```

                                                             OMB APPROVAL
                                                     OMB Number:       3235-0578
                                                     Expires:  January 31, 2016
                                                     Estimated average burden
                                                     hours per response.....
                                                     10.5

                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM N-Q

                   QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
    OF REGISTERED MANAGEMENT INVESTMENT COMPANY

  Investment Company Act file number 811-21043

                         Pioneer High Income Trust
               (Exact name of registrant as specified in charter)

                       60 State Street, Boston, MA 02109
              (Address of principal executive offices) (ZIP code)

            Terrence J. Cullen, Pioneer Investment Management, Inc.,
                       60 State Street, Boston, MA 02109
                    (Name and address of agent for service)

Registrant's telephone number, including area code:  (617) 742-7825

Date of fiscal year end:   March 31

Date of reporting period:  December 31, 2015

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

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

<PAGE>
ITEM 1. Schedule of Investments.

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

```

```

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

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

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

|   |   |   |   |   |
|--------|--------|--------|--------|--------|

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

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

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

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

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

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

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

|   | PrincipalAmountUSD ($)      |                                                                       |   | Value                                                                                         |
|--------|-----------------------------|----------------------------------------------------------------------------|--------|-----------------------------------------------------------------------------------------------|
|   |                        | CONVERTIBLE BONDS & NOTES - 5.0% of Net Assets                         |   |                                                                                          |
|   |                        | CAPITAL GOODS - 1.1%                                                       |   |                                                                                          |
|   |                        | Construction Machinery & Heavy Trucks - 1.1%                           |   |                                                                                          |
|   |   2,625,000(f)    | Meritor, Inc., 7.875%, 3/1/26                               |   | $ 3,130,313                                                                         |
|   |                        | Total Capital Goods                                                   |   |                 $ 3,130,313  |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | DIVERSIFIED FINANCIALS - 0.1%                                              |   |                                                                                          |
|   |                        | Asset Management & Custody Banks - 0.1%                                |   |                                                                                          |
|   |   400,000    | Apollo Investment Corp., 5.75%, 1/15/16                     |   | $ 399,000                                                                           |
|   |                        | Total Diversified Financials                                          |   |                 $ 399,000    |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | ENERGY - 0.3%                                                              |   |                                                                                          |
|   |                        | Coal & Consumable Fuels - 0.0%†                                  |   |                                                                                          |
|   |   1,905,000(d)    | Massey Energy Co., 3.25%, 8/1/16                                           |   | $ 76,200                                                                            |
|   |                        | Oil & Gas Exploration & Production - 0.3%                          |   |                                                                                          |
|   |   1,340,000(f)    | Chesapeake Energy Corp., 2.5%, 5/15/37                      |   | $ 629,800                                                                           |
|   |                        | Total Energy                                                          |   |                 $ 706,000    |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | HEALTH CARE EQUIPMENT & SERVICES - 1.7%                                |   |                                                                                          |
|   |                        | Health Care Equipment - 1.7%                                               |   |                                                                                          |
|   |   2,837,000(b)(f) | Hologic, Inc., 2.0%, 12/15/37                               |   | $ 4,801,622                                                                         |
|   |                        | Total Health Care Equipment & Services                            |   |                 $ 4,801,622  |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | MATERIALS - 1.3%                                                           |   |                                                                                          |
|   |                        | Diversified Chemicals - 1.3%                                               |   |                                                                                          |
|   |   4,000,000(k)    | Hercules, Inc., 6.5%, 6/30/29                               |   | $ 3,520,000                                                                         |
|   |                        | Total Materials                                                       |   |                 $ 3,520,000  |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.5%                  |   |                                                                                          |
|   |                        | Biotechnology - 0.5%                                                       |   |                                                                                          |
|   |   1,400,000  | Corsicanto, Ltd., 3.5%, 1/15/32                             |   | $ 1,267,000                                                                         |
|   |                        | Total Pharmaceuticals, Biotechnology & Life Sciences              |   |                 $ 1,267,000  |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0%†                 |   |                                                                                          |
|   |                        | Semiconductors - 0.0%†                                               |   |                                                                                          |
|   |   166,380(h)      | LDK Solar Co., Ltd., 5.535% (5.535% PIK 0.000% cash), 12/31/18             |   | $ 24,957                                                                            |
|   |   42,000(d)(e)    | Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13             |   |   206                                                                          |
|   |                        | Total Semiconductors & Semiconductor Equipment                    |   |                 $ 25,163     |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | TOTAL CONVERTIBLE BONDS & NOTES                                        |   |                                                                                          |
|   |                        | (Cost  $12,423,507)                                              |   |               $ 13,849,098             |
