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 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, 2015

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, 2015
     
     
   
Ticker Symbol: HNW


 
 

 
Schedule of Investments | 1/31/15 (unaudited)


 
Principal
Amount
USD ($)
 
Value
       
   
ASSET BACKED SECURITIES -  1.7% of Net Assets
 
 
  746,556(a)
Aircraft Finance Trust, Series 1999-1A, Class A1, 0.647%, 5/15/24 (144A) 
$ 261,295 
 
  81,268 
Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 3/15/17   
  85,177 
 
  250,000 
Delta Air Lines Pass Through Trust, Series 2010-1, Class B, 6.375%, 1/2/16 (144A) 
  259,375 
 
  290,000(b)
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A) 
  275,940 
 
  414,974 
Monty Parent Issuer LLC, Series 2013-LTR, Class B, 4.25%, 11/20/28 (144A) 
  413,107 
 
  940,000 
Nations Equipment Finance Funding I LLC, Series 2013-1A, Class C, 5.5%, 5/20/21 (144A) 
  959,975 
 
  72,921 
Westgate Resorts LLC, Series 2012-2A, Class C, 9.0%, 1/20/25 (144A) 
  74,210 
 
  176,943 
Westgate Resorts LLC, Series 2012-BA, Class A, 9.5%, 2/20/25 (144A) 
  183,261 
   
TOTAL ASSET BACKED SECURITIES
 
   
(Cost  $2,621,800)
$ 2,512,340 
       
   
COLLATERALIZED MORTGAGE OBLIGATIONS -  2.4% of Net Assets
 
 
  375,000(a)
BAMLL Commercial Mortgage Securities Trust, Series 2014-INLD, Class F, 2.695%, 12/15/29 (144A) 
$ 339,637 
 
  175,443(c)
CAM Mortgage Trust, Series 2014-1, Class M, 5.5%, 12/15/53 (144A) 
  175,585 
 
  200,000(b)
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C4, Class E, 5.135%, 10/15/39 (144A) 
  206,799 
 
  125,000(a)
EQTY Mezzanine Trust, Series 2014-INMZ, Class M, 4.918%, 5/8/31 (144A) 
  122,715 
 
  170,000(a)
EQTY Mortgage Trust, Series 2014-INNS, Class E, 3.618%, 5/8/31 (144A) 
  170,408 
 
  97,008 
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A) 
  93,374 
 
  169,738 
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32   
  127,645 
 
  173,236 
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A) 
  170,049 
 
  709,437(a)
Impac CMB Trust, Series 2004-9, Class 1A1, 0.928%, 1/25/35   
  641,420 
 
  150,000 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45   
  154,001 
 
  150,000(a)
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-FL3, Class E, 3.514%, 4/15/28 (144A) 
  149,996 
 
  300,000(b)
LB-UBS Commercial Mortgage Trust, Series 2005-C2, Class C, 5.274%, 4/15/40   
  301,527 
 
  556,571(b)
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41   
  566,456 
 
  400,000(b)
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class AJ, 5.951%, 5/15/46   
  416,250 
   
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 
   
(Cost  $3,592,724)
$ 3,635,862 
       
   
COMMERCIAL MORTGAGE-BACKED SECURITIES -  0.5% of Net Assets
 
 
  150,000(b)
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41   
$ 150,091 
 
  250,000(b)
COMM Mortgage Trust, Series 2012-CR2, Class E, 4.857%, 8/15/45 (144A) 
  260,402 
 
  200,000(a)
COMM Mortgage Trust, Series 2013-FL3, Class RGC2, 4.5%, 10/13/28 (144A) 
  200,118 
 
  150,600(a)
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-FL2A, Class G, 0.527%, 11/15/18 (144A) 
  145,318 
   
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
 
   
(Cost  $692,935)
$ 755,929 
       
   
SENIOR SECURED FLOATING RATE LOAN INTERESTS -  
28.3% of Net Assets * (a)
 
       
   
AUTOMOBILES & COMPONENTS - 3.4%
 
   
Auto Parts & Equipment - 1.7%
 
 
  500,000 
Crowne Group LLC, First Lien Initial Term Loan, 6.0%, 9/30/20     
$ 492,500 
 
  186,934 
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21     
  185,615 
 
  163,750 
Key Safety Systems, Inc., Initial Term Loan, 4.75%, 8/29/21     
  163,273 
 
  319,241 
MPG Holdco I, Inc. Initial Term Loan, 4.25%, 10/20/21     
  319,212 
 
  277,930 
TI Group Automotive Systems LLC, Facility Term Loan, 4.25%, 7/2/21     
  277,105 
 
  962,936 
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.0%, 4/23/20
  950,297 
 
  139,200 
UCI International, Inc. (United Components), Term Loan, 5.5%, 7/26/17     
  138,794 
     
$ 2,526,796 
   
Automobile Manufacturers - 0.9%
 


 
  1,447,500 
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17     
$ 1,443,076 
       

 
Principal
Amount
USD ($)
 
Value
   
Tires & Rubber - 0.8%
 
 
  600,000 
American Tire Distributors, Inc., Term Loan, 5.75%, 6/1/18     
$ 599,250 
 
  575,000 
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19     
  575,719 
     
$ 1,174,969 
   
Total Automobiles & Components 
$ 5,144,841 
       
       
   
CAPITAL GOODS - 3.5%
 
   
Aerospace & Defense - 1.3%
 
 
  808,980 
DAE Aviation Holdings, Inc., Tranche B-1 Loan, 5.0%, 11/2/18     
$ 809,231 
 
  366,733 
DAE Aviation Holdings, Inc., Tranche B-2 Loan, 5.0%, 11/2/18     
  366,427 
 
  132,935 
TASC, Inc., First Lien Term Loan, 6.5%, 5/22/20     
  130,387 
 
  232,872 
Vencore, Inc. (fka SI Organization, Inc.), Initial First Lien Term Loan, 5.75%, 11/23/19     
 232,581 
 
  15,479 
Vencore, Inc. (fka SI Organization, Inc.), Delayed Draw Term Loan, 5.75%, 11/23/19     
  15,459 
 
  320,000 
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21     
  308,800 
     
$ 1,862,885 
   
Building Products - 0.3%
 
 
  500,000 
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18     
$ 496,042 
       
   
Construction & Farm Machinery & Heavy Trucks - 0.2%
 
 
  390,000 
Navistar, Inc., Tranche B, Term Loan, 5.75%, 8/17/17     
$ 390,244 
       
   
Electrical Components & Equipment - 0.4%
 
 
  547,059 
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17     
$ 548,084 
       
   
Industrial Conglomerates - 0.9%
 
 
  500,000 
Doosan Infracore International, Inc. (Doosan Holdings Europe Ltd.), Tranche B Term Loan, 4.5%, 5/28/21     
$ 500,000 
 
  106,901 
Faenza Acquisition GmbH (CeramTec Acquisition Acquisition Corp.), Dollar Term B-3 Loan, 4.25%, 8/30/20     
  106,233 
 
  357,622 
Faenza Acquisition GmbH (CeramTec Acquisition Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.25%, 8/30/20     
  355,387 
 
  35,477 
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.25%, 8/30/20     
  35,255 
 
  355,000 
Filtration Group Corp., Initial Second Lien Term Loan, 8.25%, 11/22/21     
355,000 
     
$ 1,351,875 
   
Trading Companies & Distributors - 0.4%
 
 
  349,774 
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%  , 7/16/18     
$ 347,124 
 
  284,593 
WESCO Distribution, Inc., Tranche B-1 Loan, 3.75%, 12/12/19     
  284,237 
     
$ 631,361 
   
Total Capital Goods 
$ 5,280,491 
       
       
   
COMMERCIAL & PROFESSIONAL SERVICES - 0.7%
 
   
Environmental & Facilities Services - 0.3%
 
 
  500,000 
Granite Acquisition, Inc. Second Lien Term B Loan, 7.25%, 12/19/22     
$ 506,250 
       
   
Research & Consulting Services - 0.3%
 
 
  400,000 
Wyle Services Corp., Term Loan, 5.0%, 5/23/21     
$ 399,875 
       
   
Security & Alarm Services - 0.1%
 
 
  202,708 
Protection One, Inc., 2012 Term Loan, 4.25%, 3/21/19     
$ 201,188 
       
   
Total Commercial & Professional Services 
$ 1,107,313 
       
   
CONSUMER DURABLES & APPAREL - 0.3%
 
   
Leisure Products - 0.2%
 
 
  300,000 
Bombardier Recreational Products Inc., Term B Loan, 4.0%, 1/30/19     
$ 293,875 
       
   
Textiles - 0.1%
 
 
  108,319 
Klockner Pentaplast of America, Inc., Term Loan B-1, 4.75%, 12/21/16     
$ 108,319 
       
   
Total Consumer Durables & Apparel 
$ 402,194 
       
       
   
CONSUMER SERVICES - 0.9%
 
   
Casinos & Gaming - 0.2%
 
 
  300,000 
Scientific Games International, Inc., Initial Term B-2 Loan, 6.0%, 10/1/21     
$ 296,813 
       
   
Leisure Facilities - 0.1%
 
 
  132,123 
Fitness International LLC, Term B Loan, 5.5%, 7/1/20     
$ 126,012 
       





 
Principal
Amount
USD ($)
 
