N-Q 1 hnwsoi.htm HNW SOI hnwsoi.htm
   

                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM N-Q

                   QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
    OF REGISTERED MANAGEMENT INVESTMENT COMPANY



            Investment Company Act file number 811-22014


                         Pioneer Diversified High Income Trust
               (Exact name of registrant as specified in charter)


                       60 State Street, Boston, MA 02109
              (Address of principal executive offices) (ZIP code)


            Terrence J. Cullen, Pioneer Investment Management, Inc.,
                       60 State Street, Boston, MA 02109
                    (Name and address of agent for service)


Registrant's telephone number, including area code:  (617) 742-7825


Date of fiscal year end:  April 30

Date of reporting period:  January 31, 2016

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

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


<PAGE>
ITEM 1. Schedule of Investments.

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



   
Pioneer Diversified High
   
Income Trust
     
     
     
     
     
     
     
   
NQ | January 31, 2016
     
     
   
Ticker Symbol: HNW

 
 
                           Principal
                            Amount
                            USD ($)
   
Value
         
   
ASSET BACKED SECURITIES -  1.5% of Net Assets
   
 
  652,444(a)
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.906%, 5/15/24 (144A)   
 
$ 130,489 
 
  250,000 
American Credit Acceptance Receivables Trust, Series 2014-2, Class D, 4.96%, 5/10/21 (144A)   
 
 252,862 
 
  200,000 
Ascentium Equipment Receivables LLC, Series 2015-1A, Class E, 5.92%, 6/12/23 (144A)   
 
  199,671 
 
  81,268 
Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 3/15/17     
 
  83,349 
 
  290,000(b)
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)   
 
  272,523 
 
  468,112(c)
GMAT Trust, Series 2015-1A, Class A1, 4.25%, 9/25/20 (144A)   
 
  465,959 
 
  212,298 
Monty Parent Issuer LLC, Series 2013-LTR1, Class B, 4.25%, 11/20/28 (144A)   
 
  212,265 
 
  399,973(c)
VOLT XXXVII LLC, Series 2015-NP11, Class A2, 4.375%, 7/25/45 (144A)   
 
  381,322 
   
TOTAL ASSET BACKED SECURITIES
   
   
(Cost  $2,307,899)
 
                          $ 1,998,440 
   
COLLATERALIZED MORTGAGE OBLIGATIONS -  3.6% of Net Assets
   
 
  375,000(a)
BAMLL Commercial Mortgage Securities Trust, Series 2014-INLD, Class F, 2.954%, 12/15/29 (144A)   
 
$ 338,919 
 
  145,016(b)
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41     
 
 144,959 
 
  260,000(a)
CFCRE Mortgage Trust, Series 2015-RUM, Class E, 5.026%, 7/15/30 (144A)   
 
  252,110 
 
  500,000(b)
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class E, 3.208%, 7/10/47 (144A)   
 
  309,917 
 
  500,000(b)
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class C, 5.957%, 5/15/46     
 
 460,436 
 
  300,000(b)
COMM Mortgage Trust, Series 2007-C9, Class H, 5.989%, 12/10/49 (144A)   
 
  276,766 
 
  250,000(b)
COMM Mortgage Trust, Series 2012-CR2, Class E, 5.017%, 8/15/45 (144A)   
 
  233,356 
 
  500,000(a)
CSMC Trust, Series 2015-SAND, Class F, 5.126%, 8/15/30 (144A)
 
  484,743 
 
  115,766(a)
EQTY Mezzanine Trust, Series 2014-INMZ, Class M, 5.174%, 5/8/31 (144A)   
 
  115,192 
 
  170,000(a)
EQTY Mortgage Trust, Series 2014-INNS, Class E, 3.874%, 5/8/31 (144A)   
 
  165,521 
 
  70,810 
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A)   
 
  55,808 
 
  134,757 
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32     
 
  99,864 
 
  132,145 
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)   
 
  130,030 
 
  150,000 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45     
 
  144,430 
 
  550,000(a)
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-INN, Class E, 4.026%, 6/15/29 (144A)   
 
  540,428 
 
  495,227(b)
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41     
 
  493,174 
 
  500,000(b)
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49     
 
  486,519 
   
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
   
   
(Cost  $4,817,340)
 
                          $ 4,732,172 
         
   
SENIOR SECURED FLOATING RATE LOAN INTERESTS -  32.4% of Net Assets*(a)
   
   
AUTOMOBILES & COMPONENTS - 2.8%
   
   
Auto Parts & Equipment - 1.5%
   
 
  494,987 
Crowne Group LLC, First Lien Initial Term Loan, 6.0%, 9/30/20   
 
$ 476,425 
 
  185,055 
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21   
 
  149,548 
 
  162,108 
Key Safety Systems, Inc., Initial Term Loan, 4.75%, 8/29/21   
 
  157,549 
 
  252,727 
MPG Holdco I, Inc., Initial Term Loan, 3.75%, 10/20/21   
 
  243,678 
 
  179,096 
TI Group Automotive Systems LLC, Initial US Term Loan, 4.5%, 6/30/22   
 
  174,395 
 
  791,099 
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.0%, 4/23/20   
 
  759,455 
       
                                      $ 1,961,050 
   
Automobile Manufacturers - 1.1%
   
 
  1,432,500 
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17  
 
$ 1,426,730 
         

 
Principal
Amount
USD ($)
   
Value
   
Tires & Rubber - 0.2%
   
 
  287,500 
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.75%, 4/30/19   
 
$ 288,174 
   
Total Automobiles & Components 
 
                          $ 3,675,954 
         
   
CAPITAL GOODS - 4.4%
   
   
Aerospace & Defense - 0.4%
   
 
  121,966 
TASC, Inc., First Lien Term Loan, 7.0%, 5/22/20   
 
$ 121,152 
 
  232,628 
Vencore, Inc. (fka SI Organization, Inc.), Initial First Lien Term Loan, 5.75%, 11/23/19   
 
  230,496 
 
  157,600 
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21   
 
  142,891 
       
                         $ 494,539 
   
Building Products - 1.4%
   
 
  913,099 
Builders FirstSource, Inc., Term Loan B, 6.0%, 7/29/22   
 
$ 897,880 
 
  500,000 
Quanex Building Products Corp., Initial Term Loan, 6.25%, 11/2/22   
 
  492,187 
 
  396,994 
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18   
 
  380,122 
       
                               $ 1,770,189 
   
Construction Machinery & Heavy Trucks - 0.3%
   
 
  390,000 
Navistar, Inc., Tranche B Term Loan, 6.5%, 8/7/20   
 
$ 346,125 
   
Electrical Components & Equipment - 0.4%
   
 
  516,855 
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17   
 
$ 503,072 
   
Industrial Conglomerates - 0.8%
   
 
  494,554 
Doosan Infracore International, Inc. (Doosan Holdings Europe, Ltd.), Tranche B Term Loan, 4.5%, 5/28/21   
 
$ 475,390 
 
  102,580 
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Dollar Term B-3 Loan, 4.25%, 8/30/20   
 
  102,067 
 
  337,095 
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.25%, 8/30/20   
 
  335,410 
 
  35,118 
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.25%, 8/30/20   
 
  34,943 
 
  89,694 
Filtration Group Corp., Initial Second Lien Term Loan, 8.25%, 11/22/21   
 
  87,153 
 
  10,632 
Kleopatra Holdings 2 SCA, Initial German Borrower Dollar Term Loan, 5.0%, 4/28/20   
 
  10,614 
 
  24,879 
Kleopatra Holdings 2 SCA, Initial US Borrower Dollar Term Loan, 5.0%, 4/28/20   
 
