United States

Securities and Exchange Commission

Washington, D.C. 20549

 

Form N-Q

Quarterly Schedule of Portfolio Holdings of Registered Management Investment Companies

 

 

 

 

811-4018

 

(Investment Company Act File Number)

 

 

Federated High Yield Trust

 

___________________________________________

 

(Exact Name of Registrant as Specified in Charter)

 

 

 

Federated Investors Funds

4000 Ericsson Drive

Warrendale, PA 15086-7561

(Address of Principal Executive Offices)

 

 

(412) 288-1900

(Registrant's Telephone Number)

 

 

John W. McGonigle, Esquire

Federated Investors Tower

1001 Liberty Avenue

Pittsburgh, Pennsylvania 15222-3779

(Name and Address of Agent for Service)

(Notices should be sent to the Agent for Service)

 

 

 

 

 

 

Date of Fiscal Year End: 02/28/2013

 

 

Date of Reporting Period: Quarter ended 11/30/2012

 

 

 

 

 

 

 

Item 1. Schedule of Investments

 

Federated High Yield Trust
Portfolio of Investments
November 30, 2012 (unaudited)
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds—85.4%  
    Aerospace/Defense—1.0%  
$ 375,000 1 Altegrity, Inc., Company Guarantee, Series 144A, 11.75%, 5/1/2016 $ 286,875
550,000   B/E Aerospace, Inc., Sr. Unsecd. Note, 5.25%, 4/1/2022 581,625
200,000   ManTech International Corp., Company Guarantee, 7.25%, 4/15/2018 212,000
721,618 1,2 Sequa Corp., Bond, Series 144A, 13.50%, 12/1/2015 752,287
125,000 1,2 Sequa Corp., Sr. Note, Series 144A, 11.75%, 12/1/2015 129,688
1,275,000 1,2 TransDigm, Inc., Series 144A, 5.50%, 10/15/2020 1,305,281
    TOTAL 3,267,756
    Automotive—5.2%  
725,000   Affinia Group, Inc., Company Guarantee, 9.00%, 11/30/2014 728,625
475,000 1,2 Allison Transmission, Inc., Sr. Unsecd. Note, Series 144A, 7.125%, 5/15/2019 508,250
675,000   American Axle & Manufacturing Holdings, Inc., Sr. Note, 6.625%, 10/15/2022 688,500
475,000   American Axle & Manufacturing Holdings, Inc., Sr. Note, 7.75%, 11/15/2019 524,875
900,000   Chrysler Group LLC, Note, Series WI, 8.25%, 6/15/2021 995,625
350,000   Cooper-Standard Automotive, Inc., Company Guarantee, 8.50%, 5/1/2018 371,875
1,175,000   Exide Technologies, Sr. Secd. Note, 8.625%, 2/1/2018 957,625
1,000,000   Ford Motor Credit Co., 4.25%, 2/3/2017 1,064,525
300,000   Ford Motor Credit Co., Sr. Note, 8.00%, 6/1/2014 327,144
525,000   Ford Motor Credit Co., Sr. Unsecd. Note, 5.00%, 5/15/2018 576,805
650,000 1,2 IDQ Holdings, Inc., Sr. Secd. Note, Series 144A, 11.50%, 4/1/2017 705,250
1,225,000 1,2 International Automotive Components, Sr. Secd. Note, Series 144A, 9.125%, 6/1/2018 1,145,375
1,175,000 1,2 Jaguar Land Rover PLC, Sr. Unsecd. Note, Series 144A, 8.125%, 5/15/2021 1,292,500
925,000 1,2 Pittsburgh Glass Works, LLC, Sr. Secd. Note, Series 144A, 8.50%, 4/15/2016 848,688
375,000 1,2 Schaeffler AG, Series 144A, 7.75%, 2/15/2017 412,500
1,225,000 1,2 Schaeffler AG, Series 144A, 8.50%, 2/15/2019 1,368,937
475,000 1,2 Stoneridge, Inc., Sr. Secd. Note, Series 144A, 9.50%, 10/15/2017 510,625
375,000   Tenneco Automotive, Inc., Company Guarantee, 6.875%, 12/15/2020 405,469
375,000   Tenneco Automotive, Inc., Company Guarantee, 7.75%, 8/15/2018 408,750
516,000   Tomkins LLC/Tomkins, Inc., Term Loan—2nd Lien, 9.00%, 10/1/2018 580,500
725,000 1,2 Tower Automotive, Inc., Sr. Secd. Note, Series 144A, 10.625%, 9/1/2017 793,875
1,700,000   United Components, Inc., Company Guarantee, Series WI, 8.625%, 2/15/2019 1,651,125
    TOTAL 16,867,443
    Building Materials—3.2%  
625,000   Anixter International, Inc., 5.625%, 5/1/2019 657,812
300,000 1,2 Building Materials Corp. of America, Bond, Series 144A, 6.75%, 5/1/2021 329,250
250,000 1,2 Building Materials Corp. of America, Sr. Note, Series 144A, 7.50%, 3/15/2020 275,000
500,000   Interline Brands, Inc., Company Guarantee, 7.50%, 11/15/2018 543,750
975,000 1,2 Interline Brands, Inc., Sr. Note, Series 144A, 10.00%, 11/15/2018 1,056,656
800,000 1,2 Masonite International Corp., Sr. Note, Series 144A, 8.25%, 4/15/2021 860,000
1,200,000   Norcraft Cos. LP, Sr. Secd. Note, Series WI, 10.50%, 12/15/2015 1,206,000
575,000 1,2 Nortek Holdings, Inc., Sr. Note, Series 144A, 8.50%, 4/15/2021 625,313
1,025,000   Nortek Holdings, Inc., Sr. Unsecd. Note, Series WI, 8.50%, 4/15/2021 1,119,812
325,000   Nortek Holdings, Inc., Sr. Unsecd. Note, Series WI, 10.00%, 12/1/2018 363,188
175,000 1,2 Ply Gem Industries, Inc., Series 144A, 9.375%, 4/15/2017 185,063
1
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds— continued  
    Building Materials—continued  
$1,075,000   Ply Gem Industries, Inc., Sr. Secd. Note, Series WI, 8.25%, 2/15/2018 $ 1,147,562
1,025,000 1,2 Rexel, Inc., Series 144A, 6.125%, 12/15/2019 1,066,000
725,000 1,2 Roofing Supply Group, Series 144A, 10.00%, 6/1/2020 804,750
    TOTAL 10,240,156
    Chemicals—1.7%  
225,000   Ferro Corp., Sr. Note, 7.875%, 8/15/2018 204,188
1,050,000   Hexion U.S. Finance Corp., Sr. Secd. Note, 8.875%, 2/1/2018 1,065,750
525,000   Hexion U.S. Finance Corp., Sr. Secd. Note, Series WI, 9.00%, 11/15/2020 468,562
225,000   Huntsman International LLC, Company Guarantee, 5.50%, 6/30/2016 225,563
600,000   Huntsman International LLC, Company Guarantee, Series WI, 8.625%, 3/15/2020 675,000
325,000   Koppers Holdings, Inc., Company Guarantee, Series WI, 7.875%, 12/1/2019 358,719
600,000 1,2 Momentive Performance Materials, Inc., Series 144A, 10.00%, 10/15/2020 579,000
425,000   Momentive Performance Materials, Inc., Sr. Note, Series WI, 9.00%, 1/15/2021 300,687
675,000   Omnova Solutions, Inc., Company Guarantee, 7.875%, 11/1/2018 691,875
