N-Q 1 hydfsoi.htm HIGH YIELD SOI hydfsoi.htm 
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                                 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 811-09685


                         Pioneer High Yield 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:  October 31

Date of reporting period:  July 31, 2015

Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5).  The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609.  The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.


<PAGE>
ITEM 1. Schedule of Investments.

File the schedules as of the close of the reporting period as set forth in
ss. 210.12-12  12-14 of Regulation S-X [17 CFR 210.12-12  12-14]. The
schedules need not be audited.












  
  
  


Pioneer High Yield Fund


  
  


  
  
  


Schedule of Investments 7/31/2015


  
  


  
  
  
  
  
  


  


Principal Amount ($)




Floating



Rate (b)



(unaudited)


  


Value




  
  
  


CONVERTIBLE CORPORATE BONDS - 13.4%


  
  


  
  
  


Energy - 0.8%


  
  


  
  
  


Oil & Gas Equipment & Services - 0.1%


  
  


  


2,170,000


  


SEACOR Holdings, Inc., 3.0%, 11/15/28




$




1,779,400




  
  
  


Oil & Gas Exploration & Production - 0.7%


  
  


  


3,365,000


  


American Energy - Utica LLC, 3.5% (3.50% Cash, 0.00% PIK), 3/1/21 (144A) (PIK)




$




1,009,500




  


7,525,000


  


Cobalt International Energy, Inc., 2.625%, 12/1/19


  


5,051,156




  


475,000


  


Energy XXI, Ltd., 3.0%, 12/15/18


  


61,453




  


3,120,000


  


Whiting Petroleum Corp., 1.25%, 4/1/20 (144A)


  


2,700,750




  
  
  
  


$




8,822,859




  
  
  


Coal & Consumable Fuels - 0.0% †


  
  


  


4,705,000


  


Alpha Natural Resources, Inc., 3.75%, 12/15/17 (f)




$




141,150




  
  
  


Total Energy




$




10,743,409




  
  
  


Materials - 0.3%


  
  


  
  
  


Diversified Metals & Mining - 0.3%


  
  


  


3,805,000


  


RTI International Metals, Inc., 1.625%, 10/15/19




$




4,026,166




  
  
  


Total Materials




$




4,026,166




  
  
  


Capital Goods - 1.1%


  
  


  
  
  


Aerospace & Defense - 0.1%


  
  


  


2,150,000


  


The KEYW Holding Corp., 2.5%, 7/15/19




$




1,765,688




  
  
  


Electrical Components & Equipment - 1.0%


  
  


  


10,874,000


  


General Cable Corp., 4.5%, 11/15/29 (Step)




$




8,135,111




  


4,825,000


  


SolarCity Corp., 1.625%, 11/1/19 (144A)


  


4,680,250




  
  
  
  


$




12,815,361




  
  
  


Total Capital Goods




$




14,581,049




  
  
  


Consumer Durables & Apparel - 1.9%


  
  


  
  
  


Homebuilding - 1.4%


  
  


  


11,400,000


  


KB Home, 1.375%, 2/1/19




$




11,008,125




  


3,015,000


  


Lennar Corp., 2.75%, 12/15/20 (144A)


  


7,200,197




  
  
  
  


$




18,208,322




  
  
  


Housewares & Specialties - 0.5%


  
  


  


5,470,000


  


Jarden Corp., 1.125%, 3/15/34




$




6,765,706




  
  
  


Total Consumer Durables & Apparel




$




24,974,028




  
  
  


Consumer Services - 0.4%


  
  


  
  
  


Specialized Consumer Services - 0.4%


  
  


  


2,710,000


  


Ascent Capital Group, Inc., 4.0%, 7/15/20




$




2,178,162




  


2,195,000


  


Carriage Services, Inc., 2.75%, 3/15/21


  


2,621,653




  
  
  
  


$




4,799,815




  
  
  


Total Consumer Services




$




4,799,815




  
  
  


Media - 0.3%


  
  


  
  
  


Broadcasting - 0.3%


  
  


  


4,425,000


  


Liberty Media Corp., 1.375%, 10/15/23




$




4,270,125




  
  
  


Total Media




$




4,270,125




  
  
  


Retailing - 0.5%


  
  


  
  
  


Internet Retail - 0.5%


  
  


  


7,455,000


  


Shutterfly, Inc., 0.25%, 5/15/18




$




7,305,900




  
  
  


Total Retailing




$




7,305,900




  
  
  


Health Care Equipment & Services - 1.4%


  
  


  
  
  


Health Care Equipment - 0.9%


  
  


  


5,985,000


  


Insulet Corp., 2.0%, 6/15/19




$




6,007,444




  


2,355,000


  


NuVasive, Inc., 2.75%, 7/1/17


  


3,298,472




  


2,610,000


  


Wright Medical Group, Inc., 2.0%, 2/15/20 (144A)


  


2,758,444




  
  
  
  


$




12,064,360




  
  
  


Health Care Supplies - 0.5%


  
  


  


3,380,000


  


Alere, Inc., 3.0%, 5/15/16




$




3,998,962




  


3,015,000


  


Endologix, Inc., 2.25%, 12/15/18


  


2,851,059




  
  
  
  


$




6,850,021




  
  
  


Total Health Care Equipment & Services




$




18,914,381




  
  
  


Pharmaceuticals, Biotechnology & Life Sciences - 3.2%


  
  


  
  
  


Biotechnology - 2.0%


  
  


  


1,920,000


  


BioMarin Pharmaceutical, Inc., 1.5%, 10/15/20




$




3,229,200




  


3,380,000


  


Cepheid, 1.25%, 2/1/21


  


3,743,350




  


2,615,000


  


Corsicanto, Ltd., 3.5%, 1/15/32


  


2,655,859




  


6,697,000


  


Emergent BioSolutions, Inc., 2.875%, 1/15/21


  


8,245,681




  


1,420,000


  


Immunomedics, Inc., 4.75%, 2/15/20 (144A)


  


1,074,762




  


3,520,000


  


Ironwood Pharmaceuticals, Inc., 2.25%, 6/15/22 (144A)


  


3,183,400




  


4,538,000


  


PDL BioPharma, Inc., 4.0%, 2/1/18


  


4,155,106




  
  
  
  


$




26,287,358




  
  
  


Pharmaceuticals - 1.2%


  
  


  


4,725,000


  


Impax Laboratories, Inc., 2.0%, 6/15/22 (144A)




$




4,866,750




  


2,050,000


  


Jazz Investments I, Ltd., 1.875%, 8/15/21 (144A)


  


2,490,750




  


2,625,000


  


The Medicines Co., 2.5%, 1/15/22 (144A)


  


3,015,469




  


7,215,000


  


Theravance, Inc., 2.125%, 1/15/23


  


6,204,900




  
  
  
  


$




16,577,869




  
  
  


Total Pharmaceuticals, Biotechnology & Life Sciences




$




42,865,227




  
  
  


Software & Services - 2.6%


  
  


  
  
  


Internet Software & Services - 1.0%


  
  


  


2,055,000


  


Twitter, Inc., 0.25%, 9/15/19 (144A)




$




1,808,400




  


5,145,000


  


WebMD Health Corp., 1.5%, 12/1/20


  


5,408,681




  


5,995,000


  


WebMD Health Corp., 2.5%, 1/31/18


  


6,096,166




  
  
  
  


$




13,313,247




  
  
  


Data Processing & Outsourced Services - 0.5%


  
  


  


6,345,000


  


Cardtronics, Inc., 1.0%, 12/1/20




$




6,368,794




  
  
  


Application Software - 1.0%


  
  


  


2,470,000


  


Citrix Systems, Inc., 0.5%, 4/15/19




$




2,656,794




  


5,815,000


  


Mentor Graphics Corp., 4.0%, 4/1/31


  


7,719,412




  


3,139,000


  


Nuance Communications, Inc., 1.5%, 11/1/35


  


3,329,302




  
  
  
  


$




13,705,508




  
  
  


Systems Software - 0.1%


  
  


  


595,000


  


FireEye, Inc., 1.0%, 6/1/35 (144A)




$




609,875




  


595,000


  


FireEye, Inc., 1.625%, 6/1/35 (144A)


  


607,272




  


800,000


  


Proofpoint, Inc., 0.75%, 6/15/20 (144A)


  


870,500




  
  
  
  


$




2,087,647




  
  
  


Total Software & Services




$




35,475,196




  
  
  


Technology Hardware & Equipment - 0.4%


  
  


  
  
  


Communications Equipment - 0.2%


  
  


  


2,595,000


  


Brocade Communications Systems, Inc., 1.375%, 1/1/20 (144A)




$




2,562,562




  
  
  


Electronic Components - 0.2%


  
  


  


3,755,000


  


Vishay Intertechnology, Inc., 2.25%, 5/15/41 (144A)




$




2,757,578




  
  
  


Total Technology Hardware & Equipment




$




5,320,140




  
  
  


Semiconductors & Semiconductor Equipment - 0.7%


  
  


  
  
  


Semiconductor Equipment - 0.4%


  
  


  


2,605,000


  


SunEdison, Inc., 2.625%, 6/1/23 (144A)




$




2,355,897




  


2,400,000


  


SunEdison, Inc., 3.375%, 6/1/25 (144A)


  


2,188,500




  
  
  
  


$




4,544,397




  
  
  


Semiconductors - 0.3%


  
  


  


3,840,000


  


ON Semiconductor Corp., 1.0%, 12/1/20 (144A)




$




3,708,000




  


711,000


  


ON Semiconductor Corp., 2.625%, 12/15/26


  


836,314




  
  
  
  


$




4,544,314




  
  
  


Total Semiconductors & Semiconductor Equipment




$




9,088,711




  
  
  


TOTAL CONVERTIBLE CORPORATE BONDS


  
  


  
  
  


