|
Principal
Amount ($)
|
|
|
|
|
|
|
|
ASSET BACKED SECURITIES - 1.9%
|
|
|
|
|
|
|
Materials - 0.1%
|
|
|
|
|
|
|
Aluminum - 0.1%
|
|
|
|
1,500,000
|
6.55
|
CCC/B3
|
Security National Mortgage Loan Trust 2007-1, Floating Rate Note, 4/25/37 (144A)
|
$
|
1,468,353
|
|
|
|
|
Steel - 0.0%
|
|
|
|
454,772
|
0.29
|
CCC/Caa3
|
ACE Securities Corp Home Equity Loan Trust Series 2007-HE1, Floating Rate Note, 1/25/37
|
$
|
150,181
|
|
1,350,000
|
1.25
|
AA+/A2
|
Bear Stearns Asset Backed Securities I Trust 2004-BO1, Floating Rate Note, 10/25/34
|
|
1,197,058
|
|
|
|
|
|
$
|
1,347,239
|
|
|
|
|
Total Materials
|
$
|
2,815,592
|
|
|
|
|
Banks - 1.0%
|
|
|
|
|
|
|
Thrifts & Mortgage Finance - 1.0%
|
|
|
|
976,332
|
1.48
|
CCC/Caa3
|
Amortizing Residential Collateral Trust 2002-BC1, Floating Rate Note, 1/25/32
|
$
|
546,220
|
|
1,480,000
|
0.65
|
CCC/Caa3
|
Bear Stearns Asset Backed Securities Trust 2007-2, Floating Rate Note, 1/25/47
|
|
710,132
|
|
675,000
|
|
BB/NR
|
CarNow Auto Receivables Trust 2012-1, 6.9%, 11/15/16 (144A)
|
|
676,499
|
|
8,090,000
|
0.40
|
CCC/Caa2
|
Carrington Mortgage Loan Trust Series 2007-FRE1, Floating Rate Note, 2/25/37
|
|
6,561,354
|
|
2,567,504
|
0.26
|
CCC/Caa1
|
Citigroup Mortgage Loan Trust 2007-AHL3, Floating Rate Note, 7/25/45
|
|
1,886,643
|
|
1,700,000
|
1.18
|
BB/Caa1
|
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34
|
|
1,379,978
|
|
8,998,701
|
0.65
|
D/NR
|
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/47 (144A)
|
|
5,015,804
|
|
848,272
|
0.33
|
B-/B3
|
GSAMP Trust 2006-HE8, Floating Rate Note, 1/25/37
|
|
802,492
|
|
4,000,000
|
|
BBB/NR
|
Leaf Receivables Funding 4 LLC, 5.5%, 2/20/22 (144A)
|
|
3,698,400
|
|
988,712
|
0.36
|
BB+/Ba1
|
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 8/25/36
|
|
928,942
|
|
|
|
|
|
$
|
22,206,464
|
|
|
|
|
Total Banks
|
$
|
22,206,464
|
|
|
|
|
Diversified Financials - 0.6%
|
|
|
|
|
|
|
Other Diversified Financial Services - 0.2%
|
|
|
|
8,264,173
|
0.69
|
CCC/Caa1
|
Aircraft Finance Trust, Floating Rate Note, 5/15/24 (144A)
|
$
|
3,718,878
|
|
469,923
|
|
BB/NR
|
Sierra Timeshare 2011-3 Receivables Funding LLC, 9.31%, 7/20/28 (144A)
|
|
484,316
|
|
|
|
|
|
$
|
4,203,194
|
|
|
|
|
Specialized Finance - 0.4%
|
|
|
|
10,295,566
|
0.60
|
CCC+/Caa2
|
Lease Investment Flight Trust, Floating Rate Note, 7/15/31
|
$
|
7,129,679
|
|
896,753
|
0.64
|
CCC+/Caa2
|
Lease Investment Flight Trust, Floating Rate Note, 7/15/31
|
|
621,001
|
|
|
|
|
|
$
|
7,750,680
|
|
|
|
|
Total Diversified Financials
|
$
|
11,953,874
|
|
|
|
|
Commercial Services - 0.2%
|
|
|
|
|
|
|
Airlines - 0.2%
|
|
|
|
1,635,019
|
|
BB+/Ba2
|
Continental Airlines 1998-1 Class B Pass Through Trust, 6.748%, 3/15/17
|
$
|
1,718,896
|
|
2,125,000
|
|
BBB-/Ba2
|
Continental Airlines 2012-1 Class B Pass Through Trust, 6.25%, 4/11/20
|
|
2,263,125
|
|
|
|
|
|
$
|
3,982,021
|
|
|
|
|
TOTAL ASSET BACKED SECURITIES
|
|
|
|
|
|
|
(Cost $33,948,163)
|
$
|
40,957,951
|
|
|
|
|
|
|
|
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.3%
|
|
|
|
|
|
|
Banks - 0.3%
|
|
|
|
|
|
|
Thrifts & Mortgage Finance - 0.3%
|
|
|
|
13,351,367
|
2.93
|
AAA/Caa1
|
Bayview Commercial Asset Trust, Floating Rate Note, 4/25/36 (144A)
|
$
|
469,650
|
|
213,914
|
6.85
|
CCC+/NR
|
COMM 2000-C1 Mortgage Trust, Floating Rate Note, 8/15/33 (144A)
|
|
211,330
|
|
1,700,000
|
|
NR/NR
|
Extended Stay America Trust, 7.625%, 12/5/19 (144A)
|
|
1,776,500
|
|
412,130
|
5.67
|
NR/NR
|
First Horizon Mortgage Pass-Through Trust 2004-6, Floating Rate Note, 11/25/34
|
|
363,278
|
|
757,263
|
5.73
|
B/NR
|
GSR Mortgage Loan Trust 2004-3F, Floating Rate Note, 2/25/34
|
|
756,030
|
|
2,855,038
|
4.68
|
BB/Caa3
|
JP Morgan Mortgage Trust 2005-A1, Floating Rate Note, 2/25/35
|
|
2,369,399
|
|
|
|
|
|
$
|
5,946,187
|
|
|
|
|
Total Banks
|
$
|
5,946,187
|
|
|
|
|
Diversified Financials - 0.5%
|
|
|
|
|
|
|
Other Diversified Financial Services - 0.4%
|
|
|
|
869,844
|
|
NR/Caa1
|
CSMC Mortgage-Backed Trust 2007-3, 5.0%, 4/25/37
|
$
|
866,307
|
|
2,500,000
|
0.91
|
BBB+/A3
|
Morgan Stanley Capital I, Inc. Class C, Floating Rate Note, 12/15/20 (144A)
|
|
2,328,072
|
|
4,315,000
|
|
BB/B1
|
Timberstar Trust, 7.53%, 10/15/36 (144A)
|
|
4,449,352
|
|
700,000
|
8.11
|
NR/NR
|
Vericrest Opportunity Loan Trust 2012-NPL1, Floating Rate Note, 3/25/49 (144A)
|
|
706,441
|
|
|
|
|
|
$
|
8,350,172
|
|
|
|
|
Investment Banking & Brokerage - 0.1%
|
|
|
|
3,450,000
|
6.94
|
BBB-/NR
|
Bear Stearns Commercial Mortgage Sec Inc Series 2001-top2, Floating Rate Note, 2/15/35 (144A)
|
$
|
3,449,910
|
|
|
|
|
Total Diversified Financials
|
$
|
11,800,082
|
|
|
|
|
Real Estate - 0.4%
|
|
|
|
|
|
|
Mortgage REIT's - 0.4%
|
|
|
|
1,051,414
|
2.48
|
AAA/B2
|
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45
|
$
|
994,441
|
|
9,000,000
|
7.08
|
D/NR
|
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/15/35 (144A)
|
|
8,207,811
|
|
|
|
|
|
$
|
9,202,252
|
|
|
|
|
Total Real Estate
|
$
|
9,202,252
|
|
|
|
|
Government - 0.1%
|
|
|
|
19,853,782
|
1.28
|
NR/Aaa
|
Government National Mortgage Association, Floating Rate Note, 10/16/52
|
$
|
1,198,176
|
|
|
|
|
Total Government
|
$
|
1,198,176
|
|
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|
|
|
|
|
|
(Cost $29,274,533)
|
$
|
28,146,697
|
|
|
|
|
|
|
|
|
|
|
|
CORPORATE BONDS - 72.2%
|
|
|
|
|
|
|
Energy - 9.3%
|
|
|
|
|
|
|
Oil & Gas Drilling - 1.1%
|
|
|
|
1,250,000
|
|
B/Caa1
|
Hercules Offshore, Inc., 10.5%, 10/15/17 (144A)
|
$
|
1,356,250
|
|
8,900,000
|
|
CCC+/Caa1
|
Ocean Rig UDW, Inc., 9.5%, 4/27/16 (144A)
|
|
9,256,000
|
|
6,395,000
|
|
B+/B2
|
Pioneer Energy Services Corp., 9.875%, 3/15/18
|
|
6,938,575
|
|
2,835,000
|
|
B/B1
|
Shelf Drilling Holdings, Ltd., 8.625%, 11/1/18 (144A)
|
|
2,990,925
|
|
3,765,000
|
|
BB-/B2
|
Unit Corp., 6.625%, 5/15/21
|
|
3,906,188
|
|
|
|
|
|
$
|
24,447,938
|
|
|
|
|
Oil & Gas Equipment & Services - 0.7%
|
|
|
|
1,297,000
|
|
B/B3
|
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A)
|
$
|
1,368,335
|
|
54,000
|
|
NR/NR
|
Green Field Energy Services, Inc., 13.25%, 11/15/16 (144A)
|
|
54,000
|
|
2,275,000
|
|
CCC/Caa2
|
Green Field Energy Services, Inc., 13.25%, 11/15/16 (144A)
|
|
2,275,000
|
|
4,400,000
|
|
NR/NR
|
OSX 3 Leasing BV, 9.25%, 3/20/15 (144A)
|
|
4,543,000
|
NOK
|
23,000,000
|
|
NR/NR
|
Transocean Norway Drilling AS, 11.0%, 2/24/16
|
|
4,419,151
|
NOK
|
16,000,000
|
8.96
|
NR/NR
|
Transocean Norway Drilling AS, Floating Rate Note, 2/24/16
|
|
3,066,873
|
|
|
|
|
|
$
|
15,726,359
|
|
|
|
|
Oil & Gas Exploration & Production - 5.2%
|
|
|
|
2,000,000
|
|
B-/B3
|
Carrizo Oil & Gas, Inc., 7.5%, 9/15/20
|
$
|
2,080,000
|
|
2,870,000
|
|
B-/B3
|
Carrizo Oil & Gas, Inc., 8.625%, 10/15/18
|
|
3,092,425
|
|
4,740,000
|
|
B-/B3
|
Comstock Resources, Inc., 7.75%, 4/1/19
|
|
4,894,050
|
|
750,000
|
|
BB+/Ba2
|
Continental Resources, Inc., 5.0%, 9/15/22
|
|
798,750
