divhinct.htm
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                                 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 811-22014


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


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


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


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


Date of fiscal year end:  April 30

Date of reporting period:  January 31, 2014

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

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


<PAGE>
ITEM 1. Schedule of Investments.

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



Pioneer Diversified


                     High Income Trust






 NQ| January 31, 2014

 
Ticker Symbol:  HNW
 
 
 



   
Principal
Amount
USD ($)
S&P/Moody's
Rating             
 
Value
 
 
       
ASSET BACKED SECURITIES -  2.1% of Net Assets
 
   
  802,178(a)
CCC/Caa3
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.64%, 5/15/24 (144A) 
$ 312,850 
   
  100,000 
BB/NR
CarNow Auto Receivables Trust, Series 2012-1A, Class D, 6.9%, 11/15/16 (144A) 
  102,005 
   
  81,268 
BB+/Ba2
Continental Airlines 1998-1 Class B Pass Through Trust, 6.748%, 3/15/17   
  86,957 
   
  250,000 
BBB/Ba2
Delta Air Lines 2010-1 Class B Pass Through Trust, 6.375%, 1/2/16 (144A) 
  267,500 
   
  290,000(b)
NR/NR
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A) 
  278,828 
   
  76,649(a)
B-/Caa1
GSAMP Trust, Series 2006-HE8, Class A2B, 0.288%, 1/25/37   
  73,236 
   
  939,719 
NR/NR
Monty Parent Issuer LLC, Series 2013-LTR, 4.25%, 10/20/15   
  940,454 
   
  940,000 
NR/Ba2
Nations Equipment Finance Funding I LLC, Series 2013-1A, Class C, 5.5%, 5/20/21 (144A) 
  940,000 
   
  137,549 
BB/NR
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A) 
  141,241 
   
  346,510 
NR/NR
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A) 
  353,440 
       
TOTAL ASSET BACKED SECURITIES
 
       
(Cost  $3,506,048)
$ 3,496,511 
 
       
COLLATERALIZED MORTGAGE OBLIGATIONS -  2.4% of Net Assets
 
   
  275,000 
NR/NR
CAM Mortgage Trust, Series 2014-1, Class M, 5.5%, 12/15/53 (144A) 
$ 273,716 
   
  662,185(a)
CCC/Caa2
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A2, 0.358%, 2/25/37   
  595,023 
   
  200,000(b)
CCC/B3
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C4, Class E, 5.135%, 10/15/39 (144A) 
  178,178 
   
  101,389 
NR/NR
Extended Stay America Trust, Series 2013-ESHM, Class M, 7.625%, 12/5/19 (144A) 
  101,793 
   
  124,911 
BBB+/Ba3
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A) 
  119,958 
   
  205,788 
CCC/Caa3
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32   
  164,302 
   
  375,000(a)
NR/Ba2
GS Mortgage Securities Corp. II, Series 2013-KYO, Class E, 3.763%, 11/8/29 (144A) 
  377,827 
   
  159,933(b)
B/NR
GSR Mortgage Loan Trust, Series 2004-3F, Class B1, 5.714%, 2/25/34   
  142,344 
   
  213,269 
NR/NR
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A) 
  208,534 
   
  793,195(a)
B/Ba3
Impac CMB Trust, Series 2004-9, Class 1A1, 0.918%, 1/25/35   
  705,228 
   
  150,000(a)
BB/NR
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-FL3, Class E, 3.122%, 4/15/28 (144A) 
  149,268 
   
  556,571(b)
BB/NR
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41   
  560,596 
   
  400,000(b)
B-/B1
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class AJ, 5.969%, 5/15/46   
  409,543 
       
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 
       
(Cost  $3,974,555)
$ 3,986,310 
 
       
COMMERCIAL MORTGAGE-BACKED SECURITIES -  0.5% of Net Assets
 
   
  150,000(b)
NR/Ba1
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41   
$ 151,887 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating             
 
Value
 
   
  250,000(b)
NR/Baa3
COMM 2012-CCRE2 Mortgage Trust, Series 2012-CR2, Class E, 4.858%, 8/15/45 (144A) 
$ 236,271 
   
  200,000(a)
BB-/NR
COMM 2013-FL3 Mortgage Trust, Series 2013-FL3, Class RGC2, 4.5%, 10/13/28 (144A) 
  200,188 
   
  150,600(a)
NR/Ba1
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-FL2A, Class G, 0.52%, 11/15/18 (144A) 
  142,726 
       
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
 
       
(Cost  $687,536)
$ 731,072 
 
       
SENIOR SECURED FLOATING RATE LOAN INTERESTS -  23.9% of Net Assets *(a)
 
 
       
AUTOMOBILES & COMPONENTS - 2.5%
 
       
Auto Parts & Equipment - 1.2%
 
   
  118,388 
B/B1
Federal-Mogul Corp., Tranche B Term Loan, 2.108%, 12/29/14   
$ 117,796 
   
  69,670 
B/B1
Federal-Mogul Corp., Tranche C Term Loan, 2.108%, 12/28/15   
  69,322 
   
  247,500 
B+/B1
Metaldyne LLC, USD Term Loan, 5.0%, 12/18/18   
  249,913 
   
  280,741 
B+/B1
TI Group Automotive Systems LLC, Additional Term Loan, 5.5%, 3/28/19   
  282,496 
   
  213,927 
BB/Ba2
Tomkins LLC, Term Loan B-2, 3.75%, 9/29/16   
  215,379 
   
  972,662 
B+/B1
Tower Automotive Holdings USA, LLC, Refinancing First Lien Term Loan, 4.0%, 4/23/20   
  980,962 
   
  140,650 
B/Ba3
UCI International, Inc., (United Components), Term Loan, 5.5%, 7/26/17   
  141,617 
         
$ 2,057,485 
       
Automobile Manufacturers - 0.9%
 
   
  1,462,500 
BB/Ba1
Chrysler Group LLC, Tranche B Term Loan, 3.5%, 5/24/17   
$ 1,472,425 
       
Tires & Rubber - 0.4%
 
   
  575,000 
BB/Ba1
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19   
$ 582,367 
       
Total Automobiles & Components 
$ 4,112,277 
           
 
       
CAPITAL GOODS - 2.5%
 
       
Aerospace & Defense - 1.2%
 
   
  320,000 
CCC+/Caa1
Consolidated Precision Products Corp., Second Lien Term Loan, 8.75%, 4/30/21   
$ 325,200 
   
  831,525 
B/B2
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 6.25%, 11/2/18   
 839,494 
   
  186,560 
B/Caa1
Hunter Defense Technologies, Inc., Term Loan, 3.49%, 8/22/14   
  176,765 
   
  376,959 
B/B2
Standard Aero, Ltd., Tranche B-2 Loan, 6.25%, 11/2/18   
  380,571 
   
  321,180 
BB-/B1
TASC, Inc., New Tranche B Term Loan, 4.5%, 12/18/15   
  306,125 
         
$ 2,028,155 
       
Construction & Farm Machinery & Heavy Trucks - 0.5%
 
   
  390,000 
B/Ba3
Navistar, Inc., Tranche B, Term Loan, 5.75%, 8/17/17   
$ 397,800 
   
  457,481 
B+/B2
Waupaca Foundry, Inc. Term Loan, 4.5%, 6/29/17   
  458,625 
         
$ 856,425 
       
Electrical Components & Equipment - 0.4%
 
   
  557,938 
BB+/Ba2
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17   
$ 563,168 
       
Trading Companies & Distributors - 0.4%
 
   
  416,698 
BBB/Ba2
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18   
$ 419,476 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Trading Companies & Distributors (continued)
 
   
  284,593 
B+/Ba3
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19   
$ 285,660 
         
$ 705,136 
       
Total Capital Goods 
$ 4,152,884 
           
 
       
COMMERCIAL & PROFESSIONAL SERVICES - 0.2%
 
       
Commercial Printing - 0.1%
 
   
  121,889 
NR/Caa3
Cenveo Corp., Term Loan B, 6.25%, 2/13/17   
$ 123,717 
       
Security & Alarm Services - 0.1%
 
   
  204,785 
B+/B1
Protection One, Inc., 2012 Term Loan, 4.25%, 3/21/19   
$ 205,553 
       
Total Commercial & Professional Services 
$ 329,270 
           
 
       
CONSUMER DISCRETIONARY - 1.0%
 
       
Automobiles & Components - 0.4%
 
   
  700,000 
B+/B2
CWGS Group LLC, Term Loan, 5.75%, 2/20/20   
$ 705,250 
       
Education Services - 0.6%
 
   
  950,000 
B+/B2
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19   
$ 963,260 
       
Total Consumer Discretionary 
$ 1,668,510 
           
 
       
CONSUMER DURABLES & APPAREL - 0.1%
 
       
Textiles - 0.1%
 
   
  109,819 
NR/Ba3
Klockner Pentaplast of America, Inc., Term Loan B-1, 5.75%, 12/21/16   
$ 111,100 
           
       
Total Consumer Durables & Apparel 
$ 111,100 
           
 
       
CONSUMER SERVICES - 1.2%
 
       
Hotels, Resorts & Cruise Lines - 0.5%
 
   
  864,063 
BB-/Ba2
Seven Sea Cruises S. DE R.L., Term B-1 Loan, 4.75%, 12/21/18   
$ 868,923 
       
Restaurants - 0.7%
 
   
  526,650 
B+/B1
Landry's, Inc., (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18   
$ 532,575 
   
  544,825 
B/Ba3
NPC International, Inc., Term Loan, 4.0%, 12/28/18   
  551,295 
         
$ 1,083,870 
       
Total Consumer Services 
$ 1,952,793 
           
 
       