(Cost $185,371,295)




$




182,364,147




  
  
  
  
  
  


  
  
  


PREFERRED STOCKS - 2.7%


  
  


  
  
  


Transportation - 0.3%


  
  


  
  
  


Air Freight & Logistics - 0.3%


  
  


  


4,940


  


CEVA Group Plc, 12/31/14 (c) *




$




3,655,637




  
  
  


Total Transportation




$




3,655,637




  
  
  


Banks - 0.7%


  
  


  
  
  


Diversified Banks - 0.7%


  
  


  


317,327




7.12




Citigroup, Inc., Floating Rate Note (Perpetual)




$




8,869,290




  
  
  


Total Banks




$




8,869,290




  
  
  


Diversified Financials - 1.3%


  
  


  
  
  


Consumer Finance - 0.9%


  
  


  


3,225


  


Ally Financial, Inc., 7.0% (Perpetual) (144A)




$




3,290,810




  


358,975




8.12




GMAC Capital Trust I, Floating Rate Note, 2/15/40


  


9,415,914




  
  
  
  


$




12,706,724




  
  
  


Investment Banking & Brokerage - 0.4%


  
  


  


189,000




7.12




Morgan Stanley, Floating Rate Note (Perpetual)




$




5,288,220




  
  
  


Total Diversified Financials




$




17,994,944




  
  
  


Insurance - 0.0% †


  
  


  
  
  


Reinsurance - 0.0% †


  
  


  


33,500


  


Lorenz Re, Ltd., Variable Rate Notes, (Perpetual) * (e)




$




83,750




  
  
  


Total Insurance




$




83,750




  
  
  


Utilities - 0.4%


  
  


  
  
  


Electric Utilities - 0.4%


  
  


  


214,000


  


PPL Capital Funding, Inc., 5.9%, 4/30/73




$




5,497,660




  
  
  


Total Utilities




$




5,497,660




  
  
  


TOTAL PREFERRED STOCKS


  
  


  
  
  


(Cost $34,831,228)




$




36,101,281




  
  
  
  
  
  


  
  
  


CONVERTIBLE PREFERRED STOCKS - 1.3%


  
  


  
  
  


Energy - 0.1%


  
  


  
  
  


Oil & Gas Exploration & Production - 0.1%


  
  


  


715


  


Halcon Resources Corp., (Perpetual) (c)




$




126,198




  


20,400


  


Penn Virginia Corp., 6.0% (Perpetual) (144A)


  


265,608




  


33,162


  


SandRidge Energy, Inc., 7.0% (Perpetual)


  


493,285




  
  
  
  


$




885,091




  
  
  


Total Energy




$




885,091




  
  
  


Consumer Durables & Apparel - 0.9%


  
  


  
  
  


Home Furnishings - 0.9%


  
  


  


143,000


  


Sealy Corp., 8.0%, 7/15/16 (4.0% cash, 4.0% PIK) (PIK) (e)




$




12,627,872




  
  
  


Total Consumer Durables & Apparel




$




12,627,872




  
  
  


Health Care Equipment & Services - 0.1%


  
  


  
  
  


Health Care Supplies - 0.1%


  
  


  


6,508


  


Alere, Inc., 3.0% (Perpetual)




$




2,158,834




  
  
  


Total Health Care Equipment & Services




$




2,158,834




  
  
  


Banks - 0.2%


  
  


  
  
  


Diversified Banks - 0.2%


  
  


  


2,000


  


Wells Fargo & Co., 7.5% (Perpetual)




$




2,384,220




  
  
  


Total Banks




$




2,384,220




  
  
  


TOTAL CONVERTIBLE PREFERRED STOCKS


  
  


  
  
  


(Cost $20,252,856)




$




18,056,017




  


Shares


  
  
  
  


  
  
  


COMMON STOCKS - 7.5%


  
  


  
  
  


Energy - 0.6%


  
  


  
  
  


Oil & Gas Exploration & Production - 0.4%


  
  


  


2,922,773


  


Halcon Resources Corp. *




$




3,215,050




  


137,800


  


Marathon Oil Corp.


  


2,895,178




  


62,696


  


SandRidge Energy, Inc. *


  


32,414




  
  
  
  


$




6,142,642




  
  
  


Oil & Gas Refining & Marketing - 0.2%


  
  


  


39,932


  


Marathon Petroleum Corp. *




$




2,183,082




  
  
  


Total Energy




$




8,325,724




  
  
  


Materials - 0.9%


  
  


  
  
  


Commodity Chemicals - 0.7%


  
  


  


127,734


  


Axiall Corp.




$




3,759,212




  


51,171


  


LyondellBasell Industries NV


  


4,801,375




  
  
  
  


$




8,560,587




  
  
  


Diversified Metals & Mining - 0.2%


  
  


  


264,669


  


Freeport-McMoRan, Inc.




$




3,109,861




  
  
  


Total Materials




$




11,670,448




  
  
  


Capital Goods - 1.0%


  
  


  
  
  


Aerospace & Defense - 0.2%


  
  


  


42,036


  


Orbital ATK, Inc.




$




2,982,454




  
  
  


Electrical Components & Equipment - 0.2%


  
  


  


129,270


  


General Cable Corp.




$




2,109,686




  
  
  


Construction & Farm Machinery & Heavy Trucks - 0.3%


  
  


  


482,433


  


Commercial Vehicle Group, Inc. *




$




2,851,179




  


68,197


  


Joy Global, Inc.


  


1,801,083




  
  
  
  


$




4,652,262




  
  
  


Industrial Machinery - 0.3%


  
  


  


131,756


  


Kennametal, Inc.




$




4,175,348




  


73,714


  


Liberty Tire Recycling LLC (g)


  


737




  
  
  
  


$




4,176,085




  
  
  


Total Capital Goods




$




13,920,487




  
  
  


Commercial Services & Supplies - 0.0% †


  
  


  
  
  


Diversified Support Services - 0.0% †


  
  


  


53


  


IAP Worldwide Services, Inc.




$




42,412




  
  
  


Total Commercial Services & Supplies




$




42,412




  
  
  


Transportation - 0.6%


  
  


  
  
  


Air Freight & Logistics - 0.1%


  
  


  


2,282


  


CEVA Group Plc *




$




1,688,724




  
  
  


Airlines - 0.5%


  
  


  


103,547


  


United Continental Holdings, Inc. *




$




5,839,015




  
  
  


Total Transportation




$




7,527,739




  
  
  


Automobiles & Components - 0.8%


  
  


  
  
  


Automobile Manufacturers - 0.8%


  
  


  


704,311


  


Ford Motor Co.




$




10,444,932




  
  
  


Total Automobiles & Components




$




10,444,932




  
  
  


Consumer Services - 0.3%


  
  


  
  
  


Restaurants - 0.3%


  
  


  


71,122


  


Starbucks Corp.




$




4,120,097




  
  
  


Education Services - 0.0% †


  
  


  


13,966


  


Cengage Learning Holdings II LP




$




393,380




  
  
  


Total Consumer Services




$




4,513,477




  
  
  


Health Care Equipment & Services - 0.7%


  
  


  
  
  


Health Care Services - 0.0% †


  
  


  


255,259


  


BioScrip, Inc. *




$




640,700




  
  
  


Managed Health Care - 0.7%


  
  


  


36,017


  


Aetna, Inc.




$




4,068,840




  


32,251


  


Cigna Corp.


  


4,646,079




  
  
  
  


$




8,714,919




  
  
  


Total Health Care Equipment & Services




$




9,355,619




  
  
  


Pharmaceuticals, Biotechnology & Life Sciences - 0.8%


  
  


  
  
  


Life Sciences Tools & Services - 0.8%


  
  


  


15,278


  


Bio-Rad Laboratories, Inc. *




$




2,303,006




  


58,225


  


Thermo Fisher Scientific, Inc.


  


8,124,134




  
  
  
  


$




10,427,140




  
  
  


Total Pharmaceuticals, Biotechnology & Life Sciences




$




10,427,140




  
  
  


Banks - 0.0% †


  
  


  
  
  


Diversified Banks - 0.0% †


  
  


  


10,375


  


JPMorgan Chase & Co.




$




710,999




  
  
  


Total Banks




$




710,999




  
  
  


Diversified Financials - 0.1%


  
  


  
  
  


Consumer Finance - 0.1%


  
  


  


14,940


  


Capital One Financial Corp.




$




1,214,622




  
  
  


Total Diversified Financials




$




1,214,622




  
  
  


Real Estate - 0.9%


  
  


  
  
  


Specialized REIT - 0.2%


  
  


  


117,160


  


Communications Sales & Leasing, Inc.




$




2,442,786




  
  
  


Real Estate Operating Companies - 0.7%


  
  


  


399,971


  


Forest City Enterprises, Inc. *




$




9,339,323




  
  
  


Total Real Estate




$




11,782,109




  
  
  


Technology Hardware & Equipment - 0.8%


  
  


  
  
  


Computer Storage & Peripherals - 0.2%


  
  


  


103,800


  


EMC Corp.




$




2,791,182




  
  
  


Technology Hardware, Storage & Peripherals - 0.4%


  
  


  


171,011


  


NCR Corp. *




$




4,709,643




  
  
  


Electronic Manufacturing Services - 0.2%


  
  


  


54,309


  


TE Connectivity, Ltd.




$




3,308,504




  
  
  


Total Technology Hardware & Equipment




$




10,809,329




  
  
  


Telecommunication Services - 0.0% †


  
  


  
  
  


Integrated Telecommunication Services - 0.0% †


  
  


  


87,633


  


Windstream Holdings, Inc.




