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:  January 31, 2017

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, 2017
     
     
   
Ticker Symbol: HNW

 
 

 
Schedule of Investments  |  1/31/17 (unaudited)

 
Principal
Amount
USD ($)
   
Value
         
   
ASSET BACKED SECURITIES - 1.1% of Net Assets
   
         
 
250,000
American Credit Acceptance Receivables Trust, Series 2014-2, Class D, 4.96%, 5/10/21 (144A)
 
$252,818
 
299,996
Axis Equipment Finance Receivables III LLC, Series 2015-1A,
Class E, 5.27%, 5/20/20 (144A)
 
287,250
 
80,239
Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 3/15/17
 
80,592
 
400,000(a)
NCF Dealer Floorplan Master Trust, Series 2016-1A, Class C, 9.277%, 3/21/22 (144A)
 
402,075
 
500,000
VB-S1 Issuer LLC, Series 2016-1A, Class F, 6.901%, 6/15/46 (144A)
 
$516,267
   
TOTAL ASSET BACKED SECURITIES
   
   
(Cost $1,515,874)
 
$1,539,002
   
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.4% of Net Assets
   
         
 
50,021
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A)
 
$      39,089
 
102,091
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32 (144A)
 
65,709
 
290,000(b)
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
 
277,353
 
276,814(c)
GMAT Trust, Series 2015-1A, Class A1, 4.25%, 9/25/20 (144A)
 
277,040
   
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
   
   
(Cost $696,587)
 
$659,191
   
COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.7% of Net Assets
   
         
 
375,000(a)
BAMLL Commercial Mortgage Securities Trust, Series 2014-INLD, Class F, 3.296%, 12/15/29 (144A)
 
$351,539
 
500,000(b)
Banc of America Commercial Mortgage Trust, Series 2007-4,
Class D, 5.818%, 2/10/51 (144A)
 
488,983
 
131,960(b)
Bear Stearns Commercial Mortgage Securities Trust,
Series 2005-PWR7, Class B, 5.214%, 2/11/41
 
131,755
 
260,000(a)
CFCRE Mortgage Trust, Series 2015-RUM, Class E, 5.367%, 7/15/30 (144A)
 
253,854
 
500,000(b)
Citigroup Commercial Mortgage Trust, Series 2014-GC23,
Class E, 3.208%, 7/10/47 (144A)
 
322,519
 
500,000(b)
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3,
Class C, 5.764%, 5/15/46
 
438,125
 
300,000(b)
COMM Mortgage Trust, Series 2007-C9, Class H, 5.785%, 12/10/49 (144A)
 
286,112
 
250,000(b)
COMM Mortgage Trust, Series 2012-CR2, Class E, 4.855%, 8/15/45 (144A)
 
238,595
 
250,000(a)
COMM Mortgage Trust, Series 2014-FL5, Class D, 4.767%, 10/15/31 (144A)
 
230,610
 
366,979(a)
EQTY Mezzanine Trust, Series 2014-INMZ, Class M, 5.516%, 5/8/31 (144A)
 
352,423
 
170,000(a)
EQTY Mortgage Trust, Series 2014-INNS, Class E, 4.216%,
5/8/31 (144A)
 
168,020
 
90,920
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
 
90,238
 
130,577
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class AJ, 5.623%, 5/12/45
 
111,656
 
400,000
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-FRR1, Class B702, 4.234%, 4/27/44 (144A)
 
386,972
 
550,000(a)
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-INN, Class E, 4.368%, 6/15/29 (144A)
 
549,311
 
399,416(b)
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.222%, 2/15/41
 
399,218
 
360,664(b)
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49
 
359,870
 
250,000
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1,
Class D, 3.0%, 8/15/49 (144A)
 
197,513
   
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
   
   
(Cost $5,375,357)
 
$5,357,313
   
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 32.9% of Net Assets* (a)
   
         
   
AUTOMOBILES & COMPONENTS - 2.0%
   
   
Auto Parts & Equipment - 1.2%
   
 
345,153
Electrical Components International, Inc., Term Loan, 5.75%, 5/28/21
 
$347,526
 
183,176
Federal-Mogul Corp., Tranche C Term Loan, 4.75%, 4/15/21
 
182,031
 
250,075
MPG Holdco I, Inc., Initial Term Loan, 3.75%, 10/20/21
 
251,065
 
177,301
TI Group Automotive Systems LLC, Initial US Term Loan, 3.526%, 6/30/22
 
178,631
 
Principal
Amount
USD ($)
   
Value
         
   
Auto Parts & Equipment - (continued)
   
 
781,372
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4.063%, 4/23/20
 
$784,547
       
$1,743,800
         
   
Automobile Manufacturers - 0.7%
   
 
839,209
Chrysler Group LLC, Term Loan B, 3.528%, 5/24/17
 
$840,232
 
156,378
Inteva Products LLC, Term B Loan, 9.75%, 9/8/21
 
157,257
       
$997,489
   
Tires & Rubber - 0.1%
   
 
191,667
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.77%, 4/30/19
 
$193,727
   
Total Automobiles & Components
 
$2,935,016
         
   
CAPITAL GOODS - 4.6%
   
   
Aerospace & Defense - 1.8%
   
 
401,237
Accudyne Industries Borrower SCA/Accudyne Industries LLC, Refinancing Term Loan, 4.0%, 12/13/19
 
$381,025
 
1,000,000
ADS Tactical, Inc., Term Loan, 8.498%, 12/31/22
 
990,000
 
298,489
DAE Aviation Holdings, Inc., Initial Term Loan, 5.25%, 7/7/22
 
300,587
 
525,000
DynCorp International, Inc., Term Loan B2, 7.75%, 7/7/20
 
528,062
 
227,221
Vencore, Inc. (fka SI Organization, Inc.), First Lien Initial Term Loan, 5.75%, 11/23/19
 
230,523
 
157,600
WP CPP Holdings LLC, Second Lien Term Loan B-1, 8.789%, 4/30/21
 
149,917
       
$2,580,114
         
   
Building Products - 0.8%
   
 
778,786
Builders FirstSource, Inc., Initial Term Loan, 4.75%, 7/31/22
 
$782,518
 
390,308
Unifrax Holding Co., New Term B Dollar Loan, 4.25%, 11/28/18
 
390,064
       
$1,172,582
   
Construction Machinery & Heavy Trucks - 0.3%
   
 
385,125
Navistar, Inc., Tranche B Term Loan, 6.5%, 8/7/20
 
$390,661
   
Electrical Components & Equipment - 0.3%
   
 
417,538
Wireco WorldGroup, Inc., First Lien Initial Term Loan, 6.5%, 9/29/23
 
$421,714
         
   
Industrial Conglomerates - 0.6%
   
 
396,942
Doosan Infracore International, Inc. (Doosan Holdings Europe, Ltd.), Tranche B Term Loan, 4.5%, 5/28/21
 
$402,891
 
498,750
DTI Holdco, Inc., Initial Term Loan, 6.25%, 10/2/23
 
496,048
       
$898,939
         
   
Industrial Machinery - 0.5%
   
 
189,050
Blount International, Inc., Initial Term Loan, 7.25%, 4/12/23
 
$191,413
 
493,694
NN, Inc., Tranche B Term Loan, 5.028%, 10/19/22
 
497,860
       
$689,273
   
Trading Companies & Distributors - 0.3%
   
 
274,642
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.78%, 7/16/18
 
$275,672
 
211,307
WESCO Distribution, Inc., Tranche B-1 Loan, 3.778%, 12/12/19
 
212,100
       
$487,772
   
Total Capital Goods
 
$6,641,055
         
   
COMMERCIAL & PROFESSIONAL SERVICES - 0.7%
   
   
Environmental & Facilities Services - 0.7%
   
 
500,000
Granite Acquisition, Inc., Second Lien Term B Loan, 8.25%, 12/19/22
 
$485,833
 
548,625
Safway Group Holding LLC, Initial Term Loan, 5.75%, 8/21/23
 
556,626
   
Total Commercial & Professional Services
 
$1,042,459
   
CONSUMER DURABLES & APPAREL - 0.8%
   
   
Home Furnishings - 0.1%
   
 
150,000
Serta Simmons Holdings LLC, Second Lien Term Loan, 9.0%, 11/8/24
 
$151,500
         
   
Housewares & Specialties - 0.3%
   
 
500,000
World Kitchen LLC, US Term Loan, 5.5%, 3/4/19
 
$500,000
   
Leisure Products - 0.4%
   
 
350,000
Bass Pro Group LLC, Initial Term Loan, 5.97%, 12/15/23
 
$340,895
 
163,691
Bombardier Recreational Products, Inc., Term B Loan, 4.04%, 6/30/23
 
164,953
       
$505,848
   
Total Consumer Durables & Apparel
 
$1,157,348
   
CONSUMER SERVICES - 2.2%
   
   
Casinos & Gaming - 0.3%
   
 
393,746
Scientific Games International, Inc., Initial Term B-2 Loan, 6.0%, 10/1/21
 
$398,140
   
Education Services - 1.0%
   
 
314,844
Cengage Learning Acquisitions, Inc., 2016 Refinancing Term Loan, 5.25%, 6/7/23
 
$293,828
 
740,644
KC MergerSub, Inc., Term B-1 Loan, 5.25%, 8/12/22
 
745,273
 
Principal
Amount
USD ($)
   
Value
         
   
Education Services - (continued)
   
 
479,333
Laureate Education, Inc., Series 2021 Extended Term Loan, 8.509%, 3/17/21
 
