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

                                   FORM N-Q

                   QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
    OF REGISTERED MANAGEMENT INVESTMENT COMPANY



  Investment Company Act file number 811-21043


                      Pioneer High Income Trust
               (Exact name of registrant as specified in charter)


                       60 State Street, Boston, MA 02109
              (Address of principal executive offices) (ZIP code)


            Dorothy E. Bourassa, 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:  March 31

Date of reporting period:  June 30, 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 30b1-5 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.



         
Pioneer High Income Trust
     
     
 
 
SCHEDULE OF INVESTMENTS 6/30/11 (Consolidated) (unaudited)
 
 
Principal
 
S&P/Moody's
     
 
Amount
 
Ratings
         
 
USD ($)
 
(unaudited)
 
 Value
 
                 
         
ASSET BACKED SECURITIES - 2.7% of Net Assets
     
         
TRANSPORTATION - 0.7%
     
         
Airlines - 0.7%
     
 
          937,446
(a)
B-/Caa2
 
Aviation Capital Group Trust, 0.667%, 11/15/25 (144A)
 
 $             618,714
 
 
       2,000,000
(a)
CCC+/Caa2
Lease Investment Flight Trust, 0.577%, 7/15/31
 
             1,340,000
 
 
       2,368,639
(a)
CCC/Ca
 
Loan Beach Mortgage Loan Trust, 0.376%, 3/25/46
 
                890,215
 
         
Total Transportation
 
 $          2,848,929
 
         
BANKS - 0.8%
     
         
Thrifts & Mortgage Finance - 0.8%
     
 
          531,442
(a)
AA+/Baa2
ACE Securities Corp., 1.086%, 12/25/34
 
 $             401,791
 
 
       1,796,451
(a)
B-/Caa1
 
Aircraft Finance Trust, 0.667%, 5/15/24 (144A)
 
             1,041,941
 
 
            75,278
(a)
B-/Ba3
 
Aircraft Finance Trust, 0.687%, 5/15/24 (144A)
 
                  70,762
 
 
          247,057
(a)
B-/Caa3
 
Amortizing Residential Collateral Trust, 1.461%, 1/25/32
 
                  90,768
 
 
          280,000
(a)
CCC/B2
 
Bear Stearns Asset Backed Securities Trust, 0.636%, 1/25/47
                111,311
 
 
          521,667
(a)
B/Caa1
 
Citigroup Mortgage Loan Trust, Inc., 0.246%, 7/25/45
 
                426,803
 
 
          173,090
(a)
AAA/Caa2
FBR Securitization Trust, 0.886%, 10/25/35
 
                101,766
 
 
          965,000
(a)
BBB/B2
 
Home Equity Asset Trust, 0.296%, 3/25/37
 
                788,635
 
 
          250,000
(a)
CCC/B3
 
Security National Mortgage Loan Trust, 6.55%, 4/25/37 (144A)
                181,250
 
         
Total Banks
 
 $          3,215,027
 
         
DIVERSIFIED FINANCIALS - 0.3%
     
         
Investment Banking & Brokerage - 0.1%
     
 
          500,000
 
BBB-/NR
 
Bear Stearns Commercial Mortgage Securities, 6.94%, 2/15/35 (144A)
 $             493,039
 
         
Specialized Finance - 0.2%
     
 
          850,000
 
BBB-/Baa3
Dominos Pizza Master Issuer LLC, 5.261%, 4/25/37 (144A)
 
 $             860,625
 
                 
         
Total Diversified Financials
 
 $          1,353,664
 
         
UTILITIES - 0.8%
     
         
Multi-Utilities - 0.8%
     
 
       3,457,388
 
NR/NR
 
Ormat Funding Corp., 8.25%, 12/30/20
 
 $          3,353,666
 
         
Total Utilities
 
 $          3,353,666
 
         
TOTAL ASSET BACKED SECURITIES
     
         
(Cost $10,059,600)
 
 $        10,771,286
 
                 
         
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.6% of Net Assets
 
         
BANKS - 0.6%
     
         
Thrifts & Mortgage Finance - 0.6%
     
 
          293,425
(a)
AA+/Ba3
Carrington Mortgage Loan Trust, 0.306%, 2/25/37
 
 $             279,577
 
 
       1,504,000
(a)
BBB+/Caa2
Carrington Mortgage Loan Trust, 0.386%, 2/25/37
 
                712,159
 
 
          358,383
(a)
CCC/Caa3
Countrywide Alternative Loan Trust, 0.516%, 10/25/35
 
                214,733
 
 
          205,573
(a)
B+/B1
 
JPMorgan Mortgage Trust, 2.97%, 11/25/35
 
                197,559
 
 
          313,589
(a)
D/C
 
Luminent Mortgage Trust, 0.446%, 7/25/36
 
                    6,530
 
 
          757,839
(a)
AAA/Caa1
WaMu Mortgage Pass Through Certificates, 0.416%, 4/25/45
                627,799
 
 
          517,506
(a)
CCC/NR
 
WaMu Mortgage Pass Through Certificates, 5.483%, 12/25/36
                453,017
 
         
Total Banks
 
 $          2,491,374
 
         
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
     
         
(Cost $3,214,118)
 
 $          2,491,374
 
                 
     
 
 
CORPORATE BONDS & NOTES - 105.4% of Net Assets
     
 
 
     
ENERGY - 14.4%
     
         
Coal & Consumable Fuels - 2.8%
     
 
       1,350,000
 
BB/Ba3
 
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
 
 $          1,572,750
 
 
       2,329,000
 
BB-/B1
 
Drummond Co., Inc., 9.0%, 10/15/14 (144A)
 
             2,451,272
 
 
       3,890,000
 
B/Caa1
 
Foresight Energy LLC, 9.625%, 8/15/17 (144A)
 
             4,128,262
 
 
       1,166,000
 
B/B3
 
Murray Energy Corp., 10.25%, 10/15/15 (144A)
 
             1,224,300
 
 
       1,900,000
 
B-/Caa1
 
Xinergy Corp., 9.25%, 5/15/19 (144A)
 
             1,919,000
 
             
 $        11,295,584
 
         
Integrated Oil & Gas - 0.8%
     
 
       2,740,000
 
BB-/B1
 
Northern Tier Energy LLC, 10.5%, 12/1/17 (144A)
 
 $          3,020,850
 
         
Oil & Gas Drilling - 2.2%
     
NOK
       2,000,000
(a)
NR/NR
 
Aker Drilling ASA, 9.75%, 2/24/16
 
 $             365,300
 
NOK
       3,500,000
 
NR/NR
 
Aker Drilling ASA, 11.0%, 2/24/16
 
                642,537
 
 
       2,462,564
 
NR/NR
 
DDI Holding AS, 9.3%, 1/19/12 (144A)
 
             2,450,251
 
 
          500,000
 
B-/Caa1
 
Hercules Offshore, Inc., 10.5%, 10/15/17 (144A)
 
                522,500
 
 
       1,700,000
 
NR/NR
 
Ocean Rig UDW, Inc., 9.5%, 4/27/16
 
             1,695,750
 
 
       1,085,000
 
B-/B3
 
Offshore Group Investments, Ltd., 11.5%, 8/1/15
 
             1,179,937
 
 
       1,900,000
 
B/NR
 
Pioneer Drilling Co., 9.875%, 3/15/18
 
             2,033,000
 
             
 $          8,889,275
 
         
Oil & Gas Equipment & Services - 3.5%
     
 
       4,073,000
 
B+/B1
 
American Petroleum Tankers LLC, 10.25%, 5/1/15
 
 $          4,256,285
 
 
       3,000,000
 
B+/B3
 
Aquilex Holdings LLC, 11.125%, 12/15/16
 
             2,917,500
 
 
          600,000
(b)
NR/NR
 
DP Producer AS, 0.0%, 12/5/11 (144A)
 
                    6,000
 
 
       3,015,000
 
B-/B2
 
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A)
 
             2,909,475
 
 
       1,260,000
 
NR/Caa1
 
Forbes Energy Services, Ltd., 9.0%, 6/15/19 (144A)
 
             1,241,100
 
 
          238,581
(b)
NR/NR
 
Nexus 1 Pte, Ltd., 10.5%, 3/7/12 (144A)
 
                       238
 
 
          385,386
(b)
NR/NR
 
PetroProd, Ltd., 0.0%, 1/12/12 (144A)
 
                       385
 
 
          820,000
(a)
NR/NR
 
Sevan Marine ASA, 3.417%, 5/14/13  (144A)
 
                656,000
 
 
          800,000
 
NR/NR
 
Sevan Marine ASA, 12.0%, 8/10/15 (144A)
 
                656,000
 
NOK
       4,500,000
 
NR/NR
 
Sevan Marine ASA, 13.25%, 8/10/15
 
                687,733
 
NOK
       6,000,000
 
B/B3
 
Sevan Marine ASA, 14.0%, 12/22/14
 
                525,585
 
             
 $        13,856,301
 
         
Oil & Gas Exploration & Production - 3.7%
     
 
          775,000
 
BB-/B2
 
Berry Petroleum Co., 10.25%, 6/1/14
 
 $             885,437
 
 
          390,000
 
BB-/B1
 
Denbury Resources, Inc., 9.75%, 3/1/16
 
                435,825
 
 
       1,750,000
 
BB-/B2
 
Hilcorp Energy I LP,  9.0%, 6/1/16 (144A)
 
             1,830,937
 
 
          678,000
 
B/B2
 
Linn Energy LLC, 11.75%, 5/15/17
 
                816,990
 
 
       2,400,000
 
B+/NR
 
MIE Holdings Corp., 9.75%, 5/12/16 (144A)
 
             2,364,000
 
 
       2,125,000
(c)
NR/NR
 
Norse Energy Corp. ASA, 8.5%, 7/14/13 (144A)
 
