Ivy High Income Opportunties Fund
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: 811-22800
Ivy High Income Opportunities Fund
(Exact name of registrant as specified
in charter)
6300 Lamar Avenue, Overland Park, Kansas 66202
(Address of principal executive offices) (Zip code)
Jennifer K. Dulski
6300 Lamar Avenue
Overland Park, Kansas 66202
(Name and address of agent for service)
Registrants telephone
number, including area code: (913) 236-2000
Date of fiscal year end: September 30
Date of reporting period: June 30, 2017
ITEM 1. SCHEDULE OF INVESTMENTS.
|
|
|
SCHEDULE OF INVESTMENTS
Ivy High Income Opportunities Fund (in thousands) |
|
JUNE 30, 2017 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
Energy |
|
|
|
|
|
|
|
|
Coal & Consumable Fuels 0.0% |
|
|
|
|
|
|
|
|
Foresight Energy L.P. (A) |
|
|
24 |
|
|
$ |
115 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 0.7% |
|
Key Energy Services, Inc. (A) |
|
|
67 |
|
|
|
1,295 |
|
Larchmont Resources LLC (A)(B)(C) |
|
|
2 |
|
|
|
594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,889 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 0.2% |
|
Midstates Petroleum Co., Inc. (A) |
|
|
32 |
|
|
|
403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy 0.9% |
|
|
|
|
|
|
2,407 |
|
|
|
TOTAL COMMON STOCKS 0.9% |
|
|
$ |
2,407 |
|
(Cost: $2,404) |
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS |
|
|
|
|
|
|
|
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Consumer Staples |
|
|
|
|
|
|
|
|
Agricultural Products 0.4% |
|
|
|
|
|
|
|
|
Pinnacle Agriculture Enterprises LLC (A)(B) |
|
|
1,358 |
|
|
|
1,051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples 0.4% |
|
|
|
|
|
|
1,051 |
|
|
|
TOTAL PREFERRED STOCKS 0.4% |
|
|
$ |
1,051 |
|
(Cost: $617) |
|
|
|
|
|
|
|
|
|
|
|
CORPORATE DEBT SECURITIES |
|
Principal |
|
|
|
|
Consumer Discretionary |
|
|
|
|
|
|
|
|
Advertising 0.5% |
|
|
|
|
|
|
|
|
Acosta, Inc., 7.750%, 10122 (D) |
|
$ |
180 |
|
|
|
136 |
|
Lamar Media Corp., 5.375%, 11524 (E) |
|
|
681 |
|
|
|
712 |
|
Outfront Media Capital LLC and Outfront Media Capital Corp., 5.625%, 21524 |
|
|
387 |
|
|
|
404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,252 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Apparel Retail 0.9% |
|
|
|
|
|
|
|
|
Hot Topic, Inc., 9.250%, 61521 (D)(E) |
|
|
2,509 |
|
|
|
2,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive Retail 0.8% |
|
|
|
|
|
|
|
|
Allison Transmission, Inc., 5.000%, 10124 (D) |
|
|
315 |
|
|
|
323 |
|
Group 1 Automotive, Inc., 5.000%, 6122 |
|
|
424 |
|
|
|
430 |
|
Penske Automotive Group, Inc., 5.500%, 51526 |
|
|
218 |
|
|
|
217 |
|
Sonic Automotive, Inc., 5.000%, 51523 (E) |
|
|
1,379 |
|
|
|
1,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 4.8% |
|
|
|
|
|
|
|
|
Clear Channel Outdoor Holdings, Inc., 6.500%, 111522 (E) |
|
|
2,289 |
|
|
|
2,352 |
|
Clear Channel Worldwide Holdings, Inc., Series A, 7.625%, 31520 |
|
|
54 |
|
|
|
53 |
|
Clear Channel Worldwide Holdings, Inc., Series B, 7.625%, 31520 (E) |
|
|
10,000 |
|
|
|
9,950 |
|
Cumulus Media, Inc., 7.750%, 5119 |
|
|
2,000 |
|
|
|
550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,905 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cable & Satellite 22.5% |
|
|
|
|
|
|
|
|
Altice Financing S.A.: |
|
|
|
|
|
|
|
|
6.625%, 21523 (D) |
|
|
832 |
|
|
|
883 |
|
7.500%, 51526 (D)(E) |
|
|
1,425 |
|
|
|
1,582 |
|
Altice S.A.: |
|
|
|
|
|
|
|
|
7.250%, 51522 (D)(F) |
|
EUR |
152 |
|
|
|
184 |
|
7.750%, 51522 (D)(E) |
|
$ |
13,835 |
|
|
|
14,682 |
|
6.250%, 21525 (D)(F) |
|
EUR |
184 |
|
|
|
229 |
|
7.625%, 21525 (D)(E) |
|
$ |
11,190 |
|
|
|
12,309 |
|
Altice U.S. Finance I Corp., 5.500%, 51526 (D) |
|
|
879 |
|
|
|
923 |
|
Block Communications, Inc., 6.875%, 21525 (D) |
|
|
269 |
|
|
|
289 |
|
Cablevision Systems Corp., 5.875%, 91522 (E) |
|
|
1,461 |
|
|
|
1,536 |
|
CCO Holdings LLC and CCO Holdings Capital Corp., 5.500%, 5126 (D) |
|
|
485 |
|
|
|
515 |
|
Columbus International, Inc., 7.375%, 33021 (D) |
|
|
268 |
|
|
|
284 |
|
|
|
|
|
|
|
|
|
|
DISH DBS Corp.: |
|
|
|
|
|
|
|
|
6.750%, 6121 (E) |
|
|
7,500 |
|
|
|
8,325 |
|
5.875%, 71522 (E) |
|
|
2,000 |
|
|
|
2,150 |
|
5.875%, 111524 |
|
|
212 |
|
|
|
226 |
|
7.750%, 7126 |
|
|
657 |
|
|
|
779 |
|
Neptune Finco Corp.: |
|
|
|
|
|
|
|
|
10.125%, 11523 (D) |
|
|
831 |
|
|
|
964 |
|
6.625%, 101525 (D) |
|
|
394 |
|
|
|
433 |
|
10.875%, 101525 (D) |
|
|
794 |
|
|
|
956 |
|
Numericable SFR S.A., 7.375%, 5126 (D)(E) |
|
|
4,194 |
|
|
|
4,550 |
|
Sirius XM Radio, Inc., 4.625%, 51523 (D)(E) |
|
|
4,586 |
|
|
|
4,718 |
|
VTR Finance B.V., 6.875%, 11524 (D)(E) |
|
|
3,584 |
|
|
|
3,799 |
|
WaveDivision Escrow LLC and WaveDivision Escrow Corp., 8.125%, 9120 (D) |
|
|
569 |
|
|
|
589 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,905 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Casinos & Gaming 2.5% |
