UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
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, Amundi Pioneer Asset 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, 2021
Date of reporting period: May 1, 2020 through October 31, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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.
Pioneer Diversified High Income Trust
Semiannual Report | October 31, 2020
Ticker Symbol: HNW
Beginning in or after April 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Trust’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Trust or from your financial intermediary, such as a broker-dealer, bank or insurance company. Instead, the reports will be made available on the Trust’s website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically by contacting your financial intermediary or, if you invest directly with the Trust, by calling 1-800-710-0935.
You may elect to receive all future reports in paper free of charge. If you invest directly with the Trust, you can inform the Trust that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-710-0935. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held within the Pioneer Fund complex if you invest directly.
visit us: www.amundipioneer.com/us
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 1
The new decade has arrived delivering a calendar year that will go down in the history books. The beginning of 2020 seemed to extend the positive market environment of 2019. Then, March roared in like a lion and the COVID-19 pandemic became a global crisis impacting lives and life as we know it. As the fourth quarter of 2020 got underway, it appeared that the long-anticipated “second wave” of COVID-19 cases was occurring, both in some U.S. states and in Europe. In response, some governments began retightening restrictions on both business and personal activities.
However, as the fourth quarter continued, we began to read some encouraging news on the vaccine front, as multiple pharmaceutical companies announced successful clinical trials for their COVID-19 vaccinations and applied for emergency-use approval for the drugs with the Food and Drug Administration. Government officials followed up on the positive news by announcing that deployment of at least one of the vaccines to frontline workers could begin even before the end of this calendar year, with the potential for widespread distribution by mid-2021.
While there may finally be a light visible at the end of the pandemic tunnel as 2020 comes to a close, the long-term impact on the global economy from COVID-19, while currently unknown, is likely to be considerable. It is clear that several industries have already felt greater effects than others, and the markets, which do not thrive on uncertainty, have been volatile, delivering significantly negative performance in the first quarter, and then recovering most of those losses throughout the following quarters. Despite the rebound, volatility has remained elevated, with momentum rising and falling on seemingly every bit of positive or negative news about the virus, from vaccines to spikes in the number of cases as well as rising hospitalization rates in some areas. In addition, the U.S. Presidential Election was in high gear as we entered the fourth quarter. This election contributed to the market volatility as investors pondered the possible outcomes and their potential effects on the economic outlook.
With the advent of COVID-19 last winter, we implemented our business continuity plan according to the new COVID-19 guidelines, and most of our employees have been working remotely since March. To date, our operating environment has faced no interruption. I am proud of the careful planning that has taken place and confident we can maintain this environment for as long as is prudent. History in the making for a company that first opened its doors way back in 1928.
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Since 1928, Amundi’s investment process has been built on a foundation of fundamental research and active management, principles which have guided our investment decisions for more than 90 years. We believe active management – that is, making active investment decisions – can help mitigate the risks during periods of market volatility. As 2020 has reminded us, investment risk can arise from a number of factors in today’s global economy, including slower or stagnating growth, changing U.S. Federal Reserve policy, oil price shocks, political and geopolitical factors and, unfortunately, major public health concerns such as a viral pandemic.
At Amundi, active management begins with our own fundamental, bottom-up research process. Our team of dedicated research analysts and portfolio managers analyzes each security under consideration, communicating directly with the management teams of the companies issuing the securities and working together to identify those securities that best meet our investment criteria for our family of funds. Our risk management approach begins with each and every security, as we strive to carefully understand the potential opportunity, while considering any and all risk factors.
Today, as investors, we have many options. It is our view that active management can serve shareholders well, not only when markets are thriving, but also during periods of market stress.
As you consider your long-term investment goals, we encourage you to work with your financial professional to develop an investment plan that paves the way for you to pursue both your short-term and long-term goals.
We remain confident that the current crisis, like others in human history, will pass, and we greatly appreciate the trust you have placed in us and look forward to continuing to serve you in the future.
Sincerely,
Lisa M. Jones
Head of the Americas, President and CEO of U.S.
Amundi Pioneer Asset Management USA, Inc.
December 18, 2020
Head of the Americas, President and CEO of U.S.
Amundi Pioneer Asset Management USA, Inc.
December 18, 2020
Any information in this shareowner report regarding market or economic trends or the factors influencing the Trust’s historical or future performance are statements of opinion as of the date of this report. Past performance is no guarantee of future results.
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In the following interview, Andrew Feltus, Jonathan Sharkey, Chin Liu, and Lawrence Zeno discuss the factors that affected the performance of Pioneer Diversified High Income Trust during the six-month period ended October 31, 2020. Mr. Feltus, Managing Director, Co-Director of High Yield, and a portfolio manager at Amundi Pioneer Asset Management, Inc. (Amundi)*, Mr. Sharkey, a senior vice president and a portfolio manager at Amundi, Mr. Liu, Managing Director, Director of Insurance-Linked Securities (ILS) and Quantitative Research, and a portfolio manager at Amundi, and Mr. Zeno, a vice president and a portfolio manager at Amundi, are responsible for the day-to-day management of the Trust.
Q How did the Trust perform during the six-month period ended October 31, 2020?
A Pioneer Diversified High Income Trust returned 18.80% at net asset value (NAV) and 18.46% at market price during the six-month period ended October 31, 2020. During the same six-month period, the Trust’s composite benchmark returned 11.04% at NAV. The Trust’s composite benchmark is based on equal weights of the ICE Bank of America (ICE BofA) Global High Yield and Crossover Country Corporate and Government (GHY/CCC & G) Index and the Standard & Poor’s/Loan Syndications & Trading Association (S&P/LSTA) Leveraged Loan Index.
Individually, during the six-month period ended October 31, 2020, the ICE BofA GHY/CCC & G Index returned 12.52%, and the S&P/LSTA Leveraged Loan Index returned 9.54%. Unlike the Trust, the composite benchmark and its component indices do not use leverage. While the use of leverage increases investment opportunity, it also increases investment risk.
During the same period, the average return at NAV of the 48 closed end funds in Morningstar’s High Yield Closed End Bond Funds Category (which may or may not be leveraged) was 14.18%, while the average return at market price in the same closed-end funds Morningstar category was 15.21%. Meanwhile, the average return at NAV of the 57 closed end funds in Morningstar’s Bank Loan Closed End Funds Category (which may or may not be leveraged) was 11.83%, while the average return at market price in the same closed-end funds Morningstar category was 13.89%.
* See Notes to Financial Statements Note 9.
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The shares of the Trust were selling at a 13.0% discount to NAV at the end of the period on October 31, 2020. Comparatively, the shares of the Trust were selling at a 12.8% discount to NAV on April 30, 2020.
As of October 31, 2020, the 30-day SEC yield of the Trust’s shares was 8.20%**.
Q How would you describe the investment environment in the global fixed-income markets during the six-month period ended October 31, 2020?
A The extraordinary support from monetary and fiscal policy makers in response to the COVID-19 pandemic was met with enthusiasm by investors during the six-month period, as many market participants sought to put money to work at wider spreads and lower prices, estimating that the available levels of compensation were sufficient to take on the increased risk. (Credit spreads are commonly defined as the differences in yield between Treasuries and other types of fixed-income securities with similar maturities). The size and speed of the response to the COVID-19 situation from the Federal Reserve System (Fed) and the U.S. government fueled this rally.
As the six-month period progressed, investors became increasingly optimistic that steps taken toward re-opening most of the economy could support something resembling a “V-shaped” recovery (a swift and sharp rise). The result was a resurgence in risk appetites that allowed credit-sensitive areas of the bond market to recover earlier losses, even as rising numbers of COVID-19 cases in several U.S. states raised concerns.
For the six-month period ended October 31, 2020, the yield on the benchmark 10-year Treasury note rose modestly, from 0.64% to 0.88%. Returns for high-yield corporate and emerging markets bonds were in double-digit positive territory for the period, driven by the improvement in investor sentiment for riskier assets in the wake of substantial support from policymakers. Returns for floating rate bank loans were also strong for the period, despite the prospect of low short-term interest rates for the foreseeable future.
Q What factors affected the Trust’s performance relative to its benchmark during the six-month period ended October 31, 2020?
A In broad terms, the Trust carried leveraged exposure to the high-yield market during the period, which helped lead to outperformance of the benchmark, as the high-yield segment posted strong positive
** The 30-day SEC yield is a standardized formula that is based on the hypothetical annualized earning power (investment income only) of the Trust’s portfolio securities during the period indicated.
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performance over the six-month period. In addition, we had weighted the Trust’s portfolio holdings in favor of cyclical and consumer-oriented sectors. While the positioning had a negative effect on performance in the immediate wake of the COVID-19 crisis, it benefited relative returns for the full six-month period as the market for riskier assets rebounded significantly in the second quarter of 2020.
In terms of individual holdings, leading positive contributors to the Trust’s benchmark-relative performance included an overweight to the debt of Scientific Games, a provider of gambling and lottery products and services. While the pandemic-related shutdowns weighed heavily on investors’ sentiment with respect to Scientific Games, the bond price recovered strongly as gaming activity began to resume in May. Surgery Center Holdings was another standout position in the Trust’s portfolio over the six-month period. The company’s debt was downgraded in late-March, as the vast majority of elective procedures were put on hold as part of the overall strategy to help the medical community fight the COVID-19 outbreak. However, Surgery Center Holdings, which is an ambulatory (or “day”) surgery center operator, was able to shift some of its centers to focusing on COVID-19 treatment, and so the company was in a position to benefit when lockdowns eased and elective procedures resumed. The portfolio’s exposure to the longer-maturity debt of property-and-casualty insurer Liberty Mutual also supported the Trust’s relative performance. While an investment-grade issuer, Liberty Mutual has carried credit ratings below those of its industry peers. While the “risk-off” trade as pandemic concerns mounted last spring weighed on the company’s debt, the bond price eventually rebounded, aided by the strong support shown for the credit markets by government policymakers. Finally, arts and crafts retailer Michaels Stores was a notable positive contributor to the Trust’s benchmark-relative performance for the six-month period. While our general outlook on the broad retail segment is somewhat soft, Michaels Stores’ relatively sound capital structure and leading market position helped spur a rebound in the bond price as the market’s appetite for risk improved over the course of the six-month period.
During the six-month period, we reduced the Trust’s exposure to bank loans, given the persistent decline in the target range of the federal funds rate (now residing at near zero), which was part of the Fed's stimulus efforts in response to the economic damage and market turmoil created by the COVID-19 crisis. Bank loans provided strong returns, roughly in line with the performance of high-yield bonds over the six-month period.
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Loans showed positive performance each month during the period, but at a decreasing rate. Given the risk-on tone within the loan market during the period, the performance of the portfolio’s holdings outpaced the broader loan market. With regard to notable individual loan positions that contributed positively to the Trust’s relative returns, within energy, the loans of Traverse Midstream benefited from the execution of a strong, long-term “take or pay” contract. The performance of Traverse only partially offset the less favorable results generated by other energy holdings that remained under pressure during the period. Investor sentiment with respect to the loans of truck-and-marine chassis manufacturer Drive Chassis improved along with the recovery in inter-modal freight shipping during the six-month period, and the position benefited the Trust’s performance.
The Trust’s holdings of securitized assets, primarily comprised of commercial mortgage-backed securities (CMBS), provided strong positive returns for the six-month period, benefiting from the recovery in the securitized sectors since they hit their low points last spring. The portfolio’s CMBS allocation, in general, has been distributed evenly among Conduit (diverse, fixed-rate pools), Single Asset/Single Borrower (SA/SB), and Freddie Mac issued non-guaranteed deals. The securitized market had become even more dislocated than the credit markets during the worst of the COVID-19-induced sell-off last March. The concentration of levered borrowers in the non-investment-grade spectrum of the securitized market caused severe price dislocations as levered funds sold those assets to meet margin calls. That activity, in turn, set new and lower price levels for the bottom of capital structure in many of the securitized sub-sectors and created what we viewed as solid buying opportunities. The hotel and retail property types in CMBS had been particularly hard hit. The Trust’s exposure to the hotel sector has been mostly in limited-service hotels in non-urban locales, areas that have improved more quickly than have their urban counterparts. During the six-month period, we increased the Trust’s exposure to the securitized sectors as prices continued to firm from their March lows.
The Trust’s investments in insurance-linked securities (ILS) delivered positive returns during the six-month period, although performance for the category lagged that of more credit-sensitive sectors. The ILS portion of the portfolio held up extremely well during March, and so there was less room for a rebound in prices. As would be expected, the main factors affecting the performance of ILS during the period were occurrences of large-scale disasters, rather than either interest-rate movements or investors’ attitude toward riskier assets. The reinsurance industry has
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 7
observed steady rate improvement due to high-loss activities over the last few years. While certain events, including an active Atlantic hurricane season and California wildfires affected the industry, premiums more than offset the losses. We have continued to view the portfolio’s exposure to ILS as helping to bolster the income and risk-reward profile of the Trust over the long-term.
While the Trust solidly outperformed its benchmark during the six-month period, there were some investments and strategies that detracted from benchmark-relative performance. One modest performance detractor during the six-month period was security selection within the struggling energy sector. In particular, the portfolio’s exposure to Chesapeake Energy weighed on relative performance, as the shale-based exploration & production (E&P) firm filed for Chapter 11 bankruptcy protection from its creditors, against the backdrop of weak demand for oil and natural gas. In addition, the debt of offshore drilling contractor Transocean detracted from the Trust’s relative results, as investor sentiment towards the company turned sharply negative, given the general pullback in capital spending throughout the energy sector as oil demand faltered. Also within energy, as we noted earlier, the portfolio had some loan positions that came under pressure and struggled during the period, including Summit Midstream and Encino.
Outside of energy, individual portfolio positions that detracted from the Trust’s relative performance included Diamond Sports, a regional sports network spun out into Sinclair Broadcasting Group in order to facilitate Disney’s acquisition of 21st Century Fox, and bed manufacturer Serta Simmons. Diamond in particular saw the outlook for its debt deteriorate with the absence of sports-related content resulting from COVID-19 containment measures. The company received a boost when professional sports leagues resumed play during the third quarter of 2020, but the owners have pushed for a bond swap in order to reduce Diamond’s debt load, which has acted to suppress investors’ enthusiasm for the extant bonds. (The Trust had no exposure to Sinclair, Disney, or 21st Century Fox as of October 31, 2020.) Finally, the portfolio’s holdings within health care, a sector that had held up relatively well during the March market sell-off, underperformed over the six-month period as riskier, COVID-19-impacted sectors saw a greater rebound as the lockdowns began to alleviate.
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Q How did the level of leverage in the Trust change over the six-month period ended October 31, 2020?
A The Trust employs leverage through a credit agreement.
As of October 31, 2020, 30.8% of the Trust’s total managed assets were financed by leverage (or borrowed funds), compared with 30.0% of the Trust’s total managed assets financed by leverage at the start of the six-month period on May 1, 2020. During the six-month period, the Trust increased the absolute amount of funds borrowed by a total of $8 million, to $53 million as of October 31, 2020, in an effort to provide support for the Trust's dividend***. The percentage of the Trust’s managed assets financed by leverage increased during the period due to the increase in the amount of funds borrowed by the Trust.
Q Did the Trust’s distributions*** to shareholders change during the six-month period ended October 31, 2020?
A Yes, an increase in the Trust’s dividend from 9.5 cents per share to 10.25 cents per share was announced on August 4, 2020, to be paid August 31, 2020.
Q Did the Trust have any exposure to derivative securities during the six-month period ended October 31, 2020? If so, did the derivatives have a notable effect on performance?
A We invested in forward foreign currency contracts during the period to help manage the risk of the portfolio’s exposures to foreign currencies. The contracts had a small positive effect on the Trust’s benchmark-relative results, given the decline in the euro relative to the U.S. dollar over the six-month period.
Q What is your investment outlook?
A Domestic economic activity rebounded by an estimated 38% (annualized) during the third quarter, recovering more than 75% of the output drawdown recorded during the first half of 2020. While the U.S. economic growth rate may slow from that pace in the fourth quarter, we believe economic activity could continue to expand. History has typically shown that expansions have tended to be self-sustaining, unless derailed by an exogenous shock. While another injection of fiscal stimulus from the government could accelerate economic activity, we anticipate that growth may continue even without additional help, as personal savings balances
*** Distributions/dividends are not guaranteed.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 9
have remained above historical norms. In addition, accommodative financial conditions seem unlikely to be reversed by tighter monetary policy for the foreseeable future. Although a continued increase in COVID-19 infections seems likely to occur during the winter months, we do not expect that sustained, widespread lockdowns will be necessary, given improved treatment methods. Of course, potential shutdowns could have a negative effect on economic growth in the short term, and create market volatility, but it is our expectation – given the initial trial successes of several possible vaccines for the virus – that the medium-term outlook is for positive growth.
We appreciate the near-term risks of U.S. political uncertainty, a seasonal increase in COVID-19 infections, and any unexpected delays in approving and distributing a vaccine or vaccines. At the same time, we have framed those risks against asset spreads that generally reside above their levels at the beginning of 2020, which we believe leaves room for future spread tightening.
With high-yield corporate spreads above their long-term average, we believe investors have been receiving fair compensation for taking on added credit risk. While default rates could remain elevated over the near term, any improvement as we enter 2021 could support further spread tightening. In the meantime, we believe the below-investment-grade market may continue to benefit from investors’ search for better yields.
In response to the new economic environment, we have categorized all of the portfolio’s holdings based on their relative exposure to the COVID-19 crisis. Sectors we view as “unimpaired” are those that have experienced minimal negative effects from the crisis, such as food and drug retailers. The “wounded” category includes companies that have experienced temporary disruptions due to COVID-19, but that we believe have good long-term business models, such as ambulatory surgery centers. In the “impaired” category are sectors where we expect to see lasting negative effects caused by the pandemic, such as movie theaters.
In general, we have found that the market has priced bonds in the “unimpaired” space efficiently, and so those securities do not offer exceptional opportunities, in our opinion. On the other hand, we believe bonds in the “wounded category” have continued to offer attractive values even after the rally we have seen, but we need to make sure that the issuers of the debt have strong enough balance sheets to survive once the COVID-19 situation has largely abated, whenever that may occur.
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Please refer to the Schedule of Investments on pages 17–45 for a full listing of Trust securities.
All investments are subject to risk, including the possible loss of principal. In the past several years, financial markets have experienced increased volatility and heightened uncertainty. The market prices of securities may go up or down, sometimes rapidly or unpredictably, due to general market conditions, such as real or perceived adverse economic, political, or regulatory conditions, recessions, inflation, changes in interest or currency rates, lack of liquidity in the bond markets, the spread of infectious illness or other public health issues or adverse investor sentiment. These conditions may continue, recur, worsen or spread.
Investments in high-yield or lower-rated securities are subject to greater-than-average risk. The Trust may invest in securities of issuers that are in default or that are in bankruptcy.
Investing in foreign and/or emerging markets securities involves risks relating to interest rates, currency exchange rates, economic, and political conditions.
When interest rates rise, the prices of debt securities held by the Trust will generally fall. Conversely, when interest rates fall the prices of debt securities held by the Trust generally will rise. Investments held by the Trust are subject to possible loss due to the financial failure of the issuers of the underlying securities and the issuers’ inability to meet their debt obligations.
The Trust may invest a significant amount of its total assets in illiquid securities. Illiquid securities may be difficult to dispose of at a price reflective of their value at the times when the Trust believes it is desirable to do so and the market price of illiquid securities is generally more volatile than that of more liquid securities. Illiquid securities also are more difficult to value, and investment of the Trust’s assets in illiquid securities may restrict the Trust’s ability to take advantage of market opportunities.
The Trust is authorized to borrow from banks and issue debt securities, which are forms of leverage. Leverage creates significant risks, including the risk that the Trust’s incremental income or capital appreciation for investments purchased with the proceeds of leverage will not be sufficient to cover the cost of the leverage, which may adversely affect the return for shareholders.
The Trust is required to maintain certain regulatory and other asset coverage requirements in connection with the use of leverage. In order to maintain required asset coverage levels, the Trust may be required to reduce the amount of leverage employed, alter the composition of the Trust’s investment portfolio or take other actions at what might be inopportune times in the market. Such actions could reduce the net earnings or returns to shareowners over time, which is likely to result in a decrease in the market value of the Trust’s shares.
Certain securities in which the Trust invests, including floating rate loans, once sold, may not settle for an extended period (for example, several weeks or even longer). The Trust will not receive its sale proceeds until that time, which may constrain the Trust’s ability to meet its obligations.
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The Trust may invest in insurance-linked securities. The return of principal and the right to additional payments from investments in insurance-linked securities are contingent on the non-occurrence of a predefined “trigger” event that leads to physical or economic loss, such as a hurricane or an aerospace catastrophe.
These risks may increase share price volatility.
Any information in this shareholder report regarding market or economic trends or the factors influencing the Trust’s historical or future performance are statements of opinion as of the date of this report. Past performance is no guarantee of future results.
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10 Largest Holdings
(As a percentage of total investments)*
(As a percentage of total investments)*
1. | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | 4.17% |
2. | Hercules LLC, 6.5%, 6/30/29 | 1.13 |
3. | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 1.10 |
4. | MDC Partners, Inc., 6.5%, 5/1/24 (144A) | 1.00 |
5. | Garda World Security Corp., 9.5%, 11/1/27 (144A) | 0.95 |
6. | Scientific Games International, Inc., 8.25%, 3/15/26 (144A) | 0.95 |
7. | BNP Paribas SA, 6.625% (5 Year USD Swap Rate + 415 bps) (144A) | 0.91 |
8. | eDreams ODIGEO SA, 5.5%, 9/1/23 (144A) | 0.91 |
9. | Indigo Natural Resources LLC, 6.875%, 2/15/26 (144A) | 0.88 |
10. | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.0%, 4/15/23 (144A) | 0.84 |
* Excludes temporary cash investments and all derivative contracts except for options purchased. The Trust is actively managed, and current holdings may be different. The holdings listed should not be considered recommendations to buy or sell any securities.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 13
10/31/20 | 4/30/20 | |
Market Value | $12.43 | $10.99 |
Discount | (13.0)% | (12.8)% |
Net Asset Value per Share^
10/31/20 | 4/30/20 | |
Net Asset Value | $14.28 | $12.60 |
Distributions per Share:
Net | |||
Investment | Short-Term | Long-Term | |
Income | Capital Gains | Capital Gains | |
5/1/20 – 10/31/20 | $0.5925 | $ — | $ — |
Yields
10/31/20 | 4/30/20 | |
30-Day SEC Yield | 8.20% | 13.21% |
The data shown above represents past performance, which is no guarantee of future results.
^ Net asset value and market value are published in Barron’s on Saturday, The Wall Street Journal on Monday and The New York Times on Monday and Saturday. Net asset value and market value are published daily on the Trust’s website at www.amundipioneer.com/us.
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Investment Returns
The mountain chart below shows the change in market value, plus reinvested dividends and distributions, of a $10,000 investment made in shares of Pioneer Diversified High Income Trust during the periods shown, compared to that of the composite (50%/50%) ICE BofA Global High Yield & Crossover Country Corporate & Government Index (GHY/CCC & G) Index and S&P/LSTA Leveraged Loan Index benchmark, and the two indices that comprise the composite benchmark.
Average Annual Total Returns
(As of October 31, 2020)
(As of October 31, 2020)
50% BofA | |||||
Global High | |||||
Yield/CCC&G | |||||
Index/50% | ICE BofA | ||||
Net Asset | S&P/LSTA | S&P/LSTA | Global | ||
Value | Market | Leveraged | Leveraged | High Yield/ | |
Period | (NAV) | Price | Loan Index | Loan Index | CCC&G Index |
10 years | 5.86% | 4.31% | 4.77% | 4.12% | 5.37% |
5 years | 5.18 | 4.50 | 4.87 | 4.09 | 5.60 |
1 year | -2.08 | -7.97 | 2.25 | 1.72 | 2.74 |
Call 1-800-710-0935 or visit www.amundipioneer.com/us for the most recent month-end performance results. Current performance may be lower or higher than the performance data quoted.
Performance data shown represents past performance. Past performance is no guarantee of future results. Investment return and market price will fluctuate, and your shares may trade below NAV due to such factors as interest rate changes and the perceived credit quality of borrowers.
