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: July 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.
Pioneer Diversified High
|
||
Income Trust
|
||
NQ | July 31, 2016
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Ticker Symbol: HNW
|
Principal
Amount
USD ($)
|
Value
|
|||
ASSET BACKED SECURITIES - 1.2% of Net Assets
|
||||
250,000
|
American Credit Acceptance Receivables Trust, Series 2014-2, Class D, 4.96%, 5/10/21 (144A)
|
$ 253,648
|
||
200,000
|
Ascentium Equipment Receivables LLC, Series 2015-1A,
Class E, 5.92%, 6/12/23 (144A)
|
198,312
|
||
299,996
|
Axis Equipment Finance Receivables III LLC, Series 2015-1A,
Class E, 5.27%, 5/20/20 (144A)
|
287,594
|
||
80,239
|
Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 3/15/17
|
82,598
|
||
400,000(a)
|
NCF Dealer Floorplan Master Trust, Series 2016-1A, Class C, 8.987%, 3/21/22 (144A)
|
395,095
|
||
500,000
|
VB-S1 Issuer LLC, Series 2016-1A, Class F, 6.901%, 6/15/46 (144A)
|
507,637
|
||
TOTAL ASSET BACKED SECURITIES
|
||||
(Cost $1,711,766)
|
$ 1,724,884
|
|||
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.6% of Net Assets
|
||||
59,026
|
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A)
|
$ 46,545
|
||
117,802
|
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32 (144A)
|
78,038
|
||
290,000(b)
|
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
|
276,107
|
||
347,818(c)
|
GMAT Trust, Series 2015-1A, Class A1, 4.25%, 9/25/20 (144A)
|
346,864
|
||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
||||
(Cost $789,039)
|
$ 747,554
|
|||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.8% of Net Assets
|
||||
375,000(a)
|
BAMLL Commercial Mortgage Securities Trust, Series 2014-INLD, Class F, 2.971%, 12/15/29 (144A)
|
$ 336,813
|
||
139,379(b)
|
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41
|
139,186
|
||
260,000(a)
|
CFCRE Mortgage Trust, Series 2015-RUM, Class E, 5.042%, 7/15/30 (144A)
|
252,486
|
||
500,000(b)
|
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class E, 3.208%, 7/10/47 (144A)
|
310,427
|
||
500,000(b)
|
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3,
Class C, 5.765%, 5/15/46
|
405,453
|
||
300,000(b)
|
COMM Mortgage Trust, Series 2007-C9, Class H, 5.813%, 12/10/49 (144A)
|
285,215
|
||
250,000(b)
|
COMM Mortgage Trust, Series 2012-CR2, Class E, 4.855%, 8/15/45 (144A)
|
243,693
|
||
115,766(a)
|
EQTY Mezzanine Trust, Series 2014-INMZ, Class M, 5.223%, 5/8/31 (144A)
|
107,997
|
||
170,000(a)
|
EQTY Mortgage Trust, Series 2014-INNS, Class E, 3.923%, 5/8/31 (144A)
|
163,396
|
||
124,211
|
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
|
122,969
|
||
150,000
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45
|
144,968
|
||
550,000(a)
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-INN, Class E, 4.081%, 6/15/29 (144A)
|
532,062
|
||
479,101(b)
|
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41
|
474,343
|
||
500,000(b)
|
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49
|
497,732
|
||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
||||
(Cost $4,105,593)
|
$ 4,016,740
|
|||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 30.6% of Net Assets* (a)
|
||||
AUTOMOBILES & COMPONENTS - 2.1%
|
||||
Auto Parts & Equipment - 1.3%
|
||||
346,920
|
Electrical Components International, Inc., Term Loan, 5.75%, 5/28/21
|
$ 347,137
|
||
184,116
|
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21
|
174,081
|
||
152,568
|
Key Safety Systems, Inc., Initial Term Loan, 5.5%, 8/29/21
|
153,490
|
||
251,401
|
MPG Holdco I, Inc., Initial Term Loan, 3.75%, 10/20/21
|
251,676
|
||
178,198
|
TI Group Automotive Systems LLC, Initial US Term Loan, 4.5%, 6/30/22
|
178,978
|
||
786,235
|
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.0%, 4/23/20
|
783,779
|
||
$ 1,889,141
|
||||
Automobile Manufacturers - 0.6%
|
||||
839,209
|
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17
|
$ 841,681
|
Principal
Amount
USD ($)
|
Value
|
|||
Tires & Rubber - 0.2%
|
||||
287,500
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.75%, 4/30/19
|
$ 288,517
|
||
Total Automobiles & Components
|
$ 3,019,339
|
|||
CAPITAL GOODS - 4.5%
|
||||
Aerospace & Defense - 0.9%
|
||||
300,000
|
DAE Aviation Holdings, Inc., Initial Term Loan, 5.25%, 7/7/22
|
$ 301,125
|
||
525,000
|
DynCorp International, Inc., Term Loan B2, 7.75%, 7/7/20
|
524,398
|
||
118,088
|
TASC, Inc., First Lien Term Loan, 7.0%, 5/22/20
|
118,457
|
||
228,422
|
Vencore, Inc. (fka SI Organization, Inc.), Initial First Lien Term Loan, 5.75%, 11/23/19
|
228,279
|
||
157,600
|
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21
|
142,628
|
||
$ 1,314,887
|
||||
Building Products - 0.9%
|
||||
908,904
|
Builders FirstSource, Inc., Term Loan B, 6.0%, 7/29/22
|
$ 913,562
|
||
391,885
|
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
|
384,415
|
||
$ 1,297,977
|
||||
Construction Machinery & Heavy Trucks - 0.3%
|
||||
388,050
|
Navistar, Inc., Tranche B Term Loan, 6.5%, 8/7/20
|
$ 367,677
|
||
Electrical Components & Equipment - 0.7%
|
||||
418,585
|
WireCo WorldGroup, Inc., Term Loan B, 0.0%, 7/21/23
|
$ 420,547
|
||
504,460
|
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
|
503,409
|
||
$ 923,956
|
||||
Industrial Conglomerates - 0.9%
|
||||
441,558
|
Doosan Infracore International, Inc. (Doosan Holdings Europe, Ltd.), Tranche B Term Loan, 4.5%, 5/28/21
|
$ 442,662
|
||
98,258
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Dollar Term B-3 Loan, 4.25%, 8/30/20
|
98,474
|
||
321,970
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.25%, 8/30/20
|
322,675
|
||
34,939
|
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.25%, 8/30/20
|
35,016
|
||
399,694
|
Filtration Group Corp., Initial Second Lien Term Loan, 8.25%, 11/22/21
|
395,364
|
||
10,578
|
Kleopatra Holdings 2 SCA, Initial German Borrower Dollar Term Loan, 5.0%, 4/28/20
|
10,653
|
||
24,754
|
Kleopatra Holdings 2 SCA, Initial US Borrower Dollar Term Loan, 5.0%, 4/28/20
|
24,929
|
||
$ 1,329,773
|
||||
Industrial Machinery - 0.4%
|
||||
496,250
|
NN, Inc., Initial Term Loan, 5.75%, 10/19/22
|
$ 496,663
|
||
Trading Companies & Distributors - 0.4%
|
||||
286,828
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18
|
$ 287,366
|
||
260,164
|
WESCO Distribution, Inc., Tranche B-1 Loan, 5.5%, 12/12/19
|
260,896
|
||
$ 548,262
|
||||
Total Capital Goods
|
$ 6,279,195
|
|||
COMMERCIAL & PROFESSIONAL SERVICES - 0.4%
|
||||
Environmental & Facilities Services - 0.3%
|
||||
500,000
|
Granite Acquisition, Inc., Second Lien Term B Loan, 8.25%, 12/19/22
|
$ 472,500
|
||
Security & Alarm Services - 0.1%
|
||||
126,931
|
Protection One, Inc., 2012 Term Loan, 4.75%, 7/1/21
|
$ 128,280
|
||
Total Commercial & Professional Services
|
$ 600,780
|
|||
CONSUMER DURABLES & APPAREL - 0.1%
|
||||
Leisure Products - 0.1%
|
||||
164,514
|
Bombardier Recreational Products, Inc., Term B Loan, 3.75%, 6/30/23
|
$ 164,240
|
||
Total Consumer Durables & Apparel
|
$ 164,240
|
|||
CONSUMER SERVICES - 2.2%
|
||||
Casinos & Gaming - 0.2%
