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hours per response..... 10.5 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.