OMB APPROVAL OMB Number: 3235-0578 Expires: January 31, 2016 Estimated average burden hours per response..... 10.5 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-08657 Pioneer Pioneer Equity Income Fund (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: November 30 Date of reporting period: February 28, 2014 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.
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
ASSET BACKED SECURITY - 0.1% of Net Assets
|
|||||
CONSUMER SERVICES - 0.1%
|
|||||
Hotels, Resorts & Cruise Lines - 0.1%
|
|||||
131,804
|
BB/NR
|
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)
|
$ 135,062
|
||
Total Consumer Services
|
$ 135,062
|
||||
TOTAL ASSET BACKED SECURITY
|
|||||
(Cost $131,803)
|
$ 135,062
|
||||
COLLATERALIZED LOAN OBLIGATIONS - 2.6% of Net Assets
|
|||||
BANKS - 2.6%
|
|||||
Diversified Banks - 0.9%
|
|||||
1,000,000(a)(b)(c)
|
BB+/Ba2
|
Primus, Ltd., Series 2007-2A, Class D, 2.639%, 7/15/21 (144A)
|
$ 921,551
|
||
1,000,000(b)(c)
|
B+/Ba2
|
Rampart, Ltd., Series 2006-1A, Class D, 3.787%, 4/18/21 (144A)
|
947,999
|
||
951,289(b)(c)
|
CCC+/Ba3
|
Stanfield McLaren, Ltd., Series 2007-1A, Class B2L, 4.734%, 2/27/21 (144A)
|
904,775
|
||
$ 2,774,325
|
|||||
Thrifts & Mortgage Finance - 1.7%
|
|||||
1,000,000(b)(c)
|
BB+/Ba2
|
ACA, Ltd., Series 2007-1A, Class D, 2.589%, 6/15/22 (144A)
|
$ 939,759
|
||
1,000,000(b)(c)
|
BBB/Ba1
|
Goldman Sachs Asset Management Plc, Series 2007-1A, Class D, 2.988%, 8/1/22 (144A)
|
975,080
|
||
1,000,000(b)(c)
|
BBB/Baa2
|
Gulf Stream - Sextant, Ltd., Series 2007-1A, Class D, 2.644%, 6/17/21 (144A)
|
950,258
|
||
1,000,000(b)(c)
|
BB/Ba3
|
Landmark CDO, Ltd., Series 2007-9A, Class E, 3.739%, 4/15/21 (144A)
|
943,980
|
||
2,000,000(b)(c)
|
BBB/Baa3
|
Stone Tower, Ltd., Series 2007-6A, Class C, 1.588%, 4/17/21 (144A)
|
1,834,442
|
||
$ 5,643,519
|
|||||
Total Banks
|
$ 8,417,844
|
||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS
|
|||||
(Cost $7,357,455)
|
$ 8,417,844
|
||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 132.8% of Net Assets *
|
|||||
AUTOMOBILES & COMPONENTS - 7.2%
|
|||||
Auto Parts & Equipment - 5.3%
|
|||||
84,686
|
BB-/Ba3
|
Allison Transmission, Inc., New Term B-2 Loan, 3.16%, 8/7/17
|
$ 84,792
|
||
2,910,059
|
B+/Ba3
|
Allison Transmission, Inc., Term Loan B-3, 3.5%, 8/23/19
|
2,917,939
|
||
2,147,078
|
B+/B1
|
ARC Automotive Group, Inc., Term Loan, 6.25%, 11/15/18
|
2,163,181
|
||
1,720,945
|
B+/B2
|
ASP HHI Acquisition Co., Inc., Additional Term Loan, 5.0%, 10/5/18
|
1,737,437
|
||
714,792
|
B/B1
|
Federal-Mogul Corp., Tranche B Term Loan, 2.098%, 12/29/14
|
710,883
|
||
420,650
|
B/B1
|
Federal-Mogul Corp., Tranche C Term Loan, 2.098%, 12/28/15
|
418,350
|
||
3,310,902
|
B+/B1
|
Metaldyne LLC, USD Term Loan, 4.25%, 12/18/18
|
3,335,733
|
||
1,216,544
|
B+/B1
|
TI Group Automotive Systems LLC, Additional Term Loan, 5.5%, 3/28/19
|
1,225,289
|
||
954,676
|
BB/Ba2
|
Tomkins LLC, Term Loan B-2, 3.75%, 9/29/16
|
960,166
|
||
2,530,907
|
B+/B2
|
Tower Automotive Holdings USA, LLC, Refinancing Term Loan, 4.0%, 4/23/20
|
2,534,070
|
||
1,091,250
|
B/Ba3
|
UCI International, Inc., (United Components), Term Loan, 5.5%, 7/26/17
|
1,096,251
|
||
$ 17,184,091
|
|||||
Automobile Manufacturers - 1.0%
|
|||||
3,286,139
|
BB+/Ba1
|
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17
|
$ 3,296,691
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Tires & Rubber - 0.9%
|
|||||
3,000,000
|
BB/Ba1
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19
|
$ 3,031,875
|
||
Total Automobiles & Components
|
$ 23,512,657
|
||||
BANKS - 0.4%
|
|||||
Thrifts & Mortgage Finance - 0.4%
|
|||||
1,291,991
|
B+/B1
|
Ocwen Loan Servicing, Initial Term Loan, 5.0%, 2/15/18
|
$ 1,304,499
|
||
Total Banks
|
$ 1,304,499
|
||||
CAPITAL GOODS - 9.4%
|
|||||
Aerospace & Defense - 4.4%
|
|||||
1,170,578
|
B+/B1
|
Accudyne Industries Borrower S.C.A./Accudyne Industries LLC, Refinancing Term Loan, 4.0%, 12/13/19
|
$ 1,176,184
|
||
608,561
|
B-/B2
|
Cadence Aerospace Finance, Inc., Term Loan, 6.5%, 5/9/18
|
610,843
|
||
1,164,358
|
B-/B3
|
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 5.0%, 11/2/18
|
1,182,307
|
||
471,177
|
B/B2
|
DAE Aviation Holdings, Inc., Tranche B-2 Loan, 5.0%, 11/2/18
|
478,637
|
||
1,655,490
|
BBB-/Ba2
|
Digitalglobe, Inc., Term Loan, 3.75%, 1/31/20
|
1,659,101
|
||
588,689
|
BB-/NR
|
DynCorp International, Inc., Term Loan, 6.25%, 7/7/16
|
593,840
|
||
1,250,540
|
B/Caa1
|
Hunter Defense Technologies, Inc., Term Loan, 3.49%, 8/22/14
|
1,137,991
|
||
963,943
|
CCC+/Caa1
|
IAP Worldwide Services, Inc., First Lien Term Loan, 10.0%, 12/31/15
|
306,052
|
||
1,559,250
|
B/B1
|
Sequa Corp., Initial Term Loan, 5.25%, 6/19/17
|
1,538,785
|
||
1,747,766
|
B+/B1
|
SI Organization, Inc., New Tranche B Term Loan, 5.5%, 11/22/16
|
1,721,550
|
||
1,717,548
|
BB-/B2
|
TASC, Inc., New Tranche B Term Loan, 4.5%, 12/18/15
|
1,634,355
|
||
1,490,000
|
B/B1
|
WP CPP Holdings LLC, First Lien Term Loan, 4.75%, 12/28/19
|
1,502,106
|
||
680,000
|
CCC+/Caa1
|
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21
|
691,475
|
||
$ 14,233,226
|
|||||
Building Products - 1.2%
|
|||||
1,324,988
|
BB-/B1
|
Armstrong World Industries, Inc., Term Loan B, 3.5%, 3/15/20
|
$ 1,330,232
|
||
1,723,848
|
BB-/B2
|
Summit Materials LLC, Term B Loan, 5.0%, 1/30/19
|
1,734,622
|
||
813,905
|
B+/B1
|
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
|
819,119
|
||
$ 3,883,973
|
|||||
Construction & Farm Machinery & Heavy Trucks - 0.7%
|
|||||
480,000
|
BB/Ba1
|
Manitowoc Co., Inc., Term Loan B, 3.25%, 1/3/21
|
$ 481,488
|
||
870,000
|
B/Ba3
|
Navistar, Inc., Tranche B, Term Loan, 5.75%, 8/17/17
|
883,956
|
||
816,930
|
B+/B2
|
Waupaca Foundry, Inc. Term Loan, 4.0%, 6/29/17
|
818,973
|
||
$ 2,184,417
|
|||||
Electrical Components & Equipment - 1.0%
|
|||||
2,201,475
|
B+/B1
|
Pelican Products, Inc., First Lien Term Loan, 6.25%, 7/17/18
|
$ 2,221,432
|
||
1,209,688
|
BB+/Ba2
|
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
|
1,221,028
|
||
$ 3,442,460
|
|||||
Industrial Conglomerates - 0.7%
|
|||||
2,230,123
|
B+/B2
|
Pro Mach, Inc., Term Loan, 4.5%, 7/6/17
|
$ 2,242,668
|
||
Industrial Machinery - 0.9%
|
|||||
2,103,660
|
B+/Ba2
|
Ina Beteiligungsgesellschaft Mit Beschrankter Haftung, Facility C (USD), 4.25%, 1/27/17
|
$ 2,119,805
|
||
704,675
|
BB-/Ba3
|
Xerium Technologies, Inc., New Term Loan, 6.75%, 5/17/19
|
710,254
|
||
$ 2,830,059
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Trading Companies & Distributors - 0.5%
|
|||||
1,125,000
|
BB-/Ba3
|
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2.5%, 2/28/21
|
$ 1,127,464
|
||
711,169
|
B+/Ba3
|
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19
|
713,835
|
||
$ 1,841,299
|
|||||
Total Capital Goods
|
$ 30,658,102
|
||||
COMMERCIAL & PROFESSIONAL SERVICES - 5.7%
