N-Q 1 phtnq.htm HIGH INCOME TRUST SOI 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:  December 31, 2015

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

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


<PAGE>
ITEM 1. Schedule of Investments.

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





   
Pioneer High
   
Income Trust
     
     
     
     
     
     
     
   
NQ | December 31, 2015
     
     
   
Ticker Symbol: PHT







 
Principal
Amount
USD ($)
   
Value
         
   
ASSET BACKED SECURITIES -  0.9% of Net Assets
   
   
BANKS - 0.0 %†
   
   
Thrifts & Mortgage Finance - 0.0%†
   
 
  136,562(a)
Security National Mortgage Loan Trust, Series 2007-1A, Class 1A3, 6.55%, 4/25/37 (144A)   
 
$ 136,890 
   
Total Banks 
 
                $ 136,890 
         
   
DIVERSIFIED FINANCIALS - 0.6%
   
   
Asset Management & Custody Banks - 0.4%
   
 
  974,000(b)
VOLT XXXVII LLC, Series 2015-NP11, Class A2, 4.375%, 7/25/45 (144A)   
 
$ 940,453 
   
Thrifts & Mortgage Finance - 0.2%
   
 
  660,000(a)
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)   
 
$ 624,407 
   
Total Diversified Financials 
 
                $ 1,564,860 
         
   
TRANSPORTATION - 0.3%
   
   
Airlines - 0.3%
   
 
  1,062,179(c)
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.811%, 5/15/24 (144A)   
 
$ 281,478 
 
  487,621(c)
Aviation Capital Group Trust, Series 2000-1A, Class A1, 1.311%, 11/15/25 (144A)   
 
  78,324 
 
  1,269,269(c)
Lease Investment Flight Trust, Series 1, Class A1, 0.721%, 7/15/31     
 
  470,423 
   
Total Transportation 
 
                $ 830,225 
         
   
TOTAL ASSET BACKED SECURITIES
   
   
(Cost  $3,670,776)
 
                $ 2,531,975 
   
COLLATERALIZED MORTGAGE OBLIGATIONS -  2.4% of Net Assets
   
   
BANKS - 1.1%
   
   
Thrifts & Mortgage Finance - 1.1%
   
 
  850,000(c)
BAMLL Commercial Mortgage Securities Trust, Series 2014-INLD, Class F, 2.725%, 12/15/29 (144A)   
 
$ 783,469 
 
  400,000(a)
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW16, Class B, 5.722%, 6/11/40 (144A)   
 
  398,517 
 
  185,003 
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)   
 
  182,043 
 
  250,000(a)
Springleaf Mortgage Loan Trust, Series 2013-1A, Class B1, 5.58%, 6/25/58 (144A)   
 
  250,481 
 
  498,000(a)
Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class AJ, 5.658%, 3/15/45     
 
  496,926 
 
  900,000(a)
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class AJ, 5.947%, 5/15/46     
 
  907,653 
   
Total Banks 
 
                $ 3,019,089 
         
   
DIVERSIFIED FINANCIALS - 1.3%
   
   
Thrifts & Mortgage Finance - 1.3%
   
 
  700,000(c)
CFCRE Mortgage Trust, Series 2015-RUM, Class E, 4.931%, 7/15/30 (144A)
 
$ 697,515 
 
  1,000,000(a)
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class E, 3.208%, 7/10/47 (144A)   
 
  640,933 
 
  500,000(a)
Commercial Mortgage Trust, Series 2007-C9, Class H, 5.796%, 12/10/49 (144A)   
 
  458,223 
 
  1,000,000(c)
CSMC Trust, Series 2015-SAND, Class F, 5.031%, 8/15/30 (144A)
 
  1,000,246 
 
  200,000 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45     
 
  191,895 
 
  650,000(a)
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ, 6.009%, 2/15/51     
 
  656,171 
   
Total Diversified Financials 
 
                $ 3,644,983 
         
   
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
   
   
(Cost  $6,715,791)
 
                $ 6,664,072 
   
SENIOR SECURED FLOATING RATE LOAN INTERESTS -  6.7% of Net Assets* (c)
   
   
CAPITAL GOODS - 0.1%
   
   
Industrial Conglomerates - 0.1%
   
 
  313,298 
Filtration Group Corp., Second Lien Initial Term Loan, 8.25%, 11/22/21   
 
$ 305,727 
   
Total Capital Goods 
 
                $ 305,727 
         
   
CONSUMER SERVICES - 1.0%
   
   
Education Services - 1.0%
   
 
  2,842,000 
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19   
 
$ 2,799,370 
   
Total Consumer Services 
 
                $ 2,799,370 
         
   
ENERGY - 0.3%
   
   
Coal & Consumable Fuels - 0.1%
   
 
  587,500 
PT Bumi Resources Tbk, Term Loan, 18.0%, 11/7/15   
 
$ 126,312 

 
Principal
Amount
USD ($)
   
Value
   
Oil & Gas Drilling - 0.2%
   
 
  1,050,500 
Jonah Energy LLC, Second Lien Initial Term Loan, 7.5%, 5/12/21   
 
$ 661,815 
   
Total Energy 
 
                $ 788,127 
         
   
HEALTH CARE EQUIPMENT & SERVICES - 0.8%
   
   
Health Care Equipment & Services - 0.4%
   
 
  1,140,000 
Concentra, Inc., Initial Term Loan, 9.0%, 6/1/23   
 
$ 1,117,884 
   
Health Care Technology - 0.4%
   
 
  1,172,576 
Medical Card System, Inc., Term Loan, 12.0%, 3/17/17   
 
$ 1,125,673 
   
Total Health Care Equipment & Services 
 
                $ 2,243,557 
         
   
INSURANCE - 0.7%
   
   
Property & Casualty Insurance - 0.7%
   
 
  1,885,452 
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19   
 
$ 1,864,241 
   
Total Insurance 
 
                $ 1,864,241 
         
   
MATERIALS - 0.1%
   
   
Diversified Metals & Mining - 0.1%
   
 
  189,033 
FMG Resources (August 2006) Pty, Ltd. (FMG America Finance, Inc.), Term Loan, 4.25%, 6/30/19   
 
$ 141,906 
 
  131,698(d)(e)
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.0%, 11/25/14   
 
  28,315 
   
Total Materials 
 
                $ 170,221 
         
   
MEDIA - 0.5%
   
   
Publishing - 0.5%
   
 
  1,195,425 
Cengage Learning Acquisitions, Inc., (fka TL Acquisitions, Inc.), Term Loan, 7.0%, 3/31/20
 
$ 1,162,551 
 
  298,535 
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19   
 
  292,743 
   
Total Media 
 
                $ 1,455,294 
         
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.4%
   
   
Biotechnology - 1.4%
   
 
  4,084,475 
Lantheus Medical Imaging, Inc., Term Loan, 7.0%, 6/30/22   
 
$ 3,757,717 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
 
                $ 3,757,717 
         
   
RETAILING - 0.9%
   
   
Automotive Retail - 0.6%
   
 
  1,526,250 
CWGS Group LLC, Term Loan, 5.25%, 2/20/20   
 
$ 1,516,711 
   
Computer & Electronics Retail - 0.3%
   
 
  1,166,090 
Targus Group International, Inc., Term Loan, 14.75%, 5/24/16   
 
$ 854,161 
   
Total Retailing 
 
                $ 2,370,872 
         
   
SOFTWARE & SERVICES - 0.9%
   
   
Application Software - 0.9%
   
 
  2,500,000 
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17   
 
$ 2,498,125 
   
Total Software & Services 
 
                $ 2,498,125 
         
   
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
   
   
(Cost  $19,772,726)
 
                $ 18,253,251 
   
CORPORATE BONDS & NOTES -  124.2% of Net Assets
   
   
AUTOMOBILES & COMPONENTS - 0.4%
   
   
Auto Parts & Equipment - 0.4%
   
 
  1,140,000(f)
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)   
 
$ 974,700 
   
Total Automobiles & Components 
 
                $ 974,700 
         
   
BANKS - 3.3%
   
   
Diversified Banks - 1.2%
   
 
  1,200,000(a)
Access Bank Plc, 9.25%, 6/24/21 (144A)   
 