CONSUMER STAPLES - 0.1%
 
       
Personal Products - 0.1%
 
   
  100,000 
NR/NR
Altrium Innovations, Inc., Second Lien Term Loan, 0.0%, 7/29/21   
$ 102,188 
           
       
Total Consumer Staples 
$ 102,188 
           
 
       
ENERGY - 1.3%
 
       
Coal & Consumable Fuels - 0.2%
 
   
  352,500 
NR/NR
PT Bumi Resources Tbk, Term Loan, 18.165%, 11/7/14   
$ 352,500 
       
Oil & Gas Exploration & Production - 1.1%
 
   
  400,000 
BB-/Ba3
Chesapeake Energy Corp., Term Loan, 5.75%, 12/2/17   
$ 409,833 
   
  685,000 
B-/B2
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20   
  705,061 
   
  650,000 
CCC+/B3
Samson Investment Co., Second Initial Term Loan, 5.0%, 9/25/18   
  657,475 
         
$ 1,772,369 
       
Total Energy 
$ 2,124,869 
           
 
       
FOOD, BEVERAGE & TOBACCO - 0.7%
 
       
Packaged Foods & Meats - 0.7%
 
   
  232,449 
B/B1
Del Monte Foods Co., Initial Term Loan, 4.0%, 3/8/18   
$ 233,960 
   
  940,000 
B-/NR
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20   
  977,600 
       
Total Food, Beverage & Tobacco 
$ 1,211,560 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating       
 
Value
 
       
HEALTH CARE EQUIPMENT & SERVICES - 3.6%
 
       
Health Care Equipment & Services - 0.1%
 
   
  240,128 
BB-/Ba2
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.0%, 5/4/18   
$ 242,614 
       
Health Care Facilities - 1.0%
 
   
  268,442 
BB/Ba2
CHS/Community Health Systems, Inc., Extended Term Loan, 3.487%, 1/25/17   
$ 270,812 
   
  715,474 
BB/Ba2
CHS/Community Health Systems, Inc., Term B Loan, 4.25%, 1/27/21   
 723,778 
   
  82,372 
BB/Ba3
HCA, Inc., Tranche B-4 Term Loan, 2.997%, 5/1/18   
  82,611 
   
  197,545 
BB/NR
HCA, Inc., Tranche B-5 Term Loan, 2.91%, 3/31/17   
  198,149 
   
  322,567 
B+/Ba3
Kindred Healthcare, Inc., Term B-1 Loan, 4.25%, 6/1/18   
  325,770 
         
$ 1,601,120 
       
Health Care Services - 2.0%
 
   
  377,708 
B+/B2
AccentCare, Inc., Term Loan, 6.5%, 12/22/16   
$ 201,130 
   
  370,313 
B/B2
Bioscrip, Inc., Delayed Term Loan, 6.5%, 7/31/20   
  368,461 
   
  617,188 
B/B2
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20   
  614,102 
   
  800,000 
B/B2
Gentiva Health Services, Inc., Initial Term Loan B, 6.5%, 10/18/19   
  805,500 
   
  341,123 
B-/B2
Inventiv Health, Inc., Consolidated Term Loan, 7.5%, 8/4/16   
  339,951 
   
  462,675 
B/NR
Surgical Care Affiliates LLC, Class C Term Loan, 4.25%, 6/29/18   
  465,277 
   
  283,225 
B/B2
Valitas Health Services, Inc., Term Loan B, 5.75%, 6/2/17   
  275,791 
   
  487,500 
NR/B3
Virtual Radiologic Corp., Term Loan B, 7.25%, 12/22/16   
  292,012 
         
$ 3,362,224 
       
Health Care Supplies - 0.1%
 
   
  238,284 
B+/NR
Alere, Inc., Term Loan B, 5.5%, 6/30/17   
$ 240,394 
       
Health Care Technology - 0.4%
 
   
  240,653 
BB-/Ba3
IMS Health, Inc., Tranche B-1 Dollar Term Loan, 3.75%, 9/1/17   
$ 242,507 
   
  347,416 
CCC/Caa3
Medical Card System, Inc., Term Loan, 0.0%, 9/17/15   
  331,783 
         
$ 574,290 
       
Total Health Care Equipment & Services 
$ 6,020,642 
           
 
       
HOUSEHOLD & PERSONAL PRODUCTS - 0.8%
 
       
Household Products - 0.4%
 
   
  423,777 
BB-/B1
SRAM LLC, First Lien Term Loan, 4.0%, 4/10/20   
$ 426,425 
   
  215,446 
B-/B2
Wash MultiFamily Laundry Systems LLC, U.S. Term Loan, 4.5%, 2/21/19   
  216,793 
         
$ 643,218 
       
Personal Products - 0.2%
 
   
  215,357 
BB-/NR
NBTY, Inc., B-2 Term Loan, 3.5%, 10/1/17   
$ 217,165 
   
  208,828 
B+/Ba2
Revlon Consumer Products Corp., Replacement Term Loan, 4.0%, 11/20/17   
  211,047 
         
$ 428,212 
       
Security & Alarm Services - 0.2%
 
   
  270,204 
B/Ba3
Monitronics International, Inc., Term Loan B, 4.25%, 3/23/18   
$ 272,569 
       
Total Household & Personal Products 
$ 1,343,999 
           
 
       
INDUSTRIALS - 0.2%
 
       
Industrial Conglomerates - 0.2%
 
   
  355,000 
B-/Caa1
Filtration Group Co., Initial Second Lien Term Loan, 8.25%, 11/22/21   
$ 364,911 
           
       
Total Industrials 
$ 364,911 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating             
 
Value
 
       
INSURANCE - 1.0%
 
       
Multi-Line Insurance - 0.4%
 
   
  574,200 
B-/B1
Alliant Holdings I LLC, Initial Term Loan, 4.25%, 12/20/19   
$ 577,160 
       
Property & Casualty Insurance - 0.6%
 
   
  593,765 
CCC/Caa2
Confie Seguros Holding II  Co., Second Lien Term Loan, 10.25%, 5/8/19   
$ 598,961 
   
  450,459 
NR/B1
USI, Inc., Initial Term Loan, 4.25%, 12/27/19   
  453,837 
         
$ 1,052,798 
       
Total Insurance 
$ 1,629,958 
           
 
       
MATERIALS - 1.2%
 
       
Commodity Chemicals - 0.1%
 
   
  196,515 
BB-/B1
Taminco Global Chemical Corp., Tranche B-2 Dollar Term Loan, 4.25%, 2/15/19   
$ 197,579 
       
Diversified Chemicals - 0.2%
 
   
  299,417 
B+/B2
Univar, Inc., Term Loan B, 5.0%, 6/30/17   
$ 298,160 
       
Diversified Metals & Mining - 0.3%
 
   
  72,253(c)
NR/NR
Long Haul Holdings, Ltd., Facility Term Loan A, 0.0%, 1/12/13   
$ 28,179 
   
  566,375(c)
B+/Caa1
Preferred Proppants LLC, Initial Term Loan B, 11.75%, 12/15/16   
  448,381 
   
  57,668(c)
NR/NR
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/20/13   
  22,490 
         
$ 499,050 
       
Metal & Glass Containers - 0.3%
 
   
  469,690 
B/B1
Tank Holding Corp., Initial Term Loan, 4.25%, 7/9/19   
$ 469,984 
       
Paper Products - 0.0%
 
   
  100,000 
B/B2
Exopack LLC/Cello-Foil Products, Inc., USD Term Loan, 5.25%, 5/8/19   
$ 101,969 
       
Specialty Chemicals - 0.3%
 
   
  123,694 
BB+/Ba1
Chemtura Corp., New Term Loan, 3.5%, 8/29/16   
$ 124,622 
   
  344,239 
BB+/Ba2
Huntsman International LLC, Extended Term B Loan, 2.712%, 4/19/17   
  346,031 
         
$ 470,653 
       
Total Materials 
$ 2,037,395 
           
 
       
MEDIA - 1.6%
 
       
Advertising - 0.6%
 
   
  962,550 
B-/B1
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 10/9/16   
$ 957,081 
       
Broadcasting - 0.7%
 
   
  315,000 
CCC+/Caa2
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21   
$ 322,875 
   
  404,700 
B+/Ba3
TWCC Holding Corp., Term Loan, 3.5%, 2/13/17   
  405,523 
   
  468,180 
B+/B2
Univision Communications, Inc., Converted Extended First-Lien Term Loan, 4.0%, 3/1/20   
  471,313 
         
$ 1,199,711 
       
Cable & Telecommunications - 0.2%
 
   
  422,842 
B/B1
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/1/19   
$ 426,775 
       
Movies & Entertainment - 0.1%
 
   
  100,450 
NR/Baa3
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18   
$ 100,827 
       
Total Media 
$ 2,684,394 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.8%
 
       
Life Sciences Tools & Services - 0.8%
 
   
  1,293,360 
BB-/B3
Catalent Pharma, Inc., Dollar Term Loan, 3.66%, 9/15/16   
$ 1,302,386 
           
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 1,302,386 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating             
 
Value
 
       
RETAILING - 0.5%
 
       
Computer & Electronics Retail - 0.5%
 
   
  839,012 
B/B2
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16   
$ 755,111 
           
       
Total Retailing 
$ 755,111 
           
 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.3%
 
       
Semiconductor Equipment - 0.3%
 
   
  561,549 
BB-/B1
Aeroflex, Inc., Tranche B-1 Term Loan, 4.5%, 11/9/19   
$ 567,516 
           
       
Total Semiconductors & Semiconductor Equipment 
$ 567,516 
           
 
       
SOFTWARE & SERVICES - 2.2%
 
       
Application Software - 1.5%
 
   
  617,369 
B-/Ba3
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18   
$ 614,153 
   
