|
ITEM 1.
|
SCHEDULE OF INVESTMENTS
|
| Investment Portfolio | as of June 30, 2014 (Unaudited) |
|
Principal
Amount ($) (a)
|
Value ($)
|
||||||||||||
|
Corporate Bonds 117.6%
|
|||||||||||||
|
Consumer Discretionary 19.3%
|
|||||||||||||
|
Ally Financial, Inc., 3.5%, 1/27/2019
|
1,445,000
|
1,459,016
|
|||||||||||
|
AMC Entertainment, Inc., 5.875%, 2/15/2022
|
430,000
|
447,200
|
|||||||||||
|
AMC Networks, Inc., 7.75%, 7/15/2021
|
165,000
|
184,594
|
|||||||||||
|
AmeriGas Finance LLC:
|
|||||||||||||
|
6.75%, 5/20/2020
|
885,000
|
960,225
|
|||||||||||
|
7.0%, 5/20/2022
|
680,000
|
753,100
|
|||||||||||
|
APX Group, Inc.:
|
|||||||||||||
|
6.375%, 12/1/2019
|
375,000
|
389,063
|
|||||||||||
|
8.75%, 12/1/2020 (b)
|
50,000
|
50,750
|
|||||||||||
|
144A, 8.75%, 12/1/2020
|
285,000
|
289,275
|
|||||||||||
|
Asbury Automotive Group, Inc., 8.375%, 11/15/2020
|
95,000
|
105,450
|
|||||||||||
|
Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022
|
560,000
|
611,800
|
|||||||||||
|
Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021
|
595,000
|
595,000
|
|||||||||||
|
Avis Budget Car Rental LLC, 5.5%, 4/1/2023
|
365,000
|
373,213
|
|||||||||||
|
BC Mountain LLC, 144A, 7.0%, 2/1/2021
|
360,000
|
348,300
|
|||||||||||
|
Block Communications, Inc., 144A, 7.25%, 2/1/2020
|
715,000
|
761,475
|
|||||||||||
|
Boyd Gaming Corp., 9.0%, 7/1/2020
|
275,000
|
303,188
|
|||||||||||
|
Cablevision Systems Corp., 5.875%, 9/15/2022
|
210,000
|
213,938
|
|||||||||||
|
Carlson Wagonlit BV, 144A, 6.875%, 6/15/2019
|
400,000
|
430,000
|
|||||||||||
|
CCO Holdings LLC:
|
|||||||||||||
|
6.625%, 1/31/2022
|
840,000
|
903,000
|
|||||||||||
|
7.375%, 6/1/2020
|
100,000
|
109,000
|
|||||||||||
|
Cequel Communications Holdings I LLC:
|
|||||||||||||
|
144A, 5.125%, 12/15/2021
|
1,190,000
|
1,185,537
|
|||||||||||
|
144A, 6.375%, 9/15/2020
|
2,070,000
|
2,199,375
|
|||||||||||
|
Chrysler Group LLC, 8.25%, 6/15/2021
|
280,000
|
316,400
|
|||||||||||
|
Clear Channel Communications, Inc.:
|
|||||||||||||
|
9.0%, 12/15/2019
|
970,000
|
1,034,262
|
|||||||||||
|
11.25%, 3/1/2021
|
495,000
|
561,206
|
|||||||||||
|
Clear Channel Worldwide Holdings, Inc.:
|
|||||||||||||
|
Series A, 6.5%, 11/15/2022
|
445,000
|
475,037
|
|||||||||||
|
Series B, 6.5%, 11/15/2022
|
665,000
|
716,537
|
|||||||||||
|
Series A, 7.625%, 3/15/2020
|
105,000
|
112,350
|
|||||||||||
|
Series B, 7.625%, 3/15/2020
|
2,565,000
|
2,766,994
|
|||||||||||
|
Cogeco Cable, Inc., 144A, 4.875%, 5/1/2020
|
40,000
|
40,500
|
|||||||||||
|
Crown Media Holdings, Inc., 10.5%, 7/15/2019
|
275,000
|
309,719
|
|||||||||||
|
CSC Holdings LLC, 144A, 5.25%, 6/1/2024
|
970,000
|
954,237
|
|||||||||||
|
Cumulus Media Holdings, Inc., 7.75%, 5/1/2019
|
350,000
|
368,813
|
|||||||||||
|
Delphi Corp., 5.0%, 2/15/2023
|
490,000
|
526,750
|
|||||||||||
|
DISH DBS Corp.:
|
|||||||||||||
|
4.25%, 4/1/2018
|
530,000
|
551,200
|
|||||||||||
|
5.0%, 3/15/2023
|
685,000
|
697,844
|
|||||||||||
|
6.75%, 6/1/2021
|
145,000
|
165,300
|
|||||||||||
|
Getty Images, Inc., 144A, 7.0%, 10/15/2020
|
180,000
|
164,925
|
|||||||||||
|
Group 1 Automotive, Inc., 144A, 5.0%, 6/1/2022
|
395,000
|
395,000
|
|||||||||||
|
Harron Communications LP, 144A, 9.125%, 4/1/2020
|
755,000
|
841,825
|
|||||||||||
|
Hot Topic, Inc., 144A, 9.25%, 6/15/2021
|
285,000
|
316,350
|
|||||||||||
|
Isle of Capri Casinos, Inc., 5.875%, 3/15/2021
|
190,000
|
192,138
|
|||||||||||
|
Jo-Ann Stores Holdings, Inc., 144A, 9.75%, 10/15/2019 (PIK)
|
225,000
|
230,063
|
|||||||||||
|
Live Nation Entertainment, Inc.:
|
|||||||||||||
|
144A, 5.375%, 6/15/2022
|
100,000
|
101,250
|
|||||||||||
|
144A, 7.0%, 9/1/2020
|
675,000
|
739,125
|
|||||||||||
|
MDC Partners, Inc., 144A, 6.75%, 4/1/2020
|
430,000
|
453,650
|
|||||||||||
|
Mediacom Broadband LLC:
|
|||||||||||||
|
144A, 5.5%, 4/15/2021
|
100,000
|
101,250
|
|||||||||||
|
6.375%, 4/1/2023
|
800,000
|
844,000
|
|||||||||||
|
Mediacom LLC, 7.25%, 2/15/2022
|
200,000
|
218,000
|
|||||||||||
|
MGM Resorts International:
|
|||||||||||||
|
6.75%, 10/1/2020
|
834,000
|
930,952
|
|||||||||||
|
7.5%, 6/1/2016
|
550,000
|
607,062
|
|||||||||||
|
7.625%, 1/15/2017
|
385,000
|
435,050
|
|||||||||||
|
8.625%, 2/1/2019
|
950,000
|
1,131,687
|
|||||||||||
|
Numericable Group SA:
|
|||||||||||||
|
144A, 4.875%, 5/15/2019
|
975,000
|
1,000,594
|
|||||||||||
|
144A, 6.0%, 5/15/2022
|
1,455,000
|
1,513,200
|
|||||||||||
|
144A, 6.25%, 5/15/2024
|
430,000
|
448,812
|
|||||||||||
|
PETCO Animal Supplies, Inc., 144A, 9.25%, 12/1/2018
|
670,000
|
719,412
|
|||||||||||
|
Pinnacle Entertainment, Inc., 6.375%, 8/1/2021
|
480,000
|
506,400
|
|||||||||||
|
Quebecor Media, Inc., 5.75%, 1/15/2023
|
375,000
|
385,313
|
|||||||||||
|
Schaeffler Finance BV, 144A, 7.75%, 2/15/2017
|
755,000
|
851,262
|
|||||||||||
|
Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021
|
235,000
|
235,588
|
|||||||||||
|
Serta Simmons Holdings LLC, 144A, 8.125%, 10/1/2020
|
210,000
|
227,850
|
|||||||||||