|
|
|
|
|
|
|
|
Gateway Casinos & Entertainment Ltd., 8.250%, 3124 (D) |
|
|
983 |
|
|
|
1,022 |
|
Studio City Finance Ltd., 8.500%, 12120 (D)(E) |
|
|
2,100 |
|
|
|
2,184 |
|
Wynn Macau Ltd., 5.250%, 101521 (D)(E) |
|
|
3,381 |
|
|
|
3,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Department Stores 0.3% |
|
|
|
|
|
|
|
|
Bon-Ton Stores, Inc. (The), 8.000%, 61521 |
|
|
2,224 |
|
|
|
895 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Education Services 2.7% |
|
|
|
|
|
|
|
|
Laureate Education, Inc., 8.250%, 5125 (D)(E) |
|
|
6,858 |
|
|
|
7,355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Homefurnishing Retail 0.9% |
|
|
|
|
|
|
|
|
Restoration Hardware Holdings, Inc., Convertible: |
|
|
|
|
|
|
|
|
0.000%, 61519 (D)(G) |
|
|
1,569 |
|
|
|
1,428 |
|
0.000%, 71520 (D)(G) |
|
|
1,356 |
|
|
|
1,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Resorts & Cruise Lines 0.3% |
|
|
|
|
|
|
|
|
Carlson Travel, Inc., 6.750%, 121523 (D) |
|
|
800 |
|
|
|
814 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Facilities 0.4% |
|
|
|
|
|
|
|
|
AMC Entertainment Holdings, Inc.: |
|
|
|
|
|
|
|
|
5.875%, 111526 (D) |
|
|
256 |
|
|
|
267 |
|
6.125%, 51527 (D) |
|
|
333 |
|
|
|
352 |
|
Cedar Fair L.P., Magnum Management Corp., Canadas Wonderland Co. and Millennium Operations LLC, 5.375%, 41527
(D) |
|
|
471 |
|
|
|
498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Movies & Entertainment 2.5% |
|
|
|
|
|
|
|
|
AMC Entertainment, Inc., 5.750%, 61525 (E) |
|
|
1,409 |
|
|
|
1,465 |
|
Cinemark USA, Inc.: |
|
|
|
|
|
|
|
|
5.125%, 121522 (E)
|
|
|
164 |
|
|
|
169 |
|
4.875%, 6123 (E) |
|
|
1,871 |
|
|
|
1,911 |
|
EMI Music Publishing Group North America Holdings, 7.625%, 61524 (D) |
|
|
523 |
|
|
|
582 |
|
WMG Acquisition Corp., 6.750%, 41522 (D)(E) |
|
|
2,472 |
|
|
|
2,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,726 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Publishing 0.6% |
|
|
|
|
|
|
|
|
E.W. Scripps Co., 5.125%, 51525 (D) |
|
|
142 |
|
|
|
146 |
|
MDC Partners, Inc., 6.500%, 5124 (D) |
|
|
1,377 |
|
|
|
1,374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialized Consumer Services 1.7% |
|
|
|
|
|
|
|
|
Nielsen Co. (Luxembourg) S.a.r.l. (The): |
|
|
|
|
|
|
|
|
5.500%, 10121 (D)(E) |
|
|
1,396 |
|
|
|
1,445 |
|
5.000%, 2125 (D) |
|
|
457 |
|
|
|
469 |
|
Nielsen Finance LLC and Nielsen Finance Co., 5.000%, 41522 (D)(E) |
|
|
2,677 |
|
|
|
2,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Stores 0.9% |
|
|
|
|
|
|
|
|
Cumberland Farms, Inc., 6.750%, 5125 (D) |
|
|
770 |
|
|
|
810 |
|
Jo-Ann Stores Holdings, Inc. (9.750% Cash or 10.500% PIK), 9.750%, 101519 (D)(E)(H) |
|
|
1,766 |
|
|
|
1,740 |
|
|
|
|
|
|
|
|
|
|
Jo-Ann Stores, Inc., 8.125%, 31519 (D) |
|
|
23 |
|
|
|
23 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary 42.3% |
|
|
|
|
|
|
114,696 |
|
Consumer Staples |
|
|
|
|
|
|
|
|
Food Distributors 1.3% |
|
|
|
|
|
|
|
|
Performance Food Group, Inc., 5.500%, 6124 (D) |
|
|
1,054 |
|
|
|
1,088 |
|
Simmons Foods, Inc., 7.875%, 10121 (D) |
|
|
1,000 |
|
|
|
1,063 |
|
U.S. Foods, Inc., 5.875%, 61524 (D) |
|
|
1,312 |
|
|
|
1,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,512 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 2.0% |
|
|
|
|
|
|
|
|
JBS Investments GmbH (GTD by JBS S.A. and JBS Hungary Holdings Kft.), 7.750%, 102820 (D) |
|
|
200 |
|
|
|
189 |
|
JBS USA LLC and JBS USA Finance, Inc.: |
|
|
|
|
|
|
|
|
5.875%, 71524 (D)(E) |
|
|
1,892 |
|
|
|
1,774 |
|
5.750%, 61525 (D) |
|
|
1,794 |
|
|
|
1,686 |
|
Post Holdings, Inc.: |
|
|
|
|
|
|
|
|
5.500%, 3125 (D) |
|
|
346 |
|
|
|
357 |
|
8.000%, 71525 (D) |
|
|
545 |
|
|
|
619 |
|
5.000%, 81526 (D) |
|
|
523 |
|
|
|
522 |
|
5.750%, 3127 (D) |
|
|
346 |
|
|
|
355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal Products 0.2% |
|
|
|
|
|
|
|
|
Revlon Consumer Products Corp., 5.750%, 21521 |
|
|
361 |
|
|
|
332 |
|
Revlon Escrow Corp., 6.250%, 8124 |
|
|
248 |
|
|
|
216 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 0.7% |
|
|
|
|
|
|
|
|
Prestige Brands, Inc., 5.375%, 121521 (D)(E) |
|
|
1,820 |
|
|
|
1,877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples 4.2% |
|
|
|
|
|
|
11,439 |
|
Energy |
|
|
|
|
|
|
|
|
Integrated Oil & Gas 0.2% |
|
|
|
|
|
|
|
|
Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.): |
|
|
|
|
|
|
|
|
6.125%, 11722 |
|
|
92 |
|
|
|
95 |
|
7.375%, 11727 |
|
|
471 |
|
|
|
498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
593 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Drilling 1.2% |
|
|
|
|
|
|
|
|
KCA Deutag UK Finance plc: |
|
|
|
|
|
|
|
|
7.250%, 51521 (D)(E) |
|
|
617 |
|
|
|
546 |
|
9.875%, 4122 (D) |
|
|
991 |
|
|
|
961 |
|
Noble Holding International Ltd., 7.750%, 11524 |
|
|
459 |
|
|
|
362 |
|
Offshore Drilling Holding S.A., 8.375%, 92020 (D)(E)(I) |
|
|
3,385 |
