hnwsoi.htm

                                 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:  July 31, 2016

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 | July 31, 2016
     
     
   
Ticker Symbol: HNW






 
Principal
Amount
USD ($)
   
Value
         
   
ASSET BACKED SECURITIES -  1.2% of Net Assets
   
 
  250,000 
American Credit Acceptance Receivables Trust, Series 2014-2, Class D, 4.96%, 5/10/21 (144A)
 
$ 253,648 
 
  200,000 
Ascentium Equipment Receivables LLC, Series 2015-1A,
Class E, 5.92%, 6/12/23 (144A)
 
  198,312 
 
  299,996 
Axis Equipment Finance Receivables III LLC, Series 2015-1A,
Class E, 5.27%, 5/20/20 (144A)
 
  287,594 
 
  80,239 
Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 3/15/17
 
  82,598 
 
  400,000(a)
NCF Dealer Floorplan Master Trust, Series 2016-1A, Class C, 8.987%, 3/21/22 (144A)
 
 395,095 
 
  500,000 
VB-S1 Issuer LLC, Series 2016-1A, Class F, 6.901%, 6/15/46 (144A)
 
 507,637 
   
TOTAL ASSET BACKED SECURITIES
   
   
(Cost  $1,711,766)
 
$ 1,724,884 
   
COLLATERALIZED MORTGAGE OBLIGATIONS -  0.6% of Net Assets
   
 
  59,026 
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A)
 
$ 46,545 
 
  117,802 
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32 (144A)
 
  78,038 
 
  290,000(b)
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
 
  276,107 
 
  347,818(c)
GMAT Trust, Series 2015-1A, Class A1, 4.25%, 9/25/20 (144A)
 
  346,864 
   
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
   
   
(Cost  $789,039)
 
$ 747,554 
   
COMMERCIAL MORTGAGE-BACKED SECURITIES -  2.8% of Net Assets
   
 
  375,000(a)
BAMLL Commercial Mortgage Securities Trust, Series 2014-INLD, Class F, 2.971%, 12/15/29 (144A)
 
$ 336,813 
 
  139,379(b)
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41
 
 139,186 
 
  260,000(a)
CFCRE Mortgage Trust, Series 2015-RUM, Class E, 5.042%, 7/15/30 (144A)
 
 252,486 
 
  500,000(b)
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class E, 3.208%, 7/10/47 (144A)
 
  310,427 
 
  500,000(b)
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3,
Class C, 5.765%, 5/15/46
 
  405,453 
 
  300,000(b)
COMM Mortgage Trust, Series 2007-C9, Class H, 5.813%, 12/10/49 (144A)
 
  285,215 
 
  250,000(b)
COMM Mortgage Trust, Series 2012-CR2, Class E, 4.855%, 8/15/45 (144A)
 
  243,693 
 
  115,766(a)
EQTY Mezzanine Trust, Series 2014-INMZ, Class M, 5.223%, 5/8/31 (144A)
 
  107,997 
 
  170,000(a)
EQTY Mortgage Trust, Series 2014-INNS, Class E, 3.923%, 5/8/31 (144A)
 
  163,396 
 
  124,211 
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
 
  122,969 
 
  150,000 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45
 
  144,968 
 
  550,000(a)
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-INN, Class E, 4.081%, 6/15/29 (144A)
 
  532,062 
 
  479,101(b)
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41
 
  474,343 
 
  500,000(b)
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49
 
  497,732 
   
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
   
   
(Cost  $4,105,593)
 
$ 4,016,740 
   
SENIOR SECURED FLOATING RATE LOAN INTERESTS -  30.6% of Net Assets* (a)
   
   
AUTOMOBILES & COMPONENTS - 2.1%
   
   
Auto Parts & Equipment - 1.3%
   
 
  346,920 
Electrical Components International, Inc., Term Loan, 5.75%, 5/28/21
 
$ 347,137 
 
  184,116 
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21
 
  174,081 
 
  152,568 
Key Safety Systems, Inc., Initial Term Loan, 5.5%, 8/29/21
 
  153,490 
 
  251,401 
MPG Holdco I, Inc., Initial Term Loan, 3.75%, 10/20/21
 
  251,676 
 
  178,198 
TI Group Automotive Systems LLC, Initial US Term Loan, 4.5%, 6/30/22
 
  178,978 
 
  786,235 
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.0%, 4/23/20
 
  783,779 
       
$ 1,889,141 
   
Automobile Manufacturers - 0.6%
   
 
  839,209 
Chrysler Group LLC, Term Loan B, 3.5%, 5/24/17
 
$ 841,681 

 
 

 


 
Principal
Amount
USD ($)
   
Value
   
Tires & Rubber - 0.2%
   
 
  287,500 
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.75%, 4/30/19
 
$ 288,517 
   
Total Automobiles & Components 
 
$ 3,019,339 
   
CAPITAL GOODS - 4.5%
   
   
Aerospace & Defense - 0.9%
   
 
  300,000 
DAE Aviation Holdings, Inc., Initial Term Loan, 5.25%, 7/7/22
 
$ 301,125 
 
  525,000 
DynCorp International, Inc., Term Loan B2, 7.75%, 7/7/20
 
  524,398 
 
  118,088 
TASC, Inc., First Lien Term Loan, 7.0%, 5/22/20
 
  118,457 
 
  228,422 
Vencore, Inc. (fka SI Organization, Inc.), Initial First Lien Term Loan, 5.75%, 11/23/19
 
  228,279 
 
  157,600 
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.75%, 4/30/21
 
  142,628 
       
$ 1,314,887 
   
Building Products - 0.9%
   
 
  908,904 
Builders FirstSource, Inc., Term Loan B, 6.0%, 7/29/22
 
$ 913,562 
 
  391,885 
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
 
  384,415 
       
$ 1,297,977 
   
Construction Machinery & Heavy Trucks - 0.3%
   
 
  388,050 
Navistar, Inc., Tranche B Term Loan, 6.5%, 8/7/20
 
$ 367,677 
   
Electrical Components & Equipment - 0.7%
   
 
  418,585 
WireCo WorldGroup, Inc., Term Loan B, 0.0%, 7/21/23
 
$ 420,547 
 
  504,460 
WireCo WorldGroup, Inc., Term Loan, 6.0%, 2/15/17
 
  503,409 
       
$ 923,956 
   
Industrial Conglomerates - 0.9%
   
 
  441,558 
Doosan Infracore International, Inc. (Doosan Holdings Europe, Ltd.), Tranche B Term Loan, 4.5%, 5/28/21
 
$ 442,662 
 
  98,258 
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Dollar Term B-3 Loan, 4.25%, 8/30/20
 
  98,474 
 
  321,970 
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.25%, 8/30/20
 
  322,675 
 
  34,939 
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.25%, 8/30/20
 
  35,016 
 
  399,694 
Filtration Group Corp., Initial Second Lien Term Loan, 8.25%, 11/22/21
 
  395,364 
 
  10,578 
Kleopatra Holdings 2 SCA, Initial German Borrower Dollar Term Loan, 5.0%, 4/28/20
 
  10,653 
 
  24,754 
Kleopatra Holdings 2 SCA, Initial US Borrower Dollar Term Loan, 5.0%, 4/28/20
 
  24,929 
       
$ 1,329,773 
   
Industrial Machinery - 0.4%
   
 
  496,250 
NN, Inc., Initial Term Loan, 5.75%, 10/19/22
 
$ 496,663 
   
Trading Companies & Distributors - 0.4%
   
 
  286,828 
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.5%, 7/16/18
 
$ 287,366 
 
  260,164 
WESCO Distribution, Inc., Tranche B-1 Loan, 5.5%, 12/12/19
 
  260,896 
       
$ 548,262 
   
Total Capital Goods 
 
$ 6,279,195 
   
COMMERCIAL & PROFESSIONAL SERVICES - 0.4%
   
   
Environmental & Facilities Services - 0.3%
   
 
  500,000 
Granite Acquisition, Inc., Second Lien Term B Loan, 8.25%, 12/19/22
 
$ 472,500 
   
Security & Alarm Services - 0.1%
   
 
  126,931 
Protection One, Inc., 2012 Term Loan, 4.75%, 7/1/21
 
$ 128,280 
   
Total Commercial & Professional Services 
 
$ 600,780 
   
CONSUMER DURABLES & APPAREL - 0.1%
   
   
Leisure Products - 0.1%
   
 
  164,514 
Bombardier Recreational Products, Inc., Term B Loan, 3.75%, 6/30/23
 
$ 164,240 
   
Total Consumer Durables & Apparel 
 
$ 164,240 
   
CONSUMER SERVICES - 2.2%
   
   
Casinos & Gaming - 0.2%
   
 
  295,500 
Scientific Games International, Inc., Initial Term B-2 Loan, 6.0%, 10/1/21
 
$ 295,338 
   
Education Services - 0.6%
   
 
  316,426 
Cengage Learning Acquisitions, Inc., Term Loan, 5.25%, 6/7/23
 
$ 316,228 
 
  600,000 
Laureate Education, Inc., Series 2018 Extended Term Loan, 5.0%, 6/15/18
 
  587,250 
       
$ 903,478 
   
Leisure Facilities - 0.1%
   
 
  128,010 
Fitness International LLC, Term B Loan, 5.5%, 7/1/20
 
$ 127,903 

 
 

 


 
Principal
Amount
USD ($)
   
