GBAB Guggenheim Build America Bonds Managed Duration Trust
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Portfolio of Investments
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August 31, 2013 (unaudited)
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Optional
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Principal
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Call
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Amount
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Description
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Rating*
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Coupon
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Maturity
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Provisions**
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Value
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Long-Term Investments - 131.6%
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Municipal Bonds - 111.2%
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Alabama - 2.8%
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3,000,000
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Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (m)
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AA-
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7.100%
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09/01/2035
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09/01/20 @ 100
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3,238,110
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5,000,000
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Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (m)
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AA-
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7.200%
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09/01/2038
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09/01/20 @ 100
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5,416,350
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2,000,000
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Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (m)
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AA-
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7.250%
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09/01/2040
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09/01/20 @ 100
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2,169,840
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10,824,300
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California - 22.6%
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500,000
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Alhambra Unified School District, Elementary Schools Improvement District, Los Angeles County, California, Election of 2008 General Obligation Bonds, Federally Taxable, Series B-1(m)
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A+
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6.700%
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02/01/2026
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N/A
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549,590
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10,000,000
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California, General Obligation Bonds, Various Purpose, Taxable Build America Bonds(a)
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A
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7.700%
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11/01/2030
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11/01/20 @ 100
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11,570,400
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3,000,000
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Culver City Redevelopment Agency, California, Taxable Tax Allocation Bonds, Culver City Redevelopment Project, Series 2011B(m)
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A
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8.000%
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11/01/2020
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N/A
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3,169,710
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340,000
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Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B-2(m)
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AA-
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6.050%
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08/01/2021
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N/A
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361,671
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660,000
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Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B-2(m)
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AA-
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6.650%
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08/01/2025
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N/A
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703,514
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7,500,000
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Long Beach Unified School District, California, Qualified School Construction Bonds, Federally Taxable, Election of 2008, General Obligation Bonds, Series B-1(m)
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AA-
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5.914%
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08/01/2025
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N/A
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8,627,025
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10,000,000
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Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds(a)
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AA-
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7.000%
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07/01/2041
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07/01/21 @ 100
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11,522,500
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10,000,000
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Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds(a)
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AA
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7.003%
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07/01/2041
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07/01/20 @ 100
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10,977,300
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5,000,000
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Metropolitan Water District, Southern California, Water Revenue Bonds, 2010 Authorization, Taxable Build America Bonds, Series A(a)
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AAA
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6.947%
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07/01/2040
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07/01/20 @ 100
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5,662,550
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1,025,000
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Monrovia Unified School District, Los Angeles County, California, Election of 2006 General Obligation Bonds, Build America Bonds, Federally Taxable, Series C-1(a) (m)
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A+
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7.250%
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08/01/2028
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N/A
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1,168,766
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10,000,000
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Oakland Unified School District, County of Alameda, California, Taxable General Obligation Bonds, Election of 2006, Qualified School Construction Bonds, Series 2012B(l) (m)
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NR
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6.877%
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08/01/2033
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08/01/22 @ 100
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9,558,700
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1,000,000
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Placentia-Yorba Linda Unified School District (Orange County, California), General Obligation Bonds, Federally Taxable Direct-Pay Qualified School Construction Bonds, Election of 2008, Series E(m)
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AA-
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5.400%
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02/01/2026
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N/A
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1,017,980
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5,000,000
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Riverside Community College District, Riverside County, California, Election of 2004 General Obligation Bonds, Taxable Build America Bonds, Series 2010 D-1(a)
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AA
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7.021%
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08/01/2040
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08/01/20 @ 100
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5,489,900
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2,245,000
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Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds(a)
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Aa3
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6.800%
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08/01/2030
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N/A
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2,575,374
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7,755,000
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Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds(a)
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Aa3
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7.100%
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08/01/2040
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N/A
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9,224,728
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3,330,000
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Sonoma Valley Unified School District, General Obligation, Federally Taxable Bonds(a) (m)
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AA-
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7.123%
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08/01/2028
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08/01/20 @ 100
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3,544,985
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85,724,693
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Colorado - 2.9%
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7,500,000
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Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Build America Bonds, Series 2010E(a)
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AA-
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7.017%
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03/15/2031
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03/15/21 @ 100
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8,262,675
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2,500,000
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Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Qualified School Construction, Series 2010-D
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AA-
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6.817%
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03/15/2028
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N/A
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2,965,475
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11,228,150
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Florida - 4.3%
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10,000,000
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Miami-Dade County, Florida, Transit Sales Surtax Revenue, Taxable Build America Bonds, Series B(a) (m)