|
||||
295,500
|
Scientific Games International, Inc., Initial Term B-2 Loan, 6.0%, 10/1/21
|
$ 295,338
|
||
Education Services - 0.6%
|
||||
316,426
|
Cengage Learning Acquisitions, Inc., Term Loan, 5.25%, 6/7/23
|
$ 316,228
|
||
600,000
|
Laureate Education, Inc., Series 2018 Extended Term Loan, 5.0%, 6/15/18
|
587,250
|
||
$ 903,478
|
||||
Leisure Facilities - 0.1%
|
||||
128,010
|
Fitness International LLC, Term B Loan, 5.5%, 7/1/20
|
$ 127,903
|
Principal
Amount
USD ($)
|
Value
|
|||
Restaurants - 0.7%
|
||||
377,367
|
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18
|
$ 378,487
|
||
529,800
|
NPC International, Inc., Term Loan, 4.75%, 12/28/18
|
531,125
|
||
$ 909,612
|
||||
Specialized Consumer Services - 0.6%
|
||||
744,375
|
KC MergerSub, Inc., First Lien Initial Term Loan, 6.0%, 8/12/22
|
$ 741,584
|
||
120,230
|
Monitronics International, Inc., 2013 Term Loan B, 4.25%, 3/23/18
|
119,503
|
||
$ 861,087
|
||||
Total Consumer Services
|
$ 3,097,418
|
|||
DIVERSIFIED FINANCIALS - 0.3%
|
||||
Consumer Finance - 0.1%
|
||||
213,531
|
Trans Union LLC, Term B-2 Loan, 3.5%, 4/9/21
|
$ 213,397
|
||
Specialized Finance - 0.2%
|
||||
246,875
|
DBRS, Ltd., Initial Term Loan, 6.25%, 3/4/22
|
$ 243,892
|
||
Total Diversified Financials
|
$ 457,289
|
|||
ENERGY - 1.0%
|
||||
Coal & Consumable Fuels - 0.1%
|
||||
352,500
|
PT Bumi Resources Tbk, Term Loan, 18.0%, 11/4/16
|
$ 80,194
|
||
Integrated Oil & Gas - 0.3%
|
||||
467,555
|
TerraForm AP Acquisition Holdings LLC, Term Loan, 7.0%, 6/27/22
|
$ 460,541
|
||
Oil & Gas Drilling - 0.5%
|
||||
744,680
|
Jonah Energy LLC, Initial Second Lien Term Loan, 7.5%, 5/12/21
|
$ 661,834
|
||
Oil & Gas Equipment & Services - 0.1%
|
||||
540,069
|
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20
|
$ 221,428
|
||
Total Energy
|
$ 1,423,997
|
|||
FOOD, BEVERAGE & TOBACCO - 0.3%
|
||||
Packaged Foods & Meats - 0.3%
|
||||
473,823
|
Dole Food Co., Inc., Tranche B Term Loan, 4.5%, 11/1/18
|
$ 474,613
|
||
Total Food, Beverage & Tobacco
|
$ 474,613
|
|||
HEALTH CARE EQUIPMENT & SERVICES - 3.8%
|
||||
Health Care Equipment - 0.5%
|
||||
500,000
|
Concentra, Inc., Initial Second Lien Term Loan, 9.0%, 6/1/23
|
$ 490,150
|
||
234,138
|
Kinetic Concepts, Inc., Dollar F Term Loan, 5.0%, 11/4/20
|
234,870
|
||
$ 725,020
|
||||
Health Care Facilities - 1.8%
|
||||
233,397
|
CHS/Community Health Systems, Inc., Incremental 2018 Term F Loan, 3.924%, 12/31/18
|
$ 231,663
|
||
246,294
|
CHS/Community Health Systems, Inc., Incremental 2019 Term G Loan, 3.75%, 12/31/19
|
242,753
|
||
453,171
|
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan, 4.0%, 1/27/21
|
448,176
|
||
193,046
|
HCA, Inc., Tranche B-6 Term Loan, 3.746%, 3/17/23
|
194,826
|
||
315,322
|
Kindred Healthcare, Inc., Incremental Term Loan, 4.25%, 4/9/21
|
314,271
|
||
500,000
|
Prospect Medical Holdings, Inc., Term Loan, 7.0%, 6/30/22
|
497,188
|
||
296,183
|
Steward Health Care System LLC, Term Loan, 6.75%, 4/10/20
|
293,221
|
||
399,293
|
Surgical Care Affiliates, Inc., Initial Term Loan, 4.25%, 3/17/22
|
402,039
|
||
$ 2,624,137
|
||||
Health Care Services - 1.0%
|
||||
338,254
|
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20
|
$ 323,878
|
||
202,952
|
Bioscrip, Inc., Term Loan, 6.5%, 7/31/20
|
194,326
|
||
347,375
|
HC Group Holdings III, Inc., Initial First Lien Term Loan, 6.0%, 4/7/22
|
348,026
|
||
200,388
|
National Mentor Holdings, Inc., Tranche B Term Loan, 4.25%, 1/31/21
|
201,202
|
||
100,000
|
NVA Holdings, Inc., First Lien Term Loan, 4.75%, 8/14/21
|
100,125
|
||
262,348
|
Valitas Health Services, Inc., Term Loan B, 8.0%, 6/2/17
|
173,150
|
||
$ 1,340,707
|
||||
Health Care Supplies - 0.2%
|
||||
230,651
|
Alere, Inc., Term Loan B, 4.5%, 6/20/22
|
$ 228,221
|
||
Health Care Technology - 0.3%
|
||||
235,238
|
IMS Health, Inc., Tranche B-1 Dollar Term Loan, 3.5%, 3/17/21
|
$ 235,716
|
||
375,258(d)
|
Medical Card System, Inc., Term Loan, 1.5%, 5/31/19
|
243,918
|
||
$ 479,634
|
||||
Total Health Care Equipment & Services
|
$ 5,397,719
|
|||
HOUSEHOLD & PERSONAL PRODUCTS - 0.4%
|
||||
Household Products - 0.1%
|
||||
105,299
|
SRAM LLC, First Lien Term Loan, 4.016%, 4/10/20
|
$ 94,769
|
||
Personal Products - 0.3%
|
||||
100,000
|
Atrium Innovations, Inc., Second Lien Term Loan, 7.75%, 8/13/21
|
$ 93,000
|
Principal
Amount
USD ($)
|
Value
|
|||
Personal Products - (continued)
|
||||
127,867
|
NBTY, Inc., Dollar Term Loan B, 5.0%, 5/5/23
|
$ 127,208
|
||
250,000
|
Revlon Consumer Products Corp., Term Loan B, 0.0%, 7/21/23
|
250,031
|
||
$ 470,239
|
||||
Total Household & Personal Products
|
$ 565,008
|
|||
INSURANCE - 2.0%
|
||||
Life & Health Insurance - 0.3%
|
||||
472,179
|
Integro, Ltd., Initial Term Loan, 6.75%, 10/31/22
|
$ 465,097
|
||
25,463
|
Integro, Ltd., Term Loan, 6.75%, 10/31/22
|
25,081
|
||
$ 490,178
|
||||
Multi-Line Insurance - 0.1%
|
||||
166,488
|
Alliant Holdings I LLC, Term Loan B, 4.5%, 8/12/22
|
$ 165,760
|
||
Property & Casualty Insurance - 1.6%
|
||||
740,384
|
Confie Seguros Holding II Co., First Lien Term Loan B, 5.75%, 11/9/18
|
$ 735,447
|
||
593,765
|
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
|
570,015
|
||
931,574
|
USI, Inc., Initial Term Loan, 4.25%, 12/27/19
|
930,409
|
||
$ 2,235,871
|
||||
Total Insurance
|
$ 2,891,809
|
|||
MATERIALS - 3.2%
|
||||
Diversified Chemicals - 0.2%
|
||||
272,938
|
Univar USA, Inc., Initial Dollar Term Loan, 4.25%, 7/1/22
|
$ 272,972
|
||
Diversified Metals & Mining - 0.4%
|
||||
500,000
|
Global Brass and Copper, Inc., Initial Term Loan, 5.25%, 7/18/23
|
$ 503,125
|
||
75,256(e)(f)
|
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.15%, 11/25/14
|
17,121
|
||
$ 520,246
|
||||
Metal & Glass Containers - 0.9%
|
||||
533,684
|
Tank Holding Corp., Initial Term Loan, 5.25%, 3/16/22
|
$ 506,109
|
||
742,500
|
Tekni-Plex, Inc., USD Term Loan, 4.5%, 6/1/22
|
741,417
|
||
$ 1,247,526
|
||||
Paper Packaging - 0.3%
|
||||
486,979
|
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19
|
$ 488,501
|
||
Paper Products - 0.7%
|
||||
287,111
|
Appvion, Inc., Term Commitment, 6.25%, 6/28/19
|
$ 284,240
|
||
228,733
|
Exopack Holdings SA, USD Term Loan, 4.5%, 5/8/19
|
228,447
|
||
471,362
|
Xerium Technologies, Inc., New Term Loan, 6.25%, 5/17/19
|
471,362
|
||
$ 984,049
|
||||
Specialty Chemicals - 0.3%
|
||||
496,250
|
Macdermid, Inc. (Platform Specialty Products Corp.),
Term Loan B3, 5.5%, 6/7/20
|
$ 496,508
|
||
Steel - 0.4%
|
||||
500,000
|
Zekelman Industries, Inc. (fka JMC Steel Group, Inc.),
Term Loan, 6.0%, 6/14/21
|
$ 503,125
|
||
Total Materials
|
$ 4,512,927
|
|||
MEDIA - 2.5%
|
||||
Advertising - 0.6%
|
||||
938,453
|
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18
|
$ 894,659
|
||
Broadcasting - 0.9%
|
||||
264,167
|
Hubbard Radio LLC, Term Loan, 4.25%, 5/27/22
|
$ 257,893
|
||
299,250
|
Learfield Communications, Inc., First Lien 2014 Replacement Term Loan, 4.25%, 10/9/20
|
299,718
|
||
294,750
|
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 6.75%, 8/13/21
|
247,037