$ 1,030,500 
 
  1,650,000(a)(f)(g)
Bank of America Corp., 6.25% 
 
  1,654,125 
 
  600,000(a)(f)(g)
Bank of America Corp., 6.5% 
 
  632,250 
       
                $ 3,316,875 
   
Thrifts & Mortgage Finance - 2.1%
   
 
  1,325,000(f)
Ocwen Financial Corp., 6.625%, 5/15/19     
 
$ 1,166,000 
 
  4,825,000(f)
Provident Funding Associates LP / PFG Finance Corp., 6.75%, 6/15/21 (144A)   
 
  4,668,187 
       
                $ 5,834,187 
   
Total Banks 
 
                $ 9,151,062 
         
   
CAPITAL GOODS - 9.0%
   
   
Aerospace & Defense - 2.4%
   
 
  2,200,000 
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)   
 
$ 2,227,500 
 
  500,000 
DigitalGlobe, Inc., 5.25%, 2/1/21 (144A)   
 
  420,000 
 
  3,084,000(f)
DynCorp International, Inc., 10.375%, 7/1/17     
 
  2,282,160 
 
  1,305,000(f)
LMI Aerospace, Inc., 7.375%, 7/15/19     
 
  1,291,950 
 
  525,000 
Triumph Group, Inc., 5.25%, 6/1/22     
 
  422,625 
       
                $ 6,644,235 
   
Agricultural & Farm Machinery - 0.5%
   
 
  1,890,000(f)
Titan International, Inc., 6.875%, 10/1/20     
 
$ 1,408,050 
   
Building Products - 0.1%
   
 
  400,000 
Griffon Corp., 5.25%, 3/1/22     
 
$ 381,500 
   
Construction & Engineering - 0.1%
   
 
  1,500,000(d)(f)
Abengoa Finance SAU, 8.875%, 11/1/17 (144A)   
 
$ 221,250 
         

 
Principal
Amount
USD ($)
   
Value
   
Construction Machinery & Heavy Trucks - 0.1%
   
 
  330,000 
Meritor, Inc., 6.25%, 2/15/24     
 
$ 282,150 
   
Electrical Components & Equipment - 0.6%
   
 
  2,000,000(f)
WireCo WorldGroup, Inc., 9.5%, 5/15/17     
 
$ 1,645,000 
   
Industrial Conglomerates - 0.8%
   
 
  253,000(f)
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)   
 
$ 184,690 
 
  1,070,000 
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)   
 
  1,118,150 
 
  810,000 
Waterjet Holdings, Inc., 7.625%, 2/1/20 (144A)   
 
  803,925 
       
                $ 2,106,765 
   
Industrial Machinery - 2.9%
   
 
  2,575,000 
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)   
 
$ 1,982,750 
 
  1,040,000(f)
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)   
 
  1,003,600 
 
  697,511(h)(i)
Liberty Tire Recycling LLC, 11.0% (11.0% PIK 0.0% cash), 3/31/21 (144A)   
 
  446,407 
 
  4,500,000(f)
Xerium Technologies, Inc., 8.875%, 6/15/18     
 
  4,410,563 
       
                $ 7,843,320 
   
Trading Companies & Distributors - 1.5%
   
 
  280,000 
Fly Leasing, Ltd., 6.375%, 10/15/21     
 
$ 278,600 
 
  2,580,000(f)
H&E Equipment Services, Inc., 7.0%, 9/1/22     
 
  2,528,400 
 
  1,250,000(f)
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19
 
  1,356,250 
       
                $ 4,163,250 
   
Total Capital Goods 
 
                $ 24,695,520 
         
   
COMMERCIAL & PROFESSIONAL SERVICES - 2.7%
   
   
Commercial Printing - 0.7%
   
 
  1,295,000(f)
Cenveo Corp., 6.0%, 8/1/19 (144A)   
 
$ 912,975 
 
  860,000 
Mustang Merger Corp., 8.5%, 8/15/21 (144A)   
 
  892,250 
       
                $ 1,805,225 
   
Diversified Support Services - 1.5%
   
 
  660,000 
Broadspectrum, Ltd., 8.375%, 5/15/20 (144A)   
 
$ 683,100 
 
  3,900,000(f)
NANA Development Corp., 9.5%, 3/15/19 (144A)   
 
  3,432,000 
       
                $ 4,115,100 
   
Environmental & Facilities Services - 0.5%
   
 
  1,370,000(f)
Safway Group Holding LLC / Safway Finance Corp., 7.0%, 5/15/18 (144A)   
 
$ 1,366,575 
   
Total Commercial & Professional Services 
 
                $ 7,286,900 
         
   
CONSUMER DURABLES & APPAREL - 5.7%
   
   
Homebuilding - 2.7%
   
 
  750,000(f)
Beazer Homes USA, Inc., 9.125%, 5/15/19     
 
$ 744,375 
 
  800,000(f)
Brookfield Residential Properties, Inc., 6.375%, 5/15/25 (144A)   
 
  744,000 
 
  1,500,000 
KB Home, 7.0%, 12/15/21     
 
  1,479,375 
 
  790,000 
KB Home, 7.5%, 9/15/22     
 
  786,050 
 
  1,035,000 
KB Home, 7.625%, 5/15/23     
 
  1,022,062 
 
  1,975,000(f)
Rialto Holdings LLC / Rialto Corp., 7.0%, 12/1/18 (144A)   
 
  2,004,625 
 
  565,000 
Taylor Morrison Communities, Inc. / Monarch Communities, Inc., 5.625%, 3/1/24 (144A)   
 
  542,400 
       
                $ 7,322,887 
   
Housewares & Specialties - 1.6%
   
 
  3,000,000(f)
Reynolds Group Issuer, Inc., 9.0%, 4/15/19     
 
$ 2,955,000 
 
  1,430,000(f)
Reynolds Group Issuer, Inc., 9.875%, 8/15/19     
 
  1,440,725 
       
                $ 4,395,725 
   
Leisure Products - 1.4%
   
 
  4,000,000 
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)   
 
$ 3,800,000 
   
Total Consumer Durables & Apparel 
 
                $ 15,518,612 
         
   
CONSUMER SERVICES - 4.8%
   
   
Casinos & Gaming - 2.3%
   
 
  686,250(d)(h)
Mashantucket Western Pequot Tribe, 6.5% (5.5% PIK 1.0% cash), 7/1/36     
 
$ 3,431 
 
  1,700,000(f)
MGM Resorts International, 6.0%, 3/15/23     
 
  1,687,250 
 
  1,225,000 
Scientific Games International, Inc., 6.25%, 9/1/20     
 
  575,750 
 
  3,000,000(f)
Scientific Games International, Inc., 6.625%, 5/15/21     
 
  1,410,000 
 
  3,800,000(f)
Scientific Games International, Inc., 10.0%, 12/1/22     
 
  2,698,000 
       
                $ 6,374,431 
   
Education Services - 0.2%
   
 
  555,000 
Cambium Learning Group, Inc., 9.75%, 2/15/17     
 
$ 559,163 
   
Hotels, Resorts & Cruise Lines - 0.2%
   
 
  565,000 
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)   
 
$ 463,300 
   
Restaurants - 0.6%
   
 
  2,000,000 
PF Chang's China Bistro, Inc., 10.25%, 6/30/20 (144A)   
 
$ 1,640,000 
   
Specialized Consumer Services - 1.5%
   
 
  3,254,000(f)
Constellis Holdings LLC / Constellis Finance Corp., 9.75%, 5/15/20 (144A)   
 
$ 2,668,280 
 
  1,400,000(f)
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21     
 
  1,442,000 
       
                $ 4,110,280 
   
Total Consumer Services 
 
                $ 13,147,174 
         

 
Principal
Amount
USD ($)
   
Value
   
DIVERSIFIED FINANCIALS - 3.0%
   
   
Consumer Finance - 1.1%
   
 
  675,000 
Ally Financial, Inc., 5.75%, 11/20/25     
 
$ 683,438 
 
  1,030,000(f)
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)   
 
