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) Terrence J. Cullen, Pioneer Investment Management, Inc., 60 State Street, Boston, MA 02109 (Name and address of agent for service) Registrant's telephone number, including area code: (617) 742-7825 Date of fiscal year end: March 31 Date of reporting period: June 30, 2017 Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. <PAGE> ITEM 1. Schedule of Investments. File the schedules as of the close of the reporting period as set forth in ss. 210.12-12 12-14 of Regulation S-X [17 CFR 210.12-12 12-14]. The schedules need not be audited.
Pioneer High
|
||
Income Trust
|
||
NQ | June 30, 2017
|
||
Ticker Symbol: PHT
|
Principal
Amount
USD ($)
|
Value
|
||||||||
ASSET BACKED SECURITIES - 0.1% of Net Assets
|
|||||||||
BANKS - 0.1%
|
|||||||||
Thrifts & Mortgage Finance - 0.1%
|
|||||||||
300,000
|
InSite Issuer LLC, Series 2016-1A, Class C, 6.414%, 11/15/46 (144A)
|
$308,636
|
|||||||
36,270(a)
|
Security National Mortgage Loan Trust, Series 2007-1A, Class 1A3, 6.55%, 4/25/37 (144A)
|
36,176
|
|||||||
Total Banks
|
$344,812
|
||||||||
TOTAL ASSET BACKED SECURITIES
|
|||||||||
(Cost $329,058)
|
$344,812
|
||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.2% of Net Assets
|
|||||||||
DIVERSIFIED FINANCIALS - 0.2%
|
|||||||||
Thrifts & Mortgage Finance - 0.2%
|
|||||||||
660,000(a)
|
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
|
$582,622
|
|||||||
95,646
|
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
|
95,168
|
|||||||
Total Diversified Financials
|
$677,790
|
||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATION
|
|||||||||
(Cost $731,280)
|
$677,790
|
||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.0% of Net Assets
|
|||||||||
BANKS - 0.5%
|
|||||||||
Thrifts & Mortgage Finance - 0.5%
|
|||||||||
1,000,000(a)
|
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class E, 3.208%, 7/10/47 (144A)
|
$647,511
|
|||||||
515,000(b)
|
GS Mortgage Securities Trust, Series 2014-GSFL, Class D, 5.059%, 7/15/31 (144A)
|
518,375
|
|||||||
500,000(a)
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25,
Class D, 4.096%, 11/15/47 (144A)
|
397,740
|
|||||||
Total Banks
|
$1,563,626
|
||||||||
DIVERSIFIED FINANCIALS - 0.5%
|
|||||||||
Thrifts & Mortgage Finance - 0.5%
|
|||||||||
700,000(b)
|
CFCRE Mortgage Trust, Series 2015-RUM, Class E, 5.759%, 7/15/30 (144A)
|
$685,894
|
|||||||
900,000(a)
|
Commercial Mortgage Trust, Series 2007-C9, Class H, 5.991%, 12/10/49 (144A)
|
897,781
|
|||||||
Total Diversified Financials
|
$1,583,675
|
||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|||||||||
(Cost $3,157,535)
|
$3,147,301
|
||||||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 6.5% of Net Assets* (b)
|
|||||||||
CAPITAL GOODS - 1.1%
|
|||||||||
Aerospace & Defense - 1.0%
|
|||||||||
2,139,250(c)
|
ADS Tactical, Inc., Term Loan, 8.796%, 12/31/22
|
$2,139,250
|
|||||||
878,910
|
DynCorp International, Inc., Term Loan B2, 9.0%, 7/7/20
|
882,938
|
|||||||
$3,022,188
|
|||||||||
Industrial Machinery - 0.1%
|
|||||||||
377,150
|
Blount International, Inc., Initial Term Loan, 6.216%, 4/12/23
|
$383,514
|
|||||||
Total Capital Goods
|
$3,405,702
|
||||||||
CONSUMER SERVICES - 0.2%
|
|||||||||
Education Services - 0.2%
|
|||||||||
722,304
|
Cengage Learning Acquisitions, Inc., 2016 Refinancing Term Loan, 5.339%, 6/7/23
|
$684,383
|
|||||||
Total Consumer Services
|
$684,383
|
||||||||
ENERGY - 1.4%
|
|||||||||
Oil & Gas Drilling - 0.7%
|
|||||||||
1,345,000
|
Gavilan Resources LLC, Second Lien Initial Term Loan, 7.076%, 3/1/24
|
$1,281,112
|
|||||||
1,050,500
|
Jonah Energy LLC, Second Lien Initial Term Loan, 7.726%, 5/12/21
|
1,016,359
|
|||||||
$2,297,471
|
|||||||||
Oil & Gas Exploration & Production - 0.2%
|
|||||||||
500,000
|
Chesapeake Energy Corp., Term Loan Class A, 8.686%, 8/23/21
|
$534,844
|
|||||||
Pipeline - 0.5%
|
|||||||||
1,365,000
|
Summit Midstream Partners Holdings LLC, Term Loan Credit Facility, 7.226%, 5/13/22
|
$1,383,769
|
|||||||
Total Energy
|
$4,216,084
|
||||||||
FOOD, BEVERAGE & TOBACCO - 0.2%
|
|||||||||
Agricultural Products - 0.2%
|
|||||||||
500,000
|
NVA Holdings, Inc., Second Lien Term Loan, 8.296%, 8/14/22
|
$505,625
|
|||||||
Total Food, Beverage & Tobacco
|
$505,625
|
||||||||
HEALTH CARE EQUIPMENT & SERVICES - 0.6%
|
|||||||||
Health Care Services - 0.3%
|
|||||||||
994,937
|
HC Group Holdings III, Inc., First Lien Initial Term Loan, 6.226%, 4/7/22
|
$992,450
|
|||||||
198,995
|
nThrive, Inc. (fka Precyse Acquisition Corp.), Additional Term B-2 Loan, 5.726%, 10/20/22
|
200,425
|
|||||||
$1,192,875
|
|||||||||
Health Care Technology - 0.3%
|
|||||||||
1,313,405(c)
|
Medical Card System, Inc., Term Loan, 1.5%, 5/31/19
|
$853,713
|
|||||||
Total Health Care Equipment & Services
|
$2,046,588
|
||||||||
Principal
Amount
USD ($)
|
Value
|
||||||||
HOUSEHOLD & PERSONAL PRODUCTS - 0.5%
|
|||||||||
Household Products - 0.3%
|
|||||||||
836,719
|
Redbox Automated Retail LLC, First Lien Term B Loan, 8.5%, 9/27/21
|
$841,599
|
|||||||
Personal Products - 0.2%
|
|||||||||
897,739
|
Revlon Consumer Products Corp., Initial Term B Loan, 4.726%, 9/7/23
|
$839,199
|
|||||||
Total Household & Personal Products
|
$1,680,798
|
||||||||
INSURANCE - 0.6%
|
|||||||||
Property & Casualty Insurance - 0.6%
|
|||||||||
1,885,452
|
Confie Seguros Holding II Co., Second Lien Term Loan, 11.046%, 5/8/19
|
$1,857,171
|
|||||||
Total Insurance
|
$1,857,171
|
||||||||
MATERIALS - 0.5%
|
|||||||||
Diversified Metals & Mining - 0.0%†
|
|||||||||
126,586(d)(e)
|
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.152%, 9/28/17
|
$ 13,291
|
|||||||
Paper Packaging - 0.4%
|
|||||||||
1,240,247
|
Caraustar Industries, Inc., Refinancing Term Loan, 6.796%, 3/14/22
|
$1,243,347
|
|||||||
Paper Products - 0.1%
|
|||||||||
349,054
|
Ranpak Corp., Second Lien Initial Term Loan, 8.422%, 10/3/22
|
$348,182
|
|||||||
Total Materials
|
$1,604,820
|
||||||||
MEDIA - 0.9%
|
|||||||||
Publishing - 0.9%
|
|||||||||
103,812
|
Lee Enterprises, Inc., First Lien Term Loan, 7.476%, 3/31/19
|
$104,331
|
|||||||
2,796,750
|
McGraw-Hill Global Education Holdings LLC, First Lien Term B Loan, 5.226%, 5/4/22
|
2,758,644
|
|||||||
Total Media
|
$2,862,975
|
||||||||
RETAILING - 0.3%
|
|||||||||
Automotive Retail - 0.3%
|
|||||||||
987,837
|
CWGS Group LLC, Term Loan, 4.743%, 11/8/23
|
$994,382
|
|||||||
Total Retailing
|
$994,382
|
||||||||
SOFTWARE & SERVICES - 0.2%
|
|||||||||
Application Software - 0.2%
|
|||||||||
500,000
|
STG-Fairway Acquisitions, Inc., First Lien Term Loan, 6.546%, 6/30/22
|
$460,625
|
|||||||
Total Software & Services
|
$460,625
|
||||||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||||||
(Cost $20,773,837)
|
$20,319,153
|
||||||||
CORPORATE BONDS & NOTES - 114.9% of Net Assets
|
|||||||||
AUTOMOBILES & COMPONENTS - 1.9%
|
|||||||||
Auto Parts & Equipment - 1.0%
|
|||||||||
EUR
|
360,000(f)
|
IHO Verwaltungs GmbH, 3.25% (4.0% PIK 0.0% cash), 9/15/23 (144A)
|
$421,472
|
||||||
EUR
|
840,000(f)
|
IHO Verwaltungs GmbH, 3.75% (4.5% PIK 0.0% cash), 9/15/26 (144A)
|