541,000 1,2 Oxea Finance, Sr. Secd. Note, Series 144A, 9.50%, 7/15/2017 589,690
300,000   Union Carbide Corp., Sr. Deb., 7.875%, 4/1/2023 384,533
    TOTAL 5,543,567
    Construction Machinery—0.7%  
575,000   RSC Equipment Rental, Inc., Company Guarantee, Series WI, 8.25%, 2/1/2021 646,875
275,000   RSC Equipment Rental, Inc., Sr. Note, Series WI, 10.25%, 11/15/2019 320,375
1,175,000   United Rentals, Inc., Sr. Sub. Note, 8.375%, 9/15/2020 1,302,781
    TOTAL 2,270,031
    Consumer Products—3.6%  
775,000 1,2 AOT Bedding Super Holdings LLC, Series 144A, 8.125%, 10/1/2020 783,719
825,000 1,2 Freedom Group, Inc., Series 144A, 7.875%, 5/1/2020 903,375
900,000   Jarden Corp., Sr. Sub. Note, 7.50%, 5/1/2017 1,018,125
925,000 1,2 Libbey Glass, Inc., Sr. Secd. Note, Series 144A, 6.875%, 5/15/2020 994,375
725,000   Prestige Brands Holdings, Inc., Company Guarantee, 8.25%, 4/1/2018 801,125
75,000   Prestige Brands Holdings, Inc., Series WI, 8.125%, 2/1/2020 84,563
425,000   Scotts Miracle-Gro Co., Sr. Unsecd. Note, Series WI, 6.625%, 12/15/2020 462,188
256,000 1,2 Sealy Mattress Co., Sr. Secd. Note, Series 144A, 10.875%, 4/15/2016 279,040
1,175,000   Sealy Mattress Co., Sr. Sub. Note, 8.25%, 6/15/2014 1,180,887
1,350,000 1,2 ServiceMaster Co., Series 144A, 7.00%, 8/15/2020 1,328,062
275,000   ServiceMaster Co., Sr. Unsecd. Note, 7.10%, 3/1/2018 262,969
125,000   ServiceMaster Co., Sr. Unsecd. Note, 7.45%, 8/15/2027 100,625
525,000   ServiceMaster Co., Sr. Unsecd. Note, 8.00%, 2/15/2020 536,812
700,000 1,2 Spectrum Brands Holdings, Inc., Series 144A, 6.75%, 3/15/2020 733,250
200,000 1,2 Spectrum Brands Holdings, Inc., Sr. Note, Series 144A, 6.375%, 11/15/2020 208,000
200,000   Spectrum Brands Holdings, Inc., Sr. Secd. Note, 9.50%, 6/15/2018 228,750
1,625,000   Visant Corp., Company Guarantee, Series WI, 10.00%, 10/1/2017 1,421,875
275,000 1,2 Wolverine World Wide, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 10/15/2020 287,031
    TOTAL 11,614,771
    Energy—7.3%  
650,000 3,4 ATP Oil & Gas Corp., Sr. Secd. 2nd Priority Note, Series WI, 11.875%, 5/1/2015 60,125
800,000 1,2 Antero Resources Corp., Series 144A, 6.00%, 12/1/2020 804,000
275,000   Basic Energy Services, Inc., Company Guarantee, Series WI, 7.75%, 2/15/2019 274,313
250,000   Berry Petroleum Co., Sr. Unsecd. Note, 6.375%, 9/15/2022 258,750
2
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds— continued  
    Energy—continued  
$ 375,000 1,2 CVR Energy, Inc., 2nd Priority Sr. Secd. Note, Series 144A, 10.875%, 4/1/2017 $ 413,438
1,025,000   Chaparral Energy, Inc., Company Guarantee, 9.875%, 10/1/2020 1,160,812
1,150,000   Chesapeake Energy Corp., Sr. Note, 6.875%, 11/15/2020 1,219,000
750,000   Chesapeake Energy Corp., Sr. Unsecd. Note, 6.775%, 3/15/2019 752,812
575,000 1,2 Chesapeake Oilfield Services Co., Sr. Note, Series 144A, 6.625%, 11/15/2019 543,375
125,000   Compagnie Generale de Geophysique Veritas, Company Guarantee, 9.50%, 5/15/2016 135,000
775,000   Compagnie Generale de Geophysique Veritas, Sr. Unsecd. Note, 6.50%, 6/1/2021 817,625
525,000   Compagnie Generale de Geophysique Veritas, Sr. Unsecd. Note, 7.75%, 5/15/2017 546,328
500,000   Comstock Resources, Inc., Company Guarantee, 7.75%, 4/1/2019 506,250
275,000   Comstock Resources, Inc., Sr. Secd. Note, 9.50%, 6/15/2020 293,563
400,000   Concho Resources, Inc., 5.50%, 4/1/2023 416,000
375,000   Concho Resources, Inc., Sr. Note, 7.00%, 1/15/2021 415,313
24,000   Denbury Resources, Inc., Sr. Sub., 8.25%, 2/15/2020 27,240
200,000   EP Energy/EP Finance, Inc., Series WI, 6.875%, 5/1/2019 217,500
1,150,000   EP Energy/EP Finance, Inc., Series WI, 9.375%, 5/1/2020 1,279,375
325,000   Energy XXI Gulf Coast, Inc., 7.75%, 6/15/2019 351,000
725,000   Energy XXI Gulf Coast, Inc., 9.25%, 12/15/2017 821,062
750,000   Forbes Energy Services Ltd., Company Guarantee, Series WI, 9.00%, 6/15/2019 680,625
475,000 1,2 Forest Oil Corp., Series 144A, 7.50%, 9/15/2020 490,437
1,075,000   Forest Oil Corp., Sr. Note, 7.25%, 6/15/2019 1,080,375
425,000 1,2 Halcon Resources Corp., Sr. Note, Series 144A, 8.875%, 5/15/2021 440,938
925,000 1,2 Halcon Resources Corp., Sr. Unsecd. Note, Series 144A, 9.75%, 7/15/2020 985,125
425,000 1,2 Inergy Midstream LP, Sr. Unsecd. Note, Series 144A, 6.00%, 12/15/2020 433,500
425,000   Linn Energy LLC, Company Guarantee, 7.75%, 2/1/2021 450,500
275,000   Linn Energy LLC, Series WI, 6.50%, 5/15/2019 280,500
550,000   Linn Energy LLC, Sr. Unsecd. Note, 8.625%, 4/15/2020 603,625
375,000   Lone Pine Resources Canada Ltd., Series WI, 10.375%, 2/15/2017 352,500
1,025,000   Oasis Petroleum, Inc., 6.875%, 1/15/2023 1,089,062
350,000 1,2 Ocean Rig Norway AS, Sr. Secd. Note, Series 144A, 6.50%, 10/1/2017 349,125
650,000   PHI, Inc., Company Guarantee, Series WI, 8.625%, 10/15/2018 695,500
375,000   Plains Exploration & Production Co., 6.75%, 2/1/2022 388,125
250,000   Plains Exploration & Production Co., Sr. Note, 6.125%, 6/15/2019 255,625
475,000   Sandridge Energy, Inc., 7.50%, 3/15/2021 497,562
100,000   Sandridge Energy, Inc., Series WI, 7.50%, 2/15/2023 104,500
850,000   Sandridge Energy, Inc., Series WI, 8.125%, 10/15/2022 913,750
225,000   Sesi LLC, Series WI, 7.125%, 12/15/2021 251,438
250,000   Sesi LLC, Sr. Note, Series WI, 6.375%, 5/1/2019 267,500
250,000 1,2 Tesoro Logistics LP, Sr. Unsecd. Note, Series 144A, 5.875%, 10/1/2020 261,250
425,000 1,2 W&T Offshore, Inc., Sr. Unsecd. Note, Series 144A, 8.50%, 6/15/2019 448,375
975,000   W&T Offshore, Inc., Sr. Unsecd. Note, Series WI, 8.50%, 6/15/2019 1,028,625