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AA
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6.910%
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07/01/2039
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07/01/19 @ 100
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10,849,000
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5,000,000
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Orlando, Florida, Community Redevelopment Agency, Taxable Tax Increment Revenue Build America Bonds, Series 2010B(a) (m)
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A
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7.784%
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09/01/2040
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09/01/20 @ 100
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5,339,450
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16,188,450
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Georgia - 1.3%
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5,000,000
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Georgia Municipal Association, Inc., Certificates of Participation, DeKalb County Public Schools Project, (AGM)(m)
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AA-
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5.210%
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12/01/2022
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N/A
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5,067,850
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Illinois - 12.3%
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5,000,000
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Chicago, Illinois, Board of Education, Unlimited Tax General Obligation Bonds, Dedicated Revenues, Taxable Build America Bonds, Series 2010D(a) (m)
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A+
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6.519%
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12/01/2040
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N/A
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5,044,150
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5,100,000
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Chicago, Illinois, Second Lien Wastewater Transmission Revenue Project Bonds, Taxable Build America Bonds, Series 2010B(a)
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A+
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6.900%
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01/01/2040
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N/A
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5,914,266
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2,990,000
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Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
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AA-
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6.742%
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11/01/2040
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N/A
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3,346,079
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5,000,000
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Illinois, General Obligation Bonds, Taxable Build America Bonds, Series 2010-5(a)
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A-
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7.350%
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07/01/2035
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N/A
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5,275,550
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7,140,000
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Northern Illinois Municipal Power Agency, Power Project Taxable Revenue Bonds, Prairie State Project Build America Bonds(a) (m)
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A2
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7.620%
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01/01/2030
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N/A
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7,868,709
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2,860,000
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Northern Illinois Municipal Power Agency, Power Project Taxable Revenue Bonds, Prairie State Project Build America Bonds(a)
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A2
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7.820%
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01/01/2040
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N/A
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3,131,814
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4,500,000
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Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM)(a) (m)
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A2
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7.947%
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04/01/2035
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04/01/20 @ 100
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5,101,020
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5,000,000
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Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM) (a)
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A2
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8.147%
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04/01/2041
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04/01/20 @ 100
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5,722,350
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3,000,000
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Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Council Project, Recovery Zone Economic Development Bonds, Series 2010C(m)
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AA
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7.230%
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10/15/2035
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04/15/20 @ 100
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3,202,410
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2,000,000
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Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Project, Build America Bonds, Series 2010-B(a) (m)
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AA
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7.030%
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04/15/2032
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04/15/20 @ 100
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2,054,040
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46,660,388
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Indiana - 6.5%
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8,690,000
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Evansville-Vanderburgh Independent School Building Corporation, Unlimited Taxable Ad Valorem Property Tax First Mortgage Bonds, Series 2010E
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AA+
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6.500%
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01/15/2030
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07/15/20 @ 100
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10,035,125
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3,000,000
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Knox County, Indiana, Good Samaritan Hospital Project, Taxable Economic Development Revenue Bonds, Qualified Energy Conservation Bonds - Direct Payment, Series 2012B(m)
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A3
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5.900%
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04/01/2034
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N/A
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2,915,400
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10,000,000
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Noblesville Multi-School Building Corporation, Hamilton County, Indiana, Taxable Unlimited Ad Valorem Property Tax First Mortgage Bonds, Build America Bonds, Series 2010(a)
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AA+
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6.500%
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07/15/2030
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01/15/21 @ 100
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11,618,400
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24,568,925
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Louisiana - 2.5%
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8,000,000
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Orleans Parish, School Board of the Parish of Orleans, Louisiana, (AGM)(m)
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AA-
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4.400%
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02/01/2021
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N/A
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8,309,520
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1,055,000
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Tangipahoa Parish Hospital Service District No. 1, Louisiana, Taxable Hospital Revenue Bonds, North Oaks Health System Project, Build America Bonds, Series 2009A, (Assured GTY)(a)
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AA-
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7.200%
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02/01/2042
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02/01/20 @ 100
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1,112,350
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9,421,870
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Michigan - 4.9%
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415,000
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Comstock Park Public Schools, Kent County, Michigan, 2011 School Building and Site Bonds, General Obligation - Unlimited Tax, Federally Taxable - Qualified School Construction Bonds - Direct Payment, Series A(m)
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AA-
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6.300%
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05/01/2026
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05/01/21 @ 100
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433,484
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2,640,000
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Detroit, Michigan, School District, Build America Bonds(a) (m)
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AA-
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7.747%
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05/01/2039
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N/A
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2,731,291
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5,000,000
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Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Build America Bonds,, Series 2010B(a)
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AA-
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6.845%
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05/01/2040
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05/01/20 @ 100
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5,070,250
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1,640,000
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Detroit, Michigan, School District, School Building and Site Bonds, Unlimited Tax General Obligation Bonds, Taxable Qualified School Construction Bonds, Series 2010A(m)
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AA-
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6.645%
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05/01/2029
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N/A
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1,619,549
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3,000,000
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Fraser Public School District, Macomb County, Michigan, General Obligation Federally Taxable School Construction Bonds, 2011 School Building and Site Bonds, Series B(m)
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AA-
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6.050%