1,000,224
|
||||||
1,744,000(g)
|
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
|
1,704,760
|
|||||||
$3,126,456
|
|||||||||
Automobile Manufacturers - 0.9%
|
|||||||||
600,000
|
Dana Financing Luxembourg S.a.r.l., 5.75%, 4/15/25 (144A)
|
$621,000
|
|||||||
2,020,000
|
TI Group Automotive Systems LLC, 8.75%, 7/15/23 (144A)
|
2,136,150
|
|||||||
$2,757,150
|
|||||||||
Total Automobiles & Components
|
$5,883,606
|
||||||||
BANKS - 4.7%
|
|||||||||
Diversified Banks - 2.0%
|
|||||||||
1,200,000
|
Access Bank Plc, 10.5%, 10/19/21 (144A)
|
$1,292,544
|
|||||||
200,000(a)
|
Banco Nacional de Comercio Exterior SNC, 3.8%, 8/11/26 (144A)
|
199,500
|
|||||||
600,000(a)(g)(h)
|
Bank of America Corp., 6.5%
|
667,158
|
|||||||
1,239,000(a)(g)(h)
|
Goldman Sachs Capital II, 4.0%
|
1,075,626
|
|||||||
675,000(a)(h)
|
Intesa Sanpaolo S.p.A., 7.7% (144A)
|
701,156
|
|||||||
200,000(a)(h)
|
Royal Bank of Scotland Group Plc, 7.5%
|
206,400
|
|||||||
1,000,000(a)(g)(h)
|
Royal Bank of Scotland Group Plc, 8.625%
|
1,090,000
|
|||||||
980,000(a)(h)
|
Societe Generale SA, 7.375% (144A)
|
1,053,500
|
|||||||
$6,285,884
|
|||||||||
Thrifts & Mortgage Finance - 2.7%
|
|||||||||
3,415,000
|
Provident Funding Associates LP / PFG Finance Corp., 6.375%, 6/15/25 (144A)
|
$3,500,375
|
|||||||
4,825,000(g)
|
Provident Funding Associates LP / PFG Finance Corp., 6.75%, 6/15/21 (144A)
|
4,991,462
|
|||||||
$8,491,837
|
|||||||||
Total Banks
|
$14,777,721
|
||||||||
CAPITAL GOODS - 5.7%
|
|||||||||
Aerospace & Defense - 1.3%
|
|||||||||
1,085,000(g)
|
Engility Corp., 8.875%, 9/1/24
|
$1,178,582
|
|||||||
300,000
|
Triumph Group, Inc., 4.875%, 4/1/21
|
298,125
|
|||||||
2,475,000
|
Triumph Group, Inc., 5.25%, 6/1/22
|
2,459,531
|
|||||||
$3,936,238
|
|||||||||
Agricultural & Farm Machinery - 0.6%
|
|||||||||
1,890,000(g)
|
Titan International, Inc., 6.875%, 10/1/20
|
$1,960,875
|
|||||||
Building Products - 0.1%
|
|||||||||
400,000
|
Griffon Corp., 5.25%, 3/1/22
|
$407,500
|
|||||||
Principal
Amount
USD ($)
|
Value
|
||||||||
Construction & Engineering - 0.3%
|
|||||||||
486,498(f)(g)
|
Abengoa Abenewco 2 SAU, 0.25% (0.25% PIK 0.0% cash), 3/31/23 (144A)
|
$ 53,515
|
|||||||
975,000
|
Tutor Perini Corp., 6.875%, 5/1/25 (144A)
|
1,026,187
|
|||||||
$1,079,702
|
|||||||||
Construction Machinery & Heavy Trucks - 0.1%
|
|||||||||
330,000(g)
|
Meritor, Inc., 6.25%, 2/15/24
|
$344,025
|
|||||||
Industrial Conglomerates - 0.8%
|
|||||||||
1,050,000
|
CSVC Acquisition Corp., 7.75%, 6/15/25 (144A)
|
$1,072,312
|
|||||||
1,070,000
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
1,122,163
|
|||||||
335,000
|
Park-Ohio Industries, Inc., 6.625%, 4/15/27 (144A)
|
351,750
|
|||||||
$2,546,225
|
|||||||||
Industrial Machinery - 1.6%
|
|||||||||
2,575,000(g)
|
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)
|
$2,394,750
|
|||||||
2,010,000(g)
|
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
|
2,072,812
|
|||||||
500,000
|
EnPro Industries, Inc., 5.875%, 9/15/22 (144A)
|
521,250
|
|||||||
$4,988,812
|
|||||||||
Trading Companies & Distributors - 0.9%
|
|||||||||
2,580,000(g)
|
H&E Equipment Services, Inc., 7.0%, 9/1/22
|
$2,683,200
|
|||||||
Total Capital Goods
|
$17,946,577
|
||||||||
COMMERCIAL & PROFESSIONAL SERVICES - 0.7%
|
|||||||||
Commercial Printing - 0.3%
|
|||||||||
1,295,000(g)
|
Cenveo Corp., 6.0%, 8/1/19 (144A)
|
$1,094,275
|
|||||||
Security & Alarm Services - 0.4%
|
|||||||||
1,015,000(g)
|
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23 (144A)
|
$1,102,960
|
|||||||
Total Commercial & Professional Services
|
$2,197,235
|
||||||||
CONSUMER DURABLES & APPAREL - 2.9%
|
|||||||||
Homebuilding - 2.8%
|
|||||||||
475,000
|
Beazer Homes USA, Inc., 6.75%, 3/15/25
|
$495,188
|
|||||||
1,235,000(g)
|
Beazer Homes USA, Inc., 8.75%, 3/15/22
|
1,377,025
|
|||||||
800,000(g)
|
Brookfield Residential Properties, Inc., 6.375%, 5/15/25 (144A)
|
828,000
|
|||||||
1,500,000
|
KB Home, 7.0%, 12/15/21
|
1,680,000
|
|||||||
790,000(g)
|
KB Home, 7.5%, 9/15/22
|
891,712
|
|||||||
1,035,000
|
KB Home, 7.625%, 5/15/23
|
1,161,788
|
|||||||
1,975,000(g)
|
Rialto Holdings LLC / Rialto Corp., 7.0%, 12/1/18 (144A)
|
2,004,625
|
|||||||
565,000(g)
|
Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc., 5.625%, 3/1/24 (144A)
|
590,425
|
|||||||
$9,028,763
|
|||||||||
Housewares & Specialties - 0.1%
|
|||||||||
185,000
|
American Greetings Corp., 7.875%, 2/15/25 (144A)
|
$200,031
|
|||||||
Total Consumer Durables & Apparel
|
$9,228,794
|
||||||||
CONSUMER SERVICES - 7.3%
|
|||||||||
Casinos & Gaming - 3.3%
|
|||||||||
415,000
|
Codere Finance 2 Luxembourg SA, 7.625%, 11/1/21 (144A)
|
$412,303
|
|||||||
EUR
|
1,575,000
|
Intralot Capital Luxembourg SA, 6.75%, 9/15/21 (144A)
|
1,898,951
|
||||||
751,280(d)(f)
|
Mashantucket Western Pequot Tribe, 6.5% (5.5% PIK 1.0% cash), 7/1/36
|
9,166
|
|||||||
1,700,000(g)
|
MGM Resorts International, 6.0%, 3/15/23
|
1,874,250
|
|||||||
1,225,000
|
Scientific Games International, Inc., 6.25%, 9/1/20
|
1,214,281
|
|||||||
2,350,000(g)
|
Scientific Games International, Inc., 6.625%, 5/15/21
|
2,338,250
|
|||||||
2,565,000(g)
|
Scientific Games International, Inc., 10.0%, 12/1/22
|
2,811,881
|
|||||||
$10,559,082
|
|||||||||
Hotels, Resorts & Cruise Lines - 1.8%
|
|||||||||
680,000
|
Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower, Inc., 6.125%, 12/1/24 (144A)
|
$741,200
|
|||||||
540,000
|
Silversea Cruise Finance, Ltd., 7.25%, 2/1/25 (144A)
|
575,775
|
|||||||
2,790,000
|
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)
|
2,810,925
|
|||||||
1,425,000
|
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)
|
1,496,250
|
|||||||
$5,624,150
|
|||||||||
Restaurants - 1.0%
|
|||||||||
1,045,000(g)
|
Landry's, Inc., 6.75%, 10/15/24 (144A)
|
$1,069,819
|
|||||||
2,000,000(g)
|
PF Chang's China Bistro, Inc., 10.25%, 6/30/20 (144A)
|
2,040,000
|
|||||||
$3,109,819
|
|||||||||
Specialized Consumer Services - 1.2%
|
|||||||||
1,795,000(g)
|
Monitronics International, Inc., 9.125%, 4/1/20
|
$1,709,737
|
|||||||
2,010,000(g)
|
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21
|
1,994,925
|
|||||||
$3,704,662
|
|||||||||
Total Consumer Services
|
$22,997,713
|
||||||||
DIVERSIFIED FINANCIALS - 3.7%
|
|||||||||
Consumer Finance - 1.3%
|
|||||||||
1,030,000(g)
|
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
|
$1,055,750
|
|||||||
735,000(g)
|
Navient Corp., 6.625%, 7/26/21
|
791,044
|
|||||||
500,000
|
Quicken Loans, Inc., 5.75%, 5/1/25 (144A)
|
516,250
|
|||||||
1,720,000(g)
|
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
|
1,634,000
|
|||||||
$3,997,044
|
|||||||||
Principal
Amount
USD ($)
|
Value
|
||||||||
Diversified Capital Markets - 0.2%
|
|||||||||
700,000(a)(g)(h)
|
Credit Suisse Group AG, 7.5% (144A)
|
$784,903
|
|||||||
Other Diversified Financial Services - 1.0%
|
|||||||||
3,000,000(c)(i)
|
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A)
|
$3,179,763
|
|||||||
Specialized Finance - 1.1%
|
|||||||||
425,000(g)
|
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
|
$434,562
|
|||||||
2,845,000(g)
|