|
|||||
Commercial Printing - 0.2%
|
|||||
725,239
|
NR/Caa3
|
Cenveo Corp., Term Loan B, 6.25%, 2/13/17
|
$ 735,211
|
||
Diversified Support Services - 1.3%
|
|||||
1,067,925
|
B-/B2
|
InfoGroup, Inc., Term Loan B, 8.0%, 5/26/18
|
$ 938,439
|
||
1,123,952
|
BB-/Ba3
|
KAR Auction Services, Inc., Term Loan, 3.75%, 5/19/17
|
1,129,338
|
||
2,216,516
|
B-/B1
|
Language Line LLC, Tranche B Term Loan, 6.25%, 6/20/16
|
2,217,440
|
||
$ 4,285,217
|
|||||
Environmental & Facilities Services - 1.3%
|
|||||
1,080,750
|
BB+/Baa3
|
Convata Energy Corp., Term Loan, 3.5%, 3/28/19
|
$ 1,087,505
|
||
297,000
|
BBB-/Ba1
|
Progressive Waste Solutions Ltd., Term B Loan, 3.0%, 10/24/19
|
297,371
|
||
495,000
|
B-/B2
|
Tervita Corp., (fka CCS Corp.),Term Loan, 6.25%, 5/15/18
|
498,580
|
||
993,701
|
B+/B1
|
Waste Industries USA, Inc., Term Loan B, 4.0%, 3/17/17
|
997,419
|
||
1,409,395
|
B+/B1
|
WCA Waste Corp. (WCA Waste Systems, Inc.), Term Loan, 4.0%, 3/23/18
|
1,414,504
|
||
$ 4,295,379
|
|||||
Human Resource & Employment Services - 0.3%
|
|||||
950,739
|
BB-/Ba2
|
On Assignment, Inc., Initial Term B Loan, 3.5%, 5/15/20
|
$ 951,127
|
||
Research & Consulting Services - 0.7%
|
|||||
2,147,875
|
BB-/Ba3
|
Wyle Services Corp., First Lien Term Loan, 5.0%, 3/26/17
|
$ 2,148,770
|
||
Security & Alarm Services - 1.9%
|
|||||
1,016,301
|
B/B1
|
Allied Security Holdings LLC, Closing Date First Lien Term Loan, 4.25%, 2/12/21
|
$ 1,016,936
|
||
1,184,526
|
BB/Ba3
|
GEO Group, Inc., Term Loan, 3.25%, 4/3/20
|
1,190,819
|
||
2,377,799
|
B/Ba3
|
Monitronics International, Inc., 2013 Term Loan B, 4.25%, 3/23/18
|
2,390,183
|
||
1,495,701
|
B+/B1
|
Protection One, Inc., 2012 Term Loan, 4.25%, 3/21/19
|
1,499,440
|
||
$ 6,097,378
|
|||||
Total Commercial & Professional Services
|
$ 18,513,082
|
||||
CONSUMER DISCRETIONARY - 1.6%
|
|||||
Apparel, Accessories & Luxury Goods - 0.4%
|
|||||
1,246,851
|
B/B2
|
Renfro Corp., Tranche B Term Loan, 5.75%, 1/30/19
|
$ 1,243,734
|
||
Automobiles & Components - 0.3%
|
|||||
1,000,000
|
B+/B2
|
CWGS Group LLC, Term Loan, 5.75%, 2/20/20
|
$ 1,007,500
|
||
Broadcasting - 0.7%
|
|||||
1,500,000
|
B+/B2
|
Gray Television, Inc., Initial Term Loan, 4.75%, 10/11/19
|
$ 1,512,657
|
||
685,000
|
CCC+/Caa2
|
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21
|
702,125
|
||
$ 2,214,782
|
|||||
Hotels, Resorts & Cruise Lines - 0.2%
|
|||||
789,474
|
BB/Ba3
|
Hilton Worldwide Finance LLC, Initial Term Loan, 3.75%, 10/26/20
|
$ 793,370
|
||
Total Consumer Discretionary
|
$ 5,259,386
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
CONSUMER DURABLES & APPAREL - 4.1%
|
|||||
Apparel Retail - 0.1%
|
|||||
390,000
|
B/Ba2
|
J. Crew Group, Inc., Initial Loan, 3.0%, 3/5/21
|
$ 390,975
|
||
Apparel, Accessories & Luxury Goods - 0.3%
|
|||||
805,457
|
BBB-/Ba1
|
PVH Corp., Tranche B Term Loan, 3.25%, 2/13/20
|
$ 808,406
|
||
Home Furnishings - 1.1%
|
|||||
2,044,460
|
B+/B1
|
Serta Simmons Holdings LLC, Term Loan, 4.25%, 10/1/19
|
$ 2,062,715
|
||
1,461,796
|
BB/Ba3
|
Tempur Pedic International, Inc., Term Loan B, 3.5%, 3/18/20
|
1,464,276
|
||
$ 3,526,991
|
|||||
Homebuilding - 0.1%
|
|||||
1,000,000(a)(b)(d)
|
NR/NR
|
WAICCS Las Vegas 3 LLC, First Lien Term Loan, 7.75%, 7/30/09
|
$ 335,000
|
||
4,500,000(a)(b)(d)
|
NR/NR
|
WAICCS Las Vegas 3 LLC, Second Lien Term Loan, 13.25%, 7/30/09
|
22,505
|
||
$ 357,505
|
|||||
Housewares & Specialties - 2.0%
|
|||||
1,469,773
|
BB+/NR
|
Jarden Corp., New Tranche B Term Loan, 2.655%, 3/31/18
|
$ 1,479,572
|
||
1,184,125
|
BB/Ba2
|
Prestige Brands, Inc., Term B-1 Loan, 5.0%, 1/31/19
|
1,191,772
|
||
2,300,067
|
B+/B1
|
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 4.0%, 11/30/18
|
2,318,516
|
||
1,587,343
|
B+/B1
|
World Kitchen LLC, U.S. Term Loan, 5.5%, 3/4/19
|
1,607,184
|
||
$ 6,597,044
|
|||||
Textiles - 0.5%
|
|||||
1,738,800
|
NR/NR
|
Klockner Pentaplast of America, Inc., Term Loan B-1, 4.75%, 12/21/16
|
$ 1,759,087
|
||
Total Consumer Durables & Apparel
|
$ 13,440,008
|
||||
CONSUMER SERVICES - 8.6%
|
|||||
Casinos & Gaming - 1.3%
|
|||||
1,150,000
|
B+/B3
|
CityCenter Holdings LLC, Term B loan, 5.0%, 10/16/20
|
$ 1,163,348
|
||
167,984
|
BBB-/Ba2
|
Las Vegas Sands LLC, Term B Loan, 3.25%, 12/19/20
|
167,879
|
||
1,485,000
|
BB/Ba2
|
MGM Resorts International (MGM Grand Detroit LLC), Term B Loan, 3.5%, 12/20/19
|
1,485,465
|
||
1,421,250
|
BBB-/Baa3
|
Seminole Tribe of Florida, Initial Term Loan, 3.0%, 4/29/20
|
1,422,360
|
||
$ 4,239,052
|
|||||
Education Services - 2.9%
|
|||||
3,493,456
|
B+/B1
|
Bright Horizons Family Solutions LLC,Term B Loan, 4.0%, 1/30/20
|
$ 3,514,564
|
||
948,113
|
NR/NR
|
Houghton Mifflin Holdings Inc., Term Loan, 4.25%, 5/22/18
|
$ 956,409
|
||
1,488,602
|
B/B1
|
Laureate Education, Inc., Series 2018 Extended Term Loan, 5.0%, 6/15/18
|
1,466,273
|
||
1,561,875
|
NR/B2
|
McGraw-Hill Global Education Holdings LLC, Term B Loan, 9.0%, 3/22/19
|
1,592,136
|
||
1,875,000
|
B+/B2
|
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19
|
1,902,343
|
||
$ 9,431,725
|
|||||
Hotels, Resorts & Cruise Lines - 0.5%
|
|||||
1,474,230
|
BB-/B2
|
Seven Sea Cruises S. DE R.L., Term B2 Loan, 3.75%, 12/21/18
|
$ 1,488,972
|
||
Internet Software & Services - 0.3%
|
|||||
987,525
|
B/B1
|
Sabre, Inc., Term B Loan, 4.25%, 2/19/19
|
$ 990,765
|
||
Leisure Facilities - 0.8%
|
|||||
864,425
|
BBB-/Ba1
|
Cedar Fair, LP, U.S. Term Facility, 3.25%, 3/6/20
|
$ 868,024
|
||
248,750
|
BB+/Ba3
|
Seaworld Parks & Entertainment, Inc., Term B-2 Loan, 3.0%, 5/14/20
|
247,538
|
||
1,514,465
|
BB+/Ba2
|
Six Flags Theme Parks, Inc., Tranche B Term Loan, 3.5%, 12/20/18
|
1,526,764
|
||
$ 2,642,326
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Restaurants - 2.3%
|
|||||
1,107,975
|
BB/Ba3
|
Burger King Corp., 2012 Tranche B Term Loan, 3.75%, 9/28/19
|
$ 1,115,386
|
||
205,995
|
BB-/Ba2
|
DineEquity, Inc., Term B-2 Loan, 3.75%, 10/19/17
|
207,374
|
||
2,861,513
|
B+/Ba3
|
Landry's, Inc., (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18
|
2,884,167
|
||
1,791,542
|
B/Ba3
|
NPC International, Inc., 2013 Term Loan, 4.0%, 12/28/18
|
1,806,098
|
||
1,512,935
|
BB-/B1
|
Wendy's International, Inc., Term B Loan, 3.25%, 5/15/19
|
1,515,367
|
||
$ 7,528,392
|
|||||
Specialized Consumer Services - 0.5%
|
|||||
1,985,000
|
BB/Baa1
|
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4.0%, 4/2/20
|
$ 1,536,886
|
||
Total Consumer Services
|
$ 27,858,118
|
||||
CONSUMER STAPLES - 1.0%
|
|||||
Drug Retail - 0.4%
|
|||||
1,250,000
|
B+/B1
|
Rite Aid Corp., Tranche 6 Term Loan, 3.0%, 2/21/20
|
$ 1,258,594
|
||
Food Retail - 0.6%
|
|||||
2,000,000
|
BB+/NR
|
Albertson's LLC, Term B-1 Loan, 3.25%, 3/21/16
|
$ 2,017,240
|
||
Total Consumer Staples
|
$ 3,275,834
|
||||
DIVERSIFIED FINANCIALS - 3.0%
|
|||||
Investment Banking & Brokerage - 0.8%
|
|||||
1,216,396
