|
ITEM 1.
|
SCHEDULE OF INVESTMENTS
|
| Investment Portfolio | as of June 30, 2013 (Unaudited) |
|
Principal
Amount ($) (a)
|
Value ($)
|
|||||||||||||
|
Corporate Bonds 115.7%
|
||||||||||||||
|
Consumer Discretionary 23.1%
|
||||||||||||||
|
AMC Networks, Inc., 7.75%, 7/15/2021
|
165,000
|
180,263
|
||||||||||||
|
AmeriGas Finance LLC:
|
||||||||||||||
|
6.75%, 5/20/2020
|
200,000
|
207,000
|
||||||||||||
|
7.0%, 5/20/2022
|
200,000
|
204,500
|
||||||||||||
|
APX Group, Inc., 144A, 6.375%, 12/1/2019
|
375,000
|
356,250
|
||||||||||||
|
Asbury Automotive Group, Inc., 144A, 8.375%, 11/15/2020
|
95,000
|
105,213
|
||||||||||||
|
Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022
|
560,000
|
583,800
|
||||||||||||
|
Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021
|
595,000
|
600,950
|
||||||||||||
|
Avis Budget Car Rental LLC:
|
||||||||||||||
|
144A, 5.5%, 4/1/2023
|
365,000
|
352,225
|
||||||||||||
|
8.25%, 1/15/2019
|
700,000
|
761,250
|
||||||||||||
|
BC Mountain LLC, 144A, 7.0%, 2/1/2021
|
360,000
|
367,200
|
||||||||||||
|
Block Communications, Inc., 144A, 7.25%, 2/1/2020
|
715,000
|
750,750
|
||||||||||||
|
Boyd Gaming Corp., 9.0%, 7/1/2020
|
275,000
|
278,781
|
||||||||||||
|
Caesar's Entertainment Operating Co., Inc., 8.5%, 2/15/2020
|
695,000
|
655,037
|
||||||||||||
|
Caesar's Operating Escrow LLC, 144A, 9.0%, 2/15/2020
|
460,000
|
438,150
|
||||||||||||
|
Carlson Wagonlit BV, 144A, 6.875%, 6/15/2019
|
400,000
|
404,000
|
||||||||||||
|
CCO Holdings LLC:
|
||||||||||||||
|
6.625%, 1/31/2022
|
840,000
|
875,700
|
||||||||||||
|
7.0%, 1/15/2019
|
235,000
|
249,100
|
||||||||||||
|
7.25%, 10/30/2017
|
1,110,000
|
1,177,987
|
||||||||||||
|
7.375%, 6/1/2020
|
100,000
|
108,750
|
||||||||||||
|
CDR DB Sub, Inc., 144A, 7.75%, 10/15/2020
|
210,000
|
210,525
|
||||||||||||
|
Cequel Communications Holdings I LLC:
|
||||||||||||||
|
144A, 5.125%, 12/15/2021
|
470,000
|
441,800
|
||||||||||||
|
144A, 6.375%, 9/15/2020
|
2,070,000
|
2,106,225
|
||||||||||||
|
Chester Downs & Marina LLC, 144A, 9.25%, 2/1/2020
|
130,000
|
125,450
|
||||||||||||
|
Clear Channel Communications, Inc., 144A, 11.25%, 3/1/2021
|
495,000
|
516,037
|
||||||||||||
|
Clear Channel Worldwide Holdings, Inc.:
|
||||||||||||||
|
Series A, 144A, 6.5%, 11/15/2022
|
445,000
|
456,125
|
||||||||||||
|
Series B, 144A, 6.5%, 11/15/2022
|
665,000
|
684,950
|
||||||||||||
|
Series A, 7.625%, 3/15/2020
|
105,000
|
108,150
|
||||||||||||
|
Series B, 7.625%, 3/15/2020
|
1,065,000
|
1,102,275
|
||||||||||||
|
Cogeco Cable, Inc., 144A, 4.875%, 5/1/2020
|
40,000
|
38,900
|
||||||||||||
|
Crown Media Holdings, Inc., 10.5%, 7/15/2019
|
275,000
|
305,250
|
||||||||||||
|
Cumulus Media Holdings, Inc., 7.75%, 5/1/2019
|
350,000
|
342,125
|
||||||||||||
|
Delphi Corp., 5.0%, 2/15/2023
|
490,000
|
503,475
|
||||||||||||
|
DISH DBS Corp.:
|
||||||||||||||
|
6.75%, 6/1/2021
|
145,000
|
154,063
|
||||||||||||
|
7.125%, 2/1/2016
|
2,500,000
|
2,706,250
|
||||||||||||
|
Ford Motor Credit Co., LLC:
|
||||||||||||||
|
5.0%, 5/15/2018
|
780,000
|
831,811
|
||||||||||||
|
5.875%, 8/2/2021
|
560,000
|
610,540
|
||||||||||||
|
6.625%, 8/15/2017
|
1,000,000
|
1,131,793
|
||||||||||||
|
General Motors Financial Co., Inc., 144A, 3.25%, 5/15/2018
|
190,000
|
184,775
|
||||||||||||
|
Griffey Intermediate, Inc., 144A, 7.0%, 10/15/2020
|
370,000
|
357,050
|
||||||||||||
|
Harron Communications LP, 144A, 9.125%, 4/1/2020
|
755,000
|
815,400
|
||||||||||||
|
Hertz Corp.:
|
||||||||||||||
|
144A, 4.25%, 4/1/2018
|
575,000
|
560,625
|
||||||||||||
|
6.75%, 4/15/2019
|
450,000
|
475,875
|
||||||||||||
|
7.5%, 10/15/2018
|
6,000,000
|
6,435,000
|
||||||||||||
|
Hot Topic, Inc., 144A, 9.25%, 6/15/2021
|
285,000
|
288,563
|
||||||||||||
|
Jo-Ann Stores Holdings, Inc., 144A, 9.75%, 10/15/2019 (PIK)
|
680,000
|
698,700
|
||||||||||||
|
Libbey Glass, Inc., 6.875%, 5/15/2020
|
216,000
|
225,990
|
||||||||||||
|
Lions Gate Entertainment, Inc., 144A, 10.25%, 11/1/2016
|
505,000
|
540,981
|
||||||||||||
|
LKQ Corp., 144A, 4.75%, 5/15/2023
|
570,000
|
544,350
|
||||||||||||
|
MDC Partners, Inc., 144A, 6.75%, 4/1/2020
|
275,000
|
274,313
|
||||||||||||
|
Mediacom Broadband LLC, 6.375%, 4/1/2023
|
800,000
|
796,000
|
||||||||||||
|
Mediacom LLC, 7.25%, 2/15/2022
|
200,000
|
210,500
|
||||||||||||
|
MGM Resorts International:
|
||||||||||||||
|
6.625%, 12/15/2021
|
1,100,000
|
1,134,375
|
||||||||||||
|
6.75%, 10/1/2020
|
160,000
|
165,600
|
||||||||||||
|
7.5%, 6/1/2016
|
550,000
|
599,500
|
||||||||||||
|
7.625%, 1/15/2017
|
385,000
|
420,612
|
||||||||||||
|
8.625%, 2/1/2019
|
1,585,000
|
1,791,050
|
||||||||||||
|
10.0%, 11/1/2016
|
445,000
|
521,762
|
||||||||||||
|
National CineMedia LLC:
|
||||||||||||||
|
6.0%, 4/15/2022
|
400,000
|
410,500
|
||||||||||||
|