|
|
|
1,168 |
|
Offshore Group Investment Ltd., 0.000%, 11119 (J) |
|
|
883 |
|
|
|
|
|
Rowan Cos., Inc. (GTD by Rowan plc), 7.375%, 61525 |
|
|
277 |
|
|
|
259 |
|
Trinidad Drilling Ltd., 6.625%, 21525 (D) |
|
|
23 |
|
|
|
22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 0.9% |
|
|
|
|
|
|
|
|
Brand Energy & Infrastructure Services, Inc., 8.500%, 71525 (D) |
|
|
1,862 |
|
|
|
1,927 |
|
SESI LLC, 7.125%, 121521 |
|
|
493 |
|
|
|
470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,397 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 4.2% |
|
|
|
|
|
|
|
|
Bellatrix Exploration Ltd., 8.500%, 51520 (D) |
|
|
1,239 |
|
|
|
1,114 |
|
California Resources Corp., 8.000%, 121522 (D) |
|
|
1,178 |
|
|
|
745 |
|
Continental Resources, Inc. (GTD by Banner Pipeline Co. LLC), 5.000%, 91522 |
|
|
1,226 |
|
|
|
1,203 |
|
Crownrock L.P., 7.750%, 21523 (D) |
|
|
369 |
|
|
|
389 |
|
EnCana Corp., 6.500%, 81534 |
|
|
512 |
|
|
|
585 |
|
Endeavor Energy Resources L.P.: |
|
|
|
|
|
|
|
|
7.000%, 81521 (D)(E) |
|
|
2,087 |
|
|
|
2,160 |
|
8.125%, 91523 (D) |
|
|
340 |
|
|
|
359 |
|
Gulfport Energy Corp., 6.625%, 5123 |
|
|
112 |
|
|
|
112 |
|
Laredo Petroleum, Inc.: |
|
|
|
|
|
|
|
|
7.375%, 5122 (E) |
|
|
2,596 |
|
|
|
2,622 |
|
6.250%, 31523 |
|
|
339 |
|
|
|
336 |
|
Murphy Oil USA, Inc. (GTD by Murphy USA), 5.625%, 5127 |
|
|
142 |
|
|
|
148 |
|
Ultra Resources, Inc.: |
|
|
|
|
|
|
|
|
6.875%, 41522 (D) |
|
|
801 |
|
|
|
795 |
|
7.125%, 41525 (D) |
|
|
236 |
|
|
|
233 |
|
Whiting Petroleum Corp., 5.750%, 31521 |
|
|
543 |
|
|
|
510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,311 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Refining & Marketing 1.5% |
|
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): |
|
|
|
|
|
|
|
|
6.125%, 10124 (D) |
|
|
243 |
|
|
|
247 |
|
6.125%, 10124 |
|
|
225 |
|
|
|
229 |
|
PDC Energy, Inc., 6.125%, 91524 (D) |
|
|
179 |
|
|
|
182 |
|
Seven Generations Energy Ltd.: |
|
|
|
|
|
|
|
|
8.250%, 51520 (D) |
|
|
1,334 |
|
|
|
1,391 |
|
6.750%, 5123 (D) |
|
|
1,951 |
|
|
|
2,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,073 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Storage & Transportation 0.2% |
|
|
|
|
|
|
|
|
Access Midstream Partners L.P., 4.875%, 51523 |
|
|
547 |
|
|
|
567 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy 8.2% |
|
|
|
|
|
|
22,259 |
|
Financials |
|
|
|
|
|
|
|
|
Consumer Finance 3.1% |
|
|
|
|
|
|
|
|
Creditcorp, 12.000%, 71518 (D)(E) |
|
|
5,248 |
|
|
|
4,513 |
|
CURO Financial Technologies Corp., 12.000%, 3122 (D)(E) |
|
|
2,000 |
|
|
|
2,100 |
|
Quicken Loans, Inc., 5.750%, 5125 (D)(E) |
|
|
1,688 |
|
|
|
1,743 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Capital Markets 0.7% |
|
|
|
|
|
|
|
|
Patriot Merger Corp., 9.000%, 71521 (D)(E) |
|
|
1,858 |
|
|
|
1,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance Brokers 1.0% |
|
|
|
|
|
|
|
|
NFP Corp., 6.875%, 71525 (D) |
|
|
2,803 |
|
|
|
2,831 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 0.1% |
|
|
|
|
|
|
|
|
E*TRADE Financial Corp., 5.875%, 122949 |
|
|
315 |
|
|
|
334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Diversified Financial Services 3.0% |
|
|
|
|
|
|
|
|
AAF Holdings LLC and AAF Finance Co. (12.000% Cash or 12.750% PIK), 12.000%, 7119 (D)(H) |
|
|
811 |
|
|
|
847 |
|
Balboa Merger Sub, Inc., 11.375%, 12121 (D) |
|
|
1,237 |
|
|
|
1,364 |
|
New Cotai LLC and New Cotai Capital Corp. (10.625% Cash or 10.625% PIK), 10.625%, 5119 (D)(E)(H) |
|
|
6,708 |
|
|
|
5,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Property & Casualty Insurance 0.1% |
|
|
|
|
|
|
|
|
Hub International Ltd., 7.875%, 10121 (D) |
|
|
200 |
|
|
|
208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialized Finance 3.5% |
|
|
|
|
|
|
|
|
Diamond 1 Finance Corp. and Diamond 2 Finance Corp.: |
|
|
|
|
|
|
|
|
5.875%, 61521 (D) |
|
|
306 |
|
|
|
321 |
|
5.450%, 61523 (D) |
|
|
217 |
|
|
|
236 |
|
7.125%, 61524 (D) |
|
|
306 |
|
|
|
336 |
|
6.020%, 61526 (D) |
|
|
435 |
|
|
|
479 |
|
Flexi-Van Leasing, Inc., 7.875%, 81518 (D)(E) |
|
|
2,909 |
|
|
|
2,880 |
|
Orchestra Borrower LLC and Orchestra Co-Issuer, Inc., 6.750%, 61522
(D) |
|
|
340 |
|
|
|
350 |
|
TMX Finance LLC and TitleMax Finance Corp., 8.500%, 91518 (D)(E) |
|
|
4,985 |
|
|
|
4,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 0.5% |
|
|
|
|
|
|
|
|
Provident Funding Associates L.P. and PFG Finance Corp., 6.375%, 61525 (D) |
|
|
1,220 |
|
|
|
1,251 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financials 12.0% |
|
|
|
|
|
|
32,382 |
|
Health Care |
|
|
|
|
|
|
|
|
Health Care Facilities 2.2% |
|
|
|
|
|
|
|
|
DaVita HealthCare Partners, Inc., 5.125%, 71524 |
|
|
242 |
|
|
|
246 |
|
Greatbatch Ltd., 9.125%, 11123 (D)(E) |
|
|
1,423 |
|
|
|
1,516 |
|
HCA, Inc. (GTD by HCA Holdings, Inc.), 5.250%, 61526 |
|
|
183 |
|
|
|
197 |
|