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05/01/2026
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05/01/21 @ 100
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3,129,150
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1,000,000
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Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation Bonds(m)
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AA-
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6.750%
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05/01/2026
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05/01/20 @ 100
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1,044,010
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2,500,000
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Whitehall District Schools, Muskegon County, Michigan, 2010 School Building and Site Bonds, General Obligation, Unlimited Tax Bonds, Taxable Qualified School Construction Bonds, Series A(m)
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AA-
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6.100%
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05/01/2026
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05/01/20 @ 100
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2,584,150
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2,000,000
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Whitehall District Schools, Muskegon County, Michigan, 2010 School Building and Site Bonds, General Obligation, Unlimited Tax Bonds, Taxable Qualified School Construction Bonds, Series A(m)
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AA-
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6.500%
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05/01/2029
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05/01/20 @ 100
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2,068,620
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18,680,504
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Minnesota - 0.9%
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1,660,000
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St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(l) (m)
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AA
|
7.250%
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02/01/2035
|
02/01/21 @ 100
|
1,742,386
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|
1,540,000
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St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(l) (m)
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AA
|
7.500%
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02/01/2040
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02/01/21 @ 100
|
1,613,904
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3,356,290
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Mississippi - 1.9%
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5,000,000
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Medical Center Educational Building Corporation, Taxable Build America Bonds, University of Mississippi Medical Center Facilities Expansion and Renovation Project, Series 2010A(a) (m)
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|
AA-
|
6.842%
|
06/01/2035
|
06/01/20 @ 100
|
5,241,850
|
|
1,000,000
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Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America Revenue Bonds, Forrest County General Hospital Project, Series 2010(a) (m)
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|
A2
|
7.265%
|
01/01/2032
|
01/01/20 @ 100
|
1,026,560
|
|
905,000
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Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America Revenue Bonds, Forrest County General Hospital Project, Series 2010(a) (m)
|
|
A2
|
7.390%
|
01/01/2040
|
01/01/20 @ 100
|
921,752
|
|
|
|
|
|
|
|
|
|
7,190,162
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Nevada - 2.7%
|
|
|
|
|
|
|
|
1,425,000
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Clark County, Nevada, Airport Revenue Bonds, Build America Bonds, Series B(a) (m)
|
|
AA-
|
6.881%
|
07/01/2042
|
07/01/19 @ 100
|
1,539,926
|
|
1,200,000
|
|
Las Vegas Valley Water District, Nevada, Limited Tax General Obligation Water Bonds, Taxable Build America Bonds, Series 2009A(a) (m)
|
|
AA+
|
7.100%
|
06/01/2039
|
06/01/19 @ 100
|
1,306,824
|
|
1,500,000
|
|
Nevada System of Higher Education University, Revenue Bonds, Build America Bonds(a)
|
|
AA-
|
7.600%
|
07/01/2030
|
07/01/20 @ 100
|
1,675,515
|
|
5,050,000
|
|
Nevada System of Higher Education University, Revenue Bonds, Build America Bonds(a) (m)
|
|
AA-
|
7.900%
|
07/01/2040
|
07/01/20 @ 100
|
5,671,150
|
|
|
|
|
|
|
|
|
|
10,193,415
|
|
|
|
|
|
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|
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|
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New Jersey - 6.1%
|
|
|
|
|
|
|
|
8,000,000
|
|
Camden County Improvement Authority, Camden County, New Jersey, Lease Revenue Bonds, Cooper Medical School of Rowan University Project, Series 2010A(m)
|
|
A+
|
7.747%
|
07/01/2034
|
07/01/20 @ 100
|
8,461,440
|
|
2,000,000
|
|
Camden County Improvement Authority, Camden County, New Jersey, Lease Revenue Bonds, Cooper Medical School of Rowan University Project, Series 2010A(m)
|
|
A+
|
7.847%
|
07/01/2035
|
07/01/20 @ 100
|
2,121,680
|
|
10,000,000
|
|
New Jersey Turnpike Authority, Turnpike Revenue Bonds, Federally Taxable Issuer Subsidy, Build America Bonds, Series 2010A(a)
|
|
A+
|
7.102%
|
01/01/2041
|
N/A
|
12,505,600
|
|
|
|
|
|
|
|
|
|
23,088,720
|
|
|
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New York - 5.9%
|
|
|
|
|
|
|
|
5,000,000
|
|
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Taxable Build America Bonds, Series 2010E(a)
|
|
A
|
7.134%
|
11/15/2030
|
11/15/20 @ 100
|
5,703,950
|
|
5,000,000
|
|
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Taxable Build America Bonds, Series 2010B-1(a)
|
|
A
|
6.548%
|
11/15/2031
|
N/A
|
5,734,350
|
|
10,000,000
|
|
Westchester County Health Care Corporation, Revenue Bonds, Taxable Build America Bonds, Series 2010(a) (l) (m)
|
|
BBB
|
8.572%
|
11/01/2040
|
N/A
|
10,963,000
|
|
|
|
|
|
|
|
|
|
22,401,300
|
|
|
|
|
|
|
|
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|
|
|
Ohio - 5.2%
|
|
|
|
|
|
|
|
5,000,000
|
|
American Municipal Power, Inc., Combined Hydroelectric Projects Revenue Bonds, New Clean Renewable Energy Bonds, Series 2010C(m)
|
|
A
|
7.334%
|
02/15/2028
|
N/A
|
5,778,350
|
|
1,950,000
|
|
Cuyahoga County, Ohio, Hospital Revenue Bonds, The Metrohealth System, Build America Bonds, Taxable, Series 2009B(a) (m)
|
|
A-
|
8.223%
|
02/15/2040
|
N/A
|
2,180,939
|
|
2,500,000
|
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (m)
|
|
AA
|
6.900%
|
12/01/2034
|
12/01/20 @ 100
|
2,583,300
|
|
2,500,000
|
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (m)
|
|
AA
|
7.150%
|
12/01/2039
|
12/01/20 @ 100
|
2,578,175
|
|
2,500,000
|
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Build America Bonds, Series 2010A(a) (m)
|
|
AA
|
7.300%
|
12/01/2043
|
12/01/20 @ 100
|
2,577,725
|
|
2,500,000
|
|
Madison Local School District, Richland County, Ohio, School Improvement, Taxable Qualified School Construction Bonds, Series 2010B(m)
|
|
AA
|
6.650%
|
12/01/2029
|
12/01/20 @ 100
|
2,664,325
|
|
1,230,000
|
|
Toronto City School District, Ohio, Qualified School Construction Bonds General Obligation Bonds(m)
|
|
AA
|
7.000%
|
12/01/2028
|
12/01/20 @ 100
|
1,291,881
|
|
|
|
|
|
|
|
|
|
19,654,695
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pennsylvania - 4.3%
|
|
|
|
|
|
|
|
4,865,000
|
|
Lebanon, Pennsylvania, Sewer Revenue Bonds, Taxable Build America Bonds, Series B of 2010(a) (m)
|
|
A+
|
7.140%
|
12/15/2035
|
06/15/20 @ 100
|
5,131,456
|
|
7,500,000
|
|
Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction Bonds, Series D(m)
|
|
A
|
6.850%
|
09/01/2029
|
N/A
|
8,499,900
|
|
2,500,000
|
|
School District of Philadelphia, Pennsylvania, General Obligation Bonds, Series 2011A, Qualified School Construction Bonds - (Federally Taxable - Direct Subsidy)(m)
|
|
A+
|
5.995%
|
09/01/2030
|
N/A
|
2,577,075
|
|
|
|
|
|
|
|
|
|
16,208,431
|
|
|
|
|
|
|
|
|
|
|
|
|
|
South Carolina - 1.4%
|
|
|
|
|
|
|
|
5,000,000
|
|
Horry County, South Carolina, Taxable Airport Revenue Bonds, Recovery Zone Economic Development Bonds, Series 2010B(l) (m)
|
|
A-
|
7.328%
|
07/01/2040
|
N/A
|
5,321,150
|
|
|
|
|
|
|
|
|
|
|
|
|
|
South Dakota - 1.0%
|
|
|
|
|
|
|
|
3,490,000
|
|
Pierre, South Dakota, Taxable Electric Revenue Bonds, Recovery Zone Economic Development Bonds, Series 2010C(m)
|
|
A2
|
7.500%
|
12/15/2040
|
12/15/19 @ 100
|
3,685,615
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Texas - 6.1%
|
|
|
|
|
|
|
|
10,000,000
|
|
Dallas, Texas, Convention Center Hotel Development Corporation, Hotel Revenue Bonds, Taxable Build America Bonds, Series 2009B(a) (m)
|
|
A+
|
7.088%
|
01/01/2042
|
N/A
|
11,491,800
|
|
10,000,000
|
|
El Paso, Texas, Combination Tax and Revenue Certification of Obligation, Taxable Build America Bonds, Series 2010B(a)
|
|
AA
|
6.700%
|
08/15/2036
|
08/15/20 @ 100
|
11,573,400
|
|
|
|
|
|
|
|
|
|
23,065,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Vermont - 2.7%
|
|
|
|
|
|
|
|
2,155,000
|
|
Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
|
A+
|
6.101%
|
07/01/2025
|
07/01/20 @ 100
|
2,224,262
|
|
7,500,000
|
|
Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
|
A+
|
7.211%
|
07/01/2040
|
07/01/20 @ 100
|
8,002,650
|
|
|
|
|
|
|
|
|
|
10,226,912
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Washington - 9.5%
|
|
|
|
|
|
|
|
5,000,000
|
|
Anacortes, Washington, Utility System Improvement Revenue Bonds, Build America Bonds, Series 2010B(a) (m)
|
|
AA-
|
6.479%
|
12/01/2030
|
12/01/20 @ 100
|
5,314,200
|
|
2,000,000
|
|
Auburn, Washington, Utility System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
|
AA
|
6.396%
|
12/01/2030
|
12/01/20 @ 100
|
2,159,340
|
|
5,000,000
|
|
Central Washington University, System Revenue Bonds, 2010, Taxable Build America Bonds, Series B(a) (m)
|
|
A1
|
6.500%
|
05/01/2030
|
N/A
|
5,217,850
|
|
5,800,000
|
|
Public Hospital District No. 1, King County, Washington, Valley Medical Center, Hospital Facilities Revenue Bonds, Series 2010B(m)
|
|
BBB+
|
8.000%
|
06/15/2040
|
06/15/20 @ 100
|
6,185,700
|
|
5,000,000
|
|
Washington State Convention Center Public Facilities District, Lodging Tax Bonds, Taxable Build America Bonds, Series 2010B(a)
|
|
A+
|
6.790%
|
07/01/2040
|
N/A
|
5,529,500
|
|
3,325,000
|
|
Washington State University, Housing and Dining System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
|
A+
|
7.099%
|
04/01/2032
|
N/A
|
3,823,251
|
|
6,675,000
|
|
Washington State University, Housing and Dining System Revenue Bonds, Taxable Build America Bonds, Series 2010B(a) (m)
|
|
A+
|
7.399%
|
04/01/2041
|
N/A
|
7,806,947
|
|
|
|
|
|
|
|
|
|
36,036,788
|
|
|
|
|
|
|
|
|
|
|
|
|
|
West Virginia - 3.3%
|
|
|
|
|
|
|
|
10,000,000
|
|
State of West Virginia, Higher Education Policy Commission, Revenue Bonds, Federally Taxable Build America Bonds 2010, Series B(a)
|
|
A+
|
7.650%
|
04/01/2040
|
N/A
|
12,494,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wyoming - 0.1%
|
|
|
|
|
|
|
|
500,000
|
|
Sweetwater County, Wyoming, Hospital Revenue Refunding Bonds (Memorial Hospital Project), Series 2013A(l) (m)
|
|
BBB
|
5.000%
|
09/01/2030
|
09/01/23 @ 100
|
480,085
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Municipal Bonds - 111.2%
|
|
|
|
|
|
|
|
|
|
(Cost $383,404,617)
|
|
|
|
|
|
421,768,493
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds - 6.9%
|
|
|
|
|
|
|
|
|
|
Advertising - 0.1%
|
|
|
|
|
|
|
|
375,000
|
|
Sitel, LLC / Sitel Finance Corp.(b) (m)
|
|
B
|
11.000%
|
08/01/2017
|
08/01/14 @ 106
|
397,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines - 1.1%
|
|
|
|
|
|
|
|
122,463
|
|
Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-1(l) (m)
|
|
NR
|
7.200%
|
01/02/2019
|
N/A
|
129,199
|
|
1,811,762
|
|
Atlas Air 2000-1 Class A Pass Through Trust, Series 2000-1, Class A(l) (m)
|
|
NR
|
8.707%
|
01/02/2019
|
N/A
|
1,924,997
|
|
2,000,000
|
|
Delta Air Lines 2011-1 Class B Pass-Through Trust, Series 2011-1, Class B(m)
|
|
BB+
|
7.125%
|
10/15/2014
|
N/A
|
2,035,000
|
|
|
|
|
|
|
|
|
|
4,089,196
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 0.1%
|
|
|
|
|
|
|
|
350,000
|
|
TPC Group, Inc.(b) (m)
|
|
B
|
8.750%
|
12/15/2020
|
12/15/16 @ 104
|
357,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services - 0.0% ***
|
|
|
|
|
|
|
|
100,000
|
|
ServiceMaster Co.
