OMB APPROVAL OMB Number: 3235-0578 Expires: April 30, 2013 Estimated average burden hours per response..... 5.6 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-21043 Pioneer High Income Trust (Exact name of registrant as specified in charter) 60 State Street, Boston, MA 02109 (Address of principal executive offices) (ZIP code) Dorothy E. Bourassa, Pioneer Investment Management, Inc., 60 State Street, Boston, MA 02109 (Name and address of agent for service) Registrant's telephone number, including area code: (617) 742-7825 Date of fiscal year end: March 31 Date of reporting period: January 31, 2013 Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. <PAGE> ITEM 1. Schedule of Investments.
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
ASSET BACKED SECURITIES - 1.5% of Net Assets
|
|||||
BANKS - 0.2%
|
|||||
Thrifts & Mortgage Finance - 0.2%
|
|||||
196,743(a)
|
CCC/Caa3
|
Amortizing Residential Collateral Trust, Series 2002-BC1, Class M1, 1.485%, 1/25/32
|
$ 105,028
|
||
280,000(a)
|
CCC/Caa3
|
Bear Stearns Asset Backed Securities Trust, Series 2007-2, Class A3, .66%, 1/25/47
|
127,452
|
||
125,000
|
BB/NR
|
CarNow Auto Receivables Trust, Series 2012-1A, Class D, 6.9%, 11/15/16 (144A)
|
125,335
|
||
408,327(a)
|
CCC/Caa1
|
Citigroup Mortgage Loan Trust, Inc., Series 2007-AHL3, Class A3A, .27%, 7/25/45
|
292,737
|
||
250,000(b)
|
CCC/B3
|
Security National Mortgage Loan Trust, Series 2007-1A, Class 1A3, 6.55%, 4/25/37 (144A)
|
239,626
|
||
Total Banks
|
$ 890,178
|
||||
CONSUMER SERVICES - 0.7%
|
|||||
Hotels, Resorts & Cruise Lines - 0.7%
|
|||||
442,542
|
BB/NR
|
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)
|
$ 450,286
|
||
2,467,742
|
NR/NR
|
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A)
|
2,444,916
|
||
Total Consumer Services
|
$ 2,895,202
|
||||
TRANSPORTATION - 0.6%
|
|||||
Airlines - 0.6%
|
|||||
1,489,550(a)
|
CCC/Caa1
|
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.689%, 5/15/24 (144A)
|
$ 670,298
|
||
2,149(a)
|
B-/Ba3
|
Aircraft Finance Trust, Series 1999-1A, Class A2, 0.709%, 5/15/24 (144A)
|
1,934
|
||
755,056(a)
|
B-/Caa2
|
Aviation Capital Group Trust, Series 2000-1A, Class A1, 0.689%, 11/15/25 (144A)
|
362,427
|
||
1,651,860(a)
|
CCC+/Caa2
|
Lease Investment Flight Trust, Series 1, Class A1, 0.599%, 7/15/31
|
1,143,913
|
||
Total Transportation
|
$ 2,178,572
|
||||
TOTAL ASSET BACKED SECURITIES
|
|||||
(Cost $5,847,030)
|
$ 5,963,952
|
||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.5% of Net Assets
|
|||||
BANKS - 0.4%
|
|||||
Thrifts & Mortgage Finance - 0.4%
|
|||||
1,504,000(a)
|
CCC/Caa2
|
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A2, .41%, 2/25/37
|
$ 1,189,300
|
||
315,942(a)
|
NR/NR
|
WaMu Mortgage Pass Through Certificates, Series 2006-AR16, Class 3A1, 4.818%, 12/25/36
|
284,676
|
||
Total Banks
|
$ 1,473,976
|
||||
DIVERSIFIED FINANCIALS - 0.1%
|
|||||
Investment Banking & Brokerage - 0.1%
|
|||||
500,000(b)
|
BBB-/NR
|
Bear Stearns Commercial Mortgage Securities, Series 2001-TOP2, Class D, 6.94%, 2/15/35 (144A)
|
$ 499,116
|
||
Total Diversified Financials
|
$ 499,116
|
||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|||||
(Cost $2,056,977)
|
$ 1,973,092
|
||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 6.0% of Net Assets *
|
|||||
CAPITAL GOODS - 0.8%
|
|||||
Aerospace & Defense - 0.8%
|
|||||
3,073,851
|
B/Caa1
|
API Technologies Corp., Term Loan, 8.75%, 6/27/16
|
$ 3,027,743
|
||
Total Capital Goods
|
$ 3,027,743
|
||||
ENERGY - 0.4%
|
|||||
Coal & Consumable Fuels - 0.2%
|
|||||
750,000
|
NR/NR
|
PT Bumi Resources Tbk, Term Loan, 11.208%, 8/7/13
|
$ 738,750
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Environmental Facilities & Services - 0.2%
|
|||||
666,705
|
NR/B3
|
Aquilex Holdings LLC, Term Loan, 8.75%, 4/1/16
|
$ 668,371
|
||
Total Energy
|
$ 1,407,121
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 0.5%
|
|||||
Health Care Services - 0.2%
|
|||||
750,141
|
B/B2
|
National Specialty Hospitals, Inc., Initial Term Loan, 8.25%, 2/3/17
|
$ 733,262
|
||
Health Care Technology - 0.3%
|
|||||
1,260,000
|
CCC/Caa3
|
Medical Card System, Inc., Term Loan, 12.25%, 9/17/15
|
$ 1,127,700
|
||
Total Health Care Equipment & Services
|
$ 1,860,962
|
||||
INSURANCE - 1.4%
|
|||||
Insurance Brokers - 1.1%
|
|||||
4,175,000
|
CCC+/B3
|
AmWINS Group, Inc., Second Lien, Term Loan, 9.25%, 12/6/19
|
$ 4,227,188
|
||
Property & Casualty Insurance - 0.3%
|
|||||
1,400,000
|
CCC/Caa2
|
Confie Seguros Holding II Co.,, 10.25%, 5/8/19
|
$ 1,397,669
|
||
Total Insurance
|
$ 5,624,857
|
||||
MATERIALS - 0.2%
|
|||||
Diversified Metals & Mining - 0.0%+
|
|||||
126,444
|
NR/NR
|
Long Haul Holdings, Ltd., Facility Term Loan A, 0.0%, 1/12/13
|
$ 68,279
|
||
100,918
|
NR/NR
|
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/12/13
|
54,496
|
||
$ 122,775
|
|||||
Steel - 0.2%
|
|||||
798,000
|
B/B1
|
Essar Steel Algoma, Inc., Term Loan, 8.75%, 9/19/14
|
$ 796,005
|
||
Total Materials
|
$ 918,780
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.7%
|
|||||
Pharmaceuticals - 0.7%
|
|||||
2,664,750
|
NR/NR
|
KV Pharmaceuticals, 0.0%, 12/5/13
|
$ 2,584,808
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 2,584,808
|
||||
RETAILING - 0.4%
|
|||||
Computer & Electronics Retail - 0.4%
|
|||||
1,477,501
|
B/B2
|
Targus Group International, Inc., Term Loan, 11.0%, 5/24/16
|
$ 1,484,889
|
||
Total Retailing
|
$ 1,484,889
|
||||
SOFTWARE & SERVICES - 1.4%
|
|||||
Application Software - 1.1%
|
|||||
1,700,000
|
B+/B1
|
Applied Systems, Inc., Second Lien Term Loan, 9.5%, 6/8/17
|
$ 1,709,916
|
||
2,500,000
|
CCC+/Caa1
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
|
2,512,500
|
||
$ 4,222,416
|
|||||
IT Consulting & Other Services - 0.3%
|
|||||
443,368
|
CCC+/B3
|
BNY ConvergEX Group LLC, Second Lien (EZE) Term Loan, 8.75%, 12/18/17
|
$ 418,982
|
||
1,056,633
|
CCC+/B3
|
BNY ConvergEX Group LLC, Second Lien (TOP) Term Loan, 8.75%, 12/18/17
|
998,518
|
||
$ 1,417,500
|
|||||
Total Software & Services
|
$ 5,639,916
|
||||
UTILITIES - 0.2%
|
|||||
Electric Utilities - 0.2%
|
|||||
1,316,443
|
CCC/Caa1
|
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.81%, 10/10/17
