hnwsoi.htm
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                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM N-Q

                   CERTIFIED SHAREHOLDER REPORT OF REGISTERED
                        MANAGEMENT INVESTMENT COMPANIES



  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, 2011

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 30b1-5under
the Investment Company Act of 1940 (17 CFR 270.30b-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.





 
 
         
         
Pioneer Diversified High Income Trust
 
         
SCHEDULE OF INVESTMENTS 7/31/11 (Consolidated) (unaudited)
 
     
 
     
 
Principal
 
S&P/Moody's
   
 
Amount
 
Ratings
     
 
USD ($)
 
(unaudited)
   
 Value
             
         
ASSET BACKED SECURITIES - 1.4% of Net Assets
 
         
TRANSPORTATION - 0.1%
 
         
Airlines - 0.1%
 
 
                        119,887
 
BB/Ba2
 
Continental Airlines, Inc., Series 981B, 6.748%, 9/15/18
 $                  118,244
         
Total Transportation
 $        118,244
         
BANKS - 0.8%
 
         
Thrifts & Mortgage Finance - 0.8%
 
 
                       246,741
(a)
AA+/Baa2
 
Ace Securities Corp., 1.087%, 12/25/34
 $                  181,396
 
                      450,000
(a)
BB-/A2
 
Bear Stearns Asset-Backed Securities Trust, 1.237%, 10/25/34
                     312,756
 
                      699,000
(a)
BBB+/Caa2
 
Carrington Mortgage Loan Trust, 0.387, 2/25/37
                    342,698
 
                      479,853
(a)
CCC/NR
 
Countrywide Asset-Backed Certificates, 0.637%, 3/25/47 (144A)
                    228,376
 
                       165,745
(a)
B-/B3
 
GSAMP Trust, 0.317%, 1/25/37
                     149,497
 
                      539,758
(a)
CC/Ca
 
Lehman XS Trust, 0.537%, 12/25/35
                    200,223
         
Total Banks
 $     1,414,946
         
DIVERSIFIED FINANCIALS - 0.5%
 
         
Other Diversified Financial Services - 0.4%
 
 
                   1,073,037
(a)
B-/Caa1
 
Aircraft Finance Trust, 0.584%, 5/15/24 (144A)
 $                622,362
 
                        34,867
(a)
B-/Ba3
 
Aircraft Finance Trust, 0.687%, 5/15/24 (144A)
                       32,775
           
 $                 655,137
         
Specialized Finance - 0.1%
 
 
                       150,000
 
BBB-/Baa3
 
Dominos Pizza Master Issuer LLC, 5.261%, 4/25/37 (144A)
 $                 152,625
         
Total Diversified Financials
 $       807,762
         
TOTAL ASSET BACKED SECURITIES
 
         
(Cost $2,486,759)
 $    2,340,952
             
         
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.4% of Net Assets
 
         
BANKS - 1.3%
 
         
Diversified Banks - 0.1%
 
 
                       167,708
(a)
CCC/Caa1
 
WaMu Asset-Backed Certificates, 0..237%, 1/25/37
 $                 162,730
         
Thrifts & Mortgage Finance - 1.2%
 
 
                       319,743
(a)
CCC/B2
 
Banc of America Funding Corp., 0.266%, 5/20/47
 $                305,338
 
                        231,715
(a)
CC/C
 
Countrywide Home Loans, 0.537%, 3/25/35
                       75,434
 
                       481,274
(a)
CC/C
 
Downey Savings and Loan Association Mortgage Loan Trust, 0.557%, 10/19/45
                     187,264
 
                        150,188
(a)
D/C
 
Downey Savings and Loan Association Mortgage Loan Trust, 0.607%, 10/19/45
                         11,479
 
                       187,633
(a)
BBB+/NR
 
GSR Mortgage Loan Trust, Series 2004-3F, 5.717%, 2/25/34
                     164,202
 
                   1,034,428
(a)
AAA/Baa3
 
Impac CMB Trust, 0.947%, 1/25/35
                     791,028
 
                        40,525
(a)(b)
D/B3
 
Impac Secured Assets CMN Owner Trust, 0.277%, 11/25/36
                       39,036
 
                       106,382
(a)
D/C
 
Luminent Mortgage Trust, 0.447%, 7/25/36
                          1,826
 
                      349,862
(a)
AAA/Caa1
 
WaMu Mortgage Pass-Through Certificates, 0.417%, 4/25/45
                     289,135
 
                        155,917
(a)
CCC/NR
 
WaMu Mortgage Pass-Through Certificates, 5.458%, 4/25/45
                     138,252
           
 $             2,002,994
         
Total Banks
 $     2,165,724
         
DIVERSIFIED FINANCIALS - 0.1%
 
         
Other Diversified Financial Servics - 0.1%
 
 
                      200,000
(a)
BBB-/A3
 
Morgan Stanley Capital I, 0.887%, 12/18/20 (144A)
 $                 182,037
         
Total Diversified Financials
 $        182,037
         
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 
         
(Cost $2,736,245)
 $     2,347,761
             
         
CORPORATE BONDS & NOTES - 92.8% of Net Assets
 
 
 
     
ENERGY - 8.0%
 
         
Coal & Consumable Fuels - 2.1%
 
 
                      850,000
 
BB/Ba3
 
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
 $                990,250
 
                      738,000
 
BB-/B1
 
Drummond Co., Inc., 9.0%, 10/15/14 (144A)
                    776,745
 
                   1,200,000
 
B/Caa1
 
Foresight Energy Corp., 9.625%, 8/15/17 (144A)
                  1,278,000
 
                      500,000
(c)
B-/Caa1
 
Xinergy Corp., 9.25%, 5/15/19 (144A)
                    506,250
           
 $              3,551,245
         
Oil & Gas Drilling - 1.5%
 
NOK
                      500,000
(a)
NR/NR
 
Aker Drilling ASA,9.75%, 2/24/16
 $                   90,809
NOK
                   1,000,000
 
NR/NR
 
Aker Drilling ASA,11.0%, 2/24/16
                     182,544
 
                   1,000,000
 
NR/NR
 
Ocean Rig UDW, Inc., 9.5%, 4/27/16
                  1,000,000
 
                      670,000
 
B-/B3
 
Offshore Group Investments, Ltd., 11.5%, 8/1/15
                    742,025
 
                      500,000
 
B/NR
 
Pioneer Drilling Co., 9.875%, 3/15/18
                    536,250
           
 $              2,551,628
         
Oil & Gas Equipment & Services - 2.2%
 
 
                   1,358,000
 
B+/B1
 
American Petroleum Tankers LLC, 10.25%, 5/1/15
 $              1,405,530
 
                      730,000
 
B-/B2
 
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A)
                     731,825
 
                      330,000
 
NR/Caa1
 
Forbes Energy Services, Ltd., 9.0%, 6/15/19 (144A)
                    330,000
 
                        65,067
(b)
NR/NR
 
Nexus 1 Pte., Ltd., 10.5%, 3/7/12 (144A)
                               65
 
                      820,000
(a)
NR/NR
 
Sevan Marine ASA, 3.417%, 5/14/13 (144A)
                    623,200
NOK
                  2,560,000
(a)
NR/NR
 
Sevan Marine ASA, 12.98%, 10/24/12 (144A)
                    346,334
NOK
                  2,500,000
 
B/B3
 
Sevan Marine ASA, 14.0%, 10/24/14
                     138,993
 
                        90,000
 
NR/NR
 
Sevan Marine ASA, 15.0%, 7/22/12
                       87,533
           
 $             3,663,480
         
Oil & Gas Exploration & Production - 1.7%
 
 
                      505,000
 
BB-/B2
 
Berry Petroleum Co., 10.25%, 6/1/14
 $                576,962
 
                      444,000
 
B/B2
 
Linn Energy LLC/Linn Energy Finance Corp., 11.75%, 5/15/17
                     518,925
 
                      500,000
 
B+/NR
 
MIE Holdings Corp., 9.75%, 5/12/16 (144A)
                    495,625
NOK
                  2,500,000
 
NR/NR
 
Norwegian Energy Co. AS, 12.9%, 11/20/14
                     440,145
 
                      240,000
 
B-/B3
 
Quicksilver Resources, Inc., 7.125%, 4/1/16
                     241,200
 
                      472,000
 
B-/Caa1
 
Rosetta Resources, Inc., 9.5%, 4/15/18
                    527,460
           
 $              2,800,317
         
Oil & Gas Refining & Marketing - 0.3%
 
 
                      500,000
 
BB-/B1
 
Holly Energy Partners LP, 6.25%, 3/1/15
 $                 501,250
         
Oil & Gas Storage & Transportation - 0.2%
 
 
                      450,000
(a)
BB/Ba1
 
Southern Union Co., 7.2%, 11/1/66
 $                 418,500
         
Total Energy
 $   13,486,420
             
 
 
     
MATERIALS - 11.8%
 
         
Aluminum - 1.1%
 
 
                   1,386,670
(a)(d)
B/B2
 
Noranda Aluminum Acquisition Corp., 4.417%, 5/15/15
 $              1,334,670
 
                      405,000
 
B/B2
 
Novelis, Inc., 8.75%, 12/15/20
                    450,562
           
 $              1,785,232
         
Building Products - 0.1%
 
EURO
                      200,000
(a)(e)
B-/NR
 
C10 - EUR Capital SPV, Ltd., 6.277%
 $                  201,180
 
 
     
Commodity Chemicals - 0.2%
 
 
                      300,000
 
NR/WR
 
Montell Finance Co. BV, 8.1%, 3/15/27 (144A)
 $                336,000
     
 
 
Construction Materials - 0.7%
 
 
                      865,000
 
CCC+/B3
 
AGY Holding Corp., 11.0%, 11/15/14
 $                834,725
 
                      300,000
(a)(e)
B-/NR
 
C8 Capital SPV, Ltd., 6.64%  (144A)
                    207,000
 
                       100,000
 
B/NR
 
Cemex SAB de CV, 9.0%, 1/11/18 (144A)
                       94,000
           
 $               1,135,725
         
Diversified Chemicals - 1.2%
 
EURO
                   1,275,000
 
CCC/Caa1
 
Ineos Group Holdings Plc, 7.875%, 2/15/16 (144A)
 $              1,768,049
 
                      275,000
 
CCC/Caa1
 
Momentive Performance Materials, Inc., 9.0%, 1/15/21
                    283,250
           
 $              2,051,299
         
Diversified Metals & Mining - 0.9%
 
 
                      200,000
 
B-/NR
 
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A)
 $                 201,500
 
                      428,000
 
BBB/Baa2
 
Teck Resources, Ltd., 10.25%, 5/15/16
                     513,600
 
                      750,000
 
BB/Ba2
 
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)
                     831,600
           
 $              1,546,700
         
Metal & Glass Containers - 1.3%
 
 
                      475,000
(d)
B-/Caa1
 
ARD Finance SA, 11.125%, 6/1/18 (144A)
 $                483,878
EURO
                      255,000
(d)
BB-/Ba3
 