(Please see the following page for additional performance and expense disclosure.)
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Total investment return does not reflect broker sales charges or commissions. All performance is for common shares of the Trust.
Shares of closed-end funds, unlike open-end funds, are not continuously offered. There is a one-time public offering and, once issued, shares of closed-end funds are bought and sold in the open market through a stock exchange and frequently trade at prices lower than their NAV. NAV per share is total assets less total liabilities, which include preferred shares or borrowings, as applicable, divided by the number of common shares outstanding.
When NAV is lower than market price, dividends are assumed to be reinvested at the greater of NAV or 95% of the market price. When NAV is higher, dividends are assumed to be reinvested at prices obtained through open-market purchases under the Trust’s dividend reinvestment plan.
The performance table and graph do not reflect the deduction of fees and taxes that a shareowner would pay on Trust distributions or the sale of Trust shares. Had these fees and taxes been reflected, performance would have been lower.
The ICE BofA GHY/CCC & G Index is an unmanaged index that tracks the performance of the below-and border-line investment-grade global debt markets denominated in the major developed market currencies. The Index includes sovereign issuers rated BBB1 and lower along with corporate issues rated BB1 and lower. There are no restrictions on issuer country of domicile. The S&P/LSTA Leveraged Loan Index provides broad and comprehensive total return metrics of the U.S. universe of syndicated term loans.
Index returns are calculated monthly, assume reinvestment of dividends and, unlike Trust returns, do not reflect any fees, expenses or sales charges. The indices do not use leverage. It is not possible to invest directly in an index.
Please refer to the financial highlights for a more current total return ratio.
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Shares | Value | ||
UNAFFILIATED ISSUERS — 142.1% | |||
COMMON STOCKS — 0.1% of Net Assets | |||
Auto Components — 0.0%† | |||
208 | Lear Corp. | $ 25,128 | |
Total Auto Components | $ 25,128 | ||
Household Durables — 0.0%† | |||
89,094(a) | Desarrolladora Homex SAB de CV | $ 189 | |
Total Household Durables | $ 189 | ||
Oil, Gas & Consumable Fuels — 0.1% | |||
6 | Amplify Energy Corp. | $ 4 | |
17,883^(a) | PetroQuest Energy, Inc. | 9,836 | |
7,158(a) | Whiting Petroleum Corp. | 104,507 | |
Total Oil, Gas & Consumable Fuels | $ 114,347 | ||
Specialty Retail — 0.0%† | |||
42,088+^(a) | Targus Cayman SubCo., Ltd. | $ 55,556 | |
Total Specialty Retail | $ 55,556 | ||
TOTAL COMMON STOCKS | |||
(Cost $632,131) | $ 195,220 | ||
PREFERRED STOCKS — 1.4% of Net Assets | |||
Banks — 0.9% | |||
40,675(b) | GMAC Capital Trust I, 6.065% (3 Month USD LIBOR + | ||
579 bps), 2/15/40 | $ 1,046,974 | ||
Total Banks | $ 1,046,974 | ||
Diversified Financial Services — 0.4% | |||
500(b)(c) | Compeer Financial ACA, 6.75% (3 Month USD | ||
LIBOR + 458 bps) (144A) | $ 525,000 | ||
Total Diversified Financial Services | $ 525,000 | ||
Internet — 0.1% | |||
59,182(a) | MYT Holding LLC, 10.0%, 6/6/29 | $ 57,111 | |
Total Internet | $ 57,111 | ||
TOTAL PREFERRED STOCKS | |||
(Cost $1,542,040) | $ 1,629,085 | ||
Principal | |||
Amount | |||
USD ($) | |||
ASSET BACKED SECURITIES — 2.2% | |||
of Net Assets | |||
1,000,000(d) | AIG CLO, Ltd., Series 2019-2A, Class E, 7.465% (3 Month | ||
USD LIBOR + 725 bps), 10/25/32 (144A) | $ 938,442 | ||
250,000(d) | Apidos CLO XXXIII, Series 2020-33A, Class D, 4.593% | ||
(3 Month USD LIBOR + 432 bps), 7/24/31 (144A) | 250,533 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 17
Schedule of Investments | 10/31/20
(unaudited) (continued)
Principal | |||
Amount | |||
USD ($) | Value | ||
ASSET BACKED SECURITIES — (continued) | |||
250,000(d) | Ballyrock CLO, Ltd., Series 2020-1A, Class C, 4.788% | ||
(3 Month USD LIBOR + 450 bps), 7/20/30 (144A) | $ 249,401 | ||
500,000(d) | Goldentree Loan Management US CLO 2, Ltd., | ||
Series 2017-2A, Class E, 4.918% (3 Month USD LIBOR + | |||
470 bps), 11/28/30 (144A) | 418,400 | ||
500,000(d) | Neuberger Berman Loan Advisers CLO 37, Ltd., Series | ||
2020-37A, Class E, 7.268% (3 Month USD LIBOR + | |||
705 bps), 7/20/31 (144A) | 483,730 | ||
250,000(d) | OCP CLO, Ltd., Series 2020-19A, Class D, 4.79% | ||
(3 Month USD LIBOR + 447 bps), 7/20/31 (144A) | 246,422 | ||
TOTAL ASSET BACKED SECURITIES | |||
(Cost $2,718,820) | $ 2,586,928 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS — | |||
0.5% of Net Assets | |||
330,000(d) | Freddie Mac Stacr Trust, Series 2019-HQA1, Class B2, | ||
12.399% (1 Month USD LIBOR + 1,225 bps), | |||
2/25/49 (144A) | $ 318,524 | ||
250,000(d) | Freddie Mac Stacr Trust, Series 2019-HQA2, Class B2, | ||
11.399% (1 Month USD LIBOR + 1,125 bps), | |||
4/25/49 (144A) | 234,471 | ||
25,463 | Global Mortgage Securitization, Ltd., Series 2004-A, | ||
Class B1, 5.25%, 11/25/32 (144A) | 15,038 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $604,660) | $ 568,033 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES — | |||
9.5% of Net Assets | |||
1,000,000(b) | Benchmark Mortgage Trust, Series 2020-B18, Class | ||
AGNG, 4.388%, 7/15/53 (144A) | $ 938,302 | ||
250,000(b) | COMM Mortgage Trust, Series 2020-CBM, Class F, | ||
3.633%, 2/10/37 (144A) | 202,971 | ||
955,688(b) | FREMF Mortgage Trust, Series 2019-KJ24, Class B, | ||
7.6%, 10/25/27 (144A) | 799,082 | ||
1,000,000(d) | FREMF Mortgage Trust, Series 2019-KS12, Class C, | ||
7.056% (1 Month USD LIBOR + 690 bps), 8/25/29 | 672,500 | ||
749,705(d) | FREMF Mortgage Trust, Series 2020-KF74, Class C, | ||
6.378% (1 Month USD LIBOR + 623 bps), 1/25/27 (144A) | 722,068 | ||
1,000,000(d) | FREMF Mortgage Trust, Series 2020-KF83, Class C, | ||
9.148% (1 Month USD LIBOR + 900 bps), 7/25/30 (144A) | 1,018,635 | ||
8,600,000(b) | FRESB Mortgage Trust, Series 2020-SB79, Class X1, | ||
1.236%, 7/25/40 | 730,284 | ||
750,000(d) | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, | ||
Class G, 4.148% (1 Month USD LIBOR + | |||
400 bps), 12/15/36 (144A) | 611,715 | ||
500,000(b) | JP Morgan Chase Commercial Mortgage Securities | ||
Trust, Series 2013-LC11, Class D, 4.167%, 4/15/46 | 342,473 |
The accompanying notes are an integral part of these financial statements.
18 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Principal | |||
Amount | |||
USD ($) | Value | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES — (continued) | |||
20,000(b) | JP Morgan Chase Commercial Mortgage Securities | ||
Trust, Series 2015-JP1, Class C, 4.713%, 1/15/49 | $ 20,032 | ||
723,994 | L1C 3/8L1 LLC, Series 2019-1, Class B, 8.5%, | ||
11/1/22 (144A) | 698,415 | ||
230,792(b) | Morgan Stanley Capital I Trust, Series 2007-T25, | ||
Class AJ, 5.574%, 11/12/49 | 184,634 | ||
750,000(d) | Morgan Stanley Capital I Trust, Series 2019-BPR, | ||
Class D, 4.148% (1 Month USD LIBOR + | |||
400 bps), 5/15/36 (144A) | 593,298 | ||
750,000(d) | Multifamily Connecticut Avenue Securities Trust, Series | ||
2020-1, Class M10, 3.899% (1 Month USD LIBOR | |||
+ 375 bps), 3/25/50 (144A) | 710,425 | ||
900,000(b) | Natixis Commercial Mortgage Securities Trust, Series | ||
2019-FAME, Class E, 4.398%, 8/15/36 (144A) | 721,619 | ||
500,000 | Palisades Center Trust, Series 2016-PLSD, Class A, | ||
2.713%, 4/13/33 (144A) | 395,000 | ||
497,171(b) | Velocity Commercial Capital Loan Trust, Series 2020-1, | ||
Class M6, 5.69%, 2/25/50 (144A) | 364,086 | ||
1,100,000 | Wells Fargo Commercial Mortgage Trust, Series | ||
2015-C28, Class E, 3.0%, 5/15/48 (144A) | 610,396 | ||
1,660,500(b) | Wells Fargo Commercial Mortgage Trust, Series | ||
2015-C31, Class E, 4.604%, 11/15/48 (144A) | 958,327 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | |||
(Cost $13,005,561) | $ 11,294,262 | ||
CONVERTIBLE CORPORATE BONDS — 2.3% | |||
of Net Assets | |||
Airlines — 0.4% | |||
313,000 | Southwest Airlines Co., 1.25%, 5/1/25 | $ 420,985 | |
Total Airlines | $ 420,985 | ||
Banks — 0.0%† | |||
IDR 812,959,000+^ | PT Bakrie & Brothers Tbk, 0.0%, 12/22/22 | $ 2,779 | |
Total Banks | $ 2,779 | ||
Chemicals — 1.6% | |||
1,900,000(e) | Hercules LLC, 6.5%, 6/30/29 | $ 1,907,125 | |
Total Chemicals | $ 1,907,125 | ||
Leisure Time — 0.2% | |||
230,000 | Royal Caribbean Cruises, Ltd., 4.25%, 6/15/23 (144A) | $ 238,268 | |
Total Leisure Time | $ 238,268 | ||
Pharmaceuticals — 0.1% | |||
300,000 | Tricida, Inc., 3.5%, 5/15/27 (144A) | $ 128,027 | |
Total Pharmaceuticals | $ 128,027 | ||
TOTAL CONVERTIBLE CORPORATE BONDS | |||
(Cost $2,149,375) | $ 2,697,184 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 19
Schedule of Investments | 10/31/20
(unaudited) (continued)
Principal | ||||
Amount | ||||
USD ($) | Value | |||
CORPORATE BONDS — 95.2% of Net Assets | ||||
Advertising — 1.7% | ||||
200,000 | Clear Channel International BV, 6.625%, 8/1/25 (144A) | $ 203,000 | ||
160,000 | Lamar Media Corp., 4.875%, 1/15/29 | 166,400 | ||
1,768,000 | MDC Partners, Inc., 6.5%, 5/1/24 (144A) | 1,691,658 | ||
Total Advertising | $ 2,061,058 | |||
Aerospace & Defense — 0.4% | ||||
280,000 | Howmet Aerospace, Inc., 6.875%, 5/1/25 | $ 311,500 | ||
125,000 | Triumph Group, Inc., 8.875%, 6/1/24 (144A) | 132,694 | ||
Total Aerospace & Defense | $ 444,194 | |||
Agriculture — 0.7% | ||||
815,000 | Kernel Holding SA, 6.5%, 10/17/24 (144A) | $ 818,260 | ||
Total Agriculture | $ 818,260 | |||
Airlines — 1.7% | ||||
480,000 | Aerovias de Mexico SA de CV, 7.0%, 2/5/25 (144A) | $ 114,000 | ||
700,000 | Delta Air Lines, Inc., 3.75%, 10/28/29 | 584,922 | ||
155,000 | Delta Air Lines, Inc., 7.375%, 1/15/26 | 160,425 | ||
645,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual | |||
Property Assets, Ltd., 6.5%, 6/20/27 (144A) | 671,606 | |||
EUR | 700,000 | Transportes Aereos Portugueses SA, 5.625%, | ||
12/2/24 (144A) | 464,641 | |||
Total Airlines | $ 1,995,594 | |||
Auto Manufacturers — 1.5% | ||||
1,095,000 | JB Poindexter & Co., Inc., 7.125%, 4/15/26 (144A) | $ 1,163,777 | ||
550,000 | Navistar International Corp., 9.5%, 5/1/25 (144A) | 609,469 | ||
Total Auto Manufacturers | $ 1,773,246 | |||
Auto Parts & Equipment — 1.2% | ||||
785,000 | Dealer Tire LLC/DT Issuer LLC, 8.0%, 2/1/28 (144A) | $ 802,662 | ||
555,000 | Goodyear Tire & Rubber Co., 9.5%, 5/31/25 | 610,611 | ||
Total Auto Parts & Equipment | $ 1,413,273 | |||
Banks — 6.1% | ||||
200,000 | Access Bank Plc, 10.5%, 10/19/21 (144A) | $ 207,040 | ||
300,000(b) | Banco de Galicia y Buenos Aires SAU, 8.25% (5 Year | |||
CMT Index + 716 bps), 7/19/26 (144A) | 256,500 | |||
685,000(b)(c) | Banco Mercantil del Norte SA, 8.375% (5 Year CMT | |||
Index + 776 bps) (144A) | 726,963 | |||
650,000(b)(c) | Barclays Plc, 7.75% (5 Year USD Swap Rate + 484 bps) | 670,195 | ||
1,453,000(b)(c) | BNP Paribas SA, 6.625% (5 Year USD Swap Rate + | |||
415 bps) (144A) | 1,541,560 | |||
397,000 | Freedom Mortgage Corp., 8.125%, 11/15/24 (144A) | 399,978 | ||
1,165,000 | Freedom Mortgage Corp., 8.25%, 4/15/25 (144A) | 1,177,349 | ||
350,000(b)(c) | ING Groep NV, 6.5% (5 Year USD Swap Rate + 445 bps) | 371,875 |
The accompanying notes are an integral part of these financial statements.
20 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Principal | |||
Amount | |||
USD ($) | Value | ||
Banks — (continued) | |||
225,000(b)(c) | Intesa Sanpaolo S.p.A., 7.7% (5 Year USD Swap Rate + | ||
546 bps) (144A) | $ 237,375 | ||
250,000(b)(c) | Natwest Group Plc, 8.0% (5 Year USD Swap Rate + | ||
572 bps) | 279,845 | ||
400,000(b)(c) | Natwest Group Plc, 8.625% (5 Year USD Swap Rate + | ||
760 bps) | 412,844 | ||
200,000 | Sberbank of Russia Via SB Capital SA, 5.25%, | ||
5/23/23 (144A) | 212,250 | ||
460,000(b)(c) | Societe Generale SA, 7.375% (5 Year USD Swap Rate + | ||
624 bps) (144A) | 472,512 | ||
344,000(b) | Turkiye Vakiflar Bankasi TAO, 8.0% (5 Year USD Swap | ||
Rate + 585 bps), 11/1/27 (144A) | 313,470 | ||
Total Banks | $ 7,279,756 | ||
Building Materials — 1.6% | |||
305,000 | Builders FirstSource, Inc., 6.75%, 6/1/27 (144A) | $ 327,112 | |
230,000 | Cornerstone Building Brands, Inc., 6.125%, | ||
1/15/29 (144A) | 234,956 | ||
1,001,000 | Patrick Industries, Inc., 7.5%, 10/15/27 (144A) | 1,084,513 | |
65,000 | Summit Materials LLC/Summit Materials Finance | ||
Corp., 5.125%, 6/1/25 (144A) | 65,813 | ||
70,000 | Summit Materials LLC/Summit Materials Finance | ||
Corp., 5.25%, 1/15/29 (144A) | 72,100 | ||
Total Building Materials | $ 1,784,494 | ||
Chemicals — 2.4% | |||
9,000 | Blue Cube Spinco LLC, 9.75%, 10/15/23 | $ 9,259 | |
55,000 | Blue Cube Spinco LLC, 10.0%, 10/15/25 | 58,074 | |
173,000 | Hexion, Inc., 7.875%, 7/15/27 (144A) | 179,488 | |
300,000 | LYB Finance Co. BV, 8.1%, 3/15/27 (144A) | 396,384 | |
280,000 | Olin Corp., 9.5%, 6/1/25 (144A) | 331,134 | |
336,000 | Rain CII Carbon LLC/CII Carbon Corp., 7.25%, | ||
4/1/25 (144A) | 331,383 | ||
600,000 | Tronox, Inc., 6.5%, 5/1/25 (144A) | 633,000 | |
765,000 | Tronox, Inc., 6.5%, 4/15/26 (144A) | 775,909 | |
Total Chemicals | $ 2,714,631 | ||
Coal — 0.4% | |||
497,000 | SunCoke Energy Partners LP/SunCoke Energy | ||
Partners Finance Corp., 7.5%, 6/15/25 (144A) | $ 444,815 | ||
Total Coal | $ 444,815 | ||
Commercial Services — 5.2% | |||
245,000 | Allied Universal Holdco LLC/Allied Universal Finance | ||
Corp., 6.625%, 7/15/26 (144A) | $ 256,646 | ||
585,000 | Allied Universal Holdco LLC/Allied Universal Finance | ||
Corp., 9.75%, 7/15/27 (144A) | 623,914 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 21
Schedule of Investments | 10/31/20
(unaudited) (continued)
Principal | ||||
Amount | ||||
USD ($) | Value | |||
Commercial Services — (continued) | ||||
450,000 | APX Group, Inc., 6.75%, 2/15/27 (144A) | $ 469,125 | ||
1,501,000 | Garda World Security Corp., 9.5%, 11/1/27 (144A) | 1,602,317 | ||
150,000 | Herc Holdings, Inc., 5.5%, 7/15/27 (144A) | 154,144 | ||
1,835,000 | Prime Security Services Borrower LLC/Prime Finance, | |||
Inc., 6.25%, 1/15/28 (144A) | 1,854,231 | |||
MXN | 4,230,000 | Red de Carreteras de Occidente SAB de CV, 9.0%, | ||
6/10/28 (144A) | 211,000 | |||
558,000 | Sotheby’s, 7.375%, 10/15/27 (144A) | 569,160 | ||
411,000 | Verscend Escrow Corp., 9.75%, 8/15/26 (144A) | 441,825 | ||
Total Commercial Services | $ 6,182,362 | |||
Computers — 0.4% | ||||
130,000 | Dell International LLC/EMC Corp., 7.125%, | |||
6/15/24 (144A) | $ 134,716 | |||
80,000 | Diebold Nixdorf, Inc., 9.375%, 7/15/25 (144A) | 84,900 | ||
175,000 | NCR Corp., 5.25%, 10/1/30 (144A) | 173,250 | ||
75,000 | NCR Corp., 8.125%, 4/15/25 (144A) | 82,500 | ||
Total Computers | $ 475,366 | |||
Diversified Financial Services — 6.1% | ||||
1,110,000 | Alliance Data Systems Corp., 7.0%, 1/15/26 (144A) | $ 1,113,108 | ||
1,000,000 | ASG Finance Designated Activity Co., 7.875%, | |||
12/3/24 (144A) | 690,000 | |||
600,000 | Credito Real SAB de CV SOFOM ER, 7.25%, | |||
7/20/23 (144A) | 586,626 | |||
880,000 | Financiera Independencia SAB de CV SOFOM ENR, | |||
8.0%, 7/19/24 (144A) | 611,609 | |||
EUR | 235,000 | Garfunkelux Holdco 3 SA, 6.75%, 11/1/25 (144A) | 268,173 | |
GBP | 400,000 | Garfunkelux Holdco 3 SA, 7.75%, 11/1/25 (144A) | 508,523 | |
1,036,250(f) | Global Aircraft Leasing Co., Ltd., 6.5% (7.25% PIK 6.5% | |||
cash), 9/15/24 (144A) | 694,287 | |||
500,000 | Mongolian Mortgage Corp. Hfc LLC, 9.75%, | |||
1/29/22 (144A) | 492,500 | |||
455,000 | Nationstar Mortgage Holdings, Inc., 6.0%, | |||
1/15/27 (144A) | 455,000 | |||
75,000 | OneMain Finance Corp., 6.625%, 1/15/28 | 82,021 | ||
215,000 | OneMain Finance Corp., 8.875%, 6/1/25 | 236,500 | ||
615,000 | Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc., | |||
6.375%, 12/15/22 (144A) | 610,080 | |||
1,174,000 | Unifin Financiera SAB de CV, 8.375%, 1/27/28 (144A) | 929,808 | ||
Total Diversified Financial Services | $ 7,278,235 | |||
Electric — 2.2% | ||||
400,000 | Cemig Geracao e Transmissao SA, 9.25%, | |||
12/5/24 (144A) | $ 450,000 | |||
460,000(b) | Enel S.p.A., 8.75% (5 Year USD Swap Rate + | |||
588 bps), 9/24/73 (144A) | 531,300 |
The accompanying notes are an integral part of these financial statements.