             1,806,250
 
NOK
       2,000,000
 
NR/NR
 
Norwegian Energy Co. AS, 10.25%, 4/27/16
 
                354,117
 
NOK
       5,000,000
 
NR/NR
 
Norwegian Energy Co. AS, 12.9%, 11/20/14
 
                852,678
 
 
       3,660,000
 
B-/B3
 
Quicksilver Resources, Inc., 7.125%, 4/1/16
 
             3,605,100
 
 
       1,497,000
(d)
B-/Caa1
 
Rosetta Resources, Inc., 9.5%, 4/15/18
 
             1,657,927
 
             
 $        14,609,261
 
         
Oil & Gas Refining & Marketing - 0.9%
     
 
       1,000,000
 
BB-/B3
 
Coffeyville Resources LLC, 10.875%, 4/1/17 (144A)
 
 $          1,135,000
 
 
       2,215,000
 
BB+/Ba1
 
Tesoro Corp., 9.75%, 6/1/19
 
             2,475,262
 
             
 $          3,610,262
 
         
Oil & Gas Storage & Transportation - 0.5%
     
 
          350,000
(a)
BB/Ba1
 
Enterprise Products Operating LLC, 8.375%, 8/1/66
 
 $             378,875
 
 
       1,524,000
(a)
BB/Ba1
 
Southern Union Co., 7.2%, 11/1/66
 
             1,417,320
 
             
 $          1,796,195
 
         
Total Energy
 
 $        57,077,728
 
 
 
     
MATERIALS - 18.2%
     
         
Aluminum - 0.6%
     
 
       1,031,694
(a)(e)
B/B2
 
Noranda Aluminum Acquisition Corp., 4.417%, 5/15/15
 
 $             980,109
 
 
       1,320,000
 
B/B2
 
Novelis, Inc., 8.75%, 12/15/20
 
             1,425,600
 
             
 $          2,405,709
 
 
 
     
Commodity Chemicals - 2.5%
     
 
       3,250,000
 
NR/WR
 
Basell Finance Co., 8.1%, 3/15/27 (144A)
 
 $          3,623,750
 
 
       1,350,000
 
CCC+/NR
Hexion US Finance Corp., 9.0%, 11/15/20
 
             1,383,750
 
 
       4,500,000
 
BBB-/Ba1
Methanex Corp., 8.75%, 8/15/12
 
             4,780,471
 
             
 $          9,787,971
 
         
Construction Materials - 2.1%
     
 
       5,690,000
 
CCC+/B3
 
AGY Holding Corp., 11.0%, 11/15/14
 
 $          5,462,400
 
 
       3,000,000
 
B/Caa2
 
Texas Industries, Inc., 9.25, 8/15/20
 
             2,902,500
 
             
 $          8,364,900
 
         
Diversified Chemicals - 1.6%
     
EURO
          350,000
 
CCC/Caa3
Ineos Group Holdings Plc, 7.875%, 2/15/16 (144A)
 
 $             493,492
 
 
       2,625,000
(d)
CCC/Caa2
Ineos Group Holdings Plc, 8.5%, 2/15/16 (144A)
 
             2,592,187
 
 
       1,775,000
 
NR/NR
 
Kinove German Bondco GmbH, 9.625, 6/15/18 (144A)
 
             1,850,437
 
EURO
          950,000
 
NR/Caa1
 
Momentive Performance Materials, Inc., 9.5%, 1/15/21
 
             1,363,583
 
             
 $          6,299,699
 
                 
         
Diversified Metals & Mining - 1.4%
     
 
       2,180,000
(b)
NR/WR
 
Aleris International, Inc., 10.0%, 12/15/16
 
 $                    218
 
 
          625,000
 
B-/NR
 
Mirabela Nickel, Ltd., 8.75%, 4/15/18 (144A)
 
                621,875
 
 
       4,070,000
 
BBB/Baa2
Teck Resources, Ltd., 10.25%, 5/15/16
 
             4,863,650
 
             
 $          5,485,743
 
                 
                 
         
Metal & Glass Containers - 1.4%
     
 
       1,500,000
(e)
B-/Caa1
 
Ardagh Group SA, 11.125%, 6/1/18 (144A)
 
 $          1,489,443
 
 
       1,450,000
 
CCC+/B3
 
BWAY Holdings Co., 10.0%, 6/15/18
 
             1,582,312
 
 
       2,534,124
(e)
CCC+/Caa1
BWAY Holdings Co., 10.125%, 11/1/15 (144A)
 
             2,534,123
 
             
 $          5,605,878
 
         
Paper Packaging - 4.5%
     
 
       2,000,000
 
CCC/Caa1
Berry Plastics Corp., 9.5%, 5/15/18
 
 $          1,985,000
 
 
       2,657,034
(c)(e)
NR/NR
 
Corp Durango SAB de CV, 6.0%, 8/27/16
 
             2,431,186
 
 
       2,795,000
 
CCC+/Caa1
Graham Packaging Co., 9.875%, 10/15/14
 
             2,868,369
 
 
       3,847,000
(d)
B+/B2
 
Graphic Packaging International, Inc., 9.5%, 8/15/13
 
             3,885,470
 
 
       2,500,000
 
B/B3
 
Pretium Packaging LLC, 11.5%, 4/1/16 (144A)
 
             2,531,250
 
 
       2,250,000
 
B/B3
 
U.S. Corrugated, Inc., 10.0%, 6/1/13
 
             2,227,500
 
 
       2,220,000
 
CCC+/Caa1
Exopack Holdings Corp., 10.0%, 6/1/18 (144A)
 
             2,203,350
 
             
 $        18,132,125
 
         
Paper Products - 1.5%
     
 
       1,685,000
 
B+/B1
 
ABI Escrow Corp., 10.25%, 10/15/18 (144A)
 
 $          1,824,013
 
 
       2,000,000
 
B+/B1
 
Appleton Papers, Inc., 10.5%, 6/15/15 (144A)
 
             2,085,000
 
 
          600,000
 
CCC+/B3
 
Appleton Papers, Inc., 11.25%, 12/15/15
 
                606,000
 
 
          405,000
 
BB/Ba3
 
Clearwater Paper Corp., 10.625%, 6/15/16
 
                454,106
 
 
          776,000
 
B/B3
 
Mercer International, Inc., 9.5%, 12/1/17
 
                832,260
 
             
 $          5,801,379
 
         
Specialty Chemicals - 0.2%
     
 
          575,000
(d)
B/B1
 
Vertellus Specialties, Inc., 9.375%, 10/1/15 (144A)
 
 $             595,125
 
         
Steel - 2.4%
     
 
       4,660,000
 
CCC+/Caa2
Algoma Acquisition Corp., 9.875%, 6/15/15 (144A)
 
 $          4,333,800
 
 
       1,100,000
 
B+/B3
 
Atkore International, Inc., 9.875%, 1/1/18 (144A)
 
             1,155,000
 
 
       2,400,000
 
BBB-/Ba1
CSN Islands VIII Corp., 9.75%, 12/16/13 (144A)
 
             2,778,000
 
 
       1,250,000
 
B/B3
 
Severstal Columbus LLC, 10.25%, 2/15/18
 
             1,381,250
 
             
 $          9,648,050
 
         
Total Materials
 
 $        72,126,579
 
         
CAPITAL GOODS - 8.2%
     
         
Aerospace & Defense - 2.1%
     
 
       3,300,000
(d)
B/B3
 
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
 
 $          3,489,750
 
 
       1,465,000
 
BB/Ba3
 
BE Aerospace, Inc., 8.5%, 7/1/18
 
             1,598,681
 
 
          570,000
 
BBB-/Ba3
Digitalglobe, Inc., 10.5%, 5/1/14
 
                633,412
 
 
       1,984,000
 
B-/B2
 
DynCorp International, Inc., 10.375%, 7/1/17 (144A)
 
             2,033,600
 
 
          295,000
 
BB-/Ba3
 
GeoEye, Inc., 9.625%, 10/1/15
 
                333,350
 
             
 $          8,088,793
 
         
Building Products - 1.0%
     
 
       1,935,000
(b)
NR/WR
 
Industrias Unidas SA de CV, 11.5%, 11/15/16 (144A)
 
 $          1,712,475
 
 
       2,375,000
 
B-/Caa1
 
New Enterprise Stone & Lime Co., 11.0%, 9/1/18 (144A)
 
             2,196,875
 
             
 $          3,909,350
 
         
Construction & Engineering - 0.3%
     
 
       1,500,000
 
B+/Ba3
 
Abengoa Finance SAU, 8.875%, 11/1/17 (144A)
 
 $          1,531,874
 
         
Construction & Farm Machinery & Heavy Trucks - 0.4%
     
 
          570,000
 
B+/Caa1
 
American Railcar Industries, Inc., 7.5%, 3/1/14
 
 $             582,825
 
 
          774,000
(d)
B+/B3
 
Manitowoc Co., Inc., 9.5%, 2/15/18
 
                840,758
 
             
 $          1,423,583
 
         
Electrical Components & Equipment - 0.5%
     
 
       2,000,000
 
B/B2
 
WireCo WorldGroup, 9.5%, 5/15/17 (144A)
 
 $          2,110,000
 
         
Industrial Conglomerates - 0.3%
     
 
       1,475,000
 
B-/NR
 
Little Traverse Bay Bands of Odawa Indians,  9.0%, 8/31/20 (144A)
 $          1,283,250
 
         
Industrial Machinery - 2.2%
     
 
       3,180,000
(b)
NR/WR
 
Indalex Holding Corp., 11.5%, 2/1/14
 
 $               51,675
 
 
       1,080,000
 
B/B3
 
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
 
             1,128,600
 
 
       5,170,000
(d)
CCC+/B3
 
Mueller Water Products, Inc., 7.375%, 6/1/17
 
             4,859,800
 
 
       2,440,000
 
B+/NR
 
WPE International Cooperatief, 10.375%, 9/30/20 (144A)
 
             2,586,399
 
             
 $          8,626,474
 
         
Trading Companies & Distributors - 1.4%
     
 
       1,790,000
 
B-/B3
 
Intcomex, Inc., 13.25%, 12/15/14
 
             1,830,275
 
 
       3,370,000
 
B/B1
 
Wesco Distribution, Inc., 7.5%, 10/15/17
 
             3,420,550
 
             
 $          5,250,825
 
         
Total Capital Goods
 
 $        32,224,149
 
                 
         