|
|
13,700,000
|
|
B/NR
|
EP Energy LLC, 9.375%, 5/1/20
|
|
15,344,000
|
|
2,080,000
|
|
B/B3
|
EPE Holdings LLC, 8.125%, 12/15/17 (144A) (PIK)
|
|
2,100,800
|
|
4,980,000
|
|
B-/Caa1
|
EPL Oil & Gas, Inc., 8.25%, 2/15/18 (144A)
|
|
5,241,450
|
|
5,035,000
|
|
CCC/Caa1
|
Goodrich Petroleum Corp., 8.875%, 3/15/19
|
|
4,934,300
|
|
4,990,000
|
|
CCC+/B3
|
Gulfport Energy Corp., 7.75%, 11/1/20 (144A)
|
|
5,264,450
|
|
6,250,000
|
|
CCC+/B3
|
Halcon Resources Corp., 8.875%, 5/15/21 (144A)
|
|
6,671,875
|
|
5,215,000
|
|
B-/B3
|
Kodiak Oil & Gas Corp., 8.125%, 12/1/19
|
|
5,814,725
|
|
5,800,000
|
|
B/B2
|
Linn Energy LLC, 6.25%, 11/1/19 (144A)
|
|
5,785,500
|
|
12,850,000
|
|
B+/NR
|
MIE Holdings Corp., 9.75%, 5/12/16 (144A)
|
|
13,878,000
|
NOK
|
12,000,000
|
|
NR/NR
|
Norwegian Energy Co AS, 10.25%, 4/27/16
|
|
2,229,602
|
NOK
|
45,000,000
|
|
NR/NR
|
Norwegian Energy Co AS, 12.9%, 11/20/14
|
|
8,455,127
|
|
2,840,000
|
|
B/B3
|
Oasis Petroleum, Inc., 6.5%, 11/1/21
|
|
3,038,800
|
|
2,580,000
|
|
CCC/Caa1
|
Quicksilver Resources, Inc., 7.125%, 4/1/16
|
|
2,154,300
|
|
3,370,000
|
|
CCC+/B3
|
Quicksilver Resources, Inc., 9.125%, 8/15/19
|
|
3,117,250
|
|
1,920,000
|
|
B-/B3
|
Samson Investment Co., 9.75%, 2/15/20 (144A)
|
|
2,042,400
|
|
2,105,000
|
|
B/B2
|
SandRidge Energy, Inc., 8.0%, 6/1/18 (144A)
|
|
2,210,250
|
|
3,800,000
|
|
B-/B3
|
Stone Energy Corp., 7.5%, 11/15/22
|
|
4,104,000
|
|
2,919,000
|
|
B-/B3
|
Stone Energy Corp., 8.625%, 2/1/17
|
|
3,152,520
|
CAD
|
2,775,000
|
|
B/NR
|
Trilogy Energy Corp., 7.25%, 12/13/19 (144A)
|
|
2,872,656
|
|
2,275,000
|
|
CCC+/Caa1
|
Venoco, Inc., 8.875%, 2/15/19
|
|
2,212,438
|
|
|
|
|
|
$
|
111,489,668
|
|
|
|
|
Oil & Gas Storage & Transportation - 0.5%
|
|
|
|
2,030,000
|
7.00
|
BB+/Baa3
|
Enterprise Products Operating LLC, Floating Rate Note, 6/1/67
|
$
|
2,182,250
|
NOK
|
12,000,000
|
7.07
|
NR/NR
|
Golar LNG Partners LP, Floating Rate Note, 10/12/17
|
|
2,223,080
|
|
6,220,000
|
|
BB+/Ba3
|
Sabine Pass Liquefaction LLC, 5.625%, 2/1/21 (144A)
|
|
6,243,325
|
|
950,000
|
3.33
|
BB/Ba1
|
Southern Union Co., Floating Rate Note, 11/1/66
|
|
819,375
|
|
|
|
|
|
$
|
11,468,030
|
|
|
|
|
Coal & Consumable Fuels - 1.8%
|
|
|
|
815,000
|
|
B+/B2
|
Alpha Natural Resources, Inc., 6.0%, 6/1/19
|
$
|
733,500
|
|
11,063,000
|
|
BB-/B1
|
Berau Capital Resources Pte, Ltd., 12.5%, 7/8/15 (144A)
|
|
11,892,725
|
|
3,750,000
|
|
BB-/B1
|
Berau Coal Energy Tbk PT, 7.25%, 3/13/17 (144A)
|
|
3,693,750
|
|
12,200,000
|
|
B/B1
|
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
|
|
11,254,500
|
|
1,900,000
|
|
NR/B1
|
Indo Energy Finance II BV, 6.375%, 1/24/23 (144A)
|
|
1,938,000
|
|
4,435,000
|
|
CCC+/B3
|
James River Coal Co., 7.875%, 4/1/19
|
|
2,328,375
|
|
2,706,000
|
|
B/B3
|
Murray Energy Corp., 10.25%, 10/15/15 (144A)
|
|
2,706,000
|
EURO
|
1,650,000
|
|
B/NR
|
New World Resources NV, 7.875%, 1/15/21 (144A)
|
|
2,116,604
|
|
2,070,000
|
|
B/B2
|
Penn Virginia Resource Partners LP, 8.25%, 4/15/18
|
|
2,204,550
|
|
|
|
|
|
$
|
38,868,004
|
|
|
|
|
Total Energy
|
$
|
201,999,999
|
|
|
|
|
Materials - 10.2%
|
|
|
|
|
|
|
Commodity Chemicals - 1.8%
|
|
|
|
11,343,000
|
|
BB+/WR
|
Basell Finance Co BV, 8.1%, 3/15/27 (144A)
|
$
|
14,972,760
|
|
5,715,000
|
|
B-/NR
|
Hexion US Finance Corp., 6.625%, 4/15/20 (144A)
|
|
5,629,275
|
EURO
|
2,500,000
|
|
CCC/Caa1
|
Kloeckner Pentaplast GmbH & Co KG, 11.625%, 7/15/17 (144A)
|
|
3,818,507
|
|
2,259,000
|
|
BB+/Ba2
|
NOVA Chemicals Corp., 7.875%, 9/15/25
|
|
2,278,766
|
|
11,320,000
|
|
BB-/B1
|
Rain CII Carbon LLC, 8.0%, 12/1/18 (144A)
|
|
11,829,400
|
|
1,115,000
|
|
B-/Caa1
|
US Coatings Acquisition, Inc., 7.375%, 5/1/21 (144A)
|
|
1,148,450
|
|
|
|
|
|
$
|
39,677,158
|
|
|
|
|
Diversified Chemicals - 1.3%
|
|
|
EURO
|
10,935,000
|
|
CCC+/Caa1
|
INEOS Group Holdings SA, 7.875%, 2/15/16 (144A)
|
$
|
14,880,825
|
|
800,000
|
|
CCC+/Caa1
|
INEOS Group Holdings SA, 8.5%, 2/15/16 (144A)
|
|
806,000
|
|
5,540,000
|
|
BB+/Baa3
|
LyondellBasell Industries NV, 5.0%, 4/15/19
|
|
6,107,850
|
EURO
|
4,390,000
|
|
B+/B2
|
Styrolution Group GmbH, 7.625%, 5/15/16 (144A)
|
|
6,078,390
|
|
|
|
|
|
$
|
27,873,065
|
|
|
|
|
Fertilizers & Agricultural Chemicals - 0.1%
|
|
|
|
1,100,000
|
|
BB/NR
|
EuroChem Mineral & Chemical Co OJSC via EuroChem GI, Ltd., 5.125%, 12/12/17 (144A)
|
$
|
1,130,250
|
|
|
|
|
Construction Materials - 1.1%
|
|
|
|
12,050,000
|
|
C/Caa3
|
AGY Holding Corp., 11.0%, 11/15/14
|
$
|
5,994,875
|
|
4,275,000
|
|
B/NR
|
Cemex Espana Luxembourg, 9.875%, 4/30/19 (144A)
|
|
4,798,688
|
|
9,006,000
|
|
B/NR
|
Cemex Finance LLC, 9.5%, 12/14/16 (144A)
|
|
9,613,905
|
|
3,750,000
|
|
B/NR
|
Cemex SAB de CV, 9.0%, 1/11/18 (144A)
|
|
4,050,000
|
|
|
|
|
|
$
|
24,457,468
|
|
|
|
|
Metal & Glass Containers - 1.2%
|
|
|
|
4,105,000
|
|
B-/B3
|
AEP Industries, Inc., 8.25%, 4/15/19
|
$
|
4,433,400
|
|
10,095,892
|
|
CCC+/Caa1
|
ARD Finance SA, 11.125%, 6/1/18 (144A) (PIK)
|
|
10,878,324
|
|
3,200,000
|
|
CCC+/B3
|
Ardagh Packaging Finance Plc, 7.0%, 11/15/20 (144A)
|
|
3,224,000
|
|
5,000,000
|
|
CCC+/B3
|
Ardagh Packaging Finance Plc, 9.125%, 10/15/20 (144A)
|
|
5,487,500
|
EURO
|
2,100,000
|
|
CCC+/B3
|
Ardagh Packaging Finance Plc, 9.25%, 10/15/20 (144A)
|
|
3,065,013
|
|
|
|
|
|
$
|
27,088,237
|
|
|
|
|
Aluminum - 0.0%
|
|
|
|
306
|
|
CCC+/Caa1
|
Noranda Aluminum Acquisition Corp., 4.524%, 5/15/15 (PIK)
|
$
|
291
|
|
|
|
|
Diversified Metals & Mining - 2.0%
|
|
|
|
10,175,000
|
|
CCC+/Caa2
|
Midwest Vanadium Pty, Ltd., 11.5%, 2/15/18 (144A)
|
$
|
6,562,875
|
|
11,725,000
|
|
CCC+/Caa1
|
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A)
|
|
11,138,750
|
|
5,300,000
|
|
CCC+/B3
|
Molycorp, Inc., 10.0%, 6/1/20 (144A)
|
|
5,300,000
|
|
1,700,000
|
|
B+/B1
|
Mongolian Mining Corp., 8.875%, 3/29/17 (144A)
|
|
1,742,500
|
|
1,560,000
|
|
B/Caa1
|
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)
|
|
1,688,700
|
|
12,660,000
|
|
BB/Ba3
|
Vedanta Resources Plc, 8.25%, 6/7/21 (144A)
|
|
14,559,000
|
|
1,080,000
|
|
BB/Ba3
|
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)
|
|
1,277,100
|
|
|
|
|
|
$
|
42,268,925
|
|
|
|
|
Steel - 2.1%
|
|
|
|
9,410,000
|
|
CCC/Caa2
|
Essar Steel Algoma, Inc., 9.875%, 6/15/15 (144A)
|
$
|
7,339,800
|
|
11,975,000
|
|
B/Caa1
|
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A)
|
|
12,064,812
|
|
4,340,000
|
|
B/B3
|
JMC Steel Group, Inc., 8.25%, 3/15/18 (144A)
|
|
4,622,100
|
|
7,620,000
|
|
NR/B3
|
Metinvest BV, 10.25%, 5/20/15 (144A)
|
|
8,058,150
|
|
11,550,000
|
|
NR/B3
|
Metinvest BV, 8.75%, 2/14/18 (144A)
|
|
11,718,052
|
EURO
|
2,505,000
|
|
CCC/Caa2
|
Zlomrex International Finance SA, 8.5%, 2/1/14 (144A)
|
|
2,550,309
|
|
|
|
|
|
$
|
46,353,223
|
|
|
|
|
Paper Products - 0.6%
|
|
|
|
13,490,000
|
|
B+/B1
|
Grupo Papelero Scribe SA de CV, 8.875%, 4/7/20 (144A)
|
$
|
13,085,300
|
|
|
|
|
Total Materials
|
$
|
