hnwsoi.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:  July 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
Schedule of Investments | 7/31/14 (unaudited)



   
Principal
Amount
USD ($)
S&P/Moody's
Rating            
 
Value
 
 
       
ASSET BACKED SECURITIES -  1.8% of Net Assets
 
   
  770,545(a)
CCC-/Caa3
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.632%, 5/15/24 (144A) 
$ 300,513 
   
  81,268 
BBB-/Ba2
Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 3/15/17   
  89,038 
   
  250,000 
BBB/Ba1
Delta Air Lines Pass Through Trust, Series 2010-1, Class B, 6.375%, 1/2/16 (144A) 
  265,000 
   
  290,000(b)
NR/NR
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A) 
  276,577 
   
  764,994 
NR/NR
Monty Parent Issuer LLC, Series 2013-LTR, 4.25%, 11/20/28   
  765,920 
   
  940,000 
NR/Ba2
Nations Equipment Finance Funding I LLC, Series 2013-1A, Class C, 5.5%, 5/20/21 (144A) 
  948,930 
   
  104,249 
BB/NR
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A) 
  107,838 
   
  262,726 
NR/NR
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A) 
  266,903 
       
TOTAL ASSET BACKED SECURITIES
 
       
(Cost  $3,065,607)
$ 3,020,719 
 
       
COLLATERALIZED MORTGAGE OBLIGATIONS -  2.4% of Net Assets
 
   
  275,000(c)
NR/NR
CAM Mortgage Trust, Series 2014-1, Class M, 5.5%, 12/15/53 (144A) 
$ 274,599 
   
  621,091(a)
CCC/Caa2
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A2, 0.355%, 2/25/37   
  563,709 
   
  200,000(b)
B-/Ba2
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C4, Class E, 5.135%, 10/15/39 (144A) 
  178,909 
   
  125,000(a)
NR/NR
EQTY Mezzanine Trust, Series 2014-INMZ, Class M, 4.904%, 5/8/31 (144A) 
  125,234 
   
  170,000(a)
BB-/NR
EQTY Mortgage Trust, Series 2014-INNS, Class E, 3.604%, 5/8/31 (144A) 
  170,081 
   
  110,679 
B-/Ba3
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A) 
  106,532 
   
  187,545 
CCC/Caa3
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32   
  142,593 
   
  189,548 
NR/NR
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A) 
  185,587 
   
  771,068(a)
B/Ba3
Impac CMB Trust, Series 2004-9, Class 1A1, 0.915%, 1/25/35   
  703,627 
   
  150,000 
B/B3
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45   
  153,395 
   
  150,000(a)
BB/NR
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-FL3, Class E, 3.048%, 4/15/28 (144A) 
  151,009 
   
  300,000(b)
NR/B1
LB-UBS Commercial Mortgage Trust, Series 2005-C2, Class C, 5.203%, 4/15/40   
  307,755 
   
  556,571(b)
BB/NR
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41   
  572,573 
   
  400,000(b)
B/B1
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class AJ, 5.966%, 5/15/46   
  419,790 
       
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 
       
(Cost  $3,996,597)
$ 4,055,393 
 
       
COMMERCIAL MORTGAGE-BACKED SECURITIES -  0.4% of Net Assets
 
   
  150,000(b)
NR/Baa2
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41   
$ 151,291 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating  (unaudited)            
 
Value
 
   
  250,000(b)
NR/Baa3
COMM 2012-CCRE2 Mortgage Trust, Series 2012-CR2, Class E, 4.858%, 8/15/45 (144A) 
  249,456 
   
  200,000(a)
BB-/NR
COMM 2013-FL3 Mortgage Trust, Series 2013-FL3, Class RGC2, 4.402%, 10/13/28 (144A) 
  200,234 
   
  150,600(a)
NR/Ba1
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-FL2A, Class G, 0.512%, 11/15/18 (144A) 
  142,016 
       
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
 
       
(Cost  $690,332)
$ 742,997 
 
       
SENIOR SECURED FLOATING RATE LOAN INTERESTS -  21.0% of Net Assets *
 
 
       
AUTOMOBILES & COMPONENTS - 2.3%
 
       
Auto Parts & Equipment - 1.1%
 
   
  187,873 
B/B1
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21   
$ 188,014 
   
  243,245 
B+/B1
Metaldyne LLC, USD Term Loan, 4.25%, 12/18/18   
  244,563 
   
  279,327 
BB-/B1
TI Group Automotive Systems LLC, Facility Term Loan, 4.25%, 7/2/21   
  279,938 
   
  967,799 
B+/B2
Tower Automotive Holdings USA, LLC, Refinancing Term Loan, 4.0%, 4/23/20   
  964,775 
   
  139,925 
B/Ba3
UCI International, Inc., (United Components), Term Loan, 5.5%, 7/26/17   
  140,391 
         
$ 1,817,681 
       
Automobile Manufacturers - 0.9%
 
   
  1,455,000 
BB+/Ba1
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17   
$ 1,457,267 
       
Tires & Rubber - 0.3%
 
   
  575,000 
BB/Ba1
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19   
$ 580,031 
       
Total Automobiles & Components 
$ 3,854,979 
           
 
       
CAPITAL GOODS - 2.6%
 
       
Aerospace & Defense - 1.1%
 
   
  824,732 
B/B3
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 5.0%, 11/2/18   
$ 832,468 
   
  373,879 
B/B2
DAE Aviation Holdings, Inc., Tranche B-2 Loan, 5.0%, 11/2/18   
  376,099 
   
  167,333 
B-/Caa1
Hunter Defense Technologies, Inc., Term Loan, 3.48%, 8/22/14   
  161,058 
   
  133,603 
B+/B1
TASC, Inc., First Lien Term Loan, 6.5%, 5/22/20   
  130,931 
   
  320,000 
NR/NR
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21   
  323,500 
         
$ 1,824,056 
       
Construction & Farm Machinery & Heavy Trucks - 0.5%
 
   
  390,000 
B/Ba3
Navistar, Inc., Tranche B, Term Loan, 5.75%, 8/17/17   
$ 394,631 
   
  449,982 
B+/B2
Waupaca Foundry, Inc., Term Loan, 4.0%, 6/29/17   
  450,967 
         
$ 845,598 
       
Electrical Components & Equipment - 0.6%
 
   
  400,000 
B+/B1
Grede Holdings LLC, Initial Term Loan, 4.75%, 6/2/21   
$ 402,167 
   
  549,857 
BB+/Ba2
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17   
  554,897 
         
$ 957,064 
       
Trading Companies & Distributors - 0.4%
 
   
  401,389 
BBB/Ba2
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18   
$ 401,891 
   
  284,593 
B+/Ba3
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19   
  285,305 
         
$ 687,196 
       
Total Capital Goods 
$ 4,313,914 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
COMMERCIAL & PROFESSIONAL SERVICES - 0.3%
 
       
Research & Consulting Services - 0.2%
 
   
  300,000 
CCC+/Caa1
Sourcehov, LLC, Second Lien Term Loan, 8.75%, 4/30/19   
$ 304,500 
       
Security & Alarm Services - 0.1%
 
   
  203,747 
B+/B1
Protection One, Inc., 2012 Term Loan, 4.25%, 3/21/19   
$ 203,874 
       
Total Commercial & Professional Services 
$ 508,374 
           
 
       
CONSUMER DISCRETIONARY - 1.2%
 
       
Automobiles & Components - 0.4%
 
   
  691,250 
B+/B2
CWGS Group LLC, Term Loan, 5.75%, 2/20/20   
$ 698,163 
       
Education Services - 0.6%
 
   
  945,250 
B+/B2
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19   
$ 955,293 
       
Leisure Facilities - 0.1%
 
   
  132,787 
B/B1
Fitness International LLC, Term B Loan, 5.5%, 7/1/20   
$ 132,372 
       
Publishing - 0.1%
 
   
  163,260 
B-/B3
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19   
$ 166,117 
       
Total Consumer Discretionary 
$ 1,951,945 
           
 
       
CONSUMER DURABLES & APPAREL - 0.1%
 
       
Textiles - 0.1%
 
   
  109,069 
NR/NR
Klockner Pentaplast of America, Inc., Term Loan B-1, 4.75%, 12/21/16   
$ 109,751 
           
       
Total Consumer Durables & Apparel 
$ 109,751 
           
 
       
CONSUMER SERVICES - 1.0%
 
       
Hotels, Resorts & Cruise Lines - 0.4%
 
   
  733,428 
BB-/B2
Seven Sea Cruises S. DE R.L., Term B2 Loan, 3.75%, 12/21/18   
$ 732,970 
       
Restaurants - 0.6%
 
   
  453,870 
B+/Ba3
Landry's, Inc., (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18   
$ 455,458 
   
  542,513 
B/Ba3
NPC International, Inc., Term Loan, 4.0%, 12/28/18   
  542,400 
         
$ 997,858 
       
Total Consumer Services 
$ 1,730,828 
           
 
       
CONSUMER STAPLES - 0.0%
 
       
Personal Products - 0.0%
 
   
  100,000 
CCC+/Caa2
Altrium Innovations, Inc., Second Lien Term Loan, 7.75%, 8/13/21   
$ 99,562 
           
       
Total Consumer Staples 
$ 99,562 
           
 
       
ENERGY - 1.9%
 
       
Coal & Consumable Fuels - 0.1%
 
   
  352,500 
CC/Ca
PT Bumi Resources Tbk, Term Loan, 18.156%, 11/7/14   
$ 211,500 
       
Integrated Oil & Gas - 0.3%
 
   
  500,000 
NR/NR
Chief Exploration & Development, LLC, Second Lien Term Loan, 7.5%, 5/16/21   
$ 507,500 
       