|
Sirius XM Radio, Inc., 144A, 5.875%, 10/1/2020
|
405,000
|
428,288
|
|||||||||||
|
Springs Industries, Inc., 6.25%, 6/1/2021
|
565,000
|
576,300
|
|||||||||||
|
Starz LLC, 5.0%, 9/15/2019
|
295,000
|
307,169
|
|||||||||||
|
Stoneridge, Inc., 144A, 9.5%, 10/15/2017
|
5,100,000
|
5,431,500
|
|||||||||||
|
Taylor Morrison Communities, Inc., 144A, 5.25%, 4/15/2021
|
455,000
|
461,825
|
|||||||||||
|
The Men's Wearhouse, Inc., 144A, 7.0%, 7/1/2022
|
275,000
|
284,625
|
|||||||||||
|
UCI International, Inc., 8.625%, 2/15/2019
|
235,000
|
223,250
|
|||||||||||
|
Unitymedia Hessen GmbH & Co., KG:
|
|||||||||||||
|
144A, 5.5%, 1/15/2023
|
1,630,000
|
1,687,050
|
|||||||||||
|
144A, 7.5%, 3/15/2019
|
825,000
|
880,687
|
|||||||||||
|
Unitymedia KabelBW GmbH, 144A, 9.625%, 12/1/2019
|
EUR
|
1,595,000
|
2,342,962
|
||||||||||
|
Univision Communications, Inc., 144A, 8.5%, 5/15/2021
|
135,000
|
149,681
|
|||||||||||
|
Viking Cruises Ltd., 144A, 8.5%, 10/15/2022
|
375,000
|
414,375
|
|||||||||||
|
Visant Corp., 10.0%, 10/1/2017
|
1,220,000
|
1,137,650
|
|||||||||||
|
Weyerhaeuser Real Estate Co.:
|
|||||||||||||
|
144A, 4.375%, 6/15/2019
|
280,000
|
280,700
|
|||||||||||
|
144A, 5.875%, 6/15/2024
|
90,000
|
92,588
|
|||||||||||
|
50,559,056
|
|||||||||||||
|
Consumer Staples 4.7%
|
|||||||||||||
|
Barry Callebaut Services NV, 144A, 5.5%, 6/15/2023
|
345,000
|
363,872
|
|||||||||||
|
Big Heart Pet Brands, 7.625%, 2/15/2019
|
561,000
|
584,618
|
|||||||||||
|
Chiquita Brands International, Inc., 7.875%, 2/1/2021
|
327,000
|
356,021
|
|||||||||||
|
Cott Beverages, Inc., 144A, 5.375%, 7/1/2022
|
460,000
|
461,150
|
|||||||||||
|
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020
|
215,000
|
230,050
|
|||||||||||
|
JBS Investments GmbH, 144A, 7.25%, 4/3/2024
|
970,000
|
1,003,950
|
|||||||||||
|
JBS U.S.A. LLC:
|
|||||||||||||
|
144A, 7.25%, 6/1/2021
|
1,015,000
|
1,088,587
|
|||||||||||
|
144A, 8.25%, 2/1/2020
|
295,000
|
320,075
|
|||||||||||
|
Pilgrim's Pride Corp., 7.875%, 12/15/2018
|
265,000
|
280,582
|
|||||||||||
|
Post Holdings, Inc.:
|
|||||||||||||
|
144A, 6.0%, 12/15/2022
|
385,000
|
392,700
|
|||||||||||
|
144A, 6.75%, 12/1/2021
|
825,000
|
876,562
|
|||||||||||
|
Reynolds Group Issuer, Inc.:
|
|||||||||||||
|
5.75%, 10/15/2020
|
1,785,000
|
1,883,175
|
|||||||||||
|
8.25%, 2/15/2021
|
3,000,000
|
3,262,500
|
|||||||||||
|
Roundy's Supermarkets, Inc., 144A, 10.25%, 12/15/2020
|
415,000
|
438,344
|
|||||||||||
|
Smithfield Foods, Inc., 6.625%, 8/15/2022
|
370,000
|
405,150
|
|||||||||||
|
U.S. Foods, Inc., 8.5%, 6/30/2019
|
385,000
|
412,143
|
|||||||||||
|
12,359,479
|
|||||||||||||
|
Energy 16.4%
|
|||||||||||||
|
Access Midstream Partners LP, 6.125%, 7/15/2022
|
615,000
|
679,575
|
|||||||||||
|
Antero Resources Finance Corp., 5.375%, 11/1/2021
|
200,000
|
207,500
|
|||||||||||
|
Baytex Energy Corp.:
|
|||||||||||||
|
144A, 5.125%, 6/1/2021
|
185,000
|
186,156
|
|||||||||||
|
144A, 5.625%, 6/1/2024
|
185,000
|
185,694
|
|||||||||||
|
Berry Petroleum Co., LLC:
|
|||||||||||||
|
6.375%, 9/15/2022
|
360,000
|
383,400
|
|||||||||||
|
6.75%, 11/1/2020
|
615,000
|
647,288
|
|||||||||||
|
BreitBurn Energy Partners LP, 7.875%, 4/15/2022
|
1,290,000
|
1,396,425
|
|||||||||||
|
Chaparral Energy, Inc.:
|
|||||||||||||
|
7.625%, 11/15/2022
|
450,000
|
486,000
|
|||||||||||
|
9.875%, 10/1/2020
|
1,750,000
|
1,973,125
|
|||||||||||
|
Chesapeake Energy Corp.:
|
|||||||||||||
|
3.25%, 3/15/2016
|
905,000
|
910,656
|
|||||||||||
|
3.479%**, 4/15/2019
|
560,000
|
566,300
|
|||||||||||
|
Chesapeake Oilfield Operating LLC, 6.625%, 11/15/2019
|
400,000
|
430,000
|
|||||||||||
|
CONSOL Energy, Inc., 144A, 5.875%, 4/15/2022
|
195,000
|
204,263
|
|||||||||||
|
Crestwood Midstream Partners LP:
|
|||||||||||||
|
144A, 6.125%, 3/1/2022
|
300,000
|
315,750
|
|||||||||||
|
7.75%, 4/1/2019
|
610,000
|
654,225
|
|||||||||||
|
Dresser-Rand Group, Inc., 6.5%, 5/1/2021
|
780,000
|
834,600
|
|||||||||||
|
Endeavor Energy Resources LP, 144A, 7.0%, 8/15/2021
|
1,040,000
|
1,110,200
|
|||||||||||
|
EP Energy LLC:
|
|||||||||||||
|
6.875%, 5/1/2019
|
635,000
|
675,481
|
|||||||||||
|
7.75%, 9/1/2022
|
380,000
|
428,450
|
|||||||||||
|
9.375%, 5/1/2020
|
145,000
|
166,025
|
|||||||||||
|
EV Energy Partners LP, 8.0%, 4/15/2019
|
1,595,000
|
1,674,750
|
|||||||||||
|
EXCO Resources, Inc., 8.5%, 4/15/2022
|
290,000
|
313,200
|
|||||||||||
|
Halcon Resources Corp.:
|
|||||||||||||
|
8.875%, 5/15/2021
|
1,137,000
|
1,222,275
|
|||||||||||
|
9.75%, 7/15/2020
|
710,000
|
774,787
|
|||||||||||
|
Hilcorp Energy I LP, 144A, 5.0%, 12/1/2024 (b)
|
375,000
|
375,000
|
|||||||||||
|
Holly Energy Partners LP, 6.5%, 3/1/2020
|
205,000
|
220,888
|
|||||||||||
|
Ithaca Energy, Inc., 144A, 8.125%, 7/1/2019 (b)
|
325,000
|
325,000
|
|||||||||||
|
Kodiak Oil & Gas Corp., 5.5%, 1/15/2021
|
735,000
|
766,237
|
|||||||||||
|
Linn Energy LLC:
|
|||||||||||||
|
6.25%, 11/1/2019
|
620,000
|
649,450
|
|||||||||||
|
6.5%, 5/15/2019
|