|
$ 886,484
|
||
Total Utilities
|
$ 886,484
|
||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||
(Cost $23,701,163)
|
$ 23,435,560
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
CORPORATE BONDS & NOTES - 107.8% of Net Assets
|
|||||
AUTOMOBILES & COMPONENTS - 3.2%
|
|||||
Auto Parts & Equipment - 1.4%
|
|||||
1,140,000
|
B/Caa1
|
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
|
$ 1,057,350
|
||
4,535,000(c)
|
NR/NR
|
Lear Corp., 0.0%
|
–
|
||
309,000
|
BB-/B1
|
Tomkins LLC/Tomkins, Inc., 9.0%, 10/1/18
|
346,080
|
||
3,579,000
|
B+/B1
|
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc., 10.625%, 9/1/17 (144A)
|
3,919,005
|
||
$ 5,322,435
|
|||||
Automobile Manufacturers - 1.8%
|
|||||
6,000,000
|
B/B2
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.0%, 6/15/19
|
$ 6,540,000
|
||
500,000
|
B/B2
|
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21
|
550,000
|
||
$ 7,090,000
|
|||||
Total Automobiles & Components
|
$ 12,412,435
|
||||
BANKS - 0.7%
|
|||||
Diversified Banks - 0.4%
|
|||||
1,265,000(b)(d)
|
BB+/B1
|
ABN Amro North American Holding Preferred Capital Repackage Trust I, 3.407%, 12/29/49 (144A)
|
$ 1,265,000
|
||
Regional Banks - 0.3%
|
|||||
1,225,000(b)(d)
|
BBB/Baa3
|
PNC Financial Services Group, Inc., 8.25%, 5/29/49
|
$ 1,246,437
|
||
Total Banks
|
$ 2,511,437
|
||||
CAPITAL GOODS - 11.0%
|
|||||
Aerospace & Defense - 1.9%
|
|||||
3,300,000
|
B/B3
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$ 3,366,000
|
||
3,889,000
|
B-/B2
|
DynCorp International, Inc., 10.375%, 7/1/17
|
3,558,435
|
||
295,000
|
B/B1
|
GeoEye, Inc., 9.625%, 10/1/15
|
325,975
|
||
$ 7,250,410
|
|||||
Building Products - 0.8%
|
|||||
2,212,130
|
NR/NR
|
Industrias Unidas SA de C.V., 11.5%, 11/15/16
|
$ 1,408,435
|
||
2,375,000
|
C/Caa3
|
New Enterprise Stone & Lime Co., Inc., 11.0%, 9/1/18
|
1,781,250
|
||
$ 3,189,685
|
|||||
Construction & Engineering - 0.4%
|
|||||
1,500,000
|
B+/B1
|
Abengoa Finance SAU, 8.875%, 11/1/17 (144A)
|
$ 1,410,000
|
||
Construction & Farm Machinery & Heavy Trucks - 1.7%
|
|||||
363,000
|
B+/B3
|
American Railcar Industries, Inc., 7.5%, 3/1/14
|
$ 365,722
|
||
774,000
|
B+/B3
|
Manitowoc Co., Inc., 9.5%, 2/15/18
|
861,075
|
||
4,760,000
|
CCC/Caa1
|
Stanadyne Holdings, Inc., 10.0%, 8/15/14
|
4,414,900
|
||
1,500,000(e)
|
CCC-/Caa3
|
Stanadyne Holdings, Inc., 12.0%, 2/15/15
|
1,020,000
|
||
$ 6,661,697
|
|||||
Electrical Components & Equipment - 0.5%
|
|||||
2,000,000
|
B/B3
|
WireCo WorldGroup, Inc., 9.5%, 5/15/17
|
$ 2,120,000
|
||
Industrial Conglomerates - 0.2%
|
|||||
605,000
|
B+/B2
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
$ 625,419
|
||
Industrial Machinery - 3.5%
|
|||||
1,040,000
|
B/B2
|
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
|
$ 1,073,800
|
||
3,180,000(f)
|
NR/WR
|
Indalex Holding Corp., 11.5%, 2/1/14
|
12,084
|
||
1,080,000
|
B/Caa2
|
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
|
999,000
|
||
5,170,000
|
CCC+/Caa2
|
Mueller Water Products, Inc., 7.375%, 6/1/17
|
5,338,025
|
||
2,440,000
|
B+/NR
|
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A)
|
2,098,400
|
||
4,500,000
|
B/B3
|
Xerium Technologies, Inc., 8.875%, 6/15/18
|
4,050,000
|
||
$ 13,571,309
|
|||||
Trading Companies & Distributors - 2.0%
|
|||||
1,727,000
|
B-/B3
|
INTCOMEX, Inc., 13.25%, 12/15/14
|
$ 1,787,445
|
||
2,510,000
|
B-/B3
|
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19 (144A)
|
2,610,400
|
||
3,370,000
|
B/B2
|
WESCO Distribution, Inc., 7.5%, 10/15/17
|
3,414,484
|
||
$ 7,812,329
|
|||||
Total Capital Goods
|
$ 42,640,849
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
COMMERCIAL & PROFESSIONAL SERVICES - 0.2%
|
|||||
Environmental & Facilities Services - 0.2%
|
|||||
892,000
|
CCC+/B3
|
Brickman Group Holdings, Inc., 9.125%, 11/1/18 (144A)
|
$ 934,370
|
||
2,180,000(f)
|
NR/WR
|
Old AII, Inc., 10.0%, 12/15/16
|
218
|
||
Total Commercial & Professional Services
|
$ 934,588
|
||||
CONSUMER DURABLES & APPAREL - 5.0%
|
|||||
Homebuilding - 1.1%
|
|||||
3,115,000
|
CCC/Caa3
|
Beazer Homes USA, Inc., 9.125%, 6/15/18
|
$ 3,247,387
|
||
750,000
|
CCC/Caa3
|
Beazer Homes USA, Inc., 9.125%, 5/15/19
|
784,688
|
||
400,000
|
NR/Ba3
|
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A)
|
379,000
|
||
$ 4,411,075
|
|||||
Housewares & Specialties - 2.7%
|
|||||
1,435,000
|
B/B2
|
Jarden Corp., 7.5%, 5/1/17
|
$ 1,616,169
|
||
3,000,000
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 9.0%, 4/15/19
|
3,120,000
|
||
1,430,000
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 9.875%, 8/15/19
|
1,530,100
|
||
107,000
|
CCC+/B3
|
Yankee Candle Co., Inc., 8.5%, 2/15/15
|
107,535
|
||
2,500,000
|
CCC+/B3
|
Yankee Candle Co., Inc., 9.75%, 2/15/17
|
2,603,150
|
||
1,425,000(g)
|
CCC+/Caa1
|
YCC Holdings LLC / Yankee Finance, Inc., 10.25%, 2/15/16
|
1,471,455
|
||
$ 10,448,409
|
|||||
Leisure Products - 1.2%
|
|||||
EUR
|
800,000
|
CCC/Caa2
|
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
|
$ 913,371
|
|
4,000,000
|
B/B2
|
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)
|
3,740,000
|
||
$ 4,653,371
|
|||||
Total Consumer Durables & Apparel
|
$ 19,512,855
|
||||
CONSUMER SERVICES - 5.1%
|
|||||
Business Services - 0.7%
|
|||||
1,750,000
|
B/B1
|
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A)
|
$ 1,776,250
|
||
1,100,000
|
B-/Caa2
|
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18
|
775,500
|
||
$ 2,551,750
|
|||||
Casinos & Gaming - 1.2%
|
|||||
1,650,000(f)
|
NR/WR
|
Buffalo Thunder Development Authority, 9.375%, 12/15/14 (144A)
|
$ 577,500
|
||
2,255,000
|
CCC/Caa2
|
Codere Finance Luxembourg SA, 9.25%, 2/15/19 (144A)
|
1,713,800
|
||
1,475,000
|
NR/NR
|
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A)
|
1,393,875
|
||
1,375,000(f)(h)
|
NR/WR
|
Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (144A)
|
82,500
|
||
740,000
|
CCC/Caa2
|
Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (144A)
|
721,500
|
||
$ 4,489,175
|
|||||
Education Services - 0.1%
|
|||||
555,000
|
CCC-/B3
|
Cambium Learning Group, Inc., 9.75%, 2/15/17
|
$ 460,650
|
||
Hotels, Resorts & Cruise lines - 0.4%
|
|||||
1,500,000
|
CCC+/B2
|