Ardagh Glass Finance Plc, 9.25%, 7/1/16 (144A)
                    392,085
 
                       175,000
 
CCC+/B3
 
BWAY Holdings Co., 10.0%, 6/15/18
                      191,625
 
                   1,055,885
(d)
CCC+/Caa1
 
BWAY Parent Co., Inc., 10.125%, 11/1/15 (144A)
                  1,055,885
           
 $              2,123,473
         
Paper Packaging - 1.6%
 
 
                       750,103
(d)(f)
NR/NR
 
Corporacion Durango SAB de CV, 7.0%, 8/27/16
 $                667,592
 
                      700,000
 
CCC+/Caa1
 
Graham Packaging Co., Inc., 9.875%, 10/15/14
                     717,500
 
                      500,000
 
B/B3
 
Pretium Packaging LLC, 11.5%, 4/1/16 (144A)
                     510,000
 
                      750,000
 
B/B3
 
U.S. Corrugated, Inc., 10.0%, 6/1/13
                    742,500
           
 $             2,637,592
         
Paper Products - 1.6%
 
 
                      527,000
 
B+/B1
 
ABI Escrow Corp., 10.25%, 10/15/18 (144A)
 $                575,747
 
                      500,000
 
B+/B1
 
Appleton Papers, Inc., 10.5%, 6/15/15 (144A)
                    528,750
 
                      200,000
 
CCC+/B3
 
Appleton Papers, Inc., 11.25%, 12/15/15
                    205,750
 
                      260,000
 
BB/Ba3
 
Clearwater Paper Corp., 10.625%, 6/15/16
                     293,150
 
                      580,000
 
CCC+/Caa1
 
Exopack Holding Corp., 10.0%, 6/1/18 (144A)
                    582,900
 
                       186,000
(c)
B+/Ba3
 
Grupo Papelero Scribe SA, 8.875%, 4/7/20 (144A)
                       175,119
 
                      344,000
 
B+/B3
 
Mercer International, Inc., 9.5%, 12/1/17
                    367,220
           
 $             2,728,636
         
Precious Metals & Minerals - 0.3%
 
 
                      500,000
 
BB-/Ba3
 
ALROSA Finance SA, 8.875%, 11/17/14 (144A)
 $                572,500
         
Steel - 2.8%
 
 
                   1,245,000
 
CCC+/Caa2
 
Algoma Acquisition Corp., 9.875%, 6/15/15 (144A)
 $               1,126,725
 
                      350,000
 
B+/B3
 
Atkore International, Inc., 9.875%, 1/1/18 (144A)
                     370,125
 
                      450,000
 
B+/B3
 
Essar Steel Algoma, Inc., 9.375%, 3/15/15 (144A)
                    452,250
 
                      250,000
 
B+/B2
 
Evraz Group SA, 8.875%, 4/24/13 (144A)
                     271,550
 
                      250,000
 
B+/B2
 
Evraz Group SA, 9.5%, 4/24/18 (144A)
                    287,950
 
                      700,000
 
NR/B2
 
Metinvest BV, 8.75%, 2/14/18 (144A)
                     725,410
 
                      500,000
 
NR/B2
 
Metinvest BV, 10.25%, 5/20/15 (144A)
                    544,050
 
                      920,000
 
CCC+/Caa1
 
Ryerson, Inc., 12.0%, 11/1/15
                    977,500
EURO
                        50,000
 
CC/Ca
 
Zlomrex International Finance SA, 8.5%, 2/1/14 (144A)
                        58,198
           
 $              4,813,758
         
Total Materials
 $   19,932,095
         
CAPIAL GOODS - 5.9%
 
         
Aerospace & Defense - 0.7%
 
 
                      600,000
 
B/B3
 
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
 $                642,000
 
                      405,000
 
BBB-/Ba3
 
DigitalGlobe, Inc., 10.5%, 5/1/14
                    447,525
 
                        90,000
 
BB-/Ba3
 
GeoEye, Inc., 9.625%, 10/1/15
                     102,825
           
 $               1,192,350
         
Building Products - 0.2%
 
 
                      365,000
 
BB/B2
 
 USG Corp., 9.75%, 8/1/14 (144A)
 $                 381,425
         
Construction & Engineering - 1.0%
 
 
                      900,000
(c)
B+/Ba3
 
Empresas ICA S.A.B. de C.V., 8.9%, 2/4/21 (144A)
 $                945,000
 
                      850,000
 
B-/Caa1
 
New Enterprise Stone & Lime Co., 11.0%, 9/1/18 (144A)
                    788,375
           
 $              1,733,375
         
Construction & Farm Machinery & Heavy Trucks - 0.9%
 
 
                      720,000
 
B+/Caa1
 
American Railcar Industries, Inc., 7.5%, 3/1/14
 $                730,800
 
                      750,000
(c)
BB/Ba3
 
Lonking Holdings, Ltd., 8.5%, 6/3/16 (144A)
                     750,515
           
 $                1,481,315
         
Electrical Components & Equipment - 0.5%
 
 
                      750,000
 
B/B2
 
WireCo WorldGroup, 9.5%, 5/15/17 (144A)
 $                 791,250
         
Industrial Conglomerates - 0.1%
 
 
                        90,000
 
NR/NR
 
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A)
 $                   79,200
EURO
                       100,000
 
BB-/Ba3
 
Mark IV USA/EURO LUX, 8.875%, 12/15/17 (144A)
                      151,603
           
 $                230,803
         
Industrial Machinery - 1.1%
 
 
                      500,000
(b)
NR/WR
 
Indalex Holding Corp., 11.5%, 2/1/14
 $                     7,500
 
                      335,000
 
B/B3
 
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
                    358,450
 
                      875,000
 
CCC+/B3
 
Mueller Water Products, Inc., 7.375%, 6/1/17
                    835,625
 
                      665,000
 
B+/NR
 
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A)
                     714,875
           
 $               1,916,450
         
Trading Companies & Distributors - 1.4%
 
 
                       150,000
 
NR/NR
 
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.625%, 3/15/18
 $                 162,562
 
                   1,090,000
 
B-/B3
 
Intcomex, Inc., 13.25%, 12/15/14
                    1,119,975
 
                   1,000,000
 
B/B1
 
Wesco Distribution, Inc., 7.5%, 10/15/17
                  1,025,000
           
 $             2,307,537
         
Total Capital Goods
 $   10,034,505
         
COMMERCIAL & PROFESSIONAL SERVICES - 0.9%
 
         
Diversified Support Services - 0.2%
 
 
                              400
(g)
NR/Caa1
 
MSX International, Ltd., UK, 12.5%, 4/1/12 (144A)
 $                336,000
     
 
 
Environmental & Facilities Services - 0.2%
 
 
                      700,000
(b)
NR/WR
 
Aleris International, Inc., 10.0%, 12/15/16
 $                           70
 
                       210,000
 
BB/B2
 
Casella Waste Systems, Inc., 11.0%, 7/15/14
                     233,100
EURO
                        107,128
 
CCC+/Caa2
 
New Reclamation Group Pty., Ltd., 8.125%, 2/1/13 (144A)
                     132,390
           
 $                365,560
         
Security & Alarm Services - 0.5%
 
 
                      750,000
 
CCC+/Caa1
 
WP Rocket Merger Sub, Inc., 10.125%, 7/15/19 (144A)
 $                776,250
         
Total Commercial & Professional Services
 $     1,477,810
         
TRANSPORTATION - 2.4%
 
         
Air Freight & Logistics - 0.6%
 
 
                      929,000
 
CCC+/Caa1
 
CEVA Group Plc, 11.5%, 4/1/18 (144A)
 $                977,773
         
Airlines - 0.5%
 
 
                      305,000
 
BB-/Ba2
 
Delta Air Lines, Inc., 9.5%, 9/15/14 (144A)
 $                324,444
 
                      500,000
 
B/NR
 
Tam Capital 3, Inc., 8.375%, 6/3/21 (144A)
                    527,444
           
 $                 851,888
         
Airport Services - 0.3%
 
 
                       441,000
 
B/B2
 
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)
 $                 481,793
         
Marine - 0.2%
 
 
                      375,000
 
B+/B3
 
Navios South American Logisitc, 9.25%, 4/15/19 (144A)
 $                375,937
         
Marine Ports & Services - 0.3%
 
 
                      835,000
 
CCC/Caa2
 
Oceanografia SA de CV, 11.25%, 7/15/15 (144A)
 $                425,850
         
Railroads - 0.1%
 
 
                      250,000
(d)
CCC/Caa3
 
Florida East Coast Holdings, 10.5%, 8/1/17 (144A)
 $                256,354
         
Trucking - 0.4%
 
 
                      425,000
 
B-/Caa1
 
Swift Services Holdings, Inc., 10.0%, 11/15/18
 $                 464,313
 
                      300,000
 
B/B3
 
Syncreon Global Ireland, Ltd., 9.5%, 5/1/18 (144A)
                    306,000
           
 $                 770,313
         
Total Transportation
 $     4,139,908
         
AUTOMOBILES & COMPONENTS - 2.0%
 
         
Auto Parts & Equipment - 1.9%
 
 
                      980,000
 
CCC+/Caa1
 
Allison Transmission, Inc., 11.0%, 11/1/15 (144A)
 $              1,044,925
 
                      350,000
 
B/B3
 
International Automotive Components Group S.L., 9.125%, 6/1/18 (144A)
                    359,625
 
                       160,000
 
CCC/Caa1
 
Stanadyne Corp., 10.0%, 8/15/14
                     162,800
 
                      500,000
 
CCC-/Caa3
 
Stanadyne Corp., 12.0%, 2/15/15
                    507,500
 
                    1,124,000
(c)
B+/B1
 
Tower Automotive Holdings USA LLC, 10.625%, 9/1/17 (144A)
                  1,208,300
           
 $              3,283,150
         
Tires & Rubber - 0.1%
 
 
                       153,000
 
B+/B1
 
Goodyear Tire & Rubber Co., 10.5%, 5/15/16
 $                  172,316
         
Total Automobiles & Components
 $    3,455,466
         
CONSUMER DURABLES & APPAREL - 3.1%
 
         
Homebuilding - 0.9%
 
 
                      530,000
 
CCC/Caa2
 
 Beazer Homes USA, Inc., 9.125%, 6/15/18
 $                445,200
 
                      430,000
 
BB-/Ba3
 
Desarrolladora Homex SA de CV, 9.5%, 12/11/19 (144A)
                    469,775
 
                      695,000
 
B+/B1
 
Meritage Homes Corp., 6.25%, 3/15/15
                    690,656
           
 $               1,605,631
         
Housewares & Specialties - 1.1%
 
 
                      500,000
 
B-/Caa1
 
Reynolds Group Holdings, Ltd, 9.0%, 4/15/19 (144A)
 $                497,500
 
                   1,000,000
 
CCC+/B3
 
Yankee Acquisition Corp., 9.75%, 2/15/17
                  1,062,500
 
                      350,000
(d)
CCC+/Caa1
 
YCC Holdings LLC, 10.25%, 2/15/16 (144A)
                    353,500
           
 $               1,913,500
         
Leisure Products - 1.1%
 
EURO
                      575,000
 
CCC+/NR
 
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
 $                768,436
 
                   1,000,000
 
B/B2
 
Icon Health & Fitness, 11.875%, 10/15/16 (144A)
                  1,030,000
           
 $              1,798,436
         
Total Consumer Durables & Apparel
 $     5,317,567
         
CONSUMER SERVICES - 3.8%
 
         
Casinos & Gaming - 2.1%
 
 
                      500,000
(b)
NR/WR
 
Buffalo Thunder Development Authority, 9.375%, 12/15/14 (144A)
 $                  193,125
EURO
                    1,155,000
 
B/B2
 
Codere Finance Luxembourg SA, 8.25%, 6/15/15 (144A)
                  1,659,735
 
                      395,000
 
B+/B2
 
FireKeepers Development Authority, 13.875%, 5/1/15 (144A)
                     455,139
 
                    1,615,000
(b)
NR/WR
 
Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (144A)
                       88,825
EURO
                      500,000
 
