hnwsoi.htm

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

                                   FORM N-Q

                   QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
    OF REGISTERED MANAGEMENT INVESTMENT COMPANY



  Investment Company Act file number 811-22014


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


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


            Terrence J. Cullen, Pioneer Investment Management, Inc.,
                       60 State Street, Boston, MA 02109
                    (Name and address of agent for service)


Registrant's telephone number, including area code:  (617) 742-7825


Date of fiscal year end:  April 30

Date of reporting period:  July 31, 2017

Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5).  The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609.  The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.


<PAGE>
ITEM 1. Schedule of Investments.

File the schedules as of the close of the reporting period as set forth in
ss. 210.12-12  12-14 of Regulation S-X [17 CFR 210.12-12  12-14]. The
schedules need not be audited.





   
Pioneer Diversified
   
High Income Trust
     
     
     
     
     
     
     
   
NQ | July 31, 2017
     
     
   
Ticker Symbol: HNW

 
 

 
Schedule of Investments  |  7/31/17 (unaudited)


 
Principal
Amount
USD ($)
   
Value
 
   
ASSET BACKED SECURITIES - 1.0% of Net Assets
   
 
 
250,000
American Credit Acceptance Receivables Trust, Series 2014-2, Class D, 4.96%, 5/10/21 (144A)
 
$250,147
 
299,996
Axis Equipment Finance Receivables III LLC, Series 2015-1A, Class E, 5.27%, 5/20/20 (144A)
 
290,966
 
400,000(a)
NCF Dealer Floorplan Master Trust, Series 2016-1A, Class C, 9.712%, 3/21/22 (144A)
 
401,619
 
500,000
VB-S1 Issuer LLC, Series 2016-1A, Class F, 6.901%, 6/15/46 (144A)
 
517,659
 
 
 
 
   
TOTAL ASSET BACKED SECURITIES
   
   
(Cost  $1,440,213)
 
$1,460,391
   
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.4% of Net Assets
   
 
 
44,086
Global Mortgage Securitization, Ltd., Series 2004-A, Class B1, 5.25%, 11/25/32 (144A)
 
$     29,142
 
88,412
Global Mortgage Securitization, Ltd., Series 2005-A, Class B3, 5.25%, 4/25/32 (144A)
 
47,260
 
290,000(b)
GMAT Trust, Series 2013-1A, Class M, 5.0%, 11/25/43 (144A)
 
256,250
 
218,500(c)
GMAT Trust, Series 2015-1A, Class A1, 4.25%, 9/25/20 (144A)
 
218,404
 
66,094
Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.0%, 5/26/53 (144A)
 
65,797
 
   
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
   
   
(Cost  $686,510)
 
$616,853
   
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.2% of Net Assets
   
 
 
200,000(b)
BAMLL Commercial Mortgage Securities Trust, Series 2016-FR14, Class C, 1.394%, 2/27/48 (144A)
 
$173,500
 
500,000(b)
Banc of America Commercial Mortgage Trust, Series 2007-4, Class D, 5.887%, 2/10/51 (144A)
 
498,721
 
122,117(b)
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR7, Class B, 5.214%, 2/11/41
 
121,914
 
260,000(a)
CFCRE Mortgage Trust, Series 2015-RUM, Class E, 5.759%, 7/15/30 (144A)
 
253,669
 
500,000(b)
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class E, 3.208%, 7/10/47 (144A)
 
320,698
 
500,000(b)
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class C, 5.891%, 5/15/46
 
354,100
 
11,033(b)
COMM Mortgage Trust, Series 2007-C9, Class H, 5.776%, 12/10/49 (144A)
 
11,020
 
250,000(a)
COMM Mortgage Trust, Series 2014-FL5, Class D, 5.226%, 10/15/31 (144A)
 
236,595
 
212,193(b)
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class AJ, 5.276%, 2/15/41
 
212,236
 
343,456(b)
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49
 
347,648
 
450,000(b)
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class B, 5.865%, 7/15/45
 
445,509
 
250,000
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class D, 3.0%, 8/15/49 (144A)
 
200,906
 
   
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
   
   
(Cost  $3,284,456)
 
$3,176,516
   
SENIOR SECURED FLOATING RATE LOAN INTERESTS 41.0% of Net Assets*(a)
   
 
   
AUTOMOBILES & COMPONENTS - 1.2%
   
   
Auto Parts & Equipment - 0.9%
   
 
232,650
American Axle & Manufacturing, Inc.,Tranche B Term Loan, 3.49%, 4/6/24
 
$232,626
 
340,389
Electrical Components International, Inc., Term Loan, 6.046%, 5/28/21
 
343,155
 
777,465
Tower Automotive Holdings USA LLC, Initial Term Loan, 4.0%, 3/7/24
 
780,542
       
$1,356,323
 
   
Automobile Manufacturers - 0.2%
   
 
106,796
Federal-Mogul Corp., Tranche C Term Loan, 4.983%, 4/15/21
 
$107,474
 
176,403
TI Group Automotive Systems LLC, Initial US Term Loan, 3.984%, 6/30/22
 
177,175
       
$284,649
 
   
Tires & Rubber - 0.1%
   
 
191,667
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.23%, 4/30/19
 
$192,585
   
Total Automobiles & Components
 
$1,833,557
 
 
   
CAPITAL GOODS - 5.8%
   
   
Aerospace & Defense - 1.6%
   
 
63,001
Accudyne Industries Borrower SCA/Accudyne Industries LLC, Refinancing Term Loan, 4.234%, 12/13/19
 
$     62,912
 
995,000(d)
ADS Tactical, Inc., Term Loan, 8.796%, 12/31/22
 
995,000
 
296,977
DAE Aviation Holdings, Inc., Initial Term Loan, 4.98%, 7/7/22
 
299,576
 
237,143
DigitalGlobe, Inc., Term Loan, 3.984%, 1/15/24
 
237,995
 
461,428
DynCorp International, Inc., Term Loan B2, 7.75%, 7/7/20
 
463,543
 
226,021
Vencore, Inc. (fka SI Organization, Inc.), First Lien Initial Term Loan, 6.046%, 11/23/19
 
229,446
 
Principal
Amount
USD ($)
   
Value
 
   
Aerospace & Defense - (continued)
   
 
157,600
WP CPP Holdings LLC, Second Lien Term Loan B-1, 9.061%, 4/30/21
 
$145,583
       
$2,434,055
 
   
Building Products - 1.1%
   
 
874,619
Builders FirstSource, Inc., Refinancing Term Loan, 4.296%, 2/29/24
 
$878,081
 
250,000
NCI Building Systems, Inc., Tranche B Term Loan, 4.254%, 6/24/22
 
251,953
 
299,237
Summit Materials LLC, Restatement Effective Date Term Loan, 3.984%, 7/18/22
 
302,416
 
250,000
Unifrax I LLC, Initial Dollar Term Loan, 4.9%, 4/4/24
 
252,969
       
$1,685,419
 
   
Construction Machinery & Heavy Trucks - 0.9%
   
 
399,000
Clark Equipment Co. (aka Doosan Bobcat Inc.), Tranche B Term Loan, 3.929%, 5/18/24
 
$401,993
 
500,000
Commercial Vehicle Group, Inc., Term Loan B, 7.234%, 3/30/23
 
503,750
 
383,175
Navistar, Inc., Tranche B Term Loan, 5.23%, 8/7/20
 
387,725
       
$1,293,468
 
   
Electrical Components & Equipment - 0.5%
   
 
249,356
Pelican Products, Inc., First Lien Term Loan, 5.546%, 4/10/20
 
$250,914
 
415,445
Wireco WorldGroup, Inc., First Lien Initial Term Loan, 6.702%, 9/29/23
 
419,600
       
$670,514
 
   
Industrial Conglomerates - 0.8%
   
 
87,455
CeramTec Service GmbH (CeramTec Acquisition Corp.), Dollar Term B-3 Loan, 3.952%, 8/30/20
 
88,084
 
287,399
CeramTec Service GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-1 Loan, 3.952%, 8/30/20
 
289,465
 
34,581
CeramTec Service GmbH (CeramTec Acquisition Corp.), Initial Dollar Term B-2 Loan, 3.952%, 8/30/20
 
$     34,829
 
595,749
DTI Holdco, Inc., Initial Term Loan, 6.421%, 10/2/23
 
$585,323
 
249,353
Filtration Group Corp., First Lien Term Loan, 4.257%, 11/23/20
 
251,742
       
$1,249,443
 
   
Industrial Machinery - 0.5%
   
 
188,100
Blount International, Inc., Initial Term Loan, 6.227%, 4/12/23
 
$190,099
 
491,083
NN, Inc., Tranche B Term Loan, 5.484%, 10/19/22
 
491,697
       
$681,796
 
   
Trading Companies & Distributors - 0.4%
   
 
498,731
Beacon Roofing Supply, Inc., Initial Term Loan, 3.983%, 10/1/22
 
$502,679
 
162,450
WESCO Distribution, Inc., Tranche B-1 Loan, 3.778%, 12/12/19
 
163,009
       
$665,688
   
Total Capital Goods
 
$8,680,383
 
 
   
COMMERCIAL & PROFESSIONAL SERVICES - 0.3%
   
   
Environmental & Facilities Services - 0.2%
   
 
249,103
Infiltrator Water Technologies LLC, Term B-1 Loan, 4.796%, 5/27/22
 
$251,516
 
   
Security & Alarm Services - 0.1%
   
 
126,297
Prime Security Services Borrower LLC, First Lien 2016-2 Refinancing Term B-1 Loan, 3.984%, 5/2/22
 
$127,188
   
Total Commercial & Professional Services
 
$378,704
 
 
   
CONSUMER DURABLES & APPAREL - 0.9%
   
   
Home Furnishings - 0.4%
   
 
550,000
Serta Simmons Holdings LLC, Second Lien Term Loan, 9.179%, 11/8/24
 
$550,516
 
   
Leisure Products - 0.5%
   
 
350,000
Bass Pro Group LLC, Initial Term Loan, 6.296%, 12/15/23
 
$341,344
 
361,864
Bombardier Recreational Products, Inc., Term B Loan, 4.23%, 6/30/23
 
364,836
       
$706,180
   
Total Consumer Durables & Apparel
 
$1,256,696
 
 
   
CONSUMER SERVICES - 3.3%
   
   
Casinos & Gaming - 0.7%
   
 
200,000
CityCenter Holdings LLC, Term B Loan, 3.732%, 4/18/24
 
$201,000
 
249,375
Eldorado Resorts, Inc., Term Loan, 3.563%, 4/17/24
 
249,323
 
557,792
Scientific Games International, Inc., Initial Term B-3 Loan, 5.233%, 10/1/21
 
560,880
       
$1,011,203
 
   
Education Services - 0.6%
   
 
308,910
Cengage Learning Acquisitions, Inc., 2016 Refinancing Term Loan, 5.474%, 6/7/23
 