22 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Principal | |||
Amount | |||
USD ($) | Value | ||
Electric — (continued) | |||
420,000 | NRG Energy, Inc., 6.625%, 1/15/27 | $ 442,050 | |
320,000 | NRG Energy, Inc., 7.25%, 5/15/26 | 338,237 | |
172,120 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, | ||
12/15/25 (144A) | 182,447 | ||
710,000 | Talen Energy Supply LLC, 7.625%, 6/1/28 (144A) | 694,913 | |
7,000 | Vistra Operations Co. LLC, 5.625%, 2/15/27 (144A) | 7,298 | |
Total Electric | $ 2,646,245 | ||
Electrical Components & Equipment — 0.5% | |||
350,000 | WESCO Distribution, Inc., 7.125%, 6/15/25 (144A) | $ 377,125 | |
245,000 | WESCO Distribution, Inc., 7.25%, 6/15/28 (144A) | 268,275 | |
Total Electrical Components & Equipment | $ 645,400 | ||
Engineering & Construction — 1.3% | |||
200,000 | Aeropuertos Dominicanos Siglo XXI SA, 6.75%, | ||
3/30/29 (144A) | $ 182,502 | ||
1,190,000 | PowerTeam Services LLC, 9.033%, 12/4/25 (144A) | 1,259,913 | |
332,094(g) | Stoneway Capital Corp., 10.0%, 3/1/27 (144A) | 113,742 | |
Total Engineering & Construction | $ 1,556,157 | ||
Entertainment — 3.6% | |||
510,000 | Caesars Entertainment, Inc., 8.125%, 7/1/27 (144A) | $ 532,284 | |
250,000 | Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, | ||
10/15/25 (144A) | 237,425 | ||
200,000 | Cirsa Finance International S.a.r.l., 7.875%, | ||
12/20/23 (144A) | 181,000 | ||
755,000 | Enterprise Development Authority, 12.0%, | ||
7/15/24 (144A) | 836,162 | ||
305,000 | International Game Technology Plc, 6.25%, | ||
1/15/27 (144A) | 324,063 | ||
295,000 | Scientific Games International, Inc., 7.0%, | ||
5/15/28 (144A) | 293,026 | ||
295,000 | Scientific Games International, Inc., 7.25%, | ||
11/15/29 (144A) | 292,616 | ||
1,574,000 | Scientific Games International, Inc., 8.25%, | ||
3/15/26 (144A) | 1,596,650 | ||
110,000 | SeaWorld Parks & Entertainment, Inc., 9.5%, | ||
8/1/25 (144A) | 115,500 | ||
Total Entertainment | $ 4,408,726 | ||
Environmental Control — 1.9% | |||
680,000 | Covanta Holding Corp., 5.0%, 9/1/30 | $ 691,900 | |
506,000 | Covanta Holding Corp., 6.0%, 1/1/27 | 526,969 | |
330,000 | GFL Environmental, Inc., 8.5%, 5/1/27 (144A) | 359,700 | |
731,000 | Tervita Corp., 7.625%, 12/1/21 (144A) | 701,760 | |
Total Environmental Control | $ 2,280,329 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 23
Schedule of Investments | 10/31/20
(unaudited) (continued)
Principal | ||||
Amount | ||||
USD ($) | Value | |||
Food — 1.8% | ||||
660,000 | FAGE International SA/FAGE USA Dairy Industry, | |||
Inc., 5.625%, 8/15/26 (144A) | $ 632,201 | |||
580,000 | Minerva Luxembourg SA, 6.5%, 9/20/26 (144A) | 603,206 | ||
652,000 | Pilgrim’s Pride Corp., 5.875%, 9/30/27 (144A) | 688,760 | ||
225,000 | United Natural Foods, Inc., 6.75%, 10/15/28 (144A) | 227,813 | ||
Total Food | $ 2,151,980 | |||
Forest Products & Paper — 1.0% | ||||
390,000 | Eldorado International Finance GmbH, 8.625%, | |||
6/16/21 (144A) | $ 393,264 | |||
504,000 | Mercer International, Inc., 7.375%, 1/15/25 | 512,508 | ||
379,000 | Schweitzer-Mauduit International, Inc., 6.875%, | |||
10/1/26 (144A) | 399,845 | |||
Total Forest Products & Paper | $ 1,305,617 | |||
Healthcare-Products — 0.3% | ||||
295,000 | Varex Imaging Corp., 7.875%, 10/15/27 (144A) | $ 300,163 | ||
Total Healthcare-Products | $ 300,163 | |||
Healthcare-Services — 3.6% | ||||
280,000 | Legacy LifePoint Health LLC, 6.75%, 4/15/25 (144A) | $ 296,100 | ||
430,000 | Prime Healthcare Services, Inc., 7.25%, 11/1/25 (144A) | 433,354 | ||
130,000 | Providence Service Corp., 5.875%, 11/15/25 (144A) | 132,275 | ||
357,000 | RegionalCare Hospital Partners Holdings, Inc./LifePoint | |||
Health, Inc., 9.75%, 12/1/26 (144A) | 384,668 | |||
1,066,000 | Surgery Center Holdings, Inc., 10.0%, 4/15/27 (144A) | 1,137,955 | ||
1,165,000 | US Renal Care, Inc., 10.625%, 7/15/27 (144A) | 1,240,725 | ||
600,000 | West Street Merger Sub, Inc., 6.375%, 9/1/25 (144A) | 609,000 | ||
Total Healthcare-Services | $ 4,234,077 | |||
Holding Companies-Diversified — 0.4% | ||||
520,000 | VistaJet Malta Finance Plc/XO Management Holding, | |||
Inc., 10.5%, 6/1/24 (144A) | $ 494,000 | |||
Total Holding Companies-Diversified | $ 494,000 | |||
Home Builders — 1.6% | ||||
885,000 | Beazer Homes USA, Inc., 7.25%, 10/15/29 | $ 951,109 | ||
350,000 | Brookfield Residential Properties, Inc./Brookfield | |||
Residential US Corp., 6.375%, 5/15/25 (144A) | 351,750 | |||
211,000 | KB Home, 6.875%, 6/15/27 | 248,980 | ||
340,000 | KB Home, 7.625%, 5/15/23 | 374,000 | ||
Total Home Builders | $ 1,925,839 | |||
Home Furnishings — 0.9% | ||||
EUR | 930,000 | International Design Group S.p.A., 6.5%, | ||
11/15/25 (144A) | $ 1,030,513 | |||
Total Home Furnishings | $ 1,030,513 |
The accompanying notes are an integral part of these financial statements.
24 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Principal | ||||
Amount | ||||
USD ($) | Value | |||
Housewares — 0.1% | ||||
120,000 | CD&R Smokey Buyer, Inc., 6.75%, 7/15/25 (144A) | $ 126,600 | ||
Total Housewares | $ 126,600 | |||
Insurance — 5.9% | ||||
4,600,000 | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | $ 7,040,988 | ||
Total Insurance | $ 7,040,988 | |||
Internet — 1.6% | ||||
EUR | 1,580,000 | eDreams ODIGEO SA, 5.5%, 9/1/23 (144A) | $ 1,528,900 | |
215,000 | Expedia Group, Inc., 6.25%, 5/1/25 (144A) | 236,429 | ||
110,000 | Expedia Group, Inc., 7.0%, 5/1/25 (144A) | 117,792 | ||
Total Internet | $ 1,883,121 | |||
Iron/Steel — 2.2% | ||||
870,000 | Cleveland-Cliffs, Inc., 6.75%, 3/15/26 (144A) | $ 913,500 | ||
105,000 | Cleveland-Cliffs, Inc., 9.875%, 10/17/25 (144A) | 120,094 | ||
200,000 | Metinvest BV, 7.75%, 4/23/23 (144A) | 204,000 | ||
1,345,000 | Metinvest BV, 7.75%, 10/17/29 (144A) | 1,285,820 | ||
Total Iron/Steel | $ 2,523,414 | |||
Leisure Time — 0.7% | ||||
135,000 | Carnival Corp., 10.5%, 2/1/26 (144A) | $ 146,137 | ||
125,000 | Royal Caribbean Cruises, Ltd., 9.125%, 6/15/23 (144A) | 130,156 | ||
298,000 | Royal Caribbean Cruises, Ltd., 11.5%, 6/1/25 (144A) | 340,838 | ||
245,000 | Viking Cruises, Ltd., 6.25%, 5/15/25 (144A) | 191,100 | ||
Total Leisure Time | $ 808,231 | |||
Lodging — 1.0% | ||||
410,000 | Boyd Gaming Corp., 8.625%, 6/1/25 (144A) | $ 448,827 | ||
375,000 | Hyatt Hotels Corp., 5.375%, 4/23/25 | 406,698 | ||
180,000 | Hyatt Hotels Corp., 5.75%, 4/23/30 | 203,380 | ||
150,000 | Marriott International, Inc., 5.75%, 5/1/25 | 166,780 | ||
Total Lodging | $ 1,225,685 | |||
Machinery-Diversified — 0.4% | ||||
500,000 | Maxim Crane Works Holdings Capital LLC, 10.125%, | |||
8/1/24 (144A) | $ 506,250 | |||
Total Machinery-Diversified | $ 506,250 | |||
Media — 2.1% | ||||
263,000 | Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/24 | $ 227,592 | ||
1,735,000 | Diamond Sports Group LLC/Diamond Sports Finance | |||
Co., 6.625%, 8/15/27 (144A) | 692,525 | |||
441,000 | Gray Television, Inc., 5.875%, 7/15/26 (144A) | 459,010 | ||
EUR | 420,000 | Virgin Media Finance Plc, 3.75%, 7/15/30 (144A) | 464,376 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 25
Schedule of Investments | 10/31/20
(unaudited) (continued)
Principal | ||||
Amount | ||||
USD ($) | Value | |||
Media — (continued) | ||||
GBP | 420,000 | Virgin Media Vendor Financing Notes III DAC, | ||
4.875%, 7/15/28 (144A) | $ 541,753 | |||
Total Media | $ 2,385,256 | |||
Mining — 3.1% | ||||
500,000 | First Quantum Minerals, Ltd., 6.875%, 3/1/26 (144A) | $ 496,250 | ||
400,000 | First Quantum Minerals, Ltd., 6.875%, 10/15/27 (144A) | 398,996 | ||
425,000 | First Quantum Minerals, Ltd., 7.25%, 4/1/23 (144A) | 427,125 | ||
405,000 | Hudbay Minerals, Inc., 6.125%, 4/1/29 (144A) | 414,113 | ||
589,000 | Hudbay Minerals, Inc., 7.625%, 1/15/25 (144A) | 610,557 | ||
483,000 | Joseph T Ryerson & Son, Inc., 8.5%, 8/1/28 (144A) | 517,559 | ||
615,000 | Novelis Corp., 5.875%, 9/30/26 (144A) | 634,606 | ||
375,000 | Vedanta Resources, Ltd., 6.375%, 7/30/22 (144A) | 262,688 | ||
Total Mining | $ 3,761,894 | |||
Miscellaneous Manufacturers — 0.8% | ||||
908,000 | Bombardier, Inc., 7.5%, 3/15/25 (144A) | $ 660,570 | ||
199,000 | Koppers, Inc., 6.0%, 2/15/25 (144A) | 203,478 | ||
Total Miscellaneous Manufacturers | $ 864,048 | |||
Multi-National — 0.3% | ||||
IDR | 4,840,000,000 | Inter-American Development Bank, 7.875%, 3/14/23 | $ 351,310 | |
Total Multi-National | $ 351,310 | |||
Oil & Gas — 6.9% | ||||
1,126,000 | Baytex Energy Corp., 8.75%, 4/1/27 (144A) | $ 495,440 | ||
655,000 | Cenovus Energy, Inc., 5.375%, 7/15/25 | 690,610 | ||
660,000 | Cenovus Energy, Inc., 6.75%, 11/15/39 | 733,864 | ||
155,000 | Endeavor Energy Resources LP/EER Finance, Inc., | |||
6.625%, 7/15/25 (144A) | 160,812 | |||
160,000 | EQT Corp., 5.0%, 1/15/29 | 160,000 | ||
1,520,000 | Indigo Natural Resources LLC, 6.875%, 2/15/26 (144A) | 1,493,400 | ||
350,000 | MEG Energy Corp., 6.5%, 1/15/25 (144A) | 340,375 | ||
825,000 | MEG Energy Corp., 7.125%, 2/1/27 (144A) | 742,277 | ||
603,000 | Neptune Energy Bondco Plc, 6.625%, 5/15/25 (144A) | 524,610 | ||
915,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.0%, | |||
2/15/28 (144A) | 352,229 | |||
375,000 | PBF Holding Co. LLC/PBF Finance Corp., 9.25%, | |||
5/15/25 (144A) | 332,813 | |||
610,000 | Petroleos Mexicanos, 6.875%, 10/16/25 (144A) | 602,985 | ||
186,436(f) | PetroQuest Energy, Inc., 10.0% (9.0% PIK 1.0% | |||
cash), 2/15/24 | 466 | |||
707,000 | SEPLAT Petroleum Development Co. Plc, 9.25%, | |||
4/1/23 (144A) | 708,768 | |||
815,000 | Shelf Drilling Holdings, Ltd., 8.25%, 2/15/25 (144A) | 268,950 | ||
659,000 | Transocean, Inc., 7.5%, 1/15/26 (144A) | 138,390 |
The accompanying notes are an integral part of these financial statements.
26 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Principal | ||||
Amount | ||||
USD ($) | Value | |||
Oil & Gas — (continued) | ||||
995,000 | YPF SA, 6.95%, 7/21/27 (144A) | $ 532,325 | ||
ARS | 7,750,000 | YPF SA, 16.5%, 5/9/22 (144A) | 62,831 | |
Total Oil & Gas | $ 8,341,145 | |||
Oil & Gas Services — 0.7% | ||||
521,000 | Archrock Partners LP/Archrock Partners Finance Corp., | |||
6.875%, 4/1/27 (144A) | $ 510,580 | |||
731,000 | FTS International, Inc., 6.25%, 5/1/22 | 204,680 | ||
255,000 | SESI LLC, 7.75%, 9/15/24 | 58,650 | ||
Total Oil & Gas Services | $ 773,910 | |||
Packaging & Containers — 0.6% | ||||
730,000 | Greif, Inc., 6.5%, 3/1/27 (144A) | $ 765,587 | ||
53,000 | Plastipak Holdings, Inc., 6.25%, 10/15/25 (144A) | 53,066 | ||
Total Packaging & Containers | $ 818,653 | |||
Pharmaceuticals — 3.2% | ||||
EUR | 345,000 | Bausch Health Cos., Inc., 4.5%, 5/15/23 (144A) | $ 396,980 | |
EUR | 450,000 | Bausch Health Cos., Inc., 4.5%, 5/15/23 | 517,799 | |
15,000 | Bausch Health Cos., Inc., 5.875%, 5/15/23 (144A) | 14,962 | ||
430,000 | Bausch Health Cos., Inc., 7.0%, 3/15/24 (144A) | 445,588 | ||
547,000 | Bausch Health Cos., Inc., 7.0%, 1/15/28 (144A) | 578,452 | ||
369,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., | |||
6.0%, 6/30/28 (144A) | 285,052 | |||
274,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., | |||
9.5%, 7/31/27 (144A) | 293,923 | |||
465,000 | P&L Development LLC/PLD Finance Corp., | |||
7.75%, 11/15/25 (144A) | 473,719 | |||
381,000 | Par Pharmaceutical, Inc., 7.5%, 4/1/27 (144A) | 403,860 | ||
493,000 | Teva Pharmaceutical Finance Netherlands III BV, | |||
2.8%, 7/21/23 | 467,571 | |||
Total Pharmaceuticals | $ 3,877,906 | |||
Pipelines — 6.2% | ||||
900,000 | American Midstream Partners LP/American | |||
Midstream Finance Corp., 9.5%, 12/15/21 (144A) | $ 873,000 | |||
230,000 | DCP Midstream Operating LP, 5.6%, 4/1/44 | 200,100 | ||
555,000 | Delek Logistics Partners LP/Delek Logistics Finance | |||
Corp., 6.75%, 5/15/25 | 495,337 | |||
450,000(d) | Energy Transfer Operating LP, 3.232% (3 Month USD | |||
LIBOR + 302 bps), 11/1/66 | 231,750 | |||
915,000(b)(c) | Energy Transfer Operating LP, 7.125% (5 Year CMT | |||
Index + 531 bps) | 747,884 | |||
420,000 | EnLink Midstream Partners LP, 4.15%, 6/1/25 | 361,288 | ||
118,000 | EnLink Midstream Partners LP, 5.05%, 4/1/45 | 74,340 | ||
344,000 | EnLink Midstream Partners LP, 5.6%, 4/1/44 | 212,420 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 27
Schedule of Investments | 10/31/20
(unaudited) (continued)
Principal | |||
Amount | |||
USD ($) | Value | ||
Pipelines — (continued) | |||
197,000 | Global Partners LP/GLP Finance Corp., 7.0%, 8/1/27 | $ 202,798 | |
755,000 | Harvest Midstream I LP, 7.5%, 9/1/28 (144A) | 749,338 | |
585,000 | Hess Midstream Operations LP, 5.625%, 2/15/26 (144A) | 585,000 | |
555,000 | NuStar Logistics LP, 6.375%, 10/1/30 | 558,469 | |
935,000 | PBF Logistics LP/PBF Logistics Finance Corp., | ||
6.875%, 5/15/23 | 733,975 | ||
1,175,000 | Williams Cos., Inc., 5.75%, 6/24/44 | 1,358,903 | |
Total Pipelines | $ 7,384,602 | ||
REITs — 1.5% | |||
386,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital | ||
LLC, 7.875%, 2/15/25 (144A) | $ 409,533 | ||
1,404,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital | ||
LLC, 6.0%, 4/15/23 (144A) | 1,422,427 | ||
Total REITs | $ 1,831,960 | ||
Retail — 1.5% | |||
575,000 | AAG FH LP/AAG FH Finco, Inc., 9.75%, 7/15/24 (144A) | $ 540,500 | |
495,000 | Golden Nugget, Inc., 6.75%, 10/15/24 (144A) | 419,151 | |
220,000 | IRB Holding Corp., 7.0%, 6/15/25 (144A) | 234,462 | |
250,000 | L Brands, Inc., 6.625%, 10/1/30 (144A) | 262,500 | |
389,000 | Staples, Inc., 7.5%, 4/15/26 (144A) | 363,715 | |
Total Retail | $ 1,820,328 | ||
Software — 0.4% | |||
505,000 | Logan Merger Sub, Inc., 5.5%, 9/1/27 (144A) | $ 511,944 | |
Total Software | $ 511,944 | ||
Sovereign — 0.1% | |||
207,437(h) | Ecuador Social Bond S.a.r.l, 1/30/35 (144A) | $ 144,169 | |
Total Sovereign | $ 144,169 | ||
Telecommunications — 5.8% | |||
695,000 | Altice France Holding SA, 6.0%, 2/15/28 (144A) | $ 668,937 | |
607,000 | Altice France Holding SA, 10.5%, 5/15/27 (144A) | 669,217 | |
200,000 | Altice France SA, 8.125%, 2/1/27 (144A) | 217,500 | |
300,000 | Cincinnati Bell, Inc., 7.0%, 7/15/24 (144A) | 310,500 | |
325,000 | Cincinnati Bell, Inc., 8.0%, 10/15/25 (144A) | 344,500 | |
242,000 | CommScope Technologies LLC, 6.0%, 6/15/25 (144A) | 239,914 | |
96,866 | Digicel International Finance, Ltd./Digicel Holdings | ||
Bermuda, Ltd., 8.75%, 5/25/24 (144A) | 96,745 | ||
49,063(f) | Digicel International Finance, Ltd./Digicel Holdings | ||
Bermuda, Ltd., 13.0% (7.0% PIK 6.0% cash), | |||
12/31/25 (144A) | 45,690 | ||
750,000 | Digicel, Ltd., 6.75%, 3/1/23 | 464,070 | |
1,345,000 | Kenbourne Invest SA, 6.875%, 11/26/24 (144A) | 1,403,844 | |
340,000 | Sprint Corp., 7.125%, 6/15/24 | 391,068 |
The accompanying notes are an integral part of these financial statements.
28 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Principal | ||||
Amount | ||||
USD ($) | Value | |||
Telecommunications — (continued) | ||||
850,000 | Sprint Corp., 7.625%, 3/1/26 | $ 1,034,424 | ||
875,000 | Windstream Escrow LLC/Windstream Escrow | |||
Finance Corp., 7.75%, 8/15/28 (144A) | 844,375 | |||
Total Telecommunications | $ 6,730,784 | |||
Transportation — 1.3% | ||||
575,000 | Watco Cos., LLC/Watco Finance Corp., 6.5%, | |||
6/15/27 (144A) | $ 596,563 | |||
965,000 | Western Global Airlines LLC, 10.375%, 8/15/25 (144A) | 998,756 | ||
Total Transportation | $ 1,595,319 | |||
Trucking & Leasing — 0.3% | ||||
325,000 | Fortress Transportation & Infrastructure Investors LLC, | |||
9.75%, 8/1/27 (144A) | $ 345,719 | |||
Total Trucking & Leasing | $ 345,719 | |||
TOTAL CORPORATE BONDS | ||||
(Cost $112,699,746) | $113,297,566 | |||
FOREIGN GOVERNMENT BONDS — 3.1% | ||||
of Net Assets | ||||
Angola — 0.3% | ||||
448,000 | Angolan Government International Bond, 8.25%, | |||
5/9/28 (144A) | $ 352,083 | |||
Total Angola | $ 352,083 | |||
Argentina — 0.0%† | ||||
70,720 | Province of Salta Argentina, 9.5%, 3/16/22 (144A) | $ 62,587 | ||
Total Argentina | $ 62,587 | |||
Bahrain — 0.7% | ||||
490,000 | Bahrain Government International Bond, 5.625%, | |||
9/30/31 (144A) | $ 484,486 | |||
300,000 | Bahrain Government International Bond, 7.0%, | |||
10/12/28 (144A) | 330,741 | |||
Total Bahrain | $ 815,227 | |||
Ghana — 0.6% | ||||
320,000 | Ghana Government International Bond, 7.875%, | |||
2/11/35 (144A) | $ 283,600 | |||
500,000 | Ghana Government International Bond, 8.627%, 6/16/49 | 438,750 | ||
Total Ghana | $ 722,350 | |||
Mexico — 0.8% | ||||
MXN | 970,000 | Mexican Bonos, 7.75%, 11/13/42 | $ 48,927 | |
MXN | 18,385,500 | Mexican Bonos, 8.0%, 12/7/23 | 945,581 | |
Total Mexico | $ 994,508 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 29
Schedule of Investments | 10/31/20
(unaudited) (continued)
Principal | ||||
Amount | ||||
USD ($) | Value | |||
Ukraine — 0.7% | ||||
750,000 | Ukraine Government International Bond, 8.994%, | |||
2/1/24 (144A) | $ 797,397 | |||
Total Ukraine | $ 797,397 | |||
TOTAL FOREIGN GOVERNMENT BONDS | ||||
(Cost $3,939,054) | $ 3,744,152 | |||
INSURANCE-LINKED SECURITIES — 17.2% of | ||||
Net Assets# | ||||
Event Linked Bonds — 4.0% | ||||
Earthquakes – Japan — 0.4% | ||||
500,000(d) | Kizuna Re II, 2.586% (3 Month U.S. Treasury Bill + | |||
250 bps), 4/11/23 (144A) | $ 499,500 | |||
Multiperil – Europe — 0.5% | ||||
EUR | 500,000+(d) | Lion II Re, 3.57% (3 Month EURIBOR + 357 bps), 7/15/21 | ||
(144A) | $ 578,266 | |||
Multiperil – U.S. — 0.9% | ||||
375,000+(d) | Caelus Re V, 0.586% (1 Month U.S. Treasury Bill + | |||
50 bps), 6/5/24 (144A) | $ 33 | |||
400,000+(d) | Caelus Re V, 0.586% (1 Month U.S. Treasury Bill + | |||
50 bps), 6/5/24 (144A) | 40 | |||
250,000(d) | Caelus Re V, 7.24% (3 Month U.S. Treasury Bill + | |||
724 bps), 6/7/21 (144A) | 100,000 | |||
250,000(d) | Kilimanjaro Re, 4.974% (3 Month USD LIBOR + | |||
494 bps), 5/6/22 (144A) | 251,025 | |||
250,000(d) | Residential Reinsurance 2016, 5.686% (3 Month U.S. | |||
Treasury Bill + 560 bps), 12/6/20 (144A) | 249,625 | |||
250,000(d) | Residential Reinsurance 2018 Re, 11.876% (3 Month U.S. | |||
Treasury Bill + 1,179 bps), 12/6/22 (144A) | 249,650 | |||
250,000(d) | Residential Reinsurance 2019, 12.456% (3 Month U.S. | |||
Treasury Bill + 1,237 bps), 12/6/23 (144A) | 251,350 | |||
$ 1,101,723 | ||||
Multiperil – U.S. & Canada — 0.7% | ||||
250,000(d) | Hypatia, Ltd., 9.836% (3 Month U.S. Treasury Bill + | |||
975 bps), 6/7/23 (144A) | $ 264,250 | |||
500,000(d) | Mona Lisa Re, 8.086% (3 Month U.S. Treasury Bill + | |||
800 bps), 1/9/23 (144A) | 508,900 | |||
$ 773,150 | ||||
Multiperil – Worldwide — 0.4% | ||||
250,000(d) | Galilei Re, 8.674% (6 Month USD LIBOR + 863 bps), | |||
1/8/21 (144A) | $ 249,125 | |||
250,000(d) | Galilei Re, 13.884% (6 Month USD LIBOR + | |||
1,384 bps), 1/8/21 (144A) | 249,250 | |||
$ 498,375 |
The accompanying notes are an integral part of these financial statements.