  427,388 
NR/B2
Houghton Mifflin Co., Term Loan, 0.0%, 5/22/18   
  429,792 
   
  940,531 
BB+/NR
Nuance Communications, Inc., Term Loan C, 2.91%, 8/7/19   
  939,747 
   
  500,000 
CCC+/Caa1
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17   
  510,000 
         
$ 2,493,692 
       
Internet Software & Services - 0.2%
 
   
  243,125 
BB+/Ba3
Autotrader.com, Inc., Tranche B-1 Term Loan, 4.0%, 12/15/16   
$ 244,645 
       
IT Consulting & Other Services - 0.5%
 
   
  823,970 
BB/Ba3
SunGuard Data Systems, Inc., Tranche C Term Loan, 3.918%, 2/28/17   
$ 829,037 
       
Total Software & Services 
$ 3,567,374 
           
 
       
TECHNOLOGY HARDWARE & EQUIPMENT - 0.4%
 
       
Communications Equipment - 0.1%
 
   
  86,182 
BB+/Ba2
CommScope, Inc., Tranche 2 Term Loan, 2.739%, 1/21/17   
$ 86,613 
   
  129,273 
BB+/Ba2
CommScope, Inc., Tranche 4 Term Loan, 3.25%, 1/14/18   
  130,323 
         
$ 216,936 
       
Electronic Components - 0.3%
 
   
  477,897 
B/B2
Scitor Corp., Term Loan, 5.0%, 2/15/17   
$ 473,217 
       
Total Technology Hardware & Equipment 
$ 690,153 
           
 
       
TELECOMMUNICATION SERVICES - 0.5%
 
       
Integrated Telecommunication Services - 0.5%
 
   
  782,433 
BB/Ba3
West Corp., Term B-8 Loan, 3.25%, 6/30/18   
$ 785,204 
           
       
Total Telecommunication Services 
$ 785,204 
           
 
       
TRANSPORTATION - 0.9%
 
       
Air Freight & Logistics - 0.9%
 
   
  439,482 
B/B1
Ceva Group Plc, Dollar Tranche B Pre-Funded L/C, 0.147%, 8/31/16   
$ 438,658 
   
  919,588 
CCC+/B2
Ceva Group Plc, U.S. Tranche B Term Loan, 5.247%, 8/31/16   
  917,864 
   
  194,025 
B-/B2
Ozburn-Hessey Holding Co., LLC, Term Loan, 6.75%, 5/23/19   
 196,208 
       
Total Transportation 
$ 1,552,730 
           
 
       
UTILITIES - 0.3%
 
       
Electric Utilities - 0.3%
 
   
  629,720 
CCC-/Caa3
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.739%, 10/10/17   
$ 439,342 
           
       
Total Utilities 
$ 439,342 
           
       
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
 
       
(Cost  $39,667,086)
$ 39,506,565 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
CORPORATE BONDS & NOTES -  96.4% of Net Assets
 
 
       
AUTOMOBILES & COMPONENTS - 0.6%
 
       
Auto Parts & Equipment - 0.6%
 
   
  350,000 
B/Caa1
International Automotive Components Group SA, 9.125%, 6/1/18 (144A) 
$ 364,875 
   
  275,000 
B/B3
Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A) 
  297,000 
   
  290,000 
B+/B2
Stackpole International Intermediate Co. SA / Stackpole International Powder, 7.75%, 10/15/21 (144A) 
  302,325 
       
Total Automobiles & Components 
$ 964,200 
           
 
       
BANKS - 1.5%
 
       
Diversified Banks - 1.1%
 
   
  525,000 
CCC+/B3
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A) 
$ 466,975 
   
  500,000(b)
NR/Caa3
Banco Macro SA, 9.75%, 12/18/36   
  400,000 
   
  200,000 
NR/Ba1
Turkiye IS Bankasi AS, 6.0%, 10/24/22 (144A) 
  173,500 
   
  750,000 
BBB-/NR
UBS AG/Stamford CT, 7.625%, 8/17/22   
  862,009 
         
$ 1,902,484 
       
Regional Banks - 0.4%
 
   
  600,000(b)(d)
BBB/Baa3
PNC Financial Services Group, Inc., 4.459%, 5/29/49   
$ 600,750 
           
       
Total Banks 
$ 2,503,234 
           
 
       
CAPITAL GOODS - 6.9%
 
       
Aerospace & Defense - 0.9%
 
   
  600,000 
B-/Caa1
ADS Tactical, Inc., 11.0%, 4/1/18 (144A) 
$ 570,000 
   
  870,000 
B-/B2
DynCorp International, Inc., 10.375%, 7/1/17   
  895,013 
         
$ 1,465,013 
       
Building Products - 0.4%
 
   
  300,000 
BB-/B2
USG Corp., 7.875%, 3/30/20 (144A) 
$ 339,000 
   
  365,000 
BB-/B2
USG Corp., 9.75%, 8/1/14 (144A) 
  380,969 
         
$ 719,969 
       
Construction & Engineering - 1.1%
 
   
  900,000 
B/B2
Empresas ICA S.A.B. de C.V., 8.9%, 2/4/21 (144A) 
$ 909,000 
   
  1,000,000 
BB-/B1
OAS Investments GMBH, 8.25%, 10/19/19 (144A) 
  963,750 
         
$ 1,872,750 
       
Construction & Farm Machinery & Heavy Trucks - 1.0%
 
   
  360,000 
B-/B3
Meritor, Inc., 6.75%, 6/15/21   
$ 376,200 
   
  660,000 
CCC-/B3
Navistar International Corp., 8.25%, 11/1/21   
  679,800 
   
  160,000 
CCC-/Caa2
Stanadyne Holdings, Inc., 10.0%, 8/15/14   
  157,200 
   
  500,000(e)
CC/Ca
Stanadyne Holdings, Inc., 12.0%, 2/15/15   
  350,625 
         
$ 1,563,825 
       
Electrical Components & Equipment - 0.5%
 
   
  750,000 
B-/B3
WireCo WorldGroup, Inc., 9.5%, 5/15/17   
$ 776,250 
           
       
Industrial Conglomerates - 0.3%
 
   
  455,000 
B+/B2
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A) 
$ 489,125 
           
       
Industrial Machinery - 1.4%
 
   
  450,000 
B/B2
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A) 
$ 495,000 
   
  500,000(c)(f)
NR/WR
Indalex Holding Corp., 11.5%, 2/1/14   
  3,750 
   
  335,000 
B-/Caa2
Liberty Tire Recycling, 11.0%, 10/1/16 (144A) 
  328,300 
   
  875,000 
B/Caa1
Mueller Water Products, Inc., 7.375%, 6/1/17   
  899,062 
   
  665,000 
CCC+/NR
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A) 
  414,794 
   
  150,000 
B/B3
Xerium Technologies, Inc., 8.875%, 6/15/18   
  159,000 
         
$ 2,299,906 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Trading Companies & Distributors - 1.3%
 
   
  956,000 
NR/Caa1
INTCOMEX, Inc., 13.25%, 12/15/14   
$ 958,103 
   
  1,090,000 
B-/B3
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19   
  1,242,600 
         
$ 2,200,703 
       
Total Capital Goods 
$ 11,387,541 
           
 
       
COMMERCIAL & PROFESSIONAL SERVICES - 0.6%
 
       
Diversified Support Services - 0.6%
 
   
  750,000 
B+/B3
NANA Development Corp., 9.5%, 3/15/19 (144A) 
$ 778,125 
   
  260,000 
B-/B3
TMS International Corp., 7.625%, 10/15/21 (144A) 
  276,250 
         
$ 1,054,375 
       
Environmental & Facilities Services - 0.0%
 
   
  700,000(c)(f)
NR/WR
Old AII, Inc., 10.0%, 12/15/16   
$ 70 
           
       
Total Commercial & Professional Services 
$ 1,054,445 
           
 
       
CONSUMER DURABLES & APPAREL - 1.8%
 
       
Home Furnishings - 0.4%
 
   
  535,000 
B+/B3
Tempur Sealy International, Inc., 6.875%, 12/15/20   
$ 585,156 
           
       
Homebuilding - 0.4%
 
   
  530,000 
CCC/Caa2
Beazer Homes USA, Inc., 9.125%, 6/15/18   
$ 564,450 
   
  605,000(c)(f)
NR/C
Desarrolladora Homex SAB de CV, 9.5%, 12/11/19 (144A) 
  72,600 
   
  500,000(c)(f)
NR/Ca
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A) 
  65,000 
         
$ 702,050 
       
Leisure Products - 1.0%
 
 
EUR
  275,000 
CCC+/Caa2
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A) 
$ 380,193 
   
  1,000,000 
CCC+/Caa1
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A) 
  895,000 
   
  375,000(g)
CCC+/Caa2
PC Nextco Holdings LLC / PC Nextco Finance, Inc., 8.75%, 8/15/19 (144A) 
  386,250 
         
$ 1,661,443 
       
Total Consumer Durables & Apparel 
$ 2,948,649 
           
 
       
CONSUMER SERVICES - 4.7%
 
       
Business Services - 0.8%
 
   
  750,000 
B/B2
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A) 
$ 795,000 
   
  500,000 
B-/Caa2
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18   
  472,500 
         
$ 1,267,500 
       
Casinos & Gaming - 1.2%
 
 
EUR
  1,155,000(c)
D/Ca
Codere Finance Luxembourg SA, 8.25%, 6/15/15 (144A) 
$ 701,039 
   
  90,000 
NR/NR
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A) 
  81,900 
   
  712,691 
NR/NR
Mashantucket Western Pequot Tribe, 6.5%, 7/1/36   
  114,030 
 
EUR
  500,000 
CCC/Caa1
Peermont Global, Ltd., 7.75%, 4/30/14 (144A) 
  675,412 
   
  450,000 
B/B2
Scientific Games International, Inc., 9.25%, 6/15/19   
  478,125 
         
$ 2,050,506 
       
Hotels, Resorts & Cruise Lines - 0.9%
 
   
  720,000(g)
B-/B3
MISA Investments, Ltd., 8.625%, 8/15/18 (144A) 
$ 744,300 
   
  400,000 
B-/B2
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19   
  442,000 
   