Value
   
Restaurants - 0.7%
   
 
  377,367 
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 4/24/18
 
$ 378,487 
 
  529,800 
NPC International, Inc., Term Loan, 4.75%, 12/28/18
 
  531,125 
       
$ 909,612 
   
Specialized Consumer Services - 0.6%
   
 
  744,375 
KC MergerSub, Inc., First Lien Initial Term Loan, 6.0%, 8/12/22
 
$ 741,584 
 
  120,230 
Monitronics International, Inc., 2013 Term Loan B, 4.25%, 3/23/18
 
  119,503 
       
$ 861,087 
   
Total Consumer Services 
 
$ 3,097,418 
   
DIVERSIFIED FINANCIALS - 0.3%
   
   
Consumer Finance - 0.1%
   
 
  213,531 
Trans Union LLC, Term B-2 Loan, 3.5%, 4/9/21
 
$ 213,397 
   
Specialized Finance - 0.2%
   
 
  246,875 
DBRS, Ltd., Initial Term Loan, 6.25%, 3/4/22
 
$ 243,892 
   
Total Diversified Financials 
 
$ 457,289 
   
ENERGY - 1.0%
   
   
Coal & Consumable Fuels - 0.1%
   
 
  352,500 
PT Bumi Resources Tbk, Term Loan, 18.0%, 11/4/16
 
$ 80,194 
   
Integrated Oil & Gas - 0.3%
   
 
  467,555 
TerraForm AP Acquisition Holdings LLC, Term Loan, 7.0%, 6/27/22
 
$ 460,541 
   
Oil & Gas Drilling - 0.5%
   
 
  744,680 
Jonah Energy LLC, Initial Second Lien Term Loan, 7.5%, 5/12/21
 
$ 661,834 
   
Oil & Gas Equipment & Services - 0.1%
   
 
  540,069 
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20
 
$ 221,428 
   
Total Energy 
 
$ 1,423,997 
   
FOOD, BEVERAGE & TOBACCO - 0.3%
   
   
Packaged Foods & Meats - 0.3%
   
 
  473,823 
Dole Food Co., Inc., Tranche B Term Loan, 4.5%, 11/1/18
 
$ 474,613 
   
Total Food, Beverage & Tobacco 
 
$ 474,613 
   
HEALTH CARE EQUIPMENT & SERVICES - 3.8%
   
   
Health Care Equipment - 0.5%
   
 
  500,000 
Concentra, Inc., Initial Second Lien Term Loan, 9.0%, 6/1/23
 
$ 490,150 
 
  234,138 
Kinetic Concepts, Inc., Dollar F Term Loan, 5.0%, 11/4/20
 
  234,870 
       
$ 725,020 
   
Health Care Facilities - 1.8%
   
 
  233,397 
CHS/Community Health Systems, Inc., Incremental 2018 Term F Loan, 3.924%, 12/31/18
 
$ 231,663 
 
  246,294 
CHS/Community Health Systems, Inc., Incremental 2019 Term G Loan, 3.75%, 12/31/19
 
  242,753 
 
  453,171 
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan, 4.0%, 1/27/21
 
  448,176 
 
  193,046 
HCA, Inc., Tranche B-6 Term Loan, 3.746%, 3/17/23
 
  194,826 
 
  315,322 
Kindred Healthcare, Inc., Incremental Term Loan, 4.25%, 4/9/21
 
  314,271 
 
  500,000 
Prospect Medical Holdings, Inc., Term Loan, 7.0%, 6/30/22
 
  497,188 
 
  296,183 
Steward Health Care System LLC, Term Loan, 6.75%, 4/10/20
 
  293,221 
 
  399,293 
Surgical Care Affiliates, Inc., Initial Term Loan, 4.25%, 3/17/22
 
  402,039 
       
$ 2,624,137 
   
Health Care Services - 1.0%
   
 
  338,254 
Bioscrip, Inc., Initial Term B Loan, 6.5%, 7/31/20
 
$ 323,878 
 
  202,952 
Bioscrip, Inc., Term Loan, 6.5%, 7/31/20
 
  194,326 
 
  347,375 
HC Group Holdings III, Inc., Initial First Lien Term Loan, 6.0%, 4/7/22
 
  348,026 
 
  200,388 
National Mentor Holdings, Inc., Tranche B Term Loan, 4.25%, 1/31/21
 
  201,202 
 
  100,000 
NVA Holdings, Inc., First Lien Term Loan, 4.75%, 8/14/21
 
  100,125 
 
  262,348 
Valitas Health Services, Inc., Term Loan B, 8.0%, 6/2/17
 
  173,150 
       
$ 1,340,707 
   
Health Care Supplies - 0.2%
   
 
  230,651 
Alere, Inc., Term Loan B, 4.5%, 6/20/22
 
$ 228,221 
   
Health Care Technology - 0.3%
   
 
  235,238 
IMS Health, Inc., Tranche B-1 Dollar Term Loan, 3.5%, 3/17/21
 
$ 235,716 
 
  375,258(d)
Medical Card System, Inc., Term Loan, 1.5%, 5/31/19
 
  243,918 
       
$ 479,634 
   
Total Health Care Equipment & Services 
 
$ 5,397,719 
   
HOUSEHOLD & PERSONAL PRODUCTS - 0.4%
   
   
Household Products - 0.1%
   
 
  105,299 
SRAM LLC, First Lien Term Loan, 4.016%, 4/10/20
 
$ 94,769 
   
Personal Products - 0.3%
   
 
  100,000 
Atrium Innovations, Inc., Second Lien Term Loan, 7.75%, 8/13/21
 
$ 93,000 

 
Principal
Amount
USD ($)
   
Value
   
Personal Products - (continued)
   
 
  127,867 
NBTY, Inc., Dollar Term Loan B, 5.0%, 5/5/23
 
$ 127,208 
 
  250,000 
Revlon Consumer Products Corp., Term Loan B, 0.0%, 7/21/23
 
  250,031 
       
$ 470,239 
   
Total Household & Personal Products 
 
$ 565,008 
   
INSURANCE - 2.0%
   
   
Life & Health Insurance - 0.3%
   
 
  472,179 
Integro, Ltd., Initial Term Loan, 6.75%, 10/31/22
 
$ 465,097 
 
  25,463 
Integro, Ltd., Term Loan, 6.75%, 10/31/22
 
  25,081 
       
$ 490,178 
   
Multi-Line Insurance - 0.1%
   
 
  166,488 
Alliant Holdings I LLC, Term Loan B, 4.5%, 8/12/22
 
$ 165,760 
   
Property & Casualty Insurance - 1.6%
   
 
  740,384 
Confie Seguros Holding II Co., First Lien Term Loan B, 5.75%, 11/9/18
 
$ 735,447 
 
  593,765 
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
 
  570,015 
 
  931,574 
USI, Inc., Initial Term Loan, 4.25%, 12/27/19
 
  930,409 
       
$ 2,235,871 
   
Total Insurance 
 
$ 2,891,809 
   
MATERIALS - 3.2%
   
   
Diversified Chemicals - 0.2%
   
 
  272,938 
Univar USA, Inc., Initial Dollar Term Loan, 4.25%, 7/1/22
 
$ 272,972 
   
Diversified Metals & Mining - 0.4%
   
 
  500,000 
Global Brass and Copper, Inc., Initial Term Loan, 5.25%, 7/18/23
 
$ 503,125 
 
  75,256(e)(f)
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.15%, 11/25/14
 
  17,121 
       
$ 520,246 
   
Metal & Glass Containers - 0.9%
   
 
  533,684 
Tank Holding Corp., Initial Term Loan, 5.25%, 3/16/22
 
$ 506,109 
 
  742,500 
Tekni-Plex, Inc., USD Term Loan, 4.5%, 6/1/22
 
  741,417 
       
$ 1,247,526 
   
Paper Packaging - 0.3%
   
 
  486,979 
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19
 
$ 488,501 
   
Paper Products - 0.7%
   
 
  287,111 
Appvion, Inc., Term Commitment, 6.25%, 6/28/19
 
$ 284,240 
 
  228,733 
Exopack Holdings SA, USD Term Loan, 4.5%, 5/8/19
 
  228,447 
 
  471,362 
Xerium Technologies, Inc., New Term Loan, 6.25%, 5/17/19
 
  471,362 
       
$ 984,049 
   
Specialty Chemicals - 0.3%
   
 
  496,250 
Macdermid, Inc. (Platform Specialty Products Corp.),
Term Loan B3, 5.5%, 6/7/20
 
$ 496,508 
   
Steel - 0.4%
   
 
  500,000 
Zekelman Industries, Inc. (fka JMC Steel Group, Inc.),
Term Loan, 6.0%, 6/14/21
 
$ 503,125 
   
Total Materials 
 
$ 4,512,927 
   
MEDIA - 2.5%
   
   
Advertising - 0.6%
   
 
  938,453 
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18
 
$ 894,659 
   
Broadcasting - 0.9%
   
 
  264,167 
Hubbard Radio LLC, Term Loan, 4.25%, 5/27/22
 
$ 257,893 
 
  299,250 
Learfield Communications, Inc., First Lien 2014 Replacement Term Loan, 4.25%, 10/9/20
 
  299,718 
 
  294,750 
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 6.75%, 8/13/21
 
  247,037 
 
  456,168 
Univision Communications, Inc., Replacement First Lien Term Loan, 4.0%, 3/1/20
 