7.875%, 7/15/2021
|
465,000
|
504,525
|
||||||||||||
|
Palace Entertainment Holdings LLC, 144A, 8.875%, 4/15/2017
|
390,000
|
401,700
|
||||||||||||
|
PETCO Animal Supplies, Inc., 144A, 9.25%, 12/1/2018
|
670,000
|
721,925
|
||||||||||||
|
Petco Holdings, Inc., 144A, 8.5%, 10/15/2017 (PIK)
|
105,000
|
107,100
|
||||||||||||
|
Quebecor Media, Inc., 5.75%, 1/15/2023
|
375,000
|
365,625
|
||||||||||||
|
Regal Entertainment Group, 9.125%, 8/15/2018
|
204,000
|
224,400
|
||||||||||||
|
Rent-A-Center, Inc., 144A, 4.75%, 5/1/2021
|
285,000
|
270,038
|
||||||||||||
|
Schaeffler Finance BV:
|
||||||||||||||
|
144A, 4.75%, 5/15/2021
|
500,000
|
475,000
|
||||||||||||
|
144A, 7.75%, 2/15/2017
|
755,000
|
834,275
|
||||||||||||
|
Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021
|
235,000
|
227,950
|
||||||||||||
|
Serta Simmons Holdings LLC, 144A, 8.125%, 10/1/2020
|
210,000
|
213,675
|
||||||||||||
|
SIWF Merger Sub, Inc., 144A, 6.25%, 6/1/2021
|
565,000
|
553,700
|
||||||||||||
|
Starz LLC, 5.0%, 9/15/2019
|
295,000
|
292,788
|
||||||||||||
|
Stoneridge, Inc., 144A, 9.5%, 10/15/2017
|
5,100,000
|
5,457,000
|
||||||||||||
|
Taylor Morrison Communities, Inc., 144A, 5.25%, 4/15/2021
|
455,000
|
432,250
|
||||||||||||
|
UCI International, Inc., 8.625%, 2/15/2019
|
235,000
|
239,700
|
||||||||||||
|
Unitymedia Hessen GmbH & Co., KG:
|
||||||||||||||
|
144A, 5.5%, 1/15/2023
|
1,630,000
|
1,540,350
|
||||||||||||
|
144A, 7.5%, 3/15/2019
|
825,000
|
868,312
|
||||||||||||
|
Unitymedia KabelBW GmbH, 144A, 9.625%, 12/1/2019
|
EUR
|
1,595,000
|
2,283,744
|
|||||||||||
|
Univision Communications, Inc.:
|
||||||||||||||
|
144A, 6.875%, 5/15/2019
|
110,000
|
115,500
|
||||||||||||
|
144A, 8.5%, 5/15/2021
|
135,000
|
143,438
|
||||||||||||
|
UPC Holding BV, 144A, 8.375%, 8/15/2020
|
EUR
|
580,000
|
803,651
|
|||||||||||
|
Viking Cruises Ltd., 144A, 8.5%, 10/15/2022
|
375,000
|
410,625
|
||||||||||||
|
Visant Corp., 10.0%, 10/1/2017
|
1,220,000
|
1,125,450
|
||||||||||||
|
Visteon Corp., 6.75%, 4/15/2019
|
328,000
|
345,220
|
||||||||||||
|
XM Satellite Radio, Inc., 144A, 7.625%, 11/1/2018
|
3,000,000
|
3,270,000
|
||||||||||||
|
Yonkers Racing Corp., 144A, 11.375%, 7/15/2016
|
320,000
|
338,000
|
||||||||||||
|
61,050,112
|
||||||||||||||
|
Consumer Staples 4.7%
|
||||||||||||||
|
Alliance One International, Inc., 10.0%, 7/15/2016
|
500,000
|
511,250
|
||||||||||||
|
B&G Foods, Inc., 4.625%, 6/1/2021
|
470,000
|
448,850
|
||||||||||||
|
Barry Callebaut Services NV, 144A, 5.5%, 6/15/2023
|
345,000
|
347,256
|
||||||||||||
|
Chiquita Brands International, Inc., 144A, 7.875%, 2/1/2021
|
335,000
|
350,913
|
||||||||||||
|
Constellation Brands, Inc.:
|
||||||||||||||
|
3.75%, 5/1/2021
|
470,000
|
440,037
|
||||||||||||
|
6.0%, 5/1/2022
|
180,000
|
193,050
|
||||||||||||
|
Del Monte Corp., 7.625%, 2/15/2019
|
810,000
|
832,275
|
||||||||||||
|
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020
|
215,000
|
231,663
|
||||||||||||
|
JBS U.S.A. LLC, 144A, 8.25%, 2/1/2020
|
295,000
|
309,013
|
||||||||||||
|
NBTY, Inc., 9.0%, 10/1/2018
|
1,540,000
|
1,674,750
|
||||||||||||
|
Pilgrim's Pride Corp., 7.875%, 12/15/2018
|
265,000
|
282,225
|
||||||||||||
|
Reynolds Group Issuer, Inc.:
|
||||||||||||||
|
5.75%, 10/15/2020
|
745,000
|
750,587
|
||||||||||||
|
8.5%, 5/15/2018
|
3,715,000
|
3,826,450
|
||||||||||||
|
9.875%, 8/15/2019
|
115,000
|
123,050
|
||||||||||||
|
Smithfield Foods, Inc., 6.625%, 8/15/2022
|
755,000
|
811,625
|
||||||||||||
|
Sun Products Corp., 144A, 7.75%, 3/15/2021
|
635,000
|
630,237
|
||||||||||||
|
Tops Holding Corp., 144A, 8.875%, 12/15/2017
|
180,000
|
194,850
|
||||||||||||
|
U.S. Foods, Inc., 8.5%, 6/30/2019
|
385,000
|
402,325
|
||||||||||||
|
12,360,406
|
||||||||||||||
|
Energy 13.5%
|
||||||||||||||
|
Access Midstream Partners LP:
|
||||||||||||||
|
4.875%, 5/15/2023
|
455,000
|
422,013
|
||||||||||||
|
6.125%, 7/15/2022
|
615,000
|
622,688
|
||||||||||||
|
Antero Resources Finance Corp.:
|
||||||||||||||
|
7.25%, 8/1/2019
|
540,000
|
562,950
|
||||||||||||
|
9.375%, 12/1/2017
|
225,000
|
238,500
|
||||||||||||
|
Arch Coal, Inc., 7.0%, 6/15/2019
|
220,000
|
183,150
|
||||||||||||
|
Berry Petroleum Co.:
|
||||||||||||||
|
6.375%, 9/15/2022
|
360,000
|
358,650
|
||||||||||||
|
6.75%, 11/1/2020
|
360,000
|
372,600
|
||||||||||||
|
BreitBurn Energy Partners LP, 7.875%, 4/15/2022
|
370,000
|
377,400
|
||||||||||||
|
Chaparral Energy, Inc.:
|
||||||||||||||
|
7.625%, 11/15/2022
|
450,000
|
459,000
|
||||||||||||
|
9.875%, 10/1/2020
|
1,750,000
|
1,942,500
|
||||||||||||
|
Chesapeake Energy Corp., 3.25%, 3/15/2016
|
905,000
|
900,475
|
||||||||||||
|
Chesapeake Oilfield Operating LLC, 144A, 6.625%, 11/15/2019
|
400,000
|
396,000
|
||||||||||||
|
Continental Resources, Inc.:
|
||||||||||||||
|
144A, 4.5%, 4/15/2023