|
B/B1
|
Duff & Phelps Corp., Initial Term Loan, 4.5%, 4/23/20
|
$ 1,218,677
|
||
748,125
|
NR/NR
|
Guggenheim Partners Investment Management Holdings LLC, Initial Term Loan, 4.25%, 7/22/20
|
756,775
|
||
540,416
|
BB-/Ba2
|
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3.25%, 3/29/19
|
541,655
|
||
$ 2,517,107
|
|||||
Other Diversified Financial Services - 2.1%
|
|||||
1,681,033
|
BBB/Ba2
|
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18
|
$ 1,691,540
|
||
325,000
|
BBB-/Ba2
|
Delos Finance, S.à r.l., Term Loan, 2.75%, 3/6/21
|
326,574
|
||
891,092
|
BBB-/B1
|
Fly Funding II S.a.r.l., Term Loan, 4.5%, 8/9/19
|
905,201
|
||
1,000,000
|
NR/Baa2
|
Kasima LLC, Term Loan, 3.25%, 5/17/21
|
1,001,250
|
||
2,039,750
|
B/B1
|
Livingston International, Inc., First Lien Initial Term B-1 Loan, 5.0%, 4/18/19
|
2,052,499
|
||
989,394
|
BB/Ba3
|
Ship Luxco 3 S.a.r.l. (RBS Worldpay), Facility B2A, 5.25%, 11/29/19
|
1,000,277
|
||
$ 6,977,341
|
|||||
Specialized Finance - 0.1%
|
|||||
156,000
|
BB-/B1
|
Bats Global Markets, Inc., Term Loan, 5.0%, 1/31/20
|
$ 157,235
|
||
Total Diversified Financials
|
$ 9,651,683
|
||||
ENERGY - 5.3%
|
|||||
Coal & Consumable Fuels - 0.5%
|
|||||
897,750
|
B+/Ba3
|
Foresight Energy LLC, Term Loan, 5.5%, 8/21/20
|
$ 907,850
|
||
733,333
|
NR/NR
|
PT Bumi Resources Tbk, Term Loan, 18.158%, 11/7/14
|
733,333
|
||
$ 1,641,183
|
|||||
Integrated Oil & Gas - 0.2%
|
|||||
620,576
|
BBB/Baa2
|
Glenn Pool Oil & Gas Trust 1, Term Loan, 4.5%, 5/2/16
|
$ 627,558
|
||
Integrated Oil & Gas (continued) - 0.3%
|
|||||
900,000
|
BB-/Ba3
|
ExGen Renewables, LLC, Term Loan, 5.25%, 2/6/21
|
$ 918,000
|
||
Oil & Gas Drilling - 0.7%
|
|||||
992,500
|
B-/B3
|
Offshore Group Investment, Ltd., (Vantage Delaware Holdings LLC), Second Lien Term Loan, 5.75%, 3/28/19
|
$ 1,007,387
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Oil & Gas Drilling (continued)
|
|||||
1,094,500
|
B+/B1
|
Pacific Drilling SA, Term Loan, 4.5%, 6/3/18
|
1,103,530
|
||
$ 2,110,917
|
|||||
Oil & Gas Equipment - 0.3%
|
|||||
930,000
|
B+/B3
|
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20
|
$ 936,198
|
||
Oil & Gas Equipment & Services - 1.1%
|
|||||
1,688,995
|
B-/B2
|
Frac Tech Services International, Inc., Term Loan, 8.5%, 5/6/16
|
$ 1,715,838
|
||
2,462,500(a)
|
B+/Caa1
|
Preferred Proppants LLC, Term Loan B, 11.75%, 12/15/16
|
1,916,645
|
||
$ 3,632,483
|
|||||
Oil & Gas Exploration & Production - 1.7%
|
|||||
1,600,000
|
BB-/Ba3
|
Chesapeake Energy Corp., Term Loan, 5.75%, 12/2/17
|
$ 1,637,000
|
||
1,516,667
|
B+/Ba3
|
EP Energy LLC, Tranche B-3 Term Loan, 3.5%, 5/24/18
|
1,520,616
|
||
899,125
|
BB-/Ba2
|
Fieldwood Energy LLC, Closing Date Term Loan, 3.875%, 9/28/18
|
902,965
|
||
1,600,000
|
B-/B1
|
Samson Investment Co., Tranche 1 Second Lien Term Loan, 5.0%, 9/25/18
|
1,616,400
|
||
$ 5,676,981
|
|||||
Oil & Gas Refining & Marketing - 0.5%
|
|||||
1,693,224
|
BB/Ba2
|
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3.75%, 3/30/18
|
$ 1,703,455
|
||
Total Energy
|
$ 17,246,775
|
||||
FINANCIALS - 0.6%
|
|||||
Other Diversified Financial Services - 0.6%
|
|||||
1,750,000
|
B/B2
|
Springleaf Financial Funding Co., 2019 Term Loan, 4.75%, 9/30/19
|
$ 1,778,437
|
||
Total Financials
|
$ 1,778,437
|
||||
FOOD & STAPLES RETAILING - 0.9%
|
|||||
Food Distributors - 0.8%
|
|||||
2,487,500
|
B/B1
|
Mill US Acquisition First Lien Term Loan, 4.75%, 7/3/20
|
$ 2,508,490
|
||
Food Retail - 0.1%
|
|||||
478,448
|
B/B1
|
Roundy's Supermarkets, Inc., Tranche B Term Loan, 5.75%, 2/13/19
|
$ 478,846
|
||
Total Food & Staples Retailing
|
$ 2,987,336
|
||||
FOOD, BEVERAGE & TOBACCO - 4.4%
|
|||||
Agricultural Products - 0.6%
|
|||||
995,000
|
B/Ba3
|
Arysta LifeScience SPC LLC, Initial First Lien Term Loan, 4.5%, 5/29/20
|
$ 1,003,085
|
||
953,475
|
CCC+/Caa1
|
Arysta LifeScience SPC LLC, Initial Second Lien Term Loan, 8.25%, 11/30/20
|
974,928
|
||
$ 1,978,013
|
|||||
Packaged Foods & Meats - 3.8%
|
|||||
584,100
|
B/B1
|
AdvancePierre Foods, Inc., First Lien Term Loan, 5.75%, 7/10/17
|
$ 587,473
|
||
950,000
|
BB-/B1
|
Aramark Canada Ltd., Extended Canadian Term Loan B, 3.747%, 7/26/16
|
953,083
|
||
1,429,390
|
B/B2
|
Del Monte Corp., Initial Term Loan, 3.5%, 3/9/20
|
1,433,559
|
||
1,641,750
|
BB/Ba2
|
H.J. Heinz Co., Term B-2 Loan, 3.5%, 6/5/20
|
1,656,518
|
||
1,206,660
|
NR/B2
|
Heartshide Food Solutions LLC, Term Loan A, 6.5%, 6/7/18
|
1,212,693
|
||
1,390,880
|
B+/Ba3
|
Michael Foods Group, Inc., Facility Term Loan B, 4.25%, 2/25/18
|
1,396,965
|
||
2,000,000
|
B-/NR
|
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20
|
2,082,500
|
||
2,233,125
|
BB/Ba3
|
Pinnacle Foods Finance LLC, New Term Loan G, 3.25%, 4/29/20
|
2,231,381
|
||
875,000
|
B+/B2
|
Windsor Quality Food Co., Ltd., Term B Loan, 5.0%, 12/26/20
|
878,281
|
||
$ 12,432,453
|
|||||
Total Food, Beverage & Tobacco
|
$ 14,410,466
|
||||
HEALTH CARE - 2.6%
|
|||||
Health Care Equipment - 0.2%
|
|||||
759,000
|
CCC+/Caa2
|
Accellent Inc. (Medical Device/UTI), Second Lien Term Loan, 6.5%, 2/21/22
|
$ 768,488
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Health Care Services - 1.2%
|
|||||
2,875,000
|
B/B2
|
Gentiva Health Services, Inc., Initial Term Loan B, 6.5%, 10/18/19
|
$ 2,907,344
|
||
1,000,000
|
B/Ba3
|
U.S. Renal Care, Inc., Tranche First Lien B-2 Term Loan, 3.25%, 7/3/19
|
1,009,375
|
||
$ 3,916,719
|
|||||
Pharmaceuticals - 1.2%
|
|||||
1,075,000
|
B/B3
|
Patheon, Inc., Term Loan, 3.25%, 1/22/21
|
$ 1,072,984
|
||
1,000,000
|
BB/Ba1
|
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/2/20
|
1,011,458
|
||
987,500
|
BB/Ba1
|
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 3.75%, 12/11/19
|
992,963
|
||
740,625
|
BB/NR
|
Valeant Pharmaceuticals International, Inc., Series D-2 Term Loan B, 3.75%, 2/13/19
|
744,722
|
||
$ 3,822,127
|
|||||
Total Health Care
|
$ 8,507,334
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 11.4%
|
|||||
Health Care Equipment & Services - 0.7%
|
|||||
1,599,704
|
BB/NR
|
Hologic, Inc., Refinancing Tranche B Term Loan, 3.25%, 8/1/19
|
$ 1,603,303
|
||
480,256
|
BB-/Ba3
|
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.0%, 5/4/18
|
482,537
|
||
$ 2,085,840
|
|||||
Health Care Facilities - 4.0%
|
|||||
812,151
|
BB/Ba2
|
CHS/Community Health Systems, Inc., 2021 Term D Loan, 4.25%, 1/27/21
|
$ 820,462
|
||
304,714
|
BB/Ba2
|
CHS/Community Health Systems, Inc., Extended Term Loan, 3.497%, 1/25/17
|
306,808
|
||
2,442,351
|
BB/Ba3
|
HCA, Inc., Tranche B-4 Term Loan, 2.997%, 5/1/18
|
2,440,824
|
||
3,462,794
|
BB/NR
|
HCA, Inc., Tranche B-5 Term Loan, 2.905%, 3/31/17
|
3,461,350
|
||
1,604,914
|
B/Ba3
|
Iasis Healthcare LLC, Term B-2 Loan, 4.5%, 5/3/18
|
1,614,433
|
||
1,090,999
|
B+/Ba3
|
Kindred Healthcare, Inc., Term B-1 Loan, 4.25%, 6/1/18
|
1,099,181
|
||
1,485,028
|
B/B2
|
