phtnq.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)


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


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


Date of fiscal year end:  March 31

Date of reporting period:  June 30, 2015

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

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


<PAGE>
ITEM 1. Schedule of Investments.

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


 






 
 

 

   
Pioneer High
   
Income Trust
     
     
     
     
     
     
     
   
NQ | June 30, 2015
     
     
   
Ticker Symbol: PHT




 
 

 
Schedule of Investments  |  6/30/15 (unaudited)



 
Principal
Amount
USD ($)
   
Value
         
     
ASSET BACKED SECURITIES -  0.9% of Net Assets
 
     
BANKS - 0.1%
 
     
Thrifts & Mortgage Finance - 0.1%
 
 
  200,335(a)
 
Security National Mortgage Loan Trust, Series 2007-1A, Class 1A3, 6.55%, 4/25/37 (144A)   
$ 202,178 
         
     
Total Banks 
                              $ 202,178 
         
     
CONSUMER SERVICES - 0.2%
 
     
Hotels, Resorts, Cruise Lines - 0.2%
 
 
  98,270 
 
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A)   
$ 99,253 
 
  567,979 
 
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A)   
  570,645 
 
  105,488 
 
Westgate Resorts LLC, Series 2013-1A, Class B, 3.75%, 8/20/25 (144A)   
  106,602 
         
     
Total Consumer Services  
                              $ 776,500 
         
     
DIVERSIFIED FINANCIALS - 0.2%
 
     
Thrifts & Mortgage Finance - 0.2%
 
 
  660,000(a)
 
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)   
$ 630,662 
         
     
Total Diversified Financials 
               $ 630,662 
         
     
TRANSPORTATION - 0.4%
 
     
Airlines - 0.4%
 
 
  1,093,508(b)
 
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.666%, 5/15/24 (144A)   
$ 306,182 
 
  543,450(b)
 
Aviation Capital Group Trust, Series 2000-1A, Class A1, 0.666%, 11/15/25 (144A)   
  213,304 
 
  1,316,643(b)
 
Lease Investment Flight Trust, Series 1, Class A1, 0.576%, 7/15/31     
  789,986 
         
     
Total Transportation 
            $ 1,309,472 
         
     
TOTAL ASSET BACKED SECURITIES
 
     
(Cost  $3,551,961)
            $ 2,918,812 
         
     
COLLATERALIZED MORTGAGE OBLIGATIONS -  1.2% of Net Assets
 
     
BANKS - 0.9%
 
     
Thrifts & Mortgage Finance - 0.9%
 
 
  850,000(b)
 
BAMLL Commercial Mortgage Securities Trust, Series 2014-INLD, Class F, 2.71%, 12/15/29 (144A)   
$ 784,196 
 
  400,000(a)
 
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW16, Class B, 5.896%, 6/11/40 (144A)   
  399,823 
 
  230,071 
 
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)   
  225,838 
 
  250,000(a)
 
Springleaf Mortgage Loan Trust, Series 2013-1A, Class B1, 5.58%, 6/25/58 (144A)   
  257,710 
 
  498,000(a)
 
Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class AJ, 5.658%, 3/15/45     
  502,656 
 
  900,000(a)
 
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class AJ, 6.144%, 5/15/46     
  938,879 
         
     
Total Banks 
            $ 3,109,102 
         
     
DIVERSIFIED FINANCIALS - 0.3%
 
     
Thrifts & Mortgage Finance - 0.3%
 
 
  200,000 
 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45     
$ 201,886 
 
  650,000(a)
 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ, 6.208%, 2/15/51     
  663,459 
         
     
Total Diversified Financials 
             $ 865,345 
         
     
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 
     
(Cost  $3,853,127)
            $ 3,974,447 
         
     
SENIOR SECURED FLOATING RATE LOAN INTERESTS -  
7.5% of Net Assets *(b)
 
     
CAPITAL GOODS - 0.1%
 
     
Industrial Conglomerates - 0.1%
 
 
  313,298
 
Filtration Group Corp., Second Lien Initial Term Loan, 8.25%, 11/22/21   
$ 315,384 
         
     
Total Capital Goods 
              $ 315,384 
         

 
Principal
Amount
USD ($)
   
Value
         
     
CONSUMER SERVICES - 0.8%
 
     
Education Services - 0.8%
 
 
  2,856,500
 
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19   
$ 2,873,759 
         
     
Total Consumer Services 
             $ 2,873,759 
         
     
ENERGY - 1.4%
 
     
Coal & Consumable Fuels - 0.1%
 
 
  587,500
 
PT Bumi Resources Tbk, Term Loan, 18.0%, 8/15/14   
$ 220,312 
     
Oil & Gas Drilling - 0.3%
 
 
  1,050,500
 
Jonah Energy LLC, Second Lien Initial Loan, 7.5%, 5/12/21   
$ 1,001,914 
     
Oil & Gas Equipment & Services - 0.4%
 
 
  1,950,000
 
Templar Energy LLC, Second Lien New Term Loan, 8.5%, 11/25/20   
$ 1,464,450 
     
Oil & Gas Exploration & Production - 0.6%
 
 
  2,664,204
 
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20   
$ 2,044,777 
         
     
Total Energy 
             $ 4,731,453 
         
     
FOOD, BEVERAGE & TOBACCO - 0.4%
 
     
Packaged Foods & Meats - 0.4%
 
 
  1,498,750
 
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20   
$ 1,536,219 
         
     
Total Food, Beverage & Tobacco 
             $ 1,536,219 
         
     
HEALTH CARE EQUIPMENT & SERVICES - 0.9%
 
     
Health Care Equipment & Services - 0.6%
 
 
  875,000
 
Accellent, Inc. (Medical Device/UTI), Second Lien Term Loan, 7.5%, 3/11/22   
$ 842,187 
 
  1,140,000
 
Concentra, Inc., Initial Term Loan, 8.282%, 6/1/23   
  1,146,384 
       
             $ 1,988,571 
     
Health Care Technology - 0.3%
 
 
  1,155,136
 
Medical Card System, Inc., Term Loan, 12.0%, 3/17/17   
$ 1,108,931 
         
     
Total Health Care Equipment & Services 
             $ 3,097,502 
         
     
INSURANCE - 0.6%
 
     
Property & Casualty Insurance - 0.6%
 
 
  1,885,452
 
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19   
$ 1,878,382 
         
     
Total Insurance 
             $ 1,878,382 
         
     
MATERIALS - 0.2%
 
     
Diversified Metals & Mining - 0.0%
 
 
  131,698(c)
 
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.0%, 1/20/13   
$ 49,387 
     
Steel - 0.2%
 
 
  585,575
 
Essar Steel Algoma, Inc., Initial Term Loan, 7.5%, 8/16/19   
$ 536,289 
         
     
Total Materials 
              $ 585,676 
         
     
MEDIA - 0.5%
 
     
Publishing - 0.5%
 
 
  1,195,425
 
Cengage Learning Acquisitions, Inc. (fka TL Acquisitions, Inc.), Term Loan, 7.0%, 3/31/20   
$ 1,199,908 
 
  343,200
 
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19   
  344,916 
         
     
Total Media 
             $ 1,544,824 
         
     
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.2%
 
     
Biotechnology - 1.2%
 
 
  4,105,000
 
Lantheus Medical Imaging, Inc., Term Loan, 9.75%, 5/15/17   
$ 4,058,819 
         
     
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 4,058,819 
         
     
RETAILING - 0.7%
 
     
Automotive Retail - 0.4%
 
 
  1,567,500
 
CWGS Group LLC, Term Loan, 5.25%, 2/20/20   
$ 1,578,276 
     
Computer & Electronics Retail - 0.3%
 
 
  1,159,624
 
Targus Group International, Inc., Term Loan, 14.75%, 5/24/16   
$ 956,690 
         
     
Total Retailing 
             $ 2,534,966 
         

 
Principal
Amount
USD ($)
   
Value
         
     
SOFTWARE & SERVICES - 0.7%
 
     
Application Software - 0.7%
 
 
  2,500,000
 
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17   
$ 2,534,375 
         
     
Total Software & Services 
             $ 2,534,375 
         
     
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
 
     
(Cost  $27,256,103)
             $ 25,691,359 
         
     
CORPORATE BONDS & NOTES -  114.1% of Net Assets
 
     
AUTOMOBILES & COMPONENTS - 1.5%
 
     
Auto Parts & Equipment - 1.3%
 
 
  1,140,000(d)
 
International Automotive Components Group SA,
9.125%, 6/1/18 (144A)   
$ 1,162,800 
 
  580,000 
 
Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A)   
  610,450 
 
  2,885,000(d)
 
Stackpole International Intermediate / Stackpole International Powder, 7.75%, 10/15/21 (144A)   
  2,841,725 
       
             $ 4,614,975 
     
Automobile Manufacturers - 0.2%
 
 
  500,000(d)
 