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 6/1/22
|
2,923,238
|
|||||||
$3,357,800
|
|||||||||
Supranational - 0.1%
|
|||||||||
IDR
|
5,800,000,000
|
European Investment Bank, 7.2%, 7/9/19 (144A)
|
$441,566
|
||||||
Total Diversified Financials
|
$11,761,076
|
||||||||
ENERGY - 22.6%
|
|||||||||
Integrated Oil & Gas - 0.6%
|
|||||||||
305,000
|
Ascent Resources Utica Holdings LLC / ARU Finance Corp., 10.0%, 4/1/22 (144A)
|
$305,000
|
|||||||
650,000
|
Petrobras Global Finance BV, 7.375%, 1/17/27
|
687,700
|
|||||||
750,000
|
YPF SA, 8.875%, 12/19/18 (144A)
|
803,550
|
|||||||
$1,796,250
|
|||||||||
Oil & Gas Drilling - 1.5%
|
|||||||||
280,000
|
Rowan Cos., Inc., 4.875%, 6/1/22
|
$259,700
|
|||||||
2,434,000
|
Rowan Cos., Inc., 5.4%, 12/1/42
|
1,715,970
|
|||||||
131,000
|
Rowan Cos., Inc., 5.85%, 1/15/44
|
97,267
|
|||||||
1,630,711(g)
|
Shelf Drilling Holdings, Ltd., 9.5%, 11/2/20 (144A)
|
1,581,790
|
|||||||
1,150,000
|
Trinidad Drilling, Ltd., 6.625%, 2/15/25 (144A)
|
1,092,500
|
|||||||
$4,747,227
|
|||||||||
Oil & Gas Equipment & Services - 1.1%
|
|||||||||
1,308,000
|
Archrock Partners LP / Archrock Partners Finance Corp., 6.0%, 4/1/21
|
$1,275,300
|
|||||||
690,000
|
Archrock Partners LP / Archrock Partners Finance Corp., 6.0%, 10/1/22
|
669,300
|
|||||||
1,020,000(g)
|
McDermott International, Inc., 8.0%, 5/1/21 (144A)
|
1,027,650
|
|||||||
545,000
|
Weatherford International, Ltd., 8.25%, 6/15/23
|
545,000
|
|||||||
$3,517,250
|
|||||||||
Oil & Gas Exploration & Production - 10.0%
|
|||||||||
900,000
|
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp., 7.875%, 12/15/24 (144A)
|
$906,750
|
|||||||
2,350,000(g)
|
California Resources Corp., 8.0%, 12/15/22 (144A)
|
1,486,375
|
|||||||
525,000
|
Carrizo Oil & Gas, Inc., 7.5%, 9/15/20
|
534,187
|
|||||||
502,000
|
Chesapeake Energy Corp., 8.0%, 12/15/22 (144A)
|
530,865
|
|||||||
550,000
|
Chesapeake Energy Corp., 8.0%, 1/15/25 (144A)
|
544,500
|
|||||||
760,000
|
Chesapeake Energy Corp., 8.0%, 6/15/27 (144A)
|
746,700
|
|||||||
860,000(g)
|
Extraction Oil & Gas, Inc. / Extraction Finance Corp., 7.875%, 7/15/21 (144A)
|
883,650
|
|||||||
1,220,000
|
Great Western Petroleum LLC / Great Western Finance, Inc., 9.0%, 9/30/21 (144A)
|
1,204,750
|
|||||||
1,570,000
|
Gulfport Energy Corp., 6.0%, 10/15/24 (144A)
|
1,526,825
|
|||||||
1,000,000
|
Gulfport Energy Corp., 6.375%, 5/15/25 (144A)
|
985,000
|
|||||||
600,000
|
Halcon Resources Corp., 6.75%, 2/15/25 (144A)
|
540,000
|
|||||||
2,035,000(g)
|
Halcon Resources Corp., 12.0%, 2/15/22 (144A)
|
2,299,550
|
|||||||
300,000
|
MEG Energy Corp., 6.5%, 1/15/25 (144A)
|
273,000
|
|||||||
2,450,000
|
MEG Energy Corp., 7.0%, 3/31/24 (144A)
|
1,904,875
|
|||||||
330,000
|
Murphy Oil Corp., 6.875%, 8/15/24
|
344,850
|
|||||||
1,185,000
|
Oasis Petroleum, Inc., 6.875%, 3/15/22
|
1,149,450
|
|||||||
1,920,032(f)
|
PetroQuest Energy, Inc., 10.0% (9.0% PIK 1.0% cash), 2/15/21
|
1,377,623
|
|||||||
1,800,000(g)
|
Rice Energy, Inc., 6.25%, 5/1/22
|
1,881,000
|
|||||||
2,935,000(g)
|
Sanchez Energy Corp., 7.75%, 6/15/21
|
2,656,175
|
|||||||
3,000,000(g)
|
Seven Generations Energy, Ltd., 8.25%, 5/15/20 (144A)
|
3,127,500
|
|||||||
2,083,000
|
SM Energy Co., 6.5%, 1/1/23
|
1,984,058
|
|||||||
625,000(g)
|
Whiting Petroleum Corp., 5.0%, 3/15/19
|
621,094
|
|||||||
2,015,000(g)
|
Whiting Petroleum Corp., 5.75%, 3/15/21
|
1,894,100
|
|||||||
950,000(g)
|
WPX Energy, Inc., 7.5%, 8/1/20
|
997,500
|
|||||||
995,000(g)
|
WPX Energy, Inc., 8.25%, 8/1/23
|
1,079,575
|
|||||||
$31,479,952
|
|||||||||
Oil & Gas Refining & Marketing - 2.0%
|
|||||||||
3,859,000(g)
|
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21
|
$3,338,035
|
|||||||
750,000(g)
|
Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.75%, 4/15/23 (144A)
|
652,500
|
|||||||
457,895(b)
|
EP PetroEcuador via Noble Sovereign Funding I, Ltd., 6.925%, 9/24/19
|
456,750
|
|||||||
1,350,000
|
PBF Holding Co. LLC / PBF Finance Corp., 7.0%, 11/15/23
|
1,329,750
|
|||||||
385,000(g)
|
PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/23
|
390,775
|
|||||||
$6,167,810
|
|||||||||
Oil & Gas Services & Equipment - 0.2%
|
|||||||||
635,000
|
Exterran Energy Solutions LP / EES Finance Corp., 8.125%, 5/1/25 (144A)
|
$647,700
|
|||||||
Oil & Gas Storage & Transportation - 7.2%
|
|||||||||
1,145,000
|
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.125%, 11/15/22 (144A)
|
$1,153,587
|
|||||||
250,000
|
Cheniere Corpus Christi Holdings LLC, 7.0%, 6/30/24
|
278,125
|
|||||||
Principal
Amount
USD ($)
|
Value
|
||||||||
Oil & Gas Storage & Transportation - (continued)
|
|||||||||
875,000(g)
|
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, 4/1/23
|
$888,125
|
|||||||
910,000
|
DCP Midstream Operating LP, 5.6%, 4/1/44
|
857,675
|
|||||||
1,210,000
|
Delek Logistics Partners LP, 6.75%, 5/15/25 (144A)
|
1,222,100
|
|||||||
1,524,000(b)(g)
|
Energy Transfer LP, 4.187%, 11/1/66
|
1,318,260
|
|||||||
248,000
|
EnLink Midstream Partners LP, 5.05%, 4/1/45
|
230,148
|
|||||||
717,000
|
EnLink Midstream Partners LP, 5.6%, 4/1/44
|
723,745
|
|||||||
350,000(a)(g)
|
Enterprise Products Operating LLC, 4.877%, 8/1/66
|
351,313
|
|||||||
2,500,000(g)
|
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22
|
2,506,250
|
|||||||
1,410,000(g)
|
Global Partners LP / GLP Finance Corp., 6.25%, 7/15/22
|
1,417,050
|
|||||||
2,175,000(g)
|
Global Partners LP / GLP Finance Corp., 7.0%, 6/15/23
|
2,164,125
|
|||||||
1,850,000
|
ONEOK, Inc., 6.875%, 9/30/28
|
2,007,250
|
|||||||
2,500,000(g)
|
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23
|
2,627,000
|
|||||||
360,000
|
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.125%, 11/15/19
|
364,050
|
|||||||
1,185,000
|
Western Refining Logistics LP / WNRL Finance Corp., 7.5%, 2/15/23
|
1,276,838
|
|||||||
3,040,000(g)
|
Williams Cos., Inc., 5.75%, 6/24/44
|
3,138,800
|
|||||||
$22,524,441
|
|||||||||
Total Energy
|
$70,880,630
|
||||||||
FOOD & STAPLES RETAILING - 0.5%
|
|||||||||
Food Retail - 0.5%
|
|||||||||
950,000
|
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A)
|
$935,750
|
|||||||
805,000(g)
|
Tops Holding LLC / Tops Markets II Corp., 8.0%, 6/15/22 (144A)
|
661,106
|
|||||||
Total Food & Staples Retailing
|
$1,596,856
|
||||||||
FOOD, BEVERAGE & TOBACCO - 6.0%
|
|||||||||
Agricultural Products - 0.4%
|
|||||||||
1,037,796(g)
|
Pinnacle Operating Corp., 9.0%, 5/15/23 (144A)
|
$985,906
|
|||||||
575,000(d)
|
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)
|
241,500
|
|||||||
$1,227,406
|
|||||||||
Packaged Foods & Meats - 4.2%
|
|||||||||
840,000(d)
|
CFG Investment SAC, 9.75%, 7/30/19 (144A)
|
$789,600
|
|||||||
1,240,000(g)
|
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)
|
1,269,450
|
|||||||
750,000
|
Marfrig Holding Europe BV, 8.0%, 6/8/23 (144A)
|
761,400
|
|||||||
1,000,000
|
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
|
1,032,500
|
|||||||
1,200,000
|
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)
|
1,201,500
|
|||||||
1,240,000(g)
|
Minerva Luxembourg SA, 6.5%, 9/20/26 (144A)
|
1,207,450
|
|||||||