|
||
456,168
|
Univision Communications, Inc., Replacement First Lien Term Loan, 4.0%, 3/1/20
|
456,596
|
||
$ 1,261,244
|
||||
Movies & Entertainment - 0.0%†
|
||||
20,992
|
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18
|
$ 20,939
|
||
Publishing - 1.0%
|
||||
321,750
|
Houghton Mifflin Holdings, Inc., Term Loan, 4.0%, 5/28/21
|
$ 319,940
|
||
81,573
|
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
|
80,602
|
||
925,000
|
McGraw-Hill Global Education Holdings LLC, First Lien Term B Loan, 5.0%, 5/4/22
|
931,013
|
||
$ 1,331,555
|
||||
Total Media
|
$ 3,508,397
|
|||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.7%
|
||||
Biotechnology - 0.3%
|
||||
502,561
|
Lantheus Medical Imaging, Inc., Term Loan, 7.0%, 6/30/22
|
$ 457,330
|
Principal
Amount
USD ($)
|
Value
|
|||
Life Sciences Tools & Services - 1.0%
|
||||
992,500
|
Albany Molecular Research, Inc., Term Loan B, 5.75%, 7/16/21
|
$ 993,741
|
||
424,511
|
Catalent Pharma Solutions, Inc., Dollar Term Loan, 4.25%, 5/20/21
|
426,692
|
||
$ 1,420,433
|
||||
Pharmaceuticals - 0.4%
|
||||
547,250
|
Concordia Healthcare Corp., Initial Dollar Term Loan, 5.25%, 10/21/21
|
$ 537,195
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 2,414,958
|
|||
REAL ESTATE - 0.9%
|
||||
Retail REITs - 0.5%
|
||||
274,603
|
DTZ U.S. Borrower LLC, First Lien Initial Term Loan, 4.25%, 11/4/21
|
$ 273,470
|
||
500,000
|
DTZ U.S. Borrower LLC, Second Lien Initial Term Loan, 9.25%, 11/4/22
|
501,042
|
||
$ 774,512
|
||||
Specialized REIT - 0.4%
|
||||
497,487
|
Communications Sales & Leasing, Inc. (CSL Capital, LLC),
Term Loan, 5.0%, 10/24/22
|
$ 498,032
|
||
Total Real Estate
|
$ 1,272,544
|
|||
RETAILING - 0.9%
|
||||
Automotive Retail - 0.5%
|
||||
714,779
|
CWGS Group LLC, Term Loan, 5.75%, 2/20/20
|
$ 716,566
|
||
Computer & Electronics Retail - 0.1%
|
||||
44,540(d)(g)
|
Targus Group International, Inc., Tranche A-2 Term Loan,
15.0% (15.0% PIK 0.0% cash), 12/31/19
|
$ 44,540
|
||
133,619(d)(g)
|
Targus Group International, Inc., Tranche A-2/B Term Loan,
15.0% (15.0% PIK 0.0% cash), 12/31/19
|
133,619
|
||
$ 178,159
|
||||
Specialty Stores - 0.3%
|
||||
305,320
|
Dollar Tree, Inc., Term B-1 Loan, 3.5%, 7/6/22
|
$ 307,109
|
||
156,503
|
Petsmart, Inc., Tranche B-1 Loan, 4.25%, 3/11/22
|
156,966
|
||
$ 464,075
|
||||
Total Retailing
|
$ 1,358,800
|
|||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.3%
|
||||
Semiconductor Equipment - 0.3%
|
||||
411,904
|
VAT Lux II S.a.r.l., Term Loan, 4.25%, 2/11/21
|
$ 412,805
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 412,805
|
|||
SOFTWARE & SERVICES - 1.3%
|
||||
Application Software - 0.5%
|
||||
493,833
|
Epiq Systems, Inc., Term Loan, 4.5%, 8/27/20
|
$ 494,451
|
||
250,000
|
VF Holding Corp., First Lien Initial Term Loan, 0.0%, 6/30/23
|
250,870
|
||
$ 745,321
|
||||
IT Consulting & Other Services - 0.8%
|
||||
245,000
|
Evergreen Skills Lux S.a.r.l., First Lien Initial Term Loan, 5.75%, 4/28/21
|
$ 201,819
|
||
620,313
|
Sitel Worldwide Corp., First Lien Term B-1 Loan, 6.5%, 9/18/21
|
618,762
|
||
255,000
|
TaxACT, Inc. (H.D. Vest, Inc.), Initial Term Loan, 7.0%, 1/3/23
|
257,550
|
||
$ 1,078,131
|
||||
Total Software & Services
|
$ 1,823,452
|
|||
TECHNOLOGY HARDWARE & EQUIPMENT - 0.4%
|
||||
Communications Equipment - 0.1%
|
||||
64,644
|
CommScope, Inc., Tranche 4 Term Loan, 3.538%, 1/14/18
|
$ 64,725
|
||
Electronic Components - 0.3%
|
||||
454,250
|
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.),
First Lien Initial Term Loan, 5.75%, 3/31/22
|
$ 453,398
|
||
Total Technology Hardware & Equipment
|
$ 518,123
|
|||
TELECOMMUNICATION SERVICES - 0.7%
|
||||
Integrated Telecommunication Services - 0.5%
|
||||
493,750
|
GCI Holdings, Inc., Term B Loan, 4.0%, 2/2/22
|
$ 497,299
|
||
198,326
|
Securus Technologies Holdings, Inc., Term Loan B2, 5.25%, 4/30/20
|
188,750
|
||
$ 686,049
|
||||
Wireless Telecommunication Services - 0.2%
|
||||
239,076
|
Syniverse Holdings, Inc., Initial Term Loan, 4.0%, 4/23/19
|
$ 193,353
|
||
101,652
|
Syniverse Holdings, Inc., Tranche B Term Loan, 4.0%, 4/23/19
|
82,211
|
||
$ 275,564
|
||||
Total Telecommunication Services
|
$ 961,613
|
|||
TRANSPORTATION - 1.0%
|
||||
Marine - 0.7%
|
||||
614,353
|
Commercial Barge Line Co., Initial First Lien Term Loan, 9.75%, 11/12/20
|
$ 579,796
|
||
445,664
|
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18
|
403,697
|
||
$ 983,493
|
Principal
Amount
USD ($)
|
Value
|
|||
Trucking - 0.3%
|
||||
493,671
|
YRC Worldwide, Inc., Initial Term Loan, 8.0%, 2/13/19
|
$ 449,240
|
||
Total Transportation
|
$ 1,432,733
|
|||
UTILITIES - 0.6%
|
||||
Electric Utilities - 0.3%
|
||||
398,692
|
APLH Holdings Limited Partnership, Term Loan, 6.0%, 4/13/23
|
$ 399,440
|
||
Independent Power Producers & Energy Traders - 0.3%
|
||||
500,000
|
Dynegy Finance IV, Inc., Term Loan, 0.0%, 6/27/23
|
$ 500,677
|
||
Total Utilities
|
$ 900,117
|
|||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
||||
(Cost $44,438,838)
|
$ 43,487,876
|
|||
CORPORATE BONDS & NOTES - 86.3% of Net Assets
|
||||
AUTOMOBILES & COMPONENTS - 0.3%
|
||||
Auto Parts & Equipment - 0.3%
|
||||
454,000
|
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
|
$ 448,325
|
||
Total Automobiles & Components
|
$ 448,325
|
|||
BANKS - 4.8%
|
||||
Diversified Banks - 4.8%
|
||||
300,000(b)
|
Banco de Galicia y Buenos Aires, 8.25%, 7/19/26 (144A)
|
$ 316,010
|
||
525,000
|
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A)
|
535,500
|
||
400,000(b)
|
Banco Macro SA, 9.75%, 12/18/36
|
406,000
|
||
200,000(b)(h)
|
Banco Santander SA, 6.375%
|
183,164
|
||
325,000(b)(h)
|
Bank of America Corp., 6.25%
|
340,437
|
||
680,000
|
Banque Ouest Africaine de Developpement, 5.5%, 5/6/21 (144A)
|
714,000
|
||
950,000(b)(h)
|
BNP Paribas SA, 7.625% (144A)
|
987,050
|
||
1,000,000(b)(h)
|
Credit Agricole SA, 7.875% (144A)
|
990,000
|
||
350,000(b)(h)
|
ING Groep NV, 6.5%
|
334,688
|
||
200,000(b)(h)
|
Royal Bank of Scotland Group Plc, 7.5%
|
194,200
|
||
500,000(b)(h)
|
Royal Bank of Scotland Group Plc, 8.0%
|
496,875
|
||
200,000
|
Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (144A)
|
195,080
|
||
245,000
|
Trade & Development Bank of Mongolia LLC, 9.375%,
5/19/20 (144A)
|
253,644
|
||
750,000
|
UBS AG / Stamford CT, 7.625%, 8/17/22
|
871,875
|
||
Total Banks
|
$ 6,818,523
|
|||
CAPITAL GOODS - 3.1%
|
||||
Aerospace & Defense - 0.9%
|
||||
400,000
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$ 412,000
|
||
610,932(g)
|
DynCorp International, Inc., 11.875% (1.5% PIK 10.375% cash), 11/30/20
|
464,308
|
||
435,000
|
LMI Aerospace, Inc., 7.375%, 7/15/19
|
442,613
|
||
$ 1,318,921
|
||||
Agricultural & Farm Machinery - 0.3%
|
||||
475,000
|
Titan International, Inc., 6.875%, 10/1/20
|
$ 438,187
|
||
Building Products - 0.2%
|
||||
300,000
|
USG Corp., 7.875%, 3/30/20 (144A)
|
$ 313,313
|
||
Construction Machinery & Heavy Trucks - 0.2%
|
||||
360,000
|
Meritor, Inc., 6.75%, 6/15/21
|
$ 345,600
|
||
Industrial Conglomerates - 0.4%
|
||||
455,000