|
|
CCC+
|
7.000%
|
08/15/2020
|
08/15/15 @ 105
|
91,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers - 0.0% ***
|
|
|
|
|
|
|
|
30,000
|
|
Stream Global Services, Inc.
|
|
B+
|
11.250%
|
10/01/2014
|
10/15/13 @ 100
|
30,037
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distribution & Wholesale - 0.1%
|
|
|
|
|
|
|
|
300,000
|
|
INTCOMEX, Inc.(m)
|
|
CCC
|
13.250%
|
12/15/2014
|
12/15/13 @ 100
|
292,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 0.2%
|
|
|
|
|
|
|
|
125,000
|
|
Jefferies Finance, LLC / JFIN Co.-Issuer Corp.(b) (m)
|
|
B+
|
7.375%
|
04/01/2020
|
04/01/16 @ 106
|
123,750
|
|
200,000
|
|
Jefferies Group, Inc.(m)
|
|
BBB
|
6.875%
|
04/15/2021
|
N/A
|
222,323
|
|
200,000
|
|
KCG Holdings, Inc.(b)
|
|
B
|
8.250%
|
06/15/2018
|
06/15/15 @ 104
|
196,500
|
|
31,200
|
|
LCP Dakota Fund(l) (m)
|
|
NR
|
10.000%
|
08/17/2015
|
N/A
|
31,200
|
|
140,000
|
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(m)
|
|
B+
|
9.625%
|
05/01/2019
|
05/01/15 @ 107
|
156,800
|
|
|
|
|
|
|
|
|
|
730,573
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Engineering & Construction - 0.6%
|
|
|
|
|
|
|
|
2,224,334
|
|
Alion Science and Technology Corp.(c)
|
|
B-
|
12.000%
|
11/01/2014
|
04/01/14 @ 100
|
2,257,699
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Entertainment - 0.7%
|
|
|
|
|
|
|
|
1,600,000
|
|
Diamond Resorts Corp.(m)
|
|
B-
|
12.000%
|
08/15/2018
|
08/15/14 @ 106
|
1,776,000
|
|
870,000
|
|
WMG Acquisition Corp.
|
|
B
|
11.500%
|
10/01/2018
|
10/01/14 @ 109
|
1,002,675
|
|
65,000
|
|
Yonkers Racing Corp.(b) (m)
|
|
B+
|
11.375%
|
07/15/2016
|
07/15/14 @ 103
|
68,819
|
|
|
|
|
|
|
|
|
|
2,847,494
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food - 0.0% ***
|
|
|
|
|
|
|
|
100,000
|
|
KeHE Distributors, LLC / KeHE Finance Corp.(b)
|
|
B
|
7.625%
|
08/15/2021
|
08/15/17 @ 104
|
101,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Services - 0.1%
|
|
|
|
|
|
|
|
325,000
|
|
OnCure Holdings, Inc.(g) (m)
|
|
NR
|
11.750%
|
05/15/2017
|
05/15/14 @ 106
|
156,000
|
|
211,503
|
|
Symbion, Inc.(h) (m)
|
|
CCC+
|
11.750%
|
08/23/2015
|
10/15/13 @ 100
|
208,859
|
|
150,000
|
|
Symbion, Inc.(m)
|
|
B
|
8.000%
|
06/15/2016
|
06/15/14 @ 104
|
157,500
|
|
|
|
|
|
|
|
|
|
522,359
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Healthcare-Services - 0.4%
|
|
|
|
|
|
|
|
1,500,000
|
|
Tufts Medical Center, Inc.
|
|
BBB
|
7.000%
|
01/01/2038
|
N/A
|
1,468,305
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet - 0.8%
|
|
|
|
|
|
|
|
3,000,000
|
|
GXS Worldwide, Inc.(m)
|
|
B
|
9.750%
|
06/15/2015
|
06/15/14 @ 100
|
3,086,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Time - 0.0% ***
|
|
|
|
|
|
|
|
75,000
|
|
Sabre, Inc.(b) (m)
|
|
B
|
8.500%
|
05/15/2019
|
05/15/15 @ 106
|
80,813
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lodging - 0.2%
|
|
|
|
|
|
|
|
70,000
|
|
Caesars Entertainment Operating Co., Inc.(m)
|
|
B-
|
8.500%
|
02/15/2020
|
02/15/16 @ 104
|
66,850
|
|
565,000
|
|
Caesars Entertainment Operating Co., Inc.(m)
|
|
B-
|
9.000%
|
02/15/2020
|
02/15/16 @ 105
|
542,400
|
|
|
|
|
|
|
|
|
|
609,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery-Diversified - 0.1%
|
|
|
|
|
|
|
|
250,000
|
|
Tempel Steel Co.(b) (m)
|
|
B-
|
12.000%
|
08/15/2016
|
02/15/14 @ 109
|
238,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 0.2%
|
|
|
|
|
|
|
|
520,000
|
|
Baker & Taylor Acquisitions Corp.(b) (m)
|
|
CCC
|
15.000%
|
04/01/2017
|
10/01/14 @ 108
|
405,600
|
|
200,000
|
|
Expo Event Transco, Inc.(b)
|
|
Caa2
|
9.000%
|
06/15/2021
|
06/15/16 @ 105
|
197,000
|
|
|
|
|
|
|
|
|
|
602,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mining - 0.1%
|
|
|
|
|
|
|
|
30,000
|
|
Horsehead Holding Corp.(b)
|
|
B-
|
10.500%
|
06/01/2017
|
06/01/15 @ 105
|
32,100
|
|
400,000
|
|
Midwest Vanadium Pty Ltd. (Australia)(b) (m)
|
|
CCC
|
11.500%
|
02/15/2018
|
02/15/15 @ 106
|
288,000
|
|
150,000
|
|
Mirabela Nickel Ltd. (Australia)(b) (l) (m)
|
|
B-
|
8.750%
|
04/15/2018
|
04/15/15 @ 104
|
104,250
|
|
|
|
|
|
|
|
|
|
424,350
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas - 0.2%
|
|
|
|
|
|
|
|
600,000
|
|
Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC(b) (m)
|
|
B-
|
10.750%
|
10/01/2020
|
10/01/16 @ 105
|
609,000
|
|
200,000
|
|
Summit Midstream Holdings, LLC / Summit Midstream Finance Corp.(b)
|
|
B
|
7.500%
|
07/01/2021
|
07/01/16 @ 106
|
203,000
|
|
|
|
|
|
|
|
|
|
812,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Services - 0.1%
|
|
|
|
|
|
|
|
200,000
|
|
Exterran Holdings, Inc.(m)
|
|
BB
|
7.250%
|
12/01/2018
|
12/01/13 @ 105
|
212,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaging & Containers - 0.1%
|
|
|
|
|
|
|
|
300,000
|
|
Pretium Packaging, LLC / Pretium Finance, Inc.(m)
|
|
B-
|
11.500%
|