COMMERCIAL & PROFESSIONAL SERVICES - 2.1%
     
         
Diversified Support Services - 0.9%
     
 
              4,450
(f)
NR/Caa1
 
MSX International UK, 12.5%, 4/1/12 (144A)
 
 $          3,738,000
 
         
Environmental & Facilities Services - 0.4%
     
 
          892,000
 
CCC+/B3
 
Brickman Group Holdings, Inc., 9.125%, 11/1/18 (144A)
 
 $             898,690
 
 
          315,000
 
BB-/B2
 
Casella Waste Systems, Inc., 11.0%, 7/15/14
 
                350,437
 
 
       1,275,000
(a)(b)(g)
NR/NR
 
Ohio Air Quality Development Authority Revenue, 7.29%, 6/8/22 (144A)
                133,492
 
             
 $          1,382,619
 
         
Security & Alarm Services - 0.8%
     
 
       3,175,000
 
CCC+/Caa1
WP Rocket Merger Sub, Inc., 10.125%, 7/15/19 (144A)
 
 $          3,206,750
 
         
Total Commercial & Professional Services
 
 $          8,327,369
 
         
TRANSPORTATION - 2.5%
     
         
Air Freight & Logistics - 1.3%
     
 
          500,000
 
B/B2
 
AMGH Merger Sub, Inc., 9.25%, 11/1/18 (144A)
 
 $             527,500
 
EURO
          272,000
 
NR/NR
 
CEVA Group Plc, 10.0%, 12/1/16 (144A)
 
                365,768
 
 
       3,351,000
(d)
CCC+/Caa1
CEVA Group Plc, 11.5%, 4/1/18 (144A)
 
             3,526,928
 
 
          720,000
 
CCC+/Caa1
CEVA Group Plc, 11.625%, 10/1/16 (144A)
 
                783,000
 
             
 $          5,203,196
 
         
Airlines - 0.2%
     
 
          881,000
 
BB-/Ba2
 
Delta Airlines, Inc., 9.5%, 9/15/14 (144A)
 
 $             939,366
 
         
Railroads - 0.2%
     
 
          900,000
(e)
CCC/Caa3
Florida East Coast Holdings Corp., 10.5%, 8/1/17 (144A)
 
 $             897,000
 
         
Trucking - 0.8%
     
 
       1,375,000
(d)
B-/Caa1
 
Swift Services Holdings, Inc., 10.0%, 11/15/18
 
 $          1,454,063
 
 
       1,430,000
 
B/B3
 
Syncreon Global Ireland, Ltd., 9.5%, 5/1/18 (144A)
 
             1,472,900
 
             
 $          2,926,963
 
         
Total Transportation
 
 $          9,966,525
 
         
AUTOMOBILES & COMPONENTS - 4.0%
     
         
Auto Parts & Equipment - 3.8%
     
 
       1,250,000
 
CCC+/Caa1
Allison Transmission, Inc., 11.0%, 11/1/15 (144A)
 
 $          1,331,250
 
 
       2,761,300
(e)
NR/Caa1
 
Allison Transmission, Inc., 11.25%, 11/1/15 (144A)
 
             2,982,204
 
 
       1,140,000
 
B/B3
 
International Automotive Components Group S.L., 9.125%, 6/1/18 (144A)
             1,165,650
 
 
          950,000
 
B+/B1
 
Pinafore LLC, 9.0%, 10/1/18 (144A)
 
             1,023,625
 
 
       4,760,000
 
CCC/Caa1
Stanadyne Corp., 10.0%, 8/15/14
 
             4,843,300
 
 
       1,500,000
 
CCC-/Caa3
Stanadyne Corp., 12.0%, 2/15/15
 
             1,533,750
 
 
       1,779,000
(d)
B+/B1
 
Tower Automotive Holdings USA LLC, 10.625%, 9/1/17 (144A)
             1,916,873
 
             
 $        14,796,652
 
         
Tires & Rubber - 0.2%
     
 
          756,000
 
B+/B1
 
Goodyear Tire & Rubber Co., 10.5%, 5/15/16
 
 $             850,500
 
         
Total Automobiles & Components
 
 $        15,647,152
 
         
CONSUMER DURABLES & APPAREL - 6.1%
     
         
Homebuilding - 1.6%
     
 
       3,115,000
 
CCC/Caa2
Beazer Homes USA, Inc., 9.125%, 6/15/18
 
 $          2,686,688
 
 
          750,000
 
CCC/Caa2
Beazer Homes USA, Inc., 9.125%, 5/15/19 (144A)
 
                645,000
 
 
       3,060,000
 
B+/B1
 
Meritage Homes Corp., 6.25%, 3/15/15
 
             3,014,100
 
             
 $          6,345,788
 
         
Housewares & Specialities - 2.8%
     
 
       1,435,000
 
B/B2
 
Jarden Corp., 7.5%, 5/1/17
 
 $          1,490,606
 
 
       3,000,000
 
B-/Caa1
 
Reynolds Group Holdings, Ltd., 9.0%, 4/15/19 (144A)
 
             2,962,500
 
 
       3,690,000
(d)
B/B2
 
Yankee Acquisition Corp., 8.5%, 2/15/15
 
             3,800,700
 
 
       1,500,000
 
CCC+/B3
 
Yankee Acquisition Corp., 9.75%, 2/15/17
 
             1,578,750
 
 
       1,425,000
(e)
CCC+/Caa1
YCC Holdings LLC, 10.25%, 2/15/16 (144A)
 
             1,428,563
 
             
 $        11,261,119
 
         
Leisure Products - 1.7%
     
EURO
       1,850,000
 
CCC+/Caa2
Heckler & Koch GmbH, 9.5%, 5/15/18 (144A)
 
 $          2,548,110
 
 
       4,000,000
 
B-/B2
 
Icon Health & Fitness, Inc., 11.875%, 10/15/16 (144A)
 
             4,080,000
 
             
 $          6,628,110
 
         
Total Consumer Durables & Apparel
 
 $        24,235,017
 
                 
         
CONSUMER SERVICES - 3.6%
     
         
Buisness Services - 0.7%
     
 
       2,600,000
 
B-/Caa2
 
Sitel LLC/Sitel Finance Corp., 11.5%, 4/1/18
 
 $          2,379,000
 
         
Casinos & Gaming - 0.7%
     
 
       1,650,000
(b)
NR/WR
 
Buffalo Thunder Development Authority, 9.375%, 12/15/14 (144A)
 $             651,750
 
 
          975,000
 
B+/B2
 
FireKeepers Development Authority, 13.875%, 5/1/15 (144A)
             1,126,125
 
 
       1,375,000
(b)
NR/WR
 
Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (144A)
                123,750
 
 
          401,000
(d)
B/Caa1
 
Pinnacle Entertainment, Inc., 8.75%, 5/15/20
 
                420,048
 
 
          740,000
 
CCC/Caa2
Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (144A)
                510,600
 
             
 $          2,832,273
 
         
Education Services - 0.1%
     
 
          555,000
 
B/B2
 
Cambium Learning Group, Inc., 9.75%, 2/15/17 (144A)
 
 $             549,450
 
         
Hotels, Resorts & Cruise Lines - 0.4%
     
 
       1,500,000
 
B-/B3
 
Seven Seas Cruises S de RL LLC, 9.125%, 5/15/19 (144A)
 
 $          1,545,000
 
         
Restaurants - 1.1%
     
 
       4,055,000
(c)(d)
CCC+/Caa1
Burger King Capital Holdings LLC, 0.0%, 4/15/19  (144A)
 
 $          2,341,763
 
 
       1,400,000
(d)
B-/B3
 
Burger King Corp., 9.875%, 10/15/18
 
             1,491,000
 
 
          705,000
 
CCC+/Caa2
Dunkin Finance Corp., 9.625%, 12/1/18 (144A)
 
                711,162
 
             
 $          4,543,925
 
         
Specialized Consumer Services - 0.6%
     
 
          500,000
 
BB/Ba3
 
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.625%, 3/15/18
 $             533,750
 
 
       1,750,000
 
B-/B3
 
Stonemor Operating LLC, 10.25%, 12/1/17
 
             1,741,250
 
             
 $          2,275,000
 
         
Total Consumer Services
 
 $        14,124,648
 
         
MEDIA - 6.4%
     
         
Advertising - 1.5%
     
 
       2,900,000
(d)
B-/B3
 
Affinity Group, Inc., 11.5%, 12/1/16 (144A)
 
 $          3,045,000
 
 
       2,690,000
 
B+/B2
 
MDC Partners, Inc., 11.0%, 11/1/16
 
             3,016,163
 
             
 $          6,061,163
 
         
Broadcasting - 2.7%
     
 
          970,000
 
NR/WR
 
Hughes Network Systems LLC, 9.5%, 4/15/14
 
 $             994,250
 
 
       4,320,000
 
NR/WR
 
Hughes Network Systems LLC, 9.5%, 4/15/14
 
             4,428,000
 
 
       3,638,075
(e)
CCC+/Caa3
Intelsat Bermuda, Ltd., 11.5%, 2/4/17
 
             3,910,931
 
 
          535,000
 
B-/Caa1
 
Telesat Canada, 11.0%, 11/1/15
 
                585,156
 
 
          800,000
 
B-/Caa1
 
Telesat Canada, 12.5%, 11/1/17
 
                960,000
 
             
 $        10,878,337
 
         
Cable - 0.9%
     
 
       1,096,054
 
B/B2
 
CCH II LLC/CCH II Capital Corp., 13.5%, 11/30/16
 
 $          1,290,604
 
 
       1,500,000
(d)
CCC+/Caa2
Ono Finance II PLC, 10.875%, 7/15/19 (144A)
 
             1,597,500
 
EURO
          350,000
 
NR/NR
 
Ono Finance II PLC, 11.125%, 7/15/19 (144A)
 