|
110,000
|
106,975
|
||||||||||||
|
5.0%, 9/15/2022
|
330,000
|
335,775
|
||||||||||||
|
Crestwood Midstream Partners LP, 7.75%, 4/1/2019
|
610,000
|
628,300
|
||||||||||||
|
Crosstex Energy LP, 7.125%, 6/1/2022
|
195,000
|
196,950
|
||||||||||||
|
Denbury Resources, Inc., 4.625%, 7/15/2023
|
890,000
|
821,025
|
||||||||||||
|
Dresser-Rand Group, Inc., 6.5%, 5/1/2021
|
780,000
|
826,800
|
||||||||||||
|
Eagle Rock Energy Partners LP, 8.375%, 6/1/2019
|
140,000
|
142,450
|
||||||||||||
|
EP Energy LLC:
|
||||||||||||||
|
6.875%, 5/1/2019
|
635,000
|
679,450
|
||||||||||||
|
7.75%, 9/1/2022
|
165,000
|
176,550
|
||||||||||||
|
9.375%, 5/1/2020
|
145,000
|
163,850
|
||||||||||||
|
EPE Holdings LLC, 144A, 8.125%, 12/15/2017 (PIK)
|
823,887
|
840,365
|
||||||||||||
|
EV Energy Partners LP, 8.0%, 4/15/2019
|
1,595,000
|
1,610,950
|
||||||||||||
|
Frontier Oil Corp., 6.875%, 11/15/2018
|
630,000
|
675,675
|
||||||||||||
|
Halcon Resources Corp.:
|
||||||||||||||
|
8.875%, 5/15/2021
|
990,000
|
960,300
|
||||||||||||
|
9.75%, 7/15/2020
|
295,000
|
294,263
|
||||||||||||
|
Holly Energy Partners LP, 6.5%, 3/1/2020
|
205,000
|
206,538
|
||||||||||||
|
Kodiak Oil & Gas Corp., 144A, 5.5%, 1/15/2021
|
445,000
|
433,875
|
||||||||||||
|
Linn Energy LLC:
|
||||||||||||||
|
144A, 6.25%, 11/1/2019
|
815,000
|
776,287
|
||||||||||||
|
6.5%, 5/15/2019
|
2,325,000
|
2,272,687
|
||||||||||||
|
MEG Energy Corp.:
|
||||||||||||||
|
144A, 6.375%, 1/30/2023
|
1,510,000
|
1,464,700
|
||||||||||||
|
144A, 6.5%, 3/15/2021
|
435,000
|
431,194
|
||||||||||||
|
Memorial Production Partners LP, 144A, 7.625%, 5/1/2021
|
635,000
|
625,475
|
||||||||||||
|
Midstates Petroleum Co., Inc.:
|
||||||||||||||
|
144A, 9.25%, 6/1/2021
|
930,000
|
874,200
|
||||||||||||
|
144A, 10.75%, 10/1/2020
|
210,000
|
211,050
|
||||||||||||
|
Murray Energy Corp., 144A, 8.625%, 6/15/2021
|
95,000
|
95,000
|
||||||||||||
|
Newfield Exploration Co., 5.75%, 1/30/2022
|
390,000
|
386,100
|
||||||||||||
|
Northern Oil & Gas, Inc., 8.0%, 6/1/2020
|
1,105,000
|
1,116,050
|
||||||||||||
|
Oasis Petroleum, Inc.:
|
||||||||||||||
|
6.5%, 11/1/2021
|
300,000
|
307,500
|
||||||||||||
|
6.875%, 1/15/2023
|
225,000
|
231,750
|
||||||||||||
|
7.25%, 2/1/2019
|
715,000
|
745,387
|
||||||||||||
|
Offshore Group Investment Ltd.:
|
||||||||||||||
|
144A, 7.125%, 4/1/2023
|
730,000
|
717,225
|
||||||||||||
|
7.5%, 11/1/2019
|
530,000
|
552,525
|
||||||||||||
|
Pacific Drilling SA, 144A, 5.375%, 6/1/2020
|
470,000
|
439,450
|
||||||||||||
|
Plains Exploration & Production Co., 6.75%, 2/1/2022
|
365,000
|
386,818
|
||||||||||||
|
Range Resources Corp., 5.0%, 3/15/2023
|
180,000
|
175,950
|
||||||||||||
|
Regency Energy Partners LP, 144A, 4.5%, 11/1/2023
|
190,000
|
171,950
|
||||||||||||
|
Sabine Pass Liquefaction LLC:
|
||||||||||||||
|
144A, 5.625%, 2/1/2021
|
1,240,000
|
1,202,800
|
||||||||||||
|
144A, 5.625%, 4/15/2023
|
280,000
|
264,600
|
||||||||||||
|
Sabine Pass LNG LP, 7.5%, 11/30/2016
|
565,000
|
608,081
|
||||||||||||
|
SandRidge Energy, Inc., 7.5%, 3/15/2021
|
915,000
|
873,825
|
||||||||||||
|
SESI LLC:
|
||||||||||||||
|
6.375%, 5/1/2019
|
440,000
|
454,300
|
||||||||||||
|
7.125%, 12/15/2021
|
1,280,000
|
1,382,400
|
||||||||||||
|
Swift Energy Co., 7.875%, 3/1/2022
|
480,000
|
477,600
|
||||||||||||
|
Talos Production LLC, 144A, 9.75%, 2/15/2018
|
695,000
|
660,250
|
||||||||||||
|
Tesoro Corp.:
|
||||||||||||||
|
4.25%, 10/1/2017
|
400,000
|
410,000
|
||||||||||||
|
5.375%, 10/1/2022
|
280,000
|
283,500
|
||||||||||||
|
Venoco, Inc., 8.875%, 2/15/2019
|
560,000
|
546,000
|
||||||||||||
|
WPX Energy, Inc., 5.25%, 1/15/2017
|
450,000
|
461,250
|
||||||||||||
|
35,541,921
|
||||||||||||||
|
Financials 9.8%
|
||||||||||||||
|
AerCap Aviation Solutions BV, 6.375%, 5/30/2017
|
1,300,000
|
1,365,000
|
||||||||||||
|
Ally Financial, Inc.:
|
||||||||||||||
|
5.5%, 2/15/2017
|
700,000
|
731,367
|
||||||||||||
|
6.25%, 12/1/2017
|
7,000,000
|
7,488,390
|
||||||||||||
|
Banco Bradesco SA, 144A, 5.75%, 3/1/2022
|
1,355,000
|
1,351,612
|
||||||||||||
|
CIT Group, Inc., 5.25%, 3/15/2018
|
1,045,000
|
1,073,737
|
||||||||||||
|
CNH Capital LLC, 144A, 3.625%, 4/15/2018
|
735,000
|
700,088
|
||||||||||||
|
DuPont Fabros Technology LP, (REIT), 8.5%, 12/15/2017
|
750,000
|
791,250
|
||||||||||||
|
E*TRADE Financial Corp.:
|
||||||||||||||
|
6.0%, 11/15/2017
|
2,485,100
|
2,509,951
|
||||||||||||
|
6.375%, 11/15/2019
|
1,284,000
|
1,303,260
|
||||||||||||
|
6.75%, 6/1/2016
|
680,000
|
698,700
|
||||||||||||
|
International Lease Finance Corp.:
|
||||||||||||||
|
2.224%, 6/15/2016
|
1,245,000
|
1,235,662
|
||||||||||||
|
3.875%, 4/15/2018
|
1,370,000
|
1,287,800
|
||||||||||||
|
4.625%, 4/15/2021
|
640,000
|
588,800
|
||||||||||||
|
5.75%, 5/15/2016
|
205,000
|
210,665