3,400,000(g)
|
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
|
3,557,250
|
|||||||
1,250,000(g)
|
Post Holdings, Inc., 5.0%, 8/15/26 (144A)
|
1,246,875
|
|||||||
2,000,000(g)
|
Post Holdings, Inc., 6.0%, 12/15/22 (144A)
|
2,120,000
|
|||||||
$13,186,025
|
|||||||||
Soft Drinks - 0.5%
|
|||||||||
1,625,000(g)
|
Cott Beverages, Inc., 5.375%, 7/1/22
|
$1,683,906
|
|||||||
Tobacco - 0.9%
|
|||||||||
340,000
|
Alliance One International, Inc., 8.5%, 4/15/21 (144A)
|
$354,450
|
|||||||
2,645,000(g)
|
Alliance One International, Inc., 9.875%, 7/15/21
|
2,301,150
|
|||||||
$2,655,600
|
|||||||||
Total Food, Beverage & Tobacco
|
$18,752,937
|
||||||||
HEALTH CARE EQUIPMENT & SERVICES - 5.5%
|
|||||||||
Health Care Facilities - 4.4%
|
|||||||||
3,365,000(g)
|
CHS/Community Health Systems, Inc., 6.875%, 2/1/22
|
$2,940,169
|
|||||||
610,000(g)
|
CHS/Community Health Systems, Inc., 8.0%, 11/15/19
|
613,050
|
|||||||
2,400,000(g)
|
Kindred Healthcare, Inc., 6.375%, 4/15/22
|
2,364,000
|
|||||||
2,000,000(g)
|
Kindred Healthcare, Inc., 8.0%, 1/15/20
|
2,100,000
|
|||||||
2,540,000(g)
|
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/1/23 (144A)
|
2,724,150
|
|||||||
360,000
|
Tenet Healthcare Corp., 7.5%, 1/1/22 (144A)
|
390,528
|
|||||||
2,830,000(g)
|
Universal Hospital Services, Inc., 7.625%, 8/15/20
|
2,875,987
|
|||||||
$14,007,884
|
|||||||||
Health Care Services - 1.1%
|
|||||||||
2,250,000(g)
|
BioScrip, Inc., 8.875%, 2/15/21
|
$2,036,250
|
|||||||
1,340,000
|
Team Health Holdings, Inc., 6.375%, 2/1/25 (144A)
|
1,299,800
|
|||||||
$3,336,050
|
|||||||||
Total Health Care Equipment & Services
|
$17,343,934
|
||||||||
HOUSEHOLD & PERSONAL PRODUCTS - 1.5%
|
|||||||||
Household Products - 0.7%
|
|||||||||
2,220,000
|
Springs Industries, Inc., 6.25%, 6/1/21
|
$2,294,925
|
|||||||
Personal Products - 0.8%
|
|||||||||
2,725,000
|
Revlon Consumer Products Corp., 6.25%, 8/1/24
|
$2,370,750
|
|||||||
Total Household & Personal Products
|
$4,665,675
|
||||||||
INSURANCE - 7.8%
|
|||||||||
Multi-Line Insurance - 2.1%
|
|||||||||
3,075,000(a)(g)
|
Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A)
|
$4,873,875
|
|||||||
1,100,000(g)
|
MetLife, Inc., 10.75%, 8/1/39
|
1,831,500
|
|||||||
$6,705,375
|
|||||||||
Property & Casualty Insurance - 2.2%
|
|||||||||
5,300,000(g)
|
Hanover Insurance Corp., 7.625%, 10/15/25
|
$6,473,060
|
|||||||
Principal
Amount
USD ($)
|
Value
|
||||||||
Property & Casualty Insurance - (continued)
|
|||||||||
265,000(a)(g)(h)
|
Sirius International Group, Ltd., 7.506% (144A)
|
$265,994
|
|||||||
$6,739,054
|
|||||||||
Reinsurance - 3.5%
|
|||||||||
500,000(b)
|
Alamo Re, Ltd., 5.821%, 6/7/18 (144A) (Cat Bond)
|
$506,950
|
|||||||
500,000(j)(k)
|
Arlington Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 8/1/17
|
24,300
|
|||||||
700,000(j)(k)
|
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 12/31/17
|
14,280
|
|||||||
700,000(j)(k)
|
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
|
75,740
|
|||||||
1,000,000(j)(k)
|
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/21
|
1,024,900
|
|||||||
500,000(j)(k)
|
Cyprus Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 1/10/18
|
456,250
|
|||||||
1,300,000(j)(k)
|
Gullane Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
|
28,340
|
|||||||
1,000,000(j)(k)
|
Gullane Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/21
|
1,053,100
|
|||||||
750,000(b)
|
Kilimanjaro Re, Ltd., 5.761%, 4/30/18 (144A) (Cat Bond)
|
747,525
|
|||||||
250,000(b)
|
Kilimanjaro Re, Ltd., Series 2015-1, Class D, 10.261%, 12/6/19 (144A) (Cat Bond)
|
249,450
|
|||||||
250,000(b)
|
Kilimanjaro Re, Ltd., Series 2015-1, Class E, 7.761%, 12/6/19 (144A) (Cat Bond)
|
252,675
|
|||||||
1,000,000(j)(k)
|
Lahinch Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 5/10/21
|
17,800
|
|||||||
250,000(l)
|
Limestone Re, Ltd., Series 1, Class A Non Voting, 8/31/21 (Cat Bond)
|
253,250
|
|||||||
250,000(l)
|
Limestone Re, Ltd., Series 1, Class A Voting, 8/31/21 (Cat Bond)
|
253,250
|
|||||||
760,000(j)(k)
|
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rate Notes, 3/31/18
|
4,408
|
|||||||
800,000(j)(k)
|
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rate Notes, 3/31/19
|
44,800
|
|||||||
400,000(j)(k)
|
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rate Notes, 3/31/20
|
408,040
|
|||||||
1,000,000(j)(k)
|
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2015-1, Variable Rate Notes, 2/1/19
|
4,500
|
|||||||
1,000,000(j)(k)
|
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2015-2, Variable Rate Notes, 7/1/19
|
76,900
|
|||||||
1,200,000(j)(k)
|
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2016-1, Variable Rate Notes, 2/1/20
|
110,280
|
|||||||
1,000,000(j)(k)
|
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2016-2, Variable Rate Notes, 11/30/20
|
53,800
|
|||||||
500,000(j)(k)
|
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2017-1, Variable Rate Notes, 11/30/21
|
519,600
|
|||||||
400,000(j)(k)
|
Resilience Re, Ltd., Variable Rate Notes, 7/7/17
|
8,600
|
|||||||
400,000(j)(k)
|
Resilience Re, Ltd., Variable Rate Notes, 4/6/18
|
366,760
|
|||||||
AUD
|
300,000(j)(k)
|
Rewire Securities LLC, Variable Rate Notes, 1/10/18
|
180,704
|
||||||
3,791(j)(k)
|
Sector Re V, Ltd. (Swiss Re), Series 5, Class C, Variable Rate Notes, 12/1/20 (144A)
|
28,123
|
|||||||
1,211(j)(k)
|
Sector Re V, Ltd. (Swiss Re), Series 6, Class A, Variable Rate Notes, 3/1/21 (144A)
|
93,077
|
|||||||
800,000(j)(k)
|
Sector Re V, Ltd. (Swiss Re), Series 6, Class D, Variable Rate Notes, 12/1/21 (144A)
|
840,320
|
|||||||
500,000(j)(k)
|
Sector Re V, Ltd. (Swiss Re), Series 7, Class G, Variable Rate Notes, 3/1/22 (144A)
|
504,750
|
|||||||
800,000(j)(k)
|
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/18/17 (144A)
|
1,600
|
|||||||
500,000(j)(k)
|
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/17/18 (144A)
|
24,400
|
|||||||
500,000(j)(k)
|
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/16/19 (144A)
|
537,450
|
|||||||
500,000(j)(k)
|
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 12/31/17
|
9,850
|
|||||||
500,000(j)(k)
|
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/1/18
|
70,300
|
|||||||
500,000(j)(k)
|
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/1/19
|
526,300
|
|||||||
500,000(b)
|
Ursa Re, Ltd., 6.0%, 5/27/20 (144A) (Cat Bond)
|
500,400
|
|||||||
1,250,000(j)(k)
|
Versutus, Ltd. (MMC Securities), Series 2016-A, Variable Rate Notes, 11/30/20
|
54,625
|
|||||||
1,000,000(j)(k)
|
Versutus, Ltd. (MMC Securities), Series 2017-A, Variable Rate Notes, 11/30/21
|
1,025,900
|
|||||||
$10,953,297
|
|||||||||
Total Insurance
|
$24,397,726
|
||||||||
MATERIALS - 11.2%
|
|||||||||
Commodity Chemicals - 3.3%
|
|||||||||
3,250,000(g)
|
Basell Finance Co., BV, 8.1%, 3/15/27 (144A)
|
$4,310,702
|
|||||||
2,316,000
|
Rain CII Carbon LLC / CII Carbon Corp., 7.25%, 4/1/25 (144A)
|
2,391,270
|
|||||||
3,625,000(g)
|
Rain CII Carbon LLC / CII Carbon Corp., 8.25%, 1/15/21 (144A)
|
3,779,063
|
|||||||
$10,481,035
|
|||||||||
Copper - 1.1%
|
|||||||||
1,065,000