RCHP, Inc., 2013 First Lien Term Loan, 7.0%, 11/4/18
|
1,459,040
|
||
936,781
|
B+/Ba2
|
Select Medical Corp., Tranche B Term Loan, 4.0%, 6/1/18
|
943,417
|
||
496,250
|
B/B1
|
United Surgical Partners International, Inc., New Tranche B Term Loan, 4.75%, 4/3/19
|
500,748
|
||
434,844
|
BB+/B2
|
Universal Health Services, Inc., Tranche B-1 Term Loan, 2.405%, 11/15/16
|
437,901
|
||
$ 13,084,164
|
|||||
Health Care Services - 4.5%
|
|||||
626,996
|
B+/B2
|
AccentCare, Inc., Term Loan, 6.5%, 12/22/16
|
$ 337,010
|
||
547,250
|
B+/Ba3
|
Alliance Healthcare Services, Inc., Initial Term Loan, 4.25%, 6/3/19
|
547,165
|
||
787,050
|
B+/B1
|
Ardent Medical Services, Inc., First Lien Term Loan, 6.75%, 7/2/18
|
792,953
|
||
875,000
|
NR/NR
|
BSN Medical Luxembourg Holding, S.a.r.l. (P & F Capital), Facility Term Loan B-1A, 4.0%, 8/28/19
|
881,927
|
||
991,493(e)
|
CCC/Caa2
|
CCS Medical, Inc., Second Lien Term Loan, 3.25%, 3/31/16
|
842,769
|
||
1,386,000
|
BB-/Ba2
|
Davita HealthCare Partners, Inc., Term Loan B2, 4.0%, 11/1/19
|
1,392,750
|
||
1,188,315
|
B+/B1
|
Emergency Medical Services Corp., Initial Term Loan, 4.0%, 5/25/18
|
1,193,975
|
||
770,005
|
B-/B2
|
Inventiv Health, Inc., Consolidated Term Loan, 7.5%, 8/4/16
|
772,412
|
||
1,272,500
|
B/B1
|
National Mentor Holdings, Inc., Tranche B Term Loan, 4.75%, 1/31/21
|
1,282,574
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Health Care Services (continued)
|
|||||
399,000
|
B/B2
|
National Surgical Hospitals, Inc., Term Loan, 5.75%, 8/1/19
|
400,496
|
||
1,836,005
|
D/NR
|
Rural/Metro Operating Co., LLC, First Lien Term Loan, 1.0%, 6/30/18
|
1,745,353
|
||
1,243,750
|
B/B2
|
Steward Health Care System LLC, Term Loan, 6.75%, 4/10/20
|
1,242,973
|
||
556,525
|
B/B2
|
Surgery Center Holdings, Inc., First Lien Term Loan, 6.0%, 4/11/19
|
557,916
|
||
750,000
|
CCC+/Caa2
|
Surgery Center Holdings, Inc., Second Lien Term Loan, 9.75%, 4/11/20
|
744,375
|
||
606,912
|
B/B2
|
Valitas Health Services, Inc., Term Loan B, 5.75%, 6/2/17
|
590,980
|
||
2,182,500
|
B+/B1
|
Virtual Radiologic Corp., Term Loan A, 7.75%, 12/22/16
|
1,364,063
|
||
$ 14,689,691
|
|||||
Health Care Supplies - 0.2%
|
|||||
710,014
|
B+/NR
|
Alere, Inc., Term Loan B, 5.5%, 6/30/17
|
$ 715,487
|
||
Health Care Technology - 1.6%
|
|||||
927,198
|
B+/Ba3
|
ConvaTec, Inc., Dollar Term Loan, 4.0%, 12/22/16
|
$ 932,993
|
||
2,102,710
|
BB-/Ba3
|
Emdeon, Inc., Term B-2 Loan, 3.75%, 11/2/18
|
2,111,033
|
||
496,000
|
BB+/Ba3
|
MedAssets, Inc., Term B Loan, 4.0%, 12/13/19
|
498,170
|
||
1,042,249
|
CCC/Caa3
|
Medical Card System, Inc., Term Loan, 0.0%, 9/17/15
|
1,000,559
|
||
738,792
|
NR/Ba3
|
Truven Health Analytics, Inc., Tranche B Term Loan, 4.5%, 6/6/19
|
740,639
|
||
$ 5,283,394
|
|||||
Managed Health Care - 0.4%
|
|||||
666,424
|
B+/B2
|
MMM Holdings, Inc., MMM Term Loan, 9.75%, 12/12/17
|
$ 673,505
|
||
484,672
|
B+/B2
|
MSO of Puerto Rico, Inc., Term Loan, 9.75%, 12/12/17
|
488,307
|
||
$ 1,161,812
|
|||||
Total Health Care Equipment & Services
|
$ 37,020,388
|
||||
HOUSEHOLD & PERSONAL PRODUCTS - 3.3%
|
|||||
Household Products - 1.8%
|
|||||
199,000
|
B+/B1
|
Berlin Packaging LLC, 2013 First Lien Term Loan, 4.75%, 4/2/19
|
$ 200,741
|
||
1,491,761
|
BB/Ba3
|
Spectrum Brands, Inc., Tranche C Term Loan, 5.0%, 9/4/19
|
1,497,755
|
||
1,477,576
|
BB-/B1
|
SRAM LLC, First Lien Term Loan, 5.25%, 4/10/20
|
1,482,501
|
||
414,197
|
B/B1
|
Waddington North America, Inc., Term Loan 2013, 4.5%, 6/7/20
|
416,268
|
||
1,881,477
|
B-/B2
|
Wash MultiFamily Laundry Systems LLC, U.S. Term Loan, 4.5%, 2/21/19
|
1,895,588
|
||
237,909
|
B/B1
|
WNA Holdings, Inc., Term Loan, 4.5%, 6/7/20
|
239,099
|
||
$ 5,731,952
|
|||||
Personal Products - 1.5%
|
|||||
2,094,571
|
BB-/NR
|
NBTY, Inc., B-2 Term Loan, 3.5%, 10/1/17
|
$ 2,104,718
|
||
747,000
|
B/B2
|
Party City Holdings Inc., 2014 Replacement Term Loan, 3.0%, 7/27/19
|
748,867
|
||
2,088,281
|
B+/Ba2
|
Revlon Consumer Products Corp., Replacement Term Loan 2014, 3.25%, 11/19/17
|
2,089,847
|
||
$ 4,943,432
|
|||||
Total Household & Personal Products
|
$ 10,675,384
|
||||
INDUSTRIALS - 2.2%
|
|||||
Building Materials - 0.1%
|
|||||
320,000
|
B/B2
|
Ply Gem Industries, Inc., Term Loan, 4.0%, 2/1/21
|
$ 321,050
|
||
Building Products - 0.5%
|
|||||
498,750
|
B+/B1
|
Quikrete Holdings, Inc., Initial First Lien Loan, 4.0%, 9/26/20
|
$ 501,999
|
||
1,000,000
|
B-/B3
|
Quikrete Holdings, Inc., Initial Second Lien Loan, 7.0%, 3/26/21
|
1,029,063
|
||
$ 1,531,062
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Construction & Farm Machinery & Heavy Trucks - 0.3%
|
|||||
860,247
|
BB+/Ba1
|
Terex Corp., 2013 New U.S. Term Loan, 3.5%, 4/28/17
|
$ 867,236
|
||
Diversified Support Services - 0.1%
|
|||||
300,000
|
B-/Ba3
|
TMS International Corp., Term B Loan, 4.5%, 10/16/20
|
$ 303,187
|
||
Environmental & Facilities Services - 0.2%
|
|||||
598,489
|
B+/B1
|
ADS Waste Holdings, Inc., Tranche B Term Loan, 3.75%, 10/9/19
|
$ 599,985
|
||
Industrial Machinery - 0.5%
|
|||||
1,500,000
|
B/B1
|
Gardner Denver, Inc., Initial Dollar Term Loan, 3.25%, 7/30/20
|
$ 1,496,676
|
||
Security & Alarm Services - 0.1%
|
|||||
100,581
|
B+/Ba3
|
Garda Security, Term B Delayed Draw Loan, 4.0%, 11/6/20
|
$ 101,021
|
||
393,181
|
B+/Ba3
|
Garda Security, Term B Loan, 4.0%, 11/6/20
|
394,902
|
||
$ 495,923
|
|||||
Trucking - 0.4%
|
|||||
800,000
|
B/Ba3
|
Syncreon Global Finance, Inc., Term Loan, 5.25%, 10/28/20
|
$ 806,000
|
||
650,000
|
CCC+/Ba3
|
YRC Worldwide Inc., Initial Term Loan, 7.0%, 2/13/19
|
654,063
|
||
$ 1,460,063
|
|||||
Total Industrials
|
$ 7,075,182
|
||||
INSURANCE - 2.6%
|
|||||
Insurance Brokers - 0.3%
|
|||||
990,004
|
B/B1
|
AmWins Group LLC, Term Loan, 5.0%, 9/6/19
|
$ 998,821
|
||
Life & Health Insurance - 0.3%
|
|||||
927,198
|
BB/Ba3
|
CNO Financial Group, Inc., Tranche B-2 Term Loan, 3.75%, 9/28/18
|
$ 930,096
|
||
Multi-Line Insurance - 0.7%
|
|||||
1,245,000
|
B/B1
|
Alliant Holdings I LLC, Initial Term Loan, 4.25%, 12/20/19
|
$ 1,251,419
|
||
1,000,000
|
B/B1
|
Hyperion Finance S.a.r.l., Term Loan, 5.75%, 10/17/19
|
998,750
|
||
$ 2,250,169
|
|||||
Property & Casualty Insurance - 1.3%
|
|||||
2,449,097
|
B-/B2
|
Confie Seguros Holding II Co., First Lien Term Loan B, 5.75%, 11/9/18
|
$ 2,452,159
|
||
1,955,287
|
NR/B1
|
USI, Inc., 2013 Initial Term Loan, 4.25%, 12/27/19
|
1,965,063
|
||
$ 4,417,222
|
|||||
Total Insurance
|
$ 8,596,308
|
||||
MATERIALS - 10.5%
|
|||||
Aluminum - 1.7%
|
|||||
1,360,763
|
B/B1
|
Noranda Aluminum Acquisition Corp., Term Loan B, 5.75%, 2/28/19
|
$ 1,302,080
|
||
2,182,544
|
BB-/Ba2
|
Novelis, Inc., Initial Term Loan, 3.75%, 3/10/17
|
2,196,576
|
||
1,900,000
|
B/B2
|
Turbocombustor Technology, Inc., Initial Term Loan, 5.5%, 12/2/20
|
1,902,384
|
||
$ 5,401,040
|
|||||
Commodity Chemicals - 0.6%
|
|||||
1,179,090
|
BB-/B1
|