04/01/2016
|
04/01/14 @ 106
|
321,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 0.0% ***
|
|
|
|
|
|
|
|
180,000
|
|
VPII Escrow Corp. (Canada)(b)
|
|
B
|
6.750%
|
08/15/2018
|
08/15/15 @ 105
|
190,575
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pipelines - 0.2%
|
|
|
|
|
|
|
|
275,000
|
|
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp. I(m)
|
|
B-
|
8.250%
|
04/15/2018
|
04/15/14 @ 104
|
284,625
|
|
200,000
|
|
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp. II(m)
|
|
B-
|
8.375%
|
06/01/2020
|
06/01/16 @ 104
|
208,000
|
|
|
|
|
|
|
|
|
|
492,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts - 0.2%
|
|
|
|
|
|
|
|
750,000
|
|
Columbia Property Trust Operating Partnership, LP(m)
|
|
BBB-
|
5.875%
|
04/01/2018
|
N/A
|
781,857
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail - 0.4%
|
|
|
|
|
|
|
|
150,000
|
|
Checkers Drive-In Restaurants, Inc.(b) (m)
|
|
B-
|
11.000%
|
12/01/2017
|
06/01/15 @ 108
|
160,500
|
|
980,000
|
|
GRD Holdings III Corp.(b) (m)
|
|
B
|
10.750%
|
06/01/2019
|
06/01/15 @ 108
|
1,043,700
|
|
125,000
|
|
Wok Acquisition Corp.(b) (m)
|
|
CCC
|
10.250%
|
06/30/2020
|
06/30/16 @ 105
|
138,750
|
|
|
|
|
|
|
|
|
|
1,342,950
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software - 0.2%
|
|
|
|
|
|
|
|
290,000
|
|
Aspect Software, Inc.(m)
|
|
CCC+
|
10.625%
|
05/15/2017
|
05/15/14 @ 105
|
290,725
|
|
200,000
|
|
Eagle Midco, Inc.(b) (h)
|
|
CCC+
|
9.000%
|
06/15/2018
|
12/15/14 @ 102
|
200,000
|
|
400,000
|
|
Infor US, Inc.(m)
|
|
B-
|
11.500%
|
07/15/2018
|
07/15/15 @ 106
|
464,000
|
|
|
|
|
|
|
|
|
|
954,725
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Textiles - 0.0% ***
|
|
|
|
|
|
|
|
140,000
|
|
Empire Today, LLC / Empire Today Finance Corp.(b)
|
|
B
|
11.375%
|
02/01/2017
|
02/01/14 @ 106
|
104,300
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - 0.7%
|
|
|
|
|
|
|
|
43,422
|
|
Atlas Air, Inc.(b) (l) (m)
|
|
NR
|
8.707%
|
01/02/2019
|
N/A
|
46,136
|
|
985,000
|
|
CEVA Group PLC (United Kingdom)(b) (m)
|
|
CCC+
|
8.375%
|
12/01/2017
|
12/01/13 @ 106
|
982,538
|
|
1,450,000
|
|
Marquette Transportation Co. / Marquette Transportation Finance Corp.(m)
|
|
B-
|
10.875%
|
01/15/2017
|
01/15/14 @ 105
|
1,544,250
|
|
|
|
|
|
|
|
|
|
2,572,924
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds - 6.9%
|
|
|
|
|
|
|
|
|
|
(Cost $25,464,628)
|
|
|
|
|
|
26,012,132
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Backed Securities - 5.8%
|
|
|
|
|
|
|
|
|
|
Automobile - 0.0% ***
|
|
|
|
|
|
|
|
26,438
|
|
Bush Truck Leasing, LLC, Series 2011-AA, Class C(b) (m)
|
|
NR
|
5.000%
|
09/25/2018
|
N/A
|
26,308
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Debt Obligation - 1.7%
|
|
|
|
|
|
|
|
182,403
|
|
Cedarwoods, Series 2006-1A, Class A1(b)
|
|
B
|
0.454%
|
07/25/2051
|
N/A
|
146,762
|
|
87,569
|
|
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L (Cayman Islands)(d)
|
|
BBB+
|
0.763%
|
09/15/2035
|
N/A
|
84,394
|
|
20,764
|
|
G-Star 2003-3 Ltd., Series 2003-3A, Class A1 (Cayman Islands)(b) (d) (m)
|
|
BBB-
|
0.842%
|
03/13/2038
|
N/A
|
20,509
|
|
184,544
|
|
Highland Park CDO Ltd., Series 2006-1A, Class A1 (Cayman Islands)(b) (d) (m)
|
|
B+
|
0.592%
|
11/25/2051
|
N/A
|
155,585
|
|
149,568
|
|
Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(b) (d) (m)
|
|
BB+
|
0.682%
|
12/30/2030
|
N/A
|
147,199
|
|
1,000,000
|
|
N-Star REL CDO VIII Ltd., Series 2006-8A, Class A2(b) (d) (k) (m)
|
|
B1
|
0.542%
|
02/01/2041
|
N/A
|
760,650
|
|
4,655,366
|
|
Putnam Structured Product, Series 2003-1A, Class A1LB(b) (d) (m)
|
|
CCC
|
0.634%
|
10/15/2038
|
N/A
|
4,338,522
|
|
625,686
|
|
Putnam Structured Product CDO, Series 2002-1A, Class A2 (Cayman Islands)(b) (d) (m)
|
|
CCC+
|
0.862%
|
01/10/2038
|
N/A
|
575,055
|
|
|
|
|
|
|
|
|
|
6,228,676
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Loan Obligation - 2.5%
|
|
|
|
|
|
|
|
250,000
|
|
Ares XXV CLO Ltd., Series 2012-3A (Cayman Islands)(b) (i)
|
|
NR
|
0.000%
|
01/17/2024
|
N/A
|
204,997
|
|
250,000
|
|
ARES XXVI CLO Ltd., Series 2013-1A (Cayman Islands)(b) (i) (k) (m)
|
|
NR
|
0.000%
|
04/15/2025
|
N/A
|
206,320
|
|
250,000
|
|
Atlas Senior Loan Fund II Ltd., Series 2012-2A (Cayman Islands)(b) (i) (m)
|
|
NR
|
0.000%
|
01/30/2024
|
N/A
|
226,022
|
|
100,000
|
|
BlackRock Senior Income Series Corp., Series 2004-1A (Cayman Islands)(b) (i)
|
|
NR
|
0.000%
|
09/15/2016
|
N/A
|
2,000
|
|
250,000
|
|
Carlyle Global Market Strategies CLO 2012-3 Ltd., Series 2012-3A (Cayman Islands)(b) (i)
|
|
NR
|
0.000%
|
10/14/2024
|
N/A
|
213,540
|
|
250,000
|
|
Cerberus Offshore Levered I LP, Series 2012-1A, Class C (Cayman Islands)(b) (d) (m)
|
|
Baa2
|
6.268%
|
11/30/2018
|
N/A
|
250,057
|
|
2,000,000
|
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (d) (m)