    TOTAL 23,661,443
    Entertainment—0.7%  
850,000   Cedar Fair LP, Company Guarantee, 9.125%, 8/1/2018 966,875
375,000   Cinemark USA, Inc., Company Guarantee, 8.625%, 6/15/2019 416,250
700,000   Cinemark USA, Inc., Company Guarantee, Series WI, 7.375%, 6/15/2021 770,000
650,000 1,3,4,5 Hard Rock Park Operations LLC, Sr. Secd. Note, Series 144A, 0.00%, 4/1/2012 0
3
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds— continued  
    Entertainment—continued  
$ 250,000   Regal Cinemas, Inc., Company Guarantee, 8.625%, 7/15/2019 $ 275,625
    TOTAL 2,428,750
    Environmental—0.1%  
450,000 1,2 ADS Waste Escrow, Sr. Unsecd. Note, Series 144A, 8.25%, 10/1/2020 471,375
    Financial Institutions—4.4%  
75,000   Ally Financial, Inc., Company Guarantee, 7.50%, 9/15/2020 90,656
475,000   Ally Financial, Inc., Company Guarantee, 8.00%, 3/15/2020 586,625
600,000   Ally Financial, Inc., Company Guarantee, 8.00%, 11/1/2031 765,000
800,000   Ally Financial, Inc., Company Guarantee, 8.30%, 2/12/2015 896,000
1,000,000   Ally Financial, Inc., Company Guarantee, Series WI, 6.25%, 12/1/2017 1,108,047
1,100,000   Ally Financial, Inc., Sr. Unsecd. Note, 5.50%, 2/15/2017 1,172,379
475,000   CIT Group, Inc., 5.00%, 5/15/2017 499,937
1,375,000   CIT Group, Inc., 5.25%, 3/15/2018 1,466,094
175,000   CIT Group, Inc., 5.375%, 5/15/2020 187,688
175,000 1,2 CIT Group, Inc., Sr. 2nd Priority Note, Series 144A, 6.625%, 4/1/2018 196,875
550,000   CIT Group, Inc., Sr. Note, 4.25%, 8/15/2017 564,590
1,250,000   International Lease Finance Corp., 5.875%, 8/15/2022 1,279,099
525,000   International Lease Finance Corp., Sr. Unsecd. Note, 5.75%, 5/15/2016 551,404
450,000   International Lease Finance Corp., Sr. Unsecd. Note, 8.25%, 12/15/2020 524,655
475,000   International Lease Finance Corp., Sr. Unsecd. Note, 8.625%, 9/15/2015 530,812
1,550,000   International Lease Finance Corp., Sr. Unsecd. Note, 8.75%, 3/15/2017 1,780,562
275,000 1,2 Neuberger Berman, Inc., Series 144A, 5.875%, 3/15/2022 288,063
225,000 1,2 Neuberger Berman, Inc., Sr. Note, Series 144A, 5.625%, 3/15/2020 235,688
1,400,000 1,2 Nuveen Investments, Sr. Unsecd. Note, Series 144A, 9.50%, 10/15/2020 1,421,000
    TOTAL 14,145,174
    Food & Beverage—4.2%  
1,700,000 1,2 Aramark Corp., Series 144A, 8.625%, 5/1/2016 1,746,767
325,000   Aramark Services, Inc., Floating Rate Note—Sr. Note, 3.813%, 2/1/2015 325,813
375,000   B&G Foods, Inc., Sr. Note, 7.625%, 1/15/2018 405,938
200,000   Constellation Brands, Inc., 4.625%, 3/1/2023 208,000
775,000   Dean Foods Co., Company Guarantee, 7.00%, 6/1/2016 835,062
1,050,000   Dean Foods Co., Sr. Note, Series WI, 9.75%, 12/15/2018 1,189,125
1,700,000   Del Monte Foods Co., Sr. Unsecd. Note, 7.625%, 2/15/2019 1,755,250
1,800,000   Michael Foods, Inc., Company Guarantee, Series WI, 9.75%, 7/15/2018 2,007,000
300,000   Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., Company Guarantee, 8.25%, 9/1/2017 316,500
605,000   Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., Company Guarantee, 9.25%, 4/1/2015 618,612
450,000 1,2 Shearer's Foods, Inc., Sr. Secd. Note, Series 144A, 9.00%, 11/1/2019 463,500
850,000   Smithfield Foods, Inc., 6.625%, 8/15/2022 903,125
475,000   Smithfield Foods, Inc., Sr. Note, 7.75%, 7/1/2017 542,687
2,250,000 1,2 U.S. Foodservice, Inc., Sr. Unsecd. Note, Series 144A, 8.50%, 6/30/2019 2,283,750
    TOTAL 13,601,129
    Gaming—2.9%  
825,000 1,2 Affinity Gaming LLC, Sr. Unsecd. Note, Series 144A, 9.00%, 5/15/2018 862,125
779,000   American Casino & Entertainment, Sr. Secd. Note, 11.00%, 6/15/2014 804,804
450,000   Ameristar Casinos, Inc., Sr. Unsecd. Note, Series WI, 7.50%, 4/15/2021 481,500
75,000 1,2 Chester Downs & Marina, Series 144A, 9.25%, 2/1/2020 74,438
1,150,000   Harrah's Operating Co., Inc., Sr. Secd. Note, 11.25%, 6/1/2017 1,241,281
4
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds— continued  
    Gaming—continued  
$ 900,000 1,2 Harrah's Operating Co., Inc., Sr. Secd. Note, Series 144A, 8.50%, 2/15/2020 $ 884,250
1,025,000   MGM Mirage, Inc., 7.75%, 3/15/2022 1,083,937
800,000   MGM Mirage, Inc., Sr. Note, 7.50%, 6/1/2016 854,000
450,000 1,2 MGM Mirage, Inc., Sr. Unsecd. Note, Series 144A, 6.75%, 10/1/2020 454,500
400,000 1,2 MGM Mirage, Inc., Sr. Unsecd. Note, Series 144A, 8.625%, 2/1/2019 440,000
725,000 1,2 Rivers Pittsburgh LP, Sr. Secd. Note, Series 144A, 9.50%, 6/15/2019 781,187
840,000 1,2 Seminole Tribe of Florida, Bond, Series 144A, 7.804%, 10/1/2020 858,724
650,000 1,2 Sugarhouse HSP Gaming Finance Corp., Sr. Secd. Note, Series 144A, 8.625%, 4/15/2016 697,938
    TOTAL 9,518,684
    Health Care—9.3%  
850,000 1,2 Biomet, Inc., Series 144A, 6.50%, 10/1/2020 845,750
1,200,000 1,2 Biomet, Inc., Sr. Note, Series 144A, 6.50%, 8/1/2020 1,258,500
1,075,000 1,2 CDRT Holding Corporation, Sr. Unsecd. Note, Series 144A, 9.25%, 10/1/2017 1,080,375
875,000   CRC Health Corp., Sr. Sub. Note, 10.75%, 2/1/2016 853,125
1,125,000   DJO Finance LLC, Company Guarantee, Series WI, 7.75%, 4/15/2018 1,054,687
250,000   DJO Finance LLC, Company Guarantee, Series WI, 9.75%, 10/15/2017 213,750
125,000 1,2 DJO Finance LLC, Series 144A, 8.75%, 3/15/2018 136,875
800,000 1,2 DJO Finance LLC, Series 144A, 9.875%, 4/15/2018 806,000
725,000   DaVita HealthCare Partners, Inc., 5.75%, 8/15/2022 761,250
1,475,000   Emergency Medical Services Corp., Company Guarantee, Series WI, 8.125%, 6/1/2019 1,581,937
900,000   Grifols, Inc., Sr. Note, Series WI, 8.25%, 2/1/2018 1,000,125
2,075,000   HCA Holdings, Inc., Sr. Unsecd. Note, Series WI, 7.75%, 5/15/2021 2,261,750