MPH Acquisition Holdings LLC, 7.125%, 6124 (D) |
|
|
870 |
|
|
|
928 |
|
Surgery Center Holdings, Inc., 8.875%, 41521 (D) |
|
|
623 |
|
|
|
675 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
|
7.500%, 1122 (D) |
|
|
164 |
|
|
|
178 |
|
8.125%, 4122 (E) |
|
|
2,087 |
|
|
|
2,217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,957 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Supplies 2.8% |
|
Kinetic Concepts, Inc. and KCI USA, Inc., 12.500%, 11121 (D)(E) |
|
|
2,213 |
|
|
|
2,489 |
|
Universal Hospital Services, Inc., 7.625%, 81520 (E) |
|
|
5,152 |
|
|
|
5,236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,725 |
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 2.5% |
|
|
|
|
|
Concordia Healthcare Corp.: |
|
|
|
|
|
|
|
|
9.500%, 102122 (D)(E) |
|
|
2,891 |
|
|
|
492 |
|
7.000%, 41523 (D) |
|
|
154 |
|
|
|
22 |
|
IMS Health, Inc., 5.000%, 101526 (D) |
|
|
525 |
|
|
|
541 |
|
Jaguar Holding Co. II and Pharmaceutical Product Development LLC, 6.375%, 8123 (D) |
|
|
1,061 |
|
|
|
1,118 |
|
Valeant Pharmaceuticals International, Inc.: |
|
|
|
|
|
|
|
|
7.000%, 10120 |
|
|
729 |
|
|
|
717 |
|
5.500%, 3123 (D) |
|
|
48 |
|
|
|
41 |
|
VPII Escrow Corp., 7.500%, 71521 (D) |
|
|
829 |
|
|
|
803 |
|
VRX Escrow Corp.: |
|
|
|
|
|
|
|
|
5.375%, 31520 (D) |
|
|
1,096 |
|
|
|
1,056 |
|
5.875%, 51523 (D) |
|
|
777 |
|
|
|
666 |
|
6.125%, 41525 (D) |
|
|
1,466 |
|
|
|
1,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,697 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Health Care 7.5% |
|
|
|
20,379 |
|
Industrials |
|
|
|
|
|
|
|
|
Aerospace & Defense 2.0% |
|
KLX, Inc., 5.875%, 12122 (D)(E) |
|
|
2,475 |
|
|
|
2,599 |
|
Park Aerospace Holdings Ltd., 5.250%, 81522 (D) |
|
|
92 |
|
|
|
96 |
|
TransDigm, Inc., 6.500%, 51525 |
|
|
471 |
|
|
|
479 |
|
TransDigm, Inc. (GTD by TransDigm Group, Inc.), 6.500%, 71524 |
|
|
2,260 |
|
|
|
2,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,508 |
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 0.4% |
|
XPO Logistics, Inc.: |
|
|
|
|
|
|
|
|
6.500%, 61522 (D) |
|
|
577 |
|
|
|
606 |
|
6.125%, 9123 (D) |
|
|
315 |
|
|
|
328 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
934 |
|
|
|
|
|
|
|
|
|
|
|
Building Products 1.9% |
|
Alcoa Nederland Holding B.V.: |
|
|
|
|
|
|
|
|
6.750%, 93024 (D) |
|
|
235 |
|
|
|
255 |
|
7.000%, 93026 (D) |
|
|
235 |
|
|
|
258 |
|
Ply Gem Industries, Inc., 6.500%, 2122 |
|
|
1,670 |
|
|
|
1,746 |
|
Summit Materials LLC and Summit Materials Finance Corp.: |
|
|
|
|
|
|
|
|
8.500%, 41522 |
|
|
174 |
|
|
|
197 |
|
6.125%, 71523 |
|
|
2,044 |
|
|
|
2,141 |
|
WESCO Distribution, Inc. (GTD by WESCO International, Inc.), 5.375%, 61524 |
|
|
436 |
|
|
|
455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,052 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Support Services 0.8% |
|
Ahern Rentals, Inc., 7.375%, 51523 (D) |
|
|
1,896 |
|
|
|
1,555 |
|
Ritchie Bros. Auctioneers, Inc., 5.375%, 11525 (D) |
|
|
462 |
|
|
|
481 |
|
United Rentals (North America), Inc. (GTD by United Rentals, Inc.), 5.875%, 91526 |
|
|
217 |
|
|
|
231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,267 |
|
|
|
|
|
|
|
|
|
|
|
Environmental & Facilities Services 0.3% |
|
GFL Environmental, Inc.: |
|
|
|
|
|
|
|
|
9.875%, 2121 (D) |
|
|
389 |
|
|
|
423 |
|
5.625%, 5122 (D) |
|
|
339 |
|
|
|
347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
770 |
|
|
|
|
|
|
|
|
|
|
|
Research & Consulting Services 0.3% |
|
Eagle Holding Co. II LLC (7.625% Cash or 8.375% PIK), 7.625%, 51522 (D)(H) |
|
|
787 |
|
|
|
810 |
|
|
|
|
|
|
|
|
|
|
|
Security & Alarm Services 1.5% |
|
Prime Security Services Borrower LLC, 9.250%, 51523 (D)(E) |
|
|
3,826 |
|
|
|
4,157 |
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 0.3% |
|
HD Supply, Inc., 5.750%, 41524 (D) |
|
|
754 |
|
|
|
801 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrials 7.5% |
|
|
|
|
|
|
20,299 |
|
Information Technology |
|
|
|
|
|
|
|
|
Application Software 1.5% |
|
|
|
|
|
|
|
|
Ensemble S Merger Sub, Inc., 9.000%, 93023 (D) |
|
|
460 |
|
|
|
478 |
|
Kronos Acquisition Holdings, Inc., 9.000%, 81523 (D)(E) |
|
|
3,668 |
|
|
|
3,659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,137 |
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 0.9% |
|
West Corp., 5.375%, 71522 (D)(E) |
|
|
2,303 |
|
|
|
2,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 3.0% |
|
Alliance Data Systems Corp.: |
|
|
|
|
|
|
|
|
5.875%, 11121 (D) |
|
|
608 |
|
|
|
629 |
|
5.375%, 8122 (D)(E) |
|
|
1,853 |
|
|
|
1,872 |
|
Italics Merger Sub, Inc., 7.125%, 71523 (D)(E) |
|
|
5,170 |
|
|
|
5,262 |
|
j2 Cloud Services LLC and j2 Global, Inc., 6.000%, 71525(D) |
|
|
468 |
|
|
|
482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,245 |
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 1.5% |
|
Cardtronics, Inc. and Cardtronics USA, Inc., 5.500%, 5125 (D) |