|
|
A+
|
1.519%
|
07/10/2019
|
N/A
|
1,796,065
|
|
1,000,000
|
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman Islands)(b) (d) (m)
|
|
BBB+
|
2.869%
|
07/10/2019
|
N/A
|
961,370
|
|
1,000,000
|
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman Islands)(b) (m)
|
|
BBB+
|
8.370%
|
07/10/2019
|
N/A
|
1,004,433
|
|
300,000
|
|
Cratos CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (d) (m)
|
|
AA+
|
1.363%
|
05/19/2021
|
N/A
|
278,135
|
|
550,000
|
|
Eastland CLO Ltd., Series 2007-1A, Class A2B (Cayman Islands)(b) (d) (m)
|
|
AA+
|
0.595%
|
05/01/2022
|
N/A
|
499,982
|
|
250,000
|
|
Emporia Preferred Funding I Corp., Series 2005-1A, Class C (Cayman Islands)(b) (d) (m)
|
|
AAA
|
1.219%
|
10/12/2018
|
N/A
|
244,601
|
|
250,000
|
|
Finn Square CLO Ltd., Series 2012-1A (Cayman Islands)(b) (i)
|
|
NR
|
0.000%
|
12/24/2023
|
N/A
|
222,780
|
|
250,000
|
|
Great Lakes CLO 2012-1 Ltd., Series 2012-1A (Cayman Islands)(b) (i)
|
|
NR
|
0.000%
|
01/15/2023
|
N/A
|
253,383
|
|
200,000
|
|
Katonah IX CLO Ltd., Series 2006-9A, Class A3L (Cayman Islands)(b) (d) (m)
|
|
A-
|
0.986%
|
01/25/2019
|
N/A
|
180,510
|
|
500,000
|
|
KKR CLO Trust, Series 2007-1A, Class D (Cayman Islands)(b) (d) (m)
|
|
A
|
2.514%
|
05/15/2021
|
N/A
|
470,363
|
|
100,000
|
|
Knightsbridge CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(b) (d) (m)
|
|
BBB
|
5.269%
|
01/11/2022
|
N/A
|
100,016
|
|
1,992,806
|
|
Newstar Trust, Series 2005-1A, Class C(b) (d) (m)
|
|
B+
|
1.116%
|
07/25/2018
|
N/A
|
1,954,309
|
|
250,000
|
|
Newstar Trust, Series 2013-1A, Class D(b) (d)
|
|
BBB
|
4.814%
|
09/20/2023
|
N/A
|
250,467
|
|
200,000
|
|
Summit Lake CLO Ltd., Series 2005-1A, Class C1A(b) (i)
|
|
NR
|
0.000%
|
02/24/2018
|
N/A
|
80,824
|
|
250,000
|
|
T2 Income Fund CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(b) (d) (m)
|
|
A+
|
3.018%
|
07/15/2019
|
N/A
|
233,147
|
|
|
|
|
|
|
|
|
|
9,633,321
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Receivables - 0.1%
|
|
|
|
|
|
|
|
296,209
|
|
Leaf Receivables Funding 5, LLC, Series 2010-4, Class D(b) (m)
|
|
NR
|
5.000%
|
01/20/2019
|
09/20/13 @ 100
|
291,351
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Card - 0.1%
|
|
|
|
|
|
|
|
280,806
|
|
Credit Card Pass-Through Trust 2012-BIZ, Series 2012-Biz, Class A(b) (i) (j) (m)
|
|
NR
|
0.000%
|
-
|
N/A
|
213,882
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 0.0% ***
|
|
|
|
|
|
|
|
84,700
|
|
Insurance Note Capital VII, Series 2005-1R1A(b) (d) (m)
|
|
A-
|
0.502%
|
06/09/2033
|
N/A
|
78,780
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 0.9%
|
|
|
|
|
|
|
|
1,300,000
|
|
Adams Outdoor Advertising, LP, Series 2010-1, Class B(b) (m)
|
|
Ba2
|
8.836%
|
12/20/2040
|
N/A
|
1,403,909
|
|
1,825,000
|
|
Adams Outdoor Advertising, LP, Series 2010-1, Class C(b) (m)
|
|
B3
|
10.756%
|
12/20/2040
|
N/A
|
2,017,841
|
|
|
|
|
|
|
|
|
|
3,421,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other ABS - 0.1%
|
|
|
|
|
|
|
|
485,914
|
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class D(b) (l) (m)
|
|
BBB-
|
6.455%
|
09/20/2022
|
N/A
|
488,893
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - 0.4%
|
|
|
|
|
|
|
|
15,562
|
|
Castle Trust, Series 2003-1AW, Class A1(b) (d) (m)
|
|
AA
|
0.934%
|
05/15/2027
|
N/A
|
14,161
|
|
177,050
|
|
Raspro Trust, Series 2005-1A, Class G(b) (d) (m)
|
|
A
|
0.672%
|
03/23/2024
|
N/A
|
163,663
|
|
1,354,003
|
|
Vega Containervessel PLC, Series 2006-1A, Class A(b) (m)
|
|
Ba3
|
5.562%
|
02/10/2021
|
N/A
|
1,313,383
|
|
|
|
|
|
|
|
|
|
1,491,207
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset Backed Securities - 5.8%
|
|
|
|
|
|
|
|
|
|
(Cost $20,646,892)
|
|
|
|
|
|
21,874,168
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations - 0.5%
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage Backed Security - Traditional - 0.5%
|
|
|
|
|
|
|
|
2,000,000
|
|
GS Mortgage Securities Corp. II Trust 2007-EOP, Series 2007-EOP, Class H(b) (d) (m)
|
|
BBB-
|
3.300%
|
03/06/2020
|
N/A
|
2,008,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage Backed Security - 0.0%***
|
|
|
|
|
|
|
|
81,996
|
|
Nomura Resecuritization Trust, Series 2012-1R, Class A(b) (d) (m)
|
|
NR
|
0.624%
|
08/27/2047
|
N/A
|
75,436
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage Obligations - 0.5%
|
|
|
|
|
|
|
|
|
|
(Cost $1,905,792)
|
|
|
|
|
|
2,084,366
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Term Loans - 5.2%(e)
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 0.3%
|
|
|
|
|
|
|
|
950,000
|
|
Nana Development
|
|
B+
|
8.000%
|
03/15/2018
|
N/A
|
941,687
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive - 0.1%
|
|
|
|
|
|
|
|
40,000
|
|
Fleetpride
|
|
CCC+
|
9.250%
|
05/15/2020
|
N/A
|
37,900
|
|
236,111
|
|
Navistar, Inc.