|
||||||||||||
|
6.25%, 5/15/2019
|
605,000
|
621,638
|
||||||||||||
|
8.625%, 1/15/2022
|
565,000
|
649,750
|
||||||||||||
|
8.75%, 3/15/2017
|
1,220,000
|
1,358,775
|
||||||||||||
|
MPT Operating Partnership LP:
|
||||||||||||||
|
(REIT), 6.375%, 2/15/2022
|
335,000
|
351,750
|
||||||||||||
|
(REIT), 6.875%, 5/1/2021
|
550,000
|
583,000
|
||||||||||||
|
Neuberger Berman Group LLC:
|
||||||||||||||
|
144A, 5.625%, 3/15/2020
|
305,000
|
315,675
|
||||||||||||
|
144A, 5.875%, 3/15/2022
|
505,000
|
515,100
|
||||||||||||
|
25,731,970
|
||||||||||||||
|
Health Care 7.1%
|
||||||||||||||
|
Aviv Healthcare Properties LP, 7.75%, 2/15/2019
|
955,000
|
1,019,462
|
||||||||||||
|
Bausch & Lomb, Inc., 9.875%, 11/1/2015
|
620,000
|
637,050
|
||||||||||||
|
Biomet, Inc.:
|
||||||||||||||
|
6.5%, 8/1/2020
|
655,000
|
675,059
|
||||||||||||
|
6.5%, 10/1/2020
|
185,000
|
184,538
|
||||||||||||
|
Community Health Systems, Inc.:
|
||||||||||||||
|
5.125%, 8/15/2018
|
2,160,000
|
2,192,400
|
||||||||||||
|
7.125%, 7/15/2020
|
1,230,000
|
1,266,900
|
||||||||||||
|
Fresenius Medical Care U.S. Finance II, Inc.:
|
||||||||||||||
|
144A, 5.625%, 7/31/2019
|
405,000
|
421,200
|
||||||||||||
|
144A, 5.875%, 1/31/2022
|
355,000
|
373,638
|
||||||||||||
|
Fresenius Medical Care U.S. Finance, Inc.:
|
||||||||||||||
|
144A, 5.75%, 2/15/2021
|
235,000
|
246,750
|
||||||||||||
|
144A, 6.5%, 9/15/2018
|
210,000
|
228,375
|
||||||||||||
|
HCA, Inc.:
|
||||||||||||||
|
5.875%, 3/15/2022
|
500,000
|
513,125
|
||||||||||||
|
6.5%, 2/15/2020
|
2,155,000
|
2,331,441
|
||||||||||||
|
7.5%, 2/15/2022
|
1,615,000
|
1,788,612
|
||||||||||||
|
7.875%, 2/15/2020
|
2,110,000
|
2,272,206
|
||||||||||||
|
Hologic, Inc., 6.25%, 8/1/2020
|
385,000
|
399,197
|
||||||||||||
|
IMS Health, Inc., 144A, 6.0%, 11/1/2020
|
465,000
|
473,138
|
||||||||||||
|
Physio-Control International, Inc., 144A, 9.875%, 1/15/2019
|
295,000
|
324,500
|
||||||||||||
|
Sky Growth Acquisition Corp., 144A, 7.375%, 10/15/2020
|
325,000
|
333,125
|
||||||||||||
|
STHI Holding Corp., 144A, 8.0%, 3/15/2018
|
325,000
|
351,000
|
||||||||||||
|
Tenet Healthcare Corp.:
|
||||||||||||||
|
144A, 4.375%, 10/1/2021
|
750,000
|
688,125
|
||||||||||||
|
144A, 4.5%, 4/1/2021
|
90,000
|
83,925
|
||||||||||||
|
6.25%, 11/1/2018
|
975,000
|
1,026,187
|
||||||||||||
|
VPII Escrow Corp., 144A, 6.75%, 8/15/2018 (b)
|
915,000
|
937,875
|
||||||||||||
|
18,767,828
|
||||||||||||||
|
Industrials 11.2%
|
||||||||||||||
|
Accuride Corp., 9.5%, 8/1/2018
|
1,520,000
|
1,546,600
|
||||||||||||
|
Aguila 3 SA, 144A, 7.875%, 1/31/2018
|
920,000
|
947,600
|
||||||||||||
|
Air Lease Corp.:
|
||||||||||||||
|
4.75%, 3/1/2020
|
535,000
|
516,275
|
||||||||||||
|
6.125%, 4/1/2017
|
850,000
|
879,750
|
||||||||||||
|
Alphabet Holding Co., Inc., 7.75%, 11/1/2017 (PIK)
|
185,000
|
189,625
|
||||||||||||
|
AWAS Aviation Capital Ltd., 144A, 7.0%, 10/17/2016
|
817,000
|
849,680
|
||||||||||||
|
BE Aerospace, Inc., 6.875%, 10/1/2020
|
6,910,000
|
7,462,800
|
||||||||||||
|
Belden, Inc., 144A, 5.5%, 9/1/2022
|
660,000
|
648,450
|
||||||||||||
|
Bombardier, Inc.:
|
||||||||||||||
|
144A, 5.75%, 3/15/2022
|
815,000
|
808,887
|
||||||||||||
|
144A, 6.125%, 1/15/2023
|
530,000
|
526,025
|
||||||||||||
|
Casella Waste Systems, Inc., 7.75%, 2/15/2019
|
820,000
|
779,000
|
||||||||||||
|
Clean Harbors, Inc., 5.125%, 6/1/2021
|
475,000
|
478,563
|
||||||||||||
|
DigitalGlobe, Inc., 144A, 5.25%, 2/1/2021
|
270,000
|
259,200
|
||||||||||||
|
Ducommun, Inc., 9.75%, 7/15/2018
|
320,000
|
349,600
|
||||||||||||
|
DynCorp International, Inc., 10.375%, 7/1/2017
|
1,500,000
|
1,507,500
|
||||||||||||
|
Florida East Coast Railway Corp., 8.125%, 2/1/2017
|
435,000
|
460,013
|
||||||||||||
|
FTI Consulting, Inc., 144A, 6.0%, 11/15/2022
|
375,000
|
379,688
|
||||||||||||
|
Garda World Security Corp., 144A, 9.75%, 3/15/2017
|
50,000
|
52,040
|
||||||||||||
|
GenCorp, Inc., 144A, 7.125%, 3/15/2021
|
1,340,000
|
1,386,900
|
||||||||||||
|
Huntington Ingalls Industries, Inc.:
|
||||||||||||||
|
6.875%, 3/15/2018
|
535,000
|
571,781
|
||||||||||||
|
7.125%, 3/15/2021
|
110,000
|
118,250
|
||||||||||||
|
Interline Brands, Inc., 7.5%, 11/15/2018
|
200,000
|
210,000
|
||||||||||||
|
Iron Mountain, Inc., 5.75%, 8/15/2024
|
460,000
|
431,250
|
||||||||||||
|
Kenan Advantage Group, Inc., 144A, 8.375%, 12/15/2018
|
725,000
|
754,000
|
||||||||||||
|
Meritor, Inc., 6.75%, 6/15/2021
|
375,000
|
358,125
|
||||||||||||
|
Navios Maritime Holdings, Inc.:
|
||||||||||||||
|
8.125%, 2/15/2019
|
420,000
|
397,950
|
||||||||||||
|
8.875%, 11/1/2017
|
1,035,000
|
1,071,225
|
||||||||||||
|
Navios South American Logistics, Inc., 144A, 9.25%, 4/15/2019
|
100,000
|
107,250
|
||||||||||||
|
Ply Gem Industries, Inc., 9.375%, 4/15/2017
|
96,000
|
101,520
|