|
|
884 |
|
|
|
911 |
|
NCR Escrow Corp.: |
|
|
|
|
|
|
|
|
5.875%, 121521 (E) |
|
|
1,154 |
|
|
|
1,200 |
|
6.375%, 121523 (E) |
|
|
1,765 |
|
|
|
1,893 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,004 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 0.5% |
|
Micron Technology, Inc.: |
|
|
|
|
|
|
|
|
7.500%, 91523 |
|
|
882 |
|
|
|
986 |
|
5.500%, 2125 |
|
|
414 |
|
|
|
437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,423 |
|
|
|
|
|
|
|
|
|
|
|
Technology Hardware, Storage & Peripherals 0.7% |
|
Western Digital Corp.: |
|
|
|
|
|
|
|
|
7.375%, 4123 (D) |
|
|
215 |
|
|
|
236 |
|
10.500%, 4124 |
|
|
1,278 |
|
|
|
1,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,744 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology 8.1% |
|
|
|
21,879 |
|
Materials |
|
|
|
|
|
|
|
|
Aluminum 2.0% |
|
Constellium N.V.: |
|
|
|
|
|
|
|
|
8.000%, 11523 (D)(E) |
|
|
1,892 |
|
|
|
1,949 |
|
5.750%, 51524 (D)(E) |
|
|
260 |
|
|
|
241 |
|
6.625%, 3125 (D) |
|
|
1,803 |
|
|
|
1,726 |
|
Kaiser Aluminum Corp., 5.875%, 51524 |
|
|
173 |
|
|
|
182 |
|
Novelis Corp. (GTD by Novelis, Inc.): |
|
|
|
|
|
|
|
|
6.250%, 81524 (D) |
|
|
674 |
|
|
|
708 |
|
5.875%, 93026 (D) |
|
|
446 |
|
|
|
459 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,265 |
|
|
|
|
|
|
|
|
|
|
|
Commodity Chemicals 0.6% |
|
NOVA Chemicals Corp.: |
|
|
|
|
|
|
|
|
4.875%, 6124 (D) |
|
|
1,215 |
|
|
|
1,210 |
|
5.250%, 6127 (D) |
|
|
486 |
|
|
|
484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,694 |
|
|
|
|
|
|
|
|
|
|
|
Construction Materials 1.1% |
|
Eagle Materials, Inc., 4.500%, 8126 |
|
|
179 |
|
|
|
183 |
|
Hillman Group, Inc. (The), 6.375%, 71522 (D)(E) |
|
|
3,027 |
|
|
|
2,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,089 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Chemicals 0.9% |
|
PSPC Escrow Corp., 6.500%, 2122 (D) |
|
|
879 |
|
|
|
908 |
|
PSPC Escrow II Corp., 10.375%, 5121 (D)(E) |
|
|
1,366 |
|
|
|
1,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,419 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Metals & Mining 1.6% |
|
Artsonig Pty Ltd. (11.500% Cash or 12.000% PIK), 11.500%, 4119 (D)(H) |
|
|
2,738 |
|
|
|
27 |
|
Crystal Merger Sub, Inc., 7.625%, 101521 (D)(E) |
|
|
459 |
|
|
|
465 |
|
FMG Resources August 2006 Partners Ltd.: |
|
|
|
|
|
|
|
|
4.750%, 51522 (D) |
|
|
913 |
|
|
|
916 |
|
5.125%, 51524 (D) |
|
|
974 |
|
|
|
974 |
|
Lundin Mining Corp.: |
|
|
|
|
|
|
|
|
7.500%, 11120 (D)(E) |
|
|
1,215 |
|
|
|
1,277 |
|
7.875%, 11122 (D) |
|
|
584 |
|
|
|
637 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,296 |
|
|
|
|
|
|
|
|
|
|
|
Fertilizers & Agricultural Chemicals 0.7% |
|
Pinnacle Operating Corp., 9.000%, 51523 (D)(E) |
|
|
1,956 |
|
|
|
1,859 |
|
|
|
|
|
|
|
|
|
|
|
Metal & Glass Containers 1.9% |
|
ARD Finance S.A., 7.125%, 91523 |
|
|
248 |
|
|
|
265 |
|
BakerCorp International, Inc., 8.250%, 6119 (E) |
|
|
5,007 |
|
|
|
4,344 |
|
HudBay Minerals, Inc.: |
|
|
|
|
|
|
|
|
7.250%, 11523 (D) |
|
|
188 |
|
|
|
194 |
|
7.625%, 11525 (D) |
|
|
282 |
|
|
|
295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,098 |
|
|
|
|
|
|
|
|
|
|
|
Paper Packaging 0.5% |
|
Flex Acquisition Co., Inc., 6.875%, 11525 (D) |
|
|
321 |
|
|
|
334 |
|
Reynolds Group Issuer, Inc., Reynolds Group Issuer LLC and Reynolds Group Issuer (Luxembourg) S.A., 5.125%, 71523
(D) |
|
|
1,014 |
|
|
|
1,053 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Chemicals 0.2% |
|
Kraton Polymers LLC and Kraton Polymers Capital Corp., 7.000%, 41525 (D) |
|
|
475 |
|
|
|
499 |
|
|
|
|
|
|
|
|
|
|
|
Steel 0.1% |
|
U.S. Steel Corp., 8.375%, 7121 (D) |
|
|
304 |
|
|
|
334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Materials 9.6% |
|
|
|
|
|
|
25,940 |
|
Real Estate |
|
|
|
|
|
|
|
|
Health Care REITs 0.1% |
|
MPT Operating Partnership L.P. and MPT Finance Corp. (GTD by Medical Properties Trust, Inc.), 5.250%, 8126 |
|
|
222 |
|
|
|
230 |
|
|
|
|
|
|
|
|
|
|
|
Real Estate Development 0.2% |
|
Hub Holdings LLC and Hub Holdings Finance, Inc. (8.125% Cash or 8.875% PIK), 8.125%, 71519 (D)(H) |
|
|
570 |
|
|
|
572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Real Estate 0.3% |
|
|
|
|
|
|
802 |
|
Telecommunication Services |
|
|
|
|
|
|
|
|
Alternative Carriers 1.9% |
|
Consolidated Communications Finance II Co., 6.500%, 10122 |
|
|
812 |
|
|
|
808 |
|
Level 3 Communications, Inc., 5.750%, 12122 (E) |
|
|
2,176 |
|
|
|
2,258 |
|
Level 3 Escrow II, Inc., 5.375%, 81522 |
|
|
1,411 |
|
|
|
1,453 |
|
Zayo Group LLC and Zayo Capital, Inc.: |
|
|
|
|
|
|
|
|
6.000%, 4123 |
|
|
310 |
|
|
|
326 |
|
5.750%, 11527 (D) |
|
|
365 |
|
|
|
382 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,227 |
|
|
|
|
|
|
|
|
|
|
|
Integrated Telecommunication Services 12.7% |
|
Frontier Communications Corp.: |
|
|
|
|
|
|
|
|
6.250%, 91521 |
|
|
10,811 |