  914,125 
 
  1,720,000(f)
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
 
  1,281,400 
       
                $ 2,878,963 
   
Diversified Capital Markets - 0.3%
   
 
  700,000(a)(f)(g)
Credit Suisse Group AG, 7.5% (144A)   
 
$ 734,882 
   
Investment Banking & Brokerage - 0.6%
   
 
  2,325,000(a)(f)(g)
Goldman Sachs Capital II, 4.0% 
 
$ 1,639,125 
   
Specialized Finance - 1.0%
   
 
  425,000 
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
 
$ 376,125 
 
  2,845,000(f)
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 6/1/22
 
  2,460,925 
       
                $ 2,837,050 
   
Total Diversified Financials 
 
                $ 8,090,020 
         
   
ENERGY - 15.0%
   
   
Coal & Consumable Fuels - 0.0%†
   
 
  2,125,000(d)
James River Coal Co., 7.875%, 4/1/19     
 
$ 18,594 
   
Integrated Oil & Gas - 0.3%
   
 
  1,214,000 
Energy XXI Gulf Coast, Inc., 6.875%, 3/15/24     
 
$ 133,540 
 
  750,000 
YPF SA, 8.875%, 12/19/18 (144A)   
 
  758,437 
       
                $ 891,977 
   
Oil & Gas Drilling - 0.9%
   
 
  2,500,000 
Ocean Rig UDW, Inc., 7.25%, 4/1/19 (144A)   
 
$ 1,075,000 
 
  1,800,000(f)
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)   
 
  1,305,000 
       
                $ 2,380,000 
   
Oil & Gas Equipment & Services - 0.8%
   
 
  1,020,000 
McDermott International, Inc., 8.0%, 5/1/21 (144A)   
 
$ 810,900 
 
  2,000,000 
Weatherford International LLC, 6.8%, 6/15/37     
 
  1,400,000 
       
                $ 2,210,900 
   
Oil & Gas Exploration & Production - 6.0%
   
 
  2,500,000(f)
Approach Resources, Inc., 7.0%, 6/15/21     
 
$ 887,500 
 
  4,332,000(f)
Comstock Resources, Inc., 7.75%, 4/1/19     
 
  649,800 
 
  3,825,000(f)
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20     
 
  2,438,438 
 
  95,000 
EP Energy LLC / Everest Acquisition Finance, Inc., 7.75%, 9/1/22
 
  48,450 
 
  1,295,000(f)
EPL Oil & Gas, Inc., 8.25%, 2/15/18     
 
  343,175 
 
  2,015,000(f)
Gulfport Energy Corp., 7.75%, 11/1/20     
 
  1,803,425 
 
  2,035,000(f)
Halcon Resources Corp., 12.0%, 2/15/22 (144A)   
 
  1,332,925 
 
  1,950,000 
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.625%, 12/1/21     
 
  409,500 
 
  800,000 
Linn Energy LLC / Linn Energy Finance Corp., 6.5%, 9/15/21     
 
  108,000 
 
  1,394,000(f)
Memorial Production Partners LP / Memorial Production Finance Corp., 6.875%, 8/1/22     
 
  418,200 
 
  2,000,000(f)
Midstates Petroleum Co., Inc., 9.25%, 6/1/21     
 
  230,000 
 
  1,050,000 
MIE Holdings Corp., 7.5%, 4/25/19 (144A)   
 
  441,231 
 
  590,000 
Parsley Energy LLC / Parsley Finance Corp., 7.5%, 2/15/22 (144A)
 
  563,450 
 
  2,485,000 
Penn Virginia Corp., 7.25%, 4/15/19     
 
  335,475 
 
  750,000 
Penn Virginia Corp., 8.5%, 5/1/20     
 
  118,125 
 
  2,750,000 
PetroQuest Energy, Inc., 10.0%, 9/1/17     
 
  1,842,500 
 
  3,380,000(d)
Quicksilver Resources, Inc., 7.125%, 4/1/16     
 
  6,388 
 
  900,000 
Rice Energy, Inc., 6.25%, 5/1/22     
 
  648,000 
 
  2,935,000(f)
Sanchez Energy Corp., 7.75%, 6/15/21     
 
  1,790,350 
 
  1,500,000(f)
Vanguard Natural Resources LLC / VNR Finance Corp., 7.875%, 4/1/20     
 
  397,500 
 
  950,000(f)
WPX Energy, Inc., 7.5%, 8/1/20     
 
  769,500 
 
  1,000,000(f)
WPX Energy, Inc., 8.25%, 8/1/23     
 
  800,000 
       
                $ 16,381,932 
   
Oil & Gas Refining & Marketing - 3.5%
   
 
  3,859,000 
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21     
 
$ 3,357,330 
 
  750,000(f)
Calumet Specialty Products Partners LP / Calumet Finance Corp., 7.75%, 4/15/23 (144A)   
 
  637,500 
 
  686,842(c)
EP PetroEcuador via Noble Sovereign Funding I, Ltd., 6.224%, 9/24/19     
 
  563,211 
 
  3,000,000(f)
Seven Generations Energy, Ltd., 8.25%, 5/15/20 (144A)   
 
  2,700,000 
 
  2,500,000(f)
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23 (144A)   
 
  2,350,000 
       
                $ 9,608,041 




 
Principal
Amount
USD ($)
   
Value
   
Oil & Gas Storage & Transportation - 3.5%
   
 
  598,000 
Archrock Partners LP / Archrock Partners Finance Corp., 6.0%, 4/1/21     
 
$ 491,855 
 
  1,050,000 
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.125%, 3/1/22     
 
  729,750 
 
  875,000(f)
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, 4/1/23 (144A)   
 
  610,312 
 
  1,524,000(c)(f)
Energy Transfer Partners LP, 3.346%, 11/1/66     
 
  960,120 
 
  350,000(a)(f)
Enterprise Products Operating LLC, 8.375%, 8/1/66     
 
  313,250 
 
  2,500,000 
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22
 
  2,125,000 
 
  1,410,000(f)
Global Partners LP / GLP Finance Corp., 6.25%, 7/15/22     
 
  1,128,000 
 
  1,100,000 
Global Partners LP / GLP Finance Corp., 7.0%, 6/15/23     
 
  902,000 
 
  385,000 
PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/23
 
  350,350 
 
  1,185,000 
Western Refining Logistics LP / WNRL Finance Corp., 7.5%, 2/15/23     
 
  1,131,675 
 
  1,575,000 
Williams Cos, Inc., 5.75%, 6/24/44     
 
  935,166 
       
                $ 9,677,478 
   
Total Energy 
 
                $ 41,168,922 
         
   
FOOD & STAPLES RETAILING - 0.8%
   
   
Food Retail - 0.8%
   
 
  950,000 
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A)   
 
$ 855,000 
 
  1,505,000(f)
Tops Holding LLC / Tops Markets II Corp., 8.0%, 6/15/22 (144A)   
 
  1,482,425 
   
Total Food & Staples Retailing 
 
                $ 2,337,425 
         
   
FOOD, BEVERAGE & TOBACCO - 9.0%
   
   
Agricultural Products - 1.2%
   
 
  2,100,000(f)
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)   
 
$ 1,974,000 
 
  1,215,000 
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)   
 
  1,050,975 
 
  575,000(d)
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)   
 
  287,500 
       
                $ 3,312,475 
   
Packaged Foods & Meats - 6.2%
   
 
  775,000 
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)   
 
$ 800,187 
 
  1,250,000(d)
CFG Investment SAC, 9.75%, 7/30/19 (144A)   
 
  587,500 
 
  318,000(f)
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21     
 
  333,105 
 
  3,500,000(f)
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)   
 
  3,640,000 
 
  1,240,000 
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)   
 
  1,106,700 
 
  1,000,000 
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)   
 
  960,000 
 
  1,200,000 
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)   
 
  1,146,000 
 
  3,400,000(f)
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)   
 
  3,196,000 
 
  400,000 
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)   
 
  404,000 
 
  2,000,000(f)
Post Holdings, Inc., 6.0%, 12/15/22 (144A)   
 