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
$ 490,831
|
||
Industrial Machinery - 0.8%
|
||||
560,000
|
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)
|
$ 502,600
|
||
450,000
|
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
|
463,500
|
||
229,061(d)(g)
|
Liberty Tire Recycling LLC, 11.0% (11.0% PIK 0.0% cash),
3/31/21 (144A)
|
169,505
|
||
$ 1,135,605
|
||||
Trading Companies & Distributors - 0.3%
|
||||
150,000
|
H&E Equipment Services, Inc., 7.0%, 9/1/22
|
$ 156,375
|
||
252,000
|
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19
|
265,860
|
||
$ 422,235
|
||||
Total Capital Goods
|
$ 4,464,692
|
|||
COMMERCIAL & PROFESSIONAL SERVICES - 1.1%
|
||||
Commercial Printing - 0.2%
|
||||
340,000
|
Cenveo Corp., 6.0%, 8/1/19 (144A)
|
$ 295,800
|
||
Diversified Support Services - 0.9%
|
||||
280,000
|
Broadspectrum, Ltd., 8.375%, 5/15/20 (144A)
|
$ 298,200
|
||
950,000
|
NANA Development Corp., 9.5%, 3/15/19 (144A)
|
840,750
|
||
260,000
|
TMS International Corp., 7.625%, 10/15/21 (144A)
|
187,200
|
||
$ 1,326,150
|
||||
Total Commercial & Professional Services
|
$ 1,621,950
|
|||
Principal
Amount
USD ($)
|
Value
|
|||
CONSUMER DURABLES & APPAREL - 0.7%
|
||||
Homebuilding - 0.7%
|
||||
350,000
|
Brookfield Residential Properties, Inc., 6.375%, 5/15/25 (144A)
|
$ 337,750
|
||
250,000
|
KB Home, 7.0%, 12/15/21
|
265,000
|
||
340,000
|
KB Home, 7.625%, 5/15/23
|
355,300
|
||
Total Consumer Durables & Apparel
|
$ 958,050
|
|||
CONSUMER SERVICES - 2.7%
|
||||
Casinos & Gaming - 1.0%
|
||||
832,066(e)(g)
|
Mashantucket Western Pequot Tribe, 6.5% (5.5% PIK 1.0% cash), 7/1/36
|
$ 4,160
|
||
365,000
|
MGM Resorts International, 6.0%, 3/15/23
|
394,886
|
||
100,000
|
Scientific Games International, Inc., 6.25%, 9/1/20
|
68,000
|
||
1,050,000
|
Scientific Games International, Inc., 10.0%, 12/1/22
|
933,188
|
||
$ 1,400,234
|
||||
Hotels, Resorts & Cruise Lines - 0.4%
|
||||
245,000
|
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)
|
$ 192,325
|
||
425,000
|
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)
|
375,063
|
||
$ 567,388
|
||||
Specialized Consumer Services - 1.3%
|
||||
1,153,000
|
Constellis Holdings LLC / Constellis Finance Corp., 9.75%, 5/15/20 (144A)
|
$ 1,124,175
|
||
160,000
|
Monitronics International, Inc., 9.125%, 4/1/20
|
141,100
|
||
290,000
|
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23 (144A)
|
309,575
|
||
315,000
|
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21
|
314,212
|
||
$ 1,889,062
|
||||
Total Consumer Services
|
$ 3,856,684
|
|||
DIVERSIFIED FINANCIALS - 2.0%
|
||||
Consumer Finance - 1.4%
|
||||
600,000
|
Credito Real SAB de CV SOFOM ER, 7.25%, 7/20/23 (144A)
|
$ 589,380
|
||
445,000
|
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
|
416,075
|
||
345,000
|
Navient Corp., 6.625%, 7/26/21
|
348,450
|
||
203,374
|
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)
|
204,391
|
||
440,000
|
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
|
345,400
|
||
$ 1,903,696
|
||||
Investment Banking & Brokerage - 0.1%
|
||||
240,000(b)(h)
|
Goldman Sachs Capital II, 4.0%
|
$ 195,000
|
||
Specialized Finance - 0.5%
|
||||
175,000
|
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
|
$ 150,500
|
||
580,000
|
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 6/1/22
|
487,200
|
||
$ 637,700
|
||||
Total Diversified Financials
|
$ 2,736,396
|
|||
ENERGY - 9.6%
|
||||
Integrated Oil & Gas - 0.5%
|
||||
410,000
|
Petrobras Global Finance BV, 6.25%, 3/17/24
|
$ 384,375
|
||
MXN
|
540,000
|
Petroleos Mexicanos, 7.19%, 9/12/24 (144A)
|
26,194
|
|
325,000
|
YPF SA, 8.875%, 12/19/18 (144A)
|
352,625
|
||
$ 763,194
|
||||
Oil & Gas Drilling - 0.5%
|
||||
160,000
|
Drill Rigs Holdings, Inc., 6.5%, 10/1/17 (144A)
|
$ 73,600
|
||
442,000
|
Rowan Cos., Inc., 5.4%, 12/1/42
|
298,350
|
||
62,000
|
Rowan Cos., Inc., 5.85%, 1/15/44
|
44,795
|
||
320,000
|
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)
|
258,800
|
||
$ 675,545
|
||||
Oil & Gas Equipment & Services - 0.6%
|
||||
330,000(a)
|
FTS International, Inc., 8.153%, 6/15/20 (144A)
|
$ 267,158
|
||
425,000
|
McDermott International, Inc., 8.0%, 5/1/21 (144A)
|
378,250
|
||
310,000
|
Weatherford International, Ltd., 5.95%, 4/15/42
|
213,900
|
||
$ 859,308
|
||||
Oil & Gas Exploration & Production - 3.9%
|
||||
200,000
|
California Resources Corp., 8.0%, 12/15/22 (144A)
|
$ 128,040
|
||
260,000(a)
|
Chesapeake Energy Corp., 3.93%, 4/15/19
|
213,200
|
||
100,000
|
Comstock Resources, Inc., 9.5%, 6/15/20
|
45,750
|
||
250,000
|
Extraction Oil & Gas Holdings LLC / Extraction Finance Corp., 7.875%, 7/15/21 (144A)
|
250,000
|
||
360,000
|
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A)
|
295,200
|
||
570,000
|
Gulfport Energy Corp., 7.75%, 11/1/20
|
584,250
|
||
402,000(e)
|
Halcon Resources Corp., 12.0%, 2/15/22 (144A)
|
361,800
|
||
600,000(e)
|
Midstates Petroleum Co., Inc., 9.25%, 6/1/21
|
7,500
|
||
450,000
|
Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A)
|
443,790
|
Principal
Amount
USD ($)
|
Value
|
|||
Oil & Gas Exploration & Production - (continued)
|
||||
355,000
|
Oasis Petroleum, Inc., 7.25%, 2/1/19
|
$ 332,813
|
||
470,000
|
PDC Energy, Inc., 7.75%, 10/15/22
|
485,275
|
||
506,000
|
PetroQuest Energy, Inc., 10.0%, 2/15/21 (144A)
|
346,610
|
||
240,000(e)
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
24
|
||
375,000
|
Rice Energy, Inc., 6.25%, 5/1/22
|
365,625
|
||
870,000
|
Sanchez Energy Corp., 7.75%, 6/15/21
|
665,550
|
||
150,000
|
Whiting Petroleum Corp., 5.0%, 3/15/19
|
130,875
|
||
480,000
|
Whiting Petroleum Corp., 5.75%, 3/15/21
|
402,000
|
||
300,000
|
WPX Energy, Inc., 7.5%, 8/1/20
|
295,500
|
||
150,000
|
WPX Energy, Inc., 8.25%, 8/1/23
|
147,093
|
||
$ 5,500,895
|
||||
Oil & Gas Refining & Marketing - 0.7%
|
||||
669,000
|
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21
|
$ 490,042
|
||
520,000
|
Western Refining Logistics LP / WNRL Finance Corp., 7.5%, 2/15/23
|
516,100
|
||
$ 1,006,142
|
||||
Oil & Gas Storage & Transportation - 3.4%
|
||||
220,000
|
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.125%, 11/15/22 (144A)
|
$ 206,800
|
||
200,000
|
Cheniere Corpus Christi Holdings LLC, 7.0%, 6/30/24 (144A)
|
209,000
|
||
230,000
|
DCP Midstream Operating LP, 5.6%, 4/1/44
|
209,300
|
||
450,000(a)
|
Energy Transfer Partners LP, 3.774%, 11/1/66
|
306,000
|
||
118,000
|
EnLink Midstream Partners LP, 5.05%, 4/1/45
|
98,458
|
||
344,000
|
EnLink Midstream Partners LP, 5.6%, 4/1/44
|
317,155
|
||
950,000
|
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22
|
957,125
|
||
480,000
|
Global Partners LP / GLP Finance Corp., 7.0%, 6/15/23
|
406,800
|
||
170,000
|
PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/23
|
170,000
|
||
925,000
|
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23 (144A)
|
941,187
|
||
1,175,000
|
Williams Cos., Inc., 5.75%, 6/24/44
|
1,078,062
|
||
$ 4,899,887
|
||||
Total Energy
|
$ 13,704,971
|
|||
FOOD & STAPLES RETAILING - 0.3%
|
||||
Food Retail - 0.3%
|
||||