|
|
B+
|
5.750%
|
08/17/2017
|
N/A
|
240,243
|
|
|
|
|
|
|
|
|
|
278,143
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Products - 0.1%
|
|
|
|
|
|
|
|
333,793
|
|
Targus Group International, Inc.
|
|
B
|
11.000%
|
05/24/2016
|
N/A
|
318,773
|
|
100,000
|
|
Totes Isotoner Corp.
|
|
B
|
7.254%
|
07/07/2017
|
N/A
|
100,531
|
|
|
|
|
|
|
|
|
|
419,304
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Services - 0.5%
|
|
|
|
|
|
|
|
97,500
|
|
Edmentum, Inc.
|
|
BB-
|
6.000%
|
05/17/2018
|
N/A
|
97,744
|
|
448,250
|
|
Endurance International Group
|
|
B
|
6.250%
|
11/09/2019
|
N/A
|
453,853
|
|
94,650
|
|
Nab Holdings First Lien
|
|
BB+
|
7.000%
|
04/24/2018
|
N/A
|
95,360
|
|
215,457
|
|
Patheon, Inc. - 1st Lien
|
|
B+
|
7.250%
|
12/14/2018
|
N/A
|
217,747
|
|
138,250
|
|
Sutherland Global Cayman Tranche
|
|
B
|
7.250%
|
03/06/2019
|
N/A
|
138,596
|
|
306,125
|
|
Sutherland Global U.S. Tranche
|
|
B
|
7.250%
|
03/06/2019
|
N/A
|
306,890
|
|
200,000
|
|
Travelport Holdings Ltd.
|
|
CCC+
|
4.000%
|
12/01/2016
|
N/A
|
200,563
|
|
130,000
|
|
Travelport Holdings Ltd.
|
|
B
|
6.250%
|
06/26/2019
|
N/A
|
131,657
|
|
|
|
|
|
|
|
|
|
1,642,410
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Manufacturing - 0.1%
|
|
|
|
|
|
|
|
416,850
|
|
CPM Acquisition Corp.
|
|
B+
|
6.250%
|
08/29/2017
|
N/A
|
419,197
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric - 0.0% ***
|
|
|
|
|
|
|
|
100,000
|
|
Astoria Generating Co. Acquisitions
|
|
B
|
8.500%
|
10/26/2017
|
N/A
|
103,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy-Alternate Sources - 0.0% ***
|
|
|
|
|
|
|
|
150,000
|
|
Atlas Energy, LP
|
|
B
|
6.500%
|
07/31/2019
|
N/A
|
151,967
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Entertainment - 0.0% ***
|
|
|
|
|
|
|
|
73,800
|
|
CKX Entertainment, Inc.(l)
|
|
B+
|
9.000%
|
06/21/2017
|
N/A
|
66,789
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Beverage - 0.0% ***
|
|
|
|
|
|
|
|
35,000
|
|
Hostess Brands, Inc.
|
|
B-
|
6.750%
|
04/09/2020
|
N/A
|
35,962
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care - 0.6%
|
|
|
|
|
|
|
|
249,375
|
|
Apria Healthcare
|
|
BB-
|
6.750%
|
04/01/2020
|
N/A
|
251,710
|
|
1,150,000
|
|
Merge Healthcare Inc.
|
|
B+
|
6.000%
|
04/23/2019
|
N/A
|
1,158,625
|
|
833,700
|
|
One Call Medical, Inc.
|
|
B+
|
5.500%
|
08/19/2019
|
N/A
|
839,432
|
|
|
|
|
|
|
|
|
|
2,249,767
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 0.1%
|
|
|
|
|
|
|
|
100,000
|
|
Cetera Financial Group, I, Lien 1
|
|
B
|
6.500%
|
08/07/2019
|
N/A
|
99,500
|
|
123,141
|
|
Confie Seguros
|
|
B-
|
6.500%
|
11/09/2018
|
N/A
|
123,757
|
|
155,909
|
|
Cunningham
|
|
B-
|
9.250%
|
06/10/2020
|
N/A
|
155,909
|
|
|
|
|
|
|
|
|
|
379,166
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lodging - 0.0% ***
|
|
|
|
|
|
|
|
39,919
|
|
Caesars Entertainment Operating Co., Inc.
|
|
B-
|
5.434%
|
01/28/2018
|
N/A
|
35,994
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 0.1%
|
|
|
|
|
|
|
|
119,372
|
|
Cengage Learning Acquisitions, Inc. (Thomson Learning)
|
|
D
|
0.000%
|
07/03/2014
|
N/A
|
85,201
|
|
109,208
|
|
Cengage Learning Acquisitions, Inc. (Thomson Learning)
|
|
D
|
0.000%
|
07/31/2017
|
N/A
|
78,516
|
|
248,750
|
|
Mitel US Holdings First Lien
|
|
B+
|
7.000%
|
02/27/2019
|
N/A
|
249,994
|
|
|
|
|
|
|
|
|
|
413,711
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil Field Services - 0.3%
|
|
|
|
|
|
|
|
225,205
|
|
Equipower Resources Holdings, LLC
|
|
BB
|
4.250%
|
12/21/2018
|
N/A
|
226,636
|
|
400,000
|
|
Ocean RIG ASA
|
|
B+
|
5.500%
|
07/15/2016
|
N/A
|
404,000
|
|
99,750
|
|
Rice Energy
|
|
CCC+
|
8.500%
|
10/25/2018
|
N/A
|
98,254
|
|
199,000
|
|
Shelf Drilling Holdings Ltd.(l)
|
|
B+
|
6.250%
|
05/31/2018
|
N/A
|
199,995
|
|
197,000
|
|
Varel International Energy Funding Corp.
|
|
B
|
9.250%
|
07/17/2017
|
N/A
|
201,433
|
|
|
|
|
|
|
|
|
|
1,130,318
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Finance - 0.6%
|
|
|
|
|
|
|
|
2,000,000
|
|
AP Alternative Assets LP(l)
|
|
BB
|
6.684%
|
12/21/2015
|
N/A
|
2,005,000
|
|
199,500
|
|
First Advantage
|
|
B
|
6.250%
|
02/28/2019
|
N/A
|
199,750
|
|
100,000
|
|
Knight/Getco, 1st Lien
|
|
BB-
|
5.750%
|
11/30/2017
|
N/A
|
99,876
|
|
93,525
|
|
Oncure Holdings, Inc.(l)
|
|
B-
|
8.000%
|
12/14/2013
|
N/A
|
91,655
|
|
|
|
|
|
|
|
|
|
2,396,281
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Industrials - 0.1%
|
|
|
|
|
|
|
|
99,750
|
|
Hunter Fan Company 1st Lien
|
|
B+
|
6.500%
|
12/20/2017
|
N/A
|
100,041
|
|
249,375
|
|
Sirva Worldwide, Inc.