$292,692
 
601,617
Laureate Education, Inc., Series 2024 Term Loan, 5.734%, 4/26/24
 
606,317
       
$899,009
 
   
Leisure Facilities - 0.2%
   
 
317,542
Fitness International LLC, Term B Loan, 5.484%, 7/1/20
 
$322,157
 
   
Restaurants - 0.4%
   
 
348,397
1011778 BC Unlimited Liability Co. (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-3 Loan, 3.508%, 2/16/24
 
$348,469
 
Principal
Amount
USD ($)
   
Value
 
   
Restaurants - (continued)
   
 
242,862
Landry's, Inc. (fka Landry's Restaurants, Inc.), Term Loan B, 3.971%, 10/4/23
 
$243,318
       
$591,787
 
   
Specialized Consumer Services - 1.4%
   
 
750,000
Constellis Group, Inc.,Term Loan B, 6.296%, 4/21/24
 
$745,000
 
532,537
Creative Artists Agency LLC, Refinancing Term Loan, 4.726%, 2/15/24
 
537,197
 
736,931
KinderCare Education LLC, Term Loan, 5.046%, 8/12/22
 
741,997
       
$2,024,194
   
Total Consumer Services
 
$4,848,350
 
 
   
DIVERSIFIED FINANCIALS - 1.2%
   
   
Consumer Finance - 0.1%
   
 
211,350
Trans Union LLC, Term B-2 Loan, 3.734%, 4/9/23
 
$212,654
 
   
Diversified Capital Markets - 0.2%
   
 
248,438
Freedom Mortgage Corp., Initial Term Loan, 6.862%, 2/23/22
 
$250,922
 
   
Investment Banking & Brokerage - 0.3%
   
 
249,351
Duff & Phelps Corp., Initial Term Loan, 5.046%, 4/23/20
 
$251,626
 
199,500
LPL Holdings, Inc., Initial Term Loan, 3.825%, 3/11/24
 
200,934
       
$452,560
 
   
Specialized Finance - 0.6%
   
 
244,375
DBRS, Ltd., Initial Term Loan, 6.452%, 3/4/22
 
$242,542
 
500,000
MHVC Acquisition Corp., First Lien Initial Term Loan, 6,49%, 4/29/24
 
503,750
       
$746,292
   
Total Diversified Financials
 
$1,662,428
 
 
   
ENERGY - 2.4%
   
   
Oil & Gas Drilling - 0.7%
   
 
250,000
Gavilan Resources LLC, Second Lien Initial Term Loan, 7.224%, 3/1/24
 
$241,875
 
744,680
Jonah Energy LLC, Second Lien Initial Term Loan, 7.734%, 5/12/21
 
737,233
       
$979,108
 
   
Oil & Gas Equipment & Services - 0.3%
   
 
534,529
FR Dixie Acquisition Corp., Term Loan, 5.952%, 12/18/20
 
$366,153
 
   
Oil & Gas Exploration & Production - 0.6%
   
 
250,000
California Resources Corp., Term Loan, 11.601%, 12/31/21
 
$269,167
 
550,000
Chesapeake Energy Corp., Term Loan Class A, 8.686%, 8/23/21
 
593,141
       
$862,308
 
   
Oil & Gas Storage & Transportation - 0.4%
   
 
674,617
Gulf Finance LLC, Tranche B Term Loan, 6.55%, 8/25/23
 
$652,410
 
   
Pipeline - 0.4%
   
 
635,000
Summit Midstream Partners Holdings LLC, Term Loan Credit Facility, 7.234%, 5/13/22
 
$646,906
   
Total Energy
 
$3,506,885
 
 
   
FOOD, BEVERAGE & TOBACCO - 1.2%
   
   
Agricultural Products - 0.3%
   
 
98,995
NVA Holdings, Inc., First Lien Term B-2 Loan, 4.796%, 8/14/21
 
$     99,985
 
414,286
NVA Holdings, Inc., Second Lien Term Loan, 8.296%, 8/14/22
 
419,464
       
$519,449
 
   
Packaged Foods & Meats - 0.9%
   
 
496,250
Amplify Snack Brands, Inc., Term Loan, 6.73%, 9/2/23
 
$499,352
 
471,260
Dole Food Co., Inc., Tranche B Term Loan, 4.251%, 4/6/24
 
474,434
 
348,246
Give and Go Prepared Foods Corp., First Lien Term Loan, 6.734%, 7/29/23
 
350,857
       
$1,324,643
   
Total Food, Beverage & Tobacco
 
$1,844,092
 
 
   
HEALTH CARE EQUIPMENT & SERVICES - 3.2%
   
   
Health Care Facilities - 0.8%
   
 
174,202
CHS/Community Health Systems, Inc., Incremental 2019 Term G Loan, 3.75%, 12/31/19
 
$174,488
 
517,321
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan, 4.0%, 1/27/21
 
517,783
 
191,599
HCA Inc., Tranche B-9 Term Loan, 3.234%, 3/17/23
 
192,836
 
312,107
Kindred Healthcare, Inc., Incremental Term Loan, 4.813%, 4/9/21
 
312,757
       
$1,197,864
 
   
Health Care Services - 1.3%
   
 
249,373
ExamWorks Group, Inc. (fka Gold Merger Co., Inc.), Term B-1 Loan, 4.484%, 7/27/23
 
$251,438
 
200,000
Genoa Healthcare Co., LLC, Second Lien Initial Term Loan, 9.234%, 10/28/24
 
202,000
 
343,875
HC Group Holdings III, Inc., First Lien Initial Term Loan, 6.234%, 4/7/22
 
344,735
 
248,750
Inventiv Group Holdings, Inc., Initial Term Loan, 4.952%, 11/9/23
 
249,594
 
198,338
National Mentor Holdings, Inc., Tranche B Term Loan, 4.296%, 1/31/21
 
200,104
 
Principal
Amount
USD ($)
   
Value
 
   
Health Care Services - (continued)
   
 
198,995
nThrive, Inc. (fka Precyse Acquisition Corp.), Additional Term B-2 Loan, 5.734%, 10/20/22
 
$201,576
 
495,000
Prospect Medical Holdings, Inc., Term Loan, 7.25%, 6/30/22
 
502,116
       
$1,951,563
 
   
Health Care Supplies - 0.6%
   
 
228,322
Alere, Inc., Term Loan B, 4.49%, 6/20/22
 
$229,000
 
185,000
Kinetic Concepts, Inc., Dollar Term Loan, 4.546%, 2/2/24
 
185,154
 
498,750
Sterigenics-Nordion Holdings LLC, Incremental Term Loan, 4.234%, 5/15/22
 
499,685
       
$913,839
 
   
Health Care Technology - 0.5%
   
 
249,375
Change Healthcare Holdings, Inc. (fka Emdeon Inc.), Closing Date Term Loan, 3.984%, 3/1/24
 
$250,968
 
375,258(d)
Medical Card System, Inc., Term Loan, 1.5%, 5/31/19
 
243,918
 
169,150
Quintiles IMS, Inc., Term B-1 Dollar Loan, 3.264%, 3/7/24
 
170,683
       
$665,569
   
Total Health Care Equipment & Services
 
$4,728,835
 
 
   
HOUSEHOLD & PERSONAL PRODUCTS - 1.4%
   
   
Cleaning Products - 0.1%
   
 
150,000(e)
Parfums Holding Co., Inc., First Lien Initial Term Loan, 6/30/24
 
$150,813
 
   
Household Products - 0.4%
   
 
234,281
Redbox Automated Retail LLC, First Lien Term B Loan, 8.788%, 9/27/21
 
$235,745
 
400,000
WKI Holding Co., Inc. (World Kitchen LLC), Term Loan B, 5.17%, 5/1/24
 
406,000
       
$641,745
 
   
Personal Products - 0.9%
   
 
248,727
Atrium Innovations, Inc., First Lien Initial Tranche B-1 Term Loan, 4.796%, 2/15/21
 
$249,764
 
351,028
Nature's Bounty Co. (aka NBTY), Dollar Term B-1 Loan, 4.796%, 5/5/23
 
352,161
 
772,057
Revlon Consumer Products Corp., Initial Term B Loan, 4.734%, 9/7/23
 
702,572
       
$1,304,497
   
Total Household & Personal Products
 
$2,097,055
 
 
   
INSURANCE - 1.9%
   
   
Life & Health Insurance - 0.4%
   
 
492,642
Integro, Ltd., Initial Term Loan, 6.75%, 10/31/22
 
$492,642
 
   
Multi-Line Insurance - 0.1%
   
 
164,808
Alliant Holdings I LLC, Term Loan, 4.564%, 8/12/22
 
$165,695
 
   
Property & Casualty Insurance - 1.4%
   
 
498,750
Acrisure LLC, First Lien Term B Loan, 6.296%, 11/22/23
 
$506,855
 
593,765
Confie Seguros Holding II Co., Second Lien Term Loan, 11.046%, 5/8/19
 
585,601
 
509,611
Confie Seguros Holding II Co., Term B Loan, 6.734%, 4/19/22
 
505,534
 
500,000
USI, Inc. (fka Compass Investors, Inc.), Initial Term Loan, 4.18%, 5/16/24
 
499,323
       
$2,097,313
   
Total Insurance
 
$2,755,650
 
 
   
MATERIALS - 5.2%
   
   
Construction Materials - 0.4%
   
 
118,500
84 Lumber Co., Initial Term Loan, 6.982%, 10/25/23
 
$120,241
 
497,494
American Bath Group LLC, First Lien Replacement Term Loan, 6.546%, 9/30/23
 
503,790
       
$624,031
 
   
Diversified Chemicals - 1.0%
   
 
312,462
Allnex (Luxembourg) & Cy SCA (fka AI Chem & Cy SCA), Tranche B-2 Term Loan, 4.482%, 9/13/23
 
$313,634
 
235,406
Allnex (Luxembourg) & Cy SCA (fka AI Chem & Cy SCA), Tranche B-3 Term Loan, 4.482%, 9/13/23
 
236,289
 
292,954
Chemours Co., Tranche B-1 USD Term Loan, 3.73%, 5/12/22
 
295,746
 
366,686
Tata Chemicals North America, Term Loan, 4.063%, 8/7/20
 
366,906
 
270,205
Univar USA, Inc., Term B-2 Loan, 3.984%, 7/1/22
 
272,062
       
$1,484,637
 
   
Diversified Metals & Mining - 0.3%
   
 
496,250
Global Brass and Copper, Inc., Initial Term Loan, 4.5%, 7/18/23
 
$498,099
 
72,335(f)(g)
PT Bakrie & Brothers Tbk, Facility Term Loan B, 8.152%, 9/28/17
 
7,595
       
$505,694
 
   
Metal & Glass Containers - 1.4%
   
 
226,387
Coveris Holdings SA (fka Exopack Holdings SA), USD Term B-1 Loan, 5.546%, 6/29/22
 