Oil & Gas Drilling - 0.5%
 
   
  444,680 
B/B3
Jonah Energy LLC, Initial Second Lien Term Loan, 7.5%, 5/12/21   
$ 446,903 
   
  299,242 
B-/B3
Offshore Group Investment, Ltd., (Vantage Drilling Co.), Second Term Loan, 5.75%, 3/28/19   
  298,432 
         
$ 745,335 
       
Oil & Gas Equipment & Services - 0.2%
 
   
  299,248 
B+/B3
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20   
$ 300,994 
       
Oil & Gas Exploration & Production - 0.8%
 
   
  685,000 
B-/B2
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20   
$ 702,767 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Oil & Gas Exploration & Production (continued)
 
   
  650,000 
B/B1
Samson Investment Co., Second Lien Term Loan, 5.0%, 9/25/18   
  649,304 
         
$ 1,352,071 
       
Total Energy 
$ 3,117,400 
           
 
       
FOOD, BEVERAGE & TOBACCO - 0.7%
 
       
Packaged Foods & Meats - 0.7%
 
   
  153,486 
B/B2
Del Monte Corp., Initial Term Loan, 3.5%, 3/9/20   
$ 151,695 
   
  937,650 
B-/NR
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20   
  969,296 
       
Total Food, Beverage & Tobacco 
$ 1,120,991 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 3.5%
 
       
Health Care Equipment & Services - 0.4%
 
   
  366,000 
CCC+/Caa2
Accellent, Inc., Initial Second Lien Term Loan, 7.5%, 3/11/22   
$ 363,102 
   
  238,927 
BB-/Ba3
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.0%, 5/4/18   
  239,183 
         
$ 602,285 
       
Health Care Facilities - 0.9%
 
   
  267,100 
BB/Ba2
CHS/Community Health Systems, Inc., Term D Loan, 3.478%, 1/25/17   
$ 267,620 
   
  711,897 
BB/Ba2
CHS/Community Health Systems, Inc.,Term B Loan, 4.25%, 1/27/21   
  714,566 
   
  196,555 
BB/NR
HCA, Inc., Tranche B-5 Term Loan, 2.905%, 3/31/17   
  196,923 
   
  321,756 
B+/B1
Kindred Healthcare, Inc., Incremental Term Loan, 4.0%, 4/9/21   
  321,455 
         
$ 1,500,564 
       
Health Care Services - 1.7%
 
   
  374,931 
B+/B3
AccentCare, Inc., Term Loan, 6.5%, 12/22/16   
$ 271,825 
   
  208,835 
B/B2
Bioscrip, Inc., Delayed Term Loan, 6.5%, 7/31/20   
  211,706 
   
  348,058 
B/B2
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20   
  352,844 
   
  716,201 
B/B2
Gentiva Health Services, Inc., Initial Term Loan B, 6.5%, 10/18/19   
  717,875 
   
  204,488 
B/B1
National Mentor Holdings, Inc., Tranche B Term Loan, 4.75%, 1/31/21   
  205,425 
   
  460,350 
B/NR
Surgical Care Affiliates LLC, Class C Term Loan, 4.0%, 6/29/18   
  460,062 
   
  283,225 
B-/B2
Valitas Health Services, Inc., Term Loan B, 6.0%, 6/2/17   
  272,250 
   
  485,000(d)
NR/B3
Virtual Radiologic Corp., Term Loan B, 7.25%, 12/22/16   
  358,093 
         
$ 2,850,080 
       
Health Care Supplies - 0.1%
 
   
  237,066 
B+/NR
Alere, Inc., Term Loan B, 5.5%, 6/30/17   
$ 237,866 
       
Health Care Technology - 0.4%
 
   
  240,051 
BB-/Ba3
IMS Health, Inc., Tranche B-1 Dollar Term Loan, 3.5%, 3/17/21   
$ 238,823 
   
  337,548 
CCC/Caa3
Medical Card System, Inc., Term Loan, 0.0%, 9/17/15   
  332,485 
         
$ 571,308 
       
Total Health Care Equipment & Services 
$ 5,762,103 
           
 
       
HOUSEHOLD & PERSONAL PRODUCTS - 0.7%
 
       
Household Products - 0.4%
 
   
  409,231 
BB-/B1
SRAM LLC, First Lien Term Loan, 4.0%, 4/10/20   
$ 406,588 
   
  214,361 
B-/B2
Wash MultiFamily Laundry Systems LLC, U.S. Term Loan, 4.5%, 2/21/19   
  214,629 
         
$ 621,217 
       
Personal Products - 0.1%
 
   
  215,357 
BB-/NR
NBTY, Inc., B-2 Term Loan, 3.5%, 10/1/17   
$ 215,330 
       
Security & Alarm Services - 0.2%
 
   
  268,840 
B/Ba3
Monitronics International, Inc., 2013 Term Loan B, 4.25%, 3/23/18   
$ 269,050 
       
Total Household & Personal Products 
$ 1,105,597 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
INDUSTRIALS - 0.3%
 
       
Aerospace & Defense - 0.1%
 
   
  234,042 
B+/Ba3
SI Organization, Inc., The Initial First Lien Term Loan, 5.75%, 11/23/19   
$ 235,505 
       
Industrial Conglomerates - 0.2%
 
   
  355,000 
B-/Caa1
Filtration Group Co., Initial Second Lien Term Loan, 8.25%, 11/22/21   
$ 361,804 
       
Total Industrials 
$ 597,309 
           
 
       
INSURANCE - 1.0%
 
       
Multi-Line Insurance - 0.4%
 
   
  564,787 
B/B1
Alliant Holdings I LLC, Initial Term Loan, 4.25%, 12/20/19   
$ 566,076 
       
Property & Casualty Insurance - 0.6%
 
   
  593,765 
CCC/Caa2
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19   
$ 600,198 
   
  448,201 
B/B1
USI, Inc., Initial Term Loan, 4.25%, 12/27/19   
  448,854 
         
$ 1,049,052 
       
Total Insurance 
$ 1,615,128 
           
 
       
MATERIALS - 0.6%
 
       
Diversified Chemicals - 0.2%
 
   
  297,876 
B+/B3
Univar, Inc., Term Loan B, 5.0%, 6/30/17   
$ 298,621 
       
Diversified Metals & Mining - 0.0%
 
   
  57,668(e)
NR/NR
PT Bakrie & Brothers Tbk, Facility Term Loan B, 0.0%, 1/20/13   
$ 25,950 
       
Metal & Glass Containers - 0.2%
 
   
  431,239 
B/B1
Tank Holding Corp., Initial Term Loan, 5.5%, 7/9/19   
$ 431,105 
       
Paper Products - 0.1%
 
   
  99,500 
NR/NR
Exopack Holdings SA, USD Term Loan, 5.25%, 5/8/19   
$ 100,889 
       
Specialty Chemicals - 0.1%
 
   
  123,694 
BB+/Ba1
Chemtura Corp., New Term Loan, 3.5%, 8/29/16   
$ 124,055 
       
Total Materials 
$ 980,620 
           
 
       
MEDIA - 1.4%
 
       
Advertising - 0.6%
 
   
  957,654 
B/B1
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18   
$ 951,170 
       
Broadcasting - 0.5%
 
   
  315,000 
CCC+/Caa2
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21   
$ 319,725 
   
  465,839 
B+/B2
Univision Communications, Inc., Replacement First-Lien Term Loan, 4.0%, 3/1/20   
  463,509 
         
$ 783,234 
       
Cable & Telecommunications - 0.2%
 
   
  340,913 
B/B1
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/1/19   
$ 342,485 
       
Movies & Entertainment - 0.0%
 
   
  85,818 
NR/Baa3
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18   
$ 85,979 
       
Publishing - 0.1%
 
   
  203,490 
B/B2
Cengage Learning Acquisitions, Inc., Term Loan, 7.0%, 3/31/20   
$ 205,220 
       
Total Media 
$ 2,368,088 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.3%
 
       
Life Sciences Tools & Services - 0.3%
 
   
  433,173 
BB-/Ba3
Catalent Pharma Solutions, Inc., Dollar Term Loan, 4.5%, 5/20/21   
$ 435,508 
           
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 435,508 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
RETAILING - 0.4%
 
       
Computer & Electronics Retail - 0.4%
 
   
  821,703 
B/B2
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16   
$ 698,448 
           
       
Total Retailing 
$ 698,448 
           
 
       
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   
$ 563,772 
           
       
Total Semiconductors & Semiconductor Equipment 
$ 563,772 
           
 
       
SOFTWARE & SERVICES - 1.4%
 
       
Application Software - 0.9%
 
   
  607,894 
B-/B1
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18   
$ 607,799 
   
  425,213 
NR/NR
Houghton Mifflin Holdings, Inc., Term Loan, 4.25%, 5/22/18   
  427,339 
   
  500,000 
CCC+/Caa1
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17   
  509,531 
         
$ 1,544,669 
       
IT Consulting & Other Services - 0.5%
 
   
  772,637 
BB/Ba3
SunGuard Data Systems, Inc., Tranche C Term Loan, 3.906%, 2/28/17   
$ 775,534 
       
Total Software & Services 
$ 2,320,203 
           
 
       
TECHNOLOGY HARDWARE & EQUIPMENT - 0.4%
 
       
Communications Equipment - 0.1%
 
   
  85,750 
BB+/Ba2
CommScope, Inc., Tranche 3 Term Loan, 2.728%, 1/21/17   
$ 85,857 
   