|
First Quantum Minerals, Ltd., 7.25%, 4/1/23 (144A)
|
$1,041,037
|
|||||||
Principal
Amount
USD ($)
|
Value
|
||||||||
Copper - (continued)
|
|||||||||
2,420,000(g)
|
Freeport-McMoRan, Inc., 3.55%, 3/1/22
|
$2,267,976
|
|||||||
$3,309,013
|
|||||||||
Diversified Chemicals - 0.9%
|
|||||||||
225,000
|
Alpha 3 BV / Alpha US Bidco, Inc., 6.25%, 2/1/25 (144A)
|
$231,469
|
|||||||
210,000(g)
|
Blue Cube Spinco, Inc., 9.75%, 10/15/23
|
254,100
|
|||||||
210,000(g)
|
Blue Cube Spinco, Inc., 10.0%, 10/15/25
|
258,825
|
|||||||
1,660,000(g)
|
Evolution Escrow Issuer LLC, 7.5%, 3/15/22 (144A)
|
1,709,800
|
|||||||
305,000(g)
|
Platform Specialty Products Corp., 10.375%, 5/1/21 (144A)
|
337,406
|
|||||||
$2,791,600
|
|||||||||
Diversified Metals & Mining - 1.4%
|
|||||||||
253,000(g)
|
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)
|
$197,340
|
|||||||
725,000(g)
|
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/1/22 (144A)
|
825,594
|
|||||||
600,000
|
Hudbay Minerals, Inc., 7.25%, 1/15/23 (144A)
|
618,750
|
|||||||
750,000
|
Hudbay Minerals, Inc., 7.625%, 1/15/25 (144A)
|
785,625
|
|||||||
1,410,000
|
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)
|
1,445,250
|
|||||||
145,000
|
Teck Resources, Ltd., 8.5%, 6/1/24 (144A)
|
167,475
|
|||||||
340,000
|
Vale Overseas, Ltd., 6.25%, 8/10/26
|
366,775
|
|||||||
$4,406,809
|
|||||||||
Fertilizers & Agricultural Chemicals - 0.1%
|
|||||||||
420,000
|
CVR Partners LP / CVR Nitrogen Finance Corp., 9.25%, 6/15/23 (144A)
|
$439,425
|
|||||||
Forest Products - 0.5%
|
|||||||||
1,655,000(g)
|
Eldorado International Finance GmbH, 8.625%, 6/16/21 (144A)
|
$1,626,865
|
|||||||
Metal & Glass Containers - 1.4%
|
|||||||||
EUR
|
400,000(f)
|
ARD Finance SA, 6.625% (7.375% PIK 0.0% cash), 9/15/23
|
$484,635
|
||||||
400,000(f)(g)
|
ARD Finance SA, 7.125% (7.875% PIK 0.0% cash), 9/15/23
|
426,960
|
|||||||
1,010,000(g)
|
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc., 7.25%, 5/15/24 (144A)
|
1,104,687
|
|||||||
1,085,000(g)
|
Coveris Holdings SA, 7.875%, 11/1/19 (144A)
|
1,068,725
|
|||||||
1,035,000(g)
|
Reynolds Group Issuer, Inc., 7.0%, 7/15/24 (144A)
|
1,110,260
|
|||||||
$4,195,267
|
|||||||||
Paper Packaging - 1.2%
|
|||||||||
EUR
|
3,105,000
|
SIG Combibloc Holdings SCA, 7.75%, 2/15/23 (144A)
|
$3,773,367
|
||||||
Specialty Chemicals - 1.0%
|
|||||||||
1,075,000(g)
|
A Schulman, Inc., 6.875%, 6/1/23
|
$1,136,812
|
|||||||
500,000(g)
|
GCP Applied Technologies, Inc., 9.5%, 2/1/23 (144A)
|
568,750
|
|||||||
400,000(g)
|
Hexion US Finance Corp., 6.625%, 4/15/20
|
365,000
|
|||||||
320,000
|
Koppers, Inc., 6.0%, 2/15/25 (144A)
|
340,000
|
|||||||
595,000
|
Tronox Finance LLC, 6.375%, 8/15/20
|
596,488
|
|||||||
$3,007,050
|
|||||||||
Steel - 0.3%
|
|||||||||
460,000
|
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 (144A)
|
$454,250
|
|||||||
635,000(g)
|
Zekelman Industries, Inc., 9.875%, 6/15/23 (144A)
|
713,581
|
|||||||
$1,167,831
|
|||||||||
Total Materials
|
$35,198,262
|
||||||||
MEDIA - 3.7%
|
|||||||||
Advertising - 0.8%
|
|||||||||
2,540,000(g)
|
MDC Partners, Inc., 6.5%, 5/1/24 (144A)
|
$2,533,650
|
|||||||
Broadcasting - 0.4%
|
|||||||||
535,000
|
CBS Radio, Inc., 7.25%, 11/1/24 (144A)
|
$551,050
|
|||||||
670,000(g)
|
CSC Holdings LLC, 5.5%, 4/15/27 (144A)
|
708,525
|
|||||||
$1,259,575
|
|||||||||
Cable & Satellite - 1.5%
|
|||||||||
1,885,000
|
DISH DBS Corp., 7.75%, 7/1/26
|
$2,233,725
|
|||||||
2,000,000
|
Hughes Satellite Systems Corp., 6.625%, 8/1/26
|
2,150,000
|
|||||||
205,000(g)
|
Intelsat Connect Finance SA, 12.5%, 4/1/22 (144A)
|
184,244
|
|||||||
$4,567,969
|
|||||||||
Movies & Entertainment - 1.0%
|
|||||||||
675,000
|
AMC Entertainment Holdings, Inc., 6.125%, 5/15/27 (144A)
|
$712,334
|
|||||||
1,400,000(g)
|
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)
|
1,244,250
|
|||||||
1,115,000
|
Regal Entertainment Group, 5.75%, 2/1/25
|
1,151,238
|
|||||||
$3,107,822
|
|||||||||
Total Media
|
$11,469,016
|
||||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 3.7%
|
|||||||||
Pharmaceuticals - 3.7%
|
|||||||||
1,695,000(g)
|
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 7/15/23 (144A)
|
$1,424,647
|
|||||||
2,540,000(g)
|
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 2/1/25 (144A)
|
2,070,100
|
|||||||
145,000
|
Horizon Pharma, Inc. / Horizon Pharma USA, Inc., 8.75%, 11/1/24 (144A)
|
147,175
|
|||||||
1,155,000
|
Horizon Pharma, Inc., 6.625%, 5/1/23
|
1,085,700
|
|||||||
1,508,000(g)
|
Patheon Holdings I BV, 7.5%, 2/1/22 (144A)
|
1,602,250
|
|||||||
EUR
|
575,000
|
VRX Escrow Corp., 4.5%, 5/15/23
|
538,415
|
||||||
EUR
|
1,265,000
|
VRX Escrow Corp., 4.5%, 5/15/23 (144A)
|
1,184,512
|
||||||
3,130,000(g)
|
VRX Escrow Corp., 5.875%, 5/15/23 (144A)
|
2,683,975
|
|||||||
920,000
|
VRX Escrow Corp., 7.0%, 3/15/24 (144A)
|
967,150
|
|||||||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$11,703,924
|
||||||||
Principal
Amount
USD ($)
|
Value
|
||||||||
REAL ESTATE - 1.4%
|
|||||||||
Specialized REITs - 1.4%
|
|||||||||
988,532(f)
|
AAF Holdings LLC / AAF Finance Co., 12.0% (12.75% PIK 12.0% cash), 7/1/19 (144A)
|
$1,033,016
|
|||||||
3,480,000(g)
|
Uniti Group, Inc. / CSL Capital LLC, 8.25%, 10/15/23
|
3,584,400
|
|||||||
Total Real Estate
|
$4,617,416
|
||||||||
RETAILING - 1.5%
|
|||||||||
Automotive Retail - 0.7%
|
|||||||||
1,385,000(g)
|
Asbury Automotive Group, Inc., 6.0%, 12/15/24
|
$1,409,238
|
|||||||
775,000
|
Hertz Corp., 7.625%, 6/1/22 (144A)
|
773,140
|
|||||||
$2,182,378
|
|||||||||
Department Stores - 0.8%
|
|||||||||
935,000(g)
|
Argos Merger Sub, Inc., 7.125%, 3/15/23 (144A)
|
$832,150
|
|||||||
1,425,000
|
Argos Merger Sub, Inc., 8.875%, 6/1/25 (144A)
|
1,316,130
|
|||||||
900,000(g)
|
Neiman Marcus Group, Ltd., LLC, 8.0%, 10/15/21 (144A)
|
497,250
|
|||||||
$2,645,530
|
|||||||||
Total Retailing
|
$4,827,908
|
||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.7%
|
|||||||||
Semiconductors - 0.7%
|
|||||||||
425,000
|
Micron Technology, Inc., 5.5%, 2/1/25
|
$448,375
|
|||||||
1,715,000(g)
|
Micron Technology, Inc., 5.625%, 1/15/26 (144A)
|
1,783,600
|
|||||||
Total Semiconductors & Semiconductor Equipment
|
$2,231,975
|
||||||||
SOFTWARE & SERVICES - 2.1%
|
|||||||||
Data Processing & Outsourced Services - 0.3%
|
|||||||||
805,000(g)
|
First Data Corp., 7.0%, 12/1/23 (144A)
|
$859,338
|
|||||||
Internet Software & Services - 0.6%
|
|||||||||
1,500,000
|
Cimpress NV, 7.0%, 4/1/22 (144A)
|
$1,552,500
|
|||||||
285,000
|
j2 Cloud Services LLC / j2 Global, Inc., 6.0%, 7/15/25 (144A)
|
293,550
|
|||||||
$1,846,050
|
|||||||||
IT Consulting & Other Services - 1.2%
|
|||||||||
555,000(g)
|
Dell International LLC / EMC Corp., 7.125%, 6/15/24 (144A)
|
$610,087
|
|||||||
3,005,000
|
Rackspace Hosting, Inc., 8.625%, 11/15/24 (144A)
|
3,200,325
|
|||||||
$3,810,412
|
|||||||||
Total Software & Services
|
$6,515,800
|
||||||||
TECHNOLOGY HARDWARE & EQUIPMENT - 1.6%
|
|||||||||
Communications Equipment - 0.2%
|
|||||||||
645,000(g)
|
CommScope Technologies LLC, 6.0%, 6/15/25 (144A)
|
$688,537
|
|||||||
Electronic Equipment & Instruments - 0.3%