  1,960,000 
 
  2,100,000(f)
Post Holdings, Inc., 7.375%, 2/15/22     
 
  2,189,250 
 
  500,000 
Post Holdings, Inc., 8.0%, 7/15/25 (144A)   
 
  530,000 
       
                $ 16,852,742 
   
Soft Drinks - 0.6%
   
 
  1,625,000(f)
Cott Beverages, Inc., 5.375%, 7/1/22     
 
$ 1,592,500 
   
Tobacco - 1.0%
   
 
  3,835,000(f)
Alliance One International, Inc., 9.875%, 7/15/21     
 
$ 2,818,725 
   
Total Food, Beverage & Tobacco 
 
                $ 24,576,442 
         
   
HEALTH CARE EQUIPMENT & SERVICES - 5.5%
   
   
Health Care Facilities - 2.6%
   
 
  2,560,000(f)
CHS/Community Health Systems, Inc., 6.875%, 2/1/22     
 
$ 2,428,800 
 
  2,400,000(f)
Kindred Healthcare, Inc., 6.375%, 4/15/22     
 
  1,992,000 
 
  2,000,000(f)
Kindred Healthcare, Inc., 8.0%, 1/15/20     
 
  1,870,000 
 
  835,000(f)
Universal Hospital Services, Inc., 7.625%, 8/15/20     
 
  783,856 
       
                $ 7,074,656 
   
Health Care Services - 1.5%
   
 
  2,250,000(f)
BioScrip, Inc., 8.875%, 2/15/21     
 
$ 1,788,750 
 
  2,380,000(f)
Truven Health Analytics, Inc., 10.625%, 6/1/20     
 
  2,391,900 
       
                $ 4,180,650 
   
Health Care Supplies - 1.0%
   
 
  3,000,000(f)
Immucor, Inc., 11.125%, 8/15/19     
 
$ 2,730,000 
   
Health Care Technology - 0.4%
   
 
  900,000(f)
Emdeon, Inc., 11.0%, 12/31/19     
 
$ 938,250 
   
Total Health Care Equipment & Services 
 
                $ 14,923,556 
         
   
HOUSEHOLD & PERSONAL PRODUCTS - 2.1%
   
   
Household Products - 0.8%
   
 
  2,220,000 
Springs Industries, Inc., 6.25%, 6/1/21     
 
$ 2,197,800 
   
Personal Products - 1.3%
   
 
  1,745,000(f)
Albea Beauty Holdings SA, 8.375%, 11/1/19 (144A)   
 
$ 1,814,800 
         

 
Principal
Amount
USD ($)
   
Value
   
Personal Products - (continued)
   
 
  2,315,000(f)
Monitronics International, Inc., 9.125%, 4/1/20     
 
$ 1,834,637 
       
                $ 3,649,437 
   
Total Household & Personal Products 
 
                $ 5,847,237 
         
   
INSURANCE - 15.1%
   
   
Insurance Brokers - 0.4%
   
 
  1,000,000(f)
USI, Inc., 7.75%, 1/15/21 (144A)   
 
$ 960,000 
   
Multi-Line Insurance - 2.3%
   
 
  3,075,000(a)(f)
Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A)   
 
$ 4,581,750 
 
  1,100,000(f)
MetLife, Inc., 10.75%, 8/1/39     
 
  1,722,875 
       
                $ 6,304,625 
   
Property & Casualty Insurance - 3.3%
   
 
  3,000,000(b)(i)
Fixed Income Trust, Series 2013-A, 0.0%, 10/15/97 (144A)
 
$ 2,099,591 
 
  5,300,000(f)
Hanover Insurance Corp., 7.625%, 10/15/25     
 
  6,630,624 
 
  265,000(a)(f)(g)
White Mountains Insurance Group, Ltd., 7.506% (144A)   
 
  267,650 
       
                $ 8,997,865 
   
Reinsurance - 9.1%
   
 
  500,000(c)
Alamo Re, Ltd., 6.053%, 6/7/18 (144A) (Cat Bond) 
 
$ 512,050 
 
  875,402(j)
Altair Re II, Ltd. (Willis Securities, Inc.), Variable Rate Notes, 6/30/16     
 
  61,278 
 
  556,608(j)
Altair Re III, Ltd. (Willis Securities, Inc.), Variable Rate Notes, 6/30/17     
 
  660,248 
 
  500,000(j)
Arlington Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 8/31/16
 
  544,400 
 
  250,000(c)
Atlas Reinsurance VII, Ltd., 8.202%, 1/7/16 (144A) (Cat Bond) 
 
  249,850 
 
  500,000(c)
Blue Danube II, Ltd., 4.562%, 5/23/16 (144A) (Cat Bond) 
 
  498,650 
 
  500,000(c)
Caelus Re, Ltd., Series 2013-1, Class A, 5.403%, 3/7/16 (144A) (Cat Bond) 
 
  499,800 
 
  400,000(c)
Caelus Re, Ltd., Series 2013-2, Class A, 7.003%, 4/7/17 (144A) (Cat Bond) 
 
  409,080 
 
  700,000(j)
Carnoustie Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/19/16     
 
  814,450 
 
  500,000(j)
Clarendon Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 6/15/16
 
  499,800 
 
  250,000(c)
East Lane Re V, Ltd., 9.153%, 3/16/16 (144A) (Cat Bond) 
 
  252,900 
 
  913,500(j)
Exeter Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/7/16
 
  1,000,009 
 
  600,000(j)
Fairfield Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/2/16     
 
  600,000 
 
  500,000(c)
Galileo Re, Ltd., 7.553%, 1/9/17 (144A) (Cat Bond) 
 
  503,500 
 
  1,300,000(j)
Gullane Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/22/17     
 
  1,479,530 
 
  630,750(j)
Hereford Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/12/16     
 
  750,025 
 
  750,000(c)
Kilimanjaro Re, Ltd., 4.908%, 4/30/18 (144A) (Cat Bond) 
 
  745,425 
 
  250,000(c)
Kilimanjaro Re, Ltd., Series 2015-1, Class D, 9.408%, 12/6/19 (144A) (Cat Bond)
 
  250,975 
 
  250,000(c)
Kilimanjaro Re, Ltd., Series 2015-1, Class E, 6.908%, 12/6/19 (144A) (Cat Bond)
 
  250,375 
 
  1,000,000(j)
Lahinch Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 6/15/16     
 
  1,010,300 
 
  760,000(j)
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rate Notes, 3/31/18
 
  847,248 
 
  622,533(j)
Muirfield Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/12/16     
 
  699,977 
 
  1,000,000(j)
Pangaea Re IX Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 7/1/18     
 
  18,000 
 
  1,000,000(j)
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2015-1, Variable Rate Notes, 2/1/19
 
  1,163,100 
 
  1,000,000(j)
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2015-2, Variable Rate Notes, 11/30/19
 
  1,059,600 
 
  250,000(c)
Residential Reinsurance 2012, Ltd., 8.153%, 6/6/16 (144A)
(Cat Bond) 
 
  254,600 
 
  250,000(c)
Residential Reinsurance 2012, Ltd., 10.153%, 6/6/16 (144A)
(Cat Bond) 
 
  256,750 
 
  400,000(c)
Residential Reinsurance 2012, Ltd., 12.903%, 12/6/16 (144A) (Cat Bond) 
 
  417,320 
 
  250,000(c)
Residential Reinsurance 2012, Ltd., 19.153%, 12/6/16 (144A) (Cat Bond) 
 
  265,325 
 
  400,000(c)
Residential Reinsurance 2012, Ltd., 22.153%, 6/6/16 (144A)
(Cat Bond) 
 
  425,000 
 
  250,000(c)
Residential Reinsurance 2013, Ltd., 9.403%, 6/6/17 (144A)
(Cat Bond) 
 
  262,925 
 
  500,000(c)
Sanders Re, Ltd., Series 2013-1, Class B, 4.153%, 5/5/17 (144A) (Cat Bond) 
 
  498,550 

 
Principal
Amount
USD ($)
   
Value
   
Reinsurance - (continued)
   
 
  3,439(j)
Sector Re V, Ltd. (Swiss Re), Series 3, Class C, Variable Rate Notes, 12/1/17 (144A)   
 