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19
|
$ 1,586,250
|
||
Restaurants - 1.8%
|
|||||
4,055,000(e)
|
B-/Caa1
|
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A)
|
$ 3,416,338
|
||
1,400,000
|
B/B3
|
Burger King Corp., 9.875%, 10/15/18
|
1,603,000
|
||
2,000,000
|
CCC+/Caa1
|
Wok Acquisition Corp., 10.25%, 6/30/20 (144A)
|
2,127,500
|
||
$ 7,146,838
|
|||||
Specialized Consumer Services - 0.9%
|
|||||
500,000
|
B/B2
|
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 9.625%, 3/15/18
|
$ 557,500
|
||
3,000,000
|
B-/B3
|
StoneMor Operating LLC, 10.25%, 12/1/17
|
3,090,000
|
||
$ 3,647,500
|
|||||
Total Consumer Services
|
$ 19,882,163
|
||||
DIVERSIFIED FINANCIALS - 2.8%
|
|||||
Asset Management & Custody Banks - 0.3%
|
|||||
975,000
|
BBB-/Baa3
|
Janus Capital Group, Inc., 6.7%, 6/15/17
|
$ 1,114,343
|
||
Investment Banking & Brokerage - 0.5%
|
|||||
2,325,000(a)
|
BB+/Ba2
|
Goldman Sachs Capital II, 4.0%, 6/1/43
|
$ 1,816,011
|
||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Multi-Sector Holdings - 0.6%
|
|||||
2,200,000
|
B/B2
|
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A)
|
$ 2,310,000
|
||
Other Diversified Financial Services - 0.3%
|
|||||
250,000(a)
|
BB/NR
|
East Lane Re V, Ltd., 9.041%, 3/16/16 (144A)
|
$ 268,150
|
||
250,000(b)
|
BB-/NR
|
Embarcadero Re Ltd., 7.291%, 2/13/15 (144A)
|
253,625
|
||
600,000(i)
|
NR/NR
|
Sector Re V Ltd., 0.0%, 12/1/17 (144A)
|
603,360
|
||
$ 1,125,135
|
|||||
Reinsurance - 0.4%
|
|||||
450,000(a)
|
BB+/NR
|
Kibou, Ltd., 5.291%, 2/16/15 (144A)
|
$ 460,035
|
||
250,000(a)
|
B+/NR
|
Lakeside Re III Ltd., 8.041%, 1/8/16 (144A)
|
250,300
|
||
800,000(a)
|
BB/NR
|
Lodestone Re Ltd., 7.291%, 1/8/14 (144A)
|
804,000
|
||
$ 1,514,335
|
|||||
Specialized Finance - 0.7%
|
|||||
500,000
|
BB+/Baa3
|
Capital One Capital V, 10.25%, 8/15/39
|
$ 500,000
|
||
1,650,000(g)
|
CCC+/Caa1
|
Igloo Holdings Corp., 8.25%, 12/15/17 (144A)
|
1,629,375
|
||
695,000
|
B+/B2
|
National Money Mart Co., 10.375%, 12/15/16
|
767,975
|
||
$ 2,897,350
|
|||||
Total Diversified Financials
|
$ 10,777,174
|
||||
ENERGY - 15.1%
|
|||||
Coal & Consumable Fuels - 2.4%
|
|||||
1,350,000
|
B+/B1
|
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
|
$ 1,275,750
|
||
3,890,000
|
B/Caa1
|
Foresight Energy LLC / Foresight Energy Corp., 9.625%, 8/15/17 (144A)
|
4,162,300
|
||
2,125,000
|
CCC+/B3
|
James River Coal Co., 7.875%, 4/1/19
|
1,211,250
|
||
1,166,000
|
B/B3
|
Murray Energy Corp., 10.25%, 10/15/15 (144A)
|
1,131,020
|
||
1,550,000
|
B/B2
|
Penn Virginia Resource Partners LP / Penn Virginia Resource Finance Corp. II, 8.375%, 6/1/20 (144A)
|
1,670,125
|
||
$ 9,450,445
|
|||||
Oil & Gas Drilling - 1.7%
|
|||||
500,000
|
B/Caa1
|
Hercules Offshore, Inc., 10.5%, 10/15/17 (144A)
|
$ 538,750
|
||
1,700,000
|
CCC+/Caa1
|
Ocean Rig UDW, Inc., 9.5%, 4/27/16 (144A)
|
1,734,000
|
||
489,000
|
B-/B3
|
Offshore Group Investments, Ltd., 11.5%, 8/1/15
|
533,010
|
||
1,900,000
|
B+/B2
|
Pioneer Energy Services Corp., 9.875%, 3/15/18
|
2,066,250
|
||
1,800,000
|
B/B1
|
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)
|
1,845,000
|
||
$ 6,717,010
|
|||||
Oil & Gas Equipment & Services - 2.4%
|
|||||
4,073,000
|
B+/B1
|
American Petroleum Tankers Parent LLC / AP Tankers Co., 10.25%, 5/1/15
|
$ 4,256,285
|
||
408,000(j)
|
NR/NR
|
DP Producer AS, 0.0%, 12/5/11
|
8,160
|
||
1,847,000
|
B/B3
|
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A)
|
1,930,115
|
||
1,260,000
|
B/Caa1
|
Forbes Energy Services, Ltd., 9.0%, 6/15/19
|
1,121,400
|
||
666,000(k)
|
CCC/Caa2
|
Green Field Energy Services, Inc., 13.25%, 11/15/16 (144A)
|
666,000
|
||
NOK
|
3,000,000(a)
|
NR/NR
|
Transocean Drilling Norway AS, 8.96%, 2/24/16
|
566,679
|
|
NOK
|
3,500,000
|
NR/NR
|
Transocean Norway Drilling AS, 11.0%, 2/24/16
|
667,422
|
|
$ 9,216,061
|
|||||
Oil & Gas Exploration & Production - 7.2%
|
|||||
775,000
|
B+/B1
|
Berry Petroleum Co., 10.25%, 6/1/14
|
$ 858,312
|
||
500,000
|
B-/B3
|
Comstock Resources, Inc., 7.75%, 4/1/19
|
507,500
|
||
1,830,000
|
B-/B3
|
Comstock Resources, Inc., 9.5%, 6/15/20
|
1,967,250
|
||
390,000
|
BB/B1
|
Denbury Resources, Inc., 9.75%, 3/1/16
|
413,400
|
||
3,450,000
|
B/NR
|
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20
|
3,889,875
|
||
1,350,000(g)
|
B/B3
|
EPE Holdings LLC / EP Energy Bond Co., Inc., 8.125%, 12/15/17 (144A)
|
1,338,188
|
||
1,295,000
|
B-/Caa1
|
EPL Oil & Gas Inc., 8.25%, 2/15/18 (144A)
|
1,330,613
|
||
785,000
|
CCC+/B3
|
Halcon Resources Corp., 8.875%, 5/15/21 (144A)
|
832,100
|
||
1,475,000
|
CCC+/B3
|
Halcon Resources Corp., 9.75%, 7/15/20 (144A)
|
1,593,000
|
||
678,000
|
B/B2
|
Linn Energy LLC / Linn Energy Finance Corp., 11.75%, 5/15/17
|
742,410
|
||
1,050,000
|
B-/Caa1
|
Midstates Petro Inc.,/Midstates Petroleum Co., LLC, 10.75%, 10/1/20 (144A)
|
1,115,625
|
||
2,400,000
|
B+/NR
|
MIE Holdings Corp., 9.75%, 5/12/16 (144A)
|
2,604,000
|
||
NOK
|
2,000,000
|
NR/NR
|
Norwegian Energy Co., AS, 10.25%, 4/27/16
|
357,785
|
|
NOK
|
5,000,000
|
NR/NR
|
Norwegian Energy Co., AS, 12.9%, 11/20/14
|
904,348
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Oil & Gas Exploration & Production (continued)
|
|||||
1,110,000
|
B-/Caa1
|
QR Energy LP / QRE Finance Corp., 9.25%, 8/1/20
|
1,165,500
|
||
3,380,000
|
CCC/Caa1
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
2,704,000
|
||
2,200,000
|
B-/B3
|
Resolute Energy Corp., 8.5%, 5/1/20 (144A)
|
2,216,500
|
||
1,497,000
|
BB-/B3
|
Rosetta Resources, Inc., 9.5%, 4/15/18
|
1,661,670
|
||
1,500,000
|
B-/B3
|
Samson Investment Co., 9.75%, 2/15/20 (144A)
|
1,586,250
|
||
$ 27,788,326
|
|||||
Oil & Gas Refining & Marketing - 0.9%
|
|||||
1,000,000
|
B+/Ba3
|
Coffeyville Resources LLC, 10.875%, 4/1/17 (144A)
|
$ 1,100,000
|
||
2,215,000
|
BB+/Ba1
|
Tesoro Corp., 9.75%, 6/1/19
|
2,525,100
|
||
$ 3,625,100
|
|||||
Oil & Gas Storage & Transportation - 0.5%
|
|||||
350,000(b)
|
BB+/Baa3
|
Enterprise Products Operating LLC, 8.375%, 8/1/66
|
$ 399,438
|
||
1,524,000(b)
|
BB/Ba1
|
Southern Union Co., 3.33%, 11/1/66
|
1,304,925
|
||
$ 1,704,363
|
|||||
Total Energy
|
$ 58,501,305
|
||||
FOOD, BEVERAGE & TOBACCO - 5.4%
|
|||||
Agricultural Products - 1.5%
|