  24,837 
       
                                       $ 1,070,414 
   
Industrial Machinery - 0.7%
   
 
  498,750 
NN, Inc., Initial Term Loan, 5.75%, 10/19/22   
 
$ 491,269 
 
  473,787 
Xerium Technologies, Inc., New Term Loan, 6.25%, 5/17/19   
 
  473,491 
       
                         $ 964,760 
   
Trading Companies & Distributors - 0.4%
   
 
  299,013 
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18
 
$ 299,013 
 
  284,593 
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19   
 
  284,771 
       
                         $ 583,784 
   
Total Capital Goods 
 
                            $ 5,732,883 
         
   
COMMERCIAL & PROFESSIONAL SERVICES - 0.5%
   
   
Environmental & Facilities Services - 0.3%
   
 
  500,000 
Granite Acquisition, Inc., Second Lien Term B Loan, 8.25%, 12/19/22   
 
$ 388,333 
   
Security & Alarm Services - 0.2%
   
 
  120,230 
Monitronics International, Inc., 2013 Term Loan B, 4.25%, 3/23/18   
 
$ 116,623 
 
  127,250 
Protection One, Inc., 2012 Term Loan, 5.0%, 7/1/21   
 
  125,421 
       
                         $ 242,044 
   
Total Commercial & Professional Services 
 
                       $ 630,377 
         
   
CONSUMER DURABLES & APPAREL - 0.3%
   
   
Home Furnishings - 0.1%
   
 
  72,361 
Tempur Pedic International, Inc., New Term Loan B, 3.5%, 3/18/20   
 
$ 72,282 
   
Leisure Products - 0.2%
   
 
  300,000 
Bombardier Recreational Products, Inc., Term B Loan, 3.75%, 1/30/19   
 
$ 296,400 
   
Total Consumer Durables & Apparel 
 
                               $ 368,682 
         
   
CONSUMER SERVICES - 1.6%
   
   
Casinos & Gaming - 0.2%
   
 
  297,000 
Scientific Games International, Inc., Initial Term B-2 Loan, 6.0%, 10/1/21   
 
$ 265,391 
   
Leisure Facilities - 0.1%
   
 
  130,795 
Fitness International LLC, Term B Loan, 5.5%, 7/1/20   
 
$ 123,847 

 
Principal
Amount
USD ($)
   
Value
   
Restaurants - 0.7%
   
 
  387,677 
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18   
 
$ 386,708 
 
  534,188 
NPC International, Inc., Term Loan, 4.75%, 12/28/18   
 
  529,847 
       
                               $  916,555 
   
Specialized Consumer Services - 0.6%
   
 
  748,125 
KC MergerSub, Inc., First Lien Initial Term Loan, 6.0%, 8/12/22   
 
$ 738,773 
   
Total Consumer Services 
 
                                            $ 2,044,566 
         
   
DIVERSIFIED FINANCIALS - 0.3%
   
   
Consumer Finance - 0.1%
   
 
  214,622 
Trans Union LLC, Term B-2 Loan, 3.5%, 4/9/21   
 
$ 207,781 
   
Specialized Finance - 0.2%
   
 
  248,125 
DBRS, Ltd., Initial Term Loan, 6.25%, 3/4/22   
 
$ 246,884 
   
Total Diversified Financials 
 
                              $ 454,665 
         
   
ENERGY - 0.8%
   
   
Coal & Consumable Fuels - 0.1%
   
 
  352,500 
PT Bumi Resources Tbk, Term Loan, 18.0%, 11/4/16
 
$ 75,788 
   
Integrated Oil & Gas - 0.3%
   
 
  480,528 
TerraForm AP Acquisition Holdings LLC, Term Loan, 5.0%, 6/27/22   
 
$ 451,696 
   
Oil & Gas Drilling - 0.2%
   
 
  444,680 
Jonah Energy LLC, Initial Second Lien Term Loan, 7.5%, 5/12/21   
 
$ 255,691 
   
Oil & Gas Equipment & Services - 0.2%
   
 
  542,838 
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20   
 
$ 282,276 
   
Total Energy 
 
                          $ 1,065,451 
         
   
FOOD & STAPLES RETAILING - 0.3%
   
   
Food Distributors - 0.3%
   
 
  400,000 
AdvancePierre Foods, Inc., Second Lien Term Loan, 9.5%, 10/10/17   
 
$ 395,500 
   
Total Food & Staples Retailing 
 
                                       $ 395,500 
         
   
FOOD, BEVERAGE & TOBACCO - 0.4%
   
   
Packaged Foods & Meats - 0.4%
   
 
  476,386 
Dole Food Co., Inc., Tranche B Term Loan, 4.5%, 11/1/18   
 
$ 468,049 
   
Total Food, Beverage & Tobacco 
 
                         $ 468,049 
         
   
HEALTH CARE EQUIPMENT & SERVICES - 3.5%
   
   
Health Care Equipment - 0.5%
   
 
  500,000 
Concentra, Inc., Initial Second Lien Term Loan, 9.0%, 6/1/23   
 
$ 490,300 
 
  235,326 
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.5%, 5/4/18   
 
  229,540 
       
                           $ 719,840 
   
Health Care Facilities - 1.6%
   
 
  263,764 
CHS/Community Health Systems, Inc., Incremental 2018 Term F Loan, 3.657%, 12/31/18   
 
$ 260,241 
 
  247,538 
CHS/Community Health Systems, Inc., Incremental 2019 Term G Loan, 3.75%, 12/31/19   
 
  238,545 
 
  455,460 
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan, 4.0%, 1/27/21   
 
  439,266 
 
  193,585 
HCA, Inc., Tranche B-5 Term Loan, 3.18%, 3/31/17   
 
  193,611 
 
  316,930 
Kindred Healthcare, Inc., Incremental Term Loan, 4.25%, 4/9/21   
 
  306,630 
 
  297,710 
Steward Health Care System LLC, Term Loan, 6.75%, 4/10/20   
 
  287,290 
 
  401,315 
Surgical Care Affiliates, Inc., Initial Term Loan, 4.25%, 3/17/22   
 
  400,480 
       
                        $ 2,126,063 
   
Health Care Services - 1.0%
   
 
  348,058 
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20   
 
$ 297,589 
 
  208,835 
Bioscrip, Inc., Term Loan, 6.5%, 7/31/20   
 
  178,554 
 
  349,125 
HC Group Holdings III, Inc., Initial First Lien Term Loan, 6.0%, 4/7/22   
 
  348,689 
 
  201,413 
National Mentor Holdings, Inc., Tranche B Term Loan, 4.25%, 1/31/21   
 
  198,517 
 
  277,085 
Valitas Health Services, Inc., Term Loan B, 6.0%, 6/2/17   
 
  221,668 
       
                                 $ 1,245,017 
   
Health Care Supplies - 0.2%
   
 
  231,816 
Alere, Inc., Term Loan B, 4.25%, 6/20/22   
 
$ 229,809 
   
Health Care Technology - 0.2%
   
 
  236,441 
IMS Health, Inc., Tranche B-1 Dollar Term Loan, 3.5%, 3/17/21   
 
$ 232,599 
   
Total Health Care Equipment & Services 
 
                              $ 4,553,328 
         
   
HOUSEHOLD & PERSONAL PRODUCTS - 0.7%
   
   
Household Products - 0.5%
   
 
  307,542 
Dollar Tree, Inc., Term B-1 Loan, 3.5%, 7/6/22   
 
$ 307,240 
 
  372,477 
SRAM LLC, First Lien Term Loan, 4.0%, 4/10/20   
 
  303,680 
       
                           $ 610,920 
   
Personal Products - 0.2%
   
 
  100,000 
Atrium Innovations, Inc., Second Lien Term Loan, 7.75%, 8/13/21
 
$ 86,000 

 
Principal
Amount
USD ($)
   
Value
   
Personal Products - (continued)
   
 
  207,004 
NBTY, Inc., B-2 Term Loan, 3.5%, 10/1/17   
 
$ 204,503 
       
                        $ 290,503 
   
Total Household & Personal Products 
 
                              $ 901,423 
         
   
INSURANCE - 3.0%
   
   
Insurance Brokers - 0.3%
   
 
  382,302 
Cooper Gay Swett & Crawford, Ltd. (CGSC of Delaware Holdings Corp.), First Lien Term Loan, 5.0%, 4/16/20   
 