Value
   
Restaurants - 0.6%
 
 
  429,750 
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18
$ 428,854 
 
  539,738 
NPC International, Inc., Term Loan, 3.0%, 12/28/18     
  528,943 
     
$ 957,797 
   
Total Consumer Services 
$ 1,380,622 
       
   
DIVERSIFIED FINANCIALS - 0.1%
 
   
Consumer Finance - 0.1%
 
 
  216,807 
Trans Union LLC, Replacement Term Loan, 4.0%, 4/9/21     
$ 214,130 
       
   
Total Diversified Financials 
$ 214,130 
       
   
ENERGY - 1.2%
 
   
Coal & Consumable Fuels - 0.1%
 
 
  352,500 
PT Bumi Resources Tbk, Term Loan, 18.0%, 8/15/14     
$ 119,850 
       
   
Integrated Oil & Gas - 0.3%
 
 
  500,000 
Chief Exploration & Development LLC, Second Lien Term Loan, 7.5%, 5/16/21     
$ 442,500 
       
   
Oil & Gas Drilling - 0.3%
 
 
  444,680 
Jonah Energy LLC, Initial Second Lien Initial Loan, 7.5%, 5/12/21     
$ 373,809 
 
  96,233 
Offshore Group Investment, Ltd. (Vantage Delaware Holdings LLC), Second Lien Term Loan, 5.75%, 3/28/19     
  61,349 
     
$ 435,158 
   
Oil & Gas Equipment & Services - 0.1%
 
 
  297,744 
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20     
$ 245,639 
       
   
Oil & Gas Exploration & Production - 0.4%
 
 
  849,204 
Fieldwood Energy LLC, Closing Date Second Lien Term Loan, 8.375%, 9/30/20
$ 520,562 
 
  115,754 
Samson Investment Co., Second Lien Term Loan, 5.0%, 9/25/18     
  73,041 
     
$ 593,603 
   
Total Energy 
$ 1,836,750 
       
   
FOOD, BEVERAGE & TOBACCO - 1.1%
 
   
Packaged Foods & Meats - 1.1%
 
 
  152,717 
Del Monte Corp., Initial Term Loan, 3.5%, 3/9/20     
$ 147,529 
 
  500,000 
Dole Food Company, Inc., Tranche B Term Loan, 4.5%, 11/1/18     
  496,094 
 
  932,950 
New HB Acquisition LLC, Term B Loan, 6.75%, 4/9/20     
  952,775 
   
Total Food, Beverage & Tobacco 
$ 1,596,398 
       
       
   
HEALTH CARE EQUIPMENT & SERVICES - 4.1%
 
   
Health Care Equipment & Services - 0.7%
 
 
  500,000 
Accellent, Inc., Initial First Lien Term Loan, 4.5%, 3/12/21     
$ 487,500 
 
  366,000 
Accellent, Inc., Initial Second Lien Term Loan, 7.5%, 3/11/22     
  344,040 
 
  237,727 
Kinetic Concepts, Inc., Dollar E-1 Term Loan, 4.0%, 5/4/18     
  235,519 
     
$ 1,067,059 
   
Health Care Facilities - 1.0%
 
 
  708,319 
CHS/Community Health Systems, Inc., Term D Loan, 4.25%, 1/27/21     
$ 708,872 
 
  265,757 
CHS/Community Health Systems, Inc., Term E Loan, 4.25%, 1/25/17     
  264,699 
 
  195,565 
HCA, Inc., Tranche B-5 Term Loan, 2.75%, 3/31/17     
  195,580 
 
  320,147 
Kindred Healthcare, Inc., Incremental Term Loan, 4.25%, 4/9/21     
  316,146 
     
$ 1,485,297 
   
Health Care Services - 1.9%
 
 
  365,903 
AccentCare, Inc., Term Loan, 6.5%, 12/22/16     
$ 325,654 
 
  208,835 
Bioscrip, Inc., Delayed Term Loan, 6.5%, 7/31/20     
  208,661 
 
  348,058 
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20     
  347,768 
 
  712,602 
Gentiva Health Services, Inc., Initial Term Loan B, 6.5%, 10/18/19     
  713,381 
 
  203,463 
National Mentor Holdings, Inc., Tranche B Term Loan, 4.75%, 1/31/21     
  200,919 
 
  458,025 
Surgical Care Affiliates LLC, Class C Term Loan, 4.0%, 6/29/18     
  454,590 
 
  283,225 
Valitas Health Services, Inc., Term Loan B, 6.0%, 6/2/17     
  271,188 
 
  482,500(d)
Virtual Radiologic Corp., Term Loan B, 7.25%, 12/22/16     
  371,525 
     
$ 2,893,686 
   
Health Care Supplies - 0.1%
 
 
  185,959 
Alere, Inc., Term Loan B, 4.25%, 6/30/17     
$ 186,036 
       
   
Health Care Technology - 0.4%
 
 
  238,848 
IMS Health, Inc., Tranche B-1 Dollar Term Loan, 3.5%, 3/17/21     
$ 234,867 




 
Principal
Amount
USD ($)
 
Value
   
Health Care Technology (continued)
 
 
  327,615 
Medical Card System, Inc., Term Loan, 12.0%, 3/17/17     
$ 314,511 
     
$ 549,378 
   
Total Health Care Equipment & Services 
$ 6,181,456 
       
   
HOUSEHOLD & PERSONAL PRODUCTS - 0.8%
 
   
Household Products - 0.4%
 
 
  381,800 
SRAM LLC, First Lien Term Loan, 4.0%, 4/10/20     
$ 374,880 
 
  213,275 
Wash MultiFamily Laundry Systems LLC, U.S. Term Loan, 4.5%, 2/21/19     
  210,876 
     
$ 585,756 
   
Personal Products - 0.2%
 
 
  100,000 
Atrium Innovations, Inc., Second Lien Term Loan, 7.75%, 8/13/21     
$ 93,500 
 
  215,357 
NBTY, Inc., B-2 Term Loan, 2.5%, 10/1/17     
 209,468 
     
$ 302,968 
       
   
Security & Alarm Services - 0.2%
 
 
  267,475 
Monitronics International, Inc., 2013 Term Loan B, 3.25%, 3/23/18     
$ 266,695 
       
   
Total Household & Personal Products 
$ 1,155,419 
       
   
INSURANCE - 1.4%
 
   
Multi-Line Insurance - 0.4%
 
 
  562,479 
Alliant Holdings I LLC, Initial Term Loan, 4.25%, 12/20/19     
$ 554,569 
       
   
Property & Casualty Insurance - 1.0%
 
 
  593,765 
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25, 5/8/19     
$ 593,765 
 
  945,943 
USI, Inc., Initial Term Loan, 4.25%, 12/27/19     
  932,936 
     
$ 1,526,701 
   
Total Insurance 
$ 2,081,270 
       
   
MATERIALS - 1.7%
 
   
Commodity Chemicals - 0.1%
 
 
  102,000 
Citadel Plastics Holdings, Inc., First Lien Initial Term Loan, 5.25%, 11/5/20  
$ 101,363 
       
   
Diversified Chemicals - 0.2%
 
 
  296,335 
Univar, Inc., Term Loan B, 5.0%, 6/30/17     
$ 286,927 
       
   
Diversified Metals & Mining - 0.0%
 
 
  57,668(e)
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.0%, 1/20/13     
$ 19,607 
       
   
Metal & Glass Containers - 0.3%
 
 
  413,493 
Tank Holding Corp., Initial Term Loan, 5.5%, 7/9/19     
$ 406,601 
       
   
Paper Packaging - 0.3%
 
 
  500,000 
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19     
$ 485,000 
       
   
Paper Products - 0.5%
 
 
  598,481 
Appvion, Inc., Term Commitment, 5.75%, 6/28/19     
$ 586,137 
 
  99,000 
Exopack Holdings SA, USD Term Loan, 5.25%, 5/8/19     
  98,897 
     
$ 685,034 
   
Specialty Chemicals - 0.0%
 
 
  48,810 
Chemtura Corp., New Term Loan, 3.5%, 8/29/16     
$ 48,830 
       
   
Steel - 0.3%
 
 
  498,750 
Essar Steel Algoma, Inc., Initial Term Loan, 7.5%, 8/16/19     
$ 486,281 
       
   
Total Materials 
$ 2,519,643 
       
   
MEDIA - 3.4%
 
   
Advertising - 0.7%
 
 
  952,854 
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18     
$ 893,301 
 
  150,000 
Getty Images, Inc., Initial Term Loan, 4.75%, 10/18/19     
  136,281 
     
$ 1,029,582 
   
Broadcasting - 0.7%
 
 
  296,690 
Hubbard Radio LLC, Tranche 1 Term Loan, 4.5%, 4/29/19     
$ 293,908 
 
  315,000 
Learfield Communications, Inc., Initial Second Lien Term Loan, 8.75%, 10/8/21     
  312,638 
 
  463,454 
Univision Communications, Inc., Replacement First-Lien Term Loan, 4.0%, 3/1/20     
  457,154 
     
$ 1,063,700 






 
Principal
Amount
USD ($)
 
Value
   
Cable & Satellite - 0.2%
 
 
  299,250 
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 6.75%, 8/13/21     
$ 296,070 
       