$226,670
 
481,876
Tank Holding Corp., Initial Term Loan, 5.25%, 3/16/22
 
485,589
 
735,000
Tekni-Plex, Inc., USD Term Loan, 4.545%, 6/1/22
 
738,292
 
600,000
Twist Beauty International Holdings SA, Facility B, 5.163% 4/22/24
 
599,250
       
$2,049,801
 
Principal
Amount
USD ($)
   
Value
 
   
Paper Packaging - 0.6%
   
 
517,207
Caraustar Industries, Inc., Refinancing Term Loan, 6.796%, 3/14/22
 
$521,409
 
248,125
Expera Specialty Solutions LLC, Term Loan B, 5.984%, 11/3/23
 
249,986
       
$771,395
 
         
   
Paper Products - 0.2%
   
 
166,062
Ranpak Corp., Second Lien Initial Term Loan, 8.476%, 10/3/22
 
$165,647
 
198,982
Ranpak Corp., Tranche B-1 USD Term Loan, 4.484%, 10/1/21
 
200,101
       
$365,748
 
   
Specialty Chemicals - 1.0%
   
 
289,677
Macdermid, Inc. (Platform Specialty Products Corp.), Tranche B-5 Term Loan, 4.734%, 6/7/20
 
$292,470
 
646,621
Omnova Solutions, Inc., Term B-2 Loan, 5.484%, 8/25/23
 
655,108
 
448,831
Tronox Pigments (Netherlands) BV, New Term Loan, 4.796%, 3/19/20
 
452,587
       
$1,400,165
 
   
Steel - 0.3%
   
 
495,013
Zekelman Industries, Inc. (fka JMC Steel Group, Inc.), Term Loan, 4.789%, 6/14/21
 
$499,653
   
Total Materials
 
$7,701,124
 
 
   
MEDIA - 2.2%
   
   
Advertising - 0.2%
   
 
248,125
CB Poly Investments LLC, First Lien Closing Date Term Loan, 6.484%, 8/16/23
 
$250,606
 
   
Broadcasting - 0.9%
   
 
163,776
A-L Parent LLC (aka Learfield Communications), First Lien Initial Term Loan, 4.49%, 12/1/23
 
$165,823
 
199,500
CSC Holdings LLC (fka CSC Holdings Inc. (Cablevision)), March 2017 Refinancing Term Loan, 3.476%, 7/17/25
 
199,500
 
230,000
Hubbard Radio LLC, Term Loan, 4.49%, 5/27/22
 
231,150
 
291,750
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 7.049%, 8/13/21
 
273,029
 
451,306
Univision Communications Inc., First Lien 2017 Replacement Repriced Term Loan, 3.984%, 3/15/24
 
449,990
       
$1,319,492
 
   
Publishing - 1.1%
   
 
491,272
DH Publishing LP, Term B-5 Loan, 3.724%, 8/21/23
 
$493,515
 
318,500
Houghton Mifflin Holdings, Inc., Term Loan, 4.234%, 5/28/21
 
309,210
 
37,968
Lee Enterprises, Inc., First Lien Term Loan, 7.484%, 3/31/19
 
38,158
 
915,750
McGraw-Hill Global Education Holdings LLC, First Lien Term B Loan, 5.234%, 5/4/22
 
905,258
       
$1,746,141
   
Total Media
 
$3,316,239
 
 
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 1.6%
   
   
Life Sciences Tools & Services - 0.9%
   
 
982,500
Albany Molecular Research, Inc., Term Loan B, 5.979%, 7/16/21
 
$989,664
 
365,856
Catalent Pharma Solutions, Inc. (fka Cardinal Health 409, Inc.), Dollar Term Loan, 3.984%, 5/20/21
 
369,417
       
$1,359,081
 
   
Pharmaceuticals - 0.7%
   
 
69,168
Concordia Healthcare Corp., Initial Dollar Term Loan, 5.501%, 10/21/21
 
$     52,006
 
498,750
Horizon Pharma, Inc., Second Amendment Refinancing Term Loan, 5.0%, 3/29/24
 
502,023
 
438,692(e)
VRX Escrow Corp., Series F Tranche B Term Loan, 4/1/22
 
447,224
       
$1,001,253
   
Total Pharmaceuticals, Biotechnology & Life Sciences
 
$2,360,334
 
 
   
REAL ESTATE - 0.5%
   
   
Retail REITs - 0.2%
   
 
271,829
DTZ US Borrower LLC, First Lien Initial Term Loan, 4.25%, 11/4/21
 
$273,222
 
42,553
DTZ US Borrower LLC, Second Lien Initial Term Loan, 9.561%, 11/4/22
 
42,753
       
$315,975
 
   
Specialized REIT - 0.3%
   
 
492,516
Communications Sales & Leasing, Inc. (CSL Capital LLC), Shortfall Term Loan, 4.234%, 10/24/22
 
$493,283
   
Total Real Estate
 
$809,258
 
 
   
RETAILING - 0.7%
   
   
Automotive Retail - 0.6%
   
 
262,456
AWAS Finance Luxembourg 2012 SA, Term Loan, 4.06%, 7/16/18
 
$262,867
 
635,417
CWGS Group LLC, Term Loan, 4.973%, 11/8/23
 
641,374
       
$904,241
 
   
Specialty Stores - 0.1%
   
 
154,918
PetSmart, Inc., Tranche B-2 Loan, 4.23%, 3/11/22
 
$147,278
   
Total Retailing
 
$1,051,519
 
 
 
Principal
Amount
USD ($)
   
Value
 
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.0%
   
   
Semiconductor Equipment - 0.6%
   
 
193,504
Entegris, Inc., New Tranche B Term Loan, 3.484%, 4/30/21
 
$195,076
 
496,173
MACOM Technology Solutions Holdings, Inc.
(fka M/A-COM Technology Solutions Holdings, Inc.), Initial
Term Loan, 3.478%, 5/17/24
 
 $             496,174
 
249,370
Micron Technology, Inc., Term Loan, 3.8%, 4/26/22
 
251,845
       
$943,095
   
Semiconductors - 0.4%
   
 
549,395
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.), First Lien Initial Term Loan, 6.046%, 3/31/22
 
$551,112
   
Total Semiconductor & Semiconductor Equipment
 
$1,494,207
 
   
SOFTWARE & SERVICES - 2.7%
   
   
Application Software - 0.5%
   
 
248,750
Greeneden US Holdings I LLC, Tranche B-2 Dollar Term Loan, 5.007%, 12/1/23
 
$250,732
 
500,000
STG-Fairway Acquisitions, Inc., First Lien Term Loan, 6.546%, 6/30/22
 
482,500
       
$733,232
 
   
Data Processing & Outsourced Services - 0.2%
   
 
250,000
First Data Corp., 2024 New Dollar Term Loan, 3.727%, 4/26/24
 
$251,422
 
   
Home Entertainment Software - 0.0%
   
 
52,000
MA FinanceCo., LLC (aka Micro Focus International Plc), Term Loan B3, 3.979%, 6/21/24
 
$     52,060
 
   
Internet Software & Services - 0.5%
   
 
243,789
Avast Holding BV, Initial Refinancing Dollar Term Loan, 4.546%, 9/30/23
 
$246,423
 
158,400
Blucora, Inc., Term Loan B, 5.037%, 5/22/24
 
159,324
 
250,000(e)
Zayo Group LLC (Zayo Capital, Inc.), 2017 Incremental Refinancing B-2 Term Loan, 1/19/24
 
251,157
       
$656,904
 
   
IT Consulting & Other Services - 1.3%
   
 
137,558
Evergreen Skills Lux S.a.r.l., First Lien Initial Term Loan, 5.984%, 4/28/21
 
$129,691
 
349,624
Go Daddy Operating Co., LLC (GD Finance Co., Inc.), Initial Term Loan, 3.734%, 2/15/24
 
351,394
 
249,375
Rackspace Hosting, Inc., First Lien 2017 Refinancing Term Loan B, 4.172%, 11/3/23
 
250,809
 
300,000
Rocket Software, Inc., Second Lien Term Loan, 10.796%, 10/14/24
 
302,438
 
614,063
Sitel Worldwide Corp., First Lien Term B-1 Loan, 6.813%, 9/18/21
 
614,446
 
250,000
Tempo Acquisition LLC, Term Loan, 4.227%, 5/1/24
 
252,136
       
$1,900,914
 
   
Systems Software - 0.2%
   
 
348,000
Seattle Spinco, Inc. (aka Micro Focus International Plc), Term Loan B, 4.03%, 6/21/24
 
$348,399
   
Total Software & Services
 
$3,942,931
 
 
 
   
TELECOMMUNICATION SERVICES - 1.5%
   
   
Integrated Telecommunication Services - 1.1%
   
 
750,000
CenturyLink, Inc., Initial Term B Loan, 2.75%, 1/31/25
 
$740,918
 
488,369
GCI Holdings, Inc., New Term B Loan, 4.234%, 2/2/22
 
491,269
 
486,811
Level 3 Financing, Inc., Tranche B 2024 Term Loan, 3.479%, 2/22/24
 
489,397
       
$1,721,584
 
   
Wireless Telecommunication Services - 0.4%
   
 
200,000
Digicel International Finance Ltd., First Lien Initial Term B Loan, 4.94%, 5/27/24
 
$202,188
 
349,125
Sprint Communications, Inc., Initial Term Loan, 3.75%, 2/2/24
 
350,616
       
$552,804
   
Total Telecommunication Services
 
$2,274,388
 
 
   
TRANSPORTATION - 1.1%
   
   
Marine - 0.7%
   
 
583,246
Commercial Barge Line Co., Initial Term Loan, 9.984%, 11/12/20
 
$508,882
 
493,750
Navios Maritime Partners LP (Navios Partners Finance (US) Inc.), Initial Term Loan, 6.25%, 9/14/20
 
494,985
       
$1,003,867
 
   
Trucking - 0.4%
   
 
694,777
YRC Worldwide Inc., Tranche B-1 Term Loan, 9.76%, 7/26/22
 
$692,750
   
Total Transportation
 
$1,696,617
 
 
   
UTILITIES - 1.7%
   
   
Electric Utilities - 0.9%
   
 
586,174
APLH Holdings, Ltd., Partnership, Term Loan, 5.484%, 4/13/23
 
$589,593
 
323,377
Talen Energy Supply LLC, Term B-1 Loan, 5.234%, 7/15/23
 
313,979
 
496,905
TPF II Power LLC (TPF II Convert Midco LLC), Term Loan, 5.234%, 10/2/23
 
500,709
       
$1,404,281
 
Principal
Amount
USD ($)
   
Value
 
   
Independent Power Producers & Energy Traders - 0.8%
   
 
498,750
Dynegy, Inc., Tranche C-1 Term Loan, 4.484%, 2/7/24
 
$501,323
 
599,094
TerraForm AP Acquisition Holdings LLC, Term Loan, 5.796%, 6/27/22
 
$612,573
       
$1,113,896
   
Total Utilities
 
$2,518,177
 
   
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
   
   
(Cost  $60,597,620)
 