|
|
B
|
7.500%
|
03/27/2019
|
N/A
|
249,998
|
|
|
|
|
|
|
|
|
|
350,039
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts - 0.0% ***
|
|
|
|
|
|
|
|
126,884
|
|
iStar Financial, Inc., Lein 1
|
|
BB-
|
7.000%
|
03/19/2017
|
N/A
|
130,902
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail - 0.3%
|
|
|
|
|
|
|
|
89,100
|
|
Container Store, Lien 1
|
|
B-
|
5.500%
|
04/06/2019
|
N/A
|
89,880
|
|
990,000
|
|
HD Supply
|
|
B+
|
4.500%
|
10/12/2017
|
N/A
|
995,252
|
|
|
|
|
|
|
|
|
|
1,085,132
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Technology - 1.3%
|
|
|
|
|
|
|
|
99,500
|
|
Ascensus, Inc.
|
|
B
|
8.000%
|
12/21/2018
|
N/A
|
101,366
|
|
200,000
|
|
Aspect Software, Inc.
|
|
B
|
7.000%
|
05/07/2016
|
N/A
|
201,248
|
|
917,986
|
|
Ceridian Corp.
|
|
B-
|
4.434%
|
08/14/2015
|
N/A
|
919,230
|
|
397,000
|
|
IPC Information Systems, Inc.
|
|
B-
|
7.750%
|
07/31/2017
|
N/A
|
385,586
|
|
69,497
|
|
Mirion Technologies
|
|
B
|
5.750%
|
03/30/2018
|
N/A
|
69,497
|
|
100,000
|
|
Misys PLC 2nd Lien
|
|
CCC+
|
12.000%
|
06/12/2019
|
N/A
|
114,916
|
|
992,500
|
|
Misys PLC First Lien
|
|
B+
|
5.000%
|
12/12/2018
|
N/A
|
999,696
|
|
890,629
|
|
Mmodal, Inc.
|
|
B+
|
7.500%
|
08/17/2019
|
N/A
|
878,753
|
|
1,131,464
|
|
Paradigm, Ltd. - First Lien
|
|
B+
|
4.750%
|
07/30/2019
|
N/A
|
1,131,113
|
|
139,000
|
|
Red Prairie 1st Lien
|
|
B+
|
6.750%
|
12/21/2018
|
N/A
|
140,699
|
|
19,800
|
|
Sophos TLB - Lien 1
|
|
B+
|
6.500%
|
05/10/2019
|
N/A
|
19,899
|
|
|
|
|
|
|
|
|
|
4,962,003
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - 0.3%
|
|
|
|
|
|
|
|
585,000
|
|
Evergreen Tank Solutions, Inc.
|
|
B-
|
9.500%
|
09/28/2018
|
N/A
|
583,538
|
|
119,273
|
|
Global Aviaition Holdings, Inc.(l)
|
|
NR
|
10.000%
|
07/13/2017
|
N/A
|
83,491
|
|
38,307
|
|
Global Aviaition Holdings, Inc.(l)
|
|
NR
|
3.000%
|
02/13/2018
|
N/A
|
3,831
|
|
198,503
|
|
Sabre, Inc.
|
|
B
|
5.250%
|
02/19/2019
|
N/A
|
200,771
|
|
400,000
|
|
US Shipping Corp.
|
|
B
|
9.000%
|
04/30/2018
|
N/A
|
409,000
|
|
|
|
|
|
|
|
|
|
1,280,631
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless - 0.1%
|
|
|
|
|
|
|
|
495,000
|
|
Zayo Group LLC
|
|
B
|
4.500%
|
07/02/2019
|
N/A
|
497,475
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wirelines - 0.3%
|
|
|
|
|
|
|
|
693,334
|
|
Avaya, Inc.
|
|
B
|
4.762%
|
10/26/2017
|
N/A
|
619,432
|
|
347,981
|
|
Avaya, Inc.
|
|
B
|
8.000%
|
03/31/2018
|
N/A
|
330,037
|
|
|
|
|
|
|
|
|
|
949,469
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Term Loans - 5.2%
|
|
|
|
|
|
|
|
|
|
(Cost $19,697,375)
|
|
|
|
|
|
19,919,972
|
|
|
|
|
|
|
|
|
|
|
|
Number
|
|
|
|
|
|
|
|
|
|
of Shares
|
|
Description
|
|
|
|
|
|
Value
|
|
|
|
Common Stock - 0.0%***
|
|
|
|
|
|
|
|
|
|
Airlines - 0.0%***
|
|
|
|
|
|
|
|
6,232
|
|
Global Aviation Holdings, Inc., Class A(k) (m)
|
|
|
|
|
|
1
|
|
|
|
(Cost $0)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks - 2.0%
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 0.6%
|
|
|
|
|
|
|
|
1,900
|
|
Falcons Funding Trust I(b) (d) (m)
|
|
|
|
|
|
1,960,087
|
|
475
|
|
GSC Partners CDO Fund Ltd./GSC Partners CDO Fund Corp. (Cayman Islands)(b) (i) (d)
|
|
199,334
|
|
200,000
|
|
Whitehorse II Ltd., Series 2005-2A (Cayman Islands)(b) (d) (m)
|
|
108,000
|
|
|
|
|
|
|
|
|
|
2,267,421
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - 1.4%
|
|
|
|
|
|
|
|
200,000
|
|
Seaspan Corp., Series C (Marshall Islands)(m)
|
|
NR
|
9.500%
|
-
|
|
5,300,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks - 2.0%
|
|
|
|
|
|
|
|
|
|
(Cost $7,201,500)
|
|
|
|
|
|
7,567,421
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants - 0.0%***
|
|
|
|
|
|
|
|
|
|
Engineering & Construction - 0.0% ***
|
|
|
|
|
|
|
|
1,550
|
|
Alion Science and Technology Corp.(k) (l) (n)
|
|
|
|
03/15/2017
|
|
-
|
|
|
|
(Cost $15)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments - 131.6%
|
|
|
|
|
|
|
|
|
|
(Cost $458,330,180)
|
|
|
|
|
|
499,226,553
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments - 0.3%
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Optional
|
|
|
Amount
|
|
Description
|
|
Rating *
|
Coupon
|
Maturity
|
Call Provision**
|
Value
|
|
|
|
Municipal Bond - 0.3%
|
|
|
|
|
|
|
|
|
|
Michigan - 0.3%
|
|
|
|
|
|
|
|
1,000,000
|
|
Michigan Finance Authority, State Aid Revenue Notes, School District of the City of Detroit, Series 2013C
|
|
SP-1
|
4.375%
|
08/20/2014
|
N/A
|
1,004,850
|
|
|
|
(Cost $1,000,000)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments - 131.9%
|
|
|
|
|
|
|
|
|
|
(Cost $459,320,820)
|
|
|
|
|
|
500,231,403
|
|
|
|
Other Assets in excess of Liabilities - 2.5%
|
|
|
|
|
|
9,360,318
|
|
|
|
Borrowings - (11.3%)
|
|
|
|
|
|
(42,713,936)
|
|
|
|
Reverse Repurchase Agreements - (23.1%)
|
|
|
|
|
|
(87,744,742)
|
|
|
|
Net Assets - 100.0%
|
|
|
|
|
|
379,133,043
|
|
|
|
|