N-Q 1 form.htm Federated Investors, Inc.

United States

Securities and Exchange Commission

Washington, D.C. 20549

 

Form N-Q

Quarterly Schedule of Portfolio Holdings of Registered Management Investment Companies

 

 

 

 

811-4018

 

(Investment Company Act File Number)

 

 

Federated High Yield Trust

 

___________________________________________

 

(Exact Name of Registrant as Specified in Charter)

 

 

 

Federated Investors Funds

4000 Ericsson Drive

Warrendale, PA 15086-7561

(Address of Principal Executive Offices)

 

 

(412) 288-1900

(Registrant's Telephone Number)

 

 

John W. McGonigle, Esquire

Federated Investors Tower

1001 Liberty Avenue

Pittsburgh, Pennsylvania 15222-3779

(Name and Address of Agent for Service)

(Notices should be sent to the Agent for Service)

 

 

 

 

 

 

Date of Fiscal Year End: 02/28/2014

 

 

Date of Reporting Period: Quarter ended 05/31/2013

 

 

 

 

 

 

 

Item 1. Schedule of Investments

 

Federated High Yield Trust
Portfolio of Investments
May 31, 2013 (unaudited)
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—81.4%  
    Aerospace/Defense—0.6%  
$375,000 1 Altegrity, Inc., Company Guarantee, Series 144A, 11.75%, 5/1/2016 $298,125
750,000   B/E Aerospace, Inc., Sr. Unsecd. Note, 5.25%, 4/1/2022 787,500
1,275,000 1,2 TransDigm, Inc., Series 144A, 5.50%, 10/15/2020 1,326,000
    TOTAL 2,411,625
    Automotive—4.1%  
425,000 1,2 Affinia Group, Inc., Sr. Unsecd. Note, Series 144A, 7.75%, 5/1/2021 444,125
475,000 1,2 Allison Transmission, Inc., Sr. Unsecd. Note, Series 144A, 7.125%, 5/15/2019 513,000
600,000   American Axle & Manufacturing Holdings, Inc., 6.25%, 3/15/2021 627,750
900,000   American Axle & Manufacturing Holdings, Inc., Sr. Note, 6.625%, 10/15/2022 973,125
475,000   American Axle & Manufacturing Holdings, Inc., Sr. Note, 7.75%, 11/15/2019 543,875
900,000   Chrysler Group LLC, Note, Series WI, 8.25%, 6/15/2021 1,021,500
350,000   Cooper-Standard Automotive, Inc., Company Guarantee, 8.50%, 5/1/2018 382,813
400,000   Delphi Corp., 5.00%, 2/15/2023 426,500
800,000 3 Exide Technologies, Sr. Secd. Note, 8.625%, 2/1/2018 524,000
650,000 1,2 IDQ Holdings, Inc., Sr. Secd. Note, Series 144A, 11.50%, 4/1/2017 728,812
1,125,000 1,2 International Automotive Components, Sr. Secd. Note, Series 144A, 9.125%, 6/1/2018 1,117,969
250,000 1,2 Jaguar Land Rover PLC, Series 144A, 5.625%, 2/1/2023 256,875
1,175,000 1,2 Jaguar Land Rover PLC, Sr. Unsecd. Note, Series 144A, 8.125%, 5/15/2021 1,330,687
400,000 1,2 Lear Corp., Sr. Unsecd. Note, Series 144A, 4.75%, 1/15/2023 396,000
900,000 1,2 Pittsburgh Glass Works, LLC, Sr. Secd. Note, Series 144A, 8.50%, 4/15/2016 931,500
525,000 1,2 Schaeffler AG, 4.75%, 5/15/2021 518,437
375,000 1,2 Schaeffler AG, Series 144A, 7.75%, 2/15/2017 423,750
1,125,000 1,2 Schaeffler AG, Series 144A, 8.50%, 2/15/2019 1,271,250
475,000 1,2 Stoneridge, Inc., Sr. Secd. Note, Series 144A, 9.50%, 10/15/2017 515,969
375,000   Tenneco Automotive, Inc., Company Guarantee, 6.875%, 12/15/2020 410,625
375,000   Tenneco Automotive, Inc., Company Guarantee, 7.75%, 8/15/2018 407,813
516,000   Tomkins LLC/Tomkins, Inc., Term Loan—2nd Lien, 9.00%, 10/1/2018 572,760
71,000 1,2 Tower Automotive, Inc., Sr. Secd. Note, Series 144A, 10.625%, 9/1/2017 79,165
1,625,000   United Components, Inc., Company Guarantee, Series WI, 8.625%, 2/15/2019 1,690,000
    TOTAL 16,108,300
    Building Materials—3.1%  
125,000 1,2 American Builders & Contractors Supply Co., Inc., Series 144A, 5.625%, 4/15/2021 126,875
625,000   Anixter International, Inc., 5.625%, 5/1/2019 667,187
300,000 1,2 Building Materials Corp. of America, Bond, Series 144A, 6.75%, 5/1/2021 325,500
250,000 1,2 Building Materials Corp. of America, Sr. Note, Series 144A, 7.50%, 3/15/2020 270,000
75,000   HD Supply, Inc., Sr. Sub., 10.50%, 1/15/2021 78,094
500,000   Interline Brands, Inc., Company Guarantee, 7.50%, 11/15/2018 537,500
1,050,000   Interline Brands, Inc., Sr. Unsecd. Note, 10.00%, 11/15/2018 1,162,875
800,000 1,2 Masonite International Corp., Sr. Note, Series 144A, 8.25%, 4/15/2021 892,000
1,150,000   Norcraft Cos. LP, Sr. Secd. Note, Series WI, 10.50%, 12/15/2015 1,203,187
575,000 1,2 Nortek, Inc., Sr. Note, Series 144A, 8.50%, 4/15/2021 626,750
225,000   Nortek, Inc., Sr. Unsecd. Note, Series WI, 10.00%, 12/1/2018 250,875
1,025,000   Nortek, Inc., Sr. Unsecd. Note, Series WI, 8.50%, 4/15/2021 1,127,500
1
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—continued  
    Building Materials—continued  
$175,000   Ply Gem Industries, Inc., Series WI, 9.375%, 4/15/2017 $191,625
1,125,000   Ply Gem Industries, Inc., Sr. Secd. Note, Series WI, 8.25%, 2/15/2018 1,213,594
425,000 1,2 RSI Home Products, Inc., Series 144A, 6.875%, 3/1/2018 443,063
650,000 1,2 Rexel, Inc., Series 144A, 6.125%, 12/15/2019 689,000
1,550,000 1,2 Rexel, Inc., Sr. Note, Series 144A, 5.25%, 6/15/2020 1,588,750
725,000 1,2 Roofing Supply Group, Series 144A, 10.00%, 6/1/2020 810,187
    TOTAL 12,204,562
    Chemicals—2.0%  
225,000 1,2 Ashland, Inc., Series 144A, 3.875%, 4/15/2018 232,031
175,000 1,2 Ashland, Inc., Series 144A, 4.75%, 8/15/2022 179,156
1,425,000 1,2 Dupont Performance Coatings, Series 144A, 7.375%, 5/1/2021 1,508,719
125,000 1,2 Georgia Gulf Corp., 4.875%, 5/15/2023 126,094
175,000 1,2 Georgia Gulf Corp., Series 144A, 4.625%, 2/15/2021 176,969
450,000 1,2 Hexion U.S. Finance Corp., Series 144A, 6.625%, 4/15/2020 470,250
1,125,000   Hexion U.S. Finance Corp., Sr. Secd. Note, 8.875%, 2/1/2018 1,179,844
525,000   Hexion U.S. Finance Corp., Sr. Secd. Note, Series WI, 9.00%, 11/15/2020 536,812
725,000   Huntsman International LLC, Sr. Unsecd. Note, 4.875%, 11/15/2020 734,969
325,000   Koppers Holdings, Inc., Company Guarantee, Series WI, 7.875%, 12/1/2019 358,312