|
|||||||||
745,000(g)
|
Zebra Technologies Corp., 7.25%, 10/15/22
|
$791,563
|
|||||||
Technology Hardware, Storage & Peripherals - 1.1%
|
|||||||||
3,055,000(g)
|
Diebold Nixdorf, Inc., 8.5%, 4/15/24
|
$3,418,087
|
|||||||
Total Technology Hardware & Equipment
|
$4,898,187
|
||||||||
TELECOMMUNICATION SERVICES - 8.0%
|
|||||||||
Integrated Telecommunication Services - 5.3%
|
|||||||||
3,500,000(g)
|
CenturyLink, Inc., 5.625%, 4/1/25
|
$3,494,155
|
|||||||
600,000
|
Cincinnati Bell, Inc., 7.0%, 7/15/24 (144A)
|
627,120
|
|||||||
2,890,000
|
Frontier Communications Corp., 7.125%, 1/15/23
|
2,405,925
|
|||||||
1,300,000
|
Frontier Communications Corp., 10.5%, 9/15/22
|
1,243,125
|
|||||||
1,330,000(g)
|
Frontier Communications Corp., 11.0%, 9/15/25
|
1,233,575
|
|||||||
1,975,000(g)
|
GCI, Inc., 6.75%, 6/1/21
|
2,024,375
|
|||||||
1,725,000(g)
|
GCI, Inc., 6.875%, 4/15/25
|
1,865,156
|
|||||||
4,200,000(g)
|
Windstream Corp., 7.5%, 6/1/22
|
3,748,500
|
|||||||
$16,641,931
|
|||||||||
Wireless Telecommunication Services - 2.7%
|
|||||||||
1,085,000(g)
|
Altice Financing SA, 6.625%, 2/15/23 (144A)
|
$1,151,120
|
|||||||
300,000(g)
|
Altice Finco SA, 8.125%, 1/15/24 (144A)
|
326,250
|
|||||||
1,025,000
|
Digicel Group, Ltd., 8.25%, 9/30/20 (144A)
|
958,272
|
|||||||
3,080,000(g)
|
Sprint Corp., 7.125%, 6/15/24
|
3,426,500
|
|||||||
2,150,000(g)
|
Sprint Corp., 7.25%, 9/15/21
|
2,389,188
|
|||||||
400,000
|
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
|
396,731
|
|||||||
$8,648,061
|
|||||||||
Total Telecommunication Services
|
$25,289,992
|
||||||||
TRANSPORTATION - 2.7%
|
|||||||||
Airlines - 1.4%
|
|||||||||
280,000
|
Fly Leasing, Ltd., 6.375%, 10/15/21
|
$293,650
|
|||||||
1,460,000
|
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)
|
1,416,200
|
|||||||
2,050,000
|
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 8.25%, 7/15/17 (144A)
|
2,044,875
|
|||||||
600,000(g)
|
United Continental Holdings, Inc., 6.375%, 6/1/18
|
621,750
|
|||||||
$4,376,475
|
|||||||||
Marine - 0.3%
|
|||||||||
1,025,000
|
Navios South American Logistics, Inc. / Navios Logistics
Finance US, Inc., 7.25%, 5/1/22 (144A)
|
$989,125
|
|||||||
Railroads - 0.5%
|
|||||||||
1,520,000
|
Florida East Coast Holdings Corp., 9.75%, 5/1/20 (144A)
|
$1,632,100
|
|||||||
Principal
Amount
USD ($)
|
Value
|
||||||||
Trucking - 0.5%
|
|||||||||
2,000,000(g)
|
Syncreon Group BV / Syncreon Global Finance US, Inc., 8.625%, 11/1/21 (144A)
|
$1,520,000
|
|||||||
Total Transportation
|
$8,517,700
|
||||||||
UTILITIES - 7.5%
|
|||||||||
Electric Utilities - 1.0%
|
|||||||||
1,010,000(a)(g)
|
Enel S.p.A., 8.75%, 9/24/73 (144A)
|
$1,201,900
|
|||||||
500,000
|
Stoneway Capital Corp., 10.0%, 3/1/27 (144A)
|
527,660
|
|||||||
32,000
|
Talen Energy Supply LLC, 4.625%, 7/15/19 (144A)
|
31,200
|
|||||||
1,911,000(g)
|
Talen Energy Supply LLC, 6.5%, 6/1/25
|
1,347,255
|
|||||||
$3,108,015
|
|||||||||
Gas Utilities - 1.2%
|
|||||||||
3,005,000(g)
|
Ferrellgas LP / Ferrellgas Finance Corp., 6.75%, 6/15/23
|
$2,802,162
|
|||||||
950,000
|
Ferrellgas LP / Ferrellgas Finance Corp., 8.625%, 6/15/20 (144A)
|
897,750
|
|||||||
$3,699,912
|
|||||||||
Independent Power Producers & Energy Traders - 4.9%
|
|||||||||
2,331,000
|
Calpine Corp., 5.75%, 1/15/25
|
$2,185,313
|
|||||||
1,226,000
|
Dynegy, Inc., 8.0%, 1/15/25 (144A)
|
1,189,220
|
|||||||
525,000
|
NRG Energy, Inc., 6.25%, 5/1/24
|
530,250
|
|||||||
2,915,000(g)
|
NRG Energy, Inc., 6.625%, 1/15/27
|
2,918,644
|
|||||||
950,000(g)
|
NRG Energy, Inc., 7.25%, 5/15/26 (144A)
|
983,250
|
|||||||
1,687,335
|
NSG Holdings LLC / NSG Holdings, Inc., 7.75%, 12/15/25 (144A)
|
1,813,885
|
|||||||
2,430,000(g)
|
TerraForm Global Operating LLC, 9.75%, 8/15/22 (144A)
|
2,721,600
|
|||||||
505,000(g)(i)
|
TerraForm Power Operating LLC, 6.375%, 2/1/23 (144A)
|
525,200
|
|||||||
2,620,000(g)(i)
|
TerraForm Power Operating LLC, 6.625%, 6/15/25 (144A)
|
2,783,750
|
|||||||
$15,651,112
|
|||||||||
Multi-Utilities - 0.4%
|
|||||||||
1,230,418
|
Ormat Funding Corp., 8.25%, 12/30/20
|
$1,230,418
|
|||||||
Total Utilities
|
$23,689,457
|
||||||||
TOTAL CORPORATE BONDS & NOTES
|
|||||||||
(Cost $343,818,804)
|
$361,390,117
|
||||||||
CONVERTIBLE BONDS & NOTES - 2.7% of Net Assets
|
|||||||||
CAPITAL GOODS - 1.4%
|
|||||||||
Construction Machinery & Heavy Trucks - 1.4%
|
|||||||||
2,625,000(g)
|
Meritor, Inc., 7.875%, 3/1/26
|
$4,465,781
|
|||||||
Total Capital Goods
|
$4,465,781
|
||||||||
ENERGY - 0.0%†
|
|||||||||
Coal & Consumable Fuels - 0.0%†
|
|||||||||
1,905,000(d)
|
Alpha Appalachia Holdings, Inc., 3.25%, 12/31/17
|
$ 9,525
|
|||||||
Total Energy
|
$ 9,525
|
||||||||
MATERIALS - 1.3%
|
|||||||||
Specialty Chemicals - 1.3%
|
|||||||||
4,000,000(m)
|
Hercules, Inc., 6.5%, 6/30/29
|
$4,020,000
|
|||||||
Total Materials
|
$4,020,000
|
||||||||
UTILITIES - 0.0%†
|
|||||||||
Renewable Electricity - 0.0%†
|
|||||||||
170,984(d)(e)(f)
|
LDK Solar Co., Ltd., 5.535% (5.535% PIK 0.0% cash), 12/31/18
|
$ 222
|
|||||||
Total Utilities
|
$ 222
|
||||||||
TOTAL CONVERTIBLE BONDS & NOTES
|
|||||||||
(Cost $7,334,852)
|
$8,495,528
|
||||||||
SOVEREIGN DEBT OBLIGATIONS - 1.2% of Net Assets
|
|||||||||
Argentina - 0.8%
|
|||||||||
2,405,000
|
Provincia del Chubut Argentina, 7.75%, 7/26/26 (144A)
|
$2,423,591
|
|||||||
Russia - 0.4%
|
|||||||||
1,171,600(i)
|
Russian Government International Bond, 7.5%, 3/31/30
|
$1,405,920
|
|||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
|||||||||
(Cost $3,272,228)
|
$3,829,511
|
||||||||
U.S. GOVERNMENT AND AGENCY OBLIGATION - 0.5% of Net Assets
|
|||||||||
1,500,000(b)
|
U.S. Treasury Notes, 1.193%, 4/30/18
|
$1,502,550
|
|||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATION
|
|||||||||
(Cost $1,500,331)
|
$1,502,550
|
||||||||
TAX EXEMPT OBLIGATIONS - 0.5% of Net Assets (n)
|
|||||||||
Mississippi - 0.1%
|
|||||||||
250,000(a)
|
Mississippi Business Finance Corp., Chevron USA, Inc., Project, Series G, 0.89%, 12/1/30
|
$250,000
|
|||||||
Texas - 0.4%
|
|||||||||
1,405,000(a)
|
Harris County Health Facilities Development Corp., The Methodist Hospital System, Series A-2, 0.95%, 12/1/41
|
$1,405,000
|
|||||||
TOTAL TAX EXEMPT OBLIGATIONS
|
|||||||||
(Cost $1,655,000)
|
$1,655,000
|
||||||||
MUNICIPAL COLLATERALIZED DEBT OBLIGATION - 0.0%† of Net Assets
|
|||||||||
3,300,000(a)
|
Non-Profit Preferred Funding Trust I, Series E, 0.0%, 9/15/37 (144A)
|
$ 57,750
|
|||||||
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
|
|||||||||
(Cost $3,294,259)
|
$ 57,750
|
||||||||
Shares
|
Value
|
||||||||
COMMON STOCKS - 0.4% of Net Assets
|
|||||||||
CAPITAL GOODS - 0.0%†
|
|||||||||
Construction & Engineering - 0.0%†
|
|||||||||
115,286(e)
|
Abengoa SA, Class A
|
$ 4,609
|
|||||||
1,192,098(e)
|
Abengoa SA, Class B
|
16,339
|
|||||||
$ 20,948
|
|||||||||
Industrial Machinery - 0.0%†
|
|||||||||
33,171(c)(e)
|
Liberty Tire Recycling LLC
|
$ 332
|
|||||||
Total Capital Goods
|
$ 21,280
|
||||||||
ENERGY - 0.1%
|
|||||||||
Coal & Consumable Fuels - 0.0%†
|
|||||||||
2,781(e)
|
Alpha Natural Resources Holdings, Inc.