  128,625 
BB+/Ba2
CommScope, Inc., Tranche 4 Term Loan, 3.25%, 1/14/18   
  128,865 
         
$ 214,722 
       
Electronic Components - 0.3%
 
   
  477,897 
B/B2
Scitor Corp., Term Loan, 5.0%, 2/15/17   
$ 473,213 
       
Total Technology Hardware & Equipment 
$ 687,935 
           
 
       
TRANSPORTATION - 0.1%
 
       
Air Freight & Logistics - 0.1%
 
   
  193,050 
B-/B2
Ozburn-Hessey Holding Co., LLC, Term Loan, 6.75%, 5/23/19   
$ 193,653 
           
       
Total Transportation 
$ 193,653 
           
 
       
UTILITIES - 0.5%
 
       
Electric Utilities - 0.5%
 
   
  292,929 
BB-/Ba3
Star West Generation LLC, Advance Term Loan B, 4.25%, 3/13/20   
$ 293,967 
   
  629,720 
D/Caa3
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.646%, 10/10/17   
  480,161 
       
Total Utilities 
$ 774,128 
           
       
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
 
       
(Cost  $35,061,651)
$ 34,910,236 
 
       
CORPORATE BONDS & NOTES -  101.7% 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) 
$ 371,000 
   
  275,000 
B/B3
Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A) 
  294,938 
   
  290,000 
B+/B2
Stackpole International Intermediate Co. SA / Stackpole International Powder, 7.75%, 10/15/21 (144A) 
  290,000 
       
Total Automobiles & Components 
$ 955,938 
           
 
       
BANKS - 1.5%
 
       
Diversified Banks - 1.2%
 
   
  525,000 
CCC-/Caa1
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A) 
$ 519,750 
   
  400,000(b)
NR/Ca
Banco Macro SA, 9.75%, 12/18/36   
  356,000 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Diversified Banks (continued)
 
   
  200,000 
NR/Ba2
Turkiye IS Bankasi AS, 6.0%, 10/24/22 (144A) 
  202,500 
   
  750,000 
BBB/NR
UBS AG / Stamford CT, 7.625%, 8/17/22   
  891,711 
         
$ 1,969,961 
       
Regional Banks - 0.3%
 
   
  600,000(b)(f)
BBB/Baa3
PNC Financial Services Group, Inc., 4.447%, 5/29/49   
$ 598,950 
           
       
Total Banks 
$ 2,568,911 
           
 
       
CAPITAL GOODS - 5.6%
 
       
Aerospace & Defense - 0.6%
 
   
  400,000 
B-/Caa1
ADS Tactical, Inc., 11.0%, 4/1/18 (144A) 
$ 371,000 
   
  630,000 
CCC+/B3
DynCorp International, Inc., 10.375%, 7/1/17   
  640,237 
         
$ 1,011,237 
       
Building Products - 0.4%
 
   
  300,000 
BB/B2
USG Corp., 7.875%, 3/30/20 (144A) 
$ 325,875 
   
  365,000 
BB/B2
USG Corp., 9.75%, 8/1/14 (144A) 
  365,000 
         
$ 690,875 
       
Construction & Engineering - 1.2%
 
   
  900,000 
B/B2
Empresas ICA S.A.B. de CV, 8.9%, 2/4/21 (144A) 
$ 945,000 
   
  1,000,000 
BB-/B1
OAS Investments GmbH, 8.25%, 10/19/19 (144A) 
  1,020,000 
         
$ 1,965,000 
       
Construction & Farm Machinery & Heavy Trucks - 0.7%
 
   
  360,000 
B-/B3
Meritor, Inc., 6.75%, 6/15/21   
$ 381,600 
   
  660,000 
CCC-/B3
Navistar International Corp., 8.25%, 11/1/21   
  681,450 
         
$ 1,063,050 
       
Electrical Components & Equipment - 0.5%
 
   
  750,000 
B-/B3
WireCo WorldGroup, Inc., 9.5%, 5/15/17   
$ 761,250 
           
       
Industrial Conglomerates - 0.3%
 
   
  455,000 
B+/B2
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A) 
$ 503,344 
           
       
Industrial Machinery - 1.2%
 
   
  450,000 
B/B2
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A) 
$ 499,500 
   
  335,000 
B-/Caa2
Liberty Tire Recycling, 11.0%, 10/1/16 (144A) 
  317,413 
   
  761,000 
B/Caa1
Mueller Water Products, Inc., 7.375%, 6/1/17   
  770,512 
   
  665,000 
CCC-/NR
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A) 
  299,250 
   
  150,000 
B/B3
Xerium Technologies, Inc., 8.875%, 6/15/18   
  159,000 
         
$ 2,045,675 
       
Trading Companies & Distributors - 0.7%
 
   
  1,090,000 
B-/B3
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19   
$ 1,209,900 
           
       
Total Capital Goods 
$ 9,250,331 
           
 
       
COMMERCIAL & PROFESSIONAL SERVICES - 0.7%
 
       
Diversified Support Services - 0.7%
 
   
  950,000 
B/Caa2
NANA Development Corp., 9.5%, 3/15/19 (144A) 
$ 922,094 
   
  260,000 
B-/B3
TMS International Corp., 7.625%, 10/15/21 (144A) 
  275,600 
         
$ 1,197,694 
       
Environmental & Facilities Services - 0.0%
 
   
  700,000(d)(e)
NR/WR
Old AII, Inc., 10.0%, 12/15/16   
$ 7 
           
       
Total Commercial & Professional Services 
$ 1,197,701 
           
 
       
CONSUMER DISCRETIONARY - 0.5%
 
       
Automotive Retail - 0.4%
 
   
  625,000 
B/B3
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A) 
$ 628,906 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Textiles - 0.1%
 
   
  195,000 
CCC+/Caa1
Polymer Group, Inc., 6.875%, 6/1/19 (144A) 
$ 196,463 
           
       
Total Consumer Discretionary 
$ 825,369 
           
 
       
CONSUMER DURABLES & APPAREL - 1.5%
 
       
Home Furnishings - 0.4%
 
   
  535,000 
B+/B3
Tempur Sealy International, Inc., 6.875%, 12/15/20   
$ 569,106 
           
       
Homebuilding - 0.1%
 
   
  605,000(d)(e)
NR/WR
Desarrolladora Homex SAB de CV, 9.5%, 12/11/19 (144A) 
$ 93,775 
   
  500,000(d)(e)
NR/WR
Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22 (144A) 
  65,000 
         
$ 158,775 
       
Leisure Products - 1.0%
 
 
EUR
  275,000 
CCC+/Caa2
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A) 
$ 368,842 
   
  1,000,000 
CCC+/Caa1
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A) 
  965,000 
   
  375,000(g)
CCC+/Caa2
PC Nextco Holdings LLC / PC Nextco Finance, Inc., 8.75%, (9.5% PIK 8.75 cash), 8/15/19 (144A) 
  378,750 
         
$ 1,712,592 
       
Total Consumer Durables & Apparel 
$ 2,440,473 
           
 
       
CONSUMER SERVICES - 3.5%
 
       
Business Services - 0.8%
 
   
  750,000 
B/B2
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A) 
$ 791,250 
   
  500,000 
B-/Caa2
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18   
  490,000 
         
$ 1,281,250 
       
Casinos & Gaming - 0.0%
 
   
  732,290(g)
NR/NR
Mashantucket Western Pequot Tribe, 6.5%,  (5.5% PIK 1.0% cash), 7/1/36   
$ 91,536 
           
       
Hotels, Resorts & Cruise Lines - 0.9%
 
   
  720,000(g)
B-/B3
MISA Investments, Ltd., 8.625%, (0.0% PIK 8.625% cash), 8/15/18 (144A) 
$ 736,560 
   
  400,000 
B-/B2
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19   
  432,000 
   
  325,000 
B+/B3
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A) 
  356,688 
         
$ 1,525,248 
       
Leisure Facilities - 0.7%
 
 
EUR
  800,000 
B+/B3
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A) 
$ 1,095,220 
           
       
Restaurants - 0.9%
 
   
  1,235,000(c)
B-/Caa1
Burger King Capital Holdings LLC, 0.0%, 4/15/19 (144A) 
$ 1,138,052 
   
  400,000 
B+/B3
Burger King Corp., 9.875%, 10/15/18   
  423,000 
         
$ 1,561,052 
       
Specialized Consumer Services - 0.2%
 
   
  315,000 
B-/B3
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21 (144A) 
$ 330,750 
           
       
Total Consumer Services 
$ 5,885,056 
           
 
       
CONSUMER STAPLES - 1.0%
 
       
Food Distributors - 0.6%
 
   
  900,000 
BB/NR
JBS Investments GmbH, 7.25%, 4/3/24 (144A) 
$ 929,250 
           
       
Packaged Foods & Meats - 0.4%
 
   
  640,000 
B/B2
Post Holdings, Inc., 6.75%, 12/1/21 (144A) 
$ 664,800 
           
       
Total Consumer Staples 
$ 1,594,050 
           
 
       
DIVERSIFIED FINANCIALS - 1.9%
 
       
Asset Management & Custody Banks - 0.4%
 
   
  590,000 
BBB-/Baa3
Janus Capital Group, Inc., 6.7%, 6/15/17   
$ 663,771 
           
       
Consumer Finance - 1.0%
 
   
  445,000 
B/B1
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A) 
$ 466,138 
   
  610,000 
NR/NR
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A) 
  606,944 
   
  440,000 
B/B3
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A) 
  466,950 
         
$ 1,540,032 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Investment Banking & Brokerage - 0.2%
 