  325,000 
B+/B3
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A) 
  368,063 
         
$ 1,554,363 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Leisure Facilities - 0.7%
 
 
EUR
  800,000 
B+/B3
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A) 
$ 1,089,830 
       
Restaurants - 0.9%
 
   
  1,235,000(e)
B-/Caa1
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A) 
$ 1,111,500 
   
  400,000 
B/B3
Burger King Corp., 9.875%, 10/15/18   
  440,000 
         
$ 1,551,500 
       
Specialized Consumer Services - 0.2%
 
   
  315,000 
B-/B3
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21 (144A) 
$ 327,600 
           
       
Total Consumer Services 
$ 7,841,299 
           
 
       
DIVERSIFIED FINANCIALS - 2.1%
 
       
Asset Management & Custody Banks - 0.4%
 
   
  590,000 
BBB-/Baa3
Janus Capital Group, Inc., 6.7%, 6/15/17   
$ 660,343 
           
       
Consumer Finance - 0.9%
 
   
  445,000 
B+/B1
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A) 
$ 466,137 
   
  610,000 
NR/NR
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A) 
  612,867 
   
  440,000 
B+/B3
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A) 
  470,800 
         
$ 1,549,804 
       
Investment Banking & Brokerage - 0.2%
 
   
  450,000(a)(d)
BB+/Ba2
Goldman Sachs Capital II, 4.0%, 12/1/49   
$ 336,937 
           
       
Multi-Sector Holdings - 0.3%
 
   
  600,000 
B/B3
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A) 
$ 528,000 
           
       
Specialized Finance - 0.3%
 
   
  425,000 
B/B2
National Money Mart Co., 10.375%, 12/15/16   
$ 419,688 
           
       
Total Diversified Financials 
$ 3,494,772 
           
 
       
ENERGY - 15.1%
 
       
Coal & Consumable Fuels - 1.2%
 
   
  650,000 
CC/Ca
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A) 
$ 433,062 
   
  400,000 
CCC/Caa2
James River Coal Co., 7.875%, 4/1/19   
  108,000 
   
  400,000 
B-/Caa2
Mongolian Mining Corp., 8.875%, 3/29/17 (144A) 
  284,500 
   
  300,000 
B-/Caa1
Murray Energy Corp., 8.625%, 6/15/21 (144A) 
  314,250 
   
  715,000 
B-/Caa1
Penn Virginia Corp., 8.5%, 5/1/20   
  779,350 
         
$ 1,919,162 
       
Integrated Oil & Gas - 0.2%
 
   
  325,000 
NR/B3
YPF SA, 8.875%, 12/19/18 (144A) 
$ 305,500 
           
       
Oil & Gas Drilling - 1.6%
 
   
  645,000 
B/B3
Hercules Offshore, Inc., 8.75%, 7/15/21 (144A) 
$ 719,175 
   
  1,000,000 
CCC+/Caa3
Ocean Rig UDW, Inc., 9.5%, 4/27/16 (144A) 
  1,057,250 
   
  500,000 
B+/B2
Pioneer Energy Services Corp., 9.875%, 3/15/18   
  529,375 
   
  320,000 
B+/B1
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A) 
  344,800 
         
$ 2,650,600 
       
Oil & Gas Equipment & Services - 0.9%
 
   
  448,000 
B/B1
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A) 
$ 468,160 
   
  690,000 
B/Caa1
Forbes Energy Services, Ltd., 9.0%, 6/15/19   
  674,475 
   
  330,000 
B/B3
Seitel, Inc., 9.5%, 4/15/19   
  334,950 
         
$ 1,477,585 
       
Oil & Gas Exploration & Production - 11.0%
 
   
  520,000 
CCC+/Caa1
Athlon Holdings LP / Athlon Finance Corp., 7.375%, 4/15/21 (144A) 
$ 544,700 
   
  505,000 
BB-/B1
Berry Petroleum Co., 10.25%, 6/1/14   
  516,362 
   
  100,000 
B-/B3
Comstock Resources, Inc., 7.75%, 4/1/19   
  106,500 
   
  500,000 
B-/B3
Comstock Resources, Inc., 9.5%, 6/15/20   
  565,000 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
       
Oil & Gas Exploration & Production (continued)
 
   
  515,000 
B+/B3
Energy XXI Gulf Coast, Inc., 7.5%, 12/15/21 (144A) 
$ 534,312 
   
  600,000 
B/B2
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20   
  690,000 
   
  304,967(g)
B/B3
EPE Holdings LLC / EP Energy Bond Co., Inc., 8.875%, 12/15/17 (144A) 
  315,580 
   
  920,000 
B-/B3
Forest Oil Corp., 7.5%, 9/15/20   
  906,200 
   
  360,000 
B/NR
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A) 
  370,800 
   
  570,000 
CCC+/B3
Gulfport Energy Corp., 7.75%, 11/1/20   
  612,750 
   
  165,000 
CCC+/Caa1
Halcon Resources Corp., 9.25%, 2/15/22 (144A) 
  166,237 
   
  890,000 
CCC+/Caa1
Halcon Resources Corp., 9.75%, 7/15/20   
  923,375 
   
  680,000 
B-/Caa1
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A) 
  690,200 
   
  220,000 
B-/Caa1
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21 (144A) 
  227,700 
   
  410,000 
B-/Caa1
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21   
  424,350 
   
  600,000 
B-/Caa1
Midstates Petroleum Co., Inc., 9.25%, 6/1/21   
  624,000 
   
  455,000 
B-/Caa1
Midstates Petroleum Co., Inc., 10.75%, 10/1/20   
  492,538 
   
  800,000 
B+/NR
MIE Holdings Corp., 9.75%, 5/12/16 (144A) 
  838,000 
   
  200,000 
NR/NR
National JSC Naftogaz of Ukraine, 9.5%, 9/30/14   
  190,000 
   
  1,440,000 
B-/Caa1
Northern Oil & Gas, Inc., 8.0%, 6/1/20   
  1,519,200 
   
  535,000 
B-/B3
PDC Energy, Inc., 7.75%, 10/15/22   
  576,463 
   
  750,000 
B/Caa1
PetroQuest Energy, Inc., 10.0%, 9/1/17   
  785,625 
   
  480,000 
B-/Caa1
QR Energy LP / QRE Finance Corp., 9.25%, 8/1/20   
  504,000 
   
  240,000 
CCC-/Caa3
Quicksilver Resources, Inc., 7.125%, 4/1/16   
  230,400 
   
  700,000 
B-/B3
Resolute Energy Corp., 8.5%, 5/1/20   
  731,500 
   
  870,000 
B-/B3
RKI Exploration & Production LLC / RKI Finance Corp., 8.5%, 8/1/21 (144A) 
  922,200 
   
  472,000 
BB-/B2
Rosetta Resources, Inc., 9.5%, 4/15/18   
  500,320 
   
  700,000 
CCC+/B3
Samson Investment Co., 10.5%, 2/15/20 (144A) 
  770,000 
   
  1,170,000 
CCC+/Caa1
Sanchez Energy Corp., 7.75%, 6/15/21 (144A) 
  1,208,025 
   
  335,000 
CCC+/Caa1
Talos Production LLC / Talos Production Finance, Inc., 9.75%, 2/15/18 (144A) 
  344,213 
 
CAD
  315,000 
B/NR
Trilogy Energy Corp., 7.25%, 12/13/19 (144A) 
  295,848 
         
$ 18,126,398 
       
Oil & Gas Storage & Transportation - 0.2%
 
   
  450,000(a)
NR/Ba1e
Energy Transfer Partners LP, 3.255%, 11/1/66   
$ 409,500 
           
       
Total Energy 
$ 24,888,745 
           
 
       
FOOD, BEVERAGE & TOBACCO - 7.4%
 
       
Agricultural Products - 1.1%
 
   
  900,000 
CCC+/Caa1
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A) 
$ 969,750 
   
  520,000 
B/B2
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A) 
  512,200 
   
  500,000 
B/NR
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A) 
  381,875 
         
$ 1,863,825 
       
Packaged Foods & Meats - 5.3%
 
   
  225,000 
B/B2
Agrokor DD, 8.875%, 2/1/20 (144A) 
$ 241,897 
 
EUR
  200,000 
B/B2
Agrokor DD, 9.875%, 5/1/19 (144A) 
  302,806 
   
  650,000 
BB/Ba3
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A) 
  715,000 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Packaged Foods & Meats (continued)
 
   
  500,000 
B+/B1
CFG Investment SAC, 9.75%, 7/30/19 (144A) 
 $ 489,500 
   
  297,000 
B/B1
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21 (144A) 
  320,389 
   
  491,000 
B+/B2
Corporacion Pesquera Inca SAC, 9.0%, 2/10/17 (144A) 
  482,407 
   
  1,100,000 
B/B3
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A) 
  1,160,500 
   
  224,421(c)(f)
NR/NR
Independencia International, Ltd., 12.0%, 12/30/16 (144A) 
  561 
   
  800,000 
B/B2
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A) 
  736,000 
   
  700,000 
B/B2
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A) 
  683,375 
   
  475,000 
B/B2
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A) 
  451,250 
   
  700,000 
B-/NR
MHP SA, 8.25%, 4/2/20 (144A) 
  577,640 
   
  1,600,000 
BB-/B1
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A) 
  1,556,000 
   
  200,000 
BB-/B1
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A) 
  222,000 
   
  600,000 
B+/B2
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A) 
  545,250 
   