|   |                        | SOVEREIGN DEBT OBLIGATION -  0.6% of Net Assets                  |   |                                                                                          |
|   |                        | Russia - 0.6%                                                              |   |                                                                                          |
|   |   1,380,400(b)    | Russian Government International Bond, 7.5%, 3/31/30             |   | $ 1,653,838                                                                         |
|   |                        | TOTAL SOVEREIGN DEBT OBLIGATION                                            |   |                                                                                          |
|   |                        | (Cost  $1,004,163)                                               |   |                 $ 1,653,838  |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | MUNICIPAL COLLATERALIZED DEBT OBLIGATION -  0.1% of Net Assets   |   |                                                                                          |
|   |   3,300,000(a)    | Non-Profit Preferred Funding Trust I, Series E, 0.0%, 9/15/37 (144A)  |   | $ 181,533                                                                           |
|   |                        | TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION                             |   |                                                                                          |
|   |                        | (Cost  $3,293,852)                                               |   |                 $ 181,533    |
|   | Shares                      |                                                                       |   |                                                                                          |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | COMMON STOCKS -  0.8% of Net Assets                              |   |                                                                                          |
|   |                        | CAPITAL GOODS - 0.3%                                                       |   |                                                                                          |
|   |                        | Building Products - 0.3%                                                   |   |                                                                                          |
|   |   894(e)(i)       | Panolam Holdings Co.                                                       |   | $ 742,020                                                                           |
|   |                        | Industrial Machinery - 0.0%†                                         |   |                                                                                          |
|   |   33,171(e)(i)    | Liberty Tire Recycling LLC                                                 |   | $ 332                                                                               |
|   |                        | Total Capital Goods                                                   |   |                 $ 742,352    |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | INSURANCE - 0.0%†                                                    |   |                                                                                          |
|   |                        | Insurance Brokers - 0.0%†                                            |   |                                                                                          |
| GBP    |   1,625(e)(i)     | Towergate Finance Plc                                                      |   | $ 383                                                                               |
|   |                        | Total Insurance                                                       |   |                 $ 383        |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0%†                 |   |                                                                                          |
|   |                        | Semiconductors - 0.0%†                                               |   |                                                                                          |
|   |   11,342(e)       | LDK Solar Co., Ltd. (A.D.R.)                                               |   | $ 635                                                                               |
|   |                        | Total Semiconductors & Semiconductor Equipment                    |   |                 $ 635        |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | TRANSPORTATION - 0.5%                                                      |   |                                                                                          |
|   |                        | Air Freight & Logistics - 0.5%                                         |   |                                                                                          |
|   |   3,266(e)        | CEVA Holdings LLC                                                          |   | $ 1,469,583                                                                         |
|   |                        | Total Transportation                                                  |   |                 $ 1,469,583  |
|   |                        |                                                                       |   |                                                                                          |
|   |                        | TOTAL COMMON STOCKS                                                        |   |                                                                                          |
|   |                        | (Cost  $3,603,424)                                               |   |                 $ 2,212,953  |
|   |                        |                                                                       |   |                                                                                          |
|   |                        |                                                                       |   |                                                                                          |

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

| REIT       | Real Estate Investment Trust.                                                                                                                                                                                                                                                                                                                                   |
|------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|       |                                                                                                                                                                                                                                                                                                                                                            |
| (144A)     | Security is exempt from registration under Rule 144A of the Securities Act of 1933.  Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At December 31, 2015, the value of these securities amounted to $177,984,305, or 65.1% of total net assets applicable to common shareowners. |
|       |                                                                                                                                                                                                                                                                                                                                                            |
| (Cat Bond) | Catastrophe or Event-linked bond. At December 31, 2015, the value of these securities amounted to $6,553,075, or 2.4% of total net assets applicable to common shareowners.                                                                                                                                                                                     |
|       |                                                                                                                                                                                                                                                                                                                                                            |