                530,282
 
             
 $          3,418,386
 
         
Movies & Entertainment - 0.9%
     
 
       2,765,000
 
CCC+/Caa1
AMC Entertainment Holdings, Inc., 9.75%, 12/1/20 (144A)
 
 $          2,827,213
 
 
          600,000
 
B-/B3
 
Production Resource Group, Inc., 8.875%, 5/1/19 (144A)
 
                595,500
 
 
 
 
 
 
 
 
 $          3,422,713
 
         
Publishing - 0.4%
     
 
          400,000
 
B-/Caa1
 
Interactive Data Corp., 10.25%, 8/1/18 (144A)
 
 $             435,000
 
 
       1,400,000
 
CCC+/Caa2
TL Acquisitions, Inc., 10.5%, 1/15/15 (144A)
 
             1,267,000
 
             
 $          1,702,000
 
         
Total Media
 
 $        27,861,599
 
         
RETAILING - 3.4%
     
         
Automotive Retailing - 0.2%
     
 
          640,000
(d)
B-/Caa1
 
Sonic Automotive, Inc., 8.625%, 8/15/13
 
 $             644,800
 
         
Distributors - 0.8%
     
 
       2,862,000
 
B/B3
 
Minerva Overseas II, Ltd., 10.875%, 11/15/19 (144A)
 
 $          3,144,623
 
         
Internet Retailing - 1.2%
     
 
       4,340,000
 
B/B3
 
Ticketmaster Entertainment, Inc., 10.75%, 8/1/16
 
 $          4,730,600
 
         
Specialty Stores - 1.2%
     
 
       4,615,000
(d)
B+/B3
 
Sally Holdings LLC, 10.5%, 11/15/16
 
 $          4,926,513
 
         
Total Retailing
 
 $        13,446,536
 
 
 
     
FOOD, BEVERAGE & TOBACCO - 5.4%
 
 
 
         
Agricultural Products - 1.6%
     
 
       5,622,000
 
B+/B3
 
Southern States Cooperative, Inc., 11.25%, 5/15/15 (144A)
 
 $          6,127,980
 
         
Brewers - 1.6%
     
 
       5,885,000
 
 A-/A3
 
 Cia Brasileira de Bebida, 10.5%, 12/15/11
 
 $          6,135,113
 
         
Packaged Foods & Meats - 1.4%
     
 
          775,000
 
NR/B1
 
Bertin, Ltd., 10.25%, 10/5/16 (144A)
 
 $             852,500
 
 
       1,500,000
 
B-/B3
 
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
             1,503,750
 
 
          500,000
 
B+/B1
 
Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A)
 
                521,900
 
 
       3,000,000
(d)
BB-/Caa1
Pilgrim's Pride Corp., 7.875%, 12/15/18 (144A)
 
             2,775,000
 
             
 $          5,653,150
 
         
Tobacco - 0.8%
     
 
       3,450,000
 
B/B2
 
Alliance One International, Inc., 10.0%, 7/15/16
 
 $          3,329,250
 
         
Total Food, Beverage & Tobacco
 
 $        21,245,493
 
                 
         
HOUSEHOLD & PERSONAL PRODUCTS - 0.3%
     
         
Personal Products - 0.3%
     
 
       1,050,000
 
B/B2
 
Revlon Consumer Products Corp., 9.75%, 11/15/15
 
 $          1,128,750
 
         
Total Household & Personal Products
 
 $          1,128,750
 
         
HEALTH CARE EQUIPMENT & SERVICES - 5.7%
     
         
Health Care Equipment & Services - 0.7%
     
 
       3,000,000
 
CCC+/Caa2
Accellent, Inc., 10.0%, 11/1/17
 
 $          2,925,000
 
         
Health Care Facilities - 1.4%
     
 
          535,000
 
B-/B3
 
HCA, Inc., 6.25%, 2/15/13
 
 $             553,725
 
 
       3,308,147
(e)
BB-/B2
 
HCA, Inc., 9.625%, 11/15/16
 
             3,478,356
 
 
            84,000
 
BB-/B2
 
HCA, Inc., 9.875%, 2/15/17
 
                  93,450
 
 
       2,100,000
 
CCC+/Caa1
Vanguard Health Systems, Inc., 0.0%, 2/1/16
 
             1,383,375
 
             
 $          5,508,906
 
         
Health Care Services - 2.2%
     
 
       1,987,000
 
B-/Caa1
 
Bioscrip, Inc., 10.25%, 10/1/15
 
 $          2,073,931
 
 
       2,527,000
 
B-/NR
 
Gentiva Health Services, Inc., 11.5%, 9/1/18
 
             2,665,985
 
 
       3,725,000
 
CCC+/Caa1
Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)
 
             3,846,063
 
             
 $          8,585,979
 
         
Health Care Supplies - 1.4%
     
 
       1,000,000
 
B/Caa1
 
Bausch & Lomb, Inc., 9.875%, 11/1/15
 
 $          1,060,000
 
 
       4,085,000
(e)
B-/B3
 
Biomet, Inc., 10.375%, 10/15/17
 
             4,513,925
 
             
 $          5,573,925
 
         
Total Health Care Equipment & Services
 
 $        22,593,810
 
         
PHARMACEUTICALS & BIOTECHNOLOGY & LIFE SCIENCES - 2.3%
 
         
Biotechnology - 1.2%
     
 
       1,200,000
 
B/Caa1
 
ConvaTec Healthcare E SA, 10.5%, 12/15/18 (144A)
 
 $          1,242,000
 
 
       3,354,000
 
B+/B3
 
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17
 
             3,437,850
 
             
 $          4,679,850
 
         
Life Sciences Tools & Services - 0.7%
     
 
          961,893
(e)
B/Caa1
 
Catalent Pharma Solutions, Inc., 9.5%, 4/15/15
 
 $             961,893
 
 
       1,344,000
 
B+/B3
 
PharmaNet Development Group, Inc., 10.875%, 4/15/17 (144A)
             1,680,000
 
             
 $          2,641,893
 
         
Pharmaceuticals - 0.4%
     
 
       2,020,000
(d)
NR/NR
 
KV Pharmaceutical Co., 12.0%, 3/15/15  (144A)
 
 $          1,840,725
 
         
Total Pharmaceuticals & Biotechnology & Life Sciences
 
 $          9,162,468
 
         
BANKS - 1.4%
     
         
Diversified Banks - 0.4%
     
 
       1,265,000
(a)(h)
BB+/Ba3
 
ABN AMRO North American Holding Preferred Capital Repackaging Trust I, 6.523%  (144A)
 $          1,170,125
 
 
          400,000
(a)
NR/Ba2
 
Banco Macro SA, 10.75%, 6/7/12
 
                296,000
 
             
 $          1,466,125
 
         
Regional Banks - 1.0%
     
 
       1,225,000
(a)(h)
BBB/Baa3
PNC Financial Services Group, Inc., 8.25%
 
 $          1,295,730
 
 
       1,790,000
(a)(h)
BBB+/Baa1
State Street Capital Trust III, 5.237%
 
             1,790,788
 
 
          750,000
(a)(d)(h)
A-/Baa3
 
Wells Fargo Capital XV, 9.75%
 
                791,250
 
             
 $          3,877,768
 
         
Total Banks
 
 $          5,343,893
 
         
DIVERSIFIED FINANCIALS - 3.2%
     
         
Asset Management & Custody Banks - 0.3%
     
 
          975,000
(c)
BBB-/Baa3
Janus Capital Group, Inc., 6.7%, 6/15/17
 
 $          1,068,850
 
         
Investment Banking & Brokerage - 0.5%
     
 
       2,325,000
(a)(h)
BBB-/Baa2
Goldman Sachs Capital II, 5.793%
 
 $          1,860,000
 
         
Multi-Sector Holdings - 0.6%
     
 
       2,200,000
 
B/B2
 
Constellation Enterprises LLC, 10.625%, 2/1/16 (144A)
 
 $          2,246,750
 
         
Specialized Finance - 1.8%
     
 
          500,000
 
BB/Baa3
 
Capital One Capital V, 10.25%, 8/15/39
 
 $             530,000
 
 
          695,000
 
B+/B2
 
National Money Mart Co., 10.375%, 12/15/16
 
                762,763
 
 
       7,140,000
(d)
CCC-/Caa3
NCO Group, Inc., 11.875%, 11/15/14
 
             6,033,300
 
             
 $          7,326,063
 
         
Total Diversified Financials
 
 $        12,501,663
 
                 
         
INSURANCE - 7.2%
     
         
Insurance Brokers - 3.3%
     
 
       3,305,000
 
CCC/Caa1
Alliant Holdings I, Inc., 11.0%, 5/1/15 (144A)
 
 $          3,495,038
 
 
          100,000
 
CCC+/B3
 
HUB International Holdings, Inc., 9.0%, 12/15/14 (144A)
 
                102,000
 
 
       4,455,000
 
CCC+/Caa1
HUB International Holdings, Inc., 10.25%, 6/15/15 (144A)
 
             4,532,963
 
GBP
          725,000
 
NR/NR
 
Towergate Finance PLC, 10.5%, 2/15/19 (144A)
 
             1,158,132
 
 
       2,286,000
(a)
CCC/B3
 
U.S.I. Holdings Corp., 4.136%, 11/15/14 (144A)
 
             2,125,980
 
 
       1,610,000
 
CCC/Caa1
U.S.I. Holdings Corp., 9.75%, 5/15/15 (144A)
 
             1,614,025
 
             
 $        13,028,138
 
         
Multi-Line Insurance - 1.4%
     
 
       3,075,000
(a)
BB/Baa3
 
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (144A)
 
 $          4,082,063
 
 
       1,100,000
 
BBB/Baa2
MetLife, Inc., 10.75%, 8/1/69
 
             1,548,250
 
             
 $          5,630,313
 
         
Property & Casualty Insurance - 1.4%
     
 
       5,300,000
 
BBB-/Baa3
Allmerica Financial Corp., 7.625%, 10/15/25
 
 $          5,523,024
 
 
          120,000
(a)(h)
BB/Ba2
 
White Mountains Insurance Group, Ltd., 7.506% (144A)
 
