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

                                   FORM N-Q

                   QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
    OF REGISTERED MANAGEMENT INVESTMENT COMPANY



  Investment Company Act file number 811-21043


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


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


            Dorothy E. Bourassa, 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:  March 31

Date of reporting period:  January 31, 2013

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.

Pioneer High


                     Income  Trust






                                       NQ      | December 31, 2012

 
Ticker Symbol:  PHT
 

 
 

 
Schedule of Investments | 12/31/2012 (Consolidated) (unaudited)



 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
 
       
ASSET BACKED SECURITIES -  1.5% of Net Assets
 
 
       
BANKS - 0.2%
 
       
Thrifts & Mortgage Finance - 0.2%
 
   
  196,743(a)
CCC/Caa3
Amortizing Residential Collateral Trust, Series 2002-BC1, Class M1, 1.485%, 1/25/32   
$ 105,028 
   
  280,000(a)
CCC/Caa3
Bear Stearns Asset Backed Securities Trust, Series 2007-2, Class A3, .66%, 1/25/47   
  127,452 
   
  125,000 
BB/NR
CarNow Auto Receivables Trust, Series 2012-1A, Class D, 6.9%, 11/15/16 (144A) 
  125,335 
   
  408,327(a)
CCC/Caa1
Citigroup Mortgage Loan Trust, Inc., Series 2007-AHL3, Class A3A, .27%, 7/25/45   
  292,737 
   
  250,000(b)
CCC/B3
Security National Mortgage Loan Trust, Series 2007-1A, Class 1A3, 6.55%, 4/25/37 (144A) 
  239,626 
       
Total Banks 
$ 890,178 
           
 
       
CONSUMER SERVICES - 0.7%
 
       
Hotels, Resorts & Cruise Lines - 0.7%
 
   
  442,542 
BB/NR
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A) 
$ 450,286 
   
  2,467,742 
NR/NR
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A) 
  2,444,916 
       
Total Consumer Services 
$ 2,895,202 
           
 
       
TRANSPORTATION - 0.6%
 
       
Airlines - 0.6%
 
   
  1,489,550(a)
CCC/Caa1
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.689%, 5/15/24 (144A) 
$ 670,298 
   
  2,149(a)
B-/Ba3
Aircraft Finance Trust, Series 1999-1A, Class A2, 0.709%, 5/15/24 (144A) 
  1,934 
   
  755,056(a)
B-/Caa2
Aviation Capital Group Trust, Series 2000-1A, Class A1, 0.689%, 11/15/25 (144A) 
  362,427 
   
  1,651,860(a)
CCC+/Caa2
Lease Investment Flight Trust, Series 1, Class A1, 0.599%, 7/15/31   
  1,143,913 
       
Total Transportation 
$ 2,178,572 
           
       
TOTAL ASSET BACKED SECURITIES
 
       
(Cost  $5,847,030)
$ 5,963,952 
 
       
COLLATERALIZED MORTGAGE OBLIGATIONS -  0.5% of Net Assets
 
 
       
BANKS - 0.4%
 
       
Thrifts & Mortgage Finance - 0.4%
 
   
  1,504,000(a)
CCC/Caa2
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A2, .41%, 2/25/37   
$ 1,189,300 
   
  315,942(a)
NR/NR
WaMu Mortgage Pass Through Certificates, Series 2006-AR16, Class 3A1, 4.818%, 12/25/36   
  284,676 
       
Total Banks 
$ 1,473,976 
           
 
       
DIVERSIFIED FINANCIALS - 0.1%
 
       
Investment Banking & Brokerage - 0.1%
 
   
  500,000(b)
BBB-/NR
Bear Stearns Commercial Mortgage Securities, Series 2001-TOP2, Class D, 6.94%, 2/15/35 (144A) 
$ 499,116 
           
       
Total Diversified Financials 
$ 499,116 
           
       
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 
       
(Cost  $2,056,977)
$ 1,973,092 
 
       
SENIOR SECURED FLOATING RATE LOAN INTERESTS -  6.0% of Net Assets *
 
 
       
CAPITAL GOODS - 0.8%
 
       
Aerospace & Defense - 0.8%
 
   
  3,073,851 
B/Caa1
API Technologies Corp., Term Loan, 8.75%, 6/27/16  
$ 3,027,743 
           
       
Total Capital Goods 
$ 3,027,743 
           
 
       
ENERGY - 0.4%
 
       
Coal & Consumable Fuels - 0.2%
 
   
  750,000 
NR/NR
PT Bumi Resources Tbk, Term Loan, 11.208%, 8/7/13  
$ 738,750 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Environmental Facilities & Services - 0.2%
 
   
  666,705 
NR/B3
Aquilex Holdings LLC, Term Loan, 8.75%, 4/1/16  
$ 668,371 
       
Total Energy 
$ 1,407,121 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 0.5%
 
       
Health Care Services - 0.2%
 
   
  750,141 
B/B2
National Specialty Hospitals, Inc., Initial Term Loan, 8.25%, 2/3/17  
$ 733,262 
       
Health Care Technology - 0.3%
 
   
  1,260,000 
CCC/Caa3
Medical Card System, Inc., Term Loan, 12.25%, 9/17/15  
$ 1,127,700 
       
Total Health Care Equipment & Services 
$ 1,860,962 
           
 
       
INSURANCE - 1.4%
 
       
Insurance Brokers - 1.1%
 
   
  4,175,000 
CCC+/B3
AmWINS Group, Inc., Second Lien, Term Loan, 9.25%, 12/6/19  
$ 4,227,188 
       
Property & Casualty Insurance - 0.3%
 
   
  1,400,000 
CCC/Caa2
Confie Seguros Holding II  Co.,, 10.25%, 5/8/19  
$ 1,397,669 
       
Total Insurance 
$ 5,624,857 
           
 
       
MATERIALS - 0.2%
 
       
Diversified Metals & Mining - 0.0%+
 
   
  126,444 
NR/NR
Long Haul Holdings, Ltd., Facility Term Loan A, 0.0%, 1/12/13  
$ 68,279 
   
  100,918 
NR/NR
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/12/13  
  54,496 
         
$ 122,775 
       
Steel - 0.2%
 
   
  798,000 
B/B1
Essar Steel Algoma, Inc., Term Loan, 8.75%, 9/19/14  
$ 796,005 
       
Total Materials 
$ 918,780 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.7%
 
       
Pharmaceuticals - 0.7%
 
   
  2,664,750 
NR/NR
KV Pharmaceuticals, 0.0%, 12/5/13  
$ 2,584,808 
           
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 2,584,808 
           
 
       
RETAILING - 0.4%
 
       
Computer & Electronics Retail - 0.4%
 
   
  1,477,501 
B/B2
Targus Group International, Inc., Term Loan, 11.0%, 5/24/16  
$ 1,484,889 
           
       
Total Retailing 
$ 1,484,889 
           
 
       
SOFTWARE & SERVICES - 1.4%
 
       
Application Software - 1.1%
 
   
  1,700,000 
B+/B1
Applied Systems, Inc., Second Lien Term Loan, 9.5%, 6/8/17  
$ 1,709,916 
   
  2,500,000 
CCC+/Caa1
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17  
  2,512,500 
         
$ 4,222,416 
       
IT Consulting & Other Services - 0.3%
 
   
  443,368 
CCC+/B3
BNY ConvergEX Group LLC, Second Lien (EZE) Term Loan, 8.75%, 12/18/17  
$ 418,982 
   
  1,056,633 
CCC+/B3
BNY ConvergEX Group LLC, Second Lien (TOP) Term Loan, 8.75%, 12/18/17  
  998,518 
         
$ 1,417,500 
       
Total Software & Services 
$ 5,639,916 
           
 
       
UTILITIES - 0.2%
 
       
Electric Utilities - 0.2%
 
   
  1,316,443 
CCC/Caa1
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.81%, 10/10/17  
$ 886,484 
           
       
Total Utilities 
$ 886,484 
           
       
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
 
       
(Cost  $23,701,163)
$ 23,435,560 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
CORPORATE BONDS & NOTES -  107.8% of Net Assets
 
 
       
AUTOMOBILES & COMPONENTS - 3.2%
 
       
Auto Parts & Equipment - 1.4%
 
   
  1,140,000 
B/Caa1
International Automotive Components Group SA, 9.125%, 6/1/18 (144A) 
$ 1,057,350 
   
  4,535,000(c)
NR/NR
Lear Corp., 0.0%     
  – 
   
  309,000 
BB-/B1
Tomkins LLC/Tomkins, Inc., 9.0%, 10/1/18   
  346,080 
   
  3,579,000 
B+/B1
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc., 10.625%, 9/1/17 (144A) 
  3,919,005 
         