  456,596 
       
$ 1,261,244 
   
Movies & Entertainment - 0.0%†
   
 
  20,992 
Cinedigm Digital Funding I LLC, Term Loan, 3.75%, 2/28/18
 
$ 20,939 
   
Publishing - 1.0%
   
 
  321,750 
Houghton Mifflin Holdings, Inc., Term Loan, 4.0%, 5/28/21
 
$ 319,940 
 
  81,573 
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
 
  80,602 
 
  925,000 
McGraw-Hill Global Education Holdings LLC, First Lien Term B Loan, 5.0%, 5/4/22
 
  931,013 
       
$ 1,331,555 
   
Total Media 
 
$ 3,508,397 
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.7%
   
   
Biotechnology - 0.3%
   
 
  502,561 
Lantheus Medical Imaging, Inc., Term Loan, 7.0%, 6/30/22
 
$ 457,330 

 
Principal
Amount
USD ($)
   
Value
   
Life Sciences Tools & Services - 1.0%
   
 
  992,500 
Albany Molecular Research, Inc., Term Loan B, 5.75%, 7/16/21
 
$ 993,741 
 
  424,511 
Catalent Pharma Solutions, Inc., Dollar Term Loan, 4.25%, 5/20/21
 
  426,692 
       
$ 1,420,433 
   
Pharmaceuticals - 0.4%
   
 
  547,250 
Concordia Healthcare Corp., Initial Dollar Term Loan, 5.25%, 10/21/21
 
$ 537,195 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
 
$ 2,414,958 
   
REAL ESTATE - 0.9%
   
   
Retail REITs - 0.5%
   
 
  274,603 
DTZ U.S. Borrower LLC, First Lien Initial Term Loan, 4.25%, 11/4/21
 
$ 273,470 
 
  500,000 
DTZ U.S. Borrower LLC, Second Lien Initial Term Loan, 9.25%, 11/4/22
 
  501,042 
       
$ 774,512 
   
Specialized REIT - 0.4%
   
 
  497,487 
Communications Sales & Leasing, Inc. (CSL Capital, LLC),
Term Loan, 5.0%, 10/24/22
 
$ 498,032 
   
Total Real Estate 
 
$ 1,272,544 
   
RETAILING - 0.9%
   
   
Automotive Retail - 0.5%
   
 
  714,779 
CWGS Group LLC, Term Loan, 5.75%, 2/20/20
 
$ 716,566 
   
Computer & Electronics Retail - 0.1%
   
 
  44,540(d)(g)
Targus Group International, Inc., Tranche A-2 Term Loan,
15.0% (15.0% PIK 0.0% cash), 12/31/19
 
$ 44,540 
 
  133,619(d)(g)
Targus Group International, Inc., Tranche A-2/B Term Loan,
15.0% (15.0% PIK 0.0% cash), 12/31/19
 
  133,619 
       
$ 178,159 
   
Specialty Stores - 0.3%
   
 
  305,320 
Dollar Tree, Inc., Term B-1 Loan, 3.5%, 7/6/22
 
$ 307,109 
 
  156,503 
Petsmart, Inc., Tranche B-1 Loan, 4.25%, 3/11/22
 
  156,966 
       
$ 464,075 
   
Total Retailing 
 
$ 1,358,800 
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.3%
   
   
Semiconductor Equipment - 0.3%
   
 
  411,904 
VAT Lux II S.a.r.l., Term Loan, 4.25%, 2/11/21
 
$ 412,805 
   
Total Semiconductors & Semiconductor Equipment 
 
$ 412,805 
   
SOFTWARE & SERVICES - 1.3%
   
   
Application Software - 0.5%
   
 
  493,833 
Epiq Systems, Inc., Term Loan, 4.5%, 8/27/20
 
$ 494,451 
 
  250,000 
VF Holding Corp., First Lien Initial Term Loan, 0.0%, 6/30/23
 
  250,870 
       
$ 745,321 
   
IT Consulting & Other Services - 0.8%
   
 
  245,000 
Evergreen Skills Lux S.a.r.l., First Lien Initial Term Loan, 5.75%, 4/28/21
 
$ 201,819 
 
  620,313 
Sitel Worldwide Corp., First Lien Term B-1 Loan, 6.5%, 9/18/21
 
  618,762 
 
  255,000 
TaxACT, Inc. (H.D. Vest, Inc.), Initial Term Loan, 7.0%, 1/3/23
 
  257,550 
       
$ 1,078,131 
   
Total Software & Services 
 
$ 1,823,452 
   
TECHNOLOGY HARDWARE & EQUIPMENT - 0.4%
   
   
Communications Equipment - 0.1%
   
 
  64,644 
CommScope, Inc., Tranche 4 Term Loan, 3.538%, 1/14/18
 
$ 64,725 
   
Electronic Components - 0.3%
   
 
  454,250 
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.),
First Lien Initial Term Loan, 5.75%, 3/31/22
 
$ 453,398 
   
Total Technology Hardware & Equipment 
 
$ 518,123 
   
TELECOMMUNICATION SERVICES - 0.7%
   
   
Integrated Telecommunication Services - 0.5%
   
 
  493,750 
GCI Holdings, Inc., Term B Loan, 4.0%, 2/2/22
 
$ 497,299 
 
  198,326 
Securus Technologies Holdings, Inc., Term Loan B2, 5.25%, 4/30/20
 
  188,750 
       
$ 686,049 
   
Wireless Telecommunication Services - 0.2%
   
 
  239,076 
Syniverse Holdings, Inc., Initial Term Loan, 4.0%, 4/23/19
 
$ 193,353 
 
  101,652 
Syniverse Holdings, Inc., Tranche B Term Loan, 4.0%, 4/23/19
 
  82,211 
       
$ 275,564 
   
Total Telecommunication Services 
 
$ 961,613 
   
TRANSPORTATION - 1.0%
   
   
Marine - 0.7%
   
 
  614,353 
Commercial Barge Line Co., Initial First Lien Term Loan, 9.75%, 11/12/20
 
$ 579,796 
 
  445,664 
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18
 
  403,697 
       
$ 983,493 

 
Principal
Amount
USD ($)
   
Value
   
Trucking - 0.3%
   
 
  493,671 
YRC Worldwide, Inc., Initial Term Loan, 8.0%, 2/13/19
 
$ 449,240 
   
Total Transportation 
 
$ 1,432,733 
   
UTILITIES - 0.6%
   
   
Electric Utilities - 0.3%
   
 
  398,692 
APLH Holdings Limited Partnership, Term Loan, 6.0%, 4/13/23
 
$ 399,440 
   
Independent Power Producers & Energy Traders - 0.3%
   
 
  500,000 
Dynegy Finance IV, Inc., Term Loan, 0.0%, 6/27/23
 
$ 500,677 
   
Total Utilities 
 
$ 900,117 
   
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
   
   
(Cost  $44,438,838)
 
$ 43,487,876 
   
CORPORATE BONDS & NOTES - 86.3% of Net Assets
   
   
AUTOMOBILES & COMPONENTS - 0.3%
   
   
Auto Parts & Equipment - 0.3%
   
 
  454,000 
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
 
$ 448,325 
   
Total Automobiles & Components 
 
$ 448,325 
   
BANKS - 4.8%
   
   
Diversified Banks - 4.8%
   
 
  300,000(b)
Banco de Galicia y Buenos Aires, 8.25%, 7/19/26 (144A)
 
$ 316,010 
 
  525,000 
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A)
 
  535,500 
 
  400,000(b)
Banco Macro SA, 9.75%, 12/18/36
 
  406,000 
 
  200,000(b)(h)
Banco Santander SA, 6.375%
 
  183,164 
 
  325,000(b)(h)
Bank of America Corp., 6.25%
 
  340,437 
 
  680,000 
Banque Ouest Africaine de Developpement, 5.5%, 5/6/21 (144A)
 
  714,000 
 
  950,000(b)(h)
BNP Paribas SA, 7.625% (144A)
 
  987,050 
 
  1,000,000(b)(h)
Credit Agricole SA, 7.875% (144A)
 
  990,000 
 
  350,000(b)(h)
ING Groep NV, 6.5%
 
  334,688 
 
  200,000(b)(h)
Royal Bank of Scotland Group Plc, 7.5%
 
  194,200 
 
  500,000(b)(h)
Royal Bank of Scotland Group Plc, 8.0%
 
  496,875 
 
  200,000 
Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (144A)
 
  195,080 
 
  245,000 
Trade & Development Bank of Mongolia LLC, 9.375%,
5/19/20 (144A)
 
  253,644 
 
  750,000 
UBS AG / Stamford CT, 7.625%, 8/17/22
 
  871,875 
   
Total Banks 
 
$ 6,818,523 
   
CAPITAL GOODS - 3.1%
   
   
Aerospace & Defense - 0.9%
   
 
  400,000 
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
 
$ 412,000 
 
  610,932(g)
DynCorp International, Inc., 11.875% (1.5% PIK 10.375% cash), 11/30/20
 
  464,308 
 
  435,000 
LMI Aerospace, Inc., 7.375%, 7/15/19
 
  442,613 
       
$ 1,318,921 
   
Agricultural & Farm Machinery - 0.3%
   
 
  475,000 
Titan International, Inc., 6.875%, 10/1/20
 
$ 438,187 
   
Building Products - 0.2%
   
 
  300,000 
USG Corp., 7.875%, 3/30/20 (144A)
 