30 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Principal | ||||
Amount | ||||
USD ($) | Value | |||
Pandemic – U.S. — 0.2% | ||||
250,000(d) | Vitality Re XI, 1.886% (3 Month U.S. Treasury Bill + | |||
180 bps), 1/9/24 (144A) | $ 248,050 | |||
Windstorm – Texas — 0.2% | ||||
250,000(d) | Alamo Re II, 5.836% (1 Month U.S. Treasury Bill + | |||
575 bps), 6/8/23 (144A) | $ 258,250 | |||
Windstorm – U.S. Multistate — 0.1% | ||||
750,000+(d) | Citrus Re, 0.186% (3 Month U.S. Treasury Bill + | |||
10 bps), 2/25/21 (144A) | $ 36,456 | |||
Windstorm – U.S. Regional — 0.6% | ||||
250,000(h) | Matterhorn Re, 12/7/21 (144A) | $ 228,250 | ||
250,000(d) | Matterhorn Re, 6.336% (3 Month U.S. Treasury Bill + | |||
625 bps), 12/7/21 (144A) | 252,100 | |||
250,000(d) | Matterhorn Re, 7.586% (3 Month U.S. Treasury Bill + | |||
750 bps), 12/7/21 (144A) | 251,575 | |||
$ 731,925 | ||||
Total Event Linked Bonds | $ 4,725,695 | |||
Face | ||||
Amount | ||||
USD ($) | ||||
Collateralized Reinsurance — 3.2% | ||||
Multiperil – Massachusetts — 0.2% | ||||
250,000+(a)(i) | Denning Re 2019, 7/31/21 | $ 256,803 | ||
Multiperil – U.S. — 0.4% | ||||
250,000+(a)(i) | Ballybunion Re, 2/28/21 | $ 255,468 | ||
250,000+(i) | Dingle Re 2019, 2/1/21 | 5,131 | ||
250,000+(a)(i) | Port Royal Re 2019, 5/31/21 | 254,128 | ||
$ 514,727 | ||||
Multiperil – U.S. & Canada — 0.2% | ||||
250,000+(a)(i) | Leven Re 2020, 1/31/21 | $ 252,898 | ||
Multiperil – U.S. Regional — 0.3% | ||||
350,000+(a)(i) | Ailsa Re 2019, 6/30/21 | $ 361,679 | ||
Multiperil – Worldwide — 1.4% | ||||
650,000+(a)(i) | Cypress Re 2017, 1/10/21 | $ 11,830 | ||
462,683+(a)(i) | Dartmouth Re 2018, 1/15/21 | 99,940 | ||
100,000+(a)(i) | Dartmouth Re 2020, 2/28/21 | 97,302 | ||
389,876+(a)(i) | Gloucester Re 2018, 2/28/21 | 68,618 | ||
27,000+(a)(i) | Limestone Re 2019-2, 3/1/23 (144A) | 46,159 | ||
250,000+(i) | Merion Re 2020-1, 12/31/23 | 248,518 | ||
250,000+(a)(i) | Old Head Re 2020, 12/31/20 | 243,061 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 31
Schedule of Investments | 10/31/20
(unaudited) (continued)
Face | ||||
Amount | ||||
USD ($) | Value | |||
Multiperil – Worldwide — (continued) | ||||
333,342+(a)(i) | Oyster Bay Re 2018, 1/15/21 | $ 302,541 | ||
700,000+(a)(i) | Resilience Re, 5/1/21 | 70 | ||
567,400+(a)(i) | Seminole Re 2018, 1/15/21 | 16,839 | ||
250,000+(a)(i) | Walton Health Re 2019, 6/30/21 | 250,607 | ||
250,000+(a)(i) | Wentworth Re 2020-1, 12/31/23 | 245,705 | ||
$ 1,631,190 | ||||
Windstorm – Florida — 0.4% | ||||
750,000+(a)(i) | Portrush Re 2017, 6/15/21 | $ 478,575 | ||
Windstorm – U.S. Regional — 0.3% | ||||
250,000+(i) | Liphook Re 2020, 6/30/24 | $ 251,262 | ||
250,000+(a)(i) | Oakmont Re 2019, 4/30/21 | 173,078 | ||
$ 424,340 | ||||
Total Collateralized Reinsurance | $ 3,920,212 | |||
Industry Loss Warranties — 0.4% | ||||
Multiperil – U.S. — 0.2% | ||||
250,000+(a)(i) | Scotscraig Re 2020, 1/31/21 | $ 251,204 | ||
Windstorm – U.S. — 0.2% | ||||
250,000+(i) | Thaxted Park Re 2020, 12/10/21 | $ 252,250 | ||
Total Industry Loss Warranties | $ 503,454 | |||
Reinsurance Sidecars — 9.6% | ||||
Multiperil – U.S. — 1.0% | ||||
1,000,000+(a)(i) | Carnoustie Re 2017, 11/30/21 | $ 131,800 | ||
250,000+(a)(i) | Carnoustie Re 2020, 12/31/23 | 270,620 | ||
400,000+(a)(i) | Castle Stuart Re 2018, 12/1/21 | 69,835 | ||
1,000,000+(a)(j) | Harambee Re 2018, 12/31/21 | 8,200 | ||
1,000,000+(j) | Harambee Re 2019, 12/31/22 | 11,500 | ||
500,000+(a)(j) | Harambee Re 2020, 12/31/23 | 536,850 | ||
$ 1,028,805 | ||||
Multiperil – U.S. Regional — 0.0%† | ||||
250,000+(a)(i) | EC0009 Re, 12/31/20 | $ 37,000 | ||
Multiperil – Worldwide — 8.6% | ||||
3,037+(j) | Alturas Re 2019-2, 3/10/22 | $ 16,206 | ||
24,550+(a)(j) | Alturas Re 2019-3, 9/12/23 | 51,801 | ||
500,000+(a)(j) | Alturas Re 2020-2, 3/10/23 | 552,350 | ||
225,450(a)(j) | Alturas Re 2020-3, 9/30/24 | 231,785 | ||
500,000+(a)(i) | Bantry Re 2018, 12/31/21 | 5,700 | ||
492,000+(i) | Bantry Re 2019, 12/31/22 | 16,710 | ||
470,033+(a)(i) | Bantry Re 2020, 12/31/23 | 505,525 | ||
1,579,039+(a)(i) | Berwick Re 2018-1, 12/31/21 | 192,169 | ||
1,128,124+(a)(i) | Berwick Re 2019-1, 12/31/22 | 134,811 |
The accompanying notes are an integral part of these financial statements.
32 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Face | ||||
Amount | ||||
USD ($) | Value | |||
Multiperil – Worldwide — (continued) | ||||
993,323+(a)(i) | Berwick Re 2020-1, 12/31/23 | $ 1,090,155 | ||
400,000+(j) | Blue Lotus Re 2018, 12/31/21 | 17,480 | ||
12,500+(i) | Eden Re II, 3/22/22 (144A) | 8,606 | ||
37,500+(i) | Eden Re II, 3/22/22 (144A) | 24,908 | ||
7,125+(a)(i) | Eden Re II, 3/22/23 (144A) | 61,162 | ||
700,000+(a)(i) | Eden Re II, 3/22/24 (144A) | 786,800 | ||
2,400,000+(a)(i) | Gleneagles Re 2016, 11/30/20 | 74,880 | ||
1,500,000+(a)(i) | Gleneagles Re 2017, 12/31/17 | 156,396 | ||
250,000+(a)(i) | Gleneagles Re 2018, 12/31/21 | 29,575 | ||
221,708+(i) | Gleneagles Re 2019, 12/31/22 | 4,955 | ||
243,580+(a)(i) | Gleneagles Re 2020, 12/31/23 | 264,049 | ||
1,059,157+(a)(i) | Gullane Re 2018, 12/31/21 | 1,094,197 | ||
1,000+(i) | Limestone Re 2018, 3/1/22 | 34,177 | ||
250,000+(a)(i) | Lion Rock Re 2020, 1/31/21 | 281,975 | ||
750,000+(a)(j) | Lorenz Re 2018, 7/1/21 | 20,550 | ||
498,977+(a)(j) | Lorenz Re 2019, 6/30/22 | 48,251 | ||
63,338+(a)(j) | Lorenz Re 2020, 6/30/23 | 68,538 | ||
336,662+(a)(j) | Lorenz Re 2020, 6/30/23 | 364,302 | ||
500,000+(a)(i) | Merion Re 2018-2, 12/31/21 | 555,309 | ||
250,000+(a)(j) | NCM Re 2018, 12/31/21 | 16,850 | ||
103,281+(j) | NCM Re 2019, 12/31/22 | 12,001 | ||
1,000,000+(a)(i) | Pangaea Re 2018-1, 12/31/21 | 21,055 | ||
1,000,000+(a)(i) | Pangaea Re 2018-3, 7/1/22 | 20,744 | ||
819,247+(a)(i) | Pangaea Re 2019-1, 2/1/23 | 17,071 | ||
735,313+(a)(i) | Pangaea Re 2019-3, 7/1/23 | 26,450 | ||
810,646+(a)(i) | Pangaea Re 2020-1, 2/1/24 | 882,003 | ||
620,500+(a)(i) | Pangaea Re 2020-3, 7/1/24 | 646,609 | ||
200,000+(a)(i) | Sector Re V, Series 9, Class A, 3/1/24 (144A) | 84,266 | ||
250,000+(a)(i) | Sector Re V, Series 9, Class C, 12/1/24 (144A) | 277,849 | ||
1,000,000+(a)(i) | St. Andrews Re 2017-1, 2/1/21 | 67,800 | ||
515,671+(a)(i) | Sussex Re 2020-1, 12/31/22 | 555,893 | ||
500,000+(a)(j) | Thopas Re 2018, 12/31/21 | 12,200 | ||
313,499+(a)(j) | Thopas Re 2019, 12/31/22 | 57,997 | ||
300,000+(a)(j) | Thopas Re 2020, 12/31/23 | 330,480 | ||
500,000+(a)(i) | Versutus Re 2018, 12/31/21 | 9,500 | ||
441,274+(i) | Versutus Re 2019-A, 12/31/21 | 19,725 | ||
58,727+(i) | Versutus Re 2019-B, 12/31/21 | 2,625 | ||
500,000+(a)(j) | Viribus Re 2018, 12/31/21 | 18,200 | ||
212,306+(j) | Viribus Re 2019, 12/31/22 | 8,577 | ||
240,783+(a)(j) | Viribus Re 2020, 12/31/23 | 238,471 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 33
Schedule of Investments | 10/31/20
(unaudited) (continued)
Face | ||||
Amount | ||||
USD ($) | Value | |||
Multiperil – Worldwide — (continued) | ||||
507,289+(a)(i) | Woburn Re 2018, 12/31/21 | $ 46,739 | ||
499,829+(a)(i) | Woburn Re 2019, 12/31/22 | 170,312 | ||
$ 10,236,739 | ||||
Total Reinsurance Sidecars | $ 11,302,544 | |||
TOTAL INSURANCE-LINKED SECURITIES | ||||
(Cost $22,152,560) | $ 20,451,905 | |||
Principal | ||||
Amount | ||||
USD ($) | ||||
SENIOR SECURED FLOATING RATE LOAN | ||||
INTERESTS — 10.4% of Net Assets*(d) | ||||
Aerospace & Defense — 0.6% | ||||
325,428 | Jazz Acquisition, Inc., First Lien Initial Term Loan, 4.4% | |||
(LIBOR + 425 bps), 6/19/26 | $ 286,241 | |||
483,750 | Peraton Corp. (fka MHVC Acquisition Corp.), First Lien | |||
Initial Term Loan, 6.25% (LIBOR + | ||||
525 bps), 4/29/24 | 481,331 | |||
Total Aerospace & Defense | $ 767,572 | |||
Automobile — 1.2% | ||||
438,770 | Commercial Vehicle Group, Inc. (CVG), Initial Term | |||
Loan, 11.5% (LIBOR + 1,050 bps), 4/12/23 | $ 404,765 | |||
500,000 | Drive Chassis Holdco LLC, Second Lien Term B Loan, | |||
8.474% (LIBOR + 825 bps), 4/10/26 | 489,063 | |||
543,844 | First Brands Group LLC, First Lien Tranche B-3 Term | |||
Loan, 8.5% (LIBOR + 750 bps), 2/2/24 | 536,366 | |||
Total Automobile | $ 1,430,194 | |||
Building Materials — 0.3% | ||||
387,000 | WKI Holding Co., Inc. (aka World Kitchen), Initial Term | |||
Loan, 5.0% (LIBOR + 400 bps), 5/1/24 | $ 379,744 | |||
Total Building Materials | $ 379,744 | |||
Buildings & Real Estate — 0.3% | ||||
399,027 | WireCo WorldGroup, Inc. (WireCo WorldGroup | |||
Finance LP), First Lien Initial Term Loan, 6.0% (LIBOR + | ||||
500 bps), 9/29/23 | $ 350,645 | |||
Total Buildings & Real Estate | $ 350,645 |
The accompanying notes are an integral part of these financial statements.
34 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Principal | ||||
Amount | ||||
USD ($) | Value | |||
Chemicals, Plastics & Rubber — 0.2% | ||||
194,014 | Twist Beauty International Holdings SA, Facility B2, 4.0% | |||
(LIBOR + 300 bps), 4/22/24 | $ 186,496 | |||
Total Chemicals, Plastics & Rubber | $ 186,496 | |||
Computers & Electronics — 1.1% | ||||
243,750 | Chloe OX Parent LLC, Initial Term Loan, 5.5% (LIBOR + | |||
450 bps), 12/23/24 | $ 235,625 | |||
176,009 | Energy Acquisition LP (aka Electrical Components | |||
International), First Lien Initial Term Loan, | ||||
4.398% (LIBOR + 425 bps), 6/26/25 | 162,074 | |||
286,166 | Natel Engineering Co., Inc., Initial Term Loan, 6.0% | |||
(LIBOR + 500 bps), 4/30/26 | 251,826 | |||
673,259 | Ultra Clean Holdings, Inc., Term B Loan, 4.648% | |||
(LIBOR + 450 bps), 8/27/25 | 669,893 | |||
Total Computers & Electronics | $ 1,319,418 | |||
Diversified & Conglomerate Manufacturing — 0.1% | ||||
97,750 | Pelican Products, Inc., First Lien Term Loan, 4.5% | |||
(LIBOR + 350 bps), 5/1/25 | $ 93,840 | |||
Total Diversified & Conglomerate Manufacturing | $ 93,840 | |||
Diversified & Conglomerate Service — 1.5% | ||||
240,066 | CB Poly Investments LLC, First Lien Closing Date | |||
Term Loan, 5.5% (LIBOR + 450 bps), 8/16/23 | $ 205,857 | |||
556,662 | DTI Holdco, Inc., Replacement B-1 Term Loan, 5.75% | |||
(LIBOR + 475 bps), 9/29/23 | 494,733 | |||
267,667 | DynCorp International, Inc., Term Loan, 7.0% (LIBOR + | |||
600 bps), 8/18/25 | 266,328 | |||
500,884 | Intrado Corp., Incremental Term B-1 Loan, 4.5% | |||
(LIBOR + 350 bps), 10/10/24 | 464,361 | |||
368,139 | Team Health Holdings, Inc., Initial Term Loan, 3.75% | |||
(LIBOR + 275 bps), 2/6/24 | 300,953 | |||
Total Diversified & Conglomerate Service | $ 1,732,232 | |||
Healthcare & Pharmaceuticals — 0.4% | ||||
467,650 | Sotera Health Holdings LLC, First Lien Initial Term Loan, | |||
5.5% (LIBOR + 450 bps), 12/11/26 | $ 467,211 | |||
Total Healthcare & Pharmaceuticals | $ 467,211 | |||
Healthcare, Education & Childcare — 1.1% | ||||
713,092 | KUEHG Corp. (fka KC MergerSub, Inc.) (aka KinderCare), | |||
Term B-3 Loan, 4.75% (LIBOR + 375 bps), 2/21/25 | $ 654,797 | |||
238,800 | Surgery Center Holdings, Inc., 2020 Incremental Term | |||
Loan, 9.0% (LIBOR + 800 bps), 9/3/24 | 243,576 | |||
495,000 | U.S. Renal Care, Inc., Initial Term Loan, 5.188% (LIBOR + | |||
500 bps), 6/26/26 | 476,314 | |||
Total Healthcare, Education & Childcare | $ 1,374,687 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 35
Schedule of Investments | 10/31/20
(unaudited) (continued)
Principal | ||||
Amount | ||||
USD ($) | Value | |||
Insurance — 0.5% | ||||
339,036 | Confie Seguros Holding II Co., Term B Loan, 5.75% | |||
(LIBOR + 475 bps), 4/19/22 | $ 327,170 | |||
327,722 | Integro Parent, Inc., First Lien Initial Term Loan, 6.75% | |||
(LIBOR + 575 bps), 10/31/22 | 322,806 | |||
Total Insurance | $ 649,976 | |||
Leisure & Entertainment — 0.1% | ||||
191,703 | Fitness International LLC, Term B Loan, 4.25% (LIBOR + | |||
325 bps), 4/18/25 | $ 141,381 | |||
Total Leisure & Entertainment | $ 141,381 | |||
Machinery — 0.9% | ||||
170,286 | CTC AcquiCo GmbH, Facility B2, 3.256% (LIBOR + | |||
300 bps), 3/7/25 | $ 161,772 | |||
496,250 | MHI Holdings LLC, Initial Term Loan, 5.148% (LIBOR + | |||
500 bps), 9/21/26 | 492,218 | |||
14,921 | NN, Inc., Tranche B Term Loan, 6.5% (LIBOR + | |||
575 bps), 10/19/22 | 14,799 | |||
553,810 | Shape Technologies Group, Inc., Initial Term Loan, | |||
3.149% (LIBOR + 300 bps), 4/21/25 | 424,126 | |||
Total Machinery | $ 1,092,915 | |||
Media — 0.0%† | ||||
982 | CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), | |||
March 2017 Refinancing Term Loan, 2.398% (LIBOR + | ||||
225 bps), 7/17/25 | $ 951 | |||
618 | CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), | |||
October 2018 Incremental Term Loan, 2.398% (LIBOR + | ||||
225 bps), 1/15/26 | 598 | |||
Total Media | $ 1,549 | |||
Oil & Gas — 0.6% | ||||
384,038 | Summit Midstream Partners Holdings LLC, Term Loan | |||
Credit Facility, 7.0% (LIBOR + 600 bps), 5/13/22 | $ 84,488 | |||
662,878 | Traverse Midstream Partners LLC, Advance Term | |||
Loan, 6.5% (LIBOR + 550 bps), 9/27/24 | 615,096 | |||
Total Oil & Gas | $ 699,584 | |||
Personal, Food & Miscellaneous Services — 0.4% | ||||
496,250 | Option Care Health, Inc., Term B Loan, 4.648% (LIBOR + | |||
450 bps), 8/6/26 | $ 486,015 | |||
Total Personal, Food & Miscellaneous Services | $ 486,015 | |||
Retail — 0.3% | ||||
339,500 | Bass Pro Group LLC, Initial Term Loan, 5.75% (LIBOR + | |||
500 bps), 9/25/24 | $ 338,745 | |||
Total Retail | $ 338,745 |
The accompanying notes are an integral part of these financial statements.
36 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Principal | |||
Amount | |||
USD ($) | Value | ||
Securities & Trusts — 0.6% | |||
641,500 | Spectacle Gary Holdings LLC, Closing Date Term Loan, | ||
11.0% (LIBOR + 900 bps), 12/23/25 | $ 608,223 | ||
106,305 | Stonepeak Lonestar Holdings LLC, Initial Term Loan, | ||
4.718% (LIBOR + 450 bps), 10/19/26 | 105,574 | ||
Total Securities & Trusts | $ 713,797 | ||
Transportation — 0.2% | |||
319,313 | Envision Healthcare Corp., Initial Term Loan, 3.898% | ||
(LIBOR + 375 bps), 10/10/25 | $ 229,825 | ||
Total Transportation | $ 229,825 | ||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS | |||
(Cost $13,388,629) | $ 12,455,826 |
Number of | Counter- | Strike | Expiration | ||||
Contracts | Description | party | Amount | Price | Date | ||
OVER THE COUNTER (OTC) CALL OPTIONS | |||||||
PURCHASED — 0.0%† | |||||||
18,332^(l) | Desarrolladora | Bank of New | |||||
Homex SAB | York Mellon | ||||||
de CV | Corp. | MXN — | MXN —(m) | 10/23/22 | $ — | ||
18,332^(n) | Desarrolladora | Bank of New | |||||
Homex SAB | York Mellon | ||||||
de CV | Corp. | MXN — | MXN —(m) | 10/23/22 | — | ||
$ — | |||||||
TOTAL OVER THE COUNTER (OTC) CALL OPTIONS | |||||||
PURCHASED | |||||||
(Premiums paid $ —) | $ — | ||||||
OVER THE COUNTER (OTC) CURRENCY PUT | |||||||
OPTIONS PURCHASED — 0.0%† | |||||||
2,720,000 | Put EUR | Bank of | |||||
Call USD | America NA | USD 42,366 | USD 1.11 | 3/8/21 | $ 8,777 | ||
358,000 | Put EUR | Bank of | |||||
Call USD | America NA | EUR 5,925 | EUR 1.11 | 6/4/21 | 2,372 | ||
750,000 | Put EUR | Goldman | |||||
Call USD | Sachs | ||||||
International | EUR 6,041 | EUR 1.13 | 12/18/20 | 1,743 | |||
$ 12,892 | |||||||
TOTAL OVER THE COUNTER (OTC) CURRENCY PUT | |||||||
OPTIONS PURCHASED | |||||||
(Premiums paid $54,331) | $ 12,892 | ||||||
TOTAL OPTIONS PURCHASED | |||||||
(Premiums paid $54,331) | $ 12,892 | ||||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS — 141.9% | |||||||
(Cost $172,886,907)(o) | $168,933,053 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 37
Schedule of Investments | 10/31/20
(unaudited) (continued)
Number of | Counter- | Strike | Expiration | ||||
Contracts | Description | party | Amount | Price | Date | Value | |
OVER THE COUNTER (OTC) CURRENCY CALL | |||||||
OPTIONS WRITTEN — (0.0)%† | |||||||
(358,000) | Call EUR | Bank of | |||||
Put USD | America NA | EUR 5,925 | EUR 1.17 | 6/4/21 | $ (8,696) | ||
(750,000) | Call EUR | Goldman | |||||
Put USD | Sachs | ||||||
International | EUR 6,041 | EUR 1.20 | 12/18/20 | (2,873) | |||
(2,720,000) | Call EUR | Bank of | |||||
Put USD | America NA | USD 42,366 | USD 1.20 | 3/8/21 | (20,066) | ||
$ (31,635) | |||||||
TOTAL OVER THE COUNTER (OTC) CURRENCY CALL | |||||||
OPTIONS WRITTEN | |||||||
(Premiums received $(54,331)) | $ (31,635) | ||||||
OTHER ASSETS AND LIABILITIES — (41.9)% | $ (49,914,559) | ||||||
NET ASSETS — 100.0% | $118,986,859 |
bps | Basis Points. |
CMT | Constant Maturity Treasury Index. |
EURIBOR | Euro Interbank Offered Rate. |
FREMF | Freddie Mac Multifamily Fixed-Rate Mortgage Loans. |
LIBOR | London Interbank Offered Rate. |
REIT | Real Estate Investment Trust. |
(144A) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such |
securities may be resold normally to qualified institutional buyers in a transaction exempt | |
from registration. At October 31, 2020, the value of these securities amounted to | |
$115,718,050, or 97.3% of net assets. | |
† | Amount rounds to less than 0.1%. |
* | Senior secured floating rate loan interests in which the Trust invests generally pay |
interest at rates that are periodically redetermined by reference to a base lending rate | |
plus a premium. These base lending rates are generally (i) the lending rate offered by one | |
or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more | |
major United States banks, (iii) the rate of a certificate of deposit or (iv) other base | |
lending rates used by commercial lenders. The interest rate shown is the rate accruing at | |
October 31, 2020. | |
+ | Security that used significant unobservable inputs to determine its value. |
^ | Security is valued using fair value methods (other than supplied by independent pricing |
services). | |
(a) | Non-income producing security. |
(b) | The interest rate is subject to change periodically. The interest rate and/or reference |
index and spread shown at October 31, 2020. | |
(c) | Security is perpetual in nature and has no stated maturity date. |
(d) | Floating rate note. Coupon rate, reference index and spread shown at October 31, 2020. |
The accompanying notes are an integral part of these financial statements.