500,000   HCA, Inc., Revolver—1st Lien, 5.875%, 3/15/2022 546,250
625,000   HCA, Inc., Series 1, 5.875%, 5/1/2023 648,438
775,000   HCA, Inc., Sr. Note, 7.50%, 11/6/2033 778,875
175,000   HCA, Inc., Sr. Secd. Note, 9.875%, 2/15/2017 187,031
2,450,000   HCA, Inc., Sr. Unsecd. Note, 7.50%, 2/15/2022 2,799,125
500,000 1,2 Hologic, Inc., Series 144A, 6.25%, 8/1/2020 533,750
1,425,000   Iasis Healthcare, Sr. Unsecd. Note, 8.375%, 5/15/2019 1,353,750
625,000 1,2 Jaguar Holding Co., Series 144A, 9.375%, 10/15/2017 643,750
1,000,000 1,2 Jaguar Holding Co., Sr. Note, Series 144A, 9.50%, 12/1/2019 1,130,000
1,500,000 1,2 Multiplan, Inc., Company Guarantee, Series 144A, 9.875%, 9/1/2018 1,668,750
575,000   Omnicare, Inc., Sr. Sub., 7.75%, 6/1/2020 638,969
900,000   PSS World Medical, Inc., Series WI, 6.375%, 3/1/2022 1,062,000
700,000 1,2 Physiotherapy, Inc., Series 144A, 11.875%, 5/1/2019 696,500
875,000   United Surgical Partners International, Inc., Series WI, 9.00%, 4/1/2020 969,063
550,000 1,2 Universal Hospital Services, Inc., Series 144A, 7.625%, 8/15/2020 573,375
1,750,000 1,2 VWR Funding, Inc., Series 144A, 7.25%, 9/15/2017 1,815,625
1,375,000   Vanguard Health Holdings II, Company Guarantee, 8.00%, 2/1/2018 1,435,156
825,000 1,2 Wolverine Healthcare, Sr. Note, Series 144A, 10.625%, 6/1/2020 886,875
    TOTAL 30,221,406
    Industrial-Other—3.0%  
175,000   American Tire Distributors, Inc., Sr. Secd. Note, 9.75%, 6/1/2017 184,625
225,000 1,2 Amsted Industries, Inc., Sr. Note, Series 144A, 8.125%, 3/15/2018 240,750
1,050,000 1,2 Belden CDT, Inc., Series 144A, 5.50%, 9/1/2022 1,068,375
950,000 1,2 Cleaver-Brooks, Inc., Sr. Secd. Note, Series 144A, 12.25%, 5/1/2016 1,050,937
750,000   Dynacast International LLC, Series WI, 9.25%, 7/15/2019 806,250
5
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds— continued  
    Industrial-Other—continued  
$ 675,000 1,2 General Cable Corp., Sr. Unsecd. Note, Series 144A, 5.75%, 10/1/2022 $ 691,875
700,000 1,2 J.B. Poindexter, Inc., Series 144A, 9.00%, 4/1/2022 721,000
625,000 1,2 Knowledge Learning Corp., Sr. Sub. Note, Series 144A, 7.75%, 2/1/2015 575,000
400,000 1,2 MMI International Ltd., Series 144A, 8.00%, 3/1/2017 426,000
525,000 1,2 Maxim Finance Corp., Sr. Secd. Note, Series 144A, 12.25%, 4/15/2015 547,313
300,000 1,2 Milacron LLC, Series 144A, 8.375%, 5/15/2019 309,000
90,000   Mueller Water Products, Inc., Company Guarantee, 8.75%, 9/1/2020 103,050
1,075,000   Mueller Water Products, Inc., Sr. Sub. Note, Series WI, 7.375%, 6/1/2017 1,115,312
750,000   Rexnord, Inc., Company Guarantee, 8.50%, 5/1/2018 817,500
950,000   The Hillman Group, Inc., Sr. Unsecd. Note, 10.875%, 6/1/2018 1,027,188
72,000   Thermon Industries, Inc., Sr. Secd. Note, Series WI, 9.50%, 5/1/2017 80,730
    TOTAL 9,764,905
    Lodging—0.1%  
300,000   Choice Hotels International, Inc., 5.75%, 7/1/2022 330,000
    Media-Cable—1.2%  
100,000 1,2 Cequel Communications Holdings, Series 144A, 6.375%, 9/15/2020 103,250
175,000   Charter Communications Holdings II, 7.375%, 6/1/2020 195,562
125,000   Charter Communications Holdings II, Company Guarantee, Series WI, 7.875%, 4/30/2018 135,625
1,100,000   Charter Communications Holdings II, Sr. Note, 7.00%, 1/15/2019 1,196,250
175,000   DISH DBS Corporation, Series WI, 4.625%, 7/15/2017 181,563
1,275,000   DISH DBS Corporation, Series WI, 5.875%, 7/15/2022 1,372,219
600,000   Virgin Media, Inc., Sr. Unsecd. Note, 4.875%, 2/15/2022 619,500
    TOTAL 3,803,969
    Media-Non-Cable—5.6%  
575,000   AMC Networks, Inc., Series WI, 7.75%, 7/15/2021 655,500
1,575,000   Clear Channel Communications, Inc., Company Guarantee, 9.00%, 3/1/2021 1,397,812
800,000 1,2 Clear Channel Worldwide, Series 144A, 6.50%, 11/15/2022 808,000
300,000 1,2 Clear Channel Worldwide, Series 144A, 6.50%, 11/15/2022 300,000
1,150,000   Clear Channel Worldwide, Series B, 7.625%, 3/15/2020 1,132,750
150,000   Clear Channel Worldwide, Series WI-A, 7.625%, 3/15/2020 145,500
1,150,000   Crown Media Holdings, Inc., Company Guarantee, 10.50%, 7/15/2019 1,293,750
975,000   Cumulus Media, Inc., Sr. Unsecd. Note, Series WI, 7.75%, 5/1/2019 948,187
975,000   Entercom Radio LLC, Sr. Sub. Note, Series WI, 10.50%, 12/1/2019 1,074,937
592,000   Entravision Communications Corp., Sr. Secd. Note, 8.75%, 8/1/2017 643,800
1,175,000 3 Idearc, Inc., Company Guarantee, 8.00%, 11/15/2016 20,563
650,000   Intelsat Jackson Holdings S.A., Company Guarantee, 8.50%, 11/1/2019 726,375
700,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, Series WI, 7.25%, 4/1/2019 750,750
750,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, Series WI, 7.50%, 4/1/2021 806,250
975,000 1,2 Lamar Media Corp., Series 144A, 5.00%, 5/1/2023 982,312
200,000   Lamar Media Corp., Series WI, 5.875%, 2/1/2022 213,750
375,000   Nexstar Broadcasting Group, Inc., Sr. Secd. Note, Series WI, 8.875%, 4/15/2017 411,563
325,000   Nielsen Finance LLC/Nielsen Finance Co., Company Guarantee, 7.75%, 10/15/2018 364,000
575,000 1,2 Nielsen Finance LLC/Nielsen Finance Co., Series 144A, 4.50%, 10/1/2020 576,438
1,200,000   SSI Investments II Ltd., Company Guarantee, 11.125%, 6/1/2018 1,332,000
825,000 1,2 Sirius XM Radio, Inc., Series 144A, 5.25%, 8/15/2022 827,063
925,000 1,2 Southern Graphics Systems, Inc., Series 144A, 8.375%, 10/15/2020 943,500
725,000 1,2 Townsquare Radio LLC, Series 144A, 9.00%, 4/1/2019 793,875
6
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds— continued  
    Media-Non-Cable—continued  
$ 750,000 1,2 XM Satellite Radio, Inc., Sr. Unsecd. Note, Series 144A, 7.625%, 11/1/2018 $ 832,500
