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, 2016
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.
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Pioneer Diversified High
|
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Income Trust
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NQ | January 31, 2016
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Ticker Symbol: HNW
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|
Principal
Amount
USD ($)
|
Value
|
|||
|
ASSET BACKED SECURITIES - 1.5% of Net Assets
|
||||
|
652,444(a)
|
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.906%, 5/15/24 (144A)
|
$ 130,489
|
||
|
250,000
|
American Credit Acceptance Receivables Trust, Series 2014-2, Class D, 4.96%, 5/10/21 (144A)
|
252,862
|
||
|
200,000
|
Ascentium Equipment Receivables LLC, Series 2015-1A, Class E, 5.92%, 6/12/23 (144A)
|
199,671
|
||
|
81,268
|
Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 3/15/17
|
83,349
|
||
|
290,000(b)
|
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
|
272,523
|
||
|
468,112(c)
|
GMAT Trust, Series 2015-1A, Class A1, 4.25%, 9/25/20 (144A)
|
465,959
|
||
|
212,298
|
Monty Parent Issuer LLC, Series 2013-LTR1, Class B, 4.25%, 11/20/28 (144A)
|
212,265
|
||
|
399,973(c)
|
VOLT XXXVII LLC, Series 2015-NP11, Class A2, 4.375%, 7/25/45 (144A)
|
381,322
|
||
|
TOTAL ASSET BACKED SECURITIES
|
||||
|
(Cost $2,307,899)
|
$ 1,998,440
|
|||
|
COLLATERALIZED MORTGAGE OBLIGATIONS - 3.6% of Net Assets
|
||||
|
375,000(a)
|
BAMLL Commercial Mortgage Securities Trust, Series 2014-INLD, Class F, 2.954%, 12/15/29 (144A)
|
$ 338,919
|
||
|
145,016(b)
|
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41
|
144,959
|
||
|
260,000(a)
|
CFCRE Mortgage Trust, Series 2015-RUM, Class E, 5.026%, 7/15/30 (144A)
|
252,110
|
||
|
500,000(b)
|
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class E, 3.208%, 7/10/47 (144A)
|
309,917
|
||
|
500,000(b)
|
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class C, 5.957%, 5/15/46
|
460,436
|
||
|
300,000(b)
|
COMM Mortgage Trust, Series 2007-C9, Class H, 5.989%, 12/10/49 (144A)
|
276,766
|
||
|
250,000(b)
|
COMM Mortgage Trust, Series 2012-CR2, Class E, 5.017%, 8/15/45 (144A)
|
233,356
|
||
|
500,000(a)
|
CSMC Trust, Series 2015-SAND, Class F, 5.126%, 8/15/30 (144A)
|
484,743
|
||
|
115,766(a)
|
EQTY Mezzanine Trust, Series 2014-INMZ, Class M, 5.174%, 5/8/31 (144A)
|
115,192
|
||
|
170,000(a)
|
EQTY Mortgage Trust, Series 2014-INNS, Class E, 3.874%, 5/8/31 (144A)
|
165,521
|
||
|
70,810
|
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A)
|
55,808
|
||
|
134,757
|
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32
|
99,864
|
||
|
132,145
|
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
|
130,030
|
||
|
150,000
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45
|
144,430
|
||
|
550,000(a)
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-INN, Class E, 4.026%, 6/15/29 (144A)
|
540,428
|
||
|
495,227(b)
|
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41
|
493,174
|
||
|
500,000(b)
|
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49
|
486,519
|
||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
||||
|
(Cost $4,817,340)
|
$ 4,732,172
|
|||
|
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 32.4% of Net Assets*(a)
|
||||
|
AUTOMOBILES & COMPONENTS - 2.8%
|
||||
|
Auto Parts & Equipment - 1.5%
|
||||
|
494,987
|
Crowne Group LLC, First Lien Initial Term Loan, 6.0%, 9/30/20
|
$ 476,425
|
||
|
185,055
|
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21
|
149,548
|
||
|
162,108
|
Key Safety Systems, Inc., Initial Term Loan, 4.75%, 8/29/21
|
157,549
|
||
|
252,727
|
MPG Holdco I, Inc., Initial Term Loan, 3.75%, 10/20/21
|
243,678
|
||
|
179,096
|
TI Group Automotive Systems LLC, Initial US Term Loan, 4.5%, 6/30/22
|
174,395
|
||
|
791,099
|
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.0%, 4/23/20
|
759,455
|
||
|
$ 1,961,050
|
||||
|
Automobile Manufacturers - 1.1%
|
||||
|
1,432,500
|
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17
|
$ 1,426,730
|
||
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Tires & Rubber - 0.2%
|
||||
|
287,500
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.75%, 4/30/19
|
$ 288,174
|
||
|
Total Automobiles & Components
|
$ 3,675,954
|
|||
|
CAPITAL GOODS - 4.4%
|
||||
|
Aerospace & Defense - 0.4%
|
||||
|
121,966
|
TASC, Inc., First Lien Term Loan, 7.0%, 5/22/20
|
$ 121,152
|
||
|
232,628
|
Vencore, Inc. (fka SI Organization, Inc.), Initial First Lien Term Loan, 5.75%, 11/23/19
|
230,496
|
||
|
157,600
|
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21
|
142,891
|
||
|
$ 494,539
|
||||
|
Building Products - 1.4%
|
||||
|
913,099
|
Builders FirstSource, Inc., Term Loan B, 6.0%, 7/29/22
|
$ 897,880
|
||
|
500,000
|
Quanex Building Products Corp., Initial Term Loan, 6.25%, 11/2/22
|
492,187
|
||
|
396,994
|
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
|
380,122
|
||
|
$ 1,770,189
|
||||
|
Construction Machinery & Heavy Trucks - 0.3%
|
||||
|
390,000
|
Navistar, Inc., Tranche B Term Loan, 6.5%, 8/7/20
|
$ 346,125
|
||
|
Electrical Components & Equipment - 0.4%
|
||||
|
516,855
|
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
|
$ 503,072
|
||
|
Industrial Conglomerates - 0.8%
|
||||
|
494,554
|
Doosan Infracore International, Inc. (Doosan Holdings Europe, Ltd.), Tranche B Term Loan, 4.5%, 5/28/21
|
$ 475,390
|
||
|
102,580
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Dollar Term B-3 Loan, 4.25%, 8/30/20
|
102,067
|
||
|
337,095
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.25%, 8/30/20
|
335,410
|
||
|
35,118
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.25%, 8/30/20
|
34,943
|
||
|
89,694
|
Filtration Group Corp., Initial Second Lien Term Loan, 8.25%, 11/22/21
|
87,153
|
||
|
10,632
|
Kleopatra Holdings 2 SCA, Initial German Borrower Dollar Term Loan, 5.0%, 4/28/20
|
10,614
|
||
|
24,879
|
Kleopatra Holdings 2 SCA, Initial US Borrower Dollar Term Loan, 5.0%, 4/28/20
|
24,837
|
||
|
$ 1,070,414
|
||||
|
Industrial Machinery - 0.7%
|
||||
|
498,750
|
NN, Inc., Initial Term Loan, 5.75%, 10/19/22
|
$ 491,269
|
||
|
473,787
|
Xerium Technologies, Inc., New Term Loan, 6.25%, 5/17/19
|
473,491
|
||
|
$ 964,760
|
||||
|
Trading Companies & Distributors - 0.4%
|
||||
|
299,013
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18
|
$ 299,013
|
||
|
284,593
|
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19
|
284,771
|
||
|
$ 583,784
|
||||
|
Total Capital Goods
|
$ 5,732,883
|
|||
|
COMMERCIAL & PROFESSIONAL SERVICES - 0.5%
|
||||
|
Environmental & Facilities Services - 0.3%
|
||||
|
500,000
|
Granite Acquisition, Inc., Second Lien Term B Loan, 8.25%, 12/19/22
|
$ 388,333
|
||
|
Security & Alarm Services - 0.2%
|
||||
|
120,230
|
Monitronics International, Inc., 2013 Term Loan B, 4.25%, 3/23/18
|
$ 116,623
|
||
|
127,250
|
Protection One, Inc., 2012 Term Loan, 5.0%, 7/1/21
|
125,421
|
||
|
$ 242,044
|
||||
|
Total Commercial & Professional Services
|
$ 630,377
|
|||
|
CONSUMER DURABLES & APPAREL - 0.3%
|
||||
|
Home Furnishings - 0.1%
|
||||
|
72,361
|
Tempur Pedic International, Inc., New Term Loan B, 3.5%, 3/18/20
|
$ 72,282
|
||
|
Leisure Products - 0.2%
|
||||
|
300,000
|
Bombardier Recreational Products, Inc., Term B Loan, 3.75%, 1/30/19
|
$ 296,400
|
||
|
Total Consumer Durables & Apparel
|
$ 368,682