$ 14,904 
 
  1,463(j)
Sector Re V, Ltd. (Swiss Re), Series 4, Class A, Variable Rate Notes, 3/30/19 (144A)   
 
  14,990 
 
  6,043(j)
Sector Re V, Ltd. (Swiss Re), Series 4, Class C, Variable Rate Notes, 12/1/19 (144A)   
 
  194,018 
 
  800,000(j)
Sector Re V, Ltd. (Swiss Re), Series 5, Class C, Variable Rate Notes, 12/1/20 (144A)   
 
  803,760 
 
  750,000(j)
Sector Re V, Ltd. (Swiss Re), Series 5, Class F, Variable Rate Notes, 3/1/20 (144A)   
 
  840,675 
 
  600,000(j)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/16/16 (144A)   
 
  5,640 
 
  800,000(j)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/18/17 (144A)   
 
  1,032,000 
 
  500,000(j)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/17/18
 
  500,000 
 
  500,000(j)
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/22/16       
 
  562,850 
 
  642,367(j)
Troon Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/12/16     
 
  699,987 
 
  1,012,000(j)
Turnberry Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/15/16    
 
  1,030,924 
 
  1,250,000(j)
Versutus, Ltd. (MMC Securities), Series 2015-A, Variable Rate Notes, 12/31/17       
 
  1,460,000 
       
                $ 24,920,788 
   
Total Insurance 
 
                $ 41,183,278 
         
   
MATERIALS - 15.2%
   
   
Aluminum - 0.4%
   
 
  1,120,000 
Novelis, Inc., 8.375%, 12/15/17     
 
$ 1,089,200 
   
Commodity Chemicals - 2.5%
   
 
  3,250,000(f)
Basell Finance Co., BV, 8.1%, 3/15/27 (144A)   
 
$ 4,052,181 
 
  3,625,000(f)
Rain CII Carbon LLC / CII Carbon Corp., 8.25%, 1/15/21 (144A)   
 
  2,827,500 
       
                $ 6,879,681 
   
Construction Materials - 0.2%
   
 
  595,000(f)
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)   
 
$ 526,575 
   
Diversified Chemicals - 0.7%
   
 
  210,000 
Blue Cube Spinco, Inc., 9.75%, 10/15/23 (144A)   
 
$ 226,537 
 
  210,000 
Blue Cube Spinco, Inc., 10.0%, 10/15/25 (144A)   
 
  231,000 
 
  2,010,000(f)
Evolution Escrow Issuer LLC, 7.5%, 3/15/22 (144A)   
 
  1,165,800 
 
  305,000 
Platform Specialty Products Corp., 10.375%, 5/1/21 (144A)   
 
  304,238 
       
                $ 1,927,575 
   
Diversified Metals & Mining - 1.8%
   
 
  725,000 
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/1/22 (144A)   
 
$ 663,375 
 
  2,000,000(f)
Global Brass & Copper, Inc., 9.5%, 6/1/19     
 
  2,120,000 
 
  1,747,928 
Mirabela Nickel, Ltd., 9.5%, 6/24/19     
 
  1,013,798 
 
  1,410,000 
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)   
 
  1,015,200 
       
                $ 4,812,373 
   
Forest Products - 0.8%
   
 
  4,000,000(f)
Millar Western Forest Products, Ltd., 8.5%, 4/1/21     
 
$ 2,060,000 
   
Gold - 0.7%
   
 
  3,255,000(f)
IAMGOLD Corp., 6.75%, 10/1/20 (144A)   
 
$ 2,050,650 
   
Metal & Glass Containers - 1.7%
   
 
  1,703,723(h)
Ardagh Finance Holdings SA, 8.625% (8.625% PIK 0.0% cash), 6/15/19 (144A)   
 
$ 1,679,223 
 
  500,000 
Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II Is, 6.0%, 6/15/17 (144A)   
 
  483,750 
 
  2,220,000(f)
Coveris Holding Corp., 10.0%, 6/1/18 (144A)   
 
  2,109,000 
 
  445,000 
Coveris Holdings SA, 7.875%, 11/1/19 (144A)   
 
  388,263 
       
                $ 4,660,236 
   
Paper Packaging - 1.4%
   
 
  485,000(f)
AEP Industries, Inc., 8.25%, 4/15/19     
 
$ 498,338 
EUR
  3,105,000 
SIG Combibloc Holdings SCA, 7.75%, 2/15/23 (144A)   
 
  3,514,532 
       
                $ 4,012,870 
   
Paper Products - 1.1%
   
 
  1,590,000(f)
Appvion, Inc., 9.0%, 6/1/20 (144A)   
 
$ 636,000 
 
  2,250,000 
Mercer International, Inc., 7.0%, 12/1/19     
 
  2,255,625 
       
                $ 2,891,625 
   
Specialty Chemicals - 1.2%
   
 
  945,000(f)
A Schulman, Inc., 6.875%, 6/1/23 (144A)   
 
$ 904,837 
 
  400,000 
Hexion US Finance Corp., 6.625%, 4/15/20     
 
  311,000 
 
  3,330,000 
Hexion US Finance Corp., 9.0%, 11/15/20     
 
  1,273,725 
 
  850,000 
Rentech Nitrogen Partners LP / Rentech Nitrogen Finance Corp., 6.5%, 4/15/21 (144A)   
 
  824,500 
       
                $ 3,314,062 
   
Steel - 2.7%
   
 
  1,125,000(f)
Cliffs Natural Resources, Inc., 8.25%, 3/31/20 (144A)   
 
$ 857,813 

 
Principal
Amount
USD ($)
   
Value
   
Steel - (continued)
   
 
  815,000(f)
JMC Steel Group, Inc., 8.25%, 3/15/18 (144A)   
 
$ 542,480 
 
  2,483,000 
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)   
 
  2,098,135 
 
  3,750,000(f)
Ryerson, Inc., 9.0%, 10/15/17     
 
  2,887,500 
 
  720,000 
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp., 7.375%, 2/1/20 (144A)   
 
  446,400 
 
  1,195,000 
United States Steel Corp., 7.5%, 3/15/22     
 
  585,550 
       
                $ 7,417,878 
   
Total Materials 
 
                $ 41,642,725 
         
   
MEDIA - 3.5%
   
   
Broadcasting - 0.2%
   
 
  1,000,000(f)
Intelsat Luxembourg SA, 7.75%, 6/1/21     
 
$ 467,500 
   
Movies & Entertainment - 2.2%
   
 
  1,400,000(f)
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)   
 
$ 812,000 
 
  1,115,000 
Regal Entertainment Group, 5.75%, 2/1/25     
 
  1,075,975 
 
  1,890,000(f)
SFX Entertainment, Inc., 9.625%, 2/1/19 (144A)   
 
  1,020,600 
 
  3,575,000(f)
WMG Acquisition Corp., 6.75%, 4/15/22 (144A)   
 
  3,092,375 
       
                $ 6,000,950 
   
Publishing - 1.1%
   
 
  2,950,000(f)
Trader Corp., 9.875%, 8/15/18 (144A)   
 
$ 3,068,000 
   
Total Media 
 
                $ 9,536,450 
         
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 3.1%
   
   
Biotechnology - 0.5%
   
 
  1,400,000(f)
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)   
 
$ 1,412,824 
   
Pharmaceuticals - 2.6%
   
 
  1,508,000(f)
DPx Holdings BV (FKA JLL / Delta Dutch Newco BV), 7.5%, 2/1/22 (144A)   
 
$ 1,470,300 
 
  1,490,000 
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 7/15/23 (144A)   
 
  1,482,550 
 
  780,000 
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 2/1/25 (144A)   
 
  768,300 
EUR
  575,000 
VRX Escrow Corp., 4.5%, 5/15/23     
 
  541,586 
 
  3,210,000(f)
VRX Escrow Corp., 5.875%, 5/15/23 (144A)   
 
  2,864,925 
       
                $ 7,127,661 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
 
                $ 8,540,485 
         
   
REAL ESTATE - 1.2%
   
   
Diversified Real Estate Activities - 0.1%
   
 
  330,000 
Alam Synergy Pte, Ltd., 9.0%, 1/29/19 (144A)   
 
