, 1/14/18
|
127,936
|
|
$ 212,863
|
|||
Electronic Components - 0.3%
|
|||
477,897
|
Scitor Corp., Term Loan, 5.0%, 2/15/17
|
$ 474,312
|
|
Total Technology Hardware & Equipment
|
$ 687,175
|
||
TELECOMMUNICATION SERVICES - 0.6%
|
|||
Integrated Telecommunication Services - 0.3%
|
|||
500,000
|
GCI Holdings, Inc., Term B Loan, 4.75%, 2/2/22
|
$ 501,145
|
|
Wireless Telecommunication Services - 0.3%
|
|||
333,333
|
Syniverse Holdings, Inc., Initial Term Loan, 4.0%, 4/23/19
|
$ 323,056
|
|
166,667
|
Syniverse Holdings, Inc., Tranche B Term Loan, 5.0%, 4/23/19
|
161,528
|
|
$ 484,584
|
|||
Total Telecommunication Services
|
$ 985,729
|
||
Principal
Amount
USD ($)
|
Value
|
|||||
TRANSPORTATION - 0.5%
|
||||||
Air Freight & Logistics - 0.1%
|
||||||
192,075
|
Ozburn-Hessey Holding Co., LLC, Term Loan, 6.75%, 5/23/19
|
$ 192,315
|
||||
Marine - 0.4%
|
||||||
500,000
|
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18
|
$ 495,625
|
||||
Total Transportation
|
$ 687,940
|
|||||
UTILITIES - 0.8%
|
||||||
Electric Utilities - 0.8%
|
||||||
500,000
|
Atlantic Power Limited Partnership, Term Loan, 3.75%, 2/24/21
|
$ 498,750
|
||||
280,808
|
Star West Generation LLC, Advance Term Loan B, 3.25%, 3/13/20
|
276,947
|
||||
629,720
|
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.5%, 10/10/17
|
400,069
|
||||
Total Utilities
|
$ 1,175,766
|
|||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
||||||
(Cost $43,809,500)
|
$ 42,536,569
|
|||||
CORPORATE BONDS & NOTES - 94.9% of Net Assets
|
||||||
AUTOMOBILES & COMPONENTS - 0.8%
|
||||||
Auto Parts & Equipment - 0.8%
|
||||||
350,000
|
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
|
$ 361,375
|
||||
248,000
|
Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A)
|
262,880
|
||||
640,000
|
Stackpole International Intermediate Co., SA / Stackpole International Powder, 7.75%, 10/15/21 (144A)
|
625,600
|
||||
Total Automobiles & Components
|
$ 1,249,855
|
|||||
BANKS - 2.0%
|
||||||
Diversified Banks - 1.6%
|
||||||
525,000
|
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A)
|
$ 530,250
|
||||
400,000(b)
|
Banco Macro SA, 9.75%, 12/18/36
|
369,000
|
||||
200,000(b)(f)
|
Banco Santander SA, 6.375%
|
196,000
|
||||
325,000(b)(f)
|
Bank of America Corp., 6.25%
|
332,348
|
||||
750,000
|
UBS AG / Stamford CT, 7.625%, 8/17/22
|
895,227
|
||||
$ 2,322,825
|
||||||
Regional Banks - 0.4%
|
||||||
600,000(b)(f)
|
PNC Financial Services Group, Inc., 4.451%
|
$ 600,000
|
||||
Total Banks
|
$ 2,922,825
|
|||||
CAPITAL GOODS - 5.0%
|
||||||
Aerospace & Defense - 1.2%
|
||||||
400,000
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$ 384,000
|
||||
680,000
|
DynCorp International, Inc., 10.375%, 7/1/17
|
612,000
|
||||
EUR
|
275,000
|
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
|
228,250
|
|||
435,000
|
LMI Aerospace, Inc., 7.375%, 7/15/19 (144A)
|
431,825
|
||||
$ 1,656,075
|
||||||
Building Products - 0.2%
|
||||||
300,000
|
USG Corp., 7.875%, 3/30/20 (144A)
|
$ 323,250
|
||||
Construction & Engineering - 0.5%
|
||||||
900,000
|
Empresas ICA S.A.B. de CV, 8.9%, 2/4/21 (144A)
|
$ 647,100
|
||||
1,200,000(e)
|
OAS Investments GmbH, 8.25%, 10/19/19 (144A)
|
150,000
|
||||
$ 797,100
|
||||||
Construction & Farm Machinery & Heavy Trucks - 0.7%
|
||||||
360,000
|
Meritor, Inc., 6.75%, 6/15/21
|
$ 373,500
|
||||
660,000
|
Navistar International Corp., 8.25%, 11/1/21
|
644,325
|
||||
$ 1,017,825
|
||||||
Electrical Components & Equipment - 0.5%
|
||||||
750,000
|
WireCo WorldGroup, Inc., 9.5%, 5/15/17
|
$ 742,500
|
||||
Industrial Conglomerates - 0.3%
|
||||||
455,000
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
$ 489,125
|
||||
Industrial Machinery - 0.7%
|
||||||
250,000
|
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)
|
$ 217,500
|
||||
450,000
|
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
|
469,125
|
||||
335,000
|
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
|
268,000
|
||||
150,000
|
Xerium Technologies, Inc., 8.875%, 6/15/18
|
156,750
|
||||
$ 1,111,375
|
Principal
Amount
USD ($)
|
Value
|
||||||
Trading Companies & Distributors - 0.9%
|
|||||||
150,000
|
H&E Equipment Services, Inc., 7.0%, 9/1/22
|
$ 142,875
|
|||||
1,090,000
|
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19
|
1,182,650
|
|||||
$ 1,325,525
|
|||||||
Total Capital Goods
|
$ 7,462,775
|
||||||
COMMERCIAL & PROFESSIONAL SERVICES - 1.5%
|
|||||||
Commercial Printing - 0.5%
|
|||||||
700,000
|
Multi-Color Corp., 6.125%, 12/1/22 (144A)
|
$ 707,875
|
|||||
Diversified Support Services - 0.7%
|
|||||||
950,000
|
NANA Development Corp., 9.5%, 3/15/19 (144A)
|
$ 836,000
|
|||||
280,000
|
Transfield Services, Ltd., 8.375%, 5/15/20 (144A)
|
299,600
|
|||||
$ 1,135,600
|
|||||||
Environmental & Facilities Services - 0.0%†
|
|||||||
700,000(d)(e)
|
Old AII, Inc., 10.0%, 12/15/16
|
$ 7
|
|||||