$ 5,322,435 
       
Automobile Manufacturers - 1.8%
 
   
  6,000,000 
B/B2
Chrysler Group LLC/CG Co-Issuer, Inc., 8.0%, 6/15/19   
$ 6,540,000 
   
  500,000 
B/B2
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21   
  550,000 
         
$ 7,090,000 
       
Total Automobiles & Components 
$ 12,412,435 
           
 
       
BANKS - 0.7%
 
       
Diversified Banks - 0.4%
 
   
  1,265,000(b)(d)
BB+/B1
ABN Amro North American Holding Preferred Capital Repackage Trust I, 3.407%, 12/29/49 (144A) 
$ 1,265,000 
           
       
Regional Banks - 0.3%
 
   
  1,225,000(b)(d)
BBB/Baa3
PNC Financial Services Group, Inc., 8.25%, 5/29/49   
$ 1,246,437 
           
       
Total Banks 
$ 2,511,437 
           
 
       
CAPITAL GOODS - 11.0%
 
       
Aerospace & Defense - 1.9%
 
   
  3,300,000 
B/B3
ADS Tactical, Inc., 11.0%, 4/1/18 (144A) 
$ 3,366,000 
   
  3,889,000 
B-/B2
DynCorp International, Inc., 10.375%, 7/1/17   
  3,558,435 
   
  295,000 
B/B1
GeoEye, Inc., 9.625%, 10/1/15   
  325,975 
         
$ 7,250,410 
       
Building Products - 0.8%
 
   
  2,212,130 
NR/NR
Industrias Unidas SA de C.V., 11.5%, 11/15/16   
$ 1,408,435 
   
  2,375,000 
C/Caa3
New Enterprise Stone & Lime Co., Inc., 11.0%, 9/1/18   
  1,781,250 
         
$ 3,189,685 
       
Construction & Engineering - 0.4%
 
   
  1,500,000 
B+/B1
Abengoa Finance SAU, 8.875%, 11/1/17 (144A) 
$ 1,410,000 
           
       
Construction & Farm Machinery & Heavy Trucks - 1.7%
 
   
  363,000 
B+/B3
American Railcar Industries, Inc., 7.5%, 3/1/14   
$ 365,722 
   
  774,000 
B+/B3
Manitowoc Co., Inc., 9.5%, 2/15/18   
  861,075 
   
  4,760,000 
CCC/Caa1
Stanadyne Holdings, Inc., 10.0%, 8/15/14   
  4,414,900 
   
  1,500,000(e)
CCC-/Caa3
Stanadyne Holdings, Inc., 12.0%, 2/15/15   
  1,020,000 
         
$ 6,661,697 
       
Electrical Components & Equipment - 0.5%
 
   
  2,000,000 
B/B3
WireCo WorldGroup, Inc., 9.5%, 5/15/17   
$ 2,120,000 
           
       
Industrial Conglomerates - 0.2%
 
   
  605,000 
B+/B2
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A) 
$ 625,419 
           
       
Industrial Machinery - 3.5%
 
   
  1,040,000 
B/B2
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A) 
$ 1,073,800 
   
  3,180,000(f)
NR/WR
Indalex Holding Corp., 11.5%, 2/1/14   
  12,084 
   
  1,080,000 
B/Caa2
Liberty Tire Recycling, 11.0%, 10/1/16 (144A) 
  999,000 
   
  5,170,000 
CCC+/Caa2
Mueller Water Products, Inc., 7.375%, 6/1/17   
  5,338,025 
   
  2,440,000 
B+/NR
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A) 
  2,098,400 
   
  4,500,000 
B/B3
Xerium Technologies, Inc., 8.875%, 6/15/18   
  4,050,000 
         
$ 13,571,309 
       
Trading Companies & Distributors - 2.0%
 
   
  1,727,000 
B-/B3
INTCOMEX, Inc., 13.25%, 12/15/14   
$ 1,787,445 
   
  2,510,000 
B-/B3
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19 (144A) 
  2,610,400 
   
  3,370,000 
B/B2
WESCO Distribution, Inc., 7.5%, 10/15/17   
  3,414,484 
         
$ 7,812,329 
       
Total Capital Goods 
$ 42,640,849 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
COMMERCIAL & PROFESSIONAL SERVICES - 0.2%
 
       
Environmental & Facilities Services - 0.2%
 
   
  892,000 
CCC+/B3
Brickman Group Holdings, Inc., 9.125%, 11/1/18 (144A) 
$ 934,370 
   
  2,180,000(f)
NR/WR
Old AII, Inc., 10.0%, 12/15/16   
  218 
       
Total Commercial & Professional Services 
$ 934,588 
           
 
       
CONSUMER DURABLES & APPAREL - 5.0%
 
       
Homebuilding - 1.1%
 
   
  3,115,000 
CCC/Caa3
Beazer Homes USA, Inc., 9.125%, 6/15/18   
$ 3,247,387 
   
  750,000 
CCC/Caa3
Beazer Homes USA, Inc., 9.125%, 5/15/19   
  784,688 
   
  400,000 
NR/Ba3
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A) 
  379,000 
         
$ 4,411,075 
       
Housewares & Specialties - 2.7%
 
   
  1,435,000 
B/B2
Jarden Corp., 7.5%, 5/1/17   
$ 1,616,169 
   
  3,000,000 
CCC+/Caa2
Reynolds Group Issuer, Inc., 9.0%, 4/15/19   
  3,120,000 
   
  1,430,000 
CCC+/Caa2
Reynolds Group Issuer, Inc., 9.875%, 8/15/19   
  1,530,100 
   
  107,000 
CCC+/B3
Yankee Candle Co., Inc., 8.5%, 2/15/15   
  107,535 
   
  2,500,000 
CCC+/B3
Yankee Candle Co., Inc., 9.75%, 2/15/17   
  2,603,150 
   
  1,425,000(g)
CCC+/Caa1
YCC Holdings LLC / Yankee Finance, Inc., 10.25%, 2/15/16   
  1,471,455 
         
$ 10,448,409 
       
Leisure Products - 1.2%
 
 
EUR
  800,000 
CCC/Caa2
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A) 
$ 913,371 
   
  4,000,000 
B/B2
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A) 
  3,740,000 
         
$ 4,653,371 
       
Total Consumer Durables & Apparel 
$ 19,512,855 
           
 
       
CONSUMER SERVICES - 5.1%
 
       
Business Services - 0.7%
 
   
  1,750,000 
B/B1
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A) 
$ 1,776,250 
   
  1,100,000 
B-/Caa2
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18   
  775,500 
         
$ 2,551,750 
       
Casinos & Gaming - 1.2%
 
   
  1,650,000(f)
NR/WR
Buffalo Thunder Development Authority, 9.375%, 12/15/14 (144A) 
$ 577,500 
   
  2,255,000 
CCC/Caa2
Codere Finance Luxembourg SA, 9.25%, 2/15/19 (144A) 
  1,713,800 
   
  1,475,000 
NR/NR
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A) 
  1,393,875 
   
  1,375,000(f)(h)
NR/WR
Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (144A) 
  82,500 
   
  740,000 
CCC/Caa2
Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (144A) 
  721,500 
         
$ 4,489,175 
       
Education Services - 0.1%
 
   
  555,000 
CCC-/B3
Cambium Learning Group, Inc., 9.75%, 2/15/17   
$ 460,650 
           
       
Hotels, Resorts & Cruise lines - 0.4%
 
   
  1,500,000 
CCC+/B2
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19   
$ 1,586,250 
           
       
Restaurants - 1.8%
 
   
  4,055,000(e)
B-/Caa1
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A) 
$ 3,416,338 
   
  1,400,000 
B/B3
Burger King Corp., 9.875%, 10/15/18   
  1,603,000 
   
  2,000,000 
CCC+/Caa1
Wok Acquisition Corp., 10.25%, 6/30/20 (144A) 
  2,127,500 
         
$ 7,146,838 
       
Specialized Consumer Services - 0.9%
 
   
  500,000 
B/B2
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 9.625%, 3/15/18   
$ 557,500 
   
  3,000,000 
B-/B3
StoneMor Operating LLC, 10.25%, 12/1/17   
  3,090,000 
         
$ 3,647,500 
       
Total Consumer Services 
$ 19,882,163 
           
 
       
DIVERSIFIED FINANCIALS - 2.8%
 
       
Asset Management & Custody Banks - 0.3%
 
   
  975,000 
BBB-/Baa3
Janus Capital Group, Inc., 6.7%, 6/15/17   
$ 1,114,343 
           
       
Investment Banking & Brokerage - 0.5%
 
   
  2,325,000(a)
BB+/Ba2
Goldman Sachs Capital II, 4.0%, 6/1/43   
$ 1,816,011 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Multi-Sector Holdings - 0.6%
 