$ 306,900 
   
Specialized REIT - 1.1%
   
 
  3,480,000(f)
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.25%, 10/15/23     
 
$ 2,940,600 
   
Total Real Estate 
 
                $ 3,247,500 
         
   
RETAILING - 4.2%
   
   
Automotive Retail - 1.6%
   
 
  1,385,000(f)
Asbury Automotive Group, Inc., 6.0%, 12/15/24     
 
$ 1,430,013 
 
  3,260,000(f)
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A)   
 
  2,901,400 
       
                $ 4,331,413 
   
Computer & Electronics Retail - 1.0%
   
 
  3,305,000(f)
Rent-A-Center, Inc., 6.625%, 11/15/20     
 
$ 2,800,987 
   
Department Stores - 0.6%
   
 
  935,000(f)
Argos Merger Sub, Inc., 7.125%, 3/15/23 (144A)   
 
$ 927,053 
 
  900,000(f)
Neiman Marcus Group, Ltd., LLC, 8.0%, 10/15/21 (144A)   
 
  666,000 
       
                $ 1,593,053 
   
Speciality Stores - 1.0%
   
 
  2,135,000 
Outerwall, Inc., 5.875%, 6/15/21     
 
$ 1,750,700 
 
  200,000 
Outerwall, Inc., 6.0%, 3/15/19     
 
  178,000 
 
  685,000 
Radio Systems Corp., 8.375%, 11/1/19 (144A)   
 
  710,687 
       
                $ 2,639,387 
   
Total Retailing 
 
                $ 11,364,840 
         
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.0%
   
   
Semiconductors - 1.0%
   
 
  995,000(f)
Advanced Micro Devices, Inc., 7.0%, 7/1/24     
 
$ 646,750 
 
  3,250,000(f)
Advanced Micro Devices, Inc., 7.5%, 8/15/22     
 
  2,210,000 
 
  4,604 
LDK Solar Co., Ltd., 5.535%, 12/31/18     
 
  691 
   
Total Semiconductors & Semiconductor Equipment 
 
                $ 2,857,441 
         
   
SOFTWARE & SERVICES - 1.7%
   
   
Data Processing & Outsourced Services - 0.9%
   
 
  805,000 
First Data Corp., 7.0%, 12/1/23 (144A)   
 
$ 805,000 
 
  1,650,000(f)(h)
Igloo Holdings Corp., 8.25% (9.0% PIK 8.25% cash), 12/15/17 (144A)   
 
  1,650,000 
       
                $ 2,455,000 
   
Internet Software & Services - 0.8%
   
 
  755,000 
Bankrate, Inc., 6.125%, 8/15/18 (144A)   
 
$ 762,550 

 
Principal
Amount
USD ($)
   
Value
   
Internet Software & Services - (continued)
   
 
  1,500,000 
Cimpress NV, 7.0%, 4/1/22 (144A)   
 
$ 1,440,000 
       
                $ 2,202,550 
   
Total Software & Services 
 
                $ 4,657,550 
         
   
TECHNOLOGY HARDWARE & EQUIPMENT - 1.4%
   
   
Communications Equipment - 1.1%
   
 
  2,400,000(f)(h)
CommScope Holding Co., Inc., 6.625% (7.375% PIK 6.625% cash), 6/1/20 (144A)   
 
$ 2,427,000 
 
  645,000(f)
CommScope Technologies Finance LLC, 6.0%, 6/15/25 (144A)   
 
  620,813 
       
                $ 3,047,813 
   
Electronic Equipment & Instruments - 0.3%
   
 
  745,000(f)
Zebra Technologies Corp., 7.25%, 10/15/22     
 
$ 778,525 
   
Total Technology Hardware & Equipment 
 
                $ 3,826,338 
         
   
TELECOMMUNICATION SERVICES - 7.5%
   
   
Integrated Telecommunication Services - 5.5%
   
 
  3,500,000 
CenturyLink, Inc., 5.625%, 4/1/25     
 
$ 2,957,500 
 
  2,890,000 
Frontier Communications Corp., 7.125%, 1/15/23     
 
  2,492,625 
 
  1,400,000(f)
Frontier Communications Corp., 7.625%, 4/15/24     
 
  1,176,000 
 
  1,330,000(f)
Frontier Communications Corp., 11.0%, 9/15/25 (144A)   
 
  1,316,700 
 
  1,975,000(f)
GCI, Inc., 6.75%, 6/1/21     
 
  2,004,625 
 
  1,725,000(f)
GCI, Inc., 6.875%, 4/15/25     
 
  1,763,812 
 
  4,200,000(f)
Windstream Corp., 7.5%, 6/1/22     
 
  3,223,500 
       
                                   $ 14,934,762 
   
Wireless Telecommunication Services - 2.0%
   
 
  1,085,000(f)
Altice Financing SA, 6.625%, 2/15/23 (144A)   
 
$ 1,071,438 
 
  300,000(f)
Altice Finco SA, 8.125%, 1/15/24 (144A)   
 
  290,250 
 
  3,080,000(f)
Sprint Corp., 7.125%, 6/15/24     
 
  2,221,450 
 
  2,150,000(f)
Sprint Corp., 7.25%, 9/15/21     
 
  1,622,605 
 
  400,000 
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)   
 
  393,716 
       
                $ 5,599,459 
   
Total Telecommunication Services 
 
                                   $ 20,534,221 
         
   
TRANSPORTATION - 4.4%
   
   
Air Freight & Logistics - 0.4%
   
 
  1,005,000(f)
XPO Logistics, Inc., 7.875%, 9/1/19 (144A)   
 
$ 1,021,854 
   
Airlines - 1.2%
   
 
  1,295,000 
Gol LuxCo SA, 8.875%, 1/24/22 (144A)   
 
$ 556,850 
 
  360,000 
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)   
 
  295,200 
 
  2,050,000 
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 8.25%, 7/15/17 (144A)   
 
  1,896,250 
 
  600,000(f)
United Continental Holdings, Inc., 6.375%, 6/1/18     
 
  624,372 
       
                $ 3,372,672 
   
Marine - 0.3%
   
 
  1,025,000 
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)   
 
$ 671,375 
   
Railroads - 0.7%
   
 
  899,726(h)
AAF Holdings LLC / AAF Finance Co., 12.0% (12.75% PIK 12.0% cash), 7/1/19 (144A)   
 
$ 850,241 
 
  1,520,000 
Florida East Coast Holdings Corp., 9.75%, 5/1/20 (144A)   
 
  1,033,600 
       
                $ 1,883,841 
   
Trucking - 1.8%
   
 
  4,175,000(f)
Jack Cooper Holdings Corp., 10.25%, 6/1/20 (144A)   
 
$ 3,465,250 
 
  2,000,000 
Syncreon Group BV / Syncreon Global Finance US, Inc., 8.625%, 11/1/21 (144A)   
 
  1,570,000 
       
                $ 5,035,250 
   
Total Transportation 
 
              $ 11,984,992 
         
   
UTILITIES - 4.6%
   
   
Electric Utilities - 1.2%
   
 
  1,340,000 
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A)   
 
$ 1,273,000 
 
  1,010,000(a)(f)
Enel SpA, 8.75%, 9/24/73 (144A)   
 
  1,150,137 
 
  1,540,000 
PPL Energy Supply LLC, 6.5%, 6/1/25 (144A)   
 
  1,016,400 
       
                $ 3,439,537 
   
Independent Power Producers & Energy Traders - 2.7%
   
 
  3,200,000(f)
NRG Energy, Inc., 6.25%, 5/1/24     
 
$ 2,688,640 
 
  2,430,000(f)
TerraForm Global Operating LLC, 9.75%, 8/15/22 (144A)   
 
  1,937,925 
 
  660,000 
TerraForm Power Operating LLC, 5.875%, 2/1/23 (144A)   
 
  546,150 
 
  2,620,000 
TerraForm Power Operating LLC, 6.125%, 6/15/25 (144A)   
 