  300,000 
BB-/B3
Pilgrim's Pride Corp., 7.875%, 12/15/18   
  325,125 
         
$ 8,809,700 
       
Tobacco - 1.0%
 
   
  1,645,000 
B-/Caa1
Alliance One International, Inc., 9.875%, 7/15/21   
$ 1,583,313 
           
       
Total Food, Beverage & Tobacco 
$ 12,256,838 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 2.5%
 
       
Health Care Equipment & Services - 1.2%
 
   
  915,000 
CCC+/Caa2
Accellent, Inc., 10.0%, 11/1/17   
$ 976,762 
   
  831,000 
B+/B2
Physio-Control International, Inc., 9.875%, 1/15/19 (144A) 
  931,759 
         
$ 1,908,521 
       
Health Care Facilities - 0.5%
 
   
  600,000 
B-/B3
Kindred Healthcare, Inc., 8.25%, 6/1/19   
$ 643,500 
   
  200,000 
CCC+/Caa1
United Surgical Partners International, 9.0%, 4/1/20   
  223,500 
         
$ 867,000 
       
Health Care Services - 0.3%
 
   
  476,000 
CCC+/Caa2
Gentiva Health Services, Inc., 11.5%, 9/1/18   
$ 500,990 
           
       
Health Care Supplies - 0.3%
 
   
  500,000 
B-/Caa2
Immucor, Inc., 11.125%, 8/15/19   
$ 561,875 
           
       
Health Care Technology - 0.2%
 
   
  275,000 
CCC+/Caa1
Emdeon, Inc., 11.0%, 12/31/19   
$ 316,594 
           
       
Total Health Care Equipment & Services 
$ 4,154,980 
           
 
       
HOUSEHOLD & PERSONAL PRODUCTS - 0.2%
 
       
Personal Products - 0.2%
 
   
  345,000 
CCC+/Caa1
Monitronics International, Inc., 9.125%, 4/1/20   
$ 367,425 
           
       
Total Household & Personal Products 
$ 367,425 
           
 
       
INFORMATION TECHNOLOGY - 0.2%
 
       
Internet Software & Services - 0.2%
 
   
  420,000(g)
NR/NR
First Data Holdings, Inc., 14.5%, 9/24/19 (144A) 
$ 388,500 
           
       
Total Information Technology 
$ 388,500 
           
 
       
INSURANCE - 24.1%
 
       
Insurance Brokers - 0.5%
 
 
GBP
  475,000 
NR/Caa2
Towergate Finance Plc, 10.5%, 2/15/19 (144A) 
$ 807,299 
           
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating             
 
Value
 
       
Multi-Line Insurance - 0.6%
 
   
  1,000,000(b)
BB/Baa3
Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A) 
$ 1,040,000 
       
Property & Casualty Insurance - 2.2%
 
   
  6,000,000(e)(f)(i)
BBB/NR
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A) 
$ 3,499,682 
   
  80,000(b)(d)
BB+/Ba2
White Mountains Insurance Group, Ltd., 7.506%, 5/29/49 
  83,060 
         
$ 3,582,742 
       
Reinsurance - 20.8%
 
 
EUR
  750,000(a)
BB/NR
ATLAS Reinsurance VII, 3.65%, 1/7/16 (144A) 
$ 1,034,260 
 
EUR
  500,000(a)
B-/NR
ATLAS VI Capital, Ltd., 10.548%, 4/7/14 (144A) 
  675,479 
   
  1,000,000(a)
BB+/NR
Bosphorus 1 Re, Ltd., 2.51%, 5/3/16 (144A) 
  999,400 
   
  750,000(a)
NR/NR
Combine Re, Ltd., 17.76%, 1/7/15 (144A) 
  814,575 
   
  500,000(a)
BB-/NR
Compass Re, Ltd., 10.26%, 1/8/15 (144A) 
  521,900 
   
  500,000(a)
B+/NR
Compass Re, Ltd., 11.26%, 1/8/15 (144A) 
  521,800 
   
  1,000,000(a)
BB+/NR
Foundation Re III, Ltd., 5.01%, 2/25/15   
  1,024,100 
   
  750,000(a)
BB/NR
Foundation Re III, Ltd., 5.76%, 2/3/14 (144A) 
  750,000 
   
  1,300,000(a)
B-/NR
Ibis Re II, Ltd., 13.51%, 2/5/15 (144A) 
  1,371,240 
   
  2,006,000(f)
NR/NR
Kane SAC, Ltd., 0.0%, 7/8/16   
  2,018,437 
   
  500,000(a)
BB+/NR
Kibou, Ltd., 5.26%, 2/16/15 (144A) 
  514,400 
   
  250,000(a)
NR/NR
Loma Reinsurance, Ltd., 12.01%, 1/8/18 (144A) 
  253,150 
   
  500,000(a)
NR/NR
Loma Reinsurance, Ltd., 17.01%, 1/8/18 (144A) 
  507,250 
   
  1,750,000(a)
BB-/NR
MetroCat Re, Ltd., 4.51%, 8/5/16 (144A) 
  1,793,750 
   
  975,000(a)
B-/NR
Mythen Re, Ltd., 11.779%, 11/10/16 (144A) 
  1,033,207 
   
  500,000(a)
B+/NR
Mythen Re, Ltd. Series 2012-2 Class A, 8.549%, 1/5/17 (144A) 
  528,850 
   
  1,500,000(a)
NR/B2
Mythen, Ltd., 11.032%, 5/7/15 (144A) 
  1,616,250 
   
  1,250,000(a)
NR/NR
Pelican Re, Ltd., 6.01%, 5/15/17 (144A) 
  1,276,250 
   
  1,200,000(a)
BB-/NR
Queen Street II Capital, Ltd., 7.51%, 4/9/14 (144A) 
  1,209,480 
   
  2,000,000(a)
BB-/NR
Queen Street IV Capital, Ltd., 7.51%, 4/9/15 (144A) 
  2,057,400 
   
  500,000(a)
B/NR
Queen Street VII Re, Ltd., 8.61%, 4/8/16 (144A) 
  522,200 
   
  1,250,000(a)
B-/NR
Residential Reinsurance 2011, Ltd., 12.01%, 6/6/15 (144A) 
  1,330,625 
   
  250,000(a)
NR/NR
Residential Reinsurance 2012, Ltd., 12.76%, 12/6/16 (144A) 
  272,700 
   
  1,250,000(a)
NR/NR
Residential Reinsurance 2012, Ltd., 19.01%, 12/6/16 (144A) 
  1,401,000 
   
  1,000,000(a)
NR/NR
Residential Reinsurance 2012, Ltd., 22.01%, 6/6/16 (144A) 
  1,184,200 
   
  500,000(a)
NR/NR
Residential Reinsurance 2013 Ltd., 20.01%, 12/6/17 (144A) 
  504,250 
   
  1,005,999(f)(h)
NR/NR
Sector Re V, Ltd., 0.0%, 12/1/17 (144A) 
  1,011,300 
   
  1,500,000(f)(h)
NR/NR
Sector Re V, Ltd., 0.0%, 3/1/18 (144A) 
  1,776,900 
   
  1,000,000(f)(h)
NR/NR
Silverton RE, Ltd., 0.0%, 9/16/16 (144A) 
  1,014,300 
   
  500,000(a)
NR/B2
Successor X, Ltd., 11.01%, 1/27/15 (144A) 
  520,150 
   
  1,500,000(a)
B-/NR
Successor X, Ltd., 11.26%, 11/10/15 (144A) 
  1,598,100 
   
  500,000(a)
NR/NR
Successor X, Ltd., 16.26%, 11/10/15 (144A) 
  523,250 
   
  1,000,000(a)
NR/NR
Successor X, Ltd., 16.51%, 1/27/15 (144A) 
  1,063,100 
   
  1,000,000(a)
B+/NR
Tar Heel Re, Ltd., 8.51%, 5/9/16 (144A) 
  1,077,900 
         
$ 34,321,153 
       
Total Insurance 
$ 39,751,194 
           
 
       
MATERIALS - 12.5%
 
       
Commodity Chemicals - 0.5%
 
   
  300,000 
BBB/WR
Basell Finance Co. BV, 8.1%, 3/15/27 (144A) 
$ 383,732 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating             
 
Value
 
       
Commodity Chemicals - (continued)
 
 
EUR
  250,000 
CCC/B3
KP Germany Erste GmbH, 11.625%, 7/15/17 (144A) 
  $ 384,421 
         
$ 768,153 
       
Construction Materials - 0.5%
 
   
  389,000 
B+/NR
Cemex Espana Luxembourg, 9.875%, 4/30/19 (144A) 
$ 437,625 
   
  100,000 
B+/NR
Cemex SAB de CV, 9.0%, 1/11/18 (144A) 
  108,000 
   
  300,000(d)
BB/NR
Magnesita Finance, Ltd., 8.625%, 4/29/49 (144A) 
  288,000 
         
$ 833,625 
       
Diversified Chemicals - 0.9%
 
 
EUR
  926,278 
B-/Caa1
INEOS Group Holdings SA, 7.875%, 2/15/16 (144A) 
$ 1,250,089 
   
  275,000 
CC/Caa2
Momentive Performance Materials, Inc., 9.0%, 1/15/21   
  249,562 
         
$ 1,499,651 
       
Diversified Metals & Mining - 1.8%
 
   
  590,000 
B/B3
Boart Longyear Management Pty, Ltd., 7.0%, 4/1/21 (144A) 
$ 443,975 
   
  330,000 
BB-/B1
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A) 
  344,850 
   
  300,000 
CCC/Caa2
Midwest Vanadium Pty., Ltd., 11.5%, 2/15/18 (144A) 
  246,000 
   
  146,667(f)(g)(i)
NR/NR
Mirabela Nickel, Ltd., 3.5%, 3/28/14 (144A) 
  143,000 
   
  650,000(c)(f)
D/WR
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A) 
  143,000 
   