B-/B3
 
Peermont Global, Ltd., 7.75%, 4/30/14 (144A)
                     607,133
 
                      450,000
 
BB-/B1
 
Scientific Games International, Inc., 9.25%, 6/15/19
                    488,250
 
                      585,000
(b)
NR/WR
 
Station Casinos, Inc., 6.625%, 3/15/18
                               58
           
 $             3,492,265
         
Hotels, Resorts & Cruise Lines - 0.3%
 
 
                      400,000
 
B-/B3
 
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19 (144A)
 $                 417,000
         
Restaurants - 0.8%
 
 
                   1,235,000
(c)(f)
NR/NR
 
Burger King Capital Holding LLC, 0.0%, 4/15/19 (144A)
 $                 737,912
 
                      400,000
(c)
B-/B3
 
Burger King Corp., 9.875%, 10/15/18
                    437,000
 
                       217,000
 
CCC+/Caa2
 
Dunkin Finance Corp., 9.625%, 12/1/18 (144A)
                     218,897
           
 $              1,393,809
         
Specialized Consumer Services - 0.6%
 
 
                      685,000
 
BB-/Ba3
 
Service Corp. International, 7.0%, 5/15/19
 $                 731,238
 
                      350,000
 
B-/B3
 
StoneMor Operating LLC/Cornerstone Family Services/Osiris Holdings, 10.25%, 12/1/17
                    350,000
           
 $               1,081,238
         
Total Consumer Services
 $     6,384,312
         
MEDIA - 4.6%
 
         
Advertising - 1.6%
 
 
                    1,100,000
 
B-/B3
 
Affinity Group, Inc., 11.5%, 12/1/16 (144A)
 $                1,141,250
 
                       716,000
 
B+/B2
 
MDC Partners, Inc., 11.0%, 11/1/16
                    790,285
 
                      800,000
 
B-/Caa2
 
Sitel LLC/Sitel Finance Corp., 11.5%, 4/1/18
                     718,000
           
 $             2,649,535
         
Broadcasting - 1.4%
 
 
                       182,676
 
B/B2
 
CCH II LLC, 13.5%, 11/30/16
 $                 215,558
 
                      989,556
(d)
CCC+/Caa3
 
Intelsat Bermuda, Ltd., 11.5%, 2/4/17
                  1,063,773
EURO
                      200,000
 
B/B2
 
Nara Cable Funding, Ltd., 8.875%, 12/1/18  (144A)
                    279,497
 
                      430,000
 
B-/Caa1
 
Telesat Canada, 12.5%, 11/1/17
                     504,713
EURO
                      200,000
 
B+/B1
 
TVN Finance Corp II AB, 10.75%, 11/15/17 (144A)
                    324,754
           
 $             2,388,295
         
Movies & Entertainment - 1.2%
 
 
                    1,710,000
 
CCC+/Caa1
 
AMC Entertainment, Inc., 9.75%, 12/1/20 (144A)
 $              1,744,200
 
                      200,000
 
B-/B3
 
Production Resource Group, Inc., 8.875%, 5/1/19 (144A)
                    203,000
           
 $              1,947,200
         
Publishing - 0.4%
 
 
                      600,000
 
CCC+/Caa2
 
Cengage Learning Acquisitions, Inc., 10.5%, 1/15/15 (144A)
 $                 513,000
 
                      245,000
 
B-/Caa1
 
Interactive Data Corp., 10.25%, 8/1/18
                     273,175
           
 $                 786,175
         
Total Media
 $     7,771,205
         
RETAILING - 1.8%
 
         
Distributors - 0.9%
 
 
                   1,438,000
(c)
B/B3
 
Minerva Overseas II, Ltd., 10.875%, 11/15/19 (144A)
 $               1,596,180
         
Internet Retail - 0.4%
 
 
                      640,000
 
B/B3
 
Ticketmaster Entertainment, Inc., 10.75%, 8/1/16
 $                697,600
         
Specialty Stores - 0.5%
 
 
                      800,000
(c)
B+/B3
 
Sally Holdings LLC, 10.5%, 11/15/16
 $                856,000
         
Total Retailing
 $     3,149,780
 
 
     
FOOD, BEVERAGE & TOBACCO - 4.0%
 
         
Agricultural Products - 0.7%
 
 
                    1,127,000
 
B+/B3
 
Southern States Cooperative, Inc., 11.25%, 5/15/15 (144A)
 $              1,239,700
         
Packaged Foods & Meats - 2.2%
 
 
                      650,000
 
NR/B1
 
Bertin Ltda, 10.25%, 10/5/16 (144A)
 $                 721,500
 
                       491,000
 
NR/B2
 
Corporacion Pesquera Inca SAC, 9.0%, 2/10/17 (144A)
                     513,709
 
                      750,000
 
B-/B3
 
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
                    755,625
 
                       224,421
(b)(d)
NR/NR
 
Independencia International, Ltd., 12.0%, 12/30/16 (144A)
                          1,683
 
                      475,000
 
B+/B1
 
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A)
                    479,750
 
                      700,000
 
B+/B1
 
Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A)
                    736,750
 
                      200,000
(c)
BB-/Caa1
 
Pilgrim's Pride Corp., 7.875%, 12/15/18 (144A)
                     178,000
 
                      275,000
(f)
NR/B1
 
SA Fabrica de Produtos Alimenticios Vigor, 9.25%, 2/23/17 (144A)
                    275,474
           
 $              3,662,491
         
Tobacco - 1.1%
 
 
                   2,015,000
 
B/B2
 
Alliance One International, Inc., 10.0%, 7/15/16
 $              1,934,400
         
Total Food, Beverage & Tobacco
 $     6,836,591
         
HOUSEHOLD & PERSONAL PRODUCTS - 0.2%
 
         
Personal Products - 0.2%
 
 
                      300,000
 
B/B2
 
Revlon Consumer Products Corp, 9.75%, 11/15/15
 $                326,250
         
Total Household & Personal Products
 $       326,250
         
HEALTH CARE EQUIPMENT & SERVICES - 3.1%
 
         
Health Care Equipment - 0.4%
 
 
                      750,000
 
CCC+/Caa2
 
Accellent, Inc., 10.0%, 11/1/17
 $                735,000
         
Health Care Facilities - 0.0%
 
 
                        26,000
 
CCC+/Caa1
 
Vanguard Health Systems, Inc., 0.0%, 2/1/16
 $                    17,290
         
Health Care Services - 1.7%
 
 
                      378,000
 
B-/Caa1
 
BioScrip, Inc., 10.25%, 10/1/15
 $                 395,010
 
                      476,000
 
B-/NR
 
Gentiva Health Services, Inc., 11.5%, 9/1/18
                    492,660
 
                      796,459
(d)
CCC+/B3
 
Surgical Care Affiliates, Inc., 8.875%, 7/15/15 (144A)
                     812,388
 
                    1,170,000
 
CCC+/Caa1
 
Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)
                   1,199,250
           
 $             2,899,308
         
Health Care Supplies - 1.0%
 
 
                      750,000
 
B/Caa1
 
Bausch & Lomb, Inc., 9.875%, 11/1/15
 $                 793,125
 
                       815,000
(d)
B-/B3
 
Biomet, Inc., 10.375%, 10/15/17
                    890,388
           
 $               1,683,513
         
Total Health Care Equipment & Services
 $      5,335,111
         
PHARMACEUTICLS & BIOTECHNOLOGY & LIFE SCIENCES - 1.5%
 
         
Biotechnology - 0.8%
 
 
                      300,000
 
B/Caa1
 
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
 $                309,000
 
                   1,043,000
 
B+/B3
 
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
                  1,063,860
         
 
 $              1,372,860
         
Life Sciences Tools & Services - 0.1%
 
 
                        131,406
(d)
B/Caa1
 
Catalent Pharma Solutions, Inc., 9.5%, 4/15/15
 $                 134,034
         
Pharmaceuticals - 0.6%
 
 
                    1,215,000
(c)
NR/NR
 
KV Pharmaceutical Co., 12.0%, 3/18/15 (144A)
 $               1,081,350
         
Total Pharmaceuticals & Biotechnology & Life Sciences
 $    2,588,244
         
BANKS - 2.0%
 
         
Diversified Banks - 1.3%
 
 
                      400,000
(a)(e)
BB+/Ba3
 
ABN Amro North American Holding Preferred Capital Repackage Trust I, 6.523%  (144A)
 $                366,000
 
                      500,000
(a)
NR/B2
 
Banco Macro SA, 9.75%, 12/18/36
                    487,500
 
                      700,000
(a)
NR/Ba2
 
Banco Macro SA, 10.75%, 6/7/12
                     518,000
 
                      525,000
 
B/B2
 
BCO de Galicia y Buenos Aires SA de CV, 8.75%, 5/14/18 (144A)
                    530,250
BRL
                      350,000
 
AAA/NR
 
International Finance Corp., 9.25%, 3/15/13
                    227,824
 
                         15,747
 
B/NR
 
JSC Temirbank, 14.0%, 6/30/22 (144A)
                         18,218
           
 $              2,147,792
         
Regional Banks - 0.7%
 
 
                      600,000
(a)(e)
BBB/Baa3
 
PNC Financial Services Group, Inc., 8.25%
 $                637,332
 
                      500,000
(a)(c)(e)
A-/Baa3
 
Wells Fargo Capital XV, 9.75%,
                    529,375
           
 $               1,166,707
         
Total Banks
 $     3,314,499
         
DIVERSIFIED FINANCIALS - 17.4%
 
         
Asset Management & Custody Banks - 0.4%
 
 
                      590,000
(a)
BBB-/Baa3
 
Janus Capital Group, Inc., 6.95%, 6/15/17
 $                653,596
         
Consumer Finance - 0.4%
 
 
                       610,000
 
NR/NR
 
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)
 $                633,227
         
Investment Banking & Brokerage - 0.2%
 
 
                      450,000
(a)(e)
BBB-/Baa2
 
Goldman Sachs Capital II, 5.793%
 $                355,500
         
Multi-Sectior Holdings - 0.4%
 
 
                      600,000
 
B/B2
 
Constellation Enterprise, 10.625%, 2/1/16 (144A)
 $                 615,750
             
         
Other Diversified Financial Services - 8.9%
 
EURO
                      500,000
(a)
B/NR
 
ATLAS VI Capital, Ltd., 11.037%, 4/6/13 (144A)
 $                695,293
EURO
                      500,000
(a)
NR/NR
 
ATLAS VI Capital, Ltd., 11.797%, 4/7/14 (144A)
                      701,831
 
                   1,500,000
(a)
BB+/NR
 
Caelus Re II, Ltd., 6.546%, 5/24/13 (144A)
                  1,497,300
 
                      500,000
(a)
BB-/NR
 
Ibis Re, Ltd., 6.241%, 5/3/13 (144A)
                     489,100
 
                   1,000,000
(a)
B/NR
 
Ibis Re, Ltd., 9.286%, 5/3/13 (144A)
                    994,800
 
                      400,000
(a)
BB/NR
 
Ibis Re, Ltd., 10.497%, 5/10/12 (144A)
                    408,560
 
                   1,800,000
(a)
BB/NR
 
Lodestone Re Ltd, 7.29%, 1/8/14 (144A)
                  1,773,360
 
                  2,000,000
(a)
BB-/NR
 
Lodestone Re Ltd, 8.301%, 5/17/13 (144A)
                   1,981,600
 
                   1,000,000
(a)
BB-/NR
 
LOMA Reinsurance, Ltd., 9.724%, 12/21/12 (144A)
                    988,800
 
                      500,000
(a)
CCC+/NR
 
Mariah Re, Ltd., 6.28%, 1/8/14 (144A)
                     442,150
 
                   1,200,000
(a)
BB-/NR
 
Queen Street II Capital, Ltd., 17.589%, 4/9/14 (144A)
                   1,180,560
 