   
  2,200,000 
B/B2
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A) 
$ 2,310,000 
           
       
Other Diversified Financial Services - 0.3%
 
   
  250,000(a)
BB/NR
East Lane Re V, Ltd., 9.041%, 3/16/16 (144A) 
$ 268,150 
   
  250,000(b)
BB-/NR
Embarcadero Re Ltd., 7.291%, 2/13/15 (144A) 
  253,625 
   
  600,000(i)
NR/NR
Sector Re V Ltd., 0.0%, 12/1/17 (144A) 
  603,360 
         
$ 1,125,135 
       
Reinsurance - 0.4%
 
   
  450,000(a)
BB+/NR
Kibou, Ltd., 5.291%, 2/16/15 (144A) 
$ 460,035 
   
  250,000(a)
B+/NR
Lakeside Re III Ltd., 8.041%, 1/8/16 (144A) 
  250,300 
   
  800,000(a)
BB/NR
Lodestone Re Ltd., 7.291%, 1/8/14 (144A) 
  804,000 
         
$ 1,514,335 
       
Specialized Finance - 0.7%
 
   
  500,000 
BB+/Baa3
Capital One Capital V, 10.25%, 8/15/39   
$ 500,000 
   
  1,650,000(g)
CCC+/Caa1
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) 
  1,629,375 
   
  695,000 
B+/B2
National Money Mart Co., 10.375%, 12/15/16   
  767,975 
         
$ 2,897,350 
       
Total Diversified Financials 
$ 10,777,174 
           
 
       
ENERGY - 15.1%
 
       
Coal & Consumable Fuels - 2.4%
 
   
  1,350,000 
B+/B1
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A) 
$ 1,275,750 
   
  3,890,000 
B/Caa1
Foresight Energy LLC / Foresight Energy Corp., 9.625%, 8/15/17 (144A) 
  4,162,300 
   
  2,125,000 
CCC+/B3
James River Coal Co., 7.875%, 4/1/19   
  1,211,250 
   
  1,166,000 
B/B3
Murray Energy Corp., 10.25%, 10/15/15 (144A) 
  1,131,020 
   
  1,550,000 
B/B2
Penn Virginia Resource Partners LP / Penn Virginia Resource Finance Corp. II, 8.375%, 6/1/20 (144A) 
  1,670,125 
         
$ 9,450,445 
       
Oil & Gas Drilling - 1.7%
 
   
  500,000 
B/Caa1
Hercules Offshore, Inc., 10.5%, 10/15/17 (144A) 
$ 538,750 
   
  1,700,000 
CCC+/Caa1
Ocean Rig UDW, Inc., 9.5%, 4/27/16 (144A) 
  1,734,000 
   
  489,000 
B-/B3
Offshore Group Investments, Ltd., 11.5%, 8/1/15   
  533,010 
   
  1,900,000 
B+/B2
Pioneer Energy Services Corp., 9.875%, 3/15/18   
  2,066,250 
   
  1,800,000 
B/B1
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A) 
  1,845,000 
         
$ 6,717,010 
       
Oil & Gas Equipment & Services - 2.4%
 
   
  4,073,000 
B+/B1
American Petroleum Tankers Parent LLC / AP Tankers Co., 10.25%, 5/1/15   
$ 4,256,285 
   
  408,000(j)
NR/NR
DP Producer AS, 0.0%, 12/5/11   
  8,160 
   
  1,847,000 
B/B3
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A) 
  1,930,115 
   
  1,260,000 
B/Caa1
Forbes Energy Services, Ltd., 9.0%, 6/15/19   
  1,121,400 
   
  666,000(k)
CCC/Caa2
Green Field Energy Services, Inc., 13.25%, 11/15/16 (144A) 
  666,000 
 
NOK
  3,000,000(a)
NR/NR
Transocean Drilling Norway AS, 8.96%, 2/24/16   
  566,679 
 
NOK
  3,500,000 
NR/NR
Transocean Norway Drilling AS, 11.0%, 2/24/16   
  667,422 
         
$ 9,216,061 
       
Oil & Gas Exploration & Production - 7.2%
 
   
  775,000 
B+/B1
Berry Petroleum Co., 10.25%, 6/1/14   
$ 858,312 
   
  500,000 
B-/B3
Comstock Resources, Inc., 7.75%, 4/1/19   
  507,500 
   
  1,830,000 
B-/B3
Comstock Resources, Inc., 9.5%, 6/15/20   
  1,967,250 
   
  390,000 
BB/B1
Denbury Resources, Inc., 9.75%, 3/1/16   
  413,400 
   
  3,450,000 
B/NR
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20   
  3,889,875 
   
  1,350,000(g)
B/B3
EPE Holdings LLC / EP Energy Bond Co., Inc., 8.125%, 12/15/17 (144A) 
  1,338,188 
   
  1,295,000 
B-/Caa1
EPL Oil & Gas Inc., 8.25%, 2/15/18 (144A) 
  1,330,613 
   
  785,000 
CCC+/B3
Halcon Resources Corp., 8.875%, 5/15/21 (144A) 
  832,100 
   
  1,475,000 
CCC+/B3
Halcon Resources Corp., 9.75%, 7/15/20 (144A) 
  1,593,000 
   
  678,000 
B/B2
Linn Energy LLC / Linn Energy Finance Corp., 11.75%, 5/15/17   
  742,410 
   
  1,050,000 
B-/Caa1
Midstates Petro Inc.,/Midstates Petroleum Co., LLC, 10.75%, 10/1/20 (144A) 
  1,115,625 
   
  2,400,000 
B+/NR
MIE Holdings Corp., 9.75%, 5/12/16 (144A) 
  2,604,000 
 
NOK
  2,000,000 
NR/NR
Norwegian Energy Co., AS, 10.25%, 4/27/16   
  357,785 
 
NOK
  5,000,000 
NR/NR
Norwegian Energy Co., AS, 12.9%, 11/20/14   
  904,348 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Oil & Gas Exploration & Production (continued)
 
   
  1,110,000 
B-/Caa1
QR Energy LP / QRE Finance Corp., 9.25%, 8/1/20   
  1,165,500 
   
  3,380,000 
CCC/Caa1
Quicksilver Resources, Inc., 7.125%, 4/1/16   
  2,704,000 
   
  2,200,000 
B-/B3
Resolute Energy Corp., 8.5%, 5/1/20 (144A) 
  2,216,500 
   
  1,497,000 
BB-/B3
Rosetta Resources, Inc., 9.5%, 4/15/18   
  1,661,670 
   
  1,500,000 
B-/B3
Samson Investment Co., 9.75%, 2/15/20 (144A) 
  1,586,250 
         
$ 27,788,326 
       
Oil & Gas Refining & Marketing - 0.9%
 
   
  1,000,000 
B+/Ba3
Coffeyville Resources LLC, 10.875%, 4/1/17 (144A) 
$ 1,100,000 
   
  2,215,000 
BB+/Ba1
Tesoro Corp., 9.75%, 6/1/19   
  2,525,100 
         
$ 3,625,100 
       
Oil & Gas Storage & Transportation - 0.5%
 
   
  350,000(b)
BB+/Baa3
Enterprise Products Operating LLC, 8.375%, 8/1/66   
$ 399,438 
   
  1,524,000(b)
BB/Ba1
Southern Union Co., 3.33%, 11/1/66   
  1,304,925 
         
$ 1,704,363 
       
Total Energy 
$ 58,501,305 
           
 
       
FOOD, BEVERAGE & TOBACCO - 5.4%
 
       
Agricultural Products - 1.5%
 
   
  5,622,000 
B/B3
Southern States Cooperative, Inc., 11.25%, 5/15/15 (144A) 
$ 5,832,825 
           
       
Packaged Foods & Meats - 2.9%
 
   
  775,000 
BB/B1
Bertin SA / Bertin Finance Ltd., 10.25%, 10/5/16 (144A) 
$ 848,625 
   
  1,250,000 
B+/B1
CFG Investment SAC, 9.75%, 7/30/19 (144A) 
  943,750 
   
  3,500,000 
B/(P)B3
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A) 
  3,718,750 
   
  1,000,000 
B+/B2
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A) 
  852,500 
   
  500,000 
B+/B2
Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A) 
  498,750 
   
  400,000 
B+/B2
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A) 
  479,000 
   
  4,000,000 
B-/Caa1
Pilgrim's Pride Corp., 7.875%, 12/15/18   
  4,055,000 
         
$ 11,396,375 
       
Tobacco - 1.0%
 
   
  3,450,000 
B-/B3
Alliance One International, Inc., 10.0%, 7/15/16   
$ 3,631,125 
           
       
Total Food, Beverage & Tobacco 
$ 20,860,325 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 8.3%
 