$ 368,205 
   
Life & Health Insurance - 0.4%
   
 
  434,259 
Integro, Ltd., Initial Term Loan, 6.75%, 10/31/22   
 
$ 425,574 
 
  65,741 
Integro, Ltd., Term Loan, 6.75%, 10/31/22   
 
  64,426 
       
                         $ 490,000 
   
Multi-Line Insurance - 0.0%
   
 
  167,329 
Alliant Holdings I LLC, Term Loan B, 4.5%, 8/12/22   
 
$ 163,303 
   
Property & Casualty Insurance - 2.3%
   
 
  744,226 
Confie Seguros Holding II Co., First Lien Term Loan B, 5.75%, 11/9/18   
 
$ 732,132 
 
  593,765 
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19   
 
  581,890 
 
  744,375 
Hyperion Insurance Group, Ltd., Initial Term B Loan, 5.5%, 4/29/22
 
  723,284 
 
  936,363 
USI, Inc., Initial Term Loan, 4.25%, 12/27/19   
 
  918,807 
       
                        $ 2,956,113 
   
Total Insurance 
 
                              $ 3,977,621 
         
   
MATERIALS - 2.1%
   
   
Diversified Chemicals - 0.2%
   
 
  274,313 
Univar USA, Inc., Initial Dollar Term Loan, 4.25%, 7/1/22   
 
$ 266,475 
   
Diversified Metals & Mining - 0.0%
   
 
  75,256(d)(j)
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.0%, 11/25/14   
 
$ 16,180 
   
Metal & Glass Containers - 0.8%
   
 
  389,223 
Tank Holding Corp., Initial Term Loan, 6.75%, 3/16/22   
 
$ 382,170 
 
  746,250 
Tekni-Plex, Inc., USD Term Loan, 4.5%, 6/1/22   
 
  733,424 
       
                                 $ 1,115,594 
   
Paper Packaging - 0.4%
   
 
  489,449 
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19   
 
$ 481,087 
   
Paper Products - 0.3%
   
 
  287,111 
Appvion, Inc., Term Commitment, 5.75%, 6/28/19   
 
$ 260,075 
 
  79,137 
Exopack Holdings SA, USD Term Loan, 4.5%, 5/8/19   
 
  76,367 
       
                           $ 336,442 
   
Specialty Chemicals - 0.4%
   
 
  23,810 
Chemtura Corp., New Term Loan, 3.5%, 8/29/16   
 
$ 23,884 
 
  498,750 
Macdermid, Inc. (Platform Specialty Products Corp.), Term Loan B3, 5.5%, 6/7/20   
 
  464,981 
       
                           $ 488,865 
   
Total Materials 
 
                              $ 2,704,643 
         
   
MEDIA - 3.3%
   
   
Advertising - 0.7%
   
 
  943,253 
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18   
 
$ 858,066 
   
Broadcasting - 1.0%
   
 
  276,667 
Hubbard Radio LLC, Term Loan, 4.25%, 5/27/22   
 
$ 257,300 
 
  300,000 
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21   
 
  297,000 
 
  296,250 
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 6.75%, 8/13/21   
 
  258,848 
 
  458,597 
Univision Communications, Inc., Replacement First Lien Term Loan, 4.0%, 3/1/20   
 
  448,613 
       
                         $ 1,261,761 
   
Cable & Satellite - 0.2%
   
 
  309,928 
WideOpenWest Finance LLC, Replacement Term B Loan, 4.5%, 4/1/19   
 
$ 302,180 
   
Movies & Entertainment - 0.0%
   
 
  37,669 
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18   
 
$ 37,575 
   
Publishing - 1.4%
   
 
  511,252 
Cengage Learning Acquisitions, Inc., Term Loan, 7.0%, 3/31/20   
 
$ 498,790 
 
  323,375 
Houghton Mifflin Holdings, Inc., Term Loan, 4.0%, 5/28/21   
 
  316,503 
 
  103,228 
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19   
 
  101,742 
 
  931,000 
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19   
 
  917,617 
       
                         $ 1,834,652 
   
Total Media 
 
                       $ 4,294,234 
         
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 2.2%
   
   
Biotechnology - 0.7%
   
 
  1,044,750 
Lantheus Medical Imaging, Inc., Term Loan, 7.0%, 6/30/22   
 
$ 961,170 

 
Principal
Amount
USD ($)
   
Value
   
Life Sciences Tools & Services - 1.1%
   
 
  997,500 
Albany Molecular Research, Inc., Term Loan B, 5.75%, 7/16/21   
 
$ 990,019 
 
  426,676 
Catalent Pharma Solutions, Inc., Dollar Term Loan, 4.25%, 5/20/21   
 
  425,376 
       
                        $ 1,415,395 
   
Pharmaceuticals - 0.4%
   
 
  550,000 
Concordia Healthcare Corp., Initial Dollar Term Loan, 5.25%, 10/21/21   
 
$ 528,688 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
 
                        $ 2,905,253 
         
   
REAL ESTATE - 0.6%
   
   
Retail REITs - 0.6%
   
 
  275,990 
DTZ U.S. Borrower LLC, First Lien Initial Term Loan, 4.25%, 11/4/21   
 
$ 268,975 
 
  500,000 
DTZ U.S. Borrower LLC, Second Lien Initial Term Loan, 9.25%, 11/4/22   
 
  496,250 
   
Total Real Estate 
 
                           $ 765,225 
         
   
RETAILING - 0.9%
   
   
Automotive Retail - 0.5%
   
 
  647,500 
CWGS Group LLC, Term Loan, 5.25%, 2/20/20   
 
$ 643,453 
   
Computer & Electronics Retail - 0.3%
   
 
  720,370 
Targus Group International, Inc., Term Loan, 15.0%, 5/24/16   
 
$ 432,222 
   
Specialty Stores - 0.1%
   
 
  157,295 
Petsmart, Inc., Tranche B-1 Loan, 4.25%, 3/11/22   
 
$ 152,642 
   
Total Retailing 
 
                                 $ 1,228,317 
         
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.3%
   
   
Semiconductor Equipment - 0.3%
   
 
  471,611 
VAT Lux II S.a.r.l., Term Loan, 4.25%, 2/11/21   
 
$ 463,358 
   
Total Semiconductors & Semiconductor Equipment 
 
                           $ 463,358 
         
   
SOFTWARE & SERVICES - 1.7%
   
   
Application Software - 0.9%
   
 
  496,300 
Epiq Systems, Inc., Term Loan, 4.5%, 8/27/20   
 
$ 488,856 
 
  210,670 
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18   
 
  209,616 
 
  500,000 
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17   
 
  500,375 
       
                          $ 1,198,847 
   
IT Consulting & Other Services - 0.8%
   
 
  246,250 
Evergreen Skills Lux S.a.r.l., First Lien Initial Term Loan, 5.75%, 4/28/21   
 
$ 184,380 
 
  623,438 
Sitel Worldwide Corp., First Lien Term B-1 Loan, 6.5%, 9/18/21   
 
  609,929 
 
  300,000 
TaxACT, Inc. (H.D. Vest, Inc.), Initial Term Loan, 7.0%, 1/3/23   
 
  292,500 
       
                         $ 1,086,809 
   
Total Software & Services 
 
                        $ 2,285,656 
         
   
TECHNOLOGY HARDWARE & EQUIPMENT - 0.4%
   
   
Communications Equipment - 0.1%
   
 
  64,644 
CommScope, Inc., Tranche 4 Term Loan, 3.31%, 1/14/18   
 
$ 64,483 
   
Electronic Components - 0.3%
   
 
  456,550 
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.), First Lien Initial Term Loan, 5.75%, 3/31/22   
 
$ 451,794 
   
Total Technology Hardware & Equipment 
 
                                    $ 516,277 
         
   
TELECOMMUNICATION SERVICES - 0.9%
   
   
Integrated Telecommunication Services - 0.6%
   
 
  496,250 
GCI Holdings, Inc., Term B Loan, 4.0%, 2/2/22   
 
$ 496,560 
 
  500,000 
Securus Technologies Holdings, Inc., Term Loan B2, 5.25%, 4/30/20   
 
  373,750 
       
                                      $ 870,310 
   
Wireless Telecommunication Services - 0.3%
   
 
  333,333 
Syniverse Holdings, Inc., Initial Term Loan, 4.0%, 4/23/19   
 
$ 233,333 
 
  166,667 
Syniverse Holdings, Inc., Tranche B Term Loan, 4.0%, 4/23/19   
 
  116,667 
       
                             $ 350,000 
   
Total Telecommunication Services 
 
                                         $ 1,220,310 
         
   
TRANSPORTATION - 1.1%
   
   
Marine - 0.8%
   
 
  622,129 
Commercial Barge Line Co., Initial First Lien Term Loan, 9.75%, 11/12/20   
 
$ 553,695 
 
  474,507 
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18   
 
  434,174 
       
                             $ 987,869 
   
Trucking - 0.3%
   
 
  496,203 
YRC Worldwide, Inc., Initial Term Loan, 8.0%, 2/13/19   
 
$ 411,848 
   
Total Transportation 
 
                                 $ 1,399,717 
         

 
Principal
Amount
USD ($)
   
Value
   
UTILITIES - 0.3%
   
   
Electric Utilities - 0.3%
   
 
  436,923 
Atlantic Power Limited Partnership, Term Loan, 4.75%, 2/24/21   
 
$ 428,731 
   
Total Utilities 
 
                                      $ 428,731 
         
   
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
   
   
(Cost  $44,919,006)
 
                        $ 42,480,220 
   
CORPORATE BONDS & NOTES -  93.2% of Net Assets
   
   
AUTOMOBILES & COMPONENTS - 0.2%
   
   
Auto Parts & Equipment - 0.2%
   
 
  350,000 
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)   
 