Security & Alarm Services - 0.3%
|
|||||||
415,000
|
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18
|
$ 416,037
|
|||||
Total Commercial & Professional Services
|
$ 2,259,519
|
||||||
CONSUMER DURABLES & APPAREL - 1.5%
|
|||||||
Home Furnishings - 0.4%
|
|||||||
535,000
|
Tempur Sealy International, Inc., 6.875%, 12/15/20
|
$ 573,787
|
|||||
Homebuilding - 0.2%
|
|||||||
605,000(d)(e)
|
Desarrolladora Homex SAB de CV, 9.5%, 12/11/19 (144A)
|
$ 42,350
|
|||||
250,000
|
KB Home, 7.0%, 12/15/21
|
250,000
|
|||||
$ 292,350
|
|||||||
Leisure Products - 0.8%
|
|||||||
1,000,000
|
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)
|
$ 980,000
|
|||||
375,000
|
PC Nextco Holdings LLC / PC Nextco Finance, Inc., 8.75%, 8/15/19
|
380,625
|
|||||
$ 1,360,625
|
|||||||
Textiles - 0.1%
|
|||||||
195,000
|
Polymer Group, Inc., 6.875%, 6/1/19 (144A)
|
$ 186,225
|
|||||
Total Consumer Durables & Apparel
|
$ 2,412,987
|
||||||
CONSUMER SERVICES - 2.9%
|
|||||||
Business Services - 0.8%
|
|||||||
750,000
|
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A)
|
$ 761,250
|
|||||
500,000
|
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18
|
417,500
|
|||||
$ 1,178,750
|
|||||||
Casinos & Gaming - 1.0%
|
|||||||
756,089(d)(e)(g)
|
Mashantucket Western Pequot Tribe, 6.5% (5.5% PIK 1.0% cash), 7/1/36
|
$ 3,780
|
|||||
365,000
|
MGM Resorts International, 6.0%, 3/15/23
|
368,650
|
|||||
100,000
|
Scientific Games International, Inc., 6.25%, 9/1/20
|
70,000
|
|||||
1,200,000
|
Scientific Games International, Inc., 10.0%, 12/1/22 (144A)
|
1,101,000
|
|||||
$ 1,543,430
|
|||||||
Hotels, Resorts & Cruise Lines - 0.3%
|
|||||||
325,000
|
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)
|
$ 355,875
|
|||||
Leisure Facilities - 0.6%
|
|||||||
EUR
|
800,000
|
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A)
|
$ 929,373
|
||||
Specialized Consumer Services - 0.2%
|
|||||||
315,000
|
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21
|
$ 324,450
|
|||||
Total Consumer Services
|
$ 4,331,878
|
||||||
DIVERSIFIED FINANCIALS - 2.1%
|
|||||||
Asset Management & Custody Banks - 0.4%
|
|||||||
590,000
|
Janus Capital Group, Inc., 6.7%, 6/15/17
|
$ 654,219
|
|||||
Principal
Amount
USD ($)
|
Value
|
||
Consumer Finance - 0.8%
|
|||
445,000
|
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
|
$ 418,300
|
|
406,687
|
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)
|
404,677
|
|
440,000
|
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
|
334,400
|
|
$ 1,157,377
|
|||
Investment Banking & Brokerage - 0.2%
|
|||
450,000(b)(f)
|
Goldman Sachs Capital II, 4.0%
|
$ 351,000
|
|
Multi-Sector Holdings - 0.3%
|
|||
600,000
|
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A)
|
$ 472,500
|
|
Specialized Finance - 0.4%
|
|||
375,000(g)
|
Igloo Holdings Corp., 8.25% (9.0% PIK 8.25% cash), 12/15/17 (144A)
|
$ 378,750
|
|
175,000
|
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5% , 7/1/21
|
151,375
|
|
$ 530,125
|
|||
Total Diversified Financials
|
$ 3,165,221
|
||
ENERGY - 8.7%
|
|||
Coal & Consumable Fuels - 0.7%
|
|||
285,000
|
Alpha Natural Resources, Inc., 7.5%, 8/1/20 (144A)
|
$ 133,950
|
|
400,000(e)
|
James River Coal Co., 7.875%, 4/1/19
|
500
|
|
300,000
|
Murray Energy Corp., 8.625%, 6/15/21 (144A)
|
286,500
|
|
715,000
|
Penn Virginia Corp., 8.5%, 5/1/20
|
593,450
|
|
$ 1,014,400
|
|||
Integrated Oil & Gas - 0.2%
|
|||
MXN
|
540,000
|
Petroleos Mexicanos, 7.19%, 9/12/24 (144A)
|
$ 37,228
|
325,000
|
YPF SA, 8.875%, 12/19/18 (144A)
|
333,125
|
|
$ 370,353
|
|||
Oil & Gas Drilling - 0.5%
|
|||
730,000
|
Ocean Rig UDW, Inc., 7.25%, 4/1/19 (144A)
|
$ 474,500
|
|
320,000
|
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)
|
252,800
|
|
$ 727,300
|
|||
Oil & Gas Equipment & Services - 0.2%
|
|||
425,000
|
McDermott International, Inc., 8.0%, 5/1/21 (144A)
|
$ 263,500
|
|
Oil & Gas Exploration & Production - 6.5%
|
|||
100,000
|
Comstock Resources, Inc., 7.75%, 4/1/19
|
$ 51,000
|
|
750,000
|
Comstock Resources, Inc., 9.5%, 6/15/20
|
382,500
|
|
515,000
|
Energy XXI Gulf Coast, Inc., 7.5%, 12/15/21
|
234,325
|
|
750,000
|
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20
|
755,625
|
|
360,000
|
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A)
|
260,507
|
|
570,000
|
Gulfport Energy Corp., 7.75%, 11/1/20
|
565,725
|
|
165,000
|
Halcon Resources Corp., 9.25%, 2/15/22
|
108,900
|
|
890,000
|
Halcon Resources Corp., 9.75%, 7/15/20
|
594,075
|
|
485,000
|
Jupiter Resources, Inc., 8.5%, 10/1/22 (144A)
|
363,750
|
|
680,000
|
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A)
|
385,900
|
|
630,000
|
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21
|
565,425
|
|
600,000
|
Midstates Petroleum Co., Inc., 9.25%, 6/1/21
|
310,500
|
|
455,000
|
Midstates Petroleum Co., Inc., 10.75%, 10/1/20
|
247,975
|
|
350,000
|