                   1,000,000
(a)
NR/NR
 
Queen Street III Capital, Ltd., 4.75%, 7/28/14 (144A)
                  1,000,000
 
                      250,000
(a)
NR/NR
 
Residential Reinsurance 2010, Ltd., 7.291%, 6/6/13 (144A)
                    240,075
 
                   1,250,000
(a)
NR/NR
 
Residential Reinsurance 2010, Ltd., 10.791%, 6/6/13 (144A)
                   1,206,125
 
                      250,000
(a)
B-/NR
 
Residential Reinsurance 2010, Ltd.,, 13.041%, 6/6/13 (144A)
                    249,775
 
                   1,250,000
(a)
B-/NR
 
Residential Reinsurance 2011, Ltd., 12.066%, 6/6/15 (144A)
                  1,242,750
   
 
     
 $           15,092,079
         
Specialized Finance - 7.1%
 
 
                      500,000
 
BB/Baa3
 
Capital One Capital V, 10.25%, 8/15/39
 $                529,000
 
                   1,000,000
(a)
CCC+/NR
 
Montana Re, Ltd., 12.152%, 1/8/14 (144A)
                    943,900
 
                   1,000,000
(a)
CCC+/NR
 
Montana Re, Ltd., 13.502%, 12/7/12 (144A)
                    955,900
 
                  2,000,000
(a)
NR/NR
 
Montana Re, Ltd., 16.652%, 1/8/14 (144A)
                  1,905,600
 
                      425,000
 
B+/B2
 
National Money Mart Co., 10.375%, 12/15/16
                    468,563
 
                      755,000
(a)
CCC-/Caa2
 
NCO Group, Inc., 5.136%, 11/15/13
                     707,813
 
                       510,000
 
CCC-/Caa3
 
NCO Group, Inc., 11.875%, 11/15/14
                    487,050
 
                      500,000
(a)
B-/NR
 
Successor X, Ltd., 9.76%, 4/4/13 (144A)
                    483,600
 
                   1,250,000
(a)
NR/NR
 
Successor X, Ltd., 11.76%, 4/4/13 (144A)
                    1,183,125
 
                  2,000,000
(a)
B-/NR
 
Successor X, Ltd., 14.577%, 4/4/13 (144A)
                  1,968,600
 
                  2,000,000
(a)
NR/NR
 
Successor X, Ltd., 16.077%, 4/4/13 (144A)
                  1,954,800
 
                      500,000
(a)
NR/NR
 
Successor X, Ltd., 16.76%, 4/4/13 (144A)
                     471,900
           
 $            12,059,851
         
Total Diversified Financials
 $   29,410,003
         
INSURANCE - 9.7%
 
         
Insurance Brokers - 2.0%
 
 
                      250,000
 
CCC/Caa1
 
Alliant Holdings I, Inc., 11.0%, 5/1/15 (144A)
 $                263,750
 
                   1,050,000
 
CCC+/Caa1
 
HUB International Holdings, Inc., 10.25%, 6/15/15 (144A)
                  1,050,000
GBP
                      325,000
 
B-/B3
 
Towergate Finance PLC, 10.5%, 2/15/19 (144A)
                    529,486
 
                      827,000
(a)
CCC/B3
 
U.S.I. Holdings Corp., 4.136%, 11/15/14 (144A)
                    758,773
 
                      804,000
 
CCC/Caa1
 
U.S.I. Holdings Corp., 9.75%, 5/15/15 (144A)
                    795,960
           
 $             3,397,969
         
Multi-Line Insurance - 1.2%
 
 
                   1,000,000
(a)
BB/Baa3
 
Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A)
 $                 973,178
 
                      670,000
(a)
BB/Baa3
 
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (144A)
                    886,075
 
                        65,000
 
BB-/NR
 
Sul America Participacoes SA, 8.625%, 2/15/12 (144A)
                       68,088
           
 $               1,927,341
         
Property & Casualty Insurance - 0.0%
 
 
                        40,000
(a)(e)
BB/Ba2
 
White Mountains Insurance Group, Ltd., 7.506%  (144A)
 $                   38,303
         
Reinsurance - 6.5%
 
 
                   1,000,000
(a)
BB+/NR
 
Akibare, Ltd., 3.409%, 5/22/12 (144A)
 $              1,003,800
 
                      500,000
(a)
BB+/NR
 
Akibare, Ltd., 3.434%, 5/22/12 (144A)
                     502,150
 
                  2,000,000
(a)
BB+/NR
 
Blue Fin, Ltd., 4.646%, 4/10/12 (144A)
                  1,998,400
 
                   1,000,000
(a)
BB-/NR
 
Blue Fin, Ltd., 13.75%, 4/16/12 (144A)
                  1,027,300
 
                   1,250,000
(a)
BB+/NR
 
Fhu-Jin, Ltd., 4.157%, 8/10/11 (144A)
                  1,249,750
 
                   1,000,000
(a)
BB+/NR
 
Foundation Re III, Ltd., 5.03%, 2/3/14 (144A)
                    982,600
 
                   1,000,000
(a)
BB/NR
 
Foundation Re III, Ltd., 5.785%, 2/3/15 (144A)
                    979,000
 
                      750,000
(a)
NR/B1
 
GlobeCat, Ltd., 6.246%, 1/2/13 (144A)
                    750,600
 
                      350,000
(a)
NR/B3
 
GlobeCat, Ltd., 9.496%, 1/2/13 (144A)
                    326,550
 
                      600,000
(a)
BB+/NR
 
Merna Reinsurance II, Ltd., 3.66%, 4/8/13 (144A)
                     613,860
 
                      250,000
(a)
B/NR
 
MultiCat Mexico, Ltd., Series 2009-I Class A, 11.53%, 10/19/12 (144A)
                    263,075
 
                      250,000
(a)
B/NR
 
MultiCat Mexico, Ltd., Series 2009-I Class B, 10.301%, 10/19/12 (144A)
                    259,850
 
                      250,000
(a)
B/NR
 
MultiCat Mexico, Ltd., Series 2009-I Class C, 10.301%, 10/19/12 (144A)
                    259,450
 
                      250,000
(a)
BB-/NR
 
MultiCat Mexico, Ltd., Series 2009-I Class D, 10.255,%, 10/19/12 (144A)
                    252,975
 
                      500,000
(a)
BB/NR
 
Mystic Re II, Ltd., 12.254%, 3/20/12 (144A)
                      511,700
           
 $            10,981,060
         
Total Insurance
 $   16,344,673
         
REAL ESTATE - 0.3%
 
         
Real Estate Operating Companies - 0.3%
 
 
                        43,673
(a)
B/NR
 
Alto Palermo SA, 11.0%, 6/11/12 (144A)
 $                    18,780
 
                       410,000
 
B/NR
 
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A)
                     418,200
         
Total Real Estate
 $       436,980
         
SOFTWARE & SERVICES - 1.9%
 
         
Application Software - 1.2%
 
 
                      539,000
 
B/B3
 
Allen Systems Group, Inc., 10.5%, 11/15/16 (144A)
 $                539,000
 
                   1,390,000
 
B-/Caa1
 
Vangent, Inc., 9.625%, 2/15/15
                   1,410,850
           
 $              1,949,850
         
Data Processing & Outsourced Services - 0.3%
 
 
                      404,000
 
B-/Caa1
 
First Data Corp., 8.25%, 1/15/21 (144A)
 $                395,920
 
                         91,000
 
B-/Caa1
 
First Data Corp., 9.875%, 9/24/15
                       92,365
           
 $                488,285
         
Systems Software - 0.4%
 
 
                       776,941
(d)
NR/NR
 
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A)
 $                745,863
         
Total Software & Services
 $     3,183,998
         
TECHNOLOGY HARDWARE & EQUIPMENT - 0.3%
 
         
Computer Storage & Peripherals - 0.3%
 
 
                       415,000
 
BBB/Baa3
 
Seagate Technology International, Inc., 10.0%, 5/1/14 (144A)
 $                477,250
         
Total Technology Hardware & Equipment
 $       477,250
             
 
 
     
TELECOMMUNICATION SERVICES - 5.6%
 
         
Alternative Carriers - 2.0%
 
 
                      945,000
 
B/B2
 
Global Crossing, Ltd., 12.0%, 9/15/15
 $              1,096,200
 
                      750,000
 
B/Ba3
 
PAETEC Holding Corp., 8.875%, 6/30/17
                    806,250
 
                    1,010,000
 
CCC+/Caa1
 
PAETEC Holding Corp., 9.5%, 7/15/15
                  1,052,925
 
                      350,000
 
B+/Caa1
 
PAETEC Holding Corp., 9.875%, 12/1/18
                    375,375
           
 $             3,330,750
         
Integrated Telecommunication Services - 1.5%
 
 
                      700,000
 
B/NR
 
Bakrie Telecom Tbk PT, 11.5%, 5/7/15 (144A)
 $                 715,750
 
                       910,000
 
B-/Caa1
 
Broadview Networks Holdings, Inc., 11.375%, 9/1/12
                    837,200
 
                      388,000
(c)
CCC+/B3
 
Cincinnati Bell, Inc., 8.75%, 3/15/18
                      371,510
 
                      500,000
 
B+/Ba3
 
Windstream Corp., 8.625%, 8/1/16
                    522,500
           
 $             2,446,960
         
Wireless Telecommunication Services - 2.1%
 
 
                      300,000
 
NR/Caa1
 
Digicel Group, Ltd., 10.5%, 4/15/18 (144A)
 $                335,250
 
                      750,000
 
B+/B2
 
NII Capital Corp, 10.0%, 8/15/16
                    864,375
 
                      790,000
(c)
BB/Ba3
 
OJSC Vimpel Communications Via VIP Ireland, Ltd., 9.125%, 4/30/18 (144A)
                    892,700
 
                   1,330,000
 
B-/B2
 
True Move Co., Ltd., 10.375%, 8/1/14 (144A)
                  1,433,075
 
                       100,000
 
B-/B2
 
True Move Co., Ltd., 10.75%, 12/16/13 (144A)
                     107,750
           
 $              3,633,150
         
Total Telecommunication Services
 $     9,410,860
         
UTILITIES - 2.5%
 
         
Electric Utilities - 1.2%
 
 
                      750,000
 
B/B3
 
Cia de Transporte de Energia Electrica de Alta Tension SA, 8.875%, 12/15/16 (144A)
 $                742,500
 
                       419,000
(c)
B-/B2
 
Empresa Distribuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
                     422,143
 
                      225,000
 
BB-/Ba2
 
PNM Resources, Inc., 9.25%, 5/15/15
                    252,000
 
                      240,000
(c)
CCC/B2
 
Texas Competitive Electric Holdings LLC, 11.5%, 10/1/20 (144A)
                    222,000
 
                       510,000
(c)
CC/Caa3
 
Texas Competitive Electric Holdings LLC, 15.0%, 4/1/21 (144A)
                    372,300
           
 $              2,010,943
         
Gas Utilities - 0.7%
 
 
                    1,135,000
(c)
B/B2
 
Transportadora de Gas del Sur SA, 7.875%, 5/14/17 (144A)
 $                1,117,975
         
Independent Power Producers & Energy Traders - 0.6%
 
 
                      500,000
 
BB-/Ba3
 
Intergen NV, 9.0%, 6/30/17 (144A)
 $                527,500
 
                      500,000
 
NR/B2
 
Star Energy Geothermal (Wayang Windu), Ltd., 11.5%, 2/12/15 (144A)
                    554,994
           
 $              1,082,494
 
 
 