  550,000 
CCC+/B3
Molycorp, Inc., 10.0%, 6/1/20   
  554,125 
   
  180,000 
B/Caa1
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A) 
  202,050 
   
  750,000 
BB/Ba3
Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 
  825,000 
         
$ 2,902,000 
       
Metal & Glass Containers - 0.7%
 
   
  625,015(g)
CCC+/Caa2
Ardagh Finance SA, 11.125%, 6/1/18 (144A) 
$ 667,203 
 
EUR
  250,000 
CCC+/Caa1
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A) 
  358,302 
   
  175,000 
CCC+/Caa1
BWAY Holdings Co., 10.0%, 6/15/18   
  189,000 
         
$ 1,214,505 
       
Paper Packaging - 1.7%
 
   
  606,510(e)
NR/NR
Bio Pappel SAB de CV, 10.0%, 8/27/16   
$ 608,784 
   
  580,000 
B-/NR
Exopack Holding Corp., 10.0%, 6/1/18 (144A) 
  632,200 
   
  500,000 
B-/Caa1
Pretium Packaging LLC / Pretium Finance, Inc., 11.5%, 4/1/16   
  533,750 
   
  500,000 
CCC+/Caa2
Reynolds Group Issuer, Inc., 9.0%, 4/15/19   
  533,125 
   
  475,000 
CCC+/Caa2
Reynolds Group Issuer, Inc., 9.875%, 8/15/19   
  524,875 
         
$ 2,832,734 
       
Paper Products - 1.8%
 
   
  675,000 
CCC+/B2
Appvion, Inc., 9.0%, 6/1/20 (144A) 
$ 693,563 
   
  186,000 
B+/B1
Grupo Papelero Scribe SA de CV, 8.875%, 4/7/20 (144A) 
  182,280 
   
  344,000 
B/B3
Mercer International, Inc., 9.5%, 12/1/17   
  374,960 
   
  840,000 
BB-/Ba3
Resolute Forest Products, Inc., 5.875%, 5/15/23 (144A) 
  802,200 
   
  545,000 
BB/Ba2
Sappi Papier Holding GmbH, 8.375%, 6/15/19 (144A) 
  602,225 
   
  255,000 
B-/Caa1
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A) 
  267,750 
         
$ 2,922,978 
       
Precious Metals & Minerals - 0.3%
 
   
  500,000 
BB-/Ba3
ALROSA Finance SA, 8.875%, 11/17/14 (144A) 
$ 527,350 
           
       
Steel - 4.3%
 
   
  750,000 
B-/Caa1
AM Castle & Co., 12.75%, 12/15/16   
$ 840,000 
   
  250,000 
B+/B3
APERAM, 7.375%, 4/1/16 (144A) 
  259,375 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating             
 
Value
 
       
Steel - (continued)
 
   
  315,000 
B/Caa1
Atkore International, Inc., 9.875%, 1/1/18   
 $ 339,412 
   
  450,000 
B/B3
Essar Steel Algoma, Inc., 9.375%, 3/15/15 (144A) 
  441,000 
   
  950,000 
CCC/Caa2
Essar Steel Algoma, Inc., 9.875%, 6/15/15 (144A) 
  665,000 
   
  250,000 
B+/B1
Evraz Group SA, 9.5%, 4/24/18 (144A) 
  269,063 
   
  900,000 
B-/Caa1
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A) 
  823,932 
   
  900,000 
NR/Caa1
Metinvest BV, 8.75%, 2/14/18 (144A) 
  823,500 
   
  600,000 
NR/Caa1
Metinvest BV, 10.25%, 5/20/15 (144A) 
  596,496 
   
  585,000 
B/B2
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A) 
  642,038 
   
  677,000 
B-/B3
Permian Holdings, Inc., 10.5%, 1/15/18 (144A) 
  670,230 
   
  750,000 
CCC+/NR
Ryerson, Inc., 9.0%, 10/15/17   
  811,875 
         
$ 7,181,921 
       
Total Materials 
$ 20,682,917 
           
 
       
MEDIA - 4.9%
 
       
Broadcasting - 2.3%
 
   
  400,000 
B-/Caa2
Intelsat Luxembourg SA, 7.75%, 6/1/21 (144A) 
$ 429,000 
 
EUR
  150,000 
B+/B1
Nara Cable Funding II, Ltd., 8.5%, 3/1/20 (144A) 
  239,761 
   
  200,000 
B+/B1
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 
  217,000 
   
  1,655,000 
B/B3
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A) 
  1,812,225 
   
  990,000 
CCC+/Caa1
Truven Health Analytics, Inc., 10.625%, 6/1/20   
  1,121,175 
         
$ 3,819,161 
       
Cable - 0.2%
 
 
EUR
  200,000 
B+/B1
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 
$ 292,420 
           
       
Movies & Entertainment - 1.7%
 
   
  1,710,000 
CCC+/Caa1
AMC Entertainment, Inc., 9.75%, 12/1/20   
$ 1,962,225 
   
  600,000 
B/B2
Gibson Brands, Inc., 8.875%, 8/1/18 (144A) 
  637,500 
   
  200,000 
CCC+/Caa1
Production Resource Group, Inc., 8.875%, 5/1/19   
  155,000 
         
$ 2,754,725 
       
Publishing - 0.7%
 
   
  855,000 
BB/Ba1
Gannett Co., Inc., 6.375%, 10/15/23 (144A) 
$ 876,375 
   
  245,000 
B/B3
Interactive Data Corp., 10.25%, 8/1/18   
  269,500 
         
$ 1,145,875 
       
Total Media 
$ 8,012,181 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.8%
 
       
Biotechnology - 0.8%
 
   
  300,000 
B/B3
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A) 
$ 333,750 
   
  1,043,000 
B-/Caa2
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17   
  964,775 
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 1,298,525 
           
 
       
REAL ESTATE - 0.4%
 
       
Diversified REIT's - 0.1%
 
   
  200,000 
B/Ba3
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19   
$ 207,500 
           
       
Real Estate Operating Companies - 0.3%
 
   
  410,000 
CCC+/NR
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A) 
$ 380,788 
           
       
Total Real Estate 
$ 588,288 
           
 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating             
 
Value
 
       
RETAILING - 0.6%
 
       
Department Stores - 0.6%
 
   
  625,000 
B/NR
Grupo Famsa SAB de CV, 7.25%, 6/1/20 (144A) 
$ 633,594 
   
  350,000 
CCC+/Caa2
Neiman Marcus Group, Inc., 8.0%, 10/15/21 (144A) 
  366,625 
       
Total Retailing 
$ 1,000,219 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.3%
 
       
Semiconductors - 0.3%
 
   
  500,000 
B/B2
Advanced Micro Devices, Inc., 7.5%, 8/15/22   
$ 482,500 
           
       
Total Semiconductors & Semiconductor Equipment 
$ 482,500 
           
 
       
SOFTWARE & SERVICES - 1.3%
 
       
Application Software - 0.3%
 
   
  415,000 
B-/B3
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18 (144A) 
$ 415,000 
           
       
Data Processing & Outsourced Services - 0.4%
 
   
  404,000 
B-/Caa1
First Data Corp., 8.25%, 1/15/21 (144A) 
$ 428,240 
   
  250,000 
B-/Caa1
First Data Corp., 10.625%, 6/15/21 (144A) 
  272,500 
         
$ 700,740 
       
Systems Software - 0.6%
 
   
  1,064,473(f)(g)
NR/NR
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A) 
$ 989,960 
           
       
Total Software & Services 
$ 2,105,700 
           
 
       
TELECOMMUNICATION SERVICES - 2.5%
 
       
Integrated Telecommunication Services - 0.7%
 
   
  388,000 
CCC+/Caa1
Cincinnati Bell, Inc., 8.75%, 3/15/18   
$ 406,430 
   
  300,000 
BB-/Ba2
Frontier Communications Corp., 8.75%, 4/15/22   
  327,375 
   
  350,000 
NR/WR
PAETEC Holding Corp., 9.875%, 12/1/18   
  386,750 
         
$ 1,120,555 
       
Wireless Telecommunication Services - 1.8%
 
   
  250,000 
B-/B3
Altice Finco SA, 8.125%, 1/15/24 (144A) 
$ 261,250 
   
  300,000 
NR/Caa1
Digicel Group, Ltd., 10.5%, 4/15/18 (144A) 
  318,900 
   
  750,000 
CCC-/Caa2
NII Capital Corp., 10.0%, 8/15/16   
  468,750 
   
  250,000 
NR/NR
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A) 
  240,547 
   
  1,115,000 
BB/Ba3
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A) 
  1,278,069 
 
RUB
  14,400,000 
BB/Ba3
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A) 
  401,251 
         
$ 2,968,767 
       
Total Telecommunication Services 
$ 4,089,322 
           
 
       
TRANSPORTATION - 3.4%
 
       
Airlines - 0.9%
 
   
  1,000,000 
B-/NR
Gol Finance, 9.25%, 7/20/20 (144A) 
$ 917,500 
   
  500,000 
BB-/NR
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A) 
  516,875 
         
$ 1,434,375 
       
Airport Services - 0.6%
 
   
  584,320 
CCC+/B3
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A) 
$ 552,182 
   
  650,000 
B+/Ba3
Aeropuertos Dominicanos Siglo XXI SA, 9.25%, 11/13/19 (144A) 
  513,500 
         
$ 1,065,682 
       
Highways & Railtracks - 0.2%
 
 
MXN
  4,500,000 
BBB/NR
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A) 
$ 295,293 
           
       
Marine - 0.6%
 
   
  500,000 
BB-/NR
Far East Capital, Ltd. SA, 8.0%, 5/2/18 (144A) 
$ 446,250 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating         
 