600,000   Momentive Performance Materials, Inc., Series WI, 10.00%, 10/15/2020 649,500
575,000   Omnova Solutions, Inc., Company Guarantee, 7.875%, 11/1/2018 618,125
541,000 1,2 Oxea Finance, Sr. Secd. Note, Series 144A, 9.50%, 7/15/2017 584,280
350,000 1,2 Rentech Nitrogen Partners LP, Sr. Secd. 2nd Priority Note, 6.50%, 4/15/2021 355,687
300,000   Union Carbide Corp., Sr. Deb., 7.875%, 4/1/2023 368,472
    TOTAL 8,079,220
    Construction Machinery—0.4%  
250,000   RSC Equipment Rental, Inc., Company Guarantee, Series WI, 8.25%, 2/1/2021 278,125
1,175,000   United Rentals, Inc., Sr. Sub. Note, 8.375%, 9/15/2020 1,286,625
    TOTAL 1,564,750
    Consumer Products—2.9%  
1,650,000 1,2 AOT Bedding Super Holdings LLC, Series 144A, 8.125%, 10/1/2020 1,753,125
300,000 1,2 Apex Tool Group, Sr. Unsecd. Note, Series 144A, 7.00%, 2/1/2021 318,750
450,000 1,2 First Quality Finance Co., Inc., 4.625%, 5/15/2021 441,000
825,000 1,2 Freedom Group, Inc., Series 144A, 7.875%, 5/1/2020 893,062
1,080,000   Libbey Glass, Inc., Series WI, 6.875%, 5/15/2020 1,174,500
725,000   Prestige Brands Holdings, Inc., Company Guarantee, 8.25%, 4/1/2018 786,625
425,000   Scotts Miracle-Gro Co., Sr. Unsecd. Note, Series WI, 6.625%, 12/15/2020 464,312
1,575,000   ServiceMaster Co., 7.00%, 8/15/2020 1,569,094
275,000   ServiceMaster Co., Sr. Unsecd. Note, 7.10%, 3/1/2018 269,500
125,000   ServiceMaster Co., Sr. Unsecd. Note, 7.45%, 8/15/2027 110,625
625,000   ServiceMaster Co., Sr. Unsecd. Note, 8.00%, 2/15/2020 646,094
200,000 1,2 Spectrum Brands Holdings, Inc., Sr. Note, Series 144A, 6.375%, 11/15/2020 215,250
200,000   Spectrum Brands Holdings, Inc., Sr. Secd. Note, 9.50%, 6/15/2018 222,250
850,000   Spectrum Brands, Inc., Sr. Unsecd. Note, 6.75%, 3/15/2020 918,000
200,000 1,2 Springs Industries, Inc., Sr. Secd. Note, Series 144A, 6.25%, 6/1/2021 199,500
1,400,000   Visant Corp., Company Guarantee, Series WI, 10.00%, 10/1/2017 1,347,500
275,000 1,2 Wolverine World Wide, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 10/15/2020 292,188
    TOTAL 11,621,375
2
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—continued  
    Energy—6.8%  
$650,000 4,5 ATP Oil & Gas Corp., Sr. Secd. 2nd Priority Note, Series WI, 11.875%, 5/1/2015 $9,750
1,300,000   Antero Resources Corp., 6.00%, 12/1/2020 1,358,500
425,000 1,2 Athlon Holdings LP, Sr. Note, Series 144A, 7.375%, 4/15/2021 443,062
275,000   Basic Energy Services, Inc., Company Guarantee, Series WI, 7.75%, 2/15/2019 289,438
250,000   Berry Petroleum Co., Sr. Unsecd. Note, 6.375%, 9/15/2022 260,625
1,025,000   Chaparral Energy, Inc., Company Guarantee, 9.875%, 10/1/2020 1,178,750
400,000   Chesapeake Energy Corp., 5.375%, 6/15/2021 408,000
175,000   Chesapeake Energy Corp., 5.75%, 3/15/2023 182,438
1,350,000   Chesapeake Energy Corp., Sr. Note, 6.875%, 11/15/2020 1,525,500
875,000 1,2 Chesapeake Oilfield Services Co., Sr. Note, Series 144A, 6.625%, 11/15/2019 923,125
775,000   Compagnie Generale de Geophysique Veritas, Sr. Unsecd. Note, 6.50%, 6/1/2021 813,750
525,000   Compagnie Generale de Geophysique Veritas, Sr. Unsecd. Note, 7.75%, 5/15/2017 542,062
950,000   Concho Resources, Inc., 5.50%, 4/1/2023 976,125
375,000   Concho Resources, Inc., Sr. Note, 7.00%, 1/15/2021 409,688
450,000 1,2 Continental Resources, Inc., Series 144A, 4.50%, 4/15/2023 455,062
200,000   EP Energy/EP Finance, Inc., Series WI, 6.875%, 5/1/2019 217,000
1,150,000   EP Energy/EP Finance, Inc., Series WI, 9.375%, 5/1/2020 1,309,562
425,000 1,2 EP Energy/EP Finance, Inc., Sr. PIK Deb., Series 144A, 8.125%, 12/15/2017 455,812
325,000   Energy XXI Gulf Coast, Inc., 7.75%, 6/15/2019 349,375
725,000   Energy XXI Gulf Coast, Inc., 9.25%, 12/15/2017 808,375
750,000   Forbes Energy Services Ltd., Company Guarantee, Series WI, 9.00%, 6/15/2019 738,750
475,000 1,2 Forest Oil Corp., Series 144A, 7.50%, 9/15/2020 479,750
900,000   Forest Oil Corp., Sr. Note, 7.25%, 6/15/2019 900,000
175,000   Halcon Resources Corp., Sr. Note, 8.875%, 5/15/2021 178,938
925,000   Halcon Resources Corp., Sr. Unsecd. Note, 9.75%, 7/15/2020 965,469
200,000 1,2 Kodiak Oil & Gas Corp., Series 144A, 5.50%, 1/15/2021 207,750
575,000   Linn Energy LLC, Company Guarantee, 7.75%, 2/1/2021 612,375
275,000   Linn Energy LLC, Series WI, 6.50%, 5/15/2019 281,188
550,000   Linn Energy LLC, Sr. Unsecd. Note, 8.625%, 4/15/2020 605,000
375,000   Lone Pine Resources Canada Ltd., Series WI, 10.375%, 2/15/2017 333,750
1,275,000   Newfield Exploration Co., Sr. Unsecd. Note, 5.625%, 7/1/2024 1,345,125
525,000   Northern Oil and Gas, Inc., Sr. Note, 8.00%, 6/1/2020 548,625
1,025,000   Oasis Petroleum, Inc., 6.875%, 1/15/2023 1,122,375
350,000 1,2 Ocean Rig Norway AS, Sr. Secd. Note, Series 144A, 6.50%, 10/1/2017 358,750
875,000   PHI, Inc., Company Guarantee, Series WI, 8.625%, 10/15/2018 955,937
375,000   Plains Exploration & Production Co., 6.75%, 2/1/2022 420,937
250,000   Plains Exploration & Production Co., Sr. Note, 6.125%, 6/15/2019 275,625
325,000 1,2 Range Resources Corp., Sr. Sub. Note, Series 144A, 5.00%, 3/15/2023 329,875
375,000 1,2 SM Energy Co., Sr. Note, Series 144A, 5.00%, 1/15/2024 379,688
400,000   Sandridge Energy, Inc., 7.50%, 3/15/2021 414,000
600,000   Sandridge Energy, Inc., Series WI, 8.125%, 10/15/2022 643,500
225,000   Sesi LLC, Series WI, 7.125%, 12/15/2021 253,688
250,000   Sesi LLC, Sr. Note, Series WI, 6.375%, 5/1/2019 271,250
1,300,000   W&T Offshore, Inc., Sr. Unsecd. Note, Series WI, 8.50%, 6/15/2019 1,420,250
    TOTAL 26,958,594
    Entertainment—0.9%  
425,000   Cedar Fair LP, Company Guarantee, 9.125%, 8/1/2018 473,875
3
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—continued  
    Entertainment—continued  
$625,000 1,2 Cedar Fair LP, Sr. Unsecd. Note, Series 144A, 5.25%, 3/15/2021 $627,344