38 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
(e) | Security is priced as a unit. |
(f) | Payment-in-kind (PIK) security which may pay interest in the form of additional |
principal amount. | |
(g) | Security is in default. |
(h) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(i) | Issued as participation notes. |
(j) | Issued as preference shares. |
(k) | This term loan will settle after October 31, 2020, at which time the interest rate will be |
determined. | |
(l) | Option does not become effective until underlying company’s outstanding common |
shares reach a market capitalization of MXN 12.5 Billion. | |
(m) | Strike price is 1 Mexican Peso (MXN). |
(n) | Option does not become effective until underlying company’s outstanding common |
shares reach a market capitalization of MXN 15.5 Billion. | |
(o) | Distributions of investments by country of issue, as a percentage of long-term holdings |
based on country of domicile, is as follows: |
United States | 57.5% | |
Bermuda | 11.3 | |
Canada | 7.9 | |
Luxembourg | 4.6 | |
Cayman Islands | 2.9 | |
Mexico | 2.8 | |
Netherlands | 1.9 | |
United Kingdom | 1.7 | |
France | 1.3 | |
Ireland | 1.1 | |
Italy | 1.1 | |
Other (individually less than 1%) | 5.9 | |
100.0% | ||
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value | ||||||
Ailsa Re 2019 | 6/4/2019 | $ | 350,000 | $ | 361,679 | ||||
Alamo Re II | 5/29/2020 | 250,000 | 258,250 | ||||||
Alturas Re 2019-2 | 12/19/2018 | 3,037 | 16,206 | ||||||
Alturas Re 2019-3 | 6/26/2019 | 24,550 | 51,801 | ||||||
Alturas Re 2020-2 | 12/23/2019 | 500,000 | 552,350 | ||||||
Alturas Re 2020-3 | 8/3/2020 | 225,450 | 231,785 | ||||||
Ballybunion Re | 12/31/2019 | 250,673 | 255,468 | ||||||
Bantry Re 2018 | 2/6/2019 | 5,689 | 5,700 | ||||||
Bantry Re 2019 | 2/1/2019 | — | 16,710 | ||||||
Bantry Re 2020 | 2/4/2020 | 470,033 | 505,525 | ||||||
Berwick Re 2018-1 | 1/10/2018 | 300,831 | 192,169 | ||||||
Berwick Re 2019-1 | 12/31/2018 | 134,801 | 134,811 | ||||||
Berwick Re 2020-1 | 9/24/2020 | 993,323 | 1,090,155 | ||||||
Blue Lotus Re 2018 | 12/20/2017 | — | 17,480 | ||||||
Caelus Re V | 4/27/2017 | 400,000 | 40 | ||||||
Caelus Re V | 5/4/2018 | 250,000 | 100,000 | ||||||
Caelus Re V | 4/27/2017 | 375,000 | 33 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 39
Schedule of Investments | 10/31/20
(unaudited) (continued)
Restricted Securities | Acquisition date | Cost | Value | ||||||
Carnoustie Re 2017 | 1/5/2017 | $ | 237,757 | $ | 131,800 | ||||
Carnoustie Re 2020 | 7/16/2020 | 250,000 | 270,620 | ||||||
Castle Stuart Re 2018 | 12/20/2017 | 132,474 | 69,835 | ||||||
Citrus Re | 2/19/2016 | 750,000 | 36,456 | ||||||
Cypress Re 2017 | 1/24/2017 | 2,185 | 11,830 | ||||||
Dartmouth Re 2018 | 1/18/2018 | 190,370 | 99,940 | ||||||
Dartmouth Re 2020 | 2/5/2020 | 76,383 | 97,302 | ||||||
Denning Re 2019 | 8/8/2019 | 245,156 | 256,803 | ||||||
Dingle Re 2019 | 3/4/2019 | — | 5,131 | ||||||
EC0009 Re | 1/22/2018 | 66,880 | 37,000 | ||||||
Eden Re II | 12/15/2017 | 747 | 8,606 | ||||||
Eden Re II | 1/23/2018 | 867 | 24,908 | ||||||
Eden Re II | 12/23/2019 | 700,000 | 786,800 | ||||||
Eden Re II | 1/22/2019 | 7,125 | 61,162 | ||||||
Galilei Re | 1/4/2017 | 250,000 | 249,250 | ||||||
Galilei Re | 1/4/2017 | 250,000 | 249,125 | ||||||
Gleneagles Re 2016 | 1/14/2016 | — | 74,880 | ||||||
Gleneagles Re 2017 | 1/13/2017 | 223,251 | 156,396 | ||||||
Gleneagles Re 2018 | 1/11/2018 | 20,068 | 29,575 | ||||||
Gleneagles Re 2019 | 12/31/2018 | — | 4,955 | ||||||
Gleneagles Re 2020 | 6/24/2020 | 243,580 | 264,049 | ||||||
Gloucester Re 2018 | 1/2/2018 | 63,180 | 68,618 | ||||||
Gullane Re 2018 | 3/26/2018 | 1,009,370 | 1,094,197 | ||||||
Harambee Re 2018 | 12/19/2017 | 78,048 | 8,200 | ||||||
Harambee Re 2019 | 12/20/2018 | — | 11,500 | ||||||
Harambee Re 2020 | 2/27/2020 | 500,000 | 536,850 | ||||||
Hypatia Ltd. | 7/10/2020 | 250,000 | 264,250 | ||||||
Kilimanjaro Re | 6/12/2020 | 244,847 | 251,025 | ||||||
Kizuna Re II | 3/16/2018 | 500,000 | 499,500 | ||||||
Leven Re 2020 | 1/29/2020 | 240,775 | 252,898 | ||||||
Limestone Re 2018 | 6/20/2018 | 1,000 | 34,177 | ||||||
Limestone Re 2019-2 | 6/20/2018 | 27,000 | 46,159 | ||||||
Lion II Re | 6/21/2017 | 557,175 | 578,266 | ||||||
Lion Rock Re 2020 | 12/30/2019 | 250,000 | 281,975 | ||||||
Liphook Re 2020 | 7/14/2020 | 233,045 | 251,262 | ||||||
Lorenz Re 2018 | 6/26/2018 | 201,212 | 20,550 | ||||||
Lorenz Re 2019 | 6/26/2019 | 162,315 | 48,251 | ||||||
Lorenz Re 2020 | 8/12/2020 | 336,662 | 364,302 | ||||||
Lorenz Re 2020 | 8/11/2020 | 63,338 | 68,538 | ||||||
Matterhorn Re | 12/20/2019 | 250,000 | 251,575 | ||||||
Matterhorn Re | 1/29/2020 | 250,000 | 252,100 | ||||||
Matterhorn Re | 6/25/2020 | 223,267 | 228,250 | ||||||
Merion Re 2018-2 | 12/28/2017 | 500,000 | 555,309 | ||||||
Merion Re 2020-1 | 3/10/2020 | 205,077 | 248,518 | ||||||
Mona Lisa Re | 12/30/2019 | 500,000 | 508,900 | ||||||
NCM Re 2018 | 12/27/2017 | 37,305 | 16,850 | ||||||
NCM Re 2019 | 4/30/2019 | 562 | 12,001 | ||||||
Oakmont Re 2019 | 5/21/2019 | 145,419 | 173,078 | ||||||
Old Head Re 2020 | 1/8/2020 | 189,789 | 243,061 | ||||||
Oyster Bay Re 2018 | 1/17/2018 | 297,524 | 302,541 | ||||||
Pangaea Re 2018-1 | 1/11/2018 | 143,007 | 21,055 | ||||||
Pangaea Re 2018-3 | 5/31/2018 | 240,861 | 20,744 | ||||||
Pangaea Re 2019-1 | 1/9/2019 | 8,601 | 17,071 | ||||||
Pangaea Re 2019-3 | 7/25/2019 | 22,059 | 26,450 | ||||||
Pangaea Re 2020-1 | 1/21/2020 | 810,646 | 882,003 | ||||||
Pangaea Re 2020-3 | 9/15/2020 | 620,500 | 646,609 |
The accompanying notes are an integral part of these financial statements.
40 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Restricted Securities | Acquisition date | Cost | Value | ||||||
Port Royal Re 2019 | 5/20/2019 | $ | 230,164 | $ | 254,128 | ||||
Portrush Re 2017 | 6/12/2017 | 575,239 | 478,575 | ||||||
Residential Reinsurance 2016 | 6/12/2020 | 243,522 | 249,625 | ||||||
Residential Reinsurance 2018 Re | 11/15/2018 | 250,000 | 249,650 | ||||||
Residential Reinsurance 2019 | 11/5/2019 | 250,000 | 251,350 | ||||||
Resilience Re | 2/8/2017 | 339 | 70 | ||||||
Scotscraig Re 2020 | 1/29/2020 | 225,719 | 251,204 | ||||||
Sector Re V, Series 9, Class A | 4/23/2019 | 200,000 | 84,266 | ||||||
Sector Re V, Series 9, Class C | 12/4/2019 | 250,000 | 277,849 | ||||||
Seminole Re 2018 | 1/2/2018 | 7,743 | 16,839 | ||||||
St. Andrews Re 2017-1 | 1/5/2017 | 67,748 | 67,800 | ||||||
Sussex Re 2020-1 | 1/21/2020 | 515,671 | 555,893 | ||||||
Thaxted Park Re 2020 | 5/27/2020 | 243,669 | 252,250 | ||||||
Thopas Re 2018 | 12/12/2017 | 80,073 | 12,200 | ||||||
Thopas Re 2019 | 2/13/2019 | 53,450 | 57,997 | ||||||
Thopas Re 2020 | 12/30/2019 | 300,000 | 330,480 | ||||||
Versutus Re 2018 | 12/20/2017 | 16,981 | 9,500 | ||||||
Versutus Re 2019-A | 1/28/2019 | — | 19,725 | ||||||
Versutus Re 2019-B | 12/24/2018 | — | 2,625 | ||||||
Viribus Re 2018 | 12/22/2017 | 66,169 | 18,200 | ||||||
Viribus Re 2019 | 3/25/2019 | — | 8,577 | ||||||
Viribus Re 2020 | 3/12/2020 | 240,783 | 238,471 | ||||||
Vitality Re XI | 1/23/2020 | 250,000 | 248,050 | ||||||
Walton Health Re 2019 | 7/18/2019 | 194,770 | 250,607 | ||||||
Wentworth Re 2020-1 | 1/28/2020 | 205,609 | 245,705 | ||||||
Woburn Re 2018 | 3/20/2018 | 189,029 | 46,739 | ||||||
Woburn Re 2019 | 2/14/2019 | 153,068 | 170,312 | ||||||
Total Restricted Securities | $ | 20,451,905 | |||||||
% of Net assets | 17.2 | % |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
In | Unrealized | ||||||||||||||
Currency | Exchange | Currency | Settlement | Appreciation | |||||||||||
Purchased | for | Sold | Deliver | Counterparty | Date | (Depreciation) | |||||||||
EUR | 1,158,000 | USD | (1,355,816 | ) | Bank of New York | 11/24/20 | $ | (6,762 | ) | ||||||
Mellon Corp. | |||||||||||||||
IDR | 4,193,240,000 | USD | (280,190 | ) | Citibank NA | 11/27/20 | 5,886 | ||||||||
USD | 645,874 | EUR | (552,240 | ) | JPMorgan Chase Bank NA | 11/24/20 | 2,522 | ||||||||
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | $ | 1,646 |
Principal amounts are denominated in U.S. dollars (“USD”) unless otherwise noted.
ARS — Argentine Peso
EUR — Euro
GBP — Great British Pound
IDR — Indonesian Rupiah
MXN — Mexican Peso
The accompanying notes are an integral part of these financial statements.
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 41
Schedule of Investments | 10/31/20
(unaudited) (continued)
Purchases and sales of securities (excluding temporary cash investments) for the six months ended October 31, 2020, aggregated $43,440,849 and $37,435,077, respectively.
The Trust is permitted to engage in purchase and sale transactions (“cross trades”) with certain funds and accounts for which Amundi Pioneer Asset Management, Inc. (the “Adviser”) serves as the Trust’s investment adviser, as set forth in Rule 17a-7 under the Investment Company Act of 1940, pursuant to procedures adopted by the Board of Trustees. Under these procedures, cross trades are effected at current market prices. During the six months ended October 31, 2020, the Trust engaged in purchases of $675,231 and sales of $1,050,191 pursuant to these procedures, which resulted in a net realized gain of $28,150.
At October 31, 2020, the net unrealized depreciation on investments based on cost for federal tax purposes of $174,195,491 was as follows:
Aggregate gross unrealized appreciation for all investments in which | ||||
there is an excess of value over tax cost | $ | 11,946,290 | ||
Aggregate gross unrealized depreciation for all investments in which | ||||
there is an excess of tax cost over value | (17,238,717 | ) | ||
Net unrealized depreciation | $ | (5,290,427 | ) |
Various inputs are used in determining the value of the Trust’s investments. These inputs are summarized in the three broad levels below.
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). See Notes to Financial Statements —Note 1A.
Level 3 — significant unobservable inputs (including the Trust’s own assumptions in determining fair value of investments). See Notes to Financial Statements — Note 1A.
The following is a summary of the inputs used as of October 31, 2020, in valuing the Trust’s investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Oil, Gas & Consumable Fuels | $ | 104,511 | $ | 9,836 | $ | — | $ | 114,347 | ||||||||
Specialty Retail | — | — | 55,556 | 55,556 | ||||||||||||
All Other Common Stocks | 25,317 | — | — | 25,317 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Diversified Financial Services | — | 525,000 | — | 525,000 | ||||||||||||
Internet | — | 57,111 | — | 57,111 | ||||||||||||
All Other Preferred Stock | 1,046,974 | — | — | 1,046,974 | ||||||||||||
Asset Backed Securities | — | 2,586,928 | — | 2,586,928 | ||||||||||||
Collateralized Mortgage Obligations | — | 568,033 | — | 568,033 | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | — | 11,294,262 | — | 11,294,262 | ||||||||||||
Convertible Corporate Bonds | ||||||||||||||||
Banks | — | — | 2,779 | 2,779 | ||||||||||||
All Other Convertible | ||||||||||||||||
Corporate Bonds | — | 2,694,405 | — | 2,694,405 | ||||||||||||
Corporate Bonds | — | 113,297,566 | — | 113,297,566 | ||||||||||||
Foreign Government Bonds | — | 3,744,152 | — | 3,744,152 |
The accompanying notes are an integral part of these financial statements.
42 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Insurance-Linked Securities | ||||||||||||||||
Catastrophe Linked Bonds | ||||||||||||||||
Multiperil – Europe | $ | — | $ | — | $ | 578,266 | $ | 578,266 | ||||||||
Multiperil – U.S. | — | 1,101,650 | 73 | 1,101,723 | ||||||||||||
Windstorm – U.S. Multistate | — | — | 36,456 | 36,456 | ||||||||||||
Collateralized Reinsurance | ||||||||||||||||
Multiperil – Massachusetts | — | — | 256,803 | 256,803 | ||||||||||||
Multiperil – U.S. | — | — | 514,727 | 514,727 | ||||||||||||
Multiperil – U.S. & Canada | — | — | 252,898 | 252,898 | ||||||||||||
Multiperil – U.S. Regional | — | — | 361,679 | 361,679 | ||||||||||||
Multiperil – Worldwide | — | — | 1,631,190 | 1,631,190 | ||||||||||||
Windstorm – Florida | — | — | 478,575 | 478,575 | ||||||||||||
Windstorm – U.S. Regional | — | — | 424,340 | 424,340 | ||||||||||||
Industry Loss Warranties | ||||||||||||||||
Multiperil – U.S. | — | — | 251,204 | 251,204 | ||||||||||||
Windstorm – U.S. | — | — | 252,250 | 252,250 | ||||||||||||
Reinsurance Sidecars | ||||||||||||||||
Multiperil – U.S. | — | — | 1,028,805 | 1,028,805 | ||||||||||||
Multiperil – U.S. Regional | — | — | 37,000 | 37,000 | ||||||||||||
Multiperil – Worldwide | — | 231,785 | 10,004,954 | 10,236,739 | ||||||||||||
All Other Insurance-Linked | ||||||||||||||||
Securities | — | 3,009,250 | — | 3,009,250 | ||||||||||||
Senior Secured Floating Rate | ||||||||||||||||
Loan Interests | — | 12,455,826 | — | 12,455,826 | ||||||||||||
Over The Counter (OTC) Call | ||||||||||||||||
Option Purchased | — | — | * | — | — | * | ||||||||||
Over The Counter (OTC) Currency | ||||||||||||||||
Put Option Purchased | — | 12,892 | — | 12,892 | ||||||||||||
Total Investments in Securities | $ | 1,176,802 | $ | 151,588,696 | $ | 16,167,555 | $ | 168,933,053 | ||||||||
Other Financial Instruments | ||||||||||||||||
Credit agreement(a) | $ | — | $ | (53,000,000 | ) | $ | — | $ | (53,000,000 | ) | ||||||
Over The Counter (OTC) Currency | ||||||||||||||||
Call Option Written | $ | — | $ | (31,635 | ) | $ | — | $ | (31,635 | ) | ||||||
Net unrealized appreciation | ||||||||||||||||
on forward foreign currency | ||||||||||||||||
exchange contracts | $ | — | $ | 1,646 | $ | — | $ | 1,646 | ||||||||
Total Other Financial Instruments | $ | — | $ | (53,029,989 | ) | $ | — | $ | (53,029,989 | ) |
* Security valued at $0.
(a) The Trust may hold liabilities in which the fair value approximates the carrying amount for financial statement purposes.
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 43
Schedule of Investments | 10/31/20
(unaudited) (continued)
Change in | Transfers | |||||||||||||||||||||||||||||||
Balance | Realized | unrealized | Accrued | in and out | Balance | |||||||||||||||||||||||||||
as of | gain | appreciation | discounts/ | of Level 3 | as of | |||||||||||||||||||||||||||
4/30/20 | (loss)(1) | (depreciation)(2) | Purchases | Sales | premiums | categories* | 10/31/20 | |||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||
Oil, Gas & | ||||||||||||||||||||||||||||||||
Consumable | ||||||||||||||||||||||||||||||||
Fuels | $ | 22,354 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (22,354 | ) | $ | — | |||||||||||||||
Specialty | ||||||||||||||||||||||||||||||||
Retail | 50,085 | — | 5,471 | — | — | — | — | 55,556 | ||||||||||||||||||||||||
Convertible | ||||||||||||||||||||||||||||||||
Corporate | ||||||||||||||||||||||||||||||||
Bonds | ||||||||||||||||||||||||||||||||
Banks | — | — | (2,686 | ) | — | — | — | 5,465 | 2,779 | |||||||||||||||||||||||
Insurance-Linked | ||||||||||||||||||||||||||||||||
Securities | ||||||||||||||||||||||||||||||||
Event Linked | ||||||||||||||||||||||||||||||||
Bonds | ||||||||||||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
Europe | — | — | 33,683 | — | — | — | 544,583 | 578,266 | ||||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
U.S. | — | — | (82 | ) | — | — | — | 155 | 73 | |||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
U.S. | ||||||||||||||||||||||||||||||||
Multistate | — | — | (302 | ) | — | — | — | 36,758 | 36,456 | |||||||||||||||||||||||
Collateralized | ||||||||||||||||||||||||||||||||
Reinsurance | ||||||||||||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
Massachusetts | 254,969 | — | 1,834 | — | — | — | — | 256,803 | ||||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
U.S. | 762,755 | — | (8,111 | ) | — | (239,917 | ) | — | — | 514,727 | ||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
U.S. & | ||||||||||||||||||||||||||||||||
Canada | 245,733 | — | 7,165 | — | — | — | — | 252,898 | ||||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
U.S. | ||||||||||||||||||||||||||||||||
Regional | 629,445 | — | (30,881 | ) | — | (236,885 | ) | — | — | 361,679 | ||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
Worldwide | 2,505,327 | — | (1,342 | ) | — | (879,155 | ) | 6,360 | 1,631,190 | |||||||||||||||||||||||
Windstorm – | ||||||||||||||||||||||||||||||||
Florida | 478,575 | — | — | — | — | — | — | 478,575 | ||||||||||||||||||||||||
Windstorm – | ||||||||||||||||||||||||||||||||
North | ||||||||||||||||||||||||||||||||
Carolina | 3,646 | — | (3,646 | ) | — | — | — | — | — | |||||||||||||||||||||||
Windstorm – | ||||||||||||||||||||||||||||||||
U.S. | ||||||||||||||||||||||||||||||||
Regional | 294,328 | — | (639 | ) | 231,663 | (102,394 | ) | 1,382 | 424,340 |
The accompanying notes are an integral part of these financial statements.
44 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Change in | Transfers | |||||||||||||||||||||||||||||||
Balance | Realized | unrealized | Accrued | in and out | Balance | |||||||||||||||||||||||||||
as of | gain | appreciation | discounts/ | of Level 3 | as of | |||||||||||||||||||||||||||
4/30/20 | (loss)(1) | (depreciation)(2) | Purchases | Sales | premiums | categories* | 10/31/20 | |||||||||||||||||||||||||
Industry Loss | ||||||||||||||||||||||||||||||||
Warranties | ||||||||||||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
U.S. | $ | 236,142 | $ | — | $ | 15,062 | $ | — | $ | — | $ | — | $ | — | $ | 251,204 | ||||||||||||||||
Windstorm – | ||||||||||||||||||||||||||||||||
U.S. | — | — | 8,580 | 241,255 | — | 2,415 | 252,250 | |||||||||||||||||||||||||
Reinsurance | ||||||||||||||||||||||||||||||||
Sidecars | ||||||||||||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
U.S. | 957,835 | — | (54,591 | ) | 250,000 | (124,439 | ) | — | — | 1,028,805 | ||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
U.S. | ||||||||||||||||||||||||||||||||
Regional | 41,250 | — | (4,250 | ) | — | — | — | — | 37,000 | |||||||||||||||||||||||
Multiperil – | ||||||||||||||||||||||||||||||||
Worldwide | 10,225,916 | (351,278 | ) | 658,013 | 2,257,403 | (2,785,100 | ) | — | — | 10,004,954 | ||||||||||||||||||||||
Total | $ | 16,708,360 | $ | (351,278 | ) | $ | 623,278 | $ | 2,980,321 | $ | 4,367,890 | $ | 10,157 | $ | 564,607 | $ | 16,167,555 |
(1) | Realized gain (loss) on these securities is included in the Realized gain (loss) from investments on |
the Statement of Operations. | |
(2) | Unrealized appreciation (depreciation) on these securities is included in the Change in unrealized |
appreciation (depreciation) from investments on the Statement of Operations. | |
* | Transfers are calculated on the beginning of period value. For the six months ended October 31, |
2020, securities with an aggregate market value of $586,961 transferred from Level 2 to Level 3 | |
as there were no longer observable inputs available to determine their value. For the six months | |
ended October 31, 2020, securities with an aggregate market value of $22,354 transferred from | |
Level 3 to Level 2 as there were observable inputs available to determine their value. There were | |
no other transfers between Level 1, 2 and 3. |
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at October 31, 2020: | $ | 464,418 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 45
(unaudited)
ASSETS: | ||||
Investments in unaffiliated issuers, at value (cost $172,886,907) | $ | 168,933,053 | ||
Cash | 183,862 | |||
Foreign currencies, at value (cost $5,342) | 5,316 | |||
Net unrealized appreciation on forward foreign currency exchange contracts | 1,646 | |||
Unrealized appreciation on unfunded loan commitments | 50 | |||
Receivables — | ||||
Investment securities sold | 1,945,106 | |||
Interest | 2,313,883 | |||
Other assets | 1,918 | |||
Total assets | $ | 173,384,834 | ||
LIABILITIES: | ||||
Payables — | ||||
Credit agreement | $ | 53,000,000 | ||
Investment securities purchased | 1,249,828 | |||
Interest expense | 446 | |||
Trustees’ fees | 2,617 | |||
Written options outstanding (net premiums received $(54,331)) | 31,635 | |||
Due to affiliates | 14,838 | |||
Accrued expenses | 98,611 | |||
Total liabilities | $ | 54,397,975 | ||
NET ASSETS: | ||||
Paid-in capital | $ | 170,800,602 | ||
Distributable earnings (loss) | (51,813,743 | ) | ||
Net assets | $ | 118,986,859 | ||
NET ASSET VALUE PER SHARE: | ||||
No par value | ||||
Based on $118,986,859/8,332,790 shares | $ | 14.28 |
The accompanying notes are an integral part of these financial statements.