$ 287,000 
   
Total Automobiles & Components 
 
                              $ 287,000 
         
   
BANKS - 3.6%
   
   
Diversified Banks - 3.6%
   
 
  525,000 
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A)   
 
$ 539,437 
 
  400,000(b)
Banco Macro SA, 9.75%, 12/18/36     
 
  393,000 
 
  200,000(b)(e)
Banco Santander SA, 6.375%     
 
  184,429 
 
  325,000(b)(e)
Bank of America Corp., 6.25%     
 
  325,000 
 
  1,000,000(b)(e)
Credit Agricole SA, 7.875% (144A)  
 
  973,598 
 
  350,000(b)(e)
ING Groep NV, 6.5%     
 
  339,063 
 
  200,000(b)(e)
Royal Bank of Scotland Group Plc, 7.5%     
 
  203,500 
 
  500,000(b)(e)
Royal Bank of Scotland Group Plc, 8.0%     
 
  513,125 
 
  200,000 
Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (144A)   
 
  177,600 
 
  245,000 
Trade & Development Bank of Mongolia LLC, 9.375%, 5/19/20 (144A)   
 
  217,464 
 
  750,000 
UBS AG / Stamford CT, 7.625%, 8/17/22     
 
  849,030 
   
Total Banks 
 
                         $ 4,715,246 
         
   
CAPITAL GOODS - 4.1%
   
   
Aerospace & Defense - 1.0%
   
 
  400,000 
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)   
 
$ 404,000 
 
  680,000 
DynCorp International, Inc., 10.375%, 7/1/17     
 
  501,500 
 
  435,000 
LMI Aerospace, Inc., 7.375%, 7/15/19     
 
  411,075 
       
                             $ 1,316,575 
   
Agricultural & Farm Machinery - 0.3%
   
 
  475,000 
Titan International, Inc., 6.875%, 10/1/20     
 
$ 347,453 
   
Building Products - 0.2%
   
 
  300,000 
USG Corp., 7.875%, 3/30/20 (144A)   
 
$ 313,500 
   
Construction & Engineering - 0.1%
   
 
  780,000 
Empresas ICA SAB de CV, 8.9%, 2/4/21 (144A)   
 
$ 144,300 
   
Construction Machinery & Heavy Trucks - 0.2%
   
 
  360,000 
Meritor, Inc., 6.75%, 6/15/21     
 
$ 315,000 
   
Electrical Components & Equipment - 0.5%
   
 
  750,000 
WireCo WorldGroup, Inc., 9.5%, 5/15/17     
 
$ 624,375 
   
Industrial Conglomerates - 0.4%
   
 
  455,000 
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)   
 
$ 468,650 
   
Industrial Machinery - 0.8%
   
 
  560,000 
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)   
 
$ 406,000 
 
  450,000 
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)   
 
  423,000 
 
  217,120(f)(g)
Liberty Tire Recycling LLC, 11.0% (11.0% PIK 0.0% cash), 3/31/21 (144A)   
 
  138,957 
 
  150,000 
Xerium Technologies, Inc., 8.875%, 6/15/18     
 
  145,687 
       
                        $ 1,113,644 
   
Trading Companies & Distributors - 0.6%
   
 
  150,000 
H&E Equipment Services, Inc., 7.0%, 9/1/22     
 
$ 137,250 
 
  544,000 
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19  
 
  583,440 
       
                                   $ 720,690 
   
Total Capital Goods 
 
                       $ 5,364,187 
         
   
COMMERCIAL & PROFESSIONAL SERVICES - 1.2%
   
   
Commercial Printing - 0.2%
   
 
  340,000 
Cenveo Corp., 6.0%, 8/1/19 (144A) 
 
$ 233,750 
   
Diversified Support Services - 1.0%
   
 
  280,000 
Broadspectrum, Ltd., 8.375%, 5/15/20 (144A)   
 
$ 283,500 
 
  950,000 
NANA Development Corp., 9.5%, 3/15/19 (144A)   
 
  845,500 
 
  260,000 
TMS International Corp., 7.625%, 10/15/21 (144A)   
 
  200,850 
       
                        $ 1,329,850 
   
Total Commercial & Professional Services 
 
                                       $ 1,563,600 
         

 
Principal
Amount
USD ($)
   
Value
   
CONSUMER DURABLES & APPAREL - 1.8%
   
   
Home Furnishings - 0.4%
   
 
  535,000 
Tempur Sealy International, Inc., 6.875%, 12/15/20     
 
$ 563,088 
   
Homebuilding - 0.7%
   
 
  350,000 
Brookfield Residential Properties, Inc., 6.375%, 5/15/25 (144A)   
 
$ 294,875 
 
  605,000(d)
Desarrolladora Homex SAB de CV, 9.5%, 12/11/19 (144A)   
 
  9,075 
 
  250,000 
KB Home, 7.0%, 12/15/21     
 
  235,000 
 
  340,000 
KB Home, 7.625%, 5/15/23     
 
  319,600 
       
                        $ 858,550 
   
Leisure Products - 0.7%
   
 
  1,000,000 
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)     
 
$ 890,000 
   
Total Consumer Durables & Apparel 
 
                          $ 2,311,638 
         
   
CONSUMER SERVICES - 2.7%
   
   
Casinos & Gaming - 0.9%
   
 
  805,876(d)(f)
Mashantucket Western Pequot Tribe, 6.5% (5.5% PIK 1.0% cash), 7/1/36     
 
$ 4,030 
 
  365,000 
MGM Resorts International, 6.0%, 3/15/23     
 
  363,859 
 
  100,000 
Scientific Games International, Inc., 6.25%, 9/1/20     
 
  47,500 
 
  1,200,000 
Scientific Games International, Inc., 10.0%, 12/1/22     
 
  834,000 
       
                             $ 1,249,389 
   
Hotels, Resorts & Cruise Lines - 0.4%
   
 
  245,000 
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)   
 
$ 204,575 
 
  325,000 
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)   
 
  301,437 
       
                       $ 506,012 
   
Leisure Facilities - 0.5%
   
EUR
  566,487 
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A)   
 
$ 617,340 
   
Specialized Consumer Services - 0.9%
   
 
  1,153,000 
Constellis Holdings LLC / Constellis Finance Corp., 9.75%, 5/15/20 (144A)   
 
$ 882,045 
 
  315,000 
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21     
 
  322,875 
       
                                      $ 1,204,920 
   
Total Consumer Services 
 
                           $ 3,577,661 
         
   
DIVERSIFIED FINANCIALS - 1.6%
   
   
Consumer Finance - 0.7%
   
 
  445,000 
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)   
 
$ 371,575 
 
  203,374 
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)   
 
  204,233 
 
  440,000 
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
 
  316,800 
       
                                 $ 892,608 
   
Investment Banking & Brokerage - 0.2%
   
 
  450,000(b)(e)
Goldman Sachs Capital II, 4.0%     
 
$ 297,000 
   
Specialized Finance - 0.7%
   
 
  750,000(a)
Bosphorus, Ltd., 3.735%, 8/17/18 (144A)   
 
$ 730,950 
 
  175,000 
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
 
  154,438 
       
                         $ 885,388 
   
Total Diversified Financials 
 
                                    $ 2,074,996 
         
   
ENERGY - 6.7%
   
   
Coal & Consumable Fuels - 0.1%
   
 
  400,000(d)
James River Coal Co., 7.875%, 4/1/19     
 
$ 9,000 
 
  715,000 
Penn Virginia Corp., 8.5%, 5/1/20     
 
  116,188 
       
                         $ 125,188 
   
Integrated Oil & Gas - 0.3%
   
MXN
  540,000 
Petroleos Mexicanos, 7.19%, 9/12/24 (144A)   
 
$ 26,887 
 
  325,000 
YPF SA, 8.875%, 12/19/18 (144A)   
 
  331,500 
       
                         $ 358,387 
   
Oil & Gas Drilling - 0.4%
   
 
  730,000 
Ocean Rig UDW, Inc., 7.25%, 4/1/19 (144A)   
 
$ 306,600 
 
  320,000 
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)   
 
  224,000 
       
                         $ 530,600 
   
Oil & Gas Equipment & Services - 0.4%
   
 
  330,000(a)
FTS International, Inc., 8.012%, 6/15/20 (144A)   
 
$ 218,756 
 
  425,000 
McDermott International, Inc., 8.0%, 5/1/21 (144A)   
 
  292,187 
       
                         $ 510,943 



 
 
Principal
Amount
USD ($)
   