785,000
|
828,175
|
|||||||||||
|
MEG Energy Corp.:
|
|||||||||||||
|
144A, 6.5%, 3/15/2021
|
435,000
|
461,100
|
|||||||||||
|
144A, 7.0%, 3/31/2024
|
1,000,000
|
1,102,500
|
|||||||||||
|
Memorial Resource Development Corp., 144A, 5.875%, 7/1/2022 (b)
|
375,000
|
377,813
|
|||||||||||
|
Midstates Petroleum Co., Inc.:
|
|||||||||||||
|
9.25%, 6/1/2021
|
1,590,000
|
1,745,025
|
|||||||||||
|
10.75%, 10/1/2020
|
885,000
|
1,004,475
|
|||||||||||
|
Murphy Oil U.S.A., Inc., 6.0%, 8/15/2023
|
575,000
|
605,188
|
|||||||||||
|
Newfield Exploration Co., 5.75%, 1/30/2022
|
390,000
|
430,950
|
|||||||||||
|
Northern Oil & Gas, Inc., 8.0%, 6/1/2020
|
1,105,000
|
1,179,587
|
|||||||||||
|
Oasis Petroleum, Inc.:
|
|||||||||||||
|
6.5%, 11/1/2021
|
300,000
|
322,500
|
|||||||||||
|
144A, 6.875%, 3/15/2022
|
835,000
|
910,150
|
|||||||||||
|
6.875%, 1/15/2023
|
225,000
|
245,250
|
|||||||||||
|
7.25%, 2/1/2019
|
715,000
|
757,900
|
|||||||||||
|
Offshore Group Investment Ltd.:
|
|||||||||||||
|
7.125%, 4/1/2023
|
730,000
|
740,950
|
|||||||||||
|
7.5%, 11/1/2019
|
840,000
|
888,300
|
|||||||||||
|
Regency Energy Partners LP, 5.875%, 3/1/2022
|
55,000
|
59,744
|
|||||||||||
|
Sabine Pass Liquefaction LLC:
|
|||||||||||||
|
5.625%, 2/1/2021
|
1,240,000
|
1,311,300
|
|||||||||||
|
5.625%, 4/15/2023
|
280,000
|
291,900
|
|||||||||||
|
144A, 5.75%, 5/15/2024
|
320,000
|
333,600
|
|||||||||||
|
Sabine Pass LNG LP, 7.5%, 11/30/2016
|
565,000
|
624,325
|
|||||||||||
|
Samson Investment Co., 144A, 10.75%, 2/15/2020
|
295,000
|
310,856
|
|||||||||||
|
SandRidge Energy, Inc, 8.125%, 10/15/2022
|
1,540,000
|
1,695,925
|
|||||||||||
|
SandRidge Energy, Inc., 7.5%, 3/15/2021
|
1,110,000
|
1,202,962
|
|||||||||||
|
SESI LLC:
|
|||||||||||||
|
6.375%, 5/1/2019
|
440,000
|
469,700
|
|||||||||||
|
7.125%, 12/15/2021
|
1,280,000
|
1,443,200
|
|||||||||||
|
Seventy Seven Energy, Inc., 144A, 6.5%, 7/15/2022
|
90,000
|
92,250
|
|||||||||||
|
Swift Energy Co., 7.875%, 3/1/2022
|
480,000
|
501,600
|
|||||||||||
|
Talos Production LLC, 144A, 9.75%, 2/15/2018
|
695,000
|
736,700
|
|||||||||||
|
Tesoro Corp., 4.25%, 10/1/2017
|
400,000
|
418,000
|
|||||||||||
|
Welltec AS, 144A, 8.0%, 2/1/2019
|
200,000
|
213,000
|
|||||||||||
|
Whiting Petroleum Corp., 5.0%, 3/15/2019
|
520,000
|
547,300
|
|||||||||||
|
Woodbine Holdings LLC, 12.0%, 5/15/2016
|
1,895,000
|
2,013,437
|
|||||||||||
|
WPX Energy, Inc., 5.25%, 1/15/2017
|
450,000
|
479,250
|
|||||||||||
|
43,107,612
|
|||||||||||||
|
Financials 7.3%
|
|||||||||||||
|
AerCap Aviation Solutions BV, 6.375%, 5/30/2017
|
1,300,000
|
1,433,250
|
|||||||||||
|
Banco Bradesco SA, 144A, 5.75%, 3/1/2022
|
1,355,000
|
1,419,362
|
|||||||||||
|
CIT Group, Inc.:
|
|||||||||||||
|
3.875%, 2/19/2019
|
2,130,000
|
2,163,228
|
|||||||||||
|
5.25%, 3/15/2018
|
1,045,000
|
1,122,069
|
|||||||||||
|
Credit Agricole SA, 144A, 7.875%, 1/29/2049
|
635,000
|
693,737
|
|||||||||||
|
Credit Suisse Group AG, 144A, 6.25%, 12/29/2049
|
440,000
|
442,860
|
|||||||||||
|
E*TRADE Financial Corp.:
|
|||||||||||||
|
6.375%, 11/15/2019
|
1,284,000
|
1,389,930
|
|||||||||||
|
6.75%, 6/1/2016
|
680,000
|
737,800
|
|||||||||||
|
International Lease Finance Corp.:
|
|||||||||||||
|
3.875%, 4/15/2018
|
1,370,000
|
1,404,250
|
|||||||||||
|
5.75%, 5/15/2016
|
205,000
|
219,606
|
|||||||||||
|
6.25%, 5/15/2019
|
605,000
|
677,600
|
|||||||||||
|
8.75%, 3/15/2017
|
1,220,000
|
1,418,250
|
|||||||||||
|
Morgan Stanley, Series H, 5.45%, 7/29/2049
|
295,000
|
300,381
|
|||||||||||
|
MPT Operating Partnership LP:
|
|||||||||||||
|
(REIT), 6.375%, 2/15/2022
|
545,000
|
584,512
|
|||||||||||
|
(REIT), 6.875%, 5/1/2021
|
550,000
|
599,500
|
|||||||||||
|
Neuberger Berman Group LLC:
|
|||||||||||||
|
144A, 5.625%, 3/15/2020
|
305,000
|
322,538
|
|||||||||||
|
144A, 5.875%, 3/15/2022
|
505,000
|
539,088
|
|||||||||||
|
Popular, Inc., 7.0%, 7/1/2019 (b)
|
285,000
|
289,275
|
|||||||||||
|
Societe Generale SA, 144A, 7.875%, 12/29/2049
|
1,555,000
|
1,658,019
|
|||||||||||
|
The Goldman Sachs Group, Inc., Series L, 5.7%, 12/29/2049
|
490,000
|
506,231
|
|||||||||||
|
UniCredit SpA, 8.0%, 4/3/2049
|
1,030,000
|
1,096,950
|
|||||||||||
|
19,018,436
|
|||||||||||||
|
Health Care 8.3%
|
|||||||||||||
|
Aviv Healthcare Properties LP:
|
|||||||||||||
|
6.0%, 10/15/2021
|
205,000
|
217,300
|
|||||||||||
|
7.75%, 2/15/2019
|
955,000
|
1,017,075
|
|||||||||||
|
Biomet, Inc.:
|
|||||||||||||
|
6.5%, 8/1/2020
|
655,000
|
705,762
|
|||||||||||
|
6.5%, 10/1/2020
|
185,000
|
197,488
|
|||||||||||
|
Community Health Systems, Inc.:
|
|||||||||||||
|
5.125%, 8/15/2018
|
2,160,000
|
2,265,300
|
|||||||||||
|
144A, 5.125%, 8/1/2021
|
105,000
|
107,625
|
|||||||||||
|
144A, 6.875%, 2/1/2022
|
2,140,000
|
2,268,400
|
|||||||||||
|
7.125%, 7/15/2020
|
1,230,000
|
1,331,475
|
|||||||||||
|
Crimson Merger Sub, Inc., 144A, 6.625%, 5/15/2022
|
980,000
|
972,650
|
|||||||||||
|
Endo Finance LLC:
|
|||||||||||||
|
144A, 5.375%, 1/15/2023
|
425,000