|||||
5,622,000
|
B/B3
|
Southern States Cooperative, Inc., 11.25%, 5/15/15 (144A)
|
$ 5,832,825
|
||
Packaged Foods & Meats - 2.9%
|
|||||
775,000
|
BB/B1
|
Bertin SA / Bertin Finance Ltd., 10.25%, 10/5/16 (144A)
|
$ 848,625
|
||
1,250,000
|
B+/B1
|
CFG Investment SAC, 9.75%, 7/30/19 (144A)
|
943,750
|
||
3,500,000
|
B/(P)B3
|
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
|
3,718,750
|
||
1,000,000
|
B+/B2
|
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
|
852,500
|
||
500,000
|
B+/B2
|
Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A)
|
498,750
|
||
400,000
|
B+/B2
|
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
|
479,000
|
||
4,000,000
|
B-/Caa1
|
Pilgrim's Pride Corp., 7.875%, 12/15/18
|
4,055,000
|
||
$ 11,396,375
|
|||||
Tobacco - 1.0%
|
|||||
3,450,000
|
B-/B3
|
Alliance One International, Inc., 10.0%, 7/15/16
|
$ 3,631,125
|
||
Total Food, Beverage & Tobacco
|
$ 20,860,325
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 8.3%
|
|||||
Health Care Equipment & Services - 2.0%
|
|||||
4,000,000
|
CCC+/Caa2
|
Accellent, Inc., 10.0%, 11/1/17
|
$ 3,290,000
|
||
4,000,000
|
B+/B2
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
4,390,000
|
||
$ 7,680,000
|
|||||
Health Care Facilities - 1.2%
|
|||||
535,000
|
B-/B3
|
HCA, Inc., 6.25%, 2/15/13
|
$ 537,675
|
||
84,000
|
BB/B2
|
HCA, Inc., 9.875%, 2/15/17
|
88,725
|
||
3,475,000
|
B-/B3
|
Kindred Healthcare, Inc., 8.25%, 6/1/19
|
3,379,437
|
||
600,000
|
CCC+/Caa1
|
United Surgical Partners, 9.0%, 4/1/20
|
666,000
|
||
62,000(i)
|
CCC+/Caa1
|
Vanguard Health Systems, Inc., 0.0%, 2/1/16
|
46,500
|
||
$ 4,718,337
|
|||||
Health Care Services - 3.1%
|
|||||
1,987,000
|
B-/Caa1
|
BioScrip, Inc., 10.25%, 10/1/15
|
$ 2,121,122
|
||
2,527,000
|
CCC/Caa2
|
Gentiva Health Services, Inc., 11.5%, 9/1/18
|
2,388,015
|
||
3,925,000
|
CCC+/Caa2
|
Rural / Metro Corp., 10.125%, 7/15/19 (144A)
|
3,783,875
|
||
3,725,000
|
CCC+/Caa1
|
Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)
|
3,901,938
|
||
$ 12,194,950
|
|||||
Health Care Supplies - 1.0%
|
|||||
608,000
|
B/Caa1
|
Bausch & Lomb, Inc., 9.875%, 11/1/15
|
$ 626,240
|
||
3,000,000
|
B-/Caa1
|
Immucor, Inc., 11.125%, 8/15/19
|
3,375,000
|
||
$ 4,001,240
|
|||||
Health Care Technology - 0.3%
|
|||||
900,000
|
CCC+/Caa1
|
Emdeon, Inc., 11.0%, 12/31/19
|
$ 1,039,500
|
||
IT Consulting & Other Services - 0.7%
|
|||||
2,380,000
|
CCC+/Caa1
|
Truven Health Analytics, Inc., 10.625%, 6/1/20 (144A)
|
$ 2,534,700
|
||
Total Health Care Equipment & Services
|
$ 32,168,727
|
||||
HOUSEHOLD & PERSONAL PRODUCTS - 1.0%
|
|||||
Personal Products - 1.0%
|
|||||
1,745,000
|
B+/B2
|
Albea Beauty Holdings SA, 8.375%, 11/1/19 (144A)
|
$ 1,840,975
|
||
700,000
|
CCC+/Caa1
|
Monitronics International, Inc., 9.125%, 4/1/20
|
721,000
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Personal Products (continued)
|
|||||
1,050,000
|
B/B2
|
Revlon Consumer Products Corp., 9.75%, 11/15/15
|
1,105,125
|
||
Total Household & Personal Products
|
$ 3,667,100
|
||||
INSURANCE - 7.9%
|
|||||
Insurance Brokers - 2.0%
|
|||||
4,900,000
|
CCC+/Caa2
|
HUB International, Ltd., 8.125%, 10/15/18 (144A)
|
$ 5,022,500
|
||
GBP
|
1,625,000
|
NR/Caa1
|
Towergate Finance Plc, 10.5%, 2/15/19 (144A)
|
2,692,692
|
|
$ 7,715,192
|
|||||
Multi-Line Insurance - 1.6%
|
|||||
3,075,000(b)
|
BB/Baa3
|
Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A)
|
$ 4,581,750
|
||
1,100,000
|
BBB/Baa2
|
MetLife, Inc., 10.75%, 8/1/39
|
1,661,000
|
||
$ 6,242,750
|
|||||
Property & Casualty Insurance - 1.7%
|
|||||
5,300,000
|
BBB-/Baa3
|
Allmerican Financial Corp., 7.625%, 10/15/25
|
$ 6,575,630
|
||
265,000(b)(d)
|
BB+/Ba2
|
White Mountains Insurance Group, Ltd., 7.506%, 5/29/49 (144A)
|
273,475
|
||
$ 6,849,105
|
|||||
Reinsurance - 2.6%
|
|||||
250,000(a)
|
BB-/NR
|
Atlas Reinsurance VII, Ltd., 8.178%, 1/7/16 (144A)
|
$ 247,200
|
||
250,000(a)
|
B-/NR
|
Blue Fin Ltd., 14.041%, 5/28/13 (144A)
|
243,750
|
||
250,000(a)
|
NR/B1
|
Combine Re, Ltd., 10.041%, 1/7/15 (144A)
|
264,050
|
||
1,000,000(a)
|
NR/NR
|
Combine Re, Ltd., 17.791%, 1/7/15 (144A)
|
1,069,800
|
||
250,000(a)
|
BB-/NR
|
Compass Re, Ltd., 10.291%, 1/8/15 (144A)
|
253,825
|
||
250,000(a)
|
B+/NR
|
Compass Re, Ltd., 11.291%, 1/8/15 (144A)
|
251,000
|
||
350,000(a)
|
BB+/NR
|
Foundation Re III, Ltd., 5.041%, 2/25/15
|
352,730
|
||
250,000(a)
|
BB-/NR
|
Ibis Re II, Ltd., 8.391%, 2/5/15 (144A)
|
256,600
|
||
400,000(a)
|
B-/NR
|
Ibis Re II, Ltd., 13.541%, 2/5/15 (144A)
|
396,480
|
||
250,000(a)
|
BB-/NR
|
Lakeside Re II Ltd., 7.791%, 1/8/13 (144A)
|
249,725
|
||
500,000(a)
|
B/NR
|
Mystic Re, Ltd., 12.041%, 3/12/15 (144A)
|
484,350
|
||
250,000(a)
|
B+/NR
|
Mythen Re, Ltd. Series 2012-2 Class A, 8.71%, 1/5/17 (144A)
|
249,675
|
||
600,000(a)
|
NR/B2
|
Mythen, Ltd., 11.216%, 5/7/15 (144A)
|
603,660
|
||
250,000(a)
|
NR/NR
|
Pelican Re, Ltd., 13.791%, 4/13/15 (144A)
|
266,525
|
||
500,000(a)
|
BB-/NR
|
Queen Street II Capital, Ltd., 7.541%, 4/9/14 (144A)
|
502,650
|
||
250,000(a)
|
B+/NR
|
Queen Street V Re, Ltd., 8.541%, 4/9/15 (144A)
|
253,525
|
||
250,000(a)
|
B/NR
|
Queen Street VI Re Ltd., 10.35%, 4/9/15 (144A)
|
258,025
|
||
250,000(a)
|
B/NR
|
Queen Street VII Capital, Ltd., 8.6%, 4/8/16 (144A)
|
249,000
|
||
250,000(a)
|
NR/NR
|
Residential Reinsurance 2011, Ltd., 8.941%, 12/6/15 (144A)
|
251,950
|
||
450,000(a)
|
B-/NR
|
Residential Reinsurance 2011, Ltd., 12.041%, 6/6/15 (144A)
|
458,685
|
||
250,000(a)
|
NR/NR
|
Residential Reinsurance 2011, Ltd., 13.291%, 12/6/15 (144A)
|
251,550
|
||
250,000(a)
|
BB/NR
|
Residential Reinsurance 2012 Ltd., 5.791%, 12/6/16 (144A)
|
249,500
|
||
400,000(a)
|
NR/NR
|
Residential Reinsurance 2012 Ltd., 12.791%, 12/6/16 (144A)
|
398,360
|
||
250,000(a)
|
NR/NR
|
Residential Reinsurance 2012 Ltd., 19.041%, 12/6/16 (144A)
|
247,875
|
||
250,000(a)
|
BB/NR
|
Residential Reinsurance 2012, Ltd., 8.0%, 6/6/16 (144A)
|
256,800
|
||
250,000(a)
|
BB-/NR
|
Residential Reinsurance 2012, Ltd., 10.041%, 6/6/16 (144A)
|
268,325
|
||
400,000(a)
|
NR/NR
|
Residential Reinsurance 2012, Ltd., 22.041%, 6/6/16 (144A)
|
378,080
|
||
500,000(a)
|
NR/NR
|
Successor X, Ltd., 13.0%, 2/25/14 (144A)
|
507,600
|
||