$485,025
       
$1,524,126
   
Leisure Facilities - 0.3%
   
 
377,065
Fitness International LLC, Term B Loan, 6.0%, 7/1/20
 
$381,837
   
Restaurants - 0.5%
   
 
246,513
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 4.0%, 10/4/23
 
$249,198
 
528,638
NPC International, Inc., Term Loan, 4.75%, 12/28/18
 
530,399
       
$779,597
   
Specialized Consumer Services - 0.1%
   
 
126,614
Prime Security Services Borrower LLC, First Lien 2016-2 Refinancing Term B-1 Loan, 4.25%, 5/2/22
 
$128,226
   
Total Consumer Services
 
$3,211,926
         
   
DIVERSIFIED FINANCIALS - 0.3%
   
   
Consumer Finance - 0.1%
   
 
212,440
Trans Union LLC, Term B-2 Loan, 3.278%, 4/9/21
 
$213,654
   
Specialized Finance - 0.2%
   
 
245,625
DBRS, Ltd., Initial Term Loan, 6.25%, 3/4/22
 
$228,431
   
Total Diversified Financials
 
$442,085
         
   
ENERGY - 2.2%
   
   
Oil & Gas Drilling - 0.5%
   
 
744,680
Jonah Energy LLC, Second Lien Initial Term Loan, 7.5%, 5/12/21
 
$729,787
   
Oil & Gas Equipment & Services - 0.3%
   
 
537,299
FR Dixie Acquisition Corp., Term Loan, 5.75%, 12/18/20
 
$349,244
   
Oil & Gas Exploration & Production - 0.9%
   
 
250,000
California Resources Corp., Term Loan, 11.375%, 12/31/21
 
$282,083
 
400,000
Chesapeake Energy Corp., Term Loan Class A, 8.5%, 8/23/21
 
438,375
 
587,913
EP Energy LLC (fka Everest Acquisition LLC), Term Loan, 9.75%, 6/30/21
 
610,695
       
$1,331,153
   
Oil & Gas Storage & Transportation - 0.5%
   
 
688,275
Gulf Finance LLC, Tranche B Term Loan, 6.25%, 8/25/23
 
$697,739
   
Total Energy
 
$3,107,923
         
   
FOOD, BEVERAGE & TOBACCO - 0.7%
   
   
Packaged Foods & Meats - 0.7%
   
 
498,750
Amplify Snack Brands, Inc., Term Loan, 6.5%, 9/2/23
 
$490,957
 
471,260
Dole Food Co., Inc., Tranche B Term Loan, 4.598%, 11/1/18
 
474,206
   
Total Food, Beverage & Tobacco
 
$965,163
         
   
HEALTH CARE EQUIPMENT & SERVICES - 3.2%
   
   
Health Care Equipment - 0.2%
   
 
232,965
Kinetic Concepts, Inc., Dollar Term F Loan, 5.0%, 11/4/20
 
$233,644
   
Health Care Facilities - 1.3%
   
 
225,651
CHS/Community Health Systems, Inc., Incremental 2018 Term F Loan, 4.18%, 12/31/18
 
$223,034
 
237,518
CHS/Community Health Systems, Inc., Incremental 2019 Term G Loan, 3.75%, 12/31/19
 
226,162
 
437,027
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan, 4.0%, 1/27/21
 
414,356
 
192,079
HCA, Inc., Tranche B-6 Term Loan, 4.028%, 3/17/23
 
194,135
 
313,714
Kindred Healthcare, Inc., Incremental Term Loan, 4.313%, 4/9/21
 
315,021
 
497,500
Prospect Medical Holdings, Inc., Term Loan, 7.0%, 6/30/22
 
496,256
       
$1,868,964
   
Health Care Services - 1.2%
   
 
331,544(d)
Bioscrip, Inc., Initial Term B Loan, 9.25% (2.75% PIK 6.5% cash), 7/31/20
 
$321,598
 
198,927(d)
Bioscrip, Inc., Term Loan, 9.25% (2.75% PIK 6.5% cash),
7/31/20
 
192,959
 
200,000
Genoa Healthcare Co., LLC, Initial Second Lien Term Loan, 9.0%, 10/28/24
 
202,667
 
345,625
HC Group Holdings III, Inc., First Lien Initial Term Loan, 6.0%, 4/7/22
 
335,256
 
250,000
Inventiv Group Holdings, Inc., Initial Term Loan, 4.75%, 11/9/23
 
252,165
 
199,363
National Mentor Holdings, Inc., Tranche B Term Loan, 4.25%, 1/31/21
 
200,085
 
99,492
NVA Holdings, Inc., First Lien Term Loan, 4.75%, 8/14/21
 
100,176
 
200,000
NVA Holdings, Inc., Second Lien Term Loan, 8.0%, 8/14/22
 
$200,834
       
$1,805,740
   
Health Care Supplies - 0.2%
   
 
229,487
Alere, Inc., Term Loan B, 4.25%, 6/20/22
 
$229,917
   
Health Care Technology - 0.3%
   
 
375,258(e)
Medical Card System, Inc., Term Loan, 1.5%, 5/31/19
 
$243,918
 
234,035
Quintiles IMS, Inc., Term B Dollar Loan, 3.516%, 3/17/21
 
236,141
       
$480,059
   
Total Health Care Equipment & Services
 
$4,618,324
         
 
Principal
Amount
USD ($)
   
Value
         
   
HOUSEHOLD & PERSONAL PRODUCTS - 0.5%
   
   
Household Products - 0.2%
   
 
301,219
Redbox Automated Retail LLC, First Lien Term B Loan, 8.5%, 9/27/21
 
$296,700
   
Personal Products - 0.3%
   
 
100,000
Atrium Innovations, Inc., Second Lien Term Loan, 7.75%, 8/13/21
 
$      99,750
 
127,228
NBTY, Inc., Dollar Term Loan B, 5.0%, 5/5/23
 
128,288
 
249,375
Revlon Consumer Products Corp., Initial Term Loan B, 4.25%, 9/7/23
 
251,883
       
$479,921
   
Total Household & Personal Products
 
$776,621
         
         
   
INSURANCE - 1.9%
   
   
Life & Health Insurance - 0.3%
   
 
495,142
Integro, Ltd., Initial Term Loan, 6.75%, 10/31/22
 
$492,667
         
   
Multi-Line Insurance - 0.1%
   
 
165,647
Alliant Holdings I LLC, Term Loan B, 4.503%, 8/12/22
 
$166,562
         
   
Property & Casualty Insurance - 1.5%
   
 
300,000
Acrisure LLC, First Lien Term B Loan, 5.75%, 11/22/23
 
$304,687
 
593,765
Confie Seguros Holding II Co., Second Lien Term Loan, 10.25%, 5/8/19
 
591,291
 
512,172
Confie Seguros Holding II Co., Term B Loan, 5.75%, 4/19/22
 
516,494
 
691,444
USI, Inc., Initial Term Loan, 4.25%, 12/27/19
 
694,325
       
$2,106,797
   
Total Insurance
 
$2,766,026
         
   
MATERIALS - 4.0%
   
   
Construction Materials - 0.7%
   
 
120,000
84 Lumber Co., Initial Term Loan, 6.75%, 10/25/23
 
$121,650
 
452,830(f)
American Bath Group LLC, Incremental Term Loan, 9/30/23
 
457,359
 
92,857
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Dollar Term B-3 Loan, 4.25%, 8/30/20
 
93,437
 
306,846
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-1 Loan, 4.25%, 8/30/20
 
308,763
 
34,760
Faenza Acquisition GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 4.25%, 8/30/20
 
34,977
       
$1,016,186
         
   
Diversified Chemicals - 0.2%
   
 
271,563
Univar USA, Inc., Term B-2 Loan, 3.519%, 7/1/22
 
$271,449
         
   
Diversified Metals & Mining - 0.4%
   
 
498,750
Global Brass and Copper, Inc., Initial Term Loan, 5.25%, 7/18/23
 
$504,984
 
75,256(g)(h)
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.15%, 11/25/14
 
12,041
       
$517,025
   
Forest Products - 0.2%
   
 
249,375
Expera Specialty Solutions LLC, Term Loan B, 5.75%, 11/3/23
 
$251,869
         
   
Metal & Glass Containers - 0.9%
   
 
10,525
Kleopatra Holdings 2 SCA, Initial German Borrower Dollar Term Loan, 4.25%, 4/28/20
 
$      10,635
 
24,629
Kleopatra Holdings 2 SCA, Initial US Dollar Term Loan, 4.25%, 4/28/20
 
24,886
 
514,083
Tank Holding Corp., Initial Term Loan, 5.25%, 3/16/22
 
512,284
 
738,750
Tekni-Plex, Inc., USD Term Loan, 4.539%, 6/1/22
 
740,782
       
$1,288,587
         
   
Paper Packaging - 0.4%
   
 
473,425
Caraustar Industries, Inc., Incremental Term Loan, 8.0%, 5/1/19
 
$483,486
 
147,472
Caraustar Industries, Inc., Term Loan, 8.0%, 5/1/19
 
150,605
       
$634,091
         
   
Paper Products - 0.5%
   
 
287,111
Appvion, Inc., Term Commitment, 7.75%, 6/28/19
 
$279,814
 
227,560
Exopack Holdings SA, USD Term Loan, 4.5%, 5/8/19
 
228,982
 
270,101
Ranpak Corp., Second Lien Initial Term Loan, 8.25%, 10/3/22
 
260,648
       
$769,444
         
   
Specialty Chemicals - 0.4%
   
 
291,136
Macdermid, Inc. (Platform Specialty Products Corp.), Tranche B-5 Term Loan, 4.5%, 6/7/20
 