    TOTAL 17,981,175
    Metals & Mining—0.2%  
600,000 3,4,5 Aleris International, Inc., Company Guarantee, 9.00%, 12/15/2014 60
500,000 3,4,5 Aleris International, Inc., Sr. Sub. Note, 10.00%, 12/15/2016 0
600,000 1,2 PVR Partners LP, Sr. Note, Series 144A, 8.375%, 6/1/2020 633,000
    TOTAL 633,060
    Packaging—3.6%  
1,750,000 1,2 Ardagh Packaging Finance PLC, Company Guarantee, Series 144A, 9.125%, 10/15/2020 1,898,750
200,000   Berry Plastics Corp., Sr. Secd. Note, 9.50%, 5/15/2018 220,000
250,000   Bway Holding Co., Company Guarantee, Series WI, 10.00%, 6/15/2018 278,750
800,000 1,2 Bway Holding Co., Series 144A, 9.50%, 11/1/2017 786,000
100,000   Greif, Inc., Sr. Unsecd. Note, 7.75%, 8/1/2019 115,250
900,000 1,2 Packaging Dynamics Corp., Sr. Secd. Note, Series 144A, 8.75%, 2/1/2016 951,750
725,000 1,2 Reynolds Group, Series 144A, 5.75%, 10/15/2020 743,125
725,000   Reynolds Group, Series WI, 7.875%, 8/15/2019 801,125
850,000   Reynolds Group, Series WI, 8.25%, 2/15/2021 847,875
475,000   Reynolds Group, Series WI, 8.50%, 5/15/2018 485,688
1,450,000   Reynolds Group, Series WI, 9.00%, 4/15/2019 1,500,750
1,225,000   Reynolds Group, Series WI, 9.875%, 8/15/2019 1,304,625
200,000   Reynolds Group, Sr. Secd. Note, Series WI, 7.125%, 4/15/2019 217,000
200,000   Reynolds Group, Sr. Unsecd. Note, 7.95%, 12/15/2025 166,000
1,175,000 1,2 Sealed Air Corp., Sr. Unsecd. Note, Series 144A, 8.375%, 9/15/2021 1,327,750
    TOTAL 11,644,438
    Paper—0.3%  
75,000   Clearwater Paper Corp., Company Guarantee, 7.125%, 11/1/2018 81,750
150,000   Clearwater Paper Corp., Sr. Unsecd. Note, 10.625%, 6/15/2016 165,375
600,000 1,2 Longview Fibre Co., Sr. Secd. Note, Series 144A, 8.00%, 6/1/2016 631,500
    TOTAL 878,625
    Restaurants—1.2%  
1,675,000   DineEquity, Inc., Company Guarantee, Series WI, 9.50%, 10/30/2018 1,903,219
1,125,000   NPC International/OPER Co., A&B, Inc., Series WI, 10.50%, 1/15/2020 1,299,375
575,000 1,2 Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, Sr. Secd. Note, Series 144A, 2.889%, 3/15/2014 575,000
    TOTAL 3,777,594
    Retailers—4.1%  
850,000 1,2 Academy Finance Corp., Series 144A, 9.25%, 8/1/2019 941,375
1,025,000   Gymboree Corp., Sr. Unsecd. Note, 9.125%, 12/1/2018 945,562
875,000 1,2 Jo-Ann Stores, Inc., Series 144A, 9.75%, 10/15/2019 859,688
1,650,000 1,2 Jo-Ann Stores, Inc., Sr. Unsecd. Note, Series 144A, 8.125%, 3/15/2019 1,666,500
575,000   Limited Brands, Inc., Sr. Unsecd. Note, 5.625%, 2/15/2022 623,875
1,250,000   Michaels Stores, Inc., Company Guarantee, 7.75%, 11/1/2018 1,360,937
150,000 1,2 Michaels Stores, Inc., Sr. Note, Series 144A, 7.75%, 11/1/2018 163,313
1,225,000 1,2 PETCO Animal Supplies, Inc., Series 144A, 8.50%, 10/15/2017 1,258,687
1,325,000 1,2 PETCO Animal Supplies, Inc., Sr. Note, Series 144A, 9.25%, 12/1/2018 1,477,375
375,000 1,2 Party City Holdings, Inc., Sr. Note, Series 144A, 8.875%, 8/1/2020 399,375
325,000   Sally Beauty Holdings, Inc., 5.75%, 6/1/2022 353,438
550,000   Sally Holdings LLC/Sally Cap, Inc., Series WI, 6.875%, 11/15/2019 614,625
7
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds— continued  
    Retailers—continued  
$1,375,000   The Yankee Candle Co., Inc., Sr. Sub. Note, Series B, 9.75%, 2/15/2017 $ 1,433,437
300,000 1,2 United Auto Group, Inc., Series 144A, 5.75%, 10/1/2022 306,750
775,000   YCC Holdings LLC, Sr. Unsecd. Note, 10.25%, 2/15/2016 806,000
    TOTAL 13,210,937
    Services—1.1%  
850,000 1,2 Carlson Wagonlit Travel, Sr. Secd. Note, Series 144A, 6.875%, 6/15/2019 892,500
925,000 1,2 Garda World Security Corp., Sr. Unsecd. Note, Series 144A, 9.75%, 3/15/2017 982,812
750,000   Monitronics International, Inc., Series WI, 9.125%, 4/1/2020 772,500
550,000 1,2 Reliance Intermediate Holdings LP, Sr. Unsecd. Note, Series 144A, 9.50%, 12/15/2019 628,375
425,000   West Corp., Company Guarantee, 11.00%, 10/15/2016 445,188
    TOTAL 3,721,375
    Technology—12.1%  
325,000 1,2 Advanced Micro Devices, Inc., Series 144A, 7.50%, 8/15/2022 273,813
950,000   Advanced Micro Devices, Inc., Sr. Unsecd. Note, 7.75%, 8/1/2020 820,563
150,000   Advanced Micro Devices, Inc., Sr. Unsecd. Note, Series WI, 8.125%, 12/15/2017 140,625
775,000 1 Allen Systems Group, Inc., Sr. Secd. 2nd Priority Note, Series 144A, 10.50%, 11/15/2016 565,750
975,000   Aspect Software, Inc., Sr. Note, Series WI, 10.625%, 5/15/2017 897,000
1,650,000   CDW LLC/ CDW Finance, Sr. Unsecd. Note, Series WI, 8.50%, 4/1/2019 1,786,125
350,000   CDW LLC/CDW Finance, Company Guarantee, 12.535%, 10/12/2017 376,250
1,125,000 1,2 CommScope, Inc., Sr. Note, Series 144A, 8.25%, 1/15/2019 1,229,062
950,000   CoreLogic, Inc., Sr. Unsecd. Note, Series WI, 7.25%, 6/1/2021 1,037,875
1,600,000 1,2 DataTel, Inc., Series 144A, 9.75%, 1/15/2019 1,712,000
850,000   Emdeon, Inc., 11.00%, 12/31/2019 979,625
1,650,000   Epicor Software Corp., 8.625%, 5/1/2019 1,728,375
100,000   Fidelity National Information Services, Inc., Company Guarantee, Series WI, 7.625%, 7/15/2017 109,500
400,000   Fidelity National Information Services, Inc., Company Guarantee, Series WI, 7.875%, 7/15/2020 452,000
350,000 1,2 First Data Corp., Sr. Secd. 2nd Priority Note, Series 144A, 8.25%, 1/15/2021 350,875
2,900,000 1,2 First Data Corp., Sr. Secd. 2nd Priority Note, Series 144A, 8.75%, 1/15/2022 2,958,000
1,125,000 1,2 Freescale Semiconductor, Inc., Sr. Secd. Note, Series 144A, 9.25%, 4/15/2018 1,216,406
275,000   GXS Worldwide, Inc., Sr. Secd. Note, 9.75%, 6/15/2015 288,063
775,000   IGATE Capital Corp., Sr. Unsecd. Note, Series WI, 9.00%, 5/1/2016 846,687