|
$ 6,118
|
|||||||
198(e)
|
Contura Energy, Inc.
|
12,969
|
|||||||
$ 19,087
|
|||||||||
Oil & Gas Exploration & Production - 0.1%
|
|||||||||
910(e)
|
Midstates Petroleum Co., Inc.
|
$ 11,530
|
|||||||
40,561(e)
|
PetroQuest Energy, Inc.
|
80,311
|
|||||||
$ 91,841
|
|||||||||
Total Energy
|
$110,928
|
||||||||
HEALTH CARE EQUIPMENT & SERVICES - 0.0%†
|
|||||||||
Health Care Services - 0.0%†
|
|||||||||
2,781(e)
|
ANR, Inc.
|
$ 23,638
|
|||||||
Health Care Technology - 0.0%†
|
|||||||||
244,563(c)(e)
|
Medical Card System, Inc.
|
$ 2,446
|
|||||||
Total Health Care Equipment & Services
|
$ 26,084
|
||||||||
RETAILING - 0.0%†
|
|||||||||
Computer & Electronics Retail - 0.0%†
|
|||||||||
68,241(c)(e)
|
Targus Cayman SubCo., Ltd.
|
$ 66,194
|
|||||||
Total Retailing
|
$ 66,194
|
||||||||
TRANSPORTATION - 0.3%
|
|||||||||
Air Freight & Logistics - 0.3%
|
|||||||||
3,266(e)
|
CEVA Holdings LLC
|
$883,449
|
|||||||
Total Transportation
|
$883,449
|
||||||||
TOTAL COMMON STOCKS
|
|||||||||
(Cost $4,462,108)
|
$1,107,935
|
||||||||
CONVERTIBLE PREFERRED STOCKS - 1.5% of Net Assets
|
|||||||||
BANKS - 1.3%
|
|||||||||
Diversified Banks - 1.3%
|
|||||||||
3,355(h)
|
Bank of America Corp., 7.25%
|
$4,233,976
|
|||||||
Total Banks
|
$4,233,976
|
||||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
|
|||||||||
Pharmaceuticals - 0.2%
|
|||||||||
1,000
|
Teva Pharmaceutical Industries, Ltd., 7.0%, 12/15/18
|
$594,500
|
|||||||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$594,500
|
||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS
|
|||||||||
(Cost $4,135,786)
|
$4,828,476
|
||||||||
PREFERRED STOCKS - 2.4% of Net Assets
|
|||||||||
BANKS - 2.1%
|
|||||||||
Diversified Banks - 2.1%
|
|||||||||
3,000(a)(h)
|
AgStar Financial Services ACA, 6.75% (144A)
|
$3,207,938
|
|||||||
132,750(a)(g)
|
GMAC Capital Trust I, 6.967%, 2/15/40
|
3,478,050
|
|||||||
Total Banks
|
$6,685,988
|
||||||||
ENERGY - 0.0%†
|
|||||||||
Coal & Consumable Fuels - 0.0%†
|
|||||||||
5,233
|
Alpha Natural Resources Holdings, Inc.
|
$ 27,036
|
|||||||
Total Energy
|
$ 27,036
|
||||||||
HEALTH CARE EQUIPMENT & SERVICES - 0.1%
|
|||||||||
Health Care Services - 0.1%
|
|||||||||
5,233
|
ANR, Inc.
|
$103,352
|
|||||||
Total Health Care Equipment & Services
|
$103,352
|
||||||||
MATERIALS - 0.2%
|
|||||||||
Diversified Chemicals - 0.2%
|
|||||||||
1,062,203
|
Pinnacle Agriculture
|
$690,432
|
|||||||
Total Materials
|
$690,432
|
||||||||
TOTAL PREFERRED STOCKS
|
|||||||||
(Cost $7,218,644)
|
$7,506,808
|
||||||||
WARRANTS - 0.0%† of Net Assets
|
|||||||||
ENERGY - 0.0%†
|
|||||||||
Coal & Consumable Fuels - 0.0%†
|
|||||||||
322(e)(o)
|
Contura Energy, Inc.
|
$ 6,440
|
|||||||
Oil & Gas Exploration & Production - 0.0%†
|
|||||||||
6,448(e)(p)
|
Midstates Petroleum Co., Inc.
|
$ –
|
|||||||
Total Energy
|
$ 6,440
|
||||||||
TOTAL WARRANTS
|
|||||||||
(Cost $908)
|
$ 6,440
|
||||||||
Principal
Amount
USD ($)
|
Value
|
||||||||
TEMPORARY CASH INVESTMENTS - 6.1% of Net Assets
|
|||||||||
REPURCHASE AGREEMENT - 0.6%
|
|||||||||
1,990,000
|
$1,990,000 ScotiaBank, 1.12%, dated 6/30/17,
plus accrued interest on 7/3/17 collateralized
by the following:
$2,029,990 Federal National Mortgage Association, 3.5%, 6/1/46.
|
$1,990,000
|
|||||||
TREASURY BILLS - 5.5%
|
|||||||||
4,015,000(l)
|
U.S. Treasury Bill, 7/6/17
|
$4,014,747
|
|||||||
5,520,000(l)
|
U.S. Treasury Bill, 7/13/17
|
5,518,813
|
|||||||
5,505,000(l)
|
U.S. Treasury Bill, 7/20/17
|
5,502,969
|
|||||||
2,220,000(l)
|
U.S. Treasury Bill, 9/28/17
|
2,214,581
|
|||||||
$17,251,110
|
|||||||||
TOTAL TEMPORARY CASH INVESTMENTS
|
|||||||||
(Cost $19,240,179)
|
$19,241,110
|
||||||||
TOTAL INVESTMENTS IN SECURITIES - 138.0%
|
|||||||||
(Cost - $420,924,809) (q)(r)
|
$434,110,281
|
||||||||
OTHER ASSETS AND LIABILITIES - (38.0)%
|
$(119,436,256)
|
||||||||
NET ASSETS - 100.0%
|
$314,674,025
|
||||||||
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 June 30, 2017, the value of these securities amounted to $198,457,740, or 63.1% of net assets.
|
||||||||
(Cat Bond)
|
Catastrophe or event-linked bond. At June 30, 2017, the value of these securities amounted to $2,763,500, or 0.9% of net assets.
|
||||||||
†
|
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 rate 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 June 30, 2017.
|
||||||||
(a)
|
The interest rate is subject to change periodically. The interest rate shown is the rate at June 30, 2017.
|
||||||||
(b)
|
Floating rate note. The rate shown is the coupon rate at June 30, 2017.
|
||||||||
(c)
|
Security is valued using fair value methods (other than prices supplied by independent pricing services).
|
||||||||
(d)
|
Security is in default.
|
||||||||
(e)
|
Non-income producing.
|
||||||||
(f)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
||||||||
(g)
|
Denotes security pledged and segregated as collateral for the credit agreement.
|
||||||||
(h)
|
Security is perpetual in nature and has no stated maturity date.
|
||||||||
(i)
|
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at June 30, 2017.
|
||||||||
(j)
|
Structured reinsurance investment. At June 30, 2017, the value of these securities amounted to $8,189,797, or 2.6% of net assets.
|
||||||||
(k)
|
Rate to be determined.
|
||||||||
(l)
|
Security issued with a zero coupon. Income is recognized through accretion of discount.
|
||||||||
(m)
|
Security is priced as a unit.
|
||||||||
(n)
|
Consists of Revenue Bonds unless otherwise indicated.