$




425,020




  
  
  


Total Telecommunication Services




$




425,020




  
  
  


TOTAL COMMON STOCKS


  
  


  
  
  


(Cost $72,888,773)




$




101,170,057




  


Principal Amount ($)


  
  
  


  
  
  


ASSET BACKED SECURITIES - 0.1%


  
  


  
  
  


Consumer Services - 0.0% †


  
  


  
  
  


Hotels, Resorts & Cruise Lines - 0.0% †


  
  


  


282,596


  


Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A)




$




285,447




  
  
  


Total Consumer Services




$




285,447




  
  
  


Banks - 0.1%


  
  


  
  
  


Thrifts & Mortgage Finance - 0.1%


  
  


  


1,000,000


  


VOLT XXV LLC, 4.5%, 6/26/45 (Step) (144A)




$




980,810




  
  
  


Total Banks




$




980,810




  
  
  


TOTAL ASSET BACKED SECURITIES


  
  


  
  
  


(Cost $1,263,476)




$




1,266,257




  
  
  
  
  
  


  
  
  


COLLATERALIZED MORTGAGE OBLIGATIONS - 1.9%


  
  


  
  
  


Banks - 1.9%


  
  


  
  
  


Thrifts & Mortgage Finance - 1.9%


  
  


  


2,000,000




5.97




Banc of America Commercial Mortgage Trust 2007-5, Floating Rate Note, 2/10/51




$




2,051,600




  


1,150,000




5.71




Bear Stearns Commercial Mortgage Securities Trust 2007-PWR16, Floating Rate Note, 6/11/40 (144A)




1,147,562




  


107,943




4.45




CAM Mortgage Trust 2014-2, Floating Rate Note, 5/15/48 (144A)


  


107,981




  


1,475,000




0.00




CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/17 (144A)


  


1,474,999




  


2,500,000




3.21




Citigroup Commercial Mortgage Trust 2014-GC23 REMICS, Floating Rate Note, 7/12/47 (144A)




1,828,142




  


1,935,000




5.96




COBALT CMBS Commercial Mortgage Trust 2007-C3, Floating Rate Note, 5/15/46




1,817,584




  


595,000




5.96




COBALT CMBS Commercial Mortgage Trust 2007-C3, Floating Rate Note, 5/15/46




524,665




  


2,650,000




3.69




COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A)


  


2,642,606




  


3,000,000




0.00




CSMC Trust 2015-SAND MZ, Floating Rate Note, 8/15/30 (144A)


  


3,000,000




  


720,154


  


Global Mortgage Securitization, Ltd., 5.25%, 11/25/32 (144A)


  


693,038




  


2,513,900




5.00




GMAT 2013-1 Trust, Floating Rate Note, 8/25/53


  


2,408,925




  


2,000,000




4.94




GS Mortgage Securities Corp II Series 2005-GG4, Floating Rate Note, 7/10/39




1,961,262




  


920,285


  


Homeowner Assistance Program Reverse Mortgage Loan Trust 2013-RM1, 4.0%, 5/26/53 (144A)




904,180




  


4,270,000




3.79




JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A)




4,253,783




  


400,000




5.58




Springleaf Mortgage Loan Trust 2013-1, Floating Rate Note, 6/25/58 (144A)




412,187




  
  
  
  


$




25,228,514




  
  
  


Total Banks




$




25,228,514




  
  
  


TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS


  
  


  
  
  


(Cost $25,169,944)




$




25,228,514




  
  
  
  
  
  


  
  
  


CORPORATE BONDS - 62.4%


  
  


  
  
  


Energy - 12.3%


  
  


  
  
  


Oil & Gas Drilling - 0.3%


  
  


  


1,690,000


  


Offshore Group Investment, Ltd., 7.5%, 11/1/19




$




904,150




  


2,995,000


  


Parker Drilling Co., 7.5%, 8/1/20


  


2,605,650




  
  
  
  


$




3,509,800




  
  
  


Oil & Gas Equipment & Services - 0.7%


  
  


  


2,080,000


  


Calfrac Holdings LP, 7.5%, 12/1/20 (144A)




$




1,716,000




  


5,175,000


  


Exterran Partners LP, 6.0%, 10/1/22


  


4,631,625




  


2,750,000


  


Exterran Partners LP, 6.0%, 4/1/21


  


2,509,375




  


1,545,000


  


Key Energy Services, Inc., 6.75%, 3/1/21


  


757,050




  
  
  
  


$




9,614,050




  
  
  


Oil & Gas Exploration & Production - 8.6%


  
  


  


3,360,000


  


Antero Resources Corp., 6.0%, 12/1/20




$




3,402,000




  


2,150,000


  


Carrizo Oil & Gas, Inc., 7.5%, 9/15/20


  


2,160,750




  


2,945,000


  


Chaparral Energy, Inc., 8.25%, 9/1/21


  


1,767,000




  


8,435,000


  


Chesapeake Energy Corp., 5.375%, 6/15/21


  


7,085,400




  


3,580,000


  


Comstock Resources, Inc., 9.5%, 6/15/20


  


1,324,600




  


3,675,000


  


Concho Resources, Inc., 5.5%, 4/1/23


  


3,675,000




  


2,925,000


  


Concho Resources, Inc., 6.5%, 1/15/22


  


3,023,719




  


4,670,000


  


Denbury Resources, Inc., 5.5%, 5/1/22


  


3,700,975




  


13,000,000


  


EP Energy LLC, 9.375%, 5/1/20


  


13,422,500




  


5,205,000


  


EPL Oil & Gas, Inc., 8.25%, 2/15/18


  


2,524,425




  


7,615,000


  


Gulfport Energy Corp., 7.75%, 11/1/20


  


7,805,375




  


5,605,000


  


Halcon Resources Corp., 8.875%, 5/15/21


  


2,914,600




  


3,470,000


  


Hilcorp Energy I LP, 5.75%, 10/1/25 (144A)


  


3,296,500




  


4,975,000


  


Legacy Reserves LP, 6.625%, 12/1/21


  


3,855,625




  


12,635,000


  


Linn Energy LLC, 6.25%, 11/1/19


  


7,652,009




  


220,000


  


Linn Energy LLC, 7.75%, 2/1/21


  


128,700




  


4,480,000


  


Memorial Production Partners LP, 7.625%, 5/1/21


  


3,763,200




  


2,190,000


  


Midstates Petroleum Co., Inc., 9.25%, 6/1/21


  


755,550




  


8,170,000


  


Noble Energy, Inc., 5.875%, 6/1/22


  


8,765,201




  


1,430,000


  


Northern Oil and Gas, Inc., 8.0%, 6/1/20


  


1,258,400




  


2,240,000


  


Northern Oil and Gas, Inc., 8.0%, 6/1/20 (144A)


  


1,971,200




  


2,820,000


  


Oasis Petroleum, Inc., 6.5%, 11/1/21


  


2,566,200




  


4,860,000


  


PDC Energy, Inc., 7.75%, 10/15/22


  


5,011,875




  


2,860,000


  


Penn Virginia Corp., 7.25%, 4/15/19


  


1,222,650




  


4,480,000


  


Penn Virginia Corp., 8.5%, 5/1/20


  


2,105,600




  


1,300,000


  


Sanchez Energy Corp., 6.125%, 1/15/23


  


1,053,000




  


3,775,000


  


Sanchez Energy Corp., 7.75%, 6/15/21


  


3,397,500




  


8,170,000


  


Swift Energy Co., 7.875%, 3/1/22


  


2,042,500




  


3,200,000


  


Vanguard Natural Resources LLC, 7.875%, 4/1/20


  


2,857,043




  


5,200,000


  


Whiting Canadian Holding Co ULC, 8.125%, 12/1/19


  


5,362,500




  


1,850,000


  


WPX Energy, Inc., 7.5%, 8/1/20


  


1,877,750




  


4,100,000


  


WPX Energy, Inc., 8.25%, 8/1/23


  


4,166,625




  
  
  
  


$




115,915,972




  
  
  


Oil & Gas Refining & Marketing - 0.8%


  
  


  


6,525,000


  


Calumet Specialty Products Partners LP, 6.5%, 4/15/21




$




6,417,990




  


4,695,000


  


Tesoro Corp., 5.375%, 10/1/22


  


4,765,425




  
  
  
  


$




11,183,415




  
  
  


Oil & Gas Storage & Transportation - 1.7%


  
  


  


4,810,000


  


Crestwood Midstream Partners LP, 6.125%, 3/1/22




$




4,749,875




  


2,840,000


  


Energy Transfer Equity LP, 5.875%, 1/15/24


  


2,889,700




  


3,220,000


  


Global Partners LP, 7.0%, 6/15/23 (144A)


  


3,099,250




  


6,775,000


  


Sabine Pass Liquefaction LLC, 5.625%, 2/1/21


  


6,910,500




  


4,685,000


  


Targa Resources Partners LP, 4.25%, 11/15/23


  


4,333,625




  
  
  
  


$




21,982,950




  
  
  


Coal & Consumable Fuels - 0.2%


  
  


  


4,170,000


  


James River Coal Co., 7.875%, 4/1/19 (e)




$




5,212




  


2,250,000


  


SunCoke Energy Partners LP, 7.375%, 2/1/20 (144A)


  


2,205,000




  
  
  
  


$




2,210,212




  
  
  


Total Energy




$




164,416,399




  
  
  


Materials - 5.6%


  
  


  
  
  


Commodity Chemicals - 1.1%


  
  


  


1,220,000


  


Hexion, Inc., 6.625%, 4/15/20




$




1,117,825




  


2,756,000


  


Hexion, Inc., 8.875%, 2/1/18


  


2,397,720




  


2,445,000


  


Hexion, Inc., 9.0%, 11/15/20


  


1,735,950




  


1,750,000


  


Rain CII Carbon LLC, 8.0%, 12/1/18 (144A)


  


1,710,625




  


5,195,000


  


Tronox Finance LLC, 6.375%, 8/15/20


  


4,259,900




  


4,560,000


  