|
|||
|
CONSUMER SERVICES - 1.6%
|
||||
|
Casinos & Gaming - 0.2%
|
||||
|
297,000
|
Scientific Games International, Inc., Initial Term B-2 Loan, 6.0%, 10/1/21
|
$ 265,391
|
||
|
Leisure Facilities - 0.1%
|
||||
|
130,795
|
Fitness International LLC, Term B Loan, 5.5%, 7/1/20
|
$ 123,847
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Restaurants - 0.7%
|
||||
|
387,677
|
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18
|
$ 386,708
|
||
|
534,188
|
NPC International, Inc., Term Loan, 4.75%, 12/28/18
|
529,847
|
||
|
$ 916,555
|
||||
|
Specialized Consumer Services - 0.6%
|
||||
|
748,125
|
KC MergerSub, Inc., First Lien Initial Term Loan, 6.0%, 8/12/22
|
$ 738,773
|
||
|
Total Consumer Services
|
$ 2,044,566
|
|||
|
DIVERSIFIED FINANCIALS - 0.3%
|
||||
|
Consumer Finance - 0.1%
|
||||
|
214,622
|
Trans Union LLC, Term B-2 Loan, 3.5%, 4/9/21
|
$ 207,781
|
||
|
Specialized Finance - 0.2%
|
||||
|
248,125
|
DBRS, Ltd., Initial Term Loan, 6.25%, 3/4/22
|
$ 246,884
|
||
|
Total Diversified Financials
|
$ 454,665
|
|||
|
ENERGY - 0.8%
|
||||
|
Coal & Consumable Fuels - 0.1%
|
||||
|
352,500
|
PT Bumi Resources Tbk, Term Loan, 18.0%, 11/4/16
|
$ 75,788
|
||
|
Integrated Oil & Gas - 0.3%
|
||||
|
480,528
|
TerraForm AP Acquisition Holdings LLC, Term Loan, 5.0%, 6/27/22
|
$ 451,696
|
||
|
Oil & Gas Drilling - 0.2%
|
||||
|
444,680
|
Jonah Energy LLC, Initial Second Lien Term Loan, 7.5%, 5/12/21
|
$ 255,691
|
||
|
Oil & Gas Equipment & Services - 0.2%
|
||||
|
542,838
|
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20
|
$ 282,276
|
||
|
Total Energy
|
$ 1,065,451
|
|||
|
FOOD & STAPLES RETAILING - 0.3%
|
||||
|
Food Distributors - 0.3%
|
||||
|
400,000
|
AdvancePierre Foods, Inc., Second Lien Term Loan, 9.5%, 10/10/17
|
$ 395,500
|
||
|
Total Food & Staples Retailing
|
$ 395,500
|
|||
|
FOOD, BEVERAGE & TOBACCO - 0.4%
|
||||
|
Packaged Foods & Meats - 0.4%
|
||||
|
476,386
|
Dole Food Co., Inc., Tranche B Term Loan, 4.5%, 11/1/18
|
$ 468,049
|
||
|
Total Food, Beverage & Tobacco
|
$ 468,049
|
|||
|
HEALTH CARE EQUIPMENT & SERVICES - 3.5%
|
||||
|
Health Care Equipment - 0.5%
|
||||
|
500,000
|
Concentra, Inc., Initial Second Lien Term Loan, 9.0%, 6/1/23
|
$ 490,300
|
||
|
235,326
|
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.5%, 5/4/18
|
229,540
|
||
|
$ 719,840
|
||||
|
Health Care Facilities - 1.6%
|
||||
|
263,764
|
CHS/Community Health Systems, Inc., Incremental 2018 Term F Loan, 3.657%, 12/31/18
|
$ 260,241
|
||
|
247,538
|
CHS/Community Health Systems, Inc., Incremental 2019 Term G Loan, 3.75%, 12/31/19
|
238,545
|
||
|
455,460
|
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan, 4.0%, 1/27/21
|
439,266
|
||
|
193,585
|
HCA, Inc., Tranche B-5 Term Loan, 3.18%, 3/31/17
|
193,611
|
||
|
316,930
|
Kindred Healthcare, Inc., Incremental Term Loan, 4.25%, 4/9/21
|
306,630
|
||
|
297,710
|
Steward Health Care System LLC, Term Loan, 6.75%, 4/10/20
|
287,290
|
||
|
401,315
|
Surgical Care Affiliates, Inc., Initial Term Loan, 4.25%, 3/17/22
|
400,480
|
||
|
$ 2,126,063
|
||||
|
Health Care Services - 1.0%
|
||||
|
348,058
|
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20
|
$ 297,589
|
||
|
208,835
|
Bioscrip, Inc., Term Loan, 6.5%, 7/31/20
|
178,554
|
||
|
349,125
|
HC Group Holdings III, Inc., Initial First Lien Term Loan, 6.0%, 4/7/22
|
348,689
|
||
|
201,413
|
National Mentor Holdings, Inc., Tranche B Term Loan, 4.25%, 1/31/21
|
198,517
|
||
|
277,085
|
Valitas Health Services, Inc., Term Loan B, 6.0%, 6/2/17
|
221,668
|
||
|
$ 1,245,017
|
||||
|
Health Care Supplies - 0.2%
|
||||
|
231,816
|
Alere, Inc., Term Loan B, 4.25%, 6/20/22
|
$ 229,809
|
||
|
Health Care Technology - 0.2%
|
||||
|
236,441
|
IMS Health, Inc., Tranche B-1 Dollar Term Loan, 3.5%, 3/17/21
|
$ 232,599
|
||
|
Total Health Care Equipment & Services
|
$ 4,553,328
|
|||
|
HOUSEHOLD & PERSONAL PRODUCTS - 0.7%
|
||||
|
Household Products - 0.5%
|
||||
|
307,542
|
Dollar Tree, Inc., Term B-1 Loan, 3.5%, 7/6/22
|
$ 307,240
|
||
|
372,477
|
SRAM LLC, First Lien Term Loan, 4.0%, 4/10/20
|
303,680
|
||
|
$ 610,920
|
||||
|
Personal Products - 0.2%
|
||||
|
100,000
|
Atrium Innovations, Inc., Second Lien Term Loan, 7.75%, 8/13/21
|
$ 86,000
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Personal Products - (continued)
|
||||
|
207,004
|
NBTY, Inc., B-2 Term Loan, 3.5%, 10/1/17
|
$ 204,503
|
||
|
$ 290,503
|
||||
|
Total Household & Personal Products
|
$ 901,423
|
|||
|
INSURANCE - 3.0%
|
||||
|
Insurance Brokers - 0.3%
|
||||
|
382,302
|
Cooper Gay Swett & Crawford, Ltd. (CGSC of Delaware Holdings Corp.), First Lien Term Loan, 5.0%, 4/16/20
|
$ 368,205
|
||
|
Life & Health Insurance - 0.4%
|
||||
|
434,259
|
Integro, Ltd., Initial Term Loan, 6.75%, 10/31/22
|
$ 425,574
|
||
|
65,741
|
Integro, Ltd., Term Loan, 6.75%, 10/31/22
|
64,426
|
||
|
$ 490,000
|
||||
|
Multi-Line Insurance - 0.0%†
|
||||
|
167,329
|
Alliant Holdings I LLC, Term Loan B, 4.5%, 8/12/22
|
$ 163,303
|
||
|
Property & Casualty Insurance - 2.3%
|
||||
|
744,226
|
Confie Seguros Holding II Co., First Lien Term Loan B, 5.75%, 11/9/18
|
$ 732,132
|
||
|
593,765
|
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
|
581,890
|
||
|
744,375
|
Hyperion Insurance Group, Ltd., Initial Term B Loan, 5.5%, 4/29/22
|
723,284
|
||
|
936,363
|
USI, Inc., Initial Term Loan, 4.25%, 12/27/19
|
918,807
|
||
|
$ 2,956,113
|
||||
|
Total Insurance
|
$ 3,977,621
|
|||
|
MATERIALS - 2.1%
|
||||
|
Diversified Chemicals - 0.2%
|
||||
|
274,313
|
Univar USA, Inc., Initial Dollar Term Loan, 4.25%, 7/1/22
|
$ 266,475
|
||
|
Diversified Metals & Mining - 0.0%†
|
||||
|
75,256(d)(j)
|
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.0%, 11/25/14
|
$ 16,180
|
||
|
Metal & Glass Containers - 0.8%
|
||||
|
389,223
|
Tank Holding Corp., Initial Term Loan, 6.75%, 3/16/22
|
$ 382,170
|
||
|
746,250
|
Tekni-Plex, Inc., USD Term Loan, 4.5%, 6/1/22
|
733,424
|
||
|
$ 1,115,594
|
||||
|
Paper Packaging - 0.4%
|
||||
|
489,449
|
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19
|
$ 481,087
|
||
|
Paper Products - 0.3%
|
||||
|
287,111
|
Appvion, Inc., Term Commitment, 5.75%, 6/28/19
|
$ 260,075
|
||
|
79,137
|
Exopack Holdings SA, USD Term Loan, 4.5%, 5/8/19
|
76,367
|
||
|
$ 336,442
|
||||
|
Specialty Chemicals - 0.4%
|
||||
|
23,810
|
Chemtura Corp., New Term Loan, 3.5%, 8/29/16
|
$ 23,884
|
||
|
498,750
|
Macdermid, Inc. (Platform Specialty Products Corp.), Term Loan B3, 5.5%, 6/7/20
|
464,981
|
||
|
$ 488,865
|
||||
|
Total Materials
|
$ 2,704,643
|
|||
|
MEDIA - 3.3%
|
||||
|
Advertising - 0.7%
|
||||
|
943,253
|
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18
|
$ 858,066
|
||
|
Broadcasting - 1.0%
|
||||
|
276,667
|
Hubbard Radio LLC, Term Loan, 4.25%, 5/27/22
|
$ 257,300
|
||
|
300,000
|
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21
|
297,000
|
||
|
296,250
|
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 6.75%, 8/13/21
|
258,848
|
||
|
458,597
|
Univision Communications, Inc., Replacement First Lien Term Loan, 4.0%, 3/1/20
|
448,613
|
||
|
$ 1,261,761
|
||||
|
Cable & Satellite - 0.2%
|
||||
|
309,928
|
WideOpenWest Finance LLC, Replacement Term B Loan, 4.5%, 4/1/19
|
$ 302,180
|
||
|
Movies & Entertainment - 0.0%†
|
||||
|
37,669
|
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18
|
$ 37,575
|
||
|
Publishing - 1.4%
|
||||
|
511,252
|
Cengage Learning Acquisitions, Inc., Term Loan, 7.0%, 3/31/20