MIE Holdings Corp., 7.5%, 4/25/19 (144A)
|
210,000
|
|
1,365,000
|
Northern Oil & Gas, Inc., 8.0%, 6/1/20
|
1,180,725
|
|
535,000
|
PDC Energy, Inc., 7.75%, 10/15/22
|
516,275
|
|
750,000
|
PetroQuest Energy, Inc., 10.0%, 9/1/17
|
630,000
|
|
240,000(e)
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
7,200
|
|
375,000
|
Rice Energy, Inc., 6.25%, 5/1/22
|
361,875
|
|
285,000
|
Rosetta Resources, Inc., 5.875%, 6/1/24
|
260,063
|
|
310,000
|
RSP Permian, Inc., 6.625%, 10/1/22 (144A)
|
308,062
|
|
1,170,000
|
Sanchez Energy Corp., 7.75%, 6/15/21
|
1,134,900
|
|
335,000
|
Talos Production LLC / Talos Production Finance, Inc., 9.75%, 2/15/18 (144A)
|
288,100
|
|
$ 9,723,407
|
|||
Oil & Gas Refining & Marketing - 0.3%
|
|||
604,000
|
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21 (144A)
|
$ 522,460
|
|
Oil & Gas Storage & Transportation - 0.3%
|
|||
450,000(a)
|
Energy Transfer Partners LP, 3.272%, 11/1/66
|
$ 396,000
|
|
Total Energy
|
$ 13,017,420
|
||
Principal
Amount
USD ($)
|
Value
|
||||||
FOOD & STAPLES RETAILING - 0.6%
|
|||||||
Food Distributors - 0.6%
|
|||||||
900,000
|
JBS Investments GmbH, 7.25%, 4/3/24 (144A)
|
$ 893,700
|
|||||
Total Food & Staples Retailing
|
$ 893,700
|
||||||
FOOD, BEVERAGE & TOBACCO - 8.2%
|
|||||||
Agricultural Products - 1.3%
|
|||||||
900,000
|
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)
|
$ 918,000
|
|||||
520,000
|
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)
|
486,200
|
|||||
850,000
|
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A)
|
446,250
|
|||||
225,000
|
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)
|
164,250
|
|||||
$ 2,014,700
|
|||||||
Packaged Foods & Meats - 6.0%
|
|||||||
225,000
|
Agrokor DD, 8.875%, 2/1/20 (144A)
|
$ 243,495
|
|||||
EUR
|
200,000
|
Agrokor DD, 9.875%, 5/1/19 (144A)
|
244,483
|
||||
650,000
|
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)
|
698,750
|
|||||
500,000
|
CFG Investment SAC, 9.75%, 7/30/19 (144A)
|
417,500
|
|||||
136,000
|
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21
|
147,560
|
|||||
491,000
|
Corporacion Pesquera Inca SAC, 9.0%, 2/10/17 (144A)
|
486,090
|
|||||
1,100,000
|
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
|
1,144,000
|
|||||
515,000
|
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)
|
446,762
|
|||||
800,000
|
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
|
753,600
|
|||||
700,000
|
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)
|
693,000
|
|||||
475,000
|
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A)
|
443,531
|
|||||
700,000
|
MHP SA, 8.25%, 4/2/20 (144A)
|
430,589
|
|||||
1,600,000
|
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
|
1,540,000
|
|||||
200,000
|
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
|
221,800
|
|||||
600,000
|
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)
|
462,750
|
|||||
640,000
|
Post Holdings, Inc., 6.75%, 12/1/21 (144A)
|
625,600
|
|||||
$ 8,999,510
|
|||||||
Tobacco - 0.9%
|
|||||||
1,645,000
|
Alliance One International, Inc., 9.875%, 7/15/21
|
$ 1,373,575
|
|||||
Total Food, Beverage & Tobacco
|
$ 12,387,785
|
||||||
HEALTH CARE EQUIPMENT & SERVICES - 3.0%
|
|||||||
Health Care Equipment & Services - 0.6%
|
|||||||
831,000
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
$ 887,092
|
|||||
Health Care Facilities - 0.6%
|
|||||||
700,000
|
Kindred Healthcare, Inc., 6.375%, 4/15/22
|
$ 673,750
|
|||||
200,000
|
United Surgical Partners International, Inc., 9.0%, 4/1/20
|
214,000
|
|||||
$ 887,750
|
|||||||
Health Care Services - 1.2%
|
|||||||
425,000
|
BioScrip, Inc., 8.875%, 2/15/21 (144A)
|
$ 374,000
|
|||||
426,000
|
Gentiva Health Services, Inc., 11.5%, 9/1/18
|
451,560
|
|||||
990,000
|
Truven Health Analytics, Inc., 10.625%, 6/1/20
|
965,250
|
|||||
$ 1,790,810
|
|||||||
Health Care Supplies - 0.4%
|
|||||||
500,000
|
Immucor, Inc., 11.125%, 8/15/19
|
$ 537,500
|
|||||
Health Care Technology - 0.2%
|
|||||||
275,000
|
Emdeon, Inc., 11.0%, 12/31/19
|
$ 300,094
|
|||||
Total Health Care Equipment & Services
|
$ 4,403,246
|
||||||
HOUSEHOLD & PERSONAL PRODUCTS - 0.5%
|
|||||||
Household Products - 0.3%
|
|||||||
EUR
|
350,000(a)
|
Hydra Dutch Holdings 2BV, 5.571%, 4/15/19 (144A)
|
$ 359,706
|
||||
Personal Products - 0.2%
|
|||||||
345,000
|
Monitronics International, Inc., 9.125%, 4/1/20
|
$ 320,850
|
|||||
Total Household & Personal Products
|
$ 680,556
|
||||||
INSURANCE - 34.2%
|
|||||||
Insurance Brokers - 0.1%
|
|||||||
GBP
|
475,000
|
Towergate Finance Plc, 10.5%, 2/15/19 (144A)
|
$ 85,825
|
||||
GBP
|
100,000
|
Towergate Finance Plc, 8.5%, 2/15/18 (144A)
|
132,501
|
||||
$ 218,326
|
Principal
Amount
USD ($)
|
Value
|
||
Life & Health Insurance - 1.0%
|
|||
1,000,000(a)
|
Vitality Re VI, Ltd., 1.755%, 1/8/18 (144A) (Cat Bond)
|
$ 999,500
|
|
500,000(a)
|
Vitality Re VI, Ltd., 2.105%, 1/8/18 (144A) (Cat Bond)