 
 
Total Utilities
 $      4,211,412
         
TOTAL CORPORATE BONDS & NOTES
 
 
 
     
(Cost $154,643,731)
 $ 157,024,939
             
         
CONVERTIBLE BONDS & NOTES - 3.1% of Net Assets
 
         
MATERIALS - 1.0%
 
         
Diverified Chemicals - 1.0%
 
 
                            1,900
(g)
BB-/NR
 
Hercules, Inc., 6.5%, 6/30/29
 $              1,634,000
         
Total Materials
 $     1,634,000
         
TRANSPORTATION - 0.4%
 
         
Marine - 0.4%
 
 
                      990,000
(b)(c)
CC/Ca
 
Horizon Lines, Inc., 4.25%, 8/15/12
 $                743,738
         
Total Transportation
 $       743,738
         
MEDIA - 0.4%
 
         
Movies & Entertainment - 0.4%
 
 
                      659,000
 
B-/NR
 
Live Nation, Inc., 2.875%, 7/15/27
 $                623,579
         
Total Media
 $       623,579
         
HEALTH CARE EQUIPMENT & SERVICES - 1.0%
 
         
Health Care Equipment & Services - 0.7%
 
 
                   1,040,000
(c)(f)
BB+/NR
 
Hologic, Inc., 2.0%, 12/15/37
 $               1,159,600
         
Health Care Facilities - 0.3%
 
 
                      405,000
 
B/NR
 
LifePoint Hospitals, Inc., 3.5%, 5/15/14
 $                424,744
         
Health Care Services - 0.0%
 
 
                         15,000
 
B+/B2
 
Omnicare, Inc., 3.25%, 12/15/35
 $                     14,381
         
Total Health Care Equipment & Services
 $     1,598,725
         
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.2%
 
         
Semiconductor - 0.2%
 
 
                       150,000
 
NR/NR
 
JA Solar Holdings Co., Ltd., 4.5%, 5/15/13
 $                  124,312
 
                       271,000
(c)
NR/NR
 
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13
                    222,220
         
Total Semiconductors & Semiconductor Equipment
 $                346,532
         
TELECOMMUNICATION SERVICES - 0.1%
 
         
Wireless Telecommunication Services - 0.1%
 
 
                      250,000
 
B-/NR
 
NII Holdings, Inc., 3.125%, 6/15/12
 $                 250,312
         
Total Telecommunication Services
 $        250,312
         
TOTAL CONVERTIBLE BONDS & NOTES
 
         
(Cost $4,146,708)
 $     5,196,886
             
         
SOVEREIGN DEBT OBLIGATION - 0.7% of Net Assets
 
         
Brazil - 0.7%
 
BRL
                   1,750,000
 
BBB-/Baa2
Brazilian Government International Bond, 10.25%, 1/10/28
 $              1,248,996
         
TOTAL SOVEREIGN DEBT OBLIGATION
 
         
(Cost $947,197)
 $     1,248,996
             
         
SENIOR FLOATING RATE LOAN INTERESTS - 33.9% of Net Assets (h)
         
ENERGY - 0.4%
 
         
Coal & Consumable Fuels - 0.3%
 
 
                      450,000
 
NR/NR
 
PT Bumi Resources Tbk, Term Loan, 11.185%, 8/7/13
 $                450,000
         
Oil & Gas Equipment & Services - 0.1%
 
 
                      246,006
 
NR/NR
 
Hudson Products Holdings, Inc., Term Loan, 8.5%, 8/24/15
 $                 236,781
         
Total Energy
 $        686,781
         
MATERIALS - 3.8%
 
         
Diversified Chemicals - 0.7%
 
EURO
                        78,483
 
B/Ba3
 
Ineos US Finance LLC,  Facility Term Loan B-1, 7.5%, 12/16/13
 $                    118,114
EURO
                         86,183
 
B/Ba3
 
Ineos US Finance LLC,  Facility Term Loan C-1, 8.0%, 12/16/14
                     129,702
 
                       172,658
 
B/Ba3
 
Ineos US Finance LLC, Senior Credit Facility Term Loan B-2, 7.5%, 12/16/13
                     178,944
 
                        190,615
 
B/Ba3
 
Ineos US Finance LLC, Senior Credit Facility Term Loan C-2, 8.0%, 12/16/14
                     197,554
 
                       195,956
 
BB+/Ba1
 
Solutia, Inc., Term Loan 1, 3.5%, 8/1/17
                      196,516
 
                      348,250
 
B/B2
 
Univar, Inc., Term Loan B, 5.0%, 6/30/17
                    348,095
           
 $               1,168,925
         
Forest Products - 0.9%
 
 
                   1,500,000
 
B+/Ba3
 
Ainsworth Lumber Co., Ltd., Term Loan, 5.188%, 6/26/14
 $               1,500,158
         
Paper Packaging - 0.5%
 
 
                      455,527
 
B+/B1
 
Graham Packaging Co., LP, Term Loan C, 6.75%, 4/5/14
 $                456,792
 
                        89,325
 
B+/B1
 
Graham Packaging Co., LP, Term Loan D, 6.0%, 9/23/16
                       89,579
 
                      378,626
 
BBB-/Ba2
 
Graphic Packaging International, Inc., Incremental Term Loan, 2.985%, 5/16/14
                     378,531
           
 $                924,902
         
Paper Products - 0.7%
 
 
                      465,000
 
B/B1
 
Exopack LLC/Cello Foil Products, Inc., Term Loan B, 6.5%, 5/31/17
 $                465,000
 
                      699,032
 
BB+/Baa2
 
Georgia-Pacific LLC, Term Loan B, 2.25%, 12/24/12
                    699,322
           
 $               1,164,322
         
Precious Metals & Minerals - 0.1%
 
 
                      209,250
 
BB-/B1
 
Fairmount Minerals, Ltd., Tranche B Term Loan, 5.25%, 3/15/17
 $                209,947
         
Specialty Chemicals - 0.4%
 
 
                      250,000
 
BB+/Ba1
 
Chemtura Corp., Facility Term Loan, 5.5%, 8/29/16
 $                 251,354
 
                       351,264
 
BB-/NR
 
Huntsman International LLC, Extended Term Loan B, 2.179%, 4/19/17
                     341,824
           
 $                 593,178
         
Steel - 0.5%
 
 
                      884,568
(d)
B/B3
 
Niagara Corp., New Term Loan, 8.5%, 6/29/14
 $                866,877
   
 
   
Total Materials
 $    6,428,309
         
CAPIAL GOODS - 2.8%
 
         
Aerospace & Defense - 1.8%
 
 
                      905,000
 
BB-/B2
 
API Technologies Corp., Term Loan, 7.75%, 6/27/16
 $                 891,425
 
                      605,843
 
B/B2
 
DAE Aviation Holdings, Inc., Tranche B-1 Term Loan, .5.26%, 7/31/14
                    604,833
 
                      245,968
 
BB/B1
 
Hunter Defense Technologies, Inc., Term Loan, 3.5%, 8/22/14
                    238,896
 
                      483,655
 
BBB-/Ba1
 
Spirit Aerosystems, Inc., Term Loan B-2, 3.437%, 9/30/16
                    483,504
 
                        582,117
 
B/B2
 
Standard Aero, Ltd., Tranche B-2 Term Loan, 5.26%, 7/31/14
                      581,147
 
                       329,415
 
BB/Ba2
 
TASC, Inc., New Tranche B Term Loan, 4.5%, 12/18/15
                    329,793
           
 $              3,129,598
         
Building Products - 0.7%
 
 
                     1,116,563
 
B+/B1
 
Goodman Global, Inc., First Lien Initial Term Loan, 5.75%, 10/28/16
 $                1,123,461
         
Construction & Farm Machinery & Heavy Trucks - 0.3%
 
 
                      500,000
 
BB/Ba2
 
Manitowoc Co., Inc., Term Loan B, 4.25%, 11/13/17
 $                502,498
         
Total Capital Goods
 $    4,755,557
         
COMMERCIAL & PROFESSIONAL SERVICES - 1.5%
 
         
Commercial Printing - 0.1%
 
 
                      248,750
 
BB-/Caa1
 
Cenveo Corp., Facility Term Loan B, 6.25%, 12/21/16
 $                250,849
         
Environmental & Facilities Services - 1.3%
 
 
                       810,925
 
B+/B1
 
Brickman Group Holdings, Inc., Tranche B Term Loan, 7.25%, 10/14/16
 $                822,329
 
                   1,079,624
 
B-/B3
 
Synagro Technologies, Inc., First Lien Term Loan, 2.19%, 4/2/14
                  1,004,050
 
                      299,250
 
B+/B1
 
Waste Industries USA, Inc., Term Loan B, 4.75%, 3/17/17
                    300,556
           
 $              2,126,935
         
Security & Alarm Services - 0.1%
 
 
                      225,048
 
BB/B1
 
Protection One, Inc., Term Loan, 6.0%, 6/4/16
 $                225,705
         
Total Commercial  & Professional Services
 $    2,603,489
         
TRANSPORTATION - 1.0%
 
         
Air Freight & Logistics - 0.8%
 
 
                      439,482
 
B/B1
 
Ceva Group Plc, Pre-Funded Tranche B LC Loan, 0.146%, 8/31/16
 $                430,692
 
                       919,588
 
NR/B1
 
Ceva Group Plc, U.S. Tranche B Term Loan, 5.253%, 8/31/16
                      901,196
           
 $               1,331,888
         
Airlines - 0.2%
 
 
                       274,313
 
BB-/Ba2
 
Delta Air Lines, Inc., New Term Loan, 4.25%, 3/7/16
 $                270,498
         
Total Transportation
 $     1,602,386
             
         
AUTOMOBILES & COMPONENTS - 1.9%
 
         
Auto Parts & Equipment - 0.4%
 
 
                        140,186
 
B+/Ba3
 
Federal-Mogul Corp., Tranche B Term Loan, 2.128%, 12/29/14
 $                 133,877
 
                         71,523
 
B+/Ba3
 
Federal-Mogul Corp., Tranche C Term Loan, 2.128%, 12/28/15
                       68,305
 
                       159,600
 
NR/NR
 
Metaldyne LLC,  Term Loan, 5.25%, 5/18/17
                     159,500
 
                      245,422
 
BB/Ba2
 
Tomkins LLC/Tompkins,  Inc., Term Loan B-1, 4.25%, 9/29/16
                    245,939
 
                       144,275
 
B/Ba2
 
UCI International, Inc., Term Loan, 5.5%, 7/26/17
                     145,267
           
 $                752,888
         
Automobile Manufacturers - 0.9%
 
 
                   1,500,000
 
BB/Ba2
 
Chrysler Group LLC, Tranche B Term Loan, 6.0%, 5/24/17
 $              1,462,970
         
Tires & Rubber - 0.6%
 
 
                   1,000,000
 
BB/Ba1
 
Goodyear Tire & Rubber Co., Second Lien Term Loan, 1.94%, 4/30/14
 $                 966,071
         
Total Automobiles & Components
 $     3,181,929
         
CONSUMER DURABLES & APPAREL - 0.4%
 
         
Housewares & Specialities - 0.1%
 
 
                       219,450
 
BB/Ba3
 
Reynolds Group Holdings, Inc., U.S. Term Loan 2011, 4.25%, 2/19/18
 $                  218,170
         
Leisure Products - 0.3%
 
 
                      435,000
 
B-/B3
 
SRAM LLC, First Lien Term Loan, 4.767%, 6/7/18
 $                 437,719
         
Total Consumer Durables & Apparel
 $       655,889
         
CONSUMER SERVICES - 0.3%
 
         
Specialized Consumer Services - 0.3%
 
 
                      440,932
 
B+/B1
 
Wash MultiFamily Laundry Systems LLC, Term Loan, 7.0%, 8/28/14
 $                442,585
         