$295,170
 
349,125
Omnova Solutions, Inc., Term B-2 Loan, 5.25%, 8/25/23
 
353,925
       
$649,095
         
   
Steel - 0.3%
   
 
497,500
Zekelman Industries, Inc. (fka JMC Steel Group, Inc.), Term Loan, 6.0%, 6/14/21
 
$503,564
   
Total Materials
 
$5,901,310
   
MEDIA - 2.4%
   
   
Advertising - 0.8%
   
 
933,653
Affinion Group, Inc., Tranche B Term Loan, 6.75%, 4/30/18
 
$932,361
 
249,375
CB Poly Investments LLC, First Lien Closing Date Term Loan, 6.25%, 8/16/23
 
252,492
       
$1,184,853
         
         
 
Principal
Amount
USD ($)
   
Value
   
Broadcasting - 0.8%
   
 
164,599
A-L Parent LLC, First Lien Initial Term Loan, 4.25%, 12/1/23
 
$166,245
 
244,167
Hubbard Radio LLC, Term Loan, 4.25%, 5/27/22
 
244,472
 
293,250
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 6.75%, 8/13/21
 
268,873
 
453,740
Univision Communications, Inc., Replacement First Lien Term Loan, 4.0%, 3/1/20
 
455,284
       
$1,134,874
         
   
Publishing - 0.8%
   
 
320,125
Houghton Mifflin Holdings, Inc., Term Loan, 4.0%, 5/28/21
 
$297,916
 
55,968
Lee Enterprises, Inc., First Lien Term Loan, 7.25%, 3/31/19
 
56,248
 
920,375
McGraw-Hill Global Education Holdings LLC, First Lien Term B Loan, 5.0%, 5/4/22
 
885,451
       
$1,239,615
   
Total Media
 
$3,559,342
         
         
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.5%
   
   
Biotechnology - 0.3%
   
 
366,921
Lantheus Medical Imaging, Inc., Term Loan, 7.0%, 6/30/22
 
$367,288
         
   
Life Sciences Tools & Services - 0.9%
   
 
987,500
Albany Molecular Research, Inc., Term Loan B, 6.006%, 7/16/21
 
$1,002,312
 
368,042
Catalent Pharma Solutions, Inc. (fka Cardinal Health 409, Inc.), Dollar Term Loan, 3.75%, 5/20/21
 
371,953
       
$1,374,265
         
   
Pharmaceuticals - 0.3%
   
 
544,500
Concordia Healthcare Corp., Initial Dollar Term Loan, 5.25%, 10/21/21
 
$429,134
   
Total Pharmaceuticals, Biotechnology & Life Sciences
 
$2,170,687
         
         
   
REAL ESTATE - 0.6%
   
   
Retail REITs - 0.2%
   
 
273,216
DTZ US Borrower LLC, First Lien Initial Term Loan, 4.25%, 11/4/21
 
$274,981
 
42,553
DTZ US Borrower LLC, Second Lien Initial Term Loan, 9.289%, 11/4/22
 
42,766
       
$317,747
         
   
Specialized REIT - 0.4%
   
 
494,991
Communications Sales & Leasing, Inc. (CSL Capital LLC), Term Loan, 4.5%, 10/24/22
 
$500,928
   
Total Real Estate
 
$818,675
         
   
RETAILING - 0.6%
   
   
Automotive Retail - 0.4%
   
 
488,610
CWGS Group LLC, Term Loan, 4.516%, 11/8/23
 
$492,885
         
   
Computer & Electronics Retail - 0.1%
   
 
48,006(d)
Targus Group International, Inc., Tranche A-2 Term Loan, 15.0% (15.0% PIK 0.0% cash), 12/31/19
 
$      46,326
 
144,018(d)
Targus Group International, Inc., Tranche B Term Loan, 15.0% (15.0% PIK 0.0% cash), 12/31/19
 
111,614
       
$157,940
         
   
Specialty Stores - 0.1%
   
 
155,711
PetSmart, Inc., Tranche B-2 Loan, 4.0%, 3/11/22
 
$154,555
   
Total Retailing
 
$805,380
         
         
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.3%
   
   
Semiconductors - 0.3%
   
 
497,449
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan, 4.517%, 5/7/21
 
$505,532
   
Total Semiconductors & Semiconductor Equipment
 
$505,532
         
   
SOFTWARE & SERVICES - 1.8%
   
   
Application Software - 0.5%
   
 
250,000
Greeneden US Holdings I LLC, Tranche B-1 Dollar Term Loan, 5.025%, 12/1/23
 
$253,177
 
500,000
STG-Fairway Acquisitions, Inc., First Lien Term Loan, 6.25%, 6/30/22
 
488,125
       
$741,302
         
   
Internet Software & Services - 0.4%
   
 
246,875
Avast Software BV, Initial Dollar Term Loan, 5.0%, 9/30/22
 
$250,810
 
250,000
Rackspace Hosting, Inc., First Lien Term B Loan, 4.5%, 11/3/23
 
252,988
       
$503,798
   
IT Consulting & Other Services - 0.9%
   
 
243,750
Evergreen Skills Lux S.a.r.l., First Lien Initial Term Loan, 5.75%, 4/28/21
 
$222,300
 
300,000
Rocket Software, Inc., Second Lien Term Loan, 10.5%, 10/14/24
 
305,156
 
617,188
Sitel Worldwide Corp., First Lien Term B-1 Loan, 6.563%, 9/18/21
 
616,224
 
195,000
TaxACT, Inc. (H.D. Vest, Inc.), Initial Term Loan, 7.0%, 1/3/23
 
197,925
       
$1,341,605
   
Total Software & Services
 
$2,586,705
         
 
Principal
Amount
USD ($)
   
Value
         
         
   
TECHNOLOGY HARDWARE & EQUIPMENT - 0.3%
   
   
Communications Equipment - 0.0%
   
 
27,617
CommScope, Inc., Tranche 4 Term Loan, 3.341%, 1/14/18
 
$      27,746
   
Electronic Components - 0.3%
   
 
451,950
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.),
First Lien Initial Term Loan, 5.75%, 3/31/22
 
$452,703
   
Total Technology Hardware & Equipment
 
$480,449
         
   
TELECOMMUNICATION SERVICES - 0.3%
   
   
Integrated Telecommunication Services - 0.3%
   
 
491,123
GCI Holdings, Inc., New Term B Loan, 3.778%, 2/2/22
 
$492,862
   
Total Telecommunication Services
 
$492,862
         
   
TRANSPORTATION - 0.9%
   
   
Marine - 0.6%
   
 
598,799
Commercial Barge Line Co., Initial Term Loan, 9.75%, 11/12/20
 
$573,351
 
224,289
Navios Maritime Partners LP, Term Loan, 5.25%, 6/27/18
 
223,728
       
$797,079
         
   
Trucking - 0.3%
   
 
473,364
YRC Worldwide, Inc., Initial Term Loan, 8.0%, 2/13/19
 
$472,772
   
Total Transportation
 
$1,269,851
         
   
UTILITIES - 1.1%
   
   
Electric Utilities - 0.5%
   
 
378,015
APLH Holdings, Ltd., Partnership, Term Loan, 6.0%, 4/13/23
 
$381,323
 
325,000
Talen Energy Supply LLC, Term Loan B, 6.0%, 12/6/23
 
329,824
       
$711,147
   
Independent Power Producers & Energy Traders - 0.6%
   
 
500,000
Dynergy Finance IV, Inc., Term Loan, 5.0%, 6/27/23
 
$504,509
 
460,382
TerraForm AP Acquisition Holdings LLC, Term Loan, 5.5%, 6/27/22
 
464,986
       
$969,495
   
Total Utilities
 
$1,680,642
   
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
   
   
(Cost $47,834,423)
 
$47,935,381
   
CORPORATE BONDS & NOTES - 88.6% of Net Assets
   
         
   
AUTOMOBILES & COMPONENTS - 0.7%
   
   
Auto Parts & Equipment - 0.7%
   
EUR
165,000(d)
IHO Verwaltungs GmbH, 3.25% (4.0% PIK 0.0% cash), 9/15/23 (144A)
 
$182,702
EUR
395,000(d)
IHO Verwaltungs GmbH, 3.75% (4.5% PIK 0.0% cash), 9/15/26 (144A)
 
427,482
 
454,000
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
 
455,135
   
Total Automobiles & Components
 
$1,065,319
         
   
BANKS - 5.3%
   
   
Diversified Banks - 5.0%
   
 
200,000
Access Bank Plc, 10.5%, 10/19/21 (144A)
 
$201,460
 
300,000(b)
Banco de Galicia y Buenos Aires, 8.25%, 7/19/26 (144A)
 
318,000
 
525,000
Banco de Galicia y Buenos Aires, 8.75%, 5/4/18 (144A)
 
536,812
 
200,000(b)(i)
Banco Santander SA, 6.375%
 
187,250
 
125,000(b)(i)
Bank of America Corp., 6.25%
 
130,500
 
680,000
Banque Ouest Africaine de Developpement, 5.5%, 5/6/21 (144A)
 
704,344
 
950,000(b)(i)
BNP Paribas SA, 7.625% (144A)
 
997,500
 
1,000,000(b)(i)
Credit Agricole SA, 7.875% (144A)
 
1,018,412
 
240,000(b)(i)
Goldman Sachs Capital II, 4.0%
 
192,720
 
350,000(b)(i)
ING Groep NV, 6.5%
 
339,063
 
500,000(b)(i)
Royal Bank of Scotland Group Plc, 8.0%
 
485,065
 
400,000(b)(i)
Royal Bank of Scotland Group Plc, 8.625%
 
413,000
 
200,000
Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (144A)
 
202,500
 
460,000(b)(i)
Societe Generale SA, 7.375% (144A)
 