   
  450,000(b)(f)
BB+/Ba2
Goldman Sachs Capital II, 4.0%, 12/29/49   
$ 356,625 
           
       
Multi-Sector Holdings - 0.3%
 
   
  600,000 
B-/B3
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A) 
$ 540,000 
           
       
Total Diversified Financials 
$ 3,100,428 
           
 
       
ENERGY - 14.6%
 
       
Coal & Consumable Fuels - 1.0%
 
   
  285,000 
B/B2
Alpha Natural Resources, Inc., 7.5%, 8/1/20 (144A) 
$ 262,913 
   
  650,000(e)
CCC-/Ca
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A) 
  302,250 
   
  400,000(e)
NR/WR
James River Coal Co., 7.875%, 4/1/19   
  44,000 
   
  300,000 
B-/Caa1
Murray Energy Corp., 8.625%, 6/15/21 (144A) 
  318,000 
   
  715,000 
B-/Caa1
Penn Virginia Corp., 8.5%, 5/1/20   
  791,862 
         
$ 1,719,025 
       
Integrated Oil & Gas - 0.3%
 
   
  150,000 
B-/B3
Jones Energy Holdings LLC / Jones Energy Finance Corp., 6.75%, 4/1/22 (144A) 
$ 156,000 
   
  325,000 
NR/Caa1
YPF SA, 8.875%, 12/19/18 (144A) 
  336,375 
         
$ 492,375 
       
Oil & Gas Drilling - 1.1%
 
   
  645,000 
B/B3
Hercules Offshore, Inc., 8.75%, 7/15/21 (144A) 
$ 656,288 
   
  730,000 
CCC+/Caa1
Ocean Rig UDW, Inc., 7.25%, 4/1/19 (144A) 
  702,625 
   
  190,000 
B+/B2
Pioneer Energy Services Corp., 9.875%, 3/15/18   
  200,450 
   
  320,000 
B+/B1
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A) 
  339,200 
         
$ 1,898,563 
       
Oil & Gas Equipment & Services - 1.4%
 
   
  448,000 
B/Ba3
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A) 
$ 462,000 
   
  690,000 
B/Caa1
Forbes Energy Services, Ltd., 9.0%, 6/15/19   
  700,350 
   
  395,000 
B-/B2
FTS International, Inc., 6.25%, 5/1/22 (144A) 
  401,912 
   
  425,000 
BB/B1
McDermott International, Inc., 8.0%, 5/1/21 (144A) 
  433,500 
   
  330,000 
B/B3
Seitel, Inc., 9.5%, 4/15/19   
  347,325 
         
$ 2,345,087 
       
Oil & Gas Exploration & Production - 10.3%
 
   
  520,000 
CCC+/B3
Athlon Holdings LP / Athlon Finance Corp., 7.375%, 4/15/21 (144A) 
$ 553,800 
   
  100,000 
B-/B3
Comstock Resources, Inc., 7.75%, 4/1/19   
  105,250 
   
  500,000 
B-/B3
Comstock Resources, Inc., 9.5%, 6/15/20   
  558,750 
   
  515,000 
B/B3
Energy XXI Gulf Coast, Inc., 7.5%, 12/15/21   
  538,175 
   
  600,000 
B/B2
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20   
  664,500 
   
  920,000 
CCC/Caa1
Forest Oil Corp., 7.5%, 9/15/20   
  914,296 
   
  360,000 
B/NR
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A) 
  388,350 
   
  570,000 
B-/B3
Gulfport Energy Corp., 7.75%, 11/1/20   
  618,450 
   
  165,000 
CCC+/Caa1
Halcon Resources Corp., 9.25%, 2/15/22   
  173,456 
   
  890,000 
CCC+/Caa1
Halcon Resources Corp., 9.75%, 7/15/20   
  952,300 
   
  680,000 
B-/Caa1
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A) 
  703,800 
   
  630,000 
CCC+/Caa1
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21   
  647,325 
   
  600,000 
CCC+/Caa1
Midstates Petroleum Co., Inc., 9.25%, 6/1/21   
  619,500 
   
  455,000 
CCC+/Caa1
Midstates Petroleum Co., Inc., 10.75%, 10/1/20   
  490,263 
   
  350,000 
B+/NR
MIE Holdings Corp., 7.5%, 4/25/19 (144A) 
  369,688 
   
  200,000 
NR/NR
National JSC Naftogaz of Ukraine, 9.5%, 9/30/14   
  194,500 
   
  1,440,000 
B-/Caa1
Northern Oil & Gas, Inc., 8.0%, 6/1/20   
  1,519,200 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Oil & Gas Exploration & Production (continued)
 
   
  535,000 
B-/B3
PDC Energy, Inc., 7.75%, 10/15/22   
  593,850 
   
  750,000 
B/Caa1
PetroQuest Energy, Inc., 10.0%, 9/1/17   
  781,875 
   
  480,000 
B-/Caa1
QR Energy LP / QRE Finance Corp., 9.25%, 8/1/20   
  549,600 
   
  240,000 
CCC-/Caa3
Quicksilver Resources, Inc., 7.125%, 4/1/16   
  208,800 
   
  700,000 
CCC+/B3
Resolute Energy Corp., 8.5%, 5/1/20   
  714,000 
   
  375,000 
CCC+/B3
Rice Energy, Inc., 6.25%, 5/1/22 (144A) 
  371,250 
   
  870,000 
B-/B3
RKI Exploration & Production LLC / RKI Finance Corp., 8.5%, 8/1/21 (144A) 
  930,900 
   
  285,000 
B+/B1
Rosetta Resources, Inc., 5.875%, 6/1/24   
  290,700 
   
  700,000 
CCC+/B3
Samson Investment Co., 10.75%, 2/15/20 (144A) 
  708,750 
   
  1,170,000 
B-/B3
Sanchez Energy Corp., 7.75%, 6/15/21   
  1,269,450 
   
  335,000 
CCC+/Caa1
Talos Production LLC / Talos Production Finance, Inc., 9.75%, 2/15/18 (144A) 
  347,562 
 
CAD
  315,000 
B/NR
Trilogy Energy Corp., 7.25%, 12/13/19 (144A) 
  306,288 
         
$ 17,084,628 
       
Oil & Gas Refining & Marketing - 0.2%
 
   
  300,000 
B+/B2
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21 (144A) 
$ 306,000 
           
       
Oil & Gas Storage & Transportation - 0.3%
 
   
  450,000(a)
BB/Ba1
Energy Transfer Partners LP, 3.257%, 11/1/66   
$ 418,500 
           
       
Total Energy 
$ 24,264,178 
           
 
       
FINANCIALS - 0.5%
 
       
Specialized Finance - 0.5%
 
   
  695,000 
B/B2
DFC Finance Corp., 10.5%, 6/15/20 (144A) 
$ 691,525 
   
  175,000 
B+/B2
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21   
  169,750 
       
Total Financials 
$ 861,275 
           
 
       
FOOD, BEVERAGE & TOBACCO - 8.2%
 
       
Agricultural Products - 1.3%
 
   
  900,000 
CCC+/Caa1
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A) 
$ 967,500 
   
  520,000 
B/B2
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A) 
  527,800 
   
  500,000 
B-/NR
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A) 
  458,750 
   
  225,000 
B/NR
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A) 
  230,625 
         
$ 2,184,675 
       
Packaged Foods & Meats - 5.9%
 
   
  225,000 
B/B2
Agrokor DD, 8.875%, 2/1/20 (144A) 
$ 248,906 
 
EUR
  200,000 
B/B2
Agrokor DD, 9.875%, 5/1/19 (144A) 
  297,236 
   
  650,000 
BB/Ba3
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A) 
  747,500 
   
  500,000 
B+/B2
CFG Investment SAC, 9.75%, 7/30/19 (144A) 
  487,500 
   
  297,000 
B/B1
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21   
  317,790 
   
  491,000 
B+/B2
Corporacion Pesquera Inca SAC, 9.0%, 2/10/17 (144A) 
  469,985 
   
  1,100,000 
B/B3
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A) 
  1,177,000 
   
  515,000 
B/B2
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A) 
  515,000 
   
  800,000 
B/B2
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A) 
  842,000 
   
  700,000 
B/B2
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A) 
  803,250 
   
  475,000 
B/B2
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A) 
  503,358 
   
  700,000 
CCC/NR
MHP SA, 8.25%, 4/2/20 (144A) 
  647,640 
   
  1,600,000 
BB-/B1
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A) 
  1,714,000 
   
  200,000 
BB-/B1
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A) 
  230,000 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Packaged Foods & Meats (continued)
 
   
  600,000 
B+/B2
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A) 
  546,000 
   
  300,000 
BB/B3
Pilgrim's Pride Corp., 7.875%, 12/15/18   
  315,000 
         
$ 9,862,165 
       
Tobacco - 1.0%
 
   
  1,645,000 
B-/Caa1
Alliance One International, Inc., 9.875%, 7/15/21   
$ 1,615,184 
           
       
Total Food, Beverage & Tobacco 
$ 13,662,024 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 2.0%
 
       
Health Care Equipment & Services - 0.6%
 
   
  831,000 
B+/B2
Physio-Control International, Inc., 9.875%, 1/15/19 (144A) 
$ 912,023 
           
       
Health Care Facilities - 0.4%
 
   
  500,000 
B-/B3
Kindred Healthcare, Inc., 6.375%, 4/15/22 (144A) 
$ 495,000 
   
  200,000 
CCC+/Caa1
United Surgical Partners International, 9.0%, 4/1/20   
  217,000 
         