|
$ 498,790
|
||
|
323,375
|
Houghton Mifflin Holdings, Inc., Term Loan, 4.0%, 5/28/21
|
316,503
|
||
|
103,228
|
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
|
101,742
|
||
|
931,000
|
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19
|
917,617
|
||
|
$ 1,834,652
|
||||
|
Total Media
|
$ 4,294,234
|
|||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 2.2%
|
||||
|
Biotechnology - 0.7%
|
||||
|
1,044,750
|
Lantheus Medical Imaging, Inc., Term Loan, 7.0%, 6/30/22
|
$ 961,170
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Life Sciences Tools & Services - 1.1%
|
||||
|
997,500
|
Albany Molecular Research, Inc., Term Loan B, 5.75%, 7/16/21
|
$ 990,019
|
||
|
426,676
|
Catalent Pharma Solutions, Inc., Dollar Term Loan, 4.25%, 5/20/21
|
425,376
|
||
|
$ 1,415,395
|
||||
|
Pharmaceuticals - 0.4%
|
||||
|
550,000
|
Concordia Healthcare Corp., Initial Dollar Term Loan, 5.25%, 10/21/21
|
$ 528,688
|
||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 2,905,253
|
|||
|
REAL ESTATE - 0.6%
|
||||
|
Retail REITs - 0.6%
|
||||
|
275,990
|
DTZ U.S. Borrower LLC, First Lien Initial Term Loan, 4.25%, 11/4/21
|
$ 268,975
|
||
|
500,000
|
DTZ U.S. Borrower LLC, Second Lien Initial Term Loan, 9.25%, 11/4/22
|
496,250
|
||
|
Total Real Estate
|
$ 765,225
|
|||
|
RETAILING - 0.9%
|
||||
|
Automotive Retail - 0.5%
|
||||
|
647,500
|
CWGS Group LLC, Term Loan, 5.25%, 2/20/20
|
$ 643,453
|
||
|
Computer & Electronics Retail - 0.3%
|
||||
|
720,370
|
Targus Group International, Inc., Term Loan, 15.0%, 5/24/16
|
$ 432,222
|
||
|
Specialty Stores - 0.1%
|
||||
|
157,295
|
Petsmart, Inc., Tranche B-1 Loan, 4.25%, 3/11/22
|
$ 152,642
|
||
|
Total Retailing
|
$ 1,228,317
|
|||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.3%
|
||||
|
Semiconductor Equipment - 0.3%
|
||||
|
471,611
|
VAT Lux II S.a.r.l., Term Loan, 4.25%, 2/11/21
|
$ 463,358
|
||
|
Total Semiconductors & Semiconductor Equipment
|
$ 463,358
|
|||
|
SOFTWARE & SERVICES - 1.7%
|
||||
|
Application Software - 0.9%
|
||||
|
496,300
|
Epiq Systems, Inc., Term Loan, 4.5%, 8/27/20
|
$ 488,856
|
||
|
210,670
|
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18
|
209,616
|
||
|
500,000
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17
|
500,375
|
||
|
$ 1,198,847
|
||||
|
IT Consulting & Other Services - 0.8%
|
||||
|
246,250
|
Evergreen Skills Lux S.a.r.l., First Lien Initial Term Loan, 5.75%, 4/28/21
|
$ 184,380
|
||
|
623,438
|
Sitel Worldwide Corp., First Lien Term B-1 Loan, 6.5%, 9/18/21
|
609,929
|
||
|
300,000
|
TaxACT, Inc. (H.D. Vest, Inc.), Initial Term Loan, 7.0%, 1/3/23
|
292,500
|
||
|
$ 1,086,809
|
||||
|
Total Software & Services
|
$ 2,285,656
|
|||
|
TECHNOLOGY HARDWARE & EQUIPMENT - 0.4%
|
||||
|
Communications Equipment - 0.1%
|
||||
|
64,644
|
CommScope, Inc., Tranche 4 Term Loan, 3.31%, 1/14/18
|
$ 64,483
|
||
|
Electronic Components - 0.3%
|
||||
|
456,550
|
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.), First Lien Initial Term Loan, 5.75%, 3/31/22
|
$ 451,794
|
||
|
Total Technology Hardware & Equipment
|
$ 516,277
|
|||
|
TELECOMMUNICATION SERVICES - 0.9%
|
||||
|
Integrated Telecommunication Services - 0.6%
|
||||
|
496,250
|
GCI Holdings, Inc., Term B Loan, 4.0%, 2/2/22
|
$ 496,560
|
||
|
500,000
|
Securus Technologies Holdings, Inc., Term Loan B2, 5.25%, 4/30/20
|
373,750
|
||
|
$ 870,310
|
||||
|
Wireless Telecommunication Services - 0.3%
|
||||
|
333,333
|
Syniverse Holdings, Inc., Initial Term Loan, 4.0%, 4/23/19
|
$ 233,333
|
||
|
166,667
|
Syniverse Holdings, Inc., Tranche B Term Loan, 4.0%, 4/23/19
|
116,667
|
||
|
$ 350,000
|
||||
|
Total Telecommunication Services
|
$ 1,220,310
|
|||
|
TRANSPORTATION - 1.1%
|
||||
|
Marine - 0.8%
|
||||
|
622,129
|
Commercial Barge Line Co., Initial First Lien Term Loan, 9.75%, 11/12/20
|
$ 553,695
|
||
|
474,507
|
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18
|
434,174
|
||
|
$ 987,869
|
||||
|
Trucking - 0.3%
|
||||
|
496,203
|
YRC Worldwide, Inc., Initial Term Loan, 8.0%, 2/13/19
|
$ 411,848
|
||
|
Total Transportation
|
$ 1,399,717
|
|||
|
Principal
Amount
USD ($)
|
Value
|
|||
|
UTILITIES - 0.3%
|
||||
|
Electric Utilities - 0.3%
|
||||
|
436,923
|
Atlantic Power Limited Partnership, Term Loan, 4.75%, 2/24/21
|
$ 428,731
|
||
|
Total Utilities
|
$ 428,731
|
|||
|
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
||||
|
(Cost $44,919,006)
|
$ 42,480,220
|
|||
|
CORPORATE BONDS & NOTES - 93.2% of Net Assets
|
||||
|
AUTOMOBILES & COMPONENTS - 0.2%
|
||||
|
Auto Parts & Equipment - 0.2%
|
||||
|
350,000
|
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
|
$ 287,000
|
||
|
Total Automobiles & Components
|
$ 287,000
|
|||
|
BANKS - 3.6%
|
||||
|
Diversified Banks - 3.6%
|
||||
|
525,000
|
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A)
|
$ 539,437
|
||
|
400,000(b)
|
Banco Macro SA, 9.75%, 12/18/36
|
393,000
|
||
|
200,000(b)(e)
|
Banco Santander SA, 6.375%
|
184,429
|
||
|
325,000(b)(e)
|
Bank of America Corp., 6.25%
|
325,000
|
||
|
1,000,000(b)(e)
|
Credit Agricole SA, 7.875% (144A)
|
973,598
|
||
|
350,000(b)(e)
|
ING Groep NV, 6.5%
|
339,063
|
||
|
200,000(b)(e)
|
Royal Bank of Scotland Group Plc, 7.5%
|
203,500
|
||
|
500,000(b)(e)
|
Royal Bank of Scotland Group Plc, 8.0%
|
513,125
|
||
|
200,000
|
Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (144A)
|
177,600
|
||
|
245,000
|
Trade & Development Bank of Mongolia LLC, 9.375%, 5/19/20 (144A)
|
217,464
|
||
|
750,000
|
UBS AG / Stamford CT, 7.625%, 8/17/22
|
849,030
|
||
|
Total Banks
|
$ 4,715,246
|
|||
|
CAPITAL GOODS - 4.1%
|
||||
|
Aerospace & Defense - 1.0%
|
||||
|
400,000
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$ 404,000
|
||
|
680,000
|
DynCorp International, Inc., 10.375%, 7/1/17
|
501,500
|
||
|
435,000
|
LMI Aerospace, Inc., 7.375%, 7/15/19
|
411,075
|
||
|
$ 1,316,575
|
||||
|
Agricultural & Farm Machinery - 0.3%
|
||||
|
475,000
|
Titan International, Inc., 6.875%, 10/1/20
|
$ 347,453
|
||
|
Building Products - 0.2%
|
||||
|
300,000
|
USG Corp., 7.875%, 3/30/20 (144A)
|
$ 313,500
|
||
|
Construction & Engineering - 0.1%
|
||||
|
780,000
|
Empresas ICA SAB de CV, 8.9%, 2/4/21 (144A)
|
$ 144,300
|
||
|
Construction Machinery & Heavy Trucks - 0.2%
|
||||
|
360,000
|
Meritor, Inc., 6.75%, 6/15/21
|
$ 315,000
|
||
|
Electrical Components & Equipment - 0.5%
|
||||
|
750,000
|
WireCo WorldGroup, Inc., 9.5%, 5/15/17
|
$ 624,375
|
||
|
Industrial Conglomerates - 0.4%
|
||||
|
455,000
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
$ 468,650
|
||
|
Industrial Machinery - 0.8%
|
||||
|
560,000
|
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)
|
$ 406,000
|
||
|
450,000
|
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
|
423,000
|
||
|
217,120(f)(g)
|
Liberty Tire Recycling LLC, 11.0% (11.0% PIK 0.0% cash), 3/31/21 (144A)
|
138,957
|
||
|
150,000
|
Xerium Technologies, Inc., 8.875%, 6/15/18
|
145,687
|
||
|
$ 1,113,644
|
||||
|
Trading Companies & Distributors - 0.6%
|
||||
|
150,000
|
H&E Equipment Services, Inc., 7.0%, 9/1/22
|
$ 137,250
|
||
|
544,000
|
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19
|
583,440
|
||
|
$ 720,690
|
||||
|
Total Capital Goods
|
$ 5,364,187
|
|||
|
COMMERCIAL & PROFESSIONAL SERVICES - 1.2%
|
||||
|
Commercial Printing - 0.2%
|
||||
|
340,000
|
Cenveo Corp., 6.0%, 8/1/19 (144A)
|
$ 233,750
|
||
|