|
424,469
|
|||||||||||
|
144A, 5.75%, 1/15/2022
|
420,000
|
428,400
|
|||||||||||
|
Fresenius Medical Care U.S. Finance II, Inc., 144A, 5.625%, 7/31/2019
|
405,000
|
441,450
|
|||||||||||
|
Fresenius Medical Care U.S. Finance, Inc.:
|
|||||||||||||
|
144A, 5.75%, 2/15/2021
|
235,000
|
256,738
|
|||||||||||
|
144A, 6.5%, 9/15/2018
|
210,000
|
237,300
|
|||||||||||
|
HCA, Inc.:
|
|||||||||||||
|
6.5%, 2/15/2020
|
2,155,000
|
2,424,375
|
|||||||||||
|
7.5%, 2/15/2022
|
804,000
|
927,615
|
|||||||||||
|
Hologic, Inc., 6.25%, 8/1/2020
|
385,000
|
406,175
|
|||||||||||
|
IMS Health, Inc., 144A, 6.0%, 11/1/2020
|
465,000
|
488,250
|
|||||||||||
|
LifePoint Hospitals, Inc., 144A, 5.5%, 12/1/2021
|
515,000
|
539,462
|
|||||||||||
|
Par Pharmaceutical Companies, Inc., 7.375%, 10/15/2020
|
660,000
|
709,500
|
|||||||||||
|
Physio-Control International, Inc., 144A, 9.875%, 1/15/2019
|
280,000
|
309,400
|
|||||||||||
|
Salix Pharmaceuticals Ltd., 144A, 6.0%, 1/15/2021
|
315,000
|
337,838
|
|||||||||||
|
Tenet Healthcare Corp., 6.25%, 11/1/2018
|
975,000
|
1,082,250
|
|||||||||||
|
Valeant Pharmaceuticals International, Inc.:
|
|||||||||||||
|
144A, 6.375%, 10/15/2020
|
475,000
|
504,688
|
|||||||||||
|
144A, 6.75%, 8/15/2018
|
915,000
|
985,912
|
|||||||||||
|
144A, 7.5%, 7/15/2021
|
1,985,000
|
2,198,387
|
|||||||||||
|
21,785,284
|
|||||||||||||
|
Industrials 14.2%
|
|||||||||||||
|
ADT Corp.:
|
|||||||||||||
|
3.5%, 7/15/2022
|
285,000
|
259,350
|
|||||||||||
|
4.125%, 4/15/2019
|
85,000
|
85,531
|
|||||||||||
|
6.25%, 10/15/2021
|
300,000
|
318,000
|
|||||||||||
|
Aguila 3 SA, 144A, 7.875%, 1/31/2018
|
920,000
|
970,600
|
|||||||||||
|
Air Lease Corp., 4.75%, 3/1/2020
|
535,000
|
577,800
|
|||||||||||
|
Alphabet Holding Co., Inc., 7.75%, 11/1/2017 (PIK)
|
705,000
|
727,912
|
|||||||||||
|
Artesyn Escrow, Inc., 144A, 9.75%, 10/15/2020
|
500,000
|
491,250
|
|||||||||||
|
AWAS Aviation Capital Ltd., 144A, 7.0%, 10/17/2016
|
713,800
|
735,214
|
|||||||||||
|
BE Aerospace, Inc., 6.875%, 10/1/2020
|
6,910,000
|
7,505,987
|
|||||||||||
|
Belden, Inc., 144A, 5.5%, 9/1/2022
|
660,000
|
683,100
|
|||||||||||
|
Bombardier, Inc.:
|
|||||||||||||
|
144A, 4.75%, 4/15/2019
|
290,000
|
295,075
|
|||||||||||
|
144A, 5.75%, 3/15/2022
|
425,000
|
435,625
|
|||||||||||
|
144A, 6.0%, 10/15/2022
|
485,000
|
497,125
|
|||||||||||
|
Carlson Travel Holdings, Inc., 144A, 7.5%, 8/15/2019 (PIK) (b)
|
250,000
|
255,000
|
|||||||||||
|
Casella Waste Systems, Inc., 7.75%, 2/15/2019
|
550,000
|
574,750
|
|||||||||||
|
CNH Industrial Capital LLC, 3.25%, 2/1/2017
|
1,615,000
|
1,637,206
|
|||||||||||
|
Covanta Holding Corp., 5.875%, 3/1/2024
|
430,000
|
444,513
|
|||||||||||
|
CTP Transportation Products LLC, 144A, 8.25%, 12/15/2019
|
520,000
|
560,300
|
|||||||||||
|
Darling Ingredients, Inc., 144A, 5.375%, 1/15/2022
|
415,000
|
430,563
|
|||||||||||
|
DigitalGlobe, Inc., 5.25%, 2/1/2021
|
270,000
|
267,300
|
|||||||||||
|
Ducommun, Inc., 9.75%, 7/15/2018
|
705,000
|
784,531
|
|||||||||||
|
Florida East Coast Holdings Corp., 144A, 6.75%, 5/1/2019
|
885,000
|
934,781
|
|||||||||||
|
FTI Consulting, Inc., 6.0%, 11/15/2022
|
375,000
|
385,781
|
|||||||||||
|
Garda World Security Corp., 144A, 7.25%, 11/15/2021
|
540,000
|
567,675
|
|||||||||||
|
Gates Global LLC, 144A, 6.0%, 7/15/2022
|
370,000
|
370,000
|
|||||||||||
|
GenCorp, Inc., 7.125%, 3/15/2021
|
865,000
|
945,012
|
|||||||||||
|
Huntington Ingalls Industries, Inc.:
|
|||||||||||||
|
6.875%, 3/15/2018
|
535,000
|
565,762
|
|||||||||||
|
7.125%, 3/15/2021
|
110,000
|
120,175
|
|||||||||||
|
Interactive Data Corp., 144A, 5.875%, 4/15/2019
|
490,000
|
497,350
|
|||||||||||
|
Kenan Advantage Group, Inc., 144A, 8.375%, 12/15/2018
|
1,035,000
|
1,107,450
|
|||||||||||
|
Meritor, Inc.:
|
|||||||||||||
|
6.25%, 2/15/2024
|
410,000
|
429,475
|
|||||||||||
|
6.75%, 6/15/2021
|
570,000
|
613,092
|
|||||||||||
|
Navios Maritime Holdings, Inc.:
|
|||||||||||||
|
144A, 7.375%, 1/15/2022
|
1,545,000
|
1,591,350
|
|||||||||||
|
8.125%, 2/15/2019
|
420,000
|
441,525
|
|||||||||||
|
Oshkosh Corp., 5.375%, 3/1/2022
|
322,500
|
332,175
|
|||||||||||
|
Ply Gem Industries, Inc., 144A, 6.5%, 2/1/2022
|
525,000
|
507,938
|
|||||||||||
|
Spirit AeroSystems, Inc.:
|
|||||||||||||
|
144A, 5.25%, 3/15/2022
|
540,000
|
548,100
|
|||||||||||
|
6.75%, 12/15/2020
|
955,000
|
1,026,625
|
|||||||||||
|
Titan International, Inc., Series WI, 6.875%, 10/1/2020
|
1,200,000
|
1,218,000
|
|||||||||||
|
TransDigm, Inc.:
|
|||||||||||||
|
144A, 6.0%, 7/15/2022
|
485,000
|
498,338
|
|||||||||||
|
144A, 6.5%, 7/15/2024
|
290,000
|
301,963
|
|||||||||||
|
7.5%, 7/15/2021
|
970,000
|
1,074,275
|
|||||||||||
|
Triumph Group, Inc., 144A, 5.25%, 6/1/2022
|
245,000
|
245,613
|
|||||||||||
|
United Rentals North America, Inc.:
|
|||||||||||||
|
5.75%, 7/15/2018
|
690,000
|
729,675
|
|||||||||||
|
6.125%, 6/15/2023
|
45,000
|
48,263
|
|||||||||||
|
7.375%, 5/15/2020
|
2,330,000
|
2,574,650
|
|||||||||||
|