460,851
 
245,000
Trade & Development Bank of Mongolia LLC, 9.375%, 5/19/20 (144A)
 
242,534
 
750,000
UBS AG / Stamford CT, 7.625%, 8/17/22
 
852,750
       
$7,282,761
   
Thrifts & Mortgage Finance - 0.3%
   
 
450,000
Vnesheconombank Via VEB Finance Plc, 6.902%, 7/9/20 (144A)
 
$489,375
   
Total Banks
 
$7,772,136
         
   
CAPITAL GOODS - 2.5%
   
   
Aerospace & Defense - 0.7%
   
 
400,000
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
 
$400,000
 
615,513(d)
DynCorp International, Inc., 11.875% (1.5% PIK 10.375% cash), 11/30/20
 
577,043
       
$977,043
   
Agricultural & Farm Machinery - 0.3%
   
 
475,000
Titan International, Inc., 6.875%, 10/1/20
 
$475,000
 
Principal
Amount
USD ($)
   
Value
         
   
Construction Machinery & Heavy Trucks - 0.3%
   
 
360,000
Meritor, Inc., 6.75%, 6/15/21
 
$372,600
         
   
Industrial Conglomerates - 0.3%
   
 
455,000
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
 
$478,888
         
   
Industrial Machinery - 0.7%
   
 
560,000
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)
 
$518,000
 
450,000
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
 
470,812
       
$988,812
         
   
Trading Companies & Distributors - 0.2%
   
 
150,000
H&E Equipment Services, Inc., 7.0%, 9/1/22
 
$158,064
 
161,000
TRAC Intermodal LLC / TRAC Intermodal Corp., 11.0%, 8/15/19
 
170,258
       
$328,322
   
Total Capital Goods
 
$3,620,665
         
   
COMMERCIAL & PROFESSIONAL SERVICES - 1.5%
   
   
Commercial Printing - 0.2%
   
 
340,000
Cenveo Corp., 6.0%, 8/1/19 (144A)
 
$302,600
         
   
Diversified Support Services - 1.3%
   
EUR
475,000
Boing Group Financing Plc, 6.625%, 7/15/19 (144A)
 
$510,317
 
280,000
Broadspectrum, Ltd., 8.375%, 5/15/20 (144A)
 
294,000
 
835,000
NANA Development Corp., 9.5%, 3/15/19 (144A)
 
814,125
 
260,000
TMS International Corp., 7.625%, 10/15/21 (144A)
 
259,350
       
$1,877,792
   
Total Commercial & Professional Services
 
$2,180,392
         
   
CONSUMER DURABLES & APPAREL - 0.8%
   
   
Homebuilding - 0.8%
   
 
135,000
Beazer Homes USA, Inc., 8.75%, 3/15/22 (144A)
 
$146,812
 
350,000
Brookfield Residential Properties, Inc., 6.375%, 5/15/25 (144A)
 
353,500
 
250,000
KB Home, 7.0%, 12/15/21
 
269,375
 
340,000
KB Home, 7.625%, 5/15/23
 
363,800
   
Total Consumer Durables & Apparel
 
$1,133,487
         
   
CONSUMER SERVICES - 4.4%
   
   
Casinos & Gaming - 1.6%
   
EUR
750,000
Intralot Capital Luxembourg SA, 6.75%, 9/15/21 (144A)
 
$828,163
 
854,637(d)(g)
Mashantucket Western Pequot Tribe, 6.5% (5.5% PIK 1.0% cash), 7/1/36
 
4,358
 
365,000
MGM Resorts International, 6.0%, 3/15/23
 
392,375
 
100,000
Scientific Games International, Inc., 6.25%, 9/1/20
 
93,000
 
1,050,000
Scientific Games International, Inc., 10.0%, 12/1/22
 
1,075,851
       
$2,393,747
         
   
Hotels, Resorts & Cruise Lines - 0.9%
   
 
320,000
Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower, Inc., 6.125%, 12/1/24 (144A)
 
$334,400
 
250,000
Silversea Cruise Finance Ltd., 7.25%, 2/1/25 (144A)
 
256,928
 
245,000
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)
 
235,200
 
425,000
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)
 
446,781
       
$1,273,309
         
   
Restaurants - 0.4%
   
 
495,000
Landry's, Inc., 6.75%, 10/15/24 (144A)
 
$509,850
         
   
Specialized Consumer Services - 1.5%
   
 
1,153,000
Constellis Holdings LLC / Constellis Finance Corp., 9.75%, 5/15/20 (144A)
 
$1,227,945
 
160,000
Monitronics International, Inc., 9.125%, 4/1/20
 
155,600
 
290,000
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23 (144A)
 
314,288
 
540,000
StoneMor Partners LP / Cornerstone Family Services of WV, 7.875%, 6/1/21
 
525,825
       
$2,223,658
   
Total Consumer Services
 
$6,400,564
         
   
DIVERSIFIED FINANCIALS - 1.9%
   
   
Consumer Finance - 1.3%
   
 
600,000
Credito Real SAB de CV SOFOM ER, 7.25%, 7/20/23 (144A)
 
$600,000
 
445,000
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
 
449,450
 
345,000
Navient Corp., 6.625%, 7/26/21
 
351,038
 
440,000
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
 
403,700
       
$1,804,188
   
Specialized Finance - 0.5%
   
 
175,000
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
 
$178,281
 
585,000
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 6/1/22
 
579,275
       
$757,556
   
Supranational - 0.1%
   
IDR
2,730,000,000
European Investment Bank, 7.2%, 7/9/19 (144A)
 
$202,583
   
Total Diversified Financials
 
$2,764,327
         
         
 
Principal
Amount
USD ($)
   
Value
         
   
ENERGY - 11.7%
   
   
Integrated Oil & Gas - 1.0%
   
 
410,000
Petrobras Global Finance BV, 6.25%, 3/17/24
 
$411,640
 
650,000
Petrobras Global Finance BV, 7.375%, 1/17/27
 
674,830
MXN
540,000
Petroleos Mexicanos, 7.19%, 9/12/24 (144A)
 
22,097
 
325,000
YPF SA, 8.875%, 12/19/18 (144A)
 
356,785
       
$1,465,352
         
   
Oil & Gas Drilling - 0.5%
   
 
160,000
Drill Rigs Holdings, Inc., 6.5%, 10/1/17 (144A)
 
$      80,000
 
442,000
Rowan Cos., Inc., 5.4%, 12/1/42
 
358,020
 
62,000
Rowan Cos., Inc., 5.85%, 1/15/44
 
51,150
 
289,904
Shelf Drilling Holdings Ltd., 9.5%, 11/2/20 (144A)
 
260,914
       
$750,084
         
   
Oil & Gas Equipment & Services - 0.9%
   
 
540,000
Archrock Partners LP / Archrock Partners Finance Corp., 6.0%, 10/1/22
 
$529,200
 
425,000
McDermott International, Inc., 8.0%, 5/1/21 (144A)
 
435,625
 
310,000
Weatherford International, Ltd., 5.95%, 4/15/42
 
242,479
       
$1,207,304
         
   
Oil & Gas Exploration & Production - 4.9%
   
 
300,000
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp., 7.875%, 12/15/24 (144A)
 
$322,500
 
200,000
California Resources Corp., 8.0%, 12/15/22 (144A)
 
178,000
 
200,000
Chesapeake Energy Corp., 8.0%, 1/15/25 (144A)
 
204,875
 
250,000
Extraction Oil & Gas Holdings LLC / Extraction Finance Corp., 7.875%, 7/15/21 (144A)
 
267,500
 
360,000
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A)
 
352,800
 
410,000
Great Western Petroleum LLC / Great Western Finance, Inc., 9.0%, 9/30/21 (144A)
 
434,600
 
740,000
Gulfport Energy Corp., 6.0%, 10/15/24 (144A)
 
753,875
 
450,000
Gulfport Energy Corp., 6.375%, 5/15/25 (144A)
 
461,250
 
402,000
Halcon Resources Corp., 12.0%, 2/15/22 (144A)
 
454,260
 
450,000
Novatek OAO via Novatek Finance, Ltd., 4.422%, 12/13/22 (144A)
 
449,334
 
470,000
PDC Energy, Inc., 7.75%, 10/15/22
 
498,787
 
506,000(d)
PetroQuest Energy, Inc., 10.0% (9.0% PIK 1.0% cash), 2/15/21 (144A)
 
370,645
 
375,000
Rice Energy, Inc., 6.25%, 5/1/22
 
389,063
 
870,000
Sanchez Energy Corp., 7.75%, 6/15/21
 
887,400
 
150,000
Whiting Petroleum Corp., 5.0%, 3/15/19
 
152,625
 
480,000
Whiting Petroleum Corp., 5.75%, 3/15/21
 
484,800
 
300,000
WPX Energy, Inc., 7.5%, 8/1/20
 
325,500
 
150,000
WPX Energy, Inc., 8.25%, 8/1/23
 
170,625
       
$7,158,439
         
   
Oil & Gas Refining & Marketing - 0.4%
   
 
669,000
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21
 
$578,685
         
   
Oil & Gas Storage & Transportation - 4.0%
   
 
220,000
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.125%, 11/15/22 (144A)
 
$225,500
 
200,000
Cheniere Corpus Christi Holdings LLC, 7.0%, 6/30/24 (144A)
 
223,250
 
230,000
DCP Midstream Operating LP, 5.6%, 4/1/44
 
209,012
 
450,000(a)
Energy Transfer Partners LP, 4.052%, 11/1/66
 
384,187
 
118,000
EnLink Midstream Partners LP, 5.05%, 4/1/45
 
108,500
 
344,000
EnLink Midstream Partners LP, 5.6%, 4/1/44
 
338,205
 
950,000
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22
 
1,004,625
 
480,000
Global Partners LP / GLP Finance Corp., 7.0%, 6/15/23
 
471,600
 
170,000
PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/23
 
172,975
 
925,000
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23 (144A)
 