|
|
|
9,649 |
|
10.500%, 91522 (E) |
|
|
4,155 |
|
|
|
3,963 |
|
7.125%, 11523 (E) |
|
|
195 |
|
|
|
162 |
|
6.875%, 11525 (E) |
|
|
562 |
|
|
|
443 |
|
11.000%, 91525 (E) |
|
|
1,564 |
|
|
|
1,451 |
|
GCI, Inc., 6.875%, 41525 (E) |
|
|
2,870 |
|
|
|
3,103 |
|
Sprint Corp.: |
|
|
|
|
|
|
|
|
7.250%, 91521 (E) |
|
|
11,196 |
|
|
|
12,441 |
|
7.875%, 91523 (E) |
|
|
2,735 |
|
|
|
3,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,357 |
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Service 1.9% |
|
Sable International Finance Ltd., 6.875%, 8122 (D) |
|
|
2,198 |
|
|
|
2,374 |
|
Sprint Nextel Corp.: |
|
|
|
|
|
|
|
|
9.000%, 111518 (D) |
|
|
99 |
|
|
|
108 |
|
7.000%, 81520 |
|
|
218 |
|
|
|
240 |
|
11.500%, 111521 |
|
|
178 |
|
|
|
228 |
|
T-Mobile USA, Inc.: |
|
|
|
|
|
|
|
|
6.000%, 41524 |
|
|
773 |
|
|
|
827 |
|
6.500%, 11526 (E) |
|
|
1,305 |
|
|
|
1,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,217 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunication Services 16.5% |
|
|
|
44,801 |
|
|
|
TOTAL CORPORATE DEBT SECURITIES 116.2% |
|
|
$ |
314,876 |
|
(Cost: $313,001) |
|
|
|
|
|
|
|
|
|
|
|
LOANS (K) |
|
|
|
|
|
|
|
|
Consumer Discretionary |
|
|
|
|
|
|
|
|
Advertising 0.3% |
|
|
|
|
|
|
|
|
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 650 bps), 7.796%, 72522 (J) |
|
|
955 |
|
|
|
912 |
|
|
|
|
|
|
|
|
|
|
|
Apparel Retail 2.0% |
|
Talbots, Inc. (The) (ICE LIBOR plus 450 bps), 5.726%, 31920 |
|
|
1,598 |
|
|
|
1,491 |
|
Talbots, Inc. (The) (ICE LIBOR plus 850 bps), 9.726%, 31921 |
|
|
949 |
|
|
|
812 |
|
True Religion Apparel, Inc. (ICE LIBOR plus 487.5 bps): |
|
|
|
|
|
|
|
|
6.101%, 73019 |
|
|
38 |
|
|
|
8 |
|
6.171%, 73019 |
|
|
14,533 |
|
|
|
3,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,429 |
|
|
|
|
|
|
|
|
|
|
|
Casinos & Gaming 0.1% |
|
Gateway Casinos & Entertainment Ltd. (ICE LIBOR plus 375 bps), 5.046%, 22223 |
|
|
324 |
|
|
|
326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Department Stores 1.3% |
|
Belk, Inc. (ICE LIBOR plus 475 bps), 5.905%, 121022 |
|
|
3,950 |
|
|
|
3,352 |
|
|
|
|
|
|
|
|
|
|
|
Education Services 2.0% |
|
Laureate Education, Inc. (ICE LIBOR plus 450 bps), 5.726%, 42624 |
|
|
5,432 |
|
|
|
5,454 |
|
|
|
|
|
|
|
|
|
|
|
General Merchandise Stores 2.7% |
|
BJs Wholesale Club, Inc. (ICE LIBOR plus 375 bps), 4.968%, 2324 |
|
|
2,973 |
|
|
|
2,877 |
|
BJs Wholesale Club, Inc. (ICE LIBOR plus 750 bps), 8.710%, 12625 |
|
|
2,335 |
|
|
|
2,256 |
|
Orchard Acquisition Co. LLC (ICE LIBOR plus 600 bps), 7.313%, 2819 |
|
|
4,531 |
|
|
|
2,107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,240 |
|
|
|
|
|
|
|
|
|
|
|
Home Furnishings 0.8% |
|
Serta Simmons Bedding LLC (ICE LIBOR plus 800 bps), 9.179%, 11824 |
|
|
2,244 |
|
|
|
2,234 |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Resorts & Cruise Lines 0.1% |
|
Travel Leaders Group LLC (ICE LIBOR plus 525 bps), 6.476%, 11924 |
|
|
137 |
|
|
|
137 |
|
|
|
|
|
|
|
|
|
|
|
Housewares & Specialties 0.4% |
|
KIK Custom Products, Inc. (ICE LIBOR plus 450 bps), 5.793%, 82622 |
|
|
1,162 |
|
|
|
1,172 |
|
|
|
|
|
|
|
|
|
|
|
Restaurants 0.6% |
|
NPC International, Inc., 0.000%, 41825 (L) |
|
|
307 |
|
|
|
310 |
|
NPC International, Inc. (ICE LIBOR plus 350 bps), 4.716%, 42024 |
|
|
331 |
|
|
|
333 |
|
NPC International, Inc. (ICE LIBOR plus 750 bps), 8.716%, 41825 |
|
|
1,039 |
|
|
|
1,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,693 |
|
|
|
|
|
|
|
|
|
|
|
Specialty Stores 0.9% |
|
Academy Sports + Outdoors, 0.000%, 7222 (L) |
|
|
291 |
|
|
|
225 |
|
Academy Sports + Outdoors (ICE LIBOR plus 400 bps): |
|
|
|
|
|
|
|
|
5.172%, 7222 |
|
|
582 |
|
|
|
450 |
|
5.220%, 7222 |
|
|
416 |
|
|
|
322 |
|
Academy Sports + Outdoors (ICE LIBOR plus 500 bps), 5.226%, 7222 |
|
|
174 |
|
|
|
134 |
|
Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps), 6.391%, 102123 |
|
|
1,215 |
|
|
|
1,208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary 11.2% |
|
|
|
|
|
|
30,288 |
|
Consumer Staples |
|
Food Distributors 0.3% |
|
Chefs Warehouse, Inc. (The) (ICE LIBOR plus 575 bps), 6.980%, 62222 |
|
|
883 |
|
|
|
893 |
|
|
|
|
|
|
|
|
|
|
|
Hypermarkets & Super Centers 0.4% |
|
GOBP Holdings, Inc. (ICE LIBOR plus 825 bps), 9.546%, 102122 |
|
|
979 |
|
|
|
983 |
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 0.3% |
|
Shearers Foods LLC (ICE LIBOR plus 675 bps), 8.046%, 63022 (J) |
|
|
748 |
|
|
|
722 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples 1.0% |
|
|
|
|
|
|
2,598 |
|
Energy |
|
|
|
|
|
|
|
|
Coal & Consumable Fuels 1.7% |
|
|
|
|
|
|
|
|
Foresight Energy LLC (ICE LIBOR plus 725 bps), 6.795%, 32822 |
|
|
3,087 |
|
|
|
2,935 |
|
Westmoreland Coal Co. (ICE LIBOR plus 650 bps), 7.796%, 121620 |
|
|
1,782 |
|
|
|
1,572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,507 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Drilling 0.6% |