$ 313,313 
   
Construction Machinery & Heavy Trucks - 0.2%
   
 
  360,000 
Meritor, Inc., 6.75%, 6/15/21
 
$ 345,600 
   
Industrial Conglomerates - 0.4%
   
 
  455,000 
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
 
$ 490,831 
   
Industrial Machinery - 0.8%
   
 
  560,000 
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)
 
$ 502,600 
 
  450,000 
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
 
  463,500 
 
  229,061(d)(g)
Liberty Tire Recycling LLC, 11.0% (11.0% PIK 0.0% cash),
3/31/21 (144A)
 
  169,505 
       
$ 1,135,605 
   
Trading Companies & Distributors - 0.3%
   
 
  150,000 
H&E Equipment Services, Inc., 7.0%, 9/1/22
 
$ 156,375 
 
  252,000 
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19
 
  265,860 
       
$ 422,235 
   
Total Capital Goods 
 
$ 4,464,692 
   
COMMERCIAL & PROFESSIONAL SERVICES - 1.1%
   
   
Commercial Printing - 0.2%
   
 
  340,000 
Cenveo Corp., 6.0%, 8/1/19 (144A)
 
$ 295,800 
   
Diversified Support Services - 0.9%
   
 
  280,000 
Broadspectrum, Ltd., 8.375%, 5/15/20 (144A)
 
$ 298,200 
 
  950,000 
NANA Development Corp., 9.5%, 3/15/19 (144A)
 
  840,750 
 
  260,000 
TMS International Corp., 7.625%, 10/15/21 (144A)
 
  187,200 
       
$ 1,326,150 
   
Total Commercial & Professional Services 
 
$ 1,621,950 
         

 
Principal
Amount
USD ($)
   
Value
   
CONSUMER DURABLES & APPAREL - 0.7%
   
   
Homebuilding - 0.7%
   
 
  350,000 
Brookfield Residential Properties, Inc., 6.375%, 5/15/25 (144A)
 
$ 337,750 
 
  250,000 
KB Home, 7.0%, 12/15/21
 
  265,000 
 
  340,000 
KB Home, 7.625%, 5/15/23
 
  355,300 
   
Total Consumer Durables & Apparel 
 
$ 958,050 
   
CONSUMER SERVICES - 2.7%
   
   
Casinos & Gaming - 1.0%
   
 
  832,066(e)(g)
Mashantucket Western Pequot Tribe, 6.5% (5.5% PIK 1.0% cash), 7/1/36
 
$ 4,160 
 
  365,000 
MGM Resorts International, 6.0%, 3/15/23
 
  394,886 
 
  100,000 
Scientific Games International, Inc., 6.25%, 9/1/20
 
  68,000 
 
  1,050,000 
Scientific Games International, Inc., 10.0%, 12/1/22
 
  933,188 
       
$ 1,400,234 
   
Hotels, Resorts & Cruise Lines - 0.4%
   
 
  245,000 
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)
 
$ 192,325 
 
  425,000 
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)
 
  375,063 
       
$ 567,388 
   
Specialized Consumer Services - 1.3%
   
 
  1,153,000 
Constellis Holdings LLC / Constellis Finance Corp., 9.75%, 5/15/20 (144A)
 
$ 1,124,175 
 
  160,000 
Monitronics International, Inc., 9.125%, 4/1/20
 
  141,100 
 
  290,000 
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23 (144A)
 
  309,575 
 
  315,000 
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21
 
  314,212 
       
$ 1,889,062 
   
Total Consumer Services 
 
$ 3,856,684 
   
DIVERSIFIED FINANCIALS - 2.0%
   
   
Consumer Finance - 1.4%
   
 
  600,000 
Credito Real SAB de CV SOFOM ER, 7.25%, 7/20/23 (144A)
 
$ 589,380 
 
  445,000 
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
 
  416,075 
 
  345,000 
Navient Corp., 6.625%, 7/26/21
 
  348,450 
 
  203,374 
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)
 
  204,391 
 
  440,000 
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
 
  345,400 
       
$ 1,903,696 
   
Investment Banking & Brokerage - 0.1%
   
 
  240,000(b)(h)
Goldman Sachs Capital II, 4.0%
 
$ 195,000 
   
Specialized Finance - 0.5%
   
 
  175,000 
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
 
$ 150,500 
 
  580,000 
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 6/1/22
 
  487,200 
       
$ 637,700 
   
Total Diversified Financials 
 
$ 2,736,396 
   
ENERGY - 9.6%
   
   
Integrated Oil & Gas - 0.5%
   
 
  410,000 
Petrobras Global Finance BV, 6.25%, 3/17/24
 
$ 384,375 
MXN
  540,000 
Petroleos Mexicanos, 7.19%, 9/12/24 (144A)
 
  26,194 
 
  325,000 
YPF SA, 8.875%, 12/19/18 (144A)
 
  352,625 
       
$ 763,194 
   
Oil & Gas Drilling - 0.5%
   
 
  160,000 
Drill Rigs Holdings, Inc., 6.5%, 10/1/17 (144A)
 
$ 73,600 
 
  442,000 
Rowan Cos., Inc., 5.4%, 12/1/42
 
  298,350 
 
  62,000 
Rowan Cos., Inc., 5.85%, 1/15/44
 
  44,795 
 
  320,000 
Shelf Drill Holdings, Ltd., 8.625%, 11/1/18 (144A)
 
  258,800 
       
$ 675,545 
   
Oil & Gas Equipment & Services - 0.6%
   
 
  330,000(a)
FTS International, Inc., 8.153%, 6/15/20 (144A)
 
$ 267,158 
 
  425,000 
McDermott International, Inc., 8.0%, 5/1/21 (144A)
 
  378,250 
 
  310,000 
Weatherford International, Ltd., 5.95%, 4/15/42
 
  213,900 
       
$ 859,308 
   
Oil & Gas Exploration & Production - 3.9%
   
 
  200,000 
California Resources Corp., 8.0%, 12/15/22 (144A)
 
$ 128,040 
 
  260,000(a)
Chesapeake Energy Corp., 3.93%, 4/15/19
 
  213,200 
 
  100,000 
Comstock Resources, Inc., 9.5%, 6/15/20
 
  45,750 
 
  250,000 
Extraction Oil & Gas Holdings LLC / Extraction Finance Corp., 7.875%, 7/15/21 (144A)
 
  250,000 
 
  360,000 
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A)
 
  295,200 
 
  570,000 
Gulfport Energy Corp., 7.75%, 11/1/20
 
  584,250 
 
  402,000(e)
Halcon Resources Corp., 12.0%, 2/15/22 (144A)
 
  361,800 
 
  600,000(e)
Midstates Petroleum Co., Inc., 9.25%, 6/1/21
 
  7,500 
 
  450,000 
Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A)
 
  443,790 

 
Principal
Amount
USD ($)
   
Value
   
Oil & Gas Exploration & Production - (continued)
   
 
  355,000 
Oasis Petroleum, Inc., 7.25%, 2/1/19
 
$ 332,813 
 
  470,000 
PDC Energy, Inc., 7.75%, 10/15/22
 
  485,275 
 
  506,000 
PetroQuest Energy, Inc., 10.0%, 2/15/21 (144A)
 
  346,610 
 
  240,000(e)
Quicksilver Resources, Inc., 7.125%, 4/1/16
 
  24 
 
  375,000 
Rice Energy, Inc., 6.25%, 5/1/22
 
  365,625 
 
  870,000 
Sanchez Energy Corp., 7.75%, 6/15/21
 
  665,550 
 
  150,000 
Whiting Petroleum Corp., 5.0%, 3/15/19
 
  130,875 
 
  480,000 
Whiting Petroleum Corp., 5.75%, 3/15/21
 
  402,000 
 
  300,000 
WPX Energy, Inc., 7.5%, 8/1/20
 
  295,500 
 
  150,000 
WPX Energy, Inc., 8.25%, 8/1/23
 
  147,093 
       
$ 5,500,895 
   
Oil & Gas Refining & Marketing - 0.7%
   
 
  669,000 
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21
 
$ 490,042 
 
  520,000 
Western Refining Logistics LP / WNRL Finance Corp., 7.5%, 2/15/23
 
  516,100 
       
$ 1,006,142 
   
Oil & Gas Storage & Transportation - 3.4%
   
 
  220,000 
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.125%, 11/15/22 (144A)
 
$ 206,800 
 
  200,000 
Cheniere Corpus Christi Holdings LLC, 7.0%, 6/30/24 (144A)
 
  209,000 
 
  230,000 
DCP Midstream Operating LP, 5.6%, 4/1/44
 
  209,300 
 
  450,000(a)
Energy Transfer Partners LP, 3.774%, 11/1/66
 
  306,000 
 
  118,000 
EnLink Midstream Partners LP, 5.05%, 4/1/45
 
  98,458 
 
  344,000 
EnLink Midstream Partners LP, 5.6%, 4/1/44
 
  317,155 
 
  950,000 
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22
 
  957,125 
 
  480,000 
Global Partners LP / GLP Finance Corp., 7.0%, 6/15/23
 
  406,800 
 
  170,000 
PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/23
 
  170,000 
 
  925,000 
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23 (144A)
 
  941,187 
 
  1,175,000 
Williams Cos., Inc., 5.75%, 6/24/44
 
  1,078,062 
       
$ 4,899,887 
   
Total Energy 
 
$ 13,704,971 
   
FOOD & STAPLES RETAILING - 0.3%
   
   
Food Retail - 0.3%
   
 
  200,000 
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A)
 