   
Cable & Telecommunications - 0.2%
 
 
  339,187 
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/1/19     
$ 337,576 
       
   
Movies & Entertainment - 0.0%
 
 
  69,063 
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18     
$ 69,149 
       
   
Publishing - 1.6%
 
 
  527,470 
Cengage Learning Acquisitions, Inc., Term Loan, 7.0%, 3/31/20     
$ 524,942 
 
  748,120 
Interactive Data Corp., Term Loan, 4.75%, 5/2/21     
  746,952 
 
  149,220 
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19     
 148,847 
 
  940,500 
McGraw-Hill School Education Holdings LLC, Term B Loan, 6.25%, 12/18/19  
 941,284 
     
$ 2,362,025 
   
Total Media 
$ 5,158,102 
       
       
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.4%
 
   
Life Sciences Tools & Services - 0.3%
 
 
  431,007 
Catalent Pharma Solutions, Inc., Dollar Term Loan, 4.5%, 5/20/21     
$ 430,361 
       
   
Pharmaceuticals - 0.1%
 
 
  250,000 
Par Pharmaceutical Co., Inc. (Par Pharmaceutical, Inc.), Term B-2 Loan, 4.0%, 9/30/19     
$ 245,687 
       
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 676,048 
       
       
   
RETAIL REIT - 0.2%
 
   
Retail REIT - 0.2%
 
 
  278,771 
DTZ U.S. Borrower LLC, Delayed Draw Term Loan, 5.5%, 11/4/21     
$ 279,293 
       
   
Total Retail REIT
$ 279,293 
       
   
RETAILING - 0.9%
 
   
Automotive Retail - 0.5%
 
 
  682,500 
CWGS Group LLC, Term Loan, 5.75%, 2/20/20     
$ 679,941 
       
   
Computer & Electronics Retail - 0.4%
 
 
  711,994 
Targus Group International, Inc., Term Loan, 12.0%, 5/24/16     
$ 567,815 
       
   
Total Retailing 
$ 1,247,756 
       
       
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.4%
 
   
Semiconductor Equipment - 0.4%
 
 
  600,000 
VAT Lux III S.a.r.l. (fka Polyusus Lux 2 S.a.r.l.), Initial Term Loan, 4.75%, 2/11/21     
$ 590,625 
       
   
Total Semiconductors & Semiconductor Equipment 
$ 590,625 
       
       
   
SOFTWARE & SERVICES - 1.4%
 
   
Application Software - 0.7%
 
 
  210,670 
Expert Global Solutions, Inc., Advance First Lien Term Loan B, 8.5%, 4/3/18
$ 209,968 
 
  423,038 
Houghton Mifflin Holdings, Inc., Term Loan, 4.25%, 5/22/18     
  421,451 
 
  500,000 
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/27/17     
  502,916 
     
$ 1,134,335 
   
IT Consulting & Other Services - 0.7%
 
 
  249,375 
Evergreen Skills Lux S.a r.l., First Lien Initial Term Loan, 5.75%, 4/28/21     
$ 242,413 
 
  772,637 
SunGuard Data Systems, Inc., Tranche C Term Loan, 3.75%, 2/28/17     
  770,860 
     
$ 1,013,273 
   
Total Software & Services 
$ 2,147,608 
       
       
   
TECHNOLOGY HARDWARE & EQUIPMENT - 0.5%
 
   
Communications Equipment - 0.2%
 
 
  85,318 
CommScope, Inc., Tranche 3 Term Loan, 2.735%, 1/21/17     
$ 84,927 
 
  127,977 
CommScope, Inc., Tranche 4 Term Loan, 3.25%, 1/14/18     
  127,936 
     
$ 212,863 
   
Electronic Components - 0.3%
 
 
  477,897 
Scitor Corp., Term Loan, 5.0%, 2/15/17     
$ 474,312 
       
   
Total Technology Hardware & Equipment 
$ 687,175 
       
       
   
TELECOMMUNICATION SERVICES - 0.6%
 
   
Integrated Telecommunication Services - 0.3%
 
 
  500,000 
GCI Holdings, Inc., Term B Loan, 4.75%, 2/2/22     
$ 501,145 
       
   
Wireless Telecommunication Services - 0.3%
 
 
  333,333 
Syniverse Holdings, Inc., Initial Term Loan, 4.0%, 4/23/19     
$ 323,056 
 
  166,667 
Syniverse Holdings, Inc., Tranche B Term Loan, 5.0%, 4/23/19     
  161,528 
     
$ 484,584 
   
Total Telecommunication Services 
$ 985,729 
       

 
Principal
Amount
USD ($)
 
Value
       
   
TRANSPORTATION - 0.5%
 
   
Air Freight & Logistics - 0.1%
 
 
  192,075 
Ozburn-Hessey Holding Co., LLC, Term Loan, 6.75%, 5/23/19     
$ 192,315 
       
   
Marine - 0.4%
 
 
  500,000 
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18     
$ 495,625 
       
   
Total Transportation 
$ 687,940 
       
       
   
UTILITIES - 0.8%
 
   
Electric Utilities - 0.8%
 
 
  500,000 
Atlantic Power Limited Partnership, Term Loan, 3.75%, 2/24/21     
$ 498,750 
 
  280,808 
Star West Generation LLC, Advance Term Loan B, 3.25%, 3/13/20     
  276,947 
 
  629,720 
Texas Competitive Electric Holdings Co., LLC, 2017 Term Loan, 4.5%, 10/10/17     
  400,069 
   
Total Utilities 
$ 1,175,766 
       
   
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
 
   
(Cost  $43,809,500)
$ 42,536,569 
       
   
CORPORATE BONDS & NOTES -  94.9% of Net Assets
 
       
   
AUTOMOBILES & COMPONENTS - 0.8%
 
   
Auto Parts & Equipment - 0.8%
 
 
  350,000 
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)   
$ 361,375 
 
  248,000 
Pittsburgh Glass Works LLC, 8.0%, 11/15/18 (144A)   
  262,880 
 
  640,000 
Stackpole International Intermediate Co., SA / Stackpole International Powder, 7.75%, 10/15/21 (144A)   
  625,600 
   
Total Automobiles & Components 
$ 1,249,855 
       
       
   
BANKS - 2.0%
 
   
Diversified Banks - 1.6%
 
 
  525,000 
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A)   
$ 530,250 
 
  400,000(b)
Banco Macro SA, 9.75%, 12/18/36     
  369,000 
 
  200,000(b)(f)
Banco Santander SA, 6.375%  
  196,000 
 
  325,000(b)(f)
Bank of America Corp., 6.25%     
  332,348 
 
  750,000 
UBS AG / Stamford CT, 7.625%, 8/17/22     
  895,227 
     
$ 2,322,825 
   
Regional Banks - 0.4%
 
 
  600,000(b)(f)
PNC Financial Services Group, Inc., 4.451%
$ 600,000 
       
   
Total Banks 
$ 2,922,825 
       
       
   
CAPITAL GOODS - 5.0%
 
   
Aerospace & Defense - 1.2%
 
 
  400,000 
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)   
$ 384,000 
 
  680,000 
DynCorp International, Inc., 10.375%, 7/1/17     
  612,000 
EUR
  275,000
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)   
 228,250 
 
  435,000 
LMI Aerospace, Inc., 7.375%, 7/15/19 (144A)   
 431,825 
     
$ 1,656,075 
   
Building Products - 0.2%
 
 
  300,000 
USG Corp., 7.875%, 3/30/20 (144A)   
$ 323,250 
       
   
Construction & Engineering - 0.5%
 
 
  900,000 
Empresas ICA S.A.B. de CV, 8.9%, 2/4/21 (144A)   
$ 647,100 
 
  1,200,000(e)
OAS Investments GmbH, 8.25%, 10/19/19 (144A)   
  150,000 
     
$ 797,100 
   
Construction & Farm Machinery & Heavy Trucks - 0.7%
 
 
  360,000 
Meritor, Inc., 6.75%, 6/15/21     
$ 373,500 
 
  660,000 
Navistar International Corp., 8.25%, 11/1/21     
  644,325 
     
$ 1,017,825 
   
Electrical Components & Equipment - 0.5%
 
 
  750,000 
WireCo WorldGroup, Inc., 9.5%, 5/15/17     
$ 742,500 
       
   
Industrial Conglomerates - 0.3%
 
 
  455,000 
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)   
$ 489,125 
       
   
Industrial Machinery - 0.7%
 
 
  250,000 
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)   
$ 217,500 
 
  450,000 
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)   
 469,125 
 
  335,000 
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)   
  268,000 
 
  150,000 
Xerium Technologies, Inc., 8.875%, 6/15/18     
  156,750 
     
$ 1,111,375 



 
Principal
Amount
USD ($)
 
Value
   
Trading Companies & Distributors - 0.9%
 
 
  150,000 
H&E Equipment Services, Inc., 7.0%, 9/1/22     
$ 142,875 
 
  1,090,000 
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19     
  1,182,650 
     
$ 1,325,525 
   
Total Capital Goods 
$ 7,462,775 
       
       
   