|
498,500
|
|
$ 1,498,000
|
|||
Multi-Line Insurance - 0.7%
|
|||
1,000,000(b)
|
Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A)
|
$ 1,022,500
|
|
Property & Casualty Insurance - 4.6%
|
|||
6,000,000(c)(d)(h)
|
Fixed Income Trust, Series 2013-A, 0.0%, 10/15/97 (144A)
|
$ 4,776,238
|
|
2,000,000(a)
|
MultiCat Mexico, Ltd., Series 2012-I, Class A, 7.505%, 12/4/15 (144A)
|
2,005,200
|
|
80,000(b)(f)
|
White Mountains Insurance Group, Ltd., 7.506% (144A)
|
83,500
|
|
$ 6,864,938
|
|||
Reinsurance - 27.8%
|
|||
1,000,000(a)
|
Alamo Re, Ltd., 6.355%, 6/7/17 (144A) (Cat Bond)
|
$ 1,038,900
|
|
1,500,000(d)
|
Arlington Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 8/1/15
|
1,639,500
|
|
EUR
|
750,000(a)
|
ATLAS Reinsurance VII, 3.65%, 1/7/16 (144A)
|
857,863
|
2,008,000(d)
|
Berkeley Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 6/12/15
|
2,084,103
|
|
800,000
|
Carnoustie Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/19/16
|
812,320
|
|
1,018,720(d)
|
Clarendon Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 7/14/15
|
993,761
|
|
1,750,000(a)
|
East Lane Re VI, Ltd., 2.755%, 3/14/18 (144A) (Cat Bond)
|
1,744,750
|
|
2,740,500
|
Exeter Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/7/16
|
2,743,241
|
|
1,000,000
|
Fairfield Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/2/16
|
920,800
|
|
2,000,000(a)
|
Gator Re, Ltd., 6.685%, 1/9/17 (144A) (Cat Bond)
|
1,791,800
|
|
2,000,000(d)
|
Gloucester Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 6/12/15
|
1,916,800
|
|
1,500,000(a)
|
Ibis Re II, Ltd., 4.005%, 6/28/16 (144A) (Cat Bond)
|
1,520,700
|
|
EUR
|
1,500,000(a)
|
Lion I Re, Ltd., 2.36%, 4/28/17 (144A)
|
1,705,055
|
1,750,000(a)
|
Longpoint Re III, Ltd., 3.965%, 5/18/16 (144A)
|
1,772,400
|
|
1,000,000(a)
|
Merna Reinsurance V, Ltd., 2.005%, 4/7/17 (144A) (Cat Bond)
|
999,000
|
|
750,000(a)
|
MetroCat Re, Ltd., 4.505%, 8/5/16 (144A) (Cat Bond)
|
768,975
|
|
2,006,000(d)
|
PI-6, Series B – 2014 (Kane SAC, Ltd.), Variable Rate Notes, 7/18/16
|
2,262,567
|
|
2,004,948(d)
|
PI-6, Series C – 2014 (Kane SAC, Ltd.), Variable Rate Notes, 7/7/16
|
1,995,725
|
|
2,011,000(d)
|
PI-6, Series D – 2014 (Kane SAC, Ltd.), Variable Rate Notes, 7/30/16
|
2,198,425
|
|
3,000,000
|
Pangaea Re (Kane SAC, Ltd.), Variable Rate Notes, 2/1/19
|
3,041,400
|
|
2,000,000(a)
|
Queen Street IV Capital, Ltd., 7.505%, 4/9/15 (144A) (Cat Bond)
|
2,010,200
|
|
1,000,000(a)
|
Queen Street VIII Re Ltd., 6.505%, 6/8/16 (144A) (Cat Bond)
|
1,015,700
|
|
1,000,000(a)
|
Residential Reinsurance 2012, Ltd., 22.01%, 6/6/16 (144A) (Cat Bond)
|
1,146,800
|
|
500,000(a)
|
Residential Reinsurance 2013, Ltd., 20.01%, 12/6/17 (144A) (Cat Bond)
|
509,150
|
|
1,630(d)(i)
|
Sector Re V, Ltd., Series 3, Class A, 0.0%, 3/1/18 (144A) (Cat Bond)
|
41,522
|
|
5,731(d)(i)
|
Sector Re V, Ltd., Series 3, Class C, 0.0%, 12/1/17 (144A) (Cat Bond)
|
241,912
|
|
1,500,000(i)
|
Sector Re V, Ltd., Series 4, Class A, 0.0%, 3/30/19 (144A) (Cat Bond)
|
1,771,950
|
|
1,000,000(i)
|
Silverton RE Ltd., 0.0%, 9/18/17 (144A) (Cat Bond)
|
1,017,200
|
|
1,000,000(d)(i)
|
Silverton RE, Ltd., 0.0%, 9/16/16 (144A) (Cat Bond)
|
137,700
|
|
1,000,000
|
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/22/16,
|
1,005,300
|
|
$ 41,705,519
|
|||
Total Insurance
|
$ 51,309,283
|
||
MATERIALS - 7.9%
|
|||
Commodity Chemicals - 0.5%
|
|||
300,000
|
Basell Finance Co., BV, 8.1%, 3/15/27 (144A)
|
$ 417,883
|
|
EUR
|
250,000
|
KP Germany Erste GmbH, 11.625%, 7/15/17 (144A)
|
306,614
|
$ 724,497
|
|||
Construction Materials - 0.5%
|
|||
389,000
|
Cemex Espana Luxembourg, 9.875%, 4/30/19 (144A)
|
$ 424,010
|
|
300,000(f)
|
Magnesita Finance, Ltd., 8.625% (144A)
|
264,000
|
|
$ 688,010
|
|||
Diversified Metals & Mining - 1.1%
|
|||
109,000
|
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)
|
$ 113,360
|
|
300,000(e)
|
Midwest Vanadium Pty, Ltd., 11.5%, 2/15/18 (144A)
|
43,500
|
|
390,717(d)
|
Mirabela Nickel, Ltd., 9.5%, 6/20/19
|
296,945
|
|
180,000
|
Prince Mineral Holding Corp., 12.5%, 12/15/19 (144A)
|
183,600
|
|
260,000
|
TMS International Corp., 7.625%, 10/15/21 (144A)
|
258,700
|
|
750,000
|
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)
|
742,500
|
|
$ 1,638,605
|
|||
Gold - 0.0%†
|
|||
85,000
|
IAMGOLD Corp., 6.75%, 10/1/20 (144A)
|
$ 68,000
|
|
Principal
Amount
USD ($)
|
Value
|
|||
Metal & Glass Containers - 0.4%
|
||||
250,522(g)
|
Ardagh Finance Holdings SA, 8.625% (8.625% PIK 0.0% cash), 6/15/19 (144A)
|
$ 249,582
|
||
EUR
|
250,000
|
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A)
|
294,458
|
|
$ 544,040
|
||||
Paper Packaging - 1.5%
|
||||
606,510(c)
|
Bio Pappel SAB de CV, 10.0%, 8/27/16
|
$ 600,445
|
||
580,000
|
Exopack Holding Corp., 10.0%, 6/1/18 (144A)
|
610,450
|
||
500,000
|
Reynolds Group Issuer, Inc., 9.0%, 4/15/19
|
516,250
|
||
475,000
|