925,000   Interactive Data Corp., Company Guarantee, 10.25%, 8/1/2018 1,040,625
700,000   Iron Mountain, Inc., 5.75%, 8/15/2024 701,750
200,000   Iron Mountain, Inc., Sr. Sub. Note, 7.75%, 10/1/2019 225,500
1,075,000   Kemet Corp., Sr. Note, 10.50%, 5/1/2018 1,075,000
650,000   Lawson Software, Inc., Series WI, 9.375%, 4/1/2019 728,000
2,100,000   Lawson Software, Inc., Series WI, 11.50%, 7/15/2018 2,446,500
1,250,000   Lender Processing Services, 5.75%, 4/15/2023 1,310,937
675,000   MagnaChip Semiconductor S.A., Sr. Note, Series WI, 10.50%, 4/15/2018 761,063
725,000 1,2 Mmodal, Inc., Series 144A, 10.75%, 8/15/2020 692,375
450,000 1,2 NCR Corp., Series 144A, 5.00%, 7/15/2022 457,875
750,000 1,2 Nuance Communications, Inc., Series 144A, 5.375%, 8/15/2020 776,250
742,000   SERENA Software, Inc., Sr. Sub. Note, 10.375%, 3/15/2016 760,550
650,000   SITEL Corp., Sr. Unsecd. Note, 11.50%, 4/1/2018 464,750
275,000   Seagate Technology HDD Holdings, Sr. Unsecd. Note, 6.875%, 5/1/2020 288,406
1,100,000   Seagate Technology HDD Holdings, Sr. Unsecd. Note, Series WI, 7.00%, 11/1/2021 1,155,000
1,075,000 1,2 Solera Holdings, Inc., Company Guarantee, Series 144A, 6.75%, 6/15/2018 1,158,312
8
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds— continued  
    Technology—continued  
$1,025,000   Spansion, Inc., Sr. Unsecd. Note, Series WI, 7.875%, 11/15/2017 $ 1,040,375
525,000   Stream Global Services, Inc., Sr. Secd. Note, 11.25%, 10/1/2014 553,875
425,000   SunGard Data Systems, Inc., Company Guarantee, 7.375%, 11/15/2018 455,281
475,000 1,2 SunGard Data Systems, Inc., Series 144A, 6.625%, 11/1/2019 486,875
100,000   SunGard Data Systems, Inc., Sr. Unsecd. Note, 7.625%, 11/15/2020 110,000
1,600,000   Syniverse Holdings, Inc., Company Guarantee, 9.125%, 1/15/2019 1,716,000
425,000   Trans Union LLC, Company Guarantee, 11.375%, 6/15/2018 495,125
675,000 1,2 TransUnion Holding Co., Inc., Series 144A, 8.125%, 6/15/2018 685,125
975,000   TransUnion Holding Co., Inc., Sr. Unsecd. Note, Series WI, 9.625%, 6/15/2018 1,033,500
725,000 1,2 Viasystems, Inc., Sr. Secd. Note, Series 144A, 7.875%, 5/1/2019 708,688
    TOTAL 39,096,331
    Transportation—0.4%  
275,000   Hertz Corp., Company Guarantee, 6.75%, 4/15/2019 298,375
200,000 1,2 Hertz Corp., Series 144A, 5.875%, 10/15/2020 207,500
525,000 1,2 Hertz Corp., Series 144A, 6.25%, 10/15/2022 546,656
325,000   Stena AB, Sr. Note, 7.00%, 12/1/2016 325,000
    TOTAL 1,377,531
    Utility-Electric—1.4%  
540,000 1,2 Calpine Corp., Sr. Secd. Note, Series 144A, 7.50%, 2/15/2021 599,400
550,000 1,2 Energy Future Intermediate Holding Company LLC, Series 144A, 6.875%, 8/15/2017 566,500
600,000 1,2 Energy Future Intermediate Holding Company LLC, Sr. Secd. 2nd Priority Note, Series 144A, 11.75%, 3/1/2022 613,500
325,000   Energy Future Intermediate Holding Company LLC, Sr. Secd. Note, 10.00%, 12/1/2020 364,000
164,645 1 FPL Energy National Wind, Note, Series 144A, 6.125%, 3/25/2019 135,781
375,000   NRG Energy, Inc., Company Guarantee, 8.25%, 9/1/2020 418,125
775,000   NRG Energy, Inc., Sr. Unsecd. Note, 7.875%, 5/15/2021 860,250
100,000 1,2 NRG Energy, Inc., Sr. Unsecd. Note, Series 144A, 6.625%, 3/15/2023 103,875
575,000   NRG Energy, Inc., Sr. Unsecd. Note, Series WI, 7.625%, 5/15/2019 615,250
275,000 1,2 Texas Competitive Electric Holdings Co. LLC, Sr. Secd. Note, Series 144A, 11.50%, 10/1/2020 204,875
    TOTAL 4,481,556
    Utility-Natural Gas—2.8%  
550,000   Chesapeake Midstream Partners LP, Sr. Unsecd. Note, Series WI, 6.125%, 7/15/2022 585,750
750,000   Copano Energy LLC, Company Guarantee, 7.125%, 4/1/2021 794,062
700,000   Crosstex Energy, Inc., Company Guarantee, 8.875%, 2/15/2018 763,000
675,000   El Paso Corp., Sr. Unsecd. Note, 6.50%, 9/15/2020 760,628
175,000   El Paso Corp., Sr. Unsecd. Note, 7.25%, 6/1/2018 203,114
1,650,000   Energy Transfer Equity LP, Sr. Unsecd. Note, 7.50%, 10/15/2020 1,881,000
375,000   Holly Energy Partners LP, Sr. Unsecd. Note, 8.25%, 3/15/2018 403,125
200,000   MarkWest Energy Partners LP, Company Guarantee, 6.75%, 11/1/2020 219,000
525,000   MarkWest Energy Partners LP, Sr. Unsecd. Note, 6.25%, 6/15/2022 573,563
175,000   Regency Energy Partners LP, 5.50%, 4/15/2023 184,625
275,000   Regency Energy Partners LP, Company Guarantee, 6.50%, 7/15/2021 301,125
162,000   Regency Energy Partners LP, Company Guarantee, 9.375%, 6/1/2016 174,960
250,000   Regency Energy Partners LP, Sr. Note, 6.875%, 12/1/2018 272,500
575,000   Southern Star Central Corp., Sr. Note, 6.75%, 3/1/2016 587,219
696,000 1,2 Suburban Propane Partners LP, Series 144A, 7.375%, 8/1/2021 748,200
200,000   Targa Resources, Inc., 6.875%, 2/1/2021 220,000
9
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    Corporate Bonds— continued  
    Utility-Natural Gas—continued  
$ 225,000 1,2 Targa Resources, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 8/1/2022 $ 245,250
    TOTAL 8,917,121
    Wireless Communications—3.3%  
550,000 1,2 Digicel Ltd., Sr. Note, Series 144A, 10.50%, 4/15/2018 610,500
225,000 1,2 Digicel Ltd., Sr. Note, Series 144A, 12.00%, 4/1/2014 249,750
800,000 1,2 Digicel Ltd., Sr. Note, Series 144A, 8.25%, 9/1/2017 866,000
1,500,000 1,2 Digicel Ltd., Sr. Unsecd. Note, Series 144A, 8.25%, 9/30/2020 1,601,250
950,000   MetroPCS Wireless, Inc., Sr. Note, 6.625%, 11/15/2020 1,008,188
350,000   MetroPCS Wireless, Inc., Sr. Note, 7.875%, 9/1/2018 379,750
2,625,000   Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 2,716,875
1,550,000   Sprint Capital Corp., Company Guarantee, 6.90%, 5/1/2019 1,681,750