221,933,917
|
|
|
|
|
Capital Goods - 5.7%
|
|
|
|
|
|
|
Aerospace & Defense - 0.6%
|
|
|
|
3,180,000
|
|
BB/Ba2
|
Bombardier, Inc., 6.125%, 1/15/23 (144A)
|
$
|
3,235,650
|
|
3,120,000
|
|
BB/B1
|
DigitalGlobe, Inc., 5.25%, 2/1/21 (144A)
|
|
3,112,200
|
|
5,408,000
|
|
B-/B2
|
DynCorp International, Inc., 10.375%, 7/1/17
|
|
5,272,800
|
|
1,995,000
|
|
CCC+/Caa1
|
Silver II Borrower, 7.75%, 12/15/20 (144A)
|
|
2,089,762
|
|
|
|
|
|
$
|
13,710,412
|
|
|
|
|
Building Products - 0.6%
|
|
|
|
6,800,000
|
|
NR/Ba2
|
China Liansu Group Holdings, Ltd., 7.875%, 5/13/16 (144A)
|
$
|
7,004,000
|
|
3,739,472
|
|
NR/NR
|
Industrias Unidas SA de CV, 11.5%, 11/15/16
|
|
2,398,101
|
|
4,100,000
|
|
BB/NR
|
Magnesita Finance, Ltd., 8.625%, 4/29/49 (Perpetual) (144A)
|
|
4,366,540
|
|
|
|
|
|
$
|
13,768,641
|
|
|
|
|
Construction & Engineering - 1.4%
|
|
|
|
6,900,000
|
|
B+/B1
|
Abengoa Finance SAU, 8.875%, 11/1/17 (144A)
|
$
|
6,796,500
|
|
2,980,000
|
|
BB-/Ba3
|
Dycom Investments, Inc., 7.125%, 1/15/21
|
|
3,188,600
|
|
7,900,000
|
|
B+/B1
|
Empresas ICA SAB de CV, 8.9%, 2/4/21 (144A)
|
|
8,295,000
|
|
9,175,000
|
|
C/Caa3
|
New Enterprise Stone & Lime Co., Inc., 11.0%, 9/1/18
|
|
6,973,000
|
|
4,400,000
|
|
BB-/NR
|
OAS Investments GmbH, 8.25%, 10/19/19 (144A)
|
|
4,614,500
|
|
|
|
|
|
$
|
29,867,600
|
|
|
|
|
Electrical Components & Equipment - 0.3%
|
|
|
|
4,120,000
|
|
B/B3
|
Coleman Cable, Inc., 9.0%, 2/15/18
|
$
|
4,470,200
|
|
1,540,000
|
|
B/B3
|
WireCo WorldGroup, Inc., 9.5%, 5/15/17
|
|
1,617,000
|
|
|
|
|
|
$
|
6,087,200
|
|
|
|
|
Industrial Conglomerates - 0.8%
|
|
|
|
1,600,000
|
|
BB/NR
|
Grupo KUO SAB De CV, 6.25%, 12/4/22 (144A)
|
$
|
1,732,000
|
|
2,980,000
|
|
B+/B2
|
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
|
|
3,106,650
|
EURO
|
1,800,000
|
|
BB-/Ba3
|
Mark IV Europe Lux SCA, 8.875%, 12/15/17 (144A)
|
|
2,632,774
|
|
1,200,000
|
|
CCC+/B3
|
Park-Ohio Industries, Inc., 8.125%, 4/1/21
|
|
1,284,000
|
|
7,800,000
|
|
BBB/Baa3
|
Votorantim Cimentos SA, 7.25%, 4/5/41 (144A)
|
|
8,892,000
|
|
|
|
|
|
$
|
17,647,424
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks - 0.4%
|
|
|
|
8,405,000
|
|
CCC+/B3
|
Navistar International Corp., 8.25%, 11/1/21
|
$
|
8,257,912
|
|
|
|
|
|
$
|
8,257,912
|
|
|
|
|
Industrial Machinery - 1.1%
|
|
|
|
5,075,000
|
|
B/B2
|
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A)
|
$
|
5,328,750
|
|
5,322,000
|
|
NR/WR
|
Indalex Holding Corp., 11.5%, 2/1/14 (e)
|
|
39,915
|
|
5,080,000
|
|
B/Caa2
|
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
|
|
4,826,000
|
|
14,600,000
|
|
B+/NR
|
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A)
|
|
13,432,000
|
|
|
|
|
|
$
|
23,626,665
|
|
|
|
|
Trading Companies & Distributors - 0.5%
|
|
|
|
9,497,000
|
|
B-/B3
|
INTCOMEX, Inc., 13.25%, 12/15/14
|
$
|
9,805,652
|
|
|
|
|
Total Capital Goods
|
$
|
122,771,506
|
|
|
|
|
Commercial Services & Supplies - 0.5%
|
|
|
|
|
|
|
Environmental & Facilities Services - 0.2%
|
|
|
|
6,510,000
|
|
NR/WR
|
Old AII, Inc., 10.0%, 12/15/16 (e)
|
$
|
65
|
EURO
|
3,022,531
|
|
D/Caa2
|
The New Reclamation Group Pty, Ltd., 8.125%, 2/1/13 (144A)
|
|
4,102,934
|
|
|
|
|
|
$
|
4,102,999
|
|
|
|
|
Diversified Support Services - 0.3%
|
|
|
|
6,365,000
|
|
B/B3
|
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
|
$
|
6,524,125
|
|
|
|
|
Total Commercial Services & Supplies
|
$
|
10,627,124
|
|
|
|
|
Transportation - 2.5%
|
|
|
|
|
|
|
Air Freight & Logistics - 0.7%
|
|
|
|
7,061,000
|
|
CCC+/Caa2
|
CEVA Group Plc, 11.5%, 4/1/18 (144A)
|
$
|
6,213,680
|
|
2,445,000
|
|
CCC+/Caa1
|
CEVA Group Plc, 11.625%, 10/1/16 (144A)
|
|
2,530,575
|
|
6,125,000
|
|
B/B3
|
Syncreon Global Ireland, Ltd., 9.5%, 5/1/18 (144A)
|
|
6,431,250
|
|
|
|
|
|
$
|
15,175,505
|
|
|
|
|
Airlines - 0.5%
|
|
|
|
7,363,000
|
|
B-/NR
|
Gol Finance, 9.25%, 7/20/20 (144A)
|
|
7,215,740
|
|
4,250,000
|
|
BB-/NR
|
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)
|
|
4,696,250
|
|
|
|
|
|
$
|
11,911,990
|
|
|
|
|
Marine - 0.1%
|
|
|
|
1,345,000
|
|
B+/B3
|
Navios South American Logistics, Inc., 9.25%, 4/15/19
|
$
|
1,345,000
|
|
|
|
|
Railroads - 0.1%
|
|
|
|
2,467,359
|
|
CCC/Caa3
|
Florida East Coast Holdings Corp., 10.5%, 8/1/17 (PIK)
|
$
|
2,535,211
|
|
|
|
|
Bus Lines - 0.3%
|
|
|
|
7,418,993
|
|
NR/Ba2
|
Inversiones Alsacia SA, 8.0%, 8/18/18 (144A)
|
|
7,456,088
|
|
|
|
|
|
$
|
7,456,088
|
|
|
|
|
Airports - 0.6%
|
|
|
|
4,393,000
|
|
B-/B3
|
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)
|
$
|
4,129,420
|
|
3,500,000
|
|
BB-/Ba3
|
Aeropuertos Dominicanos Siglo XXI SA, 9.25%, 11/13/19
|
$
|
3,727,500
|
|
3,900,000
|
|
B/B2
|
Aguila 3 SA, 7.875%, 1/31/18 (144A)
|
|
4,134,000
|
|
|
|
|
|
$
|
11,990,920
|
|
|
|
|
Total Transportation
|
$
|
50,414,714
|
|
|
|
|
Automobiles & Components - 2.1%
|
|
|
|
|
|
|
Auto Parts & Equipment - 1.7%
|
|
|
|
5,000,000
|
|
B/B2
|
Hyva Global BV, 8.625%, 3/24/16 (144A)
|
$
|
4,850,000
|
|
1,200,000
|
|
BB/Ba2
|
Lear Corp., 4.75%, 1/15/23 (144A)
|
|
1,194,000
|
|
4,800,000
|
|
B+/B2
|
Pittsburgh Glass Works LLC, 8.5%, 4/15/16 (144A)
|
|
4,680,000
|
|
4,365,000
|
|
CCC/Caa1
|
Stanadyne Corp., 10.0%, 8/15/14
|
|
4,244,962
|
|
16,550,000
|
|
CCC-/Caa3
|
Stanadyne Holdings, Inc., 12.0%, 2/15/15 (Step)
|
|
12,081,500
|
|
11,854,000
|
|
B+/B1
|
Tower Automotive Holdings USA LLC, 10.625%, 9/1/17 (144A)
|
|
13,157,940
|
|
|
|
|
|
$
|
40,208,402
|
|
|
|
|
Tires & Rubber - 0.1%
|
|
|
|
2,810,000
|
|
B+/B1
|
The Goodyear Tire & Rubber Co., 7.0%, 5/15/22
|
$
|
3,013,725
|
|
|
|
|
Automobile Manufacturers - 0.3%
|
|
|
|
1,605,000
|
|
B/B2
|
Chrysler Group LLC, 8.0%, 6/15/19
|
$
|
1,757,475
|
|
|
|
|
Total Automobiles & Components
|
$
|
44,979,602
|
|
|
|
|
Consumer Durables & Apparel - 4.1%
|
|
|
|
|
|
|
Home Furnishings - 0.2%
|
|
|
|
4,705,000
|
|
B+/B3
|
Tempur-Pedic International, Inc., 6.875%, 12/15/20 (144A)
|
$
|
4,999,062
|
|
|
|
|
Homebuilding - 1.6%
|
|
|
|
8,750,000
|
|
CCC/Caa2
|
Beazer Homes USA, Inc., 9.125%, 6/15/18
|
$
|
9,318,750
|
|
2,100,000
|
|
BB-/B2
|
Brookfield Residential Properties, Inc., 6.5%, 12/15/20 (144A)
|
|
2,215,500
|
|
2,050,000
|
|
BB-/Ba3
|
Corp GEO SAB de CV, 8.875%, 3/27/22 (144A)
|
|
2,098,175
|
|
10,272,000
|
|
NR/Ba3
|
Desarrolladora Homex SAB de CV, 9.5%, 12/11/19 (144A)
|
|
10,580,160
|
|
4,450,000
|
|
BB-/Ba3
|
Lennar Corp., 4.75%, 11/15/22 (144A)
|
|
4,361,000
|
|
7,500,000
|
|
NR/Ba3
|
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A)
|
|
6,243,750
|
|
|
|
|
|
$
|
34,817,335
|
|
|
|
|
Housewares & Specialties - 1.8%
|
|
|
|
2,400,000
|
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 8.25%, 2/15/21
|
$
|
2,514,000
|
|
7,490,000
|
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 8.5%, 5/15/18
|
|
7,864,500
|
|
3,235,000
|
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 9.0%, 4/15/19
|
|
3,412,925
|
|
7,675,000
|
|
CCC+/Caa2
|