Diversified Support Services - 1.0%
|
||||
|
280,000
|
Broadspectrum, Ltd., 8.375%, 5/15/20 (144A)
|
$ 283,500
|
||
|
950,000
|
NANA Development Corp., 9.5%, 3/15/19 (144A)
|
845,500
|
||
|
260,000
|
TMS International Corp., 7.625%, 10/15/21 (144A)
|
200,850
|
||
|
$ 1,329,850
|
||||
|
Total Commercial & Professional Services
|
$ 1,563,600
|
|||
|
Principal
Amount
USD ($)
|
Value
|
|||
|
CONSUMER DURABLES & APPAREL - 1.8%
|
||||
|
Home Furnishings - 0.4%
|
||||
|
535,000
|
Tempur Sealy International, Inc., 6.875%, 12/15/20
|
$ 563,088
|
||
|
Homebuilding - 0.7%
|
||||
|
350,000
|
Brookfield Residential Properties, Inc., 6.375%, 5/15/25 (144A)
|
$ 294,875
|
||
|
605,000(d)
|
Desarrolladora Homex SAB de CV, 9.5%, 12/11/19 (144A)
|
9,075
|
||
|
250,000
|
KB Home, 7.0%, 12/15/21
|
235,000
|
||
|
340,000
|
KB Home, 7.625%, 5/15/23
|
319,600
|
||
|
$ 858,550
|
||||
|
Leisure Products - 0.7%
|
||||
|
1,000,000
|
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)
|
$ 890,000
|
||
|
Total Consumer Durables & Apparel
|
$ 2,311,638
|
|||
|
CONSUMER SERVICES - 2.7%
|
||||
|
Casinos & Gaming - 0.9%
|
||||
|
805,876(d)(f)
|
Mashantucket Western Pequot Tribe, 6.5% (5.5% PIK 1.0% cash), 7/1/36
|
$ 4,030
|
||
|
365,000
|
MGM Resorts International, 6.0%, 3/15/23
|
363,859
|
||
|
100,000
|
Scientific Games International, Inc., 6.25%, 9/1/20
|
47,500
|
||
|
1,200,000
|
Scientific Games International, Inc., 10.0%, 12/1/22
|
834,000
|
||
|
$ 1,249,389
|
||||
|
Hotels, Resorts & Cruise Lines - 0.4%
|
||||
|
245,000
|
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)
|
$ 204,575
|
||
|
325,000
|
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)
|
301,437
|
||
|
$ 506,012
|
||||
|
Leisure Facilities - 0.5%
|
||||
|
EUR
|
566,487
|
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A)
|
$ 617,340
|
|
|
Specialized Consumer Services - 0.9%
|
||||
|
1,153,000
|
Constellis Holdings LLC / Constellis Finance Corp., 9.75%, 5/15/20 (144A)
|
$ 882,045
|
||
|
315,000
|
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21
|
322,875
|
||
|
$ 1,204,920
|
||||
|
Total Consumer Services
|
$ 3,577,661
|
|||
|
DIVERSIFIED FINANCIALS - 1.6%
|
||||
|
Consumer Finance - 0.7%
|
||||
|
445,000
|
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
|
$ 371,575
|
||
|
203,374
|
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)
|
204,233
|
||
|
440,000
|
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
|
316,800
|
||
|
$ 892,608
|
||||
|
Investment Banking & Brokerage - 0.2%
|
||||
|
450,000(b)(e)
|
Goldman Sachs Capital II, 4.0%
|
$ 297,000
|
||
|
Specialized Finance - 0.7%
|
||||
|
750,000(a)
|
Bosphorus, Ltd., 3.735%, 8/17/18 (144A)
|
$ 730,950
|
||
|
175,000
|
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
|
154,438
|
||
|
$ 885,388
|
||||
|
Total Diversified Financials
|
$ 2,074,996
|
|||
|
ENERGY - 6.7%
|
||||
|
Coal & Consumable Fuels - 0.1%
|
||||
|
400,000(d)
|
James River Coal Co., 7.875%, 4/1/19
|
$ 9,000
|
||
|
715,000
|
Penn Virginia Corp., 8.5%, 5/1/20
|
116,188
|
||
|
$ 125,188
|
||||
|
Integrated Oil & Gas - 0.3%
|
||||
|
MXN
|
540,000
|
Petroleos Mexicanos, 7.19%, 9/12/24 (144A)
|
$ 26,887
|
|
|
325,000
|
YPF SA, 8.875%, 12/19/18 (144A)
|
331,500
|
||
|
$ 358,387
|
||||
|
Oil & Gas Drilling - 0.4%
|
||||
|
730,000
|
Ocean Rig UDW, Inc., 7.25%, 4/1/19 (144A)
|
$ 306,600
|
||
|
320,000
|
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)
|
224,000
|
||
|
$ 530,600
|
||||
|
Oil & Gas Equipment & Services - 0.4%
|
||||
|
330,000(a)
|
FTS International, Inc., 8.012%, 6/15/20 (144A)
|
$ 218,756
|
||
|
425,000
|
McDermott International, Inc., 8.0%, 5/1/21 (144A)
|
292,187
|
||
|
$ 510,943
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Oil & Gas Exploration & Production - 2.6%
|
||||
|
100,000
|
Comstock Resources, Inc., 7.75%, 4/1/19
|
$ 12,250
|
||
|
137,000
|
Comstock Resources, Inc., 9.5%, 6/15/20
|
16,097
|
||
|
490,000
|
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20
|
208,250
|
||
|
360,000
|
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A)
|
219,600
|
||
|
570,000
|
Gulfport Energy Corp., 7.75%, 11/1/20
|
501,600
|
||
|
402,000
|
Halcon Resources Corp., 12.0%, 2/15/22 (144A)
|
233,160
|
||
|
600,000
|
Midstates Petroleum Co., Inc., 9.25%, 6/1/21
|
27,000
|
||
|
450,000
|
Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A)
|
396,562
|
||
|
535,000
|
PDC Energy, Inc., 7.75%, 10/15/22
|
508,250
|
||
|
750,000
|
PetroQuest Energy, Inc., 10.0%, 9/1/17
|
427,500
|
||
|
240,000(d)
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
24
|
||
|
375,000
|
Rice Energy, Inc., 6.25%, 5/1/22
|
284,063
|
||
|
870,000
|
Sanchez Energy Corp., 7.75%, 6/15/21
|
361,050
|
||
|
300,000
|
WPX Energy, Inc., 7.5%, 8/1/20
|
188,430
|
||
|
150,000
|
WPX Energy, Inc., 8.25%, 8/1/23
|
96,000
|
||
|
$ 3,479,836
|
||||
|
Oil & Gas Refining & Marketing - 1.4%
|
||||
|
669,000
|
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21
|
$ 481,680
|
||
|
925,000
|
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23 (144A)
|
853,313
|
||
|
520,000
|
Western Refining Logistics LP / WNRL Finance Corp., 7.5%, 2/15/23
|
473,200
|
||
|
$ 1,808,193
|
||||
|
Oil & Gas Storage & Transportation - 1.5%
|
||||
|
450,000(a)
|
Energy Transfer Partners LP, 3.633%, 11/1/66
|
$ 261,000
|
||
|
950,000
|
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22
|
779,000
|
||
|
480,000
|
Global Partners LP / GLP Finance Corp., 7.0%, 6/15/23 (144A)
|
345,600
|
||
|
170,000
|
PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/23
|
144,075
|
||
|
725,000
|
Williams Cos, Inc., 5.75%, 6/24/44
|
407,136
|
||
|
$ 1,936,811
|
||||
|
Total Energy
|
$ 8,749,958
|
|||
|
FOOD & STAPLES RETAILING - 0.5%
|
||||
|
Food Retail - 0.5%
|
||||
|
200,000
|
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A)
|
$ 181,000
|
||
|
460,000
|
Tops Holding LLC / Tops Markets II Corp., 8.0%, 6/15/22 (144A)
|
437,000
|
||
|
$ 618,000
|
||||
|
Total Food & Staples Retailing
|
$ 618,000
|
|||
|
FOOD, BEVERAGE & TOBACCO - 9.4%
|
||||
|
Agricultural Products - 1.0%
|
||||
|
900,000
|
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)
|
$ 841,500
|
||
|
520,000
|
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)
|
416,000
|
||
|
225,000(d)
|
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)
|
108,000
|
||
|
$ 1,365,500
|
||||
|
Packaged Foods & Meats - 7.1%
|
||||
|
225,000
|
Agrokor DD, 8.875%, 2/1/20 (144A)
|
$ 236,813
|
||
|
EUR
|
200,000
|
Agrokor DD, 9.875%, 5/1/19 (144A)
|
229,054
|
|
|
650,000
|
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)
|
658,125
|
||
|
500,000(d)
|
CFG Investment SAC, 9.75%, 7/30/19 (144A)
|
340,000
|
||
|
136,000
|
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21
|
144,160
|
||
|
1,100,000
|
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
|
1,134,375
|
||
|
900,000
|
JBS Investments GmbH, 7.25%, 4/3/24 (144A)
|
726,480
|
||
|
515,000
|
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)
|
462,856
|
||
|
800,000
|
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
|
768,000
|
||
|
700,000
|
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)
|
668,500
|
||
|
475,000
|
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A)
|
461,938
|
||
|
700,000
|
MHP SA, 8.25%, 4/2/20 (144A)
|
598,500
|
||
|
1,600,000
|
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
|
1,492,000
|
||
|
200,000
|
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
