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

                                   FORM N-Q

                   CERTIFIED SHAREHOLDER REPORT OF REGISTERED
                        MANAGEMENT INVESTMENT COMPANIES



  Investment Company Act file number 811-22014


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


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


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


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


Date of fiscal year end:  April 30

Date of reporting period:  January 31, 2011

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

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


<PAGE>
ITEM 1. Schedule of Investments.

         
Pioneer Diversified High Income Trust
 
         
SCHEDULE OF INVESTMENTS 1/31/11 (unaudited)
 
     
 
     
 
Principal
 
S&P/Moody's
 
 
Amount
 
Ratings
     
 
USD ($)
 
(unaudited)
   
 Value
             
         
ASSET BACKED SECURITIES - 1.3% of Net Assets
 
         
Banks - 0.7%
 
         
Thrifts & Mortgage Finance - 0.7%
 
 
                          246,741
(a)
AA+/Aa1
 
Ace Securities Corp., 1.16%, 12/25/34
 $                    192,734
 
                         699,000
(a)
BBB+/Caa2
 
Carrington Mortgage Loan Trust, 0.46, 2/25/37
                        468,517
 
                         497,092
(a)
CCC/NR
 
Countrywide Asset-Backed Certificates, 0.711%, 3/25/47 (144A)
                       248,908
 
                         203,463
(a)
B-/B3
 
GSAMP Trust, 0.391%, 1/25/37
                        184,492
 
                         570,986
(a)
CC/Ca
 
Lehman XS Trust, 0.613%, 12/25/35
                         191,867
         
Total Banks
 $                  1,286,518
             
         
Diversified Financials - 0.5%
 
         
Other Diversified Financial Services - 0.4%
 
 
                       1,137,467
(a)
B-/Caa1
 
Aircraft Finance Trust, 0.741%, 5/15/24 (144A)
 $                    659,731
 
                            70,017
(a)
B-/Ba3
 
Aircraft Finance Trust, 0.761%, 5/15/24 (144A)
                            65,115
           
 $                   724,846
         
Specialized Finance - 0.1%
 
 
                          150,000
 
BBB-/Baa3
 
Dominos Pizza Master Issuer LLC, 5.261%, 4/25/37 (144A)
 $                    153,750
         
Total Diversified Financials
 $                   878,596
             
         
Real Estate - 0.1%
 
         
Mortgage Real Estate Investment Trust - 0.1%
 
 
                           97,965
 
NR/NR
 
Real Estate Asset Trust, 10.0%, 9/25/40 (144A)
 $                      97,965
         
Total Real Estate
 $                      97,965
         
TOTAL ASSET BACKED SECURITIES
 $                2,263,079
         
(Cost $2,237,017)
 
             
         
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.9% of Net Assets
 
         
Banks - 0.9%
 
         
Thrifts & Mortgage Finance - 0.9%
 
 
                         242,599
(a)
CCC/C
 
Countrywide Home Loans, 0.611%, 3/25/35
 $                       68,134
 
                         504,258
(a)
CC/C
 
Downey Savings and Loan Association Mortgage Loan Trust, 0.631%, 10/19/45
                       236,364
 
                         239,579
(a)
D/C
 
Downey Savings and Loan Association Mortgage Loan Trust, 0.681%, 10/19/45
                          33,080
 
                       1,104,563
(a)
AAA/A3
 
Impac CMB Trust, 1.021%, 1/25/35
                        890,018
 
                            83,133
(a)
D/B3
 
Impac Secured Assets CMN Owner Trust, 0.35%, 11/25/36
                          78,488
 
                         355,326
(a)
D/C
 
Luminent Mortgage Trust, 0.521%, 7/25/36
                           21,063
 
                         373,069
(a)
AAA/Caa1
 
WaMu Mortgage Pass-Through Certificates, 0.491%, 4/25/45
                        315,865
         
Total Banks
 $                  1,643,012
         
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 
         
(Cost $2,060,787)
 $                  1,643,012
             
         
CORPORATE BONDS & NOTES - 94.8% of Net Assets
 
 
 
     
Energy - 8.3%
 
         
Coal & Consumable Fuels - 1.0%
 
 
                         850,000
(c)
BB/Ba3
 
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
 $                   966,875
 
                         738,000
 
BB-/B1
 
Drummond Co., Inc., 9.0%, 10/15/14 (144A)
                       793,350
           
 $                 1,760,225
         
Oil & Gas Drilling - 0.9%
 
NOK
                         500,000
(a)
NR/NR
 
Aker Drilling ASA,1.0%, 2/24/16
 $                      88,730
NOK
                         500,000
 
NR/NR
 
Aker Drilling ASA,11.0%, 2/24/16
                          86,566
 
                         670,000
 
B-/B3
 
Offshore Group Investments, Ltd., 11.5%, 8/1/15(144A)
                       745,375
 
                         500,000
 
B/NR
 
Pioneer Drilling Co., 9.875%, 3/15/18
                       540,625
           
 $                  1,461,296
         
Oil & Gas Equipment & Services - 2.3%
 
 
                      1,500,000
 
B+/B1
 
American Petroleum Tankers LLC, 10.25%, 5/1/15 (144A)
 $                  1,561,875
 
                         730,000
 
B/B2
 
Expro Finance Luxembourg SCA, 8.5%, 12/15/16 (144A)
                        719,050
 
                           65,067
(b)
NR/NR
 
Nexus 1 Pte., Ltd., 10.5%, 3/7/12 (144A)
                                  65
 
                         900,000
(a)
NR/NR
 
Sevan Marine ASA, 3.443$,5/14/13 (144A)
                        810,000
NOK
                     2,560,000
(a)
NR/NR
 
Sevan Marine ASA, 12.59%, 10/24/12 (144A)
                        463,162
NOK
                     2,500,000
(a)
NR/NR
 
Sevan Marine ASA, 14.0%, 10/24/14 (144A)
                       432,829
           
 $                 3,986,981
             
         
Oil & Gas Exploration & Production - 2.9%
 
 
                         505,000
 
BB-/B2
 
Berry Petroleum Co., 10.25%, 6/1/14
 $                    582,012
 
                          125,000
 
BB/Ba3
 
Chesapeake Energy Corp., 9.5%, 2/15/15
                        146,250
 
                         970,000
 
BB-/B2
 
Hilcorp Energy I LP, 9.0%, 6/1/16 (144A)
                     1,023,350
 
                         685,000
 
B/B2
 
Linn Energy LLC/Linn Energy Finance Corp., 11.75%, 5/15/17
                       792,888
NOK
                     2,500,000
 
NR/NR
 
Norwegian Energy Co. AS, 12.9%, 11/20/14
                       452,307
NOK
                     3,000,000
(a)
NR/NR
 
PA Resources AB, 10.06%, 3/9/11
                         514,201
 
                         240,000
 
B-/B3
 
Quicksilver Resources, Inc., 7.125%, 4/1/16
                       230,400
 
                         472,000
 
B-/Caa1
 
Rosetta Resources, Inc., 9.5%, 4/15/18
                       520,970
 
                         670,000
(d)
B/B3
 
SandRidge Energy, Inc., 8.625%, 4/1/15
                       688,425
           
 $                4,950,803
         
Oil & Gas Refining & Marketing - 0.7%
 
 
                       1,310,000
(c)
B/B2
 
Petroplus Finance, Ltd., 9.375%, 9/15/19 (144A)
 $                 1,277,250
             
         
Oil & Gas Storage & Transportation - 0.5%
 
 
                         500,000
 
B+/B1
 
Holly Energy Partners LP, 6.25%, 3/1/15
 $                   495,000
 
                         450,000
(a)
BB/Ba1
 
Southern Union Co., 7.2%, 11/1/66
                       423,000
           
 $                    918,000
         
Total Energy
 $              14,354,555
             
 
 
     
Materials - 11.2%
 
         
Aluminum - 1.0%
 
 
                       1,351,578
(a)(d)
CCC+/B3
 
Noranda Aluminum Acquisition Corp., 5.193%, 5/15/15
 $                 1,260,346
 
                         405,000
 
B/B2
 
Novelis, Inc., 8.75%, 12/15/20 (144A)
                        439,931
           
 $                 1,700,277
         
Building Products - 0.1%
 
EURO
                         200,000
(a)(e)
B-/NR
 
C10 - EUR Capital SPV, Ltd., 6.277%
 $                    180,973
             
 
 
     
Commodity Chemicals - 0.2%
 
 
                         300,000
 
NR/WR
 
Montell Finance Co. BV, 8.1%, 3/15/27 (144A)
 $                   336,000
             
         
Construction Materials - 0.6%
 
 
                         865,000
 
CCC+/B3
 
AGY Holding Corp., 11.0%, 11/15/14
 $                    774,175
 
                         300,000
(a)(e)
B-/NR
 
C8 Capital SPV, Ltd., 6.64%  (144A)
                        216,000
 
                          100,000
 
B/NR
 
Cemex SAB de CV, 9.0%, 1/11/18 (144A)
                        102,500
           
 $                 1,092,675
         
Diversified Chemicals - 1.2%
 
EURO
                      1,275,000
 
CCC/Caa2
 
Ineos Group Holdings Plc, 7.875%, 2/15/16 (144A)
 $                 1,708,705
 
                         275,000
 
CCC/Caa1
 
Momentive Performance Materials, Inc., 9.0%, 1/15/21 (144A)
                       292,875
           
 $                 2,001,580
         
Diversified Metals & Mining - 1.0%
 
 
                          371,096
(b)(d)
NR/NR
 
Blaze Recycling & Metals LLC, 13.0%, 7/16/12
 $                    316,359
 
                         428,000
 
BBB/Baa2
 
Teck Resources, Ltd., 10.25%, 5/15/16
                       524,300
 
                         750,000
 
BB /Ba2
 
Vedanta Resources Plc, 9.5%, 7/18/18 (144A)
                       826,875
           
 $                 1,667,534
         
Forest Products - 0.1%
 
 
                          186,000
 
BB-/Ba3
 
Grupo Papelero Scribe SA, 8.875%, 4/7/20 (144A)
 $                    185,070
             
         
Metal & Glass Containers - 1.6%
 
 
                       1,145,000
 
CCC+/B2
 
AEP Industries, Inc., 7.875%, 3/15/13
 $                   1,142,137
EURO
                         255,000
 