Chrysler Group LLC/CG Co-Issuer, Inc., 8.25%, 6/15/21     
$ 545,000 
         
     
Total Automobiles & Components 
             $ 5,159,975 
         
     
BANKS - 1.2%
 
     
Thrifts & Mortgage Finance - 1.2%
 
 
  4,425,000(d)
 
Provident Funding Associates LP / PFG Finance Corp., 6.75%, 6/15/21 (144A)   
$ 4,225,875 
         
     
Total Banks 
             $ 4,225,875 
         
     
CAPITAL GOODS - 7.3%
 
     
Aerospace & Defense - 1.8%
 
 
  2,200,000 
 
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)   
$ 2,277,000 
 
  3,084,000(d)
 
DynCorp International, Inc., 10.375%, 7/1/17     
  2,220,480 
 
  1,305,000(d)
 
LMI Aerospace, Inc., 7.375%, 7/15/19     
  1,301,738 
 
  525,000 
 
Triumph Group, Inc., 5.25%, 6/1/22     
  518,437 
       
             $ 6,317,655 
     
Agricultural & Farm Machinery - 0.1%
 
 
  345,000 
 
Titan International, Inc., 6.875%, 10/1/20     
$ 316,969 
         
     
Building Products - 0.1%
 
 
  400,000 
 
Griffon Corp., 5.25%, 3/1/22     
$ 398,000 
         
     
Construction & Engineering - 0.5%
 
 
  1,500,000(d)
 
Abengoa Finance SAU, 8.875%, 11/1/17 (144A)   
$ 1,560,000 
         
     
Construction & Farm Machinery & Heavy Trucks - 0.6%
 
 
  2,000,000(d)
 
Navistar International Corp., 8.25%, 11/1/21     
$ 1,900,000 
         
     
Electrical Components & Equipment - 0.6%
 
 
  2,000,000(d)
 
WireCo WorldGroup, Inc., 9.5%, 5/15/17     
$ 1,878,760 
         
     
Industrial Conglomerates - 0.5%
 
 
  253,000(d)
 
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)   
$ 240,350 
 
  605,000 
 
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)   
  647,350 
 
  810,000 
 
Waterjet Holdings, Inc., 7.625%, 2/1/20 (144A)   
  842,400 
       
             $ 1,730,100 
     
Industrial Machinery - 2.3%
 
 
  2,575,000 
 
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)   
$ 2,291,750 
 
  1,040,000(d)
 
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)   
  1,024,400 
 
  4,500,000(d)
 
Xerium Technologies, Inc., 8.875%, 6/15/18     
  4,657,500 
       
             $ 7,973,650 
     
Trading Companies & Distributors - 0.8%
 
 
  2,510,000(d)
 
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19     
$ 2,710,800 
         
     
Total Capital Goods 
             $ 24,785,934 
         
     
COMMERCIAL & PROFESSIONAL SERVICES - 2.1%
 
     
Commercial Printing - 0.8%
 
 
  1,675,000 
 
Multi-Color Corp., 6.125%, 12/1/22 (144A)   
$ 1,712,688 
 
  860,000 
 
Mustang Merger Corp., 8.5%, 8/15/21 (144A)   
  872,900 
       
             $ 2,585,588 
     
Diversified Support Services - 1.3%
 
 
  3,900,000(d)
 
NANA Development Corp., 9.5%, 3/15/19 (144A)   
$ 3,724,500 
 
  660,000 
 
Transfield Services, Ltd., 8.375%, 5/15/20 (144A)   
  702,900 
       
             $ 4,427,400 
         
     
Total Commercial & Professional Services 
             $ 7,012,988 
         


 
 

 
Schedule of Investments  |  6/30/15 (unaudited)



 
Principal
Amount
USD ($)
   
Value
         
     
CONSUMER DISCRETIONARY - 1.5%
 
     
Department Stores - 0.3%
 
 
  935,000 
 
Argos Merger Sub, Inc., 7.125%, 3/15/23 (144A)   
$ 979,413 
         
     
Homebuilding - 1.2%
 
 
  1,500,000 
 
KB Home, 7.0%, 12/15/21     
$ 1,548,750 
 
  790,000 
 
KB Home, 7.5%, 9/15/22     
  821,600 
 
  1,035,000 
 
KB Home, 7.625%, 5/15/23     
  1,081,575 
 
  565,000 
 
Taylor Morrison Communities, Inc. / Monarch Communities, Inc., 5.625%, 3/1/24 (144A)   
  543,812 
       
             $ 3,995,737 
         
     
Total Consumer Discretionary 
             $ 4,975,150 
         
     
CONSUMER DURABLES & APPAREL - 4.2%
 
     
Homebuilding - 1.0%
 
 
  750,000(d)
 
Beazer Homes USA, Inc., 9.125%, 5/15/19     
$ 780,938 
 
  800,000(d)
 
Brookfield Residential Properties, Inc., 6.375%, 5/15/25 (144A)   
  784,000 
 
  1,975,000(d)
 
Rialto Holdings LLC / Rialto Corp., 7.0%, 12/1/18 (144A)   
  2,054,000 
       
             $ 3,618,938 
     
Housewares & Specialties - 1.8%
 
 
  1,435,000(d)
 
Jarden Corp., 7.5%, 5/1/17     
$ 1,560,562 
 
  3,000,000(d)
 
Reynolds Group Issuer, Inc., 9.0%, 4/15/19     
  3,101,250 
 
  1,430,000(d)
 
Reynolds Group Issuer, Inc., 9.875%, 8/15/19     
  1,501,500 
       
             $ 6,163,312 
     
Leisure Products - 1.2%
 
 
  4,000,000 
 
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)   
$ 4,000,000 
         
     
Textiles - 0.2%
 
 
  805,000 
 
Polymer Group, Inc., 6.875%, 6/1/19 (144A)   
$ 740,600 
         
     
Total Consumer Durables & Apparel 
             $ 14,522,850 
         
     
CONSUMER SERVICES - 5.4%
 
     
Business Services - 0.8%
 
 
  1,750,000(d)
 
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A)   
$ 1,776,250 
 
  1,000,000 
 
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18     
  877,500 
       
             $ 2,653,750 
     
Casinos & Gaming - 2.5%
 
 
  664,649(c)(e)
 
Mashantucket Western Pequot Tribe, 6.5% (6.5% PIK 1.0% cash), 7/1/36     
$ 6,646 
 
  1,700,000(d)
 
MGM Resorts International, 6.0%, 3/15/23     
  1,721,250 
 
  1,225,000 
 
Scientific Games International, Inc., 6.25%, 9/1/20     
  952,438 
 
  3,000,000(d)
 
Scientific Games International, Inc., 6.625%, 5/15/21     
  2,325,000 
 
  3,800,000(d)
 
Scientific Games International, Inc., 10.0%, 12/1/22     
  3,638,500 
       
             $ 8,643,834 
     
Education Services - 0.2%
 
 
  555,000 
 
Cambium Learning Group, Inc., 9.75%, 2/15/17     
$ 560,550 
         
     
Hotels, Resorts, Cruise Lines - 0.2%
 
 
  565,000 
 
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)   
$ 560,762 
         
     
Restaurants - 0.6%
 
 
  2,000,000(d)
 
PF Chang's China Bistro, Inc., 10.25%, 6/30/20 (144A)   
$ 2,067,500 
         
     
Specialized Consumer Services - 1.1%
 
 
  2,465,000(d)
 
Constellis Holdings LLC / Constellis Finance Corp., 9.75%, 5/15/20 (144A)   
$ 2,378,725 
 
  1,400,000(d)
 
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21     
  1,456,000 
       
             $ 3,834,725 
         
     
Total Consumer Services 
             $ 18,321,121 
         
     
DIVERSIFIED FINANCIALS - 3.9%
 
     
Asset Management & Custody Banks - 0.3%
 
 
  975,000(d)
 
Janus Capital Group, Inc., 6.7%, 6/15/17     
$ 1,061,075 
         
     
Consumer Finance - 0.7%
 
 
  1,030,000(d)
 
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)   
$ 1,011,975 
 
  1,720,000(d)
 
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)  
  1,410,400 
       
             $ 2,422,375 
     
Diversified Banks - 1.0%
 
 
  1,200,000(a)
 
Access Bank Plc, 9.25%, 6/24/21 (144A)   
$ 1,140,000 
 
  1,650,000(a)(d)(f)
 
Bank of America Corp., 6.25%     
  1,642,789 
 
  600,000(a)(d)(f)
 
Bank of America Corp., 6.5%    
  621,000 
       
             $ 3,403,789 

 
Principal
Amount
USD ($)
   
Value
         
     
Diversified Capital Markets - 0.2%
 
 
  700,000(a)(d)(f)
 
Credit Suisse Group AG, 7.5% (144A)   
$ 728,840 
         
     
Investment Banking & Brokerage - 0.5%
 
 
  2,325,000(a)(d)(f)
 