Value
 
       
Marine(continued)
 
   
  525,000 
B+/B3
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc., 9.25%, 4/15/19   
 $ 562,406 
         
$ 1,008,656 
       
Railroads - 0.2%
 
   
  310,254(g)
CCC/Caa3
Florida East Coast Holdings Corp., 10.5%, 8/1/17   
$ 318,786 
       
Trucking - 0.9%
 
   
  1,000,000 
B-/B2
Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A) 
$ 1,092,500 
   
  425,000 
B+/B3
Swift Services Holdings, Inc., 10.0%, 11/15/18   
  468,563 
         
$ 1,561,063 
       
Total Transportation 
$ 5,683,855 
           
 
       
UTILITIES - 2.0%
 
       
Electric Utilities - 1.3%
 
   
  750,000 
CCC/NR
Cia de Energia Electrica en Alta Tension Transener SA, 9.75%, 8/15/21 (144A) 
$ 471,563 
   
  625,000 
NR/Caa1
DTEK Finance Plc, 7.875%, 4/4/18 (144A) 
  554,688 
   
  419,000 
NR/Caa3
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A) 
  250,876 
   
  460,000(b)
BB+/Ba1
Enel SpA, 8.75%, 9/24/73 (144A) 
  499,100 
   
  225,000 
BBB-/Baa3
PNM Resources, Inc., 9.25%, 5/15/15   
  248,627 
   
  240,000 
CCC-/Caa3
Texas Competitive Electric Holdings Co., LLC / TCEH Finance, Inc., 11.5%, 10/1/20 (144A) 
  177,000 
         
$ 2,201,854 
       
Gas Utilities - 0.7%
 
   
  1,135,000 
CCC+/B3
Transportadora de Gas del Sur SA, 7.875%, 5/14/17 (144A) 
$ 1,055,550 
           
       
Total Utilities 
$ 3,257,404 
           
       
TOTAL CORPORATE BONDS & NOTES
 
       
(Cost  $157,690,550)
$ 159,202,733 
 
       
CONVERTIBLE BONDS & NOTES -  2.7% of Net Assets
 
 
       
DIVERSIFIED FINANCIALS - 0.1%
 
       
Asset Management & Custody Banks - 0.1%
 
   
  120,000 
BBB/NR
Apollo Investment Corp., 5.75%, 1/15/16   
$ 127,200 
           
       
Total Diversified Financials 
$ 127,200 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 1.0%
 
       
Health Care Equipment & Services - 0.7%
 
   
  1,040,000(e)
B+/NR
Hologic, Inc., 2.0%, 12/15/37   
$ 1,183,650 
           
       
Health Care Facilities - 0.3%
 
   
  405,000 
B/NR
LifePoint Hospitals, Inc., 3.5%, 5/15/14   
$ 431,578 
           
       
Health Care Services - 0.0%
 
   
  15,000 
B+/B2
Omnicare, Inc., 3.25%, 12/15/35   
$ 16,069 
           
       
Total Health Care Equipment & Services 
$ 1,631,297 
           
 
       
MATERIALS - 1.0%
 
       
Diversified Chemicals - 1.0%
 
   
  1,900,000(j)
B+/NR
Hercules, Inc., 6.5%, 6/30/29   
$ 1,603,125 
           
       
Diversified Metals & Mining - 0.0%
 
   
  100,000 
BB/NR
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16   
$ 100,450 
           
       
Total Materials 
$ 1,703,575 
           
 
       
MEDIA - 0.4%
 
       
Movies & Entertainment - 0.4%
 
   
  659,000 
B/NR
Live Nation Entertainment, Inc., 2.875%, 7/15/27   
$ 670,533 
           
       
Total Media 
$ 670,533 
           
 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating             
 
Value
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.1%
 
       
Biotechnology - 0.1%
 
   
  250,000 
NR/NR
Corsicanto, Ltd., 3.5%, 1/15/32   
$ 169,062 
           
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 169,062 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1%
 
       
Semiconductors - 0.1%
 
   
  250,000 
NR/NR
ReneSola, Ltd., 4.125%, 3/15/18 (144A) 
$ 196,406 
           
       
Total Semiconductors & Semiconductor Equipment 
$ 196,406 
           
       
TOTAL CONVERTIBLE BONDS & NOTES
 
       
(Cost  $3,659,122)
$ 4,498,073 
       
SOVEREIGN DEBT OBLIGATIONS -  2.1% of Net Assets
 
       
Argentina - 0.2%
 
   
  388,240 
CCC+/NR
Province of Salta Argentina, 9.5%, 3/16/22 (144A) 
$ 364,946 
           
       
Brazil - 0.2%
 
 
BRL
  750,000 
BBB/Baa2
Brazilian Government International Bond, 10.25%, 1/10/28   
$ 295,300 
           
       
Ghana - 0.6%
 
 
GHS
  600,000 
NR/NR
Ghana Government Bond, 19.24%, 5/30/16   
$ 249,759 
 
GHS
  300,000 
NR/NR
Ghana Government Bond, 21.0%, 10/26/15   
  128,493 
 
GHS
  150,000 
NR/NR
Ghana Government Bond, 26.0%, 6/5/17   
  72,370 
   
  500,000 
B/B1
Republic of Ghana, 7.875%, 8/7/23 (144A) 
  465,000 
         
$ 915,622 
       
Mexico - 0.4%
 
 
MXN
  500,000 
A/Baa1
Mexican Bonos, 7.5%, 6/3/27   
$ 39,030 
 
MXN
  8,870,000 
A/Baa1
Mexican Bonos, 7.75%, 11/13/42   
  664,457 
 
MXN
  306,154 
A/Baa1
Mexican Udibonos, 3.5%, 12/14/17   
  24,688 
         
  728,175 
       
Nigeria - 0.7%
 
 
NGN
  79,000,000 
NR/NR
Nigeria Government Bond, 16.0%, 6/29/19
$ 526,472 
 
NGN
  7,970,000 
NR/NR
Nigeria Treasury Bill, 11.814%, 4/24/14   
  47,749 
 
NGN
  57,000,000(h)
NR/NR
Nigeria Treasury Bill, 11.852%, 2/6/14   
  350,317 
 
NGN
  28,000,000(h)
NR/NR
Nigeria Treasury Bill, 12.017%, 4/10/14   
  168,534 
         
  1,093,072 
       
Ukraine - 0.0%
 
   
  100,000 
CCC+/Caa1
Ukraine Government International Bond, 6.75%, 11/14/17 (144A) 
$ 86,375 
           
       
TOTAL SOVEREIGN DEBT OBLIGATIONS
 
       
(Cost  $3,876,235)
$ 3,483,490 
           
           
   
Shares
   
Value
 
 
       
COMMON STOCKS -  0.7% of Net Assets
 
 
       
DIVERSIFIED FINANCIALS - 0.0%
 
       
Other Diversified Financial Services - 0.0%
 
   
  731(k)
 
BTA Bank JSC (G.D.R.) (144A)
$ 470 
           
       
Total Diversified Financials 
$ 470 
           
 
       
SOFTWARE & SERVICES - 0.0%
 
       
Systems Software - 0.0%
 
   
  2,114(f)(k)
 
Perseus Holding Corp.
$ 5,285 
           
       
Total Software & Services 
$ 5,285 
           
 
       
TRANSPORTATION - 0.7%
 
       
Air Freight & Logistics - 0.6%
 
   
  943(k)
 
CEVA Holdings LLC
$ 943,310 
           
           

   
Shares
   
Value
 
       
Marine - 0.1%
 
   
  247,509(f)(k)
 
Horizon Lines, Inc., Class A
$ 173,256 
           
       
Total Transportation 
$ 1,116,566 
           
       
TOTAL COMMON STOCKS
 
       
(Cost  $1,555,677)
$ 1,122,321 
       
CONVERTIBLE PREFERRED STOCKS -  0.4% of Net Assets
 
 
       
DIVERSIFIED FINANCIALS - 0.3%
 
       
Other Diversified Financial Services - 0.3%
 
   
  470(d)
 
Bank of America Corp., 7.25 
$ 525,747 
           
       
Total Diversified Financials 
$ 525,747 
           
 
       
ENERGY - 0.1%
 
       
Oil & Gas Exploration & Production - 0.1%
 
   
  200(d)(k)
 
Halcon Resources Corp., 5.75 
$ 141,675 
           
       
Total Energy 
$ 141,675 
           
       
TOTAL CONVERTIBLE PREFERRED STOCKS
 
       
(Cost  $524,900)
$ 667,422 
           
 
       
PREFERRED STOCKS -  4.6% of Net Assets
 
 
       
Banks - 0.4%
 
       
Diversified Banks - 0.4%
 
   
  500(b)(d)
 
AgStar Financial Services ACA, 6.75 (144A)
$ 496,375 
           
       
Total Banks 
$ 496,375 
           
 
       
DIVERSIFIED FINANCIALS - 0.7%
 
       
Other Diversified Financial Services - 0.7%
 
   
  40,675(b)
 
GMAC Capital Trust I, 8.125 
$ 1,113,681 
           
       
Total Diversified Financials 
$ 1,113,681 
           
 
       
INSURANCE - 3.5%
 
       
Reinsurance - 3.5%
 
   
  899,973(f)(k)
 
Altair Re
$ 990,871 
   
  1,500,000(k)
 
Altair Re II, Ltd.
  1,508,850 
   
  15,000(k)
 
Lorenz Re, Ltd.
  1,689,300 
   
  1,500,000(k)
 
Pangaea Re
  1,626,570 
       
Total Insurance 
$ 5,815,591 
           
 
       
SOFTWARE & SERVICES - 0.0%
 
       
Data Processing & Outsourced Services - 0.0%
 
   
  1,110(f)(k)
 