46 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Statement of Operations (unaudited)
FOR THE SIX MONTHS ENDED 10/31/20
INVESTMENT INCOME: | ||||||||
Interest from unaffiliated issuers | $ | 5,732,677 | ||||||
Dividends from unaffiliated issuers | 437,267 | |||||||
Total investment income | $ | 6,169,944 | ||||||
EXPENSES: | ||||||||
Management fees | $ | 715,515 | ||||||
Administrative expense | 52,729 | |||||||
Transfer agent fees | 7,527 | |||||||
Shareowner communications expense | 6,952 | |||||||
Custodian fees | 15,634 | |||||||
Professional fees | 70,134 | |||||||
Printing expense | 12,868 | |||||||
Pricing fees | 12,677 | |||||||
Trustees’ fees | 5,548 | |||||||
Insurance expense | 365 | |||||||
Interest expense | 265,204 | |||||||
Miscellaneous | 34,102 | |||||||
Total expenses | $ | 1,199,255 | ||||||
Net investment income | $ | 4,970,689 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||
Net realized gain (loss) on: | ||||||||
Investments in unaffiliated issuers | $ | (4,797,459 | ) | |||||
Forward foreign currency exchange contracts | (64,476 | ) | ||||||
Swap contracts | (166,467 | ) | ||||||
Other assets and liabilities denominated in | ||||||||
foreign currencies | 50,042 | $ | (4,978,360 | ) | ||||
Change in net unrealized appreciation (depreciation) on: | ||||||||
Investments in unaffiliated issuers | $ | 18,794,815 | ||||||
Written options | (9,552 | ) | ||||||
Forward foreign currency exchange contracts | (1,638 | ) | ||||||
Swap contracts | 163,510 | |||||||
Unfunded loan commitments | 11,433 | |||||||
Other assets and liabilities denominated in | ||||||||
foreign currencies | (12,248 | ) | $ | 18,946,320 | ||||
Net realized and unrealized gain (loss) on investments | $ | 13,967,960 | ||||||
Net increase in net assets resulting from operations | $ | 18,938,649 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 47
Statements of Changes in Net Assets
Six Months | ||||||||
Ended | Year | |||||||
10/31/20 | Ended | |||||||
(unaudited) | 4/30/20 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 4,970,689 | $ | 9,941,665 | ||||
Net realized gain (loss) on investments | (4,978,360 | ) | (7,235,928 | ) | ||||
Change in net unrealized appreciation (depreciation) | ||||||||
on investments | 18,946,320 | (22,774,235 | ) | |||||
Net increase (decrease) in net assets resulting | ||||||||
from operations | $ | 18,938,649 | $ | (20,068,498 | ) | |||
DISTRIBUTIONS TO SHAREOWNERS: | ||||||||
($0.59 and $1.18 per share, respectively) | $ | (4,937,178 | ) | $ | (9,799,361 | ) | ||
Total distributions to shareowners | $ | (4,937,178 | ) | $ | (9,799,361 | ) | ||
Net increase (decrease) in net assets | $ | 14,001,471 | $ | (29,867,859 | ) | |||
NET ASSETS: | ||||||||
Beginning of period | $ | 104,985,388 | $ | 134,853,247 | ||||
End of period | $ | 118,986,859 | $ | 104,985,388 |
The accompanying notes are an integral part of these financial statements.
48 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Statement of Cash Flows
FOR THE SIX MONTHS ENDED 10/31/20
FOR THE SIX MONTHS ENDED 10/31/20
Cash Flows From Operating Activities: | ||||
Net increase in net assets resulting from operations | $ | 18,938,649 | ||
Adjustments to reconcile net decrease in net assets resulting from operations | ||||
to net cash, restricted cash and foreign currencies from operating activities: | ||||
Purchases of investment securities | $ | (43,619,093 | ) | |
Proceeds from disposition and maturity of investment securities | 36,234,552 | |||
Net (accretion) and amortization of discount/premium on investment securities | (332,879 | ) | ||
Change in unrealized appreciation on investments in unaffiliated issuers | (18,794,815 | ) | ||
Change in unrealized appreciation on unfunded loan commitments | (11,433 | ) | ||
Change in unrealized appreciation on swap contracts | (187,210 | ) | ||
Change in unrealized depreciation on forward foreign currency | ||||
exchange contracts | 1,638 | |||
Change in unrealized depreciation on other assets and liabilities | ||||
denominated in foreign currencies | 46 | |||
Change in unrealized depreciation on written options | 9,552 | |||
Net realized loss on investments in unaffiliated issuers | 4,797,459 | |||
Increase in interest receivable | (142,371 | ) | ||
Increase in other assets | (1,867 | ) | ||
Decrease in due to affiliates | 5,928 | |||
Increase in trustees’ fees payable | 2,044 | |||
Increase in accrued expenses payable | 20,155 | |||
Decrease in interest expenses payable | (6,648 | ) | ||
Proceeds from sale of written options | 11,965 | |||
Net cash, restricted cash and foreign currencies from operating activities | $ | (3,074,328 | ) | |
Cash Flows Used in Financing Activities: | ||||
Payments on borrowings | $ | 8,000,000 | ||
Distributions to shareowners | (4,937,178 | ) | ||
Net cash, restricted cash and foreign currencies used in financing activities | $ | 3,062,822 | ||
Effect of Foreign Exchange Fluctuations on Cash: | ||||
Effect of foreign exchange fluctuations on cash | $ | (46 | ) | |
Cash, restricted cash and foreign currencies: | ||||
Beginning of the year* | $ | 200,730 | ||
End of the year* | $ | 189,178 | ||
Cash Flow Information: | ||||
Cash paid for interest | $ | 271,852 |
* The following table provides a reconciliation of cash, restricted cash and foreign currencies reported within Statement of Assets and Liabilities that sum to the total of the same such amounts shown in the Statement of Cash Flows:
Six Months Ended | ||||||||
10/31/20 | Year Ended | |||||||
(unaudited) | 4/30/20 | |||||||
Cash | $ | 183,862 | $ | 195,787 | ||||
Foreign currencies, at value | 5,316 | 4,943 | ||||||
Total cash, restricted cash and foreign currencies | ||||||||
shown in the Statement of Cash Flows | $ | 189,178 | $ | 200,730 |
The accompanying notes are an integral part of these financial statements.
Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20 49
Six Months | ||||||||||||||||||||||||
Ended | Year | Year | Year | Year | Year | |||||||||||||||||||
10/31/20 | Ended | Ended | Ended | Ended | Ended | |||||||||||||||||||
(unaudited) | 4/30/20 | 4/30/19 | 4/30/18 | 4/30/17* | 4/30/16* | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.60 | $ | 16.18 | $ | 17.09 | $ | 17.68 | $ | 16.63 | $ | 18.39 | ||||||||||||
Increase (decrease) from investment operations: | ||||||||||||||||||||||||
Net investment income (a) | $ | 0.60 | $ | 1.19 | �� | $ | 1.21 | $ | 1.23 | $ | 1.29 | $ | 1.55 | |||||||||||
Net realized and unrealized gain (loss) on investments | 1.67 | (3.59 | ) | (0.98 | ) | (0.56 | ) | 1.20 | (1.81 | ) | ||||||||||||||
Net increase (decrease) from investment operations | $ | 2.27 | $ | (2.40 | ) | $ | 0.23 | $ | 0.67 | $ | 2.49 | $ | (0.26 | ) | ||||||||||
Distributions to shareowners from: | ||||||||||||||||||||||||
Net investment income and previously undistributed net | ||||||||||||||||||||||||
investment income | $ | (0.59 | ) | $ | (1.18 | ) | $ | (1.14 | ) | $ | (1.26 | )** | $ | (1.44 | )** | $ | (1.50 | ) | ||||||
Net increase (decrease) in net asset value | $ | 1.68 | $ | (3.58 | ) | $ | (0.91 | ) | $ | (0.59 | ) | $ | 1.05 | $ | (1.76 | ) | ||||||||
Net asset value, end of period | $ | 14.28 | $ | 12.60 | $ | 16.18 | $ | 17.09 | $ | 17.68 | $ | 16.63 | ||||||||||||
Market value, end of period | $ | 12.43 | $ | 10.99 | $ | 14.39 | $ | 15.00 | $ | 16.70 | $ | 15.60 | ||||||||||||
Total return at net asset value (b) | 18.80 | %(c) | (15.21 | )% | 2.58 | % | 4.58 | % | 16.20 | % | (1.01 | )% | ||||||||||||
Total return at market value (b) | 18.46 | %(c) | (16.84 | )% | 3.95 | % | (2.82 | )% | 17.01 | % | (1.26 | )% | ||||||||||||
Ratios to average net assets of shareowners: | ||||||||||||||||||||||||
Total expenses plus interest expense (d) | 2.03 | %(e) | 2.88 | % | 2.95 | % | 2.54 | % | 2.12 | % | 1.99 | % | ||||||||||||
Net investment income before preferred share distributions | 8.42 | %(e) | 7.64 | % | 7.37 | % | 7.07 | % | 7.52 | % | 9.11 | % | ||||||||||||
Portfolio turnover rate | 23 | %(c) | 52 | % | 37 | % | 37 | % | 58 | % | 36 | % | ||||||||||||
Net assets, end of period (in thousands) | $ | 118,987 | $ | 104,985 | $ | 134,853 | $ | 142,372 | $ | 147,309 | $ | 138,570 |
The accompanying notes are an integral part of these financial statements.
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Six Months | ||||||||||||||||||||||||
Ended | Year | Year | Year | Year | Year | |||||||||||||||||||
10/31/20 | Ended | Ended | Ended | Ended | Ended | |||||||||||||||||||
(unaudited) | 4/30/20 | 4/30/19 | 4/30/18 | 4/30/17* | 4/30/16* | |||||||||||||||||||
Total amount of debt outstanding (in thousands) | $ | 53,000 | $ | 45,000 | $ | 61,000 | $ | 64,000 | $ | 57,000 | $ | 57,000 | ||||||||||||
Asset coverage per $1,000 of indebtedness | $ | 3,245 | $ | 3,333 | $ | 3,211 | $ | 3,225 | $ | 3,584 | $ | 3,431 |
* | The Trust was audited by an independent registered public accounting firm other than Ernst & Young LLP. |
** | The amount of distributions made to shareowners during the year were in excess of the net investment income earned by the Trust during the year. The Trust has accumulated undistributed net investment income which is part of the Trust’s net asset value (“NAV’). A portion of the accumulated net investment income was distributed to shareowners during the year. |
(a) | The per common share data presented above is based upon the average common shares outstanding for the periods presented. |
(b) | Total investment return is calculated assuming a purchase of common shares at the current net asset value or market value on the first day and a sale at the current net asset value or market value on the last day of the periods reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions. Past performance is not a guarantee of future results. |
(c) | Not annualized. |
(d) | Includes interest expense of 0.45%, 1.35%, 1.48%, 1.06%, 0.62% and 0.50%, respectively. |
(e) | Annualized |
The accompanying notes are an integral part of these financial statements.
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(unaudited)
1. Organization and Significant Accounting Policies
Pioneer Diversified High Income Trust (the “Trust”) was organized as a Delaware statutory trust on January 30, 2007. Prior to commencing operations on May 30, 2007, the Trust had no operations other than matters relating to its organization and registration as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended. The investment objective of the Trust is to seek a high level of current income and the Trust may, as a secondary objective, also seek capital appreciation to the extent that it is consistent with its investment objective.
Amundi Pioneer Asset Management, Inc., an indirect, wholly owned subsidiary of Amundi and Amundi’s wholly owned subsidiary, Amundi USA, Inc., serves as the Trust’s investment adviser (the “Adviser”). Amundi Pioneer Distributor, Inc., an affiliate of Amundi Pioneer Asset Management, Inc., serves as the Trust’s distributor (the “Distributor”).
During March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standard Update, ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”), which shortens the amortization period for purchased non-contingently callable debt securities held at a premium. ASU 2017-08 specifies that the premium amortization period ends at the earliest call date, for certain purchased non-contingently callable debt securities. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. The Trust has adopted ASU 2017-08 as of January 1, 2019. The implementation of ASU 2017-08 did not have a material impact on the Trust’s financial statements.
In March 2020, FASB issued an Accounting Standard Update, ASU 2020-04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”), which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other LIBOR-based reference rates at the end of 2021. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period from March 12, 2020 through December 31, 2022. Management is evaluating the impact of
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ASU 2020-04 on the Fund's investments, derivatives, debt and other contracts that will undergo reference rate-related modifications as a result of the reference rate reform.
The Trust is an investment company and follows investment company accounting and reporting guidance under U.S. Generally Accepted Accounting Principles (“U.S. GAAP”). U.S. GAAP requires the management of the Trust to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income, expenses and gain or loss on investments during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
A. Security Valuation
The net asset value of the Trust is computed once daily, on each day the New York Stock Exchange (“NYSE”) is open, as of the close of regular trading on the NYSE.
Fixed-income securities are valued by using prices supplied by independent pricing services, which consider such factors as market prices, market events, quotations from one or more brokers, Treasury spreads, yields, maturities and ratings, or may use a pricing matrix or other fair value methods or techniques to provide an estimated value of the security or instrument. A pricing matrix is a means of valuing a debt security on the basis of current market prices for other debt securities, historical trading patterns in the market for fixed-income securities and/or other factors. Non-U.S. debt securities that are listed on an exchange will be valued at the bid price obtained from an independent third party pricing service. When independent third party pricing services are unable to supply prices, or when prices or market quotations are considered to be unreliable, the value of that security may be determined using quotations from one or more broker-dealers.
Loan interests are valued in accordance with guidelines established by the Board of Trustees at the mean between the last available bid and asked prices from one or more brokers or dealers as obtained from Loan Pricing Corporation, an independent third party pricing service. If price information is not available from Loan Pricing Corporation, or if the price information is deemed to be unreliable, price information will be obtained from an alternative loan interest pricing service. If no reliable price quotes are available from either the primary or alternative pricing service, broker quotes will be solicited.
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Event-linked bonds are valued at the bid price obtained from an independent third party pricing service. Other insurance-linked securities (including reinsurance sidecars, collateralized reinsurance and industry loss warranties) may be valued at the bid price obtained from an independent pricing service, or through a third party using a pricing matrix, insurance industry valuation models, or other fair value methods or techniques to provide an estimated value of the instrument.
Equity securities that have traded on an exchange are valued by using the last sale price on the principal exchange where they are traded. Equity securities that have not traded on the date of valuation, or securities for which sale prices are not available, generally are valued using the mean between the last bid and asked prices or, if both last bid and asked prices are not available, at the last quoted bid price. Last sale and bid and asked prices are provided by independent third party pricing services. In the case of equity securities not traded on an exchange, prices are typically determined by independent third party pricing services using a variety of techniques and methods.
The value of foreign securities is translated into U.S. dollars based on foreign currency exchange rate quotations supplied by a third party pricing source. Trading in non-U.S. equity securities is substantially completed each day at various times prior to the close of the NYSE. The values of such securities used in computing the net asset value of the Trust’s shares are determined as of such times. The Trust may use a fair value model developed by an independent pricing service to value non-U.S. equity securities.
Options contracts are generally valued at the mean between the last bid and ask prices on the principal exchange where they are traded. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued using prices supplied by independent pricing services, which consider such factors as market prices, market events, quotations from one or more brokers, Treasury spreads, yields, maturities and ratings, or may use a pricing matrix or other fair value methods or techniques to provide an estimated value of the security or instrument.
Forward foreign currency exchange contracts are valued daily using the foreign exchange rate or, for longer term forward contract positions, the spot currency rate and the forward points on a daily basis, in each case provided by a third party pricing service. Contracts whose forward settlement date falls between two quoted days are valued by interpolation.
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Swap contracts, including interest rate swaps, caps and floors (other than centrally cleared swap contracts), are valued at the dealer quotations obtained from reputable International Swap Dealers Association members. Centrally cleared swaps are valued at the daily settlement price provided by the central clearing counterparty.
Securities or loan interests for which independent pricing services or broker-dealers are unable to supply prices or for which market prices and/or quotations are not readily available or are considered to be unreliable are valued by a fair valuation team comprised of certain personnel of the Adviser pursuant to procedures adopted by the Trust’s Board of Trustees. The Adviser’s fair valuation team uses fair value methods approved by the Valuation Committee of the Board of Trustees. The Adviser’s fair valuation team is responsible for monitoring developments that may impact fair valued securities and for discussing and assessing fair values on an ongoing basis, and at least quarterly, with the Valuation Committee of the Board of Trustees.
Inputs used when applying fair value methods to value a security may include credit ratings, the financial condition of the company, current market conditions and comparable securities. The Trust may use fair value methods if it is determined that a significant event has occurred after the close of the exchange or market on which the security trades and prior to the determination of the Trust’s net asset value. Examples of a significant event might include political or economic news, corporate restructurings, natural disasters, terrorist activity or trading halts. Thus, the valuation of the Trust’s securities may differ significantly from exchange prices, and such differences could be material.
At October 31, 2020, five securities were valued using fair value methods (in addition to securities valued using prices supplied by independent pricing services, broker-dealers or using a third party insurance pricing model) representing 0.06% of net assets. The value of these fair valued securities was $68,171.
B. Investment Income and Transactions
Dividend income is recorded on the ex-dividend date, except that certain dividends from foreign securities where the ex-dividend date may have passed are recorded as soon as the Trust becomes aware of the ex-dividend data in the exercise of reasonable diligence.
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Interest income, including interest on income-bearing cash accounts, is recorded on the accrual basis. Dividend and interest income are reported net of unrecoverable foreign taxes withheld at the applicable country rates and net of income accrued on defaulted securities.
Interest and dividend income payable by delivery of additional shares is reclassified as PIK (payment-in-kind) income upon receipt and is included in interest and dividend income, respectively.
Principal amounts of mortgage-backed securities are adjusted for monthly paydowns. Premiums and discounts related to certain mortgage-backed securities are amortized or accreted in proportion to the monthly paydowns. All discounts/premiums on purchase prices of debt securities are accreted/amortized for financial reporting purposes over the life of the respective securities, and such accretion/amortization is included in interest income.
Security transactions are recorded as of trade date. Gains and losses on sales of investments are calculated on the identified cost method for both financial reporting and federal income tax purposes.
C. Foreign Currency Translation
The books and records of the Trust are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars using current exchange rates.
Net realized gains and losses on foreign currency transactions, if any, represent, among other things, the net realized gains and losses on foreign currency exchange contracts, disposition of foreign currencies and the difference between the amount of income accrued and the U.S. dollars actually received. Further, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statement of Operations from the effects of changes in the market prices of those securities, but are included with the net realized and unrealized gain or loss on investments.
D. Federal Income Taxes
It is the Trust’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income and net realized capital gains, if any, to its shareowners. Therefore, no provision for federal income taxes is required. As of April 30, 2020, the Trust did not accrue any interest or penalties with respect to uncertain tax positions, which, if applicable, would be recorded as an income tax expense on the Statement of Operations. Tax returns filed within the prior three years remain subject to examination by federal and state tax authorities.
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The amount and character of income and capital gain distributions to shareowners are determined in accordance with federal income tax rules, which may differ from U.S. GAAP. Distributions in excess of net investment income or net realized gains are temporary over distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes. Capital accounts within the financial statements are adjusted for permanent book/tax differences to reflect tax character, but are not adjusted for temporary differences.
The tax character of current year distributions payable will be determined at the end of the current taxable year. The tax character of distributions paid during the year ended April 30, 2020 was as follows:
2020 | ||||
Distributions paid from: | ||||
Ordinary income | $ | 9,799,361 | ||
Total | $ | 9,799,361 |
The following shows the components of distributable earnings (losses) on a federal income tax basis at April 30, 2020:
2020 | ||||
Distributable earnings/(losses): | ||||
Undistributed ordinary income | $ | 1,146,226 | ||
Capital loss carryforward | (42,665,300 | ) | ||
Unrealized depreciation | (24,296,140 | ) | ||
Total | $ | (65,815,214 | ) |
The difference between book-basis and tax-basis unrealized depreciation is primarily attributable to the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the book/tax differences in the accrual of income on securities in default, the difference between book and tax amortization methods and discounts on fixed income securities.
E. Risks
At times, the Trust’s investments may represent industries or industry sectors that are interrelated or have common risks, making the Trust more susceptible to any economic, political, or regulatory developments or other risks affecting those industries and sectors. The Trust’s investments in foreign markets and countries with limited developing markets may subject the Trust to a greater degree of risk than investments in a developed market. These risks include disruptive political or economic conditions and the imposition of adverse governmental laws or currency exchange restrictions.
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The value of securities held by the Trust may go up or down, sometimes rapidly or unpredictably, due to general market conditions, such as real or perceived adverse economic, political or regulatory conditions, inflation, changes in interest rates, lack of liquidity in the bond markets or adverse investor sentiment. In the past several years, financial markets have experienced increased volatility, depressed valuations, decreased liquidity and heightened uncertainty. These conditions may continue, recur, worsen or spread. A general rise in interest rates could adversely affect the price and liquidity of fixed income securities and could also result in increased redemptions from the Trust.
The Trust invests in below investment grade (“high yield”) debt securities, floating rate loans and insurance-linked securities. The Trust may invest in securities and other obligations of any credit quality, including those that are rated below investment grade, or are unrated but are determined by the Adviser to be of equivalent credit quality. Below investment grade securities are commonly referred to as “junk bonds” and are considered speculative with respect to the issuer’s capacity to pay interest and repay principal. Below investment grade securities, including floating rate loans, involve greater risk of loss, are subject to greater price volatility, and may be less liquid and more difficult to value, especially during periods of economic uncertainty or change, than higher rated debt securities.
Certain securities in which the Trust invests, including floating rate loans, once sold, may not settle for an extended period (for example, several weeks or even longer). The Trust will not receive its sale proceeds until that time, which may constrain the Trust’s ability to meet its obligations. The Trust may invest in securities of issuers that are in default or that are in bankruptcy. The value of collateral, if any, securing a floating rate loan can decline or may be insufficient to meet the issuer’s obligations or may be difficult to liquidate. No active trading market may exist for many floating rate loans, and many loans are subject to restrictions on resale. Any secondary market may be subject to irregular trading activity and extended settlement periods. The Trust’s investments in certain foreign markets or countries with limited developing markets may subject the Trust to a greater degree of risk than in a developed market. These risks include disruptive political or economic conditions and the possible imposition of adverse governmental laws or currency exchange restrictions.
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The Trust’s investments, payment obligations and financing terms may be based on floating rates, such as LIBOR (London Interbank Offered Rate). Plans are underway to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the trust, issuers of instruments in which the trust invests, and financial markets generally.
The Trust may invest a significant amount of its total assets in illiquid securities. Illiquid securities are securities that the Trust reasonably expects cannot be sold or disposed of in the current market in seven calendar days or less without the sale or disposition significantly changing the market value of the securities.
With the increased use of technologies such as the Internet to conduct business, the Trust is susceptible to operational, information security and related risks. While the Trust’s Adviser has established business continuity plans in the event of, and risk management systems to prevent, limit or mitigate, such cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Furthermore, the Trust cannot control the cybersecurity plans and systems put in place by service providers to the Trust such as Brown Brothers Harriman & Co., the Trust’s custodian and accounting agent, American Stock Transfer & Trust Company (“AST”), the Trust’s transfer agent. In addition, many beneficial owners of Trust shares hold them through accounts at broker-dealers, retirement platforms and other financial market participants over which neither the Trust nor Amundi exercises control. Each of these may in turn rely on service providers to them, which are also subject to the risk of cyber-attacks. Cybersecurity failures or breaches at Amundi or the Trust’s service providers or intermediaries have the ability to cause disruptions and impact business operations potentially resulting in financial losses, interference with the Trust’s ability to calculate its net asset value, impediments to trading, the inability of Trust shareowners to effect share purchases or redemptions or receive distributions, loss of or unauthorized access to private shareowner information and violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, or additional compliance cost. Such costs and losses may not be covered under any insurance. In addition, maintaining vigilance against cyber-attacks may involve substantial costs over time, and system enhancements may themselves be subject to cyber-attacks.
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COVID-19
The respiratory illness COVID-19 caused by a novel coronavirus has resulted in a global pandemic and major disruption to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Some sectors of the economy and individual issuers have experienced particularly large losses. These circumstances may continue for an extended period of time, and may continue to affect adversely the value and liquidity of the Trust’s investments. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. Governments and central banks, including the Federal Reserve in the U.S., have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time.
F. Restricted Securities
Restricted Securities are subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933.
Disposal of restricted investments may involve negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Funds at October 31, 2020 are listed in the Schedule of Investments.