Taminco Global Chemical Corp., Initial Tranche B-3 Dollar Term Loan, 3.25%, 2/15/19
|
$ 1,182,529
|
||
821,301
|
BBB-/Ba2
|
Tronox Pigments (Netherlands) B.V., Closing Date Term Loan, 4.5%, 3/19/20
|
825,408
|
||
$ 2,007,937
|
|||||
Diversified Chemicals - 1.9%
|
|||||
2,495,578
|
BB-/Ba3
|
Axalta Coating Systems Dutch Holding B B.V. & Axalta Coating Systems U.S. Holdings, Inc., Refinanced Term B Loan, 4.0%, 2/1/20
|
$ 2,514,489
|
||
643,176
|
BBB-/Ba1
|
Eagle Spinco, Inc., Term Loan, 3.5%, 1/28/17
|
648,000
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Diversified Chemicals (continued)
|
|||||
1,847,750
|
B+/B2
|
Nexeo Solutions LLC, Initial Term Loan, 5.0%, 9/8/17
|
1,845,440
|
||
1,339,485
|
B+/B2
|
Univar, Inc., Term Loan B, 5.0%, 6/30/17
|
1,333,066
|
||
$ 6,340,995
|
|||||
Diversified Metals & Mining - 1.5%
|
|||||
2,963,813
|
BBB-/Baa3
|
FMG Resources (August 2006) Pty, Ltd. (FMG America Finance, Inc.), Term Loan, 4.25%, 6/28/19
|
$ 2,997,156
|
||
121,336
|
BB+/Ba1
|
SunCoke Energy, Inc., Tranche B Term Loan, 4.0%, 7/26/18
|
121,639
|
||
1,023,855
|
BB-/NR
|
U.S. Silica Co., Term Loan, 4.0%, 7/23/20
|
1,030,254
|
||
877,527
|
B/B3
|
Walter Energy, Inc., Term Loan B, 6.75%, 4/2/18
|
863,450
|
||
$ 5,012,499
|
|||||
Metal & Glass Containers - 1.2%
|
|||||
2,194,938
|
B/B1
|
BWAY Holding Co., Initial Term Loan, 4.5%, 8/6/17
|
$ 2,211,058
|
||
1,543,268
|
B/B1
|
Tank Holding Corp., Initial Term Loan, 4.25%, 7/9/19
|
1,544,425
|
||
$ 3,755,483
|
|||||
Paper Packaging - 0.4%
|
|||||
165,000
|
B+/B2
|
Caraustar Industries, Inc., Term Loan, 7.5%, 5/1/19
|
$ 168,953
|
||
1,175,407
|
BB+/Ba1
|
Sealed Air Corp., Replacement Term Loan, 3.0%, 10/3/18
|
1,183,856
|
||
$ 1,352,809
|
|||||
Paper Products - 1.4%
|
|||||
3,482,500
|
B+/Ba2
|
Appvion, Inc., Term Commitment, 5.75%, 6/28/19
|
$ 3,518,049
|
||
605,000
|
B/B1
|
Exopack Holdings SA, USD Term Loan, 5.25%, 5/8/19
|
614,579
|
||
287,168
|
BB-/Ba3
|
Ranpak Corp., USD First Lien Term Loan, 4.5%, 4/23/19
|
289,501
|
||
$ 4,422,129
|
|||||
Specialty Chemicals - 1.4%
|
|||||
1,815,636
|
BB+/Ba1
|
Chemtura Corp., New Term Loan, 3.5%, 8/29/16
|
$ 1,830,388
|
||
153,156
|
BB+/Ba2
|
Huntsman International LLC, Extended Term B Loan, 2.699%, 4/19/17
|
153,730
|
||
1,980,000
|
B+/B2
|
PQ Corp. Term Loan, 4.5%, 8/7/17
|
1,992,375
|
||
612,323
|
BBB-/Ba2
|
W.R. Grace & Co., U.S. Term Loan, 2.25%, 2/3/21
|
612,897
|
||
$ 4,589,390
|
|||||
Steel - 0.4%
|
|||||
493,750
|
B/B1
|
Essar Steel Algoma, Inc., Term Loan, 9.25%, 9/19/14
|
$ 496,990
|
||
882,880
|
BB-/B2
|
JMC Steel Group, Inc., Term Loan, 4.75%, 4/1/17
|
886,007
|
||
$ 1,382,997
|
|||||
Total Materials
|
$ 34,265,279
|
||||
MEDIA - 16.8%
|
|||||
Advertising - 2.7%
|
|||||
1,392,449
|
B+/B1
|
Acosta, Inc., 2013 Term Loan B, 5.5%, 3/3/18
|
$ 1,402,458
|
||
1,797,843
|
B+/Ba3
|
Advantage Sales & Marketing, Inc., First Lien Term Loan, 4.25%, 12/18/17
|
1,809,754
|
||
3,120,216
|
B-/B1
|
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 10/9/16
|
3,090,405
|
||
2,029,500
|
B/B1
|
Crossmark Holdings, Inc., First Lien Term Loan, 4.5%, 12/20/19
|
2,024,426
|
||
401,255
|
B/B1
|
Getty Images, Inc., New Initial Term Loan, 4.75%, 10/18/19
|
383,651
|
||
$ 8,710,694
|
|||||
Broadcasting - 5.0%
|
|||||
414,700
|
BB+/Ba1
|
CBS Outdoor Americas Capital LLC (CBS Outdoor Americas Capital Corp.), Term Loan, 3.0%, 2/1/21
|
$ 414,570
|
||
326,256
|
BB-/Ba3
|
Entercom Radio LLC, Term B-2 Loan, 4.0%, 11/23/18
|
329,519
|
||
193,008
|
B+/NR
|
Hubbard Radio LLC, First LienTerm Loan, 4.5%, 4/29/19
|
194,215
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Broadcasting (continued)
|
|||||
1,910,400
|
BB/Ba3
|
MCC Iowa LLC, Tranche H Term Loan, 3.25%, 1/29/21
|
1,899,631
|
||
2,135,750
|
NR/B2
|
NEP/NCP Holdco, Inc., Incremental First Lien Term Loan, 4.25%, 1/22/20
|
2,146,429
|
||
922,292
|
B/B2
|
Salem Communications Corp., Term Loan, 4.5%, 3/13/20
|
929,209
|
||
1,033,787
|
BB+/Ba1
|
Sinclair Television Group, Inc., Tranche B Term Loan, 3.0%, 4/9/20
|
1,032,618
|
||
1,761,425
|
B+/Ba3
|
TWCC Holding Corp., Term Loan, 3.5%, 2/13/17
|
1,714,747
|
||
7,710,027
|
B+/B2
|
Univision Communications Inc., First-Lien Term Loan, 4.0%, 3/1/20
|
7,739,742
|
||
$ 16,400,680
|
|||||
Cable & Satellite - 5.9%
|
|||||
6,970,775
|
BB-/Ba2
|
Cequel Communications LLC, Term Loan, 3.5%, 2/14/19
|
$ 6,981,643
|
||
2,034,775
|
BB+/Baa3
|
Charter Communications Operating LLC, Term F Loan, 3.0%, 12/31/20
|
2,027,674
|
||
1,728,125
|
BB/Ba3
|
MCC Iowa LLC, Tranche G Term Loan, 4.0%, 1/20/20
|
1,734,605
|
||
3,450,139
|
BB-/Ba3
|
Telesat Canada, U.S. Term B-2 Loan, 3.5%, 3/28/19
|
3,464,354
|
||
GBP
|
400,000
|
BB-/Ba3
|
Virgin Media Investment Holdings, Ltd., GBP Term Loan C, 4.5%, 6/8/20
|
676,205
|
|
1,660,000
|
BB-/Ba3
|
Virgin Media Investment Holdings, Ltd., New Term Loan B, 3.5%, 6/8/20
|
1,660,000
|
||
2,771,948
|
B/B1
|
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/1/19
|
2,791,873
|
||
$ 19,336,354
|
|||||
Movies & Entertainment - 2.3%
|
|||||
1,178,691
|
BB-/Ba2
|
AMC Entertainment, Inc. Initial Term Loan, 3.5%, 4/30/20
|
$ 1,182,096
|
||
1,243,750
|
B+/B1
|
Aufinco Pty, Ltd./ U.S. Finco LLC (Hoyts Group), Term Loan B, 4.0%, 5/29/20
|
1,248,414
|
||
785,829
|
NR/Baa3
|
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18
|
788,776
|
||
1,000,000
|
NR/NR
|
Deluxe Entertainment Services Group Inc., Initial Term Loan, 5.5%, 2/28/20
|
1,004,585
|
||
1,094,500
|
BB+/Ba1
|
Seminole Hard Rock Entertainment, Inc., Term Loan B, 3.5%, 5/14/20
|
1,096,552
|
||
2,057,344
|
BB-/Ba3
|
WMG Acquisitions Corp., Tranche B Refinancing Term Loan, 3.75%, 7/1/20
|
2,058,951
|
||
$ 7,379,374
|
|||||
Publishing - 0.9%
|
|||||
966,667(a)
|
D/NR
|
Cengage Learning Acquisitions, Inc., Term Loan, 4.75%, 7/3/14
|
$ 900,208
|
||
1,604,735
|
BB-/Ba3
|
Interactive Data Corp., Refinanced Term Loan, 3.75%, 2/11/18
|
1,610,753
|
||
471,985
|
BB-/Ba3
|
MTL Publishing LLC, Term Loan B, 4.25%, 6/29/18
|
474,345
|
||
$ 2,985,306
|
|||||
Total Media
|
$ 54,812,408
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.1%
|
|||||
Biotechnology - 0.3%
|
|||||
930,787
|
BB+/Ba3
|
Alkermes, Inc., 2019 Term Loan, 3.5%, 9/25/19
|
$ 933,114
|
||
Pharmaceuticals - 0.8%
|
|||||
3,173,241(e)
|
NR/NR
|
Graceway Pharmaceuticals LLC, Mezzanine Term Loan, 0.0%, 12/31/13
|
$ 8,926
|
||
497,500
|
B+/B1
|
Harvard Drug Group, LLC Term Loan, 5.0%, 8/16/20
|
501,231
|
||
672,579
|
B+/B2
|
Medpace Intermediateco, Inc., Term Loan B, 5.25%, 6/19/17
|
674,260
|
||
1,481,288
|
B/B1
|
Par Pharmaceutical, Inc., Term B-2 Loan, 4.0%, 9/30/19
|
1,485,455
|
||
$ 2,669,872
|
|||||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 3,602,986
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
REAL ESTATE - 1.1%
|
|||||
Diversified Real Estate Activities - 0.1%
|
|||||
496,250
|
BB/Ba1
|