||||||||||||
|
Rexel SA, 144A, 5.25%, 6/15/2020
|
490,000
|
488,775
|
||||||||||||
|
Spirit AeroSystems, Inc., 6.75%, 12/15/2020
|
955,000
|
993,200
|
||||||||||||
|
Titan International, Inc., 144A, 7.875%, 10/1/2017
|
240,000
|
252,000
|
||||||||||||
|
TransDigm, Inc., 144A, 7.5%, 7/15/2021 (b)
|
680,000
|
695,300
|
||||||||||||
|
U.S. Airways Group, Inc., 6.125%, 6/1/2018
|
470,000
|
444,150
|
||||||||||||
|
United Rentals North America, Inc.:
|
||||||||||||||
|
5.75%, 7/15/2018
|
690,000
|
724,500
|
||||||||||||
|
6.125%, 6/15/2023
|
45,000
|
44,775
|
||||||||||||
|
7.375%, 5/15/2020
|
565,000
|
603,137
|
||||||||||||
|
7.625%, 4/15/2022
|
565,000
|
611,612
|
||||||||||||
|
Watco Companies LLC, 144A, 6.375%, 4/1/2023
|
275,000
|
273,625
|
||||||||||||
|
Welltec AS, 144A, 8.0%, 2/1/2019
|
200,000
|
208,000
|
||||||||||||
|
29,488,621
|
||||||||||||||
|
Information Technology 6.6%
|
||||||||||||||
|
Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017
|
470,000
|
484,100
|
||||||||||||
|
CDW LLC, 8.5%, 4/1/2019
|
3,210,000
|
3,450,750
|
||||||||||||
|
CyrusOne LP, 144A, 6.375%, 11/15/2022
|
185,000
|
189,625
|
||||||||||||
|
eAccess Ltd., 144A, 8.25%, 4/1/2018
|
315,000
|
344,925
|
||||||||||||
|
EarthLink, Inc., 144A, 7.375%, 6/1/2020
|
470,000
|
451,200
|
||||||||||||
|
Equinix, Inc.:
|
||||||||||||||
|
4.875%, 4/1/2020
|
480,000
|
470,400
|
||||||||||||
|
5.375%, 4/1/2023
|
1,275,000
|
1,249,500
|
||||||||||||
|
7.0%, 7/15/2021
|
440,000
|
477,400
|
||||||||||||
|
First Data Corp.:
|
||||||||||||||
|
144A, 6.75%, 11/1/2020
|
1,305,000
|
1,327,837
|
||||||||||||
|
144A, 7.375%, 6/15/2019
|
475,000
|
488,063
|
||||||||||||
|
144A, 10.625%, 6/15/2021
|
740,000
|
730,750
|
||||||||||||
|
Freescale Semiconductor, Inc., 144A, 9.25%, 4/15/2018
|
1,275,000
|
1,373,812
|
||||||||||||
|
Hughes Satellite Systems Corp.:
|
||||||||||||||
|
6.5%, 6/15/2019
|
850,000
|
901,000
|
||||||||||||
|
7.625%, 6/15/2021
|
435,000
|
462,188
|
||||||||||||
|
IAC/InterActiveCorp., 144A, 4.75%, 12/15/2022
|
355,000
|
335,475
|
||||||||||||
|
Jabil Circuit, Inc., 5.625%, 12/15/2020
|
3,750,000
|
3,881,250
|
||||||||||||
|
NXP BV, 144A, 3.75%, 6/1/2018
|
640,000
|
627,200
|
||||||||||||
|
17,245,475
|
||||||||||||||
|
Materials 9.2%
|
||||||||||||||
|
APERAM:
|
||||||||||||||
|
144A, 7.375%, 4/1/2016
|
155,000
|
150,350
|
||||||||||||
|
144A, 7.75%, 4/1/2018
|
210,000
|
199,500
|
||||||||||||
|
Ashland, Inc., 144A, 3.875%, 4/15/2018
|
270,000
|
267,300
|
||||||||||||
|
Axiall Corp., 144A, 4.875%, 5/15/2023
|
110,000
|
104,500
|
||||||||||||
|
Berry Plastics Corp., 9.75%, 1/15/2021
|
1,290,000
|
1,457,700
|
||||||||||||
|
Bluescope Steel Ltd., 144A, 7.125%, 5/1/2018
|
270,000
|
274,050
|
||||||||||||
|
BOE Intermediate Holding Corp., 144A, 9.0%, 11/1/2017 (PIK)
|
570,000
|
547,200
|
||||||||||||
|
BOE Merger Corp., 144A, 9.5%, 11/1/2017 (PIK)
|
375,000
|
382,500
|
||||||||||||
|
Crown Americas LLC, 6.25%, 2/1/2021
|
105,000
|
111,300
|
||||||||||||
|
Eagle Spinco, Inc., 144A, 4.625%, 2/15/2021
|
225,000
|
216,000
|
||||||||||||
|
Essar Steel Algoma, Inc.:
|
||||||||||||||
|
144A, 9.375%, 3/15/2015
|
3,055,000
|
2,902,250
|
||||||||||||
|
144A, 9.875%, 6/15/2015
|
195,000
|
150,150
|
||||||||||||
|
Exopack Holding Corp., 10.0%, 6/1/2018
|
435,000
|
440,438
|
||||||||||||
|
Fibria Overseas Finance Ltd., 144A, 6.75%, 3/3/2021
|
220,000
|
235,730
|
||||||||||||
|
FMG Resources August 2006 Pty Ltd.:
|
||||||||||||||
|
144A, 6.0%, 4/1/2017
|
605,000
|
588,363
|
||||||||||||
|
144A, 6.875%, 4/1/2022
|
125,000
|
121,250
|
||||||||||||
|
144A, 7.0%, 11/1/2015
|
635,000
|
641,350
|
||||||||||||
|
144A, 8.25%, 11/1/2019
|
520,000
|
535,600
|
||||||||||||
|
FQM Akubra, Inc.:
|
||||||||||||||
|
144A, 7.5%, 6/1/2021
|
1,035,000
|
991,012
|
||||||||||||
|
144A, 8.75%, 6/1/2020
|
610,000
|
623,725
|
||||||||||||
|
Hexion U.S. Finance Corp.:
|
||||||||||||||
|
6.625%, 4/15/2020
|
175,000
|
174,563
|
||||||||||||
|
8.875%, 2/1/2018
|
1,240,000
|
1,264,800
|
||||||||||||
|
Huntsman International LLC:
|
||||||||||||||
|
4.875%, 11/15/2020
|
420,000
|
414,750
|
||||||||||||
|
8.625%, 3/15/2020
|
585,000
|
636,187
|
||||||||||||
|
IAMGOLD Corp., 144A, 6.75%, 10/1/2020
|
555,000
|
468,975
|
||||||||||||
|
Kaiser Aluminum Corp., 8.25%, 6/1/2020
|
490,000
|
542,675
|
||||||||||||
|
KGHM International Ltd., 144A, 7.75%, 6/15/2019
|
1,180,000
|
1,197,700
|
||||||||||||
|
LyondellBasell Industries NV, 6.0%, 11/15/2021
|
200,000
|
224,741
|
||||||||||||
|
Novelis, Inc.:
|
||||||||||||||
|
8.375%, 12/15/2017
|
1,595,000
|
1,690,700
|
||||||||||||
|
8.75%, 12/15/2020
|
3,040,000
|
3,260,400
|
||||||||||||
|
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016
|
610,000
|
616,100
|
||||||||||||
|
Perstorp Holding AB, 144A, 8.75%, 5/15/2017
|
400,000