$ 192,000 
 
  260,000 
Tops Holding LLC / Tops Markets II Corp., 8.0%, 6/15/22 (144A)
 
  226,200 
   
Total Food & Staples Retailing 
 
$ 418,200 
   
FOOD, BEVERAGE & TOBACCO - 9.3%
   
   
Agricultural Products - 0.8%
   
 
  900,000 
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)
 
$ 738,000 
 
  345,000 
Southern States Cooperative, Inc., 10.0%, 8/15/21 (144A)
 
  282,900 
 
  225,000(e)
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)
 
  92,250 
       
$ 1,113,150 
   
Packaged Foods & Meats - 7.3%
   
 
  225,000 
Agrokor DD, 8.875%, 2/1/20 (144A)
 
$ 238,725 
EUR
  200,000 
Agrokor DD, 9.875%, 5/1/19 (144A)
 
  235,730 
 
  650,000 
Bertin SA / Bertin Finance, Ltd., 10.25%, 10/5/16 (144A)
 
  657,312 
 
  500,000(e)
CFG Investment SAC, 9.75%, 7/30/19 (144A)
 
  268,750 
 
  1,100,000 
FAGE Dairy Industry SA / FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
 
  1,141,580 
 
  900,000 
JBS Investments GmbH, 7.25%, 4/3/24 (144A)
 
  927,450 
 
  515,000 
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)
 
  527,875 
 
  975,000 
Marfrig Holding Europe BV, 8.0%, 6/8/23 (144A)
 
  1,001,813 
 
  800,000 
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
 
  834,000 
 
  700,000 
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)
 
  675,500 
 
  700,000 
MHP SA, 8.25%, 4/2/20 (144A)
 
  661,500 
 
  1,600,000 
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
 
  1,688,000 
 
  200,000 
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
 
  220,500 
 
  600,000 
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)
 
  469,500 
 
  640,000 
Post Holdings, Inc., 6.75%, 12/1/21 (144A)
 
  683,200 
 
  200,000 
Post Holdings, Inc., 7.75%, 3/15/24 (144A)
 
  221,250 
       
$ 10,452,685 
   
Soft Drinks - 0.3%
   
 
  355,000 
Cott Beverages, Inc., 5.375%, 7/1/22
 
$ 363,875 
   
Tobacco - 0.9%
   
 
  1,470,000 
Alliance One International, Inc., 9.875%, 7/15/21
 
$ 1,293,600 
   
Total Food, Beverage & Tobacco 
 
$ 13,223,310 
   
HEALTH CARE EQUIPMENT & SERVICES - 1.6%
   
   
Health Care Facilities - 1.1%
   
 
  700,000 
Kindred Healthcare, Inc., 6.375%, 4/15/22
 
$ 645,750 
 
  235,000 
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/1/23 (144A)
 
  244,691 
 
  475,000 
Universal Hospital Services, Inc., 7.625%, 8/15/20
 
  441,750 

 
Principal
Amount
USD ($)
   
Value
   
Health Care Facilities - (continued)
   
 
  285,000 
Vizient, Inc., 10.375%, 3/1/24 (144A)
 
$ 321,338 
       
$ 1,653,529 
   
Health Care Services - 0.3%
   
 
  425,000 
BioScrip, Inc., 8.875%, 2/15/21
 
$ 392,063 
   
Health Care Technology - 0.2%
   
 
  275,000 
Change Healthcare Holdings, Inc., 11.0%, 12/31/19
 
$ 290,812 
   
Total Health Care Equipment & Services 
 
$ 2,336,404 
   
HOUSEHOLD & PERSONAL PRODUCTS - 0.6%
   
   
Household Products - 0.6%
   
EUR
  350,000(a)
Hydra Dutch Holdings 2BV, 5.205%, 4/15/19 (144A)
 
$ 390,298 
 
  460,000 
Springs Industries, Inc., 6.25%, 6/1/21
 
  476,100 
   
Total Household & Personal Products 
 
$ 866,398 
   
INSURANCE - 26.7%
   
   
Insurance Brokers - 0.0%†
   
GBP
  10,489(a)
Towergate Finance Plc, 8.5%, 3/2/20 (144A)
 
$ 14,097 
   
Life & Health Insurance - 0.1%
   
GBP
  59,442 
TIG FINCO Plc, 8.75%, 4/2/20 (144A)
 
$ 59,815 
   
Property & Casualty Insurance - 4.0%
   
 
  6,000,000(c)(d)
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A)
 
$ 5,596,684 
 
  80,000(b)(h)
White Mountains Insurance Group, Ltd., 7.506% (144A)
 
  80,300 
       
$ 5,676,984 
   
Reinsurance - 22.6%
   
 
  500,000(a)
Akibare Re, Ltd., 3.239%, 4/7/20 (144A) (Cat Bond)
 
$ 506,200 
 
  500,000(a)
Aozora Re, Ltd., 2.954%, 4/7/20 (144A) (Cat Bond)
 
  501,750 
 
  1,600,000(i)(j)
Artex Segregated Account (Kane SAC, Ltd.), Variable Rate
Notes, 6/15/17
 
  1,463,200 
 
  750,000(a)
Bosphorus Re., Ltd., 4.036%, 8/17/18 (144A)
 
  760,575 
 
  800,000(i)(j)
Carnousite Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/19/16
 
  16,320 
 
  1,000,000(i)(j)
Carnousite Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
 
  1,035,200 
 
  750,000(a)
Citrus Re, Ltd., 7.738%, 2/25/19 (144A) (Cat Bond)
 
  758,625 
EUR
  1,000,000(i)(j)
Dundonald Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/17/17
 
  1,031,690 
 
  1,750,000(a)
East Lane Re VI, Ltd., 2.888%, 3/14/18 (144A) (Cat Bond)
 
  1,752,800 
 
  250,000(a)
Galileo Re, Ltd., 9.238%, 1/8/19 (144A) (Cat Bond)
 
  253,525 
 
  250,000(a)
Galileo Re, Ltd., 13.738%, 1/8/19 (144A) (Cat Bond)
 
  254,700 
 
  2,000,000(a)
Gator Re, Ltd., 6.508%, 1/9/17 (144A) (Cat Bond)
 
  1,650,000 
 
  2,400,000(i)(j)
Gleneagles Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 11/30/20
 
  2,513,040 
 
  2,500,000(i)(j)
Gullane Segregated Account (Kane SAC, Ltd.), Variable Rate
Notes, 11/30/20
 
  2,659,250 
 
  1,000,000(i)(j)
Lahinch Segregated Account (Kane SAC, Ltd.), Variable Rate Notes,  5/10/21
 
  974,100 
 
  1,450,000(i)(j)
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rate Notes, 3/31/18
 
  101,500 
 
  1,000,000(a)
Merna Reinsurance V, Ltd., 2.238%, 4/7/17 (144A) (Cat Bond)
 
  999,900 
 
  750,000(a)
MetroCat Re, Ltd., 4.738%, 8/5/16 (144A) (Cat Bond)
 
  749,325 
 
  3,000,000(i)(j)
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2015-1, Variable Rate Notes, 2/1/19
 
  117,600 
 
  2,000,000(i)(j)
Pangaea Re Segregated Account (Kane SAC, Ltd.), Series 2016-1, Variable Rate Notes, 2/1/20
 
  2,047,400 
 
  2,500,000(i)(j)
Pangaea Re Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 12/20/16
 
  2,320,750 
 
  2,004,948(i)(j)
PI-6 Segregated Account (Kane SAC, Ltd.), Series C, Variable Rate Notes, 7/7/16
 
  15,238 
 
  500,000(a)
Queen Street IX Re, Ltd., 5.738%, 6/8/17 (144A) (Cat Bond)
 
  497,400 
 
  2,000,000(a)
Queen Street X Re, Ltd., 5.988%, 6/8/18 (144A) (Cat Bond)
 
  2,003,600 
 
  1,000,000(i)(j)
Resilience Re, Ltd., Variable Rate Notes, 6/2/17 (Cat Bond)
 
  947,700 
 
  1,250,000(i)(j)
Shenandoah, Re Ltd., Variable Rate Notes, 7/7/17
 
  1,176,250 
 
  1,000,000(i)(j)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/16/16 (144A)
 
  2,600 
 
  1,000,000(i)(j)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/18/17 (144A)
 
  24,700 
 
  1,000,000(i)(j)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/17/18 (144A)
 
  1,061,400 
 
  1,000,000(i)(j)
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 1/22/16
 
  19,700 
 
  1,000,000(i)(j)
St. Andrews Segregated Account (Kane SAC, Ltd.), Variable Rate Notes, 2/1/18
 
  1,031,700 
JPY
  150,799,195(i)(j)
Tralee Segregated Account (Kane SAC, Ltd.), Variable Rate
Notes, 7/20/17
 
  1,474,806 
 
  500,000(a)
Vitality Re VI, Ltd., 2.338%, 1/8/18 (144A) (Cat Bond)
 
  499,350 

 
Principal
Amount
USD ($)
   
Value
   
Reinsurance - (continued)
   
 
  1,000,000(a)
Vitality Re VII, Ltd., 2.888%, 1/7/20 (144A) (Cat Bond)
 
$ 1,016,000 
       
$ 32,237,894 
   
Total Insurance 
 
$ 37,988,790 
   
MATERIALS - 7.6%
   
   
Commodity Chemicals - 0.7%
   
 
  300,000 
Basell Finance Co., BV, 8.1%, 3/15/27 (144A)
 