NR/NR
 
Ardagh Glass Finance Plc, 9.25%, 7/1/16 (144A)
                       383,694
 
                          175,000
 
CCC+/B3
 
BWAY Holdings Co., 10.0%, 6/15/18 (144A)
                        190,750
 
                      1,000,000
(d)
CCC+/Caa1
 
BWAY Parent Co., Inc., 10.125%, 11/1/15 (144A)
                     1,050,000
           
 $                 2,766,581
         
Paper Packaging - 1.2%
 
 
                          750,103
(f)
NR/NR
 
Corporacion Durango SAB de CV, 6.0%, 8/27/16
 $                    689,157
 
                         700,000
 
B-/Caa1
 
Graham Packaging Co., Inc., 9.875%, 10/15/14
                       724,500
 
                         750,000
 
B/B3
 
U.S. Corrugated, Inc., 10.0%, 6/1/13
                       735,000
           
 $                 2,148,657
         
Paper Products - 1.6%
 
 
                         667,000
 
B+/B1
 
ABI Escrow Corp., 10.25%, 10/15/18 (144A)
 $                   752,042
 
                         500,000
 
B+/B1
 
Appleton Papers, Inc., 10.5%, 6/15/15 (144A)
                        513,750
 
                         260,000
 
BB/Ba3
 
Clearwater Paper Corp., 10.625%, 6/15/16
                       296,725
 
                          814,000
 
B/B3
 
Exopack Holding Corp., 11.25%, 2/1/14
                       836,385
 
                         344,000
 
B/B3
 
Mercer International, Inc., 9.5%, 12/1/17 (144A)
                        361,200
           
 $                 2,760,102
         
Precious Metals & Minerals - 0.3%
 
 
                         500,000
 
BB-/Ba3
 
ALROSA Finance SA, 8.875%, 11/17/14 (144A)
 $                   563,300
             
         
Steel - 2.3%
 
 
                      1,245,000
 
CCC+/Caa2
 
Algoma Acquisition Corp., 9.875%, 6/15/15 (144A)
 $                   1,123,612
 
                         350,000
 
B+/B3
 
Atkore International, Inc., 9.875%, 1/1/18 (144A)
                       373,625
 
                         450,000
 
B+ /B3
 
Essar Steel Algoma, Inc., 9.375%, 3/15/15 (144A)
                       450,000
 
                         250,000
 
B/B2
 
Evraz Group SA, 8.875%, 4/24/13 (144A)
                       269,375
 
                         250,000
(c)
B/B2
 
Evraz Group SA, 9.5%, 4/24/18 (144A)
                        282,188
 
                         500,000
 
NR/B2
 
Metinvest BV, 10.25%, 5/20/15 (144A)
                         531,412
 
                         920,000
 
CCC+/Caa1
 
Ryerson, Inc., 12.0%, 11/1/15
                       975,200
EURO
                           50,000
 
CC/Ca
 
Zlomrex International Finance SA, 8.5%, 2/1/14 (144A)
                          53,469
           
 $                 4,058,881
         
Total Materials
 $               19,461,630
             
         
Capital Goods - 5.9%
 
         
Aerospace & Defense - 0.3%
 
 
                         405,000
 
BBB-/Ba3
 
DigitalGlobe, Inc., 10.5%, 5/1/14
 $                    462,712
 
                           90,000
 
BB-/Ba3
 
GeoEye, Inc., 9.625%, 10/1/15
                         101,700
           
 $                    564,412
         
Building Products - 0.2%
 
 
                         365,000
 
 BB/B2
 
 USG Corp., 9.75%, 8/1/14 (144A)
 $                   394,200
             
         
Construction & Engineering - 0.5%
 
 
                         850,000
 
B+/Caa1
 
New Enterprise Stone & Lime Co., 11.0%, 9/1/18 (144A)
 $                   847,875
             
         
Construction & Farm Machinery & Heavy Trucks - 1.4%
 
 
                         720,000
 
B+/Caa1
 
American Railcar Industries, Inc., 7.5%, 3/1/14
 $                   729,000
 
                         770,000
 
CCC/Caa2
 
Commercial Vehicle Group, Inc., 8.0%, 7/1/13
                       754,600
 
                         950,000
 
CCC/Caa2
 
Greenbrier Companies, Inc., 8.375%, 5/15/15
                        971,375
           
 $                2,454,975
         
Electrical Components & Equipment - 0.5%
 
 
                         750,000
 
B-/B3
 
WireCo WorldGroup, 9.5%, 5/15/17 (144A)
 $                   798,750
             
         
Industrial Conglomerates - 0.6%
 
 
                           90,000
(g)
NR/NR
 
Little Traverse Bay Bands of Odawa Indians, 9.0%, 8/31/20 (144A)
 $                      73,800
EURO
                          100,000
 
BB-/Ba3
 
Mark IV USA/EURO LUX, 8.875%, 12/15/17 (144A)
                        146,698
 
                         740,000
 
CCC+/Caa1
 
Park-Ohio Industries, Inc., 8.375%, 11/15/14
                       756,650
           
 $                    977,148
         
Industrial Machinery - 1.1%
 
 
                         500,000
(b)
NR/WR
 
Indalex Holding Corp., 11.5%, 2/1/14
 $                         8,125
 
                         335,000
 
B/B3
 
Liberty Tire Recycling, 11.0%, 10/1/16 (144A)
                        371,850
 
                         875,000
 
CCC+/B3
 
Mueller Water Products, Inc., 7.375%, 6/1/17
                       849,844
 
                         665,000
 
B+/NR
 
WPE International Cooperatief UA, 10.375%, 9/30/20 (144A)
                        673,313
           
 $                  1,903,132
         
Trading Companies & Distributors - 1.3%
 
 
                          150,000
 
B/B3
 
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 9.625%, 3/15/18
 $                    165,000
 
                      1,090,000
 
B-/B3
 
Intcomex, Inc., 13.25%, 12/15/14 (144A)
                      1,147,225
 
                      1,000,000
 
B/B1
 
Wesco Distribution, Inc., 7.5%, 10/15/17
                     1,030,000
           
 $                2,342,225
         
Total Capital Goods
 $               10,282,717
         
Commercial  & Professional Services - 0.4%
 
         
Diversified Support Services - 0.2%
 
 
                                 400
(h)
NR/B3
 
MSX International, Ltd., UK, 12.5%, 4/1/12 (144A)
 $                   344,000
             
         
Environmental & Facilities Services - 0.2%
 
 
                         700,000
(b)(g)
NR/WR
 
Aleris International, Inc., 10.0%, 12/15/16
 $                                -
 
                          210,000
 
BB-/B2
 
Casella Waste Systems, Inc., 11.0%, 7/15/14
                       235,725
EURO
                           107,128
 
CCC+/Caa2
New Reclamation Group Pty., Ltd., 8.125%, 2/1/13 (144A)
                        124,842
           
 $                   360,567
         
Total Commercial & Professional Services
 $                   704,567
             
         
Transportation - 1.8%
 
         
Air Freight & Logistics - 0.6%
 
 
                         929,000
(c)
CCC+/Caa1
 
CEVA Group Plc, 11.5%, 4/1/18 (144A)
 $                 1,004,676
             
         
Airlines - 0.2%
 
 
                         305,000
 
BB-/Ba2
 
Delta Air Lines, Inc., 9.5%, 9/15/14 (144A)
 $                    333,213
             
         
Airport Servoces - 0.3%
 
 
                         450,000
 
B/B2
 
Aeropuertos Argentina 2000 SA, 10.75%, 12/1/20 (144A)
 $                     481,517
             
         
Marine Ports & Services - 0.3%
 
 
                         835,000
 
NR/NR
 
Oceanografia SA de CV, 11.25%, 7/15/15 (144A)
 $                    501,000
             
         
Trucking - 0.4%
 
 
                         425,000
 
B-/Caa1
 
Swift Services Holdings, Inc., 10.0%, 11/15/18 (144A)
 $                    459,531
 
                         300,000
 
B/B3
 
Syncreon Global Ireland, Ltd., 9.5%, 5/1/18 (144A)
                       308,250
           
 $                    767,781
         
Total Transportation
 $                 3,088,187
             
         
Automobiles &  Components - 1.8%
 
         
Auto Parts & Equipment - 1.7%
 
 
                         980,000
 
CCC+/Caa2
 
Allison Transmission, Inc., 11.0%, 11/1/15 (144A)
 $                  1,073,100
 
                          160,000
 
CCC/Caa1
 
Stanadyne Corp., 10.0%, 8/15/14
                        160,800
 
                         500,000
(f)
CCC-/Caa3
 
Stanadyne Corp., 12.0%, 2/15/15
                       450,000
 
                       1,125,000
(c)
B+/B1
 
Tower Automotive Holdings USA LLC, 10.625%, 9/1/17 (144A)
                       1,217,813
           
 $                  2,901,713
         
Tires & Rubber - 0.1%
 
 
                         235,000
(c)
B+/B1
 
Goodyear Tire & Rubber Co., 10.5%, 5/15/16
 $                   266,725
         
Total Automobiles & Components
 $                 3,168,438
             
         
Consumer Durables & Apparel - 2.5%
 
         
Homebuilding - 1.0%
 
 
                         530,000
 
CCC/Caa2
 
 Beazer Homes USA, Inc., 9.125%, 6/15/18
 $                   537,950
 
                         430,000
 
BB-/Ba3
 
Desarrolladora Homex SA de CV, 9.5%, 12/11/19 (144A)
                        490,316
 
                         695,000
 
B+/B1
 
Meritage Homes Corp., 6.25%, 3/15/15
                       698,475
           
 $                  1,726,741
         
Housewares & Specialties - 0.9%
 
 
                         500,000
 
B-/Caa1
 
Reynolds Group Holdings, Ltd, 9.0%, 4/15/19 (144A)
 $                   525,000
 
                      1,000,000
 
CCC+/B3
 
Yankee Acquisition Corp., 9.75%, 2/15/17
                     1,050,000
           
 $                 1,575,000
         
Leisure Products - 0.6%
 
 
                      1,000,000
 
B-/B2
 
Icon Health & Fitness, 11.875%, 10/15/16 (144A)
 $                 1,032,500
         
Total Consumer Durables & Apparel
 $                 4,334,241
             
         
Consumer Services - 3.1%
 
         
Casinos & Gaming - 2.0%
 
 
                         500,000
(b)
NR/WR
 
Buffalo Thunder Development Authority, 9.375%, 12/15/14 (144A)
 $                    160,000
EURO
                       1,155,000
 
B/B2
 
Codere Finance Luxembourg SA, 8.25%, 6/15/15 (144A)
                     1,603,309
 
                         395,000
 
B+/B2
 
FireKeepers Development Authority, 13.875%, 5/1/15 (144A)
                       470,050
 
                       1,615,000
(b)
NR/WR
 
Mashantucket Western Pequot Tribe, 8.5%, 11/15/15 (144A)
                          191,781
EURO
                         500,000
 
B/B3
 
Peermont Global, Ltd., 7.75%, 4/30/14 (144A)
                        613,526
 
                         450,000
 
BB-/B1
 
Scientific Games International, Inc., 9.25%, 6/15/19
                       482,625
 
                         585,000
(b)
NR/WR
 
Station Casinos, Inc., 6.625%, 3/15/18
                                  59
           
 $                 3,521,350
         
Restaurants - 0.5%
 
 
                         400,000
(c)
B-/Caa1
 
Burger King Corp., 9.875%, 10/15/18
 $                   427,000
 
                         360,000
 
CCC+/Caa2
 
Dunkin Finance Corp., 9.625%, 12/1/18 (144A)
                       367,200
           
 $                   794,200
         
Specialized Consumer Services - 0.6%
 
 
                         685,000
 
BB-/B1
 
Service Corp. International, 7.0%, 5/15/19
 $                   703,838
 
                         350,000
 
B-/B3
 
StoneMor Operating LLC/Cornerstone Family Services/Osiris Holdings, 10.25%, 12/1/17
                       364,000
           