$ 712,000 
       
Health Care Services - 0.5%
 
   
  425,000 
CCC/Caa2
BioScrip, Inc., 8.875%, 2/15/21 (144A) 
$ 434,562 
   
  426,000 
CCC+/Caa2
Gentiva Health Services, Inc., 11.5%, 9/1/18   
  451,560 
         
$ 886,122 
       
Health Care Supplies - 0.3%
 
   
  500,000 
CCC+/Caa2
Immucor, Inc., 11.125%, 8/15/19   
$ 550,000 
           
       
Health Care Technology - 0.2%
 
   
  275,000 
CCC+/Caa1
Emdeon, Inc., 11.0%, 12/31/19   
$ 309,375 
           
       
Total Health Care Equipment & Services 
$ 3,369,520 
           
 
       
HOUSEHOLD & PERSONAL PRODUCTS - 0.5%
 
       
Household Products - 0.3%
 
 
EUR
  350,000(a)
B/B2
Hydra Dutch Holdings 2BV, 5.703%, 4/15/19 (144A) 
$ 463,929 
           
       
Personal Products - 0.2%
 
   
  345,000 
CCC+/Caa1
Monitronics International, Inc., 9.125%, 4/1/20   
$ 362,250 
           
       
Total Household & Personal Products 
$ 826,179 
           
 
       
INDUSTRIALS - 0.6%
 
       
Aerospace & Defense - 0.3%
 
   
  435,000 
B/B3
LMI Aerospace, Inc., 7.375%, 7/15/19 (144A) 
$ 439,894 
           
       
Diversified Support Services - 0.2%
 
   
  280,000 
B+/Ba3
Transfield Services, Ltd., 8.375%, 5/15/20 (144A) 
$ 288,050 
           
       
Industrial Machinery - 0.1%
 
   
  250,000 
B-/Caa1
BC Mountain LLC / BC Mountain Finance, Inc., 7.0%, 2/1/21 (144A) 
$ 240,000 
           
       
Total Industrials 
$ 967,944 
           
 
       
INFORMATION TECHNOLOGY - 0.0%
 
       
Internet Software & Services - 0.0%
 
   
  63,950(g)
NR/NR
First Data Holdings, Inc., 14.5%, (14.5% PIK 0.0% cash), 9/24/19 (144A) 
$ 72,264 
           
       
Total Information Technology 
$ 72,264 
           
 
       
INSURANCE - 32.3%
 
       
Insurance Brokers - 0.5%
 
 
GBP
  475,000 
NR/Caa2
Towergate Finance Plc, 10.5%, 2/15/19 (144A) 
$ 741,775 
           
       
Multi-Line Insurance - 0.6%
 
   
  1,000,000(b)
BB+/Baa3
Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A) 
$ 1,060,000 
           
       
Property & Casualty Insurance - 2.3%
 
   
  6,000,000(c)(d)
BBB+/NR
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A) 
$ 3,793,525 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Property & Casualty Insurance (continued)
 
   
  80,000(b)(f)
BB+/Ba2
White Mountains Insurance Group, Ltd., 7.506%, 5/29/49 (144A) 
  84,400 
         
$ 3,877,925 
       
Reinsurance - 28.9%
 
 
EUR
  750,000(a)
BB/NR
ATLAS Reinsurance VII, 3.65%, 1/7/16 (144A) 
$ 1,016,928 
   
  1,000,000(a)
BB+/NR
Bosphorus 1 Re, Ltd., 2.52%, 5/3/16 (144A) 
  997,900 
   
  750,000(a)
NR/NR
Combine Re, Ltd., 17.77%, 1/7/15 (144A) 
  781,725 
   
  500,000(a)
BB-/NR
Compass Re, Ltd., 10.27%, 1/8/15 (144A) 
  502,350 
   
  500,000(a)
B+/NR
Compass Re, Ltd., 11.27%, 1/8/15 (144A) 
  502,800 
   
  1,750,000(a)
BB+/NR
East Lane Re VI, Ltd., 2.77%, 3/14/18 (144A) 
  1,725,850 
   
  2,000,000(a)
NR/NR
Gator Re, Ltd., 6.52%, 1/9/17 (144A) 
  1,982,600 
   
  1,300,000(a)
B-/NR
Ibis Re II, Ltd., 13.52%, 2/5/15 (144A) 
  1,299,610 
 
  4,008,000(d)
NR/NR
Kane SAC, Ltd., 0.0%, 6/12/15   
  3,817,074 
   
  1,018,720(d)
NR/NR
Kane SAC, Ltd., 0.0%, 7/14/15   
  966,765 
   
  1,500,000(d)
NR/NR
Kane SAC, Ltd., 0.0%, 8/1/15   
  1,524,600 
   
  2,004,948(d)
NR/NR
Kane SAC, Ltd., 0.0%, 7/7/16   
  1,994,121 
   
  2,006,000(d)
NR/NR
Kane SAC, Ltd., 0.0%, 7/18/16   
  2,092,459 
   
  2,011,000(d)
NR/NR
Kane SAC, Ltd., 0.0%, 7/30/16   
  2,065,699 
   
  1,000,000(a)
BB-/NR
Kilimanjaro Re, Ltd., 4.52%, 4/30/18 (144A) 
  993,700 
   
  1,000,000(a)
BB-/NR
Kilimanjaro Re, Ltd., 4.77%, 4/30/18 (144A) 
  1,001,200 
   
  2,000,000(a)
NR/NR
Kizuna II Re, Ltd., 2.27%, 4/6/18 (144A) 
  2,004,800 
 
EUR
  1,500,000(a)
NR/NR
Lion I Re, Ltd., 1.594%, 4/28/17 (144A) 
  2,009,555 
   
  1,000,000(a)
NR/NR
Merna Reinsurance V, Ltd., 2.02%, 4/7/17 (144A) 
  1,000,600 
   
  1,750,000(a)
BB-/NR
MetroCat Re, Ltd., 4.52%, 8/5/16 (144A) 
  1,791,125 
   
  975,000(a)
B-/NR
Mythen Re, Ltd., 11.756%, 11/10/16 (144A) 
  1,017,802 
   
  500,000(a)
B+/NR
Mythen Re, Ltd. Series 2012-2 Class A, 8.526%, 1/5/17 (144A) 
  527,550 
   
  1,250,000(a)
NR/NR
Pelican Re, Ltd., 6.02%, 5/15/17 (144A) 
  1,279,500 
   
  2,000,000(a)
BB-/NR
Queen Street IV Capital, Ltd., 7.52%, 4/9/15 (144A) 
  2,016,200 
   
  500,000(a)
B/NR
Queen Street VII Re, Ltd., 8.62%, 4/8/16 (144A) 
  513,850 
   
  1,250,000(a)
B-/NR
Residential Reinsurance 2011, Ltd., 12.02%, 6/6/15 (144A) 
  1,291,625 
   
  250,000(a)
NR/NR
Residential Reinsurance 2012, Ltd., 12.77%, 12/6/16 (144A) 
  270,175 
   
  1,250,000(a)
NR/NR
Residential Reinsurance 2012, Ltd., 19.02%, 12/6/16 (144A) 
  1,393,125 
   
  1,000,000(a)
NR/NR
Residential Reinsurance 2012, Ltd., 22.02%, 6/6/16 (144A) 
  1,176,300 
   
  500,000(a)
NR/NR
Residential Reinsurance 2013, Ltd., 20.02%, 12/6/17 (144A) 
  504,200 
   
  1,500,000(h)
NR/NR
Sector Re V, Ltd., 0.0%, 3/30/19 (144A) 
  1,544,550 
 
  1,005,999(d)(h)
NR/NR
Sector Re V, Ltd., 0.0%, 12/1/17 (144A) 
  1,067,100 
   
  1,630(d)(h)
NR/NR
Sector Re V, Ltd., 0.0%, 3/1/18 (144A) 
  102,113 
   
  1,000,000(d)(h)
NR/NR
Silverton RE, Ltd., 0.0%, 9/16/16 (144A) 
  1,165,800 
   
  1,500,000(a)
B-/NR
Successor X, Ltd., 11.27%, 11/10/15 (144A) 
  1,551,600 
   
  500,000(a)
NR/NR
Successor X, Ltd., 16.27%, 11/10/15 (144A) 
  506,250 
   
  1,000,000(a)
NR/NR
Successor X, Ltd., 16.52%, 1/27/15 (144A) 
  1,008,200 
   
  1,000,000(a)
B+/NR
Tar Heel Re, Ltd., 8.52%, 5/9/16 (144A) 
  1,030,400 
         
$ 48,037,801 
       
Total Insurance 
$ 53,717,501 
           
 
       
MATERIALS - 9.9%
 
       
Commodity Chemicals - 0.5%
 
   
  300,000 
BBB/WR
Basell Finance Co. BV, 8.1%, 3/15/27 (144A) 
$ 401,806 
 
EUR
  250,000 
CCC+/B3
KP Germany Erste GmbH, 11.625%, 7/15/17 (144A) 
  372,382 
         
$ 774,188 
       
Construction Materials - 0.4%
 
   
  389,000 
B+/NR
Cemex Espana Luxembourg, 9.875%, 4/30/19 (144A) 
$ 435,680 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Construction Materials (continued)
 
   
  300,000(f)
BB/NR
Magnesita Finance, Ltd., 8.625%, 4/29/49 (144A) 
  299,100 
         
$ 734,780 
       
Diversified Metals & Mining - 1.6%
 
   
  150,000 
CCC/Caa2
Boart Longyear Management Pty, Ltd., 7.0%, 4/1/21 (144A) 
$ 109,500 
   