Reynolds Group Issuer, Inc., 9.875%, 8/15/19
|
504,687
|
||
$ 2,231,832
|
||||
Paper Products - 1.7%
|
||||
675,000
|
Appvion, Inc., 9.0%, 6/1/20 (144A)
|
$ 458,156
|
||
500,000
|
Mercer International, Inc., 7.0%, 12/1/19 (144A)
|
510,000
|
||
840,000
|
Resolute Forest Products, Inc., 5.875%, 5/15/23
|
802,200
|
||
545,000
|
Sappi Papier Holding GmbH, 8.375%, 6/15/19 (144A)
|
583,150
|
||
255,000
|
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)
|
253,725
|
||
$ 2,607,231
|
||||
Steel - 2.2%
|
||||
250,000
|
Evraz Group SA, 9.5%, 4/24/18 (144A)
|
$ 217,500
|
||
693,000
|
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A)
|
519,750
|
||
190,000
|
JMC Steel Group, Inc., 8.25%, 3/15/18 (144A)
|
157,225
|
||
900,000
|
Metinvest BV, 8.75%, 2/14/18 (144A)
|
405,000
|
||
300,000
|
Metinvest BV, 10.5%, 11/28/17 (144A)
|
144,060
|
||
585,000
|
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
|
606,938
|
||
850,000
|
Ryerson, Inc., 9.0%, 10/15/17
|
864,875
|
||
350,000
|
United States Steel Corp., 7.5%, 3/15/22
|
353,500
|
||
$ 3,268,848
|
||||
Total Materials
|
$ 11,771,063
|
|||
MEDIA - 4.1%
|
||||
Broadcasting - 1.4%
|
||||
400,000
|
Intelsat Luxembourg SA, 7.75%, 6/1/21
|
$ 396,500
|
||
1,655,000
|
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A)
|
1,768,781
|
||
$ 2,165,281
|
||||
Movies & Entertainment - 2.1%
|
||||
1,710,000
|
AMC Entertainment, Inc., 9.75%, 12/1/20
|
$ 1,859,625
|
||
600,000
|
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)
|
568,500
|
||
225,000
|
Regal Entertainment Group, 5.75%, 2/1/25
|
215,719
|
||
625,000
|
WMG Acquisition Corp., 6.75%, 4/15/22 (144A)
|
563,281
|
||
$ 3,207,125
|
||||
Publishing - 0.6%
|
||||
855,000
|
Gannett Co., Inc., 6.375%, 10/15/23
|
$ 910,575
|
||
Total Media
|
$ 6,282,981
|
|||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.9%
|
||||
Biotechnology - 0.9%
|
||||
300,000
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$ 316,530
|
||
1,043,000
|
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
|
990,850
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 1,307,380
|
|||
REAL ESTATE - 0.4%
|
||||
Diversified REIT - 0.1%
|
||||
200,000
|
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19
|
$ 204,000
|
||
Real Estate Operating Companies - 0.3%
|
||||
410,000
|
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A)
|
$ 401,800
|
||
Total Real Estate
|
$ 605,800
|
|||
RETAILING - 1.4%
|
||||
Automotive Retail - 0.6%
|
||||
925,000
|
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A)
|
$ 864,875
|
||
Computer & Electronics Retail - 0.1%
|
||||
235,000
|
Rent-A-Center, Inc., 6.625%, 11/15/20
|
$ 225,600
|
||
Department Stores - 0.6%
|
||||
625,000
|
Grupo Famsa SAB de CV, 7.25%, 6/1/20 (144A)
|
$ 581,250
|
||
350,000
|
Neiman Marcus Group, Ltd. LLC, 8.0%, 10/15/21 (144A)
|
362,250
|
||
$ 943,500
|
||||
Specialty Stores - 0.1%
|
||||
85,000
|
Outerwall, Inc., 6.0%, 3/15/19
|
$ 83,300
|
||
Total Retailing
|
$ 2,117,275
|
|||
Principal
Amount
USD ($)
|
Value
|
||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.6%
|
|||
Semiconductors - 0.6%
|
|||
210,000
|
Advanced Micro Devices, Inc., 6.75%, 3/1/19
|
$ 199,500
|
|
285,000
|
Advanced Micro Devices, Inc., 7.0%, 7/1/24
|
248,662
|
|
500,000
|
Advanced Micro Devices, Inc., 7.5%, 8/15/22
|
471,875
|
|
Total Semiconductors & Semiconductor Equipment
|
$ 920,037
|
||
SOFTWARE & SERVICES - 0.5%
|
|||
Data Processing & Outsourced Services - 0.5%
|
|||
404,000
|
First Data Corp., 8.25%, 1/15/21 (144A)
|
$ 430,765
|
|
162,000
|
First Data Corp., 10.625%, 6/15/21
|
183,465
|
|
225,000
|
NeuStar, Inc., 4.5%, 1/15/23
|
196,875
|
|
Total Software & Services
|
$ 811,105
|
||
TECHNOLOGY HARDWARE & EQUIPMENT - 0.2%
|
|||
Electronic Equipment & Instruments - 0.2%
|
|||
315,000
|
Zebra Technologies Corp., 7.25%, 10/15/22 (144A)
|
$ 337,838
|
|
Total Technology Hardware & Equipment
|
$ 337,838
|
||
TELECOMMUNICATION SERVICES - 2.6%
|
|||
Integrated Telecommunication Services - 1.0%
|
|||
186,000
|
Cincinnati Bell, Inc., 8.75%, 3/15/18
|
$ 190,836
|
|
300,000
|
Frontier Communications Corp., 8.75%, 4/15/22
|
340,500
|
|
350,000
|
PAETEC Holding Corp., 9.875%, 12/1/18
|
369,250
|
|
600,000
|
Windstream Corp., 7.5%, 6/1/22
|
598,500
|
|
$ 1,499,086
|
|||
Wireless Telecommunication Services - 1.6%
|
|||
250,000
|
Altice Finco SA, 8.125%, 1/15/24 (144A)
|
$ 259,375
|
|
300,000
|
Altice SA, 7.75%, 5/15/22 (144A)
|
310,500
|
|
340,000
|
Sprint Corp., 7.125%, 6/15/24
|
330,650
|
|
165,000
|
Sprint Corp., 7.25%, 9/15/21
|
164,753
|
|
250,000
|
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
|
248,155
|
|
1,115,000
|
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A)
|
1,053,675
|
|
RUB
|
6,100,000
|
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)
|
68,607
|
$ 2,435,715
|
|||
Total Telecommunication Services
|
$ 3,934,801
|