 $                 1,067,838
         
Total Consumer Services
 $                5,383,388
             
         
Media - 6.2%
 
         
Advertising - 1.5%
 
 
                       1,100,000
 
B-/B3
 
Affinity Group, Inc., 11.5%, 12/1/16 (144A)
 $                   1,113,750
 
                          716,000
 
BB-/B2
 
MDC Partners, Inc., 11.0%, 11/1/16
                       787,600
 
                         800,000
 
B-/Caa2
 
Sitel LLC/Sitel Finance Corp., 11.5%, 4/1/18 (144A)
                        716,000
           
 $                 2,617,350
         
Broadcasting - 3.1%
 
 
                          182,676
 
B/B2
 
CCH II LLC, 13.5%, 11/30/16
 $                    221,038
 
                         840,000
 
B/B1
 
Hughes Network Systems LLC, 9.5%, 4/15/14
                       867,300
 
                         959,570
(d)
CCC+/Caa3
 
Intelsat Bermuda, Ltd., 11.5%, 2/4/17
                      1,093,910
 
                         500,000
 
B+/B3
 
Intelsat Subsidiary Holding Co., Ltd., 8.5%, 1/15/13
                       502,500
EURO
                          100,000
 
B/B2
 
Nara Cable Funding, Ltd., 8.875%, 12/1/18 (144A)
                         139,157
EURO
                          124,999
 
CCC+/Caa2
 
Ono Finance II Plc, 11.125%, 7/15/19 (144A)
                        174,747
 
                         430,000
 
B-/Caa1
 
Telesat Canada, 12.5%, 11/1/17
                       520,300
EURO
                         200,000
 
B+/B1
 
TVN Finance Corp II AB, 10.75%, 11/15/17 (144A)
                       304,338
 
                       1,451,560
(d)
CCC+/Caa2
 
Univision Communications, Inc., 9.75%, 3/15/15 (144A)
                      1,531,396
           
 $                5,354,686
         
Movies & Entertainment - 1.1%
 
 
                       1,710,000
 
CCC+/Caa1
 
AMC Entertainment, Inc., 9.75%, 12/1/20 (144A)
 $                 1,838,250
             
         
Publishing - 0.5%
 
 
                         600,000
 
CCC+/Caa2
 
Cengage Learning Acquisitions, Inc., 10.5%, 1/15/15 (144A)
 $                   624,000
 
                         245,000
 
B-/Caa1
 
Interactive Data Corp., 10.25%, 8/1/18 (144A)
                        271,338
           
 $                   895,338
         
Total Media
 $              10,705,624
             
             
         
Retailing - 1.8%
 
         
Distributors - 0.9%
 
 
                      1,438,000
 
B/B3
 
Minerva Overseas II, Ltd., 10.875%, 11/15/19 (144A)
 $                 1,549,445
             
         
Internet Retail - 0.4%
 
 
                         640,000
 
B/B1
 
Ticketmaster Entertainment, Inc., 10.75%, 7/28/16
 $                   702,400
             
         
Specialty Stores - 0.5%
 
 
                         800,000
(c)
B/Caa1
 
Sally Holdings LLC, 10.5%, 11/15/16
 $                   884,000
         
Total Retailing
 $                 3,135,845
             
 
 
     
Food, Beverage & Tobacco - 3.9%
 
         
Agricultural Products - 0.7%
 
 
                       1,127,000
 
B+/B3
 
Southern States Cooperative, Inc., 11.25%, 5/15/15 (144A)
 $                   1,217,160
             
         
Packaged Foods & Meats - 2.0%
 
 
                         650,000
 
NR/B1
 
Bertin Ltda, 10.25%, 10/5/16 (144A)
 $                   707,687
 
                          491,000
 
NR/B2
 
Corporacion Pesquera Inca SAC, 9.0%, 2/10/17 (144A)
                        521,688
 
                         750,000
 
B-/B3
 
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc., 9.875%, 2/1/20 (144A)
                        762,188
 
                          224,421
(b)
NR/NR
 
Independencia International, Ltd., 12.0%, 12/30/16 (144A)
                            2,244
 
                         475,000
 
B+/B1
 
Marfrig Overseas, Ltd., 9.5%, 5/4/20 (144A)
                       496,745
 
                         700,000
 
B+/B1
 
Marfrig Overseas, Ltd., 9.625%, 11/16/16 (144A)
                       737,625
 
                         275,000
(f)
NR/B2
 
SA Fabrica de Produtos Alimenticios Vigor, 9.25%, 2/23/17 (144A)
                       276,970
           
 $                 3,505,147
         
Tobacco - 1.2%
 
 
                      2,015,000
 
B+/B2
 
Alliance One International, Inc., 10.0%, 7/15/16
 $                  2,115,750
         
Total Food, Beverage & Tobacco
 $                6,838,057
             
         
Household & Personal Products - 0.2%
 
         
Personal Products - 0.2%
 
 
                         300,000
 
B/B3
 
Revlon Consumer Products Corp, 9.75%, 11/15/15
 $                    318,750
         
Total Household & Personal Products
 $                    318,750
             
         
Health Care Equipment & Services - 3.3%
 
         
Health Care Equipment - 0.4%
 
 
                         750,000
 
CCC+/Caa2
 
Accellent, Inc., 10.0%, 11/1/17 (144A)
 $                   736,875
             
         
Health Care Facilities - 0.2%
 
 
                         475,000
 
CCC+/Caa1
 
Vanguard Health Systems, Inc., 0.0%, 2/1/16 (144A)
 $                   294,500
             
         
Health Care Services - 1.7%
 
 
                         378,000
 
B- /B3
 
BioScrip, Inc., 10.25%, 10/1/15
 $                   400,680
 
                         476,000
 
B-/NR
 
Gentiva Health Services, Inc., 11.5%, 9/1/18
                        531,335
 
                         796,459
(d)
B-/B3
 
Surgical Care Affiliates, Inc., 8.875%, 7/15/15 (144A)
                        809,401
 
                       1,170,000
(c)
CCC+/Caa1
 
Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)
                     1,208,025
           
 $                 2,949,441
         
Health Care Supplies - 1.0%
 
 
                         750,000
 
B/Caa1
 
Bausch & Lomb, Inc., 9.875%, 11/1/15
 $                    810,000
 
                          815,000
(d)
B-/B3
 
Biomet, Inc., 10.375%, 10/15/17
                        910,762
           
 $                 1,720,762
         
Total Health Care Equipment & Services
 $                 5,701,578
             
         
Pharmaceuticals & Biotechnology & Life Sciences - 0.8%
 
         
Biotechnology - 0.5%
 
 
                         300,000
 
B/Caa1
 
ConvaTec Healthcare, 10.5%, 12/15/18 (144A)
 $                     319,125
 
                         543,000
 
B+/B2
 
Lantheus Medical Imaging, Inc., 9.75%, 5/15/17 (144A)
                       582,368
         
 
 $                    901,493
         
Life Sciences Tools & Services - 0.3%
 
 
                           131,406
(d)
B/Caa1
 
Catalent Pharma Solutions, Inc., 9.5%, 4/15/15
 $                     134,198
 
                         420,000
 
B+/B3
 
PharmaNet Development Group, Inc., 10.875%, 4/15/17 (144A)
                       445,200
           
 $                   579,398
         
Total Pharmaceuticals & Biotechnology & Life Sciences
 $                  1,480,891
             
         
Banks - 1.6%
 
         
Diversified Banks - 0.9%
 
 
                         400,000
(a)(e)
BB+/Ba3
 
ABN Amro North American Holding Preferred Capital Repackage Trust I, 6.523%  (144A)
 $                   354,000
 
                         500,000
(a)
NR/B2
 
Banco Macro SA, 9.75%, 12/18/36
                       502,500
 
                         700,000
 
NR/Ba2
 
Banco Macro SA, 10.75%, 6/7/12
                       525,000
BRL
                         350,000
 
AAA/NR
 
International Finance Corp., 9.25%, 3/15/13
                       208,440
 
                            15,747
 
B/NR
 
JSC Temirbank, 14.0%, 6/30/22 (144A)
                           17,952
           
 $                 1,607,892
         
Regional Banks - 0.7%
 
 
                         600,000
(a)(e)
BBB/Baa3
 
PNC Financial Services Group, Inc., 8.25%
 $                   638,859
 
                         500,000
(a)(e)
A-/Baa3
 
Wells Fargo Capital XV, 9.75%,
                       549,400
           
 $                  1,188,259
         
Total Banks
 $                  2,796,151
             
         
Diversified Financials - 16.0%
 
         
Asset Management & Custody Banks - 0.4%
 
 
                         665,000
 
BBB-/Baa3
 
Janus Capital Group, Inc., 6.95%, 6/15/17
 $                   702,634
             
         
Consumer Finance - 0.3%
 
 
                         525,000
 
NR/NR
 
Tarjeta Naranja SA, 9.0%, 1/28/17 (144A)
 $                   525,656
             
         
Investment Banking & Brokerage - 0.2%
 
 
                         450,000
(a)(e)
BBB-/Baa2
 
Goldman Sachs Capital II, 5.793%
 $                   379,688
             
         
Multi-Sectior Holdings - 0.4%
 
 
                         600,000
 
B/B2
 
Constellation Enterprise, 10.625%, 2/1/16 (144A)
 $                    615,000
             
         
Other Diversified Financial Services - 7.6%
 
EURO
                         500,000
(a)
NR/NR
 
ATLAS VI Capital, Ltd., 11.529%, 4/7/13 (144A)
 $                    695,718
EURO
                         500,000
(a)
BB-/NR
 
ATLAS VI Capital, Ltd., 10.135%, 4/6/13 (144A)
                        722,316
 
                           311,937
(a)
NR/NR
 
BTA Bank JSC, 0.0%, 7/1/20 (144A)
                          23,395
 
                          150,993
(f)
NR/NR
 
BTA Bank JSC, 10.75%, 7/1/18
                         162,317
 
                            34,213
 
NR/NR
 
BTA Bank JSC, Sub Note, 7.2%, 7/1/25
                          23,949
 
                      1,500,000
(a)
BB+/NR
 
Caelus Re II, Ltd., 6.5%, 5/24/13 (144A)
                     1,524,450
 
                      1,000,000
(a)
B+/NR
 
Ibis Re, Ltd., 9.25%, 5/3/13 (144A)
                      1,018,800
 
                         400,000
(a)
BB/NR
 
Ibis Re, Ltd., 10.552%, 5/10/12 (144A)
                       425,400
 
                     2,800,000
(a)
BB/NR
 
Lodestone Re Ltd, 7.38%, 1/8/14 (144A)
                    2,802,240
 
                     2,000,000
(a)
BB/NR
 
Lodestone Re Ltd, 8.37%, 5/17/13 (144A)
                    2,028,400
 
                      1,000,000
(a)
NR/B1
 
Nelson Re, Ltd., 4.784%, 6/6/11 (144A)
                       999,400
 
                         500,000
(a)
B/NR
 
Mariah Re, Ltd., 6.38%, 1/8/14 (144A)
                       503,850
 
                         500,000
(a)
NR/B3
 
Nelson Re, Ltd., 11.534%, 6/6/11 (144A)
                         501,150
 
                         250,000
(a)
NR/NR
 
Residential Reinsurance 2010, Ltd., 7.41%, 6/6/13 (144A)
                       248,225
 
                      1,250,000
(a)
NR/NR
 
Residential Reinsurance 2010, Ltd., 10.91%, 6/6/13 (144A)
                     1,240,750
 