COMMERCIAL & PROFESSIONAL SERVICES - 1.5%
 
   
Commercial Printing - 0.5%
 
 
  700,000 
Multi-Color Corp., 6.125%, 12/1/22 (144A)   
$ 707,875 
       
   
Diversified Support Services - 0.7%
 
 
  950,000 
NANA Development Corp., 9.5%, 3/15/19 (144A)   
$ 836,000 
 
  280,000 
Transfield Services, Ltd., 8.375%, 5/15/20 (144A)   
 299,600 
     
$ 1,135,600 
   
Environmental & Facilities Services - 0.0%
 
 
  700,000(d)(e)
Old AII, Inc., 10.0%, 12/15/16     
$ 7 
       
   
Security & Alarm Services - 0.3%
 
 
  415,000 
Interface Security Systems Holdings, Inc. / Interface Security Systems LLC, 9.25%, 1/15/18     
$ 416,037 
       
   
Total Commercial & Professional Services 
$ 2,259,519 
       
       
   
CONSUMER DURABLES & APPAREL - 1.5%
 
   
Home Furnishings - 0.4%
 
 
  535,000 
Tempur Sealy International, Inc., 6.875%, 12/15/20     
$ 573,787 
       
   
Homebuilding - 0.2%
 
 
  605,000(d)(e)
Desarrolladora Homex SAB de CV, 9.5%, 12/11/19 (144A)   
$ 42,350 
 
  250,000 
KB Home, 7.0%, 12/15/21     
  250,000 
     
$ 292,350 
   
Leisure Products - 0.8%
 
 
  1,000,000 
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)   
  $ 980,000 
 
  375,000 
PC Nextco Holdings LLC / PC Nextco Finance, Inc., 8.75%, 8/15/19     
  380,625 
     
$ 1,360,625 
   
Textiles - 0.1%
 
 
  195,000 
Polymer Group, Inc., 6.875%, 6/1/19 (144A)   
$ 186,225 
   
Total Consumer Durables & Apparel 
$ 2,412,987 
       
       
   
CONSUMER SERVICES - 2.9%
 
   
Business Services - 0.8%
 
 
  750,000 
Sitel LLC / Sitel Finance Corp., 11.0%, 8/1/17 (144A)   
$ 761,250 
 
  500,000 
Sitel LLC / Sitel Finance Corp., 11.5%, 4/1/18     
  417,500 
     
$ 1,178,750 
   
Casinos & Gaming - 1.0%
 
 
  756,089(d)(e)(g)
Mashantucket Western Pequot Tribe, 6.5% (5.5% PIK 1.0% cash), 7/1/36    
$ 3,780 
 
  365,000 
MGM Resorts International, 6.0%, 3/15/23     
  368,650 
 
  100,000 
Scientific Games International, Inc., 6.25%, 9/1/20     
  70,000 
 
  1,200,000 
Scientific Games International, Inc., 10.0%, 12/1/22 (144A)   
  1,101,000 
     
$ 1,543,430 
   
Hotels, Resorts & Cruise Lines - 0.3%
 
 
  325,000 
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)   
$ 355,875 
       
   
Leisure Facilities - 0.6%
 
EUR
  800,000 
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 (144A)   
$ 929,373 
       
   
Specialized Consumer Services - 0.2%
 
 
  315,000 
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21
$ 324,450 
       
   
Total Consumer Services 
$ 4,331,878 
       
       
   
DIVERSIFIED FINANCIALS - 2.1%
 
   
Asset Management & Custody Banks - 0.4%
 
 
  590,000 
Janus Capital Group, Inc., 6.7%, 6/15/17     
$ 654,219 
       







 
Principal
Amount
USD ($)
 
Value
   
Consumer Finance - 0.8%
 
 
  445,000 
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)   
$ 418,300 
 
  406,687 
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)   
  404,677 
 
  440,000 
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)   
  334,400 
     
$ 1,157,377 
   
Investment Banking & Brokerage - 0.2%
 
 
  450,000(b)(f)
Goldman Sachs Capital II, 4.0% 
$ 351,000 
       
   
Multi-Sector Holdings - 0.3%
 
 
  600,000 
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A)   
$ 472,500 
       
   
Specialized Finance - 0.4%
 
 
  375,000(g)
Igloo Holdings Corp., 8.25% (9.0% PIK 8.25% cash), 12/15/17 (144A)   
$ 378,750 
 
  175,000 
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%  , 7/1/21     
 151,375 
     
$ 530,125 
   
Total Diversified Financials 
$ 3,165,221 
       
       
   
ENERGY - 8.7%
 
   
Coal & Consumable Fuels - 0.7%
 
 
  285,000 
Alpha Natural Resources, Inc., 7.5%, 8/1/20 (144A)   
$ 133,950 
 
  400,000(e)
James River Coal Co., 7.875%, 4/1/19     
  500 
 
  300,000 
Murray Energy Corp., 8.625%, 6/15/21 (144A)   
  286,500 
 
  715,000 
Penn Virginia Corp., 8.5%, 5/1/20     
  593,450 
     
$ 1,014,400 
   
Integrated Oil & Gas - 0.2%
 
MXN
  540,000 
Petroleos Mexicanos, 7.19%, 9/12/24 (144A)   
$ 37,228 
 
  325,000 
YPF SA, 8.875%, 12/19/18 (144A)   
  333,125 
     
$ 370,353 
   
Oil & Gas Drilling - 0.5%
 
 
  730,000 
Ocean Rig UDW, Inc., 7.25%, 4/1/19 (144A)   
$ 474,500 
 
  320,000 
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)   
  252,800 
     
$ 727,300 
   
Oil & Gas Equipment & Services - 0.2%
 
 
  425,000 
McDermott International, Inc., 8.0%, 5/1/21 (144A)   
$ 263,500 
       
   
Oil & Gas Exploration & Production - 6.5%
 
 
  100,000 
Comstock Resources, Inc., 7.75%, 4/1/19     
$ 51,000 
 
  750,000 
Comstock Resources, Inc., 9.5%, 6/15/20     
  382,500 
 
  515,000 
Energy XXI Gulf Coast, Inc., 7.5%, 12/15/21     
  234,325 
 
  750,000 
EP Energy LLC / EP Energy Finance, Inc., 9.375%, 5/1/20     
  755,625 
 
  360,000 
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A)   
  260,507 
 
  570,000 
Gulfport Energy Corp., 7.75%, 11/1/20     
  565,725 
 
  165,000 
Halcon Resources Corp., 9.25%, 2/15/22     
  108,900 
 
  890,000 
Halcon Resources Corp., 9.75%, 7/15/20     
  594,075 
 
  485,000 
Jupiter Resources, Inc., 8.5%, 10/1/22 (144A)   
  363,750 
 
  680,000 
Lightstream Resources, Ltd., 8.625%, 2/1/20 (144A)   
  385,900 
 
  630,000 
Memorial Production Partners LP / Memorial Production Finance Corp., 7.625%, 5/1/21     
  565,425 
 
  600,000 
Midstates Petroleum Co., Inc., 9.25%, 6/1/21     
  310,500 
 
  455,000 
Midstates Petroleum Co., Inc., 10.75%, 10/1/20     
  247,975 
 
  350,000 
MIE Holdings Corp., 7.5%, 4/25/19 (144A)   
  210,000 
 
  1,365,000 
Northern Oil & Gas, Inc., 8.0%, 6/1/20     
  1,180,725 
 
  535,000 
PDC Energy, Inc., 7.75%, 10/15/22     
  516,275 
 
  750,000 
PetroQuest Energy, Inc., 10.0%, 9/1/17     
  630,000 
 
  240,000(e) 
Quicksilver Resources, Inc., 7.125%, 4/1/16     
  7,200 
 
  375,000 
Rice Energy, Inc., 6.25%, 5/1/22     
  361,875 
 
  285,000 
Rosetta Resources, Inc., 5.875%, 6/1/24     
  260,063 
 
  310,000 
RSP Permian, Inc., 6.625%, 10/1/22 (144A)   
  308,062 
 
  1,170,000 
Sanchez Energy Corp., 7.75%, 6/15/21     
  1,134,900 
 
  335,000 
Talos Production LLC / Talos Production Finance, Inc., 9.75%, 2/15/18 (144A)   
  288,100 
     
$ 9,723,407 
   
Oil & Gas Refining & Marketing - 0.3%
 
 
  604,000 
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21 (144A)   
$ 522,460 
       
   
Oil & Gas Storage & Transportation - 0.3%
 
 
  450,000(a)
Energy Transfer Partners LP, 3.272%, 11/1/66     
$ 396,000 
       
   
Total Energy 
$ 13,017,420 
       


 
Principal
Amount
USD ($)
 
Value
       
   
FOOD & STAPLES RETAILING - 0.6%
   
   
Food Distributors - 0.6%
 
 
  900,000 
JBS Investments GmbH, 7.25%, 4/3/24 (144A)   
$ 893,700 
       
   
Total Food & Staples Retailing 
$ 893,700 
       
   
FOOD, BEVERAGE & TOBACCO - 8.2%
 
   
Agricultural Products - 1.3%
 
 
  900,000 
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)   
$ 918,000 
 
  520,000 
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)   
  486,200 
 
  850,000 
Tonon Bioenergia SA, 9.25%, 1/24/20 (144A)   
  446,250 
 
  225,000 
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)   
  164,250 
     
$ 2,014,700 
   
Packaged Foods & Meats - 6.0%
 
 
  225,000 
Agrokor DD, 8.875%, 2/1/20 (144A)   
$ 243,495 
EUR
  200,000 
Agrokor DD, 9.875%, 5/1/19 (144A)   
  244,483 
 