Reynolds Group Issuer, Inc., 9.875%, 8/15/19
|
|
8,384,938
|
|
11,165,000
|
|
CCC+/B3
|
Yankee Candle Co., Inc., 9.75%, 2/15/17
|
|
11,583,799
|
|
5,775,000
|
|
CCC+/Caa1
|
YCC Holdings LLC, 10.25%, 2/15/16 (PIK)
|
|
5,948,308
|
|
|
|
|
|
$
|
39,708,470
|
|
|
|
|
Leisure Products - 0.5%
|
|
|
EURO
|
4,700,000
|
|
CCC/Caa2
|
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
|
$
|
5,646,313
|
|
5,000,000
|
|
B-/B2
|
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)
|
|
4,000,000
|
|
|
|
|
|
$
|
9,646,313
|
|
|
|
|
Total Consumer Durables & Apparel
|
$
|
89,171,180
|
|
|
|
|
Consumer Services - 2.0%
|
|
|
|
|
|
|
Casinos & Gaming - 1.4%
|
|
|
|
10,750,000
|
|
NR/WR
|
Buffalo Thunder Development Authority, 9.375%, 12/15/14 (144A) (e)
|
$
|
3,601,250
|
EURO
|
2,200,000
|
|
B+/B3
|
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A)
|
|
2,949,060
|
EURO
|
4,750,000
|
|
NR/NR
|
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A)
|
|
6,431,768
|
|
4,395,000
|
|
CCC/Caa2
|
Codere Finance Luxembourg SA, 9.25%, 2/15/19 (144A)
|
|
3,318,225
|
|
2,052,000
|
|
B-/NR
|
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A)
|
|
1,969,920
|
EURO
|
1,000,000
|
8.25
|
BB/Ba2
|
Lottomatica Group S.p.A., Floating Rate Note, 3/31/66 (144A)
|
|
1,403,793
|
|
5,965,000
|
|
NR/WR
|
Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (144A) (e)
|
|
477,200
|
EURO
|
6,335,000
|
|
CCC+/Caa1
|
Peermont Global Pty, Ltd., 7.75%, 4/30/14 (144A)
|
|
8,298,465
|
|
1,725,000
|
|
CCC/Caa2
|
Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (144A)
|
|
1,720,688
|
|
|
|
|
|
$
|
30,170,369
|
|
|
|
|
Hotels, Resorts & Cruise Lines - 0.3%
|
|
|
|
3,800,000
|
|
NR/B3
|
Good Sam Enterprises LLC, 11.5%, 12/1/16
|
$
|
4,037,500
|
|
2,860,000
|
|
B+/B3
|
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)
|
|
3,153,150
|
|
|
|
|
|
$
|
7,190,650
|
|
|
|
|
Restaurants - 0.1%
|
|
|
BRL
|
4,250,000
|
|
NR/Ba2
|
Arcos Dorados Holdings, Inc., 10.25%, 7/13/16 (144A)
|
$
|
2,246,842
|
|
|
|
|
Education Services - 0.2%
|
|
|
|
4,225,000
|
|
CCC-/B3
|
Cambium Learning Group, Inc., 9.75%, 2/15/17
|
$
|
3,485,625
|
|
|
|
|
Total Consumer Services
|
$
|
43,093,486
|
|
|
|
|
Media - 3.1%
|
|
|
|
|
|
|
Advertising - 0.4%
|
|
|
|
5,549,000
|
|
B/B3
|
MDC Partners, Inc., 11.0%, 11/1/16
|
$
|
6,103,900
|
|
2,115,000
|
|
B/B3
|
MDC Partners, Inc., 11.0%, 11/1/16 (144A)
|
|
2,326,500
|
|
|
|
|
|
$
|
8,430,400
|
|
|
|
|
Broadcasting - 2.4%
|
|
|
|
2,514,281
|
|
CCC+/Caa3
|
Intelsat Luxembourg SA, 11.5%, 2/4/17
|
$
|
2,665,138
|
|
15,840,000
|
|
CCC+/Caa3
|
Intelsat Luxembourg SA, 11.5%, 2/4/17 (144A) (PIK)
|
|
16,790,400
|
|
4,300,000
|
|
B+/B1
|
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
|
|
4,386,000
|
EURO
|
10,950,000
|
|
B+/B1
|
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
|
|
15,243,111
|
EURO
|
1,925,000
|
|
B-/Caa1
|
Ono Finance II Plc, 11.125%, 7/15/19 (144A)
|
|
2,684,951
|
CAD
|
7,500,000
|
|
B+/B2
|
Quebecor Media, Inc., 6.625%, 1/15/23 (144A)
|
|
7,782,735
|
|
1,755,000
|
|
B-/B3
|
Telesat Canada, 12.5%, 11/1/17
|
|
1,908,562
|
|
|
|
|
|
$
|
51,460,897
|
|
|
|
|
Buisness Services - 0.2%
|
|
|
|
5,820,000
|
|
B-/Caa2
|
Sitel LLC, 11.5%, 4/1/18
|
|
4,074,000
|
|
|
|
|
|
|
|
|
|
|
|
Movies & Entertainment - 0.0%
|
|
|
|
1,560,000
|
|
B-/B3
|
Regal Entertainment Group, 5.75%, 2/1/25
|
$
|
1,544,400
|
|
|
|
|
Publishing - 0.1%
|
|
|
|
1,675,000
|
|
B-/B3
|
MPL 2 Acquisition Canco, Inc., 9.875%, 8/15/18 (144A)
|
$
|
1,637,312
|
|
|
|
|
Total Media
|
$
|
67,147,009
|
|
|
|
|
Retailing - 0.5%
|
|
|
|
|
|
|
Department Stores - 0.5%
|
|
|
|
10,855,000
|
|
B/NR
|
Grupo Famsa SAB de CV, 11.0%, 7/20/15 (144A)
|
$
|
11,723,400
|
|
|
|
|
Total Retailing
|
$
|
11,723,400
|
|
|
|
|
Food, Beverage & Tobacco - 7.0%
|
|
|
|
|
|
|
Distillers & Vintners - 0.3%
|
|
|
EURO
|
4,171,607
|
|
NR/NR
|
Belvedere SA, 7.692%, 11/10/19
|
$
|
957,004
|
EURO
|
320,792
|
7.69
|
NR/NR
|
Belvedere SA, Floating Rate Note, 11/10/19
|
|
3,919
|
|
7,512,000
|
|
CCC/Caa2
|
CEDC Finance Corp International, Inc., 9.125%, 12/1/16 (144A)
|
|
4,657,440
|
|
|
|
|
|
$
|
5,618,363
|
|
|
|
|
Agricultural Products - 0.2%
|
|
|
|
4,400,000
|
|
B/NR
|
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A)
|
$
|
4,367,000
|
|
|
|
|
Packaged Foods & Meats - 5.8%
|
|
|
|
1,960,000
|
|
B/NR
|
Agrokor DD, 8.875%, 2/1/20 (144A)
|
$
|
2,202,550
|
EURO
|
3,200,000
|
|
B/B2
|
Agrokor DD, 9.875%, 5/1/19 (144A)
|
|
4,893,553
|
|
6,000,000
|
|
BB/B1
|
Bertin SA, 10.25%, 10/5/16 (144A)
|
|
6,720,000
|
|
4,450,000
|
|
B+/B1
|
CFG Investment SAC, 9.75%, 7/30/19 (144A)
|
|
3,715,750
|
|
2,770,000
|
|
B/B1
|
Chiquita Brands International, Inc., 7.875%, 2/1/21 (144A)
|
|
2,794,238
|
|
9,720,000
|
|
B+/B2
|
Corp Pesquera Inca SAC, 9.0%, 2/10/17 (144A)
|
|
10,254,600
|
|
9,600,000
|
|
B/B3
|
FAGE Dairy Industry SA, 9.875%, 2/1/20 (144A)
|
|
10,440,000
|
|
2,969,595
|
|
NR/NR
|
Independencia International, Ltd., 12.0%, 12/30/16 (144A) (e)
|
|
7,424
|
|
8,690,000
|
|
BB/B1
|
JBS Finance II, Ltd., 8.25%, 1/29/18 (144A)
|
|
9,385,200
|
|
3,000,000
|
|
B+/B2
|
Marfrig Holding Europe BV, 9.875%, 7/24/17 (144A)
|
|
2,955,000
|
|
20,248,000
|
|
B+/B2
|
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A)
|
|
19,286,220
|
|
3,783,000
|
|
B+/B2
|
Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A)
|
|
3,820,830
|
|
4,755,000
|
|
B+/B1
|
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
|
|
5,801,100
|
|
24,000,000
|
|
B+/B1
|
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
|
|
24,600,011
|
|
6,500,000
|
|
B+/B2
|
Pesquera Exalmar S.A.A., 7.375%, 1/31/20 (144A)
|
|
6,370,000
|
|
10,905,000
|
|
B-/Caa1
|
Pilgrim's Pride Corp., 7.875%, 12/15/18
|
|
11,273,044
|
|
1,430,000
|
|
B+/B2
|
Wells Enterprises, Inc., 6.75%, 2/1/20 (144A)
|
|
1,483,625
|
|
|
|
|
|
$
|
126,003,145
|
|
|
|
|
Tobacco - 0.7%
|
|
|
|
14,855,000
|
|
B-/B3
|
Alliance One International, Inc., 10.0%, 7/15/16
|
$
|
15,783,438
|
|
|
|
|
Total Food, Beverage & Tobacco
|
$
|
151,771,946
|
|
|
|
|
Health Care Equipment & Services - 1.7%
|
|
|
|
|
|
|
Health Care Equipment - 0.3%
|
|
|
|
8,850,000
|
|
CCC+/Caa2
|
Accellent, Inc., 10.0%, 11/1/17
|
$
|
7,788,000
|
|
|
|
|
Health Care Supplies - 0.5%
|
|
|
|
5,750,000
|
|
B/Caa1
|
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
|
$
|
6,382,500
|
|
3,200,000
|
|
B-/Caa1
|
Immucor, Inc., 11.125%, 8/15/19
|
|
3,584,000
|
|
|
|
|
|
$
|
9,966,500
|
|
|
|
|
Health Care Services - 0.8%
|
|
|
|
4,253,000
|
|
CCC/Caa2
|
Gentiva Health Services, Inc., 11.5%, 9/1/18
|
$
|
4,178,572
|
|
10,302,000
|
|
B+/Caa2
|
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
|
$
|
9,606,615
|
|
2,975,000
|
|
CCC+/Caa1
|
Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)
|
|
3,112,594
|
|
|
|
|
|
$
|
16,897,781
|
|
|
|
|
Health Care Facilities - 0.1%
|
|
|
|
1,550,000
|
|
B-/B3
|
Kindred Healthcare, Inc., 8.25%, 6/1/19
|
$
|