7.625%, 4/15/2022
|
565,000
|
634,212
|
|||||||||||
|
Watco Companies LLC, 144A, 6.375%, 4/1/2023
|
275,000
|
280,500
|
|||||||||||
|
37,126,487
|
|||||||||||||
|
Information Technology 9.6%
|
|||||||||||||
|
ACI Worldwide, Inc., 144A, 6.375%, 8/15/2020
|
205,000
|
215,763
|
|||||||||||
|
Activision Blizzard, Inc., 144A, 5.625%, 9/15/2021
|
1,680,000
|
1,810,200
|
|||||||||||
|
Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017
|
470,000
|
491,150
|
|||||||||||
|
Audatex North America, Inc., 144A, 6.0%, 6/15/2021
|
395,000
|
421,663
|
|||||||||||
|
BMC Software Finance, Inc., 144A, 8.125%, 7/15/2021
|
885,000
|
910,444
|
|||||||||||
|
Boxer Parent Co., Inc., 144A, 9.0%, 10/15/2019 (PIK)
|
585,000
|
570,375
|
|||||||||||
|
CDW LLC, 8.5%, 4/1/2019
|
3,210,000
|
3,474,825
|
|||||||||||
|
CyrusOne LP, 6.375%, 11/15/2022
|
185,000
|
199,338
|
|||||||||||
|
eAccess Ltd., 144A, 8.25%, 4/1/2018
|
315,000
|
340,200
|
|||||||||||
|
EarthLink Holdings Corp., 7.375%, 6/1/2020
|
470,000
|
501,137
|
|||||||||||
|
Entegris, Inc., 144A, 6.0%, 4/1/2022
|
290,000
|
298,700
|
|||||||||||
|
Equinix, Inc.:
|
|||||||||||||
|
5.375%, 4/1/2023
|
1,275,000
|
1,303,687
|
|||||||||||
|
7.0%, 7/15/2021
|
440,000
|
486,200
|
|||||||||||
|
First Data Corp.:
|
|||||||||||||
|
144A, 6.75%, 11/1/2020
|
2,967,000
|
3,211,777
|
|||||||||||
|
144A, 7.375%, 6/15/2019
|
475,000
|
510,031
|
|||||||||||
|
144A, 8.75%, 1/15/2022 (PIK)
|
890,000
|
982,337
|
|||||||||||
|
Freescale Semiconductor, Inc., 144A, 6.0%, 1/15/2022
|
510,000
|
543,150
|
|||||||||||
|
Hughes Satellite Systems Corp.:
|
|||||||||||||
|
6.5%, 6/15/2019
|
1,250,000
|
1,393,750
|
|||||||||||
|
7.625%, 6/15/2021
|
435,000
|
498,075
|
|||||||||||
|
Jabil Circuit, Inc., 5.625%, 12/15/2020
|
3,750,000
|
4,078,125
|
|||||||||||
|
Micron Technology, Inc., 144A, 5.875%, 2/15/2022
|
215,000
|
230,588
|
|||||||||||
|
NCR Corp.:
|
|||||||||||||
|
144A, 5.875%, 12/15/2021
|
105,000
|
110,775
|
|||||||||||
|
144A, 6.375%, 12/15/2023
|
260,000
|
282,100
|
|||||||||||
|
NXP BV, 144A, 3.75%, 6/1/2018
|
1,125,000
|
1,127,812
|
|||||||||||
|
Sanmina Corp., 144A, 4.375%, 6/1/2019
|
50,000
|
49,938
|
|||||||||||
|
Seagate HDD Cayman, 144A, 3.75%, 11/15/2018
|
1,060,000
|
1,083,850
|
|||||||||||
|
25,125,990
|
|||||||||||||
|
Materials 8.4%
|
|||||||||||||
|
Ardagh Packaging Finance PLC, 144A, 3.232%, 12/15/2019 (b)
|
640,000
|
638,400
|
|||||||||||
|
Ashland, Inc., 3.875%, 4/15/2018
|
1,900,000
|
1,954,625
|
|||||||||||
|
AuRico Gold, Inc., 144A, 7.75%, 4/1/2020
|
295,000
|
292,050
|
|||||||||||
|
Berry Plastics Corp.:
|
|||||||||||||
|
5.5%, 5/15/2022
|
800,000
|
804,500
|
|||||||||||
|
9.75%, 1/15/2021
|
1,290,000
|
1,470,600
|
|||||||||||
|
BOE Intermediate Holding Corp., 144A, 9.0%, 11/1/2017 (PIK)
|
624,986
|
655,454
|
|||||||||||
|
BOE Merger Corp., 144A, 9.5%, 11/1/2017 (PIK)
|
375,000
|
395,156
|
|||||||||||
|
Cascades, Inc., 144A, 5.5%, 7/15/2022
|
280,000
|
279,300
|
|||||||||||
|
Crown Americas LLC, 6.25%, 2/1/2021
|
105,000
|
112,350
|
|||||||||||
|
Exopack Holding Corp., 144A, 10.0%, 6/1/2018
|
435,000
|
467,625
|
|||||||||||
|
Exopack Holdings SA, 144A, 7.875%, 11/1/2019
|
500,000
|
535,000
|
|||||||||||
|
First Quantum Minerals Ltd.:
|
|||||||||||||
|
144A, 6.75%, 2/15/2020
|
934,000
|
962,020
|
|||||||||||
|
144A, 7.0%, 2/15/2021
|
934,000
|
960,852
|
|||||||||||
|
FMG Resources August 2006 Pty Ltd.:
|
|||||||||||||
|
144A, 6.0%, 4/1/2017
|
605,000
|
624,663
|
|||||||||||
|
144A, 8.25%, 11/1/2019
|
520,000
|
566,150
|
|||||||||||
|
Hexion U.S. Finance Corp.:
|
|||||||||||||
|
6.625%, 4/15/2020
|
935,000
|
991,100
|
|||||||||||
|
8.875%, 2/1/2018
|
760,000
|
790,400
|
|||||||||||
|
Huntsman International LLC, 8.625%, 3/15/2020
|
585,000
|
633,262
|
|||||||||||
|
IAMGOLD Corp., 144A, 6.75%, 10/1/2020
|
555,000
|
513,375
|
|||||||||||
|
Kaiser Aluminum Corp., 8.25%, 6/1/2020
|
490,000
|
551,250
|
|||||||||||
|
KGHM International Ltd., 144A, 7.75%, 6/15/2019
|
1,180,000
|
1,267,025
|
|||||||||||
|
Novelis, Inc., 8.75%, 12/15/2020
|
3,040,000
|
3,374,400
|
|||||||||||
|
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016
|
610,000
|
626,470
|
|||||||||||
|
Perstorp Holding AB, 144A, 8.75%, 5/15/2017
|
400,000
|
429,000
|
|||||||||||
|
Plastipak Holdings, Inc., 144A, 6.5%, 10/1/2021
|
500,000
|
527,500
|
|||||||||||
|
Polymer Group, Inc., 7.75%, 2/1/2019
|
531,000
|
564,188
|
|||||||||||
|
Rain CII Carbon LLC, 144A, 8.25%, 1/15/2021
|
285,000
|
299,250
|
|||||||||||
|
Signode Industrial Group Lux SA, 144A, 6.375%, 5/1/2022
|
390,000
|
394,875
|
|||||||||||
|
Tronox Finance LLC, 6.375%, 8/15/2020
|
385,000
|
397,513
|
|||||||||||
|
22,078,353
|
|||||||||||||
|
Telecommunication Services 24.8%
|
|||||||||||||
|
Altice Financing SA:
|
|||||||||||||
|
144A, 6.5%, 1/15/2022
|
320,000
|
340,800
|
|||||||||||
|
144A, 7.875%, 12/15/2019
|
420,000
|
459,690
|
|||||||||||
|
Altice Finco SA, 144A, 9.875%, 12/15/2020
|
420,000
|
484,050
|
|||||||||||
|