  650,000 
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)   
  698,750 
 
  500,000 
CFG Investment SAC, 9.75%, 7/30/19 (144A)   
  417,500 
 
  136,000 
Chiquita Brands International, Inc. / Chiquita Brands LLC, 7.875%, 2/1/21     
  147,560 
 
  491,000 
Corporacion Pesquera Inca SAC, 9.0%, 2/10/17 (144A)   
  486,090 
 
  1,100,000 
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)   
  1,144,000 
 
  515,000 
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)   
  446,762 
 
  800,000 
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)   
  753,600 
 
  700,000 
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)   
  693,000 
 
  475,000 
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A)   
  443,531 
 
  700,000 
MHP SA, 8.25%, 4/2/20 (144A)   
  430,589 
 
  1,600,000 
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)   
  1,540,000 
 
  200,000 
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)   
  221,800 
 
  600,000 
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)   
  462,750 
 
  640,000 
Post Holdings, Inc., 6.75%, 12/1/21 (144A)   
 625,600 
       
     
$ 8,999,510 
   
Tobacco - 0.9%
 
 
  1,645,000 
Alliance One International, Inc., 9.875%, 7/15/21     
$ 1,373,575 
       
   
Total Food, Beverage & Tobacco 
$ 12,387,785 
       
       
   
HEALTH CARE EQUIPMENT & SERVICES - 3.0%
 
   
Health Care Equipment & Services - 0.6%
 
 
  831,000 
Physio-Control International, Inc., 9.875%, 1/15/19 (144A)   
$ 887,092 
       
   
Health Care Facilities - 0.6%
 
 
  700,000 
Kindred Healthcare, Inc., 6.375%, 4/15/22     
$ 673,750 
 
  200,000 
United Surgical Partners International, Inc., 9.0%, 4/1/20     
  214,000 
     
$ 887,750 
   
Health Care Services - 1.2%
 
 
  425,000 
BioScrip, Inc., 8.875%, 2/15/21 (144A)   
$ 374,000 
 
  426,000 
Gentiva Health Services, Inc., 11.5%, 9/1/18     
  451,560 
 
  990,000 
Truven Health Analytics, Inc., 10.625%, 6/1/20     
  965,250 
     
$ 1,790,810 
   
Health Care Supplies - 0.4%
 
 
  500,000 
Immucor, Inc., 11.125%, 8/15/19     
$ 537,500 
       
   
Health Care Technology - 0.2%
 
 
  275,000 
Emdeon, Inc., 11.0%, 12/31/19     
$ 300,094 
       
   
Total Health Care Equipment & Services 
$ 4,403,246 
       
       
   
HOUSEHOLD & PERSONAL PRODUCTS - 0.5%
 
   
Household Products - 0.3%
 
EUR
  350,000(a)
Hydra Dutch Holdings 2BV, 5.571%, 4/15/19 (144A)   
$ 359,706 
       
   
Personal Products - 0.2%
 
 
  345,000 
Monitronics International, Inc., 9.125%, 4/1/20     
$ 320,850 
       
   
Total Household & Personal Products 
$ 680,556 
       
   
INSURANCE - 34.2%
 
   
Insurance Brokers - 0.1%
 
GBP
  475,000 
Towergate Finance Plc, 10.5%, 2/15/19 (144A)   
$ 85,825 
GBP
  100,000 
Towergate Finance Plc, 8.5%, 2/15/18 (144A)   
  132,501 
     
$ 218,326 



 
Principal
Amount
USD ($)
 
Value
   
Life & Health Insurance - 1.0%
 
 
  1,000,000(a)
Vitality Re VI, Ltd., 1.755%, 1/8/18 (144A) (Cat Bond)   
$ 999,500 
 
  500,000(a)
Vitality Re VI, Ltd., 2.105%, 1/8/18 (144A) (Cat Bond)   
  498,500 
     
$ 1,498,000 
   
Multi-Line Insurance - 0.7%
 
 
  1,000,000(b)
Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A)   
$ 1,022,500 
       
   
Property & Casualty Insurance - 4.6%
 
 
  6,000,000(c)(d)(h)
Fixed Income Trust, Series 2013-A, 0.0%, 10/15/97 (144A)   
$ 4,776,238 
 
  2,000,000(a)
MultiCat Mexico, Ltd., Series 2012-I, Class A, 7.505%, 12/4/15 (144A)   
  2,005,200 
 
  80,000(b)(f)
White Mountains Insurance Group, Ltd., 7.506% (144A)   
  83,500 
     
$ 6,864,938 
   
Reinsurance - 27.8%
 
 
  1,000,000(a)
Alamo Re, Ltd., 6.355%, 6/7/17 (144A) (Cat Bond)  
$ 1,038,900 
 
  1,500,000(d)
Arlington Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 8/1/15     
  1,639,500 
EUR
  750,000(a)
ATLAS Reinsurance VII, 3.65%, 1/7/16 (144A)   
  857,863 
 
  2,008,000(d)
Berkeley Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 6/12/15     
  2,084,103 
 
  800,000 
Carnoustie Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/19/16     
  812,320 
 
  1,018,720(d)
Clarendon Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 7/14/15     
  993,761 
 
  1,750,000(a)
East Lane Re VI, Ltd., 2.755%, 3/14/18 (144A) (Cat Bond)  
  1,744,750 
 
  2,740,500 
Exeter Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/7/16     
  2,743,241 
 
  1,000,000 
Fairfield Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/2/16     
  920,800 
 
  2,000,000(a)
Gator Re, Ltd., 6.685%, 1/9/17 (144A) (Cat Bond)  
  1,791,800 
 
  2,000,000(d)
Gloucester Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 6/12/15     
  1,916,800 
 
  1,500,000(a)
Ibis Re II, Ltd., 4.005%, 6/28/16 (144A) (Cat Bond)  
  1,520,700 
EUR
  1,500,000(a)
Lion I Re, Ltd., 2.36%, 4/28/17 (144A)   
  1,705,055 
 
  1,750,000(a)
Longpoint Re III, Ltd., 3.965%, 5/18/16 (144A)   
  1,772,400 
 
  1,000,000(a)
Merna Reinsurance V, Ltd., 2.005%, 4/7/17 (144A) (Cat Bond)   
  999,000 
 
  750,000(a)
MetroCat Re, Ltd., 4.505%, 8/5/16 (144A) (Cat Bond)  
  768,975 
 
  2,006,000(d)
PI-6, Series B – 2014 (Kane SAC, Ltd.), Variable Rate Notes, 7/18/16     
  2,262,567 
 
  2,004,948(d)
PI-6, Series C – 2014 (Kane SAC, Ltd.), Variable Rate Notes, 7/7/16     
  1,995,725 
 
  2,011,000(d)
PI-6, Series D – 2014 (Kane SAC, Ltd.), Variable Rate Notes, 7/30/16    
  2,198,425 
 
  3,000,000 
Pangaea Re (Kane SAC, Ltd.), Variable Rate Notes, 2/1/19     
  3,041,400 
 
  2,000,000(a)
Queen Street IV Capital, Ltd., 7.505%, 4/9/15 (144A) (Cat Bond)  
  2,010,200 
 
  1,000,000(a)
Queen Street VIII Re Ltd., 6.505%, 6/8/16 (144A) (Cat Bond)  
  1,015,700 
 
  1,000,000(a)
Residential Reinsurance 2012, Ltd., 22.01%, 6/6/16 (144A) (Cat Bond)
  1,146,800 
 
  500,000(a)
Residential Reinsurance 2013, Ltd., 20.01%, 12/6/17 (144A) (Cat Bond)
  509,150 
 
  1,630(d)(i)
Sector Re V, Ltd., Series 3, Class A, 0.0%, 3/1/18 (144A) (Cat Bond)  
  41,522 
 
  5,731(d)(i)
Sector Re V, Ltd., Series 3, Class C, 0.0%, 12/1/17 (144A) (Cat Bond)  
  241,912 
 
  1,500,000(i)
Sector Re V, Ltd., Series 4, Class A, 0.0%, 3/30/19 (144A) (Cat Bond)  
  1,771,950 
 
  1,000,000(i)
Silverton RE Ltd., 0.0%, 9/18/17 (144A) (Cat Bond) 
  1,017,200 
 
  1,000,000(d)(i)
Silverton RE, Ltd., 0.0%, 9/16/16 (144A) (Cat Bond)  
  137,700 
 
  1,000,000 
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/22/16,
  1,005,300 
     
$ 41,705,519 
   
Total Insurance 
$ 51,309,283 
       
   
MATERIALS - 7.9%
 
   
Commodity Chemicals - 0.5%
 
 
  300,000 
Basell Finance Co., BV, 8.1%, 3/15/27 (144A)   
$ 417,883 
EUR
  250,000 
KP Germany Erste GmbH, 11.625%, 7/15/17 (144A)   
  306,614 
     