250,000(a)
|
NR/NR
|
Successor X, Ltd., 16.541%, 1/27/15 (144A)
|
251,150
|
||
$ 9,972,445
|
|||||
Total Insurance
|
$ 30,779,492
|
||||
MATERIALS - 19.2%
|
|||||
Aluminum - 0.0%+
|
|||||
694(g)
|
CCC+/B3
|
Noranda Aluminum Acquisition Corp., 4.524%, 5/15/15
|
$ 652
|
||
Commodity Chemicals - 2.0%
|
|||||
3,250,000
|
BB+/WR
|
Basell Finance Co. BV, 8.1%, 3/15/27 (144A)
|
$ 4,338,750
|
||
2,600,000
|
CCC+/NR
|
Hexion US Finance Corp., 9.0%, 11/15/20
|
2,372,500
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Commodity Chemicals (continued)
|
|||||
1,100,000
|
BB-/B1e
|
Rain CII Carbon LLC / CII Carbon Corp., 8.25%, 1/15/21 (144A)
|
1,124,750
|
||
$ 7,836,000
|
|||||
Construction Materials - 1.5%
|
|||||
5,690,000
|
C/Caa3
|
AGY Holding Corp., 11.0%, 11/15/14
|
$ 2,702,750
|
||
3,000,000
|
B-/Caa2
|
Texas Industries, Inc., 9.25%, 8/15/20
|
3,217,500
|
||
$ 5,920,250
|
|||||
Diversified Chemicals - 1.6%
|
|||||
2,625,000
|
CCC+/Caa1
|
INEOS Group Holdings PLC, 8.5%, 2/15/16 (144A)
|
$ 2,611,875
|
||
EUR
|
550,000
|
CCC+/Caa1
|
INEOS Group Holdings SA, 7.875%, 2/15/16 (144A)
|
719,774
|
|
1,597,000
|
B/B2
|
Kinove German Bondco GmbH, 9.625%, 6/15/18 (144A)
|
1,744,723
|
||
EUR
|
950,000
|
NR/Caa1
|
Momentive Performance Materials, Inc., 9.5%, 1/15/21
|
915,351
|
|
$ 5,991,723
|
|||||
Diversified Metals & Mining - 2.3%
|
|||||
2,000,000
|
B/B3
|
Global Brass and Copper, Inc., 9.5%, 6/1/19 (144A)
|
$ 2,165,000
|
||
3,000,000
|
CCC+/Caa2
|
Midwest Vanadium Pty., Ltd., 11.5%, 2/15/18 (144A)
|
1,770,000
|
||
2,775,000
|
CCC+/Caa1
|
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A)
|
2,386,500
|
||
1,200,000
|
CCC+/B3
|
Molycorp, Inc., 10.0%, 6/1/20 (144A)
|
1,116,000
|
||
900,000
|
B+/B1
|
Mongolian Mining Corp., 8.875%, 3/29/17 (144A)
|
963,000
|
||
410,000
|
B/Caa1
|
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)
|
424,350
|
||
$ 8,824,850
|
|||||
Forest Products - 0.9%
|
|||||
4,000,000
|
B-/B3
|
Millar Western Forest Products, Ltd., 8.5%, 4/1/21
|
$ 3,620,000
|
||
Metal & Glass Containers - 1.7%
|
|||||
1,771,207(g)
|
CCC+/Caa1
|
Ardagh Finance SA, 11.125%, 6/1/18 (144A)
|
$ 1,877,480
|
||
EUR
|
2,250,000
|
CCC+/B3
|
Ardagh Glass Finance Plc,, 8.75%, 2/1/20 (144A)
|
3,109,354
|
|
1,450,000
|
CCC+/B3
|
BWAY Holdings Co., 10.0%, 6/15/18
|
1,609,500
|
||
$ 6,596,334
|
|||||
Paper Packaging - 2.0%
|
|||||
2,000,000
|
CCC+/Caa1
|
Berry Plastics Corp., 9.5%, 5/15/18
|
$ 2,200,000
|
||
2,657,034(e)
|
NR/NR
|
Bio Pappel SAB de CV, 7.0%, 8/27/16
|
2,471,042
|
||
2,500,000
|
B-/Caa1
|
Pretium Packaging LLC / Pretium Finance, Inc., 11.5%, 4/1/16
|
2,578,125
|
||
500,000
|
BB-/B1
|
Sealed Air Corp., 8.125%, 9/15/19 (144A)
|
562,500
|
||
$ 7,811,667
|
|||||
Paper Products - 1.9%
|
|||||
2,000,000
|
B+/B1
|
Appleton Papers, Inc., 10.5%, 6/15/15 (144A)
|
$ 2,120,000
|
||
600,000
|
CCC+/B3
|
Appleton Papers, Inc., 11.25%, 12/15/15
|
648,000
|
||
405,000
|
BB/Ba3
|
Clearwater Paper Corp., 10.625%, 6/15/16
|
441,450
|
||
2,220,000
|
CCC+/Caa2
|
Exopack Holdings Corp., 10.0%, 6/1/18
|
2,009,100
|
||
776,000
|
B+/B3
|
Mercer International, Inc., 9.5%, 12/1/17
|
820,620
|
||
1,256,000
|
BB/Ba3
|
Resolute Forest Products, 10.25%, 10/15/18
|
1,438,120
|
||
$ 7,477,290
|
|||||
Steel - 5.3%
|
|||||
2,450,000
|
B+/B3
|
AM Castle & Co., 12.75%, 12/15/16
|
$ 2,860,375
|
||
1,200,000
|
B+/B3
|
APERAM, 7.375%, 4/1/16 (144A)
|
1,119,000
|
||
1,960,000
|
B/Caa1
|
Atkore International, Inc., 9.875%, 1/1/18
|
2,082,500
|
||
2,400,000
|
BBB-/Ba1
|
CSN Islands VIII Corp., 9.75%, 12/16/13 (144A)
|
2,583,000
|
||
4,660,000
|
CCC/Caa2
|
Essar Steel Algoma, Inc., 9.875%, 6/15/15 (144A)
|
3,192,100
|
||
500,000
|
B/Caa1
|
Ferrexpo Finance Plc,, 7.875%, 4/7/16 (144A)
|
485,000
|
||
2,915,000
|
B/B2
|
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
|
3,038,887
|
||
3,750,000
|
CCC+/Caa2
|
Ryerson, Inc., 9.0%, 10/15/17 (144A)
|
3,825,000
|
||
1,250,000
|
B/B3
|
Severstal Columbus LLC, 10.25%, 2/15/18
|
1,315,625
|
||
$ 20,501,487
|
|||||
Total Materials
|
$ 74,580,253
|
||||
MEDIA - 7.5%
|
|||||
Advertising - 2.2%
|
|||||
2,900,000
|
NR/B3
|
Good Sam Enterprises LLC, 11.5%, 12/1/16
|
$ 3,103,000
|
||
4,990,000
|
B/B3
|
MDC Partners, Inc., 11.0%, 11/1/16
|
5,482,763
|
||
$ 8,585,763
|
|||||
Broadcasting - 2.7%
|
|||||
4,638,075(g)
|
CCC+/Caa3
|
Intelsat Bermuda, Ltd., 11.5%, 2/4/17
|
$ 4,927,955
|
||
375,000(g)
|
CCC+/Caa3
|
Intelsat Luxembourg SA, 11.5%, 2/4/17 (144A)
|
398,437
|
||
800,000
|
B-/B3
|
Telesat Canada / Telesat LLC, 12.5%, 11/1/17
|
878,000
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Broadcasting (continued)
|
|||||
3,805,000
|
B/B3
|
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A)
|
4,175,988
|
||
$ 10,380,380
|
|||||
Cable - 0.9%
|
|||||
EUR
|
1,200,000
|
B+/B1
|
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
|
$ 1,607,638
|
|
1,500,000
|
B-/Caa1
|
Ono Finance II Plc, 10.875%, 7/15/19 (144A)
|
1,432,500
|
||
EUR
|
350,000
|
B-/Caa1
|
Ono Finance II Plc, 11.125%, 7/15/19 (144A)
|
445,796
|
|
$ 3,485,934
|
|||||
Movies & Entertainment - 0.9%
|
|||||
2,765,000
|
CCC+/Caa1
|
AMC Entertainment, Inc., 9.75%, 12/1/20
|
$ 3,193,575
|
||
600,000
|
CCC+/Caa1
|
Production Resource Group, Inc., 8.875%, 5/1/19
|
438,000
|
||
$ 3,631,575
|
|||||
Publishing - 0.8%
|
|||||
1,400,000
|
CC/Ca
|
Cengage Learning Acquisitions, Inc., 10.5%, 1/15/15 (144A)
|
$ 476,000
|
||
400,000
|
B-/B3
|
Interactive Data Corp., 10.25%, 8/1/18
|
450,000
|
||
2,200,000(h)
|
B-/B3
|
MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A)
|
2,057,000
|
||
$ 2,983,000
|
|||||
Total Media
|
$ 29,066,652
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 2.2%
|
|||||
Biotechnology - 1.4%
|
|||||
1,400,000
|
B/Caa1
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$ 1,543,500
|
||
4,104,000
|
B+/Caa2
|
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
|
3,816,720
|
||
$ 5,360,220
|
|||||
Life Sciences Tools & Services - 0.4%
|
|||||
1,607,664
|
B/Caa1
|
Catalent Pharma Solutions, Inc., 9.5%, 4/15/15
|
$ 1,640,139
|
||
Pharmaceuticals - 0.4%
|
|||||
2,020,000(f)
|
NR/NR
|
KV Pharmaceutical Co., 12.0%, 3/15/15
|
$ 1,616,000
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 8,616,359