|
400,000
|
||||||||||||
|
Polymer Group, Inc., 7.75%, 2/1/2019
|
590,000
|
613,600
|
||||||||||||
|
PolyOne Corp., 144A, 5.25%, 3/15/2023
|
1,010,000
|
994,850
|
||||||||||||
|
Rain CII Carbon LLC, 144A, 8.25%, 1/15/2021
|
285,000
|
285,000
|
||||||||||||
|
Sealed Air Corp., 144A, 5.25%, 4/1/2023
|
90,000
|
87,525
|
||||||||||||
|
Tronox Finance LLC, 144A, 6.375%, 8/15/2020
|
470,000
|
442,975
|
||||||||||||
|
24,255,809
|
||||||||||||||
|
Telecommunication Services 25.5%
|
||||||||||||||
|
Altice Financing SA, 144A, 7.875%, 12/15/2019
|
420,000
|
438,900
|
||||||||||||
|
Altice Finco SA, 144A, 9.875%, 12/15/2020
|
420,000
|
449,400
|
||||||||||||
|
CenturyLink, Inc., Series V, 5.625%, 4/1/2020
|
180,000
|
181,800
|
||||||||||||
|
Cincinnati Bell, Inc., 8.25%, 10/15/2017
|
5,575,000
|
5,811,937
|
||||||||||||
|
CPI International, Inc., 8.0%, 2/15/2018
|
500,000
|
515,000
|
||||||||||||
|
Cricket Communications, Inc., 7.75%, 10/15/2020
|
4,005,000
|
3,844,800
|
||||||||||||
|
Digicel Group Ltd.:
|
||||||||||||||
|
144A, 8.25%, 9/30/2020
|
755,000
|
781,425
|
||||||||||||
|
144A, 10.5%, 4/15/2018
|
1,170,000
|
1,240,200
|
||||||||||||
|
Digicel Ltd.:
|
||||||||||||||
|
144A, 7.0%, 2/15/2020
|
200,000
|
202,000
|
||||||||||||
|
144A, 8.25%, 9/1/2017
|
835,000
|
868,400
|
||||||||||||
|
Frontier Communications Corp.:
|
||||||||||||||
|
7.125%, 1/15/2023
|
2,450,000
|
2,437,750
|
||||||||||||
|
7.625%, 4/15/2024
|
195,000
|
195,488
|
||||||||||||
|
8.5%, 4/15/2020
|
1,900,000
|
2,094,750
|
||||||||||||
|
Intelsat Jackson Holdings SA:
|
||||||||||||||
|
144A, 5.5%, 8/1/2023
|
1,195,000
|
1,123,300
|
||||||||||||
|
144A, 6.625%, 12/15/2022
|
470,000
|
455,900
|
||||||||||||
|
7.25%, 10/15/2020
|
5,905,000
|
6,200,250
|
||||||||||||
|
7.5%, 4/1/2021
|
2,135,000
|
2,241,750
|
||||||||||||
|
8.5%, 11/1/2019
|
1,100,000
|
1,185,250
|
||||||||||||
|
Intelsat Luxembourg SA:
|
||||||||||||||
|
144A, 7.75%, 6/1/2021
|
1,185,000
|
1,196,850
|
||||||||||||
|
144A, 8.125%, 6/1/2023
|
185,000
|
191,013
|
||||||||||||
|
Level 3 Communications, Inc., 8.875%, 6/1/2019
|
55,000
|
57,200
|
||||||||||||
|
Level 3 Financing, Inc.:
|
||||||||||||||
|
7.0%, 6/1/2020
|
710,000
|
708,225
|
||||||||||||
|
8.125%, 7/1/2019
|
375,000
|
393,750
|
||||||||||||
|
8.625%, 7/15/2020
|
295,000
|
314,175
|
||||||||||||
|
Lynx I Corp., 144A, 5.375%, 4/15/2021
|
200,000
|
201,000
|
||||||||||||
|
MetroPCS Wireless, Inc.:
|
||||||||||||||
|
6.625%, 11/15/2020
|
2,200,000
|
2,282,500
|
||||||||||||
|
144A, 6.625%, 4/1/2023
|
470,000
|
478,225
|
||||||||||||
|
7.875%, 9/1/2018
|
835,000
|
889,275
|
||||||||||||
|
Millicom International Cellular SA, 144A, 4.75%, 5/22/2020
|
1,380,000
|
1,311,359
|
||||||||||||
|
NII Capital Corp., 7.625%, 4/1/2021
|
290,000
|
225,475
|
||||||||||||
|
Pacnet Ltd., 144A, 9.25%, 11/9/2015
|
401,000
|
401,000
|
||||||||||||
|
Sable International Finance Ltd., 144A, 8.75%, 2/1/2020
|
200,000
|
220,000
|
||||||||||||
|
SBA Communications Corp., 144A, 5.625%, 10/1/2019
|
370,000
|
366,300
|
||||||||||||
|
Sprint Nextel Corp.:
|
||||||||||||||
|
6.0%, 12/1/2016
|
3,710,000
|
3,914,050
|
||||||||||||
|
6.0%, 11/15/2022
|
630,000
|
617,400
|
||||||||||||
|
9.125%, 3/1/2017
|
295,000
|
339,250
|
||||||||||||
|
Syniverse Holdings, Inc., 9.125%, 1/15/2019
|
255,000
|
272,213
|
||||||||||||
|
Telesat Canada, 144A, 6.0%, 5/15/2017
|
4,185,000
|
4,268,700
|
||||||||||||
|
tw telecom holdings, Inc., 5.375%, 10/1/2022
|
520,000
|
516,100
|
||||||||||||
|
UPCB Finance III Ltd., 144A, 6.625%, 7/1/2020
|
2,710,000
|
2,804,850
|
||||||||||||
|
UPCB Finance V Ltd., 144A, 7.25%, 11/15/2021
|
405,000
|
428,287
|
||||||||||||
|
UPCB Finance VI Ltd., 144A, 6.875%, 1/15/2022
|
405,000
|
419,175
|
||||||||||||
|
Wind Acquisition Finance SA:
|
||||||||||||||
|
144A, 6.5%, 4/30/2020
|
375,000
|
372,187
|
||||||||||||
|
144A, 7.25%, 2/15/2018
|
685,000
|
690,137
|
||||||||||||
|
Windstream Corp.:
|
||||||||||||||
|
6.375%, 8/1/2023
|
450,000
|
420,750
|
||||||||||||
|
7.5%, 6/1/2022
|
315,000
|
321,300
|
||||||||||||
|
7.5%, 4/1/2023
|
160,000
|
162,400
|
||||||||||||
|
7.75%, 10/15/2020
|
355,000
|
367,425
|
||||||||||||
|
7.75%, 10/1/2021
|
625,000
|
646,875
|
||||||||||||
|
8.125%, 9/1/2018
|
10,500,000
|
11,182,500
|
||||||||||||
|
67,248,246
|
||||||||||||||
|
Utilities 5.0%
|
||||||||||||||
|
AES Corp.:
|
||||||||||||||
|
4.875%, 5/15/2023
|
190,000
|
177,175
|
||||||||||||
|
7.75%, 10/15/2015
|
1,085,000
|
1,196,213
|
||||||||||||
|
8.0%, 10/15/2017
|
2,200,000
|
2,475,000
|
||||||||||||
|
Calpine Corp., 144A, 7.875%, 7/31/2020
|
3,350,000
|
3,634,750
|
||||||||||||
|
DPL, Inc., 6.5%, 10/15/2016
|
2,395,000
|
2,502,775
|
||||||||||||
|
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024
|
525,000
|
359,625
|
||||||||||||
|