$ 724,497 
   
Construction Materials - 0.5%
 
 
  389,000 
Cemex Espana Luxembourg, 9.875%, 4/30/19 (144A)   
$ 424,010 
 
  300,000(f)
Magnesita Finance, Ltd., 8.625% (144A)   
  264,000 
     
$ 688,010 
   
Diversified Metals & Mining - 1.1%
 
 
  109,000 
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)   
$ 113,360 
 
  300,000(e)
Midwest Vanadium Pty, Ltd., 11.5%, 2/15/18 (144A)   
  43,500 
 
  390,717(d)
Mirabela Nickel, Ltd., 9.5%, 6/20/19     
  296,945 
 
  180,000 
Prince Mineral Holding Corp., 12.5%, 12/15/19 (144A)   
  183,600 
 
  260,000 
TMS International Corp., 7.625%, 10/15/21 (144A)   
  258,700 
 
  750,000 
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)   
  742,500 
     
$ 1,638,605 
   
Gold - 0.0%
 
 
  85,000 
IAMGOLD Corp., 6.75%, 10/1/20 (144A)   
$ 68,000 
       

 
Principal
Amount
USD ($)
 
Value
   
Metal & Glass Containers - 0.4%
 
 
  250,522(g)
Ardagh Finance Holdings SA, 8.625% (8.625% PIK 0.0% cash), 6/15/19 (144A)
$ 249,582 
EUR
  250,000 
Ardagh Glass Finance Plc, 8.75%, 2/1/20 (144A)   
  294,458 
     
$ 544,040 
   
Paper Packaging - 1.5%
 
 
  606,510(c)
Bio Pappel SAB de CV, 10.0%, 8/27/16     
$ 600,445 
 
  580,000 
Exopack Holding Corp., 10.0%, 6/1/18 (144A)   
  610,450 
 
  500,000 
Reynolds Group Issuer, Inc., 9.0%, 4/15/19     
  516,250 
 
  475,000 
Reynolds Group Issuer, Inc., 9.875%, 8/15/19     
  504,687 
     
$ 2,231,832 
   
Paper Products - 1.7%
 
 
  675,000 
Appvion, Inc., 9.0%, 6/1/20 (144A)   
$ 458,156 
 
  500,000 
Mercer International, Inc., 7.0%, 12/1/19 (144A)   
  510,000 
 
  840,000 
Resolute Forest Products, Inc., 5.875%, 5/15/23     
  802,200 
 
  545,000 
Sappi Papier Holding GmbH, 8.375%, 6/15/19 (144A)   
  583,150 
 
  255,000 
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)   
  253,725 
     
$ 2,607,231 
   
Steel - 2.2%
 
 
  250,000 
Evraz Group SA, 9.5%, 4/24/18 (144A)   
$ 217,500 
 
  693,000 
Ferrexpo Finance Plc, 7.875%, 4/7/16 (144A)   
  519,750 
 
  190,000 
JMC Steel Group, Inc., 8.25%, 3/15/18 (144A)   
  157,225 
 
  900,000 
Metinvest BV, 8.75%, 2/14/18 (144A)   
  405,000 
 
  300,000 
Metinvest BV, 10.5%, 11/28/17 (144A)   
  144,060 
 
  585,000 
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)   
  606,938 
 
  850,000 
Ryerson, Inc., 9.0%, 10/15/17     
  864,875 
 
  350,000 
United States Steel Corp., 7.5%, 3/15/22     
  353,500 
     
$ 3,268,848 
   
Total Materials 
$ 11,771,063 
       
   
MEDIA - 4.1%
 
   
Broadcasting - 1.4%
 
 
  400,000 
Intelsat Luxembourg SA, 7.75%, 6/1/21     
$ 396,500 
 
  1,655,000 
Townsquare Radio LLC / Townsquare Radio, Inc., 9.0%, 4/1/19 (144A)   
  1,768,781 
     
$ 2,165,281 
   
Movies & Entertainment - 2.1%
 
 
  1,710,000 
AMC Entertainment, Inc., 9.75%, 12/1/20     
$ 1,859,625 
 
  600,000 
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)   
  568,500 
 
  225,000 
Regal Entertainment Group, 5.75%, 2/1/25     
  215,719 
 
  625,000 
WMG Acquisition Corp., 6.75%, 4/15/22 (144A)   
  563,281 
     
$ 3,207,125 
   
Publishing - 0.6%
 
 
  855,000 
Gannett Co., Inc., 6.375%, 10/15/23     
$ 910,575 
       
   
Total Media 
$ 6,282,981 
       
       
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.9%
 
   
Biotechnology - 0.9%
 
 
  300,000 
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)   
$ 316,530 
 
  1,043,000 
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17     
  990,850 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 1,307,380 
       
       
   
REAL ESTATE - 0.4%
 
   
Diversified REIT - 0.1%
 
 
  200,000 
CNL Lifestyle Properties, Inc., 7.25%, 4/15/19     
$ 204,000 
       
   
Real Estate Operating Companies - 0.3%
 
 
  410,000 
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A)   
$ 401,800 
       
   
Total Real Estate 
$ 605,800 
       
       
   
RETAILING - 1.4%
 
   
Automotive Retail - 0.6%
 
 
  925,000 
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A)   
$ 864,875 
   
Computer & Electronics Retail - 0.1%
 
 
  235,000 
Rent-A-Center, Inc., 6.625%, 11/15/20     
$ 225,600 
       
   
Department Stores - 0.6%
 
 
  625,000 
Grupo Famsa SAB de CV, 7.25%, 6/1/20 (144A)   
$ 581,250 
 
  350,000 
Neiman Marcus Group, Ltd. LLC, 8.0%, 10/15/21 (144A)   
  362,250 
     
$ 943,500 
   
Specialty Stores - 0.1%
 
 
  85,000 
Outerwall, Inc., 6.0%, 3/15/19     
$ 83,300 
       
   
Total Retailing 
$ 2,117,275 
       

 
Principal
Amount
USD ($)
 
Value
       
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.6%
 
   
Semiconductors - 0.6%
 
 
  210,000 
Advanced Micro Devices, Inc., 6.75%, 3/1/19     
$ 199,500 
 
  285,000 
Advanced Micro Devices, Inc., 7.0%, 7/1/24     
  248,662 
 
  500,000 
Advanced Micro Devices, Inc., 7.5%, 8/15/22     
  471,875 
   
Total Semiconductors & Semiconductor Equipment 
$ 920,037 
       
       
   
SOFTWARE & SERVICES - 0.5%
 
   
Data Processing & Outsourced Services - 0.5%
 
 
  404,000 
First Data Corp., 8.25%, 1/15/21 (144A)   
 $ 430,765 
 
  162,000 
First Data Corp., 10.625%, 6/15/21     
 183,465 
 
  225,000 
NeuStar, Inc., 4.5%, 1/15/23     
  196,875 
   
Total Software & Services 
$ 811,105 
       
       
   
TECHNOLOGY HARDWARE & EQUIPMENT - 0.2%
 
   
Electronic Equipment & Instruments - 0.2%
 
 
  315,000 
Zebra Technologies Corp., 7.25%, 10/15/22 (144A)   
$ 337,838 
       
   
Total Technology Hardware & Equipment 
$ 337,838 
       
       
   
TELECOMMUNICATION SERVICES - 2.6%
 
   
Integrated Telecommunication Services - 1.0%
 
 
  186,000 
Cincinnati Bell, Inc., 8.75%, 3/15/18     
$ 190,836 
 
  300,000 
Frontier Communications Corp., 8.75%, 4/15/22     
  340,500 
 
  350,000 
PAETEC Holding Corp., 9.875%, 12/1/18     
  369,250 
 
  600,000 
Windstream Corp., 7.5%, 6/1/22     
  598,500 
     
$ 1,499,086 
   
Wireless Telecommunication Services - 1.6%
 
 
  250,000 
Altice Finco SA, 8.125%, 1/15/24 (144A)   
$ 259,375 
 
  300,000 
Altice SA, 7.75%, 5/15/22 (144A)   
  310,500 
 
  340,000 
Sprint Corp., 7.125%, 6/15/24     
  330,650 
 
  165,000 
Sprint Corp., 7.25%, 9/15/21     
  164,753 
 
  250,000 
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)   
  248,155 
 
  1,115,000 
Vimpel Communications Via VIP Finance Ireland, Ltd. OJSC, 9.125%, 4/30/18 (144A)   
  1,053,675 
RUB
  6,100,000 
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)   
  68,607 
     
$ 2,435,715 
   
Total Telecommunication Services 
$ 3,934,801 
       
       
   
TRANSPORTATION - 3.5%
 
   
Airlines - 0.8%
 
 
  545,000 
Gol LuxCo SA, 8.875%, 1/24/22 (144A)   
$ 488,184 
 
  155,000 
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)   
  150,737 
 
  500,000 
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)   
  519,250 
     
$ 1,158,171 
   
Airport Services - 0.9%
 
 
  557,760 
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)   
$ 586,345 
 
  800,000 
Aguila 3 SA, 7.875%, 1/31/18 (144A)   
  788,000 
     
$ 1,374,345 
   
Highways & Railtracks - 0.2%
 
MXN
  4,500,000 
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A)   
$ 292,297 
       