925,000 1,2 Sprint Capital Corp., Gtd. Note, Series 144A, 9.00%, 11/15/2018 1,142,375
300,000 1,2 Sprint Nextel Corp., Series 144A, 7.00%, 3/1/2020 348,000
    TOTAL 10,604,438
    Wireline Communications—0.7%  
375,000 1,2 Level 3 Financing, Inc., Series 144A, 7.00%, 6/1/2020 382,969
325,000 1,2 Level 3 Financing, Inc., Series 144A, 8.875%, 6/1/2019 342,469
1,175,000   Level 3 Financing, Inc., Sr. Unsecd. Note, Series WI, 8.125%, 7/1/2019 1,263,125
200,000 1,2 TW Telecom, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 10/1/2022 207,750
    TOTAL 2,196,313
    TOTAL CORPORATE BONDS
(IDENTIFIED COST $267,098,973) 		276,271,053
    COMMON STOCKS—5.3%  
    Automotive—0.5%  
190,787 3 Exide Technologies 551,374
7,068 3 General Motors Co. 182,920
1,774 3 Motors Liquidation Co. 34,593
112,032 3 Stoneridge, Inc. 552,318
47,717 3 Tower International, Inc. 374,579
    TOTAL 1,695,784
    Chemicals—0.3%  
130,650 3 Ferro Corp. 374,966
88,281 3 Omnova Solutions, Inc. 655,045
    TOTAL 1,030,011
    Consumer Products—0.2%  
30,093 3 Prestige Brands Holdings, Inc. 650,009
    Energy—0.3%  
57,890 3 Basic Energy Services, Inc. 637,948
74,271 3,5 Forbes Energy Services Ltd. 109,401
50,000 3 Forbes Energy Services Ltd. 116,000
    TOTAL 863,349
    Gaming—0.2%  
6,127   Wynn Resorts Ltd. 688,675
    Health Care—0.2%  
278,502 3 Radnet, Inc. 676,760
    Industrial-Other—0.3%  
55,391 3 International Wire Group Holdings, Inc. 997,038
10
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    COMMON STOCKS— continued  
    Media-Non-Cable—1.1%  
373,288 3 Crown Media Holdings, Inc., Class A $ 683,117
265,974 3 Cumulus Media, Inc., Class A 609,080
106,777 3 Entercom Communication Corp. 678,034
476,788 3 Entravision Communications Corp. 715,182
68,691   Interpublic Group of Cos., Inc. 743,237
    TOTAL 3,428,650
    Metals & Mining—0.0%  
138,395 1,3,5 Royal Oak Mines, Inc. 0
    Other—0.0%  
469 1,3,5 CVC Claims Litigation LLC 0
    Packaging—0.4%  
16,147   Greif, Inc., Class A 662,511
48,689   Sealed Air Corp. 818,949
    TOTAL 1,481,460
    Paper—0.7%  
18,582 3 Clearwater Paper Corp. 738,634
123,175 3 Graphic Packaging Holding Co. 799,406
11,454   Rock-Tenn Co. 744,968
    TOTAL 2,283,008
    Retailers—0.2%  
48,360 3 Express, Inc. 722,015
    Technology—0.7%  
44,682   IGATE Capital Corp. 669,783
172,751 3 Kemet Corp. 763,559
55,501 3 Magnachip Semiconductor Corp. 699,313
    TOTAL 2,132,655
    Textile—0.2%  
56,062   The Jones Group, Inc. 659,289
    TOTAL COMMON STOCKS
(IDENTIFIED COST $24,990,660) 		17,308,703
    Preferred Stock—0.2%  
    Finance-Commercial—0.2%  
562 1,2 Ally Financial, Inc., Pfd., Series 144A, 7.00%
(IDENTIFIED COST $170,344) 		547,212
    WARRANTS—0.1%  
    Automotive—0.1%  
6,425 3 General Motors Co., Warrants, Expiration Date, 7/10/2016 107,426
6,425 3 General Motors Co., Warrants, Expiration Date, 7/10/2019 67,912
    TOTAL WARRANTS
(IDENTIFIED COST $760,353) 		175,338
    EXCHANGE-TRADED FUND—0.4%  
    Financial Services—0.4%  
22,773   iShares Russell 1000 Growth Fund
(IDENTIFIED COST $1,392,154) 		1,500,285
    MUTUAL FUNDS—5.6% 6  
1,162,086   Federated Bank Loan Core Fund 11,864,899
39,396   Federated InterContinental Fund, Institutional Shares 1,890,219
295   Federated Max-Cap Index Fund, Institutional Shares 4,257
11
Principal
Amount,
Foreign
Currency
Par Amount
or Shares 		    Value in
U.S. Dollars
    MUTUAL FUNDS— continued 6  
4,309,706 7 Federated Prime Value Obligations Fund, Institutional Shares, 0.15% $ 4,309,706
    TOTAL MUTUAL FUNDS
(IDENTIFIED COST $18,423,880) 		18,069,081
    TOTAL INVESTMENTS—97.0%
(IDENTIFIED COST $312,836,364) 8 		313,871,672
    OTHER ASSETS AND LIABILITIES-NET—3.0% 9 9,670,761
    TOTAL NET ASSETS—100% $ 323,542,433
1 Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At November 30, 2012, these restricted securities amounted to $103,815,604, which represented 32.1% of total net assets.
2 Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the “Trustees”). At November 30, 2012, these liquid restricted securities amounted to $102,827,198, which represented 31.8% of total net assets.
Additional information on restricted securities, excluding securities purchased under Rule 144A that have been deemed liquid by the Trustees, if applicable, held at November 30, 2012, is as follows:
Security Acquisition Date Cost Market Value
Allen Systems Group, Inc., Sr. Secd. 2nd Priority Note, Series 144A, 10.50%, 11/15/2016 11/12/2010-2/28/2012 $ 789,844 $565,750
Altegrity, Inc., Company Guarantee, Series 144A, 11.75%, 5/1/2016 10/19/2007-2/8/2011 $ 361,419 $286,875
CVC Claims Litigation LLC 3/26/1997-8/19/1997 $4,646,903 $ 0
FPL Energy National Wind, Note, Series 144A, 6.125%, 3/25/2019 2/16/2005 $ 164,645 $135,781
Hard Rock Park Operations LLC, Sr. Secd. Note, Series 144A, 0.00%, 4/1/2012 3/23/2006 $ 641,893 $ 0
Royal Oak Mines, Inc. 2/24/1999 $ 15,376 $ 0
3 Non-income producing security.
4 Issuer in default.
5 Market quotations and price evaluations are not available. Fair value determined in accordance with procedures established by and under the general supervision of the Trustees.
6 Affiliated holdings.
7 7-Day net yield.
8 At November 30, 2012, the cost of investments for federal tax purposes was $313,211,294. The net unrealized appreciation of investments for federal tax purposes excluding any unrealized depreciation resulting from the translation from foreign currencies to U.S. dollars of assets and liabilities other than investments in securities was $660,378. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $16,485,650 and net unrealized depreciation from investments for those securities having an excess of cost over value of $15,825,272.