                         250,000
(a)
B-/NR
 
Residential Reinsurance 2010, Ltd.,, 13.13%, 6/6/13 (144A)
                       258,925
   
 
     
 $               13,179,285
         
Specialized Finance - 7.1%
 
 
                         500,000
 
BB/Baa3
 
Capital One Capital V, 10.25%, 8/15/39
 $                   540,625
 
                      1,000,000
(a)
B/NR
 
Montana Re, Ltd., 12.203%, 1/8/14 (144A)
                       993,300
 
                      1,000,000
(a)
B-/NR
 
Montana Re, Ltd., 13.553%, 12/7/12 (144A)
                      1,008,100
 
                     2,000,000
(a)
NR/NR
 
Montana Re, Ltd., 16.703, 1/8/14 (144A)
                     1,982,600
 
                         425,000
(a)
B+/B2
 
National Money Mart Co., 10.375%, 12/15/16
                        470,156
 
                         755,000
(a)
CCC-/Caa2
 
NCO Group, Inc., 5.161%, 11/15/13
                       679,500
 
                         635,000
 
CCC-/Caa3
 
NCO Group, Inc., 11.875%, 11/15/14
                        561,975
 
                         500,000
(a)
B-/NR
 
Successor X, Ltd., 9.89%, 4/4/13 (144A)
                       485,200
 
                      1,250,000
(a)
NR/NR
 
Successor X, Ltd., 11.89%, 4/1/13 (144A)
                      1,189,625
 
                     2,000,000
(a)
B-/NR
 
Successor X, Ltd., 14.637%, 4/4/13 (144A)
                     1,990,200
 
                     2,000,000
(a)
NR/NR
 
Successor X, Ltd., 16.137%, 4/4/13 (144A)
                     1,987,400
 
                         500,000
(a)
NR/NR
 
Successor X, Ltd., 16.89%, 4/4/13 (144A)
                       468,350
           
 $               12,357,031
         
Total Diversified Financials
 $             27,759,294
             
         
Insurance - 12.2%
 
         
Insurance Brokers - 1.7%
 
 
                         250,000
 
CCC/Caa1
 
Alliant Holdings I, Inc., 11.0%, 5/1/15 (144A)
 $                   264,375
 
                      1,050,000
 
CCC+/Caa1
 
HUB International Holdings, Inc., 10.25%, 6/15/15 (144A)
                      1,084,125
 
                         827,000
(a)
CCC/B3
 
U.S.I. Holdings Corp., 4.161%, 11/15/14 (144A)
                        775,313
 
                         804,000
 
CCC/Caa1
 
U.S.I. Holdings Corp., 9.75%, 5/15/15 (144A)
                        824,100
           
 $                 2,947,913
         
Multi-Line Insurance - 1.3%
 
 
                      1,000,000
(a)
BB/Baa3
 
Liberty Mutual Group, Inc., 7.0%, 3/15/37 (144A)
 $                   948,254
 
                      1,000,000
(a)
BB/Baa3
 
Liberty Mutual Group, Inc., 10.75%, 6/15/58 (144A)
                     1,285,000
 
                           65,000
 
BB-/NR
 
Sul America Participacoes SA, 8.625%, 2/15/12 (144A)
                          68,006
           
 $                 2,301,260
         
Property & Casualty Insurance - 0.0%
 
 
                           40,000
(a)(e)
BB/Ba2
 
White Mountains Insurance Group, Ltd., 7.506%  (144A)
 $                      36,895
             
         
Reinsurance - 9.2%
 
 
                      1,500,000
(a)
BB+/NR
 
Akibare, Ltd., 3.234%, 5/22/12 (144A)
 $                  1,501,800
 
                      1,000,000
(a)
BB+/NR
 
Akibare, Ltd., 3.434%, 5/22/12 (144A)
                     1,000,700
 
                     2,000,000
(a)
BB+/NR
 
Blue Fin, Ltd., 4.703%, 4/10/12 (144A)
                     1,967,800
 
                      1,000,000
(a)
BB-/NR
 
Blue Fin, Ltd., 13.803%, 4/16/12 (144A)
                      1,061,500
 
                      1,500,000
(a)
BB/NR
 
East Lane Re, Ltd., 7.287%, 5/6/11 (144A)
                      1,514,400
 
                      1,750,000
(a)
BB+/NR
 
Fhu-Jin, Ltd., 4.186%, 8/10/11 (144A)
                      1,771,875
 
                      1,000,000
(a)
BB+/NR
 
Foundation Re III, Ltd., 5.75%, 2/3/14 (144A)
                     1,020,400
 
                      1,000,000
(a)
NR/B1
 
GlobeCat, Ltd., 6.303%, 1/2/13 (144A)
                      1,013,800
 
                         350,000
(a)
NR/B3
 
GlobeCat, Ltd., 9.553%, 1/2/13 (144A)
                        341,600
 
                         600,000
(a)
BB+/NR
 
Merna Reinsurance II, Ltd., 3.8%, 4/8/13 (144A)
                       607,500
 
                         250,000
(a)
B/NR
 
MultiCat Mexico, Ltd., Series 2009-I Class A, 11.5%, 10/19/12 (144A)
                       268,225
 
                         250,000
(a)
B/NR
 
MultiCat Mexico, Ltd., Series 2009-I Class B, 10.25%, 10/19/12 (144A)
                       263,575
 
                         250,000
(a)
B/NR
 
MultiCat Mexico, Ltd., Series 2009-I Class C, 10.25%, 10/19/12 (144A)
                        263,125
 
                         250,000
(a)
BB-/NR
 
MultiCat Mexico, Ltd., Series 2009-I Class D, 10.25%, 10/19/12 (144A)
                       262,325
 
                     2,500,000
(a)
NR/Ba2
 
Muteki, Ltd., 4.684, 5/24/11 (144A)
                     2,514,750
 
                         500,000
(a)
BB/NR
 
Mystic Re II, Ltd., 12.294%, 3/20/12 (144A)
                        532,150
           
 $              15,905,525
         
Total Insurance
 $                21,191,593
             
         
Real Estate - 0.3%
 
         
Real Estate Operating Companies - 0.3%
 
 
                           54,428
 
B/NR
 
Alto Palermo SA, 11.0%, 6/11/12 (144A)
 $                      23,948
 
                          410,000
 
B/NR
 
IRSA Inversiones y Representaciones SA, 8.5%, 2/2/17 (144A)
                         414,613
         
Total Real Estate
 $                    438,561
             
         
Software & Services - 2.9%
 
         
Application Software - 1.1%
 
 
                         539,000
 
B/B3
 
Allen Systems Group, Inc., 8.5%, 11/15/16 (144A)
 $                   557,865
 
                      1,390,000
 
CCC+/Caa2
 
Vangent, Inc., 9.625%, 2/15/15
                      1,310,075
           
 $                 1,867,940
         
Data Processing & Outsourced Services - 0.5%
 
 
                         404,000
(c)
B-/Caa1
 
First Data Corp., 8.25%, 1/15/21 (144A)
 $                   388,850
 
                            91,000
(c)
B-/Caa1
 
First Data Corp., 9.875%, 9/24/15
                     90,773
 
                         404,000
(c)
B-/Caa1
 
First Data Corp., 12.625%, 1/15/21 (144A)
                   409,050
           
 $                   888,673
         
Internet Software & Services - 0.7%
 
 
                         905,000
 
B- /B1
 
Terremark Worldwide, Inc., 12.0%, 6/15/17
 $                  1,128,988
             
         
IT Consulting & Other Services - 0.2%
 
 
                         405,000
 
CCC+/Caa1
 
Activant Solutions, Inc., 9.5%, 5/1/16
 $                    410,062
         
 
 
         
Systems Software - 0.4%
 
 
                         729,523
(d)(g)
NR/NR
 
Pegasus Solutions, Inc., 13.0%, 4/15/14 (144A)
 $                    656,571
         
Total Software & Services
 $                4,952,234
             
         
Technology Hardware & Equipment - 0.6%
 
         
Computer Storage & Peripherals - 0.3%
 
 
                         430,000
 
BBB /Baa3
 
Seagate Technology International, Inc., 10.0%, 5/1/14 (144A)
 $                   502,025
             
         
Electronic Equipment & Instruments - 0.3%
 
 
                         486,000
 
B/B1
 
Da-Lite Screen Co., Inc., 12.5%, 4/1/15
 $                   530,955
         
Total Technology Hardware & Equipment
 $                 1,032,980
             
 
 
     
Semiconductors & Semiconductor Equipment - 0.5%
 
         
Semiconductor Equipment - 0.5%
 
 
                         750,000
 
B- /NR
 
Aeroflex. Inc., 11.75%, 2/15/15
 $                    821,250
         
Total Semiconductors & Semiconductor Equipment
 $                    821,250
             
 
 
     
Telecommunication Services - 6.2%
 
         
Alternative Carriers - 1.9%
 
 
                         945,000
 
B/B2
 
Global Crossing, Ltd., 12.0%, 9/15/15
 $                 1,086,750
 
                         750,000
 
B/Ba3
 
PAETEC Holding Corp., 8.875%, 6/30/17
                       806,250
 
                       1,010,000
 
CCC+/Caa1
 
PAETEC Holding Corp., 9.5%, 7/15/15
                     1,057,975
 
                         350,000
 
CCC+/Caa1
 
PAETEC Holding Corp., 9.875%, 12/1/18 (144A)
                        370,125
           
 $                  3,321,100
         
Integrated Telecommunication Services - 1.8%
 
 
                          910,000
 
B-/B3
 
Broadview Networks Holdings, Inc., 11.375%, 9/1/12
 $                   894,075
 
                         388,000
 
B-/B3
 
Cincinnati Bell, Inc., 8.75%, 3/15/18
                         371,510
 
                      1,250,000
 
BB-/B2
 
GCI, Inc., 7.25%, 2/15/14
                     1,262,500
 
                         500,000
 
B+/Ba3
 
Windstream Corp., 8.625%, 8/1/16
                       530,000
           
 $                3,058,085
         
Wireless Telecommunication Services - 2.5%
 
 
                         700,000
 
B/NR
 
Bakrie Telecom Tbk PT, 11.5%, 5/7/15 (144A)
 $                   760,375
 
                         300,000
 
NR/Caa1
 
Digicel Group, Ltd., 10.5%, 4/15/18 (144A)
                        334,125
 
                         750,000
 
BB-/B2
 
NII Capital Corp, 10.0%, 8/15/16
                       840,000
 
                         790,000
(c)
BB+ /Ba2
 
OJSC Vimpel Communications Via VIP Ireland, Ltd., 9.125%, 4/30/18 (144A)
                       880,850
 
                      1,330,000
 
B-/B2
 
True Move Co., Ltd., 10.375%, 8/1/14 (144A)
                      1,423,100
 
                          100,000
 
B-/B2
 
True Move Co., Ltd., 10.75%, 12/16/13 (144A)
                        107,500
           
 $                4,345,950
         
Total Telecommunication Services
 $               10,725,135
             
         
Utilities - 3.3%
 
         
Electric Utilities - 1.0%
 
 
                         750,000
 
B-/NR
 
Cia de Transporte de Energia Electrica de Alta Tension SA, 8.875%, 12/15/16 (144A)
 $                    745,313
 