Goldman Sachs Capital II, 4.0%   
$ 1,769,906 
         
     
Specialized Finance - 1.2%
 
 
  425,000 
 
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
$ 395,781 
 
  2,845,000 
 
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 6/1/22
  2,599,619 
 
  1,325,000(d)
 
Ocwen Financial Corp., 7.125%, 5/15/19 (144A)   
  1,238,875 
       
             $ 4,234,275 
     
Total Diversified Financials 
             $ 13,620,260 
         
     
ENERGY - 16.6%
 
     
Coal & Consumable Fuels - 0.0%
 
 
  2,125,000(c)
 
James River Coal Co., 7.875%, 4/1/19     
$ 2,656 
         
     
Integrated Oil & Gas - 0.4%
 
 
  1,214,000 
 
Energy XXI Gulf Coast, Inc., 6.875%, 3/15/24     
$ 388,480 
 
  750,000 
 
YPF SA, 8.875%, 12/19/18 (144A)   
  796,875 
       
             $ 1,185,355 
     
Oil & Gas Drilling - 1.0%
 
 
  2,500,000 
 
Ocean Rig UDW, Inc., 7.25%, 4/1/19 (144A)   
$ 1,875,000 
 
  1,800,000(d)
 
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)   
  1,602,000 
       
             $ 3,477,000 
     
Oil & Gas Equipment & Services - 0.5%
 
 
  598,000 
 
Exterran Partners LP / EXLP Finance Corp., 6.0%, 4/1/21     
$ 577,070 
 
  1,020,000 
 
McDermott International, Inc., 8.0%, 5/1/21 (144A)   
  918,000 
 
  300,000 
 
Sanjel Corp., 7.5%, 6/19/19 (144A)   
  219,750 
       
             $ 1,714,820 
     
Oil & Gas Exploration & Production - 9.7%
 
 
  2,940,000(d)
 
Approach Resources, Inc., 7.0%, 6/15/21     
$ 2,646,000 
 
  4,332,000(d)
 
Comstock Resources, Inc., 7.75%, 4/1/19     
  1,819,440 
 
  3,850,000(d)
 
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20     
  4,114,495 
 
  95,000 
 
EP Energy LLC / Everest Acquisition Finance, Inc., 7.75%, 9/1/22  
  99,750 
 
  1,295,000(d)
 
EPL Oil & Gas, Inc., 8.25%, 2/15/18     
  777,000 
 
  2,015,000(d)
 
Gulfport Energy Corp., 7.75%, 11/1/20     
  2,110,712 
 
  230,000 
 
Halcon Resources Corp., 8.875%, 5/15/21     
  151,225 
 
  3,360,000(d)
 
Halcon Resources Corp., 9.75%, 7/15/20     
  2,259,600 
 
  1,950,000 
 
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.625%, 12/1/21     
  1,579,500 
 
  800,000 
 
Linn Energy LLC / Linn Energy Finance Corp., 6.5%, 9/15/21     
  600,000 
 
  2,610,000 
 
Memorial Production Partners LP / Memorial Production Finance Corp., 6.875%, 8/1/22     
  2,360,745 
 
  2,000,000(d)
 
Midstates Petroleum Co., Inc., 9.25%, 6/1/21     
  830,000 
 
  1,050,000 
 
MIE Holdings Corp., 7.5%, 4/25/19 (144A)   
  792,750 
 
  590,000 
 
Parsley Energy LLC / Parsley Finance Corp., 7.5%, 2/15/22 (144A)
  598,667 
 
  2,485,000 
 
Penn Virginia Corp., 7.25%, 4/15/19     
  2,137,100 
 
  750,000 
 
Penn Virginia Corp., 8.5%, 5/1/20     
  673,125 
 
  2,750,000 
 
PetroQuest Energy, Inc., 10.0%, 9/1/17     
  2,585,000 
 
  3,380,000(c)
 
Quicksilver Resources, Inc., 7.125%, 4/1/16     
  16,900 
 
  900,000 
 
Rice Energy, Inc., 6.25%, 5/1/22     
  893,250 
 
  735,000 
 
RSP Permian, Inc., 6.625%, 10/1/22 (144A)   
  751,538 
 
  4,035,000(d)
 
Sanchez Energy Corp., 7.75%, 6/15/21     
  4,014,825 
 
  1,500,000(d)
 
Vanguard Natural Resources LLC / VNR Finance Corp., 7.875%, 4/1/20     
  1,432,500 
       
             $ 33,244,122 
     
Oil & Gas Refining & Marketing - 2.3%
 
 
  3,859,000 
 
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21     
$ 3,801,115 
 
  750,000(d)
 
Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.75%, 4/15/23 (144A)   
  770,625 
 
  3,000,000(d)
 
Seven Generations Energy, Ltd., 8.25%, 5/15/20 (144A)   
  3,183,000 
       
             $ 7,754,740 
         
     
Oil & Gas Storage & Transportation - 2.7%
 
 
  875,000(d)
 
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, 4/1/23 (144A)   
$ 910,000 
 
  1,524,000(b)(d)
 
Energy Transfer Partners LP, 3.296%, 11/1/66     
  1,295,400 
 
  350,000(a)(d)
 
Enterprise Products Operating LLC, 8.375%, 8/1/66     
  366,625 
 
  1,410,000(d)
 
Global Partners LP / GLP Finance Corp., 6.25%, 7/15/22     
  1,353,600 
 
  1,100,000 
 
Global Partners LP / GLP Finance Corp., 7.0%, 6/15/23 (144A)   
  1,080,750 
 
  385,000 
 
PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/23 (144A)   
  386,925 
 
  2,500,000(d)
 
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23 (144A)   
  2,600,000 
 
Principal
Amount
USD ($)
   
Value
     
Oil & Gas Storage & Transportation (continued)
 
 
  1,185,000 
 
Western Refining Logistics LP / WNRL Finance Corp., 7.5%, 2/15/23 (144A)   
$  1,220,550 
       
             $ 9,213,850 
     
Total Energy 
             $ 56,592,543 
         
     
FOOD & STAPLES RETAILING - 0.4%
 
     
Food Retail - 0.4%
 
 
  1,505,000(d)
 
Tops Holding LLC / Tops Markets II Corp., 8.0%, 6/15/22 (144A)   
$ 1,506,881 
         
     
Total Food & Staples Retailing 
             $ 1,506,881 
         
     
FOOD, BEVERAGE & TOBACCO - 7.6%
 
     
Agricultural Products - 1.0%
 
 
  2,100,000(d)
 
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)   
$ 2,084,250 
 
  1,215,000 
 
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)   
  1,136,025 
 
  575,000 
 
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)   
  339,250 
       
             $ 3,559,525 
     
Packaged Foods & Meats - 5.1%
 
 
  775,000 
 
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)   
$ 842,584 
 
  1,250,000 
 
CFG Investment SAC, 9.75%, 7/30/19 (144A)   
  1,213,750 
 
  318,000(d)
 
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21     
  342,645 
 
  3,500,000(d)
 
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)   
  3,648,750 
 
  1,240,000 
 
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)   
  1,181,100 
 
  1,000,000 
 
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)   
  1,007,200 
 
  1,200,000 
 
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)   
  1,198,800 
 
  3,400,000(d)
 
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)   
  3,425,500 
 
  400,000 
 
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)   
  440,200 
 
  2,000,000(d)
 
Post Holdings, Inc., 6.0%, 12/15/22 (144A)   
  1,925,000 
 
  2,100,000(d)
 
Post Holdings, Inc., 7.375%, 2/15/22     
  2,136,750 
       
             $ 17,362,279 
     
Soft Drinks - 0.5%
 
 
  1,625,000(d)
 
Cott Beverages, Inc., 5.375%, 7/1/22     
$ 1,576,250 
         
     
Tobacco - 1.0%
 
 
  3,835,000(d)
 
Alliance One International, Inc., 9.875%, 7/15/21     
$ 3,355,625 
         
     
Total Food, Beverage & Tobacco 
             $ 25,853,679 
         
     
HEALTH CARE - 0.2%
 
     
Pharmaceuticals - 0.2%
 
 
  780,000 
 
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 2/1/25 (144A)   
$ 792,675 
         
     
Total Health Care 
             $ 792,675 
         
     
HEALTH CARE EQUIPMENT & SERVICES - 5.0%
 
     
Health Care Facilities - 1.9%
 
 
  2,560,000(d)
 
CHS/Community Health Systems, Inc., 6.875%, 2/1/22     
$ 2,700,800 
 
  2,400,000 
 
Kindred Healthcare, Inc., 6.375%, 4/15/22     
  2,397,000 
 
  600,000(d)
 
United Surgical Partners International, Inc., 9.0%, 4/1/20     
  640,500 
 
  835,000 
 
Universal Hospital Services, Inc., 7.625%, 8/15/20     
  772,375 
       
             $ 6,510,675 
     
Health Care Services - 1.2%
 
 
  2,250,000(d)
 