                114,491
 
             
 $          5,637,515
 
         
Reinsurance - 1.1%
     
 
          375,000
(a)
BB+/NR
 
Blue Fin, Ltd., 4.693% 4/10/12 (144A)
 
 $             375,938
 
 
          350,000
(a)
BB+/NR
 
Foundation Re III, Ltd., 5.02%, 2/25/15 (144A)
 
                344,365
 
 
          250,000
(a)
BB/NR
 
Ibis Re, Ltd., 10.497%, 5/10/12 (144A)
 
                256,050
 
 
          800,000
(a)
BB/NR
 
Lodestone Re, Ltd., 7.27%, 1/8/14, (144A)
 
                786,000
 
 
          700,000
(a)
BB-/NR
 
LOMA Reinsurance, Ltd., 9.724%, 12/21/12 (144A)
 
                696,710
 
 
          300,000
(a)
B-/NR
 
Montana Re, Ltd., 13.502%, 12/7/12 (144A)
 
                288,630
 
 
          500,000
(a)
BB-/NR
 
Queen Street II Capital, Ltd., 7.52%, 4/9/14 (144A)
 
                494,100
 
 
          450,000
(a)
B-/NR
 
Residential Reinsurance 2011, Ltd., 12.02%, 6/6/15 (144A)
 
                448,110
 
 
          500,000
(a)
NR/NR
 
Successor X, Ltd., 13.0%, 2/25/14 (144A)
 
                488,450
 
             
 $          4,178,353
 
         
Total Insurance
 
 $        28,474,319
 
         
REAL ESTATE - 1.3%
     
         
Real Estate Operating Companies - 1.3%
     
 
            98,266
(a)
B/NR
 
Alto Palermo SA, 11.0%, 6/11/12 (144A)
 
 $               42,254
 
 
       5,000,000
 
B-/B3
 
Forest City Enterprises, Inc., 7.625%, 6/1/15
 
             4,900,000
 
         
Total Real Estate
 
 $          4,942,254
 
         
SOFTWARE & SERVICES - 2.9%
     
         
Application Software - 0.9%
     
 
       1,710,000
 
B/B3
 
Allen Systems Group, Inc., 10.5%, 11/15/16 (144A)
 
 $          1,718,550
 
 
       1,870,000
 
B-/Caa1
 
Vangent, Inc., 9.625%, 2/15/15
 
             1,888,700
 
             
 $          3,607,250
 
         
Data Processing & Outsourced Services - 1.0%
     
 
       1,783,000
 
B-/Caa1
 
First Data Corp., 8.25%, 1/15/21 (144A)
 
 $          1,747,340
 
 
          399,000
 
B-/Caa1
 
First Data Corp., 9.875%, 9/24/15
 
                409,973
 
 
       1,783,000
 
B-/Caa1
 
First Data Corp., 12.625%, 1/15/21 (144A)
 
             1,907,810
 
             
 $          4,065,123
 
         
Systems Software - 1.0%
 
 
 
 
       4,021,206
(e)
NR/NR
 
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A)
 
 $          3,860,358
 
         
Total Software & Services
 
 $        11,532,731
 
         
TECHNOLOGY HARDWARE & EQUIPMENT - 0.2%
     
         
Computer Storage & Peripherals - 0.2%
     
 
          580,000
 
BBB/Baa3
Seagate Technology International, 10.0%, 5/1/14 (144A)
 
 $             672,800
 
         
Total Technology Hardware & Equipment
 
 $             672,800
 
         
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.0%
   
         
Semiconductors - 0.0%
     
CNY
       1,000,000
 
BBB/Baa1
LDK Solar Co., Ltd., 10.0%, 2/28/14
 
 $             146,980
 
         
Total Semiconductors & Semiconductor Equipment
 
 $             146,980
 
                 
         
TELECOMMUNICATION SERVICES - 4.8%
     
         
Alternative Carriers - 2.1%
     
 
       2,210,000
 
B/B2
 
Global Crossing, Ltd., 12.0%, 9/15/15
 
 $          2,574,650
 
 
       1,000,000
 
B/Ba3
 
Paetec Holding Corp., 8.875%, 6/30/17
 
             1,050,000
 
 
       3,865,000
(d)
CCC+/Caa1
Paetec Holding Corp., 9.5%, 7/15/15
 
             4,009,938
 
 
          600,000
 
CCC+/Caa1
Paetec Holding Corp., 9.875%, 12/1/18 (144A)
 
                621,750
 
             
 $          8,256,338
 
         
Integrated Telecommunication Services - 1.9%
     
 
       1,100,000
 
B/NR
 
Bakrie Telecom PTE, Ltd., 11.5%, 5/7/15 (144A)
 
 $          1,127,500
 
 
       4,295,000
 
B-/Caa1
 
Broadview Networks Holdings, Inc., 11.375%, 9/1/12
 
             4,069,513
 
 
       2,539,000
(d)
CCC+/B3
 
Cincinnati Bell, Inc., 8.75%, 3/15/18
 
             2,412,050
 
             
 $          7,609,063
 
         
Wireless Telecommunication Services - 0.8%
     
 
       3,020,000
 
B-/B2
 
True Move Co., Ltd., 10.75%, 12/16/13 (144A)
 
 $          3,257,825
 
         
Total Telecommunication Services
 
 $        19,123,226
 
         
UTILITIES - 2.0%
     
         
Electric Utilities - 1.1%
     
 
          310,000
 
B-/B2
 
Empresa Distribuidora y Comercializadora Note SA, 9.75%, 10/25/22 (144A)
 $             312,325
 
 
          885,000
 
B-/Caa3
 
Energy Future Holdings Corp., 10.0%, 1/15/20
 
                939,392
 
 
       1,000,000
 
BB-/Ba2
 
PNM Resources, Inc., 9.25%, 5/15/15
 
             1,115,000
 
 
          350,000
 
CCC/B2
 
Texas Competitive Electric Holdings Co., LLC, 11.5%, 10/1/20 (144A)
                343,875
 
 
       2,105,000
(d)
CC/Caa3
 
Texas Competitive Electric Holdings Co., LLC, 15.0%, 4/1/21 (144A)
             1,726,100
 
             
 $          4,436,692
 
         
Independent Power Producers & Energy Traders - 0.9%
     
 
       1,800,000
 
BB-/Ba3
 
Intergen NV, 9.0%, 6/30/17 (144A)
 
 $          1,903,500
 
 
       1,500,000
 
NR/B2
 
Star Energy Geothermal (Wayang Windu), Ltd., 11.5%, 2/12/15 (144A)
             1,672,505
 
             
 $          3,576,005
 
 
 
 
 
 
Total Utilities
 
 $          8,012,697
 
         
TOTAL CORPORATE BONDS & NOTES
     
         
(Cost $398,139,664)
 
 $      417,539,386
 
                 
         
CONVERTIBLE BONDS & NOTES - 7.3% of Net Assets
     
 
 
     
ENERGY - 1.8%
     
         
Coal & Consumable Fuels - 0.5%
     
 
       1,905,000
 
BB-/NR
 
Massey Energy Co., 3.25%, 8/1/15
 
 $          2,021,681
 
         
Oil & Gas Drilling - 0.9%
     
 
       2,265,000
(c)
NR/NR
 
Hercules Offshore, Inc., 3.375%, 6/1/38
 
 $          2,112,113
 
 
       1,600,000
(d)
BBB/Baa3
Transocean, Ltd., 1.5%, 12/15/37
 
             1,598,000
 
             
 $          3,710,113
 
         
Oil & Gas Exploration & Production - 0.4%
     
 
       1,340,000
(d)
BB+/Ba3
 
Chesapeake Energy Corp., 2.5%, 5/15/37
 
 $          1,410,350
 
         
Total Energy
 
 $          7,142,144
 
         
MATERIALS - 0.9%
     
         
Diversified Chemicals - 0.9%
     
 
              4,000
(f)
BB-/NR
 
Hercules, Inc., 6.5%, 6/30/29
 
 $          3,680,000
 
         
Total Materials
 
 $          3,680,000
 
         
TRANSPORTATION - 0.7%
     
         
Marine - 0.7%
     
 
       3,511,000
(b)(d)
CC/Ca
 
Horizon Lines, Inc., 4.25%, 8/15/12
 
 $          2,843,910
 
         
Total Transportation
 
 $          2,843,910
 
                 
         
MEDIA - 0.4%
     
         
Movies & Entertainment - 0.4%
     
 
       1,832,000
 
B-/NR
 
Live Nation, Inc., 2.875%, 7/15/27
 
 $          1,722,080
 
         
Total Media
 
 $          1,722,080
 
         
HEALTH CARE EQUIPMENT & SERVICES - 1.6%
     
         
Health Care Equipment & Services - 0.8%
     
 
       2,837,000
(c)(d)
BB+/NR
 
Hologic, Inc., 2.0%, 12/15/37
 
 $          3,241,273
 
         
Health Care Facilities - 0.7%
     
 
       1,985,000
(d)
B/B2
 
LifePoint Hospitals, Inc., 3.25%, 8/15/25
 
 $          2,047,031
 
 
          780,000
 
B/NR
 
LifePoint Hospitals, Inc., 3.5%, 5/15/14
 
                834,600
 
             
 $          2,881,631
 
         
Health Care Services - 0.1%
     
 
          361,000
 
B+/B2
 
Omnicare, Inc., 3.25%, 12/15/35
 
 $             345,206
 
         
Total Health Care Equipment & Services
 
 $          6,468,110
 
         
TECHNOLOGY HARDWARE & EQUIPMENT - 0.4%
     
         
Electronic Equipment & Instruments - 0.4%
     
 
       1,514,000
 
B/NR
 
L-1 Identity Solutions, Inc., 3.75%, 5/15/27
 
 $          1,510,215
 
         
Total Technology Hardware & Equipment
 
 $          1,510,215
 
         
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.5%
 
         
Semiconductors - 0.5%
     
 
          500,000
 
NR/NR
 
JA Solar Holdings Co., Ltd., 4.5%, 5/15/13
 
 $             460,000
 
 
       1,569,000
 
NR/NR
 
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13
 
             1,355,224
 
         
Total Semiconductors & Semiconductor Equipment
 
 $          1,815,224
 
         
TELECOMMUNICIATON SERVICES - 1.0%
     
         
Alternative Carriers - 1.0%
     
 
       3,025,000
 
B-/B3
 
Time Warner Telecom, Inc., 2.375%, 4/1/26
 
 $          3,709,406
 
         
Total Telecommunication Services
 
 $          3,709,406
 
         
TOTAL CONVERTIBLE BONDS & NOTES
     
         
(Cost $20,342,445)
 