       
Health Care Equipment & Services - 2.0%
 
   
  4,000,000 
CCC+/Caa2
Accellent, Inc., 10.0%, 11/1/17   
$ 3,290,000 
   
  4,000,000 
B+/B2
Physio-Control International, Inc., 9.875%, 1/15/19 (144A) 
  4,390,000 
         
$ 7,680,000 
       
Health Care Facilities - 1.2%
 
   
  535,000 
B-/B3
HCA, Inc., 6.25%, 2/15/13   
$ 537,675 
   
  84,000 
BB/B2
HCA, Inc., 9.875%, 2/15/17   
  88,725 
   
  3,475,000 
B-/B3
Kindred Healthcare, Inc., 8.25%, 6/1/19   
  3,379,437 
   
  600,000 
CCC+/Caa1
United Surgical Partners, 9.0%, 4/1/20   
  666,000 
   
  62,000(i)
CCC+/Caa1
Vanguard Health Systems, Inc., 0.0%, 2/1/16   
  46,500 
         
$ 4,718,337 
       
Health Care Services - 3.1%
 
   
  1,987,000 
B-/Caa1
BioScrip, Inc., 10.25%, 10/1/15   
$ 2,121,122 
   
  2,527,000 
CCC/Caa2
Gentiva Health Services, Inc., 11.5%, 9/1/18   
  2,388,015 
   
  3,925,000 
CCC+/Caa2
Rural / Metro Corp., 10.125%, 7/15/19 (144A) 
  3,783,875 
   
  3,725,000 
CCC+/Caa1
Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A) 
  3,901,938 
         
$ 12,194,950 
       
Health Care Supplies - 1.0%
 
   
  608,000 
B/Caa1
Bausch & Lomb, Inc., 9.875%, 11/1/15   
$ 626,240 
   
  3,000,000 
B-/Caa1
Immucor, Inc., 11.125%, 8/15/19   
  3,375,000 
         
$ 4,001,240 
       
Health Care Technology - 0.3%
 
   
  900,000 
CCC+/Caa1
Emdeon, Inc., 11.0%, 12/31/19   
$ 1,039,500 
           
       
IT Consulting & Other Services - 0.7%
 
   
  2,380,000 
CCC+/Caa1
Truven Health Analytics, Inc., 10.625%, 6/1/20 (144A) 
$ 2,534,700 
           
       
Total Health Care Equipment & Services 
$ 32,168,727 
           
 
       
HOUSEHOLD & PERSONAL PRODUCTS - 1.0%
 
       
Personal Products - 1.0%
 
   
  1,745,000 
B+/B2
Albea Beauty Holdings SA, 8.375%, 11/1/19 (144A) 
$ 1,840,975 
   
  700,000 
CCC+/Caa1
Monitronics International, Inc., 9.125%, 4/1/20   
  721,000 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Personal Products (continued)
 
   
  1,050,000 
B/B2
Revlon Consumer Products Corp., 9.75%, 11/15/15   
  1,105,125 
       
Total Household & Personal Products 
$ 3,667,100 
           
 
       
INSURANCE - 7.9%
 
       
Insurance Brokers - 2.0%
 
   
  4,900,000 
CCC+/Caa2
HUB International, Ltd., 8.125%, 10/15/18 (144A) 
$ 5,022,500 
 
GBP
  1,625,000 
NR/Caa1
Towergate Finance Plc, 10.5%, 2/15/19 (144A) 
  2,692,692 
         
$ 7,715,192 
       
Multi-Line Insurance - 1.6%
 
   
  3,075,000(b)
BB/Baa3
Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A) 
$ 4,581,750 
   
  1,100,000 
BBB/Baa2
MetLife, Inc., 10.75%, 8/1/39   
  1,661,000 
         
$ 6,242,750 
       
Property & Casualty Insurance - 1.7%
 
   
  5,300,000 
BBB-/Baa3
Allmerican Financial Corp., 7.625%, 10/15/25   
$ 6,575,630 
   
  265,000(b)(d)
BB+/Ba2
White Mountains Insurance Group, Ltd., 7.506%, 5/29/49 (144A) 
  273,475 
         
$ 6,849,105 
       
Reinsurance - 2.6%
 
   
  250,000(a)
BB-/NR
Atlas Reinsurance VII, Ltd., 8.178%, 1/7/16 (144A) 
$ 247,200 
   
  250,000(a)
B-/NR
Blue Fin Ltd., 14.041%, 5/28/13 (144A) 
  243,750 
   
  250,000(a)
NR/B1
Combine Re, Ltd., 10.041%, 1/7/15 (144A) 
  264,050 
   
  1,000,000(a)
NR/NR
Combine Re, Ltd., 17.791%, 1/7/15 (144A) 
  1,069,800 
   
  250,000(a)
BB-/NR
Compass Re, Ltd., 10.291%, 1/8/15 (144A) 
  253,825 
   
  250,000(a)
B+/NR
Compass Re, Ltd., 11.291%, 1/8/15 (144A) 
  251,000 
   
  350,000(a)
BB+/NR
Foundation Re III, Ltd., 5.041%, 2/25/15   
  352,730 
   
  250,000(a)
BB-/NR
Ibis Re II, Ltd., 8.391%, 2/5/15 (144A) 
  256,600 
   
  400,000(a)
B-/NR
Ibis Re II, Ltd., 13.541%, 2/5/15 (144A) 
  396,480 
   
  250,000(a)
BB-/NR
Lakeside Re II Ltd., 7.791%, 1/8/13 (144A) 
  249,725 
   
  500,000(a)
B/NR
Mystic Re, Ltd., 12.041%, 3/12/15 (144A) 
  484,350 
   
  250,000(a)
B+/NR
Mythen Re, Ltd. Series 2012-2 Class A, 8.71%, 1/5/17 (144A) 
  249,675 
   
  600,000(a)
NR/B2
Mythen, Ltd., 11.216%, 5/7/15 (144A) 
  603,660 
   
  250,000(a)
NR/NR
Pelican Re, Ltd., 13.791%, 4/13/15 (144A) 
  266,525 
   
  500,000(a)
BB-/NR
Queen Street II Capital, Ltd., 7.541%, 4/9/14 (144A) 
  502,650 
   
  250,000(a)
B+/NR
Queen Street V Re, Ltd., 8.541%, 4/9/15 (144A) 
  253,525 
   
  250,000(a)
B/NR
Queen Street VI Re Ltd., 10.35%, 4/9/15 (144A) 
  258,025 
   
  250,000(a)
B/NR
Queen Street VII Capital, Ltd., 8.6%, 4/8/16 (144A) 
  249,000 
   
  250,000(a)
NR/NR
Residential Reinsurance 2011, Ltd., 8.941%, 12/6/15 (144A) 
  251,950 
   
  450,000(a)
B-/NR
Residential Reinsurance 2011, Ltd., 12.041%, 6/6/15 (144A) 
  458,685 
   
  250,000(a)
NR/NR
Residential Reinsurance 2011, Ltd., 13.291%, 12/6/15 (144A) 
  251,550 
   
  250,000(a)
BB/NR
Residential Reinsurance 2012 Ltd., 5.791%, 12/6/16 (144A) 
  249,500 
   
  400,000(a)
NR/NR
Residential Reinsurance 2012 Ltd., 12.791%, 12/6/16 (144A) 
  398,360 
   
  250,000(a)
NR/NR
Residential Reinsurance 2012 Ltd., 19.041%, 12/6/16 (144A) 
  247,875 
   
  250,000(a)
BB/NR
Residential Reinsurance 2012, Ltd., 8.0%, 6/6/16 (144A) 
  256,800 
   
  250,000(a)
BB-/NR
Residential Reinsurance 2012, Ltd., 10.041%, 6/6/16 (144A) 
  268,325 
   
  400,000(a)
NR/NR
Residential Reinsurance 2012, Ltd., 22.041%, 6/6/16 (144A) 
  378,080 
   
  500,000(a)
NR/NR
Successor X, Ltd., 13.0%, 2/25/14 (144A) 
  507,600 
   
  250,000(a)
NR/NR
Successor X, Ltd., 16.541%, 1/27/15 (144A) 
  251,150 
         
$ 9,972,445 
       
Total Insurance 
$ 30,779,492 
           
 
       