  2,109,100 
       
                $ 7,281,815 
   
Multi-Utilities - 0.7%
   
 
  1,919,824 
Ormat Funding Corp., 8.25%, 12/30/20     
 
$ 1,919,824 
   
Total Utilities 
 
              $ 12,641,176 
         
   
TOTAL CORPORATE BONDS & NOTES
   
   
(Cost  $395,732,450)
 
              $ 339,734,566 

 
Principal
Amount
USD ($)
   
Value
   
CONVERTIBLE BONDS & NOTES - 5.0% of Net Assets
   
   
CAPITAL GOODS - 1.1%
   
   
Construction Machinery & Heavy Trucks - 1.1%
   
 
  2,625,000(f)
Meritor, Inc., 7.875%, 3/1/26     
 
$ 3,130,313 
   
Total Capital Goods 
 
                $ 3,130,313 
         
   
DIVERSIFIED FINANCIALS - 0.1%
   
   
Asset Management & Custody Banks - 0.1%
   
 
  400,000 
Apollo Investment Corp., 5.75%, 1/15/16     
 
$ 399,000 
   
Total Diversified Financials 
 
                $ 399,000 
         
   
ENERGY - 0.3%
   
   
Coal & Consumable Fuels - 0.0%†
   
 
  1,905,000(d)
Massey Energy Co., 3.25%, 8/1/16
 
$ 76,200 
   
Oil & Gas Exploration & Production - 0.3%
   
 
  1,340,000(f)
Chesapeake Energy Corp., 2.5%, 5/15/37     
 
$ 629,800 
   
Total Energy 
 
                $ 706,000 
         
   
HEALTH CARE EQUIPMENT & SERVICES - 1.7%
   
   
Health Care Equipment - 1.7%
   
 
  2,837,000(b)(f)
Hologic, Inc., 2.0%, 12/15/37     
 
$ 4,801,622 
   
Total Health Care Equipment & Services 
 
                $ 4,801,622 
         
   
MATERIALS - 1.3%
   
   
Diversified Chemicals - 1.3%
   
 
  4,000,000(k)
Hercules, Inc., 6.5%, 6/30/29     
 
$ 3,520,000 
   
Total Materials 
 
                $ 3,520,000 
         
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.5%
   
   
Biotechnology - 0.5%
   
 
  1,400,000 
Corsicanto, Ltd., 3.5%, 1/15/32     
 
$ 1,267,000 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
 
                $ 1,267,000 
         
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0%†
   
   
Semiconductors - 0.0%†
   
 
  166,380(h)
LDK Solar Co., Ltd., 5.535% (5.535% PIK 0.000% cash), 12/31/18
 
$ 24,957 
 
  42,000(d)(e)
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13     
 
  206 
   
Total Semiconductors & Semiconductor Equipment 
 
                $ 25,163 
         
   
TOTAL CONVERTIBLE BONDS & NOTES
   
   
(Cost  $12,423,507)
 
              $ 13,849,098 
   
SOVEREIGN DEBT OBLIGATION -  0.6% of Net Assets
   
   
Russia - 0.6%
   
 
  1,380,400(b)
Russian Government International Bond, 7.5%, 3/31/30   
 
$ 1,653,838 
   
TOTAL SOVEREIGN DEBT OBLIGATION
   
   
(Cost  $1,004,163)
 
                $ 1,653,838 
         
   
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) 
 
$ 181,533 
   
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
   
   
(Cost  $3,293,852)
 
                $ 181,533 
 
Shares
     
         
   
COMMON STOCKS -  0.8% of Net Assets
   
   
CAPITAL GOODS - 0.3%
   
   
Building Products - 0.3%
   
 
  894(e)(i)
Panolam Holdings Co.
 
$ 742,020 
   
Industrial Machinery - 0.0%†
   
 
  33,171(e)(i)
Liberty Tire Recycling LLC
 
$ 332 
   
Total Capital Goods 
 
                $ 742,352 
         
   
INSURANCE - 0.0%†
   
   
Insurance Brokers - 0.0%†
   
GBP
  1,625(e)(i)
Towergate Finance Plc
 
$ 383 
   
Total Insurance 
 
                $ 383 
         
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0%†
   
   
Semiconductors - 0.0%†
   
 
  11,342(e)
LDK Solar Co., Ltd. (A.D.R.)
 
$ 635 
   
Total Semiconductors & Semiconductor Equipment 
 
                $ 635 
         
   
TRANSPORTATION - 0.5%
   
   
Air Freight & Logistics - 0.5%
   
 
  3,266(e)
CEVA Holdings LLC
 
$ 1,469,583 
   
Total Transportation 
 
                $ 1,469,583 
         
   
TOTAL COMMON STOCKS
   
   
(Cost  $3,603,424)
 
                $ 2,212,953 
         
         

 
Shares
   
Value
   
CONVERTIBLE PREFERRED STOCKS -  1.2% of Net Assets
   
   
DIVERSIFIED FINANCIALS - 0.8%
   
   
Other Diversified Financial Services - 0.8%
   
 
  1,880(g)
Bank of America Corp., 7.25% 
 
$ 2,055,348 
   
Total Diversified Financials 
 
                $ 2,055,348 
         
   
ENERGY - 0.0%†
   
   
Oil & Gas Exploration & Production - 0.0%†
   
 
  1,100(g)
Halcon Resources Corp., 5.75% 
 
$ 45,650 
   
Total Energy 
 
                $ 45,650 
         
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.4%
   
   
Pharmaceuticals - 0.4%
   
 
  1,000 
Teva Pharmaceutical Industries, Ltd., 7.0%, 12/15/18
 
$ 1,017,358 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
 
                $ 1,017,358 
         
   
TOTAL CONVERTIBLE PREFERRED STOCKS
   
   
(Cost  $3,164,242)
 
                $ 3,118,356 
         
   
PREFERRED STOCKS -  3.2% of Net Assets
   
   
BANKS - 1.2%
   
   
Diversified Banks - 1.2%
   
 
  3,000(a)(g)
AgStar Financial Services ACA, 6.75% (144A)
 
$ 3,197,625 
   
Total Banks 
 
                $ 3,197,625 
         
   
DIVERSIFIED FINANCIALS - 1.2%
   
   
Other Diversified Financial Services - 1.2%
   
 
  132,750(a)
GMAC Capital Trust I, 8.125%, 2/15/40
 
$ 3,366,540 
   
Total Diversified Financials 
 
                $ 3,366,540 
         
   
INSURANCE - 0.8%
   
   
Insurance Brokers - 0.8%
   
GBP
  1,548,867(e)(i)
Towergate Finance Plc, Class B
 
$ 2,236,762 
   
Reinsurance - 0.0%†
   
 
  8,500(e)(j)
Lorenz Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes
 
$ 21,250 
   
Total Insurance 
 
                $ 2,258,012 
         
   
TOTAL PREFERRED STOCKS
   
   
(Cost  $8,622,492)
 
                $ 8,822,177 
 
Principal
Amount
USD ($)
     
   
TEMPORARY CASH INVESTMENTS - 0.3% of Net Assets
   
         
   
REPURCHASE AGREEMENT -  0.3%
   
 
  800,000 
Bank of Nova Scotia, 0.33%, dated 12/31/15 plus accrued interest on 1/4/16  collateralized by the following: $813,986 Federal National Mortgage Association (ARM), 2.737%-3.293%, 4/1/41-11/1/41, $2,044 Government National Mortgage Association, 4.00%, 5/15/45
 
$ 800,000 
   
TOTAL TEMPORARY CASH INVESTMENTS
   
   
(Cost  $800,000)
 
                $ 800,000 
   
TOTAL INVESTMENTS IN SECURITIES - 145.4%
   
   
(Cost - $458,803,423) (l)(m)
 
              $ 397,821,819 
   
OTHER ASSETS AND LIABILITIES - (45.4)%
 
              $ (124,291,250)
   
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS - 100.0%
 
             $ 273,530,569 
 

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 December 31, 2015, the value of these securities amounted to $177,984,305, or 65.1% of total net assets applicable to common shareowners.
   
(Cat Bond)
Catastrophe or Event-linked bond. At December 31, 2015, the value of these securities amounted to $6,553,075, or 2.4% 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 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 December 31, 2015.
   