|
KCA Deutag Alpha Ltd. (ICE LIBOR plus 525 bps), 6.922%, 51620 |
|
|
1,936 |
|
|
|
1,734 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 1.2% |
|
Brand Energy & Infrastructure Services, Inc. (ICE LIBOR plus 425 bps): |
|
|
|
|
|
|
|
|
5.464%, 62124 |
|
|
301 |
|
|
|
301 |
|
5.496%, 62124 |
|
|
1,590 |
|
|
|
1,586 |
|
Larchmont Resources LLC (10.000% Cash or 10.000% PIK), 10.000%, 8720 (C)(H)(J) |
|
|
1,386 |
|
|
|
1,372 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,259 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 1.5% |
|
Chesapeake Energy Corp. (ICE LIBOR plus 750 bps), 8.686%, 82321 |
|
|
3,879 |
|
|
|
4,098 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Storage & Transportation 1.1% |
|
Bowie Resources Holdings LLC (ICE LIBOR plus 1,075 bps), 11.976%, 21621 |
|
|
1,224 |
|
|
|
1,126 |
|
Bowie Resources Holdings LLC (ICE LIBOR plus 575 bps), 6.976%, 81220 |
|
|
1,896 |
|
|
|
1,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy 6.1% |
|
|
|
|
|
|
16,543 |
|
Financials |
|
|
|
|
|
|
|
|
Insurance Brokers 0.2% |
|
|
|
|
|
|
|
|
NFP Corp., 0.000%, 1824 (L) |
|
|
145 |
|
|
|
145 |
|
NFP Corp. (ICE LIBOR plus 350 bps), 4.796%, 1824 |
|
|
459 |
|
|
|
460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialized Finance 0.1% |
|
|
|
|
|
|
|
|
Orchestra Borrower LLC and Orchestra Co-Issuer, Inc., 0.000%, 12221
(L) |
|
|
365 |
|
|
|
367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financials 0.3% |
|
|
|
|
|
|
972 |
|
Industrials |
|
|
|
|
|
|
|
|
Building Products 0.3% |
|
|
|
|
|
|
|
|
Hampton Rubber Co. & SEI Holding Corp. (ICE LIBOR plus 800 bps), 9.226%, 32722 |
|
|
1,146 |
|
|
|
1,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 0.2% |
|
|
|
|
|
|
|
|
Tensar International Corp. (ICE LIBOR plus 850 bps), 9.796%, 71022 (J) |
|
|
604 |
|
|
|
483 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 1.1% |
|
|
|
|
|
|
|
|
Crosby Worldwide Ltd. (ICE LIBOR plus 300 bps), 4.172%, 112220 |
|
|
456 |
|
|
|
413 |
|
PAE Holding Corp. (ICE LIBOR plus 550 bps), 6.726%, 102022 |
|
|
2,143 |
|
|
|
2,154 |
|
PAE Holding Corp. (ICE LIBOR plus 950 bps), 10.726%, 102023 |
|
|
370 |
|
|
|
370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 1.4% |
|
|
|
|
|
|
|
|
Dynacast International LLC (ICE LIBOR plus 850 bps), 9.796%, 13023 (J) |
|
|
3,719 |
|
|
|
3,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrials 3.0% |
|
|
|
|
|
|
8,147 |
|
Information Technology |
|
|
|
|
|
|
|
|
Application Software 0.8% |
|
|
|
|
|
|
|
|
TIBCO Software, Inc. (ICE LIBOR plus 450 bps), 5.730%, 12420 |
|
|
2,118 |
|
|
|
2,126 |
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 0.2% |
|
Colorado Buyer, Inc. (ICE LIBOR plus 300 bps), 8.420%, 5125 |
|
|
381 |
|
|
|
383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 0.2% |
|
|
|
|
|
|
|
|
Ancestry.com LLC (ICE LIBOR plus 825 bps), 9.460%, 101924 |
|
|
608 |
|
|
|
620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 0.1% |
|
|
|
|
|
|
|
|
Triple Point Group Holdings, Inc. (ICE LIBOR plus 425 bps), 5.546%, 71320 |
|
|
316 |
|
|
|
296 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology 1.3% |
|
|
|
|
|
|
3,425 |
|
Materials |
|
|
|
|
|
|
|
|
Diversified Metals & Mining 0.2% |
|
|
|
|
|
|
|
|
EP Minerals LLC (ICE LIBOR plus 750 bps), 8.702%, 82021 (J) |
|
|
545 |
|
|
|
529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper Packaging 0.8% |
|
|
|
|
|
|
|
|
FPC Holdings, Inc. (ICE LIBOR plus 800 bps), 9.296%, 52720 |
|
|
2,499 |
|
|
|
2,299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Materials 1.0% |
|
|
|
|
|
|
2,828 |
|
|
|
|
TOTAL LOANS 23.9% |
|
|
|
|
|
$ |
64,801 |
|
(Cost: $79,160) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
|
|
|
|
|
Master Note 0.4% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), 1.440%, 7517
(M) |
|
|
972 |
|
|
|
972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 0.4% |
|
|
|
|
|
$ |
972 |
|
(Cost: $972) |
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 141.8% |
|
|
|
|
|
$ |
384,107 |
|
(Cost: $396,154) |
|
|
|
|
|
|
|
|
|
|
|
BORROWINGS (N) (43.5)% |
|
|
|
|
|
|
(118,000 |
) |
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 1.7% |
|
|
|
|
|
|
4,849 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
270,956 |
|
Notes to Schedule of Investments
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Restricted securities. At June 30, 2017, the Fund owned the following restricted securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Acquisition Date(s) |
|
Shares |
|
|
Cost |
|
|
Market Value |
|
Larchmont Resources LLC |
|
12-8-16 |
|
|
2 |
|
|
$ |
561 |
|
|
$ |
594 |
|
Pinnacle Agriculture Enterprises LLC |
|
3-10-17 |
|
|
1,358 |
|
|
|
617 |
|
|
|
1,051 |
|
|
|
|
|
|
|
|
|
$ |
1,178 |
|
|
$ |
1,645 |
|
The total value of these securities represented 0.6% of net assets at June 30, 2017.