1,526,750
|
|
172,000
|
|
CCC+/Caa1
|
Vanguard Health Systems, Inc., 0.0%, 2/1/16
|
|
131,580
|
|
|
|
|
|
$
|
1,658,330
|
|
|
|
|
Total Health Care Equipment & Services
|
$
|
36,310,611
|
|
|
|
|
Pharmaceuticals, Biotechnology & Life Sciences - 0.5%
|
|
|
|
|
|
|
Pharmaceuticals - 0.5%
|
|
|
|
2,305,000
|
|
BB-/B1
|
Valeant Pharmaceuticals International, 6.375%, 10/15/20 (144A)
|
$
|
2,379,912
|
|
7,820,000
|
|
BB-/B1
|
VPI Escrow Corp., 6.375%, 10/15/20 (144A)
|
|
8,113,250
|
|
|
|
|
|
|
10,493,162
|
|
|
|
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$
|
10,493,162
|
|
|
|
|
Banks - 4.5%
|
|
|
|
|
|
|
Diversified Banks - 2.9%
|
|
|
TRY
|
4,500,000
|
|
NR/NR
|
Akbank TAS, 7.5%, 2/5/18 (144A)
|
$
|
2,557,690
|
|
6,875,000
|
9.75
|
BB+/NR
|
Banco de Credito del Peru Panama, Floating Rate Note, 11/6/69 (144A)
|
|
8,404,688
|
|
6,600,000
|
|
B-/B3
|
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A)
|
|
5,461,500
|
|
2,900,000
|
6.25
|
BB/NR
|
Banco do Brasil SA, Floating Rate Note, 12/29/49 (Perpetual) (144A)
|
|
2,878,250
|
|
1,750,000
|
|
NR/Ba1
|
Banco do Estado do Rio Grande do Sul SA, 7.375%, 2/2/22 (144A)
|
|
1,925,000
|
|
5,000,000
|
|
NR/Ba2
|
Banco GNB Sudameris SA, 7.5%, 7/30/22 (144A)
|
|
5,612,960
|
|
2,870,000
|
9.75
|
NR/Caa3
|
Banco Macro SA, Floating Rate Note, 12/18/36
|
|
2,037,700
|
|
3,880,000
|
|
NR/B2
|
Bank CenterCredit, 8.625%, 1/30/14 (144A)
|
|
4,006,100
|
|
5,100,000
|
|
NR/A3
|
BBVA Bancomer SA Texas, 6.5%, 3/10/21 (144A)
|
|
5,839,500
|
|
1,250,000
|
|
NR/A3
|
BBVA Bancomer SA Texas, 6.75%, 9/30/22 (144A)
|
|
1,456,250
|
EURO
|
2,600,000
|
|
NR/Aaa
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, 6.875%, 3/19/20
|
|
3,940,542
|
|
5,250,000
|
|
BB/Ba3
|
CorpGroup Banking SA, 6.75%, 3/15/23 (144A)
|
|
5,335,312
|
IDR
|
11,650,000,000
|
|
NR/NR
|
Inter-American Development Bank, 4.5%, 2/4/16
|
|
1,198,517
|
BRL
|
11,200,000
|
|
AAA/Aaa
|
International Finance Corp. United States, 5.0%, 12/21/15
|
|
5,479,469
|
|
1,500,000
|
|
NR/Ba2
|
Turkiye Is Bankasi, 6.0%, 10/24/22 (144A)
|
|
1,575,000
|
|
5,000,000
|
|
BBB-/Baa2
|
VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (144A)
|
|
5,290,000
|
|
|
|
|
|
$
|
62,998,478
|
|
|
|
|
Regional Banks - 1.4%
|
|
|
|
3,165,000
|
8.50
|
NR/Ba3
|
Banco Internacional del Peru SAA, Floating Rate Note, 4/23/70 (144A)
|
$
|
3,489,412
|
|
13,430,000
|
6.75
|
BBB/Baa3
|
PNC Financial Services Group, Inc., Floating Rate Note, 7/29/49 (Perpetual)
|
|
15,409,716
|
|
10,650,000
|
|
BBB-/NR
|
UBS AG, 7.625%, 8/17/22
|
|
11,701,592
|
|
|
|
|
|
$
|
30,600,720
|
|
|
|
|
Thrifts & Mortgage Finance - 0.2%
|
|
|
|
4,000,000
|
|
BB-/Ba2
|
Alfa Bank OJSC Via Alfa Bond Issuance Plc, 7.5%, 9/26/19 (144A)
|
$
|
4,340,000
|
|
|
|
|
Total Banks
|
$
|
97,939,198
|
|
|
|
|
Diversified Financials - 3.5%
|
|
|
|
|
|
|
Other Diversified Financial Services - 0.5%
|
|
|
TRY
|
12,410,000
|
|
AAA/Aaa
|
European Investment Bank, 3/2/15
|
|
6,387,687
|
TRY
|
800,000
|
|
A/A2
|
JPMorgan Chase & Co., 10/4/17 (144A)
|
|
326,884
|
|
4,565,000
|
|
B+/B2
|
National Money Mart Co., 10.375%, 12/15/16
|
|
5,038,619
|
|
|
|
|
|
$
|
11,753,190
|
|
|
|
|
Specialized Finance - 1.2%
|
|
|
|
6,210,000
|
|
BB/Ba3
|
Ausdrill Finance Pty, Ltd., 6.875%, 11/1/19 (144A)
|
$
|
6,178,950
|
|
7,675,000
|
|
BBB-/WR
|
Cantor Fitzgerald LP, 7.875%, 10/15/19 (144A)
|
|
7,908,343
|
|
10,460,000
|
|
NR/Ba3
|
Metalloinvest Finance, Ltd., 6.5%, 7/21/16 (144A)
|
|
11,003,920
|
|
1,700,000
|
|
B/B1
|
Oxford Finance LLC, 7.25%, 1/15/18 (144A)
|
|
1,742,500
|
|
|
|
|
|
$
|
26,833,713
|
|
|
|
|
Consumer Finance - 0.4%
|
|
|
|
10,395,000
|
|
NR/NR
|
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)
|
$
|
9,251,550
|
|
|
|
|
Investment Banking & Brokerage - 1.4%
|
|
|
|
20,515,000
|
4.00
|
BB+/Ba2
|
Goldman Sachs Capital II, Floating Rate Note, 6/1/43
|
$
|
16,719,725
|
|
10,600,000
|
|
BBB/Baa3
|
Jefferies Group, Inc., 6.875%, 4/15/21
|
|
12,084,000
|
|
|
|
|
|
$
|
28,803,725
|
|
|
|
|
Total Diversified Financials
|
$
|
76,642,178
|
|
|
|
|
Insurance - 5.4%
|
|
|
|
|
|
|
Insurance Brokers - 1.3%
|
|
|
|
14,000,000
|
|
CCC+/Caa2
|
Hub International, Ltd., 8.125%, 10/15/18 (144A)
|
$
|
14,490,000
|
|
4,900,000
|
|
CCC/Caa2
|
Onex USI Acquisition Corp., 7.75%, 1/15/21 (144A)
|
|
4,802,000
|
GBP
|
4,840,000
|
|
B-/Caa1
|
Towergate Finance Plc, 10.5%, 2/15/19 (144A)
|
|
8,059,544
|
|
|
|
|
|
$
|
27,351,544
|
|
|
|
|
Multi-line Insurance - 0.4%
|
|
|
|
800,000
|
6.46
|
BBB-/Baa1
|
AXA SA, Floating Rate Note, 12/29/49 (Perpetual) (144A)
|
$
|
792,000
|
|
5,170,000
|
10.75
|
BB/Baa3
|
Liberty Mutual Group, Inc., Floating Rate Note, 6/15/58 (144A)
|
|
7,858,400
|
|
|
|
|
|
$
|
8,650,400
|
|
|
|
|
Property & Casualty Insurance - 0.4%
|
|
|
|
8,535,000
|
7.51
|
BB+/Ba2
|
Sirius International Group, Ltd., Floating Rate Note, 5/29/49 (Perpetual) (144A)
|
$
|
9,048,892
|
|
|
|
|
Reinsurance - 3.3%
|
|
|
|
450,000
|
8.18
|
BB-/NR
|
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A)
|
$
|
447,120
|
EURO
|
800,000
|
10.50
|
B-/NR
|
ATLAS VI Capital, Ltd., Floating Rate Note, 4/7/14 (Cat Bond) (144A)
|
|
1,121,362
|
|
1,000,000
|
5.25
|
BB+/NR
|
Kibou, Ltd., Floating Rate Note, 2/16/15 (Cat Bond) (144A)
|
|
1,029,300
|
|
250,000
|
6.30
|
BB+/NR
|
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A)
|
|
258,225
|
|
250,000
|
14.00
|
B-/NR
|
Blue Fin, Ltd., Floating Rate Note, 5/28/13 (Cat Bond) (144A)
|
|
250,225
|
|
2,000,000
|
6.50
|
BB+/NR
|
Caelus Re II, Ltd., Floating Rate Note, 5/24/13 (Cat Bond) (144A)
|
|
2,014,000
|
|
1,250,000
|
17.75
|
NR/NR
|
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A)
|
|
1,339,750
|
|
750,000
|
10.00
|
NR/B1
|
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A)
|
|
805,050
|
|
1,500,000
|
10.25
|
BB-/NR
|
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A)
|
|
1,528,950
|
|
1,000,000
|
11.25
|
B+/NR
|
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A)
|
|
1,005,300
|
|
400,000
|
9.00
|
BB/NR
|
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A)
|
|
429,240
|
|
1,500,000
|
6.65
|
BB/NR
|
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A)
|
|
1,511,400
|
|
1,950,000
|
5.00
|
BB+/NR
|
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond)
|
|
1,964,235
|
|
2,000,000
|
5.75
|
BB/NR
|
Foundation Re III, Ltd., Floating Rate Note, 2/3/14 (Cat Bond) (144A)
|
|
2,002,200
|
|
1,250,000
|
8.35
|
BB-/NR
|
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A)
|
|
1,282,500
|
|
1,925,000
|
13.50
|
B-/NR
|
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A)
|
|
1,917,300
|
|
1,000,000
|
6.20
|
BB-/NR
|
Ibis Re, Ltd., Floating Rate Note, 5/3/13 (Cat Bond) (144A)
|
|
1,007,600
|
|
500,000
|
6.00
|
BB/NR
|
Lodestone Re, Ltd., Floating Rate Note, 1/8/14 (Cat Bond) (144A)
|
|
500,550
|
|
4,250,000
|
7.25
|
BB/NR
|
Lodestone Re, Ltd., Floating Rate Note, 1/8/14 (Cat Bond) (144A)