   
Marine - 0.4%
 
 
  500,000 
Far East Capital, Ltd. SA, 8.0%, 5/2/18 (144A)   
$ 175,000 
 
  375,000 
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)   
  358,125 
     
$ 533,125 
   
Railroads - 0.5%
 
 
  366,315(g)
AAF Holdings LLC / AAF Finance Co., 12.0% (12.75% PIK 12.0% cash), 7/1/19 (144A)   
$ 351,662 
 
  485,000 
Florida East Coast Holdings Corp., 6.75%, 5/1/19 (144A)   
  478,938 
     
$ 830,600 
   
Trucking - 0.7%
 
 
  1,000,000 
Jack Cooper Holdings Corp., 9.25%, 6/1/20 (144A)   
$ 1,032,500 
       
   
Total Transportation 
$ 5,221,038 
       
       
   
UTILITIES - 1.8%
 
   
Electric Utilities - 1.3%
 
 
  500,000 
Cia de Energia Electrica en Alta Tension Transener SA, 9.75%, 8/15/21 (144A)   
$ 381,250 
 
  375,000 
ContourGlobal Power Holdings SA, 7.125%, 6/1/19 (144A)   
  373,125 
 
  225,000 
DTEK Finance Plc, 7.875%, 4/4/18 (144A)   
  90,172 

 
Principal
Amount
USD ($)
 
Value
   
Electric Utilities (continued)
 
 
  419,000 
Empresa Distrbuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)   
  $282,026 
 
  460,000(b)
Enel S.p.A., 8.75%, 9/24/73 (144A)   
  544,985 
 
  225,000 
PNM Resources, Inc., 9.25%, 5/15/15     
  230,316 
     
$ 1,901,874 
   
Gas Utilities - 0.5%
 
 
  867,450 
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A)   
$ 850,101 
       
   
Total Utilities 
$ 2,751,975 
       
   
TOTAL CORPORATE BONDS & NOTES
 
   
(Cost  $149,854,053)
 $ 142,558,343 
       
   
CONVERTIBLE BONDS & NOTES -  2.5% of Net Assets
 
       
   
DIVERSIFIED FINANCIALS - 0.1%
 
   
Asset Management & Custody Banks - 0.1%
 
 
  120,000 
Apollo Investment Corp., 5.75%, 1/15/16     
$ 122,475 
       
   
Total Diversified Financials 
$ 122,475 
       
       
   
HEALTH CARE EQUIPMENT & SERVICES - 1.0%
 
   
Health Care Equipment & Services - 1.0%
 
 
  1,040,000(c)
Hologic, Inc., 2.0%, 12/15/37     
$ 1,440,400 
       
   
Health Care Services - 0.0%
 
 
  15,000 
Omnicare, Inc., 3.25%, 12/15/35     
$ 16,153 
       
   
Total Health Care Equipment & Services 
$ 1,456,553 
       
       
   
MATERIALS - 1.2%
 
   
Diversified Chemicals - 1.2%
 
 
  1,900,000(j)
Hercules, Inc., 6.5%, 6/30/29     
$ 1,757,500 
       
   
Diversified Metals & Mining - 0.0%
 
 
  100,000 
Vedanta Resources Jersey, Ltd., 5.5%, 7/13/16     
$ 91,750 
       
   
Total Materials 
$ 1,849,250 
       
       
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.1%
 
   
Biotechnology - 0.1%
 
 
  250,000 
Corsicanto, Ltd., 3.5%, 1/15/32     
$ 147,500 
       
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
$ 147,500 
       
       
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1%
 
   
Semiconductors - 0.1%
 
 
  250,000 
ReneSola, Ltd., 4.125%, 3/15/18 (144A)   
$ 137,500 
       
   
Total Semiconductors & Semiconductor Equipment 
$ 137,500 
       
   
TOTAL CONVERTIBLE BONDS & NOTES
 
   
(Cost  $2,762,526)
$ 3,713,278 
       
   
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -  8.3% of Net Assets
 
       
 
  3,130,000(a)
U.S. Treasury Notes, 0.09%, 7/31/16     
$ 3,129,938 
 
  3,125,000(a)
U.S. Treasury Notes, 0.065%, 1/31/16     
  3,124,566 
 
  3,125,000(a)
U.S. Treasury Notes, 0.073%, 10/31/16     
  3,123,509 
 
  3,130,000(a)
U.S. Treasury Notes, 0.089%, 4/30/16     
  3,129,909 
       
   
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
 
   
(Cost  $12,509,470)
$ 12,507,922 
       
   
SOVEREIGN DEBT OBLIGATIONS -  1.1% of Net Assets
 
   
Argentina - 0.2%
 
 
  341,200 
Province of Salta Argentina, 9.5%, 3/16/22 (144A) 
$ 324,140 
       
   
Ghana - 0.3%
 
 
  500,000 
Republic of Ghana, 7.875%, 8/7/23 (144A) 
$ 437,500 
       
   
Mexico - 0.5%
 
MXN
  8,870,000 
Mexican Bonos, 7.75%, 11/13/42   
$ 741,779 
MXN
  317,117 
Mexican Udibonos, 3.5%, 12/14/17   
  22,661 
     
$ 764,440 
   
Ukraine - 0.1%
 
 
  100,000 
Ukraine Government International Bond, 6.75%, 11/14/17 (144A) 
$ 51,900 
       
   
TOTAL SOVEREIGN DEBT OBLIGATIONS
 
   
(Cost  $1,656,996)
$ 1,577,980 
       

 
 

 
Schedule of Investments | 1/31/15 (unaudited)


 
Shares
 
Value
       
   
COMMON STOCKS -  1.0% of Net Assets
 
       
   
DIVERSIFIED FINANCIALS - 0.0%
 
   
Other Diversified Financial Services - 0.0%
 
 
  731(k)
BTA Bank JSC (G.D.R.)
$ 416 
       
   
Total Diversified Financials 
$ 416 
       
       
   
INSURANCE - 0.4%
 
   
Reinsurance - 0.4%
 
 
  600,000(k)
Altair Re III, Ltd.
$ 602,880 
       
   
Total Insurance 
$ 602,880 
       
       
   
MATERIALS - 0.0%
 
   
Diversified Metals & Mining - 0.0%
 
AUD
  1,587,442(d)(k)
Mirabela Nickel, Ltd.
$ 35,818 
       
   
Total Materials 
$ 35,818 
       
       
   
SOFTWARE & SERVICES - 0.0%
 
   
Systems Software - 0.0%
 
 
  2,114(d)(k)
Perseus Holding Corp.
$ – 
       
   
Total Software & Services 
$ – 
       
       
   
TRANSPORTATION - 0.6%
 
   
Air Freight & Logistics - 0.5%
 
 
  943(d)(k)
CEVA Holdings LLC
$ 683,900 
       
   
Marine - 0.1%
 
 
  247,509(d)(k)
Horizon Lines, Inc.
$ 155,930 
       
   
Total Transportation 
$ 839,830 
       
   
TOTAL COMMON STOCKS
 
   
(Cost  $2,192,469)
$ 1,478,944 
       
       
   
CONVERTIBLE PREFERRED STOCKS -  0.4% of Net Assets
 
       
   
DIVERSIFIED FINANCIALS - 0.4%
 
   
Other Diversified Financial Services - 0.4%
 
 
  470(f)
Bank of America Corp., 7.25%
$ 554,130 
       
   
Total Diversified Financials 
$ 554,130 
       
       
   
ENERGY - 0.0%
 
   
Oil & Gas Exploration & Production - 0.0%
 
 
  200(f)
Halcon Resources Corp., 5.75%
$ 53,175 
       
   
Total Energy 
$ 53,175 
       
   
TOTAL CONVERTIBLE PREFERRED STOCKS
 
   
(Cost  $524,900)
$ 607,305 
       
       
   
PREFERRED STOCKS -  2.9% of Net Assets
 
       
   
BANKS - 0.3%
 
   
Diversified Banks - 0.3%
 
 
  500(b)(f)
AgStar Financial Services ACA, 6.75%
$ 517,625 
       
   
Total Banks 
$ 517,625 
       
       
   
DIVERSIFIED FINANCIALS - 0.7%
 
   
Other Diversified Financial Services - 0.7%
 
 
  40,675(b)
GMAC Capital Trust I, 8.125%
$ 1,069,752 
       
   
Total Diversified Financials 
$ 1,069,752 
       
       
   
INSURANCE - 1.9%
 
   
Reinsurance - 1.9%
 
 
  1,563,217(d)(k)
Altair Re II, Ltd. 
$ 1,113,011 
 
  15,000(d)(k)
Lorenz Re, Ltd.
  1,719,000 
   
Total Insurance 
$ 2,832,011 
       
       
   
SOFTWARE & SERVICES - 0.0%
 
   
Data Processing & Outsourced Services - 0.0%
 
 
  1,110(d)(k)
Perseus Holding Corp., 14.0% 
$ – 
       
   
Total Software & Services 
$ – 
       
   
TOTAL PREFERRED STOCKS
 
   
(Cost  $3,883,605)
$ 4,419,388 
       
 
Principal
Amount
USD ($)
 
Value
       
   
TEMPORARY CASH INVESTMENTS - 0.7% - of Net Assets
 
       
   
COMMERCIAL PAPER: 0.7%
 
 
  535,000 
Barclays Bank Plc, 0.1%,  2/2/15  
$ 534,994 
 
  535,000 
Prudential Funding LLC, 0.06%,  2/2/15  
  534,996 
     
$ 1,069,990 
   
TOTAL TEMPORARY CASH INVESTMENTS
 
   
(Cost  $1,069,998)
  1,069,990 
   
TOTAL INVESTMENTS IN SECURITIES - 144.7%
 
   
(Cost - $225,170,976) (l)(m)
  217,373,850 
   
OTHER ASSETS AND LIABILITIES - (44.7)%
$ (67,147,871)
   
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS - 100.0%
$ 150,225,979 
 

Amount rounds to less than 0.1%.
(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, 2015, the value of these securities amounted to $90,435,011, or 60.2% of total net assets applicable to common shareowners.
(Cat Bond)
Catastrophe bond is a high yield debt instrument that is usually linked and meant to raise money in case of catastrophe.