949,513
 
520,000
Western Refining Logistics LP / WNRL Finance Corp., 7.5%, 2/15/23
 
564,200
 
1,175,000
Williams Cos., Inc., 5.75%, 6/24/44
 
1,189,688
       
$5,841,255
   
Total Energy
 
$17,001,119
   
FOOD & STAPLES RETAILING - 0.3%
   
   
Food Retail - 0.3%
   
 
200,000
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A)
 
$196,000
 
260,000
Tops Holding LLC / Tops Markets II Corp., 8.0%, 6/15/22 (144A)
 
208,000
   
Total Food & Staples Retailing
 
$404,000
         
         
   
FOOD, BEVERAGE & TOBACCO - 7.9%
   
   
Agricultural Products - 0.4%
   
 
900,000
Pinnacle Operating Corp., 9.0%, 11/15/20 (144A)
 
$454,500
 
225,000(g)
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)
 
92,250
       
$546,750
         
         
 
Principal
Amount
USD ($)
   
Value
         
   
Packaged Foods & Meats - 6.4%
   
 
225,000
Agrokor DD, 8.875%, 2/1/20 (144A)
 
$191,700
EUR
200,000
Agrokor DD, 9.875%, 5/1/19 (144A)
 
186,797
 
500,000(g)
CFG Investment SAC, 9.75%, 7/30/19 (144A)
 
395,000
 
900,000
JBS Investments GmbH, 7.25%, 4/3/24 (144A)
 
943,875
 
515,000
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)
 
537,917
 
975,000
Marfrig Holding Europe BV, 8.0%, 6/8/23 (144A)
 
1,027,406
 
800,000
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
 
846,000
 
700,000
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)
 
689,500
 
700,000
MHP SA, 8.25%, 4/2/20 (144A)
 
689,500
 
580,000
Minerva Luxembourg SA, 6.5%, 9/20/26 (144A)
 
576,375
 
1,600,000
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
 
1,700,000
 
200,000
Minerva Luxembourg SA, 12.25%, 2/10/22 (144A)
 
213,000
 
600,000
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)
 
456,000
 
640,000
Post Holdings, Inc., 6.75%, 12/1/21 (144A)
 
678,400
 
200,000
Post Holdings, Inc., 7.75%, 3/15/24 (144A)
 
221,376
       
$9,352,846
         
   
Soft Drinks - 0.3%
   
 
355,000
Cott Beverages, Inc., 5.375%, 7/1/22
 
$363,520
         
   
Tobacco - 0.8%
   
 
160,000
Alliance One International, Inc., 8.5%, 4/15/21 (144A)
 
$164,200
 
1,250,000
Alliance One International, Inc., 9.875%, 7/15/21
 
1,067,188
       
$1,231,388
   
Total Food, Beverage & Tobacco
 
$11,494,504
         
   
HEALTH CARE EQUIPMENT & SERVICES - 1.9%
   
   
Health Care Facilities - 1.5%
   
 
700,000
Kindred Healthcare, Inc., 6.375%, 4/15/22
 
$608,125
 
445,000
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/1/23 (144A)
 
459,462
 
455,000
Tennessee Merger Sub, Inc., 6.375%, 2/1/25 (144A)
 
447,038
 
630,000
Universal Hospital Services, Inc., 7.625%, 8/15/20
 
625,275
       
$2,139,900
         
   
Health Care Services - 0.2%
   
 
425,000
BioScrip, Inc., 8.875%, 2/15/21
 
$333,625
         
   
Health Care Technology - 0.2%
   
 
275,000
Change Healthcare Holdings, Inc., 11.0%, 12/31/19
 
$283,250
   
Total Health Care Equipment & Services
 
$2,756,775
         
         
   
HOUSEHOLD & PERSONAL PRODUCTS - 0.3%
   
   
Household Products - 0.3%
   
 
460,000
Springs Industries, Inc., 6.25%, 6/1/21
 
$476,100
       
   
Total Household & Personal Products
 
$476,100
         
         
   
INSURANCE - 24.4%
   
   
Insurance Brokers - 0.0%
   
GBP
10,489(a)
Towergate Finance Plc, 8.5%, 3/2/20 (144A)
 
$      13,548
         
   
Property & Casualty Insurance - 4.2%
   
 
6,000,000(c)(e)
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A)
 
$5,400,420
EUR
250,000(a)
Horse Capital I DAC, 6.25%, 6/15/20 (144A)
 
270,882
EUR
250,000(a)
Horse Capital I DAC, 12.0%, 6/15/20 (144A)
 
270,477
 
80,000(b)(i)
Sirius International Group, Ltd., 7.506% (144A)
 
81,400
GBP
59,442
TIG FINCO Plc, 8.75%, 4/2/20 (144A)
 
71,770
       
$6,094,949
         
   
Reinsurance - 20.2%
   
 
500,000(a)
Aozora Re, Ltd., 3.358%, 4/7/20 (144A) (Cat Bond)
 
$510,300
 
750,000(a)
Bosphorus Re, Ltd., 4.341%, 8/17/18 (144A)
 
764,850
 
800,000(j)(k)
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/28/17
 
16,320
 
1,000,000(j)(k)
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
 
119,700
 
1,000,000(j)(k)
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/21
 
1,001,000
 
750,000(a)
Citrus Re, Ltd., 8.013%, 2/25/19 (144A) (Cat Bond)
 
778,050
 
650,000(j)(k)
Cyprus Segregated Account (Artex SAC, Ltd.), Variable Rate
Notes, 7/10/17
 
569,270
 
1,000,000(j)(k)
Denning 2016 Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 7/7/17
 
990,200
EUR
1,000,000(j)(k)
Dundonald Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/10/17
 
1,079,750
 
1,750,000(a)
East Lane Re VI, Ltd., 3.163%, 3/14/18 (144A) (Cat Bond)
 
1,758,225
 
250,000(a)
Galilei Re, Ltd., 9.012%, 1/8/21 (144A) (Cat Bond)
 
250,400
 
250,000(a)
Galilei Re, Ltd., 14.228%, 1/8/20 (144A) (Cat Bond)
 
252,900
 
250,000(a)
Galilei Re, Ltd., 14.262%, 1/8/21 (144A) (Cat Bond)
 
253,850
 
250,000(a)
Galileo Re, Ltd., 9.233%, 1/8/19 (144A) (Cat Bond)
 
254,550
 
250,000(a)
Galileo Re, Ltd., 13.753%, 1/8/19 (144A) (Cat Bond)
 
253,750
 
157,500(a)
Gator Re, Ltd., 3.513%, 1/9/20 (144A) (Cat Bond)
 
23,625
 
Principal
Amount
USD ($)
   
Value
         
   
Reinsurance - (continued)
   
 
2,400,000(j)(k)
Gleneagles Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
 
$403,680
 
1,500,000(j)(k)
Gleneagles Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/21
 
1,507,650
 
2,500,000(j)(k)
Gullane Segregated Account (Artex SAC, Ltd.), Variable Rate
Notes, 11/30/20
 
237,500
 
2,500,000(j)(k)
Gullane Segregated Account (Artex SAC, Ltd.), Variable Rate
Notes, 11/30/21
 
2,511,000
 
1,000,000(j)(k)
Lahinch Segregated Account (Artex SAC, Ltd.), Variable Rate
Notes, 5/10/21
 
17,800
 
1,450,000(j)(k)
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rate Notes, 3/31/18
 
8,410
 
1,000,000(a)
Merna Reinsurance V, Ltd., 2.513%, 4/7/17 (144A) (Cat Bond)
 
999,000
 
500,000(a)
Nakama Re, Ltd., 3.557%, 10/13/21 (144A) (Cat Bond)
 
507,000
 
3,000,000(j)(k)
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2015-1, Variable Rate Notes, 2/1/19
 
117,600
 
2,000,000(j)(k)
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2016-1, Variable Rate Notes, 2/1/20
 
258,200
 
2,000,000(j)(k)
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2017-1, Variable Rate Notes, 11/30/21
 
2,019,600
 
1,600,000(j)(k)
Portrush 2016 Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 6/15/17
 
365,280
 
500,000(a)
Queen Street IX Re, Ltd., 6.013%, 6/8/17 (144A) (Cat Bond)
 
500,600
 
2,000,000(a)
Queen Street X Re, Ltd., 6.263%, 6/8/18 (144A) (Cat Bond)
 
1,994,000
 
500,000(l)
Residential Reinsurance 2016 Ltd., 12/6/17 (144A) (Cat Bond)
 
463,500
 
1,000,000(j)(k)
Resilience Re, Ltd., Variable Rate Notes, 6/2/17 (Cat Bond)
 
996,800
AUD
300,000(j)(k)
Rewire Securities LLC, Variable Rate Notes, 7/10/17
 
201,410
 
1,250,000(j)(k)
Shenandoah, Re Ltd., Variable Rate Notes, 7/7/17
 
1,219,500
 
1,000,000(j)(k)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/18/17 (144A)
 
24,700
 
1,000,000(j)(k)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/17/18 (144A)
 
1,143,200
 
1,000,000(j)(k)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/16/19 (144A)
 
1,009,100
 
1,000,000(j)(k)
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/28/17
 
19,700
 
1,000,000(j)(k)
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/1/18
 
165,600
 
1,000,000(j)(k)
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/1/19
 
1,006,600
JPY
150,799,195(j)(k)
Tralee Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 7/20/17
 