125,000   Cinemark USA, Inc., 5.125%, 12/15/2022 127,500
375,000   Cinemark USA, Inc., Company Guarantee, 8.625%, 6/15/2019 421,688
700,000   Cinemark USA, Inc., Company Guarantee, Series WI, 7.375%, 6/15/2021 785,750
650,000 1,4,5,6,7 Hard Rock Park Operations LLC, Sr. Secd. Note, Series 144A, 0.00%, 4/1/2012 0
250,000   Regal Cinemas, Inc., Company Guarantee, 8.625%, 7/15/2019 278,750
925,000 1,2 Six Flags Entertainment Corp., Sr. Note, Series 144A, 5.25%, 1/15/2021 931,937
    TOTAL 3,646,844
    Environmental—0.2%  
625,000 1,2 ADS Waste Escrow, Sr. Unsecd. Note, Series 144A, 8.25%, 10/1/2020 673,438
    Financial Institutions—4.0%  
75,000   Ally Financial, Inc., Company Guarantee, 7.50%, 9/15/2020 87,844
425,000   Ally Financial, Inc., Company Guarantee, 8.00%, 11/1/2031 550,375
475,000   Ally Financial, Inc., Company Guarantee, 8.00%, 3/15/2020 567,625
800,000   Ally Financial, Inc., Company Guarantee, 8.30%, 2/12/2015 882,000
1,275,000   Ally Financial, Inc., Company Guarantee, Series WI, 6.25%, 12/1/2017 1,408,976
850,000   Ally Financial, Inc., Sr. Unsecd. Note, 5.50%, 2/15/2017 913,858
450,000   CIT Group, Inc., 5.00%, 5/15/2017 481,500
1,375,000   CIT Group, Inc., 5.25%, 3/15/2018 1,485,000
175,000   CIT Group, Inc., 5.375%, 5/15/2020 189,438
325,000 1,2 CIT Group, Inc., Sr. 2nd Priority Note, Series 144A, 6.625%, 4/1/2018 367,250
550,000   CIT Group, Inc., Sr. Note, 4.25%, 8/15/2017 568,562
175,000 1,2 General Motors Financial Company, Inc., Sr. Note, Series 144A, 2.75%, 5/15/2016 175,066
125,000 1,2 General Motors Financial Company, Inc., Sr. Note, Series 144A, 3.25%, 5/15/2018 124,219
150,000 1,2 General Motors Financial Company, Inc., Sr. Note, Series 144A, 4.25%, 5/15/2023 146,625
775,000   International Lease Finance Corp., 4.625%, 4/15/2021 770,641
1,250,000   International Lease Finance Corp., 5.875%, 8/15/2022 1,334,687
525,000   International Lease Finance Corp., Sr. Unsecd. Note, 5.75%, 5/15/2016 565,458
450,000   International Lease Finance Corp., Sr. Unsecd. Note, 8.25%, 12/15/2020 546,750
1,550,000   International Lease Finance Corp., Sr. Unsecd. Note, 8.75%, 3/15/2017 1,842,562
750,000 1,2 Neuberger Berman, Inc., Series 144A, 5.875%, 3/15/2022 802,500
225,000 1,2 Neuberger Berman, Inc., Sr. Note, Series 144A, 5.625%, 3/15/2020 239,625
1,775,000 1,2 Nuveen Investments, Inc., Sr. Unsecd. Note, Series 144A, 9.50%, 10/15/2020 1,912,562
    TOTAL 15,963,123
    Food & Beverage—5.1%  
1,850,000 1,2 Aramark Corp., Sr. Unsecd. Note, Series 144A, 5.75%, 3/15/2020 1,924,000
675,000   B&G Foods, Inc., Sr. Note, 4.625%, 6/1/2021 676,688
300,000   Constellation Brands, Inc., 4.25%, 5/1/2023 295,500
925,000   Dean Foods Co., Sr. Note, Series WI, 9.75%, 12/15/2018 1,070,688
2,525,000   Del Monte Foods Co., Sr. Unsecd. Note, 7.625%, 2/15/2019 2,629,156
2,250,000 1,2 H.J. Heinz Co., 4.25%, 10/15/2020 2,238,750
1,725,000   Michael Foods, Inc., Company Guarantee, Series WI, 9.75%, 7/15/2018 1,932,000
1,875,000 1,2 Michael Foods, Inc., Series 144A, 8.50%, 7/15/2018 1,982,812
1,600,000 1,2 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., Sr. Unsecd. Note, Series 144A, 4.875%, 5/1/2021 1,610,000
450,000 1,2 Shearer's Foods, Inc., Sr. Secd. Note, Series 144A, 9.00%, 11/1/2019 508,500
1,050,000   Smithfield Foods, Inc., 6.625%, 8/15/2022 1,197,000
475,000   Smithfield Foods, Inc., Sr. Note, 7.75%, 7/1/2017 554,563
4
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—continued  
    Food & Beverage—continued  
$3,150,000   U.S. Foodservice, Inc., Sr. Unsecd. Note, 8.50%, 6/30/2019 $3,390,187
    TOTAL 20,009,844
    Gaming—2.5%  
825,000 1,2 Affinity Gaming LLC, Sr. Unsecd. Note, Series 144A, 9.00%, 5/15/2018 881,719
779,000   American Casino & Entertainment, Sr. Secd. Note, 11.00%, 6/15/2014 781,434
450,000   Ameristar Casinos, Inc., Sr. Unsecd. Note, Series WI, 7.50%, 4/15/2021 492,750
600,000   Caesars Entertainment, Inc., 8.50%, 2/15/2020 573,375
600,000 1,2 Chester Downs & Marina, Series 144A, 9.25%, 2/1/2020 585,000
1,850,000   MGM Mirage, Inc., 7.75%, 3/15/2022 2,118,250
300,000   MGM Mirage, Inc., Sr. Unsecd. Note, 8.625%, 2/1/2019 356,250
450,000 1,2 MGM Mirage, Inc., Sr. Unsecd. Note, Series 144A, 6.75%, 10/1/2020 491,625
900,000 1,2 Rivers Pittsburgh LP, Sr. Secd. Note, Series 144A, 9.50%, 6/15/2019 994,500
840,000 1,2 Seminole Tribe of Florida, Bond, Series 144A, 7.804%, 10/1/2020 915,600
925,000 1,2 Station Casinos, Inc., Sr. Note, Series 144A, 7.50%, 3/1/2021 973,563
585,000 1,2 Sugarhouse HSP Gaming Finance Corp., Sr. Secd. Note, Series 144A, 8.625%, 4/15/2016 623,756
    TOTAL 9,787,822
    Health Care—8.2%  
1,150,000 1,2 Biomet, Inc., Series 144A, 6.50%, 10/1/2020 1,170,125
1,200,000 1,2 Biomet, Inc., Sr. Note, Series 144A, 6.50%, 8/1/2020 1,267,500
1,325,000 1,2 CDRT Holding Corporation, Sr. Unsecd. Note, Series 144A, 9.25%, 10/1/2017 1,368,062
1,250,000   DJO Finance LLC, Company Guarantee, Series WI, 7.75%, 4/15/2018 1,300,000
250,000   DJO Finance LLC, Company Guarantee, Series WI, 9.75%, 10/15/2017 263,750
125,000   DJO Finance LLC, Series WI, 8.75%, 3/15/2018 138,750
800,000   DJO Finance LLC, Series WI, 9.875%, 4/15/2018 882,000
725,000   DaVita HealthCare Partners, Inc., 5.75%, 8/15/2022 775,750
475,000 1,2 Elan Finance Corporation Ltd., Sr. Note, 6.25%, 6/15/2021 478,563
1,475,000   Emergency Medical Services Corp., Company Guarantee, Series WI, 8.125%, 6/1/2019 1,615,125
800,000   Grifols, Inc., Sr. Note, Series WI, 8.25%, 2/1/2018 875,000
2,075,000   HCA Holdings, Inc., Sr. Unsecd. Note, Series WI, 7.75%, 5/15/2021 2,298,062
375,000   HCA, Inc., 6.25%, 2/15/2021 402,188
500,000   HCA, Inc., Revolver - 1st Lien, 5.875%, 3/15/2022 550,000
625,000   HCA, Inc., Series 1, 5.875%, 5/1/2023 662,500
775,000   HCA, Inc., Sr. Note, 7.50%, 11/6/2033 809,875