$60,757,429
   
CORPORATE BONDS & NOTES - 92.2% of Net Assets
   
 
   
AUTOMOBILES & COMPONENTS - 0.8%
   
   
Auto Parts & Equipment - 0.8%
   
EUR
165,000(h)
IHO Verwaltungs GmbH, 3.25% (4.0% PIK 0.0% cash), 9/15/23 (144A)
 
$201,538
EUR
395,000(h)
IHO Verwaltungs GmbH, 3.75% (4.5% PIK 0.0% cash), 9/15/26 (144A)
 
488,329
 
454,000
International Automotive Components Group SA, 9.125%, 6/1/18 (144A)
 
442,273
   
Total Automobiles & Components
 
$1,132,140
 
 
   
BANKS - 4.8%
   
   
Diversified Banks - 3.9%
   
 
200,000
Access Bank Plc, 10.5%, 10/19/21 (144A)
 
$214,868
 
300,000(b)
Banco de Galicia y Buenos Aires, 8.25%, 7/19/26 (144A)
 
334,914
 
200,000(b)(i)
Banco Santander SA, 6.375%
 
205,304
 
950,000(b)(i)
BNP Paribas SA, 7.625% (144A)
 
1,052,125
 
240,000(b)(i)
Goldman Sachs Capital II, 4.0%
 
214,800
 
350,000(b)(i)
ING Groep NV, 6.5%
 
378,000
 
225,000(b)(i)
Intesa Sanpaolo S.p.A., 7.7% (144A)
 
239,344
 
250,000(b)(i)
Royal Bank of Scotland Group Plc, 8.0%
 
273,595
 
400,000(b)(i)
Royal Bank of Scotland Group Plc, 8.625%
 
441,752
 
200,000
Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (144A)
 
205,770
 
460,000(b)(i)
Societe Generale SA, 7.375% (144A)
 
502,550
 
420,000
Turkiye Vakiflar Bankasi TAO, 5.625%, 5/30/22 (144A)
 
424,809
 
344,000(b)
Turkiye Vakiflar Bankasi TAO, 8.0%, 11/1/27 (144A)
 
358,936
 
750,000
UBS AG / Stamford CT, 7.625%, 8/17/22
 
892,500
       
$5,739,267
 
   
Thrifts & Mortgage Finance - 0.9%
   
 
880,000
Financiera Independencia SAB de CV SOFOM ENR, 8.0%, 7/19/24 (144A)
 
$882,200
 
450,000
Vnesheconombank Via VEB Finance Plc, 6.902%, 7/9/20 (144A)
 
487,575
       
$1,369,775
   
Total Banks
 
$7,109,042
 
 
   
CAPITAL GOODS - 2.6%
   
   
Aerospace & Defense - 0.2%
   
 
250,000
Triumph Group, Inc., 4.875%, 4/1/21
 
$236,563
 
   
Agricultural & Farm Machinery - 0.3%
   
 
475,000
Titan International, Inc., 6.875%, 10/1/20
 
$492,219
 
   
Construction & Engineering - 0.3%
   
 
455,000
Tutor Perini Corp., 6.875%, 5/1/25 (144A)
 
$489,125
 
   
Construction Machinery & Heavy Trucks - 0.2%
   
 
360,000
Meritor, Inc., 6.75%, 6/15/21
 
$371,988
 
   
Industrial Conglomerates - 0.9%
   
 
490,000
CSVC Acquisition Corp., 7.75%, 6/15/25 (144A)
 
506,844
 
455,000
JB Poindexter & Co., Inc., 9.0%, 4/1/22 (144A)
 
477,181
 
155,000
Park-Ohio Industries, Inc., 6.625%, 4/15/27 (144A)
 
164,009
       
$1,148,034
 
   
Industrial Machinery - 0.6%
   
 
435,000
Apex Tool Group LLC, 7.0%, 2/1/21 (144A)
 
$407,812
 
450,000
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (144A)
 
463,500
       
$871,312
 
   
Trading Companies & Distributors - 0.1%
   
 
150,000
H&E Equipment Services, Inc., 7.0%, 9/1/22
 
$155,250
   
Total Capital Goods
 
$3,764,491
 
 
   
COMMERCIAL & PROFESSIONAL SERVICES - 1.0%
   
   
Commercial Printing - 0.2%
   
 
340,000
Cenveo Corp., 6.0%, 8/1/19 (144A)
 
$291,550
 
   
Diversified Support Services - 0.6%
   
EUR
475,000
International Car Wash Group Financing PLC, 6.625%, 7/15/19 (144A)
 
$564,759
 
260,000
TMS International Corp., 7.625%, 10/15/21 (144A)
 
272,350
       
$837,109
 
   
Security & Alarm Services - 0.2%
   
 
290,000
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23 (144A)
 
$323,350
   
Total Commercial & Professional Services
 
$1,452,009
 
 
Principal
Amount
USD ($)
   
Value
 
   
CONSUMER DURABLES & APPAREL - 1.1%
   
   
Homebuilding - 0.8%
   
 
135,000
Beazer Homes USA, Inc., 8.75%, 3/15/22
 
$150,669
 
350,000
Brookfield Residential Properties, Inc., 6.375%, 5/15/25 (144A)
 
369,250
 
250,000
KB Home, 7.0%, 12/15/21
 
279,688
 
340,000
KB Home, 7.625%, 5/15/23
 
382,500
       
$1,182,107
   
Textiles - 0.3%
   
 
460,000
Springs Industries, Inc., 6.25%, 6/1/21
 
$472,650
   
Total Consumer Durables & Apparel
 
$1,654,757
 
 
   
CONSUMER SERVICES - 3.5%
   
   
Casinos & Gaming - 1.8%
   
EUR
750,000
Intralot Capital Luxembourg SA, 6.75%, 9/15/21 (144A)
 
$942,282
 
882,412(f)(h)
Mashantucket Western Pequot Tribe, 6.5% (5.5% PIK 1.0% cash), 7/1/36
 
8,824
 
365,000
MGM Resorts International, 6.0%, 3/15/23
 
404,237
 
100,000
Scientific Games International, Inc., 6.25%, 9/1/20
 
101,500
 
1,050,000
Scientific Games International, Inc., 10.0%, 12/1/22
 
1,170,750
       
$2,627,593
 
   
Hotels, Resorts & Cruise Lines - 1.0%
   
 
320,000
Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower, Inc., 6.125%, 12/1/24 (144A)
 
$350,000
 
250,000
Silversea Cruise Finance, Ltd., 7.25%, 2/1/25 (144A)
 
269,062
 
245,000
Viking Cruises, Ltd., 6.25%, 5/15/25 (144A)
 
249,900
 
525,000
Viking Cruises, Ltd., 8.5%, 10/15/22 (144A)
 
551,250
       
$1,420,212
 
   
Restaurants - 0.3%
   
 
495,000
Landry's, Inc., 6.75%, 10/15/24 (144A)
 
$507,524
 
   
Specialized Consumer Services - 0.4%
   
 
160,000
Monitronics International, Inc., 9.125%, 4/1/20
 
$150,000
 
540,000
StoneMor Partners LP / Cornerstone Family Services WV, 7.875%, 6/1/21
 
526,500
       
$676,500
   
Total Consumer Services
 
$5,231,829
 
 
   
DIVERSIFIED FINANCIALS - 7.6%
   
   
Consumer Finance - 1.0%
   
 
600,000
Credito Real SAB de CV SOFOM ER, 7.25%, 7/20/23 (144A)
 
$631,500
 
445,000
Jefferies Finance LLC / JFIN Co-Issuer Corp., 7.375%, 4/1/20 (144A)
 
457,238
 
440,000
TMX Finance LLC / TitleMax Finance Corp., 8.5%, 9/15/18 (144A)
 
414,700
       
$1,503,438
   
Other Diversified Financial Services - 4.3%
   
 
6,000,000(c)(d)
Fixed Income Trust Series 2013-A, 0.0%, 10/15/97 (144A)
 
$6,411,749
 
   
Specialized Finance - 0.5%
   
 
175,000
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 7/1/21
 
$179,375
 
580,000
Nationstar Mortgage LLC / Nationstar Capital Corp., 6.5%, 6/1/22
 
593,050
       
$772,425
 
   
Supranational - 1.8%
   
 
200,000
Banque Ouest Africaine de Developpement, 5.0%, 7/27/27 (144A)
 
$200,100
 
680,000
Banque Ouest Africaine de Developpement, 5.5%, 5/6/21 (144A)
 
718,855
IDR
2,730,000,000
European Investment Bank, 7.2%, 7/9/19 (144A)
 
207,203
 
375,000
International Bank for Reconstruction & Development, 5.572%, 8/11/20 (144A)
 
375,000
 
250,000
International Bank for Reconstruction & Development, 6.972%, 12/20/19 (144A)
 
250,000
 
300,000
International Bank for Reconstruction & Development, 7.956%, 7/15/20
 
300,018
 
250,000
International Bank for Reconstruction & Development, 10.546%, 12/20/19 (144A)
 
250,000
 
300,000
International Bank for Reconstruction & Development, 12.733%, 7/15/20
 
300,600
       
$2,601,776
   
Total Diversified Financials
 
$11,289,388
 
 
   
ENERGY - 14.0%
   
   
Integrated Oil & Gas - 1.8%
   
 
145,000
Ascent Resources Utica Holdings LLC / ARU Finance Corp., 10.0%, 4/1/22 (144A)
 
$148,625
 
410,000
Petrobras Global Finance BV, 6.25%, 3/17/24
 
427,425
 
650,000
Petrobras Global Finance BV, 7.375%, 1/17/27
 
703,625
MXN
540,000
Petroleos Mexicanos, 7.19%, 9/12/24 (144A)
 
27,249
 
995,000
YPF SA, 6.95%, 7/21/27 (144A)
 
1,005,945
 
325,000
YPF SA, 8.875%, 12/19/18 (144A)
 
348,303
       
$2,661,172
 
Principal
Amount
USD ($)
   
Value
 
   
Oil & Gas Drilling - 0.5%
   
 
442,000
Rowan Cos., Inc., 5.4%, 12/1/42
 
$320,450
 
62,000
Rowan Cos., Inc., 5.85%, 1/15/44
 
47,268
 
289,904
Shelf Drilling Holdings, Ltd., 9.5%, 11/2/20 (144A)
 
285,555
 
160,000
Trinidad Drilling, Ltd., 6.625%, 2/15/25 (144A)
 
150,800
       
$804,073
 
   
Oil & Gas Equipment & Services - 0.7%
   
 
540,000
Archrock Partners LP / Archrock Partners Finance Corp., 6.0%, 10/1/22
 
$526,500
 
425,000
McDermott International, Inc., 8.0%, 5/1/21 (144A)
 