1,331,199
 
500,000(a)
Vitality Re VI, Ltd., 2.613%, 1/8/18 (144A) (Cat Bond)
 
499,850
 
1,000,000(a)
Vitality Re VII, Ltd., 3.163%, 1/7/20 (144A) (Cat Bond)
 
1,016,000
       
$29,421,219
   
Total Insurance
 
$35,529,716
         
   
MATERIALS - 7.0%
   
   
Commodity Chemicals - 0.7%
   
 
300,000
Basell Finance Co., BV, 8.1%, 3/15/27 (144A)
 
$394,516
 
175,000
Hexion US Finance Corp., 6.625%, 4/15/20
 
163,187
 
545,000
Rain CII Carbon LLC / CII Carbon Corp., 8.0%, 12/1/18 (144A)
 
543,638
       
$1,101,341
         
   
Construction Materials - 0.2%
   
 
215,000
Cemex SAB de CV, 7.75%, 4/16/26 (144A)
 
$238,919
         
   
Copper - 0.3%
   
 
465,000
Freeport-McMoRan, Inc., 3.55%, 3/1/22
 
$434,775
         
   
Diversified Chemicals - 0.6%
   
 
55,000
Blue Cube Spinco, Inc., 9.75%, 10/15/23
 
$      65,312
 
55,000
Blue Cube Spinco, Inc., 10.0%, 10/15/25
 
66,550
 
200,000
CVR Partners LP / CVR Nitrogen Finance Corp., 9.25%, 6/15/23 (144A)
 
213,000
 
500,000
Evolution Escrow Issuer LLC, 7.5%, 3/15/22 (144A)
 
487,500
       
$832,362
         
   
Diversified Metals & Mining - 1.6%
   
 
109,000
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)
 
$      81,750
 
300,000
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/1/22 (144A)
 
348,000
 
200,000
Hudbay Minerals, Inc., 7.25%, 1/15/23 (144A)
 
$211,500
 
180,000
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)
 
179,100
 
70,000
Teck Resources, Ltd., 8.0%, 6/1/21 (144A)
 
77,175
 
70,000
Teck Resources, Ltd., 8.5%, 6/1/24 (144A)
 
81,462
 
160,000
Vale Overseas, Ltd., 6.25%, 8/10/26
 
172,000
 
375,000
Vedanta Resources Plc, 6.375%, 7/30/22 (144A)
 
375,563
 
750,000
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)
 
809,752
       
$2,336,302
 
Principal
Amount
USD ($)
   
Value
         
   
Forest Products - 0.2%
   
 
390,000
Eldorado International Finance GmbH, 8.625%, 6/16/21 (144A)
 
$347,100
         
   
Metal & Glass Containers - 0.4%
   
 
100,000(d)
ARD Finance SA, 7.125% (7.875% PIK 0.0% cash), 9/15/23 (144A)
 
$101,625
 
320,000
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc., 7.25%, 5/15/24 (144A)
 
342,800
EUR
150,000
Horizon Holdings I SASU, 7.25%, 8/1/23 (144A)
 
171,883
       
$616,308
         
   
Paper Packaging - 1.1%
   
EUR
1,365,000
SIG Combibloc Holdings SCA, 7.75%, 2/15/23 (144A)
 
$1,582,556
         
   
Paper Products - 0.9%
   
 
675,000
Appvion, Inc., 9.0%, 6/1/20 (144A)
 
$374,625
 
500,000
Mercer International, Inc., 7.0%, 12/1/19
 
518,125
 
475,000
Resolute Forest Products, Inc., 5.875%, 5/15/23
 
414,437
       
$1,307,187
         
   
Specialty Chemicals - 0.5%
   
 
410,000
A Schulman, Inc., 6.875%, 6/1/23 (144A)
 
$432,550
 
150,000
Koppers, Inc., 6.0%, 2/15/25 (144A)
 
155,250
 
160,000
Tronox Finance LLC, 6.375%, 8/15/20
 
153,800
       
$741,600
         
   
Steel - 0.5%
   
 
250,000
Evraz Group SA, 9.5%, 4/24/18 (144A)
 
$269,062
 
499,000
Optima Specialty Steel, Inc., 12.5%, 6/30/17 (144A)
 
449,100
       
$718,162
   
Total Materials
 
$10,256,612
         
         
   
MEDIA - 1.7%
   
   
Advertising - 0.2%
   
 
270,000
MDC Partners, Inc., 6.5%, 5/1/24 (144A)
 
$234,900
         
   
Broadcasting - 0.2%
   
 
315,000
CSC Holdings LLC, 5.5%, 4/15/27 (144A)
 
$319,725
         
   
Cable & Satellite - 0.2%
   
 
220,000
DISH DBS Corp., 7.75%, 7/1/26
 
$246,264
 
78,000
Intelsat Connect Finance SA, 12.5%, 4/1/22 (144A)
 
49,335
 
58,000
Intelsat Luxembourg SA, 7.75%, 6/1/21
 
20,155
       
$315,754
         
   
Movies & Entertainment - 0.5%
   
 
600,000
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)
 
$546,000
 
225,000
Regal Entertainment Group, 5.75%, 2/1/25
 
228,937
       
$774,937
         
   
Publishing - 0.6%
   
 
855,000
Gannett Co., Inc., 6.375%, 10/15/23
 
$904,162
   
Total Media
 
$2,549,478
         
         
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.3%
   
   
Pharmaceuticals - 1.3%
   
 
208,000
DPx Holdings BV, 7.5%, 2/1/22 (144A)
 
$220,480
 
650,000
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 7/15/23 (144A)
 
554,125
 
240,000
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 2/1/25 (144A)
 
195,300
 
70,000
Horizon Pharma, Inc. / Horizon Pharma USA, Inc., 8.75%, 11/1/24 (144A)
 
71,925
 
225,000
Horizon Pharma, Inc., 6.625%, 5/1/23
 
216,562
EUR
450,000
VRX Escrow Corp., 4.5%, 5/15/23
 
359,557
 
345,000
VRX Escrow Corp., 5.875%, 5/15/23 (144A)
 
262,631
   
Total Pharmaceuticals, Biotechnology & Life Sciences
 
$1,880,580
         
   
REAL ESTATE - 1.1%
   
   
Specialized REIT - 1.1%
   
 
1,520,000
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.25%, 10/15/23
 
$1,649,200
   
Total Real Estate
 
$1,649,200
         
         
   
RETAILING - 0.4%
   
   
Department Stores - 0.4%
   
 
300,000
Argos Merger Sub, Inc., 7.125%, 3/15/23 (144A)
 
$294,750
 
350,000
Neiman Marcus Group, Ltd., LLC, 8.0%, 10/15/21 (144A)
 
216,125
   
Total Retailing
 
$510,875
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.2%
   
   
Semiconductors - 0.2%
   
 
200,000
Micron Technology, Inc., 5.5%, 2/1/25
 
$201,000
 
150,000
Micron Technology, Inc., 5.625%, 1/15/26 (144A)
 
150,225
   
Total Semiconductors & Semiconductor Equipment
 
$351,225
         
 
Principal
Amount
USD ($)
   
Value
         
   
SOFTWARE & SERVICES - 0.5%
   
   
IT Consulting & Other Services - 0.5%
   
 
130,000
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., 7.125%, 6/15/24 (144A)
 
$142,334
 
635,000
Rackspace Hosting, Inc., 8.625%, 11/15/24 (144A)
 
658,813
   
Total Software & Services
 
$801,147
         
         
   
TECHNOLOGY HARDWARE & EQUIPMENT - 0.9%
   
   
Communications Equipment - 0.2%
   
 
280,000
CommScope Technologies Finance LLC, 6.0%, 6/15/25 (144A)
 
$298,376
         
   
Electronic Equipment & Instruments - 0.3%
   
 
315,000
Zebra Technologies Corp., 7.25%, 10/15/22
 
$339,413
         
   
Technology Hardware, Storage & Peripherals - 0.4%
   
 
560,000
Diebold Nixdorf, Inc., 8.5%, 4/15/24
 
$611,800
   
Total Technology Hardware & Equipment
 
$1,249,589
         
   
TELECOMMUNICATION SERVICES - 4.2%
   
   
Integrated Telecommunication Services - 2.1%
   
 
300,000
Cincinnati Bell, Inc., 7.0%, 7/15/24 (144A)
 
$316,875
 
1,165,000
Frontier Communications Corp., 8.75%, 4/15/22
 
1,178,363
 
290,000
Frontier Communications Corp., 11.0%, 9/15/25
 
293,262
 
750,000
GCI, Inc., 6.875%, 4/15/25
 
780,000
 
600,000
Windstream Corp., 7.5%, 6/1/22
 
580,500
       
$3,149,000
         
   
Wireless Telecommunication Services - 2.1%
   
 
250,000
Altice Finco SA, 8.125%, 1/15/24 (144A)
 
$265,625
 
300,000
Altice SA, 7.75%, 5/15/22 (144A)
 
318,375
 
225,000
Digicel Group, Ltd., 8.25%, 9/30/20 (144A)
 
199,406
 
750,000
Digicel, Ltd., 6.0%, 4/15/21 (144A)
 
699,225
 
200,000
Mobile Telesystems OJSC via MTS International Funding, Ltd., 5.0%, 5/30/23 (144A)
 
205,812
 
340,000
Sprint Corp., 7.125%, 6/15/24
 
355,300
 
485,000
Sprint Corp., 7.25%, 9/15/21
 
519,677
 
250,000
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
 
247,410
RUB
14,100,000
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)
 
232,554
       
$3,043,384
   
Total Telecommunication Services
 
$6,192,384
         
   
TRANSPORTATION - 2.7%
   
   
Airlines - 0.8%
   
 
155,000
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)
 