2,450,000   HCA, Inc., Sr. Unsecd. Note, 7.50%, 2/15/2022 2,860,375
875,000   Hologic, Inc., 6.25%, 8/1/2020 939,531
1,625,000   Iasis Healthcare, Sr. Unsecd. Note, 8.375%, 5/15/2019 1,706,250
625,000 1,2 Jaguar Holding Co., Series 144A, 9.375%, 10/15/2017 673,437
1,000,000 1,2 Jaguar Holding Co., Sr. Note, 9.50%, 12/1/2019 1,146,250
1,550,000 1,2 Multiplan, Inc., Company Guarantee, Series 144A, 9.875%, 9/1/2018 1,743,750
575,000   Omnicare, Inc., Sr. Sub., 7.75%, 6/1/2020 639,688
875,000 1,2 Tenet Healthcare Corp., Sr. Secd. Note, 4.375%, 10/1/2021 849,844
675,000 1,2 Tenet Healthcare Corp., Sr. Secd. Note, Series 144A, 4.50%, 4/1/2021 664,875
875,000   United Surgical Partners International, Inc., Series WI, 9.00%, 4/1/2020 982,187
1,100,000   Universal Hospital Service Holdco, Inc., Series WI, 7.625%, 8/15/2020 1,190,750
1,600,000   VWR Funding, Inc., 7.25%, 9/15/2017 1,712,000
1,375,000   Vanguard Health Holdings II, Company Guarantee, 8.00%, 2/1/2018 1,466,094
5
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—continued  
    Health Care—continued  
$825,000 1,2 Wolverine Healthcare, Sr. Note, Series 144A, 10.625%, 6/1/2020 $936,375
    TOTAL 32,368,656
    Industrial - Other—3.0%  
1,050,000 1,2 Belden CDT, Inc., Series 144A, 5.50%, 9/1/2022 1,084,125
700,000 1,2 Cleaver-Brooks, Inc., Series 144A, 8.75%, 12/15/2019 763,000
750,000   Dynacast International LLC, Series WI, 9.25%, 7/15/2019 830,625
675,000 1,2 General Cable Corp., Sr. Unsecd. Note, Series 144A, 5.75%, 10/1/2022 698,625
1,275,000 1,2 Hamilton Sundstrand Corp., Series 144A, 7.75%, 12/15/2020 1,329,187
275,000 1,2 Hillman Group, Inc., Series 144A, 10.875%, 6/1/2018 305,250
700,000 1,2 J.B. Poindexter, Inc., Series 144A, 9.00%, 4/1/2022 745,500
525,000 1,2 Knowledge Learning Corp., Sr. Sub. Note, Series 144A, 7.75%, 2/1/2015 511,875
325,000   Mastec, Inc., 4.875%, 3/15/2023 321,750
525,000 1,2 Maxim Finance Corp., Sr. Secd. Note, Series 144A, 12.25%, 4/15/2015 552,563
225,000 1,2 Milacron LLC, Series 144A, 7.75%, 2/15/2021 237,375
300,000 1,2 Milacron LLC, Series 144A, 8.375%, 5/15/2019 325,500
750,000 1,2 Mirror Bidco/Dematic, Series 144A, 7.75%, 12/15/2020 811,875
80,000   Mueller Water Products, Inc., Company Guarantee, 8.75%, 9/1/2020 90,800
1,075,000   Mueller Water Products, Inc., Sr. Sub. Note, Series WI, 7.375%, 6/1/2017 1,107,250
500,000   Rexnord, Inc., Company Guarantee, 8.50%, 5/1/2018 543,750
1,000,000   The Hillman Group, Inc., Sr. Unsecd. Note, 10.875%, 6/1/2018 1,110,000
425,000 1,2 Unifrax Investment Corp., Series 144A, 7.50%, 2/15/2019 444,125
    TOTAL 11,813,175
    Lodging—0.2%  
300,000   Choice Hotels International, Inc., 5.75%, 7/1/2022 334,500
375,000   Royal Caribbean Cruises Ltd., Sr. Note, 5.25%, 11/15/2022 391,875
    TOTAL 726,375
    Media - Cable—1.9%  
600,000 1,2 Cequel Communications Holdings, Series 144A, 5.125%, 12/15/2021 591,750
350,000 1,2 Cequel Communications Holdings, Series 144A, 6.375%, 9/15/2020 367,500
400,000   Charter Communications Holdings II, 5.125%, 2/15/2023 394,000
175,000   Charter Communications Holdings II, 5.75%, 1/15/2024 177,188
175,000   Charter Communications Holdings II, 7.375%, 6/1/2020 196,219
1,600,000 1,2 Charter Communications Holdings II, Series 144A, 5.75%, 9/1/2023 1,622,000
1,100,000   Charter Communications Holdings II, Sr. Note, 7.00%, 1/15/2019 1,181,125
175,000   DISH DBS Corporation, Series WI, 4.625%, 7/15/2017 175,875
1,800,000   DISH DBS Corporation, Series WI, 5.875%, 7/15/2022 1,813,500
225,000 1,2 LYNX II Corporation, Series 144A, 6.375%, 4/15/2023 235,687
600,000   Virgin Media, Inc., Sr. Unsecd. Note, 4.875%, 2/15/2022 608,250
    TOTAL 7,363,094
    Media - Non-Cable—6.0%  
575,000   AMC Networks, Inc., Series WI, 7.75%, 7/15/2021 654,063
375,000   AMC Networks, Inc., Sr. Unsecd. Note, 4.75%, 12/15/2022 375,938
1,650,000   Clear Channel Communications, Inc., Company Guarantee, 9.00%, 3/1/2021 1,645,875
450,000 1,2 Clear Channel Communications, Inc., Series 144A, 11.25%, 3/1/2021 489,375
800,000 1,2 Clear Channel Worldwide, 6.50%, 11/15/2022 848,000
150,000   Clear Channel Worldwide, 7.625%, 3/15/2020 159,375
300,000 1,2 Clear Channel Worldwide, Series 144A, 6.50%, 11/15/2022 316,500
6
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—continued  
    Media - Non-Cable—continued  
$1,350,000   Clear Channel Worldwide, Series B, 7.625%, 3/15/2020 $1,441,125
1,150,000   Crown Media Holdings, Inc., Company Guarantee, 10.50%, 7/15/2019 1,316,750
975,000   Cumulus Media, Inc., Sr. Unsecd. Note, Series WI, 7.75%, 5/1/2019 1,004,250
975,000   Entercom Radio LLC, Sr. Sub. Note, Series WI, 10.50%, 12/1/2019 1,143,187
527,000   Entravision Communications Corp., Sr. Secd. Note, 8.75%, 8/1/2017 566,525
900,000 1,2 Intelsat (Luxembourg) S.A., Sr. Unsecd. Note, Series 144A, 7.75%, 6/1/2021 949,500
1,075,000 1,2 Intelsat (Luxembourg) S.A., Sr. Unsecd. Note, Series 144A, 8.125%, 6/1/2023 1,154,281
650,000   Intelsat Jackson Holdings S.A., Company Guarantee, 8.50%, 11/1/2019 715,000
700,000 1,2 Intelsat Jackson Holdings S.A., Gtd. Sr. Note, Series 144A, 5.50%, 8/1/2023 687,750
700,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, Series WI, 7.25%, 4/1/2019 757,750
750,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, Series WI, 7.50%, 4/1/2021 827,812
825,000   Lamar Media Corp., Series WI, 5.00%, 5/1/2023 839,437
200,000   Lamar Media Corp., Series WI, 5.875%, 2/1/2022 217,000
325,000   Nielsen Finance LLC/Nielsen Finance Co., Company Guarantee, 7.75%, 10/15/2018 359,125
575,000 1,2 Nielsen Finance LLC/Nielsen Finance Co., Series 144A, 4.50%, 10/1/2020 579,313
1,450,000   SSI Investments II Ltd., Company Guarantee, 11.125%, 6/1/2018 1,609,500
350,000 1,2 Sirius XM Radio, Inc., 4.25%, 5/15/2020 343,875