MATERIALS - 19.2%
 
       
Aluminum - 0.0%+
 
   
  694(g)
CCC+/B3
Noranda Aluminum Acquisition Corp., 4.524%, 5/15/15   
$ 652 
           
       
Commodity Chemicals - 2.0%
 
   
  3,250,000 
BB+/WR
Basell Finance Co. BV, 8.1%, 3/15/27 (144A) 
$ 4,338,750 
   
  2,600,000 
CCC+/NR
Hexion US Finance Corp., 9.0%, 11/15/20   
  2,372,500 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Commodity Chemicals (continued)
 
   
  1,100,000 
BB-/B1e
Rain CII Carbon LLC / CII Carbon Corp., 8.25%, 1/15/21 (144A) 
  1,124,750 
         
$ 7,836,000 
       
Construction Materials - 1.5%
 
   
  5,690,000 
C/Caa3
AGY Holding Corp., 11.0%, 11/15/14   
$ 2,702,750 
   
  3,000,000 
B-/Caa2
Texas Industries, Inc., 9.25%, 8/15/20   
  3,217,500 
         
$ 5,920,250 
       
Diversified Chemicals - 1.6%
 
   
  2,625,000 
CCC+/Caa1
INEOS Group Holdings PLC, 8.5%, 2/15/16 (144A) 
$ 2,611,875 
 
EUR
  550,000 
CCC+/Caa1
INEOS Group Holdings SA, 7.875%, 2/15/16 (144A) 
  719,774 
   
  1,597,000 
B/B2
Kinove German Bondco GmbH, 9.625%, 6/15/18 (144A) 
  1,744,723 
 
EUR
  950,000 
NR/Caa1
Momentive Performance Materials, Inc., 9.5%, 1/15/21   
  915,351 
         
$ 5,991,723 
       
Diversified Metals & Mining - 2.3%
 
   
  2,000,000 
B/B3
Global Brass and Copper, Inc., 9.5%, 6/1/19 (144A) 
$ 2,165,000 
   
  3,000,000 
CCC+/Caa2
Midwest Vanadium Pty., Ltd., 11.5%, 2/15/18 (144A) 
  1,770,000 
   
  2,775,000 
CCC+/Caa1
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A) 
  2,386,500 
   
  1,200,000 
CCC+/B3
Molycorp, Inc., 10.0%, 6/1/20 (144A) 
  1,116,000 
   
  900,000 
B+/B1
Mongolian Mining Corp., 8.875%, 3/29/17 (144A) 
  963,000 
   
  410,000 
B/Caa1
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A) 
  424,350 
         
$ 8,824,850 
       
Forest Products - 0.9%
 
   
  4,000,000 
B-/B3
Millar Western Forest Products, Ltd., 8.5%, 4/1/21   
$ 3,620,000 
           
       
Metal & Glass Containers - 1.7%
 
   
  1,771,207(g)
CCC+/Caa1
Ardagh Finance SA, 11.125%, 6/1/18 (144A) 
$ 1,877,480 
 
EUR
  2,250,000 
CCC+/B3
Ardagh Glass Finance Plc,, 8.75%, 2/1/20 (144A) 
  3,109,354 
   
  1,450,000 
CCC+/B3
BWAY Holdings Co., 10.0%, 6/15/18   
  1,609,500 
         
$ 6,596,334 
       
Paper Packaging - 2.0%
 
   
  2,000,000 
CCC+/Caa1
Berry Plastics Corp., 9.5%, 5/15/18   
$ 2,200,000 
   
  2,657,034(e)
NR/NR
Bio Pappel SAB de CV, 7.0%, 8/27/16   
  2,471,042 
   
  2,500,000 
B-/Caa1
Pretium Packaging LLC / Pretium Finance, Inc., 11.5%, 4/1/16   
  2,578,125 
   
  500,000 
BB-/B1
Sealed Air Corp., 8.125%, 9/15/19 (144A) 
  562,500 
         
$ 7,811,667 
       
Paper Products - 1.9%
 
   
  2,000,000 
B+/B1
Appleton Papers, Inc., 10.5%, 6/15/15 (144A) 
$ 2,120,000 
   
  600,000 
CCC+/B3
Appleton Papers, Inc., 11.25%, 12/15/15   
  648,000 
   
  405,000 
BB/Ba3
Clearwater Paper Corp., 10.625%, 6/15/16   
  441,450 
   
  2,220,000 
CCC+/Caa2
Exopack Holdings Corp., 10.0%, 6/1/18   
  2,009,100 
   
  776,000 
B+/B3
Mercer International, Inc., 9.5%, 12/1/17   
  820,620 
   
  1,256,000 
BB/Ba3
Resolute Forest Products, 10.25%, 10/15/18   
  1,438,120 
         
$ 7,477,290 
       
Steel - 5.3%
 
   
  2,450,000 
B+/B3
AM Castle & Co., 12.75%, 12/15/16   
$ 2,860,375 
   
  1,200,000 
B+/B3
APERAM, 7.375%, 4/1/16 (144A) 
  1,119,000 
   
  1,960,000 
B/Caa1
Atkore International, Inc., 9.875%, 1/1/18   
  2,082,500 
   
  2,400,000 
BBB-/Ba1
CSN Islands VIII Corp., 9.75%, 12/16/13 (144A) 
  2,583,000 
   
  4,660,000 
CCC/Caa2
Essar Steel Algoma, Inc., 9.875%, 6/15/15 (144A) 
  3,192,100 
   
  500,000 
B/Caa1
Ferrexpo Finance Plc,, 7.875%, 4/7/16 (144A) 
  485,000 
   
  2,915,000 
B/B2
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A) 
  3,038,887 
   
  3,750,000 
CCC+/Caa2
Ryerson, Inc., 9.0%, 10/15/17 (144A) 
  3,825,000 
   
  1,250,000 
B/B3
Severstal Columbus LLC, 10.25%, 2/15/18   
  1,315,625 
         
$ 20,501,487 
       
Total Materials 
$ 74,580,253 
           
 
       
MEDIA - 7.5%
 
       
Advertising - 2.2%
 
   
  2,900,000 
NR/B3
Good Sam Enterprises LLC, 11.5%, 12/1/16   
$ 3,103,000 
   
  4,990,000 
B/B3
MDC Partners, Inc., 11.0%, 11/1/16   
  5,482,763 
         
$ 8,585,763 
       
Broadcasting - 2.7%
 
   
  4,638,075(g)
CCC+/Caa3
Intelsat Bermuda, Ltd., 11.5%, 2/4/17   
$ 4,927,955 
   
  375,000(g)
CCC+/Caa3
Intelsat Luxembourg SA, 11.5%, 2/4/17 (144A) 
  398,437 
   
  800,000 
B-/B3
Telesat Canada / Telesat LLC, 12.5%, 11/1/17   
  878,000 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Broadcasting (continued)
 
   
  3,805,000 
B/B3
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A) 
  4,175,988 
         
$ 10,380,380 
       
Cable - 0.9%
 
 
EUR
  1,200,000 
B+/B1
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 
$ 1,607,638 
   
  1,500,000 
B-/Caa1
Ono Finance II Plc, 10.875%, 7/15/19 (144A) 
  1,432,500 
 
EUR
  350,000 
B-/Caa1
Ono Finance II Plc, 11.125%, 7/15/19 (144A) 
  445,796 
         
$ 3,485,934 
       
Movies & Entertainment - 0.9%
 
   
  2,765,000 
CCC+/Caa1
AMC Entertainment, Inc., 9.75%, 12/1/20   
$ 3,193,575 
   
  600,000 
CCC+/Caa1
Production Resource Group, Inc., 8.875%, 5/1/19   
  438,000 
         
$ 3,631,575 
       
Publishing - 0.8%
 
   
  1,400,000 
CC/Ca
Cengage Learning Acquisitions, Inc., 10.5%, 1/15/15 (144A) 
$ 476,000 
   
  400,000 
B-/B3
Interactive Data Corp., 10.25%, 8/1/18   
  450,000 
   
  2,200,000(h)
B-/B3
MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A) 
  2,057,000 
         
$ 2,983,000 
       
Total Media 
$ 29,066,652 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 2.2%
 
       
Biotechnology - 1.4%
 
   
  1,400,000 
B/Caa1
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A) 
$ 1,543,500 
   
  4,104,000 
B+/Caa2
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17   
  3,816,720 
         
$ 5,360,220 
       
Life Sciences Tools & Services - 0.4%
 
   
  1,607,664 
B/Caa1
Catalent Pharma Solutions, Inc., 9.5%, 4/15/15   
$ 1,640,139 
           
       
Pharmaceuticals - 0.4%
 
   
  2,020,000(f)
NR/NR
KV Pharmaceutical Co., 12.0%, 3/15/15   
$ 1,616,000 
           
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 8,616,359 
           
 
       
REAL ESTATE - 0.8%
 
       
Diversified REIT's - 0.4%
 
   
  1,500,000 
B+/Ba3
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19   
$ 1,432,500 
           