  330,000 
B-/B3
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A) 
  345,675 
   
  400,000 
(P)CCC+/Caa1
Essar Steel Minnesota LLC, 11.5%, 5/15/20 (144A) 
  411,000 
   
  245,000 
B+/B1
First Quantum Minerals, Ltd., 7.25%, 5/15/22 (144A) 
  252,044 
   
  300,000(e)
D/WR
Midwest Vanadium Pty, Ltd., 11.5%, 2/15/18 (144A) 
  126,000 
   
  373,000 
NR/NR
Mirabela Nickel, Ltd., 9.5%, 6/20/19   
  373,000 
   
  180,000 
B/Caa1
Prince Mineral Holding Corp., 12.0%, 12/15/19 (144A) 
  201,712 
   
  750,000 
BB/Ba3
Vedanta Resources Plc, 9.5%, 7/18/18 (144A) 
  866,250 
         
$ 2,685,181 
       
Gold - 0.1%
 
   
  85,000 
BB-/B1
IAMGOLD Corp., 6.75%, 10/1/20 (144A) 
$ 78,200 
           
       
Metal & Glass Containers - 0.5%
 
   
  240,000(g)
CCC+/Caa2
Ardagh Finance Holdings SA, 8.625%,  (8.625% PIK 0.0% cash), 6/15/19 (144A) 
$ 241,800 
 
EUR
  250,000 
CCC+/Caa1
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A) 
  353,135 
   
  175,000 
CCC+/Caa1
BWAY Holdings Co., 10.0%, 6/15/18   
  183,750 
         
$ 778,685 
       
Paper Packaging - 1.4%
 
   
  606,510(c)
NR/NR
Bio Pappel SAB de CV, 10.0%, 8/27/16   
$ 612,575 
   
  580,000 
B-/NR
Exopack Holding Corp., 10.0%, 6/1/18 (144A) 
  625,466 
   
  500,000 
CCC+/Caa2
Reynolds Group Issuer, Inc., 9.0%, 4/15/19   
  521,250 
   
  475,000 
CCC+/Caa2
Reynolds Group Issuer, Inc., 9.875%, 8/15/19   
  511,813 
         
$ 2,271,104 
       
Paper Products - 1.6%
 
   
  675,000 
CCC+/B2
Appvion, Inc., 9.0%, 6/1/20 (144A) 
$ 644,625 
   
  344,000 
B/B3
Mercer International, Inc., 9.5%, 12/1/17   
  364,640 
   
  840,000 
BB-/Ba3
Resolute Forest Products, Inc., 5.875%, 5/15/23   
  798,000 
   
  545,000 
BB/Ba2
Sappi Papier Holding GmbH, 8.375%, 6/15/19 (144A) 
  596,775 
   
  255,000 
B-/Caa1
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A) 
  265,200 
         
$ 2,669,240 
       
Precious Metals & Minerals - 0.3%
 
   
  500,000 
BB-/Ba3
ALROSA Finance SA, 8.875%, 11/17/14 (144A) 
$ 508,915 
           
       
Steel - 3.5%
 
   
  750,000 
B-/Caa1
AM Castle & Co., 12.75%, 12/15/16   
$ 791,250 
   
  250,000 
B+/B3
APERAM, 7.375%, 4/1/16 (144A) 
  255,625 
   
  450,000 
CCC+/Caa2
Essar Steel Algoma, Inc., 9.375%, 3/15/15 (144A) 
  450,562 
   
  250,000 
B+/B1
Evraz Group SA, 9.5%, 4/24/18 (144A) 
  260,000 
   
  900,000 
CCC+/Caa2
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A) 
  864,000 
   
  900,000 
NR/Caa2
Metinvest BV, 8.75%, 2/14/18 (144A) 
  753,930 
   
  600,000 
NR/Caa2
Metinvest BV, 10.25%, 5/20/15 (144A) 
  549,000 
   
  585,000 
B/B2
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A) 
  636,919 
   
  507,000 
B-/B3
Permian Holdings, Inc., 10.5%, 1/15/18 (144A) 
  514,605 
   
  750,000 
CCC+/Caa2
Ryerson, Inc., 9.0%, 10/15/17   
  794,062 
         
$ 5,869,953 
       
Total Materials 
$ 16,370,246 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
MEDIA - 4.9%
 
       
Broadcasting - 2.2%
 
   
  400,000 
B-/Caa2
Intelsat Luxembourg SA, 7.75%, 6/1/21   
$ 409,000 
 
EUR
  150,000 
B+/B1
Nara Cable Funding II, Ltd., 8.5%, 3/1/20 (144A) 
  238,492 
   
  200,000 
B+/B1
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 
  212,000 
   
  1,655,000 
B/B3
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A) 
  1,795,675 
   
  990,000 
CCC+/Caa2
Truven Health Analytics, Inc., 10.625%, 6/1/20   
  1,074,150 
         
$ 3,729,317 
       
Cable - 0.2%
 
 
EUR
  200,000 
B+/B1
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A) 
$ 285,405 
           
       
Movies & Entertainment - 2.0%
 
   
  1,710,000 
B-/B3
AMC Entertainment, Inc., 9.75%, 12/1/20   
$ 1,910,925 
   
  600,000 
B-/B3
Gibson Brands, Inc., 8.875%, 8/1/18 (144A) 
  606,000 
   
  200,000 
CCC-/Caa2
Production Resource Group, Inc., 8.875%, 5/1/19   
  160,000 
   
  625,000 
B/Caa1
WMG Acquisition Corp., 6.75%, 4/15/22 (144A) 
  607,812 
         
$ 3,284,737 
       
Publishing - 0.5%
 
   
  855,000 
BB+/Ba1
Gannett Co., Inc., 6.375%, 10/15/23 (144A) 
$ 902,025 
           
       
Total Media 
$ 8,201,484 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.8%
 
       
Biotechnology - 0.8%
 
   
  300,000 
B/B3
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A) 
$ 321,750 
   
  1,043,000 
B-/Caa1
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17   
  1,040,393 
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 1,362,143 
           
 
       
REAL ESTATE - 0.4%
 
       
Diversified REIT's - 0.1%
 
   
  200,000 
B/Ba3
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19   
$ 204,000 
           
       
Real Estate Operating Companies - 0.3%
 
   
  410,000 
CCC-/NR
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A) 
$ 393,600 
           
       
Total Real Estate 
$ 597,600 
           
 
       
RETAILING - 0.6%
 
       
Department Stores - 0.6%
 
   
  625,000 
B/NR
Grupo Famsa SAB de CV, 7.25%, 6/1/20 (144A) 
$ 640,625 
   
  350,000 
CCC+/Caa2
Neiman Marcus Group, Inc., 8.0%, 10/15/21 (144A) 
  369,250 
       
Total Retailing 
$ 1,009,875 
           
 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.6%
 
       
Semiconductors - 0.6%
 
   
  210,000 
B/B2
Advanced Micro Devices, Inc., 6.75%, 3/1/19 (144A) 
$ 215,250 
   
  285,000 
B/B2
Advanced Micro Devices, Inc., 7.0%, 7/1/24 (144A) 
  277,875 
   
  500,000 
B/B2
Advanced Micro Devices, Inc., 7.5%, 8/15/22   
  517,500 
       
Total Semiconductors & Semiconductor Equipment 
$ 1,010,625 
           
 
       
SOFTWARE & SERVICES - 1.4%
 
       
Application Software - 0.3%
 
   
  415,000 
B-/B3
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18 (144A) 
$ 425,375 
           
       
Data Processing & Outsourced Services - 0.5%
 
   
  404,000 
B-/Caa1
First Data Corp., 8.25%, 1/15/21 (144A) 
$ 432,280 
   
  162,000 
B-/Caa1
First Data Corp., 10.625%, 6/15/21   
  183,971 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Data Processing & Outsourced Services (continued)
 
   
  225,000 
BB-/B2
NeuStar, Inc., 4.5%, 1/15/23   
  191,250 
         
$ 807,501 
       
Systems Software - 0.6%
 
   
  1,144,999(d)
NR/NR
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A) 
$ 1,064,849 
           
       
Total Software & Services 
$ 2,297,725 
           
 
       
TELECOMMUNICATION SERVICES - 2.1%
 
       
Integrated Telecommunication Services - 0.5%
 
   
  186,000 
CCC+/Caa1
Cincinnati Bell, Inc., 8.75%, 3/15/18   
$ 194,742 
   
  300,000 
BB-/Ba2
Frontier Communications Corp., 8.75%, 4/15/22   
  342,000 
   
  350,000 
NR/WR
PAETEC Holding Corp., 9.875%, 12/1/18   
  372,312 
         
$ 909,054 
       
Wireless Telecommunication Services - 1.6%
 
   
  250,000 
B-/B3
Altice Finco SA, 8.125%, 1/15/24 (144A) 
$ 265,625 
   
  300,000 
(P)B/(P)B3
Altice SA, 7.75%, 5/15/22 (144A) 
  306,750 
   
  750,000 
CC/Caa2
NII Capital Corp., 10.0%, 8/15/16   
  202,500 
   
  250,000 
NR/NR
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A) 
  256,922 
   
  1,115,000 
BB/Ba3
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A) 
  1,215,350 
 
RUB
  14,400,000 
BB/Ba3
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A) 
  375,307 
         
$ 2,622,454 
       
Total Telecommunication Services 
$ 3,531,508 
           
 
       