||
TRANSPORTATION - 3.5%
|
|||
Airlines - 0.8%
|
|||
545,000
|
Gol LuxCo SA, 8.875%, 1/24/22 (144A)
|
$ 488,184
|
|
155,000
|
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)
|
150,737
|
|
500,000
|
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)
|
519,250
|
|
$ 1,158,171
|
|||
Airport Services - 0.9%
|
|||
557,760
|
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)
|
$ 586,345
|
|
800,000
|
Aguila 3 SA, 7.875%, 1/31/18 (144A)
|
788,000
|
|
$ 1,374,345
|
|||
Highways & Railtracks - 0.2%
|
|||
MXN
|
4,500,000
|
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A)
|
$ 292,297
|
Marine - 0.4%
|
|||
500,000
|
Far East Capital, Ltd. SA, 8.0%, 5/2/18 (144A)
|
$ 175,000
|
|
375,000
|
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)
|
358,125
|
|
$ 533,125
|
|||
Railroads - 0.5%
|
|||
366,315(g)
|
AAF Holdings LLC / AAF Finance Co., 12.0% (12.75% PIK 12.0% cash), 7/1/19 (144A)
|
$ 351,662
|
|
485,000
|
Florida East Coast Holdings Corp., 6.75%, 5/1/19 (144A)
|
478,938
|
|
$ 830,600
|
|||
Trucking - 0.7%
|
|||
1,000,000
|
Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A)
|
$ 1,032,500
|
|
Total Transportation
|
$ 5,221,038
|
||
UTILITIES - 1.8%
|
|||
Electric Utilities - 1.3%
|
|||
500,000
|
Cia de Energia Electrica en Alta Tension Transener SA, 9.75%, 8/15/21 (144A)
|
$ 381,250
|
|
375,000
|
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A)
|
373,125
|
|
225,000
|
DTEK Finance Plc, 7.875%, 4/4/18 (144A)
|
90,172
|
Principal
Amount
USD ($)
|
Value
|
||
Electric Utilities (continued)
|
|||
419,000
|
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
|
$282,026
|
|
460,000(b)
|
Enel S.p.A., 8.75%, 9/24/73 (144A)
|
544,985
|
|
225,000
|
PNM Resources, Inc., 9.25%, 5/15/15
|
230,316
|
|
$ 1,901,874
|
|||
Gas Utilities - 0.5%
|
|||
867,450
|
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A)
|
$ 850,101
|
|
Total Utilities
|
$ 2,751,975
|
||
TOTAL CORPORATE BONDS & NOTES
|
|||
(Cost $149,854,053)
|
$ 142,558,343
|
||
CONVERTIBLE BONDS & NOTES - 2.5% of Net Assets
|
|||
DIVERSIFIED FINANCIALS - 0.1%
|
|||
Asset Management & Custody Banks - 0.1%
|
|||
120,000
|
Apollo Investment Corp., 5.75%, 1/15/16
|
$ 122,475
|
|
Total Diversified Financials
|
$ 122,475
|
||
HEALTH CARE EQUIPMENT & SERVICES - 1.0%
|
|||
Health Care Equipment & Services - 1.0%
|
|||
1,040,000(c)
|
Hologic, Inc., 2.0%, 12/15/37
|
$ 1,440,400
|
|
Health Care Services - 0.0%†
|
|||
15,000
|
Omnicare, Inc., 3.25%, 12/15/35
|
$ 16,153
|
|
Total Health Care Equipment & Services
|
$ 1,456,553
|
||
MATERIALS - 1.2%
|
|||
Diversified Chemicals - 1.2%
|
|||
1,900,000(j)
|
Hercules, Inc., 6.5%, 6/30/29
|
$ 1,757,500
|
|
Diversified Metals & Mining - 0.0%†
|
|||
100,000
|
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16
|
$ 91,750
|
|
Total Materials
|
$ 1,849,250
|
||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.1%
|
|||
Biotechnology - 0.1%
|
|||
250,000
|
Corsicanto, Ltd., 3.5%, 1/15/32
|
$ 147,500
|
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 147,500
|
||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1%
|
|||
Semiconductors - 0.1%
|
|||
250,000
|
ReneSola, Ltd., 4.125%, 3/15/18 (144A)
|
$ 137,500
|
|
Total Semiconductors & Semiconductor Equipment
|
$ 137,500
|
||
TOTAL CONVERTIBLE BONDS & NOTES
|
|||
(Cost $2,762,526)
|
$ 3,713,278
|
||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 8.3% of Net Assets
|
|||
3,130,000(a)
|
U.S. Treasury Notes, 0.09%, 7/31/16
|
$ 3,129,938
|
|
3,125,000(a)
|
U.S. Treasury Notes, 0.065%, 1/31/16
|
3,124,566
|
|
3,125,000(a)
|
U.S. Treasury Notes, 0.073%, 10/31/16
|
3,123,509
|
|
3,130,000(a)
|
U.S. Treasury Notes, 0.089%, 4/30/16
|
3,129,909
|
|
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
|
|||
(Cost $12,509,470)
|
$ 12,507,922
|
||
SOVEREIGN DEBT OBLIGATIONS - 1.1% of Net Assets
|
|||
Argentina - 0.2%
|
|||
341,200
|
Province of Salta Argentina, 9.5%, 3/16/22 (144A)
|
$ 324,140
|
|
Ghana - 0.3%
|
|||
500,000
|
Republic of Ghana, 7.875%, 8/7/23 (144A)
|
$ 437,500
|
|
Mexico - 0.5%
|
|||
MXN
|
8,870,000
|
Mexican Bonos, 7.75%, 11/13/42
|
$ 741,779
|
MXN
|
317,117
|
Mexican Udibonos, 3.5%, 12/14/17
|
22,661
|
$ 764,440
|
|||
Ukraine - 0.1%
|
|||
100,000
|
Ukraine Government International Bond, 6.75%, 11/14/17 (144A)
|
$ 51,900
|
|
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
|||
(Cost $1,656,996)
|
$ 1,577,980
|
||
Shares
|
Value
|
||
COMMON STOCKS - 1.0% of Net Assets
|
|||
DIVERSIFIED FINANCIALS - 0.0%†
|
|||
Other Diversified Financial Services - 0.0%†
|
|||
731(k)
|
BTA Bank JSC (G.D.R.)
|
$ 416
|
|
Total Diversified Financials
|
$ 416
|
||
INSURANCE - 0.4%
|
|||
Reinsurance - 0.4%
|
|||
600,000(k)
|
Altair Re III, Ltd.
|
$ 602,880
|
|
Total Insurance
|
$ 602,880
|
||
MATERIALS - 0.0%†
|
|||
Diversified Metals & Mining - 0.0%†
|
|||
AUD
|
1,587,442(d)(k)
|
Mirabela Nickel, Ltd.