432,969
       
$959,469
 
   
Oil & Gas Exploration & Production - 6.1%
   
 
300,000
Alta Mesa Holdings LP / Alta Mesa Finance Services Corp., 7.875%, 12/15/24 (144A)
 
$315,000
 
200,000
California Resources Corp., 8.0%, 12/15/22 (144A)
 
127,500
 
200,000
Chesapeake Energy Corp., 8.0%, 1/15/25 (144A)
 
200,500
 
250,000
Extraction Oil & Gas, Inc. / Extraction Finance Corp., 7.875%, 7/15/21 (144A)
 
260,937
 
360,000
GeoPark Latin America, Ltd., Agencia en Chile, 7.5%, 2/11/20 (144A)
 
369,900
 
410,000
Great Western Petroleum LLC / Great Western Finance, Inc., 9.0%, 9/30/21 (144A)
 
411,025
 
740,000
Gulfport Energy Corp., 6.0%, 10/15/24 (144A)
 
730,750
 
450,000
Gulfport Energy Corp., 6.375%, 5/15/25 (144A)
 
449,437
 
275,000
Halcon Resources Corp., 6.75%, 2/15/25 (144A)
 
280,415
 
402,000
Halcon Resources Corp., 12.0%, 2/15/22 (144A)
 
482,400
 
420,000
MEG Energy Corp., 6.5%, 1/15/25 (144A)
 
406,350
 
1,045,000
Nostrum Oil & Gas Finance BV, 8.0%, 7/25/22 (144A)
 
1,050,225
 
450,000
Novatek OAO via Novatek Finance DAC, 4.422%, 12/13/22 (144A)
 
459,040
 
390,000
Oasis Petroleum, Inc., 6.875%, 3/15/22
 
386,100
 
470,000
PDC Energy, Inc., 7.75%, 10/15/22
 
491,150
 
523,457(h)
PetroQuest Energy, Inc., 10.0% (9.0% PIK 1.0% cash), 2/15/21
 
392,593
 
375,000
Rice Energy, Inc., 6.25%, 5/1/22
 
391,875
 
870,000
Sanchez Energy Corp., 7.75%, 6/15/21
 
787,350
 
150,000
Whiting Petroleum Corp., 5.0%, 3/15/19
 
147,563
 
480,000
Whiting Petroleum Corp., 5.75%, 3/15/21
 
455,400
 
300,000
WPX Energy, Inc., 7.5%, 8/1/20
 
321,000
 
150,000
WPX Energy, Inc., 8.25%, 8/1/23
 
165,000
       
$9,081,510
 
   
Oil & Gas Refining & Marketing - 0.5%
   
 
669,000
Calumet Specialty Products Partners LP / Calumet Finance Corp., 6.5%, 4/15/21
 
$610,462
 
200,000
PBF Holding Co., LLC / PBF Finance Corp., 7.0%, 11/15/23
 
201,000
       
$811,462
 
   
Oil & Gas Storage & Transportation - 4.4%
   
 
220,000
Blue Racer Midstream LLC / Blue Racer Finance Corp., 6.125%, 11/15/22 (144A)
 
$224,950
 
200,000
Cheniere Corpus Christi Holdings LLC, 7.0%, 6/30/24
 
229,000
 
230,000
DCP Midstream Operating LP, 5.6%, 4/1/44
 
218,500
 
555,000
Delek Logistics Partners LP, 6.75%, 5/15/25 (144A)
 
561,938
 
450,000(a)
Energy Transfer LP, 4.328%, 11/1/66
 
393,750
 
118,000
EnLink Midstream Partners LP, 5.05%, 4/1/45
 
112,540
 
344,000
EnLink Midstream Partners LP, 5.6%, 4/1/44
 
350,028
 
950,000
Genesis Energy LP / Genesis Energy Finance Corp., 6.75%, 8/1/22
 
964,250
 
480,000
Global Partners LP / GLP Finance Corp., 7.0%, 6/15/23
 
484,800
 
170,000
PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/23
 
175,100
 
925,000
Sunoco LP / Sunoco Finance Corp., 6.375%, 4/1/23
 
973,563
 
520,000
Western Refining Logistics LP / WNRL Finance Corp., 7.5%, 2/15/23
 
560,300
 
1,175,000
Williams Cos., Inc., 5.75%, 6/24/44
 
1,222,000
       
$6,470,719
   
Total Energy
 
$20,788,405
 
 
   
FOOD & STAPLES RETAILING - 0.3%
   
   
Food Retail - 0.3%
   
 
200,000
C&S Group Enterprises LLC, 5.375%, 7/15/22 (144A)
 
$196,500
 
260,000
Tops Holding LLC / Tops Markets II Corp., 8.0%, 6/15/22 (144A)
 
210,600
 
225,000(f)
Tonon Luxembourg SA, 10.5%, 5/14/24 (144A)
 
91,969
   
Total Food & Staples Retailing
 
$499,069
 
 
   
FOOD, BEVERAGE & TOBACCO - 6.3%
   
   
Agricultural Products - 0.3%
   
 
444,769
Pinnacle Operating Corp., 9.0%, 5/15/23 (144A)
 
$422,530
 
   
Packaged Foods & Meats - 5.1%
   
 
300,000(f)
CFG Investment SAC, 9.75%, 7/30/19 (144A)
 
$285,180
 
655,000
JBS Investments GmbH, 7.25%, 4/3/24 (144A)
 
636,988
 
515,000
Marfrig Holding Europe BV, 6.875%, 6/24/19 (144A)
 
530,450
 
Principal
Amount
USD ($)
   
Value
 
   
Packaged Foods & Meats - (continued)
   
 
975,000
Marfrig Holding Europe BV, 8.0%, 6/8/23 (144A)
 
$                      1,012,781
 
800,000
Marfrig Holding Europe BV, 8.375%, 5/9/18 (144A)
 
824,000
 
700,000
Marfrig Holding Europe BV, 11.25%, 9/20/21 (144A)
 
700,875
 
700,000
MHP SA, 8.25%, 4/2/20 (144A)
 
745,500
 
580,000
Minerva Luxembourg SA, 6.5%, 9/20/26 (144A)
 
580,000
 
1,600,000
Minerva Luxembourg SA, 7.75%, 1/31/23 (144A)
 
1,680,000
 
600,000
Pesquera Exalmar SAA, 7.375%, 1/31/20 (144A)
 
544,500
       
$7,540,274
 
   
Soft Drinks - 0.2%
   
 
355,000
Cott Beverages, Inc., 5.375%, 7/1/22
 
$368,313
 
   
Tobacco - 0.7%
   
 
160,000
Alliance One International, Inc., 8.5%, 4/15/21 (144A)
 
$167,600
 
960,000
Alliance One International, Inc., 9.875%, 7/15/21
 
861,600
       
$1,029,200
   
Total Food, Beverage & Tobacco
 
$9,360,317
 
 
   
HEALTH CARE EQUIPMENT & SERVICES - 1.8%
   
   
Health Care Facilities - 1.5%
   
 
700,000
Kindred Healthcare, Inc., 6.375%, 4/15/22
 
$649,250
 
445,000
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/1/23 (144A)
 
478,375
 
455,000
Team Health Holdings, Inc., 6.375%, 2/1/25 (144A)
 
445,900
 
630,000
Universal Hospital Services, Inc., 7.625%, 8/15/20
 
641,025
       
$2,214,550
 
   
Health Care Services - 0.3%
   
 
425,000
BioScrip, Inc., 8.875%, 2/15/21
 
$382,500
   
Total Health Care Equipment & Services
 
$2,597,050
 
 
   
INSURANCE - 23.8%
   
   
Property & Casualty Insurance - 0.4%
   
 
80,000(b)(i)
Sirius International Group, Ltd., 7.506% (144A)
 
$     79,800
 
500,000(a)
Spectrum Capital Ltd., 6.974%, 6/8/21 (144A)
 
503,000
       
$582,800
 
   
Reinsurance - 23.4%
   
 
500,000(j)(k)
Ailsa 2017, Variable Rate Notes, 6/15/18
 
$477,600
 
500,000(a)
Alamo Re, Ltd., 4.822%, 6/8/20 (144A) (Cat Bond)
 
506,300
 
300,000(a)
Aozora Re, Ltd., 3.157%, 4/7/21 (144A) (Cat Bond)
 
303,570
 
500,000(a)
Aozora Re, Ltd., 3.488%, 4/7/20 (144A) (Cat Bond)
 
507,600
 
750,000(a)
Bosphorus Re, Ltd., 4.468%, 8/17/18 (144A) (Cat Bond)
 
762,000
 
400,000(a)
Caelus Re V, Ltd, Series C, 7.572%, 6/5/20 (144A) (Cat Bond)
 
401,320
 
375,000(a)
Caelus Re V, Ltd., Series D, 10.322%, 6/5/20 (144A) (Cat Bond)
 
375,150
 
800,000(j)(k)
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 12/31/17
 
16,320
 
1,000,000(j)(k)
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
 
108,200
 
1,000,000(j)(k)
Carnoustie Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/21
 
1,038,600
 
750,000(a)
Citrus Re, Ltd., 8.572%, 2/25/19 (144A) (Cat Bond)
 
759,300
 
750,000(a)
Cranberry Re, Ltd., 3.048%, 7/13/20 (144A) (Cat Bond)
 
750,750
 
650,000(j)(k)
Cyprus Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 1/10/18
 
614,055
 
1,750,000(a)
East Lane Re VI, Ltd., 3.722%, 3/14/18 (144A) (Cat Bond)
 
1,751,750
 
1,000,000(j)(k)
Eden Re II, Ltd., Variable Rate Notes, 3/22/21 (144A)
 
1,043,300
 
250,000(a)
Galilei Re, Ltd., 9.145%, 1/8/21 (144A) (Cat Bond)
 
249,850
 
250,000(a)
Galilei Re, Ltd., 14.375%, 1/8/20 (144A) (Cat Bond)
 
248,375
 
250,000(a)
Galilei Re, Ltd., 14.395%, 1/8/21 (144A) (Cat Bond)
 
250,325
 
250,000(a)
Galileo Re, Ltd., 9.792%, 1/8/19 (144A) (Cat Bond)
 
249,400
 
250,000(a)
Galileo Re, Ltd., 14.312%, 1/8/19 (144A) (Cat Bond)
 
247,250
 
157,500(a)
Gator Re, Ltd., 0.5%, 8/9/17 (144A) (Cat Bond)
 
2
 
2,400,000(j)(k)
Gleneagles Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
 
281,280
 
1,500,000(j)(k)
Gleneagles Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/21
 
1,535,400
 
750,000(j)(k)
Gulfstream, Variable Rate Notes, 6/12/18
 
710,925
 
2,500,000(j)(k)
Gullane Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/20
 
54,500
 
2,500,000(j)(k)
Gullane Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 11/30/21
 