575,000 1,2 Sirius XM Radio, Inc., 4.625%, 5/15/2023 553,438
725,000 1,2 Sirius XM Radio, Inc., Series 144A, 5.25%, 8/15/2022 748,563
1,400,000 1,2 Southern Graphics Systems, Inc., Series 144A, 8.375%, 10/15/2020 1,512,000
1,025,000 1,2 Townsquare Radio LLC, Series 144A, 9.00%, 4/1/2019 1,124,937
750,000 1,2 XM Satellite Radio, Inc., Sr. Unsecd. Note, Series 144A, 7.625%, 11/1/2018 828,750
    TOTAL 23,768,994
    Metals & Mining—0.3%  
600,000 4,5,6 Aleris International, Inc., Company Guarantee, 9.00%, 12/15/2014 60
500,000 4,5,6 Aleris International, Inc., Sr. Sub. Note, 10.00%, 12/15/2016 0
925,000 1,2 Century Aluminum Co., Sr. Secd. Note, 7.50%, 6/1/2021 916,906
125,000 1,2 Steel Dynamics, Inc., Sr. Note, Series 144A, 5.25%, 4/15/2023 130,313
    TOTAL 1,047,279
    Packaging—3.9%  
1,750,000 1,2 Ardagh Packaging Finance PLC, Company Guarantee, Series 144A, 9.125%, 10/15/2020 1,933,750
850,000 1,2 Ardagh Packaging Finance PLC, Series 144A, 7.00%, 11/15/2020 873,375
1,075,000   Ball Corp., 4.00%, 11/15/2023 1,032,000
200,000   Berry Plastics Corp., Sr. Secd. Note, 9.50%, 5/15/2018 220,000
250,000   Bway Holding Co., Company Guarantee, Series WI, 10.00%, 6/15/2018 278,125
1,000,000 1,2 Bway Holding Co., Series 144A, 9.50%, 11/1/2017 1,047,500
100,000   Greif, Inc., Sr. Unsecd. Note, 7.75%, 8/1/2019 118,500
900,000 1,2 Packaging Dynamics Corp., Sr. Secd. Note, Series 144A, 8.75%, 2/1/2016 942,750
725,000   Reynolds Group, Series WI, 7.875%, 8/15/2019 797,500
1,200,000   Reynolds Group, Series WI, 8.25%, 2/15/2021 1,228,500
475,000   Reynolds Group, Series WI, 8.50%, 5/15/2018 501,125
1,450,000   Reynolds Group, Series WI, 9.00%, 4/15/2019 1,529,750
2,200,000   Reynolds Group, Series WI, 9.875%, 8/15/2019 2,406,250
200,000   Reynolds Group, Sr. Secd. Note, Series WI, 7.125%, 4/15/2019 214,000
200,000   Reynolds Group, Sr. Unsecd. Note, 7.95%, 12/15/2025 191,000
725,000   Reynolds GRP ISS/Reynold, Series WI, 5.75%, 10/15/2020 737,687
7
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—continued  
    Packaging—continued  
$1,175,000 1,2 Sealed Air Corp., Sr. Unsecd. Note, Series 144A, 8.375%, 9/15/2021 $1,363,000
    TOTAL 15,414,812
    Paper—0.2%  
600,000 1,2 Longview Fibre Co., Sr. Secd. Note, Series 144A, 8.00%, 6/1/2016 626,250
    Restaurants—1.1%  
1,675,000   DineEquity, Inc., Company Guarantee, Series WI, 9.50%, 10/30/2018 1,892,750
1,125,000   NPC International/OPER Co., A&B, Inc., Series WI, 10.50%, 1/15/2020 1,317,656
1,000,000 1,2 Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, Series 144A, 5.875%, 5/15/2021 995,625
    TOTAL 4,206,031
    Retailers—3.7%  
900,000 1,2 Academy Finance Corp., Series 144A, 8.00%, 6/15/2018 931,500
850,000 1,2 Academy Finance Corp., Series 144A, 9.25%, 8/1/2019 956,250
175,000 1,2 CST Brands, Inc., 5.00%, 5/1/2023 177,625
275,000 1,2 Claire's Stores, Inc., Series 144A, 6.125%, 3/15/2020 288,063
500,000   Gymboree Corp., Sr. Unsecd. Note, 9.125%, 12/1/2018 486,875
1,125,000 1,2 Jo-Ann Stores, Inc., Series 144A, 9.75%, 10/15/2019 1,202,344
1,650,000 1,2 Jo-Ann Stores, Inc., Sr. Unsecd. Note, Series 144A, 8.125%, 3/15/2019 1,744,875
575,000   Limited Brands, Inc., Sr. Unsecd. Note, 5.625%, 2/15/2022 617,406
1,300,000   Michaels Stores, Inc., Company Guarantee, 7.75%, 11/1/2018 1,417,000
1,225,000 1,2 PETCO Animal Supplies, Inc., Series 144A, 8.50%, 10/15/2017 1,260,219
1,325,000 1,2 PETCO Animal Supplies, Inc., Sr. Note, Series 144A, 9.25%, 12/1/2018 1,450,875
700,000 1,2 Party City Holdings, Inc., Sr. Note, Series 144A, 8.875%, 8/1/2020 789,250
325,000   Sally Beauty Holdings, Inc., 5.75%, 6/1/2022 343,687
550,000   Sally Hldgs. LLC/Sally Cap, Inc., Series WI, 6.875%, 11/15/2019 612,562
1,375,000   The Yankee Candle Co., Inc., Sr. Sub. Note, Series B, 9.75%, 2/15/2017 1,424,857
300,000 1,2 United Auto Group, Inc., Series 144A, 5.75%, 10/1/2022 317,625
675,000   YCC Holdings LLC, Sr. Unsecd. Note, 10.25%, 2/15/2016 695,257
    TOTAL 14,716,270
    Services—0.6%  
925,000 1,2 Garda World Security Corp., Sr. Unsecd. Note, Series 144A, 9.75%, 3/15/2017 1,001,313
750,000   Monitronics International, Inc., Series WI, 9.125%, 4/1/2020 813,750
550,000 1,2 Reliance Intermediate Holdings LP, Sr. Unsecd. Note, Series 144A, 9.50%, 12/15/2019 610,500
    TOTAL 2,425,563
    Technology—11.4%  
325,000 1,2 Advanced Micro Devices, Inc., Series 144A, 7.50%, 8/15/2022 318,500
400,000   Advanced Micro Devices, Inc., Sr. Unsecd. Note, 7.75%, 8/1/2020 395,000
575,000   Aspect Software, Inc., Sr. Note, Series WI, 10.625%, 5/15/2017 602,313
277,000   CDW LLC/CDW Finance, Company Guarantee, 12.535%, 10/12/2017 299,160
1,775,000   CDW LLC/CDW Finance, Sr. Unsecd. Note, Series WI, 8.50%, 4/1/2019 1,972,469
675,000 1,2 CommScope, Inc., Sr. Note, 6.625%, 6/1/2020 669,938
1,575,000 1,2 CommScope, Inc., Sr. Note, Series 144A, 8.25%, 1/15/2019 1,732,500
375,000 1,2 Compucom System, Inc., 7.00%, 5/1/2021 373,125
950,000   CoreLogic, Inc., Sr. Unsecd. Note, Series WI, 7.25%, 6/1/2021 1,045,000
2,000,000 1,2 DataTel, Inc., Series 144A, 9.75%, 1/15/2019 2,240,000
1,350,000   Emdeon, Inc., 11.00%, 12/31/2019 1,555,875
1,550,000   Epicor Software Corp., 8.625%, 5/1/2019 1,693,375
450,000 1,2 First Data Corp., Series 144A, 11.25%, 1/15/2021 462,375
8
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—continued  
    Technology—continued  
$350,000 1,2 First Data Corp., Sr. Secd. 2nd Priority Note, Series 144A, 8.25%, 1/15/2021 $372,750
3,650,000 1,2 First Data Corp., Sr. Secd. 2nd Priority Note, Series 144A, 8.75%, 1/15/2022 3,932,875
350,000 1,2 Flextronics International Ltd., Series 144A, 4.625%, 2/15/2020 354,375
350,000 1,2 Flextronics International Ltd., Series 144A, 5.00%, 2/15/2023 353,500
1,125,000 1,2 Freescale Semiconductor, Inc., Sr. Secd. Note, Series 144A, 9.25%, 4/15/2018 1,229,062