|
$ 35,818
|
Total Materials
|
$ 35,818
|
||
SOFTWARE & SERVICES - 0.0%†
|
|||
Systems Software - 0.0%†
|
|||
2,114(d)(k)
|
Perseus Holding Corp.
|
$ –
|
|
Total Software & Services
|
$ –
|
||
TRANSPORTATION - 0.6%
|
|||
Air Freight & Logistics - 0.5%
|
|||
943(d)(k)
|
CEVA Holdings LLC
|
$ 683,900
|
|
Marine - 0.1%
|
|||
247,509(d)(k)
|
Horizon Lines, Inc.
|
$ 155,930
|
|
Total Transportation
|
$ 839,830
|
||
TOTAL COMMON STOCKS
|
|||
(Cost $2,192,469)
|
$ 1,478,944
|
||
CONVERTIBLE PREFERRED STOCKS - 0.4% of Net Assets
|
|||
DIVERSIFIED FINANCIALS - 0.4%
|
|||
Other Diversified Financial Services - 0.4%
|
|||
470(f)
|
Bank of America Corp., 7.25%
|
$ 554,130
|
|
Total Diversified Financials
|
$ 554,130
|
||
ENERGY - 0.0%†
|
|||
Oil & Gas Exploration & Production - 0.0%†
|
|||
200(f)
|
Halcon Resources Corp., 5.75%
|
$ 53,175
|
|
Total Energy
|
$ 53,175
|
||
TOTAL CONVERTIBLE PREFERRED STOCKS
|
|||
(Cost $524,900)
|
$ 607,305
|
||
PREFERRED STOCKS - 2.9% of Net Assets
|
|||
BANKS - 0.3%
|
|||
Diversified Banks - 0.3%
|
|||
500(b)(f)
|
AgStar Financial Services ACA, 6.75%
|
$ 517,625
|
|
Total Banks
|
$ 517,625
|
||
DIVERSIFIED FINANCIALS - 0.7%
|
|||
Other Diversified Financial Services - 0.7%
|
|||
40,675(b)
|
GMAC Capital Trust I, 8.125%
|
$ 1,069,752
|
|
Total Diversified Financials
|
$ 1,069,752
|
||
INSURANCE - 1.9%
|
|||
Reinsurance - 1.9%
|
|||
1,563,217(d)(k)
|
Altair Re II, Ltd.
|
$ 1,113,011
|
|
15,000(d)(k)
|
Lorenz Re, Ltd.
|
1,719,000
|
|
Total Insurance
|
$ 2,832,011
|
||
SOFTWARE & SERVICES - 0.0%†
|
|||
Data Processing & Outsourced Services - 0.0%†
|
|||
1,110(d)(k)
|
Perseus Holding Corp., 14.0%
|
$ –
|
|
Total Software & Services
|
$ –
|
||
TOTAL PREFERRED STOCKS
|
|||
(Cost $3,883,605)
|
$ 4,419,388
|
||
Principal
Amount
USD ($)
|
Value
|
||
TEMPORARY CASH INVESTMENTS - 0.7% - of Net Assets
|
|||
COMMERCIAL PAPER: 0.7%
|
|||
535,000
|
Barclays Bank Plc, 0.1%, 2/2/15
|
$ 534,994
|
|
535,000
|
Prudential Funding LLC, 0.06%, 2/2/15
|
534,996
|
|
$ 1,069,990
|
|||
TOTAL TEMPORARY CASH INVESTMENTS
|
|||
(Cost $1,069,998)
|
1,069,990
|
||
TOTAL INVESTMENTS IN SECURITIES - 144.7%
|
|||
(Cost - $225,170,976) (l)(m)
|
217,373,850
|
||
OTHER ASSETS AND LIABILITIES - (44.7)%
|
$ (67,147,871)
|
||
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS - 100.0%
|
$ 150,225,979
|
||
†
|
Amount rounds to less than 0.1%.
|
|
(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, 2015, the value of these securities amounted to $90,435,011, or 60.2% of total net assets applicable to common shareowners.
|
|
(Cat Bond)
|
Catastrophe bond is a high yield debt instrument that is usually linked and meant to raise money in case of catastrophe.
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at January 31, 2015.
|
(a)
|
Floating rate note. The rate shown is the coupon rate at January 31, 2015.
|
(b)
|
The interest rate is subject to change periodically. The interest rate shown is the rate at January 31, 2015.
|
(c)
|
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at January 31, 2015.
|
(d)
|
Indicates a security that has been deemed illiquid. As of January 31, 2015 the aggregate cost of illiquid securities in the Trust's portfolio was $22,047,265. As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $24,429,519 represented 16.3% of total net assets applicable to common shareowners.
|
(e)
|
Security is in default and is non income producing.
|
(f)
|
Security is perpetual in nature and has no stated maturity date.
|
(g)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
(h)
|
Security is valued using fair value methods (other than prices supplied by independent pricing services or broker-dealers).
|
(i)
|
Security issued with a zero coupon. Income is recognized through accretion of discount.
|
(j)
|
Security is priced as a unit.
|
(k)
|
Non-income producing.
|
(l)
|
At January 31, 2015, the net unrealized depreciation on investments based on cost for federal tax purposes of $227,511,610 was as follows:
|
||
Aggregate gross unrealized appreciation for all investments in which there
|
|||
is an excess of value over tax cost
|
$ 8,757,538
|
||
Aggregate gross unrealized depreciation for all investments in which there
|
|||
is an excess of tax cost over value
|
(18,895,298)
|
||
Net unrealized depreciation
|
$ (10,137,760)
|
||
For financial reporting purposes net unrealized depreciation on investments was $7,797,126 and cost of investments aggregated $225,170,976.
|
|||
(m)
|
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
|
|
United States
|
67.9%
|
|
Bermuda
|
7.5
|
|
Cayman Islands
|
5.2
|
|
Luxembourg
|
3.7
|
|
Ireland
|
2.8
|
|
Argentina
|
2.1
|
|
Netherlands
|
1.6
|
|
Mexico
|
1.4
|
|
Other (individually less than 1%)
|
7.8
|
|
100.0%
|
||
Glossary of Terms:
|
|
(G.D.R.)
|
Global Depositary Receipt
|
REIT
|
Real Estate Investment Trust
|
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
AUD
|
-
|
Australian Dollar
|
EUR
|
-
|
Euro
|
GBP
|
-
|
Great British Pound
|
MXN
|
-
|
Mexican Peso
|
RUB
|
-
|
Russian Ruble
|
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
|
||||
Level 1 - quoted prices in active markets for identical securities.
|
||||
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment
|
||||
speeds, credit risks, etc.).
|
||||
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
|
||||
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2, and securities valued using fair value methods (other than prices supplied by independent pricing services or broker dealers) as Level 3.