|
|
4,282,725
|
|
350,000
|
6.25
|
BB/NR
|
Lodestone Re, Ltd., Floating Rate Note, 5/17/13 (Cat Bond) (144A)
|
|
351,855
|
|
4,000,000
|
8.25
|
BB-/NR
|
Lodestone Re, Ltd., Floating Rate Note, 5/17/13 (Cat Bond) (144A)
|
|
4,038,800
|
|
2,500,000
|
12.00
|
B/NR
|
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A)
|
|
2,529,500
|
|
800,000
|
8.71
|
B+/NR
|
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A)
|
|
802,560
|
|
650,000
|
11.94
|
B-/NR
|
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A)
|
|
643,110
|
|
2,800,000
|
11.22
|
NR/B2
|
Mythen, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A)
|
|
2,840,320
|
|
750,000
|
13.75
|
NR/NR
|
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A)
|
|
796,650
|
|
2,500,000
|
7.50
|
BB-/NR
|
Queen Street II Capital, Ltd., Floating Rate Note, 4/9/14 (Cat Bond) (144A)
|
|
2,513,750
|
|
2,000,000
|
7.50
|
BB-/NR
|
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A)
|
|
1,999,200
|
|
900,000
|
8.50
|
B+/NR
|
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A)
|
|
914,940
|
|
300,000
|
10.35
|
B/NR
|
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A)
|
|
310,350
|
|
750,000
|
8.60
|
B/NR
|
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A)
|
|
749,700
|
|
250,000
|
13.00
|
B-/NR
|
Residential Reinsurance 2010, Ltd., Floating Rate Note, 6/6/13 (Cat Bond) (144A)
|
|
255,650
|
|
1,750,000
|
7.25
|
NR/NR
|
Residential Reinsurance 2010, Ltd., Floating Rate Note, 6/6/13 (Cat Bond) (144A)
|
|
1,770,300
|
|
1,500,000
|
0.00
|
BB/NR
|
Residential Reinsurance 2010, Ltd., Floating Rate Note, 6/6/13 (Cat Bond) (144A)
|
|
1,515,600
|
|
3,450,000
|
12.00
|
B-/NR
|
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A)
|
|
3,507,615
|
|
1,800,000
|
0.00
|
NR/NR
|
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)
|
|
1,795,140
|
|
450,000
|
0.00
|
BB/NR
|
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)
|
|
450,450
|
|
950,000
|
0.00
|
NR/NR
|
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)
|
|
943,350
|
|
1,100,000
|
10.00
|
BB-/NR
|
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A)
|
|
1,189,980
|
|
1,000,000
|
8.00
|
BB/NR
|
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A)
|
|
1,036,400
|
|
1,850,000
|
22.00
|
NR/NR
|
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A)
|
|
1,772,855
|
|
2,300,000
|
|
NR/NR
|
Sector Re V, Ltd., 12/1/17 (Cat Bond) (144A)
|
|
2,353,820
|
|
1,125,000
|
14.68
|
B-/NR
|
Successor X, Ltd. Class III-S3, Floating Rate Note, 1/7/14 (Cat Bond) (144A)
|
|
1,125,112
|
|
4,000,000
|
13.00
|
NR/NR
|
Successor X, Ltd. Class IV-AL3, Floating Rate Note, 2/25/14 (Cat Bond) (144A)
|
|
4,044,400
|
|
875,000
|
16.50
|
NR/NR
|
Successor X, Ltd., Floating Rate Note, 1/27/15 (Cat Bond) (144A)
|
|
885,062
|
|
2,600,000
|
16.18
|
NR/NR
|
Successor X, Ltd., Floating Rate Note, 1/7/14 (Cat Bond) (144A)
|
|
2,565,420
|
|
375,000
|
11.25
|
B-/NR
|
Successor X, Ltd., Floating Rate Note, 11/10/15 (Cat Bond) (144A)
|
|
374,362
|
|
2,100,000
|
9.75
|
B-/NR
|
Successor X, Ltd., Floating Rate Note, 4/4/13 (Cat Bond) (144A)
|
|
2,110,290
|
|
250,000
|
11.75
|
NR/NR
|
Successor X, Ltd., Floating Rate Note, 4/4/13 (Cat Bond) (144A)
|
|
251,200
|
|
|
|
|
|
$
|
71,134,773
|
|
|
|
|
Total Insurance
|
$
|
116,185,609
|
|
|
|
|
Real Estate - 1.3%
|
|
|
|
|
|
|
Diversified Real Estate Activities - 0.7%
|
|
|
|
8,000,000
|
|
BB/Ba1
|
BR Malls International Finance, Ltd., 8.5%, 1/29/49 (Perpetual) (144A)
|
$
|
8,800,000
|
|
5,590,000
|
|
BB/NR
|
BR Malls International Finance, Ltd., 9.75%, 11/29/49 (Perpetual) (144A)
|
|
5,562,050
|
|
|
|
|
|
$
|
14,362,050
|
|
|
|
|
Real Estate Operating Companies - 0.6%
|
|
|
|
6,750,000
|
|
B-/NR
|
Alto Palermo SA, 7.875%, 5/11/17 (144A)
|
$
|
6,007,500
|
|
8,405,000
|
|
B-/NR
|
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A)
|
|
7,648,550
|
|
|
|
|
|
$
|
13,656,050
|
|
|
|
|
Total Real Estate
|
$
|
28,018,100
|
|
|
|
|
Software & Services - 1.2%
|
|
|
|
|
|
|
Data Processing & Outsourced Services - 0.3%
|
|
|
|
3,597,000
|
|
B-/Caa1
|
First Data Corp., 12.625%, 1/15/21
|
$
|
3,830,805
|
|
2,395,000
|
|
BB-/Ba3
|
NeuStar, Inc., 4.5%, 1/15/23 (144A)
|
|
2,395,000
|
|
|
|
|
|
$
|
6,225,805
|
|
|
|
|
Application Software - 0.3%
|
|
|
|
8,684,000
|
|
CCC-/Caa2
|
Allen Systems Group, Inc., 10.5%, 11/15/16 (144A)
|
$
|
5,905,120
|
|
|
|
|
Systems Software - 0.6%
|
|
|
|
14,669,480
|
|
NR/NR
|
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A) (PIK)
|
$
|
13,202,532
|
|
|
|
|
Total Software & Services
|
$
|
25,333,457
|
|
|
|
|
Technology Hardware & Equipment - 0.3%
|
|
|
|
|
|
|
Electronic Equipment Manufacturers - 0.3%
|
|
|
|
5,500,000
|
|
BB-/B1
|
Viasystems, Inc., 7.875%, 5/1/19 (144A)
|
$
|
5,486,250
|
|
|
|
|
Total Technology Hardware & Equipment
|
$
|
5,486,250
|
|
|
|
|
Semiconductors & Semiconductor Equipment - 0.2%
|
|
|
|
|
|
|
Semiconductor Equipment - 0.1%
|
|
|
|
3,200,000
|
|
B+/Caa1
|
MEMC Electronic Materials, Inc., 7.75%, 4/1/19
|
$
|
2,848,000
|
|
|
|
|
Semiconductors - 0.1%
|
|
|
CNY
|
14,000,000
|
|
BB-/NR
|
LDK Solar Co, Ltd., 10.0%, 2/28/14
|
$
|
1,541,757
|
|
|
|
|
Total Semiconductors & Semiconductor Equipment
|
$
|
4,389,757
|
|
|
|
|
Telecommunication Services - 4.7%
|
|
|
|
|
|
|
Integrated Telecommunication Services - 3.5%
|
|
|
|
6,477,000
|
|
B/B1
|
Cincinnati Bell, Inc., 8.25%, 10/15/17
|
$
|
6,954,679
|
|
5,790,000
|
|
B/B1
|
Cincinnati Bell, Inc., 8.375%, 10/15/20
|
|
6,296,625
|
|
8,478,000
|
|
CCC+/B3
|
Cincinnati Bell, Inc., 8.75%, 3/15/18
|
|
8,954,888
|
|
5,200,000
|
|
BB-/Ba2
|
Frontier Communications Corp., 7.125%, 1/15/23
|
|
5,525,000
|
|
2,940,000
|
|
BB-/Ba2
|
Frontier Communications Corp., 8.5%, 4/15/20
|
|
3,395,700
|
|
10,345,000
|
|
BB-/Ba2
|
Frontier Communications Corp., 8.75%, 4/15/22
|
|
11,974,338
|
EURO
|
1,600,000
|
|
B+/Ba3
|
Telenet Finance V Luxembourg SCA, 6.25%, 8/15/22 (144A)
|
|
2,296,805
|
|
5,260,000
|
|
B/Ba3
|
Windstream Corp., 6.375%, 8/1/23 (144A)
|
|
5,273,150
|
|
6,285,000
|
|
B/Ba3
|
Windstream Corp., 7.5%, 6/1/22
|
|
6,803,512
|
|
2,300,000
|
|
B/Ba3
|
Windstream Corp., 7.75%, 10/1/21
|
|
2,512,750
|
|
6,765,000
|
|
B/Ba3
|
Windstream Corp., 7.75%, 10/15/20
|
|
7,356,938
|
|
7,345,000
|
|
B/Ba3
|
Windstream Corp., 8.125%, 9/1/18
|
|
8,061,138
|
|
|
|
|
|
$
|
75,405,523
|
|
|
|
|
Wireless Telecommunication Services - 1.2%
|
|
|
|
1,000,000
|
|
NR/Caa1
|
Digicel Group, Ltd., 10.5%, 4/15/18 (144A)
|
$
|
1,115,000
|
|
6,400,000
|
|
NR/Caa1
|
Digicel Group, Ltd., 8.25%, 9/30/20 (144A)
|
|
7,136,000
|
|
2,300,000
|
|
NR/NR
|
Richland Towers Funding LLC, 7.87%, 3/15/16 (144A)
|
|
2,354,685
|
|
7,800,000
|
|
BB/Ba3
|
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 7.748%, 2/2/21 (144A)
|
|
8,931,000
|
|
5,375,000
|
|
BB/Ba3
|
VimpelCom Holdings BV, 7.504%, 3/1/22 (144A)
|
|
6,127,500
|
|
|
|
|
|
$
|
25,664,185
|
|
|
|
|