550,000 1,2 IAC Interactive Corp., Series 144A, 4.75%, 12/15/2022 543,125
775,000   IGATE Capital Corp., Sr. Unsecd. Note, Series WI, 9.00%, 5/1/2016 837,000
1,275,000 1,2 Igloo Holdings Corp., Sr. Note, Series 144A, 8.25%, 12/15/2017 1,316,437
925,000   Interactive Data Corp., Company Guarantee, 10.25%, 8/1/2018 1,042,937
700,000   Iron Mountain, Inc., 5.75%, 8/15/2024 712,250
200,000   Iron Mountain, Inc., Sr. Sub. Note, 7.75%, 10/1/2019 224,250
1,075,000   Kemet Corp., Sr. Note, 10.50%, 5/1/2018 1,115,312
2,100,000   Lawson Software, Inc., Series WI, 11.50%, 7/15/2018 2,472,750
850,000   Lawson Software, Inc., Series WI, 9.375%, 4/1/2019 962,625
1,250,000   Lender Processing Services, 5.75%, 4/15/2023 1,387,500
675,000   MagnaChip Semiconductor S.A., Sr. Note, Series WI, 10.50%, 4/15/2018 750,938
725,000 1,2 Mmodal, Inc., Series 144A, 10.75%, 8/15/2020 627,125
450,000   NCR Corp., 4.625%, 2/15/2021 447,750
450,000   NCR Corp., 5.00%, 7/15/2022 455,625
475,000 1,2 NXP BV/NXP Funding LLC, Series 144A, 3.75%, 6/1/2018 470,250
250,000 1,2 NXP BV/NXP Funding LLC, Series 144A, 5.75%, 2/15/2021 263,750
200,000 1,2 NXP BV/NXP Funding LLC, Series 144A, 5.75%, 3/15/2023 208,500
950,000 1,2 Nuance Communications, Inc., 5.375%, 8/15/2020 966,625
900,000 1,2 Seagate Technology HDD Holdings, Series 144A, 4.75%, 6/1/2023 877,500
275,000   Seagate Technology HDD Holdings, Sr. Unsecd. Note, 6.875%, 5/1/2020 295,625
1,100,000   Seagate Technology HDD Holdings, Sr. Unsecd. Note, Series WI, 7.00%, 11/1/2021 1,215,500
1,075,000 1,2 Solera Holdings, Inc., Company Guarantee, Series 144A, 6.75%, 6/15/2018 1,148,906
1,025,000   Spansion, Inc., Sr. Unsecd. Note, Series WI, 7.875%, 11/15/2017 1,076,250
425,000   SunGard Data Systems, Inc., Company Guarantee, 7.375%, 11/15/2018 454,750
575,000 1,2 SunGard Data Systems, Inc., Series 144A, 6.625%, 11/1/2019 608,063
100,000   SunGard Data Systems, Inc., Sr. Unsecd. Note, 7.625%, 11/15/2020 110,500
1,600,000   Syniverse Holdings, Inc., Company Guarantee, 9.125%, 1/15/2019 1,756,000
800,000 1,2 TransUnion Holding Co., Inc., Series 144A, 8.125%, 6/15/2018 854,000
975,000   TransUnion Holding Co., Inc., Sr. Unsecd. Note, Series WI, 9.625%, 6/15/2018 1,055,437
325,000 1,2 Verisign, Inc., Sr. Note, 4.625%, 5/1/2023 328,250
800,000 1,2 Viasystems, Inc., Sr. Secd. Note, Series 144A, 7.875%, 5/1/2019 860,000
    TOTAL 45,047,722
    Textile—0.1%  
200,000   Phillips Van Heusen Corp., Sr. Note, 4.50%, 12/15/2022 200,500
    Transportation—0.3%  
525,000   HDTFS, Inc., Series WI, 6.25%, 10/15/2022 572,906
275,000   Hertz Corp., Company Guarantee, 6.75%, 4/15/2019 300,094
450,000   Hertz Corp., Series WI, 5.875%, 10/15/2020 477,000
    TOTAL 1,350,000
    Utility - Electric—1.2%  
540,000 1,2 Calpine Corp., Sr. Secd. Note, Series 144A, 7.50%, 2/15/2021 588,600
225,000 1,2 Dynegy, Inc., Series 144A, 5.875%, 6/1/2023 222,188
9
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—continued  
    Utility - Electric—continued  
$550,000 1,2 Energy Future Intermediate Holding Company LLC, Series 144A, 6.875%, 8/15/2017 $585,750
650,000 1,2 Energy Future Intermediate Holding Company LLC, Sr. Secd. 2nd Priority Note, Series 144A, 11.75%, 3/1/2022 743,437
325,000   Energy Future Intermediate Holding Company LLC, Sr. Secd. Note, 10.00%, 12/1/2020 371,719
142,885 1 FPL Energy National Wind, Note, Series 144A, 6.125%, 3/25/2019 111,272
375,000   NRG Energy, Inc., Company Guarantee, 8.25%, 9/1/2020 422,344
775,000   NRG Energy, Inc., Sr. Unsecd. Note, 7.875%, 5/15/2021 868,000
100,000 1,2 NRG Energy, Inc., Sr. Unsecd. Note, Series 144A, 6.625%, 3/15/2023 106,250
575,000   NRG Energy, Inc., Sr. Unsecd. Note, Series WI, 7.625%, 5/15/2019 613,812
    TOTAL 4,633,372
    Utility - Natural Gas—2.8%  
900,000   Access Midstream Partners LP, Sr. Note, 4.875%, 5/15/2023 893,250
550,000   Chesapeake Midstream Partners LP, Sr. Unsecd. Note, Series WI, 6.125%, 7/15/2022 591,250
750,000   Copano Energy LLC, Company Guarantee, 7.125%, 4/1/2021 868,125
675,000   El Paso Corp., Sr. Unsecd. Note, 6.50%, 9/15/2020 766,182
175,000   El Paso Corp., Sr. Unsecd. Note, 7.25%, 6/1/2018 204,216
1,650,000   Energy Transfer Equity LP, Sr. Unsecd. Note, 7.50%, 10/15/2020 1,901,625
375,000   Holly Energy Partners LP, Sr. Unsecd. Note, 8.25%, 3/15/2018 405,937
425,000 1,2 Inergy Midstream LP, Sr. Unsecd. Note, Series 144A, 6.00%, 12/15/2020 446,250
200,000   MarkWest Energy Partners LP, Company Guarantee, 6.75%, 11/1/2020 219,000
225,000   MarkWest Energy Partners LP, Sr. Unsecd. Note, 4.50%, 7/15/2023 219,938
341,000   MarkWest Energy Partners LP, Sr. Unsecd. Note, 6.25%, 6/15/2022 369,985
175,000   Regency Energy Partners LP, 5.50%, 4/15/2023 184,625
275,000   Regency Energy Partners LP, Company Guarantee, 6.50%, 7/15/2021 299,062
162,000   Regency Energy Partners LP, Company Guarantee, 9.375%, 6/1/2016 169,595
350,000 1,2 Regency Energy Partners LP, Sr. Note, 4.50%, 11/1/2023 347,375
250,000   Regency Energy Partners LP, Sr. Note, 6.875%, 12/1/2018 269,375
950,000 1,2 Sabine Pass LNG LP, Series 144A, 5.625%, 2/1/2021 955,937
275,000 1,2 Sabine Pass LNG LP, Series 144A, 5.625%, 4/15/2023 275,688
575,000   Southern Star Central Corp., Sr. Note, 6.75%, 3/1/2016 582,906
696,000   Suburban Propane Partners LP, Series WI, 7.375%, 8/1/2021 753,420
250,000 1,2 Tesoro Logistics LP, Sr. Unsecd. Note, Series 144A, 5.875%, 10/1/2020 261,875
    TOTAL 10,985,616
    Wireless Communications—3.3%  
675,000 1,2 Digicel Ltd., Series 144A, 6.00%, 4/15/2021 673,313
550,000 1,2 Digicel Ltd., Sr. Note, Series 144A, 10.50%, 4/15/2018 599,995
800,000 1,2 Digicel Ltd., Sr. Note, Series 144A, 8.25%, 9/1/2017 836,000
1,500,000 1,2 Digicel Ltd., Sr. Unsecd. Note, Series 144A, 8.25%, 9/30/2020 1,605,000