       
Real Estate Operating Companies - 0.4%
 
   
  1,479,000(h)
B/B3
Forest City Enterprises, Inc., 7.625%, 6/1/15   
$ 1,479,000 
           
       
Total Real Estate 
$ 2,911,500 
           
 
       
RETAILING - 1.0%
 
       
Distributors - 0.8%
 
   
  2,862,000 
B+/B1
Minerva Overseas II, Ltd., 10.875%, 11/15/19 (144A) 
$ 3,298,255 
           
       
Speciality Stores - 0.2%
 
   
  685,000 
B-/B3
Radio Systems Corp., 8.375%, 11/1/19 (144A) 
$ 714,112 
           
       
Total Retailing 
$ 4,012,367 
           
 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.1%
 
       
Semiconductor Equipment - 0.4%
 
   
  1,895,000 
B+/Caa1
MEMC Electronic Materials, Inc., 7.75%, 4/1/19   
$ 1,591,800 
           
       
Semiconductors - 0.7%
 
   
  3,250,000 
BB-/B1
Advanced Micro Devices, 7.5%, 8/15/22 (144A) 
$ 2,673,125 
 
CNY
  1,000,000 
NR/NR
LDK Solar Co., Ltd., 10.0%, 2/28/14   
  86,051 
         
$ 2,759,176 
       
Total Semiconductors & Semiconductor Equipment 
$ 4,350,976 
           
 
       
SOFTWARE & SERVICES - 2.7%
 
       
Application Software - 0.6%
 
   
  2,960,000 
CCC-/Caa2
Allen Systems Group, Inc., 10.5%, 11/15/16 (144A) 
$ 2,190,400 
           
       
Data Processing & Outsourced Services - 1.0%
 
   
  1,783,000 
B-/Caa1
First Data Corp., 8.25%, 1/15/21 (144A) 
$ 1,783,000 
   
  399,000 
B-/Caa1
First Data Corp., 9.875%, 9/24/15   
  406,980 
   
  1,783,000 
B-/Caa1
First Data Corp., 12.625%, 1/15/21   
  1,876,607 
         
$ 4,066,587 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Systems Software - 1.1%
 
   
  4,857,412(g)(h)
NR/NR
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A) 
$ 4,371,671 
           
       
Total Software & Services 
$ 10,628,658 
           
 
       
TECHNOLOGY HARDWARE & EQUIPMENT - 0.6%
 
       
Communications Equipment - 0.4%
 
   
  1,500,000 
CCC+/B3
CPI International Inc., 8.0%, 2/15/18   
$ 1,464,375 
           
       
Computer Storage & Peripherals - 0.1%
 
   
  580,000 
BBB/Baa3
Seagate Technology International, Inc., 10.0%, 5/1/14 (144A) 
$ 624,225 
           
       
Electronic Equipment & Instruments - 0.1%
 
   
  350,000 
BB-/B1
Viasystems, Inc., 7.875%, 5/1/19 (144A) 
$ 343,000 
           
       
Total Technology Hardware & Equipment 
$ 2,431,600 
           
 
       
TELECOMMUNICATION SERVICES - 1.6%
 
       
Alternative Carriers - 0.5%
 
   
  1,000,000 
BB-/WR
PAETEC Holding Corp., 8.875%, 6/30/17   
$ 1,072,500 
   
  600,000 
NR/WR
PAETEC Holding Corp., 9.875%, 12/1/18   
  687,000 
         
$ 1,759,500 
       
Integrated Telecommunication Services - 0.9%
 
   
  3,539,000 
CCC+/B3
Cincinnati Bell, Inc., 8.75%, 3/15/18   
$ 3,654,018 
           
       
Wireless Telecommunication Services - 0.2%
 
   
  725,000 
BB/Ba3
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, 9.125%, 4/30/18 (144A) 
$ 878,156 
           
       
Total Telecommunication Services 
$ 6,291,674 
           
 
       
TRANSPORTATION - 3.0%
 
       
Air Freight & Logistics - 1.2%
 
   
  4,601,000 
CCC+/Caa2
CEVA Group Plc, 11.5%, 4/1/18 (144A) 
$ 3,841,835 
   
  720,000 
CCC+/Caa1
CEVA Group Plc, 11.625%, 10/1/16 (144A) 
  739,800 
         
$ 4,581,635 
       
Airlines - 0.1%
 
   
  500,000 
B-/NR
Gol Finance, 9.25%, 7/20/20 (144A) 
$ 437,500 
           
       
Marine - 0.1%
 
   
  295,000 
B+/B3
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc., 9.25%, 4/15/19   
$ 289,469 
           
       
Railroads - 0.2%
 
   
  1,057,439(g)
CCC/Caa3
Florida East Coast Holdings Corp., 10.5%, 8/1/17   
$ 1,046,864 
           
       
Trucking - 1.4%
 
   
  575,000 
NR/Ba3
Aeropuertos Dominicanos Siglo XXI S.A., 9.25%, 11/13/19 (144A) 
$ 608,295 
   
  1,375,000 
B+/Caa1
Swift Services Holdings, Inc., 10.0%, 11/15/18   
  1,509,063 
   
  1,700,000 
B/B3
Syncreon Global Ireland Ltd. / Syncreon Global Finance US, Inc., 9.5%, 5/1/18 (144A) 
  1,768,000 
   
  1,430,000 
B/B3
Syncreon Global Ireland, Ltd., 9.5%, 5/1/18 (144A) 
  1,487,200 
         
$ 5,372,558 
       
Total Transportation 
$ 11,728,026 
           
 
       
UTILITIES - 2.4%
 
       
Electric Utilities - 0.9%
 
   
  310,000 
NR/Caa1
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A) 
$ 136,400 
   
  885,000 
CC/Caa3
Energy Future Holdings Corp., 10.0%, 1/15/20   
  988,987 
   
  1,000,000 
BB+/Ba1
PNM Resources, Inc., 9.25%, 5/15/15   
  1,141,250 
   
  350,000 
CCC/Caa1
Texas Competitive Electric Holdings Co., LLC / TCEH Finance, Inc., 11.5%, 10/1/20 (144A) 
  273,875 
   
  2,105,000 
CC/Caa3
Texas Competitive Electric Holdings Co., LLC / TCEH Finance, Inc., 15.0%, 4/1/21   
  715,700 
         
$ 3,256,212 
       
Independent Power Producers & Energy Traders - 0.8%
 
   
  1,800,000 
BB-/Ba3
InterGen NV, 9.0%, 6/30/17 (144A) 
$ 1,611,000 
   
  1,500,000 
NR/B2
Star Energy Geothermal Wayang Windu Ltd., 11.5%, 2/12/15 (144A) 
  1,599,300 
         
$ 3,210,300 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Multi-Utilities - 0.7%
 
   
  3,017,321 
NR/NR
Ormat Funding Corp., 8.25%, 12/30/20   
$ 2,806,109 
           
       
Total Utilities 
$ 9,272,621 
           
       
TOTAL CORPORATE BONDS & NOTES
 
       
(Cost  $409,643,215)
$ 418,539,136 
 
       
CONVERTIBLE BONDS & NOTES -  6.3% of Net Assets
 
 
       
CAPITAL GOODS - 0.4%
 
       
Construction & Farm Machinery & Heavy Trucks - 0.4%
 
   
  1,625,000 
B-/NR
Meritor, Inc., 7.875%, 3/1/26 (144A) 
$ 1,489,922 
           
       
Total Capital Goods 
$ 1,489,922 
           
 
       
DIVERSIFIED FINANCIALS - 0.1%
 
       
Asset Management & Custody Banks - 0.1%
 
   
  400,000 
BBB/NR
Apollo Investment Corp., 5.75%, 1/15/16   
$ 414,000 
           
       
Total Diversified Financials 
$ 414,000 
           
 
       
ENERGY - 1.4%
 
       
Coal & Consumable Fuels - 0.5%
 
   
  1,905,000 
B+/NR
Massey Energy Co., 3.25%, 8/1/15   
$ 1,833,563 
           
       
Oil & Gas Drilling - 0.6%
 
   
  2,265,000(e)
NR/NR
Hercules Offshore, Inc., 3.375%, 6/1/38   
$ 2,267,831 
           
       
Oil & Gas Exploration & Production - 0.3%
 
   
  1,340,000 
BB-/Ba3
Chesapeake Energy Corp., 2.5%, 5/15/37   
$ 1,206,000 
           
       
Total Energy 
$ 5,307,394 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 1.6%
 