CBRE Services, Inc., Tranche B Term Loan, 2.909%, 3/28/21
|
$ 498,318
|
||
Real Estate Services - 1.0%
|
|||||
1,634,151
|
NR/B1
|
Altisource Solutions, S.a.r.l, Term Loan B, 4.5%, 12/9/20
|
$ 1,642,322
|
||
1,525,008
|
B/B1
|
GCA Services Group, Inc., First Lien Term Loan, 5.5%, 11/1/19
|
1,537,876
|
||
$ 3,180,198
|
|||||
Total Real Estate
|
$ 3,678,516
|
||||
RETAILING - 3.2%
|
|||||
Apparel Retail - 0.7%
|
|||||
2,344,824
|
B-/B3
|
Gymboree Corp., Term Loan, 5.0%, 2/23/18
|
$ 2,144,677
|
||
Automotive Retail - 0.5%
|
|||||
718,193
|
BB/Ba1
|
Avis Budget Car Rental LLC, Tranche B Term Loan, 3.0%, 3/15/19
|
$ 719,809
|
||
990,000
|
BB/Ba1
|
Hertz Corp., Tranche B-1 Term Loan, 3.75%, 3/11/18
|
993,632
|
||
$ 1,713,441
|
|||||
Computer & Electronics Retail - 0.5%
|
|||||
1,789,744
|
B/B2
|
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16
|
$ 1,610,770
|
||
Department Stores - 0.2%
|
|||||
625,000
|
B/B1
|
Leonardo Acquisition Corp. (1-800 Contacts), First Lien Term Loan, 3.25%, 1/31/21
|
$ 627,995
|
||
Distributors - 0.5%
|
|||||
1,658,288
|
B+/B2
|
Spin Holdco, Inc., Initial First Lien Term Loan, 4.25%, 11/14/19
|
$ 1,665,887
|
||
Home Improvement Retail - 0.8%
|
|||||
744,375
|
B/B2
|
Apex Tool Group LLC, Term Loan, 4.5%, 1/31/20
|
$ 738,234
|
||
1,857,282
|
B/Ba3
|
Hillman Group, Inc., Term Loan, 3.75%, 5/28/17
|
1,870,437
|
||
$ 2,608,671
|
|||||
Total Retailing
|
$ 10,371,441
|
||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.3%
|
|||||
Semiconductor Equipment - 0.7%
|
|||||
1,831,196
|
BB-/B1
|
Aeroflex, Inc., Tranche B-1 Term Loan, 4.5%, 11/9/19
|
$ 1,846,441
|
||
510,425
|
BBB-/Baa3
|
Sensata Technology BV/Sensata Technology Finance Co., LLC, Term Loan, 3.25%, 5/12/19
|
514,371
|
||
$ 2,360,812
|
|||||
Semiconductors - 0.6%
|
|||||
1,858,657
|
BB+/Ba2
|
Microsemi Corp., Term Loan B, 3.75%, 2/19/20
|
$ 1,865,917
|
||
Total Semiconductors & Semiconductor Equipment
|
$ 4,226,729
|
||||
SOFTWARE & SERVICES - 8.9%
|
|||||
Application Software - 4.5%
|
|||||
1,038,031
|
B+/B1
|
Applied Systems, Inc., First Lien Term Loan, 5.5%, 1/25/21
|
$ 1,046,335
|
||
997,500
|
BB-/B1
|
Epiq Systems, Inc., Term Loan, 4.75%, 8/27/20
|
1,003,734
|
||
3,297,353
|
B-/Ba3
|
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18
|
3,284,988
|
||
1,084,740
|
B+/Ba3
|
Infor (U.S.), Inc., Tranche B-5 Term Loan, 3.75%, 6/3/20
|
1,085,418
|
||
1,538,287
|
BB+/NR
|
Nuance Communications, Inc., Term Loan C, 2.91%, 8/7/19
|
1,529,442
|
||
1,509,527
|
B+/B1
|
Serena Software, Inc., Extended 2016 Term Loan, 4.156%, 3/10/16
|
1,497,262
|
||
2,379,591
|
BB-/B1
|
Verint Systems, Inc., Term Loan, 4.0%, 9/6/19
|
2,388,514
|
||
1,000,000
|
CCC+/Caa1
|
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
|
1,018,438
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Application Software (continued)
|
|||||
1,857,920
|
B+/B1
|
Vertafore, Inc., Term Loan, 4.25%, 10/3/19
|
1,870,114
|
||
$ 14,724,245
|
|||||
Data Processing & Outsourced Services - 1.1%
|
|||||
1,000,000
|
B+/NR
|
First Data Corp., 2018 B Term Loan, 4.156%, 9/24/18
|
$ 1,004,271
|
||
802,493
|
B+/B1
|
First Data Corp., 2018 Dollar Term Loan, 4.156%, 3/23/18
|
805,932
|
||
1,856,297
|
BB+/Ba1
|
Genpact, Ltd., Term Loan, 3.5%, 8/30/19
|
1,863,249
|
||
$ 3,673,452
|
|||||
Date Processing & Outsourced Services - 0.0%†
|
|||||
60,879
|
B/B3
|
First Data Corp., 2021 New Dollar Term Loan, 4.156%, 3/24/21
|
$ 61,018
|
||
Internet Software & Services - 0.2%
|
|||||
389,000
|
BB+/Ba3
|
Autotrader.com, Inc., Tranche B-1 Term Loan, 4.0%, 12/15/16
|
$ 390,945
|
||
250,000
|
B-/Ba2
|
DealerTrack Technologies, Inc., Term Loan, 2.75%, 2/28/21
|
252,187
|
||
$ 643,132
|
|||||
IT Consulting & Other Services - 2.0%
|
|||||
1,975,000
|
BBB-/Baa3
|
Booz Allen Hamilton, Inc., Initial Tranche B Term Loan, 3.75%, 7/31/19
|
$ 1,986,728
|
||
1,436,495
|
B/B1
|
Deltek, Inc., First Lien Term Loan, 4.5%, 10/10/18
|
1,443,678
|
||
491,174
|
B-/B1
|
Kronos, Inc., First Lien Incremental Term Loan, 4.5%, 10/30/19
|
494,857
|
||
747,000
|
B+/B1
|
Safenet, Inc., First Lien Term Loan, 4.5%, 2/28/20
|
743,265
|
||
1,800,140
|
BB/Ba3
|
SunGuard Data Systems, Inc., Tranche C Term Loan, 3.908%, 2/28/17
|
1,810,535
|
||
$ 6,479,063
|
|||||
Systems Software - 1.1%
|
|||||
830,554
|
BBB-/Ba2
|
Dealer Computer Services, Inc., Tranche B Term Loan, 2.155%, 4/21/16
|
$ 833,841
|
||
1,980,693
|
BB/Ba2
|
Rovi Solutions Corp., Tranche B-3 Term Loan, 3.5%, 3/29/19
|
1,976,979
|
||
698,618
|
B+/B1
|
Stoneriver Group, LP, Initial First Lien Term Loan, 4.5%, 11/30/19
|
699,491
|
||
$ 3,510,311
|
|||||
Total Software & Services
|
$ 29,091,221
|
||||
TECHNOLOGY HARDWARE & EQUIPMENT - 2.1%
|
|||||
Communications Equipment - 0.7%
|
|||||
695,000
|
B+/B1
|
Audio Visual Services Group, Inc., First Lien Term Loan, 4.5%, 1/25/21
|
$ 700,212
|
||
941,756
|
B-/B1
|
Avaya, Inc., Replacement Term B-6 Loan, 6.5%, 3/31/18
|
940,775
|
||
348,246
|
BB+/Ba2
|
CommScope, Inc., Tranche 3 Term Loan, 2.733%, 1/21/17
|
349,551
|
||
522,368
|
BB+/Ba2
|
CommScope, Inc., Tranche 4 Term Loan, 3.25%, 1/14/18
|
525,307
|
||
$ 2,515,845
|
|||||
Electronic Components - 0.9%
|
|||||
1,303,450
|
B+/B2
|
Generac Power Systems, Inc., Term Loan, 3.5%, 5/29/20
|
$ 1,307,794
|
||
1,578,455
|
B/B2
|
Scitor Corp., Term Loan, 5.0%, 2/15/17
|
1,555,753
|
||
$ 2,863,547
|
|||||
Electronic Equipment & Instruments - 0.3%
|
|||||
982,330
|
B+/Ba3
|
Sensus USA, Inc., Term Loan, 4.75%, 5/9/17
|
$ 988,317
|
||
Electronic Manufacturing Services - 0.2%
|
|||||
571,600
|
B+/B2
|
Clover Technologies Group LLC, (Clover Holdings, Inc.), Term Loan, 7.75%, 5/7/18
|
$ 571,600
|
||
Total Technology Hardware & Equipment
|
$ 6,939,309
|
||||
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
TELECOMMUNICATION SERVICES - 2.1%
|
|||||
Integrated Telecommunication Services - 1.5%
|
|||||
865,650
|
BB+/Baa3
|
TW Telecom Holdings, Inc., (fka Time Warner Telecom Holdings, Inc.), Term Loan B Loan, 2.66%, 4/17/20
|
$ 867,994
|
||
1,600,092
|
BB/Ba3
|
West Corp., Term B-10 Loan, 3.25%, 6/30/18
|
1,596,341
|
||
1,108,083
|
BB/Ba3
|
West Corp., Term B-9 Loan, 2.75%, 7/15/16
|
1,111,540
|
||
1,237,500
|
BB+/Baa3
|
Windstream Corp., Tranche B-4 Term Loan, 3.5%, 1/23/20
|
1,240,208
|
||
$ 4,816,083
|
|||||
Wireless Telecommunication Services - 0.6%
|
|||||
1,895,657
|
BB-/B1
|
Syniverse Holdings, Inc., Initial Term Loan, 4.0%, 4/23/19
|
$ 1,906,320
|
||
Total Telecommunication Services
|
$ 6,722,403
|
||||
TELECOMMUNICATIONS SERVICES - 1.0%
|
|||||
Integrated Telecommunication Services - 0.6%
|
|||||
1,871,563
|
B/B2
|
Securus Technologies Holdings, Inc., Initial First Lien Term Loan, 4.75%, 4/30/20
|
$ 1,869,691
|
||
Wireless Telecommunication Services - 0.4%
|
|||||
1,445,644
|
BBB-/Ba2
|
Crown Castle Operating Co., Extended Incremental Tranche B-2 Term Loan, 3.25%, 1/31/21
|
$ 1,448,716
|
||