950,000   MetroPCS Wireless, Inc., Sr. Note, 6.625%, 11/15/2020 1,020,062
350,000   MetroPCS Wireless, Inc., Sr. Note, 7.875%, 9/1/2018 383,250
925,000 1,2 MetroPCS Wireless, Inc., Sr. Note, Series 144A, 6.625%, 4/1/2023 981,656
2,625,000   Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 2,638,125
1,550,000   Sprint Capital Corp., Company Guarantee, 6.90%, 5/1/2019 1,685,625
675,000 1,2 Sprint Capital Corp., Gtd. Note, Series 144A, 9.00%, 11/15/2018 820,125
300,000 1,2 Sprint Nextel Corp., Series 144A, 7.00%, 3/1/2020 338,250
1,400,000   Sprint Nextel Corp., Sr. Unsecd. Note, 6.00%, 11/15/2022 1,449,000
    TOTAL 13,030,401
10
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—continued  
    Wireline Communications—0.6%  
$375,000   Level 3 Financing, Inc., 7.00%, 6/1/2020 $396,094
325,000   Level 3 Financing, Inc., 8.875%, 6/1/2019 353,844
150,000   Level 3 Financing, Inc., Series WI, 8.625%, 7/15/2020 165,563
1,175,000   Level 3 Financing, Inc., Sr. Unsecd. Note, Series WI, 8.125%, 7/1/2019 1,277,812
200,000   TW Telecom, Inc., Series WI, 5.375%, 10/1/2022 208,000
    TOTAL 2,401,313
    TOTAL CORPORATE BONDS
(IDENTIFIED COST $306,963,676) 		321,154,920
    COMMON STOCKS—12.8%  
    Automotive—0.4%  
1,774 4 Motors Liquidation Co. 55,881
144,722 4 Stoneridge, Inc. 1,622,334
    TOTAL 1,678,215
    Building Materials—0.4%  
22,500 4 Nortek, Inc. 1,589,625
    Chemicals—0.4%  
211,460 4 Omnova Solutions, Inc. 1,566,919
    Consumer Products—0.6%  
36,097 4 Prestige Brands Holdings, Inc. 1,060,891
21,140   Spectrum Brands Holdings, Inc. 1,274,530
    TOTAL 2,335,421
    Energy—1.2%  
110,610 4 Basic Energy Services, Inc. 1,476,644
60,559 4 Carrizo Oil & Gas, Inc. 1,553,944
80,299 4 Comstock Resources, Inc. 1,295,223
124,271 4 Forbes Energy Services Ltd. 418,793
    TOTAL 4,744,604
    Food & Beverage—0.8%  
132,341 4 Dean Foods Co. 1,388,265
65,728 4 Pinnacle Foods, Inc. 1,614,280
    TOTAL 3,002,545
    Gaming—0.4%  
10,908   Wynn Resorts Ltd. 1,482,288
    Health Care—0.4%  
686,228 4 Radnet, Inc. 1,784,193
    Industrial - Other—1.0%  
23,361   Belden, Inc. 1,248,645
37,418 4 General Cable Corp. 1,323,101
55,391 4 International Wire Group Holdings, Inc. 1,218,602
    TOTAL 3,790,348
    Media - Non-Cable—1.6%  
693,910 4 Crown Media Holdings, Inc., Class A 1,422,515
320,928 4 Cumulus Media, Inc., Class A 1,190,643
136,674 4 Entercom Communication Corp. 1,268,335
197,371 4 Entravision Communications Corp. 913,828
1,175,000 4 Idearc, Inc., Company Guarantee, (Litigation Trust Interests) 1,469
11
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    COMMON STOCKS—continued  
    Media - Non-Cable—continued  
$120,646   Interpublic Group of Cos., Inc. $1,715,586
    TOTAL 6,512,376
    Metals & Mining—0.2%  
97,054 4 Century Aluminum Co. 961,805
1,842 4,6 Royal Oak Ventures, Inc. 0
    TOTAL 961,805
    Other—0.0%  
469 1,4,6 CVC Claims Litigation LLC 0
    Packaging—0.9%  
83,302 4 Berry Plastics Group, Inc. 1,750,175
33,973   Greif, Inc., Class A 1,769,993
    TOTAL 3,520,168
    Paper—1.3%  
34,641 4 Clearwater Paper Corp. 1,656,879
210,651 4 Graphic Packaging Holding Co. 1,619,906
18,294   Rock-Tenn Co. 1,807,082
    TOTAL 5,083,867
    Retailers—0.4%  
75,778 4 Express, Inc. 1,651,960
    Technology—2.4%  
2,904   Apple, Inc. 1,305,871
35,862   IAC Interactive Corp. 1,738,590
95,361 4 IGATE Capital Corp. 1,383,688
179,521 4 Kemet Corp. 824,001
74,298 4 Magnachip Semiconductor Corp. 1,374,513
124,989 4 Spansion, Inc. 1,712,349
76,285 4 Viasystems Group, Inc. 962,717
    TOTAL 9,301,729
    Textile—0.4%  
113,013   The Jones Group, Inc. 1,646,599
    TOTAL COMMON STOCKS
(IDENTIFIED COST $48,743,702) 		50,652,662
    Preferred Stock—0.1%  
    Finance - Commercial—0.1%  
562 1,2 Ally Financial, Inc., Pfd., Series 144A
(IDENTIFIED COST $170,345) 		551,006
    WARRANTS—0.1%  
    Automotive—0.1%  
6,425 4 General Motors Co., Warrants, Expiration Date 7/10/2016 157,348
6,425 4 General Motors Co., Warrants, Expiration Date 7/10/2019 107,940
    TOTAL WARRANTS
(IDENTIFIED COST $760,353) 		265,288
    EXCHANGE-TRADED FUNDS—0.6%  
    Financial Services—0.6%  
21,203   iShares MSCI EAFE Index Fund 1,273,876
16,900   iShares Russell 1000 Growth Fund 1,255,501
    TOTAL EXCHANGE-TRADED FUNDS
(IDENTIFIED COST $2,317,293) 		2,529,377
12
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    MUTUAL FUNDS—4.1%8  
1,188,381   Federated Bank Loan Core Fund $12,192,791
25,541   Federated Max-Cap Index Fund, Institutional Shares 391,806
3,691,681 9 Federated Prime Value Obligations Fund, Institutional Shares, 0.09% 3,691,681
    TOTAL MUTUAL FUNDS
(IDENTIFIED COST $16,129,481) 		16,276,278
    TOTAL INVESTMENTS—99.1%
(IDENTIFIED COST $375,084,850)10 		391,429,531
    OTHER ASSETS AND LIABILITIES - NET—0.9%11 3,380,261
    TOTAL NET ASSETS—100% $394,809,792
1 Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At May 31, 2013, these restricted securities amounted to $130,215,521, which represented 33.0% of total net assets.
2 Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the “Trustees”). At May 31, 2013, these liquid restricted securities amounted to $129,806,124, which represented 32.9% of total net assets.
  Additional information on restricted securities, excluding securities purchased under Rule 144A that have been deemed liquid by the Trustees, if applicable, held at May 31, 2013, is as follows:
Security Acquisition Date Cost Market Value
Altegrity, Inc., Company Guarantee, Series 144A, 11.75%, 5/1/2016 10/19/2007 - 2/8/2011 $361,419 $298,125
CVC Claims Litigation LLC 3/26/1997 - 8/19/1997 $4,646,903 $0
FPL Energy National Wind, Note, Series 144A, 6.125%, 3/25/2019 2/16/2005 $142,885 $111,272
Hard Rock Park Operations LLC, Sr. Secd. Note, Series 144A, 0.00%, 4/1/2012 3/23/2006 $641,893 $0