BioScrip, Inc., 8.875%, 2/15/21     
$ 1,912,500 
 
  2,000,000(d)
 
Kindred Escrow Corp. II, 8.0%, 1/15/20 (144A)   
  2,140,000 
       
             $ 4,052,500 
     
Health Care Supplies - 0.9%
 
 
  3,000,000(d)
 
Immucor, Inc., 11.125%, 8/15/19     
$ 3,180,000 
         
     
Health Care Technology - 0.3%
 
 
  900,000(d)
 
Emdeon, Inc., 11.0%, 12/31/19     
$ 976,500 
         
     
IT Consulting & Other Services - 0.7%
 
 
  2,380,000(d)
 
Truven Health Analytics, Inc., 10.625%, 6/1/20     
$ 2,493,050 
         
     
Total Health Care Equipment & Services 
             $ 17,212,725 
         
     
HOUSEHOLD & PERSONAL PRODUCTS - 1.8%
 
     
Household Products - 0.6%
 
 
  2,220,000 
 
Springs Industries, Inc., 6.25%, 6/1/21     
$ 2,170,050 
         

 
 

 
Schedule of Investments  |  6/30/15 (unaudited)



 
Principal
Amount
USD ($)
   
Value
     
Personal Products - 1.2%
 
 
  1,745,000(d)
 
Albea Beauty Holdings SA, 8.375%, 11/1/19 (144A)   
$ 1,867,150 
 
  2,315,000(d)
 
Monitronics International, Inc., 9.125%, 4/1/20     
  2,233,975 
       
             $ 4,101,125 
     
Total Household & Personal Products 
             $ 6,271,175 
         
     
INDUSTRIALS - 1.0%
 
     
Environmental & Facilities Services - 0.4%
 
 
  1,370,000(d)
 
Safway Group Holding LLC / Safway Finance Corp., 7.0%, 5/15/18 (144A)   
$ 1,400,537 
         
     
Industrial Machinery - 0.2%
 
 
  849,000(e)(h)
 
Liberty Tire Recycling LLC, 11.0% (11.0% PIK 0.0% cash), 3/31/21 (144A)   
$ 772,590 
         
     
Trading Companies & Distributors - 0.4%
 
 
  280,000 
 
Fly Leasing, Ltd., 6.375%, 10/15/21     
$ 283,500 
 
  1,080,000(d)
 
H&E Equipment Services, Inc., 7.0%, 9/1/22     
  1,113,750 
       
             $ 1,397,250 
     
Total Industrials 
             $ 3,570,377 
         
     
INFORMATION TECHNOLOGY - 0.7%
 
     
Internet Software & Services - 0.7%
 
 
  755,000 
 
Bankrate, Inc., 6.125%, 8/15/18 (144A)   
$ 732,350 
 
  1,500,000 
 
Cimpress NV, 7.0%, 4/1/22 (144A)   
  1,541,250 
     
Total Information Technology 
             $ 2,273,600 
         
     
INSURANCE - 12.5%
 
     
Insurance Brokers - 0.3%
 
 
  1,000,000(d)
 
USI, Inc., 7.75%, 1/15/21 (144A)   
$ 1,015,000 
         
     
Multi-Line Insurance - 1.9%
 
 
  3,075,000(a)(d)
 
Liberty Mutual Group, Inc., 10.75% , 6/15/58 (144A)
$ 4,643,250 
 
  1,100,000(d)
 
MetLife, Inc., 10.75%, 8/1/39
  1,782,000 
       
             $ 6,425,250 
     
Property & Casualty Insurance - 2.6%
 
 
  3,000,000(g)(h)
 
Fixed Income Trust Series, 2013-A, 0.0%, 10/15/97 (144A)   
$ 2,073,165 
 
  5,300,000(d)
 
Hanover Insurance Corp., 7.625%, 10/15/25
  6,688,250 
 
  265,000(a)(d)(f)
 
White Mountains Insurance Group, Ltd., 7.506% (144A)
  276,925 
       
             $ 9,038,340 
     
Reinsurance - 7.7%
 
 
  500,000(b)
 
Alamo Re, Ltd., 5.9%, 6/7/18 (144A) (Cat Bond)   
$ 496,900 
 
  875,402(i)
 
Altair Re II, Ltd. (Willis Securities, Inc.), Variable Rate Notes,
6/30/16
  510,009 
 
  800,000(i)
 
Altair Re III, Ltd. (Willis Securities, Inc.), Variable Rate Notes,
6/30/17
  824,000 
 
  500,000(i)
 
Arlington Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 8/31/16
  503,550 
 
  400,000(i)
 
Arlington Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 8/1/15
  455,720 
 
  250,000(b)
 
Atlas Reinsurance VII, Ltd., 8.154%, 1/7/16 (144A) (Cat Bond)
  250,075 
 
  500,000(b)
 
Blue Danube II, Ltd., 4.368%, 5/23/16 (144A) (Cat Bond)
  497,150 
 
  400,000(b)
 
Caelus Re 2013, Ltd., 6.85%, 4/7/17 (144A) (Cat Bond)
  401,200 
 
  500,000(b)
 
Caelus Re, Ltd., 5.25%, 3/7/16 (144A) (Cat Bond)
  490,400 
 
  700,000(i)
 
Carnoustie Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/19/16     
  744,310 
 
  500,000(i)
 
Clarendon Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 6/15/16
  479,900 
 
  500,000(b)
 
Compass Re II, Ltd., 10.111%, 12/8/15 (144A) (Cat Bond)   
  476,200 
 
  250,000(b)
 
East Lane Re V, Ltd., 9.0%, 3/16/16 (144A) (Cat Bond)  
  252,150 
 
  913,500(i)
 
Exeter Segregated Account (Kane SAC, Ltd.), Variable Rate Notes,  1/7/16
  921,630 
 
  600,000(i)
 
Fairfield Segregated Account (Kane SAC, Ltd.), Variable Rate Notes,  2/2/16
  573,900 
 
  500,000(b)
 
Galileo Re, Ltd., 7.4%, 1/9/17 (144A) (Cat Bond)   
  503,300 
 
  750,000(i)
 
Gloucester Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 7/31/15
  750,000 
 
  1,300,000(i)
 
Gullane Segregated Account (Kane SAC, Ltd.), Variable Rate
Notes, 1/22/17
  1,366,040 
 
  630,750(i)
 
Hereford Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/12/16     
  638,382 
 
  750,000(b)
 
Kilimanjaro Re, Ltd., 4.75%, 4/30/18 (144A) (Cat Bond)  
  722,100 
 
  1,000,000(i)
 
Lahinch Segregated Account (Kane SAC, Ltd.), Variable Rate
Notes, 6/15/16
  974,900 
 
  760,000(i)
 
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rate Notes, 3/31/18
  774,288 
 
  622,533(i)
 
Muirfield Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/12/16     
  627,514 

 
 

 
Schedule of Investments  |  6/30/15 (unaudited)



 
Principal
Amount
USD ($)
   
Value
         
     
Reinsurance (continued)
 
 
  1,000,000(i)
 
Pangaea Re IX Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 7/1/18
$ 18,000 
 
  1,000,000(i)
 
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2015-1, Variable Rate Notes, 2/1/19
  1,058,100 
 
  1,000,000(i)
 
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2015-2, Variable Rate Notes, 11/30/19
  1,004,900 
 
  250,000(b)
 
Residential Reinsurance 2011, Ltd., 8.9%, 12/6/15 (144A)
(Cat Bond)  
  246,175 
 
  250,000(b)
 
Residential Reinsurance 2012, Ltd., 8.0%, 6/6/16 (144A)
(Cat Bond)  
  260,775 
 
  250,000(b)
 
Residential Reinsurance 2012, Ltd., 10.0%, 6/6/16 (144A)
(Cat Bond)  
  258,150 
 
  400,000(b)
 
Residential Reinsurance 2012, Ltd., 12.75%, 12/6/16 (144A)
(Cat Bond)  
  416,200 
 
  250,000(b)
 
Residential Reinsurance 2012, Ltd., 19.0%, 12/6/16 (144A)
(Cat Bond)  
  265,025 
 
  400,000(b)
 
Residential Reinsurance 2012, Ltd., 22.0%, 6/6/16 (144A)
(Cat Bond)  
  441,960 
 
  250,000(b)
 
Residential Reinsurance 2013, Ltd., 9.25%, 6/6/17 (144A)
(Cat Bond)  
  257,475 
 
  500,000(b)
 
Sanders Re, Ltd., 4.0%, 5/5/17 (144A) (Cat Bond)
  488,350 
 
  3,439(i)
 
Sector Re V, Ltd. (Swiss Re), Series 3, Class C, Variable Rate Notes, 12/1/17 (144A)
  24,776 
 
  1,463(i)
 
Sector Re V, Ltd. (Swiss Re), Series 4, Class A, Variable Rate Notes, 3/30/19 (144A)
  200,436 
 