Altice SA, 144A, 7.75%, 5/15/2022
|
460,000
|
491,050
|
|||||||||||
|
B Communications Ltd., 144A, 7.375%, 2/15/2021
|
535,000
|
575,125
|
|||||||||||
|
CenturyLink, Inc.:
|
|||||||||||||
|
Series V, 5.625%, 4/1/2020
|
180,000
|
189,900
|
|||||||||||
|
Series W, 6.75%, 12/1/2023
|
510,000
|
557,175
|
|||||||||||
|
Cincinnati Bell, Inc.:
|
|||||||||||||
|
8.375%, 10/15/2020
|
3,390,000
|
3,716,287
|
|||||||||||
|
8.75%, 3/15/2018
|
580,000
|
608,275
|
|||||||||||
|
CommScope, Inc., 144A, 5.0%, 6/15/2021
|
490,000
|
499,800
|
|||||||||||
|
CPI International, Inc., 8.75%, 2/15/2018
|
500,000
|
523,750
|
|||||||||||
|
Digicel Group Ltd.:
|
|||||||||||||
|
144A, 7.125%, 4/1/2022
|
480,000
|
500,400
|
|||||||||||
|
144A, 8.25%, 9/30/2020
|
4,304,000
|
4,691,360
|
|||||||||||
|
Digicel Ltd.:
|
|||||||||||||
|
144A, 7.0%, 2/15/2020
|
200,000
|
211,000
|
|||||||||||
|
144A, 8.25%, 9/1/2017
|
835,000
|
859,048
|
|||||||||||
|
Frontier Communications Corp.:
|
|||||||||||||
|
7.125%, 1/15/2023
|
2,450,000
|
2,597,000
|
|||||||||||
|
8.5%, 4/15/2020
|
380,000
|
448,400
|
|||||||||||
|
Intelsat Jackson Holdings SA:
|
|||||||||||||
|
5.5%, 8/1/2023
|
855,000
|
850,725
|
|||||||||||
|
7.25%, 10/15/2020
|
5,905,000
|
6,362,637
|
|||||||||||
|
7.5%, 4/1/2021
|
2,375,000
|
2,600,625
|
|||||||||||
|
Intelsat Luxembourg SA:
|
|||||||||||||
|
7.75%, 6/1/2021
|
1,185,000
|
1,254,619
|
|||||||||||
|
8.125%, 6/1/2023
|
185,000
|
200,031
|
|||||||||||
|
Level 3 Communications, Inc., 8.875%, 6/1/2019
|
55,000
|
60,156
|
|||||||||||
|
Level 3 Financing, Inc.:
|
|||||||||||||
|
144A, 6.125%, 1/15/2021
|
2,160,000
|
2,313,900
|
|||||||||||
|
7.0%, 6/1/2020
|
710,000
|
775,675
|
|||||||||||
|
8.125%, 7/1/2019
|
375,000
|
409,219
|
|||||||||||
|
8.625%, 7/15/2020
|
295,000
|
330,400
|
|||||||||||
|
MetroPCS Wireless, Inc.:
|
|||||||||||||
|
6.625%, 11/15/2020
|
2,200,000
|
2,348,500
|
|||||||||||
|
7.875%, 9/1/2018
|
835,000
|
877,000
|
|||||||||||
|
Millicom International Cellular SA, 144A, 4.75%, 5/22/2020
|
1,380,000
|
1,380,000
|
|||||||||||
|
Pacnet Ltd., 144A, 9.0%, 12/12/2018
|
320,000
|
346,400
|
|||||||||||
|
Sable International Finance Ltd., 144A, 8.75%, 2/1/2020
|
200,000
|
225,000
|
|||||||||||
|
SBA Communications Corp., 5.625%, 10/1/2019
|
370,000
|
391,738
|
|||||||||||
|
Sprint Communications, Inc.:
|
|||||||||||||
|
144A, 7.0%, 3/1/2020
|
475,000
|
546,250
|
|||||||||||
|
144A, 9.0%, 11/15/2018
|
1,610,000
|
1,952,125
|
|||||||||||
|
9.125%, 3/1/2017
|
295,000
|
345,519
|
|||||||||||
|
Sprint Corp., 144A, 7.125%, 6/15/2024
|
1,460,000
|
1,547,600
|
|||||||||||
|
T-Mobile U.S.A., Inc.:
|
|||||||||||||
|
6.125%, 1/15/2022
|
205,000
|
217,556
|
|||||||||||
|
6.464%, 4/28/2019
|
695,000
|
731,488
|
|||||||||||
|
6.5%, 1/15/2024
|
205,000
|
219,094
|
|||||||||||
|
6.625%, 4/1/2023
|
470,000
|
509,950
|
|||||||||||
|
Telesat Canada, 144A, 6.0%, 5/15/2017
|
4,185,000
|
4,315,781
|
|||||||||||
|
tw telecom holdings, Inc.:
|
|||||||||||||
|
5.375%, 10/1/2022
|
615,000
|
672,656
|
|||||||||||
|
6.375%, 9/1/2023
|
480,000
|
546,000
|
|||||||||||
|
UPCB Finance III Ltd., 144A, 6.625%, 7/1/2020
|
2,710,000
|
2,886,150
|
|||||||||||
|
UPCB Finance V Ltd., 144A, 7.25%, 11/15/2021
|
740,000
|
814,000
|
|||||||||||
|
UPCB Finance VI Ltd., 144A, 6.875%, 1/15/2022
|
540,000
|
589,950
|
|||||||||||
|
Wind Acquisition Finance SA:
|
|||||||||||||
|
144A, 6.5%, 4/30/2020
|
375,000
|
406,406
|
|||||||||||
|
144A, 7.25%, 2/15/2018
|
685,000
|
723,703
|
|||||||||||
|
Windstream Corp.:
|
|||||||||||||
|
6.375%, 8/1/2023
|
450,000
|
456,188
|
|||||||||||
|
7.5%, 4/1/2023
|
160,000
|
173,200
|
|||||||||||
|
7.75%, 10/15/2020
|
160,000
|
173,400
|
|||||||||||
|
7.75%, 10/1/2021
|
2,345,000
|
2,561,912
|
|||||||||||
|
8.125%, 9/1/2018
|
5,500,000
|
5,775,000
|
|||||||||||
|
Zayo Group LLC, 8.125%, 1/1/2020
|
285,000
|
310,650
|
|||||||||||
|
64,954,313
|
|||||||||||||
|
Utilities 4.6%
|
|||||||||||||
|
AES Corp.:
|
|||||||||||||
|
3.229%**, 6/1/2019
|
325,000
|
327,438
|
|||||||||||
|
7.75%, 10/15/2015
|
1,085,000
|
1,163,663
|
|||||||||||
|
8.0%, 10/15/2017
|
268,000
|
312,220
|
|||||||||||
|
Calpine Corp., 144A, 7.875%, 7/31/2020
|
2,978,000
|
3,231,130
|
|||||||||||
|
DPL, Inc., 6.5%, 10/15/2016
|
2,395,000
|
2,580,612
|
|||||||||||
|
Enel SpA, 144A, 8.75% , 9/24/2073
|
540,000
|
635,850
|
|||||||||||
|
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024 *
|
525,000
|
396,375
|
|||||||||||
|
IPALCO Enterprises, Inc., 5.0%, 5/1/2018
|
1,290,000
|
1,377,075
|
|||||||||||
|
NGL Energy Partners LP, 144A, 5.125%, 7/15/2019 (b)
|
370,000
|
370,925
|
|||||||||||
|
NRG Energy, Inc., 144A, 6.25%, 5/1/2024
|
1,430,000
|
1,494,350
|
|||||||||||
|
11,889,638
|
|||||||||||||
|
Total Corporate Bonds (Cost $293,874,221)
|
308,004,648
|
||||||||||||
|
Loan Participations and Assignments 24.7%
|
|||||||||||||
|
Senior Loans **
|
|||||||||||||
|
Consumer Discretionary 7.5%
|
|||||||||||||
|
Avis Budget Car Rental LLC, Term Loan B, 3.0%, 3/15/2019