9 Assets, other than investments in securities, less liabilities.
Note: The categories of investments are shown as a percentage of total net assets at November 30, 2012.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■  Fixed-income securities acquired with remaining maturities greater than 60 days are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■  Fixed-income securities acquired with remaining maturities of 60 days or less are valued at their cost (adjusted for the accretion of any discount or amortization of any premium), which approximates market value.
■  Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.
■  Shares of other mutual funds are valued based upon their reported NAVs.
■  Derivative contracts listed on exchanges are valued at their reported settlement or closing price.
■  Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■  For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered such as: the purchase price of the security, information obtained by contacting the issuer, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded and public trading in similar securities of the issuer or comparable issuers.
12
If the Fund cannot obtain a price or price evaluation from a pricing service for an investment, the Fund may attempt to value the investment based upon the mean of bid and asked quotations or fair value the investment based on price evaluations, from one or more dealers. If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could purchase or sell an investment at the price used to calculate the Fund's NAV.
Fair Valuation and Significant Events Procedures
The Trustees have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (“Adviser”) and the Adviser's affiliated companies to determine fair value of securities and in overseeing the calculation of the NAV. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for U.S. Treasury and Agency securities and mortgage-backed securities. The Fund normally uses mid evaluations for other types of fixed-income securities and OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.
The Trustees also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
■  With respect to securities traded in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures or options contracts;
■  Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; and
■  Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry.
The Trustees have approved the use of a pricing service to determine the fair value of equity securities traded principally in foreign markets when the Adviser determines that there has been a significant trend in the U.S. equity markets or in index futures trading. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment using another method approved by the Trustees.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1— quoted prices in active markets for identical securities, including investment companies with daily net asset values, if applicable.
Level 2— other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3— significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
13
The following is a summary of the inputs used, as of November 30, 2012, in valuing the Fund's assets carried at fair value:
Valuation Inputs        
  Level 1—
Quoted
Prices and
Investments in
Mutual Funds 1 		Level 2—
Other
Significant
Observable
Inputs 		Level 3—
Significant
Unobservable
Inputs 		Total
Debt Securities:        
Corporate Bonds $ — $276,250,430 $ 20,623 2 $276,271,053
Equity Securities:        
Common Stock        
 Domestic 17,199,302 — 109,401 2,3 17,308,703
 International — — 0 0
Preferred Stock        
 Domestic — 547,212 — 547,212
Warrants 175,338 — — 175,338
Exchange-Traded Fund 1,500,285 — — 1,500,285
Mutual Funds 18,069,081 — — 18,069,081
TOTAL SECURITIES $36,944,006 $276,797,642 $130,024 $313,871,672
1 Federated Bank Loan Core Fund is an affiliated holding offered only to registered investment companies and other accredited investors.
2 Includes $20,563 of a corporate bond security and $26,250 of a domestic common stock security transferred from Level 2 to Level 3 because the Adviser determined that these securities more appropriately meet the definition of Level 3. These transfers represent the value of the securities at the beginning of the period.
3 Includes $463,889 of a domestic common stock security transferred from Level 1 to Level 3 because securities ceased trading during the period and fair values were determined using valuation techniques utilizing unobservable market data due to observable market data being unavailable. This transfer represents the value of the security at the beginning of the period.
14

 

Item 2. Controls and Procedures

 

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-Q.

 

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits

 

 

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.

 

Registrant Federated High Yield Trust

 

By /S/ Richard A. Novak _

 

Richard A. Novak

Principal Financial Officer

 

Date January 22, 2013

 

 

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/ J. Christopher Donahue

 

J. Christopher Donahue

Principal Executive Officer

 

Date January 22, 2013

 

 

By /S/ Richard A. Novak

 

Richard A. Novak

Principal Financial Officer

 

Date January 22, 2013

 

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