Value
   
Oil & Gas Exploration & Production - 2.6%
   
 
  100,000 
Comstock Resources, Inc., 7.75%, 4/1/19     
 
$ 12,250 
 
  137,000 
Comstock Resources, Inc., 9.5%, 6/15/20     
 
  16,097 
 
  490,000 
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20     
 
  208,250 
 
  360,000 
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A)   
 
  219,600 
 
  570,000 
Gulfport Energy Corp., 7.75%, 11/1/20     
 
  501,600 
 
  402,000 
Halcon Resources Corp., 12.0%, 2/15/22 (144A)   
 
  233,160 
 
  600,000 
Midstates Petroleum Co., Inc., 9.25%, 6/1/21     
 
  27,000 
 
  450,000 
Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A)   
 
  396,562 
 
  535,000 
PDC Energy, Inc., 7.75%, 10/15/22     
 
  508,250 
 
  750,000 
PetroQuest Energy, Inc., 10.0%, 9/1/17     
 
  427,500 
 
  240,000(d)
Quicksilver Resources, Inc., 7.125%, 4/1/16     
 
  24 
 
  375,000 
Rice Energy, Inc., 6.25%, 5/1/22     
 
  284,063 
 
  870,000 
Sanchez Energy Corp., 7.75%, 6/15/21     
 
  361,050 
 
  300,000 
WPX Energy, Inc., 7.5%, 8/1/20     
 
  188,430 
 
  150,000 
WPX Energy, Inc., 8.25%, 8/1/23     
 
  96,000 
       
                            $ 3,479,836 
   
Oil & Gas Refining & Marketing - 1.4%
   
 
  669,000 
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21     
 
$ 481,680 
 
  925,000 
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23 (144A)   
 
  853,313 
 
  520,000 
Western Refining Logistics LP / WNRL Finance Corp., 7.5%, 2/15/23     
 
  473,200 
       
                             $ 1,808,193 
   
Oil & Gas Storage & Transportation - 1.5%
   
 
  450,000(a)
Energy Transfer Partners LP, 3.633%, 11/1/66     
 
$ 261,000 
 
  950,000 
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22
 
  779,000 
 
  480,000 
Global Partners LP / GLP Finance Corp., 7.0%, 6/15/23 (144A)     
 
  345,600 
 
  170,000 
PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/23
 
  144,075 
 
  725,000 
Williams Cos, Inc., 5.75%, 6/24/44     
 
  407,136 
       
                                      $ 1,936,811 
   
Total Energy 
 
                                   $ 8,749,958 
         
   
FOOD & STAPLES RETAILING - 0.5%
   
   
Food Retail - 0.5%
   
 
  200,000 
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A)   
 
$ 181,000 
 
  460,000 
Tops Holding LLC / Tops Markets II Corp., 8.0%, 6/15/22 (144A)  
 
  437,000 
       
                                $ 618,000 
   
Total Food & Staples Retailing 
 
                              $ 618,000 
         
   
FOOD, BEVERAGE & TOBACCO - 9.4%
   
   
Agricultural Products - 1.0%
   
 
  900,000 
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)   
 
$ 841,500 
 
  520,000 
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)   
 
  416,000 
 
  225,000(d)
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)   
 
  108,000 
       
                             $ 1,365,500 
   
Packaged Foods & Meats - 7.1%
   
 
  225,000 
Agrokor DD, 8.875%, 2/1/20 (144A)   
 
$ 236,813 
EUR
  200,000 
Agrokor DD, 9.875%, 5/1/19 (144A)   
 
  229,054 
 
  650,000 
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)   
 
  658,125 
 
  500,000(d)
CFG Investment SAC, 9.75%, 7/30/19 (144A)   
 
  340,000 
 
  136,000 
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21     
 
  144,160 
 
  1,100,000 
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)   
 
  1,134,375 
 
  900,000 
JBS Investments GmbH, 7.25%, 4/3/24 (144A)   
 
  726,480 
 
  515,000 
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)   
 
  462,856 
 
  800,000 
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)   
 
  768,000 
 
  700,000 
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)   
 
  668,500 
 
  475,000 
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A)   
 
  461,938 
 
  700,000 
MHP SA, 8.25%, 4/2/20 (144A)   
 
  598,500 
 
  1,600,000 
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)   
 
  1,492,000 
 
  200,000 
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)   
 
  202,250 
 
  600,000 
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)   
 
  357,000 
 
  640,000 
Post Holdings, Inc., 6.75%, 12/1/21 (144A)   
 
  669,504 
 
  200,000 
Post Holdings, Inc., 7.75%, 3/15/24 (144A)   
 
  213,000 
       
                             $ 9,362,555 
   
Soft Drinks - 0.3%
   
 
  355,000 
Cott Beverages, Inc., 5.375%, 7/1/22  
 
$ 344,350 

 
Principal
Amount
USD ($)
   
Value
   
Tobacco - 1.0%
   
 
  1,645,000 
Alliance One International, Inc., 9.875%, 7/15/21     
 
$ 1,303,662 
   
Total Food, Beverage & Tobacco 
 
                                 $ 12,376,067 
         
   
HEALTH CARE EQUIPMENT & SERVICES - 2.0%
   
   
Health Care Facilities - 0.5%
   
 
  700,000 
Kindred Healthcare, Inc., 6.375%, 4/15/22     
 
$ 569,625 
   
Health Care Services - 1.0%
   
 
  425,000 
BioScrip, Inc., 8.875%, 2/15/21     
 
$ 338,938 
 
  990,000 
Truven Health Analytics, Inc., 10.625%, 6/1/20     
 
  970,200 
       
                             $ 1,309,138 
   
Health Care Supplies - 0.3%
   
 
  500,000 
Immucor, Inc., 11.125%, 8/15/19     
 
$ 408,750 
   
Health Care Technology - 0.2%
   
 
  275,000 
Emdeon, Inc., 11.0%, 12/31/19     
 
$ 286,000 
   
Total Health Care Equipment & Services 
 
                          $ 2,573,513 
         
   
HOUSEHOLD & PERSONAL PRODUCTS - 0.8%
   
   
Household Products - 0.6%
   
EUR
  350,000(a)
Hydra Dutch Holdings 2BV, 5.356%, 4/15/19 (144A)   
 
$ 358,392 
 
  460,000 
Springs Industries, Inc., 6.25%, 6/1/21     
 
  453,100 
       
                        $ 811,492 
   
Personal Products - 0.2%
   
 
  345,000 
Monitronics International, Inc., 9.125%, 4/1/20     
 
$ 276,862 
   
Total Household & Personal Products 
 
                         $ 1,088,354 
         
   
INSURANCE - 34.0%
   
   
Insurance Brokers - 0.0%†
   
GBP
  10,489(a)
Towergate Finance Plc, 8.5%, 3/2/20 (144A)   
 
$ 15,237 
   
Life & Health Insurance - 0.1%
   
GBP
  59,442 
TIG FINCO Plc, 8.75%, 4/2/20 (144A)   
 
$ 72,594 
   
Property & Casualty Insurance - 3.4%
   
 
  6,000,000(c)(g)
Fixed Income Trust, Series 2013-A, 0.0%, 10/15/97 (144A)   
 
$ 4,438,670 
 
  80,000(b)(e)
White Mountains Insurance Group, Ltd., 7.506%, (144A)
 
  80,112 
       
                       $ 4,518,782 
   
Reinsurance - 30.5%
   
 
  1,563,217(h)
Altair Re II, Ltd. (Willis Securities, Inc.), Variable Rate Notes,  6/30/16     
 
$ 63,467 
 
  695,760(h)
Altair Re III, Ltd. (Willis Securities, Inc.), Variable Rate Notes, 6/30/17     
 
  275,799 
 
  1,000,000(a)
Bosphorus Re, Ltd., 2.815%, 5/3/16 (144A) (Cat Bond) 
 
  991,300 
 
  200,000(h)
Carnousite Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20     
 
  200,940 
 
  800,000(h)
Carnousite Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20     
 
  803,760 
EUR
  1,000,000(h)
Dundonald Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/17/17     
 
  966,794 
 
  1,750,000(a)
East Lane Re VI, Ltd., 3.065%, 3/14/18 (144A) (Cat Bond) 
 
  1,729,350 
 
  1,000,000(a)
Everglades Re, Ltd., 9.795%, 3/28/16 (144A) (Cat Bond)    
 
  1,010,500 
 
  250,000(a)
Galileo Re, Ltd., 9.0%, 1/8/19 (144A) (Cat Bond)   
 
  250,075 
 
  250,000(a)
Galileo Re, Ltd., 13.815%, 1/8/19 (144A) (Cat Bond)   
 