200,000
|
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A)
|
$ 192,000
|
||
260,000
|
Tops Holding LLC / Tops Markets II Corp., 8.0%, 6/15/22 (144A)
|
226,200
|
||
Total Food & Staples Retailing
|
$ 418,200
|
|||
FOOD, BEVERAGE & TOBACCO - 9.3%
|
||||
Agricultural Products - 0.8%
|
||||
900,000
|
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)
|
$ 738,000
|
||
345,000
|
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)
|
282,900
|
||
225,000(e)
|
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)
|
92,250
|
||
$ 1,113,150
|
||||
Packaged Foods & Meats - 7.3%
|
||||
225,000
|
Agrokor DD, 8.875%, 2/1/20 (144A)
|
$ 238,725
|
||
EUR
|
200,000
|
Agrokor DD, 9.875%, 5/1/19 (144A)
|
235,730
|
|
650,000
|
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)
|
657,312
|
||
500,000(e)
|
CFG Investment SAC, 9.75%, 7/30/19 (144A)
|
268,750
|
||
1,100,000
|
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
|
1,141,580
|
||
900,000
|
JBS Investments GmbH, 7.25%, 4/3/24 (144A)
|
927,450
|
||
515,000
|
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)
|
527,875
|
||
975,000
|
Marfrig Holding Europe BV, 8.0%, 6/8/23 (144A)
|
1,001,813
|
||
800,000
|
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
|
834,000
|
||
700,000
|
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)
|
675,500
|
||
700,000
|
MHP SA, 8.25%, 4/2/20 (144A)
|
661,500
|
||
1,600,000
|
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
|
1,688,000
|
||
200,000
|
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
|
220,500
|
||
600,000
|
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)
|
469,500
|
||
640,000
|
Post Holdings, Inc., 6.75%, 12/1/21 (144A)
|
683,200
|
||
200,000
|
Post Holdings, Inc., 7.75%, 3/15/24 (144A)
|
221,250
|
||
$ 10,452,685
|
||||
Soft Drinks - 0.3%
|
||||
355,000
|
Cott Beverages, Inc., 5.375%, 7/1/22
|
$ 363,875
|
||
Tobacco - 0.9%
|
||||
1,470,000
|
Alliance One International, Inc., 9.875%, 7/15/21
|
$ 1,293,600
|
||
Total Food, Beverage & Tobacco
|
$ 13,223,310
|
|||
HEALTH CARE EQUIPMENT & SERVICES - 1.6%
|
||||
Health Care Facilities - 1.1%
|
||||
700,000
|
Kindred Healthcare, Inc., 6.375%, 4/15/22
|
$ 645,750
|
||
235,000
|
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/1/23 (144A)
|
244,691
|
||
475,000
|
Universal Hospital Services, Inc., 7.625%, 8/15/20
|
441,750
|
Principal
Amount
USD ($)
|
Value
|
|||
Health Care Facilities - (continued)
|
||||
285,000
|
Vizient, Inc., 10.375%, 3/1/24 (144A)
|
$ 321,338
|
||
$ 1,653,529
|
||||
Health Care Services - 0.3%
|
||||
425,000
|
BioScrip, Inc., 8.875%, 2/15/21
|
$ 392,063
|
||
Health Care Technology - 0.2%
|
||||
275,000
|
Change Healthcare Holdings, Inc., 11.0%, 12/31/19
|
$ 290,812
|
||
Total Health Care Equipment & Services
|
$ 2,336,404
|
|||
HOUSEHOLD & PERSONAL PRODUCTS - 0.6%
|
||||
Household Products - 0.6%
|
||||
EUR
|
350,000(a)
|
Hydra Dutch Holdings 2BV, 5.205%, 4/15/19 (144A)
|
$ 390,298
|
|
460,000
|
Springs Industries, Inc., 6.25%, 6/1/21
|
476,100
|
||
Total Household & Personal Products
|
$ 866,398
|
|||
INSURANCE - 26.7%
|
||||
Insurance Brokers - 0.0%†
|
||||
GBP
|
10,489(a)
|
Towergate Finance Plc, 8.5%, 3/2/20 (144A)
|
$ 14,097
|
|
Life & Health Insurance - 0.1%
|
||||
GBP
|
59,442
|
TIG FINCO Plc, 8.75%, 4/2/20 (144A)
|
$ 59,815
|
|
Property & Casualty Insurance - 4.0%
|
||||
6,000,000(c)(d)
|
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A)
|
$ 5,596,684
|
||
80,000(b)(h)
|
White Mountains Insurance Group, Ltd., 7.506% (144A)
|
80,300
|
||
$ 5,676,984
|
||||
Reinsurance - 22.6%
|
||||
500,000(a)
|
Akibare Re, Ltd., 3.239%, 4/7/20 (144A) (Cat Bond)
|
$ 506,200
|
||
500,000(a)
|
Aozora Re, Ltd., 2.954%, 4/7/20 (144A) (Cat Bond)
|
501,750
|
||
1,600,000(i)(j)
|
Artex Segregated Account (Kane SAC, Ltd.), Variable Rate
Notes, 6/15/17
|
1,463,200
|
||
750,000(a)
|
Bosphorus Re., Ltd., 4.036%, 8/17/18 (144A)
|
760,575
|
||
800,000(i)(j)
|
Carnousite Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/19/16
|
16,320
|
||
1,000,000(i)(j)
|
Carnousite Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
|
1,035,200
|
||
750,000(a)
|
Citrus Re, Ltd., 7.738%, 2/25/19 (144A) (Cat Bond)
|
758,625
|
||
EUR
|
1,000,000(i)(j)
|
Dundonald Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/17/17
|
1,031,690
|
|
1,750,000(a)
|
East Lane Re VI, Ltd., 2.888%, 3/14/18 (144A) (Cat Bond)
|
1,752,800
|
||
250,000(a)
|
Galileo Re, Ltd., 9.238%, 1/8/19 (144A) (Cat Bond)
|
253,525
|
||
250,000(a)
|
Galileo Re, Ltd., 13.738%, 1/8/19 (144A) (Cat Bond)
|
254,700
|
||
2,000,000(a)
|
Gator Re, Ltd., 6.508%, 1/9/17 (144A) (Cat Bond)
|
1,650,000
|
||
2,400,000(i)(j)
|
Gleneagles Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
|
2,513,040
|
||
2,500,000(i)(j)
|
Gullane Segregated Account (Kane SAC, Ltd.), Variable Rate
Notes, 11/30/20
|
2,659,250
|
||
1,000,000(i)(j)
|
Lahinch Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 5/10/21
|
974,100
|
||
1,450,000(i)(j)
|
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rate Notes, 3/31/18
|
101,500
|
||
1,000,000(a)
|
Merna Reinsurance V, Ltd., 2.238%, 4/7/17 (144A) (Cat Bond)
|
999,900
|
||
750,000(a)
|
MetroCat Re, Ltd., 4.738%, 8/5/16 (144A) (Cat Bond)
|
749,325
|
||
3,000,000(i)(j)
|
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2015-1, Variable Rate Notes, 2/1/19
|
117,600
|
||
2,000,000(i)(j)
|
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2016-1, Variable Rate Notes, 2/1/20
|
2,047,400
|
||
2,500,000(i)(j)
|
Pangaea Re Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 12/20/16
|
2,320,750
|
||
2,004,948(i)(j)
|
PI-6 Segregated Account (Kane SAC, Ltd.), Series C, Variable Rate Notes, 7/7/16
|
15,238
|
||
500,000(a)
|
Queen Street IX Re, Ltd., 5.738%, 6/8/17 (144A) (Cat Bond)
|
497,400
|
||
2,000,000(a)
|
Queen Street X Re, Ltd., 5.988%, 6/8/18 (144A) (Cat Bond)
|
2,003,600
|
||
1,000,000(i)(j)
|
Resilience Re, Ltd., Variable Rate Notes, 6/2/17 (Cat Bond)
|
947,700
|
||
1,250,000(i)(j)
|
Shenandoah, Re Ltd., Variable Rate Notes, 7/7/17
|
1,176,250
|
||
1,000,000(i)(j)
|
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/16/16 (144A)
|
2,600
|
||
1,000,000(i)(j)
|
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/18/17 (144A)
|
24,700
|
||
1,000,000(i)(j)
|
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/17/18 (144A)
|
1,061,400
|
||
1,000,000(i)(j)
|
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/22/16
|
19,700
|
||
1,000,000(i)(j)
|
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/1/18
|
1,031,700
|
||
JPY
|
150,799,195(i)(j)
|
Tralee Segregated Account (Kane SAC, Ltd.), Variable Rate
Notes, 7/20/17
|
1,474,806
|
|
500,000(a)
|
Vitality Re VI, Ltd., 2.338%, 1/8/18 (144A) (Cat Bond)
|
499,350
|
Principal
Amount
USD ($)
|
Value
|
|||
Reinsurance - (continued)
|
||||
1,000,000(a)
|
Vitality Re VII, Ltd., 2.888%, 1/7/20 (144A) (Cat Bond)
|
$ 1,016,000
|
||
$ 32,237,894
|
||||
Total Insurance
|
$ 37,988,790
|
|||
MATERIALS - 7.6%
|
||||
Commodity Chemicals - 0.7%
|
||||
300,000
|
Basell Finance Co., BV, 8.1%, 3/15/27 (144A)