G. Insurance-Linked Securities (“ILS”)
The Trust invests in ILS. The Trust could lose a portion or all of the principal it has invested in an ILS, and the right to additional interest or dividend payments with respect to the security, upon the occurrence of one or more trigger events, as defined within the terms of an insurance-linked security. Trigger events, generally, are hurricanes, earthquakes, or other natural events of a specific size or magnitude that occur in a designated geographic region during a specified time period, and/or that involve losses or other metrics that exceed a specific amount. There is no way to accurately predict whether a trigger event will occur, and accordingly, ILS carry significant risk. The Trust is entitled to receive principal, and interest
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and/or dividend payments so long as no trigger event occurs of the description and magnitude specified by the instrument. In addition to the specified trigger events, ILS may expose the Trust to other risks, including but not limited to issuer (credit) default, adverse regulatory or jurisdictional interpretations and adverse tax consequences.
The Trust’s investments in ILS may include event-linked bonds. ILS also may include special purpose vehicles (“SPVs”) or similar instruments structured to comprise a portion of a reinsurer’s catastrophe-oriented business, known as quota share instruments (sometimes referred to as reinsurance sidecars), or to provide reinsurance relating to specific risks to insurance or reinsurance companies through a collateralized instrument, known as collateralized reinsurance. Structured reinsurance investments also may include industry loss warranties (“ILWs”). A traditional ILW takes the form of a bilateral reinsurance contract, but there are also products that take the form of derivatives, collateralized structures, or exchange-traded instruments.
Where the ILS are based on the performance of underlying reinsurance contracts, the Trust has limited transparency into the individual underlying contracts, and therefore must rely upon the risk assessment and sound underwriting practices of the issuer. Accordingly, it may be more difficult for the Adviser to fully evaluate the underlying risk profile of the Trust’s structured reinsurance investments, and therefore the Trust’s assets are placed at greater risk of loss than if the Adviser had more complete information. Structured reinsurance instruments generally will be considered illiquid securities by the Trust. These securities may be difficult to purchase, sell or unwind. Illiquid securities also may be difficult to value. If the Trust is forced to sell an illiquid asset, the Trust may be forced to sell at a loss.
H. Purchased Options
The Trust may purchase put and call options to seek to increase total return. Purchased call and put options entitle the Trust to buy and sell a specified number of shares or units of a particular security, currency or index at a specified price at a specific date or within a specific period of time. Upon the purchase of a call or put option, the premium paid by the Trust is included on the Statement of Assets and Liabilities as an investment. All premiums are marked-to-market daily, and any unrealized appreciation or depreciation is recorded on the Trust’s Statement of Operations. As the purchaser of an index option, the Trust has the right to receive a cash payment equal to any depreciation in the value of the index below the strike price of the option (in the case of a put) or equal to any
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appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. Premiums paid for purchased call and put options which have expired are treated as realized losses on investments on the Statement of Operations. Upon the exercise or closing of a purchased put option, the premium is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on investments. Upon the exercise or closing of a purchased call option, the premium is added to the cost of the security or financial instrument. The risk associated with purchasing options is limited to the premium originally paid.
The average market value of purchased options contracts open during the six months ended October 31, 2020, was $34,883. Open purchased options at October 31, 2020, are listed in the Schedule of Investments.
I. Option Writing
The Trust may write put and covered call options to seek to increase total return. When an option is written, the Trust receives a premium and becomes obligated to purchase or sell the underlying security at a fixed price, upon the exercise of the option. When the Trust writes an option, an amount equal to the premium received by the Trust is recorded as “Written options outstanding” on the Statement of Assets and Liabilities and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Trust on the expiration date as realized gains from investments on the Statement of Operations. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain on the Statement of Operations, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss on the Statement of Operations. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Trust has realized a gain or loss. The Trust as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
The average market value of written options for the six months ended October 31, 2020, was $(41,609). Open written options contracts at October 31, 2020, are listed in the Schedule of Investments.
J. Forward Foreign Currency Exchange Contracts
The Trust may enter into forward foreign currency exchange contracts (“contracts”) for the purchase or sale of a specific foreign currency at a fixed price on a future date. All contracts are marked-to-market daily at
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the applicable exchange rates, and any resulting unrealized appreciation or depreciation is recorded in the Trust’s financial statements. The Trust records realized gains and losses at the time a contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of the contract and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar (see Note 5).
During the six months ended October 31, 2020, the Trust had entered into various forward foreign currency exchange contracts that obligated the Trust to deliver or take delivery of currencies at specified future maturity dates. Alternatively, prior to the settlement date of a forward foreign currency exchange contract, the Trust may close out such contract by entering into an offsetting contract.
The average market value of forward foreign currency exchange contracts open during the six months ended October 31, 2020, was $(218,095). Open forward foreign currency exchange contracts outstanding at October 31, 2020, are listed in the Schedule of Investments.
K. Credit Default Swap Contracts
A credit default swap is a contract between a buyer of protection and a seller of protection against a pre-defined credit event or an underlying reference obligation, which may be a single security or a basket or index of securities. The Trust may buy or sell credit default swap contracts to seek to increase the Trust’s income, or to attempt to hedge the risk of default on portfolio securities. A credit default swap index is used to hedge risk or take a position on a basket of credit entities or indices.
As a seller of protection, the Trust would be required to pay the notional (or other agreed-upon) value of the referenced debt obligation to the counterparty in the event of a default by a U.S. or foreign corporate issuer of a debt obligation, which would likely result in a loss to the Trust. In return, the Trust would receive from the counterparty a periodic stream of payments during the term of the contract, provided that no event of default occurred. The maximum exposure of loss to the seller would be the notional value of the credit default swaps outstanding. If no default occurs, the Trust would keep the stream of payments and would have no payment obligation. The Trust may also buy credit default swap contracts in order to hedge against the risk of default of debt securities, in which case the Trust would function as the counterparty referenced above.
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As a buyer of protection, the Trust makes an upfront or periodic payment to the protection seller in exchange for the right to receive a contingent payment. An upfront payment made by the Trust, as the protection buyer, is recorded within the “Swap contracts, at value” line item on the Statement of Assets and Liabilities. Periodic payments received or paid by the Trust are recorded as realized gains or losses on the Statement of Operations.
Credit default swap contracts are marked-to-market daily using valuations supplied by independent sources, and the change in value, if any, is recorded within the “Swap contracts, at value” line item on the Statement of Assets and Liabilities. Payments received or made as a result of a credit event or upon termination of the contract are recognized, net of the appropriate amount of the upfront payment, as realized gains or losses on the Statement of Operations.
Credit default swap contracts involving the sale of protection may involve greater risks than if the Trust had invested in the referenced debt instrument directly. Credit default swap contracts are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Trust is a protection buyer and no credit event occurs, it will lose its investment. If the Trust is a protection seller and a credit event occurs, the value of the referenced debt instrument received by the Trust, together with the periodic payments received, may be less than the amount the Trust pays to the protection buyer, resulting in a loss to the Trust. In addition, obligations under sell protection credit default swaps may be partially offset by net amounts received from settlement of buy protection credit default swaps entered into by the Trust for the same reference obligation with the same counterparty.
Certain swap contracts that are cleared through a central clearinghouse are referred to as centrally cleared swaps. All payments made or received by the Trust are pursuant to a centrally cleared swap contract with the central clearing party rather than the original counterparty. Upon entering into a centrally cleared swap contract, the Trust is required to make an initial margin deposit, either in cash or in securities. The daily change in value on open centrally cleared contracts is recorded as “Variation margin for centrally cleared swap contracts” on the Statement of Assets and Liabilities. Cash received from or paid to the broker related to previous margin movement is held in a segregated account at the broker and is recorded as either “Due from broker for swaps” or “Due to broker for swaps” on the Statement of Assets and Liabilities. The amount of cash deposited with a broker as collateral at October 31, 2020, is recorded as “Swaps collateral” on the Statement of Assets and Liabilities.
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The average market value of credit default swap contracts open during the six months ended October 31, 2020, was $(108,303). There were no open credit default swap contracts at October 31, 2020.
L. Automatic Dividend Reinvestment Plan
All shareowners whose shares are registered in their own names automatically participate in the Automatic Dividend Reinvestment Plan (the “Plan”), under which participants receive all dividends and capital gain distributions (collectively, dividends) in full and fractional shares of the Trust in lieu of cash. Shareowners may elect not to participate in the Plan. Shareowners not participating in the Plan receive all dividends and capital gain distributions in cash. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by notifying American Stock Transfer & Trust Company, the agent for shareowners in administering the Plan (the “Plan Agent”), in writing prior to any dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.
If a shareowner’s shares are held in the name of a brokerage firm, bank or other nominee, the shareowner can ask the firm or nominee to participate in the Plan on the shareowner’s behalf. If the firm or nominee does not offer the Plan, dividends will be paid in cash to the shareowner of record. A firm or nominee may reinvest a shareowner’s cash dividends in shares of the Trust on terms that differ from the terms of the Plan.
Whenever the Trust declares a dividend on shares payable in cash, participants in the Plan will receive the equivalent in shares acquired by the Plan Agent either (i) through receipt of additional unissued but authorized shares from the Trust or (ii) by purchase of outstanding shares on the New York Stock Exchange or elsewhere. If, on the payment date for any dividend, the net asset value per share is equal to or less than the market price per share plus estimated brokerage trading fees (market premium), the Plan Agent will invest the dividend amount in newly issued shares. The number of newly issued shares to be credited to each account will be determined by dividing the dollar amount of the dividend by the net asset value per share on the date the shares are issued, provided that the maximum discount from the then current market price per share on the date of issuance does not exceed 5%. If, on the payment date for any dividend, the net asset value per share is greater than the market value (market discount), the Plan Agent will invest the dividend amount in shares acquired in open-market purchases. There are no brokerage charges with respect to newly issued shares. However, each participant will pay a pro rata share of brokerage trading fees incurred with respect to the Plan
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Agent’s open-market purchases. Participating in the Plan does not relieve shareowners from any federal, state or local taxes which may be due on dividends paid in any taxable year. Shareowners holding Plan shares in a brokerage account may be able to transfer the shares to another broker and continue to participate in the Plan.
M. Statement of Cash Flows
Information on financial transactions which have been settled through the receipt or disbursement of cash or restricted cash is presented in the Statement of Cash Flows. Cash as presented in the Trust’s Statement of Assets and Liabilities includes cash on hand at the Trust’s custodian bank and does not include any short-term investments.
2. Management Agreement
The Adviser manages the Trust’s portfolio. Management fees payable under the Trust’s Advisory Agreement with the Adviser are calculated daily and paid monthly at the annual rate of 0.85% of the Trust’s average daily managed assets. “Managed assets” means (a) the total assets of the Trust, including any form of investment leverage, minus (b) all accrued liabilities incurred in the normal course of operations, which shall not include any liabilities or obligations attributable to investment leverage obtained through (i) indebtedness of any type (including, without limitation, borrowing through a credit facility or the issuance of debt securities), (ii) the issuance of preferred stock or other similar preference securities, and/or (iii) any other means. For the six months ended October 31, 2020, the net management fee was 0.85% (annualized) of the Trust’s average daily managed assets, which was equivalent to 1.21% (annualized) of the Trust’s average daily net assets.
In addition, under the management and administration agreements, certain other services and costs, including accounting, regulatory reporting and insurance premiums, are paid by the Trust as administrative reimbursements. Included in “Due to affiliates” reflected on the Statement of Assets and Liabilities is $14,838 in management fees, administrative costs and certain other reimbursements payable to the Adviser at October 31, 2020.
3. Transfer Agent
AST serves as the transfer agent with respect to the Trust’s shares. The Trust pays AST an annual fee, as is agreed to from time to time by the Trust and AST, for providing such services.
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In addition, the Trust reimbursed the transfer agent for out-of-pocket expenses incurred by the transfer agent related to shareowner communications activities such as proxy and statement mailings, and outgoing phone calls.
4. Master Netting Agreements
The Trust has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all of its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Trust and a counterparty that governs the trading of certain Over the Counter (“OTC”) derivatives and typically contains, among other things, close-out and set-off provisions which apply upon the occurrence of an event of default and/or a termination event as defined under the relevant ISDA Master Agreement. The ISDA Master Agreement may also give a party the right to terminate all transactions traded under such agreement if, among other things, there is deterioration in the credit quality of the other party.
Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close-out all transactions under such agreement and to net amounts owed under each transaction to determine one net amount payable by one party to the other. The right to close out and net payments across all transactions under the ISDA Master Agreement could result in a reduction of the Trust’s credit risk to its counterparty equal to any amounts payable by the Trust under the applicable transactions, if any. However, the Trust’s right to set-off may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which each specific ISDA Master Agreement of each counterparty is subject.
The collateral requirements for derivatives transactions under an ISDA Master Agreement are governed by a credit support annex to the ISDA Master Agreement. Collateral requirements are generally determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to threshold (a “minimum transfer amount”) before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Trust and/or counterparty is held in segregated accounts by the Trust’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. Cash that has been segregated to cover the Trust’s collateral obligations, if any, will be reported
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separately on the Statement of Assets and Liabilities as “Swaps collateral”. Securities pledged by the Trust as collateral, if any, are identified as such in the Schedule of Investments.
Financial instruments subject to an enforceable master netting agreement, such as an ISDA Master Agreement, have been offset on the Statement of Assets and Liabilities. The following charts show gross assets and liabilities of the Trust as of October 31, 2020.
Derivative | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Subject to | Derivatives | Non-Cash | Cash | Net Amount | ||||||||||||||||
Master Netting | Available | Collateral | Collateral | of Derivative | ||||||||||||||||
Counterparty | Agreement | for Offset | Received (a) | Received (a) | Assets (b) | |||||||||||||||
Bank of | ||||||||||||||||||||
America NA | $ | 11,149 | $ | (11,149 | ) | $ | — | $ | — | $ | — | |||||||||
Bank of New York | ||||||||||||||||||||
Mellon Corp. | — | — | — | — | — | |||||||||||||||
Citibank NA | 5,886 | — | — | — | 5,886 | |||||||||||||||
Goldman Sachs | ||||||||||||||||||||
International | 1,743 | (1,743 | ) | — | — | — | ||||||||||||||
JPMorgan Chase | ||||||||||||||||||||
Bank NA | 2,522 | — | — | — | 2,522 | |||||||||||||||
State Street | ||||||||||||||||||||
Bank & Trust Co. | — | — | — | — | — | |||||||||||||||
Total | $ | 21,300 | $ | (12,892 | ) | $ | — | $ | — | $ | 8,408 | |||||||||
Derivative | ||||||||||||||||||||
Liabilities | ||||||||||||||||||||
Subject to | Derivatives | Non-Cash | Cash | Net Amount | ||||||||||||||||
Master Netting | Available | Collateral | Collateral | of Derivative | ||||||||||||||||
Counterparty | Agreement | for Offset | Pledged (a) | Pledged (a) | Liabilities (c) | |||||||||||||||
Bank of | ||||||||||||||||||||
America NA | $ | 28,762 | $ | (11,149 | ) | $ | — | $ | — | $ | 17,613 | |||||||||
Bank of New York | ||||||||||||||||||||
Mellon Corp. | 6,762 | — | — | — | 6,762 | |||||||||||||||
Citibank NA | — | — | — | — | — | |||||||||||||||
Goldman Sachs | ||||||||||||||||||||
International | 2,873 | (1,743 | ) | — | — | 1,130 | ||||||||||||||
JPMorgan Chase | ||||||||||||||||||||
Bank NA | — | — | — | — | — | |||||||||||||||
State Street | ||||||||||||||||||||
Bank & Trust Co. | — | — | — | — | — | |||||||||||||||
Total | $ | 38,397 | $ | (12,892 | ) | $ | — | $ | — | $ | 25,505 |
(a) The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities cannot be less than $0.
(b) Represents the net amount due from the counterparty in the event of default.
(c) Represents the net amount payable to the counterparty in the event of default.
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5. Additional Disclosures about Derivative Instruments and Hedging Activities
The Trust’s use of derivatives may enhance or mitigate the Trust’s exposure to the following risks:
Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Trust.
Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange rate risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
Commodity risk relates to the risk that the value of a commodity or commodity index will fluctuate based on increases or decreases in the commodities market and factors specific to a particular industry or commodity.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at October 31, 2020, was as follows:
Statement of Assets and Liabilities | ||||||||||||||||||||
Foreign | ||||||||||||||||||||
Interest | Credit | Exchange | Equity | Commodity | ||||||||||||||||
Rate Risk | Risk | Rate Risk | Risk | Risk | ||||||||||||||||
Assets: | ||||||||||||||||||||
Options purchased* | $ | — | $ | — | $ | 12,892 | $ | — | ** | $ | — | |||||||||
Net unrealized | ||||||||||||||||||||
appreciation on | ||||||||||||||||||||
forward foreign | ||||||||||||||||||||
currency exchange | ||||||||||||||||||||
contracts | — | — | 1,646 | — | — | |||||||||||||||
Total Value | $ | — | $ | — | $ | 14,538 | $ | — | ** | $ | — | |||||||||
Liabilities: | ||||||||||||||||||||
Written options | ||||||||||||||||||||
outstanding | — | $ | — | 31,635 | — | — | ||||||||||||||
Total Value | $ | — | $ | — | $ | 31,635 | $ | — | $ | — |
* Reflects the market value of purchased option contracts (see Note 1G). These amounts are included in Investments in unaffiliated issuers, at value, on the Statement of Assets and Liabilities.
** Securities valued at $0.
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The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations by risk exposure at October 31, 2020, was as follows:
Statement of Operations | ||||||||||||||||||||
Foreign | ||||||||||||||||||||
Interest | Credit | Exchange | Equity | Commodity | ||||||||||||||||
Rate Risk | Risk | Rate Risk | Risk | Risk | ||||||||||||||||
Net realized | ||||||||||||||||||||
gain (loss): | ||||||||||||||||||||
Options purchased* | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Written options | — | — | — | — | — | |||||||||||||||
Forward foreign | ||||||||||||||||||||
currency exchange | ||||||||||||||||||||
contracts | — | — | (64,476 | ) | — | — | ||||||||||||||
Swap contracts | — | (166,467 | ) | — | — | — | ||||||||||||||
Total Value | $ | — | $ | (166,467 | ) | $ | (64,476 | ) | $ | — | $ | — | ||||||||
Change in net | ||||||||||||||||||||
unrealized | ||||||||||||||||||||
appreciation | ||||||||||||||||||||
(depreciation) on: | ||||||||||||||||||||
Options purchased** | $ | — | $ | — | $ | (76,329 | ) | $ | — | *** | $ | — | ||||||||
Written options | — | — | (9,552 | ) | — | — | ||||||||||||||
Forward foreign | ||||||||||||||||||||
currency exchange | ||||||||||||||||||||
contracts | — | — | (1,638 | ) | — | — | ||||||||||||||
Swap contracts | — | 163,510 | — | — | — | |||||||||||||||
Total Value | $ | — | $ | 163,510 | $ | (87,519 | ) | $ | — | $ | — |
* Reflects the net realized gain (loss) on purchased option contracts (see Note 1G). These amounts are included in Net realized gain (loss) on investments in unaffiliated issuers, on the Statements of Operations.
** Reflects the change in net unrealized appreciation (depreciation) on purchased option contracts (see Note 1G). These amounts are included in Change in net unrealized appreciation (depreciation) on investments in unaffiliated issuers, on the Statements of Operations.
*** Securities valued at $0.
6. Unfunded Loan Commitments
The Trust may enter into unfunded loan commitments. Unfunded loan commitments may be partially or wholly unfunded. During the contractual period, the Trust is obliged to provide funding to the borrower upon demand. A fee is earned by the Trust on the unfunded loan commitment and is recorded as interest income on the Statement of Operations. Unfunded loan commitments are fair valued in accordance with the valuation policy described in Footnote 1A and unrealized appreciation or depreciation, if any, is recorded on the Statement of Assets and Liabilities.
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As of October 31, 2020, the Trust had the following unfunded loan commitment outstanding:
Unrealized | ||||||||||||||||
Loan | Principal | Cost | Value | Depreciation | ||||||||||||
Grupo Aeromexico, Sociedad Anonima | ||||||||||||||||
Bursatil De Capital Variable, Senior | ||||||||||||||||
Secured Tranche 1 | $ | 267,500 | $ | 264,997 | $ | 264,825 | $ | (172 | ) | |||||||
Grupo Aeromexico, Sociedad Anonima | ||||||||||||||||
Bursatil De Capital Variable, DIP | ||||||||||||||||
Tranche 2 Term Loan | 146,250 | 144,788 | 146,250 | 1,462 | ||||||||||||
Spectacle Gary Holdings LLC | 46,500 | 45,328 | 44,088 | (1,240 | ) | |||||||||||
Total Value | $ | 460,250 | $ | 455,113 | $ | 455,163 | $ | 50 |
7. Trust Shares
Transactions in shares of beneficial interest for the six months ended October 31, 2020 and the year ended April 30, 2020 were as follows:
10/31/20 | 4/30/20 | |||||||
Shares outstanding at beginning of year | 8,332,790 | 8,332,790 | ||||||
Shares outstanding at end of year | 8,332,790 | 8,332,790 |
8. Credit Agreement
The Trust has entered into a Revolving Credit Facility (the “Credit Agreement”) with the Bank of Scotia. There is a $68,000,000 borrowing limit.
At October 31, 2020, the Trust had a borrowing outstanding under the credit agreement totaling $53,000,000. The interest rate charged at October 31, 2020 was 1.02%. During the six months ended October 31, 2020, the average daily balance was $49,900,524 at an average interest rate of 1.00%. Interest expense of $265,204 in connection with the credit agreement is included on the Statement of Operations.
The Trust is required to maintain 300% asset coverage with respect to amounts outstanding under the credit agreement. Asset coverage is calculated by subtracting the Trust’s total liabilities not including any bank loans and senior securities, from the Trust’s total assets and dividing such amount by the principal amount of the borrowing outstanding.
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Effective January 27, 2020, the credit agreement has been amended to include an “evergreen” facility. More specifically, the credit agreement renews on a daily basis in perpetuity. The bank may, at any time, deliver to the borrower a termination notice, which becomes effective 179 days after its date of delivery.
9. Subsequent Events
A monthly dividend was declared on November 5, 2020 from undistributed and accumulated net investment income of $0.1100 per share payable November 30, 2020, to shareowners of record on November 17, 2020.
On November 19, 2020, Amundi Pioneer Asset Management announced it will be rebranding the US business of Amundi as Amundi US effective January 1, 2021. The new brand identity will replace Amundi Pioneer, which was first adopted in July 2017 following the acquisition of Pioneer Investments by Amundi. In connection with these changes, Amundi Pioneer Asset Management. Inc., the investment adviser to the Pioneer funds, will change its name to Amundi Asset Management US, Inc. In addition, Amundi Pioneer Distributor, Inc., the Pioneer funds’ distributor, will change its name to Amundi Distributor US, Inc. The names of the Pioneer funds will not change in connection with this rebranding.
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Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940 that the Trust may purchase, from time to time, its shares in the open market.
Results of Shareholder Meeting
At an annual meeting held on September 16, 2020, shareholders of the Trust were asked to consider the proposal described below.
A report of the total votes cast by the Trust's shareholders follows:
Proposal 1 – To elect three Class I Trustees
Nominee | For | Withhold |
Diane Durnin | 3,534,612 | 3,776,164 |
Benjamin M. Friedman | 3,496,112 | 3,814,664 |
Kenneth J. Taubes | 3,534,612 | 3,776,164 |
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Amundi Pioneer Asset Management, Inc. (“APAM”) serves as the investment adviser to Pioneer Diversified High Income Trust (the “Trust”) pursuant to an investment management agreement between APAM and the Trust. In order for APAM to remain the investment adviser of the Trust, the Trustees of the Trust must determine annually whether to renew the investment management agreement for the Trust.
The contract review process began in January 2020 as the Trustees of the Trust agreed on, among other things, an overall approach and timeline for the process. Contract review materials were provided to the Trustees in March 2020, July 2020 and September 2020. In addition, the Trustees reviewed and discussed the Trust’s performance at regularly scheduled meetings throughout the year, and took into account other information related to the Trust provided to the Trustees at regularly scheduled meetings, in connection with the review of the Trust’s investment management agreement.