$141,050
 
450,000
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co.,
8.25%, 7/15/17 (144A)
 
443,250
 
500,000
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)
 
516,250
       
$1,100,550
         
   
Airport Services - 0.4%
   
 
371,840
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)
 
$400,111
 
200,000
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 3/30/29 (144A)
 
204,250
       
$604,361
         
   
Highways & Railtracks - 0.1%
   
MXN
4,500,000
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A)
 
$198,326
         
   
Marine - 0.4%
   
 
300,000(g)
Far East Capital, Ltd., SA, 8.0%, 5/2/18
 
$172,500
 
375,000
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)
 
346,406
       
$518,906
         
   
Railroads - 0.6%
   
 
415,299(d)
AAF Holdings LLC / AAF Finance Co., 12.0% (12.75% PIK 12.0% cash), 7/1/19 (144A)
 
$429,834
 
485,000
Florida East Coast Holdings Corp., 6.75%, 5/1/19 (144A)
 
498,338
       
$928,172
         
   
Trucking - 0.4%
   
 
1,325,000
Jack Cooper Holdings Corp., 9.25%, 6/1/20
 
$530,000
   
Total Transportation
 
$3,880,315
   
UTILITIES - 5.0%
   
   
Electric Utilities - 1.9%
   
 
575,000
Centrais Eletricas Brasileiras SA, 5.75%, 10/27/21
 
$579,140
 
460,000(b)
Enel S.p.A, 8.75%, 9/24/73 (144A)
 
524,400
 
2,090,000
Talen Energy Supply LLC, 6.5%, 6/1/25
 
1,687,675
       
$2,791,215
         
   
Gas Utilities - 1.0%
   
 
465,000
Ferrellgas LP / Ferrellgas Finance Corp., 6.75%, 6/15/23
 
$463,838
 
400,000
Ferrellgas LP / Ferrellgas Finance Corp., 8.625%, 6/15/20 (144A)
 
396,000
 
492,450
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A)
 
531,846
       
$1,391,684
         
         
 
Principal
Amount
USD ($)
   
Value
         
   
Independent Power Producers & Energy Traders - 2.1%
   
 
570,000
NRG Energy, Inc., 6.625%, 1/15/27 (144A)
 
$565,725
 
320,000
NRG Energy, Inc., 7.25%, 5/15/26 (144A)
 
334,800
 
236,050
NSG Holdings LLC / NSG Holdings, Inc., 7.75%, 12/15/25 (144A)
 
255,524
 
1,065,000
TerraForm Global Operating LLC, 9.75%, 8/15/22 (144A)
 
1,174,163
 
125,000(c)
TerraForm Power Operating LLC, 6.375%, 2/1/23 (144A)
 
128,437
 
585,000(c)
TerraForm Power Operating LLC, 6.625%, 6/15/25 (144A)
 
608,400
       
$3,067,049
   
Total Utilities
 
$7,249,948
   
TOTAL CORPORATE BONDS & NOTES
   
   
(Cost $124,546,667)
 
$129,170,457
   
CONVERTIBLE BOND & NOTE - 1.2% of Net Assets
   
         
   
MATERIALS - 1.2%
   
   
Diversified Chemicals - 1.2%
   
 
1,900,000(m)
Hercules LLC, 6.5%, 6/30/29
 
$1,805,000
   
Total Materials
 
$1,805,000
         
   
TOTAL CONVERTIBLE BOND & NOTE
   
   
(Cost $1,225,951)
 
$1,805,000
   
U.S. GOVERNMENT AND AGENCY OBLIGATION - 3.4% of Net Assets
   
 
5,000,000(a)
U.S. Treasury Notes, 0.706%, 4/30/18
 
$5,008,125
   
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATION
   
   
(Cost $5,001,024)
 
$5,008,125
   
SOVEREIGN DEBT OBLIGATIONS - 1.8% of Net Assets
   
   
Argentina - 1.4%
   
 
247,120
Province of Salta Argentina, 9.5%, 3/16/22 (144A)
 
$257,005
 
360,000
Provincia de Buenos Aires, 9.125%, 3/16/24 (144A)
 
392,400
 
230,000
Provincia de Buenos Aires, 9.95%, 6/9/21 (144A)
 
258,175
 
1,135,000
Provincia del Chubut Argentina, 7.75%, 7/26/26 (144A)
 
1,113,276
       
$2,020,856
   
Kenya - 0.3%
   
 
500,000
Kenya Government International Bond, 6.875%, 6/24/24 (144A)
 
$482,525
   
Mexico - 0.1%
   
MXN
970,000
Mexican Bonos, 7.75%, 11/13/42
 
$      45,290
MXN
337,277
Mexican Udibonos, 3.5%, 12/14/17
 
16,509
       
$      61,799
   
TOTAL SOVEREIGN DEBT OBLIGATIONS
   
   
(Cost $2,477,347)
 
$2,565,180
   
TAX EXEMPT OBLIGATIONS - 1.8% of Net Assets (n)
   
   
California - 0.1%
   
 
170,000
Golden State Tobacco Securitization Corp., Asset-Backed,
Series A-1, 5.125%, 6/1/47
 
$158,103
   
Michigan - 0.0%
   
 
25,000
Michigan Tobacco Settlement Finance Authority, Series A, 6.0%, 6/1/48
 
$      22,939
   
New Jersey - 0.5%
   
 
760,000
Tobacco Settlement Financing Corp., Series 1A, 5.0%, 6/1/41
 
$679,463
   
Ohio - 1.1%
   
 
100,000
Buckeye Tobacco Settlement Financing Authority, Asset-Backed, Series A-2, 5.75%, 6/1/34
 
$      90,725
 
1,499,000
Buckeye Tobacco Settlement Financing Authority, Asset-Backed, Series A-2, 5.875%, 6/1/47
 
1,369,711
 
205,000
Buckeye Tobacco Settlement Financing Authority, Asset-Backed, Series A-2, 6.0%, 6/1/42
 
188,362
       
$1,648,798
   
Texas - 0.1%
   
 
170,000(b)
Harris County Health Facilities Development Corp., The Methodist Hospital System, Series A-1, 0.62%, 12/1/41
 
$170,000
   
TOTAL TAX EXEMPT OBLIGATIONS
   
   
(Cost $2,534,585)
 
$2,679,303
 
Shares
     
   
COMMON STOCKS - 0.2% of Net Assets
   
   
CAPITAL GOODS - 0.0%
   
   
Industrial Machinery - 0.0%
   
 
10,289(e)(h)
Liberty Tire Recycling LLC
 
$             103
   
Total Capital Goods
 
$             103
   
CONSUMER DURABLES & APPAREL - 0.0%
   
   
Homebuilding - 0.0%
   
MXN
89,094(h)
Desarrolladora Homex SAB de CV
 
$         4,704
   
Total Consumer Durables & Apparel
 
$         4,704
   
ENERGY - 0.1%
   
   
Oil & Gas Exploration & Production - 0.1%
   
 
273(h)
Midstates Petroleum Co., Inc.
 
$         5,506
 
Shares
   
Value
   
Oil & Gas Exploration & Production - (continued)
   
 
11,059(h)
PetroQuest Energy, Inc.
 
$      46,669
   
Total Energy
 
$      52,175
   
HEALTH CARE EQUIPMENT & SERVICES - 0.0%
   
   
Health Care Technology - 0.0%
   
 
69,875(e)(h)
Medical Card System, Inc.
 
$             699
   
Total Health Care Equipment & Services
 
$             699
   
RETAILING - 0.0%
   
   
Computer & Electronics Retail - 0.0%
   
 
42,088(e)(h)
Targus Cayman SubCo., Ltd.
 
$      40,825
   
Total Retailing
 
$      40,825
   
TRANSPORTATION - 0.1%
   
   
Air Freight & Logistics - 0.1%
   
 
943(h)
CEVA Holdings LLC
 
$166,307
   
Total Transportation
 
$166,307
   
TOTAL COMMON STOCKS
   
   
(Cost $1,137,301)
 
$264,813
   
CONVERTIBLE PREFERRED STOCK - 0.6% of Net Assets
   
   
BANKS - 0.6%
   
   
Diversified Banks - 0.6%
   
 
763(i)
Bank of America Corp., 7.25%
 
$909,687
   
Total Banks
 
$909,687
   
TOTAL CONVERTIBLE PREFERRED STOCK
   
   
(Cost $731,103)
 
$909,687
   
PREFERRED STOCKS - 1.1% of Net Assets
   
   
BANKS - 0.4%
   
   
Diversified Banks - 0.4%
   
 
500(b)(i)
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, 6.691%, 2/15/40
 
$1,045,347
   
Total Diversified Financials
 
$1,045,347
   
TOTAL PREFERRED STOCKS
   
   
(Cost $1,433,996)
 
$1,575,941
   
WARRANT - 0.0% of Net Assets
   
   
ENERGY - 0.0%
   
   
Oil & Gas Exploration & Production - 0.0%
   
 
1,934(h)(o)
Midstates Petroleum Co., Inc. Expires 4/21/20
 
$                   –
   
TOTAL WARRANT
   
   
(Cost $)
 
$                   –
 
Principal
Amount
USD ($)
     
   
TEMPORARY CASH INVESTMENTS - 1.7% of Net Assets
   
   
CERTIFICATE OF DEPOSIT - 0.3%
   
 
505,000
Sumitomo Mitsui Bank, 1.26%, 4/3/17
 
$505,342
   
TREASURY BILL - 1.4%
   
 
2,000,000(l)
U.S. Treasury Bill, 2/23/17
 
$1,999,428
   
TOTAL TEMPORARY CASH INVESTMENTS
   
   
(Cost $2,504,420)
 
$2,504,770
 
Number of
Contracts
Description
Counterparty
 
Strike
Price
Expiration Date
 
   
CALL OPTIONS PURCHASED - 0.0%
     
           
 
MXN 18,332(p)
Desarrolladora Homex
SAB de CV
Bank of New York
Mellon Corp.
$ (r)
10/23/22
$                   –
 
 
MXN 18,332(q)
Desarrolladora Homex
SAB de CV
Bank of New York
Mellon Corp.
   (r)
10/23/22
 
       
$                   –
   
TOTAL CALL OPTIONS PURCHASED
     
   
(Premium paid $0)
 
$                   –
 
   
TOTAL INVESTMENTS IN SECURITIES - 138.5%
     
   
(Cost - $197,014,635) (s)(t)
 
$201,974,163
 
   
OTHER ASSETS AND LIABILITIES - (38.5)%
 
$(56,167,589)
 
   
NET ASSETS - 100.0%
 
$145,806,574
 
   


 
 

 
Schedule of Investments  |  1/31/17 (unaudited) (continued)





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 January 31, 2017, the value of these securities amounted to $85,872,492, or 58.9% of net assets.
   