|
$ 405,211
|
||
175,000
|
Hexion US Finance Corp., 6.625%, 4/15/20
|
147,875
|
||
545,000
|
Rain CII Carbon LLC / CII Carbon Corp., 8.0%, 12/1/18 (144A)
|
498,675
|
||
$ 1,051,761
|
||||
Construction Materials - 0.2%
|
||||
215,000
|
Cemex SAB de CV, 7.75%, 4/16/26 (144A)
|
$ 238,650
|
||
Diversified Chemicals - 0.6%
|
||||
55,000
|
Blue Cube Spinco, Inc., 9.75%, 10/15/23 (144A)
|
$ 62,837
|
||
55,000
|
Blue Cube Spinco, Inc., 10.0%, 10/15/25 (144A)
|
62,838
|
||
200,000
|
CVR Partners LP / CVR Nitrogen Finance Corp., 9.25%, 6/15/23 (144A)
|
204,500
|
||
660,000
|
Evolution Escrow Issuer LLC, 7.5%, 3/15/22 (144A)
|
523,875
|
||
$ 854,050
|
||||
Diversified Metals & Mining - 1.1%
|
||||
109,000
|
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)
|
$ 54,500
|
||
300,000
|
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/1/22 (144A)
|
336,000
|
||
449,080
|
Mirabela Nickel, Ltd., 9.5%, 6/24/19
|
89,816
|
||
180,000
|
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)
|
165,600
|
||
70,000
|
Teck Resources, Ltd., 8.0%, 6/1/21 (144A)
|
74,725
|
||
70,000
|
Teck Resources, Ltd., 8.5%, 6/1/24 (144A)
|
76,125
|
||
750,000
|
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)
|
761,382
|
||
$ 1,558,148
|
||||
Forest Products - 0.2%
|
||||
390,000
|
Eldorado International Finance GmbH, 8.625%, 6/16/21 (144A)
|
$ 319,800
|
||
Gold - 0.1%
|
||||
85,000
|
IAMGOLD Corp., 6.75%, 10/1/20 (144A)
|
$ 79,475
|
||
Metal & Glass Containers - 0.9%
|
||||
284,349(g)
|
Ardagh Finance Holdings SA, 8.625% (8.625% PIK 0.0% cash), 6/15/19 (144A)
|
$ 292,879
|
||
320,000
|
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc., 7.25%, 5/15/24 (144A)
|
337,600
|
||
EUR
|
150,000
|
Horizon Holdings I SASU, 7.25%, 8/1/23 (144A)
|
180,152
|
|
475,000
|
Reynolds Group Issuer, Inc., 9.875%, 8/15/19
|
488,062
|
||
$ 1,298,693
|
||||
Paper Packaging - 1.6%
|
||||
580,000
|
Coveris Holding Corp., 10.0%, 6/1/18 (144A)
|
$ 596,588
|
||
EUR
|
1,365,000
|
SIG Combibloc Holdings SCA, 7.75%, 2/15/23 (144A)
|
1,629,080
|
|
$ 2,225,668
|
||||
Paper Products - 1.4%
|
||||
675,000
|
Appvion, Inc., 9.0%, 6/1/20 (144A)
|
$ 405,000
|
||
500,000
|
Mercer International, Inc., 7.0%, 12/1/19
|
506,250
|
||
840,000
|
Resolute Forest Products, Inc., 5.875%, 5/15/23
|
688,800
|
||
210,000
|
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)
|
188,475
|
||
150,000
|
Xerium Technologies, Inc., 8.875%, 6/15/18
|
153,900
|
||
$ 1,942,425
|
||||
Specialty Chemicals - 0.3%
|
||||
410,000
|
A Schulman, Inc., 6.875%, 6/1/23 (144A)
|
$ 416,150
|
||
Steel - 0.5%
|
||||
250,000
|
Evraz Group SA, 9.5%, 4/24/18 (144A)
|
$ 271,025
|
||
499,000
|
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
|
424,150
|
||
$ 695,175
|
||||
Total Materials
|
$ 10,679,995
|
|||
MEDIA - 1.5%
|
||||
Advertising - 0.1%
|
||||
130,000
|
MDC Partners, Inc., 6.5%, 5/1/24 (144A)
|
$ 125,775
|
||
Broadcasting - 0.1%
|
||||
400,000
|
Intelsat Luxembourg SA, 7.75%, 6/1/21
|
$ 92,000
|
||
Cable & Satellite - 0.1%
|
||||
220,000
|
DISH DBS Corp., 7.75%, 7/1/26 (144A)
|
$ 228,112
|
||
Movies & Entertainment - 0.4%
|
||||
600,000
|
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)
|
$ 339,000
|
||
225,000
|
Regal Entertainment Group, 5.75%, 2/1/25
|
227,813
|
||
$ 566,813
|
||||
Publishing - 0.8%
|
||||
855,000
|
Gannett Co., Inc., 6.375%, 10/15/23
|
$ 919,125
|
||
186,000
|
Trader Corp., 9.875%, 8/15/18 (144A)
|
190,418
|
||
$ 1,109,543
|
||||
Total Media
|
$ 2,122,243
|
|||
Principal
Amount
USD ($)
|
Value
|
|||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.2%
|
||||
Biotechnology - 0.2%
|
||||
300,000
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$ 308,250
|
||
Pharmaceuticals - 1.0%
|
||||
208,000
|
DPx Holdings BV, 7.5%, 2/1/22 (144A)
|
$ 221,000
|
||
650,000
|
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%,
7/15/23 (144A)
|
566,722
|
||
EUR
|
450,000
|
VRX Escrow Corp., 4.5%, 5/15/23
|
395,185
|
|
235,000
|
VRX Escrow Corp., 5.875%, 5/15/23 (144A)
|
195,638
|
||
$ 1,378,545
|
||||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 1,686,795
|
|||
REAL ESTATE - 1.1%
|
||||
Specialized REIT - 1.1%
|
||||
1,520,000
|
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.25%, 10/15/23
|
$ 1,552,300
|
||
Total Real Estate
|
$ 1,552,300
|
|||
RETAILING - 1.4%
|
||||
Automotive Retail - 0.7%
|
||||
1,100,000
|
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A)
|
$ 1,045,000
|
||
Computer & Electronics Retail - 0.2%
|
||||
235,000
|
Rent-A-Center, Inc., 6.625%, 11/15/20
|
$ 219,725
|
||
Department Stores - 0.4%
|
||||
300,000
|
Argos Merger Sub, Inc., 7.125%, 3/15/23 (144A)
|
$ 313,500
|
||
350,000
|
Neiman Marcus Group, Ltd., LLC, 8.0%, 10/15/21 (144A)
|
296,660
|
||
$ 610,160
|
||||
Specialty Stores - 0.1%
|
||||
85,000
|
Outerwall, Inc., 6.0%, 3/15/19
|
$ 85,637
|
||
Total Retailing
|
$ 1,960,522
|
|||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.2%
|
||||
Semiconductors - 0.2%
|
||||
200,000
|
Micron Technology, Inc., 5.5%, 2/1/25
|
$ 179,500
|
||
150,000
|
Micron Technology, Inc., 5.625%, 1/15/26 (144A)
|
133,125
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 312,625
|
|||
SOFTWARE & SERVICES - 0.1%
|
||||
Data Processing & Outsourced Services - 0.0%†
|
||||
65,000
|
NeuStar, Inc., 4.5%, 1/15/23
|
$ 57,444
|
||
IT Consulting & Other Services - 0.1%
|
||||
130,000
|
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 7.125%, 6/15/24 (144A)
|
$ 139,876
|
||
Total Software & Services
|
$ 197,320
|
|||
TECHNOLOGY HARDWARE & EQUIPMENT - 0.8%
|
||||
Communications Equipment - 0.2%
|
||||
280,000
|
CommScope Technologies Finance LLC, 6.0%, 6/15/25 (144A)
|
$ 295,400
|
||
Electronic Equipment & Instruments - 0.2%
|
||||
315,000
|
Zebra Technologies Corp., 7.25%, 10/15/22
|
$ 336,263
|
||
Technology Hardware, Storage & Peripherals - 0.4%
|
||||
485,000
|
Diebold, Inc., 8.5%, 4/15/24 (144A)
|
$ 485,606
|
||
Total Technology Hardware & Equipment
|
$ 1,117,269
|
|||
TELECOMMUNICATION SERVICES - 3.7%
|
||||
Integrated Telecommunication Services - 2.0%
|
||||
1,165,000
|
Frontier Communications Corp., 8.75%, 4/15/22
|
$ 1,205,775
|
||
290,000
|
Frontier Communications Corp., 11.0%, 9/15/25
|
309,575
|
||
750,000
|
GCI, Inc., 6.875%, 4/15/25
|
778,125
|
||
600,000
|
Windstream Corp., 7.5%, 6/1/22
|
552,000
|
||
$ 2,845,475
|
||||
Wireless Telecommunication Services - 1.7%
|
||||
250,000
|
Altice Finco SA, 8.125%, 1/15/24 (144A)
|
$ 253,125
|
||
300,000
|
Altice SA, 7.75%, 5/15/22 (144A)
|
304,320
|
||
750,000
|
Digicel, Ltd., 6.0%, 4/15/21 (144A)
|
696,562
|
||
200,000
|
Mobile Telesystems OJSC via MTS International Funding, Ltd., 5.0%, 5/30/23 (144A)
|
206,240
|
||
340,000
|
Sprint Corp., 7.125%, 6/15/24
|
300,492
|
||
275,000
|
Sprint Corp., 7.25%, 9/15/21
|
256,611
|
||
250,000
|
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
|
245,263
|
||
RUB
|
14,100,000
|
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)
|
209,883
|
|
$ 2,472,496
|
||||
Total Telecommunication Services
|
$ 5,317,971
|