  250,225 
 
  2,000,000(a)
Gator Re, Ltd., 6.585%, 1/9/17 (144A) (Cat Bond) 
 
  1,918,400 
 
  2,400,000(h)
Gleneagles Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20     
 
  2,423,040 
 
  2,500,000(h)
Gullane Segregated Account (Kane SAC, Ltd.), Variable Rate Notes,  11/30/20     
 
  2,515,750 
 
  1,500,000(a)
Ibis Re II, Ltd., 4.315%, 6/28/16 (144A) (Cat Bond) 
 
  1,505,550 
 
  2,000,000(h)
Lahinch Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 6/15/16     
 
  2,020,800 
 
  1,750,000(a)
Longpoint Re, Ltd. III, 4.515%, 5/18/16 (144A) (Cat Bond) 
 
  1,755,775 
 
  1,450,000(h)
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rates Notes, 3/31/18
 
  1,651,550 
 
  1,000,000(a)
Merna Reinsurance V, Ltd., 2.315%, 4/7/17 (144A) (Cat Bond) 
 
  995,400 
 
  750,000(a)
MetroCat Re, Ltd., 4.815%, 8/5/16 (144A) (Cat Bond) 
 
  752,550 
 
  2,000,000(a)(d)
MultiCat Mexico, Ltd., Class A, 3.315%, 2/4/16 (144A) (Cat Bond) 
 
  420,000 
 
  2,000,000(h)
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2016-1, Variable Rate Notes, 11/30/20     
 
  2,014,000 
 
  2,004,948(h)
PI-6 Segregated Account (Kane SAC, Ltd.), Series C, Variable Rate Notes, 7/7/16     
 
  1,998,131 
 
  1,000,000(a)
Queen Street VIII Re, Ltd., 6.815%, 6/8/16 (144A) (Cat Bond) 
 
  999,300 
 
  500,000(a)
Queen Street IX Re, Ltd., 5.815%, 6/8/17 (144A) (Cat Bond)  
 
  495,750 
 
  2,000,000(a)
Queen Street X Re, Ltd., 6.065%, 6/8/18 (144A) (Cat Bond) 
 
  1,987,800 
 
  1,000,000(a)
Residential Reinsurance 2012, Ltd., 22.315%, 6/6/16 (144A) (Cat Bond) 
 
  1,047,500 
 
  2,582(h)
Sector Re V, Ltd. (Swiss Re), Series 4, Class A, Variable Rate Notes, 3/30/19 (144A)   
 
  26,577 

 
Principal
Amount
USD ($)
   
Value
   
Reinsurance - (continued)
   
 
  1,000,000(h)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/16/16 (144A)   
 
 $ 9,400 
 
  1,000,000(h)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/18/17 (144A)   
 
 128,200 
 
  1,000,000(h)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/17/18 (144A)   
 
  1,009,000 
 
  1,000,000(h)
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/1/18     
 
  1,008,900 
 
  1,750,000(a)
Tar Heel Re, Ltd., Series 2013-1, Class A, 8.815%, 5/9/16 (144A) (Cat Bond) 
 
  1,779,050 
JPY
  150,799,195(h)
Tralee Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 7/20/17
 
  1,243,634 
 
  2,200,000(a)
Vita Capital V, Ltd., 3.96%, 1/15/17 (144A) (Cat Bond)
 
  2,213,420 
 
  500,000(a)
Vitality Re VI, Ltd., 2.415%, 1/8/18 (144A) (Cat Bond) 
 
  495,300 
 
  1,000,000(a)
Vitality Re VII, Ltd., 2.965%, 1/7/20 (144A) (Cat Bond) 
 
  999,700 
       
                           $ 39,956,687 
   
Total Insurance 
 
                        $ 44,563,300 
         
   
MATERIALS - 7.6%
   
   
Commodity Chemicals - 0.4%
   
 
  300,000 
Basell Finance Co., BV, 8.1%, 3/15/27 (144A)   
 
$ 373,355 
 
  175,000 
Hexion US Finance Corp., 6.625%, 4/15/20     
 
  135,625 
       
                                        $ 508,980 
   
Construction Materials - 0.3%
   
 
  389,000 
Cemex Espana Luxembourg, 9.875%, 4/30/19 (144A)   
 
$ 403,101 
   
Diversified Chemicals - 0.4%
   
 
  55,000 
Blue Cube Spinco, Inc., 9.75%, 10/15/23 (144A)   
 
$ 59,125 
 
  55,000 
Blue Cube Spinco, Inc., 10.0%, 10/15/25 (144A)   
 
  59,400 
 
  660,000 
Evolution Escrow Issuer LLC, 7.5%, 3/15/22 (144A)   
 
  397,650 
       
                                         $ 516,175 
   
Diversified Metals & Mining - 1.0%
   
 
  109,000 
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)   
 
$ 76,845 
 
  300,000 
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/1/22 (144A)   
 
  260,250 
 
  428,716 
Mirabela Nickel, Ltd., 9.5%, 6/24/19
 
  248,655 
 
  180,000 
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)   
 
  140,400 
 
  750,000 
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)   
 
  532,757 
       
                             $ 1,258,907 
   
Gold - 0.0%†
   
 
  85,000 
IAMGOLD Corp., 6.75%, 10/1/20 (144A)   
 
$ 53,869 
   
Metal & Glass Containers - 0.3%
   
 
  272,594(f)
Ardagh Finance Holdings SA, 8.625%(8.625% PIK 0.0% cash), 6/15/19 (144A)   
 
$ 250,787 
EUR
  150,000 
Horizon Holdings I SASU, 7.25%, 8/1/23 (144A)   
 
  166,430 
       
                                $ 417,217 
   
Paper Packaging - 2.3%
   
 
  580,000 
Exopack Holding Corp., 10.0%, 6/1/18 (144A)   
 
$ 549,550 
 
  500,000 
Reynolds Group Issuer, Inc., 9.0%, 4/15/19     
 
  481,250 
 
  475,000 
Reynolds Group Issuer, Inc., 9.875%, 8/15/19     
 
  464,312 
EUR
  1,365,000 
SIG Combibloc Holdings SCA, 7.75%, 2/15/23 (144A)   
 
  1,522,644 
       
                             $ 3,017,756 
   
Paper Products - 1.1%
   
 
  675,000 
Appvion, Inc., 9.0%, 6/1/20 (144A)   
 
$ 219,375 
 
  500,000 
Mercer International, Inc., 7.0%, 12/1/19     
 
  480,000 
 
  840,000 
Resolute Forest Products, Inc., 5.875%, 5/15/23     
 
  537,600 
 
  255,000 
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)   
 
  204,000 
       
                             $ 1,440,975 
   
Specialty Chemicals - 0.3%
   
 
  410,000 
A Schulman, Inc., 6.875%, 6/1/23 (144A)   
 
$ 369,000 
   
Steel - 1.5%
   
 
  500,000 
Cliffs Natural Resources, Inc., 8.25%, 3/31/20 (144A)   
 
$ 360,000 
 
  250,000 
Evraz Group SA, 9.5%, 4/24/18 (144A)   
 
  258,495 
 
  190,000 
JMC Steel Group, Inc., 8.25%, 3/15/18 (144A)   
 
  141,550 
 
  499,000 
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)   
 
  416,665 
 
  850,000 
Ryerson, Inc., 9.0%, 10/15/17     
 
  641,750 
 
  350,000 
United States Steel Corp., 7.5%, 3/15/22     
 
  164,500 
       
                                      $ 1,982,960 
   
Total Materials 
 
                                   $ 9,968,940 
         
   
MEDIA - 1.9%
   
   
Broadcasting - 0.1%
   
 
  400,000 
Intelsat Luxembourg SA, 7.75%, 6/1/21     
 
$ 174,000 
   
Movies & Entertainment - 0.9%
   
 
  600,000 
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)   
 
$ 342,000 
 
  225,000 
Regal Entertainment Group, 5.75%, 2/1/25     
 
  217,125 

 
Principal
Amount
USD ($)
   
Value
   
Movies & Entertainment - (continued)
   
 
  625,000 
WMG Acquisition Corp., 6.75%, 4/15/22 (144A)   
 
$ 550,000 
       
                       $ 1,109,125 
   
Publishing - 0.9%
   
 
  855,000 
Gannett Co., Inc., 6.375%, 10/15/23     
 
$ 902,025 
 
  250,000 
Trader Corp., 9.875%, 8/15/18 (144A)   
 
  258,750 
       
                                     $ 1,160,775 
   
Total Media 
 
                          $ 2,443,900 
         
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.2%
   
   
Biotechnology - 0.2%
   
 
  300,000 
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)   
 