In March 2020, the Trustees, among other things, discussed the memorandum provided by Fund counsel that summarized the legal standards and other considerations that are relevant to the Trustees in their deliberations regarding the renewal of the investment management agreement, and reviewed and discussed the qualifications of the investment management teams for the Trust, as well as the level of investment by the Trust’s portfolio managers in the Trust. In July 2020, the Trustees, among other things, reviewed the Trust’s management fees and total expense ratios, the financial statements of APAM and its parent companies, profitability analyses provided by APAM, and analyses from APAM as to possible economies of scale. The Trustees also reviewed the profitability of the institutional business of APAM and APAM’s affiliate, Amundi Pioneer Institutional Asset Management, Inc. (“APIAM” and, together with APAM, “Amundi Pioneer”), as compared to that of APAM’s fund management business, and considered the differences between the fees and expenses of the Trust and the fees and expenses of APAM’s and APIAM’s institutional accounts, as well as the different services provided by APAM to the Trust and by APAM and APIAM to the institutional accounts. The Trustees further considered contract review materials, including additional materials received in response to the Trustees’ request, in September 2020.
At a meeting held on September 15, 2020, based on their evaluation of the information provided by APAM and third parties, the Trustees of the Trust, including the Independent Trustees voting separately, unanimously approved the renewal of the investment management agreement for another
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year. In approving the renewal of the investment management agreement, the Trustees considered various factors that they determined were relevant, including the factors described below. The Trustees did not identify any single factor as the controlling factor in determining to approve the renewal of the agreement.
Nature, Extent and Quality of Services
The Trustees considered the nature, extent and quality of the services that had been provided by APAM to the Trust, taking into account the investment objective and strategy of the Trust. The Trustees also reviewed APAM’s investment approach for the Trust and its research process. The Trustees considered the resources of APAM and the personnel of APAM who provide investment management services to the Trust. They also reviewed the amount of non-Trust assets managed by the portfolio managers of the Trust. They considered the non-investment resources and personnel of APAM that are involved in APAM’s services to the Trust, including APAM’s compliance, risk management, and legal resources and personnel. The Trustees noted the substantial attention and high priority given by APAM’s senior management to the Pioneer Fund complex. The Trustees considered the implementation and effectiveness of APAM’s business continuity plan in response to the COVID-19 pandemic.
The Trustees considered that APAM supervises and monitors the performance of the Trust’s service providers and provides the Trust with personnel (including Trust officers) and other resources that are necessary for the Trust’s business management and operations. The Trustees also considered that, as administrator, APAM is responsible for the administration of the Trust’s business and other affairs. The Trustees considered the fees paid to APAM for the provision of administration services.
Based on these considerations, the Trustees concluded that the nature, extent and quality of services that had been provided by APAM to the Trust were satisfactory and consistent with the terms of the investment management agreement.
Performance of the Trust
In considering the Trust’s performance, the Trustees regularly review and discuss throughout the year data prepared by APAM and information comparing the Trust’s performance with the performance of its peer group of funds, as classified by Morningstar, Inc. (Morningstar), and with the performance of the Trust’s benchmark index. The Trustees also regularly consider the Trust’s returns at market value relative to its peers, as well as the discount at which the Trust’s shares trade on the New York Stock Exchange compared to its net asset value per share. They also discuss the
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Trust’s performance with APAM on a regular basis. The Trustees’ regular reviews and discussions were factored into the Trustees’ deliberations concerning the renewal of the investment management agreement.
Management Fee and Expenses
The Trustees considered information showing the fees and expenses of the Trust in comparison to the management fees and expense ratios of a peer group of funds selected on the basis of criteria determined by the Independent Trustees for this purpose using data provided by Strategic Insight Mutual Fund Research and Consulting, LLC (Strategic Insight), an independent third party. The peer group comparisons referred to below are organized in quintiles. Each quintile represents one-fifth of the peer group. In all peer group comparisons referred to below, first quintile is most favorable to the Trust’s shareowners.
The Trustees considered that the Trust’s management fee (based on managed assets) for the most recent fiscal year was in the third quintile relative to the management fees paid by other funds in its Strategic Insight peer group for the comparable period. The Trustees considered that the expense ratio (based on managed assets) of the Trust’s common shares for the most recent fiscal year was in the fourth quintile relative to its Strategic Insight peer group for the comparable period.
The Trustees reviewed management fees charged by APAM and APIAM to institutional and other clients, including publicly offered European funds sponsored by APAM’s affiliates, unaffiliated U.S. registered investment companies (in a sub-advisory capacity), and unaffiliated foreign and domestic separate accounts. The Trustees also considered APAM’s costs in providing services to the Trust and APAM’s and APIAM’s costs in providing services to the other clients and considered the differences in management fees and profit margins for fund and non-fund services. In evaluating the fees associated with APAM’s and APIAM’s client accounts, the Trustees took into account the respective demands, resources and complexity associated with the Trust and other client accounts. The Trustees noted that, in some instances, the fee rates for those clients were lower than the management fee for the Trust and considered that, under the investment management agreement with the Trust, APAM performs additional services for the Trust that it does not provide to those other clients or services that are broader in scope, including oversight of the Trust’s other service providers and activities related to compliance and the extensive regulatory and tax regimes to which the Trust is subject. The Trustees also considered the entrepreneurial risks associated with APAM’s management of the Trust.
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The Trustees concluded that the management fee payable by the Trust to APAM was reasonable in relation to the nature and quality of the services provided by APAM.
Profitability
The Trustees considered information provided by APAM regarding the profitability of APAM with respect to the advisory services provided by APAM to the Trust, including the methodology used by APAM in allocating certain of its costs to the management of the Trust. The Trustees also considered APAM’s profit margin in connection with the overall operation of the Trust. They further reviewed the financial results, including the profit margins, realized by APAM and APIAM from non-fund businesses. The Trustees considered APAM’s profit margins in comparison to the limited industry data available and noted that the profitability of any adviser was affected by numerous factors, including its organizational structure and method for allocating expenses. The Trustees concluded that APAM’s profitability with respect to the management of the Trust was not unreasonable.
Economies of Scale
The Trustees considered the extent to which APAM may realize economies of scale or other efficiencies in managing and supporting the Trust. Since the Trust is a closed-end fund that has not raised additional capital, the Trustees concluded that economies of scale were not a relevant consideration in the renewal of the investment advisory agreement.
Other Benefits
The Trustees considered the other benefits that APAM enjoys from its relationship with the Trust. The Trustees considered the character and amount of fees paid or to be paid by the Trust, other than under the investment management agreement, for services provided by APAM and its affiliates. The Trustees further considered the revenues and profitability of APAM’s businesses other than the Fund business. To the extent applicable, the Trustees also considered the benefits to the Trust and to APAM and its affiliates from the use of “soft” commission dollars generated by the Trust to pay for research and brokerage services.
The Trustees considered that Amundi Pioneer is the principal U.S. asset management business of Amundi, which is one of the largest asset managers globally. Amundi’s worldwide asset management business manages over $1.7 trillion in assets (including the Pioneer Funds). The Trustees considered that APAM’s relationship with Amundi creates potential opportunities for APAM, APIAM and Amundi that derive from APAM’s relationships with the Trust, including Amundi’s ability to market
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the services of APAM globally. The Trustees noted that APAM has access to additional research and portfolio management capabilities as a result of its relationship with Amundi and Amundi’s enhanced global presence that may contribute to an increase in the resources available to APAM. The Trustees considered that APAM and the Trust receive reciprocal intangible benefits from the relationship, including mutual brand recognition and, for the Trust, direct and indirect access to the resources of a large global asset manager. The Trustees concluded that any such benefits received by APAM as a result of its relationship with the Trust were reasonable.
Conclusion
After consideration of the factors described above as well as other factors, the Trustees, including the Independent Trustees, concluded that the investment management agreement for the Trust, including the fees payable thereunder, was fair and reasonable and voted to approve the proposed renewal of the investment management agreement.
78 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
Trustees | Officers |
Thomas J. Perna, Chairman | Lisa M. Jones, President and |
John E. Baumgardner, Jr. | Chief Executive Officer |
Diane Durnin | Mark E. Bradley, Treasurer and |
Benjamin M. Friedman | Chief Financial and |
Lisa M. Jones | Accounting Officer |
Lorraine H. Monchak | Christopher J. Kelley, Secretary and |
Marguerite A. Piret | Chief Legal Officer |
Fred J. Ricciardi | |
Kenneth J. Taubes |
Investment Adviser and Administrator
Amundi Pioneer Asset Management, Inc.
Custodian and Sub-Administrator
Brown Brothers Harriman & Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Transfer Agent
American Stock Transfer & Trust Company
Amundi Pioneer Asset Management, Inc.
Custodian and Sub-Administrator
Brown Brothers Harriman & Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Transfer Agent
American Stock Transfer & Trust Company
Proxy Voting Policies and Procedures of the Trust are available without charge, upon request, by calling our toll free number (1-800-710-0935). Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is publicly available to shareowners at www.amundipioneer.com/us. This information is also available on the Securities and Exchange Commission’s web site at www.sec.gov.
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84 Pioneer Diversified High Income Trust | Semiannual Report | 10/31/20
How to Contact Amundi
We are pleased to offer a variety of convenient ways for you to contact us for assistance or information.
You can call American Stock Transfer & Trust Company (AST) for: | |
Account Information | 1-800-710-0935 |
Or write to AST: | |
For | Write to |
General inquiries, lost dividend checks, | American Stock |
change of address, lost stock certificates, | Transfer & Trust |
stock transfer | Operations Center |
6201 15th Ave. | |
Brooklyn, NY 11219 | |
Dividend reinvestment plan (DRIP) | American Stock |
Transfer & Trust | |
Wall Street Station | |
P.O. Box 922 | |
New York, NY 10269-0560 | |
Website | www.amstock.com |
For additional information, please contact your investment advisor or visit our web site www.amundipioneer.com/us.
The Trust files a complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. Shareowners may view the filed Form N-PORT by visiting the Commission’s web site at https://www.sec.gov.
Amundi Pioneer Asset Management, Inc.
60 State Street
Boston, MA 02109
www.amundipioneer.com/us
Securities offered through Amundi Pioneer Distributor, Inc.
60 State Street, Boston, MA 02109
Underwriter of Pioneer Mutual Funds, Member SIPC
© 2020 Amundi Pioneer Asset Management 21398-13-1220
60 State Street
Boston, MA 02109
www.amundipioneer.com/us
Securities offered through Amundi Pioneer Distributor, Inc.
60 State Street, Boston, MA 02109
Underwriter of Pioneer Mutual Funds, Member SIPC
© 2020 Amundi Pioneer Asset Management 21398-13-1220
ITEM 2. CODE OF ETHICS.
(a) Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant has adopted, as of the end of the period covered by this report, a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer and controller.
(b) For purposes of this Item, the term “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:
(1) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
(2) Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant;
(3) Compliance with applicable governmental laws, rules, and regulations;
(4) The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and
(5) Accountability for adherence to the code.
(c) The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 10(a), unless the registrant has elected to satisfy paragraph (f) of this Item by posting its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
The registrant has made no amendments to the code of ethics during the period covered by this report.
(d) If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
Not applicable.
(e) If the registrant intends to satisfy the disclosure requirement under paragraph (c) or (d) of this Item regarding an amendment to, or a waiver from, a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions and that relates to any element of the code of ethics definition
enumerated in paragraph (b) of this Item by posting such information on its Internet website, disclose the registrant’s Internet address and such intention.
Not applicable.
(f) The registrant must:
(1) File with the Commission, pursuant to Item 12(a)(1), a copy of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, as an exhibit to its annual report on this Form N-CSR (see attachment);
(2) Post the text of such code of ethics on its Internet website and disclose, in its most recent report on this Form N-CSR, its Internet address and the fact that it has posted such code of ethics on its Internet website; or
(3) Undertake in its most recent report on this Form N-CSR to provide to any person without charge, upon request, a copy of such code of ethics and explain the manner in which such request may be made. See Item 10(2)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of trustees has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The registrant’s Board of Trustees has determined that the registrant has at least one audit committee financial expert.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of trustees, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
Mr. Fred J. Ricciardi, an independent trustee, is such an audit committee financial expert.
(3) If the registrant provides the disclosure required by paragraph (a)(1) (ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
N/A
(b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
N/A
(c) Disclose, under the caption TAX FEES, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
N/A
(d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
N/A
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
PIONEER FUNDS
APPROVAL OF AUDIT, AUDIT-RELATED, TAX AND OTHER SERVICES
PROVIDED BY THE INDEPENDENT AUDITOR
SECTION I - POLICY PURPOSE AND APPLICABILITY
The Pioneer Funds recognize the importance of maintaining the independence of their outside auditors. Maintaining independence is a shared responsibility involving Amundi Pioneer Asset Management, Inc, the audit committee and the independent auditors.
The Funds recognize that a Fund’s independent auditors: 1) possess knowledge of the Funds, 2) are able to incorporate certain services into the scope of the audit, thereby avoiding redundant work, cost and disruption of Fund personnel and processes, and 3) have expertise that has value to the Funds. As a result, there are situations where it is desirable to use the Fund’s independent auditors for services in addition to the annual audit and where the potential for conflicts of interests are minimal. Consequently, this policy, which is intended to comply with Rule 210.2-01(C)(7), sets forth guidelines and procedures to be followed by the Funds when retaining the independent audit firm to perform audit, audit-related tax and other services under those circumstances, while also maintaining independence.
Approval of a service in accordance with this policy for a Fund shall also constitute approval for any other Fund whose pre-approval is required pursuant to Rule 210.2-01(c)(7)(ii).
In addition to the procedures set forth in this policy, any non-audit services that may be provided consistently with Rule 210.2-01 may be approved by the Audit Committee itself and any pre-approval that may be waived in accordance with Rule 210.2-01(c)(7)(i)(C) is hereby waived.
Selection of a Fund’s independent auditors and their compensation shall be determined by the Audit Committee and shall not be subject to this policy.
SECTION II - POLICY | |||
SERVICE CATEGORY | SERVICE CATEGORY DESCRIPTION | SPECIFIC PRE-APPROVED SERVICE SUBCATEGORIES | |
I. AUDIT SERVICES | Services that are directly | o Accounting research assistance | |
related to performing the | o SEC consultation, registration | ||
independent audit of the Funds | statements, and reporting | ||
o Tax accrual related matters | |||
o Implementation of new accounting standards | |||
o Compliance letters (e.g. rating agency letters) | |||
o Regulatory reviews and assistance | |||
regarding financial matters | |||
o Semi-annual reviews (if requested) | |||
o Comfort letters for closed end offerings | |||
II. AUDIT-RELATED | Services which are not | o AICPA attest and agreed-upon procedures | |
SERVICES | prohibited under Rule | o Technology control assessments | |
210.2-01(C)(4) (the “Rule”) | o Financial reporting control assessments | ||
and are related extensions of | o Enterprise security architecture | ||
the audit services support the | assessment | ||
audit, or use the knowledge/expertise | |||
gained from the audit procedures as a | |||
foundation to complete the project. | |||
In most cases, if the Audit-Related | |||
Services are not performed by the | |||
Audit firm, the scope of the Audit | |||
Services would likely increase. | |||
The Services are typically well-defined | |||
and governed by accounting | |||
professional standards (AICPA, | |||
SEC, etc.) | |||
AUDIT COMMITTEE APPROVAL POLICY | AUDIT COMMITTEE REPORTING POLICY | ||
o “One-time” pre-approval | o A summary of all such | ||
for the audit period for all | services and related fees | ||
pre-approved specific service | reported at each regularly | ||
subcategories. Approval of the | scheduled Audit Committee | ||
independent auditors as | meeting. | ||
auditors for a Fund shall | |||
constitute pre approval for | |||
these services. | |||
o “One-time” pre-approval | o A summary of all such | ||
for the fund fiscal year within | services and related fees | ||
a specified dollar limit | (including comparison to | ||
for all pre-approved | specified dollar limits) | ||
specific service subcategories | reported quarterly. | ||
o Specific approval is | |||
needed to exceed the | |||
pre-approved dollar limit for | |||
these services (see general | |||
Audit Committee approval policy | |||
below for details on obtaining | |||
specific approvals) | |||
o Specific approval is | |||
needed to use the Fund’s | |||
auditors for Audit-Related | |||
Services not denoted as | |||
“pre-approved”, or | |||
to add a specific service | |||
subcategory as “pre-approved” |
SECTION III - POLICY DETAIL, CONTINUED
SERVICE CATEGORY | SERVICE CATEGORY DESCRIPTION | SPECIFIC PRE-APPROVED SERVICE |
SUBCATEGORIES | ||
III. TAX SERVICES | Services which are not | o Tax planning and support |
prohibited by the Rule, | o Tax controversy assistance | |
if an officer of the Fund | o Tax compliance, tax returns, excise | |
determines that using the | tax returns and support | |
Fund’s auditor to provide | o Tax opinions | |
these services creates | ||
significant synergy in | ||
the form of efficiency, | ||
minimized disruption, or | ||
the ability to maintain a | ||
desired level of | ||
confidentiality. |
AUDIT COMMITTEE APPROVAL POLICY | AUDIT COMMITTEE REPORTING POLICY |
o “One-time” pre-approval | o A summary of |
for the fund fiscal year | all such services and |
within a specified dollar limit | related fees |
(including comparison | |
to specified dollar | |
limits) reported | |
quarterly. | |
o Specific approval is | |
needed to exceed the | |
pre-approved dollar limits for | |
these services (see general | |
Audit Committee approval policy | |
below for details on obtaining | |
specific approvals) | |
o Specific approval is | |
needed to use the Fund’s | |
auditors for tax services not | |
denoted as pre-approved, or to | |
add a specific service subcategory as | |
“pre-approved” |
SECTION III - POLICY DETAIL, CONTINUED
SERVICE CATEGORY | SERVICE CATEGORY DESCRIPTION | SPECIFIC PRE-APPROVED SERVICE |
SUBCATEGORIES | ||
IV. OTHER SERVICES | Services which are not | o Business Risk Management support |
prohibited by the Rule, | o Other control and regulatory | |
A. SYNERGISTIC, | if an officer of the Fund | compliance projects |
UNIQUE QUALIFICATIONS | determines that using the | |
Fund’s auditor to provide | ||
these services creates | ||
significant synergy in | ||
the form of efficiency, | ||
minimized disruption, | ||
the ability to maintain a | ||
desired level of | ||
confidentiality, or where | ||
the Fund’s auditors | ||
posses unique or superior | ||
qualifications to provide | ||
these services, resulting | ||
in superior value and | ||
results for the Fund. |
AUDIT COMMITTEE APPROVAL POLICY | AUDIT COMMITTEE REPORTING POLICY |
o “One-time” pre-approval | o A summary of |
for the fund fiscal year within | all such services and |
a specified dollar limit | related fees |
(including comparison | |
to specified dollar | |
limits) reported | |
quarterly. | |
o Specific approval is | |
needed to exceed the | |
pre-approved dollar limits for | |
these services (see general | |
Audit Committee approval policy | |
below for details on obtaining | |
specific approvals) | |
o Specific approval is | |
needed to use the Fund’s | |
auditors for “Synergistic” or | |
“Unique Qualifications” Other | |
Services not denoted as | |
pre-approved to the left, or to | |
add a specific service | |
subcategory as “pre-approved” |
SECTION III - POLICY DETAIL, CONTINUED
SERVICE CATEGORY | SERVICE CATEGORY DESCRIPTION | SPECIFIC PROHIBITED SERVICE |
SUBCATEGORIES | ||
PROHIBITED SERVICES | Services which result | 1. Bookkeeping or other services |
in the auditors losing | related to the accounting records or | |
independence status | financial statements of the audit | |
under the Rule. | client* | |
2. Financial information systems design | ||
and implementation* | ||
3. Appraisal or valuation services, | ||
fairness* opinions, or | ||
contribution-in-kind reports | ||
4. Actuarial services (i.e., setting | ||
actuarial reserves versus actuarial | ||
audit work)* | ||
5. Internal audit outsourcing services* | ||
6. Management functions or human | ||
resources | ||
7. Broker or dealer, investment | ||
advisor, or investment banking services | ||
8. Legal services and expert services | ||
unrelated to the audit | ||
9. Any other service that the Public | ||
Company Accounting Oversight Board | ||
determines, by regulation, is | ||
impermissible |
AUDIT COMMITTEE APPROVAL POLICY | AUDIT COMMITTEE REPORTING POLICY |
o These services are not to be | o A summary of all |
performed with the exception of the(*) | services and related |
services that may be permitted | fees reported at each |
if they would not be subject to audit | regularly scheduled |
procedures at the audit client (as | Audit Committee meeting |
defined in rule 2-01(f)(4)) level | will serve as continual |
the firm providing the service. | confirmation that has |
not provided any | |
restricted services. |
GENERAL AUDIT COMMITTEE APPROVAL POLICY:
o For all projects, the officers of the Funds and the Fund’s auditors will each make an assessment to determine that any proposed projects will not impair independence.
o Potential services will be classified into the four non-restricted service categories and the “Approval of Audit, Audit-Related, Tax and Other Services” Policy above will be applied. Any services outside the specific pre-approved service subcategories set forth above must be specifically approved by the Audit Committee.
o At least quarterly, the Audit Committee shall review a report summarizing the services by service category, including fees, provided by the Audit firm as set forth in the above policy.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
Non-Audit Services
N/A
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountants engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
N/A
(g) Disclose the aggregate non-audit fees billed by the registrants accountant for services rendered to the registrant, and rendered to the registrants investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
N/A
(h) Disclose whether the registrants audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrants investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Fund’s audit committee of the Board of Trustees has considered whether the provision of non-audit services that were rendered to the Affiliates (as defined) that were not pre- approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17 CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
N/A
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17 CFR 240.10A-3(d)) regarding an exemption from the listing standards for audit committees.
N/A
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in 210.1212 of Regulation S-X [17 CFR 210.12-12], unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
N/A
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a) If the registrant is a closed-end management investment company that is filing an annual report on this Form N-CSR, provide the following information:
(1) State the name, title, and length of service of the person or persons employed by or associated with the registrant or an investment adviser of the registrant who are primarily responsible for the day-to-day management of the registrant’s portfolio (“Portfolio Manager”). Also state each Portfolio Manager’s business experience during the past 5 years.
N/A
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, in the following tabular format, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any affiliated purchaser, as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
N/A
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-R(17 CFR 229.407)(as required by Item 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors since the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-R of Schedule 14(A) in its definitive proxy statement, or this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financials officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30(a)-3(b) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are effective based on the 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 control over financial reporting (as defined in Rule 30a-3(d) under the Act (17CFR 270.30a-3(d)) that occured during the second fiscal quarter of the period covered by this report 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 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) If the registrant is a closed-end management investment company, provide the following dollar amounts of income and compensation related to the securities lending activities of the registrant during its most recent fiscal year:
N/A
(1) Gross income from securities lending activities;
N/A
(2) All fees and/or compensation for each of the following securities lending activities and related services: any share of revenue generated by the securities lending program paid to the securities lending agent(s) (revenue split); fees paid for cash collateral management services (including fees deducted from a pooled cash collateral reinvestment vehicle) that are not included in the revenue split; administrative fees that are not included in the revenue split; fees for indemnification that are not included in the revenue split; rebates paid to borrowers; and any other fees relating to the securities lending program that are not included in the revenue split, including a description of those other fees;
N/A
(3) The aggregate fees/compensation disclosed pursuant to paragraph (2); and
N/A
(4) Net income from securities lending activities (i.e., the dollar amount in paragraph (1) minus the dollar amount in paragraph (3)).
If a fee for a service is included in the revenue split, state that the fee is included in the revenue split.
N/A
(b) If the registrant is a closed-end management investment company, describe the services provided to the registrant by the securities lending agent in the registrants most recent fiscal year.
N/A
ITEM 13. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Pioneer Diversified High Income Trust
By (Signature and Title)* /s/ Lisa M. Jones
Lisa M. Jones, President & Chief Executive Officer
Date December 30, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Lisa M. Jones
Lisa M. Jones, President & Chief Executive Officer
Date December 30, 2020
By (Signature and Title)* /s/ Mark E. Bradley
Mark E. Bradley, Treasurer & Chief Accounting & Financial Officer
Date December 30, 2020
* Print the name and title of each signing officer under his or her signature.