 $        28,891,089
 
                 
         
MUNICIPAL BONDS - 5.3% of Net Assets
     
         
Indiana  - 1.5%
     
 
       1,650,000
 
NR/Baa3
 
East Chicago Industrial Pollution Control Revenue, 7.0%, 1/1/14
 $          1,590,914
 
 
       4,250,000
 
BBB-/WR
Indiana Development Finance Authority Revenue, 5.75%, 10/1/11
             4,261,858
 
             
 $          5,852,772
 
         
New Jersey - 1.1%
     
 
       4,525,000
 
B/B3
 
New Jersey Economic Development Authority Revenue, 7.0%, 11/15/30
 $          4,513,552
 
         
New York - 0.9%
     
 
       3,475,000
 
BB-/B1
 
New York City Industrial Development Agency Revenue, 7.625%, 12/1/32
 $          3,506,935
 
         
North Carolina  - 1.8%
     
 
       6,300,000
 
NR/NR
 
Charlotte Special Facilities Refunding Revenue, 5.6%, 7/1/27
 $          5,507,271
 
 
       1,670,000
 
NR/NR
 
Charlotte Special Facilities Refunding Revenue, 7.75%, 2/1/28
             1,656,456
 
             
 $          7,163,727
 
         
TOTAL MUNICIPAL BONDS
     
         
(Cost $16,904,459)
 
 $        21,036,986
 
                 
         
MUNICIPAL COLLATERALIZED DEBT OBLIGATION - 0.5% of Net Assets
 
 
       3,300,000
(a)(i)
NR/NR
 
Non-Profit Preferred Funding Trust I, 12.0%, 9/15/37 (144A)
 $          2,070,651
 
         
TOTAL MUNICIPAL COLLATERALIZED DEBT OBLIGATION
     
         
(Cost $3,293,400)
 
 $          2,070,651
 
                 
         
SOVEREIGN DEBT OBLIGATIONS - 1.0% of Net Assets
     
         
Argentina - 0.4%
     
 
       1,200,000
 
B/B2
 
City of Buenos Aires, 12.5%, 4/6/15 (144A)
 
 $          1,359,000
 
         
Russia - 0.6%
     
 
       2,006,800
 
BBB/Baa1
Russia Government International Bond, 7.5%, 3/31/30
 
 $          2,365,516
 
         
TOTAL SOVEREIGN DEBT OBLIGATIONS
     
         
(Cost $2,604,417)
 
 $          3,724,516
 
                 
         
FLOATING RATE LOAN INTERESTS - 6.4% of Net Assets (j)
   
         
ENERGY - 0.2%
     
         
Coal & Consumable Fuels - 0.2%
     
 
          750,000
 
NR/NR
 
PT Bumi Resources Tbk, Term Loan, 11.19%, 8/7/13
 
 $             749,062
 
         
Total Energy
 
 $             749,062
 
         
MATERIALS - 0.7%
     
         
Diversified Chemicals - 0.3%
     
EURO
          139,649
 
B/B1
 
Ineos US Finance LLC, Facility Term Loan B-1, 7.5%, 12/16/13
 $             211,186
 
EURO
          153,351
 
B/B1
 
Ineos US Finance LLC, Facility Term Loan C-1, 8.0%, 12/16/14
                231,907
 
 
          326,239
 
B/B1
 
Ineos US Finance LLC, Senior Credit Facility Term Loan B-2, 7.5%, 12/16/13
                337,963
 
 
          321,147
 
B/B1
 
Ineos US Finance LLC, Senior Credit Facility Term Loan C-2, 8.0%, 12/16/14
                332,689
 
             
 $          1,113,745
 
         
Steel - 0.4%
     
 
       1,534,905
 
B/B3
 
Niagara Corp. Term Loan B, 8.5%, 6/29/14
 
 $          1,511,882
 
         
Total Materials
 
 $          2,625,627
 
         
CAPITAL GOODS - 0.8%
     
         
Aerospace & Defense - 0.8%
     
 
       3,120,000
 
BB-/B2
 
API Technologies Corp., Term Loan, 8.5%, 6/27/16
 
 $          3,057,600
 
         
Total Capital Goods
 
 $          3,057,600
 
         
AUTOMOBILES & COMPONENTS - 0.5%
     
         
Auto Parts & Equipment - 0.5%
     
 
       1,885,275
 
NR/NR
 
Metaldyne LLC, Term Loan, 5.25%, 10/22/16
 
 $          1,888,810
 
         
Total Automobiles & Components
 
 $          1,888,810
 
         
RETAILING - 0.4%
     
         
Specialty Stores - 0.4%
     
 
       1,500,000
 
B/B2
 
Targus Group International, Inc., Term Loan, 11.0%, 5/24/16
 $          1,481,250
 
         
Total Retailing
 
 $          1,481,250
 
         
FOOD, BEVERAGE & TOBACCO - 0.3%
     
         
Packaged Foods & Meats - 0.3%
     
 
       1,300,000
 
BB-/B2
 
Pierre Foods, Inc., Second Lien Term Loan, 11.25%, 9/29/17
 $          1,321,937
 
         
Total Food, Beverage & Tobacco
 
 $          1,321,937
 
         
HEATH CARE EQUIPMENT & SERVICES - 1.0%
     
         
Health Care Services - 0.6%
     
 
          464,926
 
B+/B1
 
Aveta, Inc., NAMM Term Loan, 8.5%, 4/14/15
 
 $             466,669
 
 
          785,655
 
B/B2
 
National Specialty Hospitals, Inc., Initial Term Loan, 8.25%, 2/3/17
                787,619
 
 
       1,140,563
 
NR/B1
 
Prime Healthcare Services, Inc., Term Loan B, 7.25%, 4/28/15
             1,112,048
 
             
 $          2,366,336
 
         
Health Care Technology - 0.3%
     
 
       1,365,000
 
B/B2
 
Medical Card System, Inc., Term Loan, 12.0%, 9/17/15
 
 $          1,419,600
 
         
Managed Health Care - 0.1%
     
 
          464,926
 
B+/B1
 
Aveta, Inc., MMM Term Loan, 8.5%, 4/14/15
 
 $             466,381
 
         
Total Health Care Equipment & Services
 
 $          4,252,317
 
         
DIVERSIFIED FINANCIALS - 0.5%
     
         
Other Diversified Financial Services - 0.5%
     
 
          443,367
 
B-/B2
 
BNY ConvergEX Group LLC, Second Lien EZE Term Loan, 8.75%, 12/18/17
 $             452,974
 
 
       1,056,633
 
B-/NR
 
BNY ConvergEX Group LLC, Second Lien TOP Term Loan, 8.75%, 12/18/17
             1,079,527
 
 
          389,294
 
NR/NR
 
Long Haul Holdings, Ltd. and PT Bakrie & Brothers TBK, Tranch A Vallar Loan, 0.0%, 3/15/12
                387,347
 
 
          310,706
 
B/B2
 
Long Haul Holdings, Ltd. and PT Bakrie & Brothers TBK, Tranch B Vallar Loan, 0.0%, 3/15/12
                309,153
 
         
Total Diversified Financials
 
 $          2,229,001
 
         
INSURANCE - 0.6%
     
         
Multi-Line Insurance - 0.6%
     
 
          370,522
 
B/B2
 
AmWins Group, Inc., Initial Term Loan  2.756%, 6/8/13
 
 $             367,975
 
 
       2,250,000
 
CCC+/B3
 
AmWins Group, Inc., Second Lien Initial Term Loan, 5.75%, 6/9/14
             2,075,625
 
         
Total Insurance
 
 $          2,443,600
 
         
SOFTWARE & SERVICES - 1.1%
     
         
Application Software - 1.1%
     
 
       1,700,000
 
NR/NR
 
Applied Systems, Inc., Second Lien Term Loan, 9.25%, 6/8/17
 $          1,727,098
 
 
       2,500,000
 
NR/Caa1
 
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
 
             2,550,000
 
         
Total Software & Services
 
 $          4,277,098
 
         
UTILITIES - 0.3%
     
         
Electric Utilities - 0.3%
     
 
       1,316,443
 
CCC/B2
 
Texas Competitive Electric Holdings Co. LLC, Extending Term Loan, 4.17%, 10/10/17
 $          1,029,411
 
         
Total Utilities
 
 $          1,029,411
 
         
TOTAL FLOATING RATE LOAN INTERESTS
     
         
(Cost $25,034,973)
 
 $        25,355,713
 
                 
         
COMMON STOCKS - 2.5% of Net Assets
     
         
ENERGY - 0.2%
     
         
Oil & Gas Drilling  - 0.2%
     
 
            13,045
(k)
   
Rowan Companies, Inc.
 
 $             506,276
 
         
Total Energy
 
 $             506,276
 
         
MATERIALS - 1.4%
     
         
Commodity Chemicals  - 0.2%
     
 
            26,430
(k)
   
Georgia Gulf Corp.
 