|
||||
REAL ESTATE - 0.8%
|
|||||
Diversified REIT's - 0.4%
|
|||||
1,500,000
|
B+/Ba3
|
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19
|
$ 1,432,500
|
||
Real Estate Operating Companies - 0.4%
|
|||||
1,479,000(h)
|
B/B3
|
Forest City Enterprises, Inc., 7.625%, 6/1/15
|
$ 1,479,000
|
||
Total Real Estate
|
$ 2,911,500
|
||||
RETAILING - 1.0%
|
|||||
Distributors - 0.8%
|
|||||
2,862,000
|
B+/B1
|
Minerva Overseas II, Ltd., 10.875%, 11/15/19 (144A)
|
$ 3,298,255
|
||
Speciality Stores - 0.2%
|
|||||
685,000
|
B-/B3
|
Radio Systems Corp., 8.375%, 11/1/19 (144A)
|
$ 714,112
|
||
Total Retailing
|
$ 4,012,367
|
||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.1%
|
|||||
Semiconductor Equipment - 0.4%
|
|||||
1,895,000
|
B+/Caa1
|
MEMC Electronic Materials, Inc., 7.75%, 4/1/19
|
$ 1,591,800
|
||
Semiconductors - 0.7%
|
|||||
3,250,000
|
BB-/B1
|
Advanced Micro Devices, 7.5%, 8/15/22 (144A)
|
$ 2,673,125
|
||
CNY
|
1,000,000
|
NR/NR
|
LDK Solar Co., Ltd., 10.0%, 2/28/14
|
86,051
|
|
$ 2,759,176
|
|||||
Total Semiconductors & Semiconductor Equipment
|
$ 4,350,976
|
||||
SOFTWARE & SERVICES - 2.7%
|
|||||
Application Software - 0.6%
|
|||||
2,960,000
|
CCC-/Caa2
|
Allen Systems Group, Inc., 10.5%, 11/15/16 (144A)
|
$ 2,190,400
|
||
Data Processing & Outsourced Services - 1.0%
|
|||||
1,783,000
|
B-/Caa1
|
First Data Corp., 8.25%, 1/15/21 (144A)
|
$ 1,783,000
|
||
399,000
|
B-/Caa1
|
First Data Corp., 9.875%, 9/24/15
|
406,980
|
||
1,783,000
|
B-/Caa1
|
First Data Corp., 12.625%, 1/15/21
|
1,876,607
|
||
$ 4,066,587
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Systems Software - 1.1%
|
|||||
4,857,412(g)(h)
|
NR/NR
|
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A)
|
$ 4,371,671
|
||
Total Software & Services
|
$ 10,628,658
|
||||
TECHNOLOGY HARDWARE & EQUIPMENT - 0.6%
|
|||||
Communications Equipment - 0.4%
|
|||||
1,500,000
|
CCC+/B3
|
CPI International Inc., 8.0%, 2/15/18
|
$ 1,464,375
|
||
Computer Storage & Peripherals - 0.1%
|
|||||
580,000
|
BBB/Baa3
|
Seagate Technology International, Inc., 10.0%, 5/1/14 (144A)
|
$ 624,225
|
||
Electronic Equipment & Instruments - 0.1%
|
|||||
350,000
|
BB-/B1
|
Viasystems, Inc., 7.875%, 5/1/19 (144A)
|
$ 343,000
|
||
Total Technology Hardware & Equipment
|
$ 2,431,600
|
||||
TELECOMMUNICATION SERVICES - 1.6%
|
|||||
Alternative Carriers - 0.5%
|
|||||
1,000,000
|
BB-/WR
|
PAETEC Holding Corp., 8.875%, 6/30/17
|
$ 1,072,500
|
||
600,000
|
NR/WR
|
PAETEC Holding Corp., 9.875%, 12/1/18
|
687,000
|
||
$ 1,759,500
|
|||||
Integrated Telecommunication Services - 0.9%
|
|||||
3,539,000
|
CCC+/B3
|
Cincinnati Bell, Inc., 8.75%, 3/15/18
|
$ 3,654,018
|
||
Wireless Telecommunication Services - 0.2%
|
|||||
725,000
|
BB/Ba3
|
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, 9.125%, 4/30/18 (144A)
|
$ 878,156
|
||
Total Telecommunication Services
|
$ 6,291,674
|
||||
TRANSPORTATION - 3.0%
|
|||||
Air Freight & Logistics - 1.2%
|
|||||
4,601,000
|
CCC+/Caa2
|
CEVA Group Plc, 11.5%, 4/1/18 (144A)
|
$ 3,841,835
|
||
720,000
|
CCC+/Caa1
|
CEVA Group Plc, 11.625%, 10/1/16 (144A)
|
739,800
|
||
$ 4,581,635
|
|||||
Airlines - 0.1%
|
|||||
500,000
|
B-/NR
|
Gol Finance, 9.25%, 7/20/20 (144A)
|
$ 437,500
|
||
Marine - 0.1%
|
|||||
295,000
|
B+/B3
|
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc., 9.25%, 4/15/19
|
$ 289,469
|
||
Railroads - 0.2%
|
|||||
1,057,439(g)
|
CCC/Caa3
|
Florida East Coast Holdings Corp., 10.5%, 8/1/17
|
$ 1,046,864
|
||
Trucking - 1.4%
|
|||||
575,000
|
NR/Ba3
|
Aeropuertos Dominicanos Siglo XXI S.A., 9.25%, 11/13/19 (144A)
|
$ 608,295
|
||
1,375,000
|
B+/Caa1
|
Swift Services Holdings, Inc., 10.0%, 11/15/18
|
1,509,063
|
||
1,700,000
|
B/B3
|
Syncreon Global Ireland Ltd. / Syncreon Global Finance US, Inc., 9.5%, 5/1/18 (144A)
|
1,768,000
|
||
1,430,000
|
B/B3
|
Syncreon Global Ireland, Ltd., 9.5%, 5/1/18 (144A)
|
1,487,200
|
||
$ 5,372,558
|
|||||
Total Transportation
|
$ 11,728,026
|
||||
UTILITIES - 2.4%
|
|||||
Electric Utilities - 0.9%
|
|||||
310,000
|
NR/Caa1
|
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
|
$ 136,400
|
||
885,000
|
CC/Caa3
|
Energy Future Holdings Corp., 10.0%, 1/15/20
|
988,987
|
||
1,000,000
|
BB+/Ba1
|
PNM Resources, Inc., 9.25%, 5/15/15
|
1,141,250
|
||
350,000
|
CCC/Caa1
|
Texas Competitive Electric Holdings Co., LLC / TCEH Finance, Inc., 11.5%, 10/1/20 (144A)
|
273,875
|
||
2,105,000
|
CC/Caa3
|
Texas Competitive Electric Holdings Co., LLC / TCEH Finance, Inc., 15.0%, 4/1/21
|
715,700
|
||
$ 3,256,212
|
|||||
Independent Power Producers & Energy Traders - 0.8%
|
|||||
1,800,000
|
BB-/Ba3
|
InterGen NV, 9.0%, 6/30/17 (144A)
|
$ 1,611,000
|
||
1,500,000
|
NR/B2
|
Star Energy Geothermal Wayang Windu Ltd., 11.5%, 2/12/15 (144A)
|
1,599,300
|
||
$ 3,210,300
|
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Multi-Utilities - 0.7%
|
|||||
3,017,321
|
NR/NR
|
Ormat Funding Corp., 8.25%, 12/30/20
|
$ 2,806,109
|
||
Total Utilities
|
$ 9,272,621
|
||||
TOTAL CORPORATE BONDS & NOTES
|
|||||
(Cost $409,643,215)
|
$ 418,539,136
|
||||
CONVERTIBLE BONDS & NOTES - 6.3% of Net Assets
|
|||||
CAPITAL GOODS - 0.4%
|
|||||
Construction & Farm Machinery & Heavy Trucks - 0.4%
|
|||||
1,625,000
|
B-/NR
|
Meritor, Inc., 7.875%, 3/1/26 (144A)
|
$ 1,489,922
|
||
Total Capital Goods
|
$ 1,489,922
|
||||
DIVERSIFIED FINANCIALS - 0.1%
|
|||||
Asset Management & Custody Banks - 0.1%
|
|||||
400,000
|
BBB/NR
|
Apollo Investment Corp., 5.75%, 1/15/16
|
$ 414,000
|
||
Total Diversified Financials
|
$ 414,000
|
||||
ENERGY - 1.4%
|
|||||
Coal & Consumable Fuels - 0.5%
|
|||||
1,905,000
|
B+/NR
|
Massey Energy Co., 3.25%, 8/1/15
|
$ 1,833,563
|
||
Oil & Gas Drilling - 0.6%
|
|||||
2,265,000(e)
|
NR/NR
|
Hercules Offshore, Inc., 3.375%, 6/1/38
|
$ 2,267,831
|
||
Oil & Gas Exploration & Production - 0.3%
|
|||||
1,340,000
|
BB-/Ba3
|
Chesapeake Energy Corp., 2.5%, 5/15/37
|
$ 1,206,000
|
||
Total Energy
|
$ 5,307,394
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 1.6%
|
|||||
Health Care Equipment & Services - 0.8%
|
|||||
2,837,000(e)
|
B+/NR
|
Hologic, Inc., 2.0%, 12/15/37
|
$ 3,163,255
|
||
Health Care Facilities - 0.7%
|
|||||
1,985,000
|