       
Health Care Equipment & Services - 0.8%
 
   
  2,837,000(e)
B+/NR
Hologic, Inc., 2.0%, 12/15/37   
$ 3,163,255 
           
       
Health Care Facilities - 0.7%
 
   
  1,985,000 
B/Ba3
LifePoint Hospitals, Inc., 3.25%, 8/15/25   
$ 1,987,481 
   
  780,000 
B/NR
LifePoint Hospitals, Inc., 3.5%, 5/15/14   
  801,938 
         
$ 2,789,419 
       
Health Care Services - 0.1%
 
   
  361,000 
B+/B2
Omnicare, Inc., 3.25%, 12/15/35   
$ 360,097 
           
       
Total Health Care Equipment & Services 
$ 6,312,771 
           
 
       
MATERIALS - 0.8%
 
       
Diversified Chemicals - 0.8%
 
   
  4,000,000(k)
B+/NR
Hercules, Inc., 6.5%, 6/30/29   
$ 3,347,520 
           
       
Total Materials 
$ 3,347,520 
           
 
       
MEDIA - 0.5%
 
       
Movies & Entertainment - 0.5%
 
   
  1,832,000 
B-/NR
Live Nation Entertainment, Inc., 2.875%, 7/15/27   
$ 1,813,680 
           
       
Total Media 
$ 1,813,680 
           
 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.4%
 
       
Semiconductors - 0.4%
 
   
  500,000 
NR/NR
JA Solar Holdings Co., Ltd., 4.5%, 5/15/13   
$ 477,500 
   
  750,000 
NR/NR
ReneSola, Ltd., 4.125%, 3/15/18 (144A) 
  383,438 
   
  1,569,000 
NR/NR
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13   
  713,895 
       
Total Semiconductors & Semiconductor Equipment 
$ 1,574,833 
           
 
       
TELECOMMUNICATION SERVICES - 1.1%
 
       
Alternative Carriers - 1.1%
 
   
  3,025,000 
B/B2
Tw Telecom Inc.,, 2.375%, 4/1/26   
$ 4,138,578 
           
       
Total Telecommunication Services 
$ 4,138,578 
           
       
TOTAL CONVERTIBLE BONDS & NOTES
 
       
(Cost  $20,098,956)
$ 24,398,698 
       
SOVEREIGN DEBT OBLIGATIONS -  0.9% of Net Assets
 
       
Argentina - 0.3%
 
   
  1,200,000 
B-/Caa1
City of Buenos Aires, 12.5%, 4/6/15 (144A) 
$ 1,176,000 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Russia - 0.6%
 
   
  1,798,000(e)
BBB/Baa1
Russian Government International Bond, 7.5%, 3/31/30   
$ 2,309,351 
           
       
TOTAL SOVEREIGN DEBT OBLIGATIONS
 
       
(Cost  $2,472,007)
$ 3,485,351 
           
       
TAX EXEMPT OBLIGATIONS -  4.5% of Net Assets
 
       
Indiana - 0.4%
 
   
  1,650,000 
NR/Baa3
East Chicago Indiana Exempt Facilities Revenue, 7.0%, 1/1/14   
$ 1,658,943 
           
       
New Jersey - 1.2%
 
   
  4,525,000 
B/B3
New Jersey Economic Development Authority Revenue, 7.0%, 11/15/30   
$ 4,541,969 
           
       
New York - 0.9%
 
   
  3,475,000 
BB/B2
New York City Industrial Development Agency Revenue, 7.625%, 12/1/32   
$ 3,562,188 
           
       
North Carolina - 2.0%
 
   
  1,670,000 
NR/NR
Charlotte North Carolina Special Facilities Revenue, 7.75%, 2/1/28   
$ 1,672,438 
   
  6,300,000 
NR/NR
Charlotte Special Facilities Revenue, 5.6%, 7/1/27   
  6,177,591 
         
$ 7,850,029 
       
TOTAL TAX EXEMPT OBLIGATIONS
 
       
(Cost $12,948,977)
$ 17,613,129 
           
       
MUNICIPAL COLLATERALIZED DEBT OBLIGATION -  0.6% of Net Assets
 
   
  3,300,000(b)(h)
NR/NR
Non-Profit Preferred Funding Trust I, 6.75%, 9/15/37 (144A) 
$ 2,100,285 
           
       
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
 
       
(Cost  $3,293,502)
$ 2,100,285 
           
           
   
Shares
   
Value
 
 
       
COMMON STOCKS -  2.1% of Net Assets
 
 
       
AUTOMOBILES & COMPONENTS - 0.4%
 
       
Auto Parts & Equipment - 0.4%
 
   
  29,909 
 
Lear Corp.
$ 1,400,938 
           
       
Total Automobiles & Components 
$ 1,400,938 
           
 
       
CAPITAL GOODS - 0.1%
 
       
Building Products - 0.1%
 
   
  894(c)(h)(l)
 
Panolam Holdings Co.
$ 522,096 
           
       
Total Capital Goods 
$ 522,096 
           
 
       
ENERGY - 0.2%
 
       
Oil & Gas Drilling - 0.1%
 
   
  13,045(l)
 
Rowan Companies, Plc, Class A
$ 407,917 
           
       
Oil & Gas Equipment & Services - 0.1%
 
 
NOK
  45,178(l)
 
Sevan Marine ASA
$ 164,174 
           
       
Oil & Gas Exploration & Production - 0.0%+
 
 
NOK
  1(l)
 
Norse Energy Corp., ASA
$ – 
           
       
Total Energy 
$ 572,091 
           
 
       
MATERIALS - 0.6%
 
       
Diversified Metals & Mining - 0.6%
 
   
  3,402 
 
Freeport-McMoRan Copper & Gold, Inc. Class B
$ 116,348 
   
  38,538 
 
Lyondell Basell Industries NV-CL A
  2,200,135 
         
$ 2,316,483 
       
Total Materials 
$ 2,316,483 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
 
       
Pharmaceuticals - 0.2%
 
   
  17,818 
 
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
$ 665,324 
           
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 665,324 
           

   
Shares
   
Value
 
       
SOFTWARE & SERVICES - 0.0%+
 
       
Systems Software - 0.0%+
 
   
  10,942(h)(l)
 
Perseus Holding Corp.
$ 27,355 
           
       
Total Software & Services 
$ 27,355 
           
 
       
TRANSPORTATION - 0.6%
 
       
Airlines - 0.3%
 
   
  97,564(l)
 
Delta Air Lines, Inc.
$ 1,158,085 
           
       
Marine - 0.3%
 
   
  877,784(h)(l)
 
Horizon Lines, Inc.
$ 1,316,676 
           
       
Total Transportation 
$ 2,474,761 
           
       
TOTAL COMMON STOCKS
 
       
(Cost  $6,901,635)
$ 7,979,048 
           
 
       
CONVERTIBLE PREFERRED STOCK -  0.5% of Net Assets
 
 
       
DIVERSIFIED FINANCIALS - 0.5%
 
       
Other Diversified Financial Services - 0.5%
 
   
  1,880(d)
 
Bank of America Corp., 7.25 
$ 2,133,800 
           
       
Total Diversified Financials 
$ 2,133,800 
           
       
TOTAL CONVERTIBLE PREFERRED STOCK
 
       
(Cost  $1,383,242)
$ 2,133,800 
           
 
       
PREFERRED STOCKS -  1.0% of Net Assets
 
 
       
DIVERSIFIED FINANCIALS - 0.9%
 
       
Other Diversified Financial Services - (continued) - 0.9%
 
   
  132,750(b)
 
GMAC Capital Trust I, 8.125 
$ 3,537,787 
           
       
Total Diversified Financials 
$ 3,537,787 
           
 
       
SOFTWARE & SERVICES - 0.1%
 
       
Data Processing & Outsourced Services - 0.1%
 
   
  5,745(h)(l)
 
Perseus Holding Corp., 14.0 
$ 315,975 
           
       
Total Software & Services 
$ 315,975 
           
       
TOTAL PREFERRED STOCKS
 
       
(Cost  $3,322,424)
$ 3,853,762 
           
 
       
RIGHTS/WARRANTS -  0.0%+ of Net Assets
 
 
       
ENERGY - 0.0%+
 
       
Oil & Gas Equipment & Services - 0.0%+
 
   
  650(h)(l)
 
Green Field Energy Services, Inc., Expires 11/15/21 (144A) 
$ 20,150 
           
       
Oil & Gas Exploration & Production - 0.0%+
 
 
NOK
  131,055(l)
 