|
||||
The following is a summary of the inputs used as of January 31, 2015, in valuing the Trust's investments.
|
||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Asset Backed Securities
|
$ –
|
$ 2,512,340
|
$ –
|
$ 2,512,340
|
Collateralized Mortgage Obligations
|
–
|
3,635,862
|
–
|
3,635,862
|
Commercial Mortgage-Backed Securities
|
–
|
755,929
|
–
|
755,929
|
Senior Secured Floating
Rate Loan Interests
|
–
|
42,536,569
|
–
|
42,536,569
|
Corporate Bonds & Notes
|
||||
Insurance
|
||||
Property & Casualty Insurance
|
–
|
2,088,700
|
4,776,238
|
6,864,938
|
Reinsurance
|
–
|
16,881,293
|
24,824,226
|
41,705,519
|
All Other Corporate Bonds & Notes
|
–
|
93,987,886
|
–
|
93,987,886
|
Convertible Bonds & Notes
|
–
|
3,713,278
|
–
|
3,713,278
|
U.S. Government and Agency Obligations
|
–
|
12,507,922
|
–
|
12,507,922
|
Sovereign Debt Obligations
|
–
|
1,577,980
|
–
|
1,577,980
|
Common Stocks
|
||||
Insurance
|
||||
Reinsurance
|
–
|
–
|
602,880
|
602,880
|
Software & Services
|
||||
Systems Software
|
–
|
–*
|
–
|
–*
|
Transportation
|
||||
Air Freight & Logistics
|
–
|
683,900
|
–
|
683,900
|
All Other Common Stocks
|
192,164
|
–
|
–
|
192,164
|
Convertible Preferred Stocks
|
607,305
|
–
|
–
|
607,305
|
Preferred Stocks
|
||||
Insurance
|
||||
Reinsurance
|
–
|
–
|
2,832,011
|
2,832,011
|
Software & Services
|
||||
Data Processing & Outsourced Services
|
–
|
–*
|
–
|
–*
|
All Other Preferred Stocks
|
1,587,377
|
–
|
–
|
1,587,377
|
Commercial Paper
|
–
|
1,069,990
|
–
|
1,069,990
|
Total Investments in Securities
|
$ 2,386,846
|
$ 181,951,649
|
$ 33,035,355
|
$ 217,373,850
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Other Financial Instruments
|
||||
Net unrealized appreciation on forward foreign currency contracts
|
$ –
|
$ 832,040
|
$ –
|
$ 832,040
|
Total Other Financial Instruments
|
$ –
|
$ 832,040
|
$ –
|
$ 832,040
|
* Securities in this category are valued at $0.
|
The following is a summary of the fair valuation of certain of the Trust's assets and liabilities as of January 31, 2015
|
||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||
Assets:
|
||||||||
Foreign currencies, at value
|
$ –
|
$ 755,086
|
$ –
|
$ 755,086
|
||||
Liabilities:
|
(64,000,000)
|
(64,000,000)
|
||||||
Outstanding borrowings
|
–
|
(64,000,000)
|
–
|
(64,000,000)
|
||||
Total
|
$ –
|
$ (63,244,914)
|
$ –
|
$ (63,244,914)
|
||||
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
|
|||||||||||||||||
Change in
|
|||||||||||||||||
Balance
|
Realized
|
unrealized
|
Accrued
|
Transfers
|
Transfers
|
Balance
|
|||||||||||
as of
|
gain
|
appreciation
|
discounts/
|
in to
|
out of
|
as of
|
|||||||||||
4/30/14
|
(loss)
|
(depreciation)
|
Purchases
|
Sales
|
premiums
|
Level 3*
|
Level 3*
|
1/31/15
|
|||||||||
Corporate Bonds & Notes
|
|||||||||||||||||
Insurance
|
|||||||||||||||||
Property & Casualty Insurance
|
$3,588,313
|
$–
|
$1,187,925
|
$–
|
$–
|
$–
|
$–
|
$–
|
$4,776,238
|
||||||||
Reinsurance
|
8,046,566
|
11,462
|
892,549
|
17,674,625
|
(2,006,000)
|
205,024
|
–
|
–
|
24,824,226
|
||||||||
Materials
|
|||||||||||||||||
Diversified Metals & Mining
|
146,250
|
–
|
3,750
|
50,000
|
(200,000)
|
–
|
–
|
–
|
–
|
||||||||
Common Stocks
|
|||||||||||||||||
Insurance
|
|||||||||||||||||
Reinsurance
|
–
|
–
|
4,980
|
597,900
|
–
|
–
|
–
|
–
|
602,880
|
||||||||
Software & Services
|
|||||||||||||||||
Systems Software
|
–**
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
||||||||
Preferred Stocks
|
|||||||||||||||||
Insurance
|
|||||||||||||||||
Reinsurance
|
6,852,231
|
156,024
|
(305,141)
|
–
|
(3,871,103)
|
–
|
–
|
–
|
2,832,011
|
||||||||
Software & Services
|
|||||||||||||||||
Systems Software
|
–**
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
||||||||
Total
|
$ 18,633,360
|
$167,486
|
$1,784,063
|
$18,322,525
|
$(6,077,103)
|
$205,024
|
$ –
|
$–
|
$33,035,355
|
||||||||
* Transfers are calculated on the beginning of period values. During the nine months ended January 31, 2015, there were no transfers between Levels 1, 2 and 3.
|
|||||||||||||||||
** Securities in this category are valued at $0.
|
|||||||||||||||||
Net change in unrealized appreciation of Level 3 investments still held and considered Level 3 at January 31, 2015: $1,166,177.
|
|||||||||||||||||
The following table presents additional information about valuation techniques and inputs used for investments that were measured
|
|||||
at fair value and categorized as Level 3 at January 31, 2015:
|
|||||
Fair Value
|
Valuation
|
Unobservable
|
Value/
|
||
1/31/15
|
Technique(s)
|
Input
|
Range
|
||
Corporate Bonds & Notes**
|
$ 4,776,238
|
Market Comparables
|
Yield Premium
|
1.05%
|
|
Corporate Bonds & Notes
|
$ 24,824,226
|
Broker Quote
|
Proprietary Broker Model
|
$13.77 – 118.13 per bond
|
|
Preferred Stocks
|
$ 602,880
|
Broker Quote
|
Proprietary Broker Model
|
$1.0048 per share
|
|
Preferred Stocks
|
$ 2,832,011
|
Broker Quote
|
Proprietary Broker Model
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$0.712 – 114.60 per share
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** The significant unobservable input used in the fair value measurement of corporate bonds & notes is yield premium. Significant increase (decreases) in this input would result in a significantly higher (lower) fair value measurement.
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