B/Ba3
|
LifePoint Hospitals, Inc., 3.25%, 8/15/25
|
$ 1,987,481
|
||
780,000
|
B/NR
|
LifePoint Hospitals, Inc., 3.5%, 5/15/14
|
801,938
|
||
$ 2,789,419
|
|||||
Health Care Services - 0.1%
|
|||||
361,000
|
B+/B2
|
Omnicare, Inc., 3.25%, 12/15/35
|
$ 360,097
|
||
Total Health Care Equipment & Services
|
$ 6,312,771
|
||||
MATERIALS - 0.8%
|
|||||
Diversified Chemicals - 0.8%
|
|||||
4,000,000(k)
|
B+/NR
|
Hercules, Inc., 6.5%, 6/30/29
|
$ 3,347,520
|
||
Total Materials
|
$ 3,347,520
|
||||
MEDIA - 0.5%
|
|||||
Movies & Entertainment - 0.5%
|
|||||
1,832,000
|
B-/NR
|
Live Nation Entertainment, Inc., 2.875%, 7/15/27
|
$ 1,813,680
|
||
Total Media
|
$ 1,813,680
|
||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.4%
|
|||||
Semiconductors - 0.4%
|
|||||
500,000
|
NR/NR
|
JA Solar Holdings Co., Ltd., 4.5%, 5/15/13
|
$ 477,500
|
||
750,000
|
NR/NR
|
ReneSola, Ltd., 4.125%, 3/15/18 (144A)
|
383,438
|
||
1,569,000
|
NR/NR
|
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13
|
713,895
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 1,574,833
|
||||
TELECOMMUNICATION SERVICES - 1.1%
|
|||||
Alternative Carriers - 1.1%
|
|||||
3,025,000
|
B/B2
|
Tw Telecom Inc.,, 2.375%, 4/1/26
|
$ 4,138,578
|
||
Total Telecommunication Services
|
$ 4,138,578
|
||||
TOTAL CONVERTIBLE BONDS & NOTES
|
|||||
(Cost $20,098,956)
|
$ 24,398,698
|
||||
SOVEREIGN DEBT OBLIGATIONS - 0.9% of Net Assets
|
|||||
Argentina - 0.3%
|
|||||
1,200,000
|
B-/Caa1
|
City of Buenos Aires, 12.5%, 4/6/15 (144A)
|
$ 1,176,000
|
||
Principal
Amount
USD ($)
|
S&P/Moody's
Rating
|
Value
|
|||
Russia - 0.6%
|
|||||
1,798,000(e)
|
BBB/Baa1
|
Russian Government International Bond, 7.5%, 3/31/30
|
$ 2,309,351
|
||
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
|||||
(Cost $2,472,007)
|
$ 3,485,351
|
||||
TAX EXEMPT OBLIGATIONS - 4.5% of Net Assets
|
|||||
Indiana - 0.4%
|
|||||
1,650,000
|
NR/Baa3
|
East Chicago Indiana Exempt Facilities Revenue, 7.0%, 1/1/14
|
$ 1,658,943
|
||
New Jersey - 1.2%
|
|||||
4,525,000
|
B/B3
|
New Jersey Economic Development Authority Revenue, 7.0%, 11/15/30
|
$ 4,541,969
|
||
New York - 0.9%
|
|||||
3,475,000
|
BB/B2
|
New York City Industrial Development Agency Revenue, 7.625%, 12/1/32
|
$ 3,562,188
|
||
North Carolina - 2.0%
|
|||||
1,670,000
|
NR/NR
|
Charlotte North Carolina Special Facilities Revenue, 7.75%, 2/1/28
|
$ 1,672,438
|
||
6,300,000
|
NR/NR
|
Charlotte Special Facilities Revenue, 5.6%, 7/1/27
|
6,177,591
|
||
$ 7,850,029
|
|||||
TOTAL TAX EXEMPT OBLIGATIONS
|
|||||
(Cost $12,948,977)
|
$ 17,613,129
|
||||
MUNICIPAL COLLATERALIZED DEBT OBLIGATION - 0.6% of Net Assets
|
|||||
3,300,000(b)(h)
|
NR/NR
|
Non-Profit Preferred Funding Trust I, 6.75%, 9/15/37 (144A)
|
$ 2,100,285
|
||
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
|
|||||
(Cost $3,293,502)
|
$ 2,100,285
|
||||
Shares
|
Value
|
||||
COMMON STOCKS - 2.1% of Net Assets
|
|||||
AUTOMOBILES & COMPONENTS - 0.4%
|
|||||
Auto Parts & Equipment - 0.4%
|
|||||
29,909
|
Lear Corp.
|
$ 1,400,938
|
|||
Total Automobiles & Components
|
$ 1,400,938
|
||||
CAPITAL GOODS - 0.1%
|
|||||
Building Products - 0.1%
|
|||||
894(c)(h)(l)
|
Panolam Holdings Co.
|
$ 522,096
|
|||
Total Capital Goods
|
$ 522,096
|
||||
ENERGY - 0.2%
|
|||||
Oil & Gas Drilling - 0.1%
|
|||||
13,045(l)
|
Rowan Companies, Plc, Class A
|
$ 407,917
|
|||
Oil & Gas Equipment & Services - 0.1%
|
|||||
NOK
|
45,178(l)
|
Sevan Marine ASA
|
$ 164,174
|
||
Oil & Gas Exploration & Production - 0.0%+
|
|||||
NOK
|
1(l)
|
Norse Energy Corp., ASA
|
$ –
|
||
Total Energy
|
$ 572,091
|
||||
MATERIALS - 0.6%
|
|||||
Diversified Metals & Mining - 0.6%
|
|||||
3,402
|
Freeport-McMoRan Copper & Gold, Inc. Class B
|
$ 116,348
|
|||
38,538
|
Lyondell Basell Industries NV-CL A
|
2,200,135
|
|||
$ 2,316,483
|
|||||
Total Materials
|
$ 2,316,483
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
|
|||||
Pharmaceuticals - 0.2%
|
|||||
17,818
|
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
|
$ 665,324
|
|||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 665,324
|
||||
Shares
|
Value
|
||||
SOFTWARE & SERVICES - 0.0%+
|
|||||
Systems Software - 0.0%+
|
|||||
10,942(h)(l)
|
Perseus Holding Corp.
|
$ 27,355
|
|||
Total Software & Services
|
$ 27,355
|
||||
TRANSPORTATION - 0.6%
|
|||||
Airlines - 0.3%
|
|||||
97,564(l)
|
Delta Air Lines, Inc.
|
$ 1,158,085
|
|||
Marine - 0.3%
|
|||||
877,784(h)(l)
|
Horizon Lines, Inc.
|
$ 1,316,676
|
|||
Total Transportation
|
$ 2,474,761
|
||||
TOTAL COMMON STOCKS
|
|||||
(Cost $6,901,635)
|
$ 7,979,048
|
||||
CONVERTIBLE PREFERRED STOCK - 0.5% of Net Assets
|
|||||
DIVERSIFIED FINANCIALS - 0.5%
|
|||||
Other Diversified Financial Services - 0.5%
|
|||||
1,880(d)
|
Bank of America Corp., 7.25
|
$ 2,133,800
|
|||
Total Diversified Financials
|
$ 2,133,800
|
||||
TOTAL CONVERTIBLE PREFERRED STOCK
|
|||||
(Cost $1,383,242)
|
$ 2,133,800
|
||||
PREFERRED STOCKS - 1.0% of Net Assets
|
|||||
DIVERSIFIED FINANCIALS - 0.9%
|
|||||
Other Diversified Financial Services - (continued) - 0.9%
|
|||||
132,750(b)
|
GMAC Capital Trust I, 8.125
|
$ 3,537,787
|
|||
Total Diversified Financials
|
$ 3,537,787
|
||||
SOFTWARE & SERVICES - 0.1%
|
|||||
Data Processing & Outsourced Services - 0.1%
|
|||||
5,745(h)(l)
|
Perseus Holding Corp., 14.0
|
$ 315,975
|
|||
Total Software & Services
|
$ 315,975
|
||||
TOTAL PREFERRED STOCKS
|
|||||
(Cost $3,322,424)
|
$ 3,853,762
|
||||
RIGHTS/WARRANTS - 0.0%+ of Net Assets
|
|||||
ENERGY - 0.0%+
|
|||||
Oil & Gas Equipment & Services - 0.0%+
|
|||||
650(h)(l)
|
Green Field Energy Services, Inc., Expires 11/15/21 (144A)
|
$ 20,150
|
|||
Oil & Gas Exploration & Production - 0.0%+
|
|||||
NOK
|
131,055(l)
|
Norse Energy Corp., ASA, Expires 6/16/15
|
$ 3,772
|
||
Total Energy
|
$ 23,922
|
||||
TOTAL RIGHTS/WARRANTS
|
|||||
(Cost $23,773)
|
$ 23,922
|
||||
Principal
Amount
|
Value
|
||||
TEMPORARY CASH INVESTMENTS - 3.9% - of Net Assets
|
|||||
REPURCHASE AGREEMENTS: 3.9%
|
|||||
7,625,000
|
JPMorgan, Inc., .24%, dated 1/2/13, repurchase price of $7,625,000 plus accrued interest on 1/2/13 collateralized by $7,777,632 Federal National Mortgage Association, 3.0% - 5.5%, 7/1/22 - 9/1/42.