TRANSPORTATION - 3.4%
 
       
Airlines - 0.9%
 
   
  1,000,000 
B-/NR
Gol Finance, 9.25%, 7/20/20 (144A) 
$ 1,025,000 
   
  500,000 
BB-/NR
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A) 
  542,500 
         
$ 1,567,500 
       
Airport Services - 0.4%
 
   
  571,040 
CCC-/Caa1
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A) 
$ 599,592 
           
       
Highways & Railtracks - 0.2%
 
 
MXN
  4,500,000 
BBB/NR
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A) 
$ 320,191 
           
       
Marine - 0.5%
 
   
  500,000 
B+/NR
Far East Capital, Ltd. SA, 8.0%, 5/2/18 (144A) 
$ 360,000 
   
  375,000 
B+/B2
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A) 
  382,500 
         
$ 742,500 
       
Railroads - 0.5%
 
   
  355,000(g)
NR/NR
AAF Holdings LLC/AAF Finance Co., 12.0% , (6.0% PIK 6.75% cash), 7/1/19 (144A) 
$ 362,987 
   
  485,000 
B/B3
Florida East Coast Holdings Corp., 6.75%, 5/1/19 (144A) 
  501,975 
         
$ 864,962 
       
Trucking - 0.9%
 
   
  1,000,000 
CCC+/B2
Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A) 
$ 1,095,000 
   
  425,000 
B+/B1
Swift Services Holdings, Inc., 10.0%, 11/15/18   
  453,687 
         
$ 1,548,687 
       
Total Transportation 
$ 5,643,432 
           
 
       
UTILITIES - 2.1%
 
       
Electric Utilities - 1.5%
 
   
  750,000 
CCC-/NR
Cia de Energia Electrica en Alta Tension Transener SA, 9.75%, 8/15/21 (144A) 
$ 592,500 
   
  375,000 
BB-/B3
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A) 
  371,250 
   
  625,000 
NR/Caa2
DTEK Finance Plc, 7.875%, 4/4/18 (144A) 
  465,750 
   
  419,000 
CCC-/Caa3
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A) 
  322,630 

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Electric Utilities (continued)
 
   
  460,000(b)
BB+/Ba1
Enel SpA, 8.75%, 9/24/73 (144A) 
  542,800 
   
  225,000 
BBB-/Baa3
PNM Resources, Inc., 9.25%, 5/15/15   
  239,339 
         
$ 2,534,269 
       
Gas Utilities - 0.6%
 
   
  867,450 
CCC-/Caa1
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A) 
$ 886,968 
           
       
Total Utilities 
$ 3,421,237 
           
       
TOTAL CORPORATE BONDS & NOTES
 
       
(Cost  $165,368,025)
$ 169,005,017 
 
       
CONVERTIBLE BONDS & NOTES -  2.2% 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   
$ 126,300 
           
       
Total Diversified Financials 
$ 126,300 
           
 
       
HEALTH CARE EQUIPMENT & SERVICES - 0.8%
 
       
Health Care Equipment & Services - 0.8%
 
   
  1,040,000(c)
B+/NR
Hologic, Inc., 2.0%, 12/15/37   
$ 1,313,650 
           
       
Health Care Services - 0.0%
 
   
  15,000 
B+/B2
Omnicare, Inc., 3.25%, 12/15/35   
$ 15,760 
           
       
Total Health Care Equipment & Services 
$ 1,329,410 
           
 
       
MATERIALS - 1.1%
 
       
Diversified Chemicals - 1.0%
 
   
  1,900,000(i)
B+/NR
Hercules, Inc., 6.5%, 6/30/29   
$ 1,738,500 
           
       
Diversified Metals & Mining - 0.1%
 
   
  100,000 
BB/NR
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16   
$ 102,250 
           
       
Total Materials 
$ 1,840,750 
           
 
       
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.1%
 
       
Biotechnology - 0.1%
 
   
  250,000 
NR/NR
Corsicanto, Ltd., 3.5%, 1/15/32   
$ 197,656 
           
       
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 197,656 
           
 
       
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1%
 
       
Semiconductors - 0.1%
 
   
  250,000 
NR/NR
ReneSola, Ltd., 4.125%, 3/15/18 (144A) 
$ 199,375 
           
       
Total Semiconductors & Semiconductor Equipment 
$ 199,375 
           
       
TOTAL CONVERTIBLE BONDS & NOTES
 
       
(Cost  $2,705,970)
$ 3,693,491 
       
SOVEREIGN DEBT OBLIGATIONS -  1.7% of Net Assets
 
       
Argentina - 0.2%
 
   
  364,720 
CCC-/NR
Province of Salta Argentina, 9.5%, 3/16/22 (144A) 
$ 359,249 
           
       
Brazil - 0.1%
 
 
BRL
  500,000 
BBB-/Baa2
Brazilian Government International Bond, 10.25%, 1/10/28   
$ 224,828 
           
       
Ghana - 0.4%
 
 
GHS
  600,000 
NR/NR
Ghana Government Bond, 19.24%, 5/30/16   
$ 159,867 
 
GHS
  150,000 
NR/NR
Ghana Government Bond, 26.0%, 6/5/17   
  43,429 
   
  500,000 
B/B2
Republic of Ghana, 7.875%, 8/7/23 (144A) 
  484,060 
         
$ 687,356 
       
Mexico - 0.5%
 
 
MXN
  500,000 
A/A3
Mexican Bonos, 7.5%, 6/3/27   
$ 42,341 
 
MXN
  8,870,000 
A/A3
Mexican Bonos, 7.75%, 11/13/42   
  745,028 
 
MXN
  308,408 
A/A3
Mexican Udibonos, 3.5%, 12/14/17   
  25,437 
         
  812,806 
       
Nigeria - 0.4%
 
 
NGN
  79,000,000 
NR/NR
Nigeria Government Bond, 16.0%, 6/29/19   
$ 575,802 
           

   
Principal
Amount
USD ($)
S&P/Moody's
Rating              
 
Value
 
       
Ukraine - 0.1%
 
   
  100,000 
CCC/Caa3
Ukraine Government International Bond, 6.75%, 11/14/17 (144A) 
$ 95,050 
           
       
TOTAL SOVEREIGN DEBT OBLIGATIONS
 
       
(Cost  $2,964,525)
$ 2,755,091 
           
           
   
Shares
   
Value
 
 
       
COMMON STOCKS -  0.8% of Net Assets
 
 
       
DIVERSIFIED FINANCIALS - 0.0%
 
       
Other Diversified Financial Services - 0.0%
 
   
  731(j)
 
BTA Bank JSC (G.D.R.)
$ 439 
           
       
Total Diversified Financials 
$ 439 
           
 
       
ENERGY - 0.0%
 
       
Oil & Gas Exploration & Production - 0.0%
 
   
  1,333(j)
 
Halcon Resources Corp.
$ 7,931 
           
       
Total Energy 
$ 7,931 
           
 
       
MATERIALS - 0.1%
 
       
Diversified Metals & Mining - 0.1%
 
 
AUD
  1,587,442(j)
 
Mirabela Nickel, Ltd.
$ 162,273 
           
       
Total Materials 
$ 162,273 
           
 
       
SOFTWARE & SERVICES - 0.0%
 
       
Systems Software - 0.0%
 
   
  2,114(j)
 
Perseus Holding Corp.
$ 3,171 
           
       
Total Software & Services 
$ 3,171 
           
 
       
TRANSPORTATION - 0.7%
 
       
Air Freight & Logistics - 0.6%
 
 
  943(j)
 
CEVA Holdings LLC
$ 1,037,641 
           
       
Marine - 0.1%
 
   
  247,509(d)(j)
 
Horizon Lines, Inc., Class A
$ 91,578 
           
       
Total Transportation 
$ 1,129,219 
           
       
TOTAL COMMON STOCKS
 
       
(Cost  $1,600,634)
$ 1,303,033 
           
 
       
CONVERTIBLE PREFERRED STOCKS -  0.5% of Net Assets
 
 
       
DIVERSIFIED FINANCIALS - 0.3%
 
       
Other Diversified Financial Services - 0.3%
 
   
  470(f)
 
Bank of America Corp., 7.25 
$ 542,850 
           
       
Total Diversified Financials 
$ 542,850 
           
 
       
ENERGY - 0.2%
 
       
Oil & Gas Exploration & Production - 0.2%
 
   
  200(f)(j)
 
Halcon Resources Corp., 5.75 
$ 220,000 
           
       
Total Energy 
$ 220,000 
           
       
TOTAL CONVERTIBLE PREFERRED STOCKS
 
       
(Cost  $524,900)
$ 762,850 
           
 
       
PREFERRED STOCKS -  4.0% of Net Assets
 
 
           
 
       
BANKS - 0.3%
 
       
Diversified Banks - 0.3%
 
   
  500(b)(f)
 
AgStar Financial Services ACA, 6.75 
$ 510,125 
           
       
Total Banks 
$ 510,125 
           
 
       
DIVERSIFIED FINANCIALS - 0.7%
 
       
Other Diversified Financial Services - 0.7%
 
   
  40,675(b)
 
GMAC Capital Trust I, 8.125 
$ 1,105,547 
           
       
Total Diversified Financials 
$ 1,105,547 
           


 
 

 
Pioneer Diversified High Income Trust
Schedule of Investments | 7/31/14 (unaudited)


   
Shares
   
Value
 
       
INSURANCE - 3.0%
 
       
Reinsurance - 3.0%
 
   
 673,438 (d)(k)
 
Altair Re
$ 841,393 
   
  2,500,00(d)(k)
 
Altair Re II, Ltd.
 2,603,250 
   
  15,000(d)(k)
 