|
202,250
|
||
|
600,000
|
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)
|
357,000
|
||
|
640,000
|
Post Holdings, Inc., 6.75%, 12/1/21 (144A)
|
669,504
|
||
|
200,000
|
Post Holdings, Inc., 7.75%, 3/15/24 (144A)
|
213,000
|
||
|
$ 9,362,555
|
||||
|
Soft Drinks - 0.3%
|
||||
|
355,000
|
Cott Beverages, Inc., 5.375%, 7/1/22
|
$ 344,350
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Tobacco - 1.0%
|
||||
|
1,645,000
|
Alliance One International, Inc., 9.875%, 7/15/21
|
$ 1,303,662
|
||
|
Total Food, Beverage & Tobacco
|
$ 12,376,067
|
|||
|
HEALTH CARE EQUIPMENT & SERVICES - 2.0%
|
||||
|
Health Care Facilities - 0.5%
|
||||
|
700,000
|
Kindred Healthcare, Inc., 6.375%, 4/15/22
|
$ 569,625
|
||
|
Health Care Services - 1.0%
|
||||
|
425,000
|
BioScrip, Inc., 8.875%, 2/15/21
|
$ 338,938
|
||
|
990,000
|
Truven Health Analytics, Inc., 10.625%, 6/1/20
|
970,200
|
||
|
$ 1,309,138
|
||||
|
Health Care Supplies - 0.3%
|
||||
|
500,000
|
Immucor, Inc., 11.125%, 8/15/19
|
$ 408,750
|
||
|
Health Care Technology - 0.2%
|
||||
|
275,000
|
Emdeon, Inc., 11.0%, 12/31/19
|
$ 286,000
|
||
|
Total Health Care Equipment & Services
|
$ 2,573,513
|
|||
|
HOUSEHOLD & PERSONAL PRODUCTS - 0.8%
|
||||
|
Household Products - 0.6%
|
||||
|
EUR
|
350,000(a)
|
Hydra Dutch Holdings 2BV, 5.356%, 4/15/19 (144A)
|
$ 358,392
|
|
|
460,000
|
Springs Industries, Inc., 6.25%, 6/1/21
|
453,100
|
||
|
$ 811,492
|
||||
|
Personal Products - 0.2%
|
||||
|
345,000
|
Monitronics International, Inc., 9.125%, 4/1/20
|
$ 276,862
|
||
|
Total Household & Personal Products
|
$ 1,088,354
|
|||
|
INSURANCE - 34.0%
|
||||
|
Insurance Brokers - 0.0%†
|
||||
|
GBP
|
10,489(a)
|
Towergate Finance Plc, 8.5%, 3/2/20 (144A)
|
$ 15,237
|
|
|
Life & Health Insurance - 0.1%
|
||||
|
GBP
|
59,442
|
TIG FINCO Plc, 8.75%, 4/2/20 (144A)
|
$ 72,594
|
|
|
Property & Casualty Insurance - 3.4%
|
||||
|
6,000,000(c)(g)
|
Fixed Income Trust, Series 2013-A, 0.0%, 10/15/97 (144A)
|
$ 4,438,670
|
||
|
80,000(b)(e)
|
White Mountains Insurance Group, Ltd., 7.506%, (144A)
|
80,112
|
||
|
$ 4,518,782
|
||||
|
Reinsurance - 30.5%
|
||||
|
1,563,217(h)
|
Altair Re II, Ltd. (Willis Securities, Inc.), Variable Rate Notes, 6/30/16
|
$ 63,467
|
||
|
695,760(h)
|
Altair Re III, Ltd. (Willis Securities, Inc.), Variable Rate Notes, 6/30/17
|
275,799
|
||
|
1,000,000(a)
|
Bosphorus Re, Ltd., 2.815%, 5/3/16 (144A) (Cat Bond)
|
991,300
|
||
|
200,000(h)
|
Carnousite Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
|
200,940
|
||
|
800,000(h)
|
Carnousite Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
|
803,760
|
||
|
EUR
|
1,000,000(h)
|
Dundonald Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/17/17
|
966,794
|
|
|
1,750,000(a)
|
East Lane Re VI, Ltd., 3.065%, 3/14/18 (144A) (Cat Bond)
|
1,729,350
|
||
|
1,000,000(a)
|
Everglades Re, Ltd., 9.795%, 3/28/16 (144A) (Cat Bond)
|
1,010,500
|
||
|
250,000(a)
|
Galileo Re, Ltd., 9.0%, 1/8/19 (144A) (Cat Bond)
|
250,075
|
||
|
250,000(a)
|
Galileo Re, Ltd., 13.815%, 1/8/19 (144A) (Cat Bond)
|
250,225
|
||
|
2,000,000(a)
|
Gator Re, Ltd., 6.585%, 1/9/17 (144A) (Cat Bond)
|
1,918,400
|
||
|
2,400,000(h)
|
Gleneagles Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
|
2,423,040
|
||
|
2,500,000(h)
|
Gullane Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
|
2,515,750
|
||
|
1,500,000(a)
|
Ibis Re II, Ltd., 4.315%, 6/28/16 (144A) (Cat Bond)
|
1,505,550
|
||
|
2,000,000(h)
|
Lahinch Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 6/15/16
|
2,020,800
|
||
|
1,750,000(a)
|
Longpoint Re, Ltd. III, 4.515%, 5/18/16 (144A) (Cat Bond)
|
1,755,775
|
||
|
1,450,000(h)
|
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rates Notes, 3/31/18
|
1,651,550
|
||
|
1,000,000(a)
|
Merna Reinsurance V, Ltd., 2.315%, 4/7/17 (144A) (Cat Bond)
|
995,400
|
||
|
750,000(a)
|
MetroCat Re, Ltd., 4.815%, 8/5/16 (144A) (Cat Bond)
|
752,550
|
||
|
2,000,000(a)(d)
|
MultiCat Mexico, Ltd., Class A, 3.315%, 2/4/16 (144A) (Cat Bond)
|
420,000
|
||
|
2,000,000(h)
|
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2016-1, Variable Rate Notes, 11/30/20
|
2,014,000
|
||
|
2,004,948(h)
|
PI-6 Segregated Account (Kane SAC, Ltd.), Series C, Variable Rate Notes, 7/7/16
|
1,998,131
|
||
|
1,000,000(a)
|
Queen Street VIII Re, Ltd., 6.815%, 6/8/16 (144A) (Cat Bond)
|
999,300
|
||
|
500,000(a)
|
Queen Street IX Re, Ltd., 5.815%, 6/8/17 (144A) (Cat Bond)
|
495,750
|
||
|
2,000,000(a)
|
Queen Street X Re, Ltd., 6.065%, 6/8/18 (144A) (Cat Bond)
|
1,987,800
|
||
|
1,000,000(a)
|
Residential Reinsurance 2012, Ltd., 22.315%, 6/6/16 (144A) (Cat Bond)
|
1,047,500
|
||
|
2,582(h)
|
Sector Re V, Ltd. (Swiss Re), Series 4, Class A, Variable Rate Notes, 3/30/19 (144A)
|
26,577
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Reinsurance - (continued)
|
||||
|
1,000,000(h)
|
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/16/16 (144A)
|
$ 9,400
|
||
|
1,000,000(h)
|
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/18/17 (144A)
|
128,200
|
||
|
1,000,000(h)
|
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/17/18 (144A)
|
1,009,000
|
||
|
1,000,000(h)
|
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/1/18
|
1,008,900
|
||
|
1,750,000(a)
|
Tar Heel Re, Ltd., Series 2013-1, Class A, 8.815%, 5/9/16 (144A) (Cat Bond)
|
1,779,050
|
||
|
JPY
|
150,799,195(h)
|
Tralee Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 7/20/17
|
1,243,634
|
|
|
2,200,000(a)
|
Vita Capital V, Ltd., 3.96%, 1/15/17 (144A) (Cat Bond)
|
2,213,420
|
||
|
500,000(a)
|
Vitality Re VI, Ltd., 2.415%, 1/8/18 (144A) (Cat Bond)
|
495,300
|
||
|
1,000,000(a)
|
Vitality Re VII, Ltd., 2.965%, 1/7/20 (144A) (Cat Bond)
|
999,700
|
||
|
$ 39,956,687
|
||||
|
Total Insurance
|
$ 44,563,300
|
|||
|
MATERIALS - 7.6%
|
||||
|
Commodity Chemicals - 0.4%
|
||||
|
300,000
|
Basell Finance Co., BV, 8.1%, 3/15/27 (144A)
|
$ 373,355
|
||
|
175,000
|
Hexion US Finance Corp., 6.625%, 4/15/20
|
135,625
|
||
|
$ 508,980
|
||||
|
Construction Materials - 0.3%
|
||||
|
389,000
|
Cemex Espana Luxembourg, 9.875%, 4/30/19 (144A)
|
$ 403,101
|
||
|
Diversified Chemicals - 0.4%
|
||||
|
55,000
|
Blue Cube Spinco, Inc., 9.75%, 10/15/23 (144A)
|
$ 59,125
|
||
|
55,000
|
Blue Cube Spinco, Inc., 10.0%, 10/15/25 (144A)
|
59,400
|
||
|
660,000
|
Evolution Escrow Issuer LLC, 7.5%, 3/15/22 (144A)
|
397,650
|
||
|
$ 516,175
|
||||
|
Diversified Metals & Mining - 1.0%
|
||||
|
109,000
|
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)
|
$ 76,845
|
||
|
300,000
|
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/1/22 (144A)
|
260,250
|
||
|
428,716
|
Mirabela Nickel, Ltd., 9.5%, 6/24/19
|
248,655
|
||
|
180,000
|
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)
|
140,400
|
||
|
750,000
|
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)
|
532,757
|
||
|
$ 1,258,907
|
||||
|
Gold - 0.0%†
|
||||
|
85,000
|
IAMGOLD Corp., 6.75%, 10/1/20 (144A)
|
$ 53,869
|
||
|
Metal & Glass Containers - 0.3%
|
||||
|
272,594(f)
|
Ardagh Finance Holdings SA, 8.625%(8.625% PIK 0.0% cash), 6/15/19 (144A)
|
$ 250,787
|
||
|
EUR
|
150,000
|
Horizon Holdings I SASU, 7.25%, 8/1/23 (144A)
|
166,430
|
|
|
$ 417,217
|
||||
|
Paper Packaging - 2.3%
|
||||
|
580,000
|
Exopack Holding Corp., 10.0%, 6/1/18 (144A)
|
$ 549,550
|
||
|
500,000
|
Reynolds Group Issuer, Inc., 9.0%, 4/15/19
|
481,250
|
||
|
475,000
|
Reynolds Group Issuer, Inc., 9.875%, 8/15/19