  800,000(i)
 
Sector Re V, Ltd. (Swiss Re), Series 4, Class C, Variable Rate Notes, 12/1/19 (144A)
  843,440 
 
  850,000(i)
 
Sector Re V, Ltd. (Swiss Re), Series 5, Class A, Variable Rate Notes, 3/1/20 (144A)
  859,180 
 
  750,000(i)
 
Sector Re V, Ltd. (Swiss Re), Series 5, Class F, Variable Rate Notes, 3/1/20 (144A)
  754,200 
 
  800,000(i)
 
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/18/17 (144A)
  888,320 
 
  600,000(i)
 
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/16/16 (144A)
  23,400 
 
  500,000(i)
 
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/22/16    
  510,200 
 
  300,000(b)
 
Tar Heel Re, Ltd., 8.5%, 5/9/16 (144A) (Cat Bond)  
  305,190 
 
  642,367(i)
 
Troon Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/12/16     
  646,028 
 
  1,012,000(i)
 
Turnberry Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/15/16       
  1,021,311 
 
  1,250,000(i)
 
Versutus, Ltd. (MMC Securities), Series 2015-A, Variable Rate Notes, 12/31/2017
  1,309,750 
       
             $ 26,334,959 
     
Total Insurance 
             $ 42,813,549 
         
     
MATERIALS - 14.5%
 
     
Commodity Chemicals - 2.3%
 
 
  3,250,000(d)
 
Basell Finance Co. BV, 8.1%, 3/15/27 (144A)   
$ 4,293,338 
 
  3,625,000(d)
 
Rain CII Carbon LLC / CII Carbon Corp., 8.25%, 1/15/21 (144A)   
  3,525,312 
       
             $ 7,818,650 
     
Construction Materials - 0.2%
 
 
  595,000(d)
 
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)   
$ 597,975 
         
     
Diversified Chemicals - 0.6%
 
 
  2,010,000 
 
Evolution Escrow Issuer LLC, 7.5%, 3/15/22 (144A)   
$ 1,904,475 
         
     
Diversified Metals & Mining - 1.6%
 
 
  725,000 
 
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/1/22 (144A)   
$ 748,562 
 
  2,000,000(d)
 
Global Brass & Copper, Inc., 9.5%, 6/1/19     
  2,190,000 
 
  1,747,928 
 
Mirabela Nickel, Ltd., 9.5%, 6/24/19     
  1,241,029 
 
  1,410,000 
 
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)   
  1,297,200 
       
             $ 5,476,791 
     
Forest Products - 1.1%
 
 
  4,000,000(d)
 
Millar Western Forest Products, Ltd., 8.5%, 4/1/21     
$ 3,850,000 
         
     
Gold - 0.8%
 
 
  3,255,000(d)
 
IAMGOLD Corp., 6.75%, 10/1/20 (144A)   
$ 2,726,063 
         
     
Metal & Glass Containers - 0.8%
 
 
  1,633,288(e)
 
Ardagh Finance Holdings SA, 8.625% (8.625% PIK 0.0% cash), 6/15/19 (144A)   
$ 1,690,453 
 
  500,000 
 
Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II Is, 6.0%, 6/15/17 (144A)   
  500,000 
 
  445,000 
 
Coveris Holdings SA, 7.875%, 11/1/19 (144A)   
  442,775 
       
             $ 2,633,228 

 
Principal
Amount
USD ($)
   
Value
     
Metals & Mining - 0.2%
 
 
  815,000(d)
 
JMC Steel Group, Inc., 8.25%, 3/15/18 (144A)   
$ 745,725 
         
         
     
Paper Packaging - 1.9%
 
 
  485,000(d)
 
AEP Industries, Inc., 8.25%, 4/15/19     
$ 493,488 
 
  2,220,000(d)
 
Coveris Holding Corp., 10.0%, 6/1/18 (144A)   
  2,331,000 
EUR
  3,105,000 
 
SIG Combibloc Holdings SCA, 7.75%, 2/15/23 (144A)   
  3,601,204 
       
             $ 6,425,692 
     
Paper Products - 1.0%
 
 
  1,590,000(d)
 
Appvion, Inc., 9.0%, 6/1/20 (144A)   
$ 1,001,700 
 
  2,250,000 
 
Mercer International, Inc., 7.0%, 12/1/19     
  2,351,250 
       
             $ 3,352,950 
     
Specialty Chemicals - 1.3%
 
 
  945,000 
 
A Schulman, Inc., 6.875%, 6/1/23 (144A)   
$ 963,900 
 
  400,000 
 
Hexion US Finance Corp., 6.625%, 4/15/20     
  367,000 
 
  3,330,000 
 
Hexion US Finance Corp., 9.0%, 11/15/20     
  2,397,600 
 
  850,000 
 
Rentech Nitrogen Partners LP / Rentech Nitrogen Finance Corp., 6.5%, 4/15/21 (144A)   
  850,000 
       
             $ 4,578,500 
     
Steel - 2.7%
 
 
  1,125,000(d)
 
Cliffs Natural Resources, Inc., 8.25%, 3/31/20 (144A)   
$ 1,063,125 
 
  2,483,000 
 
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)   
  2,501,622 
 
  3,750,000(d)
 
Ryerson, Inc., 9.0%, 10/15/17     
  3,778,125 
 
  720,000 
 
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp., 7.375%, 2/1/20 (144A)   
  727,200 
 
  1,195,000 
 
United States Steel Corp., 7.5%, 3/15/22     
  1,227,863 
       
             $ 9,297,935 
     
Total Materials 
             $ 49,407,984 
         
     
MEDIA - 4.0%
 
     
Broadcasting - 0.2%
 
 
  1,000,000(d)
 
Intelsat Luxembourg SA, 7.75%, 6/1/21     
$ 835,000 
         
     
Movies & Entertainment - 3.1%
 
 
  2,765,000(d)
 
AMC Entertainment, Inc., 9.75%, 12/1/20     
$ 3,003,481 
 
  1,400,000(d)
 
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)   
  1,414,000 
 
  1,115,000 
 
Regal Entertainment Group, 5.75%, 2/1/25     
  1,088,519 
 
  1,890,000(d)
 
SFX Entertainment, Inc., 9.625%, 2/1/19 (144A)   
  1,658,475 
 
  3,575,000(d)
 
WMG Acquisition Corp., 6.75%, 4/15/22 (144A)   
  3,396,894 
       
             $ 10,561,369 
     
Publishing - 0.7%
 
 
  2,200,000(d)
 
MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A)   
$ 2,318,250 
         
     
Total Media 
             $ 13,714,619 
         
     
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 3.1%
 
     
Biotechnology - 1.6%
 
 
  1,400,000(d)
 
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)   
$ 1,477,000 
 
  4,104,000(d)
 
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17     
  4,214,808 
       
             $ 5,691,808 
     
Pharmaceuticals - 1.5%
 
 
  1,508,000(d)
 
DPx Holdings BV (FKA JLL/Delta Dutch Newco BV), 7.5%, 2/1/22 (144A)   
$ 1,572,090 
 
  1,490,000 
 
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 7/15/23 (144A)   
  1,523,525 
 
  1,900,000(d)
 
VRX Escrow Corp., 5.875%, 5/15/23 (144A)   
  1,947,500 
       
             $ 5,043,115 
     
Total Pharmaceuticals, Biotechnology & Life Sciences 
             $ 10,734,923 
         
     
REAL ESTATE - 1.1%
 
     
Diversified Real Estate Activities - 0.1%
 
 
  330,000 
 
Alam Synergy Pte, Ltd., 9.0%, 1/29/19 (144A)   
$ 341,550 
         
     
Specialized REITs - 1.0%
 
 
  3,480,000(d)
 
Communications Sales & Leasing, Inc., 8.25%, 10/15/23 (144A)   
$ 3,419,100 
         
     
Total Real Estate 
             $ 3,760,650 
         
     
RETAILING - 3.4%
 
     
Automotive Retail - 1.3%
 
 
  1,385,000 
 
Asbury Automotive Group, Inc., 6.0%, 12/15/24     
$ 1,440,400 
 
  3,260,000(d)
 
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A)   
  3,113,300 
       
             $ 4,553,700 
     
Computer & Electronics Retail - 0.9%
 
 
  3,305,000(d)
 
Rent-A-Center, Inc., 6.625%, 11/15/20     
$ 3,230,637 
         
     
Department Stores - 0.3%
 
 
  900,000(d)
 
Neiman Marcus Group, Ltd. LLC, 8.0%, 10/15/21 (144A)   
$ 947,250 

 
 

 
Schedule of Investments  |  6/30/15 (unaudited)



 
Principal
Amount
USD ($)
   