Total Telecommunication Services
|
$
|
101,069,708
|
|
|
|
|
Utilities - 2.0%
|
|
|
|
|
|
|
Electric Utilities - 0.8%
|
|
|
|
12,081,000
|
|
CCC/NR
|
Cia de Transporte de Energia Electrica en Alta Tension Transener SA, 9.75%, 8/15/21 (144A)
|
$
|
4,349,160
|
|
7,150,000
|
5.25
|
BBB+/NR
|
Electricite de France SA, Floating Rate Note, 12/29/49 (Perpetual) (144A)
|
|
6,979,894
|
|
5,256,000
|
|
B-/Caa1
|
Empresa Distribuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
|
|
2,417,760
|
|
722,501
|
|
B/Ba2
|
FPL Energy National Wind Portfolio LLC, 6.125%, 3/25/19 (144A)
|
|
605,642
|
|
598,995
|
|
B/Ba2
|
FPL Energy Wind Funding LLC, 6.876%, 6/27/17 (144A)
|
|
515,136
|
|
2,695,000
|
|
CCC/Caa1
|
Texas Competitive Electric Holdings Co. LLC, 11.5%, 10/1/20 (144A)
|
|
2,129,050
|
|
4,000,000
|
|
D/Caa3
|
Texas Competitive Electric Holdings Co. LLC, 15.0%, 4/1/21
|
|
1,360,000
|
|
|
|
|
|
$
|
18,356,642
|
|
|
|
|
Gas Utilities - 0.4%
|
|
|
|
2,437,000
|
|
B-/B2
|
Star Gas Partners LP, 8.875%, 12/1/17
|
$
|
2,473,555
|
|
7,966,000
|
|
B-/B3
|
Transportadora de Gas del Sur SA, 7.875%, 5/14/17 (144A)
|
|
6,930,420
|
|
|
|
|
|
$
|
9,403,975
|
|
|
|
|
Multi-Utilities - 0.3%
|
|
|
|
6,474,795
|
|
NR/NR
|
Ormat Funding Corp., 8.25%, 12/30/20
|
$
|
6,021,559
|
|
|
|
|
Independent Power Producers & Energy Traders - 0.5%
|
|
|
|
940,000
|
|
NR/Baa3
|
Instituto Costarricense de Electricidad, 6.95%, 11/10/21 (144A)
|
$
|
1,085,700
|
|
244,150
|
|
NR/NR
|
Juniper Generation LLC, 6.79%, 12/31/14 (144A)
|
|
229,446
|
|
3,025,000
|
|
BB-/B1
|
NRG Energy, Inc., 7.625%, 1/15/18
|
|
3,395,562
|
|
2,840,000
|
|
BB-/B1
|
NRG Energy, Inc., 7.625%, 5/15/19
|
|
3,038,800
|
|
2,200,000
|
|
BB-/B1
|
NRG Energy, Inc., 8.5%, 6/15/19
|
|
2,436,500
|
|
357,000
|
|
BB+/Ba1
|
NSG Holdings LLC, 7.75%, 12/15/25 (144A)
|
|
371,280
|
|
|
|
|
|
$
|
10,557,288
|
|
|
|
|
Total Utilities
|
$
|
44,339,464
|
|
|
|
|
Government - 0.1%
|
|
|
TRY
|
4,200,000
|
|
AAA/NR
|
European Bank for Reconstruction & Development, 0.5%, 2/26/15
|
$
|
2,167,266
|
|
|
|
|
Total Government
|
$
|
2,167,266
|
|
|
|
|
TOTAL CORPORATE BONDS
|
|
|
|
|
|
|
(Cost $1,577,878,897)
|
$
|
1,564,008,643
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN GOVERNMENT BONDS - 4.5%
|
|
|
BRL
|
2,950,000
|
|
BBB/Baa2
|
Brazilian Government International Bond, 10.25%, 1/10/28
|
$
|
1,859,633
|
|
13,000,000
|
|
B-/Caa1
|
City of Buenos Aires Argentina, 12.5%, 4/6/15 (144A)
|
|
12,545,000
|
COP
|
6,986,000,000
|
|
BBB-/Baa3
|
Colombia Government International Bond, 12.0%, 10/22/15
|
|
4,727,348
|
COP
|
1,626,000,000
|
|
NR/Ba1
|
Empresa de Telecomunicaciones de Bogota, 7.0%, 1/17/23 (144A)
|
|
952,479
|
IDR
|
53,000,000,000
|
|
NR/Baa3
|
Indonesia Treasury Bond, 7.0%, 5/15/22
|
|
6,139,190
|
IDR
|
101,459,000,000
|
|
NR/Baa3
|
Indonesia Treasury Bond, 8.25%, 6/15/32
|
|
12,458,192
|
MXN
|
4,800,000
|
|
A-/Baa1
|
Mexican Bonos, 7.5%, 6/3/27
|
|
449,385
|
MXN
|
144,510,000
|
|
A-/Baa1
|
Mexican Bonos, 7.75%, 11/13/42
|
|
13,810,314
|
MXN
|
10,026,530
|
|
A-/Baa1
|
Mexican Udibonos, 3.5%, 12/14/17
|
|
869,182
|
PHP
|
442,965,000
|
|
NR/Ba1
|
Philippine Government Bond, 5.875%, 3/1/32
|
|
12,030,999
|
PHP
|
8,000,000
|
|
NR/Ba1
|
Philippine Government Bond, 6.125%, 10/24/37
|
|
221,746
|
|
4,600,000
|
|
B-/NR
|
Province of Salta Argentina, 9.5%, 3/16/22 (144A)
|
|
3,907,700
|
|
7,425,000
|
|
B-/Caa1
|
Provincia de Buenos Aires Argentina, 10.875%, 1/26/21 (144A)
|
|
5,346,000
|
|
2,125,000
|
|
B-/Caa1
|
Provincia de Buenos Aires Argentina, 11.75%, 10/5/15 (144A)
|
|
1,753,125
|
|
2,600,000
|
|
B-/NR
|
Provincia de Neuquen Argentina, 7.875%, 4/26/21 (144A)
|
|
2,223,000
|
RON
|
11,200,000
|
|
NR/NR
|
Romania Government Bond, 5.85%, 4/26/23
|
|
3,460,947
|
RON
|
8,880,000
|
|
NR/NR
|
Romania Government Bond, 5.9%, 7/26/17
|
|
2,769,038
|
TRY
|
2,500,000
|
|
BBB-/NR
|
Turkey Government Bond, 10.5%, 1/15/20
|
|
1,727,862
|
|
575,000
|
|
B/B3
|
Ukraine Government International Bond, 6.75%, 11/14/17 (144A)
|
|
579,312
|
|
9,000,000
|
|
B/B3
|
Ukraine Government International Bond, 9.25%, 7/24/17 (144A)
|
|
9,787,500
|
|
|
|
|
|
$
|
97,617,952
|
|
|
|
|
TOTAL FOREIGN GOVERNMENT BONDS
|
|
|
|
|
|
|
(Cost $95,647,481)
|
$
|
97,617,952
|
|
|
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS - 0.3%
|
|
|
|
|
|
|
Municipal Development - 0.0%
|
|
|
|
15,000
|
7.00
|
B/B3
|
New Jersey Economic Development Authority, Floating Rate Note, 11/15/30
|
$
|
15,056
|
|
|
|
|
Municipal General - 0.3%
|
|
|
|
8,875,000
|
0.00
|
NR/NR
|
Non-Profit Preferred Funding Trust I, Floating Rate Note, 9/15/37 (144A)
|
$
|
5,650,002
|
|
|
|
|
TOTAL MUNICIPAL BONDS
|
|
|
|
|
|
|
(Cost $8,873,574)
|
$
|
5,665,058
|
|
|
|
|
|
|
|
|
|
|
|
SENIOR FLOATING RATE LOAN INTERESTS - 7.0%**
|
|
|
|
|
|
|
Energy - 0.8%
|
|
|
|
|
|
|
Oil & Gas Equipment & Services - 0.3%
|
|
|
|
6,868,897
|
8.50
|
CCC+/B3
|
FTS International Services LLC, Term Loan, 5/6/16
|
$
|
6,019,826
|
|
|
|
|
Oil & Gas Exploration & Production - 0.2%
|
|
|
|
5,100,000
|
0.00
|
NR/NR
|
Talos Energy LLC, Term Loan, 1/24/14
|
$
|
5,100,000
|
|
|
|
|
Coal & Consumable Fuels - 0.3%
|
|
|
|
6,000,000
|
0.00
|
NR/NR
|
Bumi Resources Tbk PT, Term Loan, 8/15/13
|
$
|
5,880,000
|
|
|
|
|
Total Energy
|
$
|
16,999,826
|
|
|
|
|
Materials - 0.7%
|
|
|
|
|
|
|
Commodity Chemicals - 0.1%
|
|
|
|
1,720,688
|
5.75
|
B/B1
|
CPG International I, Inc., Term Loan, 9/21/19
|
$
|
1,736,819
|
|
|
|
|
Diversified Chemicals - 0.5%
|
|
|
EURO
|
8,000,000
|
0.00
|
NR/NR
|
DuPont Performance Coatings, Inc., Term Loan, 10/24/13
|
$
|
10,859,600
|
|
|
|
|
Metal & Glass Containers - 0.0%
|
|
|
|
290,000
|
4.50
|
B/B1
|
BWAY Holding Co., Initial Term Loan, 8/31/17
|
$
|
293,988
|
|
|
|
|
Paper Packaging - 0.1%
|
|
|
|
2,357,581
|
6.50
|
B/B2
|
Exopack Holding Corp., Term Loan B, 5/6/17
|
$
|
2,374,280
|
|
|
|
|
Total Materials
|
$
|
15,264,687
|
|
|
|
|
Capital Goods - 0.5%
|
|
|
|
|
|
|
Aerospace & Defense - 0.5%
|
|
|
|
3,846,887
|
6.25
|
B-/B2
|
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 10/18/18
|
$
|
3,928,633
|
|
1,743,926
|
6.25
|
B/B2
|
DAE Aviation Holdings, Inc., Tranche B-2 Loan, 10/18/18
|
|
1,780,985
|
|
3,133,617
|
6.51
|
BB/B1
|
Hunter Defense Technologies, Inc., Series 1 New Term Loan, 8/22/14
|
|
2,976,936
|
|
1,628,992
|
3.51
|
BB-/B1
|
Hunter Defense Technologies, Inc., Term Loan, 8/22/14
|
|
1,531,253
|
|
|
|
|
|
$
|
10,217,807
|
|
|
|
|
Industrial Conglomerates - 0.0%
|
|
|
|
1,467,116
|
5.00
|
B+/B2
|
Pro Mach, Inc., Term Loan, 7/6/17
|
$
|
1,482,403
|
|
|
|
|
Total Capital Goods
|
$
|
11,700,210
|
|
|
|
|
Commercial Services & Supplies - 0.2%
|
|
|
|
|
|
|
Environmental & Facilities Services - 0.1%
|
|
|
|
2,128,275
|
8.75
|
NR/WR
|
Aquilex Holdings LLC, Term Loan, 4/1/16
|
$
|
2,133,595
|
|
|
|
|
Diversified Support Services - 0.1%
|
|
|
|
3,341,885
|
10.00
|
NR/NR
|