Principal
Amount
USD ($)
|
Value
|
|||
TRANSPORTATION - 2.9%
|
||||
Airlines - 0.8%
|
||||
155,000
|
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)
|
$ 139,887
|
||
450,000
|
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 8.25%, 7/15/17 (144A)
|
441,000
|
||
500,000
|
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)
|
510,625
|
||
$ 1,091,512
|
||||
Airport Services - 0.3%
|
||||
418,320
|
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)
|
$ 459,629
|
||
Highways & Railtracks - 0.2%
|
||||
MXN
|
4,500,000
|
Red de Carreteras de Occidente SAPIB de CV, 9.0%,
6/10/28 (144A)
|
$ 245,255
|
|
Marine - 0.3%
|
||||
500,000(e)
|
Far East Capital, Ltd., SA, 8.0%, 5/2/18
|
$ 241,900
|
||
375,000
|
Navios South American Logistics, Inc. / Navios Logistics
Finance US, Inc., 7.25%, 5/1/22 (144A)
|
256,875
|
||
$ 498,775
|
||||
Railroads - 0.6%
|
||||
402,471(g)
|
AAF Holdings LLC / AAF Finance Co., 12.0%
(12.75% PIK 12.0% cash), 7/1/19 (144A)
|
$ 412,533
|
||
485,000
|
Florida East Coast Holdings Corp., 6.75%, 5/1/19 (144A)
|
497,125
|
||
$ 909,658
|
||||
Trucking - 0.7%
|
||||
1,325,000
|
Jack Cooper Holdings Corp., 9.25%, 6/1/20
|
954,000
|
||
Total Transportation
|
$ 4,158,829
|
|||
UTILITIES - 3.0%
|
||||
Electric Utilities - 1.2%
|
||||
575,000
|
Centrais Eletricas Brasileiras SA, 5.75%, 10/27/21
|
$ 549,844
|
||
460,000(b)
|
Enel S.p.A., 8.75%, 9/24/73 (144A)
|
533,025
|
||
355,000
|
PPL Energy Supply LLC, 4.625%, 7/15/19 (144A)
|
336,362
|
||
370,000
|
PPL Energy Supply LLC, 6.5%, 6/1/25
|
325,600
|
||
$ 1,744,831
|
||||
Gas Utilities - 0.4%
|
||||
492,450
|
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A)
|
$ 525,075
|
||
Independent Power Producers & Energy Traders - 1.4%
|
||||
190,000
|
NRG Energy, Inc., 7.25%, 5/15/26 (144A)
|
$ 194,987
|
||
1,065,000
|
Terraform Global Operating LLC, 9.75%, 8/15/22 (144A)
|
1,067,663
|
||
125,000
|
TerraForm Power Operating LLC, 5.875%, 2/1/23 (144A)
|
125,469
|
||
585,000
|
TerraForm Power Operating LLC, 6.125%, 6/15/25 (144A)
|
582,075
|
||
$ 1,970,194
|
||||
Total Utilities
|
$ 4,240,100
|
|||
TOTAL CORPORATE BONDS & NOTES
|
||||
(Cost $123,626,848)
|
$ 122,788,662
|
|||
CONVERTIBLE BONDS & NOTES - 2.5% 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
|
$ 1,734,850
|
||
Total Health Care Equipment & Services
|
$ 1,734,850
|
|||
MATERIALS - 1.1%
|
||||
Diversified Chemicals - 1.1%
|
||||
1,900,000(k)
|
Hercules, Inc., 6.5%, 6/30/29
|
$ 1,596,000
|
||
Total Materials
|
$ 1,596,000
|
|||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
|
||||
Biotechnology - 0.2%
|
||||
250,000
|
Corsicanto, Ltd., 3.5%, 1/15/32
|
$ 283,281
|
||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 283,281
|
|||
TOTAL CONVERTIBLE BONDS & NOTES
|
||||
(Cost $2,448,759)
|
$ 3,614,131
|
|||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 9.4% of Net Assets
|
||||
1,000,000(a)
|
U.S. Treasury Notes, 0.373%, 10/31/16
|
$ 1,000,120
|
||
590,000(a)
|
U.S. Treasury Notes, 0.488%, 10/31/17
|
590,637
|
||
7,880,000(a)
|
U.S. Treasury Notes, 0.51%, 4/30/18
|
7,888,668
|
||
3,855,000(a)
|
U.S. Treasury Notes, 0.592%, 1/31/18
|
3,863,658
|
||
$ 13,343,083
|
||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
|
||||
(Cost $13,336,075)
|
$ 13,343,083
|
|||
SOVEREIGN DEBT OBLIGATIONS - 2.4% of Net Assets
|
||||
Argentina - 1.5%
|
||||
270,640
|
Province of Salta Argentina, 9.5%, 3/16/22 (144A)
|
$ 288,232
|
||
360,000
|
Provincia de Buenos Aires, 9.125%, 3/16/24 (144A)
|
396,900
|
Principal
Amount
USD ($)
|
Value
|
|||
Argentina - (continued)
|
||||
230,000
|
Provincia de Buenos Aires, 9.95%, 6/9/21 (144A)
|
$ 257,600
|
||
1,135,000
|
Provincia del Chubut Argentina, 7.75%, 7/26/26 (144A)
|
1,148,052
|
||
$ 2,090,784
|
||||
Ireland - 0.3%
|
||||
450,000
|
Vnesheconombank Via VEB Finance Plc, 6.902%, 7/9/20 (144A)
|
$ 481,770
|
||
Kenya - 0.3%
|
||||
500,000
|
Kenya Government International Bond, 6.875%, 6/24/24 (144A)
|
$ 474,250
|
||
Mexico - 0.1%
|
||||
MXN
|
970,000
|
Mexican Bonos, 7.75%, 11/13/42
|
$ 60,447
|
|
MXN
|
325,383
|
Mexican Udibonos, 3.5%, 12/14/17
|
17,814
|
|
$ 78,261
|
||||
Zambia - 0.2%
|
||||
300,000
|
Zambia Government International Bond, 5.375%, 9/20/22 (144A)
|
$ 237,150
|
||
TOTAL SOVEREIGN DEBT OBLIGATIONS
|
||||
(Cost $3,234,380)
|
$ 3,362,215
|
|||
Shares
|
||||
COMMON STOCKS - 0.3% of Net Assets
|
||||
CAPITAL GOODS - 0.0%†
|
||||
Industrial Machinery - 0.0%†
|
||||
10,289(d)(f)
|
Liberty Tire Recycling LLC
|
$ 103
|
||
Total Capital Goods
|
$ 103
|
|||
CONSUMER DURABLES & APPAREL - 0.0%†
|
||||
Homebuilding - 0.0%†
|
||||
MXN
|
89,094(f)
|
Desarrolladora Homex SAB de CV
|
$ 7,644
|
|
Total Consumer Durables & Apparel
|
$ 7,644
|
|||
ENERGY - 0.0%†
|
||||
Oil & Gas Exploration & Production - 0.0%†
|
||||
3,750(f)
|
PetroQuest Energy, Inc.
|
$ 12,112
|
||
Total Energy
|
$ 12,112
|
|||
INSURANCE - 0.0%†
|
||||
Insurance Brokers - 0.0%†
|
||||
GBP
|
10,233(d)(f)
|
TopCo., Ltd.
|
$ 136
|
|
GBP
|
475(d)(f)
|
Towergate Finance Plc
|
6
|
|
Total Insurance
|
$ 142
|
|||
RETAILING - 0.1%
|
||||
Computer & Electronics Retail - 0.1%
|
||||
42,088(d)(f)
|
Targus Cayman SubCo., Ltd.
|
$ 147,308
|
||
Total Retailing
|
$ 147,308
|
|||
TRANSPORTATION - 0.2%
|
||||
Air Freight & Logistics - 0.2%
|
||||
943(f)
|
CEVA Holdings LLC
|
$ 330,159
|
||
Total Transportation
|
$ 330,159
|
|||
TOTAL COMMON STOCKS
|
||||
(Cost $1,102,066)
|
$ 497,468
|
|||
CONVERTIBLE PREFERRED STOCKS - 0.4% of Net Assets
|
||||
BANKS - 0.4%
|
||||
Diversified Banks - 0.4%
|
||||
470
|
Bank of America Corp., 7.25%
|
$ 566,820
|
||
Total Banks
|
$ 566,820
|
|||
ENERGY - 0.0%†
|
||||
Oil & Gas Exploration & Production - 0.0%†
|
||||
200
|
Halcon Resources Corp., 5.75%
|
$ 8,600
|
||
Total Energy
|
$ 8,600
|
|||
TOTAL CONVERTIBLE PREFERRED STOCKS
|
||||
(Cost $524,899)
|
$ 575,420
|
|||
PREFERRED STOCKS - 1.5% of Net Assets
|
||||
BANKS - 0.4%
|
||||
Diversified Banks - 0.4%
|
||||
500(b)
|
AgStar Financial Services ACA, 6.75% (144A)
|
$ 530,594
|
||
Total Banks
|
$ 530,594
|
|||
DIVERSIFIED FINANCIALS - 0.7%
|
||||
Other Diversified Financial Services - 0.7%
|
||||
40,675(b)
|
GMAC Capital Trust I, 6.602%
|
$ 1,033,958
|
||
Total Diversified Financials
|
$ 1,033,958
|
|||
INSURANCE - 0.4%
|
||||
Insurance Brokers - 0.4%
|
||||
GBP
|
452,745(d)(f)
|
Towergate Finance Plc, Class B
|
$ 497,549
|
|
Total Insurance
|
$ 497,549
|
|||
TOTAL PREFERRED STOCKS
|
||||
(Cost $2,106,323)
|
$ 2,062,101
|
|||
Principal
Amount
USD ($)
|
Value
|
||||||||
WARRANT - 0.0%†
|
|||||||||
INSURANCE - 0.0%†
|
|||||||||
Insurance Brokers
|
|||||||||
GBP
|
136(d)(f)(l)
|
Towergate Finance Plc
|
$ –
|
||||||
TOTAL WARRANT
|
|||||||||
(Cost $–)
|
$ –
|
||||||||
Number
of Contracts
|
Description
|
Counterparty
|
Strike
Price
|
Expiration
Date
|
|||||
CALL OPTIONS PURCHASED - 0.0%†
|
|||||||||
MXN 18,332
|
(m)
|
Desarrolladora Homex
SAB de CV
|
Bank of New York
Mellon Corp.
|
$–(o)
|
10/23/22
|
$ –
|
|||
MXN 18,332
|
(n)
|
Desarrolladora Homex
SAB de CV
|
Bank of New York
Mellon Corp.