                         239,000
 
NR/B2
 
Empresa Distribuidora Y Comercializadora Norte, 9.75%, 10/25/22 (144A)
                       263,759
 
                         225,000
 
BB-/Ba2
 
PNM Resources, Inc., 9.25%, 5/15/15
                       252,000
 
                          510,000
 
CCC-/Caa3
 
Texas Competitive Electric Holdings LLC, 15.0%, 4/1/21 (144A)
                       453,900
           
 $                  1,714,972
         
Gas Utilities - 0.9%
 
 
                         490,000
 
B+/Ba3
 
Inergy, L.P., 8.25%, 3/1/16
 $                    512,050
 
                       1,135,000
 
B/B2
 
Transportadora de Gas del Sur SA, 7.875%, 5/14/17 (144A)
                      1,150,606
           
 $                 1,662,656
         
Independent Power Producers & Energy Traders - 1.4%
 
 
                      1,200,000
 
B/Caa1
 
Foresight Energy Corp., 9.625%, 8/15/17 (144A)
 $                 1,285,500
 
                         500,000
 
BB-/Ba3
 
Intergen NV, 9.0%, 6/30/17 (144A)
                       536,250
 
                         500,000
 
NR/B2
 
Star Energy Geothermal (Wayang Windu), Ltd., 11.5%, 2/12/15 (144A)
                       574,558
           
 $                2,396,308
 
 
 
 
 
Total Utilities
 $                5,773,936
         
TOTAL CORPORATE BONDS & NOTES
 
 
 
     
(Cost $158,387,100)
 $            164,449,602
             
         
CONVERTIBLE BONDS & NOTES - 3.1% of Net Assets
 
         
Materials - 0.9%
 
         
Diverified Chemicals - 0.9%
 
 
                               1,900
(h)
BB-/NR
 
Hercules, Inc., 6.5%, 6/30/29
 $                  1,615,000
         
Total Materials
 $                  1,615,000
             
         
Transportation - 0.6%
 
         
Marine - 0.6%
 
 
                         990,000
 
CCC+/Caa3
 
Horizon Lines, Inc., 4.25%, 8/15/12
 $                   926,887
         
Total Transportation
 $                   926,887
             
         
Media - 0.3%
 
         
Movies & Entertainment - 0.3%
 
 
                         659,000
 
B-/NR
 
Live Nation, Inc., 2.875%, 7/15/27
 $                   584,039
         
Total Media
 $                   584,039
             
         
Health Care Equipment & Services - 0.9%
 
         
Health Care Equipment & Services - 0.7%
 
 
                      1,040,000
(f)
BB+/NR
 
Hologic, Inc., 2.0%, 12/15/37
 $                  1,189,500
             
         
Health Care Facilities - 0.2%
 
 
                         405,000
 
B/NR
 
LifePoint Hospitals, Inc., 3.5%, 5/15/14
 $                   408,037
             
         
Health Care Services - 0.0%
 
 
                            15,000
 
B+/B2
 
Omnicare, Inc., 3.25%, 12/15/35
 $                       13,725
         
Total Health Care Equipment & Services
 $                   1,611,262
             
         
Semiconductors & Semiconductor Equipment - 0.2%
 
         
Semiconductor - 0.2%
 
 
                          150,000
 
NR/NR
 
JA Solar Holdings Co., Ltd., 4.5%, 5/15/13
 $                    144,375
 
                          271,000
 
NR/NR
 
Suntech Power Holdings Co., Ltd., 3.0%, 3/15/13
                       248,643
         
Total Semiconductors & Semiconductor Equipment
 $                    393,018
             
         
Telecommunication Services - 0.2%
 
         
Wireless Telecommunication Services - 0.2%
 
 
                         250,000
 
B-/NR
 
NII Holdings, Inc., 3.125%, 6/15/12
 $                   246,250
         
Total Telecommunication Services
 $                   246,250
         
TOTAL CONVERTIBLE BONDS & NOTES
 
         
(Cost $3,999,199)
 $                5,376,456
             
         
SOVEREIGN DEBT OBLIGATION - 0.6% of Net Assets
 
         
Brazil - 0.6%
 
BRL
                      1,750,000
 
BBB-/Baa3
Brazilian Government International Bond, 10.25%, 1/10/28
 $                  1,043,192
         
TOTAL SOVEREIGN DEBT OBLIGATION
 $                  1,043,192
         
(Cost $947,352)
 
             
         
SENIOR FLOATING RATE LOAN INTERESTS - 32.0% of Net Assets (i)
         
Energy - 0.6%
 
         
Coal & Consumable Fuels - 0.3%
 
 
                         450,000
 
NR/NR
 
PT Bumi Resources, Term Loan, 11.261%, 8/7/13
 $                   450,000
             
         
Integrated Oil & Gas - 0.1%
 
 
                         246,638
 
NR/NR
 
Hudson Products Holdings, Inc., Term Loan, 8.5%, 8/24/15
 $                    241,089
             
         
Oil & Gas Exploration & Production - 0.2%
 
 
                          294,168
 
B/B3
 
Venoco, Inc., Second Lien Term Loan, 4.313%, 5/7/14
 $                   292,605
         
Total Energy
 $                   983,694
             
         
Materials - 3.4%
 
         
Diversified Chemicals - 0.8%
 
 
                         480,095
 
NR/NR
 
Huntsman International LLC, New Dollar Term Loan B, 1.798%, 4/19/14
 $                   478,293
 
                          330,148
 
B/B1
 
Ineos US Finance LLC, Senior Credit Facility Term Loan B-2, 7.5%, 12/16/13
                       342,529
 
                          361,405
 
B/B1
 
Ineos US Finance LLC, Senior Credit Facility Term Loan C-2, 8.0%, 12/16/14
                       374,958
 
                            211,213
 
BB-/Ba1
 
Solutia, Inc., Term Loan, 4.75%, 3/17/17
                         213,391
           
 $                   1,409,171
         
Forest Products - 0.9%
 
 
                      1,500,000
 
B+/Ba3
 
Ainsworth Lumber Co., Ltd., Term Loan, 5.313%, 6/26/14
 $                 1,500,375
             
         
Paper Packaging - 0.6%
 
 
                         457,858
 
B+/B1
 
Graham Packaging Co., LP, Term Loan C, 6.75%, 4/5/14
 $                   465,993
 
                           89,775
 
B+/B1
 
Graham Packaging Co., LP, Term Loan D, 6.0%, 9/23/16
                           91,552
 
                          412,478
 
BB+/Ba3
 
Graphic Packaging International, Inc., Incremental Term Loan, 3.053%, 5/16/14
                        415,604
           
 $                    973,149
         
Paper Products - 0.4%
 
 
                          702,731
 
BB+/Ba1
 
Georgia-Pacific LLC, Term Loan B, 2.302%, 12/23/12
 $                   704,890
             
         
Precious Metals & Minerals - 0.1%
 
 
                          213,944
 
BB/B1
 
Fairmount Minerals, Ltd., Tranche B Term Loan, 6.253%, 8/5/16
 $                    218,223
             
         
Specialty Chemicals - 0.1%
 
 
                         250,000
 
NR/Ba1
 
Chemtura Corp., Facility Term Loan, 5.5%, 8/29/16
 $                   254,063
             
         
Steel - 0.5%
 
 
                         880,409
(d)
B/B3
 
Niagara Corp., New Term Loan, 8.5%, 6/29/14
 $                   836,388
         
Total Materials
 $                5,896,259
             
         
Capital Goods - 2.6%
 
         
Aerospace & Defense - 1.3%
 
 
                         605,843
 
B/B3
 
DAE Aviation Holdings, Inc., Tranche B-1 Term Loan, 4.06%, 7/31/14
 $                   602,435
 
                          247,312
 
BB/B1
 
Hunter Defense Technologies, Inc., Term Loan, 3.31%, 8/22/14
                         240,511
 
                          486,091
 
BBB-/Ba1
 
Spirit Aerosystems, Inc., Term Loan B-2, 3.533%, 9/30/16
485,180
 
                           585,141
 
B/B3
 
Standard Aero, Ltd., Tranche B-2 Term Loan, 4.04%, 7/31/14
581,850
 
                         372,874
 
BB/Ba2
 
TASC, Inc., Tranche A Term Loan, 5.5%, 12/18/14
                       375,360
           
 $                2,285,336
         
Building Products - 0.7%
 
 
                        1,122,188
 
B+/B1
 
Goodman Global, Inc., First Lien Initial Term Loan, 5.75%, 10/28/2016
 $                  1,133,845
             
         
Construction & Farm Machinery & Heavy Trucks - 0.4%
 
 
                          496,313
 
BB+/Ba2
 
Bucyrus International, Inc., Tranche C  (U.S.) Dollar Term Loan, 4.25%, 2/19/16
 $                   499,043
 
                           119,583
 
BB/Ba2
 
Manitowoc Co., Inc., Term Loan B, 8.0%, 11/6/14
                         121,526
           
 $                   620,569
         
Industrial Conglomerates - 0.1%
 
 
                         246,655
 
BB/Ba2
 
Pinafore LLC, Term Loan, 6.25%, 9/29/16
 $                    250,817
             
         
Industrial Machinery - 0.1%
 
EURO
                           121,875
 
NR/Ba3
 
SIG Euro Holding AG & Co. KGaA, European Term Loan, 6.75%, 11/5/15
 $                     168,971
         
Total Capital Goods
 $                4,459,538
             
         
Commercial  & Professional Services - 1.6%
 
         
Commercial Printing - 0.2%
 
 
                         250,000
 
NR/Caa1
 
Cenveo Corp., Facility Term Loan B, 6.25%, 12/21/16
 $                   254,063
             
         
Environmental & Facilities Services - 1.3%
 
 
                         248,744
 
B+/Ba3
 
Advanced Disposal Services, Inc., Term Loan B, 6.0%, 1/14/15
 $                     251,231
 
                          815,000
 
B+/B1
 
Brickman Group Holdings, Inc., Tranche B Term Loan, 7.25%, 10/14/16
                       833,337
 
                           123,125
 
BB/Ba2
 
Casella Waste Systems, Inc., Term Loan B, 7.0%, 4/9/14
                        123,356
 
                      1,206,250
 
CCC+/B3
 
Synagro Technologies, Inc., First Lien Term Loan, 2.27%, 4/2/14
                       1,113,770
           
 $                 2,321,694
         
Security & Alarm Services - 0.1%
 
 
                         239,776
 
BB/B1
 
Protection One, Inc., Term Loan, 6.0%, 6/4/16
 $                   240,675
         
Total Commercial  & Professional Services
 $                 2,816,432
             
         
Transportation - 0.9%
 
         
Air Freight & Logistics - 0.7%
 
 
                         439,482
 
B/B1
 
Ceva Group Plc, Pre-Funded Tranche B LC Loan, 0.203%, 11/4/14
 $                    419,705
 
                          919,588
 
NR/B1
 
Ceva Group Plc, U.S. Tranche B Term Loan, 5.26%, 8/31/16
                       878,207
           
 $                  1,297,912
         
Airlines - 0.2%
 
 
                         247,436
 
B/B2
 
Delta Air Lines, Inc., Second Lien Term Loan, 3.511%, 4/30/14
 $                   244,652
         