|
||||||||
(o)
|
Contura Energy warrants are exercisable into 322 shares.
|
||||||||
(p)
|
Midstates Petroleum warrants are exercisable into 6,448 shares.
|
||||||||
(q)
|
At June 30, 2017, the net unrealized appreciation on investments based on cost for federal tax purposes of $422,413,808 was as follows:
|
||||||||
Aggregate gross unrealized appreciation for all investments in which there
|
|||||||||
is an excess of value over tax cost
|
$32,055,465
|
||||||||
Aggregate gross unrealized depreciation for all investments in which there
|
|||||||||
is an excess of tax cost over value
|
(20,358,992)
|
||||||||
Net unrealized appreciation
|
$11,696,473
|
||||||||
(r)
|
Distributions of investments by country of issue, as a percentage of long-term holdings based on country of domicile, is as follows:
|
||||||||
United States
|
80.2%
|
||||||||
Luxembourg
|
4.2
|
||||||||
Netherlands
|
3.4
|
||||||||
Bermuda
|
2.7
|
||||||||
Canada
|
2.4
|
||||||||
Ireland
United Kingdom
|
1.2
1.0
|
||||||||
Other (individually less than 1%)
|
4.9
|
||||||||
100.0%
|
|||||||||
(r)
|
Distributions of investments by country of issue, as a percentage of long-term holdings based on country of domicile, is as follows:
|
||
United States
|
80.2%
|
||
Luxembourg
|
4.2
|
||
Netherlands
|
3.4
|
||
Bermuda
|
2.7
|
||
Canada
|
2.4
|
||
Ireland
United Kingdom
|
1.2
1.0
|
||
Other (individually less than 1%)
|
4.9
|
||
100.0%
|
|||
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
AUD
|
-
|
Australian Dollar
|
EUR
|
-
|
Euro
|
IDR
|
-
|
Indonesian Rupiah
|
CREDIT DEFAULT SWAP AGREEMENT - SELL PROTECTION
|
||||||||
Notional
Principal ($)(1)
|
Counterparty
|
Obligation
Entity/
Index
|
Coupon
|
Credit Rating(2)
|
Expiration
Date
|
Premiums
(Received)
|
Unrealized
Appreciation
|
|
2,000,000
|
JPMorgan
Chase
Bank NA
|
Goodyear
Tire &
Rubber Co.
|
5.00%
|
BB
|
12/20/17
|
$(65,000)
|
$114,453
|
|
(1)
|
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event.
|
|||||||
(2)
|
Based on Standard & Poor's rating of the issuer or weighted average of all the underlying securities of the index.
|
CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENT
|
||||||||||
Notional
Principal ($)
|
Exchange
|
Pay/
Receive
|
Floating
Rate
|
Annual
Fixed
Rate
|
Expiration
Date
|
Premiums
Paid
|
Unrealized
Appreciation
|
|||
22,500,000
|
Chicago
Mercantile
Exchange
|
Receive
|
LIBOR USD
3 Month
|
1.593%
|
11/9/20
|
$101
|
$119,788
|
|||
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 June 30, 2017, in valuing the Trust's investments.
|
||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||
Asset Backed Securities
|
$–
|
$344,812
|
$–
|
$344,812
|
||||||
Collateralized Mortgage
Obligations
|
–
|
677,790
|
–
|
677,790
|
||||||
Commercial Mortgage-Backed Securities
|
–
|
3,147,301
|
–
|
3,147,301
|
||||||
Senior Secured Floating
Rate Loan Interests
|
||||||||||
Capital Goods
|
||||||||||
Aerospace & Defense
|
–
|
882,938
|
2,139,250
|
3,022,188
|
||||||
Health Care Equipment & Services
|
||||||||||
Health Care Technology
|
–
|
–
|
853,713
|
853,713
|
||||||
All Other Senior Secured
Floating Rate Loan Interests
|
–
|
16,443,252
|
–
|
16,443,252
|
||||||
Corporate Bonds & Notes
|
||||||||||
Diversified Financials
|
||||||||||
Other Diversified Financial Services
|
–
|
–
|
3,179,763
|
3,179,763
|
||||||
Insurance
|
||||||||||
Reinsurance
|
–
|
2,257,000
|
8,696,297
|
10,953,297
|
||||||
All Other Corporate Bonds & Notes
|
–
|
347,257,057
|
–
|
347,257,057
|
||||||
Convertible Bonds & Notes
|
–
|
8,495,528
|
–
|
8,495,528
|
||||||
Sovereign Debt Obligations
|
–
|
3,829,511
|
–
|
3,829,511
|
||||||
U.S. Government and Agency Obligation
|
–
|
1,502,550
|
–
|
1,502,550
|
||||||
Tax Exempt Obligations
|
–
|
1,655,000
|
–
|
1,655,000
|
||||||
Municipal Collateralized Debt Obligation
|
–
|
57,750
|
–
|
57,750
|
||||||
Common Stocks
|
||||||||||
Capital Goods
|
||||||||||
Industrial Machinery
|
–
|
–
|
332
|
332
|
||||||
Health Care Equipment & Services
|
||||||||||
Health Care Technology
|
–
|
–
|
2,446
|
2,446
|
||||||
Retailing
|
||||||||||
Computer & Electronics Retail
|
–
|
–
|
66,194
|
66,194
|
||||||
Transportation
|
||||||||||
Air Freight & Logistics
|
–
|
883,449
|
–
|
883,449
|
||||||
All Other Common Stocks
|
155,514
|
–
|
–
|
155,514
|
||||||
Convertible Preferred Stocks
|
4,828,476
|
–
|
–
|
4,828,476
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Preferred Stocks
|
||||
Banks
|
||||
Diversified Banks
|
$3,478,050
|
$3,207,938
|
$–
|
$6,685,988
|
Energy
|
||||
Coal & Consumable Fuels
|
–
|
27,036
|
–
|
27,036
|
Health Care Equipment & Services
|
||||
Health Care Services
|
–
|
103,352
|
–
|
103,352
|
Materials
|
||||
Diversified Chemicals
|
–
|
690,432
|
–
|
690,432
|
Warrants
|
||||
Energy
|
||||
Coal & Consumable
Fuels
|
–
|
6,440
|
–
|
6,440
|
Oil & Gas Exploration & Production
|
–
|
–*
|
–
|
–*
|
Repurchase Agreement
|
–
|
1,990,000
|
–
|
1,990,000
|
Treasury Bills
|
–
|
17,251,110
|
–
|
17,251,110
|
Total Investments in
Securities
|
$8,462,040
|
$410,710,246
|
$14,937,995
|
$434,110,281
|
Other Financial Instruments
|
||||
Unrealized appreciation
on centrally cleared
interest rate swap
agreement
|
$–
|
$119,788
|
$–
|
$119,788
|
Unrealized appreciation
on credit default
swap agreement
|
–
|
114,453
|
–
|
114,453
|
Total Other
Financial Instruments
|
$–
|
$234,241
|
$–
|
$234,241
|
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
|
|||||||||||
Balance
as of
3/31/17
|
Realized
gain
(loss)
|
Change in
unrealized
appreciation
(depreciation)
|
Purchases
|
Sales
|
Accrued
discounts/
premiums
|
Transfers
in to
Level 3*
|
Transfers
out of
Level 3*
|
Transfers
in and out
of Level 3
categories
|
Balance
as of
6/30/17
|
||
Commercial
Mortgage-Backed Securities
|
|||||||||||
Banks
|
|||||||||||
Thrifts & Mortgage Finance
|
$113,123
|
$–
|
$–
|
$–
|
$–
|
$–
|
$–
|
$(113,123)
|
$–
|
$–
|
|
Senior Secured
Floating Rate
Loan Interests
|
|||||||||||
Capital Goods
|
|||||||||||
Aerospace & Defense
|
2,144,625
|
49
|
(1,124)
|
–
|
(5,375)
|
1,075
|
–
|
–
|
–
|
2,139,250
|
|
Health Care
Equipment & Services
|
|||||||||||
Health Care Technology
|
853,713
|
–
|
(12,704)
|
–
|
–
|
12,704
|
–
|
–
|
–
|
853,713
|
|
Corporate Bonds
& Notes
|
|||||||||||
Diversified Financials
|
|||||||||||
Other Diversified Financial Services
|
–
|
–
|
312,457
|
–
|
–
|
3,031
|
–
|
–
|
2,864,275
|
3,179,763
|
|
Insurance
|
|||||||||||
Property
& Casualty Insurance
|
2,864,275
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
(2,864,275)
|
–
|
|
Reinsurance
|
10,836,716
|
1,211
|
(156,821)
|
1,261,110
|
(3,214,739)
|
(31,180)
|
–
|
–
|
–
|
8,696,297
|
|
Common Stocks
|
|||||||||||
Capital Goods
|
|||||||||||
Industrial
Machinery
|
332
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
332
|
|
Health Care Equipment & Services
|
|||||||||||
Health Care Technology
|
2,446
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
2,446
|
|
Retailing
|
|||||||||||
Computer & Electronics Retail
|
66,194
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
66,194
|
|
Total
|
$16,881,424
|
$1,260
|
$141,808
|
$1,261,110
|
$(3,220,114)
|
$(14,370)
|
$–
|
$ (113,123)
|
$ –
|
$14,937,995
|
|
* Transfers are calculated on the beginning of period value. For the three months ended June 30, 2017, there were no transfers between Levels 1 and 2. Securities with an aggregate market value $113,123 transferred from Level 3 to Level 2 as there were observable inputs available to determine their value.
|
|||||||||||
Net change in unrealized appreciation of Level 3 investments still held and considered Level 3 at June 30, 2017: $199,832.
|