Total Telecommunications Services
|
$ 3,318,407
|
||||
TRANSPORTATION - 6.5%
|
|||||
Air Freight & Logistics - 1.8%
|
|||||
1,495,220
|
B/B2
|
Air Medical Group Holdings, Inc., Term Loan B-1, 5.0%, 6/30/18
|
$ 1,507,368
|
||
300,000
|
B/B1
|
Ceva Group Plc, Dollar Tranche B Pre-Funded L/C, 0.147%, 8/31/16
|
299,625
|
||
1,200,000
|
CCC+/B1
|
Ceva Group Plc, Tranche B Term Loan, 5.236%, 8/31/16
|
1,199,628
|
||
1,752,300
|
NR/B1
|
Mirror Bidco Corp., New Incremental Term Loan, 4.25%, 12/28/19
|
1,762,888
|
||
1,059,675
|
B-/B2
|
Ozburn-Hessey Holding Co., LLC, Term Loan, 6.75%, 5/23/19
|
1,070,934
|
||
$ 5,840,443
|
|||||
Airlines - 3.2%
|
|||||
826,625
|
BB-/Ba3
|
Allegiant Travel Co., Term Loan, 5.75%, 3/10/17
|
$ 830,758
|
||
2,985,000
|
NR/Ba2
|
American Airlines, Inc., Class B Term Loan, 3.75%, 6/27/19
|
2,998,059
|
||
248,125
|
BB-/Ba2
|
Continental Airlines, Inc., (United Air Lines, Inc.), Class B Term Loan, 4.0%, 4/1/19
|
250,064
|
||
1,485,000
|
BB/Ba1
|
Delta Air Lines, Inc., 2014 Term B-1 Loan, 3.5%, 10/18/18
|
1,491,365
|
||
1,316,250
|
BB/Ba1
|
Delta Air Lines, Inc., Term Loan, 3.5%, 4/20/17
|
1,325,162
|
||
1,293,750
|
BB-/Ba2
|
U.S. Airways, Inc., Tranche B-1 Term Loan, 3.5%, 5/23/19
|
1,297,253
|
||
2,156,250
|
BB-/Ba2
|
U.S. Airways, Inc., Tranche B-2 Term Loan, 3.0%, 11/23/16
|
2,163,797
|
||
$ 10,356,458
|
|||||
Leisure Products - 0.1%
|
|||||
455,000
|
B/B2
|
Marine Acquisition Corp., Term Loan, 6.5%, 1/30/21
|
$ 458,412
|
||
Marine - 0.3%
|
|||||
992,500
|
CCC/B3
|
Commercial Barge Line Co., Initial First Lien Term Loan, 7.5%, 9/22/19
|
$ 993,741
|
||
Marine Ports & Services - 0.4%
|
|||||
1,144,250
|
B/B3
|
Lineage Logistics LLC, Term Loan, 4.5%, 4/26/19
|
$ 1,145,680
|
||
Trucking - 0.7%
|
|||||
1,000,000
|
B/B1
|
Aegis Toxicology Sciences Corp. Initial First Lien Term Loan, 4.5%, 2/24/21
|
$ 1,005,000
|
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Trucking (continued)
|
|||||
1,216,617
|
NR/Ba2
|
Swift Transportation Co., LLC, Tranche B-2 Term Loan, 4.0%, 12/21/17
|
1,229,088
|
||
$ 2,234,088
|
|||||
Total Transportation
|
$ 21,028,822
|
||||
UTILITIES - 3.9%
|
|||||
Electric Utilities - 1.4%
|
|||||
2,238,750
|
BB/Ba3
|
Calpine Construction Finance Company, LP, Term B-1 Loan, 3.0%, 5/3/20
|
$ 2,216,363
|
||
1,250,000
|
BB-/B1
|
Raven Power Finance, Term Advance Loan, 5.25%, 12/19/20
|
1,263,281
|
||
1,189,756
|
BB-/Ba3
|
Star West Generation LLC, Term B Advance, 4.25%, 3/13/20
|
1,195,705
|
||
$ 4,675,349
|
|||||
Independent Power Producers & Energy Traders - 2.2%
|
|||||
1,243,470
|
BB+/Ba1
|
AES Corp., Initial Term Loan, 3.75%, 6/1/18
|
$ 1,251,588
|
||
1,677,563
|
BB-/B1
|
Calpine Corp., Term Loan, 4.0%, 4/1/18
|
1,687,524
|
||
493,750
|
BB-/B1
|
Calpine Corp., Term Loan, 4.0%, 10/9/19
|
496,682
|
||
1,071,538
|
BB-/B1
|
Dynegy, Inc., Tranche B-2 Term Loan, 4.0%, 4/23/20
|
1,078,140
|
||
1,235,613
|
BB+/Baa3
|
NRG Energy, Inc., 2013 Term Loan, 2.75%, 7/1/18
|
1,228,855
|
||
1,496,250
|
B+/B3
|
Synagro Technologies, Term Loan, 6.25%, 8/22/20
|
1,498,120
|
||
$ 7,240,909
|
|||||
Water Utilities - 0.3%
|
|||||
866,667
|
B+/NR
|
WTG Holdings III Corp., First Lien Term Loan, 4.75%, 1/15/21
|
$ 873,167
|
||
Total Utilities
|
$ 12,789,425
|
||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
|
|||||
(Cost $440,304,521)
|
$ 432,617,925
|
||||
CLAIMS - 0.0% of Net Assets
|
|||||
TRANSPORTATION - 0.0%
|
|||||
Airlines - 0.0%
|
|||||
1,200,000(f)(g)
|
NR/NR
|
Northwest Airlines, Inc., ALPA Claim-Escrow, 0.0%
|
$ –
|
||
2,500,000(f)(g)
|
NR/NR
|
Northwest Airlines, Inc., Bell Atlantic Claim-Escrow, 0.0%
|
–
|
||
2,500,000(f)(g)
|
NR/NR
|
Northwest Airlines, Inc., EDC Claim-Escrow, 0.0%
|
–
|
||
2,130,600(f)(g)
|
NR/NR
|
Northwest Airlines, Inc., Flight Attendant Claim-Escrow, 0.0%
|
–
|
||
1,500,000(f)(g)
|
NR/NR
|
Northwest Airlines, Inc., GE Claim-Escrow, 0.0%
|
–
|
||
1,264,500(f)(g)
|
NR/NR
|
Northwest Airlines, Inc., IAM Claim-Escrow, 0.0%
|
–
|
||
1,404,900(f)(g)
|
NR/NR
|
Northwest Airlines, Inc., Retiree Claim-Escrow, 0.0%
|
–
|
||
Total Transportation
|
$ –
|
||||
TOTAL CLAIMS
|
|||||
(Cost $0)
|
$ –
|
||||
CORPORATE BONDS & NOTES - 2.9% of Net Assets
|
|||||
CAPITAL GOODS - 0.6%
|
|||||
Aerospace & Defense - 0.6%
|
|||||
1,850,000
|
BB-/Ba3
|
Spirit AeroSystems, Inc., 7.5%, 10/1/17
|
$ 1,926,313
|
||
Total Capital Goods
|
$ 1,926,313
|
||||
DIVERSIFIED FINANCIALS - 0.2%
|
|||||
Consumer Finance - 0.1%
|
|||||
200,000
|
BBB/Baa1
|
Capital One Financial Corp., 7.375%, 5/23/14
|
$ 203,022
|
||
Principal
Amount
USD ($)
|
S&P/Moody's
Ratings
|
Value
|
|||
Other Diversified Financial Services - 0.1%
|
|||||
500,000(c)
|
BBB-/NR
|
Vita Capital V, Ltd., 2.738%, 1/15/17 (144A)
|
$ 508,550
|
||
Total Diversified Financials
|
$ 711,572
|
||||
ENERGY - 0.9%
|
|||||
Oil & Gas Drilling - 0.1%
|
|||||
250,000
|
B-/B3
|
Offshore Group Investment, Ltd., 7.5%, 11/1/19
|
$ 269,375
|
||
Oil & Gas Exploration & Production - 0.8%
|
|||||
2,490,000
|
BB/B1
|
Denbury Resources, Inc., 8.25%, 2/15/20
|
$ 2,723,437
|
||
Total Energy
|
$ 2,992,812
|
||||
HEALTH CARE EQUIPMENT & SERVICES - 0.3%
|
|||||
Health Care Equipment & Services - 0.3%
|
|||||
903,000
|
B+/B2
|
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)
|
$ 1,011,360
|
||
Health Care Supplies - 0.0%†
|
|||||
6,487,382(b)
|
NR/NR
|
Azithromycin Royalty Sub LLC, 16.0%, 5/15/19
|
$ 8,109
|
||
Total Health Care Equipment & Services
|
$ 1,019,469
|
||||
INSURANCE - 0.6%
|
|||||
Reinsurance - 0.6%
|
|||||
250,000(c)
|
BB-/NR
|
Atlas Reinsurance VII, Ltd., 8.117%, 1/7/16 (144A)
|
$ 262,475
|
||
500,000(c)
|
NR/Baa1
|
Combine Re, Ltd., 4.535%, 1/7/15 (144A)
|
508,400
|
||
250,000(c)
|
BB/NR
|
East Lane Re V, Ltd., 9.035%, 3/16/16 (144A)
|
269,975
|
||
250,000(c)
|
BB/NR
|
Mystic Re, Ltd., 9.035%, 3/12/15 (144A)
|
261,775
|
||
250,000(c)
|
B+/NR
|
Mythen Re, Ltd. Series 2012-2 Class A, 8.549%, 1/5/17 (144A)
|
266,750
|
||
250,000(c)
|
B/NR
|
Queen Street VII Re, Ltd., 8.635%, 4/8/16 (144A)
|
262,650
|
||
Total Insurance
|
$ 1,832,025
|
||||
MATERIALS - 0.3%
|
|||||
Diversified Metals & Mining - 0.3%
|
|||||
1,050,000
|
CCC+/B3
|
Molycorp, Inc., 10.0%, 6/1/20
|
$ 1,050,000
|
||
Total Materials
|
$ 1,050,000
|
||||
TELECOMMUNICATION SERVICES - 0.0%†
|
|||||
Integrated Telecommunication Services - 0.0%†
|
|||||
6,000
|
BB-/Ba2
|
Frontier Communications Corp., 8.25%, 5/1/14
|
$ 6,060
|
||
Total Telecommunication Services
|
$ 6,060
|
||||
TOTAL CORPORATE BONDS & NOTES
|
|||||
(Cost $15,435,755)
|
$ 9,538,251
|
||||
Shares
|
Value
|
||||
COMMON STOCKS - 6.6% of Net Assets
|
|||||
AUTOMOBILES & COMPONENTS - 2.3%
|
|||||
Auto Parts & Equipment - 2.3%
|
|||||
115,239
|
Delphi Automotive Plc
|
$ 7,671,460
|
|||
Total Automobiles & Components
|
$ 7,671,460
|
||||
CONSUMER DISCRETIONARY - 3.9%
|
|||||
Broadcasting - 3.9%
|
|||||
664,861(h)
|
Media General, Inc.