Energy Future Intermediate Holding Co., LLC:
|
||||||||||||||
|
10.0%, 12/1/2020
|
130,000
|
142,350
|
||||||||||||
|
11.0%, 10/1/2021
|
990,000
|
1,061,775
|
||||||||||||
|
IPALCO Enterprises, Inc., 5.0%, 5/1/2018
|
1,290,000
|
1,328,700
|
||||||||||||
|
NRG Energy, Inc., 7.625%, 1/15/2018
|
380,000
|
406,600
|
||||||||||||
|
13,284,963
|
||||||||||||||
|
Total Corporate Bonds (Cost $298,975,149)
|
304,975,351
|
|||||||||||||
|
Loan Participations and Assignments 20.6%
|
||||||||||||||
|
Senior Loans *
|
||||||||||||||
|
Consumer Discretionary 6.4%
|
||||||||||||||
|
Burger King Corp., Term Loan B, 3.75%, 9/27/2019
|
794,000
|
800,094
|
||||||||||||
|
Caesars Entertainment Operating Co., Term Loan B6, 5.443%, 1/26/2018
|
476,638
|
422,506
|
||||||||||||
|
Cumulus Media Holdings, Inc., Second Lien Term Loan, 7.5%, 9/16/2019
|
605,000
|
619,369
|
||||||||||||
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/2019
|
4,770,000
|
4,792,586
|
||||||||||||
|
Petco Animal Supplies, Inc., Term Loan, 4.0%, 11/24/2017
|
717,333
|
718,233
|
||||||||||||
|
Pilot Travel Centers LLC:
|
||||||||||||||
|
Term Loan B, 3.75%, 3/30/2018
|
1,103,471
|
1,089,336
|
||||||||||||
|
Term Loan B2, 4.25%, 8/7/2019
|
2,932,838
|
2,900,767
|
||||||||||||
|
Tomkins LLC:
Term Loan B2, 3.75%, 9/29/2016
|
4,116,955
|
4,140,113
|
||||||||||||
|
First Lien Term Loan, 5.0%, 11/9/2018
|
691,525
|
696,711
|
||||||||||||
|
Univision Communications, Inc., Term Loan, 4.5%, 3/2/2020
|
745,621
|
740,029
|
||||||||||||
|
16,919,744
|
||||||||||||||
|
Consumer Staples 2.7%
|
||||||||||||||
|
Albertson's LLC:
|
||||||||||||||
|
Term Loan B1, 4.25%, 3/21/2016
|
874,458
|
865,713
|
||||||||||||
|
Term Loan B2, 4.75%, 3/21/2019
|
570,542
|
567,869
|
||||||||||||
|
Del Monte Foods Co., Term Loan, 4.0%, 3/8/2018
|
1,887,486
|
1,884,343
|
||||||||||||
|
HJ Heinz Co., Term Loan B2, 3.5%, 6/5/2020
|
3,240,000
|
3,243,499
|
||||||||||||
|
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/2020
|
558,600
|
556,087
|
||||||||||||
|
7,117,511
|
||||||||||||||
|
Energy 2.2%
|
||||||||||||||
|
Chesapeake Energy Corp., Term Loan, 5.75%, 12/1/2017
|
1,440,000
|
1,460,700
|
||||||||||||
|
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.5%, 3/27/2020
|
370,000
|
370,000
|
||||||||||||
|
Samson Investment Co., Second Lien Term Loan, 6.0%, 9/25/2018
|
2,215,000
|
2,215,000
|
||||||||||||
|
Tallgrass Operations LLC, Term Loan, 5.25%, 11/13/2018
|
1,188,664
|
1,196,842
|
||||||||||||
|
5,242,542
|
||||||||||||||
|
Health Care 1.1%
|
||||||||||||||
|
Par Pharmaceutical Companies, Inc., Term Loan B, 4.25%, 9/30/2019
|
1,280,341
|
1,274,100
|
||||||||||||
|
Warner Chilcott Co., LLC Term Loan B2, 4.25%, 3/15/2018
|
70,799
|
70,969
|
||||||||||||
|
Warner Chilcott Corp., Term Loan B1, 4.25%, 3/15/2018
|
755,637
|
757,458
|
||||||||||||
|
WC Luxco S.a.r.l., Term Loan B3, 4.25%, 3/15/2018
|
414,858
|
415,857
|
||||||||||||
|
WP Prism, Inc., Term Loan, 6.25%, 5/31/2018 (PIK)
|
500,000
|
501,665
|
||||||||||||
|
3,020,049
|
||||||||||||||
|
Industrials 1.1%
|
||||||||||||||
|
Buffalo Gulf Coast Terminals LLC, Term Loan, 5.25%, 10/31/2017
|
823,775
|
836,132
|
||||||||||||
|
WP CPP Holdings LLC, First Lien Term Loan, 4.75%, 12/27/2019
|
1,950,200
|
1,947,762
|
||||||||||||
|
2,783,894
|
||||||||||||||
|
Information Technology 2.7%
|
||||||||||||||
|
First Data Corp.:
|
||||||||||||||
|
Term Loan, 4.193%, 3/24/2017
|
3,320,000
|
3,250,496
|
||||||||||||
|
Term Loan B, 4.193%, 3/23/2018
|
3,987,082
|
3,896,814
|
||||||||||||
|
7,147,310
|
||||||||||||||
|
Telecommunication Services 3.8%
|
||||||||||||||
|
Crown Castle International Corp., Term Loan, 3.25%, 1/31/2019
|
4,861,203
|
4,837,408
|
||||||||||||
|
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/2020
|
74,813
|
74,719
|
||||||||||||
|
Kabel Deutschland GmbH, Term Loan F1, 3.25%, 2/1/2019
|
4,967,730
|
4,963,507
|
||||||||||||
|
9,875,634
|
||||||||||||||
|
Utilities 0.6%
|
||||||||||||||
|
NRG Energy, Inc., Term Loan B, 2.75%, 7/2/2018
|
1,662,449
|
1,649,117
|
||||||||||||
|
Total Loan Participations and Assignments (Cost $53,637,251)
|
53,755,801
|
|||||||||||||
|
Shares
|
Value ($)
|
|||||||||||||
|
Preferred Stock 0.3%
|
||||||||||||||
|
Financials
|
||||||||||||||
|
Ally Financial, Inc. 144A, 7.0% (Cost $722,594)
|
770
|
731,909
|
||||||||||||
|
Cash Equivalents 3.2%
|
||||||||||||||
|
Central Cash Management Fund, 0.07% (c)
(Cost $8,340,246)
|
8,340,246
|
8,340,246
|
||||||||||||
|
% of
Net Assets
|
Value ($)
|
|||||||||||||
|
Total Investment Portfolio (Cost $361,675,240) †
|
139.8
|
367,803,307
|
||||||||||||
|
Other Assets and Liabilities, Net
|
(39.8)
|
(104,345,684)
|
||||||||||||
|
Net Assets
|
100.0
|
263,457,623
|
||||||||||||
|
For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.