Tronox Finance LLC, 7.5%, 3/15/22 (144A)


  


3,739,200




  
  
  
  


$




14,961,220




  
  
  


Metal & Glass Containers - 3.5%


  
  


  


3,811,008


  


Ardagh Finance Holdings SA, 8.625%, (0.00% Cash, 8.625% PIK) 6/15/19 (144A) (PIK)




$




3,982,503




  


3,350,000


  


Ardagh Packaging Finance Plc, 6.75%, 1/31/21 (144A)


  


3,433,750




  


758,824


  


Ardagh Packaging Finance Plc, 7.0%, 11/15/20 (144A)


  


766,412




  


7,100,000


  


Ball Corp., 5.25%, 7/1/25


  


7,139,405




  


13,120,000


  


Crown Cork & Seal Co., Inc., 7.375%, 12/15/26


  


14,628,806




  


3,700,000


  


Reynolds Group Issuer, Inc., 8.25%, 2/15/21


  


3,838,750




  


7,495,000


  


Reynolds Group Issuer, Inc., 8.5%, 5/15/18


  


7,616,794




  


4,565,000


  


Reynolds Group Issuer, Inc., 9.875%, 8/15/19


  


4,801,809




  
  
  
  


$




46,208,229




  
  
  


Diversified Metals & Mining - 0.1%


  
  


  


1,595,000


  


Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)




$




1,443,475




  
  
  


Gold - 0.3%


  
  


  


5,580,000


  


IAMGOLD Corp., 6.75%, 10/1/20 (144A)




$




4,101,300




  
  
  


Steel - 0.4%


  
  


  


3,375,000


  


Cliffs Natural Resources, Inc., 8.25%, 3/31/20 (144A)




$




3,062,812




  


2,855,000


  


JMC Steel Group, Inc., 8.25%, 3/15/18 (144A)


  


2,533,812




  
  
  
  


$




5,596,624




  
  
  


Paper Products - 0.2%


  
  


  


3,845,000


  


Resolute Forest Products, Inc., 5.875%, 5/15/23




$




3,210,575




  
  
  


Total Materials




$




75,521,423




  
  
  


Capital Goods - 3.8%


  
  


  
  
  


Aerospace & Defense - 0.8%


  
  


  


3,675,000


  


Constellis Holdings LLC, 9.75%, 5/15/20 (144A)




$




3,509,625




  


4,350,000


  


DigitalGlobe, Inc., 5.25%, 2/1/21 (144A)


  


4,176,000




  


2,853,000


  


DynCorp International, Inc., 10.375%, 7/1/17


  


2,168,280




  
  
  
  


$




9,853,905




  
  
  


Building Products - 0.1%


  
  


  


1,750,000


  


Gibraltar Industries, Inc., 6.25%, 2/1/21




$




1,793,750




  
  
  


Construction & Engineering - 0.8%


  
  


  


1,390,000


  


AECOM, 5.875%, 10/15/24 (144A)




$




1,410,850




  


5,795,000


  


Amsted Industries, Inc., 5.0%, 3/15/22 (144A)


  


5,780,512




  


3,000,000


  


Dycom Investments, Inc., 7.125%, 1/15/21


  


3,142,500




  
  
  
  


$




10,333,862




  
  
  


Industrial Conglomerates - 0.3%


  
  


  


4,030,000


  


JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)




$




4,362,475




  
  
  


Construction & Farm Machinery & Heavy Trucks - 0.3%


  
  


  


4,050,000


  


Navistar International Corp., 8.25%, 11/1/21




$




3,824,780




  
  
  


Industrial Machinery - 0.7%


  
  


  


6,901,000


  


Apex Tool Group LLC, 7.0%, 2/1/21 (144A)




$




6,176,395




  


1,478,000


  


Liberty Tire Recycling LLC, 11.0%, 3/31/21 (0.0% cash, 11.0% PIK) (144A) (PIK) (g)




945,920




  


2,660,000


  


Xerium Technologies, Inc., 8.875%, 6/15/18


  


2,739,800




  
  
  
  


$




9,862,115




  
  
  


Trading Companies & Distributors - 0.8%


  
  


  


5,200,000


  


Rexel SA, 5.25%, 6/15/20 (144A)




$




5,343,000




  


5,145,000


  


WESCO Distribution, Inc., 5.375%, 12/15/21


  


5,145,000




  
  
  
  


$




10,488,000




  
  
  


Total Capital Goods




$




50,518,887




  
  
  


Commercial Services & Supplies - 0.7%


  
  


  
  
  


Environmental & Facilities Services - 0.1%


  
  


  


2,000,000


  


Safway Group Holding LLC, 7.0%, 5/15/18 (144A)




$




2,040,000




  
  
  


Diversified Support Services - 0.6%


  
  


  


1,800,000


  


NANA Development Corp., 9.5%, 3/15/19 (144A)




$




1,692,000




  


3,695,000


  


The GEO Group, Inc., 5.875%, 10/15/24


  


3,824,325




  


2,165,000


  


TMS International Corp., 7.625%, 10/15/21 (144A)


  


2,098,894




  
  
  
  


$




7,615,219




  
  
  


Total Commercial Services & Supplies




$




9,655,219




  
  
  


Transportation - 1.1%


  
  


  
  
  


Airlines - 0.4%


  
  


  


1,920,000


  


Air Canada, 5.00%, 3/15/20 (144A)




$




1,883,040




  


2,950,000


  


Intrepid Aviation Group Holdings LLC, 6.875%, 2/15/19 (144A)


  


2,750,875




  
  
  
  


$




4,633,915




  
  
  


Railroads - 0.3%


  
  


  


4,250,000


  


Florida East Coast Holdings Corp., 6.75%, 5/1/19 (144A)




$




4,292,500




  
  
  


Trucking - 0.3%


  
  


  


1,990,000


  


Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A)




$




1,825,825




  


3,500,000


  


syncreon Group BV, 8.625%, 11/1/21 (144A)


  


2,625,000




  
  
  
  


$




4,450,825




  
  
  


Airport Services - 0.1%


  
  


  


1,700,000


  


Aguila 3 SA, 7.875%, 1/31/18 (144A)




$




1,744,625




  
  
  


Total Transportation




$




15,121,865




  
  
  


Automobiles & Components - 0.3%


  
  


  
  
  


Auto Parts & Equipment - 0.1%


  
  


  


1,440,000


  


Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A)




$




1,508,400




  
  
  


Automobile Manufacturers - 0.2%


  
  


  


2,050,000


  


ZF North America Capital, Inc., 4.75%, 4/29/25 (144A)




$




2,003,875




  
  
  


Total Automobiles & Components




$




3,512,275




  
  
  


Consumer Durables & Apparel - 3.9%


  
  


  
  
  


Homebuilding - 3.7%


  
  


  


2,100,000


  


Brookfield Residential Properties, Inc., 6.5%, 12/15/20 (144A)




$




2,121,000




  


4,345,000


  


DR Horton, Inc., 5.75%, 8/15/23


  


4,627,425




  


8,375,000


  


KB Home, 7.0%, 12/15/21


  


8,657,656




  


4,150,000


  


Lennar Corp., 4.5%, 6/15/19


  


4,284,875




  


8,730,000


  


Lennar Corp., 4.75%, 11/15/22


  


8,751,825




  


3,660,000


  


Meritage Homes Corp., 7.0%, 4/1/22


  


3,897,900




  


1,800,000


  


Rialto Holdings LLC, 7.0%, 12/1/18 (144A)


  


1,854,000




  


1,500,000


  


Shea Homes LP, 5.875%, 4/1/23 (144A)


  


1,522,500




  


6,975,000


  


Standard Pacific Corp., 6.25%, 12/15/21


  


7,445,812




  


3,195,000


  


Taylor Morrison Communities, Inc., 5.875%, 4/15/23


  


3,198,994




  


2,540,000


  


The Ryland Group, Inc., 5.375%, 10/1/22


  


2,571,750




  
  
  
  


$




48,933,737




  
  
  


Textiles - 0.2%


  
  


  


2,920,000


  


Springs Industries, Inc., 6.25%, 6/1/21




$




2,905,400




  
  
  


Total Consumer Durables & Apparel




$




51,839,137




  
  
  


Consumer Services - 1.9%


  
  


  
  
  


Casinos & Gaming - 1.1%


  
  


  


2,075,000


  


GLP Capital LP, 4.375%, 11/1/18




$




2,147,625




  


443,160


  


Mashantucket Western Pequot Tribe, 6.5%, 7/1/36 (1.0% cash, 5.50% PIK) (PIK) (f)




4,432




  


12,050,000


  


Scientific Games International, Inc., 10.0%, 12/1/22


  


11,703,562




  


700,000


  


Scientific Games International, Inc., 6.25%, 9/1/20


  


557,168




  
  
  
  


$




14,412,787




  
  
  


Hotels, Resorts & Cruise Lines - 0.7%


  
  


  


2,750,000


  


NCL Corp., Ltd., 5.25%, 11/15/19 (144A)




$




2,846,250




  


1,680,000


  


Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)


  


1,667,400




  


4,290,000


  


Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)


  


4,767,262




  
  
  
  


$




9,280,912




  
  
  


Education Services - 0.1%


  
  


  


1,895,000


  


Cambium Learning Group, Inc., 9.75%, 2/15/17




$




1,913,950




  
  
  


Total Consumer Services




$




25,607,649




  
  
  


Media - 3.4%


  
  


  
  
  


Advertising - 0.4%


  
  


  


5,360,000


  


MDC Partners, Inc., 6.75%, 4/1/20 (144A)




$




5,306,400




  
  
  


Broadcasting - 0.7%


  
  


  


6,170,000


  


Gannett Co., Inc., 6.375%, 10/15/23




$




6,524,775




  


2,975,000


  


Quebecor Media, Inc., 5.75%, 1/15/23


  