Norse Energy Corp., ASA, Expires 6/16/15   
$ 3,772 
           
       
Total Energy 
$ 23,922 
           
       
TOTAL RIGHTS/WARRANTS
 
       
(Cost  $23,773)
$ 23,922 
           
   
Principal
Amount
   
Value
 
       
TEMPORARY CASH INVESTMENTS - 3.9% - of Net Assets
 
       
REPURCHASE AGREEMENTS: 3.9%
 
   
  7,625,000 
 
JPMorgan, Inc., .24%, dated 1/2/13, repurchase price of $7,625,000 plus accrued interest on 1/2/13 collateralized by $7,777,632 Federal National Mortgage Association, 3.0% - 5.5%, 7/1/22 - 9/1/42.
$ 7,625,000 
   
  7,625,000 
 
Deutsche Bank AG, .15%, dated 1/2/13, repurchase price of $7,625,000 plus accrued interest on 1/2/13 collateralized by the following: $5,380,591 U.S. Treasury Note, 11.25%, 2/15/15 and $2,396,913 U.S. Treasury Note, 0.75%, 12/31/17.
  7,625,000 
         
$ 15,250,000 
       
TOTAL TEMPORARY CASH INVESTMENTS
 
       
(Cost  $15,250,000)
  15,250,000 

   
Principal
Amount
   
Value
 (continued)
       
TOTAL INVESTMENTS IN SECURITIES - 135.6%
 
       
(Cost - $506,942,901) (m)(n)
$ 526,749,735 
       
OTHER ASSETS AND LIABILITIES -3.2%
$ 12,579,641 
       
PREFERRED SHARES AT REDEMPTION VALUE,
INCLUDING DIVIDENDS PAYABLE - (38.9)%
$ (151,001,350)
       
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
$ 388,328,026 
 

 
Notional Principal 
 
Swap Counterparty/Referenced Obligation
Unrealized Gain
         
 
  5,000,000 
 
JPMorgan Chase & Co., Goodyear Tire & Rubber Co., 5.0%, 12/20/2017 
$ 75,034 
 
  2,000,000 
 
JPMorgan Chase & Co., Goodyear Tire & Rubber Co., 5.0%, 12/20/2017 
  36,484 
     
TOTAL CREDIT DEFAULT SWAP AGREEMENTS
 
     
(Cost $(111,875))
$ 111,518 
 


NR
 
Security not rated by S&P or Moody's.
WR
 
Rating withdrawn by either S&P or Moody's.
(144A)
 
Security is exempt from registration under Rule 144A of the Securities Act of 1933.  Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At December 31, 2012, the value of these securities amounted to $218,864,263, or 56.4% 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 certificate of deposit or (iv) other base lending rates used by commercial lenders.  The interest rate shown is the rate accruing at December 31, 2012.
(a)
Floating rate note.  The rate shown is the coupon rate at December 31, 2012.
(b)
The interest rate is subject to change periodically. The interest is shown is the rate at December 31, 2012.
(c)
Security is valued using fair value methods.
(d)
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date.  The rate shown is the rate at December 31, 2012.
(e)
Security is perpetual in nature and has no stated maturity date.
(f)
Security is in default and is non income producing.
(g)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
(h)
Indicates a security that has been deemed as illiquid.  The aggregate cost of illiquid securities is $16,041,184.  The aggregate fair value of $12,292,708 represents 3.2% of total net assets applicable to common shareowners.
(i)
Security issued with a zero coupon.  Income is recognized through accretion of discount.
(j)
The company is scheduled for approval of a reorganization plan.
(k)
Security is priced as a unit.
(l)
Non-income producing.



(m)
At December 31, 2012, the net unrealized gain on investments based on cost for federal tax purposes of $506,942,201 was as follows:
   
     
 
Aggregate gross unrealized gain for all investments in which there is an excess of value over tax cost
$ 51,216,238 
 
 
Aggregate gross unrealized loss for all investments in which there is an excess of tax cost over value
  (31,409,404)
 
     
 
Net unrealized gain
$ 19,806,834 
 
       
 
For financial reporting purposes net unrealized gain on investments was
$ 19,806,834 and cost of investments aggregated  $506,942,201.
 
 
(n)
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
 
 
United States
77.3
%
 
Cayman Islands
4.4
 
 
Luxembourg
3.3
 
 
Canada
3.0
 
 
United Kingdom
2.0
 
 
Netherlands
2.1
 
 
Ireland
1.7
 
 
Other (individually less than 1%)
6.2
 
   
100.0
%
 

Glossary of Terms:
(A.D.R.)
 
American Depositary Receipt
 

Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
CNY
-
Chinese Yuan Renminbi
EUR
-
Euro
GBP
-
Great British Pound
NOK
 -
Norwegian Krone
 
 
 

 




















Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
 
   
Level 1 - quoted prices in active markets for identical securities
 
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds
 
credit risks, etc.)
 
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments)
 
   
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2, and securities valued using fair value methods (other than prices supplied by independent pricing services) as level 3.
 
   
The following is a summary of the inputs used as of December 31, 2012, in valuing the Trust's investments.
 
   
                         
   
Level 1
   
Level 2
   
Level 3
   
Total
 
   
                         
                         
Asset Backed Securities
  $     $ 5,963,952     $     $ 5,963,952  
                                 
                                 
Collateralized Mortgage Obligations
          1,973,092             1,973,092  
                                 
                                 
Senior Secured Floating Rate Loan Interests
          23,435,560             23,435,560  
                                 
                                 
Tax Exempt Obligations
          17,613,129             17,613,129  
                                 
Corporate Bonds & Notes
                               
                                 
Auto Parts & Equipment
          -       *     -
    All Other
          418,539,136             418,539,136  
                                 
                                 
Convertible Bonds & Notes
          24,398,698             24,398,698  
                                 
                                 
Municipal Collateralized Debt Obligations
          2,100,285             2,100,285  
                                 
                                 
Sovereign Debt Obligations
          3,485,351             3,485,351  
                                 
Common Stocks
                               
                                 
Building Products
                522,096       522,096  
Systems Software
          27,355             27,355  
    All Other
    7,429,597                   7,429,597  
                                 
                                 
Convertible Preferred Stock
    2,133,800                   2,133,800  
                                 
Preferred Stocks
                               
                                 
Data Processing & Outsourced Services
          315,975             315,975  
    All Other
    3,537,787                   3,537,787  
                                 
Rights/Warrants
                               
                                 
Oil & Gas Exploration & Production
          3,772             3,772  
    All Other
    20,150                   20,150  
                                 
Temporary Cash Investments
                               
Repurchase Agreements
          15,250,000             15,250,000  
Total
  $ 13,121,334     $ 513,106,305     $ 522,096     $ 526,749,735  
Other Financial Instruments
                               
Forward Foreign Currency Contracts
          (360,846 )           (360,846 )
Credit Default Swap Agreements
          111,518             111,518  
Total Other Financial Instruments
  $     $ (249,328 )   $     $ (249,328 )
   
*  Lear Corp. is fair valued at $0.



The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
 
   
Balance
as of
3/31/12
   
Realized
gain (loss)
   
Change in
Unrealized appreciation
(depreciation)
   
Purchases
   
Sales
   
Accrued
discounts/ premiums
   
Transfers in to
Level 3*
   
Transfers out of
Level 3*
   
Balance
as of 12/31/12
 
   
                                                       
                                                       
                                                       
                                                       
                                                       
Corporate Bonds & Notes
                                                     
Environmental & Facilities Services
  $ 133,492     $ (1,220,357 )   $ 1,141,508     $     $ (54,643 )   $     $     $     $  
Auto Parts & Equipment
    -             -                                     - ** 
                                                                         
Convertible Bonds & Notes
                                                                       
Marine
    1,052,235             1,496,604             (2,547,307 )     (1,532 )                  
                                                                         
                                                                         
                                                                         
Common Stocks
                                                                       
Building Products
    438,060             84,036                                     522,096  
Diversified Metals & Mining
    918,466       (959,452 )     194,064             (153,078 )                        
                                                                         
                                                                         
                                                                         
                                                                         
Total
  $ 2,542,253     $ (2,179,809 )   $ 2,916,212     $     $ (2,755,028 )   $ (1,532 )   $     $     $ 522,096  
       
*  Transfers are calculated on the end of period value
 
** Lear Corp. is fair valued at $0.
 
   
Net change in unrealized appreciation of Level 3 investments still held and considered
Level 3 at 12/31/12: 84,036
 
   

ITEM 2. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. (b) Disclose any change in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. There were no significant changes in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. (a) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)). Filed herewith. <PAGE> SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Pioneer High Income Trust By (Signature and Title)* /s/ John F. Cogan, Jr. John F. Cogan, Jr, President Date March 1, 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 (Signature and Title)* /s/ John F. Cogan, Jr. John F. Cogan, Jr., President Date March 1, 2013 By (Signature and Title)* /s/ Mark Bradley Mark Bradley, Treasurer Date March 1, 2013 * Print the name and title of each signing officer under his or her signature.