2,663,250
 
750,000(a)
Integrity Re, Ltd, Series A, 4.315%, 6/10/20 (144A) (Cat Bond)
 
752,400
 
500,000(a)
Integrity Re, Ltd., Series C, 5.065%, 6/10/20 (144A) (Cat Bond)
 
503,650
 
500,000(a)
Kilimanjaro II Re, Ltd., 8.648%, 4/20/21 (144A) (Cat Bond)
 
508,550
 
500,000(a)
Kilimanjaro II Re, Ltd., 11.148%, 4/20/21 (144A) (Cat Bond)
 
509,200
 
1,000,000(j)(k)
Lahinch Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 5/10/21
 
2,400
 
750,000(j)(k)
Lahinch Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 5/10/22
 
738,600
EUR
500,000(a)
Lion II Re, DAC, 2.681%, 7/15/21 (144A) (Cat Bond)
 
591,466
 
Principal
Amount
USD ($)
   
Value
 
   
Reinsurance - (continued)
   
 
1,450,000(j)(k)
Lorenz Re, Ltd. (Prime, Ltd.), Variable Rate Notes, 3/31/18
 
$                      24,940
 
1,000,000(j)(k)
Lorenz Re 2017, Ltd. (Prime, Ltd.), Variable Rate Notes, 3/31/20
 
1,035,500
 
500,000(a)
Merna Re, Ltd., 3.072%, 4/8/20 (144A) (Cat Bond)
 
503,100
 
500,000(a)
Nakama Re, Ltd., 3.246%, 10/13/21 (144A) (Cat Bond)
 
508,600
 
750,000(a)
Northshore Re II, Ltd., 8.322%, 7/6/20 (144A) (Cat Bond)
 
751,050
 
3,000,000(j)(k)
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2015-1, Variable Rate Notes, 2/1/19
 
13,500
 
2,000,000(j)(k)
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2016-1, Variable Rate Notes, 2/1/20
 
183,800
 
2,000,000(j)(k)
Pangaea Re Segregated Account (Artex SAC, Ltd.), Series 2017-1, Variable Rate Notes, 11/30/21
 
2,094,000
 
750,000(j)(k)
Portrush 2017 Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 6/15/18
 
701,250
 
2,000,000(a)
Queen Street X Re, Ltd., 6.822%, 6/8/18 (144A) (Cat Bond)
 
1,990,600
 
500,000(l)
Residential Reinsurance 2016 Ltd., 12/6/17 (144A) (Cat Bond)
 
481,100
 
700,000(j)(k)
Resilience Re, Ltd., Variable Rate Notes, 1/8/18
 
674,590
AUD
300,000(j)(k)
Rewire Securities LLC, Variable Rate Notes, 1/10/18
 
22,757
 
500,000(a)
Sanders Re Ltd., 4.523%, 6/5/20 (144A) (Cat Bond)
 
498,550
 
1,000,000(j)(k)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/18/17 (144A)
 
2,000
 
1,000,000(j)(k)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/17/18 (144A)
 
48,800
 
1,000,000(j)(k)
Silverton Re, Ltd. (Aon Benfield Securities, Inc.), Variable Rate Notes, 9/16/19 (144A)
 
1,071,200
 
1,000,000(j)(k)
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 12/31/17
 
19,700
 
1,000,000(j)(k)
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/1/18
 
140,600
 
1,000,000(j)(k)
St. Andrews Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 2/1/19
 
1,054,100
JPY
150,799,195(j)(k)
Tralee Segregated Account (Artex SAC, Ltd.), Variable Rate Notes, 7/20/17
 
1,360,605
 
500,000(a)
Vitality Re VI, Ltd., 3.172%, 1/8/18 (144A) (Cat Bond)
 
500,800
 
1,000,000(a)
Vitality Re VII, Ltd., 3.722%, 1/7/20 (144A) (Cat Bond)
 
1,017,300
 
500,000(j)(k)
Wentworth 2017, Variable Rate Notes, 7/13/18
 
445,250
       
$34,656,330
   
Total Insurance
 
$35,239,130
 
 
   
MATERIALS - 6.4%
   
   
Commodity Chemicals - 0.6%
   
 
300,000
Basell Finance Co., BV, 8.1%, 3/15/27 (144A)
 
$400,861
 
175,000
Hexion US Finance Corp., 6.625%, 4/15/20
 
164,281
 
336,000
Rain CII Carbon LLC / CII Carbon Corp., 7.25%, 4/1/25 (144A)
 
349,440
       
$914,582
 
   
Construction Materials - 0.2%
   
 
215,000
Cemex SAB de CV, 7.75%, 4/16/26 (144A)
 
$246,712
 
   
Copper - 0.6%
   
 
425,000
First Quantum Minerals, Ltd., 7.25%, 4/1/23 (144A)
 
$437,750
 
465,000
Freeport-McMoRan, Inc., 3.55%, 3/1/22
 
451,050
       
$888,800
 
   
Diversified Chemicals - 1.2%
   
 
55,000
Blue Cube Spinco, Inc., 9.75%, 10/15/23
 
$     67,100
 
55,000
Blue Cube Spinco, Inc., 10.0%, 10/15/25
 
68,200
 
500,000
Evolution Escrow Issuer LLC, 7.5%, 3/15/22 (144A)
 
523,750
 
1,025,000
Koks OAO Via Koks Finance DAC, 7.5%, 5/4/22 (144A)
 
1,056,217
       
$1,715,267
 
   
Diversified Metals & Mining - 1.0%
   
 
109,000
Boart Longyear Management Pty, Ltd., 10.0%, 10/1/18 (144A)
 
$     85,020
 
300,000
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/1/22 (144A)
 
340,860
 
200,000
Hudbay Minerals, Inc., 7.25%, 1/15/23 (144A)
 
216,750
 
180,000
Prince Mineral Holding Corp., 11.5%, 12/15/19 (144A)
 
186,048
 
70,000
Teck Resources, Ltd., 8.5%, 6/1/24 (144A)
 
81,200
 
160,000
Vale Overseas, Ltd., 6.25%, 8/10/26
 
177,840
 
375,000
Vedanta Resources Plc, 6.375%, 7/30/22 (144A)
 
389,062
       
$1,476,780
 
   
Fertilizers & Agricultural Chemicals - 0.1%
   
 
200,000
CVR Partners LP / CVR Nitrogen Finance Corp., 9.25%, 6/15/23 (144A)
 
$203,750
 
   
Metal & Glass Containers - 0.4%
   
 
100,000(h)
ARD Finance SA, 7.125% (7.875% PIK 0.0% cash), 9/15/23
 
$107,416
 
320,000
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc., 7.25%, 5/15/24 (144A)
 
353,200
EUR
150,000
Horizon Holdings I SASU, 7.25%, 8/1/23 (144A)
 
189,436
       
$650,052
 
   
Paper Packaging - 1.5%
   
 
390,000
Eldorado International Finance GmbH, 8.625%, 6/16/21 (144A)
 
$406,088
         
 
Principal
Amount
USD ($)
   
Value
 
   
Paper Packaging - (continued)
   
EUR
1,365,000
SIG Combibloc Holdings SCA, 7.75%, 2/15/23 (144A)
 
$1,713,774
       
$2,119,862
 
   
Specialty Chemicals - 0.5%
   
 
410,000
A Schulman, Inc., 6.875%, 6/1/23
 
$428,450
 
150,000
Koppers, Inc., 6.0%, 2/15/25 (144A)
 
159,750
 
160,000
Tronox Finance LLC, 6.375%, 8/15/20
 
160,800
       
$749,000
 
   
Steel - 0.3%
   
 
250,000
Evraz Group SA, 9.5%, 4/24/18 (144A)
 
$262,188
 
215,000
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 (144A)
 
221,450
       
$483,638
   
Total Materials
 
$9,448,443
 
 
   
MEDIA - 1.8%
   
   
Advertising - 0.2%
   
 
270,000
MDC Partners, Inc., 6.5%, 5/1/24 (144A)
 
$271,350
   
Broadcasting - 0.2%
   
 
315,000
CSC Holdings LLC, 5.5%, 4/15/27 (144A)
 
$335,475
 
   
Cable & Satellite - 0.3%
   
 
220,000
DISH DBS Corp., 7.75%, 7/1/26
 
$263,450
 
78,000
Intelsat Connect Finance SA, 12.5%, 4/1/22 (144A)
 
74,783
       
$338,233
 
   
Movies & Entertainment - 0.5%
   
 
600,000
Gibson Brands, Inc., 8.875%, 8/1/18 (144A)
 
$513,000
 
225,000
Regal Entertainment Group, 5.75%, 2/1/25
 
232,031
       
$745,031
 
   
Publishing - 0.6%
   
 
855,000
Gannett Co., Inc., 6.375%, 10/15/23
 
$905,231
   
Total Media
 
$2,595,320
 
 
   
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 2.0%
   
   
Pharmaceuticals - 2.0%
   
 
650,000
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 7/15/23 (144A)
 
$563,469
 
240,000
Endo Finance LLC / Endo, Ltd. / Endo Finco, Inc., 6.0%, 2/1/25 (144A)
 
203,100
 
225,000
Horizon Pharma, Inc., 6.625%, 5/1/23
 
213,187
 
70,000
Horizon Pharma, Inc. / Horizon Pharma USA, Inc., 8.75%, 11/1/24 (144A)
 
71,487
 
208,000
Patheon Holdings I BV, 7.5%, 2/1/22 (144A)
 
220,480
EUR
450,000
VRX Escrow Corp., 4.5%, 5/15/23
 
438,489
EUR
345,000
VRX Escrow Corp., 4.5%, 5/15/23 (144A)
 
336,175
 
494,000
VRX Escrow Corp., 5.875%, 5/15/23 (144A)
 
424,840
 
430,000
VRX Escrow Corp., 7.0%, 3/15/24 (144A)
 
457,950
   
Total Pharmaceuticals, Biotechnology & Life Sciences
 
$2,929,177
 
 
   
REAL ESTATE - 1.4%
   
   
Specialized REIT - 1.4%
   
 
428,536(h)
AAF Holdings LLC / AAF Finance Co., 12.0% (12.75% PIK 12.0% Cash), 7/1/19 (144A)
 
$445,677
 
1,520,000
Uniti Group, Inc. / CSL Capital LLC, 8.25%, 10/15/23
 
1,565,600
   
Total Real Estate
 
$2,011,277
 
 
   
RETAILING - 1.1%
   
   
Department Stores - 1.1%
   
 
655,000
Grupo Kaltex SA de CV, 8.875%, 4/11/22 (144A)
 
$582,950
 
350,000
Neiman Marcus Group, Ltd., LLC, 8.0%, 10/15/21 (144A)
 
193,375
 
300,000
PetSmart, Inc., 7.125%, 3/15/23 (144A)
 
271,500
 
660,000
PetSmart, Inc., 8.875%, 6/1/25 (144A)
 