Perseus Holding Corp., 14.0% (144A) 
$ 91,020 
           
           
       
TOTAL PREFERRED STOCKS
 
       
(Cost  $5,333,969)
$ 7,516,667 
           
 
       
RIGHT/WARRANT -  0.0% of Net Assets
 
 
       
AUTOMOBILES & COMPONENTS - 0.0%
 
       
Auto Parts & Equipment - 0.0%
 
   
  86(k)
 
Lear Corp., Expires 11/9/14   
$ 12,529 
           
       
Total Automobiles & Components 
$ 12,529 
           
       
TOTAL RIGHT/WARRANT
 
       
(Cost  $4,645)
$ 12,529 
           
 
 
       
PURCHASED OPTIONS -  0.0%
 
 
   
  672,138 
 
U.S. Dollar versus Turkish lira
$ 5,535 
       
TOTAL PURCHASED OPTIONS
 
       
(Cost  $11,073)
$ 5,535 
           
       
TOTAL INVESTMENTS IN SECURITIES - 135.8%
 
       
(Cost - $221,986,140)
$ 224,229,228 
 
 
       
WRITTEN PUT OPTIONS -  0.0%
 
 
   
  (672,138)
 
U.S. Dollar versus Turkish lira
$ (18,722)
       
TOTAL WRITTEN PUT OPTIONS
 
       
(Premiums received  $(11,073))
$ (18,722)
           
       
OTHER ASSETS AND LIABILITIES - (35.8)%
$ (59,040,428)
       
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
$ 165,170,078 
 
 
 

 Amount rounds less than 0.1%
NR
 
Security not rated by S&P or Moody's.
WR
 
Rating withdrawn by either S&P or Moody's.
(144A)
 
Security is exempt from registration under Rule 144A of the Securities Act of 1933.  Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At January 31, 2014, the value of these securities amounted to $116,228,303, or 70.4% of total net assets applicable to common shareowners.
 

 *
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending plus a premium.  These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit or (iv) other base lending rates used by commercial lenders.  The interest rate shown is the rate accruing at January 31, 2014.
(a)
Floating rate note.  The rate shown is the coupon rate at January 31, 2014.
(b)
The interest rate is subject to change periodically. The interest is shown is the rate at January 31, 2014.
(c)
Security is in default and is non income producing.
(d)
Security is perpetual in nature and has no stated maturity date.
(e)
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date.  The rate shown is the rate at January 31, 2014.
(f)
Indicates a security that has been deemed as illiquid.  As of January 31, 2014 the aggregate cost of illiquid securities in the Trust's portfolio was $19,301,093.  As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $16,823,712 represented 10.2% of total net assets applicable to common shareowners.
(g)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
(h)
Security issued with a zero coupon.  Income is recognized through accretion of discount.
(i)
Security is valued using fair value methods (other than prices supplied by independent pricing services).  
(j)
Security is priced as a unit.
(k)
Non-income producing.

(l)
At January 31, 2014, the net unrealized appreciation on investments based on cost for federal tax purposes of $224,090,563 was as follows:
 
   
 
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost
$ 11,954,325 
 
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value
  (11,815,660)
   
 
Net unrealized appreciation
$ 138,665 
     
For financial reporting purposes net unrealized appreciation on investments was $2,243,088 and cost of investments aggregated $221,986,140.
 
 
The Trust had the following bridge loan commitment outstanding as of January 31, 2014:
Borrower
Par
Cost
Value
Unrealized
Gain and /(Loss)
JLL/Delta Patheon Holdings
$1,250,000
$1,250,000
$1,250,000
$-

(m)
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
 
 
United States
62.2
%
 
Cayman Islands
8.2
 
 
Bermuda
4.4
 
 
Luxembourg
4.3
 
 
Ireland
3.3
 
 
Argentina
2.2
 
 
United Kingdom
1.9
 
 
Netherlands
1.8
 
 
Canada
1.6
 
 
Mexico
1.6
 
 
Brazil
1.2
 
 
Other (individually less than 1%)
7.3
 
   
100.0
%
 



 

 
Pioneer Diversified High Income Trust | NQ|1/31/14

 
 

 

Glossary of Terms:
(G.D.R.) Global Depositary Receipt

Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
BRL
-
Brazilian Real
CAD
-
Canadian Dollar
EUR
-
Euro
GBP
-
Great British Pound
GHS
-
Ghanaian Cedis
MXN
-
Mexican Peso
NGN
-
Nigeria Naira
     
 

Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
 
   
Level 1 - quoted prices in active markets for identical securities.
 
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds
 
credit risks, etc.).
 
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
 
   
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2, and securities valued using fair value methods (other than prices supplied by independent pricing services) as level 3.
 
   
The following is a summary of the inputs used as of January 31, 2014, in valuing the Trust's investments.
 
   
                         
   
Level 1
   
Level 2
   
Level 3
   
Total
 
   
                         
                         
Asset Backed Securities
  $     $ 3,496,511     $     $ 3,496,511  
                                 
                                 
Collateralized Mortgage Obligations
          3,986,310             3,986,310  
                                 
                                 
Commercial Mortgage-Backed Securities
          731,072             731,072  
                                 
                                 
Senior Secured Floating Rate Loan Interests
          39,506,565             39,506,565  
                                 
Corporate Bonds & Notes
                               
                                 
Diversified Metals & Mining
          2,759,000       143,000       2,902,000  
Reinsurance
          29,514,516       4,806,637       34,321,153  
Property & Casualty Insurance
          83,060       3,499,682       3,582,742  
    All Other
          118,396,838             118,396,838  
                                 
                                 
Convertible Bonds & Notes
          4,498,073             4,498,073  
                                 
                                 
Sovereign Debt Obligations
          3,483,490             3,483,490  
                                 
Common Stocks
                               
                                 
Air Freight & Logistics
          943,310             943,310  
Systems Software
          5,285             5,285  
    All Other
    173,726                   173,726  
                                 
Convertible Preferred Stocks
                               
                                 
Oil & Gas Exploration & Production
          141,675             141,675  
    All Other
    525,747                   525,747  
                                 
Preferred Stocks
                               
                                 
Reinsurance
                5,815,591       5,815,591  
Diversified Banks
          496,375             496,375  
Data Processing & Outsourced Services
          91,020             91,020  
    All Other
    1,113,681                   1,113,681  
                                 
                                 
Right/Warrant:
    12,529                   12,529  
Purchased Options
    5,535                   5,535  
Total Investments in Securities
  $ 1,831,218     $ 208,133,100     $ 14,264,910     $ 224,229,228  
Other Financial Instruments
                               
Written Put Option
  $ (18,722 )   $     $     $ (18,722 )
Forward Foreign Currency Contracts
          (29,155 )           (29,155 )
Total Other Financial Instruments
  $ (18,722 )   $ (29,155 )   $     $ (42,877 )
   
 
 







The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
 
   
Balance
as of
4/30/13
   
Realized
gain (loss)
   
Change in
Unrealized appreciation
(depreciation)
   
Purchases
   
Sales
   
Accrued
discounts/ premiums
   
Transfers in to 
Level 3*
   
Transfers out of
Level 3*
   
Balance
as of
1/31/14
 
   
                                                       
                                                       
                                                       
                                                       
                                                       
Corporate Bonds & Notes
                                                     
Diversified Metals & Mining
  $     $     $ (3,667 )   $ 146,667     $     $     $     $     $ 143,000  
Property & Casualty Insurance
    3,754,107             (254,425 )                                   3,499,682  
Reinsurance
    2,588,700       5,999       205,938       3,006,000       (1,000,000 )                       4,806,637  
                                                                         
                                                                         
                                                                         
                                                                         
                                                                         
Preferred Stocks
                                                                       
Reinsurance
    3,509,600             411,268       2,994,750       (1,100,027 )                       5,815,591  
                                                                         
Total
  $ 9,852,407     $ 5,999     $ 359,114     $ 6,147,417     $ (2,100,027 )   $     $     $     $ 14,264,910  
       
*  Transfers are calculated on the beginning of period value
** Lorenz Re was a common stock at 4/30/13.
 
Net change in unrealized appreciation of Level 3 investments still held and considered
Level 3 at 01/31/14: $438,393.
 
   
As of January 31, 2014, outstanding forward foreign currency contracts were as follows:
Currency
Contracts to
Receive/(Deliver)
In Exchange
for USD
Settlement
Date
Value
Net
Unrealized
appreciation
/(depreciation)
           
BRL
550,000
$229,837
03/17/14
$ 225,532 
$ (4,305)
EUR
(800,000)
 (1,104,432)
04/24/14
  (1,079,079)
  25,353 
EUR
(4,729,308)
 (6,349,075)
04/25/14
  (6,379,129)
  (30,055)
GBP
(459,062)
 (737,467)
02/06/14
  (754,457)
  (16,989)
PHP
46,000,000
 1,016,687
02/18/14
  1,013,528 
  (3,159)
Total
       
  $(29,155)
 


ITEM 2. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. (b) Disclose any change in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. There were no significant changes in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below: CERTIFICATIONS I, [identify the certifying individual], certify that: 1. I have reviewed this report on Form N-Q of [identify registrant]; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and 5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. Date: [Signature] [Title] Filed herewith. <PAGE> SIGNATURES [See General Instruction F] 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) Pioneer Pioneer Diversified High Income Trust By (Signature and Title)* /s/ Daniel K. Kingsbury ----------------------- Daniel K. Kingsbury, President Date April 1, 2014 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 (Signature and Title)* /s/ Daniel K. Kingsbury ----------------------- Daniel K. Kingsbury, President Date April 1, 2014 By (Signature and Title)* /s/ Mark Bradley ----------------- Mark Bradley, Treasurer Date April 1, 2014 * Print the name and title of each signing officer under his or her signature.