3,049,375




  
  
  
  


$




9,574,150




  
  
  


Cable & Satellite - 1.8%


  
  


  


9,250,000


  


CCO Holdings LLC, 6.5%, 4/30/21




$




9,672,031




  


3,080,000


  


DISH DBS Corp., 5.875%, 11/15/24


  


2,987,600




  


1,575,000


  


Numericable-SFR SAS, 6.0%, 5/15/22 (144A)


  


1,602,562




  


9,050,000


  


Videotron, Ltd., 5.375%, 6/15/24 (144A)


  


9,140,500




  
  
  
  


$




23,402,693




  
  
  


Movies & Entertainment - 0.4%


  
  


  


425,000


  


Regal Entertainment Group, 5.75%, 3/15/22




$




435,625




  


2,895,000


  


Regal Entertainment Group, Inc., 5.75%, 2/1/25


  


2,811,769




  


2,665,000


  


WMG Acquisition Corp., 6.75%, 4/15/22 (144A)


  


2,571,725




  
  
  
  


$




5,819,119




  
  
  


Publishing - 0.1%


  
  


  


1,675,000


  


MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A)




$




1,762,938




  
  
  


Total Media




$




45,865,300




  
  
  


Retailing - 0.9%


  
  


  
  
  


Department Stores - 0.4%


  
  


  


2,710,000


  


Argos Merger Sub, Inc., 7.125%, 3/15/23 (144A)




$




2,865,825




  


2,910,000


  


Dollar Tree, Inc., 5.75%, 3/1/23 (144A)


  


3,070,050




  
  
  
  


$




5,935,875




  
  
  


Computer & Electronics Retail - 0.2%


  
  


  


2,590,000


  


Rent-A-Center, Inc., 6.625%, 11/15/20




$




2,560,862




  
  
  


Specialty Stores - 0.3%


  
  


  


4,010,000


  


Outerwall, Inc., 5.875%, 6/15/21




$




3,819,525




  
  
  


Total Retailing




$




12,316,262




  
  
  


Food & Staples Retailing - 0.3%


  
  


  
  
  


Food Distributors - 0.3%


  
  


  


3,635,000


  


KeHE Distributors LLC, 7.625%, 8/15/21 (144A)




$




3,844,012




  
  
  


Total Food & Staples Retailing




$




3,844,012




  
  
  


Food, Beverage & Tobacco - 1.6%


  
  


  
  
  


Distillers & Vintners - 0.3%


  
  


  


4,100,000


  


Constellation Brands, Inc., 3.75%, 5/1/21




$




4,098,934




  
  
  


Agricultural Products - 0.3%


  
  


  


4,460,000


  


Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)




$




4,058,600




  
  
  


Packaged Foods & Meats - 0.5%


  
  


  


2,425,000


  


Pilgrim's Pride Corp., 5.75%, 3/15/25 (144A)




$




2,479,562




  


2,300,000


  


Post Holdings, Inc., 6.0%, 12/15/22 (144A)


  


2,231,000




  


1,775,000


  


Post Holdings, Inc., 6.75%, 12/1/21 (144A)


  


1,788,312




  
  
  
  


$




6,498,874




  
  
  


Tobacco - 0.5%


  
  


  


7,560,000


  


Alliance One International, Inc., 9.875%, 7/15/21




$




6,633,900




  
  
  


Total Food, Beverage & Tobacco




$




21,290,308




  
  
  


Household & Personal Products - 0.3%


  
  


  
  
  


Personal Products - 0.3%


  
  


  


2,400,000


  


Monitronics International, Inc., 9.125%, 4/1/20




$




2,328,000




  


1,245,000


  


Revlon Consumer Products Corp., 5.75%, 2/15/21


  


1,245,000




  
  
  
  


$




3,573,000




  
  
  


Total Household & Personal Products




$




3,573,000




  
  
  


Health Care Equipment & Services - 3.3%


  
  


  
  
  


Health Care Supplies - 0.2%


  
  


  


2,210,000


  


Sterigenics-Nordion Holdings LLC, 6.5%, 5/15/23 (144A)




$




2,259,725




  
  
  


Health Care Services - 0.5%


  
  


  


3,675,000


  


BioScrip, Inc., 8.875%, 2/15/21




$




3,031,875




  


3,055,000


  


Quintiles Transnational Corp., 4.875%, 5/15/23 (144A)


  


3,098,900




  
  
  
  


$




6,130,775




  
  
  


Health Care Facilities - 2.0%


  
  


  


11,400,000


  


CHS, Inc., 8.0%, 11/15/19




$




11,984,125




  


13,850,000


  


HCA, Inc., 5.375%, 2/1/25


  


14,161,625




  


1,265,000


  


Universal Hospital Services, Inc., 7.625%, 8/15/20


  


1,182,775




  
  
  
  


$




27,328,525




  
  
  


Managed Health Care - 0.5%


  
  


  


6,965,000


  


WellCare Health Plans, Inc., 5.75%, 11/15/20




$




7,313,250




  
  
  


Health Care Technology - 0.1%


  
  


  


1,400,000


  


MedAssets, Inc., 8.0%, 11/15/18




$




1,443,750




  
  
  


Total Health Care Equipment & Services




$




44,476,025




  
  
  


Pharmaceuticals, Biotechnology & Life Sciences - 0.9%


  
  


  
  
  


Pharmaceuticals - 0.9%


  
  


  


5,610,000


  


DPx Holdings BV, 7.5%, 2/1/22 (144A)




$




5,890,500




  


5,700,000


  


Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/23 (144A)


  


5,927,430




  
  
  
  


$




11,817,930




  
  
  


Total Pharmaceuticals, Biotechnology & Life Sciences




$




11,817,930




  
  
  


Banks - 1.0%


  
  


  
  
  


Diversified Banks - 1.0%


  
  


  


3,175,000




6.10




Bank of America Corp., Floating Rate Note (Perpetual)




$




3,160,712




  


475,000




6.50




Bank of America Corp., Floating Rate Note, 10/23/49


  


490,438




  


4,125,000




6.25




Bank of America Corp., Floating Rate Note, 9/29/49


  


4,128,836




  


2,375,000




5.90




Citigroup, Inc., Floating Rate Note (Perpetual)


  


2,360,988




  


3,675,000




5.88




Wells Fargo & Company, Floating Rate Note (Perpetual)


  


3,762,281




  
  
  
  


$




13,903,255




  
  
  


Total Banks




$




13,903,255




  
  
  


Diversified Financials - 3.4%


  
  


  
  
  


Specialized Finance - 1.6%


  
  


  


5,825,000


  


Fly Leasing, Ltd., 6.375%, 10/15/21




$




5,912,375




  


1,515,000


  


Nationstar Mortgage LLC, 6.5%, 6/1/22


  


1,378,650




  


10,350,000


  


Nationstar Mortgage LLC, 6.5%, 7/1/21


  


9,664,312




  


1,820,000


  


Nationstar Mortgage LLC, 6.5%, 8/1/18


  


1,802,928




  


3,100,000


  


Oxford Finance LLC, 7.25%, 1/15/18 (144A)


  


3,177,500




  
  
  
  


$




21,935,765




  
  
  


Consumer Finance - 0.7%


  
  


  


2,000,000


  


Ally Financial, Inc., 4.625%, 3/30/25




$




1,925,000




  


1,250,000


  


Ally Financial, Inc., 4.625%, 5/19/22


  


1,246,875




  


3,875,000




5.55




Capital One Financial Corp., Floating Rate Note (Perpetual)


  


3,879,650




  


3,265,000


  


TMX Finance LLC, 8.5%, 9/15/18 (144A)


  


2,595,675




  
  
  
  


$




9,647,200




  
  
  


Investment Banking & Brokerage - 0.7%


  
  


  


1,000,000


  


E*TRADE Financial Corp., 4.625%, 9/15/23




$




995,000




  


4,325,000




5.55




Morgan Stanley, Floating Rate Note (Perpetual)


  


4,303,375




  


3,975,000




5.38




The Goldman Sachs Group, Inc., Floating Rate Note (Perpetual)


  


3,951,150




  
  
  
  


$




9,249,525




  
  
  


Diversified Capital Markets - 0.4%


  
  


  


5,490,000


  


Quicken Loans, Inc., 5.75%, 5/1/25 (144A)




$




5,311,575




  
  
  


Total Diversified Financials




$




46,144,065




  
  
  


Insurance - 5.3%


  
  


  
  
  


Life & Health Insurance - 0.9%


  
  


  


2,310,000


  


CNO Financial Group, Inc., 4.5%, 5/30/20




$




2,385,075




  


5,400,000


  


Fidelity & Guaranty Life Holdings, Inc., 6.375%, 4/1/21 (144A)


  


5,670,000




  


4,200,000




5.65




Voya Financial, Inc., Floating Rate Note, 5/15/53


  


4,290,720




  
  
  
  


$




12,345,795




  
  
  


Reinsurance - 4.4%


  
  


  


500,000




5.91




Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A)




$




498,950




  


4,064,365


  


Altair Re, Variable Rate Notes, 6/30/16 (e)


  


692,568




  


2,800,000


  


Altair Re, Variable Rate Notes, 6/30/17 (e)


  


2,898,560




  


1,000,000


  


Arlington Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 8/31/16 (e)




1,014,200




  


1,000,000


  


Berwick Segregated Account (KANE SAC Ltd.), Variable Rate Note, 1/22/16 (e)




1,023,800




  


4,500,000


  


Carnoustie Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 2/19/16 (e)




4,816,800




  


1,200,000


  


Clarendon Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 6/15/16 (e)




1,160,760




  


550,000




0.00




Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond)


  


526,790




  


3,014,550


  


Exeter Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/7/16 (e)




3,066,099




  


1,500,000


  


Fairfield Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 2/2/16 (e)




1,444,950




  


6,200,000


  