|
464,312
|
||
|
EUR
|
1,365,000
|
SIG Combibloc Holdings SCA, 7.75%, 2/15/23 (144A)
|
1,522,644
|
|
|
$ 3,017,756
|
||||
|
Paper Products - 1.1%
|
||||
|
675,000
|
Appvion, Inc., 9.0%, 6/1/20 (144A)
|
$ 219,375
|
||
|
500,000
|
Mercer International, Inc., 7.0%, 12/1/19
|
480,000
|
||
|
840,000
|
Resolute Forest Products, Inc., 5.875%, 5/15/23
|
537,600
|
||
|
255,000
|
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)
|
204,000
|
||
|
$ 1,440,975
|
||||
|
Specialty Chemicals - 0.3%
|
||||
|
410,000
|
A Schulman, Inc., 6.875%, 6/1/23 (144A)
|
$ 369,000
|
||
|
Steel - 1.5%
|
||||
|
500,000
|
Cliffs Natural Resources, Inc., 8.25%, 3/31/20 (144A)
|
$ 360,000
|
||
|
250,000
|
Evraz Group SA, 9.5%, 4/24/18 (144A)
|
258,495
|
||
|
190,000
|
JMC Steel Group, Inc., 8.25%, 3/15/18 (144A)
|
141,550
|
||
|
499,000
|
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
|
416,665
|
||
|
850,000
|
Ryerson, Inc., 9.0%, 10/15/17
|
641,750
|
||
|
350,000
|
United States Steel Corp., 7.5%, 3/15/22
|
164,500
|
||
|
$ 1,982,960
|
||||
|
Total Materials
|
$ 9,968,940
|
|||
|
MEDIA - 1.9%
|
||||
|
Broadcasting - 0.1%
|
||||
|
400,000
|
Intelsat Luxembourg SA, 7.75%, 6/1/21
|
$ 174,000
|
||
|
Movies & Entertainment - 0.9%
|
||||
|
600,000
|
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)
|
$ 342,000
|
||
|
225,000
|
Regal Entertainment Group, 5.75%, 2/1/25
|
217,125
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Movies & Entertainment - (continued)
|
||||
|
625,000
|
WMG Acquisition Corp., 6.75%, 4/15/22 (144A)
|
$ 550,000
|
||
|
$ 1,109,125
|
||||
|
Publishing - 0.9%
|
||||
|
855,000
|
Gannett Co., Inc., 6.375%, 10/15/23
|
$ 902,025
|
||
|
250,000
|
Trader Corp., 9.875%, 8/15/18 (144A)
|
258,750
|
||
|
$ 1,160,775
|
||||
|
Total Media
|
$ 2,443,900
|
|||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.2%
|
||||
|
Biotechnology - 0.2%
|
||||
|
300,000
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$ 306,000
|
||
|
Pharmaceuticals - 1.0%
|
||||
|
208,000
|
DPx Holdings BV, 7.5%, 2/1/22 (144A)
|
$ 194,740
|
||
|
650,000
|
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 7/15/23 (144A)
|
653,250
|
||
|
EUR
|
250,000
|
VRX Escrow Corp., 4.5%, 5/15/23
|
232,249
|
|
|
235,000
|
VRX Escrow Corp., 5.875%, 5/15/23 (144A)
|
210,325
|
||
|
$ 1,290,564
|
||||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 1,596,564
|
|||
|
REAL ESTATE - 1.3%
|
||||
|
Real Estate Operating Companies - 0.3%
|
||||
|
410,000
|
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A)
|
$ 401,800
|
||
|
Specialized REIT - 1.0%
|
||||
|
1,520,000
|
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.25%, 10/15/23
|
$ 1,341,400
|
||
|
Total Real Estate
|
$ 1,743,200
|
|||
|
RETAILING - 1.7%
|
||||
|
Automotive Retail - 0.7%
|
||||
|
1,100,000
|
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A)
|
$ 981,750
|
||
|
Computer & Electronics Retail - 0.1%
|
||||
|
235,000
|
Rent-A-Center, Inc., 6.625%, 11/15/20
|
$ 195,050
|
||
|
Department Stores - 0.8%
|
||||
|
300,000
|
Argos Merger Sub, Inc., 7.125%, 3/15/23 (144A)
|
$ 302,250
|
||
|
535,000
|
Grupo Famsa SAB de CV, 7.25%, 6/1/20 (144A)
|
460,100
|
||
|
350,000
|
Neiman Marcus Group, Ltd., LLC, 8.0%, 10/15/21 (144A)
|
262,500
|
||
|
$ 1,024,850
|
||||
|
Specialty Stores - 0.1%
|
||||
|
85,000
|
Outerwall, Inc., 6.0%, 3/15/19
|
$ 73,844
|
||
|
Total Retailing
|
$ 2,275,494
|
|||
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.4%
|
||||
|
Semiconductors - 0.4%
|
||||
|
85,000
|
Advanced Micro Devices, Inc., 6.75%, 3/1/19
|
$ 58,013
|
||
|
235,000
|
Advanced Micro Devices, Inc., 7.0%, 7/1/24
|
145,700
|
||
|
400,000
|
Advanced Micro Devices, Inc., 7.5%, 8/15/22
|
248,000
|
||
|
Total Semiconductors & Semiconductor Equipment
|
$ 451,713
|
|||
|
SOFTWARE & SERVICES - 0.1%
|
||||
|
Data Processing & Outsourced Services - 0.1%
|
||||
|
225,000
|
NeuStar, Inc., 4.5%, 1/15/23
|
$ 184,500
|
||
|
Total Software & Services
|
$ 184,500
|
|||
|
TECHNOLOGY HARDWARE & EQUIPMENT - 0.5%
|
||||
|
Communications Equipment - 0.2%
|
||||
|
280,000
|
CommScope Technologies Finance LLC, 6.0%, 6/15/25 (144A)
|
$ 272,300
|
||
|
Electronic Equipment & Instruments - 0.3%
|
||||
|
315,000
|
Zebra Technologies Corp., 7.25%, 10/15/22 (144A)
|
$ 327,600
|
||
|
Total Technology Hardware & Equipment
|
$ 599,900
|
|||
|
TELECOMMUNICATION SERVICES - 3.6%
|
||||
|
Integrated Telecommunication Services - 1.9%
|
||||
|
1,165,000
|
Frontier Communications Corp., 8.75%, 4/15/22
|
$ 1,048,500
|
||
|
290,000
|
Frontier Communications Corp., 11.0%, 9/15/25 (144A)
|
279,488
|
||
|
750,000
|
GCI, Inc., 6.875%, 4/15/25
|
735,000
|
||
|
600,000
|
Windstream Corp., 7.5%, 6/1/22
|
462,000
|
||
|
$ 2,524,988
|
||||
|
Wireless Telecommunication Services - 1.7%
|
||||
|
250,000
|
Altice Finco SA, 8.125%, 1/15/24 (144A)
|
$ 240,000
|
||
|
300,000
|
Altice SA, 7.75%, 5/15/22 (144A)
|
279,750
|
||
|
750,000
|
Digicel, Ltd., 6.0%, 4/15/21 (144A)
|
653,437
|
||
|
200,000
|
Mobile Telesystems OJSC via MTS International Funding, Ltd., 5.0%, 5/30/23 (144A)
|
185,008
|
|
Principal
Amount
USD ($)
|
Value
|
|||
|
Wireless Telecommunication Services - (continued)
|
||||
|
340,000
|
Sprint Corp., 7.125%, 6/15/24
|
$ 229,500
|
||
|
275,000
|
Sprint Corp., 7.25%, 9/15/21
|
198,000
|
||
|
250,000
|
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
|
244,325
|
||
|
RUB
|
14,100,000
|
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)
|
175,871
|
|
|
$ 2,205,891
|
||||
|
Total Telecommunication Services
|
$ 4,730,879
|
|||
|
TRANSPORTATION - 3.7%
|
||||
|
Airlines - 0.8%
|
||||
|
545,000
|
Gol LuxCo SA, 8.875%, 1/24/22 (144A)
|
$ 147,150
|
||
|
155,000
|
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)
|
120,125
|
||
|
450,000
|
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 8.25%, 7/15/17 (144A)
|
427,500
|
||
|
500,000
|
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)
|
377,000
|
||
|
$1,071,775
|
||||
|
Airport Services - 1.0%
|
||||
|
464,800
|
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)
|
$ 490,364
|
||
|
800,000
|
Aguila 3 SA, 7.875%, 1/31/18 (144A)
|
813,000
|
||
|
$ 1,303,364
|
||||
|
Highways & Railtracks - 0.2%
|
||||
|
MXN
|
4,500,000
|
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A)
|
$ 243,051
|
|
|
Marine - 0.3%
|
||||
|
500,000
|
Far East Capital, Ltd., SA, 8.0%, 5/2/18
|
$ 280,080
|
||
|
375,000
|
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)
|
193,125
|
||
|
$ 473,205
|
||||
|
Railroads - 0.6%
|
||||
|
390,039(f)
|
AAF Holdings LLC / AAF Finance Co., 12.0% (12.75% PIK 12.0% cash), 7/1/19 (144A)
|
$ 327,633
|
||
|
485,000
|
Florida East Coast Holdings Corp., 6.75%, 5/1/19 (144A)
|
443,775
|
||
|
$ 771,408
|
||||
|
Trucking - 0.8%
|
||||
|
1,325,000
|
Jack Cooper Holdings Corp., 10.25%, 6/1/20 (144A)
|
$ 1,046,750
|
||
|
Total Transportation
|
$ 4,909,553
|
|||
|
UTILITIES - 2.6%
|
||||
|
Electric Utilities - 0.8%
|
||||
|
375,000
|
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A)
|
$ 336,562
|
||
|
460,000(b)
|
Enel S.p.A., 8.75%, 9/24/73 (144A)
|
506,000
|
||
|
290,000
|
PPL Energy Supply LLC, 6.5%, 6/1/25
|
197,200
|
||
|
$ 1,039,762
|
||||
|
Gas Utilities - 0.4%
|
||||
|
492,450
|
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A)
|
$ 498,606
|
||
|
Independent Power Producers & Energy Traders - 1.4%
|
||||
|
560,000
|
NRG Energy, Inc., 6.25%, 5/1/24
|
$ 446,600
|
||
|
1,065,000
|