Value
         
     
Speciality Stores - 0.9%
 
 
  2,135,000 
 
Outerwall, Inc., 5.875%, 6/15/21     
$ 1,996,225 
 
  200,000 
 
Outerwall, Inc., 6.0%, 3/15/19     
  200,500 
 
  685,000 
 
Radio Systems Corp., 8.375%, 11/1/19 (144A)   
  726,100 
       
             $ 2,922,825 
     
Total Retailing 
             $ 11,654,412 
         
     
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.1%
 
     
Semiconductors - 1.1%
 
 
  995,000(d)
 
Advanced Micro Devices, Inc., 7.0%, 7/1/24     
$ 840,775 
 
  3,250,000(d)
 
Advanced Micro Devices, Inc., 7.5%, 8/15/22     
  2,868,125 
     
Total Semiconductors & Semiconductor Equipment 
             $ 3,708,900 
         
     
SOFTWARE & SERVICES - 1.9%
 
     
Application Software - 0.1%
 
 
  500,000 
 
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18     
$ 502,500 
         
     
Data Processing & Outsourced Services - 1.8%
 
 
  1,783,000(d)
 
First Data Corp., 8.25%, 1/15/21 (144A)   
$ 1,881,065 
 
  422,000 
 
First Data Corp., 10.625%, 6/15/21     
  467,365 
 
  1,783,000(d)
 
First Data Corp., 12.625%, 1/15/21     
  2,059,365 
 
  1,650,000(d)(e)
 
Igloo Holdings Corp., 8.25% (9.0% PIK 8.25% cash), 12/15/17 (144A)   
  1,670,625 
       
             $ 6,078,420 
     
Total Software & Services 
             $ 6,580,920 
         
     
TECHNOLOGY HARDWARE & EQUIPMENT - 1.2%
 
     
Communications Equipment - 0.9%
 
 
  2,400,000(d)(e)
 
CommScope Holding Co., Inc., 6.625% (7.375% PIK 6.625% cash), 6/1/20 (144A)   
$ 2,490,000 
 
  645,000(d)
 
CommScope Technologies Finance LLC, 6.0%, 6/15/25 (144A)   
  642,581 
       
             $ 3,132,581 
     
Electronic Equipment & Instruments - 0.3%
 
 
  745,000 
 
Zebra Technologies Corp., 7.25%, 10/15/22 (144A)   
$ 806,463 
         
     
Total Technology Hardware & Equipment 
             $ 3,939,044 
         
     
TELECOMMUNICATION SERVICES - 4.6%
 
     
Integrated Telecommunication Services - 3.0%
 
 
  2,000,000 
 
Frontier Communications Corp., 7.125%, 1/15/23     
$ 1,775,000 
 
  1,400,000(d)
 
Frontier Communications Corp., 7.625%, 4/15/24     
  1,235,500 
 
  1,975,000(d)
 
GCI, Inc., 6.75%, 6/1/21     
  1,999,688 
 
  1,725,000 
 
GCI, Inc., 6.875%, 4/15/25     
  1,742,250 
 
  4,200,000(d)
 
Windstream Corp., 7.5%, 6/1/22     
  3,690,750 
       
             $ 10,443,188 
     
Wireless Telecommunication Services - 1.6%
 
 
  1,085,000(d)
 
Altice Financing SA, 6.625%, 2/15/23 (144A)   
$ 1,077,188 
 
  300,000(d)
 
Altice Finco SA, 8.125%, 1/15/24 (144A)   
  303,000 
 
  1,580,000(d)
 
Sprint Corp., 7.125%, 6/15/24     
  1,465,608 
 
  2,150,000(d)
 
Sprint Corp., 7.25%, 9/15/21     
  2,096,250 
 
  400,000 
 
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)   
  399,364 
       
             $ 5,341,410 
     
Total Telecommunication Services 
             $ 15,784,598 
         
     
TRANSPORTATION - 3.9%
 
     
Air Freight & Logistics - 0.3%
 
 
  1,005,000(d)
 
XPO Logistics, Inc., 7.875%, 9/1/19 (144A)   
$ 1,073,943 
         
     
Airlines - 1.2%
 
 
  1,295,000 
 
Gol LuxCo SA, 8.875%, 1/24/22 (144A)   
$ 1,045,712 
 
  360,000 
 
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)   
  334,800 
 
  2,050,000 
 
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 8.25%, 7/15/17 (144A)   
  2,050,000 
 
  600,000(d)
 
United Continental Holdings, Inc., 6.375%, 6/1/18     
  625,500 
       
             $ 4,056,012 
     
Marine - 0.3%
 
 
  1,025,000 
 
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)   
$ 981,438 
         
     
Railroads - 0.7%
 
 
  871,934(e)
 
AAF Holdings LLC / AAF Finance Co., 12.0% (12.75% PIK 12.0% cash), 7/1/19 (144A)   
$ 861,035 
 
  1,520,000 
 
Florida East Coast Holdings Corp., 9.75%, 5/1/20 (144A)   
  1,440,200 
       
             $ 2,301,235 

 
 

 
Schedule of Investments  |  6/30/15 (unaudited)



 
Principal
Amount
USD ($)
   
Value
         
     
Trucking - 1.4%
 
 
  3,500,000(d)
 
Jack Cooper Holdings Corp., 10.25%, 6/1/20 (144A)   
$ 3,237,500 
 
  2,000,000 
 
Syncreon Group BV / Syncreon Global Finance US, Inc., 8.625%, 11/1/21 (144A)   
  1,515,000 
       
             $ 4,752,500 
         
     
Total Transportation 
             $ 13,165,128 
         
     
UTILITIES - 2.4%
 
     
Electric Utilities - 1.0%
 
 
  1,095,000 
 
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A)   
$ 1,147,012 
 
  1,010,000(a)(d)
 
Enel SpA, 8.75%, 9/24/73 (144A)   
  1,158,975 
 
  900,000 
 
PPL Energy Supply LLC, 6.5%, 6/1/25 (144A)   
  900,000 
       
             $ 3,205,987 
     
Independent Power Producers & Energy Traders - 0.8%
 
 
  2,675,000(d)
 
NRG Energy, Inc., 6.25%, 5/1/24     
$ 2,654,938 
         
     
Multi-Utilities - 0.6%
 
 
  2,135,574 
 
Ormat Funding Corp., 8.25%, 12/30/20     
$ 2,178,285 
         
     
Total Utilities 
             $ 8,039,210 
         
     
TOTAL CORPORATE BONDS & NOTES
 
     
(Cost  $394,481,302)
           $ 390,001,745 
         
     
CONVERTIBLE BONDS & NOTES - 5.1% of Net Assets
 
     
CAPITAL GOODS - 1.2%
 
     
Construction & Farm Machinery & Heavy Trucks - 1.2%
 
 
  2,625,000(d)
 
Meritor, Inc., 7.875%, 3/1/26     
$ 4,147,500 
         
     
Total Capital Goods 
             $ 4,147,500 
         
     
DIVERSIFIED FINANCIALS - 0.1%
 
     
Asset Management & Custody Banks - 0.1%
 
 
  400,000 
 
Apollo Investment Corp., 5.75%, 1/15/16     
$ 407,000 
         
     
Total Diversified Financials 
             $ 407,000 
         
     
ENERGY - 0.8%
 
     
Coal & Consumable Fuels - 0.2%
 
 
  1,905,000 
 
Massey Energy Co., 3.25%, 8/1/15     
$ 676,275 
         
     
Oil & Gas Drilling - 0.2%
 
 
  2,265,000(d)(g)
 
Hercules Offshore, Inc., 0.0%, 6/1/38     
$ 747,450 
         
     
Oil & Gas Exploration & Production - 0.4%
 
 
  1,340,000(d)
 
Chesapeake Energy Corp., 2.5%, 5/15/37     
$ 1,269,650 
         
     
Total Energy 
             $ 2,693,375 
         
     
HEALTH CARE EQUIPMENT & SERVICES - 1.5%
 
     
Health Care Equipment & Services - 1.4%
 
 
  2,837,000(d)(g)
 
Hologic, Inc., 2.0%, 12/15/37     
$ 4,748,429 
         
     
Health Care Services - 0.1%
 
 
  361,000 
 
Omnicare, Inc., 3.25%, 12/15/35     
$ 444,255 
         
     
Total Health Care Equipment & Services 
             $ 5,192,684 
         
     
MATERIALS - 1.1%
 
     
Diversified Chemicals - 1.1%
 
 
  4,000,000(j)
 
Hercules, Inc., 6.5%, 6/30/29     
$ 3,617,500 
         
     
Total Materials 
             $ 3,617,500 
         
     
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.4%
 
     
Biotechnology - 0.4%
 
 
  1,400,000 
 
Corsicanto, Ltd., 3.5%, 1/15/32     
$ 1,505,000 
         
     
Total Pharmaceuticals, Biotechnology & Life Sciences 
             $ 1,505,000 
         
     
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0%
 
     
Semiconductors - 0.0%
 
 
  166,380(e)
 