Gullane Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/22/17 (e)




6,558,980




  


1,261,500


  


Hereford Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/7/16 (e)




1,305,274




  


1,000,000




3.76




Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A)


  


984,000




  


500,000


  


Lahinch Re, Variable Rate Notes, 6/15/16 (e)


  


490,750




  


2,600,000


  


Lorenz Re, Ltd., Variable Rate Notes, 3/31/18 (e)


  


2,682,940




  


1,467,400


  


Muirfield Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/12/16 (e)




1,501,003




  


4,500,000


  


Pangaea Re, Series 2015-1, Principal at Risk Notes, 2/1/19 (e)


  


4,832,550




  


5,800,000


  


Pangaea Re, Series 2015-2, Principal at Risk Notes, 11/30/19 (e)


  


5,891,640




  


5,120,000


  


Pangaea Re., Variable Rate Notes, 7/1/18 (e)


  


92,160




  


1,500,000


  


Prestwick Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 7/1/16 (e)




1,538,700




  


12,321


  


Sector Re V, Ltd., Variable Rate Notes, 12/1/18 (144A) (e)


  


89,506




  


1,100,000


  


Sector Re V, Ltd., Variable Rate Notes, 12/1/19 (144A) (e)


  


1,164,460




  


1,000,000


  


Sector Re V, Ltd., Variable Rate Notes, 3/1/20 (144A) (e)


  


1,017,800




  


1,300,000


  


Sector Re V, Ltd., Variable Rate Notes, 3/1/20 (144A) (e)


  


1,311,830




  


2,152


  


Sector Re V, Ltd., Variable Rate Notes, 3/30/19  (144A) (e)


  


297,306




  


2,000,000


  


Silverton Re, Ltd., Variable Rate Notes, 9/16/16 (144A) (e)


  


78,000




  


2,000,000


  


Silverton RE, Ltd., Variable Rate Notes, 9/18/17 (144A) (e)


  


2,217,200




  


3,000,000


  


St. Andrews Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/22/16 (e)




3,075,300




  


1,514,150


  


Troon Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/12/16 (e)




1,539,133




  


506,000


  


Turnberry Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/15/16 (e)




511,414




  


4,400,000


  


Versutus Ltd., Series 2015-A, Variable Rate Notes, 12/31/2017 (e)


  


4,701,840




  
  
  
  


$




59,025,263




  
  
  


Total Insurance




$




71,371,058




  
  
  


Real Estate - 0.8%


  
  


  
  
  


Specialized REIT - 0.7%


  
  


  


3,252,860


  


AAF Holdings LLC, 12.0%, 7/1/19 (144A) (12.0% cash, 0.0% PIK) (PIK)




$




3,228,464




  


5,465,000


  


Equinix, Inc., 5.375%, 4/1/23


  


5,519,104




  
  
  
  


$




8,747,568




  
  
  


Real Estate Services - 0.1%


  
  


  


1,480,000


  


Kennedy-Wilson, Inc., 5.875%, 4/1/24




$




1,467,050




  
  
  


Total Real Estate




$




10,214,618




  
  
  


Software & Services - 1.7%


  
  


  
  
  


Internet Software & Services - 1.1%


  
  


  


3,400,000


  


Bankrate, Inc., 6.125%, 8/15/18 (144A)




$




3,306,500




  


4,475,000


  


Cimpress NV, 7.0%, 3/24/22 (144A)


  


4,586,875




  


6,085,000


  


j2 Global, Inc., 8.0%, 8/1/20


  


6,548,981




  
  
  
  


$




14,442,356




  
  
  


Data Processing & Outsourced Services - 0.4%


  
  


  


2,350,000


  


Audatex North America, Inc., 6.0%, 6/15/21 (144A)




$




2,399,938




  


3,688,000


  


NeuStar, Inc., 4.5%, 1/15/23


  


3,134,800




  
  
  
  


$




5,534,738




  
  
  
  
  
  


  
  
  


Home Entertainment Software - 0.2%


  
  


  


3,285,000


  


Activision Blizzard, Inc., 6.125%, 9/15/23 (144A)




$




3,539,588




  
  
  


Total Software & Services




$




23,516,682




  
  
  


Technology Hardware & Equipment - 1.1%


  
  


  
  
  


Communications Equipment - 0.3%


  
  


  


1,890,000


  


CommScope Technologies Finance LLC, 6.0%, 6/15/25 (144A)




$




1,866,375




  


1,595,000


  


Plantronics, Inc., 5.5%, 5/31/23 (144A)


  


1,618,925




  
  
  
  


$




3,485,300




  
  
  


Technology Hardware, Storage & Peripherals - 0.7%


  
  


  


5,900,000


  


Seagate HDD Cayman, 4.75%, 1/1/25




$




5,841,472




  


4,300,000


  


Seagate HDD Cayman, 4.75%, 6/1/23


  


4,352,675




  
  
  
  


$




10,194,147




  
  
  


Electronic Manufacturing Services - 0.1%


  
  


  


1,380,000


  


Flextronics International, Ltd., 4.625%, 2/15/20




$




1,424,850




  
  
  


Total Technology Hardware & Equipment




$




15,104,297




  
  
  


Semiconductors & Semiconductor Equipment - 0.9%


  
  


  
  
  


Semiconductor Equipment - 0.4%


  
  


  


5,100,000


  


Entegris, Inc., 6.0%, 4/1/22 (144A)




$




5,227,500




  
  
  


Semiconductors - 0.5%


  
  


  


2,230,000


  


Advanced Micro Devices, Inc., 6.75%, 3/1/19




$




1,622,325




  


1,420,000


  


Advanced Micro Devices, Inc., 7.0%, 7/1/24


  


944,300




  


2,680,000


  


Micron Technology, Inc., 5.25%, 8/1/23 (144A)


  


2,579,500




  


1,825,000


  


Micron Technology, Inc., 5.875%, 2/15/22


  


1,861,500




  
  
  
  


$




7,007,625




  
  
  


Total Semiconductors & Semiconductor Equipment




$




12,235,125




  
  
  


Telecommunication Services - 6.0%


  
  


  
  
  


Integrated Telecommunication Services - 3.5%


  
  


  


2,765,000


  


CenturyLink, Inc., 5.625%, 4/1/25 (144A)




$




2,526,519




  


3,625,000


  


CenturyLink, Inc., 5.8%, 3/15/22


  


3,520,781




  


3,300,000


  


CenturyLink, Inc., 6.45%, 6/15/21


  


3,366,000




  


9,858,000


  


Cincinnati Bell, Inc., 8.375%, 10/15/20


  


10,338,578




  


304,000


  


Frontier Communications Corp., 7.125%, 1/15/23


  


274,360




  


9,401,000


  


Frontier Communications Corp., 8.5%, 4/15/20


  


9,730,035




  


3,100,000


  


Frontier Communications Corp., 8.75%, 4/15/22


  


3,074,812




  


8,830,000


  


Windstream Corp., 7.5%, 6/1/22


  


7,262,675




  


4,975,000


  


Windstream Services LLC, 6.375%, 8/1/23


  


3,855,625




  


3,460,000


  


Windstream Services LLC, 7.75%, 10/15/20


  


3,168,062




  
  
  
  


$




47,117,447




  
  
  


Wireless Telecommunication Services - 2.5%


  
  


  


1,840,000


  


Altice Financing SA, 6.625%, 2/15/23 (144A)




$




1,895,200




  


14,235,000


  


Sprint Corp., 7.25%, 9/15/21


  


13,612,219




  


1,200,000


  


T-Mobile USA, Inc., 6.5%, 1/15/24


  


1,267,128




  


4,300,000


  


T-Mobile USA, Inc., 6.542%, 4/28/20


  


4,529,620




  


3,180,000


  


T-Mobile USA, Inc., 6.625%, 4/1/23


  


3,386,700




  


2,865,000


  


T-Mobile USA, Inc., 6.633%, 4/28/21


  


3,033,176




  


2,000,000


  


T-Mobile USA, Inc., 6.731%, 4/28/22


  


2,120,000




  


3,350,000


  


WCP Issuer llc, 6.657%, 8/15/20 (144A)


  


3,516,662




  
  
  
  


$




33,360,705




  
  
  


Total Telecommunication Services




$




80,478,152




  
  
  


Utilities - 1.7%


  
  


  
  
  


Electric Utilities - 0.7%


  
  


  


7,360,000


  


Talen Energy Supply LLC, 4.625%, 7/15/19 (144A)




$




7,139,200




  


2,250,000


  


Talen Energy Supply LLC, 6.5%, 6/1/25 (144A)


  


2,205,000




  
  
  
  


$




9,344,200




  
  
  


Gas Utilities - 0.4%


  
  


  


1,850,000


  


Ferrellgas LP, 6.5%, 5/1/21




$




1,854,625




  


3,585,000


  


Ferrellgas LP, 6.75%, 1/15/22


  


3,611,888




  
  
  
  


$




5,466,513




  
  
  


Independent Power Producers & Energy Traders - 0.6%


  
  


  


1,650,000


  


AES Corp. Virginia, 5.5%, 3/15/24




$




1,608,750




  


1,450,000


  


NRG Energy, Inc., 6.25%, 5/1/24


  


1,424,625




  


4,700,000


  


NRG Energy, Inc., 7.625%, 1/15/18


  


5,098,560




  
  
  
  


$




8,131,935




  
  
  


Total Utilities




$




22,942,648




  
  
  


TOTAL CORPORATE BONDS


  
  


  
  
  


(Cost $871,635,915)




$




835,285,591




  
  
  
  
  
  


  
  
  


U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 1.5%


  
  


  


5,000,000




0.10




U.S. Treasury Note, Floating Rate Note, 1/31/16




$




5,000,000




  


5,000,000




0.10




U.S. Treasury Note, Floating Rate Note, 10/31/16


  