Terraform Global Operating LLC, 9.75%, 8/15/22 (144A)
|
830,700
|
||
|
200,000
|
TerraForm Power Operating LLC, 5.875%, 2/1/23 (144A)
|
159,500
|
||
|
585,000
|
TerraForm Power Operating LLC, 6.125%, 6/15/25 (144A)
|
451,913
|
||
|
$ 1,888,713
|
||||
|
Total Utilities
|
$ 3,427,081
|
|||
|
TOTAL CORPORATE BONDS & NOTES
|
||||
|
(Cost $138,224,569)
|
$ 122,195,244
|
|||
|
CONVERTIBLE BONDS & NOTES - 2.6% of Net Assets
|
||||
|
HEALTH CARE EQUIPMENT & SERVICES - 1.2%
|
||||
|
Health Care Equipment - 1.2%
|
||||
|
1,040,000(c)
|
Hologic, Inc., 2.0%, 12/15/37
|
$ 1,541,150
|
||
|
Total Health Care Equipment & Services
|
$ 1,541,150
|
|||
|
MATERIALS - 1.3%
|
||||
|
Diversified Chemicals - 1.2%
|
||||
|
1,900,000(i)
|
Hercules, Inc., 6.5%, 6/30/29
|
$ 1,610,250
|
||
|
Diversified Metals & Mining - 0.1%
|
||||
|
100,000
|
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16
|
$ 94,000
|
||
|
Total Materials
|
$ 1,704,250
|
|||
|
Principal
Amount
USD ($)
|
Value
|
|||
|
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.1%
|
||||
|
Biotechnology - 0.1%
|
||||
|
250,000
|
Corsicanto, Ltd., 3.5%, 1/15/32
|
$ 193,125
|
||
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 193,125
|
|||
|
TOTAL CONVERTIBLE BONDS & NOTES
|
||||
|
(Cost $2,501,364)
|
$ 3,438,525
|
|||
|
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 4.1% of Net Assets
|
||||
|
2,575,000(a)
|
U.S. Treasury Notes, 0.358%, 10/31/16
|
$ 2,574,882
|
||
|
2,850,000(a)
|
U.S. Treasury Notes, 0.374%, 4/30/16
|
2,850,202
|
||
|
$ 5,425,084
|
||||
|
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
|
||||
|
(Cost $5,424,547)
|
$ 5,425,084
|
|||
|
SOVEREIGN DEBT OBLIGATIONS - 1.5% of Net Assets
|
||||
|
Argentina - 0.4%
|
||||
|
294,160
|
Province of Salta Argentina, 9.5%, 3/16/22 (144A)
|
$ 295,631
|
||
|
230,000
|
Provincia de Buenos Aires, 9.95%, 6/9/21 (144A)
|
236,325
|
||
|
$ 531,956
|
||||
|
Ireland - 0.4%
|
||||
|
450,000
|
Vnesheconombank Via VEB Finance Plc, 6.902%, 7/9/20 (144A)
|
$ 448,515
|
||
|
Kenya - 0.1%
|
||||
|
200,000
|
Kenya Government International Bond, 6.875%, 6/24/24 (144A)
|
$ 178,008
|
||
|
Mexico - 0.4%
|
||||
|
MXN
|
8,870,000
|
Mexican Bonos, 7.75%, 11/13/42
|
$ 538,717
|
|
|
MXN
|
324,579
|
Mexican Udibonos, 3.5%, 12/14/17
|
18,505
|
|
|
$ 557,222
|
||||
|
Zambia - 0.2%
|
||||
|
300,000
|
Zambia Government International Bond, 5.375%, 9/20/22 (144A)
|
$ 199,317
|
||
|
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
||||
|
(Cost $2,132,660)
|
$ 1,915,018
|
|||
|
Shares
|
||||
|
COMMON STOCKS - 0.3% of Net Assets
|
||||
|
CAPITAL GOODS - 0.0%†
|
||||
|
Industrial Machinery - 0.0%†
|
||||
|
10,289(g)(j)
|
Liberty Tire Recycling LLC
|
$ 103
|
||
|
Total Capital Goods
|
$ 103
|
|||
|
INSURANCE - 0.0%†
|
||||
|
Insurance Brokers - 0.0%†
|
||||
|
GBP
|
10,233(g)(j)
|
TopCo., Ltd.
|
$ 2,332
|
|
|
GBP
|
475(g)(j)
|
Towergate Finance Plc
|
108
|
|
|
$ 2,440
|
||||
|
Total Insurance
|
$ 2,440
|
|||
|
TRANSPORTATION - 0.3%
|
||||
|
Air Freight & Logistics - 0.3%
|
||||
|
943(j)
|
CEVA Holdings LLC
|
$ 424,489
|
||
|
Total Transportation
|
$ 424,489
|
|||
|
TOTAL COMMON STOCKS
|
||||
|
(Cost $916,150)
|
$ 427,032
|
|||
|
CONVERTIBLE PREFERRED STOCKS - 0.4% of Net Assets
|
||||
|
DIVERSIFIED FINANCIALS - 0.4%
|
||||
|
Other Diversified Financial Services - 0.4%
|
||||
|
470
|
Bank of America Corp., 7.25%
|
$ 515,628
|
||
|
Total Diversified Financials
|
$ 515,628
|
|||
|
ENERGY - 0.0%†
|
||||
|
Oil & Gas Exploration & Production - 0.0%†
|
||||
|
200
|
Halcon Resources Corp., 5.75%
|
$ 3,500
|
||
|
Total Energy
|
$ 3,500
|
|||
|
TOTAL CONVERTIBLE PREFERRED STOCKS
|
||||
|
(Cost $524,899)
|
$ 519,128
|
|||
|
PREFERRED STOCKS - 1.7% of Net Assets
|
||||
|
BANKS - 0.4%
|
||||
|
Diversified Banks - 0.4%
|
||||
|
500(b)
|
AgStar Financial Services ACA, 6.75% (144A)
|
$ 545,750
|
||
|
Total Banks
|
$ 545,750
|
|||
|
Shares
|
Value
|
|||
|
DIVERSIFIED FINANCIALS - 0.8%
|
||||
|
Other Diversified Financial Services - 0.8%
|
||||
|
40,675(b)
|
GMAC Capital Trust I, 8.125%
|
$ 1,035,179
|
||
|
Total Diversified Financials
|
$ 1,035,179
|
|||
|
INSURANCE - 0.5%
|
||||
|
Insurance Brokers - 0.5%
|
||||
|
GBP
|
452,745(g)(j)
|
Towergate Finance Plc, Class B
|
$ 631,903
|
|
|
Reinsurance - 0.0%†
|
||||
|
15,000(h)(j)
|
Lorenz Re, Ltd. (Aon Benefield Securities, Inc.), Variable Rates Notes
|
$ 37,500
|
||
|
Total Insurance
|
$ 669,403
|
|||
|
TOTAL PREFERRED STOCKS
|
||||
|
(Cost $2,106,323)
|
$ 2,250,332
|
|||
|
TOTAL INVESTMENTS IN SECURITIES - 141.3%
|
||||
|
(Cost - $203,874,757) (k)(l)
|
$ 185,381,195
|
|||
|
OTHER ASSETS AND LIABILITIES - (41.3)%
|
$ (54,216,348)
|
|||
|
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
|
$ 131,164,847
|
|||
|
REIT
|
Real Estate Investment Trust.
|
|
(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, 2016, the value of these securities amounted to $81,795,872, or 62.4% of total net assets applicable to common shareowners.
|
|
(Cat Bond)
|
Catastrophe or Event-linked bond. At January 31, 2016, the value of these securities amounted to $21,596,945, or
16.5% of total net assets applicable to common shareowners.
|
|
†
|
Amount rounds to less than 0.1%.
|
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the 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, 2016.
|
|
(a)
|
Floating rate note. The rate shown is the coupon rate at January 31, 2016.
|
|
(b)
|
The interest rate is subject to change periodically. The interest rate shown is the rate at January 31, 2016.
|
|
(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, 2016.
|
|
(d)
|
Security is in default.
|
|
(e)
|
Security is perpetual in nature and has no stated maturity date.
|
|
(f)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
|
(g)
|
Security is valued using fair value methods (other than prices supplied by independent pricing services).
|
|
(h)
|
Structured reinsurance investment. At January 31, 2016, the value of these securities amounted to $18,397,242, or 14.0% of total net assets applicable to common shareowners.
|
|
(i)
|
Security is priced as a unit.
|
|
(j)
|
Non-income producing.
|
|
(k)
|
At January 31, 2016, the net unrealized depreciation on investments based on cost for federal tax purposes of $205,952,849 was as follows:
|
||
|
Aggregate gross unrealized appreciation for all investments in which there
|
|||
|
is an excess of value over tax cost
|
$ 4,324,396
|
||
|
Aggregate gross unrealized depreciation for all investments in which there
|
|||
|
is an excess of tax cost over value
|
(24,896,050)
|
||
|
Net unrealized depreciation
|
$ (20,571,654)
|
||
|
For financial reporting purposes net unrealized depreciation on investments was $18,493,562 and cost of investments aggregated $203,874,757.
|
|||
|
(l)
|
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
|
||
|
United States
|
65.7%
|
||
|
Bermuda
|
9.0
|
||
|
Cayman Islands
|
6.3
|
||
|
Luxembourg
|
4.5
|
||
|
Ireland
|
2.4
|
||
|
Netherlands
|
1.9
|
||
|
Argentina
|
1.8
|
||
|
Canada
|
1.3
|
||
|
United Kingdom
|
1.1
|
||
|
Other (individually less than 1%)
|
6.0
|
||
|
100.0%
|
|||
|
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
|
EUR
|
-
|
Euro
|
|
GBP
|
-
|
Great British Pound
|
|
JPY
|
-
|
Japanese Yen
|
|
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).
|
||||||||||||||||
|
The following is a summary of the inputs used as of January 31, 2016, in valuing the Trust's investments.