|
1,096,671
|
1,097,016
|
|||||||||||
|
Burger King Corp., Term Loan B, 3.75%, 9/28/2019
|
786,000
|
790,421
|
|||||||||||
|
Cumulus Media Holdings, Inc., Term Loan, 4.25%, 12/23/2020
|
551,393
|
554,150
|
|||||||||||
|
Gates Investments, Inc., Term Loan B2, 3.75%, 9/29/2016
|
3,866,876
|
3,876,137
|
|||||||||||
|
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/2019
|
4,770,000
|
4,805,036
|
|||||||||||
|
Hilton Worldwide Finance LLC, Term Loan B2, 3.5%, 10/26/2020
|
1,073,487
|
1,072,950
|
|||||||||||
|
Petco Animal Supplies, Inc., Term Loan, 4.0%, 11/24/2017
|
709,976
|
712,585
|
|||||||||||
|
Pilot Travel Centers LLC:
|
|||||||||||||
|
Term Loan B, 3.75%, 3/30/2018
|
1,092,353
|
1,095,756
|
|||||||||||
|
Term Loan B2, 4.25%, 8/7/2019
|
2,903,288
|
2,915,989
|
|||||||||||
|
Polymer Group, Inc., First Lien Term Loan B, 5.25%, 12/19/2019
|
1,236,900
|
1,250,815
|
|||||||||||
|
Quebecor Media, Inc., Term Loan B1, 3.25%, 8/17/2020
|
1,578,075
|
1,560,653
|
|||||||||||
|
19,731,508
|
|||||||||||||
|
Consumer Staples 3.8%
|
|||||||||||||
|
Albertson's LLC, Term Loan B2, 4.75%, 3/21/2019
|
2,187,282
|
2,201,860
|
|||||||||||
|
Big Heart Pet Brands, Term Loan, 3.5%, 3/8/2020
|
1,246,307
|
1,238,125
|
|||||||||||
|
Del Monte Foods, Inc., First Lien Term Loan, 4.25%, 2/18/2021
|
927,675
|
924,391
|
|||||||||||
|
HJ Heinz Co., Term Loan B2, 3.5%, 6/5/2020
|
3,207,600
|
3,235,298
|
|||||||||||
|
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/2020
|
553,000
|
550,882
|
|||||||||||
|
Vogue International, Inc., Term Loan, 5.25%, 2/14/2020
|
403,988
|
406,515
|
|||||||||||
|
Weight Watchers International, Inc., Term Loan B1, 3.15%, 4/2/2016
|
1,538,317
|
1,511,396
|
|||||||||||
|
10,068,467
|
|||||||||||||
|
Energy 1.9%
|
|||||||||||||
|
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.5%, 3/27/2020
|
329,438
|
329,918
|
|||||||||||
|
Samson Investment Co., Second Lien Term Loan, 5.0%, 9/25/2018
|
2,215,000
|
2,215,831
|
|||||||||||
|
Tallgrass Operations LLC:
|
|||||||||||||
|
Term Loan B, 4.25%, 11/13/2018
|
1,735,639
|
1,751,182
|
|||||||||||
|
Term Delay Draw, 4.75%, 11/13/2017
|
555,000
|
558,818
|
|||||||||||
|
4,855,749
|
|||||||||||||
|
Financials 0.3%
|
|||||||||||||
|
Asurion LLC, Second Lien Term Loan, 8.5%, 3/3/2021
|
630,000
|
654,806
|
|||||||||||
|
Health Care 2.2%
|
|||||||||||||
|
Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/2021
|
547,250
|
551,012
|
|||||||||||
|
DaVita HealthCare Partners, Inc., Term Loan B, 3.75%, 6/24/2021
|
960,000
|
965,510
|
|||||||||||
|
Par Pharmaceutical Companies, Inc., Term Loan B2, 4.0%, 9/30/2019
|
1,261,235
|
1,261,235
|
|||||||||||
|
Valeant Pharmaceuticals International, Inc.:
|
|||||||||||||
|
Term Loan B, 3.75%, 2/13/2019
|
2,280,980
|
2,284,550
|
|||||||||||
|
Term Loan B, 3.75%, 12/11/2019
|
780,075
|
780,481
|
|||||||||||
|
5,842,788
|
|||||||||||||
|
Industrials 1.4%
|
|||||||||||||
|
Buffalo Gulf Coast Terminals LLC, Term Loan, 5.25%, 10/31/2017
|
817,550
|
822,660
|
|||||||||||
|
Ply Gem Industries, Inc., Term Loan, 4.0%, 2/1/2021
|
628,425
|
625,440
|
|||||||||||
|
WP CPP Holdings LLC, First Lien Term Loan, 4.75%, 12/27/2019
|
2,080,176
|
2,091,877
|
|||||||||||
|
3,539,977
|
|||||||||||||
|
Information Technology 2.7%
|
|||||||||||||
|
First Data Corp.:
|
|||||||||||||
|
Term Loan B, 4.154%, 3/24/2018
|
3,987,082
|
3,998,544
|
|||||||||||
|
Term Loan, 4.154%, 3/24/2021
|
2,075,000
|
2,081,225
|
|||||||||||
|
Freescale Semiconductor, Inc., Term Loan B4, 4.25%, 2/28/2020
|
628,421
|
629,339
|
|||||||||||
|
Spansion LLC, Term Loan, 4.0%, 12/19/2019
|
370,000
|
371,541
|
|||||||||||
|
7,080,649
|
|||||||||||||
|
Materials 2.0%
|
|||||||||||||
|
American Rock Salt Holdings LLC:
|
|||||||||||||
|
First Lien Term Loan, 4.75%, 5/20/2021
|
1,809,570
|
1,811,506
|
|||||||||||
|
Term Delay Draw, 4.75%, 5/20/2021
|
435,430
|
435,896
|
|||||||||||
|
Ardagh Holdings U.S.A., Inc., Term Loan B, 4.25%, 12/17/2019
|
877,794
|
882,183
|
|||||||||||
|
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 4.0%, 2/1/2020
|
2,145,555
|
2,149,310
|
|||||||||||
|
5,278,895
|
|||||||||||||
|
Telecommunication Services 2.3%
|
|||||||||||||
|
Crown Castle International Corp., Term Loan B, 2.4%, 1/31/2019
|
4,812,673
|
4,823,213
|
|||||||||||
|
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/2020
|
74,063
|
74,271
|
|||||||||||
|
Syniverse Holdings, Inc., Term Loan B, 4.0%, 4/23/2019
|
1,110,102
|
1,111,906
|
|||||||||||
|
6,009,390
|
|||||||||||||
|
Utilities 0.6%
|
|||||||||||||
|
NRG Energy, Inc., Term Loan B, 2.75%, 7/2/2018
|
1,655,484
|
1,654,449
|
|||||||||||
|
Total Loan Participations and Assignments (Cost $64,304,992)
|
64,716,678
|
||||||||||||
|
Convertible Bond 0.1%
|
|||||||||||||
|
Consumer Discretionary
|
|||||||||||||
|
Live Nation Entertainment, Inc., 144A, 2.5%, 5/15/2019 (Cost $280,000)
|
280,000
|
291,550
|
|||||||||||
|
Shares
|
Value ($)
|
||||||||||||
|
Preferred Stock 0.5%
|