625,350
   
Total Retailing
 
$1,673,175
 
 
   
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.2%
   
   
Semiconductors - 0.2%
   
 
200,000
Micron Technology, Inc., 5.5%, 2/1/25
 
$212,188
 
150,000
Micron Technology, Inc., 5.625%, 1/15/26 (144A)
 
157,125
   
Total Semiconductors & Semiconductor Equipment
 
$369,313
 
 
   
SOFTWARE & SERVICES - 0.6%
   
   
IT Consulting & Other Services - 0.6%
   
 
130,000
Dell International LLC / EMC Corp., 7.125%, 6/15/24 (144A)
 
$144,664
 
635,000
Rackspace Hosting, Inc., 8.625%, 11/15/24 (144A)
 
685,800
   
Total Software & Services
 
$830,464
 
 
   
TECHNOLOGY HARDWARE & EQUIPMENT - 0.7%
   
   
Communications Equipment - 0.2%
   
 
280,000
CommScope Technologies LLC, 6.0%, 6/15/25 (144A)
 
$301,000
 
   
Electronic Equipment & Instruments - 0.1%
   
 
89,000
Zebra Technologies Corp., 7.25%, 10/15/22
 
$     94,729
 
Principal
Amount
USD ($)
   
Value
 
   
Technology Hardware, Storage & Peripherals - 0.4%
   
 
560,000
Diebold Nixdorf, Inc., 8.5%, 4/15/24
 
$611,100
   
Total Technology Hardware & Equipment
 
$1,006,829
 
 
   
TELECOMMUNICATION SERVICES - 4.1%
   
   
Integrated Telecommunication Services - 2.0%
   
 
300,000
Cincinnati Bell, Inc., 7.0%, 7/15/24 (144A)
 
$303,750
 
1,165,000
Frontier Communications Corp., 8.75%, 4/15/22
 
1,024,472
 
290,000
Frontier Communications Corp., 11.0%, 9/15/25
 
265,712
 
750,000
GCI, Inc., 6.875%, 4/15/25
 
815,625
 
600,000
Windstream Corp., 7.5%, 6/1/22
 
513,000
       
$2,922,559
 
   
Wireless Telecommunication Services - 2.1%
   
 
250,000
Altice Finco SA, 8.125%, 1/15/24 (144A)
 
$271,250
 
300,000
Altice SA, 7.75%, 5/15/22 (144A)
 
318,750
 
225,000
Digicel Group, Ltd., 8.25%, 9/30/20 (144A)
 
215,719
 
750,000
Digicel, Ltd., 6.0%, 4/15/21 (144A)
 
729,000
 
200,000
Mobile Telesystems OJSC via MTS International Funding, Ltd., 5.0%, 5/30/23 (144A)
 
204,000
 
340,000
Sprint Corp., 7.125%, 6/15/24
 
372,725
 
485,000
Sprint Corp., 7.25%, 9/15/21
 
538,350
 
250,000
Unison Ground Lease Funding LLC, 5.78%, 3/15/20 (144A)
 
248,032
RUB
14,100,000
VimpelCom Holdings BV, 9.0%, 2/13/18 (144A)
 
235,266
       
$3,133,092
   
Total Telecommunication Services
 
$6,055,651
 
 
   
TRANSPORTATION - 1.5%
   
   
Airlines - 0.7%
   
 
155,000
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co., 6.875%, 2/15/19 (144A)
 
$153,063
 
300,000
Latam Finance Ltd., 6.875%, 4/11/24 (144A)
 
307,650
 
500,000
TAM Capital 3, Inc., 8.375%, 6/3/21 (144A)
 
512,500
       
$973,213
 
   
Airport Services - 0.1%
   
 
200,000
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 3/30/29 (144A)
 
$215,220
 
   
Highways & Railtracks - 0.3%
   
MXN
4,500,000
Red de Carreteras de Occidente SAPIB de CV, 9.0%, 6/10/28 (144A)
 
$242,147
 
260,000
Rumo Luxembourg S.a.r.l., 7.375%, 2/9/24 (144A)
 
270,374
       
$512,521
 
   
Marine - 0.4%
   
 
300,000(f)
Far East Capital, Ltd., SA, 8.0%, 5/2/18
 
$212,400
 
375,000
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 7.25%, 5/1/22 (144A)
 
365,156
       
$577,556
   
Total Transportation
 
$2,278,510
 
 
   
UTILITIES - 4.8%
   
   
Electric Utilities - 1.1%
   
 
575,000
Centrais Eletricas Brasileiras SA, 5.75%, 10/27/21
 
$595,987
 
460,000(b)
Enel S.p.A, 8.75%, 9/24/73 (144A)
 
554,300
 
225,000
Stoneway Capital Corp., 10.0%, 3/1/27 (144A)
 
236,250
 
438,000
Talen Energy Supply LLC, 6.5%, 6/1/25
 
316,455
       
$1,702,992
 
   
Gas Utilities - 1.0%
   
 
665,000
Ferrellgas LP / Ferrellgas Finance Corp., 6.75%, 6/15/23
 
$626,763
 
400,000
Ferrellgas Partners LP / Ferrellgas Partners Finance Corp., 8.625%, 6/15/20 (144A)
 
350,000
 
492,450
Transportadora de Gas del Sur SA, 9.625%, 5/14/20 (144A)
 
530,664
       
$1,507,427
 
   
Independent Power Producers & Energy Traders - 2.7%
   
 
224,000
Calpine Corp., 5.75%, 1/15/25
 
$209,160
 
633,000
Dynegy, Inc., 8.0%, 1/15/25 (144A)
 
626,670
 
570,000
NRG Energy, Inc., 6.625%, 1/15/27
 
585,675
 
320,000
NRG Energy, Inc., 7.25%, 5/15/26
 
338,400
 
232,009
NSG Holdings LLC / NSG Holdings, Inc., 7.75%, 12/15/25 (144A)
 
249,989
 
1,065,000
TerraForm Global Operating LLC, 9.75%, 8/15/22 (144A)
 
1,184,813
 
125,000(c)
TerraForm Power Operating LLC, 6.375%, 2/1/23 (144A)
 
130,000
 
585,000(c)
TerraForm Power Operating LLC, 6.625%, 6/15/25 (144A)
 
623,025
       
$3,947,732
   
Total Utilities
 
$7,158,151
 
   
TOTAL CORPORATE BONDS & NOTES
   
   
(Cost  $128,202,979)
 
$136,473,937
 
Principal
Amount
USD ($)
   
Value
 
   
CONVERTIBLE BOND - 1.3% of Net Assets
   
 
   
MATERIALS - 1.3%
   
   
Specialty Chemicals - 1.3%
   
 
1,900,000(m)
Hercules LLC, 6.5%, 6/30/29
 
$1,909,500
 
   
Total Materials
 
$1,909,500
 
   
TOTAL CONVERTIBLE BOND
   
   
(Cost  $1,239,869)
 
$1,909,500
 
   
SOVEREIGN DEBT OBLIGATIONS -  2.6% of Net Assets
   
   
Argentina - 1.8%
   
 
223,422
Province of Salta Argentina, 9.5%, 3/16/22 (144A)
 
$235,711
 
360,000
Provincia de Buenos Aires, 9.125%, 3/16/24 (144A)
 
400,320
 
230,000
Provincia de Buenos Aires, 9.95%, 6/9/21 (144A)
 
260,631
 
670,000
Provincia de Entre Rios Argentina, 8.75%, 2/8/25 (144A)
 
677,089
 
1,135,000
Provincia del Chubut Argentina, 7.75%, 7/26/26 (144A)
 
1,132,877
       
$2,706,628
   
Bahrain - 0.2%
   
 
300,000
Bahrain Government International Bond, 7.0%, 10/12/28 (144A)
 
$308,324
 
   
Ghana - 0.2%
   
GHS
888,000
Ghana Government Bond, 24.75%, 7/19/21
 
$236,756
 
   
Kenya - 0.3%
   
 
500,000
Kenya Government International Bond, 6.875%, 6/24/24 (144A)
 
$510,160
 
   
Mexico - 0.1%
   
MXN
970,000
Mexican Bonos, 7.75%, 11/13/42
 
$     58,008
MXN
345,907
Mexican Udibonos, 3.5%, 12/14/17
 
19,540
       
$     77,548
   
TOTAL SOVEREIGN DEBT OBLIGATIONS
   
   
(Cost  $3,658,030)
 
$3,839,416
 
Shares
   
Value
 
   
COMMON STOCKS -  0.2% of Net Assets
   
   
CAPITAL GOODS - 0.0%
   
   
Industrial Machinery - 0.0%
   
 
10,289(d)(g)
Liberty Tire Recycling LLC
 
$            103
         
   
Total Capital Goods
 
$            103
         
   
CONSUMER DURABLES & APPAREL - 0.0%
   
   
Homebuilding - 0.0%
   
 
89,094(g)
Desarrolladora Homex SAB de CV
 
$        5,303
         
   
Total Consumer Durables & Apparel
 
$        5,303
         
   
ENERGY - 0.0%
   
   
Oil & Gas Exploration & Production - 0.0%
   
 
273(g)
Midstates Petroleum Co., Inc.
 
$        3,871
 
11,059(g)
PetroQuest Energy, Inc.
 
23,998
   
Total Energy
 
$     27,869
         
   
HEALTH CARE EQUIPMENT & SERVICES - 0.0%
   
   
Health Care Technology - 0.0%
   
 
69,875(d)(g)
Medical Card System, Inc.
 
$            699
         
   
Total Health Care Equipment & Services
 
$            699
         
   
RETAILING - 0.0%
   
   
Computer & Electronics Retail - 0.0%
   
 
42,088(d)(g)
Targus Cayman SubCo., Ltd.
 