|
–(o)
|
10/23/22
|
–
|
|||
$ –
|
|||||||||
TOTAL CALL OPTIONS PURCHASED
|
|||||||||
(Premiums paid $–)
|
$ –
|
||||||||
TOTAL INVESTMENTS IN SECURITIES - 138.0%
|
|||||||||
(Cost - $197,424,586) (p)(q)
|
$ 196,220,134
|
||||||||
OTHER ASSETS AND LIABILITIES - (38.0)%
|
$ (54,045,405)
|
||||||||
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS - 100.0%
|
$ 142,174,729
|
||||||||
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 July 31, 2016, the value of these securities amounted to $79,122,002, or 55.7% of total net assets applicable to common shareowners.
|
(Cat Bond)
|
Catastrophe or Event-linked bond. At July 31, 2016, the value of these securities amounted normally to $12,390,875, or 8.7% 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 July 31, 2016.
|
(a)
|
Floating rate note. The rate shown is the coupon rate at July 31, 2016.
|
(b)
|
The interest rate is subject to change periodically. The interest rate shown is the rate at July 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 July 31, 2016.
|
(d)
|
Security is valued using fair value methods (other than prices supplied by independent pricing services).
|
(e)
|
Security is in default.
|
(f)
|
Non-income producing.
|
(g)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
(h)
|
Security is perpetual in nature and has no stated maturity date.
|
(i)
|
Structured reinsurance investment. At July 31, 2016, the value of these securities amounted to $20,034,144, or 14.1% of total net assets applicable to common shareowners.
|
(j)
|
Rate to be determined.
|
(k)
|
Security is priced as a unit.
|
(l)
|
Towergate B Preferred warrants are exercisable into 136 Tig FinCo A shares.
|
(m)
|
Option does not become effective until underlying company’s outstanding common shares
reach a market capitalization of MXN 12.5 Billion.
|
(n)
|
Option does not become effective until underlying company’s outstanding common shares
reach a market capitalization of MXN 15.5 Billion.
|
(o)
|
Strike price is 1 Mexican Peso (MXN).
|
(p)
|
At July 31, 2016, the net unrealized depreciation on investments based on cost for federal tax purposes of $199,526,490 was as follows:
|
||
Aggregate gross unrealized appreciation for all investments in which there
|
|||
is an excess of value over tax cost
|
$ 8,794,770
|
||
Aggregate gross unrealized depreciation for all investments in which there
|
|||
is an excess of tax cost over value
|
(12,101,126)
|
||
Net unrealized depreciation
|
$ (3,306,356)
|
||
For financial reporting purposes net unrealized depreciation on investments was $1,204,452 and cost of investments aggregated $197,424,586.
|
|||
(q)
|
Distributions of Investments by country of issue, as a percentage of long-term holdings based on country of domicile, is as follows:
|
|
United States
|
63.1%
|
|
Bermuda
|
14.4
|
|
Luxembourg
|
4.0
|
|
Netherlands
|
2.7
|
|
Argentina
|
2.5
|
|
Ireland
|
2.5
|
|
Cayman Islands
|
2.4
|
|
United Kingdom
|
1.2
|
|
France
|
1.1
|
|
Canada
|
1.0
|
|
Other (individually less than 1%)
|
5.1
|
|
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 July 31, 2016, in valuing the Trust's investments.
|
|||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||
Asset Backed Securities
|
$ –
|
$1,724,884
|
$ –
|
$1,724,884
|
|
Collateralized Mortgage
Obligations
|
–
|
747,554
|
–
|
747,554
|
|
Commercial Mortgage-Backed
Securities
|
–
|
4,016,740
|
–
|
4,016,740
|
|
Senior Secured Floating
Rate Loan Interests
|
|||||
Health Care Equipment
& Services
|
|||||
Health Care Technology
|
–
|
235,716
|
243,918
|
479,634
|
|
Retailing
|
|||||
Computer & Electronics Retail
|
–
|
–
|
178,159
|
178,159
|
|
All Other Senior Secured Floating
Rate Loan Interests
|
–
|
42,830,083
|
–
|
42,830,083
|
|
Corporate Bonds & Notes
|
|||||
Capital Goods
|
|||||
Industrial Machinery
|
–
|
966,100
|
169,505
|
1,135,605
|
|
Insurance
|
|||||
Property & Casualty Insurance
|
–
|
80,300
|
5,596,684
|
5,676,984
|
|
Reinsurance
|
–
|
12,203,750
|
20,034,144
|
32,237,894
|
|
All Other Corporate Bonds & Notes
|
–
|
83,738,179
|
–
|
83,738,179
|
|
Convertible Bonds & Notes
|
–
|
3,614,131
|
–
|
3,614,131
|
|
U.S. Government and
Agency Obligations
|
–
|
13,343,083
|
–
|
13,343,083
|
|
Sovereign Debt Obligation
|
–
|
3,362,215
|
–
|
3,362,215
|
|
Common Stocks
|
|||||
Capital Goods
|
|||||
Industrial Machinery
|
–
|
–
|
103
|
103
|
|
Insurance
|
|||||
Insurance Brokers
|
–
|
–
|
142
|
142
|
|
Retailing
|
|||||
Computer & Electronics Retail
|
–
|
–
|
147,308
|
147,308
|
|
Transportation
|
|||||
Air Freight & Logistics
|
–
|
330,159
|
–
|
330,159
|
|
All Other Common Stocks
|
19,756
|
–
|
–
|
19,756
|
|
Convertible Preferred Stocks
|
|||||
Energy
|
|||||
Oil & Gas Exploration & Production
|
–
|
8,600
|
–
|
8,600
|
|
All Other Convertible Preferred Stocks
|
566,820
|
–
|
–
|
566,820
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Preferred Stocks
|
||||
Banks
|
||||
Diversified Banks
|
$ –
|
$530,594
|
$ –
|
$530,594
|
Insurance
|
||||
Insurance Brokers
|
–
|
–
|
497,549
|
497,549
|
All Other Preferred Stock
|
1,033,958
|
–
|
–
|
1,033,958
|
Warrant
|
–
|
–
|
–*
|
–*
|
Call Options Purchased
|
–
|
–*
|
–
|
–*
|
Total Investments in
Securities
|
$1,620,534
|
$167,732,088
|
$26,867,512
|
$196,220,134
|
* Includes securities that are valued at $0.
|
The following is a summary of the fair valuation of certain of the Trust's assets and liabilities as of July 31, 2016:
|
|||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||
Assets:
|
|||||||||
Foreign currencies, at value
|
$ –
|
$237,205
|
$ –
|
$237,205
|
|||||
Liabilities:
|
|||||||||
Credit agreement
|
–
|
(57,000,000)
|
–
|
(57,000,000)
|
|||||
Total
|
$ –
|
$(56,762,795)
|
$ –
|
$(56,762,795)
|
|||||
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
|
|||||||||
Change in
|
Transfers
|
Transfers
|
|||||||
Balance
|
Realized
|
unrealized
|
Accrued
|
In and out
|
In and
|
Balance
|
|||
as of
|
gain
|
appreciation
|
discounts/
|
of Level 3
|
out of
|
as of
|
|||
4/30/16
|
(loss)
|
(depreciation)
|
Purchases
|
Sales
|
premiums
|
categories
|
Level 3*
|
7/31/16
|
|
Senior Secured
Floating Rate
Loan Interests
|
|||||||||
Health Care
Equipment &
Services
|
|||||||||
Health Care
Technology
|
$243,918
|
$ –
|
$(3,670)
|
$–
|
$–
|
$3,670
|
$–
|
$ –
|
$243,918
|
Retailing
|
|||||||||
Computer &
Electronics
Retail
|
168,351
|
–
|
–
|
9,808
|
–
|
–
|
–
|
–
|
178,159
|
Corporate Bonds
& Notes
|
|||||||||
Capital Goods
|
|||||||||
Industrial
Machinery
|
169,505
|
–
|
(585)
|
–
|
–
|
585
|
–
|
–
|
169,505
|
Insurance
|
|||||||||
Property
& Casualty
Insurance
|
5,247,802
|
–
|
344,844
|
–
|
–
|
4,038
|
–
|
–
|
5,596,684
|
Reinsurance
|
18,069,562
|
–
|
(20,205)
|
5,867,489
|
(3,998,270)
|
115,568
|
–
|
–
|
20,034,144
|
Common Stocks
|
|||||||||
Capital Goods
|
|||||||||
Industrial
Machinery
|
103
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
103
|
Insurance
|
|||||||||
Insurance
Brokers
|
156
|
–
|
(14)
|
–
|
–
|
–
|
–
|
–
|
142
|
Retailing
|
|||||||||
Computer &
Electronics
Retail
|
147,308
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
147,308
|
Preferred Stocks
|
|||||||||
Insurance
|
|||||||||
Insurance
Brokers
|
548,937
|
–
|
(51,388)
|
–
|
–
|
–
|
–
|
–
|
497,549
|
Reinsurance
|
37,500
|
–
|
(37,500)
|
–
|
–
|
–
|
–
|
–
|
–
|
Warrants
|
|||||||||
Insurance
|
|||||||||
Insurance
Brokers
|
–**
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
–**
|
Total
|
$24,633,142
|
$–
|
$231,482
|
$5,877,297
|
$(3,998,270)
|
$123,861
|
$–
|
$ –
|
$26,867,512
|
*Transfers are calculated on the beginning of period value. For the three months ended July 31, 2016, there were no transfers between Levels 1, 2 and 3.
|
|||||||||
**Includes securities that are valued $0.
|
|||||||||
Net change in unrealized appreciation depreciation of Level 3 investments still held and considered Level 3 at July 31, 2016: $412,169.
|