$ 405,211 
 
  175,000 
Hexion US Finance Corp., 6.625%, 4/15/20
 
  147,875 
 
  545,000 
Rain CII Carbon LLC / CII Carbon Corp., 8.0%, 12/1/18 (144A)
 
  498,675 
       
$ 1,051,761 
   
Construction Materials - 0.2%
   
 
  215,000 
Cemex SAB de CV, 7.75%, 4/16/26 (144A)
 
$ 238,650 
   
Diversified Chemicals - 0.6%
   
 
  55,000 
Blue Cube Spinco, Inc., 9.75%, 10/15/23 (144A)
 
$ 62,837 
 
  55,000 
Blue Cube Spinco, Inc., 10.0%, 10/15/25 (144A)
 
  62,838 
 
  200,000 
CVR Partners LP / CVR Nitrogen Finance Corp., 9.25%, 6/15/23 (144A)
 
  204,500 
 
  660,000 
Evolution Escrow Issuer LLC, 7.5%, 3/15/22 (144A)
 
  523,875 
       
$ 854,050 
   
Diversified Metals & Mining - 1.1%
   
 
  109,000 
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)
 
$ 54,500 
 
  300,000 
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/1/22 (144A)
 
  336,000 
 
  449,080 
Mirabela Nickel, Ltd., 9.5%, 6/24/19
 
  89,816 
 
  180,000 
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)
 
  165,600 
 
  70,000 
Teck Resources, Ltd., 8.0%, 6/1/21 (144A)
 
  74,725 
 
  70,000 
Teck Resources, Ltd., 8.5%, 6/1/24 (144A)
 
  76,125 
 
  750,000 
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)
 
  761,382 
       
$ 1,558,148 
   
Forest Products - 0.2%
   
 
  390,000 
Eldorado International Finance GmbH, 8.625%, 6/16/21 (144A)
 
$ 319,800 
   
Gold - 0.1%
   
 
  85,000 
IAMGOLD Corp., 6.75%, 10/1/20 (144A)
 
$ 79,475 
   
Metal & Glass Containers - 0.9%
   
 
  284,349(g)
Ardagh Finance Holdings SA, 8.625% (8.625% PIK 0.0% cash), 6/15/19 (144A)
 
$ 292,879 
 
  320,000 
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc., 7.25%, 5/15/24 (144A)
 
  337,600 
EUR
  150,000 
Horizon Holdings I SASU, 7.25%, 8/1/23 (144A)
 
  180,152 
 
  475,000 
Reynolds Group Issuer, Inc., 9.875%, 8/15/19
 
  488,062 
       
$ 1,298,693 
   
Paper Packaging - 1.6%
   
 
  580,000 
Coveris Holding Corp., 10.0%, 6/1/18 (144A)
 
$ 596,588 
EUR
  1,365,000 
SIG Combibloc Holdings SCA, 7.75%, 2/15/23 (144A)
 
  1,629,080 
       
$ 2,225,668 
   
Paper Products - 1.4%
   
 
  675,000 
Appvion, Inc., 9.0%, 6/1/20 (144A)
 
$ 405,000 
 
  500,000 
Mercer International, Inc., 7.0%, 12/1/19
 
  506,250 
 
  840,000 
Resolute Forest Products, Inc., 5.875%, 5/15/23
 
  688,800 
 
  210,000 
Unifrax I LLC / Unifrax Holding Co., 7.5%, 2/15/19 (144A)
 
  188,475 
 
  150,000 
Xerium Technologies, Inc., 8.875%, 6/15/18
 
  153,900 
       
$ 1,942,425 
   
Specialty Chemicals - 0.3%
   
 
  410,000 
A Schulman, Inc., 6.875%, 6/1/23 (144A)
 
$ 416,150 
   
Steel - 0.5%
   
 
  250,000 
Evraz Group SA, 9.5%, 4/24/18 (144A)
 
$ 271,025 
 
  499,000 
Optima Specialty Steel, Inc., 12.5%, 12/15/16 (144A)
 
  424,150 
       
$ 695,175 
   
Total Materials 
 
$ 10,679,995 
   
MEDIA - 1.5%
   
   
Advertising - 0.1%
   
 
  130,000 
MDC Partners, Inc., 6.5%, 5/1/24 (144A)
 
$ 125,775 
   
Broadcasting - 0.1%
   
 
  400,000 
Intelsat Luxembourg SA, 7.75%, 6/1/21
 
$ 92,000 
   
Cable & Satellite - 0.1%
   
 
  220,000 
DISH DBS Corp., 7.75%, 7/1/26 (144A)
 
$ 228,112 
   
Movies & Entertainment - 0.4%
   
 
  600,000 
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)
 
$ 339,000 
 
  225,000 
Regal Entertainment Group, 5.75%, 2/1/25
 
  227,813 
       
$ 566,813 
   
Publishing - 0.8%
   
 
  855,000 
Gannett Co., Inc., 6.375%, 10/15/23
 
$ 919,125 
 
  186,000 
Trader Corp., 9.875%, 8/15/18 (144A)
 
  190,418 
       
$ 1,109,543 
   
Total Media 
 
$ 2,122,243 
         

 
Principal
Amount
USD ($)
   
Value
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.2%
   
   
Biotechnology - 0.2%
   
 
  300,000 
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
 
$ 308,250 
   
Pharmaceuticals - 1.0%
   
 
  208,000 
DPx Holdings BV, 7.5%, 2/1/22 (144A)
 
$ 221,000 
 
  650,000 
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%,
7/15/23 (144A)
 
  566,722 
EUR
  450,000 
VRX Escrow Corp., 4.5%, 5/15/23
 
  395,185 
 
  235,000 
VRX Escrow Corp., 5.875%, 5/15/23 (144A)
 
  195,638 
       
$ 1,378,545 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
 
$ 1,686,795 
   
REAL ESTATE - 1.1%
   
   
Specialized REIT - 1.1%
   
 
  1,520,000 
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.25%, 10/15/23
 
$ 1,552,300 
   
Total Real Estate 
 
$ 1,552,300 
   
RETAILING - 1.4%
   
   
Automotive Retail - 0.7%
   
 
  1,100,000 
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.0%, 6/1/21 (144A)
 
$ 1,045,000 
   
Computer & Electronics Retail - 0.2%
   
 
  235,000 
Rent-A-Center, Inc., 6.625%, 11/15/20
 
$ 219,725 
   
Department Stores - 0.4%
   
 
  300,000 
Argos Merger Sub, Inc., 7.125%, 3/15/23 (144A)
 
$ 313,500 
 
  350,000 
Neiman Marcus Group, Ltd., LLC, 8.0%, 10/15/21 (144A)
 
  296,660 
       
$ 610,160 
   
Specialty Stores - 0.1%
   
 
  85,000 
Outerwall, Inc., 6.0%, 3/15/19
 
$ 85,637 
   
Total Retailing 
 
$ 1,960,522 
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.2%
   
   
Semiconductors - 0.2%
   
 
  200,000 
Micron Technology, Inc., 5.5%, 2/1/25
 
$ 179,500 
 
  150,000 
Micron Technology, Inc., 5.625%, 1/15/26 (144A)
 
  133,125 
   
Total Semiconductors & Semiconductor Equipment 
 
$ 312,625 
   
SOFTWARE & SERVICES - 0.1%
   
   
Data Processing & Outsourced Services - 0.0%†
   
 
  65,000 
NeuStar, Inc., 4.5%, 1/15/23
 
$ 57,444 
   
IT Consulting & Other Services - 0.1%
   
 
  130,000 
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 7.125%, 6/15/24 (144A)
 
$ 139,876 
   
Total Software & Services 
 
$ 197,320 
   
TECHNOLOGY HARDWARE & EQUIPMENT - 0.8%
   
   
Communications Equipment - 0.2%
   
 
  280,000 
CommScope Technologies Finance LLC, 6.0%, 6/15/25 (144A)
 
$ 295,400 
   
Electronic Equipment & Instruments - 0.2%
   
 
  315,000 
Zebra Technologies Corp., 7.25%, 10/15/22
 
$ 336,263 
   
Technology Hardware, Storage & Peripherals - 0.4%
   
 
  485,000 
Diebold, Inc., 8.5%, 4/15/24 (144A)
 
$ 485,606 
   
Total Technology Hardware & Equipment 
 
$ 1,117,269 
   
TELECOMMUNICATION SERVICES - 3.7%
   
   
Integrated Telecommunication Services - 2.0%
   
 
  1,165,000 
Frontier Communications Corp., 8.75%, 4/15/22
 
$ 1,205,775 
 
  290,000 
Frontier Communications Corp., 11.0%, 9/15/25
 
  309,575 
 
  750,000 
GCI, Inc., 6.875%, 4/15/25
 
  778,125 
 
  600,000 
Windstream Corp., 7.5%, 6/1/22
 
  552,000 
       
$ 2,845,475 
   
Wireless Telecommunication Services - 1.7%
   
 
  250,000 
Altice Finco SA, 8.125%, 1/15/24 (144A)
 
$ 253,125 
 
  300,000 
Altice SA, 7.75%, 5/15/22 (144A)
 
  304,320 
 
  750,000 
Digicel, Ltd., 6.0%, 4/15/21 (144A)
 
  696,562 
 
  200,000 
Mobile Telesystems OJSC via MTS International Funding, Ltd., 5.0%, 5/30/23 (144A)
 