Total Consumer Services
 $       442,585
         
MEDIA - 3.1%
 
         
Advertising - 0.6%
 
 
                      987,508
 
BB-/Ba3
 
Affinion Group, Inc., Tranche B Term Loan, 5.0%, 10/9/16
 $                985,780
         
Broadcasting - 1.4%
 
 
                       483,891
 
NR/Caa2
 
FoxCo Aquisition Sub LLC, Replacement Term Loan, 4.75%, 7/14/15
 $                 483,941
 
                       919,342
 
B+/Ba3
 
Insight Midwest Holdings LLC, Term Loan B, 1.961%, 4/7/14
                     912,443
 
                       413,963
 
BB-/Ba3
 
TWCC Holding Corp., Term Loan, 4.25%, 2/11/17
                     415,256
 
                      590,050
 
B+/B2
 
Univision Communications, Inc., Extended  First Lien Term Loan, 4.437%, 3/31/17
                     561,986
           
 $             2,373,626
         
Cable & Satellite - 0.3%
 
 
                      549,363
(i)
B-/B1
 
WideOpenWest Finance LLC, Series A Term Loan, 6.686%, 6/30/14
 $                 551,080
         
Movies & Entertainment - 0.5%
 
 
                        201,919
 
NR/Ba1
 
Cinedigm Digital Funding I LLC, Term Loan, 5.25%, 4/29/16
 $                 201,288
 
                       624,133
 
B/B3
 
Lodgenet Entertainment Corp., Closing Date Term Loan, 6.5% , 4/4/14
                    598,388
           
 $                799,676
         
Publishing - 0.3%
 
 
                       804,518
 
B/B1
 
RH Donnelley, Inc., Term Loan, 9.0%, 10/24/14
 $                 553,106
         
Total Media
 $    5,263,268
         
RETAILING - 1.0%
 
         
Automotive Retail - 0.2%
 
 
                      249,375
 
BB+/Ba3
 
Autotrader.com, Inc., Tranche B Term Loan, 4.0%, 12/15/16
 $                249,687
         
Computer & Electronics Retail - 0.5%
 
 
                      900,000
 
B/B2
 
Targus Group International, Inc., Term Loan, 11.0%, 5/24/16
 $                888,750
         
Specialty Stores - 0.3%
 
 
                      548,625
 
B+/Ba3
 
Savers, Inc., New Term Loan, 4.25%, 3/14/17
 $                   550,111
         
Total Retailing
 $     1,688,548
         
FOOD, BEVERAGE & TOBACCO - 0.4%
 
         
Packaged Foods & Meats - 0.4%
 
 
                      250,000
 
B+/Ba3
 
Del Monte Foods Co., Initial Term  Loan, 4.5%, 3/8/18
 $                 249,241
 
                      500,000
 
BB-/B2
 
Pierre Foods, Inc., Second Lien Term Loan, 11.25%, 9/29/17
                     508,125
         
Total Food, Beverage & Tobacco
 $       757,366
         
HOUSEHOLD & PERSONAL PRODUCTS - 0.3%
 
         
Personal Products - 0.3%
 
 
                      248,750
 
BB-/Ba3
 
NBTY, Inc., Term Loan B-1, 4.25%, 10/1/17
 $                249,096
 
                      247,500
 
BB-/Ba3
 
Revlon Consumer Products Corp., Term Loan, 4.75%, 11/19/17
                     248,185
         
Total Household & Personal Products
 $        497,281
         
HEALTH CARE EQUIPMENT & SERVICES - 5.1%
 
         
Health Care Facilities - 1.0%
 
 
                      246,875
 
B/B1
 
Ardent Medical Services, Inc., Term Loan, 6.5%, 9/15/15
 $                 247,184
 
                        115,000
 
NR/NR
 
Ardent Medical Services, Inc., Term Loan B, 0.0%, 7/19/15
                       115,180
 
                        49,556
 
NR/NR
 
Community Health Systems, Inc., Non-Extended Delayed Draw Term Loan, 2.504%, 7/25/14
                       47,959
 
                      963,854
 
BB/Ba3
 
Community Health Systems, Inc., Non-Extended Term Loan, 2.504%, 7/25/14
                    932,770
 
                       198,040
 
BB/Ba3
 
HCA, Inc., Tranche B-2 Term Loan, 3.496%, 3/31/17
                     194,537
 
                        82,579
 
BB/Ba3
 
HCA, Inc., Tranche B-3 Term Loan, 3.496%, 5/1/18
                         81,144
           
 $               1,618,774
         
Health Care Services - 2.8%
 
 
                      493,750
 
NR/NR
 
AccentCare, Inc., Term Loan, 6.5%, 12/22/16
 $                490,047
 
                      290,579
 
B+/B1
 
Aveta, Inc., NAMM Term Loan, 8.5%, 4/14/15
                      291,910
 
                    1,327,551
 
NR/NR
 
Catalent Pharma, Inc., Dollar Term Loan, 2.437%, 4/10/14
                  1,274,449
 
                      639,732
 
BB-/Ba3
 
Inventiv Health, Inc., Consolidated Term Loan, 6.5%, 8/4/16
                    637,666
 
                      408,975
 
B+/B1
 
National Mentor Holdings, Inc., Tranche B Term Loan, 7.0%, 2/9/17
                    408,055
 
                      254,807
 
B/B2
 
National Speciality Hospitals, Inc., Initial Term Loan, 8.25%, 2/3/17
                    255,444
 
                       370,313
 
NR/B1
 
Prime Healthcare Services, Inc., Term Loan B, 7.25%, 4/28/15
                    362,906
 
                       241,667
 
B+/Ba2
 
Sun Healthcare Group, Inc., Term Loan, 7.5%, 10/18/16
                    240,760
 
                      350,000
 
NR/Ba3
 
Valitas Health Services, Inc., Term Loan B, 5.75%, 6/2/17
                     349,016
 
                      500,000
 
B+/B1
 
Virtual Radiologic Corp., Term Loan B, 7.75%, 12/22/16
                    492,500
           
 $             4,802,753
         
Health Care Supplies - 0.6%
 
 
                      490,000
 
BB-/Ba2
 
Alere, Inc., Term Loan B, 4.5%, 6/30/17
 $                 489,510
 
                          111,701
 
NR/NR
 
Bausch & Lomb, Inc., Delayed Draw Term Loan, 3.437%, 4/24/15
                       111,079
 
                      458,889
 
NR/NR
 
Bausch & Lomb, Inc., Parent Term Loan, 3.483%, 4/24/15
                    456,335
           
 $              1,056,924
         
Health Care Technology - 0.5%
 
 
                      246,878
 
BB-/Ba3
 
IMS Health, Inc., Tranche B Dollar Term Loan, 4.5%, 8/26/17
 $                247,624
 
                      390,000
 
B/B2
 
Medical Card System, Inc., Term Loan, 12.0%, 9/17/15
                     401,700
 
                           3,826
 
B/NR
 
Physician Oncology Services LP, Delayed Draw Term Loan, 1.575%, 8/29/11
                         3,802
 
                      209,980
 
B/B2
 
Physician Oncology Services LP, Effective Date Term Loan, 6.25%, 1/31/17
                    208,668
           
 $                 861,794
         
Managed Health Care - 0.2%
 
 
                      290,579
 
B+/B1
 
Aveta, Inc., MMM Term Loan, 8.5%, 4/14/15
 $                  291,851
         
Total Health Care Equipment & Services
 $    8,632,096
         
PHARMACEUTICALS & BIOTECHNOLOGY & LIFE SCIENCES - 1.4%
 
         
Biotechnology - 1.3%
 
 
                      690,000
 
NR/Caa1
 
Alkermes, Inc., Second Lien Term Loan, 0.0%, 7/1/18
 $                700,350
 
                      497,500
 
BB/B1
 
Axcan Intermediate Holdings, Inc., Term Loan, 5.5%, 2/10/17
                    490,970
 
                      435,480
 
BBB-/Ba3
 
Warner Chilcott Co. LLC, Term Loan B-1, 4.25%, 3/15/18
                    436,364
 
                       217,740
 
BBB-/Ba3
 
Warner Chilcott Co. LLC, Term Loan B-2, 4.25%, 3/15/18
                      218,182
 
                      299,393
 
BBB-/Ba3
 
Warner Chilcott Co. LLC, Term Loan B-3, 4.25%, 3/15/18
                     300,001
           
 $              2,145,867
         
Pharmaceuticals - 0.1%
 
 
                        146,714
 
BBB/Baa3
 
Mylan, Inc., U.S. Tranche B Term Loan, 3.5%, 10/2/14
 $                  147,712
         
Total Pharmaceuticals & Biotechnology & Life Sciences
 $    2,293,579
         
DIVERSIFIED FINANCIALS - 1.5%
 
         
Other Diversified Financial Services - 0.5%
 
 
                       147,789
 
B-/B2
 
BNY ConvergEX Group LLC, Second Lien (EZE) Term Loan, 8.75%, 12/18/17
 $                    151,114
 
                        352,211
 
B-/NR
 
BNY ConvergEX Group LLC, Second Lien (TOP) Term Loan, 8.75%, 12/18/17
                     360,135
 
                      222,454
 
NR/NR
 
Long Haul Holdings, Ltd. and PT Bakrie & Brohters Tbk, Tranche A Vallar Loan, 0.0%, 3/15/12
                      221,341
 
                       177,546
 
B/B2
 
Long Haul Holdings, Ltd. and PT Bakrie & Brothers Tbk, Tranche B Vallar Loan, 0.0%, 3/15/12
                     176,659
           
 $                909,249
         
Specialized Finance - 1.0%
 
 
                      663,050
 
BB/B1
 
Asset Acceptance Capital Corp., Tranche B Term Loan, 3.761%, 6/12/13
 $                 653,104
 
                       793,941
 
CCC+/B2
 
Collect Acquisition Corp., Advance Term Loan B, 8.0%, 5/15/13
                    793,688
 
                       222,016
 
BB+/Ba1
 
MSCI, Inc., Term Loan B-1, 3.75%, 3/14/17
                    223,358
           
 $               1,670,150
         
Total Diversified Financials
 $    2,579,399
         
INSURANCE - 3.4%
 
         
Insurance Brokers - 2.4%
 
 
                   1,397,955
 
B-/B2
 
Alliant Holdings I, Inc., Term Loan, 3.246%, 8/21/14
 $              1,383,976
 
                       126,887
 
B/B2
 
HUB International, Ltd., Delay Draw Term Loan, 2.746%, 6/13/14
                      123,451
 
                      564,476
 
B/B2
 
HUB International, Ltd., Initial Term Loan, 2.746%, 6/13/14
                     549,188
 
                        98,250
 
B-/B3
 
U.S.I. Holdings Corp., Series C Term Loan, 7.0%, 5/5/14
                       97,759
 
                   1,920,000
 
B-/B2
 
U.S.I. Holdings Corp., Tranche B Term Loan, 2.69%, 5/5/14
                  1,872,000
           
 $             4,026,374
         
Multi-Line Insurance - 1.0%
 
 
                       783,179
 
B/B2
 
AmWins Group, Inc., Initial Term Loan, 4.486%, 6/8/13
 $                778,284
 
                   1,000,000
 
CCC+/B3
 
AmWins Group, Inc., Second Lien Initial Term Loan, 5.75%, 6/9/14
                    926,250
           