LDK Solar Co., Ltd., 5.535% (5.535% PIK 0.000% cash), 12/31/18
$ 33,276 
 
  42,000(c)
 
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13     
  30 
         
     
Total Semiconductors & Semiconductor Equipment 
              $ 33,306 
         
     
TOTAL CONVERTIBLE BONDS & NOTES
 
     
(Cost $14,894,443)
             $ 17,596,365 

 
 

 
Schedule of Investments  |  6/30/15 (unaudited)



 
Principal
Amount
USD ($)
   
Value
         
     
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS -  0.7% of Net Assets
 
 
  2,330,100(b)
 
U.S. Treasury Notes, 0.085%, 7/31/16     
$ 2,330,643 
         
     
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
 
     
(Cost  $2,330,547)
             $ 2,330,643 
         
     
SOVEREIGN DEBT OBLIGATIONS -  0.7% of Net Assets
 
         
     
Ecuador - 0.2%
 
 
  870,000 
 
Ecuador Government International Bond, 7.95%, 6/20/24 (144A) 
$ 776,475 
         
     
Russia - 0.5%
 
 
  1,450,000(g)
 
Russian Government International Bond, 7.5%, 3/31/30   
$ 1,698,657 
         
     
TOTAL SOVEREIGN DEBT OBLIGATIONS
 
     
(Cost  $1,919,237)
             $ 2,475,132 
         
     
TAX EXEMPT OBLIGATION -  1.0% of Net Assets (k)
 
     
New York - 1.0%
 
 
  3,475,000 
 
New York City Industrial Development Agency, British Airways Plc Project, 7.625%, 12/1/32   
$ 3,501,097 
         
     
TOTAL TAX EXEMPT OBLIGATION
 
     
(Cost $3,129,052)
             $ 3,501,097 
         
     
MUNICIPAL COLLATERALIZED DEBT OBLIGATION -  0.1% of Net Assets
 
 
  3,300,000(a)
 
Non-Profit Preferred Funding Trust I, Series E, 0.0%, 9/15/37 (144A) 
$ 205,062 
         
     
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
 
     
(Cost  $3,293,711)
             $ 205,062 
         
 
Shares
   
Value
         
     
COMMON STOCKS - 2.1% of Net Assets
 
     
CAPITAL GOODS - 0.2%
 
     
Building Products - 0.2%
 
 
  894(h)(l)
 
Panolam Holdings Co.
$ 657,984 
         
     
Industrial Machinery - 0.0%
 
 
  33,171(h)(l)
 
Liberty Tire Recycling LLC
$ 332 
         
     
Total Capital Goods 
             $ 658,316 
         
     
ENERGY - 0.2%
 
     
Oil & Gas Exploration & Production - 0.2%
 
 
  727,149(l)
 
Halcon Resources Corp.
$ 843,493 
         
     
Total Energy 
             $ 843,493 
         
     
INSURANCE - 0.0%
 
     
Insurance Brokers - 0.0%
 
GBP
  1,625(h)(l)
 
Towergate Finance Plc
$ 409 
         
     
Total Insurance 
                $ 409 
         
     
MATERIALS - 0.1%
 
     
Diversified Metals & Mining - 0.1%
 
 
  3,402 
 
Freeport-McMoRan, Inc.
$ 63,345 
AUD
  4,776,723(l)
 
Mirabela Nickel, Ltd.
  423,748 
       
             $ 487,093 
         
     
Total Materials 
             $ 487,093 
         
     
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.3%
 
     
Pharmaceuticals - 0.3%
 
 
  15,900 
 
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
$ 939,690 
         
     
Total Pharmaceuticals, Biotechnology & Life Sciences 
              $ 939,690 
         
     
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0%
 
     
Semiconductors - 0.0%
 
 
  11,342(l)
 
LDK Solar Co., Ltd. (A.D.R.)
$ 1,475 
         
     
Total Semiconductors & Semiconductor Equipment 
             $ 1,475 
         


 
Shares
   
Value
         
     
TRANSPORTATION - 1.3%
 
     
Air Freight & Logistics - 0.7%
 
 
  3,266(l)
 
CEVA Holdings LLC
$ 2,416,648 
         
     
Airlines - 0.6%
 
 
  45,044 
 
Delta Air Lines, Inc.
$ 1,850,407 
         
     
Total Transportation 
                             $ 4,267,055 
         
     
TOTAL COMMON STOCKS
 
     
(Cost  $6,642,558)
                             $ 7,197,531 
         
     
CONVERTIBLE PREFERRED STOCKS -  1.1% of Net Assets
 
     
DIVERSIFIED FINANCIALS - 0.6%
 
     
Other Diversified Financial Services - 0.6%
 
 
  1,880(f)
 
Bank of America Corp., 7.25% 
$ 2,090,560 
         
     
Total Diversified Financials 
                             $ 2,090,560 
         
     
ENERGY - 0.1%
 
     
Oil & Gas Exploration & Production - 0.1%
 
 
  1,100(f)
 
Halcon Resources Corp., 5.75% 
$ 236,775 
         
     
Total Energy 
             $ 236,775 
         
     
TELECOMMUNICATION SERVICES - 0.4%
 
     
Integrated Telecommunication Services - 0.4%
 
 
  15,000(l)
 
Frontier Communications Corp., 11.125%, 6/29/18
$ 1,498,500 
         
     
Total Telecommunication Services 
              $1498,500 
         
     
TOTAL CONVERTIBLE PREFERRED STOCKS
 
     
(Cost  $3,664,242)
            $ 3,825,835 
         
     
PREFERRED STOCKS - 2.8% of Net Assets
 
     
BANKS - 0.9%
 
     
Diversified Banks - 0.9%
 
 
  3,000(a)(f)
 
AgStar Financial Services ACA, 6.75% (144A)
$ 3,117,000 
         
     
Total Banks 
            $ 3,117,000 
         
     
DIVERSIFIED FINANCIALS - 1.2%
 
     
Consumer Finance - 0.2%
 
 
  750(f)
 
Ally Financial, Inc., 7.0% (144A)
$ 761,602 
         
     
Other Diversified Financial Services - 1.0%
 
 
  132,750(a) 
 
GMAC Capital Trust I, 8.125%, 2/15/40
$ 3,448,845 
         
     
Total Diversified Financials 
            $ 4,210,447 
         
     
INSURANCE - 0.7%
 
     
Insurance Brokers - 0.7%
 
GBP
  1,548,867(h)(l)
 
Towergate Finance Plc, Class B
$ 2,387,792 
         
     
Reinsurance - 0.0%†
 
 
  8,500(f)(i)
 
Lorenz Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes
             $ 21,250 
         
     
Total Insurance 
            $ 2,409,042 
         
     
TOTAL PREFERRED STOCKS
 
     
(Cost  $9,372,491)
            $ 9,736,489 
         
     
WARRANTS - 0.0%†
 
     
INSURANCE - 0.0%†
 
     
Insurance Brokers - 0.0%†
 
GBP
  466(h)(l)(m)
 
Towergate Finance Plc
$ – 
         
     
Total Insurance
                $ – 
         
     
TOTAL WARRANTS
 
     
(Cost $ –)
                $ – 
         
 
Principal
Amount
USD ($)
   
Value
         
     
TEMPORARY CASH INVESTMENTS - 0.2% of Net Assets
 
         
     
REPURCHASE AGREEMENT -  0.2%
 
 
  600,000 
 
Bank of Nova Scotia,0.14%, repurchase price of $600,000 plus accrued interest on 7/1/15 collateralized by the following (at market value): $610,000 Freddie Mac Giant, 3.0%-4.5%,7/1/30 -3/1/44 and $2,004 Federal National
Mortgage Association, 4.5%, 10/1/44.
$ 600,000 
         
     
TOTAL TEMPORARY CASH INVESTMENTS
 
     
(Cost $600,000)
             $ 600,000 
     
TOTAL INVESTMENTS IN SECURITIES - 137.5%
 
     
(Cost - $474,988,774) (n)(o)
          $  470,054,517 
     
OTHER ASSETS AND LIABILITIES - (37.5)%
          $ (128,214,220)
     
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
          $ 341,840,297 
 



 
 

 
Schedule of Investments  |  6/30/15 (unaudited)



REIT
 
Real Estate Investment Trust.
(144A)
 
Security is exempt from registration under Rule 144A of the Securities Act of 1933.  Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At June 30, 2015,
the value of these securities amounted to $200,724,475, or 58.7% of total net assets applicable to common shareowners.
(Cat Bond)
 
Catastrophe or Event linked bond. At June 30, 2015, the value of these secutities amounted to $7,028,775,
or 2.1% of total net assets applicable to common shareowners.
†             Amount rounds to less than 0.1%.
*
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at June 30, 2015.
(a)
The interest rate is subject to change periodically. The interest rate shown is the rate at June 30, 2015.
(b)
Floating rate note. The rate shown is the coupon rate at June 30, 2015.
(c)
Security is in default and is non income producing.
(d)
Denotes security pledged and segregated as collateral for the margin-loan financing agreement.
(e)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
(f)
Security is perpetual in nature and has no stated maturity date.
(g)
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at June 30, 2015.
(h)
Security is valued using fair value methods (other than prices supplied by independent pricing services).
(i)
Structured reinsurance investment. At June 30, 2015, the value of these securities amounted to $19,327,434, or 5.7% of total net assets applicable to common shareowners.
(j)
Security is priced as a unit.
(k)
Consists of Revenue Bonds unless otherwise indicated.
(l)
Non-income producing.
(m)
Towergate B Preferred warrants are exercisable into 136 Tig FinCo A shares.
 