  206,240 
 
  340,000 
Sprint Corp., 7.125%, 6/15/24
 
  300,492 
 
  275,000 
Sprint Corp., 7.25%, 9/15/21
 
  256,611 
 
  250,000 
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
 
  245,263 
RUB
  14,100,000 
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)
 
  209,883 
       
$ 2,472,496 
   
Total Telecommunication Services 
 
$ 5,317,971 


 
 

 


 
Principal
Amount
USD ($)
   
Value
   
TRANSPORTATION - 2.9%
   
   
Airlines - 0.8%
   
 
  155,000 
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)
 
$ 139,887 
 
  450,000 
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 8.25%, 7/15/17 (144A)
 
  441,000 
 
  500,000 
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)
 
  510,625 
       
$ 1,091,512 
   
Airport Services - 0.3%
   
 
  418,320 
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)
 
$ 459,629 
   
Highways & Railtracks - 0.2%
   
MXN
  4,500,000 
Red de Carreteras de Occidente SAPIB de CV, 9.0%,
6/10/28 (144A)
 
$ 245,255 
   
Marine - 0.3%
   
 
  500,000(e)
Far East Capital, Ltd., SA, 8.0%, 5/2/18
 
$ 241,900 
 
  375,000 
Navios South American Logistics, Inc. / Navios Logistics
Finance US, Inc., 7.25%, 5/1/22 (144A)
 
  256,875 
       
$ 498,775 
   
Railroads - 0.6%
   
 
  402,471(g)
AAF Holdings LLC / AAF Finance Co., 12.0%
(12.75% PIK 12.0% cash), 7/1/19 (144A)
 
$ 412,533 
 
  485,000 
Florida East Coast Holdings Corp., 6.75%, 5/1/19 (144A)
 
  497,125 
       
$ 909,658 
   
Trucking - 0.7%
   
 
  1,325,000 
Jack Cooper Holdings Corp., 9.25%, 6/1/20
 
  954,000 
   
Total Transportation 
 
$ 4,158,829 
   
UTILITIES - 3.0%
   
   
Electric Utilities - 1.2%
   
 
  575,000 
Centrais Eletricas Brasileiras SA, 5.75%, 10/27/21
 
$ 549,844 
 
  460,000(b)
Enel S.p.A., 8.75%, 9/24/73 (144A)
 
  533,025 
 
  355,000 
PPL Energy Supply LLC, 4.625%, 7/15/19 (144A)
 
  336,362 
 
  370,000 
PPL Energy Supply LLC, 6.5%, 6/1/25
 
  325,600 
       
$ 1,744,831 
   
Gas Utilities - 0.4%
   
 
  492,450 
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A)
 
$ 525,075 
   
Independent Power Producers & Energy Traders - 1.4%
   
 
  190,000 
NRG Energy, Inc., 7.25%, 5/15/26 (144A)
 
$ 194,987 
 
  1,065,000 
Terraform Global Operating LLC, 9.75%, 8/15/22 (144A)
 
  1,067,663 
 
  125,000 
TerraForm Power Operating LLC, 5.875%, 2/1/23 (144A)
 
  125,469 
 
  585,000 
TerraForm Power Operating LLC, 6.125%, 6/15/25 (144A)
 
  582,075 
       
$ 1,970,194 
   
Total Utilities 
 
$ 4,240,100 
   
TOTAL CORPORATE BONDS & NOTES
   
   
(Cost  $123,626,848)
 
$ 122,788,662 
   
CONVERTIBLE BONDS & NOTES -  2.5% of Net Assets
   
   
HEALTH CARE EQUIPMENT & SERVICES - 1.2%
   
   
Health Care Equipment - 1.2%
   
 
  1,040,000(c)
Hologic, Inc., 2.0%, 12/15/37
 
$ 1,734,850 
   
Total Health Care Equipment & Services 
 
$ 1,734,850 
   
MATERIALS - 1.1%
   
   
Diversified Chemicals - 1.1%
   
 
  1,900,000(k)
Hercules, Inc., 6.5%, 6/30/29
 
$ 1,596,000 
   
Total Materials 
 
$ 1,596,000 
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
   
   
Biotechnology - 0.2%
   
 
  250,000 
Corsicanto, Ltd., 3.5%, 1/15/32
 
$ 283,281 
   
Total Pharmaceuticals, Biotechnology & Life Sciences 
 
$ 283,281 
   
TOTAL CONVERTIBLE BONDS & NOTES
   
   
(Cost  $2,448,759)
 
$ 3,614,131 
   
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -  9.4% of Net Assets
   
 
  1,000,000(a)
U.S. Treasury Notes, 0.373%, 10/31/16
 
$ 1,000,120 
 
  590,000(a)
U.S. Treasury Notes, 0.488%, 10/31/17
 
  590,637 
 
  7,880,000(a)
U.S. Treasury Notes, 0.51%, 4/30/18
 
  7,888,668 
 
  3,855,000(a)
U.S. Treasury Notes, 0.592%, 1/31/18
 
  3,863,658 
       
$ 13,343,083 
   
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
   
   
(Cost $13,336,075)
 
$ 13,343,083 
   
SOVEREIGN DEBT OBLIGATIONS -  2.4% of Net Assets
   
   
Argentina - 1.5%
   
 
  270,640 
Province of Salta Argentina, 9.5%, 3/16/22 (144A)
 
$ 288,232 
 
  360,000 
Provincia de Buenos Aires, 9.125%, 3/16/24 (144A)
 
  396,900 

 
Principal
Amount
USD ($)
   
Value
   
Argentina - (continued)
   
 
  230,000 
Provincia de Buenos Aires, 9.95%, 6/9/21 (144A)
 
$ 257,600 
 
  1,135,000 
Provincia del Chubut Argentina, 7.75%, 7/26/26 (144A)
 
  1,148,052 
       
$ 2,090,784 
   
Ireland - 0.3%
   
 
  450,000 
Vnesheconombank Via VEB Finance Plc, 6.902%, 7/9/20 (144A)
 
$ 481,770 
   
Kenya - 0.3%
   
 
  500,000 
Kenya Government International Bond, 6.875%, 6/24/24 (144A)
 
$ 474,250 
   
Mexico - 0.1%
   
MXN
  970,000 
Mexican Bonos, 7.75%, 11/13/42
 
$ 60,447 
MXN
  325,383 
Mexican Udibonos, 3.5%, 12/14/17
 
  17,814 
       
$ 78,261 
   
Zambia - 0.2%
   
 
  300,000 
Zambia Government International Bond, 5.375%, 9/20/22 (144A)
 
$ 237,150 
   
TOTAL SOVEREIGN DEBT OBLIGATIONS
   
   
(Cost  $3,234,380)
 
$ 3,362,215 
 
Shares
     
   
COMMON STOCKS -  0.3% of Net Assets
   
   
CAPITAL GOODS - 0.0%†
   
   
Industrial Machinery - 0.0%†
   
 
  10,289(d)(f)
Liberty Tire Recycling LLC
 
$ 103 
   
Total Capital Goods 
 
$ 103 
   
CONSUMER DURABLES & APPAREL - 0.0%†
   
   
Homebuilding - 0.0%†
   
MXN
  89,094(f)
Desarrolladora Homex SAB de CV
 
$ 7,644 
   
Total Consumer Durables & Apparel 
 
$ 7,644 
   
ENERGY - 0.0%†
   
   
Oil & Gas Exploration & Production - 0.0%†
   
 
  3,750(f)
PetroQuest Energy, Inc.
 
$ 12,112 
   
Total Energy 
 
$ 12,112 
   
INSURANCE - 0.0%†
   
   
Insurance Brokers - 0.0%†
   
GBP
  10,233(d)(f)
TopCo., Ltd.
 
$ 136 
GBP
  475(d)(f)
Towergate Finance Plc
 
  6 
   
Total Insurance 
 
$ 142 
   
RETAILING - 0.1%
   
   
Computer & Electronics Retail - 0.1%
   
 
  42,088(d)(f)
Targus Cayman SubCo., Ltd.
 