4,999,950




  


5,000,000




0.12




U.S. Treasury Note, Floating Rate Note, 4/30/16


  


5,000,810




  


5,000,000




0.12




U.S. Treasury Note, Floating Rate Note, 7/31/16


  


5,001,010




  
  
  


TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS


  
  


  
  
  


(Cost $19,998,150)




$




20,001,770




  
  
  
  
  
  


  
  
  


SENIOR FLOATING RATE LOAN INTERESTS - 8.3% **


  
  


  
  
  


Energy - 0.6%


  
  


  
  
  


Oil & Gas Drilling - 0.4%


  
  


  


3,863,910




7.50




Jonah Energy LLC, Term Loan (Second Lien), 5/8/21




$




3,535,478




  


2,297,125




5.75




Offshore Group Investment, Ltd., Term Loan, 3/28/19


  


1,185,891




  
  
  
  


$




4,721,369




  
  
  


Oil & Gas Equipment & Services - 0.2%


  
  


  


5,168,665




8.38




Fieldwood Energy LLC, Closing Date Loan (Second Lien), 9/30/20




$




2,858,918




  
  
  


Total Energy




$




7,580,287




  
  
  


Materials - 0.5%


  
  


  
  
  


Specialty Chemicals - 0.5%


  
  


  


5,100,000




0.27




A. Schulman, Inc., Bridge Facility, 3/25/16




$




5,100,000




  


1,485,460




3.75




Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20




1,486,080




  
  
  
  


$




6,586,080




  
  
  


Diversified Metals & Mining - 0.0% †


  
  


  


530,000




3.75




Fortescue Metals Group Ltd., Bank Loan, 6/30/19




$




435,649




  
  
  


Total Materials




$




7,021,729




  
  
  


Capital Goods - 0.6%


  
  


  
  
  


Building Products - 0.6%


  
  


  


7,410,000




0.00




Builders Firstsource Inc.,  Bridge Loan,  4/13/16 (d)




$




7,410,000




  
  
  


Total Capital Goods




$




7,410,000




  
  
  


Commercial Services & Supplies - 0.3%


  
  


  
  
  


Environmental & Facilities Services - 0.1%


  
  


  


614,363




4.00




WCA Waste Corp., Term Loan, 3/23/18




$




612,443




  
  
  


Diversified Support Services - 0.0% †


  
  


  


419,879




4.84




IAP Worldwide Services, Inc., Term Loan, 7/18/19




$




415,680




  
  
  


Security & Alarm Services - 0.2%


  
  


  


2,673,469




4.25




Monitronics International, Inc., Term B Loan, 3/23/18




$




2,686,003




  
  
  


Total Commercial Services & Supplies




$




3,714,126




  
  
  


Automobiles & Components - 0.7%


  
  


  
  
  


Auto Parts & Equipment - 0.7%


  
  


  


1,940,350




4.50




TI Group Automotive Systems LLC., (Term Loan), 6/25/22




$




1,950,659




  


7,387




3.50




Allison Transmission, Inc., Term B-3 Loan, 8/23/19


  


7,420




  


7,951,823




4.00




Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20


  


7,961,762




  
  
  
  


$




9,919,841




  
  
  


Total Automobiles & Components




$




9,919,841




  
  
  


Media - 0.7%


  
  


  
  
  


Advertising - 0.1%


  
  


  


1,973,082




6.75




Affinion Group, Inc., Tranche B Term Loan, 4/30/18




$




1,876,401




  
  
  


Broadcasting - 0.1%


  
  


  


1,406,400




4.00




Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20




$




1,407,376




  
  
  


Cable & Satellite - 0.4%


  
  


  


5,725,000




0.00




Charter Communications, Bridge Loan (First Lien), 6/26/16 (d)




$




5,725,000




  
  
  


Movies & Entertainment - 0.1%


  
  


  


764,711




3.75




Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18




$




765,667




  
  
  


Total Media




$




9,774,444




  
  
  


Retailing - 0.5%


  
  


  
  
  


Automotive Retail - 0.5%


  
  


  


6,835,250




5.25




CWGS Group LLC, Term Loan, 2/20/20




$




6,873,698




  
  
  


Total Retailing




$




6,873,698




  
  
  


Food & Staples Retailing - 0.6%


  
  


  
  
  


Drug Retail - 0.6%


  
  


  


7,530,000




7.00




Rite Aid Corporation, Bridge Loan, 2/23/16




$




7,530,000




  
  
  


Food Distributors - 0.0% †


  
  


  


8,454




5.75




AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17




$




8,488




  
  
  


Total Food & Staples Retailing




$




7,538,488




  
  
  


Health Care Equipment & Services - 1.2%


  
  


  
  
  


Health Care Equipment - 0.2%


  
  


  


2,379,743




4.50




Kinetic Concepts, Inc., Term  DTL-E1 loan, 5/4/18




$




2,394,059




  
  
  


Health Care Services - 1.0%


  
  


  


1,355,556




4.50




National Surgical Hospitals Inc., First Lien Term Loan, 5/15/22




$




1,356,369




  


1,162,796




4.25




Alliance HealthCare Services, Inc., Initial Term Loan, 6/3/19


  


1,161,888




  


1,940,050




7.50




Ardent Medical Services, Inc., 1st Lien Term Loan, 5/2/18


  


1,945,709




  


720,822




0.00




Ardent Legacy Acquisitions Inc., 1st Lien Term Loan, 7/31/21 (d)


  


725,327




  


2,053,542




6.25




BioScrip, Inc., Initial Term B Loan, 7/31/20


  


2,044,558




  


1,232,125




6.50




BioScrip, Inc., Term Loan, 7/31/20


  


1,226,735




  


3,430,000




8.28




MJ Acquisition Corporation, 2nd Lien Term Loan, 4/08/23


  


3,449,208




  


2,557,625




4.25




National Mentor Holdings, Inc., Tranche B Term Loan, 1/31/21


  


2,565,618




  
  
  
  


$




14,475,412




  
  
  


Managed Health Care - 0.1%


  
  


  


721,714




9.75




MMM Holdings, Inc., Term Loan, 10/9/17




$




564,742




  


524,682




9.75




MSO of Puerto Rico, Inc., MSO Term Loan, 12/12/17


  


410,564




  
  
  
  


$




975,306




  
  
  


Total Health Care Equipment & Services




$




17,844,777




  
  
  


Pharmaceuticals, Biotechnology & Life Sciences - 0.5%


  
  


  
  
  


Biotechnology - 0.5%


  
  


  


7,460,000




7.00




Lantheus Medical Imaging Inc., First Lien Term loan, 6/25/22




$




7,376,075




  
  
  


Total Pharmaceuticals, Biotechnology & Life Sciences




$




7,376,075




  
  
  


Diversified Financials - 0.1%


  
  


  
  
  


Other Diversified Financial Services - 0.1%


  
  


  


1,965,497




5.25




WorldPay, Facility B2A Term Loan, 8/6/17




$




1,980,238




  
  
  


Total Diversified Financials




$




1,980,238




  
  
  


Insurance - 0.5%


  
  


  
  
  


Multi-line Insurance - 0.5%


  
  


  


369,685




0.00




Alliant Holdings I LLC, Initial Term Loan, 7/28/22 (d)




$




370,205




  


1,230,157




5.00




Alliant Holdings I LLC, Initial Term Loan, 12/20/19


  


1,231,886




  


5,205,000




0.00




Alliant Holdings Inc., First Lien Bridge Loan, 7/9/23 (d)


  


5,205,000




  
  
  


Total Insurance




$




6,807,091




  
  
  


Software & Services - 0.6%


  
  


  
  
  


IT Consulting & Other Services - 0.2%


  
  


  


1,980,000




5.75




Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21




$




1,931,326




  
  
  


Application Software - 0.4%


  
  


  


4,813,691




8.50




Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18




$




4,825,725




  


668,841




4.25




Vertafore, Inc., Term Loan (2013), 10/3/19


  


670,764




  
  
  
  


$




5,496,489




  
  
  


Total Software & Services




$




7,427,815




  
  
  


Telecommunication Services - 0.7%


  
  


  
  
  


Integrated Telecommunication Services - 0.7%


  
  


  


5,000,000




0.00




Level 3 Financing Inc., First Lien Term Loan, 5/31/22 (d)




$




4,986,875




  


5,100,408




3.50




Virgin Media, First Lien Term Loan, 6/30/23


  


5,090,049




  
  
  
  


$




10,076,924




  
  
  


Total Telecommunication Services




$




10,076,924




  
  
  


TOTAL SENIOR FLOATING RATE LOAN INTERESTS


  
  


  
  
  


(Cost $114,808,475)




$




111,345,533




  
  
  
  
  
  


  
  
  


TEMPORARY CASH INVESTMENTS - 0.3%


  
  


  
  
  


Commercial Paper - 0.3%


  
  


  


3,355,000


  


Barclays US Funding LLC, Commercial Paper, 8/3/15




$




3,354,938




  
  
  
  
  
  


  
  
  


TOTAL TEMPORARY CASH INVESTMENTS


  
  


  
  
  


(Cost $3,354,974)




$




3,354,938




  
  
  
  
  
  


  
  
  


TOTAL INVESTMENT IN SECURITIES - 99.4%


  
  


  
  
  


(Cost $1,349,575,086) (a)




$




1,334,174,105




  
  
  


OTHER ASSETS & LIABILITIES - 0.6%




$




7,754,645




  
  
  


TOTAL NET ASSETS - 100.0%




$




1,341,928,750




  
  
  
  
  
  


  
  
  
  
  
  


  


†


  


Amount rounds to less than 0.1%.


  
  


  
  
  
  
  
  


  


*


  


Non-income producing security.


  
  


  
  
  
  
  
  


  


(PIK)


  


Represents a pay-in-kind security.