IAP Worldwide Services, Inc., Term Loan (First Lien), 12/31/15
|
$
|
2,640,089
|
|
|
|
|
Total Commercial Services & Supplies
|
$
|
4,773,684
|
|
|
|
|
Transportation - 0.1%
|
|
|
|
|
|
|
Air Freight & Logistics - 0.1%
|
|
|
|
508,620
|
5.31
|
NR/NR
|
CEVA Group Plc, Dollar Tranche B Pre Funded Term Loan, 8/31/16
|
$
|
487,163
|
|
794,899
|
5.30
|
NR/NR
|
CEVA Group Plc, EGL Tranche B Term Loan, 8/31/16
|
|
760,782
|
|
779,050
|
5.30
|
B-/B1
|
CEVA Group Plc, US Tranche B Term Loan, 8/31/16
|
|
746,184
|
|
|
|
|
|
$
|
1,994,129
|
|
|
|
|
Total Transportation
|
$
|
1,994,129
|
|
|
|
|
Automobiles & Components - 0.5%
|
|
|
|
|
|
|
Auto Parts & Equipment - 0.1%
|
|
|
|
5,154
|
2.71
|
BB-/Ba3
|
Allison Transmission, Inc., Term B-1 Loan, 8/7/14
|
$
|
5,177
|
|
3,151,188
|
6.75
|
NR/NR
|
TI Group Automotive Systems LLC, Term Loan, 3/1/19
|
|
3,190,577
|
|
|
|
|
|
$
|
3,195,754
|
|
|
|
|
Automobile Manufacturers - 0.4%
|
|
|
|
8,028,320
|
6.00
|
BB/Ba2
|
Chrysler Group LLC, Tranche B Term Loan, 4/28/17
|
$
|
8,215,966
|
|
|
|
|
Total Automobiles & Components
|
$
|
11,411,720
|
|
|
|
|
Consumer Durables & Apparel - 0.2%
|
|
|
|
|
|
|
Home Furnishings - 0.2%
|
|
|
|
3,440,000
|
0.00
|
NR/NR
|
Tempur-Pedic International, Inc., Bridge Loan, 11/17/13
|
$
|
3,440,000
|
|
|
|
|
Total Consumer Durables & Apparel
|
$
|
3,440,000
|
|
|
|
|
Consumer Services - 0.1%
|
|
|
|
|
|
|
Specialized Consumer Services - 0.1%
|
|
|
|
2,297,619
|
5.50
|
B/Ba3
|
Ascent Capital Group, Inc., Term Loan, 3/6/18
|
$
|
2,326,339
|
|
|
|
|
Total Consumer Services
|
$
|
2,326,339
|
|
|
|
|
Media - 0.2%
|
|
|
|
|
|
|
Advertising - 0.1%
|
|
|
|
2,221,495
|
6.50
|
B/Ba3
|
Affinion Group, Inc., Tranche B Term Loan, 10/9/16
|
$
|
2,130,320
|
|
|
|
|
Cable & Satellite - 0.1%
|
|
|
|
1,694,485
|
6.25
|
B/B1
|
WideOpenWest LLC, Term Loan, 4/18/18
|
$
|
1,717,462
|
|
|
|
|
Publishing - 0.0%
|
|
|
|
767,718
|
2.71
|
CCC+/Caa2
|
Cengage Learning Acquisitions, Inc., Original Term Loan, 7/4/14
|
$
|
612,895
|
|
|
|
|
Total Media
|
$
|
4,460,677
|
|
|
|
|
Retailing - 0.3%
|
|
|
|
|
|
|
Automotive Retail - 0.3%
|
|
|
|
5,725,000
|
0.00
|
BB/Ba1
|
Avis Budget Car Rental LLC, Bridge Loan, 1/2/14
|
$
|
5,725,000
|
|
|
|
|
Total Retailing
|
$
|
5,725,000
|
|
|
|
|
Food & Staples Retailing - 0.1%
|
|
|
|
|
|
|
Food Distributors - 0.1%
|
|
|
|
1,390,000
|
5.75
|
B/B1
|
AdvancePierre Foods, Term Loan (First Lien), 6/17/17
|
$
|
1,415,629
|
|
|
|
|
Total Food & Staples Retailing
|
$
|
1,415,629
|
|
|
|
|
Health Care Equipment & Services - 1.1%
|
|
|
|
|
|
|
Health Care Services - 0.9%
|
|
|
|
1,169,078
|
7.25
|
BB-/Ba3
|
Alliance HealthCare Services, Inc., Initial Term Loan, 6/1/16
|
$
|
1,161,772
|
|
1,410,000
|
6.75
|
B+/B1
|
Ardent Medical Services, Inc., Term Loan (First Lien), 5/2/18
|
|
1,438,200
|
|
1,115,878
|
7.50
|
B/Ba3
|
inVentiv Health, Inc., Consolidated Term Loan, 8/4/16
|
|
1,107,509
|
|
5,010,750
|
6.50
|
NR/NR
|
National Mentor Holdings, Inc., Tranche B-1 Term Loan, 2/9/17
|
|
5,085,911
|
|
4,075,088
|
8.25
|
B/B2
|
National Surgical Hospitals, Inc., Initial Term Loan, 1/4/17
|
|
4,075,088
|
|
4,500,513
|
6.50
|
B/B2
|
Surgery Center Holdings, Inc., Term Loan, 9/20/16
|
|
4,511,764
|
|
1,445,500
|
7.75
|
B+/B1
|
Virtual Radiologic Corp., Term Loan A, 11/3/16
|
|
1,261,199
|
|
|
|
|
|
$
|
18,641,443
|
|
|
|
|
Managed Health Care - 0.1%
|
|
|
|
2,200,000
|
9.75
|
B+/B2
|
MMM Holdings, Inc., Term Loan, 10/9/17
|
$
|
2,216,500
|
|
|
|
|
Health Care Technology - 0.1%
|
|
|
|
354,592
|
7.75
|
B/NR
|
Physician Oncology Services LP, Delayed Draw Term Loan, 1/31/17
|
$
|
354,592
|
|
2,918,726
|
7.75
|
B/B2
|
Physician Oncology Services LP, Effective Date Term Loan, 2/10/17
|
|
2,918,726
|
|
|
|
|
|
$
|
3,273,318
|
|
|
|
|
Total Health Care Equipment & Services
|
$
|
24,131,261
|
|
|
|
|
Pharmaceuticals, Biotechnology & Life Sciences - 0.2%
|
|
|
|
|
|
|
Biotechnology - 0.1%
|
|
|
|
3,081,428
|
5.50
|
BB/B2
|
Axcan Intermediate Holdings, Inc., Term B-1 Loan, 1/25/17
|
$
|
3,117,379
|
|
|
|
|
Pharmaceuticals - 0.1%
|
|
|
|
1,048,676
|
6.00
|
NR/B1
|
Generic Drug Holdings, Inc., Closing Date Term Loan, 10/4/19
|
$
|
1,065,717
|
|
|
|
|
Total Pharmaceuticals, Biotechnology & Life Sciences
|
$
|
4,183,096
|
|
|
|
|
Diversified Financials - 0.4%
|
|
|
|
|
|
|
Other Diversified Financial Services - 0.4%
|
|
|
|
993,485
|
0.00
|
NR/NR
|
Long Haul Holdings, Ltd., Facility A Loan, 1/12/14
|
$
|
596,091
|
|
792,928
|
0.00
|
NR/NR
|
Long Haul Holdings, Ltd., Facility B Loan, 1/12/14
|
|
475,757
|
|
7,865,550
|
7.50
|
B+/B2
|
Preferred Sands Holding Co. LLC, Term B Loan, 12/15/16
|
|
7,157,650
|
|
|
|
|
|
$
|
8,229,498
|
|
|
|
|
Total Diversified Financials
|
$
|
8,229,498
|
|
|
|
|
Insurance - 0.5%
|
|
|
|
|
|
|
Insurance Brokers - 0.4%
|
|
|
|
5,467,544
|
6.75
|
B+/B1
|
HUB International Holdings, Inc., 2017 Additional Term Loan (Extended), 12/13/17
|
$
|
5,535,888
|
|
3,988,700
|
4.70
|
B+/B1
|
HUB International Holdings, Inc., 2017 Initial Term Loan (Extended), 6/13/17
|
|
4,051,023
|
|
|
|
|
|
$
|
9,586,911
|
|
|
|
|
Multi-line Insurance - 0.1%
|
|
|
|
1,905,000
|
5.00
|
B-/B1
|
Alliant Insurance Services, Inc., Initial Term Loan, 12/7/19
|
$
|
1,926,431
|
|
|
|
|
Total Insurance
|
$
|
11,513,342
|
|
|
|
|
Real Estate - 0.0%
|
|
|
|
|
|
|
Real Estate Development - 0.0%
|
|
|
|
1,007,500
|
8.25
|
B-/Ba3
|
Ozburn-Hessey Logistics LLC, Term Loan (First Lien), 4/7/16
|
$
|
1,012,538
|
|
|
|
|
Total Real Estate
|
$
|
1,012,538
|
|
|
|
|
Software & Services - 0.8%
|
|
|
|
|
|
|
Application Software - 0.8%
|
|
|
|
13,478,270
|
8.00
|
B/Ba3
|
Expert Global Solutions, Inc., Term B Advance (First Lien), 3/13/18
|
$
|
13,624,280
|
|
3,500,000
|
9.75
|
CCC+/Caa1
|
Vertafore, Inc., Term Loan (Second Lien), 10/18/17
|
|
3,559,790
|
|
|
|
|
|
$
|
17,184,070
|
|
|
|
|
Total Software & Services
|
$
|
17,184,070
|
|
|
|
|
Technology Hardware & Equipment - 0.2%
|
|
|
|
|
|
|
Electronic Components - 0.2%
|
|
|
|
3,897,409
|
5.00
|
B/B2
|
Scitor Corp., Term Loan, 1/21/17
|
$
|
3,887,666
|
|
|
|
|
Total Technology Hardware & Equipment
|
$
|
3,887,666
|
|
|
|
|
Utilities - 0.1%
|
|
|
|
|
|
|
Electric Utilities - 0.1%
|
|
|
|
4,398,230
|
4.74
|
CCC/Caa1
|
Texas Competitive Electric Holdings Co. LLC, 2017 Term Loan (Extending), 10/10/17
|
$
|
2,904,894
|
|
|
|
|
Total Utilities
|
$
|
2,904,894
|
|
|
|
|
TOTAL SENIOR FLOATING RATE LOAN INTERESTS
|
|
|
|
|
|
|
(Cost $153,790,921)
|
$
|
152,558,266
|
|
Shares
|
|
|
|
|
|
|
|
|
|
RIGHTS / WARRANTS - 0.0%
|
|
|
|
|
|
|
Energy - 0.0%
|
|
|
|
|
|
|
Oil & Gas Equipment & Services - 0.0%
|
|
|
|
2,275
|
|
|
Green Field Energy Services, Inc. (144A)
|
$
|
68,250
|
|
|
|
|
Oil & Gas Exploration & Production - 0.0%
|
|
|
|
592,529
|
|
|
Norse Energy Corp ASA, 6/16/15
|
$
|
4,337
|
|
|
|
|
Total Energy
|
$
|
72,587
|
|
|
|
|
TOTAL RIGHTS / WARRANTS
|
|
|
|
|
|
|
(Cost $90,991)
|
$
|
72,587
|