(Cat Bond)
Catastrophe or Event-linked bond. At January 31, 2017, the value of these securities amounted to $11,312,400, or 7.8% of net assets.
   
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 rate 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, 2017.
   
(a)
Floating rate note. The rate shown is the coupon rate at January 31, 2017.
   
(b)
The interest rate is subject to change periodically. The interest rate shown is the rate at January 31, 2017.
   
(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, 2017.
   
(d)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
   
(e)
Security is valued using fair value methods (other than prices supplied by independent pricing services).
   
(f)
This term loan will settle after January 31, 2017, at which time the interest rate will be determined.
   
(g)
Security is in default.
   
(h)
Non-income producing.
   
(i)
Security is perpetual in nature and has no stated maturity date.
   
(j)
Structured reinsurance investment. At January 31, 2017, the value of these securities amounted to $18,340,769, or 12.6% of net assets.
   
(k)
Rate to be determined.
   
(l)
Security issued with a zero coupon. Income is recognized through accretion of discount.
   
(m)
Security is priced as a unit.
   
(n)
Consits of Revenue Bonds unless otherwise indicated.
   
(o)
Midstates Petroleum warrants are exercisable into 1,934 shares.
   
(p)
Option does not become effective until underlying companys outstanding common shares reach a market capitalization of MXN 12.5 Billion.
   
(q)
Option does not become effective until underlying companys outstanding common shares reach a market capitalization of MXN 15.5 Billion.
   
(r)
Strike price is 1 Mexican Peso (MXN).

(s)
At January 31, 2017, the net unrealized appreciation on investments based on cost for federal tax purposes of $199,116,539 was as follows:
   
 
Aggregate gross unrealized appreciation for all investments in which there
   
 
     is an excess of value over tax cost
 
$                      11,237,032
 
Aggregate gross unrealized depreciation for all investments in which there
   
 
     is an excess of tax cost over value
 
(8,379,408)
   
 
Net unrealized appreciation
$                      2,857,624
     
For financial reporting purposes net unrealized appreciation on investments was $4,959,528 and cost of investments aggregated $197,014,635.


(t)
Distributions of Investments by country of issue, as a percentage of long-term holdings based on country of domicile, is as follows:
 
 
United States
65.0%
 
Bermuda
11.2
 
Luxembourg
3.4
 
Netherlands
3.1
 
Cayman Islands
2.7
 
Ireland
2.6
 
Argentina
2.1
 
United Kingdom
1.7
 
France
1.3
 
Canada
1.3
 
Other (individually less than 1%)
5.6
   
100.0%
 


Principal amounts are denominated in U.S. dollars unless otherwise noted.
     
AUD
-
Australian Dollar
EUR
-
Euro
GBP
-
Great British Pound
IDR
-
Indonesian Rupiah
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 January 31, 2017, in valuing the Trust's investments.
 
 
Level 1
Level 2  
Level 3
Total
 
Asset Backed Securities
         $
 $1,539,002
         $
$1,539,002
Collateralized Mortgage Obligations
      
  659,191
      
  659,191
Commercial Mortgage-Backed Securities
      
  5,357,313
      
  5,357,313
Senior Secured Floating
Rate Loan Interests
       
Health Care Equipment
& Services
       
Health Care Technology
     
  236,141
  243,918
  480,059
All Other Senior Secured Floating Rate Loan Interests
  47,455,322
  47,455,322
Corporate Bonds & Notes
       
Insurance
       
Property & Casualty Insurance
     
  694,529
  5,400,420
  6,094,949
Reinsurance
     
  11,649,720
  17,771,499
  29,421,219
Materials
       
Steel
     
  269,062
  449,100
  718,162
All Other Corporate Bonds
& Notes
  92,936,127
  92,936,127
Convertible Bonds & Note
      
  1,805,000
      
  1,805,000
U.S. Government and Agency Obligation
      
  5,008,125
      
  5,008,125
Sovereign Debt Obligations
      
  2,565,180
      
  2,565,180
Tax Exempt Obligations
      
  2,679,303
      
  2,679,303
Common Stocks
       
Capital Goods
       
Industrial Machinery
     103
     103
Health Care Equipment
& Services
       
Health Care Technology
     699
     699
Retailing
       
Computer & Electronics Retail
  40,825
  40,825
Transportation
       
Air Freight & Logistics
  166,307
  166,307
All Other Common Stocks
  56,879
  56,879
Convertible Preferred Stock
  909,687
     
     
  909,687
Preferred Stocks
       
Banks
       
Diversified Banks
  530,594
  530,594
All Other Preferred Stocks
  1,045,347
  1,045,347
Warrant
*
*
Certificate of Deposit
     
  505,342
     
  505,342
Treasury Bill
     
  1,999,428
     
  1,999,428
Call Options Purchased
*
*
Total Investments in Securities
$2,011,913
$ 176,055,686
$23,906,564
$ 201,974,163
         
*Includes securities that are valued at $0.
 



 
 
Schedule of Investments  |  1/31/17 (unaudited) (continued)



The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
     
       
     
Change in
         
Transfers
 
 
Balance
Realized
unrealized
   
Accrued
Transfers
Transfers
in and out
Balance
 
as of
gain
appreciation
   
discounts/
in to
out of
of Level 3
as of
 
4/30/16
(loss)
(depreciation)
Purchases
Sales
premiums
Level 3*
Level 3*
categories
1/31/17
Senior Secured
Floating Rate
Loan Interests
                   
Health Care
Equipment &
Services
                   
Health Care
Technology
 $243,918
 $ –
 $(11,009)
 $ –
 $ –
 $11,009
 $
 $ –
 $ –
 $243,918
Retailing
                   
Computer & Electronics Retail
168,351
(168,351)
Corporate Bonds
& Notes
                   
Capital Goods
                   
Industrial
Machinery
169,505
(66,689)
43,904
12,598
(160,099)
781
Insurance
                   
Property
& Casualty
Insurance
5,247,802
136,348
16,270
5,400,420
Reinsurance
18,069,562
(16,594)
1,051,801
13,748,996
(15,086,332)
4,066
17,771,499
Materials
                   
Steel
31,792
3,138
414,170
449,100
Common Stocks
                   
Capital Goods
                   
Industrial
Machinery
103
103
Health Care Equipment
& Services
                   
Health Care Technology
699
699
Insurance
                   
Insurance Brokers
156
7,090
2,388
(9,634)
Retailing
                   
Computer & Electronics Retail
147,308
(106,483)
40,825
Preferred Stocks
                   
Insurance
                   
Insurance Brokers
548,937
(246,334)
123,389
(425,992)
Reinsurance
37,500
(37,500)
Warrant
                   
Insurance
                   
Insurance Brokers
–**
–**
Total
 $24,633,142
 $(322,527)
 $1,234,630
 $13,762,293
 $  (15,682,057)
 $35,264
 $414,170
 $(168,351)
 $ –
 $23,906,564
   
*Transfers are calculated on the beginning of period value. For the nine months ended January 31, 2017, there were no transfers between Levels 1 and 2. Securities with an aggregate market value of $414,170 transferred from level 2 to level 3 as there were no longer observable inputs available to determine their value. Securities with an aggregate market value of $168,351 transferred from level 3 to level 2 as there were observable inputs available to determine their value.
**Includes securities that are valued at $0.
Net change in unrealized appreciation of Level 3 investments still held and considered Level 3 at January 31, 2017: $2,236,305.
 
The following table presents additional information about valuation techniques and inputs used for investments categorized as Level 3 at January 31, 2017. These amounts exclude valuations provided by a broker.

 
Fair Value
Valuation
Unobservable
Value/
Asset Type
1/31/17
Technique (s)
Input
Range
Senior Secured
Floating Rate
Loan Interests
$243,918
Market Comparables
EBITDA Multiples(1)
4x-5x
Corporate Bonds
& Notes
$5,400,420
Market Comparables
EBITDA Multiples(1)
Yield Premium(2)
5.5x-6x
1.05%
Common Stocks
$41,627
Market Comparables
EBITDA Multiples(1)
4x-6x

(1)
An increase in this unobservable input would result in a higher fair value measurement, while a decrease would result in a lower fair value measurement.
(2)
An increase in this unobservable input would result in a lower fair value measurement, while a decrease would result in a higher 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 April 3, 2017 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 April 3, 2017 By (Signature and Title)* /s/ Mark E. Bradley ----------------- Mark E. Bradley, Treasurer and Chief Accounting and Financial Officer Date April 3, 2017 * Print the name and title of each signing officer under his or her signature.