$ 147,308 
   
Total Retailing 
 
$ 147,308 
   
TRANSPORTATION - 0.2%
   
   
Air Freight & Logistics - 0.2%
   
 
  943(f)
CEVA Holdings LLC
 
$ 330,159 
   
Total Transportation 
 
$ 330,159 
   
TOTAL COMMON STOCKS
   
   
(Cost  $1,102,066)
 
$ 497,468 
   
CONVERTIBLE PREFERRED STOCKS -  0.4% of Net Assets
   
   
BANKS - 0.4%
   
   
Diversified Banks - 0.4%
   
 
  470
Bank of America Corp., 7.25%
 
$ 566,820 
   
Total Banks
 
$ 566,820 
   
ENERGY - 0.0%†
   
   
Oil & Gas Exploration & Production - 0.0%†
   
 
  200
Halcon Resources Corp., 5.75%
 
$ 8,600 
   
Total Energy 
 
$ 8,600 
   
TOTAL CONVERTIBLE PREFERRED STOCKS
   
   
(Cost  $524,899)
 
$ 575,420 
   
PREFERRED STOCKS -  1.5% of Net Assets
   
   
BANKS - 0.4%
   
   
Diversified Banks - 0.4%
   
 
  500(b)
AgStar Financial Services ACA, 6.75% (144A)
 
$ 530,594 
   
Total Banks 
 
$ 530,594 
   
DIVERSIFIED FINANCIALS - 0.7%
   
   
Other Diversified Financial Services - 0.7%
   
 
  40,675(b)
GMAC Capital Trust I, 6.602%
 
$ 1,033,958 
   
Total Diversified Financials 
 
$ 1,033,958 
   
INSURANCE - 0.4%
   
   
Insurance Brokers - 0.4%
   
GBP
  452,745(d)(f)
Towergate Finance Plc, Class B
 
$ 497,549 
   
Total Insurance 
 
$ 497,549 
   
TOTAL PREFERRED STOCKS
   
   
(Cost  $2,106,323)
 
$ 2,062,101 
         


 
 

 


 
Principal
Amount
USD ($)
   
Value
   
WARRANT -  0.0%†
   
   
INSURANCE - 0.0%†
   
   
Insurance Brokers
   
GBP
  136(d)(f)(l)
Towergate Finance Plc
 
$ – 
   
TOTAL WARRANT
   
   
(Cost  $–)
 
 
Number
of Contracts
 
Description
Counterparty
Strike
Price
Expiration
Date
 
   
CALL OPTIONS PURCHASED -  0.0%†
 
MXN       18,332
(m)
Desarrolladora Homex
SAB de CV
Bank of New York
Mellon Corp.
$–(o)
10/23/22
$ – 
MXN       18,332
(n)
Desarrolladora Homex
SAB de CV
Bank of New York
Mellon Corp.
  –(o)
10/23/22
  – 
           
$ – 
   
TOTAL CALL OPTIONS PURCHASED
   
   
(Premiums paid  $–)
 
$ – 
   
TOTAL INVESTMENTS IN SECURITIES - 138.0%
   
   
(Cost - $197,424,586) (p)(q)
 
$ 196,220,134 
   
OTHER ASSETS AND LIABILITIES - (38.0)%
 
$ (54,045,405)
   
NET ASSETS APPLICABLE TO
COMMON SHAREOWNERS - 100.0%
 
$ 142,174,729 
 

REIT
Real Estate Investment Trust.
 
(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, 2016, the value of these securities amounted to $79,122,002, or 55.7% of total net assets applicable to common shareowners.
 
(Cat Bond)
Catastrophe or Event-linked bond. At July 31, 2016, the value of these securities amounted normally to $12,390,875, or 8.7% of total net assets applicable to common shareowners.
Amount rounds to less than 0.1%.

*
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 July 31, 2016.
 
(a)
Floating rate note. The rate shown is the coupon rate at July 31, 2016.
 
(b)
The interest rate is subject to change periodically. The interest rate shown is the rate at July 31, 2016.
 
(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, 2016.
 
(d)
Security is valued using fair value methods (other than prices supplied by independent pricing services).
 
(e)
Security is in default.
 
(f)
Non-income producing.
 
(g)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
 
(h)
Security is perpetual in nature and has no stated maturity date.
 
(i)
Structured reinsurance investment. At July 31, 2016, the value of these securities amounted to $20,034,144, or 14.1% of total net assets applicable to common shareowners.
 
(j)
Rate to be determined.
 
(k)
Security is priced as a unit.
 
(l)
Towergate B Preferred warrants are exercisable into 136 Tig FinCo A shares.
 
(m)
Option does not become effective until underlying company’s outstanding common shares
reach a market capitalization of MXN 12.5 Billion.
 
(n)
Option does not become effective until underlying company’s outstanding common shares
reach a market capitalization of MXN 15.5 Billion.
 
(o)
Strike price is 1 Mexican Peso (MXN).
v
(p)
At July 31, 2016, the net unrealized depreciation on investments based on cost for federal tax purposes of $199,526,490 was as follows:
   
 
Aggregate gross unrealized appreciation for all investments in which there
   
 
     is an excess of value over tax cost
 
$ 8,794,770 
 
Aggregate gross unrealized depreciation for all investments in which there
   
 
     is an excess of tax cost over value
 
  (12,101,126)
   
 
Net unrealized depreciation
$ (3,306,356)
     
For financial reporting purposes net unrealized depreciation on investments was $1,204,452 and cost of investments aggregated $197,424,586.
 


 
 

 


(q)
Distributions of Investments by country of issue, as a percentage of long-term holdings based on country of domicile, is as follows:
 
 
United States
63.1%
 
Bermuda
14.4
 
Luxembourg
4.0
 
Netherlands
2.7
 
Argentina
2.5
 
Ireland
2.5
 
Cayman Islands
2.4
 
United Kingdom
1.2
 
France
1.1
 
Canada
1.0
 
Other (individually less than 1%)
5.1
   
100.0%

Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
EUR
-
Euro
GBP
-
Great British Pound
JPY
-
Japanese Yen
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).
 
   
The following is a summary of the inputs used as of July 31, 2016, in valuing the Trust's investments.
 
   
 
Level 1  
Level 2
Level 3
Total
 
Asset Backed Securities
$                –
$1,724,884
$ –
$1,724,884
Collateralized Mortgage
Obligations
747,554
747,554
Commercial Mortgage-Backed
Securities
4,016,740
4,016,740
Senior Secured Floating
Rate Loan Interests
       
Health Care Equipment
& Services
       
Health Care Technology
235,716
243,918
479,634
Retailing
       
Computer & Electronics Retail
178,159
178,159
All Other Senior Secured Floating
Rate Loan Interests
42,830,083
42,830,083
Corporate Bonds & Notes
       
Capital Goods
       
Industrial Machinery
966,100
169,505
1,135,605
Insurance
       
Property & Casualty Insurance
80,300
5,596,684
5,676,984
Reinsurance
12,203,750
20,034,144
32,237,894
All Other Corporate Bonds & Notes
83,738,179
83,738,179
Convertible Bonds & Notes
3,614,131
3,614,131
U.S. Government and
Agency Obligations
13,343,083
13,343,083
Sovereign Debt Obligation
3,362,215
3,362,215
Common Stocks
       
Capital Goods
       
Industrial Machinery
103
103
Insurance
       
Insurance Brokers
142
142
Retailing
       
Computer & Electronics Retail
147,308
147,308
Transportation
       
Air Freight & Logistics
330,159
330,159
All Other Common Stocks
19,756
19,756
Convertible Preferred Stocks
       
Energy
       
Oil & Gas Exploration & Production
8,600
8,600
All Other Convertible Preferred Stocks
566,820
566,820

 
Level 1  
Level 2
Level 3
Total
Preferred Stocks
       
Banks
       
Diversified Banks
$                –
$530,594
$ –
$530,594
Insurance
       
Insurance Brokers
497,549
497,549
All Other Preferred Stock
1,033,958
1,033,958
Warrant
–*
–*
Call Options Purchased
–*
–*
Total Investments in
Securities
$1,620,534
$167,732,088
$26,867,512
$196,220,134
*   Includes securities that are valued at $0.

The following is a summary of the fair valuation of certain of the Trust's assets and liabilities as of July 31, 2016:
 
   
 
Level 1  
Level 2
Level 3
Total
Assets:
 
Foreign currencies, at value
$ –
$237,205
$ –
$237,205
Liabilities:
 
Credit agreement
 –
(57,000,000)
 –
(57,000,000)
Total
$ –
$(56,762,795)
$ –
$(56,762,795)
           

The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
 
     
Change in
     
Transfers
Transfers
 
 
Balance
Realized
unrealized
   
Accrued
In and out
In and
Balance
 
as of
gain
appreciation
   
discounts/
of Level 3
out of
as of
 
4/30/16
(loss)
(depreciation)
Purchases
Sales
premiums
categories
Level 3*
7/31/16
Senior Secured
Floating Rate
Loan Interests
                 
Health Care
Equipment &
Services
                 
Health Care
Technology
 $243,918
 $             –
 $(3,670)
 $
 $
 $3,670
 $
 $             –
 $243,918
Retailing
                 
Computer &
Electronics
Retail
168,351
9,808
178,159
Corporate Bonds
& Notes
                 
Capital Goods
                 
Industrial
Machinery
169,505
(585)
585
169,505
Insurance
                 
Property
& Casualty
Insurance
5,247,802
344,844
4,038
5,596,684
Reinsurance
18,069,562
(20,205)
5,867,489
(3,998,270)
115,568
20,034,144
Common Stocks
                 
Capital Goods
                 
Industrial
Machinery
103
103
Insurance
                 
Insurance
Brokers
156
(14)
142
Retailing
                 
Computer &
Electronics
Retail
147,308
147,308
Preferred Stocks
                 
Insurance
                 
Insurance
Brokers
548,937
(51,388)
497,549
Reinsurance
37,500
(37,500)
Warrants
                 
Insurance
                 
Insurance
Brokers
–**
–**
Total
 $24,633,142
 $
 $231,482
 $5,877,297
 $(3,998,270)
 $123,861
 $
 $             –
 $26,867,512
 
*Transfers are calculated on the beginning of period value. For the three months ended July 31, 2016, there were no transfers between Levels 1, 2 and 3.
 
**Includes securities that are valued $0.
 
Net change in unrealized appreciation depreciation of Level 3 investments still held and considered Level 3 at July 31, 2016: $412,169.



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 September 28, 2016 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 September 28, 2016 By (Signature and Title)* /s/ Mark E. Bradley ----------------- Mark E. Bradley, Treasurer and Chief Accounting and Financial Officer Date September 28, 2016 * Print the name and title of each signing officer under his or her signature.