 $             638,020
 
         
Diversified Chemicals  - 0.9%
     
 
            94,230
(k)
   
LyondellBasell Industries NV, Class A
 
 $          3,629,740
 
         
Diversified Metals & Mining  - 0.3%
     
 
       1,391,615
(g)(i)(k)
 
Blaze Recycling and Metals LLC, Class A Partnership Units
 
 $             960,214
 
 
              3,402
     
Freeport-McMoRan Copper & Gold, Inc., Class B
 
                179,966
 
             
 $          1,140,180
 
         
Steel  - 0.0%
     
 
            26,215
(g)(i)(k)
 
KNIA Holdings, Inc., Class A
 
 $             183,244
 
         
Total Materials
 
 $          5,591,184
 
         
CAPITAL GOODS - 0.1%
     
         
Building Products  - 0.1%
     
 
                 894
(g)(i)(k)
 
Panolam Holdings Co.
 
 $             438,060
 
         
Total Capital Goods
 
 $             438,060
 
         
TRANSPORTATION - 0.2%
     
         
Airlines  - 0.2%
     
 
            97,306
(k)
   
Delta Airlines, Inc.
 
 $             892,296
 
         
Total Transportation
 
 $             892,296
 
         
AUTOMOBILES & COMPONENTS - 0.4%
     
         
Auto Parts & Equipment  - 0.4%
     
 
            30,094
 
 
 
Lear Corp.
 
 $          1,609,427
 
         
Total Automobiles & Components
 
 $          1,609,427
 
         
PHARMACEUTICALS & BIOTECHNOLOGY & LIFE SCIENCES - 0.2%
 
         
Pharmaceuticals  - 0.2%
     
 
            17,818
     
Teva Pharmaceutical Industries, Ltd. (A.D.R.)
 
 $             859,184
 
         
Total Pharmaceuticals & Biotechnology & Life Sciences
 
 $             859,184
 
         
SOFTWARE & SERVICES - 0.0%
     
         
Systems Software  - 0.0%
     
 
            10,942
(g)(i)(k)
 
Perseus Holding Corp.
 
 $                      -
 
         
Total Software & Services
 
 $                      -
 
         
TOTAL COMMON STOCKS
     
         
(Cost $7,236,238)
 
 $          9,896,427
 
                 
         
CONVERTIBLE PREFERRED STOCK - 0.5% of Net Assets
     
         
DIVERSIFIED FINANCIALS - 0.5%
     
         
Other Diversified Financial Services - 0.5%
     
 
              1,880
(d)
   
Bank of America Corp., 7.25%
 
 $          1,882,256
 
         
Total Diversified Financials
 
 $          1,882,256
 
         
TOTAL CONVERTIBLE PREFERRED STOCK
     
         
(Cost $1,383,242)
 
 $          1,882,256
 
                 
         
PREFERRED STOCK - 0.8% of Net Assets
     
         
DIVERSIFIED FINANCIALS - 0.7%
     
         
Other Diversified Financial Services  - 0.7%
     
 
          117,000
 
   
GMAC Capital Trust I, 8.125%
 
 $          2,971,609
 
         
Total Diversified Financials
 
 $          2,971,609
 
         
SOFTWARE & SERVICES - 0.1%
     
         
Systems Software  - 0.1%
     
 
              5,745
(i)(k)
   
Perseus Holding Corp., 14.0% (144A)
 
 $             201,075
 
         
Total Software & Services
 
 $             201,075
 
         
TOTAL PREFERRED STOCK
     
         
(Cost $2,952,990)
 
 $          3,172,684
 
                 
         
RIGHTS/WARRANTS - 0.0% of Net Assets
     
         
ENERGY - 0.0%
     
         
Oil & Gas Exploration & Production - 0.0%
     
 
       2,500,000
 
   
Norse Energy Corp. ASA, Expires 7/1/11
 
 $                 4,659
 
 
       1,310,558
(i)
   
Norse Energy Corp. ASA, Expires 6/16/15
 
                  62,286
 
 
          250,000
(i)
   
Panoro Energy Corp. ASA, Expires 7/1/11
 
                       466
 
         
Total Energy
 
 $               67,411
 
         
TOTAL RIGHTS/WARRANTS
     
         
(Cost $598,018)
 
 $               67,411
 
         
TEMPORARY CASH INVESTMENTS - 12.2% of Net Assets
     
         
Securities Lending Collateral - 12.2%(l)
     
         
Certificates of Deposit:
     
 
       1,446,203
     
Bank of America NA, 0.19%, 9/2/11
 
 $          1,446,203
 
 
       1,446,203
     
Bank of Montreal Chicago, 0.12%, 7/8/11
 
             1,446,203
 
 
          289,240
     
Bank of Nova Scotia, 0.25%, 9/29/12
 
                289,240
 
 
       1,156,962
     
Bank of Nova Scotia, 0.30%, 6/11/12
 
             1,156,962
 
 
          809,873
     
BBVA Group NY, 0.36%, 7/7/11
 
                809,873
 
 
          672,484
     
BBVA Group NY, 0.47%, 8/10/11
 
                672,484
 
 
       1,012,342
     
BBVA Group NY, 1.19%, 7/26/11
 
             1,012,342
 
 
          202,468
     
BNP Paribas Bank NY, 0.27%, 8/5/11
 
                202,468
 
 
       1,446,203
     
Canadian Imperial Bank of Commerce NY, 0.20%, 10/3/11
 
             1,446,203
 
 
       1,156,962
     
DnB NOR Bank ASA NY, 0.18%, 8/10/11
 
             1,156,962
 
 
          723,084
     
National Australia Bank NY, 0.29%, 10/19/11
 
                723,084
 
 
       1,591,079
     
RaboBank Netherland NV NY, 0.29%, 4/2/12
 
             1,591,079
 
 
          867,722
     
Royal Bank of Canada NY, 0.32%, 12/2/11
 
                867,722
 
 
          433,861
     
SOCGEN NY, 0.16%, 7/7/11
 
                433,861
 
 
          289,240
     
SOCGEN NY, 0.26%, 7/14/11
 
                289,240
 
 
          578,481
     
SOCGEN NY, 0.28%, 7/11/11
 
                578,481
 
 
       1,446,203
     
Westpac Banking Corp. NY, 0.32%, 12/6/11
 
             1,446,203
 
             
 $        15,568,610
 
         
Commercial Paper:
     
 
578,481
     
American Honda Finance, 0.34%, 1/11/12
 
 $             578,481
 
 
867,479
     
Australia & New Zealand Banking Group, 0.34%, 9/6/11
 
867,479
 
 
529,617
     
Australia & New Zealand Banking Group, 0.87%, 8/4/11
 
529,617
 
 
216,893
     
BCSFUN, 0.22%, 7/29/11
 
216,893
 
 
1,445,944
     
CBAPP, 0.20%, 8/3/11
 
1,445,944
 
 
159,204
     
General Electric Capital Corp., 0.44%, 11/21/11
 
159,204
 
 
1,315,807
     
HSBC, 0.17%, 8/9/11
 
1,315,807
 
 
1,301,582
     
JPMorgan Chase & Co., 0.30%, 7/17/12
 
1,301,582
 
 
1,300,401
     
NESCAP, 0.25%, 12/20/11
 
1,300,401
 
 
1,156,815
     
NORDNA, 0.27%, 7/18/11
 
1,156,815
 
 
1,156,882
     
PARFIN, 0.25%, 7/11/11
 
1,156,882
 
 
723,101
     
Royal Bank of Canada NY, 0.30%, 6/29/12
 
723,101
 
 
723,023
     
SANCPU, 0.39%, 7/11/11
 
723,023
 
 
722,304
     
SANCPU, 0.73%, 9/1/11
 
722,304
 
 
867,267
     
Sanofi Aventis, 0.68%, 10/20/11
 
867,267
 
 
1,011,726
     
SEB, 0.30%, 9/12/11
 
1,011,726
 
 
578,262
     
SOCNAM, 0.17%, 6/2/11
 
578,262
 
 
1,446,203
     
Svenska Handelsbanken, 0.29%, 6/29/12
 
1,446,203
 
 
1,446,203
     
Toyota Motor Credit Corp., 0.32%, 9/8/11
 
1,446,203
 
 
614,636
     
UXTPP, 0.32%, 7/1/11
 
614,636
 
 
722,999
     
VARFUN, 0.32%, 8/4/11
 
722,999
 
 
167,733
     
VARFUN, 0.32%, 8/8/11
 
167,733
 
 
404,871
     
VARFUN, 0.32%, 8/9/11
 
404,871
 
 
434,195
     
Wachovia, 0.40%, 3/1/12
 
434,195
 
 
578,620
     
Wachovia, 0.41%, 10/15/11
 
578,620
 
 
289,399
     
Wells Fargo & Co., 0.36%, 1/24/12
 
289,399
 
 
 
     
 
 
 $        20,759,647
 
         
Tri-party Repurchase Agreements:
     
 
146,732
     
Barclays Capital Plc, 0.01%, 7/1/11
 
 $             146,732
 
 
1,446,203
     
Deutschebank AG, 0.01%, 7/1/11
 
1,446,203
 
 
1,446,203
     
HSBC Bank USA NA, 7.01%, 6/1/11
 
1,446,203
 
 
4,338,608
     
RBS Securities, Inc., 7.02%, 6/1/11
 
4,338,608
 
             
 $          7,377,746
 
 
 Shares
     
Money Market Mutual Funds:
     
 
2,313,924
     
Dreyfus Preferred Money Market Fund
 
 $          2,313,924
 
 
2,313,924
     
Fidelity Prime Money Market Fund
 
2,313,924
 
             
 $          4,627,848
 
         
Total Securities Lending Collateral
 
 $        48,333,851
 
         
TOTAL TEMPORARY CASH INVESTMENTS
     
 
 
     
(Cost $48,333,851)
 
 $        48,333,851
 
                 
 
 
     
TOTAL INVESTMENTS IN SECURITIES - 145.2%
     
 
 
     
(Cost $540,097,415) (m)(n)
 
 $      575,233,630
 
         
OTHER ASSETS AND LIABILITIES - (7.1)%
 
 $      (28,093,151)
 
         
PREFERRED SHARES AT REDEMPTION VALUE,
     
         
INCLUDING DIVIDENDS PAYABLE - (38.1)%
 
 $    (151,006,520)
 
 
 
     
NET ASSETS APPLICABLE TO COMMON SHAREOWNERS - 100.0%
 $      396,133,959
 
                 
 
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 June 30, 2011, the value of these securities amounted to
 
     
$209,274,512 or 52.8% of total net assets applicable to common shareowners.
 