(C) |
Deemed to be an affiliate due to the Fund owning at least 5% of the voting securities. |
(D) |
Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 2017 the total value of these securities amounted to $203,201 or 75.0% of net assets. |
(E) |
All or a portion of securities with an aggregate value of $132,158 have been pledged as collateral on open borrowings. |
(F) |
Principal amounts are denominated in the indicated foreign currency, where applicable (EUR Euro). |
(H) |
Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the
current rate and possible payment rates. |
(I) |
Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in
effect at June 30, 2017. |
(J) |
Securities whose value was determined using significant unobservable inputs. |
(K) |
Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Description of the reference rate and spread, if applicable, are included in the
security description. |
(L) |
All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(M) |
Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the
reference rate and spread, if applicable, are included in the security description. |
(N) |
Borrowings payable as a percentage of total investment securities is 30.7%. |
The following forward foreign currency contracts were outstanding at June 30, 2017:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency to be Delivered |
|
|
|
|
Currency to be Received |
|
|
Settlement Date |
|
Counterparty |
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
|
Canadian Dollar |
|
|
1,714 |
|
|
U.S. Dollar |
|
|
1,290 |
|
|
7-24-17 |
|
Morgan Stanley International |
|
$ |
|
|
|
$ |
32 |
|
Euro |
|
|
356 |
|
|
U.S. Dollar |
|
|
397 |
|
|
7-24-17 |
|
Morgan Stanley International |
|
|
|
|
|
|
10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
|
|
|
$ |
42 |
|
The Funds investments are reported at fair value. Fair value is defined as the price that the Fund would receive upon
selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting
standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer
broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources
independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in
the circumstances.
Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for
reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for the Fund.
An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
as follows:
Level 1 Observable input such as quoted prices, available in active markets, for identical assets or liabilities.
Level 2 Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or
liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield
curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.
Level 3
Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are
used in determining the fair market value of investments.
The following table is a summary of the valuation of the Funds investments by the fair value hierarchy levels as
of June 30, 2017:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
Energy |
|
$ |
1,813 |
|
|
$ |
594 |
|
|
$ |
|
|
Total Common Stocks |
|
$ |
1,813 |
|
|
$ |
594 |
|
|
$ |
|
|
Preferred Stocks |
|
|
|
|
|
|
1,051 |
|
|
|
|
|
Corporate Debt Securities |
|
|
|
|
|
|
314,876 |
|
|
|
|
|
Loans |
|
|
|
|
|
|
57,064 |
|
|
|
7,737 |
|
Short-Term Securities |
|
|
|
|
|
|
972 |
|
|
|
|
|
Total |
|
$ |
1,813 |
|
|
$ |
374,557 |
|
|
$ |
7,737 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Contracts |
|
$ |
|
|
|
$ |
42 |
|
|
$ |
|
|
Payable for Borrowing |
|
$ |
|
|
|
$ |
118,000 |
|
|
$ |
|
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine
fair value:
|
|
|
|
|
|
|
Loans |
|
Beginning Balance 10-1-16 |
|
$ |
17,062 |
|
Net realized gain (loss) |
|
|
(433 |
) |
Net change in unrealized appreciation (depreciation) |
|
|
459 |
|
Purchases |
|
|
2,355 |
|
Sales |
|
|
(8,826 |
) |
Amortization/Accretion of premium/discount |
|
|
(75 |
) |
Transfers into Level 3 during the period |
|
|
1,583 |
|
Transfers out of Level 3 during the period |
|
|
(4,388 |
) |
Ending Balance 6-30-17 |
|
$ |
7,737 |
|
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-17 |
|
$ |
214 |
|
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market
activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. As shown above, transfers in
and out of Level 3 represent the values as of the beginning of the reporting period. During the period ended June 30, 2017, there were no transfers between Levels 1 and 2.
Information about Level 3 fair value measurements:
|
|
|
|
|
|
|
|
|
|
|
Fair Value at
6-30-17 |
|
|
Valuation Technique(s) |
|
Unobservable Input(s) |
Assets |
|
|
|
|
|
|
|
|
Loans |
|
$ |
7,737 |
|
|
Third-party vendor pricing service |
|
Broker quotes |
The following acronyms are used throughout this schedule:
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
PIK = Payment in Kind
REIT = Real Estate Investment Trust
For Federal income tax purposes, cost of investments owned at June 30, 2017
and the related unrealized appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
396,154 |
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
15,987 |
|
Gross unrealized depreciation |
|
|
(28,034 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(12,047 |
) |
ITEM 2. CONTROLS AND PROCEDURES.
(a) |
The Registrants Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, based on their evaluation of the
Registrants disclosure controls and procedures as of a date within 90 days of the filing date of this report, have concluded that such controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended) are effective and adequately designed to ensure that information required to be disclosed by the Registrant in its reports that it files or submits is accumulated and communicated to the Registrants
management, including the Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, as appropriate, to allow timely decisions regarding required disclosure. |
(b) |
There were no significant changes in the registrants internal controls over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the
registrants internal control over financial reporting. |
ITEM 3. EXHIBITS.
A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).
Attached hereto as Exhibit 99.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
|
|
|
Ivy High Income Opportunities Fund |
(Registrant) |
|
|
By |
|
/s/ Jennifer K. Dulski |
|
|
Jennifer K. Dulski, Secretary |
Date: August 29, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
|
|
|
By |
|
/s/ Philip J. Sanders |
|
|
Philip J. Sanders, Principal Executive Officer |
Date: August 29, 2017
|
|
|
By |
|
/s/ Joseph W. Kauten |
|
|
Joseph W. Kauten, Principal Financial Officer |
Date: August 29, 2017