 $              1,704,534
         
Total Insurance
 $    5,730,908
         
REAL ESTATE - 0.1%
 
         
Real Estate Development - 0.1%
 
 
                      246,875
 
B/B1
 
Ozburn-Hessey Holding Co. LLC, First Lien Term Loan, 7.5%, 4/8/16
 $                 247,184
         
Total Real Estate
 $        247,184
         
SOFTWARE & SERVICES - 3.3%
 
         
Application Software - 1.1%
 
 
                       493,517
 
BB-/Ba2
 
Allen Systems Group, Inc., Term Loan B, 6.5%, 11/21/15
 $                497,836
 
                      964,376
 
BB+/Ba1
 
Nuance Communications, Inc., Term Loan C, 3.19%, 3/31/16
                    963,928
 
                      500,000
 
CCC+/Caa1
 
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
                    506,875
           
 $              1,968,639
         
Data Processing & Outsourced Services - 0.3%
 
 
                      523,688
 
BB-/Ba3
 
Fifth Third Processing Solutions LLC, First Lien Term Loan B-1, 4.5%, 11/3/16
 $                 523,818
         
IT Consulting & Other Services - 1.1%
 
 
                   1,887,369
 
BB/Ba3
 
SunGard Data Systems, Inc., Tranche A U.S.Term Loan, 1.936%, 2/28/14
 $                1,844,116
         
Systems Software - 0.8%
 
 
                   1,345,956
 
BB/Ba3
 
Vangent, Inc., Term Loan, 2.26%, 2/14/13
 $              1,322,402
         
Total Software & Services
 $    5,658,975
         
TECHNOLOGY HARDWARE & EQUIPMENT - 0.6%
 
         
Communications Equipment - 0.3%
 
 
                      249,375
 
BB/Ba3
 
Commscope, Inc., Term Loan, 5.0%, 1/14/18
 $                250,698
 
                      249,375
 
BB-/Ba3
 
Towerco Finance LLC, Term Loan, 5.25%, 2/2/17
                     250,310
           
 $                 501,008
         
Electronic Equipment & Instruments - 0.3%
 
 
                       512,425
 
B/B2
 
Scitor Corp., Term Loan, 5.0%, 2/15/17
 $                 510,503
         
Total Technology Hardware & Equipment
 $       1,011,511
         
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.9%
 
         
Semiconductor Equipment - 0.9%
 
 
                      700,000
 
NR/B1
 
Aeroflex, Inc., Tranche B Term Loan, 4.25%, 5/9/18
 $                698,246
 
                      767,749
 
B/B1
 
Freescale Semiconductor, Inc., Extended Maturity Term Loan, 4.436%, 12/1/16
                     765,168
         
Total Semiconductors & Semiconductor Equipment
 $     1,463,414
         
TELECOMMUNICATION SERVICES - 0.3%
 
         
Integrated Telecommunication Services - 0.3%
 
 
                       427,163
 
B+/B1
 
Telesat Canada, U.S. Term I Loan, 3.19%, 10/31/14
 $                422,958
 
                        36,694
 
B+/B1
 
Telesat Canada, U.S. Term II Loan, 3.19%, 10/31/14
                       36,332
         
Total Telecommunication Services
 $       459,290
             
         
UTILITIES - 0.4%
 
         
Electric Utilities - 0.3%
 
 
                      629,720
 
CCC/B2
 
Texas Competitive Electric Holdings Co. LLC, Extending Term Loan, 4.728%, 10/10/17
 $                  471,109
         
Independent Power Producers & Energy Traders - 0.1%
 
 
                       184,378
 
BB-/Ba3
 
Mach Gen LLC, First Lien Synthetic LC Loan, 0.0%, 2/22/13
 $                 172,240
         
Total Utilities
 $       643,349
         
TOTAL SENIOR FLOATING RATE LOAN INTERESTS
 
         
(Cost $57,390,942)
 $  57,283,093
             
         
MUNICIPAL BONDS - 0.5% of Net Assets
 
         
Texas - 0.5%
 
 
                      950,000
 
CCC+/NR
 
Alliance Airport Authority Income Special Facilities Revenue, 5.75%, 12/1/29
 $                676,732
 
                       175,000
 
CCC+/Caa2
 
Dallas-Fort Worth International Airport Facility Improvement Revenue, 6.375%, 5/1/35
                     130,708
         
TOTAL MUNICIPAL BONDS
 
         
(Cost $846,651)
 $       807,440
             
 
Shares
     
COMMON STOCKS - 0.5% of Net Assets
 
         
ENERGY - 0.0%
 
         
Oil & Gas Drilling - 0.0%
 
 
                             1,109
(j)
   
Rowan Companies, Inc.
 $                   43,440
         
Total Energy
 $         43,440
         
MATERIALS - 0.3%
 
         
Commodity Chemicals - 0.0%
 
 
                           2,459
(j)
   
Georgia Gulf Corp.
 $                   49,278
 
                               551
(j)
   
Lyondell Basell Industries NV
                        21,742
           
 $                    71,020
         
Diversified Metals & Mining - 0.2%
 
 
                       371,096
(i)(j)(k)
   
Blaze Recycling and Metals LLC Class A Units
 $                256,056
         
Forest Products - 0.0%
 
 
                         13,963
(j)
   
Ainsworth Lumber Co., Ltd.
 $                    32,195
         
Steel - 0.1%
 
 
                         15,083
(i)(j)(k)
   
KNIA Holdings, Inc.
 $                 105,430
         
Total Materials
 $        464,701
         
AUTOMOBILES &  COMPONENTS - 0.2%
 
         
Auto Parts & Equipment - 0.2%
 
 
                           5,787
(j)
   
Lear Corp.
 $                283,563
         
Total Automobiles &  Components
 $       283,563
         
DIVERSIFIED FINANCIALS - 0.0%
 
         
Other Diversified Financial Services - 0.0%
 
 
                               731
(j)
   
BTA Bank JSC (144A)
 $                     5,490
         
Total Diversified Financials
 $           5,490
         
SOFTWARE & SERVICES - 0.0%
 
         
Systems Software - 0.0%
 
 
                             2,114
(i)(j)(k)
   
Perseus Holding Corp. (144A)
 $                             -
         
Total Software & Services
 $                             -
         
TOTAL COMMON STOCKS
 
         
(Cost $761,132)
 $        797,194
             
         
CONVERTIBLE PREFERRED STOCK - 0.3% of Net Assets
 
         
DIVERSIFIED FINANCIALS - 0.3%
 
         
Other Diversified Financial Services - 0.3%
 
 
                              470
     
Bank of America Corp.
 $                 458,123
         
Total Diversified Financials
 $        458,123
         
TOTAL CONVERTIBLE PREFERRED STOCK
 
         
(Cost $382,900)
 $        458,123
             
         
PREFERRED STOCK - 0.3% of Net Assets
 
         
DIVERSIFIED FINANCIALS - 0.3%
 
         
Other Diversified Financials - 0.3%
 
 
                        22,000
     
GMAC Capital Trust I, 8.125%
 $                 545,517
         
Total Diversified Financials
 $        545,517
         
SOFTWARE & SERVICES - 0.0%
 
         
Systems Software - 0.0%
 
 
                              1,110
(i)(j)
   
Perseus Holding Corp. (144A)
 $                   38,850
         
Total Software & Services
 $         38,850
         
TOTAL PREFERRED STOCK
 
         
(Cost $550,000)
 $       584,367
             
         
RIGHTS/WARRANTS - 0.0% of Net Assets
 
         
REAL ESTATE - 0.0%
 
         
Real Estate Development - 0.0%
 
 
                      750,000
(i)(j)
   
Neo-China Group Holdings, Ltd., Expires 7/22/12 (144A)
 $                     17,012
         
TOTAL RIGHTS/WARRANTS
 
         
(Cost $17,012)
 $          17,012
             
         
TEMPORARY CASH INVESTMENTS - 9.0% of Net Assets
 
         
Repurchase Agreements - 3.5%
 
 
                  5,900,000
     
SG Americas Securities LLC, 0.07%, dated 7/29/11, repurchase price of $5,900,000
         
plus accrued interest on 8/1/11 collateralized by the following:
 
         
   $1,496,294 Federal Home Loan Mortgage Corp., 3.799%-5.619%, 1/1/38-7/1/41
 
         
   $3,975,429 Federal National Mortgage Association, 4.5%-5.0%, 5/1/39-2/1/41
 
         
   $   546,277 Freddie Mac Giant, 5.5%, 8/1/40
 $             5,900,000
         
Total Repurchase Agreements
 $    5,900,000
             
         
SECURITIES LENDING COLLATERAL - 5.5%(l)
 
         
Certificates of Deposit:
 
 
                       285,210
     
Bank of America NA, 0.19%, 9/2/11
 $                 285,210
 
                       285,210
     
Bank of Montreal Chicago, 0.18%, 10/20/11
                     285,210
 
                        57,042
     
Bank of Nova Scotia, 0.25%, 9/29/11
                       57,042
 
                       228,168
     
Bank of Nova Scotia, 0.30%, 6/11/12
                     228,168
 
                       132,622
     
BBVA Group NY, 0.47%, 8/10/11
                     132,622
 
                        39,929
     
BNP Paribas Bank NY, 0.27%, 8/5/11
                       39,929
 
                       285,210
     
Canadian Imperial Bank of Commerce NY, 0.20%, 10/3/11
                     285,210
 
                       228,168
     
DnB NOR Bank ASA NY, 0.18%, 8/10/11
                     228,168
 
                       142,602
     
National Australia Bank NY, 0.29%, 10/19/11
                     142,602
 
                       313,776
     
RaboBank Netherland NV NY, 0.29%, 4/2/12
                     313,776
 
                         171,130
     
Royal Bank of Canada, 0.26%, 8/5/11
                       171,130
 
                         171,126
     
Royal Bank of Canada NY, 0.32%, 12/2/11
                       171,126
 
                       285,210
     
Westpac Banking Corp. NY, 0.32%, 12/6/11
                     285,210
           
 $             2,625,403
         
Commercial Paper:
 
 
                        114,084
     
American Honda Finance, 0.34%, 1/11/12
 $                  114,084
 
                        171,099
     
Australia & New Zealand Banking Group, 0.34%, 9/6/11
                      171,099
 
                       104,396
     
Australia & New Zealand Banking Group, 0.87%, 8/4/11
                     104,396
 
                       155,293
     
CATFIN, 0.87%, 8/4/11
                     155,293
 
                       142,602
     
CBAPP, 0.20%, 8/3/11
                     142,602
 
                         114,166
     
General Electric Capital Corp., 0.37%, 4/10/12
                       114,166
 
                         31,392
     
General Electric Capital Corp., 0.44%, 11/21/11
                        31,392
 
                      259,529
     
HSBC, 0.17%, 8/9/11
                    259,529
 
                       108,364
     
JDCCPP, 0.10%, 9/20/11
                     108,364
 
                      256,689
     
JPMorgan Chase & Co., 0.30%, 7/17/12
                    256,689
 
                       142,556
     
NABPP, 0.19%, 10/3/11
                     142,556
 
                      256,495
     
NESCAP, 0.25%, 12/20/11
                    256,495
 
                      227,879
     
NORDNA, 0.28%, 1/9/12
                    227,879
 
                        182,801
     
OLDLLC, 0.17%, 10/5/11
                      182,801
 
                        85,535
     
OLDLLC, 0.17%, 10/711
                       85,535
 
                       142,605
     
Royal Bank of Canada NY, 0.30%, 6/29/12
                     142,605
 
                        142,521
     
SANCPU, 0.73%, 9/1/11
                      142,521
 
                        171,060
     
Sanofi Aventis, 0.68%, 10/20/11
                      171,060
 
                       256,681
     
SEB, 0.12%, 8/8/11
                     256,681
 
                       199,574
     
SEB, 0.30%, 9/12/11
                     199,574
 
                         114,061
     
SOCNAM, 0.22%, 9/1/11
                       114,061
 
                       285,210
     
Svenska Handelsbanken, 0.29%, 6/29/12
                     285,210
 
                       152,899
     
TBLLC, 0.17%, 10/12/11
                     152,899
 
                          114,211
     
TBLLC, 0.18%, 10/12/11
                        114,211
 
                       285,210
     
Toyota Motor Credit Corp., 0.33%, 9/8/11
                     285,210
 
                       142,602
     
VARFUN, 0.15%, 8/4/11
                     142,602
 
                        33,083
     
VARFUN, 0.15%, 8/8/11
                       33,083
 
                        79,855
     
VARFUN, 0.15%, 8/9/11
                       79,855
 
                         85,621
     
Wachovia, 0.29%, 3/1/12
                        85,621
 
                         114,104
     
Wachovia, 0.30%, 10/15/11
                       114,104
 
                        57,069
     
Wells Fargo & Co., 0.25%, 1/24/12
                       57,069
           
 $             4,729,246
         
Tri-party Repurchase Agreements:
 