  
  


  
  
  
  
  
  


  


(Step)


  


Bond issued with an initial coupon rate which converts to a higher rate at a later date.




  
  
  
  
  
  


  


REIT


  


Real Estate Investment Trust.


  
  


  
  
  
  
  
  


  


(Perpetual)




Security with no stated maturity date.


  
  


  
  
  
  
  
  


  


(Cat Bond)




Catastrophe or Event Linked Bond. At July 31, 2015, the value of these securities amounted to $2,009,740, or 0.1% of total net assets.




  
  
  
  
  
  


  


REMICS




Real Estate Mortgage Investment Conduits.


  
  


  
  
  
  
  
  


  


**


  


Senior floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium.  These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders.  The rate shown is the coupon rate at period end.




  
  
  
  
  
  


  


(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, 2015, the value of these securities amounted to $307,694,160 or 22.9% of total net assets.




  
  
  
  
  
  


  


(a)


  


At July 31, 2015, the net unrealized depreciation on investments based on




  
  
  


cost for federal income tax purposes of $1,354,694,042 was as follows:




  
  
  
  
  
  


  
  
  


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost




$




78,378,864




  
  
  
  
  
  


  
  
  


Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value




$




(98,898,801)




  
  
  
  
  
  


  
  
  


Net unrealized depreciation




$




(20,519,937)




  
  
  
  
  
  


  
  
  
  
  
  


  


(b)


  


Debt obligation with a variable interest rate. Rate shown is rate at end of period.




  
  
  
  
  
  


  


(c)


  


Security issued with a zero coupon. Income is recognized through accretion of discount.




  
  
  
  
  
  


  


(d)


  


Rate to be determined.


  
  


  
  
  
  
  
  


  


(e)


  


Structured reinsurance investment. At July 31, 2015, the value of these securities amounted to $57,099,073 or 4.3% of total net assets.




  
  
  
  
  
  


  


(f)


  


Security is in default and is non-income producing.


  
  


  
  
  
  
  
  


  


(g)


  


Security is valued using fair value methods (other than prices supplied by independent pricing services or broker-dealers).



















 
 
 


CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION


 
 
 
 
 
 
  
 
 
 
 
 
 


 
 
 
 
 
  
  
 
 
 
 
 
 
  
 
 
 
 
 
 


 
 
 


Notional Principal ($) (1)


 


Counterparty




Obligation Entity/Index


 


Coupon


 
 


Credit Rating (2)


 


Expiration Date


 


Premiums Paid (Received)


 
 


Unrealized Appreciation


 


 
 
 
 
27,629,015
 


Chicago Mercentile Exchange




Markit CDX North America High Yield Index


 
 
5.00
%
 
 
B
+


12/20/19


 
$
1,879,644
 
 
$
269,535
 


 
 
 
 
 
 
  
  
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 


 
 
             (1)
 


The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event.


 
 
 
 
 


 
 
             (2)
 


Based on Standard & Poor's rating of the issuer or the weighted average of all the underlying securities in the index.


 
  
 
 
 
 
 
 
 
 

















Various inputs are used in determining the value of the Fund's investments.  These inputs are summarized in the three broad levels listed 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 risk, etc.)






Level 3 – significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments)




  
  
  
  




Generally, equity securities are categorized as Level 1, fixed income securities and senior loans as Level 2 and securities valued






using fair value methods (other than prices supplied by independent pricing services or broker-dealers) as Level 3.




  
  
  
  




The following is a summary of the inputs used as of July 31, 2015, in valuing the Fund's investments:

















  
  
 


Level 1


 
 


Level 2


 
 


Level 3


 
 


Total


 


  


Convertible Corporate Bonds


 
$
-
 
 
 
182,364,147
 
 
$
-
 
 
$
182,364,147
 


  


Preferred Stocks


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


 Transportation


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


  Air Freight & Logistics


 
 
-
 
 
 
3,655,637
 
 
 
-
 
 
 
3,655,637
 


  


 Diversified Financials


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


  Consumer Finance


 
 
9,415,914
 
 
 
3,290,810
 
 
 
-
 
 
 
12,706,724
 


  


 Insurance


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


  Reinsurance


 
 
-
 
 
 
-
 
 
 
83,750
 
 
 
83,750
 


  


 All Other Preferred Stocks


 
 
19,655,170
 
 
 
-
 
 
 
-
 
 
 
19,655,170
 


  


Convertible Preferred Stocks


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


 Energy


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


  Oil & Gas Exploration & Production


 
 
-
 
 
 
885,091
 
 
 
-
 
 
 
885,091
 


  


 Consumer Durables & Apparel


 
 
 
 
 
 
 
 
 
 
 
 
 
 
-
 


  


  Home Furnishings


 
 
-
 
 
 
12,627,872
 
 
 
-
 
 
 
12,627,872
 


  


 All Other Convertible Preferred Stocks


 
 
4,543,054
 
 
 
-
 
 
 
-
 
 
 
4,543,054
 


  


Common Stocks


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


 Capital Goods


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


  Industrial Machinery


 
 
-
 
 
 
-
 
 
 
737
 
 
 
737
 


  


 Commercial Services & Supplies


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


  Diversified Support Services


 
 
-
 
 
 
42,412
 
 
 
-
 
 
 
42,412
 


  


 Transportation


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


  Air Freight & Logistics


 
 
-
 
 
 
1,688,724
 
 
 
-
 
 
 
1,688,724
 


  


 Consumer Services


 
 
 
 
 
 
 
 
 
 
 
 
 
 
-
 


  


  Education Services


 
 
-
 
 
 
393,380
 
 
 
-
 
 
 
393,380
 


  


 All Other Common Stocks


 
 
99,044,804
 
 
 
-
 
 
 
-
 
 
 
99,044,804
 


  


Asset Backed Securities


 
 
-
 
 
 
1,266,257
 
 
 
-
 
 
 
1,266,257
 


  


Collateralized Mortgage Obligations


 
 
-
 
 
 
25,228,514
 
 
 
-
 
 
 
25,228,514
 


  


Corporate Bonds


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


 Capital Goods


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


  Industrial Machinery


 
 
-
 
 
 
-
 
 
 
945,920
 
 
 
945,920
 


  


 Insurance


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


  Reinsurance


 
 
-
 
 
 
2,009,740
 
 
 
57,015,523
 
 
 
59,025,263
 


  


All Other Corporate Bonds


 
 
-
 
 
 
775,314,408
 
 
 
-
 
 
 
775,314,408
 


  


U.S. Government and Agency Obligations


 
 
-
 
 
 
20,001,770
 
 
 
-
 
 
 
20,001,770
 


  


Senior Floating Rate Loan Interests


 
 
-
 
 
 
111,345,533
 
 
 
-
 
 
 
111,345,533
 


  


Commercial Paper


 
 
-
 
 
 
3,354,938
 
 
 
-
 
 
 
3,354,938
 


  


Total


 
$
132,658,942
 
 
$
1,143,469,233
 
 
$
58,045,930
 
 
$
1,334,174,105
 


  
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 




Following is a reconciliation of assets using significant unobservable inputs (Level 3):


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  
  
 


Preferred



Stocks


 
 


Common Stocks


 
 


Corporate Bonds


 
 


Total


 


  


Balance as of 10/31/14


 
$
5,359,616
 
 
$
-
 
 
$
34,341,400
 
 
$
39,701,016
 


  


Realized gain (loss)1


 
 
-
 
 
 
-
 
 
 
46,666
 
 
 
46,666
 


  


Change in unrealized appreciation (depreciation)2


 
 
(3,629,725
)
 
 
-
 
 
 
(6,804,264
)
 
 
(10,433,989
)


  


Purchases


 
 
-
 
 
 
737
 
 
 
51,663,490
 
 
 
51,664,227
 


  


Sales


 
 
-
 
 
 
-
 
 
 
(22,931,990
)
 
 
(22,931,990
)


  


Transfers in and out of Level 3 Categories


 
 
(1,646,141
)
 
 
-
 
 
 
1,646,141
 
 
 
-
 


  


Transfers into Level 3**


 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 


  


Transfers out of Level 3**


 
 
-
 
 
 
-
 
 
 
-
 
 
 
-
 


  


Balance as of 7/31/15


 
 
83,750
 
 
 
737
 
 
 
57,961,443
 
 
 
58,045,930
 


  
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 




1




Realized gain (loss) on these securities is included in the net realized gain (loss) from investments in the Statement of Operations.


 


  
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 




2




Unrealized appreciation (depreciation) on these securities is included in the change in unrealized appreciation (depreciation) on investments in the Statement of Operations.


 


  
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 




**




Transfers are calculated on the beginning of period values.


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


During the period ended July 31, 2015 there were no transfers between Levels 1, 2 and 3.


 
 
 
 
 


  
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


  


Net change in unrealized appreciation (depreciation) of investments


 
 
 
 
 
 
 
 
 
 
 
 
 




                still held as of 7/31/15


 
$
(10,433,989
)
 
 
 
 
 
 
 
 
 
 
 
 





















 ITEM 2. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. (b) Disclose any change in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. There were no significant changes in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below: CERTIFICATIONS I, [identify the certifying individual], certify that: 1. I have reviewed this report on Form N-Q of [identify registrant]; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and 5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. Date: [Signature] [Title] Filed herewith. <PAGE> SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Pioneer High Yield Fund By (Signature and Title)* /s/ Lisa M.Jones ----------------------- Lisa M.Jones, President and Chief Executive Officer Date September 29, 2015 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Lisa M.Jones ----------------------- Lisa M.Jones, President and Chief Executive Officer Date September 29, 2015 By (Signature and Title)* /s/ Mark E. Bradley ----------------- Mark E. Bradley, Treasurer and Chief Accounting and Financial Officer Date September 29, 2015 * Print the name and title of each signing officer under his or her signature.