|
$ 12,612,413
|
|||
Total Consumer Discretionary
|
$ 12,612,413
|
||||
MEDIA - 0.2%
|
|||||
Publishing - 0.2%
|
|||||
EUR
|
266,510(h)
|
Solocal Group
|
$ 541,406
|
||
Total Media
|
$ 541,406
|
||||
Shares
|
Value
|
||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.0%†
|
|||||
Biotechnology - 0.0%†
|
|||||
2,454(h)
|
Progenics Pharmaceuticals, Inc.
|
$ 11,460
|
|||
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$ 11,460
|
||||
RETAILING - 0.0%
|
|||||
Apparel Retail - 0.0%
|
|||||
569(g)(h)
|
Johnny Appleseed's, Inc.
|
$ –
|
|||
Total Retailing
|
$ –
|
||||
TRANSPORTATION - 0.2%
|
|||||
Air Frieght & Logistics - 0.2%
|
|||||
–
|
710(h)
|
CEVA Holdings LLC
|
$ 727,535
|
||
Total Transportation
|
$ 727,535
|
||||
UTILITIES - 0.0%†
|
|||||
Independent Power Producers & Energy Traders - 0.0%†
|
|||||
775
|
NRG Energy, Inc.
|
$ 22,530
|
|||
Total Utilities
|
$ 22,530
|
||||
TOTAL COMMON STOCKS
|
|||||
(Cost $5,660,169)
|
$ 21,586,804
|
||||
LIQUIDATING TRUSTS - 0.0% of Net Assets
|
|||||
CONSUMER SERVICES - 0.0%
|
|||||
Hotels, Resorts & Cruise Lines - 0.0%
|
|||||
3,377,886(g)(h)(i)
|
Yellowstone Mountain Club LLC, Liquidating Trust
|
$ –
|
|||
Total Consumer Services
|
$ –
|
||||
ENERGY - 0.0%
|
|||||
Oil & Gas Exploration & Production - 0.0%
|
|||||
4,995,000(g)(h)(i)
|
Crusader Energy Group, Inc., Liquidating Trust
|
$ –
|
|||
Total Energy
|
$ –
|
||||
TOTAL LIQUIDATING TRUSTS
|
|||||
(Cost $0)
|
$ –
|
||||
TOTAL INVESTMENTS IN SECURITIES - 145.0%
|
|||||
(Cost - $468,889,703) (j)
|
$ 472,295,886
|
||||
OTHER ASSETS AND LIABILITIES - (45.0)%
|
$ (146,602,501)
|
||||
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
|
$ 325,693,385
|
||||
†
|
Amount rounds to less than 0.1%.
|
|
NR
|
Security not rated by S&P or Moody's.
|
|
(144A)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At February 28, 2014, the value of these securities amounted to $11,904,841, or 3.7% of total net assets applicable to common shareowners.
|
|
*
|
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at February 28, 2014.
|
(a)
|
Security is in default and is non income producing.
|
(b)
|
Indicates a security that has been deemed as illiquid. As of February 28, 2014 the aggregate cost of illiquid securities in the Trust's portfolio was $19,318,548. As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $8,783,458 represented 2.7% of total net assets applicable to common shareowners.
|
(c)
|
Floating rate note. The rate shown is the coupon rate at February 28, 2014.
|
(d)
|
The company and agent bank are in the process of negotiating forbearance.
|
(e)
|
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
|
(f)
|
Security represents a claim which is subject to bankruptcy court findings which may result in an exchange of money, assets or equity.
|
(g)
|
Security is valued using fair value methods (other than prices supplied by independent pricing services).
|
(h)
|
Non-income producing.
|
(i)
|
Security represents a liquidating trust which is a vehicle which through future settlements of bankruptcy claims are dispersed to creditors.
|
(j)
|
At February 28, 2014, the net unrealized appreciation on investments based on cost for federal tax purposes of $469,220,412 was as follows:
|
|
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost
|
$ 22,823,664
|
|
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value
|
(19,748,190)
|
|
Net unrealized appreciation
|
$ 3,075,474
|
|
For financial reporting purposes net unrealized appreciation on investments was
$ 3,406,183 and cost of investments aggregated $468,889,703.
|
||
Principal amounts are denominated in U.S. dollars unless otherwise noted.
|
||
EUR
|
-
|
Euro
|
GBP
|
-
|
Great British Pound
|
Borrower
|
Par
|
Cost
|
Value
|
Unrealized
Appreciation
|
W.R. Grace & Co., Delayed Draw Term Loan
|
$218,141
|
$218,141
|
$218,892
|
$751
|
Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
|
||||||||||||||||
Level 1 - quoted prices in active markets for identical securities.
|
||||||||||||||||
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds
|
||||||||||||||||
credit risks, etc.).
|
||||||||||||||||
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
|
||||||||||||||||
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2, and securities valued using fair value methods (other than prices supplied by independent pricing services) as level 3.
|
||||||||||||||||
The following is a summary of the inputs used as of February 28, 2014, in valuing the Trust's investments.
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Asset Backed Security
|
$ | – | $ | 135,062 | $ | – | $ | 135,062 | ||||||||
Collateralized Loan Obligations
|
||||||||||||||||
Diversified Banks
|
– | – | 2,774,325 | 2,774,325 | ||||||||||||
Thrifts & Mortgage Finance
|
– | – | 5,643,519 | 5,643,519 | ||||||||||||
Senior Secured Floating Rate Loan Interests
|
||||||||||||||||
Coal & Consumable Fuels
|
– | 907,850 | 733,333 | 1,641,183 | ||||||||||||
All Other
|
– | 430,976,742 | – | 430,976,742 | ||||||||||||
Claims
|
||||||||||||||||
Airlines
|
– | – | – | * | – | * | ||||||||||
Corporate Bonds & Notes
|
||||||||||||||||
Health Care Supplies
|
– | – | 8,109 | 8,109 | ||||||||||||
All Other
|
– | 9,530,142 | – | 9,530,142 | ||||||||||||
Common Stocks
|
||||||||||||||||
Air Freight & Logistics
|
– | 727,535 | – | 727,535 | ||||||||||||
Apparel Retail
|
– | – | * | – | – | * | ||||||||||
All Other
|
20,859,269 | – | – | 20,859,269 | ||||||||||||
Liquidating Trusts
|
||||||||||||||||
Oil & Gas Exploration & Production
|
– | – | – | * | – | * | ||||||||||
Hotels, Resorts & Cruise Lines
|
– | – | – | * | – | * | ||||||||||
Total Investments in Securities
|
$ | 20,859,269 | $ | 442,277,331 | $ | 9,159,286 | $ | 472,295,886 | ||||||||
Other Financial Instruments
|
||||||||||||||||
Forward Foreign Currency Contracts
|
$ | – | $ | (17,880 | ) | $ | – | $ | (17,880 | ) | ||||||
Total Other Financial Instruments
|
$ | – | $ | (17,880 | ) | $ | – | $ | (17,880 | ) | ||||||
* Security is valued at $0.
|
The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
|
|||||||||||||||
Balance
as of
11/30/13
|
Realized
gain
(loss)
|
Change in
Unrealized appreciation
(depreciation)
|
Purchases
|
Sales
|
Accrued
discounts/ premiums
|
Transfers
in to
Level 3*
|
Transfers
out of
Level 3*
|
Balance
as of
2/28/14
|
|||||||
Collateralized Loan Obligations
|
|||||||||||||||
Diversified Banks
|
$ 2,727,554
|
$ –
|
$ 13,272
|
$ –
|
$ –
|
$ 33,499
|
$ –
|
$ –
|
$ 2,774,325
|
||||||
Thrifts & Mortgage Finance
|
5,625,880
|
–
|
(38,650)
|
–
|
–
|
56,289
|
–
|
–
|
5,643,519
|
||||||
Senior Secured Floating Rate Loan Interests
|
|||||||||||||||
Coal & Consumable Fuels
|
–
|
–
|
–
|
–
|
–
|
–
|
733,333
|
–
|
733,333
|
||||||
Claims
|
|||||||||||||||
Airlines
|
- **
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
-**
|
||||||
Corporate Bonds & Notes
|
|||||||||||||||
Health Care Supplies
|
8,109
|
–
|
(2,079)
|
–
|
–
|
2,079
|
–
|
–
|
8,109
|
||||||
Liquidating trust
|
|||||||||||||||
Oil & gas
Exploration
& Production
|
- **
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
-**
|
||||||
Hotels & Resorts
& Cruise Lines
|
- **
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
-**
|
||||||
Total
|
$ 8,361,543
|
$ –
|
$ (27,457)
|
$ –
|
$ –
|
$ 91,867
|
$ 733,333
|
$ –
|
$ 9,159,286
|
||||||
During the period ended February 28, 2014, one security valued at $733,333 transferred from Level 2 to Level 3.
|
|||||||||||||||
* Transfers are calculated on the beginning of period values.
|
|||||||||||||||
** Includes securities that are fair valued at $0.
|
|||||||||||||||
Net change in unrealized appreciation of Level 3 investments still held and considered Level 3 at 02/28/14: $(27,457).
|
|||||||||||||||
Fair Value 2/28/14
|
Valuation Technique(s)
|
Unobservable Input
|
Value/Range (Weighted Average)
|
|||||
Collateralized Loan
Obligations
|
$ 8,417,844
|
Broker Quote
|
Proprietary
Broker Model
|
$92.16 - $97.51
per bond
|
||||
Senior Secured Floating Rate Loan Interests
|
$ 733,333
|
Broker Quote
|
Proprietary
Broker Model
|
$100.00 per bond
|
||||
Corporate Bonds
& Notes
|
$ 8,109
|
Broker Quote
|
Proprietary
Broker Model
|
$0.125 per bond
|
||||
Liquidating Trusts (1)
|
$ -
|
Discounted
Cash Flow
|
Residual Value
|
$0
|
||||
Claims(2)
|
$ -
|
Discounted Cash Flow
|
Residual Value
|
$0
|
Currency
|
Contracts to
Receive/
(Deliver)
|
In
Exchange
for US$
|
Settlement
Date
|
Value
|
Net
Unrealized
Depreciation
|
GBP
(Pound Sterling)
|
(395,875.12)
|
$(645,224)
|
05/06/14
|
$ (663,104)
|
$ (17,880)
|