(a)
The interest rate is subject to change periodically. The interest rate shown is the rate at December 31, 2015.
   
(b)
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, 2015.
   
(c)
Floating rate note. The rate shown is the coupon rate at December 31, 2015.
   
(d)
Security is in default.
   
(e)
Non-income producing.
   
(f)
Denotes securities pledged and segregated as collateral for the margin-loan financing agreement.
   
(g)
Security is perpetual in nature and has no stated maturity date.
   
(h)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
   
(i)
Security is valued using fair value methods (other than prices supplied by independent pricing services).
   
(j)
Structured reinsurance investment. At December 31, 2015, the value of these securities amounted to $18,388,963, or 6.7% of total net assets applicable to common shareowners.
   
(k)
Security is priced as a unit.
 
 
(l)
At December 31, 2015, the net unrealized depreciation on investments based on cost for federal tax purposes of $460,210,797 was as follows:
   
 
Aggregate gross unrealized appreciation for all investments in which there
   
 
is an excess of value over tax cost
 
$16,795,390 
 
Aggregate gross unrealized depreciation for all investments in which there
   
 
is an excess of tax cost over value
 
(79,184,368)
   
 
Net unrealized depreciation
$(62,388,978)
     
For financial reporting purposes net unrealized depreciation on investments was $60,981,604 and cost of investments aggregated $458,803,423.
 

(m)
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
 
 
United States
76.2%
 
Canada
4.4   
 
Bermuda
4.3   
 
Luxembourg
4.0   
 
Netherlands
3.0   
 
Ireland
1.0   
 
Other (individually less than 1%)
7.1   
   
100.0%

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

Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
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
 
JP Morgan Chase & Co.
Goodyear Tire & Rubber Co.
5.00% 
BB
12/20/17
$ (65,000)
$ 247,489 
   
(1)
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event.
(2)
Based on Standard & Poor's rating of the issuer or weighted average of all the underlying securities of the index.
 

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS
       
Annual
   
Net
Notional
 
Pay/
Floating
Fixed
Expiration
Premiums
Unrealized
Principal ($)
Exchange
Receive
Rate
Rating
Date
Paid
Appreciation
22,500,000
Chicago Mercantile Exchange
Receive
LIBOR USD
3 Month
1.593%
11/9/20
$ 101 
$ 69,624 

Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
 
     Level 1 - quoted prices in active markets for identical securities.
     Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment
                    speeds, credit risks, etc.).
     Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).

The following is a summary of the inputs used as of December 31, 2015, in valuing the Trust's investments.

   
Level 1
   
Level 2
   
Level 3
   
Total
 
   
Asset Backed Securities
  $     $ 2,531,975     $     $ 2,531,975  
Collateralized Mortgage
Obligations
          6,664,072             6,664,072  
Senior Secured Floating
Rate Loan Interests
          18,253,251             18,253,251  
Corporate Bonds & Notes
                               
Capital Goods
                               
Industrial Machinery
          7,396,913       446,407       7,843,320  
Insurance
                               
Property & Casualty
Insurance
          6,898,274       2,099,591       8,997,865  
Reinsurance
          6,553,075       18,367,713       24,920,788  
All Other Corporate Bonds
& Notes
          297,972,593             297,972,593  
Convertible Bonds & Notes
          13,849,098             13,849,098  
Sovereign Debt Obligation
          1,653,838             1,653,838  
Municipal Collateralized
Debt Obligation
          181,533             181,533  
Common Stocks
                               
Capital Goods
                               
Building Products
                742,020       742,020  
Industrial Machinery
                332       332  
Insurance
                               
Insurance Brokers
                383       383  
Transportation
                               
Air Freight & Logistics
          1,469,583             1,469,583  
All Other Common Stocks
    635                   635  
   
Level 1
   
Level 2
   
Level 3
   
Total
 
   
Convertible Preferred Stocks
                               
Energy
                               
Oil & Gas Exploration
& Production
  $     $ 45,650     $     $ 45,650  
All Other Convertible
Preferred Stocks
    3,072,706                   3,072,706  
Preferred Stocks
                               
Banks
                               
Diversified Banks
          3,197,625             3,197,625  
Insurance
                               
Insurance Brokers
                2,236,762       2,236,762  
Reinsurance
                21,250       21,250  
All Other Preferred Stocks
    3,366,540                   3,366,540  
Repurchase Agreement
          800,000             800,000  
Total Investments in
Securities
  $ 6,439,881     $ 367,467,480     $ 23,914,458     $ 397,821,819  
Other Financial Instruments
                               
Assets:
                               
Unrealized appreciation on Credit
Default Swaps
  $     $ 247,489     $     $ 247,489  
Unrealized appreciation on Interest
Rate Swaps
          69,624             69,624  
Total Other Financial
Instruments
  $     $ 317,113     $     $ 317,113  

The following is a summary of the fair valuation  of certain of the Trust's assets and liabilities as of December 31, 2015:
 
 
Level 1  
Level 2
Level 3
Total
Liabilities:
 
Overdraft due to custodian
$ –
$ (143)
$ –
$ (143)
Swap collateral
 –
(200,000)
 –
(200,000)
Outstanding borrowings
 –
(136,000,000)
 –
(136,000,000)
Total
$ –
$(136,200,143)
$ –
$(136,200,143)
           

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*
   
12/31/15
 
Corporate Bonds
& Notes
                                                     
Capital Goods
                                                     
Industrial
Machinery
  $ 772,590     $ 15,368     $ (197,606 )   $ 32,511     $ (184,000 )   $ 7,544     $     $     $ 446,407  
Diversified
Financials
                                                                       
Other
Diversified
Financial
Services
    2,204,347                         (2,204,347 )                        
Insurance
                                                                       
Property
& Casualty
Insurance
                (104,756 )     2,204,347                               2,099,591  
Reinsurance
    14,993,846       (88,657 )     1,240,614       6,562,031       (4,432,550 )     92,429                   18,367,713  
Convertible Bonds
& Notes
                                                                       
Semiconductors &
Semiconductors
Equipment
                                                                       
Semiconductors
                20,354       4,481             122             (24,957 )      
Common Stocks
                                                                       
Capital Goods
                                                                       
Building Products
    657,984             84,036                                     742,020  
Industrial
Machinery
    332                                                 332  
Insurance
                                                                       
Insurance Brokers
                (3 )     386                               383  
Preferred Stocks
                                                                       
Insurance
                                                                       
Insurance Brokers
                (63,305 )     2,300,067                               2,236,762  
Reinsurance
    2,185,205             (198,050 )           (1,965,905 )                       21,250  
Total
  $ 20,814,304     $ (73,289 )   $ 781,284     $ 11,103,823     $ (8,786,802 )   $ 100,095     $     $ (24,957 )   $ 23,914,458  
   
*Transfers are calculated on the beginning of period value. For the nine months ended December 31, 2015, there were no transfers between Levels 1 and 2. For the nine months ended December 31, 2015, securities with aggregate market value of $24,957 transferred from Level 3 to Level 2 as there were observable inputs available to determine their value.
 
   
Net change in unrealized appreciation of Level 3 investments still held and considered Level 3 at December 31, 2015: $809,686.
 
   


 
 

 

The following table presents additional information about valuation techniques and inputs used for investments categorized as Level 3 at December 31, 2015. These amounts exclude valuations provided by a broker.
 
Fair Value
Valuation
Unobservable
Value/
Asset Type
12/31/15
Technique (s)
Input
Range
Corporate Bonds
$2,545,998
Market Comparables
EBITDA Multiples(1)
Yield Premium(2)
5.5x to 6.5x
1.05%
Common Stocks
$742,735
Market Comparables
EBITDA
Multiples(1)
5.5x to 6.5x
1.05%
Preferred Stocks
$2,236,762
Market Comparables
EBITDA
Multiples(1)
5.0x to 5.5x
 

(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 February 26, 2016 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 February 26, 2016 By (Signature and Title)* /s/ Mark E. Bradley ----------------- Mark E. Bradley, Treasurer and Chief Accounting and Financial Officer Date February 26, 2016 * Print the name and title of each signing officer under his or her signature.