                 
 
(a)
 
Floating rate note.  The rate shown is the coupon rate at June 30, 2011.
 
             
 
 
 
(b)
 
Security is in default and is non-income producing.
     
                 
 
(c)
 
Debt obligation initially issued at one coupon which converts to another coupon at a specific date.
     
The rate shown is the rate at June 30, 2011
     
                 
 
(d)
 
At June 30, 2011, the following securities were out on loan:
     
                 
     
Principal
         
     
Amount
         
     
USD($)
 
Description
 
 Market Value
     
     1,000,000
 
ADS Tactical, Inc., 11.0%, 4/1/18 (144A)
 
 $          1,057,500
 
     
     2,800,000
 
Affinity Group, Inc., 11.5%, 12/1/16 (144A)
 
             2,940,000
 
     
     4,000,000
 
Burger King Capital Holdings LLC, 0.0%, 4/15/19  (144A)
 
             2,310,000
 
     
     1,386,000
 
Burger King Corp., 9.875%, 10/15/18
 
             1,476,090
 
     
        700,000
 
CEVA Group Plc, 11.5%, 4/1/18 (144A)
 
                736,750
 
     
     1,325,000
 
Chesapeake Energy Corp., 2.5%, 5/15/37
 
             1,394,563
 
     
     2,172,000
 
Cincinnati Bell, Inc., 8.75%, 3/15/18
 
             2,063,400
 
     
     1,070,000
 
Graphic Packaging International, Inc., 9.5%, 8/15/13
 
             1,080,700
 
     
     2,808,600
 
Hologic, Inc., 2.0%, 12/15/37
 
             3,208,826
 
     
     3,473,000
 
Horizon Lines, Inc., 4.25%, 8/15/12
 
             2,813,130
 
     
     2,598,000
 
Ineos Group Holdings Plc, 8.5%, 2/15/16 (144A)
 
             2,565,525
 
     
     1,198,000
 
KV Pharmaceutical Co., 12.0%, 3/15/15  (144A)
 
             1,091,677
 
     
     1,965,000
 
LifePoint Hospitals, Inc., 3.25%, 8/15/25
 
             2,026,406
 
     
        750,000
 
Manitowoc Co., Inc., 9.5%, 2/15/18
 
                814,688
 
     
     5,118,000
 
Mueller Water Products, Inc., 7.375%, 6/1/17
 
             4,810,920
 
     
     2,000,000
 
NCO Group, Inc., 11.875%, 11/15/14
 
             1,690,000
 
     
     1,200,000
 
Ono Finance II PLC, 10.875%, 7/15/19 (144A)
 
             1,278,000
 
     
     1,149,000
 
Paetec Holding Corp., 9.5%, 7/15/15
 
             1,192,087
 
     
     1,553,000
 
Pilgrim's Pride Corp., 7.875%, 12/15/18 (144A)
 
             1,436,525
 
     
        396,500
 
Pinnacle Entertainment, Inc., 8.75%, 5/15/20
 
                415,334
 
     
        300,000
 
Rosetta Resources, Inc., 9.5%, 4/15/18
 
                332,250
 
     
     1,200,000
 
Sally Holdings LLC, 10.5%, 11/15/16
 
             1,281,000
 
     
        100,000
 
Sonic Automotive, Inc., 8.625%, 8/15/13
 
                100,750
 
     
     1,000,000
 
Swift Services Holdings, Inc., 10.0%, 11/15/18
 
             1,057,500
 
     
          80,000
 
Texas Competitive Electric Holdings Co., LLC, 15.0%, 4/1/21 (144A)
                  65,600
 
     
     1,670,000
 
Tower Automotive Holdings USA LLC, 10.625%, 9/1/17 (144A)
             1,799,425
 
     
     1,499,000
 
Transocean, Ltd., 1.5%, 12/15/37
 
             1,497,126
 
     
        500,000
 
Vertellus Specialties, Inc., 9.375%, 10/1/15 (144A)
 
                517,500
 
     
        700,000
 
Wells Fargo Capital XV, 9.75%
 
                738,500
 
     
     2,600,000
 
Yankee Acquisition Corp., 8.5%, 2/15/15
 
             2,678,000
 
     
 Shares
         
     
               100
 
Bank of America Corp., 7.25%
 
                100,120
 
             
 $        46,569,892
 
                 
 
(e)
 
Payment-in Kind (PIK) security which may pay interest in additional principal amount.
                 
 
(f)
 
Security is priced as a unit.
     
                 
 
(g)
 
Security is valued using fair value methods (other than prices supplied by independent pricing services).
                 
 
(h)
 
Security is a perpetual bond and has no definite maturity date.
     
                 
 
(i)
 
Indicates a security that has been deemed illiquid. The aggregate cost of illiquid securities is
     
$5,047,418. The aggregate value of $3,853,244 represents 1.0% of total net assets applicable to common shareowners.
                 
 
(j)
 
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 rate accruing at June 30, 2011.
                 
 
(k)
 
Non-income producing.
     
                 
 
(l)
 
Securities lending collateral is managed by Credit Suisse AG, New York Branch.
 
                 
 
(m)
 
At June 30, 2011, the net unrealized gain on investments based on cost for federal income tax purposes
     
of $542,607,397 was as follows:
     
                 
     
Aggregate gross unrealized gain for all investments in which
     
 
 
 
   there is an excess of value over tax cost
 
 $        55,418,098
 
                 
     
Aggregate gross unrealized loss for all investments in which
     
     
   there is an excess of tax cost over value
 
         (22,791,865)
 
     
Net unrealized gain
 
 $        32,626,233
 
                 
     
For financial reporting purposes net unrealized gain was $35,136,215 and cost of investments aggregated $540,097,415.
                 
 
(n)
 
Distribution of investments by country of issue, as a percentage of total holdings, is as follows:
     
United States
 
                      81.5
%
     
Canada
     
                        3.6
 
     
Cayman Islands
 
                        2.7
 
     
Netherlands
 
                        2.0
 
     
Norway
     
                        1.6
 
     
Bermuda
     
                        1.5
 
     
United Kingdom
 
                        1.5
 
     
Brazil
     
                        1.3
 
     
Luxembourg
 
                        1.2
 
     
Other (individually less than 1%)
 
                        3.1
 
             
                    100.0
%
   
Note:  Principal amounts are denominated in U.S. dollars unless otherwise denoted.
 
   
CNY
Chinese Yuan
     
   
EURO
Euro
         
   
GBP
British Pound
     
   
NOK
Norwegian Krone
     
                 
   
Glossary of Terms:
     
   
(A.D.R.)
American Depositary Receipt
     
                 
   
Purchases and sales of securities (excluding temporary cash investments) for the period ended June 30, 2011, aggregated
   
$38,525,408 and $16,257,159, respectively.
     
                 
   
For the period ended June 30, 2011 the Trust had an unfunded loan commitment of $137,376, (excluding net unrealized appreciation on those commitments of
   
$343 as of June 30, 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
 
 $                         137,376
 
                 
                 
 
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 June 30, 2011, in valuing the Trust’s investments:






   
Level 1
   
Level 2
   
Level 3
   
Total
 
                         
Asset backed securities
  $ -     $ 10,771,286     $ -     $ 10,771,286  
Collaterized mortgage obligations
            2,491,374       -       2,491,374  
Corporate bonds & notes (environmental & facilities services)
            1,249,345       133,492       1,382,837  
Corporate bonds & notes (other industries)
    -       416,156,549       -       416,156,549  
Convertible bonds & notes
    -       28,891,089       -       28,891,089  
Municipal bonds
    -       21,036,986       -       21,036,986  
Municipal collateralized deb obligation
    -       2,070,651       -       2,070,651  
Sovereign debt obligation
    -       3,724,516       -       3,724,516  
Floating rate loan interests
    -       25,355,713       -       25,355,713  
Common stock (diversified metals & mining)
    179,966       -       960,214       1,140,180  
Common stock (steel)
    -       -       183,244       183,244  
Common stock (building products)
    -       -       438,060       438,060  
Common stock (system software)
    -       -       -       -  
Common stock (other industries)
    8,134,943       -       -       8,134,943  
Convertible preferred stock
    1,882,256       -               1,882,256  
Preferred stock
    -       3,172,684       -       3,172,684  
Rights/Warrants
    66,945       466       -       67,411  
Escrow holdings
    -       -       -       -  
Temporary cash investments
    -       43,706,003       -       43,706,003  
Money market mutual funds
    4,627,848       -       -       4,627,848  
Total
  $ 14,891,958     $ 558,626,662     $ 1,715,010     $ 575,233,630  
Other Financial Instruments*
  $ -     $ (14,934 )   $ -     $ (14,934 )
*Other financial instruments include foreign exchange contracts and net unrealized gain on unfunded corporate loans.
         






The following is a reconciliation of assets valued using significant unobservable inputs (level 3):
                               
                                     
   
Balance as of 3/31/11
   
Realized gain (loss)
   
Change in unrealized appreciation (depreciation)
   
Net purchases (sales)
   
Transfer in and out of Level 3*
   
Balance as of 6/30/11
 
Corporate bonds & notes (environmental & facilities services)
  $ 133,492     $ -     $ -     $ -     $ -     $ 133,492  
Common stock (diversified metals & mining)
    960,214               -       -       -       960,214  
Common stock (steel)
    183,244       -       -       -       -       183,244  
Common stock (building products)
    438,060       -       -       -       -       438,060  
                                                 
Ending balance
  $ 1,715,010     $ -     $ -     $ -     $ -     $ 1,715,010  
                                                 
*Transfers are calculated beginning of period.
                                               
                                                 
                                                 
                                                 
                                                 
                                                 
 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.

(a) 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)).

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 High Income Trust

By (Signature and Title)* /s/ John F. Cogan, Jr.
John F. Cogan, Jr, President

Date August 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 August 29, 2011



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

Date August 29, 2011

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