| †    | Amount rounds to less than 0.1%.                                                                                                                                                                                                                                                                                                                                |

|  * | Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at December 31, 2015. |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (a)     | The interest rate is subject to change periodically. The interest rate shown is the rate at December 31, 2015.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (b)     | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date.  The rate shown is the rate at December 31, 2015.                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (c)     | Floating rate note. The rate shown is the coupon rate at December 31, 2015.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (d)     | Security is in default.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (e)     | Non-income producing.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (f)     | Denotes securities pledged and segregated as collateral for the margin-loan financing agreement.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (g)     | Security is perpetual in nature and has no stated maturity date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (h)     | Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (i)     | Security is valued using fair value methods (other than prices supplied by independent pricing services).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (j)     | Structured reinsurance investment. At December 31, 2015, the value of these securities amounted to $18,388,963, or 6.7% of total net assets applicable to common shareowners.                                                                                                                                                                                                                                                                                                                                                                                                                     |
|    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (k)     | Security is priced as a unit.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |

| (l)                                                                                                                                          | At December 31, 2015, the net unrealized depreciation on investments based on cost for federal tax purposes of $460,210,797 was as follows: |
|----------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                         |                                                                                                                                        |
|                                                                                                                                         | Aggregate gross unrealized appreciation for all investments in which there                                                                  |   |   |
|                                                                                                                                         | is an excess of value over tax cost                                                                                                         |   | $16,795,390  |
|                                                                                                                                         | Aggregate gross unrealized depreciation for all investments in which there                                                                  |   |   |
|                                                                                                                                         | is an excess of tax cost over value                                                                                                         |   | (79,184,368) |
|                                                                                                                                         |                                                                                                                                        |
|                                                                                                                                         | Net unrealized depreciation                                                                                                                 | $(62,388,978) |
|                                                                                                                                         |                                                                                                                                        |   |
| For financial reporting purposes net unrealized depreciation on investments was $60,981,604 and cost of investments aggregated $458,803,423. |
|                                                                                                                                         |

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

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

| Principal amounts are denominated in U.S. dollars unless otherwise noted. |
|---------------------------------------------------------------------------|
|                                                                      |
| EUR                                                                       | - | Euro |
| GBP                                                                       | - | Great British Pound |
|                                                                      |

| CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION |
|--------------------------------------------------|
| Notional                                         |   | Obligation |   | Credit | Expiration | Premiums | Net Unrealized |
| Principal ($) (1)                                | Counterparty | Entity/Index | Coupon | Rating (2) | Date | (Received) | Appreciation |
| 2,000,000                                   | JP Morgan Chase & Co. | Goodyear Tire & Rubber Co. | 5.00%  | BB | 12/20/17 | $ (65,000) | $ 247,489  |
|                                             |   |
| (1)                                              | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event. |
| (2)                                              | Based on Standard & Poor's rating of the issuer or weighted average of all the underlying securities of the index. |
|                                             |

| CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS |
|-------------------------------------------------|
|                                            |   |   |   | Annual |   |   | Net |
| Notional                                        |   | Pay/ | Floating | Fixed | Expiration | Premiums | Unrealized |
| Principal ($)                                   | Exchange | Receive | Rate | Rating | Date | Paid | Appreciation |
| 22,500,000                                      | Chicago Mercantile Exchange | Receive | LIBOR USD3 Month | 1.593% | 11/9/20 | $ 101  | $ 69,624  |

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

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

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

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

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

----

|             | Fair Value | Valuation          | Unobservable                        | Value/             |
|------------------|------------|--------------------|-------------------------------------|--------------------|
| Asset Type       | 12/31/15   | Technique (s)      | Input                               | Range              |
| Corporate Bonds  | $2,545,998 | Market Comparables | EBITDA Multiples(1)Yield Premium(2) | 5.5x to 6.5x1.05%  |
| Common Stocks    | $742,735   | Market Comparables | EBITDAMultiples(1)                  | 5.5x to 6.5x1.05%  |
| Preferred Stocks | $2,236,762 | Market Comparables | EBITDAMultiples(1)                  | 5.0x to 5.5x  |

| (1) | An increase in this unobservable input would result in a higher fair value measurement, while a decrease would result in a lower fair value measurement. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | An increase in this unobservable input would result in a lower fair value measurement, while a decrease would result in a higher fair value measurement. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------|