Total Transportation
 $                 1,542,564
             
             
             
         
Automobiles & Components - 1.5%
 
         
Auto Parts & Equipment - 0.7%
 
 
                           140,912
 
B+/Ba3
 
Federal-Mogul Corp., Tranche B Term Loan, 2.198%, 12/29/14
 $                    137,243
 
                            71,894
 
B+/Ba3
 
Federal-Mogul Corp., Tranche C Term Loan, 2.198%, 12/28/15
                          70,022
 
                          256,021
 
B+/B3
 
HHI Group Holdings LLC, Term Loan, 10.5%, 3/30/15
                       260,502
 
                         598,500
 
NR/B1
 
Metaldyne LLC,  Term Loan, 7.75%, 10/22/16
                        613,463
 
                          145,000
 
NR/NR
 
UCI International, Inc., Term Loan, 0.0%, 7/26/17
                        145,000
           
 $                 1,226,230
         
Automobile Manufacturers - 0.3%
 
 
                         458,299
 
BB/Baa3
 
Ford Motor Co., Tranche B-1 Term Loan, 3.02%, 12/15/13
 $                   459,985
             
         
Tires & Rubber - 0.5%
 
 
                      1,000,000
 
BB/Ba1
 
Goodyear Tire & Rubber Co., Second Lien Term Loan, 1.96%, 4/30/14
 $                   984,750
         
Total Automobiles & Components
 $                2,670,965
             
         
Consumer Durables & Apparel - 0.3%
 
         
Lesiure Products - 0.3%
 
 
                         450,086
 
BB-/Ba3
 
SRAM LLC, Term Loan, 5.004%, 4/30/15
 $                    455,150
         
Total Consumer Durables & Apparel
 $                    455,150
             
         
Consumer Services - 0.3%
 
         
Specialized Consumer Services - 0.3%
 
 
                          443,199
 
B+/B1
 
Wash MultiFamily Laundry Systems LLC, Term Loan, 7.0%, 8/28/14
 $                    445,415
         
Total Consumer Services
 $                    445,415
             
         
Media - 3.1%
 
         
Advertising - 0.6%
 
 
                         992,500
 
BB-/Ba2
 
Affinion Group, Inc., Tranche B Term Loan, 5.0%, 10/9/16
 $                 1,000,564
             
         
Broadcasting - 1.4%
 
 
                          493,514
 
#N/A
 
FoxCo Aquisition Sub LLC, Term Loan, 7.5%, 7/14/15
 $                    494,130
 
                          919,342
 
B+/Ba3
 
Insight Midwest Holdings LLC, Term Loan B, 2.024%, 4/7/14
                        917,809
 
                          412,740
 
BB/Ba2
 
TWCC Holding Corp., Replacement Term Loan, 5.0%, 9/14/15
                        415,234
 
                         595,282
 
B/B2
 
Univision Communications, Inc., First Lien Term Loan, 4.51%, 3/31/17
                       585,888
           
 $                  2,413,061
         
Cable & Satellite - 0.3%
 
 
                         553,026
 
B-/B1
 
WideOpenWest Finance LLC, Series A Term Loan, 6.76%, 6/30/14
 $                    550,261
             
         
Movies & Entertainment - 0.4%
 
 
                         224,492
 
NR/Ba1
 
Cinedigm Digital Funding I LLC, Term Loan, 5.25%, 4/29/16
 $                   223,370
 
                         632,973
 
B/B3
 
Lodgenet Entertainment Corp., Closing Date Term Loan, 2.31% , 4/4/14
                       594,467
           
 $                    817,837
         
Publishing - 0.4%
 
 
                         844,269
 
B/B1
 
RH Donnelley, Inc., Term Loan, 9.0%, 10/24/14
 $                    681,898
         
Total Media
 $                 5,463,621
             
         
Retailing - 0.5%
 
         
Automotive Retail - 0.2%
 
 
                         250,000
 
BB+/Ba3
 
Autotrader.com, Inc., Tranche B Term Loan, 4.75%, 12/15/16
 $                   252,707
             
         
Specialty Stores - 0.3%
 
 
                         545,875
 
B+/Ba3
 
Savers, Inc., Term Loan, 5.75%, 3/11/16
 $                    550,651
         
Total Retailing
 $                   803,358
             
         
Food & Staples Retailing - 0.3%
 
         
Food Retail - 0.3%
 
 
                          481,250
 
B/B2
 
Bi-Lo LLC, Facility Term Loan, 9.5%, 5/12/15
 $                   495,688
         
Total Food & Staples Retailing
 $                   495,688
             
         
Food, Beverage & Tobacco - 1.0%
 
         
Packaged Foods & Meats - 1.0%
 
 
                      1,070,000
 
BB/NR
 
Del Monte Foods Co.,  Bridge Loan, 0.0%, 11/24/11
 $                 1,070,000
 
                         250,000
 
B+/Ba3
 
Green Mountain Coffee Roasters, Inc., Facility Term Loan B, 5.5%, 12/16/16
                        251,406
 
                         500,000
 
BB-/B2
 
Pierre Foods, Inc., Second Lien Term Loan, 11.25%, 9/29/17
                       505,938
         
Total Food, Beverage & Tobacco
 $                 1,827,344
             
         
Household & Personal Products - 0.6%
 
         
Household Products - 0.3%
 
 
                         300,000
 
BB/Ba3
 
Reynolds Group Holdings, Inc., Incremental Tranche D Term Loan, 6.5%, 5/5/16
 $                    301,999
 
                         246,875
 
B+/Ba3
 
Reynolds Group Holdings, Inc., Term Loan, 6.5%, 5/5/16
                       248,289
           
 $                   550,288
         
Personal Products - 0.3%
 
 
                         250,000
 
BB-/Ba3
 
NBTY, Inc., Term Loan B, 6.25%, 10/1/17
 $                   254,297
 
                          248,125
 
BB-/Ba3
 
Revlon Consumer Products Corp., Term Loan, 6.0%, 3/11/15
                        250,451
           
 $                   504,748
         
Total Household & Personal Products
 $                 1,055,036
             
         
Health Care Equipment & Services - 4.0%
 
         
Health Care Facilities - 0.9%
 
 
                          248,125
 
B/B1
 
Ardent Medical Services, Inc., Term Loan, 6.5%, 9/15/15
 $                   250,089
 
                           49,830
 
NR/NR
 
Community Health Systems, Inc., Delayed Draw Term Loan, 2.544%, 7/25/14
                          49,646
 
                         967,540
 
BB/Ba3
 
Community Health Systems, Inc., Term Loan, 2.544%, 7/25/14
                       963,972
 
                           82,579
 
BB/Ba3
 
HCA, Inc., Tranche B-1 Term Loan, 2.553%, 11/18/13
                          82,532
 
                          198,040
 
BB/Ba3
 
HCA, Inc., Tranche B-2 Term Loan, 3.553%, 3/31/17
                       200,420
           
 $                 1,546,659
         
Health Care Services - 1.6%
 
 
                         302,933
 
B+/NR
 
Aveta, Inc., NAMM Term Loan, 8.5%, 4/14/15
 $                   305,205
 
                      1,334,465
 
NR/NR
 
Catalent Pharma, Inc., Dollar Term Loan, 2.51%, 4/10/14
                      1,301,660
 
                         467,650
 
BB-/Ba3
 
Inventiv Health, Inc., Term Loan B, 6.5%, 8/4/16
                       474,665
 
                          372,188
 
NR/B1
 
Prime Healthcare Services, Inc., Term Loan B, 7.25%, 4/28/15
                       366,605
 
                         247,222
 
B+/Ba2
 
Sun Healthcare Group, Inc., Term Loan B, 7.5%, 10/18/16
                       249,540
           
 $                2,697,675
         
Health Care Supplies - 1.0%
 
 
                            111,998
 
NR/NR
 
Bausch & Lomb, Inc., Delayed Draw Term Loan, 3.51%, 4/24/15
 $                     112,577
 
                          461,267
 
NR/NR
 
Bausch & Lomb, Inc., Parent Term Loan, 3.543%, 4/24/15
463,650
 
                         482,500
 
BB/Ba2
 
IM US Holdings LLC, First Lien Term Loan, 2.26%, 6/26/14
                        481,746
 
                         600,000
 
B-/B1
 
IM US Holdings LLC, Second Lien Term Loan, 4.51%, 6/26/15
                       598,500
           
 $                 1,656,473
             
             
             
         
Health Care Technology - 0.3%
 
 
                         247,560
 
BB/Ba3
 
IMS Health, Inc., Tranche B Dollar Term Loan, 5.25%, 2/26/16
 $                      251,118
 
                         400,000
 
B/B2
 
Medical Card System, Inc., Term Loan, 12.0%, 9/17/15
406,000
           
 $                     657,118
         
Managed Health Care - 0.2%
 
 
                         302,933
 
B+/B1
 
Aveta, Inc., MMM Term Loan, 8.5%, 4/14/15
 $                   305,205
         
Total Health Care Equipment & Services
 $                 6,863,130
             
         
Pharmaceuticals & Biotechnology & Life Sciences - 0.6%
 
         
Biotechnology - 0.5%
 
 
                           118,800
 
BB/B1
 
Warner Chilcott Co. LLC, Term Loan, 6.25%, 4/30/15
 $                     119,897
 
                         356,949
 
BB/Ba3
 
Warner Chilcott Co. LLC, Term Loan A, 6.0%, 10/30/14
                       358,288
 
                          176,644
 
BB/Ba3
 
Warner Chilcott Co. LLC, Term Loan B-1, 6.25%, 4/30/15
                        178,272
 
                          294,144
 
BB/Ba3
 
Warner Chilcott Co. LLC, Term Loan B-2, 6.25%, 4/30/15
                       296,856
           
 $                    953,313
         
Pharmaceuticals - 0.1%
 
 
                           146,714
 
BBB-/Baa3
 
Mylan, Inc., U.S. Tranche B Term Loan, 3.563%, 10/2/14
 $                     147,814
         
Total Pharmaceuticals & Biotechnology & Life Sciences
 $                    1,101,127
             
         
Diversified Financials - 1.8%
 
         
Other Diversified Financial Services - 0.3%
 
 
                          147,789
 
B-/B2
 
BNY ConvergEX Group LLC, Second Lien (EZE) Term Loan, 8.75%, 12/18/17
 $                     151,706
 
                           352,211
 
B+/NR
 
BNY ConvergEX Group LLC, Second Lien (TOP) Term Loan, 8.75%, 12/18/17
                        361,544
           
 $                    513,250
         
Specialized Finance - 1.5%
 
 
                         826,204
 
B/B3
 
Ace Cash Express, Inc., Term Loan, 3.26%, 10/5/13
 $                   805,549
 
                         666,800
 
BB+/B1
 
Asset Acceptance Capital Corp., Tranche B Term Loan, 3.807%, 6/12/13
                         655,131
 
                          839,921
 
CCC+/B1
 
Collect Acquisition Corp., Advance Term Loan B, 7.5%, 5/15/13
                       832,362
 