|
$ 7,625,000
|
|||
7,625,000
|
Deutsche Bank AG, .15%, dated 1/2/13, repurchase price of $7,625,000 plus accrued interest on 1/2/13 collateralized by the following: $5,380,591 U.S. Treasury Note, 11.25%, 2/15/15 and $2,396,913 U.S. Treasury Note, 0.75%, 12/31/17.
|
7,625,000
|
|||
$ 15,250,000
|
|||||
TOTAL TEMPORARY CASH INVESTMENTS
|
|||||
(Cost $15,250,000)
|
15,250,000
|
Principal
Amount
|
Value
|
||||
(continued)
|
|||||
TOTAL INVESTMENTS IN SECURITIES - 135.6%
|
|||||
(Cost - $506,942,901) (m)(n)
|
$ 526,749,735
|
||||
OTHER ASSETS AND LIABILITIES -3.2%
|
$ 12,579,641
|
||||
PREFERRED SHARES AT REDEMPTION VALUE,
INCLUDING DIVIDENDS PAYABLE - (38.9)%
|
$ (151,001,350)
|
||||
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
|
$ 388,328,026
|
||||
Notional Principal
|
Swap Counterparty/Referenced Obligation
|
Unrealized Gain
|
||
5,000,000
|
JPMorgan Chase & Co., Goodyear Tire & Rubber Co., 5.0%, 12/20/2017
|
$ 75,034
|
||
2,000,000
|
JPMorgan Chase & Co., Goodyear Tire & Rubber Co., 5.0%, 12/20/2017
|
36,484
|
||
TOTAL CREDIT DEFAULT SWAP AGREEMENTS
|
||||
(Cost $(111,875))
|
$ 111,518
|
|||
NR
|
Security not rated by S&P or Moody's.
|
|
WR
|
Rating withdrawn by either S&P or Moody's.
|
|
(144A)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At December 31, 2012, the value of these securities amounted to $218,864,263, or 56.4% 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 December 31, 2012.
|
(a)
|
Floating rate note. The rate shown is the coupon rate at December 31, 2012.
|
(b)
|
The interest rate is subject to change periodically. The interest is shown is the rate at December 31, 2012.
|
(c)
|
Security is valued using fair value methods.
|
(d)
|
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at December 31, 2012.
|
(e)
|
Security is perpetual in nature and has no stated maturity date.
|
(f)
|
Security is in default and is non income producing.
|
(g)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
(h)
|
Indicates a security that has been deemed as illiquid. The aggregate cost of illiquid securities is $16,041,184. The aggregate fair value of $12,292,708 represents 3.2% of total net assets applicable to common shareowners.
|
(i)
|
Security issued with a zero coupon. Income is recognized through accretion of discount.
|
(j)
|
The company is scheduled for approval of a reorganization plan.
|
(k)
|
Security is priced as a unit.
|
(l)
|
Non-income producing.
|
(m)
|
At December 31, 2012, the net unrealized gain on investments based on cost for federal tax purposes of $506,942,201 was as follows:
|
|||||
Aggregate gross unrealized gain for all investments in which there is an excess of value over tax cost
|
$ 51,216,238
|
|||||
Aggregate gross unrealized loss for all investments in which there is an excess of tax cost over value
|
(31,409,404)
|
|||||
Net unrealized gain
|
$ 19,806,834
|
|||||
For financial reporting purposes net unrealized gain on investments was
$ 19,806,834 and cost of investments aggregated $506,942,201.
|
||||||
(n)
|
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
|
|||||
United States
|
77.3
|
%
|
||||
Cayman Islands
|
4.4
|
|||||
Luxembourg
|
3.3
|
|||||
Canada
|
3.0
|
|||||
United Kingdom
|
2.0
|
|||||
Netherlands
|
2.1
|
|||||
Ireland
|
1.7
|
|||||
Other (individually less than 1%)
|
6.2
|
|||||
100.0
|
%
|
|||||
Glossary of Terms:
|
||
(A.D.R.)
|
American Depositary Receipt
|
|
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
CNY
|
-
|
Chinese Yuan Renminbi
|
EUR
|
-
|
Euro
|
GBP
|
-
|
Great British Pound
|
NOK
|
-
|
Norwegian Krone
|
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
|
||||||||||||||||
Level 1 - quoted prices in active markets for identical securities
|
||||||||||||||||
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds
|
||||||||||||||||
credit risks, etc.)
|
||||||||||||||||
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments)
|
||||||||||||||||
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2, and securities valued using fair value methods (other than prices supplied by independent pricing services) as level 3.
|
||||||||||||||||
The following is a summary of the inputs used as of December 31, 2012, in valuing the Trust's investments.
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Asset Backed Securities
|
$ | – | $ | 5,963,952 | $ | – | $ | 5,963,952 | ||||||||
Collateralized Mortgage Obligations
|
– | 1,973,092 | – | 1,973,092 | ||||||||||||
Senior Secured Floating Rate Loan Interests
|
– | 23,435,560 | – | 23,435,560 | ||||||||||||
Tax Exempt Obligations
|
– | 17,613,129 | – | 17,613,129 | ||||||||||||
Corporate Bonds & Notes
|
||||||||||||||||
Auto Parts & Equipment
|
– | - | – | * | - | * | ||||||||||
All Other
|
– | 418,539,136 | – | 418,539,136 | ||||||||||||
Convertible Bonds & Notes
|
– | 24,398,698 | – | 24,398,698 | ||||||||||||
Municipal Collateralized Debt Obligations
|
– | 2,100,285 | – | 2,100,285 | ||||||||||||
Sovereign Debt Obligations
|
– | 3,485,351 | – | 3,485,351 | ||||||||||||
Common Stocks
|
||||||||||||||||
Building Products
|
– | – | 522,096 | 522,096 | ||||||||||||
Systems Software
|
– | 27,355 | – | 27,355 | ||||||||||||
All Other
|
7,429,597 | – | – | 7,429,597 | ||||||||||||
Convertible Preferred Stock
|
2,133,800 | – | – | 2,133,800 | ||||||||||||
Preferred Stocks
|
||||||||||||||||
Data Processing & Outsourced Services
|
– | 315,975 | – | 315,975 | ||||||||||||
All Other
|
3,537,787 | – | – | 3,537,787 | ||||||||||||
Rights/Warrants
|
||||||||||||||||
Oil & Gas Exploration & Production
|
– | 3,772 | – | 3,772 | ||||||||||||
All Other
|
20,150 | – | – | 20,150 | ||||||||||||
Temporary Cash Investments
|
||||||||||||||||
Repurchase Agreements
|
– | 15,250,000 | – | 15,250,000 | ||||||||||||
Total
|
$ | 13,121,334 | $ | 513,106,305 | $ | 522,096 | $ | 526,749,735 | ||||||||
Other Financial Instruments
|
||||||||||||||||
Forward Foreign Currency Contracts
|
– | (360,846 | ) | – | (360,846 | ) | ||||||||||
Credit Default Swap Agreements
|
– | 111,518 | – | 111,518 | ||||||||||||
Total Other Financial Instruments
|
$ | – | $ | (249,328 | ) | $ | – | $ | (249,328 | ) | ||||||
The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
|
||||||||||||||||||||||||||||||||||||
Balance
as of
3/31/12
|
Realized
gain (loss)
|
Change in
Unrealized appreciation
(depreciation)
|
Purchases
|
Sales
|
Accrued
discounts/ premiums
|
Transfers in to
Level 3*
|
Transfers out of
Level 3*
|
Balance
as of 12/31/12
|
||||||||||||||||||||||||||||
Corporate Bonds & Notes
|
||||||||||||||||||||||||||||||||||||
Environmental & Facilities Services
|
$ | 133,492 | $ | (1,220,357 | ) | $ | 1,141,508 | $ | – | $ | (54,643 | ) | $ | – | $ | – | $ | – | $ | – | ||||||||||||||||
Auto Parts & Equipment
|
- | – | - | – | – | – | – | – | - | ** | ||||||||||||||||||||||||||
Convertible Bonds & Notes
|
||||||||||||||||||||||||||||||||||||
Marine
|
1,052,235 | – | 1,496,604 | – | (2,547,307 | ) | (1,532 | ) | – | – | – | |||||||||||||||||||||||||
Common Stocks
|
||||||||||||||||||||||||||||||||||||
Building Products
|
438,060 | – | 84,036 | – | – | – | – | – | 522,096 | |||||||||||||||||||||||||||
Diversified Metals & Mining
|
918,466 | (959,452 | ) | 194,064 | – | (153,078 | ) | – | – | – | – | |||||||||||||||||||||||||
Total
|
$ | 2,542,253 | $ | (2,179,809 | ) | $ | 2,916,212 | $ | – | $ | (2,755,028 | ) | $ | (1,532 | ) | $ | – | $ | – | $ | 522,096 | |||||||||||||||
* Transfers are calculated on the end of period value
|
||||||||||||||||||||||||||||||||||||
** Lear Corp. is fair valued at $0.
|
||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation of Level 3 investments still held and considered
Level 3 at 12/31/12: 84,036
|
||||||||||||||||||||||||||||||||||||