3 On June 10, 2013, the issuer of this security filed for bankruptcy.
4 Non-income producing security.
5 Issuer in default.
6 Market quotations and price evaluations are not available. Fair value determined in accordance with procedures established by and under the general supervision of the Trustees.
7 Principal amount and interest were not paid upon final maturity.
8 Affiliated holdings.
9 7-day net yield.
10 At May 31, 2013, the cost of investments for federal tax purposes was $375,593,654. The net unrealized appreciation of investments for federal tax purposes was $15,835,877. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $26,325,132 and net unrealized depreciation from investments for those securities having an excess of cost over value of $10,489,255.
11 Assets, other than investments in securities, less liabilities.
Note: The categories of investments are shown as a percentage of total net assets at May 31, 2013.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ Fixed-income securities acquired with remaining maturities greater than 60 days are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■ Fixed-income securities and repurchase agreements acquired with remaining maturities of 60 days or less are valued at their amortized cost (adjusted for the accretion of any discount or amortization of any premium), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security.
■ Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.
■ Shares of other mutual funds are valued based upon their reported NAVs.
■ Derivative contracts listed on exchanges are valued at their reported settlement or closing price.
■ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees.
13
■ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered such as: the purchase price of the security, information obtained by contacting the issuer, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded and public trading in similar securities of the issuer or comparable issuers.
If the Fund cannot obtain a price or price evaluation from a pricing service for an investment, the Fund may attempt to value the investment based upon the mean of bid and asked quotations or fair value the investment based on price evaluations, from one or more dealers. If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, or if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Fund's valuation policies and procedures, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could purchase or sell an investment at the price used to calculate the Fund's NAV.
Fair Valuation and Significant Events Procedures
The Trustees have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (“Adviser”) and certain of the Adviser's affiliated companies to determine fair value of securities and in overseeing the calculation of the NAV. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for U.S. Treasury and Agency securities and mortgage-backed securities. The Fund normally uses mid evaluations for other types of fixed-income securities and OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.
The Trustees also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
■ With respect to securities traded in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
■ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; and
■ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry.
The Trustees have approved the use of a pricing service to determine the fair value of equity securities traded principally in foreign markets when the Adviser determines that there has been a significant trend in the U.S. equity markets or in index futures trading. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment using another method approved by the Trustees.
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, including investment companies with daily net asset values, if applicable.
Level 2— other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3— significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
14
The following is a summary of the inputs used, as of May 31, 2013, in valuing the Fund's assets carried at fair value:
Valuation Inputs
  Level 1—
Quoted
Prices and
Investments in
Mutual Funds1 		Level 2—
Other
Significant
Observable
Inputs 		Level 3—
Significant
Unobservable
Inputs 		Total
Debt Securities:        
Corporate Bonds $— $321,154,860 $60 $321,154,920
Equity Securities:        
Common Stock        
 Domestic 50,651,1932 — 1,469 50,652,662
 International — — 0 0
Preferred Stock        
 Domestic — 551,006 — 551,006
Warrants 265,288 — — 265,288
Exchange-Traded Funds 2,529,377 — — 2,529,377
Mutual Funds 16,276,278 — — 16,276,278
TOTAL SECURITIES $69,722,136 $321,705,866 $1,529 $391,429,531
1 Federated Bank Loan Core Fund is an affiliated holding offered only to registered investment companies and other accredited investors
2 Includes $919,490 of a domestic common stock security transferred from Level 3 to Level 1 because observable market data was obtained for securities. This transfer represents the value of the security at the beginning of the period.
The following acronym is used throughout this portfolio:
PIK —Payment in Kind
15

 

Item 2. Controls and Procedures

 

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-Q.

 

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits

 

 

SIGNATURES

 

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 Federated High Yield Trust

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date July 19, 2013

 

 

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 /S/ J. Christopher Donahue

 

J. Christopher Donahue

Principal Executive Officer

 

Date July 19, 2013

 

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date July 19, 2013