|
||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Asset Backed Securities
|
$ | – | $ | 1,998,440 | $ | – | $ | 1,998,440 | ||||||||
|
Collateralized Mortgage Obligations
|
– | 4,732,172 | – | 4,732,172 | ||||||||||||
|
Senior Secured Floating Rate Loan Interests
|
– | 42,480,220 | – | 42,480,220 | ||||||||||||
|
Corporate Bonds & Notes
|
||||||||||||||||
|
Capital Goods
|
||||||||||||||||
|
Industrial Machinery
|
– | 974,687 | 138,957 | 1,113,644 | ||||||||||||
|
Insurance
|
||||||||||||||||
|
Property & Casualty Insurance
|
– | 80,112 | 4,438,670 | 4,518,782 | ||||||||||||
|
Reinsurance
|
– | 21,596,945 | 18,359,742 | 39,956,687 | ||||||||||||
|
All Other Corporate Bonds & Notes
|
– | 76,606,131 | – | 76,606,131 | ||||||||||||
|
Convertible Bonds & Notes
|
– | 3,438,525 | – | 3,438,525 | ||||||||||||
|
U.S. Government and Agency Obligations
|
– | 5,425,084 | – | 5,425,084 | ||||||||||||
|
Sovereign Debt Obligations
|
– | 1,915,018 | – | 1,915,018 | ||||||||||||
|
Common Stocks
|
||||||||||||||||
|
Capital Goods
|
||||||||||||||||
|
Industrial Machinery
|
– | – | 103 | 103 | ||||||||||||
|
Insurance
|
||||||||||||||||
|
Insurance Brokers
|
– | – | 2,440 | 2,440 | ||||||||||||
|
Transportation
|
||||||||||||||||
|
Air Freight & Logistics
|
– | 424,489 | – | 424,489 | ||||||||||||
|
Convertible Preferred Stocks
|
||||||||||||||||
|
Energy
|
||||||||||||||||
|
Oil & Gas Exploration & Production
|
– | 3,500 | – | 3,500 | ||||||||||||
|
All Other Convertible Preferred Stocks
|
515,628 | – | – | 515,628 | ||||||||||||
|
Preferred Stocks
|
||||||||||||||||
|
Banks
|
||||||||||||||||
|
Diversified Banks
|
– | 545,750 | – | 545,750 | ||||||||||||
|
Insurance
|
||||||||||||||||
|
Insurance Brokers
|
– | – | 631,903 | 631,903 | ||||||||||||
|
Reinsurance
|
– | – | 37,500 | 37,500 | ||||||||||||
|
All Other Preferred Stocks
|
1,035,179 | – | – | 1,035,179 | ||||||||||||
|
Total Investments in Securities
|
$ | 1,550,807 | $ | 160,221,073 | $ | 23,609,315 | $ | 185,381,195 | ||||||||
|
The following is a summary of the fair valuation of certain of the Trust's assets and liabilities as of January 31, 2016:
|
||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Liabilities:
|
|
|
|
|
||||||||||||
|
Overdraft due to custodian
|
$ | – | $ | (72,949 | ) | $ | – | $ | (72,949 | ) | ||||||
|
Outstanding borrowings
|
– | (58,000,000 | ) | – | (58,000,000 | ) | ||||||||||
|
Total
|
$ | – | $ | (58,072,949 | ) | $ | – | $ | (58,072,949 | ) | ||||||
|
Change in
|
||||||||||||||||||||||||||||||||||||
|
Balance
|
Realized
|
unrealized
|
Accrued
|
Transfers
|
Transfers
|
Balance
|
||||||||||||||||||||||||||||||
|
as of
|
gain
|
appreciation
|
discounts/
|
in to
|
out of
|
as of
|
||||||||||||||||||||||||||||||
|
4/30/15
|
(loss)
|
(depreciation)
|
Purchases
|
Sales
|
premiums
|
Level 3*
|
Level 3*
|
1/31/16
|
||||||||||||||||||||||||||||
|
Collateralized
Mortgage
Obligations
|
$ | 165,062 | $ | (35,528 | ) | $ | 457 | $ | – | $ | – | $ | 39 | $ | – | $ | (130,030 | ) | $ | – | ||||||||||||||||
|
Corporate Bonds
& Notes
|
||||||||||||||||||||||||||||||||||||
|
Capital Goods
|
||||||||||||||||||||||||||||||||||||
|
Industrial
Machinery
|
239,330 | 4,677 | (61,474 | ) | 10,120 | (56,000 | ) | 2,304 | – | – | 138,957 | |||||||||||||||||||||||||
|
Insurance
|
||||||||||||||||||||||||||||||||||||
|
Insurance
Brokers
|
16,096 | – | (859 | ) | – | – | – | – | (15,237 | ) | – | |||||||||||||||||||||||||
|
Life & Health
Insurance
|
500,600 | – | (5,300 | ) | – | – | – | – | (495,300 | ) | – | |||||||||||||||||||||||||
|
Property &
Casualty
Insurance
|
4,354,042 | – | 84,628 | – | – | – | – | – | 4,438,670 | |||||||||||||||||||||||||||
|
Reinsurance
|
22,537,165 | (246,576 | ) | (2,975,010 | ) | 14,004,959 | (15,121,491 | ) | 160,695 | – | – | 18,359,742 | ||||||||||||||||||||||||
|
Common
Stocks
|
||||||||||||||||||||||||||||||||||||
|
Capital
Goods
|
||||||||||||||||||||||||||||||||||||
|
Industrial
Machinery
|
103 | – | – | – | – | – | – | – | 103 | |||||||||||||||||||||||||||
|
Insurance
|
||||||||||||||||||||||||||||||||||||
|
Insurance Brokers
|
2,540 | – | (100 | ) | – | – | – | – | – | 2,440 | ||||||||||||||||||||||||||
|
Reinsurance
|
1,019,800 | – | – | – | (1,019,800 | ) | – | – | – | – | ||||||||||||||||||||||||||
|
Preferred Stocks
|
||||||||||||||||||||||||||||||||||||
|
Insurance
|
||||||||||||||||||||||||||||||||||||
|
Insurance Brokers
|
671,036 | – | (39,133 | ) | – | – | – | – | – | 631,903 | ||||||||||||||||||||||||||
|
Reinsurance
|
941,821 | – | – | – | (904,321 | ) | – | – | – | 37,500 | ||||||||||||||||||||||||||
|
Total
|
$ | 30,447,595 | $ | (277,427 | ) | $ | (2,996,791 | ) | $ | 14,015,079 | $ | (17,101,612 | ) | $ | 163,038 | $ | – | $ | (640,567 | ) | $ | 23,609,315 | ||||||||||||||
|
*Transfers are calculated on the beginning of period value. For nine months ended January 31, 2016 there were no transfers between Levels 1 and 2. For the nine months ended January 31, 2016, securities with aggregate market value of $640,567 transferred from Level 3 to Level 2 as there were observable inputs available to determine their value.
|
||||||||||||||||||||||||||||||||||||
|
Net change in unrealized depreciation of Level 3 investments still held and considered Level 3 at January 31, 2016: $(169,270).
|
||||||||||||||||||||||||||||||||||||
|
Fair Value
|
Valuation
|
Unobservable
|
Value/
|
||||
|
Asset Type
|
1/31/16
|
Technique (s)
|
Input
|
Range
|
|||
|
Corporate Bonds
|
$ | 4,577,627 |
Market
Comparables
|
EBITDA Multiples(1)
Yield Premium(2)
|
5.0x to 6.5x
1.05%
|
||
|
Common Stocks
|
$ | 2,543 |
Market
Comparables
|
EBITDA
Multiples(1)
|
5.0x to 6.5x
|
||
|
Preferred Stocks
|
$ | 631,903 |
Market
Comparables
|
EBITDA
Multiples(1)
|
5.0x to 5.5x
|
||
|
(1)
|
An increase in this unobservable input would result in a higher fair value measurement, while a decrease would result in a lower fair value measurement.
|
ITEM 2. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive
and principal financial officers, or persons performing similar functions,
regarding the effectiveness of the registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR
270.30a-3(c))) as of a date within 90 days of the filing date of the report
that includes the disclosure required by this paragraph, based on the
evaluation of these controls and procedures required by Rule 30a-3(b)
under the Act (17 CFR 270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b)
under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The registrant's principal executive officer and principal financial officer
have concluded that the registrant's disclosure controls and procedures are
effective based on their evaluation of these controls and procedures as of
a date within 90 days of the filing date of this report.
(b) Disclose any change in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
There were no significant changes in the registrant's internal control over
financial reporting that occurred during the second fiscal quarter of the
period covered by this report that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 3. EXHIBITS.
File as exhibits as part of this Form a separate certification for each principal
executive officer and principal financial officer of the registrant as required
by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below:
CERTIFICATIONS
I, [identify the certifying individual], certify that:
1. I have reviewed this report on Form N-Q of [identify registrant];
2. Based on my knowledge, this report does not contain any untrue statement of
a material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report
fairly present in all material respects the investments of the registrant as of
the end of the fiscal quarter for which the report is filed;
4. The registrants other certifying officer(s) and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, to
ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities,
particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such
internal control over financial reporting to be designed under our supervision,
to provide reasonable assurance regarding the reliability of financial
reporting and the preparation of financial statements for external purposes
in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and
procedures and presented in this report our conclusions about the effectiveness
of the disclosure controls and procedures, as of a date within 90 days prior to
the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control
over financial reporting that occurred during the registrants most recent
fiscal quarter that has materially affected, or is reasonably likely to
materially affect, the registrants internal control over financial reporting;
and
5. The registrants other certifying officer(s) and I have disclosed to the
registrants auditors and the audit committee of the registrants board of
directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation
of internal control over financial reporting which are reasonably likely to adversely
affect the registrants ability to record, process, summarize, and report financial
information; and
(b) Any fraud, whether or not material, that involves management or other employees
who have a significant role in the registrants internal control over financial
reporting.
Date: [Signature] [Title]
Filed herewith.
<PAGE>
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Pioneer Diversified High Income Trust
By (Signature and Title)* /s/ Lisa M.Jones
-----------------------
Lisa M.Jones, President and Chief Executive Officer
Date March 30, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Lisa M.Jones
-----------------------
Lisa M.Jones, President and Chief Executive Officer
Date March 30, 2016
By (Signature and Title)* /s/ Mark E. Bradley
-----------------
Mark E. Bradley, Treasurer and Chief Accounting
and Financial Officer
Date March 30, 2016
* Print the name and title of each signing officer under his or her signature.