$     40,825
         
   
Total Retailing
 
$     40,825
         
   
TRANSPORTATION - 0.2%
   
   
Air Freight & Logistics - 0.2%
   
 
943(g)
CEVA Holdings LLC
 
$284,974
   
Total Transportation
 
$284,974
         
   
TOTAL COMMON STOCKS
   
   
(Cost  $1,137,301)
 
$359,773
 
 
   
CONVERTIBLE PREFERRED STOCK -  0.7% of Net Assets
   
   
BANKS - 0.7%
   
   
Diversified Banks - 0.7%
   
 
770(i)
Bank of America Corp., 7.25%
 
$999,460
       
   
Total Banks
 
$999,460
         
   
TOTAL CONVERTIBLE PREFERRED STOCK
   
   
(Cost  $739,352)
 
$999,460
 
 
   
PREFERRED STOCKS -  1.3% of Net Assets
   
   
BANKS - 1.1%
   
   
Diversified Banks - 1.1%
   
 
500(b)(i)
AgStar Financial Services ACA, 6.75%
 
$534,969
 
40,675(b)
GMAC Capital Trust I, 6.967%, 2/15/40
 
1,079,921
   
Total Banks
 
$1,614,890
         
 
Shares
   
Value
   
MATERIALS - 0.2%
   
   
Diversified Chemicals - 0.2%
   
 
455,230
Pinnacle Agriculture
 
$295,900
       
   
Total Materials
 
$295,900
         
   
TOTAL PREFERRED STOCKS
   
   
(Cost  $1,810,581)
 
$1,910,790
 
 
   
WARRANT -  0.0% of Net Assets
   
   
ENERGY - 0.0%
   
   
Oil & Gas Exploration & Production - 0.0%
   
 
1,934(g)(n)
Midstates Petroleum Co., Inc., Expires 4/21/20
 
$                  
       
   
Total Energy
 
$                  
         
   
TOTAL WARRANT
   
   
(Cost  $)
 
$                  
 
Principal
Amount
USD ($)
     
   
TEMPORARY CASH INVESTMENTS - 0.4% of Net Assets
   
 
   
TREASURY BILL -  0.4%
   
 
530,000(l)
U.S. Treasury Bill, 8/10/17
 
$529,875
 
   
TOTAL TEMPORARY CASH INVESTMENTS
   
   
(Cost  $529,877)
 
$529,875
               
 
Number of
Contracts
Description
Counterparty
Strike
Price
Expiration Date
   
 
   
CALL OPTIONS PURCHASED -  0.0%
   
MXN
18,332(o)
Desarrolladora Homex SAB de CV
Bank of New York Mellon Corp.
$(q)
10/23/22
 
$                  
MXN
18,332(p)
Desarrolladora Homex SAB de CV
Bank of New York Mellon Corp.
(q)
10/23/22
 
       
$                  
   
TOTAL CALL OPTIONS PURCHASED
   
   
(Premium paid  $0)
 
$                  
 
   
TOTAL INVESTMENTS IN SECURITIES - 143.3%
   
   
(Cost - $203,326,788) (r)(s)
 
$212,033,940
   
OTHER ASSETS AND LIABILITIES - (43.3)%
 
$(64,050,310)
   
NET ASSETS - 100.0%
 
$147,983,630
 


REIT
Real Estate Investment Trust.
(144A)
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At July 31, 2017, the value of these securities amounted to $91,540,202, or 61.9% of net assets.
(Cat Bond)
Catastrophe or event-linked bond. At July 31, 2017, the value of these securities amounted to $16,479,308, or 11.1% of net assets.
Amount rounds to less than 0.1%.
 


*
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (j) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at July 31, 2017.
(a)
Floating rate note. The rate shown is the coupon rate at July 31, 2017.
(b)
The interest rate is subject to change periodically. The interest rate shown is the rate at July 31, 2017.
(c)
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date.  The rate shown is the rate at July 31, 2017.
(d)
Security is valued using fair value methods (other than prices supplied by independent pricing services).
(e)
This term loan will settle after July 31, 2017, at which time the interest rate will be determined.
(f)
Security is in default.
(g)
Non-income producing.
(h)
Payment in Kind (PIK) security which may pay interest in the form of additional principal amount.
(i)
Security is perpetual in nature and has no stated maturity date.
(j)
Structured reinsurance investment. At July 31, 2017, the value of these securities amounted to $18,177,022, or 12.3% of net assets.
(k)
Rate to be determined.
(l)
Security issued with a zero coupon. Income is recognized through accretion of discount.
(m)
Security is priced as a unit.
(n)
Midstates Petroleum Co., Inc. warrants are exercisable into 1,934 shares.
(o)
Option does not become effective until underlying companys outstanding common shares
reach a market capitalization of MXN 12.5 Billion.
(p)
Option does not become effective until underlying companys outstanding common shares
reach a market capitalization of MXN 15.5 Billion.
(q)
Strike price is 1 Mexican Peso (MXN).
 
(r)
At July 31, 2017, the net unrealized appreciation on investments based on cost for federal tax purposes of $205,588,389 was as follows:
   
 
Aggregate gross unrealized appreciation for all investments in which there
   
 
     is an excess of value over tax cost
 
$                      12,847,442
 
Aggregate gross unrealized depreciation for all investments in which there
   
 
     is an excess of tax cost over value
 
(6,401,891)
   
 
Net unrealized appreciation
$                      6,445,551
 


(s)
Distributions of investments by country of issue, as a percentage of long-term holdings based on country of domicile, is as follows:
 
 
United States
60.9%
 
Bermuda
13.1
 
Luxembourg
3.7
 
Netherlands
3.4
 
Cayman Islands
3.0
 
Ireland
2.8
 
Argentina
2.4
 
Mexico
1.3
 
Canada
1.2
 
Other (individually less than 1%)
8.2
   
100.0%
 


Principal amounts are denominated in U.S. dollars unless otherwise noted.
 
AUD
-
Australian Dollar
EUR
-
Euro
GHS
-
Ghanaian Cedi
IDR
-
Indonesian Rupiah
JPY
-
Japanese Yen
MXN
-
Mexican Peso
RUB
-
Russian Ruble
 

Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
 
Level 1 - quoted prices in active markets for identical securities.
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
 
The following is a summary of the inputs used as of July 31, 2017, in valuing the Trust's investments.
 
 
Level 1
Level 2  
Level 3
Total
Asset Backed Securities
    $
 $1,460,391
    $
 $1,460,391
Collateralized Mortgage Obligations
     
  616,853
     
  616,853
Commercial Mortgage-Backed Securities
              3,176,516
     
               3,176,516
Senior Secured Floating Rate Loan Interests
       
Capital Goods
       
Aerospace & Defense
     
  1,439,055
  995,000
  2,434,055
Health Care Equipment & Services
       
Health Care Technology
     
  421,651
  243,918
  665,569
All Other Senior Secured Floating Rate Loan Interests
  57,657,805
  57,657,805
Corporate Bonds & Notes
       
Diversified Financials
       
Other Diversified Financial Services
     
     
  6,411,749
  6,411,749
Insurance
       
Reinsurance
     
  15,887,842
  18,768,488
  34,656,330
All Other Corporate Bonds & Notes
  95,405,858
  95,405,858
Convertible Bond
     
  1,909,500
     
  1,909,500
Sovereign Debt Obligations
     
  3,839,416
     
  3,839,416
Common Stocks
       
Capital Goods
       
Industrial Machinery
     103
     103
Health Care Equipment & Services
       
Health Care Technology
     699
     699
Retailing
       
Computer & Electronics Retail
40,825
40,825
Transportation
       
Air Freight & Logistics
284,974
     
  284,974
All Other Common Stocks
  33,172
  33,172
Convertible Preferred Stock
  999,460
  999,460

 
 

 
Schedule of Investments  |  7/31/17 (unaudited) (continued)



   
Level 1
Level 2  
Level 3
Total
       
 
Preferred Stocks
               
 
Materials
               
 
Diversified Chemicals
    $
 $295,900
    $
 $295,900
       
 
All Other Preferred Stocks
  1,614,890
  1,614,890
       
 
Warrant
     
     *
     
     *
       
 
Treasury Bill
     
  529,875
     
  529,875
       
 
Call Options Purchased
     
     *
     
     *
       
 
Total Investments in Securities
 $2,647,522
 $182,925,636
 $26,460,782
 $212,033,940
       
 
*Includes securities that are valued $0.
       
 
 
       
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
     
       
     
Change in
         
Transfers
 
 
Balance
Realized
unrealized
   
Accrued
Transfers
Transfers
in and out
Balance
 
as of
gain
appreciation
   
discounts/
in to
out of
of Level 3
as of
 
4/30/17
(loss)
(depreciation)
Purchases
Sales
premiums
Level 3*
Level 3*
categories
7/31/17
Senior Secured
Floating Rate
Loan Interests
                   
Capital Goods
                   
Aerospace & Defense
 $997,500
 $ 23
 $ (528)
 $ –
 $(2,500)
 $ 505
 $
 $ –
 $ –
 $995,000
Health Care
Equipment &
Services
                   
Health Care
Technology
 243,918
  –
 (3,670)
  –
  –
 3,670
 $
  –
  –
 243,918
Corporate Bonds
& Notes
                   
Diversified Financials
                   
Other Diversified Financial Services
540,064
6,127
5,865,558
6,411,749
Insurance
                   
Property
& Casualty
Insurance
5,865,558
(5,865,558)
Reinsurance
17,775,556
(52,050)
3,606,349
(2,585,287)
23,920
18,768,488
Common Stocks
                   
Capital Goods
                   
Industrial
Machinery
103
103
Health Care Equipment
& Services
                   
Health Care Technology
699
699
Retailing
                   
Computer & Electronics Retail
40,825
40,825
Total
 $24,924,159
 $ 23
 $483,816
 $3,606,349
 $  (2,587,787)
 $34,222
 $
 $ –
 $ –
 $26,460,782
   
*Transfers are calculated on the beginning of period value. For the three months ended July 31, 2017, there were no transfers between Levels 2 and 3. For the three months ended July 31, 2017, securities with aggregate market value of $535,437 transferred from Level 2 to Level 1 as there were observable inputs available to determine their value.
 
Net change in unrealized appreciation of Level 3 investments still held and considered Level 3 at July 31, 2017: $679,183.
 
 
The following table presents additional information about valuation techniques and inputs used for investments categorized as Level 3 at July 31, 2017. These amounts exclude valuations provided by a broker.

Asset Type
Fair Value
7/31/17
Valuation
Technique (s)
Unobservable
Input
Value/
Range
Senior Secured
Floating Rate
Loan Interests
$995,000
Market Comparables
EBITDA Multiples(1)
Yield Comparables
4x-7x
6.54%-9.03%
Corporate Bonds
& Notes
$6,655,667
Market Comparables
Yield Premium(2)
1.05%
Common Stocks
$41,627
Market Comparables
EBITDA Multiples(1)
4x-6x

(1)
An increase in this unobservable input would result in a higher fair value measurement, while a decrease would result in a lower fair value measurement.
(2)
An increase in this unobservable input would result in a lower fair value measurement, while a decrease would result in a higher fair value measurement.


ITEM 2. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. (b) Disclose any change in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. There were no significant changes in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below: CERTIFICATIONS I, [identify the certifying individual], certify that: 1. I have reviewed this report on Form N-Q of [identify registrant]; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and 5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. Date: [Signature] [Title] Filed herewith. <PAGE> SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Pioneer Diversified High Income Trust By (Signature and Title)* /s/ Lisa M.Jones ----------------------- Lisa M.Jones, President and Chief Executive Officer Date September 27, 2017 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Lisa M.Jones ----------------------- Lisa M.Jones, President and Chief Executive Officer Date September 27, 2017 By (Signature and Title)* /s/ Mark E. Bradley ----------------- Mark E. Bradley, Treasurer and Chief Accounting and Financial Officer Date September 27, 2017 * Print the name and title of each signing officer under his or her signature.