$ 306,000 
   
Pharmaceuticals - 1.0%
   
 
  208,000 
DPx Holdings BV, 7.5%, 2/1/22 (144A)   
 
$ 194,740 
 
  650,000 
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 7/15/23 (144A)   
 
  653,250 
EUR
  250,000 
VRX Escrow Corp., 4.5%, 5/15/23     
 
  232,249 
 
  235,000 
VRX Escrow Corp., 5.875%, 5/15/23 (144A)   
 
  210,325 
       
                             $ 1,290,564 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
 
                           $ 1,596,564 
         
   
REAL ESTATE - 1.3%
   
   
Real Estate Operating Companies - 0.3%
   
 
  410,000 
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A)   
 
$ 401,800 
   
Specialized REIT - 1.0%
   
 
  1,520,000 
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.25%, 10/15/23     
 
$ 1,341,400 
   
Total Real Estate 
 
                          $ 1,743,200 
         
   
RETAILING - 1.7%
   
   
Automotive Retail - 0.7%
   
 
  1,100,000 
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A)   
 
$ 981,750 
   
Computer & Electronics Retail - 0.1%
   
 
  235,000 
Rent-A-Center, Inc., 6.625%, 11/15/20     
 
$ 195,050 
   
Department Stores - 0.8%
   
 
  300,000 
Argos Merger Sub, Inc., 7.125%, 3/15/23 (144A)   
 
$ 302,250 
 
  535,000 
Grupo Famsa SAB de CV, 7.25%, 6/1/20 (144A)   
 
  460,100 
 
  350,000 
Neiman Marcus Group, Ltd., LLC, 8.0%, 10/15/21 (144A)   
 
  262,500 
       
                            $ 1,024,850 
   
Specialty Stores - 0.1%
   
 
  85,000 
Outerwall, Inc., 6.0%, 3/15/19     
 
$ 73,844 
   
Total Retailing 
 
                          $ 2,275,494 
         
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.4%
   
   
Semiconductors - 0.4%
   
 
  85,000 
Advanced Micro Devices, Inc., 6.75%, 3/1/19     
 
$ 58,013 
 
  235,000 
Advanced Micro Devices, Inc., 7.0%, 7/1/24     
 
  145,700 
 
  400,000 
Advanced Micro Devices, Inc., 7.5%, 8/15/22     
 
  248,000 
   
Total Semiconductors & Semiconductor Equipment 
 
                              $ 451,713 
         
   
SOFTWARE & SERVICES - 0.1%
   
   
Data Processing & Outsourced Services - 0.1%
   
 
  225,000 
NeuStar, Inc., 4.5%, 1/15/23     
 
$ 184,500 
   
Total Software & Services 
 
                              $ 184,500 
         
   
TECHNOLOGY HARDWARE & EQUIPMENT - 0.5%
   
   
Communications Equipment - 0.2%
   
 
  280,000 
CommScope Technologies Finance LLC, 6.0%, 6/15/25 (144A)   
 
$ 272,300 
   
Electronic Equipment & Instruments - 0.3%
   
 
  315,000 
Zebra Technologies Corp., 7.25%, 10/15/22 (144A)     
 
$ 327,600 
   
Total Technology Hardware & Equipment 
 
                       $ 599,900 
         
   
TELECOMMUNICATION SERVICES - 3.6%
   
   
Integrated Telecommunication Services - 1.9%
   
 
  1,165,000 
Frontier Communications Corp., 8.75%, 4/15/22     
 
$ 1,048,500 
 
  290,000 
Frontier Communications Corp., 11.0%, 9/15/25 (144A)   
 
  279,488 
 
  750,000 
GCI, Inc., 6.875%, 4/15/25     
 
  735,000 
 
  600,000 
Windstream Corp., 7.5%, 6/1/22     
 
  462,000 
       
                       $ 2,524,988 
   
Wireless Telecommunication Services - 1.7%
   
 
  250,000 
Altice Finco SA, 8.125%, 1/15/24 (144A)   
 
$ 240,000 
 
  300,000 
Altice SA, 7.75%, 5/15/22 (144A)   
 
  279,750 
 
  750,000 
Digicel, Ltd., 6.0%, 4/15/21 (144A)   
 
  653,437 
 
  200,000 
Mobile Telesystems OJSC via MTS International Funding, Ltd., 5.0%, 5/30/23 (144A)   
 
  185,008 

 
Principal
Amount
USD ($)
   
Value
   
Wireless Telecommunication Services - (continued)
   
 
  340,000 
Sprint Corp., 7.125%, 6/15/24     
 
$ 229,500 
 
  275,000 
Sprint Corp., 7.25%, 9/15/21     
 
 198,000 
 
  250,000 
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)   
 
  244,325 
RUB
  14,100,000 
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)   
 
  175,871 
       
                                      $ 2,205,891 
   
Total Telecommunication Services 
 
                                           $ 4,730,879 
         
   
TRANSPORTATION - 3.7%
   
   
Airlines - 0.8%
   
 
  545,000 
Gol LuxCo SA, 8.875%, 1/24/22 (144A)   
 
$ 147,150 
 
  155,000 
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)   
 
  120,125 
 
  450,000 
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 8.25%, 7/15/17 (144A)   
 
  427,500 
 
  500,000 
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)   
 
  377,000 
       
                                               $1,071,775 
   
Airport Services - 1.0%
   
 
  464,800 
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)   
 
$ 490,364 
 
  800,000 
Aguila 3 SA, 7.875%, 1/31/18 (144A)   
 
  813,000 
       
                                              $ 1,303,364 
   
Highways & Railtracks - 0.2%
   
MXN
  4,500,000 
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A)   
 
$ 243,051 
   
Marine - 0.3%
   
 
  500,000 
Far East Capital, Ltd., SA, 8.0%, 5/2/18     
 
$ 280,080 
 
  375,000 
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)   
 
  193,125 
       
                                        $ 473,205 
   
Railroads - 0.6%
   
 
  390,039(f)
AAF Holdings LLC / AAF Finance Co., 12.0% (12.75% PIK 12.0% cash), 7/1/19 (144A)   
 
$ 327,633 
 
  485,000 
Florida East Coast Holdings Corp., 6.75%, 5/1/19 (144A)   
 
  443,775 
       
                            $ 771,408 
   
Trucking - 0.8%
   
 
  1,325,000 
Jack Cooper Holdings Corp., 10.25%, 6/1/20 (144A)   
 
$ 1,046,750 
   
Total Transportation 
 
                          $ 4,909,553 
         
   
UTILITIES - 2.6%
   
   
Electric Utilities - 0.8%
   
 
  375,000 
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A)   
 
$ 336,562 
 
  460,000(b)
Enel S.p.A., 8.75%, 9/24/73 (144A)   
 
  506,000 
 
  290,000 
PPL Energy Supply LLC, 6.5%, 6/1/25     
 
  197,200 
       
                          $ 1,039,762 
   
Gas Utilities - 0.4%
   
 
  492,450 
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A)   
 
$ 498,606 
   
Independent Power Producers & Energy Traders - 1.4%
   
 
  560,000 
NRG Energy, Inc., 6.25%, 5/1/24     
 
$ 446,600 
 
  1,065,000 
Terraform Global Operating LLC, 9.75%, 8/15/22 (144A)   
 
  830,700 
 
  200,000 
TerraForm Power Operating LLC, 5.875%, 2/1/23 (144A)   
 
  159,500 
 
  585,000 
TerraForm Power Operating LLC, 6.125%, 6/15/25 (144A)   
 
  451,913 
       
                                                     $ 1,888,713 
   
Total Utilities 
 
                                 $ 3,427,081 
         
   
TOTAL CORPORATE BONDS & NOTES
   
   
(Cost  $138,224,569)
 
                                      $ 122,195,244 
   
CONVERTIBLE BONDS & NOTES -  2.6% of Net Assets
   
   
HEALTH CARE EQUIPMENT & SERVICES - 1.2%
   
   
Health Care Equipment - 1.2%
   
 
  1,040,000(c)
Hologic, Inc., 2.0%, 12/15/37     
 
$ 1,541,150 
   
Total Health Care Equipment & Services 
 
                                  $ 1,541,150 
         
   
MATERIALS - 1.3%
   
   
Diversified Chemicals - 1.2%
   
 
  1,900,000(i)
Hercules, Inc., 6.5%, 6/30/29     
 
$ 1,610,250 
   
Diversified Metals & Mining - 0.1%
   
 
  100,000 
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16     
 
$ 94,000 
   
Total Materials 
 
                          $ 1,704,250 
         

 
Principal
Amount
USD ($)
   