 *
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 rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at January 31, 2015.
(a)
Floating rate note. The rate shown is the coupon rate at January 31, 2015.
(b)
The interest rate is subject to change periodically. The interest rate shown is the rate at January 31, 2015.
(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 January 31, 2015.
(d)
Indicates a security that has been deemed illiquid. As of January 31, 2015 the aggregate cost of illiquid securities in the Trust's portfolio was $22,047,265. As of that date, the aggregate value of illiquid securities in the Trust's portfolio of $24,429,519 represented 16.3% 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 is valued using fair value methods (other than prices supplied by independent pricing services or broker-dealers).
(i)
Security issued with a zero coupon.  Income is recognized through accretion of discount.
(j)
Security is priced as a unit.
(k)
Non-income producing.
 
 
(l)
At January 31, 2015, the net unrealized depreciation on investments based on cost for federal tax purposes of $227,511,610 was as follows:
   
 
Aggregate gross unrealized appreciation for all investments in which there
   
 
     is an excess of value over tax cost
 
$ 8,757,538 
 
Aggregate gross unrealized depreciation for all investments in which there
   
 
     is an excess of tax cost over value
 
  (18,895,298) 
   
 
Net unrealized depreciation
$ (10,137,760) 
     
For financial reporting purposes net unrealized depreciation on investments was $7,797,126 and cost of investments aggregated $225,170,976.
 

(m)
Distributions of Investments by country of issue, as a percentage of total investments in securities, is as follows:
 
 
United States
67.9%
 
Bermuda
7.5
 
Cayman Islands
5.2
 
Luxembourg
3.7
 
Ireland
2.8
 
Argentina
2.1
 
Netherlands
1.6
 
Mexico
1.4
 
Other (individually less than 1%)
7.8
   
100.0%
 

 
 

 
Schedule of Investments | 1/31/15 (unaudited)

\
Glossary of Terms:
(G.D.R.)
Global Depositary Receipt
REIT
Real Estate Investment Trust
 

Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
AUD
-
Australian Dollar
EUR
-
Euro
GBP
-
Great British Pound
MXN
-
Mexican Peso
RUB
-
Russian Ruble
 

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 or broker dealers) as Level 3.
 
The following is a summary of the inputs used as of January 31, 2015, in valuing the Trust's investments.
 
 
Level 1
Level 2  
Level 3
Total
         
Asset Backed Securities
$  – 
$ 2,512,340 
$ – 
$ 2,512,340 
         
Collateralized Mortgage Obligations
  – 
  3,635,862 
  – 
  3,635,862 
         
Commercial Mortgage-Backed Securities
  – 
  755,929 
  – 
  755,929 
         
Senior Secured Floating
Rate Loan Interests
  – 
  42,536,569 
– 
  42,536,569 
         
Corporate Bonds & Notes
       
Insurance
       
    Property & Casualty Insurance
  – 
 2,088,700 
  4,776,238 
  6,864,938 
    Reinsurance
  – 
  16,881,293 
  24,824,226 
  41,705,519 
All Other Corporate Bonds & Notes
  – 
  93,987,886 
– 
  93,987,886 
         
Convertible Bonds & Notes
  – 
  3,713,278 
  – 
  3,713,278 
         
U.S. Government and Agency Obligations
  – 
  12,507,922 
  – 
  12,507,922 
         
Sovereign Debt Obligations
  – 
  1,577,980 
  – 
  1,577,980 
         
Common Stocks
       
Insurance
       
    Reinsurance
  – 
  – 
  602,880 
  602,880 
Software & Services
       
    Systems Software
  – 
  –* 
  – 
  –* 
Transportation
       
    Air Freight & Logistics
  – 
  683,900 
   – 
  683,900 
All Other Common Stocks
  192,164 
– 
– 
  192,164 
         
Convertible Preferred Stocks
 607,305 
 – 
 – 
 607,305 
         
Preferred Stocks
       
         
Insurance
       
    Reinsurance
  – 
  – 
  2,832,011 
  2,832,011 
Software & Services
       
    Data Processing & Outsourced Services
  – 
  –* 
  – 
  –* 
All Other Preferred Stocks
  1,587,377 
– 
  1,587,377 
         
Commercial Paper
– 
  1,069,990 
  1,069,990 
Total Investments in Securities
$ 2,386,846 
$ 181,951,649 
$ 33,035,355 
$ 217,373,850 
 
Level 1
Level 2  
Level 3
Total
         
Other Financial Instruments
       
Net unrealized appreciation on forward foreign currency contracts
$ – 
$ 832,040 
$ – 
$ 832,040 
Total Other Financial Instruments
$ – 
$ 832,040 
$ – 
$ 832,040 
 

 *    Securities in this category are valued at $0.

The following is a summary of the fair valuation  of certain of the Trust's assets and liabilities as of January 31, 2015
         
 
Level 1
Level 2
Level 3
Total
         
Assets:
       
Foreign currencies, at value
$ –
  $        755,086
$ –
  $        755,086
Liabilities:
 
  (64,000,000)
 
  (64,000,000)
Outstanding borrowings
   –
  (64,000,000)
   –
  (64,000,000)
Total
$ –
$ (63,244,914)
$ –
$ (63,244,914)
         

The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
     
Change in
           
 
Balance
Realized
unrealized
   
Accrued
Transfers
Transfers
Balance
 
as of
gain
appreciation
   
discounts/
in to
out of
as of
 
4/30/14
(loss)
(depreciation)
Purchases
Sales
premiums
Level 3*
Level 3*
1/31/15
 
Corporate Bonds & Notes
Insurance
       
Property & Casualty Insurance
  $3,588,313 
   $–
  $1,187,925
  $– 
  $– 
  $– 
  $– 
  $– 
 
$4,776,238
Reinsurance
  8,046,566 
 11,462
  892,549
 17,674,625 
(2,006,000)
 205,024 
  – 
  – 
24,824,226
Materials
       
Diversified Metals & Mining
  146,250 
  –
  3,750 
  50,000 
 (200,000)   
  – 
  – 
  – 
  – 
Common Stocks
Insurance
       
Reinsurance
 –  
  –
  4,980 
  597,900 
  – 
  – 
  – 
  – 
  602,880
Software & Services
       
Systems Software
 –**  
  –
  – 
  – 
  – 
  – 
  – 
  – 
Preferred Stocks
Insurance
       
Reinsurance
  6,852,231 
156,024
  (305,141) 
  – 
(3,871,103) 
  – 
  – 
  – 
  2,832,011
Software & Services
       
Systems Software
 –**  
– 
  – 
  – 
  – 
  – 
  – 
  – 
Total
$ 18,633,360 
$167,486
$1,784,063
$18,322,525 
$(6,077,103)
$205,024 
$ – 
  $– 
$33,035,355
 
 *    Transfers are calculated on the beginning of period values. During the nine months ended January 31, 2015, there were no transfers between Levels 1, 2 and 3.
**   Securities in this category are valued at $0.
 
Net change in unrealized appreciation of Level 3 investments still held and considered Level 3 at January 31, 2015: $1,166,177.
 
 

The following table presents additional information about valuation techniques and inputs used for investments that were measured
at fair value and categorized as Level 3 at January 31, 2015:
 
 
Fair Value
Valuation
Unobservable
Value/
 
1/31/15
Technique(s)
Input
Range
Corporate Bonds & Notes**
$   4,776,238
 
Market Comparables
Yield Premium
1.05%
Corporate Bonds & Notes
$ 24,824,226
 
Broker Quote
Proprietary Broker Model
$13.77 – 118.13 per bond
Preferred Stocks
$      602,880
 
Broker Quote
Proprietary Broker Model
$1.0048 per share
Preferred Stocks
$   2,832,011
 
Broker Quote
Proprietary Broker Model
$0.712 – 114.60 per share
           
**   The significant unobservable input used in the fair value measurement of corporate bonds & notes is yield premium. Significant increase (decreases) in this input would result in a significantly higher (lower) fair value measurement.
 


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/ Lisa M.Jones ----------------------- Lisa M.Jones, President and Chief Executive Officer Date March 31, 2015 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/ Lisa M.Jones ----------------------- Lisa M.Jones, President and Chief Executive Officer Date March 31, 2015 By (Signature and Title)* /s/ Mark E. Bradley ----------------- Mark E. Bradley, Treasurer and Chief Accounting and Financial Officer Date March 31, 2015 * Print the name and title of each signing officer under his or her signature.