 
(n)
At June 30, 2015, the net unrealized depreciation on investments based on cost for federal tax purposes of $476,396,148 was as follows:
   
 
Aggregate gross unrealized appreciation for all investments in which there
   
 
     is an excess of value over tax cost
 
$ 27,848,824 
 
Aggregate gross unrealized depreciation for all investments in which there
   
 
     is an excess of tax cost over value
 
  (34,190,455) 
   
 
Net unrealized depreciation
$ (6,341,631) 
     
For financial reporting purposes net unrealized depreciation on investments was $4,934,257 and cost of investments aggregated $474,988,774.

(o)
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
 
United States
77.8%
 
Luxembourg
4.3
 
Bermuda
3.8
 
Canada
3.8
 
Netherlands
2.6
 
United Kingdom
1.0
 
Other (individually less than 1%)
6.7
   
100.0%


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

Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
AUD
-
Australian Dollar
EUR
-
Euro
GBP
-
Great British Pound
 

CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION
  Notional
 
Obligation
 
Credit
Expiration
Premiums
Net Unrealized
  Principal ($) (1)
Counterparty
Entity/Index
Coupon
Rating (2)
Date
(Received)
Appreciation
  2,000,000 
JPMorgan Chase & Co.
Goodyear Tire & Rubber Co.
5.00% 
BB
12/20/17
$            (65,000)
$ 281,558 
   
(1)
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event.
(2)
Based on Standard & Poor's rating of the issuer.
 


 
 

 
Schedule of Investments  |  6/30/15 (unaudited)



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 or broker­­–dealers) as Level 3.
 

The following is a summary of the inputs used as of June 30, 2015, in valuing the Trust's investments.
 
 
Level 1
Level 2  
Level 3
Total
         
Asset Backed Securities
$ –
$2,918,812
$ –
$2,918,812
         
Collateralized Mortgage Obligations
3,974,447
3,974,447
         
Senior Secured Floating Rate Loan Interests
25,691,359
25,691,359
         
Corporate Bonds & Notes
   
   
 
   
         
Industrials
       
Industrial Machinery
772,590
772,590
Insurance
       
Property & Casualty
Insurance
6,965,175
2,073,165
9,038,340
Reinsurance
7,028,775
19,306,184
26,334,959
         
All Other Corporate Bonds & Notes
353,855,856
353,855,856
         
Convertible Bonds & Notes
17,596,365
17,596,365
         
U.S. Government and Agency Obligations
2,330,643
2,330,643
         
Sovereign Debt Obligations
2,475,132
2,475,132
         
Tax Exempt Obligation
3,501,097
3,501,097
         
Municipal Collateralized Debt Obligation
205,062
205,062
         
Common Stocks
       
         
Capital Goods
       
Building Products
657,984
657,984
Industrial Machinery
332
332
Insurance
       
Insurance Brokers
409
409
Transportation
       
Air Freight & Logistics
2,416,648
2,416,648
         
All Other Common Stocks
4,122,158
4,122,158
         
Convertible Preferred Stocks
       
         
Energy
       
Oil & Gas Exploration & Production
236,775
236,775
         
All Other Convertible Preferred Stocks
3,589,060
3,589,060
         
Preferred Stocks
       
         
Banks
       
Diversified Banks
3,117,000
3,117,000
Diversified Financials
       
Consumer Finance
761,602
761,602
Insurance
       
Insurance Brokers
2,387,792
2,387,792
Reinsurance
21,250
21,250
         
All Other Preferred Stocks
3,448,845
3,448,845
         
Warrants
       
Insurance
       
Insurance Brokers
–*
–*
         
Repurchase Agreement
600,000
600,000
Total Investments in Securities
$11,160,063
$433,674,748
$25,219,706
$470,054,517
Other Financial Instruments
       
Assets:
       
Unrealized appreciation on swap contracts
$ –
$281,558
$ –
$281,558
Total Other Financial Instruments
$ –
$281,558
$ –
$281,558
 
* Includes securities that are fair valued at $0.
 


 
 

 
Schedule of Investments  |  6/30/15 (unaudited)



The following is a summary of the fair valuation  of certain of the Trust's assets and liabilities as of June 30, 2015:
 
Level 1
Level 2
Level 3
Total
Assets:
       
Foreign currencies, at value
$ –
$2,135,276
$ –
$2,135,276
Liabilities:
       
Swap collateral
 –
(200,000)
 –
(200,000)
Outstanding borrowing
 –
(151,000,000)
 –
(151,000,000)
Total
$ –
$(149,064,724)
$ –
$(149,064,724)
         

The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
     
Change in
           
 
Balance
Realized
unrealized
   
Accrued
Transfers
Transfers
Balance
 
as of
gain
appreciation
   
discounts/
in to
out of
as of
 
3/31/15
(loss)
(depreciation)
Purchases
Sales
premiums
Level 3*
Level 3*
6/30/15
Corporate Bonds & Notes
                 
Diversified Financials
                 
Other Diversified Financial Services
$2,204,347
$ –
$ –
$ –
$(2,204,347)
$ –
$ –
$ –
$ –
Industrials
                 
Industrial Machinery
772,590
(3,375)
3,375
772,590
Insurance
                 
Property & Casualty Insurance
(131,182)
2,204,347
2,073,165
Reinsurance
14,993,846
(2,541)
(988,290)
6,112,031
(845,996)
37,134
19,306,184
Convertible Bonds & Notes
                 
Semiconductors & Semiconductor Equipment
                 
Semiconductors
28,675
4,481
120
(33,276)
Common Stocks
                 
Capital Goods
                 
Building Products
657,984
657,984
Industrial Machinery
332
332
Insurance
                 
Insurance Brokers
23
386
409
Preferred Stocks
                 
Insurance
                 
Insurance Brokers
87,725
2,300,067
2,387,792
Reinsurance
2,185,205
(1,048,050)
(1,115,905)
21,250
Warrants
                 
Insurance
                 
Insurance Brokers
–**
–**
Total
$20,814,304
$(2,541)
$(2,054,474)
$10,621,312
$(4,166,248)
$40,629
$ –
$(33,276)
$25,219,706
 
*Transfers are calculated on the beginning of period value. For the three months ended June 30, 2015 there were no transfers between
Levels 1, 2, and 3.
**Includes securities that are fair valued at $0.
 
Net change in unrealized depreciation of Level 3 investments still held and considered Level 3 at 06/30/15: $(108,926).
 
The following table presents additional information about valuation techniques and inputs used for investments categorized as Level 3 at June 30, 2015. These amounts exclude valuations provided by a broker.

 
Fair Value
Valuation
Unobservable
Value/
Asset Type
6/30/15
Technique (s)
Input
Range
Corporate Bonds & Notes
$2,845,755
Market
Comparables
EBITDA Multiples(1)
Yield Premium(2)
5.5x to 6.5x
1.05%
Common Stocks
$ 658,725
Market
Comparables
EBITDA
Multiples(1)
5.5x to 6.5x
1.05%
Preferred Stocks
$2,387,792
Market
Comparables
EBITDA
Multiples(1)
5.0x to 5.5x
Warrants
$ –
Enterprise Value
Residual Value
$0

(1)
An increase in this unobservable input would result in a higher fair value measurement, while a decrease would result in a lower fair value measurement.
(2)
An increase in this unobservable input would result in a lower fair value measurement, while a decrease would result in a higher fair value measurement.


ITEM 2. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. (b) Disclose any change in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. There were no significant changes in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below: CERTIFICATIONS I, [identify the certifying individual], certify that: 1. I have reviewed this report on Form N-Q of [identify registrant]; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and 5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. Date: [Signature] [Title] Filed herewith. <PAGE> SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Pioneer High Income Trust By (Signature and Title)* /s/ Lisa M.Jones ----------------------- Lisa M.Jones, President and Chief Executive Officer Date August 27, 2015 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Lisa M.Jones ----------------------- Lisa M.Jones, President and Chief Executive Officer Date August 27, 2015 By (Signature and Title)* /s/ Mark E. Bradley ----------------- Mark E. Bradley, Treasurer and Chief Accounting and Financial Officer Date August 27, 2015 * Print the name and title of each signing officer under his or her signature.