Value
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.1%
   
   
Biotechnology - 0.1%
   
 
  250,000 
Corsicanto, Ltd., 3.5%, 1/15/32     
 
$ 193,125 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
 
                             $ 193,125 
         
   
TOTAL CONVERTIBLE BONDS & NOTES
   
   
(Cost  $2,501,364)
 
                          $ 3,438,525 
   
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 4.1% of Net Assets
   
 
  2,575,000(a)
U.S. Treasury Notes, 0.358%, 10/31/16     
 
$ 2,574,882 
 
  2,850,000(a)
U.S. Treasury Notes, 0.374%, 4/30/16     
 
  2,850,202 
       
                             $ 5,425,084 
   
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
   
   
(Cost  $5,424,547)
 
                          $ 5,425,084 
   
SOVEREIGN DEBT OBLIGATIONS -  1.5% of Net Assets
   
   
Argentina - 0.4%
   
 
  294,160 
Province of Salta Argentina, 9.5%, 3/16/22 (144A) 
 
$ 295,631 
 
  230,000 
Provincia de Buenos Aires, 9.95%, 6/9/21 (144A) 
 
  236,325 
       
                                $ 531,956 
   
Ireland - 0.4%
   
 
  450,000 
Vnesheconombank Via VEB Finance Plc, 6.902%, 7/9/20 (144A) 
 
$ 448,515 
   
Kenya - 0.1%
   
 
  200,000 
Kenya Government International Bond, 6.875%, 6/24/24 (144A) 
 
$ 178,008 
   
Mexico - 0.4%
   
MXN
  8,870,000 
Mexican Bonos, 7.75%, 11/13/42   
 
$ 538,717 
MXN
  324,579 
Mexican Udibonos, 3.5%, 12/14/17   
 
  18,505 
       
                                $ 557,222 
   
Zambia - 0.2%
   
 
  300,000 
Zambia Government International Bond, 5.375%, 9/20/22 (144A) 
 
$ 199,317 
   
TOTAL SOVEREIGN DEBT OBLIGATIONS
   
   
(Cost  $2,132,660)
 
                          $ 1,915,018 
 
Shares
     
         
   
COMMON STOCKS -  0.3% of Net Assets
   
   
CAPITAL GOODS - 0.0%†
   
   
Industrial Machinery - 0.0%†
   
 
  10,289(g)(j)
Liberty Tire Recycling LLC
 
$ 103 
   
Total Capital Goods 
 
                                    $  103 
         
   
INSURANCE - 0.0%†
   
   
Insurance Brokers - 0.0%†
   
GBP
  10,233(g)(j)
TopCo., Ltd.
 
$ 2,332 
GBP
  475(g)(j)
Towergate Finance Plc
 
  108 
       
                           $ 2,440 
   
Total Insurance 
 
                         $ 2,440 
         
   
TRANSPORTATION - 0.3%
   
   
Air Freight & Logistics - 0.3%
   
 
  943(j)
CEVA Holdings LLC
 
$ 424,489 
   
Total Transportation 
 
                       $ 424,489 
         
   
TOTAL COMMON STOCKS
   
   
(Cost  $916,150)
 
                       $ 427,032 
         
   
CONVERTIBLE PREFERRED STOCKS -  0.4% of Net Assets
   
   
DIVERSIFIED FINANCIALS - 0.4%
   
   
Other Diversified Financial Services - 0.4%
   
 
  470
Bank of America Corp., 7.25% 
 
$ 515,628 
   
Total Diversified Financials 
 
                              $ 515,628 
         
   
ENERGY - 0.0%†
   
   
Oil & Gas Exploration & Production - 0.0%†
   
 
  200
Halcon Resources Corp., 5.75% 
 
$ 3,500 
   
Total Energy 
 
                         $ 3,500 
         
   
TOTAL CONVERTIBLE PREFERRED STOCKS
   
   
(Cost  $524,899)
 
                       $ 519,128 
         
   
PREFERRED STOCKS -  1.7% of Net Assets
   
   
BANKS - 0.4%
   
   
Diversified Banks - 0.4%
   
 
  500(b)
AgStar Financial Services ACA, 6.75% (144A)
 
$ 545,750 
   
Total Banks 
 
                             $ 545,750 
         
 
 
Shares
   
Value
   
DIVERSIFIED FINANCIALS - 0.8%
   
   
Other Diversified Financial Services - 0.8%
   
 
  40,675(b)
GMAC Capital Trust I, 8.125% 
 
$ 1,035,179 
   
Total Diversified Financials 
 
                          $ 1,035,179 
         
   
INSURANCE - 0.5%
   
   
Insurance Brokers - 0.5%
   
GBP
  452,745(g)(j)
Towergate Finance Plc, Class B
 
$ 631,903 
   
Reinsurance - 0.0%†
   
 
  15,000(h)(j)
Lorenz Re, Ltd. (Aon Benefield Securities, Inc.), Variable Rates Notes
 
$ 37,500 
   
Total Insurance 
 
                              $ 669,403 
         
   
TOTAL PREFERRED STOCKS
   
   
(Cost  $2,106,323)
 
                                   $ 2,250,332 
         
         
   
TOTAL INVESTMENTS IN SECURITIES - 141.3%
   
   
(Cost - $203,874,757) (k)(l)
 
                              $ 185,381,195 
   
OTHER ASSETS AND LIABILITIES - (41.3)%
 
                        $ (54,216,348)
   
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
 
                      $ 131,164,847 
 

REIT
Real Estate Investment Trust.
   
(144A)
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At January 31, 2016, the value of these securities amounted to $81,795,872, or 62.4% of total net assets applicable to common shareowners.
   
(Cat Bond)
Catastrophe or Event-linked bond. At January 31, 2016, the value of these securities amounted to $21,596,945, or
16.5% of total net assets applicable to common shareowners.
   
Amount rounds to less than 0.1%.

 *
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at January 31, 2016.
   
(a)
Floating rate note. The rate shown is the coupon rate at January 31, 2016.
   
(b)
The interest rate is subject to change periodically. The interest rate shown is the rate at January 31, 2016.
   
(c)
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date.  The rate shown is the rate at January 31, 2016.
   
(d)
Security is in default.
   
(e)
Security is perpetual in nature and has no stated maturity date.
   
(f)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
   
(g)
Security is valued using fair value methods (other than prices supplied by independent pricing services).
   
(h)
Structured reinsurance investment. At January 31, 2016, the value of these securities amounted to $18,397,242, or 14.0% of total net assets applicable to common shareowners.
   
(i)
Security is priced as a unit.
   
(j)
Non-income producing.
 
 
(k)
At January 31, 2016, the net unrealized depreciation on investments based on cost for federal tax purposes of $205,952,849 was as follows:
   
 
Aggregate gross unrealized appreciation for all investments in which there
   
 
     is an excess of value over tax cost
 
$ 4,324,396 
 
Aggregate gross unrealized depreciation for all investments in which there
   
 
     is an excess of tax cost over value
 
  (24,896,050)
   
 
Net unrealized depreciation
$ (20,571,654)
     
For financial reporting purposes net unrealized depreciation on investments was $18,493,562 and cost of investments aggregated $203,874,757.
 


(l)
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
 
 
United States
65.7%
 
Bermuda
9.0  
 
Cayman Islands
6.3  
 
Luxembourg
4.5  
 
Ireland
2.4  
 
Netherlands
1.9  
 
Argentina
1.8  
 
Canada
1.3  
 
United Kingdom
1.1  
 
Other (individually less than 1%)
6.0  
   
100.0%
 

Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
EUR
-
Euro
GBP
-
Great British Pound
JPY
-
Japanese Yen
MXN
-
Mexican Peso
RUB
-
Russian Ruble
 

Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
 
   
Level 1 - quoted prices in active markets for identical securities.
 
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment
 
speeds, credit risks, etc.).
 
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
 
   
The following is a summary of the inputs used as of January 31, 2016, in valuing the Trust's investments.
 
   
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Asset Backed Securities
  $     $ 1,998,440     $     $ 1,998,440  
Collateralized Mortgage Obligations
          4,732,172             4,732,172  
Senior Secured Floating Rate Loan Interests
          42,480,220             42,480,220  
Corporate Bonds & Notes
                               
      Capital Goods
                               
          Industrial Machinery
          974,687       138,957       1,113,644  
      Insurance
                               
          Property & Casualty Insurance
          80,112       4,438,670       4,518,782  
          Reinsurance
          21,596,945       18,359,742       39,956,687  
All Other Corporate Bonds & Notes
          76,606,131             76,606,131  
Convertible Bonds & Notes
          3,438,525