                         248,750
 
BB+/Ba2
 
MSCI, Inc., Term Loan, 4.75%, 6/1/16
                        251,704
           
 $                2,544,746
         
Total Diversified Financials
 $                3,057,996
             
         
Insurance - 3.3%
 
         
Insurance Brokers - 2.4%
 
 
                      1,434,600
 
B-/B2
 
Alliant Holdings I, Inc., Term Loan, 3.303%, 8/21/14
 $                 1,398,735
 
                          127,546
 
B/B2
 
HUB International, Ltd., Delay Draw Term Loan, 2.803%, 6/13/14
                         127,120
 
                          567,416
 
B/B2
 
HUB International, Ltd., Initial Term Loan, 2.803%, 6/13/14
                       565,520
 
                           98,750
 
NR/NR
 
U.S.I. Holdings Corp., Series C Term Loan, 7.0%, 5/5/14
                          99,460
 
                      1,930,000
 
B-/B2
 
U.S.I. Holdings Corp., Tranche B Term Loan, 2.76%, 5/5/14
                      1,895,019
           
 $                4,085,854
         
Multi-Line Insurance - 0.9%
 
 
                           790,101
 
B-/B2
 
AmWins Group, Inc., Initial Term Loan, 2.804%, 6/8/13
 $                   776,768
 
                      1,000,000
 
CCC/B3
 
AmWins Group, Inc., Second Lien Initial Term Loan, 5.81%, 6/9/14
                       876,667
           
 $                 1,653,435
         
Total Insurance
 $                5,739,289
             
         
Real Estate - 0.1%
 
         
Real Estate Development - 0.1%
 
 
                          248,125
 
B/Ba3
 
Ozburn-Hessey Holding Co. LLC, First Lien Term Loan, 7.5%, 4/8/16
 $                   252,777
         
Total Real Estate
 $                   252,777
             
         
Software & Services - 3.2%
 
         
Application Software - 0.8%
 
 
                         969,466
 
B+/Ba2
 
Nuance Communications, Inc., Term Loan, 2.01%, 3/29/13
 $                    969,314
 
                         500,000
 
NR/Caa1
 
Vertafore, Inc., Second Lien Term Loan, 9.75%, 10/29/17
                       508,282
           
 $                 1,477,596
         
Data Processing & Outsourced Services - 0.3%
 
 
                         525,000
 
B-/B2
 
Fifth Third Processing Solutions LLC, Second Lien Term Loan, 8.25%, 11/3/17
 $                   533,925
             
         
IT Consulting & Other Services - 1.3%
 
 
                         388,382
 
B+/B1
 
Activant Solutions, Inc., Term Loan B-1, 2.313%, 5/2/13
 $                   384,498
 
                      1,887,369
 
BB/Ba3
 
SunGard Data Systems, Inc., Tranche A U.S.Term Loan, 2.011%, 2/28/14
                     1,883,324
           
 $                2,267,822
         
Systems Software - 0.8%
 
 
                       1,354,712
 
BB-/B1
 
Vangent, Inc., Term Loan, 2.29%, 2/14/13
 $                 1,334,392
         
Total Software & Services
 $                 5,613,735
             
         
Technology Hardware & Equipment - 0.7%
 
         
Communications Equipment - 0.4%
 
 
                         250,000
 
BB/Ba3
 
Commscope, Inc., Term Loan, 5.0%, 1/14/18
 $                   255,625
 
                         250,000
 
BB-/Ba3
 
TowerCo Finance LLC, Term Loan, 0.0%, 2/2/17
                       250,000
 
                         247,500
 
BB-/Ba3
 
TowerCo Finance LLC, Term Loan, 6.0%, 11/24/14
                       250,052
           
 $                   755,677
         
Electronic Equipment & Instruments - 0.3%
 
 
                         488,773
 
BB-/Ba3
 
Scitor Corp., Term Loan, 4.51%, 9/26/14
 $                   487,857
         
Total Technology Hardware & Equipment
 $                 1,243,534
             
         
Semiconductors & Semiconductor Equipment - 0.9%
 
         
Semiconductor Equipment - 0.9%
 
 
                          698,721
 
NR/NR
 
Aeroflex, Inc., Tranche B-2 Term Loan, 4.813%, 8/15/14
 $                   700,687
 
                         772,755
 
B-/B2
 
Freescale Semiconductor, Inc., Extended Maturity Term Loan, 4.506%, 12/1/16
                        775,791
         
Total Semiconductors & Semiconductor Equipment
 $                 1,476,478
             
         
Telecommunication Services - 0.3%
 
         
Integrated Telecommunication Services - 0.3%
 
 
                         429,377
 
B+/B2
 
Telesat Canada, U.S. Term I Loan, 3.26%, 10/31/14
 $                   429,958
 
                           36,883
 
B+/B2
 
Telesat Canada, U.S. Term II Loan, 3.26%, 10/31/14
36,933
         
Total Telecommunication Services
 $                    466,891
             
             
         
Utilities - 0.4%
 
         
Electric Utilities - 0.3%
 
 
                           655,011
 
B-/B2
 
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-2 Term Loan, 3.786%, 10/10/14
 $                    542,891
             
         
Independent Power Producers & Energy Traders - 0.1%
 
 
                          184,378
 
NR/NR
 
Mach Gen LLC, First Lien Synthetic LC Loan, 0.053%, 2/22/13
 $                     171,933
         
Total Utilities
 $                    714,824
         
TOTAL SENIOR FLOATING RATE LOAN INTERESTS
 
         
(Cost $54,916,288)
 $             55,444,845
             
         
MUNICIPAL BONDS - 0.5% of Net Assets
 
         
Texas - 0.5%
 
 
                         950,000
 
CCC+/NR
 
Alliance Airport Authority Income Special Facilities Revenue, 5.75%, 12/1/29
 $                     711,635
 
                          175,000
 
CCC+/Caa2
 
Dallas-Fort Worth International Airport Facility Improvement Revenue, 6.375%, 5/1/35
                        137,624
         
TOTAL MUNICIPAL BONDS
 $                   849,259
         
(Cost $843,742)
 
             
 
Shares
     
COMMON STOCKS - 0.6% of Net Assets
 
         
Energy - 0.0%
 
         
Oil & Gas Drilling - 0.0%
 
 
                                1,109
(j)
   
Rowan Companies, Inc.
 $                       38,017
         
Total Energy
 $                       38,017
             
         
Materials - 0.4%
 
         
Commodity Chemicals - 0.3%
 
 
                              9,362
(j)
   
Georgia Gulf Corp.
 $                    249,310
 
                              8,260
(j)
   
Lyondell Basell Industries NV
                       296,864
           
 $                    546,174
         
Forest Products - 0.0%
 
 
                            13,963
(j)
   
Ainsworth Lumber Co., Ltd.
 $                       48,160
             
         
Steel - 0.1%
 
 
                            15,083
(g)(j)
   
Niagara Corp.
 $                    105,430
         
Total Materials
 $                   699,764
             
         
Automobiles &  Components - 0.2%
 
         
Auto Parts & Equipment - 0.2%
 
 
                               3,501
(j)
   
Lear Corp.
 $                     369,811
         
Total Automobiles &  Components
 $                     369,811
             
         
Media - 0.0%
 
         
Cable & Satellite - 0.0%
 
 
                                  213
(j)
   
Charter Communications, Inc.
 $                        8,946
         
Total Media
 $                        8,946
             
         
Diversified Financials - 0.0%
 
         
Diversified Financial Services - 0.0%
 
 
                                  731
(j)
   
BTA Bank JSC (144A)
 $                         12,311
         
Total Diversified Financials
 $                         12,311
             
         
Software & Services - 0.0%
 
         
Systems Software - 0.0%
 
 
                                2,114
(g)(j)
   
Perseus Holding Corp. (144A)
 $                                -
         
Total Software & Services
 $                                -
         
TOTAL COMMON STOCKS
 
         
(Cost $720,604)
 $                  1,128,849
             
         
CONVERTIBLE PREFERRED STOCK - 0.3% of Net Assets
 
         
Diversified Financials - 0.3%
 
         
Other Diversified Financial Services - 0.3%
 
 
                                 470
     
Bank of America Corp.
 $                   465,535
         
Total Diversified Financials
 $                   465,535
         
TOTAL CONVERTIBLE PREFERRED STOCK
 
         
(Cost $382,900)
 $                   465,535
             
         
PREFERRED STOCK - 0.0% of Net Assets
 
         
Software & Services - 0.0%
 
         
Systems Software - 0.0%
 
 
                                 1,110
(g)(j)
   
Perseus Holding Corp. (144A)
 $                                -
         
Total Software & Services
 $                                -
         
TOTAL PREFERRED STOCK
 
         
(Cost $0)
 $                                -
             
         
RIGHTS/WARRANTS - 0.0% of Net Assets
 
         
Real Estate - 0.0%
 
         
Real Estate Development - 0.0%
 
 
                         750,000
(k)(j)
   
Neo-China Group Holdings, Ltd., Expires 7/22/12 (144A)
 $                            962
         
TOTAL RIGHTS/WARRANTS
 
         
(Cost $17,012)
 $                            962
             
             
         
ESCROW HOLDINGS - 0.0% of Net Assets
 
         
Automobiles & Components - 0.0%
 
         
Auto Parts & Equipment - 0.0%
 
 
                       1,140,000
(g)(j)
   
Lear Corp.
 $                                -
         
Total Automobiles & Components
 $                                -
         
TOTAL ESCROW HOLDINGS
 
         
(Cost $0)
 $                                -
             
         
TEMPORARY CASH INVESTMENTS - 4.6% of Net Assets
 
         
Repurchase Agreements - 1.7%
 
 
                     2,900,000
     
Deutsche Bank AG, 0.22%, dated 1/31/11, repurchase price of $2,900,000 pluse accrued interest
         
on 2/1/11 collateralized by the following:
 
         
   $2,958,000 Federal National Mortgage Association, 7.0%, 8/1/38
 $                2,900,000
         
Total Repurchase Agreements
 $                2,900,000
             
         
Securities Lending Collateral - 2.9%(l)
 
         
Certificates of Deposit:
 
 
                          159,236
     
Bank of Nova Scotia, 0.35%, 9/29/11
 $                    159,236
 
                            111,465
     
BBVA Group NY, 0.86%, 7/26/11
                          111,465
 
                            79,618
     
BNP Paribas Bank NY, 0.29%, 2/8/11
                           79,618
 
                          159,236
     
Canadian Imperial Bank of Commerce NY, 0.27%, 4/27/11
                        159,236
 
                          159,236
     
DnB NOR Bank ASA NY, 0.25%, 3/7/11
                        159,236
 
                            79,614
     
National Australia Bank NY, 0.32%, 10/19/11
                           79,614
 
                          159,236
     
Nordea NY, 0.3%, 4/13/11
                        159,236
 
                          159,236
     
RoboBank Netherland NV NY, 0.31%, 8/8/11
                        159,236
 
                          159,236
     
Royal Bank of Canada NY, 0.42%, 12/2/11
                        159,236
 
                            79,618
     
SocGen NY,  0.30%, 2/10/11
                           79,618
 
                          159,236
     
Westpac Banking Corp. NY, 0.42%, 12/6/11
                        159,236
           
 $                 1,464,967
         
Commercial Paper:
 
 
                           63,694
     
American Honda Finance, 0.35%, 1/11/12
 $                      63,694
 
                           63,885
     
American Honda Finance, 1.05%, 6/20/11
                          63,885
 
                           58,463
     
Australia & New Zealand Banking Group, 0.89%, 8/4/11
                          58,463
 
