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.