|||||||||||||
|
Financials
|
|||||||||||||
|
Ally Financial, Inc. Series G, 144A, 7.0% (Cost $1,146,848)
|
1,198
|
1,207,022
|
|||||||||||
|
Cash Equivalents 1.6%
|
|||||||||||||
|
Central Cash Management Fund, 0.06% (c) (Cost $4,206,644)
|
4,206,644
|
4,206,644
|
|||||||||||
|
% of
Net Assets
|
Value ($)
|
||||||||||||
|
Total Investment Portfolio (Cost $363,812,705) †
|
144.5
|
378,426,542
|
|||||||||||
|
Notes Payable
|
(44.8)
|
(117,500,000)
|
|||||||||||
|
Other Assets and Liabilities, Net
|
0.3
|
893,421
|
|||||||||||
|
Net Assets
|
100.0
|
261,819,963
|
|||||||||||
|
For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.
|
|
|
The following table represents bonds that are in default:
|
|
|
Security
|
Coupon
|
Maturity
Date
|
Principal Amount
|
Cost ($)
|
Value ($)
|
|||||||||||||
|
Energy Future Holdings Corp.*
|
6.5 | % |
11/15/2024
|
525,000 |
USD
|
305,197 | 396,375 | |||||||||||
|
*
|
Non-income producing security.
|
|
**
|
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, 2014.
|
|
†
|
The cost for federal income tax purposes was $363,802,486. At June 30, 2014, net unrealized appreciation for all securities based on tax cost was $14,624,056. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $15,054,744 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $430,688.
|
|
(a)
|
Principal amount stated in U.S. dollars unless otherwise noted.
|
|
(b)
|
When-issued security.
|
|
(c)
|
Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
|
|
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
|
|
PIK: Denotes that all or a portion of the income is paid in-kind in the form of additional principal.
|
|
|
REIT: Real Estate Investment Trust
|
|
|
At June 30, 2014, open credit default swap contracts sold were as follows:
|
|
|
Bilateral Swaps
|
|
Effective/
Expiration
Dates
|
Notional
Amount ($) (d)
|
Fixed
Cash
Flows
Received
|
Underlying Debt
Obligation/
Quality Rating (e)
|
Value ($)
|
Upfront Payments
Paid ($)
|
Unrealized
Appreciation ($)
|
|||||||||||||||
|
12/20/2011
3/20/2017
|
705,000 | 1 | 5.0 | % |
CIT Group, Inc.,
5.5%, 2/15/2019, BB-
|
78,299 | 16,169 | 62,130 | |||||||||||||
|
6/20/2013
9/20/2018
|
530,000 | 1 | 5.0 | % |
DISH DBS Corp.,
6.75%, 6/1/2021, BB-
|
80,611 | 39,987 | 40,624 | |||||||||||||
|
9/20/2012
12/20/2017
|
910,000 | 2 | 5.0 | % |
General Motors Corp.,
3.3%, 12/20/2017, BB+
|
130,142 | 46,979 | 83,163 | |||||||||||||
|
6/20/2013
9/20/2018
|
1,240,000 | 3 | 5.0 | % |
HCA, Inc.,
8.0%, 10/1/2018, B-
|
170,775 | 83,707 | 87,068 | |||||||||||||
|
6/20/2013
9/20/2018
|
1,260,000 | 4 | 5.0 | % |
Sprint Communications, Inc.,
6.0%, 12/1/2016, BB-
|
155,266 | 63,215 | 92,051 | |||||||||||||
|
Total unrealized appreciation
|
365,036
|
|||||||
|
(d)
|
The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of buy protection credit default swap contracts entered into by the Fund for the same referenced debt obligation, if any.
|
|
(e)
|
The quality ratings represent the higher of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings and are unaudited.
|
|
Counterparty:
|
|
|
1
|
Credit Suisse
|
|
2
|
UBS AG
|
|
3
|
The Goldman Sachs & Co.
|
|
4
|
Bank of America
|
|
As of June 30, 2014, the Fund had the following open forward foreign currency exchange contracts:
|
|
Contracts to Deliver
|
In Exchange For
|
Settlement
Date
|
Unrealized
Depreciation ($)
|
Counterparty
|
|||||||||||
|
EUR
|
1,719,000 |
USD
|
2,332,604 |
7/25/2014
|
(21,427 | ) |
JPMorgan Chase Securities, Inc.
|
||||||||
|
Currency Abbreviations
|
|||
|
EUR
|
Euro
|
||
|
USD
|
United States Dollar
|
||
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||
|
Fixed Income Investments(f)
|
|||||||||||||||
|
Corporate Bonds
|
$ | — | $ | 308,004,648 | $ | — | $ | 308,004,648 | |||||||
|
Loan Participations and Assignments
|
— | 63,894,018 | 822,660 | 64,716,678 | |||||||||||
|
Convertible Bond
|
— | 291,550 | — | 291,550 | |||||||||||
|
Preferred Stock
|
— | 1,207,022 | — | 1,207,022 | |||||||||||
|
Short-Term Investments
|
4,206,644 | — | — | 4,206,644 | |||||||||||
|
Derivative(g)
|
|||||||||||||||
|
Credit Default Swaps Contracts
|
— | 365,036 | — | 365,036 | |||||||||||
|
Total
|
$ | 4,206,644 | $ | 373,762,274 | $ | 822,660 | $ | 378,791,578 | |||||||
|
Liabilities
|
|||||||||||||||
|
Derivative(g)
|
|||||||||||||||
|
Forward Foreign Currency Contracts
|
$ | — | $ | (21,427 | ) | $ | — | $ | (21,427 | ) | |||||
|
Total
|
$ | — | $ | (21,427 | ) | $ | — | $ | (21,427 | ) | |||||
|
(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
|
$ | 365,036 | $ | — | ||||
|
Foreign Exchange Contracts
|
$ | — | $ | (21,427 | ) | |||
|
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:
|
Deutsche High Income Opportunities Fund, Inc.
|
|
By:
|
/s/Brian E. Binder
Brian E. Binder
President
|
|
Date:
|
August 22, 2014
|
|
By:
|
/s/Brian E. Binder
Brian E. Binder
President
|
|
Date:
|
August 22, 2014
|
|
By:
|
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
|
|
Date:
|
August 22, 2014
|