                            162,110
     
Caterpillar Financial Services Corp., 1.05%, 6/24/11
                          162,110
 
                           47,768
     
CHARFD, 0.26%, 2/8/11
                          47,768
 
                            79,617
     
FAIRPP, 0.27%, 2/2/11
                           79,617
 
                            81,769
     
FAIRPP, 0.27%, 3/7/11
                           81,769
 
                          159,247
     
Federal Home Loan Bank, 0.35%, 6/1/11
                        159,247
 
                             15,919
     
General Electric Capital Corp., 0.38%, 6/6/11
                            15,919
 
                           79,638
     
General Electric Capital Corp., 0.39%, 4/28/11
                          79,638
 
                            159,191
     
OLDLLC, 0.27%, 3/11/11
                          159,191
 
                           95,532
     
Parfin, 0.27%, 2/14/11
                          95,532
 
                          159,226
     
SEB, 0.39%, 2/7/11
                        159,226
 
                           79,560
     
SOCNAM, 0.37%, 4/14/11
                          79,560
 
                           95,530
     
STDFIN, 0.6%, 2/8/11
                          95,530
 
                          159,235
     
STRAIT, 0.25%, 2/2/11
                        159,235
 
                            79,617
     
TBLLC, 0.27%, 2/2/11
                           79,617
 
                          159,236
     
Toyota Motor Credit Corp., 0.42%, 9/8/11
                        159,236
 
                           63,688
     
VARFUN, 0.26%, 2/14/11
                          63,688
 
                           95,486
     
VARFUN, 0.27%, 4/20/11
                          95,486
 
                           95,543
     
Wachovia, 0.40%, 3/22/11
                          95,543
 
                            63,731
     
Wachovia, 0.43%, 10/15/11
                           63,731
           
 $                  2,117,685
         
Tri-party Repurchase Agreements:
 
 
                           46,895
     
Barclays Capital Markets,  0.22%, 11/1/10
 $                      46,895
 
                            79,618
     
Deutsche Bank Securites, Inc., 0.21%, 11/1/10
                           79,618
 
                          318,472
     
HSBC Bank USA NA, 0.22% 11/1/10
                        318,472
 
                         477,708
     
RBS Securities, Inc., 0.22%, 11/1/10
                       477,708
           
 $                   922,693
 
 Shares
     
Money Market Mutual Funds:
 
 
                         238,854
     
Dreyfus Preferred Money Market Fund
 $                   238,854
 
                         238,854
     
Fidelity Prime Money Market Fund
                       238,854
           
 $                   477,708
 
 
     
Total Securities Lending Collateral
 $                4,983,053
         
TOTAL TEMPORARY CASH INVESTMENTS
 
         
(Cost $7,883,053)
 $                7,883,053
 
 
     
TOTAL INVESTMENTS IN SECURITIES - 138.7%
 
 
 
     
(Cost $232,395,054)(m)
 $           240,547,844
         
OTHER ASSETS AND LIABILITIES - (38.7)%
 $           (67,070,246)
 
 
     
NET ASSETS APPLICABLE TO COMMON SHAREOWNERS - 100.0%
 $            173,477,598
             
 
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 January 31, 2011, the value of these securities amounted to
 
     
$111,814,731 or 64.5% of total net assets applicable to common shareowners.
 
             
 
(a)
 
Floating rate note.  The rate shown is the coupon rate at January 31, 2011.
 
             
 
(b)
 
Security is in default and is non-income producing.
 
             
 
(c)
 
At January 31, 2011, the following securities were out on loan:
 
     
Principal
     
     
Amount
     
     
USD ($)
 
Description
Value
     
                  100,000
 
Bumi Capital Pte, Ltd., 12.0%, 11/10/16 (144A)
 $                   209,230
     
                  196,000
 
Burger King Corp., 9.875%, 10/15/18
                         113,750
     
                 348,000
 
CEVA Group Plc, 11.5%, 4/1/18 (144A)
                       376,348
     
                 200,000
 
Evraz Group SA, 9.5%, 4/24/18 (144A)
                       225,750
     
                 300,000
 
First Data Corp., 8.25%, 1/15/21 (144A)
                       288,750
     
                   85,000
 
First Data Corp., 9.875%, 9/24/15
                          84,787
     
                 399,000
 
First Data Corp., 12.625%, 1/15/21 (144A)
                       403,988
     
                 232,000
 
Goodyear Tire & Rubber Co., 10.5%, 5/15/16
                       263,320
     
                 750,000
 
OJSC Vimpel Communications Via VIP Ireland, Ltd., 9.125%, 4/30/18 (144A)
                       836,250
     
                  100,000
 
Petroplus Finance, Ltd., 9.375%, 9/15/19 (144A)
                          97,500
     
                 385,000
 
Sally Holdings LLC, 10.5%, 11/15/16
                       425,425
     
                  210,000
 
Surgical Care Affiliates, Inc., 10.0%, 7/15/17 (144A)
                        216,825
     
                1,113,000
 
Tower Automotive Holdings USA LLC, 10.625%, 9/1/17 (144A)
                     1,204,822
           
 $                4,746,745
             
             
             
 
(d)
 
Payment-in-Kind (PIK) security which may pay interest in additional principal amount.
 
             
 
(e)
 
Security is a perpetual bond and has no definite maturity date.
 
             
 
(f)
 
Debt obligation initially issued at one coupon rate which converts to another coupon rate at a specific date.
     
The coupon rate shown is the coupon rate at January 31, 2011.
 
             
 
(g)
 
Security is fair valued using fair value methods (other than prices supplied by independent pricing services).
             
 
(h)
 
Security is priced as a unit.
 
             
 
(i)
 
Floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by
     
reference to a base lending rate plus a premium.  These base lending rates are generally (i) the lending rate offered by one or more major
     
European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks,
     
(iii) the certificate of deposit (iv) other base lending rates used by commercial lenders.  The interest rate shown is the
     
coupon rate accruing at January 31, 2011.
 
             
 
(j)
 
Non-income producing.
 
             
 
(k)
 
Indicates a security that has been deemed illiquid. The aggregate cost of illiquid securities is
 
     
$17,012. The aggregate value $962 represents 0.0% of total net assets applicable to common shareowners.
             
 
(l)
 
Securities lending collateral is managed by Credit Suisse AG, New York branch.
 
             
 
(m)
 
At January 31, 2011, the net unrealized gain on investments based on cost for federal income tax purposes
     
of $233,298,282 was as follows:
 
             
     
Aggregate gross unrealized gain for all investments in which
 
 
 
 
   there is an excess of value over tax cost
 $                 14,811,109
             
     
Aggregate gross unrealized loss for all investments in which
 
     
   there is an excess of tax cost over value
                   (7,561,547)
     
Net unrealized gain
 $                7,249,562
     
For financial reporting purposes net unrealized gain was $8,152,790 and cost of
 
     
investments aggregated $232,395,054.
 
             
             
   
Glossary of Terms:
 
   
LC - Letter of Credit
     
             
   
Note:  Principal amounts are denominated in U.S. dollars unless otherwise denoted.
 
             
   
BRL
Brazilian Real
   
   
EURO
Euro
     
   
NOK
Norwegian Krone
 
             
             
   
Purchases and sales of securities (excluding temporary cash investments) for the period ended January 31, 2011, aggregated
   
$60,631,771 and $52,889,495, respectively.
 

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)
         
The following is a summary of the inputs used as of January 31, 2011, in valuing the Trust’s investments:
   
Level 1
   
Level 2
   
Level 3
   
Total
 
                         
Asset backed securities
  $ -     $ 2,263,079     $ -     $ 2,263,079  
Collaterized mortgage obligations
    -       1,643,012       -       1,643,012  
Corporate bonds & notes (environmental & facilities services)
    -       -       -       -  
Corporate bonds & notes (industrial conglomerates)
    -       -       73,800       73,800  
Corporate bonds & notes (systems software)
    -       -       656,571       656,571  
Corporate bonds & notes (other industries)
    -       163,719,231       -       163,719,231  
Convertible bonds & notes
    -       5,376,456       -       5,376,456  
Sovereign debt obligation
    -       1,043,192       -       1,043,192  
Floating rate loan interests
    -       55,444,845       -       55,444,845  
Municipal bonds
    -       849,259       -       849,259  
Common stock (steel)
    -       -       105,430       105,430  
Common stock (systems software)
    -       -       -       -  
Common stock (other industries)
    962,948       60,471       -       1,023,419  
Convertible preferred stock (other industries)
    465,535       -               465,535  
Rights/Warrants
    -       962       -       962  
Temporary cash investments
    -       7,405,345       -       7,405,345  
Money market mutual funds
    477,708       -       -          
Total
  $ 1,906,191     $ 237,805,852     $ 835,801     $ 240,547,844  
                                 
 The following is a reconciliation of assets valued using significant unobservable inputs (level 3):

   
Balance as of 4/30/10
   
Realized gain (loss)
   
Change in unrealized appreciation (depreciation)
   
Net purchases (sales)
   
Transfer in and out of Level 3*
   
Balance as of 1/31/11
 
Corporate bonds & notes (environmental & facilities services)
  $ -     $ -     $ (3,500 )   $ -     $ 3,500     $ -  
Corporate bonds & notes (industrial conglomerates)
    -       -       -       73,800       -       73,800  
Corporate bonds & notes (systems software)
    513,749       -       98,298       44,524       -       656,571  
Floating rate loan interests (steel)
    891,034       -       (35,335 )     (19,311 )     (836,388 )     -  
Common stock (steel)
    117,044       -       (11,614 )     -       -       105,430  
Common stock (systems software)
    -       -       -       -       -       -  
Escrow holdings
    -       -       -       -       -       -  
Ending balance
  $ 1,521,827     $ -     $ 47,849     $ 99,013     $ (832,888 )   $ 835,801  
                                                 
*Transfers are calculated beginning of period.
                                               
 ITEM 2. CONTROLS AND PROCEDURES.

(a) Disclose the conclusions of the registrant's principal executive officer or
officers and principal financial officer or officers, or persons performing
similar functions, about the effectiveness of the registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR
270.30a-3(c))) as of a date within 90 days of the filing date of the report
that includes the disclosure required by this paragraph, based on their
evaluation of these controls and procedures required by Rule 30a-3(b)
under the Act (17 CFR270.30a-3(b))) and Rule 13a-15(b) or 15d-15(b)
under the Exchange Act (17 CFR240.13a-15(b) or 240.15d-15(b)).

The registrant's principal executive officer and principal financial officer
have concluded that the registrant's disclosure controls and procedures are
effective based on their evaluation of these controls and procedures as of
a date within 90 days of the filing date of this report.

(b) Disclose any change in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR270.30a-3(d))
that occurred during the registrant's last fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.

There were no significant changes in the registrant's internal control over
financial reporting that occurred during the second fiscal quarter of the
period covered by this report that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.



ITEM 3. EXHIBITS.

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

Filed herewith.



<PAGE>


                                   SIGNATURES

                          [See General Instruction F]


Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant) Pioneer Diversified High Income Trust

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

Date April 1, 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 April 1, 2011



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

Date April 1, 2011

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