Lorenz Re, Ltd.
  1,575,750 
         
$ 5,020,393 
       
Total Insurance 
$ 5,020,393 
           
 
       
SOFTWARE & SERVICES - 0.0%
 
       
Data Processing & Outsourced Services - 0.0%
 
   
  1,110(d)(k)
 
Perseus Holding Corp., 14.0 (144A)
$ 91,020 
           
       
Total Software & Services 
$ 91,020 
           
       
TOTAL PREFERRED STOCKS
 
       
(Cost  $6,098,684)
$ 6,727,085 
           
 
       
RIGHT/WARRANT -  0.0% of Net Assets
 
 
       
AUTOMOBILES & COMPONENTS0.0%
 
       
Auto Parts & Equipment - 0.0%
 
   
  86(d)(j)
 
Lear Corp., Expires 11/9/14   
$ 16,237 
           
       
Total Automobiles & Components 
$ 16,237 
           
       
TOTAL RIGHT/WARRANT
 
       
(Cost  $4,645)
$ 16,237 
           
       
TOTAL INVESTMENTS IN SECURITIES - 136.5%
 
       
(Cost - $222,081,570) (l)(m)
$ 226,992,150 
 
 
       
WRITTEN PUT OPTION -  0.0%
 
 
   
  (672,138)
 
U.S. Dollar versus Turkish Lira
$ (649)
       
TOTAL WRITTEN PUT OPTION
 
       
(Cost  $(11,073))
$ (649)
           
       
OTHER ASSETS AND LIABILITIES -(36.5)%
$ (60,729,187)
       
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS -100.0%
$ 166,262,314 
 
 
 

 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 July 31, 2014, the value of these securities amounted to $121,098,804, or 72.8% 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 July 31, 2014.
(a)
Floating rate note.  The rate shown is the coupon rate at July 31, 2014.
(b)
The interest rate is subject to change periodically. The interest is shown is the rate at July 31, 2014.
(c)
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date.  The rate shown is the rate at July 31, 2014.
(d)
Indicates a security that has been deemed as illiquid.  As of July 31, 2014 the aggregate cost of illiquid securities in the Trust's portfolio was $26,288,386.  As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $25,393,378 represented 15.3% of total net assets applicable to common shareowners.
(e)
Security is in default and is non income producing.
(f)
Security is perpetual in nature and has no stated maturity date.
(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 priced as a unit.
(j)
Non-income producing.

 
Pioneer Diversified High Income Trust
Schedule of Investments | 7/31/14 (unaudited)



(k)
At July 31, 2014, the net unrealized appreciation on investments based on cost for federal tax purposes of $224,480,788 was as follows:
 
   
 
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost
$ 11,630,225
 
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value
  (9,118,863) 
   
 
Net unrealized appreciation
$ 2,511,362
     
For financial reporting purposes net unrealized appreciation on investments was
$ 4,910,580  and cost of investments aggregated  $222,081,570.
 
 

(m)
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
 
 
United States
62.7
%
 
Bermuda
7.2
 
 
Cayman Islands
7.0
 
 
Luxembourg
3.6
 
 
Ireland
3.3
 
 
Argentina
2.2
 
 
Netherlands
2.2
 
 
Mexico
1.5
 
 
United Kingdom
1.4
 
 
Canada
1.3
 
 
Austria
1.2
 
 
Brazil
1.1
 
 
Other (individually less than 1%)
5.3
 
   
100.0
%
 

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

Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
AUD
-
Australian Dollar
BRL
-
Brazilian Real
CAD
-
Canadian Dollar
EUR
-
Euro
GBP
-
Great British Pound
GHS
-
Ghananian Cedis
MXN
-
Mexican Peso
NGN
-
Nigerian Naira
RUB
-
Russian Ruble
 



 
 

 
Pioneer Diversified High Income Trust
Schedule of Investments | 7/31/14 (unaudited)






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 July 31, 2014, in valuing the Trust's investments.
 
   
                         
   
Level 1
   
Level 2
   
Level 3
   
Total
 
   
                         
                         
Asset Backed Securities
  $     $ 2,753,816     $ 266,903     $ 3,020,719  
                                 
                                 
Collateralized Mortgage Obligations
          4,055,393             4,055,393  
                                 
                                 
Commercial Mortgage-Backed Securities
          742,997             742,997  
                                 
                                 
Senior Secured Floating Rate Loan Interests
          34,910,236             34,910,236  
                                 
Corporate Bonds & Notes
                               
                                 
Insurance
                               
    Reinsurance
          31,697,520       16,340,281       48,037,801  
Materials
                               
    Diversified Metals & Mining
          2,312,181       373,000       2,685,181  
All Other Corporate Bonds & Notes
          118,282,036             118,282,036  
                                 
                                 
Convertible Bonds & Notes
          3,693,491             3,693,491  
                                 
                                 
Sovereign Debt Obligations
          2,755,091             2,755,091  
                                 
Common Stocks
                               
                                 
Software & Services
                               
    Systems Software
          3,171             3,171  
Transportation
                               
    Air Freight & Logistics
          1,037,641             1,037,641  
All Other Common Stocks
    262,221                   262,221  
                                 
                                 
Convertible Preferred Stocks
    762,850                   762,850  
                                 
                                 
Preferred Stocks
                               
  Banks
                               
    Diversified Banks
          510,125             510,125  
Insurance
                               
    Reinsurance
          2,603,250       2,417,143       5,020,393  
Software & Services
                               
    Data Processing & Outsourced Services
          91,020             91,020  
All Other Preferred Stocks
    1,105,547                   1,105,547  
                                 
                                 
Right/Warrant:
    16,237                   16,237  
Total Investments in Securities
  $ 2,146,855     $ 205,447,968     $ 19,397,327     $ 226,992,150  
Other Financial Instruments
                               
Net appreciation on Forward Foreign Currency Contracts
  $     $ 104,579     $     $ 104,579  
Written Put Option
          (649           (649 )
Total Other Financial Instruments
  $     $ 103,930     $     $ 103,930  
   



 








The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
 
   
Balance
as of
4/30/14
   
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
7/31/14
 
   
                                                       
Asset Backed Securities
  $ -     $ -     $ -     $ -     $ -     $ -     $ 266,903     $     $ 266,903  
                                                                         
                                                                         
Corporate Bonds & Notes
                                                                       
Insurance
                                                                       
Reinsurance
    8,046,566       -       21,345       8,227,125       -       45,245       -       -       16,340,281  
Property & Casualty Insurance
    3,588,313       -       205,212       -       -       -       -       (3,793,525 )     -  
Materials
                                                                       
Diversified Metals & Mining
    146,250       -       3,750       423,000       (200,000     -       -       -       373,000  
                                                                         
Preferred
Stocks
                                                                       
Insurance
                                                                       
Reinsurance
    6,852,231       152,745       (331,838     -       (1,652,745     -       -       (2,603,250 )     2,417,143  
                                                                         
Total
  $ 18,633,360     $ 152,745     $ (101,531   $ 8,650,125     $ (1,852,745 )   $ 45,245     $ 266,903     $ (6,396,775 )   $ 19,397,327  
       
*  Transfers are calculated on the end of period value
 
Net change in unrealized depreciation of Level 3 investments still held and considered
Level 3 at 7/31/14: $(188,878).
 
   

As of July 31, 2014, outstanding forward foreign currency contracts were as follows:
   
Net
     
Net
   
Contracts
In
   
Unrealized
   
to Receive/
Exchange
Settlement
 
Appreciation/
 
Currency
(Deliver)
for US$
Date
US$ Value
(Depreciation)
 
EUR
(4,652,994)
$ (6,305,672)
10/28/14
$ (6,231,777)
$ 73,895 
 
EUR
(1,383,642)
  (1,909,057)
04/24/15
  (1,854,785)
  54,271 
 
EUR
490,058
  679,364 
04/24/15
  656,927 
  (22,436)
 
GBP
(459,060)
  (773,629)
09/08/14
  (774,780)
  (1,151)
 
  Total
       
$ 104,579 
 
 
 
       
Number of Contracts
Premiums Received
 
Options open at beginning of period
   
$ 672,138 
$ 11,073 
 
Options written
   
-
-
 
Options terminated in closing transactions
   
-
-
 
Options expired
   
-
-
 
Options open at end of period
   
$ 672,138 
$ 11,073 
 


 
 


At July 31, 2014, the Trust had an unfunded loan commitment amounting to $30,958 (excluding unrealized appreciation on this commitment of $495 as of July 31, 2014)
which could be extended at the option of the borrower, pursuant to the following loan agreement:

                         
                     
Unrealized
 
Borrower
 
Par
   
Cost
   
Value
   
Appreciation
 
SI Organization, Inc.
                       
   Delayed Draw Term Loan
  $ 30,958     $ 30,656     $ 31,151     $ 495  
   

The Trust had the following bridge loan outstanding at July 31, 2014:

                     
Unrealized
 
                     
Appreciation
 
Borrower
 
Par
   
Cost
   
Value
   
(Depreciation)
 
Level 3 Financing Inc.
                       
   Bridge Loan
  $ 700,000     $ 700,000     $ 700,000     $ -  


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 Diversified High Income Trust By (Signature and Title)* /s/ Mark Goodwin ----------------------- Mark Goodwin, Executive Vice President Date September 29, 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/ Mark Goodwin ----------------------- Mark Goodwin, Executive Vice President Date September 29, 2014 By (Signature and Title)* /s/ Mark Bradley ----------------- Mark Bradley, Treasurer Date September 29, 2014 * Print the name and title of each signing officer under his or her signature.