 
                      233,872
     
Barclays Capital Plc, 0.19%, 8/1/11
 $                233,872
 
                      279,392
     
Deutsche Bank AG, 0.18%, 8/1/11
                    279,392
 
                      672,764
     
RBS Securities, Inc., 0.18%, 8/1/11
                    672,764
           
 $               1,186,028
 
Shares
     
Money Market Mutual Funds:
 
 
                       427,815
     
Dreyfus Preferred Money Market Fund
 $                 427,815
 
                       427,815
     
Fidelity Prime Money Market Fund
                     427,815
           
 $                855,630
 
 
     
Total Securities Lending Collateral
 $    9,396,307
         
TOTAL TEMPORARY CASH INVESTMENTS
 
         
(Cost $15,296,307)
 $   15,296,307
 
 
     
TOTAL INVESTMENTS IN SECURITIES - 143.9%
 
 
 
     
(Cost $240,205,584)(m)
 $        243,403,070
         
OTHER ASSETS AND LIABILITIES - (43.9)%
 $         (74,271,238)
 
 
     
NET ASSETS APPLICABLE TO COMMON SHAREOWNERS - 100.0%
 $           169,131,832
             
 
NR
 
Security not rated by S&P or Moody's.
 
             
 
WR
 
Withdrawn rating.
 
             
 
(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, 2011, the value of these securities amounted to
 
     
$107,754,479 or 63.7% of total net assets applicable to common shareowners.
 
             
 
(a)
 
Floating rate note.  The rate shown is the coupon rate at July, 2011.
 
             
 
(b)
 
Security is in default and is non-income producing.
 
             
 
(c)
 
At July 31, 2011, the following securities were out on loan:
 
     
Principal
     
     
Amount
     
     
USD ($)
 
Description
Value
     
            1,200,000
 
 Burger King Capital Holding LLC, 0.0%, 4/15/19 (144A)
 $                 717,000
     
               381,000
 
 Burger King Corp., 9.875%, 10/15/18
                     416,242
     
                   3,000
 
 Cincinnati Bell, Inc., 8.75%, 3/15/18
                         2,873
     
                 86,000
 
 Empresa Distribuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
                       86,645
     
              600,000
 
 Empresas ICA S.A.B. de C.V., 8.9%, 2/4/21 (144A)
                    630,000
     
               100,000
 
 Grupo Papelero Scribe SA, 8.875%, 4/7/20 (144A)
                        94,150
     
            1,029,600
 
 Hologic, Inc., 2.0%, 12/15/37
                   1,148,004
     
              900,000
 
 Horizon Lines, Inc., 4.25%, 8/15/12
                     676,125
     
               142,000
 
 KV Pharmaceutical Co., 12.0%, 3/18/15 (144A)
                     126,380
     
              742,000
 
 Lonking Holdings, Ltd., 8.5%, 6/3/16 (144A)
                     742,510
     
               167,000
 
 Minerva Overseas II, Ltd., 10.875%, 11/15/19 (144A)
                     185,370
     
               198,000
 
 Pilgrim's Pride Corp., 7.875%, 12/15/18 (144A)
                     176,220
     
              200,000
 
 Sally Holdings LLC, 10.5%, 11/15/16
                     214,000
     
              250,000
 
 Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13
                    205,000
     
              237,000
 
 Texas Competitive Electric Holdings LLC, 11.5%, 10/1/20 (144A)
                     219,225
     
              435,000
 
 Texas Competitive Electric Holdings LLC, 15.0%, 4/1/21 (144A)
                     317,550
     
              1,112,000
 
 Tower Automotive Holdings USA LLC, 10.625%, 9/1/17 (144A)
                   1,195,400
     
               138,000
 
 Transportadora de Gas del Sur SA, 7.875%, 5/14/17 (144A)
                     135,930
     
              750,000
 
 OJSC Vimpel Communications Via VIP Ireland, Ltd., 9.125%, 4/30/18 (144A)
                    847,500
     
              400,000
 
 Wells Fargo Capital XV, 9.75%,
                    423,500
     
              400,000
 
 Xinergy Corp., 9.25%, 5/15/19 (144A)
                    405,000
           
 $             8,964,624
             
 
(d)
 
Payment-in-Kind (PIK) security which may pay interest in additional principal amount.
 
             
 
(e)
 
Security is perpetual in nature and has no stated maturity date.
 
             
 
(f)
 
Debt obligation initially issued at one coupon rate which converts to another coupon rate at a specific date.
     
The coupon rate shown is the coupon rate at July 31, 2011.
 
             
 
(g)
 
Security is priced as a unit.
 
             
 
(h)
 
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 certificate of deposit (iv) other base lending rates used by commercial lenders.  The interest rate shown is the
     
coupon rate accruing at July 31, 2011.
 
             
 
(i)
 
Indicates a security that has been deemed illiquid. The aggregate cost of illiquid securities is
 
     
$980,490. The aggregate value $968,428 represents 0.6% of total net assets applicable to common shareowners.
             
 
(j)
 
Non-income producing.
 
             
 
(k)
 
Security  is valued using fair value methods (other than prices supplied by independent pricing services).
             
 
(l)
 
Securities lending collateral is managed by Credit Suisse AG, New York branch.
 
             
 
(m)
 
At July 31, 2011, the net unrealized gain on investments based on cost for federal income tax purposes
     
of $241,017,814 was as follows:
 
             
     
Aggregate gross unrealized gain for all investments in which
 
 
 
 
   there is an excess of value over tax cost
 $            11,790,495
             
     
Aggregate gross unrealized loss for all investments in which
 
     
   there is an excess of tax cost over value
               (9,405,239)
     
Net unrealized gain
 $             2,385,256
             
     
For financial reporting purposes net unrealized gain was $3,197,486 and cost of
 
     
investments aggregated $240,205,584.
 
             
             
   
Glossary of Terms:
 
   
LC - Letter of Credit
     
             
   
Note:  Principal amounts are denominated in U.S. dollars unless otherwise denoted.
 
             
   
BRL
Brazilian Real
   
   
EURO
Euro
     
   
GBP
British Pound
   
   
NOK
Norwegian Krone
 
             
             
   
Purchases and sales of securities (excluding temporary cash investments) for the period ended July 31, 2011, aggregated
   
$16,838,866 and $17,469,560, respectively.
 
             
   
For the period ended July 31, 2011 the Trust had an unfunded loan commitment of $66,239, (excluding net unrealized appreciation on those commitments of
   
$1,000 as of July 31, 2011) which could be extended at the option of the borrower, pursuant to the loan agreements:
           
Unfunded Loan
         
Borrower
Commitment
         
National Specialty Hospitals, Inc., Delayed Draw Term Loan
 $                   44,555
         
Physician Oncology Services, LP, Delayed Draw Term Loan
                        21,684
           
 $                   66,239
 
Various inputs are used in determining the value of the Trust’s investments.  These inputs are summarized in the three broad levels listed below.
             
 
Highest priority is given to Level 1 inputs and lowest priority is given to Level 3.
 
             
 
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 risk, etc.)
 
Level 3 – significant unobservable inputs (including the Trust’s own assumptions in determining fair value of investments)
 
             
 
Generally, equity securities are categorized as Level 1, fixed income securities and senior loans are categorized as Level 2
 
 
and securities using fair value methods are categorized as Level 3.
 
             
 
The following is a summary of the inputs used as of July 31, 2011, in valuing the Trust’s investments:
 


 






 






 



   
Level 1
   
Level 2
   
Level 3
   
Total
 
                         
Asset backed securities
  $ -     $ 2,340,952     $ -     $ 2,340,952  
Collaterized mortgage obligations
            2,347,761       -       2,347,761  
Corporate bonds & notes
    -       157,024,939       -       157,024,939  
Convertible bonds & notes
    -       5,196,886       -       5,196,886  
Sovereign debt obligation
    -       1,248,996       -       1,248,996  
Senior Floating rate loan interests
    -       57,283,093       -       57,283,093  
Municipal Bonds
    -       807,440       -       807,440  
Common stock (diversified metals & mining)
    -       -       256,056       256,056  
Common stock (steel)
    -       -       105,430       105,430  
Common stock (systems software)
    -       -       -       -  
Common stock (other industries)
    430,218       5,490       -       435,708  
Convertible preferred stock (other industries)
    458,123       -               458,123  
Preferred stock
    -       584,367               584,367  
Rights/Warrants
    -       17,012       -       17,012  
Temporary cash investments
    855,630       14,440,677       -       15,296,307  
Total
  $ 1,743,971     $ 241,297,613     $ 361,486     $ 243,403,070  
                                 
Other Financial Instruments*
  $ (60,965 )   $ 1,000     $ -     $ (59,965 )
*Other financial instruments include foreign exchange contracts and net unrealized gain on unfunded loan commitments.
 
                                 


 






 


 



*Other financial investments include foreign exchange contracts and net unrealized loss on unfunded loan commitments.
         
The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
         





   
Balance as of 4/30/11
   
Realized gain (loss)
   
Change in unrealized appreciation (depreciation)
   
Net purchases (sales)
   
Transfer in and out of Level 3*
   
Balance as of 7/31/11
 
Common stock (diversified metal and mining)
  $ 256,056     $ -     $ -     $ -     $ -     $ 256,056  
Common stock (steel)
    105,430       -       -       -       -       105,430  
Ending balance
  $ 361,486     $ -     $ -     $ -     $ -     $ 361,486  
                                                 
*Transfers are calculated beginning of period.
                                               

ITEM 2. CONTROLS AND PROCEDURES.

(a) Disclose the conclusions of the registrant's principal executive officer or
officers and principal financial officer or officers, or persons performing
similar functions, about 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 their
evaluation of these controls and procedures required by Rule 30a-3(b)
under the Act (17 CFR270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b)
under the Exchange Act (17 CFR240.13a-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 CFR270.30a-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.

(a) A separate certification for each principal executive officer and principal
financial officer of the registrant as required by Rule 30a-2 under the Act
(17 CFR 270.30a-2).

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/ John F. Cogan, Jr.
John F. Cogan, Jr, President

Date September 29, 2011


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/ John F. Cogan, Jr.
John F. Cogan, Jr., President

Date September 29, 2011



By (Signature and Title)* /s/ Mark Bradley
Mark Bradley, Treasurer

Date September 29, 2011

* Print the name and title of each signing officer under his or her signature.