|
|
|
*
|
Floating rate securities’ yields vary with a designated market index or market rate, such as the coupon-equivalent of the U.S. Treasury Bill rate. These securities are shown at their current rate as of June 30, 2013.
|
|
†
|
The cost for federal income tax purposes was $361,675,240. At June 30, 2013, net unrealized appreciation for all securities based on tax cost was $6,128,067. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $10,109,810 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $3,981,743.
|
|
(a)
|
Principal amount stated in U.S. dollars unless otherwise noted.
|
|
(b)
|
When-issued security.
|
|
(c)
|
Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
|
|
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
|
|
PIK: Denotes that all or a portion of the income is paid in-kind in the form of additional principal.
|
|
|
REIT: Real Estate Investment Trust
|
|
|
The Fund can invest in certain Senior Loan agreements that include the obligation to make additional loans in certain circumstances. The Fund reserves against such contingent obligations by segregating cash, liquid securities and liquid Senior Loans. At June 30, 2013, the Fund had an unfunded loan commitment of $555,000, which could be extended at the option of the borrower, pursuant to the following loan agreement:
|
|
|
Borrower
|
Unfunded Loan
Commitment ($)
|
Value ($)
|
Unrealized
Appreciation ($)
|
|||||||||
|
Tallgrass Operations LLC, Term Delay
Draw, 11/13/2017
|
555,000 | 555,000 | 0 | |||||||||
|
At June 30, 2013, open credit default swap contracts sold were as follows:
|
|
Effective/
Expiration
Date
|
Notional
Amount ($) (d)
|
Fixed Cash
Flows
Received
|
Underlying Debt
Obligation/
Quality Rating (e)
|
Value ($)
|
Upfront Payments
Paid ($)
|
Unrealized
Appreciation ($)
|
||
|
12/20/2011
3/20/2017
|
705,0001
|
5.0%
|
CIT Group, Inc.,
5.5%, 2/15/2019, BB-
|
87,938
|
22,113
|
65,825
|
||
|
9/20/2012
12/20/2017
|
910,0002
|
5.0%
|
General Motors Corp.,
3.3%, 12/20/2017, BB+
|
113,169
|
60,503
|
52,666
|
||
|
Total unrealized appreciation
|
118,491
|
|||||||
|
(d)
|
The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of buy protection credit default swap contracts entered into by the Fund for the same referenced debt obligation, if any.
|
|
(e)
|
The quality ratings represent the higher of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings and are unaudited.
|
|
Counterparty:
|
|
|
1
|
Credit Suisse
|
|
2
|
UBS AG
|
|
As of June 30, 2013, the Fund had the following open forward foreign currency exchange contracts:
|
|||||||||||||||
|
Contracts to Deliver
|
In Exchange For
|
Settlement
Date
|
Unrealized
Appreciation ($)
|
Counterparty
|
|||||||||||
|
USD
|
14,152 |
EUR
|
10,875 |
7/19/2013
|
5 |
Citigroup, Inc.
|
|||||||||
|
EUR
|
2,382,147 |
USD
|
3,176,342 |
7/19/2013
|
75,413 |
Citigroup, Inc.
|
|||||||||
|
Total unrealized appreciation
|
75,418 | ||||||||||||||
|
Currency Abbreviations
|
||||
|
EUR
|
Euro
|
|||
|
USD
|
United States Dollar
|
|||
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Assets
|
||||||||||||||||
|
Fixed Income Investments(f)
|
||||||||||||||||
|
Corporate Bonds
|
$ | — | $ | 304,975,351 | $ | — | $ | 304,975,351 | ||||||||
|
Loan Participations and Assignments
|
— | 53,755,801 | — | 53,755,801 | ||||||||||||
|
Preferred Stock
|
— | 731,909 | — | 731,909 | ||||||||||||
|
Short-Term Investments
|
8,340,246 | — | — | 8,340,246 | ||||||||||||
|
Unfunded Loan Commitment
|
— | 0 | — | 0 | ||||||||||||
|
Derivatives(g)
|
||||||||||||||||
|
Credit Default Swaps Contracts
|
— | 118,491 | — | 118,491 | ||||||||||||
|
Forward Foreign Currency Contracts
|
— | 75,418 | — | 75,418 | ||||||||||||
|
Total
|
$ | 8,340,246 | $ | 359,656,970 | $ | — | $ | 367,997,216 | ||||||||
|
(f)
|
See Investment Portfolio for additional detailed categorizations.
|
|
(g)
|
Derivatives include unrealized appreciation (depreciation) on credit default swap contracts and forward foreign currency exchange contracts.
|
|
Primary Underlying Risk Disclosure
|
Swaps
|
Forward Currency Contracts
|
||||||
|
Credit Contracts
|
$ | 118,491 | $ | — | ||||
|
Foreign Exchange Contracts
|
$ | — | $ | 75,418 | ||||
|
ITEM 2.
|
CONTROLS AND PROCEDURES
|
|
(a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
|
|
|
(b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
|
|
|
ITEM 3.
|
EXHIBITS
|
|
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.
|
|
Registrant:
|
DWS High Income Opportunities Fund, Inc.
|
|
By:
|
/s/W. Douglas Beck
W. Douglas Beck
President
|
|
Date:
|
August 19, 2013
|
|
By:
|
/s/W. Douglas Beck
W. Douglas Beck
President
|
|
Date:
|
August 19, 2013
|
|
By:
|
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
|
|
Date:
|
August 19, 2013
|